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Section 1: 10-Q (10-Q)

wmc-20200331
Western Asset Mortgage Capital Corp000146588510-Q3/31/2020false12/31YesAccelerated Filerfalsefalsefalse53,423,8762020Q1430,6281,756,917265,647292,61347,30780,0311,309,7951,375,86026,05033,26927,57134,897320,308350,21341,214396,824681,64353,527142,9055366470.010.01500,000,000500,000,00053,423,87653,523,8760.010.01100,000,000100,000,000100,0001,309,7951,375,86024,98731,74827,57134,89771,68490,788396,824681,64353,527142,9055366472,1642,3383.014.003.014.004.015.004.015.005.016.005.016.006.017.006.017.007.018.007.018.001,309,7951,375,86024,98731,74827,57134,8977.019.009.0111.0011.0113.0017.0119.009.0111.0011.0113.0013.0115.0015.0117.0017.0119.004 months, 3 days4 months, 9 days204 months, 3 days5 months, 24 days5 months, 18 days2005 months, 18 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Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-Q 
(Mark One)
ý
 Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended March 31, 2020
 
oTransition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from         to         
 
Commission File Number:  001-35543

 Western Asset Mortgage Capital Corporation
(Exact name of Registrant as specified in its charter) 
Delaware 27-0298092
(State or other jurisdiction of
incorporation or organization)
 (IRS Employer
Identification Number)
 
Western Asset Mortgage Capital Corporation
385 East Colorado Boulevard
Pasadena, California 91101
(Address of Registrant’s principal executive offices)
 
(626) 844-9400
(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.   Yes ý No o
 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes ý No o 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and "emerging growth company" in Rule 12b-2 of the Exchange Act. 
Large accelerated filer o Accelerated filerx
Non-accelerated filer o Smaller reporting companyo
Emerging growth companyo
 
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 under the Securities Exchange Act of 1934).  Yes o No ý
 
Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s) Name of Each Exchange on Which Registered
Common Stock, $0.01 par valueWMC New York Stock Exchange

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practical date.

As of May 8, 2020 there were 53,423,876 shares, par value $0.01, of the registrant’s common stock outstanding.


Table of Contents
TABLE OF CONTENTS
 
  Page
   
  
   
   
   
   
   
 
   
  
  
   
   
   
   
   
 



Table of Contents
Part I
ITEM I. Financial Statements

Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Balance Sheets
(in thousands—except share and per share data)
(Unaudited)
 March 31,
2020
December 31, 2019
Assets:  
Cash and cash equivalents$10,342  $31,331  
Restricted cash33,229  52,948  
Agency mortgage-backed securities, at fair value ($430,628 and $1,756,917 pledged as collateral, at fair value, respectively)430,628  1,795,255  
Non-Agency mortgage-backed securities, at fair value ($265,647 and $292,613 pledged as collateral, at fair value, respectively)276,606  361,833  
Other securities, at fair value ($47,307 and $80,031 pledged as collateral, at fair value, respectively)47,411  80,161  
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)1,309,795  1,375,860  
Residential Bridge Loans ($26,050 and $33,269 at fair value and $27,571 and $34,897 pledged as collateral, respectively)28,634  36,419  
Securitized commercial loans, at fair value477,131  909,040  
Commercial Loans, at fair value ($320,308 and $350,213 pledged as collateral, at fair value, respectively)320,308  370,213  
Receivable under reverse repurchase agreements24,826    
Investment related receivable ($41,214 and $0 pledged as collateral, respectively)72,826  19,931  
Interest receivable14,805  19,413  
Due from counterparties117,670  98,947  
Derivative assets, at fair value33,675  5,111  
Other assets5,697  4,509  
Total Assets (1)
$3,203,583  $5,160,971  
Liabilities and Equity:  
Liabilities:  
Repurchase agreements, net$1,553,715  $2,824,801  
Convertible senior unsecured notes, net197,984  197,299  
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)1,139,121  1,477,454  
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)6,429  15,001  
Due to counterparties24,811  709  
Derivative liability, at fair value43,967  6,370  
Accounts payable and accrued expenses6,307  3,188  
Payable to affiliate3,237  2,148  
Dividend payable  16,592  
Other liabilities 45,779  52,948  
Total Liabilities (2)
3,021,350  4,596,510  
Commitments and contingencies
Stockholders’ Equity:  
Common stock: $0.01 par value, 500,000,000 shares authorized, 53,423,876 and 53,523,876 outstanding, respectively535  535  
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding    
Treasury stock, at cost, 100,000 and 0 shares held, respectively(578)   
Additional paid-in capital889,392  889,227  
Retained earnings (accumulated deficit)(707,158) (325,301) 
Total Stockholders’ Equity182,191  564,461  
Non-controlling interest42    
Total Equity182,233  564,461  
Total Liabilities and Equity$3,203,583  $5,160,971  
 See notes to unaudited consolidated financial statements.
Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Balance Sheets (Continued)
(in thousands—except share and per share data)
(Unaudited)
March 31,
2020
December 31, 2019
(1) Assets of consolidated VIEs included in the total assets above:
  
