UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
Date of Report (Date of earliest event reported):
February 27, 2015
Western Asset Mortgage Capital Corporation
(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)
DELAWARE
(STATE OF INCORPORATION)
001-35543 |
|
27-0298092 |
(COMMISSION FILE NUMBER) |
|
(IRS EMPLOYER ID. NUMBER) |
385 East Colorado Boulevard |
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91101 |
Pasadena, California |
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(ZIP CODE) |
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) |
|
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(626) 844-9400
(REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
[ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
[ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
[ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
[ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Item 2.02. Results of Operations and Financial Condition
On February 27, 2015, Western Asset Mortgage Capital Corporation (the Company) issued a press release announcing its financial results for the fiscal quarter and fiscal year ended December 31, 2014. The text of the press release is furnished as exhibit 99.1 to this Form 8-K.
Item 7.01 Regulation FD Disclosure
On February 27, 2015, the Company is holding its quarterly conference call in which it will discuss its financial results. The presentation for such call is furnished herewith as Exhibit 99.2 to this Form 8-K.
Pursuant to the rules and regulations of the Securities and Exchange Commission, Exhibits 99.1 and 99.2 and the information set forth therein and herein are being furnished and shall not be deemed to be filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the Exchange Act), nor shall they be deemed to be incorporated by reference in any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such a filing.
Item 9.01. Financial Statements and Exhibits
(d) Exhibits
Exhibit No. |
|
Description |
99.1 |
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Press Release, dated February 27, 2015, issued by Western Asset Mortgage Capital Corporation |
99.2 |
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Presentation, dated February 27, 2015, by Western Asset Mortgage Capital Corporation |
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
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WESTERN ASSET MORTGAGE CAPITAL CORPORATION | |||
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By: |
/s/ Charles A. Ruys de Perez |
| |
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Name: |
Charles A. Ruys de Perez | |
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Title: |
Secretary | |
Date: February 27, 2015
Exhibit 99.1
WESTERN ASSET MORTGAGE CAPITAL CORPORATION
ANNOUNCES FOURTH QUARTER AND YEAR ENDED 2014 RESULTS
Conference Call and Webcast Scheduled for today at 11:00 a.m. Eastern Time/8:00 a.m. Pacific Time
Pasadena, CA, February 27, 2015 Western Asset Mortgage Capital Corporation (NYSE: WMC) today reported its results for the fourth quarter and year ended December 31, 2014. For the fourth quarter, the Company recorded GAAP net income of $15.4 million, or $0.37 per basic and diluted share. Core earnings plus drop income for the fourth quarter was $36.4 million, or $0.87 per basic and diluted share1,2. The Company also reported a net book value of $14.94 per share as of December 31, 20143 and previously declared a $0.70 per share dividend for the quarter.
FOURTH QUARTER 2014 HIGHLIGHTS
· Paid a quarterly cash dividend of $0.70 per share
· Recorded GAAP net income of $15.4 million, or $0.37 per basic and diluted share
o Net income includes $48.3 million of net unrealized gain on MBS, other securities and whole-loans, $9.0 million of net realized and other loss on MBS and other securities, and $53.3 million of net loss on derivative instruments and linked transactions
· Generated core earnings plus drop income of $36.4 million, or $0.87 per basic and diluted share1,2 of which $0.22 or approximately 25% was attributable to dollar roll income associated with the Companys to-be-announced or TBA positions2
· $14.94 per share net book value as of December 31, 20143 versus $15.26 as of September 30, 2014
· Generated an economic return for the quarter of 2.5%4
· 2.71% weighted average net interest spread on Agency and Non-Agency MBS, CMBS, ABS, other securities and whole-loans, including IO securities accounted for as derivatives, linked transactions and swaps1
· $4.4 billion investment portfolio fair value as of December 31, 2014, including linked transactions
o 28% of the total portfolio consists of non-government or agency (credit) securites, including Non-Agency RMBS, CMBS, GSE credit risk sharing securities, residential whole-loans and ABS
· Constant prepayment rate on its Agency RMBS portfolio of 6.8% for the quarter
· 6.3x leverage (including borrowings on linked transactions) as of December 31, 2014
o 6.8x leverage when adjusted for net TBA position 1, 5
1 Non GAAP measure.
2014 HIGHLIGHTS
· Recorded GAAP net income of $100.7 million, or $2.67 per basic and diluted share
o Net income includes $189.0 million of net unrealized gain on MBS, other securities and whole-loans, $19.2 million of net realized and other loss on MBS and other securities, and $178.6 million of net loss on derivative instruments and linked transactions
· Generated core earnings plus drop income of $119.3 million, or $3.17 per basic and diluted share 1,2
· Declared $2.74 per share in cash dividends
· Generated a total economic return for the year of approximately 15.8%4
COMMENTARY ON QUARTER
Despite another challenging and volatile year in the U.S. fixed income markets, we continued to deliver on our goal of generating a strong total return for our shareholders, said Gavin James, Chief Executive Officer of Western Asset Mortgage Capital Corporation. For the fourth quarter, we generated $0.87 of core plus drop income and paid a dividend of $0.70, which enabled us to provide our shareholders with an economic return4 on book value of 2.5% for the quarter and 15.8% for the full year. Our strong performance reflects the significant competitive advantages provided from leveraging Western Assets world-class investment platform, where we are able to draw upon the experience of a full team of experts across a number of sectors in the mortgage market and the broader fixed income and credit markets.
Anup Agarwal, Chief Investment Officer of Western Asset Mortgage Capital Corporation, commented, During the quarter, we continued to execute on our strategy of diversifying our credit portfolio by increasing our holdings of U.S. and European CMBS, and most recently, residential whole loans. Our investment portfolio experienced healthy price appreciation during the quarter, however we were impacted by unrealized losses on our interest rate hedges as rates moved toward the low end of our expected range. Additionally, as interest rate volatility increased, we reduced our exposure to the TBA market, effectively lowering our adjusted leverage at year-end. We believe that our active
2 Drop income is income derived from the use of to-be-announced forward contract (TBA) dollar roll transactions which is a component of our gain (loss) on derivative instruments on our consolidated statement of operations, but is not included in core earnings.
