UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 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 November 3, 2017
Common Shares Representing Limited Liability Company Interests, no par value	31,905,840

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	83
	Item 3. Quantitative and Qualitative Disclosures about Market Risk	112
	Item 4. Controls and Procedures	114
Part II. Other Information
	Item 1. Legal Proceedings	115
	Item 1A. Risk Factors	115
	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	115
	Item 6. Exhibits	116

PART 1. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements (unaudited)

ELLINGTON FINANCIAL LLC

CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES, AND EQUITY

(UNAUDITED)

	September 30, 2017		December 31, 2016
(In thousands except share amounts)	Expressed in U.S. Dollars
ASSETS
Cash and cash equivalents	$	111,423	$	123,274
Restricted cash	425		655
Investments, financial derivatives, and repurchase agreements:
Investments, at fair value (Cost – $1,758,854 and $1,525,710)	1,756,432		1,505,026
Financial derivatives–assets, at fair value (Net cost – $41,041 and $40,724)	29,896		35,595
Repurchase agreements, at fair value (Cost – $194,265 and $185,205)	193,070		184,819
Total investments, financial derivatives, and repurchase agreements	1,979,398		1,725,440
Due from brokers	108,173		93,651
Receivable for securities sold and financial derivatives	499,053		445,112
Interest and principal receivable	25,006		21,704
Other assets	3,169		3,359
Total Assets	$	2,726,647	$	2,413,195
LIABILITIES
Investments and financial derivatives:
Investments sold short, at fair value (Proceeds – $672,506 and $589,429)	$	675,650	$	584,896
Financial derivatives–liabilities, at fair value (Net proceeds – $28,507 and $12,012)	32,278		18,687
Total investments and financial derivatives	707,928		603,583
Reverse repurchase agreements	1,029,810		1,033,581
Due to brokers	3,613		12,780
Payable for securities purchased and financial derivatives	169,717		85,168
Other secured borrowings (Proceeds – $89,646 and $24,086)	89,646		24,086
Senior notes, net	84,752		—
Accounts payable and accrued expenses	4,230		3,327
Base management fee payable to affiliate	2,161		2,416
Interest and dividends payable	4,868		3,460
Other liabilities	198		17
Total Liabilities	2,096,923		1,768,418
EQUITY	629,724		644,777
TOTAL LIABILITIES AND EQUITY	$	2,726,647	$	2,413,195
Commitments and contingencies (Note 15)
ANALYSIS OF EQUITY:
Common shares, no par value, 100,000,000 shares authorized;
(31,992,177 and 32,294,703 shares issued and outstanding)	$	605,357	$	627,620
Additional paid-in capital – LTIP Units	10,278		10,041
Total Shareholders' Equity	615,635		637,661
Non-controlling interests	14,089		7,116
Total Equity	$	629,724	$	644,777
PER SHARE INFORMATION:
Common shares	$	19.24	$	19.75

See Notes to Consolidated Financial Statements

3

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017

(UNAUDITED)

Current Principal/Number of Shares		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Cash Equivalents—Money Market Funds (9.53%) (a) (b)
North America
Funds
$	40,000	Goldman Sachs Financial Square Funds—Government Fund	0.91%		$	40,000
20,000		Various	0.93%		20,000
Total Cash Equivalents—Money Market Funds (Cost $60,000)					$	60,000

