Tag Archives: EFC,

Ellington Financial,$EFC

EFCRevenuesHistory1495118053-94fe35550b9fb10b72a6479a2c6d0cf804417216

Ellington Financial LLC :EFC-US: Earnings Analysis: Q1, 2017 By the Numbers : May 18, 2017

This post was originally published on this site

Ellington Financial LLC reports financial results for the quarter ended March 31, 2017.

We analyze the earnings along side the following peers of Ellington Financial LLC – Walter Investment Management Corp., Walker & Dunlop, Inc., America First Multifamily Investors, L.P., Ladder Capital Corp. Class A, Hannon Armstrong Sustainable Infrastructure Capital, Inc., PennyMac Financial Services, Inc. Class A and Arlington Asset Investment Corp. Class A (WAC-US, WD-US, ATAX-US, LADR-US, HASI-US, PFSI-US and AI-US) that have also reported for this period.

Highlights

  • Summary numbers: Revenues of USD 22.02 million, Net Earnings of USD 15.28 million.
  • Gross margins widened from 47.53% to 79.10% compared to the same period last year, operating (EBITDA) margins now 67.66% from -275.55%.
  • Year-on-year change in operating cash flow of -42.38% is about the same as the change in earnings, likely no significant movement in accruals or reserves.
  • Earnings growth from operating margin improvements as well as one-time items.

The table below shows the preliminary results and recent trends for key metrics such as revenues and net income (See complete table at the end of this report):

2017-03-31 2016-12-31 2016-09-30 2016-06-30 2016-03-31
Relevant Numbers (Quarterly)
Revenues (mil) 22.02 22.46 -3.99 18.04 9.74
Revenue Growth (%YOY) 126.15 -8.83 -110.65 -32.68 -73.33
Earnings (mil) 15.28 1.69 0.52 4.99 -23.2
Earnings Growth (%YOY) 165.85 -4.94 -86.76 -62.33 -220.45
Net Margin (%) 69.39 7.53 N/A 27.64 -238.32
EPS 0.47 0.05 0.02 0.15 -0.69
Return on Equity (%) 9.41 1.03 0.31 2.9 -12.94
Return on Assets (%) 2.29 0.27 0.08 0.71 -3.15

Access our Ratings and Scores for Ellington Financial LLC

Market Share Versus Profits

Revenues History
Earnings History

EFC-US‘s change in revenue this period compared to the same period last year of 126.15% is almost the same as its change in earnings, and is about average among the announced results thus far in its peer group, suggesting that EFC-US is holding onto its market share. Also, for comparison purposes, revenues changed by -1.99% and earnings by 802.96% compared to the immediate last period.

Revenues Growth Versus Earnings Growth

Quadrant label definitions. Hover to know more

Leader, Earnings Focus, Laggard, Revenues Focus

Earnings Growth Analysis

The company’s earnings growth was influenced by year-on-year improvement in gross margins from 47.53% to 79.10% as well as better cost controls. As a result, operating margins (EBITDA margins) rose from -275.55% to 67.66% compared to the same period last year. For comparison, gross margins were 76.28% and EBITDA margins were 24.46% in the last reporting period.

Gross Margin Versus EBITDA Margin

Quadrant label definitions. Hover to know more

Differentiated; Low Cost, Commodity; Low Cost, Commodity; High Cost, Differentiated; High Cost

Cash Versus Earnings – Sustainable Performance?

It is important to examine a company�s cash versus earnings numbers to gauge whether its performance is sustainable.

Operating Cash Flow Growth Versus Earnings Growth

Quadrant label definitions. Hover to know more

Cash Flow based Earnings, Likely Non-cash Earnings, Low Cash Flow Base, Likely Undeclared Earnings

EFC-US‘s change in operating cash flow of -42.38% compared to the same period last year is about the same as its change in earnings this period. Additionally, this change in operating cash flow is about average among its peer group. This suggests that the company did not use accruals or reserves to manage earnings this period, and that, all else being equal, the earnings number is sustainable.

Margins

The company’s earnings growth has also been influenced by the following factors: (1) Improvements in operating (EBIT) margins from -275.55% to 67.66% and (2) one-time items. The company’s pretax margins are now 71.45% compared to -238.17% for the same period last year.

EBIT Margin Versus PreTax Margin

Quadrant label definitions. Hover to know more

Operation driven Earnings, One-time Favorables, Low Earnings Base, One-time Unfavorables
EBIT Margin History
PreTax Margin History

Access our Ratings and Scores for Ellington Financial LLC

Company Profile

Ellington Financial LLC engages in the provision of investment services. It manages mortgage-backed assets, securities, loans and real estate debts. The company was founded on July 9, 2007 and is headquartered in Old Greenwich, CT.

CapitalCube does not own any shares in the stocks mentioned and focuses solely on providing unique fundamental research and analysis on approximately 50,000 stocks and ETFs globally. Try any of our analysis, screener or portfolio premium services free for 7 days. To get a quick preview of our services, check out our free quick summary analysis of EFC-US.

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


Edited Transcript of EFC earnings conference call or presentation 5-May-17 3:00pm GMT

This post was originally published on this site

GREENWICH May 6, 2017 (Thomson StreetEvents) — Edited Transcript of Ellington Financial LLC earnings conference call or presentation Friday, May 5, 2017 at 3:00:00pm GMT

West Family Investments, Inc. – Investment Analyst

* Leon G. Cooperman

Omega Advisors, Inc. – President, CEO, and Chairman

JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst

Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Financial First Quarter 2017 Earnings Conference Call. Today’s call is being recorded. (Operator Instructions) It is now my pleasure to turn the floor off to Maria Cozine, Vice President of Investor Relations. You may begin.

Thanks, operator, and good morning. Before we start, I would like to remind everyone that certain statements made during this conference call may constitute forward-looking statements within the meaning of the Safe Harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements are not historical in nature.

As described under Item 1A of our annual report on Form 10-K filed on March 16, 2017, forward-looking statements are subject to a variety of risks and uncertainties that could cause the company’s actual results to differ from its beliefs, expectations, estimates and projections. Consequently, you should not rely on these forward-looking statements as predictions of future events.

Statements made during this conference call are made as of the date of this call, and the company undertakes no obligation to update or revise any forward-looking statements whether as a result of new information, future events or otherwise. I have on the call with me today Larry Penn, Chief Executive Officer of Ellington Financial; Mark Tecotzky, our Co-Chief Investment Officer; and Lisa Mumford, our Chief Financial Officer.

As described in our earnings press release, our first quarter earnings conference call presentation is available on our website, ellingtonfinancial.com. Management’s prepared remarks will attract the presentation. Please turn to Slide 4 to follow along.

With that, I will now turn the call over to Larry.

Thanks, Maria, and welcome, everyone, to our first quarter 2017 earnings call. We appreciate you’re taking the time to listen to the call today.

Ellington Financial had strong performance in the first quarter. Our earnings more than covered our dividend, leaving room for our book value to increase. In the last several quarters, we have carefully been redeploying capital from legacy non-Agency RMBS into a wide variety of high-yielding loan and security strategies. Our patience and diligence in selecting assets and building pipelines is paying off. Our annualized economic return for the first quarter was 10.4%, and we’re still not done with our transition.

I’m pleased to report that the size of our credit portfolio grew nicely this quarter, as we added to our loan portfolios and also took advantage of several opportunities and securities, including select CLO sectors. In the aggregate, the size of our loan credit portfolio grew to $640 million, which is a very sizable 17% increase from the fourth quarter, considering that our overall capital base was roughly unchanged. We funded this growth partially through cash, freed up from selling legacy in non-Agency RMBS, also by layering on leverage from the diverse financing lines that we have in place. We worked hard to secure several financing facilities with favorable terms to accommodate growth in our loan businesses.

In the quarter, we secured 2 very significant new financing facilities, the first being a nonmark-to-market term facility for our consumer loan pipeline and a second being a supplemental facility for our non-QM mortgage loan business. We’ve also significantly extended the term on our residential NPL financing line, which should enable us to safely grow and leverage our debt portfolio even further. Even with the additional leverage we’ve layered on, our leverage ratio at quarter end was still only 1.7:1, which is still significantly lower than the leverage used by comparable companies, and it’s a level that we still consider to be conservative.

In addition to all the financing facilities we have in place with our lenders, we also expect to fund additional growth in the coming quarters by tapping the securitization markets. Our most likely portfolio candidates for securitization are our leverage corporate loan portfolio, where we have recently been exploring CLO financing, and our non-QM loans, where we think we’re still on track for an MBS securitization some time later this year.

Similar to the prior calls, Lisa will run through our financial results; and Mark will discuss how our markets performed over the quarter, how our portfolio performed and what our market outlook is; and finally, I will follow with some additional remarks before opening the floor to questions.

And with that, I’ll turn the call over to Lisa.

——————————————————————————–

Lisa Mumford, Ellington Financial LLC – CFO [4]

——————————————————————————–

Thanks, Larry, good morning, everyone. On our Earnings Attribution table on Page 4, you can see that in the first quarter, our credit strategy generated growth income of $18.2 million or $0.55 per share and our agency strategy generated gross P&L of $1.9 million or $0.06 per share. After expenses and other items, we had net income of $15.3 million or $0.47 per share. Last quarter, you can see that we had net income of $1.7 million or $0.05 per share. The significant quarter-over-quarter improvement was almost entirely attributable to the results from our current portfolio. The following is the brief overview of the drivers of our credit and agency results.

In our credit strategy, you can see that the main drivers of the first quarter’s imported results versus the fourth quarter were increased interest income and other income as well as net realized and unrealized gains. Our larger portfolio as well as increased yields in some sectors of our credit portfolio resulted in the increase in interest income, while generally tightening credit spreads contributed to net realized and unrealized gains. Our long credit portfolio increased to $640 million as of March 31 from $552 million as of the end of the year. And our weighted average net book yield also increased. Our larger portfolio of non-QM loans and CLOs contributed to the increase in interest income, while the increase in book yield came principally from our other loans, including nondistressed corporate loans and residential nonperforming and reperforming loans. Actually, our nondistressed leverage corporate loan portfolio increased in size as well as yields.

Finally, our remaining non-Agency RMBS also contributed to the increase in yields, as our cash flow expectations of several of those securities increased. Yield on the rest of our current holdings were relatively constant quarter-over-quarter. First quarter net realized and unrealized gains were spread across most of our credit assets, but were particularly strong in: our CLOs, both the U.S. and European; our RMBS, again, both U.S. and European; and our European CMBS. Generally, these sectors benefited from tighter credit spreads during the quarter. In addition, our small-balance commercial mortgage loans and our residential NPLs, each benefited from higher valuation during the period, as some of the assets in these portfolios have gotten closer to resolution. By comparison in the fourth quarter, we had overall net realized and unrealized losses in our credit portfolio.

All in all, our credit strategy, where total allocated capital represents about 76% of EFC’s total capital base, generated an annualized gross ROE of approximately 15% based on its contribution of $18.2 million in P&L in the first quarter. This gross return includes financing cost, hedging cost and servicing fees and other investment expenses related to portfolio assets, but excludes general operating expenses and management fees.

Overall, P&L in the first quarter from our Agency RMBS was very similar to what it was in the fourth quarter at $1.9 million or $0.06 per share, although market dynamics were very different. Last quarter, we have filed carry, but this was partially offset by effects of the surge in interest rates, which caused large net realized and unrealized gains on our interest rate hedges but even larger net realized and unrealized losses on our Agency RMBS assets. By contract, in the first quarter, our carry was even stronger, and this was partially offset by net realized and unrealized losses in our Agency RMBS assets, which resulted mostly from a combination of modest sector yield spread winding a modest drop in pay up prices.

On the hedging side, our interest rate swaps generated net gains, but our TBAs and U.S. Treasury hedges generated roughly offsetting losses. Still, the annualized first quarter gross ROE for our agency strategy, or total allocated capital represent about 15% of EFC’s total capital base, was approximately 8%.

We had a $2.1 million catch-up premium amortization adjustment, which caused an increase in interest income, but that income is entirely offset in net realized and unrealized gains and losses. Exuding this adjustment, the yield on our agency portfolio increased 16 basis points to 3.1%, and our cost of repo financing increased 12 basis points to 0.95%.

In the first quarter, our general operating expenses were about $4.5 million, representing an annualized expense ratio of 2.8%, which was about where we are forecasting it for the full year based on our current capital base. We ended the quarter with diluted book value per share of $90.50, which, in addition to net income of $0.40 and our quarterly dividend, includes a $0.01 per share accretive impact of our share repurchases. We had a positive economic returns of 2.5% for the quarter.

I will now turn the presentation over to Mark.

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [5]

——————————————————————————–

Thank you, Lisa. I’m very pleased with the results this quarter. Our earnings more than covered our dividend. Our book value increased. We grew our portfolio, and we have broad-based contributions across our suite of strategies. Importantly, we accomplished all these with low leverage and some downside protections in place. Our broad diversification helped our returns. The quality of the opportunity in every strategy is not the same quarter-over-quarter and year-over-year. Dynamically, dialing up and down the capital allocated to different strategies over time is a very powerful tool to enhance long-term performance.

Q1 was generally a favorable backdrop for credit strategies. The broad metrics of economic health were strong and said have been officially attenuated since the market has absorbed them easily so far. We would like to self-caution ourselves that such sectors as high-yield corporates, investment-grade corporates, GSE credit risk transfer securities and other sectors that are now priced at the tight end of their spread range for the last 2 years. Current pricing in these sectors means: first, that there is less carry because spreads are tighter; and second, that further price gains may be tougher to come by.

EFC is now primarily invested in a range of less-commoditized, harder-to-exit strategies, which have largely been created by the post-crisis amalgam of tighter bank regulations and substantially higher bank capital requirements.

For example, our CLO strategy had a great quarter, driven by our legacy holdings, which we think have remained cheap — which we think has remained a cheap sector, in part because many of them aren’t local-compliant. So they can’t be purchased by banks. Our small-balance commercial strategy was a bigger contributor to the past quarter, thanks to nonperforming loans that we have acquired from bank liquidations, as bank struggle to shed solid assets for peed regulators.

To meet their higher capital requirements, the big investment banks, they are much more focused on financing high-yield loans and security transactors rather than owning these assets themselves. This is 180-degree pivot from the bank’s pre-crisis behavior, and EFC is taking advantage. Larry mentioned term financing of consumer loans and our potential securitization of syndicated bank loans. All of these financing structures we are putting in place are helping to drive returns. By focusing on sectors that yield a lot and have high barriers to entry, EFC now has a suite of sub-strategy that we believe should generate loss-adjusted double-digit returns after leverage. And with the exception of our agency strategy, which represents a relative small portion of our capital base, we achieved all this with low leverage.