3 December 31, 2014 book value per share reflects the $0.70 per share dividend declared on December 18, 2014 and paid on January 27, 2015.
4 Economic return is calculated by taking the sum of (i) the total dividends declared and (ii) the change in book value during the period and dividing by the beginning book value.
5 6.3x leverage calculation does not reflect net To-Be Announced (TBA) mortgage pass-through certificates position. As of December 31, 2014, the net long position in TBAs was $325.0 million in notional value.
management style coupled with our diversified portfolio will continue to serve us well in 2015.
FOURTH QUARTER 2014 RESULTS
For the fourth quarter ended December 31, 2014, the Company recorded GAAP net income of $15.4 million, or $0.37 per basic and diluted share. This compares to net income of $26.1 million, or $0.63 per basic and diluted share for the third quarter ended September 30, 2014. During the fourth quarter of 2014, the Company generated core earnings plus drop income of $36.4 million, or $0.87 per basic and diluted share. This compares to core earnings plus drop income of $27.8 million, or $0.67 per basic and diluted share for the third quarter ended September 30, 2014. Core earnings represents a non-GAAP financial measure and is defined as net income (loss) excluding: (i) net realized gain (loss) on investments and derivative contracts; (ii) net unrealized gain (loss) on investments; (iii) loss resulting from mark-to-market adjustments on derivative contracts; (iv) other loss on MBS and other securities; (v) non-cash stock-based compensation expense; and (vi) certain other non-cash charges. Drop income represents a non-GAAP financial measure and is derived from the use of to-be-announced forward contract (TBA) dollar roll transactions and is defined as the difference between the spot price and the forward settlement price for a comparable security on the trade date.
For the quarter ended December 31, 2014, average amortized cost of MBS, other securities and whole-loans held, including Agency and Non-Agency Interest-Only Strips accounted for as derivatives and linked transactions, was $4.45 billion, as compared to $4.57 billion for the quarter ended September 30, 2014.
For the quarter ended December 31, 2014, the Companys weighted average yield on its portfolio was 3.79%, including Agency and Non-Agency MBS, other securities and whole-loans, interest from Interest-Only securities accounted for as derivatives and linked transactions that occurred during the quarter. The Companys effective cost of funds on its Agency and Non-Agency MBS, other securities and whole-loans financing (including the cost of interest rate swaps and linked transactions) was 1.08%. The annualized net interest spread on its portfolio was 2.71%, including Agency and Non-Agency MBS, other securities and whole-loans, interest from Interest-Only securities accounted for as derivatives and linked transactions, and taking into account the cost of the interest rate swaps. This compares with a weighted average yield of 3.75%, an effective cost of funds of 1.80%, and an annualized net interest spread of 1.95% for the quarter ended September 30, 2014.
The actual constant prepayment rate (CPR) for the Companys Agency RMBS portfolio during the fourth quarter was 6.8% on an annualized basis, as compared to 6.5% for the third quarter of 2014.
DIVIDEND
On December 18, 2014, the Company declared a regular cash dividend of $0.70 per share for each common share. Since inception in May of 2012, WMC has declared and paid total dividends of $10.19 per share in a combination of cash and stock.
PORTFOLIO COMPOSITION
As of December 31, 2014, the Company owned an aggregate securities portfolio equaling $4.44 billion in market value, comprised of $1.8 billion of 30-year fixed-rate Agency RMBS (residential mortgage-backed securities for which the principal and interest payments are guaranteed by a U.S. Government agency or sponsored entity), $1.1 billion of 20-year fixed-rate Agency RMBS, $605.1 million of Non-Agency RMBS (including $8.2 million of linked transactions), $457.7 million of Agency and Non-Agency CMBS (commercial mortgage-backed securities)(including $38.6 million of linked transactions), $178.7 million of Agency MBS interest-only and $97.8 million of Agency MBS inverse interest-only strips, $2.6 million of Non-Agency MBS interest-only and $71.5 million of Non-Agency MBS inverse interest-only strips, $114.6 million of other securities (including $5.7 million of linked transactions), and $7.2 million of residential whole-loans.
The following table sets forth additional information regarding the Companys portfolio as of December 31, 2014:
Portfolio
($ in millions)
Agency |
|
Coupon |
|
Principal |
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Amortized |
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Estimated Fair |
30-year fixed rate |
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3.5% |
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$542.1 |
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$579.3 |
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$566.9 |
|
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4.0% |
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$468.5 |
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$507.1 |
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$505.2 |
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4.5% |
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$571.3 |
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$613.7 |
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$631.7 |
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5.5% |
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$68.0 |
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$76.8 |
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$77.5 |
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6.0% |
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$7.7 |
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$8.7 |
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$8.9 |
20-year fixed rate |
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3.0% |
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$319.0 |
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$333.8 |
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$329.7 |
|
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3.5% |
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$130.8 |
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$138.0 |
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$137.9 |
|
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4.0% |
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$605.1 |
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$639.7 |
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$652.4 |
|
|
|
|
|
|
|
|
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Agency RMBS IOs and IIOs(1) |
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3.9% |
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N/A |
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$245.8 |
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$257.7 |
Agency CMBS |
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4.9% |
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$25.1 |
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$25.1 |
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$25.3 |
Agency CMBS IOs and IIOs(2) |
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1.4% |
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N/A |
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$18.7 |
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$18.8 |
Total Agency |
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3.7% |
|
|
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$3,186.7 |
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$3,212.0 |
|
|
|
|
|
|
|
|
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Non-Agency |
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|
|
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|
|
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Non-Agency RMBS(3) |
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3.8% |
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$764.4 |
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$594.8 |
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$605.1 |
Non-Agency RMBS IOs and IIOs(4) |
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6.1% |
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N/A |
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$64.8 |
|
$74.1 |
Non-Agency CMBS(5) |
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5.5% |
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$466.2 |
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$431.9 |
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$432.4 |
Total Non-Agency |
|
4.8% |
|
|
|
$1,091.5 |
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$1,111.6 |
|
|
|
|
|
|
|
|
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Other Securities(6) |
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4.6% |
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$109.4 |
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$116.1 |
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$114.6 |
|
|
|
|
|
|
|
|
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Residential whole-loans |
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5.7% |
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$7.0 |
|
$7.1 |
|
$7.2 |
Total Portfolio |
|
4.0% |
|
|
|
$4,401.4 |
|
$4,445.4 |
(1) Includes $67.6 million of amortized cost and $69.1 million of fair value for Agency RMBS IOs and IIOs accounted for as derivatives for GAAP.
