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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 March 31, 2021
 
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
 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 companyx
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 May 5, 2021 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)
 March 31,
2021
December 31, 2020
Assets:  
Cash and cash equivalents$25,159 $31,613 
Restricted cash24,331 76,132 
Agency mortgage-backed securities, at fair value ($1,629 and $1,708 pledged as collateral, at fair value, respectively)
1,629 1,708 
Non-Agency mortgage-backed securities, at fair value ($160,184 and $167,970 pledged as collateral, at fair value, respectively)
172,690 189,462 
Other securities, at fair value ($48,666 and $48,754 pledged as collateral, at fair value, respectively)
48,666 48,754 
Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively)
929,215 1,008,782 
Residential Bridge Loans ($11,212 and $12,813 at fair value and $12,044 and $12,960 pledged as collateral, respectively)
12,315 13,916 
Securitized commercial loans, at fair value1,636,127 1,605,335 
Commercial Loans, at fair value ($312,061 and $310,523 pledged as collateral, at fair value, respectively)
312,061 310,523 
Investment related receivable33,608 30,576 
Interest receivable13,112 13,568 
Due from counterparties1,065 2,327 
Derivative assets, at fair value136 161 
Other assets3,249 3,152 
Total Assets (1)
$3,213,363 $3,336,009 
Liabilities and Equity:  
Liabilities:  
Repurchase agreements, net$347,132 $356,923 
Convertible senior unsecured notes, net164,835 170,797 
Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively)
2,390,122 2,446,012 
Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively)
8,878 12,006 
Due to counterparties61 321 
Derivative liability, at fair value648 656 
Accounts payable and accrued expenses2,403 2,686 
Payable to affiliate3,161 3,171 
Dividend payable3,649 3,649 
Other liabilities 32,873 84,674 
Total Liabilities (2)
2,953,762 3,080,895 
Commitments and contingencies
Stockholders’ Equity:  
Common stock: $0.01 par value, 500,000,000 shares authorized, 60,812,701 and 60,812,701 outstanding, respectively
609 609 
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding
  
Treasury stock, at cost, 100,000 and 100,000 shares held, respectively
(578)(578)
Additional paid-in capital915,659 915,458 
Retained earnings (accumulated deficit)(656,091)(660,377)
Total Stockholders’ Equity259,599 255,112 
Non-controlling interest2 2 
Total Equity259,601 255,114 
Total Liabilities and Equity$3,213,363 $3,336,009 
 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,
2021
December 31, 2020
(1) Assets of consolidated VIEs included in the total assets above:
  
Restricted cash$24,331 $76,132 
Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively)
929,215 1,008,782 
Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively)
12,044 12,960 
Securitized commercial loans, at fair value1,636,127 1,605,335 
Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively)
68,569 68,466 
Investment related receivable31,239 27,987 
Interest receivable10,594 10,936 
Other assets80 80 
Total assets of consolidated VIEs$2,712,199 $2,810,678 
(2) Liabilities of consolidated VIEs included in the total liabilities above:
  
Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively)
$2,390,122 $2,446,012 
Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively)
7,594 7,882 
Accounts payable and accrued expenses48 89 
Other liabilities24,331 76,132 
Total liabilities of consolidated VIEs$2,422,095 $2,530,115 

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 March 31, 2021For the three months ended March 31, 2020
Net Interest Income  
Interest income$46,017 $54,846 
Interest expense (includes $3,693 and $2,164 on securitized debt held by affiliates, respectively)
36,769 36,105 
Net Interest Income9,248 18,741 
Other Income (Loss)  
Realized gain (loss), net(5,725)89,186 
Unrealized gain (loss), net9,050 (296,111)
Gain (loss) on derivative instruments, net26 (189,691)
Other, net(28)461 
Other Income (Loss)3,323 (396,155)
Expenses  
Management fee to affiliate1,477 1,039 
Other operating expenses392 1,000 
General and administrative expenses: 
Compensation expense708 662 
Professional fees879 1,480 
Other general and administrative expenses1,062 353 
Total general and administrative expenses2,649 2,495 
Total Expenses4,518 4,534 
Income (loss) before income taxes
8,053 (381,948)
Income tax provision (benefit)98 (93)
Net income (loss)
7,955 (381,855)
Net income attributable to non-controlling interest2 2 
Net income (loss) attributable to common stockholders and participating securities
$7,953 $(381,857)
Net income (loss) per Common Share — Basic$0.13 $(7.15)
Net income (loss) per Common Share — Diluted$0.13 $(7.15)

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 March 31, 2021
 Common Stock OutstandingAdditional 
Paid-In Capital
Retained 
Earnings 
(Accumulated Deficit)
Treasury StockTotal Stockholders' EquityNon-Controlling InterestTotal Equity
SharesPar
Balance at December 31, 202060,812,701 $609 $915,458 $(660,377)$(578)$255,112 $2 $255,114 
Vesting of restricted stock— — 183 — — 183 — 183 
Net income— — — 7,953 — 7,953 2 7,955 
Dividends declared on non-controlling interest— — — — — — (2)(2)
Dividends declared on common stock— — 18 (3,667)— (3,649)— (3,649)
Balance at March 31, 202160,812,701 $609 $915,659 $(656,091)$(578)$259,599 $2 $259,601 

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— — — — — — (2)(2)
Balance at March 31, 202053,423,876 $535 $889,392 $(707,158)$(578)$182,191 $42 $182,233 



See notes to unaudited consolidated financial statements.
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Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Statements of Cash Flows (in thousands)
(Unaudited)

 For the three months ended March 31, 2021For the three months ended March 31, 2020
Cash flows from operating activities:  
Net income (loss)$7,955 $(381,855)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:  
Premium amortization and (discount accretion), net(170)1,837 
Interest income earned added to principal of investments(174) 
Amortization of deferred financing costs1,367 646 
Amortization of discount on convertible senior unsecured notes245 273 
Restricted stock amortization182 165 
Interest payments and basis recovered on MAC interest rate swaps 202 
Premium on purchase of Residential Whole Loans (3,858)
Unrealized (gain) loss, net(9,050)296,111 
Realized gain on extinguishment of convertible senior notes(240) 
Realized loss on sale of real estate owned ("REO") 267 
Unrealized (gain) loss on derivative instruments, net17 8,807 
Realized (gain) loss on investments, net5,965 (89,453)
Loss on derivatives, net 135 
Changes in operating assets and liabilities:  
Interest receivable456 4,608 
Investment related receivable177  
Other assets587 (1,583)
Interest payable(3,128)(8,572)
Accounts payable and accrued expenses(259)3,119 
Payable to affiliate(10)1,089 
Other liabilities(1) 
Net cash provided by (used in ) in operating activities3,919 (168,062)
Cash flows from investing activities:  
Purchase of securities (320,997)
Proceeds from sale of securities 1,685,381 
Proceeds from sale of REO 1,347 
Principal repayments and basis recovered on securities1,041 25,454 
Purchase of Residential Whole Loans (109,481)
Principal repayments on Residential Whole Loans90,663 77,217 
Principal repayments on commercial loans148 37,638 
Principal repayments on securitized commercial loans51,167 154,702 
Principal repayments on Residential Bridge Loans2,183 6,372 
Premium for credit default swaps, net (566)
Net settlements of TBAs 883 
Interest payments and basis recovered on MAC interest rate swaps (202)
Due from counterparties (4,120)
Payments made on reverse repurchase agreements, net (