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 June 30, 2022 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 ...

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 March 31, 2022 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 Jurisd ...

Ellington Residential Mortgage REIT (NYSE:EARN) Q1 2022 Earnings Conference Call May 3, 2022 11:00 AM ET Company Participants Jason Frank - Deputy General Counsel & Secretary Larry Penn - President & CEO Mark Tecotzky - Co-Chief Investment Officer Chris Smernoff - CFO Conference Call Participants Crispin Love - Piper Sandler Doug Harter - Credit Suisse Eric Hagen - BTIG Mikhail Goberman - JMP Securities Operator Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Resident ...

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, 2021 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 ...

Ellington Residential Mortgage REIT (NYSE:EARN) Q4 2021 Earnings Conference Call March 8, 2022 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 Eric Hagen - BTIG Mikhail Goberman - JMP Securities Operator Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Residential Mortgage REIT 2021 Fo ...

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, 2021 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 Ju ...

Ellington Residential Mortgage REIT (NYSE:EARN) Q3 2021 Earnings Conference Call November 3, 2021 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 John Kilichowski - Crédit Suisse Crispin Love - Piper Sandler Mikhail Goberman - JMP Securities Operator Good morning, ladies and gentlemen. Thank you for standing by. Welcome to ...

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 June 30, 2021 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 Data and Key Metrics Changes - Ellington Residential's core earnings increased by 19% sequentially to $0.37 per share, driven by a larger portfolio and reduced cost of funds [7] - The company reported a net loss of $4.5 million or negative $0.36 per share for Q2 2021, compared to a net income of $127,000 or $0.01 per share in Q1 2021 [14] - Book value per share decreased to $12.53 as of June 30 from $13.22 as of March 31, resulting in a negative economic return of 3% for the quarter [17] Business Line Data and Key Metrics Changes - Agency RMBS holdings increased by approximately 1% to $1.19 billion, while non-Agency RMBS holdings decreased by 10% to $9.3 million [18] - The net interest margin increased to 2.04% from 1.96%, driven by slightly higher average asset yields and lower cost of funds [16] Market Data and Key Metrics Changes - The yield curve flattened with long-term interest rates decreasing and short-term rates increasing modestly, leading to wider yield spreads on most Agency RMBS [15] - Prices on higher coupon Fannie Mae securities declined significantly, while lower coupon securities held up relatively well [9] Company Strategy and Development Direction - The company has shifted its portfolio towards lower coupon Agency RMBS, which has helped mitigate losses from interest rate hedges [10] - The management emphasized the importance of dynamic hedging strategies to protect book value and capitalize on pricing dislocations as the Fed's market presence diminishes [31][32] Management's Comments on Operating Environment and Future Outlook - Management noted that the market is digesting existing news regarding prepayment speeds and interest rate expectations, which has led to volatility in MBS valuations [23] - The Fed's tapering is expected to be gradual, and the company anticipates continued support for Agency MBS prices despite potential tapering [25] - The leadership change at FHFA is seen as a positive development for government support of housing, which may benefit Agency MBS prices [27] Other Important Information - The company completed a follow-on offering of 3,250,000 common shares, increasing the public float by 38%, which is expected to enhance liquidity for shareholders [12][20] - The average term of repo financing was extended from 48 days to 134 days, while the average borrowing rate decreased from 0.25% to 0.17% [11] Q&A Session Summary Question: Expectations for MBS spreads and pricing - Management expects that the market has priced in a gradual tapering by the Fed, which should stabilize spreads [33] Question: Thoughts on leverage in the current environment - Management indicated that they would not significantly increase leverage until there is more clarity on tapering and wider mortgage spreads [34] Question: Outlook for specified pools and market pricing - Management noted that there has been a cheapening of MBS, and they are focused on finding fairly priced prepayment protection [36] Question: Long-term prepayment assumptions and expense management - Prepayment expectations are pool-specific, and the expense ratio is expected to remain stable around 3.5% [38][42] Question: Impact of the follow-on offering on liquidity - The follow-on offering has increased liquidity and is seen as a positive step to address the overhang from Blackstone's shares [46]

