Ellington Financial Inc. (NYSE:EFC) Q3 2022 Earnings Conference Call November 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 J.R. Herlihy - Chief Financial Officer Conference Call Participants Bose George - KBW Doug Harter - Credit Suisse Trevor Cranston - JMP Securities Eric Hagen - BTIG Crispin Love - Piper Sandler Operator Please standby. Your program is about to begin. Good morni ...

Table of Contents 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 001-34569 Ellington Financial Inc. (Exact Name of Registrant as Specified in Its Charter) Delaware 26-0489289 (State or O ...

Table of Contents 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 001-34569 Ellington Financial Inc. (Exact Name of Registrant as Specified in Its Charter) Delaware 26-0489289 (State or Other ...

Ellington Financial Inc. (NYSE:EFC) Q2 2022 Earnings Conference Call August 5, 2022 11:00 AM ET Company Participants Jason Frank - Deputy General Counsel & Secretary Larry Penn - CEO J.R. Herlihy - CFO Mark Tecotzky - Co-Chief Investment Officer Conference Call Participants Trevor Cranston - JMP Securities Doug Harter - Credit Suisse Mike Smith - KBW Eric Hagen - BTIG Crispin Love - Piper Sandler Operator Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Financial Secon ...

Part I [Item 1. Condensed Consolidated Financial Statements (unaudited)](index=3&type=section&id=Item%201.%20Condensed%20Consolidated%20Financial%20Statements%20(unaudited)) Ellington Financial Inc. reported a Q1 2022 net loss of $(6.5) million, a significant downturn from prior year income Condensed Consolidated Balance Sheet Summary (In thousands) | Account | March 31, 2022 | December 31, 2021 | | :--- | :--- | :--- | | **Total Assets** | **$5,827,265** | **$5,177,419** | | Securities, at fair value | $1,877,529 | $2,087,360 | | Loans, at fair value | $2,884,627 | $2,415,321 | | **Total Liabilities** | **$4,504,327** | **$3,853,863** | | Repurchase agreements | $2,717,638 | $2,469,763 | | Other secured borrowings, at fair value | $1,216,542 | $984,168 | | **Total Equity** | **$1,322,938** | **$1,323,556** | Condensed Consolidated Statement of Operations Summary (In thousands, except per share amounts) | Metric | Three-Month Ended March 31, 2022 | Three-Month Ended March 31, 2021 | | :--- | :--- | :--- | | Total net interest income | $37,057 | $28,737 | | Total other income (loss) | $(25,442) | $20,230 | | Total expenses | $19,567 | $12,329 | | **Net Income (Loss)** | **$(6,498)** | **$41,256** | | Net Income (Loss) Attributable to Common Stockholders | $(9,902) | $37,856 | | **Basic and Diluted EPS** | **$(0.17)** | **$0.86** | Condensed Consolidated Statement of Cash Flows Summary (In thousands) | Cash Flow Activity | Three-Month Ended March 31, 2022 | Three-Month Ended March 31, 2021 | | :--- | :--- | :--- | | Net cash provided by (used in) operating activities | $32,931 | $9,164 | | Net cash provided by (used in) investing activities | $(592,459) | $(590,296) | | Net cash provided by (used in) financing activities | $830,396 | $618,835 | | **Net Increase (Decrease) in Cash** | **$270,868** | **$37,703** | [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=71&type=section&id=Item%202.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management reported a challenging Q1 2022 due to rising interest rates and volatility, impacting financial performance and portfolio composition - The company's primary objective is to generate attractive, risk-adjusted total returns through an opportunistic strategy, investing across a diverse array of financial assets without restriction to ratings or structure[352](index=352&type=chunk) Key Financial Metrics as of March 31, 2022 | Metric | Value | | :--- | :--- | | Book value per common share | $17.74 | | Debt-to-equity ratio | 3.2:1 | | Recourse debt-to-equity ratio | 2.3:1 | - The market environment in Q1 2022 was characterized by a hawkish Federal Reserve, which raised the