Ellington Credit Reports Q4 Net Loss, NAV Declines 9.1%, Yield Falls to 13.7%
Ellington Credit posted a Q4 GAAP net loss of $0.56 per share from CLO equity mark-to-market losses, while mezzanine debt supported net interest income of $0.21. NAV was $5.19 with a -9.1% Q4 return, weighted average CLO yield fell to 13.7%, and high-yield CDX hedges grew to $175 million.
1. Q4 Financial Results
Ellington Credit recorded a GAAP net loss of $0.56 per share in the fourth calendar quarter driven by significant mark-to-market losses on CLO equity. Net interest income was $0.21 per share, NAV per share stood at $5.19 and NAV total return for Q4 was -9.1%, while the weighted average CLO portfolio yield declined from 15.5% to 13.7%.
2. Portfolio Positioning and Trading Activity
During Q4, the company increased its allocation to CLO mezzanine debt tranches, which now represent just under 50% of the portfolio versus 52% in equity. The firm executed $66 million of new CLO purchases and $19 million of sales, focusing on higher-yield B-rated debt and realizing gains on redeemed mezzanine positions purchased at discounts.
3. Hedging and Non-Call Risk Management
Ellington Credit expanded its credit hedge portfolio to roughly $175 million in high-yield CDX bond equivalents, representing about 90% of NAV, to protect against broader credit drawdowns. Management noted that over 40% of the U.S. CLO portfolio will exit non-call periods by year-end, enabling potential debt refinancings or resets if market conditions allow.