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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 September 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 November 4, 2016
Common Shares Representing Limited Liability Company Interests, no par value
 
32,527,532


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,
2016
 
December 31,
2015
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
179,618

 
$
183,909

Restricted cash
5,610

 
4,857

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $1,501,092 and $1,672,400)
1,499,715

 
1,661,118

Financial derivatives–assets, at fair value (Net cost – $63,635 and $163,943)
64,817

 
162,905

Repurchase agreements, at fair value (Cost – $164,669 and $105,329)
165,048

 
105,700

Total investments, financial derivatives, and repurchase agreements
1,729,580

 
1,929,723

Due from brokers
126,255

 
141,605

Receivable for securities sold and financial derivatives
563,462

 
705,748

Interest and principal receivable
17,377

 
20,444

Other assets
29,907

 
5,269

Total Assets
$
2,651,809

 
$
2,991,555

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $677,286 and $731,048)
$
679,021

 
$
728,747

Financial derivatives–liabilities, at fair value (Net proceeds – $17,751 and $56,200)
39,816

 
60,472

Total investments and financial derivatives
718,837

 
789,219

Reverse repurchase agreements
983,814

 
1,174,189

Due to brokers
15,600

 
114,797

Payable for securities purchased and financial derivatives
229,212

 
165,365

Securitized debt (Proceeds – $30,771 and $0)
30,771

 
—

Accounts payable and accrued expenses
2,896

 
3,626

Base management fee payable
2,485

 
2,773

Interest and dividends payable
3,278

 
1,806

Other liabilities
163

 
828

Total Liabilities
1,987,056

 
2,252,603

EQUITY
664,753

 
738,952

TOTAL LIABILITIES AND EQUITY
$
2,651,809

 
$
2,991,555

Commitments and contingencies (Note 15)

 

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(32,619,060 and 33,126,012 shares issued and outstanding)
$
645,961

 
$
722,360

Additional paid-in capital – LTIP units
9,942

 
9,689

Total Shareholders' Equity
655,903

 
732,049

Non-controlling interests
8,850

 
6,903

Total Equity
$
664,753

 
$
738,952

PER SHARE INFORMATION:
 
 
 
Common shares
$
20.11

 
$
22.10


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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Long Investments (225.60%) (a) (b) (z)
 
 
 
 
 
 
Mortgage-Backed Securities (176.06%)
 
 
 
 
 
 
Agency Securities (147.12%) (c)
 
 
 
 
 
 
Fixed Rate Agency Securities (142.53%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (116.22%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
145,568

 
Federal National Mortgage Association Pools (30 Year)
 
4.00%
 
8/42 - 8/46
 
$
158,067

117,608

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.00%
 
8/43 - 5/46
 
127,782

71,888

 
Federal National Mortgage Association Pools (30 Year)
 
4.50%
 
10/41 - 3/46
 
79,661

59,343

 
Federal National Mortgage Association Pools (30 Year)
 
3.50%
 
3/43 - 9/46
 
63,266

52,496

 
Federal National Mortgage Association Pools (15 Year)
 
3.50%
 
3/28 - 4/31
 
55,919

46,760

 
Federal National Mortgage Association Pools (30 Year)
 
5.00%
 
10/35 - 12/44
 
52,280

41,832

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.50%
 
9/43 - 9/46
 
46,319

18,190

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.50%
 
1/42 - 10/46
 
19,413

12,144

 
Federal National Mortgage Association Pools (15 Year)
 
3.00%
 
4/30 - 10/30
 
12,821

11,094

 
Government National Mortgage Association Pools (30 Year)
 
4.00%
 
6/45 - 9/46
 
12,088

10,735

 
Federal National Mortgage Association Pools (15 Year)
 
4.00%
 
6/26 - 5/31
 
11,538

9,467

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.50%
 
9/28 - 9/30
 
10,088

8,885

 
Government National Mortgage Association Pools (30 Year)
 
3.50%
 
3/43 - 2/46
 
9,504

8,923

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.50%
 
2/30 - 3/46
 
9,448

8,247

 
Government National Mortgage Association Pools (Other)
 
4.61%
 
12/63 - 11/64
 
9,214

7,037

 
Federal National Mortgage Association Pools (Other)
 
5.00%
 
9/43 - 1/44
 
7,906

6,754

 
Government National Mortgage Association Pools (30 Year)
 
4.50%
 
8/45 - 9/46
 
7,464

6,461

 
Government National Mortgage Association Pools (Other)
 
