Business Wire | Aug 2, 2021 04:10PM EDT

Ellington Residential Mortgage REIT Reports Second Quarter 2021 Results

Aug. 02, 2021

OLD GREENWICH, Conn.--(BUSINESS WIRE)--Aug. 02, 2021--Ellington Residential Mortgage REIT (NYSE: EARN) (the "Company") today reported financial results for the quarter ended June 30, 2021.

Highlights

* Net loss of $(4.5) million, or $(0.36) per share. * Core Earnings1 of $4.6 million, or $0.37 per share; raised quarterly dividend to $0.30 per share, a 7% increase from the prior level. * Book value of $12.53 per share as of June 30, 2021, which includes the effect of a second quarter dividend of $0.30 per share. * Net interest margin2 of 2.04%. * Weighted average constant prepayment rate ("CPR") for the fixed-rate Agency specified pool portfolio of 22.8%. * Dividend yield of 10.8% based on the July 30, 2021 closing stock price of $11.13. * Debt-to-equity ratio of 7.0:1 as of June 30, 2021; adjusted for unsettled purchases and sales, the debt-to-equity ratio was 7.2:1. * Net mortgage assets-to-equity ratio of 6.7:13 as of June 30, 2021. * Cash and cash equivalents of $58.7 million as of June 30, 2021, in addition to other unencumbered assets of $31.3 million. * Completed a public follow-on offering of 3.25 million common shares, of which 2.675 million shares were sold by a selling shareholder, and 575,000 shares were sold by the Company; as a result of the offering, the Company's public float increased by approximately 38%.

Second Quarter 2021 Results

"During the second quarter, our Core Earnings continued to exceed our quarterly dividend rate, and as a result we increased our quarterly dividend rate by 7%, from $0.28 per share to $0.30 per share," said Laurence Penn, Chief Executive Officer and President. "In a reversal from the prior quarter, interest rates declined and the yield curve flattened. Faced with declining interest rates and continued elevated prepayment rates, Agency RMBS yield spreads widened, and most Agency RMBS significantly underperformed comparable U.S. Treasuries and interest rate swaps on a total return basis. Higher-coupon Agency RMBS particularly underperformed.

"We had positive results from our long RMBS portfolio, as net interest income and net gains on our lower-coupon RMBS positions-which we grew opportunistically during the prior quarter-exceeded net losses on our higher-coupon specified pools and interest-only securities. On our hedges, lower long-term interest rates caused net losses on our interest rate swaps and US Treasury futures, but a portion of these losses were offset by net gains on our TBA short positions, which we continued to concentrate in higher coupons. In addition, a further reduction in our cost of funds, along with our incrementally larger portfolio, led to a substantial increase in our Core Earnings.

"Looking ahead, the eventual tapering of asset purchases by the Federal Reserve could further pressure Agency RMBS yield spreads, while the countervailing prepayment risks and extension risks in the market represent additional sources of uncertainty and potential volatility. We will continue to be opportunistic and look to take advantage of relative value discrepancies across subsectors as they arise, and as always, will rely on our dynamic hedging strategy to protect book value."

________________________________

Core Earnings is a non-GAAP financial measure. See "Reconciliation of Core^ Earnings to Net Income (Loss)" below for an explanation regarding the1 calculation of Core Earnings.

^ Net interest margin excludes the effect of the Catch-up Premium Amortization2 Adjustment.

The Company defines its net mortgage assets-to-equity ratio as the net aggregate market value of its mortgage-backed securities (including the underlying market values of its long and short TBA positions) divided by^ total shareholders' equity. As of June 30, 2021 the market value of the3 Company's mortgage-backed securities and its net short TBA position was $1.21 billion and $(123.3) million, respectively, and total shareholders' equity was $161.9 million.

