Good morning, everyone. Thank you for your patience. Welcome to the Ellington Credit Company conference call discussing the results for the fiscal quarter ending December 31, 2025. This call will be recorded. Now, I will hand it over to Alaael-Deen Shilleh, Associate General Counsel. Please proceed.

Thank you. Before we begin, I would like to remind everyone that this conference call may include forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. These statements are not historical in nature and involve risks and uncertainties detailed in our registration statement on Form N-2. Actual results may differ materially from these statements, so they should not be considered to be predictions of future events. The fund undertakes no obligation to update these forward-looking statements. Joining me today are Larry Penn, Chief Executive Officer of Ellington Credit Company; Greg Borenstein, Portfolio Manager; and Chris Smernoff, Chief Financial Officer. Our earnings conference call presentation is available on our website, ellingtoncredit.com. Today's call will track that presentation, and all statements and references to figures are qualified by the important notice in end notes at the back of the presentation. With that, I'll turn it over to Larry.

Thanks, Alaael-Deen, and good morning, everyone. We appreciate your time and interest in Ellington Credit Company, which we often refer to by its New York Stock Exchange ticker, E-A-R-N or EARN. Please turn to Slide 3. The fourth calendar quarter was the most challenging market environment for CLO equity since mid-2022 and before that, since the COVID crisis. Thanks to our active and disciplined portfolio management strategy, Ellington Credit was able to limit fund losses to approximately 9% of NAV, once again outperforming the overall peer set. The CLO equity market was impacted by many of the same factors in the leveraged loan market, particularly elevated credit dispersion and ongoing coupon spread compression. Those same factors that dominated performance in prior quarters. Put simply, weaker credits underperformed, while stronger borrowers continued to refinance and reprice at tighter yield spreads. These factors continued to pressure leveraged loan prices and reduce excess interest across the vast majority of the CLO market. Together, these dynamics weighed heavily on CLO equity performance, leading to lower projected cash flows and weaker mark-to-market valuations with year-end technical selling further compounding the weakness. As estimated by Nomura Research, the median CLO equity return for the quarter was negative 9% and for the full year, negative 14%. For Ellington Credit, our relative up in credit bias and active trading strategy helped mitigate these headwinds. CLO mezzanine debt tranches, which have been a focus of our investment activity in recent months, proved more resilient and opportunistic trading contributed positively to results. As shown on Slide 3, yield spreads did widen on CLO debt tranches, but the move was much more contained than the dislocation seen in CLO equity. Last year, following our conversion to a CLO closed-end fund on April 1 and continuing through the fourth calendar quarter, we steadily increased our allocation to CLO mezzanine debt tranches, which we believed offered a compelling balance of yield and downside protection by virtue of their structural credit enhancement. Reflecting the strategic shift, approximately 70% of our CLO purchases during this 9-month period were mezzanine debt tranches. Meanwhile, we also identified select CLO equity opportunities in the secondary market while generally avoiding new issue CLO equity where pricing dynamics were mostly unattractive. In the fourth quarter, we also benefited as we did throughout much of last year from several mezzanine positions being redeemed at par that we had purchased at discounts, generating realized gains. Those redemptions, coupled with opportunistic trading, offset some of the portfolio growth from new mezzanine investment activity. Nevertheless, the proportion of debt in our CLO portfolio grew substantially, ending the year at just under 50%, up from roughly 1/3 at our April 1 conversion. Active trading once again played an important role in our relative outperformance. We executed 47 unique CLO trades during the quarter, excluding deal liquidations, and we actively managed our credit hedges. We redeployed our October interest payments and equity distributions into higher-quality deleveraging mezzanine debt positions while trimming higher dollar priced, longer spread duration mezzanine debt profiles where we saw less favorable risk-reward. We also took advantage of notable spread concessions in the new issue debt market to add BB-rated tranches at significantly higher yields. On the equity side, we remained selective, steering clear of more levered and lower quality profiles. This active approach allowed us to mitigate downside pressure, harvest gains opportunistically, and reposition the portfolio for better risk-adjusted returns. The real-time information that comes with this level of trading activity is especially valuable in these high volatility market environments. On Slide 6, you can see that we actually recorded positive realized gains in each subsector for the quarter. All that said, as previously reported in our monthly NAV updates, the magnitude of the market-wide decline in CLO equity valuations led to a drop in the fund's NAV and therefore, a net quarterly loss overall. Not all losses are created equal, however. While price declines emanating from underlying loan losses and from refinancing and repricings of premium loans are irreversible, a portion of the decline in our quarterly NAV was driven by credit spread widening rather than realized credit impairment or fundamental deterioration. As a result, a portion of these mark-to-market losses could reverse if and when market conditions normalize. Now please turn to Slide 10 for an overview of our credit hedges, which we increased significantly during the fourth quarter. With corporate credit spreads remaining tight relative to CLO spreads, we were able to add this protection efficiently and at attractive levels. As shown on Slide 10, we increased our credit hedge portfolio to roughly $175 million of high-yield CDX bond equivalents by year-end. That's approximately 90% of our NAV. So these hedges represent a very significant level of protection. Credit markets have had no shortage of headlines to digest from the collapses of Tricolor and First Brands to growing concern over software sector borrowers facing AI-driven disruption. In short, while the fourth quarter was challenging for CLOs broadly, our disciplined and active portfolio management cushioned the impact, drove EARN's relative outperformance and positioned us to play offense in what we believe is an increasingly opportunity-rich investment environment as we move forward into 2026. I'll now turn it over to Chris to discuss the financial results in more detail.

