What is Ellington Credit Co Probability of Financial Distress (%)?
Probability of Financial Distress (%) measures the probability that a company will go bankrupt in the upcoming year given its current financial position. A higher ratio indicates a larger probability of bankruptcy for the company, while a lower ratio indicates a healthier fundamental. As of today, Ellington Credit Co's Probability of Financial Distress (%) is 0.07%.
Like the Altman Z-Score, the PFD measures a company's bankruptcy risk. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.
Competitive Comparison of Ellington Credit Co's Probability of Financial Distress (%)
For the Asset Management subindustry, Ellington Credit Co's Probability of Financial Distress (%), along with its competitors' market caps and Probability of Financial Distress (%) data, can be viewed below:
* Competitive companies are chosen from companies within the same industry, with headquarter located in same country, with closest market capitalization; x-axis shows the market cap, and y-axis shows the term value; the bigger the dot, the larger the market cap. Note that "N/A" values will not show up in the chart.
Ellington Credit Co's Probability of Financial Distress (%) Distribution in the Asset Management Industry
For the Asset Management industry and Financial Services sector, Ellington Credit Co's Probability of Financial Distress (%) distribution charts can be found below:
* The bar in red indicates where Ellington Credit Co's Probability of Financial Distress (%) falls into.
Ellington Credit Co Probability of Financial Distress (%) Calculation
Probability of Financial Distress (%) (PFD) was developed by John Campbell, Jens Hilscher and Jan Szilagyi in their Search of Distress Risk. It measures the probability that a company will go bankrupt within the next 12 months given its current financial position.
The Probability of Financial Distress (%) was obtained by a logit probability model based on eight explanatory variables. The logit formula to compute the probability of financial distress (LPFD) is given below:
| LPFD | = | -20.12 * NIMTAAVG | + | 1.60 * TLMTA | - | 7.88 * EXRETAVG | + | 1.55 * SIGMA | - | 0.005 * RSIZE | - | 2.27 * CASHMTA | + | 0.070 * MB | - | 0.09 * PRICE | - | 8.87 |
| = | -7.32 |
The Probability of Financial Distress (%) (PFD) was then obtianed by:
| PFD | = | 1 | / | (1 + e^(-LPFD)) | * | 100% |
| = | 0.07% |
The eight explanatory variables are:
1. NIMTAAVG = Net Income to Market Total Assets
*Note that for companies reported quarterly, geometrically declining weighted quarterly Net Income data in latest four quarters are used.
2. TLMTA = Total liabilities to Market Total Assets
3. CASHMTA = Cash to Market Total Assets
For banks, CASHMTA is measured as:
4. EXRETAVG = Excess Return compared to the S&P 500
EXRETAVG is the weighted excess return compared to the S&P 500 in past 12 month. Geometrically declining weights are imposed on the monthly excess return to reflect lagged information. The weight is halved each quarter.
5. SIGMA = Standard Deviation of Daily Returns
For sigma, we use the annualized standard deviation of a company's returns over the past 92 days (or 63 trading days).
6. RSIZE = Relative Size
| RSIZE | = | log (Market Cap | / | Total Market Cap of S&P 500 companies) |
7. MB = Market to Adjusted Book Equity Ratio
8. PRICE
PRICE is measured as the log of the stock price, capped at log(15).
Ellington Credit Co (Ellington Credit Co) Business Description
Traded in Other Exchanges
Address
53 Forest Avenue, Old Greenwich, CT, USA, 06870
Ellington Residential Mortgage REIT is principally engaged in the business of acquiring, investing in, and managing residential mortgage- and real estate-related assets through its wholly-owned subsidiaries. The company's primary objective is to generate attractive current yields and risk-adjusted total returns for shareholders by investing in assets that compensate appropriately for the risks associated with them.
Executives
| Mary E Mcbride |
director |
6199 E. PRINCETON CIRCLE, ENGLEWOOD CO 80111 |
| Blackstone Holdings Iii L.p. |
10 percent owner |
C/O BLACKSTONE INC., 345 PARK AVENUE, NEW YORK NY 10154 |
| Chukudi Melvin Ike |
director |
53 FOREST AVENUE, OLD GREENWICH CT 06870 |
| Ronald I Simon |
director |
485 MADISON AVENUE, 14TH FLOOR, NEW YORK NY 10022 |
| Laurence Penn |
director, officer: CEO and President |
52 FOREST AVENUE, OLD GREENWICH CT 06870 |
| John Herlihy |
officer: Chief Operating Officer |
53 FOREST AVENUE, OLD GREENWICH CT 06870 |
| Chris Smernoff |
officer: Chief Financial Officer |
53 FOREST AVENUE, OLD GREENWICH CT 06870 |
| Mark Tecotzky |
officer: Co-Chief Investment Officer |
53 FOREST AVENUE, OLD GREENWICH CT 06870 |
| Michael W Vranos |
director, officer: Co-Chief Investment Officer |
52 FOREST AVENUE, OLD GREENWICH CT 06870 |
| David Miller |
director |
53 FOREST AVENUE, OLD GREENWICH CT 06870 |
| Bto Earn Manager L.l.c. |
10 percent owner |
C/O THE BLACKSTONE GROUP, 345 PARK AVENUE, NEW YORK NY 10154 |
| Blackstone Tactical Opportunities Earn Holdings L.l.c. |
10 percent owner |
C/O THE BLACKSTONE GROUP, 345 PARK AVENUE, NEW YORK NY 10154 |
| Stephen A Schwarzman |
10 percent owner |
C/O BLACKSTONE INC., 345 PARK AVE, NEW YORK NY 10154 |
| Btoa L.l.c. |
10 percent owner |
C/O BLACKSTONE INC., 345 PARK AVENUE, NEW YORK NY 10154 |
| Blackstone Holdings Iii Gp Management L.l.c. |
10 percent owner |
C/O BLACKSTONE INC., 345 PARK AVENUE, NEW YORK NY 10154 |
Ellington Credit Co (Ellington Credit Co) Headlines
Quick Browse
Personalize
Premium Gurus 
Create New Portfolio
Portfolio Contest
EARN has been successfully added to your