Financial Results

The following table summarizes the Company's portfolio of RMBS as of June 30, 2021 and March 31, 2021:

June 30, 2021 March 31, 2021

(In thousands) Current Fair Value Average Cost Average Current Fair Value Average Cost Average Principal Price^(1) Cost^(1) Principal Price^(1) Cost^(1)

Agency RMBS^(2)

15-year fixed-rate $ 140,139 $ 148,054 $ 105.65 $ 145,804 $ 104.04 $ 113,924 $ 120,774 $ 106.01 $ 118,491 $ 104.01 mortgages

20-year fixed-rate 38,496 39,610 102.89 40,062 104.07 40,845 41,981 102.78 42,441 103.91 mortgages

30-year fixed-rate 872,706 933,252 106.94 914,966 104.84 868,413 933,001 107.44 907,057 104.45 mortgages

ARMs 13,388 14,042 104.88 14,027 104.77 17,509 18,442 105.33 17,998 102.79

Reverse mortgages 49,698 53,714 108.08 52,956 106.56 58,960 64,164 108.83 62,516 106.03

Total Agency RMBS 1,114,427 1,188,672 106.66 1,167,815 104.79 1,099,651 1,178,362 107.16 1,148,503 104.44

Non-Agency RMBS 11,069 9,304 84.05 7,344 66.35 12,835 10,370 80.79 8,572 66.79

Total RMBS^(2) 1,125,496 1,197,976 106.44 1,175,159 104.41 1,112,486 1,188,732 106.85 1,157,075 104.01

Agency IOs n/a 12,644 n/a 15,393 n/a n/a 15,897 n/a 16,508 n/a

Total mortgage-backed $ 1,210,620 $ 1,190,552 $ 1,204,629 $ 1,173,583 securities

(1)Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security.

(2)Excludes Agency IOs.

The Company's Agency RMBS holdings increased slightly to $1.189 billion as of June 30, 2021, as compared to $1.178 billion as of March 31, 2021. Over the same period, the Company's non-Agency RMBS holdings decreased by 10% to $9.3 million, from $10.4 million. The Company's Agency RMBS portfolio turnover was 13% for the quarter.

The Company's debt-to-equity ratio, adjusted for unsettled purchases and sales, increased moderately to 7.2:1 as of June 30, 2021, as compared to 7.0:1 as of March 31, 2021. The increase was due to increased borrowings on the slightly larger Agency RMBS portfolio and lower shareholders' equity. These same factors, along with a smaller net short TBA position, caused the Company's net mortgage assets-to-equity ratio to increase to 6.7:1 as of June 30, 2021 as compared to 6.2:1 as of March 31, 2021. Substantially all of the Company's borrowings were secured by specified pools as of June 30, 2021.

During the quarter, the yield curve flattened, with long-term interest rates decreasing and short-term interest rates increasing moderately. Yield spreads on most Agency RMBS widened amidst concerns that the Federal Reserve will commence tapering its asset purchases in the coming months, and with heightened prepayment risk related to lower mortgage rates. Yield spreads widened most significantly on higher-coupon RMBS.

The Company had a net loss for the quarter, as net realized and unrealized losses on specified pools, interest-only securities, interest rate swaps, U.S. Treasury securities, and futures exceeded net interest income on RMBS and net gains on TBA positions. During the quarter, the Company continued to concentrate its long TBA investments in lower coupons and its short TBA investments in higher coupons; this positioning benefited results during the quarter.

Average pay-ups on the Company's specified pools decreased to 1.55% as of June 30, 2021, as compared to 1.61% as of March 31, 2021, primarily because its new purchases during the quarter mainly consisted of pools with lower pay-ups. Pay-ups are price premiums for specified pools relative to their TBA counterparts.

During the quarter, the Company continued to hedge interest rate risk through the use of interest rate swaps and short positions in TBAs, U.S. Treasury securities, and futures. Similar to recent quarters, the Company ended the second quarter with a small net short overall TBA position on a notional basis while maintaining a small net long overall TBA position as measured by 10-year equivalents. Ten-year equivalents for a group of positions represent the amount of 10-year U.S. Treasury securities that would be expected to experience a similar change in market value under a standard parallel move in interest rates.

Non-Agency RMBS yield spreads tightened further during the quarter, generating net realized and unrealized gains on the Company's portfolio. The Company expects to continue to vary its allocation to non-Agency RMBS as market opportunities change over time.

Core Earnings and net interest margin increased quarter over quarter. These increases were primarily related to larger average portfolio holdings, higher asset yields, and lower borrowing costs quarter over quarter.

On June 17, 2021, the Company completed a public follow-on offering of 3,250,000 common shares, of which 2,675,000 shares were sold by Blackstone and 575,000 shares were sold by the Company. The offering generated net proceeds to the Company of $7.1 million, after underwriters' discounts and commissions and offering costs.

