| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| ($ in thousands) | ||||||||||||||||||||||||||||||||||||||
| Collateralized Loan Obligations—Debt | ||||||||||||||||||||||||||||||||||||||
| United States (4) | ||||||||||||||||||||||||||||||||||||||
| Structured Finance | ||||||||||||||||||||||||||||||||||||||
| 37 Capital CLO 1, Ltd. (5)(7) | Secured Note — Class E, 11.13% (SOFR + 7.46% due October 15, 2034) | 08/05/25 | $ | 1,670 | $ | 1,670 | $ | 1,557 | 0.98 | % | ||||||||||||||||||||||||||||
| Atlas Senior Loan Fund X, Ltd. (5)(7) | Secured Note — Class E, 9.63% (SOFR + 5.96% due January 15, 2031) | 07/22/25 | 1,850 | 1,780 | 1,603 | 1.00 | % | |||||||||||||||||||||||||||||||
| Atlas Senior Loan Fund XIV, Ltd. (5)(6) | Secured Note — Class E, 10.88% (SOFR + 7.20% due July 20, 2032) | 05/16/24 | 1,250 | 1,045 | 815 | 0.51 | % | |||||||||||||||||||||||||||||||
| Atlas Senior Loan Fund XXII, Ltd. (5)(7) | Secured Note — Class ER, 11.43% (SOFR + 7.75% due April 20, 2039) | 06/24/26 | 1,500 | 1,437 | 1,448 | 0.91 | % | |||||||||||||||||||||||||||||||
| Atlas Static Senior Loan Fund I, Ltd. (5)(7) | Secured Note — Class E, 12.18% (SOFR + 8.51% due July 15, 2030) | 03/09/26 | 1,000 | 996 | 1,003 | 0.63 | % | |||||||||||||||||||||||||||||||
| Bain Capital Credit CLO 2017-2, Limited (5)(7) | Secured Note — Class ER3, 11.01% (SOFR + 7.34% due July 25, 2037) | 06/24/25 | 6,560 | 6,560 | 6,127 | 3.84 | % | |||||||||||||||||||||||||||||||
| Bain Capital Credit CLO 2022-2, Limited (5)(7) | Secured Note — Class ER, 11.01% (SOFR + 7.35% due April 22, 2035) | 06/13/25 | 1,620 | 1,620 | 1,425 | 0.89 | % | |||||||||||||||||||||||||||||||
| Ballyrock CLO 19 Ltd. (5)(7) | Secured Note — Class D, 10.79% (SOFR + 7.11% due April 20, 2035) | 08/20/25 | 4,158 | 4,054 | 3,964 | 2.48 | % | |||||||||||||||||||||||||||||||
| Canyon CLO 2016-1, Ltd. (7) | Secured Note — Class ER, 9.68% (SOFR + 6.01% due July 15, 2031) | 07/15/25 | 1,500 | 1,487 | 1,376 | 0.86 | % | |||||||||||||||||||||||||||||||
| Canyon CLO 2016-2, Ltd. (5)(6)(7) | Secured Note — Class ER, 9.93% (SOFR + 6.26% due October 15, 2031) | 10/28/25 | 2,250 | 2,152 | 1,598 | 1.00 | % | |||||||||||||||||||||||||||||||
| Canyon CLO 2019-1, Ltd. (5)(7) | Secured Note — Class ERR, 11.17% (SOFR + 7.50% due July 15, 2037) | 07/24/25 | 650 | 646 | 603 | 0.38 | % | |||||||||||||||||||||||||||||||
| Carlyle US CLO 2017-2, Ltd. (5)(7) | Secured Note — Class ER2, 11.24% (SOFR + 7.56% due July 20, 2037) | 06/08/26 | 1,265 | 1,247 | 1,232 | 0.77 | % | |||||||||||||||||||||||||||||||
| Carlyle US CLO 2018-4, Ltd. (5)(7) | Secured Note — Class E2R, 11.54% (SOFR + 7.86% due October 17, 2037) | 06/10/26 | 1,670 | 1,666 | 1,657 | 1.04 | % | |||||||||||||||||||||||||||||||
| CarVal CLO III Ltd. (5)(7) | Secured Note — Class ER2, 9.68% (SOFR + 6.00% due July 20, 2032) | 05/20/26 | 1,150 | 1,094 | 1,092 | 0.68 | % | |||||||||||||||||||||||||||||||
| CBAM 2018-8, Ltd. (5)(7) | Secured Note — Class E1R, 11.07% (SOFR + 7.40% due July 15, 2037) | 06/03/26 | 3,000 | 3,007 | 3,001 | 1.88 | % | |||||||||||||||||||||||||||||||
| Crown City CLO III (5)(7) | Secured Note — Class D, 10.69% (SOFR + 7.01% due July 20, 2034) | 05/08/25 | 2,000 | 1,931 | 1,838 | 1.15 | % | |||||||||||||||||||||||||||||||
| Crown Point CLO 10, Ltd. (5)(7) | Secured Note — Class E, 10.79% (SOFR + 7.11% due July 20, 2034) | 07/01/25 | 1,700 | 1,687 | 1,638 | 1.03 | % | |||||||||||||||||||||||||||||||
| Elevation CLO 2013-1, Ltd. (5)(7) | Secured Note — Class ER3, 11.42% (SOFR + 7.75% due July 25, 2038) | 08/11/25 | 3,550 | 3,373 | 3,414 | 2.14 | % | |||||||||||||||||||||||||||||||
| First Eagle BSL CLO 2019-1 Ltd. (5)(7) | Secured Note — Class D, 11.64% (SOFR + 7.96% due January 20, 2033) | 05/16/25 | 5,590 | 5,516 | 5,560 | 3.48 | % | |||||||||||||||||||||||||||||||
| Fortress Credit BSL IX Limited (5)(7) | Secured Note — Class ER, 11.28% (SOFR + 7.60% due October 20, 2033) | 10/24/25 | 4,950 | 4,950 | 4,770 | 2.99 | % | |||||||||||||||||||||||||||||||
| Fortress Credit BSL XII Limited (5)(7) | Secured Note — Class E, 11.06% (SOFR + 7.39% due October 15, 2034) | 06/26/25 | 1,000 | 971 | 891 | 0.56 | % | |||||||||||||||||||||||||||||||
| Fortress Credit BSL XVII Limited (5)(7) | Secured Note — Class E, 11.82% (SOFR + 8.15% due October 23, 2034) | 06/10/24 | 2,750 | 2,750 | 2,653 | 1.66 | % | |||||||||||||||||||||||||||||||
| Greywolf CLO II, Ltd. (5)(7) | Secured Note — Class DRR, 10.98% (SOFR + 7.31% due April 15, 2034) | 02/20/25 | 2,000 | 1,955 | 1,955 | 1.22 | % | |||||||||||||||||||||||||||||||
| Guggenheim CLO 2020-1, Ltd. (5)(7) | Secured Note — Class ER, 11.08% (SOFR + 7.41% due April 15, 2031) | 03/26/26 | 2,000 | 1,997 | 2,000 | 1.25 | % | |||||||||||||||||||||||||||||||
| HalseyPoint CLO 3, Ltd. (5)(7) | Secured Note — Class ER, 11.77% (SOFR + 8.11% due July 30, 2037) | 08/23/24 | 860 | 860 | 808 | 0.51 | % | |||||||||||||||||||||||||||||||
| Hayfin Kingsland XI, Ltd. (5)(7) | Secured Note — Class ER, 11.66% (SOFR + 7.98% due October 20, 2034) | 05/19/26 | 2,500 | 2,503 | 2,491 | 1.56 | % | |||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| HPS Private Credit CLO 2024-2, LLC (5)(7) | Secured Note — Class E, 11.77% (SOFR + 8.12% due May 15, 2036) | 05/12/26 | $ | 3,550 | $ | 3,549 | $ | 3,555 | 2.23 | % | ||||||||||||||||||||||||||||
| ICG US CLO 2014-1, Ltd. (5)(7) | Secured Note — Class DR2, 12.29% (SOFR + 8.61% due October 20, 2034) | 05/22/24 | 4,000 | 3,653 | 3,899 | 2.44 | % | |||||||||||||||||||||||||||||||
| ICG US CLO 2017-1, Ltd. (5)(7) | Secured Note — Class ERR, 11.29% (SOFR + 7.62% due July 28, 2034) | 05/16/25 | 2,500 | 2,396 | 2,360 | 1.48 | % | |||||||||||||||||||||||||||||||
| Jefferies Credit Partners Direct Lending CLO 2024-I Ltd. (5)(7) | Secured Note — Class E, 11.92% (SOFR + 8.25% due July 25, 2036) | 01/20/26 | 1,000 | 1,008 | 993 | 0.62 | % | |||||||||||||||||||||||||||||||
| LCM 36 Ltd. (5) | Secured Note — Class E, 10.64% (SOFR + 6.97% due January 15, 2034) | 06/25/26 | 2,170 | 1,006 | 992 | 0.62 | % | |||||||||||||||||||||||||||||||
| Marathon CLO 2021-16 Ltd. (5)(7) | Secured Note — Class DR, 10.52% (SOFR + 6.85% due April 15, 2034) | 06/25/25 | 2,500 | 2,500 | 2,350 | 1.47 | % | |||||||||||||||||||||||||||||||
| Marathon CLO VI Ltd. (6) | Secured Note — Class DRR, 10.06% (SOFR + 6.41% due May 13, 2028) | 11/29/23 | 360 | — | — | — | % | |||||||||||||||||||||||||||||||
