Edgar Filing: Ellington Financial LLC

EFC-2015.06.30-10-Q

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 June 30, 2015



¨	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 July 31, 2015
Common Shares Representing Limited Liability Company Interests, no par value		33,449,678

Table of Contents

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	62
	Item 3. Quantitative and Qualitative Disclosures about Market Risk	88
	Item 4. Controls and Procedures	90
Part II. Other Information
	Item 1. Legal Proceedings	90
	Item 1A. Risk Factors	90
	Item 6. Exhibits	91

Table of Contents

PART 1. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements (unaudited)

ELLINGTON FINANCIAL LLC

CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES, AND EQUITY

(UNAUDITED)



	June 30, 2015		December 31, 2014
(In thousands except share amounts)	Expressed in U.S. Dollars
ASSETS
Cash and cash equivalents	$	123,856	$	114,140
Investments, financial derivatives, and repurchase agreements:
Investments, at fair value (Cost – $1,844,920 and $2,122,326)	1,870,251		2,172,082
Financial derivatives–assets, at fair value (Net cost – $87,291 and $61,560)	91,665		80,029
Repurchase agreements (Cost – $53,799 and $172,001)	53,788		172,001
Total investments, financial derivatives, and repurchase agreements	2,015,704		2,424,112
Due from brokers	122,255		146,965
Receivable for securities sold	1,197,613		1,237,592
Interest and principal receivable	12,096		20,611
Other assets	3,344		1,935
Total Assets	$	3,474,868	$	3,945,355
LIABILITIES
Investments and financial derivatives:
Investments sold short, at fair value (Proceeds – $1,185,455 and $1,290,091)	$	1,183,384	$	1,291,370
Financial derivatives–liabilities, at fair value (Net proceeds – $35,500 and $33,555)	45,565		66,116
Total investments and financial derivatives	1,228,949		1,357,486
Reverse repurchase agreements	1,360,408		1,669,433
Due to brokers	36,673		22,224
Payable for securities purchased	63,200		98,747
Securitized debt (Proceeds – $649 and $749)	655		774
Accounts payable and accrued expenses	2,676		2,798
Base management fee payable	2,919		2,963
Interest and dividends payable	2,293		2,386
Other liabilities	13		—
Total Liabilities	2,697,786		3,156,811
EQUITY	777,082		788,544
TOTAL LIABILITIES AND EQUITY	$	3,474,868	$	3,945,355
Commitments and contingencies (Note 14)
ANALYSIS OF EQUITY:
Common shares, no par value, 100,000,000 shares authorized;
(33,449,678 and 33,449,678 shares issued and outstanding)	$	761,181	$	772,811
Additional paid-in capital – LTIP units	9,538		9,344
Total Shareholders' Equity	770,719		782,155
Non-controlling interests	6,363		6,389
Total Equity	$	777,082	$	788,544
PER SHARE INFORMATION:
Common shares	$	23.04	$	23.38

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015

(UNAUDITED)



