# EDGAR Filing Document

**Accession Number:** 0001465885
**File Stem:** 0001628280-23-006104
**Filing Date:** 2023-3
**Character Count:** 94518
**Document Hash:** ee28f0bb2808910c53d46bac99f5aa03
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001628280-23-006104.hdr.sgml**: 20230302

**ACCESSION NUMBER**: 0001628280-23-006104

**CONFORMED SUBMISSION TYPE**: 8-K

**PUBLIC DOCUMENT COUNT**: 50

**CONFORMED PERIOD OF REPORT**: 20230302

**ITEM INFORMATION**: Results of Operations and Financial Condition

**ITEM INFORMATION**: Regulation FD Disclosure

**ITEM INFORMATION**: Financial Statements and Exhibits

**FILED AS OF DATE**: 20230302

**DATE AS OF CHANGE**: 20230302

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Western Asset Mortgage Capital Corp
- **CENTRAL INDEX KEY:** 0001465885
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]
- **IRS NUMBER:** 270298092
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 8-K
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-35543
- **FILM NUMBER:** 23700285

**BUSINESS ADDRESS:**
- **STREET 1:** 385 EAST COLORADO BOULEVARD
- **CITY:** PASADENA
- **STATE:** CA
- **ZIP:** 91101
- **BUSINESS PHONE:** 626-844-9400

**MAIL ADDRESS:**
- **STREET 1:** 385 EAST COLORADO BOULEVARD
- **CITY:** PASADENA
- **STATE:** CA
- **ZIP:** 91101

?xml version="1.0" ? wmc-20230302

**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):

March 2, 2023

![wmc-20230302_g1.gif](wmc-20230302_g1.gif)

**Western Asset Mortgage Capital Corporation**

(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)

Delaware

(STATE OF INCORPORATION)

001-35543 27-0298092 <br> (COMMISSION FILE NUMBER) (IRS EMPLOYER ID. NUMBER)

---

| | |
|:---|:---|
| **385 East Colorado Boulevard,** | 91101 |
| Pasadena, CA | (ZIP CODE) |
| (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) | |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (626) 844-9400

(REGISTRANT'S 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))

Indicate by check mark whether the registrant is an emerging growth company as defined in as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Securities registered pursuant to Section 12(b) of the Act:

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| | | |
|:---|:---|:---|
| **Title of Each Class** | **Trading Symbol(s)** | **Name of Each Exchange on Which Registered** |
| Common Stock, $0.01 par value | WMC | New York Stock Exchange |

---

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**Item 2.02.**&nbsp;&nbsp;&nbsp;&nbsp; **Results of Operations and Financial Condition**

On March 2, 2023, Western Asset Mortgage Capital Corporation (the "Company") issued a press release announcing its financial results for the fiscal quarter and year ended December 31, 2022. The text of the press release is furnished as exhibit 99.1 to this Form 8-K.

**Item 7.01.**&nbsp;&nbsp;&nbsp;&nbsp; **Regulation FD Disclosure**

On March 3, 2023, the Company will be 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.**&nbsp;&nbsp;&nbsp;&nbsp; **Financial Statements and Exhibits**

(d) Exhibits

---

| | |
|:---|:---|
| **Exhibit No.** | **Description** |
| 99.1 | <u>[Press Release, dated March 2, 2023, issued by Western Asset Mortgage Capital Corporation](wmcq4fy22ex991.htm)</u> |
| 99.2 | <u>[Presentation, dated March 2, 2023, by Western Asset Mortgage Capital Corporation](wmc4qfy22ex99211.htm)</u> |

---

------

**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.

---

| | | |
|:---|:---|:---|
| WESTERN ASSET MORTGAGE CAPITAL CORPORATION | WESTERN ASSET MORTGAGE CAPITAL CORPORATION | WESTERN ASSET MORTGAGE CAPITAL CORPORATION |
| By: | /s/ ROBERT W. LEHMAN | /s/ ROBERT W. LEHMAN |
|  | Name: | Robert W. Lehman |
|  | Title: | Chief Financial Officer |

---

Date: March 2, 2023

## Exhibit 99.1

**Exhibit 99.1**

![logob30.gif](logob30.gif)

**WESTERN ASSET MORTGAGE CAPITAL CORPORATION**

**ANNOUNCES FOURTH QUARTER AND FULL YEAR 2022 RESULTS**

*Conference Call and Webcast Scheduled for Tomorrow, Friday, March 3, 2023 at*

*11:00 a.m. Eastern Time/8:00 a.m. Pacific Time*

**Pasadena, CA, March 2, 2023** – Western Asset Mortgage Capital Corporation (the "Company" or "WMC") (NYSE: WMC) today reported its results for the fourth quarter and the year ended December 31, 2022.

**FULL YEAR HIGHLIGHTS**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• The Company continues to execute on its business strategy to focus on residential real estate investments, completing securitizations of $834.2 million of Residential Whole Loans in the first and third quarters of 2022 (Arroyo 2022-1 and Arroyo 2022-2), which allowed the Company to secure $750.8 million of long-term fixed rate financing.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**•** The Company's core assets have performed well in 2022, with $216.1 million received from the repayment or paydown of Residential Whole Loans.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**•** In addition, the Company took a series of actions in 2022 to deleverage, build liquidity and strengthen its balance sheet, including the sale of $56.4 million of Non-Agency RMBS and other securities and the repurchase of its outstanding 2022 Notes in full at maturity in October for $26.0 million.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Furthermore, on February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for $8.8 million, which was equal to the fair value of the loan at December 31, 2022.

**FOURTH QUARTER FINANCIAL 2022 RESULTS**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ GAAP book value per share was $15.70 at December 31, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Economic book value<sup>1</sup> per share was $17.23 at December 31, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ GAAP Net loss attributable to common shareholders and participating securities of $828 thousand, or $0.14 per share.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Distributable Earnings<sup>1</sup> of $2.0 million, or $0.33 per basic and diluted share.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Economic return<sup>1,2</sup> on book value was a negative 1.0% for the quarter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Economic return<sup>1,2</sup> on economic book value was negative 8.4% for the quarter.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ 1.24% annualized net interest margin<sup>1,3,4</sup> on our investment portfolio.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ 2.9x recourse leverage as of December 31, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ On December 21, 2022, the Company declared a fourth quarter common dividend of $0.40 per share.

**FULL YEAR 2022 FINANCIAL RESULTS**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ GAAP Net loss attributable to common shareholders and participating securities of $89.1 million, or $14.77 per share.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Distributable earnings<sup>1</sup> of $7.3 million, or $1.20 per basic and diluted share.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Economic return on book value<sup>1,2</sup> was negative 46% for the year.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ 1.16% annualized net interest margin<sup>1,3,4</sup> on our investment portfolio.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Declared quarterly common dividends for a total annual common dividend of $1.60 per share, adjusted for the July 2022 1-for-10 reverse stock split.

(1)&nbsp;&nbsp;&nbsp;&nbsp;Non-GAAP measure. Refer to pages 16 through 20 for reconciliations.

(2)&nbsp;&nbsp;&nbsp;&nbsp;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.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Includes interest-only securities accounted for as derivatives and the cost of interest rate swaps.

(4)&nbsp;&nbsp;&nbsp;&nbsp;Excludes the consolidation of VIE trusts required under GAAP.

**MANAGEMENT COMMENTARY**

"In light of challenging market conditions, we continued to focus during the fourth quarter on strengthening our balance sheet and increasing our liquidity," said Bonnie Wongtrakool, Chief Executive Officer of the Company. "We received approximately $40.0 million from the sale, repayment or paydowns of investments and used these proceeds to further reduce recourse debt."

------

**"**Our fourth quarter and full-year financial results reflect the volatility in interest rates and asset prices as well as higher funding costs. For the fourth quarter, our GAAP book value per share declined 3.2% from the prior quarter, while economic book value per share declined 10.5%. We generated lower net interest income during the quarter on a smaller average portfolio and higher interest costs, lower prepayments from our residential portfolio, and stable operating expenses. Consequently, our distributable earnings of $2.0 million, or $0.33 per share, in the fourth quarter, were down $300 thousand from the third quarter."

"We continue to move forward with our strategic review process, and to analyze alternatives that may involve a sale, merger, or other transaction involving the Company. The current market environment for mortgage REITs remains challenging, given the rapid rise in interest rates and the increased potential for an economic retrenchment, which has added complexity to our exploration of strategic partners."

Greg Handler, Chief Investment Officer of the Company, added, "We continue to focus on maximizing the value of our portfolio and increasing our total liquidity. During the quarter, we received payoffs in our residential whole loan portfolio and sold down some of our non-agency residential securities. While spread widening put further pressure on the value of some of our assets, this was more than offset by spread tightening on our residential whole loans. We remain focused on monetizing our commercial holdings in a disciplined manner in order to continue strengthening our balance sheet and improving our liquidity."

------

**2022 QUARTERLY OPERATING RESULTS**

The below table reflects a summary of our operating results:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Three Months Ended** | **For the Three Months Ended** | **For the Three Months Ended** | **For the Three Months Ended** |
| **GAAP Results ($'s in thousands)** | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** |
| Net interest income | $4771 | $5699 | $6235 | $4283 |
| Other income (loss): |  |  |  |  |
| Realized gain (loss), net | (3118) | (35) | (45661) | 12145 |
| Unrealized gain (loss), net | 2427 | (43582) | 16185 | (38903) |
| Gain (loss) on derivative instruments, net | (381) | 4882 | 4781 | 6936 |
| Other, net | 105 | (61) | (46) | (145) |
| Other Income (loss) | (967) | (38796) | (24741) | (19967) |
| Total expenses | 4743 | 6645 | 3927 | 6497 |
| Income (loss) before income taxes | (938) | (39742) | (22433) | (22181) |
| Income tax provision (benefit) | (105) | 266 | (46) | 56 |
| Net income (loss) | (833) | (40008) | (22387) | (22237) |
| Net income attributable to non-controlling interest | (5) | 2 |  | 3616 |
| Net income (loss) attributable to common stockholders and participating securities | $(828) | $(40010) | $(22387) | $(25853) |
| Net income (loss) per common share – basic/diluted | $(0.14) | $(6.63) | $(3.71) | $(4.30) |
| **Non-GAAP Results** |  |  |  |  |
| Distributable earnings<sup>(1)</sup> | $2018 | $2250 | $2650 | $379 |
| Distributable earnings per Common Share – Basic/Diluted<sup>(2)</sup> | $0.33 | $0.37 | $0.44 | $0.06 |
| Weighted average yield<sup>(3)(4)</sup> | 5.02% | 4.70% | 4.30% | 3.74% |
| Effective cost of funds<sup>(4)</sup> | 4.46% | 3.90% | 3.60% | 3.41% |
| Annualized net interest margin<sup>(3)(4)</sup> | 1.24% | 1.26% | 1.25% | 0.85% |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;For a reconciliation of GAAP Income to Distributable Earnings, refer to page 16 of this press release.

