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, 2016

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 2, 2016
Common Shares Representing Limited Liability Company Interests, no par value	32,826,427

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	70
	Item 3. Quantitative and Qualitative Disclosures about Market Risk	96
	Item 4. Controls and Procedures	98
Part II. Other Information
	Item 1. Legal Proceedings	98
	Item 1A. Risk Factors	98
	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	99
	Item 6. Exhibits	99

PART 1. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements (unaudited)

ELLINGTON FINANCIAL LLC

CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES, AND EQUITY

(UNAUDITED)

	March 31, 2016		December 31, 2015
(In thousands except share amounts)	Expressed in U.S. Dollars
ASSETS
Cash and cash equivalents	$	142,082	$	183,909
Restricted cash	4,485		4,857
Investments, financial derivatives, and repurchase agreements:
Investments, at fair value (Cost – $1,634,790 and $1,672,400)	1,625,585		1,661,118
Financial derivatives–assets, at fair value (Net cost – $182,182 and $163,943)	190,798		162,905
Repurchase agreements, at fair value (Cost – $126,867 and $105,329)	127,468		105,700
Total investments, financial derivatives, and repurchase agreements	1,943,851		1,929,723
Due from brokers	184,973		141,605
Receivable for securities sold and financial derivatives	606,551		705,748
Interest and principal receivable	18,289		20,444
Other assets	2,664		5,269
Total Assets	$	2,902,895	$	2,991,555
LIABILITIES
Investments and financial derivatives:
Investments sold short, at fair value (Proceeds – $708,403 and $731,048)	$	712,128	$	728,747
Financial derivatives–liabilities, at fair value (Net proceeds – $51,443 and $56,200)	85,679		60,472
Total investments and financial derivatives	797,807		789,219
Reverse repurchase agreements	1,149,064		1,174,189
Due to brokers	124,940		114,797
Payable for securities purchased and financial derivatives	103,376		165,365
Securitized debt (Proceeds – $23,238 and $0)	23,238		—
Accounts payable and accrued expenses	3,771		3,626
Base management fee payable	2,611		2,773
Interest and dividends payable	2,549		1,806
Other liabilities	617		828
Total Liabilities	2,207,973		2,252,603
EQUITY	694,922		738,952
TOTAL LIABILITIES AND EQUITY	$	2,902,895	$	2,991,555
Commitments and contingencies (Note 15)
ANALYSIS OF EQUITY:
Common shares, no par value, 100,000,000 shares authorized;
(32,962,979 and 33,126,012 shares issued and outstanding)	$	679,557	$	722,360
Additional paid-in capital – LTIP units	9,787		9,689
Total Shareholders' Equity	689,344		732,049
Non-controlling interests	5,578		6,903
Total Equity	$	694,922	$	738,952
PER SHARE INFORMATION:
Common shares	$	20.91	$	22.10

