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Q3 2026 EARNINGS Earnings Conference Call November 5, 2026 Q3 2026
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Q3 2026 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 September 30, 2026 unless otherwise indicated. We undertake no duty or obligation to update this presentation to reflect subsequent events or developments.
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Q3 2026 EARNINGS Third Quarter Highlights(1) 3 Overall Results • Net income: $40.4 million or $0.31 per share • Economic return:(2) 2.3% for the quarter, 9.4% annualized • Adjusted Distributable Earnings:(3) $58.0 million or $0.45 per share, • ADE is now presented net of incentive fee expense, which in Q3 was $0.9 million, or $0.01 per share Investment Portfolio Segment • Net income: $61.1 million or $0.47 per share • Adjustable Distributable Earnings: $77.6 million or $0.60 per share • Adjusted long investment portfolio: $4.70 billion(4)(5), a 4.5% increase from the prior quarter Longbridge Financial Segment • Net income: $12.5 million or $0.10 per share • Adjustable Distributable Earnings: $8.6 million or $0.07 per share • Longbridge portfolio(4)(5)(6): $1.03 billion, a 59% increase from the prior quarter Equity & BVPS •Total stockholders’ equity: $1.99 billion, comprising common equity of $1.77 billion and preferred equity of $220.9 million(7) • Book value per common share: $13.53 after total dividends declared of $0.39 for the quarter Dividends • Dividend yield of 13.2% based on the November 4, 2026 closing stock price of $11.85 per share, and monthly dividend of $0.13 per common share declared on October 7, 2026 Leverage Below Sector Average • Recourse debt-to-equity ratio(8): 2.2:1 • 25% of total recourse borrowings(8) are long-term and non-mark-to-market • 17% of total recourse borrowings(8) are unsecured • Weighted average remaining term of repo borrowings(8) is 8.9 months • Total debt-to equity ratio(8): 9.4:1, including all non-recourse borrowings, which primarily consist of securitization- related liabilities • Total unencumbered assets of $1.92 billion(9), consisting of cash and cash equivalents of $269.5 million and other unencumbered assets of $1.66 billion Capital Activity • Issued $150 million of 7.375% senior unsecured notes due 2030 in an add-on offering, bringing the series to $550 million outstanding • Issued 2,496,140 common shares under the ATM program at an average price of $13.61 per share, during the quarter. Subsequent to quarter end, repurchased 329,045 shares at an average price of $11.44 per share.(10)
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Q3 2026 EARNINGS Fair Value ($ in $1,000s) Non-QM Loans and Retained RMBS (7)(8)(9)(12) 1,278,952 $ 91.8 5.7 9.4% Commercial Mortgage Loans and CMBS(7)(11) 929,296 95.4 1.2 9.5% 888,031 99.4 1.7 7.2% 352,363 99.6 4.8 10.0% Agency-eligible residential mortgage loans and retained RMBS (8)(9)(12) 240,584 95.1 10.5 6.9% Agency Pass-throughs 167,313 88.0 7.9 5.8% Consumer Loans and ABS backed by Consumer Loans (12) 154,268 96.2 2.1 11.4% Other RMBS and interest-only strips 134,984 69.9 6.4 13.5% Other residential mortgage loans(7)(10) 120,281 96.4 9.2 8.1% Debt and Equity Investments in Loan Origination Entities (13) 108,060 N/A N/A N/A CLOs 102,303 69.2 5.9 16.4% Forward MSR-related investments 74,379 N/A 7.9 9.7% Corporate Debt and Equity and Corporate Loans 43,056 43.4 2.6 23.5% Non-Dollar MBS, ABS, CLO and Other (14) 35,265 104.0 4.2 22.0% Other investments(15)(16) 66,869 94.0 4.0 13.3% Total - Investment Portfolio Segment 4,696,004 $ 93.9 3.7 9.2% 723,767 165,566 109,885 30,289 1,029,507 $ Debt-to-Equity Ratio by Segment and Overall (20) Recourse Total Investment Portfolio Segment 2.1x 2.9x Longbridge Segment 3.2x 60.6x Overall 2.2x 9.4x WAVG Mkt Yield(5)(6)WAVG Life(4)(6) Average Price (%)(3)(6) Total - Longbridge Segment HMBS MSR(19) Reverse MSRs Investment Portfolio Segment Longbridge Segment(17) Unsecuritized HECM loans (18) Proprietary reverse mortgage loans and retained tranches (8) Home Equity Line of Credit and Closed-End Second Lien Loans and Retained RMBS (9)(12) Residential Transition Loans (7) 82% 18% Assets 89% 11% Equity Portfolio Summary as of September 30, 2026(1) 4 Equity and Asset Allocation by Segment(2) • Residential transition loans (7)(8) consist of residential transition loans ($824.2mm), retained RTL tranches ($16.5mm), and REO ($47.3mm) • Non-QM loans and retained RMBS(7)(8)(9) consist of non-QM loans ($837.4mm), retained non-QM tranches ($436.6mm), and REO ($4.9mm) • Debt and Equity Investments in Loan Origination Entities (13) consist of LendSure ($63.8mm) and other loan origination entities ($44.3mm) • Proprietary reverse mortgage loans and retained tranches (8) consist of proprietary reverse mortgage loans ($633.3mm), retained tranches ($57.6mm), and other ($32.9mm)
