Western Asset Mortgage Capital Corporation (NYSE: WMC) (the “Company”) today announced that it has priced an aggregate $351.9 million of Mortgage-Backed Notes, Series 2022-2 (the “Notes”) in a residential mortgage-backed securitization comprised of a portfolio of residential whole loans. The Notes, which initially will be issued by Arroyo Mortgage Trust 2022-2 in four classes, were priced with a weighted average fixed interest rate of approximately 5.9% per annum. All of the Notes are anticipated to have a final payment date in July 2057. The Notes will be issued in a private placement to qualified institutional investors and non-US persons under Regulation S of the Securities Act. It is expected that S&P and DBRS will rate the Notes at closing. The anticipated S&P and DBRS ratings for the Class A-1Notes are AAA(sf) and AAA(sf), respectively. The offering is subject to customary closing conditions and is expected to close on or about July 13, 2022.

“As the Company continues to transition toward residential real estate-related investments, we are pleased to announce the pricing of our fourth securitization of residential whole loan assets. This transaction enables us to finance these assets at attractive longer-term fixed rates,” said Bonnie Wongtrakool, Chief Executive Officer of the Company.

The Notes are not registered under the Securities Act of 1933, as amended (the “Securities Act”), and may not be offered or sold in the United States absent registration or an applicable exemption from the registration requirements. The Notes may only be offered and sold in the United States in accordance with Rule 144A under the Securities Act. This press release does not constitute an offer to sell or the solicitation of any offer to buy nor shall there be any sale of the Notes in any jurisdiction in which such offer, solicitation or sale would be unlawful under the laws of such jurisdiction.

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 www.westernassetmcc.com.

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. In particular, it is difficult to fully assess the impact of COVID-19 at this time due to, among other factors, uncertainty regarding the severity and duration of the outbreak domestically and internationally and the effectiveness of federal, state and local governments’ efforts to contain the spread of COVID-19 and respond to its direct and indirect impact on the U.S. economy and economic activity.

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, 2021 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.

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