Ellington Credit Company Announces Financial Results for the Third Fiscal Quarter Ended December 31, 2025 (Form 8-K)

Ellington Credit Company Announces Financial Results for the Third Fiscal Quarter Ended December 31, 2025

OLD GREENWICH, Connecticut-March 4, 2026-Ellington Credit Company (NYSE: EARN) ("we") today reported financial results for the quarter ended December 31, 2025.

Highlights

•Net asset value (NAV) per share was $5.19 as of December 31, 2025, which includes the effects of distributions of $0.24 per share for the quarter.

•GAAP net income (loss) was $(21.1) million or $(0.56) per share.

•Net investment income ("NII") was $7.8 million, or $0.21 per share.

◦Adjusted net investment income1 was $7.8 million, or $0.21 per share.

•CLO portfolio was $369.5 million as of December 31, 2025.

◦CLO debt investments-$176.9 million.

◦CLO equity investments-$192.6 million.

◦Purchased $65.8 million of CLO investments and sold $17.4 million, across 47 trades.

•Weighted average GAAP yield2 for the quarter was 13.7% on the total CLO portfolio.

•Received $19.1 million in recurring cash distributions3 from the investment portfolio, or $0.51 per share.

Management Commentary

"The fourth calendar quarter was challenging for the CLO equity market. For Ellington Credit, our relative up-in-credit bias and active trading strategy helped partially offset the challenges, as CLO mezzanine debt tranches, which have been a focus of our investment activity in recent months, proved more resilient, and with opportunistic trading contributing positively to results," said Laurence Penn, Chief Executive Officer and President.

"Thanks to our portfolio management strategy, Ellington Credit delivered another quarter of outperformance relative to its peer set. Nevertheless-and as previously reported in our monthly NAV updates-the underperformance in the CLO equity market resulted in a significant drop in our NAV, and thereby a net loss for the quarter overall. We believe that a meaningful portion of the drop in NAV reflected credit spread widening rather than fundamental deterioration, so a substantial portion of these losses could reverse should market conditions normalize.

"Moving forward, we believe that the recent headwinds in CLO equity, spanning the fourth quarter and continuing into 2026, are repricing that market and expanding the opportunity set in a very meaningful way. As a result, while early in 2026 we had favored purchases of mezzanine debt, we now expect to selectively increase our CLO equity position as opportunities arise.

"I am confident that the current market environment plays precisely to our strengths in active investing and trading. Coupled with our substantial credit hedging portfolio coming into 2026, I believe that we are well positioned to capitalize on market dislocations and deliver attractive risk-adjusted returns for shareholders."

Distributions

During and subsequent to the quarter ended December 31, 2025, our Board of Trustees declared the following distributions on our common shares.

Declaration Date

Record Date

Payment Date

Distribution Per Share

October 7, 2025

October 31, 2025

November 28, 2025

$

0.08

November 10, 2025

November 28, 2025

December 31, 2025

0.08

December 4, 2025

December 31, 2025

January 30, 2026

0.08

January 8, 2026

January 30, 2026

February 27, 2026

0.08

February 9, 2026

February 27, 2026

March 31, 2026

0.08

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

Investment Portfolio

The following table summarizes the composition of the investment portfolio as of December 31, 2025.

(In thousands)						Amortized Cost						Fair Value						% of Total Investments
U.S. CLO debt						$	139,295					$	136,212					36.8		%
European CLO debt						41,831						40,700						11.0		%
Total CLO debt						181,126						176,912						47.8		%
U.S. CLO equity						207,087						187,323						50.7		%
European CLO equity						7,111						5,231						1.4		%
Total CLO equity						214,198						192,554						52.1		%
Total CLO debt and equity						395,324						369,466						99.9		%
Other investments						418						419						0.1		%
Total investments						$	395,742					$	369,885					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 December 31, 2025 and September 30, 2025:

						Estimated Index Equivalents
(In thousands)						December 31, 2025						September 30, 2025
Credit Hedges(2)						$	(174,824)					$	(90,568)

(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)Includes CDS on corporate indices and options on corporate indices and ETFs.

Results of Operations

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.

