Ellington Credit Company · NYSE:EARN
Ellington Credit — Ellington Residential Mortgage REIT — Q1 2014 Earnings Presentation
25 slides from Ellington Credit's earnings presentation, May 13, 2014
Slide 1: First Quarter 2014 Earnings Conference Call
Ellington Residential Mortgage REIT(NYSE: EARN) First Quarter 2014 Earnings Conference Call May 13, 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: First Quarter 2014
First Quarter 2014
Slide 4: First Quarter Highlights
Ellington Residential: First Quarter Highlights First quarter net income of $2.8 million or $0.30 per share Book value decrease of 1.3% to $18.05 per share as of March 31, 2014 from $18.29 per share as of Overall Results December 31, 2013, after giving effect to $0.55 first quarter dividend whic
Slide 5: Agency RMBS
Ellington Residential: Agency RMBS Agency RMBS rallied in the first quarter, recovering much of their losses from the fourth quarter of 2013 The Federal Reserve continues to taper its monthly bond purchases on a steady and measured pace, and it is expected that by late 2014 the Federal Reserve's
Slide 6: Non-Agency
Ellington Residential: Non-Agency Non-Agency RMBS rallied in the first quarter, benefiting from the market perception of less uncertainty around future actions of the Federal Reserve with respect to its asset purchase program Overall Market Home prices continue to provide support to asset valuat
Slide 7: Implied Volatility
Implied Volatility Implied Annual Basis Point Change of the USD 10-Year Swap, 1-Year Forward 115 110 105 100 Change (In bps) 95 90 85 80 75 70 Market expectations of interest rate volatility have changed dramatically Last fall, market participants expected taper to cause substantial volatility
Slide 8: New & Existing Home Sales are Below Levels from 15 Years Ago
New & Existing Home Sales are Below Levels from 15 Years Ago New Home Sales, Existing Home Sales, and the Mortgage Bankers Association Refinance Index, Normalized 600 500 400 300 200 100 0 New Home Sales Existing Home Sales MBA Refinance Index Refinance indices are at similarly depressed levels
Slide 9: Volatility in Select Pool Pay-ups
Volatility in Select Pool Pay-ups Price Premium (vs. TBAs) for Fannie Mae CQ** 3.5s 1.50 1.00 0.50 Pay-up in Points 0.00 -0.50 -1.00 -1.50 -2.00 Despite low levels of prepayments, some pool types have appreciated materially More value in specified pools should materialize as taper progresses C
Slide 10: Portfolio
Portfolio
Slide 11: Portfolio Summary
Ellington Residential: Portfolio Summary March 31, 2014 December 31, 2013 Current Average Average Current Average Average (In thousands) Fair Value Cost Fair Value Cost Principal Price(1) Cost(1) Principal Price(1) Cost(1) Agency RMBS(2) 15-year fixed rate $ 144,422 $ 149,429 $ 103.47 $ 150,184 $ 10
Slide 12: Agency Long Portfolio
Ellington Residential: Agency Long Portfolio Current Quarter Agency Long Portfolio Previous Quarter Agency Long Portfolio As of 3/31/14: $1.30BN(1) As of 12/31/13: $1.30BN(1) GNMA/FNMA/ GNMA/FNMA/ FHLM Fixed IOs GNMA RM Fixed FHLM Fixed IOs 1.2% 2.3% FNMA ARMS 1.0% FNMA ARMS 3.6% GNMA RM Fixed FNMA
Slide 13: Agency Long Portfolio: Collateral Characteristics and CPR
Ellington Residential: Agency Long Portfolio Collateral Characteristics and Historical 3-month CPR Collateral Characteristics and Historical 3-month CPR Agency Fixed Rate Pool Portfolio 3/31/14: $1.20BN(1) Agency Fixed Rate Pool Portfolio 12/31/13: $1.23BN(1) High Geography High Geography Non-Owner
Slide 14: Non-Agency Long Portfolio
Ellington Residential: Non-Agency Long Portfolio Current Quarter Previous Quarter Non-Agency Long Portfolio 3/31/14: $32.0MM Non-Agency Long Portfolio 12/31/13: $30.7MM(1) Other Other 2.5% 2.7% Sub Jumbo/ Sub Jumbo/ Alt-A Alt-A 36.0% 26.5% Senior Jumbo/ Alt-A/Alt-B Senior Jumbo/ 51.9% Alt-A/Alt-B 60
Slide 15: Borrowings and Hedges
Borrowings and Hedges
Slide 16: Repo Borrowings
Ellington Residential: Repo Borrowings March 31, 2014 December 31, 2013 Weighted Average Weighted Average Remaining Days Borrowings Interest Days to Borrowings Interest Days to to Maturity Outstanding Rate Maturity Outstanding Rate Maturity (In thousands) (In thousands) 30 days or less $ 355,198 0.3
Slide 17: Interest Rate Hedging Portfolio
Ellington Residential: Interest Rate Hedging Portfolio Current Quarter Previous Quarter Agency Interest Rate Hedging Portfolio 3/31/14: Agency Interest Rate Hedging Portfolio 12/31/13: Short $736.7MM 10-year equivalents Short $853.7MM 10-year equivalents TBA Securities TBA Securities 31.8% 32.6% >5
Slide 18: Interest Rate Hedging
Ellington Residential: Interest Rate Hedging Calculation of Exposure to Agency RMBS Based on Fair Value of TBA Portfolio: (In millions) 3/31/2014 12/31/2013 Agency-related Portfolio Long Agency RMBS $ 1,296 $ 1,295 (1) Net Short TBA Positions (443) (389) Net Long Exposure to Agency RMBS $ 853 $ 906
Slide 19: Interest Rate Hedging Continued
Ellington Residential: Interest Rate Hedging Continued March 31, 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 $ (101) 0.80 % 0.24 % 2.52 2017 113,750 (403) 1.20 % 0.
Slide 20: Supplemental Information
Supplemental Information
Slide 21: Income Statement (Unaudited)
Ellington Residential: Income Statement (Unaudited) CONSOLIDATED STATEMENT OF OPERATIONS Three Month Three Month Period Ended Period Ended March 31, 2014 December 31, 2013 (In thousands except share amounts) INTEREST INCOME (EXPENSE) Interest income $ 11,959 $ 12,050 Interest expense (1,155) (1,283)
Slide 22: Balance Sheet (Unaudited)
Ellington Residential: Balance Sheet (Unaudited) CONSOLIDATED BALANCE SHEET As of March 31, 2014 December 31, 2013(1) (In thousands except share amounts) ASSETS Cash and cash equivalents $ 51,106 $ 50,112 Real estate securities, at fair value 1,327,629 1,326,036 Due from brokers 10,725 18,347 Financ
Slide 23: Reconciliation of Core Earnings
Reconciliation of Core Earnings(1) Three Month Period Ended Three Month Period Ended (In thousands except share amounts) March 31, 2014 December 31, 2013 Net Income (Loss) $ 2,761 $ (124) Less: Net realized losses on real estate securities (3,025) (11,164) Net realized losses on financial derivative
Slide 24: 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 130 employees, giving EARN access to time-tested infrastructure and industr
Slide 25: Investor Contact
Investor Contact: Media Contact: Lisa Mumford Steve Bruce or Taylor Ingraham 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 Forest Ave Old Greenwich, CT 06870 www.e
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