Ellington Financial Inc.
For the period ended Sep 30, 2026. Filed Nov 6, 2026.
View on SEC.govAbout this filing
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.
Sep 30, 2026 · Filed Nov 6, 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 2026-06-30; filed 2026-08-10.
0001628280-26-055148
Item 2. Management's Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2026-09-30; filed 2026-11-06.
0001628280-26-071569
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 384 previous paragraphs and 390 current paragraphs.
214 unchanged; 146 reworded; 27 added; 19 removed; 5 previous and 3 current paragraphs rearranged.
Tables are not compared: 46 previous and 43 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 (27)
Current report
•After maintaining its target range for the federal funds rate at its July meeting, the U.S. Federal Reserve (the "Federal Reserve") increased the target range by 25 basis points to 3.75%–4.00% at its September meeting, its first interest rate hike since 2023. At the September meeting, the Committee noted, “Inflation remains elevated. Today's policy action will support a timelier return to the Committee's 2 percent goal.”
Current report
•Interest rates rose significantly during the third quarter of 2026 amid persistent inflation, renewed tensions in the Middle East, and expectations for additional Federal Reserve tightening. Overall for the quarter, the 2-year U.S. Treasury yield rose 71 basis points to 4.89%, while the 10-year U.S. Treasury yield rose 82 basis points to 5.28%.
Current report
•In August, the U.S. Treasury announced that it would increase the maximum size of its liquidity support buyback operations for longer-dated nominal securities from $2 billion to at least $4 billion per operation, beginning in September. These purchases were intended to improve trading liquidity in this segment of the U.S. Treasury market.
Current report
•After declining during the previous quarter, interest rate volatility increased sharply in September.
Current report
•Equity volatility remained relatively low throughout the third quarter.
Current report
(3)Other residential mortgage loans include secondary market purchases of non-performing and re-performing mortgage loans and S&D loans.
Current report
Our total adjusted long investment portfolio increased by 4.5% sequentially, to $4.70 billion as of September 30, 2026. The increase was driven by net purchases of residential transition loans, closed-end second lien loans, Agency-eligible residential mortgage loans, prime jumbo residential mortgage loans, and commercial mortgage bridge loans, and a larger portfolio of retained RMBS. These increases were partially offset by the impact of continued securitization activity and a smaller Agency RMBS portfolio.
Current report
During the quarter, net interest income remained robust, while net gains on hedges more than offset net realized and unrealized losses. We benefited from strong performance across several strategies, led by retained tranches from securitizations of non-QM and Agency-eligible loans, commercial mortgage bridge loans, and equity investments in loan originators, particularly LendSure. Additional positive contributions came from retained tranches of closed-end second lien loan securitizations, non-Agency RMBS, CLOs, and corporate debt and equity. Earnings from unconsolidated entities further supported results. These results were partially offset by negative results in warehoused non-QM whole loans, residential transition loan retained tranches, CMBS, and residential and commercial REO.
Current report
During the quarter, we acquired a controlling interest in Statebridge Company, LLC ("Statebridge"), a diversified loan servicer. As of September 30, 2026, Statebridge serviced approximately 14,700 loans with an aggregate unpaid principal balance ("UPB") of $1.9 billion, nearly all for third-party clients, comprising approximately 3,500 non-QM and RTL loans with $1.1 billion of UPB, approximately 4,900 qualifying-mortgage loans with $0.6 billion of UPB, and approximately 6,300 consumer installment and commercial mortgage loans with $0.2 billion of UPB.
Current report
Longbridge originated $676.3 million of loans during the quarter, up 36% year over year, contributing to a 59% sequential increase in the net Longbridge portfolio to $1.0 billion as of September 30, 2026. Much of this increase was reversed upon the October settlement of a proprietary reverse mortgage loan securitization that priced in September.
Current report
Our unsecured notes generated mark-to-market gains as a result of higher interest rates, although this was partially offset by credit spread tightening on our existing notes, reflecting the tighter pricing achieved on our add-on offering of 7.375% senior notes in September. Related debt issuance costs were fully expensed at issuance. We also recorded a realized loss on the par redemption of our 6% senior notes, which were carried at a discount to par. Finally, results reflected higher income tax expense.
Current report
(2)Conformed to current period presentation.
Current report
(1)Amounts include the related net accretion and amortization of purchase discounts and premiums.
Current report
For each of the three-month periods ended September 30, 2026 and 2025, Investment and transaction related expenses in our investment portfolio segment were $5.7 million.