(2) Includes $14.7 million of amortized cost and $14.7 million of fair value for Agency CMBS IOs and IIOs accounted for as derivatives for GAAP.
(3) Includes $5.4 million of principal, $7.6 million of amortized cost and $8.2 million of fair value for Non-Agency RMBS accounted for as linked transactions for GAAP.
(4) Includes $3.7 million of amortized cost and $4.5 million of fair value for Non-Agency RMBS IOs and IIOs accounted for as derivatives for GAAP.
(5) Includes $41.7 million of principal, $41.7 million of amortized cost and $38.6 million of fair value for Non-Agency CMBS accounted for as linked transactions for GAAP.
(6) Includes $7.1 million of principal, $5.7 million of amortized cost and $5.7 million of fair value for Other securities accounted for as linked transactions for GAAP.
PORTFOLIO FINANCING
At December 31, 2014, the Company financed its portfolio with $3.9 billion of borrowings, including $31.9 million of borrowings related to linked transactions, under master repurchase agreements with twenty-one (21) of its twenty-four (24) approved counterparties, bearing fixed interest rates with maturities between January 2015 and October 2015.
The Company has also entered into approximately $3.4 billion notional amount of pay-fixed interest rate swaps, excluding forward starting swaps of $2.4 billion (approximately 9.6 months forward) that have variable maturities between October 2015 and February 2044, and $2.1 billion notional amount of pay-variable interest rate swaps, excluding forward starting swaps of $110.0 million (approximately 52.2 months forward) that have variable maturities between December 2016 and August 2043. In addition, the Company has entered into approximately $105.0 million notional amount of a pay-fixed interest rate swaption with a one year swap term and an exercise expiration date of June 2016.
The following tables set forth additional information regarding the Companys portfolio financing as of December 31, 2014:
Financing as of December 31, 2014
($ in millions)
Repurchase agreements |
|
Balance |
|
Weighted |
|
Weighted |
|
Agency RMBS |
|
$2,994.4 |
|
0.40% |
|
32 |
|
Non-Agency RMBS |
|
$473.9 |
|
1.54% |
|
49 |
|
Agency and Non-Agency CMBS |
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$325.9 |
|
1.55% |
|
29 |
|
Other Securities |
|
$81.6 |
|
1.55% |
|
34 |
|
Non-Agency RMBS Linked Transactions |
|
$6.5 |
|
1.66% |
|
15 |
|
Non-Agency CMBS Linked Transactions |
|
$22.5 |
|
1.94% |
|
7 |
|
Other securities Linked Transactions |
|
$2.8 |
|
1.93% |
|
37 |
|
Total |
|
$3,907.6 |
|
0.67% |
|
33 |
|
The following tables summarize the average pay rate and average maturity for the Companys interest rate swaps as of December 31, 2014:
Fixed Pay Rate Swap Transactions
($ in millions)
Remaining Term to |
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Notional |
|
Average |
|
Average |
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1 year or less |
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$89.3 |
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0.5% |
|
0.9 |
|
> 1 year to 3 years |
|
$1,972.3 |
|
0.8% |
|
1.8 |
|
> 3 years to 5 years |
|
$603.0 |
|
1.8% |
|
4.2 |
|
> 5 years |
|
$3,103.8 |
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2.8% |
|
9.4 |
|
Total Fixed Pay Rate |
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$5,768.4 |
|
2.0% |
|
6.2 |
|
Variable Pay Rate Swap Transactions
($ in millions)
Remaining Term to |
|
Notional |
|
Average |
|
Average |
|
> 1 year to 3 years |
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$220.0 |
|
0.2% |
|
2.0 |
|
> 3 years to 5 years |
|
$634.0 |
|
0.2% |
|
4.5 |
|
> 5 years |
|
$1,309.6 |
|
0.2% |
|
12.1 |
|
Total |
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$2,163.6 |
|
0.2% |
|
8.8 |
|
CONFERENCE CALL
The Company will host a conference call with a today, February 27, at 11:00 a.m. Eastern Time/8:00 a.m. Pacific Time, to discuss financial results for the fourth quarter and year ended December 31, 2014.
Individuals interested in participating in the conference call may do so by dialing 866.235.9914 from the United States, or 412.902.4115 from outside the United States and referencing Western Asset Mortgage Capital Corporation. Those interested in listening to the conference call live via the Internet may do so by visiting the Investor Relations section of the Companys website at www.westernassetmcc.com.
A telephone replay will be available through March 21, 2015 by dialing 877.344.7529 from the United States, or 412.317.0088 from outside the United States, and entering conference ID 10061451. A webcast replay will be available for one year.
ABOUT WESTERN ASSET MORTGAGE CAPITAL CORPORATION
Western Asset Mortgage Capital Corporation is a mortgage REIT that invests in Agency RMBS, which are residential mortgage-backed securities for which the principal and interest payments are guaranteed by a U.S. Government agency (such as GNMA) or a U.S. Government-sponsored entity (such as FNMA or FHLMC). The Company also invests in residential mortgage-backed securities that are not guaranteed by a U.S. Government agency or sponsored entity as well as commercial mortgage-backed securities or CMBS, asset backed securities or ABS, residential whole loans and/or whole loan securities and other securities. The Companys investment strategy may change, subject to the Companys stated investment guidelines, and is based on our manager Western Asset Management Companys perspective of which mix of portfolio assets it believes provide the Company with the best risk-reward opportunities at any given time. The Company is externally managed and advised by Western Asset Management Company, an investment advisor registered with the SEC and a wholly-owned subsidiary of Legg Mason, Inc.
