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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 June 30, 2016
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 July 29, 2016
Common Shares Representing Limited Liability Company Interests, no par value
 
32,647,733


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)
 
June 30,
2016
 
December 31,
2015
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
140,358

 
$
183,909

Restricted cash
3,905

 
4,857

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $1,590,345 and $1,672,400)
1,582,165

 
1,661,118

Financial derivatives–assets, at fair value (Net cost – $149,985 and $163,943)
152,628

 
162,905

Repurchase agreements, at fair value (Cost – $116,985 and $105,329)
116,003

 
105,700

Total investments, financial derivatives, and repurchase agreements
1,850,796

 
1,929,723

Due from brokers
199,125

 
141,605

Receivable for securities sold and financial derivatives
536,936

 
705,748

Interest and principal receivable
19,085

 
20,444

Other assets
2,886

 
5,269

Total Assets
$
2,753,091

 
$
2,991,555

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $613,756 and $731,048)
$
616,337

 
$
728,747

Financial derivatives–liabilities, at fair value (Net proceeds – $43,032 and $56,200)
74,098

 
60,472

Total investments and financial derivatives
690,435

 
789,219

Reverse repurchase agreements
1,070,105

 
1,174,189

Due to brokers
94,715

 
114,797

Payable for securities purchased and financial derivatives
197,164

 
165,365

Securitized debt (Proceeds – $13,034 and $0)
13,034

 
—

Accounts payable and accrued expenses
3,055

 
3,626

Base management fee payable
2,553

 
2,773

Interest and dividends payable
2,523

 
1,806

Other liabilities
324

 
828

Total Liabilities
2,073,908

 
2,252,603

EQUITY
679,183

 
738,952

TOTAL LIABILITIES AND EQUITY
$
2,753,091

 
$
2,991,555

Commitments and contingencies (Note 15)

 

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(32,743,356 and 33,126,012 shares issued and outstanding)
$
664,109

 
$
722,360

Additional paid-in capital – LTIP units
9,886

 
9,689

Total Shareholders' Equity
673,995

 
732,049

Non-controlling interests
5,188

 
6,903

Total Equity
$
679,183

 
$
738,952

PER SHARE INFORMATION:
 
 
 
Common shares
$
20.58

 
$
22.10


3
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Long Investments (232.95%) (a) (b) (y)
 
 
 
 
 
 
Mortgage-Backed Securities (182.22%)
 
 
 
 
 
 
Agency Securities (148.90%) (c)
 
 
 
 
 
 
Fixed Rate Agency Securities (144.08%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (119.52%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
140,941

 
Federal National Mortgage Association Pools (30 Year)
 
4.00%
 
8/42 - 4/46
 
$
152,702

122,292

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.00%
 
8/43 - 5/46
 
132,469

88,182

 
Federal National Mortgage Association Pools (30 Year)
 
4.50%
 
10/41 - 3/46
 
97,387

63,182

 
Federal National Mortgage Association Pools (30 Year)
 
3.50%
 
3/43 - 5/46
 
67,319

54,356

 
Federal National Mortgage Association Pools (15 Year)
 
3.50%
 
3/28 - 4/31
 
58,139

49,365

 
Federal National Mortgage Association Pools (30 Year)
 
5.00%
 
10/35 - 12/44
 
55,213

38,545

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.50%
 
9/43 - 3/46
 
42,508

26,408

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.50%
 
1/42 - 10/45
 
28,201

12,367

 
Federal National Mortgage Association Pools (15 Year)
 
3.00%
 
4/30 - 10/30
 
13,035

11,317

 
Federal National Mortgage Association Pools (15 Year)
 
4.00%
 
6/26 - 5/31
 
12,225

10,023

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.50%
 
9/28 - 9/30
 
10,700

9,113

 
Government National Mortgage Association Pools (30 Year)
 
4.50%
 
8/45 - 9/45
 
10,023

9,331

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.50%
 
2/30 - 3/46
 
9,882

8,293

 
Government National Mortgage Association Pools (Other)
 
