Ellington Credit Co (EARN) 2025 Q1 法說會逐字稿

Please stand by. We're about to begin. Good morning, ladies and gentlemen. Thank you for standing by. Welcome to the Ellington Credit Company fiscal quarter ended June 30, 2025, results conference call. Today's call is being recorded. (Operator Instructions) It is now my pleasure to turn the floor over to Alaael-Deen Shilleh, Associate General Counsel. Please go ahead, sir.

請稍候。我們就要開始了。女士們、先生們，早安。感謝您的支持。歡迎參加 Ellington Credit Company 截至 2025 年 6 月 30 日的財政季度業績電話會議。今天的通話正在錄音。（操作員指示）現在我很高興將發言權交給副總法律顧問 Alaael-Deen Shilleh。先生，請繼續。

Thank you. Before we begin, I'd 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 company undertakes no obligation to update these forward-looking statements.

謝謝。在我們開始之前，我想提醒大家，本次電話會議可能包含 1995 年《私人證券訴訟改革法案》安全港條款含義內的前瞻性陳述。這些陳述本質上不是歷史性的，並且涉及我們在 N-2 表格註冊聲明中詳述的風險和不確定性。實際結果可能與這些陳述有重大差異，因此不應將其視為對未來事件的預測。本公司不承擔更新這些前瞻性陳述的義務。

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 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 and end notes at the back of the presentation.

今天與我一起出席的還有 Ellington Credit Company 執行長 Larry Penn、投資組合經理 Greg Borenstein 和財務長 Chris Smernoff。我們的收益電話會議簡報可在我們的網站 ellingtoncredit.com 上查閱。今天的電話會議將延續該演示文稿，所有陳述和數據引用均受演示文稿背面重要通知和尾註的約束。

With that, I'll turn the call over to Larry.

說完這些，我會把電話轉給拉里。

Thanks, Alaael-Deen, and good morning, everyone. We appreciate your time and interest in Ellington Credit Company. Please turn to slide 3.

謝謝，Alaael-Deen，大家早安。我們感謝您對 Ellington Credit Company 的時間和關注。請翻到幻燈片 3。

Ellington Credit had an excellent quarter, which technically was the first fiscal quarter of our new fiscal year. In this, our first full quarter as a registered closed-end fund, we generated an annualized economic return of nearly 20% net and grew an $0.18 per share.

埃靈頓信貸 (Ellington Credit) 度過了一個出色的季度，嚴格來說這是我們新財年的第一個財政季度。這是我們作為註冊封閉式基金的第一個完整季度，實現了近 20% 的年化經濟回報率，每股收益為 0.18 美元。

Our strong results were driven by excellent performance across both CLO equity and mezzanine investments, as well as by the timely redeployment of capital following the April sale of our legacy mortgage related holdings. Thanks to excellent execution by Mark Tecotzky and his team, we successfully completed the disposition of our remaining mortgage-related investments with minimal NAV impact and then proceeded to grow our CLO portfolio by 27% quarter-over-quarter to $317 million as shown on slide 3.

我們強勁的業績得益於 CLO 股權和夾層投資的出色表現，以及 4 月份出售我們遺留的抵押貸款相關資產後及時重新部署資本。感謝 Mark Tecotzky 和他的團隊的出色執行，我們成功完成了剩餘抵押貸款相關投資的處置，對資產淨值的影響最小，並且我們的 CLO 投資組合環比增長 27%，達到 3.17 億美元，如幻燈片 3 所示。

Please turn now to slide 4. Market conditions were wide-ranging in calendar Q2. Following the surprise tariff announcements on April 2, heightened macroeconomic uncertainty led to sharply lower prices across the board on risk assets. However, after the April 9 tariff paused, risk sentiment rebounded quickly, sparking a broad market rally.

現在請翻到幻燈片 4。第二季的市場狀況多種多樣。繼 4 月 2 日意外宣布加徵關稅後，宏觀經濟不確定性加劇，導致風險資產價格全線大幅下跌。然而，4月9日關稅暫停後，風險情緒迅速反彈，引發大盤上漲。

By quarter end, both volatility and credit spreads had fully retraced their earlier upsurges, and many equity indices reached their all-time highs. As you can see on this slide, credit spreads on both US corporate high yield and investment grade bonds tightened overall on the quarter, with May and June's recovery more than offsetting April's weakness.

