Schedule IV - Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2019

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Schedule IV - Mortgage Loans on Real Estate



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms⁽¹⁾	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Residential Whole-Loans and Bridge Loans
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $0 - $249,999	730	Hybrid ARM 4.5% to 6.6%	11/01/2041 to 12/01/2049	P&I	$	—	$	120,652	$	125,569	$	—
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	1,051	Hybrid ARM 4.5% to 6.5%	01/01/2042 to 12/01/2049	P&I	—		356,183		370,434		1,446
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	345	Hybrid ARM 4.5% to 6.5%	02/01/2042 to 12/01/2049	P&I	—		198,888		206,818		646
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $750,000 - $999,999	147	Hybrid ARM 4.5% to 6.4%	05/01/2043 to 12/01/2049	P&I	—		121,140		125,727		790
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,000,000 - $1,249,999	34	Hybrid ARM 4.0% to 5.9%	09/01/2043 to 12/01/2049	P&I	—		36,536		37,649		1,006
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	14	Hybrid ARM 4.6% to 6.0%	12/01/2041 to 12/01/2049	P&I	—		18,452		19,228		—
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,500,000 and above	27	Hybrid ARM 4.8% to 6.2%	02/01/2042 to 11/01/2049	P&I	—		65,071		67,418		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $0 - $249,999	4	Variable 6.2% to 6.4%	02/01/2044 to 05/01/2044	P&I	—		558		586		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	6	Variable 5.5% to 6.3%	04/01/2044 to 11/01/2047	P&I	—		2,026		2,128		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	1	Variable 6.2% to 6.2%	04/01/2044 to 04/01/2044	P&I	—		450		473		—
Variable Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	2	Variable 6.2% to 6.4%	02/01/2044 to 05/01/2044	P&I	—		1,344		1,415		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $0 - $249,999	422	Fixed 3.8% to 7.1%	07/01/2026 to 12/01/2049	P&I	—		66,458		68,988		247



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms⁽¹⁾	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	552	Fixed 3.8% to 7.5%	09/01/2026 to 12/01/2049	P&I	—		189,163		195,762		719
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	128	Fixed 3.9% to 6.4%	11/01/2033 to 12/01/2049	P&I	—		73,638		76,076		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $750,000 - $999,999	35	Fixed 4.6% to 5.9%	11/01/2033 to 12/01/2049	P&I	—		30,096		31,212		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,000,000 - $1,249,999	12	Fixed 5.0% to 5.9%	02/01/2048 to 12/01/2049	P&I	—		13,095		13,586		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	8	Fixed 4.7% to 6.3%	02/01/2036 to 12/01/2049	P&I	—		9,980		10,371		—
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts	Original Loan Balance $1,500,000 and above	11	Fixed 5.3% to 5.7%	09/01/2048 to 10/01/2049	P&I	—		21,714		22,420		2,271
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $0 - $249,999	34	Fixed 7.5% to 18.0%	12/31/2019 to 03/01/2021	Interest Only⁽³⁾	—		4,722		4,545		1,930
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $250,000 - $499,999	13	Fixed 7.5% to 11.3%	12/31/2019 to 02/01/2021	Interest Only⁽³⁾	—		4,907		4,887		420
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $500,000 - $749,999	10	Fixed 7.8% to 12.7%	12/31/2019 to 08/01/2020	Interest Only⁽³⁾	—		6,251		6,133		2,071
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $750,000 - $999,999	11	Fixed 7.8% to 18.0%	12/31/2019 to 12/01/2020	Interest Only⁽³⁾	—		9,662		9,418		3,595
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $1,000,000 - $1,249,999	4	Fixed 8.0% to 13.5%	12/31/2019 to 09/01/2020	Interest Only⁽³⁾	—		4,526		4,464		1,125
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $1,250,000 - $1,499,999	2	Fixed 9.0% to 10.8%	12/31/2019 to 12/31/2019	Interest Only⁽³⁾	—		2,690		2,624		1,295
Fixed Rate Residential Bridge Loans Held in Securitization Trusts	Original Loan Balance $1,500,000 and above	2	Fixed 7.8% to 8.5%	12/31/2019 to 08/01/2020	Interest Only⁽³⁾	—		4,437		4,348		1,672
Total Residential Whole-Loans and Bridge Loans						$	—	$	1,362,639	$	1,412,279	$	19,233

