# EDGAR Filing Document

**Accession Number:** 0001751156
**File Stem:** 0001145549-23-008878
**Filing Date:** 2023-2
**Character Count:** 46537
**Document Hash:** 014a9aba5bd3dd651edf46fcedaff313
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-008878.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001145549-23-008878

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ELLINGTON INCOME OPPORTUNITIES FUND
- **CENTRAL INDEX KEY:** 0001751156
- **IRS NUMBER:** 831646576
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23389
- **FILM NUMBER:** 23661024

**BUSINESS ADDRESS:**
- **STREET 1:** 8000 NORMAN CENTER DRIVE
- **STREET 2:** SUITE 630
- **CITY:** MINNEAPOLIS
- **STATE:** MN
- **ZIP:** 55437
- **BUSINESS PHONE:** 952-897-5363

**MAIL ADDRESS:**
- **STREET 1:** 8000 NORMAN CENTER DRIVE
- **STREET 2:** SUITE 630
- **CITY:** MINNEAPOLIS
- **STATE:** MN
- **ZIP:** 55437

## 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 Income Opportunities Fund

- **b. Investment Company Act file number:** 811-23389

- **c. CIK number of Registrant:** 0001751156

- **d. LEI of Registrant:** 549300AZITG6Y38UKP98

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

  - **Street Address 1:** 8500 Normandale Lake Blvd

  - **City:** Minneapolis

  - **State:** MN

  - **Foreign country:** US

  - **Zip / Postal Code:** 55437

  - **Telephone number:** 952-897-5363

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

- **a. Name of Series:** Ellington Income Opportunities Fund

- **c. LEI of Series:** 549300AZITG6Y38UKP98

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $44499560.60

**Total Liabilities:** $14743628.88

**Net Assets:** $29755931.72

**Cash Not Reported:** $1115010.28

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 183.950000000000 | **1-Year:** 142.320000000000 | **5-Year:** 277.840000000000 | **10-Year:** 24.260000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** 5272.860000000000 | **1-Year:** 952.530000000000 | **5-Year:** 3437.610000000000 | **10-Year:** 786.650000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -2.01%               | 1.45%                | 0.00%                |
| Class ID N/A | -2.04%               | 1.60%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-1013807.41                               |
| Month 2  | $-60523.52               | $352846.22                                 |
| Month 3  | $16651.83                | $-71274.84                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Peaks CLO Ltd                                                 | Peaks CLO 2 Ltd                                                                | CUSIP: 70469YAG7<br>LEI: 549300BU7U9SZMLBY924 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $707500.00    | 2.38%             | 2031-07-20      | Floating      | 9.82%                 | No            | 3                  | On Loan: No      |
| Prime Mortgage Trust                                          | Prime Mortgage Trust 2003-3                                                    | CUSIP: 74160MDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32110 | PA      | $18302.98     | 0.06%             | 2034-01-25      | Variable      | 5.98%                 | No            | 3                  | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2021-SFR3                                                 | CUSIP: 74333VAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $635232.75    | 2.13%             | 2026-05-17      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Raptor Aircraft Finance LLC                                   | Raptor Aircraft Finance I LLC                                                  | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | KY        |    916363 | PA      | $663940.09    | 2.23%             | 2044-08-23      | Fixed         | 4.21%                 | No            | 2                  | On Loan: No      |
| Residential Funding Mtg Sec I                                 | RFMSI Series 2005-SA1 Trust                                                    | CUSIP: 76111XTB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14112 | PA      | $7393.44      | 0.02%             | 2035-03-25      | Variable      | 3.77%                 | No            | 3                  | On Loan: No      |
| Stonepeak                                                     | Stonepeak 2021-1 ABS                                                           | CUSIP: 78433XAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1201071 | PA      | $997866.57    | 3.35%             | 2033-02-28      | Fixed         | 7.14%                 | No            | 2                  | On Loan: No      |
| Marathon CLO LTD                                              | Marathon CLO V Ltd                                                             | CUSIP: 56576QAU2<br>LEI: 635400LRBGQZIPTCBI09 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1549524.80   | 5.21%             | 2027-11-21      | Floating      | 7.43%                 | No            | 2                  | On Loan: No      |
| MASTR Asset Securitization Tru                                | MASTR Asset Securitization Trust 2006-1                                        | CUSIP: 57643MLZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28315 | PA      | $18816.49     | 0.06%             | 2036-05-25      | Fixed         | 5.75%                 | No            | 3                  | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman Loan Advisers CLO 35 Ltd                                      | CUSIP: 64133CAE9<br>LEI: 549300MYVO80EQUJK294 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $803500.00    | 2.70%             | 2033-01-19      | Fixed         | 3.64%                 | No            | 3                  | On Loan: No      |
| RITHM CAPITAL CORP                                            | Rithm Capital Corp                                                             | CUSIP: 64828T508<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |      7054 | NS      | $121328.80    | 0.41%             |  |  |  | No            | 1                  | On Loan: No      |
| Nomura Asset Acceptance Corpor                                | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AP1            | CUSIP: 65535VSJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246299 | PA      | $77277.16     | 0.26%             | 2036-01-25      | Variable      | 5.51%                 | No            | 3                  | On Loan: No      |
