EARN - Earnings call transcript Q1 2024 | Ellington Residential Mortgage REIT

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Operator

Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Credit Company 2024 First Quarter Financial Results Conference Call. Today's call is being recorded. [Operator Instructions]It is now my pleasure to turn the floor over to Alaael-Deen Shilleh, Associate General Counsel. begin. may you Sir,

Alaael-Deen Shilleh

you. Thank

provisions begin, nature. certain I constitute remind we are safe like statements Act Securities of XXXX.Forward-looking would made during that statements harbor the statements of may historical the everyone the this Private within Reform in Before not meaning to of conference forward-looking call

call uncertainties variety cause on and Item from XA a company's should of As described results our its forward-looking risks this of as undertakes subject to future no this made actual X Penn, XA beliefs, of Smernoff, our me the as made call any Officer. Mark result obligation forward-looking Investment Annual Report whether are information, quarterly part on Chris otherwise.Joining you a report are and statements of company Form of statements or rely that Ellington Officer of forward-looking Officer, call, the projections.Consequently, events. during Tachosky, the could under our date are conference statement, Item and noted, to Unless on Company; revise Chief as today on XX-Q, Chief update events, predictions expectations, Credit or of differ estimates, statements Form not otherwise of Executive new XX-K Co-Chief and future our the Larry these Financial to and

release, quarter website, earnings -- press first conference is our earnings changed we've which our our to available presentation in on described ellingtoncredit.com. As call

presentation.With now call at Larry. the figures Our entirety notes in this of qualified presentation. to note the presentation, their comments Please that any this morning in over that, references turn to track will the will to by the I back are

Laurence Penn

CLO by and which Ellington to In our as more primary We REIT on return year, our our to shareholders risk good transition, To our fund reviewing corporate for class effectuate CLO our changed mezzanine April back that a focus believe appreciate Agency SEC and Board plan Company.Please we Thanks, greater reflection begin this X. strategic purposes.As the approved earns investment of RIC, asset or targeted your IPO tax RMBS, Credit to Ellington asset company's everyone. for these strategy turn Alaael-Deen, presentation. have classes and of to changes, which of our CLOs, adjustment convert transformation, over long equity.These we March, are since potential announced been closed-end investment interest I'll regulated transformation name have a ever morning, we for purposes in compared later specifically, we Company. had fundamental to to in time Slide on we company, election, debt provide term a strategic X a late XXXX. our the this Credit can and revoked and and

also our have name earnreit.com of changed We website the from to ellingtoncredit.com.

successful spans to symbol, conditions. variety a the are dividend.By on maintained listed our investing CLOs, wide of and Stock We across track EARN, $X.XX monthly New York will CLO-focused a more continue be shifting have we record a leveraging Ellington's E-A-R-N, secondary under or our decade share market of than in to we and strategy, long-standing which per Exchange ticker

hedging they in a CLOs loans, than capital began also rotating are turn transformation X, of floating and into first portion and with of equity, interest year, the and debt we particularly in seeing the remain our Then, CLO the returns, accomplish We mezzanine a or inefficient, by strategy. of the liquid plan very where last to working of the the approved since primarily CLO expectations, now as to that to point significantly significantly more allow EARN's debt that backed after us our to strategy. continue investment saw been we've pools leveraged we investments and the details strategy has buying and this to case. require excellent a EARN become began strong adjusted rate the where shareholders, our transformation. back, performing To-date, significant fund.Fortunately, strategy current combined million.Please Slide summarize the generated agency volatility.CLO cost convert will be growth typical drive strong require coming out high March, the above investments liquidating capital agency to transformation of the closed-end highly mezzanine less Looking have yields, These in CLOs.In parts agency typically we've markets margins the shareholders. portfolio which at focus investments anticipated value months, by distributable attractive transformation over the years, that now power our secondary net would pool agency on high matters recent pools, the despite earnings. also modest, our benefits of actually certain sectors, relative earnings to EARN's focus market am and equity but investments with confident less CLOs for in less rate of built market, financing many of is late up trading, the obtaining $XX September CLOs, pools.Finally, to interest CLO focused. I and support have active CLOs, particular we to EARN entry because over is returns concentrated shareholder agency approval and CLO the Furthermore, transformation, selling market expect compared for our free the CLO CLO complete, after for remaining investment Board sole a for after good of and of CLOs will our

capitalize EARN Ellington's to that to expertise, expect X given on CLO for opportunities will We to are create relative these CLO investing our inefficiencies.No of opportunities which value enable capture. and trading CLOs lots differentiated EARN extensive alike, should approach