3

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Long Investments (233.92%) (a) (b) (ac)
Mortgage-Backed Securities (182.86%)
Agency Securities (145.58%) (c)
Fixed Rate Agency Securities (140.53%)
Principal and Interest - Fixed Rate Agency Securities (128.89%)
North America
Mortgage-related—Residential
$	133,583	Federal National Mortgage Association Pools (30 Year)	4.00%	8/42 - 4/46	$	144,036
121,914		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.00%	8/43 - 3/46	131,292
104,184		Federal National Mortgage Association Pools (30 Year)	4.50%	10/41 - 3/46	114,527
89,125		Federal National Mortgage Association Pools (30 Year)	3.50%	10/42 - 4/46	94,018
58,922		Federal National Mortgage Association Pools (15 Year)	3.50%	3/28 - 4/31	62,734
51,384		Federal National Mortgage Association Pools (30 Year)	5.00%	10/35 - 12/44	57,224
40,491		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.50%	9/43 - 3/46	44,443
27,153		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.50%	1/42 - 10/45	28,668
23,126		Government National Mortgage Association Pools (30 Year)	4.00%	6/45 - 3/46	24,896
15,066		Government National Mortgage Association Pools (30 Year)	3.50%	4/45 - 2/46	15,956
14,572		Government National Mortgage Association Pools (30 Year)	4.50%	8/45 - 9/45	15,850
12,782		Federal National Mortgage Association Pools (15 Year)	3.00%	4/30 - 10/30	13,416
10,853		Federal National Mortgage Association Pools (15 Year)	4.00%	6/26 - 12/29	11,651
10,395		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.50%	9/28 - 9/30	11,045
9,395		Federal Home Loan Mortgage Corporation Pools (Other)	3.50%	2/30 - 3/46	9,887
8,222		Government National Mortgage Association Pools (Other)	4.56%	1/65	9,219
7,509		Federal National Mortgage Association Pools (Other)	5.00%	9/43 - 1/44	8,400
6,606		Government National Mortgage Association Pools (Other)	4.68%	11/63 - 9/64	7,372
6,110		Government National Mortgage Association Pools (Other)	4.59%	11/64	6,859
6,028		Government National Mortgage Association Pools (Other)	4.61%	6/64 - 11/64	6,749
5,993		Federal National Mortgage Association Pools (20 Year)	4.00%	11/33 - 12/33	6,491
5,609		Federal National Mortgage Association Pools (30 Year)	3.00%	1/42 - 6/45	5,768
4,688		Federal National Mortgage Association Pools (30 Year)	5.50%	10/39	5,278
4,732		Government National Mortgage Association Pools (Other)	4.62%	12/63	5,240
4,342		Federal National Mortgage Association Pools (15 Year)	4.50%	4/26	4,680
3,754		Government National Mortgage Association Pools (Other)	4.50%	7/61	4,103
3,444		Government National Mortgage Association Pools (Other)	4.63%	10/64	3,878
3,471		Government National Mortgage Association Pools (Other)	4.75%	1/61	3,581
3,356		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.00%	4/30	3,517
3,093		Government National Mortgage Association Pools (Other)	4.49%	11/64	3,443
3,206		Government National Mortgage Association Pools (Other)	4.80%	2/61	3,321
2,889		Government National Mortgage Association Pools (Other)	5.49%	4/60	3,070
2,765		Federal Home Loan Mortgage Corporation Pools (Other)	4.50%	5/44	3,041
2,521		Federal National Mortgage Association Pools (30 Year)	6.00%	9/39 - 2/40	2,885
2,552		Government National Mortgage Association Pools (Other)	4.64%	3/65	2,869

See Notes to Consolidated Financial Statements

4

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal/Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	2,715	Federal Home Loan Mortgage Corporation Pools (Other)	3.00%	6/28	$	2,844
2,334		Government National Mortgage Association Pools (Other)	5.54%	2/60	2,458
2,169		Government National Mortgage Association Pools (Other)	5.51%	2/60	2,316
1,961		Federal Home Loan Mortgage Corporation Pools (15 Year)	4.00%	2/29	2,115
1,774		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.00%	7/43 - 10/45	1,822
1,501		Federal Home Loan Mortgage Corporation Pools (30 Year)	6.00%	4/39 - 5/40	1,704
1,277		Federal Home Loan Mortgage Corporation Pools (20 Year)	4.50%	12/33	1,402
696		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.00%	7/44	765
681		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.50%	8/33	763
110		Federal National Mortgage Association Pools (Other)	4.00%	6/37	115
					895,711
Interest Only - Fixed Rate Agency Securities (0.86%)
North America
Mortgage-related—Residential
8,051		Government National Mortgage Association	5.50%	11/43	1,340
10,311		Federal National Mortgage Association	5.00%	1/38 - 5/40	1,085
5,775		Federal Home Loan Mortgage Corporation	3.50%	12/32	767
7,844		Federal National Mortgage Association	4.50%	12/20 - 5/43	717
4,389		Federal Home Loan Mortgage Corporation	5.00%	3/40	409
3,766		Federal National Mortgage Association	3.00%	9/41	341
1,360		Government National Mortgage Association	6.00%	6/38	301
1,861		Government National Mortgage Association	4.75%	7/40	290
3,426		Government National Mortgage Association	5.00%	5/37	214
1,539		Federal National Mortgage Association	5.50%	10/40	198
1,260		Federal National Mortgage Association	4.00%	5/39	179
1,028		Federal Home Loan Mortgage Corporation	5.50%	1/39	101
					5,942
TBA - Fixed Rate Agency Securities (10.78%)
North America
Mortgage-related—Residential
30,000		Federal Home Loan Mortgage Corporation (30 Year)	3.50%	4/16	31,420
24,650		Government National Mortgage Association (30 Year)	4.00%	4/16	26,359
14,395		Federal Home Loan Mortgage Corporation (30 Year)	3.00%	4/16	14,746
2,200		Government National Mortgage Association (30 Year)	4.50%	4/16	2,361
					74,886
Total Fixed Rate Agency Securities (Cost $966,759)					976,539

