CHIMERA INVESTMENT CORP
For the period ended Jun 30, 2024. Filed Aug 7, 2024.
View on SEC.govAbout this filing
A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Jun 30, 2024 · Filed Aug 7, 2024
CIM$7.31-7.7%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-Q
Period ended 2024-03-31; filed 2024-05-09.
0001628280-24-022269
Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONSCurrent report: 10-Q
Period ended 2024-06-30; filed 2024-08-07.
0001628280-24-035631
Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONSThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 209 previous paragraphs and 208 current paragraphs.
115 unchanged; 70 reworded; 20 added; 17 removed; 7 previous and 3 current paragraphs rearranged.
Tables are not compared: 21 previous and 22 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (20)
Current report
The bond market experienced a sell-off early in the second quarter of 2024 as the outlook dimmed for the Federal Reserve to lower rates against a backdrop of stubbornly high inflation. However, by quarter-end, the bond market began to rally, as expectation of future inflation began to moderate and investors became more convinced that the Fed would begin to lower interest rates in September.
Current report
The 10-year Treasury yield started the quarter at 4.20%, rose to 4.70% by late April, and dropped back to 4.40% by the end of June while overnight funds and the 30-year mortgage commitment rate remained relatively unchanged.
Current report
Despite bond market volatility, equity markets remained resilient, with US equities performing well, driven by improved corporate earnings and favorable inflation data. For the near term, we believe that investors will most likely be focused on an increase in election-related uncertainties, with moderating economic growth, inflation and potential rate cuts setting a positive environment for corporate earnings and equity prices.
Current report
Capital raising activity: In May 2024, we issued $65 million of unsecured senior notes, bear interest at a rate equal to 9.00% per year, payable in cash on a quarterly basisdue May 15, 2029. Net of underwriting fees, we received a total of $62 million in proceeds. These notes may be redeemed, in whole or in part, at any time, from time to time, at our option on or after May 15, 2026. While we continue to favor securitized debt as the best source of financing for our assets, the ability to issue unsecured debt helps us to further diversify our capital structure and provide long-term financing for our mortgage credit portfolio. Proceeds from the capital raise were invested in Agency CMO’s (noted below) that we expect to provide accretive returns to our shareholders.
Current report
Following our debt offering in May, we invested in$443 million floating rate Agency CMOs. This investment is meant to be a liquidity sleeve, as we intend to eventually deploy the proceeds into loans or non-Agency subordinate securities as they become available for our targeted returns. We kept our recourse leverage low on the Agency MBS investments, and we expect to generate low double digit returns to more than offset the coupon on our unsecured debt issuance.
Current report
We committed to purchase$486 million of reperforming loans at the end of May which settled directly into a securitization during the third quarter of 2024. We hedged the interest rate risk with $308 million short 5-year treasury future contracts to ensure certainty of net interest margin upon execution of the securitization.
Current report
In July, we sponsored CIM 2024-R1, a $468 million securitization of seasoned reperforming residential mortgage loans. Securities issued by CIM 2024-R1, with an aggregate balance of approximately $352 million, were sold in a private placement to institutional investors. These senior securities represented approximately 75% of the capital structure and we retained subordinate interests in securities with an aggregate balance of approximately $116 million and certain interest-only securities. We also retained an option to call the securitized mortgage loans when their unpaid principal balance is less than or equal to 30% of the unpaid principal balance of the securitized mortgage loans. Our advance rate was 75% with a 5.7% weighted average cost of debt. This was our first RPL securitization for 2024.
Current report
Financing activity – Our secured financings increased by $315 million during the quarter, as we increased our repo borrowings on account of our purchases related to the Agency CMO investments.
Current report
During the second quarter, spreads tightened for most credit products, leading to positive performance for some of the riskier fixed income assets. U.S. High Yield securities were amongst the top performing assets in the fixed income market. Housing data showed slower gains, with existing home sales dropping due to low inventory and affordability issues.
Current report
Specific to securitized product spreads, the credit curve flattened modestly, with the bottom of the capital stack outperforming seniors, a continuing trend from the first quarter. RMBS issuance is running approximately 40% higher than the second half of last year. We believe the market will hold this pace for the remainder of 2024, primarily driven by Jumbo Prime, non-QMs, and HELOCs and closed end second liens.
Current report
Fannie Mae auctioned RPLs and NPLs totaling approximately $1.7 billion that were well received by the markets, resulting in further tightening of loan spreads. The market also saw several Structured Risk Transfer, or SRT, and Credit-linked Notes, or CLN, transactions come to the market as banks took alternative measures to satisfy capital requirements.
Current report
In May 2024, our board of directors unanimously approved a 1-for-3 reverse stock split of our common stock with the objective of reducing our number of common shares outstanding to more closely align with the number of common shares outstanding for companies of a similar market capitalization. As a result of the reverse stock split, which became effective after the close of trading on May 21, 2024, the number of outstanding shares of our common stock reduced from approximately 241 million to approximately 80 million.
Current report
The decline in net income available to common shareholders for the quarter ended June 30, 2024 as compared to March 31, 2024, was primarily driven by lower mark-to-market gains on our portfolio, lower net gains on derivatives, and an increase in our floating rate preferred stock dividends expense. During the quarter ended June 30, 2024, our unrealized gains on financial instruments at fair value decreased by $66 million, net gains on derivatives decreased by $9 million, and preferred stock dividend expense increased by $4 million, as compared to the quarter ended March 31, 2024.
Current report
Due to these changes in our portfolio, our interest income on Loans held for investment, Agency CMBS, and Non-Agency RMBS decreased by $10 million, $3 million, and $179 thousand, respectively, during the six months ended June 30, 2024, as compared to the six months ended June 30, 2023. This decrease was offset in part by an increase in interest income of $2 million on our Agency RMBS portfolio driven by our Agency CMO purchases during the six months ended June 30, 2024, as compared to the six months ended June 30, 2023.
