Western Asset Mortgage Capital Corporation Announces First Quarter 2022 Results
Conference Call and Webcast Scheduled for Tomorrow, Friday, May 6, 2022 at 11:00 a.m. Eastern Time/8:00 a.m. Pacific Time
PASADENA, Calif.–(BUSINESS WIRE)–Western Asset Mortgage Capital Corporation (the “Company” or “WMC”) (NYSE: WMC) today reported its results for the first quarter ended March 31, 2022.
BUSINESS UPDATE
The Company continues to execute on its business strategy to focus on residential real estate investments.
- For the three months ended March 31, 2022, the Company acquired $119.1 million of Residential Whole Loans.
- The Company also purchased $40.0 million of Non-Agency RMBS investments during the quarter.
- In February 2022, the Company and other investors sold the unencumbered hotel property they foreclosed on in 2021. The Company’s share of the gain on sale of the property was approximately $8.7 million.
- In February 2022, the Company completed its third securitization of $432.0 million of Residential Whole Loans, securing $398.9 million of long-term fixed rate financing.
- For the three months ended March 31, 2022, the Company repurchased $3.4 million aggregate principal amount of its 6.75% Convertible Senior Unsecured Notes due in 2022 (“2022 Notes”) at an approximate 0.8% premium to par value, plus accrued and unpaid interest.
FIRST QUARTER 2022 FINANCIAL RESULTS
The rising interest rate environment negatively impacted our first quarter financial results.
- GAAP book value per share was $2.73 at March 31, 2022.
- Economic book value(1) per share of $2.81at March 31, 2022.
- GAAP net loss attributable to common shareholders and participating securities of $25.9 million, or $0.43 per share.
- Distributable Earnings(2) of $379 thousand, or $0.01 per basic and diluted share.
- Economic return(3) on GAAP book value was negative 13.4% for the quarter.
- 0.85% annualized net interest margin (1)(4)(5) on our investment portfolio.
- Recourse leverage was 2.8x at March 31, 2022.
- On March 23, 2022, we declared a first quarter common dividend of 0.04 per share.
|
1. |
Economic book value is a non-GAAP financial measure. Refer to page 16 of this press release for the reconciliation of GAAP book value to non-GAAP economic book value. |
|
|
2. |
In the second quarter of 2021, the non – GAAP financial measure of Core Earnings was renamed Distributable Earnings. Refer to page 14 of this press release for a reconciliation of GAAP Net Income (Loss) to Non-GAAP Distributable Earnings. |
|
|
3. |
Economic return is calculated by taking the sum of: (i) the total dividends declared; and (ii) the change in book value during the period and dividing by the beginning book value. |
|
|
4. |
Includes interest-only securities accounted for as derivatives. |
|
|
5. |
Excludes the consolidation of VIE trusts required under GAAP. |
MANAGEMENT COMMENTARY
“Our quarterly results reflect the ongoing challenges of interest rate volatility and fluctuating asset values, which were particularly magnified in the first quarter given the rapid raise in interest rates that occurred,” said Bonnie Wongtrakool, Chief Executive Officer of the Company. “Credit spreads widened across most of our holdings over the quarter, putting pressure on our GAAP book value per share, which declined 14.7% from the prior quarter, while economic book value per share declined 7.3%. In addition, our financial results were negatively impacted by lower net interest income and continued elevated prepayments on our residential whole loan portfolio. Consequently, our distributable earnings of $379,000, or $0.01 per share, in the first quarter, were down $529,000 from the fourth quarter.”
“Against these market challenges, we worked proactively to strengthen our balance sheet in the first quarter. In February, we realized a gain of $8.7 million on the sale of the unencumbered hotel property that we and other investors acquired last year through foreclosure. We used the proceeds from the sale to reinvest into our target assets and to repurchase $3.4 million aggregate principal amount of our existing 2022 Notes at a weighted average premium to par value of 0.8%. We are confident that we have sufficient liquidity and the appropriate level of recourse leverage in order to continue executing on our investment strategy,” Ms. Wongtrakool concluded.
