|
Ellington Credit Company
|
|
Consolidated Schedule of
Investments
|
|
June 30, 2025 (Unaudited)
|
|
Issuer (1)
|
Investment Description
|
Acquisition Date (2)
|
Principal
Amount / Shares
|
Amortized Cost
|
Fair Value (3)
|
Percentage
of Net Assets
|
||||||||||||
|
Collateralized Loan Obligations — Debt
|
||||||||||||||||||
|
United States (4)
|
||||||||||||||||||
|
Structured Finance
|
||||||||||||||||||
|
ABPCI DIRECT LENDING FUND CLO XV LTD (5)(7)
|
Secured Note — Class E, 12.88% (SOFR + 8.60% due October 30, 2035)
|
4/24/2025
|
$
|
3,000,000
|
$
|
3,015,174
|
$
|
3,026,564
|
1.31
|
%
|
||||||||
|
Alinea CLO 2018-1 Ltd (5)(7)
|
Secured Note — Class ER, 10.22% (SOFR + 5.95% due July 20, 2031)
|
1/23/2025
|
4,350,000
|
3,868,125
|
4,256,039
|
1.84
|
%
|
|||||||||||
|
Apex Credit CLO 2022-1 Ltd (5)(7)
|
Secured Note — Class E, 12.18% (SOFR + 7.91% due April 22, 2033)
|
5/29/2025
|
825,000
|
788,153
|
781,946
|
0.33
|
%
|
|||||||||||
|
Atlas Senior Loan Fund XIV (5)(6)(7)
|
Secured Note — Class E, 11.47% (SOFR + 7.20% due July 20, 2032)
|
5/16/2024
|
1,250,000
|
1,028,914
|
1,100,000
|
0.47
|
%
|
|||||||||||
|
Atlas Static Senior Loan Fund I Ltd (5)(7)
|
Secured Note — Class E, 12.77% (SOFR + 8.51% due July 15, 2030)
|
4/7/2025
|
2,970,000
|
2,965,442
|
2,977,064
|
1.29
|
%
|
|||||||||||
|
Bain Capital Credit CLO 2017-2 Ltd (5)(7)
|
Secured Note — Class ER3, 11.62% (SOFR + 7.34% due July 25, 2037)
|
6/24/2025
|
6,560,000
|
6,568,989
|
6,569,853
|
2.85
|
%
|
|||||||||||
|
Bain Capital Credit CLO 2022-2 Ltd (5)(7)
|
Secured Note — Class E, 12.11% (SOFR + 7.84% due April 22, 2035)
|
5/1/2025
|
1,700,000
|
1,695,265
|
1,696,175
|
0.74
|
%
|
|||||||||||
|
Bain Capital Credit CLO 2022-2 Ltd (5)
|
Secured Note — Class ER, 11.68% (SOFR + 7.35% due April 22, 2035)
|
6/13/2025
|
1,620,000
|
1,620,000
|
1,620,000
|
0.71
|
%
|
|||||||||||
|
BBAM US CLO III Ltd (5)(7)
|
Secured Note — Class D, 12.86% (SOFR + 8.60% due October 15, 2038)
|
3/21/2024
|
1,000,000
|
1,011,679
|
1,006,480
|
0.44
|
%
|
|||||||||||
|
Blackrock MT Hood CLO X LLC (5)(7)
|
Secured Note — Class E, 14.31% (SOFR + 10.04% due April 20, 2035)
|
4/29/2025
|
2,500,000
|
2,418,035
|
2,427,259
|
1.06
|
%
|
|||||||||||
|
Carlyle Global Market Strategies CLO 2012-4 Ltd (5)(6)(7)
|
Secured Note — Class ERR, 11.82% (SOFR + 7.55% due April 22, 2032)
|
1/28/2025
|
2,840,000
|
2,757,670
|
2,783,200
|
1.21
|
%
|
|||||||||||
|
Catamaran CLO 2014-1 Ltd (5)(6)(7)
|
Secured Note — Class DR, 11.31% (SOFR + 7.04% due April 22, 2030)
|
1/12/2024
|
1,550,000
|
1,248,758
|
1,294,250
|
0.56
|
%
|
|||||||||||
|
CIFC-LBC Middle Market CLO 2023-1 LLC (5)(7)
|
Secured Note — Class E, 13.57% (SOFR + 9.30% due October 20, 2035)
|
5/28/2025
|
1,140,000
|
1,153,297
|
1,148,177
|
0.50
|
%
|
|||||||||||
|
Crestline Denali CLO XV Ltd (5)(7)
|
Secured Note — Class E1, 10.88% (SOFR + 6.61% due April 20, 2030)
|
3/28/2025
|
1,500,000
|
1,488,019
|
1,495,625
|
0.65
|
%
|
|||||||||||
|
Crown City CLO I (5)(7)
|
Secured Note — Class DR, 11.53% (SOFR + 7.26% due July 20, 2034)
|
1/29/2025
|
3,250,000
|
3,151,480
|
3,189,875
|
1.39
|
%
|
|||||||||||
|
Crown City CLO III (5)(7)
|
Secured Note — Class D, 11.28% (SOFR + 7.01% due July 20, 2034)
|
5/8/2025
|
2,000,000
|
1,912,020
|
1,924,000
|
0.84
|
%
|
|||||||||||
|
Crown Point CLO 9 Ltd (5)(7)
|
Secured Note — Class ER, 11.26% (SOFR + 7.02% due July 14, 2034)
|
5/6/2025
|
2,500,000
|
2,479,535
|
2,477,781
|
1.08
|
%
|
|||||||||||
|
Crown Point CLO IV Ltd (5)(7)
|
Secured Note — Class E, 10.03% (SOFR + 5.76% due April 20, 2031)
|
6/23/2025
|
1,150,000
|
1,075,726
|
1,073,140
|
0.47
|
%
|
|||||||||||
|
Dryden 54 Senior Loan Fund (5)(6)(7)
|
Secured Note — Class E, 10.73% (SOFR + 6.46% due October 19, 2029)
|
8/20/2024
|
1,750,000
|
1,632,231
|
1,690,416
|
0.74
|
%
|
|||||||||||
|
First Eagle BSL CLO 2019-1 Ltd (5)(7)
|
Secured Note — Class D, 12.23% (SOFR + 7.96% due January 20, 2033)
|
5/16/2025
|
4,480,000
|
4,410,919
|
4,422,495
|
1.93
|
%
|
|||||||||||
|
Fortress Credit BSL VIII Ltd (5)(7)
|
Secured Note — Class E, 11.54% (SOFR + 7.27% due October 20, 2032)
|
3/6/2024
|
3,000,000
|
2,940,045
|
2,991,210
|
1.30
|
%
|
|||||||||||
|
Fortress Credit Bsl X Ltd (5)(7)
|
Secured Note — Class E, 11.67% (SOFR + 7.40% due April 20, 2033)
|
5/27/2025
|
1,293,000
|
1,296,783
|
1,287,343
|
0.56
|
%
|
|||||||||||
|
Fortress Credit BSL XII Ltd (5)(7)
|
Secured Note — Class E, 11.65% (SOFR + 7.39% due October 15, 2034)
|
6/26/2025
|
1,000,000
|
963,286
|
952,888
|
0.41
|
%
|
|||||||||||
|
Fortress Credit BSL XVII Ltd (5)(7)
|
Secured Note — Class E, 12.43% (SOFR + 8.15% due October 23, 2034)
|
6/10/2024
|
1,250,000
|
1,250,000
|
1,239,207
|
0.54
|
%
|
|||||||||||
|
Greywolf CLO II Ltd (5)(7)
|
Secured Note — Class DRR, 11.57% (SOFR + 7.31% due April 15, 2034)
|
2/20/2025
|
2,000,000
|
1,950,703
|
1,999,800
|
0.87
|
%
|
|||||||||||
|
HalseyPoint CLO 3 Ltd (5)(7)
|
Secured Note — Class ER, 12.39% (SOFR + 8.11% due July 30, 2037)
|
8/23/2024
|
860,000
|
864,332
|
863,942
|
0.38
|
%
|
|||||||||||
|
ICG US CLO 2014-1 Ltd (5)(7)
|
Secured Note — Class DR2, 12.88% (SOFR + 8.61% due October 20, 2034)
|
5/22/2024
|
4,000,000
|
3,526,643
|
3,830,760
|
1.67
|
%
|
|||||||||||
|
ICG US CLO 2014-2 Ltd (5)(7)
|
Secured Note — Class ERR, 9.72% (SOFR + 5.46% due January 15, 2031)
|
1/15/2025
|
1,750,000
|
1,518,550
|
1,543,500
|
0.67
|
%
|
|||||||||||
|
ICG US CLO 2017-1 Ltd (5)(7)
|
