WESN ASSEPAR PASADENA, Calif., July 31, 2015 /PRNewswire/ -- Western Asset Mortgage Capital Corporation (NYSE: WMC) today reported its results for the second quarter ended June 30, 2015. For the second quarter, the Company recorded a GAAP net loss of $1.7 million, or $0.05 per basic and diluted share. Core earnings plus drop income for the second quarter was $31.7 million, or $0.76 per basic and diluted share(1,2). The Company also reported a net book value of $13.89 per share as of June 30, 2015(3) and previously declared a $0.64 per share dividend for the quarter.
SECOND QUARTER 2015 HIGHLIGHTS
-- Paid a quarterly cash dividend of $0.64 per share
-- Recorded a GAAP net loss of $1.7 million, or $0.05 per basic and diluted
share
-- Net loss includes $42.8 million of net unrealized loss on mortgage-
backed securities ("MBS"), other securities and whole-loans
("Whole-Loans"); $4.3 million of net realized gain on MBS, other
securities and Whole-Loans; and $13.2 million of net gain on
derivative instruments
-- Generated core earnings plus drop income of $31.7 million, or $0.76 per
basic and diluted share(1,2 )of which $4.8 million, or approximately 15%
was attributable to dollar roll income associated with the Company's
"to-be-announced" or TBA positions(2)
-- $13.89 per share net book value as of June 30, 2015(3 )versus $14.55 as
of March 31, 2015(3 )
-- Economic return for the quarter was approximately flat (-0.1%)(1,4 )
-- 2.79% 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
derivatives(1)
-- $3.9 billion investment portfolio fair value as of June 30, 2015
-- 32% of the total portfolio consists of non-government or Non-Agency
("credit") securities, including Non-Agency RMBS, CMBS, GSE credit
risk sharing securities, Residential and Commercial Whole-Loans and
ABS
-- Constant prepayment rate on its Agency RMBS portfolio of 9.8% for the
quarter
-- 5.9x leverage as of June 30, 2015, which is inclusive of a net neutral
position in TBAs
COMMENTARY ON QUARTER
"During the second quarter, the fixed income market had its largest quarterly selloff since 2013, driven by improving U.S. economic data, a rebound in German government bond yields from near zero levels and concern that the Federal Reserve would begin to increase interest rates earlier than expected," 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 and, in particular, the mortgage markets, our diversification and proactive approach to portfolio management enabled us to deliver a 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 32% of the portfolio at June 30, 2015. We believe that these securities offer attractive relative value and are a good complement to our Agency MBS holdings. Specifically, we increased our holdings in CMBS, GSE credit risk sharing securities and Residential Whole-Loans. 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. While of course there can never be any guarantees we expect that our active management style will continue to serve us well in 2015."
SECOND QUARTER 2015 RESULTS
For the second quarter ended June 30, 2015, the Company recorded a GAAP net loss of $1.7 million, or $0.05 per basic and diluted share. This compares to net income of $14.1 million, or $0.34 per basic and diluted share for the first quarter ended March 31, 2015. During the second quarter of 2015, the Company generated core earnings plus drop income of $31.7 million, or $0.76 per basic and diluted share. This compares to core earnings plus drop income of $34.4 million, or $0.82 per basic and diluted share for the first quarter ended March 31, 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 June 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 $4.31 billion, as compared to $4.32 billion for the quarter ended March 31, 2015.
For the quarter ended June 30, 2015, the Company's weighted average yield on its portfolio was 3.98%, 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 1.19%. The annualized net interest spread on its portfolio was 2.79%, 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 3.97%, an effective cost of funds of 0.81%, and an annualized net interest spread of 3.16% for the quarter ended March 31, 2015.
The actual constant prepayment rate ("CPR") for the Company's Agency RMBS portfolio during the second quarter was 9.8% on an annualized basis, as compared to 7.6% for the first quarter of 2015.
DIVIDEND
On June 18, 2015, the Company declared a regular cash dividend of $0.64 per share for each common share. Since inception in May of 2012, the Company has declared and paid total dividends of $11.50 per share in a combination of cash and stock.