Let’s take a look at how the portfolio evolved this quarter. First, it grew, which was the goal we mentioned on our last call; the other aspect that jumps out is that we are highly diversified across many dimensions. We have real estate exposure in the U.S. and Europe, both residential and commercial. Within commercial real estate, we are exposed to a variety of property types, multi-family, office, et cetera. We have some corporate exposure through our CLOs and our syndicated bank loans. We have consumer loan exposure. Within the U.S. residential mortgages, we own securities as well as NPLs and RPLs. This broad diversification has 2 big advantages.

Firstly, that reduces our risk to any single idiosyncratic shock. For example, if the current administration eliminated the property tax deduction, and that hurt U.S. home prices, we’ll feel it, but the effect of that should be limited. As another example, if the 10-year treasury yield shoots up to 3% pressure in capitalization rate in the commercial real estate market, again, we’ll feel it, but our exposure is limited.

The second big advantage of our broad diversification is that we can dial up or down our capital in the particular strategy as opposed to being a one-trick pony. This quarter, we had a huge contribution from team in London with the U.K. residential MBS holdings. Going into the year, we viewed these assets as potentially more attractive than the U.S. non-Agency RMBS. So we cut the U.S. exposure and increased the U.K. exposure. That really paid off. As yields change in one sector relative to another, relative value changes and show should our capital allocations.

Another aspect of portfolio of construction that stood out this quarter was our ability to generate earnings with less leverage than our peer group. That’s the kind of thing that we have seen can really make a difference if the credit cycle turns.

Going forward, I see a lot more we can do. Securitization markets are open now, and in many cases, they offer financing terms better than repo. That was not the case a year ago when we generally saw repo at lower-cost financing but obviously lacking the term nature of securitization. For some asset classes, such as nonterm mortgages and bank loans, securitization financing is finally overtaking repo financing at the more attractive source of leverage. That can boost returns and can also create real franchise value for Ellington Financial, creating a propriety securitization brand that, hopefully, will give us the long-term funding advantage over others against when compete for these assets. We continued to see opportunities coming from different sectors over time. For example, in Q2, we’ve given more and more optimistic about our potential to generate growth and returns in our U.S. residential NPL/RPL strategies. That’s the sector that we haven’t given a lot of airtime through in the past. So while credit spreads for many sectors are historically tight, and we definitely see that in non-Agency RMBS, many of our strategies have material enough barriers to entry that they have not suffered spread compression. If you couple that yield spread in elasticity with better financing terms and with the very wide net recast across these high-yielding sectors, we should continue to have ample opportunities. Adding more leverage and continuing to ring out more balance sheet efficiency should also be supportive of our earnings going forward.

Now I’ll turn the call back to Larry.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [6]

——————————————————————————–

Thanks, Mark. I really think we’re turning the corner. After shrinking the portfolio last year, as we sold down our legacy non-Agency RMBS, we’re growing at a great pace again, and we’re driving that growth both through our propriety pipelines of loans and opportunistic allocations to securities.

Allow me to run quickly through some additional important developments in those business that Mark didn’t touch on. Our portfolio of small-balance commercial mortgage loans, including both distressed loans and bridge loans, increased by $24 million in the first quarter. That’s a great sign. This has been one of EFC’s best-performing strategies for several years. And as Mark mentioned, the opportunity sets here only get better as more and more loans originated precrisis hit their balloon payments and maturity. In fact, only 75% of CMBS conduit loans that hit their maturity in the first quarter successfully paid off. That statistic is courtesy of our friends at Crédit Suisse. And of course, it’s the loans that go into default, that create the opportunity set for us in both NPLs and bridge loans.

We have a financing line for our portfolio, and with the help of that line, we expect to continue to opportunistically purchase distressed loans and originate bridge loans for the foreseeable future.

In our non-QM mortgage business, our origination partner continues to expand nationally and increase production. A sizable portfolio is now $96 million, and we think critical mass for securitization is around $150 million. Loan performance continues to be pristine. Meanwhile, as you recall, we have an equity stake in our origination partner, and as they grow, that stage should become more valuable.

In consumer loans, we had a solid quarter. The portfolio is growing nicely again, and so we are very optimistic about that business. For our mortgage originator investments, I’m very pleased with their recent performance and outlook. Most notably, in our reverse mortgage originator joint venture, we just made a follow-on investment, which should allow significant expansion of their footprint in the reverse mortgage space. Operation in the space is low, demographic trends a very favorable, and the plan is to build a large portfolio of reversed mortgage servicing rights, which we believe offer far higher returns than conventional MSRs.

On the securities side, we are taking advantage of some very interesting opportunities. We net added around $40 million of leverage corporate loans to the portfolio in the first quarter, and as I mentioned before, we’re exploring a CLO financing opportunities there. But in addition to exploring financing assets using CLOs, we, of course, have had an active business investing in CLOs. Mark touched earlier on some of the technical factors that keep competition low and yields high for this asset class.

Our previous CLO trading activity was almost entirely within the legacy space of CLOs issued precrisis, since we like the way that those deals were deleveraging or about to deleverage, and we preferred quasi-static polls that were out or nearly out of their reinvestment periods. However, the legacy CLO market has been shrinking in recent years, as more and more deals get called. And as a result, last year, our CLO portfolio shrunk. That’s because precrisis CLO issuance came to a screeching halt in 2007, and CLO issuance didn’t assume again until 2012. So there were 4-fold gap years in between.

But now we’re really excited that the 2012 and 2013 vintages are finally all the way out, or nearly out, of the reinvestment period. So we’ve gotten past those gap years, and we’re back in business with all the gap years now behind us. We increased our investments in U.S. CLOs during the quarter by $20 million, and now this looks like an opportunity that will be with us for a while.

The diversity and growth of our credit portfolio that you can see on Slides 10 and 11, and the strategy yields that you can see on Slide 12, with a weighted average market yield of 10.24%, overall, shows the benefits of being able to allocate capital among a wide variety of high-ROE-generating strategies.

We’re off to a good start to 2017. We don’t like the fact that our stock is trading in the mid-80s of buck, but hey, I will also be the first to admit that it’s not enough to put good numbers on the board for one quarter. But we believe that we are building a powerful and consisting earnings stream, and we hope to continue to demonstrate the success of our transformation in the coming quarters.

This concludes our prepared remarks, and we’re now pleased to take your questions. Operator?

================================================================================

Questions and Answers

——————————————————————————–

Operator [1]

——————————————————————————–

(Operator Instructions) Our first question comes from the line of Steve Delaney of JMP Securities.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [2]

——————————————————————————–

I think that the $0.47 is by far the best GAAP number that you’ve put up over the past year. So great start. Larry, I must have slept through this, but I didn’t realize you’ve set up a REIT subsidiary. And in that context you talked about your high-yield bridge loans, so I guess a couple of questions on that. Help me understand the definition of a high-yield bridge loan and how that would contrast to, say, a $20 million LIBOR plus 450 loan that someone like acre might originate. And I guess that’s the first question I want to come back on, distressed versus new origination on that as well. But if you could just kind of help me understand how you define high-yield bridge, that would be — that’d be the first part.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [3]

——————————————————————————–

Sure. Well, first of all, high yield, I would say, we’re talking about loans that are 9%, or frankly, usually 10% and above. And I’m going to pass the ball to Mark in a second in terms of talking about kind of where we see opportunities there, but as you correctly link the 2, we created a REIT subsidiary specifically in order to take advantage of a couple of different origination opportunities — on the mortgage space. The first one is actually not the bridge loans, but even before then, they non-QM mortgage loans.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [4]

——————————————————————————–

They’re residential, they’re not — okay, got it…

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [5]

——————————————————————————–

They’re residential, right, so the nonterm residential. So we are close enough to the origination process that, just to be conservative, we purchased those into a REIT, which is allowed to originate from — there is no adverse consequence from a tax perspective for a REIT. And so we also use it to modify loans, when we need to, in our NPL and RPL business.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [6]

——————————————————————————–

The substantial difference in interest rates, that what you see from some other REITs?

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [7]

——————————————————————————–

The other difference is — there’s a difference in tenant. So typically, the new origination commercial loans we make are typically a year to 18 months loan, and they’re declined to “bridge” between when maybe a developer wants to buy a property and improve it a little bit, so when they’re going to get more permanent lower-cost financing in place. And that’s a part of the market that you would have seen local banks more active in precrisis, but as they have sort of walked back their risk appetite to appease regulators, we’ve seen an opportunity on a very selective basis to make high interest rate loan, where a loan is collateralized by a substantial equity in the property.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [8]

——————————————————————————–

And then the other thing that I want to mention is that, not always, but I would say usually, Mark, we have a partner who — with skin in the game, often the person that we sourced a loan from. So that’s also sort of an aspect of the business as well.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [9]

——————————————————————————–

Got it, and that’s why I was going to ask is how are sourcing these? Are you working with loan brokers? Or are you working directly with banks that are selling you…

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [10]

——————————————————————————–

Not with banks.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [11]

——————————————————————————–

Not with banks? Okay.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [12]

——————————————————————————–

No, not with banks, but we are working with brokers, and we’re working with other bridge lenders who don’t necessarily have the capital that we do.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [13]

——————————————————————————–

Got it, but they have the local connections and the network to the borrowers, I assume, is what they’re bringing.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [14]

——————————————————————————–

Yes, exactly.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [15]

——————————————————————————–

Okay, that’s very helpful. And then switching to small-balance commercial. It looks like a lot of what you’ve done there is distressed, kind of just a carryover from your RPL/NPL residential. Are you looking at that also from a new origination standpoint? You have set up your partnerships, right, on reverse, you have partnerships on NQM. What we are seeing in the CRE finance space is it’s just so fiercely competitive at that for larger loans of any type that it’s almost like downmarket if you want ROEs kind of where you have to go. And I’m just curious…

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [16]

——————————————————————————–

Well, let me be clear. Yes, let me be clear. In rolled-out commercial, we are not in the business of originating those types of loans. We’re only originating high-yielding bridge loans, and then everything else that we buy is stuff that already has soured, and we talked about those — all those loans hitting maturity default. So you’ve got a defaulted loan, if it’s, say, frankly, a $50 million or $100 million loan, the bank is going to — they have the resources to work that out. If it’s a sub-$20 million loan, they usually — it’s not worth their while to do that. The regulators put pressure on them to get that stuff out. So that’s the kind of stuff that we buy. We buy a lot from banks, and we buy also some from conduit deals as well, from special services.

——————————————————————————–

Steven Cole Delaney, JMP Securities LLC, Research Division – MD, Director of Specialty Finance Research and Senior Research Analyst [17]

——————————————————————————–

So that’s a good — that’s a distressed strategy, workout strategy, okay, unlike the high-yield. Okay, thanks for clarifying that. And then last — one last one, if I may. All this credit stuff would be pretty fascinating. The CMBS opportunities set has, obviously, changed, and you mentioned sort of the vertical and the ability to play with the 95% tradable piece that the banks — the banks have to hold there 5%, but there’s 95% there for someone else. I guess, 2 questions on that. To do that, do you have to be involved in upfront due diligence or review? Or is that something that you can do sort of as a [acquisit] buyer after the new issue was put out there?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [18]

——————————————————————————–

Yes, we could do both, and we could do what we did before this new risk retention rules came into effect. No, you’re absolutely involved, possibly, before the pool is fully baked, but I do want to say one think about that business, which is, that business actually slowed down for us in the first quarter, and what’s going on there, right, is that it’s — deal issuance were down. We actually are having — and spreads are tighter on the B pieces, so we’ve actually missed whereas our hit ratio, I should say, is lower than it was before, and we’ve, frankly, been doing a little more selling than buying. We’re waiting for spreads to rewiden there. As I’m sure you’ve heard this. Like, a lot of interesting stuff going on in the retail space, and of course, and actually really still working itself out. So in CMBPS says “Sure, if stuff rewidens”, then I think there’s a chance that we’ll get back into that. We were one of the biggest buyers not too long ago, but at least for now, we’re getting shut out. And that’s okay. We’ll widen up the portfolio. You got plenty of stuff going on in other spaces. Mark talked about the virtues of having so many different sectors that we can allocate capital to rotate in and out of. But at least for now, I would say, we’re more in maintenance or maybe in slightly shrink mode as opposed to growth mode.

——————————————————————————–

Operator [19]

——————————————————————————–

Your next question comes from the line of Doug Harter of Crédit Suisse.

——————————————————————————–

Joshua Hill Bolton, Crédit Suisse AG, Research Division – Research Analyst [20]

——————————————————————————–

This is actually Josh on for Doug. I wanted to talk a little bit about your leverage levels running kind of a conservative level on 1.7. Just curious, can you talk a bit about target leverage going into the second quarter and maybe the back half of the year, given some of your macro assumptions?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [21]

——————————————————————————–

Yes, I mean, it’s very asset-specific, and as we do securitizations, I think we’re much more comfortable increasing leveraged based on securitizations. So I would say, non-QM would be just a classic example, right? If we can get a securitization done there, then the amount of capital that we would have in the portfolio would shrink dramatically, and of course, we would ramp it up again. We’re always must more comfortable with long-term walk-in financing, then repo, you can get very low haircuts, but just something that we’ve done here at Ellington, gosh, for coming on — going on almost 20 years now. We’ve been in this business for over 20 years, but I would say, for almost 20 years, we’ve really been very, very careful about the amount of leverage that we use in a mark-to-market margin-callable repo facility. And so that really sort of — you have to look at it asset class by asset class. Agencies, yes, that’ll stay around the same, and that’s a very risk-controlled strategy. Non-QM will lower leverage now, but after we finance that, pretty higher leverage. And whether that’ll be technically balance sheet leverage or not will depend on the circumstances of consolidation versus nonconsolidation. We would look at that at that point — since it’s locked in, we would look at that really from a risk management standpoint more on an unconsolidated basis. If you look at some of the other things, like consumer loans, where we’re financing the portfolio through repo, again, we talked about the nonmark-to-market facility that we put in place, and, in fact, that was term. So that’s something that’s in our earnings release. That’s something that — again, when we put a facility like that in place, it’s suppose to be as we had before, then we’re more comfortable adding leverage. So I think, if we — just to sort of cut to chase, we talked in the past about 1/2 turn of leverage. That’s typical as what we did in our credit portfolio. So you’ve got a $1 of assets and you maybe borrow another $0.5 on that. I think that we’re comfortable probably going up to 1:1 on that, and again, it’ll depend upon where exactly the growth is. And then if you layer securitizations on top of that, then again, they’ll probably be deconsolidated, so that actually won’t contribute to leverage. But in sense — in some sense, in terms of how many assets we have working for us underneath and behind is the credit assets, right? Then in a way, our implicit leverage could get higher. So I know that’s sort of a complicated answer, but it — we’ll really have to see how it plays out. But I would use that 1:1 — I mean, 1 turn of leverage, I should say, as maybe a benchmark for where we’re heading towards. And on the credit side. And then, the Agency side, as you know, using about 15% of the portfolio at about 8:1 leverage, so that adds about 1.2 to our overall leverage right there. So we could be getting closer to 2.2:1 — 2:1, let’s just call it, even though we’re not there yet. So that’s sort of, I think, a good target.

