PASADENA, Calif., March 27, 2020 /PRNewswire/ -- In light of the
recent extraordinary capital markets volatility driven by concerns
surrounding the COVID-19 pandemic, Western Asset Mortgage Capital
Corporation (the "Company") (NYSE: WMC) is providing the following
update on its business.
The COVID-19 pandemic has created unprecedented market
conditions, severe illiquidity, volatility and disruption not seen
since the Global Financial Crisis. These conditions spilled over
into government bond markets, including the Agency MBS markets,
causing an extreme lack of liquidity in mortgage markets. Combined
with forced selling in the marketplace, illiquidity has led to
swift and dramatic price declines. In addition, illiquidity is
being exacerbated by inadequate demand for MBS among primary
dealers due to balance sheet constraints.
The Federal Reserve began its previously announced Agency CMBS
purchase program on Friday, March 27.
As anticipated, this action improved liquidity and price
transparency for these bonds. The Federal Reserve has
announced that it will conduct additional purchase programs next
week, as part of its broader Agency MBS purchase program although
no assurance can be given as to the timing or amount, if any, of
any purchases by the Federal Reserve.
The Company also provided the following updates:
- As of March 27, 2020 the Company
has met its current margin calls. The Company has been working
constructively with its counterparties throughout this challenging
period. Given the difficult market conditions there can be no
assurance that issues may not arise in the future.
- The Company estimates that its book value per share as of
March 26, 2020 has declined in a
range of approximately 55% to 60% since December 31, 2019.
- The Company is increasing portfolio liquidity and reducing
leverage by selling securities and restructuring or eliminating the
associated hedges.
- The Company is suspending its first quarter common stock
dividend given the current market conditions and the need to
preserve liquidity.
During these unprecedented market conditions, the Company
remains focused on and committed to preserving long term value for
its shareholders.
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 consisting of Agency CMBS, Agency RMBS,
Non-Agency RMBS, Non-Agency CMBS, ABS, GSE Credit Risk Transfer
Securities and Residential Whole, Bridge Loans and Commercial
Loans. 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 Legg Mason, Inc ("Legg
Mason").
On February 18, 2020, Franklin
Resources, Inc. ("Franklin") and Legg
Mason announced that they had entered into an agreement
under which Franklin would acquire Legg
Mason and its affiliates, including Western Asset Management
Company, LLC. The transaction is expected to close in
the third quarter of 2020 and is subject to customary closing
conditions. Upon completion of the transaction Western Asset
Management Company, LLC would become a wholly owned subsidiary of
Franklin.
Please visit the Company's website at
www.westernassetmcc.com
FORWARD-LOOKING STATEMENTS
Certain items in this press release may constitute
forward-looking statements within the meaning of the "safe harbor"
provisions of the Private Securities Litigation Reform Act of 1995,
including, but not limited to, statements relating to the Company's
ability to take the actions described herein, including working
with its counterparties, increasing portfolio liquidity and
reducing leverage. These statements are based on management's
current expectations and beliefs and are subject to a number of
trends and uncertainties that could cause actual results to differ
materially from those described in the forward-looking statements.
The Company can give no assurance that its expectations will be
attained. Factors that may cause actual results to vary from our
forward-looking statements include, but are not limited to, the
economic and market impact of the COVID-19 pandemic, changes in
interest rates; changes in the yield curve; changes in prepayment
rates; the availability and terms of financing; general economic
conditions; market conditions; conditions in the market for
mortgage related investments; legislative and regulatory changes
that could adversely affect the business of the Company; and other
factors, including those set forth in the Risk Factors section of
the Company's annual report on Form 10-K for the period ended
December 31, 2019, and subsequent
public reports filed with the SEC. The Company undertakes no
obligation to update these statements for revisions or changes
after the date of this release, except as required by law.
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SOURCE Western Asset Mortgage Capital Corporation