EFC-2014.09.30-10-Q
Table of Contents

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, 2014
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 November 4, 2014
Common Shares Representing Limited Liability Company Interests, no par value
 
33,449,678


Table of Contents


ELLINGTON FINANCIAL LLC
INDEX
Part I. Financial Information
 
 
 
 
 
Part II. Other Information
 
 
 
 
 

Table of Contents

PART 1. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements (unaudited)
ELLINGTON FINANCIAL LLC
CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES, AND EQUITY
(UNAUDITED)
 
September 30,
2014
 
December 31,
2013
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
129,124

 
$
183,489

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $2,391,276 and $1,688,257)
2,440,828

 
1,730,130

Financial derivatives–assets, at fair value (Net cost – $45,074 and $50,533)
56,366

 
59,664

Repurchase agreements (Cost – $47,192 and $27,943)
47,039

 
27,962

Total investments, financial derivatives, and repurchase agreements
2,544,233

 
1,817,756

Due from brokers
141,497

 
82,571

Receivable for securities sold
1,246,205

 
883,005

Interest and principal receivable
10,953

 
6,831

Other assets
2,525

 
1,546

Total Assets
$
4,074,537

 
$
2,975,198

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $1,223,043 and $847,602)
$
1,221,894

 
$
845,614

Financial derivatives–liabilities, at fair value (Net proceeds – $33,950 and $29,746)
47,331

 
44,791

Total investments and financial derivatives
1,269,225

 
890,405

Reverse repurchase agreements
1,395,132

 
1,236,166

Due to brokers
12,010

 
19,762

Payable for securities purchased
576,455

 
193,047

Securitized debt (Proceeds – $849 and $980)
870

 
983

Accounts payable and accrued expenses
2,144

 
1,810

Base management fee payable
3,056

 
2,364

Incentive fee payable
1,400

 
3,091

Interest and dividends payable
2,138

 
1,521

Total Liabilities
3,262,430

 
2,349,149

EQUITY
812,107

 
626,049

TOTAL LIABILITIES AND EQUITY
$
4,074,537

 
$
2,975,198

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(33,443,572 and 25,428,186 shares issued and outstanding)
$
796,108

 
$
611,282

Additional paid-in capital – LTIP units
9,269

 
9,119

Total Shareholders' Equity
805,377

 
620,401

Non-controlling interests
6,730

 
5,648

Total Equity
$
812,107

 
$
626,049

PER SHARE INFORMATION:
 
 
 
Common shares
$
24.08

 
$
24.40


See Notes to Consolidated Financial Statements
3
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Long Investments (300.56%) (a) (v) (x) (y)
 
 
 
 
 
 
Mortgage-Backed Securities (212.31%)
 
 
 
 
 
 
Agency Securities (144.78%) (b)
 
 
 
 
 
 
Fixed Rate Agency Securities (139.61%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (124.03%)
 
 
 
 
 