(2)&nbsp;&nbsp;&nbsp;&nbsp;Presentation adjusted for effect of 1-for-10 reverse stock split subsequent to 6/30/2022.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Includes interest-only securities accounted for as derivatives.

(4)&nbsp;&nbsp;&nbsp;&nbsp;Excludes the consolidation of VIE trusts required under GAAP.

**INVESTMENT PORTFOLIO**

***Investment Activity***

As of December 31, 2022, the Company owned an aggregate investment portfolio with a fair market value totaling $2.4 billion. The following table presents information regarding the Company's investment portfolio as of December 31, 2022 (dollars in thousands):

------

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Investment Type** | **Balance at December 31, 2021** | **Purchases** | **Loan Modification/Capitalized Interest** | **Principal Payments and Basis Recovery** | **Proceeds from<br>Sales** | **Transfers to REO** | **Realized Gain/(Loss)** | **Unrealized Gain/(loss)** | **Premium and discount amortization, net** | **Balance at December 31, 2022** |
| Agency RMBS and Agency RMBS IOs | $1172 | $— | N/A | $(103) | $— | N/A | $— | $(302) | $— | $767 |
| Non-Agency RMBS | 27769 | 39952 | N/A | (1011) | (31790) | N/A | (2396) | (9197) | 359 | 23686 |
| Non-Agency CMBS | 105358 |  | N/A | (6554) | (10152) | N/A | (43935) | 40104 | 615 | 85436 |
| Other securities<sup>(1)</sup> | 51648 |  | N/A |  | (14485) | N/A | (2252) | (7923) | 274 | 27262 |
| Total MBS and other securities | 185947 | 39952 | N/A | (7668) | (56427) | N/A | (48583) | 22682 | 1248 | 137151 |
| Residential Whole Loans | 1023502 | 411919 | 96 | (216135) | (11736) | (2256) | (101) | (108207) | (5937) | 1091145 |
| Residential Bridge Loans | 5428 |  |  | (2670) |  |  |  | 91 |  | 2849 |
| Commercial Loans | 130572 |  |  | (20593) |  |  |  | (19977) |  | 90002 |
| Securitized commercial loans | 1355808 |  |  |  |  |  |  | (297343) | 26638 | 1085103 |
| REO | $43607 | $— | $— | $— | $(55573) | $2255 | $11966 | $— | $— | $2255 |
| Total Investments | $2744864 | $451871 | $96 | $(247066) | $(123736) | $(1) | $(36718) | $(402754) | $21949 | $2408505 |

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(1)&nbsp;&nbsp;&nbsp;&nbsp;At December 31, 2022 other securities include GSE Credit Risk Transfer securities with an estimated fair value of $22.3 million and student loans ABS with a fair value of $4.9 million.

***Portfolio Characteristics***

***Residential Real Estate Investments***

The Company's focus on residential real estate related investments includes, but is not limited to, non-qualified residential whole loans ("Non-QM Loans"), non-agency RMBS, and other related assets. The Company believes this focus allows it to address attractive market opportunities.

**Residential Whole Loans**

The Company's Residential Whole Loans generally have low loan-to-value ratios ("LTV's") and are comprised of 2,938 Non-QM adjustable rate mortgages and five investor fixed rate mortgages. The following table presents certain information about our Residential Whole-Loans investment portfolio as of December 31, 2022 (dollars in thousands):

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** |
|<br>**Current Coupon Rate** |<br>**Number of Loans** |<br>**Principal<br>Balance** | **Original LTV** | **Original**<br>**FICO Score**<sup>(1)</sup> | **Expected<br>Life (years)** | **Contractual<br>Maturity<br>(years)** | **Coupon<br>Rate** |
| 2.01% - 3.00% | 39 | $22277 | 66.3% | 758 | 8.9 | 28.3 | 2.9% |
| 3.01% - 4.00% | 402 | 214402 | 66.3% | 759 | 7.3 | 28.5 | 3.7% |
| 4.01% - 5.00% | 1337 | 453811 | 64.1% | 749 | 5.5 | 26.0 | 4.6% |
| 5.01% - 6.00% | 901 | 363197 | 65.6% | 742 | 4.7 | 26.7 | 5.4% |
| 6.01% - 7.00% | 249 | 105933 | 69.9% | 742 | 3.6 | 28.4 | 6.4% |
| 7.01% - 8.00% | 15 | 5681 | 75.2% | 730 | 3.0 | 29.2 | 7.4% |
| Total | 2943 | $1165301 | 65.6% | 748 | 5.5 | 27.0 | 4.8% |

---

(1)The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. We have excluded these loans from the weighted average.

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The following table presents the aging of the Residential Whole Loans as of December 31, 2022 (dollars in thousands):

---

| | | | |
|:---|:---|:---|:---|
| | **Residential Whole Loans** | **Residential Whole Loans** | **Residential Whole Loans** |
| | **No of Loans** | **Principal** | **Fair Value** |
| Current | 2910 | $1147412 | $1074409 |
| 1-30 days | 14 | 6983 | 6678 |
| 31-60 days |  |  |  |
| 61-90 days | 6 | 2165 | 2032 |
| 90+ days | 13 | 8741 | 8026 |
| Total | 2943 | $1165301 | $1091145 |

---

**Non-Agency RMBS**

The following table presents the fair value and weighted average purchase price for each of our Non-agency RMBS categories, including IOs accounted for as derivatives, together with certain of their respective underlying loan collateral attributes and current performance metrics as of December 31, 2022 (fair value dollars in thousands):

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** | **Weighted Average** |
|<br>**Category** |<br>**Fair Value** | **Purchase<br>Price** | **Life (Years)** | **Original LTV** | **Original<br>FICO** | **60+ Day<br>Delinquent** | **6-Month<br>CPR** |
| Prime | $12000 | $79.78 | 11.9 | 67.8% | 748 | 1.2% | 17.9% |
| Alt-A | 11687 | 50.30 | 17.3 | 81.3% | 661 | 17.5% | 8.0% |
| Total | $23687 | $65.24 | 14.5 | 74.5% | 705 | 9.2% | 13.0% |

---

***Commercial Real Estate Investments***

**Non-Agency CMBS**

The following table presents certain characteristics of our Non-Agency CMBS portfolio as of December 31, 2022 (dollars in thousands):

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | **Weighted Average** | **Weighted Average** |
|<br>**Type** |<br>**Vintage** | **Principal**<br>**Balance** |<br>**Fair Value** | **Life (Years)** | **Original LTV** |
| Conduit: |  |  |  |  |  |
|  | 2006-2009 | $69 | $67 | 0.6 | 88.7% |
|  | 2010-2020 | 14982 | 10414 | 6.0 | 62.3% |
|  |  | 15051 | 10481 | 6.0 | 62.5% |
| Single Asset: |  |  |  |  |  |
|  | 2010-2020 | 94215 | 74954 | 1.1 | 65.3% |
| Total |  | $109266 | $85435 | 1.7 | 65.0% |

---

**Commercial Loans**

The following table presents our commercial loan investments as of December 31, 2022 (dollars in thousands):

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---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Loan** | **Loan Type** | **Principal Balance** | **Fair Value** | **Original LTV** | **Interest Rate** | **Maturity Date** | **Extension Option** | **Collateral** | **Geographic Location** |
| CRE 3 | Interest-Only Mezzanine loan | $90000 | $8777 | 58% | 1-Month LIBOR plus 9.25% | 6/29/2021 | None<sup>(1)</sup> | Entertainment and Retail | NJ |
| CRE 4<sup>(2)</sup> | Interest-Only First Mortgage | 22204 | 22050 | 63% | 1-Month LIBOR plus 3.02% | 8/6/2025<sup>(2)</sup> |  | Retail | CT |
| CRE 5 | Interest-Only First Mortgage | 24535 | 24433 | 62% | 1-Month LIBOR plus 3.75% | 11/6/2023 <sup>(3)</sup> |  | Hotel | NY |
| CRE 6 | Interest-Only First Mortgage | 13207 | 13151 | 62% | 1-Month LIBOR plus 3.75% | 11/6/2023 <sup>(3)</sup> |  | Hotel | CA |
| CRE 7 | Interest-Only First Mortgage | 7259 | 7229 | 62% | 1-Month LIBOR plus 3.75% | 11/6/2023 <sup>(3)</sup> |  | Hotel | IL, FL |
| SBC 3<sup>(4)</sup> | Interest-Only First Mortgage | 14362 | 14362 | 49% | One-Month LIBOR plus 4.35% | 1/6/2023 |  | Nursing Facilities | CT |
|  |  | $**171567** | $**90002** |  |  |  |  |  |  |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;At December 31, 2022, CRE 3 was in default and was not eligible for extension. On February 3, 2023, it was sold to an unaffiliated third party for its fair value as of December 31, 2022.

(2)&nbsp;&nbsp;&nbsp;&nbsp;CRE 4 was granted a 3 year extension through August 6, 2025, with a principal pay down of $16.2 million.

(3) CRE 5, 6, and 7 were each granted a one-year extension through November 6, 2023.

(4)&nbsp;&nbsp;&nbsp;&nbsp;During July 2022, the SBC 3 loan was granted a six month extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee. Subsequently, in January 2023, the SBC 3 loan was partially paid down by $750 thousand and was granted another extension through August 4, 2023 with a 50 bps extension fee.

***Commercial Loan Payoffs***

On September 16, 2022, CRE 8, which had an outstanding principal balance of $4.4 million collateralized by assisted living facilities, was paid off in full.

**CRE 3 Loan**

As of December 31, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million was non-performing and past its maturity date of June 29, 2021. On October 25, 2022, the senior mezzanine lender notified the Company that it had consummated a strict foreclosure under the Uniform Commercial Code of its equity interest in the mortgage borrower, which had the effect of foreclosing out the Company's subordinate pledge of equity in the retail facility that served as collateral for the junior mezzanine loan. As a result, as of December 31, 2022, the Company's junior mezzanine loan remained outstanding but without the benefit of the primary collateral supporting the loan.

As a result of the foreclosure noted above, the Company marked down the value of its investment in the CRE 3 junior mezzanine loan from $26.9 million at June 30, 2022 to $8.8 million at September 30, 2022. On February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for its fair value at December 31, 2022 of $8.8 million.