| OFSI Fund LTD                                                 | OFSI Fund IX Ltd                                                               | CUSIP: 67112NAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $420000.00    | 1.41%             | 2118-07-31      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                | IndyMac INDX Mortgage Loan Trust 2006-AR25                                     | CUSIP: 45661HAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60028 | PA      | $53812.01     | 0.18%             | 2036-09-25      | Variable      | 2.54%                 | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust 2006-A1                                               | CUSIP: 466247E41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26751 | PA      | $20263.00     | 0.07%             | 2036-02-25      | Variable      | 3.97%                 | No            | 3                  | On Loan: No      |
| J.P. Morgan Alternative Loan T                                | JP Morgan Alternative Loan Trust                                               | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1598978 | PA      | $971385.65    | 3.26%             | 2036-12-27      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Legacy Mortgage Asset Trust                                   | Legacy Mortgage Asset Trust 2017-RPL1                                          | CUSIP: 52472WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1688664 | PA      | $1442919.76   | 4.85%             | 2070-01-28      | Variable      | 5.25%                 | No            | 2                  | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd                                | LoanCore 2018-CRE1 Issuer Ltd                                                  | CUSIP: 53946MAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1431229.50   | 4.81%             | 2028-05-15      | Floating      | 7.27%                 | No            | 2                  | On Loan: No      |
| MFA FINANCIAL INC                                             | MFA Financial Inc                                                              | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     11334 | NS      | $199478.40    | 0.67%             |  |  |  | No            | 1                  | On Loan: No      |
| Greywolf CLO Ltd                                              | Greywolf CLO IV Ltd                                                            | CUSIP: 39810JAL0<br>LEI: 5493008JNE27URH1VF66 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $525000.00    | 1.76%             | 2034-04-17      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                | HarborView Mortgage Loan Trust 2003-2                                          | CUSIP: 41161PCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41497 | PA      | $33546.56     | 0.11%             | 2033-10-19      | Variable      | 3.61%                 | No            | 2                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                | HarborView Mortgage Loan Trust 2004-2                                          | CUSIP: 41161PDK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1101 | PA      | $1095.81      | 0.00%             | 2034-06-19      | Floating      | 4.60%                 | No            | 2                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                | HarborView Mortgage Loan Trust 2004-9                                          | CUSIP: 41161PHS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6210 | PA      | $5370.90      | 0.02%             | 2034-12-19      | Variable      | 4.57%                 | No            | 3                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                | HarborView Mortgage Loan Trust 2005-7                                          | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406791 | PA      | $176590.22    | 0.59%             | 2045-06-19      | Floating      | 3.43%                 | No            | 3                  | On Loan: No      |
| Residential Asset Securitizati                                | Residential Asset Securitization Trust 2003-A15                                | CUSIP: 45660NXK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384144 | PA      | $337903.54    | 1.14%             | 2034-02-25      | Variable      | 5.82%                 | No            | 3                  | On Loan: No      |
| Elmwood CLO I Ltd.                                            | Elmwood CLO I Ltd                                                              | CUSIP: 29001QAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1070000 | PA      | $575470.61    | 1.93%             | 2033-10-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| First Horizon Alternative Mort                                | First Horizon Alternative Mortgage Securities Trust 2004-AA3                   | CUSIP: 32051D6F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121528 | PA      | $98883.17     | 0.33%             | 2034-09-25      | Variable      | 3.86%                 | No            | 3                  | On Loan: No      |
| Freddie Mac - STACR                                           | Freddie Mac STACR Trust 2019-DNA3                                              | CUSIP: 35564TBE9<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504375.00    | 1.70%             | 2049-07-25      | Floating      | 12.54%                | No            | 2                  | On Loan: No      |
| Freddie Mac - STACR                                           | Freddie Mac STACR 2019-HQA3                                                    | CUSIP: 35564XBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $735972.80    | 2.47%             | 2049-09-25      | Floating      | 11.89%                | No            | 2                  | On Loan: No      |
| Freddie Mac - STACR                                           | Freddie Mac Stacr Remic Trust 2020-DNA1                                        | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $853329.00    | 2.87%             | 2050-01-25      | Floating      | 9.64%                 | No            | 2                  | On Loan: No      |
