Title: Slide 1 URL Source: https://www.fundslibrary.co.uk/FundsLibrary.DataRetrieval/Documents.aspx?type=packet_fund_class_doc_factsheet_private&id=58a865f7-89bc-4950-b2d6-ca0250598c4a&user=hl_website_documents Published Time: Tue, 31 Mar 2026 15:23:50 GMT Number of Pages: 3 Markdown Content: EJF Investments Limited # February 2026 ## MONTHLY FACTSHEET MONTHLY NAV PERFORMANCE JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD 2026 Monthly Performance (inclusive of dividends) (%) (0.14) 2.10 1.96 2025 Monthly Performance (inclusive of dividends) (%) 1.04 (0.22) (1.71) (1.28) 0.27 (0.54) 2.97 (0.48) 3.47 2.13 (0.57) (0.10) 4.94 2024 Monthly Performance (inclusive of dividends) (%) 0.80 1.10 1.10 1.26 (0.26) 1.45 (0.19) (0.42) (1.75) 2.64 1.77 1.97 9.80 2023 Monthly Performance (inclusive of dividends) (%) (0.58) 1.48 (4.55) (0.17) 0.84 (6.72) 0.91 1.63 (0.36) 0.80 (0.69) 0.25 (7.27) 2022 Monthly Performance (inclusive of dividends) (%) 0.13 1.34 2.22 4.01 0.72 1.87 1.09 2.73 2.47 (0.40) (3.15) 0.20 13.85 2021 Monthly Performance (inclusive of dividends) (%) 1.99 0.15 2.12 0.44 (2.09) 2.80 (0.01) 0.55 3.06 (0.16) 3.25 (1.43) 11.02 2020 Monthly Performance (inclusive of dividends) (%) 0.47 0.18 (13.57) 0.58 3.33 0.15 1.25 0.34 0.40 (0.73) 1.16 0.25 (7.02) 2019 Monthly Performance (inclusive of dividends) (%) 0.35 0.41 1.77 5.61 0.83 0.26 0.56 0.62 0.21 0.04 0.13 0.63 11.88 2018 Monthly Performance (inclusive of dividends) (%) 8.28 0.70 0.12 2.70 2.10 1.62 0.50 2.39 0.08 0.32 0.22 (1.13) 19.08 2017 Monthly Performance (inclusive of dividends) (%) 0.51* 2.96 3.65 0.24 2.85 0.34 0.90 1.37 0.54 4.92 0.59 2.53 23.47 Your attention is drawn to the disclaimer (Important Disclosure) that begins on the third page of this document . Past performance is not indicative of future results, and there can be no assurance that EJFI will achieve comparable results, will meet its target returns, achieve its investment objectives or be Ticker Symbol EJFI LN NAV/Share GBp 163 ($2.20 equivalent) Share Price GBp 131 Share Price Discount to NAV 19 .6% EJFI NAV £94 .6 million Market Cap £76 .1 million Gross Asset Value £120 .0 million Target Return 8%-10 % total return p.a. Quarterly Dividend 1 GBp 2.8625 per share (GBp 11 .45 per share p.a.) Dividend Yield 8.7% p.a. (share price) Hedging ratio 2 46 .7% Gearing ratio 3 26 .4% 2029 ZDP Cover 4 3.38 x Ongoing Charges 5 1.9% 2029 ZDP Shares Ticker : EJFZ LN Shares : 24 .4m, Maturity : 12 /2029 Capital Entitlement : GBp 145 .48 Current Share Price : GBp 108 EJFI Key Facts (as of 28 February 2026) *This performance reflects the period 1 February through 9 February, the Exchange Offer Completion Date. EJF Capital LP AUM¹ $5.2 Billion EJFI Annualised Performance since inception² (%) 8.65 > 1 The Company targets an annual dividend of 11 .45 pence per share for the financial year to 31 December 2026 , to be distributed evenly in four quarterly payments . > 2 The Company’s base currency is denominated in GBP, though most of the Company’s investments are currently in USD . As of 28 February 2026 , USD 71 .1m of approximately USD 153 .6m exposure is hedged . > 3 Gearing ratio is computed as current accreted value of ZDP Shares over the NAV of the Company . > 4 Calculates as the redemption value of 2029 ZDP shares in issue over NAV gross of the current accreted value of 2029 ZDP Shares . > 5 For FY 25 and calculated in line with Association of Investment Companies (“AIC”) recommended methodology . Investment Manager Monthly Commentary ¹AUM includes $2.9 billion of CDO managed assets and $151.6 million of uncalled capital as at 31 December 2025. Effective 1 January 2026, EJF Capital LLC converted to EJF Capital LP. ²Based on the Company’s 28 Februar y 2026 unaudited financials. Portfolio Activity : EJFI’s February 2026 NAV was £94 .6m2 or GBp 163 2 per share, representing a gain (inclusive of dividends) of 2.10 %2 for the month . The Company recorded a 1.11 % FX gain due to the strengthening of the US Dollar versus Sterling . The portfolio was hedged c.47 % against its US Dollar exposure at month end . The underlying portfolio returned 1.30 %, 1.27 % of which was contributed by the Securitisation and Related Investments portfolio . On 27 February 2026 , the Company closed its investment in TFINS 2026 -1. The Manager believes that the investment in TFINS 2026 -1 will generate approximately a 15 % yield to maturity (further details can be found here ). As with prior transactions, the TFINS 2026 -1 structure pays a higher management fee than the legacy structure it retired (30 bps vs 20 bps) resulting in a 0.79 % uplift in the value of the CDO Manager . The remaining return on the portfolio was generated from regular interest accruals . Market : Bank equities declined modestly in February as fears of artificial intelligence (“AI”) disruption and private credit dislocations increased throughout the capital markets . Subsequent to month -end, war broke out in the Middle East as US and Israeli forces took military action against Iran . While the US economy is more insulated from extreme oil price increases today than 10 -15 years ago, as the US is a net - exporter of energy, the lower -income consumer remains susceptible to the cumulative