10-Q 1 efc-20170930x10xq.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 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)
 
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)
 
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