Ellington Financial (EFC) 2026 年第三季法說會：0.45 美元 ADE 與 Longbridge 成長

重點摘要

• 儘管季末利率走高且殖利率利差擴大，艾靈頓金融（Ellington Financial）2026 年第三季 GAAP 每股淨利仍達 0.31 美元，年化經濟報酬率為 9.4%。
• 調整後可分配盈餘（ADE）為每股 0.45 美元，高於每季配發的 0.39 美元股利。管理層維持每季每股約 0.45 美元的 ADE 展望。
• 季末每股淨值為 13.53 美元，扣除股利後小幅下跌 0.6%。管理層將淨值的相對穩定歸功於利率與信用避險，包括 TBA 淨空頭部位。
• 調整後多頭投資組合季增 4.5% 至 47 億美元。由於資產殖利率上升超過資金成本的增加，淨利差由 3.36% 上升至 3.55%。
• Longbridge 的貸款承作量達 6.76 億美元，年增 36%、季增約 15%。由於承作利潤率收窄以及自營反向抵押貸款證券化件數減少，其對 ADE 的貢獻由第二季的每股 0.27 美元降至 0.07 美元。
• EFC 透過增發其票面利率 7.375% 的優先無擔保票據籌資 1.5 億美元，隨後以約當最近公佈每股淨值 85% 的價格，買回了近 400 萬美元的普通股。

關鍵財務數據

業務與營運表現

投資組合仍是主要的獲利來源。來自非合格抵押貸款（non-QM）與符合機構資格證券化所保留的純利息（IO）部位，受益於利率上升與提前還款速度放緩。商業不動產抵押貸款、企業信用以及承作機構投資亦有貢獻，管理層並特別強調 LendSure 的表現。

EFC 的住宅貸款平台於本季向 57 家賣方收購了 16 億美元的貸款。配合 Longbridge 與其他案源管道，此舉在公司持續推進貸款證券化的同時，支撐了投資組合淨成長。收購項目包括優質大額房貸（prime jumbo）以及微瑕疵住宅抵押貸款（scratch-and-dent）。

Longbridge 的淨投資組合增加 59% 至約 10.3 億美元，反映承作量增加與證券化時程的影響。9 月定價的一筆交易於 10 月完成交割，使該項增幅部分回吐。財報結果包含因調降房價預測，而對保留之自營反向抵押貸款分級部位進行的價值減記。

管理層表示，在報價利率向上重新定價後，Longbridge 的承作利潤率在第四季開始改善。9 月是該公司迄今自營反向抵押貸款進件量最強勁的月份，管理層預期在有利的人口結構及新產品推動下，增長勢頭將延續至明年。不過，這些預期仍屬管理層觀點，而非已實現成果。

EFC 完成收購 Statebridge 的控股權，截至 9 月 30 日，Statebridge 負責管理約 15,000 筆貸款，未償本金餘額近 20 億美元。該公司計劃將 Statebridge 發展為專門處理逾期貸款與被收回不動產資產（REO）的專業服務平台，同時也將逐步爭取潛在的第三方貸款服務收入。

資本、融資與流動性

EFC 增發 1.5 億美元票面利率 7.375% 的優先無擔保票據，使該系列流通在外金額增至 5.5 億美元。在 8 月約 3,800 萬美元票據到期後，無擔保借款總額增加約 1.12 億美元，達到 7.75 億美元。

截至季末，具追索權借款中有 25% 為長期且非按市價計價（non-mark-to-market），17% 為無擔保借款。附買回協議（Repo）借款的加權平均剩餘到期期限為 8.9 個月。具追索權借款的加權平均利率由 6 月 30 日的 5.50% 上升至 5.78%。

EFC 在該季前兩個月透過場內增發（ATM）計畫，以接近每股淨值的價格籌集約 3,400 萬美元。季末後，公司以約當最近公佈每股淨值 85% 的價格，買回了略低於 400 萬美元的普通股。管理層表示，在視流動性與市場狀況而定的前提下，以此水準進行庫藏股買回相當具吸引力，且能增厚每股淨值。

管理層展望

管理層對每季 ADE 的展望約為每股 0.45 美元。該展望假設每季約進行一次自營反向抵押貸款證券化，且該預期仍對 Longbridge 的承作利潤率與交易時程高度敏感。

公司維持每月每股配發 0.13 美元股利。管理層表示，不動產投資信託（REIT）的配息要求取決於應稅所得而非 ADE，並表示在符合相關規定的前提下，傾向保留超額盈餘以累積每股淨值。

管理層亦打算在定價有利時，考慮發行額外的無擔保債券，並評估重返特別股市場的可能。其既定目標是強化 EFC 的信用狀況，並支持未來發行利差進一步收窄。

風險與關注領域

• 較高的利率可能會對商業與住宅不動產價值造成壓力，並使商業過渡性貸款（bridge loan）與住宅過渡期借款人的再融資或資產出售變得更加困難。
• 承擔浮動利率債務的商業借款人面臨更高的融資成本，而租金增長狀況以及稅負、保險與維護費用的上升，可能使物業現金流承壓。
• Longbridge 的獲利仍對承作利潤率、定價競爭以及自營反向抵押貸款證券化時程高度敏感。
• 房價假設的下修導致保留之自營反向抵押貸款分級部位遭到減記，凸顯出這些部位對未來房價走勢的敏感度。
• 利率下滑可能會回吐純利息（IO）證券與利率避險的部分收益，不過貸款、證券及承作業務或可提供部分抵銷。
• 管理層表示，即使看到 CMBS 市場出現更具吸引力的機會，EFC 在商業抵押過渡貸款方面仍採取謹慎態度。

