Ellington Financial Inc. · NYSE:EFC
Ellington Financial — Debt Investor Presentation (November 2025)
45 slides from Ellington Financial's debt investor presentation, November 2025
Slide 1: Presentation to Debt & Preferred Equity Investors
Ellington Financial Inc. Presentation to Debt & Preferred Equity Investors November 2025
Slide 2: Important Notice
Important Notice Forward-Looking Statements This presentation contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements involve numerous risks and uncertainties. Our actual results may diff
Slide 3: Table of Contents
Table of Contents Table of Contents I. The Ellington Management Platform II. Ellington Financial Inc. (NYSE: EFC) III. Risk Management Framework IV. Portfolio & Financial Summary V. Appendix 3
Slide 4: I. The Ellington Management Platform
I. The Ellington Management Platform 4
Slide 5: The Ellington Management Platform
The Ellington Management Platform The Ellington Platform has deep experience in mortgage and structured credit, and utilizes a data-driven approach to investing and risk management Summary Ellington • Ellington Financial Management LLC is the external manager of Ellington As of 9/30/2025 Financial I
Slide 6: Ellington's Risk Management Ethos is the Backbone of EFC's Strategy
Ellington’s Risk Management Ethos is the Backbone of EFC’s Strategy Risk management strategy has been continuously honed since Ellington was founded in 1994 and has enabled Ellington to manage downside risk and outperform through market cycles Highly Diversified Portfolio Construction Emphasizes sec
Slide 7: Management Team with Structured Credit Experience and Foundation in Advanced Mathematics
Management Team with Structured Credit Experience and Foundation in Advanced Mathematics Years of Years at Experience Ellington • Founder and CEO of Ellington Michael Vranos • Oversees portfolio construction and implementation of hedging strategies at Ellington Co-Chief Investment 42 31 • Former hea
Slide 8: Ellington Management's Infrastructure is a Competitive Advantage
Ellington Management’s Infrastructure is a Competitive Advantage Ellington has over 170 employees supporting approximately $18.2 billion in assets under management Sophisticated infrastructure supports rigorous management of credit, interest rate, liquidity, and other risks Ellington Principals ` El
Slide 9: II. Ellington Financial Inc. (NYSE: EFC)
II. Ellington Financial Inc. (NYSE: EFC) 9
Slide 10: Ellington Financial Credit Highlights
Ellington Financial Credit Highlights EFC is a Market Leading Diversified Mortgage REIT: Significant franchise value driven by consistent long-term performance and outsized total returns relative to an index of peers Diversified Investment Portfolio with Attractive Unlevered Risk-Adjusted Returns:
Slide 11: Overview of Ellington Financial Inc.
Overview of Ellington Financial Inc. Ellington Financial is a diversified mortgage REIT with an 18-year track record and market-leading total return performance Summary • Ellington Financial Inc. is a publicly-traded real estate investment trust (“REIT”) that commenced operations in $4.5B+ 1.9x 19%
Slide 12: Sector Tailwinds in EFC Target Asset Classes Present Significant Growth Opportunities
Sector Tailwinds in EFC Target Asset Classes Present Significant Growth Opportunities EFC Focus Asset Growth Opportunity Total Addressable Market Short-term first-lien Significant backlog of Residential Transition residential rehab, bridge, aged housing stock, which Loans (“RTL”) and construction lo
Slide 13: EFC's Distinctive Approach to Asset Sourcing
EFC’s Distinctive Approach to Asset Sourcing EFC accesses its target assets through a variety of proprietary origination channels Summary Proprietary Sourcing Competitive Advantages • EFC has differentiated sourcing capabilities for its ✓ Lock in a steady flow of high-quality loan originations targe
Slide 14: Diversified Investment Portfolio with Attractive Unlevered Risk-Adjusted Returns
Diversified Investment Portfolio with Attractive Unlevered Risk-Adjusted Returns Assets generate attractive risk-adjusted returns with limited usage of recourse leverage • Flexible approach allocates capital to the sectors with the best relative value as market conditions change • Analytical experti
Slide 15: EFC is a Market-Leading Diversified Mortgage REIT
EFC is a Market-Leading Diversified Mortgage REIT… EFC has successfully preserved book value over market cycles, while producing strong results for investors • EFC life-to-date economic return, with dividends reinvested, from inception in August 2007 through Q3 2025 is approximately 324.4%, or 8.3%
Slide 16: Delivering Outsized Returns to Shareholders