Greg Handler, Chief Investment Officer of the Company, added, “We continued to reposition our portfolio in the first quarter, adding both non-qualified residential mortgages and non-Agency RMBS to our portfolio as spreads widened during the quarter. While the first quarter was difficult, we believe that as we redeploy capital, the earnings power of the portfolio will improve. We continue to work diligently on reaching positive resolutions on our challenged investments as well as positioning the remainder of our portfolio for potential future appreciation, which we believe will enhance value for the benefit of our shareholders.”
OPERATING RESULTS
The below table reflects a summary of our operating results:
|
|
|
For the Three Months Ended |
||||||
|
GAAP Results |
|
March 31, 2022 |
|
December 31, 2021 |
||||
|
|
|
($ in thousands) |
||||||
|
|
|
|
|
|
||||
|
Net Interest Income |
|
$ |
4,283 |
|
|
$ |
4,628 |
|
|
Other Income (Loss): |
|
|
|
|
||||
|
Realized gain (loss), net |
|
|
12,145 |
|
|
|
(3,560 |
) |
|
Unrealized gain (loss), net |
|
|
(38,903 |
) |
|
|
(7,120 |
) |
|
Gain (loss) on derivative instruments, net |
|
|
6,936 |
|
|
|
(167 |
) |
|
Other, net |
|
|
(145 |
) |
|
|
41 |
|
|
Other Income (Loss) |
|
|
(19,967 |
) |
|
|
(10,806 |
) |
|
Total Expenses |
|
|
6,497 |
|
|
|
6,411 |
|
|
Income (loss) before income taxes |
|
|
(22,181 |
) |
|
|
(12,589 |
) |
|
Income tax provision (benefit) |
|
|
56 |
|
|
|
118 |
|
|
Net income (loss) |
|
$ |
(22,237 |
) |
|
$ |
(12,707 |
) |
|
Net income (loss) attributable to non-controlling interest |
|
|
3,616 |
|
|
|
(645 |
) |
|
Net income (loss) attributable to common stockholders and participating securities |
|
$ |
(25,853 |
) |
|
$ |
(12,062 |
) |
|
|
|
|
|
|
||||
|
Net income (loss) per Common Share – Basic/Diluted |
|
$ |
(0.43 |
) |
|
$ |
(0.20 |
) |
|
Non-GAAP Results |
|
|
|
|
||||
|
Distributable Earnings (1) |
|
$ |
379 |
|
|
$ |
908 |
|
|
Distributable Earnings per Common Share – Basic/Diluted(1) |
|
$ |
0.01 |
|
|
$ |
0.01 |
|
|
Weighted average yield(2)(3) |
|
|
3.74 |
% |
|
|
4.02 |
% |
|
Effective cost of funds(3) |
|
|
3.41 |
% |
|
|
3.65 |
% |
|
Annualized net interest margin(2)(3) |
|
|
0.85 |
% |
|
|
0.96 |
% |
|
(1) |
For a reconciliation of GAAP Income to Distributable Earnings, refer to page 16 of this press release. |
|
|
(2) |
Includes interest-only securities accounted for as derivatives. |
