Ellington Financial Inc.
For the period ended Jun 30, 2026. Filed Aug 10, 2026.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Jun 30, 2026 · Filed Aug 10, 2026
EFC$11.26-2.0%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-Q
Period ended 2026-03-31; filed 2026-05-11.
0001628280-26-033463
Item 2. Management's Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2026-06-30; filed 2026-08-10.
0001628280-26-055148
Item 2. Management's Discussion and Analysis of Financial Condition and Results of OperationsThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 341 previous paragraphs and 384 current paragraphs.
203 unchanged; 97 reworded; 48 added; 39 removed; 2 previous and 36 current paragraphs rearranged.
Tables are not compared: 34 previous and 46 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (48)
Current report
Longbridge typically retains the MSRs associated with the proprietary reverse mortgage loans that it originates and has opportunistically acquired MSRs on reverse mortgage loans in the secondary market. We have securitized certain proprietary reverse mortgage loans originated by Longbridge and retained certain related securitization tranches in compliance with applicable risk retention rules. In accordance with U.S. GAAP, we are deemed to be the primary beneficiary of each of the issuing entities of such proprietary reverse mortgage loan securitizations, which are VIEs, and as a result we consolidate such issuing entities. See Note 13 of Notes to Condensed Consolidated Financial Statements in Item 1 of this Quarterly Report on Form 10-Q.
Current report
•The U.S. Federal Reserve (the "Federal Reserve") maintained its target range for the Federal Funds rate at 3.50% - 3.75%, at both its April and June meetings. At the June meeting, the first under new Chairman Kevin Warsh, the Committee noted that economic activity continued to expand at a solid pace despite elevated uncertainty, while reiterating that inflation remained elevated relative to its 2% objective.
Current report
•The Summary of Economic Projections released following the June meeting reflected a more hawkish outlook than in March, with policymakers raising their inflation forecasts, modestly lowering projected economic growth, and revising upward the projected path of the federal funds rate, suggesting that interest rates may remain higher for longer than previously anticipated. Chairman Warsh did not submit his own projection.
Current report
•Following the Supreme Court's February decision invalidating certain tariffs imposed under the International Emergency Economic Powers Act, the administration maintained the temporary 10% global tariff while continuing existing sector- and country-specific tariffs. Considerable uncertainty continues to cloud the outlook for U.S. trade policy.
Current report
•After increasing sharply in the prior quarter, interest rate volatility declined during the second quarter, with the MOVE Index falling by more than 25%.
Current report
•Mortgage rates generally tracked long-term interest rates during the quarter. The Freddie Mac survey 30-year mortgage rate increased from 6.38% at the end of the first quarter to 6.49% at the end of the second quarter.
Current report
•With mortgage rates rising during the second quarter, the Mortgage Bankers Association's Refinance Index decreased by 12.4% quarter over quarter.
Current report
•After rising significantly in March, equity volatility declined sharply in April, rose again in early June, and then declined into quarter end.
Current report
(11)Includes loans to entities which purchase residential mortgage loans for eventual securitization.
Current report
Our total adjusted long investment portfolio increased by approximately 1% to $4.50 billion as of June 30, 2026. Growth in our residential transition loan and commercial mortgage bridge loan portfolios, as well as retained RMBS, more than offset the impact of continued securitization activity.
Current report
Net interest income increased significantly quarter over quarter, while earnings from unconsolidated entities remained strong. Overall performance was excellent, led by our residential credit strategies — including non-QM loans, Agency-eligible loans, residential transition loan retained tranches, closed-end second lien retained tranches, non-Agency RMBS, and forward MSR-related investments — as well as CLOs, corporate debt and equity, and equity investments in loan originators, while results were weaker in CMBS, residential REO, and other loans and ABS. Gains on hedges more than offset net realized and unrealized losses. Credit performance in our loan businesses remained strong, with continued low life-to-date realized credit losses across both our residential and commercial loan portfolios.
Current report
Supplemental Investment Portfolio Information:
Current report
(4)Includes REO which is not considered a financial instrument and, as a result, is included at the lower of cost or fair value, as discussed in Note 2 of the notes to consolidated financial statements.
Current report
Longbridge originated $589.7 million of loans during the quarter, up 38% from the same period in 2025. We also completed two proprietary reverse mortgage loan securitizations in the Longbridge segment, and the loans securitized more than offset portfolio growth, resulting in a 7% sequential decline in the net Longbridge portfolio to $649.3 million as of June 30, 2026.
Current report
(2)Includes HELOCs.
Current report
In accordance with U.S. GAAP, HECM loans remain on our balance sheet after securitization. The carrying value of the HMBS assets, net of the HMBS liabilities, approximates the value of the HMBS MSR. The following table presents a rollforward of the HMBS MSR for the three-month periods ended June 30, 2026 and March 31, 2026:
Current report
The following table presents the net profit (loss) related to the HMBS MSR, as discussed above, for the three-month periods ended June 30, 2026 and March 31, 2026:
Current report
The following table presents a rollforward of our purchased MSRs and MSRs retained on proprietary reverse mortgage loans, which are reported on our Condensed Consolidated Balance Sheet as Mortgage servicing rights, at fair value, for the three-month periods ended June 30, 2026 and March 31, 2026:
Current report
The following table presents the net profit (loss) on our MSRs, as discussed above, for the three-month periods ended June 30, 2026 and March 31, 2026:
Current report
The net loss in Corporate/Other increased quarter over quarter, as a substantial unrealized loss on our unsecured debt more than offset a significantly lower incentive fee accrual. The primary driver of the unrealized loss on our unsecured debt was credit spread tightening, which reversed much of the credit spread widening experienced in the first quarter, and which was partially offset by the impact of higher interest rates. Higher interest rates also led to losses on the fixed receiver interest rate swaps used to hedge the fixed payments on our unsecured notes and preferred equity.
Current report
(10)Includes loans to entities which purchase residential mortgage loans for eventual securitization.
Current report
Results of Operations for the Three-Month Periods Ended June 30, 2026 and 2025
Current report
Interest income from our investment portfolio segment for the three-month period ended June 30, 2026 increased to $120.7 million, as compared to $89.7 million for the three-month period ended June 30, 2025. This quarter-over-quarter increase was primarily driven by a larger average portfolio and higher average asset yields for the three-month period ended June 30, 2026.
Current report
(2)Excluding the Catch-up Amortization Adjustment for the three-month periods ended June 30, 2026 and 2025, net interest margin on our Agency Pass-throughs was 1.78% and 2.11%, respectively.
Current report
For the three-month period ended June 30, 2025, other income (loss) was $7.0 million, consisting primarily of net realized and unrealized gains of $47.3 million on our securities and loans and $3.4 million of Other, net. These gains were partially offset by net unrealized losses of $(17.1) million on our Other secured borrowings, at fair value, $(23.4) million on our financial derivatives, and $(3.2) million on real estate owned, net. Net realized and unrealized gains of $47.3 million on our securities and loans were primarily on non-QM loans and retained tranches, Agency and non-Agency RMBS, closed-end second lien loans, HELOC loans, and other ABS. Net realized and unrealized losses of $(23.4) million on our financial derivatives were primarily related to net realized and unrealized losses on our credit hedges and interest rate swaps. The net loss on our interest rate swaps was driven by the decline in interest rates during the second quarter. Other, net of $3.4 million consists primarily of realized gains on foreign currency transactions, unrealized gains on foreign currency remeasurement, various origination and loan income, and rental income. We recognized net unrealized losses of $(17.1) million on our Other secured borrowings, at fair value for the quarter ended June 30, 2025, related to borrowings on our securitized non-QM loans. These securitized non-QM loans had net unrealized gains of $26.9 million, which are included in Unrealized gains (losses) on securities and loans, net.