Current report
Interest expense decreased by $2 million, or 2%, to $119 million for thequarter ended June 30, 2024 as compared to $121 million for thequarter ended March 31, 2024. The decrease in interest expense during the quarter ended June 30, 2024, was primarily driven by lower securitized debt balances and lower secured financing agreements collateralized by Loans held for investments, Non-Agency RMBS and Agency CMBS balances. The interest expense on securitized debt decreased by$4 million as the average securitized debt balance decreased by $280 million during the quarter ended June 30, 2024, as compared to the quarter ended March 31, 2024. The interest expense on secured financing agreements collateralized by Loans held for investments, Non-Agency RMBS and Agency CMBS decreased by $2 million, $448 thousand, and $160 thousand, respectively, during the quarter ended June 30, 2024, as compared to the quarter ended March 31, 2024 due to lower balances on these secured financing agreements. This decrease was largely offset by an interest expense increase of $2 million in secured financing agreements collateralized by Agency RMBS driven by Agency CMO purchase financings, and long term debt interest expense increase of$691 thousand.
Current report
Average interest-bearing liabilities decreased by $475 million for the six months ended June 30, 2024, as compared to the six months ended June 30, 2023. Economic interest expense decreased by $15 million for the six months ended June 30, 2024, as compared to the six months ended June 30, 2023.
Current report
During the quarter ended June 30, 2024, we exercised one swaption contract with a $500 million notional, and entered into a one-year swap with $500 million notional and a weighted average fixed pay rate of $3.76%. During the six months ended June 30, 2024, we exercised three swaption contracts, each with $500 million notional and entered into three one-year swaps, each with $500 million notional, and a weighted average fixed pay rate of 3.56%. We entered into one swaption contract for one-year forward starting swap with a notional of $500 million with 3.76% strike rate during the quarter ended June 30, 2023.
Current report
Long Term Debt Expense
Current report
During the second quarter of 2024, we issued $65 million aggregate principal amount of 9.00% unsecured senior notes due 2029 that pays quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $62 million. At June 30, 2024, the outstanding principal amount of these notes was $65 million and the accrued interest payable on this debt was $1 million. At June 30, 2024, the unamortized deferred debt issuance cost was $2.6 million, and the net interest expense was $691 thousand.
Current report
During the quarter and six months ended June 30, 2024, we declared dividends to common shareholders of $29 million and $56 million or $0.35 and $0.68 per share, respectively. During the quarter and six months ended June 30, 2023, we declared dividends to common shareholders of $42 million and $96 million or $0.54 and $1.23 per share, respectively.
Removed paragraphs (17)
Previous report
The U.S. housing market has continued to show resiliency despite the impact of higher mortgage rates. Home price indices demonstrated nationwide increases caused largely by robust consumer demand and a short supply of homes for sale. Although home sales continued to be muted with multi-decade lows and new housing starts declining over 2023, much of this can be explained through low existing housing turnover and higher rates on primary 30-year mortgages. We believe these conditions are positive for the credit performance on residential mortgage loans.
Previous report
Sales – During the first quarter of 2024, we sold approximately $35 million of Agency CMBS positions as a continuation of our portfolio optimization strategy. As a result of the sales, we repaid $33 million of our repo liability and retained additional $1.4 million in net proceeds. This sales transaction resulted in a realized loss of $4 million.
Previous report
Financing activity – During the first quarter of 2024, our secured financings decreased by $47 million from the end of 2023, including the prepayment of $10 million of principal on a longer-term financing facility that will reduce our financing costs going forward.
Previous report
The capital markets ended 2023 on a strong note driven by investor expectations of the Federal Reserve easing interest rates seven times, or 175 basis points, throughout 2024. Of note, the market was forecasting many more rate cuts than the Federal Reserve had indicated through their quarterly dot-plots. As the new year began, economic data reflecting strong employment and increasing inflation rate caused the market to reduce its expectations of interest rate cuts in 2024. The expectation of higher rates for a longer period also triggered a further back-up in interest rates at the long end of the yield curve. By the end of the first quarter, the market expectations of Federal Reserve rate cuts had been re-calibrated to reflect three cuts, or 75 basis points, in 2024, which was consistent with the Federal Reserve’s dot-plot of future interest rates. The four main themes that have emerged as we begin the second quarter are: (i) inflation is still higher than the Federal Reserve’s desired rate, (ii) economic data continues to indicate a strong economy, (iii) long-term interest rates may not have peaked, and (iv) interest rates will experience increased volatility.
Previous report
Strong economic news in the first quarter, however, has been positive for credit spreads which have substantially tightened since the end of 2023. Despite higher rates on U.S. Treasuries, tighter spreads have led to positive performance for many high yield, fixed income assets during the quarter. For securitized products, which are most relevant to us, the credit curve flattened substantially. Strong investor demand resulted in superior performance for the mezzanine and subordinate tranches of most mortgage and asset-backed securities relative to the more senior securities within the same capital structure. New-issue asset-backed securities, or ABS, supply was very strong as issuers rushed to the market with the highest issuance volume since 2016. There were record flows in the Single Family Residential market, or SFR, and Non-QM/Jumbo subordinated mortgage spreads all showed substantial tightening, finally catching up to the Credit Risk Transfer market, or CRT. The market also saw several Structured Risk Transfer, or SRT, and Credit-linked Notes, or CLN, transactions come to market as banks looked to alternative measures to meet capital requirements. The outlook going forward points to a generally stable market with strong ABS issuance buoyed by a strong consumer demand.
Previous report
Strategy Going Forward
Previous report
The return of volatility, higher interest rates, and reduced rate cut expectations have caused us to manage our portfolio from a more defensive posture. We continue to believe that rate cuts, if any, will not begin until after the presidential election in November. As borrowing costs remain high, we have taken steps to limit the impact of rising rates through reductions in our repurchase agreements, exercising swaptions to pay-fixed rate swaps, and adding swaptions as a hedge for future liabilities. Overall, we maintained a defensive posture and adapted to the changing market conditions.
Previous report
During the first quarter, we were selective with our investments. We purchased business purpose loans which are high-yielding, short duration assets, and purchased high-coupon mortgage securities on an unlevered basis. We believe these investments will provide accretive returns to the portfolio while preserving liquidity for future deployment. On the liability side of the balance sheet, we continued to reduce some of our higher cost repo borrowings. We believe the actions taken this quarter, on both sides of the balance sheet, will benefit our net interest income. To further protect our liability cost against higher interest rates, this quarter we added an additional $500 million in 1x1 pay-fixed swaption at a rate of 3.45% to help protect the borrowing cost of the portfolio on a go-forward basis.
