During the company’s third-quarter earnings call, Ellington CEO Laurence Penn said that while the performance of its non-QM portfolio remains strong, the company has been “tightening underwriting criteria on new investments in response to the evolving economic environment.”

“In this difficult quarter, our diversified portfolio, stable sources of financing, and dynamic hedging helped limit our book value decline,” Penn said. “Strong performance from our RTL and SBC loan portfolios, CLO and CMBS strategies, non-QM interest-only securities, and interest rate hedges offset a meaningful portion of the losses on our loan originator investments, agency RMBS, and unsecuritized non-QM loans.

“Looking forward, the market selloff has created attractive investment opportunities for us in securities, as well as wider spreads and higher yields on new loan originations. However, given the risks of ongoing volatility, a hawkish Fed, and an economic slowdown, we continue to weigh the deployment of capital against maintaining adequate liquidity buffers to guard against another market downturn.”

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