Current report
For the three-month period ended September 30, 2026, other income (loss) from the Longbridge segment was $42.0 million, consisting primarily of Net change from HECM reverse mortgage loans, at fair value of $85.4 million, net gains of $39.8 million on financial derivatives, and net gains of $67.6 million on Other secured borrowings, at fair value, and $6.7 million of Other, net, which were partially offset by $(84.7) million of net losses on securities and loans and Net change related to HMBS obligations, at fair value of $(72.5) million. Net change from HECM reverse mortgage loans at fair value of $85.4 million primarily consisted of $163.0 million of coupon income on HECM loans, net realized and unrealized losses of $(49.9) million on HECM loans primarily driven by the impact of higher interest rates which is partially offset by profitable new originations and tail fundings, and net losses of $(27.7) million on the HMBS MSR driven by runoff and valuation change. Net gains of $39.8 million on financial derivatives primarily reflected the impact of higher interest rates on our interest rate swaps, short TBAs, and U.S. Treasury futures. Net losses of $(84.7) million on securities and loans were primarily driven by unrealized losses on proprietary reverse mortgage loans resulting from the impact of higher interest rates and lower-than- expected home price growth, partially offset by net gains of $67.6 million on Other secured borrowings, related to debt tranches of our consolidated proprietary reverse mortgage loan securitizations and gains on short positions in U.S. Treasury securities. Net change related to HMBS obligations, at fair value of $(72.5) million primarily consisted of $(151.6) million of interest expense on the HMBS obligations, which partially offset the interest income on HECM loans, and net unrealized gains of $79.0 million on the HMBS obligations primarily driven by the impact of higher interest rates. Other, net of $6.7 million is primarily related to $4.8 million of origination fees and $1.9 million of servicing fees.
Current report
For the three-month period ended September 30, 2026, other income (loss) was $(1.6) million. Higher interest rates during the third quarter resulted in losses on the fixed receiver interest rate swaps used to hedge the fixed payments on our unsecured notes and preferred equity. We also recorded a realized loss on the par redemption of our 6.00% senior notes, which were carried at a discount to par. These losses together exceeded the mark-to-market gains on our unsecured notes. Those gains were driven by higher interest rates but were partially offset by credit spread tightening on our existing notes, reflecting the tighter pricing achieved on our September add-on notes offering. For the three-month period ended September 30, 2025, other income (loss) was $(3.3) million, consisting primarily of net losses on our Unsecured borrowings, at fair value and related hedges.
Current report
Income tax expense (benefit) was $2.0 million for the three-month period ended September 30, 2026, as compared to $1.1 million for the three-month period ended September 30, 2025.
Current report
For the three-month period ended September 30, 2026, Earnings (losses) from investments in unconsolidated entities of $2.1 million primarily consisted of net realized and unrealized gains on investments in loan originators partially offset by net realized and unrealized losses on investments in risk retention vehicles related to residential mortgage loan securitizations.
Current report
The table below summarizes the components of interest expense(1) in our Investment Portfolio for the nine-month periods ended September 30, 2026 and 2025.
Current report
Net interest margin, as defined above, on our investment portfolio for the nine-month periods ended September 30, 2026 and 2025 was 3.42% and 3.18%, respectively.
Current report
The table below summarizes the components of interest expense(1) in the Longbridge segment for the nine-month periods ended September 30, 2026 and 2025.
Current report
For the nine-month period ended September 30, 2025, other income (loss) from the Longbridge segment was $108.8 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $551.8 million, net gains of $42.3 million on securities and loans, and $22.1 million of Other, net, which were partially offset by Net change related to HMBS obligations, at fair value of $(460.7) million, net losses of $(33.6) million on Other secured borrowings, at fair value, and net losses of $(13.5) million on financial derivatives. Net change from HECM reverse mortgage loans at fair value of $551.8 million primarily consisted of $448.2 million of coupon income on HECM loans, as well as net realized and unrealized gains of $105.0 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 $(460.7) million primarily consisted of $(418.2) million of interest expense on the HMBS obligations and net unrealized losses of $(42.5) million on the HMBS obligations, which partially offset the interest income and net realized and unrealized gains on HECM loans. Other, net of $22.1 million is primarily related to $14.0 million of origination fees and $6.0 million of servicing fees. Net gains of $42.3 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, and gains on short positions in U.S. Treasury securities.
