# EDGAR Filing Document

**Accession Number:** 0001560672
**File Stem:** 0001145549-25-057557
**Filing Date:** 2025-8
**Character Count:** 173640
**Document Hash:** da81fe5d692589cf7a63ff7e6de2c822
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-057557.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001145549-25-057557

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Ellington Credit Co
- **CENTRAL INDEX KEY:** 0001560672
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]

**ORGANIZATION NAME:**
- **EIN:** 460687599
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-24071
- **FILM NUMBER:** 251280867

**BUSINESS ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870
- **BUSINESS PHONE:** (203) 698-1200

**MAIL ADDRESS:**
- **STREET 1:** 53 FOREST AVENUE
- **CITY:** OLD GREENWICH
- **STATE:** CT
- **ZIP:** 06870

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Ellington Residential Mortgage REIT
- **DATE OF NAME CHANGE:** 20121018

## Nport-Ex

---

| |
|:---|
| **Ellington Credit Company** |
| **Consolidated Schedule of Investments** |
| **June 30, 2025 (Unaudited)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Issuer (1)** | **Investment Description** | **Acquisition Date (2)** | **Principal** <br> **Amount / Shares** | **Amortized Cost** | **Fair Value (3)** | **Percentage**<br> **of Net Assets** |
| <u>Collateralized Loan Obligations — Debt</u> | <u>Collateralized Loan Obligations — Debt</u> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <u>United States (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Structured Finance</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | $3000000 | $3015174 | $3026564 | 1.31% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alinea CLO 2018-1 Ltd (5)(7) | Secured Note — Class ER, 10.22% (SOFR + 5.95% due July 20, 2031) | 1/23/2025 | 4350000 | 3868125 | 4256039 | 1.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apex Credit CLO 2022-1 Ltd (5)(7) | Secured Note — Class E, 12.18% (SOFR + 7.91% due April 22, 2033) | 5/29/2025 | 825000 | 788153 | 781946 | 0.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Atlas Senior Loan Fund XIV (5)(6)(7) | Secured Note — Class E, 11.47% (SOFR + 7.20% due July 20, 2032) | 5/16/2024 | 1250000 | 1028914 | 1100000 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 2970000 | 2965442 | 2977064 | 1.29% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 6560000 | 6568989 | 6569853 | 2.85% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 1700000 | 1695265 | 1696175 | 0.74% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bain Capital Credit CLO 2022-2 Ltd (5) | Secured Note — Class ER, 11.68% (SOFR + 7.35% due April 22, 2035) | 6/13/2025 | 1620000 | 1620000 | 1620000 | 0.71% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BBAM US CLO III Ltd (5)(7) | Secured Note — Class D, 12.86% (SOFR + 8.60% due October 15, 2038) | 3/21/2024 | 1000000 | 1011679 | 1006480 | 0.44% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackrock MT Hood CLO X LLC (5)(7) | Secured Note — Class E, 14.31% (SOFR + 10.04% due April 20, 2035) | 4/29/2025 | 2500000 | 2418035 | 2427259 | 1.06% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 2840000 | 2757670 | 2783200 | 1.21% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Catamaran CLO 2014-1 Ltd (5)(6)(7) | Secured Note — Class DR, 11.31% (SOFR + 7.04% due April 22, 2030) | 1/12/2024 | 1550000 | 1248758 | 1294250 | 0.56% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 1140000 | 1153297 | 1148177 | 0.50% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crestline Denali CLO XV Ltd (5)(7) | Secured Note — Class E1, 10.88% (SOFR + 6.61% due April 20, 2030) | 3/28/2025 | 1500000 | 1488019 | 1495625 | 0.65% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crown City CLO I (5)(7) | Secured Note — Class DR, 11.53% (SOFR + 7.26% due July 20, 2034) | 1/29/2025 | 3250000 | 3151480 | 3189875 | 1.39% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crown City CLO III (5)(7) | Secured Note — Class D, 11.28% (SOFR + 7.01% due July 20, 2034) | 5/8/2025 | 2000000 | 1912020 | 1924000 | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crown Point CLO 9 Ltd (5)(7) | Secured Note — Class ER, 11.26% (SOFR + 7.02% due July 14, 2034) | 5/6/2025 | 2500000 | 2479535 | 2477781 | 1.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crown Point CLO IV Ltd (5)(7) | Secured Note — Class E, 10.03% (SOFR + 5.76% due April 20, 2031) | 6/23/2025 | 1150000 | 1075726 | 1073140 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dryden 54 Senior Loan Fund (5)(6)(7) | Secured Note — Class E, 10.73% (SOFR + 6.46% due October 19, 2029) | 8/20/2024 | 1750000 | 1632231 | 1690416 | 0.74% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 4480000 | 4410919 | 4422495 | 1.93% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortress Credit BSL VIII Ltd (5)(7) | Secured Note — Class E, 11.54% (SOFR + 7.27% due October 20, 2032) | 3/6/2024 | 3000000 | 2940045 | 2991210 | 1.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortress Credit Bsl X Ltd (5)(7) | Secured Note — Class E, 11.67% (SOFR + 7.40% due April 20, 2033) | 5/27/2025 | 1293000 | 1296783 | 1287343 | 0.56% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortress Credit BSL XII Ltd (5)(7) | Secured Note — Class E, 11.65% (SOFR + 7.39% due October 15, 2034) | 6/26/2025 | 1000000 | 963286 | 952888 | 0.41% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortress Credit BSL XVII Ltd (5)(7) | Secured Note — Class E, 12.43% (SOFR + 8.15% due October 23, 2034) | 6/10/2024 | 1250000 | 1250000 | 1239207 | 0.54% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Greywolf CLO II Ltd (5)(7) | Secured Note — Class DRR, 11.57% (SOFR + 7.31% due April 15, 2034) | 2/20/2025 | 2000000 | 1950703 | 1999800 | 0.87% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HalseyPoint CLO 3 Ltd (5)(7) | Secured Note — Class ER, 12.39% (SOFR + 8.11% due July 30, 2037) | 8/23/2024 | 860000 | 864332 | 863942 | 0.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ICG US CLO 2014-1 Ltd (5)(7) | Secured Note — Class DR2, 12.88% (SOFR + 8.61% due October 20, 2034) | 5/22/2024 | 4000000 | 3526643 | 3830760 | 1.67% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ICG US CLO 2014-2 Ltd (5)(7) | Secured Note — Class ERR, 9.72% (SOFR + 5.46% due January 15, 2031) | 1/15/2025 | 1750000 | 1518550 | 1543500 | 0.67% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ICG US CLO 2017-1 Ltd (5)(7) | Secured Note — Class ERR, 11.9% (SOFR + 7.62% due July 28, 2034) | 5/16/2025 | 2500000 | 2363756 | 2368750 | 1.03% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Madison Park Funding XL Ltd (5)(7) | Secured Note — Class ER, 11.04% (SOFR + 6.71% due May 28, 2030) | 5/13/2025 | 1400000 | 1349142 | 1401239 | 0.61% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Madison Park Funding XXIV Ltd (5)(7) | Secured Note — Class ER2, 11.32% (SOFR + 7.05% due October 20, 2029) | 5/14/2024 | 4100000 | 4024589 | 4022531 | 1.75% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marathon CLO 2021-16 Ltd (5) | Secured Note — Class DR, 11.17% (SOFR + 6.85% due April 15, 2034) | 6/25/2025 | 2500000 | 2500000 | 2500000 | 1.09% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marathon CLO VI Ltd (6) | Secured Note — Class DR2, 10.72% (SOFR + 6.41% due May 13, 2028) | 12/4/2023 | 1200000 | - | 36 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MCF CLO IV LLC (5)(7) | Secured Note — Class ERR, 13.18% (SOFR + 8.91% due October 20, 2033) | 5/7/2025 | 1500000 | 1502912 | 1506000 | 0.66% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northwoods Capital 27 Ltd (5)(7) | Secured Note — Class E, 11.58% (SOFR + 7.30% due October 17, 2034) | 2/20/2025 | 1150000 | 1080240 | 1069500 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Octagon 56 Ltd (5) | Secured Note — Class E, 11.05% (SOFR + 6.79% due October 15, 2034) | 6/30/2025 | 2000000 | 1880714 | 1856885 | 0.81% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OZLM XXIV Ltd (5)(6)(7) | Secured Note — Class D, 11.58% (SOFR + 7.31% due July 20, 2032) | 10/25/2024 | 2000000 | 1568483 | 1740000 | 0.76% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Parallel 2020-1 Ltd (5) | Secured Note — Class DR, 11.03% (SOFR + 6.76% due July 20, 2034) | 6/30/2025 | 1000000 | 987801 | 974523 | 0.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 1220000 | 1194106 | 1199369 | 0.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 600000 | 600679 | 589546 | 0.26% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 3000000 | 2890484 | 2910000 | 1.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PPM CLO 2 Ltd (5) | Secured Note — Class DR2A, 8.92% (SOFR + 4.66% due April 16, 2037) | 6/18/2025 | 360000 | 350905 | 363420 | 0.16% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rockford Tower CLO 2021-3 Ltd (5)(7) | Secured Note — Class ER, 11.68% (SOFR + 7.42% due January 15, 2038) | 11/22/2024 | 1950000 | 1935267 | 1924213 | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 2000000 | 1408975 | 1460000 | 0.64% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Symphony CLO XV Ltd (5)(6)(7) | Secured Note — Class ER2, 10.87% (SOFR + 6.59% due January 17, 2032) | 10/24/2024 | 2084213 | 1716514 | 1813388 | 0.79% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Symphony CLO XVI Ltd (5)(6)(7) | Secured Note — Class ER, 10.62% (SOFR + 6.36% due October 15, 2031) | 9/19/2024 | 2255000 | 1903354 | 1909765 | 0.83% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 1000000 | 991205 | 993844 | 0.43% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tralee CLO IV Ltd (5)(6)(7) | Secured Note — Class E, 10.63% (SOFR + 6.36% due January 20, 2030) | 9/12/2024 | 850000 | 687576 | 757319 | 0.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tralee CLO V Ltd (5)(6) | Secured Note — Class FR, 13.42% (SOFR + 9.15% due October 20, 2034) | 3/28/2024 | 410000 | 310705 | 328943 | 0.14% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trinitas CLO IX Ltd (7) | Secured Note — Class E, 10.78% (SOFR + 6.51% due January 20, 2032) | 1/17/2024 | 2250000 | 1945309 | 1972103 | 0.86% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trinitas CLO IX Ltd (5)(7) | Secured Note — Class E, 10.78% (SOFR + 6.51% due January 20, 2032) | 2/6/2025 | 1330000 | 1149894 | 1165732 | 0.51% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trinitas CLO VI Ltd (5)(7) | Secured Note — Class F, 13.26% (SOFR + 8.98% due January 25, 2034) | 4/4/2024 | 1600000 | 1237688 | 1307277 | 0.57% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trinitas CLO XII Ltd (5)(7) | Secured Note — Class E, 11.94% (SOFR + 7.66% due April 25, 2033) | 12/11/2024 | 1890000 | 1829031 | 1878483 | 0.82% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Venture 36 CLO Ltd (5)(7) | Secured Note — Class E, 11.45% (SOFR + 7.18% due April 20, 2032) | 5/12/2025 | 3500000 | 1808273 | 1828958 | 0.80% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Venture XV CLO Ltd (5)(6)(7) | Secured Note — Class ER2, 11.71% (SOFR + 7.45% due July 15, 2032) | 4/2/2024 | 1500000 | 1007066 | 960150 | 0.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Venture XVIII CLO Ltd (5)(6)(7) | Secured Note — Class ER, 11.11% (SOFR + 6.85% due October 15, 2029) | 3/28/2024 | 2020000 | 1026009 | 1204283 | 0.52% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Venture XXII CLO Ltd (5)(6) | Secured Note — Class ER, 10.17% (SOFR + 5.91% due January 15, 2031) | 4/30/2024 | 520000 | 262303 | 252200 | 0.11% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Venture XXVI CLO Ltd (5)(6)(7) | Secured Note — Class E, 11.33% (SOFR + 7.06% due January 20, 2029) | 12/17/2024 | 2500000 | 1636300 | 1478612 | 0.64% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Venture XXVII CLO Ltd (5)(6) | Secured Note — Class E, 10.88% (SOFR + 6.61% due July 20, 2030) | 6/20/2024 | 450000 | 202454 | 203850 | 0.09% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Venture XXX CLO Ltd (5)(6)(7) | Secured Note — Class E, 10.82% (SOFR + 6.56% due January 15, 2031) | 7/24/2024 | 1345000 | 700260 | 673455 | 0.29% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vibrant CLO III Ltd (5)(6) | Secured Note — Class DRR, 10.88% (SOFR + 6.61% due October 20, 2031) | 8/29/2024 | 250000 | 215463 | 225000 | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wellfleet CLO 2019-1 Ltd (5)(6)(7) | Secured Note — Class D, 11.43% (SOFR + 7.16% due July 20, 2032) | 11/29/2023 | 1220000 | 1040225 | 1129552 | 0.49% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wellfleet CLO 2021-3 Ltd (5)(7) | Secured Note — Class E, 11.68% (SOFR + 7.36% due January 15, 2035) | 6/10/2025 | 1250000 | 1201540 | 1206552 | 0.53% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WhiteHorse X Ltd (6) | Secured Note — Class F, 10.79% (SOFR + 6.51% due April 17, 2027) | 1/23/2024 | 1440000 | 123863 | 3152 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zais CLO 13 Ltd (5)(7) | Secured Note — Class E, 13.17% (SOFR + 8.91% due July 15, 2032) | 1/8/2025 | 5470000 | 5077178 | 5257764 | 2.29% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zais CLO 18 Ltd (5)(7) | Secured Note — Class E, 12.56% (SOFR + 8.28% due January 25, 2035) | 5/15/2025 | 1260000 | 1261831 | 1262490 | 0.55% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zais CLO 3 Ltd (5)(6)(7) | Secured Note — Class DR, 11.43% (SOFR + 7.17% due July 15, 2031) | 5/30/2025 | 1430000 | 854462 | 757900 | 0.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zais CLO 6 Ltd (5)(6)(7) | Secured Note — Class E, 11.52% (SOFR + 7.26% due July 15, 2029) | 12/18/2024 | 2320000 | 1819695 | 1804662 | 0.79% |
| **Total Collateralized Loan Obligations — Debt, United States** | **Total Collateralized Loan Obligations — Debt, United States** |  |  | $**116246024** | $**117930435** | 51.33<br>**%** |
| &nbsp;&nbsp;&nbsp; <u>European Union — Various (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Structured Finance</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackrock European CLO IX DAC (7) | Secured Note — Class F, 11.42% (EURIBOR +8.92% due December 15, 2032) | 7/31/2024 | $1765950 | $1591871 | $1733617 | 0.76% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bosphorus CLO VI DAC (7) | Secured Note — Class E, 7.85% (EURIBOR +5.80% due May 25, 2034) | 6/25/2025 | 1736518 | 1681260 | 1671055 | 0.73% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 1342122 | 1213988 | 1331385 | 0.58% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carysfort Park CLO DAC (7) | Secured Note — Class E, 10.55% (EURIBOR +8.39% due July 28, 2034) | 9/4/2024 | 2354600 | 2122945 | 2307086 | 1.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVC Cordatus Loan Fund X DAC (7) | Secured Note — Class FR, 10.62% (EURIBOR +8.26% due January 26, 2038) | 1/24/2025 | 1471625 | 1311750 | 1433662 | 0.62% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 1674121 | 1345868 | 1515079 | 0.66% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 | 1471625 | 1237621 | 1421089 | 0.62% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Harvest CLO XXIX DAC (7) | Secured Note — Class FR, 10.9% (EURIBOR +8.62% due July 15, 2037) | 6/25/2025 | 1177300 | 1152918 | 1154024 | 0.50% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hayfin Emerald CLO X DAC (7) | Secured Note — Class FR, 10.15% (EURIBOR +7.91% due July 18, 2038) | 2/18/2025 | 2354600 | 2060507 | 2243130 | 0.98% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Invesco Euro CLO IV DAC  | Secured Note — Class E, 7.63% (EURIBOR +5.35% due April 15, 2033) | 6/26/2025 | 1555213 | 1474747 | 1487229 | 0.65% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jubilee CLO 2013-X DAC (7) | Secured Note — Class FRR, 10.83% (EURIBOR +8.55% due July 15, 2034) | 4/23/2024 | 882975 | 764032 | 858811 | 0.37% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jubilee CLO 2020 XXIV DAC (7) | Secured Note — Class F, 10.82% (EURIBOR +8.57% due January 16, 2034) | 9/10/2024 | 1471625 | 1326434 | 1451911 | 0.63% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Madison Park Euro Funding XIV DAC (5)(7) | Secured Note — Class FR, 11.1% (EURIBOR +8.82% due July 15, 2032) | 7/16/2024 | 1765950 | 1595850 | 1745347 | 0.76% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MAN Euro CLO 2023-1 DAC (5)(7) | Secured Note — Class F, 12.41% (EURIBOR +10.13% due October 15, 2036) | 4/15/2024 | 1765950 | 1614894 | 1754022 | 0.76% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rockford Tower Europe CLO 2021-2 DAC (7) | Secured Note — Class F, 11.57% (EURIBOR +8.90% due January 24, 2035) | 11/12/2024 | 1177300 | 1060313 | 1160314 | 0.51% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sculptor European CLO I DAC (7) | Secured Note — Class FR, 10.65% (EURIBOR +8.41% due April 18, 2034) | 4/23/2024 | 882975 | 756118 | 850085 | 0.37% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; St Paul's CLO IV DAC (7) | Secured Note — Class ERRR, 8.74% (EURIBOR +6.58% due April 25, 2030) | 3/27/2025 | 1177300 | 995653 | 1083492 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; St Paul's CLO V DAC (5)(7) | Secured Note — Class FR, 8.7% (EURIBOR +6.60% due August 20, 2030) | 7/11/2024 | 1942545 | 1664018 | 1816309 | 0.79% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; STRU JP-7992 FA (7) | Secured Note — Class F, 9.52% (EURIBOR +7.35% due April 25, 2038) | 2/27/2025 | 2354600 | 2073979 | 2243934 | 0.98% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toro European CLO 6 DAC (5)(7) | Secured Note — Class F, 10.76% (EURIBOR +8.49% due January 12, 2032) | 6/5/2025 | 1765950 | 1626134 | 1676183 | 0.73% |
| **Total Collateralized Loan Obligations — Debt, European Union — Various** | **Total Collateralized Loan Obligations — Debt, European Union — Various** |  |  | $**28670900** | $**30937764** | 13.47<br>**%** |
| **Total Collateralized Loan Obligations — Debt** | **Total Collateralized Loan Obligations — Debt** |  |  | $**144916924** | $**148868199** | 64.80<br>**%** |

