Ellington Credit Company Announces Financial Results for the Fourth Fiscal Quarter Ended March 31, 2026 (Form 8-K)

Ellington Credit Company Announces Financial Results for the Fourth Fiscal Quarter Ended March 31, 2026

OLD GREENWICH, Connecticut-May 19, 2026-Ellington Credit Company (NYSE: EARN) ("we") today reported financial results for the quarter ended March 31, 2026.

Highlights

•Net asset value (NAV) per share was $4.09 as of March 31, 2026, which includes the effects of distributions of $0.24 per share for the quarter.

•GAAP net loss was $(32.3) million or $(0.86) per share.

•Net investment income ("NII") was $5.1 million, or $0.13 per share.

◦Adjusted net investment income1 was $7.3 million, or $0.19 per share.

•CLO portfolio was $307.9 million as of March 31, 2026.

◦CLO debt investments-$145.1 million

◦CLO equity investments-$162.8 million

◦Purchased $30.7 million of CLO investments and sold $34.2 million, across 44 trades.

•Weighted average GAAP yield2 for the quarter, based on amortized cost, was 12.5% on the total CLO portfolio.

•Received $17.4 million in recurring cash distributions3 from the investment portfolio, or $0.46 per share.

•Issued $54 million of senior unsecured notes on March 30, 2026.

Management Commentary

"The first calendar quarter of 2026 was marked by continued headwinds and volatility in the CLO market," said Laurence Penn, Chief Executive Officer and President. "For Ellington Credit, while as previously communicated our NAV declined during the quarter, our up-in-credit bias and active trading again drove outperformance versus peers.

"We believe that a significant portion of the market weakness was technical-driven by overall sentiment and elevated yield spreads in the corporate credit markets, rather than by fundamental credit deterioration. We selectively leaned into the resulting opportunities, prioritizing CLO mezzanine debt over equity while staying disciplined by adding incremental hedges along the way.

"We also enhanced our capital structure, taking advantage of a narrow market window at the end of March to issue unsecured debt. Following quarter end, we used most of the debt offering proceeds to make new CLO investments, with deployment substantially complete by the end of April, thus positioning us for future earnings growth. The offering has also meaningfully strengthened our balance sheet, as we used a portion of the proceeds to refinance repo financings, replacing short-term secured debt with long-term unsecured debt.

"The first quarter selloff has reset and recharged the opportunity set: prepayments and repricings have slowed, investment yields have increased, and CLO managers are increasingly able to acquire performing discount loans that help support deal structures and interest spreads. In addition, as a meaningful portion of our CLO equity portfolio exits its non-call period, refinancing and reset opportunities should enhance underlying cash flows and support future growth in net investment income. EARN entered the second quarter well positioned to take advantage of this new environment, with ample dry powder and with the active trading and hedging capabilities to turn market dislocations into long-term value. These recent developments have already contributed to EARN's strong performance so far in the second quarter."

1 Adjusted net investment income is a non-GAAP financial measure. See "Reconciliation of Adjusted Net Investment Income to Net Investment Income" below for an explanation regarding the calculation of Adjusted net investment income.

2 Based on amortized cost; used in the calculation of interest income.

3 "Recurring cash distributions" primarily includes distributions received from our CLO investments but excludes cash received from CLO redemptions or sales during the quarter.

1

Distributions

During and subsequent to the quarter ended March 31, 2026, our Board of Trustees declared the following distributions on our common shares.

Declaration Date

Record Date

Payment Date

Distribution Per Share

January 8, 2026

January 30, 2026

February 27, 2026

$

0.08

February 9, 2026

February 27, 2026

March 31, 2026

0.08

March 9, 2026

March 31, 2026

April 30, 2026

0.08

April 7, 2026

April 30, 2026

May 29, 2026

0.08

May 7, 2026

May 29, 2026

June 30, 2026

0.08

Investment Portfolio

The following table summarizes the composition of the investment portfolio as of March 31, 2026.

(In thousands)						Amortized Cost						Fair Value						% of Total Investments
U.S. CLO debt						$	129,681					$	117,708					38.2		%
European CLO debt						33,379						27,416						8.9		%
Total CLO debt						163,060						145,124						47.1		%
U.S. CLO equity						204,092						159,597						51.8		%
European CLO equity						5,341						3,217						1.0		%
Total CLO equity						209,433						162,814						52.8		%
Total CLO debt and equity						372,493						307,938						99.9		%
Other investments						446						425						0.1		%
Total investments						$	372,939					$	308,363					100.0		%

Credit Hedges

The following table summarizes our credit hedges, expressed in estimated notional equivalents(1) of the Markit CDX North American High Yield Index (the "Index"), as of March 31, 2026:

(In thousands)						Estimated Index Equivalents
Credit Hedges(2)						$	(187,462)

(1)Notional equivalents are estimated based on historical price relationships between credit hedges (and/or their underlying components) and the Index, together with other factors. Our estimations of price relationships between instruments may change over time, and actual price relationships experienced may differ from those previously estimated.