4.56%
 
1/65
 
9,411

7,299

 
Federal National Mortgage Association Pools (Other)
 
5.00%
 
9/43 - 1/44
 
8,204

6,654

 
Government National Mortgage Association Pools (Other)
 
4.68%
 
11/63 - 9/64
 
7,518

6,181

 
Government National Mortgage Association Pools (Other)
 
4.59%
 
11/64
 
7,022

6,090

 
Government National Mortgage Association Pools (Other)
 
4.61%
 
6/64 - 11/64
 
6,904

5,667

 
Government National Mortgage Association Pools (30 Year)
 
4.00%
 
6/45 - 3/46
 
6,144

5,536

 
Government National Mortgage Association Pools (30 Year)
 
3.50%
 
2/46
 
5,913

5,500

 
Federal National Mortgage Association Pools (30 Year)
 
3.00%
 
1/42 - 6/45
 
5,722

4,408

 
Government National Mortgage Association Pools (Other)
 
4.62%
 
12/63
 
4,956

4,130

 
Federal National Mortgage Association Pools (30 Year)
 
5.50%
 
10/39
 
4,642

3,927

 
Federal National Mortgage Association Pools (15 Year)
 
4.50%
 
4/26
 
4,227

3,786

 
Government National Mortgage Association Pools (Other)
 
4.50%
 
7/61
 
4,145

3,340

 
Government National Mortgage Association Pools (Other)
 
4.63%
 
10/64
 
3,804

3,117

 
Government National Mortgage Association Pools (Other)
 
4.49%
 
11/64
 
3,511

3,205

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.00%
 
 4/30
 
3,374

3,141

 
Government National Mortgage Association Pools (Other)
 
4.75%
 
1/61
 
3,238

3,125

 
Government National Mortgage Association Pools (Other)
 
4.80%
 
2/61
 
3,228

2,752

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
4.50%
 
5/44
 
3,040

2,828

 
Government National Mortgage Association Pools (Other)
 
5.49%
 
4/60
 
3,009

2,499

 
Government National Mortgage Association Pools (Other)
 
4.64%
 
3/65
 
2,851

2,639

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.00%
 
6/28
 
2,774

2,362

 
Federal National Mortgage Association Pools (30 Year)
 
6.00%
 
9/39 - 2/40
 
2,710


See Notes to Consolidated Financial Statements
4
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
2,405

 
Federal National Mortgage Association Pools (20 Year)
 
4.00%
 
12/33
 
$
2,612

2,105

 
Government National Mortgage Association Pools (Other)
 
5.54%
 
2/60
 
2,223

2,048

 
Government National Mortgage Association Pools (Other)
 
5.51%
 
2/60
 
2,193

1,932

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
4.00%
 
2/29
 
2,085

1,765

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.00%
 
7/43 - 10/45
 
1,834

1,494

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
6.00%
 
4/39 - 5/40
 
1,708

1,264

 
Federal Home Loan Mortgage Corporation Pools (20 Year)
 
4.50%
 
12/33
 
1,395

694

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.00%
 
7/44
 
769

634

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.50%
 
8/33
 
709

101

 
Federal National Mortgage Association Pools (Other)
 
4.00%
 
6/37
 
106

 
 
 
 
 
 
 
 
811,784

Interest Only - Fixed Rate Agency Securities (0.76%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
7,427

 
Government National Mortgage Association
 
5.50%
 
11/43
 
1,199

9,235

 
Federal National Mortgage Association
 
5.00%
 
1/38 - 5/40
 
899

5,548

 
Federal Home Loan Mortgage Corporation
 
3.50%
 
12/32
 
790

6,866

 
Federal National Mortgage Association
 
4.50%
 
12/20 - 5/43
 
584

3,929

 
Federal Home Loan Mortgage Corporation
 
5.00%
 
3/40
 
313

3,559

 
Federal National Mortgage Association
 
3.00%
 
9/41
 
289

1,249

 
Government National Mortgage Association
 
6.00%
 
6/38
 
274

1,694

 
Government National Mortgage Association
 
4.75%
 
7/40
 
237

1,417

 
Federal National Mortgage Association
 
5.50%
 
10/40
 
175

3,011

 
Government National Mortgage Association
 
5.00%
 
5/37
 
158

1,175

 
Federal National Mortgage Association
 
4.00%
 
5/39
 
156

937

 
Federal Home Loan Mortgage Corporation
 
5.50%
 
1/39
 
85

 
 