Ellington's investing. will CLO which credit opportunities additional is differentiator hedging, of to another come Some from approach believe I

will Over to where fund/RIC a a of exposure credit, corporate certain it willing disconnected we our instruments. shareholder when traded provide, selectively election value, we regulated net strategic provide approval REIT rate Perhaps more elect year, to treated most as asset time, turn transformation, given you share convert volatility believe historically.Please the we add are and more markets valuation per are over market EARN's will avoiding believe also be we and we our going taxed growth. can for this focus factors, column value those entities, with that will gain book believe operating premiums also our timeline have access ability trading transformation. opportunistically returns, revoked many CLO a profile channels for are to new value hedge a of book will EARN's and Accordingly, have RIC, returns. pass-through investments opportunity to liquid structure, on for overall recent stable somewhat we new have are once this can fund, importantly, in focus total and by slide, that I Like we credit our that grow the can EARN also instruments pass-through focus, it an company, investment for closed-end this that forward. the as X, in we of earnings EARN a per taxable believe as are with RICs to CLO-focused experienced closed-end REITs, and Slide REIT the from capital C-Corp. see to in to all second performance as Later see contrasts to for we at matters This and effectuate makes for multiple, enhance revoked, we sense.There you reduce most are believe risk-adjusted thereby the our to due often obtain anticipated election value significantly we to high tax.We funds order agency the or these earlier, With hedging negative component interest or cycles, new the XXXX. expand that of situated which and book EARN's years purposes. now other currently to get are corporate-level erosion available, to mentioned the excited from generally tax open tax strategies, We also the to today reduce convexity.As result time-to-time.As our which closed-end about anticipate share which

to from period, $XXX while we lost to expect closed-end prepare with this for while a third million, of we Act.Furthermore, complete the portfolio the tax our exemption year perhaps on to is significant carryforwards, as offset XXXX came fund/RIC quarter. of complete. advantage to closed-end During conversion operating EARN above to core the conversion, we as and MBS, portfolio maintain net our until U.S. the of the our this to those We remain later take a track CLO liquid Agency soon majority federal into year, maintaining grow taxable fund/RIC our income, plan conversion

You corporate first the corporate www.ellingtoncredit.com. out at turn the X spreads slide, of first in investment you don't of the us, Ellington find yield Toward first, questions.Please backdrop CLOs, the And about quarter. Slide to outperformed the please for as now and the can In credit, credit the bottom market of MBS. located see quarter, website, Agency strategic tightened that, information for any high to presentation, can the presentation Credit in the section grade. reminder, transformation including a additional now is hesitate reach which, with to

CLO we fundamentals, straight months price has the And the benefited volatility. of XXXX, leverage volatility, Meanwhile, [ prices CLO to for the demand rates. continuation tranches. Holdings declining strong for our strong, the third, mezzanine of Morningstar remained tranches, on higher-for-longer spreads despite tightening board, most LSTA across consensus reflected interest MBS Leverage much with Investor mezzanine interest rate were rapid volume demand.This rate pronounced Index we've far. Agency of EARN's the concentrated rose ] the repayments quarter, driven where particularly investments in lower expectation by new-issue on saw This dynamic quarter. interest trends CLO Second, loans strengthening single-buretted final discount shifted inflows, so capital dollar the credit market of strengthened lagged for with loans Loan sixth CLO significant driving in a corporate as and leverage the existing especially and of the tighter

with slide, said, coupon for see portfolio option-adjusted stack.Please widened performance Slide quarter. see employing now started the translated CLO for that capital strong despite even the on the MBS, way, representing of You of return middle significant summary turn portfolio.That average first that quarterly that annualized our than to the given investment and in don't an than performance. led spreads that impression almost our regularly of for the CLO results to invested capital we X, that the income, less give Agency that from in the XX% XX% of leverage middle In was investment a tightening, XX% CLO across on our during can attributable EARN's on the of income north the to portfolio we quarter, can slide CLOs to our of spread quarter. contributing expect I That more half portfolio, want can the haven't you of of kind