[PART I. Financial Information](index=3&type=section&id=PART%20I.%20Financial%20Information) This section covers the unaudited consolidated financial statements, management's discussion and analysis, market risk, and internal controls for the first quarter of 2021 [Consolidated Financial Statements (unaudited)](index=3&type=section&id=Item%201.%20Consolidated%20Financial%20Statements%20(unaudited)) This section provides the unaudited consolidated financial statements, including balance sheet, operations, equity, and cash flows, along with detailed accounting notes for Q1 2021 [Consolidated Balance Sheet](index=3&type=section&id=Consolidated%20Balance%20Sheet) This section summarizes the company's financial position, including assets, liabilities, and equity, as of March 31, 2021 and December 31, 2020 Consolidated Balance Sheet Summary (in thousands) | Balance Sheet Items | March 31, 2021 | December 31, 2020 | | :--- | :--- | :--- | | **Total Assets** | **$1,432,087** | **$1,194,811** | | Mortgage-backed securities, at fair value | $1,204,629 | $1,081,380 | | Cash and cash equivalents | $52,500 | $58,166 | | **Total Liabilities** | **$1,268,948** | **$1,028,409** | | Repurchase agreements | $1,106,724 | $1,015,245 | | **Total Shareholders' Equity** | **$163,139** | **$166,402** | [Consolidated Statement of Operations](index=4&type=section&id=Consolidated%20Statement%20of%20Operations) This section details the company's financial performance, including net interest income, expenses, and net income, for the three-month periods ended March 31, 2021 and 2020 Consolidated Statement of Operations Summary (in thousands, except per share amounts) | Line Item | Three-Month Period Ended March 31, 2021 | Three-Month Period Ended March 31, 2020 | | :--- | :--- | :--- | | Total net interest income | $5,754 | $3,781 | | Total expenses | $1,465 | $1,288 | | Total other income (loss) | $(4,162) | $(19,238) | | **Net Income (Loss)** | **$127** | **$(16,745)** | | **Basic and Diluted EPS** | **$0.01** | **$(1.35)** | [Consolidated Statement of Shareholders' Equity](index=5&type=section&id=Consolidated%20Statement%20of%20Shareholders'%20Equity) This section outlines changes in shareholders' equity, including net income and dividends, for the period ended March 31, 2021 - Total Shareholders' Equity decreased from **$166.4 million** at the beginning of the period to **$163.1 million** as of March 31, 2021. The decrease was primarily driven by the declaration of **$3.5 million** in dividends, partially offset by net income of **$0.1 million**[14](index=14&type=chunk) [Consolidated Statement of Cash Flows](index=6&type=section&id=Consolidated%20Statement%20of%20Cash%20Flows) This section presents the cash inflows and outflows from operating, investing, and financing activities for the first quarter of 2021 Cash Flow Summary for Q1 2021 (in thousands) | Cash Flow Activity | Amount | | :--- | :--- | | Net cash provided by operating activities | $6,670 | | Net cash used in investing activities | $(86,162) | | Net cash provided by financing activities | $73,826 | | **Net decrease in cash and cash equivalents** | **$(5,666)** | [Notes to Consolidated Financial Statements](index=8&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) These notes provide detailed explanations of the company's accounting policies, financial instrument composition, valuation methods, borrowing arrangements, and capital structure [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=31&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses the company's financial condition, operational results, and market outlook for Q1 2021, including portfolio changes, leverage, and liquidity [Executive Summary & Market Developments](index=31&type=section&id=Executive%20Summary%20%26%20Market%20Developments) EARN is a REIT specializing in Agency and non-Agency RMBS. The first quarter of 2021 was characterized by rising long-term interest rates, a steepening yield curve, and continued accommodative monetary policy from the Federal Reserve. These market conditions contributed to a decrease in book value per share to $13.22 from $13.48 at year-end 2020 - The company's primary objective is to generate attractive current yields and risk-adjusted total returns by investing primarily in Agency RMBS and, to a lesser