Duke Funding Management, L.L.C. (“Duke Funding” or “the firm”), 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 investment advisers: Ellington Financial Management LLC, Ellington Management Group, L.L.C., 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. In addition, Duke Funding’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 Management Group, L.L.C. These principals and executive officers may also be the principals or executive officers of other entities affiliated with Duke Funding. Please see “Other Financial Industry Activities and Affiliations” below for a further discussion of entities affiliated with Duke Funding. These entities, together with Duke Funding and its affiliated registered advisers and their employees, are collectively referred to in this Brochure as the “Ellington Group” or simply “Ellington.” The Ellington Group was formed in December 1994, and Duke Funding has been in business since 2001. Duke Funding is owned by Ellington Management Group, L.L.C., which in turn is majority owned by EMG Holdings, L.P., which is primarily owned by Michael Vranos. Types of Advisory Services Offered Duke Funding serves as the collateral manager for certain collateralized debt obligations, or CDOs, investing primarily in mortgage-backed and asset-backed securities. The Ellington Group in general 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, futures, other derivatives, or equity securities. The vehicles

and accounts managed by Duke Funding or other members of the Ellington Group are referred to below as “Clients” or “Client Accounts.” The Ellington Group 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. The Ellington Group may also offer advice with respect to an extremely broad range of securities, derivatives, and other financial instruments. Clients, prospective Clients, investors and prospective investors in Duke Funding-managed CDOs should review the applicable offering documents, indenture, or investment management or similar agreement for further information about the range of instruments with respect to which Duke Funding may advise them. Client Investment Guidelines Investment guidelines and restrictions applicable to Duke Funding’s CDO clients can be complex and are described in the applicable offering document or indenture. In some cases, other members of the Ellington Group may tailor their 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 Duke Funding-managed CDOs, however, generally may not impose such restrictions. Investors should review the applicable offering materials or indentures for information about the restrictions, if any, applicable to those pooled vehicles. Client Assets Under Management Duke Funding provides discretionary investment advisory services to CDOs. As of December 31, 2023, the firm managed funds and accounts with an aggregate Regulatory Assets Under Management of approximately $150,395,982, though the amount of discretion exercisable by Duke Funding may be limited depending upon, among other factors, the status of the CDO or its collateral under various tests.