分析師問答重點

管理層表示，EFC 第三季每股淨值之所以能維持穩定，反映的是其既有的避險紀律，而非採取重大策略調整。公司整體上致力於限制直接利率風險，並運用信用避險、企業利差工具及 TBA 淨空頭部位來管理利差與凸性風險。

在資本配置方面，管理層將以每股淨值 85% 買回股票，與買入利差擴大不到一個價格點的非合格抵押貸款（non-QM）資產進行比較。管理層認為，以 15% 的折價買回股票，實質上為標的資產提供了更大的折價，同時也承認需要在流動性、規模與交易流動性之間取得平衡。

LendSure 的亮眼表現歸功於經驗豐富的管理團隊、嚴格的費用與信用紀律、來自 EFC 的穩定資金與定價，以及透過其批發經紀商網路所獲取的市占率增長。

針對 Statebridge，管理層認為其兼具防守型與商業化潛力。該平台旨在提高 EFC 逾期貸款的回收率，且隨著非合格抵押貸款（non-QM）逾期率從先前低檔回升至常態水準，未來有望為第三方提供服務。

管理層亦在評估其他貸款承作機構的合作夥伴關係與房貸平台，但表示目前尚無即將成行的交易。

電話會議完整逐字稿

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完整財報電話會議逐字稿

管理層陳述

Operator

Thank you for standing by and welcome to the Ellington Financial's third quarter 2026 earnings conference call. [Operator Instructions] As a reminder, today's program is being recorded. And now I'd like to introduce your host for today's program, Alaael-Deen Shilleh, Associate General Counsel. Please go ahead, sir.

Alaael-Deen Shilleh

Thank you. Before we begin, I'd like to remind everyone that this conference call may include forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. These statements are not historical in nature and involve risks and uncertainties detailed in our annual and quarterly reports filed with the SEC. Actual results may differ materially from these statements, so they should not be considered to be predictions of future events. The company undertakes no obligation to update these forward-looking statements. Joining me today are Larry Penn, Chief Executive Officer and President of Ellington Financial; Mark Tecotzky, Co-Chief Investment Officer; J.R. Herlihy, Chief Financial Officer. Our earnings conference call presentation is available on our website, ellingtonfinancial.com.

Today's call will track that presentation, and all statements and references to figures are qualified by the important notice and endnotes in the presentation. With that, I'll hand it over to Larry.

Laurence Penn

Thanks, Alaael-Deen.

And good morning, everyone. I'll begin on Slide 3 of the presentation. In the third quarter, Ellington Financial delivered strong results despite a challenging market environment. We generated GAAP net income of $0.31 per share and an annualized economic return of 9.4%. Our adjusted distributable earnings of $0.45 per share again exceeded our $0.39 quarterly dividend. And we preserved book value per share, even as interest rates moved sharply higher and yield spreads widened late in the quarter. Our interest rate and credit hedges cushioned the late-quarter sell-off, bolstering our already ample liquidity reserves and helping preserve book value. Meanwhile, our diversified investment portfolio and origination platforms provided multiple sources of earnings.

Key earnings contributors for the quarter included our retained IOs from non-QM and agency-eligible securitizations, which perform well when interest rates rise and prepayments slow, along with commercial mortgage loans, corporate credit, and our originator investments, particularly LendSure, which delivered another standout quarter. Credit performance in our investment portfolio also strengthened in the quarter, with delinquencies declining and cumulative realized losses remaining low. J.R. will review the details. We continue to expand our asset sourcing capabilities. Our expanding residential loan portal generated $1.6 billion of loan purchases from 57 sellers during the quarter. Together with loan flow from Longbridge and our other channels, the portal supported net portfolio growth, even as we continued to securitize loans. Meanwhile, Longbridge remains solidly profitable, supported by higher origination volumes and significant interest rate hedging gains. The quarter would have been even stronger at Longbridge, but as interest rates rose sharply, a competitor temporarily held its offering rates down to defend its market share. Industry-wide origination margins compressed as a result.

But with offering rates finally repricing higher, origination margins at Longbridge are improving so far in the fourth quarter. Although Longbridge's contribution to earnings declined from the prior quarter, that prior quarter was extraordinarily strong, with 2 proprietary reverse securitizations completed. Moving now to our capital structure. In September, we issued $150 million in an add-on to our existing 7.375% senior unsecured notes. The offering came shortly after Moody's revised EFC's rating outlook to positive. We had initially launched a $100 million deal, but we were able to upsize that by 50% thanks to strong institutional demand. The offering was priced at a yield spread over Treasuries that was approximately 70 basis points tighter than last year's issuance.

The add-on brought the series to $550 million outstanding, and that larger issue size and broader investor base has already significantly improved secondary market liquidity in the issue. The offering provided us with additional investment capacity ahead of the late-quarter sell-off and advanced our ongoing strategy to replace short-term mark-to-market repo with long-term unsecured debt. Our recent common equity activity has reflected the same capital management discipline. In the first 2 months of the quarter, we raised approximately $34 million through our ATM at approximately 100% of book value per share. Following quarter end, as our stock sold off, we repurchased common stock at approximately 85% of our most recently reported book value. The window was brief, so we purchased just under $4 million of our stock, but the repurchases were accretive to book value per share. We expect to take advantage of similarly accretive opportunities should they arise again, subject to market conditions.

