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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM 8-K

CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported): May 14, 2024

Ellington Credit Company
(Exact name of registrant specified in its charter)
Maryland001-3589646-0687599
(State or Other Jurisdiction Of Incorporation)(Commission File Number)(IRS Employer Identification No.)
53 Forest Avenue
Old Greenwich, CT 06870
(Address of principal executive offices, zip code)

Registrant's telephone number, including area code: (203) 698-1200

Not applicable
(Former name or former address, if changed since last report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
☐Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Securities registered pursuant to Section 12(b) of the Act:
Title of Each ClassTrading Symbol(s)Name of Each Exchange on Which Registered
Common Shares of Beneficial Interest, $0.01 par value per share
EARN
The New York Stock Exchange
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§ 230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§ 240.12b-2 of this chapter).
Emerging growth company    ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.     ☐


Item 2.02    Results of Operations and Financial Condition.
The information in this Item 2.02 and the disclosure incorporated by reference in Item 7.01 with respect to Exhibit 99.1 attached to this Current Report on Form 8-K are being furnished by Ellington Credit Company (the "Company") pursuant to Item 7.01 of Form 8-K in satisfaction of the public disclosure requirements of Regulation FD and Item 2.02 of Form 8-K, insofar as they disclose historical information regarding the Company’s results of operations or financial condition for the quarter ended March 31, 2024.
On May 14, 2024, the Company issued a press release announcing its financial results for the quarter ended March 31, 2024. A copy of the press release is furnished herewith as Exhibit 99.1 to this Current Report on Form 8-K and is incorporated herein by reference.
In accordance with General Instructions B.2 and B.6 of Form 8-K, the information included in Item 2.02 and the disclosure incorporated by reference in Item 7.01 shall not be deemed "filed" for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or otherwise subject to the liabilities of that section, nor shall it be deemed incorporated by reference into any filing made by the Company under the Exchange Act or the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such a filing.
Item 7.01    Regulation FD Disclosure.
The disclosure contained in Item 2.02 is incorporated herein by reference.
Item 9.01    Financial Statements and Exhibits.
(d) Exhibits. The following exhibits are being furnished herewith this Current Report on Form 8-K.
104    Cover Page Interactive Data File (embedded within the Inline XBRL document)


SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
ELLINGTON RESIDENTIAL MORTGAGE REIT
Dated:May 14, 2024By:/s/ Christopher Smernoff
Christopher Smernoff
Chief Financial Officer