到了季度末，波動性和信用利差都已完全回撤早前的上升趨勢，許多股票指數也達到歷史最高水準。正如您在這張投影片上看到的，本季美國企業高收益債券和投資等級債券的信用利差總體收緊，5 月和 6 月的復甦足以抵消 4 月的疲軟。

Turning to the specific sector that we focus on, namely CLOs, you can see on the top of the page that CLO mezzanine tranches, especially BBB rated tranches also performed well on the quarter, although not quite as well as high yield corporates. CLO equity also generally performed quite well. As also shown in this slide, CLO issuance remained high by historical standards but was lower than in recent quarters, reflecting the impact of all that intra-quarter volatility.

談到我們關注的特定領域，即 CLO，您可以在頁面頂部看到，CLO 夾層部分，特別是 BBB 級部分在本季度也表現良好，儘管不如高收益公司債券那麼好。CLO 股票整體表現也相當不錯。如本投影片所示，CLO 發行量按歷史標準來看仍然很高，但低於最近幾季的水平，反映了所有季度內波動的影響。

At EARN, having sold all our remaining agency pools in early April, our timing was fortunate given the contemporaneous risk off price action. And so we moved quickly to begin redeploying that freed up capital into CLO investments. While our quickness allowed us to add CLOs at their 2025 lows in April, we also continued to deploy capital into compelling CLO investments throughout the remainder of the quarter. As I noted previously, CLOs didn't actually end up recovering quite as much as high yield corporate bonds did. And that was a good thing for us, given that we still had more capital to put to work.

在 EARN，我們已經在 4 月初出售了所有剩餘的代理基金，考慮到同期的風險規避價格行動，我們的時機很幸運。因此，我們迅速採取行動，開始將釋放的資本重新部署到 CLO 投資中。雖然我們的快速行動使我們能夠在 4 月以 2025 年的低點添加 CLO，但在本季度剩餘時間內，我們也繼續將資金投入引人注目的 CLO 投資中。正如我之前提到的，CLO 實際上並沒有像高收益公司債那樣恢復那麼多。這對我們來說是件好事，因為我們仍有更多的資本可以投入使用。

The key driver of our excellent performance this quarter was strong net investment income from both our CLO equity and CLO mezzanine positions, complemented by opportunistic trading, the redemption at par of two mezzanine positions that we had bought at discounts to par, and the successful reset of a CLO in which we hold equity, all of which contributed to the growth in our NAV per share. We still have ample dry powder today and putting that to work should boost our net investment income in the coming months.

我們本季出色表現的關鍵驅動力是來自 CLO 股權和 CLO 夾層頭寸的強勁淨投資收入，加上機會交易、以低於票面價值的價格贖回我們以票面價值折價購買的兩個夾層頭寸，以及成功重置我們持有股權的 CLO，所有這些都促進了我們每股資產淨值的增長。我們今天仍然擁有充足的資金，將其投入使用應該會在未來幾個月提高我們的淨投資收入。

At our current rate of deployment, we project that starting with September, our monthly net investment income will cover our $0.08 monthly distribution. At that point, we'll consider ourselves to be close to fully invested. With our closed-end fund conversion now behind us, we are now benefiting from all the enhancements that the closed-end fund structure brings us, including the tax efficiency of pass-through REIT taxation and the ability to focus fully on CLO investments. I am confident that our new structure and strategy will support earnings growth and help us capitalize on the compelling opportunities we continue to see in the CLO market.

按照我們目前的部署速度，我們預計從 9 月開始，我們的每月淨投資收入將涵蓋我們每月 0.08 美元的分配。到那時，我們就會認為自己已經接近完全投資了。隨著我們的封閉式基金轉換已經結束，我們現在正受益於封閉式基金結構為我們帶來的所有增強功能，包括直通 REIT 稅收的稅收效率以及完全專注於 CLO 投資的能力。我相信，我們的新結構和策略將支持獲利成長，並幫助我們利用我們在 CLO 市場中繼續看到的引人注目的機會。

I'll turn it over to Chris now to walk through some more of the financial details. Chris?

現在我將把主題交給克里斯，讓他介紹更多財務細節。克里斯？

Thanks, Larry, and good morning, everyone. Please turn back to slide 3. For calendar Q2, we reported GAAP net income of $0.27 per share and adjusted net investment income of $0.18 per share. The weighted-average GAAP yield for the quarter on our CLO portfolio was 15.6%. Moving now to slide 6.

