UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2013

OR

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                      to         

Commission file number 001-34569

Ellington Financial LLC

(Exact Name of Registrant as Specified in Its Charter)

Delaware	26-0489289
(State or Other Jurisdiction of Incorporation or Organization)	(I.R.S. Employer Identification No.)
53 Forest Avenue, Old Greenwich, Connecticut 06870
(Address of Principal Executive Office) (Zip Code)

(203) 698-1200

(Registrant’s Telephone Number, Including Area Code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  x    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definitions of "large accelerated filers" "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.

Large Accelerated Filer	¨	Accelerated Filer	x
Non-Accelerated Filer	¨	Smaller Reporting Company	¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨    No  x

Indicate the number of shares outstanding of each of the issuer's classes of common stock, as of the latest practicable date.

Class	Outstanding at May 3, 2013
Common Shares Representing Limited Liability Company Interests, no par value	20,412,011

ELLINGTON FINANCIAL LLC

INDEX

Part I. Financial Information		3
	Item 1. Consolidated Financial Statements (unaudited)	3
	Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	44
	Item 3. Quantitative and Qualitative Disclosures about Market Risk	62
	Item 4. Controls and Procedures	64
Part II. Other Information		65
	Item 1. Legal Proceedings	65
	Item 1A. Risk Factors	65
	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	65
	Item 6. Exhibits	66

PART 1. FINANCIAL INFORMATION

Item 1.     Consolidated Financial Statements (unaudited)

ELLINGTON FINANCIAL LLC

CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES, AND EQUITY

(UNAUDITED)

	March 31, 2013		December 31, 2012
(In thousands except share amounts)	Expressed in U.S. Dollars
ASSETS
Cash and cash equivalents	$	64,753	$	59,084
Investments, financial derivatives, and repurchase agreements:
Investments at fair value (Cost – $1,465,788 and $1,328,153)	1,535,924		1,375,116
Financial derivatives – assets at fair value (Net cost – $56,769 and $65,860)	36,250		48,504
Repurchase agreements (Cost – $42,614 and $13,650)	42,614		13,650
Total investments, financial derivatives, and repurchase agreements	1,614,788		1,437,270
Deposits with dealers held as collateral	21,977		22,744
Receivable for securities sold	609,239		626,919
Interest and principal receivable	5,507		5,719
Other assets	410		379
Total Assets	$	2,316,674	$	2,152,115
LIABILITIES
Investments and financial derivatives:
Investments sold short at fair value (Proceeds – $648,101 and $621,048)	$	649,756	$	622,301
Financial derivatives – liabilities at fair value (Net proceeds – $14,358 and $13,171)	18,490		15,212
Total investments and financial derivatives	668,246		637,513
Reverse repurchase agreements	965,272		905,718
Due to brokers on margin accounts	21,599		30,954
Payable for securities purchased	132,750		57,333
Securitized debt (Proceeds – $1,250 and $1,311)	1,205		1,335
Accounts payable and accrued expenses	1,929		1,995
Base management fee payable	1,967		1,934
Incentive fee payable	2,055		7,343
Other payables	—		903
Interest and dividends payable	1,049		732
Total Liabilities	1,796,072		1,645,760
EQUITY	520,602		506,355
TOTAL LIABILITIES AND EQUITY	$	2,316,674	$	2,152,115
ANALYSIS OF EQUITY:
Common shares, no par value, 100,000,000 shares authorized;
(20,403,723 and 20,370,469 shares issued and outstanding)	$	506,825	$	497,373
Additional paid-in capital – LTIP units	9,023		8,982
Total Shareholders' Equity	515,848		506,355
Non-controlling interest	4,754		—
Total Equity	$	520,602	$	506,355
PER SHARE INFORMATION:
Common shares	$	25.28	$	24.86