Exhibit 99.1
Ellington Credit Company Reports First Quarter 2024 Results
OLD GREENWICH, Connecticut—May 14, 2024
Ellington Credit Company, formerly known as Ellington Residential Mortgage REIT (NYSE: EARN) ("we", "us," or "our"), today reported financial results for the quarter ended March 31, 2024.
Highlights
•Net income (loss) of $4.0 million, or $0.20 per share.
•Adjusted Distributable Earnings1 of $5.3 million, or $0.27 per share.
•Book value of $7.21 per share as of March 31, 2024, which includes the effects of dividends of $0.24 per share for the quarter.
•Net interest margin2 of 2.46% on Agency, 9.65% on credit, and 3.03% overall.
•Weighted average constant prepayment rate ("CPR") for the fixed-rate Agency specified pool portfolio of 5.23.
•Net mortgage assets-to-equity ratio of 5.4:14 as of March 31, 2024.
•CLO portfolio grew to $45.1 million as of March 31, 2024.
•Capital allocation5 as of March 31, 2024: 75% mortgage-related securities, 25% corporate CLOs.
•Maintained $0.08 per common share regular monthly dividend. Dividend yield of 13.4% based on the May 13, 2024 closing stock price of $7.14, and monthly dividend of $0.08 per common share declared on May 7, 2024.
•Debt-to-equity ratio of 4.8:1 as of March 31, 2024; adjusted for unsettled purchases and sales, debt-to-equity ratio of 4.9:1 as of March 31, 2024.
•Cash and cash equivalents of $22.4 million as of March 31, 2024, in addition to other unencumbered assets of $57.1 million.
Strategic Transformation
On March 29, 2024, our Board of Trustees approved a strategic transformation of our investment strategy to focus on corporate CLOs, with an emphasis on mezzanine debt and equity tranches. In connection with this transformation, we revoked our election to be taxed as a REIT effective January 1, 2024.
Later in 2024, we intend, subject to shareholder approval of certain matters, to convert to a closed-end fund registered under the Investment Company Act of 1940, as amended (the "1940 Act") that would be treated as a regulated investment company ("RIC") under the Internal Revenue Code of 1986, as amended, and complete our transition from an MBS-focused company to a CLO-focused company. In the meantime, we will operate as a taxable C-Corp and plan to take advantage of our significant existing net operating loss carryforwards to offset the majority of our U.S. federal taxable income we may generate while operating as a taxable C-Corp.
As part of the strategic transformation, we rebranded as Ellington Credit Company and updated our web address to www.ellingtoncredit.com. We will continue to be listed on the New York Stock Exchange under our ticker symbol EARN.
First Quarter 2024 Results
"Driven in large part by excellent performance from our CLO portfolio, in the first quarter Ellington Credit Company generated net income of $0.20 per share and adjusted distributable earnings of $0.27 per share, which again more than covered our dividend," said Laurence Penn, Chief Executive Officer and President. "Similar to the prior quarter, our ongoing rotation into CLOs expanded our net interest margin and reduced our overall leverage. In addition, we reduced the size of our interest rate hedging portfolio in the first quarter, given that our CLOs are predominantly backed by floating-rate loans and, as such, have much more limited interest rate duration risk.
1 Adjusted Distributable Earnings is a non-GAAP financial measure. See "Reconciliation of Adjusted Distributable Earnings to Net Income (Loss)" below for an explanation regarding the calculation of Adjusted Distributable Earnings.
2 Net interest margin of a group of assets represents the weighted average asset yield less the weighted average cost of borrowings secured by those assets (including the effect of net interest income (expense) related to U.S. Treasury securities and actual and accrued payments on interest rate swaps used to hedge such borrowings); net interest margin excludes the effect of the Catch-up Amortization Adjustment.
3 Excludes recent purchases of fixed rate Agency specified pools with no prepayment history.
4 We define our net mortgage assets-to-equity ratio as the net aggregate market value of our mortgage-backed securities (including the underlying market values of our long and short TBA positions) divided by total shareholder's equity. As of March 31, 2024 the market value of our mortgage-backed securities and our net short TBA position was $767.0 million and $(3) thousand, respectively, and total shareholders' equity was $142.9 million.
5 Percentages shown are of net assets, as opposed to gross assets, deployed in each strategy.
1

