NPORT-P false 0001751156 XXXXXXXX Ellington Income Opportunities Fund 811-23389 0001751156 549300AZITG6Y38UKP98 8500 Normandale Lake Blvd Suite 1900 Minneapolis 55437 952-897-5363 Ellington Income Opportunities Fund 549300AZITG6Y38UKP98 2022-12-31 2022-12-31 N 44499560.600000000000 14743628.880000000000 29755931.720000000000 0.000000000000 0.000000000000 14225000.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 1115010.280000000000 USD N Peaks CLO Ltd 549300BU7U9SZMLBY924 70469YAG7 1000000.000000000000 PA USD 707500.000000000000 2.3776771860 Long ABS-CBDO CORP KY N 3 2031-07-20 Floating 9.817100000000 N N N N N N Prime Mortgage Trust N/A 74160MDA7 32110.000000000000 PA USD 18302.980000000000 0.0615103576 Long ABS-MBS CORP US N 3 2034-01-25 Variable 5.980000000000 N N N N N N Progress Residential Trust N/A 74333VAS3 750000.000000000000 PA USD 635232.750000000000 2.1348104841 Long ABS-O CORP US N 2 2026-05-17 Fixed 4.750000000000 N N N N N N Raptor Aircraft Finance LLC 549300QFYP8PTWJMXQ65 75383HAA9 916363.000000000000 PA USD 663940.090000000000 2.2312865087 Long ABS-O CORP KY N 2 2044-08-23 Fixed 4.213000000000 N N N N N N Residential Funding Mtg Sec I N/A 76111XTB9 14112.000000000000 PA USD 7393.440000000000 0.0248469450 Long ABS-MBS CORP US N 3 2035-03-25 Variable 3.770000000000 N N N N N N Stonepeak N/A 78433XAE0 1201071.000000000000 PA USD 997866.570000000000 3.3535047042 Long ABS-O CORP US N 2 2033-02-28 Fixed 7.142000000000 N N N N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576QAU2 1600000.000000000000 PA USD 1549524.800000000000 5.2074484327 Long ABS-CBDO CORP KY N 2 2027-11-21 Floating 7.425430000000 N N N N N N MASTR Asset Securitization Tru N/A 57643MLZ5 28315.000000000000 PA USD 18816.490000000000 0.0632360975 Long ABS-MBS CORP US N 3 2036-05-25 Fixed 5.750000000000 N N N N N N Neuberger Berman CLO Ltd 549300MYVO80EQUJK294 64133CAE9 5000000.000000000000 PA USD 803500.000000000000 2.7003019350 Long ABS-CBDO CORP KY N 3 2033-01-19 Fixed 3.640000000000 N N N N N N RITHM CAPITAL CORP 549300WNTHGEO5LP2G31 64828T508 7054.000000000000 NS USD 121328.800000000000 0.4077466004 Long EP CORP US N 1 N N N Nomura Asset Acceptance Corpor N/A 65535VSJ8 246299.000000000000 PA USD 77277.160000000000 0.2597033786 Long ABS-MBS CORP US N 3 2036-01-25 Variable 5.515000000000 N N N N N N OFSI Fund LTD N/A 67112NAC7 1400000.000000000000 PA USD 420000.000000000000 1.4114832765 Long ABS-CBDO CORP KY N 2 2118-07-31 Variable .000000000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45661HAC1 60028.000000000000 PA USD 53812.010000000000 0.1808446481 Long ABS-MBS CORP US N 2 2036-09-25 Variable 2.540000000000 N N N N N N JP Morgan Mortgage Trust N/A 466247E41 26751.000000000000 PA USD 20263.000000000000 0.0680973467 Long ABS-MBS CORP US N 3 2036-02-25 Variable 3.970000000000 N N N N N N J.P. Morgan Alternative Loan T N/A 466309AA9 1598978.000000000000 PA USD 971385.650000000000 3.2645109524 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6.000000000000 