 
 
 
 
 
 
5,159

TBA - Fixed Rate Agency Securities (23.80%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
60,330

 
Government National Mortgage Association (30 Year)
 
4.00%
 
7/16 - 8/16
 
64,754

47,238

 
Federal National Mortgage Association (30 Year)
 
3.00%
 
7/16
 
49,013

30,000

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
7/16
 
31,629

14,460

 
Federal National Mortgage Association (15 Year)
 
3.00%
 
7/16
 
15,160

990

 
Government National Mortgage Association (30 Year)
 
4.50%
 
7/16
 
1,063

 
 
 
 
 
 
 
 
161,619

Total Fixed Rate Agency Securities (Cost $964,068)
 
 
 
 
 
978,562

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
5
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Floating Rate Agency Securities (4.82%)
 
 
 
 
 
 
Principal and Interest - Floating Rate Agency Securities (2.56%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
8,646

 
Federal National Mortgage Association Pools
 
2.43% - 6.04%
 
11/34 - 5/45
 
$
9,112

5,638

 
Federal Home Loan Mortgage Corporation Pools
 
2.61% - 5.94%
 
6/37 - 5/44
 
5,968

2,199

 
Government National Mortgage Association Pools
 
2.80%
 
11/64
 
2,345

 
 
 
 
 
 
 
 
17,425

Interest Only - Floating Rate Agency Securities (2.26%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
193,766

 
Government National Mortgage Association
 
0.43% - 6.30%
 
11/42 - 10/63
 
10,634

16,238

 
Federal National Mortgage Association
 
5.50% - 7.10%
 
6/33 - 12/41
 
2,264

18,185

 
Resecuritization of Government National Mortgage Association (d)
 
4.05%
 
8/60
 
1,358

5,809

 
Federal Home Loan Mortgage Corporation
 
5.56% - 6.19%
 
3/36 - 8/39
 
1,091

 
 
 
 
 
 
 
 
15,347

Total Floating Rate Agency Securities (Cost $31,735)
 
 
 
 
 
32,772

Total Agency Securities (Cost $995,803)
 
 
 
 
 
1,011,334

Private Label Securities (33.32%)
 
 
 
 
 
 
Principal and Interest - Private Label Securities (32.20%)
 
 
 
 
 
 
North America (25.28%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
291,703

 
Various
 
0.00% - 9.35%
 
5/19 - 9/46
 
147,500

Mortgage-related—Commercial
 
 
 
 
 
 
95,731

 
Various
 
3.00% - 4.56%
 
7/45 - 3/49
 
24,169

Total North America (Cost $168,411)
 
 
 
 
 
171,669

Europe (6.92%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
60,455

 
Various
 
0.00% - 5.34%
 
6/25 - 3/50
 
39,092

Mortgage-related—Commercial
 
 
 
 
 
 
7,999

 
Various
 
0.00% - 11.00%
 
6/17 - 6/19
 
7,933

Total Europe (Cost $56,943)
 
 
 
 
 
47,025

Total Principal and Interest - Private Label Securities (Cost $225,354)
 
 
 
 
 
218,694

Principal Only - Private Label Securities (0.54%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
5,510

 
Various
 
—%
 
8/30
 
3,649

Total Principal Only - Private Label Securities (Cost $2,885)
 
 
 
 
 
3,649

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
6
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Interest Only - Private Label Securities (0.58%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
38,118