謝謝，拉里，大家早安。請翻回幻燈片 3。對於日曆第二季度，我們報告的 GAAP 淨收入為每股 0.27 美元，調整後的淨投資收入為每股 0.18 美元。本季我們的 CLO 投資組合的加權平均 GAAP 收益率為 15.6%。現在轉到投影片 6。

You can see a breakout of portfolio net income by CLO subsector, $0.12 from US CLO debt, $0.02 from European CLO debt, $0.23 from US CLO equity and a $0.01 loss on European CLO equity. As you can see in the middle of slide 6, each subsector contributed strong net investment income. In addition, our results benefited significant net realized and unrealized gains on US debt and equity.

您可以看到以 CLO 子行業劃分的投資組合淨收入，美國 CLO 債務為 0.12 美元，歐洲 CLO 債務為 0.02 美元，美國 CLO 股票為 0.23 美元，歐洲 CLO 股票虧損 0.01 美元。正如您在第 6 張幻燈片中間看到的，每個子行業都貢獻了強勁的淨投資收入。此外，我們的業績受益於美國債務和股票的大量淨已實現和未實現收益。

As Larry mentioned, these gains reflected active trading during the quarter as well as deal calls on two mezzanine positions owned at discounts to par and a beneficial reset of a CLO equity position. Detracting only slightly from these gains were net unrealized losses on our European CLO equity and a modest drag from credit hedges designed to protect against downside risk. In the US, leveraged loan prices moved higher quarter-over-quarter despite a sharp early April pullback. Within CLO debt, higher quality, deleveraging profiles posted the strongest performance.

正如拉里所提到的，這些收益反映了本季度的活躍交易，以及以低於票面價值的價格持有的兩個夾層頭寸的交易看漲期權和 CLO 股權頭寸的有利重置。歐洲 CLO 股權的淨未實現損失以及旨在防範下行風險的信用對沖的適度拖累僅略微降低了這些收益。在美國，儘管 4 月初出現大幅回落，但槓桿貸款價格仍較上季上漲。在 CLO 債務中，品質較高、去槓桿率較高的債務表現最為強勁。

However, heavy issuance late in the quarter kept credit spreads from tightening further and we continue to observe elevated loan credit dispersion, particularly among low-quality borrowers. US CLO equity delivered strong results supported by robust investor demand and a decline in market volatility with new or recently reset CLOs featuring long reinvestment periods meaningfully outperforming shorter tenor profile more sensitive to loan prices.

然而，本季末的大量發行阻止了信貸利差進一步收緊，我們繼續觀察到貸款信貸分散度上升，特別是在低品質借款人中。在強勁的投資者需求和市場波動性下降的支持下，美國 CLO 股票取得了強勁的業績，其中新的或最近重置的具有較長再投資期的 CLO 的表現明顯優於對貸款價格更敏感的較短期限的 CLO。

In Europe, leveraged loan prices posted modest gains but lagged the rebound seen in the US. Wider credit dispersion weighed-on returns, especially in junior tranches, although stronger investor appetite for non-US credit provided some offset. European CLO equity underperformed US equity over the quarter, reflecting more muted loan market gains and increased dispersion. That said, some investor rotation into European structures helped soften the impact. Slide 7 provides details on our CLO portfolio, highlighting the sequential growth.

在歐洲，槓桿貸款價格小幅上漲，但落後於美國的反彈。信貸分散程度加大對回報造成壓力，尤其是初級債券，儘管投資者對非美國信貸的興趣增強提供了一些抵消作用。本季度，歐洲 CLO 股票表現不如美國股票，反映出貸款市場收益更加疲軟且分散性加大。儘管如此，一些投資者轉向歐洲結構有助於減輕影響。幻燈片 7 提供了我們的 CLO 產品組合的詳細信息，重點介紹了連續增長。

In total, the CLO portfolio grew by 27% to $317 million. During the quarter, we had new purchases of $91 million, 88% of which were CLO debt and 12%, which were CLO equity, and we sold $16 million of CLOs consistent with our active trading style. At June 30, CLO equity comprised 53% of our total CLO holdings down from 58% and European CLO investments constituted 14% of our total CLO holdings, roughly unchanged from the prior quarter. As Larry mentioned, we disposed of all of our remaining mortgage positions shortly after our RIC conversion, which was -- which had an effective date of April 1. The net impact of the dispositions on our NAV was only about $0.01 per share.