|
|
(3) |
Excludes the consolidation of VIE trusts required under GAAP. |
INVESTMENT PORTFOLIO
Investment Activity
As of March 31, 2022, the Company owned an aggregate investment portfolio with a fair market value totaling $2.6 billion. The following table summarizes certain characteristics of our portfolio by investment category as of March 31, 2022 (dollars in thousands):
|
Investment Type |
Balance at |
Purchases |
Loan |
Principal |
Proceeds |
Transfers |
Realized |
Unrealized |
Premium and |
Balance at |
||||||||||||||||||||||||
|
Agency RMBS and |
$ |
1,172 |
$ |
— |
|
N/A |
$ |
(76 |
) |
$ |
— |
|
|
N/A |
$ |
— |
$ |
(156 |
) |
$ |
— |
|
$ |
940 |
||||||||||
|
Non-Agency RMBS |
|
27,769 |
|
39,952 |
|
N/A |
|
(187 |
) |
|
— |
|
|
N/A |
|
— |
|
(3,425 |
) |
|
102 |
|
|
64,211 |
||||||||||
|
Non-Agency CMBS |
|
105,358 |
|
— |
|
N/A |
|
(644 |
) |
|
— |
|
|
N/A |
|
— |
|
974 |
|
|
(402 |
) |
|
105,286 |
||||||||||
|
Other securities(1) |
|
51,648 |
|
— |
|
N/A |
|
— |
|
|
— |
|
|
N/A |
|
— |
|
(2,374 |
) |
|
(234 |
) |
|
49,040 |
||||||||||
|
Total MBS and other securities |
|
185,947 |
|
39,952 |
|
N/A |
|
(907 |
) |
|
— |
|
|
N/A |
|
— |
|
(4,981 |
) |
|
(534 |
) |
|
219,477 |
||||||||||
|
Residential Whole Loans |
|
1,023,502 |
|
119,093 |
|
64 |
|
(95,569 |
) |
|
— |
|
|
— |
|
— |
|
(41,843 |
) |
|
(2,537 |
) |
|
1,002,710 |
||||||||||
|
Residential Bridge Loans |
|
5,428 |
|
— |
|
— |
|
(105 |
) |
|
— |
|
|
— |
|
— |
|
27 |
|
|
— |
|
|
5,350 |
||||||||||
|
Commercial Loans |
|
130,572 |
|
— |
|
— |
|
(4 |
) |
|
— |
|
|
— |
|
— |
|
(2,073 |
) |
|
— |
|
|
128,495 |
||||||||||
|
Securitized commercial loans |
|
1,355,808 |
|
— |
|
— |
|
— |
|
|
— |
|
|
— |
|
— |
|
(73,564 |
) |
|
6,699 |
|
|
1,288,943 |
||||||||||
|
Real Estate Owned |
|
43,607 |
|
— |
|
N/A |
|
— |
|
|
(54,681 |
) |
|
— |
|
12,198 |
|
— |
|
|
N/A |
|
|
1,124 |
||||||||||
|
Total Investments |
$ |
2,744,864 |
$ |
159,045 |
$ |
64 |
$ |
(96,585 |
) |
$ |
(54,681 |
) |
$ |
— |
$ |
12,198 |
$ |
(122,434 |
) |
$ |
3,628 |
|
$ |
2,646,099 |
||||||||||
Portfolio Characteristics
Residential Real Estate Investments
The Company’s focus on residential real estate related investments will include but is not limited to non-qualified residential whole loans (“Non-QM Loans”), non-agency RMBS, and other related assets. The Company believes this focus will allow it to address attractive market opportunities.
