Slide 1: Earnings Conference Call Q2 2026
Earnings Conference Call Q2 August 7, 2026 2026 Q2 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: Second Quarter Highlights
Second Quarter Highlights(1) • Net income: $54.4 million or $0.43 per share, including unallocated Corporate/Other Overall Results • Economic return:(2) 3.2% for the quarter, 13.6% annualized • Adjusted Distributable Earnings:(3) $75.5 million or $0.60 per share, including unallocated Corporate/Othe
Slide 4: Portfolio Summary as of June 30, 2026
Portfolio Summary as of June 30, 2026(1) Equity and Asset Fair Value Average Price WAVG Mkt Allocation by Segment(2) (3)(6) (4)(6) (5)(6) Investment Portfolio Segment ($ 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
Slide 5: Operating Results by Segment for the Three-Month Period Ended June 30, 2026
Operating Results by Segment for the Three-Month Period Ended June 30, 2026 Investment Corporate/ Total (In thousands, except per share amounts) Portfolio Longbridge Other Total Per Share (1) Interest income and other income $ 119,933 $ 53,350 $ 1,531 $ 174,814 $ 1.37 Interest expense (52,643) (30,6
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 June 30, 2026 Investment (in thousands, except per share amounts) Longbridge Corporate/Other Total Portfolio Net Income (Loss) $ 72,907 $ 30,248 $ (45,120) $ 58,035 Income tax expense (benefit) - - 52
Slide 7: Long Investment Portfolio
Long Investment Portfolio* J K I J K H L L I 3% 2% 2% 2% 2% 3% H 4% 2% 2% A: Non-QM Loans and Retained RMBS(3)(4) G 2% G B: Commercial Mortgage Loans & CMBS(3)(6) 3% 3% F C: Residential Transition Loans and other Residential F 4% A 4% A Mortgage Loans and Retained RMBS(3)(5) 33% E 34% D: Closed-End
Slide 8: Longbridge Portfolio
Longbridge Portfolio* D D 5% 4% C C 18% 20% A: Proprietary reverse mortgage loans A B: Unsecuritized HECM loans(2) $649.3 mm 48% C: HMBS MSR(3) $695.1 mm A 52% D: Reverse MSRs B 26% B 27% As of 6/30/2026(1) As of 3/31/2026(1) • Longbridge segment generated excellent results, with positive contributi
Slide 9: Longbridge Origination and Submission Volumes
Longbridge Origination and Submission Volumes(1) Originations by Product(2) Submission Volumes(4) $ in millions $589.7 $ in millions $529.7 $870.8 $498.6 $515.4 $427.1 $744.5 $316.2 $725.6 $727.2 $273.7 $338.5 $276.0 $648.6 $277.5 $185.0 $112.7 $481.3 $256.0 $273.5 $225.7 $242.1 $221.0 $239.3 Q1 202
Slide 10: Longbridge: MSR Investment Portfolio
Longbridge: MSR Investment Portfolio HMBS MSR(1) Three-Month Period Ended Three-Month Period Ended (in thousands) June 30, 2026 March 31, 2026 (in thousands) June 30, 2026 March 31, 2026 Beginning Balance $ 128,210 $ 118,320 Net Servicing Revenue $ 14,956 $ 13,866 Originations 10,930 8,561 Change in
Slide 11: Summary of Borrowings
Summary of Borrowings Recourse Borrowings ($ in thousands) As of 6/30/26 Three-Month Period Ended 6/30/26 Outstanding Weighted Average Average Average Cost Collateral Type Borrowings Borrowing Rate Borrowings of Funds Total Recourse Borrowings (1) $ 3,984,015 5.50% $ 4,085,078 5.60% Senior Notes, at
Slide 12: Commercial Mortgage Loan Portfolio – Detail as of 6/30/26
Commercial Mortgage Loan Portfolio – Detail as of 6/30/26(1)(2) Healthcare Mobile Home Self-Storage 3% 1% 1% Office Industrial 4% Mixed 4% NY All Other Use States 26% 7% 35% <5% 8% Property Retail Type Geography 59% 13% Multifamily NJ FL Hotel 7% 24% TX 8% Fixed Floating First Lien without 5% 100% F
Slide 13: 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 14: 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 (%)(2) Residential Mortgage Loans(1) Since the inception of each of $20.
Slide 15: Stable Economic Return
Stable Economic Return Standard Deviation of Quarterly Economic Returns of Hybrid REITs, Q1-2011 – Q1-2026(1)(2) Standard 16.0% Company Deviation EFC 3.5% 14.0% Hybrid REIT #02 6.1% 12.0% Hybrid REIT #03 6.1% Hybrid REIT #04 6.6% 10.0% Hybrid REIT #05 9.0% 8.0% Hybrid REIT #06 12.7% 6.0% Hybrid REIT
Slide 16: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis(1) Estimated Change in Fair Value 6/30/2026 50 Basis Point Decline in Interest Rates 50 Basis Point Increase in Interest Rates ($ in thousands) ∆ Fair Value % of Total Equity ∆ Fair Value % of Total Equity Agency RMBS – Fixed Pools and IOs excluding TBAs $ 3,493 0.
