10-Q 1 ellingtonfinancial-2013093.htm 10-Q EllingtonFinancial-2013.09.30-10-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 September 30, 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 November 4, 2013
Common Shares Representing Limited Liability Company Interests, no par value
 
25,428,186




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)
 
 
September 30,
2013
 
December 31,
2012
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
186,737

 
$
59,084

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments at fair value (Cost – $1,806,749 and $1,328,153)
1,851,751

 
1,375,116

Financial derivatives – assets at fair value (Net cost – $43,199 and $65,860)
43,567

 
48,504

Repurchase agreements (Cost – $40,994 and $13,650)
40,994

 
13,650

Total investments, financial derivatives, and repurchase agreements
1,936,312

 
1,437,270

Due from brokers
65,159

 
22,744

Receivable for securities sold
926,638

 
626,919

Interest and principal receivable
6,691

 
5,719

Other assets
1,165

 
379

Total Assets
$
3,122,702

 
$
2,152,115

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short at fair value (Proceeds – $850,801 and $621,048)
$
860,128

 
$
622,301

Financial derivatives – liabilities at fair value (Net proceeds – $28,271 and $13,171)
33,457

 
15,212

Total investments and financial derivatives
893,585

 
637,513

Reverse repurchase agreements
1,345,223

 
905,718

Due to brokers
13,740

 
30,954

Payable for securities purchased
230,650

 
57,333

Securitized debt (Proceeds – $1,050 and $1,311)
1,038

 
1,335

Accounts payable and accrued expenses
2,241

 
1,995

Base management fee payable
2,378

 
1,934

Incentive fee payable
2,038

 
7,343

Other payables
507

 
903

Interest and dividends payable
1,500

 
732

Total Liabilities
2,492,900

 
1,645,760

EQUITY
629,802

 
506,355

TOTAL LIABILITIES AND EQUITY
$
3,122,702

 
$
2,152,115

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(25,418,937 and 20,370,469 shares issued and outstanding)
$
616,104

 
$
497,373

Additional paid-in capital – LTIP units
9,069

 
8,982

Total Shareholders' Equity
625,173

 
506,355

Non-controlling interest
4,629

 
—

Total Equity
$
629,802

 
$
506,355

PER SHARE INFORMATION:
 
 
 
Common shares
$
24.59

 
$
24.86

See Notes to Consolidated Financial Statements

3
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013
(UNAUDITED)

Current Principal/
Notional Value/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S. Dollars
North America (r)
 
 
 
 
 
 
Long Investments (294.02%) (a) (p)
 
 
 
 
 
 
Mortgage-Backed Securities (284.46%)
 
 
 
 
 
 
Agency Securities (175.66%) (b)
 
 
 
 
 
 
Fixed Rate Agency Securities (166.06%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (144.27%)
 
 
 
 
 