 
Various
 
0.50% - 2.00%
 
6/44 - 9/47
 
$
1,101

Mortgage-related—Commercial
 
 
 
 
 
 
49,918

 
Various
 
1.25% - 1.60%
 
10/47 - 3/49
 
2,840

Total Interest Only - Private Label Securities (Cost $3,382)
 
 
 
 
 
3,941

Other Private Label Securities (0.00%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
95,607

 
Various
 
—%
 
6/37
 
—

Mortgage-related—Commercial
 
 
 
 
 
 
—

 
Various
 
—%
 
7/45 - 3/49
 
—

Total Other Private Label Securities (Cost $259)
 
 
 
 
 
—

Total Private Label Securities (Cost $231,880)
 
 
 
 
 
226,284

Total Mortgage-Backed Securities (Cost $1,227,683)
 
 
 
 
 
1,237,618

Collateralized Loan Obligations (4.87%)
 
 
 
 
 
 
North America (2.25%)
 
 
 
 
 
 
63,133

 
Various
 
0.00% - 9.15%
 
5/17 - 1/24
 
15,312

Total North America (Cost $20,626)
 
 
 
 
 
15,312

Europe (2.62%)
 
 
 
 
 
 
26,886

 
Various
 
0.00% - 9.37%
 
1/22 - 3/25
 
17,797

Total Europe (Cost $18,668)
 
 
 
 
 
17,797

Total Collateralized Loan Obligations (Cost $39,294)
 
 
 
 
 
33,109

Consumer Loans and Asset-backed Securities backed by Consumer Loans (22.73%) (e)
 
 
 
 
 
 
North America (22.37%)
 
 
 
 
 
 
Consumer (f)
 
 
 
 
 
 
150,751

 
Various
 
5.44% - 59.39%
 
7/16 - 6/21
 
151,937

Total North America (Cost $153,581)
 
 
 
 
 
151,937

Europe (0.36%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
1,141

 
Various
 
—%
 
8/24
 
2,458

Total Europe (Cost $1,611)
 
 
 
 
 
2,458

Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $155,192)
 
 
 
 
 
154,395

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
7
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Properties
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Corporate Debt (5.45%)
 
 
 
 
 
 
North America (4.21%)
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
$
5,720

 
Various
 
11.75%
 
1/19
 
$
977

Consumer
 
 
 
 
 
 
10,695

 
Various
 
0.00% - 7.25%
 
6/18 - 11/22
 
8,164

Energy
 
 
 
 
 
 
17,906

 
Various
 
0.00% - 10.75%
 
9/18 - 9/21
 
6,741

Financial
 
 
 
 
 
 
54

 
Various
 
10.25%
 
8/23
 
51

Mortgage-related—Residential
 
 
 
 
 
 
14,179

 
Various
 
0.00% - 15.00%
 
12/17 - 10/19
 
10,343

Technology
 
 
 
 
 
 
2,200

 
Various
 
5.13%
 
3/20
 
2,312

Total North America (Cost $38,635)
 
 
 
 
 
28,588

Europe (1.24%)
 
 
 
 
 
 
Communications
 
 
 
 
 
 
7,454

 
Various
 
14.00%
 
10/18
 
7,888

Consumer
 
 
 
 
 
 
17,422

 
Various
 
—%
 
12/16
 
498

Total Europe (Cost $8,199)
 
 
 
 
 
8,386

Total Corporate Debt (Cost $46,834)
 
 
 
 
 
36,974

Mortgage Loans (14.15%) (e)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Commercial (g)
 
 
 
 
 
 
58,082

 
Various
 
2.73% - 11.00%
 
8/16 - 7/45
 
49,466

Mortgage-related—Residential (i)
 
 
 
 
 
 
50,228

 
Various
 
0.00% - 12.63%
 
4/22 - 2/56
 
46,649

Total Mortgage Loans (Cost $96,285)
 
 
 
 
 
96,115

Real Estate Owned (0.61%) (e) (h)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Real estate-related
 
 
 
 
 