"We more than doubled our CLO portfolio to $45 million in the first quarter. Including investment activity through May 13th, our CLO portfolio now stands at approximately $60 million. Meanwhile, our Agency MBS pool investments are concentrated in liquid sectors. As a result, the cost of liquidating these pools to free up capital for CLOs has been very modest so far, and we expect this to continue.
"While we continue our transition to a closed-end fund, we expect to grow the CLO portfolio above $100 million, while maintaining a core portfolio of liquid Agency MBS pools to maintain our exemption from the 1940 Act during this interim period. We are operating as a taxable C-Corp during this transitional period, but we entered 2024 with significant net operating loss carryforwards, and we plan to utilize those NOLs to offset the majority of our U.S. federal taxable income until our conversion to a closed-end fund/RIC is completed. We remain on track to complete our conversion later this year.
"I am extremely excited about this new chapter for EARN. Ellington Management Group has a longstanding and successful track record of investing in CLOs, and I strongly believe that this shift will generate higher risk-adjusted returns, with less volatility, for Ellington Credit shareholders. Once our conversion to a closed-end fund/RIC is completed, our new structure should also enable us to access a more favorable cost of capital to support future growth. I believe that these factors will help drive ADE and dividend growth from here."
Financial Results
The following table summarizes our portfolio of long investments as of March 31, 2024 and December 31, 2023:
March 31, 2024December 31, 2023
($ in thousands)Current PrincipalFair Value
Average Price(1)
Cost
Average Cost(1)
Current PrincipalFair Value
Average Price(1)
Cost
Average Cost(1)
Credit Portfolio:
CLOs
CLO Notes$39,096 $33,761 86.35 $32,413 82.91 $16,876 $14,491 85.87 $14,441 85.57 
CLO Equity n/a 11,327 n/a11,602 n/an/a2,926 n/a2,947 n/a
Total CLO45,088 44,015 17,417 17,388 
Non-Agency RMBS(2)
9,942 9,647 97.03 8,134 81.81 9,953 9,409 94.53 8,189 82.28 
Non-Agency IOsn/a11,545 n/a8,432 n/an/a11,310 n/a8,700 n/a
Total Credit66,280 60,581 38,136 34,277 
Agency Portfolio:
Agency RMBS(2)
15-year fixed-rate mortgages28,173 27,373 97.16 28,366 100.69 28,647 27,847 97.21 28,765 100.41 
20-year fixed-rate mortgages4,387 4,234 96.51 4,734 107.91 8,524 7,863 92.25 9,033 105.97 
30-year fixed-rate mortgages720,307 686,406 95.29 700,100 97.19 697,510 670,294 96.10 682,379 97.83 
ARMs7,043 7,039 99.94 7,831 111.19 7,127 7,119 99.89 8,060 113.09 
Reverse mortgages13,565 14,209 104.75 15,342 113.10 14,406 14,874 103.25 16,589 115.15 
Total Agency RMBS773,475 739,261 95.58 756,373 97.79 756,214 727,997 96.27 744,826 98.49 
Agency IOsn/a6,501 n/a5,454 n/an/a7,415 n/a6,607 n/a
Total Agency745,762 761,827 735,412 751,433 
Total$812,042 $822,408 $773,548 $785,710 
(1)Expressed as a percentage of current principal balance.
(2)Excludes IOs.
During the first quarter, the size of our CLO holdings increased to $45.1 million as of March 31, 2024, compared to $17.4 million as of December 31, 2023. Over the same period, the size of our Agency RMBS holdings increased slightly to $739.3 million as of March 31, 2024, compared to $728.0 million as of December 31, 2023, and our aggregate holdings of interest-only securities and non-Agency RMBS decreased modestly.
Our debt-to-equity ratio, adjusted for unsettled purchases and sales, decreased to 4.9:1 as of March 31, 2024, as compared to 5.3:1 as of December 31, 2023, driven by higher shareholders' equity and less leverage on our CLO investments, which now constitute a larger proportion of our overall portfolio, compared to Agency RMBS. Our net mortgage assets-to-equity ratio also decreased over the same period, to 5.4:1 from 5.8:1, driven by the increase in shareholders' equity and a net short TBA position as of March 31, 2024, compared to a net long TBA position as of December 31, 2023, partially offset by a larger Agency RMBS portfolio.
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. We ended the quarter with a small net short TBA position. We also selectively hedge our corporate CLO and non-Agency RMBS investments; as of March 31, 2024, our credit hedge portfolio was relatively small.
2