 
$
25,954

 
Federal National Mortgage Association Pool
 
3.50%
 
10/42
 
$
26,602

17,116

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
18,152

15,562

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
16,490

14,850

 
Government National Mortgage Association Pool
 
4.00%
 
9/44
 
15,784

14,095

 
Federal National Mortgage Association Pool
 
5.00%
 
8/41
 
15,583

12,100

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
1/44
 
13,227

12,351

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
13,106

11,623

 
Federal National Mortgage Association Pool
 
5.00%
 
3/41
 
12,984

11,143

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
9/44
 
11,750

10,646

 
Federal National Mortgage Association Pool
 
4.00%
 
9/44
 
11,287

9,734

 
Federal National Mortgage Association Pool
 
4.00%
 
6/44
 
10,335

9,338

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
10,088

9,040

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
7/43
 
9,550

8,721

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
9,219

8,380

 
Federal National Mortgage Association Pool
 
4.50%
 
2/44
 
9,069

6,711

 
Federal National Mortgage Association Pool
 
5.00%
 
3/44
 
7,503

7,076

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/44
 
7,490

7,034

 
Federal National Mortgage Association Pool
 
3.50%
 
11/42
 
7,234

6,692

 
Federal National Mortgage Association Pool
 
3.50%
 
3/28
 
7,077

6,464

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
2/44
 
7,068

6,302

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
6,824

6,218

 
Federal National Mortgage Association Pool
 
4.50%
 
4/26
 
6,579

6,072

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
9/44
 
6,403

5,605

 
Federal National Mortgage Association Pool
 
4.50%
 
2/44
 
6,142

5,789

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
6,142

5,387

 
Federal National Mortgage Association Pool
 
5.00%
 
3/44
 
6,022

5,633

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
5,978

5,333

 
Federal National Mortgage Association Pool
 
5.50%
 
10/39
 
5,939

5,588

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
5,906

5,289

 
Government National Mortgage Association Pool
 
4.54%
 
11/62
 
5,760

5,434

 
Federal National Mortgage Association Pool
 
4.00%
 
5/44
 
5,753

5,427

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
5,731

5,757

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
1/43
 
5,721

5,384

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
5/29
 
5,680

5,011

 
Federal National Mortgage Association Pool
 
4.50%
 
12/43
 
5,480


See Notes to Consolidated Financial Statements
4
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Principal and Interest - Fixed Rate Agency Securities (124.03%) (continued)
 
 
 
 
$
5,179

 
Federal National Mortgage Association Pool
 
3.50%
 
12/28
 
$
5,471

5,155

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
9/44
 
5,466

5,150

 
Federal National Mortgage Association Pool
 
4.00%
 
6/44
 
5,448

5,501

 
Federal National Mortgage Association Pool
 
3.00%
 
4/43
 
5,435

5,108

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
7/44
 
5,424

5,066

 
Federal National Mortgage Association Pool
 
4.00%
 
5/44
 
5,374

4,958

 
Federal National Mortgage Association Pool
 
4.00%
 
1/44
 
5,264

4,684

 
Federal National Mortgage Association Pool
 
4.50%
 
1/44
 
5,126

4,841

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
9/44
 
5,124

4,522

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/43
 
4,946

4,623

 
Federal National Mortgage Association Pool
 
4.00%
 
1/43
 
4,886

4,527

 
Federal National Mortgage Association Pool
 
4.00%
 
9/44
 
4,800

4,508

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
2/44
 
4,787

4,514

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
4,770

4,497

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
9/44
 
4,768

4,312

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
4,691

4,253

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,686

4,262

 
Federal National Mortgage Association Pool
 
4.50%
 
2/44
 
4,638

4,387

 
Federal National Mortgage Association Pool
 
3.50%
 
5/29
 
4,633

4,285

 
Government National Mortgage Association Pool
 
4.75%
 
1/61
 
4,589

4,188

 
Federal National Mortgage Association Pool
 
4.50%
 
11/43
 
4,510

4,094

 
Federal National Mortgage Association Pool
 
4.50%
 
3/44
 
4,462

4,015

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,458

4,138

 
Federal National Mortgage Association Pool
 
4.00%
 
6/44
 
4,380

4,094

 
Federal National Mortgage Association Pool
 
4.00%
 
4/42
 
4,327

4,079

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
4,325

3,988

 
Federal National Mortgage Association Pool
 
4.50%
 
4/44
 
4,319

3,958

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
12/43
 
4,290

3,823

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,266

4,035

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
2/29
 
4,257

3,769

 
Federal National Mortgage Association Pool
 
5.00%
 
1/44
 
4,237

3,813

 
Federal National Mortgage Association Pool
 
5.00%
 
11/43
 
4,232

4,162

 
Federal Home Loan Mortgage Corporation Pool
 
3.50%
 
6/43
 
4,232

3,909

 
Federal National Mortgage Association Pool
 
4.00%
 
10/44
 
4,137

3,742

 
Federal National Mortgage Association Pool
 
5.00%
 
1/44
 
4,128

3,718

 
Federal National Mortgage Association Pool
 
5.00%
 
11/40
 
4,117

3,815

 
Federal National Mortgage Association Pool
 
4.50%
 
8/43
 
4,112

3,838

 
Federal National Mortgage Association Pool
 
4.00%
 
11/33
 
4,105

3,674

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,094

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
5
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Principal and Interest - Fixed Rate Agency Securities (124.03%) (continued)
 
 
 
 
$
298,087

 
Other Federal National Mortgage Association Pools
 
3.00% - 6.00%
 
6/26 - 10/44
 
$
318,998

145,950

 
Other Federal Home Loan Mortgage Corporation Pools
 
3.00% - 6.00%
 
3/28 - 10/44
 
155,009

20,467

 
Other Government National Mortgage Association Pools
 
4.49% - 5.54%
 
2/60 - 6/64
 
22,265

 
 
 
 
 
 
 
 
1,007,244

Interest Only - Fixed Rate Agency Securities (1.84%)
 
