Ellington Financial Inc. · NYSE:EFC
Ellington Financial — Debt Investor Presentation (September 2025)
47 slides from Ellington Financial's debt investor presentation, September 2025
Slide 1: Presentation to Debt & Preferred Equity Investors
Ellington Financial Inc. Presentation to Debt & Preferred Equity Investors September 2025
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 dif
Slide 3: Important Notice (continued)
Important Notice (continued) Projected Yields and Spreads Projected yields and spreads discussed herein are based upon Ellington models and rely on a number of assumptions, including as to prepayment, default and interest rates and changes in home prices. Such models are inherently imperfect and the
Slide 4: Table of Contents
Table of Contents Table of Contents I. The Ellington Management Platform II. Ellington Financial Inc. (NYSE: EFC) III. Risk Management Framework IV. Portfolio & Financial Summary V. Appendix 4
Slide 5: I. The Ellington Management Platform
I. The Ellington Management Platform 5
Slide 6: The Ellington Management Platform
The Ellington Management Platform The Ellington Platform has deep experience in mortgage and structured credit, and utilizes a data-driven approach to investing and risk management Summary Ellington • Ellington Financial Management LLC is the external manager of Ellington As of 6/30/2025 Financial I
Slide 7: Ellington's Risk Management Ethos is the Backbone of EFC's Strategy
Ellington’s Risk Management Ethos is the Backbone of EFC’s Strategy Risk management strategy has been continuously honed since Ellington was founded in 1994 and has enabled Ellington to manage downside risk and outperform through market cycles Highly Diversified Portfolio Construction Emphasizes sec
Slide 8: Management Team with Structured Credit Experience and Foundation in Advanced Mathematics
Management Team with Structured Credit Experience and Foundation in Advanced Mathematics Years of Years at Experience Ellington • Founder and CEO of Ellington Michael Vranos • Oversees portfolio construction and implementation of hedging strategies at Ellington Co-Chief Investment 42 30 • Former hea
Slide 9: Ellington Management's Infrastructure is a Competitive Advantage
Ellington Management’s Infrastructure is a Competitive Advantage Ellington has over 160 employees supporting approximately $16.1 billion in assets under management Sophisticated infrastructure supports rigorous management of credit, interest rate, liquidity, and other risks Ellington Principals ` El
Slide 10: II. Ellington Financial Inc. (NYSE: EFC)
II. Ellington Financial Inc. (NYSE: EFC) 10
Slide 11: Ellington Financial Credit Highlights
Ellington Financial Credit Highlights EFC is a Market Leading Diversified Mortgage REIT: Significant franchise value driven by consistent long-term performance and outsized total returns relative to an index of peers Diversified Investment Portfolio with Attractive Unlevered Risk-Adjusted Returns:
Slide 12: Overview of Ellington Financial Inc.
Overview of Ellington Financial Inc. Ellington Financial is a diversified mortgage REIT with an 18-year track record and market-leading total return performance Summary • Ellington Financial Inc. is a publicly-traded real estate investment trust (“REIT”) that commenced operations in $4.1B+ 1.7x 9.3%
Slide 13: Sector Tailwinds in EFC Target Asset Classes Present Significant Growth Opportunities
Sector Tailwinds in EFC Target Asset Classes Present Significant Growth Opportunities EFC Focus Asset Growth Opportunity Total Addressable Market Short-term first-lien Significant backlog of Residential Transition residential rehab, bridge, aged housing stock, which Loans (“RTL”) and construction lo
Slide 14: EFC's Distinctive Approach to Asset Sourcing
EFC’s Distinctive Approach to Asset Sourcing EFC accesses its target assets through a variety of proprietary origination channels Summary Proprietary Sourcing Competitive Advantages • EFC has differentiated sourcing capabilities for its ✓ Lock in a steady flow of high-quality loan originations targe
Slide 15: Diversified Investment Portfolio with Attractive Unlevered Risk-Adjusted Returns
Diversified Investment Portfolio with Attractive Unlevered Risk-Adjusted Returns Assets generate attractive risk-adjusted returns with limited usage of recourse leverage • Flexible approach allocates capital to the sectors with the best relative value as market conditions change • Analytical experti
Slide 16: EFC is a Market-Leading Diversified Mortgage REIT
EFC is a Market-Leading Diversified Mortgage REIT… 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 H1 2025 is approximately 315.2%, or 8.3%
Slide 17: Delivering Outsized Returns to Shareholders
