Ellington Financial Inc. · NYSE:EFC
Ellington Financial — Debt Investor Presentation (August 2026)
46 slides from Ellington Financial's debt investor presentation, August 2026
Slide 1: Presentation to Debt & Preferred Equity Investors
Ellington Financial Inc. Presentation to Debt & Preferred Equity Investors As of June 30, 2026
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 4 II. Ellington Financial Inc. (NYSE: EFC) 9 III. Risk Management Framework 22 IV. Portfolio & Financial Summary 27 V. Appendix 33 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 6/30/2026 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 43 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 $23.0 billion in assets under management1 Sophisticated infrastructure supports rigorous management of credit, interest rate, liquidity, and other risks Ellington Principals ` E
Slide 9: II. Ellington Financial Inc. (NYSE: EFC)
II. Ellington Financial Inc. (NYSE: EFC) 9
Slide 10: A More Durable Balance Sheet and Stronger Credit Profile
A More Durable Balance Sheet and Stronger Credit Profile A More Durable Balance Sheet and Stronger Credit Profile Q2 25 Q2 26 Larger Equity Cushion $1.7bn $2.0bn Total Equity Maintained Conservative Leverage 1.7x 1.9x Recourse Debt-to-Equity1 LTM Securitization Activity2 / Expanded Long-Term Non-MTM
Slide 11: 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 12: Overview of Ellington Financial Inc.
Overview of Ellington Financial Inc. Ellington Financial is a diversified mortgage REIT with a 19-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 $5.1B 1.9x 17% Au
Slide 13: 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 14: 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 15: 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 16: 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 Q2 2026 is approximately 370.3%, or 8.5%
Slide 17: Delivering Outsized Returns to Shareholders
…Delivering Outsized Returns to Shareholders Ellington Financial has produced attractive total returns relative to select diversified mREITs • 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
Slide 18: 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 19: 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 20: Diversified, Well-Positioned Capital Structure
Diversified, Well-Positioned Capital Structure Ellington Financial maintains low recourse leverage Capitalization1,3 Key Leverage and Capitalization Ratios ($ in millions) $9,295 1.9x Recourse Leverage Ratio2 17% Unsecured Debt to Total Recourse Debt2 Includes ~$3.5 billion of Non-MTM Secured Borrow
Slide 21: 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 A: Non-QM Loans and Retained RMBS K • 2.8x unencumbered assets / unsecu
Slide 22: III. Risk Management Framework
III. Risk Management Framework 22
Slide 23: 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 24: 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 25: 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 2026 Ellington launched EFC launched 475(f) tax Non-MTM First preferred 57 securitizations priced to with a deeply to tap election better financing
Slide 26: 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 $, Millions Operational Liquidity (LHS) 200 100 OTR HY C
Slide 27: IV. Portfolio & Financial Summary
IV. Portfolio & Financial Summary 27
Slide 28: Portfolio Summary as of June 30, 2026
Portfolio Summary as of June 30, 20261 Equity and Asset Fair Value Average Price WAVG Mkt Allocation by Segment(2) (3)(6) (4)(6) (5)(6) Investment Portfolio Segment ($ in $1,000s) (%) WAVG Life Yield Non-QM Loans and Retained RMBS (7)(8)(9) $ 1,532,242 95.5 4.6 8.5% 11% (7)(11) Commercial Mortgage L
Slide 29: Interest Rate Hedging Portfolio
Interest Rate Hedging Portfolio1 We deploy a dynamic and adaptive hedging strategy to reduce the volatility of book value and earnings A A G 17% G A: >5 Yr Interest Rate Swaps 25% 22% 25% F B: 2-5Yr Interest Rate Swaps 1% F C: <2 Yr Interest Rate Swaps 2% B D: Net Short TBAs 12% $(0.90)bn $(1.33)bn
