Ellington Credit Company · NYSE:EARN
Ellington Credit — Investor Presentation (March 2026)
31 slides from Ellington Credit's investor presentation, March 2026
Slide 1: Investor Presentation
Investor Presentation March 2026 1
Slide 2: Important Notice
Important Notice Forward-Looking Statements This presentation may contain forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements are not historical in nature and can be identified by words such a
Slide 3: Table of Contents
Table of Contents I. The Ellington Management Platform 4 II. Ellington Credit Company (NYSE: EARN) 10 III. Risk Management Framework 18 IV. Portfolio & Financial Summary 24 V. Appendix: Chronology of Conversion & Related Changes at EARN 30 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 structured corporate credit and mortgages, and utilizes a data-driven approach to investing and risk management Summary Ellington As of 12/31/2025 • Ellington Credit Company Management LLC is the investment adviser of Fo
Slide 6: Ellington's Risk Management Ethos is the Backbone of EARN's Strategy
Ellington’s Risk Management Ethos is the Backbone of EARN’s Strategy Risk management strategy has been core to Ellington’s investment philosophy since 1994, enabling Ellington to manage downside risk, preserve capital, and perform through market cycles Diversified CLO Portfolio Construction Diversif
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 43 31 Portfolio Manager • Former head
Slide 8: Ellington's Infrastructure is a Competitive Advantage
Ellington’s Infrastructure is a Competitive Advantage Ellington has over 170 employees supporting approximately $20.1 billion in assets under management Sophisticated infrastructure supports rigorous management of credit, interest rate, liquidity, and other risks Ellington Principals ` Ellington Man
Slide 9: Ellington's CLO Expertise and EARN's CLO Portfolio Growth
Ellington’s CLO Expertise and EARN’s CLO Portfolio Growth Ellington’s CLO Expertise Strategy Inception: 2012 Ellington has extensive expertise managing CLO investments, including deep credit, structural, and fundamental analysis, Portfolio Managers: 5 understanding of market technicals and dynamic
Slide 10: II. Ellington Credit Company (NYSE: EARN)
II. Ellington Credit Company (NYSE: EARN) 10
Slide 11: Ellington Credit Company – Credit Highlights
Ellington Credit Company – Credit Highlights EARN is a Market-Leading CLO Closed-End Fund: Franchise value supported by a differentiated approach to CLO portfolio construction, trading, hedging and risk management, driving strong total returns relative to an index of peers. Flexible and Opportun
Slide 12: Portfolio Composition – Comparison to Peers
Portfolio Composition – Comparison to Peers CLO Portfolio Composition vs. Peers (Debt vs. Equity) 28% 52% >99% 98% 98% >99% 100% >99% 72% 48% <1% 2% 2% <1% 0% <1% EARN Peer 1 Peer 2 Peer 3 Peer 4 ¹ Peer 5 Peer 6 Peer 7 CLO Debt CLO Equity CLO Portfolio Composition vs. Peers (Currency & Country of Ri
Slide 13: History of Strong Economic Returns, Before & After CLO Conversion
History of Strong Economic Returns, Before & After CLO Conversion Cumulative Economic Returns YTD 2025, CLO Closed-End Funds1 EARN Peer 1 Peer 2 Peer 3 Peer 4 Peer 5 Peer 6 Peer 7 10.0% 5.0% Peer 3, 2.0% 1.1% 0.0% -5.0% EARN, -6.7% -10.0% Peer 4, -12.8% Peer 2, -13.8% Peer 1, -15.3% -15.0% Peer 6, -
Slide 14: Diversified, Well-Positioned Capital Structure and Credit Hedging Portfolio
Diversified, Well-Positioned Capital Structure and Credit Hedging Portfolio Capitalization Key Leverage and Capitalization Ratios Total Assets: $415.0MM Debt-to-Assets Ratio: 0.48x Relative VaR Ratio1: 101% (vs. 200% limit) Secured Financing Less than half of total $201.0MM capitalization Corporate
Slide 15: The "Derivatives Rule": What It Is and Why It Matters for EARN
The “Derivatives Rule”: What It Is and Why It Matters for EARN EARN operates as a derivatives user under Rule 18f-4 of the Investment Company Act (the “Derivatives Rule”) • Derivatives Risk Management Program implemented and overseen by a designated derivatives risk manager. • Reverse repurchase agr
Slide 16: CLO Investment Process
CLO Investment Process EARN’s investment process involves a combination of top-down and bottom-up approaches that seek to identify and capitalize on market opportunities • Deep and broad relationships across • Automated daily tranche-by-tranche Wall Street analysis, flagging major loan price movemen
