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

December 31, 2021

Purchases

Loan

Modification/

Capitalized

Interest

Principal

Payments

and Basis

Recovery

Proceeds

from

Sales

Transfers

to REO

Realized

Gain/(Loss)

Unrealized

Gain/(loss)

Premium and

discount

amortization, net

Balance at

March 31, 2022

Agency RMBS and

Agency RMBS IOs

$

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

Balance

 

Original LTV

 

Original

FICO Score(1)

 

Expected

Life (years)

 

Contractual

Maturity

(years)

 

Coupon

Rate

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

Loans

 

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

Price

 

Life (Years)

 

Original LTV

 

Original

FICO

 

60+ Day

Delinquent

 

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

Balance

Fair Value

Original

LTV

Interest

Rate

Maturity

Date

Extension

Option

Collateral

Geographic

Location

CRE 3

Interest-Only

Mezzanine loan

$

90,000

$

27,060

58

%

1-Month LIBOR plus 9.25%

6/29/2021

None(1)

Entertainment and Retail

NJ

CRE 4

Interest-Only

First Mortgage

 

38,367

 

38,229

63

%

1-Month LIBOR plus 3.02%

8/6/2022

A One-Year Extension

Retail

CT

CRE 5

Interest-Only

First Mortgage

 

24,535

 

24,242

62

%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

NY

CRE 6

Interest-Only

First Mortgage

 

13,207

 

13,049

62

%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CA

CRE 7

Interest-Only

First Mortgage

 

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

First Mortgage

 

4,425

 

4,381

79

%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living Facilities

FL

SBC 3

Interest-Only

First Mortgage

 

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

Borrowings

 

Weighted Average

Interest Rate on

Borrowings

Outstanding at end

of period

 

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

Balance

Coupon

Carrying Value

Contractual

Maturity

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

Balance

Coupon

Carrying Value

Contractual

Maturity

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

Balance

Coupon

Fair Value

Contractual

Maturity

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

Balance

Coupon

Fair Value

Contractual

Maturity

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

[email protected]

Media Contact:

Tricia Ross

Financial Profiles, Inc.

(310) 622-8226

[email protected]

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