Ellington Management Group, L.L.C., a U.S. Securities and Exchange Commission (“SEC”) registered investment adviser, is one of several affiliated entities in the Ellington family of companies. This family includes other registered or relying investment advisers: Duke Funding Management, L.L.C., Ellington Financial Management LLC, Ellington Global Asset Management, LLC, Ellington Residential Mortgage Management LLC, and Ellington CLO Management LLC, and also includes Ellington Management Group (UK) LLP, a U.K. affiliate authorized by the U.K. Financial Conduct Authority. Ellington Management Group, L.L.C. and relying adviser Ellington CLO Management LLC are collectively referred to in this Brochure as “Ellington” or “the firm”. In addition, Ellington’s principals and executive officers are also principals or executive officers of certain other partnerships or limited liability companies that serve as the general partner or managing member of pooled investment vehicles managed by Ellington. These principals and executive officers may also be the principals or executive officers of other entities affiliated with Ellington. Please see “Other Financial Industry Activities and Affiliations” below for a further discussion of entities affiliated with Ellington. These entities, together with Ellington, its employees, and Ellington’s affiliated registered and relying advisers, are collectively referred to in this Brochure as the “Ellington Group.” The Ellington Group was formed in December 1994, and Ellington Management Group, L.L.C. has been in business since 1995 and is owned primarily by Michael Vranos indirectly through his ownership interest in Ellington’s majority owner, EMG Holdings, L.P. Types of Advisory Services Offered Ellington provides investment management services to pooled investment vehicles and institutional managed accounts investing primarily in mortgage-related or mortgage-backed securities, asset-backed securities, related instruments and loans, corporate bonds, equities, and credit and other derivatives. Vehicles and accounts managed by

Ellington or other members of the Ellington Group are referred to below as “Clients” or “Client Accounts.” Ellington customarily analyzes securities and markets through the use of proprietary and external computer applications and seeks to mitigate certain risks related to those securities at times through the use of derivative instruments, including swaps, options, forwards, and futures. Ellington offers advice with respect to an extremely broad range of securities, derivatives, and other financial instruments. Clients, prospective Clients, and investors and prospective investors in Ellington-managed vehicles should review the applicable offering documents or investment management, operating, or similar agreement for further information about the range of instruments with respect to which Ellington may advise them. Client Investment Guidelines In some cases, Ellington may tailor its advisory services to the individual needs of institutional Clients for whom it manages separate accounts or dedicated investment vehicles. Such Clients may request restrictions on investing in certain financial instruments or types or amounts of instruments or impose other guidelines with respect to the services provided to them. Individual investors in Ellington-managed pooled investment vehicles, however, generally may not impose such restrictions. Investors should review the applicable offering materials for information about the restrictions, if any, applicable to those pooled vehicles. Client Assets Under Management Ellington provides discretionary and non-discretionary investment advisory services. As of December 31, 2023, the firm managed funds and accounts with an aggregate Regulatory Assets Under Management (including the effects of leverage) of approximately $10,946,994,238 as follows: $9,131,571,124 ..........in discretionary funds and accounts managed by Ellington. $995,813,870 ..........in non-discretionary funds and accounts managed by Ellington. $819,609,244 ..........in CLOs to which Ellington CLO Management LLC acts as the discretionary collateral manager.