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Table of Contents
lUNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-Q 
(Mark One)
 Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended June 30, 2020
 
Transition 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
wmc-20200630_g1.gif
 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 company
Emerging growth company
 
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 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 August 6, 2020 there were 60,812,701 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)
 June 30,
2020
December 31, 2019
Assets:  
Cash and cash equivalents$19,363  $31,331  
Restricted cash26,430  52,948  
Agency mortgage-backed securities, at fair value ($1,975 and $1,756,917 pledged as collateral, at fair value, respectively)1,975  1,795,255  
Non-Agency mortgage-backed securities, at fair value ($197,326 and $292,613 pledged as collateral, at fair value, respectively)216,288  361,833  
Other securities, at fair value ($40,466 and $80,031 pledged as collateral, at fair value, respectively)40,466  80,161  
Residential Whole Loans, at fair value ($1,124,051 and $1,375,860 pledged as collateral, at fair value, respectively)1,124,051  1,375,860  
Residential Bridge Loans ($24,171 and $33,269 at fair value and $25,371 and $34,897 pledged as collateral, respectively)26,505  36,419  
Securitized commercial loans, at fair value465,694  909,040  
Commercial Loans, at fair value ($323,474 and $350,213 pledged as collateral, at fair value, respectively)323,474  370,213  
Investment related receivable12,029  19,931  
Interest receivable11,595  19,413  
Due from counterparties5,177  98,947  
Derivative assets, at fair value714  5,111  
Other assets6,262  4,509  
Total Assets (1)
$2,280,023  $5,160,971  
Liabilities and Equity:  
Liabilities:  
Repurchase agreements, net$369,096  $2,824,801  
Convertible senior unsecured notes, net198,669  197,299  
Securitized debt, net ($424,217 and $681,643 at fair value and $43,904 and $142,905 held by affiliates, respectively)1,458,236  1,477,454  
Interest payable (includes $49 and $647 on securitized debt held by affiliates, respectively)7,710  15,001  
Due to counterparties16  709  
Derivative liability, at fair value943  6,370  
Accounts payable and accrued expenses4,082  3,188  
Payable to affiliate4,701  2,148  
Dividend payable  16,592  
Other liabilities 47,856  52,948  
Total Liabilities (2)
2,091,309  4,596,510  
Commitments and contingencies
Stockholders’ Equity:  
Common stock: $0.01 par value, 500,000,000 shares authorized, 59,458,617 and 53,523,876 outstanding, respectively595  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 capital911,488  889,227  
Retained earnings (accumulated deficit)(722,793) (325,301) 
Total Stockholders’ Equity188,712  564,461  
Non-controlling interest2    
Total Equity188,714  564,461  
Total Liabilities and Equity$2,280,023  $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)
June 30,
2020
December 31, 2019
(1) Assets of consolidated VIEs included in the total assets above:
  
Cash and cash equivalents$  $7,589  
Restricted cash26,430  52,948  
Residential Whole Loans, at fair value ($1,124,051 and $1,375,860 pledged as collateral, at fair value, respectively)1,124,051  1,375,860  
Residential Bridge Loans ($23,037 and $31,748 at fair value and $25,371 and $34,897 pledged as collateral, respectively)25,371  34,897  
Securitized commercial loans, at fair value465,694  909,040  
Commercial Loans, at fair value ($72,335 and $90,788 pledged as collateral, at fair value, respectively)72,335  90,788  
Investment related receivable12,029  19,138  
Interest receivable8,640  10,829  
Other assets92  90  
Total assets of consolidated VIEs$1,734,642  $2,501,179  
(2) Liabilities of consolidated VIEs included in the total liabilities above:
  
Securitized debt, net ($424,217 and $681,643 at fair value and $43,904 and $142,905 held by affiliates, respectively)$1,458,236  $1,477,454  
Interest payable (includes $49 and $647 on securitized debt held by affiliates, respectively)3,144  3,886  
Accounts payable and accrued expenses118  185  
Other liabilities26,430  52,948  
Total liabilities of consolidated VIEs$1,487,928  $1,534,473  

See notes to unaudited consolidated financial statements.

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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 June 30, 2020For the three months ended June 30, 2019For the six months ended June 30, 2020For the six months ended June 30, 2019
Net Interest Income  
Interest income$31,494  $53,818  $86,340  $105,851  
Interest expense (includes $392, $1,106, $2,556 and $3,444 on securitized debt held by affiliates, respectively)22,959  37,958  59,064  74,358  
Net Interest Income8,535  15,860  27,276  31,493  
Other Income (Loss)    
Realized gain (loss) on investments, net(6,960) (8) 82,226  (5,113) 
Other than temporary impairment  (3,295)   (4,527) 
Unrealized gain (loss), net16,040  74,614  (280,071) 125,395  
Gain (loss) on derivative instruments, net(8,143) (71,530) (197,834) (98,678) 
Other, net(45) 532  416  768  
Other Income (Loss)892  313  (395,263) 17,845  
Expenses    
Management fee to affiliate464  1,832  1,503  3,567  
Financing fee20,540    20,540    
Other operating expenses796  1,253  1,796  2,851  
General and administrative expenses: 
Compensation expense692  705  1,354  1,249  
Professional fees1,541  761  3,021  1,976  
Other general and administrative expenses772  530  1,125  715  
Total general and administrative expenses3,005  1,996  5,500  3,940  
Total Expenses24,805  5,081  29,339