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Table of Contents
UNITED 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 September 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-20200930_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 November 4, 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)
 September 30,
2020
December 31, 2019
Assets:  
Cash and cash equivalents$27,459 $31,331 
Restricted cash95,579 52,948 
Agency mortgage-backed securities, at fair value ($1,853 and $1,756,917 pledged as collateral, at fair value, respectively)1,853 1,795,255 
Non-Agency mortgage-backed securities, at fair value ($182,125 and $292,613 pledged as collateral, at fair value, respectively)207,137 361,833 
Other securities, at fair value ($41,055 and $80,031 pledged as collateral, at fair value, respectively)41,055 80,161 
Residential Whole Loans, at fair value ($1,096,997 and $1,375,860 pledged as collateral, at fair value, respectively)1,096,997 1,375,860 
Residential Bridge Loans ($16,333 and $33,269 at fair value and $16,828 and $34,897 pledged as collateral, respectively)17,841 36,419 
Securitized commercial loans, at fair value1,687,545 909,040 
Commercial Loans, at fair value ($325,651 and $350,213 pledged as collateral, at fair value, respectively)325,651 370,213 
Investment related receivable18,861 19,931 
Interest receivable14,101 19,413 
Due from counterparties1,192 98,947 
Derivative assets, at fair value481 5,111 
Other assets4,418 4,509 
Total Assets (1)
$3,540,170 $5,160,971 
Liabilities and Equity:  
Liabilities:  
Repurchase agreements, net$358,525 $2,824,801 
Convertible senior unsecured notes, net194,510 197,299 
Securitized debt, net ($1,636,460 and $681,643 at fair value and $207,852 and $142,905 held by affiliates, respectively)2,602,909 1,477,454 
Interest payable (includes $660 and $647 on securitized debt held by affiliates, respectively)8,840 15,001 
Due to counterparties17 709 
Derivative liability, at fair value1,166 6,370 
Accounts payable and accrued expenses3,992 3,188 
Payable to affiliate3,255 2,148 
Dividend payable3,041 16,592 
Other liabilities 116,124 52,948 
Total Liabilities (2)
3,292,379 4,596,510 
Commitments and contingencies
Stockholders’ Equity:  
Common stock: $0.01 par value, 500,000,000 shares authorized, 60,812,701 and 53,523,876 outstanding, respectively609 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 capital915,258 889,227 
Retained earnings (accumulated deficit)(667,500)(325,301)
Total Stockholders’ Equity247,789 564,461 
Non-controlling interest2  
Total Equity247,791 564,461 
Total Liabilities and Equity$3,540,170 $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)
September 30,
2020
December 31, 2019
(1) Assets of consolidated VIEs included in the total assets above:
  
Cash and cash equivalents$ $7,589 
Restricted cash95,579 52,948 
Residential Whole Loans, at fair value ($1,096,997 and $1,375,860 pledged as collateral, at fair value, respectively)1,096,997 1,375,860 
Residential Bridge Loans ($15,319 and $31,748 at fair value and $16,828 and $34,897 pledged as collateral, respectively)16,828 34,897 
Securitized commercial loans, at fair value1,687,545 909,040 
Commercial Loans, at fair value ($72,699 and $90,788 pledged as collateral, at fair value, respectively)72,699 90,788 
Investment related receivable18,817 19,138 
Interest receivable11,287 10,829 
Other assets92 90 
Total assets of consolidated VIEs$2,999,844 $2,501,179 
(2) Liabilities of consolidated VIEs included in the total liabilities above:
  
Securitized debt, net ($1,636,460 and $681,643 at fair value and $207,852 and $142,905 held by affiliates, respectively)$2,602,909 $1,477,454 
Interest payable (includes $660 and $647 on securitized debt held by affiliates, respectively)7,681 3,886 
Accounts payable and accrued expenses410 185 
Other liabilities95,579 52,948 
Total liabilities of consolidated VIEs$2,706,579 $1,534,473 

See notes to unaudited consolidated financial statements.

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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 September 30, 2020For the three months ended September 30, 2019For the nine months ended September 30, 2020For the nine months ended September 30, 2019
Net Interest Income  
Interest income$43,970 $55,652 $130,310 $161,503 
Interest expense (includes $2,647, $964, $5,203 and $4,408 on securitized debt held by affiliates, respectively)33,853 39,082 94,376 113,440 
Net Interest Income10,117 16,570 35,934 48,063 
Other Income (Loss)    
Realized gain (loss), net718 21,399 82,944 16,286 
Other than temporary impairment (1,819) (6,346)
Unrealized gain (loss), net54,690 35,030 (225,381)160,425 
Gain (loss) on derivative instruments, net(88)(47,056)(197,922)(145,734)
Other, net(31)918 385 1,686 
Other Income (Loss)55,289 8,472 (339,974)26,317 
Expenses    
Management fee to affiliate1,513 1,800 3,016 5,367 
Financing fee  20,540  
Other operating expenses1,198 1,589 2,994 4,440 
General and administrative expenses: 
Compensation expense716 671 2,070 1,920 
Professional fees827 973 3,848 2,949 
Other general and administrative expenses1,138 344 2,263 1,059 
Total general and administrative expenses2,681 1,988 8,181 5,928 
Total Expenses5,392 5,377 34,731 15,735 
Income (loss) before income taxes
60,014 19,665 (338,771)58,645 
Income tax provision (benefit)205 (55)367 435 
Net income (loss)
59,809 19,720 (339,138)58,210 
Net income attributable to non-controlling interest2  6  
Net income (loss) attributable to common stockholders and participating securities
$59,807 $19,720 $(339,144)$58,210 
Net income (loss) per Common Share — Basic$0.98 $0.37 $(6.02)$1.15 
Net income (loss) per Common Share — Diluted$0.98 $0.37 $(6.02)$1.15 

See notes to unaudited consolidated financial statements.
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Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Statements of Changes in Equity
(in thousands—except shares and share data)
(Unaudited)
 
Three Months Ended September 30, 2020
 Common Stock OutstandingAdditional 
Paid-In Capital
Retained 
Earnings 
(Accumulated Deficit)
Treasury StockTotal Stockholders' EquityNon-Controlling InterestTotal Equity
SharesPar
Balance at June 30, 2020, as Revised59,458,617 $595 $911,488 $(724,252)$(578)$187,253 $2 $187,255 
Exchange of convertible senior notes1,354,084 14 3,574 — — 3,588 — 3,588 
Vesting of restricted stock— — 182 — — 182 — 182 
Net income— <