FORWARD-LOOKING STATEMENTS
This press release contains statements that constitute forward-looking statements. Operating results are subject to numerous conditions, many of which are beyond the control of the Company, including, without limitation, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability and terms of financing; general economic conditions; market conditions; conditions in the market for mortgage related investments; legislative and regulatory changes that could adversely affect the business of the Company; and other factors, including those set forth in the Risk Factors section of the Companys annual report on Form 10-K for the period ended December 31, 2013 filed with the Securities and Exchange Commission (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.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP, this release includes certain non-GAAP financial information, including core earnings, core earnings per share, drop income and drop income per share and certain financial metrics derived from non-GAAP information, such as weighted average yield, including IO securities; weighted average effective cost of financing, including swaps; weighted average net
interest spread, including IO securities and swaps, which constitute non-GAAP financial measures within the meaning of Regulation G promulgated by the SEC. We believe that these measures presented in this release, when considered together with GAAP financial measures, provide information that is useful to investors in understanding our borrowing costs and net interest income, as viewed by us. An analysis of any non-GAAP financial measure should be made in conjunction with results presented in accordance with GAAP.
###
Investor Relations Contact: |
Media Contact: |
Larry Clark |
Tricia Ross |
Financial Profiles, Inc. |
Financial Profiles, Inc. |
(310) 622-8223 |
(310) 622-8226 |
lclark@finprofiles.com |
tross@finprofiles.com |
-Financial Tables to Follow-
Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Balance Sheets
(in thousandsexcept share and per share data)
|
|
December |
|
|
December |
| ||
Assets: |
|
|
|
|
|
| ||
Cash and cash equivalents |
|
$ |
47,222 |
|
$ |
|
48,525 |
|
Mortgage-backed securities and other securities, at fair value ($4,362,532 and $2,818,947 pledged as collateral, at fair value, respectively) |
|
4,385,723 |
|
|
2,853,587 |
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Residential whole-loans, at fair value |
|
7,220 |
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- |
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Linked transactions, net, at fair value |
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20,627 |
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18,559 |
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Investment related receivable |
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162,837 |
|
|
341 |
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Accrued interest receivable |
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27,309 |
|
|
12,266 |
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Due from counterparties |
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184,757 |
|
|
55,434 |
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Derivative assets, at fair value |
|
73,256 |
|
|
105,826 |
| ||
Other assets |
|
326 |
|
|
339 |
| ||
Total Assets |
|
$ |
4,909,277 |
|
$ |
|
3,094,877 |
|
|
|
|
|
|
|
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Liabilities and Stockholders Equity: |
|
|
|
|
|
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Liabilities: |
|
|
|
|
|
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Borrowings under repurchase agreements |
|
$ |
3,875,721 |
|
$ |
|
2,579,067 |
|
Accrued interest payable |
|
17,573 |
|
|
12,534 |
| ||
Investment related payables |
|
166,608 |
|
|
- |
| ||
Due to counterparties |
|
12,180 |
|
|
65,861 |
| ||
Derivative liability, at fair value |
|
180,280 |
|
|
4,673 |
| ||
Accounts payable and accrued expenses |
|
1,794 |
|
|
1,353 |
| ||
Underwriting and offering costs payable |
|
- |
|
|
8 |
| ||
Payable to related party |
|
2,705 |
|
|
1,842 |
| ||
Dividend payable |
|
29,204 |
|
|
19,445 |
| ||
Total Liabilities |
|
4,286,065 |
|
|
2,684,783 |
| ||
|
|
|
|
|
|
| ||
Commitments and contingencies |
|
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
|
|
|
|
|
| ||
Stockholders Equity: |
|
|
|
|
|
| ||
Common stock, $0.01 par value, 500,000,000 shares authorized, 41,719,801 and 26,853, 287 (including 2,548,784 shares declared as a stock dividend on December 19, 2013, issued on January 28, 2014) shares issued and outstanding, respectively |
|
417 |
|
|
268 |
| ||
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding |
|
- |
|
|
- |
| ||
Additional paid-in capital |
|
760,925 |
|
|
544,143 |
| ||
Retained earnings (accumulated deficit) |
|
