Ellington Financial Inc. · NYSE:EFC
Ellington Financial — Debt Investor Presentation (March 2025)
47 slides from Ellington Financial's debt investor presentation, March 2025
Slide 1: Presentation to Debt & Preferred Equity Investors
Presentation to Debt & Preferred Equity Investors March 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 Ellington Financial Overview 4 The Ellington Platform 5 Ellington Financial Inc. (NYSE: EFC) 16 Supplemental Information 27 3
Slide 4: Ellington Financial Overview
Ellington Financial Overview Hybrid mortgage REIT with diversified investment portfolio and income stream: residential and commercial mortgage, consumer / corporate loans, as well as multiple proprietary loan origination businesses; ability to shift capital allocation across various asset classes Re
Slide 5: The Ellington Platform
Ellington Financial The Ellington Platform a
Slide 6: About Ellington Management Group
About Ellington Management Group Ellington and its Affiliated Management Companies Ellington Profile • Our external manager Ellington Financial Management LLC is part of the As of 12/31/2024 Ellington family of SEC-registered investment advisors(4) Founded: 1994 Employees: >160 • Ellington Managemen
Slide 7: Ellington Management Group headcount and strategy breakdown
Ellington Management Group Headcount by Department Strategy Breakdown ($bn) Risk Ellington Management Prepayment & EARN $0.2 Sponsored CLO Legal/Compliance/ 4% Related $0.5 Internal Audit 5% Relative Value $0.7 Private Credit $0.6 Treasury & Middle Office Portfolio 7% Management /Trading 28% Adminis
Slide 8: Access to Experienced Management
Access to Experienced Management Years of Years at Experience(3) Ellington(3) • Founder and CEO of Ellington Michael Vranos • Oversees portfolio construction and implementation of hedging strategies at Ellington Co-Chief Investment 42 30 • Former head of RMBS trading and origination at Kidder Peabod
Slide 9: Our Infrastructure Is A Competitive Advantage
Our Infrastructure Is A Competitive Advantage Ellington has over 160 employees supporting approximately $13.7 billion(1) in assets under management Ellington Principals ` Services Agreement Ellington Management Group, L.L.C. Ellington Financial Management LLC Management ` Agreement ` ` Portfolio Man
Slide 10: Integrated Investment Process, with an Emphasis on Risk Management
Integrated Investment Process, with an Emphasis on Risk Management Portfolio Risk Measurement, Risk Management Construction Hedging and Trade Execution and Compliance • CEO, Portfolio Management (PM) • Exposures assessed relative to • Trade suitability and allocation based Committee and Risk Oversig
Slide 11: Ellington’s Approach to Risk Management
Ellington’s Approach to Risk Management Principles Process Protection Trading / Monitor / Portfolio Mitigate: Monitoring Threshold Notification Workflow Spread risk / technical market risk Preserve Capital and Stress Safeguards Testing Risk Fundamental / cashflow / default risk Oversight Daily Group
Slide 12: Access to Robust Compliance and Internal Audit Program
Access to Robust Compliance and Internal Audit Program Compliance Program Extensive Surveillance Infrastructure • Chief Compliance Officer and dedicated team • Oversight integrated with proprietary portfolio management system (automated diagnostics and • Compliance Committee full data transparency)
Slide 13: Ellington’s Technology
Ellington’s Technology ◼ Modeling, research and infrastructure have Trading and Research been at the heart of Ellington’s business Borrower behavior models, collateral surveillance, model since it was founded relative valuation monitoring within and among sectors − Approximately 20% of Ellington’s e
Slide 14: An Integrated Platform