---

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| |
|:---|
| **Ellington Credit Company** |
| **Consolidated Schedule of Investments** |
| **June 30, 2025 (Unaudited) (continued)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Issuer (1)** | **Investment Description** | **Acquisition Date (2)** | **Principal** <br> **Amount / Shares** | **Amortized Cost** | **Fair Value (3)** | **Percentage**<br> **of Net Assets** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <u>Collateralized Loan Obligations — Equity</u> | <u>Collateralized Loan Obligations — Equity</u> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <u>United States (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Structured Finance</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 522 Funding CLO 2019-5 Ltd (5)(6) | Subordinated Note, (effective yield 19.28% maturity April 15, 2035) | 3/24/2025 | $4200000 | $941501 | $982226 | 0.42% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Allegro CLO VII Ltd (5)(6) | Subordinated Note, (effective yield 37.73% maturity June 13, 2031) | 5/16/2024 | 3100000 | 105291 | 88575 | 0.04% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anchorage Credit Funding 6 Ltd (5)(6) | Subordinated Note, (effective yield 17.96% maturity July 25, 2036) | 6/17/2024 | 1670000 | 504254 | 626250 | 0.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apidos CLO Ltd (5)(6) | Subordinated Note, (effective yield 13.70% maturity January 20, 2038) | 11/1/2024 | 6600000 | 4911332 | 5478000 | 2.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apidos CLO XLII Ltd (5) | Subordinated Note, (effective yield 12.61% maturity April 20, 2038) | 5/6/2025 | 1070000 | 867820 | 881584 | 0.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ares XLIII CLO Ltd (5)(6) | Subordinated Note, (effective yield 13.02% maturity January 15, 2038) | 1/21/2025 | 7519000 | 2155736 | 2142915 | 0.93% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ares XXXIX CLO Ltd (5)(8) | Subordinated Note, (effective yield 13.41% maturity April 18, 2031) | 7/24/2024 | 15000000 | 5059367 | 5240000 | 2.28% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Atlas Senior Loan Fund XXIII Ltd (6) | Subordinated Note, (effective yield 15.46% maturity July 20, 2037) | 1/13/2025 | 4475000 | 1986147 | 2036125 | 0.89% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Atlas Senior Loan Fund XXIV Ltd (5)(6) | Subordinated Note, (effective yield 17.38% maturity January 20, 2038) | 1/31/2025 | 3010000 | 1608192 | 1625400 | 0.71% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bain Capital Credit CLO 2024-3 Ltd (5)(6)(7) | Subordinated Note, (effective yield 12.64% maturity July 16, 2037) | 5/29/2024 | 4490000 | 2877124 | 2896050 | 1.26% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding 2024-2 Ltd (5)(6)(7) | Subordinated Note, (effective yield 13.05% maturity January 20, 2038) | 12/11/2024 | 7000000 | 5109471 | 5180000 | 2.25% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ballyrock CLO 25 Ltd (5) | Subordinated Note, (effective yield 13.00% maturity January 25, 2038) | 5/7/2025 | 740000 | 639702 | 645650 | 0.28% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Battalion CLO IX Ltd (5)(6) | Subordinated Note, (effective yield 45.09% maturity July 15, 2031) | 9/24/2024 | 2500000 | 121383 | 110000 | 0.05% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Battalion CLO XV Ltd  | Subordinated Note, (effective yield 31.36% maturity January 17, 2033) | 9/24/2024 | 4100000 | 1413517 | 1404250 | 0.61% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Battalion CLO XV Ltd (5)(8) | Subordinated Note, (effective yield 31.32% maturity January 17, 2033) | 11/21/2024 | 2000000 | 690736 | 685410 | 0.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Battalion CLO XX Ltd (5)(6) | Subordinated Note, (effective yield 14.68% maturity April 15, 2038) | 10/19/2023 | 3140318 | 943717 | 985275 | 0.43% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XIV Ltd (5)(6) | Subordinated Note, (effective yield 19.31% maturity October 20, 2037) | 12/21/2023 | 830000 | 176346 | 213103 | 0.09% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boyce Park CLO Ltd (5)(6) | Subordinated Note, (effective yield 13.44% maturity April 21, 2035) | 8/15/2024 | 840000 | 445284 | 453600 | 0.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridge Street CLO I Ltd (5)(8) | Subordinated Note, (effective yield 14.14% maturity July 20, 2037) | 2/19/2025 | 3500000 | 1989228 | 2063348 | 0.90% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridge Street CLO III Ltd (5) | Subordinated Note, (effective yield 14.42% maturity October 20, 2034) | 1/31/2025 | 1680000 | 1052634 | 1092000 | 0.48% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridge Street CLO V Ltd (5)(6)(7) | Subordinated Note, (effective yield 14.63% maturity April 20, 2038) | 2/21/2025 | 20500000 | 15994500 | 16400000 | 7.14% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canyon Capital CLO 2019-1 Ltd (5) | Subordinated Note, (effective yield 13.60% maturity July 15, 2037) | 9/20/2024 | 14423000 | 6384643 | 6562465 | 2.86% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cedar Funding IX CLO Ltd (5) | Subordinated Note, (effective yield 17.75% maturity July 20, 2037) | 1/17/2025 | 3950000 | 1216445 | 1384099 | 0.60% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CIFC Funding 2014-II Ltd (5)(6) | Subordinated Note, (effective yield 23.91% maturity May 24, 2026) | 4/2/2025 | 6200000 | 1040070 | 1061266 | 0.46% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CIFC Funding 2018-IV Ltd (5)(6) | Subordinated Note, (effective yield 16.03% maturity October 17, 2031) | 6/11/2025 | 2220000 | 820944 | 815850 | 0.36% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crown City CLO I (5)(6) | Subordinated Note, (effective yield 18.38% maturity July 20, 2034) | 11/7/2023 | 4740000 | 1451445 | 1433850 | 0.62% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crown City CLO II (5)(6) | Subordinated Note, (effective yield 18.77% maturity April 20, 2035) | 8/21/2024 | 5217081 | 1922236 | 1956405 | 0.85% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Crown City CLO III (5)(6) | Subordinated Note, (effective yield 12.13% maturity July 20, 2034) | 3/21/2024 | 5580000 | 2139957 | 1841400 | 0.80% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Eaton Vance CLO 2019-1 Ltd (5)(6) | Subordinated Note, (effective yield 15.00% maturity April 15, 2031) | 1/23/2025 | 1800000 | 643620 | 693000 | 0.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elmwood CLO 24 Ltd (5) | Subordinated Note, (effective yield 16.74% maturity December 11, 2033) | 2/27/2025 | 8000000 | 5656108 | 5360000 | 2.33% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Empower CLO 2022-1 Ltd (5) | Subordinated Note, (effective yield 18.19% maturity October 20, 2037) | 10/30/2024 | 9620000 | 7728547 | 7359300 | 3.20% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Generate CLO 2 Ltd (5)(6) | Subordinated Note, (effective yield 22.12% maturity October 22, 2037) | 3/18/2025 | 5000000 | 1786632 | 1722844 | 0.75% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Greywolf CLO II Ltd (5)(6) | Subordinated Note, (effective yield 14.18% maturity April 15, 2034) | 4/3/2024 | 1930000 | 422955 | 386000 | 0.17% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Greywolf CLO II Ltd (5)(6) | Subordinated Note, (effective yield 15.90% maturity April 15, 2034) | 4/3/2024 | 1370000 | 302249 | 287251 | 0.13% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Greywolf CLO II Ltd (6) | Subordinated Note, (effective yield 15.90% maturity April 15, 2034) | 11/17/2023 | 1130000 | 249300 | 236930 | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HPS Loan Management 2025-24 Ltd (5)(7) | Subordinated Note, (effective yield 12.68% maturity April 25, 2038) | 2/18/2025 | 2000000 | 1714995 | 1682346 | 0.73% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ICG US CLO 2021-3 Ltd (5)(6) | Subordinated Note, (effective yield 21.97% maturity October 20, 2034) | 5/30/2024 | 2600000 | 1024063 | 1087057 | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; KKR CLO 14 Ltd (6) | Subordinated Note, (effective yield 7.66% maturity August 15, 2031) | 7/22/2024 | 1500000 | 319240 | 226500 | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LCM 32 Ltd (5)(6) | Subordinated Note, (effective yield 17.77% maturity July 20, 2034) | 8/12/2024 | 1640000 | 403440 | 367299 | 0.16% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Madison Park Funding LIX Ltd (5)(7) | Subordinated Note, (effective yield 18.48% maturity April 18, 2037) | 2/11/2025 | 2337704 | 1440915 | 1332491 | 0.58% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Madison Park Funding XIX Ltd (5)(6) | Subordinated Note, (effective yield 22.83% maturity January 22, 2037) | 11/12/2024 | 2285000 | 901945 | 879725 | 0.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Madison Park Funding XXVIII Ltd (5) | Subordinated Note, (effective yield 18.49% maturity July 15, 2030) | 5/29/2025 | 1290000 | 554925 | 548250 | 0.