總體而言，CLO 投資組合成長了 27%，達到 3.17 億美元。本季度，我們新購買了 9,100 萬美元的 CLO，其中 88% 為 CLO 債務，12% 為 CLO 股權，並且我們按照積極的交易風格出售了 1,600 萬美元的 CLO。截至 6 月 30 日，CLO 股權占我們 CLO 總持有量的 53%，低於 58%，歐洲 CLO 投資占我們 CLO 總持有量的 14%，與上一季基本持平。正如拉里所提到的，我們在 RIC 轉換後不久就處理了所有剩餘的抵押貸款頭寸，其生效日期為 4 月 1 日。此次處置對我們的資產淨值造成的淨影響僅為每股 0.01 美元左右。

Slide 8 provides details on the corporate loans underlying our CLO investments. As you can see here, the collateral is heavily weighted towards first lien floating rate leverage loans, which make up 95% of the underlying assets. Industry exposure is well diversified led by tech, financial services and health care with no single sector exceeding 11%. Maturities are spread over several years with the largest concentrations in 2028 and 2031 and a few near-term maturities, resulting in a weighted-average loan maturity of 4.2 years. Facility size is skewed towards larger borrowers with 42% in facilities over $1.5 billion and a weighted-average size of $1.6 billion, supporting liquidity.

投影片 8 提供了有關我們的 CLO 投資所依據的公司貸款的詳細資訊。正如您在此處看到的，抵押品主要為第一留置權浮動利率槓桿貸款，佔基礎資產的 95%。產業投資多元化，主要由科技、金融服務和醫療保健組成，沒有一個單一產業超過 11%。到期日分佈在數年內，其中最集中的是 2028 年和 2031 年，還有少數近期到期，因此加權平均貸款期限為 4.2 年。貸款規模偏向較大的借款人，其中 42% 的貸款規模超過 15 億美元，加權平均規模為 16 億美元，支持了流動性。

Slide 9 shows additional detail on our underlying loans. The porfolio spans 2,205 unique assurers, 95% senior secured loans and carries a B+, B average rating with a 3.34% floating rate spread. Currency exposure is 86% in US and 14% non-US and our CLO equity positions have a weighted-average junior over collateralization cushion of 4.58%. Slide 10 provides a snapshot of our credit hedges as of June 30.

幻燈片 9 顯示了我們基礎貸款的更多詳細資訊。投資組合涵蓋 2,205 家獨立擔保人，95% 為優先擔保貸款，平均評級為 B+、B，浮動利率差為 3.34%。貨幣敞口 86% 在美國，14% 在美國以外，我們的 CLO 股票部位的加權平均次級抵押品緩衝為 4.58%。幻燈片 10 提供了截至 6 月 30 日我們的信用對沖快照。

We selectively and opportunistically hedge portions of our CLO portfolio's credit risk using a range of derivative instruments. During the credit -- quarter, as credit spreads tightened, we opportunistically added to our corporate credit hedges, increasing their size significantly. At quarter end, we also maintained a foreign currency hedge portfolio to manage exposure related to our European CLO equity and debt investments. Turning to Slide 11. At June 30, our NAV was $6.12 per share and cash and cash equivalents totaled $36.6 million.

我們選擇性地、機會性地使用一系列衍生性工具來對沖 CLO 投資組合的部分信用風險。在信貸季度，隨著信貸利差收緊，我們抓住機會增加了企業信貸對沖，使其規模大幅增加。在季度末，我們還維持了外匯對沖投資組合，以管理與我們的歐洲 CLO 股票和債務投資相關的風險敞口。翻到幻燈片 11。截至 6 月 30 日，我們的資產淨值為每股 6.12 美元，現金及現金等價物總額為 3,660 萬美元。

Our NAV-based total return for the quarter was 19.7% annualized. With that, I'll pass it over to Gregory Borenstein to discuss how the CLO market has performed, how we've positioned our CLO portfolio and our market outlook.

本季我們以資產淨值為基礎的年化總報酬率為 19.7%。接下來，我將把主題交給 Gregory Borenstein，討論 CLO 市場的表現、我們如何定位我們的 CLO 投資組合以及我們的市場前景。

Thanks, Chris. It's a pleasure to speak with everyone today. As Larry mentioned, calendar Q2 was ultimately very profitable for EARN, but the path to get there was highly nonlinear. April was incredibly volatile as the announcement of tariffs sent the market into a tailspin and corporate credit spreads sharply wider to start the month. After the tariffs were paused, which allowed markets to stabilize, credit spreads spent much of May and June grinding back and ended tighter on the quarter overall.