See Notes to the Consolidated Financial Statements

3

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2013

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
North America (p)
Long Investments (295.03%) (a) (n)
Mortgage-Backed Securities (290.93%)
Agency Securities (182.67%) (b)
Fixed Rate Agency Securities (177.72%)
Principal and Interest - Fixed Rate Agency Securities (159.48%)
$	49,189	Federal National Mortgage Association Pool	3.50%	12/42	$	52,092
45,060		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	47,650
39,792		Federal National Mortgage Association Pool	3.50%	1/43	42,279
20,398		Federal National Mortgage Association Pool	4.50%	12/41	22,178
17,762		Federal National Mortgage Association Pool	4.50%	9/41	19,313
17,949		Federal National Mortgage Association Pool	3.50%	8/42	19,076
17,069		Federal National Mortgage Association Pool	5.00%	8/41	18,599
16,771		Federal National Mortgage Association Pool	4.50%	10/41	18,235
16,051		Federal Home Loan Mortgage Corporation Pool	5.00%	7/41	17,470
14,612		Federal National Mortgage Association Pool	5.00%	3/41	16,050
14,033		Federal National Mortgage Association Pool	3.50%	4/43	14,820
13,478		Federal National Mortgage Association Pool	4.00%	8/42	14,499
13,431		Federal National Mortgage Association Pool	3.50%	4/43	14,218
13,268		Federal Home Loan Mortgage Corporation Pool	3.00%	10/42	13,646
11,483		Federal National Mortgage Association Pool	4.50%	9/41	12,414
11,470		Federal National Mortgage Association Pool	4.00%	11/41	12,271
10,960		Federal National Mortgage Association Pool	5.00%	7/41	12,011
10,122		Federal National Mortgage Association Pool	4.00%	1/42	10,807
10,098		Federal Home Loan Mortgage Corporation Pool	3.00%	2/43	10,384
9,090		Federal National Mortgage Association Pool	4.50%	4/26	9,808
8,963		Federal Home Loan Mortgage Corporation Pool	4.50%	10/41	9,705
8,048		Federal Home Loan Mortgage Corporation Pool	4.50%	2/41	8,720
7,049		Federal National Mortgage Association Pool	5.50%	10/39	7,728
6,300		Federal National Mortgage Association Pool	4.00%	7/26	6,745
6,296		Federal National Mortgage Association Pool	3.50%	2/43	6,656
5,581		Government National Mortgage Association	4.54%	11/62	6,378
5,482		Government National Mortgage Association	4.46%	2/63	6,272
5,897		Federal National Mortgage Association Pool	3.50%	5/42	6,249
5,339		Government National Mortgage Association	4.52%	1/63	6,111
5,329		Government National Mortgage Association	4.58%	10/62	6,085
5,562		Federal National Mortgage Association Pool	4.00%	10/41	6,014
5,452		Federal National Mortgage Association Pool	5.00%	6/41	5,941

See Notes to Consolidated Financial Statements

4

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2013 (CONTINUED)

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Principal and Interest - Fixed Rate Agency Securities (159.48%) (continued)
$	5,143	Government National Mortgage Association	4.60%	6/62	$	5,850
5,186		Government National Mortgage Association	4.63%	6/61	5,828
5,385		Federal National Mortgage Association Pool	3.50%	8/42	5,690
5,275		Federal Home Loan Mortgage Corporation Pool	4.00%	5/42	5,670
5,333		Federal National Mortgage Association Pool	3.50%	11/42	5,638
5,061		Federal National Mortgage Association Pool	4.00%	4/42	5,475
5,021		Federal National Mortgage Association Pool	5.00%	11/40	5,471
5,005		Federal National Mortgage Association Pool	5.00%	7/41	5,422
4,677		Federal National Mortgage Association Pool	4.50%	8/41	5,056
4,587		Federal National Mortgage Association Pool	5.00%	10/41	4,992
4,701		Federal National Mortgage Association Pool	3.50%	7/42	4,966
4,624		Federal National Mortgage Association Pool	3.50%	4/43	4,896
4,487		Federal National Mortgage Association Pool	3.50%	11/42	4,761
4,496		Federal Home Loan Mortgage Corporation Pool	3.50%	9/42	4,755
4,442		Federal Home Loan Mortgage Corporation Pool	4.00%	2/42	4,741
4,359		Federal National Mortgage Association Pool	4.00%	9/42	4,689
4,335		Federal National Mortgage Association Pool	4.00%	6/26	4,642
4,236		Federal National Mortgage Association Pool	3.50%	11/42	4,486
4,199		Federal National Mortgage Association Pool	3.50%	5/43	4,435
4,173		Federal National Mortgage Association Pool	3.50%	5/43	4,424
4,144		Federal National Mortgage Association Pool	3.00%	7/27	4,364
3,906		Federal National Mortgage Association Pool	3.50%	8/42	4,126
3,848		Federal Home Loan Mortgage Corporation Pool	3.50%	10/42	4,057
3,651		Federal National Mortgage Association Pool	5.00%	10/35	4,011
3,767		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	3,977
3,413		Government National Mortgage Association	4.66%	1/63	3,935
3,590		Federal National Mortgage Association Pool	4.50%	4/42	3,913
3,300		Government National Mortgage Association	4.48%	2/63	3,798
3,341		Government National Mortgage Association	4.80%	2/61	3,742
3,551		Federal National Mortgage Association Pool	3.00%	8/27	3,739
3,478		Federal National Mortgage Association Pool	3.50%	6/27	3,714
3,513		Federal National Mortgage Association Pool	3.50%	12/42	3,714
3,403		Federal National Mortgage Association Pool	4.00%	4/42	3,668
3,464		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	3,650
3,392		Federal Home Loan Mortgage Corporation Pool	4.00%	11/41	3,624
3,378		Federal Home Loan Mortgage Corporation Pool	4.00%	1/42	3,609
3,147		Government National Mortgage Association	4.68%	10/61	3,557
3,244		Federal National Mortgage Association Pool	5.00%	6/40	3,535
3,256		Federal National Mortgage Association Pool	4.00%	9/42	3,503
3,399		Federal Home Loan Mortgage Corporation Pool	3.00%	11/42	3,497