Current Principal		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Long Investments (240.67%) (a) (b) (ad)
Mortgage-Backed Securities (203.97%)
Agency Securities (147.91%) (c)
Fixed Rate Agency Securities (142.53%)
Principal and Interest–Fixed Rate Agency Securities (138.00%)
North America
Mortgage-related—Residential
$	192,676	Federal National Mortgage Association Pools (30 Year)	4.00%	8/42 - 7/45	$	205,465
168,762		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.00%	9/42 - 5/45	179,647
143,326		Federal National Mortgage Association Pools (30 Year)	4.50%	10/41 - 4/45	156,617
95,861		Federal National Mortgage Association Pools (30 Year)	3.50%	10/42 - 6/45	99,100
69,642		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.50%	9/43 - 6/45	76,219
62,254		Federal National Mortgage Association Pools (30 Year)	5.00%	10/35 - 12/44	69,261
53,392		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.50%	1/42 - 6/45	55,143
41,201		Federal National Mortgage Association Pools (15 Year)	3.50%	3/28 - 6/30	43,742
19,974		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.50%	9/28 - 9/29	21,221
12,689		Federal National Mortgage Association Pools (15 Year)	4.00%	6/26 - 12/29	13,416
9,397		Federal National Mortgage Association Pools (15 Year)	3.00%	4/30 - 6/30	9,782
9,421		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.00%	1/43 - 4/43	9,410
8,094		Federal National Mortgage Association Pools (Other)	5.00%	9/43 - 1/44	9,125
8,138		Government National Mortgage Association Pools (Other)	4.56%	1/65	9,100
8,345		Federal Home Loan Mortgage Corporation Pools (Other)	3.50%	2/30 - 6/43	8,632
6,676		Government National Mortgage Association Pools (Other)	4.61%	6/64 - 11/64	7,465
6,414		Federal National Mortgage Association Pools (20 Year)	4.00%	11/33 - 12/33	6,890
6,063		Government National Mortgage Association Pools (Other)	4.59%	11/64	6,788
6,801		Federal National Mortgage Association Pools (30 Year)	3.00%	1/43 - 2/43	6,781
6,400		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.00%	3/28 - 4/30	6,657
5,339		Federal National Mortgage Association Pools (Other)	4.50%	2/44	5,908
5,083		Federal National Mortgage Association Pools (30 Year)	5.50%	10/39	5,718
5,198		Federal National Mortgage Association Pools (15 Year)	4.50%	4/26	5,428
4,121		Government National Mortgage Association Pools (Other)	4.68%	9/64	4,616
4,021		Government National Mortgage Association Pools (Other)	4.75%	1/61	4,249
3,729		Government National Mortgage Association Pools (Other)	4.63%	10/64	4,181
3,456		Government National Mortgage Association Pools (Other)	4.80%	2/61	3,683
3,260		Government National Mortgage Association Pools (Other)	4.49%	11/64	3,620
3,434		Government National Mortgage Association Pools (30 Year)	3.50%	4/45	3,574
3,274		Government National Mortgage Association Pools (Other)	5.49%	4/60	3,559
2,808		Federal Home Loan Mortgage Corporation Pools (Other)	4.50%	5/44	3,106
2,925		Federal Home Loan Mortgage Corporation Pools (Other)	3.00%	6/28	3,034
2,664		Federal National Mortgage Association Pools (30 Year)	6.00%	9/39 - 2/40	3,034
2,620		Government National Mortgage Association Pools (Other)	4.64%	3/65	2,947
2,700		Government National Mortgage Association Pools (Other)	5.54%	2/60	2,907
2,472		Government National Mortgage Association Pools (Other)	5.51%	2/60	2,693
2,204		Federal Home Loan Mortgage Corporation Pools (15 Year)	4.00%	2/29	2,332

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)



Current Principal/Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	1,730	Federal Home Loan Mortgage Corporation Pools (30 Year)	6.00%	4/39 - 5/40	$	1,963
1,556		Government National Mortgage Association Pools (30 Year)	4.00%	4/45	1,659
1,483		Federal Home Loan Mortgage Corporation Pools (20 Year)	4.50%	12/33	1,621
886		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.00%	7/44	972
803		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.50%	8/33	904
222		Federal National Mortgage Association Pools (Other)	4.00%	6/37	231
					1,072,400
Interest Only–Fixed Rate Agency Securities (1.32%)
North America
Mortgage-related—Residential
17,154		Federal National Mortgage Association	4.50%	12/20 - 5/43	2,433
14,231		Federal National Mortgage Association	5.00%	1/36 - 5/40	2,071
9,988		Government National Mortgage Association	5.50%	11/43	1,888
6,499		Federal Home Loan Mortgage Corporation	3.50%	12/32	919
6,150		Federal Home Loan Mortgage Corporation	5.00%	3/40	757
4,311		Federal National Mortgage Association	3.00%	9/41	517
4,652		Government National Mortgage Association	5.00%	5/37	462
2,142		Government National Mortgage Association	4.75%	7/40	460
1,925		Federal National Mortgage Association	5.50%	10/40	293
1,529		Federal National Mortgage Association	4.00%	5/39	267
1,342		Federal Home Loan Mortgage Corporation	5.50%	1/39	168
					10,235
TBA–Fixed Rate Agency Securities (3.21%)
North America
Mortgage-related—Residential
25,090		Federal Home Loan Mortgage Corporation (30 Year)	3.00%	7/15	24,933
					24,933
Total Fixed Rate Agency Securities (Cost $1,100,124)					1,107,568
Floating Rate Agency Securities (5.38%)
Principal and Interest–Floating Rate Agency Securities (2.79%)
North America
Mortgage-related—Residential
9,144		Federal Home Loan Mortgage Corporation Pools	2.36% - 5.94%	6/37 - 5/44	9,698
8,689		Federal National Mortgage Association Pools	2.75% - 6.05%	9/35 - 5/45	9,184
2,587		Government National Mortgage Association Pools	2.53%	11/64	2,805
					21,687

