0001411342-15-000039.txt : 20150508 0001411342-15-000039.hdr.sgml : 20150508 20150508143327 ACCESSION NUMBER: 0001411342-15-000039 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 13 CONFORMED PERIOD OF REPORT: 20150331 FILED AS OF DATE: 20150508 DATE AS OF CHANGE: 20150508 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Ellington Financial LLC CENTRAL INDEX KEY: 0001411342 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE [6500] IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 001-34569 FILM NUMBER: 15845970 BUSINESS ADDRESS: STREET 1: 53 Forest Ave CITY: Greenwich STATE: ct ZIP: 06870 BUSINESS PHONE: 203-698-1200 MAIL ADDRESS: STREET 1: 53 Forest Ave CITY: Greenwich STATE: ct ZIP: 06870 10-Q 1 efc-20150331x10xq.htm 10-Q EFC-2015.03.31-10-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, 2015
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 filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.
Large Accelerated Filer
¨
Accelerated Filer
x
Non-Accelerated Filer
(Do not check if a smaller reporting company)
¨
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 1, 2015
Common Shares Representing Limited Liability Company Interests, no par value
 
33,449,678



ELLINGTON FINANCIAL LLC
INDEX
Part I. Financial Information
 
 
Item 1. Consolidated Financial Statements (unaudited)
 
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
 
Item 3. Quantitative and Qualitative Disclosures about Market Risk
 
Item 4. Controls and Procedures
Part II. Other Information
 
 
Item 1. Legal Proceedings
 
Item 1A. Risk Factors
 
Item 6. Exhibits



PART 1. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements (unaudited)
ELLINGTON FINANCIAL LLC
CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES, AND EQUITY
(UNAUDITED)
 
March 31,
2015
 
December 31,
2014
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
156,250

 
$
114,140

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $1,902,651 and $2,122,326)
1,950,943

 
2,172,082

Financial derivatives–assets, at fair value (Net cost – $78,599 and $61,560)
89,844

 
80,029

Repurchase agreements (Cost – $45,073 and $172,001)
44,754

 
172,001

Total investments, financial derivatives, and repurchase agreements
2,085,541

 
2,424,112

Due from brokers
112,763

 
146,965

Receivable for securities sold
1,230,339

 
1,237,592

Interest and principal receivable
15,635

 
20,611

Other assets
2,484

 
1,935

Total Assets
$
3,603,012

 
$
3,945,355

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $1,193,569 and $1,290,091)
$
1,195,882

 
$
1,291,370

Financial derivatives–liabilities, at fair value (Net proceeds – $37,184 and $33,555)
67,667

 
66,116

Total investments and financial derivatives
1,263,549

 
1,357,486

Reverse repurchase agreements
1,396,112

 
1,669,433

Due to brokers
32,778

 
22,224

Payable for securities purchased
116,276

 
98,747

Securitized debt (Proceeds – $663 and $749)
669

 
774

Accounts payable and accrued expenses
3,218

 
2,798

Base management fee payable
2,953

 
2,963

Interest and dividends payable
2,020

 
2,386

Other liabilities
13

 
—

Total Liabilities
2,817,588

 
3,156,811

EQUITY
785,424

 
788,544

TOTAL LIABILITIES AND EQUITY
$
3,603,012

 
$
3,945,355

Commitments and contingencies (Note 14)
 
 
 
ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(33,449,678 and 33,449,678 shares issued and outstanding)
$
770,051

 
$
772,811

Additional paid-in capital – LTIP units
9,440

 
9,344

Total Shareholders' Equity
779,491

 
782,155

Non-controlling interests
5,933

 
6,389

Total Equity
$
785,424

 
$
788,544

PER SHARE INFORMATION:
 
 
 
Common shares
$
23.30

 
$
23.38


See Notes to Consolidated Financial Statements
3
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S. Dollars
Long Investments (248.39%) (a) (z) (ab) (ad)
 
 
 
 
 
 
Mortgage-Backed Securities (213.60%)
 
 
 
 
 
 
Agency Securities (148.77%) (b)
 
 
 
 
 
 
Fixed Rate Agency Securities (143.74%)
 
 
 
 
 
 
Principal and Interest–Fixed Rate Agency Securities (139.33%)
 
 
 
 
 
