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Q2 2025 EARNINGS Earnings Conference Call August 8, 2025 Q2 2025
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Q2 2025 EARNINGS Important Notice 2 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. Our actual results may differ from our beliefs, expectations, estimates, and projections and, consequently, you should not rely on these forward-looking statements as predictions of future events. Forward-looking statements are not historical in nature and can be identified by words such as "believe," "expect," "anticipate," "estimate," "project," "plan," "continue," "intend," "should," "would," "could," "goal," "objective," "will," "may," "seek" or similar expressions or their negative forms, or by references to strategy, plans, or intentions. Forward-looking statements are based on our beliefs, assumptions and expectations of our future operations, business strategies, performance, financial condition, liquidity and prospects, taking into account information currently available to us. These beliefs, assumptions, and expectations are subject to risks and uncertainties and can change as a result of many possible events or factors, not all of which are known to us. If a change occurs, our business, financial condition, liquidity, results of operations and strategies may vary materially from those expressed or implied in our forward-looking statements. The following factors are examples of those that could cause actual results to vary from our forward-looking statements: changes in interest rates and the market value of our investments, market volatility, changes in mortgage default rates and prepayment rates, our ability to borrow to finance our assets, changes in government regulations affecting our business, our ability to maintain our exclusion from registration under the Investment Company Act of 1940, our ability to maintain our qualification as a real estate investment trust, or "REIT," and other changes in market conditions and economic trends, such as changes to fiscal or monetary policy, heightened inflation, slower growth or recession, and currency fluctuations. Furthermore, forward-looking statements are subject to risks and uncertainties, including, among other things, those described under Item 1A of our Annual Report on Form 10-K, which can be accessed through our website at www.ellingtonfinancial.com or at the SEC's website (www.sec.gov). Other risks, uncertainties, and factors that could cause actual results to differ materially from those projected may be described from time to time in reports we file with the SEC, including reports on Forms 10-Q, 10-K and 8-K. We undertake no obligation to update or revise any forward-looking statements, whether as a result of new information, future events, or otherwise. This presentation and the information contained herein do not constitute an offer of any securities or solicitation of an offer to purchase securities. Modeling Some statements in this presentation may be derived from proprietary models developed by Ellington Management Group, L.L.C. (“Ellington”). Some examples provided may be based upon the hypothetical performance of such models. Models, however, are inherently imperfect and subject to a number of risks, including that the underlying data used by the models is incorrect, inaccurate, or incomplete, or that the models rely upon assumptions that may prove to be incorrect. The utility of model-based information is highly limited. The information is designed to illustrate Ellington’s current view and expectations and is based on a number of assumptions and limitations, including those specified herein. Certain models make use of discretionary settings or parameters which can have a material effect on the output of the model. Ellington exercises discretion as to which settings or parameters to use in different situations, including using different settings or parameters to model different securities. Actual results and events may differ materially from those described by such models. Example Analyses The example analyses included herein are for illustrative purposes only and are intended to illustrate Ellington’s analytic approach. They are not and should not be considered a recommendation to purchase or sell any security or a projection of our future results or performance. The example analyses are only as of the date specified and do not reflect changes since that time. Projected Yields and Spreads Projected yields and spreads discussed herein are based upon Ellington models and rely on a number of assumptions, including as to prepayment, default and interest rates and changes in home prices. Such models are inherently imperfect and there is no assurance that any particular investment will perform as predicted by the models, or that any such investment will be profitable. Projected yields are presented for the purposes of (i) providing insight into the strategy’s objectives, (ii) detailing anticipated risk and reward characteristics in order to facilitate comparisons with other investments, (iii) illustrating Ellington’s current views and expectations, and (iv) aiding future evaluations of performance. They are not a guarantee of future performance. They are based upon assumptions regarding current and future events and conditions, which may not prove to be accurate. There can be no assurance that the projected yields will be achieved. Investments involve risk of loss. Financial Information All financial information included in this presentation is as of June 30, 2025 unless otherwise indicated. We undertake no duty or obligation to update this presentation to reflect subsequent events or developments.
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Q2 2025 EARNINGS Second Quarter Highlights(1) 3 Overall Results • Net income: $42.9 million or $0.45 per share(2) • Economic return:(3) 3.3% for the quarter, non-annualized • Adjusted Distributable Earnings:(4) $45.0 million or $0.47 per share(4) Investment Portfolio Segment • Net income: $56.8 million or $0.60 per share • Adjustable Distributable Earnings: $53.8 million or $0.56 per share • Credit strategy: • Net income: $57.8 million or $0.61 per share • Adjusted long credit portfolio: $3.32 billion(5)(6), a 1% increase from the prior quarter • Agency strategy: • Net loss: $(1.0) million or $(0.01) per share • Long Agency portfolio: $268.5 million, a 5% increase from the prior quarter Longbridge Financial Segment • Net income: $10.7 million or $0.11 per share • Adjustable Distributable Earnings: $12.8 million or $0.13 per share • Longbridge portfolio(7): $545.6 million, a 1% decrease from the prior quarter Equity & BVPS • Total stockholders’ equity: $1.67 billion, comprising common equity of $1.33 billion and preferred equity of $332 million(8) • Book value per common share: $13.49 after total dividends declared of $0.39 for the quarter Dividends • Dividend yield of 12.3% based on the August 6, 2025 closing stock price of $12.72 per share, and monthly dividend of $0.13 per common share declared on August 7, 2025 Leverage Below Sector Average • Recourse debt-to-equity ratio(9): 1.7:1 • Total debt-to equity ratio(10): 8.7:1, including all non-recourse borrowings, which primarily consist of securitization- related liabilities • Completed 6 securitizations: 3 of closed-end second lien loans, 2 of non-QM loans, and 1 of proprietary reverse mortgage loans • Cash and cash equivalents of $211.0 million, in addition to other unencumbered assets of $708.8 million