 
 
 
 
 
68,234

 
Other Federal National Mortgage Association
 
3.00% - 5.50%
 
12/20 - 6/43
 
9,768

24,917

 
Other Federal Home Loan Mortgage Corporation
 
3.00% - 5.50%
 
12/32 - 1/43
 
3,663

9,547

 
Other Government National Mortgage Association
 
3.00% - 4.75%
 
7/40 - 11/42
 
1,526

 
 
 
 
 
 
 
 
14,957

TBA - Fixed Rate Agency Securities (13.74%)
 
 
 
 
 
 
43,978

 
Federal National Mortgage Association (30 Year)
 
3.00%
 
10/14
 
43,347

23,750

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
10/14
 
24,231

23,120

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.00%
 
10/14
 
22,815

21,600

 
Federal National Mortgage Association (30 Year)
 
3.00%
 
11/14
 
21,231

 
 
 
 
 
 
 
 
111,624

Total Fixed Rate Agency Securities (Cost $1,124,947)
 
 
 
 
 
1,133,825

Floating Rate Agency Securities (5.17%)
 
 
 
 
 
 
Principal and Interest - Floating Rate Agency Securities (2.26%)
 
 
 
 
 
 
5,085

 
Federal Home Loan Mortgage Corporation Pool
 
4.92%
 
4/38
 
5,440

6,543

 
Other Federal National Mortgage Association Pools
 
5.04% - 6.05%
 
9/35 - 9/37
 
7,000

5,662

 
Other Federal Home Loan Mortgage Corporation Pools
 
2.36% - 5.94%
 
6/37 - 5/44
 
5,920

 
 
 
 
 
 
 
 
18,360

Interest Only - Floating Rate Agency Securities (2.91%)
 
 
 
 
 
 
192,100

 
Other Government National Mortgage Association
 
0.39% - 6.60%
 
11/42 - 10/63
 
15,481

29,766

 
Other Federal National Mortgage Association
 
5.50% - 6.60%
 
4/35 - 7/43
 
5,161

21,706

 
Resecuritization of Government National Mortgage Association (w)
 
4.34%
 
8/60
 
2,032

7,692

 
Other Federal Home Loan Mortgage Corporation
 
5.85%
 
8/39
 
941

 
 
 
 
 
 
 
 
23,615

Total Floating Rate Agency Securities (Cost $40,824)
 
 
 
 
 
41,975

Total Agency Securities (Cost $1,165,771)
 
 
 
 
 
1,175,800


See Notes to Consolidated Financial Statements
6
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

Current Principal/
Notional Value/ Number of Properties/
Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Private Label Securities (67.53%)
 
 
 
 
 
 
Principal and Interest - Private Label Securities (66.86%)
 
 
 
 
 
 
$
866,595

 
Various
 
0% - 9.35%
 
7/15 - 1/61
 
$
542,990

Total Principal and Interest - Private Label Securities
(Cost $504,510)
 
 
 
 
 
542,990

Principal Only - Private Label Securities (0.40%)
 
 
 
 
 
 
5,800

 
Various
 
—%
 
 8/30
 
3,248

Total Principal Only - Private Label Securities (Cost $2,671)
 
 
 
 
 
3,248

Interest Only - Private Label Securities (0.27%)
 
 
 
 
 
 
60,779

 
Various
 
 0.50% - 2.00%
 
6/44 - 9/47
 
2,149

Total Interest Only - Private Label Securities (Cost $1,387)
 
 
 
 
 
2,149

Other Private Label Securities (0.00%)
 
 
 
 
 
 
114,905

 
Various
 
—%
 
6/37 - 10/47
 
—

Total Other Private Label Securities (Cost $311)
 
 
 
 
 
—

Total Private Label Securities (Cost $508,879)
 
 
 
 
 
548,387

Total Mortgage-Backed Securities (Cost $1,674,650)
 
 
 
 
 
1,724,187

Other Asset-Backed Securities and Loans (13.44%)
 
 
 
 
 
 
126,490

 
Various
 
0% - 9.73%
 
3/17 - 9/68
 
109,152

Total Other Asset-Backed Securities and Loans (Cost $110,423)
 
 
 
 
 
109,152

Commercial Mortgage Loans (3.68%) (t)
 
 
 
 
 
 
34,123

 
Various
 
0% - 10.00%
 
12/14 - 11/17
 
29,852

Total Commercial Mortgage Loans (Cost $29,850)
 
 
 
 
 