…Delivering Outsized Returns to Shareholders Ellington Financial has produced attractive total returns relative to select peers • Since the end of 2019, EFC’s return has been consistent through recent market shocks like the COVID-19 Pandemic and a turbulent macroeconomic environment in 2022 that aff
Slide 18: Management Has Successful Track Record Generating Resilient Profit over Market Cycles
Management Has Successful Track Record Generating Resilient Profit over Market Cycles1,2 Ellington has successfully navigated through challenging financial market cycles such as the COVID-19 Pandemic, the Taper Tantrum and the 2008 Global Financial Credit Crisis • Over the past nearly 20 years, only
Slide 19: Demonstrated Stability of Economic Returns via Hedging and Portfolio Management
Demonstrated Stability of Economic Returns via Hedging and Portfolio Management EFC has generated more stable quarterly returns than select peers that use mark-to-market accounting • EFC has produced the most consistent quarterly returns among a select peer group with significantly lower earnings vo
Slide 20: Diversified, Well-Positioned Capital Structure
Diversified, Well-Positioned Capital Structure Ellington Financial maintains low recourse leverage Capitalization1 Key Leverage and Capitalization Ratios ($ in millions) 1.7x Recourse Leverage Ratio3 $6,647 9.3% Unsecured Debt to Recourse Debt3 Comprises ~$2 billion of Non-MTM Secured Borrowings Non
Slide 21: Unencumbered Assets Strengthen Financial Flexibility
Unencumbered Assets Strengthen Financial Flexibility Ellington Financial intends to maintain sufficient unencumbered assets to amplify unsecured debt coverage Unencumbered Asset Pool Composition1 Key Unencumbered Pool Highlights Agency RMBS 6.7 % Cash and Cash Equivalents Other • 3.5x unencumbered a
Slide 22: III. Risk Management Framework
III. Risk Management Framework 22
Slide 23: Three Pillars of EFC Liquidity & Risk Management
Three Pillars of EFC Liquidity & Risk Management Time-Tested Analytics • Bottom-up portfolio models • Liquidity stress simulation • Transparent reporting Deep and Broad Relationships Robust Processes • Strong and diversified financing and • Disciplined review and implementation trading relationships
Slide 24: Time-Tested Analytics
Time-Tested Analytics Our portfolio analytics quantify The portfolio analytics translate Reports and tools supporting impacts from a wide range of into bottom-up liquidity modeling trading and operations integrate shocks executed at individual loan and model results and risk guidelines security leve
Slide 25: Robust Processes and Extensive Established Relationships
Robust Processes and Extensive Established Relationships We have continuously improved our risk management framework over time… 1994 2007 2013 2015 2019 2025 Ellington launched EFC launched 475(f) tax Non-MTM First preferred 33 rated securitizations to with a deeply to tap election better financing
Slide 26: Simulation of a Deep Shock
Simulation of a Deep Shock Our analytics allow us to simulate what-ifs, translating market shocks into liquidity effects. Operational Liquidity Our Systems Would Report1 400 120 20-point drop in CDX HY, 300 comparable to COVID 110 CDX HY Price Operational $, Millions Liquidity (LHS) 200 100 OTR HY C
Slide 27: IV. Portfolio & Financial Summary
IV. Portfolio & Financial Summary 27
Slide 28: Portfolio Summary as of June 30, 2025
Portfolio Summary as of June 30, 20251 Allocated Fair Value Average Price WAVG Mkt Equity and Asset 2 3,7 5,7 6,7 Credit Equity ($ in $1,000s) (%) WAVG Life Yield Allocation by Strategy Non-QM Loans and Retained RMBS 8,9,10 $ 905,973 95.1 4.0 7.6% 2% Residential Transition Loans and Other Residentia
Slide 29: Agency Interest Rate Hedging Portfolio & Net Agency Pool Exposure
Agency Interest Rate Hedging Portfolio & Net Agency Pool Exposure1 Ellington Financial deploys a dynamic and adaptive hedging strategy designed to preserve book value • We hedge along the entire yield curve to protect against volatility, defend book value and more thoroughly control interest rate ri
Slide 30: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis1 Ellington Financial’s dynamic hedging strategy designed to preserve book value volatility across its different portfolios As of 6/30/2025 Immediate 50 Basis Point Decline in Interest Rates Immediate 50 Basis Point Increase in Interest Rates ($ in Thousands) Change
Slide 31: Credit Hedging Portfolio
Credit Hedging Portfolio1,2 Instrument Corporate CDS Indices/ Tranches/ Options/ Single Names CMBX Category Units ($MM) HY CDX OTR Bond Equivalent Value3,4 Bond Equivalent Value4 0.0 (100.0) (200.0) (300.0) (400.0) (500.0) (600.0) 3/31/2025 6/30/2025 • EFC’s dynamic credit hedging strategy seeks to
Slide 32: Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors
Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors Loans Funded and Realized Losses – Cumulative 14.0 $13.3 5% Loans Funded ($B) Cumulative Realized Loss Rate (%)(2) Residential Mortgage Loans(1) 12.0 Since the inception of each of $11.2 our residential mortgage loa
Slide 33: V. Appendix
Ellington Financial i V. Appendix
Slide 34: Prudent Leverage and Diversified Sources of Financing
Prudent Leverage and Diversified Sources of Financing ($ in thousands) Recourse Borrowings (6/30/25) WA Borrowing Rate Credit $2,024,410 6.15% Agency RMBS 194,536 4.52% Borrowings - Credit and Agency RMBS $2,218,946 6.01% Senior Notes, at Par 247,750 5.89% Subordinated Notes 15,000 7.27% Longbridge-
Slide 35: Case Study: 2020 — COVID
Case Study: 2020 — COVID Our risk models allowed us to anticipate the likely range of drawdowns and effects on liquidity levels, providing us with the insights needed to respond nimbly in a short, sharp shock COVID Case Study Cash + Immediate Liquidity Capital + Receivables on GSE-Backed Assets (LHS
Slide 36: Robust Net Cash Flows Continuously Build Liquidity
Robust Net Cash Flows Continuously Build Liquidity • EFC has had consistently positive quarterly net inflows of cash flow over the last 5 years • Cash is reinvested in the business through the purchase and originations of new loans; EFC has deployed over $1 billion per quarter in recent quarters to
Slide 37: Overview of Longbridge Financial
Overview of Longbridge Financial Longbridge is wholly-owned by EFC and is the #2 HMBS issuer Summary • Longbridge Financial, LLC (“Longbridge”) is a reverse mortgage loan originator and servicer, focusing on HECMs through $135MM 2012 various channels MSR Investment Established Portfolio1 • EFC compl
Slide 38: Longbridge Strategy and Key Accounting Impacts
Longbridge Strategy and Key Accounting Impacts Longbridge enhances EFC’s portfolio diversification and franchise value • Longbridge originates reverse mortgage loans, including HECMs, Retaining the HECM MSR allows EFC to earn recurring revenue, with which are insured by the FHA and which are eligibl
Slide 39: Ellington's Conservative Accounting Practices
Ellington’s Conservative Accounting Practices • Fair value option on most financial instruments ― Includes carrying unsecured notes at fair value; have frequently overridden the third-party valuation on certain tranches to a higher valuation resulting in lower book value for EFC ― Frequently take lo
Slide 40: Condensed Consolidated Balance Sheet (Unaudited)
Condensed Consolidated Balance Sheet (Unaudited) (In millions, except per share amounts) June 30, 2025 December 31, 2024 1 December 31, 2023 1 Assets Cash and cash equivalents $211.0 $192.4 $228.9 Restricted cash 19.6 16.6 1.6 Securities, at fair value 938.5 962.3 1,518.4 Loans, at fair value 14,668
Slide 41: Condensed Consolidated Statement of Operations (Unaudited)
Condensed Consolidated Statement of Operations (Unaudited) Six-Month Year Ended Period Ended (In millions, except per share amounts) June 30, 2025 December 31, 2024 December 31, 2023 Net Interest Income Interest income $231.4 $416.0 $370.2 Interest expense (144.8) (279.6) (262.5) Total net interest
Slide 42: Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings
Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings1 Six-Month Period Ended June 30, 2025 Investment (In millions, except per share amounts) Longbridge Corporate / Other Total Portfolio Net Income (Loss) $114.8 $9.7 ($34.1) $90.4 Income tax expense (benefit) -- -- 1.4 1.4 Net inco
Slide 43: Endnotes
Ellington Financial Endnotes
Slide 44: Endnotes
Endnotes Page 6: Source: Company filings. 1. Registration with the SEC does not imply that the firm or any of its principals or employees possess a particular level of skill or training in the investment advisory or any other business. 2. Does not include partners formerly employed by Ellington who
Slide 45: Endnotes
Endnotes Page 15 (continued): 11. Weighted average life assumes “projected” cashflows using Ellington’s proprietary models. Excludes interest only, principal only, equity tranches. REO is excluded from total average calculations. 12. Estimated yields at market prices are management’s estimates deriv
Slide 46: Endnotes
Endnotes Page 28 (continued): 5. Weighted average life assumes “projected” cashflows using Ellington’s proprietary models. Excludes interest only, principal only, equity tranches. 6. Estimated yields at market prices are management’s estimates derived from Ellington’s proprietary models based on pri
Slide 47: Endnotes
Endnotes Page 34: Note: Recourse debt excludes Treasury Repo. Borrowing rates as of 6/30/2025 . 1. Excludes U.S. Treasury Securities. 2. Excludes HMBS-related debt. Page 35: Source: Ellington Management, Bloomberg. Page 36: 1. Cashflows include proceeds from principal and interest payments on loans
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