PORTFOLIO COMPOSITION
As of June 30, 2015, the Company owned an aggregate securities and loan portfolio equaling $3.89 billion in market value, comprised of $1.24 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), $1.16 billion of 20-year fixed-rate Agency RMBS, $494.3 million of Non-Agency RMBS, $480.1 million of Agency and Non-Agency CMBS, $143.2 million of Agency MBS Interest-Only and $85.0 million of Agency MBS Inverse Interest-Only strips, $2.4 million of Non-Agency MBS Interest-Only and $89.0 million of Non-Agency MBS Inverse Interest-Only strips, $157.5 million of other securities, and $30.9 million of Residential and Commercial Whole-Loans.
The following table sets forth additional information regarding the Company's portfolio as of June 30, 2015:
Portfolio
---------
($ in millions)
Agency Coupon Principal Amortized Estimated Fair
Balance Cost Value
--- ------- ---- -----
30-year fixed rate 3.5% $210.3 $226.0 $217.7
4.0% $422.9 $458.2 $452.0
4.5% $451.1 $484.3 $495.9
5.5% $60.6 $68.1 $68.4
6.0% $7.1 $8.0 $8.1
20-year fixed rate 3.0% $303.9 $317.6 $309.9
3.5% $265.3 $279.1 $277.4
4.0% $536.5 $566.3 $574.6
Agency RMBS IOs and
IIOs(1) 3.9% N/A $197.1 $211.3
Agency CMBS 4.9% $24.8 $24.8 $25.1
Agency CMBS IOs and
IIOs(2) 1.3% N/A $16.6 $16.8
--- --- ----- -----
Total Agency 3.7% $2,646.1 $2,657.2
Non-Agency
Non-Agency RMBS 3.8% $650.2 $488.2 $494.3
Non-Agency RMBS IOs and
IIOs(3) 6.1% N/A $76.3 $91.4
Non-Agency CMBS 5.3% $509.1 $456.5 $455.0
--- ------ ------ ------
Total Non-Agency 4.9% $1,021.0 $1,040.7
Other Securities 4.9% $132.1 $157.1 $157.5
Residential Whole-Loans 5.3% $21.5 $21.8 $22.2
Commercial Whole-Loans 8.3% $8.8 $8.8 $8.7
---------------------- --- ---- ---- ----
Total Portfolio 4.1% $3,854.8 $3,886.3
--------------- --- -------- --------
(1) Includes $58.4 million of
amortized cost and $61.6
million of fair value for
Agency RMBS IOs and IIOs
accounted for as
derivatives for GAAP.
(2) Includes $13.7 million of
amortized cost and $13.7
million of fair value for
Agency CMBS IOs and IIOs
accounted for as
derivatives for GAAP.
(3) Includes $3.2 million of
amortized cost and $4.0
million of fair value for
Non-Agency RMBS IOs and
IIOs accounted for as
derivatives for GAAP.
PORTFOLIO FINANCING
At June 30, 2015, the Company financed its portfolio with $3.41 billion of borrowings under master repurchase agreements with twenty (20) of its twenty-five (25) approved counterparties, bearing fixed interest rates with maturities between July 2015 and May 2016.
The Company has also entered into approximately $10.1 billion notional amount of pay-fixed interest rate swaps, excluding forward starting swaps of $2.2 billion (approximately 6.7 months forward) that have variable maturities between October 2015 and February 2044, and $7.4 billion notional amount of pay-variable interest rate swaps, excluding forward starting swaps of $1.2 billion (approximately 4.3 months forward) that have variable maturities between December 2016 and February 2045. In addition, the Company has entered into a $105.0 million notional amount of a pay-fixed interest rate swaption with a swap term of one year and an exercise expiration date of June 2016.