Current report
For the three-month period ended June 30, 2026, other income (loss) from the Longbridge segment was $65.3 million, consisting primarily of net gains from Net change from HECM reverse mortgage loans, at fair value of $152.0 million, $14.7 million on securities and loans, $3.1 million on financial derivatives, $10.6 million on Other secured borrowings, at fair value, and $6.3 million of Other, net, which were partially offset by Net change related to HMBS obligations, at fair value of $(121.1) million. Net change from HECM reverse mortgage loans at fair value of $152.0 million primarily consisted of $153.0 million of coupon income on HECM loans, net realized and unrealized gains of $10.9 million on HECM loans primarily driven by profitable new originations and tail fundings which is partially offset by the impact of higher interest rates, and net losses of $(12.0) million on the HMBS MSR driven by runoff and valuation change. Net change related to HMBS obligations, at fair value of $(121.1) million primarily consisted of $(141.7) million of interest expense on the HMBS obligations, which partially offset the interest income on HECM loans, and net unrealized gains of $20.6 million on the HMBS obligations primarily driven by the impact of higher interest rates. Net gains of $14.7 million on securities and loans were primarily driven by unrealized gains on proprietary reverse mortgage loans, including gains related to securitizations of proprietary reverse mortgage loans, as well as gains on short positions in U.S. Treasury securities. Other, net of $6.3 million, is primarily related to $4.4 million of origination fees and $2.0 million of servicing fees.
Current report
For the three-month period ended June 30, 2025, other income (loss) from the Longbridge segment was $44.0 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $168.8 million, net gains of $19.4 million on securities and loans, and $8.9 million of Other, net, which were partially offset by Net change related to HMBS obligations, at fair value of $(142.2) million, net losses of $(8.8) million on Other secured borrowings, at fair value, and net losses of $(2.6) million on financial derivatives. Net change from HECM reverse mortgage loans at fair value of $168.8 million primarily consisted of $149.6 million of coupon income on HECM loans, as well as net realized and unrealized gains of $23.0 million on HECM loans primarily driven by profitable new originations and tail fundings, as well as tighter yield spreads. Net change related to HMBS obligations, at fair value of $(142.2) million primarily consisted of $(139.1) million of interest expense on the HMBS obligations and net unrealized losses of $(3.1) million on the HMBS obligations, which partially offset the interest income and net realized and unrealized gains on HECM loans. Other, net of $8.9 million is primarily related to $5.6 million of origination fees and $2.0 million of servicing fees. Net gains of $19.4 million on securities and loans were primarily driven by unrealized gains on proprietary reverse mortgage loans, including gains related to a securitization of proprietary reverse mortgage loans.
Current report
For the three-month period ended June 30, 2026, other income (loss) was $(20.9) million, consisting primarily of an unrealized loss on Unsecured borrowings, at fair value. The primary driver of the unrealized loss on our unsecured debt was credit spread tightening, which reversed much of the credit spread widening experienced in the first quarter, and which was partially offset by the impact of higher interest rates. Higher interest rates also led to losses on the fixed receiver interest rate swaps used to hedge the fixed payments on our unsecured notes and preferred equity. For the three-month period ended June 30, 2025, other income (loss) was $(1.8) million, consisting primarily of net gains on our Unsecured borrowings, at fair value and on the fixed receiver interest rate swaps that we use to hedge the fixed payments on both our unsecured long-term debt and our preferred equity.
Current report
Income tax expense (benefit) was $0.1 million for the three-month period ended June 30, 2026, as compared to $1.5 million for the three-month period ended June 30, 2025.
Current report
For the three-month period ended June 30, 2025, Earnings (losses) from investments in unconsolidated entities of $17.1 million primarily consisted of net realized and unrealized gains on investments in loan originators.
Current report
Results of Operations for the Six-Month Periods Ended June 30, 2026 and 2025
Current report
For the six-month period ended June 30, 2026 we had net income (loss) attributable to common stockholders of $149.9 million, compared to $74.6 million for the six-month period ended June 30, 2025.
Current report
Interest Income
Current report
For the six-month period ended June 30, 2026, interest income from our investment portfolio was $218.2 million, as compared to $176.4 million for the six-month period ended June 30, 2025. This period-over-period increase was primarily driven by a larger average investment portfolio and by higher average asset yields for the six-month period ended June 30, 2026.
Current report
Interest Expense
Current report
Total interest expense in our investment portfolio segment increased to $103.0 million for the six-month period ended June 30, 2026, as compared to $100.4 million for the six-month period ended June 30, 2025. The increase in interest expense was primarily the result of an increase in borrowings on our larger investment portfolio and an increase in interest expense on securities sold short, partially offset by a decline in financing rates.
Current report
The table below summarizes the components of interest expense in our Investment Portfolio for the six-month periods ended June 30, 2026 and 2025.
Current report
The table below details the net interest margin(1) on our investment portfolio for the six-month periods ended June 30, 2026 and 2025:
Current report
(2)Excluding the Catch-up Amortization Adjustment for the three-month periods ended June 30, 2026 and 2025, net interest margin on our Agency RMBS was 1.64% and 2.21%, respectively.
Current report
The table below summarizes the components of interest expense in the Longbridge segment for the six-month periods ended June 30, 2026 and 2025.
Showing the first 40 of 48 passages. Open the source sections for the rest.
Removed paragraphs (39)
Previous report
•After lowering its target range for the federal funds rate by 75 basis points to 3.50%–3.75% in the second half of 2025, the U.S. Federal Reserve (the "Federal Reserve") maintained that range at its January and March 2026 meetings. Across both meetings, the Federal Reserve noted that job gains had remained low, the unemployment rate had been little changed in recent months, and inflation remained somewhat elevated. In its March announcement, the Federal Reserve also noted that the implications for the U.S. economy of developments in the Middle East are uncertain.
Previous report
•The first quarter began with the U.S. administration continuing trade negotiations with key partners. In February, the Supreme Court ruled that sweeping global tariffs could not be imposed under the International Emergency Economic Powers Act. The administration subsequently announced a temporary 10% global tariff under the Trade Act of 1974, sustaining uncertainty around U.S. trade policy.
Previous report
•After declining significantly in 2025, interest rate volatility remained relatively low throughout January and February, before rising considerably in March. Overall, the MOVE Index increased more than 50% quarter over quarter.
Previous report
•With mortgage rates declining to start the first quarter, the Mortgage Bankers Association’s Refinance Index increased to its highest level in four years in early March. However, refinance activity reversed course and declined commensurately as mortgage rates moved higher. Overall, the Mortgage Bankers Association’s Refinance Index increased by 8.5% quarter over quarter.
Previous report
•Equity volatility was relatively low throughout January and February before rising in March amid heightened investor concerns.
Previous report
Investment Portfolio—Credit(1)
Previous report
(2)Conformed to current period presentation.
Previous report
(11)Includes loan to an entity which purchases residential mortgage loans for eventual securitization.
Previous report
(12)Includes investment in an unconsolidated entity holding European RMBS.
Previous report
Our total adjusted long credit portfolio increased by 4% sequentially to $4.27 billion as of March 31, 2026. The increase was driven by purchases of non-QM loans, Agency-eligible loans, and residential transition loans; and a larger portfolio of retained RMBS. These increases were partially offset by the impact of loans sold into securitizations.
Previous report
The overall positive performance was driven by higher net interest income in the credit portfolio and net realized and unrealized gains on non-QM loans and retained tranches, closed-end second lien loans and retained tranches, and Agency-eligible loans; along with unrealized gains on commercial REO, and certain other investments. We also benefitted from excellent overall results from our equity investments in loan originators and strong credit performance across our loan businesses. Partially offsetting higher net interest income were net realized and unrealized losses on CLOs, non-Agency RMBS, non-performing and re-performing residential mortgage loans, and residential REO.
Previous report
The percentages of delinquent loans in our residential and commercial mortgage loan portfolios (including loans accounted for as equity method investments) declined quarter over quarter. Both of these portfolios continue to experience low levels of realized credit losses and strong overall credit performance, though we continue to work out several non-performing assets.