Residential Whole Loans
The Company’s Residential Whole Loans have low LTV’s and are comprised of 2,505 Non-QM adjustable rate mortgages and six investor fixed rate mortgages. The following table presents certain information about our Residential Whole Loans investment portfolio at March 31, 2022 (dollars in thousands):
|
|
|
|
|
|
|
Weighted Average |
|||||||||||
|
Current Coupon Rate |
|
Number of Loans |
|
Principal |
|
Original LTV |
|
Original |
|
Expected |
|
Contractual |
|
Coupon |
|||
|
2.01% – 3.00% |
|
40 |
|
$ |
20,896 |
|
54.2 |
% |
|
751 |
|
6.5 |
|
29.0 |
|
2.9 |
% |
|
3.01% – 4.00% |
|
543 |
|
|
266,264 |
|
61.1 |
% |
|
744 |
|
4.4 |
|
27.9 |
|
3.7 |
% |
|
4.01% – 5.00% |
|
1,232 |
|
|
453,466 |
|
55.1 |
% |
|
752 |
|
4.1 |
|
27.2 |
|
4.6 |
% |
|
5.01% – 6.00% |
|
668 |
|
|
260,311 |
|
63.8 |
% |
|
741 |
|
3.7 |
|
26.7 |
|
5.4 |
% |
|
6.01% – 7.00% |
|
26 |
|
|
9,320 |
|
67.8 |
% |
|
725 |
|
3.8 |
|
25.6 |
|
6.3 |
% |
|
7.01% – 8.00% |
|
2 |
|
|
430 |
|
73.7 |
% |
|
748 |
|
3.2 |
|
26.5 |
|
7.1 |
% |
|
Total |
|
2,511 |
|
|
1,010,687 |
|
59.0 |
% |
|
747 |
|
4.1 |
|
27.3 |
|
4.5 |
% |
|
(1) |
The original FICO score is not available for 249 loans with a principal balance of approximately $83.2 million at March 31, 2022. We have excluded these loans from the weighted average |
The following table presents the aging of the Residential Whole Loans as of March 31, 2022
|
|
|
Residential Whole Loans |
||||||
|
|
|
No of |
|
Principal |
|
Fair Value |
||
|
Current |
|
2,479 |
|
$ |
994,489 |
|
$ |
986,712 |
|
1-30 days |
|
16 |
|
|
7,247 |
|
|
7,250 |
|
31-60 days |
|
2 |
|
|
824 |
|
|
766 |
|
61-90 days |
|
1 |
|
|
536 |
|
|
509 |
|
90+ days |
|
13 |
|
|
7,591 |
|
|
7,473 |
|
Total |
|
2,511 |
|
$ |
1,010,687 |
|
$ |
1,002,710 |
Non-Agency RMBS
The following table presents the fair value and weighted average purchase price for each of our Non-agency RMBS categories, including IOs accounted for as derivatives, together with certain of their respective underlying loan collateral attributes and current performance metrics as of March 31, 2022 (fair value dollars in thousands):
|
|
|
|
|
Weighted Average |
|||||||||||||||
|
Category |
|
Fair Value |
|
Purchase |
|
Life (Years) |
|
Original LTV |
|
Original |
|
60+ Day |
|
CPR |
|||||
|
Prime |
|
$ |
44,095 |
|
$ |
91.87 |
|
9.6 |
|
46.4 |
% |
|
535 |
|
0.9 |
% |
|
15.5 |
% |
|
Alt-A |
|
|
20,116 |
|
|
65.31 |
|
19.1 |
|
69.9 |
% |
|
641 |
|
14.4 |
% |
|
13.3 |
% |
|
Total |
|
$ |
64,211 |
|
$ |
83.55 |
|
12.6 |
|
53.7 |
% |
|
568 |
|
5.1 |
% |
|
14.8 |
% |
Commercial Real Estate Investments
Non-Agency CMBS
The following table presents certain characteristics of our Non-Agency CMBS portfolio as of March 31, 2022 (dollars in thousands):
|
|
|
|
|
Principal |
|
|
|
Weighted Average |
|||||
|
Type |
|
Vintage |
|
Balance |
|
Fair Value |
|
Life (Years) |
|
Original LTV |
|||
|
Conduit: |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
2006-2009 |
|
$ |
164 |
|
$ |
159 |
|
1.9 |
|
83.7 |
% |
|
|
|
2010-2020 |
|
|
78,776 |
|
|
21,691 |
|
4.4 |
|
62.8 |
% |
|
|
|
|
|
|
78,940 |
|
|
21,850 |
|
4.4 |
|
62.9 |
% |
|
Single Asset: |
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
2010-2020 |
|
|
100,034 |
|
|
83,436 |
|
1.7 |
|
65.3 |
% |
|
Total |
|
|
|
$ |
178,974 |
|
$ |
105,286 |
|
2.2 |
|
64.8 |
% |
The Company’s Commercial Loans and Non-Agency CMBS portfolios are performing according to expectations under the current market conditions. The Company believes there is a reasonable likelihood that many of the delinquent loans that serve as collateral for the Non-Agency CMBS will return to performing status in the coming months as the economy continues to reopen. However, there is no assurance that this will be the case.