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Q3 2026 EARNINGS Investment Corporate/ Total Portfolio Longbridge Other Total Per Share Interest income and other income (1) 118,455 $ 62,077 $ 1,652 $ 182,184 $ 1.39 $ Interest expense (53,261) (37,414) (11,054) (101,729) (0.78) Realized gain (loss), net (13,409) (225) (2,235) (15,869) (0.12) Unrealized gain (loss), net (14,347) (27,476) 8,835 (32,988) (0.25) Net change from reverse mortgage loans and HMBS obligations - 12,856 - 12,856 0.10 Earnings in unconsolidated entities 2,098 - - 2,098 0.02 Interest rate hedges and other activity, net(2) 32,912 49,686 (8,224) 74,374 0.57 Credit hedges and other activities, net(3) (1,118) 11 - (1,107) (0.01) Income tax (expense) benefit - - (1,987) (1,987) (0.02) Investment and transaction related expenses (5,730) (14,585) (2,078) (22,393) (0.17) Other expenses (3,693) (32,458) (13,355) (49,506) (0.38) Net income (loss) 61,907 $ 12,472 $ (28,446) $ 45,933 $ 0.35 $ Dividends on preferred stock - - (4,205) (4,205) (0.03) Net (income) loss attributable to non- participating non-controlling interests (834) - (4) (838) (0.01) Net income (loss) attributable to common stockholders and participating non-controlling interests 61,073 $ 12,472 $ (32,655) $ 40,890 $ 0.31 $ Net (income) loss attributable to participating non-controlling interests - - (508) (508) - Net income (loss) attributable to common stockholders 61,073 $ 12,472 $ (33,163) $ 40,382 $ 0.31 $ Net income (loss) attributable to common stockholders per share of common stock 0.47 $ 0.10 $ (0.26) $ 0.31 $ Weighted average shares of common stock and convertible units(4) outstanding 131,010 Weighted average shares of common stock outstanding 129,384 (In thousands, except per share amounts) Operating Results by Segment for the Three-Month Period Ended September 30, 2026 5
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Q3 2026 EARNINGS (in thousands, except per share amounts) Investment Portfolio Longbridge Corporate/Other Total Net Income (Loss) 61,907 $ 12,472 $ (28,446) $ 45,933 $ Income tax expense (benefit) - - 1,987 1,987 Net income (loss) before income tax expense (benefit) 61,907 $ 12,472 $ (26,459) $ 47,920 $ Adjustments: Realized (gains) losses, net(2) (9,242) - 2,234 (7,008) Unrealized (gains) losses, net(3) 11,098 17,672 (1,527) 27,243 Unrealized (gains) losses on reverse MSRs, net of hedging (gains) losses (4) - (9,609) - (9,609) Negative (positive) component of interest income represented by Catch-up Amortization Adjustment (61) - - (61) Adjustment related to consolidated proprietary reverse mortgage loan securitizations (5) - (13,034) - (13,034) Non-capitalized transaction costs and other expense adjustments (6) 1,932 1,085 2,467 5,484 (Earnings) losses from investments in unconsolidated entities (2,098) - - (2,098) Adjusted Distributable Earnings from investments in unconsolidated entities(7) 14,947 - - 14,947 Total Adjusted Distributable Earnings (8) 78,483 $ 8,586 $ (23,285) $ 63,784 $ Dividends on preferred stock - - 4,205 4,205 Adjusted Distributable Earnings attributable to non-controlling interests 861 - 730 1,591 Adjusted Distributable Earnings Attributable to Common Stockholders (8) 77,622 $ 8,586 $ (28,220) $ 57,988 $ Adjusted Distributable Earnings Attributable to Common Stockholders, per share (8) 0.60 $ 0.07 $ (0.22) $ 0.45 $ Three-Month Period Ended September 30, 2026 Reconciliation of Net Income (Loss) to Adjusted Distributable Earnings(1) 6
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Q3 2026 EARNINGS A 27% B 20%C 19% D 8% E 5% F 4% G 3% H 3% I 2% J 2% K 2% L 2% M 3% $4.70 bn A 34% B 19% C 16% D 7% E 4% F 4% G 3% H 2% I 2% K 3% L 2% M 4% $4.50 bn Long Investment Portfolio* 7 *For consolidated securitization trusts, only includes retained tranches. Adjusted long investment portfolio* increased by 4.5% sequentially, to $4.70 billion. Increase driven by net purchases across several loan categories and growth in retained RMBS. In the investment portfolio segment, securitized $1.28 billion UPB of non-QM and Agency-eligible loans through 5 transactions. Our residential loan portal connected us with 57 sellers and generated $1.6 billion in loan purchases during the quarter, which complemented loan flow from Longbridge and other channels. As of 6/30/2026(1)As of 9/30/2026(1) A: Non-QM Loans and Retained RMBS(2)(3)(5) B: Commercial Mortgage Loans & CMBS(2)(4) C: Residential Transition Loans(2) D: Closed-End Second Lien Loans & HELOCs(3)(5) E: Agency-Eligible Mortgage Loans and Retained RMBS (3)(5) F: Agency Pass-Throughs G: Consumer Loans & ABS backed by Consumer Loans(5) H: Other RMBS and interest-only strips I: CLOs J: Prime Jumbo Residential Mortgage Loans K: Forward MSR-Related Investments L: Debt and Equity Investments in Loan Originators(6) M: Other(7)
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Q3 2026 EARNINGS A 70% B 16% C 11% D 3% $1.03 bn A 48% B 27% C 20% D 5% $649.3 mm Longbridge Portfolio* 8 As of 9/30/2026(1) As of 6/30/2026(1) A: Proprietary reverse mortgage loans B: Unsecuritized HECM loans(2) C: HMBS MSR(3) D: Reverse MSRs *For consolidated proprietary reverse mortgage loan securitization trusts, only includes retained tranches. • Positive results driven by originations, servicing, and enterprise interest rate hedges, partially offset by net unrealized losses on retained tranches of consolidated proprietary reverse mortgage loan securitization trusts. • Originations benefited from higher volumes and gains on a proprietary reverse mortgage loan securitization priced during the quarter, partially offset by margin compression amid higher interest rates. • Servicing benefited from strong tail executions, steady base servicing net income, and gains on MSR-related hedges, partially offset by a mark-to-market loss on the HMBS MSR. • Net gains on enterprise interest rate hedges intended to mitigate the impact of higher interest rates on origination profits. • Originated $676.3 million of loans during the quarter, up 36% year over year, contributing to a 59% sequential increase in the net Longbridge portfolio to $1.03 billion as of September 30, 2026; much of this increase was reversed upon the October settlement of a proprietary reverse mortgage loan securitization that priced in September. • Longbridge’s HMBS market share reached a record high of 31% for the quarter, ranking it as the #2 issuer in the market.(4)