(2)Corporate credit hedges may include CDS, ETFs, equities, total return swaps, and similar instruments referencing both single issuers and indices, as well as options, tranches, and other derivatives on such instruments.

Financing

On March 30, 2026, we enhanced our capital structure through the issuance of $54.0 million of unsecured long-term notes (the "Senior Notes"), which bear a fixed interest rate of 8.50% payable quarterly in arrears, and mature on March 30, 2031 unless earlier redeemed or repurchased. The Senior Notes trade on the New York Stock Exchange under the symbol "ELLA" and have been rated 'BBB' by Egan-Jones Ratings Company, a nationally recognized statistical rating organization. We elected the fair value option under ASC 825 for the Senior Notes, and accordingly, the Senior Notes are included on the Consolidated Statement of Assets and Liabilities under the caption "Unsecured borrowings, at fair value"; as a result of this election we expensed $2.3 million of debt issuance costs at the time of issuance.

The following table summarizes our outstanding borrowings as of March 31, 2026:

($ in thousands)						Outstanding Borrowing(1)
Reverse repurchase agreements						$	166,274
Unsecured borrowings						54,000
Total outstanding debt						$	220,274

(1)Represents outstanding principal amount of borrowing.

2

Results of Operations

The following table summarizes our operating results for the quarter ended March 31, 2026:

			Quarter Ended March 31, 2026
			U.S. CLO Debt						European CLO Debt						U.S. CLO Equity						European CLO Equity						Other(1)						Total						Total Per Share(2)
(In thousands, except share and per share amounts)
Interest income			$	4,613					$	1,015					$	6,128					$	26					$	384					$	12,166					$	0.32
Other investment income			-						-						146						-						-						146						-
Total investment income			4,613						1,015						6,274						26						384						12,312						0.32
Interest expense			(1,078)						(193)						(996)						(17)						(13)						(2,297)						(0.06)
Debt issuance costs(3)			-						-						-						-						(2,250)						(2,250)						(0.06)
Other expenses			-						-						-						-						(2,698)						(2,698)						(0.07)
Net investment income			3,535						822						5,278						9						(4,577)						5,067						0.13
Net realized gain (loss) on investments			517						(71)						(63)						(386)						29						26						-
Change in net unrealized gain (loss) on investments			(8,890)						(3,586)						(24,730)						107						(26)						(37,125)						(0.99)
Credit and foreign currency hedges, and other activities																											(238)						(238)						-
Net income (loss)			$	(4,838)					$	(2,835)					$	(19,515)					$	(270)					$	(4,812)					$	(32,270)					$	(0.86)
Net income (loss) per share(2)			$	(0.13)					$	(0.07)					$	(0.52)					$	(0.01)					$	(0.13)					$	(0.86)

(1) Includes interest income and net realized and change in unrealized gains (losses) associated with corporate debt and equity investments. Also includes management fees, performance fees, and various other operating expenses.

(2) Based on weighted average shares outstanding of 37,572,206 shares for the quarter ended March 31, 2026.

(3) Includes $1.7 million of underwriters' fees related the issuance of the Senior Notes, for which we have elected the fair value option, and $0.6 million of professional fees and other expenses incurred in connection with such issuance.

The following table summarizes our operating results for the quarter ended December 31, 2025:

			Quarter Ended December 31, 2025
			U.S. CLO Debt						European CLO Debt						U.S. CLO Equity						European CLO Equity						Other(1)						Total						Total Per Share(2)
(In thousands, except share and per share amounts)
Interest income			$	4,870					$	1,311					$	6,573					$	439					$	263					$	13,456					$	0.35
Other investment income			-						-						215						-						-						215						0.01
Total investment income			4,870						1,311						6,788						439						263						13,671						0.36
Interest expense			(1,299)						(217)						(791)						(29)						-						(2,336)						(0.06)
Other expenses			-						-						-						-						(3,584)						(3,584)						(0.09)
Net investment income			3,571						1,094						5,997						410						(3,321)						7,751						0.21
Net realized gain (loss) on investments			121						240						75						222						12						670						0.02
Change in net unrealized gain (loss) on investments			(4,707)						(2,523)						(18,633)						(1,622)						(41)						(27,526)						(0.74)
Credit and foreign currency hedges, and other activities																											(1,962)						(1,962)						(0.05)
Net income (loss)			$	(1,015)					$	(1,189)					$	(12,561)					$	(990)					$	(5,312)					$	(21,067)					$	(0.56)
Net income (loss) per share(2)			$	(0.03)					$	(0.03)					$	(0.33)					$	(0.03)					$	(0.14)					$	(0.56)

(1) Includes interest income and net realized and change in unrealized gains (losses) associated with corporate debt and equity investments. Also includes management fees, performance fees, and various other operating expenses.