 
14

 
Single-Family Houses
 
 
 
 
 
2,321

1

 
Commercial Property
 
 
 
 
 
1,841

Total Real Estate Owned (Cost $4,225)
 
 
 
 
 
4,162

 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
8
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Private Corporate Equity Investments (2.86%)
 
 
 
 
 
 
North America (2.86%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
$
1,663

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
$
6,675

Diversified
 
 
 
 
 
 
200

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
3,650

Mortgage-related—Commercial
 
 
 
 
 
 
 n/a

 
Non-Controlling Interest in Mortgage-Related Private Partnership
 
 
 
 
 
2,972

Mortgage-related—Residential
 
 
 
 
 
 
12,545

 
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
 
 
 
 
 
4,700

7,478

 
Non-Exchange Traded Equity Investment in Mortgage Originators
 
 
 
 
 
853

Technology
 
 
 
 
 
 
99

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
568

Total North America (Cost $20,460)
 
 
 
 
 
19,418

Europe (0.00%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
139

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
—

Total Europe (Cost $0)
 
 
 
 
 
—

Total Private Corporate Equity Investments (Cost $20,460)
 
 
 
 
 
19,418

U.S. Treasury Securities (0.06%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Government
 
 
 
 
 
 
371

 
U.S. Treasury Note
 
1.13% - 1.25%
 
3/21 - 6/21
 
374

Total U.S. Treasury Securities (Cost $372)
 
 
 
 
 
374

Total Long Investments (Cost $1,590,345)
 
 
 
 
 
$
1,582,165



See Notes to Consolidated Financial Statements
9
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (17.08%) (a) (b) (j)
 
 
 
 
 
 
$
19,363

 
Bank of America Securities
 
0.45%
 
7/16
 
$
19,363

 
 
Collateralized by Par Value $19,030
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.38%,
 
 
 
 
 
 
 
 
Maturity Date 5/21
 
 
 
 
 
 
15,537

 
Deutsche Bank Securities
 
(0.50)%
 
7/16
 
15,537

 
 
Collateralized by Par Value $15,280
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.25%,
 
 
 
 
 
 
 
 
Maturity Date 4/18
 
 
 
 
 
 
13,618

 
JP Morgan Securities
 
(0.54)%
 
7/16
 
13,618

 
 
Collateralized by Par Value $13,164
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.25%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
9,292

 
JP Morgan Securities
 
(0.63)%
 
7/16
 
9,292

 
 
Collateralized by Par Value $8,697
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 1.15%,
 
 
 
 
 
 
 
 
Maturity Date 7/20
 
 
 
 
 
 
9,025

 
JP Morgan Securities
 
(0.47)%
 
7/16
 
9,025

 
 
Collateralized by Par Value $8,697
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.65%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
7,954

 
JP Morgan Securities
 
(0.47)%
 
7/16
 
7,954

 
 
Collateralized by Par Value $7,210
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
5,075

 
Bank of America Securities
 
0.45%
 
7/16
 
5,075

 
 
Collateralized by Par Value $5,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/18
 
 
 
 
 
 
4,140

 
Bank of America Securities
 
0.45%
 
7/16
 
4,140

 
 
Collateralized by Par Value $4,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.63%,
 
 
 
 
 
 
 
 
Maturity Date 6/20
 
 
 
 
 
 
4,090

 
Bank of America Securities
 
0.45%
 
7/16
 
4,090

 
 
Collateralized by Par Value $4,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.50%,
 
 
 
 
 
 
 
 
Maturity Date 5/20
 
 
 
 
 
 
3,684

 
Bank of America Securities
 
0.45%
 
7/16
 
3,684

 
 
Collateralized by Par Value $3,621
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.38%,
 
 
 
 
 
 
 
 
Maturity Date 4/21
 
 
 
 
 
 
3,498

 
Bank of America Securities
 
0.45%
 
7/16
 
3,498

 
 
Collateralized by Par Value $3,400
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.63%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
10
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
3,416