Previous report
As we navigate current market conditions, we are focused on maintaining low recourse leverage and managing our liquidity with a proper balance of both cash and unencumbered securities. Our credit portfolio continued to perform well in the first quarter. The credit performance on our portfolio continues to be within, or better than, our original investment expectations on mortgage delinquencies, default rates, and recoveries. While we continue to look to purchase new loan packages, the increase in rates and volatility has caused us to be more selective in our review of opportunities. Nevertheless, we were successful in adding high quality investments this quarter, and we believe increased rate volatility will enable us to continue to add accretive investments for the remainder of the year.
Previous report
Credit spreads tightened substantially throughout the quarter on our investment portfolio, which resulted in market pricing gains and increased the net income available to common shareholders for the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023. During the quarter ended March 31, 2024, our unrealized gains on financial instruments at fair value increased by $70 million and net gains on derivatives increased by $21 million as compared to the quarter ended December 31, 2023.
Previous report
Interest expense decreased by $6 million, or 4%, to $121 million for the quarter ended March 31, 2024 as compared to $127 million for the quarter ended December 31, 2023. This decrease in interest expense for the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023, was primarily driven by our de-levering efforts, which included reducing our secured financing agreements and securitized debt. Our average cost of financing remained unchanged but we reduced our average interest bearing liability balances by $340 million to $10.6 billion for the quarter ended March 31, 2024 as compared to $11.0 billion for the quarter ended December 31, 2023. Interest expense on our secured financing agreements collateralized by Agency MBS, Non-Agency RMBS, and Loans held for investments decreased by $410 thousand, $2 million, and $2 million, respectively, during the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023. Interest expense on our securitized debt decreased by $1 million during the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023 due to lower balances.
Previous report
During the quarter ended March 31, 2024 we exercised our two swaption contracts with $1.0 billion notional and entered into two one-year swaps with $1.0 billion notional with a weighted average 3.46% fixed pay rate.
Previous report
We recorded Net unrealized gains on financial instruments at fair value of $77 million and $65 million for the quarters ended March 31, 2024 and 2023, respectively.
Previous report
We recognized losses on extinguishment of debt of $2 million for the quarter ended December 31, 2023 related to early termination of certain of our secured financing agreements. There were no such secured financing agreement terminations during the quarter ended March 31, 2024 and March 31, 2023.
Previous report
Return on average equity increased by 11% basis points for the quarter ended March 31, 2024, as compared to the quarter ended March 31, 2023. This increase is driven primarily by unrealized asset pricing gains and net gains on derivatives during the first quarter of 2024, compared to the same period of 2023. Economic net interest income as a percentage of average equity remained relatively unchanged for the quarter ended March 31, 2024 as compared to the quarter ended March 31, 2023. Earnings available for distribution as a percentage of average common equity increased by three basis points for the quarter ended March 31, 2024 as compared to the quarter ended March 31, 2023.
Previous report
agreement.
Previous report
We declared dividends to common shareholders of $27 million or $0.11 per share, and $54 million, or $0.23 per share, during the quarters ended March 31, 2024 and 2023, respectively.
Reworded paragraphs (70)
Previous wording
The following discussion of our financial condition and results of operations should be read in conjunction with the consolidated financial statements and notes to those statements included in Item 1 of this Quarterly Report on Form 10-Q.
Current wording
The following discussion of our financial condition and results of operations should be read in conjunction with the consolidated financial statements and notes to those statements included in Item 1 of this Quarterly Report on Form 10-Q. All per share amounts, common shares outstanding and restricted shares for all periods presented reflect our 1-for-3 reverse stock split, which was effective after the close of trading on May 21, 2024.
Previous wording
In this Quarterly Report on Form 10-Q, references to “we,” “us,” “our” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; RMBS refers to mortgage-backed securities secured by pools of residential mortgage loans; CMBS refers to mortgage-backed securities secured by pools of commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; ABS refers to asset-backed securities; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency; IO refers to Interest-only securities.
Current wording
In this Quarterly Report on Form 10-Q, references to “we,” “us,” “our” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; RMBS refers to mortgage-backed securities secured by pools of residential mortgage loans; CMBS refers to mortgage-backed securities secured by pools of commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; ABS refers to asset-backed securities; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Agency CMO refers to collateralized mortgage obligations guaranteed by an Agency and are included in Agency RMBS; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency; IO refers to Interest-only securities.
Previous wording
•our expectations regarding materiality or significance;
Current wording
•our expectations regarding materiality or significance; and
Previous wording
We are a publicly traded REIT that is primarily engaged in the business of investing directly or having a beneficial interest in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, Agency CMBS, business purpose and investor loans, and other real estate-related assets. The mortgage-backed securities, or MBS, and other real estate-related securities we purchase may include investment-grade, non-investment grade, and non-rated classes. We use leverage to increase potential returns from our investments. Our principal business objective is to provide attractive risk-adjusted returns through the generation of distributable income and through asset performance linked to mortgage credit fundamentals. We selectively invest in residential mortgage assets with a focus on credit analysis, projected prepayment rates, interest rate sensitivity and expected return.
Current wording
We are a publicly traded REIT that is primarily engaged in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, Agency CMBS, business purpose and investor loans, and other real estate-related assets. Our investments may be direct or indirect, including through one or more limited partnerships managed by a registered investment advisor. We may make other similar investments as well as invest in entities that originate or service mortgage loans. The mortgage-backed securities, or MBS, and other real estate-related securities we purchase may include investment-grade, non-investment grade, and non-rated classes. We use leverage to increase potential returns from our investments. Our principal business objective is to provide attractive risk-adjusted returns through the generation of distributable income and through asset performance linked to mortgage credit fundamentals. We selectively invest in residential mortgage assets with a focus on credit analysis, projected prepayment rates, interest rate sensitivity and expected return.
Previous wording
We currently focus our investment activities primarily on acquiring residential mortgage loans. In addition, we acquire and own Non-Agency RMBS and Agency MBS. At March 31, 2024, based on the fair value of our interest earning assets, approximately 91% of our investment portfolio was residential mortgage loans, 9% of our investment portfolio was Non-Agency RMBS, and less than 1% of our investment portfolio was Agency MBS. At December 31, 2023, based on the fair value of our interest earning assets, approximately 91% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 1% of our investment portfolio was Agency MBS.
