Ellington Financial Inc. · NYSE:EFC
Ellington Financial — Q1 2026 Earnings Presentation
38 slides from Ellington Financial's earnings presentation, May 6, 2026
Slide 1: Earnings Conference Call Q1 2026
Earnings Conference Call Q1 May 6, 2026 2026 Q1 2026 EARNINGS
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: First Quarter Highlights
First Quarter Highlights(1) • Net income: $95.5 million or $0.78 per share(2) Overall Results • Economic return:(3) 6.0% for the quarter, 26% annualized • Adjusted Distributable Earnings:(4) $66.5 million or $0.55 per share • Net income: $76.4 million or $0.63 per share • Adjustable Distributable Ea
Slide 4: Portfolio Summary as of March 31, 2026
Portfolio Summary as of March 31, 2026(1) Allocated Fair Value Average Price WAVG Mkt Credit (2) Equity ($ in $1,000s) (%) (3)(7) WAVG Life (5)(7) Yield(6)(7) Equity and Asset Allocation by Strategy Non-QM Loans and Retained RMBS(8)(9)(10) $ 1,476,643 94.6 4.0 8.8% <1% (8)(12) Commercial Mortgage Lo
Slide 5: Operating Results by Strategy for the Three-Month Period Ended March 31, 2026
Operating Results by Strategy for the Three-Month Period Ended March 31, 2026 Investment Portfolio Investment Portfolio Corporate/ Total (In thousands, except per share amounts) Credit Agency Subtotal Longbridge Other Total Per Share (1) Interest income and other income $105,573 $ 1,958 $107,531 $ 6
Slide 6: Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings
Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings(1) Three-Month Period Ended March 31, 2026 Investment (in thousands, except per share amounts) Longbridge Corporate/Other Total Portfolio Net Income (Loss) $ 77,550 $ 57,475 $ (27,532) $ 107,493 Income tax expense (benefit) - - 9
Slide 7: Long Credit Portfolio
Long Credit Portfolio* J H I J K I K 2% 3% 2% H 3% 2% 4% 3% G 2% 3% G 2% F A: Non-QM Loans and Retained RMBS(3)(4) F 3% A 3% A B: Commercial Mortgage Loans & CMBS(3)(6) E E 34% 35% C: Residential Transition Loans and other Residential 6% 7% Mortgage Loans and Retained RMBS(3)(5) D $4.27 bn D: Closed
Slide 8: Long Agency Portfolio
Long Agency Portfolio RM Fixed 15-Year Fixed RM Fixed 15-Year Fixed <1% 3% <1% 2% $197.3mm $203.7mm 97% 97% 30-Year 30-Year Fixed Fixed As of 3/31/2026 As of 12/31/2025(1) Fair Value Wtd. Avg. Fair Value(1) Wtd. Avg. (2) Category ($ in MMs) Coupon Category ($ in MMs) Coupon(2) 30-Year Fixed $ 192.0
Slide 9: Longbridge Portfolio
Longbridge Portfolio* E E 1% 1% D D 4% 5% C C 18% A: Proprietary reverse mortgage loans 19% B: Unsecuritized HECM loans(2) A C: HMBS MSR(3) 47% $695.1 mm A D: Reverse MSRs $617.2 mm 52% E: Other(4) B 25% B 28% As of 3/31/2026(1) As of 12/31/2025(1) • Longbridge originates reverse mortgage loans, inc
Slide 10: Summary of Borrowings
Summary of Borrowings Recourse Borrowings ($ in thousands) As of 3/31/26 Three-Month Period Ended 3/31/26 Outstanding Weighted Average Average Average Cost Collateral Type Borrowings Borrowing Rate Borrowings of Funds Credit(1) $ 2,415,840 5.26% $ 2,223,321 5.42% Longbridge-Related Recourse Borrowin
Slide 11: Commercial Mortgage Loan Portfolio – Detail as of 3/31/26
Commercial Mortgage Loan Portfolio – Detail as of 3/31/26(1)(2) Healthcare Mobile Home 2% Self-Storage Industrial 1% 1% 4% Office 5% NY All Other Retail 26% 7% States 35% <5% Mixed Use 7% Property Type Geography 61% 12% Hotel Multifamily FL NJ 7% 23% TX 9% Floating Fixed First Lien without 3% 100% F
Slide 12: 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 13: 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) 20.0 5% Cumulative Loans Funded ($B) Cumulative Loss Rate – Non-Annualized (%)(2) $18.5 18.0 Residential Mortgage Loans(1) $16.7 Since the inceptio
Slide 14: Stable Economic Return
Stable Economic Return Standard Deviation of Quarterly Economic Returns of Hybrid REITs, Q1-2011 – Q4-2025(1)(2) Standard 16.0% Company Deviation EFC 3.5% 14.0% Hybrid REIT #02 6.1% 12.0% Hybrid REIT #03 6.2% Hybrid REIT #04 6.7% 10.0% Hybrid REIT #05 9.1% 8.0% Hybrid REIT #06 12.8% 6.0% Hybrid REIT
Slide 15: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis(1) Estimated Change in Fair Value 3/31/2026 50 Basis Point Decline in Interest Rates 50 Basis Point Increase in Interest Rates ($ in thousands) ∆ Fair Value % of Total Equity ∆ Fair Value % of Total Equity Agency RMBS – Fixed Pools and IOs excluding TBAs $ 4,836 0.
