Western Asset Mortgage Capital Corporation Announces Third Quarter 2015 Results

Conference Call and Webcast Scheduled for today, Wednesday, November 4 at 12:00 p.m. Eastern Time/9:00 a.m. Pacific Time

04 Nov, 2015, 06:55 ET from Western Asset Mortgage Capital Corporation

PASADENA, Calif., Nov. 4, 2015 /PRNewswire/ -- Western Asset Mortgage Capital Corporation (the "Company") (NYSE: WMC) today reported its results for the third quarter ended September 30, 2015. For the third quarter, the Company recorded a GAAP net loss of $1.9 million, or $0.05 per basic and diluted share. Core earnings plus drop income for the third quarter was $22.6 million, or $0.54 per basic and diluted share1,2. The Company also reported a net book value of $13.26 per share as of September 30, 20153 and previously declared a $0.60 per share dividend for the quarter.

THIRD QUARTER 2015 HIGHLIGHTS

  • Paid a quarterly cash dividend of $0.60 per share
  • Recorded a GAAP net loss of $1.9 million, or $0.05 per basic and diluted share
    • Net loss includes $24.7 million of net unrealized gain on mortgage-backed securities ("MBS"), other securities and whole-loans ("Whole-Loans"); $2.5 million of net realized loss on MBS, other securities and Whole-Loans; and $41.4 million of net loss on derivative instruments
  • Generated core earnings plus drop income of $22.6 million, or $0.54 per basic and diluted share1,2 of which $2.6 million, or approximately 11% was attributable to dollar roll income associated with the Company's "to-be-announced" or TBA positions2
  • $13.26 per share net book value as of September 30, 20153  versus $13.89 as of June 30, 2015
  • Economic return for the quarter was approximately flat (-0.2%).1,4 
  • 2.45% weighted average net interest spread on Agency and Non-Agency residential MBS ("RMBS"), commercial mortgage backed securities ("CMBS"), asset-backed securities ("ABS"), other securities and Whole-Loans, including interest only ("IO") securities accounted for as derivatives1
  • $3.5 billion investment portfolio fair value as of September 30, 2015
    • 38% of the total portfolio consists of non-government or Non-Agency ("credit") securities, including Non-Agency RMBS, CMBS, GSE credit risk sharing securities, Residential Whole-Loans and ABS
  • Constant prepayment rate on its Agency RMBS portfolio of 10.1% for the quarter
  • 5.4x leverage as of September 30, 2015
    • 6.5x leverage when adjusted for net TBA position 1, 5

COMMENTARY ON QUARTER

"During the third quarter, the fixed income markets continued to experience a high level of volatility, driven by concerns over slower global economic growth and ongoing uncertainty over the timing of when the Federal Reserve would begin to increase interest rates," said Gavin James, Chief Executive Officer of Western Asset Mortgage Capital Corporation. "While our portfolio wasn't immune to the overall volatility in the fixed income markets and, in particular, the U.S. mortgage markets, our diversification and proactive approach to portfolio management enabled us to deliver an approximately break-even economic return for the quarter."

Anup Agarwal, Chief Investment Officer of Western Asset Mortgage Capital Corporation, commented, "For the quarter, we continued to shift our portfolio to include a higher proportion of credit sensitive investments, increasing our credit exposure from approximately 28% of the portfolio at the beginning of the year to just over 38% of the portfolio at September 30, 2015. We believe that these securities offer attractive relative value and are a good complement to our Agency MBS holdings. During the quarter, we primarily increased our holdings in Residential Whole-Loans and CMBS. While our overall securities and loan  portfolio experienced additional price appreciation, we were once again impacted by losses on our interest rate hedges as rates moved toward the low end of our expected range. We believe that our disciplined approach to security selection combined with our hedging strategies have and will continue to position us to manage through the current highly volatile interest rate environment."

THIRD QUARTER 2015 RESULTS

For the third quarter ended September 30, 2015, the Company recorded a GAAP net loss of $1.9 million, or $0.05 per basic and diluted share. This compares to a net loss of $1.7 million, or $0.05 per basic and diluted share, for the second quarter ended June 30, 2015. During the third quarter ended September 30, 2015, the Company generated core earnings plus drop income of $22.6 million, or $0.54 per basic and diluted share. This compares to core earnings plus drop income of $31.7 million, or $0.76 per basic and diluted share, for the second quarter ended June 30, 2015. 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) gain (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 September 30, 2015, average amortized cost of MBS, other securities and Whole-Loans held, including Agency and Non-Agency IO Strips, accounted for as derivatives, was $3.67 billion, as compared to $4.31 billion for the quarter ended June 30, 2015.