Current wording
We currently focus our investment activities primarily on acquiring residential mortgage loans. In addition, we acquire and own Non-Agency RMBS and Agency MBS. At June 30, 2024, based on the fair value of our interest earning assets, approximately 88% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 4% of our investment portfolio was Agency MBS. At December 31, 2023, based on the fair value of our interest earning assets, approximately 91% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 1% of our investment portfolio was Agency MBS.
Previous wording
We use leverage to seek to increase our potential returns and to finance the acquisition of our assets. We expect to finance our investments using a variety of financing sources, including securitizations, warehouse facilities, and repurchase agreements. We may seek to manage our debt and interest rate risk by utilizing interest rate hedges, such as interest rate swaps, caps, options, and futures to reduce the effect of interest rate fluctuations related to our financing sources.
Current wording
We use leverage to seek to increase our potential returns and to finance the acquisition of our assets. We expect to finance our investments using a variety of financing sources, including securitizations, warehouse facilities, repurchase agreements and the capital markets. We may seek to manage our debt and interest rate risk by utilizing interest rate hedges, such as interest rate swaps, swaptions, caps, options, and futures to reduce the effect of interest rate fluctuations related to our financing sources.
Previous wording
Against this market backdrop, we remained active in the first quarter of 2024 with our investment portfolio as we deployed the proceeds from our equity raise in late 2023. Simultaneously, we continued to reduce our Agency CMBS portfolio.
Current wording
Against this market backdrop, we continued to remain active with our portfolio in the first half of 2024 as we deployed the proceeds from our recent debt and equity raises.
Previous wording
Investments – During the first quarter of 2024, we invested approximately $34 million in subordinated tranches of new issue mortgage securitizations backed by collateral that included reperforming mortgage loans and small balance commercial properties. These investments were purchased at attractive unlevered yields. In addition, we also settled on $78 million of residential transition loans during the quarter, which were committed during the fourth quarter of 2023. These loans were purchased with a weighted average coupon of 10.6% and we expect to receive mid-teen levered returns.
Current wording
Investments: We remained active during the quarter in purchasing assets. In early April, we purchased approximately$16 million in subordinated tranches of new issue mortgage securitizations backed by collateral that included reperforming mortgage loans and small balance commercial properties. These investments have an average coupon of 10.73%and were purchased at a discount to their par value. We expect to generate low double-digit returns on an unlevered basis.
Previous wording
Hedging activity – We exercised two outstanding $500 million swaptions into two pay-fixed one-year swaps, each with a $500 million notional amount and a weighted average pay rate of 3.46%. With the continued expectation of interest rates remaining high over the next year and lowered expectations of rate cuts for the remainder of 2024, the swaps will provide significant protection to our current floating rate liability exposure. As of March 31, 2024, we maintained open interest rate swap positions in: (i) a $1 billion of 3.26% pay-fixed interest rate swap maturing May 2024 and (ii) $1 billion 3.46% pay-fixed interest rate swaps maturing in April 2025. The company also has a long position in a $1 billion 1-year swaption on a 1-year pay-fixed interest rate swap (1 X 1 swaption) with a blended fixed rate of 3.61%.
Current wording
Hedging activity– We exercised a$500 million swaption for a pay-fixed 1-year swap with a coupon of 3.76%, and$1.0 billion of pay-fixed 3.26% swap matured during the quarter. As of June 30, 2024, we maintained $1.5 billion open interest rate swap positions with a weighted average 3.56% pay-fixed interest rate maturing in the second quarter of 2025. We also have a long position in a$500 million swaption on a 1-year pay-fixed interest rate swap with a fixed rate of 3.45%. The swaption has a January 2025 expiry.
Previous wording
Our financing costs remained relatively unchanged during the first quarter, and we have continued to manage our portfolio consistent with our belief that short-term interest rates will be higher for a longer period. We continue to seek opportunities to finance a portion of our retained notes from securitizations with long-term non mark-to-market facilities.
Current wording
Our financing costs increased during the second quarter due to slightly higher leverage and moderately higher rates. We have managed our portfolio consistent with our belief that short-term interest rates will be higher for longer. We continue to seek opportunities to finance a portion of our retained notes from securitizations with long-term non-mark-to market facilities. To further manage interest rate risk, we are currently using financial derivatives such as interest rate swaps and swaptions to hedge against net interest margin compression.
Previous wording
Cash management is critical to our business. We monitor our ongoing needs for margin, repurchase financing maturities, liquidity, and new investments. Over time, we expect to continue to acquire and securitize mortgage loans as well as further implement our call optimization strategy on our securitizations. With available funds, we plan to evaluate the merits of any new investments and compare them to the merits of repurchasing outstanding common and preferred stock, or reducing higher cost liabilities as they mature. The timing of these re-securitizations is impacted by many factors, including credit performance, prepayment speeds and interest rates. In the near term, we are closely monitoring several of our outstanding “NR” securitizations for potential re-securitization.
Current wording
Cash management is critical to our business, and we monitor our ongoing needs for margin (including variable margin on our hedge portfolio and ongoing margin requirements of our secured financing arrangements that are subject to margin requirements), repurchase agreement maturities and operating needs on a daily basis. Over time, we expect to continue to acquire and securitize mortgage loans, as well as further implement our call optimization strategy on our securitizations. We are currently most focused on our NR deals for call optimization. With available funds, we plan to evaluate the merits of any new investments, as well as other uses of capital, such as repurchasing outstanding common and preferred stock or reducing higher cost liabilities as they mature.
Previous wording
Overall, tighter spreads during the quarter resulted in an increase in the value of our residential credit portfolios and our book value per common share increased to $7.11 as of March 31, 2024, as compared to $6.75 as of December 31, 2023. We declared an $0.11 dividend per common share in the first quarter of 2024. Our Economic Return (as measured by the change in book value per common share plus common stock dividend) was 7.0% for the first quarter of 2024.
Current wording
For the second quarter 2024, our book value per common share decreased to$21.27 as of June 30, 2024, as compared to $21.32 as of March 31, 2024. Our Economic Return (as measured by the change in book value per common share plus common stock dividend) was 1.4% for the second quarter of 2024. We declared a $0.35 dividend per common share for the second quarter of 2024, a 6% increase from the most recent dividend declared in the first quarter of 2024.
Previous wording
The table below presents our net income (loss) on a GAAP basis for the quarters ended March 31, 2024, December 31, 2023, and March 31, 2023.