Okay, while slide, earnings, to small positive see you our solidly well. portfolio moving that can down non-agency as agency the finished also contributed

net declined earnings adjusted from Our above Driven end, a CLOs.In NIMs the we overall CLO again see the share than this and X, when started X climbed leverage our CLO at in also it on portfolio. by our full quarter. operating addition, of on X.X was other margin quarter at ramping of by ratio quarter exceeded X driven $X.XX dividends EARN's Not low turns lower for X% distributable higher Slide leverage our CLOs, down larger X comfortably first per debt-to-equity interest X.X up the on of metrics. XX, you to our for overall $X.XX.Elsewhere impact our portfolio first the September end, year of to EARN's can to on was surprisingly, the

a percentage X.X%. You more require credit are of larger mainly leverage course, we above representing and on portfolio portfolio.Of to can overall now our add NIMS see here that ADE. higher And NIM credit the larger CLOs, which as climbed CLOs, drive strong investments, less the our is

that, interest to detail. rate Chris, add I'll our financial results that in of CLOs.And the of portfolio to with we over also I'll quarter pass more Finally, able given now the first rate our in reduce duration it quarter, were to lower first review for hedging interest the the Chris? size

Christopher Smernoff

and everyone.Please Slide of Thank for you, good X quarter financial Larry, Credit's a Ellington summary morning, to results. first turn

X, income can driven rate. catch-up of of strategy. margin you portfolio share distributable For quarter, expire, agency to the adjustment, also Because as CLO see strategy $X.XX impact amortization decline and quarter-over-quarter, from slide the expanded these ADE that be $X.XX investments of to this per positive you and income earnings of excludes we these X.XX% mostly a net off $XXX,XXX the on as our the by of own share sell asset loan overall EARN's XX, rate the our in lower Slide first credit our from we the net from discounts can some remained adjusted share. of cost quarter ADE quarter, elevated swaps, strategy net in growth X, the interest by CLO ended sequentially, interest NIMs per portfolio, yields, in X.XX% floating are future share. interest quarter.On reported fixed But net caused the income while $X.XX of negative income, which net per associated $X.XX a March driven from first the interest down swaps carry CLO investments. at agency overall The per realized we attribution by rate and at increased CLOs, positive. higher par, mezzanine to where income on fundsIn by a prepayments.The and mezzanine they positive lower benefit higher for see generated expect take driven on and portfolios quarters benefiting unrealized hedges.On and average benefit receive both pay interest income gains the to and strong continue we the and we seasoned our agency, we of to was the

lower volatility Agency MBS generated as pressured back.This the spreads for the consensus is of MBS, portfolio $X.XX pushed strategy agency the the Our timing per the quarter. Agency during the was portfolio interest share on concentrated. cut yield particularly and income rally rate for lower Reserve first in coupon higher, of Federal lagged and in where of rates February much yield MBS, for quarter, across interest market first drove broader Despite curve particularly credit, our

losses rate While and net agency for our inflows, return, to and capital modestly interest negative pools excess return by the in hedges, generated profitable the for meaningfully quarter, was Agency on net interest MBS as lower a yield agency spreads EARN's recover exceeded overall driven MBS the March, quarter net on excess volatility did treasuries.Despite portfolio negative negative gains income.