 
$
74,364

 
Federal National Mortgage Association Pool
 
3.50%
 
2/43
 
$
75,049

39,099

 
Federal National Mortgage Association Pool
 
3.50%
 
1/43
 
39,325

20,503

 
Federal Home Loan Mortgage Corporation Pool
 
5.50%
 
10/39
 
22,245

16,299

 
Federal National Mortgage Association Pool
 
4.50%
 
9/41
 
17,457

17,060

 
Federal National Mortgage Association Pool
 
3.50%
 
8/42
 
17,386

15,867

 
Federal National Mortgage Association Pool
 
5.00%
 
8/41
 
17,255

16,822

 
Federal National Mortgage Association Pool
 
3.00%
 
6/28
 
17,208

15,384

 
Federal National Mortgage Association Pool
 
4.50%
 
10/41
 
16,473

15,142

 
Federal Home Loan Mortgage Corporation Pool
 
5.00%
 
7/41
 
16,392

13,490

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
14,172

12,662

 
Federal National Mortgage Association Pool
 
5.00%
 
3/41
 
13,765

11,639

 
Federal National Mortgage Association Pool
 
4.00%
 
10/43
 
12,259

12,022

 
Federal National Mortgage Association Pool
 
3.00%
 
8/42
 
11,759

10,298

 
Federal National Mortgage Association Pool
 
5.00%
 
7/41
 
11,214

10,371

 
Federal National Mortgage Association Pool
 
4.50%
 
9/41
 
11,079

9,936

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
7/43
 
10,420

9,152

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
9,630

9,974

 
Federal National Mortgage Association Pool
 
3.00%
 
8/43
 
9,592

9,798

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
2/43
 
9,547

8,880

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/41
 
9,476

7,744

 
Federal National Mortgage Association Pool
 
4.50%
 
4/26
 
8,227

7,443

 
Federal National Mortgage Association Pool
 
3.50%
 
11/42
 
7,589

6,886

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/43
 
7,170

6,315

 
Federal National Mortgage Association Pool
 
5.50%
 
10/39
 
6,948

6,200

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
6,475

6,070

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
6,398

6,052

 
Federal National Mortgage Association Pool
 
4.00%
 
10/43
 
6,348

6,433

 
Federal National Mortgage Association Pool
 
3.00%
 
4/42
 
6,292

5,918

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
6,227

6,332

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
1/43
 
6,171

5,602

 
Government National Mortgage Association Pool
 
4.46%
 
2/63
 
6,159

5,728

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
6,007


See Notes to Consolidated Financial Statements
4
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONTINUED)
(UNAUDITED)

Current Principal/
Notional Value/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Principal and Interest - Fixed Rate Agency Securities (144.27%) (continued)
 
 
 
 
$
6,118

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
4/43
 
$
5,964

5,396

 
Government National Mortgage Association Pool
 
4.54%
 
11/62
 
5,945

5,740

 
Federal National Mortgage Association Pool
 
3.50%
 
6/43
 
5,851

5,315

 
Government National Mortgage Association Pool
 
4.63%
 
6/61
 
5,809

5,990

 
Federal National Mortgage Association Pool
 
3.00%
 
8/43
 
5,761

5,378

 
Federal National Mortgage Association Pool
 
4.00%
 
7/26
 
5,719

5,184

 
Government National Mortgage Association Pool
 
4.58%
 
10/62
 
5,712

5,185

 
Government National Mortgage Association Pool
 
4.60%
 
6/62
 
5,707

5,163

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/43
 
5,502

5,046

 
Federal National Mortgage Association Pool
 
4.00%
 
1/43
 
5,306

5,037

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
5/42
 
5,267

4,826

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
5,047

4,984

 
Federal National Mortgage Association Pool
 
3.50%
 
6/43
 
5,030

4,746

 
Federal National Mortgage Association Pool
 
4.00%
 
4/42
 
4,982

5,063

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
6/43
 
4,934

4,500

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,903

4,603

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
4,827

4,485

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
4,814

4,494

 
Federal National Mortgage Association Pool
 
4.50%
 
8/43
 
4,807

4,697

 
Federal National Mortgage Association Pool
 
3.50%
 
8/43
 
4,789

4,455

 
Federal National Mortgage Association Pool
 
4.50%
 
8/41
 
4,765

4,869

 
Federal National Mortgage Association Pool
 
3.00%
 
6/42
 
4,763

4,326

 
Federal National Mortgage Association Pool
 
5.00%
 
11/40
 
4,699

4,585

 
Federal National Mortgage Association Pool
 
3.50%
 
7/42
 
4,673

4,376

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
9/43
 
4,665

4,701

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
2/43
 
4,581

4,038

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,395

4,173

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
4,369

4,355

 
Federal National Mortgage Association Pool
 
3.00%
 
3/42
 
4,260

4,247

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
6/43
 
4,259

3,814

 
Government National Mortgage Association Pool
 
4.80%
 
2/61
 
4,174

3,944

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/43
 
4,133

4,162

 
Federal National Mortgage Association Pool
 
3.00%
 
8/42
 
4,071

3,877

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
3/28
 
4,014

3,567

 
Government National Mortgage Association Pool
 
4.75%
 
1/61
 
3,891

3,452

 
Government National Mortgage Association Pool
 
4.66%
 
1/63
 
3,826

3,617

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
3,797

3,608

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
3,797

3,582

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
3,764


See Notes to Consolidated Financial Statements
5
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONTINUED)
(UNAUDITED)

Current Principal/
Notional Value/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Principal and Interest - Fixed Rate Agency Securities (144.27%) (continued)
 
 
 