Current wording
The table below presents our net income (loss) on a GAAP basis for the quarters ended June 30, 2024, March 31, 2024, and the six months ended June 30, 2024 and June 30, 2023.
Previous wording
(1) Includes interest income of consolidated VIEs of $146,917, $150,098, and $139,902 for the quarters ended March 31, 2024, December 31, 2023, and March 31, 2023, respectively.
Current wording
(1) Includes interest income of consolidated VIEs of$144,027 and $146,917 for the quarters ended June 30, 2024 and March 31, 2024, respec tively, and $290,943 and $289,576 for the six months ended June 30, 2024 and 2023, respectively. See Note 9 for further discussion.
Previous wording
(2) Includes interest expense of consolidated VIEs of $73,123, $73,864, and $60,152 for the quarters ended March 31, 2024, December 31, 2023, and March 31, 2023, respectively.
Current wording
(2) Includes interest expense of consolidated VIEs of $69,692 and $73,123 for the quarters ended June 30, 2024 and March 31, 2024, respectively, and $142,815 and$132,776 for the six months ended June 30, 2024 and 2023, respectively. See Note 9 for further discussion.
Previous wording
Results of Operations for the Quarters Ended March 31, 2024, December 31, 2023, March 31, 2023.
Current wording
Results of Operations for the Quarters Ended June 30, 2024, and March 31, 2024, and for the six months ended June 30, 2024 and June 30, 2023.
Previous wording
For the quarter ended March 31, 2024, our net income available to common shareholders was $111 million, or $0.46 per average basic common share, as compared to a net income of $12 million, or $0.05 per average basic common share for the quarter ended December 31, 2023. During the quarter ended March 31, 2024, we had net interest income of $65 million, unrealized gains on financial instruments at fair value of $77 million, and net gains on derivatives of $11 million, offset in part by operating expenses of $23 million and preferred stock dividend of $18 million.
Current wording
For the quarter ended June 30, 2024, our net income available to common shareholders was $34 million, or $0.42 per average basic common share, as compared to a net income of $111 million, or $1.37 per average basic common share for the quarter ended March 31, 2024. During the quarter ended June 30, 2024, we had net interest income of $67 million, unrealized gains on financial instruments at fair value of $11 million, and net gains on derivatives of $2 million, offset in part by operating expenses of $21 million and preferred stock dividend of $23 million.
Previous wording
For the quarter ended March 31, 2024, our net income available to common shareholders was $111 million, or $0.46 per average basic common share, compared to a net income of $39 million, or $0.17 per average basic common share for the quarter ended March 31, 2023. The increase in net income available to common shareholders for the quarter ended March 31, 2024, as compared to the quarter ended March 31, 2023 was primarily driven by an increase in net gains on derivatives of $51 million, unrealized gains on financial instruments at fair value of $12 million and a decrease in deal expenses of $6 million.
Current wording
For the six months ended June 30, 2024, our net income available to common shareholders was $145 million, or $1.78 per average basic common share, compared to a net income of $57 million, or $0.73 per average basic common share for the six months ended June 30, 2023. The increase in net income available to common shareholders for the six months ended June 30, 2024, as compared to the six months ended June 30, 2023 was primarily driven by an increase in net gains on derivatives of$37 million, a decrease in net losses on sales of investments of $23 million, an increase in unrealized gains on financial instruments at fair value of $16 million, and a decrease in deal expenses of $15 million.
Previous wording
Interest income decreased by $4 million, or 2% to $187 million for the quarter ended March 31, 2024, as compared to $191 million for the quarter ended December 31, 2023. This decrease in our interest income during the quarter ended March 31, 2024 was primarily driven by a decline in our average interest earning assets as compared to the quarter ended December 31, 2023. We reduced our average interest earning asset balances by $272 million to $12.7 billion during the quarter ended March 31, 2024 as compared to $13.0 billion for the quarter ended December 31, 2023. Our Loans held for investment interest income decreased by $4 million driven by lower asset balances, Non-Agency RMBS interest income decreased by $676 thousand due to lower yields and Agency MBS interest income decreased by $401 thousand due to lower asset balances during the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023.
Current wording
Interest income increased slightly by $143 thousand, or 0.1%, to $187 million for the quarter ended June 30, 2024, as compared to $187 million for the quarter ended March 31, 2024. This slight increase in our interest income during the quarter ended June 30, 2024 was primarily driven by the purchases of Agency CMO investments and an increase in our average interest earning assets as compared to the quarter ended March 31, 2024. Our average interest earning assets increased by $63 million to $12.7 billion during the quarter ended June 30, 2024 as compared to $12.7 billion for the quarter ended March 31, 2024, and the yields on our average interest earning assets increased slightly from 5.8% to 5.9%, driving the slight increase in the interest income. Our Agency RMBS interest income increased by $2 million primarily due to the purchases of Agency CMO investment. Non-Agency RMBS interest income increased by $2 million due to higher yields, which was offset in part by a decrease in our Loans held for investment interest income of $3 million driven by lower asset balances during the quarter ended June 30, 2024, as compared to the quarter ended March 31, 2024.
Previous wording
We reduced our Loans held for investments by $690 million, Agency MBS positions by $247 million and Non-Agency RMBS positions by $29 million, respectively, during the quarter ended March 31, 2024 as compared to the quarter March 31, 2023. However, during the quarter ended March 31, 2024, the yields on our average interest earning assets increased by 30 basis points to 5.8%, as compared to 5.5% for the quarter ended March 31, 2023, which largely offset the effects of lower interest earning asset balances. Due to these changes in our portfolio, our Agency MBS and Non-Agency RMBS interest income decreased by $2 million and $1 million, respectively, during the quarter ended March 31, 2024 as compared to the quarter ended March 31, 2023. This decrease was offset in part by an increase in interest income of $1 million on our Loans held for investment portfolio driven by higher yields during the quarter ended March 31, 2024, as compared to the quarter ended March 31, 2023.
Current wording
Interest income decreased by $13 million, or 3%, to $373 million for the six months ended June 30, 2024, as compared to $386 million for the six months ended June 30, 2023. This decrease in our interest income during the six months ended June 30, 2024 was primarily driven by a decrease in our average interest earning assets as compared to the six months ended June 30, 2023. We reduced our Loans held for investments by $955 million, Agency CMBS positions by $176 million and Non-Agency RMBS positions by $16 million, during the six months ended June 30, 2024, as compared to the six months ended June 30, 2023. However, during the six months ended June 30, 2024, the yields on our average interest earning assets increased by 20 basis points to 5.8%, as compared to 5.6% for the six months ended June 30, 2023, which partially offset the effects of lower interest earning asset balances.