For the quarter ended September 30, 2015, the Company's weighted average yield on its portfolio was 4.03%, including Agency and Non-Agency MBS, other securities and Whole-Loans, and interest from Interest-Only securities accounted for as derivatives. The Company's effective cost of funds on its financing of its Agency and Non-Agency MBS, other securities and Whole-Loans, and from its Interest-Only securities accounted for as derivatives (including the cost of interest rate swaps), was 1.58%. The annualized net interest spread on its portfolio was 2.45%, including Agency and Non-Agency MBS, other securities and Whole-Loans, interest from Interest-Only securities accounted for as derivatives, and taking into account the cost of the interest rate swaps. This compares with a weighted average yield of 3.98%, an effective cost of funds of 1.19%, and an annualized net interest spread of 2.79%, respectively, for the quarter ended June 30, 2015.

The actual constant prepayment rate ("CPR") for the Company's Agency RMBS portfolio during the third quarter was 10.1% on an annualized basis, as compared to 9.8% for the second quarter of 2015.

DIVIDEND

On September 24, 2015, the Company declared a regular cash dividend of $0.60 per share for each common share. Since inception in May of 2012, the Company has declared and paid total dividends of $12.10 per share in a combination of cash and stock. 

PORTFOLIO COMPOSITION

As of September 30, 2015, the Company owned an aggregate securities and loan portfolio equaling $3.5 billion in market value, comprised of $1.15 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), $817.5 million of 20-year fixed-rate Agency RMBS, $458.3 million of Non-Agency RMBS, $489.4 million of Agency and Non-Agency CMBS, $132.6 million of Agency MBS Interest-Only and $40.4 million of Agency MBS Inverse Interest-Only strips, $2.4 million of Non-Agency MBS Interest-Only and $85.5 million of Non-Agency MBS Inverse Interest-Only strips, $177.5 million of other securities, and $150.5 million of Residential Whole-Loans.

The following table sets forth additional information regarding the Company's portfolio as of September 30, 2015:

Portfolio

($ in millions)

Agency

Coupon

Principal Balance

Amortized Cost

Estimated Fair

Value

30-year fixed rate

3.5%

$203.4

$218.5

$213.8

4.0%

$408.8

$442.4

$442.4

4.5%

$435.2

$467.0

$481.9

5.5%

$3.0

$3.5

$3.4

6.0%

$6.6

$7.3

$7.5

20-year fixed rate

3.0%

$95.4

$99.5

$99.0

3.5%

$152.8

$161.3

$161.7

4.0%

$516.0

$544.3

$556.8

Agency RMBS IOs and IIOs(1)

3.5%

N/A

$148.7

$157.8

Agency CMBS

5.0%

$24.7

$24.7

$24.9

Agency CMBS IOs and IIOs(2)

1.3%

N/A

$14.9

$15.2

Total Agency

3.6%

$2,132.1

$2,164.4

Non-Agency

Non-Agency RMBS

3.7%

$604.4

$448.8

$458.3

Non-Agency RMBS IOs and IIOs(3)

6.1%

N/A

$72.4

$87.8

Non-Agency CMBS

5.2%

$542.1

$468.0

$464.5

Total Non-Agency

4.8%

$989.2

$1,010.6

Other Securities

5.0%

$154.5

$179.0

$177.5

Residential Whole-Loans

5.1%

$145.4

$147.3

$150.5

Total Portfolio

4.0%

$3,447.6

$3,503.0

(1)

Includes $50.1 million of amortized cost and $52.4 million of fair value for Agency RMBS IOs and IIOs accounted for as derivatives for GAAP.

(2)

Includes $12.5 million of amortized cost and $12.5 million of fair value for Agency CMBS IOs and IIOs accounted for as derivatives for GAAP.

(3)

Includes $3.0 million of amortized cost and $3.8 million of fair value for Non-Agency RMBS IOs and IIOs accounted for as derivatives for GAAP.

 

PORTFOLIO FINANCING

At September 30, 2015, the Company financed its portfolio with $3.0 billion of borrowings under master repurchase agreements with nineteen (19) of its twenty-seven (27) approved counterparties, bearing fixed interest rates with maturities between October 2015 and May 2016. 