Slide 30: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis1 Ellington Financial’s dynamic hedging strategy is designed to reduce book value volatility across its different strategies As of 6/30/2026 Immediate 50 Basis Point Decline in Interest Rates Immediate 50 Basis Point Increase in Interest Rates ($ in Thousands) Chang
Slide 31: Credit Hedging Portfolio
Credit Hedging Portfolio1,2 Instrument Corporate CDS Indices/ Tranches/ CMBX Net Short TBAs Category Options/ Single Names Units ($MM) HY CDX OTR Equivalent Value3 Bond Equivalent Value4 HY CDX OTR Equivalent Value3 - (50.00) (100.00) While TBAs are primarily used to (150.00) hedge mortgage rate ris
Slide 32: Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors
Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors Cumulative Loans Funded and Realized Credit Losses (Non-Annualized) 25.0 5% Cumulative Loans Funded ($B) Cumulative Loss Rate – Non-Annualized (%) Residential Mortgage Loans(1) Since the inception of each of $20.4 2
Slide 33: V. Appendix
Ellington Financial i V. Appendix
Slide 34: EFC's Best-in-Class Performance Among Residential Hybrid mREITs (Legacy Peer Set)
EFC’s Best-in-Class Performance Among Residential Hybrid mREITs (Legacy Peer Set) Cumulative Total Economic Return Since Inception Percentage of Book Value per Share Since Inception EFC Peer #3 EFC Peer #8 Peer #3 Peer #7 Peer #2 Peer #4 Peer #6 Peer #7 Peer #5 Peer #6 Peer #8 Peer #9 Peer #2 Peer #
Slide 35: Prudent Leverage and Diversified Sources of Financing
Prudent Leverage and Diversified Sources of Financing As of 6/30/2026 Three-Month Period Ended 6/30/2026 Recourse Borrowings ($ in thousands) Outstanding Borrowings WAVG Borrowing Rate Average Borrowings Average Cost of Funds Total Recourse Borrowings(1) $3,984,015 5.50% $4,085,078 5.60% Senior Note
Slide 36: 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 37: 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 38: 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 $157MM 2012 various channels MSR Investment Established Portfolio1 • EFC compl
Slide 39: 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 40: Condensed Consolidated Balance Sheet (Unaudited)
Condensed Consolidated Balance Sheet (Unaudited) 1 1 (In millions, ex cept per share amount s) J une 30, 2026 December 31, 2025 December 31, 2024 Asset s Cash and cash equivalents $247.5 $201.9 $192.4 Restricted cash 42.4 136.3 16.6 Securities, at fair value 1,230.7 1,034.9 962.3 Loans, at fair valu
Slide 41: Condensed Consolidated Statement of Operations (Unaudited)
Condensed Consolidated Statement of Operations (Unaudited) S ix-Month Period Ended Year Ended (In millions, ex cept per share amounts) June 30, 2026 December 31, 2025 December 31, 2024 Net Interest Income Interest income $320.3 $494.5 $416.0 Interest expense (186.8) (304.5) (279.6) Total net interes
Slide 42: Endnotes
Ellington Financial Endnotes 42
Slide 43: 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. $23.0 billion AUM includes uncalled capital commitments, if a
Slide 44: Endnotes
Endnotes Page 15 (continued): 6. Includes Commercial Mortgage Loans and CMBS. Includes equity investments in unconsolidated entities holding commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans. Including our allocable portion of the fair value of small-balance
Slide 45: Endnotes
Endnotes Page 28: 1. Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. 2. Of deployed capital, 89% allocated to the investment portfolio, and 11% to Longbridge. 3. Average price excludes interest only, principal only, equity tranches and other similar s
Slide 46: Endnotes
Endnotes Page 35: 1. Excludes Other secured borrowings, at fair value and HMBS-related obligations, at fair value which are non-recourse borrowings. 2. All of our non-recourse borrowings are secured by collateral. In the event of default under a non-recourse borrowing, the lender has a claim against
Ellington Financial — Debt Investor Presentation (August 2026) on 6ix