| NGC 2024-I Ltd. (5)(7) | Secured Note — Class E, 12.41% (SOFR + 8.73% due July 20, 2037) | 03/25/26 | 2,000 | 2,011 | 2,000 | 1.25 | % | |||||||||||||||||||||||||||||||
| Northwoods Capital 27, Limited (5)(6)(7) | Secured Note — Class E, 10.98% (SOFR + 7.30% due October 17, 2034) | 02/20/25 | 1,150 | 1,092 | 948 | 0.59 | % | |||||||||||||||||||||||||||||||
| Northwoods Capital XI-B, Limited (5)(7) | Secured Note — Class ER, 11.03% (SOFR + 7.35% due July 19, 2037) | 05/28/26 | 1,712 | 1,562 | 1,548 | 0.97 | % | |||||||||||||||||||||||||||||||
| Octagon 64, Ltd. (5)(7) | Secured Note — Class E, 11.26% (SOFR + 7.59% due July 21, 2037) | 06/09/26 | 1,250 | 1,154 | 1,147 | 0.72 | % | |||||||||||||||||||||||||||||||
| Octagon Investment Partners 44, Ltd. (5)(6) | Secured Note — Class ER, 10.68% (SOFR + 7.01% due October 15, 2034) | 07/23/25 | 272 | 259 | 229 | 0.14 | % | |||||||||||||||||||||||||||||||
| Octagon Investment Partners 50, Ltd. (5)(6)(7) | Secured Note — Class ER, 10.73% (SOFR + 7.06% due January 15, 2035) | 07/18/25 | 1,500 | 1,450 | 1,245 | 0.78 | % | |||||||||||||||||||||||||||||||
| OZLM XIX, Ltd. (5)(7) | Secured Note — Class DR, 11.56% (SOFR + 7.89% due January 15, 2035) | 09/11/25 | 2,640 | 2,604 | 2,587 | 1.62 | % | |||||||||||||||||||||||||||||||
| OZLM XXIV, Ltd. (5)(6)(7) | Secured Note — Class D, 10.99% (SOFR + 7.31% due July 20, 2032) | 10/25/24 | 2,600 | 2,248 | 2,285 | 1.43 | % | |||||||||||||||||||||||||||||||
| Park Avenue Institutional Advisers CLO Ltd. 2021-2 (5)(7) | Secured Note — Class E, 10.94% (SOFR + 7.27% due July 15, 2034) | 05/15/25 | 3,000 | 2,914 | 2,813 | 1.76 | % | |||||||||||||||||||||||||||||||
| Park Avenue Institutional Advisers CLO Ltd. 2022-1 (5) | Secured Note — Class D, 10.97% (SOFR + 7.29% due April 20, 2035) | 04/30/26 | 2,000 | 1,992 | 1,996 | 1.25 | % | |||||||||||||||||||||||||||||||
| Park Avenue Institutional Advisers CLO Ltd. 2022-2 (5)(7) | Secured Note — Class DR, 12.39% (SOFR + 8.71% due January 20, 2037) | 03/26/26 | 4,400 | 4,404 | 4,400 | 2.75 | % | |||||||||||||||||||||||||||||||
| Park Blue CLO 2025-VIII, Ltd. (5)(6)(12) | Secured Note — Class F, 11.81% (SOFR + 8.14% due October 25, 2038) | 08/21/25 | 100 | 87 | 99 | 0.06 | % | |||||||||||||||||||||||||||||||
| Pikes Peak CLO 3 (5)(7) | Secured Note — Class ERR, 10.54% (SOFR + 6.87% due October 25, 2034) | 03/31/26 | 3,500 | 3,278 | 3,360 | 2.10 | % | |||||||||||||||||||||||||||||||
| Rockford Tower CLO 2021-3, Ltd. (5)(7) | Secured Note — Class ER, 11.09% (SOFR + 7.42% due January 15, 2038) | 11/22/24 | 1,950 | 1,910 | 1,765 | 1.11 | % | |||||||||||||||||||||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. (5)(6) | Secured Note — Class ER3, 11.44% (SOFR + 7.76% due April 20, 2033) | 09/13/24 | 2,000 | 1,454 | 1,043 | 0.65 | % | |||||||||||||||||||||||||||||||
| Symphony CLO XVI, Ltd. (5)(7) | Secured Note — Class ER, 10.03% (SOFR + 6.36% due October 15, 2031) | 09/19/24 | 2,255 | 2,005 | 2,055 | 1.29 | % | |||||||||||||||||||||||||||||||
| Tralee CLO V, Ltd. (5)(6) | Secured Note — Class FR, 12.83% (SOFR + 9.15% due October 20, 2034) | 03/28/24 | 410 | 292 | 94 | 0.06 | % | |||||||||||||||||||||||||||||||
| Trinitas CLO IX, Ltd. (5)(6) | Secured Note — Class E, 10.19% (SOFR + 6.51% due January 20, 2032) | 02/06/25 | 40 | — | — | — | % | |||||||||||||||||||||||||||||||
| Trinitas CLO IX, Ltd. (6) | Secured Note — Class E, 10.19% (SOFR + 6.51% due January 20, 2032) | 01/17/24 | 68 | 18 | — | — | % | |||||||||||||||||||||||||||||||
| Trinitas CLO VI, Ltd. (5)(6) | Secured Note — Class F, 12.64% (SOFR + 8.98% due January 25, 2034) | 04/04/24 | 1,600 | 1,204 | 369 | 0.23 | % | |||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Trinitas CLO VI, Ltd. (5)(6)(7) | Secured Note — Class ER, 10.74% (SOFR + 7.08% due January 25, 2034) | 07/16/25 | $ | 1,000 | $ | 979 | $ | 750 | 0.47 | % | ||||||||||||||||||||||||||||
| Trinitas CLO XII, Ltd. (5)(7) | Secured Note — Class E, 11.33% (SOFR + 7.66% due April 25, 2033) | 12/11/24 | 1,890 | 1,840 | 1,722 | 1.08 | % | |||||||||||||||||||||||||||||||
| Trinitas CLO XIV, Ltd. (5)(7) | Secured Note — Class ER2, 10.42% (SOFR + 6.75% due January 25, 2034) | 04/01/26 | 3,000 | 2,999 | 2,783 | 1.74 | % | |||||||||||||||||||||||||||||||
| Unity-Peace Park CLO, Ltd. (5)(6)(7) | Secured Note — Class ER, 10.68% (SOFR + 7.00% due April 20, 2035) | 01/27/26 | 3,330 | 3,330 | 2,939 | 1.84 | % | |||||||||||||||||||||||||||||||
| Venture 36 CLO Limited (5)(6)(7) | Secured Note — Class E, 10.86% (SOFR + 7.18% due April 20, 2032) | 05/12/25 | 3,500 | 1,901 | 1,129 | 0.71 | % | |||||||||||||||||||||||||||||||
| Venture XV CLO, Limited (5)(6) | Secured Note — Class ER2, 11.12% (SOFR + 7.45% due July 15, 2032) | 04/02/24 | 1,500 | 997 | 345 | 0.22 | % | |||||||||||||||||||||||||||||||
| Venture XVIII CLO, Limited (5)(6)(7) | Secured Note — Class ER, 10.52% (SOFR + 6.85% due October 15, 2029) | 03/28/24 | 1,980 | 1,016 | 1,043 | 0.65 | % | |||||||||||||||||||||||||||||||
| Venture XXII CLO, Limited (5)(6) | Secured Note — Class ER, 9.58% (SOFR + 5.91% due January 15, 2031) | 04/30/24 | 520 | 281 | 215 | 0.13 | % | |||||||||||||||||||||||||||||||
| Venture XXVI CLO, Limited (5)(6) | Secured Note — Class E, 10.74% (SOFR + 7.06% due January 20, 2029) | 12/17/24 | 1,227 | 556 | 534 | 0.33 | % | |||||||||||||||||||||||||||||||
| Venture XXVII CLO, Limited (5)(6) | Secured Note — Class E, 10.29% (SOFR + 6.61% due July 20, 2030) | 06/20/24 | 450 | 215 | 198 | 0.12 | % | |||||||||||||||||||||||||||||||
| Venture XXX CLO, Limited (5)(6) | Secured Note — Class E, 10.23% (SOFR + 6.56% due January 15, 2031) | 07/24/24 | 1,345 | 718 | 370 | 0.23 | % | |||||||||||||||||||||||||||||||
| Voya CLO 2013-3, Ltd. (5)(7) | Secured Note — Class DR, 9.84% (SOFR + 6.16% due October 18, 2031) | 02/02/26 | 2,500 | 2,504 | 2,505 | 1.57 | % | |||||||||||||||||||||||||||||||
| Wellfleet CLO 2021-3, Ltd. (5)(7) | Secured Note — Class E, 11.03% (SOFR + 7.36% due January 15, 2035) | 06/10/25 | 1,250 | 1,206 | 1,100 | 0.69 | % | |||||||||||||||||||||||||||||||
| WhiteHorse X, Ltd. (6) | Secured Note — Class F, 10.19% (SOFR + 6.51% due April 17, 2027) | 01/23/24 | 287 | 55 | — | — | % | |||||||||||||||||||||||||||||||