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Magnetite XXX Ltd (5) | Subordinated Note, (effective yield 18.57% maturity October 25, 2037) | 5/30/2024 | 9793000 | 6073853 | 6104303 | 2.66% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marble Point CLO XX Ltd (5)(6) | Subordinated Note, (effective yield 14.14% maturity April 23, 2051) | 7/25/2024 | 2000000 | 641492 | 600000 | 0.26% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marble Point CLO XXII Ltd (6) | Subordinated Note, (effective yield 12.24% maturity July 25, 2050) | 5/14/2024 | 5400000 | 1173046 | 1053540 | 0.46% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Monroe Capital MML CLO VI Ltd (5)(6) | Subordinated Note, (effective yield 148.66% maturity April 15, 2030) | 12/18/2024 | 3000000 | 142399 | 104007 | 0.05% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mountain View CLO 2017-2 LLC (6)(9) | Subordinated Note, (effective yield 0.00% maturity January 16, 2031) | 1/23/2024 | 3000000 | 300 | 300 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nassau 2018-II Ltd (5)(6)(9) | Subordinated Note, (effective yield 0.00% maturity October 15, 2031) | 3/28/2024 | 1000000 | 100 | 100 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Neuberger Berman CLO XVII Ltd (5)(6) | Subordinated Note, (effective yield 18.22% maturity July 22, 2037) | 8/21/2024 | 6200000 | 971963 | 1240000 | 0.54% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Mountain CLO 2 Ltd (5)(6) | Subordinated Note, (effective yield 18.57% maturity April 15, 2034) | 12/13/2024 | 11960000 | 7377688 | 7415200 | 3.23% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oaktree CLO 2019-4 Ltd (5)(6) | Subordinated Note, (effective yield 13.03% maturity July 20, 2037) | 7/2/2024 | 3400000 | 2128608 | 2176000 | 0.95% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oaktree CLO 2020-1 Ltd (5)(6) | Subordinated Note, (effective yield 15.24% maturity January 15, 2038) | 7/18/2024 | 7575000 | 4513285 | 4526063 | 1.97% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Octagon Investment Partners 18-R Ltd (5)(6) | Subordinated Note, (effective yield 1075.27% maturity April 16, 2031) | 3/15/2024 | 3651162 | 154 | 3582 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Octagon Investment Partners 18-R Ltd (6) | Subordinated Note, (effective yield 1075.27% maturity April 16, 2031) | 10/26/2023 | 5000000 | 211 | 4905 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Octagon Investment Partners 41 Ltd (5)(6) | Subordinated Note, (effective yield 20.75% maturity October 15, 2033) | 9/4/2024 | 1270000 | 399375 | 442708 | 0.19% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OHA Loan Funding 2013-1 Ltd (6) | Subordinated Note, (effective yield 31.03% maturity April 23, 2037) | 11/12/2024 | 875000 | 325412 | 290063 | 0.13% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OSD CLO 2023-27 Ltd (5)(6) | Subordinated Note, (effective yield 11.74% maturity April 16, 2035) | 4/24/2024 | 6200000 | 3679129 | 3782000 | 1.65% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PPM CLO 2 Ltd (5)(6) | Subordinated Note, (effective yield 12.32% maturity April 16, 2037) | 4/24/2024 | 1260000 | 220031 | 182280 | 0.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regatta 31 Funding Ltd (5)(6)(8) | Subordinated Note, (effective yield 14.10% maturity March 25, 2038) | 2/21/2025 | 1571237 | 1373738 | 1416131 | 0.62% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regatta II Funding LP (6)(9) | Preference Shares, (effective yield 0.00%, maturity January 15, 2029) | 2/27/2025 | 5000 | 40000 | 40000 | 0.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regatta XI Funding Ltd (5)(6)(8) | Subordinated Note, (effective yield 12.33% maturity July 17, 2037) | 6/26/2025 | 3600000 | 1036270 | 1027770 | 0.45% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regatta XV Funding Ltd (5)(6)(9) | Subordinated Note, (effective yield 0.00% maturity October 25, 2031) | 12/6/2023 | 3500000 | - | - | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rockford Tower CLO 2022-3 Ltd (5) | Subordinated Note, (effective yield 13.45% maturity July 20, 2037) | 10/24/2024 | 1050000 | 659749 | 648731 | 0.28% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RR 5 Ltd (5)(6) | Subordinated Note, (effective yield 17.11% maturity July 15, 2039) | 10/31/2024 | 2250000 | 607539 | 624375 | 0.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Symphony CLO XXIII Ltd (6) | Subordinated Note, (effective yield 22.51% maturity January 15, 2048) | 5/14/2024 | 3000000 | 1017906 | 1050000 | 0.46% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Symphony CLO XXVI Ltd (6) | Subordinated Note, (effective yield 17.51% maturity April 20, 2033) | 1/9/2024 | 1620000 | 223940 | 193803 | 0.08% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW CLO 2021-1 Ltd (5) | Subordinated Note, (effective yield 16.44% maturity January 20, 2038) | 2/26/2025 | 8400000 | 3728004 | 3990000 | 1.74% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW CLO 2023-1 Ltd (5)(6) | Subordinated Note, (effective yield 38.83% maturity March 31, 2038) | 3/25/2025 | 740000 | 325209 | 407000 | 0.18% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW CLO 2023-1 Ltd (6) | Subordinated Note, (effective yield 38.83% maturity March 31, 2038) | 9/19/2024 | 1600000 | 703155 | 880000 | 0.38% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW CLO 2025-1 LTD (5)(6)(7) | Subordinated Note, (effective yield 13.46% maturity April 20, 2038) | 2/18/2025 | 1775000 | 1469956 | 1473250 | 0.64% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; THL Credit Wind River 2019-3 CLO Ltd (5)(6) | Subordinated Note, (effective yield 29.59% maturity April 15, 2031) | 5/30/2025 | 3310000 | 376654 | 379032 | 0.16% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vibrant CLO XIII Ltd (5)(6) | Subordinated Note, (effective yield 14.33% maturity July 15, 2034) | 5/21/2024 | 7880000 | 4433743 | 4517951 | 1.97% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vibrant CLO XV Ltd (5)(6) | Subordinated Note, (effective yield 17.83% maturity January 20, 2035) | 8/29/2024 | 1510000 | 759007 | 798413 | 0.35% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Voya 2024-3 LTD (5)(6) | Subordinated Note, (effective yield 13.56% maturity July 20, 2037) | 6/18/2024 | 9400000 | 6616236 | 7238000 | 3.15% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Voya CLO 2024-5 Ltd (5)(6) | Subordinated Note, (effective yield 13.42% maturity October 15, 2037) | 10/18/2024 | 10000000 | 7295548 | 7600000 | 3.31% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Voya CLO 2025-1 Ltd (5)(6) | Subordinated Note, (effective yield 13.41% maturity April 20, 2038) | 2/12/2025 | 3200000 | 2783237 | 2848000 | 1.24% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wellfleet CLO 2021-3 Ltd (5)(6)(8) | Subordinated Note, (effective yield 11.41% maturity January 15, 2035) | 9/11/2024 | 7600000 | 2107710 | 1873740 | 0.82% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wind River 2021-1 CLO Ltd (5)(6)(8) | Subordinated Note, (effective yield 12.94% maturity July 20, 2037) | 7/12/2024 | 4650000 | 1846642 | 1848956 | 0.80% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Zais CLO 9 Ltd (6)(9) | Subordinated Note, (effective yield 0.00% maturity July 20, 2031) | 2/8/2024 | 720000 | 72 | 72 | 0.00% |
| **Total Collateralized Loan Obligations — Equity, United States** | **Total Collateralized Loan Obligations — Equity, United States** |  |  | $**152769317** | $**155234364** | 67.57<br>**%** |
| &nbsp;&nbsp;&nbsp; <u>European Union — Various (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Structured Finance</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Barings Euro CLO 2020-1 DAC (6) | Subordinated Note, (effective yield 6.25% maturity October 21, 2034) | 2/13/2025 | $3531900 | $1445344 | $1364154 | 0.60% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Barings Euro CLO 2021-1 DAC (5)(6) | Subordinated Note, (effective yield 11.16% maturity April 24, 2034) | 2/12/2025 | 1471625 | 486162 | 527294 | 0.23% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNPP IP Euro CLO 2015-1 BV (6) | Subordinated Note, (effective yield 18.79% maturity October 15, 2030) | 1/21/2025 | 1765950 | 281871 | 251648 | 0.11% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cairn CLO XVIII DAC (6)(9) | Subordinated Note, (effective yield 0.00% maturity April 15, 2037) | 8/6/2024 | 71699 | 1 | - | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cairn CLO XVIII DAC (6)(7) | Subordinated Note, (effective yield 6.40% maturity April 15, 2037) | 8/6/2024 | 2354600 | 1565223 | 1648220 | 0.72% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carlyle Euro CLO 2019-2 DAC (6) | Subordinated Note, (effective yield 11.74% maturity August 15, 2032) | 3/27/2025 | 294325 | 71980 | 72448 | 0.03% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carlyle Global Market Strategies Euro CLO 2014-2 Ltd (6) | Subordinated Note, (effective yield 4.05% maturity November 17, 2031) | 1/22/2025 | 2354600 | 267408 | 234306 | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Invesco Euro CLO I DAC (6) | Subordinated Note, (effective yield 22.49% maturity July 15, 2031) | 3/27/2024 | 2319281 | 464617 | 423419 | 0.18% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Invesco Euro CLO V DAC (6) | Subordinated Note, (effective yield 21.52% maturity January 15, 2034) | 3/27/2024 | 2024956 | 679628 | 668235 | 0.29% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jubilee CLO 2017-XIX DAC (6) | Subordinated Note, (effective yield 8.99% maturity April 25, 2038) | 6/3/2025 | 1217328 | 645794 | 669531 | 0.29% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jubilee CLO 2021-XXV DAC (6)(7) | Subordinated Note, (effective yield 12.48% maturity October 15, 2035) | 1/27/2025 | 2354600 | 1282841 | 1373039 | 0.60% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OAK Hill European Credit Partners VII DAC (6) | Subordinated Note, (effective yield 31.66% maturity October 20, 2031) | 5/23/2024 | 2354600 | 731539 | 729749 | 0.32% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding 2022-1 DAC (6) | Subordinated Note, (effective yield 23.45% maturity October 15, 2031) | 3/27/2024 | 2754882 | 1172857 | 1407469 | 0.61% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; St Paul's CLO IV DAC (6) | Subordinated Note, (effective yield 29.14% maturity April 25, 2030) | 5/31/2024 | 1648220 | 601299 | 630691 | 0.27% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; St Paul's CLO VII DAC (6) | Subordinated Note, (effective yield 20.33% maturity July 18, 2034) | 4/5/2024 | 1765950 | 675151 | 706380 | 0.31% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tikehau CLO XIII DAC (6) | Subordinated Note, (effective yield 5.63% maturity October 15, 2038) | 2/27/2025 | 2354600 | 1854730 | 2048502 | 0.89% |
| **Total Collateralized Loan Obligations — Equity, European Union — Various** | **Total Collateralized Loan Obligations — Equity, European Union — Various** |  |  | $**12226445** | $**12755085** | 5.55<br>**%** |
| **Total Collateralized Loan Obligations — Equity** | **Total Collateralized Loan Obligations — Equity** |  |  | $**164995762** | $**167989449** | 73.12<br> **%** |

