INVESTMENT SECURITIES

9 Months Ended

Sep. 30, 2020

Debt and Equity Securities [Abstract]

Investments In Debt And Marketable Equity Securities And Certain Trading Assets Disclosure

NOTE 5 – INVESTMENT SECURITIES

Investment Securities Available for Sale

The amortized cost, gross unrealized gains and losses recorded in OCI, allowance for credit losses, estimated fair value, and weighted-average yield of investment securities available for sale by contractual maturities as of September 30, 2020 were as follows:

		September 30, 2020
		Amortized cost						Allowance for Credit Losses		Fair value
				Gross Unrealized								Weighted-
				gains		losses						average yield%
(Dollars in thousands)
U.S. Treasury securities:
	Due within one year	$	7,493	$	38	$	-	$	-	$	7,531	1.65
U.S. government-sponsored
agencies' obligations:
Due within one year			34,442		402		-		-		34,844	1.82
After 1 to 5 years			544,175		813		958		-		544,030	0.80
After 5 to 10 years			117,940		671		181		-		118,430	1.41
After 10 years			21,820		-		144		-		21,676	0.65
Puerto Rico government obligations:
After 5 to 10 years			4,000		16		-		-		4,016	5.12
After 10 years (1)			4,043		-		828		308		2,907	6.97
United States and Puerto Rico
government obligations			733,913		1,940		2,111		308		733,434	1.01
MBS:
Freddie Mac (“FHLMC”) certificates:
Due within one year			83		8		-		-		91	4.86
After 5 to 10 years			66,337		2,939		-		-		69,276	2.15
After 10 years			579,684		12,331		139		-		591,876	1.73
			646,104		15,278		139		-		661,243	1.77
Ginnie Mae (“GNMA”) certificates:
Due within one year			2		-		-		-		2	2.89
After 1 to 5 years			29,736		1,141		-		-		30,877	2.92
After 5 to 10 years			44,804		121		107		-		44,818	0.61
After 10 years			690,171		13,154		330		-		702,995	1.52
			764,713		14,416		437		-		778,692	1.52
Fannie Mae (“FNMA”) certificates:
After 1 to 5 years			24,823		1,159		-		-		25,982	2.80
After 5 to 10 years			114,332		5,882		-		-		120,214	2.12
After 10 years			709,800		19,848		399		-		729,249	1.95
			848,955		26,889		399		-		875,445	2.00
Collateralized mortgage obligations
issued or guaranteed by the FHLMC,					`
FNMA and GNMA:
After 1 to 5 years			581		-		1		-		580	0.82
After 5 to 10 years			20,055		123		-		-		20,178	0.80
After 10 years			214,437		1,375		224		-		215,588	1.87
			235,073		1,498		225		-		236,346	1.77
Private label:
After 10 years			13,547		-		3,630		1,078		8,839	2.22
Total MBS			2,508,392		58,081		4,830		1,078		2,560,565	1.77
Other
After 1 to 5 years			650		-		-		-		650	2.94
Total investment securities
available for sale		$	3,242,955	$	60,021	$	6,941	$	1,386	$	3,294,649	1.60

Consist of a residential pass-through MBS issued by the PRHFA that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010.The amortized cost, gross unrealized gains and losses recorded in OCI, estimated fair value, and weighted-average yield of investment securities available for sale by contractual maturities as of December 31, 2019 were as follows:

		December 31, 2019
		Amortized cost		Gross Unrealized				Fair value
										Weighted-
				gains		losses				average yield%
(Dollars in thousands)
U.S. Treasury securities:
	After 1 to 5 years	$	7,478	$	1	$	-	$	7,479	1.65
U.S. government-sponsored agencies' obligations:
	Due within one year		93,299		103		106		93,296	1.67
	After 1 to 5 years		142,513		676		52		143,137	2.12
	After 5 to 10 years		63,764		165		150		63,779	2.33
	After 10 years		24,624		-		116		24,508	2.00
Puerto Rico government obligations:
	After 5 to 10 years		4,000		348		-		4,348	5.12
	After 10 years (1)		4,166		-		1,192		2,974	6.97
United States and Puerto Rico government
obligations			339,844		1,293		1,616		339,521	2.11
MBS:
FHLMC certificates:
	After 5 to 10 years		81,418		589		228		81,779	2.16
	After 10 years		424,316		3,873		758		427,431	2.50
			505,734		4,462		986		509,210	2.44
GNMA certificates:
	After 1 to 5 years		4,357		45		-		4,402	3.26
	After 5 to 10 years		42,303		607		-		42,910	2.77
	After 10 years		258,944		7,126		500		265,570	3.03
			305,604		7,778		500		312,882	3.00
FNMA certificates:
	After 1 to 5 years		19,779		415		3		20,191	2.79
	After 5 to 10 years		140,599		1,257		641		141,215	2.14
	After 10 years		700,213		9,006		1,208		708,011	2.58
			860,591		10,678		1,852		869,417	2.51
Collateralized mortgage obligations issued or
	guaranteed by the FHLMC, FNMA
	and GNMA:
	After 1 to 5 years		608		-		1		607	2.43
	After 10 years		80,130		362		220		80,272	2.76
			80,738		362		221		80,879	2.75
Private label:
	After 10 years		15,997		-		4,881		11,116	3.90
Total MBS			1,768,664		23,280		8,440		1,783,504	2.60
Other
	After 1 to 5 years		500		-		-		500	2.95
Total investment securities
	available for sale	$	2,109,008	$	24,573	$	10,056	$	2,123,525	2.52

Consist of a residential pass-through MBS issued by the PRHFA that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010.

Maturities of MBS are based on the period of final contractual maturity. Expected maturities of investments might differ from contractual maturities because they may be subject to prepayments and/or call options. The weighted-average yield on investment securities available for sale is based on amortized cost and, therefore, does not give effect to changes in fair value. The net unrealized gain or loss on securities available for sale is presented as part of OCI.

The following tables show the Corporation’s available-for-sale investment securities fair value and gross unrealized losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, as of September 30, 2020 and December 31, 2019. The tables also include debt securities for which an ACL was recorded as of September 30, 2020 or a credit loss was charged against the amortized cost basis of the debt security prior to the adoption of ASC 326 on January 1, 2020.

	As of September 30, 2020
	Less than 12 months				12 months or more				Total
			Unrealized				Unrealized				Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico-government obligations	$	-	$	-	$	2,907	$	828	$	2,907	$	828
U.S. Treasury and U.S. government
agenciesʼ obligations		242,648		1,131		20,985		152		263,633		1,283
MBS:
FNMA		147,286		399		-		-		147,286		399
FHLMC		96,439		139		-		-		96,439		139
GNMA		122,052		437		-		-		122,052		437
Collateralized mortgage obligations
issued or guaranteed by the
FHLMC, FNMA and GNMA		80,135		139		10,023		86		90,158		225
Private label MBS		-		-		8,839		3,630		8,839		3,630
	$	688,560	$	2,245	$	42,754	$	4,696	$	731,314	$	6,941
	As of December 31, 2019
	Less than 12 months				12 months or more				Total
			Unrealized				Unrealized				Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico-government obligations	$	-	$	-	$	2,974	$	1,192	$	2,974	$	1,192
U.S. Treasury and U.S. government
agenciesʼ obligations		45,073		172		99,764		252		144,837		424
MBS:
FNMA		58,668		499		173,708		1,353		232,376		1,852
FHLMC		74,134		270		63,864		716		137,998		986
GNMA		79,145		472		7,203		28		86,348		500
Collateralized mortgage obligations
issued or guaranteed by the
FHLMC, FNMA and GNMA		21,873		221		-		-		21,873		221
Private label MBS		-		-		11,116		4,881		11,116		4,881
	$	278,893	$	1,634	$	358,629	$	8,422	$	637,522	$	10,056

During the first nine months of 2020, proceeds from sales of available-for-sale investment securities amounted to $1.1 billion, including gross realized gains of $13.5 million and gross unrealized losses of $0.1 million. The $13.4 million net gain on tax-exempt securities or realized at the tax-exempt international banking entity subsidiary, had no effect in the income tax expense recorded for the first nine months of 2020.