extent, non-Agency RMBS[146](index=146&type=chunk) - Key market trends in Q1 2021 included a significant rise in long-term interest rates (**10-year Treasury yield up 83 bps to 1.74%**), a steepening yield curve, and continued Federal Reserve asset purchases of **$80 billion in Treasuries** and **$40 billion in Agency RMBS** per month[151](index=151&type=chunk) - Book value per share decreased from **$13.48** as of December 31, 2020, to **$13.22** as of March 31, 2021[150](index=150&type=chunk) [Portfolio Overview and Outlook](index=33&type=section&id=Portfolio%20Overview%20and%20Outlook) As of March 31, 2021, the RMBS portfolio grew to $1.19 billion, primarily in Agency specified pools. The debt-to-equity ratio (adjusted for unsettled trades) increased to 7.0:1 from 6.1:1. Rising interest rates led to losses on long TBA positions but were more than offset by gains on interest rate hedges and net carry from the portfolio. The net mortgage assets-to-equity ratio increased to 6.2:1 Portfolio Composition (in millions) | Asset Type | March 31, 2021 | December 31, 2020 | | :--- | :--- | :--- | | Agency RMBS | $1,178 | $1,051 | | Non-Agency RMBS | $10.4 | $17.6 | - The debt-to-equity ratio, adjusted for unsettled purchases and sales, increased to **7.0:1** as of March 31, 2021, from **6.1:1** as of December 31, 2020[156](index=156&type=chunk) - The net mortgage assets-to-equity ratio increased to **6.2:1** as of March 31, 2021, up from **5.6:1** in the prior quarter[160](index=160&type=chunk)[162](index=162&type=chunk) [Financial Condition](index=38&type=section&id=Financial%20Condition) This section provides a detailed snapshot of the company's financial position as of March 31, 2021. The investment portfolio was valued at $1.20 billion, financed primarily by $1.11 billion in repurchase agreements. The total debt-to-equity ratio stood at 6.8:1. Shareholders' equity decreased slightly during the quarter to $163.1 million Investment Portfolio Summary (in thousands) | Security Type | Fair Value (Mar 31, 2021) | Fair Value (Dec 31, 2020) | | :--- | :--- | :--- | | Agency RMBS | $1,178,362 | $1,050,719 | | Non-Agency RMBS | $10,370 | $17,612 | | Agency IOs | $15,897 | $13,049 | | **Total mortgage-backed securities** | **$1,204,629** | **$1,081,380** | - As of March 31, 2021, the company had **$1.11 billion** in outstanding borrowings under repurchase agreements with a weighted average interest rate of **0.22%** and an average remaining maturity of **126 days**[201](index=201&type=chunk) - The total debt-to-equity ratio was **6.8:1** as of March 31, 2021, compared to **6.1:1** as of December 31, 2020. Adjusted for unsettled trades, the ratio was **7.0:1**[201](index=201&type=chunk) [Results of Operations](index=41&type=section&id=Results%20of%20Operations) For Q1 2021, the company reported net income of $0.1 million ($0.01/share), a substantial turnaround from a net loss of $16.7 million ($(1.35)/share) in Q1 2020. The improvement was primarily due to a smaller 'Other Loss' and increased net interest income. Core Earnings, a non-GAAP metric, were $3.8 million ($0.31/share), compared to $3.4 million ($0.27/share) in the prior-year quarter, reflecting improved net interest margin Core Earnings Reconciliation (Non-GAAP, in thousands) | Line Item | Q1 2021 | Q1 2020 | | :--- | :--- | :--- | | Net Income (Loss) | $127 | $(16,745) | | Adjustments (Net unrealized/realized gains/losses, etc.) | $3,655 | $20,105 | | **Core Earnings** | **$3,782** | **$3,360** | | **Core Earnings Per Share** | **$0.31** | **$0.27** | - Net interest income increased to **$5.8 million** in Q1 2021 from **$3.8 million** in Q1 2020, driven by a significant decrease in interest expense from **$6.1 million** to **$0.8 million**[205](index=205&type=chunk) - The net interest margin for Q1 2021 was **1.96%**, a significant improvement from **1.20%** in Q1 2020, due to lower average cost of funds[216](index=216&type=chunk) [Liquidity and Capital Resources](index=45&type=section&id=Liquidity%20and%20Capital%20Resources) The company's primary sources of liquidity are cash on hand, cash flow from investments, and repurchase agreement borrowings. As of March 31, 2021, the company held $52.5 million in cash and cash equivalents and had $1.1 billion in outstanding repurchase agreements with 16 