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Q3 2026 EARNINGS $648.6 $726.2 $726.9 $744.0 $872.1 $991.3 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 Longbridge Origination and Submission Volumes(1) 9 • $417.8 million of proprietary reverse mortgage loans originated • 70% wholesale and correspondent • 30% retail • $258.5 million of HECM loans originated • 75% wholesale and correspondent • 25% retail • $991.3 million of submissions • 14% increase from the previous quarter • 37% year over year increase • Though not all successfully convert to new loans, submissions can be a leading indicator of future funded loan volumes Originations by Product(2) Submission Volumes(4) $ in millions $ in millions (3) $242.1 $221.0 $256.0 $239.3 $273.5 $258.5 $185.0 $277.5 $273.7 $276.0 $316.2 $417.8 $427.1 $498.6 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 HECM Proprietary Reverse Mortgage Loans $676.3 $589.7 $515.4$529.7
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Q3 2026 EARNINGS (in thousands) September 30, 2026 June 30, 2026 Net Servicing Revenue 1,803 $ 1,804 $ Change in fair value due to: Runoff (75) (153) Change in valuation inputs and assumptions 324 1 Gains (losses) on associated hedges 774 498 Net Profit (loss) 2,826 $ 2,150 $ Three-Month Period Ended (in thousands) September 30, 2026 June 30, 2026 Beginning Balance 30,040 $ 30,192 $ Change in fair value due to: Runoff (75) (153) Change in valuation inputs and assumptions 324 1 Ending Balance 30,289 $ 30,040 $ Three-Month Period Ended Longbridge: MSR Portfolio 10 HMBS MSR(1) Reverse MSRs (2) (in thousands) September 30, 2026 June 30, 2026 Beginning Balance 127,187 $ 128,210 $ Originations 10,396 10,930 Change in fair value due to: Runoff (9,707) (9,702) Change in valuation inputs and assumptions (17,991) (2,251) Ending Balance 109,885 $ 127,187 $ Three-Month Period Ended (in thousands) September 30, 2026 June 30, 2026 Net Servicing Revenue 16,138 $ 14,956 $ Change in fair value due to: Runoff (9,707) (9,702) Change in valuation inputs and assumptions (17,991) (2,251) Gains (losses) on associated hedges 15,807 2,812 Net Profit (loss) 4,247 $ 5,815 $ Three-Month Period Ended
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Q3 2026 EARNINGS Recourse Borrowings ($ in thousands) Average Average Cost Borrowings of Funds Total Recourse Borrowings (1) 4,597,082 $ 5.78% 4,043,987 $ 5.79% Senior Notes, at par 760,000 6.96% 650,848 6.86% Subordinated Notes 15,000 6.76% 15,000 6.68% Total Unsecured Borrowings 775,000 $ 6.96% 665,848 $ 6.85% Total Secured Recourse Borrowings 3,822,082 $ 5.54% 3,378,139 $ 5.58% U.S. Treasury Securities 101,403 3.98% 111,403 3.77% Secured Borrowings excluding U.S. Treasury Securities 3,720,679 $ 5.58% 3,266,736 $ 5.64% Agency Pass-Throughs 77,044 3.96% 103,869 3.80% Secured Borrowings excluding U.S. Treasury Securities and Agency Pass-Throughs 3,643,635 $ 5.61% 3,162,867 $ 5.70% Long-Term Non-MTM Debt 1,112,622 $ Long-Term MTM Debt 688,446 Short-Term Non-MTM Debt 495,077 Short-Term MTM Debt 2,300,937 Total Recourse Borrowings 4,597,082 $ Non-Recourse HMBS-Related Obligations 11,294,031 Non-Recourse Consolidated Securitizations 3,273,346 Total Borrowings 19,164,460 $ Total Equity 2,033,006 $ Collateral Type Outstanding Borrowings Weighted Average Borrowing Rate Supplemental Borrowing-Related Information as of 9/30/2026 (3) As of 9/30/26 Three-Month Period Ended 9/30/26 Summary of Borrowings 11 2.2x Recourse Debt-to- Equity Ratio(3) 9.4x Total Debt-to- Equity Ratio(3) 17% Unsecured Debt / Recourse Debt (3) 25% Long-Term non- MTM financing* *Long-term non-MTM financing includes borrowings with 365 or more days remaining to maturity. Excludes borrowings collateralized by U.S. Treasury securities. .
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A More Durable Balance Sheet and Stronger Credit Profile A More Durable Balance Sheet and Stronger Credit Profile Q2 25 Q3 26 Recourse Debt-to-Equity11.7x 2.2xMaintained Conservative Leverage Wtd. Avg. Term of Repo 14.7 Months 8.9 MonthsExtended Short-TermDebt Maturities LTM Securitization Activity2 / % Unsecured Borrowings 1$2.5bn / 9.3% $7.0bn / 17 .2%Expanded Long-TermNon-MTM Financings Unencumbered Assets3$1.2bn $1.9bnExpanded Unencumbered Assets LTM ROE413.0% 14.1%Enhanced Profitability Total Equity$1.7bn $2.0bnLarger Equity Cushion Total Delinquency (as % of UPB)56.6% 5.6%Reduced Delinquencies ITD Cumulative Loss Rate6– Resi/Commercial11bps / 50bps 17bps / 29bpsMaintained Low Credit Losses 12
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Q3 2026 EARNINGS Commercial Mortgage Loan Portfolio – Detail as of 9/30/26(1)(2) • Commercial mortgage loan portfolio is diversified geographically and across property types. • All investments are first liens. 13 Multifamily Floating with Floor FL 26% NY 26%TX 8% NJ 7% 33% Geography All Other States <5% 57% 11% 9% 6% 7% 4% 4% 1% 1% Hotel Office Industrial Mixed Use Mobile Home Retail Self-StorageHealthcare Property Type First Lien 100% Seniority 79% 16% 5%Floating without Floor Fixed Interest Rate Type
