Ellington Residential Mortgage Reit (EARN) 10K Annual Reports & 10Q SEC Filings

•Dividend yield of 16.0% based on the March 5, 2024 closing stock price of $5.99, and monthly dividend of $0.08 per common share declared on February 7, 2024.

•Debt-to-equity ratio of 5.4:1 as of December 31, 2023; adjusted for unsettled purchases and sales, the debt-to-equity ratio as of December 31, 2023 was 5.3:1.

•Cash and cash equivalents of $38.5 million as of December 31, 2023, in addition to other unencumbered assets of $22.9 million.

Fourth Quarter 2023 Results

"During the fourth quarter, Ellington Residential generated net income of $0.75 per share and a non-annualized economic return of 7.7%, while Adjusted Distributable Earnings grew to $0.27 per share and more than covered our dividend," said Laurence Penn, Chief Executive Officer and President. "During the market selloff in October, we avoided forced asset sales and preserved our earnings power, which enabled us to fully participate in the subsequent market recovery.

"After a tumultuous start to the fourth quarter, which saw U.S. Treasury yields rise to 15-year highs and yield spreads widen sharply, markets subsequently rallied through year end in anticipation of the conclusion of the Federal Reserve’s hiking cycle. Overall for the quarter, Agency RMBS—especially lower and intermediate coupons where EARN's portfolio was concentrated—generally outperformed interest rate swaps and U.S. Treasury securities, which are our primary hedging instruments.

"In the corporate CLO market, after experiencing similar widening in October, credit spreads tightened through year end with an economic 'soft landing' narrative permeating the market. EARN's growing CLO portfolio also generated strong returns during the quarter. Our CLO portfolio grew by $13.6 million during the fourth quarter, as we continued to rotate more of our investment capital from RMBS to CLOs. This portfolio rotation has also contributed to our lower overall leverage ratios given that we employ much less leverage on our CLO investments. Including investment activity following quarter end, our CLO portfolio now stands at approximately $30 million.

"In a year of elevated interest rate and yield spread volatility that saw the FDIC seize and then sell $60+ billion of Agency MBS, Agency RMBS ended 2023 on a high note and actually outperformed U.S. Treasuries and interest rate swaps on a duration-adjusted basis for the year. Now, with markets expecting eventual interest rate cuts from here but yield spreads still wide on an historical basis, Agency RMBS is attracting incremental demand from investors, albeit tempered by uncertainty around the timing of future cuts. For CLOs, despite their strong finish to 2023, some subsectors have actually lagged the

1 Adjusted Distributable Earnings is a non-GAAP financial measure. See "Reconciliation of Adjusted Distributable Earnings to Net Income (Loss)" below for an explanation regarding the calculation of Adjusted Distributable Earnings.

2 Net interest margin of a group of assets represents the weighted average asset yield less the weighted average cost of borrowings secured by those assets (including the effect of net interest income (expense) related to U.S. Treasury securities and actual and accrued payments on interest rate swaps used to hedge such borrowings); net interest margin excludes the effect of the Catch-up Amortization Adjustment.

3 Excludes recent purchases of fixed rate Agency specified pools with no prepayment history.

4 We define our net mortgage assets-to-equity ratio as the net aggregate market value of our mortgage-backed securities (including the underlying market values of our long and short TBA positions) divided by shareholder's equity attributable to our mortgage-related strategies. As of December 31, 2023 the market value of our mortgage-backed securities and our net long TBA position was $756.1 million and $36.7 million, respectively, and shareholders' equity attributable to our mortgage related strategies was $121.8 million.

5 Percentages shown are of net assets, as opposed to gross assets, deployed in each strategy.

The following information was filed by Ellington Residential Mortgage Reit (EARN) on Wednesday, March 6, 2024 as an 8K 2.02 statement, which is an earnings press release pertaining to results of operations and financial condition. It may be helpful to assess the quality of management by comparing the information in the press release to the information in the accompanying 10-K Annual Report statement of earnings and operation as management may choose to highlight particular information in the press release.

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Financial Statements, Disclosures and Schedules

Inside this 10-K Annual Report

Material Contracts, Statements, Certifications & more

Ellington Residential Mortgage Reit provided additional information to their SEC Filing as exhibits

Exhibit 21.1: Subsidaries Of The Registrant

Exhibit 23.1: Consents Of Experts And Counsel

Exhibit 31.1: Rule 13A-14(A)/15D-14(A) Certification

Exhibit 31.2: Rule 13A-14(A)/15D-14(A) Certification

Exhibit 32.1: Section 1350 Certification

Exhibit 32.2: Section 1350 Certification

Exhibit 97.1: Ex-97.1

Ticker: EARN
CIK: 1560672
Form Type: 10-K Annual Report
Accession Number: 0001560672-24-000017
Submitted to the SEC: Tue Mar 12 2024 4:06:48 PM EST
Accepted by the SEC: Tue Mar 12 2024
Period: Sunday, December 31, 2023
Industry: Real Estate Investment Trusts

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Ellington Residential Mortgage Reit (EARN) SEC Filing 10-K Annual Report for the fiscal year ending Sunday, December 31, 2023

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