 
$
35,973

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
1/45
 
$
38,928

24,949

 
Federal National Mortgage Association Pool
 
3.50%
 
10/42
 
26,355

16,663

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
18,147

15,071

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
16,330

13,763

 
Federal National Mortgage Association Pool
 
5.00%
 
8/41
 
15,341

11,938

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
13,027

11,615

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
1/44
 
12,965

11,740

 
Federal National Mortgage Association Pool
 
3.50%
 
3/45
 
12,347

11,100

 
Government National Mortgage Association Pool
 
3.50%
 
4/45
 
11,696

9,156

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
11/44
 
9,654

8,110

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
8,777

7,802

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
1/45
 
8,371

6,934

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/44
 
7,493

7,055

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
11/44
 
7,438

6,804

 
Federal National Mortgage Association Pool
 
3.50%
 
11/42
 
7,223

6,828

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
11/44
 
7,198

6,407

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
2/44
 
7,159

6,466

 
Federal National Mortgage Association Pool
 
4.00%
 
3/45
 
6,932

6,010

 
Government National Mortgage Association Pool
 
4.59%
 
11/64
 
6,888

6,395

 
Federal National Mortgage Association Pool
 
3.50%
 
3/28
 
6,868

5,599

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
6,142

5,464

 
Federal National Mortgage Association Pool
 
4.50%
 
2/44
 
6,104

5,138

 
Government National Mortgage Association Pool
 
4.56%
 
1/65
 
5,895

5,552

 
Federal National Mortgage Association Pool
 
4.50%
 
4/26
 
5,835

5,107

 
Federal National Mortgage Association Pool
 
5.50%
 
10/39
 
5,761

5,455

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
1/43
 
5,596

5,109

 
Federal National Mortgage Association Pool
 
4.00%
 
6/44
 
5,537

4,953

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
7/44
 
5,403

4,998

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
5,401

4,898

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/44
 
5,345

4,691

 
Federal National Mortgage Association Pool
 
4.50%
 
12/44
 
5,139

4,787

 
Federal National Mortgage Association Pool
 
3.50%
 
12/28
 
5,131

4,771

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
4/45
 
5,107

4,395

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/43
 
4,910

4,468

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
4,837

4,398

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
2/44
 
4,794

4,180

 
Government National Mortgage Association Pool
 
4.68%
 
9/64
 
4,781


See Notes to Consolidated Financial Statements
4
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (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 (139.33%) (continued)
 
 
 
 
$
4,426

 
Federal National Mortgage Association Pool
 
4.00%
 
10/44
 
$
4,749

4,230

 
Federal National Mortgage Association Pool
 
4.50%
 
2/44
 
4,680

4,199

 
Federal National Mortgage Association Pool
 
4.00%
 
1/43
 
4,517

4,270

 
Government National Mortgage Association Pool
 
3.50%
 
3/45
 
4,496

4,053

 
Federal National Mortgage Association Pool
 
4.50%
 
3/44
 
4,491

3,882

 
Government National Mortgage Association Pool
 
4.61%
 
11/64
 
4,447

3,984

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,445

4,149

 
Federal National Mortgage Association Pool
 
3.50%
 
5/29
 
4,432

4,166

 
Government National Mortgage Association Pool
 
4.75%
 
1/61
 
4,432

3,851

 
Government National Mortgage Association Pool
 
4.63%
 
10/64
 
4,425

4,121

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
6/43
 
4,342

3,893

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
4,304

3,793

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,270

3,771

 
Federal National Mortgage Association Pool
 
5.00%
 
11/44
 
4,206

3,824

 
Federal National Mortgage Association Pool
 
4.50%
 
3/44
 
4,190

3,797

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
12/43
 
4,151

3,824

 
Federal National Mortgage Association Pool
 
4.00%
 
1/45
 
4,132

3,731

 
Federal National Mortgage Association Pool
 
4.50%
 
11/44
 
4,099

3,648

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,096

3,775

 
Federal National Mortgage Association Pool
 
4.00%
 
11/33
 
4,095

3,760

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
1/45
 
4,069

3,675

 
Federal National Mortgage Association Pool
 
4.50%
 
12/44
 
4,050

3,746

 
Federal National Mortgage Association Pool
 
4.00%
 
6/44
 
4,030

3,691

 
Federal National Mortgage Association Pool
 
4.00%
 
10/44
 
3,998

3,522

 
Federal National Mortgage Association Pool
 
5.00%
 
1/44
 
3,993

3,893

 
Federal National Mortgage Association Pool
 
3.00%
 
1/43
 
3,990

364,853

 
Other Federal National Mortgage Association Pools
 
3.00% - 6.00%
 
6/26 - 4/45
 
398,265

199,022

 
Other Federal Home Loan Mortgage Corporation Pools
 
3.00% - 6.00%
 
3/28 - 3/45
 
215,449

25,902

 
Other Government National Mortgage Association Pools
 
4.49% - 5.54%
 
2/60 - 1/65
 
28,586

 
 