Assessment for Credit Losses

Debt securities issued by U.S. government agencies, U.S. GSEs, and the U.S. Treasury, including notes and MBS, accounted for approximately 99% of the total available-for-sale portfolio as of September 30, 2020, and the Corporation expects no credit losses, given the explicit and implicit guarantees provided by the U.S. federal government. Because the decline in fair value is attributable to changes in interest rates, and not credit quality, and because the Corporation does not have the intent to sell these U.S. government and agencies debt securities and it is likely that it will not be required to sell the securities before their anticipated recovery, the Corporation does not consider impairments on these securities to be credit related as of September 30, 2020. The Corporation’s credit loss assessment was concentrated mainly on private label MBS, and on Puerto Rico government debt securities, for which credit losses are evaluated on a quarterly basis. The Corporation considered the following factors in determining whether a credit loss existed and the period over which the debt security was expected to recover:

 Any adverse change to the credit conditions and liquidity of the issuer, taking into consideration the latest information available about the financial condition of the issuer, credit ratings, the failure of the issuer to make scheduled principal or interest payments, recent legislation and government actions affecting the issuer’s industry; and actions taken by the issuer to deal with the present economic climate;

 Changes in the near-term prospects of the underlying collateral for a security, if any, such as changes in default rates, loss severity given default, and significant changes in prepayment assumptions; and

 The level of cash flows generated from the underlying collateral, if any, supporting the principal and interest payments of the debt securities.

The Corporation’s available-for-sale MBS portfolio included private label MBS with a fair value of $8.8 million, which had unrealized losses of approximately $4.7 million as of September 30, 2020 of which $1.1 million is due to credit deterioration and was charged against earnings through an ACL. The interest rate on these private-label MBS is variable, tied to 3-month LIBOR and limited to the weighted-average coupon on the underlying collateral. The underlying collateral are fixed-rate, single-family residential mortgage loans in the United States with original FICO scores over 700 and moderate loan-to-value ratios (under 80%), as well as moderate delinquency levels. As of September 30, 2020, the Corporation did not have the intent to sell these securities and determined that it was likely that it will not be required to sell the securities before anticipated recovery. The Corporation determined the ACL for private label MBS based on a risk-adjusted discounted cash flow methodology that considers the structure and terms of the instruments. The Corporation utilized PDs and LGDs that consider, among other things, historical payment performance, loan-to value attributes and relevant current and forward-looking macroeconomic variables, such as regional unemployment rates and the housing price index. Under this approach, all future cash flows (interest and principal) from the underlying collateral loans, adjusted by prepayments and the PDs and LGDs derived from the above-described methodology, were discounted at the effective interest rate as of the reporting date. Significant assumptions in the valuation of the private label MBS were as follows:

	As of			As of
	September 30, 2020			December 31, 2019
	Weighted	Range		Weighted	Range
	Average	Minimum	Maximum	Average	Minimum	Maximum
Discount rate	12.4%	12.4%	12.4%	13.7%	13.7%	13.7%
Prepayment rate	10.9%	2.6%	13.7%	7.9%	6.8%	10.3%
Projected Cumulative Loss Rate	11.8%	2.4%	26.3%	2.8%	0.0%	7.4%

The Corporation evaluates if a credit loss exists, primarily by monitoring adverse variances in the present value of expected cash flows. As of September 30, 2020, the ACL for these private label MBS was $1.1 million, consisting of a $1.4 million provision recorded in the first half of 2020 and charge-offs of $0.2 million taken against the reserve in the third quarter of 2020. The ACL established was based on a decline in the present value of expected cash flows taking into consideration the effect of a deterioration in forecasted economic conditions due to the COVID-19 pandemic.

As of September 30, 2020, the Corporation’s available-for-sale investment securities portfolio also included bonds of the PRHFA with a fair value of $6.9 million, which had unrealized net losses of approximately $1.1 million. These bonds include a residential pass-through MBS issued by the PRHFA that is collateralized by certain second mortgages with a fair value of $2.9 million, which had an unrealized loss of $1.1 million as of September 30, 2020, of which $0.3 million was due to credit deterioration and was charged against the provision for credit losses. The underlying second mortgage loans were originated under a program launched by the Puerto Rico government in 2010. This residential pass-through MBS was structured as a zero-coupon bond for the first ten years (up to July 2019). The underlying source of payment on this residential pass-through MBS is second mortgage loans in Puerto Rico. PRHFA, not the Puerto Rico government, provides a guarantee in the event of default and subsequent foreclosure of the properties underlying the second mortgage loans. Based on the quarterly analysis performed, in the second quarter of 2020, the Corporation recorded charges to the provision for credit losses of $0.3 million for this residential pass-through MBS. The Corporation determined the ACL on this instrument based on a risk-adjusted discounted cash flow methodology that considers the structure and terms of the underlying collateral. The Corporation utilized PDs and LGDs that considered, among other things, historical payment performance, loan-to value attributes and relevant current and forward-looking macroeconomic variables, such as regional unemployment rates, the housing price index and expected recovery from the PRHFA guarantee. Under this approach, all future cash flows (interest and principal) from the underlying collateral loans, adjusted by prepayments and the PDs and LGDs derived from the above-described methodology, were discounted at the internal rate of return as of the reporting date and compared to the amortized cost. In the event that the second mortgage loans default and the collateral is insufficient to satisfy the outstanding balance of this residential pass-through MBS, PRHFA’s ability to honor its insurance will depend on, among other factors, the financial condition of PRHFA at the time such obligation becomes due and payable. Further deterioration of the Puerto Rico economy or fiscal health of the PRHFA could impact the value of these securities, resulting in additional losses to the Corporation. As of September 30, 2020, the Corporation did not have the intent to sell this security and determined that it was likely that it will not be required to sell the security before its anticipated recovery.