Current report
Income tax expense (benefit) was $3.0 million for the nine-month period ended September 30, 2026, as compared to $2.4 million for the nine-month period ended September 30, 2025.
Current report
Beginning with the three- and nine-month periods ended September 30, 2026, Adjusted Distributable Earnings is presented after incentive fee expense. Adjusted Distributable Earnings presented for prior periods have been conformed to the current-period presentation.
Current report
(6)Includes the Company's proportionate share of net interest income, net loan origination income (expense), and operating expenses for certain investments in unconsolidated entities, including certain of its non-consolidated equity investments in loan originators that have been making (or are expected to make) distributions to the Company.
Current report
(6)Includes the Company's proportionate share of net interest income, net loan origination income (expense), and operating expenses for certain investments in unconsolidated entities, including certain of its non-consolidated equity investments in loan originators that have been making (or are expected to make) distributions to the Company.
Current report
On November 2, 2026, the Company issued 7,074 common shares to the Manager in connection with the payment of incentive fees incurred for the three-month period ended September 30, 2026.
Removed paragraphs (19)
Previous 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.
Previous report
•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 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%.
Previous report
•After rising significantly in March, equity volatility declined sharply in April, rose again in early June, and then declined into quarter end.
Previous 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.
Previous 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.
Previous report
(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.
Previous 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.
Previous 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.
Previous 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.
Previous 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.
Previous 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.
Previous 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.
Previous 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:
Previous report
(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.
Previous 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.
Previous 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.
Previous report
For the six-month period ended June 30, 2025, other income (loss) from the Longbridge segment was $70.3 million, consisting primarily of gains from Net change from HECM reverse mortgage loans, at fair value of $345.8 million, net gains of $30.1 million on securities and loans, and $14.3 million of Other, net, which were partially offset by Net change related to HMBS obligations, at fair value of $(289.7) million, net losses of $(21.0) million on Other secured borrowings, at fair value, and net losses of $(9.6) million on financial derivatives. Net change from HECM reverse mortgage loans at fair value of $345.8 million primarily consisted of $297.1 million of coupon income on HECM loans, as well as net realized and unrealized gains of $52.1 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 $(289.7) million primarily consisted of $(277.2) million of interest expense on the HMBS obligations and net unrealized losses of $(12.5) million on the HMBS obligations, which partially offset the interest income and net realized and unrealized gains on HECM loans. Other, net of $14.3 million is primarily related to $8.6 million of origination fees and $4.1 million of servicing fees. Net gains of $30.1 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.
Previous report
Income tax expense (benefit) was $1.0 million for the six-month period ended June 30, 2026, as compared to $1.4 million for the six-month period ended June 30, 2025.
Reworded paragraphs (146)
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.
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 retained tranches from securitizations to which we have contributed assets, and 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
We also acquire residential mortgage loans that have been originated in compliance with U.S. government Agency or government-sponsored enterprise ("GSE") guidelines that are eligible for sale to or securitization by the GSEs ("Agency-eligible residential mortgage loans"). Such loans may be collateralized by owner-occupied or non-owner occupied properties.
Current wording
We also acquire residential mortgage loans that have been originated in compliance with U.S. government Agency or government-sponsored enterprise ("GSE") guidelines and are eligible for sale to or securitization by the GSEs ("Agency-eligible residential mortgage loans"). Such loans may be collateralized by owner-occupied or non-owner-occupied properties. In addition, we acquire prime jumbo loans and scratch-and-dent loans ("S&D loans"). Jumbo loans are residential mortgage loans with original principal balances exceeding the applicable conforming loan limits established by the FHFA. These limits vary by geographic area and the number of units in the property. Because they exceed the applicable limits, jumbo loans are not eligible for purchase by Fannie Mae or Freddie Mac. S&D loans are residential loans that were excluded from a securitization (or sale to a GSE) due to documentation deficiencies, underwriting or originator errors, or other defects. These loans may have been rejected by a GSE for purchase or repurchased by the originator following a sale. The S&D designation does not necessarily indicate borrower delinquency.