Previous report
Supplemental Credit Portfolio Information:
Previous report
Investment Portfolio—Agency RMBS
Previous report
(1)Conformed to current period presentation.
Previous report
Our total long Agency RMBS portfolio decreased by 3% sequentially to $197.3 million as of March 31, 2026.
Previous report
Positive results in our Agency strategy were driven by net interest income and net gains on interest rate hedges, due to the increase in interest rates quarter over quarter. These gains were partially offset by net losses on our Agency RMBS, with yield spreads on many Agency RMBS wider during the quarter.
Previous report
The net interest margin on our Agency portfolio, excluding the Catch-up Amortization Adjustment, decreased to 1.47% as of March 31, 2026, from 1.90% as of December 31, 2025, driven by a higher cost of funds. We continued to benefit from positive carry on our interest rate swap hedges, where we overall receive a higher floating rate and pay a lower fixed rate, but that benefit declined during the quarter, contributing to the higher cost of funds.
Previous report
As of both March 31, 2026 and December 31, 2025, the weighted average net pass-through rate on our fixed-rate specified pools was 3.9%.
Previous report
The following table summarizes the prepayment rates for our portfolio of fixed-rate specified pools (excluding those backed by reverse mortgages) for the three-month periods ended March 31, 2026, December 31, 2025, September 30, 2025, June 30, 2025, and March 31, 2025.
Previous report
(1)Excludes Agency fixed-rate RMBS without any prepayment history.
Previous report
(3)REO is not considered a financial instrument and, as a result, is included at the lower of cost or fair value, as discussed in Note 2 of the notes to consolidated financial statements.
Previous report
Our Longbridge portfolio, excluding non-retained tranches of consolidated securitization trusts, increased by 13% sequentially to $695.1 million as of March 31, 2026, driven by continued strong proprietary reverse mortgage loan origination volumes, partially offset by the impact of a securitization of proprietary reverse mortgage loans completed during the quarter. Longbridge originated $515.4 million of new loans during the quarter, which was a 52% increase from the same period in 2025.
Previous report
Results for the quarter also reflect a significant unrealized gain on our unsecured debt, driven by credit spread widening during the quarter, partially offset by an incentive fee accrued during the first quarter.
Previous report
The effective yield on our debt securities that are deemed to be of high credit quality (including Agency RMBS, exclusive of interest only securities) can be significantly impacted by our estimate of future prepayments. Future prepayment rates are difficult to predict. We estimate prepayment rates over the remaining life of our securities using models that generally incorporate the forward yield curve, current mortgage rates, mortgage rates on the outstanding loans, age and size of the outstanding loans, and other factors. We compare estimated prepayments to actual prepayments on a quarterly basis, and effective yields are recalculated retroactive to the time of purchase. When differences arise between our previously calculated effective yields and our current calculated effective yields, a catch-up adjustment ("Catch-up Amortization Adjustment") is made to interest income to reflect the cumulative impact of the changes in effective yields. For the three-month periods ended March 31, 2026 and 2025, we recognized a Catch-Up Amortization Adjustment of $21 thousand and $0.9 million, respectively. The Catch-up Amortization Adjustment is reflected as an increase (decrease) to Interest income on the Consolidated Statement of Operations.
Previous report
(2)Conformed to current period presentation.
Previous report
(10)Includes loan to an entity which purchases residential mortgage loans for eventual securitization.
Previous report
(11)Includes an equity investment in an unconsolidated entity holding European RMBS.
Previous report
(1)See Note 16 of the notes to the consolidated financial statements for further details on management fee rebates.
Previous report
(1)See Note 16 of the notes to the consolidated financial statements for further details on management fee rebates.
Previous report
(2)Effective January 1, 2026, Agency IOs are included with credit assets.
Previous report
For the three-month period ended March 31, 2026 and 2025, interest income from our Agency RMBS was $2.0 million and $4.1 million, respectively. This quarter-over-quarter decrease was due to a significantly smaller Agency portfolio in the current period and lower average asset yields for the three-month period ended March 31, 2026.
Previous report
Some of the variability in our interest income and portfolio yields is due to the Catch-up Amortization Adjustment. For the three-month periods ended March 31, 2026 and 2025 we had a positive Catch-up Amortization Adjustment of $21 thousand and $0.9 million, respectively, which increased our interest income. Excluding the Catch-up Amortization Adjustment, the weighted average yield of our Agency portfolio and our total portfolio was 3.63% and 7.47%, respectively, for the three-month period ended March 31, 2026. Excluding the Catch-up Amortization Adjustment, the weighted average yield of our Agency portfolio and our total portfolio was 4.22% and 7.24%, respectively, for the three-month period ended March 31, 2025.
Previous report
(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.
Previous report
(1)Excludes U.S. Treasury securities.
Previous report
(1)Amount includes the related net accretion and amortization of purchase discounts and premiums.
Previous report
Base Management Fees
Previous report
Incentive Fees
Previous report
For the three-month period ended March 31, 2025, other income (loss) from the Longbridge segment was $26.3 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $177.0 million, net gains of $10.7 million on securities and loans, and $5.4 million of Other, net, which were partially offset by Net change related to HMBS obligations, at fair value of $(147.5) million, net losses of $(12.3) million on Other secured borrowings, at fair value, and net losses of $(7.0) million on financial derivatives. Net change from HECM reverse mortgage loans at fair value of $177.0 million primarily consisted of $147.5 million of coupon income on HECM loans, as well as net realized and unrealized gains of $29.2 million on HECM loans primarily driven by profitable new originations and tail fundings, as well as tighter yield spreads. Net change related to HMBS obligations, at fair value of $(147.5) million primarily consisted of $(138.1) million of interest expense on the HMBS obligations and net unrealized losses of $(9.4) million on the HMBS obligations, which partially offset the interest income and net realized and unrealized gains on HECM loans. Other, net of $5.4 million is primarily related to $3.0 million of origination fees and $2.1 million of servicing fees. Net gains of $10.7 million on securities and loans were primarily driven by unrealized gains on proprietary reverse mortgage loans.
Reworded paragraphs (97)
Previous wording
We conduct all of our operations and business activities through the Operating Partnership. As of March 31, 2026, we had an ownership interest of approximately 98.9% in the Operating Partnership. The remaining ownership interest of approximately 1.1% in the Operating Partnership represents the interests in the Operating Partnership that are owned by an affiliate of our Manager, our current and certain former directors, and certain current and former Ellington employees and their related parties, and is reflected in our financial statements as a non-controlling interest. We are externally managed and advised by our Manager, an affiliate of Ellington. Ellington is a registered investment adviser with a 31-year history of investing in the Agency and credit markets.
Current wording
We conduct all of our operations and business activities through the Operating Partnership. As of June 30, 2026, we had an ownership interest of approximately 98.9% in the Operating Partnership. The remaining ownership interest of approximately 1.1% in the Operating Partnership represents the interests in the Operating Partnership that are owned by an affiliate of our Manager, our current and certain former directors, and certain current and former Ellington employees and their related parties, and is reflected in our financial statements as a non-controlling interest. We are externally managed and advised by our Manager, an affiliate of Ellington. Ellington is a registered investment adviser with a more than 30-year history of investing in the Agency and credit markets.
Previous wording
We have two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. In our Investment Portfolio Segment, we invest in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"), including RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"); commercial mortgage-backed securities ("CMBS"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; investments referencing mortgage servicing rights on traditional forward mortgage loans ("Forward MSR-related investments"); collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. We refer to the portion of our investment portfolio excluding Agency RMBS as our credit portfolio.
Current wording
We have two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. In our Investment Portfolio Segment, we invest in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"), including RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"); commercial mortgage-backed securities ("CMBS"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; investments referencing mortgage servicing rights on traditional forward mortgage loans ("Forward MSR-related investments"); collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments.