| Wind River 2019-3 CLO Ltd. (5)(6)(7)(12) | Secured Note — Class ER3, 12.17% (SOFR + 8.50% due January 15, 2038) | 10/24/25 | 1,550 | 1,550 | 1,542 | 0.97 | % | |||||||||||||||||||||||||||||||
| Wind River 2022-1 CLO Ltd. (5)(7) | Secured Note — Class E, 11.80% (SOFR + 8.12% due July 20, 2035) | 08/21/25 | 2,500 | 2,467 | 2,309 | 1.45 | % | |||||||||||||||||||||||||||||||
| ZAIS CLO 3, Limited (5)(6) | Secured Note — Class DR, 10.84% (SOFR + 7.17% due July 15, 2031) | 05/30/25 | 1,365 | 761 | 315 | 0.20 | % | |||||||||||||||||||||||||||||||
| ZAIS CLO 6, Limited (5)(6) | Secured Note — Class E, 10.93% (SOFR + 7.26% due July 15, 2029) | 12/18/24 | 126 | 30 | — | — | % | |||||||||||||||||||||||||||||||
| ZAIS CLO 13, Limited (5)(6) | Secured Note — Class E, 12.58% (SOFR + 8.91% due July 15, 2032) | 01/08/25 | 1,232 | 761 | 246 | 0.15 | % | |||||||||||||||||||||||||||||||
| Total Collateralized Loan Obligations—Debt, United States | $ | 129,170 | $ | 120,696 | 75.57 | % | ||||||||||||||||||||||||||||||||
| European Union—Various (4) | ||||||||||||||||||||||||||||||||||||||
| Structured Finance | ||||||||||||||||||||||||||||||||||||||
| Adagio IX EUR CLO DAC (7) | Secured Note — Class E, 8.17% (EURIBOR + 6.02% due September 15, 2034) | 02/05/26 | $ | 1,782 | $ | 1,776 | $ | 1,718 | 1.08 | % | ||||||||||||||||||||||||||||
| AlbaCore Euro CLO IV DAC (6) | Secured Note — Class F, 11.56% (EURIBOR + 9.36% due July 15, 2035) | 05/28/26 | 1,393 | 1,387 | 1,368 | 0.86 | % | |||||||||||||||||||||||||||||||
| Aqueduct European CLO 7-2022 DAC (7) | Secured Note — Class FR, 10.56% (EURIBOR + 8.41% due August 15, 2037) | 07/10/25 | 1,730 | 1,766 | 1,564 | 0.98 | % | |||||||||||||||||||||||||||||||
| Bosphorus CLO V DAC (7) | Secured Note — Class F, 11.68% (EURIBOR + 9.54% due December 12, 2032) | 11/07/25 | 2,313 | 2,357 | 2,313 | 1.45 | % | |||||||||||||||||||||||||||||||
| Dryden 73 Euro CLO 2018 B.V. (7) | Secured Note — Class E, 9.02% (EURIBOR + 6.82% due January 15, 2034) | 09/23/25 | 2,284 | 2,361 | 2,183 | 1.37 | % | |||||||||||||||||||||||||||||||
| Harvest CLO XXIX DAC (7) | Secured Note — Class FR, 10.82% (EURIBOR + 8.62% due July 15, 2037) | 06/25/25 | 3,427 | 3,481 | 3,050 | 1.91 | % | |||||||||||||||||||||||||||||||
| Henley CLO XIII DAC (6)(7) | Secured Note — Class F, 10.62% (EURIBOR + 8.42% due October 15, 2038) | 07/03/25 | 1,142 | 1,158 | 1,140 | 0.71 | % | |||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Invesco Euro CLO XIV DAC (5)(6) | Secured Note — Class F, 10.76% (EURIBOR + 8.56% due January 15, 2039) | 09/08/25 | $ | 286 | $ | 282 | $ | 252 | 0.16 | % | ||||||||||||||||||||||||||||
| Jubilee CLO 2013-X B.V. (6) | Secured Note — Class FRR, 10.75% (EURIBOR + 8.55% due July 15, 2034) | 04/23/24 | 857 | 772 | 833 | 0.52 | % | |||||||||||||||||||||||||||||||
| Jubilee CLO 2017-XIX DAC (5)(7) | Secured Note — Class FR, 10.87% (EURIBOR + 8.70% due April 25, 2038) | 07/01/25 | 3,427 | 3,483 | 3,005 | 1.88 | % | |||||||||||||||||||||||||||||||
| Nassau Euro CLO III DAC (7) | Secured Note — Class FR, 10.37% (EURIBOR + 8.17% due October 15, 2039) | 09/03/25 | 1,216 | 1,222 | 1,086 | 0.68 | % | |||||||||||||||||||||||||||||||
| OCP EURO CLO 2022-6 DAC (7) | Secured Note — Class FRR, 10.86% (EURIBOR + 8.62% due July 20, 2036) | 07/03/25 | 2,399 | 2,467 | 2,207 | 1.38 | % | |||||||||||||||||||||||||||||||
| Providus CLO III DAC | Secured Note — Class FR, 10.94% (EURIBOR + 8.70% due July 18, 2034) | 06/29/26 | 1,336 | 1,314 | 1,314 | 0.82 | % | |||||||||||||||||||||||||||||||
| Ravensdale Park CLO DAC (7) | Secured Note — Class F, 9.52% (EURIBOR + 7.35% due April 25, 2038) | 02/27/25 | 2,284 | 2,081 | 2,067 | 1.29 | % | |||||||||||||||||||||||||||||||
| Rockford Tower Europe CLO 2021-2 DAC (7) | Secured Note — Class F, 11.06% (EURIBOR + 8.90% due January 24, 2035) | 11/12/24 | 1,142 | 1,061 | 1,088 | 0.68 | % | |||||||||||||||||||||||||||||||
| St. Paul’s CLO IV DAC (6) | Secured Note — Class ERR, 8.75% (EURIBOR + 6.58% due April 25, 2030) | 03/27/25 | 1,142 | 1,018 | 889 | 0.56 | % | |||||||||||||||||||||||||||||||
| St. Paul’s CLO IX DAC (6) | Secured Note — Class FR, 12.17% (EURIBOR + 9.93% due July 20, 2035) | 08/28/25 | 1,656 | 1,659 | 596 | 0.37 | % | |||||||||||||||||||||||||||||||
| St. Paul's CLO IV DAC | Secured Note — Class DRR, 7.14% (EURIBOR + 4.97% due April 25, 2030) | 01/15/26 | 114 | 112 | 107 | 0.07 | % | |||||||||||||||||||||||||||||||
| St. Paul's CLO V DAC (5)(6) | Secured Note — Class FR, 8.82% (EURIBOR + 6.60% due August 20, 2030) | 07/11/24 | 1,885 | 1,703 | 1,305 | 0.82 | % | |||||||||||||||||||||||||||||||
| St.Paul’s CLO X DAC (7) | Secured Note — Class ER, 8.55% (EURIBOR + 6.36% due April 22, 2035) | 06/12/26 | 2,513 | 2,310 | 2,263 | 1.42 | % | |||||||||||||||||||||||||||||||
| Toro European CLO 6 DAC (5)(6) | Secured Note — Class F, 10.64% (EURIBOR + 8.49% due January 12, 2032) | 06/05/25 | 1,713 | 1,642 | 1,155 | 0.72 | % | |||||||||||||||||||||||||||||||
| Toro European CLO 7 DAC | Secured Note — Class E, 9.44% (EURIBOR + 7.16% due February 15, 2034) | 06/19/26 | 1,937 | 1,901 | 1,883 | 1.18 | % | |||||||||||||||||||||||||||||||
| Total Collateralized Loan Obligations - Debt, European Union - Various | $ | 37,313 | $ | 33,386 | 20.90 | % | ||||||||||||||||||||||||||||||||
| Total Collateralized Loan Obligations - Debt | $ | 166,483 | $ | 154,082 | 96.47 | % | ||||||||||||||||||||||||||||||||
| Collateralized Loan Obligations - Equity | ||||||||||||||||||||||||||||||||||||||
| United States (4) | ||||||||||||||||||||||||||||||||||||||
| Structured Finance | ||||||||||||||||||||||||||||||||||||||
| 522 Funding CLO 2019-5, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 15, 2035) | 03/24/25 | $ | 4,200 | $ | 682 | $ | 167 | 0.11 | % | ||||||||||||||||||||||||||||
| AB BSL CLO 1 Ltd. (5)(6)(7) | Subordinated Note, (effective yield 13.92%, maturity October 15, 2038) | 10/23/25 | 14,500 | 5,409 | 5,387 | 3.37 | % | |||||||||||||||||||||||||||||||
| AG CC Funding II, Ltd. (6) | Subordinated Note, (effective yield 13.69%, maturity November 17, 2036) | 11/05/25 | 27 | 3,064 | 3,257 | 2.04 | % | |||||||||||||||||||||||||||||||
| AGL CLO 35 Ltd. (5) | Subordinated Note, (effective yield 16.59%, maturity January 21, 2038) | 04/15/26 | 7,153 | 3,279 | 3,425 | 2.14 | % | |||||||||||||||||||||||||||||||
