10-Q 1 efc-20170331x10xq.htm 10-Q Document

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, 2017
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," "smaller reporting company," and "emerging growth 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
¨
 
 
Emerging Growth Company
¨
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

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 5, 2017
Common Shares Representing Limited Liability Company Interests, no par value
 
32,112,697



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 2. Unregistered Sales of Equity Securities and Use of Proceeds
 
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,
2017
 
December 31,
2016
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
104,219

 
$
123,274

Restricted cash
655

 
655

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $1,876,105 and $1,525,710)
1,864,213

 
1,505,026

Financial derivatives–assets, at fair value (Net cost – $37,658 and $40,724)
29,907

 
35,595

Repurchase agreements, at fair value (Cost – $294,468 and $185,205)
293,802

 
184,819

Total investments, financial derivatives, and repurchase agreements
2,187,922

 
1,725,440

Due from brokers
57,873

 
93,651

Receivable for securities sold and financial derivatives
550,241

 
445,112

Interest and principal receivable
25,071

 
21,704

Other assets
5,264

 
3,359

Total Assets
$
2,931,245

 
$
2,413,195

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $782,395 and $589,429)
$
780,320

 
$
584,896

Financial derivatives–liabilities, at fair value (Net proceeds – $16,024 and $12,012)
20,938

 
18,687

Total investments and financial derivatives
801,258

 
603,583

Reverse repurchase agreements
1,086,271

 
1,033,581

Due to brokers
5,512

 
12,780

Payable for securities purchased and financial derivatives
310,535

 
85,168

Other secured borrowings (Proceeds – $61,802 and $24,086)
61,802

 
24,086

Accounts payable and accrued expenses
3,729

 
3,327

Base management fee payable
2,410

 
2,416

Interest and dividends payable
4,137

 
3,460

Other liabilities
1,136

 
17

Total Liabilities
2,276,790

 
1,768,418

EQUITY
654,455

 
644,777

TOTAL LIABILITIES AND EQUITY
$
2,931,245

 
$
2,413,195

Commitments and contingencies (Note 15)

 

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(32,164,215 and 32,294,703 shares issued and outstanding)
$
626,116

 
$
627,620

Additional paid-in capital – LTIP Units
10,135

 
10,041

Total Shareholders' Equity
636,251

 
637,661

Non-controlling interests
18,204

 
7,116

Total Equity
$
654,455

 
$
644,777

PER SHARE INFORMATION:
 
 
 
Common shares
$
19.78

 
$
19.75


See Notes to Consolidated Financial Statements
3
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017
(UNAUDITED)

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Cash Equivalents—Money Market Funds (6.11%) (a) (b)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Funds
 
 
 
 
 
 
$
40,000

 
Various Money Market Funds
 
0.60% - 0.62%
 
 
 
$
40,000

Total Cash Equivalents—Money Market Funds (Cost $40,000)
 
 
 
 
 
$
40,000

Long Investments (284.85%) (a) (b) (z)
 
 
 
 
 
 
Mortgage-Backed Securities (192.10%)
 
 
 
 
 
 
Agency Securities (167.23%) (c)
 
 
 
 
 
 
Fixed Rate Agency Securities (154.01%)
 
 
 
 
 
 
Principal and Interest–Fixed Rate Agency Securities (113.46%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
160,586

 
Federal National Mortgage Association Pools (30 Year)
 
4.00%
 
2/42 - 3/47
 
$
169,590

118,081

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.00%
 
11/41 - 3/47
 
124,658

64,139

 
Federal National Mortgage Association Pools (30 Year)
 
4.50%
 
10/41 - 3/46
 
69,379

65,926

 
Federal National Mortgage Association Pools (30 Year)
 
3.50%
 
9/42 - 1/47
 
67,773

58,462

 
Federal National Mortgage Association Pools (15 Year)
 
3.50%
 
3/28 - 3/32
 
61,368

44,917

 
Federal National Mortgage Association Pools (30 Year)
 