29,852

Residential Mortgage Loans (2.11%)
 
 
 
 
 
 
23,551

 
Various
 
—%
 
2/18 - 5/54
 
17,147

Total Residential Mortgage Loans (Cost $16,324)
 
 
 
 
 
17,147

Real Estate Owned (0.92%) (u)
 
 
 
 
 
 
46

 
Single-Family Houses
 
 
 
 
 
5,420

1

 
Commercial Property
 
 
 
 
 
2,044

Total Real Estate Owned (Cost $7,252)
 
 
 
 
 
7,464

Private Corporate Investments (0.95%)
 
 
 
 
 
 
5,000

 
Preferred Equity Investment in Commercial Mortgage-related Partnership
 
 
 
 
 
5,000

8,225

 
Equity Investment in Mortgage Originator
 
 
 
 
 
2,686

Private Corporate Investments (Cost $7,924)
 
 
 
 
 
7,686

U.S. Treasury Securities (67.15%)
 
 
 
 
 
 
526,091

 
U.S. Treasury Note
 
1.75%
 
9/19
 
525,452

12,223

 
U.S. Treasury Note
 
1.00%
 
9/17
 
12,206

7,769

 
U.S. Treasury Note
 
2.38%
 
8/24
 
7,682

U.S. Treasury Securities (Cost $544,853)
 
 
 
 
 
545,340

Total Long Investments (Cost $2,391,276)
 
 
 
 
 
$
2,440,828


See Notes to Consolidated Financial Statements
7
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (5.79%) (a) (c) (x) (y)
 
 
 
 
 
 
$
18,492

 
Deutsche Bank Securities
 
(0.25)%
 
10/14
 
$
18,492

 
 
Collateralized by Par Value $15,657
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 3.75%,
 
 
 
 
 
 
 
 
Maturity Date 10/18
 
 
 
 
 
 
8,502

 
Deutsche Bank Securities
 
(0.15)%
 
10/14
 
8,502

 
 
Collateralized by Par Value $7,580
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
7,602

 
Barclays Capital Inc.
 
(0.40)%
 
10/14
 
7,602

 
 
Collateralized by Par Value $7,669
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 3.13%,
 
 
 
 
 
 
 
 
Maturity Date 8/44
 
 
 
 
 
 
7,453

 
Barclays Capital Inc.
 
(3.00)%
 
10/14
 
7,453

 
 
Collateralized by Par Value $7,500
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.63%,
 
 
 
 
 
 
 
 
Maturity Date 8/19
 
 
 
 
 
 
4,963

 
Barclays Capital Inc.
 
(0.10)%
 
10/14
 
4,962

 
 
Collateralized by Par Value $5,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/18
 
 
 
 
 
 
28

 
Deutsche Bank Securities
 
(1.15)%
 
10/14
 
28

 
 
Collateralized by Par Value $28
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.00%,
 
 
 
 
 
 
 
 
Maturity Date 9/17
 
 
 
 
 
 
Total Repurchase Agreements (Cost $47,192)
 
 
 
 
 
$
47,039


See Notes to Consolidated Financial Statements
8
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

Current Principal/
Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Investments Sold Short (-150.46%) (a) (x) (y)
 
 
 
 
 
 
TBA - Fixed Rate Agency Securities Sold Short (-142.70%) (d)
 
 
 
 
 
 
$
(248,558
)
 
Federal National Mortgage Association (30 year)
 
4.00%
 
10/14
 
$
(261,957
)
(192,422
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
10/14
 
(196,669
)
(119,830
)
 
Federal National Mortgage Association (15 year)
 
3.50%
 
10/14
 
(126,046
)
(115,217
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
10/14
 
(121,293
)
(84,730
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
10/14
 
(91,429
)
(62,750
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
10/14
 
(69,263
)
(61,110
)
 
Federal National Mortgage Association (15 year)
 
3.00%
 
10/14
 
(62,943
)
(38,900
)
 
Federal National Mortgage Association (15 year)
 
2.50%
 
10/14
 
(39,119
)
(29,700
)
 
Federal Home Loan Mortgage Corporation (15 year)
 
3.50%
 
10/14
 
(31,180
)
(29,300
)
 
Federal National Mortgage Association (30 year)
 
4.00%
 
11/14
 
(30,788
)
(27,300
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
12/14
 
(30,014
)
(17,500
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
11/14
 
(18,837
)
(17,300
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
11/14
 
(18,616
)
(14,900
)
 
Government National Mortgage Association (30 year)
 
