EARN · Ellington Credit Company

The current income-producing business

Ellington Credit converted to a registered closed-end management investment company on April 1, 2025. Its current strategy focuses on CLO mezzanine debt and equity. Its first post-conversion fiscal year ended March 31, 2026.

Fly High assessment: The conversion changes the relevant earnings measures, assets and funding rules. A trend must use comparable post-conversion periods, without combining the old mortgage REIT earnings history with the new fund.

Ellington Credit first post-conversion annual report: March 31, 2026

The latest reported income and dividend

For April 1 through June 30, 2026, total investment income was $11.959 million, interest expense $3.005 million and other expenses $2.867 million. Net investment income was $6.087 million, or $0.16 per share. Adjusted net investment income was $5.728 million, or $0.15, compared with $0.24 per share of distributions declared for the quarter. June 30 NAV was $4.18 per share.

Fly High assessment: Both reported earnings measures were below the quarter distributions. The $17.6 million of cash distributions received from investments is a different measure and must not be presented as recurring earnings coverage.

Ellington Credit June 30, 2026 quarterly results: August 12, 2026

Why adjusted income differs from GAAP

The company adjusts net investment income for specified transaction costs and non-recurring expenses and for periodic settlements on interest-rate swaps and interest or dividend income or expense on total-return swaps. For the June quarter, the adjustment was a $0.359 million reduction for the swap-related item; no transaction-cost adjustment was reported.

Fly High assessment: Preserve the earnings definition and period with every figure. Valuation gains may increase GAAP total income while recurring investment income remains below the distribution.

Ellington Credit June 30, 2026 quarterly results: August 12, 2026

How note coverage is reported

The March 31, 2026 annual report identifies $54 million of 8.5% senior unsecured notes due in 2031. The reported 693% senior-security asset coverage excludes reverse repurchase agreements, which the fund treats as derivatives for this regulatory calculation.

Fly High assessment: This calculation describes coverage of the notes, not the fund total economic leverage. Review repurchase borrowing, other obligations and available cash separately.

Ellington Credit first post-conversion annual report: March 31, 2026

A leveraged portfolio of CLO debt and equity

At June 30, 2026, Ellington Credit held $334.478 million of investments at fair value against $388.267 million of amortized cost. CLO debt was 46.1% and CLO equity 53.8% of investment fair value. Q2 investment marks improved by $11.294 million after a $37.125 million decline in the March quarter; these are valuation changes, not recurring interest income.

Fly High assessment: The June recovery is helpful, but the large equity-tranche exposure and remaining discount to amortized cost leave capital sensitive to underlying loan performance. Review defaults, cash-flow diversion tests and recoveries in subsequent CLO disclosures before describing credit quality as fully stable.

Ellington Credit June 30, 2026 quarterly results: August 12, 2026

Cash and the current borrowing mix

At June 30, 2026, the fund held $23.469 million of cash and equivalents and owed $151.935 million under reverse repurchase agreements plus $54 million principal of unsecured notes. Total net assets were $159.712 million. The March annual report identifies the notes as 8.5% debt due in 2031 and explains that its senior-security coverage calculation excludes reverse repurchase agreements.

Fly High assessment: The unsecured notes provide term funding, while substantial repurchase borrowing remains sensitive to collateral values and refinancing. Monitor cash and total borrowing together; the regulatory note-coverage ratio must not be read as covering all leverage.

Ellington Credit June 30, 2026 quarterly results: August 12, 2026

A recovery after substantial post-conversion NAV losses

During its first full year as a closed-end fund, April 1, 2025 through March 31, 2026, NAV per share fell from $6.08 to $4.09. The annual highlights report $0.74 of net investment income, $1.77 of investment losses and $0.96 of distributions per share. June 30 NAV recovered to $4.18, while June-quarter adjusted net investment income was $0.15 per share against $0.24 of distributions.

Fly High assessment: The latest quarterly recovery has not reversed the substantial loss of capital during the new fund structure. Current earnings and NAV need to show durable improvement. These comparisons start at conversion and do not combine the former mortgage REIT business with the current fund.

Ellington Credit first post-conversion annual report: March 31, 2026

What would change the earnings picture?

Follow post-conversion net investment income and adjusted net investment income, the declared monthly distribution, NAV per share, CLO credit performance and the cost and availability of borrowing.