…Delivering Outsized Returns to Shareholders Ellington Financial has produced attractive total returns relative to select peers • Since the end of 2019, EFC’s return has been consistent through recent market shocks like the COVID-19 Pandemic and a turbulent macroeconomic environment in 2022 that aff
Slide 17: Management Has Successful Track Record Generating Resilient Profit over Market Cycles
Management Has Successful Track Record Generating Resilient Profit over Market Cycles1,2 Ellington has successfully navigated through challenging financial market cycles such as the COVID-19 Pandemic, the Taper Tantrum and the 2008 Global Financial Credit Crisis • Over the past nearly 20 years, only
Slide 18: Demonstrated Stability of Economic Returns via Hedging and Portfolio Management
Demonstrated Stability of Economic Returns via Hedging and Portfolio Management EFC has generated more stable quarterly returns than select peers that use mark-to-market accounting • EFC has produced the most consistent quarterly returns among a select peer group with significantly lower earnings vo
Slide 19: Diversified, Well-Positioned Capital Structure
Diversified, Well-Positioned Capital Structure Ellington Financial maintains low recourse leverage Capitalization1 Key Leverage and Capitalization Ratios ($ in millions) 1.9x Recourse Leverage Ratio3 $7,212 19% Unsecured Debt to Recourse Debt4 Includes ~$2.2 billion of Non-MTM Secured Borrowings 39%
Slide 20: Unencumbered Assets Strengthen Financial Flexibility
Unencumbered Assets Strengthen Financial Flexibility Ellington Financial intends to maintain sufficient unencumbered assets to amplify unsecured debt coverage Unencumbered Asset Pool Composition1 Key Unencumbered Pool Highlights Cash & Cash Commercial Equivalents Mortgage Loans 15% and REO 15% • >2x
Slide 21: III. Risk Management Framework
III. Risk Management Framework 21
Slide 22: Three Pillars of EFC Liquidity & Risk Management
Three Pillars of EFC Liquidity & Risk Management Time-Tested Analytics • Bottom-up portfolio models • Liquidity stress simulation • Transparent reporting Deep and Broad Relationships Robust Processes • Strong and diversified financing and • Disciplined review and implementation trading relationships
Slide 23: Time-Tested Analytics
Time-Tested Analytics Our portfolio analytics quantify The portfolio analytics translate Reports and tools supporting impacts from a wide range of into bottom-up liquidity modeling trading and operations integrate shocks executed at individual loan and model results and risk guidelines security leve
Slide 24: Robust Processes and Extensive Established Relationships
Robust Processes and Extensive Established Relationships We have continuously improved our risk management framework over time… 1994 2007 2013 2015 2019 2025 Ellington launched EFC launched 475(f) tax Non-MTM First preferred 38 rated securitizations to with a deeply to tap election better financing
Slide 25: Simulation of a Deep Shock
Simulation of a Deep Shock Our analytics allow us to simulate what-ifs, translating market shocks into liquidity effects. Operational Liquidity Our Systems Would Report1 400 120 20-point drop in CDX HY, 300 comparable to COVID 110 CDX HY Price Operational $, Millions Liquidity (LHS) 200 100 OTR HY C
Slide 26: IV. Portfolio & Financial Summary
IV. Portfolio & Financial Summary 26
Slide 27: Portfolio Summary as of September 30, 2025
Portfolio Summary as of September 30, 20251 Allocated Fair Value Average Price WAVG Mkt (2) Equity and Asset Credit Equity ($ in $1,000s) (%)(3)(7) WAVG Life(5)(7) Yield(6)(7) Allocation by Strategy Non-QM Loans and Retained RMBS(8)(9)(10) $ 1,119,911 95.0 3.8 7.5% 1% Residential Transition Loans an
Slide 28: Agency Interest Rate Hedging Portfolio & Net Agency Pool Exposure
Agency Interest Rate Hedging Portfolio & Net Agency Pool Exposure1 Ellington Financial deploys a dynamic and adaptive hedging strategy designed to preserve book value • We hedge along the entire yield curve to protect against volatility, defend book value and more thoroughly control interest rate ri
Slide 29: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis1 Ellington Financial’s dynamic hedging strategy designed to preserve book value volatility across its different portfolios As of 9/30/2025 Immediate 50 Basis Point Decline in Interest Rates Immediate 50 Basis Point Increase in Interest Rates ($ in Thousands) Change
Slide 30: Credit Hedging Portfolio
Credit Hedging Portfolio1,2 Instrument Corporate CDS Indices/ Tranches/ Options/ Single Names CMBX Category Units ($MM) HY CDX OTR Bond Equivalent Value3,4 Bond Equivalent Value4 - (100.00) (200.00) (300.00) (400.00) (500.00) (600.00) 6/30/2025 9/30/2025 • EFC’s dynamic credit hedging strategy seeks