Secured Note — Class ERR, 11.9% (SOFR + 7.62% due July 28, 2034)
|
5/16/2025
|
2,500,000
|
2,363,756
|
2,368,750
|
1.03
|
%
|
|||||||||||
|
Madison Park Funding XL Ltd (5)(7)
|
Secured Note — Class ER, 11.04% (SOFR + 6.71% due May 28, 2030)
|
5/13/2025
|
1,400,000
|
1,349,142
|
1,401,239
|
0.61
|
%
|
|||||||||||
|
Madison Park Funding XXIV Ltd (5)(7)
|
Secured Note — Class ER2, 11.32% (SOFR + 7.05% due October 20, 2029)
|
5/14/2024
|
4,100,000
|
4,024,589
|
4,022,531
|
1.75
|
%
|
|||||||||||
|
Marathon CLO 2021-16 Ltd (5)
|
Secured Note — Class DR, 11.17% (SOFR + 6.85% due April 15, 2034)
|
6/25/2025
|
2,500,000
|
2,500,000
|
2,500,000
|
1.09
|
%
|
|||||||||||
|
Marathon CLO VI Ltd (6)
|
Secured Note — Class DR2, 10.72% (SOFR + 6.41% due May 13, 2028)
|
12/4/2023
|
1,200,000
|
-
|
36
|
0.00
|
%
|
|||||||||||
|
MCF CLO IV LLC (5)(7)
|
Secured Note — Class ERR, 13.18% (SOFR + 8.91% due October 20, 2033)
|
5/7/2025
|
1,500,000
|
1,502,912
|
1,506,000
|
0.66
|
%
|
|||||||||||
|
Northwoods Capital 27 Ltd (5)(7)
|
Secured Note — Class E, 11.58% (SOFR + 7.30% due October 17, 2034)
|
2/20/2025
|
1,150,000
|
1,080,240
|
1,069,500
|
0.47
|
%
|
|||||||||||
|
Octagon 56 Ltd (5)
|
Secured Note — Class E, 11.05% (SOFR + 6.79% due October 15, 2034)
|
6/30/2025
|
2,000,000
|
1,880,714
|
1,856,885
|
0.81
|
%
|
|||||||||||
|
OZLM XXIV Ltd (5)(6)(7)
|
Secured Note — Class D, 11.58% (SOFR + 7.31% due July 20, 2032)
|
10/25/2024
|
2,000,000
|
1,568,483
|
1,740,000
|
0.76
|
%
|
|||||||||||
|
Parallel 2020-1 Ltd (5)
|
Secured Note — Class DR, 11.03% (SOFR + 6.76% due July 20, 2034)
|
6/30/2025
|
1,000,000
|
987,801
|
974,523
|
0.42
|
%
|
|||||||||||
|
Park Avenue Institutional Advisers CLO Ltd 2017-1 (5)(7)
|
Secured Note — Class DR, 11.38% (SOFR + 7.07% due February 14, 2034)
|
6/24/2025
|
1,220,000
|
1,194,106
|
1,199,369
|
0.52
|
%
|
|||||||||||
|
Park Avenue Institutional Advisers CLO Ltd 2021-1 (5)(7)
|
Secured Note — Class D, 11.83% (SOFR + 7.56% due January 20, 2034)
|
6/24/2025
|
600,000
|
600,679
|
589,546
|
0.26
|
%
|
|||||||||||
|
Park Avenue Institutional Advisers CLO Ltd 2021-2 (5)(7)
|
Secured Note — Class E, 11.53% (SOFR + 7.27% due July 15, 2034)
|
5/15/2025
|
3,000,000
|
2,890,484
|
2,910,000
|
1.27
|
%
|
|||||||||||
|
PPM CLO 2 Ltd (5)
|
Secured Note — Class DR2A, 8.92% (SOFR + 4.66% due April 16, 2037)
|
6/18/2025
|
360,000
|
350,905
|
363,420
|
0.16
|
%
|
|||||||||||
|
Rockford Tower CLO 2021-3 Ltd (5)(7)
|
Secured Note — Class ER, 11.68% (SOFR + 7.42% due January 15, 2038)
|
11/22/2024
|
1,950,000
|
1,935,267
|
1,924,213
|
0.84
|
%
|
|||||||||||
|
Saratoga Investment Corp CLO 2013-1 Ltd (5)(6)(7)
|
Secured Note — Class ER3, 12.03% (SOFR + 7.76% due April 20, 2033)
|
9/13/2024
|
2,000,000
|
1,408,975
|
1,460,000
|
0.64
|
%
|
|||||||||||
|
Symphony CLO XV Ltd (5)(6)(7)
|
Secured Note — Class ER2, 10.87% (SOFR + 6.59% due January 17, 2032)
|
10/24/2024
|
2,084,213
|
1,716,514
|
1,813,388
|
0.79
|
%
|
|||||||||||
|
Symphony CLO XVI Ltd (5)(6)(7)
|
Secured Note — Class ER, 10.62% (SOFR + 6.36% due October 15, 2031)
|
9/19/2024
|
2,255,000
|
1,903,354
|
1,909,765
|
0.83
|
%
|
|||||||||||
|
THL Credit Wind River 2019-3 CLO Ltd (5)(7)
|
Secured Note — Class E1R2, 10.71% (SOFR + 6.45% due April 15, 2031)
|
11/25/2024
|
1,000,000
|
991,205
|
993,844
|
0.43
|
%
|
|||||||||||
|
Tralee CLO IV Ltd (5)(6)(7)
|
Secured Note — Class E, 10.63% (SOFR + 6.36% due January 20, 2030)
|
9/12/2024
|
850,000
|
687,576
|
757,319
|
0.33
|
%
|
|||||||||||
|
Tralee CLO V Ltd (5)(6)
|
Secured Note — Class FR, 13.42% (SOFR + 9.15% due October 20, 2034)
|
3/28/2024
|
410,000
|
310,705
|
328,943
|
0.14
|
%
|
|||||||||||
|
Trinitas CLO IX Ltd (7)
|
Secured Note — Class E, 10.78% (SOFR + 6.51% due January 20, 2032)
|
1/17/2024
|
2,250,000
|
1,945,309
|
1,972,103
|
0.86
|
%
|
|||||||||||
|
Trinitas CLO IX Ltd (5)(7)
|
Secured Note — Class E, 10.78% (SOFR + 6.51% due January 20, 2032)
|
2/6/2025
|
1,330,000
|
1,149,894
|
1,165,732
|
0.51
|
%
|
|||||||||||
|
Trinitas CLO VI Ltd (5)(7)
|
Secured Note — Class F, 13.26% (SOFR + 8.98% due January 25, 2034)
|
4/4/2024
|
1,600,000
|
1,237,688
|
1,307,277
|
0.57
|
%
|
|||||||||||
|
Trinitas CLO XII Ltd (5)(7)
|
Secured Note — Class E, 11.94% (SOFR + 7.66% due April 25, 2033)
|
12/11/2024
|
1,890,000
|
1,829,031
|
1,878,483
|
0.82
|
%
|
|||||||||||
|
Venture 36 CLO Ltd (5)(7)
|
Secured Note — Class E, 11.45% (SOFR + 7.18% due April 20, 2032)
|
5/12/2025
|
3,500,000
|
1,808,273
|
1,828,958
|
0.80
|
%
|
|||||||||||
|
Venture XV CLO Ltd (5)(6)(7)
|
Secured Note — Class ER2, 11.71% (SOFR + 7.45% due July 15, 2032)
|
4/2/2024
|
1,500,000
|
1,007,066
|
960,150
|
0.42
|
%
|
|||||||||||
|
Venture XVIII CLO Ltd (5)(6)(7)
|
Secured Note — Class ER, 11.11% (SOFR + 6.85% due October 15, 2029)
|
3/28/2024
|
2,020,000
|
1,026,009
|
1,204,283
|
0.52
|
%
|
|||||||||||
|
Venture XXII CLO Ltd (5)(6)
|
Secured Note — Class ER, 10.17% (SOFR + 5.91% due January 15, 2031)
|
4/30/2024
|
520,000
|
262,303
|
252,200
|
0.11
|
%
|
|||||||||||
|
Venture XXVI CLO Ltd (5)(6)(7)
|
Secured Note — Class E, 11.33% (SOFR + 7.06% due January 20, 2029)
|
12/17/2024
|
2,500,000
|
1,636,300
|
1,478,612
|
0.64
|
%
|
|||||||||||
|
Venture XXVII CLO Ltd (5)(6)
|
Secured Note — Class E, 10.88% (SOFR + 6.61% due July 20, 2030)
|
6/20/2024
|
450,000
|
202,454
|
203,850
|
0.09
|
%
|
|||||||||||
|
Venture XXX CLO Ltd (5)(6)(7)
|
Secured Note — Class E, 10.82% (SOFR + 6.56% due January 15, 2031)
|
7/24/2024
