Ellington Financial : EFC Presentation to Debt and Preferred Equity Investors March 2024

Presentation to Debt & Preferred Equity Investors

March 2024

Important Notice

Forward-Looking Statements

This presentation contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements involve numerous risks and uncertainties. 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 achieve the cost savings and efficiencies, operating efficiencies, synergies and other benefits, including the increased scale, and avoid potential business disruption from our recently completed merger with Arlington Asset Investment Corp., 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 the Company's 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.

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 the Company's 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 December 31, 2023 unless otherwise indicated. We undertake no duty or obligation to update this presentation to reflect subsequent events or developments.

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Table of Contents

Ellington Financial Overview	4
The Ellington Platform	5
Ellington Financial Inc. (NYSE: EFC)	16
Supplemental Information	27

3

Ellington Financial Overview

Hybrid mortgage REIT with diversified investment portfolio and income stream: residential and commercial mortgage, consumer / corporate loans, as well as multiple proprietary loan origination businesses; ability to shift capital allocation across various asset classes

Reduced volatility of book value and more consistent economic returns relative to peers: dynamic hedging strategies, diversification, risk and liquidity management, and active portfolio management

Strong history of navigating severe market disruptions: maintained book value stability and generated profits through the 2008 financial crisis, the 2013 taper tantrum, and the turbulence caused by the COVID-19pandemic

Diversified sources of financing: long-term,non-mark-to-market financing facilities and securitizations

Demonstrated discipline accessing capital markets: common stock, preferred stock, and unsecured debt

Attractive NAIC-1rating: senior unsecured notes and preferred stock, rated "A-" and "BBB+" respectively

Strong alignment of interests: approx. $54 million invested in EFC by management and directors, along with partners / affiliates of Ellington

		8.1%
$4.1bn			$1.5 bn		$1.2 bn
Diversified Investment		Annualized Total Return
		Total Equity		Common Equity
Portfolio		Since Inception

4

The Ellington Platform

5

About Ellington Management Group

Ellington Profile

As of 12/31/2023

Founded:	1994
Employees:	>170
Investment Professionals:	>60
Global offices:	3

$10.3		9
Billion in		Employee-partners
assets under		own
management(1)		the firm(2)

29		5%
Years of average		Management's
industry experience		ownership of EFC,
of senior portfolio		representing
managers		strong alignment(3)

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 Residential Mortgage REIT (EARN), multi-investor hedge funds, separately managed accounts, and opportunistic private funds
• Time-testedinfrastructure 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 29 years ago
• Ellington's portfolio managers are among the most experienced in the MBS sector

6

Ellington Management Group

Headcount by Department

Whole Loan		Risk Front Office/Trading -
Management UK 2%	Executive 1%
Acquisitions &	2%
Management
5%
Legal/Compliance
/Internal Audit 5%			Portfolio

Management /Trading 24%

Treasury &

Middle

Office 8%

Business	170+employees
Development /
Investor Relations		Financial
8%
		Reporting
Administration	19%
8%

Research	Systems / IT
8%
10%

Strategy Breakdown ($bn)

	Ellington	Traditional
	Mandate
	Sponsored
EARN	$4.4
CLO
$0.1
$0.8
Prepayment &
Related Relative
Value
$0.6		$10.3 AUM(1)
	Private Credit
	$0.5

EFC

$1.6

Multi-Strategy

Credit $2.3

• Ellington manages approximately $1.6 billion of permanent capital through EFC and EARN as of 12/31/23
• • EFC represents approximately 16% of overall Ellington AUM
• Management owns approximately 5% of EFC's common shares and convertible securities(2)
• Since 12/31/19, EFC total equity(1) has increased by ~77%

7

Access to Experienced Management

Years of	Years at
Experience(3)	Ellington(3)

Michael Vranos

Co-Chief Investment

Officer (1)

Laurence Penn

Chief Executive Officer (2)

Mark Tecotzky

Co-Chief Investment

Officer

JR Herlihy

Chief Financial Officer

3929

3829

1. 17

1. 12

• Founder and CEO of Ellington
• Former head of RMBS trading and origination at Kidder Peabody
• B.A. in Mathematics from Harvard University (magna cum laude, Phi Beta Kappa)
• Vice Chairman of Ellington, CEO of EFC and EARN
• Former Co-head of CMO origination and trading at Lehman Brothers
• B.A. in Mathematics from Harvard University (summa cum laude, Phi Beta Kappa)
• Masters in Mathematics from Cambridge University
• Vice Chairman and Co-Head of Credit Strategies of Ellington
• Former senior mortgage trader at Credit Suisse
• B.S. from Yale University
• Received a National Science Foundation fellowship to study at MIT
• CFO of EFC and COO of EARN
• Managing Director of EMG and former Co-Chief Investment Officer of Ellington Housing Inc.
• Formerly Vice President of acquisitions at GTIS Partners LP
• B.A. in Economics and History from Dartmouth College (summa cum laude, Phi Beta Kappa)

Ellington employs over 170 people; approximately 20% are dedicated to research and technology

8

Our Infrastructure Is A Competitive Advantage

Ellington has over 170 employees supporting approximately $10.3 billion(1) in assets under management

Ellington Principals

Services Agreement

Ellington Management Group, L.L.C.

Ellington Financial Management LLC

Management

Agreement

Research & Analytics

Portfolio Systems

Portfolio Management

Risk Oversight

Ellington Financial Inc.

& Trading

Data /		MBS / ABS		Prepayment /
Trading Systems		Credit		Related RV

Prepayment /	MBS / ABS	CLOs /	CMBS	Mortgage Loans
Related RV	Credit	Corporate

Legal &

Investor

Accounting &

HR &

Treasury & Middle

Valuation

Financial

Internal Audit

Compliance

Relations

Administration

Office

Oversight

Reporting

Sophisticated infrastructure supports rigorous management of credit, interest rate, liquidity, and other risks

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Integrated Investment Process, with an Emphasis on Risk Management

Portfolio

Construction

Risk Measurement,

Hedging and Trade Execution

Risk Management

and Compliance

• CEO, Portfolio Management (PM) Committee and Risk Oversight Committee set top-down portfolio and strategy targets / limits
• Sector specialized PMs access niche, high risk-adjusted returning opportunities through deep networks
• Proprietary data sources, pricing models and data analytics utilized to analyze collateral and set purchase / sales price targets

• Exposures assessed relative to industry, capital structure, loan terms and other limits as well as across a range of stress tests and scenarios
• PMs determine proper trade hedges, where applicable, with the Risk Oversight Committee and Research
• Senior PMs review larger investments
• Senior PMs / PMs execute the trade

• Trade suitability and allocation based on liquidity and maximum drawdown parameters
• Automated allocation systems, overseen by Compliance and Risk Oversight teams
• Middle Office and Operations manage portfolio holdings, settlements and financing; Risk Oversight generates and reviews position- and fund-level risk reports
• Investment theses and structures, including portfolio hedges, continuously reviewed and revised by PMs and Risk Oversight

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