See Notes to Consolidated Financial Statements

5

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal/Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Floating Rate Agency Securities (5.05%)
Principal and Interest - Floating Rate Agency Securities (2.70%)
North America
Mortgage-related—Residential
$	9,391	Federal National Mortgage Association Pools	2.05% - 6.04%	11/34 - 5/45	$	9,876
6,096		Federal Home Loan Mortgage Corporation Pools	2.61% - 5.94%	6/37 - 5/44	6,440
2,287		Government National Mortgage Association Pools	2.78%	11/64	2,421
					18,737
Interest Only - Floating Rate Agency Securities (2.35%)
North America
Mortgage-related—Residential
195,788		Government National Mortgage Association	0.40% - 6.32%	11/42 - 10/63	11,269
17,511		Federal National Mortgage Association	5.50% - 7.12%	6/33 - 12/41	2,511
19,155		Resecuritization of Government National Mortgage Association (d)	4.06%	8/60	1,467
6,183		Federal Home Loan Mortgage Corporation	5.56% - 6.19%	3/36 - 8/39	1,117
					16,364
Total Floating Rate Agency Securities (Cost $34,311)					35,101
Total Agency Securities (Cost $1,001,070)					1,011,640
Private Label Securities (37.28%)
Principal and Interest - Private Label Securities (36.18%)
North America (29.06%)
Mortgage-related—Residential
336,129		Various	0.00% - 9.35%	5/19 - 9/46	177,669
Mortgage-related—Commercial
95,731		Various	3.00% - 4.40%	7/45 - 3/49	24,259
Total North America (Cost $198,343)					201,928
Europe (7.12%)
Mortgage-related—Residential
56,929		Various	0.00% - 5.34%	6/25 - 3/50	41,298
Mortgage-related—Commercial
8,205		Various	0.00% - 11.00%	6/17 - 6/19	8,195
Total Europe (Cost $56,399)					49,493
Total Principal and Interest - Private Label Securities (Cost $254,742)					251,421
Principal Only - Private Label Securities (0.53%)
North America
Mortgage-related—Residential
5,668		Various	—%	8/30	3,699
Total Principal Only - Private Label Securities (Cost $2,967)					3,699

See Notes to Consolidated Financial Statements

6

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal/Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Interest Only - Private Label Securities (0.57%)
North America
Mortgage-related—Residential
$	38,978	Various	0.50% - 2.00%	6/44 - 9/47	$	1,049
Mortgage-related—Commercial
49,918		Various	1.25% - 1.57%	10/47 - 3/49	2,896
Total Interest Only - Private Label Securities (Cost $3,465)					3,945
Other Private Label Securities (0.00%)
North America
Mortgage-related—Residential
97,421		Various	—%	6/37	—
Mortgage-related—Commercial
—		Various	—%	7/45 - 3/49	—
Total Other Private Label Securities (Cost $264)					—
Total Private Label Securities (Cost $261,438)					259,065
Total Mortgage-Backed Securities (Cost $1,262,508)					1,270,705
Collateralized Loan Obligations (4.95%)
North America (2.40%)
62,932		Various	0.00% - 9.15%	5/16 - 1/24	16,685
Total North America (Cost $22,318)					16,685
Europe (2.55%)
27,578		Various	0.00% - 9.37%	1/22 - 3/25	17,730
Total Europe (Cost $18,427)					17,730
Total Collateralized Loan Obligations (Cost $40,745)					34,415
Consumer Loans and Asset-backed Securities backed by Consumer Loans (20.70%) (e)
North America (20.29%)
Consumer (f)
139,286		Various	5.50% - 49.00%	4/16 - 3/21	141,012
Total North America (Cost $141,696)					141,012
Europe (0.41%)
Consumer
1,814		Various	—%	8/24	2,842
Total Europe (Cost $2,300)					2,842
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $143,996)					143,854