| Freddie Mac - STACR                                           | Freddie Mac Stacr Remic Trust 2020-HQA2                                        | CUSIP: 35565LBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $945000.00    | 3.18%             | 2050-03-25      | Floating      | 11.99%                | No            | 2                  | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2003-53                                        | CUSIP: 12669E5S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255221 | PA      | $176349.69    | 0.59%             | 2034-02-19      | Variable      | 4.13%                 | No            | 2                  | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2003-49                                        | CUSIP: 12669EF76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74472 | PA      | $68456.62     | 0.23%             | 2033-12-19      | Variable      | 3.98%                 | No            | 2                  | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2004-18                                        | CUSIP: 12669F5C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    637226 | PA      | $487304.86    | 1.64%             | 2034-10-25      | Fixed         | 6.00%                 | No            | 3                  | On Loan: No      |
| Fannie Mae - CAS                                              | Connecticut Avenue Securities Trust 2022-R04                                   | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1031131.08   | 3.47%             | 2042-03-25      | Floating      | 13.43%                | No            | 2                  | On Loan: No      |
| Deutsche Mortgage Securities,                                 | Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4                    | CUSIP: 251563FD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2459 | PA      | $2189.06      | 0.01%             | 2034-06-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| Diamond CLO 2019-1 LLC                                        | Diamond CLO 2019-1 LTD                                                         | CUSIP: 25257BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $947340.00    | 3.18%             | 2029-04-25      | Floating      | 12.41%                | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2005-49CB                                               | CUSIP: 12668AMJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240561 | PA      | $131894.17    | 0.44%             | 2035-11-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-6CB                                                | CUSIP: 12668BUA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65723 | PA      | $57742.63     | 0.19%             | 2036-05-25      | Fixed         | 5.50%                 | No            | 3                  | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-J5                                                 | CUSIP: 12668EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166252 | PA      | $93725.51     | 0.31%             | 2036-09-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2006-J2                                        | CUSIP: 126694G93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78304 | PA      | $47339.08     | 0.16%             | 2036-04-25      | Fixed         | 6.00%                 | No            | 3                  | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2005-28                                        | CUSIP: 126694PN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246674 | PA      | $160510.99    | 0.54%             | 2023-11-25      | Fixed         | 5.25%                 | No            | 3                  | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2002-19                                        | CUSIP: 12669DBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267661 | PA      | $255435.91    | 0.86%             | 2032-11-25      | Fixed         | 6.25%                 | No            | 3                  | On Loan: No      |
| ANNALY CAPITAL MGMT                                           | Annaly Capital Management Inc                                                  | CUSIP: 035710862<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EP               | CORP              | US        |      1594 | NS      | $36805.46     | 0.12%             |  |  |  | No            | 1                  | On Loan: No      |
| Bear Stearns Alt-A Trust                                      | Bear Stearns ALT-A Trust 2005-10                                               | CUSIP: 07386HZM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643166 | PA      | $572961.36    | 1.93%             | 2036-01-25      | Variable      | 3.42%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding                                 | Bear Stearns Mortgage Funding Trust 2007-AR1                                   | CUSIP: 07401MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205924 | PA      | $198498.16    | 0.67%             | 2037-02-25      | Floating      | 4.79%                 | No            | 3                  | On Loan: No      |
| Blackbird Capital Aircraft                                    | Blackbird Capital Aircraft                                                     | CUSIP: 09229CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    938582 | PA      | $690997.25    | 2.32%             | 2046-07-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO 2018-2 Ltd                                                    | CUSIP: 09629WAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $161467.00    | 0.54%             | 2031-08-15      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| CHCP 2021-FL1 Ltd.                                            | CHCP 2021-FL1 Ltd                                                              | CUSIP: 12546JAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1014668.60   | 3.41%             | 2038-02-15      | Floating      | 7.44%                 | No            | 2                  | On Loan: No      |
| AMSR Trust                                                    | AMSR 2020-SFR1 Trust                                                           | CUSIP: 00180AAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $926539.00    | 3.11%             | 2037-04-17      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| AMSR Trust                                                    | AMSR 2020-SFR1 Trust                                                           | CUSIP: 00180AAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1310000 | PA      | $1242210.12   | 4.17%             | 2037-04-17      | Fixed         | 8.19%                 | No            | 2                  | On Loan: No      |
