Ellington Credit Company · NYSE:EARN
Ellington Credit — Q3 2025 Earnings Presentation
24 slides from Ellington Credit's earnings presentation, Nov 20, 2025
Slide 1: Earnings Conference Call
November 20, 2025 Earnings Conference Call Quarter Ended September 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: Market Update
Market Update Calendar Quarter Ended 9/30/25 Q3/Q2 6/30/25 Q2/Q1 3/31/25 Q1/Q4 12/31/24 (2) CLO Tranche Spreads U.S. CLO BBB Tranche Spread 260 -25 285 -15 300 15 285 U.S CLO BB Tranche Spread 560 -65 625 0 625 50 575 EU CLO BBB Tranche Spread 285 -15 300 -10 310 10 300 EU CLO BB Tranche Spread 535
Slide 4: Quarterly Highlights
Quarterly Highlights • GAAP Net Income: $4.3 million or $0.11 per share Results for • NAV-Based Total Return(1): 9.6% annualized Calendar Q3 / Fiscal Q2 • Net Investment Income: $8.5 million or $0.23 per share • Adjusted Net Investment Income(2): $8.5 million or $0.23 per share Net Asset Value(3) •
Slide 5: Performance Detail & Portfolio Update
Performance Detail & Portfolio Update 5
Slide 6: Operating Results by Sub-Sector
Operating Results by Sub-Sector Quarter Ended September 30, 2025 ($ 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 $ 5,161 $ 1,256 6,728 $ 420 $ 281 $13,846 $ 0.37 Other i
Slide 7: CLO Portfolio
CLO Portfolio D D 11.5% 9.8% A A: US CLO Equity A $379.6 mm 48.7% B: EU CLO Equity C C $316.9 mm 49.0% C: US CLO Debt 37.4% 37.2% D: EU CLO Debt B 4.0% B 2.4% As of 9/30/25 As of 6/30/25 CLO portfolio grew by 20% to Growth driven by net purchases of We aim to maintain a diversified While we plan to
Slide 8: Corporate CLO Underlying Corporate Loans— Detail as of 9/30/25
Corporate CLO Underlying Corporate Loans— Detail as of 9/30/25(1) Second Lien, Corporate Floating Rate and Bonds, 4% A First Lien, Fixed A: High Tech Industries Rate Leveraged - 11% B:Banking/Finance/Insurance/Rea Loans M l Estate 1% 26% B C: Healthcare & Pharma 10% D: Services: Business E: Hotel, G
Slide 9: CLO Portfolio Underlying Loan Data
CLO Portfolio Underlying Loan Data CLO Portfolio Underlying Loan Data as of 9/30/2025 (1)(2) Number of Unique Underlying Loan Issuers: 2,216 Floating Rate Loan Spread: 3.28% Junior OC Cushion :(3) 4.57% Percentage of Loans that are Senior Secured:(4) 95.6% 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 -10 -20 -30 -40 (In $ Millions) -50 -60 -70 -80 -90 -100 6/30/2025 9/30/2025 • We selectively hedge a portion of the credit risk of our CLO portfolio using a variety o
Slide 11: Net Asset Value Summary
Net Asset Value Summary (In thousands except share amounts and per share amounts) September 30, 2025 Assets Investments, at fair value $ 380,272 Cash and cash equivalents 20,085 Other assets 15,383 Total assets 415,740 Liabilities Reverse repurchase agreements 175,333 Other liabilities 15,320 Total
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 9/30/25 • Our external manager Ellington Credit Company Management LLC is part of the Founded: 1994 Ellington family of SEC-registered investment advisors(3). Employees: >170 • 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% 9.0% TTM Morningstar / LSTA LL Default Rate 8.0% 7.0% 10-Year Monthly Average 6.0% 5.0% 4.0% 3.0% 2.0% 1.5% 1.0% 1.4% 0.0% • Leveraged loan default rates have historically
Slide 22: Endnotes
Endnotes Slide 3 –Market Update (1) Source: Bloomberg (2) Source: BofA Global Research (3) Source: PitchBook | LCD, Morningstar Slide 4 – Quarterly Highlights (1) Total return based on NAV is calculated assuming shares of the Fund’s common stock were purchased at the NAV per share at the beginning o
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 September 30, 2025 and reflects the aggregate underlying exposure of the
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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