Previous wording
We consolidate Longbridge, which acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Historically, the majority of loans acquired by Longbridge have been home equity conversion mortgage loans ("HECMs"), which are insured by FHA and eligible for inclusion in GNMA-guaranteed HECM-backed MBS ("HMBS"). Longbridge is an approved issuer of HMBS, and it pools and securitizes the majority of its HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. In addition, Longbridge opportunistically acquires, in the secondary market, HECM loans that have been mandatorily repurchased from HMBS pools ("HECM Buyout Loans") by other HECM servicers upon the outstanding principal balance of such loans reaching 98% of their respective maximum claim amount. Depending on their status, HECM Buyout Loans are either eligible to be assigned to HUD in connection with an FHA insurance claim ("assignable buyout loans" or "ABOs"), or ineligible to be assigned to HUD ("non-assignable buyout loans" or "NABOs").
Current wording
We consolidate Longbridge, which acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Longbridge originates and purchases home equity conversion mortgage loans ("HECMs"), which are insured by FHA and eligible for inclusion in GNMA-guaranteed HECM-backed MBS ("HMBS"). Longbridge is an approved issuer of HMBS, and it pools and securitizes the majority of its HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. In addition, Longbridge opportunistically acquires, in the secondary market, HECM loans that have been mandatorily repurchased from HMBS pools ("HECM Buyout Loans") by other HECM servicers upon the outstanding principal balance of such loans reaching 98% of their respective maximum claim amount. Depending on their status, HECM Buyout Loans are either eligible to be assigned to HUD in connection with an FHA insurance claim ("assignable buyout loans" or "ABOs"), or ineligible to be assigned to HUD ("non-assignable buyout loans" or "NABOs").
Previous wording
We enter into credit-hedging positions in order to protect against adverse credit events with respect to our credit investments, subject to maintaining our qualification as a REIT. Our credit hedging portfolio can vary significantly from period to period, and can encompass a wide variety of financial instruments, including corporate debt or equity-related instruments, RMBS- or CMBS-related instruments, or instruments involving other markets. Our hedging instruments can include both "single-name" instruments (i.e., instruments referencing one underlying entity or security) and hedging instruments referencing indices.
Current wording
We enter into credit-hedging positions in order to protect against adverse credit events with respect to our credit investments, subject to maintaining our qualification as a REIT. Our credit hedging portfolio can vary significantly from period to period, and can encompass a wide variety of financial instruments, including corporate debt or equity-related instruments,
Previous wording
•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 wording
•The Summary of Economic Projections released following the September meeting reflected a more hawkish outlook than in June, with policymakers modestly raising their inflation and economic growth forecasts and revising upward the projected path of the federal funds rate. The median projection implied one additional 25-basis-point increase by year end.
Previous wording
•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 wording
•Following the Supreme Court's February decision invalidating certain tariffs imposed under the International Emergency Economic Powers Act, the U.S. administration introduced a temporary 10% global tariff. That tariff expired in July upon reaching its 150-day statutory limit and was replaced by new Section 301 tariffs of 10% or 12.5% on imports from 60 trading partners, including the European Union, subject to certain product exemptions. Many existing sector- and country-specific tariffs remained in place, and considerable uncertainty continued to cloud the outlook for U.S. trade policy.
Previous wording
•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 wording
•Mortgage rates generally tracked the increase in long-term interest rates in the third quarter. The Freddie Mac survey 30-year mortgage rate increased from 6.49% as of June 25 th to 7.03% as of September 24 th.
Previous 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.
Current wording
•Secured Overnight Financing Rates ("SOFR") also rose during the third quarter. The one-month SOFR rate rose by 26 basis points to 3.91%, while the three-month SOFR rate increased by 35 basis points to 4.08%. 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 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.
Current wording
•The S&P Cotality Case-Shiller U.S. National Home Price NSA Index rose by 3.0% year-to-date through August 2026. Meanwhile, the National Association of Realtors Housing Affordability Index declined by 5.4% year-to-date through the end of September, as higher mortgage rates and elevated home prices strained housing affordability.
Previous wording
•With mortgage rates rising during the second quarter, the Mortgage Bankers Association's Refinance Index decreased by 12.4% quarter over quarter.
Current wording
•With mortgage rates rising during the third quarter, the Mortgage Bankers Association's Refinance Index continued to decline, falling 32.7% quarter over quarter.
Previous 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.
Current wording
•Mortgage prepayment speeds slowed further, with the Fannie Mae 30-year MBS registering CPRs of 8.2%, 7.2%, and 6.7% in July, August, and September, respectively.
Previous 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.
Current wording
•U.S. real GDP expanded at an estimated annualized rate of 3.4% in the third quarter of 2026, after expanding at an annualized rate of 2.2% in the prior quarter. Meanwhile, the unemployment rate was 4.2% in both June and September.
Previous 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.