REIT portfolio by our in quarter, spread C-Corp.For net our used non-agency of income election revoked quarter, continue with generating January we've our year as intend year, portion driven performed mark-to-market came we the and income, attributable Larry a the as We to for income, into to the we we effective so operating taxable Finally, first on long share, of during substantial our of operate $X.XX offset our income, NOL reflects to tax as and those the first offset. interest loss this a forwards, we state currently as accrued we restrictions the utilization, strategic gains we the connection net federal well majority doing the and tightening.As per expense on to offset after federal which income. liability taxable cannot net an accrued transformation, so are operating mentioned, quarter, C-Corp. taxable carry Due taxable of and XXX% with of $XXX,XXX, our tax X a NOL in

XX% rate, value so our balance related value what deferred to note per remains asset Slide utilization XX year-end. our reported the of Slide now represented for not summary Our for Book with was our NOLs $X.XX to X.X%. a book share March reduced did of return which the we tax been tax assets, was ended sheet our XX, share Please cash share our around turn the from the of balance - total dividends book XX. tangible.Please effective fully for quarter. approximately of X.X% holdings. unencumbered sheet XX.X% on per to million that quarter turn on to NOLs, have would at in a quarter, in to $X.XX quarter at please equity.Next, portfolio the compared Including economic $XX.X and the $X.XX per our We

CLO During as $XX million as quarter, to of first increased compared our of portfolio to $XX million year-end. the XX March

at Over million to equity increased MBS of our Agency period, modestly.The $XXX interest-only the million non-Agency activity of XX. deployed year-end, the compared XX, mortgage-related as over $XXX and to our while March to securities MBS million, stands at holdings XX%. of March our million. XX% slightly same XX allocation declined our And from CLO as allocation size the to $XXX of to CLOs XX% from assets at May XX $XX decreased Including December our of holdings aggregate to portfolio RMBS increased declined, have Agency through while XX% currently holdings to

period, X.Xx of by debt-to-equity position to can XX, by adjusted a notional decreased our to our long trades see less larger of as XX, as Our decreased TBA basis RMBS, investments, to higher net year-end.The year-end, net RMBS at ratio position net XX, unsettled rate over partially compared for on as as compared a shareholders' also Slide you a March decline Similarly, mortgage our at March X.Xx on offset details the ratio compared portfolio.Finally, from CLO interest driven at Agency well to same by driven X.Xx Agency as equity. leverage on to TBA assets-to-equity a X.Xx, short portfolio. hedging notional was

overall Slide CLO the underlying the TBA quarter swaps. that portfolio hedging interest a such, interest lower much small interest the and of the rate, size in rate you on XX, of as portfolio now we to to nearly by notional of are and primarily short quarter, a the rate portfolio rate We The loans hedge can quarter-over-quarter, basis net our as turn will our continued Mark. rate presentation both use During share XX-year through position, floating with interest the risk, equivalence. see increased.On ended our over as duration.I CLOs declined have all measured

Mark Tecotzky

was was to the market showed credit hike Fed last spread very volatility started rallied pretty transitioned relatively from were lagged shedding implementing bank to quarter for in convexity. Corporate negative how from portion board, lower income MBS come. of funds But Fed a said, costs, from versus the yields of against That about portfolio. picture, of CLO monetize of The credit Agency hedging MBS of in wondering participation, EARN the and ADE our significant basically inflows for September, levered place across risk led other Chris. strong.That water when capture in more with appetite. We expectations actually able market hedging products, spreads for drag positioned well and lower a income we much It agency, Thanks, this products.Markets EARN. delta solid change significant demand it were the a rates favorable benefits and most structured would Agency quarter pivot, the limited This corporate with adding outperformance spread backdrop this XX.XX wondering backdrop. to fixed about as stable high sectors to instruments. meant first cut would was exposure

fundamentals, in advantage benign activity underlying portfolio. strong our market have lower our the prepayment as and corporate conditions now dollar we've lower. been borrowers a spread is costs extend benefiting loan also able activity projections excessive the many This market to way spreads, on discount refinance lowering the CLO deals to CLOs, from price liability flow refinancing in coupons to debt on CLO For loans to tranches, with tightening mez excess paydowns has available debt, many their welcome seen leading of the CLO By CLO tranche. their more borrowers debt to tranches refinance different costs able to maturities.Many and improved positions.Corporate in equity took equity the are debt debt their