See Notes to Consolidated Financial Statements

5

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2013 (CONTINUED)

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Principal and Interest - Fixed Rate Agency Securities (159.48%) (continued)
$	3,184	Federal National Mortgage Association Pool	4.50%	12/41	$	3,442
3,167		Federal National Mortgage Association Pool	4.00%	8/42	3,405
3,196		Federal Home Loan Mortgage Corporation Pool	3.50%	2/42	3,385
3,046		Federal Home Loan Mortgage Corporation Pool	4.50%	9/41	3,298
2,952		Federal Home Loan Mortgage Corporation Pool	6.00%	4/39	3,226
3,039		Federal National Mortgage Association Pool	3.50%	11/42	3,213
2,919		Federal National Mortgage Association Pool	4.00%	8/42	3,147
2,738		Government National Mortgage Association	4.49%	11/62	3,125
2,905		Federal National Mortgage Association Pool	3.50%	7/27	3,096
2,815		Federal National Mortgage Association Pool	4.50%	10/41	3,053
2,629		Government National Mortgage Association	4.58%	11/62	3,009
2,610		Government National Mortgage Association	4.55%	10/62	2,983
2,677		Federal National Mortgage Association Pool	4.50%	11/41	2,893
2,623		Federal National Mortgage Association Pool	4.00%	3/43	2,822
2,555		Federal National Mortgage Association Pool	4.00%	8/42	2,747
2,485		Federal National Mortgage Association Pool	4.00%	9/42	2,672
2,507		Federal National Mortgage Association Pool	3.50%	11/42	2,650
2,486		Federal National Mortgage Association Pool	3.50%	8/42	2,644
2,505		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	2,640
2,488		Federal Home Loan Mortgage Corporation Pool	3.50%	1/42	2,626
83,131		Other Federal National Mortgage Association Pools	3.00% -6.00%	3/26 - 4/43	89,028
18,618		Other Federal Home Loan Mortgage Corporation Pools	3.50% -6.00%	4/26 - 4/43	19,809
2,925		Other Government National Mortgage Association Pools	4.65% -4.68%	11/61 - 12/61	3,309
					830,266
Interest Only - Fixed Rate Agency Securities (0.96%)
16,559		Other Federal National Mortgage Association	4.00% - 5.50%	1/36 - 10/40	1,685
17,466		Other Federal Home Loan Mortgage Corporation	3.00% - 5.50%	6/33 - 1/43	2,169
11,333		Other Government National Mortgage Association	3.00% - 5.50%	3/36 - 11/42	1,143
					4,997
TBA - Fixed Rate Agency Securities (17.28%)
65,800		Federal Home Loan Mortgage Corporation (30 Year)	3.00%	4/13	67,574
18,950		Federal Home Loan Mortgage Corporation (30 Year)	4.00%	4/13	20,143
2,170		Other Federal National Mortgage Association (15 Year)	2.50%	4/13	2,252
					89,969
Total Fixed Rate Agency Securities (Cost $922,140)					925,232

See Notes to Consolidated Financial Statements

6

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2013 (CONTINUED)