(138,130) |
|
|
(134,317) |
| ||
Total Stockholders Equity |
|
623,212 |
|
|
410,094 |
| ||
Total Liabilities and Stockholders Equity |
|
$ |
4,909,277 |
|
$ |
|
3,094,877 |
|
Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Statement of Operations
(in thousandsexcept share and per share data)
|
|
(Unaudited) |
|
(Unaudited) |
|
|
|
|
| ||||
|
|
For the three |
|
For the three |
|
For the year |
|
For the year |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Net Interest Income: |
|
|
|
|
|
|
|
|
| ||||
Interest income |
|
$ |
40,358 |
|
$ |
28,182 |
|
$ |
149,110 |
|
$ |
125,328 |
|
Interest expense |
|
6,434 |
|
4,043 |
|
22,263 |
|
18,019 |
| ||||
Net Interest Income |
|
33,924 |
|
24,139 |
|
126,847 |
|
107,309 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Other Income (Loss): |
|
|
|
|
|
|
|
|
| ||||
Interest income on cash balances and other income (loss), net |
|
479 |
|
35 |
|
1,433 |
|
91 |
| ||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net |
|
472 |
|
(46,827 |
) |
(2,178 |
) |
(110,712) |
| ||||
Other loss on Mortgage-backed securities and other securities |
|
(9,449 |
) |
(3,694 |
) |
(17,014 |
) |
(11,858 |
) | ||||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net |
|
48,256 |
|
13,408 |
|
189,011 |
|
(160,109) |
| ||||
Gain on linked transactions, net |
|
204 |
|
179 |
|
1,870 |
|
4,137 |
| ||||
Gain (loss) on derivative instruments, net |
|
(53,512 |
) |
37,042 |
|
(180,496 |
) |
157,547 |
| ||||
Other Income (Loss), net |
|
(13,550 |
) |
143 |
|
(7,374 |
) |
(120,904) |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Operating Expenses: |
|
|
|
|
|
|
|
|
| ||||
General and administrative (includes $549, $263, $2,203 and $1,087 non-cash stock based compensation, respectively) |
|
2,424 |
|
1,684 |
|
9,127 |
|
6,446 |
| ||||
Management fee related party |
|
2,506 |
|
1,843 |
|
9,633 |
|
7,814 |
| ||||
Total Operating Expenses |
|
4,930 |
|
3,527 |
|
18,760 |
|
14,260 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) available to Common Stock and participating securities |
|
$ |
15,444 |
|
$ |
20,755 |
|
$ |
100,713 |
|
$ |
(27,855) |
|
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) per Common Share Basic |
|
$ |
0.37 |
|
$ |
0.83 |
|
$ |
2.67 |
|
$ |
(1.19) |
|
Net income (loss) per Common Share Diluted |
|
$ |
0.37 |
|
$ |
0.83 |
|
$ |
2.67 |
|
$ |
(1.19) |
|
Reconciliation of GAAP Net Income to Non-GAAP Core Earnings
(Unaudited)
(in thousandsexcept share and per share data)
The table below reconciles Net Income (Loss) to Core Earnings for the three months and the years ended December 31, 2014 and 2013:
(dollars in thousands) |
|
For the three |
|
For the three |
|
For the year |
|
For the year | ||||
|
|
|
|
|
|
|
|
| ||||
Net Income (loss) GAAP |
|
$ |
15,444 |
|
$ |
20,755 |
|
$ |
100,713 |
|
$ |
(27,855) |
Adjustments: |
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
| ||||
MBS and other securities: |
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
| ||||
Unrealized (gain) loss on MBS, other securities and whole-loans |
|
(48,256) |
|
(13,408) |
|
(189,011) |
|
160,109 | ||||
Other loss on mortgage-backed and other securities |
|
9,449 |
|
3,694 |
|
17,014 |
|
11,858 | ||||
Realized (gain) loss on sale of MBS and other securities |
|
(472) |
|
46,827 |
|
2,178 |
|
110,712 | ||||
|
|
|
|
|
|
|
|
| ||||
Derivative Instruments: |
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
| ||||
Realized (gain) loss on termination of interest rate swaps |
|
34,356 |
|
- |
|
(5,440) |
|
(65,305) | ||||
Realized (gain) loss on settlement of TBAs |
|
(14,846) |
|
(48) |
|
(40,015) |
|
1,499 | ||||
Realized loss on currency forwards |
|
577 |
|
- |
|
1,759 |
|
- | ||||
Realized loss on expiration of option derivatives |
|
2,813 |
|
- |
|
2,813 |
|
925 | ||||
Realized loss on termination of futures |
|
- |
|
- |
|
16,495 |
|
- | ||||
Realized (gain) loss on sale of swaptions |
|
(2,302) |
|
- |
|
3,606 |
|
(23,671) | ||||
Realized gain on sale/unlinking of securities underlying linked transactions |
|
- |
|
- |
|
(1,397) |
|
(3,049) | ||||
Realized (gain) loss on Agency Interest-Only Strips accounted for as derivatives |
|
(2) |
|
1,025 |
|
753 |
|
1,124 | ||||
Realized gain on foreign currency transactions |
|
(655) |
|
- |
|
(1,725) |
|
- | ||||
Mark-to- market adjustments on interest rate swaps |
|
38,497 |
|
(39,595) |
|
183,379 |
|
(83,764) | ||||
Mark-to- market adjustments on interest rate swaptions |
|
(3,918) |
|
(1,553) |
|
1,697 |
|
(4,733) | ||||
Mark-to-market adjustments on option derivatives |
|
(340) |
|
- |
|
- |
|
- | ||||
Mark-to-market adjustments on futures contracts |
|
429 |
|
- |
|
740 |
|
- | ||||
Mark-to- market adjustments on TBAs |
|
(4,752) |
|
2,083 |
|
(6,273) |
|
3,009 | ||||
Mark-to-market adjustments on linked transactions |
|
442 |
|
(15) |
|
1,860 |
|
56 | ||||
Mark-to-market adjustments on derivative instruments |
