Ellington Income Opportunities Fund

Fund Profile

Fund profile

Fund manager

Total assets

$37.51 mm

Liabilities

$6.87 mm

Net assets

$30.64 mm

Number of holdings

60.00

60 Holdings

As of Sep 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
STAR 2022-SFR3 Trust	2.02 mm	2.02 mm principal	6.58	ABS-other	Long	USA
Trimaran Cavu 2019-1 Ltd	1.49 mm	1.49 mm principal	4.88	ABS-collateralized bond/debt obligation	Long	Cayman Islands
TRTX 2021-FL4 Issuer Ltd	1.43 mm	1.50 mm principal	4.68	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Aaset 2021-1 Trust	1.43 mm	1.82 mm principal	4.67	ABS-other	Long	USA
AMSR 2020-SFR1 Trust	1.31 mm	1.31 mm principal	4.27	ABS-other	Long	USA
Fortress Credit Bsl XXI Ltd	1.26 mm	1.23 mm principal	4.10	ABS-collateralized bond/debt obligation	Long	Jersey
Connecticut Avenue Securities Trust 2022-R04	1.23 mm	1.08 mm principal	4.01	ABS-mortgage backed security	Long	USA
AGNC AGNC Investment Corp.	1.21 mm	49.52 k shares	3.96	Preferred equity	Long	USA
Freddie Mac STACR REMIC Trust 2020-HQA2	1.20 mm	1.00 mm principal	3.91	ABS-mortgage backed security	Long	USA
Lunar 2021-1 Structured Aircraft Portfolio Notes	1.19 mm	1.28 mm principal	3.89	ABS-other	Long	Ireland
Freddie Mac STACR REMIC Trust 2021-DNA3	1.19 mm	1.00 mm principal	3.88	ABS-mortgage backed security	Long	USA
BBCMS 2018-CHRS Mortgage Trust	1.16 mm	1.39 mm principal	3.78	ABS-mortgage backed security	Long	USA
Connecticut Avenue Securities Trust 2022-R01	1.05 mm	1.00 mm principal	3.43	ABS-mortgage backed security	Long	USA
Connecticut Avenue Securities Trust 2021-R03	1.05 mm	1.00 mm principal	3.41	ABS-mortgage backed security	Long	USA
Crown Point CLO 8 Ltd	1.00 mm	1.00 mm principal	3.27	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BDS 2024-FL13 LLC	999.46 k	1.00 mm principal	3.26	ABS-collateralized bond/debt obligation	Long	USA
BX Commercial Mortgage Trust 2019-IMC	955.23 k	1.00 mm principal	3.12	ABS-mortgage backed security	Long	USA
Magnetite Xxx Ltd	884.00 k	1.30 mm principal	2.88	ABS-collateralized bond/debt obligation	Long	Cayman Islands
SFO Commercial Mortgage Trust 2021-555	878.89 k	1.00 mm principal	2.87	ABS-mortgage backed security	Long	USA
SKYAF III E (Westjet)	861.00 k	1.05 mm principal	2.81	ABS-other	Long	USA
Raistone - First Brands Supply Chain Finance Program 10/02/2024	844.44 k	844.99 k principal	2.76	Loan	Long	USA
Zais Clo 6 Ltd	768.49 k	1.00 mm principal	2.51	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Progress Residential 2021-SFR3	708.26 k	750.00 k principal	2.31	ABS-other	Long	USA
Raptor Aircraft Finance I LLC	701.22 k	811.73 k principal	2.29	ABS-other	Long	Cayman Islands
Blackbird Capital II Aircraft Lease Ltd	659.93 k	719.86 k principal	2.15	ABS-other	Long	USA
SBA_JVB_03	645.57 k	8.42 mm principal	2.11	Loan	Long	USA
Neuberger Berman Loan Advisers CLO 35 Ltd	645.02 k	5.00 mm principal	2.11	ABS-collateralized bond/debt obligation	Long	Cayman Islands
SIRVA WORLDWIDE INC EXIT FACILITY	629.70 k	1.02 mm principal	2.06	Loan	Long	USA
Stonepeak 2021-1 ABS	572.45 k	646.32 k principal	1.87	ABS-other	Long	USA