Also in September, we completed the acquisition of a controlling interest in Statebridge, a relatively small but quite diversified loan servicer. At September 30, Statebridge serviced approximately 15,000 loans, totaling nearly $2 billion in unpaid principal balance. Our objective is to leverage Ellington's data and workout experience to help Statebridge become the premier special servicer in the mortgage space. Agency servicing is dominated by a few players with massive scale. For those mega-servicers, special servicing revenue just doesn't move the needle. However, we see an emerging need and great potential demand for a more focused special servicer. And for Ellington Financial, Statebridge's strategic value goes well beyond our share of their servicing profits.

If Statebridge can optimize EFC's outcomes on delinquent loans and REO, that will help us deliver superior returns across credit cycles. With that, I'll hand the call over to J.R. to walk through our financial results in more detail. J.R.?

JR Herlihy

Thanks, Larry. Good morning, everyone. I'll begin on Slide 5 with results by segment. The investment portfolio contributed $0.47 per share of GAAP net income, and Longbridge contributed $0.10 per share before unallocated Corporate/Other items. Turning to the ADE reconciliation on Slide 6, the investment portfolio's contribution was stable at $0.60 per share, while Longbridge contributed $0.07, compared with $0.27 in Q2. A smaller Corporate/Other drag partially offset that decline, bringing total ADE to $0.45 per share. Beginning this quarter, ADE is presented net of incentive fee expense and prior periods have been conformed. The incentive fee was approximately $0.9 million or $0.01 per share in each of Q2 and Q3, reducing conformed Q2 ADE to $0.59 from the $0.60 previously reported. Within the investment portfolio, net interest income remained robust, and net interest margin increased to 3.55% from 3.36% as higher asset yields more than offset higher funding costs.

On Slide 7, our adjusted long investment portfolio grew by 4.5% sequentially to $4.7 billion, reflecting net purchases across several loan categories and growth in retained RMBS. Loan purchases included opportunistic acquisitions of prime jumbo and scratch-and-dent residential mortgage loans. Moving to Longbridge on Slide 8, originations reached $676 million, up 36% year-over-year and approximately 15% sequentially. Despite higher rates, September was Longbridge's strongest month ever for proprietary reverse submissions, as shown on Slide 9. The lower earnings contribution reflected narrower origination margins and 1 prop reverse securitization priced during the quarter compared with 2 in the second quarter. Servicing and enterprise interest rate hedges contributed positively. Results also included a markdown on retained prop reverse tranches driven by a revised home price projection.

The net Longbridge portfolio grew by 59% to approximately $1.03 billion, reflecting production growth and securitization timing. Some of that increase reversed when the securitization that priced in September settled in October. Turning to financing, recourse leverage increased to 2.2x from 1.9x as we grew the portfolio with additional repo along with the debt from our unsecured notes add-on offering. While a portion of the proceeds from the notes was used to repay existing repo borrowings, the net increase in repo primarily reflected warehouse financing of newly acquired loans expected to be securitized in the near term. Our $150 million September add-on, less the redemption of approximately $38 million of notes that matured in August, increased unsecured borrowings by approximately $112 million to $775 million. Quarter-end leverage also reflected the timing of 2 securitizations that priced in September but settled in early October. Cash increased to $269 million from $247 million, and total equity rose to $2.03 billion.

Total unencumbered assets, including cash, reached $1.92 billion. On Slide 11, approximately 25% of recourse borrowings were long-term and non-mark-to-market, and 17% were unsecured. The weighted average remaining term of repo borrowings was 8.9 months. At quarter end, the weighted average borrowing rate on our recourse borrowings was 5.78%, compared with 5.5% at June 30. During the quarter, we secured better pricing on 2 loan financing facilities and extended the maturity of another. Slide 12 puts our longer-term balance sheet and credit progress in perspective. It compares September 30, 2026 with June 30, 2025, the quarter end before we priced our $400 million unsecured offering.

Since then, we have built a larger equity cushion, an unencumbered asset base, diversified and extended our funding, improved profitability, and strengthened credit metrics. Our 90-day-plus delinquency rate across all residential commercial mortgage loans declined by 12 basis points during the quarter to 5.6%, which is down 216 basis points from 7.76% at September 30, 2025. Cumulative realized credit losses remained low. Moody's announcement of a positive outlook on EFC reflected our sustained strong earnings, our improving asset quality, and the progress we've made strengthening our funding profile. Skipping ahead in the deck, Slides 18 and 19 show our interest rate, mortgage basis, and credit hedges. During the quarter, we increased our interest rate and credit hedges, including our net TBA short position, as our portfolio grew and market conditions changed. In Corporate/Other, higher interest rates generated mark-to-market gains on unsecured notes, partially offset by credit spread tightening associated with the September add-on.

Those net gains were more than offset by losses on the related interest rate hedges and the repayment of our 6% notes at par, which had been carried below par. Results also included issuance costs from the add-on offering, which as usual we expense in full, and higher income tax expense. Book value per share ended the quarter at $13.53 per share, down just 0.6% after $0.39 per share of dividends. Looking ahead, our quarterly EAD outlook is approximately $0.45 per share. The results remain sensitive to the ADE contribution from Longbridge, particularly around origination margins and securitization timing, where we are assuming approximately 1 prop reverse securitization per quarter. With that, I'll turn the call over to Mark.