|
1,345,000
|
700,260
|
673,455
|
0.29
|
%
|
|||||||||||
|
Vibrant CLO III Ltd (5)(6)
|
Secured Note — Class DRR, 10.88% (SOFR + 6.61% due October 20, 2031)
|
8/29/2024
|
250,000
|
215,463
|
225,000
|
0.10
|
%
|
|||||||||||
|
Wellfleet CLO 2019-1 Ltd (5)(6)(7)
|
Secured Note — Class D, 11.43% (SOFR + 7.16% due July 20, 2032)
|
11/29/2023
|
1,220,000
|
1,040,225
|
1,129,552
|
0.49
|
%
|
|||||||||||
|
Wellfleet CLO 2021-3 Ltd (5)(7)
|
Secured Note — Class E, 11.68% (SOFR + 7.36% due January 15, 2035)
|
6/10/2025
|
1,250,000
|
1,201,540
|
1,206,552
|
0.53
|
%
|
|||||||||||
|
WhiteHorse X Ltd (6)
|
Secured Note — Class F, 10.79% (SOFR + 6.51% due April 17, 2027)
|
1/23/2024
|
1,440,000
|
123,863
|
3,152
|
0.00
|
%
|
|||||||||||
|
Zais CLO 13 Ltd (5)(7)
|
Secured Note — Class E, 13.17% (SOFR + 8.91% due July 15, 2032)
|
1/8/2025
|
5,470,000
|
5,077,178
|
5,257,764
|
2.29
|
%
|
|||||||||||
|
Zais CLO 18 Ltd (5)(7)
|
Secured Note — Class E, 12.56% (SOFR + 8.28% due January 25, 2035)
|
5/15/2025
|
1,260,000
|
1,261,831
|
1,262,490
|
0.55
|
%
|
|||||||||||
|
Zais CLO 3 Ltd (5)(6)(7)
|
Secured Note — Class DR, 11.43% (SOFR + 7.17% due July 15, 2031)
|
5/30/2025
|
1,430,000
|
854,462
|
757,900
|
0.33
|
%
|
|||||||||||
|
Zais CLO 6 Ltd (5)(6)(7)
|
Secured Note — Class E, 11.52% (SOFR + 7.26% due July 15, 2029)
|
12/18/2024
|
2,320,000
|
1,819,695
|
1,804,662
|
0.79
|
%
|
|||||||||||
|
Total Collateralized Loan Obligations — Debt, United States
|
$
|
116,246,024
|
$
|
117,930,435
|
51.33
|
%
|
||||||||||||
|
European Union — Various (4)
|
||||||||||||||||||
|
Structured Finance
|
||||||||||||||||||
|
Blackrock European CLO IX DAC (7)
|
Secured Note — Class F, 11.42% (EURIBOR +8.92% due December 15, 2032)
|
7/31/2024
|
$
|
1,765,950
|
$
|
1,591,871
|
$
|
1,733,617
|
0.76
|
%
|
||||||||
|
Bosphorus CLO VI DAC (7)
|
Secured Note — Class E, 7.85% (EURIBOR +5.80% due May 25, 2034)
|
6/25/2025
|
1,736,518
|
1,681,260
|
1,671,055
|
0.73
|
%
|
|||||||||||
|
Carlyle Global Market Strategies Euro CLO 2014-2 Ltd (7)
|
Secured Note — Class DRR, 7.84% (EURIBOR +5.70% due November 17, 2031)
|
4/3/2025
|
1,342,122
|
1,213,988
|
1,331,385
|
0.58
|
%
|
|||||||||||
|
Carysfort Park CLO DAC (7)
|
Secured Note — Class E, 10.55% (EURIBOR +8.39% due July 28, 2034)
|
9/4/2024
|
2,354,600
|
2,122,945
|
2,307,086
|
1.00
|
%
|
|||||||||||
|
CVC Cordatus Loan Fund X DAC (7)
|
Secured Note — Class FR, 10.62% (EURIBOR +8.26% due January 26, 2038)
|
1/24/2025
|
1,471,625
|
1,311,750
|
1,433,662
|
0.62
|
%
|
|||||||||||
|
Dryden 29 Euro CLO 2013 DAC (5)(6)(7)
|
Secured Note — Class FRR, 8.68% (EURIBOR +6.40% due July 15, 2032)
|
4/10/2024
|
1,674,121
|
1,345,868
|
1,515,079
|
0.66
|
%
|
|||||||||||
|
Dryden 32 Euro CLO 2014 B.V. (6)(7)
|
Secured Note — Class FR, 9.41% (EURIBOR +7.27% due August 15, 2031)
|
4/18/2024
|
1,471,625
|
1,237,621
|
1,421,089
|
0.62
|
%
|
|||||||||||
|
Harvest CLO XXIX DAC (7)
|
Secured Note — Class FR, 10.9% (EURIBOR +8.62% due July 15, 2037)
|
6/25/2025
|
1,177,300
|
1,152,918
|
1,154,024
|
0.50
|
%
|
|||||||||||
|
Hayfin Emerald CLO X DAC (7)
|
Secured Note — Class FR, 10.15% (EURIBOR +7.91% due July 18, 2038)
|
2/18/2025
|
2,354,600
|
2,060,507
|
2,243,130
|
0.98
|
%
|
|||||||||||
|
Invesco Euro CLO IV DAC
|
Secured Note — Class E, 7.63% (EURIBOR +5.35% due April 15, 2033)
|
6/26/2025
|
1,555,213
|
1,474,747
|
1,487,229
|
0.65
|
%
|
|||||||||||
|
Jubilee CLO 2013-X DAC (7)
|
Secured Note — Class FRR, 10.83% (EURIBOR +8.55% due July 15, 2034)
|
4/23/2024
|
882,975
|
764,032
|
858,811
|
0.37
|
%
|
|||||||||||
|
Jubilee CLO 2020 XXIV DAC (7)
|
Secured Note — Class F, 10.82% (EURIBOR +8.57% due January 16, 2034)
|
9/10/2024
|
1,471,625
|
1,326,434
|
1,451,911
|
0.63
|
%
|
|||||||||||
|
Madison Park Euro Funding XIV DAC (5)(7)
|
Secured Note — Class FR, 11.1% (EURIBOR +8.82% due July 15, 2032)
|
7/16/2024
|
1,765,950
|
1,595,850
|
1,745,347
|
0.76
|
%
|
|||||||||||
|
MAN Euro CLO 2023-1 DAC (5)(7)
|
Secured Note — Class F, 12.41% (EURIBOR +10.13% due October 15, 2036)
|
4/15/2024
|
1,765,950
|
1,614,894
|
1,754,022
|
0.76
|
%
|
|||||||||||
|
Rockford Tower Europe CLO 2021-2 DAC (7)
|
Secured Note — Class F, 11.57% (EURIBOR +8.90% due January 24, 2035)
|
11/12/2024
|
1,177,300
|
1,060,313
|
1,160,314
|
0.51
|
%
|
|||||||||||
|
Sculptor European CLO I DAC (7)
|
Secured Note — Class FR, 10.65% (EURIBOR +8.41% due April 18, 2034)
|
4/23/2024
|
882,975
|
756,118
|
850,085
|
0.37
|
%
|
|||||||||||
|
St Paul's CLO IV DAC (7)
|
Secured Note — Class ERRR, 8.74% (EURIBOR +6.58% due April 25, 2030)
|
3/27/2025
|
1,177,300
|
995,653
|
1,083,492
|
0.47
|
%
|
|||||||||||
|
St Paul's CLO V DAC (5)(7)
|
Secured Note — Class FR, 8.7% (EURIBOR +6.60% due August 20, 2030)
|
7/11/2024
|
1,942,545
|
1,664,018
|
1,816,309
|
0.79
|
%
|
|||||||||||
|
STRU JP-7992 FA (7)
|
Secured Note — Class F, 9.52% (EURIBOR +7.35% due April 25, 2038)
|
2/27/2025
|
2,354,600
|
2,073,979
|
2,243,934
|
0.98
|
%
|
|||||||||||
|
Toro European CLO 6 DAC (5)(7)
|
Secured Note — Class F, 10.76% (EURIBOR +8.49% due January 12, 2032)
|
6/5/2025
|
1,765,950
|
1,626,134
|
1,676,183
|
0.73
|
%
|
|||||||||||
|
Total Collateralized Loan Obligations — Debt, European Union — Various
|
$
|
28,670,900
|
$
|
30,937,764
|
13.47
|
%
|
||||||||||||
|
Total Collateralized Loan Obligations — Debt
|
$
|
144,916,924
|
$
|
148,868,199
|
64.80
|
%
|
||||||||||||
|
Ellington Credit Company
|
||||||||||||||||||
|