|
1,804 |
|
(2,839) |
|
2,136 |
|
700 | ||||
Mark-to-market adjustments on foreign currency swaps |
|
(1,785) |
|
- |
|
(3,857) |
|
- | ||||
Mark-to-market adjustments on foreign currency forwards |
|
222 |
|
- |
|
303 |
|
- | ||||
|
|
|
|
|
|
|
|
| ||||
Non-cash stock-based compensation expense |
|
549 |
|
263 |
|
2,203 |
|
1,087 | ||||
Total adjustments |
|
11,810 |
|
(3,566) |
|
(10,782) |
|
110,557 | ||||
Core Earnings Non-GAAP Financial Measure |
|
$ |
27,254 |
|
$ |
17,189 |
|
$ |
89,931 |
|
$ |
82,702 |
|
|
|
|
|
|
|
|
| ||||
Basic Core Earnings per Share of Common Stock and Participating Securities - Non-GAAP Financial Measure |
|
$ |
0.65 |
|
$ |
0.70 |
|
$ |
2.39 |
|
$ |
3.39 |
Diluted Core Earnings per Share of Common Stock and Participating Securities - Non-GAAP Financial Measure |
|
$ |
0.65 |
|
$ |
0.70 |
|
$ |
2.39 |
|
$ |
3.38 |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
| ||||
Basic weighted average common shares and participating securities |
|
41,732,988 |
|
24,670,202 |
|
37,677,685 |
|
24,374,025 | ||||
Diluted weighted average common shares and participating securities |
|
41,732,988 |
|
24,685,701 |
|
37,677,685 |
|
24,454,716 |
Reconciliation of Interest Income and Effective Cost of Funds
(Unaudited, in thousands)
The following table reconciles total interest income to interest income including interest income on Agency and Non-Agency Interest-Only Strips classified as derivatives and interest income on linked transactions (Non-GAAP financial measure) for the three months and the years ended December 31, 2014 and 2013:
(in thousands) |
|
For the three |
|
For the three |
|
For the Year ended |
|
For the Year | ||||
Coupon Interest |
|
$ |
57,132 |
|
$ |
37,125 |
|
$ |
209,146 |
|
$ |
177,472 |
Premium accretion, discount amortization and amortization of basis, net |
|
(16,774) |
|
(8,943) |
|
(60,036) |
|
(52,144) | ||||
Interest Income |
|
$ |
40,358 |
|
$ |
28,182 |
|
$ |
149,110 |
|
$ |
125,328 |
|
|
|
|
|
|
|
|
| ||||
Contractual Interest income, net of amortization basis on Agency and Non-Agency Interest-Only and Interest Strips, classified as derivatives(1): |
|
|
|
|
|
|
|
| ||||
Coupon Interest |
|
$ |
5,809 |
|
$ |
8,305 |
|
$ |
26,097 |
|
$ |
28,273 |
Amortization of basis (Non-GAAP Financial Measure) |
|
(4,582) |
|
(5,154) |
|
(18,868) |
|
(18,010) | ||||
Contractual Interest Income, net on Foreign currency swaps(1) |
|
176 |
|
- |
|
317 |
|
- | ||||
Contractual Interest income, net of premium amortization, discount accretion and amortization of basis on Linked Transactions (2): |
|
|
|
|
|
|
|
| ||||
Coupon Interest |
|
996 |
|
580 |
|
5,998 |
|
869 | ||||
Premium amortization, discount accretion and amortization of basis, net |
|
(218) |
|
(371) |
|
(3,119) |
|
546 | ||||
Subtotal |
|
2,181 |
|
3,360 |
|
10,425 |
|
11,678 | ||||
Total interest income, including interest income on Agency and Non-Agency Interest-Only Strips, classified as derivatives - Non-GAAP Financial Measure |
|
$ |
42,539 |
|
$ |
31,542 |
|
$ |
159,535 |
|
$ |
137,006 |
(1) Reported in gain (loss) on derivative instruments in the Consolidated Statement of Operations.
(2) Reported in gain (loss) on linked transactions in the Consolidated Statement of Operations.
The following tables reconcile the Effective Cost of Funds (Non-GAAP financial measure) with interest expense for the three months and the years ended December 31, 2014 and 2013:
|
|
For the three months ended December |
|
For the year ended December 31, 2014 |
| ||||||
(dollars in thousands) |
|
Reconciliation |
|
Cost of |
|
Reconciliation |
|
Cost of |
| ||
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| ||
Interest expense |
|
$ |
6,434 |
|
0.65% |
|
$ |
22,263 |
|
0.60% |
|
Interest expense on linked transactions |
|
132 |
|
1.76% |
|
546 |
|
1.75% |
| ||
Net interest paid - interest rate swaps |
|
4,162 |
|
0.43% |
|
29,946 |
|
0.81% |
| ||
Effective Borrowing Costs |
|
$ |
10,728 |
|
1.08% |
|
$ |
52,755 |
|
1.41% |
|
Weighted average repurchase borrowings (1) |
|
3,935,531 |
|
|
|
3,730,206 |
|
|
|
(1) Includes average repurchase borrowings under linked transactions.
|
|
For the three months ended |
|
For the year ended December 31, 2013 |
| ||||||
(dollars in thousands) |
|
Reconciliation |
|
Cost of |
|
Reconciliation |
|
Cost of |
| ||
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
| ||
Interest expense |
|
$ |
4,043 |
|
0.53% |
|
$ |
18,019 |
|
0.47% |
|
Interest expense on linked transactions |
|
45 |
|
1.67% |
|
271 |
|
1.65% |
| ||
Net interest paid - interest rate swaps |
|
7,036 |
|
0.93% |
|
22,932 |
|
0.61% |
| ||
Effective Borrowing Costs - Non-GAAP Financial Measure |
|
$ |
11,124 |
|
1.46% |
|
$ |
41,222 |
|
1.08% |
|
Weighted average repurchase borrowings(1) |
|
3,013,162 |
|
|
|
3,821,925 |
|
|
|
(1) Includes average repurchase borrowings under linked transactions.
