Ellington Credit Company (EARN) Investor presentation summary

Ellington management platform and expertise

• Deep experience in structured corporate credit and mortgages, leveraging a data-driven approach and advanced analytics for investing and risk management.

• Over 170 employees and $20.1 billion in assets under management, with 20% of staff dedicated to research and engineering.

• Management team has extensive backgrounds in structured credit and advanced mathematics, supporting sophisticated portfolio construction and hedging.

• Proprietary technology and infrastructure enable real-time, multi-scenario analysis and robust risk oversight.

• Integrated risk management ethos is central, with a dedicated oversight group and dynamic credit hedging strategies.

Investment strategy and portfolio construction

• Focus on diversified CLO portfolio construction across sub-sectors, capital structure, and geographies, enhanced by active trading and credit hedging.

• Flexible capital allocation across CLO capital structure and U.S./European markets, emphasizing relative value and diversification.

• Portfolio grew 48% to $369.5 million by 12/31/25, with a bias toward mezzanine debt tranches and ongoing diversification between equity and debt.

• Underlying assets are primarily first lien, senior secured leveraged loans from large corporate borrowers, with broad industry diversification and floating rates.

• Active trading and dynamic hedging aim to capture gains, manage risk, and maintain portfolio flexibility.

Risk management framework

• Comprehensive risk management includes macro credit, idiosyncratic, concentration, and liquidity risks, analyzed with deep datasets and proprietary models.

• Portfolio analytics quantify impacts from a wide range of shocks, supporting prescriptive hedging and liquidity management.

• Credit hedges represent 90% of NAV, with a disciplined leverage framework (debt-to-assets ratio of 0.48x) and a Relative VaR Ratio of 99%.

• The Derivatives Rule (Rule 18f-4) governs risk, leverage, and derivatives exposure, with EARN’s VaR at half the regulatory threshold.

• Liquidity is managed through stress testing, cash-flow forecasting, and maintaining reserves for market shocks.