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, 2023 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 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 (Exact Name of Registrant as Specified in Its Charter) (State or Other Jurisdiction of Incorporation o ...

Financial Performance - Net income for the quarter was $124 million, or $075 per share[31] - Adjusted distributable earnings were $46 million, or $027 per share[32] - The company's economic return was 77% for the quarter[71] - Net interest margin was 219% overall, with 202% on Agency and 628% on credit[71] Portfolio Composition and Strategy - Agency RMBS holdings decreased by 8% to $7280 million as of December 31, 2023, compared to $7905 million as of September 30, 2023[73] - CLO holdings increased more than fourfold to $174 million during the fourth quarter[4] - The company's Agency RMBS portfolio turnover was 25% for the quarter[46] - Aggregate holdings of interest-only securities and non-Agency RMBS decreased by 13% over the same period[46] - The company had a net long TBA position of $367 million as of December 31, 2023[9] Capital Structure and Leverage - Shareholders' equity was $1362 million, with a book value per share of $732[72] - The company's debt-to-equity ratio was 54:1, or 53:1 adjusted for unsettled purchases and sales[72] - The net mortgage assets-to-equity ratio was 65:1[9]

Financial Data and Key Metrics Changes - In Q4 2023, the company reported net income of $0.75 per share and adjusted distributable earnings (ADE) of $0.27 per share, with a non-annualized economic return of 7.7% [19][25][28] - The overall net interest margin expanded to 2.19% from 1.34% quarter-over-quarter, driven by higher asset yields and a lower cost of funds [27] - Book value per share increased to $7.32 at year-end from $7.02 at September 30 [28] Business Line Data and Key Metrics Changes - The Agency RMBS holdings decreased by 8% sequentially to $728 million as of December 31, with a portfolio turnover of 25% for the quarter [29] - The CLO portfolio increased by $13.6 million during the quarter, with a total size of approximately $30 million by year-end, reflecting a 70% increase from the previous year [22][30] - The credit net interest margin, including CLOs and non-agency RMBS, increased to 6.28% from 4.55% [27] Market Data and Key Metrics Changes - Medium and long-term interest rates declined overall for the quarter despite earlier spikes, with the 30-year Freddie mortgage survey rate finishing lower [9][10] - Credit spreads on both high yield and investment-grade tightened significantly over the quarter, with prices on the Morningstar LSTA Leveraged Loan Index rising [11][15] Company Strategy and Development Direction - The company is focusing on diversifying its portfolio by increasing investments in CLOs, which now represent 17% of total equity, while reducing its Agency MBS holdings [68] - The management believes that the CLO strategy will stabilize and enhance returns over time, as it is expected to generate attractive returns across market cycles [74][68] - The company anticipates that the Federal Reserve's shift from a tightening to a supportive stance will benefit the Agency MBS market [63][50] Management's Comments on Operating Environment and Future Outlook - Management noted that the fourth quarter was characterized by significant market volatility, but they successfully navigated these fluctuations to maintain portfolio integrity [13][36] - The company expects continued strength in the CLO market due to declining credit market risks and anticipates further inflows into high-yield and leveraged loans [61][52] - Management expressed optimism about future performance, citing factors such as low supply relative to Treasury supply and lower volatility [65][66] Other Important Information - The company ended the quarter with $61 million in cash plus unencumbered assets, approximately 45% of total equity [28] - The debt-to-equity ratio adjusted for unsettled trades decreased to 5.3:1 from 7.3:1, primarily due to an increase in shareholders' equity [30] Q&A Session Summary Question: How do you see the equity allocation to CLOs playing out? - Management expressed enthusiasm for the CLO strategy, indicating that they would like to see it grow as much as possible, while acknowledging constraints related to REIT regulations [74][75] Question: What are your thoughts on the leverage ratio going forward? - Management indicated that leverage will be blended based on the appropriate levels for each asset class, with potential for increasing leverage in CLOs as conditions allow [89][90] Question: What interest rate environment is needed for a meaningful pickup in prepay speeds? - Management noted that while prepayment speeds have been benign, significant moves in rates would be necessary for many of the coupons held to become refinanceable [92][93]

Ellington Residential (EARN) came out with quarterly earnings of $0.27 per share, beating the Zacks Consensus Estimate of $0.23 per share. This compares to earnings of $0.25 per share a year ago. These figures are adjusted for non-recurring items.This quarterly report represents an earnings surprise of 17.39%. A quarter ago, it was expected that this residential mortgage real estate investment trust would post earnings of $0.25 per share when it actually produced earnings of $0.21, delivering a surprise of ...

OLD GREENWICH, Conn.--(BUSINESS WIRE)--Ellington Residential Mortgage REIT (NYSE: EARN) ("we", "us," or "our") today reported financial results for the quarter ended December 31, 2023. Highlights Net income (loss) of $12.4 million, or $0.75 per share. Adjusted Distributable Earnings1 of $4.6 million, or $0.27 per share. Book value of $7.32 per share as of December 31, 2023, which includes the effects of dividends of $0.24 per share for the quarter. Net interest margin2 of 2.02% on Agency, 6.28% o ...

Exhibit 99.1 Ellington Residential Mortgage REIT Reports Fourth Quarter 2023 Results OLD GREENWICH, Connecticut—March 6, 2024 Ellington Residential Mortgage REIT (NYSE: EARN) ("we", "us," or "our") today reported financial results for the quarter ended December 31, 2023. Highlights Fourth Quarter 2023 Results "During the fourth quarter, Ellington Residential generated net income of $0.75 per share and a non-annualized economic return of 7.7%, while Adjusted Distributable Earnings grew to $0.27 per share and ...

OLD GREENWICH, Conn.--(BUSINESS WIRE)--Ellington Residential Mortgage REIT (NYSE: EARN) (the "Company") today announced that it will release financial results for the quarter ended December 31, 2023 after market close on Wednesday, March 6, 2024. The Company will host a conference call to discuss its financial results at 11:00 a.m. Eastern Time on Thursday, March 7, 2024. To participate in the event by telephone, please dial (800) 579-2543 at least 10 minutes prior to the start time and reference the confer ...

OLD GREENWICH, Conn.--(BUSINESS WIRE)--Ellington Residential Mortgage REIT (NYSE: EARN) (the "Company") today announced that its Board of Trustees has declared a monthly common dividend of $0.08 per share, payable on March 25, 2024 to shareholders of record as of February 29, 2024. Cautionary Statement Regarding Forward-Looking Statements This press release contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward- ...

Ellington Residential Mortgage REIT (NYSE:EARN) Q3 2023 Earnings Conference Call November 13, 2023 11:00 AM ET Company Participants Alaael-Deen Shilleh - Associate General Counsel Larry Penn - Chief Executive Officer Chris Smernoff - Chief Financial Officer Mark Tecotzky - Co-Chief Investment Officer Conference Call Participants Crispin Love - Piper Sandler Operator Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Residential Mortgage REIT 2023 Third Quarter Financial ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 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, 2023 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 Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted p ...