---

---

| |
|:---|
| **Ellington Credit Company** |
| **Consolidated Schedule of Investments** |
| **June 30, 2025 (Unaudited) (continued)** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Issuer (1)** | **Investment Description** | **Acquisition Date (2)** | **Principal** <br> **Amount / Shares** | **Amortized Cost** | **Fair Value (3)** | **Percentage**<br> **of Net Assets** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <u>Bank Debt Term Loan</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <u>United States (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Services: Business</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CareerBuilder, LLC (6) | Bank Debt Term Loan, 11.83% (SOFR + 6.75%, maturity July 31, 2026) | 9/19/2024 | $468989 | $29579 | $29898 | 0.02% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Chemicals, Plastics & Rubber</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Flint Group Topco Limited (6) | Bank Debt Term Loan, 11.44% (SOFR + 7.16%, maturity December 31, 2027) | 10/1/2024 | 600596 | 28324 | 30030 | 0.01% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Telecommunications</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lumen Technologies, Inc. (6) | Bank Debt Term Loan, 6.69% (SOFR + 2.36%, maturity March 15, 2027) | 9/19/2024 | 70642 | 67463 | 67463 | 0.03% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Retail / Consumer Goods: Non-Durable</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Retail / Consumer Goods: Non-Durable</u> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Solaray, LLC (6) | Bank Debt Term Loan, 10.98% (SOFR + 6.85%, maturity December 15, 2025) | 9/24/2024 | 292177 | 252728 | 252728 | 0.11% |
| **Total Bank Debt Term Loan** |  |  |  | $**378094** | $**380119** | 0.17<br> **%** |
| <u>Common Stock</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <u>United States (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Chemicals, Plastics & Rubber</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Flint Group Topco Limited (6)(9) | Common Stock | 10/23/2024 | 438201 | $- | $- | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Metals & Mining</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FORESIGHT ENERGY LLC (6)(9) | Common Stock | 5/8/2024 | 2381 | 22929 | 6945 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Aerospace & Defense</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Constellis Holdings Inc (6)(9) | Common Stock | 9/19/2024 | 7104 | 377 | 377 | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Banking, Finance, Insurance & Real Estate</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Banking, Finance, Insurance & Real Estate</u> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Resolute Investment Managers Inc (6)(9) | Common Stock | 9/19/2024 | 7213 | 32459 | 32459 | 0.02% |
| **Total Common Stock** |  |  |  | $**55765** | $**39781** | 0.02<br>**%** |
| <u>Warrants</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <u>United States (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Services: Business</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Careerbuilder, LLC (9) | Warrant | 2/21/2025 | 348 | $- | $- | 0.00% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Retail / Consumer Goods: Non-Durable</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Retail / Consumer Goods: Non-Durable</u> |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New Trojan Parent, Inc. (6)(9) | Warrant | 9/19/2024 | 3363 | $34 | $34 | 0.00% |
| **Total Warrants** |  |  |  | $**34** | $**34** | 0.00<br>**%** |
| <u>Other Investments</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <u>United States (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Mortgage-related—Residential</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (6)(10) | Secured Note — Class JI, 6.56% (SOFR + 1.21% due December 20, 2060) | 6/6/2013 | 25119330 | $1891 | $1920 | 0.00% |
| **Total Other Investments** |  |  |  | $**1891** | $**1920** | 0.00<br>**%** |
| **Total Investments** |  |  |  | $**310348470** | $**317279502** | 138.11<br> **%** |
| <u>Cash Equivalents</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; <u>United States (4)</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Funds</u> |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackrock Federal Institutional Class, 4.23% | Money Market Fund |  | $2112264 | $2112264 | $2112264 | 0.92% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Government Institutional Class, 4.23% | Money Market Fund |  | 25231532 | 25231532 | 25231532 | 10.98% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley Liquidity Government Istitutional Class, 4.25% | Money Market Fund |  | 2176272 | 2176272 | 2176272 | 0.95% |
| **Total Cash Equivalents** |  |  |  | $**29520068** | $**29520068** | 12.85<br>**%** |
| **Total Investments and Cash Equivalents** | **Total Investments and Cash Equivalents** |  |  | $**339868538** | $**346799570** | 150.96<br>**%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets |  |  |  |  | $(117066461 ) | -50.96% |
| **Net Assets** |  |  |  |  | $**229733109** | 100.00<br>**%** |

---

---

| |
|:---|
| 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** | **Interest Rate Swaps** |  |  |  |  | | | | |
| Counterparty | Floating Rate Index | Transaction Type | Floating Rate <br> Paid or Received  | Payment Frequency | Maturity Date | Notional Amount | Upfront Premium<br> Paid / (Received) | Unrealized Appreciation / (Depreciation) | Fair Value |
| JPMorgan Chase Bank, N.A. | SOFR | Received fixed / pay float | Paid  | Annual  | 10/20/2040 | $500000 | $(179142) | $(2810) | $(181952) |
| JPMorgan Chase Bank, N.A. | SOFR | Receive float / pay fixed | Received  | Annual  | 10/20/2040 | 500000 | 172582 | 2837 | 175419 |
| **Total Interest Rate Swaps** | **Total Interest Rate Swaps** |  |  |  |  |  | $**(6560)** | $**27** | $**(6533)** |
| **Credit Default Swaps** | **Credit Default Swaps** |  |  |  |  |  |  |  |  |
| Counterparty | Reference Index | Transaction Type | Fixed Rate Amount | Payment Frequency  | Termination Date | Notional Amount | Upfront Premium<br> Paid / (Received) | Unrealized Appreciation / (Depreciation) | Fair Value |
| JPMorgan Chase Bank, N.A. | CDX.A.HY.44 | Purchased protection | 5.00% | Quarterly  | 6/20/2030 | $9104000 | $(472226) | $(226150) | $(698376) |
| JPMorgan Chase Bank, N.A. | ITRX.EUR.XOVR.38.10-20 | Purchased protection | 5.00% | Quarterly  | 12/20/2027 | 11773000 | (932800) | (79654) | (1012454) |
| **Total Credit Default Swaps** | **Total Credit Default Swaps** |  |  |  |  |  | $**(1405026)** | $**(305804)** | $**(1710830)** |
| **Currency Futures Contracts** | **Currency Futures Contracts** |  |  |  |  |  |  |  |  |
| Counterparty | Reference Index | Transaction Type | Transaction Type | Payment Frequency | Termination Date | Notional <br> Amount (1) | Upfront Premium<br> Paid / (Received) | Unrealized Appreciation / (Depreciation) | Fair Value |
| Wells Fargo Securities, LLC | Currency-Euro | Contract to deliver and receive | Contract to deliver and receive | Payment on settlement | 9/15/2025 | $18750000 | $- | $(355516) | $(355516) |
| **Total Currency Futures** | **Total Currency Futures** |  |  |  |  |  | $**-** | $**(355516)** | $**(355516)** |
| **Exchange Traded Options** | **Exchange Traded Options** |  |  |  |  |  |  |  |  |
| Counterparty | Reference Index | Transaction Type | Strike Price | Payment Frequency | Expiration Date | Notional <br> Amount (2) | Upfront Premium<br> Paid / (Received) | Unrealized Appreciation / (Depreciation) | Fair Value |
| Clear Street LLC | S&P 500 Index | Purchased put | 5050 | Payment on settlement | 9/19/2025 | $37875000 | $126077 | $(827) | $125250 |
| Clear Street LLC | S&P 500 Index | Purchased put | 5000 | Payment on settlement | 11/21/2025 | 12500000 | 183717 | (89342) | 94375 |
| **Total Options** |  |  |  |  |  |  | $**309794** | $**(90169)** | $**219625** |

---

---

| |
|:---|
| (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. |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Ellington Credit Co

- **b. Investment Company Act file number:** 811-24071

- **c. CIK number of Registrant:** 0001560672

- **d. LEI of Registrant:** 549300KA3MR2ZCRGA787

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 53 Forest Avenue

  - **City:** Old Greenwich

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06870

  - **Telephone number:** 203-698-1200

**Item A.2. Information about the Series.**

- **a. Name of Series:** Ellington Credit Co

- **c. LEI of Series:** 549300KA3MR2ZCRGA787

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $363945632.94

**Total Liabilities:** $134212523.99

**Net Assets:** $229733108.95

**Delayed Delivery Securities:** $10162903.81

**Cash Not Reported:** $7123875.09

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.000000000000 | **1-Year:** 5.000000000000 | **5-Year:** 168.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 20.000000000000 | **1-Year:** 26761.000000000000 | **5-Year:** 86138.000000000000 | **10-Year:** 1466.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 2.40%                | 4.40%                | 3.74%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-607192.17              | $-6279041.03                               |
| Month 2  | $514156.84               | $7385710.32                                |
| Month 3  | $321521.57               | $2670372.88                                |