——————————————————————————–

Operator [22]

——————————————————————————–

Your next question comes from the line of Eric Hagen of KBW.

——————————————————————————–

Eric Hagen, Keefe, Bruyette, & Woods, Inc., Research Division – Analyst [23]

——————————————————————————–

Just following up on the last question. What kind of financing do you expect to get in a securitization in terms of advanced rates and what you’re paying on the bonds?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [24]

——————————————————————————–

Well, I think — let’s just talk generally in terms of its markets. In non-QM, I don’t have the numbers in front of me in terms of exact financing costs. It’s obviously a blend, Mark, in terms of overall advanced rate. It’s pretty high.

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [25]

——————————————————————————–

I would say, in non-QM deals, your total financing cost is really 2 components, right? The bonds typically price as it spread to the curve, right? So you’re going to get interest rate movements and then spread to curve, and then the sum of those 2, weighted across different tranches you choose to sell, so it gives you a weighted financing cost. And what’s been good for us in the last tracking the performance to those deals since the start of the year is those spreads to the curve have been marching in. They’re becoming lower and lower. So the financing cost relative to interest rates has been coming in, and the interest rate component is something that we hedge out. So while our — generally speaking, the coupon that we’re able to originate, that’s been roughly constant throughout the year. The total weighted average liability of those costs have been coming into this year. So that’s positive. But it’s a function of those 2 components, right? The interest rate component and also the spread component.

——————————————————————————–

Eric Hagen, Keefe, Bruyette, & Woods, Inc., Research Division – Analyst [26]

——————————————————————————–

And then the advance rate on a non-QM securitization roughly?

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [27]

——————————————————————————–

It depends how deep you want to sell, but there’ve been deals out — there recently, getting into 19s of par advanced rate. Right, exactly, depending upon whether you want to retain certain revenue tranches or not. So that’s contrast that to where we are on a repo with non-QM, which is, call it, 75%. I mean, actually one of the things, give or take, one of the things that’s interesting, I would say, and while we said securitization, Mark mentioned how repo look more attractive before. The repo markets for some of these boutique facilities I’ll call them for certain types of loans, the rate and the haircuts actually haven’t gotten that much better. We’ve gotten somewhat better terms in terms of the terms of the facility and some other features. But what’s really interesting is that, the whole credit markets have tightened a lot. But we haven’t really gotten that much better on the rate side, and that’s obviously, disappointing. So on the other hand, the securitization market, as we all know, the credit markets, public credit markets have really tightened a lot. So that’s why we’re just taking a much closer look at that and hoping to do stuff as the year progresses, because they are the spreads they’re gotten a lot tighter. And the rating agencies are getting more comfortable with non-QM. So that’s where we see the trend for us.

——————————————————————————–

Operator [28]

——————————————————————————–

Your next question comes from the line of Jessica Levi-Ribner with FBR.

——————————————————————————–

Timothy Paul Hayes, FBR Capital Markets & Co., Research Division – Associate [29]

——————————————————————————–

This is Tim for Jessica. On the consumer loan front, we’ve heard that few of your competitors have gotten more active there, and so just some color around if you’ve seen any increase in demand there. Have kind of spreads come in at all? And we know you’re disciplined in underwriting, but have you see standards losing more broadly across the space?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [30]

——————————————————————————–

We’re not casting that light of a net there. We’ve got partners that we partner off with. We know that some people buy a lot of loans off the lending club platform and similar platforms, things like that. I would say that — so we’re not, Mark, seeing any appreciable spread compression there in our pipelines, but again, those in more, I would say, special pipelines, and they’re not the peer-to-peer stuff that — which is going to probably set the subject to more to competitive pressures.

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [31]

——————————————————————————–

And there’s been no listening of guidelines.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [32]

——————————————————————————–

Yes, no listening for guidelines, yes.

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [33]

——————————————————————————–

And if you go back to 2016, especially, when there were some of the well-publicized prevails at lending club, in the months that followed that, there was actually a tighten of guidelines. So from that time, if I had to say, guidelines are probably tighter than what they were before all the noise of lending clubs.

Yes, that helps. That’s true.

——————————————————————————–

Timothy Paul Hayes, FBR Capital Markets & Co., Research Division – Associate [34]

——————————————————————————–

Got it, thanks. I guess, in that vain, is there any loan type or collateral in particular you’ve become more focused on, or starting to shy away from ?

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [35]

——————————————————————————–

In — sorry, in any particular one of our segments or?

——————————————————————————–

Timothy Paul Hayes, FBR Capital Markets & Co., Research Division – Associate [36]

——————————————————————————–

Just, I guess, on the consumer loan side.

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [37]

——————————————————————————–

We’re very data-driven, and what’s great about that market for us, we had a very solid quarter there. What’s great about us is that we are sort of data hounds. We have a huge data budget throughout the firm. We have a lot of, really, skilled statisticians that process data and analyze data. And that market is the market, compared to all the other markets we deal in, that provides us with the greatest amount of data. So it’s really tailor-made for us. So what we look for and the combination of metrics that we think are important, some of that’s proprietary. But I would just say that it’s really the richest of the data set, our ability to process it, and looking at how different credit metrics work in concert with each other, some times in nonintuitive ways, which shapes our thinking and shapes sort of our purchase stock.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [38]

——————————————————————————–

Mark, just to state the obvious, right? We’re very sensitive about — we don’t want to give away. You saw us here. We feel that we give feedback to our originators, our partners, obviously, in terms of what kinds of loans we like and what we don’t. And we think that’s very much part of our edge, we spend a lot of money on research and analysis to help us shape those guidelines. So we don’t want to be too public about what kind of loans we like and what kinds we don’t.

——————————————————————————–

Operator [39]

——————————————————————————–

Our next question comes from the line of George Bahamondes of Deutsche Bank.

——————————————————————————–

George Bahamondes, Deutsche Bank AG, Research Division – Research Associate [40]

——————————————————————————–

I just wanted to confirm a few points you made in your prepared remarks. You have mentioned that credit portfolio grew quarter-over-quarter and there was capital used from non-Agency legacy RMBS sales and some debt was used as well. Did I understand that correctly? Is that what you have said?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [41]

——————————————————————————–

Yes, that’s right.

——————————————————————————–

George Bahamondes, Deutsche Bank AG, Research Division – Research Associate [42]

——————————————————————————–

Great. So going forward, when looking at growing that portfolio further, will similar strategy be used? Will — maybe you reduce the Agency portfolio a bit? Are you comfortable with the size of the Agency portfolio? And just any color around how large of that portfolio could get relative to the agency portfolio would be helpful.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [43]

——————————————————————————–

Yes, I think we could scale shrink the non-Agency RMBS portfolio, right? Obviously, as you — we’re selling the stock we think is the best to sell first, right, and then the stuff that were left is higher yielding, probably the more liquid. But over time, again, I think, there’s a good chance that portfolio would shrink. The other thing that we haven’t talked about, which I might as well mention, it’s not like — we don’t have anything at works or anything like that, but other source of growth for us, look at where our stock is trading, it’s not going to be equity issuance, right, at least, not now, but debt issuance, right, is definitely something that, I think, we would consider. That market, along with the other all the credit markets, is getting better, and so that’s something that we look at. Again, we don’t have anything in the works right now, but it’s something that we stay on top of, and I think that could make a lot of sense to issue unsecured debt. And I think that one thing that, hopefully, the market will appreciate about us is our low leverage. And if we can get rewarded by the debt markets for being more conservative, then that would be great.

——————————————————————————–

George Bahamondes, Deutsche Bank AG, Research Division – Research Associate [44]

——————————————————————————–

Got it. And so you are comfortable with the current size of the agency book?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [45]

——————————————————————————–

Yes, the agency book is something that is driven not only by how we feel about the agency market, but it also helps us satisfy our ’40 Act requirement to be exempt or excluded. I mean, the official term is, from the ’40 Act test, so we need to maintain that as a certain size, and just this is really monster math now. But if you think about that portfolio, that’s 15% of our capital, and it’s 8:1 leverage, right? And that is 120% of our capital. And if there’s a, let’s call it, 55% asset test, so — and again, that’s really — if not exactly 55% when you go to implement it. But if you look at our overall assets, and you can see that our agency assets and up being certainly more than half of our total assets, and that’s kind of where we might need to keep it, and this really only rough. So basically, we have to increase the size of our credit portfolio. We often need to increase a little bit the size of our agency portfolio to continue to have the ’40 Act tax work for us.

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [46]

——————————————————————————–

Now that’s been a great return on equity for us. It’s also a great diversify of returns, too.

——————————————————————————–

George Bahamondes, Deutsche Bank AG, Research Division – Research Associate [47]

——————————————————————————–

Right.

——————————————————————————–

Operator [48]

——————————————————————————–

Your next question comes from the line of Lee Cooperman of Omega Advisors.

——————————————————————————–

Leon G. Cooperman, Omega Advisors, Inc. – President, CEO, and Chairman [49]

——————————————————————————–

Basically, given the way you intend to run the company and the amount of leverage you intend to employ, over a market cycle, what do you think a realistic gross and net return on equity for shareholders is, looking at — $19,500 current book value. And second, to get out of the way, no mention, unless I missed it, of your repurchase activity of in the quarter. So if you could maybe just tell us what the status is of your buyback or what your intentions are? And what was done, if anything, in the quarter?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [50]

——————————————————————————–

Okay, I’ll let Mark hit the first one, and I’ll hit the repurchase one.

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [51]

——————————————————————————–

Hi, Lee. So over-cycles, I think we should produce returns in the order of 14% growth and 11% net. Portfolio with a run rate not that far away from that now in this environment now, where credit spreads are on the tight side. So I think, over-cycles, the opportunity is good now, but certainly, you’ve been in these markets a long time longer than we have, and we have been in them a long time. But you know that over-cycles, you get certain pockets of — you get some speed bumps sometimes, you get some really tremendous opportunities. The thing over cycles, that’s realistic expectations.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [52]

——————————————————————————–

And then on the repurchase front, yes, that follows up actually from question that you had on last quarter’s call. As we talked about, we did get a new repurchase program in place, right? So we sort of reloaded the one that we had before, and therefore, was certainly not an issue. This quarter, we repurchased a fewer shares than we did the quarter before, and that was really just a function of where our stock price was and what our average daily trading volume was. So we traded a little bit less, and our stock price was higher, right? We talked last quarter on this very call that, as pedal to the metal, below 80% a buck and once we got to the mid-’80s, that’s where we start shutting it down, and now we’re hit back in the mid-80s. So we just ended up based upon those parameters, repurchasing less in combination with the slightly lower volume. And I still feel that, that’s appropriate, given the opportunities we’re seeing. If we were to trade down, then we would no reason for, as I’m sitting here, to say that we wouldn’t do similar to what we did before, but of course, we do have these pipelines coming in and we do want to keep room for that. But that’s where, right, unsecured debt actually could be.

——————————————————————————–

Leon G. Cooperman, Omega Advisors, Inc. – President, CEO, and Chairman [53]

——————————————————————————–

And I’m just chiming in like a very specific guy. What is the authorization? Is that $100 million, $50 million, $10 million? I mean, you’ve made it very clear, and I think you’ve been very transparent that 80% of book or low, you really get excited, and 90% of book, not so excited. But I’m just curious, what is the actual authorization in place?

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [54]

——————————————————————————–

Yes, so we just reauthorized the same authorization of a GAAP before, which was 1.7 million shares. So well, that’s $30-some-odd million. And like I said, we don’t really — some people went not these huge programs as I never used them. So it’s just for us. When announce the program, it’s going to take us a while to use it, and then we’ll just reload, if we need to.

——————————————————————————–

Operator [55]

——————————————————————————–

Your final question comes the line of Jim Young of West Family Investment.

——————————————————————————–

James Young, West Family Investments, Inc. – Investment Analyst [56]

——————————————————————————–

Mark, could you expand upon your comments about the opportunity set that you see with the NPL and RPL strategy that you have previously mentioned?

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [57]

——————————————————————————–

Sure, yes. Jim, there I’m talking about nonperforming and reperforming residential loans in the U.S., the sector I was really — we’re referring to. So we have a team that those investments, and they’re at the firm for several years, and for a lot of the last few years, the opportunity set in that space on the larger packages hasn’t looked as interesting to us as some of the other sectors where we’ve been deploying our capital. But, say, probably the last quarter of 2016 and the first quarter of 2017, we’ve seen some more interesting trades that we’ve been doing, and we’ve done — that team has really done a fantastic job getting some great resolutions for us. So we’ve noticed a material increase in the return on equity that team’s been able to generate. A lot of it comes from thoughtful sourcing of loans. You want to try to get loans where you think your efforts to work out the property is going to be impactful. So maybe your sourcing loans from areas where you don’t think the previous efforts to work things out have been as thoughtful. But yes, the reason why I want to put that in the prepared remarks is that the resolutions we’ve been seeing there are fantastic. So that team is aggressively looking to put more money to work, and I think they really have a great process. And they’re very detail-oriented, and they are very efficient in how they go about things. Or yes, I just said that because, just in the last 6 months, the results have been fantastic.

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [58]

——————————————————————————–

And the other thing, just add one more thing, Mark, is that the last few weeks, I believe that was post quarter-end, I think that we got that, but we did extend the term on our financing facility for — I think I mentioned that in my remarks, for this particular business. And I would mention before how when we deal with repo mark-to-market is having to deal with margin calls. That’s one reason why we’re conservative, and our use of leverage, how much we’re going to leverage up, any particular business, but the other thing that also factors in is the term of the repo, right? If you got a very short-term repo, then your role risk is greater, right? If you got longer-term repo, then it’s less. So we — by extending out, we materially extended out the term on our repo line there. So that gives us more breathing room to leverage that business that more, which means higher — or tend an equity, which means we want to allocate more capital to that business.

——————————————————————————–

James Young, West Family Investments, Inc. – Investment Analyst [59]

——————————————————————————–

Okay. And as you expand your capital into this part of the business, do you think this presents opportunity to securitize these assets at some point in time, going forward?

——————————————————————————–

Mark Ira Tecotzky, Ellington Financial LLC – Co-CIO [60]

——————————————————————————–

We’ve been doing this strategy for a while. We have not contemplated and securitized in the assets. I know there are some other people do that, part of it, it’s a little bit of a scale issue. We think that we’ve been sort of maximizing return on equity through a combination of working out a lot of loans ourselves and for another portion of loans getting them to a reperforming status, where the borrowers paying on a payment plan and then selling those. So that way of sort of turning over the capital we think has been very efficient in sort of maximizing the ROE. We always look at securitizations, but it hasn’t been something that we have —

——————————————————————————–

Laurence Eric Penn, Ellington Financial LLC – CEO, President and Director [61]

——————————————————————————–

We haven’t been big enough, yes. Yes, if we get bigger than loan, we’ll definitely take a closer look at that. But it’s similar — you want to get to triple-digit millions for almost any securitization before it starts to make, at least close to that level.