Previous wording
Interest expense increased slightly by $1 million, or 2%, to $121 million for the quarter ended March 31, 2024 as compared to $120 million for the quarter ended March 31, 2023. During the quarter ended March 31, 2024 we reduced our interest rate sensitive secured financing agreements and partially replaced them with relatively stable securitized debt financing as compared to the quarter ended March 31, 2023. Our average secured financing agreements balance decreased by $787 million to $2.4 billion for the quarter ended March 31, 2024 as compared to $3.2 billion for the quarter ended March 31, 2023. Due to this our interest expenses on secured financing agreements collateralized by Agency MBS, Non-Agency RMBS and Loans held for investments decreased by $2 million, $4 million and $7 million, respectively. This decreases was offset by an increases in interest expense on our securitized debt of $13 million as the average borrowing rates on our securitizations increased by 60 basis points and average securitized debt balances increased by $157 million for the quarter ended March 31, 2024, as compared to the quarter ended March 31, 2023.
Current wording
Interest expense decreased by $10 million, or 4%, to $241 million for the six months ended June 30, 2024, as compared to $251 million for the six months ended June 30, 2023.This decrease in interest expense for the six months ended June 30, 2024, as compared to the six months ended June 30, 2023, was primarily driven by our de-levering efforts, which included reducing our secured financing agreements and securitized debt. Our average secured financing agreements balance decreased by $278 million to $2.8 billion for the six months ended June 30, 2024 as compared to $3.1 billion for the six months ended June 30, 2023. As a result, our interest expenses on secured financing agreements collateralized by Loans held for investments, Non-Agency RMBS and Agency CMBS decreased by $13 million, $10 million, and $3 million, respectively, during the six months ended June 30, 2024, as compared to the six months ended June 30, 2023. This decrease was offset by an increase in interest expense on securitized debt of $9 million, as the average borrowing rates on our securitizations increased by 40 basis points, and an increase in interest expense of $2 million on our secured financing agreement collateralized by Agency RMBS driven by Agency CMO purchase financing, and long term debt interest expense increase of$691 thousand.
Previous wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased slightly by $295 thousand to $68 million for the quarter ended March 31, 2024 from $68 million for the quarter ended December 31, 2023. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased slightly by 10 basis points for the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, remained unchanged at 2.1% for the quarters ended March 31, 2024 and December 31, 2023. Our Average net interest-earning assets increased by $68 million to $2.1 billion for the quarter ended March 31, 2024, compared to $2.0 billion for the quarter ended December 31, 2023.
Current wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $4 million to $72 million for the quarter ended June 30, 2024 from $68 million for the quarter ended March 31, 2024. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, increased by 30 basis points for the quarter ended June 30, 2024, as compared to the quarter ended March 31, 2024, primarily driven by a lower interest expense on securitized debt due to lower outstanding debt balance. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, increased by 20 basis points to 2.3% for the quarter ended June 30, 2024 compared to 2.1% for the quarter ended March 31, 2024. Our Average net interest-earning assets decreased by $49 million to $2.0 billion for the quarter ended June 30, 2024, compared to $2.1 billion for the quarter ended March 31, 2024.
Previous wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased by $1 million to $68 million for the quarter ended March 31, 2024 from $69 million for the quarter ended March 31, 2023. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, remained relatively unchanged at 1.4% for the quarter ended March 31, 2024 and March 31, 2023. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, increased by 10 basis points for the quarter ended March 31, 2024, as compared to the same period of 2023. Our Average net interest-earning assets decreased by $336 million to $2.1 billion for the year ended March 31, 2024, compared to $2.4 billion for the same period of 2023.
Current wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $4 million to $140 million for the six months ended June 30, 2024 from $136 million for the six months ended June 30, 2023. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, increased by 27 basis points for the six months ended June 30, 2024, as compared to the six months ended June 30, 2023, primarily driven by lower secured financing agreement interest expense. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, increased by 20 basis points for the six months ended June 30, 2024, as compared to the same period of 2023. Our Average net interest-earning assets decreased by $233 million to $2.0 billion for the six months ended June 30, 2024, compared to $2.3 billion for the same period of 2023.
Previous wording
Average interest-bearing liabilities decreased by $340 million for the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023. Economic interest expense decreased by $5 million for the quarter ended March 31, 2024, as compared to the quarter ended December 31, 2023 driven by the decrease in average interest-bearing liabilities. Average interest-bearing liabilities decreased by $630 million for the quarter ended March 31, 2024, as compared to the quarter ended March 31, 2023. Economic interest expense decreased by $1 million for the quarter ended March 31, 2024, as compared to the quarter ended March 31, 2023. While we may use interest rate hedges to mitigate risks related to changes in interest rate, the hedges may not fully offset interest expense movements.
Current wording
Average interest-bearing liabilities increased by $112 million for the quarter ended June 30, 2024, as compared to the quarter ended March 31, 2024. Economic interest expense decreased by $4 million for the quarter ended June 30, 2024, as compared to the quarter ended March 31, 2024 driven by the decrease in average interest-bearing liabilities.
Previous wording
For the quarter ended March 31, 2024, we recorded an increase in provision for credit losses of $1 million, as compared to an increase in provision of credit losses of $2 million for the quarter ended December 31, 2023. For the quarter ended March 31, 2024, we recorded an increase in provision for credit losses of $1 million, as compared to an increase in provision of credit losses of $3 million for the quarter ended March 31, 2023.
Current wording
For the quarter ended June 30, 2024, we recorded an increase in provision for credit losses of $4 million, as compared to an increase in provision of credit losses of $1 million for the quarter ended March 31, 2024. For the six months ended June 30, 2024, we recorded an increase in provision for credit losses of $5 million, as compared to an increase in provision of credit losses of $6 million for the six months ended June 30, 2023.
Previous wording
The increase in provision for credit losses for the quarter ended March 31, 2024 as compared to the quarter ended December 31, 2023 and March 31, 2023 is primarily due to an increase in expected losses and delinquencies. In addition, certain Non-Agency RMBS positions, now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.