federal funds rate by **0.25%** and signaled further increases, leading to sharply higher interest rates and increased market volatility[403](index=403&type=chunk) - The company entered into an agreement to acquire the remaining **49.6%** of Longbridge Financial, LLC, a reverse mortgage originator, which upon closing will lead to its consolidation into EFC's financial statements[364](index=364&type=chunk)[394](index=394&type=chunk) [Item 3. Quantitative and Qualitative Disclosures about Market Risk](index=102&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) The company's primary market risks are credit, prepayment, and interest rate risk, actively managed through hedging strategies - The company is subject to credit risk from its investments in non-Agency RMBS, CMBS, mortgage loans, corporate debt, and consumer loans, influenced by factors like underwriting quality, economic conditions, and property value volatility[531](index=531&type=chunk)[532](index=532&type=chunk) - Prepayment risk is the risk of changes in the rate at which principal is returned, affecting assets like RMBS and consumer loans, influenced by interest rates, borrower behavior, and government policies[540](index=540&type=chunk) Interest Rate Sensitivity Analysis as of March 31, 2022 (In thousands) | Change in Interest Rates | Estimated Change in Market Value | % of Total Equity | | :--- | :--- | :--- | | -100 basis points | $(716) | (0.05)% | | -50 basis points | $1,650 | 0.12% | | +50 basis points | $(5,604) | (0.42)% | | +100 basis points | $(16,123) | (1.22)% | [Item 4. Controls and Procedures](index=105&type=section&id=Item%204.%20Controls%20and%20Procedures) Management, including the CEO and CFO, evaluated the company's disclosure controls and procedures as of March 31, 2022, concluding they were effective - Based on an evaluation as of March 31, 2022, the Chief Executive Officer and Chief Financial Officer concluded that the company's disclosure controls and procedures were effective[547](index=547&type=chunk)[549](index=549&type=chunk) - No changes occurred during the quarter ended March 31, 2022, that have materially affected, or are reasonably likely to materially affect, the company's internal control over financial reporting[549](index=549&type=chunk) Part II. Other Information [Item 1. Legal Proceedings](index=106&type=section&id=Item%201.%20Legal%20Proceedings) As of the report date, neither Ellington Financial Inc. nor its manager and affiliates were subject to any material legal proceedings - The company and its affiliates are not currently subject to any legal proceedings that are considered material[551](index=551&type=chunk) [Item 1A. Risk Factors](index=106&type=section&id=Item%201A.%20Risk%20Factors) There have been no material changes from the risk factors previously disclosed in the company's Annual Report on Form 10-K for the year ended December 31, 2021 - No material changes have occurred in the company's risk factors since its last Annual Report on Form 10-K[552](index=552&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=106&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) During the quarter, the company issued unregistered equity securities in two instances, including shares to the Manager and OP LTIP Units to personnel - On February 22, 2022, the company issued **19,094 shares of common stock** to its Manager as part of an incentive fee payment[553](index=553&type=chunk) - On March 7, 2022, the company granted **40,254 OP LTIP Units** to certain Ellington personnel under its 2017 Plan[554](index=554&type=chunk) [Item 6. Exhibits](index=107&type=section&id=Item%206.%20Exhibits) This section lists the exhibits filed with the Form 10-Q, including CEO and CFO certifications and Inline XBRL documents - The report includes standard exhibits such as CEO/CFO certifications (Exhibits 31.1, 31.2, 32.1, 32.2) and XBRL data files (Exhibits 101 and 104)[556](index=556&type=chunk)