謝謝，克里斯。很高興今天能和大家交談。正如拉里所提到的，日曆第二季度最終為 EARN 帶來了豐厚的利潤，但實現這一目標的道路卻非常非線性。四月份市場極度動盪，因為關稅的宣布導致市場陷入混亂，而月初企業信貸利差急劇擴大。關稅暫停後，市場得以穩定，信用利差在 5 月和 6 月的大部分時間都在回落，整個季度結束時收窄。

In our US CLO portfolio, both equity and mezz tranches saw significant gains, while in Europe, returns were more muted given the higher starting point. That said, European CLOs have delivered solid performance year-to-date for EARN given the outperformance of European CLO notes in Q1. While the drawdown and subsequent retracement in CLO mezz were well correlated to broader market moves in credit, CLO equity saw increased dispersion in a few dimensions. In April, we saw cleaner, longer deals remain well supported, whereas shorter deals that are more sensitive to their underlying loan valuations saw a sharper drawdown as loan prices declined.

在我們的美國 CLO 投資組合中，股票和夾層債券均實現了顯著增長，而在歐洲，由於起點較高，回報率較為平淡。儘管如此，鑑於歐洲 CLO 票據在第一季的優異表現，歐洲 CLO 今年迄今為 EARN 帶來了穩健的表現。雖然 CLO 夾層證券的下跌和隨後的回撤與信貸市場的大體走勢密切相關，但 CLO 股票在幾個維度上的分散性有所增加。4 月份，我們看到更乾淨、更長期限的交易仍然受到良好支持，而對基礎貸款估值更為敏感的短期交易則因貸款價格下降而出現更大幅度的縮減。

Additionally, equity tranches where the market had been pricing in resets or refinancings underperformed as those options disappeared as CLO debt spreads widened. As we sit here today, many of those options have recovered, but they remain less in the money than they were at the beginning of the year. This is largely because AAA spreads have struggled to return to January, February levels.

此外，由於 CLO 債務利差擴大，這些選擇權消失了，市場已將重置或再融資納入定價的股票部分錶現不佳。當我們今天坐在這裡時，許多選擇權已經恢復，但它們的價格仍然比年初少。這主要是因為 AAA 利差難以恢復到 1 月、2 月的水準。

On the positive side for CLO equity, post-April loan price decreases reduced prior concerns surrounding loan coupon spread compression and any resulting net interest margin erosion. What's more, loan payment defaults remained low throughout the quarter, ending June 30 at 1.11% on a trailing 12-month basis on the Morningstar/LSTA US Leveraged Loan Index.

對 CLO 股權而言，積極的一面是，4 月之後的貸款價格下降減輕了先前圍繞貸款息差壓縮以及由此導致的淨息差侵蝕的擔憂。此外，整個季度的貸款違約率仍然很低，截至 6 月 30 日，晨星/LSTA 美國槓桿貸款指數的過去 12 個月貸款違約率為 1.11%。

Overall, we have been focused lately on increasing our portfolios relative concentration to CLO mezz. We believe that increasing exposure to these up in credit positions, along with adding credit hedges, helps to protect the portfolio and serve as nice complements to our CLO equity positions. Additionally, we have also shifted our focus more to the secondary market as compared to the primary market as the dislocation experienced in parts of Q2 created many more secondary market opportunities. In fact, EARN did not participate in any new issue equity transactions in Q2 as we have found better relative value in secondary markets in recent months.

總體而言，我們最近一直致力於提高投資組合對 CLO mezz 的相對集中度。我們相信，增加這些信貸頭寸的敞口，同時增加信貸對沖，有助於保護投資組合，並成為我們 CLO 股票頭寸的良好補充。此外，由於第二季部分市場經歷的混亂創造了更多的二級市場機會，我們也將重點從一級市場轉移到了二級市場。事實上，EARN 在第二季並沒有參與任何新發行股票交易，因為我們發現近幾個月二級市場的相對價值更高。

As mentioned before, CLO liabilities, specifically AAAs have struggled to return to their tights. Meanwhile, as of July 31, a considerable 46% of the loan market traded above par. Significant repricing in the loan market are reigniting concerns about spread compression, and with AAA spreads still struggling to retraced to their 2025 types, new issue CLO equity arbitrage has come under pressure.

如前所述，CLO 負債，特別是 AAA 負債一直難以恢復到原來的水準。同時，截至 7 月 31 日，46% 的貸款市場交易額高於票面價值。貸款市場的大幅重新定價重新引發了人們對利差壓縮的擔憂，由於 AAA 利差仍在努力回落至 2025 年的水平，新發行的 CLO 股票套利面臨壓力。

Our emphasis on CLO mezz in the current environment also reflects our concern that the persistence of higher base tariff rates, coupled with ongoing uncertainty around future tariff policy will continue to drive dispersion in credit for the foreseeable future. As our results show, EARN took advantage of Q2's market uncertainty, reaping the benefits of active trading during bouts of market volatility.