Current wording
The increase in provision for credit losses for the quarter and six months ended June 30, 2024 as compared to the quarter ended March 31, 2024, and six months ended June 30, 2023, is primarily due to an increase in expected losses and delinquencies. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.
Previous wording
During the quarters ended March 31, 2024, December 31, 2023 and March 31, 2023 we recognized total net gains on derivatives of $11 million, net losses on derivatives of $16 million, and net losses on derivatives of $40 million, respectively. Unrealized gains and losses include the change in market value, period over period, on our derivatives portfolio. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities.
Current wording
Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities.
Previous wording
The weighted average pay rate on our interest rate swap at March 31, 2024 was 3.36% and the weighted average receive rate was 5.34%. At March 31, 2024, the weighted average maturity on the Company’s interest rate swaps was less than one year. The weighted average pay rate on the Company’s interest rate swap at December 31, 2023 was 3.26% and the weighted average receive rate was 5.40%. At December 31, 2023, the weighted average maturity on the Company’s interest rate swaps was less than one year. The weighted average pay rate on our interest rate swap at March 31, 2023 was 3.26% and the weighted average receive rate was 4.82%. At March 31, 2023, the weighted average maturity on our interest rate swaps was one year.
Current wording
The weighted average pay rate on our interest rate swap at June 30, 2024 was 3.56% and the weighted average receive rate was 5.33%. At June 30, 2024, the weighted average maturity on our interest rate swaps was less than one year. The weighted average pay rate on our interest rate swap at December 31, 2023 was 3.26% and the weighted average receive rate was 5.40%. At December 31, 2023, the weighted average maturity on our interest rate swaps was less than one year.
Previous wording
There were no swap terminations during the quarter ended March 31, 2024 and December 31, 2023. We paid $45 million to terminate interest rate swaps with a notional value of $2.5 billion during the quarter ended March 31, 2023. The terminated swaps had original maturities ranging from 2025 to 2028.
Current wording
We had a realized loss of $17 million related to the maturity of one swap during the quarter and six months ended June 30, 2024. We had no swap terminations during the quarter ended June 30, 2023. We paid $45 million to terminate interest rate swaps with a notional value of $2.5 billion during the six months ended June 30, 2023. The terminated swaps had original maturities ranging from 2025 to 2028.
Previous wording
During the quarter ended March 31, 2023, we terminated our existing $1.0 billion notional swaption contract for a one-year forward starting swap. Additionally, we entered into and terminated three new swaptions contracts with $2.3 billion notional during the quarter ended March 31, 2023. We had net realized gains of $11 million on these swaption terminations. We also entered into two swaption contracts for a one-year forward starting swaps with a total notional of $1.0 billion with 3.46% strike rate. The underlying swap terms will allow us to pay a fix rate of 3.46% and receive floating overnight SOFR rate.
Current wording
During the six months ended June 30, 2023, we entered into three swaption contracts for a one-year forward starting swaps with a total notional of $1.5 billion with 3.56% strike rate. The underlying swap terms will allow us to pay a fixed rate of 3.56% and receive floating overnight SOFR rate. Additionally, during the six months ended 2023 we terminated our existing $1.0 billion notional swaption contract for a one-year forward starting swap. Additionally, we entered and terminated three new swaptions contracts with $2.3 billion notional during the six months ended June 30, 2023. We had net realized gains of $11 million on these swaption terminations.
Previous wording
During the quarter ended March 31, 2023, we entered into 6,000 short 5-year U.S. Treasury futures contracts, of which we subsequently covered 4,000 contracts during the quarter. As of March 31, 2023, we had 2,000 short 5-year U.S. Treasury futures contracts with a $200 million notional. During the quarter ended March 31, 2023, we entered into 1,875 short 2-year U.S. Treasury futures contracts of which we subsequently covered 625 contracts during the quarter. As of March 31, 2023, we had 1,250 short 2-year U.S. Treasury futures contracts with a $250 million notional. We had a net realized gain of $666 thousand on these covered contracts. We also entered into 400 call options on 2-year and 5-year U.S. Treasury futures and subsequently covered them during the quarter ended March 31, 2023 for a realized loss of $187 thousand.
Current wording
During the quarter and six months ended June 30, 2024, we entered into 1,391 short 5-year and 1,684 short 5-year U.S. Treasury futures contract with a notional of $139 million and $168 million, respectively. During the quarter ended June 30, 2023, we covered our 2,000 short 5-year and 1,250 short 2-year U.S. Treasury futures contracts with a notional of $200 million and $250 million, respectively, for a realized loss of $7 million. During the six months ended June 30, 2023, we entered into 6,000 short 5-year and 1,875 short 2-year U.S. Treasury futures contract with a notional of $600 million and $375 million, respectively, which we subsequently covered and had no outstanding U.S. Treasury futures contract at June 30, 2023. We had a net realized loss of $6 million on covering these short U.S. Treasury futures contract. We also entered into 400 call options on 2-year and 5-year U.S. Treasury futures and subsequently covered them during the six months ended June 30, 2023 for a realized loss of $187 thousand.
Previous wording
As discussed earlier the residential credit spread tightening during the quarter resulted in an increase in market value of our investments. We recorded Net unrealized gains on financial instruments at fair value of $77 million and $7 million for the quarters ended March 31, 2024 and December 31, 2023, respectively.
Current wording
As discussed earlier the residential credit spread tightening during the quarter and six months ended June 30, 2024, as compared to the previous periods resulted in an increase in market value of our investments. We recorded Net unrealized gains on financial instruments at fair value of $11 million and $77 million for the quarters ended June 30, 2024 and March 31, 2024, respectively. We recorded Net unrealized gains on financial instruments at fair value of $88 million and $72 million for the six months ended June 30, 2024 and June 30, 2023, respectively.
Previous wording
During the quarter ended March 31, 2024, December 31, 2023 and March 31, 2023, we sold some of our Agency CMBS investments as part of our portfolio optimization efforts and realized a loss of $4 million, $4 million, and $5 million, respectively.
Current wording
During the quarter ended June 30, 2024, we did not have sales of investments and during March 31, 2024, we sold some of our Agency CMBS investments as part of our portfolio optimization efforts and realized a loss of $4 million. During the six months ended June 30, 2024, and June 30, 2023, we recorded a realized loss of $4 million and $27 million, respectively, as we sold some of our Agency CMBS investments.