4.00%
 
11/14
 
(15,768
)
(12,631
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
10/14
 
(13,625
)
(9,870
)
 
Federal National Mortgage Association (15 year)
 
4.00%
 
10/14
 
(10,447
)
(6,700
)
 
Federal National Mortgage Association (30 year)
 
5.50%
 
10/14
 
(7,464
)
(6,000
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
5.00%
 
10/14
 
(6,612
)
(4,100
)
 
Federal Home Loan Mortgage Corporation (15 year)
 
3.00%
 
10/14
 
(4,216
)
(1,300
)
 
Other Federal Home Loan Mortgage Corporation (30 year)
 
5.50%
 
10/14
 
(1,444
)
(1,100
)
 
Other Federal Home Loan Mortgage Corporation (15 year)
 
4.00%
 
10/14
 
(1,162
)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$1,158,171)
 
 
 
(1,158,892
)
Government Debt Sold Short (-5.38%)
 
 
 
 
(21,367
)
 
European Sovereign Bonds
 
2.75% - 3.75%
 
10/18- 4/19
 
(23,707
)
(12,500
)
 
U.S. Treasury Note
 
1.25% - 1.63%
 
10/18- 8/19
 
(12,389
)
(8
)
 
U.S. Treasury Bond
 
3.13%
 
8/44
 
(7,550
)
Total Government Debt Sold Short (Proceeds -$44,034)
 
 
 
(43,646
)
Common Stock Sold Short (-2.38%)
 
 
 
 
(2,113
)
 
Publicly Traded Real Estate Investment Trusts
 
 
 
 
 
(19,356
)
Total Common Stock Sold Short (Proceeds -$20,838)
 
 
 
(19,356
)
Total Investments Sold Short (Proceeds -$1,223,043)
 
 
 
$
(1,221,894
)

See Notes to Consolidated Financial Statements
9
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

 
Primary Risk
Exposure
 
Notional Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.Dollars
Financial Derivatives–Assets (6.94%) (a) (x) (y)
 
 
 
 
 
 
 
Swaps (6.79%)
 
 
 
 
 
 
 
Long Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Corporate Bond Indices (Cost - $19,410) (e)
Credit
 
$
114,693

 
12/18 - 6/19
 
$
20,044

Credit Default Swaps on Asset-Backed Indices
(Proceeds -$217) (e)
Credit
 
1,789

 
12/37
 
57

Interest Rate Swaps (f)
Interest Rates
 
682,994

 
9/16 - 9/44
 
8,446

Short Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Asset-Backed Securities (g)
Credit
 
(18,892
)
 
9/34 - 5/36
 
12,788

Credit Default Swaps on Asset-Backed
Indices (g)
Credit
 
(66,061
)
 
5/46 - 5/63
 
2,247

Interest Rate Swaps (h)
Interest Rates
 
(1,059,638
)
 
2/16 - 9/44
 
11,518

Total Return Swaps (i)
Equity Market
 
(3,065
)
 
10/16 - 10/18
 
29

Total Swaps (Net cost $45,042)
 
 
 
 
 
 
55,129

Futures (0.07%)
 
 
 
 
 
 
 
Long Futures:
 
 
 
 
 
 
 
U.S. Treasury Note Futures (k)
Interest Rates
 
242,100

 
12/14
 
477

Eurodollar Futures (j)
Interest Rates
 
18,000

 
12/14
 
—

Short Futures:
 
 
 
 
 
 
 
Eurodollar Futures (j)
Interest Rates
 
(186,000
)
 
9/15 - 12/16
 
65

Equity Index Futures (l)
Credit
 
(2,850
)
 
12/14
 
7

Total Futures
 
 
 
 
 
 
549

Options (0.03%)
 
 
 
 
 
 
 
Purchased Options:
 
 
 
 
 
 
 
Payer Swaption (n)
Interest Rates
 
774,000

 
2/17 - 3/17
 
261

Options on Eurodollar Futures (o)
Interest Rates
 
150,000

 
3/15
 
31

Total Options (Cost $32)
 
 
 
 
 
 
292

Forwards (0.05%)
 
 
 
 
 
 
 
Short Forwards:
 
 
 
 
 
 
 
Currency Forwards (s)
Currency
 
(21,265
)
 
12/14
 
396

Total Forwards
 
 
 
 
 
 
396

Total Financial Derivatives–Assets
(Net cost $45,074)
 
 
 
 
 
 
$
56,366

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
10
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