An Integrated Platform Robust infrastructure provides a constant, dynamic feedback loop between Research, Trading, Portfolio Management, and Oversight disciplines • Automated trade allocation • Source, clean, link, aggregate and • Threshold monitoring analyze data to build predictive models: • Trade
Slide 15: Commitment to ESG
Commitment to ESG Environmental Social Governance • Our offices are conveniently located near • We invest in home mortgage loans, which support • Our Manager has a Responsible Investment mass transportation. homeownership and stability within communities. policy incorporating ESG factors into its in
Slide 16: Ellington Financial Inc. (NYSE: EFC)
Ellington Financial Inc. (NYSE: EFC) 16
Slide 17: Portfolio Summary as of December 31, 2024
Portfolio Summary as of December 31, 2024 (1) Allocated Fair Value Average Price WAVG Mkt (2) (3)(7) (5)(7) Equity and Asset Credit Equity ($ in $1,000s) (%) WAVG Life Yield(6)(7) Allocation by Strategy Residential Transition Loans and Other Residential Mortgage Loans (8) $1,127,770 99.4 0.9 10.1% (
Slide 18: Proprietary Loan Origination Businesses
Proprietary Loan Origination Businesses Ellington Financial’s vertically integrated, proprietary loan origination businesses are designed to: • Lock in a steady flow of high-quality loan originations • Leverage Ellington’s core strengths of data analysis and modeling to help shape the underwriting c
Slide 19: Total Return Since Inception
Total Return Since Inception EFC has successfully preserved book value over market cycles, while producing strong results for investors • EFC life-to-date diluted net asset value-based total return from inception in August 2007 through Q4 2024 is approximately 292.6%, or 8.2% annualized(1) Diluted B
Slide 20: Stable Economic Return
Stable Economic Return Standard Deviation of Quarterly Economic Returns of Hybrid REITs, Q1-2011 – Q4-2024(1)(2) Standard Company 16.0% Deviation EFC 3.6% 14.0% Hybrid REIT #02 6.2% 12.0% Hybrid REIT #03 6.3% Hybrid REIT #04 6.9% 10.0% Hybrid REIT #05 9.1% 8.0% Hybrid REIT #06 13.1% Hybrid REIT #07
Slide 21: Resilient Profit Generation Over Market Cycles
Resilient Profit Generation Over Market Cycles(1)(2) COVID Pandemic ($ in thousands) Years Ended 2024 2023(3) 2022 2021 2020 2019 2018 2017 2016 Long: Credit $ 156,663 9.9% $ 103,239 7.7% $ (74,934) -6.0% $188,562 18.1% $53,736 6.2% $73,919 11.1% $61,201 10.0% $61,136 9.6% $36,203 5.3% Credit Hedge
Slide 22: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis(1) Estimated Change in Fair Value As of 12/31/2024 50 Basis Point Decline in Interest Rates 50 Basis Point Increase in Interest Rates ($ in thousands) ∆ Fair Value % of Total Equity ∆ Fair Value % of Total Equity Agency RMBS – Fixed Pools and IOs excluding TBAs $ 6
Slide 23: Agency Interest Rate Hedging Portfolio
Agency Interest Rate Hedging Portfolio We deploy a dynamic and adaptive hedging strategy to preserve book value Agency Interest Rate Hedging Portfolio 12/31/24: Net Agency Pool Exposure Based on Fair Value(2) Short $318.1mm 10-yr Equivalents(1) >5Yr Interest Long Agency Rate Swaps $300 RMBS $284 8.7
Slide 24: Credit Hedging Portfolio
Credit Hedging Portfolio(1)(2) Instrument Corporate CDS Indices/ Tranches/ European Category Options/ Single Names Sovereign Debt CMBX Units HY CDX OTR Bond Equivalent Value(3)(4) Market Value Bond Equivalent Value(4) - (50.00) (100.00) (150.00) (200.00) (250.00) (300.00) (350.00) (400.00) 9/30/2024
Slide 25: Diversified Sources of Financing
Diversified Sources of Financing Recourse Borrowings ($ in thousands) As of 12/31/24 Three-Month Period Ended 12/31/24 Average Average Cost Outstanding Weighted Average Collateral Type Borrowings Borrowing Rate Borrowings of Funds (1) Credit $ 2,137,794 6.46% $ 1,986,061 6.49% Agency RMBS 238,135 4.