Commercial Loans
The following table presents our commercial loan investments as of March 31, 2022 (dollars in thousands):
|
Loan |
Loan Type |
Principal |
Fair Value |
Original |
Interest |
Maturity |
Extension |
Collateral |
Geographic |
||||||||||||
|
CRE 3 |
Interest-Only |
$ |
90,000 |
$ |
27,060 |
58 |
% |
1-Month LIBOR plus 9.25% |
6/29/2021 |
None(1) |
Entertainment and Retail |
NJ |
|||||||||
|
CRE 4 |
Interest-Only |
|
38,367 |
|
38,229 |
63 |
% |
1-Month LIBOR plus 3.02% |
8/6/2022 |
A One-Year Extension |
Retail |
CT |
|||||||||
|
CRE 5 |
Interest-Only |
|
24,535 |
|
24,242 |
62 |
% |
1-Month LIBOR plus 3.75% |
11/6/2022 |
Two One-Year Extensions |
Hotel |
NY |
|||||||||
|
CRE 6 |
Interest-Only |
|
13,207 |
|
13,049 |
62 |
% |
1-Month LIBOR plus 3.75% |
11/6/2022 |
Two One-Year Extensions |
Hotel |
CA |
|||||||||
|
CRE 7 |
Interest-Only |
|
7,259 |
|
7,172 |
62 |
% |
1-Month LIBOR plus 3.75% |
11/6/2022 |
Two One-Year Extensions |
Hotel |
IL, FL |
|||||||||
|
CRE 8 |
Interest-Only |
|
4,425 |
|
4,381 |
79 |
% |
1-Month LIBOR plus 4.85% |
12/6/2022 |
None |
Assisted Living Facilities |
FL |
|||||||||
|
SBC 3 |
Interest-Only |
|
14,362 |
|
14,362 |
49 |
% |
1-Month LIBOR plus 4.10% |
7/6/2022 |
None |
Nursing Facilities |
CT |
|||||||||
|
|
|
$ |
192,155 |
$ |
128,495 |
|
|
|
|
|
|
||||||||||
|
(1) |
CRE 3 is in default and not eligible for extension |
Non-Performing Commercial Loan
The impact of COVID-19 pandemic has adversely impacted a broad range of industries in which our commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to us, most significantly retail and hospitality assets. All but the one loan discussed below remain current.
CRE 3 Loan
As of March 31, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million secured by a retail facility was non-performing and past its maturity date of June 29, 2021. We were receiving interest payments on this loan from a reserve that was exhausted in May 2021. We are currently in discussions with the borrower and certain other lenders regarding alternatives to address the situation which might include modifications of loan terms, deferral of payments and the funding of new advances. There can be no assurance that these discussions will result in an outcome in which we would be repaid any amount of the loan and we may suffer further declines in fair value with respect to the mezzanine investment. We could experience a total loss of our investment under various scenarios, which at current levels would result in a $27.1 million reduction in the Company’s book value. Refer to Note 6 – “Commercial Loans” for details.
Commercial Real Estate Owned
In February 2022, we and the other investors sold the unencumbered hotel property for $55.9 million which was foreclosed on in the third quarter of 2021. We and the other investors fully recovered our aggregate initial investment of $42.0 million. We recognized a gain on sale of approximately $12.2 million of which the Company’s share of the gain on sale of the property was approximately $8.7 million.