5.00%
 
10/35 - 12/44
 
49,187

41,294

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.50%
 
9/43 - 3/47
 
44,607

25,630

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.50%
 
1/42 - 2/47
 
26,356

17,630

 
Federal National Mortgage Association Pools (15 Year)
 
3.00%
 
4/30 - 1/32
 
18,134

16,364

 
Government National Mortgage Association Pools (30 Year)
 
4.00%
 
6/45 - 3/47
 
17,363

10,054

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.50%
 
9/28 - 3/32
 
10,549

9,999

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.50%
 
2/30 - 9/46
 
10,255

9,557

 
Federal National Mortgage Association Pools (15 Year)
 
4.00%
 
6/26 - 5/31
 
10,132

9,398

 
Government National Mortgage Association Pools (30 Year)
 
4.50%
 
8/45 - 2/47
 
10,115

6,588

 
Federal National Mortgage Association Pools (Other)
 
5.00%
 
9/43 - 1/44
 
7,296

5,289

 
Government National Mortgage Association Pools (30 Year)
 
3.50%
 
11/46 - 3/47
 
5,500

4,219

 
Federal National Mortgage Association Pools (Other)
 
4.50%
 
5/41
 
4,468

3,482

 
Federal National Mortgage Association Pools (15 Year)
 
4.50%
 
4/26
 
3,752

3,490

 
Government National Mortgage Association Pools (30 Year)
 
2.50%
 
10/46
 
3,383

2,981

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.00%
 
 4/30
 
3,066

2,972

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.00%
 
6/28 - 3/30
 
3,048

2,712

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
4.50%
 
5/44
 
2,947

2,376

 
Federal National Mortgage Association Pools (30 Year)
 
5.50%
 
10/39
 
2,634

1,784

 
Federal National Mortgage Association Pools (30 Year)
 
6.00%
 
9/39 - 2/40
 
2,042

1,999

 
Federal National Mortgage Association Pools (30 Year)
 
3.00%
 
1/42 - 6/45
 
2,003

1,871

 
Federal National Mortgage Association Pools (20 Year)
 
4.00%
 
12/33
 
1,986

1,707

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
4.00%
 
2/29
 
1,808

1,611

 
Government National Mortgage Association Pools (Other)
 
3.00%
 
5/30 - 6/30
 
1,614

1,449

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.00%
 
7/43 - 10/45
 
1,447

1,108

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
6.00%
 
4/39 - 5/40
 
1,251

1,144

 
Federal Home Loan Mortgage Corporation Pools (20 Year)
 
4.50%
 
12/33
 
1,241


See Notes to Consolidated Financial Statements
4
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
1,234

 
Federal National Mortgage Association Pools (Other)
 
3.00%
 
6/43
 
$
1,215

670

 
Government National Mortgage Association Pools (Other)
 
3.50%
 
10/30 - 2/32
 
679

580

 
Federal National Mortgage Association Pools (Other)
 
3.50%
 
4/26
 
597

496

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.00%
 
7/44
 
541

461

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.50%
 
8/33
 
513

63

 
Federal National Mortgage Association Pools (Other)
 
4.00%
 
6/37
 
66

 
 
 
 
 
 
 
 
742,563

Interest Only–Fixed Rate Agency Securities (1.87%)
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
25,766

 
Government National Mortgage Association
 
4.00%
 
2/45 - 6/45
 
4,484

8,750

 
Federal National Mortgage Association
 
4.50%
 
12/20 - 6/44
 
1,328

6,522

 
Government National Mortgage Association
 
4.50%
 
2/41 - 7/44
 
1,168

5,818

 
Government National Mortgage Association
 
5.50%
 
11/43
 
1,038

4,923

 
Federal Home Loan Mortgage Corporation
 
3.50%
 
12/32
 
775

5,955

 
Federal National Mortgage Association
 
5.00%
 
1/38 - 5/40
 
746

5,190

 
Federal National Mortgage Association
 
4.00%
 
5/39 - 11/43
 
644

2,472

 
Federal National Mortgage Association
 
6.00%
 
1/40
 
476

80,615

 
Government National Mortgage Association
 
0.26%
 
6/40
 
453

3,036

 
Federal National Mortgage Association
 
3.00%
 
9/41
 
306

1,061

 
Government National Mortgage Association
 
6.00%
 
6/38
 
249

1,295

 
Government National Mortgage Association
 
4.75%
 
7/40
 
239

1,110

 
Federal National Mortgage Association
 
5.50%
 
10/40
 
144

1,993

 
Government National Mortgage Association
 
5.00%
 
5/37
 
123

685

 
Federal Home Loan Mortgage Corporation
 
5.50%
 
1/39
 
69

 
 
