Ellington Credit Company · NYSE:EARN

Ellington Credit — Ellington Residential Mortgage REIT — Q3 2015 Earnings Presentation

25 slides from Ellington Credit's earnings presentation, Nov 4, 2015

  1. Slide 1: Third Quarter 2015 Earnings Conference Call

    Third Quarter 2015 Earnings Conference Call November 4, 2015

  2. 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

  3. Slide 3: Third Quarter 2015

    Third Quarter 2015

  4. Slide 4: Third Quarter Highlights

    Ellington Residential: Third Quarter Highlights  Net loss of $4.8 million, or $0.53 per share Overall  Agency RMBS spreads widened substantially relative to U.S. Treasuries and interest rate swaps Results  Losses on interest rate hedges more than offset interest income and net gains on Agency RMB

  5. Slide 5: Agency RMBS

    Ellington Residential: Agency RMBS  Interest rates fell and the yield curve flattened during the third quarter  Swap rates decreased at both ends of the curve; 2-year and 10-year swap rates dropped 0.16% and 0.46%, respectively  10-year swap spread to U.S Treasury securities became negative for t

  6. Slide 6: Non-Agency RMBS

    Ellington Residential: Non-Agency RMBS  Non-Agency RMBS credit spreads widened during the third quarter but not nearly to the same degree as other fixed-income sectors Overall Market  Strength in fundamental data, including mortgage delinquency and foreclosure rates, provide Conditions support to

  7. Slide 7: Spreads Widened Towards Quarter End

    Spreads Widened Towards Quarter End Fannie Mae 3.5 OAS vs. Spread of IG Index Fannie Mae 3.5 OAS vs. Spread of HY Index 100 40 550 40 38 38 95 36 500 36 90 34 34 85 32 450 32 80 30 30 28 400 28 75 26 26 70 24 350 24 65 22 22 60 20 300 20 Jun-15 Jul-15 Aug-15 Sep-15 Jun-15 Jul-15 Aug-15 Sep-15 IG Spr

  8. Slide 8: Agency MBS Prices Are Much More Attractive Than Earlier in the Year

    Agency MBS Prices Are Much More Attractive Than They Were Earlier in the Year 10-Year Swap Rate vs. FNCL 3.5 Forward Price: January 1, 2015 – September 30, 2015 $106.00 $105.50 $105.00 $104.50 FNCL 3.5 Price $104.00 $103.50 $103.00 $102.50 Red = 9/30/2015 $102.00 $101.50 1.8 1.9 2.0 2.1 2.2 2.3 2.4

  9. Slide 9: Agency MBS Prices Are Much More Attractive (continued)

    Agency MBS Prices Are Much More Attractive Than They Were Earlier in the Year (continued) 5-Year Swap Rate vs. FNCL 3.5 Forward Price: January 1, 2015 – September 30, 2015 $106.00 $105.50 $105.00 $104.50 FNCL 3.5 Pirce $104.00 $103.50 $103.00 $102.50 Red = 9/30/2015 $102.00 $101.50 1.3 1.4 1.5 1.6 1

  10. Slide 10: Portfolio

    Portfolio

  11. Slide 11: Portfolio Summary

    Ellington Residential: Portfolio Summary September 30, 2015 June 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 $ 162,543 $ 171,824 $ 105.77 $ 170,327 $ 10

  12. Slide 12: Agency Long Portfolio

    Ellington Residential: Agency Long Portfolio Current Quarter Agency Long Portfolio Previous Quarter Agency Long Portfolio As of 9/30/15: $1.25BN(1) As of 6/30/15: $1.30BN(1) GNMA RM FNMA/FHLM GNMA RM FNMA/FHLM Fixed ARMS Fixed ARMS 4.8% 3.1% GNMA/FNMA/ GNMA Fixed 4.3% 3.2% GNMA/FNMA/ GNMA Fixed FHLM

  13. Slide 13: Agency Long Portfolio: Collateral Characteristics

    Ellington Residential: Agency Long Portfolio Collateral Characteristics and Historical 3-month CPR Collateral Characteristics and Historical 3-month CPR Agency Fixed Rate Pool Portfolio 9/30/15: $1.15BN(1) Agency Fixed Rate Pool Portfolio 6/30/15: $1.20BN(1) Geography Geography <1% <1% Other Other 7

  14. Slide 14: Non-Agency Long Portfolio

    Ellington Residential: Non-Agency Long Portfolio Current Quarter Previous Quarter Non-Agency Long Portfolio 9/30/15: $28.9MM Non-Agency Long Portfolio 6/30/15: $30.3MM Sub Jumbo/ Sub Jumbo/ Alt-A Alt-A 34.2% 34.6% Senior Jumbo/ Senior Jumbo/ Alt-A/Alt-B Alt-A/Alt-B 54.4% 55.3% Seasoned Seasoned Subp

  15. Slide 15: Borrowings and Hedges

    Borrowings and Hedges

  16. Slide 16: Repo Borrowings

    Ellington Residential: Repo Borrowings September 30, 2015 June 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 days o

  17. Slide 17: Interest Rate Hedging Portfolio

    Ellington Residential: Interest Rate Hedging Portfolio Current Quarter Previous Quarter Agency Interest Rate Hedging Portfolio 9/30/15: Agency Interest Rate Hedging Portfolio 6/30/15: Short $516.0MM 10-year equivalents Short $636.5MM 10-year equivalents >5 Yr Treasuries >5 Yr Treasuries 2.9% 4.1% TB

  18. 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) 9/30/2015 6/30/2015 Agency-related Portfolio Long Agency RMBS $ 1,252 $ 1,305 (1) Net Short TBA Positions (382) (520) Net Long Exposure to Agency RMBS $ 870 $ 785 

  19. Slide 19: Interest Rate Hedging (Continued)

    Ellington Residential: Interest Rate Hedging (Continued) September 30, 2015 Interest Rate Swap (Fixed Payer) Weighted Average Weighted Average Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Years to Maturity (In thousands) 2016 $ 48,000 $ (214) 0.80 % 0.31 % 1.02 2017 74,

  20. Slide 20: Supplemental Information

    Supplemental Information

  21. Slide 21: Income Statement (Unaudited)

    Ellington Residential: Income Statement (Unaudited) CONSOLIDATED STATEMENT OF OPERATIONS Nine Month Period Three Month Period Ended Ended September 30, 2015 June 30, 2015 September 30, 2015 (In thousands except share amounts) INTEREST INCOME (EXPENSE) Interest income $ 11,315 $ 9,841 $ 31,436 Intere

  22. Slide 22: Balance Sheet (Unaudited)

    Ellington Residential: Balance Sheet (Unaudited) CONSOLIDATED BALANCE SHEET As of Septem ber 30, 2015 June 30, 2015 Decem ber 31, 2014(1) (In thousands except share amounts) ASSETS Cash and cash equivalents $ 40,482 $ 43,978 $ 45,237 Mortgage-backed securities, at fair value 1,280,892 1,334,823 1,39

  23. Slide 23: Reconciliation of Core Earnings

    Reconciliation of Core Earnings(1) Three Month Period Ended Three Month Period Ended (In thousands except share amounts) September 30, 2015 June 30, 2015 Net Income (Loss) $ (4,817) $ 190 Less: Net realized gains on mortgage-backed securities 596 1,442 Net realized losses on financial derivatives, e

  24. 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 160 employees, giving EARN access to time-tested infrastructure and industr

  25. Slide 25: Investor Contact

    Investor Contact: Media Contact: Lindsay Tragler, 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

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