PORTFOLIO FINANCING AND HEDGING
Financing
The following table sets forth additional information regarding the Company’s portfolio financing arrangements as of March 31, 2022 (dollars in thousands):
|
Securities Pledged |
|
Repurchase Agreement |
|
Weighted Average |
|
Weighted Average Remaining Maturity (days) |
||
|
Short-Term Borrowings: |
|
|
|
|
|
|
||
|
Agency RMBS |
|
$ |
354 |
|
1.13 |
% |
|
32 |
|
Non-Agency RMBS(1) |
|
|
54,388 |
|
2.33 |
% |
|
11 |
|
Residential Whole Loans (2) |
|
|
1,322 |
|
2.95 |
% |
|
28 |
|
Residential Bridge Loans (2) |
|
|
4,231 |
|
2.95 |
% |
|
28 |
|
Commercial Loans (2) |
|
|
6,463 |
|
3.56 |
% |
|
28 |
|
Other Securities |
|
|
2,410 |
|
3.49 |
% |
|
18 |
|
Total short term borrowings |
|
|
69,168 |
|
2.53 |
% |
|
15 |
|
Long Term Borrowings: |
|
|
|
|
|
|
||
|
Non-Agency CMBS and Non-Agency RMBS Facility |
|
|
|
|
|
|
||
|
Non-Agency CMBS (1) |
|
|
56,486 |
|
2.14 |
% |
|
35 |
|
Non-Agency RMBS |
|
|
16,451 |
|
2.15 |
% |
|
35 |
|
Other Securities |
|
|
27,506 |
|
2.22 |
% |
|
35 |
|
Subtotal |
|
|
100,443 |
|
2.17 |
% |
|
35 |
|
Residential Whole Loan Facility |
|
|
|
|
|
|
||
|
Residential Whole Loans (2) |
|
|
109,111 |
|
2.25 |
% |
|
218 |
|
Commercial Whole Loan Facility |
|
|
|
|
|
|
||
|
Commercial Loans |
|
|
63,658 |
|
2.27 |
% |
|
178 |
|
Total long term borrowings |
|
|
273,212 |
|
2.22 |
% |
|
141 |
|
Repurchase agreements borrowings |
|
$ |
342,380 |
|
2.29 |
% |
|
116 |
|
(1) |
Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. |
|
|
(2) |
Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. |
Residential Whole Loan Facility
As of March 31, 2022, the Company had approximately outstanding borrowings of $109.1 million, with a weighed average interest rate of 2.25%. The borrowings are secured by $120.2 million in non QM loans.
Commercial Whole Loan Facility
As of March 31, 2022, the Company had approximately $63.7 million in borrowings, with a weighted average interest rate of 2.27% under its commercial whole loan facility. The borrowing is secured by loans with an estimated fair market value of $87.1 million as of March 31, 2022. On April 29, 2022, the Company extended the maturity date of the facility to May 30, 2022.
Non-Agency CMBS and Non-Agency RMBS Facility
As of March 31, 2022, the outstanding balance under the Company’s Non-Agency CMBS and Non-Agency RMBS financing facility was $100.4 million with a weighted average interest rate of 2.17%. The facility matures on May 5, 2022, with two one-year extension options. The borrowing is secured by investments with an estimated fair market value of $173.7 million as of March 31, 2022. On May 2, 2022, the Company extended the maturity date of the facility for one-year to May 2, 2023.
Convertible Senior Unsecured Notes
2022 Notes
As of March 31, 2022, we had $34.3 million of the 2022 Notes outstanding. The 2022 Notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by us except during the final three months prior to maturity.
2024 Notes
As of March 31, 2022, we had $86.3 million aggregate principal amount of the 2024 Notes outstanding. The 2024 notes mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by us except during the final three months prior to maturity.
Residential Mortgage-Backed Notes
The Company has completed three Residential Whole Loan securitizations. The mortgage-backed notes issued are non-recourse to the Company and effectively finance $880.9 million of Residential Whole Loans.