 
 
 
 
 
 
12,242

TBA–Fixed Rate Agency Securities (38.68%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
57,242

 
Federal National Mortgage Association (30 Year)
 
4.00%
 
4/17
 
60,037

56,760

 
Federal National Mortgage Association (15 Year)
 
3.50%
 
4/17
 
59,073

53,000

 
Federal National Mortgage Association (30 Year)
 
3.50%
 
4/17
 
54,207

28,840

 
Government National Mortgage Association (30 Year)
 
4.00%
 
4/17
 
30,454

26,260

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
4/17
 
26,859

19,180

 
Federal National Mortgage Association (15 Year)
 
3.00%
 
4/17
 
19,665

1,700

 
Federal Home Loan Mortgage Corporation (30 Year)
 
4.00%
 
4/17
 
1,783

1,000

 
Government National Mortgage Association (30 Year)
 
4.50%
 
4/17
 
1,068

 
 
 
 
 
 
 
 
253,146

Total Fixed Rate Agency Securities (Cost $1,011,085)
 
 
 
 
 
1,007,951

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
5
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal /Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Floating Rate Agency Securities (13.22%)
 
 
 
 
 
 
Principal and Interest–Floating Rate Agency Securities (10.59%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
54,138

 
Government National Mortgage Association Pools
 
3.14% - 5.57%
 
2/60 - 11/66
 
$
58,301

5,827

 
Federal National Mortgage Association Pools
 
2.79% - 5.94%
 
9/35 - 5/45
 
6,081

4,752

 
Federal Home Loan Mortgage Corporation Pools
 
3.12% - 5.96%
 
6/37 - 5/44
 
4,918

 
 
 
 
 
 
 
 
69,300

Interest Only–Floating Rate Agency Securities (2.63%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
235,802

 
Other Government National Mortgage Association
 
0.42% - 5.87%
 
5/37 - 11/64
 
13,978

12,042

 
Other Federal National Mortgage Association
 
5.17% - 6.57%
 
6/33 - 12/41
 
1,670

4,995

 
Other Federal Home Loan Mortgage Corporation
 
5.09% - 5.72%
 
3/36 - 8/39
 
824

14,905

 
Resecuritization of Government National Mortgage Association (d)
 
3.95%
 
8/60
 
711

 
 
 
 
 
 
 
 
17,183

Total Floating Rate Agency Securities (Cost $87,238)
 
 
 
 
 
86,483

Total Agency Securities (Cost $1,098,323)
 
 
 
 
 
1,094,434

Private Label Securities (24.87%)
 
 
 
 
 
 
Principal and Interest–Private Label Securities (23.41%)
 
 
 
 
 
 
North America (15.68%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
194,486

 
Various
 
0.00% - 14.92%
 
5/19 - 9/46
 
75,647

Mortgage-related—Commercial
 
 
 
 
 
 
111,630

 
Various
 
2.31% - 4.56%
 
7/45 - 12/49
 
26,981

Total North America (Cost $96,689)
 
 
 
 
 
102,628

Europe (7.73%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
61,532

 
Various
 
0.00% - 5.11%
 
6/25 - 3/40
 
40,571

Mortgage-related—Commercial
 
 
 
 
 
 
8,601

 
Various
 
0.00% - 11.00%
 
6/17 - 2/39
 
10,007

Total Europe (Cost $56,538)
 
 
 
 
 
50,578

Total Principal and Interest–Private Label Securities (Cost $153,227)
 
 
 