The following table sets forth additional information regarding the Company's portfolio financing as of June 30, 2015:
Financing as of June 30 2015
($ in millions)
--------------
Repurchase agreements Balance Weighted Weighted
Average Interest Rate Average Remaining Maturity
(end of period) (days)
--- --------------------- --------------------------
Agency RMBS $2,521.4 0.43% 39
Non-Agency RMBS $407.9 1.64% 41
Agency and Non-Agency CMBS $364.3 1.61% 46
Other Securities and Residential Whole-Loans $112.8 1.90% 118
Total $3,406.4 0.75% 43
The following tables summarize the average pay rate and average maturity for the Company's interest rate swaps as of June 30, 2015:
Fixed Pay Rate Swap Transactions
--------------------------------
($ in millions)
Remaining Term to Maturity Notional Amount Average Fixed Pay Rate Average Maturity
(Years)
-------------------------- --------------- ---------------------- -----------------
1 year or less $639.3 0.5% 0.7
> 1 year to 3 years $2,758.2 0.9% 1.7
> 3 years to 5 years $2,749.4 1.8% 4.6
> 5 years $6,151.5 2.5% 9.9
--------- -------- --- ---
Total Fixed Pay Rate $12,298.4 1.9% 6.4
Variable Pay Rate Swap Transactions
-----------------------------------
($ in millions)
Remaining Term to Maturity Notional Amount Average Variable Pay Average Maturity
Rate (Years)
-------------------------- --------------- --------------------- -----------------
> 1 year to 3 years $930.0 0.3% 1.9
> 3 years to 5 years $3,014.2 0.3% 4.7
> 5 years $4,605.6 0.3% 10.7
--------- -------- --- ----
Total $8,549.8 0.3% 7.6
CONFERENCE CALL
The Company will host a conference call with a live webcast today, July 31, at 11:00 a.m. Eastern Time/8:00 a.m. Pacific Time, to discuss financial results for the second quarter ended June 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.
A telephone replay will be available through August 14, 2015 by dialing 877.344.7529 from the United States, or 412.317.0088 from outside the United States, and entering conference ID 10069746. 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 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 June 30,
2015 book
value per
share
reflects
the $0.64
per share
dividend
declared on
June 18,
2015 and
paid on
July 28,
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.
-Financial Tables to Follow-
Western Asset Mortgage Capital Corporation and Subsidiaries
Consolidated Balance Sheets (Unaudited)
(in thousands-except share and per share data)
June 30, 2015 December 31, 2014
------------- -----------------
Assets:
Cash and cash equivalents $22,190 $47,222
Mortgage-backed securities and other
securities, at fair value ($3,819,932
and $4,362,532 pledged as collateral, at
fair value, respectively) 3,855,416 4,385,723
Residential Whole-Loans, at fair value
($22,184 and $7,220 pledged as
collateral, at fair value, respectively) 22,184 7,220
Commercial Whole-Loans, at fair value 8,743 -
Linked transactions, net, at fair value - 20,627
Investment related receivable 470 162,837
Accrued interest receivable 40,853 27,309
Due from counterparties 231,669 184,757
Derivative assets, at fair value 99,931 73,256
Other assets 1,048 326
------------ ----- ---
Total Assets $4,282,504 $4,909,277
------------ ---------- ----------
Liabilities and Stockholders' Equity:
Liabilities:
Borrowings under repurchase
agreements $3,406,360 $3,875,721
Accrued interest payable 34,840 17,573
Investment related payables 450 166,608
Due to counterparties 8,510 12,180
Derivative liability, at fair value 217,311 180,280
Accounts payable and accrued expenses 2,609 1,794
Payable to related party 3,384 2,705
Dividend payable 26,829 29,204
---------------- ------ ------
Total Liabilities 3,700,293 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 762,410 760,925
Retained earnings (accumulated deficit) (180,618) (138,130)
-------------------------------------- -------- --------
Total Stockholders' Equity 582,211 623,212