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Floating Rate Agency Securities (4.95%)
Principal and Interest - Floating Rate Agency Securities (2.79%)
$	5,131	Federal National Mortgage Association Pool	5.10%	5/38	$	5,410
3,526		Federal National Mortgage Association Pool	2.55%	12/35	3,713
5,063		Other Federal National Mortgage Association Pools	4.93% - 5.67%	4/36 - 9/37	5,389
					14,512
Interest Only - Floating Rate Agency Securities (2.16%)
23,123		Resecuritization of Government National Mortgage Association (o)	4.28%	8/60	3,274
47,061		Other Government National Mortgage Association	2.57% - 6.55%	11/42 - 4/61	6,915
5,301		Other Federal National Mortgage Association	5.50% - 6.45%	8/36 - 12/41	1,042
					11,231
Total Floating Rate Agency Securities (Cost $25,043)					25,743
Total Agency Securities (Cost $947,183)					950,975
Private Label Securities (108.26%)
Principal and Interest - Private Label Securities (107.46%)
767,990		Various	0.29% - 9.35%	5/19 - 6/47	559,418
Total Principal and Interest - Private Label Securities (Cost $494,043)					559,418
Principal Only - Private Label Securities (0.57%)
5,800		Various	—%	8/30	2,967
Total Principal Only - Private Label Securities (Cost $2,297)					2,967
Interest Only - Private Label Securities (0.23%)
57,691		Various	0.50%-2.00%	6/44 - 9/47	1,213
Total Interest Only - Private Label Securities (Cost $597)					1,213
Other Private Label Securities (0.00%)
145,163		Various	—%	6/37	—
Total Other Private Label Securities (Cost $393)					—
Total Private Label Securities (Cost $497,330)					563,598
Total Mortgage-Backed Securities (Cost $1,444,513)					1,514,573
Other Asset-Backed Securities (2.23%)
15,876		Various	0% - 5.80%	5/16 - 12/49	11,638
Total Other Asset-Backed Securities (Cost $11,745)					11,638
Commercial Mortgage Loans (1.87%) (m)
10,225		Various	0% - 7.25%	11/13 - 5/39	9,713
Total Commercial Mortgage Loans (Cost $9,530)					9,713
Total Long Investments (Cost $1,465,788)					$	1,535,924

See Notes to Consolidated Financial Statements

7

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2013 (CONTINUED)

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Repurchase Agreements (8.19%) (a) (c)
$	18,980	J.P. Morgan Securities Inc. Collateralized by Par Value $18,700 U.S. Treasury Note, Coupon 2.00%, Maturity Date 2/23	(0.15)%	4/13	$	18,980
13,634		J.P. Morgan Securities Inc. Collateralized by Par Value $13,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16	0.22%	4/13	13,634
10,000		J.P. Morgan Securities Inc. Collateralized by Par Value $10,000 U.S. Treasury Note, Coupon 1.13%, Maturity Date 12/19	0.09%	4/13	10,000
Total Repurchase Agreements (Cost $42,614)					$	42,614

Investments Sold Short (-124.81%) (a)
TBA - Fixed Rate Agency Securities Sold Short (-116.65%) (d)
$	(134,048	)	Federal National Mortgage Association (30 Year)	3.50%	4/13	$	(141,541	)
(79,730		)	Federal National Mortgage Association (30 Year)	4.50%	4/13	(85,894		)
(78,200		)	Federal National Mortgage Association (30 Year)	3.50%	5/13	(82,373		)
(66,180		)	Federal National Mortgage Association (30 Year)	3.00%	4/13	(68,256		)
(62,900		)	Federal Home Loan Mortgage Corporation (30 Year)	3.50%	4/13	(66,202		)
(55,400		)	Federal National Mortgage Association (30 Year)	5.00%	4/13	(60,020		)
(17,910		)	Federal National Mortgage Association (15 Year)	3.00%	4/13	(18,839		)
(16,500		)	Federal Home Loan Mortgage Corporation (30 Year)	5.00%	4/13	(17,753		)
(15,460		)	Federal National Mortgage Association (30 Year)	4.00%	4/13	(16,482		)
(13,534		)	Federal National Mortgage Association (15 Year)	4.00%	4/13	(14,481		)
(11,000		)	Federal National Mortgage Association (15 Year)	4.50%	4/13	(11,828		)
(7,500		)	Federal National Mortgage Association (30 Year)	5.50%	4/13	(8,180		)
(6,600		)	Federal National Mortgage Association (30 Year)	4.00%	5/13	(7,028		)
(4,320		)	Federal National Mortgage Association (15 Year)	3.50%	4/13	(4,581		)
(2,500		)	Federal National Mortgage Association (30 Year)	6.00%	4/13	(2,738		)
(1,000		)	Other Federal Home Loan Mortgage Corporation (30 Year)	6.00%	4/13	(1,089		)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$606,162)						(607,285		)
U.S. Treasury Securities Sold Short (-8.16%)
(18,700		)	U.S. Treasury Note	2.00%	2/23	(18,947		)
(13,000		)	U.S. Treasury Note	1.75%	5/16	(13,554		)
(10,000		)	U.S. Treasury Note	1.13%	2/19	(9,970		)
Total U.S. Treasury Securities Sold Short (Proceeds -$41,939)						(42,471		)
Total Investments Sold Short (Proceeds -$648,101)						$	(649,756	)