N N N N N N Legacy Mortgage Asset Trust N/A 52472WAB5 1688664.000000000000 PA USD 1442919.760000000000 4.8491835967 Long ABS-MBS CORP US N 2 2070-01-28 Variable 5.250000000000 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd N/A 53946MAJ6 1500000.000000000000 PA USD 1431229.500000000000 4.8098964384 Long ABS-CBDO CORP KY N 2 2028-05-15 Floating 7.267860000000 N N N N N N MFA FINANCIAL INC YW72IMH2RRC8Z1TGLG58 55272X508 11334.000000000000 NS USD 199478.400000000000 0.6703819658 Long EP CORP US N 1 N N N Greywolf CLO Ltd 5493008JNE27URH1VF66 39810JAL0 1250000.000000000000 PA USD 525000.000000000000 1.7643540956 Long ABS-CBDO CORP KY N 3 2034-04-17 Variable .000000000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PCD3 41497.000000000000 PA USD 33546.560000000000 0.1127390677 Long ABS-MBS CORP US N 2 2033-10-19 Variable 3.610000000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PDK6 1101.000000000000 PA USD 1095.810000000000 0.0036826607 Long ABS-MBS CORP US N 2 2034-06-19 Floating 4.600000000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PHS5 6210.000000000000 PA USD 5370.900000000000 0.0180498465 Long ABS-MBS CORP US N 3 2034-12-19 Variable 4.570000000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PPN7 406791.000000000000 PA USD 176590.220000000000 0.5934622436 Long ABS-MBS CORP US N 3 2045-06-19 Floating 3.430000000000 N N N N N N Residential Asset Securitizati N/A 45660NXK6 384144.000000000000 PA USD 337903.540000000000 1.1355837995 Long ABS-MBS CORP US N 3 2034-02-25 Variable 5.820000000000 N N N N N N Elmwood CLO I Ltd. N/A 29001QAC4 1070000.000000000000 PA USD 575470.610000000000 1.9339693861 Long ABS-CBDO CORP KY N 3 2033-10-20 Variable .000000000000 N N N N N N First Horizon Alternative Mort N/A 32051D6F4 121528.000000000000 PA USD 98883.170000000000 0.3323141447 Long ABS-MBS CORP US N 3 2034-09-25 Variable 3.860000000000 N N N N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TBE9 500000.000000000000 PA USD 504375.000000000000 1.6950401847 Long ABS-MBS CORP US N 2 2049-07-25 Floating 12.540000000000 N N N N N N Freddie Mac - STACR N/A 35564XBE0 800000.000000000000 PA USD 735972.800000000000 2.4733649980 Long ABS-MBS CORP US N 2 2049-09-25 Floating 11.890000000000 N N N N N N Freddie Mac - STACR 5493003FQV7GR462GO02 35565HBE4 1000000.000000000000 PA USD 853329.000000000000 2.8677609830 Long ABS-MBS CORP US N 2 2050-01-25 Floating 9.638710000000 N N N N N N Freddie Mac - STACR N/A 35565LBE5 1000000.000000000000 PA USD 945000.000000000000 3.1758373722 Long ABS-MBS CORP US N 2 2050-03-25 Floating 11.988710000000 N N N N N N Countrywide Home Loans N/A 12669E5S1 255221.000000000000 PA USD 176349.690000000000 0.5926539006 Long ABS-MBS CORP US N 2 2034-02-19 Variable 4.130000000000 N N N N N N Countrywide Home Loans N/A 12669EF76 74472.000000000000 PA USD 68456.620000000000 0.2300604150 Long ABS-MBS CORP US N 2 2033-12-19 Variable 3.980000000000 N N N N N N Countrywide