Long Investments (278.92%) (a) (b) (ab)
Mortgage-Backed Securities (177.77%)
Agency Securities (148.83%) (c)
Fixed-rate Agency Securities (135.89%)
Principal and Interest–Fixed-Rate Agency Securities (114.61%)
North America
Mortgage-related—Residential
$	141,070	Federal National Mortgage Association Pools (30 Year)	4.00%	9/39 - 10/47	$	149,859
111,168		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.00%	11/41 - 7/47	117,973
69,470		Federal National Mortgage Association Pools (30 Year)	3.50%	9/42 - 5/47	72,004
62,675		Federal National Mortgage Association Pools (30 Year)	4.50%	10/41 - 7/47	67,923
53,631		Federal National Mortgage Association Pools (15 Year)	3.50%	3/28 - 3/32	56,239
43,951		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.50%	9/43 - 10/47	47,575
38,810		Federal National Mortgage Association Pools (30 Year)	5.00%	10/35 - 12/44	42,616
23,579		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.50%	1/42 - 9/47	24,446
21,436		Federal National Mortgage Association Pools (15 Year)	3.00%	4/30 - 9/32	22,088
18,417		Government National Mortgage Association Pools (30 Year)	4.50%	9/46 - 9/47	19,839
16,004		Government National Mortgage Association Pools (30 Year)	3.50%	7/45 - 10/47	16,679
13,803		Government National Mortgage Association Pools (30 Year)	4.00%	7/45 - 9/47	14,626
9,165		Federal Home Loan Mortgage Corporation Pools (Other)	3.50%	2/30 - 9/46	9,477
8,646		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.50%	9/28 - 3/32	9,078
8,485		Federal National Mortgage Association Pools (15 Year)	4.00%	6/26 - 5/31	8,993
5,683		Federal National Mortgage Association Pools (Other)	5.00%	9/43 - 1/44	6,274
4,125		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.00%	4/30 - 9/32	4,250
3,692		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.00%	7/43 - 10/45	3,694
3,142		Federal National Mortgage Association Pools (Other)	4.50%	5/41	3,326
3,012		Federal National Mortgage Association Pools (15 Year)	4.50%	4/26	3,235
2,918		Government National Mortgage Association Pools (30 Year)	3.75%	7/47	3,049
2,685		Federal Home Loan Mortgage Corporation Pools (Other)	4.50%	5/44	2,914
2,350		Federal National Mortgage Association Pools (30 Year)	5.50%	10/39	2,610
1,962		Federal National Mortgage Association Pools (30 Year)	3.00%	1/42 - 6/45	1,969
1,745		Federal National Mortgage Association Pools (20 Year)	4.00%	12/33	1,860
1,488		Federal Home Loan Mortgage Corporation Pools (15 Year)	4.00%	2/29	1,579
1,320		Federal National Mortgage Association Pools (30 Year)	6.00%	9/39 - 2/40	1,490
1,209		Federal Home Loan Mortgage Corporation Pools (Other)	3.00%	6/28 - 3/30	1,238
1,120		Federal Home Loan Mortgage Corporation Pools (20 Year)	4.50%	12/33	1,214
869		Federal Home Loan Mortgage Corporation Pools (30 Year)	6.00%	5/40	982

See Notes to Consolidated Financial Statements

4

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal/Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	653	Government National Mortgage Association Pools (Other)	3.50%	10/30 - 2/32	$	662
531		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.50%	8/33 - 11/38	584
490		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.00%	7/44	534
508		Federal National Mortgage Association Pools (Other)	3.50%	4/26	524
153		Government National Mortgage Association Pools (Other)	3.00%	6/30	154
112		Federal National Mortgage Association Pools (30 Year)	3.28%	6/42	113
38		Federal National Mortgage Association Pools (Other)	4.00%	6/37	39
					721,709
Interest Only–Fixed-Rate Agency Securities (2.06%)
North America
Mortgage-related—Residential
23,212		Government National Mortgage Association	4.00%	2/45 - 6/45	3,935
6,223		Government National Mortgage Association	6.00%	6/38 - 8/39	1,262
7,055		Federal National Mortgage Association	4.50%	12/20 - 6/44	1,027
5,756		Government National Mortgage Association	4.50%	2/41 - 7/44	977
4,317		Federal National Mortgage Association	5.50%	10/39	955
4,996		Government National Mortgage Association	5.50%	11/43	866
4,547		Federal Home Loan Mortgage Corporation	3.50%	12/32	663
7,706		Federal Home Loan Mortgage Corporation	5.00%	11/38	660
4,594		Federal National Mortgage Association	5.00%	1/38 - 5/40	550
4,587		Federal National Mortgage Association	4.00%	5/39 - 11/43	509
2,151		Federal National Mortgage Association	6.00%	1/40	398
77,632		Government National Mortgage Association	0.26%	6/40	378
2,773		Federal National Mortgage Association	3.00%	9/41	260
1,809		Federal Home Loan Mortgage Corporation	4.50%	7/43	249
1,098		Government National Mortgage Association	4.75%	7/40	194
1,393		Government National Mortgage Association	5.00%	5/37	63
557		Federal Home Loan Mortgage Corporation	5.50%	1/39	49
					12,995
TBA–Fixed-Rate Agency Securities (19.22%)
North America
Mortgage-related—Residential
58,784		Government National Mortgage Association (30 Year)	4.00%	10/17	61,926
27,340		Federal Home Loan Mortgage Corporation (30 Year)	3.50%	10/17	28,190
15,969		Government National Mortgage Association (30 Year)	4.50%	10/17	17,055
8,250		Government National Mortgage Association (30 Year)	4.50%	11/17	8,781
3,600		Government National Mortgage Association (30 Year)	3.00%	10/17	3,648
890		Government National Mortgage Association (30 Year)	3.50%	10/17	926
470		Federal Home Loan Mortgage Corporation (15 Year)	3.00%	10/17	483
					121,009
Total Fixed-Rate Agency Securities (Cost $857,535)					855,713