| Allegro CLO VII, Ltd (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity June 13, 2031) | 05/16/24 | 4,120 | — | — | — | % | |||||||||||||||||||||||||||||||
| Allegro CLO XI, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 19, 2033) | 07/29/25 | 3,074 | 85 | — | — | % | |||||||||||||||||||||||||||||||
| AMMC CLO 30, Limited (5) | Subordinated Note, (effective yield 16.14%, maturity April 15, 2039) | 05/15/26 | 1,330 | 933 | 918 | 0.57 | % | |||||||||||||||||||||||||||||||
| Anchorage Credit Funding 6, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 25, 2036) | 06/17/24 | 1,670 | — | 13 | 0.01 | % | |||||||||||||||||||||||||||||||
| Apidos CLO L (5)(6)(7) | Subordinated Note, (effective yield 10.09%, maturity January 20, 2038) | 11/01/24 | 6,600 | 4,359 | 4,062 | 2.54 | % | |||||||||||||||||||||||||||||||
| Apidos CLO XLII Ltd (5)(7) | Subordinated Note, (effective yield 10.15%, maturity April 20, 2038) | 05/06/25 | 1,070 | 800 | 694 | 0.43 | % | |||||||||||||||||||||||||||||||
| Apidos CLO XVIII-R (5)(6)(7) | Subordinated Note, (effective yield 6.01%, maturity January 22, 2038) | 07/28/25 | 4,171 | 1,782 | 1,215 | 0.76 | % | |||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Apidos CLO XXXIV (5)(7)(8)(12) | Subordinated Note, (effective yield 13.77%, maturity January 20, 2039) | 12/05/25 | $ | 14,822 | $ | 7,017 | $ | 6,818 | 4.27 | % | ||||||||||||||||||||||||||||
| Ares Loan Funding IX, Ltd. (5)(7) | Subordinated Note, (effective yield 10.27%, maturity March 31, 2038) | 11/10/25 | 3,600 | 2,658 | 2,268 | 1.42 | % | |||||||||||||||||||||||||||||||
| Ares XLIII CLO Ltd. (5)(6) | Subordinated Note, (effective yield 7.68%, maturity January 15, 2038) | 04/01/25 | 7,519 | 1,900 | 1,443 | 0.90 | % | |||||||||||||||||||||||||||||||
| Ares XXXIX CLO Ltd. (5)(6)(7) | Subordinated Note, (effective yield 11.29%, maturity July 15, 2039) | 07/24/24 | 24,764 | 6,343 | 5,448 | 3.41 | % | |||||||||||||||||||||||||||||||
| Atlas Senior Loan Fund XXIII, Ltd. (6) | Subordinated Note, (effective yield 17.37%, maturity July 20, 2037) | 01/13/25 | 4,475 | 1,875 | 1,745 | 1.09 | % | |||||||||||||||||||||||||||||||
| Atlas Senior Loan Fund XXIV, Ltd. (5)(6) | Subordinated Note, (effective yield 13.27%, maturity January 20, 2038) | 01/31/25 | 3,010 | 1,496 | 1,505 | 0.94 | % | |||||||||||||||||||||||||||||||
| Bain Capital Credit CLO 2024-3, Limited (5)(6)(7) | Subordinated Note, (effective yield 9.66%, maturity July 16, 2037) | 05/29/24 | 4,490 | 2,576 | 1,970 | 1.23 | % | |||||||||||||||||||||||||||||||
| Balboa Bay Loan Funding 2024-2 Ltd (5)(6)(7)(8) | Subordinated Note, (effective yield 15.15%, maturity January 20, 2038) | 12/11/24 | 7,000 | 4,485 | 3,659 | 2.29 | % | |||||||||||||||||||||||||||||||
| Battalion CLO IV Ltd. (5)(6)(9) | Income Note, (effective yield 0.00%, maturity July 15, 2031) | 09/24/24 | 2,500 | 79 | 6 | — | % | |||||||||||||||||||||||||||||||
| Battalion CLO XV Ltd. (5)(6) | Subordinated Note, (effective yield 3.81%, maturity January 17, 2033) | 11/21/24 | 2,000 | 513 | 103 | 0.06 | % | |||||||||||||||||||||||||||||||
| Battalion CLO XV Ltd. (6)(8) | Subordinated Note, (effective yield 4.05%, maturity January 17, 2033) | 09/24/24 | 4,100 | 1,052 | 211 | 0.13 | % | |||||||||||||||||||||||||||||||
| Benefit Street Partners CLO XIV Ltd. (5)(6) | Subordinated Note, (effective yield 13.33%, maturity October 20, 2037) | 12/21/23 | 830 | 158 | 152 | 0.09 | % | |||||||||||||||||||||||||||||||
| Blue Owl BSL CLO 2025-1, Ltd. (5)(6)(8)(12) | Subordinated Note, (effective yield 8.13%, maturity January 20, 2039) | 12/11/25 | 2,740 | 2,072 | 1,945 | 1.22 | % | |||||||||||||||||||||||||||||||
| BlueMountain CLO XXV Ltd. (5)(7) | Subordinated Note, (effective yield 13.45%, maturity January 15, 2038) | 11/12/25 | 7,215 | 2,681 | 2,309 | 1.45 | % | |||||||||||||||||||||||||||||||
| Boyce Park CLO, Ltd (5)(6) | Subordinated Note, (effective yield 1.14%, maturity April 21, 2035) | 08/15/24 | 840 | 368 | 202 | 0.13 | % | |||||||||||||||||||||||||||||||
| Bridge Street CLO I Ltd. (5)(6)(7)(8) | Subordinated Note, (effective yield 15.42%, maturity July 20, 2037) | 02/19/25 | 3,500 | 1,783 | 1,544 | 0.97 | % | |||||||||||||||||||||||||||||||
| Bridge Street CLO III Ltd. (5)(6)(7) | Subordinated Note, (effective yield 12.03%, maturity October 20, 2034) | 01/31/25 | 1,680 | 937 | 773 | 0.48 | % | |||||||||||||||||||||||||||||||
| Bridge Street CLO V Ltd. (5)(7) | Subordinated Note, (effective yield 13.46%, maturity April 20, 2038) | 02/21/25 | 20,500 | 14,448 | 12,915 | 8.09 | % | |||||||||||||||||||||||||||||||
| Canyon CLO 2019-1, Ltd. (5)(6) | Subordinated Note, (effective yield 4.51%, maturity July 15, 2037) | 09/20/24 | 14,423 | 5,781 | 3,606 | 2.26 | % | |||||||||||||||||||||||||||||||
| CarVal CLO IV Ltd. (5)(6) | Subordinated Note, (effective yield 16.70%, maturity July 20, 2034) | 10/24/25 | 3,508 | 988 | 964 | 0.60 | % | |||||||||||||||||||||||||||||||
| Cedar Funding IX CLO, Ltd. (5)(6) | Subordinated Note, (effective yield 9.34%, maturity July 20, 2037) | 01/17/25 | 3,950 | 1,142 | 869 | 0.54 | % | |||||||||||||||||||||||||||||||
| CIFC Funding 2014-II-R, Ltd. (5)(6) | Subordinated Note, (effective yield 12.19%, maturity April 24, 2030) | 04/02/25 | 6,200 | 1,055 | 546 | 0.34 | % | |||||||||||||||||||||||||||||||
| CIFC Funding 2018-IV, Ltd. (5)(6) | Subordinated Note, (effective yield 12.79%, maturity October 17, 2031) | 06/11/25 | 2,220 | 803 | 577 | 0.36 | % | |||||||||||||||||||||||||||||||
| CIFC Funding 2019-II, Ltd. (5)(6) | Subordinated Note, (effective yield 19.58%, maturity October 17, 2038) | 04/01/26 | 6,320 | 3,420 | 3,476 | 2.18 | % | |||||||||||||||||||||||||||||||
| Clover CLO 2020-1, LLC (5) | Subordinated Note, (effective yield 15.75%, maturity July 15, 2037) | 04/23/26 | 6,300 | 2,418 | 2,315 | 1.45 | % | |||||||||||||||||||||||||||||||
| Crown City CLO I (5)(6) | Subordinated Note, (effective yield 10.29%, maturity July 20, 2038) | 11/07/23 | 6,850 | 2,164 | 1,781 | 1.12 | % | |||||||||||||||||||||||||||||||
| Crown City CLO II (5)(6) | Subordinated Note, (effective yield 1.74%, maturity April 20, 2035) | 08/21/24 | 5,217 | 1,647 | 1,094 | 0.69 | % | |||||||||||||||||||||||||||||||
| Crown City CLO III (5)(6) | Subordinated Note, (effective yield 2.62%, maturity July 20, 2034) | 03/21/24 | 5,580 | 1,751 | 1,228 | 0.77 | % | |||||||||||||||||||||||||||||||
