Ellington Residential Mortgage REIT (NYSE:EARN) Q3 2020 Results Earnings Conference Call November 5, 2020 11:00 AM ET Company Participants Jason Frank - Deputy General Counsel and Secretary Larry Penn - Chief Executive Officer Mark Tecotzky - Co-Chief Investment Officer Chris Smernoff - Chief Financial Officer Conference Call Participants Doug Harter - Credit Suisse Mikhail Goberman - JMP Securities Operator Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Residential ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 Title of Each Class Trading Symbol(s) Name of Each Exchange on Which Registered Common Shares of Beneficial Interest, $0.01 par value per share EARN The New York Stock Exchange FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition ...

Financial Data and Key Metrics Changes - For Q2 2020, the company reported net income of $21.3 million or $1.73 per share, compared to a net loss of $16.7 million or $1.35 per share in Q1 2020 [10] - Core earnings were $3.2 million or $0.26 per share, slightly down from $3.4 million or $0.27 per share in the previous quarter [10] - The net interest margin improved by 66 basis points to 1.86%, driven by significantly lower borrowing costs [11] - Book value per share increased by 12.9% to $12.80 at June 30 from $11.34 at March 31 [12] Business Line Data and Key Metrics Changes - The company increased its non-Agency RMBS portfolio by 458% quarter-over-quarter, while Agency RMBS holdings grew by 6.8% [13] - Average pay-ups on specified pools rose to 2.69% as of June 30, compared to 1.67% as of March 31 [11] Market Data and Key Metrics Changes - The MOVE Index, which measures interest rate volatility, returned to pre-crisis levels in mid-April after reaching its highest point since the 2008 financial crisis in March [6] - The 10-year treasury traded in a tight 33 basis point range in Q2, compared to a 134 basis point range in Q1 [6] Company Strategy and Development Direction - The company capitalized on market recovery by enhancing liquidity and avoiding forced asset sales during market stresses [9][30] - The management emphasized the importance of risk and liquidity management principles to navigate through market volatility [9][30] - The company plans to continue focusing on both Agency and non-Agency MBS to drive returns [30] Management's Comments on Operating Environment and Future Outlook - Management expressed optimism about the second half of the year, citing strong performance and attractive investment opportunities [29][30] - The company acknowledged challenges such as record high levels of prepayments and an ultra-low interest rate environment but believes these conditions play to its strengths [31][32] Other Important Information - The company maintained its dividend throughout the period despite low interest rates and high volatility [30] - The management highlighted the impact of technological changes due to COVID-19, which are expected to lead to faster prepayment speeds [25][26] Q&A Session Summary Question: How does the risk profile look different with current production TBAs? - Management noted that TBAs improve liquidity but may introduce some negative convexity due to their sensitivity to prepayments [35][36] Question: How have pay-ups trended in July and early August? - Pay-ups have been well supported, with stability returning to the market due to aggressive Fed actions [38][39] Question: Update on book value performance in Q3? - Management refrained from providing specific updates but indicated that pay-ups and low volatility are supportive of book value [41] Question: Clarification on opportunistic investments in CMBS? - Management clarified that they added non-Agency RMBS during Q2, not CMBS, taking advantage of market conditions [42] Question: Explanation for the spike in professional fees? - The spike was due to expensing deferred offering costs related to the expiration of the current S-3 shelf registration and ATM program [43]