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Q3 2026 EARNINGS Non-QM Loans(1) Residential Transition Loans Commercial Mortgage Loans(2) Reverse Mortgage Loans(1)(3) Strategic Originator Investment(s) √ √ √ √ Joint Ventures and/or Flow Agreements √ √ √ √ In-House Origination Team - √ √ √ Servicing Platform and Workout Capabilities √ √ √ √ Securitization Program √ √ - √ Proprietary Loan Origination Businesses 13 Ellington Financial’s vertically integrated, proprietary loan origination businesses are designed to: • Lock in a steady flow of high-quality loan originations • Leverage Ellington’s core strengths of data analysis and modeling to help shape the underwriting criteria of the loans • Generate highly attractive ROE profiles • Represent significant potential upside to book value • Fill lending void left by banks facing strict regulations 2 3 4 Total Loans Acquired During Q3 2026 ($mm) $943.9 $360.6 $177.7 $676.3 $2,158.5 Total Loan & Retained Tranches FV at 9/30/2026 ($mm) $1,274.0 $840.7 $1,117.6 $884.2 $4,175.5 1
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Q3 2026 EARNINGS $3.4 $6.2 $8.0 $11.2 $16.8 $22.1 0.01% 0.01% 0.05% 0.10% 0.15% 0.17% 0% 1% 2% 3% 4% 5% - 5.0 10.0 15.0 20.0 25.0 2021 2022 2023 2024 2025 Q3 2026 15 Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors Residential Mortgage Loans(1) Cumulative Loans Funded and Realized Credit Losses (Non-Annualized) Commercial Mortgage Loans(3) Consistently strong credit performance of commercial mortgage bridge loans. Since the inception of each of our residential mortgage loan businesses (non-QM, RTL, Home Equity, and Proprietary Reverse), each portfolio has had minimal- to-no cumulative realized credit losses. Cumulative Loans Funded ($B) Cumulative Loss Rate – Non-Annualized (%)(2) Cumulative Loans Funded ($B) Cumulative Loss Rate – Non-Annualized (%)(2) $0.9 $1.3 $1.5 $1.8 $2.3 $2.7 0.00% 0.00% 0.00% 0.00% 0.44% 0.29% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% - 0.5 1.0 1.5 2.0 2.5 3.0 2021 2022 2023 2024 2025 Q3 2026
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Q3 2026 EARNINGS 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% EFC Hybrid REIT #02 Hybrid REIT #03 Hybrid REIT #04 Hybrid REIT #05 Hybrid REIT #06 Hybrid REIT #07 Stable Economic Return 16 Standard Deviation of Quarterly Economic Returns of Hybrid REITs, Q1-2011 – Q2-2026(1)(2) • EFC has produced the most consistent quarterly returns among its peer group with significantly lower earnings volatility, thanks to our dynamic hedging strategies, diversification and active portfolio management Company Standard Deviation EFC 3.5% Hybrid REIT #02 6.0% Hybrid REIT #03 6.1% Hybrid REIT #04 6.6% Hybrid REIT #05 9.0% Hybrid REIT #06 12.6% Hybrid REIT #07 13.3%
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Q3 2026 EARNINGS 9/30/2026 ($ in thousands) ∆ Fair Value % of Total Equity ∆ Fair Value % of Total Equity Agency RMBS – Fixed Pools and IOs excluding TBAs $ 4,390 0.22% $ (4,737) -0.23% Long TBAs 8,326 0.41% (8,869) -0.44% Short TBAs (17,973) -0.89% 18,986 0.93% Non-Agency RMBS, CMBS, Other ABS, MSRs, Mortgage and Other Loans 60,811 2.99% (67,364) -3.31% Interest Rate Swaps (37,317) -1.84% 35,850 1.76% U.S. Treasury Securities (3,723) -0.18% 3,617 0.18% Interest Rate and Treasury Futures (7,086) -0.35% 6,860 0.34% Corporate Securities and Other 191 0.01% (131) -0.01% Repurchase Agreements, Reverse Repurchase Agreements, (9,423) -0.46% 9,525 0.47% and Senior Notes Outstanding Total (1,804) $ -0.09% (6,263) $ -0.31% Less: Estimated Change in Fair Value attributable to Preferred Stock (1,321) 1,328 Estimated Change in Fair Value attributable to Common Stock (3,125) $ (4,935) $ As % of Common Equity -0.18% -0.28% Estimated Change in Fair Value 50 Basis Point Decline in Interest Rates 50 Basis Point Increase in Interest Rates Interest Rate Sensitivity Analysis(1) 17 •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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Q3 2026 EARNINGS A 34% B 7% C 23% D 17% E <1% F 1% G 17% $(1.55)bn A 25% B 6% C 29% D 13% E <1% F 2% G 25% $(0.90)bn Interest Rate Hedging Portfolio(1) 18 We deploy a dynamic and adaptive hedging strategy to reduce the volatility of book value and earnings As of 6/30/2026 Short $1.55 bn 10-yr equivalents(1) Short $0.90 bn 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. • We hedge interest-rate risk with interest rate swaps and short positions in TBAs, U.S. Treasury securities, and futures. •Shorting “generic” pools (in the form of TBAs) allows EFC to significantly reduce interest rate risk and mortgage basis risk, and provides protection when credit spreads widen. As of 9/30/2026 A: >5 Yr Interest Rate Swaps B: 2-5Yr Interest Rate Swaps C: <2 Yr Interest Rate Swaps D: Net Short TBAs E: <2 Yr Treasuries F: 2-5 Yr Treasuries and Treasury Futures G: >5 Yr Treasuries and Treasury Futures
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Q3 2026 EARNINGS (450.00) (400.00) (350.00) (300.00) (250.00) (200.00) (150.00) (100.00) (50.00) - 6/30/2026 9/30/2026 Instrument Category Corporate CDS Indices/ Tranches/ Options/ Single Names CMBX Net Short TBAs Units HY CDX OTR Equivalent Value(3) Bond Equivalent Value(4) HY CDX OTR Equivalent Value(3) •EFC’s dynamic credit hedging strategy seeks to reduce book value volatility. • 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 While TBAs are primarily used to hedge mortgage rate risk, they can also provide protection when credit spreads widen.