——————————————————————————–

Operator [62]

——————————————————————————–

Ladies and gentlemen, that was our final question. And with that, this does conclude today’s Ellington Financial’s First Quarter 2017 Earnings Conference Call. Please disconnect your lines at this time, and have a wonderful day.

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


Ellington Financial LLC Reports Estimated Book Value Per Share as of April 30, 2017

This post was originally published on this site

OLD GREENWICH, Conn.–(BUSINESS WIRE)–

Ellington Financial LLC (EFC) (“Ellington Financial” or the “Company”) today announced that its estimated book value per common share as of April 30, 2017 was $19.78, or $19.50 on a diluted basis. Estimated book value per share on a diluted basis takes into account securities convertible into the Company’s common shares. These estimates are subject to change upon completion of the Company’s month-end valuation procedures relating to its investment positions, and any such change could be material. There can be no assurance that the Company’s estimated book value per common share as of April 30, 2017 is indicative of what the Company’s results are likely to be for the three or six month period ending June 30, 2017 or in future periods, and the Company undertakes no obligation to update or revise its estimated book value per common share prior to issuance of financial statements for such periods.

Cautionary Statement Regarding Forward-Looking Statements

This press release 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 “anticipate,” “estimate,” “will,” “should,” “may,” “expect,” “project,” “believe,” “intend,” “seek,” “plan” and similar expressions or their negative forms, or by references to strategy, plans, or intentions. The Company’s results can fluctuate from month to month depending on a variety of factors, some of which are beyond the Company’s control and/or are difficult to predict, including, without limitation, changes in interest rates, changes in mortgage default rates and prepayment rates, and other changes in market conditions and economic trends. 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 filed on March 16, 2017, which can be accessed through the link to our SEC filings under “For Our Shareholders” on our website (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 release and the information contained herein do not constitute an offer of any securities or solicitation of an offer to purchase securities.

About Ellington Financial LLC

Ellington Financial LLC is a specialty finance company that primarily acquires and manages mortgage-related and consumer-related assets, including residential mortgage-backed securities, residential and commercial mortgage loans, consumer loans and asset-backed securities backed by consumer loans, commercial mortgage-backed securities, real property, and mortgage-related derivatives. The Company also invests in corporate debt and equity, including distressed debt, collateralized loan obligations, non-mortgage-related derivatives, and other financial assets, including private debt and equity investments in mortgage-related entities. Ellington Financial LLC is externally managed and advised by Ellington Financial Management LLC, an affiliate of Ellington Management Group, L.L.C.

View source version on businesswire.com: http://www.businesswire.com/news/home/20170505005896/en/

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


Ellington Financial LLC Reports First Quarter 2017 Results

This post was originally published on this site

Ellington Financial LLC (EFC) today reported financial results for the quarter ended March 31, 2017.

“For the first quarter, Ellington Financial had net income, including the full impact of mark-to-market adjustments, of $15.3 million or $0.47 per share,” said Laurence Penn, Chief Executive Officer and President. “We are pleased to report that our dividend of $0.45 was more than covered by our earnings this quarter, as we reap the benefits of the meaningful transition of our Credit portfolio, which has been the focus of our efforts over the past several quarters. We generated a solid annualized economic return for the quarter of 10.4%, and our book value per share increased quarter over quarter, even after payment of our dividend.

“The quarter’s results were driven by strong performance within our Credit portfolio, in both loans and securities. We are benefiting from the robust pipeline of high-yielding loan assets that we have developed, and in addition we continue to opportunistically take advantage of the value that we see in several sectors of the securities markets, including selected CLO sectors. In the aggregate, the size of our long Credit portfolio grew to $640.3 million, a 17% increase from the fourth quarter. We funded this growth partially by using some of the cash that we had freed up last year, but also by taking advantage of the diverse financing facilities that we have in place.

“To help continue to accommodate our loan pipelines, we added a non-mark-to-market term financing facility for our consumer loans during the quarter, and we also added a second financing facility for our non-QM mortgage loans. Our credit-related borrowings increased by approximately 20% quarter over quarter, and we plan to increase our assets and our leverage further as the year progresses. We believe that we are building a powerful and consistent earnings stream for shareholders, and we hope to continue to demonstrate the success of our transformation in the coming quarters.”

For most of the first quarter, both interest rate volatility and overall market volatility were low, but many measures of volatility increased towards the end of the quarter. The yield curve flattened over the course of the quarter as market participants ratcheted back their post-election expectations of economic growth and inflation in the U.S. economy. The 2-year U.S. Treasury yield rose 6 basis points to end the quarter at 1.25%, whereas the 10-year U.S. Treasury yield fell 5 basis points to 2.39%. Notably, global monetary policy has begun to diverge, as an interest rate hiking cycle is underway in the U.S. while the monetary policies of other major economies, including Europe and Japan, continue to be highly accommodative.

Fixed-income credit spreads continued to tighten during the early part of the first quarter, but began widening in early March following intermeeting commentary from several Federal Reserve governors, who expressed support for an imminent increase in the federal funds rate (which did in fact come to pass at the March 15th FOMC meeting), and who suggested that tapering of the reinvestment program could begin later this year. Demand increased for floating-rate fixed income products, including CLOs and leveraged loans, as many market participants positioned themselves for a rising rate environment. Non-Agency RMBS spreads remained flat to slightly tighter in March despite the movements in the broader credit markets. Agency RMBS yield spreads widened over the course of the quarter, primarily in response to the more hawkish indications from the Federal Reserve.

Mortgage rates declined over the course of the first quarter, with the Freddie Mac survey 30-year mortgage rate falling 18 basis points to end the quarter at 4.14%. Similar to the fourth quarter, prepayment speeds remained low, with the majority of Agency mortgages no longer economically refinanceable. The Mortgage Bankers Association Refinance Index increased 12.4% in the first quarter, but remained well below the previously elevated levels of mid-2016.

Our Credit strategy generated gross income of $18.2 million for the first quarter, or $0.55 per share. The primary components of this strategy include: non-Agency RMBS; CMBS; performing, sub-performing, and non-performing residential and commercial mortgage loans; consumer loans and ABS; investments in mortgage-related entities; and credit hedges (including relative value trades involving credit hedging instruments). We also opportunistically invest in U.S. and European CLOs, distressed and non-distressed corporate debt, and corporate credit relative value trading when attractive opportunities in those markets arise. During the first quarter, we had strong performance from both our securities portfolios and our loan portfolios. As of March 31, 2017, our total long Credit portfolio (excluding corporate relative value trading positions, hedges, and other derivatives) increased to $640.3 million from $547.0 million as of December 31, 2016. Over the course of the first quarter, we increased our holdings of residential and commercial mortgage loans and REO, both U.S. and European CLOs, and corporate debt. We continued to net sell down our U.S. non-Agency RMBS, redeploying the net proceeds received into other Credit strategy assets.

As the case has been for some time, the fundamentals underlying non-Agency RMBS continue to be strong, led by a stable housing market. As legacy non-Agency RMBS continue to amortize, the range of expected outcomes on many of these assets has narrowed significantly; this trend, together with the minimal level of new RMBS issuance generally, has caused yield spreads on legacy non-Agency RMBS to compress significantly, leading us to rotate much of our Credit portfolio into higher-yielding assets. Our non-Agency RMBS portfolio, though much smaller now, performed well in the first quarter, benefiting from strong net interest margins, appreciation from our held positions, and net realized gains from positions sold. While our non-Agency RMBS portfolio currently represents a much smaller portion of our total Credit portfolio than it ever has, we intend to continue to opportunistically increase and decrease the size of this portfolio as market conditions vary. As of March 31, 2017, our investments in U.S. non-Agency RMBS totaled $80.9 million, as compared to $102.7 million as of December 31, 2016.

Currently, our credit hedges consist primarily of financial instruments tied to high-yield corporate credit, such as credit default swaps, or “CDS,” on high-yield corporate bond indices, as well as tranches and options on these indices; short positions in and CDS on corporate bonds; and positions involving exchange traded funds, or “ETFs,” of high-yield corporate bonds. Our credit hedges also currently include CDS tied to individual MBS or an index of several MBS, such as CMBX. We also opportunistically overlay our high-yield corporate credit hedges and mortgage-related derivatives with certain relative value long/short positions involving the same or similar instruments. Our combined credit hedges and relative value trading strategies generated a modest net loss for the quarter. In addition to credit hedges, we also use interest rate hedges in our Credit strategy in order to protect our portfolio against the risk of rising interest rates. The interest rate hedges in our Credit strategy, which currently consist primarily of interest rate swaps, did not meaningfully impact our results for the quarter. We also use foreign currency hedges in our Credit strategy, in order to protect our assets denominated in euros and British pounds against the risk of declines in those currencies against the U.S. dollar. We had net losses on our foreign currency hedges for the quarter, but these were more than offset by net gains on foreign currency-related transactions and translation. We believe that our publicly traded partnership structure affords us valuable flexibility, especially with respect to our ability to adjust our exposures nimbly by hedging many forms of risk, such as credit risk, interest rate risk, and foreign currency risk.

During the first quarter, yield spreads on CMBS fluctuated. As a result of the implementation of risk retention regulations and higher interest rates, CMBS conduit issuance slowed during the first quarter, continuing recent lower issuance trends. First quarter conduit issuance totaled $8.7 billion, down 24% from the first quarter of 2016. Even though CMBS yield spreads generally tightened over the course of the quarter, growing concerns around the effects of competition from online retailers on retail commercial real estate, particularly weaker regional malls, weighed on certain CMBS deals and sectors. Our CMBS portfolio continues to consist entirely of post-crisis “B-pieces.” B-pieces are the most subordinated (and therefore the highest yielding and riskiest) CMBS tranches. By purchasing new issue B-pieces, we believe that we are often able to effectively “manufacture” our risk more efficiently than what is generally available in the market, and to better target the collateral profiles and structures we prefer. We reduced our B-piece holdings during the quarter, generating net realized gains, as lower issuance created a relative scarcity of B-pieces and drove market yields tighter. For the first quarter, positive income on our CMBS assets was partially offset by losses on our hedges.

The CMBS risk retention regulations took effect on December 24, 2016, and CMBS issuance since then has included a variety of risk retention approaches, such as “vertical,” “horizontal,” and combined vertical/horizontal, or “L-shaped,” retained interest structures. The most prevalent form has been the vertical interest retention model, whereby sponsors retain 5% of the face amount of every tranche in order to satisfy risk retention. Under this approach, 95% of the B-piece remains tradeable in the same manner as B-pieces prior to the adoption of the CMBS risk retention regulations. We expect to continue buying tradeable B-pieces in this format and continue to evaluate opportunities created from the new risk retention regulations. As of March 31, 2017, our U.S. CMBS bond portfolio decreased to $31.3 million, as compared to $34.6 million as of December 31, 2016.

As of March 31, 2017, our portfolio of small balance commercial mortgage loans included thirteen loans and ten real estate owned, or “REO,” properties with an aggregate value of $86.7 million; by comparison, as of December 31, 2016, this portfolio included sixteen loans and one REO property with an aggregate value of $62.8 million. During the first quarter, we had strong performance from our portfolio. In addition to the net interest income on our portfolio, we recognized net realized gains as a result of several successful resolutions and REO conversions. Our REIT subsidiary also originated two high-yield “bridge loans” during the quarter. The number and aggregate value of loans held, as well as the income generated by our loans, may fluctuate significantly from period to period, especially as loans are resolved or sold. We expect to continue to emphasize purchasing distressed loans from banks and special servicers through negotiated transactions, as opposed to through widely circulated auctions where there is greater competition and less assurance that reserve prices will be reasonable. We also expect to continue to originate high-yielding bridge loans. We believe that opportunities will accelerate in both distressed loans and bridge loans, as many commercial mortgage loans—including many originated pre-crisis—reach their maturity but are unable to be refinanced.

In Europe, while we remain active in the legacy structured product markets such as MBS and CLOs, we have generally been more focused on the non-performing loan market. Our European non-performing loans include non-performing consumer loans, non-performing residential mortgage loans, and non-performing commercial mortgage loans made to small- and medium-sized enterprises. We believe that non-performing loans in certain select markets, such as Spain and Portugal, will continue to present attractive opportunities, and we are actively pursuing additional opportunities in these and other countries. During the first quarter, we had strong performance from both our structured product portfolio and our non-performing loan portfolio. The first quarter is typically less active for European non-performing loans, and as a result we did not purchase any new loan packages during the quarter. In our MBS and CLO portfolios, however, we did actively trade our holdings in the first quarter; we were able to generate net gains and reinvest the proceeds into other attractively priced securities. We expect to continue to take an opportunistic approach with respect to our participation in the European markets. As of March 31, 2017, our investments in European non-dollar denominated assets totaled $81.3 million, as compared to $75.2 million as of December 31, 2016. As of March 31, 2017, our total holdings of European non-dollar denominated assets included $40.6 million in RMBS (mostly backed by non-performing loans), $10.0 million in CMBS, $27.6 million in CLOs, $3.0 million in ABS, and $0.2 million in distressed corporate debt. As of December 31, 2016, our total holdings of European non-dollar denominated assets included $40.9 million in RMBS (mostly backed by non-performing loans), $8.7 million in CMBS, $22.4 million in CLOs, $3.0 million in ABS, and $0.2 million in distressed corporate debt. These holdings include assets denominated in British pounds as well as in euros.

We remain active in non-performing and re-performing U.S. residential mortgage loans, or “residential NPLs,” and have continued to focus our acquisitions on smaller, less competitively-bid, and more attractively-priced mixed legacy pools sourced from motivated sellers. During the first quarter we closed on a purchase of a mixed residential NPL pool, which contains a combination of re-performing and non-performing assets. While relatively small, our residential NPL portfolio performed well for the quarter. As of March 31, 2017, we held $17.7 million in residential NPLs and related foreclosure property, as compared to $14.3 million as of December 31, 2016.

During the first quarter, we continued to acquire consumer loans under three existing flow agreements. Our portfolio primarily consists of unsecured loans, but also includes auto loans, and it performed well in the first quarter. During the quarter, we entered into a secured borrowing facility with a major investment bank to finance a portfolio of unsecured loans that we purchase under one of our flow agreements. This facility features a term revolving period, during which we can vary our borrowings based on the size of the portfolio, followed by an amortization period, which we believe greatly reduces our financing risk as compared to a sudden maturity. Some of our other consumer loans are financed using reverse repurchase agreements, or through the securitization markets. Apart from our existing flow agreements, we are actively evaluating other opportunities in the space. As of March 31, 2017, our investments in U.S. consumer loans and ABS totaled $111.3 million, as compared to $111.4 million as of December 31, 2016.