Arroyo 2019-2
The following table summarizes the residential mortgage-backed notes issued by the Company’s Arroyo 2019-2 securitization trust at March 31, 2022 (dollars in thousands):
|
Classes |
Principal |
Coupon |
Carrying Value |
Contractual |
||||||
|
Offered Notes: |
|
|
|
|
||||||
|
Class A-1 |
$ |
234,900 |
3.3% |
$ |
234,900 |
4/25/2049 |
||||
|
Class A-2 |
|
12,598 |
3.5% |
|
12,598 |
4/25/2049 |
||||
|
Class A-3 |
|
19,959 |
3.8% |
|
19,959 |
4/25/2049 |
||||
|
Class M-1 |
|
25,055 |
4.8% |
|
25,055 |
4/25/2049 |
||||
|
|
|
292,512 |
|
|
292,512 |
|
||||
|
Less: Unamortized Deferred Financing Cost |
|
N/A |
|
|
3,280 |
|
||||
|
Total |
$ |
292,512 |
|
$ |
289,232 |
|
||||
The Company retained the subordinate bonds and these bonds had a fair market value of $30.8 million at March 31, 2022. The retained Arroyo 2019-2 subordinate bonds are eliminated in consolidation.
Arroyo 2020-1
The following table summarizes the residential mortgage-backed notes issued by the Company’s Arroyo 2020-1 securitization trust at March 31, 2022 (dollars in thousands):
|
Classes |
Principal |
Coupon |
Carrying Value |
Contractual |
||||||
|
Offered Notes: |
|
|
|
|
||||||
|
Class A-1A |
$ |
96,193 |
1.7% |
$ |
96,193 |
3/25/2055 |
||||
|
Class A-1B |
|
11,414 |
2.1% |
|
11,414 |
3/25/2055 |
||||
|
Class A-2 |
|
13,518 |
2.9% |
|
13,518 |
3/25/2055 |
||||
|
Class A-3 |
|
17,963 |
3.3% |
|
17,963 |
3/25/2055 |
||||
|
Class M-1 |
|
11,739 |
4.3% |
|
11,739 |
3/25/2055 |
||||
|
Subtotal |
|
150,827 |
|
|
150,827 |
|
||||
|
Less: Unamortized Deferred Financing Costs |
|
N/A |
|
|
1,910 |
|
||||
|
Total |
$ |
150,827 |
|
$ |
148,917 |
|
||||
The Company retained the subordinate bonds and these bonds had a fair market value of $22.3 million at March 31, 2022. The retained Arroyo 2020-1 subordinate bonds are eliminated in consolidation.
Arroyo 2022-1
The following table summarizes the residential mortgage-backed notes issued by the Company’s Arroyo 2022-1 securitization trust at March 31, 2022 (dollars in thousands):
|
Classes |
Principal |
Coupon |
Fair Value |
Contractual |
||||||
|
Offered Notes: |
|
|
|
|
||||||
|
Class A-1A |
$ |
238,419 |
2.5% |
$ |
232,676 |
12/25/2056 |
||||
|
Class A-1B |
|
82,942 |
3.3% |
|
79,703 |
12/25/2056 |
||||
|
Class A-2 |
|
21,168 |
3.6% |
|
20,381 |
12/25/2056 |
||||
|
Class A-3 |
|
28,079 |
3.7% |
|
26,918 |
12/25/2056 |
||||
|
Class M-1 |
|
17,928 |
3.7% |
|
16,744 |
12/25/2056 |
||||
|
Total |
$ |
388,536 |
|
$ |
376,422 |
|
||||
The Company retained the subordinate bonds and these bonds had a fair market value of $37.9 million at March 31, 2022. The retained Arroyo 2022-1 subordinate bonds are eliminated in consolidation.