See Notes to Consolidated Financial Statements

8

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2013 (CONTINUED)

(UNAUDITED)

	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S. Dollars
Financial Derivatives - Assets (6.96%) (a)
Swaps (6.96%)
Long Swaps:
Credit Default Swaps on Asset-Backed Indices (Proceeds - $217) (e)	Credit	$	2,285		12/37	$	78
Interest Rate Swaps (f)	Interest Rates	5,460			3/18 - 3/23	6
Total Return Swaps (k)	Equity Market	1,264			3/18	7
Short Swaps:
Credit Default Swaps on Asset-Backed Securities (g)	Credit	(32,571		)	11/34 - 5/36	26,398
Credit Default Swaps on Asset-Backed Indices (h)	Credit	(57,451		)	5/46 - 5/63	9,329
Interest Rate Swaps (i)	Interest Rates	(152,050		)	3/15 - 4/23	378
Total Return Swaps (k)	Equity Market	(6,396		)	9/13 - 3/18	54
Total Swaps (Net cost $56,769)						36,250
Total Financial Derivatives - Assets (Net cost $56,769)						$	36,250
Financial Derivatives - Liabilities (-3.55%) (a)
Swaps (-3.54%)
Long Swaps:
Credit Default Swaps on Asset-Backed Indices: (Net proceeds - $14,125) (e)	Credit	$	37,650		12/49 - 5/63	$	(14,170	)
Interest Rate Swaps (f)	Interest Rates	11,820			3/15 - 3/23	(23		)
Total Return Swaps (k)	Equity Market	1,176			3/18	(20		)
Short Swaps:
Interest Rate Swaps (i)	Interest Rates	(396,020		)	12/14 - 3/23	(1,461		)
Credit Default Swaps on Corporate Bond Indices (j)	Credit	(85,500		)	6/18	(2,759		)
Credit Default Swaps on Asset-Backed Securities (g)	Credit	(4,691		)	9/34 - 3/35	(2		)
Total Return Swaps (k)	Equity Market	(7,175		)	9/13 - 3/18	(7		)
Total Swaps (Net proceeds -$14,358)						(18,442		)
Futures (-0.01%)
Short Futures:
Eurodollar Futures (l)	Interest Rates	(42,000		)	6/13 - 9/13	(48		)
Total Futures						(48		)
Total Financial Derivatives - Liabilities (Net proceeds -$14,358)						$	(18,490	)

See Notes to Consolidated Financial Statements

9

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2013 (CONCLUDED)

(UNAUDITED)

________________

(a) See Note 2 and Note 3 in Notes to Consolidated Financial Statements.

(b) At March 31, 2013, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 116.33%, 51.87%, and 14.47% of equity, respectively.

(c) In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.

(d) At March 31, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 100.31% and 16.34% of equity, respectively.

(e) For long credit default swaps on asset-backed indices, the Company sold protection.

(f) For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received.

(g) For short credit default swaps on asset-backed securities, the Company purchased protection.

(h) For short credit default swaps on asset-backed indices, the Company purchased protection.

(i) For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received.

(j) For short credit default swaps on corporate bond indices, the Company purchased protection.

(k) Notional value represents number of underlying shares or par value times the closing price of the underlying security.

(l) Every $1,000,000 in notional value represents one contract.

(m) Includes a loan with a fair value in the amount of $5.0 million where the maturity date may be extended through November 4, 2015 as well as a non-performing commercial whole loan.