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 3.4% in both July and August before rising to 3.7% in September, compared with 3.8% in April, 4.2% in May, and 3.5% in June. Renewed military strikes in the Middle East, disruptions to shipping through the Strait of Hormuz, and attacks on energy infrastructure contributed to sharply higher oil prices. Brent crude futures rose from approximately $72 per barrel at the start of July to above $100 in September, adding to inflation concerns.
Previous 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.
Current wording
•For the third quarter, the Bloomberg U.S. MBS Index posted a negative return of (4.29%) and a negative excess return (on a duration-adjusted basis) of (1.18%) relative to the Bloomberg U.S. Treasury Index.
Previous 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.
Current wording
•The Bloomberg U.S. Corporate Bond Index generated a negative return of (3.97%) and a negative excess return of (0.17%) for the quarter. The Bloomberg U.S. Corporate High Yield Bond Index generated a negative return of (1.86%) and a negative excess return of (0.71%). Corporate credit spreads widened over the quarter, with spreads on the Markit CDX North America Investment Grade and High Yield Indices widening by 2 and 23 basis points, respectively.
Previous 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%.
Current wording
•After a strong second quarter, U.S. equity market performance was mixed in the third quarter. Strong corporate earnings and continued AI enthusiasm supported the technology sector, but sharply higher interest rates, persistent inflation, and geopolitical concerns weighed on the market more broadly. Overall, the NASDAQ rose by 2.5% and the S&P 500 rose by 2.0%, while the Dow Jones Industrial Average fell by 2.7%. Meanwhile, London's FTSE 100 index rose by 1.0%, while the MSCI World global equity index increased by 1.6%.
Previous wording
(3)Includes related REO. In accordance with U.S. GAAP, 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.
Current wording
(2)Includes related REO. In accordance with U.S. GAAP, 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.
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(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.
Current wording
(4)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 $1.12 billion and $1.03 billion as of September 30, 2026 and June 30, 2026, respectively.
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(6)Includes equity investments in securitization-related vehicles.
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(5)Includes equity investments in securitization-related vehicles.
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(7)Includes corporate loans to certain loan origination entities in which we hold an equity investment.
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(6)Includes corporate loans to certain loan origination entities in which we hold an equity investment.
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(8)Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interests in entities holding such RMBS.
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(7)Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interests in entities holding such RMBS.
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(9)Includes equity investment in Ellington affiliate.
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(8)Includes equity investment in Ellington affiliate.
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(10)Includes equity investment in an unconsolidated entity which purchases certain other loans for eventual securitization.
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(9)Includes equity investment in an unconsolidated entity which purchases certain other loans for eventual securitization.
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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.
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Credit performance in our loan businesses remained strong, with sequentially lower 90-day delinquency rates and continued low life-to-date realized loan losses.
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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.
Current wording
During the quarter, the net interest margin on our investment portfolio increased to 3.55% from 3.36%, as higher asset yields were only partially offset by higher funding costs (including the effect of actual and accrued periodic payments on interest rate swaps). We continued to hedge interest rate risk using interest rate swaps and short positions in TBAs, U.S. Treasury securities and futures. We also benefited from modestly higher positive carry on our interest rate swaps, with our weighted average receive rate continuing to exceed our weighted average pay rate.
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(1)Excludes commercial mortgage loans in non-accrual status, with a fair value of $85.5 million.
Current wording
(1)Excludes commercial mortgage loans in non-accrual status, with a fair value of $87.7 million.
Previous 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.
Current wording
As of September 30, 2026, we held four commercial REO properties with a fair value of $25.2 million. Additionally, as of September 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 $51.3 million.
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(1)Other residential mortgage loans include secondary market purchases of non-performing and re-performing mortgage loans.
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(1)Other residential mortgage loans include secondary market purchases of non-performing and re-performing mortgage loans and S&D loans.
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(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.
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 $19.6 million and $13.2 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 $53.2 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:
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 $50.9 million as of September 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 September 30, 2026:
Previous 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.
Current wording
(1)Excludes consumer loans with an aggregate unpaid principal balance and fair value of $105.4 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.
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As discussed in Note 13 of the Notes to the Consolidated Financial Statements, when Longbridge pools HECM loans into HMBS, such transfers do not qualify as sales under U.S. GAAP, and as a result, such transactions are treated as secured borrowings on our Consolidated Balance Sheet. The pooled HECM loans are included in Loans, at fair value, and the related liabilities are reflected as HMBS-related obligations, at fair value. After pooling the HECM loans into HMBS, Longbridge retains the mortgage servicing rights associated with such HECM loans, which we refer to as the "HMBS MSR."