The net interest margins on our Agency and credit portfolios both increased quarter over quarter, driven by incrementally higher average asset yields and, for our Agency portfolio, a lower cost of funds. In the first quarter, the net interest margins (excluding the Catch-up Amortization Adjustment) on our Agency and credit portfolios increased to 2.46% and 9.65%, respectively, as compared to 2.02% and 6.28% in the prior quarter. Our cost of funds and net interest margin continue to benefit from positive carry on our interest rate swaps, where we receive a higher floating rate and pay a lower fixed rate.
The following table summarizes our operating results by strategy for the three-month periods ended March 31, 2024 and December 31, 2023:
Three-Month Period Ended March 31, 2024Per ShareThree-Month Period Ended December 31, 2023Per Share
(In thousands, except share amounts and per share amounts)
Credit:
CLOs
Interest income$1,244 $0.06 $329 $0.02 
Interest expense(67)— (39)— 
Realized gain (loss), net142 0.01 32 — 
Unrealized gain (loss), net1,008 0.05 28 — 
Credit hedges and other activities, net(1)
(77)— (37)— 
Total CLO profit (loss)$2,250 $0.12 $313 $0.02 
Non-Agency RMBS(2)
Interest income$564 $0.03 $531 $0.03 
Interest expense(178)(0.01)(271)(0.02)
Realized gain (loss), net42— (396)(0.02)
Unrealized gain (loss), net7950.04 6650.04 
Interest rate hedges26— (70)— 
Total Non-Agency RMBS profit (loss)$1,249 $0.06 $459 $0.03 
Total Credit profit (loss)$3,499 $0.18 $772 $0.05 
Agency RMBS(2):
Interest income$7,403 $0.38 $9,464 $0.57 
Interest expense(9,091)(0.47)(10,253)(0.62)
Realized gain (loss), net(10,709)(0.55)(12,685)(0.76)
Unrealized gain (loss), net(43)— 50,099 3.01 
Interest rate hedges and other activities, net(3)
14,467 0.74 (24,206)(1.45)
Total Agency RMBS profit (loss)$2,027 $0.10 $12,419 $0.75 
Total Credit and Agency RMBS profit (loss)$5,526 $0.28 $13,191 $0.80 
Other interest income (expense), net$365 $0.02 $622 $0.04 
Income tax (expense) benefit(303)(0.02)— — 
Other expenses(1,627)(0.08)(1,374)(0.09)
Net income (loss)$3,961 $0.20 $12,439 $0.75 
Weighted average shares outstanding 19,548,40816,662,407
(1)Other activities includes currency hedges as well as net realized and unrealized gains (losses) on foreign currency.
(2)Includes IOs.
(3)Includes U.S. Treasury securities.
CLO Performance
Following strong performance in the final months of 2023, corporate credit spreads tightened further in the first quarter, driven by continued capital inflows to the sector, strengthening fundamentals, and declining interest rate volatility. Net demand for leveraged loans remained strong as a result of significant primary CLO issuance volumes and rapid repayments of existing leveraged loan facilities, as borrowers continued to lower their financing costs.
Our CLO strategy had excellent performance for the quarter, led by strong interest income as well as net realized and unrealized gains on our seasoned CLO mezzanine investments, mostly owned at discounts to par, driven by elevated loan prepayments.
3