**Designated Index Information**

- **Index Name:** Funds Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                    | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Anchorage Credit Funding Ltd.                           | Anchorage Credit Funding 6 Ltd                          | CUSIP: 03330MAA4<br>LEI: 5493009BD57D5LVN7Y80 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $626250.00    | 0.27%             | 2036-07-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ANN 10/20/40 @ 0.842775%                                | ANN 10/20/40 @ 0.842775%                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-181951.93   | -0.08%            |  |  |  | No            | 2                  | On Loan: No      |
| ANN 10/20/40 @ 0.9025%                                  | ANN 10/20/40 @ 0.9025%                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $175418.81    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| Apex Credit CLO LLC                                     | Apex Credit CLO 2022-1 Ltd                              | CUSIP: 03753WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    825000 | PA      | $781947.46    | 0.34%             | 2033-04-22      | Floating      | 12.18%                | Yes           | 2                  | On Loan: No      |
| Apidos CLO Ltd                                          | Apidos CLO XLII Ltd                                     | CUSIP: 03770HAE4<br>LEI: 213800XUV3WLXWBKOJ53 | Long             | ABS-CBDO         | CORP              | JE        |   1070000 | PA      | $881583.70    | 0.38%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Apidos CLO Ltd                                          | Apidos CLO L                                            | CUSIP: 03771LAE4<br>LEI: 2549007IRDJIM26V8J63 | Long             | ABS-CBDO         | CORP              | KY        |   6600000 | PA      | $5478000.00   | 2.38%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ARES CLO Ltd                                            | Ares XXXIX CLO Ltd                                      | CUSIP: 04016BAC3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $5100000.00   | 2.22%             | 2031-04-18      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| ARES CLO Ltd                                            | Ares XLIII CLO Ltd                                      | CUSIP: 04017AAC4<br>LEI: 549300ECLIGB6OZRBA51 | Long             | ABS-CBDO         | CORP              | KY        |   7519000 | PA      | $2142915.00   | 0.93%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                              | Atlas Senior Loan Fund XXIII Ltd                        | CUSIP: BCC3G6BX9<br>LEI: 213800M7WM9TKCR3TF76 | Long             | ABS-CBDO         | CORP              | JE        |   4475000 | PA      | $2036125.00   | 0.89%             | 2037-07-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                              | Atlas Senior Loan Fund XIV                              | CUSIP: 04942DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1100000.00   | 0.48%             | 2032-07-20      | Floating      | 11.47%                | Yes           | 3                  | On Loan: No      |
| Atlas Senior Loan Fund LTD                              | Atlas Senior Loan Fund XXIV Ltd                         | CUSIP: 04943QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3010000 | PA      | $1625400.00   | 0.71%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Atlas Static Senior Loan Fund                           | Atlas Static Senior Loan Fund I Ltd                     | CUSIP: 04942QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2970000 | PA      | $2977064.86   | 1.30%             | 2030-07-15      | Floating      | 12.77%                | Yes           | 2                  | On Loan: No      |
| Atrium CDO Corp                                         | Madison Park Funding XL Ltd                             | CUSIP: 04964LAJ8<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1401239.00   | 0.61%             | 2030-05-28      | Floating      | 11.04%                | Yes           | 2                  | On Loan: No      |
| Babson Euro CLO B.V.                                    | Barings Euro CLO 2021-1 DAC                             | CUSIP: BCC2R9ZP4<br>LEI: 549300D83T2O13OUPP03 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $527293.87    | 0.23%             | 2034-04-24      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2024-3 Ltd                      | CUSIP: 05685UAC8<br>LEI: 254900SOM2S14IE3BZ76 | Long             | ABS-CBDO         | CORP              | KY        |   4490000 | PA      | $2896050.00   | 1.26%             | 2037-07-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2017-2 Ltd                      | CUSIP: 05682TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6560000 | PA      | $6569853.12   | 2.86%             | 2037-07-25      | Floating      | 11.62%                | Yes           | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2022-2 Ltd                      | CUSIP: 05683XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1700000 | PA      | $1696175.00   | 0.74%             | 2035-04-22      | Floating      | 12.11%                | Yes           | 2                  | On Loan: No      |
| Barings Euro CLO                                        | Barings Euro CLO 2020-1 DAC                             | CUSIP: BCC2PIPN2<br>LEI: 5493007R4SFFXIAHHB67 | Long             | ABS-CBDO         | CORP              | IE        |   3000000 | PA      | $1364153.87   | 0.59%             | 2034-10-21      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| BATLN-2020-15-FEE                                       | BATLN-2020-15-FEE                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $410.00       | 0.00%             | 2035-11-01      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Battalion CLO LTD                                       | Battalion CLO XX Ltd                                    | CUSIP: 07134VAC9<br>LEI: 549300CDYR56PY734566 | Long             | ABS-CBDO         | CORP              | KY        |   3140318 | PA      | $985274.77    | 0.43%             | 2038-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Battalion CLO LTD                                       | Battalion Clo XV Ltd                                    | CUSIP: 07131CAC4<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $685000.00    | 0.30%             | 2033-01-17      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Battalion CLO LTD                                       | Battalion Clo XV Ltd                                    | CUSIP: BCC2MR200<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $1404250.00   | 0.61%             | 2033-01-17      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Battalion CLO LTD                                       | Battalion CLO IX Ltd                                    | CUSIP: 07132HAA6<br>LEI: 549300JMWGEYZEC6GK98 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $110000.00    | 0.05%             | 2031-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| BBAM US CLO LTD.                                        | BBAM US CLO III Ltd                                     | CUSIP: 054972AA2<br>LEI: 54930064Z7YZMOXBC128 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1006480.43   | 0.44%             | 2038-10-15      | Floating      | 12.86%                | Yes           | 2                  | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO XIV Ltd                     | CUSIP: 08181NAC7<br>LEI: 5493008E17UEFI73RC63 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $213102.50    | 0.09%             | 2037-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Blackrock CLO                                           | Blackrock MT Hood CLO X LLC                             | CUSIP: 09263GAW7<br>LEI: 549300N3N5OOLMSHXG32 | Long             | ABS-CBDO         | CORP              | US        |   2422414 | PA      | $2427258.62   | 1.06%             | 2035-04-20      | Floating      | 14.31%                | Yes           | 2                  | On Loan: No      |
| BlackRock European CLO DAC                              | Blackrock European CLO IX DAC                           | CUSIP: BCC2LLVB8<br>LEI: 549300CTNII509TFCV23 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1733617.32   | 0.75%             | 2032-12-15      | Floating      | 11.42%                | No            | 2                  | On Loan: No      |
| BNPP IP Euro CLO                                        | BNPP IP Euro CLO 2015-1 DAC                             | CUSIP: BCC28WY91<br>LEI: 635400BBJ1EYLLVTFD31 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $251647.88    | 0.11%             | 2030-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| BOBA-2024-2-FEE                                         | BOBA-2024-2-FEE                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $140000.00    | 0.06%             | 2034-01-25      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Bosphorus CLO                                           | Bosphorus CLO VI DAC                                    | CUSIP: BCC2QV2E7<br>LEI: 6354003QOK8LLEWEMR90 | Long             | ABS-CBDO         | CORP              | IE        |   1475000 | PA      | $1671055.34   | 0.73%             | 2034-05-25      | Floating      | 7.85%                 | No            | 2                  | On Loan: No      |
| Boyce Park CLO, LLC                                     | Boyce Park Clo Ltd                                      | CUSIP: 103226AC0<br>LEI: 54930028S3PFXX4SMQ72 | Long             | ABS-CBDO         | CORP              | JE        |    840000 | PA      | $453600.00    | 0.20%             | 2035-04-21      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| BRDGS-2020-1A-FEE                                       | BRDGS-2020-1A-FEE                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $91898.09     | 0.04%             | 2037-07-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Bridge Street CLO Ltd                                   | Bridge Street CLO III Ltd                               | CUSIP: 10806GAC3<br>LEI: 254900PNW8DFFG2S8664 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1092000.00   | 0.48%             | 2034-10-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Bridge Street CLO Ltd                                   | Bridge Street CLO I Ltd                                 | CUSIP: 10806AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1971450.05   | 0.86%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Bridge Street CLO Ltd                                   | Bridge Street CLO V Ltd                                 | CUSIP: 107922AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20500000 | PA      | $16400000.00  | 7.14%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Cairn CLO BV                                            | Cairn CLO XVIII DAC                                     | CUSIP: BCC3GZKH0<br>LEI: 635400BFPOCDPGEEFP32 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $1648220.00   | 0.72%             | 2037-04-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Cairn CLO BV                                            | Cairn CLO XVIII DAC                                     | CUSIP: BCC3GZKJ6<br>LEI: 635400BFPOCDPGEEFP32 | Long             | ABS-CBDO         | CORP              | IE        |     51906 | PA      | $0.00         | 0.00%             | 2037-04-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Canyon Capital CLO Ltd                                  | Canyon Capital CLO 2019-1 Ltd                           | CUSIP: 13887UAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14423000 | PA      | $6562465.00   | 2.86%             | 2037-07-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| CAREERBUILDER CLASS W COMMON UNITS                      | CAREERBUILDER CLASS W COMMON UNITS                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       348 | NS      | $0.00         | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| ICG US CLO Ltd                                          | ICG US CLO 2014-1 Ltd                                   | CUSIP: 44928YAN2<br>LEI: 25490053S2JSJU63Y978 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3830760.00   | 1.67%             | 2034-10-20      | Floating      | 12.88%                | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                          | ICG US CLO 2017-1 Ltd                                   | CUSIP: 449254AD3<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2368750.00   | 1.03%             | 2034-07-28      | Floating      | 11.90%                | Yes           | 2                  | On Loan: No      |
| CAREERBUILDER LLC TERM B3 1L GTD SR. SECD               | CAREERBUILDER LLC TERM B3 1L GTD SR. SECD               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    468989 | PA      | $29898.02     | 0.01%             | 2026-07-31      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Careismatic Brands Warrants                             | Careismatic Brands Warrants                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |      3363 | NS      | $33.63        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Carlyle Euro CLO                                        | Carlyle Euro CLO 2019-2 DAC                             | CUSIP: BCC2KFRN1<br>LEI: 63540012YBWEYXRWOE16 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $72448.25     | 0.03%             | 2032-08-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2012-4 Ltd         | CUSIP: 14310AAE3<br>LEI: 549300R4G5ROMXQ5CG20 | Long             | ABS-CBDO         | CORP              | KY        |   2840000 | PA      | $2783200.00   | 1.21%             | 2032-04-22      | Floating      | 11.82%                | Yes           | 3                  | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd    | CUSIP: BCC275SQ0<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $234306.05    | 0.10%             | 2031-11-17      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd    | CUSIP: BCC2I1Y49<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |   1140000 | PA      | $1331385.02   | 0.58%             | 2031-11-17      | Floating      | 7.84%                 | No            | 2                  | On Loan: No      |
| Carysfort Park CLO                                      | Carysfort Park CLO DAC                                  | CUSIP: BCC2R5N00<br>LEI: 254900X3LEXBMRCA3Y50 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2307086.34   | 1.00%             | 2034-07-28      | Floating      | 10.55%                | No            | 2                  | On Loan: No      |
| Catamaran CLO Ltd                                       | Catamaran CLO 2014-1 Ltd                                | CUSIP: 14889FAJ2<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1294250.00   | 0.56%             | 2030-04-22      | Floating      | 11.31%                | Yes           | 3                  | On Loan: No      |
| CDX.A.HY.44                                             | CDX.A.HY.44                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-698375.52   | -0.30%            |  |  |  | No            | 2                  | On Loan: No      |
| Cedar Funding Ltd                                       | Cedar Funding IX CLO Ltd                                | CUSIP: 15033FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3950000 | PA      | $1384098.86   | 0.60%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| CENTURYLINK INC TERM B 1L GTD SR. SECD                  | CENTURYLINK INC TERM B 1L GTD SR. SECD                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     70642 | PA      | $67463.40     | 0.03%             | 2027-03-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2018-IV Ltd                                | CUSIP: 17182HAE6<br>LEI: 254900PA63PFHC11GD90 | Long             | ABS-CBDO         | CORP              | KY        |   2220000 | PA      | $815850.00    | 0.36%             | 2031-10-17      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2014-II Ltd                                | CUSIP: BCC26UNI9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $1061266.40   | 0.46%             | 2026-05-24      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| CIFC-LBC Middle Market CLO LLC                          | CIFC-LBC Middle Market CLO 2023-1 LLC                   | CUSIP: 171937AL9<br>LEI: 635400LA3L2WL5YSI785 | Long             | ABS-CBDO         | CORP              | US        |   1140000 | PA      | $1148177.15   | 0.50%             | 2035-10-20      | Floating      | 13.57%                | Yes           | 2                  | On Loan: No      |
| Cordatus CLO PLC                                        | CVC Cordatus Loan Fund X DAC                            | CUSIP: BCC3KJJH3<br>LEI: 549300L3U7O5MFVI3I18 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $1433661.82   | 0.62%             | 2038-01-26      | Floating      | 10.62%                | No            | 2                  | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                           | Crestline Denali CLO XV Ltd                             | CUSIP: 22616BAE5<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1495625.00   | 0.65%             | 2030-04-20      | Floating      | 10.88%                | Yes           | 2                  | On Loan: No      |
| Crown City CLO                                          | Crown City CLO III                                      | CUSIP: 228234AA8<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1924000.00   | 0.84%             | 2034-07-20      | Floating      | 11.28%                | Yes           | 2                  | On Loan: No      |
| Crown City CLO                                          | Crown City CLO III                                      | CUSIP: 228234AC4<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |   5580000 | PA      | $1841400.00   | 0.80%             | 2034-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO                                          | Crown City CLO II                                       | CUSIP: 22823JAC1<br>LEI: 549300TQXORNUWLBOD84 | Long             | ABS-CBDO         | CORP              | KY        |   5217081 | PA      | $1956405.38   | 0.85%             | 2035-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO I                                        | Crown City CLO I                                        | CUSIP: 22823TAC9<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | KY        |   4740000 | PA      | $1433850.00   | 0.62%             | 2034-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Crown City CLO I                                        | Crown City CLO I                                        | CUSIP: 22823TAE5<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3189875.00   | 1.39%             | 2034-07-20      | Floating      | 11.53%                | Yes           | 2                  | On Loan: No      |