Reconciliation of Core Earnings to Net Income (Loss)

Core Earnings consists of net income (loss), excluding realized and change in net unrealized gains and (losses) on securities and financial derivatives, and excluding, if applicable, any non-recurring items of income or loss. Core Earnings also excludes the effect of the Catch-up Premium Amortization Adjustment on interest income. The Catch-up Premium Amortization Adjustment is a quarterly adjustment to premium amortization triggered by changes in actual and projected prepayments on the Company's Agency RMBS (accompanied by a corresponding offsetting adjustment to realized and unrealized gains and losses). The adjustment is calculated as of the beginning of each quarter based on the Company's then-current assumptions about cashflows and prepayments, and can vary significantly from quarter to quarter. Core Earnings includes net realized and change in net unrealized gains (losses) associated with periodic settlements on interest rate swaps.

Core Earnings is a supplemental non-GAAP financial measure. The Company believes that Core Earnings provides information useful to investors because it is a metric that the Company uses to assess its performance and to evaluate the effective net yield provided by the portfolio. Moreover, one of the Company's objectives is to generate income from the net interest margin on the portfolio, and Core Earnings is used to help measure the extent to which this objective is being achieved. In addition, the Company believes that presenting Core Earnings enables its investors to measure, evaluate and compare its operating performance to that of its peer companies. However, because Core Earnings is an incomplete measure of the Company's financial results and differs from net income (loss) computed in accordance with GAAP, it should be considered as supplementary to, and not as a substitute for, net income (loss) computed in accordance with GAAP.

The following table reconciles, for the three-month periods ended June 30, 2021 and March 31, 2021, the Company's Core Earnings to the line on the Company's Consolidated Statement of Operations entitled Net Income (Loss), which the Company believes is the most directly comparable GAAP measure:

Represents the dollar amount (not shown in thousands) per $100 of current(1) principal of the price or cost for the security.

(2) Excludes Agency IOs.

The Company's Agency RMBS holdings increased slightly to $1.189 billion as of June 30, 2021, as compared to $1.178 billion as of March 31, 2021. Over the same period, the Company's non-Agency RMBS holdings decreased by 10% to $9.3 million, from $10.4 million. The Company's Agency RMBS portfolio turnover was 13% for the quarter.

The Company's debt-to-equity ratio, adjusted for unsettled purchases and sales, increased moderately to 7.2:1 as of June 30, 2021, as compared to 7.0:1 as of March 31, 2021. The increase was due to increased borrowings on the slightly larger Agency RMBS portfolio and lower shareholders' equity. These same factors, along with a smaller net short TBA position, caused the Company's net mortgage assets-to-equity ratio to increase to 6.7:1 as of June 30, 2021 as compared to 6.2:1 as of March 31, 2021. Substantially all of the Company's borrowings were secured by specified pools as of June 30, 2021.

During the quarter, the yield curve flattened, with long-term interest rates decreasing and short-term interest rates increasing moderately. Yield spreads on most Agency RMBS widened amidst concerns that the Federal Reserve will commence tapering its asset purchases in the coming months, and with heightened prepayment risk related to lower mortgage rates. Yield spreads widened most significantly on higher-coupon RMBS.

The Company had a net loss for the quarter, as net realized and unrealized losses on specified pools, interest-only securities, interest rate swaps, U.S. Treasury securities, and futures exceeded net interest income on RMBS and net gains on TBA positions. During the quarter, the Company continued to concentrate its long TBA investments in lower coupons and its short TBA investments in higher coupons; this positioning benefited results during the quarter.

Average pay-ups on the Company's specified pools decreased to 1.55% as of June 30, 2021, as compared to 1.61% as of March 31, 2021, primarily because its new purchases during the quarter mainly consisted of pools with lower pay-ups. Pay-ups are price premiums for specified pools relative to their TBA counterparts.

During the quarter, the Company continued to hedge interest rate risk through the use of interest rate swaps and short positions in TBAs, U.S. Treasury securities, and futures. Similar to recent quarters, the Company ended the second quarter with a small net short overall TBA position on a notional basis while maintaining a small net long overall TBA position as measured by 10-year equivalents. Ten-year equivalents for a group of positions represent the amount of 10-year U.S. Treasury securities that would be expected to experience a similar change in market value under a standard parallel move in interest rates.