 
$
3,419

 
Government National Mortgage Association Pool
 
4.69%
 
7/61
 
$
3,748

3,510

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
3,693

3,257

 
Federal National Mortgage Association Pool
 
5.00%
 
10/35
 
3,577

3,534

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
6/43
 
3,556

3,443

 
Federal National Mortgage Association Pool
 
3.50%
 
1/43
 
3,511

3,435

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
6/28
 
3,508

3,151

 
Government National Mortgage Association Pool
 
4.68%
 
10/61
 
3,458

3,208

 
Federal National Mortgage Association Pool
 
4.50%
 
4/42
 
3,433

3,221

 
Federal National Mortgage Association Pool
 
4.00%
 
6/26
 
3,424

3,264

 
Federal National Mortgage Association Pool
 
3.00%
 
6/28
 
3,384

3,156

 
Federal National Mortgage Association Pool
 
4.50%
 
12/41
 
3,378

3,208

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
3,370

3,289

 
Federal National Mortgage Association Pool
 
3.00%
 
3/28
 
3,365

3,098

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
9/43
 
3,324

3,181

 
Federal National Mortgage Association Pool
 
3.00%
 
7/28
 
3,299

3,342

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
4/43
 
3,257

3,015

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
3,165

112,885

 
Other Federal National Mortgage Association Pools
 
3.00% - 6.00%
 
6/28 - 10/43
 
118,649

87,522

 
Other Federal Home Loan Mortgage Corporation Pools
 
3.00% - 6.00%
 
12/27 - 10/43
 
90,161

10,942

 
Other Government National Mortgage Association Pools
 
4.49% - 4.68%
 
11/61 - 11/62
 
12,041

 
 
 
 
 
 
 
 
908,587

Interest Only - Fixed Rate Agency Securities (2.24%)
 
 
 
 
62,344

 
Other Federal National Mortgage Association
 
3.00% - 5.50%
 
12/20 - 4/43
 
7,587

22,795

 
Other Federal Home Loan Mortgage Corporation
 
3.00% - 5.50%
 
12/32 - 1/43
 
3,446

21,374

 
Other Government National Mortgage Association
 
3.00% - 5.50%
 
3/36 - 11/42
 
3,066

 
 
 
 
 
 
 
 
14,099

TBA - Fixed Rate Agency Securities (19.55%)
 
 
 
 
 
 
81,800

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.00%
 
10/13
 
79,640

40,700

 
Federal National Mortgage Association (30 Year)
 
3.00%
 
11/13
 
39,659

3,600

 
Other Federal Home Loan Mortgage Corporation (30 Year)
 
4.50%
 
10/13
 
3,832

 
 
 
 
 
 
 
 
123,131

Total Fixed Rate Agency Securities (Cost $1,053,939)
 
 
 
 
 
1,045,817

Floating Rate Agency Securities (9.60%)
 
 
 
 
 
 
Principal and Interest - Floating Rate Agency Securities (5.96%)
 
 
 
 
 
 
9,091

 
Federal Home Loan Mortgage Corporation Pool
 
2.54%
 
8/43
 
9,106

6,979

 
Federal Home Loan Mortgage Corporation Pool
 
4.90%
 
4/38
 
7,445

4,937

 
Federal National Mortgage Association Pool
 
4.27%
 
4/40
 
5,249

3,941

 
Federal National Mortgage Association Pool
 
5.73%
 
7/37
 
4,197


See Notes to Consolidated Financial Statements
6
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONTINUED)
(UNAUDITED)

Current Principal/
Notional Value/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Principal and Interest - Floating Rate Agency Securities (5.96%) (continued)
 
 
 
 
$
3,649

 
Federal National Mortgage Association Pool
 
2.53%
 
5/38
 
$
3,844

3,396

 
Federal National Mortgage Association Pool
 
6.08%
 
8/37
 
3,580

3,903

 
Other Federal National Mortgage Association Pools
 
2.69% - 6.05%
 
4/36 - 9/37
 
4,135

 
 
 
 
 
 
 
 
37,556

Interest Only - Floating Rate Agency Securities (3.64%)
 
 
 
 
 