Slide 26: EFC Portfolio – Schedule of Unencumbered Assets as of December 31, 2024
EFC Portfolio – Schedule of Unencumbered Assets as of December 31, 2024 Asset Type Fair Value ($000s) (1) Reverse mortgage loans and MSRs $ 145,401 Residential transition loans and other residential mortgage 87,163 loans and REO Non-QM loans and retained RMBS 68,474 Commercial Mortgage Loans and REO
Slide 27: Supplemental Information
Supplemental Information 27
Slide 28: EFC’s Best-in-Class Performance Since Inception
EFC’s Best-in-Class Performance Since Inception Cumulative Total Economic Return Since Inception Percentage of Book Value per Share Since Inception EFC #4 EFC #8 #4 #3 #7 #8 #5 #7 #6 #9 #3 #2 #9 #5 #2 #6 Note: EFC peers are other hybrid mortgage REITs. Above charts have been normalized for stock spl
Slide 29: EFC: Stable Returns During Financial Crises, including 2008…
EFC: Stable Returns During Financial Crises, including 2008… Cumulative Total Economic Return 9/30/07-12/31/08 Percentage of 9/30/07 Book Value per Share, 9/30/07-12/31/08 125% 0% EFC #4 100% EFC (25%) 75% #4 (50%) 50% #5 (75%) #5 25% #3 #3 #2 #2 (100%) 0% 2007 2007 2008 2008 2008 2008 2007 Q42007 2
Slide 30: …and 2020
…and 2020 Hybrid REITs’ 2020 Cumulative Total Economic Return 10% EFC (10%) #3 #5 #2 (30%) #4 #8 (50%) #9 (70%) #6 #7 (90%) (110%) 2019 Q12020 2020 Q22020 2020 Q32020 2020 Q42020 2020 EFC Peer #2 Peer #3 Peer #4 Peer #5 Peer #6 Peer #7 Peer #8 Peer #9 Note: EFC peers are other hybrid mortgage REITs.
Slide 31: Demonstrated Outperformance Managing Agency RMBS Assets
Demonstrated Outperformance Managing Agency RMBS Assets The Ellington platform also has deep expertise in managing Agency assets, as demonstrated by the performance of Ellington Credit Company (NYSE: EARN) Cumulative Total Economic Return Since 3/31/2013 Percentage of 3/31/2013 Book Value per Share
Slide 32: Long Credit Portfolio
Long Credit Portfolio* H H I J I J G G 2% 2% 1% 3% 2% 3% 3% 3% F F A: Residential Transition Loans and other Residential E 5% 5% A Mortgage Loans(3) 5% E A 32% B: Non-QM Loans and Retained RMBS(3)(4) 5% D 38% C: Commercial Mortgage Loans & CMBS(3)(5) 6% D $3.42 bn D: Closed-End Second Lien Loans & H
Slide 33: Diversified Credit Portfolio
Diversified Credit Portfolio Diversified sources of return to perform over market cycles Other Commercial Mortgages • Bridge Loans 4% • CMBS, B-Pieces & Credit Bonds • NPLs • REO 21% Residential Mortgages • Non-QM Loans • Residential Transition Loans • MSR-Related Investments • HELOCs and CES • NPL
Slide 34: Commercial Mortgage Loan Portfolio – Detail as of 12/31/24
Commercial Mortgage Loan Portfolio – Detail as of 12/31/24 (1)(2) Healthcare Mobile Home 3% 2% Self-Storage 1% Office Mixed Use 4% All Other FL 6% States 22% Retail 30% <5% 6% Property Industrial 7% Geography Type NY 63% MI 14% 8% 5% Hotel Multifamily CT 6% IL NJ TX 9% 7% 7% Fixed First Lien 100% 7%
Slide 35: Long Agency Portfolio
Long Agency Portfolio Fixed Fixed IOs RM IOs RM Fixed Fixed 4% 4% 11% 15- 9% 15-Year Year Fixed Fixed 2% 5% $296.7 mm $394.6 mm 83% 82% 30-Year 30-Year Fixed Fixed As of 12/31/2024(1) As of 9/30/2024(1) Wtd. Avg. Fair Value(1) Wtd. Avg. Fair Value(1) Category ($ in MMs) Coupon(2) Category ($ in MMs)
Slide 36: Longbridge Portfolio
Longbridge Portfolio* E E 1% <1% D D 7% 6% A: Proprietary reverse mortgage loans C A 20% C 36% B: Unsecuritized HECM loans(2) 23% C: HMBS MSR Equivalent (3) A $420.2 mm D: Reverse MSRs $494.2 mm 48% E: Other B 26% B 33% As of 12/31/2024(1) As of 9/30/2024(1) • Longbridge originates reverse mortgage
Slide 37: Repo Borrowings
