EARN - Ellington Residential Mortgage Q2 earnings match consensus and increase from Q1

• Ellington Residential Mortgage ( NYSE: EARN ) Q2 earnings reflected yield spread widening during the quarter, hurting book value and providing a tailwind for adjusted distributable earnings.
• Q2 adjusted distributable EPS of $0.28, matching the average analyst estimate, increased from $0.30 in the prior quarter.
• "Actual and implied interest rate volatility remained extremely elevated, interest rates rose further, and liquidity tightened, all of which drove further yield spread widening on most fixed income assets," said CEO and President Laurence Penn. "On the positive side, wider yield spreads, while a drag on book value, have been a tailwind for adjusted distributable earnings."
• Subsequent to the quarter, Ellington Residential had a strong July, Penn said, as interest rate volatility subsided some and agency yield spreads retraced part of their Q2 widening.
• Book value of $9.07 per share at June 30, 2022 vs. $10.14 at March 31, 2022.
• Q2 net interest margin of 1.66% vs. 1.76% in the prior quarter.
• Weighted average constant prepayment rate for the fixed-rate agency specified pool portfolio was 13.9% vs. 17.0% in Q1.
• Conference call on Aug. 11 at 11:00 AM ET.

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