 
90,958

 
Other Government National Mortgage Association
 
1.63% - 6.57%
 
11/42 - 8/63
 
9,776

43,974

 
Other Federal National Mortgage Association
 
5.50% - 6.57%
 
8/36 - 7/43
 
8,083

22,948

 
Resecuritization of Government National Mortgage Association (q)
 
4.32%
 
8/60
 
2,707

19,311

 
Other Federal Home Loan Mortgage Corporation
 
5.82% - 6.52%
 
11/38 - 8/39
 
2,368

 
 
 
 
 
 
 
 
22,934

Total Floating Rate Agency Securities (Cost $60,155)
 
 
 
 
 
60,490

Total Agency Securities (Cost $1,114,094)
 
 
 
 
 
1,106,307

Private Label Securities (108.80%)
 
 
 
 
 
 
Principal and Interest - Private Label Securities (108.17%)
 
 
 
 
 
 
997,533

 
Various
 
0.27% - 9.35%
 
5/19 - 6/50
 
681,278

Total Principal and Interest - Private Label Securities
(Cost $628,805)
 
 
 
 
 
681,278

Principal Only - Private Label Securities (0.42%)
 
 
 
 
 
 
5,800

 
Various
 
—%
 
 8/30
 
2,668

Total Principal Only - Private Label Securities (Cost $2,416)
 
 
 
 
 
2,668

Interest Only - Private Label Securities (0.21%)
 
 
 
 
 
 
52,880

 
Various
 
 0.50% - 2.00%
 
 6/44 - 9/47
 
1,307

Total Interest Only - Private Label Securities (Cost $543)
 
 
 
 
 
1,307

Other Private Label Securities (0.00%)
 
 
 
 
 
 
130,742

 
Various
 
—%
 
6/37
 
—

Total Other Private Label Securities (Cost $354)
 
 
 
 
 
—

Total Private Label Securities (Cost $632,118)
 
 
 
 
 
685,253

Total Mortgage-Backed Securities (Cost $1,746,212)
 
 
 
 
 
1,791,560

Other Asset-Backed Securities (7.19%)
 
 
 
 
 
 
55,868

 
Various
 
0% - 9.76%
 
6/17 - 12/49
 
45,255

Total Other Asset-Backed Securities (Cost $46,122)
 
 
 
 
 
45,255

Commercial Mortgage Loans (2.37%) (o)
 
 
 
 
 
 
16,455

 
Various
 
0% - 7.25%
 
11/13 - 9/14
 
14,936

Total Commercial Mortgage Loans (Cost $14,415)
 
 
 
 
 
14,936

Total Long Investments (Cost $1,806,749)
 
 
 
 
 
$
1,851,751


See Notes to Consolidated Financial Statements
7
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONTINUED)
(UNAUDITED)

Current Principal/
Notional Value/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (6.51%) (a) (c)
 
 
 
 
 
 
$
17,882

 
J.P. Morgan Securities Inc.
Collateralized by Par Value $18,700
U.S. Treasury Note, Coupon 2.00%,
Maturity Date 2/23
 
0.04%
 
10/13
 
$
17,882

13,487

 
J.P. Morgan Securities Inc.
Collateralized by Par Value $13,000
U.S. Treasury Note, Coupon 1.75%,
Maturity Date 5/16
 
0.06%
 
10/13
 
13,487

9,625

 
J.P. Morgan Securities Inc.
Collateralized by Par Value $10,000
U.S. Treasury Note, Coupon 1.13%,
Maturity Date 12/19
 
0.02%
 
10/13
 
9,625

Total Repurchase Agreements (Cost $40,994)
 
 
 
 
 
$
40,994


See Notes to Consolidated Financial Statements
8
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONTINUED)
(UNAUDITED)

Current Principal/
Notional Value/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Investments Sold Short (-136.57%) (a)
 
 
 
 
 
 
TBA - Fixed Rate Agency Securities Sold Short (-130.09%) (d)
 
 
 
 
 
 
$
(175,482
)
 
Federal National Mortgage Association (30 Year)
 
3.50%
 
10/13
 
$
(178,704
)
(61,200
)
 
Federal National Mortgage Association (30 Year)
 
3.50%
 
11/13
 
(62,128
)
(56,160
)
 
Federal National Mortgage Association (15 Year)
 