在當前環境下，我們對 CLO 夾層債券的重視也反映了我們的擔憂，即持續較高的基準關稅稅率，加上未來關稅政策的持續不確定性，將在可預見的未來繼續推動信貸分散。正如我們的結果所示，EARN 利用了第二季的市場不確定性，在市場波動期間獲得了活躍交易的好處。

On the quarter, we had 79 unique CLO trades, not counting any deal liquidations or credit hedge trades. I believe the portfolio is well balanced with core positions built for stability and others offering meaningful upside and attractive optionality. We will continue to shift allocations as the market environment changes, be it between mezz and equity, primary and secondary or US and Europe. Now back to Larry.

本季度，我們有 79 筆獨特的 CLO 交易，不包括任何交易清算或信用對沖交易。我相信該投資組合是平衡的，核心頭寸是為了穩定而建立的，其他頭寸則提供了有意義的上升空間和有吸引力的選擇。隨著市場環境的變化，無論是夾層證券和股票、一級市場和二級市場或美國和歐洲，我們都會繼續調整配置。現在回到拉里。

Thanks, Greg. Calendar Q2 was a great quarter for Ellington Credit Company and a great start to our new form as a closed-end fund. We not only put up strong earnings, but we also ended the quarter with a diversified, high-quality CLO portfolio and ample dry powder to boot. Calendar Q3 is off to a strong start as we delivered another month of excellent results in July, expanded the portfolio and grew NAV further. As of now, our CLO portfolio stands at around $360 million, up from $320 million coming into Q3.

謝謝，格雷格。對於 Ellington Credit Company 來說，日曆第二季度是一個出色的季度，也是我們作為封閉式基金新形式的良好開端。我們不僅實現了強勁的盈利，而且在本季度結束時還擁有多元化、高品質的 CLO 投資組合和充足的資金。第三季開局強勁，我們在 7 月再次取得了優異的業績，擴大了投資組合併進一步提高了資產淨值。截至目前，我們的 CLO 投資組合價值約為 3.6 億美元，高於第三季的 3.2 億美元。

Looking ahead, we see multiple ways to continue to drive performance and expand net investment income. Deploying our remaining dry powder is one way. And as I mentioned earlier, we project that our net investment income will fully cover our distribution rate starting in September. Another way is by issuing long-term unsecured debt, which we hope to do later this year. The additional leverage supplied by long-term unsecured debt should be accretive to both GAAP earnings and net investment income.

展望未來，我們看到了多種持續推動績效和擴大投資淨收益的方法。部署我們剩餘的乾火藥是一種方法。正如我之前提到的，我們預計從 9 月開始我們的淨投資收益將完全涵蓋我們的分配率。另一種方式是發行長期無擔保債務，我們希望在今年稍後實現這一目標。長期無擔保債務所提供的額外槓桿應該會增加 GAAP 收益和淨投資收益。

But even with our current capital base and debt structure, we expect to increase our CLO portfolio by another $40 million to $400 million or so. I firmly believe that our rigorous approach to CLO investing, our active trading style, and our strategic use of credit hedges give Ellington Credit a unique advantage.

但即使我們目前的資本基礎和債務結構，我們仍預計將我們的 CLO 投資組合再增加 4,000 萬美元至 4 億美元左右。我堅信，我們對 CLO 投資的嚴謹態度、積極的交易風格以及對信用對沖的策略性使用使 Ellington Credit 擁有獨特的優勢。

With credit markets having recovered so much since early April, we've taken advantage by adding credit hedges at better entry points while still uncovering compelling opportunities in CLO equity and mezzanine debt across the US and Europe. This relative value approach gives us the flexibility to target the best risk-adjusted returns as markets evolve.

自 4 月初以來，信貸市場已經大幅復甦，我們抓住機會在更好的切入點增加了信貸對沖，同時仍然在美國和歐洲的 CLO 股權和夾層債務中發現了引人注目的機會。這種相對價值方法使我們能夠隨著市場的發展靈活地瞄準最佳風險調整回報。

To recap, we've built what we view as a high-quality, well-diversified CLO portfolio, while keeping liquidity high and lining up multiple levers for earnings growth. Calendar Q2 was a powerful start for EARN, and we are confident in the opportunities that lie ahead. Now let's open the floor to Q&A. Operator, please go ahead.

總而言之，我們建立了我們認為高品質、高度多元化的 CLO 投資組合，同時保持高流動性並為獲利成長設置了多個槓桿。第二季度對於 EARN 來說是一個強勁的開端，我們對未來的機會充滿信心。現在讓我們開始問答環節。接線員，請繼續。

(Operator Instructions) Doug Harter, UBS.

