Ellington Credit Company · NYSE:EARN
Ellington Credit — Ellington Residential Mortgage REIT — Q3 2014 Earnings Presentation
24 slides from Ellington Credit's earnings presentation, Nov 10, 2014
Slide 1: Third Quarter 2014 Earnings Conference Call
Third Quarter 2014 Earnings Conference Call November 10, 2014
Slide 2: Important Notice
Important Notice Forward-Looking Statements This presentation contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements involve numerous risks and uncertainties. Actual results may differ f
Slide 3: Third Quarter 2014
Third Quarter 2014
Slide 4: Third Quarter Highlights
Ellington Residential: Third Quarter Highlights ▪ Third quarter net income of $3.5 million or $0.39 per share ▪ Book value decrease of 1.0% to $18.53 per share as of September 30, 2014 from $18.71 per share Overall Results as of June 30, 2014, after giving effect to $0.55 third quarter dividend ▪ Ec
Slide 5: Agency RMBS
Ellington Residential: Agency RMBS • Yield curve flattened during the third quarter • As expected, the Federal Reserve concluded its net monthly purchases of Agency RMBS and U.S. Treasury securities, although it will continue to reinvest principal proceeds received into additional Overall Market Age
Slide 6: Non-Agency
Ellington Residential: Non-Agency • Non-Agency RMBS exhibited relative resilience during the third quarter, particularly compared to other asset classes, such as high yield credit Overall Market • Investor appetite for fixed income assets, especially higher-yielding assets, remains strong Conditions
Slide 7: Prepayment Rates (CPR)
Dramatic Fall off in Rate-Adjusted Call Risk Prepayment rates vs. refinancing incentives for 18-30 WALA FNMA 30-year pools (<$150k loan size, ≤80% Original LTV), observed in October 2012 to September 2013 and October 2013 to September 2014 Prepayment Rates (CPR) Refinancing Incentives for 18-30 WALA
Slide 8: Rate Drop in October Showed Surprising Refi Response
Rate Drop in October Showed Surprising Refi Reponse MBA Refinancing Index average loan size ($ thousand), with MBA Refinancing Index the last two data points labeled 1800 1600 1400 1200 For a small, short-lived drop in mortgage rates, the response was surprising Loan sizes have gone up with home
Slide 9: Portfolio
Portfolio
Slide 10: Portfolio Summary
Ellington Residential: Portfolio Summary September 30, 2014 June 30, 2014 Current Average Average Current Average Average (In thousands) Principal Fair Value Price(1) Cost Cost(1) Principal Fair Value Price(1) Cost Cost(1) Agency RMBS(2) 15-year fixed rate mortgages 136,558 143,357 104.98 143,056 10
Slide 11: Agency Long Portfolio
Ellington Residential: Agency Long Portfolio Current Quarter Agency Long Portfolio Previous Quarter Agency Long Portfolio As of 9/30/14: $1.33BN(1) As of 6/30/14: $1.31BN(1) GNMA/FNMA/ GNMA RM Fixed GNMA/FNMA/ FHLM Fixed IOs GNMA RM Fixed 1.6% FHLM Fixed IOs 1.1% 1.3% FNMA/GNMA 1.1% FNMA Fixed FNMA/
Slide 12: Agency Long Portfolio
Ellington Residential: Agency Long Portfolio Collateral Characteristics and Historical 3-month CPR Collateral Characteristics and Historical 3-month CPR Agency Fixed Rate Pool Portfolio 9/30/14: $1.25BN(1) Agency Fixed Rate Pool Portfolio 6/30/14: $1.21BN(1) Jumbo Geography Geography Non-Owner <1% <
Slide 13: Non-Agency Long Portfolio