| Crown Point CLO 11 Ltd. (5) | Subordinated Note, (effective yield 16.04%, maturity February 28, 2038) | 11/13/25 | 4,000 | 1,810 | 1,721 | 1.08 | % | |||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Eaton Vance CLO 2019-1, Ltd. (5)(6) | Subordinated Note, (effective yield 5.95%, maturity July 15, 2037) | 01/23/25 | $ | 1,800 | $ | 567 | $ | 396 | 0.25 | % | ||||||||||||||||||||||||||||
| Elmwood CLO 24 Ltd. (5)(6)(7) | Subordinated Note, (effective yield 13.26%, maturity December 11, 2033) | 02/27/25 | 8,000 | 5,546 | 3,520 | 2.20 | % | |||||||||||||||||||||||||||||||
| Empower CLO 2022-1, LLC (5)(6)(7) | Subordinated Note, (effective yield 13.89%, maturity October 20, 2037) | 10/30/24 | 14,820 | 11,042 | 7,114 | 4.45 | % | |||||||||||||||||||||||||||||||
| Generate CLO 2 Ltd. (5)(6) | Subordinated Note, (effective yield 8.76%, maturity October 22, 2037) | 03/18/25 | 7,058 | 2,102 | 1,534 | 0.96 | % | |||||||||||||||||||||||||||||||
| Generate CLO 9 Ltd. (5)(6)(7) | Subordinated Note, (effective yield 10.20%, maturity October 20, 2034) | 08/04/25 | 5,550 | 3,018 | 2,500 | 1.57 | % | |||||||||||||||||||||||||||||||
| Greywolf CLO II, Ltd. (5)(6) | Subordinated Note, (effective yield 8.09%, maturity April 15, 2034) | 04/03/24 | 3,300 | 647 | 429 | 0.27 | % | |||||||||||||||||||||||||||||||
| Greywolf CLO II, Ltd. (6) | Subordinated Note, (effective yield 10.83%, maturity April 15, 2034) | 11/17/23 | 1,130 | 207 | 148 | 0.09 | % | |||||||||||||||||||||||||||||||
| HPS Loan Management 2025-24, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 9.66%, maturity April 25, 2038) | 02/18/25 | 2,000 | 1,539 | 1,270 | 0.80 | % | |||||||||||||||||||||||||||||||
| ICG US CLO 2021-3, Ltd. (5)(6) | Subordinated Note, (effective yield 12.82%, maturity October 20, 2034) | 05/30/24 | 2,600 | 806 | 645 | 0.40 | % | |||||||||||||||||||||||||||||||
| Kings Park CLO, Ltd. (5) | Subordinated Note, (effective yield 20.43%, maturity January 21, 2039) | 05/20/26 | 6,000 | 1,829 | 1,768 | 1.11 | % | |||||||||||||||||||||||||||||||
| KKR CLO 14 Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity August 15, 2031) | 07/22/24 | 1,500 | 258 | 60 | 0.04 | % | |||||||||||||||||||||||||||||||
| LCM 32 Ltd. (5)(6) | Income Note, (effective yield 8.92%, maturity July 20, 2034) | 08/12/24 | 1,640 | 302 | 111 | 0.07 | % | |||||||||||||||||||||||||||||||
| LCM 40 Ltd. (5)(6) | Income Note, (effective yield 5.00%, maturity January 15, 2036) | 07/25/25 | 1,000 | 595 | 390 | 0.24 | % | |||||||||||||||||||||||||||||||
| Madison Park Funding LIX, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 4.71%, maturity April 18, 2037) | 02/11/25 | 2,338 | 1,354 | 725 | 0.45 | % | |||||||||||||||||||||||||||||||
| Madison Park Funding XIX, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 22, 2037) | 11/12/24 | 2,285 | 357 | 217 | 0.14 | % | |||||||||||||||||||||||||||||||
| Madison Park Funding XXIX, Ltd. (5)(6) | Subordinated Note, (effective yield 33.50%, maturity October 18, 2047) | 06/17/26 | 3,030 | 645 | 703 | 0.44 | % | |||||||||||||||||||||||||||||||
| Madison Park Funding XXXIV, Ltd. (5)(6) | Subordinated Note, (effective yield 25.06%, maturity April 25, 2048) | 01/22/26 | 2,262 | 720 | 647 | 0.41 | % | |||||||||||||||||||||||||||||||
| Magnetite XXX, Limited (5)(7) | Subordinated Note, (effective yield 14.44%, maturity October 25, 2037) | 05/30/24 | 9,793 | 6,226 | 4,701 | 2.94 | % | |||||||||||||||||||||||||||||||
| Marble Point CLO XXII Ltd. (6) | Subordinated Note, (effective yield 2.50%, maturity July 25, 2050) | 05/14/24 | 5,400 | 796 | 486 | 0.30 | % | |||||||||||||||||||||||||||||||
| MDPK 2018-28A SUB (5)(6) | Subordinated Note, (effective yield 14.28%, maturity July 15, 2030) | 05/29/25 | 1,290 | 560 | 338 | 0.21 | % | |||||||||||||||||||||||||||||||
| Monroe Capital MML CLO VI, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 15, 2030) | 12/18/24 | 3,000 | 105 | — | — | % | |||||||||||||||||||||||||||||||
| Mountain View CLO 2017-2 Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 16, 2031) | 01/23/24 | 3,000 | — | — | — | % | |||||||||||||||||||||||||||||||
| Neuberger Berman CLO XVII, Ltd. (5)(6) | Subordinated Note, (effective yield 18.41%, maturity April 22, 2040) | 08/21/24 | 8,280 | 1,183 | 1,355 | 0.85 | % | |||||||||||||||||||||||||||||||
| New Mountain CLO 2 Ltd (5)(6)(7) | Subordinated Note, (effective yield 16.28%, maturity April 15, 2034) | 12/13/24 | 11,960 | 7,057 | 5,143 | 3.22 | % | |||||||||||||||||||||||||||||||
| Oaktree CLO 2019-3, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 7.71%, maturity January 20, 2038) | 07/31/25 | 1,750 | 950 | 761 | 0.48 | % | |||||||||||||||||||||||||||||||
| Oaktree CLO 2019-4, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 10.42%, maturity July 20, 2037) | 07/02/24 | 3,400 | 1,861 | 1,513 | 0.95 | % | |||||||||||||||||||||||||||||||
| Oaktree CLO 2020-1, Ltd. (5)(7) | Subordinated Note, (effective yield 18.72%, maturity January 15, 2038) | 07/18/24 | 12,275 | 6,256 | 5,708 | 3.57 | % | |||||||||||||||||||||||||||||||
| Oaktree CLO 2023-1, Ltd. (5)(6) | Subordinated Note, (effective yield 10.23%, maturity April 15, 2038) | 08/14/25 | 7,310 | 4,303 | 3,415 | 2.14 | % | |||||||||||||||||||||||||||||||
| Ocean Trails CLO V (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 13, 2031) | 08/12/25 | 3,779 | 43 | — | — | % | |||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Octagon Investment Partners 18-R, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 16, 2031) | 03/15/24 | $ | 3,651 | $ | 18 | $ | 1 | — | % | ||||||||||||||||||||||||||||
| Octagon Investment Partners 18-R, Ltd. (6)(9)(9) | Subordinated Note, (effective yield 0.00%, maturity April 16, 2031) | 10/26/23 | 5,000 | 25 | 2 | — | % | |||||||||||||||||||||||||||||||
| Octagon Investment Partners 40, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 20, 2035) | 09/11/25 | 2,830 | 500 | 194 | 0.12 | % | |||||||||||||||||||||||||||||||
| Octagon Investment Partners 41, Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2033) | 09/04/24 | 1,270 | 278 | 108 | 0.07 | % | |||||||||||||||||||||||||||||||
| Octagon Investment Partners 44, Ltd. (5)(6)(9) | Income Note, (effective yield 0.00%, maturity October 15, 2034) | 01/12/26 | 6,355 | 384 | 222 | 0.14 | % | |||||||||||||||||||||||||||||||