 
 
153,206

Interest Only–Private Label Securities (1.46%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
40,647

 
Various
 
 0.00% - 2.00%
 
 12/30 - 9/47
 
5,249

Mortgage-related—Commercial
 
 
 
 
 
 
72,535

 
Various
 
 1.25% - 2.00%
 
 10/47 - 12/49
 
4,312

Total Interest Only–Private Label Securities (Cost $7,820)
 
 
 
 
 
9,561

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
6
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal /Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Other Private Label Securities (0.00%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
86,538

 
Various
 
—%
 
6/37
 
$
—

Mortgage-related—Commercial
 
 
 
 
 
 
—

 
Various
 
—%
 
7/45 - 12/49
 
—

Total Other Private Label Securities (Cost $234)
 
 
 
 
 
—

Total Private Label Securities (Cost $161,281)
 
 
 
 
 
162,767

Total Mortgage-Backed Securities (Cost $1,259,604)
 
 
 
 
 
1,257,201

Collateralized Loan Obligations (10.78%)
 
 
 
 
 
 
North America (6.56%)
 
 
 
 
 
 
93,671

 
Various
 
0.00% - 9.57%
 
11/17 - 4/25
 
42,937

Total North America (Cost $44,883)
 
 
 
 
 
42,937

Europe (4.22%)
 
 
 
 
 
 
32,818

 
Various
 
0.00% - 4.89%
 
11/21 - 10/26
 
27,624

Total Europe (Cost $27,277)
 
 
 
 
 
27,624

Total Collateralized Loan Obligations (Cost $72,160)
 
 
 
 
 
70,561

Consumer Loans and Asset-backed Securities backed by Consumer Loans (17.46%) (e)
 
 
 
 
 
 
North America (17.01%)
 
 
 
 
 
 
Consumer (f) (g) (h)
 
 
 
 
 
 
104,225

 
Various
 
5.31% - 60.28%
 
4/17 - 7/22
 
111,321

Total North America (Cost $120,346)
 
 
 
 
 
111,321

Europe (0.45%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
3,305

 
Various
 
—%
 
8/24 - 12/30
 
2,957

Total Europe (Cost $1,351)
 
 
 
 
 
2,957

Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $121,697)
 
 
 
 
 
114,278

Corporate Debt (23.66%)
 
 
 
 
 
 
North America (22.64%)
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
6,130

 
Various
 
3.10% - 7.38%
 
3/20 - 3/27
 
6,108

Communications
 
 
 
 
 
 
16,294

 
Various
 
5.63% - 11.00%
 
5/18 - 9/25
 
16,230

Consumer
 
 
 
 
 
 
68,855

 
Various
 
2.60% - 11.00%
 
5/17 - 12/34
 
68,535

Energy
 
 
 
 
 
 
35,584

 
Various
 
0.00% - 9.63%
 
3/19 - 10/36
 
35,633

Industrial
 
 
 
 
 
 
11,475

 
Various
 
3.75% - 7.75%
 
4/19 - 11/22
 
11,326

Mortgage-related—Residential
 
 
 
 
 
 
6,320

 
Various
 
15.00%
 
10/19
 
6,320

Technology
 
 
 
 
 
 
3,288

 
Various
 
4.99% - 7.50%
 
9/19 - 12/23
 
3,322


See Notes to Consolidated Financial Statements
7
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Properties/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
Utilities
 
 
 
 
 
 
$
683

 
Various
 
6.90%
 
12/20
 
$
672

Total North America (Cost $147,832)
 
 
 
 
 
148,146

Europe (1.02%)
 
 
 
 
 
 
Communications
 
 
 
 
 
 
2,194

 
Various
 
6.90%
 
8/21
 
1,972

Consumer
 
 
 
 
 
 
17,947

 
Various
 
—%
 
12/17 - 12/18
 
328

Industrial
 
 
 
 
 
 
4,918

 
Various
 
4.00% - 6.54%
 
5/18 - 3/21
 
4,373

Total Europe (Cost $7,298)
 
 
 
 
 