See Notes to Consolidated Financial Statements

5

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal /Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Floating Rate Agency Securities (12.94%)
Principal and Interest–Floating Rate Agency Securities (10.13%)
North America
Mortgage-related—Residential
$	50,784	Government National Mortgage Association Pools	3.59% - 4.68%	7/61 - 7/67	$	55,172
5,042		Federal National Mortgage Association Pools	2.77% - 3.69%	9/35 - 5/45	5,258
3,230		Federal Home Loan Mortgage Corporation Pools	3.49% - 4.80%	6/37 - 5/44	3,340
					63,770
Interest Only–Floating Rate Agency Securities (2.81%)
North America
Mortgage-related—Residential
275,999		Other Government National Mortgage Association	0.40% - 5.57%	5/37 - 10/66	14,289
19,486		Other Federal National Mortgage Association	4.91% - 6.31%	6/33 - 12/41	2,232
4,490		Other Federal Home Loan Mortgage Corporation	4.77% - 5.40%	3/36 - 8/39	720
12,476		Resecuritization of Government National Mortgage Association (d)	3.26%	8/60	486
					17,727
Total Floating Rate Agency Securities (Cost $81,850)					81,497
Total Agency Securities (Cost $939,385)					937,210
Private Label Securities (28.94%)
Principal and Interest–Private Label Securities (27.54%)
North America (14.18%)
Mortgage-related—Residential
137,964		Various	0.00% - 32.18%	5/19 - 9/46	70,993
Mortgage-related—Commercial
76,636		Various	2.45% - 4.56%	7/45 - 12/49	18,301
Total North America (Cost $78,834)					89,294
Europe (13.36%)
Mortgage-related—Residential
100,495		Various	0.00% - 4.37%	6/25 - 3/50	76,268
Mortgage-related—Commercial
18,686		Various	0.37% - 4.78%	10/20 - 2/41	7,842
Total Europe (Cost $81,646)					84,110
Total Principal and Interest–Private Label Securities (Cost $160,480)					173,404
Interest Only–Private Label Securities (1.40%)
North America
Mortgage-related—Residential
37,830		Various	0.00% - 2.00%	12/30 - 9/47	4,940
Mortgage-related—Commercial
67,125		Various	1.25% - 2.00%	10/47 - 12/49	3,910
Total Interest Only–Private Label Securities (Cost $6,888)					8,850

See Notes to Consolidated Financial Statements

6

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 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
$	79,487	Various	—%	6/37	$	—
Mortgage-related—Commercial
—		Various	—%	7/45 - 12/49	—
Total Other Private Label Securities (Cost $215)					—
Total Private Label Securities (Cost $167,583)					182,254
Total Mortgage-Backed Securities (Cost $1,106,968)					1,119,464
Collateralized Loan Obligations (21.45%)
North America (16.72%) (e)
216,533		Various	0.00% - 10.04%	11/17 - 11/57	105,302
Total North America (Cost $109,054)					105,302
Europe (4.73%)
30,070		Various	0.00% - 6.25%	11/21 - 1/27	29,762
Total Europe (Cost $27,186)					29,762
Total Collateralized Loan Obligations (Cost $136,240)					135,064
Consumer Loans and Asset-backed Securities backed by Consumer Loans (18.48%) (f)
North America (18.03%)
Consumer (g) (h)
113,443		Various	5.31% - 60.88%	10/17 - 9/22	113,509
Total North America (Cost $119,375)					113,509
Europe (0.45%)
Consumer
3,653		Various	—%	8/24 - 12/30	2,831
Total Europe (Cost $1,171)					2,831
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $120,546)					116,340