Previous wording
Non-Agency RMBS are generally debt obligations issued by private originators of, or investors in, residential mortgage loans. Non-Agency RMBS generally are issued as CMOs and are backed by pools of whole mortgage loans or by mortgage pass-through certificates. Non-Agency RMBS generally are securitized in senior/subordinated structures, or in excess spread/over-collateralization structures. In senior/subordinated structures, the subordinated tranches generally absorb all losses on the underlying mortgage loans before any losses are borne by the senior tranches. In excess spread/over-collateralization structures, losses are first absorbed by any existing over-collateralization, then borne by subordinated tranches and excess spread, which represents the difference between the interest payments received on the mortgage loans backing the RMBS and the interest due on the RMBS debt tranches, and finally by senior tranches and any remaining excess spread. We also have acquired, and may acquire in the future, both Agency-issued and non-Agency-issued CRTs, which have credit risks similar to those of subordinated RMBS tranches, as well as RMBS backed by non-QM and CES loans, including retained tranches from loan securitizations in which we have participated.
Current wording
Non-Agency RMBS are generally debt obligations issued by private originators of, or investors in, residential mortgage loans. Non-Agency RMBS generally are issued as CMOs and are backed by pools of whole mortgage loans or by mortgage pass-through certificates. Non-Agency RMBS generally are securitized in senior/subordinated structures, or in excess spread/over-collateralization structures. In senior/subordinated structures, the subordinated tranches generally absorb all losses on the underlying mortgage loans before any losses are borne by the senior tranches. In excess spread/over-collateralization structures, losses are first absorbed by any existing over-collateralization, then borne by subordinated tranches and excess spread, which represents the difference between the interest payments received on the mortgage loans backing the RMBS and the interest due on the RMBS debt tranches, and finally by senior tranches and any remaining excess spread. We also have acquired, and may acquire in the future, both Agency-issued and non-Agency-issued CRTs, which have credit risks similar to those of subordinated RMBS tranches, as well as RMBS backed by residential mortgage loans, including retained tranches from loan securitizations in which we have participated.
Previous wording
The majority of Longbridge's existing MSRs relate to HECM loans that Longbridge pooled and securitized into HMBS and then sold into the secondary market with servicing rights retained. In accordance with U.S. GAAP, so long as Longbridge retains such mortgage servicing rights and the obligations relating thereto, such HECM loans do not meet the requirement for sale accounting and remain on Longbridge's balance sheet. The sold HMBS securities are accounted for as secured borrowings. In addition, Longbridge opportunistically acquires, in the secondary market or otherwise, MSRs associated with either proprietary reverse mortgage loans, HECMs or HECM buyout loans.
Current wording
The majority of Longbridge's MSRs relate to HECM loans that Longbridge pooled and securitized into HMBS and then sold into the secondary market with servicing rights retained. In accordance with U.S. GAAP, so long as Longbridge retains such mortgage servicing rights and the obligations relating thereto, such HECM loans do not meet the requirement for sale accounting and remain on Longbridge's balance sheet. The sold HMBS securities are accounted for as secured borrowings.
Previous wording
•Interest rates were generally stable to slightly lower during the first two months of the year. However, interest rates increased significantly in March as escalating geopolitical tensions, particularly in the Middle East, contributed to a spike in oil prices, higher inflation expectations, and renewed uncertainty around the path of Federal Reserve monetary policy. Overall, the yield on the 2-year U.S. Treasury rose by 32 basis points to 3.79% in the first quarter, while the yield on the 10-year U.S. Treasury rose by 15 basis points to 4.32%.
Current wording
•Interest rates generally rose in the second quarter in response to geopolitical developments, higher energy prices, and evolving expectations regarding the path of Federal Reserve monetary policy. Overall during the quarter, the yield on the 2-year U.S. Treasury rose by 38 basis points to 4.17%, while the yield on the 10-year U.S. Treasury rose by 15 basis points to 4.47%.
Previous wording
•Secured Overnight Financing Rates (“SOFR”) were largely unchanged in the first quarter. The one-month SOFR rate fell by 2 basis points to 3.66%, while the three-month SOFR rate increased by 3 basis points to 3.68%. SOFR rates drive many of our financing costs.
Current wording
•Secured Overnight Financing Rates ("SOFR") changed only modestly during the second quarter. The one-month SOFR rate fell by 1 basis point to 3.65%, while the three-month SOFR rate increased by 5 basis points to 3.73%. SOFR rates drive many of our financing costs.
Previous wording
•After falling during the second half of 2025, the S&P Cotality Case-Shiller U.S. National Home Price NSA Index rose by 0.1% during the first two month of 2026. Meanwhile, the National Association of Realtors Housing Affordability Index rose by 1.9% through the end of March, reflecting slightly improved housing affordability.
Current wording
•After falling during the second half of 2025, the S&P Cotality Case-Shiller U.S. National Home Price NSA Index continued to recover in the second quarter, rising by 2.5% year-to-date through May 2026. Meanwhile, the National Association of Realtors Housing Affordability Index declined by 7.8% through the end of June, as higher mortgage rates and record-high home prices stressed housing affordability.
Previous wording
•Mortgage prepayment speeds remained low, with the Fannie Mae 30-year MBS registering CPRs of 7.6, 8.8, and 10.6, in January, February, and March, respectively.
Current wording
•Mortgage prepayment speeds remained low, with the Fannie Mae 30-year MBS registering CPRs of 9.1, 8.2 and 8.4 in April, May, and June, respectively.
Previous wording
•U.S. real GDP expanded at an estimated annualized rate of 2.0% in the first quarter of 2026, after expanding at an annualized rate of 0.5% in the prior quarter. Meanwhile, the unemployment rate edged down from 4.4% at the start of the quarter to 4.3% by quarter end.
Current wording
•U.S. real GDP expanded at an estimated annualized rate of 1.5% in the second quarter of 2026, down from an annualized growth rate of 2.1% in the prior quarter. Meanwhile, the unemployment rate edged down from 4.3% at the start of the quarter to 4.2% by quarter-end.
Previous wording
•Inflation, as measured by the 12-month change in the Consumer Price Index for All Urban Consumers ("CPI-U"), not seasonally adjusted, registered 2.4% in both January and February, before increasing to 3.3% in March, driven by rising fuel costs. This compares to the 12-month changes of 2.7% in both November and December 2025.
Current wording
•Inflation, as measured by the 12-month change in the Consumer Price Index for All Urban Consumers ("CPI-U"), not seasonally adjusted, remained elevated during the quarter. The CPI-U registered 3.8% in April and 4.2% in May, before falling slightly to 3.5% in June; this compares to 2.4% in both January and February, and 3.3% in March 2026.
Previous wording
•For the first quarter, the Bloomberg U.S. MBS Index posted a return of 0.40% and an excess return (on a duration-adjusted basis) of 0.16% relative to the Bloomberg U.S. Treasury Index.
Current wording
•For the second quarter, the Bloomberg U.S. MBS Index posted a return of 0.58% and an excess return (on a duration-adjusted basis) of 0.30% relative to the Bloomberg U.S. Treasury Index.
Previous wording
•The Bloomberg U.S. Corporate Bond Index generated a negative return of (0.54%) and a negative excess return of (0.49%) for the quarter. The Bloomberg U.S. Corporate High Yield Bond Index generated a negative return of (0.50%) and a negative excess return of (0.73%). Corporate credit spreads were wider quarter over quarter, with spreads on the Markit CDX North America Investment Grade and High Yield Indices increasing by 13 and 69 basis points, respectively.
Current wording
•The Bloomberg U.S. Corporate Bond Index generated a return of 1.39% and an excess return of 1.16% for the quarter. The Bloomberg U.S. Corporate High Yield Bond Index generated a return of 2.45% and an excess return of 2.19%. Corporate credit spreads tightened quarter over quarter, with spreads on the Markit CDX North America Investment Grade and High Yield Indices narrowing by 12 and 81 basis points, respectively.