Non-Agency Performance
Our non-Agency RMBS portfolio and interest-only securities also generated strong results for the quarter, driven by net interest income and mark-to-market gains attributable to spread tightening.
Agency Performance
Despite lower interest rate volatility during the quarter, performance of Agency MBS lagged the broader rally in credit as market consensus for the timing of the first Federal Reserve rate cut was pushed back. This drove interest rates higher across the yield curve and pressured yield spreads on Agency MBS, particularly in February and particularly for lower-coupon MBS. While Agency MBS yield spreads did recover meaningfully in March, driven by lower volatility and capital inflows, overall for the quarter Agency MBS generated a modestly negative excess return to Treasuries. Despite the negative excess return, EARN’s agency portfolio was profitable for the quarter, as net gains on our interest-rate hedges exceeded net losses on our pools and negative net interest income.
Average pay-ups on our specified pool portfolio decreased to 0.85% as of March 31, 2024, as compared to 1.01% as of December 31, 2023.
About Ellington Credit Company
Ellington Credit Company (the "Company"), formerly known as Ellington Residential Mortgage REIT, was initially formed as a real estate investment trust ("REIT") that invested primarily in residential mortgage-backed securities ("MBS"). On March 29, 2024, the Company's Board of Trustees approved a strategic transformation of the Company's investment strategy to focus on corporate CLOs, with an emphasis on mezzanine debt and equity tranches. In connection with this transformation, the Company revoked its election to be taxed as a REIT effective January 1, 2024, and rebranded as Ellington Credit Company. Later in 2024, the Company intends, subject to shareholder approval of certain matters, to convert to a closed-end fund and complete its transition from an MBS-focused company to a CLO-focused company.
Conference Call
We will host a conference call at 11:00 a.m. Eastern Time on Wednesday, May 15, 2024, to discuss its financial results for the quarter ended March 31, 2024. To participate in the event by telephone, please dial (800) 343-5419 at least 10 minutes prior to the start time and reference the conference ID: EARNQ124. International callers should dial (203) 518-9731 and reference the same conference ID. The conference call will also be webcast live over the Internet and can be accessed via the "For Investors" section of our web site at www.ellingtoncredit.com. To listen to the live webcast, please visit www.ellingtoncredit.com at least 15 minutes prior to the start of the call to register, download, and install necessary audio software. In connection with the release of these financial results, we also posted an investor presentation, that will accompany the conference call, on our website at www.ellingtoncredit.com under "For Investors—Presentations."
A dial-in replay of the conference call will be available on Wednesday, May 15, 2024, at approximately 2:00 p.m. Eastern Time through Wednesday, May 22, 2024 at approximately 11:59 p.m. Eastern Time. To access this replay, please dial (800) 934-8233. International callers should dial (402) 220-6991. A replay of the conference call will also be archived on our web site at www.ellingtoncredit.com.
4

Cautionary Statement Regarding Forward-Looking Statements
Certain statements in this press release constitute forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-looking statements involve numerous risks and uncertainties. Actual results may differ from our beliefs, expectations, estimates, and projections and, consequently, you should not rely on these forward-looking statements as predictions of future events. Forward-looking statements are based on our beliefs, assumptions and expectations of our future operations, business strategies, performance, financial condition, liquidity and prospects, taking into account information currently available to us. These beliefs, assumptions, and expectations are subject to numerous risks and uncertainties and can change as a result of many possible events or factors, not all of which are known to us. If a change occurs, our business, financial condition, liquidity, results of operations and strategies may vary materially from those expressed or implied in our forward-looking statements or from our beliefs, expectations, estimates and projections and, consequently, you should not rely on these forward-looking statements as predictions of future events. Forward-looking statements are not historical in nature and can be identified by words such as "believe," "expect," "anticipate," "estimate," "project," "plan," "continue," "intend," "should," "would," "could," "goal," "objective," "will," "may," "seek," or similar expressions or their negative forms, or by references to strategy, plans, or intentions. The following factors are examples of those that could cause actual results to vary from those stated or implied by our forward-looking statements: changes in interest rates and the market value of our investments, market volatility, changes in mortgage default rates and prepayment rates, our ability to borrow to finance our assets, our ability to pivot our investment strategy to focus on CLOs, a deterioration in the CLO market, our ability to utilize our NOLs, our ability to convert to a closed end fund/RIC, including our ability to obtain shareholder approval of our conversion to a closed end fund/RIC, changes in government regulations affecting our business, our ability to maintain our exclusion from registration under the Investment Company Act of 1940, and other changes in market conditions and economic trends, such as changes to fiscal or monetary policy, heightened inflation, slower growth or recession, and currency fluctuations. Furthermore, as stated above, forward-looking statements are subject to risks and uncertainties, including, among other things, those described under Item 1A of our Annual Report on Form 10-K and in the Current Report on Form 8-K filed with the SEC on April 1, 2024, which can be accessed through the link to our SEC filings under "For Investors" on our website (at www.ellingtoncredit.com) or at the SEC's website (www.sec.gov). Other risks, uncertainties, and factors that could cause actual results to differ materially from those projected or implied may be described from time to time in reports we file with the SEC, including reports on Forms 10-Q, 10-K, and 8-K. New risks and uncertainties emerge from time to time, and it is not possible for us to predict or assess the impact of every factor that may cause our actual results to differ from those contained in any forward-looking statements. We undertake no obligation to update or revise any forward-looking statements, whether as a result of new information, future events, or otherwise.
5