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Q2 2025 EARNINGS Allocated Fair Value Equity(2) ($ in $1,000s) Non-QM Loans and Retained RMBS(8)(9)(10) 905,973 $ 95.1 4.0 7.6% Residential Transition Loans and Other Residential Mortgage Loans(8) 877,421 99.1 1.0 10.4% Commercial Mortgage Loans and CMBS(8)(11) 617,413 95.9 1.2 9.5% 322,721 103.0 3.0 8.1% Forward MSR-related investments(12) 174,756 N/A 7.8 8.8% Non-Agency RMBS 112,949 76.4 4.5 9.2% Consumer Loans and ABS backed by Consumer Loans(13) 89,984 -(4) 1.6 10.3% Debt and Equity Investments in Loan Origination Entities(14) 73,842 N/A N/A N/A CLOs 37,168 58.5 6.4 23.3% Corporate Debt and Equity and Corporate Loans 24,189 47.5 2.2 20.0% Non-Dollar MBS, ABS, CLO and Other(9)(13)(15) 21,403 102.3 2.6 13.5% Other investments(16) 57,326 97.8 2.6 18.5% Total - Credit 87% 3,315,145 $ 95.8 2.6 9.4% 254,461 93.2 7.5 5.0% 1,159 98.7 2.2 5.2% 12,887 N/A 6.4 9.1% 2% 268,507 $ 93.3 7.4 5.2% 280,079 128,802 105,490 31,238 11% 545,609 $ . Debt-to-Equity Ratio by Strategy and Overall(20) Recourse Total Credit 1.6x 2.5x Agency 6.4x 6.4x Longbridge 1.9x 58.3x Overall 1.7x(21) 8.7x(22) WAVG Life(5)(7) WAVG Mkt Yield(6)(7) Total - Longbridge Agency Fixed-Rate Specified Pools HMBS MSR Equivalent(19) Reverse MSRs and Unsecuritized REO Reverse Mortgage Pools IOs Total - Agency Credit Longbridge(17) Unsecuritized HECM loans(18) Average Price (%)(3)(7) Proprietary reverse mortgage loans(9) Home Equity Line of Credit and Closed-End Second Lien Loans and Retained RMBS(10)(13) 7% 80% 13% Assets 2% 87% 11% Equity Portfolio Summary as of June 30, 2025(1) 4 Equity and Asset Allocation by Strategy • Residential transition loans and other residential mortgage loans(8) consist of residential transition loans ($803.6mm), other residential loans ($47.6mm), and REO ($26.2mm) • Non-QM loans and retained RMBS(8)(9)(10) consist of non- QM loans ($682.6mm), retained non-QM tranches ($222.6mm), and REO ($0.8mm) • Debt and Equity Investments in Loan Origination Entities(13) consist of LendSure ($38.8mm) and other loan origination entities ($35.0mm)
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Q2 2025 EARNINGS Investment Portfolio Corporate/ Total Credit Agency Subtotal Longbridge Other Total Per Share Interest income and other income (1) 87,096 $ 2,840 $ 89,936 $ 28,842 $ 1,668 $ 120,446 $ 1.24 $ Interest expense (44,486) (2,243) (46,729) (16,687) (3,971) (67,387) (0.69) Realized gain (loss), net 9,038 (423) 8,615 41 - 8,656 0.09 Unrealized gain (loss), net 14,993 1,801 16,794 14,197 (1,699) 29,292 0.30 Net change from reverse mortgage loans and HMBS obligations - - - 26,605 - 26,605 0.28 Earnings in unconsolidated entities 17,072 - 17,072 - - 17,072 0.18 Interest rate hedges and other activity, net(2) (912) (2,974) (3,886) (2,506) (127) (6,519) (0.07) Credit hedges and other activities, net(3) (16,863) - (16,863) (1,688) - (18,551) (0.19) Income tax (expense) benefit - - - - (1,475) (1,475) (0.02) Investment related expenses (5,468) - (5,468) (13,179) - (18,647) (0.19) Other expenses (2,038) - (2,038) (24,944) (11,437) (38,419) (0.40) Net income (loss) 58,432 $ (999) $ 57,433 $ 10,681 $ (17,041) $ 51,073 $ 0.53 $ Dividends on preferred stock - - - - (7,036) (7,036) (0.07) Net (income) loss attributable to non- participating non-controlling interests (602) - (602) - (5) (607) (0.01) Net income (loss) attributable to common stockholders and participating non-controlling interests 57,830 $ (999) $ 56,831 $ 10,681 $ (24,082) $ 43,430 $ $0.45 Net (income) loss attributable to participating non-controlling interests - - - - (507) (507) - Net income (loss) attributable to common stockholders 57,830 $ (999) $ 56,831 $ 10,681 $ (24,589) $ 42,923 $ 0.45 $ Net income (loss) attributable to common stockholders per share of common stock 0.61 $ (0.01) $ 0.60 $ 0.11 $ (0.26) $ 0.45 $ Weighted average shares of common stock and convertible units(4) outstanding 96,995 Weighted average shares of common stock outstanding 95,862 Investment Portfolio (In thousands, except per share amounts) Operating Results by Strategy for the Quarter Ended June 30, 2025 5
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Q2 2025 EARNINGS (in thousands, except per share amounts) Investment Portfolio Longbridge Corporate/Other Total Net Income (Loss) 57,433 $ 10,681 $ (17,041) $ 51,073 $ Income tax expense (benefit) - - 1,475 1,475 Net income (loss) before income tax expense (benefit) 57,433 $ 10,681 $ (15,566) $ 52,548 $ Adjustments: Realized (gains) losses, net(2) 2,099 - - 2,099 Unrealized (gains) losses, net(3) 1,003 6,155 1,293 8,451 Unrealized (gains) losses on reverse MSRs, net of hedging (gains) losses (4) - 479 - 479 Negative (positive) component of interest income represented by Catch-up Amortization Adjustment 63 - - 63 Adjustment related to consolidated proprietary reverse mortgage loan securitizations (5) - (5,624) - (5,624) Non-capitalized transaction costs and other expense adjustments (6) 1,803 1,104 224 3,131 (Earnings) losses from investments in unconsolidated entities (17,072) - - (17,072) Adjusted Distributable Earnings from investments in unconsolidated entities(7) 9,084 - - 9,084 Total Adjusted Distributable Earnings 54,413 $ 12,795 $ (14,049) $ 53,159 $ Dividends on preferred stock - - 7,036 7,036 Adjusted Distributable Earnings attributable to non-controlling interests 587 - 532 1,119 Adjusted Distributable Earnings Attributable to Common Stockholders 53,826 $ 12,795 $ (21,617) $ 45,004 $ Adjusted Distributable Earnings Attributable to Common Stockholders, per share 0.56 $ 0.13 $ (0.22) $ 0.47 $ Three-Month Period Ended June 30, 2025 Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings(1) 6
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Q2 2025 EARNINGS A 27% B 26% C 19% D 10% E 5% F 3% G 3% H 2% I 1% J 4% $3.32 bn A 23% B 31% C 16% D 10% E 5% F 6% G 3% H 2% I 1% J 3% $3.30 bn Long Credit Portfolio* 7 *For consolidated securitization trusts, only includes retained tranches. As of 3/31/2025(1) Our adjusted long credit portfolio(10) increased by 1% to $3.32 billion as of June 30, 2025, compared to $3.30 billion as of March 31, 2025. Our portfolios of commercial mortgage bridge loans, non-QM loans, and non-Agency RMBS all expanded, driven by net purchases. Partially offsetting these increases were the impact of securitizations, and tactical sales of HELOC and non-QM loans. The size of our residential transition loan portfolio also declined, with principal paydowns in that portfolio exceeding new purchases. As of 6/30/2025(1) A: Non-QM Loans and Retained RMBS(2)(3) B: Residential Transition Loans and other Residential Mortgage Loans(2) C: Commercial Mortgage Loans & CMBS(2)(4) D: Closed-End Second Lien Loans & HELOCs(3)(6) E: Forward MSR-Related Investments(5) F: Non-Agency RMBS G: Consumer Loans & ABS backed by Consumer Loans(6) H: Debt and Equity Investments in Loan Originators(7) I: CLOs J: Other(8)(9)
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Q2 2025 EARNINGS 93% 2% <1% 5% $268.5 mm 30-Year Fixed 15- Year Fixed RM Fixed Fixed IOs 91% 3% 1% 5% $256.1 mm 30-Year Fixed 15- Year Fixed RM Fixed Fixed IOs Long Agency Portfolio • Our long Agency portfolio, while still small, increased by 5% quarter over quarter to $268.5 million, driven by net purchases As of 6/30/2025(1) As of 3/31/2025(1) 8 Category Fair Value(1) ($ in MMs) Wtd. Avg. Coupon(2) 30-Year Fixed 234.9$ 4.03% 15-Year Fixed 6.7 3.51% RM Fixed 1.5 4.45% Subtotal - Fixed 243.1$ 4.02% Fixed IOs 13.0 Total 256.1$ Category Fair Value(1) ($ in MMs) Wtd. Avg. Coupon(2) 30-Year Fixed 248.6$ 3.93% 15-Year Fixed 5.8 3.50% RM Fixed 1.2 4.39% Subtotal - Fixed 255.6$ 3.93% Fixed IOs 12.9 Total 268.5$
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Q2 2025 EARNINGS A 52% B 24% C 19% D 5% E <1% $545.6 mm A 52% B 24% C 19% D 5% E <1% $549.0 mm Longbridge Portfolio* 9 • Longbridge originates reverse mortgage loans, including home equity conversion mortgage loans, or "HECMs," which are insured by the FHA and which are eligible for inclusion in GNMA-guaranteed HECM-backed MBS, or "HMBS.“ • Upon securitization, the HECMs remain on our balance sheet under GAAP, and Longbridge retains the mortgage servicing rights associated with the HMBS. • In addition, Longbridge originates proprietary reverse mortgage loans, which are not insured by the FHA, and has typically retained the associated MSRs. • In Q2, Longbridge’s portfolio decreased by 1%, as the impact of a securitization of proprietary reverse mortgage loans slightly exceeded the impact of new originations. • Longbridge originated $427.1 million across HECM and prop, 72% through its wholesale and correspondent channels and 28% through its retail channel. • Our Longbridge segment reported a net gain with positive contributions from both originations and servicing exceeding net losses on interest rate hedges. • In originations, higher origination volumes in both HECM and proprietary reverse loans, steady origination margins for both products, and net gains related to a proprietary reverse mortgage loan securitization drove results. Meanwhile, MSR-related income, strong tail securitization executions, and a net gain on the HMBS MSR Equivalent, primarily due to tighter HMBS yield spreads, drove the positive contribution from servicing. As of 6/30/2025(1) As of 3/31/2025(1) *For consolidated proprietary reverse mortgage loan securitization trusts, only includes retained tranches. A: Proprietary reverse mortgage loans B: Unsecuritized HECM loans(2) C: HMBS MSR Equivalent (3) D: Reverse MSRs E: Other