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Q3 2026 EARNINGS 20 Supplemental Slides
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Q3 2026 EARNINGS Corporate Responsibility 21 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 management’s $58mm investment in EFC common equity(1)
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Q3 2026 EARNINGS Quarter Ended 9/30/2026 Q3/Q2 6/30/2026 Q2/Q1 3/31/2026 Q1/Q4 12/31/2025 UST (%)(1) 3M UST 4.11 +0.30 3.81 +0.14 3.67 +0.05 3.63 2Y UST 4.89 +0.71 4.17 +0.38 3.79 +0.32 3.47 5Y UST 5.09 +0.86 4.23 +0.28 3.94 +0.22 3.73 10Y UST 5.28 +0.82 4.47 +0.15 4.32 +0.15 4.17 30Y UST 5.63 +0.68 4.95 +0.04 4.91 +0.07 4.84 3M10Y Spread 1.18 +0.52 0.65 +0.01 0.64 +0.10 0.54 2Y10Y Spread 0.40 +0.11 0.29 -0.23 0.52 -0.17 0.69 SOFR (%) (1) 1M 3.91 +0.26 3.65 -0.01 3.66 -0.02 3.69 3M 4.08 +0.35 3.73 +0.05 3.68 +0.03 3.65 1M3M Spread 0.17 +0.09 0.08 +0.06 0.02 +0.05 -0.04 Mortgage Rates (%) (2) 15Y 6.56 +0.56 6.00 +0.11 5.89 +0.20 5.69 30Y 7.03 +0.54 6.49 +0.11 6.38 +0.20 6.18 Credit Spreads (1) Markit CDX North America HY Index - Spread 327.89 +23.11 304.78 -80.66 385.44 +68.94 316.50 Markit CDX North America IG Index - Spread 53.20 +2.13 51.07 -12.10 63.16 +13.15 50.01 TSY-based OAS (bps)(3)(4) FNMA30Y2.5 OAS 26.9 +3.2 23.7 +1.4 22.3 -6.8 29.1 FNMA30Y4.5 OAS 16.0 +15.1 0.9 -3.1 4.0 -0.1 4.1 FNMA30Y6.0 OAS 29.9 +18.4 11.5 -13.8 25.3 +3.8 21.5 TSY-based ZSpread (bps)(3)(5) FNMA30Y2.5 ZSpread 34.2 +0.1 34.1 +0.5 33.6 -5.5 39.1 FNMA30Y4.5 ZSpread 54.1 +7.3 46.8 -4.0 50.8 +2.4 48.4 FNMA30Y6.0 ZSpread 97.7 +1.2 96.5 -18.6 115.1 +12.8 102.3 FNMA Pass-Thrus(1) 30Y2.5 $77.80 -$5.76 $83.55 -$0.54 $84.09 -$0.52 $84.62 30Y4.5 $89.80 -$5.86 $95.66 -$0.83 $96.48 -$1.16 $97.64 30Y6.0 $98.08 -$4.13 $102.20 $0.27 $101.93 -$0.74 $102.67 Third Quarter Market Update 22
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Q3 2026 EARNINGS ($ in thousands) Long Notional Short Notional Net Notional Fair Value Mortgage-Related Derivatives: CDS on MBS and MBS Indices 170 $ (9,192) $ (9,022) $ 1,325 $ Total Net Mortgage-Related Derivatives 1,325 $ Corporate-Related Derivatives: CDS on Corporate Bonds and Corporate Bond Indices 468,225 (761,175) (292,950) 2,067 Total Return Swaps 15,687 - 15,687 101 Options 10,606 (4,139) 6,467 6,605 Warrants(2) 116 - 116 1 Total Net Corporate-Related Derivatives 8,774 $ Interest Rate-Related Derivatives: TBAs 56,416 (405,073) (348,657) 8,809 Interest Rate Swaps 6,376,900 (9,869,511) (3,492,611) 125,111 U.S. Treasury Futures(3) - (245,100) (245,100) 6,474 Total Interest Rate-Related Derivatives 140,394 $ Other Derivatives: Foreign Currency Forwards(4) - (35,917) (35,917) 750 Total Net Other Derivatives 750 $ Net Total 151,243 $ Derivatives Summary as of September 30, 2026(1) 23
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Q3 2026 EARNINGS 5% 25% 2% 68% Diversified Investment Portfolio 24 • 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 technology provide an edge that will generate attractive risk-adjusted returns across market cycles. Note: Percentages shown reflect share of total fair market value of investment 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 • Agency-Eligible Loans • Prime Jumbo Residential Loans • NPL / RPL • REO • Agency Pass-Throughs • Other RMBS Diversified sources of return to perform over market cycles
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Q3 2026 EARNINGS 30 Days or Less 6% 31-90 Days 33% 91-180 Days 19% 181-364 Days 8% >364 Days 34% ($ in thousands) Remaining Days to Maturity Agency Pass- Throughs U.S. Treasury Other Total % of Total Borrowings 30 Days or Less 77,044 $ 101,403 $ 25,531 $ 203,978 $ 5.7% 31-90 Days - - 1,194,328 1,194,328 33.4% 91-180 Days - - 697,610 697,610 19.5% 181-364 Days - - 269,648 269,648 7.6% >364 Days - - 1,204,950 1,204,950 33.8% Total Borrowings 77,044 $ 101,403 $ 3,392,067 $ 3,570,514 $ 100.0% Weighted Average Remaining Days to Maturity 3 1 275 261 Repo Borrowings as of September 30, 2026 Repo Borrowings(1) 25 • Repo borrowings with 22 counterparties, with the largest representing approximately 14% of total repo borrowings • Weighted average remaining days to maturity, excluding U.S. Treasuries, of 268 days, a decrease of 11 days from June 30, 2026 • Maturities are staggered to mitigate liquidity risk Borrowings by Days to Maturity
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Q3 2026 EARNINGS Resilient Profit Generation Over Market Cycles(1)(2) 26 Note: Percentages of average total equity during the period. COVID Pandemic Taper Tantrum Credit Crisis ($ in thousands) Long: Credit and Agency $ 131,512 6.6% $ 212,719 12.5% $ 141,759 9.0% $ 106,007 7.9% $ (256,847) -20.5% $170,677 16.4% $99,693 11.5% Credit Hedge and Other (7,325) -0.4% (24,397) -1.4% (13,724) -0.9% (7,095) -0.5% 3,227 0.3% (1,887) -0.2% 8,027 0.9% Interest Rate Hedge 57,077 2.9% (10,248) -0.6% 25,797 1.6% 4,473 0.3% 184,792 14.8% 21,769 2.1% (41,610) -4.8% Longbridge Financial 100,198 5.1% 34,673 2.0% 37,345 2.4% 9,695 0.7% 14,492 1.2% - - - - Gross Profit (Loss) $ 281,462 14.2% $ 212,747 12.5% $ 191,177 12.1% $ 113,080 8.4% $ (54,336) -4.3% $190,559 18.3% $66,110 7.6% Long: Credit $ 73,919 11.1% $61,201 10.0% $61,136 9.6% $36,203 5.3% $46,892 6.1% $77,636 11.4% Credit Hedge and Other (11,237) -1.7% 8,020 1.3% (11,997) -1.9% (40,548) -5.9% 10,671 1.4% (1,197) -0.2% Interest Rate Hedge: Credit (1,345) -0.2% 115 0.0% (851) -0.1% (371) -0.1% (4,899) -0.6% (9,479) -1.4% Long: Agency 48,175 7.2% (5,979) -1.0% 10,246 1.6% 17,166 2.5% 23,629 3.1% 61,126 9.0% Interest Rate Hedge and Other: Agency (25,309) -3.8% 3,144 0.5% (5,218) -0.8% (8,226) -1.2% (17,166) -2.2% (47,634) -7.0% Longbridge Financial - - - - - - - - - - - - Gross Profit (Loss) $ 84,203 12.7% $66,501 10.9% $53,316 8.4% $4,224 0.6% $59,127 7.7% $80,452 11.8% Long: Credit $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 (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 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 (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 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) $103,990 17.6% $128,998 29.8% $22,614 5.9% $57,760 17.8% $124,294 44.4% $8,711 3.5% 2014 2013 2012 2011 2010 2009 2008 2019 2018 2017 2016 2015 2020Q3 YTD 2026 2025 2024 2023(3) 2022 2021