4.68%
 
11/63 - 9/64
 
7,211

5,992

 
Government National Mortgage Association Pools (Other)
 
4.60%
 
11/64
 
6,722

5,354

 
Government National Mortgage Association Pools (Other)
 
4.56%
 
1/65
 
6,012

5,035

 
Government National Mortgage Association Pools (Other)
 
4.63%
 
6/64 - 10/64
 
5,652

3,765

 
Federal National Mortgage Association Pools (15 Year)
 
4.50%
 
4/26
 
4,061

3,605

 
Government National Mortgage Association Pools (Other)
 
4.43%
 
7/61
 
3,911

3,395

 
Federal National Mortgage Association Pools (30 Year)
 
5.50%
 
10/39
 
3,815

3,089

 
Government National Mortgage Association Pools (Other)
 
4.48%
 
11/64
 
3,438

2,992

 
Government National Mortgage Association Pools (Other)
 
4.57%
 
1/65
 
3,353

3,077

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.00%
 
 4/30
 
3,244

2,738

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
4.50%
 
5/44
 
3,036

2,504

 
Government National Mortgage Association Pools (Other)
 
4.64%
 
3/65
 
2,820

2,655

 
Government National Mortgage Association Pools (Other)
 
5.49%
 
4/60
 
2,797

2,588

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.00%
 
6/28
 
2,724

2,295

 
Federal National Mortgage Association Pools (20 Year)
 
4.00%
 
12/33
 
2,496

2,055

 
Federal National Mortgage Association Pools (30 Year)
 
6.00%
 
9/39 - 2/40
 
2,360

2,220

 
Federal National Mortgage Association Pools (30 Year)
 
3.00%
 
1/42 - 6/45
 
2,313

1,981

 
Government National Mortgage Association Pools (Other)
 
5.51%
 
2/60
 
2,098

1,927

 
Government National Mortgage Association Pools (Other)
 
5.56%
 
2/60
 
2,022

1,760

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
4.00%
 
2/29
 
1,891


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

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
1,821

 
Government National Mortgage Association Pools (Other)
 
3.00%
 
5/30 - 6/30
 
$
1,867

1,667

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.00%
 
7/43 - 10/45
 
1,737

1,375

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
6.00%
 
4/39 - 5/40
 
1,574

1,251

 
Federal Home Loan Mortgage Corporation Pools (20 Year)
 
4.50%
 
12/33
 
1,386

537

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.50%
 
8/33
 
603

501

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.00%
 
7/44
 
552

87

 
Federal National Mortgage Association Pools (Other)
 
4.00%
 
6/37
 
92

 
 
 
 
 
 
 
 
772,565

Interest Only - Fixed Rate Agency Securities (0.71%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
6,842

 
Government National Mortgage Association
 
5.50%
 
11/43
 
1,117

8,066

 
Federal National Mortgage Association
 
5.00%
 
1/38 - 5/40
 
804

5,351

 
Federal Home Loan Mortgage Corporation
 
3.50%
 
12/32
 
721

6,066

 
Federal National Mortgage Association
 
4.50%
 
12/20 - 5/43
 
535

3,325

 
Federal National Mortgage Association
 
3.00%
 
9/41
 
273

3,442

 
Federal Home Loan Mortgage Corporation
 
5.00%
 
3/40
 
272

1,181

 
Government National Mortgage Association
 
6.00%
 
6/38
 
261

1,560

 
Government National Mortgage Association
 
4.75%
 
7/40
 
218

1,311

 
Federal National Mortgage Association
 
5.50%
 
10/40
 
160

1,112

 
Federal National Mortgage Association
 
4.00%
 
5/39
 
149

2,651

 
Government National Mortgage Association
 
5.00%
 
5/37
 
136

850

 
Federal Home Loan Mortgage Corporation
 
5.50%
 
1/39
 
75

 
 
 
 
 
 
 
 
4,721

TBA - Fixed Rate Agency Securities (25.60%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
63,488

 
Federal National Mortgage Association (30 Year)
 
3.50%
 
10/16
 
67,002

43,690

 
Government National Mortgage Association (30 Year)
 
4.00%
 
10/16
 
46,973

37,560

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
10/16
 
39,635

13,460

 
Federal National Mortgage Association (15 Year)
 
3.00%
 
10/16
 
14,131

2,282

 
Federal National Mortgage Association (30 Year)
 
4.00%
 
10/16
 
2,451

 
 
 
 
 
 
 
 
170,192

Total Fixed Rate Agency Securities (Cost $933,090)
 
 
 