 
 
 
 
 
 
1,094,284

Interest Only–Fixed Rate Agency Securities (0.90%)
 
 
 
 
43,333

 
Other Federal National Mortgage Association
 
3.00% - 5.50%
 
12/20 - 5/43
 
4,880

15,146

 
Other Federal Home Loan Mortgage Corporation
 
3.50% - 5.50%
 
12/32 - 3/40
 
1,794

2,142

 
Other Government National Mortgage Association
 
4.75%
 
7/40
 
397

 
 
 
 
 
 
 
 
7,071

TBA–Fixed Rate Agency Securities (3.51%)
 
 
 
 
 
 
25,090

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.00%
 
4/15
 
25,598

1,900

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
4/15
 
1,992

 
 
 
 
 
 
 
 
27,590

Total Fixed Rate Agency Securities (Cost $1,107,405)
 
 
 
 
 
1,128,945

 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
5
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONTINUED)
(UNAUDITED)

Current Principal/
Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Floating Rate Agency Securities (5.03%)
 
 
 
 
 
 
Principal and Interest–Floating Rate Agency Securities (2.58%)
 
 
 
 
 
 
$
5,083

 
Federal Home Loan Mortgage Corporation Pool
 
4.92%
 
4/38
 
$
5,421

6,255

 
Other Federal National Mortgage Association Pools
 
5.05% - 6.05%
 
9/35 - 9/37
 
6,679

4,636

 
Other Federal Home Loan Mortgage Corporation Pools
 
2.36% - 5.94%
 
6/37 - 5/44
 
4,895

2,994

 
Other Government National Mortgage Association Pool
 
2.50%
 
11/64
 
3,238

 
 
 
 
 
 
 
 
20,233

Interest Only–Floating Rate Agency Securities (2.45%)
 
 
 
 
 
 
180,262

 
Other Government National Mortgage Association
 
0.41% - 6.57%
 
11/42 - 10/63
 
12,921

20,410

 
Other Federal National Mortgage Association
 
5.50% - 6.53%
 
4/35 - 12/41
 
3,041

20,953

 
Resecuritization of Government National Mortgage Association (aa)
 
4.33%
 
8/60
 
1,957

7,874

 
Other Federal Home Loan Mortgage Corporation
 
5.83% - 6.46%
 
3/36 - 8/39
 
1,345

 
 
 
 
 
 
 
 
19,264

Total Floating Rate Agency Securities (Cost $38,341)
 
 
 
 
 
39,497

Total Agency Securities (Cost $1,145,746)
 
 
 
 
 
1,168,442

Private Label Securities (64.83%)
 
 
 
 
 
 
Principal and Interest–Private Label Securities (63.99%)
 
 
 
 
 
 
832,108

 
Various
 
0% - 9.35%
 
7/15 - 12/49
 
502,585

Total Principal and Interest–Private Label Securities
(Cost $473,337)
 
 
 
 
 
502,585

Principal Only–Private Label Securities (0.46%)
 
 
 
 
 
 
5,800

 
Various
 
—%
 
 8/30
 
3,627

Total Principal Only–Private Label Securities (Cost $2,805)
 
 
 
 
 
3,627

Interest Only–Private Label Securities (0.38%)
 
 
 
 
 
 
72,749

 
Various
 
 0.50% - 2.00%
 
 6/44 - 2/48
 
3,017

Total Interest Only–Private Label Securities (Cost $2,224)
 
 
 
 
 
3,017

Other Private Label Securities (0.00%)
 
 
 
 
 
 
110,755

 
Various
 
—%
 
6/37 - 2/48
 
—

Total Other Private Label Securities (Cost $300)
 
 
 
 
 
—

Total Private Label Securities (Cost $478,666)
 
 
 
 
 
509,229

Total Mortgage-Backed Securities (Cost $1,624,412)
 
 
 
 
 
1,677,671

Other Asset-Backed Securities and Loans (15.74%)
 
 
 
 
 
 
144,672

 
Various
 
0% - 43.00%
 
10/15 - 9/68
 
123,620

Total Other Asset-Backed Securities and Loans (Cost $127,873)
 
 
 
 
 
123,620

Corporate Debt (4.05%)
 
 
 
 
 
 
34,484

 
Various
 
5.50%-15.00%
 
1/17 - 9/21
 
31,836

Total Corporate Debt (Cost $33,293)
 
 
 
 
 
31,836

Commercial Mortgage Loans (4.96%) (x)
 
 
 
 
 