Repo Borrowings(1) Borrowings by Days to Maturity ($ in thousands) Repo Borrowings as of December 31, 2024 Remaining Days to Reverse % of Total Credit Agency U.S. Treasury Total Maturity Mortgage Loans Borrowings >364 Days 8% 30 Days or Less $ 400,698 $ 224,049 $ 227,315 $ - $ 852,062 33.0% 30 Days
Slide 38: Condensed Consolidated Statement of Operations (Unaudited)
Condensed Consolidated Statement of Operations (Unaudited) Year Ended (In thousands, except per share amounts) December 31, 2024 December 31, 2023 Net Interest Income Interest income $ 416,015 $ 370,172 Interest expense (279,606) (262,451) Total net interest income $ 136,409 $ 107,721 Other Income (
Slide 39: Condensed Consolidated Balance Sheet (Unaudited)
Condensed Consolidated Balance Sheet (Unaudited) (in thousands, except share and per share amounts) December 31, 2024 (1) December 31, 2023 (1) Assets Cash and cash equivalents $ 192,387 $ 228,927 Restricted cash 16,561 1,618 Securities, at fair value 962,254 1,518,377 Loans, at fair value 13,999,57
Slide 40: Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings
Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings(1) Year Ended December 31, 2024 Investment (in thousands, except per share amounts) Portfolio Longbridge Corporate/Other Total Net Income (Loss) $ 182,506 $ 37,345 $ (71,747) $ 148,104 Income tax expense (benefit) - - 612 612 Net
Slide 41: Investment Highlights of EFC
Investment Highlights of EFC Diversified investment Proprietary portfolio of high- Dynamic interest-rate and portfolio across residential yielding, short-duration loans credit hedging designed to mortgage, commercial reduce volatility of book value mortgage, consumer loan, and earnings and corporate
Slide 42: Endnotes
Endnotes Slide 6 – About Ellington Management Group (1) $13.7 billion in assets under management includes approximately $0.5 billion in Ellington-managed CLOs. For these purposes, the Ellington-managed CLO figure represents the aggregate outstanding balance of CLO notes and market value of CLO equit
Slide 43: Endnotes
Endnotes Slide 17 – Portfolio Summary as of December 31, 2024 (1) Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. (2) Of deployed capital, 86% allocated to credit, 2% to agency, and 12% to Longbridge. (3) Average price excludes interest only, principa
Slide 44: Endnotes
Endnotes Slide 21 – Resilient Profit Generation Over Market Cycles (1) Gross profit excludes expenses other than interest expense and other investment related expenses. Figures in “%” columns are as a percentage of average total equity for the period which includes common and preferred equity as wel
Slide 45: Endnotes
Endnotes Slide 26– EFC Portfolio – Schedule of Unencumbered Assets as of December 31, 2024 (1) Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. Slide 32 – Long Credit Portfolio (1) Includes REO at the lower of cost or fair value. Excludes hedges and ot
Slide 46: Endnotes
Endnotes Slide 40 – Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings (1) We calculate Adjusted Distributable Earnings as U.S. GAAP net income (loss) as adjusted for: (i) realized and unrealized gain (loss) on securities and loans, REO, mortgage servicing rights, financial deriv
Slide 47: Investor Relations Contacts
JR Herlihy (203) 698-1200 Investors: Investor Relations Ellington Financial Inc. (203) 409-3575 Info@ellingtonfinancial.com Media: Amanda Shpiner or Sara Widmann Gasthalter & Co. for Ellington Financial Inc. (212) 257-4170 Ellington@gasthalter.com Ellington Financial Inc. 53 Forest Ave Old Greenwich
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