Ellington Financial Inc. · NYSE:EFC
Ellington Financial — Investor Presentation (September 2020)
24 slides from Ellington Financial's investor presentation, September 2020
Slide 1: Ellington Financial Inc. (NYSE:EFC)
Ellington Financial Inc. (NYSE:EFC) September 2020
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: Ellington Financial (NYSE:EFC)
Ellington Financial (NYSE:EFC)(1) Mortgage REIT with diversified investment portfolio across residential mortgage, commercial mortgage, consumer loan, and corporate loan sectors Diversified o Ability to shift capital allocation across asset classes as credit and liquidity trends evolve & Hedged o
Slide 4: Experienced External Manager – Ellington Management Group
Experienced External Manager – Ellington Management Group Ellington Profile As of 6/30/2020 Founded: 1994 $10.6 14 22 Years of average 8% Billion in Employee-partners Management’s Employees: >150 assets under industry own the firm(2) ownership of EFC, management as of experience of Investment Profes
Slide 5: Portfolio Summary as of June 30, 2020
Portfolio Summary as of June 30, 2020 Diversified portfolio designed to generate high-quality earnings across market cycles (1) Credit Portfolio Agency RMBS Portfolio Equity Cor por ate Debt ARMs Investment in & Equity & Fixed IOs < 1% 5% Loan Or igination Cor por ate Loans RM Fixed Entities 1% 15%
Slide 6: Portfolio Summary – Detail as of June 30, 2020
Portfolio Summary – Detail as of June 30, 2020 (1) Proprietary portfolio of high-yielding, short-duration loans, and opportunistic securities Average Allocated Fair Value Price WAVG WAVG Equity and Asset Allocation by (2)(6) (4)(6) Strategy Equity ($ in $1,000s) (%) Life Mkt Yield (5)(6) Strategy CR
Slide 7: Diversified Credit Portfolio as of June 30, 2020
Diversified Credit Portfolio as of June 30, 2020 Flexibility to allocate capital to best relative value as market conditions change Other 13% 13% Residential Mortgages - Non-QM Loans - Residential Transition Loans - NPL / RPL 35% 35% - Non-Agency / Non-Conforming - Reverse Mortgages Commercial Mortg
Slide 8: Small Balance Commercial Mortgage Loan Portfolio – Detail
Small Balance Commercial Mortgage Loan Portfolio – Detail(1)(2) Property Type Geography Other, Other, 12% 12% Other, 17% NY, 22% Office, 3% Office, 3% Multifamily, Multifamily 29% Retail, , 29% MO, 5% 11% Retail, 11% UT, 5% Industrial, NJ, 6% FL, 20% 14% Industrial, Hotel, 16% Hotel, 16% 14% Multifa
Slide 9: Credit Hedging Portfolio
Credit Hedging Portfolio(1)(2) Dynamic credit hedging strategy designed to reduce book value volatility Corporate CDS Indices / Tranches / Options / Single Names Single Name ABS CDS and ABX Indices European Sovereign Debt CMBX Units HY CDX OTR Bond Equivalent Value(3)(4) Bond Equivalent Value (4) Ma
Slide 10: Agency Interest Rate Hedging Portfolio
Agency Interest Rate Hedging Portfolio We hedge along the entire yield curve and with TBA short positions to preserve book value As of 6/30/2020 As of 6/30/2020 Short $193.7MM 10-yr equivalents(1) TBAs, 6.7% 2-5 Yr Interest $1,200 Rate Swaps, 5.0% $1,000 $800 2-5 Yr Treasuries Long Agency and Treasu
Slide 11: Stable Economic Return
Stable Economic Return EFC’s economic returns are significantly more consistent than peer group Standard Deviation of Quarterly Economic Returns of Hybrid REITs Standard Deviation of Q1-2011 – Q2-2020(1)(2) Quarterly Economic 16.0% Returns of Hybrid REITs Q1-2011 – Q2-2020 Standard 14.0% Company Dev
Slide 12: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis(1) EFC’s short duration returns principal quickly and reduces book value volatility Estimated Change in Fair Value ($ in thousands) 50 Basis Point Decline in Interest Rates 50 Basis Point Increase in Interest Rates Δ Fair Value % of Total Equity Δ Fair Value % of T
