Ellington Financial Inc. · NYSE:EFC
Ellington Financial — Q1 2025 Earnings Presentation
38 slides from Ellington Financial's earnings presentation, May 8, 2025
Slide 1: Earnings Conference Call Q1 2025
Earnings Conference Call Q1 May 8, 2025 2025 Q1 2025 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: $31.6 million or $0.35 per share(2) Overall Results • Economic return:(3) 2.3% for the quarter, non-annualized • Adjusted Distributable Earnings:(4) $35.5 million or $0.39 per share • Net income: $57.1 million or $0.63 per share • Credit strategy: • Net inco
Slide 4: Portfolio Summary as of March 31, 2025
Portfolio Summary as of March 31, 2025(1) Allocated Fair Value Average Price WAVG Mkt (2) Equity and Asset (3)(7) (5)(7) Credit Equity ($ in $1,000s) (%) WAVG Life Yield(6)(7) Allocation by Strategy Residential Transition Loans and Other Residential Mortgage Loans (8) $ 1,002,345 99.3 1.0 10.2% 2% N
Slide 5: Operating Results by Strategy for the Quarter Ended March 31, 2025
Operating Results by Strategy for the Quarter Ended March 31, 2025 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 $ 87,077 $ 4,140 $ 91,217 $ 23,056 $ 1,7
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, 2025 Investment (in thousands, except per share amounts) Longbridge Corporate/Other Total Portfolio Net Income (Loss) $ 57,403 $ (995) $ (17,084) $ 39,324 Income tax expense (benefit) - - (96
Slide 7: Long Credit Portfolio
Long Credit Portfolio* H I H I J J 1% 2% G 2% 2% 3% G 3% 3% 3% F F A: Residential Transition Loans and other Residential 6% A 5% A E Mortgage Loans(2) E 31% 32% 5% B: Non-QM Loans and Retained RMBS(2)(3) 5% C: Commercial Mortgage Loans & CMBS(2)(4) D $3.30 bn D: Closed-End Second Lien Loans & HELOCs
Slide 8: Long Agency Portfolio
Long Agency Portfolio RM Fixed Fixed 15- Fixed IOs IOs RM Year 1% 5% Fixed 4% Fixed 3% 11% 15-Year Fixed 2% $256.1 mm $296.7 mm 83% 91% 30-Year 30-Year Fixed Fixed As of 3/31/2025(1) As of 12/31/2024(1) Fair Value(1) Wtd. Avg. Fair Value(1) Wtd. Avg. (2) Category ($ in MMs) Coupon Category ($ in MMs
Slide 9: Longbridge Portfolio
Longbridge Portfolio* E E <1% 1% D D 5% 7% C 19% A: Proprietary reverse mortgage loans A C 36% B: Unsecuritized HECM loans(2) 23% C: HMBS MSR Equivalent (3) $549.0 mm A $420.2 mm D: Reverse MSRs 52% E: Other B 24% B 33% As of 3/31/2025(1) As of 12/31/2024(1) • Longbridge originates reverse mortgage
Slide 10: Summary of Borrowings
Summary of Borrowings Recourse Borrowings ($ in thousands) As of 3/31/25 Three-Month Period Ended 3/31/25 Average Average Cost Outstanding Weighted Average Collateral Type Borrowings Borrowing Rate Borrowings of Funds Credit(1) $ 2,023,591 6.30% $ 2,106,510 6.50% Agency RMBS 197,644 4.49% 220,630 4.