See Notes to Consolidated Financial Statements

7

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal/Number of Properties/Number of Shares		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Corporate Debt (14.18%)
North America (13.89%)
Basic Materials
$	4,720	Various	6.88% - 7.00%	8/25 - 3/27	$	4,838
Communications
19,744		Various	3.40% - 11.50%	6/21 - 8/27	19,502
Consumer
18,820		Various	2.60% - 9.73%	1/19 - 12/34	19,658
Energy
23,270		Various	4.50% - 9.63%	3/19 - 8/25	24,485
Industrial
4,316		Various	3.75% - 5.50%	4/19 - 12/21	3,973
Mortgage-related—Residential (m)
5,776		Various	15.00%	10/19	5,776
Technology
2,930		Various	7.50%	8/22	3,320
Utilities
5,500		Various	7.25%	5/26	5,930
Total North America (Cost $87,735)					87,482
Europe (0.29%)
Consumer
19,700		Various	—%	3/18	173
Industrial
1,709		Various	1.23%	3/21	1,653
Total Europe (Cost $2,589)					1,826
Total Corporate Debt (Cost $90,324)					89,308
Mortgage Loans (36.66%) (f)
North America
Mortgage-related—Commercial (j)
69,535		Various	3.01% - 12.73%	2/18 - 10/37	67,895
Mortgage-related—Residential (l)
166,273		Various	2.00% - 12.63%	4/22 - 7/57	162,963
Total Mortgage Loans (Cost $233,535)					230,858
Real Estate Owned (4.09%) (f) (k)
North America
Real estate-related
4		Single-Family Houses			686
9		Commercial Properties			25,076
Total Real Estate Owned (Cost $26,198)					25,762

See Notes to Consolidated Financial Statements

8

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal/Number of Shares		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Corporate Equity Investments (6.05%)
North America (6.05%)
Asset-Backed Securities
n/a		Non-Controlling Equity Interest in Limited Liability Company (m)			$	5,588
Communications
7		Non-Exchange Traded Corporate Equity			619
Consumer
n/a		Non-Controlling Equity Interest in Limited Liability Company (i)			5,857
1,540		Non-Exchange Traded Corporate Equity			8
Diversified
166		Non-Exchange Traded Corporate Equity			3,441
Energy
24		Exchange Traded Corporate Equity			790
Mortgage-related—Residential (m)
20		Non-Exchange Traded Preferred Equity Investment in Mortgage Originators			19,000
9,818		Non-Exchange Traded Common Equity Investment in Mortgage Originators			2,814
Total North America (Cost $43,533)					38,117
Europe (0.00%)
Consumer
125		Non-Exchange Traded Corporate Equity			—
Total Europe (Cost $0)					—
Total Corporate Equity Investments (Cost $43,533)					38,117
U.S. Treasury Securities (0.24%)
North America
Government
$	1,510	U.S. Treasury Note	2.00%	12/21	1,519
Total U.S. Treasury Securities (Cost $1,510)					1,519
Total Long Investments (Cost $1,758,854)					$	1,756,432