During the first quarter, we continued to purchase non-QM loans at a steady pace, and our outlook for growth in this sector remains positive. As of March 31, 2017, our non-QM mortgage loan portfolio totaled $96.2 million, as compared to $71.6 million as of December 31, 2016. To date, we have purchased approximately $129.4 million under our flow agreement, and loan performance has been excellent. The number of states where our origination partner is producing loans for us has increased according to expectations. We currently finance most of our non-QM loans under repo facilities with large financial institutions, and we continue to actively monitor the securitization market for a potential issuance after we reach critical mass.

Over the past few months, we have begun purchasing non-distressed leveraged corporate loans. We are principally focused on senior secured loans that trade near par, with shorter maturities and low loan-to-value ratios. We believe that these assets offer excellent value in comparison to most high-yield corporate bonds, with their generally higher yield spreads and lower issue leverage. We are currently evaluating securing long-term, non-recourse financing for these assets through the CLO securitization market. While we are not currently making new acquisitions of distressed leveraged loans, we continue to hold a small portfolio of these assets. During the first quarter, our portfolio of performing and distressed leveraged loans performed well. As of March 31, 2017, our investments in performing and distressed leverage loans totaled $58.3 million as compared to $19.9 million as of December 31, 2016.

We have also recently increased our purchase activity in U.S. CLOs. While our previous CLO trading activity was almost entirely within the legacy CLO space, our more recent activity has been primarily in 2012 and 2013 vintages. During the first quarter our U.S. CLO portfolio performed well, reflecting strong contributions from both net interest income and net realized and unrealized gains. As of March 31, 2017, our investments in U.S. CLOs totaled $42.9 million as compared to $22.5 million as of December 31, 2016.

In the first quarter, we increased our investment in a reverse mortgage originator in which we have been invested since September 2014. We increased our invested capital in this originator from $12.5 million as of December 31, 2016 to $17.5 million as of March 31, 2017. Concurrently with our additional investment, another financial institution also increased its investment in the originator from $12.5 million to $17.5 million. With this increased capital base, this originator intends to significantly expand its footprint in the reverse mortgage origination space.

For the last few quarters, we have become more active in a corporate credit relative value trading strategy, whereby we seek to identify and capitalize on short-term pricing disparities in the corporate credit markets. As a subset of this strategy, we often engage in “basis trading,” where we hold long or short positions in the bonds of a corporate issuer and simultaneously hold offsetting positions in credit default swaps referencing the same corporate issuer. In the overall strategy, we typically use reverse repurchase agreements to finance the long corporate bond positions that we hold. During the first quarter, our corporate credit relative value trading strategy performed well. As of March 31, 2017, in this strategy the aggregate market value of our long corporate bonds was $90.1 million, the aggregate market value of our short corporate bonds was $(77.9) million, and the aggregate notional amount of our credit default swaps where we were long protection and short protection was $105.7 million and $(118.1) million, respectively. As of December 31, 2016, in this strategy the aggregate market value of our long corporate bonds was $49.6 million, the aggregate market value of our short corporate bonds was $(36.9) million, and the aggregate notional amount of our credit default swaps where we were long protection and short protection was $50.1 million and $(62.1) million, respectively.

Agency

Our Agency strategy generated gross income of $1.9 million, or $0.06 per share, during the first quarter of 2017. Over the course of the quarter, positive net interest income on our portfolio was partially offset by net realized and unrealized losses on our Agency RMBS assets and net realized and unrealized losses on our interest rate hedges. During the first quarter, pay-ups on our specified pools decreased and the yield curve flattened relative to the prior quarter.

Consistent with past quarters, as of March 31, 2017, our Agency RMBS consisted mainly of “specified pools.” Specified pools are fixed-rate Agency pools consisting of mortgages with special characteristics, such as mortgages with low loan balances, mortgages backed by investor properties, mortgages originated through the government-sponsored “Making Homes Affordable” refinancing programs, and mortgages with various other characteristics. Our Agency strategy also includes RMBS that are backed by ARMs or Hybrid ARMs and reverse mortgages, and CMOs, including IOs, POs, and IIOs. Finally, our Agency strategy also includes interest rate hedges for our Agency RMBS, as well as certain relative value trading positions in interest rate-related and TBA-related instruments.

During the first quarter, both realized and implied volatility remained low, but yield spreads for Agency RMBS widened. Agency RMBS investors are becoming increasingly focused on the timing and mechanism of the Federal Reserve’s discontinuation of its current policy of reinvesting principal payments from its Agency RMBS holdings. While the Federal Reserve has indicated that it expects to continue its reinvesting policy “until normalization of the level of the federal funds rate is well under way,” uncertainty around when that condition would be satisfied weighed on asset valuations during the first quarter. Despite the anticipated reduced support from the Federal Reserve, we do not expect that Agency RMBS yield spreads will widen substantially, as they did during the 2013 “Taper Tantrum,” largely because the investor base for Agency RMBS has changed substantially since then. Agency RMBS ownership has largely shifted away from investors such as the GSEs, certain money managers, and mortgage REITs whose activities, including delta-hedging and utilization of high degrees of leverage, tend to amplify price swings during periods of high volatility.

During the first quarter, mortgage rates remained relatively elevated from their pre-election levels, and prepayment rates declined, as many borrowers did have not an economic incentive to refinance their mortgages. The lower day count of the first quarter and the impact of winter seasonality were also factors contributing to the overall decline in prepayments. Since the generic pools that underlie TBAs tend to be more prepayment-sensitive than specified pools, the favorable decline in overall prepayment rates helped TBAs outperform specified pools over the course of the first quarter. This dampened our results for the first quarter, given that TBA short positions are a major component of our interest rate hedging portfolio.

Pay-ups on our specified pools decreased slightly quarter over quarter. Pay-ups are price premiums for specified pools relative to their TBA counterparts. Average pay-ups on our specified pools decreased to 0.66% as of March 31, 2017, from 0.76% as of December 31, 2016. Notwithstanding the decline of the first quarter, we believe that the evolving landscape, including the Federal Reserve’s eventual withdrawal from the TBA market, may provide substantial support to pay-ups. In addition, technological advances in the mortgage origination and servicing industry have tended to have a much greater impact on non-specified pools as compared to specified pools. We believe that this trend will continue, ultimately driving greater investor demand for specified pools relative to TBAs.

During the quarter we continued to hedge interest rate risk in our Agency strategy, primarily through the use of interest rate swaps and short positions in TBAs, and to a lesser extent, short positions in U.S. Treasury securities. Within our hedging portfolio, our interest rate swaps generated net gains as swap rates increased across the yield curve, but those gains were offset by losses on our short positions in TBAs and U.S. Treasury securities. During the quarter, TBA roll prices increased and longer maturity U.S. Treasury yields declined, most notably in March, thereby leading to losses. In our hedging portfolio, the relative proportion (based on 10-year equivalents1) of TBA positions increased quarter over quarter relative to interest rate swaps. We believe that it is important to be able to hedge our Agency RMBS portfolio using a variety of instruments, including TBAs.

We actively traded our Agency RMBS portfolio during the quarter in order to capitalize on sector rotation opportunities. Our portfolio turnover for the quarter was approximately 10% (as measured by sales and excluding paydowns), and we had net realized losses of $(0.7) million, excluding interest rate hedges. Our portfolio selection continues to be informed by mortgage industry trends—including significant enhancements in technology that are helping streamline the origination process—and we note that refinancing capacity remains high, with employment in the mortgage industry near a post-financial crisis high.

As of March 31, 2017, our long Agency RMBS portfolio was $841.3 million, up from $827.4 million as of December 31, 2016. During the first quarter, we continued to focus our Agency RMBS purchasing activity primarily on specified pools, particularly those with higher coupons. As of March 31, 2017, the weighted average coupon on our fixed-rate specified pools was 4.0%. Our Agency RMBS portfolio continues to include a small allocation to Agency IOs, where we purchased additional assets in the first quarter. Some of the IOs that we purchased were backed by seasoned Ginnie Mae pools that have demonstrated some level of “burnout.” Burnout often occurs after periods of high prepayments, when the mix of loans remaining in an RMBS pool becomes more concentrated in loans that tend to prepay more slowly; burnout can reflect a variety of factors, including the behavior of individual borrowers and overall trends in the mortgage banking industry. Our Agency IOs not only contribute to our portfolio in the form of their yields, but they also inherently serve as portfolio market value hedges in a rising interest rate environment.

Our net Agency premium as a percentage of the fair value of our specified pool holdings is one metric that we use to measure the overall prepayment risk of our specified pool portfolio. Net Agency premium represents the total premium (excess of market value over outstanding principal balance) on our specified pool holdings less the total premium on related net short TBA positions. The lower our net Agency premium, the less we believe that our specified pool portfolio is exposed to market-wide increases in Agency RMBS prepayments. The net short TBA position related to our specified pool holdings had a notional value of $427.0 million and a fair value of $448.4 million as of March 31, 2017, as compared to a notional value of $370.6 million and a fair value of $390.3 million as of December 31, 2016. Our net Agency premium as a percentage of fair value of our specified pool holdings was approximately 2.9% as of March 31, 2017, as compared to 3.2% as of December 31, 2016. Excluding TBA positions used to hedge our specified pool holdings, our Agency premium as a percentage of fair value was approximately 5.5% and 5.7% as of March 31, 2017 and December 31, 2016, respectively. Our Agency premium percentage and net Agency premium percentage may fluctuate from period to period based on a variety of factors, including market factors such as interest rates and mortgage rates, and, in the case of our net Agency premium percentage, based on the degree to which we hedge prepayment risk with short TBA positions. We believe that our focus on purchasing pools with specific prepayment characteristics provides a measure of protection against prepayments.

1“10-year equivalents” for a group of positions represent the amount of 10-year U.S. Treasury securities that would experience a similar change in market value under a standard parallel move in interest rates.

Financial Results

We prepare our financial statements in accordance with ASC 946, Financial Services—Investment Companies. As a result, our investments are carried at fair value and all valuation changes are recorded in the Consolidated Statement of Operations.

We also measure our performance based on our diluted net-asset-value-based total return, which measures the change in our diluted book value per share and assumes the reinvestment of dividends at diluted book value per share and the conversion of all convertible units into common shares at their issuance dates. Diluted net-asset-value-based total return was 2.51% for the quarter ended March 31, 2017. Based on our diluted net-asset-value-based total return of 163.8% from our inception (August 17, 2007) through March 31, 2017, our annualized inception-to-date diluted net-asset-value-based total return was 10.6% as of March 31, 2017.

The following table summarizes our operating results for the quarters ended March 31, 2017 and December 31, 2016:

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="62">
 

Quarter
Ended
March 31,
2017

 

Per
Share

 

% of
Average
Equity

 

Quarter
Ended
December
31, 2016

 

Per
Share

 

% of
Average
Equity

(In thousands, except per share amounts)
Credit:
Interest income and other income $ 13,133 $ 0.40 2.02

 %

$ 11,902 $ 0.36 1.82

 %

Net realized gain (loss) 2,259 0.07 0.35

 %

(3,964 ) (0.12 ) (0.60 )%
Change in net unrealized gain (loss) 10,277 0.31 1.58

 %

(1,354 ) (0.04 ) (0.21 )%
Net interest rate hedges(1) 146 0.02

 %

1,801 0.05 0.27

 %

Net credit hedges and other activities(2) (3,920 ) (0.12 ) (0.60 )% 257 0.01 0.04

 %

Interest expense (2,199 ) (0.07 ) (0.34 )% (1,894 ) (0.06 ) (0.29 )%
Other investment related expenses (1,496 ) (0.04 ) (0.23 )% (1,736 ) (0.05 ) (0.27 )%
Total Credit profit (loss) 18,200   0.55   2.80

 %

5,012   0.15   0.76

 %

Agency RMBS:
Interest income 8,630 0.26 1.33

 %

6,485 0.19 0.99

 %

Net realized gain (loss) (711 ) (0.01 ) (0.11 )% (1,328 ) (0.04 ) (0.20 )%
Change in net unrealized gain (loss) (2,570 ) (0.08 ) (0.40 )% (17,216 ) (0.52 ) (2.63 )%
Net interest rate hedges and other activities(1) (1,572 ) (0.05 ) (0.24 )% 15,480 0.47 2.36

 %

Interest expense (1,857 ) (0.06 ) (0.29 )% (1,597 ) (0.05 ) (0.24 )%
Total Agency RMBS profit (loss) 1,920   0.06   0.29

 %

1,824   0.05   0.28

 %

Total Credit and Agency RMBS profit (loss) 20,120   0.61   3.09

 %

6,836   0.20   1.04

 %

Other interest income (expense), net 136 0.02

 %

150 0.02

 %

Other expenses (4,526 ) (0.14 ) (0.70 )% (5,055 ) (0.15 ) (0.77 )%
Net increase in equity resulting from operations $ 15,730   $ 0.47   2.41

 %

$ 1,931   $ 0.05   0.29

 %

Less: Net increase in equity resulting from operations attributable to non-controlling interests 452   239  
Net increase in shareholders’ equity resulting from operations(6) $ 15,278   $ 0.47 2.40

 %

$ 1,692   $ 0.05 0.26

 %

Weighted average shares and convertible

units(3) outstanding

32,930 33,140
Average equity (includes non-controlling interests)(4) $ 649,113 $ 654,979
Weighted average shares and LTIP units outstanding(5) 32,718 32,928
Average shareholders’ equity (excludes non-controlling interests)(4) $ 637,712 $ 647,832
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="64">
    (1)   Includes TBAs and U.S. Treasuries, if applicable.
(2) Includes equity and other relative value trading strategies and related hedges.
(3) Convertible units include Operating Partnership units attributable to non-controlling interests and LTIP units.
(4) Average equity and average shareholders’ equity are calculated using month end values.
(5) Excludes Operating Partnership units attributable to non-controlling interests.
(6) Per share information is calculated using weighted average shares and LTIP units outstanding. Percentage of average equity is calculated using average shareholders’ equity, which excludes non-controlling interests.
 