Slide 16: Interest Rate Hedging Portfolio
Interest Rate Hedging Portfolio(1) We deploy a dynamic and adaptive hedging strategy to reduce the volatility of book value and earnings A G 17% A A: >5 Yr Interest Rate Swaps G 22% 25% F 34% B: 2-5Yr Interest Rate Swaps 1% C: <2 Yr Interest Rate Swaps B 12% D: Net Short TBAs $1.33bn $1.05bn E E: <2
Slide 17: Credit Hedging Portfolio
Credit Hedging Portfolio(1)(2) Instrument Corporate CDS Indices/ Tranches/ Category Options/ Single Names CMBX Net Short TBAs Units HY CDX OTR Equivalent Value(3) Bond Equivalent Value(4) HY CDX OTR Equivalent Value(3) - (50.00) (100.00) While TBAs are primarily used to (150.00) hedge mortgage rate
Slide 18: Supplemental Slides
Supplemental Slides Q1 2026 EARNINGS 18
Slide 19: Corporate Responsibility
Corporate Responsibility Environmental Social Governance • Our offices are conveniently located near • We invest in home mortgage loans, which support • We operate under a Code of Business mass transportation. homeownership and stability within communities. Conduct and Ethics. • We provide financial
Slide 20: First Quarter Market Update
First Quarter Market Update Quarter Ended 3/31/2026 Q1/Q4 12/31/2025 Q4/Q3 9/30/2025 Q3/Q2 6/30/2025 (1) UST (%) 3M UST 3.67 +0.05 3.63 -0.31 3.93 -0.36 4.29 2Y UST 3.79 +0.32 3.47 -0.14 3.61 -0.11 3.72 5Y UST 3.94 +0.22 3.73 -0.02 3.74 -0.06 3.80 10Y UST 4.32 +0.15 4.17 +0.02 4.15 -0.08 4.23 30Y US
Slide 21: Derivatives Summary as of March 31, 2026
Derivatives Summary as of March 31, 2026(1) ($ in thousands) Long Notional Short Notional Net Notional Fair Value Mortgage-Related Derivatives: CDS on MBS and MBS Indices $ 182 $ (25,638) $ (25,456) $ 2,205 Total Net Mortgage-Related Derivatives $ 2,205 Corporate-Related Derivatives: CDS on Corporat
Slide 22: Diversified Credit Portfolio
Diversified Credit Portfolio Diversified sources of return to perform over market cycles Other Commercial Mortgages • Bridge Loans 6% • CMBS, B-Pieces & Credit Bonds • NPLs Residential Mortgages • REO • Non-QM Loans • Residential Transition Loans 24% • MSR-Related Investments • HELOCs • Closed-End S
Slide 23: CPR Breakout of Agency Fixed Long Portfolio
CPR Breakout of Agency Fixed Long Portfolio Average for Quarter Ended 3/31/2026(1) Average for Quarter Ended 12/31/2025(1)) Other Jumbo Other Geography Geography <1% 16% Jumbo 16% <1% 23% 23% High High LTV 9% LTV 9% Non- 11% Non- Owner 21% 11% Loan Owner 21% Balance Loan 20% Balance 20% Low Low FICO
Slide 24: Repo Borrowings
Repo Borrowings(1) Borrowings by Days to Maturity ($ in thousands) Repo Borrowings as of March 31, 2026 30 Days Remaining Days to Reverse % of Total or Less Credit Agency U.S. Treasury Total Maturity Mortgage Loans Borrowings 11% 30 Days or Less $ 10,765 $ 188,294 $ 130,683 $ - $ 329,742 11.4% >364
Slide 25: Resilient Profit Generation Over Market Cycles
Resilient Profit Generation Over Market Cycles(1)(2) ($ in thousands) Q1 2026 2025 2024 2023(3) 2022 2021 2020 Long: Credit and Agency $ 64,163 3.3% $ 212,719 12.5% $ 141,759 9.0% $ 106,007 7.9% $ (256,847) -20.5% $170,677 16.4% $99,693 11.5% Credit Hedge and Other 20 0.0% (24,397) -1.4% (13,724) -0
Slide 26: 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 economic return, with dividends reinvested, from inception in August 2007 through Q1 2026 is approximately 355.4%, or 8.5% annualized(1) Diluted