Consolidated Schedule of Investments
|
||||||||||||||||||
|
June 30, 2025 (Unaudited) (continued)
|
||||||||||||||||||
|
Issuer (1)
|
Investment Description
|
Acquisition Date (2)
|
Principal
Amount / Shares
|
Amortized Cost
|
Fair Value (3)
|
Percentage
of Net Assets
|
||||||||||||
|
Collateralized Loan Obligations — Equity
|
||||||||||||||||||
|
United States (4)
|
||||||||||||||||||
|
Structured Finance
|
||||||||||||||||||
|
522 Funding CLO 2019-5 Ltd (5)(6)
|
Subordinated Note, (effective yield 19.28% maturity April 15, 2035)
|
3/24/2025
|
$
|
4,200,000
|
$
|
941,501
|
$
|
982,226
|
0.42
|
%
|
||||||||
|
Allegro CLO VII Ltd (5)(6)
|
Subordinated Note, (effective yield 37.73% maturity June 13, 2031)
|
5/16/2024
|
3,100,000
|
105,291
|
88,575
|
0.04
|
%
|
|||||||||||
|
Anchorage Credit Funding 6 Ltd (5)(6)
|
Subordinated Note, (effective yield 17.96% maturity July 25, 2036)
|
6/17/2024
|
1,670,000
|
504,254
|
626,250
|
0.27
|
%
|
|||||||||||
|
Apidos CLO Ltd (5)(6)
|
Subordinated Note, (effective yield 13.70% maturity January 20, 2038)
|
11/1/2024
|
6,600,000
|
4,911,332
|
5,478,000
|
2.38
|
%
|
|||||||||||
|
Apidos CLO XLII Ltd (5)
|
Subordinated Note, (effective yield 12.61% maturity April 20, 2038)
|
5/6/2025
|
1,070,000
|
867,820
|
881,584
|
0.38
|
%
|
|||||||||||
|
Ares XLIII CLO Ltd (5)(6)
|
Subordinated Note, (effective yield 13.02% maturity January 15, 2038)
|
1/21/2025
|
7,519,000
|
2,155,736
|
2,142,915
|
0.93
|
%
|
|||||||||||
|
Ares XXXIX CLO Ltd (5)(8)
|
Subordinated Note, (effective yield 13.41% maturity April 18, 2031)
|
7/24/2024
|
15,000,000
|
5,059,367
|
5,240,000
|
2.28
|
%
|
|||||||||||
|
Atlas Senior Loan Fund XXIII Ltd (6)
|
Subordinated Note, (effective yield 15.46% maturity July 20, 2037)
|
1/13/2025
|
4,475,000
|
1,986,147
|
2,036,125
|
0.89
|
%
|
|||||||||||
|
Atlas Senior Loan Fund XXIV Ltd (5)(6)
|
Subordinated Note, (effective yield 17.38% maturity January 20, 2038)
|
1/31/2025
|
3,010,000
|
1,608,192
|
1,625,400
|
0.71
|
%
|
|||||||||||
|
Bain Capital Credit CLO 2024-3 Ltd (5)(6)(7)
|
Subordinated Note, (effective yield 12.64% maturity July 16, 2037)
|
5/29/2024
|
4,490,000
|
2,877,124
|
2,896,050
|
1.26
|
%
|
|||||||||||
|
Balboa Bay Loan Funding 2024-2 Ltd (5)(6)(7)
|
Subordinated Note, (effective yield 13.05% maturity January 20, 2038)
|
12/11/2024
|
7,000,000
|
5,109,471
|
5,180,000
|
2.25
|
%
|
|||||||||||
|
Ballyrock CLO 25 Ltd (5)
|
Subordinated Note, (effective yield 13.00% maturity January 25, 2038)
|
5/7/2025
|
740,000
|
639,702
|
645,650
|
0.28
|
%
|
|||||||||||
|
Battalion CLO IX Ltd (5)(6)
|
Subordinated Note, (effective yield 45.09% maturity July 15, 2031)
|
9/24/2024
|
2,500,000
|
121,383
|
110,000
|
0.05
|
%
|
|||||||||||
|
Battalion CLO XV Ltd
|
Subordinated Note, (effective yield 31.36% maturity January 17, 2033)
|
9/24/2024
|
4,100,000
|
1,413,517
|
1,404,250
|
0.61
|
%
|
|||||||||||
|
Battalion CLO XV Ltd (5)(8)
|
Subordinated Note, (effective yield 31.32% maturity January 17, 2033)
|
11/21/2024
|
2,000,000
|
690,736
|
685,410
|
0.30
|
%
|
|||||||||||
|
Battalion CLO XX Ltd (5)(6)
|
Subordinated Note, (effective yield 14.68% maturity April 15, 2038)
|
10/19/2023
|
3,140,318
|
943,717
|
985,275
|
0.43
|
%
|
|||||||||||
|
Benefit Street Partners CLO XIV Ltd (5)(6)
|
Subordinated Note, (effective yield 19.31% maturity October 20, 2037)
|
12/21/2023
|
830,000
|
176,346
|
213,103
|
0.09
|
%
|
|||||||||||
|
Boyce Park CLO Ltd (5)(6)
|
Subordinated Note, (effective yield 13.44% maturity April 21, 2035)
|
8/15/2024
|
840,000
|
445,284
|
453,600
|
0.20
|
%
|
|||||||||||
|
Bridge Street CLO I Ltd (5)(8)
|
Subordinated Note, (effective yield 14.14% maturity July 20, 2037)
|
2/19/2025
|
3,500,000
|
1,989,228
|
2,063,348
|
0.90
|
%
|
|||||||||||
|
Bridge Street CLO III Ltd (5)
|
Subordinated Note, (effective yield 14.42% maturity October 20, 2034)
|
1/31/2025
|
1,680,000
|
1,052,634
|
1,092,000
|
0.48
|
%
|
|||||||||||
|
Bridge Street CLO V Ltd (5)(6)(7)
|
Subordinated Note, (effective yield 14.63% maturity April 20, 2038)
|
2/21/2025
|
20,500,000
|
15,994,500
|
16,400,000
|
7.14
|
%
|
|||||||||||
|
Canyon Capital CLO 2019-1 Ltd (5)
|
Subordinated Note, (effective yield 13.60% maturity July 15, 2037)
|
9/20/2024
|
14,423,000
|
6,384,643
|
6,562,465
|
2.86
|
%
|
|||||||||||
|
Cedar Funding IX CLO Ltd (5)
|
Subordinated Note, (effective yield 17.75% maturity July 20, 2037)
|
1/17/2025
|
3,950,000
|
1,216,445
|
1,384,099
|
0.60
|
%
|
|||||||||||
|
CIFC Funding 2014-II Ltd (5)(6)
|
Subordinated Note, (effective yield 23.91% maturity May 24, 2026)
|
4/2/2025
|
6,200,000
|
1,040,070
|
1,061,266
|
0.46
|
%
|
|||||||||||
|
CIFC Funding 2018-IV Ltd (5)(6)
|
Subordinated Note, (effective yield 16.03% maturity October 17, 2031)
|
6/11/2025
|
2,220,000
|
820,944
|
815,850
|
0.36
|
%
|
|||||||||||
|
Crown City CLO I (5)(6)
|
Subordinated Note, (effective yield 18.38% maturity July 20, 2034)
|
11/7/2023
|
4,740,000
|
1,451,445
|
1,433,850
|
0.62
|
%
|
|||||||||||
|
Crown City CLO II (5)(6)
|
Subordinated Note, (effective yield 18.77% maturity April 20, 2035)
|
8/21/2024
|
5,217,081
|
1,922,236
|
1,956,405
|
0.85
|
%
|
|||||||||||
|
Crown City CLO III (5)(6)
|
Subordinated Note, (effective yield 12.13% maturity July 20, 2034)
|
3/21/2024
|
5,580,000
|
2,139,957
|
1,841,400
|
0.80
|
%
|
|||||||||||
|
Eaton Vance CLO 2019-1 Ltd (5)(6)
|
Subordinated Note, (effective yield 15.00% maturity April 15, 2031)
|
1/23/2025
|
1,800,000
|