Portfolio

The following tables summarize our portfolio holdings as of March 31, 2017 and December 31, 2016:

Investment Portfolio

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="69">
   
March 31, 2017 December 31, 2016
(In thousands) Current

Principal

  Fair Value   Average

Price(1)

  Cost   Average

Cost(1)

Current
Principal
  Fair Value   Average
Price(1)
  Cost   Average
Cost(1)
Non-Agency RMBS and Residential Mortgage Loans $ 304,065 $ 228,124 $ 75.02 $ 220,325 $ 72.46 $ 354,219 $ 226,543 $ 63.96 $ 220,321 $ 62.20
Non-Agency CMBS and Commercial Mortgage Loans 184,790 99,496 53.84 108,882 58.92 200,017 100,143 50.07 111,995 55.99
ABS and Consumer Loans 164,375   161,889   98.49   166,711   101.42   140,569   138,011   98.18   143,936   102.40
Total Non-Agency MBS, Mortgage loans, and ABS and Consumer Loans(2) 653,230   489,509   74.94   495,918   75.92   694,805   464,697   66.88   476,252   68.54
Agency RMBS:
Floating 10,579 10,999 103.97 11,093 104.86 10,998 11,457 104.18 11,468 104.27
Fixed 702,323 742,563 105.73 746,273 106.26 685,334 726,142 105.95 727,068 106.09
Reverse Mortgages 54,138   58,301   107.69   59,185   109.32   55,910   60,221   107.71   61,174   109.41
Total Agency

RMBS(3)

767,040   811,863   105.84   816,551   106.45   752,242   797,820   106.06   799,710   106.31
Total Non-Agency and Agency MBS, Mortgage loans, and ABS and Consumer Loans(2)(3) 1,420,270   1,301,372   91.63   1,312,469   92.41   1,447,047   1,262,517   87.25   1,275,962   88.18
Agency Interest Only RMBS n/a 29,425 n/a 29,671 n/a n/a 29,622 n/a 30,096 n/a
Non-Agency Interest Only and Principal Only MBS and Other(4) n/a 33,255 n/a 35,522 n/a n/a 27,026 n/a 33,171 n/a
TBAs:
Long 243,982 253,146 103.76 252,101 103.33 67,720 70,525 104.14 70,334 103.86
Short (502,617 ) (523,620 ) 104.18   (521,631 ) 103.78   (384,155 ) (404,728 ) 105.36   (404,967 ) 105.42
Net Short TBAs (258,635 ) (270,474 ) 104.58   (269,530 ) 104.21   (316,435 ) (334,203 ) 105.62   (334,633 ) 105.75
Long U.S. Treasury Securities 36,529 36,488 99.89 36,455 99.80 5,620 5,419 96.43 5,635 100.27
Short U.S. Treasury Securities (104,609 ) (101,820 ) 97.33 (102,205 ) 97.70 (72,871 ) (69,762 ) 95.73 (69,946 ) 95.99
Short European Sovereign Bonds (61,873 ) (63,260 ) 102.24 (66,738 ) 107.86 (61,016 ) (62,680 ) 102.73 (66,800 ) 109.48
Repurchase Agreements 293,802 293,802 100.00 294,468 100.23 184,819 184,819 100.00 185,205 100.21
Long Corporate Debt 173,688 154,819 89.14 155,130 89.31 95,664 80,095 83.73 81,036 84.71
Short Corporate Debt (91,367 ) (89,466 ) 97.92 (89,598 ) 98.06 (40,807 ) (39,572 ) 96.97 (39,664 ) 97.20
Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities n/a 23,099 n/a 22,185 n/a n/a 18,090 n/a 17,243 n/a
Non-Exchange Traded Corporate Equity n/a 4,382 n/a 4,313 n/a n/a 3,987 n/a 4,313 n/a
Long Common Stock n/a 2,837 n/a 2,784 n/a n/a 4,396 n/a 4,381 n/a
Short Common Stock n/a (2,154 ) n/a (2,223 ) n/a n/a (8,154 ) n/a (8,052 ) n/a
Real Estate Owned n/a 25,390   n/a 25,475   n/a n/a 3,349   n/a 3,539   n/a
Total $ 1,377,695   $ 1,388,178   $ 1,104,949   $ 1,121,486  
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="71">
    (1)   Represents the dollar amount, per $100 of current principal, of the price or cost for the security.
(2) Excludes non-Agency Interest Only and Principal Only MBS and Other.
(3) Excludes Agency Interest Only RMBS.
(4) Other includes equity tranches of CLOs, non-Agency residual MBS, and similar positions.
 

Non-Agency RMBS and CMBS are generally securitized in senior/subordinated structures, or in excess spread/over-collateralization structures. Disregarding TBAs, Agency RMBS consist primarily of whole-pool pass through certificates. We actively invest in the TBA market. TBAs are forward-settling Agency RMBS where the mortgage pass-through certificates to be delivered are “To-Be-Announced.” Given that we use TBAs primarily to hedge the risk of rising interest rates on our long holdings, we generally carry a net short TBA position.

Derivatives Portfolio(1)

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="75">
  March 31, 2017   December 31, 2016
(In thousands) Notional Value   Fair Value Notional Value   Fair Value
Mortgage-Related Derivatives:

Long CDS on RMBS and CMBS Indices

$ 14,971 $ (2,244 ) $ 17,228 $ (2,887 )
Short CDS on RMBS and CMBS Indices (79,502 ) 10,642 (112,999 ) 16,701
Short CDS on Individual RMBS (10,005 ) 5,610   (10,134 ) 5,070  
Net Mortgage-Related Derivatives (74,536 ) 14,008   (105,905 ) 18,884  
Long CDS referencing Corporate Bond Indices 11,909 832 40,611 2,744
Short CDS referencing Corporate Bond Indices (62,821 ) (2,911 ) (49,306 ) (2,840 )
Long CDS on Corporate Bonds 108,028 269 59,637 (1,408 )
Short CDS on Corporate Bonds (146,391 ) (6,330 ) (83,108 ) (2,886 )
Purchased Put Options on CDS on Corporate Bond Indices(2) 10,000
Short Total Return Swaps on Corporate Equities(3) (21,683 ) (11 ) (42,093 ) (55 )
Long Total Return Swaps on Corporate Debt(4) 5,438 (94 )
Interest Rate Derivatives:
Long Interest Rate Swaps 365,806 (2,378 ) 376,074 (2,122 )
Short Interest Rate Swaps (879,314 ) 5,605 (862,535 ) 5,062
Long Eurodollar Futures(6) 11,000 (11 ) 11,000 (8 )
Short Eurodollar Futures(6) (42,000 ) (39 ) (62,000 ) (51 )
Short U.S. Treasury Note Futures(5) (6,800 ) (7 ) (7,000 ) 19
Interest Rate Caps 61,908 1 61,908 2
Purchased Equity Call Options(7) 23 28 16 42
Purchased Equity Put Options(7) 5 38    
Total Net Interest Rate Derivatives 3,237   2,944  
Other Derivatives:
Short Foreign Currency Forwards(8) (63,223 ) (125 ) (54,787 ) (456 )
Warrants(9) 1,639 106
Mortgage Loan Purchase Commitments(10)   20,601 (31 )
Total Net Derivatives $ 8,969   $ 16,908  
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="77">
    (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 March 31, 2017, derivative assets and derivative liabilities were $29.9 million and $20.9 million, respectively, for a net fair value of $9.0 million, as reflected in “Total Net Derivatives” above. As of December 31, 2016, derivative assets and derivative liabilities were $35.6 million and $18.7 million, respectively, for a net fair value of $16.9 million, as reflected in “Total Net Derivatives” above.
(2) Represents the option on our part to enter into a CDS on a corporate bond index whereby we would pay a fixed rate and receive credit protection payments.
(3) Notional value represents number of underlying shares times the closing price of the underlying security.
(4) Notional value represents outstanding principal on underlying corporate debt.
(5) Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of March 31, 2017 and December 31, 2016 a total of 68 and 70 short U.S. Treasury note futures contracts were held, respectively.
(6) Every $1,000,000 in notional value represents one Eurodollar future contract.
(7) Notional value represents the number of common shares we have the option to purchase multiplied by the strike price.
(8) Notional value represents U.S. Dollars to be received by us at the maturity of the forward contract.
(9) Notional value represents number of shares that warrants are convertible into.
(10) Notional value represents principal balance of mortgage loan purchase commitments. Actual loan purchases are contingent upon successful loan closings in accordance with agreed-upon parameters.
 

The mix and composition of our derivative instruments may vary from period to period.

The following table summarizes, as of March 31, 2017, 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.

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="81">
  Estimated Change in Value (1)
(In thousands) 50 Basis Point Decline in

Interest Rates

  50 Basis Point Increase

in Interest Rates

Market Value  

% of Total
Equity

Market Value  

% of Total
Equity

Agency RMBS – ARM Pools $ 61 0.01

 %

$ (77 ) (0.01 )%
Agency RMBS – Fixed Pools and IOs 13,115 2.00

 %

(17,153 ) (2.62 )%
TBAs (4,968 ) (0.76 )% 6,862 1.05

 %

Non-Agency RMBS, CMBS, Other ABS, and Mortgage Loans 3,495 0.54

 %

(3,057 ) (0.47 )%
Interest Rate Swaps (6,660 ) (1.02 )% 6,408 0.98

 %

U.S. Treasury Securities (3,118 ) (0.48 )% 2,960 0.45

 %

Eurodollar and U.S. Treasury Futures (298 ) (0.05 )% 290 0.05

 %

Mortgage-Related Derivatives 53 0.01

 %

(53 ) (0.01 )%
Corporate Securities and Derivatives on Corporate Securities (98 ) (0.01 )% 157 0.02

 %

Repurchase Agreements and Reverse Repurchase Agreements (589 ) (0.09 )% 567   0.09

 %

$ 993   0.15

 %

$ (3,096 ) (0.47 )%
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="83">
    (1)   Based on the market environment as of March 31, 2017. The preceding analysis does not include sensitivities to changes in interest rates for instruments for 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. Results are based on forward-looking models, which are inherently imperfect, and incorporate various simplifying assumptions. Therefore, the table above is for illustrative purposes only and actual changes in interest rates would likely cause changes in the actual value of our overall portfolio that would differ from those presented above and such differences might be significant and adverse.
 

Borrowed Funds and Liquidity

Borrowings By Collateral Type

The following table summarizes our aggregate borrowings, including reverse repos and other secured borrowings for the three month period ended March 31, 2017 and December 31, 2016.

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="88">
  As of

March 31, 2017

 

For the Quarter Ended
March 31, 2017

  As of
December 31, 2016
 

For the Quarter Ended
December 31, 2016

Collateral for Borrowing Outstanding

Borrowings

Average

Borrowings

  Average

Cost of

Funds

Outstanding
Borrowings
Average
Borrowings
  Average
Cost of
Funds
(In thousands)    
Credit $ 318,561 $ 292,369 3.05% $ 261,927 $ 243,712 3.09%
Agency RMBS 793,020 792,810 0.95% 790,312 768,137 0.83%
Total Excluding U.S. Treasury Securities 1,111,581 1,085,179 1.52% 1,052,239 1,011,849 1.37%
U.S. Treasury Securities 36,492 37,848 0.58% 5,428 6,208 0.54%
Total $ 1,148,073 $ 1,123,027 1.48% $ 1,057,667 $ 1,018,057 1.37%
Leverage Ratio (1) 1.75:1 1.64:1
Leverage Ratio Excluding U.S. Treasury Securities (1) 1.70:1 1.63:1
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="90">
    (1)   The leverage ratio does not account for liabilities other than reverse repurchase agreements (“reverse repos”) and other secured borrowings.

Throughout the first quarter, borrowing costs increased as LIBOR rose, which impacted our Agency-related as well as Credit-related borrowings. However, the cost of funds for our Credit-related borrowings decreased slightly quarter over quarter, primarily because we had an increase in the amount of reverse repo borrowings in our corporate credit relative value trading strategy; the reverse repo borrowings in this strategy have much lower costs of funds than most of our other Credit-related borrowings. Excluding reverse repo on corporate bonds held in this strategy, our Credit-related average cost of funds increased to 3.47% for the first quarter, as compared to 3.44% for the fourth quarter.

Our leverage ratio, excluding U.S. Treasury securities, increased to 1.70:1 as of March 31, 2017, as compared to 1.63:1 as of December 31, 2016. Our leverage ratio may fluctuate period over period based on portfolio management decisions, market conditions, and the timing of security purchase and sale transactions.

Reverse Repurchase Agreements By Remaining Maturity (1)

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="95">
(In thousands)   As of March 31, 2017   As of December 31, 2016
Remaining Maturity (2) Outstanding

Borrowings

  % of

Borrowings

Outstanding
Borrowings
  % of
Borrowings
30 Days or Less $ 503,493 46.3% $ 506,002 49.0%
31-60 Days 187,720 17.3% 222,262 21.5%
61-90 Days 196,116 18.0% 191,487 18.5%
91-120 Days 2,987 0.3% 18,324 1.8%
121-150 Days 83,680 7.7% 13,037 1.2%
151-180 Days 34,536 3.2% 31,912 3.1%
181-360 Days 77,739   7.2% 50,557   4.9%
$ 1,086,271   100.0% $ 1,033,581   100.0%
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="97">
    (1)   Reverse repos involving underlying investments that we had sold prior to the applicable period end for settlement following the applicable period end, are shown using their original maturity dates even though such reverse repos may be expected to be terminated early upon settlement of the sale of the underlying investment. Not included are any reverse repos that we may have entered into prior to the applicable period end for which delivery of the borrowed funds is not scheduled until after the applicable period end.
(2) Remaining maturity for a reverse repo is based on the contractual maturity date in effect as of the applicable period end. Some reverse repos have floating interest rates, which may reset before maturity.

The majority of our borrowed funds are in the form of reverse repos. The weighted average remaining term on our reverse repos as of March 31, 2017 increased to 59 days from 56 days as of December 31, 2016. In addition to borrowings under reverse repos, we had other secured borrowings related to certain of our loan portfolios in the amount of $61.8 million and $24.1 million as of March 31, 2017 and December 31, 2016, respectively.

Our borrowings outstanding under reverse repos were with a total of nineteen counterparties as of March 31, 2017. As of March 31, 2017, we held liquid assets in the form of cash and cash equivalents in the amount of $104.2 million.

Other

Our expense ratio, which we define as our annualized base management fee and other operating expenses, but excluding interest expense, other investment related expenses, and incentive fees, as a percentage of average equity, was 2.8% for the quarter ended March 31, 2017 and 3.1% for the quarter ended December 31, 2016. The decrease in our expense ratio was principally due to a quarter-over-quarter decrease in professional fees. We did not incur incentive fee expense for either the first quarter of 2017 or fourth quarter of 2016.

Dividends

On May 1, 2017, our Board of Directors declared a dividend of $0.45 per share for the first quarter of 2017, payable on June 15, 2017 to shareholders of record on June 1, 2017. We expect to continue to recommend quarterly dividends of $0.45 per share until conditions warrant otherwise. The declaration and amount of future dividends remain in the discretion of the Board of Directors. Our dividends are paid on a quarterly basis, in arrears.

Share Repurchase Program

On March 6, 2017, our Board of Directors approved the adoption of a new share repurchase program under which we are authorized to repurchase up to 1.7 million common shares. The program, which is open-ended in duration, allows us to make repurchases from time to time on the open market or in negotiated transactions. Repurchases are at our discretion, subject to applicable law, share availability, price and our financial performance, among other considerations. This plan supersedes the previous plan that had been approved on August 3, 2015.