 
 
947,478

Floating Rate Agency Securities (4.59%)
 
 
 
 
 
 
Principal and Interest - Floating Rate Agency Securities (2.32%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
6,887

 
Federal National Mortgage Association Pools
 
2.55% - 5.94%
 
9/35 - 5/45
 
7,244

5,570

 
Federal Home Loan Mortgage Corporation Pools
 
3.11% - 5.98%
 
6/37 - 5/44
 
5,871

2,172

 
Government National Mortgage Association Pools
 
2.85%
 
11/64
 
2,321

 
 
 
 
 
 
 
 
15,436

 
 
 
 
 
 
 
 
 

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

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Interest Only - Floating Rate Agency Securities (2.27%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
195,481

 
Other Government National Mortgage Association
 
0.50% - 6.22%
 
11/37 - 10/63
 
$
10,917

14,112

 
Other Federal National Mortgage Association
 
5.50% - 7.02%
 
6/33 - 12/41
 
2,034

17,296

 
Resecuritization of Government National Mortgage Association (d)
 
4.02%
 
8/60
 
1,137

5,472

 
Other Federal Home Loan Mortgage Corporation
 
5.48% - 6.11%
 
3/36 - 8/39
 
1,015

 
 
 
 
 
 
 
 
15,103

Total Floating Rate Agency Securities (Cost $29,773)
 
 
 
 
 
30,539

Total Agency Securities (Cost $962,863)
 
 
 
 
 
978,017

Private Label Securities (28.94%)
 
 
 
 
 
 
Principal and Interest - Private Label Securities (28.20%)
 
 
 
 
 
 
North America (21.51%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
242,341

 
Various
 
0.00% - 9.35%
 
5/19 - 9/46
 
117,760

Mortgage-related—Commercial
 
 
 
 
 
 
106,251

 
Various
 
2.45% - 4.40%
 
7/45 - 11/49
 
25,247

Total North America (Cost $136,972)
 
 
 
 
 
143,007

Europe (6.69%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
56,009

 
Various
 
0.00% - 9.10%
 
6/25 - 3/50
 
36,553

Mortgage-related—Commercial
 
 
 
 
 
 
8,091

 
Various
 
0.00% - 11.00%
 
6/17 - 6/19
 
7,885

Total Europe (Cost $52,270)
 
 
 
 
 
44,438

Total Principal and Interest - Private Label Securities (Cost $189,242)
 
 
 
 
 
187,445

Interest Only - Private Label Securities (0.74%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
37,269

 
Various
 
 0.50% - 2.00%
 
 6/44 - 9/47
 
1,102

Mortgage-related—Commercial
 
 
 
 
 
 
65,491

 
Various
 
 1.25% - 2.00%
 
 10/47 - 11/49
 
3,813

Total Interest Only - Private Label Securities (Cost $4,515)
 
 
 
 
 
4,915

Other Private Label Securities (0.00%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
91,700

 
Various
 
—%
 
6/37
 
—

Mortgage-related—Commercial
 
 
 
 
 
 
—

 
Various
 
—%
 
7/45 - 11/49
 
—

Total Other Private Label Securities (Cost $248)
 
 
 
 
 
—

Total Private Label Securities (Cost $194,005)
 
 
 
 
 
192,360

Total Mortgage-Backed Securities (Cost $1,156,868)
 
 
 
 
 
1,170,377

 
 
 
 
 
 
 

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

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Collateralized Loan Obligations (4.27%)
 
 
 
 
 
 
North America (2.17%)
 
 
 
 
 
 
$
61,490

 
Various
 
0.00% - 7.68%
 
11/17 - 6/24
 
$
14,406

Total North America (Cost $18,390)
 
 
 
 
 
14,406

Europe (2.10%)
 
 
 
 
 
 
22,041

 
Various
 
0.00% - 9.30%
 
1/22 - 3/25
 
13,997

Total Europe (Cost $13,354)
 
 
 
 
 
13,997

Total Collateralized Loan Obligations (Cost $31,744)
 
 
 
 
 
28,403

Consumer Loans and Asset-backed Securities backed by Consumer Loans (17.92%) (e)
 
 
 
 
 
 
North America (17.40%)
 
 
 
 
 
 
Consumer (f) (g) (h)
 
 
 
 
 
 
113,967

 
Various
 
5.44% - 59.41%
 
10/16 - 9/21
 
115,660

Total North America (Cost $119,558)
 
 
 
 
 