（操作員指示）Doug Harter，瑞銀。

You just talked a little bit about the -- talk about the dynamic where -- why AAA spreads haven't fully retraced while the underlying loan spreads have?

您剛才談到了動態問題——為什麼 AAA 利差尚未完全回撤，而基礎貸款利差卻已經回撤了？

Sure. It's Greg. I'll take that one. I mean to be clear, I think that it is simply, AAAs are not receiving relatively maybe the same demand that they were earlier in the year. Some of the things we've spoken about previously, our focus is around the growth of the ETF market and just a very diverse even foreign buyer base.

當然。我是格雷格。我要那個。我的意思是說清楚，我認為這很簡單，AAA 所受到的需求可能沒有像今年早些時候那麼強烈。我們之前談到的一些事情，我們的重點是 ETF 市場的成長以及非常多樣化的外國買家群體。

Perhaps it's with the idea that a rate cut may happen and maybe some rotation around floating rate, AAAs had screened CLO AAAs, the tightest of the cohort when you compare across structured products and credit earlier in the year. And so overall, you could maybe make the argument that they were relatively pricing very tight, and they're simply anywhere from 10 to 15 basis points back now.

或許是因為人們認為可能會發生降息，並且可能會圍繞浮動利率進行一些輪換，所以 AAA 已經篩選了 CLO AAA，如果在今年早些時候比較結構性產品和信貸，CLO AAA 是同類產品中最緊張的。因此，總體而言，你或許可以說他們的定價相對來說非常嚴格，現在只是回落了 10 到 15 個基點。

And so I think, overall, it's just a little bit of a technical, there's just a little bit less demand for a variety of reasons. And the further point I would make is, as much as loans have rallied back around par, you don't see the same amount above par that you did earlier in the year when you were at some point close to 70% above par on the loan side. So I think it's -- while it's been noticeable, it's within a range where there's enough margin for error in terms of the spreads catching up.

所以我認為，總的來說，這只是一個技術問題，由於各種原因，需求略有減少。我想進一步指出的是，儘管貸款已經回升至票面價值附近，但你不會看到與今年早些時候相同的高於票面價值的金額，當時貸款方面接近高於票面價值 70%。所以我認為——雖然它是顯而易見的，但它在一個範圍內，在追趕利差方面有足夠的誤差幅度。

Great. Appreciate that. And assuming that dynamic doesn't change, would you expect your allocation to be kind of similar to what it was in the June quarter, more towards debt and equity?

偉大的。非常感謝。假設這種動態不會改變，您是否預期您的配置會與 6 月季度的配置類似，而更傾向於債務和股權？

I think that if the [ARB] continues to stay challenged to this point -- there's a number of factors that can obviously come into this if secondary markets become tighter and less attractive. Removing that opportunity may also see some rebalancing. But overall, I think that we've tended to not like creating a new issue. And if the assets and liability math calculation doesn't change, it's hard to see why we would allocate more to it. So I would tend to agree with that.

我認為，如果 [ARB] 繼續面臨挑戰——如果二級市場變得更加緊張和缺乏吸引力，顯然有許多因素會影響到這一點。消除這一機會可能也會帶來一些重新平衡。但總的來說，我認為我們傾向於不喜歡創造新的問題。如果資產和負債的數學計算沒有改變，我們很難理解為什麼我們要為其分配更多資金。所以我傾向於同意這一點。

(Operator Instructions) Jason Weaver, JonesTrading.

（操作員指示）Jason Weaver，JonesTrading。

Hey, guys, good morning. I think in the beginning of your prepared remarks, you were talking about issuance trends and how were muted in the first quarter '26 just due to the volatility. So some of that's come down, some uncertainty has been reduced, and we may see some monetary relief on the horizon. Would you expect that trend to reverse into calendar year-end?

嘿，大家早安。我認為在您準備好的發言開始時，您談到了發行趨勢以及由於波動性導致 26 年第一季的發行趨勢如何低迷。因此，其中一些因素已經下降，一些不確定性已經減少，我們可能會看到一些貨幣政策的放鬆。您是否預計這一趨勢會在年底發生逆轉？

In regards to -- you're saying CLO issuance?

關於—您說的是 CLO 發行嗎？

CLO issuance in general.