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Q2 2025 EARNINGS Recourse Borrowings ($ in thousands) Average Average Cost Borrowings of Funds Credit(1) 2,024,410 $ 6.15% 2,060,456 $ 6.29% Agency RMBS 194,536 4.52% 197,526 4.56% Borrowings — Credit and Agency RMBS 2,218,946 $ 6.01% 2,257,982 $ 6.14% U.S. Treasury Securities 120,210 4.47% 141,883 4.47% Borrowings — including U.S. Treasury Securities 2,339,156 $ 5.93% 2,399,865 $ 6.04% Senior Notes, at par 247,750 5.89% 247,750 5.89% Subordinated Notes 15,000 7.27% 15,000 7.27% Longbridge-Related Recourse Borrowings 348,591 7.07% 337,380 7.25% Total Recourse Borrowings (2) 2,950,497 $ 6.07% 2,999,995 $ 6.17% Recourse Borrowings 2,950,497 $ Non-Recourse HMBS-Related Obligations 9,814,811 $ 1.7:1 Non-Recourse Consolidated Securitizations 2,127,225 $ Total Borrowings 14,892,533 $ Total Equity 1,689,510 $ 8.7:1 Collateral Type Outstanding Borrowings Weighted Average Borrowing Rate Recourse and Non-Recourse Leverage Summary (3) As of 6/30/2025 As of 6/30/25 Three-Month Period Ended 6/30/25 Net of Unsettled Purchases/Sales Net of Unsettled Purchases/Sales Recourse Debt-to-Equity Ratio (4) Total Debt-to-Equity Ratio (5) Summary of Borrowings 10
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Q2 2025 EARNINGS Commercial Mortgage Loan Portfolio – Detail as of 6/30/25 (1)(2) • Commercial mortgage loan portfolio is diversified geographically and across property types, with a tactical focus on multi -family. • All investments are first liens. 11 Floating with Floor FL 23% NY 21% NJ 9% TX 6% 41% Geography All Other States <5% 64%10% 7% 7% 6% 4% 1% 1% Hotel Office Industrial Mixed Use Mobile Home Retail Self-Storage Multifamily Property Type First Lien 100% Seniority 53%41% 6% Floating without Floor Fixed Interest Rate Type
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Q2 2025 EARNINGS Non-QM Loans(1) Residential Transition Loans Commercial Mortgage Loans(2) Reverse Mortgage Loans(1)(3) Strategic Originator Investment(s) √ √ √ √ Joint Ventures and/or Flow Agreements √ √ √ √ In-House Origination Team - √ √ √ Servicing Platform and Workout Capabilities √ √ √ √ Securitization Program √ In Process - √ Proprietary Loan Origination Businesses 12 Ellington Financial’s vertically integrated, proprietary loan origination businesses are designed to: • Lock in a steady flow of high-quality loan originations • Leverage Ellington’s core strengths of data analysis and modeling to help shape the underwriting criteria of the loans • Generate highly attractive ROE profiles • Represent significant potential upside to book value • Fill lending void left by banks facing strict regulations 2 3 4 Total Loans Acquired During Q2 2025 ($mm) $724.2 $107.7 $108.1 $427.1 $1,367.1 Total Loan & Retained Tranches FV at 6/30/2025 ($mm) $905.2 $803.6 $805.6 $408.9 $2,923.3 1
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Q2 2025 EARNINGS 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% EFC Hybrid REIT #02 Hybrid REIT #03 Hybrid REIT #04 Hybrid REIT #05 Hybrid REIT #06 Hybrid REIT #07 Stable Economic Return 13 Standard Deviation of Quarterly Economic Returns of Hybrid REITs, Q1-2011 – Q1-2025(1)(2) • EFC has produced the most consistent quarterly returns among its peer group with significantly lower earnings volatility, thanks to our dynamic hedging strategies, diversification and active portfolio management Company Standard Deviation EFC 3.6% Hybrid REIT #02 6.2% Hybrid REIT #03 6.3% Hybrid REIT #04 6.8% Hybrid REIT #05 9.1% Hybrid REIT #06 13.0% Hybrid REIT #07 13.9%
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Q2 2025 EARNINGS As of 6/30/2025 ($ in thousands) ∆ Fair Value % of Total Equity ∆ Fair Value % of Total Equity Agency RMBS – Fixed Pools and IOs excluding TBAs $ 6,628 0.39% $ (7,151) -0.42% Long TBAs 3,451 0.20% (4,234) -0.25% Short TBAs (5,976) -0.35% 7,461 0.44% Non-Agency RMBS, CMBS, Other ABS, MSRs, Mortgage and Other Loans 26,457 1.57% (33,686) -1.99% Interest Rate Swaps (23,306) -1.38% 22,786 1.35% U.S. Treasury Securities (4,257) -0.25% 4,117 0.24% Eurodollar and Treasury Futures (3,765) -0.22% 3,665 0.22% Corporate Securities and Other (327) -0.02% 260 0.02% Repurchase Agreements, Reverse Repurchase Agreements, (2,023) -0.12% 2,006 0.12% and Senior Notes Outstanding Total (3,118) $ -0.18% (4,776) $ -0.28% Less: Estimated Change in Fair Value attributable to Preferred Stock (2,630) 2,701 Estimated Change in Fair Value attributable to Common Stock (5,748) $ (2,075) $ As % of Common Equity -0.42% -0.15% Estimated Change in Fair Value 50 Basis Point Decline in Interest Rates 50 Basis Point Increase in Interest Rates Interest Rate Sensitivity Analysis(1) 14 • EFC’s dynamic interest rate hedging, along with the short duration of many of our loan portfolios, is designed to reduce our exposure to fluctuations in interest rates.
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Q2 2025 EARNINGS 15 Supplemental Slides
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Q2 2025 EARNINGS Commitment to ESG 16 Environmental • Our offices are conveniently located near mass transportation. • We provide financial support and incentives to our employees who use public transit. • To reduce energy usage, we use Energy Star® certified desktops, monitors and printers; and utilize motion sensor lighting and cooling to reduce energy usage in non- peak hours. • To reduce waste and promote a cleaner environment, we use green cleaning supplies and kitchen products; recycle electronics, ink cartridges, and packaging; provide recycling containers to employees; and use water coolers to reduce waste. • We have reduced the number of single use cups and plastic water bottles in our offices. Social • We invest in home mortgage loans, which support homeownership and stability within communities. • Ellington and senior members of management sponsor numerous charitable causes, including several devoted to diversity and children in need. We also support employee charitable contributions through matching gift programs, hosting food drives, and other community events. • Our employees have access to robust health and wellness programs. Ellington also supports various events that support health and wellness. • We provide opportunities for personal growth with training, including facilitating a lunch & learn series, and reimbursing professional continuing education. We also support professional development through mentorship programs and affinity groups, such as a women’s networking group. • We are in compliance with applicable employment codes and guidelines, including ADA, Equal Opportunity Employment, Non-Discrimination, Anti- Harassment and Non-Retaliation codes. Governance • We operate under a Code of Business Conduct and Ethics. • EFC has a separate independent Chairman, and the majority of Board members are independent. • We hold annual elections of Directors. • We are committed to providing clear and consistent disclosure and maintaining a high level of transparency • We have an established Whistleblower policy to encourage transparency and accountability. • Robust process for stockholder engagement. • Strong alignment through $54mm co- investment(1)