During the three month period ended March 31, 2017, we repurchased 130,488 shares at an average price per share of $15.73 and a total cost of $2.1 million. Following March 31, 2017 and through May 3, 2017 we repurchased an additional 51,518 shares at an average price per share of $15.81 and a total cost of $0.8 million. In addition to making discretionary repurchases during our open trading windows, we also entered into a 10b5-1 plan to increase the number of trading days available to implement these repurchases.

Through May 3, 2017, we have repurchased approximately 128,267 shares under the current share repurchase program, for an aggregate cost of $2.0 million.

About Ellington Financial LLC

Ellington Financial LLC is a specialty finance company that primarily acquires and manages mortgage-related and consumer-related assets, including residential mortgage-backed securities, residential and commercial mortgage loans, consumer loans and asset-backed securities backed by consumer loans, commercial mortgage-backed securities, real property, and mortgage-related derivatives. The Company also invests in corporate debt and equity, including distressed debt, collateralized loan obligations, non-mortgage-related derivatives, and other financial assets, including private debt and equity investments in mortgage-related entities. Ellington Financial LLC is externally managed and advised by Ellington Financial Management LLC, an affiliate of Ellington Management Group, L.L.C.

Conference Call

We will host a conference call at 11:00 a.m. Eastern Time on Friday, May 5, 2017, to discuss our financial results for the quarter ended March 31, 2017. To participate in the event by telephone, please dial (877) 241-1233 at least 10 minutes prior to the start time and reference the conference passcode 3333998. International callers should dial (810) 740-4657 and reference the same passcode. The conference call will also be webcast live over the Internet and can be accessed via the “For Our Shareholders” section of our web site at www.ellingtonfinancial.com. To listen to the live webcast, please visit www.ellingtonfinancial.com at least 15 minutes prior to the start of the call to register, download, and install necessary audio software. In connection with the release of these financial results, we also posted an investor presentation, that will accompany the conference call, on its website at www.ellingtonfinancial.com under “For Our Shareholders—Presentations.”

A dial-in replay of the conference call will be available on Friday, May 5, 2017, at approximately 2 p.m. Eastern Time through Friday, May 12, 2017 at approximately 11:59 p.m. Eastern Time. To access this replay, please dial (800) 585-8367 and enter the passcode 3333998. International callers should dial (404) 537-3406 and enter the same passcode. A replay of the conference call will also be archived on our web site at www.ellingtonfinancial.com.

Cautionary Statement Regarding Forward-Looking Statements

This press release 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. 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. Examples of forward-looking statements in this press release include without limitation management’s beliefs regarding the current economic and investment environment and our ability to implement our investment and hedging strategies, performance of our investment and hedging strategies, our exposure to prepayment risk in our Agency portfolio, statements regarding our net Agency premium, estimated effects on the fair value of our holdings of a hypothetical change in interest rates, statements regarding the drivers of our returns, our expected ongoing annualized expense ratio, and statements regarding our intended dividend policy including the amount to be recommended by management, and our share repurchase program. Our results can fluctuate from month to month and from quarter to quarter depending on a variety of factors, some of which are beyond our control and/or are difficult to predict, including, without limitation, changes in interest rates and the market value of our securities, 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 and other changes in market conditions and economic trends. Furthermore, forward-looking statements are subject to risks and uncertainties, including, among other things, those described under Item 1A of the our Annual Report on Form 10-K filed on March 16, 2017 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 or implied 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.

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="116">
 
ELLINGTON FINANCIAL LLC
CONSOLIDATED STATEMENT OF OPERATIONS
(UNAUDITED)
 
Three Month Period Ended
(In thousands, except per share amounts) March 31, 2017   December 31, 2016
Investment income
Interest income $ 22,886 $ 18,265
Other income 939   2,342  
Total investment income 23,825   20,607  
Expenses
Base management fee 2,410 2,416
Interest expense 6,003 4,461
Other investment related expenses 1,521 2,062
Other operating expenses 2,116   2,640  
Total expenses 12,050   11,579  
Net investment income 11,775   9,028  
Net realized gain (loss) on:
Investments 594 3,127
Financial derivatives, excluding currency forwards (1,581 ) (5,143 )
Financial derivatives—currency forwards (822 ) 3,873
Foreign currency transactions 978   (4,099 )
(831 ) (2,242 )
Change in net unrealized gain (loss) on:
Investments 5,758 (14,396 )
Financial derivatives, excluding currency forwards (1,157 ) 9,185
Financial derivatives—currency forwards 330 (178 )
Foreign currency translation (145 ) 535  
4,786   (4,854 )
Net realized and change in net unrealized gain (loss) on investments and financial derivatives 3,955   (7,096 )
Net increase in equity resulting from operations 15,730   1,932  
Less: Increase in equity resulting from operations attributable to non-controlling interests 452   240  
Net increase in shareholders’ equity resulting from operations $ 15,278   $ 1,692  
Net increase in shareholders’ equity resulting from operations per share:
Basic and diluted $ 0.47 $ 0.05
Weighted average shares and LTIP units outstanding 32,718 32,928
Weighted average shares and convertible units outstanding 32,930 33,140
 
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="118">
 
ELLINGTON FINANCIAL LLC
CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES AND EQUITY
(UNAUDITED)
 
As of
March 31,   December 31,
(In thousands, except share amounts) 2017

2016(1)

ASSETS
Cash and cash equivalents $ 104,219 $ 123,274
Restricted cash 655 655
Investments, financial derivatives, and repurchase agreements:
Investments, at fair value (Cost – $1,876,105 and $1,525,710) 1,864,213 1,505,026
Financial derivatives–assets, at fair value (Net cost – $37,658 and $40,724) 29,907 35,595
Repurchase agreements (Cost – $294,468 and $185,205) 293,802   184,819
Total Investments, financial derivatives, and repurchase agreements 2,187,922 1,725,440
Due from brokers 57,873 93,651
Receivable for securities sold and financial derivatives 550,241 445,112
Interest and principal receivable 25,071 21,704
Other assets 5,264   3,359
Total assets $ 2,931,245   $ 2,413,195
LIABILITIES
Investments and financial derivatives:
Investments sold short, at fair value (Proceeds – $782,395 and $589,429) $ 780,320 $ 584,896
Financial derivatives–liabilities, at fair value (Net proceeds – $16,024 and $12,012) 20,938   18,687
Total investments and financial derivatives 801,258 603,583
Reverse repurchase agreements 1,086,271 1,033,581
Due to brokers 5,512 12,780
Payable for securities purchased and financial derivatives 310,535 85,168
Other secured borrowings (Proceeds – $61,802 and $24,086) 61,802 24,086
Accounts payable and accrued expenses 3,729 3,327
Base management fee payable 2,410 2,416
Interest and dividends payable 4,137 3,460
Other liabilities 1,136   17
Total liabilities 2,276,790   1,768,418
EQUITY 654,455   644,777
TOTAL LIABILITIES AND EQUITY $ 2,931,245   $ 2,413,195
ANALYSIS OF EQUITY:
Common shares, no par value, 100,000,000 shares authorized;
(32,164,215 and 32,294,703, shares issued and outstanding) $ 626,116 $ 627,620
Additional paid-in capital–LTIP units 10,135   10,041
Total Shareholders’ Equity 636,251   637,661
Non-controlling interests 18,204   7,116
Total Equity $ 654,455   $ 644,777
PER SHARE INFORMATION:
Common shares, no par value $ 19.78   $ 19.75
DILUTED PER SHARE INFORMATION:
Common shares and convertible units, no par value (2) $ 19.50   $ 19.46
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="120">
    (1)   Derived from audited financial statements as of December 31, 2016.
(2) Based on total equity excluding non-controlling interests not represented by instruments convertible into common shares.

View source version on businesswire.com: http://www.businesswire.com/news/home/20170504006755/en/

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


Ellington Financial LLC Announces First Quarter Dividend of $0.45 Per Share

This post was originally published on this site

OLD GREENWICH, Conn.–(BUSINESS WIRE)–

Ellington Financial LLC (EFC) (the “Company”) today announced that its Board of Directors has declared a dividend for the first quarter of 2017 of $0.45 per share, payable on June 15, 2017 to shareholders of record as of June 1, 2017.(1) Subject to the ultimate discretion of the Board of Directors, the Company’s management expects to continue to recommend quarterly dividends of $0.45 per share until conditions warrant otherwise. At the end of each year, the Board of Directors takes into account the Company’s earnings and other factors to consider whether to declare a special dividend. Periodically, management may adjust its quarterly dividend recommendation based on the Company’s actual earnings, management’s assessment of the Company’s long-term earnings prospects, and other factors. The declaration and amount of future dividends remain at the discretion of the Board of Directors.

(1) For U.S. federal income tax purposes, the first quarter 2017 dividend will be treated as a capital distribution to shareholders of record as of June 1, 2017. In computing their 2017 U.S. federal taxable income, U.S. shareholders will generally be required to take into account their allocable share of the Company’s taxable income as reported to them on their 2017 Schedules K-1.

For tax withholding purposes, the distribution consists of the following components:

4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="15">
  Amount of Dividend
Interest Income (U.S.) that Qualifies for the Portfolio Interest Exception (1) $ 0.3928
Other Interest Income (2) $
U.S. Dividend Income (2) $ 0.0572
Total Distribution Per Unit (3) $ 0.4500
 
4px) My(1.4em) Ov(a) canvas-atom" data-type="table" data-reactid="17">
   

(1)

 

As described in §871 (h) of the Internal Revenue Code (“the Code”).

(2)

Subject to withholding under §1441 of the Code.

(3)

No portion of this distribution represents income effectively connected with a U.S. trade or business. Notwithstanding the foregoing, some portion of future dividends may represent income effectively connected with a U.S. trade or business.

 

The Company does not provide advice on tax matters to its shareholders or to broker/nominees who hold the Company’s shares on behalf of their customers. The information above is provided for informational purposes only, is subject to change as more definitive information is obtained by the Company, and does not constitute tax advice. Non-U.S. holders of the Company’s common shares and broker/nominees who hold shares on behalf of such holders are strongly urged to consult with their own tax advisors with regard to the U.S. federal income tax consequences of the dividends paid by the Company. This information is not intended to, and cannot, be used by any taxpayer to avoid penalties that may be imposed under U.S. federal income tax law.

Cautionary Statement Regarding Forward-Looking Statements

This press release 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. Examples of forward-looking statements in this press release include statements regarding the Company’s intended dividend policy. The Company’s results can fluctuate from month to month and from quarter to quarter depending on a variety of factors, some of which are beyond the Company’s control and/or are difficult to predict, including, without limitation, changes in interest rates and the market value of the Company’s securities, changes in mortgage default rates and prepayment rates, the Company’s ability to borrow to finance its assets, changes in government regulations affecting the Company’s business, the Company’s ability to maintain its exclusion from registration under the Investment Company Act of 1940 and other changes in market conditions and economic trends. 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 filed on March 16, 2017, 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.

h) Trs($transition-readmore) Mah(0)" data-reactid="25" readability="25.3457330416">

About Ellington Financial LLC

Ellington Financial LLC is a specialty finance company that primarily acquires and manages mortgage-related and consumer-related assets, including residential mortgage-backed securities, residential and commercial mortgage loans, consumer loans and asset-backed securities backed by consumer loans, commercial mortgage-backed securities, real property, and mortgage-related derivatives. The Company also invests in corporate debt and equity, including distressed debt, collateralized loan obligations, non-mortgage-related derivatives, and other financial assets, including private debt and equity investments in mortgage-related entities. Ellington Financial LLC is externally managed and advised by Ellington Financial Management LLC, an affiliate of Ellington Management Group, L.L.C.

View source version on businesswire.com: http://www.businesswire.com/news/home/20170501006341/en/

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


Ellington Financial LLC Announces Release Date of First Quarter 2017 Earnings, Conference Call, and Investor Presentation

This post was originally published on this site

OLD GREENWICH, Conn.–(BUSINESS WIRE)–

Ellington Financial LLC (EFC) (the “Company”) today announced that it will release financial results for the quarter ended March 31, 2017 after market close on Thursday, May 4, 2017. The Company will host a conference call to discuss its financial results at 11:00 a.m. Eastern Time on Friday, May 5, 2017. To participate in the event by telephone, please dial (877) 241-1233 at least 10 minutes prior to the start time and reference the conference passcode 3333998. International callers should dial (810) 740-4657 and reference the same passcode. The conference call also will be webcast live and can be accessed via the “For Our Shareholders” section of the Company’s website at www.ellingtonfinancial.com. To listen to the live webcast, please visit www.ellingtonfinancial.com at least 15 minutes prior to the start of the call to register, download, and install necessary audio software.

A dial-in replay of the conference call will be available on Friday, May 5, 2017, at approximately 2 p.m. Eastern Time through Friday, May 12, 2017 at approximately 11:59 p.m. Eastern Time. To access this replay, please dial (800) 585-8367 and enter the conference passcode 3333998. International callers should dial (404) 537-3406 and enter the same passcode. A replay of the conference call also will be archived on the Company’s website at www.ellingtonfinancial.com.

In connection with the release of financial results, the Company will post an investor presentation to accompany the conference call on its website at www.ellingtonfinancial.com under “For Our Shareholders—Presentations” after market close on Thursday, May 4, 2017.

About Ellington Financial LLC

Ellington Financial LLC is a specialty finance company that primarily acquires and manages mortgage-related and consumer-related assets, including residential mortgage-backed securities, residential and commercial mortgage loans, consumer loans and asset-backed securities backed by consumer loans, commercial mortgage-backed securities, real property, and mortgage-related derivatives. The Company also invests in corporate debt and equity, including distressed debt, collateralized loan obligations, non-mortgage-related derivatives, and other financial assets, including private debt and equity investments in mortgage-related entities. Ellington Financial LLC is externally managed and advised by Ellington Financial Management LLC, an affiliate of Ellington Management Group, L.L.C.

View source version on businesswire.com: http://www.businesswire.com/news/home/20170427006857/en/

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


Zacks.com featured highlights: Constellation Brands, Ollie's Bargain Outlet Holdings, Sturm, Ruger, Ellington Financial and Monmouth Real Estate Investment

This post was originally published on this site

For Immediate Release

Chicago, IL – April 24, 2017 – Stocks in this week’s article include Constellation Brands Inc. (NYSE: STZ – Free Report ), Ollie’s Bargain Outlet Holdings Inc. (NASDAQ: OLLI – Free Report ), Sturm, Ruger & Company Inc. (NYSE: RGR – Free Report ), Ellington Financial LLC (NYSE: EFC – Free Report ) and Monmouth Real Estate Investment Corporation (NYSE: MNR – Free Report ).

Screen of the Week of Zacks Investment Research:

5 Low-Beta Stocks for Investors Who Hate Volatility

“An investment in knowledge pays the best interest.” — Benjamin Franklin.