| ACREC 2021-FL1 Ltd.                                           | ACREC 2021-FL1 Ltd                                                             | CUSIP: 00500RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1184407.90   | 3.98%             | 2036-10-16      | Floating      | 7.33%                 | No            | 2                  | On Loan: No      |
| AIR CANADA 2020-1C PTT                                        | Air Canada 2020-1 Class C Pass Through Trust                                   | CUSIP: 008911BD0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    650000 | PA      | $659835.80    | 2.22%             | 2026-07-15      | Fixed         | 10.50%                | No            | 2                  | On Loan: No      |
| AIR CANADA 2013-1A PTT                                        | Air Canada 2013-1 Class A Pass Through Trust                                   | CUSIP: 009089AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1141502 | PA      | $1042978.94   | 3.51%             | 2025-05-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Allegro CLO Ltd                                               | Allegro CLO VII Ltd                                                            | CUSIP: 01750DAC5<br>LEI: 635400EBXLHIKFL2MP73 | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $609000.00    | 2.05%             | 2031-06-13      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| ANN 08/09/32 @ 2.61%                                          | ANN 08/09/32 @ 2.61%                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $154650.87    | 0.52%             |  |  |  | No            | 2                  | On Loan: No      |
| ANN 12/27/32 @ 3.358%                                         | ANN 12/27/32 @ 3.358%                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-2755.80     | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| AASET 2021-1 Trust                                            | Aaset 2021-1 Trust                                                             | CUSIP: 00038PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2102410 | PA      | $1610768.05   | 5.41%             | 2041-11-16      | Fixed         | 5.82%                 | No            | 3                  | On Loan: No      |
| AGNC INVESTMENT CORP                                          | AGNC Investment Corp                                                           | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     49521 | NS      | $954764.88    | 3.21%             |  |  |  | No            | 1                  | On Loan: No      |
| Zais CLO 6 LTD                                                | Zais Clo 6 Ltd                                                                 | CUSIP: 98887UAA3<br>LEI: 549300ZPQFDVEE67IB71 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $714784.00    | 2.40%             | 2029-07-15      | Floating      | 11.08%                | No            | 2                  | On Loan: No      |
| CDS - QTR 12/20/2026 v. CDX.NA.HY.37.15-25 (Senior NR) @ 5%   | CDS - QTR 12/20/2026 v. CDX.NA.HY.37.15-25 (Senior NR) @ 5%                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-18630.00    | -0.06%            |  |  |  | No            | 2                  | On Loan: No      |
| OFSBS-2018-1A-FEE                                             | OFSBS-2018-1A-FEE                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   1332000 | PA      | $3864.13      | 0.01%             | 2026-10-15      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| Raistone - First Brands Supply Chain Finance Program 04/05/23 | Raistone - First Brands Supply Chain Finance Program 04/05/23                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    900743 | PA      | $872270.78    | 2.93%             | 2023-04-05      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| Raistone - First Brands Supply Chain Finance Program 05/24/23 | Raistone - First Brands Supply Chain Finance Program 05/24/23                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1150012 | PA      | $1095698.83   | 3.68%             | 2023-05-24      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| SBA_JVB_03                                                    | SBA_JVB_03                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   9307954 | PA      | $783748.31    | 2.63%             | 2035-05-01      | Fixed         | 2.56%                 | No            | 3                  | On Loan: No      |
| Vibrant CLO Ltd                                               | Vibrant ClO VIII Ltd                                                           | CUSIP: 92557RAC8<br>LEI: 5493007UH0SOAZ6NCZ28 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $222459.60    | 0.75%             | 2031-01-20      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2018-1 Ltd                                                            | CUSIP: 92917BAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $407000.00    | 1.37%             | 2031-04-19      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Wachovia Mortgage Loan Trust,                                 | Wachovia Mortgage Loan Trust LLC Series 2005-A Trust                           | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132377 | PA      | $118289.28    | 0.40%             | 2035-08-20      | Variable      | 3.54%                 | No            | 3                  | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | CUSIP: 9393366V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372641 | PA      | $285668.87    | 0.96%             | 2035-06-25      | Floating      | 4.99%                 | No            | 3                  | On Loan: No      |
| Wells Fargo Alternative Loan T                                | Wells Fargo Alternative Loan 2007-PA4 Trust                                    | CUSIP: 94984UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388431 | PA      | $340633.35    | 1.14%             | 2037-07-25      | Variable      | 3.37%                 | No            | 3                  | On Loan: No      |
| Wells Fargo Alternative Loan T                                | Wells Fargo Alternative Loan 2007-PA3 Trust                                    | CUSIP: 94985GBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106755 | PA      | $99949.30     | 0.34%             | 2037-07-25      | Fixed         | 6.00%                 | No            | 3                  | On Loan: No      |