Previous wording
•After strong gains in 2025, U.S. equity markets declined in the first quarter, particularly in March amid heightened geopolitical uncertainty and rising energy prices. Overall for the quarter, the NASDAQ fell by 7.1%, the S&P 500 fell by 4.6%, and the Dow Jones Industrial Average fell by 3.6%. Meanwhile, London's FTSE 100 index rose by 2.5%, while the MSCI World global equity index fell by 3.9%. Energy-related sectors outperformed amid rising oil prices.
Current wording
•After a weak first quarter, U.S. equity markets rebounded strongly during the second quarter, supported by improving investor sentiment amid continued AI/semiconductor enthusiasm, easing geopolitical uncertainty, and expectations for moderating energy prices. Overall for the quarter, the NASDAQ rose by 21.4%, the S&P 500 rose by 14.9%, and the Dow Jones Industrial Average rose by 12.9%. Meanwhile, London's FTSE 100 index rose by 3.2%, while the MSCI World global equity index increased by 13.3%.
Previous wording
The following tables summarize the long investments in our credit portfolio as of March 31, 2026 and December 31, 2025.
Current wording
The following table(1) summarizes the long investments in our investment portfolio segment as of June 30, 2026 and March 31, 2026.
Previous wording
(5)Includes equity investments in unconsolidated entities holding commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans.
Current wording
(5)Includes equity investments in unconsolidated entities holding commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans. Such amounts represent the fair value of the underlying commercial mortgage loans net of the financing liabilities of the unconsolidated entity. The aggregate gross fair value of commercial mortgage loans held by us and our respective portion of the loans held by such unconsolidated entities was $1.03 billion and $958.5 million, as of June 30, 2026 and March 31, 2026, respectively.
Previous wording
During the quarter, the net interest margin on our credit portfolio increased modestly to 3.46% from 3.38%, as slightly higher asset yields were partially offset by a slightly higher cost of funds (including actual and accrued periodic payments on interest rate swaps). We continued to benefit from positive carry on our interest rate swap hedges, where we overall receive a higher floating rate and pay a lower fixed rate.
Current wording
During the quarter, the net interest margin on our investment portfolio declined slightly to 3.36% from 3.37%, as slightly higher asset yields were more than offset by slightly higher funding costs (including actual and accrued periodic payments on interest rate swaps). We continued to hedge interest rate risk through the use of interest rate swaps and short positions in TBAs, U.S. Treasury securities and futures. During the quarter, we benefited from positive carry on our interest rate swap hedges, driven by our interest rate swaps where our weighted average receive rate exceeded our weighted average pay rate, although this benefit moderated quarter over quarter.
Previous wording
The following tables provide supplemental information to, and should be read in conjunction with, the notes to our financial statements. See Note 5—Investments in Loans, Note 7—Forward MSR-related Investments, and Note 8—Investments in Unconsolidated Entities, of the Notes to Consolidated Financial Statements.
Current wording
The following tables provide supplemental information to, and should be read in conjunction with, the notes to our financial statements. See Note 4—Investments in Securities, Note 5—Investments in Loans, Note 7—Forward MSR-related Investments, and Note 8—Investments in Unconsolidated Entities, of the Notes to Consolidated Financial Statements.
Previous wording
(1)Excludes commercial mortgage loans in non-accrual status, with a fair value of $69.8 million.
Current wording
(1)Excludes commercial mortgage loans in non-accrual status, with a fair value of $85.5 million.
Previous wording
As of March 31, 2026, we held four commercial REO properties with a fair value of $36.7 million. Additionally, as of March 31, 2026, unconsolidated variable interest entities in which we co-invest with other Ellington affiliates held two commercial REO properties; the fair value of our allocable portion of such REOs was approximately $49.0 million.
Current wording
As of June 30, 2026, we held three commercial REO properties with a fair value of $19.3 million. Additionally, as of June 30, 2026, unconsolidated variable interest entities in which we co-invest with other Ellington affiliates held two commercial REO properties; the fair value of our allocable portion of such REOs was approximately $52.1 million.
Previous wording
(1)Excludes the assets of the European Mortgage Loan Securitization (see Note 13, Securitization Transactions—Residential Mortgage Loan Securitizations—European Residential Mortgage Loans), which is a consolidated VIE holding non-performing residential mortgage loans with an unpaid principal balance and fair value of $20.5 million and $14.0 million, respectively. The net fair value of the interest held by us in this VIE was $63 thousand.
Current wording
(1)Excludes the assets of the European Mortgage Loan Securitization (see Note 13, Securitization Transactions—Residential Mortgage Loan Securitizations—European Residential Mortgage Loans), which is a consolidated VIE holding non-performing residential mortgage loans with an unpaid principal balance and fair value of $19.8 million and $13.5 million, respectively. The net fair value of the interest held by us in this VIE was $63 thousand.
Previous wording
As discussed in Note 16 of the notes to our consolidated financial statements, we, through a wholly-owned trust subsidiary, purchase automobile loans under agreements with a consumer loan originator. We have beneficial interests in the loan cash flows, which are net of servicing-related fees and expenses including a deferred performance-based fee to the consumer loan originator, in which we have a non-controlling equity interest. The total fair value of these investments, which are included in Securities, at fair value on the Consolidated Balance Sheet, was $53.7 million as of March 31, 2026. The table below provides additional information about the automobile loans underlying these participation certificates, which comprise our investments in ABS backed by consumer loans, as of March 31, 2026:
Current wording
As discussed in Note 16 of the notes to our consolidated financial statements, we, through a wholly-owned trust subsidiary, purchase automobile loans under agreements with a consumer loan originator. We have beneficial interests in the loan cash flows, which are net of servicing-related fees and expenses including a deferred performance-based fee to the consumer loan originator, in which we have a non-controlling equity interest. The total fair value of these investments, which are included in Securities, at fair value on the Consolidated Balance Sheet, was $53.2 million as of June 30, 2026. The table below provides additional information about the automobile loans underlying these participation certificates, which comprise our investments in ABS backed by consumer loans, as of June 30, 2026:
Previous wording
(1)Excludes consumer loans with an aggregate unpaid principal balance and fair value of $100.2 million and $0.4 million, respectively, for which we have determined that it is probable the servicer will not be able to collect any more principal or interest.
Current wording
(1)Excludes consumer loans with an aggregate unpaid principal balance and fair value of $102.3 million and $0.4 million, respectively, for which we have determined that it is probable the servicer will not be able to collect any more principal or interest.
Previous wording
The following table provides details about the composition of our portfolio of fixed-rate specified pools (excluding those backed by reverse mortgages) as of March 31, 2026 and December 31, 2025:
Current wording
The following table provides details about the composition of our Agency fixed-rate specified pools (excluding those backed by reverse mortgages) as of June 30, 2026:
Previous wording
Additionally, Longbridge typically retains the MSRs associated with the proprietary reverse mortgage loans that it originates and has acquired MSRs on reverse mortgage loans in the secondary market (collectively, "Reverse MSRs"). We have also securitized some of the proprietary reverse mortgage loans originated by Longbridge, and we have retained certain securitization tranches in compliance with credit risk retention rules.
Current wording
Additionally, Longbridge typically retains the MSRs associated with the proprietary reverse mortgage loans that it originates and has acquired MSRs on reverse mortgage loans in the secondary market (collectively, "Reverse MSRs"). We have securitized certain proprietary reverse mortgage loans originated by Longbridge and have retained certain related securitization tranches in compliance with credit risk retention rules.
Previous wording
(2)Includes HECM loans, REO, and claims or other receivables.
Current wording
(3)Includes HECM loans, REO, and claims or other receivables.