 
Bank of America Securities
 
0.45%
 
7/16
 
$
3,416

 
 
Collateralized by Par Value $3,200
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.25%,
 
 
 
 
 
 
 
 
Maturity Date 11/24
 
 
 
 
 
 
2,107

 
Bank of America Securities
 
0.45%
 
7/16
 
2,107

 
 
Collateralized by Par Value $2,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.00%,
 
 
 
 
 
 
 
 
Maturity Date 7/22
 
 
 
 
 
 
2,037

 
Bank of America Securities
 
0.45%
 
7/16
 
2,037

 
 
Collateralized by Par Value $2,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 1/20
 
 
 
 
 
 
1,788

 
Barclays Capital Inc.
 
0.40%
 
7/16
 
1,788

 
 
Collateralized by Par Value $1,738
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 4.00%,
 
 
 
 
 
 
 
 
Maturity Date 9/16
 
 
 
 
 
 
1,781

 
RBC Capital Markets LLC
 
(2.25)%
 
7/16
 
1,781

 
 
Collateralized by Par Value $2,248
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
1,285

 
Bank of America Securities
 
0.45%
 
7/16
 
1,285

 
 
Collateralized by Par Value $1,280
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.13%,
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
1,158

 
RBC Capital Markets LLC
 
(0.40)%
 
7/16
 
1,158

 
 
Collateralized by Par Value $1,350
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt 3.55%,
 
 
 
 
 
 
 
 
Maturity Date 3/22
 
 
 
 
 
 
1,037

 
RBC Capital Markets LLC
 
(2.00)%
 
7/16
 
1,037

 
 
Collateralized by Par Value $1,080
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 7.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
940

 
Barclays Capital Inc.
 
(4.75)%
 
7/16
 
940

 
 
Collateralized by Par Value $1,049
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
913

 
JP Morgan Securities
 
(5.38)%
 
7/16
 
913

 
 
Collateralized by Par Value $1,049
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
904

 
RBC Capital Markets LLC
 
0.05%
 
7/16
 
904

 
 
Collateralized by Par Value $820
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 3.90%,
 
 
 
 
 
 
 
 
Maturity Date 5/21
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
11
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
637

 
CS First Boston
 
—%
 
7/16
 
$
637

 
 
Collateralized by Par Value $572
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 3.90%,
 
 
 
 
 
 
 
 
Maturity Date 5/21
 
 
 
 
 
 
570

 
CS First Boston
 
(3.50)%
 
7/16
 
570

 
 
Collateralized by Par Value $540
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
557

 
Barclays Capital Inc.
 
(2.50)%
 
7/16
 
557

 
 
Collateralized by Par Value $540
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 7.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
542

 
RBC Capital Markets LLC
 
(3.25)%
 
7/16
 
542

 
 
Collateralized by Par Value $550
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
428

 
JP Morgan Securities
 
0.65%
 
7/16
 
428

 
 
Collateralized by Par Value $417
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.38%,
 
 
 
 
 
 
 
 
Maturity Date 3/20
 
 
 
 
 
 
363

 
Bank of America Securities
 
0.45%
 
7/16
 
363

 
 
Collateralized by Par Value $360
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.13%,
 
 
 
 
 
 
 
 
Maturity Date 2/21
 
 
 
 
 
 
264

 
RBC Capital Markets LLC
 
(0.25)%
 
7/16
 
264

 
 
Collateralized by Par Value $285
 
 
 
 
 
 
 
 
Exchange Traded Corporate Debt, Coupon 5.13%,
 
 
 
 
 
 
 
 
Maturity Date 6/22
 
 
 
 
 
 
Total Repurchase Agreements (Cost $116,985)
 
 
 
 
 
$
116,003

Investments Sold Short (-90.75%) (a) (b)
 
 
 
 
 
 
TBA - Fixed Rate Agency Securities Sold Short (-71.87%) (k)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
(69,000
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
8/16
 
$
(73,808
)
(51,350
)
 
Federal National Mortgage Association (15 year)
 