Home Loans N/A 12669F5C3 637226.000000000000 PA USD 487304.860000000000 1.6376730011 Long ABS-MBS CORP US N 3 2034-10-25 Fixed 6.000000000000 N N N N N N Fannie Mae - CAS N/A 20753YAL6 1080000.000000000000 PA USD 1031131.080000000000 3.4652958936 Long ABS-MBS CORP US N 2 2042-03-25 Floating 13.430000000000 N N N N N N Deutsche Mortgage Securities, N/A 251563FD9 2459.000000000000 PA USD 2189.060000000000 0.0073567181 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.740000000000 N N N N N N Diamond CLO 2019-1 LLC N/A 25257BAA0 1000000.000000000000 PA USD 947340.000000000000 3.1837013504 Long ABS-CBDO CORP KY N 2 2029-04-25 Floating 12.408430000000 N N N N N N Countrywide Alternative Loan T N/A 12668AMJ1 240561.000000000000 PA USD 131894.170000000000 0.4432533696 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.500000000000 N N N N N N Countrywide Alternative Loan T N/A 12668BUA9 65723.000000000000 PA USD 57742.630000000000 0.1940541824 Long ABS-MBS CORP US N 3 2036-05-25 Fixed 5.500000000000 N N N N N N Countrywide Alternative Loan T N/A 12668EAD9 166252.000000000000 PA USD 93725.510000000000 0.3149809284 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.500000000000 N N N N N N Countrywide Home Loans N/A 126694G93 78304.000000000000 PA USD 47339.080000000000 0.1590912375 Long ABS-MBS CORP US N 3 2036-04-25 Fixed 6.000000000000 N N N N N N Countrywide Home Loans N/A 126694PN2 246674.000000000000 PA USD 160510.990000000000 0.5394251859 Long ABS-MBS CORP US N 3 2023-11-25 Fixed 5.250000000000 N N N N N N Countrywide Home Loans N/A 12669DBA5 267661.000000000000 PA USD 255435.910000000000 0.8584369409 Long ABS-MBS CORP US N 3 2032-11-25 Fixed 6.250000000000 N N N N N N ANNALY CAPITAL MGMT 2DTL0G3FPRYUT58TI025 035710862 1594.000000000000 NS USD 36805.460000000000 0.1236911697 Long EP CORP US N 1 N N N Bear Stearns Alt-A Trust N/A 07386HZM6 643166.000000000000 PA USD 572961.360000000000 1.9255366136 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.420000000000 N N N N N N Bear Stearns Mortgage Funding N/A 07401MAG6 205924.000000000000 PA USD 198498.160000000000 0.6670876982 Long ABS-MBS CORP US N 3 2037-02-25 Floating 4.790000000000 N N N N N N Blackbird Capital Aircraft N/A 09229CAB5 938582.000000000000 PA USD 690997.250000000000 2.3222168155 Long ABS-O CORP US N 2 2046-07-15 Fixed 3.446000000000 N N N N N N Bluemountain CLO Ltd N/A 09629WAE1 1000000.000000000000 PA USD 161467.000000000000 0.5426380243 Long ABS-CBDO CORP KY N 3 2031-08-15 Variable .000000000000 N N N N N N CHCP 2021-FL1 Ltd. N/A 12546JAJ3 1100000.000000000000 PA USD 1014668.600000000000 3.4099708574 Long ABS-CBDO CORP KY N 2 2038-02-15 Floating 7.440200000000 N N N N N N AMSR Trust N/A 00180AAH2 1000000.000000000000 PA USD 926539.000000000000 3.1137959608 Long ABS-O CORP US N 2 2037-04-17 Fixed 5.302000000000 N N N N N N AMSR Trust N/A 00180AAJ8 1310000.000000000000 PA USD 1242210.120000000000 4.1746638341 Long ABS-O CORP US N 2 2037-04-17 Fixed 