Financial Performance - Net income for the three-month period ended June 30, 2020, was $21.3 million, compared to a loss of $0.1 million for the same period in 2019[238]. - For the six-month period ended June 30, 2020, net income was $4.6 million, down from $8.8 million in the same period of 2019, attributed to a decrease in total other income and net interest income[251]. - Interest income for the three-month period ended June 30, 2020, was approximately $3.5 million, down from $11.7 million in the same period of 2019[239]. - Interest income for the six-month period ended June 30, 2020, was $12.3 million, a decline from $23.6 million in 2019, primarily due to lower average holdings and yields[254]. - Other income for the three-month period ended June 30, 2020, was $21.9 million, a substantial increase from a loss of $(1.3) million in 2019, mainly due to gains on Agency RMBS and financial derivatives[248]. - Other income for the six-month period ended June 30, 2020, was $2.7 million, primarily from net realized gains of $30.0 million on Agency RMBS, offset by losses of $(26.0) million on financial derivatives[261]. Asset Management - The company's overall RMBS portfolio increased by approximately 10% to $1.154 billion as of June 30, 2020, compared to $1.051 billion as of March 31, 2020[182]. - The company's Agency RMBS holdings increased by 6.8% to $1.098 billion from $1.027 billion during the same period[181]. - Non-Agency RMBS holdings increased more than fivefold to $42.0 million as of June 30, 2020, from $7.5 million as of March 31, 2020[181]. - The total Agency RMBS portfolio was valued at $1,097,583,000 as of June 30, 2020, with a fair value increase from $1,374,683,000 as of December 31, 2019[218]. - The company turned over approximately 13% of its Agency RMBS portfolio during the three-month period ended June 30, 2020, generating net realized gains of $4.7 million[249]. - For the six-month period ended June 30, 2020, the company turned over approximately 29% of its Agency RMBS portfolio, generating net realized gains of $8.7 million[261]. Liquidity and Capital Management - As of June 30, 2020, the company had cash and cash equivalents of $50.9 million and unencumbered assets of approximately $45.1 million[185]. - The company expects that its sources of funds will be sufficient to meet both short-term and long-term liquidity needs[263]. - The company strategically reduced the size of its portfolio to enhance liquidity in response to market volatility caused by COVID-19[229]. - Dividends paid during the six-month period ended June 30, 2020, amounted to $6.9 million, with a total cash holding increase from $35.4 million to $50.9 million[275]. - The company utilized $377.1 million in repo activities, resulting in a net cash increase of $23.5 million when combined with financing activities[275]. Debt and Leverage - The overall debt-to-equity ratio declined to 6.8:1 as of June 30, 2020, from 7.2:1 as of March 31, 2020[183]. - The debt-to-equity ratio improved to 5.8:1 as of June 30, 2020, down from 7.9:1 as of March 31, 2020, indicating better leverage management[204]. - The company's total debt-to-equity ratio improved to 5.6:1 as of June 30, 2020, down from 8.1:1 as of December 31, 2019[229]. - As of June 30, 2020, total borrowings outstanding under repurchase agreements were $909.8 million, with a weighted interest rate of 0.38%[229]. Interest Rates and Economic Conditions - The U.S. Federal Reserve maintained its target range for the federal funds rate at 0.00%–0.25% during the second quarter, indicating ongoing accommodative monetary policy[177]. - The 10-year U.S. Treasury yield finished the second quarter at 0.66%, virtually unchanged from the start of the quarter[177]. - U.S. real GDP shrank at an estimated annualized rate of 32.9% in the second quarter, reflecting the negative impact of the COVID-19 pandemic[179]. - Forbearance rates on residential mortgages rose sharply, finishing the quarter at 8.4% as of June 30, 2020[179]. - The average cost of funds for the six-month period ended June 30, 2020, was 1.13%, down from 2.56% in 2019, reflecting lower interest rates[255]. Risk Management - The company actively manages market risks, including interest rate risk, prepayment risk, and credit risk, to maintain capital levels consistent with those risks[287]. - The company is exposed to credit risk primarily related to its non-Agency RMBS, influenced by factors such as poor origination practices and economic conditions[297]. - Default risk arises from borrowers failing to make principal and interest payments on mortgage loans, with the company potentially using credit default swaps to mitigate this risk[298]. - Severity risk involves potential losses from property value declines and foreclosure costs when borrowers default on mortgage loans[299]. - Economic conditions, including job loss and personal events, can significantly impact credit risk associated with real estate loans[297]. Shareholder Equity - The company's book value per share was $12.80 as of June 30, 2020, compared to $11.34 as of March 31, 2020, and $12.91 as of December 31, 2019[176]. - Shareholders' equity decreased to $157.7 million as of June 30, 2020, from $160.8 million as of December 31, 2019[231]. - The company has repurchased a total of 434,171 common shares at an average price of $9.45, with an aggregate cost of $4.1 million under the current repurchase program[279].

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 Title of Each Class Trading Symbol(s) Name of Each Exchange on Which Registered Common Shares of Beneficial Interest, $0.01 par value per share EARN The New York Stock Exchange FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition peri ...