ELLINGTON CREDIT COMPANY
CONSOLIDATED STATEMENT OF OPERATIONS
(UNAUDITED)
Three-Month Period Ended
March 31, 2024December 31, 2023
(In thousands except share amounts and per share amounts)
INTEREST INCOME (EXPENSE)
Interest income$10,379 $11,888 
Interest expense(10,100)(11,511)
Total net interest income (expense)279 377 
EXPENSES
Management fees to affiliate538 512 
Professional fees339 193 
Compensation expense270 190 
Insurance expense94 93 
Other operating expenses386 386 
Total expenses1,627 1,374 
OTHER INCOME (LOSS)
Net realized gains (losses) on securities(9,823)(11,825)
Net realized gains (losses) on financial derivatives3,459 1,440 
Change in net unrealized gains (losses) on securities1,760 50,930 
Change in net unrealized gains (losses) on financial derivatives10,216 (27,109)
Total other income (loss)5,612 13,436 
Net income (loss) before income taxes4,264 12,439 
Income tax expense (benefit)303 — 
NET INCOME (LOSS)$3,961 $12,439 
NET INCOME (LOSS) PER COMMON SHARE:
Basic and Diluted$0.20 $0.75 
WEIGHTED AVERAGE SHARES OUTSTANDING19,548,408 16,662,407 
CASH DIVIDENDS PER SHARE:
Dividends declared$0.24 $0.24 

6

ELLINGTON CREDIT COMPANY
CONSOLIDATED BALANCE SHEET
(UNAUDITED)
As of
March 31,
2024
December 31,
2023(1)
(In thousands except share amounts and per share amounts)
ASSETS
Cash and cash equivalents$22,442 $38,533 
Securities, at fair value812,042 773,548 
Due from brokers5,261 3,245 
Financial derivatives–assets, at fair value
82,330 74,279 
Receivable for securities sold
36,474 51,132 
Interest receivable4,642 4,522 
Other assets
765 431 
Total Assets$963,956 $945,690 
LIABILITIES AND SHAREHOLDERS' EQUITY
LIABILITIES
Repurchase agreements$683,171 $729,543 
Payable for securities purchased68,179 12,139 
Due to brokers58,238 54,476 
Financial derivatives–liabilities, at fair value5,746 7,329 
Dividend payable1,586 1,488 
Accrued expenses1,702 1,153 
Management fee payable to affiliate538 513 
Interest payable1,879 2,811 
Total Liabilities821,039 809,452 
SHAREHOLDERS' EQUITY
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively)
— — 
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (19,819,610 and 18,601,464 shares issued and outstanding, respectively)(2)
198 186 
Additional paid-in-capital282,161 274,698 
Accumulated deficit(139,442)(138,646)
Total Shareholders' Equity142,917 136,238 
Total Liabilities and Shareholders' Equity$963,956 $945,690 
SUPPLEMENTAL PER SHARE INFORMATION
Book Value Per Share
$7.21 $7.32 
(1)Derived from audited financial statements as of December 31, 2023.
(2)Common shares issued and outstanding at March 31, 2024, includes 1,218,146 common shares issued during the first quarter under our at-the-market common share offering program.
7