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)



Current Principal /Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Interest Only–Floating Rate Agency Securities (2.59%)
North America
Mortgage-related—Residential
$	208,688	Government National Mortgage Association	0.40% - 6.56%	11/42 - 10/63	$	14,047
18,745		Federal National Mortgage Association	5.50% - 6.51%	4/35 - 12/41	2,992
22,292		Resecuritization of Government National Mortgage Association (d)	4.31%	8/60	1,853
7,286		Federal Home Loan Mortgage Corporation	5.81% - 6.44%	3/36 - 8/39	1,258
					20,150
Total Floating Rate Agency Securities (Cost $40,564)					41,837
Total Agency Securities (Cost $1,140,688)					1,149,405
Private Label Securities (56.06%)
Principal and Interest–Private Label Securities (55.21%)
North America (49.19%)
Mortgage-related—Residential
541,110		Various	0% - 9.35%	5/19 - 9/46	345,642
Mortgage-related—Commercial
123,882		Various	3.00% - 5.40%	7/45 - 12/49	36,606
Total North America (Cost $355,328)					382,248
Europe (6.02%)
Mortgage-related—Residential
38,129		Various	0% - 5.32%	6/25 - 6/44	35,551
Mortgage-related—Commercial
15,986		Various	0% - 11.00%	7/15 - 6/19	11,263
Total Europe (Cost $51,446)					46,814
Total Principal and Interest–Private Label Securities (Cost $406,774)					429,062
Principal Only–Private Label Securities (0.45%)
North America
Mortgage-related—Residential
5,800		Various	—%	8/30	3,495
Total Principal Only–Private Label Securities ($2,876)					3,495
Interest Only–Private Label Securities (0.40%)
North America
Mortgage-related—Residential
44,539		Various	0.50%-2.00%	6/44 - 9/47	1,111
Mortgage-related—Commercial
27,254		Various	1.42%-1.60%	10/47 - 2/48	1,965
Total Interest Only–Private Label Securities (Cost $2,179)					3,076

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (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
$	107,841	Various	—%	6/37	$	—
Mortgage-related—Commercial
—		Various	—%	7/45 - 2/48	—
Total Other Private Label Securities (Cost $292)					—
Total Private Label Securities (Cost $412,121)					435,633
Total Mortgage-Backed Securities (Cost $1,552,809)					1,585,038
Collateralized Loan Obligations (12.66%)
North America (6.01%)
68,550		Various	0% - 9.77%	5/16 - 9/68	46,709
Total North America (Cost $48,801)					46,709
Europe (6.65%)
63,573		Various	0% - 7.59%	3/17 - 12/56	51,679
Total Europe (Cost $53,604)					51,679
Total Collateralized Loan Obligations (Cost $102,405)					98,388
Consumer Loans and Asset-backed Securities backed by Consumer Loans (6.75%) (e)
North America (6.24%)
Consumer (f)
46,202		Various	0% - 49.0%	7/15 - 6/20	48,528
Total North America (Cost $47,914)					48,528
Europe (0.51%)
Consumer
3,554		Various	—%	8/24	3,929
Total Europe (Cost $4,302)					3,929
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $52,216)					52,457
Corporate Debt (3.38%)
North America (1.87%)
Basic Materials
4,070		Various	11.75%	1/19	2,381
Consumer
2,866		Various	5.50% - 8.50%	7/20	1,859
Energy
3,066		Various	7.00% - 9.75%	11/18 - 6/19	1,878
Mortgage-related—Residential
8,500		Various	15.00%	10/19	8,400
Total North America (Cost $17,465)					14,518