(n) The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."

Rating Description	Percent of Equity
Unrated but Agency-Guaranteed	182.67	%
Aaa/AAA/AAA	0.01	%
Aa/AA/AA	0.00	%
A/A/A	1.29	%
Baa/BBB/BBB	2.41	%
Ba/BB/BB or below	104.70	%
Unrated	3.95	%

(o) Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.

(p) Classification percentages are based on Total Equity.

See Notes to Consolidated Financial Statements

10

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2012

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
North America (p)
Long Investments (271.57%) (a) (n)
Mortgage-Backed Securities (269.68%)
Agency Securities (161.52%) (b)
Fixed Rate Agency Securities (157.46%)
Principal and Interest - Fixed Rate Agency Securities (148.21%)
$	49,427	Federal National Mortgage Association Pool	3.50%	12/42	$	52,864
45,304		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	48,596
35,601		Federal National Mortgage Association Pool	5.00%	7/37	38,657
21,338		Federal National Mortgage Association Pool	4.50%	12/41	23,268
18,227		Federal National Mortgage Association Pool	3.50%	8/42	19,552
17,845		Federal National Mortgage Association Pool	4.50%	9/41	19,459
17,634		Federal Home Loan Mortgage Corporation Pool	5.00%	7/41	19,218
17,621		Federal National Mortgage Association Pool	5.00%	8/41	19,201
17,113		Federal National Mortgage Association Pool	4.50%	10/41	18,661
15,869		Federal National Mortgage Association Pool	5.00%	3/41	17,430
14,911		Federal National Mortgage Association Pool	3.00%	10/42	15,642
14,242		Federal National Mortgage Association Pool	4.00%	8/42	15,407
13,519		Federal Home Loan Mortgage Corporation Pool	3.00%	10/42	14,157
11,985		Federal National Mortgage Association Pool	4.50%	9/41	12,994
11,942		Federal National Mortgage Association Pool	4.00%	11/41	12,848
11,003		Federal National Mortgage Association Pool	5.00%	7/41	12,058
10,576		Federal National Mortgage Association Pool	4.00%	1/42	11,355
9,576		Federal National Mortgage Association Pool	4.50%	4/26	10,338
9,002		Federal Home Loan Mortgage Corporation Pool	4.50%	10/41	9,772
8,321		Federal Home Loan Mortgage Corporation Pool	4.50%	2/41	9,038
7,395		Federal National Mortgage Association Pool	5.50%	10/39	8,075
7,428		Federal National Mortgage Association Pool	3.50%	10/42	7,984
7,352		Federal National Mortgage Association Pool	4.00%	7/26	7,888
6,324		Federal National Mortgage Association Pool	5.00%	6/41	6,891
5,929		Federal National Mortgage Association Pool	3.50%	5/42	6,356
5,689		Federal Home Loan Mortgage Corporation Pool	4.00%	5/42	6,141
5,592		Federal National Mortgage Association Pool	4.00%	10/41	6,079
5,642		Federal National Mortgage Association Pool	3.50%	11/42	6,020
5,494		Federal National Mortgage Association Pool	3.50%	8/42	5,862
5,085		Federal National Mortgage Association Pool	5.00%	10/41	5,534
5,085		Federal National Mortgage Association Pool	4.00%	4/42	5,531
5,045		Federal National Mortgage Association Pool	5.00%	11/40	5,497
5,025		Federal National Mortgage Association Pool	5.00%	7/41	5,444
4,944		Federal National Mortgage Association Pool	4.50%	8/41	5,361
4,911		Federal Home Loan Mortgage Corporation Pool	3.50%	9/42	5,242

See Notes to Consolidated Financial Statements

11

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2012 (CONTINUED)