See Notes to Consolidated Financial Statements

9

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Repurchase Agreements (30.66%) (a) (b) (n)
$	36,488	Bank of America Securities	1.15%	10/17	$	36,487
		Collateralized by Par Value $36,579
		U.S. Treasury Note, Coupon 2.25%,
		Maturity Date 2/27
16,672		JP Morgan Securities LLC	(0.60)%	10/17	16,672
		Collateralized by Par Value $16,260
		Sovereign Government Bond, Coupon 0.25%,
		Maturity Date 4/18
14,358		Barclays Capital Inc	(0.75)%	10/17	14,358
		Collateralized by Par Value $14,008
		Sovereign Government Bond, Coupon 0.25%,
		Maturity Date 11/20
10,794		JP Morgan Securities LLC	(0.68)%	10/17	10,794
		Collateralized by Par Value $10,285
		Sovereign Government Bond, Coupon 0.75%,
		Maturity Date 7/21
9,895		Barclays Capital Inc	(0.60)%	10/17	9,895
		Collateralized by Par Value $9,328
		Sovereign Government Bond, Coupon 2.75%,
		Maturity Date 4/19
9,809		JP Morgan Securities LLC	(0.60)%	10/17	9,809
		Collateralized by Par Value $9,254
		Sovereign Government Bond, Coupon 1.15%,
		Maturity Date 7/20
9,599		JP Morgan Securities LLC	(0.65)%	10/17	9,599
		Collateralized by Par Value $9,254
		Sovereign Government Bond, Coupon 0.65%,
		Maturity Date 11/20
6,560		Bank of America Securities	1.15%	10/17	6,560
		Collateralized by Par Value $6,560
		U.S. Treasury Note, Coupon 1.75%,
		Maturity Date 5/22
5,707		CILO 2016-LD1 Holdings LLC (o)	2.94%	10/17	5,707
		Collateralized by Par Value $9,512
		Exchange-Traded Debt, Coupon 5.50%,
		Maturity Date 7/22
5,534		Bank of America Securities	1.15%	10/17	5,534
		Collateralized by Par Value $5,633
		U.S. Treasury Note, Coupon 2.00%,
		Maturity Date 11/26

See Notes to Consolidated Financial Statements

10

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	4,921	Barclays Capital Inc	(2.00)%	10/17	$	4,921
		Collateralized by Par Value $4,720
		Exchange-Traded Corporate Debt, Coupon 5.88%,
		Maturity Date 10/20
4,703		Bank of America Securities	0.78%	10/17	4,703
		Collateralized by Par Value $4,715
		U.S. Treasury Note, Coupon 2.25%,
		Maturity Date 8/27
3,445		JP Morgan Securities LLC	(2.75)%	10/17	3,445
		Collateralized by Par Value $3,516
		Exchange-Traded Corporate Debt, Coupon 4.88%,
		Maturity Date 4/22
3,388		RBC Capital Markets LLC	0.80%	10/17	3,388
		Collateralized by Par Value $3,250
		Exchange-Traded Corporate Debt, Coupon 2.90%,
		Maturity Date 1/22
2,903		RBC Capital Markets LLC	0.80%	10/17	2,903
		Collateralized by Par Value $3,425
		Exchange-Traded Corporate Debt, Coupon 10.50%,
		Maturity Date 9/22
2,889		RBC Capital Markets LLC	0.50%	10/17	2,889
		Collateralized by Par Value $2,700
		Exchange-Traded Corporate Debt, Coupon 8.00%,
		Maturity Date 12/22
2,629		RBC Capital Markets LLC	(0.65)%	10/17	2,629
		Collateralized by Par Value $2,480
		Exchange-Traded Corporate Debt, Coupon 6.25%,
		Maturity Date 3/21
2,598		RBC Capital Markets LLC	(5.75)%	10/17	2,598
		Collateralized by Par Value $2,480
		Exchange-Traded Corporate Debt, Coupon 8.00%,
		Maturity Date 1/25
2,237		RBC Capital Markets LLC	0.80%	10/17	2,237
		Collateralized by Par Value $2,120
		Exchange-Traded Corporate Debt, Coupon 3.50%,
		Maturity Date 7/24
2,086		Barclays Capital Inc	(1.25)%	10/17	2,086
		Collateralized by Par Value $2,495
		Exchange-Traded Corporate Debt, Coupon 6.25%,
		Maturity Date 9/21