115,660

Europe (0.52%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
4,112

 
Various
 
—%
 
5/22 - 8/24
 
3,439

Total Europe (Cost $2,627)
 
 
 
 
 
3,439

Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $122,185)
 
 
 
 
 
119,099

Corporate Debt (8.47%)
 
 
 
 
 
 
North America (8.41%)
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
5,580

 
Various
 
3.10% - 4.50%
 
3/20 - 1/21
 
5,407

Consumer
 
 
 
 
 
 
17,205

 
Various
 
0.00% - 10.00%
 
5/20 - 11/22
 
15,718

Energy
 
 
 
 
 
 
13,050

 
Various
 
4.63% - 9.63%
 
3/19 - 9/21
 
13,018

Industrial
 
 
 
 
 
 
6,330

 
Various
 
4.88%
 
12/22
 
6,882

Mortgage-related—Residential
 
 
 
 
 
 
14,179

 
Various
 
0.00% - 15.00%
 
12/17 - 10/19
 
10,175

Technology
 
 
 
 
 
 
3,607

 
Various
 
5.13% - 7.50%
 
3/20 - 8/22
 
3,774

Utilities
 
 
 
 
 
 
840

 
Various
 
7.38%
 
7/21
 
967

Total North America (Cost $61,405)
 
 
 
 
 
55,941

Europe (0.06%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
17,855

 
Various
 
—%
 
12/16
 
376

Total Europe (Cost $1,019)
 
 
 
 
 
376

Total Corporate Debt (Cost $62,424)
 
 
 
 
 
56,317

 
 
 
 
 
 
 
 
 
 
 
 
 
 

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

Current Principal/Number of Properties/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Mortgage Loans (15.20%) (e)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Commercial (i)
 
 
 
 
 
 
$
65,851

 
Various
 
2.73% - 11.00%
 
10/16 - 7/45
 
$
56,969

Mortgage-related—Residential (k)
 
 
 
 
 
 
47,046

 
Various
 
0.00% - 12.63%
 
4/22 - 6/56
 
44,075

Total Mortgage Loans (Cost $102,421)
 
 
 
 
 
101,044

Real Estate Owned (0.54%) (e) (j)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Real estate-related
 
 
 
 
 
 
14

 
Single-Family Houses
 
 
 
 
 
1,859

1

 
Commercial Property
 
 
 
 
 
1,725

Total Real Estate Owned (Cost $3,861)
 
 
 
 
 
3,584

Private Corporate Equity Investments (2.33%)
 
 
 
 
 
 
North America (2.33%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
1,567

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
836

Diversified
 
 
 
 
 
 
200

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
3,595

Mortgage-related—Commercial
 
 
 
 
 
 
 n/a

 
Non-Controlling Interest in Mortgage-Related Private Partnership
 
 
 
 
 
3,030

Mortgage-related—Residential
 
 
 
 
 
 
15,914

 
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
 
 
 
 
 
6,425

7,478

 
Non-Exchange Traded Equity Investment in Mortgage Originators
 
 
 
 
 
1,089

Technology
 
 
 
 
 
 
99

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
543

Total North America (Cost $16,210)
 
 
 
 
 
15,518

Europe (0.00%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
141

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
—

Total Europe (Cost $0)
 
 
 
 
 
—

Total Private Corporate Equity Investments (Cost $16,210)
 
 
 
 
 
15,518

U.S. Treasury Securities (0.81%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Government
 
 
 
 
 
 
5,362

 
U.S. Treasury Note
 
0.75% - 1.63%
 
7/19 - 5/26
 
5,373

Total U.S. Treasury Securities (Cost $5,379)
 
 
 
 
 
5,373

Total Long Investments (Cost $1,501,092)
 
 
 
 
 
$
1,499,715



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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (24.83%) (a) (b) (l)
 
 
 
 
 
 
$
25,835

 
Bank of America Securities
 
0.35%
 
10/16
 
$
25,835

 
 
Collateralized by Par Value $25,900
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.50%,
 
 
 
 
 
 
 
 
Maturity Date 8/26
 
 
 
 
 
 
15,899

 
JP Morgan Securities LLC
 
(0.65)%
 
10/16
 
15,899

 
 
Collateralized by Par Value $15,457
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.25%,
 
 
 
 
 
 
 
 
Maturity Date 4/18
 
 
 
 
 
 
13,879

 
JP Morgan Securities LLC
 
(0.60)%
 
10/16
 
13,879

 
 
Collateralized by Par Value $13,316
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.25%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
9,392

 
JP Morgan Securities LLC
 
(0.55)%
 
10/16
 
9,392

 
 