Reconciliation of Adjusted Distributable Earnings to Net Income (Loss)
We calculate Adjusted Distributable Earnings as net income (loss) adjusted for: (i) net realized and change in net unrealized gains and (losses) on securities, financial derivatives, and foreign currency transactions; (ii) net realized and change in net unrealized gains (losses) associated with periodic settlements on interest rate swaps; (iii) other income or loss items that are of a non-recurring nature, if any; (iv) Catch-up Amortization Adjustment (as defined below); and (v) provision for income taxes. The Catch-up Amortization Adjustment is a quarterly adjustment to premium amortization or discount accretion triggered by changes in actual and projected prepayments on our Agency RMBS (accompanied by a corresponding offsetting adjustment to realized and unrealized gains and losses). The adjustment is calculated as of the beginning of each quarter based on our then-current assumptions about cashflows and prepayments, and can vary significantly from quarter to quarter.
Adjusted Distributable Earnings is a supplemental non-GAAP financial measure. We believe that the presentation of Adjusted Distributable Earnings provides information useful to investors, because: (i) we believe that it is a useful indicator of both current and projected long-term financial performance, in that it excludes the impact of certain current-period earnings components that we believe are less useful in forecasting long-term performance and dividend-paying ability; (ii) we use it to evaluate the effective net yield provided by our portfolio, after the effects of financial leverage; and (iii), we believe that presenting Adjusted Distributable Earnings assists investors in measuring and evaluating our operating performance, and comparing our operating performance to that of our peers. Our calculation of Adjusted Distributable Earnings may differ from the calculation of similarly titled non-GAAP financial measures by our peers, with the result that these non-GAAP financial measures might not be directly comparable; adjusted Distributable Earnings excludes certain items, such as most realized and unrealized gains and losses, that may impact the amount of cash that is actually available for distribution.
In addition, because Adjusted Distributable Earnings is an incomplete measure of our financial results and differs from net income (loss) computed in accordance with U.S. GAAP, it should be considered supplementary to, and not as a substitute for, net income (loss) computed in accordance with U.S. GAAP.
In setting our dividends, our Board of Trustees considers our earnings, liquidity, financial condition, distribution requirements, and financial covenants, along with other factors that the Board of Trustees may deem relevant from time to time.
The following table reconciles, for the three-month periods ended March 31, 2024 and December 31, 2023, our Adjusted Distributable Earnings to the line on our Consolidated Statement of Operations entitled Net Income (Loss), which we believe is the most directly comparable U.S. GAAP measure:
Three-Month Period Ended
(In thousands except share amounts and per share amounts)March 31, 2024December 31, 2023
Net Income (Loss)$3,961 $12,439 
Income tax expense (benefit)303 — 
Net Income (Loss) before income taxes4,264 12,439 
Adjustments:
Net realized (gains) losses on securities9,823 11,825 
Change in net unrealized (gains) losses on securities(1,760)(50,930)
Net realized (gains) losses on financial derivatives(3,459)(1,440)
Change in net unrealized (gains) losses on financial derivatives(10,216)27,109 
Net realized gains (losses) on periodic settlements of interest rate swaps5,812 880 
Change in net unrealized gains (losses) on accrued periodic settlements of interest rate swaps
(111)5,228 
Non-recurring expenses75 13 
Negative (positive) component of interest income represented by Catch-up Amortization Adjustment884 (566)
Subtotal1,048 (7,881)
Adjusted Distributable Earnings$5,312 $4,558 
Weighted Average Shares Outstanding19,548,408 16,662,407 
Adjusted Distributable Earnings Per Share$0.27 $0.27 
8
v3.24.1.1.u2
Cover
May 14, 2024
Cover [Abstract]  
Document Type 8-K
Document Period End Date May 14, 2024
Entity Registrant Name Ellington Credit Company
Entity Incorporation, State or Country Code MD
Entity File Number 001-35896
Entity Tax Identification Number 46-0687599
Entity Address, Address Line One 53 Forest Avenue
Entity Address, City or Town Old Greenwich
Entity Address, State or Province CT
Entity Address, Postal Zip Code 06870
City Area Code 203
Local Phone Number 698-1200
Written Communications false
Soliciting Material false
Pre-commencement Tender Offer false
Pre-commencement Issuer Tender Offer false
Title of 12(b) Security Common Shares of Beneficial Interest, $0.01 par value per share
Trading Symbol EARN
Security Exchange Name NYSE
Entity Emerging Growth Company false
Entity Central Index Key 0001560672
Amendment Flag false
Ellington Credit (NYSE:EARN)
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