Previous wording
(4)As of March 31, 2026, includes $21.7 million of active HECM Buyout Loans, $19.9 million of inactive HECM Buyout Loans, and $6.6 million of other inactive HECM loans. As of December 31, 2025, includes $28.5 million of active HECM Buyout Loans, $19.0 million of inactive HECM Buyout Loans, and $6.1 million of other inactive HECM loans.
Current wording
(5)As of June 30, 2026, includes $26.9 million of active HECM buyout loans, $21.3 million of inactive HECM buyout loans, $7.5 million of other inactive HECM loans, and $5.0 of REO. As of March 31, 2026, includes $21.7 million of active HECM Buyout Loans, $19.9 million of inactive HECM Buyout Loans, $6.6 million of other inactive HECM loans, and $5.7 million of REO.
Previous wording
(5)As of March 31, 2026, includes $1.6 billion of securitized proprietary reverse mortgage loans and related REO, $26.2 million of cash held in a securitization reserve fund, and $13.9 million of investment related receivables. As of December 31, 2025, includes $1.4 billion of securitized proprietary reverse mortgage loans and related REO, and $26.0 million of cash held in a securitization reserve fund, and $19.9 million of investment related receivables.
Current wording
(6)As of June 30, 2026, includes $2.0 billion of securitized proprietary reverse mortgage loans and related REO, $30.5 million of cash held in a securitization reserve fund, and $30.8 million of investment related receivables. As of March 31, 2026, includes $1.6 billion of securitized proprietary reverse mortgage loans and related REO, $26.2 million of cash held in a securitization reserve fund, and $13.9 million of investment related receivables.
Previous wording
Our Longbridge segment reported excellent results for the first quarter, with strong contributions from both originations and servicing. The strong contribution from originations was driven by continued robust origination volumes and margins, and net gains related to the proprietary reverse mortgage loan securitization completed during the quarter. The strong contribution from servicing reflected: (i) strong tail securitization executions; (ii) a net gain on the HMBS MSR, driven primarily by tighter HMBS yield spreads; and (iii) steady base servicing net income. Longbridge also had income related to the settlement of a lawsuit, pursuant to which Longbridge received a payment of $17.0 million, and net gains on interest rate hedges.
Current wording
Our Longbridge segment reported excellent results for the second quarter, with strong contributions from both originations and servicing. Originations benefited from net gains related to two proprietary reverse mortgage loan securitizations completed during the quarter, as well as from continued robust origination volumes and margins. Servicing benefited from strong tail securitization executions and steady base servicing net income. The Longbridge segment also generated net gains on enterprise interest rate hedges intended to mitigate the potential impact of higher interest rates on origination profits.
Previous wording
The following table summarizes origination volumes by channel for the three-month periods ended March 31, 2026 and December 31, 2025:
Current wording
The following table summarizes origination volumes by product and channel for the three-month periods ended June 30, 2026:
Previous wording
We have various financing arrangements in place as of March 31, 2026, including both secured and unsecured borrowings. We use repos, secured lines of credit, and various other secured borrowings to finance our portfolios, each of which we account for as collateralized borrowings. We have also obtained, through the securitization markets, term financing for residential mortgage loans, proprietary reverse mortgage loans, and consumer loans. Additionally, as an issuer of HMBS, we account for HMBS-related obligations as secured borrowings. Finally, as of March 31, 2026, we had $662.8 million of outstanding Unsecured borrowings including: (i) senior notes of $400.0 million, maturing in September 2030 and bearing an interest rate of 7.375%, (ii) senior notes of $210.0 million, maturing in April 2027 and bearing an interest rate of 5.875%, and (iii) senior notes of $37.8 million, maturing in August 2026 and bearing an interest rate of 6.00% (collectively, the "Senior Notes"); as well as $15.0 million of unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The indentures governing the outstanding Senior Notes contain a number of covenants, including several financial covenants. See Note 14 of the Notes to the Consolidated Financial Statements for additional details on our Unsecured borrowings.
Current wording
We have various financing arrangements in place as of June 30, 2026, including both secured and unsecured borrowings. We use repos, secured lines of credit, and various other secured borrowings to finance our portfolios, each of which we account for as collateralized borrowings. We have also obtained, through the securitization markets, term financing for residential mortgage loans, proprietary reverse mortgage loans, and consumer loans. Additionally, as an issuer of HMBS, we account for HMBS-related obligations as secured borrowings. Finally, as of June 30, 2026, we had $662.8 million of outstanding Unsecured borrowings including: (i) senior notes of $400.0 million, maturing in September 2030 and bearing an interest rate of 7.375%, (ii) senior notes of $210.0 million, maturing in April 2027 and bearing an interest rate of 5.875%, and (iii) senior notes of $37.8 million, bearing an interest rate of 6.00% which were subsequently redeemed in August 2026 (collectively, the "Senior
Previous wording
As of March 31, 2026, outstanding borrowings under repos and Total other secured borrowings (which include Other secured borrowings and Other secured borrowings, at fair value, as presented on our Consolidated Balance Sheet) were $6.3 billion, of which approximately 3%, or $188.3 million, related to our Agency RMBS holdings. The remaining outstanding borrowings related to our credit portfolio and Longbridge. Additionally, we had $10.8 billion of HMBS-related obligations.
Current wording
As of June 30, 2026, outstanding borrowings under repos and Total other secured borrowings (which include Other secured borrowings and Other secured borrowings, at fair value, as presented on our Consolidated Balance Sheet) were $6.8 billion, and we had $11.1 billion of HMBS-related obligations.
Previous wording
(1)For unsettled purchases and sales, assumes associated borrowings are subject to haircuts of 5.8% as of both March 31, 2026 and December 31, 2025, respectively.
Current wording
(1)For unsettled purchases and sales, assumes associated borrowings are subject to haircuts of 4.9% and 5.8% as of June 30, 2026 and March 31, 2026, respectively.
Previous wording
(3)Relates to our residential mortgage and reverse mortgage loan securitizations, where we have elected the fair value option on the related debt. See Note 2 and Note 13 of our consolidated financials statements.
Current wording
(3)Relates to our residential mortgage and reverse mortgage loan securitizations, where we have elected the fair value option on the related debt. See Note 2 and Note 13 of our Condensed Consolidated Financial Statements.
Previous wording
Our recourse debt-to-equity ratio, excluding borrowings collateralized by U.S. Treasury securities and adjusted for unsettled purchases and sales, was 1.9:1 as of both March 31, 2026 and December 31, 2025, as an increase in repo borrowings on our larger credit and Longbridge portfolios was roughly offset by higher total equity.
Current wording
Our recourse debt-to-equity ratio, excluding borrowings collateralized by U.S. Treasury securities and adjusted for unsettled purchases and sales, was 1.9:1 as of both June 30, 2026 and March 31, 2026, as higher repo borrowings were largely offset by growth in total equity.
Previous wording
Our overall debt-to-equity ratio, based on total recourse and non-recourse borrowings excluding borrowings collateralized by U.S. Treasury securities, adjusted for unsettled purchases and sales, was 9.0:1 as of both March 31, 2026 and December 31, 2025.
Current wording
Our overall debt-to-equity ratio, based on total recourse and non-recourse borrowings excluding borrowings collateralized by U.S. Treasury securities, adjusted for unsettled purchases and sales, increased modestly to 9.2:1 as of June 30, 2026 from 9.0:1 March 31, 2026, primarily reflecting higher non-recourse borrowings associated with recent securitization activity.
Previous wording
Our secured financing costs include interest expense related to our repo borrowings and Total other secured borrowings (which include Other secured borrowings and Other secured borrowings, at fair value, as presented on our Consolidated Balance Sheet but exclude HMBS-related obligations). For the three-month period ended March 31, 2026, the average cost of funds on our secured financings decreased to 4.93%, as compared to 4.99% for the three-month period ended December 31, 2025. Our unsecured financing costs consist of interest expense related to our Unsecured borrowings; for the three-month periods ended March 31, 2026 and December 31, 2025, the average borrowing rate on our unsecured financings was 6.97% and 6.84%, respectively. Our average cost of funds, including both secured and unsecured financings, decreased to 5.13% from 5.17% over the same period.
