10-Q 1 ellingtonfinancial-2013033.htm 10-Q EllingtonFinancial-2013.03.31-10-Q
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 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
)
Total U.S. Treasury Securities Sold Short (Proceeds -$13,081)