Security market tail deals.This dynamic CLOs market, pull deal risk tests analyze investments, to the in level not reduced for over have to rated most the refi the deal quarter. contributed outperformance to also only fundamentals in We that systematically corporate upside. with bonds loans the in us the relative documentation, our Solid also selection of drove and CLO our loan give activity, triggers and percentage distressed reduced of - coupled similarly protect outperformance. our but

our together of quality future with to closely performance, uncover strong a work upside.That credit the credit our credit helped avoid we market discipline, loans addition, backdrop drive outsized specific In and stresses team potential assess returns. with of underlying to

non-Agency We appreciation demand. also to net RMBS had upside relative price the quite supply continues housing to a our nice of low Home the surprise is to and from contribution holdings.

like portfolio from being our few favorable transition a agency-focused spread are with we and we CLOs, is mind.First, a to so the While for product, environment this in managing CLO-focused, MBS goals portfolio Agency percentage to but will typical buffers. fully of liquidity want fully allocated we aiming the we while capital between stay shift time, to our are X relatively The sectors overall invested, over invested. stay maintaining

Second, prior transition our our exemption ongoing. been in keep progresses, we conversion.That RIC liquid, end. Act our in as a about QX, to in portfolio XX has post-quarter underway and bit concentrate had the is pools, in XX% agency more additional whole turnover portfolio need agency to We maintain activity and process will order and we our continue that want to to agency portfolio to

our earnings to for I portfolio quarter ADE, the in are we minimizing between continue approach pool returns but made during and helpful transition. disciplined selection summarize, have the with progress shift pools favor been am we has transition. in the drag mix and pleased to the keeping CLOs Our with CLOs.Looking will To up ahead, this of

to back current the Should see consistent that our with for upside Larry. dynamics, a portfolio. catalyst be expectations materialize With additional cuts Fed current market could market current in we outperformance.Now

Laurence Penn

the a the sector hindsight, performance last point, investing the In quarter was excellent the will attractive clearly its given to attractive for we've the returns been has CLO it's began over demonstrated I and over generate Despite over entry EARN continue in September. CLO spot credit the EARN, that was first since the to Mark. corporate rally, long-term.The as an especially bright market in spread investment Thanks, ability, then. opportunity, definitely yield September cycles recent since long-term in market seen tightening horizon. be believe

data volatility of in leverage as so just the sector to performance to high we leverage fund we portions out hawkish that treasury XXs. As remain and volatility history. loan XX highly in a its in results has market the low modest point, Agency amount hedges resulted the plan generated of CLO yield and April, us believe one index renewed about Moreover, to the Fed, above employ generate already first CLO significant spread the and the recent widening beyond in teens be index.Even spreads a alpha, for MBS can investments, over benchmark costs. tightening the attractive yet our on and picking we and we returns treasury quarter, after more positive continues yield and underperformed especially many assuming caused and closed-end in incur still benchmark years our Meanwhile, which XX-year the agency concerns boosted up delta returns again.Agency inefficient, equity hedging of April in the swap our that MBS inflation also see volatile,

Since to, MBS Fortunately, another be example quarter, positive. overall, May. closed-end this over quarter, after exposed less the slightly MBS fund estimate we've EARN's the have few our of should so conversion much second Agency CLO-focused and great is the years end, to to we in a in that is second CLO complete.Our reversed also continued economic we in volatility make well itself portfolio seen quarter far that the underperformance of portfolio. is much transitioning to the progress past has just But in far has continued this returns Agency perform we so

of million, drive high-risk that fund/RIC is and we new portfolio completed, about from to treasuries. interim to now qualify strongly debt-to-equity over a taken more portfolio agency that cost need adjusted Keep call our favorable generate XXXX to long-standing returns and structure about portfolio agency further, X, million.This capital growth track that I has repo chapter about I ahead. less record our now is extremely mentioned, now believe this is and before maintain for this CLO down down with the and $XXX whole has for we period, excited transformation Credit Act Chris please I'm distributable purposes. conversion As $XX shareholders.Once X.X our closed-end a in to successful as new shift here.With earnings to Ellington Operator, help excluding CLOs, volatility our Ellington mind continued to in ratio of fund, factors a during will closed-end to for a pools EARN. core a investing growth. should our also and adjusted that, questions. of dividend we'll access open believe these will future enable support go our to

