Ellington Credit Company · NYSE:EARN
Ellington Credit — Ellington Residential Mortgage REIT — Q4 2015 Earnings Presentation
23 slides from Ellington Credit's earnings presentation, Feb 11, 2016
Slide 1: Fourth Quarter 2015 Earnings Conference Call
Fourth Quarter 2015 Earnings Conference Call February 11, 2016
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: Fourth Quarter 2015
Fourth Quarter 2015
Slide 4: Fourth Quarter Highlights
Ellington Residential: Fourth Quarter Highlights Net income of $1.0 million, or $0.11 per share Overall Agency RMBS spreads widened relative to interest rate swaps and pay-ups on specified pools Results decreased Core Earnings of $4.5 million, or $0.49 per share Core Earnings adjusted for $1.1 milli
Slide 5: Agency RMBS
Ellington Residential: Agency RMBS Interest rates rose, with short-term rates increasing more than longer term rates, resulting in a flattening yield curve 2-year and 10-year swap rates were up 43 basis points and 18 basis points, respectively 10-year swap spread to U.S Treasury securities became mo
Slide 6: Non-Agency RMBS
Ellington Residential: Non-Agency RMBS Similar to the third quarter, Non-Agency RMBS credit spreads widened during the fourth quarter, but to a lesser extent than other, higher yielding fixed income sectors Overall Market Fundamentally, lower energy prices and moderate wage growth are supportive of
Slide 7: Repo Lending Against Agency MBS Collateral Has Shrunk Dramatically
Repo Lending Against Agency MBS Collateral Has Shrunk Dramatically Over the Past Few Years Dealer Lending Against Agency MBS Collateral, July 2001 – January 2016 $700 $650 $600 $550 Billions $500 $450 $400 $350 $300 $250 $200 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Slide 8: Portfolio
Portfolio
Slide 9: Portfolio Summary
Ellington Residential: Portfolio Summary December 31, 2015 September 30, 2015 Current Average Average Current Average Average Fair Value Cost Fair Value Cost Principal Price(1) Cost(1) Principal Price(1) Cost(1) (In thousands) Agency RMBS(2) 15-year fixed rate $ 162,546 $ 170,261 $ 104.75 $ 170,385
Slide 10: Agency Long Portfolio
Ellington Residential: Agency Long Portfolio Current Quarter Agency Long Portfolio Previous Quarter Agency Long Portfolio As of 12/31/15: $1.21BN(1) As of 9/30/15: $1.25BN(1) FNMA/FHLM GNMA RM FNMA/FHLM GNMA RM ARMS ARMS Fixed Fixed 3.1% GNMA/FNMA/ 3.2% GNMA/FNMA/ GNMA Fixed 4.8% 6.1% FHLM Fixed IOs
Slide 11: 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 12/31/15: $1.09BN(1) Agency Fixed Rate Pool Portfolio 9/30/15: $1.15BN(1) Geography Geography <1% Other <1% Other
Slide 12: Non-Agency Long Portfolio
Ellington Residential: Non-Agency Long Portfolio Current Quarter Previous Quarter Non-Agency Long Portfolio 12/31/15: $31.4MM Non-Agency Long Portfolio 9/30/15: $28.9MM Sub Jumbo/ Alt-A Sub Jumbo/ 34.6% Alt-A 39.8% Senior Jumbo/ Alt-A/Alt-B Senior Jumbo/ 50.1% Alt-A/Alt-B 54.4% Seasoned Subprime Sea
Slide 13: Borrowings and Hedges
Borrowings and Hedges
Slide 14: Repo Borrowings
Ellington Residential: Repo Borrowings December 31, 2015 September 30, 2015 Weighted Average Weighted Average Remaining Days Borrowings Remaining Days Borrowings Remaining Days to Maturity Outstanding Interest Rate to Maturity Outstanding Interest Rate to Maturity (In thousands) (In thousands) 30 da
Slide 15: Interest Rate Hedging Portfolio
Ellington Residential: Interest Rate Hedging Portfolio Current Quarter Previous Quarter Agency Interest Rate Hedging Portfolio 12/31/15: Agency Interest Rate Hedging Portfolio 9/30/15: Short $468.5MM 10-year equivalents Short $516.0MM 10-year equivalents >5 Yr Treasuries >5 Yr Treasuries Eurodollar
Slide 16: Interest Rate Hedging
Ellington Residential: Interest Rate Hedging Calculation of Exposure to Agency RMBS Based on Fair Value of TBA Portfolio: (In millions) 12/31/2015 9/30/2015 Agency-related Portfolio Long Agency RMBS $ 1,211 $ 1,252 (1) Net Short TBA Positions (365) (382) Net Long Exposure to Agency RMBS $ 846 $ 870
Slide 17: Interest Rate Hedging (Continued)
Ellington Residential: Interest Rate Hedging (Continued) December 31, 2015 Fixed Payer Interest Rate Swaps Weighted Average Weighted Average Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Years to Maturity (In thousands) 2016 $ 48,000 $ (83) 0.80 % 0.39 % 0.77 2017 74,750
Slide 18: Supplemental Information
Supplemental Information
Slide 19: Income Statement (Unaudited)
Ellington Residential: Income Statement (Unaudited) CONSOLIDATED STATEMENT OF OPERATIONS Three Month Period Ended Year Ended December 31, 2015 September 30, 2015 December 31, 2015 (In thousands except share amounts) INTEREST INCOME (EXPENSE) Interest income $ 9,315 $ 11,315 $ 40,751 Interest expense
Slide 20: Balance Sheet (Unaudited)
Ellington Residential: Balance Sheet (Unaudited) CONSOLIDATED BALANCE SHEET As of Decem ber 31, 2015 Septem ber 30, 2015 Decem ber 31, 2014(1) (In thousands except share amounts) ASSETS Cash and cash equivalents $ 40,166 $ 40,482 $ 45,237 Mortgage-backed securities, at fair value 1,242,266 1,280,892
Slide 21: Reconciliation of Core Earnings
Reconciliation of Core Earnings(1) Three Month Period Ended Three Month Period Ended (In thousands except share amounts) December 31, 2015 September 30, 2015 Net Income (Loss) $ 980 $ (4,817) Less: Net realized gains (losses) on securities 817 596 Net realized gains (losses) on financial derivatives
Slide 22: 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 160 employees, giving EARN access to time-tested infrastructure and industry-le
Slide 23: Investor Contact
Investor Contact: Media Contact: Ania Pritchard, Investor Relations or Steve Bruce or Taylor Ingraham Lisa Mumford, Chief Financial Officer ASC Advisors, for Ellington Residential Mortgage REIT Ellington Residential Mortgage REIT (203) 409-3773 (203) 992-1230 Ellington Residential Mortgage REIT 53 F
Ellington Residential Mortgage REIT — Q4 2015 Earnings Presentation on 6ix