Financial Data and Key Metrics Changes - For Q1 2022, Ellington Financial reported a net loss of $0.17 per share on a fully mark-to-market basis and core earnings of $0.40 per share, compared to net income of $0.61 per share and core earnings of $0.44 per share in the prior quarter [15][29] - The book value per common share was $17.74 at March 31, down 3.5% from $18.39 per share at year-end [29] - The economic return for the first quarter was around negative 1.1% [29] Business Line Data and Key Metrics Changes - The total long credit portfolio grew by 11% sequentially to $2.3 billion at March 31, with significant growth in non-QM residential transition and commercial mortgage loan origination businesses [22] - The capital allocation to credit investments increased to 85% as of March 31, up from 79% year-over-year, while agency allocation decreased to 15% [16] - The Credit strategy generated total gross income of $0.28 per share, while the Agency strategy generated a gross loss of $0.34 per share during the first quarter [17] Market Data and Key Metrics Changes - Interest rates rose rapidly, and the yield curve flattened significantly, with the two-year note moving to 160 basis points, its highest quarterly move since 1984 [31] - The spread between two years and 30 years flattened by more than one percentage point to just 12 basis points at quarter end [31] - High yield spreads widened by 70 basis points, impacting the pricing of various mortgage-backed securities [32] Company Strategy and Development Direction - The company plans to continue increasing its allocation to credit investments, expecting to maintain a higher allocation based on the growth of loan origination businesses [16] - The company is focused on maintaining a diversified portfolio and low leverage while dynamically rebalancing hedges in response to market conditions [53] - The company sees opportunities to grow market share in the non-QM sector as competition among originators decreases [47][80] Management's Comments on Operating Environment and Future Outlook - Management expressed optimism about the investment opportunities arising from the current market volatility, indicating that the yields and spreads are the best seen since the market recovered from COVID [52] - The company is cautious about the potential impact of rising interest rates on loan origination volumes but believes it can capitalize on market share opportunities [56] - Management noted that while the agency strategy suffered losses, the yield spread widening has improved future opportunities in that sector [42] Other Important Information - The company completed a $210 million five-year senior unsecured note offering, which is expected to be accretive to earnings [12][13] - The debt-to-equity ratio adjusted for unsettled purchases and sales increased to 3.2:1 as of March 31, from 2.8:1 at year-end [26] - The company raised $38.5 million of common equity through its ATM program during the quarter [27] Q&A Session Summary Question: How are new reinvestment yields compared to the cost of funds? - Management expects net interest margins to widen due to rising yields and wider spreads, with ROEs on new investments seen in the teens [59][61] Question: Update on book value through April? - Management refrained from providing specific numbers but acknowledged mark-to-market declines since quarter-end [63] Question: How spreads could respond as newer collateral gets securitized in non-QM? - Management indicated that tighter securitization spreads are expected as higher note rate non-QM loans are securitized [66] Question: Size of excess liquidity to take advantage of wider spreads? - The company has about $1 billion in cash and unencumbered assets, indicating significant additional borrowing capacity [68][70] Question: How agency versus credit mix might trend? - Management expects the current 85-15 split to continue, with potential for agency allocation to decrease if spreads recover [71][73] Question: Lower earnings guide for LendSure? - Management explained that lower volumes and gain on sale margins are expected due to higher mortgage rates and lower loan prices [75][78] Question: Concerns about the residential transition market slowing? - Management reported that the market remains strong, with quick sales and manageable renovation costs despite supply chain issues [84][88] Question: Opportunities to acquire other companies in the mortgage sector? - Management indicated that while there may be opportunities, the focus is currently on growing existing companies and potentially acquiring teams or personnel [89]

Table of Contents 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 001-34569 Ellington Financial Inc. (Exact Name of Registrant as Specified in Its Charter) Delaware 26-0489289 (State or Other Juri ...

Ellington Financial Inc. (NYSE:EFC) Q4 2021 Results Conference Call February 24, 2022 11:00 AM ET Company Participants Jason Frank - Deputy General Counsel and Secretary Laurence Penn - President and Chief Executive Officer JR Herlihy - Chief Financial Officer Mark Tecotzky - Co-Chief Investment Officer Conference Call Participants Bose George - KBW Trevor Cranston - JMP Securities Crispin Love - Piper Sandler Douglas Harter - Crédit Suisse Brocker Vandervliet - UBS Operator Good morning, ladies and gentlem ...

Ellington Financial Inc. (NYSE:EFC) Q3 2021 Earnings Conference Call November 8, 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 J.R. Herlihy - Chief Financial Officer Conference Call Participants Doug Harter - Credit Suisse Crispin Love - Piper Sandler Brock Vandervliet - UBS Bose George - KBW Trevor Cranston - JMP Securities Eric Hagen - BTIG Operator Good morning, ladies and gentlem ...

Table of Contents 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 001-34569 Ellington Financial Inc. (Exact Name of Registrant as Specified in Its Charter) Delaware 26-0489289 (State or O ...