6,673

Total Corporate Debt (Cost $155,130)
 
 
 
 
 
154,819

Mortgage Loans (26.76%) (e)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Commercial (i)
 
 
 
 
 
 
64,558

 
Various
 
2.87% - 12.29%
 
6/17 - 10/37
 
62,508

Mortgage-related—Residential (k)
 
 
 
 
 
 
$
118,296

 
Various
 
2.00% - 12.63%
 
4/22 - 7/57
 
112,650

Total Mortgage Loans (Cost $176,302)
 
 
 
 
 
175,158

Real Estate Owned (3.88%) (e) (j)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Real estate-related
 
 
 
 
 
 
7

 
Single-Family Houses
 
 
 
 
 
1,220

10

 
Commercial Properties
 
 
 
 
 
24,170

Total Real Estate Owned (Cost $25,475)
 
 
 
 
 
25,390

Corporate Equity Investments (4.63%)
 
 
 
 
 
 
North America (4.63%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
1,557

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
890

Diversified
 
 
 
 
 
 
191

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
3,492

Financial
 
 
 
 
 
 
32

 
Exchange Traded Equity
 
 
 
 
 
2,837

Mortgage-related—Commercial
 
 
 
 
 
 
n/a

 
Non-Controlling Interest in Mortgage-Related Private Partnership
 
 
 
 
 
3,099

Mortgage-related—Residential
 
 
 
 
 
 
1,843

 
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
 
 
 
 
 
19,325

6,750

 
Non-Exchange Traded Equity Investment in Mortgage Originators
 
 
 
 
 
675

Total North America (Cost $29,282)
 
 
 
 
 
30,318

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
8
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
Europe (0.00%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
125

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
$
—

Total Europe (Cost $0)
 
 
 
 
 
—

Total Corporate Equity Investments (Cost $29,282)
 
 
 
 
 
30,318

U.S. Treasury Securities (5.58%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Government
 
 
 
 
 
 
$
36,529

 
U.S. Treasury Note
 
1.13% - 2.00%
 
4/21 - 5/26
 
36,488

Total U.S. Treasury Securities (Cost $36,455)
 
 
 
 
 
36,488

Total Long Investments (Cost $1,876,105)
 
 
 
 
 
$
1,864,213


See Notes to Consolidated Financial Statements
9
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (44.89%) (a) (b) (l)
 
 
 
 
 
 
$
34,494

 
JP Morgan Securities LLC
 
0.86%
 
4/17
 
$
34,494

 
 
Collateralized by Par Value $35,153
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.00%,
 
 
 
 
 
 
 
 
Maturity Date 11/26
 
 
 
 
 
 
31,551

 
JP Morgan Securities LLC
 
0.35%
 
4/17
 
31,551

 
 
Collateralized by Par Value $31,590
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.25%,
 
 
 
 
 
 
 
 
Maturity Date 2/27
 
 
 
 
 
 
21,086

 
Bank of America Securities
 
0.45%
 
4/17
 
21,086

 
 
Collateralized by Par Value $21,139
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.88%,
 
 
 
 
 
 
 
 
Maturity Date 2/22
 
 
 
 
 
 
15,136

 
JP Morgan Securities LLC
 
(0.78)%
 
4/17
 
15,136

 
 
Collateralized by Par Value $14,711
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.25%,
 
 
 
 
 
 
 
 
Maturity Date 4/18
 
 
 
 
 
 
13,018

 
JP Morgan Securities LLC
 
(1.10)%
 
4/17
 
13,018

 
 
Collateralized by Par Value $12,673
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.25%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
11,263

 
Bank of America Securities
 
0.70%
 
4/17
 
11,263

 
 
Collateralized by Par Value $12,160
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.50%,
 
 
 
 
 
 
 
 
Maturity Date 8/26
 
 
 
 
 
 
9,744

 
JP Morgan Securities LLC
 
(1.00)%
 
4/17
 
9,744

 
 
Collateralized by Par Value $9,305
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.75%,
 
 
 
 
 
 
 
 
Maturity Date 7/21
 
 
 