 
Primary Risk
Exposure
 
Notional Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.Dollars
Financial Derivatives–Liabilities (-5.83%) (a) (x) (y)
 
 
 
 
 
 
 
Swaps (-5.77%)
 
 
 
 
 
 
 
Long Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Asset-Backed Indices (Proceeds - $5,461) (e)
Credit
 
$
14,770

 
1/47 - 10/52
 
$
(4,311
)
Credit Default Swaps on Corporate Bond Indices (Proceeds - $1,200) (e)
Credit
 
3,756

 
12/17
 
(1,166
)
Credit Default Swaps on Corporate Bonds
(Proceeds - $1,968) (e)
Credit
 
5,005

 
6/19 - 12/19
 
(2,583
)
Interest Rate Swaps (f)
Interest Rates
 
438,894

 
7/16 - 10/44
 
(1,141
)
Total Return Swaps (i)
Equity Market
 
76,371

 
6/18 - 10/19
 
(40
)
Short Swaps:
 
 
 
 
 
 
 
Interest Rate Swaps (h)
Interest Rates
 
(1,098,816
)
 
3/15 - 9/44
 
(14,625
)
Credit Default Swaps on Asset-Backed Indices (g)
Credit
 
(16,250
)
 
5/63
 
(74
)
Credit Default Swaps on Corporate Bond
Indices (g)
Credit
 
(284,577
)
 
12/16 - 6/19
 
(22,463
)
Credit Default Swaps on Asset-Backed
Securities (g)
Credit
 
(3,000
)
 
3/35
 
(378
)
Credit Default Swaps on Corporate Bonds (g)
Credit
 
(2,475
)
 
6/19 - 9/19
 
(112
)
Total Return Swaps (i)
Equity Market
 
(7,051
)
 
10/18
 
—

Total Swaps (Net proceeds -$33,692)
 
 
 
 
 
 
(46,893
)
Futures (-0.01%)
 
 
 
 
 
 
 
Long Futures:
 
 
 
 
 
 
 
Eurodollar Futures (j)
Interest Rates
 
91,000

 
3/17 - 6/17
 
(22
)
Short Futures:
 
 
 
 
 
 
 
Eurodollar Futures (j)
Interest Rates
 
(143,000
)
 
3/15 - 6/15
 
(39
)
Total Futures
 
 
 
 
 
 
(61
)
Options (-0.05%)
 
 
 
 
 
 
 
Purchased Options:
 
 
 
 
 
 
 
Payer Swaption (n)
Interest Rates
 
504,000

 
1/17 - 2/17
 
(109
)
Straddle Swaption (q)
Interest Rates
 
30,000

 
5/29
 
(79
)
Written Options:
 
 
 
 
 
 
 
Options on Credit Default Swaps on Corporate Bond
Indices (m)
Credit
 
(59,202
)
 
10/14 - 11/14
 
(158
)
Options on Eurodollar Futures (p)
Interest Rates
 
(150,000
)
 
3/15
 
(6
)
Straddle Swaption (r)
Interest Rates
 
(34,000
)
 
9/25
 
(25
)
Total Options (Proceeds -$258)
 
 
 
 
 
 
(377
)
Total Financial Derivatives–Liabilities
(Net proceeds -$33,950)
 
 
 
 
 
 
$
(47,331
)

See Notes to Consolidated Financial Statements
11
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONTINUED)
(UNAUDITED)

(a)
See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
(b)
At September 30, 2014, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 92.40%, 44.08%, and 8.30% of equity, respectively.
(c)
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.
(d)
At September 30, 2014, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 116.36%, 24.40%, and 1.94% of equity, respectively.
(e)
For long credit default swaps, the Company sold protection.
(f)
For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received.
(g)
For short credit default swaps, the Company purchased protection.
(h)
For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received.
(i)
Notional value represents number of underlying shares times the closing price of the underlying security.
(j)
Every $1,000,000 in notional value represents one contract.
(k)
Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of September 30, 2014, 1,934 contracts were held.
(l)
Notional value represents the number of contracts held times 50 times the Index price at September 30, 2014; as of September 30, 2014, 29 contracts were held.
(m)
Represents the option on the part of a counterparty to enter into a credit default swap on a corporate bond index whereby the Company would receive a fixed rate and pay credit protection payments.
(n)
Represents the option on the part of the Company to enter into an interest rate swap whereby the Company would pay a fixed rate and receive a floating rate.
(o)
Represents the option on the part of the Company to enter into a futures contract with a counterparty. Every $1,000,000 in notional value represents one contract.
(p)
Represents the option on the part of a counterparty to enter into a futures contract with the Company. Every $1,000,000 in notional value represents one contract.
(q)
Represents the combination of a purchased payer swaption and a purchased receiver swaption on the same underlying swap.
(r)
Represents the combination of a written payer swaption and a written receiver swaption on the same underlying swap.
(s)
Notional amount represents U.S. Dollars to be received by the Company at the maturity of the forward contract.
(t)
Includes non-performing commercial loans in the amount of $10.6 million whereby principal and/or interest is past due and a maturity date is not applicable.
(u)
Number of properties not shown in thousands, represents actual number of properties owned.
(v)
The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."
Rating Description
 