Collateralized by Par Value $8,797
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 1.15%,
 
 
 
 
 
 
 
 
Maturity Date 7/20
 
 
 
 
 
 
9,198

 
JP Morgan Securities LLC
 
(0.49)%
 
10/16
 
9,198

 
 
Collateralized by Par Value $8,797
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.65%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
8,073

 
JP Morgan Securities LLC
 
(0.60)%
 
10/16
 
8,073

 
 
Collateralized by Par Value $7,293
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
6,752

 
JP Morgan Securities LLC
 
0.30%
 
10/16
 
6,752

 
 
Collateralized by Par Value $6,710
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.13%,
 
 
 
 
 
 
 
 
Maturity Date 8/21
 
 
 
 
 
 
5,075

 
Bank of America Securities
 
0.80%
 
10/16
 
5,075

 
 
Collateralized by Par Value $5,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/18
 
 
 
 
 
 
5,041

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
5,041

 
 
Collateralized by Par Value $4,970
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.88%,
 
 
 
 
 
 
 
 
Maturity Date 1/22
 
 
 
 
 
 
4,105

 
Bank of America Securities
 
0.80%
 
10/16
 
4,105

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

 
Bank of America Securities
 
0.80%
 
10/16
 
4,090

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

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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
3,626

 
Bank of America Securities
 
(0.30)%
 
10/16
 
$
3,626

 
 
Collateralized by Par Value $3,630
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 2.25%,
 
 
 
 
 
 
 
 
Maturity Date 8/46
 
 
 
 
 
 
3,498

 
Bank of America Securities
 
0.80%
 
10/16
 
3,498

 
 
Collateralized by Par Value $3,400
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.63%,
 
 
 
 
 
 
 
 
Maturity Date 11/20
 
 
 
 
 
 
3,416

 
Bank of America Securities
 
0.80%
 
10/16
 
3,416

 
 
Collateralized by Par Value $3,200
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.25%,
 
 
 
 
 
 
 
 
Maturity Date 11/24
 
 
 
 
 
 
3,388

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
3,388

 
 
Collateralized by Par Value $3,440
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 9/21
 
 
 
 
 
 
2,897

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
2,897

 
 
Collateralized by Par Value $2,840
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 7/22
 
 
 
 
 
 
2,575

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
2,575

 
 
Collateralized by Par Value $2,390
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.25%,
 
 
 
 
 
 
 
 
Maturity Date 9/22
 
 
 
 
 
 
2,180

 
Barclays Capital Inc
 
(0.50)%
 
10/16
 
2,180

 
 
Collateralized by Par Value $2,220
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.00%,
 
 
 
 
 
 
 
 
Maturity Date 11/21
 
 
 
 
 
 
2,179

 
Barclays Capital Inc
 
(4.75)%
 
10/16
 
2,179

 
 
Collateralized by Par Value $2,424
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
2,107

 
Bank of America Securities
 
0.75%
 
10/16
 
2,107

 
 
Collateralized by Par Value $2,071
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.38%,
 
 
 
 
 
 
 
 
Maturity Date 4/21
 
 
 
 
 
 
2,090

 
Bank of America Securities
 
0.80%
 
10/16
 
2,090

 
 
Collateralized by Par Value $2,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.00%,
 
 
 
 
 
 
 
 
Maturity Date 7/22
 
 
 
 
 
 
2,028

 
RBC Capital Markets LLC
 
(4.50)%
 
10/16
 
2,028

 
 
Collateralized by Par Value $2,279
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 

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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
2,025

 
Bank of America Securities
 
0.80%
 
10/16
 
$
2,025

 
 
Collateralized by Par Value $2,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.25%,
 
 
 
 
 
 
 
 
Maturity Date 1/20
 
 
 
 
 
 
1,762

 
JP Morgan Securities LLC
 
(0.53)%
 
10/16
 
1,762

 
 
Collateralized by Par Value $1,573
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
1,681

 
RBC Capital Markets LLC
 
(1.00)%
 
10/16
 
1,681

 
 
Collateralized by Par Value $1,900
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.55%,
 
 
 
 
 
 
 
 
Maturity Date 3/22
 
 
 
 
 
 
1,590

 
CS First Boston
 
(0.25)%
 
10/16
 
1,590

 
 
Collateralized by Par Value $1,400
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.13%,
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
1,473

 
RBC Capital Markets LLC
 
(0.35)%
 
10/16
 
1,473

 
 
Collateralized by Par Value $1,420
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.38%,
 