Current wording
Our secured financing costs include interest expense related to our repo borrowings and Total other secured borrowings (which include Other secured borrowings and Other secured borrowings, at fair value, as presented on our Consolidated Balance Sheet but exclude HMBS-related obligations). For the three-month period ended June 30, 2026, the average cost of funds on our secured financings decreased slightly to 4.92%, as compared to 4.93% for the three-month period ended March 31, 2026. Our unsecured financing costs consist of interest expense related to our Unsecured borrowings; for the three-month periods ended June 30, 2026 and March 31, 2026, the average borrowing rate on our unsecured financings was 6.79% and
Previous wording
The preparation of our unaudited condensed consolidated financial statements in accordance with U.S. GAAP require us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Our critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain. Actual results could differ from those estimates and such differences could have a material impact on our financial condition and/or results of operations. We believe that all of the decisions and assessments upon which our consolidated financial statements are based were reasonable at the time made based upon information available to us at that time. We rely on the experience of our Manager and Ellington and analysis of historical and current market data in order to arrive at what we believe to be reasonable estimates. See Note 2 of the notes to our consolidated financial statements for a complete discussion of our significant accounting policies. We have identified our most critical accounting estimates to be the following:
Current wording
The preparation of our unaudited condensed consolidated financial statements in accordance with U.S. GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Our critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain. Actual results could differ from those estimates and such differences could have a material impact on our financial condition and/or results of operations. We believe that all of the decisions and assessments upon which our consolidated financial statements are based were reasonable at the time made based upon information available to us at that time. We rely on the experience of our Manager and Ellington and analysis of historical and current market data in order to arrive at what we believe to be reasonable estimates. See Note 2 of the notes to our consolidated financial statements for a complete discussion of our significant accounting policies. We have identified our most critical accounting estimates to be the following:
Previous wording
Income Taxes: We have elected to be taxed as a REIT for U.S. federal income tax purposes, and are generally are not subject to corporate-level federal and state income tax on net income we distribute to our stockholders within the prescribed timeframes. We have elected to treat certain domestic and foreign subsidiaries as TRSs. Our financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Establishing a provision for income tax expense requires judgment and interpretation of the application of various federal, state, local, and foreign jurisdiction's tax laws. We may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, we might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. See Note 2 and Note 15 to our consolidated financial statements for additional details on income taxes.
Current wording
Income Taxes: We have elected to be taxed as a REIT for U.S. federal income tax purposes, and generally are not subject to corporate-level federal and state income tax on net income we distribute to our stockholders within the prescribed timeframes. We have elected to treat certain domestic and foreign subsidiaries as TRSs. Our financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Establishing a provision for income tax expense requires judgment and interpretation of the application of various federal, state, local, and foreign jurisdictions' tax laws. We may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, we might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. See Note 2 and Note 15 to our consolidated financial statements for additional details on income taxes.
Previous wording
(2)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, 2026, derivative assets and derivative liabilities were $152.8 million and $(47.4) million, respectively, for a net fair value of $105.5 million, as reflected in "Net Total" above.
Current wording
(2)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 June 30, 2026, derivative assets and derivative liabilities were $174.9 million and $(80.8) million, respectively, for a net fair value of $94.1 million, as reflected in "Net Total" above.
Previous wording
(4)Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of March 31, 2026, a total 2,269 short U.S. Treasury futures contracts were held.
Current wording
(4)Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of June 30, 2026, a total 2,505 short U.S. Treasury futures contracts were held.
Showing the first 40 of 97 pairs. Open the source sections for the rest.
Rearranged current paragraphs (36)
Current report — wording carried from elsewhere
Notes"); as well as $15.0 million of unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The indentures governing the outstanding Senior Notes contain a number of covenants, including several financial covenants. See Note 14 of the Notes to the Consolidated Financial Statements for additional details on our Unsecured borrowings.
Current report — wording carried from elsewhere
6.97%, respectively. Our average cost of funds, including both secured and unsecured financings, decreased to 5.09% from 5.13% over the same period.
Current report — wording carried from elsewhere
For the three-month periods ended June 30, 2026 and 2025, interest income from the Longbridge segment was $48.6 million and $24.1 million, respectively. The increase was primarily related to a larger portfolio of proprietary reverse mortgage loans period over period.
Current report — wording carried from elsewhere
The following table summarizes our aggregate secured borrowings in our Investment Portfolio, including repos and Total other secured borrowings, for the three-month periods ended June 30, 2026 and 2025.
Current report — wording carried from elsewhere
The table below details the net interest margin(1), defined as the average yield on our portfolio of yield-bearing assets less the average cost of funds on our secured borrowings (including actual and accrued periodic payments on interest rate swaps as described above), on our investment portfolio for the three-month periods ended June 30, 2026 and 2025:
Current report — wording carried from elsewhere
(1)Does not include costs associated with any unsecured debt or costs associated with other instruments that we use to hedge interest rate risk, such as U.S. Treasury securities, TBAs, and futures.
Current report — wording carried from elsewhere
Each quarter, in addition to the base management fee, our Manager is also entitled to an incentive fee if our performance (as measured by adjusted net income, as defined in the management agreement) over the relevant rolling four quarter calculation period (including any opening loss carryforward) exceeds a defined return hurdle for the period. For the three-month period ended June 30, 2026, we incurred an incentive fee of $0.9 million; no incentive fee was incurred for the three-month period ended June 30, 2025. Because our operating results can vary materially from one period to another, incentive fee expense can be highly variable.
Current report — wording carried from elsewhere
We have elected the fair value option for our equity investments in unconsolidated entities. Earnings (losses) from investments in unconsolidated entities was $11.0 million for the three-month period ended June 30, 2026, as compared to $17.1 million for the three-month period ended June 30, 2025.
Current report — wording carried from elsewhere
For the three-month period ended June 30, 2026, Earnings (losses) from investments in unconsolidated entities of $11.0 million primarily consisted of net realized and unrealized gains on investments in loan originators, investments in unconsolidated entities related to residential mortgage loan securitizations, and investments in entities holding commercial mortgage loans and REO, in which we co-invest with other Ellington affiliates.
Current report — wording carried from elsewhere
The following tables summarize our results of operations by segment (as applicable) for the six-month periods ended June 30, 2026 and 2025:
Current report — wording carried from elsewhere
Net Income (Loss) Attributable to Common Stockholders
Current report — wording carried from elsewhere
Interest income was $320.3 million for the six-month period ended June 30, 2026, as compared to $231.4 million for the six-month period ended June 30, 2025. Interest income includes coupon payments received and accrued on our holdings, the net accretion and amortization of purchase discounts and premiums on various holdings, and interest on our cash balances, including those balances held by our counterparties as collateral.
Current report — wording carried from elsewhere
The following table(1) details our interest income, average holdings of yield-bearing assets, and weighted average yield based on amortized cost for the six-month periods ended June 30, 2026 and 2025:
Current report — wording carried from elsewhere
(1)Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long positions in U.S. Treasury securities.
Current report — wording carried from elsewhere
In addition, we had $4.3 million and $4.0 million of interest income related to long U.S. Treasury securities and reverse repo on short U.S. Treasury securities for the six-month periods ended June 30, 2026 and 2025, respectively, which we generally use to hedge our exposure to changes in interest rates.
Current report — wording carried from elsewhere
For the six-month periods ended June 30, 2026 and 2025, interest income not allocable to either the investment portfolio segment or the Longbridge segment was $2.9 million and $3.4 million, respectively, primarily related to interest income earned on cash balances and cash collateral held by counterparties.