-------------------------- ------- -------
Total Liabilities and
Stockholders' Equity $4,282,504 $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 For the three For the six For the six
months ended months ended months ended months ended
June 30, June 30, June 30, June 30,
2015 2014 2015 2014
------------- ------------- ------------ ------------
Net Interest Income:
Interest income $41,029 $44,604 $81,835 $68,034
Interest expense 6,577 5,971 12,979 9,361
----- ----- ------ -----
Net Interest Income 34,452 38,633 68,856 58,673
------ ------ ------ ------
Other Income (Loss):
Interest income on cash balances
and other income (loss), net (611) 24 1,773 12
Realized gain (loss) on sale of
Mortgage-backed securities, other
securities and Whole-Loans, net 4,281 (11,278) 11,749 (7,562)
Other loss on Mortgage-backed
securities and other securities (4,316) (2,999) (8,967) (4,708)
Unrealized gain (loss) on Mortgage-
backed securities, other
securities and Whole-Loans, net (42,849) 114,117 (14,439) 145,208
Gain on linked transactions, net - 688 - 2,907
Gain (loss) on derivative
instruments, net 13,154 (66,677) (35,148) (126,583)
------ ------- ------- --------
Other Income (Loss), net (30,341) 33,875 (45,032) 9,274
------- ------ ------- -----
Operating Expenses:
General and administrative
(includes $781, $479, $1,460 and
$1,067 non-cash stock based
compensation, respectively) 3,125 2,375 5,999 4,450
Management fee - related party 2,679 2,559 5,372 4,364
----- ----- ----- -----
Total Operating Expenses 5,804 4,934 11,371 8,814
----- ----- ------ -----
Net income (loss) available to
Common Stock and participating
securities $(1,693) $67,574 $12,453 $59,133
------- ------- ------- -------
Net income (loss) per Common Share
- Basic $(0.05) $1.68 $0.29 $1.76
------ ----- ----- -----
Net income (loss) per Common Share
- Diluted $(0.05) $1.68 $0.29 $1.76
------ ----- ----- -----
Dividends Declared per Share of
Common Stock $0.64 $0.67 $1.31 $1.34
----- ----- ----- -----
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 six months ended June 30, 2015 and June 30, 2014:
For the three For the three For the six For the six
months ended months ended months ended months ended
June 30, June 30, June 30, June 30,
2015 2014, as 2015 2014, as
(dollars in thousands) Revised Revised
------------- ------------- ------------ ------------
Net Income (loss) - GAAP $(1,693) $67,574 $12,453 $59,133
Adjustments:
MBS, other securities and
Whole-Loans:
Unrealized (gain) loss on
MBS, other securities and
Whole-Loans 42,849 (114,117) 14,439 (145,208)
Other loss on mortgage-
backed and other securities 4,316 2,999 8,967 4,708
Realized (gain) loss on sale
of MBS and other securities (4,281) 11,278 (11,749) 7,562
Derivative Instruments:
Realized loss on termination
of interest rate swaps 8,513 6,788 9,562 6,786
Realized (gain) loss on
settlement of TBAs 971 (20,191) (6,477) (22,561)
Realized loss on currency
forwards 1,492 - 846 -
Realized loss on termination
of futures 459 16,495 459 16,495
Realized loss on sale of
swaptions 4,436 5,908 3,723 5,908
Realized gain on sale/
unlinking of securities
underlying linked
transactions - - - (1,290)
Realized loss on Agency
Interest-Only Strips -
accounted for as
derivatives - 275 2 1,144
Realized gain on foreign
currency transactions (1,093) - (2,798) -
Unrealized loss on foreign
currency transactions 1,751 - 1,060 -
Mark-to- market
adjustments on interest
rate swaps (34,697) 61,835 18,508 107,331
Mark-to- market
adjustments on interest
rate swaptions (730) (4,333) 143 4,991
Mark-to-market adjustments
on futures contracts (795) 229 (721) 111
Mark-to- market
adjustments on TBAs 7,288 (3,099) 9,939 (2,631)
Mark-to-market adjustments
on linked transactions - (487) - (713)
Mark-to-market adjustments
on derivative instruments (2,228) (1,803) 167 (583)
Mark-to-market adjustments
on foreign currency swaps 1,064 (15) (3,292) (15)
Mark-to-market adjustments