The Company has also entered into approximately $4.6 billion notional amount of pay-fixed interest rate swaps, excluding forward starting swaps of $1.0 billion (approximately 6.0 months forward) that have variable maturities between October 2015 and February 2044, and $2.4 billion notional amount of pay-variable interest rate swaps, excluding forward starting swaps of $0.5 billion (approximately 1 day forward) that have variable maturities between February 2020 and February 2045. In addition, the Company has entered into $605.0 million notional amount of pay-fixed interest rate swaptions with a weighted average swap term of 4.3 years, and $500.0 million notional amount of receive-fixed interest rate swaptions with a weighted average swap term of 5.0 years.

The following table sets forth additional information regarding the Company's portfolio financing as of September 30, 2015:

Financing

($ in millions)

Repurchase agreements

Balance

Weighted Average Interest Rate (end of period)

Weighted Average Remaining Maturity (days)

Agency RMBS

$2,013.0

0.54%

38

Non-Agency RMBS

$386.8

1.71%

46

Agency and Non-Agency CMBS

$367.7

1.67%

37

Other Securities and Residential Whole-Loans

$242.8

2.04%

50

Total

$3,010.3

0.95%

40

The following tables summarize the average pay rate and average maturity for the Company's interest rate swaps as of September 30, 2015:

Fixed Pay Rate Swap Transactions

($ in millions)

Remaining Term to Maturity

Notional Amount

Average Fixed Pay Rate

Average Maturity (Years)

1 year or less

$1,015.3

0.6%

0.6

> 1 year to 3 years

$1,491.8

1.0%

1.6

> 3 years to 5 years

$1,204.5

1.9%

4.8

> 5 years

$1,881.3

3.0%

10.3

Total Fixed Pay Rate

$5,592.9

1.8%

5.0

Variable Pay Rate Swap Transactions

($ in millions)

Remaining Term to Maturity

Notional Amount

Average Variable Pay Rate

Average Maturity (Years)

> 3 years to 5 years

$1,735.8

0.3%

4.8

> 5 years

$1,203.1

0.3%

11.8

Total 

$2,938.9

0.3%

7.7

CONFERENCE CALL

The Company will host a conference call with a live webcast today, November 4, at 12:00 p.m. Eastern Time/9:00 a.m. Pacific Time, to discuss financial results for the third quarter ended September 30, 2015. 

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 Company's website at www.westernassetmcc.com.

The Company is enabling investors to pre-register for the earnings conference call so that they can expedite their entry into the call and avoid the need to wait for a live operator. In order to pre-register for the call, investors can visit http://dpregister.com/10075572 and enter in their contact information. Investors will then be issued a personalized phone number and pin to dial into the live conference call. Individuals can pre-register any time prior to the start of the conference call on November 4, 2015.

A telephone replay will be available through November 18, 2015 by dialing 877.344.7529 from the United States, or 412.317.0088 from outside the United States, and entering conference ID 10075572. A webcast replay will be available for 90 days.

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 and Commercial Whole-Loans and/or whole-loan securities and other securities. The Company's investment strategy may change, subject to the Company's stated investment guidelines, and is based on our manager Western Asset Management Company's 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 Company's annual report on Form 10-K for the period ended December 31, 2014 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.

1 Non – GAAP measure.

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 September 30, 2015 book value per share reflects the $0.60 per share dividend declared on September 24, 2015 and paid on October 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 5.4x leverage calculation does not reflect net To-Be Announced ("TBA") mortgage pass-through certificates position. As of September 30, 2015, the net long position in TBAs was $600.0 million in notional value.

 

-Financial Tables to Follow-

 

Western Asset Mortgage Capital Corporation and Subsidiaries Consolidated Balance Sheets (Unaudited) (in thousands—except share and per share data)

September 30, 2015

December 31, 2014

Assets:

Cash and cash equivalents

$

39,703

$

47,222

Mortgage-backed securities and other securities, at fair value ($3,343,683 and $4,362,532 pledged as collateral, at fair value, respectively)

3,352,509

4,385,723

Residential Whole-Loans, at fair value ($150,486 and $7,220 pledged as collateral, at fair value, respectively)

150,486

7,220

Linked transactions, net, at fair value

-

20,627

Receivable under reverse repurchase agreements

758,467

-

Investment related receivable

10,734

162,837

Accrued interest receivable

21,415

27,309

Due from counterparties

236,525

184,757

Derivative assets, at fair value

56,985

73,256

Other assets

773

326

Total Assets

$

4,627,597

$

4,909,277

Liabilities and Stockholders' Equity:

Liabilities:

Borrowings under repurchase agreements

$

3,010,268

$

3,875,721

Accrued interest payable

21,719

17,573

Investment related payables

10,742

166,608

Due to counterparties

771,784

12,180

Derivative liability, at fair value

227,158

180,280

Accounts payable and accrued expenses

2,262

1,794

Payable to related party

2,797

2,705

Dividend payable

25,152

29,204

Total Liabilities

4,071,882

4,286,065

Commitments and contingencies

Stockholders' Equity:

Common stock, $0.01 par value, 500,000,000 shares authorized, 41,919,801 and 41,719,801 shares issued and outstanding, respectively

419

417

Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding

-

-

Additional paid-in capital

762,935

760,925

Retained earnings (accumulated deficit)

(207,639)

(138,130)

Total Stockholders' Equity

555,715

623,212

Total Liabilities and Stockholders' Equity

$

4,627,597

$

4,909,277

 

 

Western Asset Mortgage Capital Corporation and Subsidiaries Consolidated Statements of Operations (Unaudited) (in thousands—except share and per share data)

For the three months ended September 30, 2015

For the three months ended September 30, 2014

For the nine months ended September 30, 2015

For the nine months ended September 30, 2014

Net Interest Income:

Interest income

$

35,821

$

40,718

$

117,656

$

108,752

Interest expense

6,981

6,468

19,960

15,829

Net Interest Income

28,840

34,250

97,696

92,923

Other Income (Loss):

Interest income on cash balances and other income (loss), net

(29)

942

1,744

954

Realized gain (loss) on sale of Mortgage-backed securities, other securities and Whole-Loans, net

(2,482)

4,912

9,267

(2,650)

Other loss on Mortgage-backed securities and other securities

(5,917)

(2,857)

(14,884)

(7,565)

Unrealized gain (loss) on Mortgage-backed securities, other securities and Whole-Loans, net

24,723

(4,453)

10,284

140,755

Gain on linked transactions, net

-

(1,241)

-

1,666

Loss on derivative instruments, net

(41,363)

(401)

(76,511)

(126,984)

Other Income (Loss), net

(25,068)

(3,098)

(70,100)

6,176

Operating Expenses:

General and administrative (includes $509, $587, $1,969 and $1,654 non-cash stock based compensation, respectively)

2,863

2,253

8,862

6,703

Management fee – related party

2,761

2,763

8,133

7,127

Total Operating Expenses

5,624

5,016

16,995

13,830

Net income (loss) available to Common Stock and participating securities

$

(1,852)

$

26,136

$

10,601

$

85,269

Net income (loss) per Common Share – Basic

$

(0.05)

$

0.63

$

0.24

$

2.35

Net income (loss) per Common Share – Diluted

$

(0.05)

$

0.63

$

0.24

$

2.35

Dividends Declared per Share of Common Stock

$

0.60

$

0.70

$

1.91

$

2.04

 

Reconciliation of GAAP Net Income to Non-GAAP Core Earnings (Unaudited) (in thousands—except share and per share data)

The table below reconciles Net Income (Loss) to Core Earnings for the three and nine months ended September 30, 2015 and September 30, 2014:

(dollars in thousands)

For the three months ended September 30, 2015

For the three months ended  September  30, 2014, as Revised

For the nine months ended  September  30, 2015

For the nine months ended  September  30, 2014, as Revised

Net Income (loss) – GAAP

$

(1,852)

$

26,136

$

10,601

$

85,269

Adjustments:

MBS, other securities and Whole-Loans:

Unrealized (gain) loss on MBS, other securities and Whole-Loans

(24,723)

4,453

(10,284)

(140,755)

Other loss on mortgage-backed and other securities

5,917

2,857

14,884

7,565

Realized (gain) loss on sale of MBS and other securities

2,482

(4,912)

(9,267)

2,650

Derivative Instruments:

Realized gain on termination of interest rate swaps

(28,291)

(23,798)

(18,729)

(17,012)

Realized (gain) loss on settlement of TBAs

8,205

(2,608)

1,728

(25,169)

Realized loss on currency forwards

134

1,182

980

1,182

Realized gain on  option derivatives

(684)

-

(684)

-

Realized loss on termination of futures

168

-

627

16,495

Realized loss on sale of swaptions

150

-

3,873

5,908

Realized gain on sale/unlinking of securities underlying linked transactions

-

(107)

-

(1,397)

Realized (gain) loss on Agency Interest-Only Strips – accounted for as derivatives

(626)

(389)

(624)

755

Realized (gain) loss on foreign currency transactions

275

(1,070)

(2,523)

(1,070)

Unrealized (gain) loss on foreign currency transactions

(201)