See Notes to Consolidated Financial Statements

7

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal/Number of Properties		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Corporate Debt (3.53%)
North America (2.32%)
Basic Materials
$	5,720	Various	11.75%	1/19	$	766
Communications
1,390		Various	8.50%	4/20	1,433
Consumer
4,025		Various	5.50% - 10.00%	5/20 - 7/20	1,160
Energy
14,194		Various	0.00% - 10.75%	9/18 - 2/20	2,198
Financial
54		Various	10.25%	8/23	51
Mortgage-related—Residential
14,250		Various	0.00% - 15.00%	12/17 - 10/19	10,350
Technology
190		Various	10.75%	9/16	188
Total North America (Cost $27,597)					16,146
Europe (1.21%)
Communications
7,670		Various	14.00%	10/18	7,900
Consumer
17,318		Various	—%	12/16	506
Total Europe (Cost $8,688)					8,406
Total Corporate Debt (Cost $36,285)					24,552
Mortgage Loans (13.23%) (e)
North America
Mortgage-related—Commercial (g)
65,035		Various	2.54% - 12.00%	5/16 - 7/45	56,365
Mortgage-related—Residential (i)
42,119		Various	2.00% - 13.50%	7/21 - 2/56	35,580
Total Mortgage Loans (Cost $91,298)					91,945
Real Estate Owned (3.14%) (e) (h)
North America
Real estate-related
18		Single-Family Houses			2,779
5		Commercial Property			19,064
Total Real Estate Owned (Cost $20,156)					21,843

See Notes to Consolidated Financial Statements

8

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal/Number of Shares		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Private Corporate Equity Investments (3.54%)
North America (3.54%)
Consumer
1,657		Non-Exchange Traded Corporate Equity			$	5,916
Diversified
179		Non-Exchange Traded Corporate Equity			3,028
Mortgage-related—Commercial
8,171		Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-Related Private Partnership			7,517
n/a		Non-Controlling Interest in Mortgage-Related Private Partnership			2,918
Mortgage-related—Residential
9,482		Non-Exchange Traded Preferred Equity Investment in Mortgage Originators			3,700
7,478		Non-Exchange Traded Equity Investment in Mortgage Originators			853
Technology
99		Non-Exchange Traded Corporate Equity			667
Total North America (Cost $26,337)					24,599
Europe (0.00%)
Consumer
125		Non-Exchange Traded Corporate Equity			—
Total Europe (Cost $0)					—
Total Private Corporate Equity Investments (Cost $26,337)					24,599
U.S. Treasury Securities (1.97%)
North America
Government
$	12,033	U.S. Treasury Bond	2.50%	2/46	11,738
1,942		U.S. Treasury Note	1.13%	2/21	1,934
Total U.S. Treasury Securities (Cost $13,465)					13,672
Total Long Investments (Cost $1,634,790)					$	1,625,585

See Notes to Consolidated Financial Statements

9

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Repurchase Agreements (18.34%) (a) (b) (j)
$	16,085	Barclays Capital Inc.	(0.60)%	4/16	$	16,085
		Collateralized by Par Value $15,673
		Sovereign Government Bond, Coupon 0.25%,
		Maturity Date 4/18
15,244		Bank of America Securities	0.40%	4/16	15,244
		Collateralized by Par Value $15,000
		U.S. Treasury Note, Coupon 2.00%,
		Maturity Date 2/25
13,850		Merrill Lynch International	(0.56)%	4/16	13,850
		Collateralized by Par Value $13,503
		Sovereign Government Bond, Coupon 0.25%,
		Maturity Date 11/20
9,456		Barclays Capital Inc.	(0.95)%	4/16	9,456
		Collateralized by Par Value $8,920
		Sovereign Government Bond, Coupon 1.15%,
		Maturity Date 7/20
9,147		Deutsche Bank Securities	(0.50)%	4/16	9,147
		Collateralized by Par Value $8,920
		Sovereign Government Bond, Coupon 0.65%,
		Maturity Date 11/20
8,329		Barclays Capital Inc.	(0.60)%	4/16	8,329
		Collateralized by Par Value $7,396
		Sovereign Government Bond, Coupon 2.75%,
		Maturity Date 4/19
7,829		Bank of America Securities	0.15%	4/16	7,829
		Collateralized by Par Value $8,030
		U.S. Treasury Bond, Coupon 2.50%,
		Maturity Date 2/46
5,461		Bank of America Securities	0.40%	4/16	5,461
		Collateralized by Par Value $5,238
		U.S. Treasury Note, Coupon 2.25%,
		Maturity Date 11/25
5,063		Bank of America Securities	0.40%	4/16	5,063
		Collateralized by Par Value $5,000
		U.S. Treasury Note, Coupon 1.25%,
		Maturity Date 10/18
4,456		Bank of America Securities	(0.25)%	4/16	4,456
		Collateralized by Par Value $4,524
		U.S. Treasury Note, Coupon 1.63%,
		Maturity Date 2/26
4,070		Bank of America Securities	0.40%	4/16	4,070
		Collateralized by Par Value $4,000
		U.S. Treasury Note, Coupon 1.63%,
		Maturity Date 6/20