Slide 11: Commercial Mortgage Loan Portfolio – Detail as of 3/31/25
Commercial Mortgage Loan Portfolio – Detail as of 3/31/25 (1)(2) Mobile Home Office 2% Self-Storage 1% Retail 4% 6% All Other FL Mixed 22% States Use 7% 32% <5% Industrial 7% Property Type Geography 63% NY 10% Multifamily Hotel IL 19% 5% CT 6% TX NJ 7% 9% Fixed First Lien 100% 7% Seniority Interest
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: Stable Economic Return
Stable Economic Return Standard Deviation of Quarterly Economic Returns of Hybrid REITs, Q1-2011 – Q4-2024(1)(2) Standard 16.0% Company Deviation EFC 3.6% 14.0% Hybrid REIT #02 6.2% 12.0% Hybrid REIT #03 6.3% Hybrid REIT #04 6.9% 10.0% Hybrid REIT #05 9.1% 8.0% Hybrid REIT #06 13.1% 6.0% Hybrid REIT
Slide 14: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis(1) Estimated Change in Fair Value As of 3/31/2025 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 $ 6,
Slide 15: Supplemental Slides
Supplemental Slides Q1 2025 EARNINGS 15
Slide 16: Commitment to ESG
Commitment to ESG 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 suppor
Slide 17: First Quarter Market Update
First Quarter Market Update Quarter Ended 3/31/2025 Q1/Q4 12/31/2024 Q4/Q3 9/30/2024 Q3/Q2 6/30/2024 (1) UST (%) 3M UST 4.29 -0.02 4.31 -0.30 4.62 -0.74 5.35 2Y UST 3.88 -0.36 4.24 +0.60 3.64 -1.11 4.75 5Y UST 3.95 -0.43 4.38 +0.82 3.56 -0.82 4.38 10Y UST 4.21 -0.36 4.57 +0.79 3.78 -0.62 4.40 30Y US
Slide 18: Derivatives Summary as of March 31, 2025
Derivatives Summary as of March 31, 2025(1) ($ in thousands) Long Notional Short Notional Net Notional Fair Value Mortgage-Related Derivatives: CDS on MBS and MBS Indices $ 205 $ (29,486) $ (29,281) $ 1,782 Total Net Mortgage-Related Derivatives $ 1,782 Corporate-Related Derivatives: CDS on Corporat
Slide 19: Credit Hedging Portfolio
Credit Hedging Portfolio(1)(2) Instrument Corporate CDS Indices/ Tranches/ European Category Options/ Single Names Sovereign Debt CMBX Units HY CDX OTR Bond Equivalent Value(3)(4) Market Value Bond Equivalent Value(4) - (50.00) (100.00) (150.00) (200.00) (250.00) (300.00) (350.00) (400.00) (450.00)
Slide 20: Diversified Credit Portfolio
Diversified Credit Portfolio Diversified sources of return to perform over market cycles Other Commercial Mortgages • Bridge Loans 3% • CMBS, B-Pieces & Credit Bonds • NPLs • REO Residential Mortgages 23% • Non-QM Loans • Residential Transition Loans • MSR-Related Investments • HELOCs • Closed-End S
Slide 21: Agency Interest Rate Hedging Portfolio
Agency Interest Rate Hedging Portfolio(1) We deploy a dynamic and adaptive hedging strategy to preserve book value C C 4.8% 8.7% A: >5 Yr Interest Rate Swaps B: 2-5Yr Interest Rate Swaps A 45.4% B 43.3% $294.2mm A C: <2 Yr Interest Rate Swaps $318.1mm 51.9% B 45.9% As of 3/31/2025 As of 12/31/2024 S
Slide 22: Agency Interest Rate Hedging Portfolio (continued)
Agency Interest Rate Hedging Portfolio (continued) Net Agency Pool Exposure Based on Fair Value(1) As of 3/31/2025 As of 12/31/2024 Long Agency Pools $300 $284 $200 Long Agency $200 Pools $243 Net Long Exposure to Agency Pools $100 $256 ($ in millions) ($ in millions) Net Long Exposure to Agency Poo
Slide 23: CPR Breakout of Agency Fixed Long Portfolio
CPR Breakout of Agency Fixed Long Portfolio Average for Quarter Ended 3/31/2025(1) Average for Quarter Ended 12/31/2024(1) Geography Other Geography Other 21% 20% 26% 25% Jumbo MHA <1% <1% Jumbo <1% 7% Non- 6% 20% Non- Loan 24% Owner Owner 8% Balance 6% Loan Balance High High LTV 18% 19% LTV Low Low
Slide 24: Repo Borrowings