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Q3 2026 EARNINGS Total Return Since Inception 27 EFC has successfully preserved book value over market cycles, while producing strong results for investors • EFC life-to-date economic return, with dividends reinvested, from inception in August 2007 through Q3 2026 is approximately 381.3%, or 8.6% annualized(1) Diluted BVPS Plus Cumulative Dividends, Reinvested $18.61 $18.78 $18.70 $26.83 $29.25 $30.02 $36.87 $42.36 $46.35 $48.77 $47.89 $50.84 $55.52 $59.69 $61.31 $70.07 $64.04 $66.57 $73.06 $79.92 $89.56 $10.00 $20.00 $30.00 $40.00 $50.00 $60.00 $70.00 $80.00 $90.00 Aug 2007 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 Q3 2026
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Q3 2026 EARNINGS Capital, Leverage & Portfolio Composition 28 Total Recourse Leverage (Debt-to-Equity)(3) Unsecured Borrowings as a % of Recourse Borrowings(3) Capital Usage By Segment(1) Investment Portfolio and Longbridge by Fair Value(2) $4,329.7 $4,468.1 $4,495.3 $4,696.0 $617.2 $695.1 $649.3 $1,029.5 $0 $500 $1,000 $1,500 $2,000 $2,500 $3,000 $3,500 $4,000 $4,500 $5,000 12/31/2025 3/31/2026 6/30/2026 9/30/2026 Investment Portfolio Longbridge 1.9x 1.9x 1.9x 2.2x 0.0 0.5 1.0 1.5 2.0 2.5 12/31/2025 3/31/2026 6/30/2026 9/30/2026 18.5% 18.0% 17.2% 17.2% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 20.0% 12/31/2025 3/31/2026 6/30/2026 9/30/2026 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 12/31/2025 3/31/2026 6/30/2026 9/30/2026 Investment Portfolio Longbridge
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Q3 2026 EARNINGS (in thousands, except share and per share amounts) September 30, 2026 June 30, 2026 Assets Cash and cash equivalents $ 269,485 $ 247,473 Restricted cash 33,187 42,373 Securities, at fair value 1,225,486 1,230,743 Loans, at fair value 18,502,857 17,874,430 Loan commitments, at fair value 9,734 10,191 Forward MSR-related investments, at fair value 74,379 75,901 Mortgage servicing rights, at fair value 30,289 30,040 Investments in unconsolidated entities, at fair value 384,570 402,259 Real estate owned 101,727 81,042 Financial derivatives – assets, at fair value 346,562 174,889 Reverse repurchase agreements 661,830 577,691 Due from brokers 70,690 59,396 Investment related receivables 172,914 190,166 Other assets 36,693 32,953 Total Assets $ 21,920,403 $ 21,029,547 Liabilities Securities sold short, at fair value 258,776 252,118 Repurchase agreements 3,570,514 3,064,277 Financial derivatives – liabilities, at fair value 195,319 80,793 Due to brokers 97,765 59,791 Investment related payables 57,789 40,721 Other secured borrowings 251,568 256,988 Other secured borrowings, at fair value 3,273,346 3,451,333 HMBS-related obligations, at fair value 11,294,032 11,057,752 Unsecured borrowings, at fair value 759,127 654,962 Base management fee payable to affiliate 7,344 7,355 Incentive fee payable to affiliate 902 920 Dividends payable 19,821 19,491 Interest payable 24,141 25,680 Accrued expenses and other liabilities 76,953 57,930 Total Liabilities $ 19,887,397 $ 19,030,111 Equity Preferred stock, par value $0.001 per share, 100,000,000 shares authorized; 9,200,089 and 9,200,089 shares issued and outstanding, and $230,002 and $230,002 aggregate liquidation preference, respectively 220,924 220,924 Common stock, par value $0.001 per share, 300,000,000 shares authorized, respectively; 130,116,611 and 127,593,315 shares issued and outstanding, respectively 130 128 Additional paid-in-capital 2,141,047 2,106,033 Retained earnings (accumulated deficit) (371,134) (360,933) Total Stockholders’ Equity $ 1,990,967 $ 1,966,152 Non-controlling interests 42,039 33,284 Total Equity $ 2,033,006 $ 1,999,436 Total Liabilities and Equity $ 21,920,403 $ 21,029,547 Supplemental Per Share Information: Book Value Per Common Share (1) $ 13.53 $ 13.61 Condensed Consolidated Balance Sheet (Unaudited) 29
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Q3 2026 EARNINGS (In thousands, except per share amounts) September 30, 2026 June 30, 2026 Net Interest Income Interest income 174,687 $ 170,837 $ Interest expense (105,735) (98,551) Total net interest income 68,952 $ 72,286 $ Other Income (Loss) Realized gains (losses) on securities and loans, net (7,659) (13,104) Realized gains (losses) on financial derivatives, net 35,294 4,987 Realized gains (losses) on real estate owned, net (1,498) (7,083) Realized gains (losses) on unsecured borrowings, at fair value (2,235) - Unrealized gains (losses) on securities and loans, net (150,973) 15,948 Unrealized gains (losses) on financial derivatives, net 33,051 4,471 Unrealized gains (losses) on real estate owned, net (1,524) 1,565 Unrealized gains (losses) on other secured borrowings, at fair value, net 121,380 10,216 Unrealized gains (losses) on unsecured borrowings, at fair value 8,835 (16,318) Net change from HECM reverse mortgage loans, at fair value 85,403 152,018 Net change related to HMBS obligations, at fair value (72,547) (121,141) Other, net 1,242 19,289 Total other income (loss) 48,769 50,848 Expenses Base management fee to affiliate, net of rebates 7,344 7,356 Incentive fee to affiliate 902 919 Investment and transaction related expenses: Servicing expense 8,430 7,933 Debt issuance costs related to Other secured borrowings, at fair value - 4,158 Debt issuance costs related to unsecured borrowings, at fair value 2,078 - Other 11,885 14,510 Professional fees 3,165 2,917 Compensation and benefits 28,589 28,398 Other expenses 9,506 9,831 Total expenses 71,899 76,022 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings from Investments in Unconsolidated Entities 45,822 47,112 Income tax expense (benefit) 1,987 52 Earnings (losses) from investments in unconsolidated entities 2,098 10,975 Net Income (Loss) 45,933 $ 58,035 $ Net Income (Loss) attributable to non-controlling interests 1,346 (573) Dividends on preferred stock 4,205 4,205 Net Income (Loss) Attributable to Common Stockholders 40,382 $ 54,403 $ Net Income (Loss) per Common Share: Basic and Diluted 0.31 $ 0.43 $ Weighted average shares of common stock outstanding 129,384 125,637 Weighted average shares of common stock and convertible units outstanding 131,010 127,259 Three-Month Period Ended Condensed Consolidated Statement of Operations (Unaudited) 30
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Q3 2026 EARNINGS About Ellington Management Group 31 Ellington and its Affiliated Management Companies • Our external manager Ellington Financial Management LLC is part of the Ellington family of SEC-registered investment advisors(4) • 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 over 30 years ago •Ellington’s portfolio managers are among the most experienced in the MBS sector Ellington Profile As of 9/30/2026 Founded: 1994 Employees: >180 Investment Professionals: >65 Global offices: 3 $25.8 Billion in assets under management(1) 31 Years of average industry experience of senior portfolio managers 10 Employee-partners own the firm(2) $58mm Management’s investment in EFC, representing strong alignment(3)