Mark Tecotzky

Thanks, J.R. This was a solid quarter for EFC, against a market backdrop that has a lot more landmines than in the first half of the year. Both the 2-year note and the 10-year note Treasury yields traded in ranges of more than 80 basis points, and credit spreads were volatile as well. But EFC weathered the storm. We priced 2 non-QM securitizations, 1 agency-eligible securitization earlier in the quarter before spreads widened, and still got 3 more deals priced late in September at strong levels despite the pickup in volatility. We've also continued pricing deals into Q4. We always disclose our credit hedges and our interest rate risk in our earnings presentation. Carrying these protections is typically a small headwind to return in quieter markets. You can only capitalize on the rich opportunities during a market dislocation, though, if you are positioned to play offense when other market participants are running scared.

Disciplined hedging is one of the primary reasons we were able to post an almost 10% annualized economic return this quarter and be in such a strong position entering Q4. One thing that was particularly impressive was the performance of Longbridge and our other mortgage origination partners, particularly LendSure. Contrast that strong performance with the much weaker results from many publicly traded mortgage originators. We clearly have a differentiated model, where a symbiotic partnership between Ellington and our originators has produced strong returns over cycles. Ellington provides them with consistent liquidity, data, and analytics. In return, they provide Ellington with a consistent flow of well-underwritten loans. We also closed on Statebridge during the quarter. It will take time to build out a best-in-class servicing platform for late-stage delinquencies, but we think advances in AI can reduce the time and cost.

Over the past several years, we have pursued many partnerships that help us to vertically integrate more of the residential and commercial mortgage loan life cycle. Statebridge is another important step in that direction. What really stood out to me this quarter was the resilience of the non-agency mortgage market and of our business model. With our loan portal and diversified group of origination partners, we are able to dynamically adjust our loan purchase pricing, not only in response to interest rates, but also in response to changing securitization economics. In the face of interest rate volatility, spread volatility, wars, uncertain Fed policy, and stress in overseas markets, particularly France, securitization markets kept functioning, so we could continue to buy loans and turn them into securities. There was a consistent spread to be earned that compensated originators for taking execution risk. Although securitization spreads have widened, our financing relationships with two dozen lenders, unused borrowing capacity, and growing unsecured funding base give us greater flexibility over execution timing. And when we do bring transactions to market, we are adapting our structures to support investor demand. During the third quarter, we introduced the traditional sequential-pay structure to non-QM to address senior investors' extension concerns as higher mortgage rates reduce borrowers' incentive to refinance.

Other non-QM issuers quickly adopted that approach. For EFC, the new structure delivered tighter overall execution, helping improve the economics of the investments we retain. We also priced our first owner-occupied conforming-balance securitization in October. These are loans eligible for purchase by Fannie Mae and Freddie Mac, subject to loan-level price adjustment. In many cases, the adjustments are, in our view, far in excess of what's required to compensate investors for expected credit loss. It's a further expansion of private capital into businesses traditionally served by the GSEs and one we think can be profitable for EFC. In addition, our small agency MBS strategy made money, including the contribution from hedges.

The retained portions of our non-QM and agency-eligible securitizations had particularly strong performance, including associated hedges. Some of these positions have IO-like characteristics and prepayment speeds continue to underwhelm, supporting their values. We've seen a lot of stress in commercial real estate. EFC has very limited CMBS exposure, but it was a modest headwind this quarter. We see this quarter's higher interest rates as an unambiguous headwind to real estate values, both commercial and residential. Higher rates can make sales or refinancing more difficult for our commercial mortgage bridge and residential transition borrowers. In commercial bridge, we are proceeding with elevated levels of caution, but are still finding attractive opportunities.

We also think the opportunity set in CMBS has become decidedly more interesting. With that, back to Larry.

Laurence Penn

Thanks, Mark. This quarter reinforced the lesson that we've learned at Ellington over our more than 30 years of operating history. The key to long-term outperformance is preserving book value and buying power during periods of volatility. We outperformed most other mortgage REITs by a wide margin this past quarter. Thanks as usual to our disciplined use of both interest rate hedges and credit hedges and our conservative liquidity and risk management protocols. The opportunity set is clearly richer in the fourth quarter, which we entered with significant dry powder and financial flexibility, which had been further buttressed by the significant additional long-term capital we raised, both debt and equity. Meanwhile, principal repayments from our short-duration commercial mortgage bridge and residential transition loans continue to provide capital for reinvestment. Our diversified business lines allow us to shift capital across loan and securities markets when a sell-off in a particular sector creates attractive relative value.

The recurring loan flow from our correspondent and originator relationships is complemented by opportunistic purchases. So far in the fourth quarter, we have taken advantage of some compelling opportunities to expand several of our loan portfolios. We have also recently purchased interest-only securities in the secondary market at what we believe are very attractive prices. We remain mindful of the pressures on our existing businesses, especially from higher interest rates and overall uncertainty in the real estate markets. That said, I will point out that higher interest rates often make Longbridge's proprietary loan products more competitive with FHA loans. Looking ahead, we continue to evaluate opportunities to return to the preferred equity market, provided that the pricing makes sense. We also intend to issue additional unsecured notes over time as market conditions permit.

