Brian Vescio's questions to Ellington Credit Co (EARN) leadership • Q3 2024
Question
Brian Vescio of Piper Sandler & Co. asked for commentary on the credit quality of the CLO book, expectations for delinquencies and losses, and the dividend outlook as the portfolio rotation continues and leverage declines.
Answer
Head of Corporate Credit Gregory Borenstein discussed credit quality, noting that while current default rates are low, a sustained high-rate environment could increase stress. He provided context on historical default rates in benign and stressed scenarios. CEO Laurence Penn addressed the dividend, stating that the higher net interest margin from the growing CLO portfolio is offsetting lower leverage, and that adjusted distributable earnings continue to provide good support for the current dividend.