Percent of Equity
Unrated but Agency-Guaranteed
 
144.78
%
A/A/A
 
0.64
%
Baa/BBB/BBB
 
4.59
%
Ba/BB/BB or below
 
66.71
%
Unrated
 
83.84
%

(w)
Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.
(x)
Classification percentages are based on Total Equity.

See Notes to Consolidated Financial Statements
12
Table of Contents         
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 30, 2014 (CONCLUDED)
(UNAUDITED)

(y)
The following table details the breakout by geographical region of long investments, investments sold short, repurchase agreements, financial derivatives–assets, and financial derivatives–liabilities.
Region
 
Current Principal/
Notional Value/Number of Properties/Number of Shares
 
Cost/(Proceeds)
 
Fair Value
 
Percent of
Equity
Long Investments:
 
(In thousands, Expressed in U.S. Dollars)
 
 
North America
 
3,161,385

 
$
2,342,001

 
$
2,393,715

 
294.75
 %
Europe
 
43,235

 
41,351

 
39,427

 
4.85
 %
North America (Common Stock)
 
13,225

 
7,924

 
7,686

 
0.95
 %
Total
 

 
$
2,391,276

 
$
2,440,828

 
300.56
 %
Investments Sold Short:
 
 
 
 
 
 
 
 
North America (TBAs and Government Debt)
 
(1,121,387
)
 
$
(1,178,095
)
 
$
(1,178,831
)
 
(145.16
)%
Europe (Government Debt)
 
(21,367
)
 
(24,110
)
 
(23,707
)
 
(2.92
)%
North America (Common Stock)
 
(2,113
)
 
(20,838
)
 
(19,356
)
 
(2.38
)%
Total
 
 
 
$
(1,223,043
)
 
$
(1,221,894
)
 
(150.46
)%
Repurchase Agreements:
 
 
 
 
 
 
 
 
North America
 
20,046

 
$
20,045

 
$
20,045

 
2.47
 %
Europe
 
26,994

 
27,147

 
26,994

 
3.32
 %
Total
 
47,040

 
$
47,192

 
$
47,039

 
5.79
 %
Financial Derivatives–Assets:
 
 
 
 
 
 
 
 
North America
 
634,538

 
$
45,074

 
$
56,365

 
6.94
 %
Europe
 
(8,733
)
 
—

 
1

 
—
 %
Total
 
625,805

 
$
45,074

 
$
56,366

 
6.94
 %
Financial Derivatives–Liabilities:
 
 
 
 
 
 
 
 
North America
 
(617,900
)
 
$
(32,133
)
 
$
(45,569
)
 
(5.61
)%
Europe
 
(16,675
)
 
(1,817
)
 
(1,762
)
 
(0.22
)%
Total
 
(634,575
)
 
$
(33,950
)
 
$
(47,331
)
 
(5.83
)%

See Notes to Consolidated Financial Statements
13
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2013
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S. Dollars
Long Investments (276.36%) (a) (s) (u) (v)
 
 
 
 
 
 
Mortgage-Backed Securities (262.62%)
 
 
 
 
 
 
Agency Securities (164.58%) (b)
 
 
 
 
 
 
Fixed Rate Agency Securities (156.28%)
 
 
 
 
 
 
Principal and Interest–Fixed Rate Agency Securities (137.75%)
 
 
 
 
 