(2) Based on weighted average shares outstanding of 37,570,694 shares for the quarter ended December 31, 2025.

3

CLO Performance

The quarter ended March 31, 2026 began on a constructive note, with credit spreads tightening and leveraged loan prices rising early in the year. However, market sentiment deteriorated as the quarter progressed, driven by growing concerns about the potential disruptive effects that artificial intelligence could have on corporate borrowers in the software sector. Broadly syndicated loans to the software sector, which represent roughly 11%4 of all CLO loan collateral, posted a negative total return of (5.5%)4 for the quarter, creating a significant drag on the performance of the wider CLO market. These pressures were compounded by broader macroeconomic volatility, including escalating geopolitical tensions. As a result, credit spreads widened materially, and prices on the Morningstar LSTA US Leveraged Loan Index fell 2.2% from their January peak through quarter end. The European leveraged loan market faced similar price declines.

This weakness in leveraged loans drove broader spread widening across CLO debt tranche spreads during the quarter, with performance diverging sharply by credit quality. Senior tranches (AAA through A) were relatively resilient, outperforming both investment-grade and high-yield corporate bond indices. In contrast, lower-rated CLO debt experienced significant spread widening, particularly BB-rated tranches, where heavy selling pressure-driven by heightened credit concerns and sector-specific weaknesses-led to underperformance.

Meanwhile, elevated default concerns weighed heavily on CLO equity valuations, particularly for CLOs with higher exposure to lower-rated loans. These pressures were further compounded by the continued compression of net interest margins within most CLOs, particularly earlier in the quarter, which reduced the excess interest available to CLO equity tranches. Overall, CLO equity generated significant losses for the quarter, as both excess interest and CLO liquidation values declined simultaneously. These effects were even more pronounced for European CLO equity tranches.

Our investment portfolio generated negative results for the quarter, as unrealized losses concentrated in CLO equity exceeded net investment income, trading gains on mezzanine debt, and gains from the call of mezzanine debt positions held at discounts to par. At March 31, 2026, our CLO portfolio had a fair value of $307.9 million and a weighted average projected yield of 16.6% (based on fair value), and we held cash and cash equivalents of $57.7 million.

Net Asset Value Summary

The following table summarizes our assets and liabilities as of March 31, 2026:

(In thousands, except share and per share amounts)						March 31, 2026
Assets
Investments, at fair value						$	308,363
Cash and cash equivalents						57,726
Other assets						20,838
Total assets						386,927
Liabilities
Reverse repurchase agreements						166,274
Unsecured borrowings, at fair value						54,000
Other liabilities						12,831
Total liabilities						233,105
Net asset value						$	153,822
Common shares outstanding						37,579,569
Net asset value per common share						$	4.09

About Ellington Credit Company

Ellington Credit Company (the "Fund") is a non-diversified closed-end fund that seeks to provide attractive current yields and risk-adjusted total returns by investing primarily in corporate collateralized loan obligations ("CLOs"), with a focus on mezzanine debt and equity tranches. The Fund is externally managed and advised by an affiliate of Ellington Management Group, L.L.C., a leading fixed-income investment manager founded in 1994. The Fund benefits from Ellington's extensive experience and deep expertise in portfolio management, credit analysis, and risk management.

4 Source: Nomura CLO Special Topics

4

Conference Call

We will host a conference call at 11:00 a.m. Eastern Time on Wednesday, May 20, 2026 to discuss our financial results for the quarter ended March 31, 2026. To participate in the event by telephone, please dial (800) 343-4849 at least 10 minutes prior to the start time and reference the conference ID: EARNQ426. International callers should dial (203) 518-9848 and reference the same conference ID. The conference call will also be webcast live over the Internet and can be accessed via the "For Investors" section of our web site at www.ellingtoncredit.com. To listen to the live webcast, please visit www.ellingtoncredit.com at least 15 minutes prior to the start of the call to register, download, and install necessary audio software. In connection with the release of these financial results, we also posted an investor presentation, that will accompany the conference call, on our website at www.ellingtoncredit.com under "For Investors-Presentations."

A dial-in replay of the conference call will be available on Wednesday, May 20, 2026, at approximately 2:00 p.m. Eastern Time through Wednesday, May 27, 2026 at approximately 11:59 p.m. Eastern Time. To access this replay, please dial (800) 934-2750. International callers should dial (402) 220-1142. A replay of the conference call will also be archived on our web site at www.ellingtoncredit.com.