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Q2 2025 EARNINGS Quarter Ended 6/30/2025 Q2/Q1 3/31/2025 Q1/Q4 12/31/2024 Q4/Q3 9/30/2024 UST (%)(1) 3M UST 4.29 -0.00 4.29 -0.02 4.31 -0.30 4.62 2Y UST 3.72 -0.16 3.88 -0.36 4.24 +0.60 3.64 5Y UST 3.80 -0.15 3.95 -0.43 4.38 +0.82 3.56 10Y UST 4.23 +0.02 4.21 -0.36 4.57 +0.79 3.78 30Y UST 4.77 +0.20 4.57 -0.21 4.78 +0.66 4.12 3M10Y Spread -0.06 +0.03 -0.09 -0.34 0.25 +1.09 -0.84 2Y10Y Spread 0.51 +0.19 0.32 -0.01 0.33 +0.19 0.14 SOFR (%) (1) 1M 4.32 +0.00 4.32 -0.01 4.33 -0.51 4.85 3M 4.29 +0.00 4.29 -0.02 4.31 -0.29 4.59 1M3M Spread -0.03 +0.00 -0.03 -0.00 -0.03 +0.23 -0.25 Mortgage Rates (%) (2) 15Y 6.06 +0.02 6.04 -0.39 6.43 +0.96 5.47 30Y 6.77 +0.12 6.65 -0.20 6.85 +0.77 6.08 Credit Spreads (1) Markit CDX North America HY Index - Spread 318.04 -58.26 376.31 +64.82 311.49 -17.73 329.21 Markit CDX North America IG Index - Spread 51.06 -10.39 61.45 +11.61 49.84 -2.86 52.71 TSY-based OAS (bps)(3)(4) FNMA30Y2.5 OAS 30.8 -1.8 32.6 +0.6 32.0 +7.9 24.1 FNMA30Y4.5 OAS 13.3 +1.0 12.3 +0.9 11.4 -7.5 18.9 FNMA30Y6.0 OAS 31.2 +8.5 22.7 -4.3 27.0 +11.4 15.6 TSY-based ZSpread (bps)(3)(5) FNMA30Y2.5 ZSpread 43.8 -4.9 48.7 +0.8 47.9 +5.0 42.9 FNMA30Y4.5 ZSpread 65.7 -5.6 71.3 +4.3 67.0 -16.7 83.7 FNMA30Y6.0 ZSpread 132.5 +0.1 132.4 +5.0 127.4 +36.6 90.8 FNMA Pass-Thrus(1) 30Y2.5 $83.09 -$0.13 $83.22 $1.80 $81.41 -$4.91 $86.32 30Y4.5 $95.75 $0.03 $95.72 $1.66 $94.06 -$4.31 $98.38 30Y6.0 $101.66 $0.13 $101.52 $1.04 $100.48 -$1.70 $102.19 Second Quarter Market Update 17
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Q2 2025 EARNINGS ($ in thousands) Long Notional Short Notional Net Notional Fair Value Mortgage-Related Derivatives: CDS on MBS and MBS Indices 199 $ (28,511) $ (28,312) $ 2,250 $ Total Net Mortgage-Related Derivatives 2,250 $ Corporate-Related Derivatives: CDS on Corporate Bonds and Corporate Bond Indices 73,371 (1,079,343) (1,005,972) (34,468) Options 7,446 - 7,446 4,320 Warrants(2) 102 - 102 - Total Net Corporate-Related Derivatives (30,148) $ Interest Rate-Related Derivatives: TBAs 73,114 (216,421) (143,307) (1,454) Interest Rate Swaps 4,529,206 (6,554,468) (2,025,262) 110,173 U.S. Treasury Futures(3) 48,900 (205,500) (156,600) (1,779) Total Interest Rate-Related Derivatives 106,940 $ Other Derivatives: Foreign Currency Forwards(4) - (18,727) (18,727) (270) Total Net Other Derivatives (270) $ Net Total 78,772 $ Derivatives Summary as of June 30, 2025(1) 18
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Q2 2025 EARNINGS • EFC’s dynamic credit hedging strategy seeks to reduce book value volatility. • In recent periods, we have tended to increase our credit hedges in response to tighter credit spreads. • During market-wide negative credit shocks, our credit hedges not only help stabilize our book value, but they also bolster our liquidity, as we have daily access (in cash) to the mark-to-market gains on these positions. Credit Hedging Portfolio(1)(2) 19 (600.00) (500.00) (400.00) (300.00) (200.00) (100.00) - 3/31/2025 6/30/2025 Instrument Category Corporate CDS Indices/ Tranches/ Options/ Single Names CMBX Units HY CDX OTR Bond Equivalent Value(3)(4) Bond Equivalent Value(4)
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Q2 2025 EARNINGS 3% 25% 3% 69% Diversified Credit Portfolio 20 • Our flexible approach allocates capital to the sectors where we see the best relative value as market conditions change.(1) • We believe that our analytical expertise, research and systems provide an edge that will generate attractive risk-adjusted returns over market cycles. Note: Percentages shown reflect share of total fair market value of credit portfolio(2)(3) Other Commercial Mortgages • Bridge Loans • CMBS, B-Pieces & Credit Bonds • NPLs • REO Consumer Loans • Installment Loans • Auto Loans • ABS Residential Mortgages • Non-QM Loans • Residential Transition Loans • MSR-Related Investments • HELOCs • Closed-End Second Lien Loans • NPL / RPL • Non-Agency / Non-Conforming • REO • Single-Family Rental MBS Diversified sources of return to perform over market cycles
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Q2 2025 EARNINGS A 38.1% B 56.9% C 5.0% $200.6mm A 51.9% B 43.3% C 4.8% $294.2mm Agency Interest Rate Hedging Portfolio(1) 21 We deploy a dynamic and adaptive hedging strategy to preserve book value As of 3/31/2025 Short $200.6 mm 10-yr equivalents(1) Short $294.2 mm 10-yr equivalents(1) • We hedge along the entire yield curve to protect against volatility, defend book value and more thoroughly control interest rate risk. • Shorting “generic” pools (in the form of TBAs) allows EFC to significantly reduce interest rate risk and basis risk in its Agency portfolio. • For those Agency pools hedged with comparable TBAs, the biggest risk is a drop in “pay-ups.” • Average pay-ups on our specified pools increased slightly to 0.71% as of 6/30/2025, as compared to 0.69% as of 3/31/2025. • We also hedge interest rate risk with swaps, U.S. Treasury securities, and other instruments. • As of both 6/30/2025 and 3/31/2025, we had a net long TBA position on a duration-weighted basis associated with the Agency strategy. A: >5 Yr Interest Rate Swaps B: 2-5Yr Interest Rate Swaps C: <2 Yr Interest Rate Swaps As of 6/30/2025
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Q2 2025 EARNINGS Characteristic(2) Fair Value(1)(3) 3-Month CPR %(4) Geography $50.5 5.8 Loan Balance 49.8 6.6 Low FICO 47.0 6.8 High LTV 18.3 3.3 Non-Owner 14.1 11.5 Jumbo 0.7 1.0 Other 63.2 11.3 Total $243.6 7.7 21% 21% 19% 8% 6% <1% 25% Geography Loan Balance Non- Owner Low FICO Other Jumbo 21% 20% 19% 8% 6% <1% 26% Geography Loan Balance Non- Owner Low FICO Other Jumbo CPR Breakout of Agency Fixed Long Portfolio 22 Collateral Characteristics and Historical 3-Mo CPR Average for Quarter Ended 3/31/2025(1) Collateral Characteristics and Historical 3-Mo CPR Average for Quarter Ended 6/30/2025(1) High LTV High LTV Characteristic(2) Fair Value(1)(3) 3-Month CPR %(4) Geography $49.5 10.3 Loan Balance 48.8 5.8 Low FICO 44.2 7.2 High LTV 18.6 14.4 Non-Owner 13.7 1.5 Jumbo 0.7 0.1 Other 60.0 8.0 Total $235.6 8.0
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Q2 2025 EARNINGS 30 Days or Less 14% 31-90 Days 21% 91-180 Days 44% 181-364 Days 15% >364 Days 6% Repo Borrowings(1) 23 • Repo borrowings with 24 counterparties, with the largest representing approximately 16% of total repo borrowings • Weighted average remaining days to maturity of 135 days, a decrease of 18 days from March 31, 2025 • Maturities are staggered to mitigate liquidity risk Borrowings by Days to Maturity ($ in thousands) Remaining Days to Maturity Credit Agency U.S. Treasury Reverse Mortgage Loans Total % of Total Borrowings 30 Days or Less 28,014 $ 185,338 $ 120,210 $ -$ 333,562 $ 14.2% 31-90 Days 333,844 7,356 - 23,123 364,323 15.5% 91-180 Days 1,024,593 1,842 - 16,514 1,042,949 44.4% 181-364 Days 346,280 - - - 346,280 14.8% >364 Days 260,344 - - - 260,344 11.1% Total Borrowings 1,993,075 $ 194,536 $ 120,210 $ 39,637 $ 2,347,458 $ 100.0% Weighted Average Remaining Days to Maturity 156 16 1 73 135 Repo Borrowings as of June 30, 2025
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Q2 2025 EARNINGS Resilient Profit Generation Over Market Cycles(1)(2) 24 Note: Percentages of average total equity during the period. COVID Pandemic Taper Tantrum Credit Crisis ($ in thousands) Long: Credit $ 125,972 7.7% $ 156,663 9.9% $ 103,239 7.7% $ (74,934) -6.0% $188,562 18.1% $53,736 6.2% $73,919 11.1% $61,201 10.0% $61,136 9.6% Credit Hedge and Other (13,246) -0.8% (13,724) -0.9% (7,095) -0.5% 3,227 0.3% (1,887) -0.2% 8,027 0.9% (11,237) -1.7% 8,020 1.3% (11,997) -1.9% Interest Rate Hedge: Credit (5,727) -0.4% 8,813 0.6% (3,824) -0.3% 34,397 2.7% 4,738 0.5% (7,938) -0.9% (1,345) -0.2% 115 0.0% (851) -0.1% Long: Agency 7,611 0.5% (14,904) -0.9% 2,768 0.2% (181,913) -14.5% (17,885) -1.7% 45,957 5.3% 48,175 7.2% (5,979) -1.0% 10,246 1.6% Interest Rate Hedge and Other: Agency (4,828) -0.3% 16,984 1.1% 8,297 0.6% 150,395 12.0% 17,031 1.6% (33,672) -3.9% (25,309) -3.8% 3,144 0.5% (5,218) -0.8% Longbridge Financial 9,688 0.6% 37,345 2.4% 9,695 0.7% 14,492 1.2% - - - - - - - - - - Gross Profit (Loss) $ 119,470 7.3% $ 191,177 12.1% $ 113,080 8.4% $ (54,336) -4.3% $190,559 18.3% $66,110 7.6% $84,203 12.7% $66,501 10.9% $53,316 8.4% ($ in thousands) Long: Credit $36,203 5.3% $46,892 6.1% $77,636 11.4% $109,536 18.5% $129,830 30.0% $1,505 0.4% $70,840 21.9% $101,748 36.3% (64,565) -26.2% Credit Hedge and Other (40,548) -5.9% 10,671 1.4% (1,197) -0.2% (19,286) -3.3% (14,642) -3.4% 19,895 5.2% (7,958) -2.5% 10,133 3.6% 78,373 31.8% Interest Rate Hedge: Credit (371) -0.1% (4,899) -0.6% (9,479) -1.4% 8,674 1.5% (3,851) -0.9% (8,171) -2.1% (12,150) -3.8% (1,407) -0.5% (3,446) -1.4% Long: Agency 17,166 2.5% 23,629 3.1% 61,126 9.0% (14,044) -2.4% 37,701 8.7% 63,558 16.5% 21,552 6.7% 22,171 7.9% 4,763 1.9% Interest Rate Hedge and Other: Agency (8,226) -1.2% (17,166) -2.2% (47,634) -7.0% 19,110 3.2% (20,040) -4.6% (54,173) -14.0% (14,524) -4.5% (8,351) -3.0% (6,414) -2.6% Longbridge Financial - - - - - - - - - - - - - - - - - - Gross Profit (Loss) $4,224 0.6% $59,127 7.7% $80,452 11.8% $103,990 17.6% $128,998 29.8% $22,614 5.9% $57,760 17.8% $124,294 44.4% $8,711 3.5% Years Ended 2014 2013 2012 2011 20102016 2024 2015 Six-Month Period Ended June 30 Years Ended 2025 2023(3) 2022 2021 2020 2019 2018 2017 2009 2008