 
 
 
9,357

 
JP Morgan Securities LLC
 
(0.78)%
 
4/17
 
9,357

 
 
Collateralized by Par Value $8,439
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
8,932

 
JP Morgan Securities LLC
 
(0.90)%
 
4/17
 
8,932

 
 
Collateralized by Par Value $8,372
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 1.15%,
 
 
 
 
 
 
 
 
Maturity Date 7/20
 
 
 
 
 
 
8,598

 
JP Morgan Securities LLC
 
(0.90)%
 
4/17
 
8,598

 
 
Collateralized by Par Value $8,372
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.65%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
10
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
6,743

 
Societe Generale
 
0.60%
 
4/17
 
$
6,743

 
 
Collateralized by Par Value $6,570
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 2.55%,
 
 
 
 
 
 
 
 
Maturity Date 4/23
 
 
 
 
 
 
6,353

 
RBC Capital Markets LLC
 
(2.50)%
 
4/17
 
6,353

 
 
Collateralized by Par Value $6,600
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%,
 
 
 
 
 
 
 
 
Maturity Date 1/25
 
 
 
 
 
 
6,166

 
CILO 2016-LD1 Holdings LLC (m)
 
2.95%
 
6/17
 
6,166

 
 
Collateralized by Par Value $9,512
 
 
 
 
 
 
 
 
Exchange-Traded Debt, Coupon 5.50%,
 
 
 
 
 
 
 
 
Maturity Date 7/22
 
 
 
 
 
 
5,839

 
Barclays Capital Inc
 
(2.25)%
 
4/17
 
5,839

 
 
Collateralized by Par Value $5,857
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 9/21
 
 
 
 
 
 
5,378

 
RBC Capital Markets LLC
 
(1.50)%
 
4/17
 
5,378

 
 
Collateralized by Par Value $5,588
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 9/21
 
 
 
 
 
 
4,802

 
RBC Capital Markets LLC
 
0.33%
 
4/17
 
4,802

 
 
Collateralized by Par Value $4,790
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.88%,
 
 
 
 
 
 
 
 
Maturity Date 1/22
 
 
 
 
 
 
4,346

 
RBC Capital Markets LLC
 
0.55%
 
4/17
 
4,346

 
 
Collateralized by Par Value $4,230
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 2.90%,
 
 
 
 
 
 
 
 
Maturity Date 1/22
 
 
 
 
 
 
3,804

 
Societe Generale
 
(2.00)%
 
4/17
 
3,804

 
 
Collateralized by Par Value $3,920
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/23
 
 
 
 
 
 
3,718

 
Barclays Capital Inc
 
(2.00)%
 
4/17
 
3,718

 
 
Collateralized by Par Value $3,641
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
3,691

 
Bank of America Securities
 
0.90%
 
4/17
 
3,691

 
 
Collateralized by Par Value $3,696
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.75%,
 
 
 
 
 
 
 
 
Maturity Date 11/21
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
11
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
3,647

 
CS First Boston
 
0.50%
 
4/17
 
$
3,647

 
 
Collateralized by Par Value $3,260
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.88%,
 
 
 
 
 
 
 
 
Maturity Date 8/21
 
 
 
 
 
 
3,444

 
JP Morgan Securities LLC
 
(2.25)%
 
4/17
 
3,444

 
 
Collateralized by Par Value $3,516
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.88%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
3,417

 
RBC Capital Markets LLC
 
(3.00)%
 
4/17
 
3,417

 
 
Collateralized by Par Value $3,400
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
3,394

 
JP Morgan Securities LLC
 
0.00%
 
4/17
 
3,394

 
 
Collateralized by Par Value $3,398
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.00%,
 
 
 
 
 
 
 
 
Maturity Date 11/21
 
 
 
 
 
 
3,385

 
Barclays Capital Inc
 
(2.25)%
 
4/17
 
3,385

 
 
Collateralized by Par Value $3,494
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.88%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
3,353

 
Barclays Capital Inc
 
(1.35)%
 
4/17
 
3,353

 
 
