Ellington and its Affiliated Management Companies Slide 3 – First Quarter Market Update Q1 2023 EARNINGS (1) Based on the market environment as of March 31, 2023. Results are based on forward-looking models, which are inherently imperfect, and incorporate various simplifying assumptions. Therefore, the table above is for illustrative purposes only and actual changes in interest rates would likely cause changes in the actual value of our portfolio that would differ from those presented above, and such differ ...

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, 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 (Exact Name of Registrant as Specified in Its Charter) (State or Other Jurisdiction of Incorporat ...

Financial Data and Key Metrics Changes - The company reported a net income of $0.17 per share and adjusted distributable earnings (ADE) of $0.21 per share for the first quarter, down from $0.88 and $0.25 per share in the previous quarter [24][29] - The net interest margin (NIM) decreased to 1.16% from 1.37% due to sharply higher financing costs driven by increasing short-term interest rates [10][29] - Book value per share was $8.31 as of March 31, down from $8.40 at year-end [30] Business Line Data and Key Metrics Changes - The Agency RMBS portfolio turnover was 23% for the quarter, an increase over the prior quarter [11][26] - MBS holdings increased by 3% to $891 million as of March 31, driven by net purchases and net gains exceeding principal paydowns [11][30] - The debt-to-equity ratio adjusted for unsettled purchases and sales decreased slightly to 7.5x from 7.6x at year-end [11] Market Data and Key Metrics Changes - Agency MBS ended the first quarter with a negative 50 basis point return versus treasuries, reflecting overall market volatility [24] - The company noted that the FDIC has seized a significant amount of Agency MBS from failed regional banks, impacting market supply [32] Company Strategy and Development Direction - The company is focusing on preserving book value during market volatility while capturing upside when markets recover [17] - There is a strategic pivot towards intermediate coupons (3% to 4.5%), which are seen as having favorable risk-reward trade-offs [15][34] - The company plans to continue methodically turning over its portfolio to improve net interest margin and adjusted distributable earnings [27] Management's Comments on Operating Environment and Future Outlook - Management expressed optimism about the investment opportunities arising from continued volatility and forced selling in the market [36] - The company anticipates that the worst may be behind them regarding regional banks' impact on Agency MBS holdings [14] - Management highlighted that the current wide yield spreads adequately compensate for the supply shock from FDIC sales [34] Other Important Information - The company has maintained a healthy liquidity position with cash and cash equivalents of $36.7 million, which increased quarter-over-quarter [30] - Repo financing remains stable, with low haircuts, allowing the company to add more exposure without issues [56] Q&A Session All Questions and Answers Question: Can you talk about the capacity to take up leverage and the conditions that would lead to that? - Management indicated that repo financing is stable and that they have room to add leverage, potentially increasing their net mortgage assets to equity ratio if opportunities arise [56][57] Question: What are your perspectives on mortgage spreads in response to a rally in interest rates? - Management believes that a mild rally in rates could tighten spreads, while a sharp rally might lead to widening due to volatility concerns [62][63] Question: What is your confidence in expanding net interest margins over the next several quarters? - Management noted that expanding NIMs will depend on portfolio turnover and that while significant expansion is not expected, they are focused on improving NIM through strategic asset management [65][66] Question: Can you provide an update on book value through the end of April or early May? - Management did not provide specific updates but mentioned that spreads widened in April and stabilized in May [73]

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, 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 Jurisdictio ...

Financial Data and Key Metrics Changes - For Q4 2022, the company reported net income of $0.88 per share and adjusted distributable earnings (ADE) of $0.25 per share, compared to a net loss of $1.04 per share and ADE of $0.23 per share in Q3 2022 [42][35][56] - The net interest margin (NIM) increased slightly to 1.37% from 1.28% quarter-over-quarter, driven by higher asset yields exceeding the increase in cost of funds [37][56] - Book value per share rose to $8.40 at December 31 from $7.78 at September 30, reflecting an economic return of 11.1% for the quarter [56][72] Business Line Data and Key Metrics Changes - Agency RMBS holdings decreased by 5% to $163.3 million, driven by net sales and principal payments of $57.9 million, which exceeded net realized and unrealized gains of $11.8 million [47] - The non-Agency RMBS portfolio increased by $4.8 million to $12.6 million, while interest-only securities remained roughly unchanged [38] Market Data and Key Metrics Changes - The yield curve is currently the most inverted since the early 1980s, with a two-year tenure yield spread now more than 90 basis points negative, impacting net interest margins industry-wide [39] - Agency RMBS prices significantly outperformed their hedges in Q4, reversing a trend of underperformance seen in the first three quarters of 2022 [51][52] Company Strategy and Development Direction - The company plans to selectively rotate capital from Agency MBS to other residential mortgage sectors, maintaining a nimble approach to adapt to market conditions [80] - The focus remains on total return over short-term ADE growth, with a disciplined hedging process and cash management allowing for opportunistic buying and selling [36][70] Management's Comments on Operating Environment and Future Outlook - Management noted that inflation is moderating and the Federal Reserve is slowing the pace of interest rate hikes, which has positively impacted investor demand for RMBS [5][6] - The company anticipates that a mild recession could lead to increased bank demand for Agency MBS, as banks typically favor securities over loans during such periods [66][68] Other Important Information - The company hedged interest rate risk through swaps and short positions, with the size of the net short TBA position increasing quarter-over-quarter [48] - The economic return for the fourth quarter was supported by tighter Agency RMBS yield spreads and increased pay-ups, which drove significant net realized and unrealized gains [43][44] Q&A Session Summary Question: How is the company thinking about volatility in the market, especially connected to a recession? - Management expressed confidence in the resilience of repo financing and noted that they have a diverse set of repo counterparties, primarily large, well-capitalized banks [86][93] Question: What are the potential buyers of Agency MBS over the near-term? - Management indicated that money managers have driven performance in Q4 and early 2023, with banks typically buying after observing a rally [104][105] Question: What opportunities are being seen in the non-Agency space? - Management highlighted seasoned credit risk transfer bonds and legacy non-Agency market securities as attractive sectors, emphasizing a granular approach to investment [111][112]