 
55,019

 
Various
 
3.00%-10.00%
 
8/15 - 4/45
 
38,918

Total Commercial Mortgage Loans (Cost $38,858)
 
 
 
 
 
38,918

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
6
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONTINUED)
(UNAUDITED)

Current Principal/
Number of Properties/
Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Residential Mortgage Loans (3.93%)
 
 
 
 
 
 
$
46,673

 
Various
 
—%
 
2/18 - 4/55
 
$
30,845

Total Residential Mortgage Loans (Cost $30,618)
 
 
 
 
 
30,845

Real Estate Owned (1.15%) (y)
 
 
 
 
 
 
48

 
Single-Family Houses
 
 
 
 
 
7,026

1

 
Commercial Property
 
 
 
 
 
2,044

Total Real Estate Owned (Cost $8,646)
 
 
 
 
 
9,070

Private Corporate Equity Investments (2.71%)
 
 
 
 
 
 
8,171

 
Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-Related Private Partnership
 
 
 
 
 
8,171

208

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
5,138

n/a

 
Non-Controlling Interest in Mortgage-Related Private Partnership
 
 
 
 
 
2,753

9,482

 
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
 
 
 
 
 
4,325

7,478

 
Non-Exchange Traded Equity Investment in Mortgage Originators
 
 
 
 
 
913

Private Corporate Equity Investments (Cost $21,274)
 
 
 
 
 
21,300

U.S. Treasury Securities (2.25%)
 
 
 
 
 
 
$
10,660

 
U.S. Treasury Note
 
1.00%
 
3/18
 
10,697

6,556

 
U.S. Treasury Note
 
1.38%
 
3/20
 
6,557

429

 
U.S. Treasury Note
 
0.50%
 
2/17
 
429

Total U.S. Treasury Securities (Cost $17,677)
 
 
 
 
 
17,683

Total Long Investments (Cost $1,902,651)
 
 
 
 
 
$
1,950,943


See Notes to Consolidated Financial Statements
7
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (5.70%) (a) (c) (ab) (ad)
 
 
 
 
 
 
$
10,325

 
Deutsche Bank Securities
 
(0.22)%
 
4/15
 
$
10,324

 
 
Collateralized by Par Value $9,054
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
8,338

 
Deutsche Bank Securities
 
(0.30)%
 
4/15
 
8,338

 
 
Collateralized by Par Value $8,055
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.50%,
 
 
 
 
 
 
 
 
Maturity Date 11/19
 
 
 
 
 
 
7,446

 
Bank of America
 
(1.50)%
 
4/15
 
7,446

 
 
Collateralized by Par Value $7,400
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.00%,
 
 
 
 
 
 
 
 
Maturity Date 2/25
 
 
 
 
 
 
5,050

 
Bank of America
 
0.24%
 
4/15
 
5,050

 
 
Collateralized by Par Value $5,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/18
 
 
 
 
 
 
3,995

 
Bank of America
 
0.25%
 
4/15
 
3,995

 
 
Collateralized by Par Value $4,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.38%,
 
 
 
 
 
 
 
 
Maturity Date 3/20
 
 
 
 
 
 
3,312

 
Bank of America
 
0.25%
 
4/15
 
3,312

 
 
Collateralized by Par Value $3,200
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.25%,
 
 
 
 
 
 
 
 
Maturity Date 11/24
 
 
 
 
 
 
2,253

 
Bank of America
 
0.15%
 
4/15
 
2,253

 
 
Collateralized by Par Value $2,000
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 3.13%,
 
 
 
 
 
 
 
 
Maturity Date 8/44
 
 
 
 
 
 
2,046

 
Barclays Capital Inc.
 
0.35%
 
4/15
 
2,046

 
 
Collateralized by Par Value $1,929
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 4.00%,
 
 
 
 
 
 
 
 
Maturity Date 9/16
 
 
 
 
 
 
1,990

 
Bank of America
 
0.05%
 
4/15
 
1,990

 
 
Collateralized by Par Value $2,000
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 1/20
 
 
 
 
 
 
Total Repurchase Agreements (Cost $45,073)
 
 
 
 
 
$
44,754


See Notes to Consolidated Financial Statements
8
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Investments Sold Short (-152.26%) (a) (ab) (ad)
 
 
 
 
 
 
TBA–Fixed Rate Agency Securities Sold Short (-147.03%) (d)
 
 
 
 
 
 
$
(184,782
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
4/15
 
$
(194,115
)
(129,638
)
 
Federal National Mortgage Association (30 year)
 
4.00%
 
4/15
 
(138,621
)
(93,880
)
 
