Ellington Credit Company · NYSE:EARN
Ellington Credit — Ellington Residential Mortgage REIT — Q1 2015 Earnings Presentation
24 slides from Ellington Credit's earnings presentation, May 6, 2015
Slide 1: First Quarter 2015 Earnings Conference Call
First Quarter 2015 Earnings Conference Call May 6, 2015
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 2015
First Quarter 2015
Slide 4: First Quarter Highlights
Ellington Residential: First Quarter Highlights First quarter net income of $3.7 million, or $0.40 per share Overall Strong performance of long bond portfolio partially offset by net losses on interest rate hedges, primarily Results in the form of interest rate swaps and short TBAs Core Earnin
Slide 5: Agency RMBS
Ellington Residential: Agency RMBS Yield curve experienced continued flattening trend during the first quarter Prepayment rates increased significantly in the first quarter; prepayments had previously been Overall Market relatively muted in response to lower mortgage rates Conditions TBA roll
Slide 6: Non-Agency RMBS
Ellington Residential: Non-Agency RMBS Non-Agency RMBS continues to exhibit relative price stability, even against a backdrop of increased volatility in the broader markets Overall Market Ongoing improvements in fundamental data, including mortgage delinquency and foreclosure Conditions rates, p
Slide 7: Since the Beginning of the Year, Pay-ups Have Increased, but Interest Rates Have Retraced
Since the Beginning of the Year, Pay-ups Have Increased, but Interest Rates Have Retraced 10-year U.S. Treasury yield (inverted) and Pay-up for FNCL 4.0 specified pools with a maximum loan balance of $110,000 -1.7 80 10-year U.S. Treasury yield (inverted) 75 -1.8 70 -1.9 65 Pay-up (bps) 60 -2.0 55 -
Slide 8: Pay-ups on 4.0s Increased Even Though TBA Prices Declined
Pay-ups on 4.0s Increased Even Though TBA Prices Declined Pay-up for FNCL 4.0s with a maximum loan balance of $110,000 and Price of TBA FNCL 4.0s 107.0 80 106.9 75 106.8 70 Pay-up (bps) 106.7 65 TBA Price 106.6 60 106.5 55 106.4 50 106.3 45 106.2 40 106.1 35 106.0 30 01/05/2015 01/19/2015 02/02/2015
Slide 9: Portfolio
Portfolio
Slide 10: Portfolio Summary
Ellington Residential: Portfolio Summary March 31, 2015 December 31, 2014 Current Average Average Current Average Average Fair Value Cost Fair Value Cost (In thousands) Principal Price(1) Cost(1) Principal Price(1) Cost(1) Agency RMBS(2) 15-year fixed rate $ 139,211 $ 148,363 $ 106.57 $ 146,231 $ 10
Slide 11: Agency Long Portfolio
Ellington Residential: Agency Long Portfolio Current Quarter Agency Long Portfolio Previous Quarter Agency Long Portfolio As of 3/31/15: $1.36BN(1) As of 12/31/14: $1.36BN(1) GNMA/FNMA/ GNMA/FNMA/ GNMA RM Fixed GNMA RM Fixed FHLM Fixed IOs FHLM Fixed IOs 3.3% 2.4% 0.8% 0.5% FNMA/FHLM FNMA Fixed FNMA
Slide 12: 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 3/31/15: $1.26BN(1) Agency Fixed Rate Pool Portfolio 12/31/14: $1.27BN(1) Jumbo Geography Geography <1% <1% <1% Ot
Slide 13: Non-Agency Long Portfolio
Ellington Residential: Non-Agency Long Portfolio Current Quarter Previous Quarter Non-Agency Long Portfolio 3/31/15: $31.7MM Non-Agency Long Portfolio 12/31/14: $32.5MM Sub Jumbo/ Alt-A 34.1% Sub Jumbo/ Alt-A 42.0% Senior Jumbo/ Alt-A/Alt-B 48.1% Senior Jumbo/ Alt-A/Alt-B 56.0% Seasoned Seasoned Sub
Slide 14: Borrowings and Hedges
Borrowings and Hedges
Slide 15: Repo Borrowings
Ellington Residential: Repo Borrowings March 31, 2015 December 31, 2014 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
Slide 16: Interest Rate Hedging Portfolio
Ellington Residential: Interest Rate Hedging Portfolio Current Quarter Previous Quarter Agency Interest Rate Hedging Portfolio 3/31/15: Agency Interest Rate Hedging Portfolio 12/31/14: Short $519.9MM 10-year equivalents Short $598.7MM 10-year equivalents >5 Yr Treasuries >5 Yr Treasuries 9.0% 2.0% >
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) 3/31/2015 12/31/2014 Agency-related Portfolio Long Agency RMBS $ 1,357 $ 1,361 (1) Net Short TBA Positions (549) (576) Net Long Exposure to Agency RMBS $ 808 $ 785
Slide 18: Interest Rate Hedging (Continued)
Ellington Residential: Interest Rate Hedging (Continued) March 31, 2015 Interest Rate Swap Weighted Weighted Weighted Average Maturity Notional Amount Fair Value Average Pay Average Years Receive Rate Rate to Maturity (In thousands) 2016 $ 48,000 $ (189) 0.80 % 0.26 % 1.52 2017 74,750 (647) 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 Period Ended March 31, 2015 December 31, 2014 (In thousands except share amounts) INTEREST INCOME (EXPENSE) Interest income $ 10,280 $ 11,806 Interest expense (1,258) (1,165) Total net interest incom
Slide 21: Balance Sheet (Unaudited)
Ellington Residential: Balance Sheet (Unaudited) CONSOLIDATED BALANCE SHEET As of March 31, 2015 Decem ber 31, 2014(1) (In thousands except share amounts) ASSETS Cash and cash equivalents $ 53,340 $ 45,237 Mortgage-backed securities, at fair value 1,388,460 1,393,303 Due from brokers 28,740 18,531 F
Slide 22: Reconciliation of Core Earnings
Reconciliation of Core Earnings(1) Three Month Period Ended Three Month Period Ended (In thousands except share amounts) March 31, 2015 December 31, 2014 Net Income (Loss) $ 3,677 $ (1,176) Less: Net realized gains on mortgage-backed securities 6,722 3,070 Net realized losses on financial derivative
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 150 employees, giving EARN access to time-tested infrastructure and industr
Slide 24: 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
Ellington Residential Mortgage REIT — Q1 2015 Earnings Presentation on 6ix