Non-Agency RMBS yield spreads tightened further during the quarter, generating net realized and unrealized gains on the Company's portfolio. The Company expects to continue to vary its allocation to non-Agency RMBS as market opportunities change over time.

Core Earnings and net interest margin increased quarter over quarter. These increases were primarily related to larger average portfolio holdings, higher asset yields, and lower borrowing costs quarter over quarter.

On June 17, 2021, the Company completed a public follow-on offering of 3,250,000 common shares, of which 2,675,000 shares were sold by Blackstone and 575,000 shares were sold by the Company. The offering generated net proceeds to the Company of $7.1 million, after underwriters' discounts and commissions and offering costs.

Reconciliation of Core Earnings to Net Income (Loss)

Core Earnings consists of net income (loss), excluding realized and change in net unrealized gains and (losses) on securities and financial derivatives, and excluding, if applicable, any non-recurring items of income or loss. Core Earnings also excludes the effect of the Catch-up Premium Amortization Adjustment on interest income. The Catch-up Premium Amortization Adjustment is a quarterly adjustment to premium amortization triggered by changes in actual and projected prepayments on the Company's Agency RMBS (accompanied by a corresponding offsetting adjustment to realized and unrealized gains and losses). The adjustment is calculated as of the beginning of each quarter based on the Company's then-current assumptions about cashflows and prepayments, and can vary significantly from quarter to quarter. Core Earnings includes net realized and change in net unrealized gains (losses) associated with periodic settlements on interest rate swaps.

Core Earnings is a supplemental non-GAAP financial measure. The Company believes that Core Earnings provides information useful to investors because it is a metric that the Company uses to assess its performance and to evaluate the effective net yield provided by the portfolio. Moreover, one of the Company's objectives is to generate income from the net interest margin on the portfolio, and Core Earnings is used to help measure the extent to which this objective is being achieved. In addition, the Company believes that presenting Core Earnings enables its investors to measure, evaluate and compare its operating performance to that of its peer companies. However, because Core Earnings is an incomplete measure of the Company's financial results and differs from net income (loss) computed in accordance with GAAP, it should be considered as supplementary to, and not as a substitute for, net income (loss) computed in accordance with GAAP.

The following table reconciles, for the three-month periods ended June 30, 2021 and March 31, 2021, the Company's Core Earnings to the line on the Company's Consolidated Statement of Operations entitled Net Income (Loss), which the Company believes is the most directly comparable GAAP measure:

Three-Month Period Ended

(In thousands except share amounts) June 30, 2021 March 31, 2021

Net Income (Loss) $ (4,537 ) $ 127

Adjustments:

Net realized (gains) losses on securities (852 ) (3,081 )

Change in net unrealized (gains) losses on 11,071 10,308 securities

Net realized (gains) losses on financial (2,222 ) 5,150 derivatives

Change in net unrealized (gains) losses on 4,221 (8,215 ) financial derivatives

Net realized gains (losses) on periodic (255 ) (386 ) settlements of interest rate swaps

Change in net unrealized gains (losses) onaccrued periodic settlements of interest rate (246 ) (51 ) swaps

Non-recurring expenses 58 -

Negative (positive) component of interestincome represented by Catch-up Premium (2,636 ) (70 ) Amortization Adjustment

Subtotal 9,139 3,655

Core Earnings $ 4,602 $ 3,782

Weighted Average Shares Outstanding 12,432,004 12,343,542

Core Earnings Per Share $ 0.37 $ 0.31

About Ellington Residential Mortgage REIT

Ellington Residential Mortgage REIT is a mortgage real estate investment trust that specializes in acquiring, investing in and managing residential mortgage- and real estate-related assets, with a primary focus on residential mortgage-backed securities for which the principal and interest payments are guaranteed by a U.S. government Agency or a U.S. government-sponsored enterprise. Ellington Residential Mortgage REIT is externally managed and advised by Ellington Residential Mortgage Management LLC, an affiliate of Ellington Management Group, L.L.C.