Western Asset Mortgage Capital Corporation and Subsidiaries

Schedule IV

Commercial Real Estate Loans

As of December 31, 2019



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms(1)	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Commercial Loans
Commercial Loan Held in Securitization Trust	Original Loan Balance $45,187,500	1	LIBOR + 4.25%	07/01/2020	Interest Only⁽⁴⁾	$	—	$	45,188	$	45,188	$	—
Commercial Loan Held in Securitization Trust	Original Loan Balance $13,600,000	1	LIBOR + 4.00%	12/01/2021	Interest Only⁽⁴⁾	—		13,600		13,600		—
Commercial Loan Held in Securitization Trust	Original Loan Balance $32,000,000	1	LIBOR + 4.10%	07/01/2021	Interest Only⁽⁴⁾	$	—	$	32,000	$	32,000	$	—
Commercial Mezzanine Loan	Original Loan Balance $20,000,000	1	LIBOR + 6.50%	12/09/2020	Interest Only⁽⁴⁾	—		20,000		20,000		—
Commercial Loan	Original Loan Balance $30,000,000	1	LIBOR + 4.50%	06/09/2020	Interest Only⁽⁴⁾	—		30,000		30,000		—
Commercial Loan	Original Loan Balance $50,000,000	1	LIBOR + 4.75%	01/11/2022	Interest Only⁽⁴⁾	—		50,000		50,000		—
Commercial Loan	Original Loan Balance $90,000,000	1	LIBOR + 9.25%	06/29/2021	Interest Only⁽⁴⁾	—		90,000		90,000		—
Commercial Loan	Original Loan Balance $40,000,000	1	LIBOR + 3.02%	08/09/2021	Interest Only⁽⁴⁾	—		40,000		40,000		—
Commercial Loan	Original Loan Balance $13,206,521	1	LIBOR + 3.75%	11/06/2021	Interest Only⁽⁴⁾	—		13,206		13,206		—
Commercial Loan	Original Loan Balance $24,534,783	1	LIBOR + 3.75%	11/06/2021	Interest Only⁽⁴⁾	—		24,535		24,535		—
Commercial Loan	Original Loan Balance $7,258,696	1	LIBOR + 3.75%	11/06/2021	Interest Only⁽⁴⁾	—		7,259		7,259		—
Commercial Loan	Original Loan Balance $4,425,400	1	LIBOR + 4.85%	12/06/2022	Interest Only⁽⁴⁾	—		4,425		4,425		—
Total Commercial Loans						$	—	$	370,213	$	370,213	$	—

Securitized Commercial Loans
Commercial Loan Held in Securitization Trust	Original Loan Balance $900,000,000	1	LIBOR + 8.50%	03/09/2021	Interest Only⁽⁴⁾	—		674,331		676,436		—
Commercial Loan Held in Securitization Trust	Original Loan Balance $234,500,000	1	Fixed 4.27%	12/09/2024	Interest Only⁽⁴⁾	—		234,500		198,104		—



$ in thousands Asset Type	Description	Number of Loans	Interest Rate	Maturity Date	Periodic Payment Terms(1)	Prior Liens		Face Amount of Mortgages		Carrying Amount of Mortgages		Principal Amount of Loans Subject to Delinquent Principal or Interest
Commercial Loan Held in Securitization Trust	Original Loan Balance $10,500,000	1	Fixed 12.02%	12/09/2024	Interest Only⁽⁴⁾	—		10,500		10,443		—
Commercial Mezzanine Loan Held in Securitization Trust	Original Loan Balance $25,000,000	1	Fixed 9.00%	07/06/2020	P&I⁽²⁾	—		24,048		24,057		—
Total Securitized Commercial Loans						$	—	$	943,379	$	909,040	$	—

Total Residential and Commercial Loans						$	—	$	2,676,231	$	2,691,532	$	19,233

(1) Principal and interest ("P&I")

(2) Interest only payments for initial 2 years. After 2 years, monthly P&I payments are based on an 2 years amortization schedule and a balloon payment is due on the maturity date.

(3) Residential Bridge Loans are mainly interest only loans with a balloon payment at maturity.

(4) The borrower may prepay the commercial loan in whole or in part at any time in accordance with the terms of the loan agreement.

Reconciliation of Carrying Value of Mortgage Loans on Real Estate:



	2019		2018		2017
Beginning balance	$	2,493,238	$	368,972	$	216,361
Additions during period:
New mortgage loans	2,042,587		2,901,479		232,545
Unrealized gains	21,291		631		3,167
Deductions during period:
Collections of principal	1,858,659		769,748		80,550
Amortization of premium and (discounts)	5,247		5,692		1,470
Unrealized losses	1,191		2,356		1,081
Realized losses	487		48		—
Balance at end of period	$	2,691,532	$	2,493,238	$	368,972