Securities Held-to-Maturity

12 Months Ended

Dec. 31, 2019

Note 7—Securities Held-to-Maturity

Agency B Piece Bonds. Freddie Mac may choose to hold, sell or securitize loans we sell to them under the Freddie Mac SBL program. As part of the securitizations under the SBL program, we have the option to purchase through a bidding process the B Piece bond, that represents the bottom 10%, or highest risk, of the securitization. As of December 31, 2019, we retained 49%, or $106.2 million initial face value, of seven B Piece bonds, which were purchased at a discount for $74.7 million, and sold the remaining 51% to a third-party at par. These securities are collateralized by a pool of multifamily mortgage loans, bear interest at an initial weighted average variable rate of 3.74% and have an estimated weighted average remaining maturity of 5.8 years. The weighted average effective interest rate was 10.85% and 10.94% at December 31, 2019 and 2018, respectively, including the accretion of a portion of the discount deemed collectible. Approximately $14.2 million is estimated to mature within one year, $40.8 million is estimated to mature after one year through five years, $20.6 million is estimated to mature after five years through ten years and $15.4 million is estimated to mature after ten years.

Structured Single-Family Rental Bonds. During 2019, we purchased $20.0 million initial face value of Class A2 securitized SFR bonds at par, which are collateralized by a pool of single-family rental properties. These securities have a three-year maturity, bear interest at a weighted average fixed interest rate of 4.58% and have an estimated weighted average remaining maturity of 0.5 years. Approximately $18.7 million is estimated to mature within one year and $1.3 million is estimated to mature after one year through five years.

A summary of our securities held-to-maturity is as follows (in thousands):


			Carrying		Unrealized		Estimated
Period	Face Value		Value		Gain		Fair Value
December 31, 2019	$	111,028	$	88,699	$	3,039	$	91,738

December 31, 2018	$	103,515	$	76,363	$	2,734	$	79,097

As of December 31, 2019, no impairment was recorded on these held-to-maturity securities. During 2019, 2018 and 2017, we recorded interest income (including the amortization of discount) of $9.9 million, $5.8 million and $1.8 million, respectively, related to these investments.