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Q2 2025 EARNINGS Total Return Since Inception 25 EFC has successfully preserved book value over market cycles, while producing strong results for investors • EFC life-to-date diluted net asset value-based total return from inception in August 2007 through Q2 2025 is approximately 315.2%, or 8.3% annualized(1) Diluted BVPS Plus Cumulative Dividends $19.69 $18.70 $23.13 $26.77 $28.86 $29.49 $34.32 $37.70 $39.96 $41.12 $40.73 $41.88 $43.59 $44.96 $45.33 $47.77 $46.23 $46.81 $48.10 $48.85 $10.00 $15.00 $20.00 $25.00 $30.00 $35.00 $40.00 $45.00 $50.00 2008 H1 2008 H2 2009 H1 2009 H2 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 H1 2025
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Q2 2025 EARNINGS Capital, Leverage & Portfolio Composition Leverage by Strategy (Debt-to-Equity)(1) Recourse Leverage by Strategy (Debt-to-Equity)(3) Capital Usage By Strategy(1) Credit, Agency, and Longbridge Portfolios by Fair Value(2) $ in Millions 26 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 9/30/2024 12/31/2024 3/31/2025 6/30/2025 Credit Agency Longbridge 3,264.0 3,421.7 3,296.5 3,315.5 394.6 296.7 256.1 268.5 494.2 420.2 549.0 545.6 $0 $500 $1,000 $1,500 $2,000 $2,500 $3,000 $3,500 9/30/2024 12/31/2024 3/31/2025 6/30/2025 Credit Agency Longbridge 8.4 8.8 8.8 8.8 5.9 6.7 5.4 6.4 8.3 8.8 8.7 8.7 4.0 6.0 8.0 10.0 9/30/2024 12/31/2024 3/31/2025 6/30/2025 Credit/Longbridge Agency Aggregate 1.7 1.7 1.6 1.6 5.9 6.7 5.4 6.4 1.8 1.8 1.7 1.7 - 2.0 4.0 6.0 8.0 9/30/2024 12/31/2024 3/31/2025 6/30/2025 Credit/Longbridge Agency Aggregate
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Q2 2025 EARNINGS (in thousands, except share and per share amounts) June 30, 2025 March 31, 2025 Assets Cash and cash equivalents $ 211,013 $ 203,288 Restricted cash 19,617 14,027 Securities, at fair value 938,454 943,281 Loans, at fair value 14,668,365 14,274,158 Loan commitments, at fair value 8,785 7,215 Forward MSR-related investments, at fair value 81,256 87,203 Mortgage servicing rights, at fair value 29,276 29,536 Investments in unconsolidated entities, at fair value 307,722 269,093 Real estate owned 48,821 65,447 Financial derivatives – assets, at fair value 160,584 157,308 Reverse repurchase agreements 348,389 334,145 Due from brokers 45,973 43,023 Investment related receivables 170,657 184,431 Other assets 32,983 32,073 Total Assets $ 17,071,895 $ 16,644,228 Liabilities Securities sold short, at fair value 264,511 264,511 Repurchase agreements 2,347,458 2,568,627 Financial derivatives – liabilities, at fair value 81,812 63,149 Due to brokers 30,098 53,848 Investment related payables 42,767 28,546 Other secured borrowings 340,289 268,173 Other secured borrowings, at fair value 2,127,225 1,926,711 HMBS-related obligations, at fair value 9,814,811 9,495,132 Unsecured borrowings, at fair value 249,036 247,337 Base management fee payable to affiliate 6,270 6,092 Incentive fee payable to affiliate - 4,533 Dividends payable 17,495 17,015 Interest payable 17,482 20,474 Accrued expenses and other liabilities 43,131 42,464 Total Liabilities $ 15,382,385 $ 15,006,612 Equity Preferred stock, par value $0.001 per share, 100,000,000 shares authorized; 13,800,089 and 13,800,089 shares issues and outstanding, and $345,002 and $345,002 aggregate liquidation preference, respectively $ 331,958 $ 331,958 Common stock, par value $0.001 per share, 300,000,000 shares authorized, respectively; 97,891,157 and 94,428,880 shares issued and outstanding, respectively (1) 98 94 Additional paid-in-capital 1,707,544 1,661,528 Retained earnings (accumulated deficit) (374,048) (379,316) Total Stockholders’ Equity $ 1,665,552 $ 1,614,264 Non-controlling interests 23,958 23,352 Total Equity $ 1,689,510 $ 1,637,616 Total Liabilities and Equity $ 17,071,895 $ 16,644,228 Supplemental Per Share Information: Book Value Per Common Share (2) $ 13.49 $ 13.44 Condensed Consolidated Balance Sheet (Unaudited) 27
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Q2 2025 EARNINGS (In thousands, except per share amounts) June 30, 2025 March 31, 2025 Net Interest Income Interest income 115,471 $ 115,913 $ Interest expense (72,128) (72,656) Total net interest income 43,343 $ 43,257 $ Other Income (Loss) Realized gains (losses) on securities and loans, net 6,911 (8,804) Realized gains (losses) on financial derivatives, net (519) 11,641 Realized gains (losses) on real estate owned, net (1,356) (934) Realized gains (losses) on unsecured borrowings, at fair value - (1,383) Unrealized gains (losses) on securities and loans, net 59,810 46,108 Unrealized gains (losses) on financial derivatives, net (25,608) (27,115) Unrealized gains (losses) on real estate owned, net (1,396) (3,311) Unrealized gains (losses) on other secured borrowings, at fair value, net (25,844) (31,364) Unrealized gains (losses) on unsecured borrowings, at fair value (1,699) 1,027 Net change from HECM reverse mortgage loans, at fair value 168,817 176,990 Net change related to HMBS obligations, at fair value (142,212) (147,471) Other, net 12,295 24,266 Total other income (loss) 49,199 39,650 Expenses Base management fee to affiliate, net of rebates 6,270 6,092 Incentive fee to affiliate - 4,533 Investment related expenses: Servicing expense 7,220 7,019 Debt issuance costs related to Other secured borrowings, at fair value 2,280 - Other 9,147 6,608 Professional fees 3,143 3,716 Compensation and benefits 21,332 16,942 Other expenses 7,674 7,073 Total expenses 57,066 51,983 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings from Investments in Unconsolidated Entities 35,476 30,924 Income tax expense (benefit) 1,475 (96) Earnings (losses) from investments in unconsolidated entities 17,072 8,304 Net Income (Loss) 51,073 $ 39,324 $ Net Income (Loss) attributable to non-controlling interests 1,114 640 Dividends on preferred stock 7,036 7,035 Net Income (Loss) Attributable to Common Stockholders 42,923 $ 31,649 $ Net Income (Loss) per Common Share: Basic and Diluted 0.45 $ 0.35 $ Weighted average shares of common stock outstanding 95,862 91,601 Weighted average shares of common stock and convertible units outstanding 96,995 92,529 Three-Month Period Ended Condensed Consolidated Statement of Operations (Unaudited) 28
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Q2 2025 EARNINGS About Ellington Management Group 29 Ellington and its Affiliated Management Companies • Our external manager Ellington Financial Management LLC is part of the Ellington family of SEC-registered investment advisors(3) • Ellington Management Group and its affiliates manage Ellington Financial Inc. (EFC), Ellington Credit Company (EARN), multi-investor hedge funds, separately managed accounts, and opportunistic private funds • Time-tested infrastructure and proprietary resources in trading, research, risk management, and operational support Industry-Leading Research & Trading Expertise • Sophisticated proprietary models for prepayment and credit analysis • Approximately 20% of employees dedicated to research and technology • Structured credit trading experience and analytical skills developed since the firm’s founding 30 years ago • Ellington’s portfolio managers are among the most experienced in the MBS sector Ellington Profile As of 6/30/2025 Founded: 1994 Employees: >160 Investment Professionals: >60 Global offices: 3 $16.1 Billion in assets under management 30 Years of average industry experience of senior portfolio managers 9 Employee-partners own the firm(1) $54mm Management’s ownership of EFC, representing strong alignment(2)