Federal National Mortgage Association (15 year)
 
3.50%
 
4/15
 
(99,615
)
(85,300
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
5/15
 
(90,978
)
(81,500
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
5/15
 
(85,413
)
(68,760
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
4/15
 
(75,016
)
(62,600
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
5/15
 
(69,503
)
(50,600
)
 
Federal National Mortgage Association (15 year)
 
3.00%
 
4/15
 
(53,051
)
(42,600
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
5/15
 
(46,354
)
(36,747
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
4/15
 
(39,256
)
(32,442
)
 
Federal National Mortgage Association (30 year)
 
3.00%
 
4/15
 
(33,171
)
(30,100
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
5/15
 
(32,753
)
(28,400
)
 
Federal National Mortgage Association (30 year)
 
4.00%
 
5/15
 
(30,320
)
(27,500
)
 
Federal National Mortgage Association (15 year)
 
3.50%
 
5/15
 
(29,141
)
(22,800
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
6/15
 
(24,766
)
(23,050
)
 
Federal National Mortgage Association (15 year)
 
2.50%
 
4/15
 
(23,677
)
(16,880
)
 
Federal Home Loan Mortgage Corporation (15 year)
 
3.50%
 
4/15
 
(17,927
)
(15,810
)
 
Federal Home Loan Mortgage Corporation (15 year)
 
3.00%
 
4/15
 
(16,556
)
(11,481
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
4/15
 
(12,507
)
(11,170
)
 
Federal National Mortgage Association (15 year)
 
4.00%
 
4/15
 
(11,805
)
(8,800
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
5.00%
 
5/15
 
(9,752
)
(7,900
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
5.00%
 
4/15
 
(8,762
)
(6,860
)
 
Federal National Mortgage Association (30 year)
 
5.50%
 
4/15
 
(7,727
)
(2,280
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
4/15
 
(2,535
)
(1,300
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
5.50%
 
4/15
 
(1,458
)
Total TBA–Fixed Rate Agency Securities Sold Short
(Proceeds -$1,150,419)
 
 
 
 
 
(1,154,779
)
Government Debt Sold Short (-5.23%)
 
 
 
 
 
 
(19,039
)
 
European Sovereign Bond
 
0.50% - 4.00%
 
9/16 - 11/19
 
(20,183
)
(17,600
)
 
U.S. Treasury Note
 
1.25% - 2.25%
 
10/18 - 2/25
 
(17,751
)
(2,936
)
 
U.S. Treasury Bond
 
2.50% - 3.13%
 
8/44 - 2/45
 
(3,169
)
Total Government Debt Sold Short (Proceeds -$43,150)
 
 
 
 
 
(41,103
)
Total Investments Sold Short (Proceeds -$1,193,569)
 
 
 
 
 
$
(1,195,882
)
 

See Notes to Consolidated Financial Statements
9
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONTINUED)
(UNAUDITED)

 
Primary Risk
Exposure
 
Notional
Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.
Dollars
Financial Derivatives–Assets (11.44%) (a) (ab) (ad)
 
 
 
 
 
 
 
Swaps (11.00%) (ac)
 
 
 
 
 
 
 
Long Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Corporate Bond Indices
(Net cost $51,271) (e)
Credit
 
$
328,851

 
12/17 - 6/20
 
$
50,536

Interest Rate Swaps (Cost $620) (f)
Interest Rates
 
1,270,424

 
7/16 - 3/45
 
21,688

Credit Default Swaps on Asset-Backed Indices
(Proceeds -$270) (e)
Credit
 
4,079

 
12/37-5/63
 
88

Total Return Swaps (i)
Equity Market
 
62,021

 
11/16
 
1

Total Return Swaps (j)
Credit
 
13,129

 
3/16 - 4/16
 
118

Short Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Asset-Backed Securities (g)
Credit
 
(16,986
)
 
9/34 - 5/36
 
10,809

Credit Default Swaps on Asset-Backed Indices (g)
Credit
 
(72,380
)
 
5/46 - 10/57
 
2,573

Interest Rate Swaps (h)
Interest Rates
 
(237,823
)
 
3/18 - 2/45
 
599

Total Return Swaps (i)
Equity Market
 
(89,620
)
 
3/17
 
—

Total Swaps (Net cost $75,571)
 
 
 
 
 
 
86,412

Futures (0.13%)
 
 
 
 
 
 
 
Long Futures:
 
 
 
 
 
 
 
U.S. Treasury Note Futures (l)
Interest Rates
 
168,200

 
6/15
 
993

Eurodollar Futures (k)
Interest Rates
 
39,000

 
12/15 - 6/17
 
23

Total Futures
 
 
 