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, 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 Ju ...

Financial Data and Key Metrics Changes - The company reported a net loss of $1.04 per share for Q3 2022, compared to a net loss of $0.82 per share in Q2 2022 [19] - Adjusted distributable earnings (ADE) were $0.23 per share, up from $0.20 per share in the previous quarter [19] - The net interest margin (NIM) decreased to 1.28% from 1.66% quarter-over-quarter due to rising costs of funds outpacing increases in asset yields [20] - Book value per share declined to $7.78 from $9.07 in the previous quarter, resulting in a negative economic return of 11.6% [22] Business Line Data and Key Metrics Changes - Agency RMBS holdings decreased modestly during the quarter, with a portfolio turnover of 19% [23] - Average pay-ups on specified pools decreased to 1.02% from 1.09% [21] - The debt-to-equity ratio increased to 9.1 times from 7.9 times, primarily due to lower shareholders' equity [23] Market Data and Key Metrics Changes - The Freddie Mac 30-year survey rate ended the quarter at 6.7%, the highest level in 15 years, with peaks reaching 7.08% [14] - The MOVE Index, measuring yield volatility, reached its highest level since March 2020 [10] - Significant yield spread widening occurred across the Agency RMBS market, with Fannie 5.5s dropping over 4 points in price [12][13] Company Strategy and Development Direction - The company plans to increase its capital allocation to the non-Agency mortgage market to 25% or more, citing compelling value opportunities [45] - The focus remains on preserving book value in a volatile market, with a methodical rotation into higher coupons expected to boost future ADE [39][40] - The company is cautious about increasing leverage, maintaining a strong liquidity position with cash and unencumbered assets representing 27% of total equity [18] Management's Comments on Operating Environment and Future Outlook - Management noted that the market environment in August and September was extremely challenging, leading to significant net losses [15] - There are signs of improving demand for spread products, which could support book value recovery [41] - The company remains optimistic about the potential for recouping losses as spreads normalize [19] Other Important Information - The company experienced significant volatility in fixed income metrics, with the five-year treasury trading in a range of 2.64% to 4.19% during the quarter [27] - The company issued approximately 148,300 shares at an average price of $8.43 and repurchased about 9,500 shares at an average price of $6.53 [26] Q&A Session Summary Question: Can you provide more detail on increasing non-Agency exposure? - Management indicated that the increase could happen relatively quickly, potentially by year-end, due to the company's nimbleness [48] Question: What is the outlook on widening versus tightening of yield spreads? - Management believes it is more likely that spreads will tighten from current levels, supported by reduced supply and potential incremental buying from banks [51][54] Question: How does the company view leverage in the current market? - Management stated that they are at the upper end of their leverage range and do not expect it to increase significantly unless spreads widen further [58] Question: How do you see dollar roll financing evolving? - Management noted that dollar rolls for lower coupons have been relatively uninteresting, while higher coupons may experience volatility if banks return to the market [66] Question: What would an ideal portfolio look like if the Fed stops hiking? - Management suggested that a stable environment with reduced inflation risks would lead to increased interest in fixed income and credit markets, supporting both Agency and non-Agency MBS [80][84]

Ellington Residential Mortgage REIT (NYSE:EARN) Q2 2022 Earnings Conference Call August 11, 2022 11:00 AM ET Company Participants Jason Frank - Deputy General Counsel and Secretary Larry Penn - Chief Executive Officer Chris Smernoff - Chief Financial Officer Mark Tecotzky - Co-Chief Investment Officer Conference Call Participants Crispin Love - Piper Sandler Doug Harter - Credit Suisse Mikhail Goberman - JMP Securities Eric Hagen - BTIG Operator Good morning, ladies and gentlemen. Thank you for standing by. ...

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 ...