Thanks, Larry, and good morning, everyone. Please turn to Slide 4. For the fourth calendar quarter, we reported a GAAP net loss of $0.56 per share. On Slide 6, you can see a breakout of portfolio net income by CLO subsector. Significant mark-to-market losses on CLO equity drove our net loss for the quarter, while CLO mezzanine debt held up better by comparison. In the U.S. leveraged loan market, performance diverged sharply by credit quality during the quarter. Lower rated CCC loans came under significant pressure from elevated CLO reset and liquidation activity and rising defaults while premium priced loans continued to refinance at par. Against that backdrop, CLO debt spreads widened and CLO equity bore the brunt of the weakness as spread compression and credit deterioration among weaker loans drove simultaneous declines in both excess interest and underlying asset values. Higher quality seasoned mezzanine tranches proved more resilient. In Europe, the story was more nuanced as loans underperformed their U.S. counterparts, while CLO debt tranche spreads for the most part, held up better by comparison. Within our CLO mezzanine debt portfolio, net interest income and trading gains, together with the positive impact of deal calls on positions owned at discounts to par offset the majority of mark-to-market write-downs. Credit hedges were also a drag on results, reflecting strong performance in the broader credit and equity markets during the period. Net interest income declined by $0.02 sequentially to $0.21 per share for the quarter, driven by lower asset yields and portfolio turnover. The weighted average GAAP yield for the quarter on our CLO portfolio was 13.7%, down from 15.5% in the prior quarter. Slide 7 illustrates a modest sequential decline in the size of our overall CLO portfolio. During the quarter, we made new purchases totaling $66 million, 60% in CLO debt and 40% in CLO equity, and we sold $19 million of CLOs, consistent with our active trading approach. At December 31, CLO equity represented 52% of total CLO holdings, roughly unchanged from the prior quarter, while European CLO investments accounted for 12%, down from 14% at September 30. Slide 8 provides an overview of the corporate loans underlying our CLO investments. The collateral remains predominantly first lien floating rate leveraged loans, representing roughly 95% of the underlying assets. Our industry exposure is well diversified, led by technology, financial services and health care with no single sector exceeding 11%. Loan maturities are spread over several years with the largest concentrations in 2028 and 2031 and low concentrations of near-term maturities, producing a weighted average loan maturity of 4.3 years. Facility size is skewed towards larger borrowers with 44% in facilities over $1.5 billion and a weighted average size of $1.6 billion, which supports liquidity. Slide 9 provides further detail on our underlying loan collateral. Slide 10 presents a snapshot of our credit hedges as of year-end. As Larry noted, we further increased our corporate credit hedges during the quarter with that portfolio equal to roughly 90% of our net asset value as of December 31. We also maintained a foreign currency hedge portfolio to manage exposure from our European CLO investments. Turning to Slide 11. At December 31, our NAV was $5.19 per share and cash and cash equivalents totaled $24.3 million. Our net asset value based total return for the quarter was negative 9.1%. With that, I'll pass it over to Greg to discuss the CLO market environment, our portfolio positioning and our outlook.