***Commercial Real Estate Owned***

In February 2022, the Company along with other Hotel REO investors, sold the unencumbered hotel property which was foreclosed on in the third quarter of 2021 for $55.9 million. The Company and the other investors fully recovered their aggregate initial investment of $42.0 million. The Company and other investors recognized a gain on the sale of approximately $12.2 million.

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**PORTFOLIO FINANCING AND HEDGING**

**Financing** 

The following table sets forth additional information regarding the Company's portfolio financing arrangements as of December 31, 2022 (dollars in thousands):

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| | | | |
|:---|:---|:---|:---|
| **Securities Pledged** | **Repurchase<br>Agreement<br>Borrowings** | **Weighted Average<br>Interest Rate on<br>Borrowings<br>Outstanding at end<br>of period** | **Weighted Average<br>Remaining Maturity<br>(days)** |
| Short Term Borrowings: |  |  |  |
| Agency RMBS | $293 | 4.78% | 32 |
| Non-Agency RMBS<sup>(1)</sup> | 48237 | 7.50% | 26 |
| Residential Whole Loans<sup>(2)</sup> |  | —% | 0 |
| Residential Bridge Loans<sup>(2)</sup> |  | —% | 0 |
| Commercial Loans<sup>(2)</sup> |  | —% | 0 |
| Other securities | 1776 | 7.09% | 17 |
| Total short-term borrowings | 50306 | 7.47% | 26 |
| Long Term Borrowings: |  |  |  |
| *<u>Non-Agency CMBS and Non-Agency RMBS Facility</u>* |  |  |  |
| Non-Agency CMBS<sup>(1)</sup> | 55154 | 6.30% | 122 |
| Non-Agency RMBS | 19129 | 6.30% | 122 |
| Other Securities | 16863 | 6.30% | 122 |
| Subtotal | 91146 | 6.30% | 122 |
| *<u>Residential Whole Loan Facility</u>* |  |  |  |
| Residential Whole Loans<sup>(2)</sup>  | 3633 | 6.66% | 298 |
| *<u>Commercial Whole Loan Facility</u>* |  |  |  |
| Commercial Loans | 48032 | 6.13% | 307 |
| Total long-term borrowings | 142811 | 6.25% | 189 |
| Repurchase agreements borrowings | $193117 | 6.57% | 146 |

---

(1)Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation.

(2)Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation.

***Residential Whole Loan Facility***

The facility was recently extended on November 9, 2022 and matures on October 25, 2023. It bears interest at a rate of SOFR plus 2.25%, with a SOFR floor of 0.25%. We finance our Non-QM Residential Whole Loans held in RMI 2015 Trust under this facility. As of December 31, 2022, the Company has outstanding borrowings of $3.6 million. The borrowings are secured by $3.2 million in Non-QM loans and one REO property with a carrying value of $2.3 million as of December 31, 2022.

***Commercial Whole Loan Facility***

The facility was recently extended on November 9, 2022 and matures on November 3, 2023. It bears interest at a rate of SOFR plus 2.25%. As of December 31, 2022, the outstanding balance under this facility was $48.0 million. The borrowing is secured by the performing commercial loans that are held in CRE LLC, with an estimated fair market value of $66.9 million as of December 31, 2022.

***Non-Agency CMBS and Non-Agency RMBS Facility***

The facility was extended on May 2, 2022 and matures on May 2, 2023. It bears interest at a rate of SOFR plus 2.00%. As of December 31, 2022, the outstanding balance under this facility was $91.1 million. The borrowing is secured by investments with an estimated fair market value of $129.9 million as of December 31, 2022.

------

***Convertible Senior Unsecured Notes***

**2022 Notes**

As of December 31, 2022, the Company had repaid in full the aggregate principal amount outstanding of the 2022 Notes upon their maturity on October 1, 2022.

**2024 Notes** 

As of December 31, 2022, the Company had $86.3 million aggregate principal amount outstanding of the 2024 Notes. The 2024 Notes mature on September 15, 2024, unless earlier converted, redeemed by the holders pursuant to their terms or repurchased by us, and are not redeemable by us except during the final three months prior to maturity.

***Residential Mortgage-Backed Notes*** 

As of December 31, 2022, the Company had completed four Residential Whole Loan securitizations. The mortgage-backed notes are non-recourse to the Company and effectively financed $1.1 billion of Residential Whole Loans as of December 31, 2022.

**Arroyo 2019-2**

The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2019-2 securitization trust at December 31, 2022 (dollars in thousands):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Classes** | **Principal Balance** | **Coupon** | **Carrying Value** | **Contractual Maturity** |
| Offered Notes: |  |  |  |  |
| Class A-1 | $168131 | 3.3% | $168131 | 4/25/2049 |
| Class A-2 | 9017 | 3.5% | 9017 | 4/25/2049 |
| Class A-3 | 14286 | 3.8% | 14286 | 4/25/2049 |
| Class M-1 | 25055 | 4.8% | 25055 | 4/25/2049 |
| Subtotal | $216489 |  | $216489 |  |
| Less: Unamortized Deferred Financing Costs | N/A |  | 2604 |  |
| **Total** | $216489 |  | $213885 |  |

---

The Company retained the subordinate bonds, and these bonds had a fair market value of $27.0 million on December 31, 2022. The retained Arroyo 2019-2 subordinate bonds are eliminated in consolidation.

**Arroyo 2020-1**

The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2020-1 securitization trust at December 31, 2022 (dollars in thousands):

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Classes** | **Principal Balance** | **Coupon** | **Carrying Value** | **Contractual Maturity** |
| Offered Notes: |  |  |  |  |
| Class A-1A | $74425 | 1.7% | $74425 | 3/25/2055 |
| Class A-1B | 8831 | 2.1% | 8831 | 3/25/2055 |
| Class A-2 | 13518 | 2.9% | 13518 | 3/25/2055 |
| Class A-3 | 17963 | 3.3% | 17963 | 3/25/2055 |
| Class M-1 | 11739 | 4.3% | 11739 | 3/25/2055 |
| Subtotal | 126476 |  | 126476 |  |
| Less: Unamortized Deferred Financing Costs | N/A |  | 1542 |  |
| **Total** | $126476 |  | $124934 |  |

---

The Company retained the subordinate bonds and these bonds had a fair market value of $19.3 million at December 31, 2022. The retained Arroyo 2020-1 subordinate bonds are eliminated in consolidation.

**Arroyo 2022-1**

The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2022-1 securitization trust at December 31, 2022 (dollars in thousands):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Classes** | **Principal Balance** | **Coupon** | **Carrying Value** | **Contractual Maturity** |
| Offered Notes: |  |  |  |  |
| Class A-1A | $212307 | 2.5% | $194438 | 12/25/2056 |
| Class A-1B | 82942 | 3.3% | 73259 | 12/25/2056 |
| Class A-2 | 21168 | 3.6% | 17054 | 12/25/2056 |
| Class A-3 | 28079 | 3.7% | 21308 | 12/25/2056 |
| Class M-1 | 17928 | 3.7% | 12160 | 12/25/2056 |
| Subtotal | 362424 |  | 318219 |  |
| Less: Unamortized Deferred Financing Costs | N/A |  |  |  |
| **Total** | $362424 |  | $318219 |  |

---

The Company retained the subordinate bonds and these bonds had a fair market value of $33.1 million at December 31, 2022. The retained Arroyo 2022-1 subordinate bonds are eliminated in consolidation.

**Arroyo 2022-2**

The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2022-2 securitization trust at December 31, 2022 (dollars in thousands):

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Classes** | **Principal Balance** | **Coupon** | **Carrying Value** | **Contractual Maturity** |
| Offered Notes: |  |  |  |  |
| Class A-1 | $267533 | 5.0% | $260217 | 7/25/2057 |
| Class A-2 | 22773 | 5.0% | 21983 | 7/25/2057 |
| Class A-3 | 27749 | 5.0% | 26619 | 7/25/2057 |
| Class M-1 | 17694 | 5.0% | 15216 | 7/25/2057 |
| Subtotal | 335749 |  | 324035 |  |
| Less: Unamortized Deferred Financing Costs | N/A |  |  |  |
| **Total** | $335749 |  | $324035 |  |

---

The Company retained the subordinate bonds and these bonds had a fair market value of $40.2 million at December 31, 2022. The retained Arroyo 2022-2 subordinate bonds are eliminated in consolidation.

***Commercial Mortgage-Backed Notes***

**CSMC 2014 USA**

The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2022 (dollars in thousands), which is non-recourse to the Company:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Classes** | **Principal Balance** | **Coupon** | **Fair Value** | **Contractual Maturity** |
| Class A-1 | $120391 | 3.3% | $108591 | 9/11/2025 |
| Class A-2 | 531700 | 4.0% | 477678 | 9/11/2025 |
| Class B | 136400 | 4.2% | 115782 | 9/11/2025 |
| Class C | 94500 | 4.3% | 76304 | 9/11/2025 |
| Class D | 153950 | 4.4% | 113229 | 9/11/2025 |
| Class E | 180150 | 4.4% | 99858 | 9/11/2025 |
| Class F | 153600 | 4.4% | 77242 | 9/11/2025 |
| Class X-1<sup>(1)</sup> | n/a | 0.7% | 7430 | 9/11/2025 |
| Class X-2<sup>(1)</sup> | n/a | 0.2% | 1497 | 9/11/2025 |
|  | $1370691 |  | $1077611 |  |

---

(1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2022, respectively.

The above table does not reflect the portion of the class F bond held by the Company because the bond is eliminated in consolidation. The Company's ownership interest in the F bonds represents a controlling financial interest, which resulted in the consolidation of the trust during the quarter. The bond had a fair market value of $7.5 million on December 31, 2022. The securitized debt of the CSMC USA can only be settled with the commercial loan with an outstanding principal balance of approximately $1.4 billion at December 31, 2022, that serves as collateral and is non-recourse to the Company.

**Derivatives Activity** 

The following table summarizes the Company's other derivative instruments at December 31, 2022 (dollars in thousands):

------

---

| | | |
|:---|:---|:---|
| **Other Derivative Instruments** | **Notional Amount** | **Fair Value** |
| Interest rate swaps, asset | $60000 | $1 |
| Other derivative instruments, assets |  | 1 |
| Interest rate swaps, liability | 98000 | (61) |
| Total other derivative instruments, liabilities |  | (61) |
| **Total other derivative instruments, net** |  | $**(60)** |

---

**DIVIDEND**

For the year ended December 31, 2022, the Company declared quarterly dividends for a total annual dividend of $1.60, generating a dividend yield of approximately 17.6% based on the closing price of the Company's common stock of $9.11 at December 31, 2022.