8.193000000000 N N N N N N ACREC 2021-FL1 Ltd. N/A 00500RAL9 1300000.000000000000 PA USD 1184407.900000000000 3.9804093891 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 7.326290000000 N N N N N N AIR CANADA 2020-1C PTT N/A 008911BD0 650000.000000000000 PA USD 659835.800000000000 2.2174933261 Long DBT CORP CA N 2 2026-07-15 Fixed 10.500000000000 N N N N N N AIR CANADA 2013-1A PTT N/A 009089AA1 1141502.000000000000 PA USD 1042978.940000000000 3.5051126942 Long DBT CORP CA N 2 2025-05-15 Fixed 4.125000000000 N N N N N N Allegro CLO Ltd 635400EBXLHIKFL2MP73 01750DAC5 2100000.000000000000 PA USD 609000.000000000000 2.0466507510 Long ABS-CBDO CORP KY N 2 2031-06-13 Variable .000000000000 N N N N N N ANN 08/09/32 @ 2.61% N/A N/A 1.000000000000 NC USD 154650.87 0.5197312302 N/A DIR US N 2 JP Morgan ZBUT11V806EZRVTWT807 Y 2032-08-09 0.000000000000 USD 5499.390000000000 USD -2087000.000000000000 USD 160150.26 N N N ANN 12/27/32 @ 3.358% N/A N/A 1.000000000000 NC USD -2755.8 -0.0092613467 N/A DIR US N 2 JP Morgan ZBUT11V806EZRVTWT807 Y 2032-12-27 0.000000000000 USD 0.000000000000 USD 200000.000000000000 USD -2755.800000000000 N N N AASET 2021-1 Trust N/A 00038PAC4 2102410.000000000000 PA USD 1610768.050000000000 5.4132670593 Long ABS-O CORP US N 3 2041-11-16 Fixed 5.822000000000 N N N N N N AGNC INVESTMENT CORP 5TRACI5HRMELWV32OF39 00123Q872 49521.000000000000 NS USD 954764.880000000000 3.2086539551 Long EP CORP US N 1 N N N Zais CLO 6 LTD 549300ZPQFDVEE67IB71 98887UAA3 1000000.000000000000 PA USD 714784.000000000000 2.4021563389 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 11.079140000000 N N N N N N CDS - QTR 12/20/2026 v. CDX.NA.HY.37.15-25 (Senior NR) @ 5% N/A N/A 1.000000000000 NC Private Investment USD -18630.000000000000 -0.0626093653 N/A DCR US N 2 Morgan Stanley 9R7GPTSO7KV3UQJZQ078 Y DEFAULT EVENT SETTLEMENT 2026-12-20 20500.000000000000 USD 0.000000000000 USD -1000000 USD -39130.000000000000 N N N OFSBS-2018-1A-FEE N/A N/A 1332000.000000000000 PA USD 3864.130000000000 0.0129860830 Long DBT CORP CA N 3 2026-10-15 Fixed .000000000000 N N N N N N Raistone - First Brands Supply Chain Finance Program 04/05/23 N/A N/A 900743.000000000000 PA USD 872270.780000000000 2.9314181394 Long LON CORP US N 3 2023-04-05 Fixed .000000000000 N N N N N N Raistone - First Brands Supply Chain Finance Program 05/24/23 N/A N/A 1150012.000000000000 PA USD 1095698.830000000000 3.6822870825 Long LON CORP US N 3 2023-05-24 Fixed .000000000000 N N N N N N SBA_JVB_03 N/A N/A 9307954.000000000000 PA USD 783748.310000000000 2.6339229347 Long LON CORP US N 3 2035-05-01 Fixed 2.560000000000 N N N N N N Vibrant CLO Ltd 5493007UH0SOAZ6NCZ28 92557RAC8 1200000.000000000000 PA USD 222459.600000000000 0.7476142979 Long ABS-CBDO CORP KY N 3 2031-01-20 Variable .000000000000 N N N N N N Voya CLO Ltd N/A 92917BAC8 1100000.000000000000 PA USD 407000.000000000000 1.3677945084 Long ABS-CBDO CORP KY N 2 2031-04-19 Variable .000000000000 N N N N N N Wachovia