Thanks, Chris. It's a pleasure to speak with everyone today. Overall, calendar Q4 was challenging for junior CLO tranches, especially CLO equity. Many of the themes that weighed on CLO equity through 2025 continued and even accelerated in Q4, further hurting performance. While CLO mezzanine tranches also saw muted returns, they outperformed CLO equity and EARN's increased allocation to mezz benefited the fund and helped mitigate some losses. Further, the weakness in CLO equity was more pronounced in the new issue space than in the secondary market. And once again, EARN stayed away from participating in new issue equity transactions during the quarter. We've only participated in one new issue equity transaction in the 11 months following our conversion. Calendar Q4 was one of the most difficult quarters for CLO equity in recent memory. Continued dispersion weighed heavily on performance as fundamental issues in lower quality credits paired with continued coupon spread compression and better quality credits pressured both interest cash flows and NAV valuations. In addition, because CLO liabilities generally have longer non-call periods than the underlying loans, CLO managers had limited ability to refinance or reset debt tranches at lower financing costs. As a result, CLOs were largely unable to capture the benefit of lower rates at the liability level, which could otherwise have helped offset the effects of coupon spread compression on equity cash flows. That said, entering 2026, more than 40% of EARN's U.S. CLO portfolio consists of deals scheduled to exit their non-call periods before year-end. As these deals become refinanceable, liability refinancings and resets at tighter spreads could help mitigate the drag from coupon spread compression should the market conditions permit. In the fourth quarter, CLO new issue volumes were constrained by a weak arbitrage. And as noted, the fund continued to avoid new issue equity. There has increased attention on the impact of manager-controlled captive funds on new issue pricing dynamics. While that discussion has merit, we believe there are also significant structural and technical factors that warrant caution on new issue equity. We have seen more attractive opportunities in secondary trading, which continues to play to Ellington's strength as an active trader. The subordination levels and structural protections remain paramount in guarding against continued idiosyncratic and sector-specific credit issues. We continue to favor defensive CLO mezzanine positions, which greatly outperformed equity on the quarter. Mezzanine debt is far less vulnerable to coupon spread compression than equity. That said, following the recent drop in loan prices, only about 15% of the universe were priced above par as of the end of February. Prepayment risk on CLO equity has definitely abated. That 15% level is down from 57% coming into the year and marks the lowest level since last April's tariff shocks. Given our active trading approach and relative value framework, we continually reassess our mezz to equity weighting as the opportunity set evolves. In Europe, spreads widened less than on debt tranches relative to the U.S. You can see that on Slide 3, and we were able to monetize gains and rotate capital, reducing our overall European exposure as a result. While similar credit dispersion dynamics emerged during the fourth quarter, CLO equity in Europe avoided the same degree of spread compression seen in the U.S. So far in 2026, CLO equity and mezzanine to a lesser degree, has continued to underperform with weakness spreading into broader markets amid concerns around software and AI-related credits. More than ever, I believe that our active trading, focus on liquidity, disciplined risk management and use of tail hedges, have earned well positioned to take advantage of dislocations and generate alpha through periods of volatility. Now back to Larry.

Thanks, Greg. First, I'd like to step back from the quarterly results and reflect on the full 2025 calendar year because I think the bigger picture provides important context for where we stand today. 2025 was a transformative year for Ellington Credit. We completed our conversion to a CLO closed-end fund on April 1. And in the days that followed, we efficiently liquidated all remaining mortgage-related assets with minimal NAV impact despite all the market turmoil around the tariff announcements. Given all that volatility, we are particularly proud of how smoothly this went. It was a clean and well-executed transition that positioned us to focus exclusively on the CLO opportunity set going forward. Following conversion, we methodically built out our CLO portfolio, expanding it by nearly 50% to $370 million by calendar year-end and adding credit hedges in lockstep with that expansion. We executed 218 CLO trades during this 9-month period, comprising $272 million of purchases and $63 million of sales, excluding redemptions. Relative to other CLO-focused closed-end funds, we delivered both a meaningfully stronger and significantly less volatile earnings stream, a direct reflection of our disciplined and highly active approach to portfolio construction and risk management. Second, I'll turn to our activity so far in 2026. January and February continued to reflect more of the same difficult market dynamics. CLO equity remained under significant pressure with the underlying credit concerns outlined earlier continuing to weigh on sentiment. Meanwhile, mezzanine debt continued to hold up comparatively well. For January, I'm pleased to report that EARN once again outperformed its peer set, ending the month with an NAV per share of $5.04. February was an even tougher month for the sector, which we think has created many more opportunities. In terms of portfolio activity, our overall portfolio was smaller given the decline in NAV, but we've continued to add mezzanine debt positions, particularly in deleveraging BB tranches. We have also been active recently in exercising CLO call options, generating realized gains on debt tranches purchased at discounts to par. In addition, we've recently collapsed certain CLOs where we held discount positions, which has further strengthened the credit profile of our remaining portfolio and helped to build up liquidity in a highly volatile environment. While more than 3/4 of our purchases in 2026 have been mezzanine debt, we have also selectively increased our CLO equity holdings where we see compelling value, such as deals with mispriced call optionality where we believe the sell-off has been overdone and entry points are attractive. We have also been disciplined about maintaining very substantial credit hedges. Given the dispersion we've seen in the corporate credit market, our credit hedges haven't yet been able to offset the declines in CLO equity prices, but we continue to view them as an indispensable part of our portfolio management strategy. This is all the more true today given that overall yield spreads in the corporate credit markets continue to be relatively tight when viewed on a historical basis. Finally, looking ahead, we are focused on rebuilding net investment income and net asset value as we deploy capital into what is looking more and more like a distressed market. For more passive strategy, that environment only creates headwinds. For us, we see it as fertile ground, creating the kind of relative value and trading opportunities where active trading and disciplined risk management can add meaningful value. Furthermore, and as noted earlier, we continue to believe that a substantial portion of the recent price declines are reversible since they reflect yield spread widening rather than fundamental credit impairment. Equally importantly, we have yet to tap the capital markets as a closed-end fund issuer. We are exploring the potential issuance of long-term unsecured debt in the coming weeks, which will supply us with a significant additional dry powder at a potentially ideal time. We believe the current environment characterized by dislocations and expanding relative value opportunities is especially well suited to our active investing and trading approach, and we look forward to updating you on our progress next quarter. With that, let's open the floor to Q&A. Operator, please proceed.

