Western Asset Mortgage Capital : Investor Presentation - August 8, 2023

Second Quarter 2023 Investor Presentation

August 8, 2023

Safe Harbor Statement

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 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.

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Second Quarter 2023 WMC Earnings Call Presenters

Bonnie M. Wongtrakool	Robert W. Lehman	Greg Handler	Sean Johnson
Chief Executive Officer	Chief Financial Officer	Chief Investment Officer	Deputy Chief Investment
Officer

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Overview of Western Asset Mortgage Capital Corporation

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 $388.0 billion(1)
• • AUM of the Mortgage and Consumer Credit Group is $68.7 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 mortgage markets.
• Completed Initial Public Offering in May 2012

Please refer to page 29 for footnote disclosures.

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2023 Outlook

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