643,620
|
693,000
|
0.30
|
%
|
|||||||||||
|
Elmwood CLO 24 Ltd (5)
|
Subordinated Note, (effective yield 16.74% maturity December 11, 2033)
|
2/27/2025
|
8,000,000
|
5,656,108
|
5,360,000
|
2.33
|
%
|
|||||||||||
|
Empower CLO 2022-1 Ltd (5)
|
Subordinated Note, (effective yield 18.19% maturity October 20, 2037)
|
10/30/2024
|
9,620,000
|
7,728,547
|
7,359,300
|
3.20
|
%
|
|||||||||||
|
Generate CLO 2 Ltd (5)(6)
|
Subordinated Note, (effective yield 22.12% maturity October 22, 2037)
|
3/18/2025
|
5,000,000
|
1,786,632
|
1,722,844
|
0.75
|
%
|
|||||||||||
|
Greywolf CLO II Ltd (5)(6)
|
Subordinated Note, (effective yield 14.18% maturity April 15, 2034)
|
4/3/2024
|
1,930,000
|
422,955
|
386,000
|
0.17
|
%
|
|||||||||||
|
Greywolf CLO II Ltd (5)(6)
|
Subordinated Note, (effective yield 15.90% maturity April 15, 2034)
|
4/3/2024
|
1,370,000
|
302,249
|
287,251
|
0.13
|
%
|
|||||||||||
|
Greywolf CLO II Ltd (6)
|
Subordinated Note, (effective yield 15.90% maturity April 15, 2034)
|
11/17/2023
|
1,130,000
|
249,300
|
236,930
|
0.10
|
%
|
|||||||||||
|
HPS Loan Management 2025-24 Ltd (5)(7)
|
Subordinated Note, (effective yield 12.68% maturity April 25, 2038)
|
2/18/2025
|
2,000,000
|
1,714,995
|
1,682,346
|
0.73
|
%
|
|||||||||||
|
ICG US CLO 2021-3 Ltd (5)(6)
|
Subordinated Note, (effective yield 21.97% maturity October 20, 2034)
|
5/30/2024
|
2,600,000
|
1,024,063
|
1,087,057
|
0.47
|
%
|
|||||||||||
|
KKR CLO 14 Ltd (6)
|
Subordinated Note, (effective yield 7.66% maturity August 15, 2031)
|
7/22/2024
|
1,500,000
|
319,240
|
226,500
|
0.10
|
%
|
|||||||||||
|
LCM 32 Ltd (5)(6)
|
Subordinated Note, (effective yield 17.77% maturity July 20, 2034)
|
8/12/2024
|
1,640,000
|
403,440
|
367,299
|
0.16
|
%
|
|||||||||||
|
Madison Park Funding LIX Ltd (5)(7)
|
Subordinated Note, (effective yield 18.48% maturity April 18, 2037)
|
2/11/2025
|
2,337,704
|
1,440,915
|
1,332,491
|
0.58
|
%
|
|||||||||||
|
Madison Park Funding XIX Ltd (5)(6)
|
Subordinated Note, (effective yield 22.83% maturity January 22, 2037)
|
11/12/2024
|
2,285,000
|
901,945
|
879,725
|
0.38
|
%
|
|||||||||||
|
Madison Park Funding XXVIII Ltd (5)
|
Subordinated Note, (effective yield 18.49% maturity July 15, 2030)
|
5/29/2025
|
1,290,000
|
554,925
|
548,250
|
0.24
|
%
|
|||||||||||
|
Magnetite XXX Ltd (5)
|
Subordinated Note, (effective yield 18.57% maturity October 25, 2037)
|
5/30/2024
|
9,793,000
|
6,073,853
|
6,104,303
|
2.66
|
%
|
|||||||||||
|
Marble Point CLO XX Ltd (5)(6)
|
Subordinated Note, (effective yield 14.14% maturity April 23, 2051)
|
7/25/2024
|
2,000,000
|
641,492
|
600,000
|
0.26
|
%
|
|||||||||||
|
Marble Point CLO XXII Ltd (6)
|
Subordinated Note, (effective yield 12.24% maturity July 25, 2050)
|
5/14/2024
|
5,400,000
|
1,173,046
|
1,053,540
|
0.46
|
%
|
|||||||||||
|
Monroe Capital MML CLO VI Ltd (5)(6)
|
Subordinated Note, (effective yield 148.66% maturity April 15, 2030)
|
12/18/2024
|
3,000,000
|
142,399
|
104,007
|
0.05
|
%
|
|||||||||||
|
Mountain View CLO 2017-2 LLC (6)(9)
|
Subordinated Note, (effective yield 0.00% maturity January 16, 2031)
|
1/23/2024
|
3,000,000
|
300
|
300
|
0.00
|
%
|
|||||||||||
|
Nassau 2018-II Ltd (5)(6)(9)
|
Subordinated Note, (effective yield 0.00% maturity October 15, 2031)
|
3/28/2024
|
1,000,000
|
100
|
100
|
0.00
|
%
|
|||||||||||
|
Neuberger Berman CLO XVII Ltd (5)(6)
|
Subordinated Note, (effective yield 18.22% maturity July 22, 2037)
|
8/21/2024
|
6,200,000
|
971,963
|
1,240,000
|
0.54
|
%
|
|||||||||||
|
New Mountain CLO 2 Ltd (5)(6)
|
Subordinated Note, (effective yield 18.57% maturity April 15, 2034)
|
12/13/2024
|
11,960,000
|
7,377,688
|
7,415,200
|
3.23
|
%
|
|||||||||||
|
Oaktree CLO 2019-4 Ltd (5)(6)
|
Subordinated Note, (effective yield 13.03% maturity July 20, 2037)
|
7/2/2024
|
3,400,000
|
2,128,608
|
2,176,000
|
0.95
|
%
|
|||||||||||
|
Oaktree CLO 2020-1 Ltd (5)(6)
|
Subordinated Note, (effective yield 15.24% maturity January 15, 2038)
|
7/18/2024
|
7,575,000
|
4,513,285
|
4,526,063
|
1.97
|
%
|
|||||||||||
|
Octagon Investment Partners 18-R Ltd (5)(6)
|
Subordinated Note, (effective yield 1075.27% maturity April 16, 2031)
|
3/15/2024
|
3,651,162
|
154
|
3,582
|
0.00
|
%
|
|||||||||||
|
Octagon Investment Partners 18-R Ltd (6)
|
Subordinated Note, (effective yield 1075.27% maturity April 16, 2031)
|
10/26/2023
|
5,000,000
|
211
|
4,905
|
0.00
|
%
|
|||||||||||
|
Octagon Investment Partners 41 Ltd (5)(6)
|
Subordinated Note, (effective yield 20.75% maturity October 15, 2033)
|
9/4/2024
|
1,270,000
|
399,375
|
442,708
|
0.19
|
%
|
|||||||||||
|
OHA Loan Funding 2013-1 Ltd (6)
|
Subordinated Note, (effective yield 31.03% maturity April 23, 2037)
|
11/12/2024
|
875,000
|
325,412
|
290,063
|
0.13
|
%
|
|||||||||||
|
OSD CLO 2023-27 Ltd (5)(6)
|
Subordinated Note, (effective yield 11.74% maturity April 16, 2035)
|
4/24/2024
|
6,200,000
|
3,679,129
|
3,782,000
|
1.65
|
%
|
|||||||||||
|
PPM CLO 2 Ltd (5)(6)
|
Subordinated Note, (effective yield 12.32% maturity April 16, 2037)
|
4/24/2024
|
1,260,000
|
220,031
|
182,280
|
0.08
|
%
|
|||||||||||
|
Regatta 31 Funding Ltd (5)(6)(8)
|
Subordinated Note, (effective yield 14.10% maturity March 25, 2038)
|
2/21/2025
|
1,571,237
|
1,373,738
|
1,416,131
|
0.62
|
%
|
|||||||||||
|
Regatta II Funding LP (6)(9)
|
Preference Shares, (effective yield 0.00%, maturity January 15, 2029)
|
2/27/2025
|
5,000
|
40,000
|
40,000
|
0.02
|
%
|
|||||||||||
|
Regatta XI Funding Ltd (5)(6)(8)
|