Mortgage Loan Trust, N/A 92977YAA9 132377.000000000000 PA USD 118289.280000000000 0.3975317631 Long ABS-MBS CORP US N 3 2035-08-20 Variable 3.540000000000 N N N N N N Washington Mutual Mortgage Pas N/A 9393366V0 372641.000000000000 PA USD 285668.870000000000 0.9600400777 Long ABS-MBS CORP US N 3 2035-06-25 Floating 4.990000000000 N N N N N N Wells Fargo Alternative Loan T N/A 94984UAL0 388431.000000000000 PA USD 340633.350000000000 1.1447578023 Long ABS-MBS CORP US N 3 2037-07-25 Variable 3.370000000000 N N N N N N Wells Fargo Alternative Loan T N/A 94985GBB1 106755.000000000000 PA USD 99949.300000000000 0.3358970606 Long ABS-MBS CORP US N 3 2037-07-25 Fixed 6.000000000000 N N N N N N Tralee CLO Ltd 54930005YIOSJ9Z81114 89300GAA2 800000.000000000000 PA USD 304000.000000000000 1.0216450382 Long ABS-CBDO CORP KY N 2 2034-10-20 Variable .000000000000 N N N N N N Tralee CLO Ltd 54930005YIOSJ9Z81114 89300GAE4 50000.000000000000 PA USD 35656.600000000000 0.1198302252 Long ABS-CBDO CORP KY N 3 2034-10-20 Floating 13.132570000000 N N N N N N Venture CDO Ltd 549300UP09C89Q3HWD39 92325RAE5 600000.000000000000 PA USD 205800.000000000000 0.6916268055 Long ABS-CBDO CORP KY N 3 2031-07-18 Variable .000000000000 N N N N N N Venture CDO Ltd 549300A6M3BR8FZNXO79 92329UAA2 1000000.000000000000 PA USD 765131.000000000000 2.5713562163 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 11.442570000000 N N N N N N Venture CDO Ltd 549300EDZDHKTKE7JV77 92330RAC2 1100000.000000000000 PA USD 231000.000000000000 0.7763158021 Long ABS-CBDO CORP KY N 2 2028-10-20 Variable .000000000000 N N N N N N Venture CDO Ltd 549300MYRV6PEDBLPL32 92332EAB1 470000.000000000000 PA USD 162150.000000000000 0.5449333650 Long ABS-CBDO CORP KY N 2 2031-10-15 Variable .000000000000 N N N N N N STAR 2022-SFR3 Trust N/A 78474PAN7 2020000.000000000000 PA USD 1913723.760000000000 6.4314025788 Long ABS-O CORP US N 2 2024-05-17 Floating 8.821020000000 N N N N N N SKYAF III E (Westjet) N/A 830849105 1050000.000000000000 PA USD 966000.000000000000 3.2464115360 Long ABS-O CORP US N 3 2038-07-27 Fixed .000000000000 N N N N N N SOLRR Aircraft 2021-1 Limited N/A 83438LAC5 1614409.000000000000 PA USD 1272966.680000000000 4.2780266200 Long ABS-O CORP IE N 2 2046-10-15 Fixed 5.682000000000 N N N N N N Structured Adjustable Rate Mor N/A 863579G51 87165.000000000000 PA USD 77200.200000000000 0.2594447411 Long ABS-MBS CORP US N 3 2035-12-25 Variable 4.261336000000 N N N N N N Structured Asset Securities Co N/A 86359ARP0 118192.000000000000 PA USD 58125.770000000000 0.1953417912 Long ABS-MBS CORP US N 2 2033-03-25 Variable 3.860000000000 N N N N N N TPG Real Estate Finance N/A 87276WAJ2 2500000.000000000000 PA USD 2280155.000000000000 7.6628586914 Long ABS-CBDO CORP KY N 2 2038-03-15 Floating 7.926290000000 N N N N N N USD REPO N/A N/A -559000 OU Private Investment USD -559000 -1.8786170276 Short RA CORP US N N/A Reverse repurchase Y 6.26632 2023-03-27 -559000 USD 714784 USD ABS N N N USD