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Investment Securities

6 Months Ended

Jun. 30, 2021

Investment Securities [Abstract]

Investment Securities

NOTE 3 – INVESTMENT SECURITIES

Money Market Investments

OFG considers as cash equivalents all money market instruments that are not pledged and that have maturities of three months or less at the date of acquisition. At June 30, 2021 and December 31, 2020, money market instruments included as part of cash and cash equivalents amounted to $11.2 million and $11.9 million, respectively.

Investment Securities

The amortized cost, gross unrealized gains and losses, fair value, and weighted average yield of the securities owned by OFG at June 30, 2021 and December 31, 2020, were as follows:

	June 30, 2021
				Gross			Gross						Weighted
	Amortized			Unrealized			Unrealized			Fair			Average
	Cost			Gains			Losses			Value			Yield
	(In thousands)
Available-for-sale
Mortgage-backed securities
FNMA and FHLMC certificates	$	208,840		$	3,481		$	2,242		$	210,079		1.71%
GNMA certificates		237,547			8,256			176			245,627		2.35%
CMOs issued by US government-sponsored agencies		30,546			762			-			31,308		1.96%
Total mortgage-backed securities		476,933			12,499			2,418			487,014		2.05%
Investment securities
US Treasury securities		10,739			171			-			10,910		1.48%
Obligations of US government-sponsored agencies		1,396			11			-			1,407		1.39%
Other debt securities		2,253			35			-			2,288		4.73%
Total investment securities		14,388			217			-			14,605		1.98%
Total securities available for sale	$	491,321		$	12,716		$	2,418		$	501,619		2.05%

Held-to-maturity
Mortgage-backed securities
FNMA and FHLMC certificates	$	125,138		$	63		$	444		$	124,757		1.70%

	December 31, 2020
				Gross			Gross						Weighted
	Amortized			Unrealized			Unrealized			Fair			Average
	Cost			Gains			Losses			Value			Yield
	(In thousands)
Available-for-sale
Mortgage-backed securities
FNMA and FHLMC certificates	$	206,195		$	4,786		$	32		$	210,949		1.78%
GNMA certificates		174,472			8,478			178			182,772		2.21%
CMOs issued by US government-sponsored agencies		38,309			905			-			39,214		1.96%
Total mortgage-backed securities		418,976			14,169			210			432,935		1.97%
Investment securities
US Treasury securities		10,740			243			-			10,983		1.49%
Obligations of US government-sponsored agencies		1,585			21			-			1,606		1.39%
Other debt securities		875			39			-			914		2.31%
Total investment securities		13,200			303			-			13,503		1.53%
Total securities available-for-sale	$	432,176		$	14,472		$	210		$	446,438		1.96%

At June 30, 2021 and December 31, 2020, all securities held by OFG are issued by U.S. government entities and agencies that have a zero-credit loss assumption.

At both June 30, 2021 and December 31, 2020, the Bank’s international banking entities held short-term US Treasury securities in the amount of $305 thousand and $325 thousand as the legal reserve required for international banking entities under Puerto Rico law. These instruments cannot be withdrawn or transferred without the prior written approval of the OCFI.

The amortized cost and fair value of OFG’s investment securities at June 30, 2021, by contractual maturity, are shown in the next table. Securities not due on a single contractual maturity date, such as collateralized mortgage obligations, are classified in the period of final contractual maturity. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties.

	June 30, 2021
	Available-for-sale						Held-to-maturity
	Amortized Cost			Fair Value			Amortized Cost			Fair Value
	(In thousands)
Mortgage-backed securities
Due less than one year
FNMA and FHLMC certificates	$	6		$	6		$	-		$	-
Total due in less than one year		6			6			-			-
Due from 1 to 5 years
GNMA certificates		2,203			2,274			-			-
Total due from 1 to 5 years		2,203			2,274			-			-
Due after 5 to 10 years
CMOs issued by US government-sponsored agencies	$	28,246		$	28,976		$	-		$	-
FNMA and FHLMC certificates		90,140			93,172			-			-
GNMA certificates		45,513			46,827			-			-
Total due after 5 to 10 years		163,899			168,975			-			-
Due after 10 years
FNMA and FHLMC certificates	$	118,694		$	116,901		$	125,138		$	124,757
GNMA certificates		189,831			196,526			-			-
CMOs issued by US government-sponsored agencies		2,300			2,332			-			-
Total due after 10 years		310,825			315,759			125,138			124,757
Total mortgage-backed securities		476,933			487,014			125,138			124,757
Investment securities
Due less than one year
Obligations of US government-sponsored agencies	$	1,396		$	1,407		$	-		$	-
US Treasury securities		735			735			-			-
Other debt securities		250			250			-			-
Total due in less than one year		2,381			2,392			-			-
Due from 1 to 5 years
US Treasury securities	$	10,004		$	10,175		$	-		$	-
Other debt securities		2,003			2,038			-			-
Total due from 1 to 5 years		12,007			12,213			-			-
Due from 5 to 10 years
Total investment securities		14,388			14,605			-			-
Total	$	491,321		$	501,619		$	125,138		$	124,757

During the six-month period ended June 30, 2020, OFG sold $316.3 million available-for-sale mortgage-backed securities and recognized a $4.7 million gain in the sale. There were no sales of securities during the six-month period ended on June 30, 2021.

During the six-month periods ended June 30, 2021 and 2020, OFG retained securitized GNMA pools totaling $84.0 million and $31.1 million amortized cost, respectively, at a yield of 2.66% and 2.81%, from its own originations.

	Six-Month Period Ended June 30, 2020
				Book Value
Description	Sale Price			at Sale			Gross Gains			Gross Losses
	(In thousands)
Sale of securities available-for-sale
Mortgage-backed securities
FNMA and FHLMC certificates	$	229,571		$	227,213		$	2,358		$	-
GNMA certificates		91,413			89,043			2,370			-
Total	$	320,984		$	316,256		$	4,728		$	-

The following tables show OFG’s gross unrealized losses and fair value of investment securities available-for-sale and held-to-maturity at June 30, 2021 and December 31, 2020, aggregated by investment category and the length of time that individual securities have been in a continuous unrealized loss position:

	June 30, 2021
	Less than 12 months
	Amortized			Unrealized			Fair
	Cost			Loss			Value
	(In thousands)
Securities available-for-sale
FNMA and FHLMC certificates	$	106,318		$	2,242		$	104,076
GNMA certificates		967			176			791
	$	107,285		$	2,418		$	104,867

Held-to-maturity
FNMA and FHLMC certificates	$	100,180		$	444		$	99,736

	December 31, 2020
	Less than 12 months
	Amortized			Unrealized			Fair
	Cost			Loss			Value
	(In thousands)
Securities available-for-sale
FNMA and FHLMC certificates	$	34,628		$	32		$	34,596
GNMA certificates		5,104			178			4,926
	$	39,732		$	210		$	39,522

OFG had no investment securities in a continuous loss position for 12 months or more at June 30, 2021 or December 31, 2020.