We issued a $374 million three-year convertible bond, we entered into a $400 million three-year revolving loan facility arranged by Ares Capital and we executed three new mortgage securitizations, totaling over $1 billion, which significantly reduced our loan warehouse exposure and helped reopen the mortgage securitization market, which is a primary source for Chimera's long-term financing.
We now have approximately 75% of our credit borrowings on longer-term facilities and over 50% of them have no mark-to-market or limited mark-to-market arrangements.
The 10-year treasury yield is now roughly 55 basis points and a rate on a new 30-year mortgage dipped below 3% for the first time in history.
During the quarter, we focused on the liability side of our balance sheet and entered into three non-mark-to-market facilities to finance $2 billion of our non-agency portfolio.
In addition, we have limited mark-to-market on $611 million of non-agency securities.
As a result of these transactions, approximately 54% of our non-agency borrowings are not subject to full mark-to-market risk.
As of quarter end, the weighted average term to maturity has increased to 698 days from 223 days in the first quarter.
To reduce the risk on our warehouse lines, we completed three securitizations, totaling approximately $1.1 billion in seasoned, reperforming mortgage loans.
After the completion of this quarter's securitization, our residential mortgage loan warehouse stands at $263 million and is financed for one year without mark-to-market risk.
CIM 2020-R3 issued in May had $438 million underlying loans with a weighted average coupon of 5.28% and a weighted average loan age of 150 months.
The average loan size in the R3 securitization was $127,000 and the average FICO was 651 with an average LTV of 80%.
We sold $329 million senior securities with a 4.2% cost of debt.
CIM 2020-R4 had $276 million underlying loans, with a weighted average coupon of 4.78% with a weighted average loan age of 168 months.
The average loan size in the R4 was $127,000.
The average FICO was 598 with an average LTV of 75%.
We sold $207 million senior securities with a 3.2% cost of debt.
We issued CIM 2020-R5 with $338 million underlying loans with an average coupon of 4.98%.
The R5 securitization had a weighted average loan age of 149 months and an average loan size of $152,000.
The loans had a weighted average FICO of 678 with an average LTV of 70%.
We sold $257 million of investment-grade securities with a 2.05% cost of debt, more than 200 basis points tighter than our early May deal.
And in late July, we issued $362 million CIM 2020-J1, our first jumbo securitization of the year.
We have 13 existing CIM securitization totaling $7.5 billion available for call and refinancing over the next 12 months.
GAAP book value at the end of the second quarter was $10.63 per share.
Our GAAP net loss for the second quarter was $73 million or $0.37 per share.
On a core basis, net income for the second quarter was $76 million or $0.32 per share.
Our economic net interest income for the second quarter was $121 million.
For the second quarter, our yield on interest-earning assets was 5.7%, our average cost of funds was 3.3%, and our net interest spread was 2.4%.
Total leverage for the second quarter was 4.3:1 while recourse leverage ended the quarter at 1.8:1.
Expenses for the second quarter, excluding servicing fees and transaction expenses were $17 million, down from last quarter, primarily related to lower compensation expenses.
We currently have approximately $850 million in cash and unencumbered assets.

Summary:
GAAP book value at the end of the second quarter was $10.63 per share.
Our GAAP net loss for the second quarter was $73 million or $0.37 per share.
On a core basis, net income for the second quarter was $76 million or $0.32 per share.