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    Francesco Labetti • Keefe, Bruyette & Woods

    Francesco Labetti's questions to Ellington Financial Inc (EFC) leadership

    Francesco Labetti's questions to Ellington Financial Inc (EFC) leadership • Q1 2025

    Question

    Francesco Labetti asked if the previously guided $0.09 ADE run rate for the Longbridge segment is still achievable and inquired about the performance and market dynamics for CLOs following recent sales.

    Answer

    CFO JR Herlihy confirmed the $0.09 long-term ADE run rate for Longbridge remains the target, attributing the Q1 result of $0.07 to seasonality while noting strong margins and positive April trends. CEO Laurence Penn added that Longbridge's ADE is lumpy and a forthcoming securitization should boost results. Regarding CLOs, JR Herlihy clarified they are a very small, opportunistic part of the portfolio and that recent negative performance was driven by market-wide spread widening, not underlying credit issues.

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    Francesco Labetti's questions to Two Harbors Investment Corp (TWO) leadership

    Francesco Labetti's questions to Two Harbors Investment Corp (TWO) leadership • Q4 2024

    Question

    Francesco Labetti, on for Bose George, asked for clarification on the differences between EAD and the static return range, and questioned why the MSR return projection declined despite a higher rate environment.

    Answer

    Chief Investment Officer Nicholas Letica explained that the static return on Slide 14 is a current, mark-to-market portfolio snapshot, whereas EAD is 'asynchronous,' blending historical asset purchase prices with current funding costs. President and CEO William Greenberg added that EAD would resemble the static return if the portfolio were repriced daily. Letica attributed the lower MSR return to hedging mechanics, where higher rates reduce the amount of MBS needed as a hedge, thus lowering the overall return potential of the paired MSR and MBS strategy.

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    Francesco Labetti's questions to Chimera Investment Corp (CIM) leadership

    Francesco Labetti's questions to Chimera Investment Corp (CIM) leadership • Q3 2024

    Question

    Francesco Labetti, on for Bose George, asked about the key drivers that could elevate the company's net return on equity (ROE) to double-digits from its current EAD run-rate. He also inquired about the most attractive opportunities for investing incremental capital in the current environment.

    Answer

    CFO Subramaniam Viswanathan responded that the economic net interest income return on equity was already at 10.6% and that EAD would see further growth as falling interest rates reduce expenses. Chief Investment Officer Dan Thakkar identified the best current opportunities in RPL securitizations, non-agency subordinate bonds, and residential transition loans, which are expected to generate mid- to high-teen returns.

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