2

The following table summarizes our operating results for the quarter ended September 30, 2025:

			Quarter Ended September 30, 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			$	5,161					$	1,256					$	6,728					$	420					$	281					$	13,846					$	0.37
Other investment income			-						-						305						-						-						305						0.01
Total investment income			5,161						1,256						7,033						420						281						14,151						0.38
Interest expense			(1,296)						(208)						(435)						(25)						-						(1,964)						(0.05)
Other expenses			-						-						-						-						(3,702)						(3,702)						(0.10)
Net investment income			3,865						1,048						6,598						395						(3,421)						8,485						0.23
Net realized gain (loss) on investments			907						223						235						(88)						(16)						1,261						0.03
Change in net unrealized gain (loss) on investments			(61)						(39)						(3,638)						(413)						54						(4,097)						(0.11)
Credit and foreign currency hedges, and other activities																											(1,369)						(1,369)						(0.04)
Net income (loss)			$	4,711					$	1,232					$	3,195					$	(106)					$	(4,752)					$	4,280					$	0.11
Net income (loss) per share(2)			$	0.13					$	0.03					$	0.08					$	-					$	(0.13)					$	0.11

(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 37,563,048 shares for the quarter ended September 30, 2025.

CLO Performance

During the quarter ended December 31, 2025, prices in the U.S. leveraged loan market broadly declined, with performance diverging sharply by credit quality. Lower-quality CCC-rated loans saw significant price declines, driven in particular by elevated supply from CLOs being reset or liquidated. Reset CLOs typically must sell lower-rated loans to meet debt investor demands, while liquidated CLOs generally have exposure to seasoned portfolios (and hence carry greater exposure to lower-rated credits). Further compounding the weakness in CCC-rated loans was elevated default activity during the quarter. Higher-quality BB-rated loans, conversely, posted modestly positive total returns, as coupon interest more than offset price declines. Those price declines (-0.2% for the quarter) reflected ongoing repricing at lower rates, with price premiums giving way to new issuance at par with tighter spreads. These effects were more pronounced in the European leveraged loan market, where loan prices declined more than in the U.S. across credit ratings.

The weakness in leveraged loans, together with rising credit concerns, led to a widening of CLO debt spreads during the quarter. CLOs with greater exposure to lower-quality loans were most negatively impacted, while higher-quality, seasoned mezzanine debt tranches outperformed as loan prepayment and repricing activity remained elevated. Meanwhile, CLO equity was negatively impacted by loan coupon spread compression and continued weakness in CCC-rated credits. This combination of factors contributed to losses across most CLO equity profiles as both excess interest and underlying asset values in CLOs declined simultaneously.

Meanwhile, despite continued dispersion in credit performance within the high-yield corporate bond market, corporate credit spreads were modestly tighter overall; and equity indexes extended their strong performance, boosted by robust corporate earnings and interest rate cuts.

Our investment portfolio generated negative results for the quarter, as unrealized losses concentrated in CLO equity investments, along with credit hedge losses, exceeded net investment income, trading gains, and the positive impact of deal calls of mezzanine debt positions owned at discounts to par. As of December 31, 2025, our CLO portfolio had a fair value of $369.5 million and a weighted average projected yield of 14.6%, based on fair value, and we held cash and cash equivalents of $24.3 million.

3

Net Asset Value Summary

The following table summarizes our assets and liabilities as of December 31, 2025:

(In thousands, except share and per share amounts)						December 31, 2025
Assets
Investments, at fair value						$	369,885
Cash and cash equivalents						24,271
Other assets						20,807
Total assets						414,963
Liabilities
Reverse repurchase agreements						201,037
Other liabilities						18,892
Total liabilities						219,929
Net asset value						$	195,034
Common shares outstanding						37,568,800
Net asset value per common share						$	5.19

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.

Conference Call

We will host a conference call at 11:00 a.m. Eastern Time on Thursday, March 5, 2026 to discuss our financial results for the quarter ended December 31, 2025. 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: EARNQ326. 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 Thursday, March 5, 2026, at approximately 2:00 p.m. Eastern Time through Thursday, March 12, 2026 at approximately 11:59 p.m. Eastern Time. To access this replay, please dial (800) 839-5635. International callers should dial (402) 220-2561. A replay of the conference call will also be archived on our web site at www.ellingtoncredit.com.