Exhibit 99.2
Fourth Quarter 2014 Investor Presentation February 27, 2015 |
Safe Harbor Statement We make forward-looking statements in this presentation that are subject to risks and uncertainties. These forward-looking statements include information about possible or assumed future results of our business, financial condition, liquidity, results of operations, plans and objectives. When we use the words "believe," "expect," "anticipate," "estimate," "plan," "continue," "intend," "should," "may" or similar expressions, we intend to identify forward-looking statements. Statements regarding the following subjects, among others, may be forward-looking: our business and investment strategy; our projected operating results; our ability to obtain financing arrangements; financing and advance rates for MBS and our potential target assets; our expected leverage; general volatility of the securities markets in which we invest and the market price of our common stock; our expected investments; interest rate mismatches between MBS and our potential target assets and our borrowings used to fund such investments; changes in interest rates and the market value of MBS and our potential target assets; changes in prepayment rates on Agency MBS and Non-Agency MBS; effects of hedging instruments on MBS and our potential target assets; rates of default or decreased recovery rates on our potential target assets; the degree to which any hedging strategies may or may not protect us from interest rate volatility; impact of and changes in governmental regulations, tax law and rates, accounting guidance and similar matters; our ability to maintain our qualification as a REIT; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; availability of investment opportunities in mortgage-related, real estate-related and other securities; availability of qualified personnel; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; and market trends in our industry, interest rates, real estate values, the debt securities markets or the general economy. The forward-looking statements in this presentation are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. Some of these factors are described in our filings with the SEC under the headings "Summary," "Risk factors," "Management's discussion and analysis of financial condition and results of operations" and "Business." If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise over time, and it is not possible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. This presentation is not an offer to sell securities nor a solicitation of an offer to buy securities in any jurisdiction where the offer and sale is not permitted. 1 |
Fourth Quarter Financial Highlights GAAP Net Income of $15.4 million, or $0.37 per share Core earnings plus drop income of $36.4 million, or $0.87 per share, consists of: Core earnings of $0.65 per share Drop income of $0.22 per share $14.94 net book value per share as of December 31, 2014 versus $15.26 per share as of September 30, 2014 Maintained quarterly cash dividend of $0.70 per share, full year 2014 dividend of $2.74 per share Generated positive economic return on book value of 2.5% 2014 economic return on book value of 15.8% Total economic return on book value since IPO of 25.7% Net Interest Income of $31.8 million Net interest spread of 2.71% 3.79% adjusted gross yield 1.08% fully hedged cost of funds CPR on Agency RMBS of 6.8% for the quarter 2 Non-GAAP measures which include Agency and Non-Agency MBS and other securities (including the cost of interest rate swaps, and linked transactions), and interest income on IOs and IIOs classified as derivatives. Reflects the $0.70 dividend declared on December 18, 2014 and paid on January 27, 2015. Economic return, for any period, is calculated by taking the sum of (i) the total dividends declared and (ii) the change in net book value during the period and dividing by the beginning book value. Includes all dividends declared during the period from May 15, 2012, the date of WMCs commencement of initial operations, through December 31, 2014. Non-GAAP measures which include Agency and Non-Agency MBS and other securities (including the cost of interest rate swaps, and linked transactions), and interest income on IOs and IIOs classified as derivatives, and are weighted averages for the quarter ended December 31, 2014. Fourth quarter weighted average Constant Prepayment Rate for the companys Agency RMBS portfolio on an annualized basis. (5) (3) (5) (1) (5) (2) (5) (4) (6) |
2014: An Improved Market for Mortgage Assets 3 Agency spreads gradually tightened over the course of the year while Credit Sensitive bonds gradually appreciated in value Source: IDC & Citigroup Indices: For Prime, AltA and Subprime Citigroup Legacy Non-Agency Cash Price Index. For CMBS 2007 AJ Source: Bloomberg Index: CMM-SW7 2014: +1.3% 2014: +3.5% 2014: +8.1% 2014: +4.9% |
Interest Rate Volatility has Recently Increased 1 yr. x 10 yr. Swap Volatility 4 Source: Bloomberg 10-Year Treasury Yield Source: Bloomberg |
5 Portfolio Composition as of December 31, 2014 Portfolio ($ in millions) Agency Coupon Principal Balance Amortized Cost Estimated Fair Value 30-year fixed rate 3.5% $542.1 $579.3 $566.9 4.0% $468.5 $507.1 $505.2 4.5% $571.3 $613.7 $631.7 5.5% $68.0 $76.8 $77.5 6.0% $7.7 $8.7 $8.9 20-year fixed rate 3.0% $319.0 $333.8 $329.7 3.5% $130.8 $138.0 $137.9 4.0% $605.1 $639.7 $652.4 Agency RMBS IOs and IIOs¹ 3.9% N/A $245.8 $257.7 Agency CMBS 4.9% $25.1 $25.1 $25.3 Agency CMBS IOs and IIOs² 1.4% N/A $18.7 $18.8 Total Agency 3.7% $3,186.7 $3,212.0 Non-Agency RMBS³ 3.8% $764.4 $594.8 $605.1 Non-Agency IOs and IIOs4 6.1% N/A $64.8 $74.1 Non-Agency CMBS5 5.5% $466.2 $431.9 $432.4 Total Non-Agency 4.8% $1,091.5 $1,111.6 Other Securities6 4.6% $109.4 $116.1 $114.6 Residential whole-loans7 5.7% $7.0 $7.1 $7.2 Total Portfolio 4.0% $4,401.4 $4,445.4 (1) Includes $67.6 million of amortized cost and $69.1 million of fair value for Agency RMBS IOs and IIOs accounted for as derivatives for GAAP. (2) Includes $14.7 million of amortized cost and $14.7 million of fair value for Agency CMBS IOs and IIOs accounted for as derivatives for GAAP. (3) Includes $5.4 million of principal, $7.6 million of amortized cost and $8.2 million of fair value for Non-Agency RMBS accounted for as linked transactions for GAAP. (4) Includes $3.7 million of amortized cost and $4.5 million of fair value for Non-Agency RMBS IOs and IIOs accounted for as derivatives for GAAP. (5) Includes $41.7 million of principal, $41.7 million of amortized cost and $38.6 million of fair value for Non-Agency CMBS accounted for as linked transactions for GAAP. (6) Includes $7.1 million of principal, $5.7 million of amortized cost and $5.7 million of fair value for Other securities accounted for as linked transactions for GAAP. (7) Residential whole loans are held by a trust whose entire beneficial interest is held by WMC |