**CONFERENCE CALL**

The Company will host a conference call with a live webcast tomorrow, March 3, 2023, 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, 2022.

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 <u>www.westernassetmcc.com</u>.

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 https://dpregister.com/sreg/10175707/f5ed520283 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 tomorrow.

A telephone replay will be available through March 10, 2023 by dialing (877) 344-7529 from the United States, or (412) 317-0088 from outside the United States, and entering conference ID 1314258. A webcast replay will be available for 90 days.

**ABOUT WESTERN ASSET MORTGAGE CAPITAL CORPORATION**

Western Asset Mortgage Capital Corporation is a real estate investment trust that invests in, acquires and manages a diverse portfolio of assets, with a focus on residential real estate related investments, including non-qualified mortgage loans, non-agency RMBS and other related investments. The Company's investment strategy may change, subject to the Company's stated investment guidelines, and is based on its manager Western Asset Management Company, LLC'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, LLC, an investment advisor registered with the Securities and Exchange Commission and a wholly-owned subsidiary of Franklin Resources, Inc. Please visit the Company's website at <u>www.westernassetmcc.com.</u>

**FORWARD-LOOKING STATEMENTS**

*This press release contains statements that constitute "forward-looking statements." For these statements, the Company claims the protections of the safe harbor for forward-looking statements contained in such sections. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond the Company's control.* 

*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; and legislative and regulatory changes that could adversely affect the business of the Company.* 

------

*Other factors are described in Risk Factors section of the Company's annual report on Form 10-K for the period ended December 31, 2022 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 Distributable Earnings, Distributable Earnings per share, Economic return on book/economic value, 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 margin, 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**

**(dollars in thousands—except share and per share data)**

---

| | | |
|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2021** |
| Assets: |  |  |
| &nbsp;&nbsp;&nbsp;Cash and cash equivalents | $18011 | $40193 |
| &nbsp;&nbsp;&nbsp;Restricted cash | 248 | 260 |
| &nbsp;&nbsp;&nbsp;Agency mortgage-backed securities, at fair value ($249 and $1,172 pledged as collateral, at fair value, respectively) | 767 | 1172 |
| &nbsp;&nbsp;&nbsp;Non-Agency mortgage-backed securities, at fair value ($100,115 and $123,947 pledged as collateral, at fair value, respectively) | 109122 | 133127 |
| &nbsp;&nbsp;&nbsp;Other securities, at fair value ($27,262 and $51,648 pledged as collateral, at fair value, respectively) | 27262 | 51648 |
| &nbsp;&nbsp;&nbsp;Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) | 1091145 | 1023502 |
| &nbsp;&nbsp;&nbsp;Residential Bridge Loans (None and $5,207 pledged as collateral, respectively) | 2849 | 5428 |
| &nbsp;&nbsp;&nbsp;Securitized commercial loan, at fair value | 1085103 | 1355808 |
| &nbsp;&nbsp;&nbsp;Commercial Loans, at fair value ($66,864 and $101,459 pledged as collateral, at fair value, respectively) | 90002 | 130572 |
| &nbsp;&nbsp;&nbsp;Investment related receivable | 5960 | 22133 |
| &nbsp;&nbsp;&nbsp;Interest receivable | 11330 | 11823 |
| &nbsp;&nbsp;&nbsp;Due from counterparties | 6574 | 4565 |
| &nbsp;&nbsp;&nbsp;Derivative assets, at fair value | 1 | 105 |
| &nbsp;&nbsp;&nbsp;Other assets | 4860 | 45364 |
| Total Assets <sup>(1)</sup> | $2453234 | $2825700 |
| Liabilities and Stockholders' Equity: |  |  |
| Liabilities: |  |  |
| &nbsp;&nbsp;&nbsp;Repurchase agreements, net | $193117 | $617189 |
| &nbsp;&nbsp;&nbsp;Convertible senior unsecured notes, net | 83522 | 119168 |
| &nbsp;&nbsp;&nbsp;Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively) | 2058684 | 1863488 |
| &nbsp;&nbsp;&nbsp;Interest payable (includes $655 and $699 on securitized debt held by affiliates, respectively) | 12794 | 10272 |
| &nbsp;&nbsp;&nbsp;Due to counterparties | 300 |  |
| &nbsp;&nbsp;&nbsp;Derivative liability, at fair value | 61 | 602 |
| &nbsp;&nbsp;&nbsp;Accounts payable and accrued expenses | 3201 | 4842 |
| &nbsp;&nbsp;&nbsp;Payable to affiliate | 4028 | 1925 |
| &nbsp;&nbsp;&nbsp;Dividend payable | 2415 | 3623 |
| &nbsp;&nbsp;&nbsp;Other liabilities | 300 | 262 |
| Total Liabilities <sup>(2)</sup> | 2358422 | 2621371 |
| Commitments and contingencies |  |  |
| Stockholders' Equity: |  |  |
| &nbsp;&nbsp;&nbsp;Common stock, $0.01 par value, 50,000,000 shares authorized, and 6,038,012 and 6,038,012 outstanding, respectively | 60 | 60 |
| &nbsp;&nbsp;&nbsp;Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding |  |  |
| &nbsp;&nbsp;&nbsp;Treasury stock, at cost, 57,981 and 57,981 shares held, respectively | (1665) | (1665) |
| &nbsp;&nbsp;&nbsp;Additional paid-in capital | 919238 | 918695 |
| &nbsp;&nbsp;&nbsp;Retained earnings (accumulated deficit) | (822829) | (723981) |
| Total Stockholders' Equity | 94804 | 193109 |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-controlling interest | 8 | 11220 |
| Total Equity | 94812 | 204329 |
| Total Liabilities and Stockholders' Equity | $2453234 | $2825700 |

---

------

**Western Asset Mortgage Capital Corporation and Subsidiaries**

**Consolidated Balance Sheets (Continued)**

**(dollars in thousands—except share and per share data)**

---

| | | |
|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2021** |
| <sup>(1)</sup> Assets of consolidated VIEs included in the total assets above: |  |  |
| &nbsp;&nbsp;&nbsp;Cash and cash equivalents | $— | $266 |
| &nbsp;&nbsp;&nbsp;Restricted cash | 248 | 260 |
| &nbsp;&nbsp;&nbsp;Residential Whole Loans, at fair value ($1,089,914 and $1,023,502 pledged as collateral, at fair value, respectively) | 1091145 | 1023502 |
| &nbsp;&nbsp;&nbsp;Residential Bridge Loans (None and $5,207 pledged as collateral, respectively) | 2849 | 5207 |
| &nbsp;&nbsp;&nbsp;Securitized commercial loan, at fair value | 1085103 | 1355808 |
| &nbsp;&nbsp;&nbsp;Commercial Loans, at fair value (None and $14,362 pledged as collateral, respectively) | 14362 | 14362 |
| &nbsp;&nbsp;&nbsp;Investment related receivable | 5914 | 22087 |
| &nbsp;&nbsp;&nbsp;Interest receivable | 10182 | 10572 |
| &nbsp;&nbsp;&nbsp;Other assets | 509 |  |
| Total assets of consolidated VIEs | $2210312 | $2432064 |
| <sup>(2)</sup> Liabilities of consolidated VIEs included in the total liabilities above: |  |  |
| &nbsp;&nbsp;&nbsp;Securitized debt, net ($1,719,865 and $1,344,370 at fair value and $128,217 and $180,116 held by affiliates, respectively) | $2058684 | $1863488 |
| &nbsp;&nbsp;&nbsp;Interest payable (includes $655 and $699 on securitized debt held by affiliates, respectively) | 8303 | 6480 |
| &nbsp;&nbsp;&nbsp;Accounts payable and accrued expenses | 43 | 78 |
| &nbsp;&nbsp;&nbsp;Other liabilities | 248 | $260 |
| Total liabilities of consolidated VIEs | $2067278 | $1870306 |

---

------

**Western Asset Mortgage Capital Corporation and Subsidiaries**

**Consolidated Statements of Operations**

**(in thousands—except share and per share data)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Three Months Ended**<sup>(1)</sup> | **Three Months Ended**<sup>(1)</sup> | **Three Months Ended**<sup>(1)</sup> | **Three Months Ended**<sup>(1)</sup> | **The Year Ended** |
| | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** | **December 31, 2022** |
| **Net Interest Income** | | | | | |
| Interest income | $42094 | $41406 | $39577 | $35642 | $158719 |
| Interest expense | 37323 | 35707 | 33342 | 31359 | 137732 |
| &nbsp;&nbsp;&nbsp;Net Interest Income | 4771 | 5699 | 6235 | 4283 | 20987 |
| **Other Income (Loss)** |  |  |  |  |  |
| Realized gain (loss) on sale of investments, net | (3118) | (35) | (45661) | 12145 | (36669) |
| Unrealized gain (loss), net | 2427 | (43582) | 16185 | (38903) | (63874) |
| Gain (loss) on derivative instruments, net | (381) | 4882 | 4781 | 6936 | 16218 |
| Other, net | 105 | (61) | (46) | (145) | (147) |
| &nbsp;&nbsp;&nbsp;Other Income (Loss) | (967) | (38796) | (24741) | (19967) | (84472) |
| **Expenses** |  |  |  |  |  |
| Management fee to affiliate | 991 | 850 | 1002 | 1100 | 3942 |
| Other operating expenses | 452 | 343 | 262 | 296 | 1353 |
| Transaction costs | 721 | 2635 | 344 | 2611 | 6311 |
| General and administrative expenses: |  |  |  |  |  |
| Compensation expense | 507 | 515 | 130 | 498 | 1650 |
| Professional fees | 1597 | 1626 | 1552 | 1256 | 6031 |
| Other general and administrative expenses | 475 | 676 | 637 | 736 | 2523 |
| &nbsp;&nbsp;&nbsp;Total general and administrative expenses | 2579 | 2817 | 2319 | 2490 | 10204 |
| &nbsp;&nbsp;&nbsp;Total Expenses | 4743 | 6645 | 3927 | 6497 | 21810 |
| **Income (loss) before income taxes** | (938) | (39742) | (22433) | (22181) | (85295) |
| Income tax provision (benefit) | (105) | 266 | (46) | 56 | 171 |
| **Net income (loss)** | (833) | $(40008) | $(22387) | $(22237) | $(85466) |
| Net income attributable to non-controlling interest | (5) | 2 |  | 3616 | 3613 |
| **Net income (loss) attributable to common stockholders and<br>participating securities** | $(828) | $(40010) | $(22387) | $(25853) | $(89079) |
| Net income (loss) per Common Share – Basic | $(0.14) | $(6.63) | $(3.71) | $(4.30) | $(14.77) |
| Net income (loss) per Common Share – Diluted | $(0.14) | $(6.63) | $(3.71) | $(4.30) | $(14.77) |
| Dividends Declared per Share of Common Stock | $0.40 | $0.40 | $0.40 | $0.40 | $1.60 |

---

(1)&nbsp;&nbsp;&nbsp;&nbsp;Consolidated Statements of Operations for each of the three months ended March 31, 2022, June 30, 2022, September 30, 2022, and December 31, 2022 are unaudited.