Current wording
As discussed in Note 13 of the Notes to the Consolidated Financial Statements, when Longbridge pools HECM loans into HMBS, the transfers do not qualify as sales under U.S. GAAP and, as a result, such transactions are treated as secured borrowings on our Consolidated Balance Sheet. The pooled HECM loans are included in Loans, at fair value, and the related liabilities are reflected as HMBS-related obligations, at fair value. After pooling the HECM loans into HMBS, Longbridge retains the associated mortgage servicing rights, which we refer to as the "HMBS MSR."
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(3)Includes HECM loans, REO, and claims or other receivables.
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(2)Includes HECM loans, REO, and claims or other receivables.
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(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 wording
(3)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.
Previous 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.
Current wording
(4)As of September 30, 2026, includes $25.2 million of active HECM buyout loans, $28.0 million of inactive HECM buyout loans, $8.1 million of other inactive HECM loans, and $5.1 million of REO. 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 million of REO.
Previous 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.
Current wording
(5)As of September 30, 2026, includes $1.9 billion of securitized proprietary reverse mortgage loans and related REO, $30.8 million of cash held in a securitization reserve fund, and $21.0 million of investment related receivables. 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.
Previous 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.
Current wording
Our Longbridge segment reported positive results for the third quarter, with contributions from both originations and servicing. Originations benefited from sequentially higher origination volumes and net gains from a proprietary reverse mortgage loan securitization priced during the quarter, partially offset by origination margin compression amid higher interest rates. Meanwhile, servicing benefited from strong tail securitization executions, steady base servicing net income, and gains on MSR-related hedges, partially offset by a mark-to-market loss on the HMBS MSR. The Longbridge segment also generated significant net gains on "enterprise" interest-rate hedges intended to mitigate the potential impact of higher interest rates on origination profits. Results also reflected a net unrealized loss on the retained tranches of consolidated proprietary reverse mortgage loan securitization trusts, driven by revised home price projections.
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The following table summarizes origination volumes by product and channel for the three-month periods ended June 30, 2026:
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The following table summarizes origination volumes by product and channel for the three-month period ended September 30, 2026:
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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 wording
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 period ended September 30, 2026:
Previous wording
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 wording
The following table presents the net profit (loss) related to the HMBS MSR, as discussed above, for the three-month period ended September 30, 2026:
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Current report — wording carried from elsewhere
RMBS- or CMBS-related instruments, or instruments involving other markets. Our hedging instruments can include both "single-name" instruments (i.e., instruments referencing one underlying entity or security) and hedging instruments referencing indices.
Current report — wording carried from elsewhere
(7)Adjusted Distributable Earnings is calculated net of incentive fee expense, which was $0.9 million, or $0.01 per common share, for the three-month period ended September 30, 2026. The incentive fee is calculated by reference to a rolling four-quarter period and is based on Adjusted Net Income, a measure defined in our management agreement, rather than on Adjusted Distributable Earnings, which is based only on the current period. Adjusted Net Income takes into account realized and unrealized gains and losses from our investment portfolio, any extraordinary items and certain other items, all of which are excluded from Adjusted Distributable Earnings.
Current report — wording carried from elsewhere
(7)Adjusted Distributable Earnings is calculated net of incentive fee expense, which was $21.0 million, or $0.17 per common share and $4.5 million, or $0.05 per common share, for the nine-month periods ended September 30, 2026 and 2025, respectively. The incentive fee is calculated by reference to a rolling four-quarter period and is based on Adjusted Net Income, a measure defined in our management agreement, rather than on Adjusted Distributable Earnings, which is based only on the current period. Adjusted Net Income takes into account realized and unrealized gains and losses from our investment portfolio, any extraordinary items and certain other items, all of which are excluded from Adjusted Distributable Earnings.
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Previous report — wording carried 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.
Previous report — wording carried elsewhere
(4)Other residential mortgage loans include secondary market purchases of non-performing and re-performing mortgage loans.
Previous report — wording carried 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.
Previous report — wording carried 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.
Previous report — wording carried elsewhere
Subsequent to June 30, 2026, we issued 1,294,071 shares of common stock under the Common ATM Program which provided $17.5 million of net proceeds after $0.1 million of agent commissions and $50 thousand of offering costs.