Investor Presentation

Safe Harbor Statement

Certain items in this presentation may constitute forward-looking statements within the meaning of the "safe harbor"

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management's current expectations and beliefs and are subject to a number of trends and uncertainties that could cause actual results to differ materially from those described in the forward-looking statements. The Company can give no assurance that its expectations will be attained. Factors that may cause actual results to vary from our forward-looking statements include, but are not limited to, the economic and market impact of the COVID-19 pandemic, many of which are difficult to predict and are generally beyond the Company's control. In particular, it is difficult to fully assess the impact of COVID-19 at this time due to, among other factors, uncertainty regarding the severity and duration of the outbreak domestically and internationally and the effectiveness of federal, state and local governments' efforts to contain the spread of COVID-19 and respond to its direct and indirect impact on the U.S. economy and economic activity. Other factors are described in Risk Factors section of the Company's annual report on Form 10-K for the period ended December 31, 2020 filed with the SEC. The Company undertakes no obligation to update these statements for revisions or changes after the date of this release, except as required by law.

1

Overview of Western Asset Mortgage Capital Corporation

Western Asset Mortgage Capital Corporation ("WMC") is a public REIT that benefits from the leading fixed income management capabilities of Western Asset Management Company, LLC ("Western Asset")

  • One of the world's leading global fixed income managers, known for team management, proprietary research, robust risk management and a long-term fundamental value approach
  • AUM of $491.3 billion(1)
    • AUM of the Mortgage and Consumer Credit Group is $65.3 billion(1)
    • Extensive mortgage and consumer credit investing track record
  • Publicly traded mortgage REIT positioned to capture attractive current and long-term investment opportunities in the residential and commercial mortgage markets
  • Completed Initial Public Offering in May 2012

Please refer to page 16 for footnote disclosures.

3

Second Quarter Financial Results & Recent Developments

During the second quarter we continued strengthening our balance sheet by favorably amending two key financing facilities, and improving liquidity. Our financial results were negatively impacted by a significant decline in fair value in one of our non-performing commercial loans. Second quarter financial results included the following:

  • GAAP book value per share of $3.55 at June 30, 2021 and approximately $3.67 at July 31, 2021(19).
  • Economic book value(4) per share of $3.28 at June 30, 2021 and approximately $3.38 at July 31, 2021(19).
  • Distributable earnings(2) of $2.8 million, or $0.05 per basic and diluted share.
  • 1.51% annualized net interest margin(5) on our investment portfolio.
  • Recourse leverage was 2.5x at June 30, 2021.
  • On June 22, 2021 we declared a second quarter common dividend of $0.06 per share.

Recent Developments

  • In August and September, the Company acquired approximately $156.9 million in Non-QM residential mortgages, which we intend to securitize as part of our Non-QM residential mortgage securitization program, as market conditions permit. However, we can offer no assurances that we will be able to achieve this goal.
  • Subsequent to June 30, 2021, two commercial loans, SBC 1 and CRE 2 with principal amounts of $45.2 million and $46.9 million, respectively, were paid in full. Both loans were collateralized by nursing facilities.
  • In August 2021, we repurchased $22.3 million aggregate principal amount of our Existing Notes at a weighted average discount to par value of 2.8%, plus accrued and unpaid interest. After the repurchase, the outstanding balance on our Existing Notes was approximately $146.0 million.

Please refer to page 16 for footnote disclosures.

4

Investment Portfolio Overview

Portfolio Summary ($ in thousands)

June 30, 2021

No. of

Principal

Amortized

Fair

Investments

Balance

Cost

Value

Residential Whole Loans

2,041

$

766,090

$

783,665

$

801,503

Commercial Loans

11

325,142

325,113

267,203

Non-Agency CMBS, including IOs

25

224,590

207,089

147,635

Agency and Non-Agency RMBS, including IOs

16

37,184

28,705

27,631

Securitized Commercial Loan(7)

2

1,600,136

1,477,023

1,595,077

Residential Bridge Loans(6)

19

9,319

9,320

8,450

Other Securities(8)

10

51,372

48,389

51,433

2,124

$

3,013,833

$

2,879,304

$

2,898,932

Investment Type

Property Type

Please refer to page 16 for footnote disclosures.

5

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Disclaimer

Western Asset Mortgage Capital Corporation published this content on 14 September 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 15 September 2021 19:31:07 UTC.