The following table presents a rollforward by major security type for the quarter and nine-month period ended September 30, 2020 of the ACL on debt securities available-for-sale:

	Quarter Ended September 30, 2020
	Private label MBS		Puerto Rico Government Obligations		Total
(In thousands)
Beginning Balance	$	1,323	$	308	$	1,631
Additions for securities for which no previous expected credit
losses were recognized (provision for credit losses)		-		-		-
Addition for securities for which previous expected credit losses
were recognized (provision for credit losses)		-		-		-
Net charge-offs		(245)		-		(245)
	$	1,078	$	308	$	1,386
	Nine-Month Period Ended September 30, 2020
	Private label MBS		Puerto Rico Government Obligations		Total
(In thousands)
Beginning Balance	$	-	$	-	$	-
Additions for securities for which no previous expected credit
losses were recognized (provision for credit losses)		-		308		308
Addition for securities for which previous expected credit losses
were recognized (provision for credit losses)		1,323		-		1,323
Net charge-offs		(245)		-		(245)

$ 1,078 $ 308 $ 1,386

During the third quarter and first nine months of 2019, the Corporation recorded OTTI losses on available-for-sale debt securities as follows:

		Quarter Ended		Nine-Month Period Ended
		September 30,		September 30,
		2019		2019
(In thousands)
Total OTTI losses		$	(557)	$	(557)
Portion of OTTI recognized in OCI			60		60
Net impairment losses recognized in earnings (1)		$	(497)	$	(497)
(1)	Prior to the adoption of CECL on January 1, 2020, credit-related impairment recognized in earnings was reported as part of net gain (loss) on investment securities in the consolidated statements of income rather than as a provision for credit losses.

Investments Held to Maturity

The amortized cost, gross unrecognized gains and losses, estimated fair value, ACL, weighted-average yield and contractual maturities of investment securities held to maturity as of September 30, 2020 and December 31, 2019 were as follows:

		September 30, 2020
		Amortized cost						Fair value		Allowance for Credit Losses
				Gross Unrecognized
(Dollars in thousands)				Gains		Losses						Weighted- average yield%
Puerto Rico municipal bonds:
	Due within one year	$	550	$	-	$	26	$	524	$	133	5.41
	After 1 to 5 years		17,203		-		611		16,592		375	3.11
	After 5 to 10 years		88,224		-		5,387		82,837		3,773	4.68
	After 10 years		83,179		-		16,158		67,021		5,895	3.62
Total investment securities
	held to maturity	$	189,156	$	-	$	22,182	$	166,974	$	10,176	4.07

		December 31, 2019
		Amortized cost						Fair value
				Gross Unrecognized
(Dollars in thousands)				Gains		Losses				Weighted- average yield%
Puerto Rico municipal bonds:
	Due within one year	$	321	$	-	$	6	$	315	5.84
	After 1 to 5 years		8,264		-		736		7,528	5.18
	After 5 to 10 years		56,511		-		8,646		47,865	5.77
	After 10 years		73,579		-		18,913		54,666	5.44
Total investment securities
	held to maturity	$	138,675	$	-	$	28,301	$	110,374	5.56

The following tables show the Corporation’s held-to-maturity investments’ fair value and gross unrecognized losses, aggregated by investment category and length of time that individual securities had been in a continuous unrecognized loss position, as of September 30, 2020 and December 31, 2019, including debt securities for which an ACL was recorded as of September 30, 2020:

	As of September 30, 2020
	Less than 12 months				12 months or more				Total
			Unrecognized				Unrecognized				Unrecognized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
		(In thousands)
Debt securities:
Puerto Rico municipal bonds	$	55,643	$	1,269	$	111,331	$	20,913	$	166,974	$	22,182
	As of December 31, 2019
	Less than 12 months				12 months or more				Total
			Unrecognized				Unrecognized				Unrecognized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
		(In thousands)
Debt securities:
Puerto Rico municipal bonds	$	-	$	-	$	110,374	$	28,301	$	110,374	$	28,301

The Corporation determines the ACL of Puerto Rico municipal bonds based on the product of a cumulative PD and LGD, and the amortized cost basis of the bonds over their remaining expected life as described in Note 1 – Basis of Presentation and Significant Accounting Policies, above.

The Corporation performs periodic credit quality reviews on these issuers. All of the Puerto Rico municipal bonds were current as to scheduled contractual payments as of September 30, 2020. Upon adoption of CECL on January 1, 2020, the Corporation recognized an ACL for held-to-maturity securities of approximately $8.1 million as a cumulative effect adjustment from a change in accounting policy, with a corresponding decrease in retained earnings, net of applicable income taxes. The Puerto Rico municipal bonds had an ACL of $10.2 million as of September 30, 2020, including the $8.1 million effect of adopting CECL, a $1.3 million initial ACL established for PCD debt securities with a fair value of $55.5 million acquired in the BSPR acquisition, and a $0.8 million charge to the provision recorded in the first nine months of 2020 primarily reflecting the effect of the deteriorating economic outlook due to the COVID-19 pandemic on the macroeconomic variables used for the determination of the PD and LGD used in the model.

The following table presents the activity in the ACL for debt securities held to maturity by major security type for the quarter and nine-month period ended September 30, 2020:

	Puerto Rico Municipal Bonds
	Quarter Ended		Nine-Month Period Ended
	September 30, 2020		September 30, 2020
(In thousands)
Beginning Balance	$	9,268	$	-
Impact of adopting ASC 326		-		8,134
Initial allowance on PCD debt securities		1,269		1,269
Provision for credit losses		(361)		773
	$	10,176	$	10,176

PCD Debt Securities

Upon the adoption of ASC 326, acquired held-to-maturity debt securities classified as PCD are recorded at an initial amortized cost, which is comprised of the purchase price of the debt securities (or initial fair value) and the initial ACL determined for the debt securities, which represents the fair value credit discount, which is added to the purchase price of the debt securities, and any resulting premium or discount related to factors other than credit.

Upon the adoption of ASC 326, acquired loans classified as PCD are recorded at an initial amortized cost, which is comprised of the purchase price of the loans (or initial fair value) and the initial ACL determined for the loans, which represents the fair value credit discount, and any resulting premium or discount related to factors other than credit.

The following table reconciles the difference between the purchase price of the PCD held-to-maturity debt securities acquired in the BSPR acquisition and the par value:

(In thousands)
	Puerto Rico Municipal Bonds
Purchase price of debt securities at acquisition (initial fair value)	$	55,532
Allowance for credit losses at acquisition		1,269
Non-credit discount at acquisition		10,281
Par value of acquired debt securities at acquisition	$	67,082

During the second quarter of 2019, the oversight board established by PROMESA announced the designation of Puerto Rico’s 78 municipalities as covered instrumentalities under PROMESA. Meanwhile, the latest fiscal plan certified by the PROMESA oversight board did not contemplate a restructuring of the debt of Puerto Rico’s municipalities, but the plan did call for the gradual elimination of budgetary subsidies provided to municipalities by the central government. Furthermore, municipalities are also likely to be affected by the negative economic and other effects resulting from expense, revenue or cash management measures taken by the Puerto Rico government to address its fiscal problems, or measures included in fiscal plans of other government entities, such as the fiscal plans of the Government Development Bank for Puerto Rico (“GDB”) and the Puerto Rico Electric Power Authority (“PREPA”), and, more recently, by the effect of the COVID-19 pandemic on the Puerto Rico and global economy. Given the uncertain effect that the negative fiscal situation of the Puerto Rico central government, the COVID-19 pandemic, and the measures taken, or to be taken, by other government entities in response to the COVID-19 pandemic may have on municipalities, the Corporation cannot be certain whether future charges to the ACL on these securities will be required.