impacts of this decade’s inflation . In addition, any near -term impact to inflation reduces the Federal Reserve’s (“Fed”) ability to cut short -term rates in the near future . AI technology is advancing rapidly and the Manager expects it to have a near -term, material impact on businesses and consumers . After powering large tech companies’ stocks higher for years, the adoption, or fear of adoption, of AI is starting to impact certain sectors of the capital markets . Initially, the first “at -risk” industry was the software industry’s stocks and bonds, as AI has the potential to reduce the moats around these companies . As the month of February progressed, certain industries in financials were impacted, including insurance brokers and wealth management companies . Near the end of the month, a blog post describing mass white -collar layoffs was attributed to a sell -off in financial stocks, particularly consumer finance stocks . While the market has begun to discount growth stock multiples given the uncertainty around AI, the Manager believes that the near -term use cases will likely be multiple accretive for the banking sector . Given the rise of Anthropic’s Claude 4.6, early -stage fintech companies, some of which the Manager follows on its EJF Ventures platform, have noted the product’s potential to accelerate their coding timelines by five years . This should mean that changes are likely in the near -term as opposed to further in the future . The Manager expects that back -office automation has the potential to reduce non - interest expenses for a typical bank by 20 % over time . In a vacuum, this means that an average bank with 2.5% non -interest expenses to assets could add 50 bps of ROA to its bottom line . Of course, the Manager expects most banks to execute on these cost savings by freezing hiring and replacing certain jobs with automation as they grow their balance sheets . Private credit is an approximately $2 trillion area of non -bank lending that has received increased scrutiny in the past few months with concerns over credit underwriting and vehicle structure . The growth of private credit tracks the outsized growth of shadow banking that the Manager has seen since the Global Financial Crisis (“GFC”) . The post -crisis regulations of Dodd Frank and Basel III essentially regulated the banks out of areas such as transitional lending (150 % risk -weighted assets), mortgage servicing rights (“MSRs”), minority equity investments, and parts of higher risk consumer lending . The Manager saw non -banks build large portfolios with no regulation and borrowed money to enhance IRRs . The Manager believes one issue within private credit today is the structure of certain funds, particularly those with more retail -focused investor bases . Certain funds have structures that allow for quarterly redemptions, while the funds own illiquid assets . As long as redemptions are modest compared to subscriptions, a fund manager is usually able to handle potential redemptions using cash flow from interest payments and principal amortisation . Many fund managers have the ability to “gate” redemptions in excess of 5% of the fund’s AUM . As news of funds gating redemptions spread through the market, more investors have asked to redeem their investments, causing a larger issue for certain private credit fund managers . Structure -aside, the Manager believes the other primary issue for the private credit market has been the credit performance of investments . Late last year and into this year, there have been credit events that have impacted certain private credit funds . While the most immediate impact would be to the fund’s investors, some funds have used leverage from the banking industry (or other private credit players) to increase returns . After the fears of bank exposure to non -depository financial institutions (“NDFIs”) late last year following three high -profile credit events involving apparent fraud, in late February 2026 , a few European banks and some private credit funds were impacted by the collapse of a UK -based commercial real estate bridge lender in what appears to be the double -pledging of collateral . The equities of many US -based regional banks which had exposure to NDFIs were weak at the very end of the month on this news, despite not having any exposure to this specific credit situation . While thematic narratives impacted bank stocks, the Manager continues to be pleased with the fundamentals that are being observed from the industry on strengthening loan growth, net interest margin (“NIM”) expansion, regulatory easing, and M&A . In comments at investor conferences and in broader industry data such as the Fed’s H.8 data, loan growth and expectations for growth continue to strengthen . Between the fixed asset repricing opportunity and the currently upward -sloping yield curve, many bank management teams believe that NIM expansion could continue for multiple years, although the Manager does acknowledge that interest rates and the yield curve could change quickly . On the regulatory front, the Fed and other bank regulatory agencies have started to look to allow banks to take a greater share in the mortgage industry . Vice Chair for