Slide 17: 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 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 $(1.33)b
Slide 18: Credit Hedging Portfolio
Credit Hedging Portfolio(1)(2) Instrument Corporate CDS Indices/ Tranches/ Category Options/ Single Names CMBX Net Short TBAs Units HY CDX OTR Equivalent Value(3) Bond Equivalent Value(4) HY CDX OTR Equivalent Value(3) - (50.00) (100.00) While TBAs are primarily used to (150.00) hedge mortgage rate
Slide 19: Supplemental Slides
Supplemental Slides Q2 2026 EARNINGS 19
Slide 20: Corporate Responsibility
Corporate Responsibility Environmental Social Governance • Our offices are conveniently located near • We invest in home mortgage loans, which support • We operate under a Code of Business mass transportation. homeownership and stability within communities. Conduct and Ethics. • We provide financial
Slide 21: Second Quarter Market Update
Second Quarter Market Update Quarter Ended 6/30/2026 Q2/Q1 3/31/2026 Q1/Q4 12/31/2025 Q4/Q3 9/30/2025 (1) UST (%) 3M UST 3.81 +0.14 3.67 +0.05 3.63 -0.31 3.93 2Y UST 4.17 +0.38 3.79 +0.32 3.47 -0.14 3.61 5Y UST 4.23 +0.28 3.94 +0.22 3.73 -0.02 3.74 10Y UST 4.47 +0.15 4.32 +0.15 4.17 +0.02 4.15 30Y U
Slide 22: Derivatives Summary as of June 30, 2026
Derivatives Summary as of June 30, 2026(1) ($ in thousands) Long Notional Short Notional Net Notional Fair Value Mortgage-Related Derivatives: CDS on MBS and MBS Indices $ 177 $ (9,198) $ (9,021) $ 1,125 Total Net Mortgage-Related Derivatives $ 1,125 Corporate-Related Derivatives: CDS on Corporate B
Slide 23: Diversified Investment Portfolio
Diversified Investment Portfolio Diversified sources of return to perform over market cycles Other Commercial Mortgages • Bridge Loans Residential Mortgages 5% • CMBS, B-Pieces & Credit Bonds • Non-QM Loans • NPLs • Residential Transition Loans • REO • MSR-Related Investments 24% • HELOCs • Closed-E
Slide 24: Repo Borrowings
Repo Borrowings(1) Borrowings by Days to Maturity ($ in thousands) Repo Borrowings as of June 30, 2026 Remaining Days to Agency Pass- % of Total 30 Days U.S. Treasury Other Total Maturity Throughs Borrowings or Less 8% 30 Days or Less $ 110,005 $ 139,584 $ 3,185 $ 252,774 8.2% >364 Days 31-90 Days -
Slide 25: Resilient Profit Generation Over Market Cycles
Resilient Profit Generation Over Market Cycles(1)(2) ($ in thousands) H1 2026 2025 2024 2023(3) 2022 2021 2020 Long: Credit and Agency $ 102,160 5.2% $ 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 (6,206) -0.3% (24,397) -1.4% (13,
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 Q2 2026 is approximately 370.3%, or 8.5% annualized(1) Diluted
Slide 27: Capital, Leverage & Portfolio Composition
Capital, Leverage & Portfolio Composition Capital Usage By Segment(1) Total Recourse Leverage (Debt-to-Equity)(3) 2.5 6/30/2026 2.0 1.9x 1.9x 1.9x 1.8x 3/31/2026 1.5 12/31/2025 1.0 0.5 9/30/2025 0.0 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 9/30/2025 12/31/2025 3/31/2026 6/30/2026 Investment Portf
Slide 28: Condensed Consolidated Balance Sheet (Unaudited)
Condensed Consolidated Balance Sheet (Unaudited) (in thousands, except share and per share amounts) June 30, 2026 March 31, 2026 Assets Cash and cash equivalents $ 247,473 $ 163,224 Restricted cash 42,373 28,296 Securities, at fair value 1,230,743 1,136,825 Loans, at fair value 17,874,430 17,393,161
Slide 29: Condensed Consolidated Statement of Operations (Unaudited)
Condensed Consolidated Statement of Operations (Unaudited) Three-Month Period Ended (In thousands, except per share amounts) June 30, 2026 March 31, 2026 Net Interest Income Interest income $ 170,837 $ 149,503 Interest expense (98,551) (88,249) Total net interest income $ 72,286 $ 61,254 Other Incom
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 6/30/2026 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 – Second Quarter Highlights (1) Holdings, leverage, equity and book value amounts are as of June 30, 2026. (2) Economic return is based on book value per share. (3) Adjusted Distributable Earnings, is a non-GAAP financial measure. See slide 6 for a reconciliation of Adjusted Distrib
Slide 33: Endnotes
Endnotes Slide 5 – Operating Results by Segment for the Three-Month Period Ended June 30, 2026 (1) Other income primarily consists of rental income on real estate owned, loan origination fees, and servicing income. (2) Includes U.S. Treasury securities, if applicable. (3) Other activities include ce
Slide 34: Endnotes
Endnotes Slide 7 – Long Investment 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
Slide 35: Endnotes
Endnotes Slide 12- Commercial Mortgage Loan Portfolio – Detail as of 6/30/26 (1) Percentages are of unpaid principal balance. (2) Includes our allocable portion of certain small-balance commercial loans, based on our ownership percentage, held in entities in which we and certain affiliates of Elling
Slide 36: Endnotes
Endnotes Slide 18 – Credit Hedging Portfolio (1) The Credit Hedging Portfolio may exclude both legs of certain relative value trades which we believe do not affect the overall hedging position of the portfolio. Consequently, the amounts shown here may differ materially (i) from those that would be s
Slide 37: Endnotes
Endnotes Slide 26 – Total Return Since Inception (1) Total return is based on $18.61 net diluted book value per share at inception in August 2007 and is calculated assuming the reinvestment of dividends at diluted book value per share and assumes all convertible units were converted into common shar
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