From time to time, the Corporation has securities held to maturity with an original maturity of three months or less that are considered cash and cash equivalents and are classified as money market investments in the consolidated statements of financial condition. As of September 30, 2020 and December 31, 2019, the Corporation had no outstanding securities held to maturity that were classified as cash and cash equivalents.

Credit Quality Indicators:

As mentioned in Note 1 – Basis of Presentation and Significant Accounting Policies, above, the held-to-maturity investment securities portfolio consisted of financing arrangements with Puerto Rico municipalities issued in bond form, which are accounted for as securities, but are underwritten as loans with features that are typically found in commercial loans. Accordingly, the Corporation monitors the credit quality of Puerto Rico municipal bonds held-to-maturity through the use of internal credit-risk ratings, which are generally updated on a quarterly basis. The Corporation considers a debt security held-to-maturity as a criticized asset if its risk rating is Special Mention, Substandard, Doubtful or Loss. Puerto Rico municipal bonds that do not meet the criteria for classification as criticized assets are considered to be pass-rated securities. The asset categories are defined below:

Pass – Assets classified as pass have a well-defined primary source of repayment, with no apparent risk, strong financial position, minimal operating risk, profitability, liquidity and strong capitalization.

Special Mention – Special Mention assets have potential weaknesses that deserve management’s close attention. If left uncorrected, these potential weaknesses may result in deterioration of the repayment prospects for the asset or in the Corporation’s credit position at some future date. Special Mention assets are not adversely classified and do not expose the Corporation to sufficient risk to warrant adverse classification.

Substandard – Substandard assets are inadequately protected by the current sound worth and paying capacity of the obligor or of the collateral pledged, if any. Assets so classified must have a well-defined weakness or weaknesses that jeopardize the liquidation of the debt. They are characterized by the distinct possibility that the institution will sustain some loss if the deficiencies are not corrected.

Doubtful – Doubtful classifications have all of the weaknesses inherent in those classified Substandard with the added characteristic that the weaknesses make collection or liquidation in full highly questionable and improbable, on the basis of currently known facts, conditions and values. A Doubtful classification may be appropriate in cases where significant risk exposures are perceived, but loss cannot be determined because of specific reasonable pending factors, which may strengthen the credit in the near term.

Loss – Assets classified Loss are considered uncollectible and of such little value that their continuance as bankable assets is not warranted. This classification does not mean that the asset has absolutely no recovery or salvage value, but rather that it is not practical or desirable to defer writing off this asset even though partial recovery may occur in the future. There is little or no prospect for near term improvement and no realistic strengthening action of significance pending.

The Corporation periodically reviews its asset classifications to evaluate if they are properly classified, and to determine impairment, if any. The frequency of these reviews will depend on the amount of the aggregate outstanding debt, and the risk rating classification of the obligor.

The Corporation has a Loan Review Group that reports directly to the Corporation’s Risk Management Committee and administratively to the Chief Risk Officer. The Loan Review Group performs annual comprehensive credit process reviews of the Bank’s commercial loan portfolios, including the above-mentioned Puerto Rico municipal bonds accounted for as held-to-maturity securities. This group evaluates the credit risk profile of portfolios, including the assessment of the risk rating representative of the current credit quality of the assets, and the evaluation of collateral documentation, if applicable. The monitoring performed by this group contributes to the assessment of compliance with credit policies and underwriting standards, the determination of the current level of credit risk, the evaluation of the effectiveness of the credit management process and the identification of any deficiency that may arise in the credit-granting process. Based on its findings, the Loan Review Group recommends corrective actions, if necessary, that help in maintaining a sound credit process. The Loan Review Group reports the results of the credit process reviews to the Risk Management Committee.

The following table summarizes the amortized cost of debt securities held-to-maturity as of September 30, 2020 and December 31, 2019, aggregated by credit quality indicator:

	Held to Maturity
	Puerto Rico Municipal Bonds
	September 30,		December 31
(In thousands)	2020		2019
Risk Ratings:
Pass	$	189,156	$	138,675
Criticized:
Special Mention		-		-
Substandard		-		-
Doubtful		-		-
Loss		-		-
Total	$	189,156	$	138,675

No held-to-maturity debt securities were on nonaccrual status, 90 days past due and still accruing, or past due as of September 30, 2020 and December 31, 2019. A security is considered to be past due once it is 30 days contractually past due under the terms of the agreement.