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Principal and Interest - Fixed Rate Agency Securities (148.21%) (continued)
$	4,676	Federal National Mortgage Association Pool	4.00%	9/42	$	5,059
4,725		Federal National Mortgage Association Pool	3.50%	7/42	5,042
4,699		Federal National Mortgage Association Pool	4.00%	6/26	5,041
4,513		Federal National Mortgage Association Pool	3.50%	11/42	4,828
4,465		Federal Home Loan Mortgage Corporation Pool	4.00%	2/42	4,787
4,456		Federal National Mortgage Association Pool	3.00%	7/27	4,710
4,261		Federal National Mortgage Association Pool	3.50%	11/42	4,573
4,009		Federal Home Loan Mortgage Corporation Pool	4.00%	11/41	4,303
3,964		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	4,229
3,926		Federal National Mortgage Association Pool	3.50%	8/42	4,189
3,798		Federal National Mortgage Association Pool	5.00%	10/35	4,172
3,864		Federal Home Loan Mortgage Corporation Pool	3.50%	10/42	4,116
3,728		Federal National Mortgage Association Pool	5.00%	6/40	4,062
3,726		Federal National Mortgage Association Pool	4.50%	12/41	4,040
3,763		Federal National Mortgage Association Pool	3.50%	6/27	4,022
3,766		Federal National Mortgage Association Pool	3.00%	8/27	3,980
3,606		Federal National Mortgage Association Pool	4.50%	4/42	3,941
3,526		Federal Home Loan Mortgage Corporation Pool	6.00%	4/39	3,848
3,534		Federal National Mortgage Association Pool	3.50%	12/42	3,770
3,442		Federal Home Loan Mortgage Corporation Pool	4.50%	9/41	3,737
3,483		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	3,712
3,419		Federal National Mortgage Association Pool	4.00%	4/42	3,706
3,404		Federal Home Loan Mortgage Corporation Pool	4.00%	1/42	3,653
3,344		Federal National Mortgage Association Pool	4.00%	9/42	3,618
3,415		Federal Home Loan Mortgage Corporation Pool	3.00%	11/42	3,573
3,288		Federal Home Loan Mortgage Corporation Pool	3.50%	2/42	3,518
3,182		Federal National Mortgage Association Pool	4.00%	8/42	3,440
3,095		Federal National Mortgage Association Pool	4.50%	11/41	3,355
3,053		Federal National Mortgage Association Pool	3.50%	11/42	3,262
2,931		Federal National Mortgage Association Pool	4.00%	8/42	3,178
2,947		Federal National Mortgage Association Pool	3.50%	7/27	3,145
2,921		Federal National Mortgage Association Pool	3.50%	6/27	3,123
2,828		Federal National Mortgage Association Pool	4.50%	10/41	3,076
2,605		Government National Mortgage Association	4.55%	10/62	2,977
2,676		Federal National Mortgage Association Pool	4.50%	10/41	2,901
2,566		Federal National Mortgage Association Pool	4.00%	8/42	2,774
2,490		Federal National Mortgage Association Pool	4.50%	8/42	2,719
2,497		Federal National Mortgage Association Pool	4.00%	9/42	2,699
2,519		Federal National Mortgage Association Pool	3.50%	11/42	2,690
2,520		Federal Home Loan Mortgage Corporation Pool	3.50%	11/42	2,685

See Notes to Consolidated Financial Statements

12

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2012 (CONTINUED)

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Principal and Interest - Fixed Rate Agency Securities (148.21%) (continued)
$	2,498	Federal National Mortgage Association Pool	3.50%	8/42	$	2,679
2,500		Federal Home Loan Mortgage Corporation Pool	3.50%	1/42	2,667
2,452		Federal National Mortgage Association Pool	3.50%	11/42	2,619
2,377		Federal National Mortgage Association Pool	4.00%	6/42	2,564
69,330		Other Federal National Mortgage Association Pools	2.50% - 6.00%	3/26 - 1/43	74,508
19,340		Other Federal Home Loan Mortgage Corporation Pools	3.50% - 6.00%	4/26 - 12/42	20,744
					750,454
Interest Only - Fixed Rate Agency Securities (0.64%)
20,095		Other Federal National Mortgage Association	4.00% - 5.50%	1/36 - 10/40	1,920
10,426		Other Federal Home Loan Mortgage Corporation	5.00% - 5.50%	6/33 - 1/39	1,195
4,269		Other Government National Mortgage Association	5.50%	3/36	135
					3,250
TBA - Fixed Rate Agency Securities (8.61%)
18,950		Federal Home Loan Mortgage Corporation (30 Year)	4.00%	1/13	20,232
16,600		Federal National Mortgage Association (15 Year)	3.00%	1/13	17,523
5,600		Federal Home Loan Mortgage Corporation (30 Year)	3.00%	1/13	5,855
					43,610
Total Fixed Rate Agency Securities (Cost $789,964)					797,314
Floating Rate Agency Securities (4.06%)
Principal and Interest - Floating Rate Agency Securities (3.39%)
6,045		Federal National Mortgage Association Pool	5.08%	5/38	6,374
4,537		Federal National Mortgage Association Pool	3.14%	12/35	4,783
2,478		Federal National Mortgage Association Pool	5.69%	4/36	2,627
3,159		Other Federal National Mortgage Association Pools	4.93% - 5.50%	7/37 - 9/37	3,385
					17,169
Interest Only - Floating Rate Agency Securities (0.67%)
23,140		Resecuritization of Government National Mortgage Association (o)	4.28%	8/60	3,242
1,042		Other Federal National Mortgage Association	5.50%	8/36	152
					3,394
Total Floating Rate Agency Securities (Cost $19,979)					20,563
Total Agency Securities (Cost $809,943)					817,877