Slide 31: Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors
Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors Cumulative Loans Funded and Realized Credit Losses (Non-Annualized) 16.0 5% Cumulative Loans Funded ($B) Cumulative Loss Rate – Non-Annualized (%) $14.7 Residential Mortgage Loans(1) 14.0 Since the inception of each
Slide 32: V. Appendix
Ellington Financial i V. Appendix
Slide 33: Prudent Leverage and Diversified Sources of Financing
Prudent Leverage and Diversified Sources of Financing Recourse Borrowings ($ in thousands) WAVG Borrowing Rate (9/30/25) Credit $2,268,371 5.98% Agency RMBS 175,556 4.37% Borrowings - Credit and Agency RMBS $2,443,927 5.86% Senior Notes, at Par 247,750 5.89% Subordinated Notes 15,000 7.33% Longbridg
Slide 34: Case Study: 2020 — COVID
Case Study: 2020 — COVID Our risk models allowed us to anticipate the likely range of drawdowns and effects on liquidity levels, providing us with the insights needed to respond nimbly in a short, sharp shock COVID Case Study Cash + Immediate Liquidity Capital + Receivables on GSE-Backed Assets (LHS
Slide 35: Robust Net Cash Flows Continuously Build Liquidity
Robust Net Cash Flows Continuously Build Liquidity • EFC has had consistently positive quarterly net inflows of cash flow over the last 5 years • Cash is reinvested in the business through the purchase and originations of new loans; EFC has deployed over $1 billion per quarter in recent quarters to
Slide 36: Overview of Longbridge Financial
Overview of Longbridge Financial Longbridge is wholly-owned by EFC and is the #2 HMBS issuer Summary • Longbridge Financial, LLC (“Longbridge”) is a reverse mortgage loan originator and servicer, focusing on HECMs through $144MM 2012 various channels MSR Investment Established Portfolio1 • EFC compl
Slide 37: Longbridge Strategy and Key Accounting Impacts
Longbridge Strategy and Key Accounting Impacts Longbridge enhances EFC’s portfolio diversification and franchise value • Longbridge originates reverse mortgage loans, including HECMs, Retaining the HECM MSR allows EFC to earn recurring revenue, with which are insured by the FHA and which are eligibl
Slide 38: Condensed Consolidated Balance Sheet (Unaudited)
Condensed Consolidated Balance Sheet (Unaudited) 1 1 (In millions, ex cept per share amount s) S eptember 30, 2025 December 31, 2024 December 31, 2023 Assets Cash and cash equivalents $184.8 $192.4 $228.9 Restricted cash 20.8 16.6 1.6 Securities, at fair value 909.9 962.3 1,518.4 Loans, at fair valu
Slide 39: Condensed Consolidated Statement of Operations (Unaudited)
Condensed Consolidated Statement of Operations (Unaudited) Nine-Month Year Ended Period Ended (In millions, except per share amounts) S eptember 30, 2025 December 31, 2024 December 31, 2023 Net Interest Income Interest income $354.2 $416.0 $370.2 Interest expense (217.9) (279.6) (262.5) Total net in
Slide 40: Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings
Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings1 Nine-Month Period Ended September 30, 2025 Investment (In millions, except per share amounts) Longbridge Corporate / Other Total Portf olio Net Income (Loss) $162.5 $18.3 ($52.7) $128.2 Income tax expense (benefit) -- -- 2.4 2.4
Slide 41: Endnotes
Ellington Financial Endnotes Al
Slide 42: Endnotes
Endnotes Page 5: Source: Company filings. 1. Registration with the SEC does not imply that the firm or any of its principals or employees possess a particular level of skill or training in the investment advisory or any other business. 2. Does not include partners formerly employed by Ellington who
Slide 43: Endnotes
Endnotes Page 14 (continued): 10. Weighted average life assumes “projected” cashflows using Ellington’s proprietary models. Excludes interest only, principal only, equity tranches. REO is excluded from total average calculations. 11. Estimated yields at market prices are management’s estimates deriv
Slide 44: Endnotes
Endnotes Page 27: 1. Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. 2. Of deployed capital, 87% allocated to credit, 1% to agency, and 12% to Longbridge. 3. Average price excludes interest only, principal only, equity tranches and other similar secur
Slide 45: Endnotes
Endnotes Page 33: Note: Recourse debt excludes Treasury Repo. Borrowing rates as of 9/30/2025 . 1. Excludes U.S. Treasury Securities. 2. Excludes HMBS-related debt. Page 34: Source: Ellington Management, Bloomberg. Page 35: 1. Cashflows include proceeds from principal and interest payments on loans
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