The goal is to further strengthen EFC's credit profile to support better ratings and tighter issuance spreads. Finally, we believe that our current monthly dividend of $0.13 per share remains appropriate. EAD has been running well above our dividend this year, but REIT distribution requirements are based on taxable income, not EAD. Fourth quarter market volatility could still affect our full-year taxable income and the resulting distribution requirements. Subject to those REIT requirements, we favor retaining excess earnings to build book value per share and in turn support future earnings. With that, let's open the floor to Q&A. Operator, please go ahead.

Operator

Certainly. And ladies and gentlemen, we ask that you please limit yourself to 1 question and 1 follow-up. You may get back in the queue as time allows. Our first question comes from the line of Crispin Love from Piper Sandler. Your question, please.

分析師問答

Crispin Love

First on reverse mortgage originations, very strong in the quarter. Looking at Slide 9, can you discuss the outlook in the reverse mortgage space, some of the key factors driving that strength, and just the sustainability of those levels or if there's anything special in the quarter?

Laurence Penn

Yes, I mean, I think that if anything, we're hoping for and expecting, I would say, continued growth into next year. You know, are we going to be able to maintain these types of, you know, massive percentage increases? You know, 40% year-over-year, obviously not forever. But we do see the product continues to gain traction. The demographics are favorable, and I think the product makes a lot of sense, obviously. We're broadening the product base as well, introducing new products. We already introduced some this past year. We're going to introduce more next year.

So yes, so I think we absolutely are expecting further growth, further very strong growth. And as I mentioned, you know, the prop product, which is more profitable for us than the agency product, is favorable in many ways, especially in terms of borrowers being able to borrow more, tends to be the case when rates go up as opposed to rates go down.

Crispin Love

Okay, great. Appreciate that. And then just on the book value, definitely an outperformer versus peers, as you said. Can you just drill a little bit deeper into some of those actions that you took to preserve the book value, specifically in September, kind of how nimble you were able to be? And then just given the rate moves since quarter end, are you able to provide kind of a preview of October book value or just kind of how hedges have shifted quarter-to-date?

Laurence Penn

I'm going to let Mark handle in terms of some of the actions we took, but just keep in mind that part of it is just putting hedges in place, maintaining hedges, maintaining discipline, so we don't have to do anything very different. We've got very strict protocols in terms of how we modify our credit hedges, how we modify our interest rate hedges. I think we're, you know, 1 of the only mortgage REITs, and this has been true for many years, that makes heavy use of TBA short positions, you know, for example, against the non-QM book, right, where you've got very similar convexity characteristics. It just makes a lot of sense. You're dealing with a lot of spread to start with, and you can just sleep better at night. And you saw the results, right? If you have a decent amount of TBA hedges there. Mark, I don't know if you want to comment on any other actions we took.

Mark Tecotzky

I think what Larry said is exactly right. So our hedging protocol in Q3 wasn't any different than what it's been. It's just this sort of – I kind of alluded to this in my prepared comments that it made more of a difference in Q3 because rates shot up so much. But, I mean, basically – for all the positions in Ellington Financial, whether it's a non-QM loan or an agency pool or an IO or whatever it is, we think about what sensitivity the price of that asset has to interest rates. And we think about what sensitivity the price of that asset has to other spread products, you know, investment-grade corporates or TBA mortgages. And so we think about how much exposure we want to have to spread risk. We generally don't take any exposure to interest rate risk.

And we have enough tools and enough data to feed our historical, you know, models or regression analysis to get pretty accurate. So when I think about non-QM, Larry mentioned about loans we're buying on the portal each night, loans we're buying from origination partners, loans we're buying from other originators. When we buy those and we plan to securitize those, we think about how the investment-grade part of those securitizations is going to move, can move relative to corporate spreads and TBA spreads. And we have the hedges in place. And so we maintained our discipline in Q3, maintained our discipline in Q4. You know, I think if anything, the job's getting easier because the mortgage market, the non-agency mortgage market, has gotten a lot more liquid than even what it was 2 years ago. You're probably going to have between non-QM, jumbo, agency-eligible non-QM, HELOCs, you're probably going to have $250 billion or $275 billion of deals priced this year.

So you're talking at a pace of $5 billion of deals a week. So there's continual price points there to sort of give you better data on how spreads move. And as our volumes have gone up, the time it takes us to ramp up to deal size and price deals, that's compressed a lot. So the time, you know, the sort of the risk we take on hedges decoupling from the underlying asset, that's been reduced, too. And so, you know, we didn't change anything in Q3, and we certainly haven't changed in Q4. It was just hedges mattered more in Q3 to preserving book value than it has the first 6 months of this year.

JR Herlihy

Yes, and I'll just, to finalize the response, Crispin, for October, you know us, we put out our monthly book value per share estimate each month on a lag, and we'll do the same for October. It'll be later in November. And yes, I mean, there are a lot of moving pieces in October, right? So rates have rallied, and the performance of IOs and rate hedges that were so positive in Q3 will reverse to some degree, but you have offsets on loans and securities. You know, lower rates, all else equal, could generate more origination volume and better margins at the originators, sometimes with a lag, though. So a lot of different moving pieces also with what AAAs are pricing on new securitizations. They have been wider in the last month or so with market volatility, putting out an October update later in November. And you'll see the effect of a few different parts of the market. But kind of the diversification of our portfolio, I think, is really important in a market like this or, frankly, any market.