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Q3 2026 EARNINGS Investment Highlights of EFC 32 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 through management’s $58mm investment in EFC common equity(1)
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Q3 2026 EARNINGS Endnotes 33 Slide 3 – Third Quarter Highlights (1) Holdings, leverage, equity and book value amounts are as of September 30, 2026. (2) Economic return is based on book value per share. (3) Adjusted Distributable Earnings, is a non-GAAP financial measure. See slide 6 for a reconciliation of Adjusted Distributable Earnings to Net Income (Loss). (4) 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. (5) Excludes non-retained tranches of consolidated securitization trusts. (6) This information does not include financial derivatives or loan commitments. (7) The aggregate liquidation preference for our preferred stock was $230.0 million as of September 30, 2026. (8) Excludes borrowings collateralized by U.S. Treasury securities. (9) Total unencumbered assets is calculated in accordance with the definition of "Consolidated Unencumbered Assets" set forth in the indenture governing our 7.375% Senior Notes due September 30, 2030. (10) Issuance and repurchase prices do not include commissions. Slide 4 – Portfolio Summary as of September 30, 2026 (1) Includes REO at the lower of cost or fair value. Excludes hedges and other derivative positions. (2) Of deployed capital, 89% allocated the investment portfolio, 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) Weighted average life assumes “projected” cashflows using Ellington’s proprietary models. Excludes interest only, principal only, equity tranches. (5) Estimated yields at market prices are management’s estimates derived from Ellington’s proprietary models based on prices and market environment as of September 30, 2026 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. (6) REO and equity investments in loan origination entities are excluded from total average calculations. (7) 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. (8) For our consolidated securitization trusts, excludes tranches that were sold to third parties, but that are consolidated for GAAP purposes. (9) Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interests in entities holding such RMBS. (10) Other residential mortgage loans includes secondary market purchases of non-performing and re-performing mortgage loans, prime jumbo residential mortgage loans, and “scratch-and-dent” residential mortgage loans. (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 $1.219 billion. (12) Includes equity investments in securitization-related vehicles (13) Includes corporate loans to certain loan origination entities in which we hold an equity investment. (14) Includes loan to an entity which purchases residential mortgage loans for eventual securitization. (15) Includes equity investment in Ellington affiliate. (16) 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 September 30, 2026, includes $25.2 million of active HECM buyout loans, $28.0 million of inactive HECM buyout loans, $8.1 million of other inactive HECM loans, and $5.1 million of 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. (19) When Longbridge pools HECM loans into HMBS, such transfers do not qualify as sales under U.S. GAAP, and as a result, such transactions are treated as secured borrowings on our Consolidated Balance Sheet; the pooled HECM loans are included in Loans, at fair value, and the related liabilities are reflected as HMBS-related obligations, at fair value. After pooling the HECM loans into HMBS, Longbridge retains the mortgage servicing rights associated with such HECM loans (the "HMBS MSR"). (20) Excludes borrowings collateralized by U.S. Treasury securities. Recourse and overall debt-to-equity ratios are computed by dividing outstanding recourse and overall borrowings, respectively, by total equity. Debt-to- equity ratios do not account for liabilities other than debt financings.
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Q3 2026 EARNINGS Endnotes 34 Slide 5 – Operating Results by Segment for the Three-Month Period Ended September 30, 2026 (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) Catch-up Amortization Adjustment (as defined below); (iii) non-cash equity compensation expense; (iv) provision for income taxes; (v) certain non-capitalized transaction costs; and (vi) 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; and any realized and unrealized gains (losses) on HECM buyout loans and REO related to Longbridge's servicing activities. Beginning with the three-month period ended September 30, 2026, Adjusted Distributable Earnings is presented net of incentive fee expense. 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 (a) by our investment portfolio, after the effects of financial leverage, and (b) 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 September 30, 2026, 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. The table above reconciles, for the three-month period ended September 30, 2026, 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 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 September 30, 2026, includes $2.1 million of debt issuance costs related to unsecured borrowings, at fair value, $1.8 million of other non-capitalized transaction costs, and $1.6 million of non-cash equity compensation and depreciation expense and 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. (8) Adjusted Distributable Earnings is calculated net of incentive fee expense, which was $0.9 million, or $0.01 per common share, for the three-month period ended September 30, 2026. The incentive fee is calculated by reference to a rolling four-quarter period and is based on Adjusted Net Income, a measure defined in our management agreement, rather than on Adjusted Distributable Earnings, which is based only on the current period. Adjusted Net Income takes into account realized and unrealized gains and losses from our investment portfolio, any extraordinary items and certain other items, all of which are excluded from Adjusted Distributable Earnings.
