Home prices are increasing at their fastest pace since the first quarter of 2006 and on a year-over-year basis the S&P Case-Shiller index reported 11.2% increase in home price appreciation.
Interest rate on 10-year U.S. Treasuries rose 83 basis points this quarter, while short term interest rates remain near zero.
The yield curve deepened over the period with a spread between two-year and 10-year treasury notes doubling to 158 basis points on market concerns of future inflation expectations.
The BMO's high yield index ended the quarter tighter by 57 basis point while spreads AAA rated securitized reperforming loans tightened by an approximately 15 basis points.
As part of our call optimization strategy, this quarter we exercise our call rights on six outstanding deals representing $4.1 billion of residential mortgage loans.
In February, we issued $2.1 billion CIM 2021-R1 and $233 million CIM 2021-NR1.
These securitizations created $1.9 billion of new securitized debt at a weighted average cost of 2.04%.
The terminated debt had $1.7 billion outstanding with the previous cost of 5.2%, a savings of more than 300 basis points.
In March, we issued $1.5 billion CIM 2021-R2 and $240 million CIM 2021-NR2.
The March securitizations created $1.5 billion of new securitized debt, at a weighted average cost of 2.24%.
The terminated debt had $1.2 billion outstanding, with a previous cost of 4.22%, a savings of about 200 basis points.
The high advance rate on these four securitizations enabled us to release equity, locked in from the prior securitizations and lower our costs of securitized debt by 265 basis points.
For the month of April we issued $860 million CIM 2021-R3 and $117 million CIM 2021-NR3.
The April securitizations created $813 million of new debt at a weighted average cost of 2.12%.
The terminated debt had $682 million outstanding, with a previous cost of 4.14%.
a savings of 200 basis points.
Securitized debt represents nearly 70% of Chimera's liabilities structure.
At the end of March, Chimera paid off $4 million, 7% secured financing, and retired for cash the associated warrants on approximately 20 million shares.
The cash cost on the warrants came at a 10% discount to the value of our common stock and then eliminated any future equity dilution on these shares.
Our secured financing now stand at $4 billion down for $4.6 billion at quarter end.
The weighted average rate on our secured financing at the end of March was 2.7%, down 70 basis points from 3.4% at year end.
On the asset side of the balance sheet, this quarter Chimera purchase and securitized NR CIM 2021 J1 and J2 deals, a total of $884 million prime jumbo loans.
Separately, through a series of transactions, we purchased $166 million high yielding business purpose loans.
The weighted average coupon on these loans was 8.5% and has an expected portfolio yield of 7%.
This quarter we sold $182 million Ginnie Mae project loans, generating $14 million in realized gains.
In addition, seven Ginnie Mae project loans were called during the quarter totaling $146 million.
Unlike traditional agency pass-throughs, Ginnie Mae project loans carry explicit call protection, and due to this feature we collected approximately $14 million in interest income through P-pay penalties.
Through the end of April, we have re securitized $5.1 billion loans, lowered our cost of financing and freed up capital to help pay down higher cost debt.
And over the remainder of 2021, we have eight additional deals with approximately $1.7 billion unpaid balance for potential resecuritizations.
GAAP book value at the end of the first quarter was $11.44.
GAAP net income for the first quarter was $139 million or $0.54 per share.
net income for the first quarter was $87 million or $0.36 per share.
Economic net interest income for the first quarter was $136 million.
For the first quarter, the yield on average interest earning assets was 6.4%.
Our average cost of funds was 3.3%.
And our net interest spread was 3.1%.
Total leverage for the first quarter was 3.6:1, while recourse leverage ended the quarter at 1.1:1.
For the quarter, our economic net interest return on equity was 15%.
And our GAAP return on average equity was 17%.
Expenses for the first quarter, excluding servicing fees and transaction expenses were $18.6 million, up slightly from last quarter.

Summary:
GAAP book value at the end of the first quarter was $11.44.
GAAP net income for the first quarter was $139 million or $0.54 per share.
net income for the first quarter was $87 million or $0.36 per share.