| OHA Credit Partners X-R, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 13.65%, maturity April 20, 2038) | 09/09/25 | 7,117 | 3,175 | 2,633 | 1.65 | % | |||||||||||||||||||||||||||||||
| OHA Loan Funding 2013-1, Ltd. (6) | Subordinated Note, (effective yield 11.90%, maturity April 23, 2037) | 11/12/24 | 875 | 374 | 262 | 0.16 | % | |||||||||||||||||||||||||||||||
| OSD CLO 2023-27, Ltd. (5)(7) | Subordinated Note, (effective yield 12.10%, maturity July 15, 2038) | 04/24/24 | 9,060 | 5,583 | 4,985 | 3.12 | % | |||||||||||||||||||||||||||||||
| Palmer Square CLO 2021-1, Ltd. (5) | Subordinated Note, (effective yield 25.19%, maturity April 20, 2038) | 06/09/26 | 2,217 | 777 | 763 | 0.48 | % | |||||||||||||||||||||||||||||||
| Park Blue CLO 2023-III, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 5.11%, maturity April 20, 2038) | 07/16/25 | 8,000 | 4,172 | 3,120 | 1.95 | % | |||||||||||||||||||||||||||||||
| Park Blue CLO 2025-VIII, Ltd. (5)(6)(12) | Subordinated Note, (effective yield 10.43%, maturity October 25, 2038) | 08/21/25 | 7,700 | 6,346 | 5,467 | 3.42 | % | |||||||||||||||||||||||||||||||
| PPM CLO 2 Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 16, 2037) | 04/24/24 | 1,260 | 186 | 50 | 0.03 | % | |||||||||||||||||||||||||||||||
| Regatta 31 Funding Ltd. (5)(6)(7)(8) | Subordinated Note, (effective yield 11.37%, maturity March 25, 2038) | 02/21/25 | 1,571 | 1,283 | 1,032 | 0.65 | % | |||||||||||||||||||||||||||||||
| Regatta II Funding LP (6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 15, 2029) | 02/27/25 | 5 | — | — | — | % | |||||||||||||||||||||||||||||||
| Regatta XV Funding Ltd. (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 25, 2031) | 12/06/23 | 3,500 | — | — | — | % | |||||||||||||||||||||||||||||||
| Rockford Tower CLO 2022-3, Ltd. (5)(6) | Subordinated Note, (effective yield 7.00%, maturity July 20, 2037) | 10/24/24 | 1,050 | 580 | 420 | 0.26 | % | |||||||||||||||||||||||||||||||
| Rockford Tower Credit Funding I, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 10.82%, maturity April 20, 2040) | 09/15/25 | 1,780 | 1,040 | 841 | 0.53 | % | |||||||||||||||||||||||||||||||
| RR 5 LTD (5)(6) | Subordinated Note, (effective yield 10.48%, maturity October 15, 2118) | 04/30/25 | 1,763 | 1,080 | 970 | 0.61 | % | |||||||||||||||||||||||||||||||
| Sixth Street CLO XVIII Ltd. (5) | Subordinated Note, (effective yield 15.15%, maturity October 17, 2125) | 05/13/26 | 1,360 | 610 | 576 | 0.36 | % | |||||||||||||||||||||||||||||||
| Symphony CLO XXIII, Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 15, 2048) | 05/14/24 | 3,000 | 706 | 208 | 0.13 | % | |||||||||||||||||||||||||||||||
| Symphony CLO XXVI, Ltd. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 20, 2033) | 01/09/24 | 1,620 | 122 | 17 | 0.01 | % | |||||||||||||||||||||||||||||||
| TCW CLO 2021-1, Ltd. (5)(6) | Subordinated Note, (effective yield 8.28%, maturity January 20, 2038) | 02/26/25 | 8,400 | 3,331 | 2,535 | 1.59 | % | |||||||||||||||||||||||||||||||
| TCW CLO 2023-1, Ltd. (5)(6) | Income Note, (effective yield 15.51%, maturity March 31, 2038) | 03/25/25 | 740 | 299 | 289 | 0.18 | % | |||||||||||||||||||||||||||||||
| TCW CLO 2023-1, Ltd. (6) | Income Note, (effective yield 15.51%, maturity March 31, 2038) | 01/31/24 | 1,600 | 646 | 624 | 0.39 | % | |||||||||||||||||||||||||||||||
| TCW CLO 2025-1, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 10.01%, maturity April 20, 2038) | 02/18/25 | 1,775 | 1,302 | 1,065 | 0.67 | % | |||||||||||||||||||||||||||||||
| Tralee CLO VII, Ltd. (5)(6) | Subordinated Note, (effective yield 14.60%, maturity April 25, 2034) | 11/06/25 | 1,710 | 637 | 615 | 0.39 | % | |||||||||||||||||||||||||||||||
| Venture XXII CLO, Limited (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 15, 2031) | 04/28/26 | 640 | 5 | 5 | — | % | |||||||||||||||||||||||||||||||
| Vibrant CLO XIII, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 6.67%, maturity July 15, 2034) | 05/21/24 | 7,880 | 4,103 | 2,778 | 1.74 | % | |||||||||||||||||||||||||||||||
| Vibrant CLO XV, Ltd. (5)(6) | Subordinated Note, (effective yield 8.87%, maturity January 20, 2035) | 08/29/24 | 1,510 | 652 | 446 | 0.28 | % | |||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Voya CLO 2024-3, Ltd. (5)(7) | Subordinated Note, (effective yield 14.31%, maturity July 20, 2037) | 06/18/24 | $ | 9,400 | $ | 6,140 | $ | 5,720 | 3.58 | % | ||||||||||||||||||||||||||||
| Voya CLO 2024-5, Ltd. (5)(7) | Subordinated Note, (effective yield 13.18%, maturity October 15, 2037) | 10/18/24 | 10,000 | 6,571 | 5,815 | 3.64 | % | |||||||||||||||||||||||||||||||
| Voya CLO 2025-1, Ltd. (5)(6)(7) | Subordinated Note, (effective yield 13.56%, maturity April 20, 2038) | 02/12/25 | 5,000 | 3,827 | 3,550 | 2.22 | % | |||||||||||||||||||||||||||||||
| Wellfleet CLO 2021-3, Ltd. (5)(6)(8) | Subordinated Note, (effective yield 6.55%, maturity January 15, 2035) | 09/11/24 | 7,600 | 1,710 | 913 | 0.57 | % | |||||||||||||||||||||||||||||||
| Wind River 2019-3 CLO Ltd. (5)(6)(8) | Subordinated Note, (effective yield 21.78%, maturity January 15, 2038) | 05/30/25 | 12,710 | 1,379 | 1,493 | 0.94 | % | |||||||||||||||||||||||||||||||
| Wind River 2021-1 CLO Ltd. (5)(7)(8)(9) | Subordinated Note, (effective yield 0.00%, maturity July 20, 2037) | 07/12/24 | 4,650 | 1,716 | 1,488 | 0.93 | % | |||||||||||||||||||||||||||||||
| ZAIS CLO 3, Limited (5)(6)(8)(9) | Subordinated Note, (effective yield 0.00%, maturity July 15, 2031) | 10/17/25 | 1,530 | 15 | — | — | % | |||||||||||||||||||||||||||||||
| ZAIS CLO 3, Limited (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 15, 2031) | 10/17/25 | 1,723 | 17 | — | — | % | |||||||||||||||||||||||||||||||
| ZAIS CLO 6, Limited (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 15, 2029) | 07/09/25 | 3,387 | 71 | — | — | % | |||||||||||||||||||||||||||||||
| ZAIS CLO 9, Limited (6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 20, 2031) | 02/08/24 | 720 | — | — | — | % | |||||||||||||||||||||||||||||||
| Total Collateralized Loan Obligations - Equity, United States | $ | 216,347 | $ | 177,135 | 110.91 | % | ||||||||||||||||||||||||||||||||
| European Union—Various (4) | ||||||||||||||||||||||||||||||||||||||
| Structured Finance | ||||||||||||||||||||||||||||||||||||||