Subordinated Note, (effective yield 12.33% maturity July 17, 2037)
|
6/26/2025
|
3,600,000
|
1,036,270
|
1,027,770
|
0.45
|
%
|
|||||||||||
|
Regatta XV Funding Ltd (5)(6)(9)
|
Subordinated Note, (effective yield 0.00% maturity October 25, 2031)
|
12/6/2023
|
3,500,000
|
-
|
-
|
0.00
|
%
|
|||||||||||
|
Rockford Tower CLO 2022-3 Ltd (5)
|
Subordinated Note, (effective yield 13.45% maturity July 20, 2037)
|
10/24/2024
|
1,050,000
|
659,749
|
648,731
|
0.28
|
%
|
|||||||||||
|
RR 5 Ltd (5)(6)
|
Subordinated Note, (effective yield 17.11% maturity July 15, 2039)
|
10/31/2024
|
2,250,000
|
607,539
|
624,375
|
0.27
|
%
|
|||||||||||
|
Symphony CLO XXIII Ltd (6)
|
Subordinated Note, (effective yield 22.51% maturity January 15, 2048)
|
5/14/2024
|
3,000,000
|
1,017,906
|
1,050,000
|
0.46
|
%
|
|||||||||||
|
Symphony CLO XXVI Ltd (6)
|
Subordinated Note, (effective yield 17.51% maturity April 20, 2033)
|
1/9/2024
|
1,620,000
|
223,940
|
193,803
|
0.08
|
%
|
|||||||||||
|
TCW CLO 2021-1 Ltd (5)
|
Subordinated Note, (effective yield 16.44% maturity January 20, 2038)
|
2/26/2025
|
8,400,000
|
3,728,004
|
3,990,000
|
1.74
|
%
|
|||||||||||
|
TCW CLO 2023-1 Ltd (5)(6)
|
Subordinated Note, (effective yield 38.83% maturity March 31, 2038)
|
3/25/2025
|
740,000
|
325,209
|
407,000
|
0.18
|
%
|
|||||||||||
|
TCW CLO 2023-1 Ltd (6)
|
Subordinated Note, (effective yield 38.83% maturity March 31, 2038)
|
9/19/2024
|
1,600,000
|
703,155
|
880,000
|
0.38
|
%
|
|||||||||||
|
TCW CLO 2025-1 LTD (5)(6)(7)
|
Subordinated Note, (effective yield 13.46% maturity April 20, 2038)
|
2/18/2025
|
1,775,000
|
1,469,956
|
1,473,250
|
0.64
|
%
|
|||||||||||
|
THL Credit Wind River 2019-3 CLO Ltd (5)(6)
|
Subordinated Note, (effective yield 29.59% maturity April 15, 2031)
|
5/30/2025
|
3,310,000
|
376,654
|
379,032
|
0.16
|
%
|
|||||||||||
|
Vibrant CLO XIII Ltd (5)(6)
|
Subordinated Note, (effective yield 14.33% maturity July 15, 2034)
|
5/21/2024
|
7,880,000
|
4,433,743
|
4,517,951
|
1.97
|
%
|
|||||||||||
|
Vibrant CLO XV Ltd (5)(6)
|
Subordinated Note, (effective yield 17.83% maturity January 20, 2035)
|
8/29/2024
|
1,510,000
|
759,007
|
798,413
|
0.35
|
%
|
|||||||||||
|
Voya 2024-3 LTD (5)(6)
|
Subordinated Note, (effective yield 13.56% maturity July 20, 2037)
|
6/18/2024
|
9,400,000
|
6,616,236
|
7,238,000
|
3.15
|
%
|
|||||||||||
|
Voya CLO 2024-5 Ltd (5)(6)
|
Subordinated Note, (effective yield 13.42% maturity October 15, 2037)
|
10/18/2024
|
10,000,000
|
7,295,548
|
7,600,000
|
3.31
|
%
|
|||||||||||
|
Voya CLO 2025-1 Ltd (5)(6)
|
Subordinated Note, (effective yield 13.41% maturity April 20, 2038)
|
2/12/2025
|
3,200,000
|
2,783,237
|
2,848,000
|
1.24
|
%
|
|||||||||||
|
Wellfleet CLO 2021-3 Ltd (5)(6)(8)
|
Subordinated Note, (effective yield 11.41% maturity January 15, 2035)
|
9/11/2024
|
7,600,000
|
2,107,710
|
1,873,740
|
0.82
|
%
|
|||||||||||
|
Wind River 2021-1 CLO Ltd (5)(6)(8)
|
Subordinated Note, (effective yield 12.94% maturity July 20, 2037)
|
7/12/2024
|
4,650,000
|
1,846,642
|
1,848,956
|
0.80
|
%
|
|||||||||||
|
Zais CLO 9 Ltd (6)(9)
|
Subordinated Note, (effective yield 0.00% maturity July 20, 2031)
|
2/8/2024
|
720,000
|
72
|
72
|
0.00
|
%
|
|||||||||||
|
Total Collateralized Loan Obligations — Equity, United States
|
$
|
152,769,317
|
$
|
155,234,364
|
67.57
|
%
|
||||||||||||
|
|
||||||||||||||||||
|
European Union — Various (4)
|
||||||||||||||||||
|
Structured Finance
|
||||||||||||||||||
|
Barings Euro CLO 2020-1 DAC (6)
|
Subordinated Note, (effective yield 6.25% maturity October 21, 2034)
|
2/13/2025
|
$
|
3,531,900
|
$
|
1,445,344
|
$
|
1,364,154
|
0.60
|
%
|
||||||||
|
Barings Euro CLO 2021-1 DAC (5)(6)
|
Subordinated Note, (effective yield 11.16% maturity April 24, 2034)
|
2/12/2025
|
1,471,625
|
486,162
|
527,294
|
0.23
|
%
|
|||||||||||
|
BNPP IP Euro CLO 2015-1 BV (6)
|
Subordinated Note, (effective yield 18.79% maturity October 15, 2030)
|
1/21/2025
|
1,765,950
|
281,871
|
251,648
|
0.11
|
%
|
|||||||||||
|
Cairn CLO XVIII DAC (6)(9)
|
Subordinated Note, (effective yield 0.00% maturity April 15, 2037)
|
8/6/2024
|
71,699
|
1
|
-
|
0.00
|
%
|
|||||||||||
|
Cairn CLO XVIII DAC (6)(7)
|
Subordinated Note, (effective yield 6.40% maturity April 15, 2037)
|
8/6/2024
|
2,354,600
|
1,565,223
|
1,648,220
|
0.72
|
%
|
|||||||||||
|
Carlyle Euro CLO 2019-2 DAC (6)
|
Subordinated Note, (effective yield 11.74% maturity August 15, 2032)
|
3/27/2025
|
294,325
|
71,980
|
72,448
|
0.03
|
%
|
|||||||||||
|
Carlyle Global Market Strategies Euro CLO 2014-2 Ltd (6)
|
Subordinated Note, (effective yield 4.05% maturity November 17, 2031)
|
1/22/2025
|
2,354,600
|
267,408
|
234,306
|
0.10
|
%
|
|||||||||||
|
Invesco Euro CLO I DAC (6)
|
Subordinated Note, (effective yield 22.49% maturity July 15, 2031)
|
3/27/2024
|
2,319,281
|
464,617
|
423,419
|
0.18
|
%
|
|||||||||||
|
Invesco Euro CLO V DAC (6)
|
Subordinated Note, (effective yield 21.52% maturity January 15, 2034)
|
3/27/2024
|
2,024,956
|
679,628
|
668,235
|
0.29
|
%
|
|||||||||||
|
Jubilee CLO 2017-XIX DAC (6)
|
Subordinated Note, (effective yield 8.99% maturity April 25, 2038)
|
6/3/2025
|
1,217,328
|
645,794
|
669,531
|
0.29
|
%
|
|||||||||||
|
Jubilee CLO 2021-XXV DAC (6)(7)
|
Subordinated Note, (effective yield 12.48% maturity October 15, 2035)
|
1/27/2025
|
2,354,600
|
1,282,841
|
1,373,039
|
0.60
|
%
|
|||||||||||
|
OAK Hill European Credit Partners VII DAC (6)
|
Subordinated Note, (effective yield 31.66% maturity October 20, 2031)