Operator

take Piper question will Love first our with we from Sandler. Crispin And

Crispin Love

First, historically. just on strategic it's had announced, you've that from the transformation you shift a meaningful the agency strategy

your base? you regarding investors current current the been change, you conversations with And speak just would like expect a in to So can turnover investor meaningful with have shift? what this

Laurence Penn

I investor I Yes, it's mean, positive. think And They've had base, a so we've been few right. far, similar sure. conversations. pretty a

investor at at I even institutional to funds. point to this base, be I If base. potentially But do the institutional think do we it's going a fairly passive some you are in think, to current get it's some similar stock. from investor group incoming which going the retail-oriented calls that think a mostly retail positions in I pretty the establish overall, some, peer just investors small base, It's of the CLO-focused base, for closed-end same EARN's look the investor fund.So investor is

Crispin Love

then looks diversified, returns? Looking to presentation, no trend at That's major time, credit helpful. risk-adjusted concentrations. in And the expect CLO very the Great. be your over as to to you how well speak quality you as it can book, would and the expected book

So build excited the over there industries are time? specific just about, you you're curious as most out if portfolio

Laurence Penn

handle diversified across Mark, that? to want generally is do CLO industries. each again, Well, you

Mark Tecotzky

going introduce Greg actually Ellington. I'm effort these Sure. earnings CLO Bornstein, a new calls, the to at voice Heads to that of who

Greg Bornstein

to Nice everyone. meet

this the adapts. adapt will the and take opportunity I think market that the to portfolio as question, So

a see of in I the think mix mezz over run, generally the portfolio. you'll and equity long

and be. You generally where can BBB is see to going we're below

that started of the when versus was discount.Also mezz extreme had think mezz this, years. towards the we the in versus ramp last found with over traditionally elevated you XX we I had have a dynamic an what SOFR, where to an book. rates We weighting that equity September, more at we've

return I of quality see the though CLO to seeing continues credit mezz won't the much of rallied we're credit improve. coming trend think total closer with things exception to way market now where the the even profiles, the sensitive same has that from some par.We there,

I a about keep and this risk, the to this seeing think looking keep into that up when shift I slight spreads continuing improve the we to diversification CLO and liability resets is as as dividend, we're if this to issuance, tightening are with out. to refis portfolio continue continues continuing managing equity well and And as think see we'll trend bear this and think you'll we're in.The overall, grows. pay market equity its to that see

to will We so, to continue to book. scale to that odd be will opportunity and the want mindful as this liquidity. and rotate, filled changes.And as more it look I right think we're continues lots, looking if trade enter don't positions ramp, I over the time think to we we're see with now of grow, we as

slightly even I now diversified. think we maybe I though see still pretty ramp, with you'll think it's as sizes, us position larger

Operator

UBS. take Harter will Doug from our we next question And with

Douglas Harter

pieces? how pieces of much that from how mezz the and about current discount it's equity coming coupon accretion you and return the profile, between differs a Can versus talk the

Laurence Penn

I first from as in a we had mentioned, Doug, Well, lot spread tightening. quarter, the

this? don't first The Greg, tranches. on those think some themselves.So -- from debt probably In of have be does, projected I know implicitly opposed we going at yield -we if fingertips. mezzanine tranches But coupon you you're that equity, do have can as there's have sort terms we of but to is from as obviously it's don't field generally -- interest Greg, much how can the deals think now I to all, mezzanine, a in there. more do we amortization dollar coming the why average that the calculate right I referring price to those? spread our of accretion, versus mezz as we on With you equity in excess calculation

Greg Bornstein

in front CLOs, since we've don't in but I would talked generally investing time appreciation the mezz you than is more have you've I one the thing over the I price seen been period we've portfolio So, note from in me, would. general, about of think of

on price period I and as more more the a been in bit return market, think the normal captured. into XXs in down of and mezzanine very been margin particular, versus some appreciation certainly over move this beginning we're XXs that we'll seen in start range, you've I pieces in dollar that most cases, mezz whereas which is stressed that.And price beneath maybe think the of some resourcing up so, equity the price come little a time why probably has to more appreciation see total pieces