Ellington Residential Mortgage REIT (NYSE:EARN) Q1 2020 Earnings Conference Call May 6, 2020 11:00 AM ET Company Participants Jason Frank - Deputy General Counsel & Secretary Laurence Penn - CEO, President & Trustee Christopher Smernoff - CFO Mark Tecotzky - Co-CIO Conference Call Participants Joshua Bolton - Crédit Suisse Mikhail Goberman - JMP Securities Operator Good morning, ladies and gentlemen. Thank you for standing by, and welcome to the Ellington Residential Mortgage REIT 2020 First Quarter Financi ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number 001-35896 Ellington Residential Mortgage REIT (Exact Name of Registrant as Specified in Its Charter) Maryland 46-0687599 (State or Other Jurisdictio ...

Financial Performance - Net income for the three-month period ended September 30, 2019, was $3.7 million, compared to $0.9 million for the same period in 2018, reflecting a significant improvement [226]. - Interest income for the three-month period ended September 30, 2019, was approximately $10.5 million, down from $13.2 million in 2018, primarily due to lower average holdings in the Agency RMBS portfolio [227]. - Total interest expense for the three-month period ended September 30, 2019, was $8.8 million, slightly up from $8.5 million in 2018, driven by higher rates on repo borrowings [231]. - Core Earnings for the three-month period ended September 30, 2019, were $0.85 million, while Adjusted Core Earnings were $2.42 million [225]. - Total Other Income for the three-month period ended September 30, 2019, was $3.4 million, a reversal from a loss of $(2.4) million in the prior period [226]. - The company reported a net income per common share of $0.30 for the three-month period ended September 30, 2019, compared to $0.07 in 2018 [226]. Portfolio and Asset Management - As of September 30, 2019, the overall RMBS portfolio decreased by 4.4% to $1.395 billion compared to $1.459 billion as of June 30, 2019 [176]. - The total RMBS portfolio was valued at $1.39 billion as of September 30, 2019, with a fair value of $1.38 billion [207]. - The investment portfolio included $1.29 billion in Agency RMBS as of September 30, 2019, with a fair value of $1.37 billion [207]. - The company anticipates diversifying its portfolio primarily towards Agency RMBS, with lesser focus on non-Agency RMBS and mortgage-related assets [285]. - The company turned over approximately 47% of its Agency RMBS portfolio during the nine-month period ended September 30, 2019, generating net realized gains of $2.4 million [252]. Debt and Borrowings - The debt-to-equity ratio decreased to 8.6:1 as of September 30, 2019, down from 8.9:1 as of June 30, 2019 [176]. - The company had outstanding borrowings under repurchase agreements amounting to $1.3 billion as of September 30, 2019 [167]. - The total debt-to-equity ratio as of September 30, 2019, was 8.7:1, compared to 9.6:1 as of December 31, 2018 [218]. - The average outstanding repo borrowings for the nine-month period ended September 30, 2019, was $1.40 billion, with an average cost of funds of 2.63% [245]. - As of September 30, 2019, the company had $1.3 billion of outstanding borrowings with 14 counterparties [277]. Interest Rates and Economic Factors - The Federal Reserve reduced the target range for the federal funds rate by 25 basis points to 2.00%–2.25% in July 2019, marking its first reduction since 2008 [169]. - The Freddie Mac Survey 30-year mortgage rate decreased by 9 basis points to end the quarter at 3.64% [169]. - The average borrowing cost of repo declined to 2.50% for the three-month period ended September 30, 2019, down from 2.69% for the previous period [192]. - The average one-month LIBOR was 2.18%, compared to 2.11% in 2018 [233]. Risk Management - The company actively manages market risks, primarily related to interest rate risk, prepayment risk, and credit risk, to maintain capital levels consistent with these risks [280]. - Interest rates are highly sensitive to various factors, and the company hedges its interest rate risk through instruments such as interest rate swaps and U.S. Treasury securities [281]. - A sensitivity analysis indicates that a decrease of 100 basis points in interest rates could result in a market value decrease of $3.4 million, representing a 2.22% impact on total equity [283]. - Default risk involves the possibility of borrowers failing to make payments, which the company attempts to mitigate through credit default swaps and reliance on third-party mortgage servicers [289]. - Severity risk pertains to the loss of value upon borrower default, including costs associated with foreclosure and property liquidation, which the company also seeks to manage [290]. Shareholder Information - The book value per share was $12.42 as of September 30, 2019, compared to $12.40 as of June 30, 2019 [168]. - The company declared dividends of $0.34 per share for the first quarter of 2019, totaling $4.2 million, and $0.28 per share for the second and third quarters, totaling $3.5 million and $3.5 million respectively [267]. - Shareholders' equity increased to $154.6 million as of September 30, 2019, from $153.8 million as of December 31, 2018, driven by net income of $12.6 million [219].