------

**Reconciliation of GAAP Net Income to Non-GAAP Distributable Earnings**

**(Unaudited)**

**(dollars in thousands—except share and per share data)**

The table below reconciles Net Income (Loss) to Distributable Earnings for each of the three months ended March 31, 2022, June 30, 2022, September 30, 2022, and December 31, 2022, and the year ended December 31, 2022:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **The Year Ended** |
| | **December 31, 2022** | | **September 30, 2022** | **June 30, 2022** | | **March 31, 2022** | **December 31, 2022** |
| Net Income (loss) attributable to common stock holders and participating securities | $(828) |  | $(40010) | $(22387) |  | $(25853) | $(89079) |
| Income tax provision (benefit) | (105) |  | 266 | (46) |  | 56 | 171 |
| Net income (loss) before income tax | (933) |  | (39744) | (22433) | -22433000 | (25797) | (88908) |
| Adjustments: |  |  |  |  |  |  |  |
| *Investments:* |  |  |  |  |  |  |  |
| Unrealized (gain) loss on investments, securitized debt and other liabilities | (2427) |  | 43582 | (16185) |  | 38903 | 63874 |
| Realized (gain) loss on sale of investments | 4096 |  | 33 | 45582 |  | (8713) | 40204 |
| One-time transaction costs | 716 |  | 2632 | 336 |  | 2740 | 6424 |
| *Derivative Instruments:* |  |  |  |  |  |  |  |
| Net realized (gain) loss on derivatives |  |  | (929) | (6513) |  | (5540) | (12003) |
| Unrealized (gain) loss on derivatives | 294 |  | (3636) | 1498 |  | (1655) | (3499) |
|  |  | 108 |  |  |  |  |  |
| *Other:* |  |  |  |  |  |  |  |
| Realized (gain) loss on extinguishment of convertible senior unsecured notes |  |  | 2 | 79 |  | 53 | (50) |
| Amortization of discount on convertible senior note | 172 |  | 209 | 216 |  | 223 | 820 |
| Other non-cash adjustments |  |  |  |  |  |  |  |
| Non-cash stock-based compensation expense | 100 |  | 100 | 70 |  | 165 | 435 |
| Total adjustments | 2951 |  | 41994 | 25083 |  | 26176 | 96205 |
| Distributable Earnings – Non-GAAP | 2018 |  | 2250 | 2650 |  | 379 | 7297 |
| Basic and Diluted Distributable Earnings per Common Share and Participating Securities | $0.33 |  | $0.37 | $0.44 |  | $0.06 | $1.20 |
| Basic weighted average common shares and participating securities | 6038012 |  | 6038010 | 6038010 |  | 6038010 | 6038012 |
| Diluted weighted average common shares and participating securities | 6038012 |  | 6038010 | 6038010 |  | 6038010 | 6038012 |

---

------

Alternatively, our Distributable Earnings can also be derived as presented in the table below by starting net interest income &nbsp;&nbsp;&nbsp;&nbsp;adding interest income on Interest-Only Strips accounted for as derivatives and other derivatives, and net interest expense incurred on interest rate swaps and foreign currency swaps and forwards to arrive at adjusted net interest income (a Non-GAAP financial measure). Then subtracting total expenses, adding non-cash stock-based compensation, adding one-time transaction costs, adding amortization of discount on convertible senior unsecured notes, and adding interest income on cash balances and other income (loss), net:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **The Year Ended** |
| **(dollars in thousands)** | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** | **December 31, 2022** |
| Net interest income | $4771 | $5699 | $6235 | $4283 | $20987 |
| Interest income from IOs and IIOs accounted for as derivatives | 9 | 11 | 12 | 17 | 49 |
| Net interest income from interest rate swaps | 882 | 298 | (262) | (291) | 628 |
| Adjusted net interest income | 5662 | 6008 | 5985 | 4009 | 21664 |
| Total expenses | (4742) | (6645) | (3927) | (6497) | (21810) |
| Non-cash stock-based compensation | 100 | 100 | 70 | 165 | 435 |
| Non-cash adjustments |  |  |  |  |  |
| One-time transaction costs | 716 | 2632 | 336 | 2740 | 6424 |
| Amortization of discount on convertible unsecured senior notes | 172 | 209 | 216 | 223 | 820 |
| Interest income on cash balances and other income (loss), net | 105 | (52) | (30) | (130) | (108) |
| Income attributable to non-controlling interest | 5 | (2) |  | (131) | (128) |
| Distributable Earnings | $2018 | $2250 | $2650 | $379 | $7297 |

---

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**Reconciliation of GAAP Book Value to Non-GAAP Economic Book Value**

**(dollars in thousands)**

**(Unaudited)**

---

| | | |
|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2022** |
| | **Amount** | **Per Share** |
| **GAAP Book Value at September 30, 2022** | $97948 | $16.22 |
| Equity portion of the convertible senior unsecured notes |  |  |
| Repurchase of common stock |  | N/A |
| Common dividend | (2415) | (0.40) |
|  | **95533** | **15.82** |
| **Portfolio Income** |  |  |
| Net Interest Margin | 5769 | 0.96 |
| Realized gain (loss), net | (4096) | (0.68) |
| Unrealized gain (loss), net | 2133 | 0.35 |
| **Net portfolio income** | **3806** | **0.63** |
| Operating expenses | (2162) | (0.36) |
| General and administrative expenses, excluding equity based compensation | (2478) | (0.41) |
| Provision for taxes | 105 | 0.02 |
| **GAAP Book Value at December 31, 2022** | $**94804** | $**15.70** |
| Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned | Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned | Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned |
| Arroyo 2019-2 | $906 | $0.15 |
| Arroyo 2020-1 | 8496 | 1.41 |
| Arroyo 2022-1 | (117) | (0.02) |
| Arroyo 2022-2 | (82) | (0.01) |
| **Economic Book Value at December 31, 2022** | $**104007** | $**17.23** |
| Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned | Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned | Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned |
| Deconsolidation of VIEs assets | $(2184881) | $(361.85) |
| Deconsolidation VIEs liabilities | 2067003 | 342.33 |
| Interest in securities of VIEs owned, at fair value | 127081 | 21.05 |
| **Economic Book Value at December 31, 2022** | $**104007** | $**17.23** |

---

"Economic Book value" is a non-GAAP financial measure of our financial position on an unconsolidated basis. The Company owns certain securities that represent a controlling variable interest, which under GAAP requires consolidation; however, the Company's economic exposure to these variable interests is limited to the fair value of the individual investments. Economic book value is calculated by adjusting the GAAP book value by 1) adding the fair value of the retained interest or acquired security of the VIEs (CSMC USA, Arroyo 2019-2, Arroyo 2020-1, Arroyo 2022-1, and Arroyo 2022-2) held by the Company, which were priced by independent third-party pricing services and 2) removing the asset and liabilities associated with each of consolidated trusts (CSMC 2020, Arroyo 2019-2, Arroyo 2020-1, Arroyo 2022-1, and Arroyo 2022-2). Management believes that economic book value provides investors with a useful supplemental measure to evaluate our financial position as it reflects the actual financial interest of these investments irrespective of the variable interest consolidation model applied for GAAP reporting purposes. Economic book value does not represent and should not be considered as a substitute for Stockholders' Equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies.

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**Reconciliation of Effective Cost of Funds**

**(dollars in thousands)**

**(Unaudited)**

The following table reconciles the Effective Cost of Funds (Non-GAAP financial measure) with interest expense for each of the three months ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** | **Three Months Ended** |
| | **December 31, 2022** | **December 31, 2022** | **September 30, 2022** | **September 30, 2022** | **June 30, 2022** | **June 30, 2022** | **March 31, 2022** | **March 31, 2022** |
| | **Interest** | **Effective<br>Borrowing<br>Costs** | **Interest** | **Effective<br>Borrowing<br>Costs** | **Interest** | **Effective<br>Borrowing<br>Costs** | **Interest** | **Effective<br>Borrowing<br>Costs** |
| Interest expense | $37324 | 5.64% | $35707 | 5.20% | $33342 | 5.01% | $31359 | 4.99% |
| Adjustments: |  |  |  |  |  |  |  |  |
| Interest expense on Securitized debt from consolidated VIEs | (21279) | (6.61)% | (21132) | (6.60)% | (20979) | (6.65)% | (20829) | (6.71)% |
| Net interest (received) paid - interest rate swaps | (883) | (0.13)% | (298) | (0.04)% | 262 | 0.04% | 291 | 5.00% |
| Effective Borrowing Costs | $**15162** | **4.46%** | $**14277** | **3.90%** | $**12625** | **3.60%** | $**10821** | **3.41%** |
| Weighted average borrowings | $**1347321** |  | $**1452090** |  | $**1405317** |  | $**1288592** |  |

---

The following table reconciles the Effective Cost of Funds (Non-GAAP financial measure) with interest expense for the years ended December 31, 2022 and 2021:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **The Year Ended** | **The Year Ended** | **The Year Ended** | **The Year Ended** |
| | **December 31, 2022** | **December 31, 2022** | **December 31, 2021** | **December 31, 2021** |
| | **Interest** | **Effective<br>Borrowing<br>Costs** | **Interest** | **Effective<br>Borrowing<br>Costs** |
| Interest expense | $137732 | 5.22% | $136910 | 5.17% |
| Adjustments: |  |  |  |  |
| Interest expense on Securitized debt from consolidated VIEs | (84219) | (6.64)% | (87635) | (6.31)% |
| Net interest (received) paid - interest rate swaps | (628) | (0.02)% | (109) | —% |
| Effective Borrowing Costs | $**52885** | **3.85%** | $**49166** | **3.90%** |
| Weighted average borrowings | $**1372019** |  | $**1259264** |  |

---

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**Reconciliation of Net Interest Margin**

**(dollars in thousands)**

**(Unaudited)**

The following table reconciles annualized Net Interest Margin (Non-GAAP financial measure) for the three months ended December 31, 2022:

---

| | | | |
|:---|:---|:---|:---|
| **Three Months Ended December 31, 2022** | **Average Amortized**<br>**Cost of Assets**<sup>(1)</sup> | **Total Interest Income**<sup>(2)</sup> | **Yield on Average Assets** |
| **Investments** | | | |
| Agency RMBS | $900 | $12 | 5.29% |
| Non-Agency CMBS | 106640 | 2308 | 8.59% |
| Non-Agency RMBS | 35734 | 445 | 4.94% |
| Residential whole loans | 1208686 | 13557 | 4.45% |
| Residential bridge loans | 4403 | 1159 | 104.43% |
| Commercial loans | 175783 | 1489 | 3.36% |
| Securitized commercial loans | 1294829 | 22214 | 6.81% |
| Other securities | 42935 | 919 | 8.49% |
| Total investments | 2869910 | 42103 | 5.82% |
| *Adjustments:* |  |  |  |
| Securitized commercial loans from consolidated VIEs | (1294829) | (22214) | 6.81% |
| Investments in consolidated VIEs eliminated in consolidation | 14137 | 222 | 6.23% |
| Adjusted total investments | $1589218 | $20111 | 5.02% |
|  | **Average Carrying Value** | **Total Interest Expense** | **Average Effective Cost of Funds** |
| **Borrowings** |  |  |  |
| Repurchase agreements | $223008 | $3888 | 6.92% |
| Convertible senior unsecured notes, net | 83386 | 1865 | 8.87% |
| Securitized debt | 2317644 | 31571 | 5.40% |
| Interest rate swaps | n/a | (883) | (0.13)% |
| Total borrowings | 2624038 | 36441 | 5.52% |
| *Adjustments:* |  |  |  |
| Securitized debt from consolidated VIEs<sup>(3)</sup> | (1276717) | (21279) | 6.61% |
| Adjusted total borrowings | $1347321 | $15162 | 4.46% |
| Adjusted net investment income and net interest margin |  | $**4949** | **1.24%** |

---

(1)Includes Agency and Non-Agency Interest-Only Strips accounted for as derivatives.

(2)Refer to the table in the Non-GAAP Financial Measures section of the Company's Form 10-K for components of interest income.

(3)Includes only the third-party sponsored securitized debt from CSMC USA.

## Exhibit 99.2

![](wmc4qfy22ex99211001.jpg)

Fourth Quarter 2022 Investor Presentation March 2, 2023

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![](wmc4qfy22ex99211002.jpg)

We make forward-looking statements in this presentation that are subject to risks and uncertainties, many of which are difficult to predict and are generally beyond the Company's control. 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 mortgage loans, 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 mortgage loans, 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 mortgage loans, 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 the uncertainty and economic impact of pandemics, epidemics or other public health emergencies, such as the ongoing COVID-19 pandemic. 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 Safe Harbor Statement

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![](wmc4qfy22ex99211003.jpg)

Robert W. Lehman Chief Financial Officer Bonnie M. Wongtrakool Chief Executive Officer Greg Handler Chief Investment Officer 2 Sean Johnson Deputy Chief Investment Officer Fourth Quarter 2022 WMC Earnings Call Presenters

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![](wmc4qfy22ex99211004.jpg)

3 Western Asset Mortgage Capital Corporation ("WMC") is a public REIT that benefits from the leading fixed income management capabilities of Western Asset Management Company, LLC ("Western Asset") • One of the world's leading global fixed income managers, known for team management, proprietary research, robust risk management and a long-term fundamental value approach. • AUM of $394.9 billion(1) ◦ AUM of the Mortgage and Consumer Credit Group is $64.3 billion(1) ◦ Extensive mortgage and consumer credit investing track record • Publicly traded mortgage REIT positioned to capture attractive current and long-term investment opportunities in the residential and commercial mortgage markets. • Completed Initial Public Offering in May 2012. Please refer to page 30 for footnote disclosures. Overview of Western Asset Mortgage Capital Corporation

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![](wmc4qfy22ex99211005.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;2023 Outlook 4

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![](wmc4qfy22ex99211006.jpg)

Mortgage & Consumer Credit Outlook The post-Covid reopening has been uneven across parts of the economy, geographically, across demographics, and amongst different asset classes with certain segments of the economy operating well above and others well below the pre-COVID economy. On top of the COVID uncertainties, geopolitical risks have arisen, broad based inflationary pressures have persisted, and the Federal Reserve's policy accommodation has been actively reduced, significantly tightening financial conditions. Mortgage and consumer credit spreads and yields are well wide of the levels we saw pre-COVID and in December 2018, the last time the Fed hiked the US economy into an economic slowdown. After booming during the pandemic, home prices have begun to stall and roll over under the pressure of higher mortgage rates and lack of affordability. Credit standards have remained high during this cycle and we do not see the risk of higher rates hitting borrowers who already locked in ultra-low mortgage rates. While we expect housing activity to slow down dramatically with less willing sellers and buyers, we do not anticipate a wave of delinquencies and foreclosures. We see attractive opportunities in non-agency residential mortgages backed high quality borrowers with significant built up equity. While housing is expected to cool, we do not see the significant risk of defaults or home price correction that current market pricing implies. As the clarity around the pace and timing of Fed Tapering is expected to be more certain, and inflation likely to moderate substantially in 2023, the volatility in rates and spreads is expected to decline significantly. The team believes there is potential for strong total return from spread normalization and high carry, which should provide value to investors. Our Manager's General Investment Outlook 5

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![](wmc4qfy22ex99211007.jpg)

6 Housing activity expected to slow down US Housing Market Lending Activity

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![](wmc4qfy22ex99211008.jpg)

7 Prepayment Risk US Housing Market Fundamentals

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![](wmc4qfy22ex99211009.jpg)

8 Consumer balance sheets have predominantly fixed rate debt US Household Debt Service Ratio, Scenario Analysis

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![](wmc4qfy22ex99211010.jpg)

9 Fed rate hikes are stressing valuations, heightening fundamental concerns. Risk premia have risen reflecting uncertainty; we see attractive opportunities for well-underwritten mortgage credit at modest leverage levels. Real Estate Credit Under Pressure

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![](wmc4qfy22ex99211011.jpg)

10 Mortgage Credit Offers Attractive Relative Value

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![](wmc4qfy22ex99211012.jpg)

11 Non-Qualified Mortgage Spreads

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![](wmc4qfy22ex99211013.jpg)

12 Investment Strategy Our primary goal is to generate attractive returns while preserving book value. We continue to find value in mortgage credit. Under current market conditions we expect to continue to focus investments in non-qualified residential mortgages and other mortgage credit that will be accretive to portfolio earnings. Target Investments Residential Non-Qualified Mortgages ◦ Program initiated in 2014 ◦ No cumulative principal losses ◦ Strategic partnerships with seasoned originators ◦ Current target coupon in the 9% range ◦ Average loan to value mid to high 60% at origination ◦ Non-recourse debt through securitization Other Mortgage Credit ◦ Assets with low leverage and strongly underwritten ◦ Residential securities ◦ Commercial loans and securities ◦ Yields between 6%-15% ◦ Favoring long-term financing utilizing structural leverage and low recourse leverage

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![](wmc4qfy22ex99211014.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Company Business Highlights • The Company continues to execute on its business strategy to focus on residential real estate investments, completing securitizations of $834.2 million of Residential Whole Loans in the first and third quarters of 2022 (Arroyo 2022-1 and Arroyo 2022-2), which allowed the Company to secure $750.8 million of long-term fixed rate financing. • The Company's core assets have performed well in 2022, with $216.1 million received from the repayment or paydown of Residential Whole Loans. • In addition, the Company took a series of actions in 2022 to deleverage, build liquidity, and strengthen its balance sheet, including the sale of $56.4 million of Non-Agency RMBS and other securities and the repurchase of its outstanding 2022 Notes in full at maturity in October for $26.0 million. • Furthermore, on February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for $8.8 million, which was equal to the fair value of the loan at December 31, 2022. • During the second quarter of 2022, the Company announced that its Board of Directors has authorized a review of strategic alternatives for the Company aimed at enhancing shareholder value, which may include a sale or merger of the Company. JMP Securities, A Citizens Company, has been retained as exclusive financial advisor to the Company. No assurance can be given that the review being undertaken will result in a sale, merger, or other transaction involving the Company, and the Company has not set a timetable for completion of the review process. The Company does not intend to make any further statements regarding this process unless and until a definitive agreement for a transaction has been reached, or until the process of exploring strategic alternatives has ended. 13

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![](wmc4qfy22ex99211015.jpg)

14 Please refer to page 30 for footnote disclosures. • GAAP book value per share of $15.70. • Economic book value(5) per share of $17.23. • GAAP Net loss attributable to common shareholders and participating securities of $828 thousand, or $0.14 per basic and diluted share. • Distributable earnings(2) of $2.0 million, or $0.33 per basic and diluted share. • Economic return on book value was a negative 1.0%(3) for the quarter. • Economic return on economic book value was negative 8.4%. • 1.24%(4) annualized net interest margin on our investment portfolio. • 2.9x recourse leverage as of December 31, 2022. • On December 21, 2022 we declared a fourth quarter common dividend of $0.40 per share. Fourth Quarter Financial Results

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![](wmc4qfy22ex99211016.jpg)

15 The following are the Company's key metrics as of December 31, 2022: Share Price Market Cap (in MMs) Q4 Dividend Q4 Dividend Yield Recourse Leverage Net Interest Margin(4) $9.11 $55.0 $0.40 17.6% 2.9x 1.24% Economic Book Value(5) December 31, 2022 Economic Book Value(5) September 30, 2022 Economic Book Value(5) Change Economic Book Value(5) Change Q4 Economic Return(3) $17.23 $19.25 $(2.02) (10.5)% (8.4)% Please refer to page 30 for footnote disclosures. WMC Key Metrics GAAP Book Value December 31, 2022 GAAP Book Value September 30, 2022 GAAP Book Value Change GAAP Book Value Change Price to GAAP Book Value $15.70 $16.22 $(0.52) (3.2)% 58.0%

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![](wmc4qfy22ex99211017.jpg)

Investment Type Portfolio Summary ($ in thousands) December 31, 2022 No. of Investments Principal Balance Amortized Cost Fair Value Borrowings Residential Whole Loans 2,943 $1,165,301 $1,170,048 $1,091,145 $984,706 Commercial Loans 6 171,567 171,567 90,002 48,032 Non-Agency CMBS, including IOs 12 109,266 106,503 85,435 55,154 Agency and Non-Agency RMBS, including IOs 18 39,873 31,575 24,454 67,659 Securitized Commercial Loan(6) 1 1,385,591 1,301,460 1,085,103 1,077,611 Residential Bridge Loans 5 3,166 3,166 2,849 — Other Securities(7) 7 34,717 21,152 27,262 18,639 Real Estate Owned 1 N/A 2,255 N/A — 2,993 $2,909,481 $2,807,726 $2,406,250 $2,251,801 Property Type 46.6% 46.9% 1.0% 3.3%2.1% Retail and Entertainment Residential Mixed Use Hotel Other 16 45.1% 45.3% 3.7% 3.6%1.1% 1.0% 0.1% Securitized Commercial Loans Residential Whole-Loans Commercial Loans Non-Agency CMBS Other Securities Agency and Non-Agency RMBS Residential Bridge Loans Please refer to page 30 for footnote disclosures. Investment Portfolio Overview

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![](wmc4qfy22ex99211018.jpg)

17 Overview ($ in thousands) December 31, 2022 Total number of loans 2,943 Principal $1,165,301 Fair value $1,091,145 Unrealized gain $(103,581) Weighted average remaining term in years 27.0 Weighted average coupon rate 4.8 % Weighted average LTV 66 % Weighted average original FICO score(13) 748 Loan Performance Geographic Concentration 66.8% 9.3% 12.4% 11.5% West Northeast Southeast Other N um be r o f L oa ns 0 2,910 14 0 6 13 Loans in Forbearance Current 1-30 Days 31-60 Days 61-90 Days 90+ Days 0 250 500 750 1,000 1,250 1,500 1,750 2,000 2,250 2,500 2,750 3,000 Residential Whole Loans Please refer to page 30 for footnote disclosures.