Ellington Residential: Non-Agency Long Portfolio Current Quarter Previous Quarter Non-Agency Long Portfolio 9/30/14: $33.7MM Non-Agency Long Portfolio 6/30/14: $35.7MM Other 5.0% Sub Jumbo/ Alt-A Senior Jumbo/ 42.1% Sub Jumbo/ Alt-A/Alt-B Senior Jumbo/ Alt-A 45.0% Alt-A/Alt-B 41.2% 48.8% Seasoned Se
Slide 14: Borrowings and Hedges
Borrowings and Hedges
Slide 15: Repo Borrowings
Ellington Residential: Repo Borrowings September 30, 2014 June 30, 2014 Weighted Average Weighted Average Remaining Days to Borrowings Remaining Days Borrowings Remaining Days Maturity Outstanding Interest Rate to Maturity Outstanding Interest Rate to Maturity (In thousands) (In thousands) 30 days o
Slide 16: Interest Rate Hedging Portfolio
Ellington Residential: Interest Rate Hedging Portfolio Current Quarter Previous Quarter Agency Interest Rate Hedging Portfolio 9/30/14: Agency Interest Rate Hedging Portfolio 6/30/14: Short $674.1MM 10-year equivalents Short $647.8MM 10-year equivalents TBA Securities TBA Securities 33.9% 33.7% >5 Y
Slide 17: Interest Rate Hedging
Ellington Residential: Interest Rate Hedging Calculation of Exposure to Agency RMBS Based on Fair Value of TBA Portfolio: (In millions) Agency-related Portfolio 9/30/2014 6/30/2014 Long Agency RMBS $ 1,334 $ 1,309 (1) Net Short TBA Positions (511) (523) Net Long Exposure to Agency RMBS $ 823 $ 786 •
Slide 18: Interest Rate Hedging (Continued)
Ellington Residential: Interest Rate Hedging (Continued) September 30, 2014 Interest Rate Swap Weighted Average Weighted Average Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Years to Maturity (In thousands) 2016 $ 48,000 $ (37) 0.80% 0.23% 2.02 2017 74,750 (96) 1.21% 0.
Slide 19: Supplemental Information
Supplemental Information
Slide 20: Income Statement (Unaudited)
Ellington Residential: Income Statement (Unaudited) CONSOLIDATED STATEMENT OF OPERATIONS Three Month Nine Month Period Ended Period Ended September 30, 2014 June 30, 2014 September 30, 2014 (In thousands except share amounts) INTEREST INCOME (EXPENSE) Interest income $ 11,484 $ 11,575 $ 35,018 Inter
Slide 21: Balance Sheet (Unaudited)
Ellington Residential: Balance Sheet (Unaudited) CONSOLIDATED BALANCE SHEET As of September 30, 2014 June 30, 2014 December 31, 2013 (1) (In thousands except share amounts) ASSETS Cash and cash equivalents $ 51,063 $ 49,908 $ 50,112 Mortgage-backed securities, at fair value 1,368,092 1,344,444 1,326
Slide 22: Reconciliation of Core Earnings
Reconciliation of Core Earnings(1) Three Month Three Month Period Ended Period Ended (In thousands except share amounts) September 30, 2014 June 30, 2014 Net Income $ 3,533 $ 11,050 Less: Net realized gains (losses) on mortgage-backed securities 2,030 382 (2) Net realized gains (losses) on financial
Slide 23: About Ellington
About Ellington • EARN is managed by Ellington Residential Mortgage Management LLC, an affiliate of Ellington Management Group, L.L.C. (“EMG”) • EMG was founded in 1994 by Michael Vranos and five partners; currently has over 140 employees, giving EARN access to time-tested infrastructure and industr
Slide 24: Investor Contact
Investor Contact: Media Contact: Lindsay Tragler, Vice President Steve Bruce or Taylor Ingraham Investor Relations or ASC Advisors, for Lisa Mumford,Chief Financial Officer Ellington Residential Mortgage REIT Ellington Residential Mortgage REIT (203) 992-1230 (203) 409-3773 Ellington Residential Mor
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