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Q3 2026 EARNINGS Endnotes 35 Slide 7 – Long Investment 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 investment portfolio was $6.045 billion as of September 30, 2026 and $5.928 billion as of June 30, 2026 . (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 $1.219 billion as of September 30, 2026 and $1.136 billion as of June 30, 2026. (5) Includes equity investments in securitization-related vehicles. (6) Includes corporate loans to certain loan origination entities in which we hold an equity investment. (7) Includes equity investment in Ellington affiliate. Includes equity investments in an unconsolidated entity which purchases certain other loans for eventual securitization. Includes loan to an entity which purchases residential mortgage loans for eventual securitization. Slide 8 – Longbridge Portfolio (1) This information does not include financial derivatives or loan commitments. (2) Includes 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. As of September 30, 2026, includes $25.2 million of active HECM buyout loans, $28.0 million of inactive HECM buyout loans, $8.1 million of other inactive HECM loans, and $5.1 million of REO. As of June 30, 2026, includes $26.9 million of active HECM buyout loans, $21.3 million of inactive HECM buyout loans, $7.5 million of other inactive HECM loans, and $5.0 million of REO. (3) When Longbridge pools HECM loans into HMBS, such transfers do not qualify as sales under U.S. GAAP, and as a result, such transactions are treated as secured borrowings on our Consolidated Balance Sheet; the pooled HECM loans are included in Loans, at fair value, and the related liabilities are reflected as HMBS-related obligations, at fair value. After pooling the HECM loans into HMBS, Longbridge retains the mortgage servicing rights associated with such HECM loans (the "HMBS MSR"). (4) Source: Bloomberg. Slide 9 – Longbridge Origination and Submission Volumes (1) Longbridge originates reverse mortgage loans, including (i) home equity conversion mortgage loans, or "HECMs," which are insured by the FHA, and (ii) "proprietary reverse mortgage loans," which are not FHA- insured. HECMs are eligible for inclusion in GNMA-guaranteed HECM-backed MBS, or "HMBS.“ Upon securitization, the HECMs remain on our balance sheet under GAAP. (2) Represents initial borrowed amounts on reverse mortgage loans. Figures may not sum due to rounding. (3) Includes HELOCs. We have securitized certain proprietary reverse mortgage loans originated by Longbridge and have retained certain related securitization tranches in compliance with credit risk retention rules. (4) Submissions represent loans submitted to Longbridge through its origination channels at the stage required for processing or purchase. The criteria for a submission can vary by product and by channel. Slide 10- Longbridge: MSR Investment Portfolio (1) In accordance with U.S. GAAP, HECM loans remain on our balance sheet after securitization. The carrying value of the HMBS assets net of the HMBS approximates the value of the HMBS MSR. The HMBS MSR tables present a rollforward and net profit (loss) related to HMBS MSR for the three-month periods ended September 30, 2026 and June 30, 2026. (2) The Reverse MSRs tables present a rollforward and net profit (loss) on our purchased MSRs and MSRs retained on proprietary reverse mortgage loans, which are reported on our Condensed Consolidated Balance Sheet as Mortgage servicing rights, at fair value, for the three-month periods ended September 30, 2026 and June 30, 2026. Slide 11 – Summary of Borrowings (1) Excludes Other secured borrowings, at fair value and HMBS-related obligations, at fair value which are non-recourse borrowings. (2) 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). (3) Excludes borrowings collateralized by U.S. Treasury securities. Recourse and overall debt-to-equity ratios are computed by dividing outstanding recourse and overall borrowings, respectively, by total equity. Debt-to- equity ratios do not account for liabilities other than debt financings.
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Q3 2026 EARNINGS Endnotes 36 Slide 12 – A More Durable Balance Sheet and Stronger Credit Profile (1) Recourse debt figures exclude U.S. Treasury. (2) Based on closing date. Represents the UPB of loans contributed by EFC to the respective securitizations. (3) Unencumbered assets includes cash and cash equivalents, and is calculated in accordance with the definition set forth in the indenture governing the Company's 7.375% Senior Notes due September 30, 2030 (4) Prior period conformed to current period methodology. LTM ROE calculated as LTM Adjusted Distributable Earnings per Common Share as a percentage of average Book Value per Share. (5) Represents the percentage of our residential and commercial mortgage loans, based on UPB, that are 90 days or more past due. Excludes loans non-performing at acquisition. (6) Cumulative Loss Rate, non-annualized, across $22.1 billion UPB of residential loan originations and $2.7 billion UPB of commercial mortgage loan originations since 2015. Slide 13- Commercial Mortgage Loan Portfolio – Detail as of 9/30/26 (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 14- 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 $160.4 million in Unsecuritized HECM loans and $723.8 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. Slide 15 – Loan Portfolios Have Consistently Delivered Strong Credit Performance Across Sectors (1) For our proprietary reverse mortgage loans, loans funded represent initial borrowing amounts on newly originated reverse mortgage loans and exclude activity subsequent to initial funding; cumulative since consolidation of Longbridge in Q4 2022. (2) Realized credit losses are net of realized gains on REOs, and for loans, represent resolutions for less than UPB due to collateral performance. (3) Includes our allocable portion of certain commercial mortgage loans held by entities in which we and certain affiliates of Ellington have equity interests. Slide 16 – 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 17 – 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 September 30, 2026. 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 18 – Interest Rate Hedging Portfolio (1) 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. As of September 30, 2026 a total of 2,451 short U.S. Treasury futures contracts were held.
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Q3 2026 EARNINGS Endnotes 37 Slide 19 – Credit Hedging Portfolio (1) The Credit Hedging Portfolio may exclude 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 23. (2) There can be no assurance that instruments in the Credit Hedging Portfolio will be effective portfolio hedges. (3) Corporate credit hedges and TBAs are shown in notional equivalents of the Markit CDX North America High Yield Index (“CDX HY”). CDX HY equivalents are estimated using models calibrated to historical price relationships. Our models change over time, and realized returns may differ from our model projections. (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. Slide 21 – Corporate Responsibility (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 22 – Third 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 23 – Derivatives Summary as of September 30, 2026 (1) In the table above, fair value of certain derivative transactions are shown on a net basis. The accompanying financial statements separate derivative transactions as either assets or liabilities. As of September30, 2026, derivative assets and derivative liabilities were $346.6 million and $(195.3) million, respectively, for a net fair value of $151.2 million, as reflected in "Net Total" above. (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 September 30, 2026 a total of 2,451 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 24 – Diversified Investment 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). Slide 25 – Repo Borrowings (1) Included in the table, using the original maturity dates, are any repos involving underlying investments we sold prior to September 30, 2026 for settlement following September 30, 2026 even though we may expect to terminate such repos early. Not included are any repos that we may have entered into prior to September 30, 2026, for which delivery of the borrowed funds is not scheduled until after September 30, 2026. Remaining maturity for a repo is based on the contractual maturity date in effect as of September 30, 2026. Some repos have floating interest rates, which may reset before maturity. Slide 26 – 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.
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Q3 2026 EARNINGS Endnotes 38 Slide 27 – 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 28 – 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. (3) Excludes borrowings collateralized by U.S. Treasury securities. Slide 29– Condensed Consolidated Balance Sheet (Unaudited) (1) Based on total stockholders’ equity less the aggregate liquidation preference of our preferred stock outstanding. Slide 31– About Ellington Management Group (1) $25.8 billion AUM includes uncalled capital commitments, if any, and accounts holding solely loans. (2) Does not include partners formerly employed by Ellington who may have residual capital balances but who no longer have voting rights in the partnership. (3) 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). (4) 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 32– 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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Q3 2026 EARNINGS 39 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