| Tralee CLO Ltd                                                | Tralee CLO V Ltd                                                               | CUSIP: 89300GAA2<br>LEI: 54930005YIOSJ9Z81114 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $304000.00    | 1.02%             | 2034-10-20      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Tralee CLO Ltd                                                | Tralee CLO V Ltd                                                               | CUSIP: 89300GAE4<br>LEI: 54930005YIOSJ9Z81114 | Long             | ABS-CBDO         | CORP              | KY        |     50000 | PA      | $35656.60     | 0.12%             | 2034-10-20      | Floating      | 13.13%                | No            | 3                  | On Loan: No      |
| Venture CDO Ltd                                               | Venture 32 CLO Ltd                                                             | CUSIP: 92325RAE5<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $205800.00    | 0.69%             | 2031-07-18      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Venture CDO Ltd                                               | Venture Xxv Clo Ltd                                                            | CUSIP: 92329UAA2<br>LEI: 549300A6M3BR8FZNXO79 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $765131.00    | 2.57%             | 2029-04-20      | Floating      | 11.44%                | No            | 2                  | On Loan: No      |
| Venture CDO Ltd                                               | Venture XXIV CLO Ltd                                                           | CUSIP: 92330RAC2<br>LEI: 549300EDZDHKTKE7JV77 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $231000.00    | 0.78%             | 2028-10-20      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Venture CDO Ltd                                               | Venture 34 CLO Ltd                                                             | CUSIP: 92332EAB1<br>LEI: 549300MYRV6PEDBLPL32 | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $162150.00    | 0.54%             | 2031-10-15      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| STAR 2022-SFR3 Trust                                          | STAR 2022-SFR3 Trust                                                           | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2020000 | PA      | $1913723.76   | 6.43%             | 2024-05-17      | Floating      | 8.82%                 | No            | 2                  | On Loan: No      |
| SKYAF III E (Westjet)                                         | SKYAF III E (Westjet)                                                          | CUSIP: 830849105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $966000.00    | 3.25%             | 2038-07-27      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                                 | Lunar 2021-1 Structured Aircraft Portfolio Notes                               | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   1614409 | PA      | $1272966.68   | 4.28%             | 2046-10-15      | Fixed         | 5.68%                 | No            | 2                  | On Loan: No      |
| Structured Adjustable Rate Mor                                | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579G51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87165 | PA      | $77200.20     | 0.26%             | 2035-12-25      | Variable      | 4.26%                 | No            | 3                  | On Loan: No      |
| Structured Asset Securities Co                                | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A        | CUSIP: 86359ARP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118192 | PA      | $58125.77     | 0.20%             | 2033-03-25      | Variable      | 3.86%                 | No            | 2                  | On Loan: No      |
| TPG Real Estate Finance                                       | TRTX 2021-FL4 Issuer Ltd                                                       | CUSIP: 87276WAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2280155.00   | 7.66%             | 2038-03-15      | Floating      | 7.93%                 | No            | 2                  | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -559000 | OU      | $-559000.00   | -1.88%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -581000 | OU      | $-581000.00   | -1.95%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1849000 | OU      | $-1849000.00  | -6.21%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -853000 | OU      | $-853000.00   | -2.87%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1182000 | OU      | $-1182000.00  | -3.97%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -711000 | OU      | $-711000.00   | -2.39%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -754000 | OU      | $-754000.00   | -2.53%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -830000 | OU      | $-830000.00   | -2.79%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1497000 | OU      | $-1497000.00  | -5.03%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -428000 | OU      | $-428000.00   | -1.44%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1043000 | OU      | $-1043000.00  | -3.51%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -555000 | OU      | $-555000.00   | -1.87%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -478000 | OU      | $-478000.00   | -1.61%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -426000 | OU      | $-426000.00   | -1.43%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -568000 | OU      | $-568000.00   | -1.91%            |  |  |  | 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   | -1.76%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -775000 | OU      | $-775000.00   | -2.60%            |  |  |  | No            | N/A                | On Loan: No      |
| USD REPO                                                      | USD REPO                                                                       | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -611000 | OU      | $-611000.00   | -2.05%            |  |  |  | No            | N/A                | On Loan: No      |

### Signature

**Date Signed:** 2023-02-23

**Name of Applicant:** Ellington Income Opportunities Fund

**Signature:** /s/ Christopher Moran

**Name of Signer:** Christopher Moran

**Title:** Treasurer