Slide 17: Cutting-Edge Technology, Analytics, & Risk Management Systems
Cutting-Edge Technology, Analytics, & Risk Management Systems Ellington’s proprietary model interface allows for real-time, multi-scenario analysis of trade opportunities and associated risks 17
Slide 18: III. Risk Management Framework
III. Risk Management Framework 18
Slide 19: Risk Management Overview
Risk Management Overview Assess current and Analyze with extensive emerging risks data and deep models Key exposures include: • Billions of corporate debt performance metric • Macro credit risk records and decades of • Idiosyncratic and trading data available for concentration risks calibration • Li
Slide 20: Time-Tested Analytics
Time-Tested Analytics Our portfolio analytics seek to The portfolio analytics translate Reports and tools supporting quantify impacts from a wide range into bottom-up liquidity modeling trading and operations integrate of shocks executed at security level model results and risk guidelines Managing n
Slide 21: P&L – Instantaneous Shock Excl. Carry
Macro Credit Risk We use rich, long datasets to train coherent Illustrative CLO Mezzanine Holding1 models across all investments and hedges. Risk Profile and Macro Hedge 30% Fundamental Stress •Reduced 20% corporate •Higher P&L– Instantaneous Shock Excl. Carry earnings defaults Cashflow 10% (% of St
Slide 22: Idiosyncratic and Concentration Risks
Idiosyncratic and Concentration Risks Managing concentrations for a wide range of attributes allows us to reduce vulnerability to idiosyncratic shocks. Underlying Loan Issuer Concentration1 Sector Diversification1 Top 1: 0.7% Top 10 Sectors Remaining Sectors Top 5: 2.6% Banking, Finance, 3.3% 3.1% 2
Slide 23: Liquidity Risks
Liquidity Risks Our analytics allow us to simulate what-ifs, translating market shocks into a cash impact, which we hold as a reserve. We manage our portfolio to net liquidity, defined as cash on demand minus reserves, adjusted for pending activity. Net Liquidity As % of NAV Wide range of deep and l
Slide 24: IV. Portfolio & Financial Summary
IV. Portfolio & Financial Summary 24
Slide 25: CLO Portfolio
CLO Portfolio D D 11.0% 8.6% C A: US CLO Equity 25.6% A $369.5 mm A $249.9 mm 60.6% 50.7% B: EU CLO Equity C 36.9% C: US CLO Debt D: EU CLO Debt B 5.2% B 1.4% As of 12/31/25 As of 3/31/25 CLO portfolio grew by 48% to During the 9 months following We aim to maintain a diversified While we plan to inv
Slide 26: Corporate CLO Underlying Corporate Loans — Detail as of 12/31/25
Corporate CLO Underlying Corporate Loans — Detail as of 12/31/251 B 4% A C A: First Lien, Floating A: High Tech Industries 1% Rate Leveraged Loan - B: Services: Business 11% B: Corporate Bonds B C: Healthcare & Pharma C: Second Lien, M 29% D: Banking/Finance/Insurance/ Floating Rate and 10% Real Est
Slide 27: Corporate Credit Hedges
Corporate Credit Hedges1 Instrument Category Corporate CDS Indices / Tranches / Options Units HY CDX Bond Equivalent Value2 3 0 -20 -40 -60 (In $ Millions) -80 -100 -120 -140 -160 -180 -200 3/31/2025 6/30/2025 9/30/2025 12/31/2025 • We selectively hedge a portion of the credit risk of our CLO portfo
Slide 28: Consolidated Statement of Assets and Liabilities (Unaudited)
Consolidated Statement of Assets and Liabilities (Unaudited) (In thousands, except share and per share amounts) December 31, 2025 Assets Investments, at fair value (cost $395,742) $ 369,885 Cash and cash equivalents 24,271 Due from brokers 12,443 Financial derivatives–assets, at fair value (Net upfr
Slide 29: Income Statement for 9 Months as CLO Closed-End Fund
Income Statement for 9 Months as CLO Closed-End Fund 3 Months Ended 3 Months Ended 3 Months Ended 9 Months Ended (In thousands except share amounts and per share amounts) June 30, 2025 September 30, 2025 December 31, 2025 December 31, 2025 Investment Income Interest Income $ 11,586 $ 13,846 $ 13,456
Slide 30: V. Appendix
V. Appendix Chronology of Conversion & Related Changes at EARN 30
Slide 31: Chronology of Conversion & Related Changes at Ellington Credit Company
Chronology of Conversion & Related Changes at Ellington Credit Company • EARN began acquiring corporate collateralized loan obligations (“CLOs”) in Sept. 2023, a sector that management believes will provide greater risk-adjusted returns for EARN’s shareholders over the long term, with less earnings
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