REPO N/A N/A -581000 OU Private Investment USD -581000 -1.9525518659 Short RA CORP US N N/A Reverse repurchase Y 6.07 2023-02-28 -581000 USD 765131 USD ABS N N N USD REPO N/A N/A -1849000 OU Private Investment USD -1849000 -6.2138870911 Short RA CORP US N N/A Reverse repurchase Y 5.86632 2023-03-27 -1849000 USD 2280155 USD ABS N N N USD REPO N/A N/A -853000 OU Private Investment USD -853000 -2.8666553211 Short RA CORP US N N/A Reverse repurchase Y 6.16632 2023-03-27 -853000 USD 1258988.9 USD ABS N N N USD REPO N/A N/A -1182000 OU Private Investment USD -1182000 -3.9723172211 Short RA CORP US N N/A Reverse repurchase Y 5.13424 2023-01-12 -1182000 USD 1431229.5 USD ABS N N N USD REPO N/A N/A -711000 OU Private Investment USD -711000 -2.3894395467 Short RA CORP US N N/A Reverse repurchase Y 5.91 2023-02-22 -711000 USD 947340 USD ABS N N N USD REPO N/A N/A -754000 OU Private Investment USD -754000 -2.5339485488 Short RA CORP US N N/A Reverse repurchase Y 5.03424 2023-01-12 -754000 USD 922426 USD ABS N N N USD REPO N/A N/A -830000 OU Private Investment USD -830000 -2.7893598084 Short RA CORP US N N/A Reverse repurchase Y 5.91632 2023-03-27 -830000 USD 1184407.9 USD ABS N N N USD REPO N/A N/A -1497000 OU Private Investment USD -1497000 -5.0309296784 Short RA CORP US N N/A Reverse repurchase Y 4.34728 2023-02-10 -1497000 USD 1913723.76 USD ABS N N N USD REPO N/A N/A -428000 OU Private Investment USD -428000 -1.4383686723 Short RA CORP US N N/A Reverse repurchase Y 4.5094 2023-02-10 -428000 USD 635232.75 USD ABS N N N USD REPO N/A N/A -1043000 OU Private Investment USD -1043000 -3.5051834700 Short RA CORP US N N/A Reverse repurchase Y 5.99 2023-01-30 -1043000 USD 1442919.76 USD ABS N N N USD REPO N/A N/A -555000 OU Private Investment USD -555000 -1.8651743297 Short RA CORP US N N/A Reverse repurchase Y 6.14 2023-01-30 -555000 USD 945000 USD ABS N N N USD REPO N/A N/A -478000 OU Private Investment USD -478000 -1.6064023957 Short RA CORP US N N/A Reverse repurchase Y 6.14 2023-01-30 -478000 USD 853329 USD ABS N N N USD REPO N/A N/A -426000 OU Private Investment USD -426000 -1.4316473233 Short RA CORP US N N/A Reverse repurchase Y 6.14 2023-01-30 -426000 USD 735972.8 USD ABS N N N USD REPO N/A N/A -568000 OU Private Investment USD -568000 -1.9088630978 Short RA CORP US N N/A Reverse repurchase Y 6.19 2023-01-30 -568000 USD 1031131.08 USD ABS N N N USD REPO N/A N/A -525000 OU Private Investment USD -525000 -1.7643540956 Short RA CORP US N N/A Reverse repurchase Y 5.3 2023-01-21 -525000 USD 659835.8 USD ABS N N N USD REPO N/A N/A -775000 OU Private Investment USD -775000 -2.6045227126 Short RA CORP US N N/A Reverse repurchase Y 4.49728 2023-02-10 -775000 USD 1242210.12 USD ABS N N N USD REPO N/A N/A -611000 OU Private Investment USD -611000 -2.0533720999 Short RA CORP US N N/A Reverse repurchase Y 4.5094 2023-02-10 -611000 USD 926539 USD ABS N N N 2023-02-23 Ellington Income Opportunities Fund /s/ Christopher Moran Christopher Moran Treasurer