See Notes to Consolidated Financial Statements

11

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	1,808	RBC Capital Markets LLC	0.50%	10/17	$	1,808
		Collateralized by Par Value $1,680
		Exchange-Traded Corporate Debt, Coupon 5.13%,
		Maturity Date 9/24
1,785		RBC Capital Markets LLC	0.80%	10/17	1,785
		Collateralized by Par Value $1,680
		Exchange-Traded Corporate Debt, Coupon 5.00%,
		Maturity Date 5/26
1,761		Barclays Capital Inc	(3.50)%	10/17	1,761
		Collateralized by Par Value $1,844
		Exchange-Traded Corporate Debt, Coupon 4.88%,
		Maturity Date 4/22
1,760		Barclays Capital Inc	(4.25)%	10/17	1,760
		Collateralized by Par Value $1,645
		Exchange-Traded Corporate Debt, Coupon 8.00%,
		Maturity Date 6/27
1,748		RBC Capital Markets LLC	0.20%	10/17	1,748
		Collateralized by Par Value $1,710
		Exchange-Traded Corporate Debt, Coupon 3.75%,
		Maturity Date 2/23
1,624		JP Morgan Securities LLC	(1.00)%	10/17	1,624
		Collateralized by Par Value $1,960
		Exchange-Traded Corporate Debt, Coupon 6.25%,
		Maturity Date 9/21
1,463		Societe Generale	(2.00)%	10/17	1,463
		Collateralized by Par Value $1,490
		Exchange-Traded Corporate Debt, Coupon 5.80%,
		Maturity Date 10/22
1,407		RBC Capital Markets LLC	(1.15)%	10/17	1,407
		Collateralized by Par Value $1,685
		Exchange-Traded Corporate Debt, Coupon 6.25%,
		Maturity Date 9/21
1,380		Barclays Capital Inc	0.75%	10/17	1,380
		Collateralized by Par Value $1,340
		Exchange-Traded Corporate Debt, Coupon 3.45%,
		Maturity Date 7/24
1,278		Barclays Capital Inc	(2.75)%	10/17	1,278
		Collateralized by Par Value $1,210
		Exchange-Traded Corporate Debt, Coupon 6.75%,
		Maturity Date 4/19

See Notes to Consolidated Financial Statements

12

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	1,247	RBC Capital Markets LLC	0.70%	10/17	$	1,247
		Collateralized by Par Value $1,220
		Exchange-Traded Corporate Debt, Coupon 3.25%,
		Maturity Date 5/22
1,175		Societe Generale	0.85%	10/17	1,175
		Collateralized by Par Value $1,070
		Exchange-Traded Corporate Debt, Coupon 6.38%,
		Maturity Date 10/23
1,156		Societe Generale	0.75%	10/17	1,156
		Collateralized by Par Value $1,050
		Exchange-Traded Corporate Debt, Coupon 6.38%,
		Maturity Date 12/23
1,144		RBC Capital Markets LLC	(2.50)%	10/17	1,144
		Collateralized by Par Value $1,130
		Exchange-Traded Corporate Debt, Coupon 6.75%,
		Maturity Date 4/19
1,095		Barclays Capital Inc	(3.75)%	10/17	1,095
		Collateralized by Par Value $990
		Exchange-Traded Corporate Debt, Coupon 6.63%,
		Maturity Date 10/22
1,072		Societe Generale	0.25%	10/17	1,072
		Collateralized by Par Value $990
		Exchange-Traded Corporate Debt, Coupon 8.00%,
		Maturity Date 12/22
1,049		RBC Capital Markets LLC	0.75%	10/17	1,049
		Collateralized by Par Value $980
		Exchange-Traded Corporate Debt, Coupon 3.50%,
		Maturity Date 7/24
978		Deutsche Bank Securities	(4.50)%	10/17	978
		Collateralized by Par Value $1,020
		Exchange-Traded Corporate Debt, Coupon 7.38%,
		Maturity Date 1/21
935		Barclays Capital Inc	(4.75)%	10/17	935
		Collateralized by Par Value $1,000
		Exchange-Traded Corporate Debt, Coupon 5.50%,
		Maturity Date 10/24
902		RBC Capital Markets LLC	(5.00)%	10/17	902
		Collateralized by Par Value $970
		Exchange-Traded Corporate Debt, Coupon 5.50%,
		Maturity Date 10/24

See Notes to Consolidated Financial Statements

13

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	894	RBC Capital Markets LLC	(4.00)%	10/17	$	894
		Collateralized by Par Value $910
		Exchange-Traded Corporate Debt, Coupon 8.00%,
		Maturity Date 6/27
879		RBC Capital Markets LLC	0.80%	10/17	879
		Collateralized by Par Value $812
		Exchange-Traded Corporate Debt, Coupon 6.88%,
		Maturity Date 5/23
872		Barclays Capital Inc	(5.50)%	10/17	872
		Collateralized by Par Value $820
		Exchange-Traded Corporate Debt, Coupon 8.00%,
		Maturity Date 6/27
853		RBC Capital Markets LLC	0.80%	10/17	853
		Collateralized by Par Value $790
		Exchange-Traded Corporate Debt, Coupon 5.88%,
		Maturity Date 11/24