Previous wording
We did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended March 31, 2024, December 31, 2023, or March 31, 2023.
Current wording
We did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended June 30, 2024 and March 31, 2024, and six months ended June 30, 2024 and June 30, 2023.
Previous wording
We did not acquire any securitized debt collateralized by Loans held for investment during the quarters ended March 31, 2024 and December 31, 2023. During the quarter ended March 31, 2023, we acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $339 million for $337 million. This transaction resulted in net gain on extinguishment of debt of $2 million.
Current wording
During the six months ended June 30, 2023, we acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $551 million for $545 million. These transactions resulted in net gain on extinguishment of debt of $6 million.
Previous wording
The table below shows our total compensation and benefit expense, general and administrative, or G&A expenses, and transaction expenses as compared to average total assets and average equity for the periods presented.
Current wording
The table below shows our total compensation and benefits expense, general and administrative, or G&A expenses, and transaction expenses as compared to average total assets and average equity for the periods presented.
Previous wording
The Compensation and benefit costs were approximately $9 million, $5 million and $10 million for the quarters ended March 31, 2024, December 31, 2023, and March 31, 2023, respectively. The decrease in Compensation and benefit costs for the quarter ended December 31, 2023 were primarily driven by lower performance-based compensation costs.
Current wording
The Compensation and benefits costs were approximately $7 million and $9 million for the quarters ended June 30, 2024, and March 31, 2024, respectively. The Compensation and benefits costs were approximately $16 million and $18 million for the six months ended June 30, 2024 and June 30, 2023, respectively. The decrease in Compensation and benefits costs were primarily driven by lower severance expense and performance based compensation costs.
Previous wording
The general and administrative expenses were approximately $6 million, $7 million, and $6 million for the quarters ended March 31, 2024, December 31, 2023 and March 31, 2023, respectively, and remained relatively unchanged. The G&A expenses are primarily comprised of legal, market data and research, auditing, consulting, information technology, and independent investment consulting expenses.
Current wording
The general and administrative expenses were approximately $6 million and $6 million for the quarters ended June 30, 2024, and March 31, 2024, respectively, and remained unchanged. The general and administrative expenses were approximately $12 million and $12 million for the six months ended June 30, 2024 and June 30, 2023, respectively, and remained unchanged. The G&A expenses are primarily comprised of legal, market data and research, auditing, consulting, information technology, and independent investment consulting expenses.
Previous wording
We incurred transaction expenses in relation to securitizations of $67 thousand, $425 thousand and $6 million for the quarters ended March 31, 2024, December 31, 2023 and March 31, 2023. The decrease in transaction expenses during the quarter ended March 31, 2024 as compared to the quarters ended December 31, 2023 and March 31, 2023 was driven by lower securitization activity.
Current wording
We did not incur any transaction expenses in relation to securitizations during the quarter ended June 30, 2024. We incurred transaction expenses in relation to securitizations of $67 thousand for the quarter ended March 31, 2024. The transactions expenses were approximately $67 thousand and $15 million for the six months ended June 30, 2024 and June 30, 2023, respectively. The decrease in transaction expenses for the six months ended June 30, 2024 compared to respective prior periods was driven by lower call and securitization activity.
Previous wording
The servicing fees and asset manager expenses were $8 million for the quarters ended March 31, 2024, December 31, 2023 and March 31, 2023, and remained relatively unchanged. These servicing fees are primarily related to the servicing costs of the whole loans held in consolidated securitization vehicles and are paid from interest income earned by the VIEs. The servicing fees generally range from 2 to 50 basis points of unpaid principal balances of our consolidated VIEs.
Current wording
Servicing fees and asset manager expenses decreased slightly to $7 million from $8 million for the quarters ended June 30, 2024, and March 31, 2024, respectively. The servicing fees and asset manager expenses were $15 million and $17 million for the six months ended June 30, 2024 and June 30, 2023, respectively. These servicing fees are primarily related to the servicing costs of the whole loans held in consolidated securitization vehicles and are paid from interest income earned by the VIEs. The servicing fees generally range from 2 to 50 basis points of unpaid principal balances of our consolidated VIEs.
Showing the first 40 of 70 pairs. Open the source sections for the rest.
Rearranged current paragraphs (3)
Current report — wording carried from elsewhere
While we may use interest rate hedges to mitigate risks related to changes in interest rate, the hedges may not fully offset interest expense movements.
Current report — wording carried from elsewhere
During the quarters ended June 30, 2024 and March 31, 2024, we recognized total net gains on derivatives of $2 million and $11 million, respectively. During the six months ended June 30, 2024 and June 30, 2023, we recognized total net gains on derivatives of $12 million and net losses on derivatives of $25 million, respectively.
Current report — wording carried from elsewhere
We did not acquire any securitized debt collateralized by loans held for investment during the six months ended June 30, 2024.
Rearranged previous paragraphs (7)
Previous report — wording carried elsewhere
We continue to seek opportunities to finance our retained notes from securitizations with long-term, limited, or non mark-to-market finance facilities. We currently have 60% of our recourse financing with these facilities. To further manage our interest rate risk, we intend to continue to use financial derivatives such as interest rate swaps and swaptions to hedge against net interest margin compression.
Previous report — wording carried elsewhere
Interest income decreased by $2 million, or 1% to $187 million for the quarter ended March 31, 2024, as compared to $189 million for the quarter ended March 31, 2023. This decrease in our interest income during the quarter ended March 31, 2024 was primarily driven by a decline in our average interest earning assets as compared to the quarter ended March 31, 2023.
Previous report — wording carried elsewhere
Securitized Debt Collateralized by Non-Agency RMBS
Previous report — wording carried elsewhere
Securitized Debt Collateralized by Loans Held for Investment
Previous report — wording carried elsewhere
Our Earnings available for distribution for the quarter ended March 31, 2024 were $31 million, or $0.12 per average diluted common share, and remained relatively unchanged as compared to $31 million, or $0.13 per average diluted common share for the quarter ended March 31, 2023.
Previous report — wording carried elsewhere
by $53 million from December 31, 2023 to March 31, 2024.
Previous report — wording carried elsewhere
PSU awards are designed to align compensation with our future performance. The PSU awards granted during the quarters ended March 31, 2024 and 2023, include a three-year performance period ending on December 31, 2026 and December 31,