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![](wmc4qfy22ex99211019.jpg)

18 Overview ($ in thousands) December 31, 2022 Number of loans held 6 Principal balance $171,567 Fair value $90,002 Unrealized loss $81,565 Percentage of floating rate loans 100.0 % Percentage of senior loans 90.2 % Percentage of performing loans 90.2 % Weighted average extended life in years 0.59 Weighted average original LTV 58.8 % 16.0% 9.8% 49.8% 24.4% Nursing Home/Assisted Living Facilities Retail and Entertainment Center Hotel Retail Property Type Geographic Concentration 77.4% 4.0% 4.0% 14.6% Northeast Midwest Southeast West Unleveraged Weighted Average Effective Yield 2.6% 2.6% 3.1% 4.3% 3.8% 12/31/21 3/31/22 6/30/22 9/30/22 12/31/22 0% 2% 4% 6% 8% 10% Commercial Loans

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![](wmc4qfy22ex99211020.jpg)

19 Loan Acquisition Date Loan Type Principal Balance Fair Value Origina l LTV Interest Rate Maturity Date Extension Option Collateral Geographical Location CRE 3(1) August 2019 Interest-Only Mezzanine loan $90,000 $8,777 57.9% 1-Month LIBOR plus 9.25% 6/29/2021 None Entertainment and Retail Northeast CRE 4 September 2019 Interest-Only First Mortgage 22,204 22,050 63.0% 1-Month LIBOR plus 3.02% 8/6/2025(2) None Retail Northeast CRE 5 December 2019 Interest-Only First Mortgage 24,535 24,433 61.8% 1-Month LIBOR plus 3.75% 11/6/2023(3) None Hotel Northeast CRE 6 December 2019 Interest-Only First Mortgage 13,207 13,151 61.8% 1-Month LIBOR plus 3.75% 11/6/2023(3) None Hotel West CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,229 61.8% 1-Month LIBOR plus 3.75% 11/6/2023(3) None Hotel Midwest and Southeast SBC 3(4) January 2019 Interest-Only First Mortgage 14,362 14,362 49.0% One-Month LIBOR plus 4.35% 1/6/2023 None Nursing Facilities Northeast $171,567 $90,002 (1) As of December 31, 2022, the CRE 3 junior mezzanine loan with an outstanding principal balance of $90.0 million was non-performing and past its maturity date of June 29, 2021. On October 25, 2022, the senior mezzanine lender notified the Company that it had consummated a strict foreclosure under the Uniform Commercial Code of its equity interest in the mortgage borrower, which had the effect of foreclosing out the Company's subordinate pledge of equity in the retail facility that served as collateral for the junior mezzanine loan. As a result, as of December 31, 2022, the Company's junior mezzanine loan remained outstanding but without the benefit of the primary collateral supporting the loan. As a result of the foreclosure noted above, the Company marked down the value of its investment in the CRE 3 junior mezzanine loan from $26.9 million at June 30, 2022 to $8.8 million at September 30, 2022. On February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for its fair value at December 31, 2022 of $8.8 million. Refer to Note 16 - Subsequent Events in the Company's 10-K for the year ended December 31, 2022 for additional details. (2) CRE 4 was granted a 3 year extension through August 6, 2025, with a principal pay down of $16.2 million. (3) CRE 5, 6, and 7 were each granted a one-year extension through November 6, 2023. (4) During July 2022, SBC 3 loan was granted an extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee.Subsequently, in January 2023, the SBC 3 loan was partially paid down by $750 thousand and was granted another extension through August 4, 2023, with a 50 bps extension fee. Commercial Loans as of December 31, 2022 ($ in thousands)

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![](wmc4qfy22ex99211021.jpg)

20 Overview ($ in thousands) Total Conduit SASB Total number of investments 12 3 9 Principal $109,266 $15,051 $94,215 Fair value $85,435 $10,481 $74,954 Unrealized gain(loss) $(21,068) $(2,772) $(18,296) Weighted average expected life in years 1.7 6.0 1.1 Weighted average original LTV 65.0 % 62.5 % 65.3 % 44.7% 5.9% 49.4% Non-Investment Grade Investment Grade D/Not Rated Ratings Category 40.6% 9.9% 6.9% 11.9% 28.8% 1.9% Hotel Office Retail Multifamily Mixed Use Other Property Type Geographic Concentration 61.4% 6.2% 8.5% 9.7% 13.8%0.4% West South Northeast Midwest Bahamas Other Non-Agency CMBS Investments

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![](wmc4qfy22ex99211022.jpg)

21 Overview Total number of investments 1 Principal $1,385,591 Fair value $1,085,103 Unrealized gain $(216,356) Weighted average expected life in years 2.7 Weighted average yield 6.9 % Securitized Commercial Loan Portfolio Principal Amortized Cost Fair Value Property Type CSMC Trust 2014 - USA $1,385,591 $1,301,459 $1,085,103 Retail and Entertainment Center The Company had variable interest in one third party sponsored CMBS VIEs, CSMC Trust 2014-USA. The Company determined that it was the primary beneficiary of this VIE and was required to consolidate. The securitized commercial loan that serve as collateral for the securitized debt issued by this VIEs can only be used to settle the securitized debt. The following table represents the Company's economic exposure to this VIE, which is limited to the fair value if its investments: Investments in CMBS VIEs Principal Amortized Cost Fair Value CSMC Trust 2014 - USA - Class F $14,900 $1,301,460 $7,493 Securitized Commercial Loans ($ in thousands)

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![](wmc4qfy22ex99211023.jpg)

22 Please refer to page 30 for footnote disclosures. For Three Months Ended December 31, 2022 ($ in thousands - except per share data) Agency RMBS Non- Agency CMBS Non- Agency RMBS Residential Whole Loans Residential Bridge Loans Other Securities Commerci al Loans Securitized Commercial Loan Convertible Senior Notes Total Interest Income(10) $12 $2,309 445 $13,557 $1,159 $918 $1,489 $245 $— $20,134 Miscellaneous Income(11) — — — — — 105 — — — 105 Interest expense (3) (995) (447) (11,247) (40) (509) (800) (138) (1,864) (16,043) Swap interest expense 1 60 19 676 2 21 96 8 — 883 Net Interest Income 14 3,244 873 24,128 1,197 1,511 2,193 375 1,864 5,079 Investment realized gain/ (loss) — — (1,227) (69) (232) (1,774) — — 184 (3,118) Investment unrealized gain/ (loss)(12) 26 (2,768) (776) 17,276 148 755 (100) (2,748) — 11,813 Securitized debt unrealized gain/(loss) — — — (8,669) — — — — — (8,669) Gain (loss) on derivatives (1) (88) (28) (997) (4) (31) (142) (12) — (1,303) Portfolio Income (Loss) $39 $388 $(1,158) $31,669 $1,109 $461 $1,951 $(2,385) $2,048 $3,802 Portfolio Income (Loss) Per Share $0.01 $(0.25) $(0.33) $1.74 $0.17 $(0.09) $0.09 $(0.44) $(0.28) $0.63 Fourth Quarter Portfolio Income Attribution(10)

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Investment Type 24.9% 25.7% 39.8% 1.2% 7.5%0.8% Commercial Loans Non-Agency CMBS Agency and Non-Agency RMBS Residential Whole-Loans Other Securities Residential Bridge Loans Portfolio Summary ($ in thousands) December 31, 2022 No. of Investments Principal Balance Amortized Cost Fair Value Borrowings Residential Whole Loans 11 $4,598 $4,651 $4,459 $3,633 Commercial Loans 6 171,566 171,566 90,002 48,032 Non-Agency CMBS, including IOs 13 124,166 120,698 92,928 55,154 Agency and Non-Agency RMBS, including IOs 42 163,714 155,416 144,041 67,366 Residential Bridge Loans 5 3,166 3,166 2,849 — Other Securities(7) 7 34,717 21,152 27,262 18,639 84 $501,927 $476,649 $361,541 $192,824 Property Type 12.2% 41.9% 22.0% 4.0% 6.8% 8.0% Retail and Entertainment Residential Hotel Nursing Home/Assisted Living Facilities Mixed Use Multifamily Office Other (1) Includes the value of the retained interest or acquired security of the VIEs (CSMC USA, Arroyo 2019-2, Arroyo 2020-1, Arroyo 2022-1, and Arroyo 2022-2 held by the Company and excludes the asset and liabilities associated with each of consolidated trusts (CSMC 2014, Arroyo 2019-2, Arroyo 2020-1, Arroyo 2022-1, and Arroyo 2022-2). See page 24 for reconciliation to GAAP basis portfolio composition. 23 Investment Portfolio Overview (Unconsolidated) (1) Please refer to page 30 for footnote disclosures.