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2019 or ¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number 001-35896 Ellington Residential Mortgage REIT (Exact Name of Registrant as Specified in Its Charter) Maryland 46-0687599 (State or Other Jurisdi ...

Financial Performance - Net income for the three-month period ended March 31, 2019, was $8.9 million, compared to a net loss of $(3.95) million for the same period in 2018[201]. - The book value per share increased to $12.69 as of March 31, 2019, from $12.30 as of December 31, 2018, resulting in an economic return of 5.9% for the quarter[169]. - Core Earnings for the three-month period ended March 31, 2019, was $2.37 million, down from $4.28 million in 2018, while Adjusted Core Earnings was $3.31 million compared to $4.43 million in 2018[204]. - Total expenses for the three-month period ended March 31, 2019, were $1.37 million, down from $1.52 million in the same period in 2018[201]. - The expense ratio increased to 3.5% for the three-month period ended March 31, 2019, compared to 3.3% in 2018, due to a decrease in average shareholders' equity[215]. Portfolio and Investment - As of March 31, 2019, the total mortgage-backed securities portfolio decreased by 3.1% to $1.492 billion from $1.540 billion as of December 31, 2018[156]. - The total portfolio of financial derivatives–assets at fair value decreased to $5.5 million as of March 31, 2019, from $11.8 million as of December 31, 2018[191]. - Total RMBS portfolio as of March 31, 2019, was valued at $1.48 billion, with a fair value of $1.48 billion[188]. - Total fixed-rate Agency RMBS amounted to $1,309,559 million as of March 31, 2019, reflecting a 27% increase from the previous quarter[166]. - The company intends to actively trade a diversified portfolio primarily consisting of Agency RMBS, with a lesser extent of non-Agency RMBS and mortgage-related assets[246]. Debt and Borrowings - The debt-to-equity ratio improved to 8.9:1 as of March 31, 2019, down from 9.2:1 at the end of 2018, due to a smaller portfolio and a higher equity base[156]. - The company had outstanding borrowings under repurchase agreements amounting to $1.4 billion as of March 31, 2019[149]. - Total borrowings outstanding under repurchase agreements as of March 31, 2019, were $1.43 billion, with a weighted average interest rate of 2.70%[199]. - The average outstanding repo borrowings for the three-month period ended March 31, 2019, was $1.42 billion, with an average cost of funds of 2.70%[209]. - The weighted average contractual haircut for collateral on outstanding repo borrowings was 5.2% as of March 31, 2019[222]. Interest Rates and Economic Indicators - The Federal Reserve maintained the target range for the federal funds rate at 2.25%-2.50% during the first quarter of 2019[151]. - U.S. GDP growth for the first quarter of 2019 was reported at 3.2%, an increase from 2.2% in the previous quarter[151]. - The average borrowing cost of repo for the three-month period ended March 31, 2019, was 2.70%, compared to 2.44% for the previous quarter[172]. - The weighted average yield of the portfolio for the three-month period ended March 31, 2019, was 3.36%, compared to 2.99% in 2018, resulting in a net interest margin of 0.83%[213]. Risk Management - The company actively manages market risks, primarily related to interest rate risk, prepayment risk, and credit risk, to maintain capital levels consistent with these risks[241]. - Interest rate risk is significant for the company, with most assets and liabilities being sensitive to interest rate changes, influenced by various economic and political factors[242]. - The company faces prepayment risk, which can affect the rate at which principal is returned on mortgage loans, influenced by interest rates and borrower behavior[247]. - Credit risk is particularly relevant for non-Agency RMBS, with potential losses arising from various factors including poor origination practices and economic conditions[248]. - Default risk is managed through selective use of credit default swaps and reliance on third-party mortgage servicers, although these servicers may lack incentives to mitigate loan default rates[249]. Cash Flow and Dividends - For the three-month period ended March 31, 2019, the company generated net cash of $4.8 million from operating activities and $84.4 million from investing activities[230]. - The company declared a dividend of $0.34 per share for the first quarter of 2019, totaling $4.2 million[230]. - Cash and cash equivalents increased from $18.6 million as of December 31, 2018 to $44.3 million as of March 31, 2019[229]. - The company used $58.8 million in net cash for repo activity related to the purchase of securities during the same period[230].