Ellington Credit Company · NYSE:EARN
Ellington Credit — Q2 2025 Earnings Presentation
24 slides from Ellington Credit's earnings presentation, Aug 20, 2025
Slide 1: Earnings Conference Call
August 20, 2025 Earnings Conference Call Quarter Ended June 30, 2025
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: Quarterly Highlights
Quarterly Highlights • GAAP Net Income: $10.2 million or $0.27 per share Results for • NAV-Based Total Return(1): 19.7% annualized Calendar Q2 / Fiscal Q1 • Net Investment Income: $6.5 million or $0.17 per share • Adjusted Net Investment Income(2): $6.6 million or $0.18 per share Net Asset Value(3)
Slide 4: Market Update
Market Update Calendar Quarter Ended 6/30/25 Q2/Q1 3/31/25 Q1/Q4 12/31/24 Q4/Q3 9/30/24 (2) CLO Tranche Spreads U.S. CLO BBB Tranche Spread 285.0 -15.0 300.0 +15.0 285.0 -15.0 300.0 U.S CLO BB Tranche Spread 625.0 +0.0 625.0 +50.0 575.0 -50.0 625.0 EU CLO BBB Tranche Spread 300.0 -10.0 310.0 +10.0 3
Slide 5: Performance Detail & Portfolio Update
Performance Detail & Portfolio Update 5
Slide 6: Operating Results by Sub-Sector
Operating Results by Sub-Sector Quarter Ended June 30, 2025 ($ in thousands, except share amounts and per U.S. CLO European U.S. CLO European Total Per share amounts) Debt CLO Debt Equity CLO Equity Other(1) Total Share(2) Interest income $ 3,314 $ 696 $ 6,076 $ 455 $ 1,045 $11,586 $ 0.31 Other inve
Slide 7: CLO Portfolio
CLO Portfolio D D 9.8% 8.6% C A: US CLO Equity A 25.6% B: EU CLO Equity C $316.9 mm 49.0% $249.9 mm C: US CLO Debt A 37.2% D: EU CLO Debt 60.6% B 5.2% B 4.0% As of 6/30/25 As of 3/31/25 CLO portfolio grew by 27% to Growth primarily driven by We aim to maintain a diversified While we plan to invest i
Slide 8: Corporate CLO Underlying Corporate Loans— Detail as of 6/30/25
Corporate CLO Underlying Corporate Loans— Detail as of 6/30/25(1) Second Lien, Corporate A: High Tech Industries Floating Rate and Bonds, 4% A First Lien, Fixed B:Banking/Finance/Insurance/ Rate Leveraged - Real Estate 11% Loans M B C: Healthcare & Pharma 1% 26% D: Services: Business 10% E: Hotel, G
Slide 9: CLO Portfolio Underlying Loan Data
CLO Portfolio Underlying Loan Data CLO Portfolio Underlying Loan Data as of 6/30/2025 (1)(2) Number of Unique Underlying Loan Issuers: 2,205 Floating Rate Loan Spread: 3.34% Junior OC Cushion :(3) 4.58% Percentage of Loans that are Senior Secured:(4) 94.7% Loan Credit Rating:(5) B+/B Loan Maturity:
Slide 10: Corporate Credit Hedges
Corporate Credit Hedges(1) Instrument Category Corporate CDS Indices / Tranches / Options Units HY CDX Bond Equivalent Value(2)(3) 0 -5 -10 -15 -20 (In $ Millions) -25 -30 -35 -40 -45 3/31/2025 6/30/2025 • We selectively hedge a portion of the credit risk of our CLO portfolio using a variety of deri
Slide 11: Net Asset Value Summary
Net Asset Value Summary (In thousands except share amounts and per share amounts) June 30, 2025 Assets Investments, at fair value $ 317,279 Cash and cash equivalents 36,644 Other assets 10,023 Total assets 363,946 Liabilities Reverse repurchase agreements 112,669 Other liabilities 21,544 Total liabi
Slide 12: Ellington's CLO Expertise
Ellington’s CLO Expertise 12
Slide 13: About Ellington Management Group
About Ellington Management Group Ellington Profile Ellington and its Affiliated Management Companies As of 6/30/25 • Our external manager Ellington Credit Company Management LLC is part of the Founded: 1994 Ellington family of SEC-registered investment advisors(2). Employees: >160 • Ellington Manage