| Barings Euro CLO 2021-1 DAC (5)(6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 24, 2034) | 02/12/25 | $ | 1,428 | $ | 325 | $ | 161 | 0.10 | % | ||||||||||||||||||||||||||||
| BNPP IP Euro CLO 2015-1 B.V. (6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2030) | 01/21/25 | 1,713 | 217 | — | — | % | |||||||||||||||||||||||||||||||
| Carlyle Euro CLO 2019-2 DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity August 15, 2032) | 03/27/25 | 286 | 40 | 11 | 0.01 | % | |||||||||||||||||||||||||||||||
| Carlyle Global Market Strategies Euro CLO 2014-2 DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity November 17, 2031) | 01/22/25 | 2,284 | 20 | — | — | % | |||||||||||||||||||||||||||||||
| Invesco Euro CLO I DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity April 15, 2039) | 03/27/24 | — | 361 | — | — | % | |||||||||||||||||||||||||||||||
| Invesco Euro CLO V DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity January 15, 2034) | 03/27/24 | 1,965 | 559 | 5 | — | % | |||||||||||||||||||||||||||||||
| Jubilee CLO 2021-XXV DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2035) | 01/27/25 | 2,284 | 903 | 459 | 0.29 | % | |||||||||||||||||||||||||||||||
| Palmer Square European Loan Funding 2022-1 DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity October 15, 2031) | 03/27/24 | 2,673 | — | — | — | % | |||||||||||||||||||||||||||||||
| St. Paul’s CLO IV DAC (6) | Subordinated Note, (effective yield 13.90%, maturity April 25, 2030) | 05/31/24 | 1,599 | 511 | 285 | 0.18 | % | |||||||||||||||||||||||||||||||
| St. Paul’s CLO VII DAC (6)(9) | Subordinated Note, (effective yield 0.00%, maturity July 18, 2034) | 04/05/24 | 1,713 | 424 | 240 | 0.15 | % | |||||||||||||||||||||||||||||||
| Tikehau CLO XIII DAC (6) | Subordinated Note, (effective yield 4.75%, maturity October 15, 2038) | 02/27/25 | 2,284 | 1,673 | 1,682 | 1.05 | % | |||||||||||||||||||||||||||||||
| Total Collateralized Loan Obligations - Equity, European Union—Various | $ | 5,033 | $ | 2,843 | 1.78 | % | ||||||||||||||||||||||||||||||||
| Total Collateralized Loan Obligations - Equity | $ | 221,380 | $ | 179,978 | 112.69 | % | ||||||||||||||||||||||||||||||||
| Bank Debt Term Loan | ||||||||||||||||||||||||||||||||||||||
| United States (4) | ||||||||||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Beverage, Food & Tobacco | ||||||||||||||||||||||||||||||||||||||
| Isagenix International LLC (6) | Bank Debt Term Loan, 12.28% (SOFR + 8.60%, maturity September 22, 2027) | 07/31/25 | $ | 107 | $ | 8 | $ | 8 | 0.01 | % | ||||||||||||||||||||||||||||
| Moran Foods LLC (6) | Bank Debt Term Loan, 11.02% (SOFR + 7.35%, maturity December 29, 2028) | 02/27/26 | 260 | 31 | 30 | 0.02 | % | |||||||||||||||||||||||||||||||
| Chemicals, Plastics & Rubber | ||||||||||||||||||||||||||||||||||||||
| Flint Group Topco Limited (6) | Bank Debt Term Loan, 10.93% (SOFR + 7.26%, maturity December 31, 2027) | 10/01/24 | 672 | 27 | 27 | 0.02 | % | |||||||||||||||||||||||||||||||
| Retail / Consumer Goods: Non-Durable | ||||||||||||||||||||||||||||||||||||||
| Solaray, LLC (6) | Bank Debt Term Loan, 10.51% (SOFR + 6.85%, maturity December 15, 2028) | 09/24/24 | 302 | 252 | 259 | 0.16 | % | |||||||||||||||||||||||||||||||
| Total Bank Debt Term Loan | $ | 318 | $ | 325 | 0.20 | % | ||||||||||||||||||||||||||||||||
| Common Stock | ||||||||||||||||||||||||||||||||||||||
| United States (4) | ||||||||||||||||||||||||||||||||||||||
| Aerospace & Defense | ||||||||||||||||||||||||||||||||||||||
| New Constellis Holdings Inc (6) | Common Stock | 09/19/24 | $ | 7 | $ | — | $ | — | — | % | ||||||||||||||||||||||||||||
| Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||||||||||||||||
| Resolute Investment Managers Inc (6) | Common Stock | 09/19/24 | 7 | 32 | 32 | 0.02 | % | |||||||||||||||||||||||||||||||
| Chemicals, Plastics & Rubber | ||||||||||||||||||||||||||||||||||||||
| Flint Group Topco Limited (6) | Common Stock | 10/23/24 | 438 | — | — | — | % | |||||||||||||||||||||||||||||||
| Metals & Mining | ||||||||||||||||||||||||||||||||||||||
| Foresight Energy LLC (6) | Common Stock | 05/08/24 | 2 | 10 | 11 | 0.01 | % | |||||||||||||||||||||||||||||||
| Total Common Stock | $ | 42 | $ | 44 | 0.03 | % | ||||||||||||||||||||||||||||||||
| Private Corporations | ||||||||||||||||||||||||||||||||||||||
| United States (4) | ||||||||||||||||||||||||||||||||||||||
| Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||||||||||||||||
| Chief Power Finance LLC (6) | Private Equity Fund | 07/31/25 | $ | — | $ | 34 | $ | 40 | 0.03 | % | ||||||||||||||||||||||||||||
| Beverage, Food & Tobacco | ||||||||||||||||||||||||||||||||||||||
| Moran Foods LLC (6) | Private Corporation | 07/31/25 | 540 | — | — | — | % | |||||||||||||||||||||||||||||||
| Consumer Goods: Non-Durable | ||||||||||||||||||||||||||||||||||||||
| Isagenix International LLC (6) | Private Corporation | 07/31/25 | 6 | — | — | — | % | |||||||||||||||||||||||||||||||
| Containers, Packaging & Glass | ||||||||||||||||||||||||||||||||||||||
| Libbey Glass Inc. (6) | Private Corporation | 07/31/25 | 4 | 9 | 9 | 0.01 | % | |||||||||||||||||||||||||||||||
| Retail / Consumer Goods: Non-Durable | ||||||||||||||||||||||||||||||||||||||
| Solaray, LLC (6) | Private Corporation | 03/31/26 | — | — | — | — | % | |||||||||||||||||||||||||||||||
| Total Private Corporations | $ | 44 | $ | 49 | 0.04 | % | ||||||||||||||||||||||||||||||||
| Warrants | ||||||||||||||||||||||||||||||||||||||
| United States (4) | ||||||||||||||||||||||||||||||||||||||
| Retail / Consumer Goods: Non-Durable | ||||||||||||||||||||||||||||||||||||||
| Careismatic Brands Warrants (6) | Warrant | 09/19/24 | $ | 3 | $ | — | $ | — | — | % | ||||||||||||||||||||||||||||
| Total Warrants | $ | — | $ | — | — | % | ||||||||||||||||||||||||||||||||
| Total Investments | $ | 388,267 | $ | 334,478 | 209.43 | % | ||||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||
Issuer(1) | Investment Description | Acquisition Date(2) | Principal Amount/Shares | Cost | Fair Value(3) | % of Net Assets | ||||||||||||||||||||||||||||||||
| Cash Equivalents | ||||||||||||||||||||||||||||||||||||||
| United States (4) | ||||||||||||||||||||||||||||||||||||||
| Funds | ||||||||||||||||||||||||||||||||||||||