 
 
 
1,016

Options (0.30%)
 
 
 
 
 
 
 
Purchased Options:
 
 
 
 
 
 
 
Options on Credit Default Swaps on Corporate Bond Indices (o)
Credit
 
156,950

 
4/15
 
21

Payer Swaptions (q)
Interest Rates
 
45,000

 
2/18 - 3/18
 
2,212

Options on U.S. Treasury Futures (t)
Interest Rates
 
7,200

 
5/15
 
77

Options on Eurodollar Futures (u)
Interest Rates
 
130,000

 
5/15
 
6

Total Options (Cost $2,928)
 
 
 
 
 
 
2,316

Warrants (0.01%)
 
 
 
 
 
 
 
Warrants (n)
Equity Market
 
1,554

 
 
 
100

Total Warrants (Cost $100)
 
 
 
 
 
 
100

Total Financial Derivatives–Assets (Net cost $78,599)
 
 
 
 
 
 
$
89,844

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
10
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONTINUED)
(UNAUDITED)

 
Primary Risk
Exposure
 
Notional
Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.
Dollars
Financial Derivatives–Liabilities (-8.62%) (a) (ab) (ad)
 
 
 
 
 
 
 
Swaps (-8.19%) (ac)
 
 
 
 
 
 
 
Long Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Asset-Backed Indices
(Proceeds - $6,874) (e)
Credit
 
$
30,225

 
3/49 - 10/52
 
$
(5,729
)
Interest Rate Swaps (f)
Interest Rates
 
56,902

 
3/20 - 4/45
 
(191
)
Credit Default Swaps on Corporate Bond Indices (Proceeds - $2,478) (e)
Credit
 
8,400

 
12/19
 
(2,301
)
Credit Default Swaps on Corporate Bonds
(Proceeds - $526) (e)
Credit
 
1,980

 
6/19 - 12/19
 
(771
)
Total Return Swaps (i)
Equity Market
 
4,093

 
6/15 - 11/16
 
(18
)
Total Return Swaps (j)
Credit
 
14,326

 
3/16 - 4/16
 
(307
)
Short Swaps:
 
 
 
 
 
 
 
Interest Rate Swaps (h)
Interest Rates
 
(1,580,221
)
 
4/15 - 3/45
 
(25,134
)
Credit Default Swaps on Corporate Bond Indices (g)
Credit
 
(284,968
)
 
12/16-6/20
 
(28,976
)
Credit Default Swaps on Asset-Backed Securities (g)
Credit
 
(3,000
)
 
3/35
 
(239
)
Credit Default Swaps on Asset Backed Indices (g)
Credit
 
(16,725
)
 
5/63
 
(241
)
Credit Default Swaps on Corporate Bonds (g)
Credit
 
(9,970
)
 
9/19 - 3/20
 
(368
)
Total Swaps (Net proceeds -$34,113)
 
 
 
 
 
 
(64,275
)
Futures (-0.05%)
 
 
 
 
 
 
 
Long Futures:
 
 
 
 
 
 
 
Equity Index Futures (m)
Credit
 
9,067

 
6/15
 
$
(8
)
Short Futures:
 
 
 
 
 
 
 
Eurodollar Futures (k)
Interest Rates
 
(645,000
)
 
6/15-9/17
 
(417
)
Total Futures
 
 
 
 
 
 
(425
)
Options (-0.29%)
 
 
 
 
 
 
 
Written Options:
 
 
 
 
 
 
 
Options on Credit Default Swaps on Corporate Bond Indices (p)
Credit
 
(218,500
)
 
4/15 - 6/15
 
(431
)
Payer Swaption (r)
Credit
 
(158,500
)
 
2/18 - 3/18
 
(1,751
)
Straddle Swaption (s)
Credit
 
(4,600
)
 
4/15
 
(68
)
Total Options (Proceeds -$3,071)
 
 
 
 
 
 
(2,250
)
Forwards (-0.09%)
 
 
 
 
 
 
 
Long Forwards:
 
 
 
 
 
 
 
Currency Forwards (v)
Currency
 
4,033

 
6/15
 
(4
)
Short Forwards:
 
 
 
 
 
 
 
Currency Forwards (w)
Currency
 
(54,342
)
 
6/15
 
(713
)
Total Forwards
 
 
 
 
 
 
(717
)
Total Financial Derivatives–Liabilities
(Net proceeds -$37,184)
 
 
 
 
 
 
$
(67,667
)

See Notes to Consolidated Financial Statements
11
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONTINUED)
(UNAUDITED)