| Crown Point CLO Ltd                                     | Crown Point CLO 9 Ltd                                   | CUSIP: 22846EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2477780.70   | 1.08%             | 2034-07-14      | Floating      | 11.26%                | Yes           | 2                  | On Loan: No      |
| Crown Point CLO Ltd                                     | Crown Point CLO IV Ltd                                  | CUSIP: 22846PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1073140.02   | 0.47%             | 2031-04-20      | Floating      | 10.03%                | Yes           | 2                  | On Loan: No      |
| Dryden Leveraged Loan CDO                               | Dryden 32 Euro CLO 2014 DAC                             | CUSIP: BCC2HFYI8<br>LEI: 6354005CSBPGKXG2CA73 | Long             | ABS-CBDO         | CORP              | NL        |   1250000 | PA      | $1421089.25   | 0.62%             | 2031-08-15      | Floating      | 9.41%                 | No            | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                        | Greywolf CLO II Ltd                                     | CUSIP: BCC2EN471<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1130000 | PA      | $236929.52    | 0.10%             | 2034-04-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                 | HalseyPoint CLO 3 Ltd                                   | CUSIP: 40638VAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $863941.70    | 0.38%             | 2037-07-30      | Floating      | 12.39%                | Yes           | 2                  | On Loan: No      |
| Harvest CLO                                             | Harvest Clo XXIX DAC                                    | CUSIP: BCC3GDSD0<br>LEI: 635400UTMKWBSVMHDJ97 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1154023.59   | 0.50%             | 2037-07-15      | Floating      | 10.90%                | No            | 2                  | On Loan: No      |
| Hayfin Emerald CLO                                      | Hayfin Emerald Clo X DAC                                | CUSIP: BCC3FNKV7<br>LEI: 635400QPLMTTI1BZII42 | Long             | ABS-CBDO         | CORP              | IE        |   1952273 | PA      | $2243129.87   | 0.98%             | 2038-07-18      | Floating      | 10.15%                | No            | 2                  | On Loan: No      |
| SPX Index                                               | SPX US 09/19/25 P5050                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        75 | NC      | $125250.00    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| SPX Index                                               | SPX US 11/21/25 P5000                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        25 | NC      | $94375.00     | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| St Pauls CLO                                            | St Paul's CLO IV DAC                                    | CUSIP: BCC2H8851<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1083492.17   | 0.47%             | 2030-04-25      | Floating      | 8.74%                 | No            | 2                  | On Loan: No      |
| St Pauls CLO                                            | St Paul's CLO IV DAC                                    | CUSIP: BCC2H8869<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |   1400000 | PA      | $630691.38    | 0.27%             | 2030-04-25      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| St Pauls CLO                                            | St Paul's CLO V DAC                                     | CUSIP: BCC2DYTI7<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |   1650000 | PA      | $1816308.52   | 0.79%             | 2030-08-20      | Floating      | 8.70%                 | No            | 2                  | On Loan: No      |
| St Pauls CLO                                            | St Paul's CLO VII DAC                                   | CUSIP: BCC2H8F20<br>LEI: 635400XNW8X824E1MY52 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $706380.00    | 0.31%             | 2034-07-18      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XXIII Ltd                                  | CUSIP: BCC2PT658<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $1050000.00   | 0.46%             | 2048-01-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XVI Ltd                                    | CUSIP: 87165TAE4<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   2255000 | PA      | $1909764.53   | 0.83%             | 2031-10-15      | Floating      | 10.62%                | Yes           | 3                  | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XV Ltd                                     | CUSIP: 87165KAE3<br>LEI: 549300JNP1PJXORD0Y06 | Long             | ABS-CBDO         | CORP              | KY        |   2084213 | PA      | $1813388.28   | 0.79%             | 2032-01-17      | Floating      | 10.87%                | Yes           | 3                  | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XXVI Ltd                                   | CUSIP: BCC2D1MU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $193802.68    | 0.08%             | 2033-04-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| TCW CLO 2021-1, Ltd.                                    | TCW CLO 2021-1 Ltd                                      | CUSIP: 87190LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8400000 | PA      | $3990000.00   | 1.74%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| TCW Ltd                                                 | TCW CLO 2023-1 Ltd                                      | CUSIP: 871976AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $407000.00    | 0.18%             | 2038-03-31      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| TCW Ltd                                                 | TCW CLO 2023-1 Ltd                                      | CUSIP: BCC38TBP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $880000.00    | 0.38%             | 2038-03-31      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| TCW Ltd                                                 | TCW CLO 2025-1 LTD                                      | CUSIP: 872409AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1775000 | PA      | $1473250.00   | 0.64%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Tikehau                                                 | Tikehau CLO XIII DAC                                    | CUSIP: BCC3KTRH2<br>LEI: 6354006QUI9OYIL7LT78 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2048502.00   | 0.89%             | 2038-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Toro European CLO                                       | Toro European CLO 6 DAC                                 | CUSIP: BCC2KI4H3<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1676182.74   | 0.73%             | 2032-01-12      | Floating      | 10.76%                | Yes           | 2                  | On Loan: No      |
| Tralee CLO Ltd                                          | Tralee CLO V Ltd                                        | CUSIP: 89300GAE4<br>LEI: 54930005YIOSJ9Z81114 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $328943.14    | 0.14%             | 2034-10-20      | Floating      | 13.42%                | Yes           | 3                  | On Loan: No      |
| Tralee CLO Ltd                                          | Tralee CLO IV Ltd                                       | CUSIP: 89300FAJ5<br>LEI: 549300TO44EYB43F5661 | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $757319.40    | 0.33%             | 2030-01-20      | Floating      | 10.63%                | Yes           | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas CLO XII Ltd                                    | CUSIP: 89641NAE7<br>LEI: 254900G1XMKSN9WBVL66 | Long             | ABS-CBDO         | CORP              | KY        |   1890000 | PA      | $1878483.38   | 0.82%             | 2033-04-25      | Floating      | 11.94%                | Yes           | 2                  | On Loan: No      |
| Venture CDO Ltd                                         | Venture XXX CLO Ltd                                     | CUSIP: 92331PAA9<br>LEI: 5493001R7OPCYBM5NH78 | Long             | ABS-CBDO         | CORP              | KY        |   1345000 | PA      | $673455.25    | 0.29%             | 2031-01-15      | Floating      | 10.82%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                         | Venture 36 Clo Ltd                                      | CUSIP: 92332MAA5<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $1828958.43   | 0.80%             | 2032-04-20      | Floating      | 11.45%                | Yes           | 2                  | On Loan: No      |
| Venture CDO Ltd                                         | Venture XXII CLO Ltd                                    | CUSIP: 92331JAG0<br>LEI: 549300ERIHFJJFMGMG87 | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $252200.00    | 0.11%             | 2031-01-15      | Floating      | 10.17%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                         | Venture XXVII CLO Ltd                                   | CUSIP: 92331TAA1<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $203850.37    | 0.09%             | 2030-07-20      | Floating      | 10.88%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                         | Venture XVIII CLO Ltd                                   | CUSIP: 92329HAH6<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |   2025260 | PA      | $1204282.87   | 0.52%             | 2029-10-15      | Floating      | 11.11%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                         | Venture XV CLO Ltd                                      | CUSIP: 92328LAH8<br>LEI: 549300UYHZCJPN3LMT03 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $960150.00    | 0.42%             | 2032-07-15      | Floating      | 11.71%                | Yes           | 3                  | On Loan: No      |
| Venture CDO Ltd                                         | Venture XXVI CLO Ltd                                    | CUSIP: 92331HAA7<br>LEI: 549300XGJ8CFTLD6FC04 | Long             | ABS-CBDO         | CORP              | KY        |   2506121 | PA      | $1478611.54   | 0.64%             | 2029-01-20      | Floating      | 11.33%                | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                         | Vibrant CLO XIII Ltd                                    | CUSIP: 92557CAC1<br>LEI: 5493000EYXBYKZ0XIT83 | Long             | ABS-CBDO         | CORP              | KY        |   7880000 | PA      | $4517950.72   | 1.97%             | 2034-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                         | Vibrant Clo XV Ltd                                      | CUSIP: 92559FAE8<br>LEI: 5493000EZ05NPI8BXY34 | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $798412.50    | 0.35%             | 2035-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                         | Vibrant Clo III Ltd                                     | CUSIP: 92557UBE6<br>LEI: 54930073XIEUISQCY218 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $225000.00    | 0.10%             | 2031-10-20      | Floating      | 10.88%                | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                            | Voya 2024-3 LTD                                         | CUSIP: 92944VAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9400000 | PA      | $7238000.00   | 3.15%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2024-5 Ltd                                     | CUSIP: 92891UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $7600000.00   | 3.31%             | 2037-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2025-1 Ltd                                     | CUSIP: 92945LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3200000 | PA      | $2848000.00   | 1.24%             | 2038-04-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| WELF-2021-3-FEE                                         | WELF-2021-3-FEE                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $49739.51     | 0.02%             | 2034-01-25      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                       | Wellfleet CLO 2021-3 Ltd                                | CUSIP: 94951KAA5<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   7600000 | PA      | $1824000.00   | 0.79%             | 2035-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wellfleet CLO Ltd                                       | Wellfleet CLO 2021-3 Ltd                                | CUSIP: 94951KAC1<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1206551.90   | 0.53%             | 2035-01-15      | Floating      | 11.68%                | Yes           | 2                  | On Loan: No      |
| Wellfleet CLO Ltd                                       | Wellfleet Clo 2019-1 Ltd                                | CUSIP: 94950QAA3<br>LEI: 254900IGQ7EODCWHCM84 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1129552.16   | 0.49%             | 2032-07-20      | Floating      | 11.43%                | Yes           | 3                  | On Loan: No      |
| Whitehorse Ltd                                          | WhiteHorse X Ltd                                        | CUSIP: BCC28WVJ2<br>LEI: 549300UT33WDDDZEYN84 | Long             | ABS-CBDO         | CORP              | KY        |    315206 | PA      | $3152.06      | 0.00%             | 2027-04-17      | Floating      | 10.79%                | No            | 3                  | On Loan: No      |
| Wind River CLO Ltd                                      | Wind River 2021-1 CLO Ltd                               | CUSIP: 97314HAN9<br>LEI: 549300OBHD9JXBHL6R27 | Long             | ABS-CBDO         | CORP              | KY        |   4650000 | PA      | $1813500.00   | 0.79%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                      | THL Credit Wind River 2019-3 Clo Ltd                    | CUSIP: 87249WAC1<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   3310000 | PA      | $379032.24    | 0.16%             | 2031-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Wind River CLO Ltd                                      | THL Credit Wind River 2019-3 Clo Ltd                    | CUSIP: 97314GAE1<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $993843.95    | 0.43%             | 2031-04-15      | Floating      | 10.71%                | Yes           | 2                  | On Loan: No      |
| WINDR 2021-1A VAR FEE LETTER                            | WINDR 2021-1A VAR FEE LETTER                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $35455.78     | 0.02%             | 2034-04-20      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| 522 Funding CLO LTD                                     | 522 Funding CLO 2019-5 Ltd                              | CUSIP: 33830NAC0<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $982226.17    | 0.43%             | 2035-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| ABPCI Direct Lending Fund CLO                           | ABPCI DIRECT LENDING FUND CLO XV LTD                    | CUSIP: 000841AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $3026564.91   | 1.32%             | 2035-10-30      | Floating      | 12.88%                | Yes           | 2                  | On Loan: No      |
| Alinea CLO LTD                                          | Alinea CLO 2018-1 Ltd                                   | CUSIP: 016268AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4350000 | PA      | $4256040.00   | 1.85%             | 2031-07-20      | Floating      | 10.22%                | Yes           | 2                  | On Loan: No      |
| Allegro CLO Ltd                                         | Allegro CLO VII Ltd                                     | CUSIP: 01750DAC5<br>LEI: 635400EBXLHIKFL2MP73 | Long             | ABS-CBDO         | CORP              | KY        |   3100000 | PA      | $88575.18     | 0.04%             | 2031-06-13      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2022-2 Ltd                      | CUSIP: 05683XAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1620000 | PA      | $1620000.00   | 0.71%             | 2035-04-22      | Floating      | 11.68%                | Yes           | 2                  | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2024-2 Ltd                      | CUSIP: 05765BAC3<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $5180000.00   | 2.25%             | 2038-01-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Ballyrock Ltd                                           | Ballyrock CLO 25 Ltd                                    | CUSIP: 05876RAC4<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $645650.00    | 0.28%             | 2038-01-25      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                          | ICG US CLO 2014-2 Ltd                                   | CUSIP: 44929CAJ8<br>LEI: 635400O9MVLOIBCDSR77 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1543500.00   | 0.67%             | 2031-01-15      | Floating      | 9.72%                 | Yes           | 2                  | On Loan: No      |
| ICG US CLO Ltd                                          | ICG US Clo 2021-3 Ltd                                   | CUSIP: 449249AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $1087056.52   | 0.47%             | 2034-10-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Invesco Euro CLO                                        | Invesco Euro CLO V DAC                                  | CUSIP: BCC2Q8F53<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |   1720000 | PA      | $668235.48    | 0.29%             | 2034-01-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Invesco Euro CLO                                        | Invesco Euro CLO I DAC                                  | CUSIP: BCC2I8AE8<br>LEI: 549300GHZE7CYFQDBC40 | Long             | ABS-CBDO         | CORP              | IE        |   1970000 | PA      | $423418.64    | 0.18%             | 2031-07-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Invesco Euro CLO                                        | Invesco Euro CLO IV DAC                                 | CUSIP: BCC2MRWZ0<br>LEI: 549300LLUOZ9GWTWJV80 | Long             | ABS-CBDO         | CORP              | IE        |   1321000 | PA      | $1487228.58   | 0.65%             | 2033-04-15      | Floating      | 7.63%                 | No            | 2                  | On Loan: No      |