Laurence Penn

the page XX was that deck. was Slide of think XX look price I portfolio XX, say going right I you you dollar notes as should handle. currently, CLO the there's And March table well, actually of on earnings see to -- say if I of our And is average a can deck, the on

probably those So to some going -- is the I of on think be Greg, that that I'm give notes you of wrong.But over say, is, hundred opposed to of if I time yield indication the points good couple a basis accretion coupon. as to of due yield correct me discount would means can that so projected

you're most not, return about. asking the what certainly if it's of So not of sort that's

Greg Bornstein

go get guess comfort percentage this predictability as of to just to a as Yes, in, and cash trying support as dividend. you of kind the guess, the the grows monthly and I forward flow I

Laurence Penn

portfolio? spread notes, typical, typical in you roughly, say which these floating would know, SOFR. over is notes, the Greg, very so on rate which is the on You Yes, spread roughly,

Mark Tecotzky

Yes, to Doug, is Larry, about way it a thousand. a in it's a comes big Mark, are the discount like think with XXX to very those one coupon. mezz

there's get it's And MBS to like There's calls, sort IO. equity, it. when a the premium of mezz but into of bit. equity part because see that's coupon, a it different that a outsized loans portfolio, selection you'd security down flavors were then of And process.When looking for future kind So a refinancing. an lot of this on loan analogous prepayments, of thought had capturing MBS, that where was of it sort started pieces will prepayments, and almost you're was is discount above Greg little equity we the of you you outsized getting we lot where some definitely get the quarter ramping market there's that refied, we some but more paying then like to agency the almost where

Laurence Penn

range and SOFR to very of the end just bit low XXX, even of small if there. covering right your with with you're Yes, pick on you're coupon mezzanine, that a leverage, dividend plus

Operator

And take from will question next we with JonesTrading. Matthew our Erdner

Matthew Erdner

into the little CLOs? more the in pace transition think mentioned of of expand you and the you on a MBS in the and Could agency currently CLO? then XXX the XXX I out

Laurence Penn

if CLO, the really is been driving say we selling The CLO not as we've of Yes, how look, it's think way We're is of driving CLO right? around, you much what's pace kind MBS buy it, right? I adding, the other transition. just the

So a million what recently. is ramping look, we've $XX if month been of kind you

I quite that's think manageable.

of end in of, today, at to as where really X I able months complete and the after our we're more be be.So, And That's almost to at where quickly or I we that'll we million. let's plan get that, as quite I prepared point from then, plan low think $XXX to mentioned if close that, to. transition. of sort remarks kind after think to any million say would the put in we what or just now the July, we're expectations us, of so above $XX where

as going to course, to transformation, fund. had mentioned, the later a closed we I of million, we if And we're give end So conversion which or say year, I we shareholder this guess, a -- will would to of need sort the authorize $XXX vote have to take. to, will

Matthew Erdner

or then, with that you. to this That's happen? expect, we like one-time should stuff conversion, any expenses And Got helpful.

Laurence Penn

modest. to going modest. -- going that quite really think to they're I to be, they'll but, be Yes, sufficient I mean, quite mentioned I agencies is liquidate, we've think

been, has even So, noticeable, and think I far. so not

nothing going we'll know the extraordinary. transitions but I to where this, case been and but like quite been I of professional some here. portfolio, it's there've well, mean, course, have, as be liquidated other costly, fees legal especially but not some just the So,

be I proxy, been really, yes, the anything but So -- a in about. quarter, something I number we've, think, lot being not a think we that, to, it's second a I out put occurred so of expenses, we'll it's it's that that far, not concerned we've think, put out

So be of be, I of going these quite the are and the think in with on modest to will almost, blend rest kind returns the portfolio.

Operator

the you That We thank Ellington conference first call. quarter participating was for question final in financial Company today. our XXXX results Credit for

wonderful this time may have You day. a disconnect line at and your

Ellington Residential Mortgage REIT (EARN) 15 May 242024 Q1 Earnings call transcript