| Goldman Sachs Government Institutional Class, 3.54% | Money Market Fund | $ | 23,317 | $ | 23,317 | $ | 23,317 | 14.60 | % | |||||||||||||||||||||||||||||
| Total Cash Equivalents | $ | 23,317 | $ | 23,317 | 14.60 | % | ||||||||||||||||||||||||||||||||
| Total Investments and Cash Equivalents | $ | 411,584 | $ | 357,795 | 224.02 | % | ||||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Credit Default Swaps | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Counterparty | Reference Index | Transaction Type | Fixed Rate Amount | Payment Frequency | Termination Date | Notional Amount | Payments Upfront | Unrealized Appreciation/(Depreciation) | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
| (In thousands) | (In thousands) | (In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, National Association | CDX.NA.HY.S41.15-25 | Purchased protection | 5.00 | % | Quarterly | 12/20/28 | $ | 15,000 | $ | (1,460) | $ | 2 | $ | (1,458) | ||||||||||||||||||||||||||||||||||||||||||
| J.P. Morgan Securities LLC | CDX.NA.HY.S46 | Purchased protection | 5.00 | % | Quarterly | 06/20/31 | 49,500 | (3,806) | (217) | (4,023) | ||||||||||||||||||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, National Association | ITRX.EUR.XOVER.S36.10-20 | Purchased protection | 5.00 | % | Quarterly | 12/20/26 | 45,688 | (3,049) | 1,904 | (1,145) | ||||||||||||||||||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, National Association | ITRX.EUR.XOVER.S38.10-20 | Purchased protection | 5.00 | % | Quarterly | 12/20/27 | 11,422 | (933) | 136 | (797) | ||||||||||||||||||||||||||||||||||||||||||||||
| Total Credit Default Swaps | $ | (9,248) | $ | 1,825 | $ | (7,423) | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Interest Rate Swaps | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Counterparty | Reference Index | Transaction Type | Fixed Rate Amount | Payment Frequency | Termination Date | Notional Amount | Payments Upfront | Unrealized Appreciation/(Depreciation) | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
| (In thousands) | (In thousands) | (In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| J.P. Morgan Securities LLC | SOFR | Receive floating rate / pay fixed rate | 3.39 | % | Annual | 11/07/28 | $ | 3,050 | $ | — | $ | 47 | $ | 47 | ||||||||||||||||||||||||||||||||||||||||||
| Wells Fargo Securities, LLC | SOFR | Receive fixed rate / pay floating rate | 3.70 | % | Annual | 03/27/28 | 74,976 | — | (387) | (387) | ||||||||||||||||||||||||||||||||||||||||||||||
| Wells Fargo Securities, LLC | SOFR | Receive fixed rate / pay floating rate | 3.65 | % | Annual | 03/27/31 | 9,444 | — | (100) | (100) | ||||||||||||||||||||||||||||||||||||||||||||||
| Wells Fargo Securities, LLC | SOFR | Receive fixed rate / pay floating rate | 3.79 | % | Annual | 03/30/28 | 5,734 | — | (20) | (20) | ||||||||||||||||||||||||||||||||||||||||||||||
| Wells Fargo Securities, LLC | SOFR | Receive fixed rate / pay floating rate | 3.75 | % | Annual | 03/30/31 | 880 | — | (5) | (5) | ||||||||||||||||||||||||||||||||||||||||||||||
| Total Interest Rate Swaps | $ | — | $ | (465) | $ | (465) | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Futures Contracts | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Underlying | Transaction Type | Number of Contracts | Payment Frequency | Termination Date | Notional Amount(11) | Payments Upfront | Unrealized Appreciation/(Depreciation) | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
| (In thousands) | (In thousands) | (In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Euro | Contract to sell | 120 | At exercise/expiration | 09/14/26 | $ | 15,000 | $ | — | $ | 186 | $ | 186 | ||||||||||||||||||||||||||||||||||||||||||||
| Total Currency Futures Contracts | $ | — | $ | 186 | $ | 186 | ||||||||||||||||||||||||||||||||||||||||||||||||||
| ELLINGTON CREDIT COMPANY | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| JUNE 30, 2026 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Exchange Traded Options | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Reference Index | Transaction Type | Strike Price | Payment Frequency | Expiration Date | Notional Amount(11) | Payments Upfront | Unrealized Appreciation/(Depreciation) | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
| (In thousands) | (In thousands) | (In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Invesco Senior Loan ETF | Purchased protection | $ | 20 | At exercise/expiration | 07/17/26 | $ | 8,000 | $ | 161 | $ | (141) | $ | 20 | |||||||||||||||||||||||||||||||||||||||||||
| Russell 2000 Index | Purchased protection | 2,000 | At exercise/expiration | 09/18/26 | 29,400 | 258 | (221) | 37 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Russell 2000 Index | Purchased protection | 2,350 | At exercise/expiration | 03/19/27 | 23,500 | 442 | (29) | 413 | ||||||||||||||||||||||||||||||||||||||||||||||||
| Total Exchange Traded Options | $ | 861 | $ | (391) | $ | 470 | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Over the Counter Options | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Counterparty | Reference Index | Transaction Type(10) | Strike Price | Payment Frequency | Expiration Date | Notional Amount(11) | Payments Upfront | Unrealized Appreciation/(Depreciation) | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
| (In thousands) | (In thousands) | (In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| J.P. Morgan Securities LLC | CDX.NA.HY.S46 | Option to purchase protection | $ | 100 | At exercise/expiration | 09/16/26 | $ | 75,000 | $ | 230 | $ | (135) | $ | 95 | ||||||||||||||||||||||||||||||||||||||||||
| J.P. Morgan Securities LLC | CDX.NA.HY.S46 | Option to purchase protection | 99 | At exercise/expiration | 09/16/26 | 100,000 | 600 | (464) | 136 | |||||||||||||||||||||||||||||||||||||||||||||||
| J.P. Morgan Securities LLC | CDX.NA.IG.S46(13) | Option to purchase protection | 85 | At exercise/expiration | 10/21/26 | 200,000 | 145 | (26) | 119 | |||||||||||||||||||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, National Association | CDX.NA.IG.S46(13) | Option to purchase protection | 85 | At exercise/expiration | 09/16/26 | 200,000 | 106 | (45) | 61 | |||||||||||||||||||||||||||||||||||||||||||||||
| Total Over the Counter Options | $ | 1,081 | $ | (671) | $ | 411 | ||||||||||||||||||||||||||||||||||||||||||||||||||