Our first question will come from Crispin Love with Piper Sandler.

This is Ben Graham in for Crispin Love. You mentioned earlier that your portfolio is very diversified by industry and that no sector exceeds 11% exposure in your portfolio. And obviously, there's a lot of negative headline attention around software, etc. So I'm just wondering what your stance is on sentiment there. And then if there are any other sectors that you're particularly excited about.

Go ahead, Greg.

Sure. So I think the way we think about this, this is a lot of the benefit of CLOs. There's a lot of diversification by sector and then there's diversification by name. You see some headlines with what's going on maybe in areas of private credit. But in some of those vehicles, things can be pretty chunky. The same thing goes for certain areas of the middle market and private credit CLO market even. So if you're going to have large single name exposure, you just have much more idiosyncratic risk. We find this to be far harder to control. And so given our whole risk management framework and process, I think we generally feel more comfortable that as long as our portfolio is representative of the overall market, be it percentage of sectors, percentage of names, things like that. Overall, it just becomes more statistical for us to handle the risk in regards to views on specific sectors, there is certainly damage done in software, and the sector has sold off a lot. I think from the way that we look at the credits, the way that we speak to our managers who are looking at the credits, there's going to be winners and losers, which has been the story of a lot of things over the last year. And so in some cases, you might have names that have real warning signs and we should be concerned about and others may be pushed down in sympathy with managers reducing overall sector exposure. I don't think we have a strong view if loan prices are specifically weak or cheap on a name-by-name basis within the sector. I think it's just important to keep these exposures appropriately in line.

Our next question will come from Jason Weaver with JonesTrading.

First, I wonder if you could help us quantify the proportion of loans underlying the portfolio that are CCC rated or lower.

Greg, do you happen to have that at your fingertips?

I don't have that information readily available. However, generally speaking, a lot of these typically operate around 7.5% for CCC rated loans in CLOs. I can provide an exact percentage upon further review. The level of exposure can vary on a deal-by-deal basis. For instance, if we hold a well-supported mezzanine tranche, our exposure may not be as significant compared to holding an equity tranche in a deal with a certain amount of CCC exposure. The CLO loan index is approximately 4.4%. Given our diversification and demand for equity across various deals with many underlying loans, I would estimate that our exposure is not too far off from the 4.4% figure noted in the overall CLO market.

Sorry, I was just going to say we'll consider adding that to our monthly term sheet.

Okay. And then turning back to the credit hedges. In January, the update indicated that you had slightly reduced the $175 million position. Can you help us understand the amount of negative carry from those positions? At the current high yield levels, I see something around $0.04 per quarter, but perhaps you executed those at a tighter spread.

Well, I think first, maybe, Greg, you can speak to the carry question. In terms of trimming the size of the credit portfolio, the loan portfolio also declined. Both declines are modest, 12/31 to 1/31, but it was a smaller credit hedge portfolio in lockstep with a slightly smaller loan portfolio. Greg, do you want to comment on the kind of the drag you're seeing from the credit hedges on a go-forward basis?