Crispin Love

Great. Thank you. I appreciate all the color there. And J.R., I thought I'd just try, but I understand.

JR Herlihy

Thanks, Crispin.

Operator

Thank you. And our next question comes from the line of Bose George from KBW. Your question, please.

Francesco Labetti

Hey, good morning, guys. This is Frank Labetti on for Bose. I just wanted to go back to the prop reverse mortgage discussion. So you marked down the retained prop reverse mortgage tranches based on revised home price projections. Can you just talk about what changed in your assumptions, how much cushion remains, and how your outlook kind of changes go-forward view on new originations? Thanks.

Laurence Penn

Yes, so in terms of our outlook, it absolutely factors into our pricing. But in terms of the revision, we revise our forward home price projections every month, every quarter. And we use those to project cash flows on all of our securities, but particularly the reverse mortgages, where you do have a forward home price exposure, obviously. And so it was really just a function of the weakness that we saw specifically in the housing market in the third quarter. So that's an actual, right? And then, of course, we overlay that with long-term projections, which come out of, again, internal models that we have here, housing models. So I think the biggest change probably of all those was actually what we saw in the third quarter.

Francesco Labetti

Great. That's very helpful. Then you issued equity around book during the quarter and then repurchased some shares. Can you just discuss the relative return from repurchasing stock at a discount with new investment opportunities you highlighted earlier?

Laurence Penn

Sure. Yes. So, look, for many years we said 80% was the threshold. Now that our stock has more reliably traded at a premium to book around book, now in the last month or so where it's been trading below book, we want to take advantage of that opportunity. We don't think it's an either/or. We can take advantage of low asset prices and do stock repurchases. So we think this is a great opportunity to buy our stock at a 15% discount. We only had a few days before the window closed. We took advantage of it. As I said in my prepared remarks, unless you've got some sort of abnormal market conditions, I do expect to continue to have that kind of discipline around that 85% level. That's going to provide support, obviously, for shareholders. I think they should have confidence that they've got us behind them in terms of supporting the stock price.

And I think that's not only, frankly, a good trade for the company to be buying stock there, but when you look at what it can do in terms of our, for example, what it does to our book value per share, right, that accretion, we can then basically reinvest. You could almost think of them as profits, right? That boost to book value per share then just will go into supporting our earnings, supporting our ADE. So we think it makes sense on a lot of levels. And our plan is to continue to do it.

Operator

Thank you. And our next question comes from the line of Doug Harder from BTIG. Your question, please.

Laurence Penn

Before you ask that question, I do want to just follow up one more thing on Frank's question, which is that I do want to say that in terms of, again, repurchasing stock at a discount. That's right. Ask your question, and I'll follow up later. Sorry. Go ahead.

Douglas Harter

Great, thank you. Obviously, you guys came through this quarter with relative strength. Can you talk about the potential opportunities to maybe add more originator partners as others in the industry might need capital or are struggling with the higher rate environment?

Laurence Penn

Yes, all I can say is that we're always looking at it. We have some deals that we're looking at that are more live than others. You can call them in the pipeline, nothing that's imminent. You know, we're looking at some platforms. Some are bigger than others. And we do expect – I mean, this is not, again, something we necessarily expect in the short term, but we do expect that there could be some platforms for sale, and we would absolutely take a close look at that.

Douglas Harter

Great, appreciate it. Thank you.

Operator

Thank you. And our next question comes from the line of Marissa Lobo from UBS. Your question, please.

Unknown Speaker

Thank you. When you look across your portfolio and asset classes from residential transition, home equity, non-QM, commercial, where do you think spreads have widened the most relative to the underlying credit fundamentals? And where are you most interested in putting incremental capital between residential and commercial?

Mark Tecotzky

Yep. Hey, Marissa, this is Mark. I would say that within third quarter... the sharpest widening we saw that did not seem to us supported by any fundamental change – you know, nothing in the data that showed really a material change in dynamics, it was in the residential side. And so you had a, you know, with some, a little bit, you know, the residential stuff's a little different because there's a sensitivity of spreads to volatility, right? So you saw an increase in volatility with an increase in interest rates, and there were some fairly wide-publicized liquidations at certain funds, but we saw a big widening in residential spreads that wasn't supported by any aberrational prepayment behavior or aberrational home price behavior. And, you know, I'd mentioned in my prepared remarks that we do see higher interest rates. And I know things have reversed a lot since the end of the quarter, right? The end of the quarter, 10-year note was 5.30%-something beginning of October, and now it's reverted a lot of that move, but when we were living in that kind of 5.30% 10-year world and 7.40% mortgage rate world, we saw these higher rates as a headwind to HPA on the residential side and the commercial side. And I think to us, it seemed more of an issue on the commercial side where a lot of the loans that we're involved in, and others are involved in, are floating rate.

You know, on the residential side, borrowers have, by and large, locked in 30-year – you know, locked in their fixed payments for 30 years or 15 years, but locked in for a long time. On the commercial side, you have a lot of floating-rate loans where, you know, you did have 1 Fed hike in the quarter, so their debt costs went up, and it's just been a struggle for some of these sectors to generate more income, right? Rent growth has been hard to get on the multifamily side. Taxes, insurance, maintenance expenses have been going up, and so we see some of these sponsors squeezed from both ends, and so that's, I guess, to us where we saw more of a fundamental concern. And some of that is going to abate this quarter with lower interest rates, but we're watching it closely.