See Notes to Consolidated Financial Statements

10

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	4,055	Bank of America Securities	0.40%	4/16	$	4,055
		Collateralized by Par Value $4,000
		U.S. Treasury Note, Coupon 1.50%,
		Maturity Date 5/20
4,050		Bank of America Securities	0.40%	4/16	4,050
		Collateralized by Par Value $4,000
		U.S. Treasury Note, Coupon 1.38%,
		Maturity Date 3/20
3,804		Bank of America Securities	0.20%	4/16	3,804
		Collateralized by Par Value $3,776
		U.S. Treasury Note, Coupon 1.38%,
		Maturity Date 1/21
3,464		Bank of America Securities	0.40%	4/16	3,464
		Collateralized by Par Value $3,400
		U.S. Treasury Note, Coupon 1.63%,
		Maturity Date 11/20
3,340		Bank of America Securities	0.40%	4/16	3,340
		Collateralized by Par Value $3,200
		U.S. Treasury Note, Coupon 2.25%,
		Maturity Date 11/24
2,055		Bank of America Securities	0.40%	4/16	2,055
		Collateralized by Par Value $2,000
		U.S. Treasury Note, Coupon 2.00%,
		Maturity Date 7/22
2,008		Bank of America Securities	0.40%	4/16	2,008
		Collateralized by Par Value $2,000
		U.S. Treasury Note, Coupon 1.25%,
		Maturity Date 1/20
1,932		Bank of America Securities	(0.05)%	4/16	1,932
		Collateralized by Par Value $1,942
		U.S. Treasury Note, Coupon 1.13%,
		Maturity Date 2/21
1,931		Deutsche Bank Securities	0.44%	4/16	1,931
		Collateralized by Par Value $1,868
		Sovereign Government Bond, Coupon 4.00%
		Maturity Date 9/16
654		RBC Capital Markets LLC	0.05%	4/16	654
		Collateralized by Par Value $571
		Exchange-Traded Corporate Debt, Coupon 3.90%,
		Maturity Date 8/21
623		CS First Boston	—%	4/16	623
		Collateralized by Par Value $572
		Exchange-Traded Corporate Debt, Coupon 0.88%,
		Maturity Date 5/21

See Notes to Consolidated Financial Statements

11

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	562	RBC Capital Markets LLC	(0.25)%	4/16	$	562
		Collateralized by Par Value $571
		Exchange-Traded Corporate Debt, Coupon 0.13%,
		Maturity Date 6/22
Total Repurchase Agreements (Cost $126,867)					$	127,468

Investments Sold Short (-102.48%) (a) (b)
TBA - Fixed Rate Agency Securities Sold Short (-82.18%) (k)
North America
Mortgage-related—Residential
(94,600	)	Federal National Mortgage Association (30 year)	4.50%	4/16	(102,940	)
(76,917	)	Federal Home Loan Mortgage Corporation (30 year)	4.00%	4/16	(82,109	)
(71,400	)	Federal National Mortgage Association (15 year)	3.50%	4/16	(75,408	)
(54,218	)	Federal National Mortgage Association (30 year)	4.00%	4/16	(57,935	)
(50,620	)	Federal National Mortgage Association (30 year)	5.00%	4/16	(56,002	)
(42,962	)	Federal National Mortgage Association (30 year)	3.00%	4/16	(44,071	)
(41,400	)	Government National Mortgage Association (30 year)	3.50%	4/16	(43,763	)
(25,042	)	Federal National Mortgage Association (30 year)	3.50%	4/16	(26,256	)
(20,951	)	Federal Home Loan Mortgage Corporation (30 year)	4.50%	4/16	(22,761	)
(16,600	)	Federal National Mortgage Association (15 year)	2.50%	4/16	(17,042	)
(13,510	)	Federal Home Loan Mortgage Corporation (15 year)	3.00%	4/16	(14,126	)
(11,170	)	Federal National Mortgage Association (15 year)	4.00%	4/16	(11,637	)
(8,790	)	Federal Home Loan Mortgage Corporation (15 year)	3.50%	4/16	(9,279	)
(6,860	)	Federal National Mortgage Association (30 year)	5.50%	4/16	(7,692	)
(40	)	Federal National Mortgage Association (15 year)	3.00%	4/16	(42	)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$569,273)					(571,063	)