(a)
See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
(b)
At March 31, 2015, 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 83.65%, 53.13%, and 11.99% of equity, respectively.
(c)
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.
(d)
At March 31, 2015, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 117.75% and 29.28% of equity, respectively.
(e)
For long credit default swaps, 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, the Company purchased protection.
(h)
For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received.
(i)
Notional value represents number of underlying shares times the closing price of the underlying security.
(j)
Notional value represents outstanding principal balance on underlying corporate debt.
(k)
Every $1,000,000 in notional value represents one contract.
(l)
Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of March 31, 2015, 1,191 contracts were held.
(m)
Notional value represents the number of contracts held times 50 times the Index price at March 31, 2015; as of March 31, 2015, 88 contracts were held.
(n)
Notional amount represents number of warrants.
(o)
Represents the option on the part of the Company to enter into a credit default swap on a corporate bond index whereby the Company would pay a fixed rate and receive credit protection payments.
(p)
Represents the option on the part of a counterparty to enter into a credit default swap on a corporate bond index whereby the Company would pay a fixed rate and receive credit protection payments.
(q)
Represents the option on the part of the Company to enter into an interest rate swap whereby the Company would pay a fixed rate and receive a floating rate.
(r)
Represents the option on the part of a counterparty to enter into an interest rate swap with the Company whereby the Company would receive a fixed rate and pay a floating rate.
(s)
Represents the combination of a written payer swaption and a written receiver swaption on the same underlying swap.
(t)
Represents the option on the part of the Company to enter into a futures contract with a counterparty; as of March 31, 2015, 72 contracts were held.
(u)
Represents the option on the part of the Company to enter into a futures contract with a counterparty. Every $1,000,000 in notional value represents one contract.
(v)
Notional amount represents U.S. Dollars to be paid by the Company at the maturity of the forward contract.
(w)
Notional amount represents U.S. Dollars to be received by the Company at the maturity of the forward contract.
(x)
Includes non-performing commercial loans in the amount of $15.0 million whereby principal and/or interest is past due and a maturity date is not applicable.
(y)
Number of properties not shown in thousands, represents actual number of properties owned.
(z)
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 guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. 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
 
148.77
%
A/A/A
 
0.34
%
Baa/BBB/BBB
 
3.04
%
Ba/BB/BB or below
 
64.24
%
Unrated
 
32.00
%
(aa)
Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.
(ab)
Classification percentages are based on Total Equity.
(ac)
The following table shows the Company's swap assets and liabilities by dealer as a percentage of Total Equity:
Dealer/Parent Company
 
Asset/Liability
 
Percent of Equity
Affiliates of Bank of America
 
Financial derivatives—asset
 
5.08
 %
Affiliates of JP Morgan
 
Financial derivatives—liability
 
(5.34
)%


See Notes to Consolidated Financial Statements
12
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2015 (CONCLUDED)
(UNAUDITED)

(ad)
The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.
Region
 
Current Principal/Notional Value/
Number of Shares
 
Cost/(Proceeds)
 
Fair Value
 
Percent of
Equity
Long Investments:
 
(In thousands, Expressed in U.S. Dollars)
 
 
North America
 
2,606,164

 
$
1,823,880

 
$
1,881,365

 
239.53
 %
Europe
 
56,061

 
57,497

 
48,278

 
6.15
 %
North America (Private Corporate Equity Investments)
 
n/a

 
21,274

 
21,300

 
2.71
 %
Total
 

 
$
1,902,651

 
$
1,950,943

 
248.39
 %
Investments Sold Short:
 
 
 
 
 
 
 
 
North America (TBAs and Government Debt)
 
(1,103,716
)
 
$
(1,170,994
)
 
$
(1,175,699
)
 
(149.69
)%
Europe (Government Debt)
 
(19,039
)
 
(22,575
)
 
(20,183
)
 
(2.57
)%
Total
 
$
(1,122,755
)
 
$
(1,193,569
)
 
$
(1,195,882
)
 
(152.26
)%
Repurchase Agreements:
 
 
 
 
 
 
 
 
North America
 
24,046

 
$
24,046

 
$
24,046

 
3.06
 %
Europe
 
20,709

 
21,027

 
20,708

 
2.64
 %
Total
 
44,755

 
$
45,073

 
$
44,754

 
5.70
 %
Financial Derivatives–Assets:
 
 
 
 
 
 
 
 
North America
 
1,650,257

 
$
45,179

 
$
58,131

 
7.40
 %
Europe
 
159,342

 
33,420

 
31,713

 
4.04
 %
Total
 
1,809,599

 
$
78,599

 
$
89,844

 
11.44
 %
Financial Derivatives–Liabilities:
 