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)



Current Principal/Number of Properties/Number of Shares		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Europe (1.51%)
Communications
$	8,155	Various	14.00%	10/18	$	8,889
Consumer
16,136		Various	7.50%	12/16	698
Energy
2,800		Various	12.25%	1/17	2,173
Total Europe (Cost $12,078)					11,760
Total Corporate Debt (Cost $29,543)					26,278
Mortgage Loans (9.81%) (e)
North America
Mortgage-related—Commercial (g)
70,645		Various	2.50%-12.00%	8/15 - 7/45	55,310
Mortgage-related—Residential
34,412		Various	—%	7/21 - 4/55	20,929
Total Mortgage Loans (Cost $76,803)					76,239
Real Estate Owned (1.22%) (e) (h)
North America
Real estate-related
48		Single-Family Houses			7,458
1		Commercial Property			2,044
Total Real Estate Owned (Cost $9,087)					9,502
Private Corporate Equity Investments (2.88%)
North America
Consumer
1,578		Non-Exchange Traded Corporate Equity			2,810
Diversified
160		Non-Exchange Traded Corporate Equity			2,478
Mortgage-related—Commercial
8,171		Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-Related Private Partnership			8,171
n/a		Non-Controlling Interest in Mortgage-Related Private Partnership			2,795
Mortgage-related—Residential
9,482		Non-Exchange Traded Preferred Equity Investment in Mortgage Originators			4,325
7,478		Non-Exchange Traded Equity Investment in Mortgage Originators			913
Technology
99		Non-Exchange Traded Corporate Equity			857
Private Corporate Equity Investments (Cost $22,057)					22,349
Total Long Investments (Cost $1,844,920)					$	1,870,251

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)

Current Principal

Description

Rate

Maturity

Fair Value

(In thousands)

Expressed in U.S.

Dollars

Repurchase Agreements (6.92%) (a) (b) (i)

North America (5.61%)

Government

14,644

Bank of America

(0.35)%

7/15

14,644

Collateralized by Par Value $15,000

U.S. Treasury Note, Coupon 2.00%,

Maturity Date 2/25

10,808

Deutsche Bank Securities

(0.40)%

7/15

10,808

Collateralized by Par Value $11,000

U.S. Treasury Note, Coupon 2.13%,

Maturity Date 5/25

5,025

Bank of America

0.15%

7/15

5,025

Collateralized by Par Value $5,000

U.S. Treasury Note, Coupon 1.25%,

Maturity Date 10/18

3,975

Pierpont Securities

(0.70)%

7/15

3,975

Collateralized by Par Value $4,000

U.S. Treasury Note, Coupon 1.50%,

Maturity Date 5/20

3,970

Bank of America

0.00%

7/15

3,970

Collateralized by Par Value $4,000

U.S. Treasury Note, Coupon 1.38%,

Maturity Date 3/20

3,184

Bank of America

0.15%

7/15

3,184

Collateralized by Par Value $3,200

U.S. Treasury Note Coupon 2.25%,

Maturity Date 11/24

1,983

Bank of America

0.15%

7/15

1,982

Collateralized by Par Value $2,000

U.S. Treasury Note Coupon 1.25%,

Maturity Date 1/20

Total North America (Cost $43,588)

43,588

Europe (1.31%)

Government

8,036

Barclays Capital Inc.

(0.28)%

7/15

8,036

Collateralized by Par Value $7,231

Sovereign Government Bond, Coupon 2.75%,

Maturity Date 4/19

2,165

Barclays Capital Inc.