See Notes to Consolidated Financial Statements

12

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

Current Principal/Number of Shares			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
Government Debt Sold Short (-18.68%)
North America (-10.37%)
Government
$	(59,007	)	U.S. Treasury Note	1.13% - 2.25%	10/18 - 2/26	$	(60,053	)
(12,320		)	U.S. Treasury Bond	2.50%	2/46	(12,018		)
Total North America (Proceeds -$70,785)						(72,071		)
Europe (-8.31%)
Government
(56,281		)	European Sovereign Bonds	0.25% - 4.00%	9/16 - 11/20	(57,727		)
Total Europe (Proceeds -$57,510)						(57,727		)
Total Government Debt Sold Short (Proceeds -$128,295)						(129,798		)
Common Stock Sold Short (-1.19%)
North America
Energy
(386		)	Exchange Traded Equity			(3,799		)
Financial
(300		)	Publicly Traded Real Estate Investment Trusts			(4,439		)
Total Common Stock Sold Short (Proceeds -$7,827)						(8,238		)
Corporate Debt Sold Short (-0.43%)
North America
Basic Materials
(571		)	Various	3.55%	3/22	(397		)
Consumer
(1,998		)	Various	5.13% - 5.88%	8/21 - 6/22	(2,005		)
Industrial
(572		)	Various	3.90%	5/21	(627		)
Total Corporate Debt Sold Short (Proceeds -$3,008)						(3,029		)
Total Investments Sold Short (Proceeds -$708,403)						$	(712,128	)

See Notes to Consolidated Financial Statements

13

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2016 (CONTINUED)

(UNAUDITED)

	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S.Dollars
Financial Derivatives–Assets (27.46%) (a) (b)
Swaps (27.40%) (ad)
Long Swaps:
Credit Default Swaps on Corporate Bond Indices (l)
CDX.NA.HY 25 35-100	Credit	$	495,250		12/20	$	95,620
ITRX EUR XOVER 24 5Y 35-100	Credit	189,351			12/20	36,859
Other	Credit	121,840			6/18 - 6/20	7,305
Total Credit Default Swaps on Corporate Bond Indices						139,784
Credit Default Swaps on Asset-Backed Indices (l)	Credit	1,415			12/37	54
Interest Rate Swaps (m)	Interest Rates	495,980			10/16 - 4/46	17,321
North America
Total Return Swaps (q)
Basic Materials	Credit	184			3/17	11
Communications	Credit	10,662			2/17	171
Consumer	Credit	8,648			2/17 - 3/17	276
Energy	Credit	2,308			2/17	7
Financial	Credit	938			2/17	57
Industrial	Credit	3,710			2/17 - 3/17	283
Technology	Credit	3,160			2/17 - 3/17	239
Utilities	Credit	2,330			2/17	30
Total Total Return Swaps						1,074
Credit Default Swaps on Corporate Bonds (l)
Consumer	Credit	571			6/21	90
Industrial	Credit	643			12/20	8
Total Credit Default Swaps on Corporate Bonds						98
Short Swaps:
Credit Default Swaps on Asset-Backed Indices (n)	Credit	(146,886		)	5/46 - 5/63	21,257
Credit Default Swaps on Corporate Bond Indices (n)	Credit	(23,307		)	12/17 - 12/19	4,564
North America
Credit Default Swaps on Asset-Backed Securities (n)
Mortgage-related—Residential	Credit	(8,638		)	5/35 - 12/35	6,227
Credit Default Swaps on Corporate Bonds (n)
Communications