 
 
 
 
 
 
 
North America
 
(2,731,689
)
 
$
(26,330
)
 
$
(55,961
)
 
(7.13
)%
Europe
 
(115,111
)
 
(10,854
)
 
(11,706
)
 
(1.49
)%
Total
 
(2,846,800
)
 
$
(37,184
)
 
$
(67,667
)
 
(8.62
)%

See Notes to Consolidated Financial Statements
13
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2014
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Long Investments (275.46%) (a) (v) (x) (z)
 
 
 
 
 
 
Mortgage-Backed Securities (241.27%)
 
 
 
 
 
 
Agency Securities (163.60%) (b)
 
 
 
 
 
 
Fixed Rate Agency Securities (158.20%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (147.82%)
 
 
 
 
 
 
$
25,298

 
Federal National Mortgage Association Pool
 
3.50%
 
10/42
 
$
26,448

16,987

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/44
 
18,242

16,831

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
18,129

15,372

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
16,540

14,026

 
Federal National Mortgage Association Pool
 
5.00%
 
8/41
 
15,542

11,953

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
1/44
 
13,171

12,043

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
12,971

10,661

 
Federal National Mortgage Association Pool
 
5.00%
 
3/41
 
11,902

11,098

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
9/44
 
11,855

9,186

 
Federal National Mortgage Association Pool
 
3.50%
 
11/29
 
9,749

9,317

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
11/44
 
9,721

8,999

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
7/43
 
9,639

8,269

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
8,859

7,982

 
Federal National Mortgage Association Pool
 
3.50%
 
12/29
 
8,467

7,951

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
11/44
 
8,319

7,051

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/44
 
7,572

7,232

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
11/44
 
7,549

6,983

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
11/44
 
7,514

6,999

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
11/44
 
7,305

6,933

 
Federal National Mortgage Association Pool
 
3.50%
 
11/42
 
7,274

6,436

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
2/44
 
7,094

6,564

 
Federal National Mortgage Association Pool
 
3.50%
 
3/28
 
6,979

6,148

 
Federal National Mortgage Association Pool
 
5.00%
 
3/44
 
6,863

5,945

 
Government National Mortgage Association Pool
 
4.59%
 
11/64
 
6,695

6,046

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
9/44
 
6,459

5,782

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
6,296

5,916

 
Federal National Mortgage Association Pool
 
4.50%
 
4/26
 
6,232

5,526

 
Federal National Mortgage Association Pool
 
4.50%
 
2/44
 
6,108

5,557

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
11/44
 
5,973

5,220

 
Federal National Mortgage Association Pool
 
5.00%
 
3/44
 
5,839

5,431

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
5,822

5,410

 
Federal National Mortgage Association Pool
 
4.00%
 
5/44
 
5,819

5,708

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
1/43
 
5,788

5,402

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
5,786

5,131

 
Federal National Mortgage Association Pool
 
5.50%
 
10/39
 
5,741


See Notes to Consolidated Financial Statements
14
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2014 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Principal and Interest - Fixed Rate Agency Securities (147.82%) (continued)
 
 
 
 
$
5,407

 
Federal National Mortgage Association Pool
 
3.50%
 
11/44
 
$
5,668

5,130

 
Federal National Mortgage Association Pool
 
4.00%
 
6/44
 
5,502

5,414

 
Federal National Mortgage Association Pool
 
3.00%
 
4/43
 
5,489

5,058

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
7/44
 
5,450

4,897

 
Federal National Mortgage Association Pool
 
4.50%
 
12/43
 
5,402

5,036

 
Federal National Mortgage Association Pool
 
3.50%
 
11/29
 
5,353

4,942

 
Federal National Mortgage Association Pool
 
4.00%
 
5/44
 
5,322

4,922

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/44
 
5,304

4,981

 
Federal National Mortgage Association Pool
 
3.50%
 
12/28
 
5,290

4,662

 
Federal National Mortgage Association Pool
 
4.50%
 
1/44
 
5,146

4,708

 
Federal National Mortgage Association Pool
 
4.50%
 
12/44
 
5,120

4,585

 
Federal National Mortgage Association Pool
 
3.50%
 
12/29
 
4,864

4,413

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/43
 
4,861

4,487

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
2/44
 
4,835

4,491

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
4,810

4,468

 
Federal National Mortgage Association Pool
 
4.00%
 
1/43
 
4,783

4,443

 
Federal National Mortgage Association Pool
 
4.00%
 
10/44
 
4,750

4,358