Supervision Michelle Bowman stated that regulators were looking at updating the capital rules for MSRs held by banks, as well as updating the risk - weighting rules for residential mortgages, which would reduce the capital required for low -LTV loans .Securitisations & Related Investments # February 2026 Existing Portfolio Breakdown 1 # EJF Investments Limited ## MONTHLY FACTSHEET ▪ £73.6 million investment in 6 CDO Equity Tranches of securitisations sponsored by EJF Capital LP ▪ £7.4 million investment in EJF CDO Manager LLC (49% ownership interest) ▪ £1.3 million investment in 3 Mezzanine debt securities of securitisations sponsored by EJF Capital LP ▪ £0.7 million investment in TruPS CDO securities Cash and Cash Equivalents ▪ £17.1 million unrestricted cash ▪ £2.1 million restricted cash 2 ▪ £4.9 million in a money market fund > 1 Based on the Company’s 28 February 2026 unaudited financials. > 2 Including an unrealised gain on forward currency contracts of £0.2 million. EJF Investments Ltd (“EJFI” or the “Company”, together with its subsidiary the “Group”) is a Jersey incorporated, closed end investment company . EJFI's shares are traded on the Specialist Fund Segment of the London Stock Exchange . EJFI offers exposure a diversified portfolio of regulated debt issued by smaller US banks and insurance companies and participation in certain management fee income streams of EJF Capital LP . EJFI's objective is to provide shareholders with attractive risk adjusted returns via regular dividends and capital growth over the long term . COMPANY OVERVIEW EJF Investments Manager LLC (the “Manager”) U.K. Office 16 Berkeley Street, London, W1J 8DZ info@ejfi.com Panmure Liberum U.K. Office 25 Ropemaker Street London EC2Y 9LY james.shields@panmureliberum.com Barclays Bank PLC U.K. Office 1 Churchill Place, London E14 5HP barclaysinvestmentcompanies@barclays.com Apex Financial Services (Alternative Funds) Limited Jersey Office IFC 5, St Helier, Jersey JE1 1ST ejficosec@apexgroup.com EJFI primarily invests in a diversified portfolio of regulated debt issued by smaller US banks and insurance companies via CDO Equity Tranches, where the CDOs were structured by an affiliate of EJF Capital LP . EJFI owns a 49 % interest in EJF CDO Manager LLC (the “CDO Manager”) that manages CDOs and generates regular income . EJFI also invests in Credit Risk Transfer (“CRT”) bonds which enables a bank to reduce its regulatory capital on a pool of loans that are carried on its balance sheet . PORTFOLIO OVERVIEW Credit Risk Transfer ▪ £7.6 million in two Credit Risk Transfer (“CRT”) transactions US Bank debt ▪ £5.2 million in EJF Financial Services Offshore Fund (fee free debt share class) February 2026 # EJF Investments Limited ## MONTHLY FACTSHEET IMPORTANT DISCLOSURE PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS, WHICH MAY VARY . There is no guarantee that the Company will continue to invest in these allocations at all or do so in the same manner as set forth in this factsheet . Allocations may change at any time without notification to shareholders . Pie charts include all investments, cash and hedges . Returns are net of fees, accrued liabilities and expenses and include dividend reinvested . This material is not for distribution to retail clients and is directed exclusively to the Company’s professional clients and eligible counterparties, as defined in the Markets in Financial Instruments Directive (2004 /39 /EC) Article 4(1) (12 ). The information provided herein is intended solely for the use of the party to whom the Company or the Manager has provided it, is strictly confidential, and may not be reprinted or distributed in whole or in part nor may its contents be disclosed to any other recipient under any circumstances . By accepting this information, the recipient agrees that it will not divulge any such information to any other party . This document, and the information contained therein, is not for viewing, release, distribution or publication in or into the United States, Canada, Japan, South Africa or any other jurisdiction where applicable laws prohibit its release, distribution or publication, and will not be made available to any national, resident or citizen of such jurisdiction . The distribution of this document in certain jurisdictions may be restricted by law ; therefore, people into whose possession this document comes should inform themselves about and observe any such restrictions . It does not take into account the particular investment objectives, financial situation, risk adversity, tax status or needs of individual clients . The Company and the Manager disclaim any and all liability relating to a decision based on or for reliance on this document . This document is directed only at : (i) persons having professional experience in matters relating to investments who fall within the definition of "investment professionals" in Article 19 (5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 ; or (ii) high net worth bodies corporate, unincorporated associations and partnerships and trustees of high value trusts as described in Article 49 (2) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 and persons who receive this document who do not fall within (i) or (ii) above should not rely on or act upon this document . This document has been prepared for general information purposes only and has not been delivered for registration in any jurisdiction nor has its content been reviewed by any regulatory authority in any jurisdiction . The information contained herein does not constitute : (i) a legal agreement (ii) legal, regulatory, tax, accounting or other advice, (iii) an offer, recommendation or solicitation to buy or sell shares in any fund or any security, commodity, financial instrument or derivative linked to, or otherwise included in the Company or a portfolio managed or advised by EJF Capital LP (“EJF”), the Manager or their respective affiliates, (iv) an offer to enter into any other transaction whatsoever, (each a “Transaction”) . This document does not constitute due diligence reporting and neither the Company nor the Manager bear any responsibility for your investment research and/or investment decisions, nor will the Company or the Manager be liable of any decision made or actions taken by you or others based on the contents of this document and neither the Company, the Manager, nor any of their respective directors, officers, employees or representatives accept any liability whatsoever for any loss or damage of any kind and howsoever arising . These materials may also contain historical market data ; however, historical market trends are not reliable indicators of future market behavior . Any historical investment results of any person or entity described in this material are not indicative of the future investment results . Such results are intended only to give potential investors information concerning the general experience of the relevant person or entity, and is not intended as a representation or warranty by the Company, the Manager, EJF or any other person or entity as to the actual composition of or performance of any future investments . The information herein may include statements of future expectations, estimates, projections, models, forecasts, scenarios, and other forward -looking statements (collectively "Statements") . The Statements provided are based on the Manager’s beliefs, assumptions and information available at the time of issuance of such Statement . Such Statements may be speculative in nature, and can be expected that some or all of the assumptions underlying the forecasts and estimates will not materialize and/or that actual events and consequences thereof will vary significantly from the assumptions upon which forecasts and estimates contained herein have been based . The inclusion of such Statements herein should not be regarded as a representation or guarantee regarding the reliability, accuracy or completeness of the information contained herein, neither the Company nor the Manager are under any obligation to update or keep current such information . As a result, all the information contained in this document, including the Statements, is inherently speculative and actual results or events may differ materially from those expressed or implied in such Statements . Therefore, this information, as well as the Statements, cannot be relied upon for any purpose other than the current illustrative one . No liability whatsoever (whether in negligence or otherwise) arising directly or indirectly from the use of this document is accepted and no representation, warranty or undertaking, express of implied, is or will be made by the Company, the Manager, EJF or any of their respective directors, officers, employees, advisers, representatives or any other agents (“Agents”) for any information or any of the opinions contained herein or for any errors, omissions or misstatements . None of the Agents makes or has been authorised to make any representation or warranties (express or implied) in relation to the Company or as to the truth, accuracy or completeness of this document, or any other written or oral statement provided . In particular, no representation or warranty is given as to the achievement or reasonableness of, and no reliance should be placed on any projections, targets, estimates or forecasts contained in this document and nothing in this document is or should be relied on as a promise or representation as to the future . The information, estimates, forecasts or opinions supplied by the Company, the Manager and/or EJF in this document are supplied for your private use and information, and for discussion purposes only and do not constitute, and may not be used for the purposes of, an offer to sell or the solicitation of an offer to buy, nor shall there be any sale of, shares issued by the Company (or units, notes, products or shares issued by a fund managed or promoted by the Manager, EJF or their respective affiliates) in any jurisdiction in which such offer, solicitation or sale would be unlawful . The information supplied by the Company, the Manager, EJF or their respective affiliates and contained herein shall not be deemed to constitute investment advice and should not be relied upon as the basis for a decision to enter into a transaction or as the basis for an investment in shares issued by the Company (or units, notes, products or shares issued by a fund managed or promoted by the Manager, EJF or their respective affiliates) as an investment in such shares notes, or products or units may not be suitable or lawful for all investors . Prospective investors should (i) consult their financial, accounting, tax and legal advisors prior to any investment in units or shares issued by a fund managed or promoted by the Manager, EJF or its affiliates ; and (ii) inform themselves as to (a) the appropriateness of said investment in units or shares (b) the legal requirements within their own jurisdictions for the purchase or holding of said investment, (c) any foreign exchange restrictions which may affect them, and (d) the income and other tax consequences which may apply in their own jurisdictions relevant to the purchase, holding or disposal of units or shares of the relevant fund or investment vehicle . This document contains information about EJF, certain of its respective personnel and affiliates and the historical performance information of investment vehicles whose portfolios are managed by EJF or its affiliates . Such information has been included to provide information as to general portfolio management experience . You should not view the past performance of the Company or its investments, or EJF, as indicative of future results . Neither the Company, the Manager, nor EJF makes any representation or warranty, express or implied, as to the fairness, accuracy or completeness of the information contained herein and nothing contained herein shall be relied upon as a promise or representation as to past or future performance of any structure, managed by EJF or the Manager from time to time . The shares issued and to be issued by the Company (the “Shares”) have not been and will not be registered under the U.S. Securities Act of 1933 , as amended (the “Securities Act”), or with any securities regulatory authority of any state or other jurisdiction of the United States . The Shares may not be offered, sold, resold, pledged, delivered, distributed or otherwise transferred, directly or indirectly, into or within the United States, or to, or for the account or benefit of, U.S. persons (as defined in Regulation S under the Securities Act), except to persons who are both a “qualified purchaser” as defined in Section 2(a)( 51 ) and related rules of the U.S. Investment Company Act of 1940 , as amended, (the “Investment Company Act”) and an “accredited investor” as defined in Rule 501 (a) of Regulation D under the Securities Act . No public offering of the Shares is being made in the United States . The Company has not been and will not be registered under the Investment Company Act and, as such, holders of the Shares will not be entitled to the benefits of the Investment Company Act . No offer, sale, resale, pledge, delivery, distribution or transfer of the Shares may be made except under circumstances that will not result in the Company being required to register as an investment company under the Investment Company Act . Neither the U.S. Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Shares or passed upon or endorsed the merits of the offering of the Shares or the adequacy or accuracy of this document . Any representation to the contrary is a criminal offence in the United States . In addition, the Shares are subject to restrictions on transferability and resale in certain jurisdictions and may not be transferred or resold except as permitted under applicable securities laws and regulations . Investors may be required to bear the financial risks of their investment in the Shares for an indefinite period of time . Any failure to comply with these restrictions may constitute a violation of the securities laws of any such jurisdictions . All investments are subject to risk, including the loss of the principal amount invested . Past performance is not necessarily indicative of future results, and there can be no assurance that the Company will achieve comparable results, will meet its target returns, achieve its investment objectives or be able to implement its investment strategy . All investments to be held by the Company involve a substantial degree of risk, including the risk of total loss . The value of Shares and the income from them is not guaranteed and can fall as well as rise due to stock market and currency movements . When you sell your investment you may get back less than you originally invested . You should always seek expert legal, financial, tax and other professional advice before making any investment decision . The Company has appointed ACOLIN Fund Services SA, 6 Cours de Rive, 1204 Geneva, Switzerland, as its Swiss Representative . Banque Cantonale de Genève, 17 Quai de l’Ile, CH -1208 Geneva, Switzerland is the Swiss Paying Agent . In Switzerland shares shall be distributed exclusively to qualified investors . The fund offering documents, articles of association and audited financial statements can be obtained free of charge from the Representative . The place of performance with respect to shares distributed in or from Switzerland is the registered office of the Representative . EJF Investments Limited is regulated by the Jersey Financial Services Commission .