Collateralized by Par Value $3,271
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%,
 
 
 
 
 
 
 
 
Maturity Date 6/22
 
 
 
 
 
 
3,346

 
Barclays Capital Inc
 
0.00%
 
4/17
 
3,346

 
 
Collateralized by Par Value $3,260
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 2.40%,
 
 
 
 
 
 
 
 
Maturity Date 12/22
 
 
 
 
 
 
3,252

 
Barclays Capital Inc
 
(2.50)%
 
4/17
 
3,252

 
 
Collateralized by Par Value $3,220
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/23
 
 
 
 
 
 
3,024

 
RBC Capital Markets LLC
 
(0.50)%
 
4/17
 
3,024

 
 
Collateralized by Par Value $2,943
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
2,979

 
Societe Generale
 
(0.20)%
 
4/17
 
2,979

 
 
Collateralized by Par Value $2,840
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 9.25%,
 
 
 
 
 
 
 
 
Maturity Date 7/21
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
12
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
2,790

 
Bank of America Securities
 
0.90%
 
4/17
 
$
2,790

 
 
Collateralized by Par Value $2,880
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.13%,
 
 
 
 
 
 
 
 
Maturity Date 8/21
 
 
 
 
 
 
2,653

 
Societe Generale
 
0.60%
 
4/17
 
2,653

 
 
Collateralized by Par Value $2,470
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.00%,
 
 
 
 
 
 
 
 
Maturity Date 3/23
 
 
 
 
 
 
2,545

 
CS First Boston
 
(2.50)%
 
4/17
 
2,545

 
 
Collateralized by Par Value $2,600
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
2,510

 
Societe Generale
 
0.60%
 
4/17
 
2,510

 
 
Collateralized by Par Value $2,532
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.00%,
 
 
 
 
 
 
 
 
Maturity Date 11/21
 
 
 
 
 
 
2,400

 
JP Morgan Securities LLC
 
0.00%
 
4/17
 
2,400

 
 
Collateralized by Par Value $2,290
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%,
 
 
 
 
 
 
 
 
Maturity Date 6/22
 
 
 
 
 
 
1,836

 
Societe Generale
 
0.60%
 
4/17
 
1,836

 
 
Collateralized by Par Value $1,710
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.75%,
 
 
 
 
 
 
 
 
Maturity Date 3/23
 
 
 
 
 
 
1,647

 
CS First Boston
 
(1.00)%
 
4/17
 
1,647

 
 
Collateralized by Par Value $1,625
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
1,610

 
Societe Generale
 
0.60%
 
4/17
 
1,610

 
 
Collateralized by Par Value $1,490
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.38%,
 
 
 
 
 
 
 
 
Maturity Date 12/23
 
 
 
 
 
 
1,491

 
JP Morgan Securities LLC
 
(8.25)%
 
4/17
 
1,491

 
 
Collateralized by Par Value $1,480
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
1,435

 
RBC Capital Markets LLC
 
0.55%
 
4/17
 
1,435

 
 
Collateralized by Par Value $1,560
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.88%,
 
 
 
 
 
 
 
 
Maturity Date 3/23
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
13
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2017 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
1,374

 
Barclays Capital Inc
 
(1.65)%
 
4/17
 
$
1,374

 
 
Collateralized by Par Value $1,318
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.38%,
 
 
 
 
 
 
 
 
Maturity Date 1/21
 
 
 
 
 
 
1,311

 
Bank of America Securities
 
0.90%
 
4/17
 
1,311

 
 
Collateralized by Par Value $1,343
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/21
 
 
 
 
 
 
1,279

 
Barclays Capital Inc
 
(3.50)%
 
4/17
 
1,279

 
 
Collateralized by Par Value $1,300
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.88%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
1,267

 
RBC Capital Markets LLC
 
0.25%
 
4/17
 
1,267

 
 
Collateralized by Par Value $1,230
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
1,213

 
RBC Capital Markets LLC
 
(2.25)%
 
4/17
 
1,213

 
 
Collateralized by Par Value $1,222
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.25%,