0.40%

7/15

2,164

Collateralized by Par Value $2,045

Sovereign Government Bond, Coupon 4.00%,

Maturity Date 9/16

Total Europe (Cost $10,211)

10,200

Total Repurchase Agreements (Cost $53,799)

53,788

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)



Current Principal			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
Investments Sold Short (-152.29%) (a) (b)
TBA–Fixed Rate Agency Securities Sold Short (-144.13%) (j)
North America
Government
$	(207,792	)	Federal National Mortgage Association (30 year)	3.50%	7/15	$	(214,050	)
(113,130		)	Federal National Mortgage Association (15 year)	3.50%	7/15	(119,335		)
(91,138		)	Federal National Mortgage Association (30 year)	4.00%	7/15	(96,517		)
(84,060		)	Federal National Mortgage Association (30 year)	4.50%	7/15	(90,857		)
(72,197		)	Federal Home Loan Mortgage Corporation (30 year)	4.00%	7/15	(76,314		)
(68,000		)	Federal National Mortgage Association (30 year)	4.00%	8/15	(71,865		)
(64,900		)	Federal National Mortgage Association (15 year)	3.00%	7/15	(67,232		)
(49,000		)	Federal Home Loan Mortgage Corporation (30 year)	4.00%	8/15	(51,680		)
(45,000		)	Federal National Mortgage Association (30 year)	3.50%	8/15	(46,239		)
(36,440		)	Federal National Mortgage Association (30 year)	5.00%	8/15	(40,218		)
(32,580		)	Federal National Mortgage Association (30 year)	5.00%	7/15	(35,991		)
(28,800		)	Federal National Mortgage Association (15 year)	2.50%	7/15	(29,142		)
(24,400		)	Federal National Mortgage Association (30 year)	4.50%	8/15	(26,338		)
(22,600		)	Federal Home Loan Mortgage Corporation (30 year)	4.50%	8/15	(24,374		)
(21,331		)	Federal Home Loan Mortgage Corporation (30 year)	4.50%	7/15	(23,034		)
(16,880		)	Federal Home Loan Mortgage Corporation (15 year)	3.50%	7/15	(17,790		)
(16,510		)	Federal Home Loan Mortgage Corporation (15 year)	3.00%	7/15	(17,092		)
(15,000		)	Federal National Mortgage Association (15 year)	3.50%	8/15	(15,793		)
(15,000		)	Federal National Mortgage Association (30 year)	3.00%	8/15	(14,899		)
(11,170		)	Federal National Mortgage Association (15 year)	4.00%	7/15	(11,716		)
(9,120		)	Federal Home Loan Mortgage Corporation (30 year)	3.50%	7/15	(9,377		)
(6,860		)	Federal National Mortgage Association (30 year)	5.50%	7/15	(7,705		)
(3,020		)	Federal Home Loan Mortgage Corporation (30 year)	5.00%	7/15	(3,326		)
(2,950		)	Government National Mortgage Association (30 year)	3.50%	7/15	(3,061		)
(2,892		)	Federal National Mortgage Association (30 year)	3.00%	7/15	(2,880		)
(1,600		)	Government National Mortgage Association (30 year)	4.00%	8/15	(1,693		)
(1,300		)	Federal Home Loan Mortgage Corporation (30 year)	5.50%	7/15	(1,457		)
Total TBA–Fixed Rate Agency Securities Sold Short (Proceeds -$1,120,845)						(1,119,975		)
Government Debt Sold Short (-8.16%)
North America (-4.94%)
Government
(39,000		)	U.S. Treasury Note	1.25% - 2.25%	10/18 - 5/25	(38,396		)
Total North America (Proceeds -$38,531)						(38,396		)
Europe (-3.22%)
Government
(24,600		)	European Sovereign Bond	0.25% - 4.00%	9/16 - 4/19	(25,013		)
Total Europe (Proceeds -$26,079)						(25,013		)
Total Government Debt Sold Short (Proceeds -$64,610)						(63,409		)
Total Investments Sold Short (Proceeds -$1,185,455)						$	(1,183,384	)

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)