Slide 27: Capital, Leverage & Portfolio Composition
Capital, Leverage & Portfolio Composition Capital Usage By Strategy(1) Total Recourse Leverage (Debt-to-Equity)(3) 4.0 3/31/2026 3.5 3.0 12/31/2025 2.5 1.8x 1.9x 1.9x 2.0 1.7x 9/30/2025 1.5 1.0 6/30/2025 0.5 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 0.0 Credit Agency Longbridge 6/30/2025 9/30/2025
Slide 28: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet (Unaudited) (in thousands, except share and per share amounts) March 31, 2026 December 31, 2025 (1) Assets Cash and cash equivalents $ 163,224 $ 201,893 Restricted cash 28,296 136,297 Securities, at fair value 1,136,825 1,034,882 Loans, at fair value 17,393,161 1
Slide 29: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations (Unaudited) Three-Month Period Ended (In thousands, except per share amounts) March 31, 2026 December 31, 2025 Net Interest Income Interest income $ 149,503 $ 140,260 Interest expense (88,249) (86,623) Total net interest income $ 61,254 $ 53,637 Other I
Slide 30: 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 3/31/2026 Ellington family of SEC-registered investment advisors(4) Founded: 1994 Employees: >170 • Ellington Management
Slide 31: 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 32: Endnotes
Endnotes Slide 3 – First Quarter Highlights (1) Holdings, leverage, equity and book value amounts are as of March 31, 2026. (2) Represents $133.9 million of aggregate net income from the investment portfolio and Longbridge segments, less $38.4 million of preferred dividends accrued and certain corpo
Slide 33: Endnotes
Endnotes Slide 5 – Operating Results by Strategy for the Three-Month Period Ended March 31, 2026 (1) Other income primarily consists of rental income on real estate owned, loan origination fees, and servicing income. Included in the Longbridge segment is also $17 million of litigation settlement inc
Slide 34: Endnotes
Endnotes Slide 7 – Long Credit Portfolio (1) Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. For our consolidated securitization trusts, excludes tranches that were sold to third parties, but that are consolidated for GAAP purposes. Including such tra
Slide 35: Endnotes
Endnotes Slide 13 – Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors (1) For our proprietary reverse mortgage loans, loans funded represent initial borrowing amounts on newly originated reverse mortgage loans and exclude activity subsequent to initial funding; cum
Slide 36: Endnotes
Endnotes Slide 22 – Diversified Credit Portfolio (1) Subject to maintaining our qualification as a REIT. (2) Excludes hedges and other derivative positions. (3) For our consolidated securitization trusts, only retained tranches are included (i.e., excludes tranches sold to third parties). Slide 23 –
Slide 37: Endnotes
Endnotes Slide 30– About Ellington Management Group (1) $22.2 billion AUM includes uncalled capital commitments, if any, and accounts holding solely loans. (2) Does not include partners formerly employed by Ellington who may have residual capital balances but who no longer have voting rights in the
Slide 38: Investors: Investor Relations Ellington Financial Inc.
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, CT 06870 www.ellingtonfi