一般情況下發行 CLO。

Sure. I mean -- I thought that new issue end of the year into the beginning of this year when the ARB looked a little more attractive, I think you were seeing more happen. I think part of it is, right, are you going to see loans versus debt spreads become attractive again to see true new issuance. It's really hard to say. I think that the market has seen much more resets and refis, what could make that change.

當然。我的意思是——我認為，當 ARB 在年底到今年年初看起來更有吸引力時，新發行的股票將會出現更多情況。我認為部分原因是，對的，你是否會看到貸款與債務利差再次變得有吸引力，從而看到真正的新發行。這真的很難說。我認為市場已經經歷了更多的重置和再融資，這可能會導致這種變化。

Perhaps if you see monetary easing and it leads to perhaps a little more spread coming from the asset side in loans that could help reignite the new issue market. But it is hard to say where I think that right now, new issue desks and a lot of investors have simply been focused on refis, resets, liquidations, and have struggled to pick back up new issue. But if you see AAAs come in, assets move out, it's just hard to say exactly how those components will change based on some of the uncertainty around what we've seen in the fall.

也許，如果你看到貨幣寬鬆，它可能會導致資產方面的貸款利差稍微擴大一些，這可能有助於重新點燃新發行市場。但我認為現在很難說，新發行部門和許多投資者只是專注於再融資、重置、清算，並努力重新獲得新發行。但是，如果你看到 AAA 流入，資產流出，那麼根據我們在秋季看到的一些不確定性，很難確切地說這些組成部分將如何變化。

Got it. And then to just clarify a little bit of what Greg had said on the relative value between mezz and equity here. Any perception of an increased risk to equity tranches? I mean you did mention tariffs in the prepared remarks.

知道了。然後稍微澄清一下 Greg 所說的關於夾層和股權之間的相對價值。您是否認為股權部分的風險增加？我的意思是，您確實在準備好的發言中提到了關稅。

Right. I think if you take a look, tariffs are going to create winners and losers. There's uncertainty around different sectors around different companies. And so I think that we see equity as having more risk and exposure to tariffs being that they're a first loss tranche. So if there's a handful of names which are adversely affected, a subordinated mezz position will remain above the fray from a small amount of losses.

正確的。我認為，如果你看一下，你會發現關稅將會產生贏家和輸家。不同行業、不同公司存在不確定性。因此，我認為我們認為股票具有更大的風險和關稅敞口，因為它們是第一批損失的部分。因此，如果有少數公司受到不利影響，次級夾層部位將不會受到太大影響，只會遭受少量損失。

If losses become so great that it starts to get through that attachment point and your mezz starts to perhaps look like equity there, which you've seen at certain rare occurrences in the past periods such as COVID or the financial crisis. But if it remains a tail issue, which if you look at credit markets, it's been just a tail of companies that have had problems, that continues to be a lower correlation event. And overall, it's something that would generally force fast positions such as CLO equity to underperform versus positions further up in the capital structure that are more spread sensitive and maybe less credit or fundamentally sensitive?

如果損失變得如此之大，以至於它開始突破那個附著點，你的夾層證券可能開始看起來像那裡的股權，這種情況在過去的某些罕見情況下，例如 COVID 或金融危機中，你已經看到過。但如果它仍然是一個尾部問題，如果你看看信貸市場，它只是一些出現問題的公司的尾部問題，那麼這仍然是一個相關性較低的事件。整體而言，這通常會迫使 CLO 股票等快速部位的表現遜於資本結構中對利差更敏感、對信用或基本面更不敏感的部位？

Got it. That makes sense. And then just last one, and I'll hop off. Do you have an updated quarter-to-date NAV estimate?

知道了。這很有道理。再說最後一個，我就下車了。您是否有最新的季度至今的資產淨值估值？

Just when we posted.

就在我們發布的時候。

Yes. We posted July 31 last night a range around --

是的。我們昨晚發布了 7 月 31 日的--

$6 to plus or minus $0.03.

6 美元至正負 0.03 美元。

Yes, $6.16 is through the end (inaudible)

是的，6.16 美元已經到賬（聽不清楚）

I must have missed that but thank you. I'll hop back in.

我肯定錯過了，不過還是謝謝你。我會跳回去。

Thank you. And gentlemen, that was our final question for today. So we'd like to thank you all for participating in the Ellington Credit Company fiscal quarter ended June 30, 2025 results conference call. You may disconnect your lines at this time, and have a wonderful day. Goodbye.

謝謝。先生們，這是我們今天的最後一個問題。因此，我們要感謝大家參加 Ellington Credit Company 截至 2025 年 6 月 30 日的財政季度業績電話會議。此時您可以斷開線路，享受美好的一天。再見。