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24 \*Excludes consolidation of VIE Trusts required under GAAP Please refer to page 30 for footnote disclosures. Total Investment Portfolio ($ in thousands) December 31, 2022 Consolidated (As Reported) Investments of Consolidated VIEs Interest in securities of VIEs owned Unconsolidated (Non GAAP) Residential Whole Loans $1,091,145 $(1,086,686) $— $4,459 Commercial Loans 90,002 — — 90,002 Non-Agency CMBS, including IOs 85,435 — 7,493 92,928 Agency and Non-Agency RMBS, including IOs 24,454 — 119,587 144,041 Securitized Commercial Loan(6) 1,085,103 (1,085,103) — — Residential Bridge Loans 2,849 — — 2,849 Other Securities(7) 27,262 — — 27,262 Real Estate Owned 2,255 — — 2,255 Total $2,408,505 $(2,171,789) $127,080 $363,796 Adjusted\* Portfolio Composition

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Repurchase Agreement Financing December 31, 2022 Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-Term Borrowings Agency RMBS $293 4.78% 32 Non-Agency RMBS 48,237 7.50% 26 Residential Whole Loans — — — Residential Bridge Loans — — — Commercial Loans — — — Other securities(7) 1,776 7.09% 17 Total short term borrowings $50,306 7.47% 26 Long-Term Borrowings: Non-Agency CMBS and Non-Agency RMBS Facility Non-Agency CMBS 55,154 6.30% 122 Non-Agency RMBS 19,129 6.30% 122 Other Securities(7) 16,863 6.30% 122 Subtotal 91,146 6.30% 122 Residential Whole Loan Facility Residential Whole Loans 3,633 6.66% 298 Commercial Whole Loan Facility Commercial Loans 48,032 6.13% 307 Total long term borrowings 142,811 6.25% 189 Repurchase agreements borrowings $193,117 6.57% 146 25Please refer to page 30 for footnote disclosures. Financing ($ in thousands)

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Long-Term Financing Facilities Residential Whole Loan Financing Facility • As of December 31, 2022, approximately $3.2 million in non QM loans remained in the facility. The outstanding borrowing under this facility was $3.6 million as of December 31, 2022. Commercial Whole Loan Facility • As of December 31, 2022, the company had approximately $48.0 million in borrowings, with a weighted average interest rate of 6.13% under its commercial whole loan facility. The borrowings are secured by loans with an estimated fair market value of $66.9 million. Non-Agency CMBS and Non-Agency RMBS Facility • As of December 31, 2022, the outstanding balance under this facility was $91.1 million. The borrowings are secured by investments with a fair market value of $129.9 million as of December 31, 2022. Convertible Senior Unsecured Notes • During fourth quarter of 2022, the Company repurchased the remaining $26.0 million aggregate principal amount of its outstanding 2022 Notes at par value upon maturity in October 2022. • As of December 31, 2022, the Company had $86.3 million aggregate principal amount outstanding of its 6.75% convertible senior unsecured note due in 2024. 26 Financing (Continued)

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Non-Recourse Financings Residential Mortgage-Backed Notes The residential mortgage-backed notes issued by the Company for the Arroyo Trust 2019-2, Arroyo Trust 2020-1, Arroyo Trust 2022-1, and Arroyo Trust 2022-2 securitizations can only be settled with the residential loans that serve as collateral for the securitized debt and are non-recourse to the Company. The Arroyo 2019-2 and Arroyo 2020-1 notes are carried at amortized cost on the Company's Consolidated Balance Sheets, while the Arroyo 2022-1 and Arroyo 2022-2 notes are carried at fair value on the Company's Consolidated Balance Sheets. The Company retained the subordinate bonds for these Trusts regardless of accounting treatment. These bonds had a fair market value of $27.0 million and $19.3 million, respectively, at December 31, 2022. The retained subordinate bonds for both securitizations are eliminated in consolidation. The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo Trust 2019 securitization at December 31, 2022 (dollars in thousands): The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo Trust 2020 securitization at December 31, 2022 (dollars in thousands): 27Please refer to page 30 for footnote disclosures. Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes:(8) Class A-1 $168,131 3.3% $168,131 4/25/2049 Class A-2 9,017 3.5% 9,017 4/25/2049 Class A-3 14,286 3.8% 14,286 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 216,489 216,489 Less: Unamortized Deferred Financing Cost N/A 2,604 Total $216,489 $213,885 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes:(8) Class A-1A $74,425 1.7% $74,425 3/25/2055 Class A-1B 8,831 2.1% 8,831 3/25/2055 Class A-2 13,518 2.9% 13,518 3/25/2055 Class A-3 17,963 3.3% 17,963 3/25/2055 Class M-1 11,739 4.3% 11,739 3/25/2055 Subtotal 126,476 126,476 Less: Unamortized Deferred Financing Costs N/A 1,542 Total $126,476 $124,934 Financing (Continued)

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28 Financing (Continued) The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo Trust 2022-1 securitization at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes:(8) Class A-1A $212,307 2.5% $194,438 12/25/2056 Class A-1B 82,942 3.3% 73,259 12/25/2056 Class A-2 21,168 3.6% 17,054 12/25/2056 Class A-3 28,079 3.7% 21,308 12/25/2056 Class M-1 17,928 3.7% 12,160 12/25/2056 Subtotal 362,424 318,219 Less: Unamortized Deferred Financing Cost N/A — Total $362,424 $318,219 The following table summarizes the residential mortgage-backed notes by the Company's Arroyo Trust 2022-2 securitization at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes:(8) Class A-1 $267,533 5% $260,217 7/25/2057 Class A-2 22,773 5.0% 21,983 7/25/2057 Class A-3 27,749 5% 26,619 7/25/2057 Class M-1 17,694 5% 15,216 7/25/2057 Subtotal 335,749 324,035 Financing Cost N/A — Total $335,749 $324,035

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29 Commercial Mortgage backed Notes As of December 31, 2022, the Company had one consolidated commercial mortgage-backed variable interest entities that had an aggregate securitized debt balance of $1.1 billion. The securitized debt of the trust can only be settled with the collateral held by the trust and is non-recourse to the Company. The Company holds an interest in a subordinate bond in CMSC 2014 USA securitization and this bond had a fair market $7.5 million at December 31, 2022. The retained subordinate bond is not reflected in the below tables because is is eliminated in consolidation. The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2022 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Class A-1 $120,391 3.3% $108,591 9/11/2025 Class A-2 531,700 4.0% 477,678 9/11/2025 Class B 136,400 4.2% 115,782 9/11/2025 Class C 94,500 4.3% 76,304 9/11/2025 Class D 153,950 4.4% 113,229 9/11/2025 Class E 180,150 4.4% 99,858 9/11/2025 Class F 153,600 4.4% 77,242 9/11/2025 Class X-1 (Interest Only) n/a 0.7% 7,430 9/11/2025 Class X-2 (Interest Only) n/a 0.2% 1,497 9/11/2025 $1,370,691 $1,077,611 Financing (Continued)

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30 (1) As of December 31, 2022. (2) Distributable Earnings is a non-GAAP financial measure that is used by us to approximate cash yield or income associated with our portfolio and is defined as GAAP net income (loss) as adjusted, excluding, net realized gain (loss) on investments and termination of derivative contracts, net unrealized gain (loss) on investments and debt, net unrealized gain (loss) resulting from mark-to-market adjustments on derivative contracts, provision for income taxes, non-cash stock- based compensation expense, non-cash amortization of the convertible senior unsecured notes discount, one-time charges such as acquisition costs and impairment on loans and one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between us, our Manager and our Independent Directors and after approval by a majority of our independent directors. (3) 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. (4) Non-GAAP measures which include interest income, interest expense, the cost of interest rate swaps and interest income on IOs and IIOs classified as derivatives, and are weighted averages for the period. Excludes the net income from the consolidation of VIE Trusts required under GAAP. (5) Economic book value is a non-GAAP financial measure of our financial position on an unconsolidated basis. The Company owns certain securities that represent a controlling variable interest, which under GAAP requires consolidation; however, the Company's economic exposure to these variable interests is limited to the fair value of the individual investments. Economic book value is calculated by taking the GAAP book value and 1) adding the fair value of the retained interest or acquired security of the VIEs held by the Company and 2) the removing the asset and liabilities associated with each of consolidated trusts (CSMC 2014 USA, Arroyo 2019-2, Arroyo 2020-1, Arroyo 2022-1 and Arroyo 2022-2). Management considers that Economic book value provides investors with a useful supplemental measure to evaluate our financial position as it reflects the actual financial interest of these investments irrespective of the variable interest consolidation model applied for GAAP reporting purposes. Economic book value does not represent and should not be considered as a substitute for Stockholders' Equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies. (6) At December 31, 2022, the Company held a $7.5 million Non-Agency CMBS security which resulted in the consolidation of a variable interest entity. The Securitized Commercial loan value represents the estimate fair market value of collateral within the variable interest entity. (7) At December 31, 2022 Other Securities include GSE Credit Risk Transfer securities with an estimated fair value of $22.3 million and student loans ABS with a fair value of $4.9 million. (8) The subordinate notes were retained by the Company. (9) Non-GAAP measure which includes net interest margin (as defined in footnote 4) and realized and unrealized gains or losses in the portfolio. (10) Non-GAAP measure which includes interest income on IO's and IIO's accounted for as derivatives and other income. (11) Includes miscellaneous fees and interest on cash investments. (12) Non-GAAP measure which includes net unrealized losses on IO's and IIO's accounted for as derivatives. (13) The original FICO score is not available for 231 loans with a principal balance of approximately $76.6 million at December 31, 2022. The Company has excluded these loans from the weighted average computations. Footnotes

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31 Subsequent Events • On February 3, 2023, the CRE 3 loan was sold to an unaffiliated third party for its fair value at December 31, 2022 of $8.8 million.

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32 Book Value Roll Forward ($ in thousands) Amounts in 000's Per Share GAAP Book Value at September 30, 2022 $97,948 $16.22 Equity portion of our convertible senior unsecured notes — — Repurchase of common stock — N/A Common dividend (2,415) (0.40) 95,533 15.82 Portfolio Income Net Interest Margin 5,769 0.96 Realized gain (loss), net (4,096) (0.68) Unrealized gain (loss), net 2,133 0.35 Net portfolio income 3,806 0.63 Operating expenses (2,162) (0.36) General and administrative expenses, excluding equity based compensation (2,478) (0.41) Provision for taxes 105 0.02 GAAP Book Value at December 31, 2022 94,804 15.70 Adjustments to deconsolidate VIEs and reflect the Company's interest in securities owned Arroyo 2019-2 deconsolidation 906 0.15 Arroyo 2020-1 deconsolidation 8,496 1.41 Arroyo 2022-1 deconsolidation (117) (0.02) Arroyo 2022-2 deconsolidation (82) (0.01) Economic Book Value at December 31, 2022 104,007 17.23 Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned Deconsolidation of VIEs assets (2,184,881) (361.85) Deconsolidation VIEs liabilities 2,067,003 342.33 Interest in securities of VIEs owned, at fair value 127,081 21.05 Economic Book Value at December 31, 2022 $104,007 $17.23

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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 Contact Information

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