	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S. Dollars
Financial Derivatives–Assets (11.80%) (a) (b)
Swaps (11.44%) (ae)
Long Swaps:
Credit Default Swaps on Corporate Bond Indices (k)	Credit	$	432,911		12/17 - 6/20	$	61,542
Interest Rate Swaps (l)	Interest Rates	688,996			10/16 - 6/25	10,328
Credit Default Swaps on Asset-Backed Indices (k)	Credit	1,608			12/37	62
North America
Total Return Swaps
Communications (p)	Credit	2,693			3/16	33
Consumer (p)	Credit	6,076			3/16 - 6/16	31
Diversified (p)	Credit	2,779			3/16	16
Industrial (p)	Credit	2,700			3/16	163
Technology (p)	Credit	1,400			6/16	4
Total Total Return Swaps						247
Short Swaps:
Credit Default Swaps on Asset-Backed Indices (m)	Credit	(64,458		)	5/46 - 5/63	2,532
Interest Rate Swaps (n)	Interest Rates	(516,806		)	3/18 - 2/45	4,693
North America
Credit Default Swaps on Asset-Backed Securities (m)
Mortgage-related—residential	Credit	(14,937		)	9/34 - 5/36	9,449
Total Return Swaps
Financial (o)	Equity Market	(44,359		)	3/17	1
Total Swaps (Net cost $86,025)						88,854
Futures (0.03%)
Long Futures:
U.S. Treasury Note Futures (r)	Interest Rates	159,700			9/15	212
Eurodollar Futures (q)	Interest Rates	23,000			12/15 - 6/17	24
Total Futures						236
Options (0.17%)
Purchased Options:
Options on Credit Default Swaps on Corporate Bond Indices (u)	Credit	74,556			9/15 - 10/15	564
Receiver Swaptions (w)	Interest Rates	29,000			6/18	710
Written Options:
Straddle Swaptions (z)	Interest Rates	(14,000		)	6/16	9
Total Options (Cost $1,166)						1,283
Forwards (0.15%)
Long Forwards
Currency Forwards (ab)	Currency	5,192			9/15	5
Short Forwards
Currency Forwards (ac)	Currency	(104,038		)	9/15	1,187
Total Forwards						1,192

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)



	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S. Dollars
Warrants (0.01%)
Warrants (t)
Mortgage-related—residential	Equity Market	$	1,554			$	100
Total Warrants (Cost $100)						100
Total Financial Derivatives–Assets (Net cost $87,291)						$	91,665
Financial Derivatives–Liabilities (-5.86%) (a) (b)
Swaps (-5.50%)
Long Swaps:
Credit Default Swaps on Asset-Backed Indices (k)	Credit	$	59,467		1/47 - 5/63	$	(6,507	)
Interest Rate Swaps (l)	Interest Rates	137,722			10/19 - 4/25	(1,863		)
North America
Total Return Swaps
Basic Materials (p)	Credit	6,509			3/16	(260		)
Communications (p)	Credit	8,060			3/16 - 5/16	(1,479		)
Energy (p)	Credit	5,752			4/16 - 6/16	(164		)
Financial (o)	Equity Market	54,960			11/16 - 4/17	(2		)
Total Total Return Swaps						(1,905		)
Short Swaps:
Interest Rate Swaps (n)	Interest Rates	(646,784		)	1/16 - 11/44	(7,440		)
Credit Default Swaps on Corporate Bond Indices (m)	Credit	(315,202		)	12/16-6/20	(24,400		)
North America
Credit Default Swaps on Asset-Backed Securities (m)
Mortgage-related—residential	Credit	(3,237		)	10/34 - 3/35	(280		)
Credit Default Swaps on Corporate Bonds (m)
Consumer	Credit	(5,970		)	9/19 - 12/19	(239		)
Financial	Credit	(4,000		)	3/20	(81		)
Total Credit Default Swaps on Corporate Bonds						(320		)
Total Return Swaps
Energy (o)	Equity Market	(1,290		)	3/17 - 6/17	—
Financial (o)	Equity Market	(33,349		)	3/17	(14		)
Total Swaps (Net proceeds -$31,972)						(42,729		)
Futures (-0.08%)
Long Futures:
U.S. Treasury Note Futures (r)	Interest Rates	44,600			9/15	(166		)
Equity Index Futures (s)	Credit	8,321			9/15	(10		)
Short Futures:
Eurodollar Futures (q)	Interest Rates	(644,000		)	9/15 - 9/17	(457		)
Total Futures						(633		)

