To be eligible to receive a dividend, the stock must be purchased prior to the ex date, which will then provide the buyer ownership on the record date. If the stock is not bought prior to the ex date, it will not be owned on the record date. Per a rep at Fidelity Investments.
EFC traded "ex-dividend" or without dividend on 5/29, therefore you would have had to have bot it on 5/28 in order to receive the dividend. The stock opened down on 5/29 largely reflecting the right to the dividend having passed the prior day.