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Q2 2025 EARNINGS Investment Highlights of EFC 30 Diversified investment portfolio across residential mortgage, commercial mortgage, consumer loan, and corporate loan sectors Proprietary portfolio of high- yielding, short-duration loans Dynamic interest-rate and credit hedging designed to reduce volatility of book value and earnings Strategic debt and equity investments in multiple loan originators, including reverse mortgage originator and servicer Longbridge Financial Diversified sources of financing, including long term non mark-to-market financing facilities and securitizations Strong alignment with $54mm co-investment(1)
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Q2 2025 EARNINGS Endnotes 31 Slide 3 – Second Quarter Highlights (1) Holdings, leverage, equity and book value amounts are as of June 30, 2025. (2) Represents $67.6 million of aggregate net income from the investment portfolio and Longbridge segments, less net of $24.6 million of preferred dividends accrued and certain corporate/other income and expense items not attributed to either the investment portfolio or Longbridge segments. (3) Economic return is based on book value per share and is non-annualized. (4) Adjusted Distributable Earnings, is a non-GAAP financial measure. See slide 6 for a reconciliation of Adjusted Distributable Earnings to Net Income (Loss). Represents $66.6 million of aggregate Adjusted Distributable Earnings from the investment portfolio and Longbridge segments, less net of $21.6 million of certain corporate/other items not attributed to either the investment portfolio or Longbridge segments. (5) Includes related REO. In accordance with U.S. GAAP, REO is not considered a financial instrument and as a result is included at the lower of cost or fair value. Excludes hedges and other derivative positions. (6) Excludes non-retained tranches of consolidated securitization trusts. The adjusted long credit portfolio also includes the proceeds from financings related to the MSRs underlying our Forward MSR-related investments. Forward MSR-related investments, at fair value are presented on our Consolidated Balance Sheet net of such financings; as of June 30, 2025 such borrowings were $93.5 million. (7) This information does not include financial derivatives or loan commitments. (8) The aggregate liquidation preference for our preferred stock was $345.0 million as of June 30, 2025. (9) Excludes U.S. Treasury securities and repo borrowings at certain unconsolidated entities that are recourse to us. Including such borrowings, our debt-to-equity ratio, adjusted for unsettled purchases and sales, based on total recourse borrowings was 1.9:1 as of June 30, 2025. (10) Overall debt-to-equity ratio is computed by dividing EFC’s total debt by EFC’s total equity. The debt-to-equity ratio does not account for liabilities other than debt financings. Excludes repo borrowings on U.S. Treasury securities. Slide 4 – Portfolio Summary as of June 30, 2025 (1) Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. (2) Of deployed capital, 87% allocated to credit, 2% to agency, and 11% to Longbridge. (3) Average price excludes interest only, principal only, equity tranches and other similar securities and non-exchange traded corporate equity. All averages in this table are weighted averages using fair value, except for average price which uses current principal balance. (4) Average price of consumer loans and ABS backed by consumer loans is proprietary. (5) Weighted average life assumes “projected” cashflows using Ellington’s proprietary models. Excludes interest only, principal only, equity tranches. (6) Estimated yields at market prices are management’s estimates derived from Ellington’s proprietary models based on prices and market environment as of June 30, 2025 and include the effects of future estimated losses. The above analysis should not be considered a recommendation to purchase or sell any security or class of securities. Results are based on forward-looking models, which are inherently imperfect, and incorporate various simplifying assumptions. Therefore, the table is for illustrative purposes only and the actual performance of our portfolio may differ from the data presented, and such differences might be significant and adverse. (7) REO and equity investments in loan origination entities are excluded from total average calculations. (8) Includes related REO. In accordance with U.S. GAAP, REO is not considered a financial instrument and as a result is included at the lower of cost or fair value. (9) For our consolidated securitization trusts, excludes tranches that were sold to third parties, but that are consolidated for GAAP purposes. (10) Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interests in entities holding such RMBS. (11) Includes equity investments in unconsolidated entities holding commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans. Including our allocable portion of the fair value of small-balance commercial loans and REO of the equity investments in unconsolidated entities, our total CMBS and Commercial Mortgage Loans and REO was $903.7 million. (12) Includes the proceeds from financings related to the MSRs underlying our Forward MSR-related investments. Forward MSR-related investments, at fair value are presented on our Consolidated Balance Sheet net of such financings; as of June 30, 2025 such borrowings were $93.5 million. (13) Includes equity investments in securitization-related vehicles. (14) Includes corporate loans to certain loan origination entities in which we hold an equity investment. (15) Includes an equity investment in an unconsolidated entity holding European RMBS. (16) Includes equity investment in Ellington affiliate. Includes equity investment in an unconsolidated entity which purchases certain other loans for eventual securitization (17) This information does not include financial derivatives or loan commitments. (18) As of June 30, 2025, includes $11.9 million of active HECM buyout loans, $17.7 million of inactive HECM buyout loans, and $5.3 million of other inactive HECM loans. (19) HMBS assets are consolidated for GAAP reporting purposes, and HMBS-related obligations are accounted for on our balance sheet as secured borrowings. The fair value of HMBS assets less the fair value of the HMBS-related obligations approximate fair value of the HMBS MSR Equivalent. (20) Excludes repo borrowings on U.S. Treasury securities and borrowings at certain unconsolidated entities that are recourse to us. In determining the debt-to-equity ratio for an individual strategy, equity usage for such strategy is based on an internal calculation that reflects the actual amount of capital posted to counterparties in connection with such strategy’s positions (whether in the form of haircut, initial margin, prime brokerage requirements, or otherwise) plus additional capital allocated to support such strategy’s positions, net of adjustments for readily financeable assets and securities that may be sold to increase liquidity on short notice. We refer to the excess of its total equity over the total risk capital of its strategies as its “risk capital buffer”. If the debt-to-equity ratios for individual strategies were computed solely based on the actual amount of capital posted to counterparties, such ratios would typically be higher. The debt-to-equity ratio does not account for liabilities other than debt financings. (21) Excludes U.S. Treasury securities and repo borrowings at certain unconsolidated entities that are recourse to us. Including such borrowings, our debt-to-equity ratio, adjusted for unsettled purchases and sales, based on total recourse borrowings was 1.9:1 as of June 30, 2025. (22) Overall debt-to-equity ratio is computed by dividing EFC’s total debt by EFC’s total equity. The debt-to-equity ratio does not account for liabilities other than debt financings. Excludes repo borrowings on U.S. Treasury securities.