3.50%
 
7/16 - 8/16
 
(54,379
)
(47,430
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
7/16 - 8/16
 
(51,763
)
(43,082
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
7/16
 
(45,450
)
(37,620
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
8/16
 
(41,776
)
(36,155
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
3.00%
 
7/16
 
(37,471
)
(33,000
)
 
Federal National Mortgage Association (30 year)
 
4.00%
 
8/16
 
(35,355
)
(25,528
)
 
Federal National Mortgage Association (30 year)
 
4.00%
 
7/16
 
(27,372
)
(20,951
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
8/16
 
(22,843
)
(19,680
)
 
Government National Mortgage Association (30 year)
 
4.50%
 
7/16 - 8/16
 
(21,658
)
(19,770
)
 
Government National Mortgage Association (30 year)
 
3.50%
 
7/16
 
(20,994
)

See Notes to Consolidated Financial Statements
12
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
(13,510
)
 
Federal Home Loan Mortgage Corporation (15 year)
 
3.00%
 
7/16
 
$
(14,175
)
(11,170
)
 
Federal National Mortgage Association (15 year)
 
4.00%
 
7/16
 
(11,593
)
(9,617
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
7/16
 
(10,295
)
(8,790
)
 
Federal Home Loan Mortgage Corporation (15 year)
 
3.50%
 
7/16
 
(9,314
)
(6,860
)
 
Federal National Mortgage Association (30 year)
 
5.50%
 
7/16
 
(7,712
)
(2,100
)
 
Government National Mortgage Association (30 year)
 
3.00%
 
7/16
 
(2,193
)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$486,569)
 
 
 
(488,151
)
Government Debt Sold Short (-12.86%)
 
 
 
 
North America (-4.54%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
(30,028
)
 
U.S. Treasury Note
 
1.13% - 2.25%
 
10/18 - 11/24
 
(30,856
)
Total North America (Proceeds -$30,101)
 
 
 
 
 
(30,856
)
Europe (-8.32%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
(54,785
)
 
European Sovereign Bonds
 
0.25% - 4.00%
 
9/16 - 11/20
 
(56,470
)
Total Europe (Proceeds -$57,455)
 
 
 
 
 
(56,470
)
Total Government Debt Sold Short (Proceeds -$87,556)
 
 
 
(87,326
)
Common Stock Sold Short (-4.55%)
 
 
 
 
North America
 
 
 
 
 
 
Energy
 
 
 
 
 
 
(170
)
 
Exchange Traded Equity
 
 
 
 
 
(2,070
)
Financial
 
 
 
 
 
 
(612
)
 
Publicly Traded Real Estate Investment Trusts
 
 
 
 
 
(5,987
)
(270
)
 
Exchange Traded Equity
 
 
 
 
 
(22,856
)
Total Common Stock Sold Short (Proceeds -$30,015)
 
 
 
(30,913
)
Corporate Debt Sold Short (-1.47%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
(2,700
)
 
Various
 
3.55%
 
3/22
 
(2,386
)
Consumer
 
 
 
 
 
 
(1,375
)
 
Various
 
5.13% - 6.25%
 
6/22 - 10/22
 
(1,399
)
Energy
 
 
 
 
 
 
(5,187
)
 
Various
 
4.50% - 7.75%
 
6/21 - 4/22
 
(4,621
)
Industrial
 
 
 
 
 
 
(1,392
)
 
Various
 
3.90%
 
5/21
 
(1,541
)
Total Corporate Debt Sold Short (Proceeds -$9,616)
 
 
 
 
 
(9,947
)
Total Investments Sold Short (Proceeds -$613,756)
 
 
 
$
(616,337
)

See Notes to Consolidated Financial Statements
13
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2016 (CONTINUED)
(UNAUDITED)

 
Primary Risk
Exposure
 
Notional Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.Dollars
Financial Derivatives–Assets (22.47%) (a) (b)
 
 
 
 
 
 
 
Swaps (22.22%) (z)