Slide 14: Ellington's CLO Experience and EARN's CLO Portfolio Growth
Ellington’s CLO Experience and EARN’s CLO Portfolio Growth Ellington’s CLO Experience Strategy Inception: 2012 ➢ Ellington has extensive experience successfully managing CLO investments, including deep credit, structural, and fundamental Investment Professionals: 6 analysis, understanding of market
Slide 15: Ellington's Technology, Analytics & Risk Management Systems
Ellington’s Technology, Analytics & Risk Management Systems • Ellington’s proprietary models and systems allow for detailed, real-time analysis of investment opportunities and their associated risks across scenarios • Highly analytical approach to CLOs facilitates investments in complex segments of
Slide 16: CLO Market Information
LINGTON CREDIT [PANY CLO Market Information
Slide 17: CLO Market Opportunity
CLO Market Opportunity Favorable Characteristics of Corporate CLOs • CLOs present a compelling, well-diversified way to access the CLOs have historically experienced better credit performance than the benchmark broadly syndicated bank loan market, a seasoned, $1.5 trillion (1) leveraged loan index(5
Slide 18: Fundamentals of CLO Collateral and Structure
Fundamentals of CLO Collateral and Structure Illustrative CLO Capital Structure • Collateralized loan obligations are securitizations typically backed by pools of corporate loans and other corporate-credit Principal and Interest Payments related assets. • Underlying loans are typically senior secure
Slide 19: CLO Equity Overview
CLO Equity Overview • CLO equity tranches can offer an attractive return profile for investors, including strong current carry. • The chart below shows historical realized unlevered internal rates of return ("IRRs") by CLO equity vintage, assuming each equity investment was purchased at new issuance
Slide 20: CLO Mezzanine Debt Overview
CLO Mezzanine Debt Overview • CLO mezzanine debt tranches offer several advantages over other corporate credit sectors including: • Attractive yield profiles relative to similarly-rated corporate credit investments • Credit enhancement, allowing structures to withstand significant loss levels • From
Slide 21: Leveraged Loan Performance and Resiliency Over Time
Leveraged Loan Performance and Resiliency Over Time Trailing Twelve Month Morningstar/LSTA Leveraged Loan Default Rate (1) 10.0% TTM Morningstar / LSTA LL Default Rate 8.0% 10-Year Monthly Average 6.0% 4.0% 2.0% 1.5% 1.1% 0.0% • Leveraged loan default rates have historically been lower than those on
Slide 22: Endnotes
Endnotes Slide 3 – Highlights (1) NAV-based total return is computed by adding back distributions to ending NAV/per share and comparing that amount to NAV/per share as of the beginning of the quarter. (2) We calculate Adjusted Net Investment Income as net investment income adjusted for non-recurring
Slide 23: Endnotes
Endnotes Slide 9 – CLO Portfolio Underlying Loan Data (1) The information presented herein is on a look-through basis to the collateralized loan obligation, or “CLO”, tranches (both equity and mezzanine) held by the Fund as of June 30, 2025 and reflects the aggregate underlying exposure of the Fund
Slide 24: Investors: Ellington Credit Company
Investors: Ellington Credit Company (203) 409-3773 info@ellingtoncredit.com Media: Amanda Shpiner/Grace Cartwright Gasthalter & Co. for Ellington Credit Company (212) 257-4170 Ellington@gasthalter.com Ellington Credit Company 53 Forest Ave Old Greenwich, CT 06870 www.ellingtoncredit.com 24
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