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Q2 2025 EARNINGS Endnotes 32 Slide 5 – Operating Results by Strategy for the Quarter Ended June 30, 2025 (1) Other income primarily consists of rental income on real estate owned, loan origination fees, and servicing income. (2) Includes U.S. Treasury securities, if applicable. (3) Other activities include certain equity and other trading strategies and related hedges, and net realized and unrealized gains (losses) on foreign currency. (4) Convertible units include Operating Partnership units attributable to non-controlling interests. Slide 6 – Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings (1) We calculate Adjusted Distributable Earnings as U.S. GAAP net income (loss) as adjusted for: (i) realized and unrealized gain (loss) on securities and loans, REO, mortgage servicing rights, financial derivatives (excluding periodic settlements on interest rate swaps), any borrowings carried at fair value, and foreign currency transactions; (ii) incentive fee to affiliate; (iii) Catch-up Amortization Adjustment (as defined below); (iv) non-cash equity compensation expense; (v) provision for income taxes; (vi) certain non-capitalized transaction costs; and (vii) other income or loss items that are of a non-recurring nature. For certain investments in unconsolidated entities, we include the relevant components of net operating income in Adjusted Distributable Earnings. The Catch-up Amortization Adjustment is a quarterly adjustment to premium amortization or discount accretion triggered by changes in actual and projected prepayments on our Agency RMBS (accompanied by a corresponding offsetting adjustment to realized and unrealized gains and losses). The adjustment is calculated as of the beginning of each quarter based on our then-current assumptions about cashflows and prepayments, and can vary significantly from quarter to quarter. Non- capitalized transaction costs include expenses, generally professional fees, incurred in connection with the acquisition of an investment or issuance of long-term debt. We also include in Adjusted Distributable Earnings, for all loans that we originate through Longbridge, any realized and unrealized gains (losses) on such loans up to the point of loan sale or securitization, net of sale or securitization costs. Adjusted Distributable Earnings is a supplemental non-GAAP financial measure. We believe that the presentation of Adjusted Distributable Earnings provides information useful to investors, because: (i) we believe that it is a useful indicator of both current and projected long-term financial performance, in that it excludes the impact of certain current-period earnings components that we believe are less useful in forecasting long-term performance and dividend-paying ability; (ii) we use it to evaluate the effective net yield provided by our investment portfolio, after the effects of financial leverage and by Longbridge, to reflect the earnings from its reverse mortgage origination and servicing operations; and (iii) we believe that presenting Adjusted Distributable Earnings assists investors in measuring and evaluating our operating performance, and comparing our operating performance to that of our residential mortgage REIT and mortgage originator peers. Please note, however, that: (I) our calculation of Adjusted Distributable Earnings may differ from the calculation of similarly titled non-GAAP financial measures by our peers, with the result that these non-GAAP financial measures might not be directly comparable; and (II) Adjusted Distributable Earnings excludes certain items that may impact the amount of cash that is actually available for distribution. In addition, because Adjusted Distributable Earnings is an incomplete measure of our financial results and differs from net income (loss) computed in accordance with U.S. GAAP, it should be considered supplementary to, and not as a substitute for, net income (loss) computed in accordance with U.S. GAAP. Furthermore, Adjusted Distributable Earnings is different from REIT taxable income. As a result, the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders, in order to maintain our qualification as a REIT, is not based on whether we distributed 90% of our Adjusted Distributable Earnings. The following table reconciles, for the three-month period ended June 30, 2025, our Adjusted Distributable Earnings to the line on our Consolidated Statement of Operations entitled Net Income (Loss), which we believe is the most directly comparable U.S. GAAP measure. (2) Includes realized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps), and foreign currency transactions which are components of Other Income (Loss) on the Condensed Consolidated Statement of Operations. (3) Includes unrealized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps), borrowings carried at fair value, MSR-related investments, and foreign currency translations which are components of Other Income (Loss) on the Condensed Consolidated Statement of Operations. (4) Represents net change in fair value of the HMBS MSR Equivalent and Reverse MSRs attributable to changes in market conditions and model assumptions. This adjustment also includes net (gains) losses on certain hedging instruments (including interest rate swaps, futures, and short U.S. Treasury securities), which are components of realized and/or unrealized gains (losses) on financial derivatives, net, realized and/or unrealized gains (losses) on securities and loans, net, interest income, and interest expense on the Condensed Consolidated Statement of Operations. (5) Represents the effect of replacing mortgage loan interest income (net of securitization debt expense) with interest income of the retained tranches. (6) For the three-month period ended June 30, 2025, includes $1.6 million of non-capitalized transaction costs, $1.3 million of non-cash equity compensation and depreciation expense, and $0.2 million of various other expenses. (7) Includes the Company's proportionate share of net interest income, net loan origination income (expense), and operating expenses for certain investments in unconsolidated entities including certain of its non- consolidated equity investments in loan originators that have been making (or are expected to make) distributions to the Company.
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Q2 2025 EARNINGS Endnotes 33 Slide 7 – Long Credit Portfolio (1) Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. For our consolidated securitization trusts, excludes tranches that were sold to third parties, but that are consolidated for GAAP purposes. Including such tranches, our total long credit portfolio was $4.541 billion as of June 30, 2025 and $4.540 billion as of March 31, 2025. (2) Includes related REO. In accordance with U.S GAAP, REO is not considered a financial instrument and as a result is included at the lower of cost or fair value. (3) Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interests in entities holding such RMBS. (4) Includes equity investments in unconsolidated entities holding small balance commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans. Including our allocable portion of the fair value of small-balance commercial loans and REO of the equity investments in unconsolidated entities, our total CMBS and Commercial Mortgage Loans and REO were $903.7 million as of June 30, 2025 and $821.5 million as of March 31, 2025. (5) Includes the proceeds from financings related to the MSRs underlying our Forward MSR-related investments. Forward MSR-related investments, at fair value are presented on our Consolidated Balance Sheet net of such financings; as of both June 30, 2025 and March 31, 2025, such borrowings were $93.5 million. (6) Includes equity investments in securitization-related vehicles. (7) Includes corporate loans to certain loan origination entities in which we hold an equity investment. (8) Includes an equity investment in an unconsolidated entity holding European RMBS. (9) Includes equity investments in an unconsolidated entity which held certain other loans for eventual securitization. (10) Excludes non-retained tranches of consolidated securitization trusts. The adjusted long credit portfolio also includes the proceeds from financings related to the MSRs underlying our Forward MSR-related investments. Forward MSR-related investments, at fair value are presented on our Consolidated Balance Sheet net of such financings; as of both June 30, 2025 and March 31, 2025, such borrowings were $93.5 million. Slide 8 – Long Agency Portfolio (1) Agency long portfolio includes $255.6 million of long Agency securities and $12.9 million of interest only securities as of June 30, 2025 and $243.1 million of long Agency securities and $13.0 million of interest only securities as of March 31, 2025. (2) Represents weighted average net pass-through rate. Excludes interest only securities. Slide 9 – Longbridge Portfolio (1) This information does not include financial derivatives or loan commitments. (2) As of June 30, 2025, includes $11.9 million of active HECM buyout loans, $17.7 million of inactive HECM buyout loans, and $5.3 million of other inactive HECM loans. As of March 31, 2025, includes $14.0 million of active HECM buyout loans, $14.1 million of inactive HECM buyout loans, and $5.2 million of other inactive HECM loans. (3) HMBS assets are consolidated for GAAP reporting purposes, and HMBS-related obligations are accounted for on our balance sheet as secured borrowings. The fair value of HMBS assets less the fair value of the HMBS-related obligations approximate fair value of the HMBS MSR Equivalent. Slide 10 – Summary of Borrowings (1) Includes Other secured borrowings. Excludes Other secured borrowings, at fair value related to consolidated securitizations which are non-recourse borrowings. (2) Excludes Other secured borrowings, at fair value and HMBS-related obligations, at fair value which are non-recourse borrowings. (3) All of our non-recourse borrowings are secured by collateral. In the event of default under a non-recourse borrowing, the lender has a claim against the collateral but not any of the Operating Partnership’s other assets. In the event of default under a recourse borrowing, the lender's claim is not limited to the collateral (if any). (4) Excludes U.S. Treasury securities and repo borrowings at certain unconsolidated entities that are recourse to us. Including such borrowings, our debt-to-equity ratio, adjusted for unsettled purchases and sales, based on total recourse borrowings was 1.9:1 as of June 30, 2025. (5) Overall debt-to-equity ratio is computed by dividing EFC’s total debt by EFC’s total equity. The debt-to-equity ratio does not account for liabilities other than debt financings. Excludes repo borrowings on U.S. Treasury securities. Slide 11- Commercial Mortgage Loan Portfolio – Detail as of 6/30/2025 (1) Percentages are of unpaid principal balance. (2) Includes our allocable portion of certain small-balance commercial loans, based on our ownership percentage, held in entities in which we and certain affiliates of Ellington have equity interests. Our equity investments in such entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet. Slide 12- Proprietary Loan Origination Businesses (1) For our consolidated non-QM and proprietary reverse mortgage securitization trusts, excludes loans in consolidated securitization trusts that were sold to third parties. (2) Includes our allocable portion of the fair value of certain small-balance commercial loans, based on our ownership percentage, held in entities in which we and certain affiliates of Ellington have equity interests. Our equity investments in such entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet. (3) We originate reverse mortgage loans through Longbridge. For reverse mortgage loans, Total Loan Fair Value at Quarter-End includes $128.8 million in Unsecuritized HECM loans and $280.1 million in Proprietary reverse mortgage loans. Loans acquired during the quarter represent initial borrowing amounts on newly originated reverse mortgage loans. Amounts exclude HECM tail loans.