|
5/23/2024
|
2,354,600
|
731,539
|
729,749
|
0.32
|
%
|
|||||||||||
|
Palmer Square European Loan Funding 2022-1 DAC (6)
|
Subordinated Note, (effective yield 23.45% maturity October 15, 2031)
|
3/27/2024
|
2,754,882
|
1,172,857
|
1,407,469
|
0.61
|
%
|
|||||||||||
|
St Paul's CLO IV DAC (6)
|
Subordinated Note, (effective yield 29.14% maturity April 25, 2030)
|
5/31/2024
|
1,648,220
|
601,299
|
630,691
|
0.27
|
%
|
|||||||||||
|
St Paul's CLO VII DAC (6)
|
Subordinated Note, (effective yield 20.33% maturity July 18, 2034)
|
4/5/2024
|
1,765,950
|
675,151
|
706,380
|
0.31
|
%
|
|||||||||||
|
Tikehau CLO XIII DAC (6)
|
Subordinated Note, (effective yield 5.63% maturity October 15, 2038)
|
2/27/2025
|
2,354,600
|
1,854,730
|
2,048,502
|
0.89
|
%
|
|||||||||||
|
Total Collateralized Loan Obligations — Equity, European Union — Various
|
$
|
12,226,445
|
$
|
12,755,085
|
5.55
|
%
|
||||||||||||
|
Total Collateralized Loan Obligations — Equity
|
$
|
164,995,762
|
$
|
167,989,449
|
73.12
|
%
|
||||||||||||
|
Ellington Credit Company
|
||||||||||||||||||
|
Consolidated Schedule of Investments
|
||||||||||||||||||
|
June 30, 2025 (Unaudited) (continued)
|
||||||||||||||||||
|
Issuer (1)
|
Investment Description
|
Acquisition Date (2)
|
Principal
Amount / Shares
|
Amortized Cost
|
Fair Value (3)
|
Percentage
of Net Assets
|
||||||||||||
|
Bank Debt Term Loan
|
||||||||||||||||||
|
United States (4)
|
||||||||||||||||||
|
Services: Business
|
||||||||||||||||||
|
CareerBuilder, LLC (6)
|
Bank Debt Term Loan, 11.83% (SOFR + 6.75%, maturity July 31, 2026)
|
9/19/2024
|
$ |
468,989
|
$ |
29,579
|
$ |
29,898
|
0.02
|
%
|
||||||||
|
Chemicals, Plastics & Rubber
|
||||||||||||||||||
|
Flint Group Topco Limited (6)
|
Bank Debt Term Loan, 11.44% (SOFR + 7.16%, maturity December 31, 2027)
|
10/1/2024
|
600,596
|
28,324
|
30,030
|
0.01
|
%
|
|||||||||||
|
Telecommunications
|
||||||||||||||||||
|
Lumen Technologies, Inc. (6)
|
Bank Debt Term Loan, 6.69% (SOFR + 2.36%, maturity March 15, 2027)
|
9/19/2024
|
70,642
|
67,463
|
67,463
|
0.03
|
%
|
|||||||||||
|
Retail / Consumer Goods: Non-Durable
|
||||||||||||||||||
|
Solaray, LLC (6)
|
Bank Debt Term Loan, 10.98% (SOFR + 6.85%, maturity December 15, 2025)
|
9/24/2024
|
292,177
|
252,728
|
252,728
|
0.11
|
%
|
|||||||||||
|
Total Bank Debt Term Loan
|
|
|
$
|
378,094
|
$
|
380,119
|
0.17
|
%
|
||||||||||
|
Common Stock
|
||||||||||||||||||
|
United States (4)
|
||||||||||||||||||
|
Chemicals, Plastics & Rubber
|
||||||||||||||||||
|
Flint Group Topco Limited (6)(9)
|
Common Stock
|
10/23/2024
|
438,201
|
$ |
-
|
$ |
-
|
0.00
|
%
|
|||||||||
|
Metals & Mining
|
||||||||||||||||||
|
FORESIGHT ENERGY LLC (6)(9)
|
Common Stock
|
5/8/2024
|
2,381
|
22,929
|
6,945
|
0.00
|
%
|
|||||||||||
|
Aerospace & Defense
|
||||||||||||||||||
|
New Constellis Holdings Inc (6)(9)
|
Common Stock
|
9/19/2024
|
7,104
|
377
|
377
|
0.00
|
%
|
|||||||||||
|
Banking, Finance, Insurance & Real Estate
|
||||||||||||||||||
|
Resolute Investment Managers Inc (6)(9)
|
Common Stock
|
9/19/2024
|
7,213
|
32,459
|
32,459
|
0.02
|
%
|
|||||||||||
|
Total Common Stock
|
$
|
55,765
|
$
|
39,781
|
0.02
|
%
|
||||||||||||
|
Warrants
|
||||||||||||||||||
|
United States (4)
|
||||||||||||||||||
|
Services: Business
|
||||||||||||||||||
|
Careerbuilder, LLC (9)
|
Warrant
|
2/21/2025
|
348
|
$
|
-
|
$
|
-
|
0.00
|
%
|
|||||||||
|
Retail / Consumer Goods: Non-Durable
|
||||||||||||||||||
|
New Trojan Parent, Inc. (6)(9)
|
Warrant
|
9/19/2024
|
3,363
|
$
|
34
|
$
|
34
|
0.00
|
%
|
|||||||||
|
Total Warrants
|
$
|
34
|
$
|
34
|
0.00
|
%
|
||||||||||||
|
Other Investments
|
||||||||||||||||||
|
United States (4)
|
||||||||||||||||||
|
Mortgage-related—Residential
|
||||||||||||||||||
|
Government National Mortgage Association (6)(10)
|
Secured Note — Class JI, 6.56% (SOFR + 1.21% due December 20, 2060)
|
6/6/2013
|
25,119,330
|
$
|
1,891
|
$
|
1,920
|
0.00
|
%
|
|||||||||
|
Total Other Investments
|
$
|
1,891
|
$
|
1,920
|
0.00
|
%
|
||||||||||||
|
Total Investments
|
$
|
310,348,470
|
$
|
317,279,502
|
138.11
|
%
|
||||||||||||
|
Cash Equivalents
|
||||||||||||||||||
|
United States (4)
|
||||||||||||||||||
|
Funds
|
||||||||||||||||||
|
Blackrock Federal Institutional Class, 4.23%
|
Money Market Fund
|
$
|
2,112,264
|
$
|
2,112,264
|
$
|
2,112,264
|
0.92
|
%
|
|||||||||
|
Goldman Sachs Government Institutional Class, 4.23%
|
Money Market Fund
|
25,231,532
|
25,231,532
|
25,231,532
|
10.98
|
%
|
||||||||||||
|
Morgan Stanley Liquidity Government Istitutional Class, 4.25%
|
Money Market Fund
|
2,176,272
|
2,176,272
|
2,176,272
|
0.95
|
%
|
||||||||||||
|
Total Cash Equivalents
|
$
|
29,520,068
|
$
|
29,520,068
|
12.85
|
%
|
||||||||||||
|
Total Investments and Cash Equivalents
|
$
|
339,868,538
|
$
|
346,799,570
|
150.96
|
%
|
||||||||||||
|
Liabilities in Excess of Other Assets
|
|
|
$ |
(117,066,461 |
) |
-50.96
|
%
|
|||||||||||
|
Net Assets
|
$
|
229,733,109
|
100.00
|
%
|
||||||||||||||
|
Footnotes to the Consolidated Schedule of Investments:
|
||||||||||||
|
(1) The Fund does not “control” and is not an “affiliate” of any of its portfolio companies, each as defined in the 1940 Act. In general, under the 1940 Act, the Fund would be presumed to “control” a portfolio
company if it owned more than 25% of the voting securities and would be an “affiliate” of a portfolio company if we owned 5% or more of its voting securities.