Cash and cash equivalents$4,542  $7,589  
Restricted cash33,229  52,948  
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)1,309,795  1,375,860  
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)27,571  34,897  
Securitized commercial loans, at fair value477,131  909,040  
Commercial Loans, at fair value ($71,684 and $90,788 pledged as collateral, at fair value, respectively)71,684  90,788  
Investment related receivable24,738  19,138  
Interest receivable10,226  10,829  
Other assets101  90  
Total assets of consolidated VIEs$1,959,017  $2,501,179  
(2) Liabilities of consolidated VIEs included in the total liabilities above:
  
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively)$1,139,121  $1,477,454  
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively)3,215  3,886  
Accounts payable and accrued expenses128  185  
Other liabilities33,229  52,948  
Total liabilities of consolidated VIEs$1,175,693  $1,534,473  

See notes to unaudited consolidated financial statements.

3

Table of Contents
Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Statements of Operations
(in thousands—except share and per share data)
(Unaudited)
 
 For the three months ended March 31, 2020For the three months ended March 31, 2019
Net Interest Income  
Interest income$54,846  $52,033  
Interest expense (includes $2,164 and $2,338 on securitized debt held by affiliates, respectively)36,105  36,400  
Net Interest Income18,741  15,633  
Other Income (Loss)  
Realized gain (loss) on investments, net89,186  (5,105) 
Other than temporary impairment  (1,232) 
Unrealized gain (loss), net(296,111) 50,781  
Gain (loss) on derivative instruments, net(189,691) (27,148) 
Other, net461  236  
Other Income (Loss)(396,155) 17,532  
Expenses  
Management fee to affiliate1,039  1,735  
Other operating expenses1,000  1,598  
General and administrative expenses: 
Compensation expense662  544  
Professional fees1,480  1,215  
Other general and administrative expenses353  185  
Total general and administrative expenses2,495  1,944  
Total Expenses4,534  5,277  
Income (loss) before income taxes
(381,948) 27,888  
Income tax (benefit) provision(93) 12  
Net income (loss)
(381,855) 27,876  
Net income attributable to non-controlling interest2    
Net income (loss) attributable to common stockholders and participating securities
$(381,857) $27,876  
Net income (loss) per Common Share — Basic$(7.15) $0.58  
Net income (loss) per Common Share — Diluted$(7.15) $0.58  

See notes to unaudited consolidated financial statements.
4

Table of Contents
Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Statements of Changes in Equity
(in thousands—except shares and share data)
(Unaudited)
 
Three Months Ended March 31, 2020
 Common Stock OutstandingAdditional 
Paid-In Capital
Retained 
Earnings 
(Accumulated Deficit)
Treasury StockTotal Stockholders' EquityNon-Controlling InterestTotal Equity
SharesPar
Balance at December 31, 201953,523,876  $535  $889,227  $(325,301) $  $564,461  $  $564,461  
Proceeds from non-controlling interest, net of offering costs—  —  —  —  —  —  42  42  
Vesting of restricted stock—  —  165  —  —  165  —  165  
Treasury Stock(100,000) —  —  —  (578) (578) —  (578) 
Net loss—  —  —  (381,857) —  (381,857) 2  (381,855) 
Dividends declared on non-controlling interest—  —  —  —  —