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Q2 2025 EARNINGS Endnotes 34 Slide 13 – Stable Economic Return (1) Source: Company filings. (2) Economic return is computed by adding back dividends to ending book value per share and comparing that amount to book value per share as of the beginning of the quarter. Slide 14 – Interest Rate Sensitivity Analysis (1) The table reflects the estimated effects on the value of our portfolio, both overall and by category, of hypothetical, immediate, 50 basis point downward and upward parallel shifts in interest rates, based on the market environment as of June 30, 2025. The preceding analysis does not include sensitivities to changes in interest rates for instruments which we believe that the effect of a change in interest rates is not material to the value of the overall portfolio and/or cannot be accurately estimated. In particular, this analysis excludes certain corporate securities and derivatives on corporate securities and reflects only sensitivity to U.S. interest rates. Furthermore, the fair value of each of the instruments comprising our portfolio is impacted by many other factors, each of which may or may not be correlated, or may only be loosely correlated, with interest rates. Depending on the nature of the instrument, these additional factors may include credit spreads, yield spreads, option-adjusted spreads, real estate prices, collateral adequacy, borrower creditworthiness, inflation, unemployment, general macroeconomic conditions, and other factors. Our analysis makes many simplifying assumptions as to the response of each of these additional factors affecting fair value to a hypothetical immediate shift in interest rates, including, for many if not most such additional factors, that such factor is unaffected by such shift in interest rates. Results are based on forward-looking models, which are inherently imperfect, and incorporate various simplifying assumptions. Therefore, the table is for illustrative purposes only and actual changes in interest rates would likely cause changes in the actual value of our portfolio that would differ from those presented, and such differences might be significant and adverse. Slide 16 – Commitment to ESG (1) Management and directors’ ownership includes common shares, operating partnership units, and LTIP units held by officers and directors of EFC, and partners and affiliates of Ellington (including families and family trusts of the foregoing). Slide 17 – Second Quarter Market Update (1) Source: Bloomberg (2) Source: Mortgage Bankers Association via Bloomberg (3) Source: J.P. Morgan Markets (4) TSY-based OAS measures the additional yield spread over TSY that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. (5) TSY-based Zero-volatility spread (Z-spread) measures the additional yield spread over TSY that the projected cash flows of an asset provide at the current market price of the asset. Slide 18– Derivatives Summary (1) In the table, fair value of certain derivative transactions are shown on a net basis. The financial statements separate derivative transactions as either assets or liabilities. As of June 30, 2025, derivative assets and derivative liabilities were $160.6 million and $(81.8) million, respectively, for a net fair value of $78.8 million, as reflected in "Net Total". (2) Notional value represents the maximum number of shares available to be purchased upon exercise. (3) Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of June 30, 2025 a total of 489 long and 1,806 short U.S. Treasury futures contracts were held. (4) Short notional value represents U.S. Dollars to be received by us at the maturity of the forward contract. Slide 19 – Credit Hedging Portfolio (1) The Credit Hedging Portfolio excludes both legs of certain relative value trades which we believe do not affect the overall hedging position of the portfolio. Consequently, the amounts shown here may differ materially (i) from those that would be shown were all positions in the included instruments displayed and (ii) from that presented on the Derivatives Summary shown on slide 18. (2) There can be no assurance that instruments in the Credit Hedging Portfolio will be effective portfolio hedges. (3) Corporate derivatives displayed in HY CDX OTR Equivalents represent the net, on-the-run notional equivalents of Markit CDX North American High Yield Index (the “HY Index”) of those derivatives converted to equivalents based on techniques used by the Company for estimating the price relationships between them and the HY Index.These include estimations of the relationships between different credits and even different sectors (such as the US high yield, European high yield, and US investment grade debt markets).Our estimations of price relationships between instruments may change over time. Actual price relationships experienced may differ from those previously estimated. (4) Bond Equivalent Value represents the investment amount of a corresponding position in the reference obligation or index constituents, calculated assuming a price equal to the difference between (i) par and (ii) the tear up price. Corporate CDS Indices, Tranches, Options and Single Names are converted to HY CDX OTR Equivalents prior to being displayed as Bond Equivalent Values. Slide 20 – Diversified Credit Portfolio (1) Subject to maintaining our qualification as a REIT. (2) Excludes hedges and other derivative positions. (3) For our consolidated securitization trusts, only retained tranches are included (i.e., excludes tranches sold to third parties). Also includes the proceeds from financings related to the MSRs underlying our Forward MSR-related investments. Forward MSR-related investments, at fair value are presented on our Consolidated Balance Sheet net of such financings; as of June 30, 2025 such borrowings were $93.5 million.
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Q2 2025 EARNINGS Endnotes 35 Slide 21 – Agency Interest Rate Hedging Portfolio (1) Agency interest rate hedges are shown in normalized units of risk, with each group of positions measured in “10-year equivalents; “10-year equivalents” for a group of positions represent the amount of 10-year U.S. Treasury securities that would be expected to experience a similar change in market value under a standard parallel move in interest rates. Slide 22 – CPR Breakout of Agency Fixed Long Portfolio (1) Does not include long TBA positions, reverse mortgage pools, or fixed rate IOs. Fair values reflect the average of fair values at the beginning of each month during the quarter. (2) Classification methodology may change over time as market practices change. (3) Fair value shown in millions. (4) Excludes recent purchases of fixed rate Agency pools with no prepayment history. Slide 23 – Repo Borrowings (1) Included in the table, using the original maturity dates, are any repos involving underlying investments we sold prior to June 30, 2025 for settlement following June 30, 2025 even though we may expect to terminate such repos early. Not included are any repos that we may have entered into prior to June 30, 2025, for which delivery of the borrowed funds is not scheduled until after June 30, 2025. Remaining maturity for a repo is based on the contractual maturity date in effect as of June 30, 2025. Some repos have floating interest rates, which may reset before maturity. Slide 24 – Resilient Profit Generation Over Market Cycles (1) Gross profit excludes expenses other than interest expense and other investment related expenses. Figures in “%” columns are as a percentage of average total equity for the period which includes common and preferred equity as well as non-controlling interests. (2) Interest expense on senior notes, unrealized gain/(loss), net and interest rate hedges and other activity, net related to corporate/other are allocated to credit and Agency based on average capital. (3) Gross profit excludes the bargain purchase gain and transaction expenses associated with the Arlington merger, as well as net gains on our hedges and expenses related to the terminated merger with Great Ajax, including the initial markdown on the Great Ajax common shares we purchased in connection with that termination. Slide 25 – Total Return Since Inception (1) Total return is based on $18.61 net diluted book value per share at inception in August 2007 and is calculated assuming the reinvestment of dividends at diluted book value per share and assumes all convertible units were converted into common shares at their issuance dates. Slide 26 – Capital, Leverage & Portfolio Composition (1) Excludes U.S. Treasury securities. In determining the debt-to-equity ratio for an individual strategy, equity usage for such strategy is based on an internal calculation that reflects the actual amount of capital posted to counterparties in connection with such strategy’s positions (whether in the form of haircut, initial margin, prime brokerage requirements, or otherwise) plus additional capital allocated to support such strategy’s positions, net of adjustments for readily financeable assets and securities that may be sold to increase liquidity on short notice. We refer to the excess of its total equity over the total risk capital of its strategies as its “risk capital buffer”. If the debt-to-equity ratios for individual strategies were computed solely based on the actual amount of capital posted to counterparties, such ratios would typically be higher. The debt-to- equity ratio does not account for liabilities other than debt financings. (2) Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. Excludes tranches of our securitization trusts that were sold to third parties but that are consolidated for GAAP purposes. Includes the proceeds from financings related to the MSRs underlying our Forward MSR-related investments. Forward MSR-related investments, at fair value are presented on our Consolidated Balance Sheet net of such financings; as of June 30, 2025 such borrowings were $93.5 million. (3) Excludes U.S. Treasury securities and repo borrowings at certain unconsolidated entities that are recourse to us. Including such borrowings, our debt-to-equity ratio, adjusted for unsettled purchases and sales, based on total recourse borrowings was 1.9:1 as of June 30, 2025. Slide 27– Condensed Consolidated Balance Sheet (Unaudited) (1) Common shares issued and outstanding at June 30, 2025 includes 3,428,400 shares of common stock issued under our ATM program during the three-month period ended June 30, 2025. (2) Based on total stockholders’ equity less the aggregate liquidation preference of our preferred stock outstanding.
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Q2 2025 EARNINGS Endnotes 36 Slide 29– About Ellington Management Group (1) Does not include partners formerly employed by Ellington who may have residual capital balances but who no longer have voting rights in the partnership. (2) Management and directors’ ownership includes common shares, operating partnership units, and LTIP units held by officers and directors of EFC, and partners and affiliates of Ellington (including families and family trusts of the foregoing). (3) Registration with the SEC does not imply that the firm or any of its principals or employees possess a particular level of skill or training in the investment advisory or any other business. Slide 30– Investment Highlights of EFC (1) Management and directors’ ownership includes common shares, operating partnership units, and LTIP units held by officers and directors of EFC, and partners and affiliates of Ellington (including families and family trusts of the foregoing).
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Q2 2025 EARNINGS 37 Investors: Investor Relations Ellington Financial Inc. (203) 409-3575 Info@ellingtonfinancial.com Media: Amanda Shpiner or Sara Widmann Gasthalter & Co. for Ellington Financial Inc. (212) 257-4170 Ellington@gasthalter.com Ellington Financial Inc. 53 Forest Ave Old Greenwich, CT 06870 www.ellingtonfinancial.com