Slide 13: Gross Profit and Loss
Gross Profit and Loss(1) Resilient profit generation through market cycles Six-Month Period Years Ended Ended June 30 ($ In thousands) 2020 2019 2018 2017 2016 2015 2014 Long: Credit $ (79,233) -10.6% $ 73,919 11.6% $ 61,201 10.0% $ 61,136 9.6% $ 36,203 5.3% $ 46,892 6.1% $ 77,636 11.4% Credit Hedge
Slide 14: Diluted Book Value per Share
Total Return Since Inception EFC has successfully preserved book value through 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 Q2 2020 is approximately 184%, or 8.4% annualized(1) $45.00 D
Slide 15: Commitment to ESG
Commitment to ESG Ellington is committed to corporate responsibility. We recognize the importance of environmental, social and governance (―ESG‖) factors, and believe that the implementation of ESG policies will benefit our employees, support long-term shareholder performance, and make a positive im
Slide 16: Investment Highlights of EFC
Investment Highlights of EFC Diversified investment portfolio across residential mortgage, commercial mortgage, consumer loan, and corporate loan sectors • Diverse range of strategies designed to generate a high-quality earnings stream • Ability to shift capital allocation across asset classes as
Slide 17: Supplemental Slides
Ellington Financial Supplemental Slides
Slide 18: Summary of Borrowings
Summary of Borrowings ($ in thousands) As of 6/30/2020 Three-Month Period Ended 6/30/2020 Weighted Outstanding Average Average Average Collateral Type Borrowings Borrowing Rate Borrowings Cost of Funds (1) (1) (1) Credit(1) $1,341,712 3.12% $1,377,059 3.23% Agency RMBS $851,614 0.40% $907,444 1.02%
Slide 19: Repo Borrowings
Repo Borrowings(1) ($ in tho usands) Repo Borrowings as of June 30, 2020 Borrowings by Days to Maturity % of Total Remaining Days to Maturity Credit Agency U.S. Treasury Total Borrowings 3% 15% 19% 30 Days or Less $47,042 $194,313 — $241,355 18.7% 4% 31-90 Days 193,090 567,251 — 760,341 58.8% 91-180
Slide 20: Endnotes
Endnotes Slide 3 – Ellington Financial (NYSE:EFC) (1) Information is as of June 30, 2020, unless otherwise noted. (2) Equity usage for a strategy is based on an internal calculation that reflects the actual amount of capital posted to counterparties in connection with such strategy’s positions (whet
Slide 21: Endnotes
Endnotes Slide 6 – Portfolio Summary – Detail as of June 30, 2020 (1) Excludes hedges and other derivative positions. (2) Average price excludes interest only, principal only, equity tranches and other similar securities and non-exchange traded corporate equity. All averages in this table are weight
Slide 22: Endnotes
Endnotes Slide 9 – Credit Hedging Portfolio (1) The Credit Hedging Portfolio excludes 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 shown
Slide 23: Endnotes
Endnotes Slide 15 – Commitment to ESG (1) See endnote (7) on slide 3. Slide 16 – Investment Highlights of EFC (1) Subject to qualifying and maintaining our qualification as a REIT. (2) See endnote (7) on slide 3. Slide 18 – Summary of Borrowings (1) Includes Other secured borrowings and Other secure
Slide 24: Investor Relations Ellington Financial Inc.
Investors: Investor Relations Ellington Financial Inc. (203) 409-3575 Info@ellingtonfinancial.com Media: Amanda Klein or Kevin FitzGerald Gasthalter & Co. for Ellington Financial Inc. (212) 257-4170 Ellington@gasthalter.com Ellington Financial Inc. 53 Forest Ave Old Greenwich, CT 06870 www.ellington
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