Unknown Speaker

Great, thank you for that color. And on LendSure, you talked about another strong quarter. I mean, we've been hearing about the challenging environment for non-QM origination more broadly. Can you just expand on what allowed LendSure to perform well through that volatility? And are you seeing any change in gain-on-sale margins today?

Mark Tecotzky

You know, I would say that they've – we've been at it a long time. It was 2014, so you're going back 12 years when we first made our equity investment with LendSure, and it has been the same management team that 12 years, and prior to LendSure, those guys, that management team ran another mortgage company. So they just have multiple decades of experience, and they bring to what is inherently a cyclical business a refreshing amount of discipline to managing things, you know, managing the expense side of the balance sheet, managing how they control credit risk. So I think they've gained market share. I think the partnership with Ellington Financial really is symbiotic because we can provide consistent pricing to LendSure. Even as there's volatility, I think some of the peer group that is not partnered up with a deep pool of capital that we have don't get the benefit of that. So I think LendSure can take a little bit longer view of the origination process, knowing that we're going to adjust our spreads, but we're going to adjust our spreads in sort of a rational, reasonable way. So we can provide them with a level of consistency in where we'll buy loans that some of the other people in the space don't have. I think that's important. I think they have gained – I think that consistency that Ellington Financial gives to LendSure, and then LendSure gives back to – you know, it's primarily a wholesale model to their brokers, has allowed them to gain market share, and that they don't need to have the lowest rate on every loan every day. You know, they've been at it for 12 years. They've demonstrated their ability to have consistent pricing, consistently close loans in a reasonable timeframe, consistently provide great levels of service, so they've been gaining market share. And I think it's those things, but I think it really is an outstanding management team at LendSure and one that is hard to replicate.

Unknown Speaker

Thank you very much.

Laurence Penn

Hey, before we take the next question, Mark -

Mark Tecotzky

Yes.

Laurence Penn

Thanks, Mark. I just have a question for you. So how much wider would you say non-QM is today versus, say, where we were before the big sell-off?

Mark Tecotzky

I would say in option-adjusted terms, we're probably still at least 10 OAS wider.

Laurence Penn

Right, but nevertheless, well less than a point, though, wider.

Mark Tecotzky

Right, in terms of on that price basis.

Laurence Penn

Yes, so the point I just want to make, and this goes back to Frank's question, right? So, yes, the opportunity set is wider, and this has to do with repurchasing stock. I mean, if we're repurchasing stock at 85% of book, our leverage is a little more than 2:1, right? You can see just by the best – what we think is the best measure of that. So we're buying our assets back, right, at, let's say, over a 5-point discount, about a 5-point discount, if you want to look at it that way. That's an incredible opportunity, right? So we want to be scientific about this. You know, we haven't seen assets widen 5 points. As Mark said, you know, non-QM, sort of our bread and butter, is not even a point wider. So this is a very compelling opportunity. We're effectively buying our assets back. When we buy at 85% of book, 15% discount, we're buying them at, say, close to 5 points cheap. That's not something you can replicate in the market. Now under abnormal market conditions, and that's why I qualified my statement before with that, then sure, you could have some incredible purchase opportunities, buying opportunities that would make – you know, that would dominate being able to buy your stock back, let's just say at 85% of book. But we want to be very scientific about how we think about our capital management. As I said, we've raised or lowered the bar, if you will, from we were 80% before, now more like 85%. And look what we did earlier in the year, right? We issued common at a premium, right, accretively, and we used the proceeds to buy back a preferred issuance that was now floating and expensive. So we always want to be thinking about what can we do from a capital management perspective to optimize our capital structure.

We're mindful of book value per share, so we don't want to do offerings that are too dilutive. We want to do purchases that are accretive. We're mindful of G&A expense ratios and the effect that shrinking our capital base can have on those, which of course hits earnings per share and ADE, so we're mindful of those. Mindful of the fact that we want our stock to be liquid. That's good for shareholders. So shrinking the common equity capital base, all other things being equal, is not a good thing. So we want to balance all those things. And as I said before, at 85%, all metrics point to this being a very good use of some dollars that we have. And we're very disciplined about keeping liquidity on hand. Right, and to that last point, we're not having to refinance near-term maturities. In fact, we added on to our unsecured financings in September. We took our unencumbered assets up to almost $2 billion, a large, you know, good proportion in cash. We've retained earnings to the point that book value per share started the year at $13.16. We're up $0.37 after the dividend at $13.53 at September 30. So we have the liquidity, we have the retained earnings, we have the ability to be opportunistic. And then we got only $4 million repurchased before the window closed. But yes, to Larry's point, it can be a very exciting opportunity, both from a company – you know, from a shareholder perspective to add value, that accretion to book value per share.

Sorry, next question, operator.

Operator

Thank you. And our next question comes from the line of Trevor Cranston from Citizens JMP. Your question, please.

Trevor Cranston

Okay, thanks. Question on the Statebridge investment that you guys made. I guess, first, just to clarify, is that company primarily a special servicer, or are they also doing performing servicing? And I guess as the second part of that, do you guys kind of view that as an investment as sort of an offset to some of the credit risk you own in the sense that, you know, maybe it's a company that potentially has more of a growth opportunity in an environment where delinquency levels are increasing? Thanks.

Laurence Penn

That's an interesting angle. Mark, you want to handle that question?

Mark Tecotzky

Yes, so right now, Trevor, they are small. They do a few different things. They do some RTL servicing, they also do some DSCR servicing, but I think for us, as we've watched over the past 4 or 5 years the understandable but quite significant consolidation in servicing space. So when we first started with NYMT, we had our servicing at Rushmore, and we thought that was a great platform. And we essentially had an employee there that was sort of watching like a hawk everything we had there, and that was a great relationship. They were then bought by Mr. Cooper. Mr. Cooper had massive scale in the agency space. What, you know, the volume we had at Rushmore wasn't big enough to really move the needle there. And then you have Mr. Cooper bought by Rocket, right? We also had other investments in EFC where we had servicing with a servicer called Gregory that had been controlled by Great Ajax. We thought Gregory did a great job in late-stage collections. You know, that's no longer a servicer we can work with, right? They've shut it down. So we just looked at things and we didn't see great options where we could really get what we think are best-in-class protocols and really have a dialogue and really be able to use our data analysis and our kind of native experience and expertise in the product to effectuate outcomes. So, look, this – it's going to take a while to build this out. I think it's going to be valuable for EFC, but I also do recognize what you pointed out, too, that you're seeing change in – significantly seeing a change in the modification policies coming out of FHA. Their pipeline of delinquencies has increased. Non-QM market as a whole is growing. You know, delinquencies when non-QM first started were trivially small because, you know, we had that big COVID HPA tailwind. We don't think that's – you know, we don't see that HPA tailwind right now, obviously.

So we think non-QM delinquencies will tick up to sort of, you know, levels that are more consistent with reasonable expectations. For years, they were way below that. So I would not at all be surprised that as we build this out and we demonstrate the quality of the resolutions we believe Statebridge can get, that there'll be opportunities for others who may want to use their services. But I think the first thing, and what we're really focused on now, is building it, right? And I think what's exciting about that process is that AI and some of the technology you've seen the last 3 or 4 years, I think, allows us to build a servicer faster, less expensively than what you could do historically. And so that sort of moved the needle to us on making this investment, and we've committed a lot of resources to it, a lot of really very sophisticated people that have built out complicated systems, and they're hard at work. And I think it's going to be definitely very, very, very valuable for EFC and gives us another line of defense if you do see a weaker economy and you do see HPA decline. But I do also think there is sort of a fee-for-service opportunity out there as well in the future if we can really build something great.

Laurence Penn

Hey, I just want to add one thing, a little inside baseball, I guess you could say. So this sort of gets to your question about is this kind of almost a countercyclical play in terms of what could be developing in the, let me just call it the delinquency market. So when we first looked at Statebridge, we actually looked at it – it was originally going to be, Mark, I'm sure you remember this, it was really going to be almost like a joint venture between us and some other – I'm not going to name names, but some other major players in the mortgage market. And they sort of got distracted. One of those companies actually ended up getting bought by someone else, I believe, but in any case, you know, this just sort of shows you, right, that the industry really needs this. Now, is Statebridge going to be incredibly profitable just based upon the loan flow they get from us? No. But as Mark said, we're going to build this into the premier special servicer. And then once we've built that and people see, because of the dearth and the dynamics that we talked before about and Mark talked about in terms of just the ability to get really the attention from the mega servicers and get the highest quality special servicing to the standards that I think investors like us and others need, I think then the business will come to them. And absolutely, even with, by the way, what we see as the pipeline, the delinquency pipeline now, once we've built this, then I think there'll be plenty of business for Statebridge to grow and thrive.

Trevor Cranston

Okay, makes sense. Appreciate all the color. Thank you, guys.

Laurence Penn

Thanks, Trevor.

Operator

Thank you. And our next question comes from the line of Timothy D'Agostino from B. Riley Securities. Your question, please.

Timothy D'Agostino

Yes, hi. Thanks for taking the questions. I think most points have been touched on, so I just wanted to ask a quick follow-up regarding an answer to a previous question. You mentioned adding new products at Longbridge. And I guess if you could just share some color on maybe what borrower needs you're looking to address with those new products, and then maybe if you could provide some characteristics or any input on those potentially new products, provide any details. Thank you.

Laurence Penn

Thanks for the question, but I can't provide any details on the products themselves. But you can imagine, right, you're dealing with, let's just say seniors, just to keep it simple. There are lots of times when a reverse mortgage, just in the traditional sense, may not be the best fit, but some other hybrid product between a reverse and a standard. You can imagine ones where you're paying some interest, but not as much interest. You could imagine there are lots of products, and we are working on – we have some in the pipeline. And, really, we will continue to address the fact that there's a ton of home equity, right, that's out there that the homeowners want and need access to in many cases. And a first mortgage, especially if you've already got a first mortgage in place, isn't always the most economical solution. So, right, in cases like that, you've already got a first mortgage on the property, so you're not going to look at a first mortgage that's a reverse to replace that. Although in some cases you will, if continuing to make monthly payments is an issue. But some sort of home equity releasing product makes just a lot of sense, and there are just many, many ways of structuring those in ways that can make a lot of sense for the consumer.

Timothy D'Agostino

Okay, thank you. That's all for me today.

Operator

Thank you. This concludes today's conference. Thank you for participating. You may now disconnect.

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