3.00%
 
10/13
 
(58,143
)
(54,000
)
 
Federal National Mortgage Association (15 Year)
 
3.50%
 
10/13
 
(57,004
)
(50,500
)
 
Federal National Mortgage Association (30 Year)
 
5.00%
 
10/13
 
(54,769
)
(41,500
)
 
Federal National Mortgage Association (30 Year)
 
4.50%
 
11/13
 
(44,206
)
(41,600
)
 
Federal National Mortgage Association (30 Year)
 
4.00%
 
11/13
 
(43,482
)
(38,280
)
 
Federal National Mortgage Association (30 Year)
 
4.00%
 
10/13
 
(40,149
)
(37,237
)
 
Federal Home Loan Mortgage Corporation (30 Year)
 
4.00%
 
10/13
 
(38,921
)
(39,150
)
 
Federal National Mortgage Association (30 Year)
 
3.00%
 
10/13
 
(38,255
)
(34,830
)
 
Federal National Mortgage Association (30 Year)
 
4.50%
 
10/13
 
(37,201
)
(34,000
)
 
Federal Home Loan Mortgage Corporation (30 Year)
 
4.00%
 
11/13
 
(35,424
)
(22,450
)
 
Federal National Mortgage Association (15 Year)
 
2.50%
 
10/13
 
(22,585
)
(16,500
)
 
Federal Home Loan Mortgage Corporation (30 Year)
 
5.00%
 
10/13
 
(17,799
)
(14,104
)
 
Federal National Mortgage Association (15 Year)
 
4.00%
 
10/13
 
(14,981
)
(13,100
)
 
Federal Home Loan Mortgage Corporation (30 Year)
 
5.50%
 
12/13
 
(14,189
)
(13,550
)
 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
10/13
 
(13,760
)
(11,000
)
 
Federal National Mortgage Association (15 Year)
 
4.50%
 
10/13
 
(11,677
)
(7,500
)
 
Federal National Mortgage Association (30 Year)
 
5.50%
 
10/13
 
(8,177
)
(7,000
)
 
Federal Home Loan Mortgage Corporation (30 Year)
 
5.50%
 
11/13
 
(7,584
)
(6,700
)
 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
11/13
 
(6,783
)
(5,100
)
 
Federal Home Loan Mortgage Corporation (15 Year)
 
3.00%
 
10/13
 
(5,272
)
(4,100
)
 
Federal Home Loan Mortgage Corporation (15 Year)
 
3.50%
 
10/13
 
(4,315
)
(2,500
)
 
Other Federal National Mortgage Association (30 Year)
 
6.00%
 
10/13
 
(2,735
)
(1,000
)
 
Other Federal Home Loan Mortgage Corporation (30 Year)
 
6.00%
 
10/13
 
(1,091
)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$808,881)
 
 
 
 
 
(819,334
)
U.S. Treasury Securities Sold Short (-6.48%)
 
 
 
 
 
 
(18,700
)
 
U.S. Treasury Note
 
2.00%
 
2/23
 
(17,796
)
(13,000
)
 
U.S. Treasury Note
 
1.75%
 
5/16
 
(13,415
)
(10,000
)
 
U.S. Treasury Note
 
1.13%
 
12/19
 
(9,583
)
Total U.S. Treasury Securities Sold Short (Proceeds -$41,920)
 
 
 
 
 
(40,794
)
Total Investments Sold Short (Proceeds -$850,801)
 
 
 
 
 
$
(860,128
)
 


See Notes to Consolidated Financial Statements
9
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONTINUED)
(UNAUDITED)

 
Primary Risk
Exposure
 
Notional
Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.
Dollars
Financial Derivatives - Assets (6.92%) (a)
 
 
 
 
 
 
 
Swaps (6.76%)

 
 
 
 
 
 
 
Long Swaps:
 
 
 
 
 
 
 
Interest Rate Swaps (f)
Interest Rates
 
$
187,700

 
7/18 - 7/43
 
$
2,968

Credit Default Swaps on Asset-Backed Indices
(Proceeds - $217) (e)
Credit
 
2,072

 
12/37
 
62

Total Return Swaps (k)
Equity Market
 
4,548

 
3/14 - 6/15
 
14

Short Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Asset-Backed Securities (g)
Credit
 
