Ellington Financial Inc. (NYSE:EFC) Q1 2022 Earnings Conference Call May 6, 2022 11:00 AM ET

Company Participants

Jason Frank - Deputy General Counsel & Secretary

Larry Penn - Chief Executive Officer

J.R. Herlihy - Chief Financial Officer

Mark Tecotzky - Co-Chief Investment Officer

Conference Call Participants

Crispin Love - Piper Sandler

Eric Hagen - BTIG

Doug Harter - Credit Suisse

Brock Vandervliet - UBS

Bose George - KBW

Mikhail Goberman - JMP Securities

Operator

Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Financial First Quarter 2022 Earnings Conference Call. Today’s call is being recorded. At this time, all participants have been placed in a listen-only mode. The floor will be opened for your questions following the presentation. [Operator Instructions]

It is now my pleasure to turn the call over to Jason Frank, Deputy General Counsel and Secretary. Sir, you may begin.

Jason Frank

Thank you. Before we start, I would like to remind everyone that certain statements made during this conference call may constitute forward-looking statements within the meaning of the Safe Harbor provisions of the Private Securities Litigation Reform Act of 1995. Forward-Looking Statements are not historical in nature.

As described under Item 1A of our Annual Report on Form 10-K, forward-looking statements are subject to a variety of risks and uncertainties that could cause the company’s actual results to differ from its beliefs, expectations, estimates, and projections. Consequently, you should not rely on these forward-looking statements as predictions of future events.

Statements made during this conference call are made as of the date of this call and the company undertakes no obligation to update or revise any forward-looking statements, whether as a result of new information, future events, or otherwise.

I’m joined on the call today by Larry Penn, Chief Executive Officer of Ellington Financial; Mark Tecotzky, Co-Chief Investment Officer of EFC, and J.R. Herlihy, Chief Financial Officer of EFC.

As described in our earnings press release, our first quarter earnings conference call presentation is available on our website, ellingtonfinancial.com. Management’s prepared remarks will track the presentation. Please note that any references to figures in this presentation are qualified in their entirety by the end notes at the back of the presentation.

With that, I will now turn the call over to Larry.

Larry Penn

Thanks, Jay, and good morning, everyone. As always, thank you for your time and interest in Ellington Financial. We'll begin on slide 3. During the first quarter, volatility spiked to levels not seen since the COVID liquidity crisis of 2020, interest rates rose rapidly and the yield curve flattened significantly. Yield spreads in virtually every fixed income sector widened relative to US treasuries and interest rate swaps, and nearly all of the major equity indices sold off.