Portfolio Breakdown as of December 31, 2014 6 Agency RMBS Non-Agency RMBS Agency & Non-Agency CMBS Portfolio Gross Yield: 2.91% Hedge Adjusted COF: 0.88% Net Interest Spread: 2.03% Q414 Average amount: $3.19 billion Portfolio Gross Yield: 5.87% Hedge Adjusted COF: 1.71% Net Interest Spread: 4.16% Q414 Average amount: $676.7 million Portfolio Gross Yield: 5.23% Hedge Adjusted COF: 1.82% Net Interest Spread: 3.41% Q414 Average amount: $441.6 million (1) (1) (1) (2) Yields and Cost of Funds are Non-GAAP measures which include Agency and Non-Agency MBS (including the cost of interest rate swaps and linked transactions), other securities, including residential whole-loans and interest income on IOs and IIOs classified as derivatives, and are weighted averages for the quarter ended December 31, 2014. Lower loan balance pools generally consist of loans below $150,000. Other includes low WALA and Investor loans Other securities include GSE credit risk transfer securities and ABS, including linked transactions Average amount of RMBS and Other Securities held during the quarter, including IOs classified as derivatives and linked transactions. Other Securities and Residential Whole-loans Portfolio Gross Yield: 5.16% Hedge Adjusted COF: 1.50% Net Interest Spread: 3.66% Q414 Average amount: $136.6 million (1) (4) (4) (3) (5) (5) (5) (5) |
6.3x leverage calculation does not reflect net To-Be Announced (TBA) mortgage pass-through certificates position. As of December 31, 2014, the net long position in TBAs was $325 million in notional value. Adjusted leverage is a Non-GAAP measure. Non-GAAP measures which include Agency and Non-Agency MBS and other securities (including the cost of interest rate swaps, and linked transactions), and interest income on IOs and IIOs classified as derivatives, and are weighted averages for the quarter ended December 31, 2014. Includes net interest component related to interest rate swaps and includes interest expense on borrowings for linked transactions. Fourth quarter weighted average Constant Prepayment Rate for the companys Agency RMBS portfolio on an annualized basis. Estimated impact of liability hedges on the duration of net assets. Leverage Ratio: 6.3x Leverage Ratio adjusted for TBA position of 6.8x Net Duration of the Agency RMBS portfolio: Negative 1 month Agency RMBS Weighted Average Loan Age (WALA) of 6.2 months Portfolio Gross Yield: 3.79% Hedge Adjusted Cost of Financing: 1.08% Net Interest Spread: 2.71% Agency RMBS CPR of 6.8% for Q4 Duration Contribution by Maturity Date Key Portfolio Metrics as of December 31, 2014 (3) (2) (2) 7 (1) (5) (4) Total 6-Months 2-Year 5-Year 10-Year 20-Year 30-Year Agency RMBS 2.91 0.17 0.66 0.97 0.88 0.29 -0.06 Non-Agency RMBS 0.82 0.02 0.07 0.17 0.29 0.21 0.03 CMBS and ABS 0.27 0.02 0.08 0.10 0.06 0.00 0.00 Swaps and Swaptions -2.97 0.07 -0.44 -1.20 -1.06 -0.26 -0.08 Total 1.03 0.28 0.37 0.04 0.17 0.24 -0.11 |
Financing Summary Portfolio Financing ($ in millions as of December 31, 2014) Repurchase Agreements Repo Outstanding Interest Rate Remaining Days to Maturity Agency RMBS $2,994.4 0.40% 32 Non-Agency RMBS $473.9 1.54% 49 Agency and Non-Agency CMBS $325.9 1.55% 29 Other Securities $81.6 1.55% 34 Non-Agency RMBS Linked Transactions $6.5 1.66% 15 Non-Agency CMBS and Other Securities Linked Transactions $25.3 1.94% 11 Total/Wtd Avg $3,907.6 0.67% 33 8 Master repurchase agreements with 24 counterparties Outstanding borrowing with 21 counterparties Internal credit review Capacity in excess of our current needs |
Hedging Summary 9 Includes $2.4 billion of forward starting swaps, starting in 9.6 months. Includes $110 million of forward starting swaps, starting in 52.2 months. While we use hedging strategies as part of our overall portfolio management, these strategies are not designed to eliminate all risks in the portfolio. There can be no assurance as to the level or effectiveness of these strategies. Fixed Pay Interest Rate Swaps ($ in millions as of December 31, 2014) Maturity Notional Amount Avg. Fixed Pay Rate Avg. Floating Receive Rate Average Maturity (Years) 1 Year or Less $89.3 0.5% 0.2% 0.9 1 Year to 3 Years $1,972.3 0.8% 0.2% 1.8 3 Years to 5 Years $603.0 1.8% 0.2% 4.2 >5 Years $3,103.8 2.8% 0.2% 9.4 Total Fixed Pay Rate (1) $5,768.4 2.0% 0.2% 6.2 Other Instruments with Hedging Attributes (3) $105 million of net notional value of pay-fixed interest rate swaptions $351 million of IOs and inverse IOs $1.1 billion of Non-Agency RMBS and CMBS and Other Securities Variable Pay Interest Rate Swaps ($ in millions as of December 31, 2014) Maturity Notional Amount Avg. Fixed Receive Rate Avg. Floating Pay Rate Average Maturity (Years) 1 Year to 3 Years $220.0 0.8% 0.2% 2.0 3 Years to 5 Years $634.0 1.8% 0.2% 4.5 >5 Years $1,309.6 2.8% 0.2% 12.1 Total Floating Pay Rate(2) $2,163.6 2.3% 0.2% 8.8 |
Portfolio Strategy and Dynamics Continue to manage both the assets and liabilities of the portfolio to capture relative value opportunities Continue to leverage Western Assets comprehensive platform to access a broad set of investment opportunities across the entire mortgage sector Portfolio activity during the fourth quarter: Shifted exposure from Legacy Non-Agency RMBS to GSE credit risk sharing securities as spreads widened Continued to shift exposure from Legacy CMBS into CMBS mezzanine securities Added initial exposure to Residential Mortgage Whole-loans Increased exposure to TBA securities intra quarter, then reduced by year-end Slightly reduced allocation to Agency RMBS specified pools Maintained a slightly negative net duration on the Agency portfolio Continue to expand our sourcing capabilities for both Residential and Commercial Mortgage Whole-loans 10 Our long-term objective is to generate strong core earnings to support an attractive dividend, while also maintaining a stable book value |
Investment Highlights Western Asset is one of the largest fixed income managers in the world with extensive experience in managing mortgage assets since 1974 Differentiated investment approach to managing prepayment, interest rate risk, and credit risk Flexibility to invest across the mortgage sector positions us well to seek our objective of superior risk-adjusted returns Well developed and highly sophisticated operational infrastructure Key strategic relationships provides superior market access and ample funding capacity 11 |
Contact Information 12 Western Asset Mortgage Capital Corporation c/o Financial Profiles, Inc. 11601 Wilshire Blvd., Suite 1920 Los Angeles, CA 90025 www.westernassetmcc.com Investor Relations Contact: Larry Clark Tel: (310) 622-8223 lclark@finprofiles.com |
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