Conference Call

The Company will host a conference call at 11:00 a.m. Eastern Time on Tuesday, August 3, 2021, to discuss its financial results for the quarter ended June 30, 2021. To participate in the event by telephone, please dial (877) 876-9173 at least 10 minutes prior to the start time and reference the conference ID: EARNQ221. International callers should dial (785) 424-1667 and reference the same conference ID. The conference call will also be webcast live over the Internet and can be accessed via the "For Our Shareholders" section of the Company's web site at www.earnreit.com. To listen to the live webcast, please visit www.earnreit.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, the Company also posted an investor presentation, that will accompany the conference call, on the Company's website at www.earnreit.com under "For Our Shareholders-Presentations."

A dial-in replay of the conference call will be available on Tuesday, August 3, 2021, at approximately 2:00 p.m. Eastern Time through Tuesday, August 10, 2021 at approximately 11:59 p.m. Eastern Time. To access this replay, please dial (800) 688-7339. International callers should dial (402) 220-1347. A replay of the conference call will also be archived on the Company's web site at www.earnreit.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 the Company's 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, the Company's beliefs regarding the current economic and investment environment, the Company's ability to implement its investment and hedging strategies, the Company's future prospects and the protection of the Company's net interest margin from prepayments, volatility and its impact on the Company, the performance of the Company's investment and hedging strategies, the Company's exposure to prepayment risk in the Company's Agency portfolio, and statements regarding the drivers of the Company's returns. 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, including changes resulting from the economic effects related to the COVID-19 pandemic, and associated responses to the pandemic. Furthermore, forward-looking statements are subject to risks and uncertainties, including, among other things, those described in Item 1A of the Company's Annual Report on Form 10-K for the fiscal year ended December 31, 2020 filed on March 16, 2021 which can be accessed through the link to the Company's SEC filings under "For Our Shareholders" on the Company's website (www.earnreit.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.

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED STATEMENT OF OPERATIONS

(UNAUDITED)

Three-Month Six-Month Period Ended Period Ended

June 30, 2021 March 31, 2021 June 30, 2021

(In thousands except share amounts)

INTEREST INCOME (EXPENSE)

Interest income $ 9,875 $ 6,535 $ 16,410

Interest expense (661 ) (781 ) (1,442 )

Total net interest income 9,214 5,754 14,968

EXPENSES

Management fees to affiliate 609 614 1,223

Professional fees 275 271 545

Compensation expense 212 177 389

Insurance expense 95 86 181

Other operating expenses 342 317 659

Total expenses 1,533 1,465 2,997

OTHER INCOME (LOSS)

Net realized gains (losses) 852 3,081 3,932 on securities

Net realized gains (losses) 2,222 (5,150 ) (2,928 ) on financial derivatives

Change in net unrealized (11,071 ) (10,308 ) (21,379 ) gains (losses) on securities

Change in net unrealizedgains (losses) on financial (4,221 ) 8,215 3,994 derivatives

Total other income (loss) (12,218 ) (4,162 ) (16,381 )

NET INCOME (LOSS) $ (4,537 ) $ 127 $ (4,410 )

NET INCOME (LOSS) PER COMMON SHARE:

Basic and Diluted^(1) $ (0.36 ) $ 0.01 $ (0.36 )

WEIGHTED AVERAGE SHARES 12,432,004 12,343,542 12,388,017 OUTSTANDING

CASH DIVIDENDS PER SHARE:

Dividends declared $ 0.30 $ 0.28 $ 0.58

(1)

For the six-month period ended June 30, 2021 the sum of net income (loss) per common share for the two quarters of the period does not equal net income (loss) per common share as calculated for the entire six-month period as a result of an increase in the number of shares of common stock outstanding during the period resulting from the issuance of shares of common stock, as net income (loss) per common share is calculated using average shares of common stock outstanding during the period.

For the six-month period ended June 30, 2021 the sum of net income (loss) per common share for the two quarters of the period does not equal net income (loss) per common share as calculated for the entire six-month(1) period as a result of an increase in the number of shares of common stock outstanding during the period resulting from the issuance of shares of common stock, as net income (loss) per common share is calculated using average shares of common stock outstanding during the period.