 
 
 
 
 
 
 
Maturity Date 3/22
 
 
 
 
 
 
1,317

 
Bank of America Securities
 
0.80%
 
10/16
 
1,317

 
 
Collateralized by Par Value $1,314
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.13%,
 
 
 
 
 
 
 
 
Maturity Date 2/21
 
 
 
 
 
 
1,295

 
Barclays Capital Inc
 
(0.10)%
 
10/16
 
1,295

 
 
Collateralized by Par Value $1,240
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 2.40%,
 
 
 
 
 
 
 
 
Maturity Date 12/22
 
 
 
 
 
 
1,283

 
Barclays Capital Inc
 
(0.10)%
 
10/16
 
1,283

 
 
Collateralized by Par Value $1,100
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.25%,
 
 
 
 
 
 
 
 
Maturity Date 11/22
 
 
 
 
 
 
1,243

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
1,243

 
 
Collateralized by Par Value $1,170
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.73%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
1,199

 
Bank of America Securities
 
0.60%
 
10/16
 
1,199

 
 
Collateralized by Par Value $1,200
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 0.75%,
 
 
 
 
 
 
 
 
Maturity Date 8/19
 
 
 
 
 
 
1,175

 
CS First Boston
 
(0.50)%
 
10/16
 
1,175

 
 
Collateralized by Par Value $1,110
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.35%,
 
 
 
 
 
 
 
 
Maturity Date 11/24
 
 
 
 
 
 

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

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
1,132

 
Barclays Capital Inc
 
(6.25)%
 
10/16
 
$
1,132

 
 
Collateralized by Par Value $1,090
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
1,110

 
RBC Capital Markets LLC
 
(0.13)%
 
10/16
 
1,110

 
 
Collateralized by Par Value $1,110
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.50%,
 
 
 
 
 
 
 
 
Maturity Date 10/24
 
 
 
 
 
 
1,100

 
RBC Capital Markets LLC
 
—%
 
10/16
 
1,100

 
 
Collateralized by Par Value $1,100
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.50%,
 
 
 
 
 
 
 
 
Maturity Date 2/24
 
 
 
 
 
 
1,072

 
RBC Capital Markets LLC
 
(4.75)%
 
10/16
 
1,072

 
 
Collateralized by Par Value $1,080
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.75%,
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
926

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
926

 
 
Collateralized by Par Value $880
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.50%,
 
 
 
 
 
 
 
 
Maturity Date 1/22
 
 
 
 
 
 
916

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
916

 
 
Collateralized by Par Value $860
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%,
 
 
 
 
 
 
 
 
Maturity Date 10/21
 
 
 
 
 
 
850

 
RBC Capital Markets LLC
 
0.05%
 
10/16
 
850

 
 
Collateralized by Par Value $800
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.38%,
 
 
 
 
 
 
 
 
Maturity Date 8/22
 
 
 
 
 
 
751

 
Barclays Capital Inc
 
(3.00)%
 
10/16
 
751

 
 
Collateralized by Par Value $680
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.25%,
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
695

 
CS First Boston
 
(0.50)%
 
10/16
 
695

 
 
Collateralized by Par Value $610
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 6.13%,
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
587

 
Barclays Capital Inc
 
(0.50)%
 
10/16
 
587

 
 
Collateralized by Par Value $540
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.35%,
 
 
 
 
 
 
 
 
Maturity Date 11/24
 
 
 
 
 
 

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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
579

 
RBC Capital Markets LLC
 
—%
 
10/16
 
$
579

 
 
Collateralized by Par Value $550
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.88%,
 
 
 
 
 
 
 
 
Maturity Date 1/22
 
 
 
 
 
 
516

 
Barclays Capital Inc
 
(1.00)%
 
10/16
 
516

 
 
Collateralized by Par Value $545
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 3.55%,
 
 
 
 
 
 
 
 
Maturity Date 3/22
 
 
 
 
 
 
445

 
RBC Capital Markets LLC
 
(0.30)%
 
10/16
 
445

 
 
Collateralized by Par Value $430
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.38%,
 
 
 
 
 
 
 
 
Maturity Date 3/22
 
 
 
 
 
 
426

 
Bank of America Securities
 
0.80%
 
10/16
 
426

 
 
Collateralized by Par Value $417
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.38%,
 
 
 
 
 
 
 
 
Maturity Date 3/20
 
 
 
 
 
 
423

 
CS First Boston
 
(0.25)%
 
10/16
 
423

 
 
Collateralized by Par Value $400