Past
performance is not indicative of, or a guarantee of, future performance. Please review the Important Information. All data as of August
31, 2025 unless otherwise indicated. August2025 CommonStock Data as of8/31/2025CLO Portfolio Underlying Loan Data(4)(5)
NYSE Ticker:Net Asset Value Per Share (est.):(1)Total Market Capitalization:Closing Price Per Share:Premium /(Discount):(2)Distribution:Current
Distribution Rate:(3)Common Shares Outstanding: EARN$6.07 -$6.13$214.5 mm$5.71(6.4%)$0.08/Share Monthly16.8% 37.6mm
Number of Unique Underlying Loan Issuers: 2,267 Floating Rate Loan Spread: 3.30% Junior OCCushion:(6) 4.58% Percentage ofLoans that are
Senior Secured:(7) 95.9% Loan Credit Rating:(8) B+/B Loan Maturity: 4.2 years Loan Facility Size: $1.6 bn Currency: USD/EUR Exposure:
86%/14%
Notes
| 1. | Estimated
net asset value per common share is subject to change upon completion of the Fund’s
month-end and quarter-end valuation procedures relating to its investment positions, and
any such change could be material. There can be no assurance that the Fund’s estimated
net asset value per common share as of August 31, 2025 is indicative of what the Fund's results
are likely to be for the six-month period ending September 30, 2025 or in future periods,
and the Fund undertakes no obligation to update or revise its estimated net asset value per
common share prior to issuance of financial statements for such periods. |
| 2. | Premium/(Discount)
is calculated based on the midpoint of the Fund’s estimated net asset value per share
as of August 31, 2025. |
| 3. | Distribution
payments are not guaranteed and may be modified at the board's discretion. They are also
sourced from income, capital gains, and return of capital. Return of capital to investors
will result in the Fund having less money to invest, which could lower its overall return. |
| 4. | The
information presented herein is on a look-through basis to the collateralized loan obligation,
or “CLO”, tranches (both equity and mezzanine) held by the Fund as of August
31, 2025 and reflects the aggregate underlying exposure of the Fund based on the portfolios
of those investments. The data is estimated and unaudited (and therefore subject to change)
and is derived from CLO trustee reports received by the Fund relating to August 31, 2025
and from custody statements and/or other information received from CLO collateral managers
and other third party sources. Weighted averages shown unless otherwise indicated. |
| 5. | Includes
corporate bonds. |
| 6. | Wtd
Avg Junior OC Cushion is calculated solely with respect to positions in CLO equity tranches. |
| 7. | Represents
the percentage of the total collateral underlying our CLO investments (including both corporate
loans and bonds) that are characterized as senior secured loans. |
| 8. | In
calculating weighted average, loan credit ratings used are those assigned by Standard &
Poor’s (“S&P”) or, for loans without an S&P rating, the S&P-equivalent
rating of another rating agency that does/did rate the loan. |
| 9. | Past
performance is not indicative of, or a guarantee of, future performance. Total return is
based on EARN’s closing stock price during the applicable period and assumes that any
dividends or distributions are reinvested. For the purposes of these figures, EARN's "inception
date" is April 1, 2025, which is the date that EARN completed its conversion to a CLO-focused
closed-end fund registered under the 1940 Act. Future results may vary and may be higher
or lower than the data shown. A new fund's performance may not represent how the fund is
expected to or may perform in the long-term. The indices used herein are presented for illustrative
purposes only. Indices are unmanaged and are not subject to fees and expenses typically associated
with managed accounts or investment funds. Investments cannot be made directly into an index. |
| 10. | Industry
classifications are based on Moody’s industry categorization of each obligor as reported
in CLO trustee reports, to the extent such information is available. In cases where CLO trustee
reports do not provide an industry classification for an underlying obligor, it is treated
as unavailable in the industry information shown. As a result, the Fund’s actual exposure
to certain industries may be higher than what is presented if industry categories were available
for all obligors. |
| 11. | As
of June 30, 2025. The Fund is externally managed and advised by an affiliate of Ellington
Management Group, L.L.C. |
Important
Information
Investors
should consider Ellington Credit Company’s (the “Fund”) investment objectives, risks, charges and expenses carefully
before investing in securities of the Fund. The Fund’s registration statement contains this and other important information about
the fund. Investors should read the Fund’s registration statement and Securities and Exchange Commission (“SEC”) filings
(which are publicly available on the EDGAR database on the SEC website at www.sec.gov) carefully and
consider their investment goals, time horizons and risk tolerance before investing in the Fund.
Investors
should also consider the Fund’s investment objectives, risks, charges and expenses carefully before investing in securities of
the Fund. The investment program of the Fund is speculative and entails substantial risk, including the possible loss of principal. There
can be no assurance that Fund’s investment objectives will be achieved or that monthly distributions paid by the Fund will be maintained
at the targeted level or that distributions will be made at all. The Fund’s distributions may be funded from unlimited amounts
of offering proceeds or borrowings, which may constitute a return of capital and reduce the amount of capital available to the Fund for
investment. A return of capital to shareholders is a return of a portion of their original investment in the Fund, thereby reducing the
tax basis of their investment.
An
investment in the Fund is not appropriate for all investors and is not intended to be a complete investment program. Shares of closed-end
investment companies, such as the Fund, frequently trade at a discount from their net asset value, which may increase investors’
risk of loss. The Fund cannot predict whether its shares will trade at, below or above its net asset value.
The
Fund may invest primarily in below investment grade instruments, which are commonly referred to as “high yield” securities
or “junk” bonds. Investments in below investment grade securities are considered predominantly speculative with respect to
the issuer’s capacity to pay interest and repay principal when due and such issuers are not perceived as strong financially as
those with higher credit ratings. The Fund may invest a significant portion of its assets in CLO equity and mezzanine debt securities,
which often involve risks that are different from or more acute than risks associated with other types of credit instruments. Past
performance is not indicative of, or a guarantee of, future performance. The performance and certain other portfolio information
quoted herein represents information as of dates noted herein. Nothing herein shall be relied upon as a representation as to the future
performance or portfolio holdings of the Fund. Investment return and principal value of an investment will fluctuate, and shares, when
sold, may be worth more or less than their original cost. The Fund’s performance is subject to change since the end of the period
noted in this report and may be lower or higher than the performance data shown herein.
The
information in this communication is not complete and may be changed. The Fund may not sell any securities until it has filed a registration
statement with the SEC that seeks to register securities and has been made effective by the SEC.
The
information and its contents are the property of the Fund, is provided for general and educational purposes only, and is not intended
to provide legal, tax or investment advice. Further, this information does not constitute a solicitation of an offer to buy or sell shares
of the Fund, and is not for use to avoid penalties that may be imposed under U.S. federal tax laws. You should contact your own advisor
regarding your specific legal, investment and tax decisions. Any unauthorized dissemination, copying or use of this presentation is strictly
prohibited and may be in violation of law.
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 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.
For
additional information, visit http://www.ellingtoncredit.com.
Past
performance is not indicative of, or a guarantee of, future performance. Please review the Important Information.
All data as of August
31, 2025 unless otherwise indicated.