Greywolf CLO IV Ltd	499.83 k	1.25 mm principal	1.63	ABS-collateralized bond/debt obligation	Long	Cayman Islands
MFA MFA Financial, Inc.	268.62 k	11.33 k shares	0.88	Preferred equity	Long	USA
Allegro CLO VII Ltd	252.00 k	2.10 mm principal	0.82	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Residential Asset Securitization Trust 2003-A15	238.50 k	334.98 k principal	0.78	ABS-mortgage backed security	Long	USA
Tralee CLO V Ltd	199.95 k	800.00 k principal	0.65	ABS-collateralized bond/debt obligation	Long	Cayman Islands
OFSI BSL IX Ltd	182.00 k	1.40 mm principal	0.59	ABS-collateralized bond/debt obligation	Long	Cayman Islands
RITM Rithm Capital Corp.	169.15 k	7.05 k shares	0.55	Preferred equity	Long	USA
Voya CLO 2018-1 Ltd	143.00 k	1.10 mm principal	0.47	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Alternative Loan Trust 2006-J5	73.85 k	130.32 k principal	0.24	ABS-mortgage backed security	Long	USA
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A	65.73 k	118.19 k principal	0.21	ABS-mortgage backed security	Long	USA
Venture 34 CLO Ltd	51.53 k	470.00 k principal	0.17	ABS-collateralized bond/debt obligation	Long	Cayman Islands
IndyMac INDX Mortgage Loan Trust 2006-AR25	51.47 k	56.62 k principal	0.17	ABS-mortgage backed security	Long	USA
CHL Mortgage Pass-Through Trust 2003-49	42.83 k	46.17 k principal	0.14	ABS-mortgage backed security	Long	USA
NLY Annaly Capital Management, Inc.	40.11 k	1.59 k shares	0.13	Preferred equity	Long	USA
Tralee CLO V Ltd	36.95 k	50.00 k principal	0.12	ABS-collateralized bond/debt obligation	Long	Cayman Islands
AVENTIV TECHNOLOGIES LLC SECOND OUT TL	32.09 k	31.50 k principal	0.10	Loan	Long	USA
Vibrant ClO VIII Ltd	24.50 k	1.20 mm principal	0.08	ABS-collateralized bond/debt obligation	Long	Cayman Islands
JP Morgan Mortgage Trust 2006-A1	15.90 k	21.80 k principal	0.05	ABS-mortgage backed security	Long	USA
Prime Mortgage Trust 2003-3	12.31 k	26.25 k principal	0.04	ABS-mortgage backed security	Long	USA
BlueMountain CLO 2018-2 Ltd	9.85 k	1.00 mm principal	0.03	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Venture 32 CLO Ltd	9.00 k	600.00 k principal	0.03	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Venture XXIV CLO Ltd	8.25 k	1.10 mm principal	0.03	ABS-collateralized bond/debt obligation	Long	Cayman Islands
OFSBS-2018-1A-FEE	133.20	1.33 mm principal	0.00	Debt	Long	Canada
ANN 08/09/32 @ 2.61%	-16.04 k	1.00 contracts	-0.05	Interest rate derivative	N/A	USA
ANN 6/17/2031 @ 3.888500%	-23.65 k	1.00 contracts	-0.08	Interest rate derivative	N/A	USA
USD REPO J.P. MORGAN SECURITIES LLC	-600.00 k	-600.00 k other units	-1.96	Repurchase agreement	Short	USA
USD REPO RBC CAPITAL MARKETS, LLC	-715.00 k	-715.00 k other units	-2.33	Repurchase agreement	Short	USA
USD REPO RBC CAPITAL MARKETS, LLC	-724.00 k	-724.00 k other units	-2.36	Repurchase agreement	Short	USA
USD REPO RBC CAPITAL MARKETS, LLC	-1.06 mm	-1.06 mm other units	-3.45	Repurchase agreement	Short	USA
USD REPO J.P. MORGAN SECURITIES LLC	-1.19 mm	-1.19 mm other units	-3.89	Repurchase agreement	Short	USA
USD REPO RBC CAPITAL MARKETS, LLC	-1.52 mm	-1.52 mm other units	-4.97	Repurchase agreement	Short	USA