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Text: Before we begin, I'd like to review the safe harbor statements.
During the call today, we may also discuss non-GAAP financial measures.
Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date of this earnings call.
We do not undertake and specifically disclaim any obligation to update or revise this information.
I will now turn the conference over to our CEO and chief investment officer, Mohit Marria.
Joining me on the call today are Choudhary Yarlagadda, our president and chief operating officer; Subra Viswanathan, our new chief financial officer; Kelley Kortman, our chief accounting officer; and Vic Falvo, our head of capital markets.
This quarter, we continued to make significant progress toward optimization of our liability structure.
For the six months of 2021, we successfully refinanced 12 legacy CIM securitizations supporting more than $5.6 billion of loans.
The results of these transactions has lowered our overall cost of debt by approximately 245 basis points, and we expect this cost savings to continue to benefit our shareholders in the future.
The National Association of REALTORS recently reported sales of existing homes at 5.9 million annual units, with a median sale price of more than $363,000, up more than 23% from a year ago.
Demand for single-family homes remain strong, while the inventory of homes available for sales persist near record low levels.
According to Black Knight data and analytics, in June, the national delinquency rate hit its lowest level since the onset of the pandemic and is now back below the pre-great recession average.
The 30-plus day delinquency rate was reported at 4.4% of outstanding loans, down 42% on a year-over-year basis.
Strong demand for existing homes, higher home prices, and lower delinquency rates provide strong fundamental support for Chimera's large portfolio of seasoned low-loan balance mortgages.
Interest rates on government bonds experienced a both flattening move in the second quarter.
Over the period, the yield on 10-year treasury notes fell by 27 basis points while the yield on two-year treasury rose by nine basis points.
Interest rates on money market instruments, including overnight repo remained near zero.
Investor demand for higher-yielding fixed income products were strong and spreads on credit products continue to trend tighter.
Accordingly, the Bloomberg Barclays U.S. Corporate High Yield Index ended the quarter at 3.75%, its lowest yield ever.
Tighter credit spreads, coupled with low-absolute interest rates, have presented attractive market opportunities to refinance our existing securitized debt and secured financing at significantly lower costs.
As part of our continued call optimization strategy, this quarter, we called and refinanced six CIM legacy deals, representing more than 1.5 billion of loans.
The new securitization successfully optimized our liabilities through the extraction of capital and lowering cost of debt.
Our April deals, CIM 2021-R3 and NR3 on a combined basis, had a total of 813 million of securitized debt supported by 977 million of loans.
The combined advance rate was 83%, enabling us to extract 125 million of capital while lowering our cost of debt for these loans by 200 basis points to 2.12%.
Chimera retained 164 million of subordinate and IO securities as investments from these deals.
The new securitizations have a calendar call dates.
The R3 financing will be callable beginning April 2024 and the NR3 financing is callable beginning April of 2022.
In June, we issued 546 million CIM 2021-R4.
The deal consisted of 464 million securitized debt, representing an 85% advance rate and a 1.97% cost of debt for these loans.
The R4 freed up 98 million of capital and provided cost savings of approximately 180 basis points.
Chimera retained 82 million of subordinate and IO securities as investments.
The R4 financing has a calendar call date beginning June 2024.
We have provided additional details on Page 8 of our earnings supplement to further assist you in the analysis of this quarter's CIM securitizations.
Securitizations has long been a cost-effective and efficient financing vehicle for Chimera.
In the first half of 2021, Chimera's resecuritization activity enabled us to take out capital, reduce the size, and lower the cost of our outstanding credit financing.
And in conjunction with this year's resecuritizations, we have also refinanced several of our outstanding secured credit facilities.
We have made meaningful improvements with the average cost of our secured financing for residential credit assets in the second quarter at 3.5%, down from 4.9% at year end.
We've always been extremely prudent and diligent when making our long-term investment decisions.
Our Agency CMBS portfolio is constructive with explicit prepay protection.
As interest rates have fallen and maintained near historic lows, we have been active in managing our Agency CMBS to determine the best course of action between long-term hold and gain on sale securitization or reaping benefits through explicit prepay penalties.
This quarter, through the combination of prepay penalties received from our Ginnie Mae project loans and early pay downs of non-agency credit, we generated onetime nonrecurring income of 38 million.
Our prepay penalties we received this year is proof of concept for many of the positive convexity attributes we have regularly discussed over the years.
Now at the midpoint of 2021, I believe we have made a meaningful impact on our balance sheet.
We have resecuritized debt supporting 5.6 billion of loans through seven separate securitizations, lowered our cost of securitized debt by over 245 basis points, lowered the cost of our repo credit facilities by 140 basis points since year end, retired high-cost debt and warrants incurred during the pandemic, issued three jumbo prime securitizations totaling 1.2 billion, purchased more than 200 million of high-yielding fix and flip loans and increased our quarterly dividend by 10% to $0.33.
Securitizations of loans locking stable long-term financing for our loan portfolio.
We have successfully refinanced many of our outstanding legacy deals, and we have an additional five deals with 1 billion of unpaid principal balance that are or will become callable over the next six months.
Looking forward, we continue to seek opportunities to further improve our liability structure.
And as always, stay the course as a patient long-term investor focus on investments to provide our shareholders with stable book value and a sustainable and attractive risk-adjusted dividend.
I'll now review Chimera's financial highlights for the second quarter of 2021.
GAAP book value at the end of the second quarter was $11.45 per common share.
GAAP net income for the second quarter was 145 million or $0.60 per share on a fully diluted basis.
Our core earnings for the second quarter was 130 million or $0.54 per share.
Economic net-interest income for the second quarter was 173 million.
The yield on average interest-earning assets was 7% for the second quarter, while our average cost of funds was 2.6%, resulting in a net-interest rate spread of 4.4%.
Total leverage for the second quarter was 3.3 to one, while our recourse leverage ended the quarter at 1.0 to one.
For the quarter, our economic net-interest return on equity was 19%, and our GAAP return on average equity was 18%.
Expenses for the second quarter, excluding servicing fees and transaction expenses, were 15 million, down approximately 3 million from last quarter.

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q2 gaap earnings per share $0.60.
q2 core earnings per share $0.54.
quarter-end gaap book value of $11.45 per common share.

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