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED BALANCE SHEET

(UNAUDITED)

As of

June 30, 2021

March 31, 2021

December 31, 2020(1)

(In thousands except share amounts)

ASSETS

Cash and cash equivalents

$

58,683

$

52,500

$

58,166

Mortgage-backed securities, at fair value

1,210,620

1,204,629

1,081,380

Other investments, at fair value

306

289

292

Due from brokers

69,000

57,375

47,798

Financial derivatives-assets, at fair value

3,750

11,415

2,791

Reverse repurchase agreements

33,572

98,904

-

Receivable for securities sold

778

2,192

-

Interest receivable

3,786

4,132

4,114

Other assets

550

651

270

Total Assets

$

1,381,045

$

1,432,087

$

1,194,811

LIABILITIES AND SHAREHOLDERS' EQUITY

LIABILITIES

Repurchase agreements

$

1,135,497

$

1,106,724

$

1,015,245

Payable for securities purchased

51,885

146,181

-

Due to brokers

222

3,456

1,064

Financial derivatives-liabilities, at fair value

4,318

7,093

6,630

U.S. Treasury securities sold short, at fair value

21,017

-

-

Dividend payable

3,876

3,456

3,456

Accrued expenses

1,332

811

918

Management fee payable to affiliate

609

614

626

Interest payable

437

613

470

Total Liabilities

1,219,193

1,268,948

1,028,409

SHAREHOLDERS' EQUITY

Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively)

-

-

-

Common shares, par value $0.01 per share, 500,000,000 shares authorized; (12,918,542, 12,343,542 and 12,343,542 shares issued and outstanding, respectively)

129

123

123

Additional paid-in-capital

236,800

229,680

229,614

Accumulated deficit

(75,077)

(66,664)

(63,335)

Total Shareholders' Equity

161,852

163,139

166,402

Total Liabilities and Shareholders' Equity

$

1,381,045

$

1,432,087

$

1,194,811

SUPPLEMENTAL PER SHARE INFORMATION

Book Value Per Share

$

12.53

$

13.22

$

13.48

ELLINGTON RESIDENTIAL MORTGAGE REIT

CONSOLIDATED BALANCE SHEET

(UNAUDITED)

As of

June 30, 2021 March 31, December 31, 2021 2020^(1)

(In thousands except share amounts)

ASSETS

Cash and cash equivalents $ 58,683 $ 52,500 $ 58,166

Mortgage-backed securities, at 1,210,620 1,204,629 1,081,380 fair value

Other investments, at fair 306 289 292 value

Due from brokers 69,000 57,375 47,798

Financial derivatives-assets, 3,750 11,415 2,791 at fair value

Reverse repurchase agreements 33,572 98,904 -

Receivable for securities sold 778 2,192 -

Interest receivable 3,786 4,132 4,114

Other assets 550 651 270

Total Assets $ 1,381,045 $ 1,432,087 $ 1,194,811

LIABILITIES AND SHAREHOLDERS' EQUITY

LIABILITIES

Repurchase agreements $ 1,135,497 $ 1,106,724 $ 1,015,245

Payable for securities 51,885 146,181 - purchased

Due to brokers 222 3,456 1,064

Financialderivatives-liabilities, at 4,318 7,093 6,630 fair value

U.S. Treasury securities sold 21,017 - - short, at fair value

Dividend payable 3,876 3,456 3,456

Accrued expenses 1,332 811 918

Management fee payable to 609 614 626 affiliate

Interest payable 437 613 470

Total Liabilities 1,219,193 1,268,948 1,028,409

SHAREHOLDERS' EQUITY

Preferred shares, par value$0.01 per share, 100,000,000shares authorized; (0 shares - - - issued and outstanding,respectively)

Common shares, par value $0.01per share, 500,000,000 sharesauthorized; (12,918,542, 129 123 123 12,343,542 and 12,343,542shares issued and outstanding,respectively)

Additional paid-in-capital 236,800 229,680 229,614

Accumulated deficit (75,077) (66,664) (63,335)

Total Shareholders' Equity 161,852 163,139 166,402

Total Liabilities and $ 1,381,045 $ 1,432,087 $ 1,194,811 Shareholders' Equity

SUPPLEMENTAL PER SHARE INFORMATION

Book Value Per Share $ 12.53 $ 13.22 $ 13.48

(1)Derived from audited financial statements as of December 31, 2020.

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CONTACT: Investors: Investor Relations Ellington Residential Mortgage REIT (203) 409-3773 info@earnreit.com

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CONTACT: Media: Amanda Klein or Kevin FitzGerald Gasthalter & Co. for Ellington Residential Mortgage REIT (212) 257-4170 Ellington@gasthalter.com