(24,737
)
 
9/34 - 5/36
 
17,615

Credit Default Swaps on Asset-Backed Indices (h)
Credit
 
(78,488
)
 
5/46 - 5/63
 
9,122

Interest Rate Swaps (i)
Interest Rates
 
(582,100
)
 
1/16 - 7/43
 
12,805

Total Return Swaps (k)
Equity Market
 
(2,624
)
 
9/14
 
1

Total Swaps (Net cost $43,154)
 
 
 
 
 
 
42,587

Futures (0.16%)
 
 
 
 
 
 
 
Long Futures:
 
 
 
 
 
 
 
U.S. Treasury Note Futures (m)
Interest Rates
 
208,100

 
12/13
 
976

Short Futures:
 
 
 
 
 
 
 
Eurodollar Futures (l)
Interest Rates
 
(6,000
)
 
12/13 - 6/14
 
—

Total Futures
 
 
 
 
 
 
976

Options (0.00%)
 
 
 
 
 
 
 
Purchased Options:
 
 
 
 
 
 
 
Put Options on TBA contracts (n)
Interest Rates
 
3,700

 
11/13
 
4

Total Options (Cost $45)
 
 
 
 
 
 
4

Total Financial Derivatives - Assets (Net cost $43,199)
 
 
 
 
 
 
$
43,567

Financial Derivatives - Liabilities (-5.31%) (a)
 
 
 
 
 
 
 
Swaps (-5.31%)
 
 
 
 
 
 
 
Long Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Asset-Backed Indices
(Proceeds - $20,679) (e)
Credit
 
$
62,708

 
12/49 - 10/52
 
$
(19,310
)
Total Return Swaps (k)
Equity Market
 
30,084

 
3/14 - 6/15
 
(22
)
Short Swaps:
 
 
 
 
 
 
 
Interest Rate Swaps (i)
Interest Rates
 
(399,800
)
 
3/15 - 9/43
 
(4,122
)
Credit Default Swaps on Corporate Bond Indices (j)
Credit
 
(182,713
)
 
12/17 - 12/18
 
(9,679
)
Credit Default Swaps on Asset-Backed Securities (g)
Credit
 
(3,000
)
 
3/35
 
(319
)
Total Return Swaps (k)
Equity Market
 
(6,793
)
 
9/15
 
—

Total Swaps (Net proceeds -$28,222)
 
 
 
 
 
 
(33,452
)
Futures (-0.00%)
 
 
 
 
 
 
 
Short Futures:
 
 
 
 
 
 
 
Eurodollar Futures (l)
Interest Rates
 
(10,000
)
 
9/15
 
(1
)
Total Futures
 
 
 
 
 
 
(1
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
10
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONTINUED)
(UNAUDITED)

 
 
 
 
 
 
 
 
 
Primary Risk
Exposure
 
Notional
Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.
Dollars
Options (-0.00%)
 
 
 
 
 
 
 
Written Options:
 
 
 
 
 
 
 
Put Options on TBA contracts (n)
Interest Rates
 
(3,700
)
 
11/13
 
(4
)
Total Options (Proceeds -$49)
 
 
 
 
 
 
(4
)
Total Financial Derivatives - Liabilities
(Net proceeds -$28,271)
 
 
 
 
 
 
$
(33,457
)




See Notes to Consolidated Financial Statements
11
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2013 (CONCLUDED)
(UNAUDITED)

(a)
See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
(b)
At September 30, 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 104.50%, 59.09%, and 12.07% of equity, respectively.
(c)
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.
(d)
At September 30, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 107.05% and 23.04% 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)
Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of September 30, 2013 1,629 contracts were held.
(n)
Notional amount represents total face amount of TBA securities underlying each option contract.
(o)
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 non-performing commercial whole loans.
(p)
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
 
175.66
%
Aaa/AAA/AAA
 
0.00
%
Aa/AA/AA
 
0.00
%
A/A/A
 
0.48
%
Baa/BBB/BBB
 
2.53
%
Ba/BB/BB or below
 
110.32
%
Unrated
 
5.03
%

(q)
Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.
(r)
Classification percentages are based on Total Equity.

See Notes to Consolidated Financial Statements
12
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
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
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
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
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
15
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