The only thing that can fetch rewards from an investment is proper research and analysis. Hence, proper knowledge in the investment field is the key to success.

It is not like that, investing only in risky assets will bring more returns than the market. Many strategies can be built for investing in low risk portfolios that could end up with a lucrative outcome.

Since risky securities give below-average returns when the market is walking on the bearish path, we think building up a portfolio of low beta stocks would be a better way if some other parameters are considered.

What is Beta?

Beta measures the volatility or risk of a particular asset in comparison to the market. In other words, beta measures the extent of a security’s price movement relative to the market. In this article, we are considering the S&P 500 as the market.

If a stock has beta of 1 then the price of the stock will move with the market. So the stock is more volatile than the market if its beta is more than 1. In the same way, the stock is not as volatile as the market if its beta is less than 1.

For example, if the market offers a return of 20%, a stock with beta of 3 will return 60%, which is overwhelming. Similarly, when the market slips 20% the stock will sink 60%, which is devastating.

Screening Criteria:

We have taken beta between 0 and 0.6 as our prime criterion for screening stocks that are less volatile than the market. But this should not be the only factor to be considered while selecting a winning strategy. We need to take into account other parameters that can add value to the portfolio.

Percentage Change in Price in the Last 4 Weeks greater than zero: This ensures that the stocks saw positive price movement over the last one month.

Average 20 Day Volume greater than 50,000: A substantial trading volume ensures that the stocks are easily tradable.

Price greater than or equal to $5: They must all be trading at a minimum of $5 or higher.

Zacks Rank equal to 1: Zacks Rank #1 (Strong Buy) stocks indicate that they will significantly outperform the broader U.S. equity market over the next one to three months.You can see the complete list of today’s Zacks #1 Rank stocks here .

Here are five of the 13 stocks that qualified the screening:

Headquartered in Victor, NY Constellation Brands Inc. (NYSE:STZ – Free Report ) is the producer, importer and marketer of beer, wine, and spirits in the U.S., Canada, Mexico, New Zealand and Italy. The company beat the Zacks Consensus Estimate in each of the prior four quarters with an average positive earnings surprise of 7.65%.

Ollie’s Bargain Outlet Holdings Inc. (NASDAQ:OLLI – Free Report ) – headquartered in Harrisburg, PA – primarily provides food products, housewares, books and stationery products. Over the last four quarters, the company surpassed the Zacks Consensus Estimate for earnings at an average rate of 16.80%. Moreover, for the current year, we are expecting the company to witness year-over-year earnings growth of 17.9%.

Headquartered in Southport, CTSturm, Ruger & Company Inc. (NYSE: RGR – Free Report ) is the designer and manufacturer of firearms under the Ruger trademark in the U.S. Over the prior 60 days, the Zacks Consensus Estimate for current quarter earnings has been revised upward. Also, for the current year, the Zacks Consensus Estimate for earnings has been revised upward over the same time frame.

Ellington Financial LLC (NYSE:EFC – Free Report ) – based in Old Greenwich, CT – is mainly involved in the management of mortgage-related assets that comprise residential mortgage-backed securities. For the current year, we are expecting the company’s earnings to increase by 30.8%. On top of that, the Zacks Consensus Estimate for the current quarter has been revised upward.

h) Trs($transition-readmore) Mah(0)" data-reactid="37" readability="109.021020539">

Based in Freehold, N.J,Monmouth Real Estate Investment Corporation (NYSE: MNR – Free Report ) primarily leases assets to investment-grade tenants on long-term leases. Over the last four quarters, the company posted an average positive earnings surprise of 2.9%. Moreover, for the current year, the company’s earnings will likely increase 11.4%.

You can get the rest of the stocks on this list by signing up now for your 2-week free trial to the Research Wizard and start using this screen in your own trading. Further, you can also create your own strategies and test them first before taking the investment plunge.

The Research Wizard is a great place to begin. It’s easy to use. Everything is in plain language. And it’s very intuitive. Start your Research Wizard trial today. And the next time you read an economic report, open up the Research Wizard, plug your finds in, and see what gems come out.

Click here to sign up for a free trial to the Research Wizard today .

Disclosure: Officers, directors and/or employees of Zacks Investment Research may own or have sold short securities and/or hold long and/or short positions in options that are mentioned in this material. An affiliated investment advisory firm may own or have sold short securities and/or hold long and/or short positions in options that are mentioned in this material.

Disclosure: Performance information for Zacks’ portfolios and strategies are available at: https://www.zacks.com/performance .

Zacks Restaurant Recommendations: In addition to dining at these special places, you can feast on their stock shares. A Zacks Special Report spotlights 5 recent IPOs to watch plus 2 stocks that offer immediate promise in a booming sector. Download it free »

Sign up now for your free trial today and start picking better stocks immediately. And with the backtesting feature, you can test your ideas to see how you can improve your trading in both up markets and down markets. Don’t wait for the market to get better before you decide to do better. Start learning how to be a better trader today: https://at.zacks.com/?id=111

Disclosure: Officers, directors and/or employees of Zacks Investment Research may own or have sold short securities and/or hold long and/or short positions in options that are mentioned in this material. An affiliated investment advisory firm may own or have sold short securities and/or hold long and/or short positions in options that are mentioned in this material.

About Screen of the Week

Zacks.com created the first and best screening system on the web earning the distinction as the “#1 site for screening stocks” by Money Magazine. But powerful screening tools is just the start. That is why Zacks created the Screen of the Week to highlight profitable stock picking strategies that investors can actively use. Each week, Zacks Profit from the Pros free email newsletter shares a new screening strategy. Learn more about it here https://at.zacks.com/?id=112

About Zacks

Zacks.com is a property of Zacks Investment Research, Inc., which was formed in 1978. The later formation of the Zacks Rank, a proprietary stock picking system; continues to outperform the market by nearly a 3 to 1 margin. The best way to unlock the profitable stock recommendations and market insights of Zacks Investment Research is through our free daily email newsletter; Profit from the Pros. In short, it’s your steady flow of Profitable ideas GUARANTEED to be worth your time! Click here for your free subscription to Profit from the Pros .

Get the full Report on STZ – FREE

Get the full Report on OLLI – FREE

Get the full Report on RGR – FREE

Get the full Report on EFC – FREE

Get the full Report on MNR – FREE

Follow us on Twitter: https://twitter.com/zacksresearch

Join us on Facebook: https://www.facebook.com/ZacksInvestmentResearch

Zacks Investment Research is under common control with affiliated entities (including a broker-dealer and an investment adviser), which may engage in transactions involving the foregoing securities for the clients of such affiliates.

Contact: Jim Giaquinto

Company: Zacks.com

Phone: 312-265-9268

Email: pr@zacks.com

Visit: https://www.zacks.com/performance

Zacks.com provides investment resources and informs you of these resources, which you may choose to use in making your own investment decisions. Zacks is providing information on this resource to you subject to the Zacks “Terms and Conditions of Service” disclaimer. www.zacks.com/disclaimer .

Past performance is no guarantee of future results. Inherent in any investment is the potential for loss. This material is being provided for informational purposes only and nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. No recommendation or advice is being given as to whether any investment is suitable for a particular investor. It should not be assumed that any investments in securities, companies, sectors or markets identified and described were or will be profitable. All information is current as of the date of herein and is subject to change without notice. Any views or opinions expressed may not reflect those of the firm as a whole. Zacks Investment Research does not engage in investment banking, market making or asset management activities of any securities. These returns are from hypothetical portfolios consisting of stocks with Zacks Rank = 1 that were rebalanced monthly with zero transaction costs. These are not the returns of actual portfolios of stocks. The S&P 500 is an unmanaged index. Visit https://www.zacks.com/performance for information about the performance numbers displayed in this press release.

STZ): Free Stock Analysis Report</a><br>&nbsp;<br><a href="https://www.zacks.com/registration/pfp?ALERT=YAHOO_ZR&amp;d_alert=rd_final_rank&amp;t=OLLI&amp;ADID=YAHOO_content_ZRANK_ARTCAT_PRESS_RELEASES&amp;cid=CS-YAHOO-FT-257397" rel="nofollow noopener" target="_blank">Ollie's Bargain Outlet Holdings, Inc. (OLLI): Free Stock Analysis Report</a><br>&nbsp;<br><a href="https://www.zacks.com/registration/pfp?ALERT=YAHOO_ZR&amp;d_alert=rd_final_rank&amp;t=RGR&amp;ADID=YAHOO_content_ZRANK_ARTCAT_PRESS_RELEASES&amp;cid=CS-YAHOO-FT-257397" rel="nofollow noopener" target="_blank">Sturm, Ruger &amp; Company, Inc. (RGR): Free Stock Analysis Report</a><br>&nbsp;<br><a href="https://www.zacks.com/registration/pfp?ALERT=YAHOO_ZR&amp;d_alert=rd_final_rank&amp;t=EFC&amp;ADID=YAHOO_content_ZRANK_ARTCAT_PRESS_RELEASES&amp;cid=CS-YAHOO-FT-257397" rel="nofollow noopener" target="_blank">Ellington Financial LLC (EFC): Free Stock Analysis Report</a><br>&nbsp;<br><a href="https://www.zacks.com/registration/pfp?ALERT=YAHOO_ZR&amp;d_alert=rd_final_rank&amp;t=MNR&amp;ADID=YAHOO_content_ZRANK_ARTCAT_PRESS_RELEASES&amp;cid=CS-YAHOO-FT-257397" rel="nofollow noopener" target="_blank">Monmouth Real Estate Investment Corporation (MNR): Free Stock Analysis Report</a><br>&nbsp;<br><a href="https://www.zacks.com/stock/news/257397/zackscom-featured-highlights-constellation-brands-ollies-bargain-outlet-holdings-sturm-ruger-ellington-financial-and-monmouth-real-estate-investment?cid=CS-YAHOO-FT-257397" rel="nofollow noopener" target="_blank">To read this article on Zacks.com click here.</a><br>&nbsp;<br><a href="https://www.zacks.com/" rel="nofollow noopener" target="_blank">Zacks Investment Research</a>" data-reactid="66">Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report
 
Constellation Brands Inc (STZ): Free Stock Analysis Report
 
Ollie’s Bargain Outlet Holdings, Inc. (OLLI): Free Stock Analysis Report
 
Sturm, Ruger & Company, Inc. (RGR): Free Stock Analysis Report
 
Ellington Financial LLC (EFC): Free Stock Analysis Report
 
Monmouth Real Estate Investment Corporation (MNR): Free Stock Analysis Report
 
To read this article on Zacks.com click here.
 
Zacks Investment Research

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


EFCSharePricePerformance1491998757-db1eb4acf3d6f6de2981b39f2e9db84c645a22c3

Ellington Financial LLC breached its 50 day moving average in a Bullish Manner : EFC-US : April 12, 2017

This post was originally published on this site

*Disclaimer : This is as of previous day’s closing price.

Technical Indicators

Below is a quick look at 5 technical indicators for Ellington Financial LLC. More studies are available on the Technical Chart.

Indicator Signal
Closing Price above/below 50 Day Moving Average Bullish
Closing Price above/below 200 Day Moving Average Bearish
50 Day Moving Average above/below 200 Day Moving Average Bearish
RSI Reading Level (<30 or >70) Fair Value
MACD Compared to 9D EMA Signal Line Bullish

View these and more technical studies for Ellington Financial LLC

Share Price Performance Relative to Peers

Considering peers, relative underperformance over the last year and the last month suggest a lagging position.

EFC-US‘s share price performance of -6.61% for the last 12 months is below its peer median. The 30-day trend in its share price performance of 1.72% is also below the peer median implying that the company’s stock performance is lagging its peers.

Share Price Performance

Quadrant label definitions. Hover to know more

Leading, Fading, Lagging, Rising

Screen for companies using relative share price performance

Earnings Momentum

Ellington Financial LLC has an earnings score of 27.24 and has a relative valuation of UNDERVALUED.

Stocks with High Earnings Momentum are a preferred option for momentum plays. If they are undervalued, it can be a further advantage and may indicate sustained momentum.

Earnings Momentum Vs Relative Valuation

Quadrant label definitions. Hover to know more

Overvalued, High Earnings Momentum, Undervalued, High Earnings Momentum, UnderValued, Low Earnings Momentum, Overvalued, Low Earnings Momentum

Screen for companies using Earnings Momentum Score

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


Ellington Financial LLC Reports Estimated Book Value Per Share as of March 31, 2017

This post was originally published on this site

OLD GREENWICH, Conn.–(BUSINESS WIRE)–

Ellington Financial LLC (EFC) (“Ellington Financial” or the “Company”) today announced that its estimated book value per common share as of March 31, 2017 was $19.75, or $19.46 on a diluted basis. Estimated book value per share on a diluted basis takes into account securities convertible into the Company’s common shares. These estimates are subject to change upon completion of the Company’s month-end valuation procedures relating to its investment positions, and any such change could be material. There can be no assurance that the Company’s estimated book value per common share as of March 31, 2017 is indicative of what the Company’s results are likely to be for the three month period ending March 31, 2017 or in future periods, and the Company undertakes no obligation to update or revise its estimated book value per common share prior to issuance of financial statements for such periods.

Cautionary Statement Regarding Forward-Looking Statements

This press release 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 “anticipate,” “estimate,” “will,” “should,” “may,” “expect,” “project,” “believe,” “intend,” “seek,” “plan” and similar expressions or their negative forms, or by references to strategy, plans, or intentions. The Company’s results can fluctuate from month to month depending on a variety of factors, some of which are beyond the Company’s control and/or are difficult to predict, including, without limitation, changes in interest rates, changes in mortgage default rates and prepayment rates, and other changes in market conditions and economic trends. 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 filed on March 16, 2017, which can be accessed through the link to our SEC filings under “For Our Shareholders” on our website (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 release and the information contained herein do not constitute an offer of any securities or solicitation of an offer to purchase securities.

About Ellington Financial LLC

Ellington Financial LLC is a specialty finance company that primarily acquires and manages mortgage-related and consumer-related assets, including residential mortgage-backed securities, residential and commercial mortgage loans, consumer loans and asset-backed securities backed by consumer loans, commercial mortgage-backed securities, real property, and mortgage-related derivatives. The Company also invests in corporate debt and equity, including distressed debt, collateralized loan obligations, non-mortgage-related derivatives, and other financial assets, including private debt and equity investments in mortgage-related entities. Ellington Financial LLC is externally managed and advised by Ellington Financial Management LLC, an affiliate of Ellington Management Group, L.L.C.

View source version on businesswire.com: http://www.businesswire.com/news/home/20170407005727/en/

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">


ELLINGTON FINANCIAL LLC Files SEC form 8-K, Regulation FD Disclosure

This post was originally published on this site

 





style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">






style="display:inline-block;width:468px;height:60px"

data-ad-client="ca-pub-5421222424027278"

data-ad-slot="2461208333">