| ITRX.EUR.XOVR.38.10-20                                  | ITRX.EUR.XOVR.38.10-20                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-1012454.43  | -0.44%            |  |  |  | No            | 2                  | On Loan: No      |
| Jubilee CDO BV                                          | Jubilee CLO 2021-XXV DAC                                | CUSIP: BCC33DH38<br>LEI: 635400APBYBGXMTWEE61 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $1373039.08   | 0.60%             | 2035-10-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Jubilee CDO BV                                          | Jubilee CLO 2013-X DAC                                  | CUSIP: BCC3027X0<br>LEI: 635400BEM2JFGBOYIE25 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $858810.84    | 0.37%             | 2034-07-15      | Floating      | 10.83%                | No            | 2                  | On Loan: No      |
| Jubilee CDO BV                                          | Jubilee CLO 2017-XIX DAC                                | CUSIP: BCC3MWGK8<br>LEI: 635400EAATDD7VO6VC73 | Long             | ABS-CBDO         | CORP              | IE        |   1034000 | PA      | $669530.51    | 0.29%             | 2038-04-25      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Jubilee CDO BV                                          | Jubilee CLO 2020 XXIV DAC                               | CUSIP: BCC2Q8661<br>LEI: 635400LOAYAU3RCPF891 | Long             | ABS-CBDO         | CORP              | IE        |   1250000 | PA      | $1451910.92   | 0.63%             | 2034-01-16      | Floating      | 10.82%                | No            | 2                  | On Loan: No      |
| KKR Financial CLO Ltd                                   | KKR CLO 14 Ltd                                          | CUSIP: BCC2BBF03<br>LEI: 635400KULUKCVCJXZX78 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $226500.00    | 0.10%             | 2031-08-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| LCM 32 Ltd                                              | LCM 32 Ltd                                              | CUSIP: 50204BAA2<br>LEI: 549300PWEMQKJMMXR454 | Long             | ABS-CBDO         | CORP              | KY        |   1640000 | PA      | $367299.20    | 0.16%             | 2034-07-20      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Madison Park Euro Funding                               | Madison Park Euro Funding XIV DAC                       | CUSIP: BCC343DN9<br>LEI: 635400XLHN7OVUSEV112 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1745347.30   | 0.76%             | 2032-07-15      | Floating      | 11.10%                | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XIX Ltd                            | CUSIP: 55819RAE5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |   2285000 | PA      | $879725.00    | 0.38%             | 2037-01-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding LIX Ltd                            | CUSIP: 55822FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2337704 | PA      | $1332491.28   | 0.58%             | 2037-04-18      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XXIV Ltd                           | CUSIP: 55820QAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $4022530.50   | 1.75%             | 2029-10-20      | Floating      | 11.32%                | Yes           | 2                  | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XXVIII Ltd                         | CUSIP: 55821BAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $548250.00    | 0.24%             | 2030-07-15      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite Xxx Ltd                                       | CUSIP: 55953VAC6<br>LEI: 549300RI4HRUG7CFWM27 | Long             | ABS-CBDO         | CORP              | KY        |   9793000 | PA      | $6104303.31   | 2.66%             | 2037-10-25      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Man Euro CLO                                            | MAN Euro Clo 2023-1 DAC                                 | CUSIP: BCC3CJ7S1<br>LEI: 6354003VGPHCJJKCVD96 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1754022.35   | 0.76%             | 2036-10-15      | Floating      | 12.41%                | Yes           | 2                  | On Loan: No      |
| MCF CLO LLC                                             | MCF CLO IV LLC                                          | CUSIP: 55280HBE6<br>LEI: 549300SYEBIYQWJN7391 | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1506000.00   | 0.66%             | 2033-10-20      | Floating      | 13.18%                | Yes           | 2                  | On Loan: No      |
| Monroe Capital MML CLO VI LTD                           | Monroe Capital MML CLO VI Ltd                           | CUSIP: 61034LAC9<br>LEI: 254900SICWP7QQDX8T50 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $104007.00    | 0.05%             | 2030-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| MOUNTAIN VIEW CLO                                       | Mountain View CLO 2017-2 LLC                            | CUSIP: BCC2F2R97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $300.00       | 0.00%             | 2031-01-16      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| N/A                                                     | EURO FX CURR FUT  Sep25                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      -151 | NC      | $-355516.25   | -0.15%            |  |  |  | No            | 1                  | On Loan: No      |
| Nassau 2018-II, LTD                                     | Nassau 2018-II Ltd                                      | CUSIP: 63152QAC0<br>LEI: 549300TDGAMJFORBZE92 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $100.00       | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Neuberger Berman CLO Ltd                                | Neuberger Berman CLO XVII Ltd                           | CUSIP: 64129VAB9<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $1240000.00   | 0.54%             | 2037-07-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| New Constellis Holdings Inc                             | New Constellis Holdings Inc                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      7104 | NS      | $376.51       | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| New Mountain CLO Ltd                                    | New Mountain CLO 2 Ltd                                  | CUSIP: 64754KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11960000 | PA      | $7415200.00   | 3.23%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Northwoods Capital Ltd                                  | Northwoods Capital 27 Ltd                               | CUSIP: 66860YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1069500.00   | 0.47%             | 2034-10-17      | Floating      | 11.58%                | Yes           | 2                  | On Loan: No      |
| Oak Hill European Credit Partners PLC                   | OAK Hill European Credit Partners VII DAC               | CUSIP: BCC2HZRA9<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $729749.02    | 0.32%             | 2031-10-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Oaktree CLO Ltd                                         | Oaktree CLO 2019-4 Ltd                                  | CUSIP: 67400JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $2176000.00   | 0.95%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Oaktree CLO Ltd                                         | Oaktree CLO 2020-1 Ltd                                  | CUSIP: 67402GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7575000 | PA      | $4526062.50   | 1.97%             | 2038-01-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Octagon 56 Ltd                                          | Octagon 56 Ltd                                          | CUSIP: 67577PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1856885.20   | 0.81%             | 2034-10-15      | Floating      | 11.05%                | Yes           | 2                  | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 41                          | Octagon Investment Partners 41 Ltd                      | CUSIP: 67592GAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1270000 | PA      | $442708.08    | 0.19%             | 2033-10-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners Ltd                         | Octagon Investment Partners 18-R Ltd                    | CUSIP: 67590KAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3651162 | PA      | $3581.79      | 0.00%             | 2031-04-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Octagon Investment Partners Ltd                         | Octagon Investment Partners 18-R Ltd                    | CUSIP: BCC2G0YK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4905.00      | 0.00%             | 2031-04-16      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| OHA Loan Funding Ltd                                    | OHA Loan Funding 2013-1 Ltd                             | CUSIP: BCC23IKH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $290062.50    | 0.13%             | 2037-04-23      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| OSD CLO 2023-27, Ltd.                                   | OCP CLO Ltd                                             | CUSIP: 671024AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6200000 | PA      | $3782000.00   | 1.65%             | 2038-07-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| OZLM Ltd                                                | OZLM XXIV Ltd                                           | CUSIP: 67113EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1740000.00   | 0.76%             | 2032-07-20      | Floating      | 11.58%                | Yes           | 3                  | On Loan: No      |
| Ozlme                                                   | Sculptor European CLO I DAC                             | CUSIP: BCC2R3J75<br>LEI: 635400VVYCGBQEIQI426 | Long             | ABS-CBDO         | CORP              | IE        |    750000 | PA      | $850085.28    | 0.37%             | 2034-04-18      | Floating      | 10.65%                | No            | 2                  | On Loan: No      |
| Palmer Square European Loan Funding 2022-1 DAC          | Palmer Square European Loan Funding 2022-1 DAC          | CUSIP: BCC351L78<br>LEI: 549300OGFKGCPL337N48 | Long             | ABS-CBDO         | CORP              | IE        |   2340000 | PA      | $1407469.21   | 0.61%             | 2031-10-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Parallel Ltd                                            | Parallel 2020-1 Ltd                                     | CUSIP: 69917BAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $974523.41    | 0.42%             | 2034-07-20      | Floating      | 11.03%                | Yes           | 2                  | On Loan: No      |
| HPS Loan Management Ltd                                 | HPS Loan Management 2025-24 Ltd                         | CUSIP: 44332YAE2<br>LEI: 213800UJ8Z9IW1VRPP64 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1682346.13   | 0.73%             | 2038-04-25      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                  | Park Avenue Institutional Advisers CLO Ltd 2017-1       | CUSIP: 70018FAE9<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1199368.98   | 0.52%             | 2034-02-14      | Floating      | 11.38%                | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                  | Park Avenue Institutional Advisers CLO Ltd 2021-1       | CUSIP: 70017PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $589545.61    | 0.26%             | 2034-01-20      | Floating      | 11.83%                | Yes           | 2                  | On Loan: No      |
| Park Avenue Institutional Advisors CLO                  | Park Avenue Institutional Advisers CLO Ltd 2021-2       | CUSIP: 70019FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2910000.00   | 1.27%             | 2034-07-15      | Floating      | 11.53%                | Yes           | 2                  | On Loan: No      |
| PPM CLO 2 Ltd.                                          | PPM CLO 2 Ltd                                           | CUSIP: 69377PBC7<br>LEI: 549300JBW1DIZLGMSY83 | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $363420.00    | 0.16%             | 2037-04-16      | Floating      | 8.92%                 | Yes           | 2                  | On Loan: No      |
| PPM CLO 2 Ltd.                                          | PPM CLO 2 Ltd                                           | CUSIP: 69377RAC4<br>LEI: 549300JBW1DIZLGMSY83 | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $182279.92    | 0.08%             | 2037-04-16      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Ravensdale Park CLO DAC                                 | Ravensdale Park CLO DAC                                 | CUSIP: BCC3KY2J4<br>LEI: 635400MNQH1BW5SAW895 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2243933.80   | 0.98%             | 2038-04-25      | Floating      | 9.52%                 | No            | 2                  | On Loan: No      |
| REG31 2015-1A SUB FEE LETTER                            | REG31 2015-1A SUB FEE LETTER                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   1571237 | PA      | $37709.69     | 0.02%             | 2038-03-25      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Regatta 31 Funding Ltd.                                 | Regatta 31 Funding Ltd                                  | CUSIP: 758981AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1571237 | PA      | $1378420.81   | 0.60%             | 2038-03-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Regatta Funding                                         | Regatta XI Funding Ltd                                  | CUSIP: 75887YAC9<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $936000.00    | 0.41%             | 2037-07-17      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Regatta Funding                                         | Regatta XI Funding Ltd                                  | CUSIP: 75887YAQ8<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   5700000 | PA      | $10260.00     | 0.00%             | 2037-07-17      | Fixed         | 0.01%                 | Yes           | 3                  | On Loan: No      |
| Regatta Funding                                         | Regatta XI Funding Ltd                                  | CUSIP: 75887YAU9<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   5700000 | PA      | $81510.00     | 0.04%             | 2037-07-17      | Fixed         | 0.09%                 | Yes           | 3                  | On Loan: No      |
| REGATTA II FUNDING LP                                   | Regatta II Funding LP                                   | CUSIP: 75886J208<br>LEI: 549300K4VRY4OIWYX443 | Long             | EP               | CORP              | KY        |      5000 | NS      | $40000.00     | 0.02%             |  |  |  | Yes           | 3                  | On Loan: No      |
| Regatta XV Funding Ltd.                                 | Regatta XV Funding Ltd                                  | CUSIP: 75888PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $0.00         | 0.00%             | 2031-10-25      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Resolute Investment Equity                              | Resolute Investment Equity                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      7213 | NS      | $32458.50     | 0.01%             |  |  |  | No            | 3                  | On Loan: No      |
| Rockford Tower CLO Ltd                                  | Rockford Tower CLO 2021-3 Ltd                           | CUSIP: 77341PAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1924212.73   | 0.84%             | 2038-01-15      | Floating      | 11.68%                | Yes           | 2                  | On Loan: No      |
| Rockford Tower CLO Ltd                                  | Rockford Tower CLO 2022-3 Ltd                           | CUSIP: 77341YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $648731.43    | 0.28%             | 2037-07-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Rockford Tower Europe CLO                               | Rockford Tower Europe CLO 2021-2 DAC                    | CUSIP: BCC33CC43<br>LEI: 635400YECCYPH8KGMC48 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1160314.08   | 0.51%             | 2035-01-24      | Floating      | 11.57%                | No            | 2                  | On Loan: No      |
| RR Ltd                                                  | RR 5 Ltd                                                | CUSIP: 74979RAC6<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $624375.00    | 0.27%             | 2039-07-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Saratoga Investment Corp CLO Ltd                        | Saratoga Investment Corp CLO 2013-1 Ltd                 | CUSIP: 80349CAQ8<br>LEI: 549300471O2DE0Y4L506 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1460000.00   | 0.64%             | 2033-04-20      | Floating      | 12.03%                | Yes           | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL                             | SOLARAY LLC DELAYED DRAW TL                             | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     18322 | PA      | $17588.93     | 0.01%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC DELAYED DRAW TL (Add-On)                    | SOLARAY LLC DELAYED DRAW TL (Add-On)                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    100336 | PA      | $96322.85     | 0.04%             | 2025-12-15      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLARAY LLC TERM  1L Sr. Secd                           | SOLARAY LLC TERM  1L Sr. Secd                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    173519 | PA      | $138815.58    | 0.06%             | 2026-09-22      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas CLO VI Ltd                                     | CUSIP: 89641BAG8<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1307276.80   | 0.57%             | 2034-01-25      | Floating      | 13.26%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas Clo IX Ltd                                     | CUSIP: 89641KAA1<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |   1330000 | PA      | $1165731.70   | 0.51%             | 2032-01-20      | Floating      | 10.78%                | Yes           | 2                  | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas Clo IX Ltd                                     | CUSIP: BCC2I26X4<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $1972102.50   | 0.86%             | 2032-01-20      | Floating      | 10.78%                | No            | 2                  | On Loan: No      |