See Notes to Consolidated Financial Statements

13

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2012 (CONTINUED)

(UNAUDITED)

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Private Label Securities (108.16%)
Principal and Interest - Private Label Securities (107.47%)
$	850,320	Various	0.17% - 9.35%	5/19 - 5/47	$	544,208
Total Principal and Interest - Private Label Securities (Cost $505,380)					544,208
Principal Only - Private Label Securities (0.46%)
5,800		Various	—%	8/30	2,320
Total Principal Only - Private Label Securities (Cost $2,242)					2,320
Interest Only - Private Label Securities (0.23%)
61,640		Various	0.50% - 2.00%	6/44 - 9/47	1,165
Total Interest Only - Private Label Securities (Cost $637)					1,165
Other Private Label Securities (0.00%)
158,348		Various	—%	6/37	—
Total Other Private Label Securities (Cost $429)					—
Total Private Label Securities (Cost $508,688)					547,693
Total Mortgage-Backed Securities (Cost $1,318,631)					1,365,570
Commercial Mortgage Loans (1.89%) (m)
10,225		Various	5.00% - 6.25%	11/13 - 5/39	9,546
Total Commercial Mortgage Loans (Cost $9,522)					9,546
Total Long Investments (Cost $1,328,153)					$	1,375,116

Repurchase Agreements (2.70%) (a) (c)
$	13,650	Bank of America Securities	0.20%	1/13	$	13,650
		Collateralized by Par Value $13,000
		U.S. Treasury Note, Coupon 1.75%,
		Maturity Date 5/16
Total Repurchase Agreements (Cost $13,650)					$	13,650

See Notes to Consolidated Financial Statements

14

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2012 (CONTINUED)

(UNAUDITED)

Current Principal/Notional Value			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
Investments Sold Short (-122.90%) (a)
TBA - Fixed Rate Agency Securities Sold Short (-120.22%) (d)
$	(198,168	)	Federal National Mortgage Association (30 Year)	3.50%	1/13	$	(211,343	)
(87,500		)	Federal National Mortgage Association (30 Year)	5.00%	1/13	(94,794		)
(77,730		)	Federal National Mortgage Association (30 Year)	4.50%	1/13	(83,982		)
(53,400		)	Federal Home Loan Mortgage Corporation (30 Year)	3.50%	1/13	(56,804		)
(34,510		)	Federal National Mortgage Association (15 Year)	3.00%	1/13	(36,430		)
(31,600		)	Federal National Mortgage Association (30 Year)	3.00%	1/13	(33,128		)
(16,500		)	Federal Home Loan Mortgage Corporation (30 Year)	5.00%	1/13	(17,776		)
(16,450		)	Federal National Mortgage Association (15 Year)	3.50%	1/13	(17,460		)
(15,718		)	Federal National Mortgage Association (30 Year)	4.00%	1/13	(16,852		)
(14,104		)	Federal National Mortgage Association (15 Year)	4.00%	1/13	(15,096		)
(11,000		)	Federal National Mortgage Association (15 Year)	4.50%	1/13	(11,833		)
(7,500		)	Federal National Mortgage Association (30 Year)	5.50%	1/13	(8,148		)
(2,500		)	Federal National Mortgage Association (30 Year)	6.00%	1/13	(2,731		)
(1,200		)	Other Federal National Mortgage Association (15 Year)	2.50%	1/13	(1,255		)
(1,000		)	Other Federal Home Loan Mortgage Corporation (30 Year)	6.00%	1/13	(1,088		)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$607,967)						(608,720		)
U.S. Treasury Securities Sold Short (-2.68%)
(13,000		)	U.S. Treasury Note	1.75%	05/16	(13,581		)