Sure. Overall, we have seen some experiences and trends this year. For instance, the impact has been quite minimal because there has been some widening in high yield year-to-date. It's important to remember that we specifically target our hedges for larger drawdown scenarios, and we are very conscious of any drag. The protection we have is better suited for significant shocks, comparing our current holdings to the ongoing drag. I can provide the precise figures as of today, but these numbers fluctuate based on market changes. We have been actively repositioning and rotating in response to the volatility. When reviewing it, some of our shorts may involve a more liquid high-yield index while others could be in loan form, addressing specific loan issues, along with various types of puts and payers. Overall, my rough estimate suggests that we are experiencing an overall drag that translates to about 1% to 2% of fund NAV annually. Given the current environment and associated risks, we believe this is a small and reasonable cost for the level of protection we receive if volatility or a drawdown becomes a prolonged issue this year.

Even 2% would be less than $0.01 a month, well worth it.

We do, once again, to reiterate by keeping the protection focused more out-of-the-money options, it really does substantially reduce the cost to believe it's protected. To locally more heavily protect, I think the issues become, one, the cost obviously will weigh heavily. And then two, the basis risk, right? The issues that happen that you're exposed to in terms of really tail load names on the capital structure is not easily controllable when you talk about using more liquid indices, right? You would have seen, for example, loans underperform things like high yield or underperform anything in equities. And so we're also mindful around the accuracy and efficacy of the hedge we use, right? And there are a lot of different basis risks. And so we are mindful.

Got it. That's helpful. And the sort of decomposition of it would be interesting to see. We're just looking at it from looking at high-yield CDX, and that's what you put as equivalents. But obviously, there's much more basis of using individual positions. So I appreciate the color.

But it's not...

All be published...

Yes. It's not so much single name positions though. That's not what we're doing. It is more in broad-based CDX and similar instruments.

It's important to note that you'll see various types of indices, potentially ETFs, involved. We own a significant amount of tranches supported by many loans in the CLO market, which provides substantial diversification and allows us to be more data-driven. By utilizing indices, we can similarly represent our position. Our strength does not lie in making single-name bets, unless there's a significant reason for such exposure. Generally, we prefer to avoid single-name positions, both on the long and short sides. Our investment strategy includes instruments such as the CDX high-yield index, out-of-the-money IWM puts, loan ETF shorts, credit index tranches, and loan ETF puts. We focus on different segments of the market that offer various values for protection, and we adjust our approach as our portfolio and long positions evolve, which helps us manage risk effectively.

Our next question will come from Eric Hagen with BTIG.

All right. So obviously, a lot of attention on redemptions for asset managers right now. The question is how much of a knock-on effect do you see between redemptions and conditions and spread widening in the CLO market?

Greg?

Well, I think that one thing to point to is maybe some redemptions you've seen in things like JAAA, right? That ETF will actually sort of move as flows come in and out, and it's more easily trackable. And so listen, I think the concerns around loans, concerns around where interest rates may go, right, has certainly led to what may drive that. Floating rate funds, there's other ETFs that I think have similar to JAAA, which is the big one in the space, have experienced a similar situation. I mean this is what we're sort of looking for as an active trader, it creates great opportunity for us with flows moving from A to B, lots of folks repositioning their portfolios. There's a lot of rotations even from some of these ETFs where it's not necessarily inflows, outflows, but maybe they're rotating, right? And as there's much more active market as price discovery settles in, it's really beneficial in terms of being able to actually actively trade to maneuver. So it's been something we've honestly look forward to.

Okay, that's interesting. The next question is more about the general processes involved in addressing potential defaults, including the timeline and structure for handling them. Would you say it’s essentially a binary outcome when it comes to recovering potential proceeds, or is the severity typically always 100% in the CLO market?

Historically, when examining leveraged loans, recoveries are typically above zero. Although recoveries have decreased over time, there's substantial historical data indicating that recoveries were around 70%, though it has likely diminished a bit since then. Regarding CLOs, we assess something called par burn, which reflects the overall loss from a deal, taking into consideration that not all losses are classified as defaults. For instance, a distressed exchange may not count as a technical default, but typically involves some loss. In CLOs with underlying leveraged loans, the average annual par burn or loss rate is around 75 basis points, which gives a realistic view of the situation. While loans do default, recoveries are still occurring, though they can vary significantly. Some recoveries may be close to zero, while others could be higher, making it very deal-specific. Factors like liability management exercises and the sponsors’ approaches play a role as well. Generally, defaults and losses have increased as we’ve seen various issues arise, but CLOs have experienced fewer challenges compared to private credit. Broadly syndicated loans offer clear transparency and are actively priced, allowing for better tracking of their values. We remain cautious about where losses could trend, especially given that losses were above historical averages last year. The specific concerns within sectors make us hesitant to increase equity exposure, particularly since first loss CLOs are directly affected by any defaults that might happen.

That was our final question for today. We thank you for your participation in the Ellington Credit Company Fiscal Quarter ended December 31, 2025 Results Conference Call. You may now disconnect the line and have a great day.