on foreign currency
forwards (1,533) 138 (338) 138
Non-cash stock-based
compensation expense 781 479 1,460 1,067
--- --- ----- -----
Total adjustments 28,563 (37,621) 43,900 (16,760)
------ ------- ------ -------
Core Earnings - Non-GAAP
Financial Measure $26,870 $29,953 $56,353 $42,373
------- ------- ------- -------
Basic Core Earnings per
Share of Common Stock and
Participating Securities -
Non-GAAP Financial Measure $0.64 $0.75 $1.35 $1.26
Diluted Core Earnings per
Share of Common Stock and
Participating Securities -
Non-GAAP Financial Measure $0.64 $0.75 $1.35 $1.26
Basic weighted average
common shares and
participating securities 41,938,369 40,130,814 41,871,319 33,555,650
Diluted weighted average
common shares and
participating securities 41,938,369 40,130,814 41,871,319 33,555,650
---------- ---------- ---------- ----------
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 six months ended June 30, 2015 and June 30, 2014:
(in thousands) For the three For the three For the six For the six
months ended months ended months ended months ended
June 30, June 30, June 30, 2015 June 30,
2015 2014 2014
------------- ------------- -------------- ------------
Coupon interest income $54,868 $58,652 $112,548 $93,230
Premium accretion, discount
amortization and amortization of
basis, net (13,839) (14,048) (30,713) (25,196)
------- ------- ------- -------
Interest income $41,029 $44,604 $81,835 $68,034
------- ------- ------- -------
Contractual interest income, net of
amortization of basis on Agency and
Non-Agency Interest-Only Strips,
classified as derivatives(1):
Coupon interest income $5,610 $6,139 $11,264 $14,565
Amortization of basis (Non-GAAP
Financial Measure) (4,236) (4,507) (8,714) (10,099)
Contractual interest income, net on
Foreign currency swaps(1) 179 1 395 1
Contractual interest income, net of
premium amortization, discount
accretion and amortization of basis
on Linked transactions (2):
Coupon interest - 760 - 3,860
Premium amortization, discount
accretion and amortization of basis,
net - (509) - (2,681)
--- ---- --- ------
Subtotal 1,553 1,884 2,945 5,646
----- ----- ----- -----
Total interest income, including
interest income on Agency and Non-
Agency Interest-Only Strips,
classified as derivatives and Linked
transactions - Non-GAAP Financial
Measure $42,582 $46,488 $84,780 $73,680
------- ------- ------- -------
(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 reconciles the Effective Cost of Funds (Non-GAAP financial measure) with interest expense for the three and six months ended June 30, 2015 and June 30, 2014:
For the three months ended June For the six months ended June
30, 2015 30, 2015
------------------------------- ------------------------------
(dollars in thousands) Reconciliation Cost of Reconciliation Cost of
Funds/Effective Funds/Effective
Borrowing Borrowing
Costs Costs
Interest expense $6,577 0.71% $12,979 0.68%
------ ---- ------- ----
Net interest paid -interest rate
swaps 4,159 0.48% 5,572 0.31%
----- ---- ----- ----
Effective Borrowing Costs $10,736 1.19% $18,551 0.99%
------- ---- ------- ----
Weighted average repurchase
borrowings 3,633,691 3,775,263
For the three months ended June For the six months ended June
30, 2014 30, 2014
-------------------------------- ------------------------------
(dollars in thousands) Reconciliation Cost of Reconciliation Cost of
Funds/Effective Funds/Effective
Borrowing Costs Borrowing Costs
Interest expense $5,971 0.58% $9,361 0.56%
Interest expense on linked
transactions 50 1.57% 275 1.71%
Net interest paid -interest rate
swaps 6,083 0.59% 13,936 0.83%
----- ---- ------ ----
Effective Borrowing Costs $12,104 1.17% $23,572 1.40%
------- ---- ------- ----
Weighted average repurchase
borrowings (1) 4,134,551 3,393,434
(1) Includes average repurchase
borrowings under linked
transactions.
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SOURCE Western Asset Mortgage Capital Corporation
