Slide 1: Ellington Financial Inc. (NYSE:EFC)
Ellington Financial Inc. (NYSE:EFC) May 28, 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) 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 Pro
Slide 4: Experienced External Manager – Ellington Management Group
Experienced External Manager – Ellington Management Group Ellington Profile As of 3/31/2020 Founded: 1994 $9.7 14 21 Years of average 8% Billion in Employee-partners Management’s Employees: >150 assets under industry own the firm(2) ownership of EFC, management as of experience of Investment Profess
Slide 5: Portfolio Summary as of March 31, 2020
Portfolio Summary as of March 31, 2020 Diversified portfolio designed to generate high-quality earnings across market cycles (1) Credit Portfolio Agency RMBS Portfolio Equity Cor por ate Debt Investment in & Equity & ARMs Fixed IOs Loan Or igination Cor por ate Loans < 1% 4% RM Fixed Entities 1% 13%
Slide 6: Portfolio Summary – Detail as of March 31, 2020
Portfolio Summary – Detail as of March 31, 2020 (1) Proprietary portfolio of high-yielding, short-duration loans, and opportunistic securities Average Allocated Fair Value Price WAVG WAVG Equity and Asset Allocation by (2)(6) (4)(6) (5)(6) Strategy Equity ($ in $1,000s) (%) Life Mkt Yield Strategy C
Slide 7: Diversified Credit Portfolio as of March 31, 2020
Diversified Credit Portfolio as of March 31, 2020 Flexibility to allocate capital to best relative value as market conditions change Other 12% Residential Mortgages - Non-QM Loans - Residential Transition Loans - NPL / RPL 40% - Non-Agency / Non-Conforming Commercial Mortgages - Reverse Mortgages -
Slide 8: 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 (3)(4) (4) (4) Units HY CDX OTR Bond Equivalent Value Bond Equivalent Val
Slide 9: 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 3/31/2020 As of 3/31/2020 Short $243.5MM 10-yr equivalents(1) $1,200 TBAs, <2 Yr Interest 19.9% Rate Swaps, $1,000 3.3% Eurodollar Futures, 0.1% Long $800 Agency RMB
Slide 10: Stable Economic Return
Stable Economic Return EFC’s economic returns are significantly more consistent than peer group Standard Deviation of Quarterly Economic Returns of Hybrid REITs Standard Deviation of Q1-2011 – Q4-2019(1)(2) Quarterly Economic 14.0% Returns of Hybrid REITs Q1-2011 – Q4-2019 EFC 2.2% 12.0% Hybrid REIT
Slide 11: Interest Rate Sensitivity Analysis
Interest Rate Sensitivity Analysis(1) EFC’s short duration returns principal quickly and reduces book value volatility Estimated Change in Fair Value ($ 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 12: Gross Profit and Loss
Gross Profit and Loss(1) Resilient profit generation through market cycles Three-Month Period Years Ended Ended March 31 ($ In thousands) 2020 2019 2018 2017 2016 2015 2014 Long: Credit $ (118,307) -15.1% $ 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 H
Slide 13: 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 Q1 2020 is approximately 168%, or 8.1% annualized(1) $45.00 D
Slide 14: Commitment to ESG
Commitment to ESG Ellington is committed to corporate responsibility. We recognize the importance of environmental, social and governance (“ESG”) factors, and believe that the implementation of ESG policies will benefit our employees, support long-term shareholder performance, and make a positive im
Slide 15: Investment Highlights of EFC
Investment Highlights of EFC Diversified investment portfolio across residential mortgage, commercial mortgage, consumer loan, and corporate loan sectors • Diverse range of strategies designed to generate a high-quality earnings stream • Ability to shift capital allocation across asset classes as
Slide 16: Supplemental Slides
Ellington Financial Supplemental Slides
Slide 17: Summary of Borrowings
Summary of Borrowings ($ in thousands) As of 3/31/2020 Three-Month Period Ended 3/31/2020 Weighted Outstanding Average Average Average Collateral Type Borrowings Borrowing Rate Borrowings Cost of Funds (1) (1) (1) (1) Credit $1,473,064 3.08% $1,428,921 3.44% Agency RMBS $1,287,030 1.64% $1,747,434 1
Slide 18: Repo Borrowings
Repo Borrowings(1) ($ in tho usands) Repo Borrowings as of March 31, 2020 Borrowings by Days to Maturity % of Total Remaining Days to Maturity Credit Agency U.S. Treasury Total Borrowings 2% 1% 16% 19% 30 Days or Less $37,567 $353,826 $1,654 $393,047 19.3% 31-90 Days 321,625 932,842 — 1,254,467 61.7
Slide 19: Endnotes
Endnotes Slide 3 – Ellington Financial (NYSE:EFC) (1) 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 (whether in the form of haircut, initial margin, prime brokerage requ
Slide 20: Endnotes
Endnotes Slide 6 – Portfolio Summary – Detail as of March 31, 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 weigh
Slide 21: Endnotes
Endnotes Slide 9 – 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 that
Slide 22: Endnotes
Endnotes Slide 17 – Summary of Borrowings (1) Includes Other secured borrowings and Other secured borrowings, at fair value. (2) All of our non-recourse borrowings are secured by collateral. In the event of default under a non-recourse borrowing, the lender has a claim against the collateral but not
Slide 23: 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