counterparties. Management believes these resources are sufficient to meet both short-term and long-term liquidity needs - As of March 31, 2021, the company had **$1.1 billion** outstanding under repurchase agreements with **16 counterparties**[225](index=225&type=chunk) - Cash and cash equivalents were **$52.5 million** as of March 31, 2021, a decrease from **$58.2 million** at year-end 2020[235](index=235&type=chunk) - The company has a share repurchase program with authorization to repurchase an additional **765,829 common shares** as of May 7, 2021. No shares were repurchased in Q1 2021[238](index=238&type=chunk) [Quantitative and Qualitative Disclosures About Market Risk](index=48&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) This section outlines the company's exposure to key market risks, including interest rate, prepayment, and credit risk. The company actively manages these risks through hedging strategies. A sensitivity analysis indicates that a hypothetical 100 basis point parallel increase in interest rates would decrease the portfolio's fair value by an estimated $10.9 million, or 6.65% of total equity Interest Rate Sensitivity Analysis (as of March 31, 2021, in thousands) | Interest Rate Shift | Estimated Change in Market Value | % of Total Equity | | :--- | :--- | :--- | | -100 basis points | $(4,946) | (3.03)% | | -50 basis points | $(519) | (0.32)% | | +50 basis points | $(3,076) | (1.89)% | | +100 basis points | $(10,852) | (6.65)% | - The primary components of market risk are identified as interest rate risk, prepayment risk, and credit risk (comprising default and severity risk)[247](index=247&type=chunk) - The company uses various instruments to hedge interest rate risk, including interest rate swaps, TBAs, U.S. Treasury securities, and futures, to mitigate the mismatch between the duration of its assets and liabilities[248](index=248&type=chunk) [Controls and Procedures](index=50&type=section&id=Item%204.%20Controls%20and%20Procedures) Management, including the CEO and CFO, conducted an evaluation of the company's disclosure controls and procedures. They concluded that these controls were effective as of March 31, 2021. Additionally, it was reported that no changes occurred during the quarter that materially affected, or are reasonably likely to materially affect, the company's internal control over financial reporting - The Chief Executive Officer and Chief Financial Officer concluded that the company's disclosure controls and procedures were effective as of March 31, 2021[258](index=258&type=chunk) - There were no changes in internal control over financial reporting during the quarter ended March 31, 2021, that have materially affected, or are reasonably likely to materially affect, internal controls[259](index=259&type=chunk) [PART II. Other Information](index=51&type=section&id=PART%20II.%20Other%20Information) This section includes disclosures on legal proceedings, risk factors, and a list of exhibits filed with the quarterly report [Legal Proceedings](index=51&type=section&id=Item%201.%20Legal%20Proceedings) The company reports that neither it nor its Manager are currently subject to any material legal proceedings. However, it acknowledges operating in a highly regulated market and anticipates the possibility of future regulatory inquiries - Neither the company nor its affiliates are currently subject to any legal proceedings that are considered material[262](index=262&type=chunk) [Risk Factors](index=51&type=page&id=Item%201A.%20Risk%20Factors) The company states that there have been no material changes from the risk factors previously disclosed in its Annual Report on Form 10-K for the fiscal year ended December 31, 2020 - There have been no material changes from the risk factors disclosed in the Annual Report on Form 10-K for the year ended December 31, 2020[264](index=264&type=chunk) [Exhibits](index=51&type=section&id=Item%206.%20Exhibits) This section provides a list of the exhibits filed with the quarterly report. The exhibits include certifications from the CEO and CFO as required by the Sarbanes-Oxley Act, as well as Inline XBRL financial data files - The report includes CEO and CFO certifications pursuant to Sections 302 and 906 of the Sarbanes-Oxley Act, along with Inline XBRL documents[265](index=265&type=chunk)