|
||||||||||||
|
(2) Acquisition date represents date the investment was initially acquired by the Fund and may be earlier than the date at which the Fund converted to a RIC.
|
||||||||||||
|
(3) Fair Value is determined by the Adviser in accordance with written valuation policies and procedures, subject to oversight by the Fund’s Board of Directors, in accordance with Rule 2a‐5 under the 1940 Act.
|
||||||||||||
|
(4) Represents the principal country or region of risk where the investment has exposure.
|
||||||||||||
|
(5) Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers.
|
||||||||||||
|
(6) Investment is categorized as Level 3 per the Fund's fair value hierarchy.
|
||||||||||||
|
(7) All or a portion of the security is pledged as collateral for Reverse Repurchase Agreements.
|
||||||||||||
|
(8) Fair Value and Amortized Cost includes fee rebates related to the Fund's interest in CLO Subordinated notes.
|
||||||||||||
|
(9) As of June 30, 2025, this investment is non-income producing.
|
||||||||||||
|
(10) Principal amount represents the interest only notional.
|
||||||||||||
|
Ellington Credit Company
|
||||||||||||||||||
|
Consolidated Schedule of Investments
|
||||||||||||||||||
|
June 30, 2025 (Unaudited) (concluded)
|
||||||||||||||||||
|
Interest Rate Swaps
|
|||||||||||||||||||||||
|
Counterparty
|
Floating Rate Index
|
Transaction Type
|
Floating Rate
Paid or Received
|
Payment Frequency
|
Maturity Date
|
Notional Amount
|
Upfront Premium
Paid / (Received)
|
Unrealized Appreciation / (Depreciation)
|
Fair Value
|
||||||||||||||
|
JPMorgan Chase Bank, N.A.
|
SOFR
|
Received fixed / pay float
|
Paid
|
Annual
|
10/20/2040
|
$
|
500,000
|
$
|
(179,142
|
)
|
$
|
(2,810
|
)
|
$
|
(181,952
|
)
|
|||||||
|
JPMorgan Chase Bank, N.A.
|
SOFR
|
Receive float / pay fixed
|
Received
|
Annual
|
10/20/2040
|
500,000
|
172,582
|
2,837
|
175,419
|
||||||||||||||
|
Total Interest Rate Swaps
|
$
|
(6,560
|
)
|
$
|
27
|
$
|
(6,533
|
)
|
|||||||||||||||
|
Credit Default Swaps
|
|||||||||||||||||||||||
|
Counterparty
|
Reference Index
|
Transaction Type
|
Fixed Rate Amount
|
Payment Frequency
|
Termination Date
|
Notional Amount
|
Upfront Premium
Paid / (Received)
|
Unrealized Appreciation / (Depreciation)
|
Fair Value
|
||||||||||||||
|
JPMorgan Chase Bank, N.A.
|
CDX.A.HY.44
|
Purchased protection
|
5.00
|
%
|
Quarterly
|
6/20/2030
|
$
|
9,104,000
|
$
|
(472,226
|
)
|
$
|
(226,150
|
)
|
$
|
(698,376
|
)
|
||||||
|
JPMorgan Chase Bank, N.A.
|
ITRX.EUR.XOVR.38.10-20
|
Purchased protection
|
5.00
|
%
|
Quarterly
|
12/20/2027
|
11,773,000
|
(932,800
|
)
|
(79,654
|
)
|
(1,012,454
|
)
|
||||||||||
|
Total Credit Default Swaps
|
$
|
(1,405,026
|
)
|
$
|
(305,804
|
)
|
$
|
(1,710,830
|
)
|
||||||||||||||
|
Currency Futures Contracts
|
|||||||||||||||||||||||
|
Counterparty
|
Reference Index
|
Transaction Type
|
Payment Frequency
|
Termination Date
|
Notional
Amount (1)
|
Upfront Premium
Paid / (Received)
|
Unrealized Appreciation / (Depreciation)
|
Fair Value
|
|||||||||||||||
|
Wells Fargo Securities, LLC
|
Currency-Euro
|
Contract to deliver and receive
|
Payment on settlement
|
9/15/2025
|
$
|
18,750,000
|
$
|
-
|
$
|
(355,516
|
)
|
$
|
(355,516
|
)
|
|||||||||
|
Total Currency Futures
|
$
|
-
|
$
|
(355,516
|
)
|
$
|
(355,516
|
)
|
|||||||||||||||
|
Exchange Traded Options
|
|||||||||||||||||||||||
|
Counterparty
|
Reference Index
|
Transaction Type
|
Strike Price
|
Payment Frequency
|
Expiration Date
|
Notional
Amount (2)
|
Upfront Premium
Paid / (Received)
|
Unrealized Appreciation / (Depreciation)
|
Fair Value
|
||||||||||||||
|
Clear Street LLC
|
S&P 500 Index
|
Purchased put
|
5,050
|
Payment on settlement
|
9/19/2025
|
$
|
37,875,000
|
$
|
126,077
|
$
|
(827
|
)
|
$
|
125,250
|
|||||||||
|
Clear Street LLC
|
S&P 500 Index
|
Purchased put
|
5,000
|
Payment on settlement
|
11/21/2025
|
12,500,000
|
183,717
|
(89,342
|
)
|
94,375
|
|||||||||||||
|
Total Options
|
$
|
309,794
|
$
|
(90,169
|
)
|
$
|
219,625
|
||||||||||||||||
|
(1) Each futures contract represents a notional principal amount of $125,000. As of June 30, 2025, the Fund held 151 contracts.
|
||||||||||||||||||||||||
|
(2) Notional value represents the number of underlying index units multiplied by the reference price on the underlying index and the contract size.
|
||||||||||||||||||||||||
| |
||||||||||||||||||||||||