Repo Borrowings(1) Borrowings by Days to Maturity ($ in thousands) Repo Borrowings as of March 31, 2025 Remaining Days to Reverse % of Total Credit Agency U.S. Treasury Total Maturity Mortgage Loans Borrowings >364 Days 30 Days 30 Days or Less $ 56,232 $ 188,477 $ 260,814 $ - $ 505,523 19.7% 6% or L
Slide 25: Resilient Profit Generation Over Market Cycles
Resilient Profit Generation Over Market Cycles(1)(2) Three-Month COVID Period Ended Pandemic ($ in thousands) March 31 Years Ended 2025 2024 2023(3) 2022 2021 2020 2019 2018 2017 Long: Credit $ 53,147 3.3% $ 156,663 9.9% $ 103,239 7.7% $ (74,934) -6.0% $188,562 18.1% $53,736 6.2% $73,919 11.1% $61,2
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 diluted net asset value-based total return from inception in August 2007 through Q1 2025 is approximately 301.9%, or 8.2% annualized(1) Diluted B
Slide 27: Capital, Leverage & Portfolio Composition
Capital, Leverage & Portfolio Composition Capital Usage By Strategy(1) Leverage by Strategy (Debt-to-Equity)(1) 10.0 3/31/2025 8.8 8.8 8.5 8.4 8.3 8.8 8.7 12/31/2024 8.0 8.3 9/30/2024 6.7 6.0 5.9 5.4 6/30/2024 4.3 4.0 6/30/2024 9/30/2024 12/31/2024 3/31/2025 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 10
Slide 28: Condensed Consolidated Balance Sheet (Unaudited)
Condensed Consolidated Balance Sheet (Unaudited) (in thousands, except share and per share amounts) March 31, 2025 December 31, 2024 (1) Assets Cash and cash equivalents $ 203,288 $ 192,387 Restricted cash 14,027 16,561 Securities, at fair value 943,281 962,254 Loans, at fair value 14,274,158 13,999
Slide 29: Condensed Consolidated Statement of Operations (Unaudited)
Condensed Consolidated Statement of Operations (Unaudited) Three-Month Period Ended (In thousands, except per share amounts) March 31, 2025 December 31, 2024 Net Interest Income Interest income $ 115,913 $ 106,743 Interest expense (72,656) (68,613) Total net interest income $ 43,257 $ 38,130 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 3/31/2025 Ellington family of SEC-registered investment advisors(4) Founded: 1994 Employees: >160 • 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 Mrach 31, 2025. (2) Includes $(24.4) million of preferred dividends accrued and certain corporate/other income and expense items not attributed to either the investment portfolio or Longbridge
Slide 33: Endnotes
Endnotes Slide 5 – Operating Results by Strategy for the Quarter Ended March 31, 2025 (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 certain equ
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 – Stable Economic Return (1) Source: Company filings. (2) Economic return is computed by adding back dividends to ending book value per share and comparing that amount to book value per share as of the beginning of the quarter. Slide 14 – Interest Rate Sensitivity Analysis (1) The
Slide 36: Endnotes
Endnotes Slide 21 – Agency Interest Rate Hedging Portfolio (1) Agency interest rate hedges are shown in normalized units of risk, with each group of positions measured in “10-year equivalents; “10-year equivalents” for a group of positions represent the amount of 10-year U.S. Treasury securities tha
Slide 37: Endnotes
Endnotes Slide 28– Condensed Consolidated Balance Sheet (Unaudited) (1) Derived from audited financial statements as of December 31, 2024. (2) Common shares issued and outstanding at March 31, 2025 includes 3,750,388 shares of common stock issued under our ATM program during the three-month period e
Slide 38: Investors:
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