Commercial Mortgage-Backed Notes
CSMC 2014 USA
The following table summarizes CSMC 2014 USA’s commercial mortgage pass-through certificates at March 31, 2022 (dollars in thousands), which is non-recourse to the Company:
|
Classes |
Principal |
Coupon |
Fair Value |
Contractual |
||||||
|
Class A-1 |
$ |
120,391 |
3.3% |
$ |
117,768 |
9/11/2025 |
||||
|
Class A-2 |
|
531,700 |
4.0% |
|
523,078 |
9/11/2025 |
||||
|
Class B |
|
136,400 |
4.2% |
|
126,957 |
9/11/2025 |
||||
|
Class C |
|
94,500 |
4.3% |
|
86,707 |
9/11/2025 |
||||
|
Class D |
|
153,950 |
4.4% |
|
142,388 |
9/11/2025 |
||||
|
Class E |
|
180,150 |
4.4% |
|
152,369 |
9/11/2025 |
||||
|
Class F |
|
153,600 |
4.4% |
|
113,725 |
9/11/2025 |
||||
|
Class X-1(1) |
|
N/A |
0.7% |
|
12,347 |
9/11/2025 |
||||
|
Class X-2(1) |
|
N/A |
0.2% |
|
2,572 |
9/11/2025 |
||||
|
|
$ |
1,370,691 |
$ |
1,277,911 |
||||||
|
(1) |
Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of March 31, 2022, respectively. |
The above table does not reflect the portion of the Class F bond held by the Company because the bond is eliminated in consolidation. The Company’s ownership interest in the Class F bonds represents a controlling financial interest, which resulted in consolidation of the trust. The bond had a fair market value of $11.0 million at March 31, 2022. The securitized debt of the CSMC USA can only be settled with the commercial loan with an outstanding principal balance of approximately $1.4 billion at March 31, 2022, that serves as collateral for the securitized debt and is non-recourse to the Company.
Derivatives Activity
The following table summarizes the Company’s derivative instruments at March 31, 2022 (dollars in thousands):
|
Other Derivative Instruments |
|
Notional Amount |
|
Fair Value |
|||
|
Credit default swaps, asset |
|
$ |
4,140 |
|
$ |
3,602 |
|
|
Total derivative instruments, assets |
|
|
|
|
3,602 |
|
|
|
|
|
|
|
|
|||
|
Interest rate swaps, liability |
|
$ |
252,000 |
|
$ |
(487 |
) |
|
Credit default swaps, liability |
|
|
2,030 |
|
|
(1,848 |
) |
|
Total derivative instruments, liabilities |
|
|
|
|
(2,335 |
) |
|
|
Total derivative instruments, net |
|
|
|
$ |
1,267 |
|
|
DIVIDEND
For the quarter ended March 31, 2022, we declared a $0.04 dividend per share, generating a dividend yield of approximately 9.4% based on the stock closing price of $1.71 at March 31, 2022.
CONFERENCE CALL
The Company will host a conference call with a live webcast tomorrow, May 6, 2022 at 11:00 a.m. Eastern Time/8:00 a.m. Pacific Time, to discuss financial results for the first quarter 2022.
Individuals interested in participating in the conference call may do so by dialing (866) 235-9914 from the United States, or (412) 902-4115 from outside the United States and referencing “Western Asset Mortgage Capital Corporation.” Those interested in listening to the conference call live via the Internet may do so by visiting the Investor Relations section of the Company’s website at www.westernassetmcc.com.
The Company is enabling investors to pre-register for the earnings conference call so that they can expedite their entry into the call and avoid the need to wait for a live operator. In order to pre-register for the call, individuals can visit https://dpregister.com/sreg/10165213/f228a42b7c and enter in their contact information. Investors will then be issued a personalized phone number and pin to dial into the live conference call. Individuals can pre-register any time prior to the start of the conference call tomorrow.
A telephone replay will be available through May 13, 2022 by dialing (877) 344-7529 from the United States, or (412) 317-0088 from outside the United States, and entering conference ID 5212733. A webcast replay will be available for 90 days.
ABOUT WESTERN ASSET MORTGAGE CAPITAL CORPORATION
Western Asset Mortgage Capital Corporation is a real estate investment trust that invests in, acquires and manages a diverse portfolio of assets consisting of Residential Whole Loans, Non-Agency RMBS and to a lesser extent GSE Risk Transfer Securities, Commercial Loans, Non-Agency CMBS, Agency RMBS, Agency CMBS and ABS.
Contacts
Investor Relations Contact:
Larry Clark
Financial Profiles, Inc.
(310) 622-8223
lclark@finprofiles.com
Media Contact:
Tricia Ross
Financial Profiles, Inc.
(310) 622-8226
tross@finprofiles.com