Ellington Credit Company · NYSE:EARN
Ellington Credit — Q1 2026 Earnings Presentation
25 slides from Ellington Credit's earnings presentation, May 20, 2026
Slide 1: Earnings Conference Call
May 20, 2026 Earnings Conference Call Quarter Ended March 31, 2026
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 3/31/26 Q1/Q4 12/31/25 Q4/Q3 9/30/25 Q3/Q2 6/30/25 (2) CLO Tranche Spreads U.S. CLO BBB Tranche Spread 300 +20.0 280 +20.0 260 -25 285 U.S CLO BB Tranche Spread 650 +15.0 635 +75.0 560 -65 625 EU CLO BBB Tranche Spread 360 +60.0 300 +15.0 285 -15 300 EU CLO BB Tr
Slide 4: Quarterly Highlights
Quarterly Highlights • GAAP Net Loss: $(32.3) million or $(0.86) per share Results for • NAV-Based Total Return(1): (17.1)% non-annualized Calendar Q1 / Fiscal Q4 • Net Investment Income: $5.1 million or $0.13 per share • Adjusted Net Investment Income(2): $7.3 million or $0.19 per share • Net Asset
Slide 5: Performance Detail & Portfolio Update
Performance Detail & Portfolio Update 5
Slide 6: Operating Results by Sub-Sector
Operating Results by Sub-Sector Quarter Ended March 31, 2026 ($ in thousands, except share amounts and per U.S. CLO European U.S. CLO European Total Per (1) share amounts) Debt CLO Debt Equity CLO Equity Other Total Share(2) Interest income $ 4,613 $ 1,015 6,128 $ 26 $ 384 $ 12,166 $ 0.32 Other inve
Slide 7: CLO Portfolio
CLO Portfolio D D 9% 11% A: US CLO Equity A B: EU CLO Equity A C $307.9 mm 52% $369.5 mm 51% C: US CLO Debt C 38% D: EU CLO Debt 37% B B 1% 1% As of 3/31/2026 As of 12/31/2025 CLO portfolio decreased by 17% Consistent with our active trading We aim to maintain a diversified While we plan to invest i
Slide 8: Corporate CLO Underlying Corporate Loans — Detail as of 3/31/26
Corporate CLO Underlying Corporate Loans — Detail as of 3/31/26(1) B C 4% A A: First Lien, Floating 1% A: High Tech Industries Rate Leveraged Loan - 11% B: Corporate Bonds B: Services: Business C: Second Lien, B C: Healthcare & Pharma L Floating Rate and 33% 10% D: Banking/Finance/Insurance/ First L
Slide 9: CLO Portfolio Underlying Loan Data
CLO Portfolio Underlying Loan Data CLO Portfolio Underlying Loan Data as of 3/31/2026 (1)(2) Number of Unique Underlying Loan Issuers: 1,967 Floating Rate Loan Spread: 3.10% Junior OC Cushion :(3) 4.29% Percentage of Loans that are Senior Secured:(4) 95.5% Loan Credit Rating:(5) B+/B Loan Maturity:
Slide 10: Credit Hedging Portfolio
Credit Hedging Portfolio(1) Instrument Category Corporate CDS Indices / Tranches / Options Units HY CDX Bond Equivalent Value(2)(3) 0 -20 -40 -60 -80 In $ Millions) -100 -120 -140 -160 -180 -200 12/31/2025 3/31/2026 • We selectively hedge a portion of the credit risk of our CLO portfolio using a var
Slide 11: Net Asset Value Summary
Net Asset Value Summary (In thousands except share amounts and per share amounts) March 31, 2026 Assets Investments, at fair value $ 308,363 Cash and cash equivalents 57,726 Other assets 20,838 Total assets 386,927 Liabilities Reverse repurchase agreements 166,274 Unsecured borrowings, at fair value
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 3/31/26 • 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 Expertise Strategy Inception: 2012 ➢ Ellington has extensive experience successfully managing CLO investments, including deep credit, structural, and fundamental Investment Professionals: 6 analysis, understanding of market t
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% 10-Year Monthly Average 7.0% 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. Issuance includes refinancings and resets. (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 purch
Slide 23: Endnotes
Endnotes Slide 6 – Operating Results by Sub-Sector (1) Includes interest income and net realized and change in unrealized gains (losses) associated with corporate debt and equity investments. Also includes management fees, performance fees, and various other operating expenses. (2) Based on weighted
Slide 24: Endnotes
Endnotes Slide 17 – CLO Market Opportunity (1) Source: LCD. Loan market size based on the size of the Morningstar LSTA US Leveraged Loan Index as of March 31, 2026. (2) Source: LCD. Gross loan issuance data calculated through March 31, 2026. (3) Source: LCD. (4) Source: BofA Global Research. CLO mar
Slide 25: 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 25
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