| Zais CLO 13, Limited                                    | Zais Clo 13 Ltd                                         | CUSIP: 98876PAA7<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |   5470000 | PA      | $5257764.00   | 2.29%             | 2032-07-15      | Floating      | 13.17%                | Yes           | 2                  | On Loan: No      |
| ZAIS CLO 3, LTD                                         | Zais CLO 3 Ltd                                          | CUSIP: 98887JAG5<br>LEI: 549300SYHU0CNKIXQ691 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $757900.00    | 0.33%             | 2031-07-15      | Floating      | 11.43%                | Yes           | 3                  | On Loan: No      |
| Zais CLO 6 LTD                                          | Zais Clo 6 Ltd                                          | CUSIP: 98887UAA3<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |   2343717 | PA      | $1804662.28   | 0.79%             | 2029-07-15      | Floating      | 11.52%                | Yes           | 3                  | On Loan: No      |
| Zais CLO 9, Limited                                     | Zais Clo 9 Ltd                                          | CUSIP: BCC2H3QK9<br>LEI: 549300GT2U4OLB9UL559 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $72.00        | 0.00%             | 2031-07-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Zais Matrix CDO I                                       | Zais Clo 18 Ltd                                         | CUSIP: 98885PAA6<br>LEI: 549300PRQCSTFU7VEI08 | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $1262489.76   | 0.55%             | 2035-01-25      | Floating      | 12.56%                | Yes           | 2                  | On Loan: No      |
| Marathon CLO LTD                                        | Marathon CLO VI Ltd                                     | CUSIP: BCC2GDE70<br>LEI: 5493002F390212ZEF773 | Long             | ABS-CBDO         | CORP              | KY        |    359840 | PA      | $35.98        | 0.00%             | 2028-05-13      | Floating      | 10.72%                | No            | 3                  | On Loan: No      |
| Marathon CLO LTD                                        | Marathon CLO 2021-16 Ltd                                | CUSIP: 56581DAE0<br>LEI: 549300VP041FQCCCOP44 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2500000.00   | 1.09%             | 2034-04-15      | Floating      | 11.17%                | Yes           | 2                  | On Loan: No      |
| Marble Point CLO                                        | Marble Point CLO XXII Ltd                               | CUSIP: BCC31H4Y7<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |   5400000 | PA      | $1053540.00   | 0.46%             | 2050-07-25      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Marble Point CLO XX Ltd                                 | Marble Point CLO XX Ltd                                 | CUSIP: 56607LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $600000.00    | 0.26%             | 2051-04-23      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Dryden Leveraged Loan CDO                               | Dryden 29 Euro CLO 2013 DAC                             | CUSIP: BCC2F5PP6<br>LEI: 635400DCFE7KCIBYHQ75 | Long             | ABS-CBDO         | CORP              | IE        |   1422000 | PA      | $1515079.15   | 0.66%             | 2032-07-15      | Floating      | 8.68%                 | Yes           | 3                  | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 54 Senior Loan Fund                              | CUSIP: 26244RAE1<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1690416.00   | 0.74%             | 2029-10-19      | Floating      | 10.73%                | Yes           | 3                  | On Loan: No      |
| Eaton Vance CDO Ltd                                     | Eaton Vance CLO 2019-1 Ltd                              | CUSIP: 27830VAE0<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $693000.00    | 0.30%             | 2031-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Elmwood CLO 24 Ltd                                      | Elmwood CLO 24 Ltd                                      | CUSIP: 29002NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $5360000.00   | 2.33%             | 2033-12-11      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Empower CLO Ltd.                                        | Empower CLO 2022-1 Ltd                                  | CUSIP: 29246YAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9620000 | PA      | $7359300.00   | 3.20%             | 2037-10-20      | Variable      | 0.00%                 | Yes           | 2                  | On Loan: No      |
| First Eagle BSL CLO LLC                                 | First Eagle BSL CLO 2019-1 Ltd                          | CUSIP: 32010GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4480000 | PA      | $4422494.72   | 1.93%             | 2033-01-20      | Floating      | 12.23%                | Yes           | 2                  | On Loan: No      |
| Flint Group A Common Shares                             | Flint Group A Common Shares                             | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |    438201 | NS      | $0.00         | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                | FLINT GROUP TOPCO LTD PIK TERM B 2L Secd                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    600596 | PA      | $30029.79     | 0.01%             | 2027-12-31      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| FORESIGHT ENERGY EQUITY                                 | FORESIGHT ENERGY EQUITY                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      2381 | NS      | $6944.78      | 0.00%             |  |  |  | No            | 3                  | On Loan: No      |
| Fortress Credit BSL Limited                             | Fortress Credit BSL VIII Ltd                            | CUSIP: 34962FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2991210.00   | 1.30%             | 2032-10-20      | Floating      | 11.54%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                             | Fortress Credit Bsl X Ltd                               | CUSIP: 34961RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1293000 | PA      | $1287343.13   | 0.56%             | 2033-04-20      | Floating      | 11.67%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                             | Fortress Credit BSL XII Ltd                             | CUSIP: 34963GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $952888.45    | 0.41%             | 2034-10-15      | Floating      | 11.65%                | Yes           | 2                  | On Loan: No      |
| Fortress Credit BSL Limited                             | Fortress Credit BSL XVII Ltd                            | CUSIP: 34964NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1239206.78   | 0.54%             | 2034-10-23      | Floating      | 12.43%                | Yes           | 2                  | On Loan: No      |
| Generate CLO Ltd.                                       | Generate CLO 2 Ltd                                      | CUSIP: 98625RAC3<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $1722843.75   | 0.75%             | 2037-10-22      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38375BHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28367 | PA      | $1920.08      | 0.00%             | 2060-12-20      | Variable      | 1.22%                 | No            | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                        | Greywolf CLO II Ltd                                     | CUSIP: 39808GAJ5<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1930000 | PA      | $386000.00    | 0.17%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                        | Greywolf CLO II Ltd                                     | CUSIP: 39808GAL0<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   1370000 | PA      | $287250.83    | 0.13%             | 2034-04-15      | Variable      | 0.00%                 | Yes           | 3                  | On Loan: No      |
| Greywolf CLO Ltd                                        | Greywolf CLO II Ltd                                     | CUSIP: 39808GAN6<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999800.00   | 0.87%             | 2034-04-15      | Floating      | 11.57%                | Yes           | 2                  | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -845000 | OU      | $-845000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -688000 | OU      | $-688000.00   | -0.30%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1228000 | OU      | $-1228000.00  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1153000 | OU      | $-1153000.00  | -0.50%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -656000 | OU      | $-656000.00   | -0.29%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1276000 | OU      | $-1276000.00  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -708000 | OU      | $-708000.00   | -0.31%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1287000 | OU      | $-1287000.00  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1327000 | OU      | $-1327000.00  | -0.58%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1332000 | OU      | $-1332000.00  | -0.58%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1636000 | OU      | $-1636000.00  | -0.71%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -805000 | OU      | $-805000.00   | -0.35%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -599000 | OU      | $-599000.00   | -0.26%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -885000 | OU      | $-885000.00   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1058000 | OU      | $-1058000.00  | -0.46%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2093000 | OU      | $-2093000.00  | -0.91%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1035000 | OU      | $-1035000.00  | -0.45%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -798000 | OU      | $-798000.00   | -0.35%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1890000 | OU      | $-1890000.00  | -0.82%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1553000 | OU      | $-1553000.00  | -0.68%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1458404 | OU      | $-1458403.92  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -922216 | OU      | $-922215.88   | -0.40%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -891281 | OU      | $-891280.85   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -769990 | OU      | $-769989.52   | -0.34%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -956000 | OU      | $-956000.00   | -0.42%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2070000 | OU      | $-2070000.00  | -0.90%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -7175000 | OU      | $-7175000.00  | -3.12%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2383000 | OU      | $-2383000.00  | -1.04%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1421000 | OU      | $-1421000.00  | -0.62%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4691000 | OU      | $-4691000.00  | -2.04%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -717000 | OU      | $-717000.00   | -0.31%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -996000 | OU      | $-996000.00   | -0.43%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2215000 | OU      | $-2215000.00  | -0.96%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -734000 | OU      | $-734000.00   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -560000 | OU      | $-560000.00   | -0.24%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3172000 | OU      | $-3172000.00  | -1.38%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1458000 | OU      | $-1458000.00  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -558000 | OU      | $-558000.00   | -0.24%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2724000 | OU      | $-2724000.00  | -1.19%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -741000 | OU      | $-741000.00   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -752000 | OU      | $-752000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -891000 | OU      | $-891000.00   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -828000 | OU      | $-828000.00   | -0.36%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -475000 | OU      | $-475000.00   | -0.21%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1524000 | OU      | $-1524000.00  | -0.66%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1426000 | OU      | $-1426000.00  | -0.62%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1410000 | OU      | $-1410000.00  | -0.61%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -837000 | OU      | $-837000.00   | -0.36%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -412000 | OU      | $-412000.00   | -0.18%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -760000 | OU      | $-760000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2755000 | OU      | $-2755000.00  | -1.20%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1403000 | OU      | $-1403000.00  | -0.61%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -665000 | OU      | $-665000.00   | -0.29%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1091000 | OU      | $-1091000.00  | -0.47%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -960000 | OU      | $-960000.00   | -0.42%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -713000 | OU      | $-713000.00   | -0.31%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -525000 | OU      | $-525000.00   | -0.23%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1250000 | OU      | $-1250000.00  | -0.54%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2174000 | OU      | $-2174000.00  | -0.95%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1068000 | OU      | $-1068000.00  | -0.46%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -760000 | OU      | $-760000.00   | -0.33%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1480820 | OU      | $-1480820.25  | -0.64%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1201355 | OU      | $-1201354.84  | -0.52%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1121865 | OU      | $-1121865.30  | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -725758 | OU      | $-725758.36   | -0.32%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -579461 | OU      | $-579461.17   | -0.25%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -583048 | OU      | $-583048.28   | -0.25%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1444170 | OU      | $-1444170.36  | -0.63%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -586821 | OU      | $-586820.52   | -0.26%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1291709 | OU      | $-1291708.54  | -0.56%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -928197 | OU      | $-928197.28   | -0.40%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1164741 | OU      | $-1164741.09  | -0.51%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1126517 | OU      | $-1126517.16  | -0.49%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -986963 | OU      | $-986962.97   | -0.43%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -925008 | OU      | $-925008.09   | -0.40%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -712060 | OU      | $-712060.47   | -0.31%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1011190 | OU      | $-1011190.22  | -0.44%            |  |  |  | No            | N/A                | On Loan: No      |
| EUR REPO                                                | EUR REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1208900 | OU      | $-1208900.42  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1558000 | OU      | $-1558000.00  | -0.68%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -891000 | OU      | $-891000.00   | -0.39%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -856000 | OU      | $-856000.00   | -0.37%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -691000 | OU      | $-691000.00   | -0.30%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1360000 | OU      | $-1360000.00  | -0.59%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -673000 | OU      | $-673000.00   | -0.29%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1521000 | OU      | $-1521000.00  | -0.66%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1319000 | OU      | $-1319000.00  | -0.57%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1144000 | OU      | $-1144000.00  | -0.50%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1225000 | OU      | $-1225000.00  | -0.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -665000 | OU      | $-665000.00   | -0.29%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -912000 | OU      | $-912000.00   | -0.40%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                | USD REPO                                                | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -632000 | OU      | $-632000.00   | -0.28%            |  |  |  | No            | N/A                | On Loan: No      |
| Morgan Stanley Liquidity Government Institutional Class | Morgan Stanley Liquidity Government Institutional Class | CUSIP: 61747C707<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2176272 | NS      | $2176272.00   | 0.95%             |  |  |  | No            | 1                  | On Loan: No      |
| Goldman Sachs Government Institutional Class            | Goldman Sachs Government Institutional Class            | CUSIP: 38141W273<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  25231532 | NS      | $25231532.00  | 10.98%            |  |  |  | No            | 1                  | On Loan: No      |
| Blackrock Federal Institutional Class                   | Blackrock Federal Institutional Class                   | CUSIP: 09248U700<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2112264 | NS      | $2112264.00   | 0.92%             |  |  |  | No            | 1                  | On Loan: No      |

### Signature

**Date Signed:** 2025-08-29

**Name of Applicant:** Ellington Credit Co

**Signature:** /s/ Chris Smernoff

**Name of Signer:** Chris Smernoff

**Title:** CFO