 
$
38,439

 
Federal National Mortgage Association Pool
 
3.50%
 
1/43
 
$
37,742

27,523

 
Federal National Mortgage Association Pool
 
3.50%
 
10/42
 
27,407

17,735

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
18,327

18,267

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
4/43
 
17,322

15,538

 
Federal National Mortgage Association Pool
 
5.00%
 
8/41
 
16,910

16,572

 
Federal National Mortgage Association Pool
 
3.00%
 
6/28
 
16,729

15,759

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
16,279

15,017

 
Federal National Mortgage Association Pool
 
4.50%
 
10/41
 
15,958

14,835

 
Federal National Mortgage Association Pool
 
4.50%
 
9/41
 
15,743

13,367

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
13,783

12,686

 
Federal Home Loan Mortgage Corporation Pool
 
5.00%
 
7/41
 
13,692

12,316

 
Federal National Mortgage Association Pool
 
5.00%
 
3/41
 
13,444

11,295

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
12,005

11,478

 
Federal National Mortgage Association Pool
 
4.00%
 
10/43
 
11,861

11,835

 
Federal National Mortgage Association Pool
 
3.00%
 
8/42
 
11,263

9,697

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
7/43
 
9,979

9,114

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
9,409

8,841

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/41
 
9,378

9,025

 
Federal National Mortgage Association Pool
 
4.00%
 
12/43
 
9,326

9,747

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
2/43
 
9,251

8,789

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
9,013

7,413

 
Federal National Mortgage Association Pool
 
4.50%
 
4/26
 
7,898

6,893

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
7,326

7,327

 
Federal National Mortgage Association Pool
 
3.50%
 
11/42
 
7,299

6,854

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
10/43
 
7,005

6,288

 
Federal National Mortgage Association Pool
 
5.50%
 
10/39
 
6,946

6,463

 
Federal National Mortgage Association Pool
 
4.50%
 
9/43
 
6,865

6,033

 
Federal National Mortgage Association Pool
 
4.50%
 
12/43
 
6,418

6,022

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
6,228

6,025

 
Federal National Mortgage Association Pool
 
4.00%
 
10/43
 
6,218

5,632

 
Government National Mortgage Association Pool
 
4.46%
 
2/63
 
6,136

5,893

 
Federal National Mortgage Association Pool
 
4.00%
 
8/43
 
6,083


See Notes to Consolidated Financial Statements
14
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2013 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Principal and Interest–Fixed Rate Agency Securities (137.75%) (continued)
 
 
 
 
$
6,342

 
Federal National Mortgage Association Pool
 
3.00%
 
4/42
 
$
6,035

6,287

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
1/43
 
5,967

5,410

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
5,925

5,702

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
5,867

5,361

 
Government National Mortgage Association Pool
 
4.54%
 
11/62
 
5,859

5,241

 
Government National Mortgage Association Pool
 
4.58%
 
10/62
 
5,733

5,234

 
Government National Mortgage Association Pool
 
4.63%
 
6/61
 
5,688

5,978

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
4/43
 
5,676

5,189

 
Government National Mortgage Association Pool
 
4.60%
 
6/62
 
5,672

5,338

 
Federal National Mortgage Association Pool
 
4.50%
 
11/43
 
5,668

5,274

 
Federal National Mortgage Association Pool
 
4.00%
 
7/26
 
5,593

5,147

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/43
 
5,460

5,130

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
10/43
 
5,442

4,904

 
Federal National Mortgage Association Pool
 
4.00%
 
1/43
 
5,063

4,484

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,897

4,720

 
Federal National Mortgage Association Pool
 
4.00%
 
4/42
 
4,873

5,032

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
6/43
 
4,776

4,472

 
Federal National Mortgage Association Pool
 
4.50%
 
10/43
 
4,768

4,604

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
4,758

4,477

 
Federal National Mortgage Association Pool
 
4.50%
 
8/43
 
4,754

4,581

 
Federal Home Loan Mortgage Corporation Pool
 
4.00%
 
8/43
 
4,715

4,359

 
Federal Home Loan Mortgage Corporation Pool
 
4.50%
 
9/43
 
4,625

4,604

 
Federal National Mortgage Association Pool
 
3.50%
 
8/43
 
4,586

4,673

 
Federal Home Loan Mortgage Corporation Pool
 
3.00%
 
2/43
 
4,435

4,060

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,423

4,025

 
Federal National Mortgage Association Pool
 
5.00%
 
10/43
 
4,387

4,231

 
Federal National Mortgage Association Pool
 
4.00%
 
11/43
 
4,372

3,932

 
Government National Mortgage Association Pool
 
4.69%
 
7/61
 
4,288

3,886

 
Government National Mortgage Association Pool
 
4.75%
 
1/61
 
4,213

3,864

 
Federal National Mortgage Association Pool
 
5.00%
 
11/40