-

859

-

Mark-to- market adjustments on interest rate swaps

64,701

15,587

83,209

123,026

Mark-to- market adjustments on interest rate swaptions

(71)

624

72

5,615

Mark-to-market adjustments on options

-

340

-

340

Mark-to-market adjustments on futures contracts

38

200

(683)

311

Mark-to- market adjustments on TBAs

(7,155)

1,110

2,784

(1,521)

Mark-to-market adjustments on linked transactions

-

2,131

-

1,418

Mark-to-market adjustments on derivative instruments

1,799

915

1,966

332

Mark-to-market adjustments on foreign currency swaps

(652)

(2,057)

(3,944)

(2,072)

Mark-to-market adjustments on foreign currency forwards

(114)

(57)

(452)

81

Non-cash stock-based compensation expense

509

587

1,969

1,654

Total adjustments

21,861

(5,012)

65,761

(21,664)

Core Earnings – Non-GAAP Financial Measure

$

20,009

$

21,124

$

76,362

$

63,605

Basic Core Earnings per Share of Common Stock and Participating Securities - Non-GAAP Financial Measure

$

0.48

$

0.51

$

1.82

$

1.75

Diluted Core Earnings per Share of Common Stock and Participating Securities - Non-GAAP Financial Measure

$

0.48

$

0.51

$

1.82

$

1.75

Basic weighted average common shares and participating securities

41,946,885

41,731,928

41,896,839

36,311,055

Diluted weighted average common shares and participating securities

41,946,885

41,731,928

41,896,839

36,311,055

 

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 prior to January 1, 2015 (Non-GAAP financial measure) for the three and nine months ended September 30, 2015 and September 30, 2014:

(in thousands)

For the three months ended September 30, 2015

For the three months ended September 30, 2014

For the nine months ended September 30, 2015

For the nine months ended September 30, 2014

Coupon interest income

$

49,287

$

58,782

$

161,835

$

152,014

Premium accretion, discount amortization  and  amortization of basis, net

(13,466)

(18,064)

(44,179)

(43,262)

Interest income

$

35,821

$

40,718

$

117,656

$

108,752

Contractual interest income, net of amortization of basis on Agency and Non-Agency Interest-Only Strips, classified as derivatives(1):

Coupon interest income

$

5,436

$

5,723

$

16,700

$

20,288

Amortization of basis (Non-GAAP Financial Measure)

(4,163)

(4,187)

(12,877)

(14,286)

Contractual interest income, net on Foreign currency swaps(1)

190

140

585

141

Contractual interest income, net of premium amortization, discount accretion and amortization of basis on Linked transactions (2):

   Coupon interest

-

1,142

-

5,002

   Premium amortization, discount accretion and amortization of basis, net

-

(220)

-

(2,901)

Subtotal

1,463

2,598

4,408

8,244

Total interest income, including interest income on Agency and Non-Agency Interest-Only Strips, classified as derivatives and Linked transactions - Non-GAAP Financial Measure

$

37,284

$

43,316

$

122,064

$

116,996

(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 and nine months ended September 30, 2015 and September 30, 2014:

For the three months ended September 30, 2015

For the nine months ended September 30, 2015

(dollars in thousands)

Reconciliation

Cost of Funds/Effective Borrowing

Costs

Reconciliation

Cost of Funds/Effective Borrowing

Costs

Interest expense

$

6,981

0.90

%

$

19,960

0.75

%

Net interest paid - interest rate swaps

5,224

0.68

%

10,796

0.41

%

Effective Borrowing Costs

$

12,205

1.58

%

$

30,756

1.16

%

Weighted average repurchase borrowings

3,064,689

3,536,381

 

For the three months ended September 30, 2014, as Revised

For the nine months ended September 30, 2014, as Revised

(dollars in thousands)

Reconciliation

Cost of Funds/Effective Borrowing Costs

Reconciliation

Cost of Funds/Effective Borrowing Costs

Interest expense

$

6,468

0.63

%

$

15,829

0.58

%

Interest expense on linked transactions

139

1.84

%

414

1.75

%

Net interest paid - interest rate swaps

11,028

1.09

%

24,856

0.92

%

Effective Borrowing Costs

$

17,635

1.72

%

$

41,099

1.50

%

Weighted average repurchase borrowings (1)

4,072,179

3,668,932

(1)

    Includes average repurchase borrowings under linked transactions.

 

SOURCE Western Asset Mortgage Capital Corporation



RELATED LINKS

http://www.westernasset.com