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)	3
	Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	57
	Item 3. Quantitative and Qualitative Disclosures about Market Risk	80
	Item 4. Controls and Procedures	82
Part II. Other Information
	Item 1. Legal Proceedings	83
	Item 1A. Risk Factors	83
	Item 6. Exhibits	84

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		Federal Home Loan Mortgage Corporation Pool	4.00%