Current report — wording carried from elsewhere
Interest expense primarily includes interest on funds borrowed under repos and Total other secured borrowings, interest on our unsecured borrowings, coupon interest on securities sold short, the related net accretion and amortization of purchase discounts and premiums on those short holdings, and interest on our counterparties' cash collateral held by us. For the six-month periods ended June 30, 2026 and 2025, we had total interest expense of $186.8 million and $144.8 million, respectively.
Current report — wording carried from elsewhere
Among other instruments, we use interest rate swaps to hedge against the risk of rising interest rates. If we were to include as a component of our cost of funds the actual and accrued periodic payments on our interest rate swaps used to hedge our assets, our total average cost of funds would decrease to 4.20% and 4.30% for the six-month periods ended June 30, 2026 and 2025, respectively.
Current report — wording carried from elsewhere
(1)Does not include costs associated with any unsecured debt or costs associated with other instruments that we use to hedge interest rate risk, such as U.S. Treasury securities, TBAs, and futures.
Current report — wording carried from elsewhere
Interest expense in the Longbridge segment primarily relates to Other secured borrowings and repurchase agreements. For the six-month periods ended June 30, 2026 and 2025, interest expense in the Longbridge segment was $61.2 million and $36.0 million, respectively. The increase in interest expense in the current period was primarily due to a significant increase in average borrowings on proprietary reverse mortgage loans, partially offset by a decrease in financing rates for the six-month period ended June 30, 2026, as well as a decrease in interest expense on securities sold short.
Current report — wording carried from elsewhere
For the six-month period ended June 30, 2026, average borrowings in the Longbridge segment were $2.2 billion and the average cost of funds was 5.32%. This compares to average borrowings of $1.1 billion and an average cost of funds of 5.68% for the six-month period ended June 30, 2025.
Current report — wording carried from elsewhere
Certain items of interest expense are not allocable to either the investment portfolio segment or the Longbridge segment, such as interest expense on Unsecured borrowings and certain cash collateral held by us. Total interest expense not allocable to either the investment portfolio segment or the Longbridge segment was $22.6 million and $8.5 million for the six-month periods ended June 30, 2026 and 2025, respectively. The rise in interest expense during the current period was due to an increase in the amount of unsecured notes outstanding in the current period.
Current report — wording carried from elsewhere
The table below summarizes the components of interest expense not included in either segment for the six-month periods ended June 30, 2026 and 2025.
Current report — wording carried from elsewhere
For the six-month period ended June 30, 2026, the net base management fee, which is based on total equity at the end of each quarter less any applicable rebates our Manager credited us, was $14.5 million as compared to $12.4 million for the six-month period ended June 30, 2025. The increase in the net base management fee period over period was due to a larger capital base at the end of each quarter end in 2026, as compared to the respective quarters in 2025. See Note 16 of the notes to our consolidated financial statements for further detail on management fee rebates.
Current report — wording carried from elsewhere
Investment and transaction related expenses consist of servicing fees on our mortgage and consumer loans, origination expenses, as well as various other expenses and fees directly related to our financial assets and certain financial liabilities carried at fair value. For the six-month periods ended June 30, 2026 and 2025, investment and transaction related expenses were $46.4 million and $32.3 million, respectively.
Current report — wording carried from elsewhere
For the six-month periods ended June 30, 2026 and 2025, Investment and transaction related expenses in our investment portfolio segment were $11.0 million and $8.3 million, respectively. The increase in investment and transaction related expenses was primarily due to an increase in investment-related expenses related to our residential and commercial mortgage loan and REO portfolios, as well as an increase in servicing expense on our larger average commercial mortgage loan portfolio during the period.
Current report — wording carried from elsewhere
Investment and transaction related expenses in the Longbridge segment primarily consist of servicing expense related to reverse mortgage loans and various loan origination expenses. For the six-month periods ended June 30, 2026 and 2025, Investment and transaction related expenses were $35.4 million and $24.0 million, respectively; such increase was primarily due to an increase in debt issuance costs related to other secured borrowings, at fair value, and an increase in various loan origination expenses and servicing expenses resulting from our larger origination volumes and larger holdings of reverse mortgage loans.
Current report — wording carried from elsewhere
Other operating expenses consist of professional fees, compensation and benefit expenses related to our dedicated or partially dedicated personnel, and various other operating expenses necessary to run our business. Other operating expenses exclude management and incentive fees, interest expense, and investment and transaction related expenses. Other operating expenses were $75.4 million for the six-month period ended June 30, 2026 as compared to $59.9 million for the six-month period ended June 30, 2025.
Current report — wording carried from elsewhere
For the six-month periods ended June 30, 2026 and 2025, other operating expenses in the Longbridge segment were $57.6 million and $45.7 million, respectively. These expenses primarily consist of compensation and benefits expense, and to a lesser extent of professional fees and various overhead costs including expenses related to technology and marketing. The period-over-period increase was primarily due to an increase in compensation and benefits expenses, partially offset by a decline in professional fees.
Current report — wording carried from elsewhere
Other income (loss) consists of net realized and unrealized gains (losses) on securities and residential mortgage, commercial mortgage, consumer, and corporate loans, financial derivatives, and real estate owned, unrealized gains (losses) on other secured borrowings, at fair value and Unsecured borrowings, at fair value, net change from HECM reverse mortgage loans, at fair value, and net change related to HMBS obligations, at fair value. Other, net, another component of Other income (loss), includes rental income and income related to loan originations, as well as income on MSRs and Forward MSR-related investments, unrealized gains (losses) on loan commitments, realized gains (losses) on foreign currency transactions, and unrealized gains (losses) on foreign currency remeasurement.
Current report — wording carried from elsewhere
Earnings (Losses) from Investments in Unconsolidated Entities
Current report — wording carried from elsewhere
(1)Includes realized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps and foreign currency transactions which are components of Other Income (Loss) on the Consolidated Statement of Operations).
Current report — wording carried from elsewhere
(2)Includes unrealized (gains) losses on securities and loans, REO, financial derivatives (excluding periodic settlements on interest rate swaps), borrowings carried at fair value, and foreign currency transactions which are components of Other Income (Loss) on the Consolidated Statement of Operations.
Current report — wording carried from elsewhere
(3)Represents net change in fair value of the HMBS MSR and Reverse MSRs attributable to changes in market conditions and model assumptions. This adjustment also includes net (gains) losses on certain hedging instruments (including interest rate swaps, futures, and short U.S. Treasury securities), which are components of realized and/or unrealized gains (losses) on financial derivatives, net, realized and/or unrealized gains (losses) on securities and loans, net, interest income, and interest expense on the Consolidated Statement of Operations.
Current report — wording carried from elsewhere
(4)Represents the effect of replacing mortgage loan interest income (net of securitization debt expense) with interest income of the retained tranches.
Current report — wording carried from elsewhere
(5)For the six-month period ended June 30, 2026, includes $2.4 million of non-capitalized transaction costs, $2.8 million of non-cash equity compensation and depreciation expense, and $0.4 million of various other expenses. For the six-month period ended June 30, 2025, includes $3.3 million of non-capitalized transaction costs, $1.9 million of non-cash equity compensation and depreciation expense, and $1.0 million of various other expenses.
Rearranged previous paragraphs (2)
Previous report — wording carried elsewhere
During the quarter, we continued to hedge interest rate risk through the use of interest rate swaps and short positions in TBAs, U.S. Treasury securities and futures.
Previous report — wording carried elsewhere
5.18%. Investments transferred as collateral under repos had an aggregate fair value of $3.5 billion and $3.3 billion as of March 31, 2026 and December 31, 2025, respectively. It is expected that amounts due upon maturity of our repos will be funded primarily through the roll/re-initiation of repos and, if we are unable or unwilling to roll/re-initiate our repos, through free cash and proceeds from the sale or securitization of assets being financed.