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONTINUED)

(UNAUDITED)



	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S. Dollars
Options (-0.25%)
Purchased Options:
Payer Swaption (y)	Interest Rates	$	126,000		6/16	$	(40	)
Straddle Swaption (z)	Interest Rates	22,000			6/18	(30		)
Written Options:
Options on Credit Default Swaps on Corporate Bond Indices (v)	Credit	(518,680		)	8/15 - 10/15	(1,334		)
Receiver Swaption (x)	Interest Rates	(13,000		)	6/18	(594		)
Total Options (Proceeds -$3,528)						(1,998		)
Forwards (-0.03%)
Long Forwards:
Currency Forwards (ab)	Currency	8,664			9/15	(131		)
Short Forwards:
Currency Forwards (ac)	Currency	(10,162		)	9/15	(74		)
Total Forwards						(205		)
Loan Purchase Commitment (0.00%)
Mortgage Loans (aa)	Interest Rates	1,680			7/15 - 8/15	—
Total Loan Purchase Commitment						—
Total Financial Derivatives–Liabilities (Net proceeds -$35,500)						$	(45,565	)

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2015 (CONCLUDED)

(UNAUDITED)


(a)	See Note 2 and Note 3 in Notes to Consolidated Financial Statements.


(b)	Classification percentages are based on Total Equity.


(c)	At June 30, 2015, 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 84.71%, 52.58%, and 10.62% of equity, respectively.


(d)	Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates.


(e)	Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments.


(f)	Includes investments in participation certificates in a trust owned by a related party of Ellington Financial Management LLC for which the Company has beneficial interests in the residual cash flows of the underlying loans held by the trust. At June 30, 2015 loans held in the related party trust for which the Company has beneficial interests in the residual cash flows, totaled $2.3 million.


(g)	Includes non-performing commercial loans in the amount of $11.4 million whereby principal and/or interest is past due and a maturity date is not applicable.


(h)	Number of properties not shown in thousands, represents actual number of properties owned.


(i)	In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.


(j)	At June 30, 2015, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 114.63% and 28.88% of equity, respectively.


(k)	For long credit default swaps, the Company sold protection.


(l)	For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received.


(m)	For short credit default swaps, the Company purchased protection.


(n)	For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received.


(o)	Notional value represents number of underlying shares times the closing price of the underlying security.


(p)	Notional value represents outstanding principal balance on underlying corporate debt.


(q)	Every $1,000,000 in notional value represents one contract.


(r)	Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2015, 1,644 contracts were held.


(s)	Notional value represents the number of contracts held times 50 times the Index price at June 30, 2015; as of June 30, 2015, 81 contracts were held.


(t)	Notional amount represents number of warrants.


(u)	Represents the option on the part of the Company to enter into a credit default swap on a corporate bond index whereby the Company would pay a fixed rate and receive credit protection payments.


(v)	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 pay a fixed rate and receive credit protection payments.


(w)	Represents the option on the part of the Company to enter into an interest rate swap whereby the Company would pay a floating rate and receive a fixed rate.


(x)	Represents the option on the part of a counterparty to enter into an interest rate swap with the Company whereby the Company would pay a fixed rate and receive a floating rate.


(y)	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.


(z)	Represents the combination of a written payer swaption and a written receiver swaption on the same underlying swap.


(aa)	Notional amount represents principal balance of mortgage loan purchase commitments. Actual loan purchases are contingent upon successful loan closings in accordance with agreed-upon parameters.


(ab)	Notional amount represents U.S. Dollars to be paid by the Company at the maturity of the forward contract.


(ac)	Notional amount represents U.S. Dollars to be received by the Company at the maturity of the forward contract.

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The table below shows the ratings on the Company's long investments 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	147.91	%
A/A/A	0.35	%
Baa/BBB/BBB	2.23	%
Ba/BB/BB or below	53.46	%
Unrated	36.72	%


(ae)	The following table shows the Company's swap assets by dealer as a percentage of Total Equity: