Edgar Filing: Ellington Financial LLC

Document

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q



x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2017



¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission file number 001-34569

Ellington Financial LLC

(Exact Name of Registrant as Specified in Its Charter)



Delaware		26-0489289
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)
53 Forest Avenue, Old Greenwich, Connecticut 06870
(Address of Principal Executive Office) (Zip Code)

(203) 698-1200

(Registrant's Telephone Number, Including Area Code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.



Large Accelerated Filer	¨	Accelerated Filer	x
Non-Accelerated Filer (Do not check if a smaller reporting company)	¨	Smaller Reporting Company	¨
		Emerging Growth Company	¨

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

Indicate the number of shares outstanding of each of the issuer's classes of common stock, as of the latest practicable date.



Class		Outstanding at August 4, 2017
Common Shares Representing Limited Liability Company Interests, no par value		32,112,697

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	80
	Item 3. Quantitative and Qualitative Disclosures about Market Risk	107
	Item 4. Controls and Procedures	109
	Item 5. Other Information	109
Part II. Other Information
	Item 1. Legal Proceedings	109
	Item 1A. Risk Factors	109
	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	110
	Item 6. Exhibits	110

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, 2017		December 31, 2016
(In thousands except share amounts)	Expressed in U.S. Dollars
ASSETS
Cash and cash equivalents	$	134,515	$	123,274
Restricted cash	425		655
Investments, financial derivatives, and repurchase agreements:
Investments, at fair value (Cost – $1,799,464 and $1,525,710)	1,794,129		1,505,026
Financial derivatives–assets, at fair value (Net cost – $36,162 and $40,724)	26,602		35,595
Repurchase agreements, at fair value (Cost – $265,403 and $185,205)	266,659		184,819
Total investments, financial derivatives, and repurchase agreements	2,087,390		1,725,440
Due from brokers	62,934		93,651
Receivable for securities sold and financial derivatives	484,124		445,112
Interest and principal receivable	21,157		21,704
Other assets	6,881		3,359
Total Assets	$	2,797,426	$	2,413,195
LIABILITIES
Investments and financial derivatives:
Investments sold short, at fair value (Proceeds – $687,979 and $589,429)	$	687,234	$	584,896
Financial derivatives–liabilities, at fair value (Net proceeds – $19,994 and $12,012)	27,003		18,687
Total investments and financial derivatives	714,237		603,583
Reverse repurchase agreements	1,119,238		1,033,581
Due to brokers	3,898		12,780
Payable for securities purchased and financial derivatives	224,529		85,168
Other secured borrowings (Proceeds – $88,100 and $24,086)	88,100		24,086
Accounts payable and accrued expenses	3,996		3,327
Base management fee payable	2,371		2,416
Interest and dividends payable	3,977		3,460
Other liabilities	119		17
Total Liabilities	2,160,465		1,768,418
EQUITY	636,961		644,777
TOTAL LIABILITIES AND EQUITY	$	2,797,426	$	2,413,195
Commitments and contingencies (Note 15)
ANALYSIS OF EQUITY:
Common shares, no par value, 100,000,000 shares authorized;
(32,112,697 and 32,294,703 shares issued and outstanding)	$	615,702	$	627,620
Additional paid-in capital – LTIP Units	10,229		10,041
Total Shareholders' Equity	625,931		637,661
Non-controlling interests	11,030		7,116
Total Equity	$	636,961	$	644,777
PER SHARE INFORMATION:
Common shares	$	19.49	$	19.75

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017

(UNAUDITED)

Current Principal/Number of Shares

Description

Rate

Maturity

Fair Value

(In thousands)

Expressed in U.S.

Dollars

Cash Equivalents—Money Market Funds (3.14%) (a) (b)

North America

Funds

20,000

Various Money Market Funds

0.86%

20,000

Total Cash Equivalents—Money Market Funds (Cost $20,000)

20,000



Long Investments (281.67%) (a) (b) (ab)
Mortgage-Backed Securities (185.61%)
Agency Securities (159.17%) (c)
Fixed-rate Agency Securities (146.27%)
Principal and Interest–Fixed-Rate Agency Securities (116.16%)
North America
Mortgage-related—Residential
$	166,436	Federal National Mortgage Association Pools (30 Year)	4.00%	9/39 - 7/47	$	176,498
112,317		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.00%	11/41 - 7/47	119,004
71,402		Federal National Mortgage Association Pools (30 Year)	3.50%	9/42 - 5/47	73,762
64,503		Federal National Mortgage Association Pools (30 Year)	4.50%	10/41 - 6/47	69,793
56,342		Federal National Mortgage Association Pools (15 Year)	3.50%	3/28 - 3/32	59,031
44,150		Federal Home Loan Mortgage Corporation Pools (30 Year)	4.50%	9/43 - 6/47	47,718
41,300		Federal National Mortgage Association Pools (30 Year)	5.00%	10/35 - 12/44	45,234
22,154		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.50%	1/42 - 2/47	22,909
20,973		Federal National Mortgage Association Pools (15 Year)	3.00%	4/30 - 1/32	21,584
14,044		Government National Mortgage Association Pools (30 Year)	4.50%	9/46 - 7/47	15,113
11,342		Government National Mortgage Association Pools (30 Year)	4.00%	6/45 - 5/47	11,975
9,771		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.50%	9/28 - 3/32	10,249
9,425		Federal Home Loan Mortgage Corporation Pools (Other)	3.50%	2/30 - 9/46	9,694
9,033		Federal National Mortgage Association Pools (15 Year)	4.00%	6/26 - 5/31	9,538
6,174		Federal National Mortgage Association Pools (Other)	5.00%	9/43 - 1/44	6,826
5,265		Government National Mortgage Association Pools (30 Year)	3.50%	11/46 - 3/47	5,475
3,614		Federal National Mortgage Association Pools (Other)	4.50%	5/41	3,824
3,800		Federal Home Loan Mortgage Corporation Pools (30 Year)	3.00%	7/43 - 10/45	3,820
3,282		Federal National Mortgage Association Pools (15 Year)	4.50%	4/26	3,528
2,933		Federal Home Loan Mortgage Corporation Pools (15 Year)	3.00%	4/30	3,019
2,699		Federal Home Loan Mortgage Corporation Pools (Other)	4.50%	5/44	2,934
2,363		Federal National Mortgage Association Pools (30 Year)	5.50%	10/39	2,628
2,179		Government National Mortgage Association Pools (30 Year)	2.50%	10/46	2,132
1,978		Federal National Mortgage Association Pools (30 Year)	3.00%	1/42 - 6/45	1,997
1,851		Federal National Mortgage Association Pools (20 Year)	4.00%	12/33	1,972
1,672		Federal National Mortgage Association Pools (30 Year)	6.00%	9/39 - 2/40	1,897
1,513		Federal Home Loan Mortgage Corporation Pools (15 Year)	4.00%	2/29	1,598
1,283		Federal Home Loan Mortgage Corporation Pools (Other)	3.00%	6/28 - 3/30	1,313
1,132		Federal Home Loan Mortgage Corporation Pools (20 Year)	4.50%	12/33	1,227
990		Federal Home Loan Mortgage Corporation Pools (30 Year)	6.00%	4/39 - 5/40	1,115
661		Government National Mortgage Association Pools (Other)	3.50%	10/30 - 2/32	671

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)



Current Principal/Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
$	563	Federal National Mortgage Association Pools (Other)	3.50%	4/26	$	581
493		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.00%	7/44	536
455		Federal Home Loan Mortgage Corporation Pools (30 Year)	5.50%	8/33	504
156		Government National Mortgage Association Pools (Other)	3.00%	6/30	156
51		Federal National Mortgage Association Pools (Other)	4.00%	6/37	53
					739,908
Interest Only–Fixed-Rate Agency Securities (1.87%)
North America
Mortgage-related—Residential
24,723		Government National Mortgage Association	4.00%	2/45 - 6/45	4,126
7,872		Federal National Mortgage Association	4.50%	12/20 - 6/44	1,155
6,121		Government National Mortgage Association	4.50%	2/41 - 7/44	1,060
4,534		Federal National Mortgage Association	5.50%	10/39	1,024
5,374		Government National Mortgage Association	5.50%	11/43	951
4,752		Federal Home Loan Mortgage Corporation	3.50%	12/32	715
5,339		Federal National Mortgage Association	5.00%	1/38 - 5/40	627
4,839		Federal National Mortgage Association	4.00%	5/39 - 11/43	560
2,283		Federal National Mortgage Association	6.00%	1/40	431
78,408		Government National Mortgage Association	0.26%	6/40	394
2,924		Federal National Mortgage Association	3.00%	9/41	283
997		Government National Mortgage Association	6.00%	6/38	232
1,174		Government National Mortgage Association	4.75%	7/40	210
1,714		Government National Mortgage Association	5.00%	5/37	91
612		Federal Home Loan Mortgage Corporation	5.50%	1/39	57
					11,916
TBA–Fixed-Rate Agency Securities (28.24%)
North America
Mortgage-related—Residential
74,250		Federal National Mortgage Association (15 Year)	3.50%	7/17	77,252
37,940		Government National Mortgage Association (30 Year)	4.00%	7/17	39,920
29,270		Federal Home Loan Mortgage Corporation (30 Year)	3.50%	7/17	30,075
19,580		Federal National Mortgage Association (15 Year)	3.00%	7/17	20,093
7,850		Government National Mortgage Association (30 Year)	4.50%	7/17	8,381
1,670		Federal Home Loan Mortgage Corporation (15 Year)	3.00%	7/17	1,715
1,500		Government National Mortgage Association (30 Year)	3.00%	7/17	1,516
890		Government National Mortgage Association (30 Year)	3.50%	7/17	922
					179,874
Total Fixed-Rate Agency Securities (Cost $935,003)					931,698

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)



Current Principal /Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Floating Rate Agency Securities (12.90%)
Principal and Interest–Floating Rate Agency Securities (10.25%)
North America
Mortgage-related—Residential
$	50,986	Government National Mortgage Association Pools	3.35% - 4.68%	7/61 - 11/66	$	55,315
5,453		Federal National Mortgage Association Pools	2.77% - 3.61%	9/35 - 5/45	5,699
4,157		Federal Home Loan Mortgage Corporation Pools	3.12% - 4.90%	6/37 - 5/44	4,292
					65,306
Interest Only–Floating Rate Agency Securities (2.65%)
North America
Mortgage-related—Residential
253,621		Other Government National Mortgage Association	0.33% - 5.63%	5/37 - 4/65	13,981
11,076		Other Federal National Mortgage Association	4.93% - 6.33%	6/33 - 12/41	1,514
4,757		Other Federal Home Loan Mortgage Corporation	4.84% - 5.47%	3/36 - 8/39	784
13,491		Resecuritization of Government National Mortgage Association (d)	3.50%	8/60	588
					16,867
Total Floating Rate Agency Securities (Cost $82,648)					82,173
Total Agency Securities (Cost $1,017,651)					1,013,871
Private Label Securities (26.44%)
Principal and Interest–Private Label Securities (24.94%)
North America (14.25%)
Mortgage-related—Residential
140,657		Various	0.48% - 32.30%	5/19 - 9/46	67,273
Mortgage-related—Commercial
94,750		Various	2.45% - 4.41%	7/45 - 12/49	23,458
Total North America (Cost $81,462)					90,731
Europe (10.69%)
Mortgage-related—Residential
85,679		Various	0.00% - 4.20%	6/25 - 6/46	61,978
Mortgage-related—Commercial
15,967		Various	0.37% - 4.82%	10/20 - 2/41	6,129
Total Europe (Cost $68,389)					68,107
Total Principal and Interest–Private Label Securities (Cost $149,851)					158,838
Interest Only–Private Label Securities (1.50%)
North America
Mortgage-related—Residential
39,576		Various	0.00% - 2.00%	12/30 - 9/47	5,299
Mortgage-related—Commercial
72,535		Various	1.25% - 2.00%	10/47 - 12/49	4,258
Total Interest Only–Private Label Securities (Cost $7,605)					9,557

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)



Current Principal /Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
Other Private Label Securities (0.00%)
North America
Mortgage-related—Residential
$	82,238	Various	—%	6/37	$	—
Mortgage-related—Commercial
—		Various	—%	7/45 - 12/49	—
Total Other Private Label Securities (Cost $223)					—
Total Private Label Securities (Cost $157,679)					168,395
Total Mortgage-Backed Securities (Cost $1,175,330)					1,182,266
Collateralized Loan Obligations (19.18%)
North America (15.07%)
170,914		Various	0.00% - 10.04%	11/17 - 11/57	60,158
20,937		Ellington CLO I LTD Unsecured Subordinated Notes (e)	—%	7/27	20,937
12,323		Ellington CLO I LTD Class C (e)	7.28%	7/27	11,635
3,346		Ellington CLO I LTD Class B (e)	5.28%	7/27	3,278
Total North America (Cost $98,075)					96,008
Europe (4.11%)
26,844		Various	0.00% - 6.25%	11/21 - 10/25	26,142
Total Europe (Cost $24,354)					26,142
Total Collateralized Loan Obligations (Cost $122,429)					122,150
Consumer Loans and Asset-backed Securities backed by Consumer Loans (17.06%) (f)
North America (16.61%)
Consumer (g) (h)
105,124		Various	5.31% - 60.28%	7/17 - 5/22	105,817
Total North America (Cost $111,078)					105,817
Europe (0.45%)
Consumer
3,524		Various	—%	8/24 - 12/30	2,854
Total Europe (Cost $1,270)					2,854
Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $112,348)					108,671
Corporate Debt (14.85%)
North America (14.49%)
Basic Materials
7,830		Various	3.10% - 7.00%	3/20 - 3/27	7,838
Communications
12,659		Various	3.40% - 11.50%	4/20 - 9/25	12,658
Consumer
22,400		Various	2.60% - 9.73%	4/18 - 12/34	22,692
Energy
27,944		Various	7.75% - 9.88%	3/19 - 2/24	29,403

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)



Current Principal/Number of Properties/Number of Shares		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
Industrial
$	4,961	Various	3.75% - 4.25%	4/19 - 12/21	$	4,923
Mortgage-related—Residential (m)
11,170		Various	6.00% - 15.00%	7/17 - 10/19	11,170
Technology
3,240		Various	7.50%	8/22	3,616
Total North America (Cost $92,842)					92,300
Europe (0.36%)
Consumer
18,929		Various	—%	3/18	260
Industrial
2,160		Various	0.00% - 9.00%	9/20 - 3/21	2,024
Total Europe (Cost $2,974)					2,284
Total Corporate Debt (Cost $95,816)					94,584
Mortgage Loans (31.71%) (f)
North America
Mortgage-related—Commercial (j)
67,535		Various	3.01% - 12.56%	8/17 - 10/37	65,896
Mortgage-related—Residential (l)
139,333		Various	2.00% - 12.63%	4/22 - 7/57	136,097
Total Mortgage Loans (Cost $203,674)					201,993
Real Estate Owned (3.92%) (f) (k)
North America
Real estate-related
3		Single-Family Houses			632
9		Commercial Properties			24,345
Total Real Estate Owned (Cost $25,462)					24,977
Corporate Equity Investments (5.86%)
North America (5.86%)
Asset-Backed Securities
n/a		Non-Controlling Equity Interest in Limited Liability Company (m)			5,591
Communications
7		Non-Exchange Traded Corporate Equity			645
Consumer
n/a		Non-Controlling Equity Interest in Limited Liability Company (i)			5,966
1,540		Non-Exchange Traded Corporate Equity			4
Diversified
174		Non-Exchange Traded Corporate Equity			3,492
Energy
51		Exchange Traded Equity			1,625

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)



Current Principal/Number of Shares		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
(continued)
Mortgage-related—Residential (m)
$	1,843	Non-Exchange Traded Preferred Equity Investment in Mortgage Originators			$	19,325
6,750		Non-Exchange Traded Common Equity Investment in Mortgage Originators			675
Total North America (Cost $42,345)					37,323
Europe (0.00%)
Consumer
125		Non-Exchange Traded Corporate Equity			—
Total Europe (Cost $0)					—
Total Corporate Equity Investments (Cost $42,345)					37,323
U.S. Treasury Securities (3.48%)
North America
Government
21,978		U.S. Treasury Note	1.63% - 2.00%	12/21 - 5/26	22,017
144		U.S. Treasury Bond	3.00%	2/47	148
Total U.S. Treasury Securities (Cost $22,060)					22,165
Total Long Investments (Cost $1,799,464)					$	1,794,129

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal

Description

Rate

Maturity

Fair Value

(In thousands)

Expressed in U.S.

Dollars

Repurchase Agreements (41.86%) (a) (b) (n)

35,354

JP Morgan Securities LLC

1.35%

7/17

35,354

Collateralized by Par Value $35,310

U.S. Treasury Note, Coupon 2.00%,

Maturity Date 6/24

34,846

Bank of America Securities

1.30%

7/17

34,846

Collateralized by Par Value $34,247

U.S. Treasury Note, Coupon 2.25%,

Maturity Date 2/27

16,274

Bank of America Securities

1.30%

7/17

16,274

Collateralized by Par Value $16,543

U.S. Treasury Note, Coupon 2.00%,

Maturity Date 11/26

16,096

JP Morgan Securities LLC

(0.70)%

7/17

16,096

Collateralized by Par Value $14,711

Sovereign Government Bond, Coupon 0.25%,

Maturity Date 4/18

15,078

Bank of America Securities

0.90%

7/17

15,078

Collateralized by Par Value $15,135

U.S. Treasury Note, Coupon 1.75%,

Maturity Date 5/22

14,000

JP Morgan Securities LLC

(0.80)%

7/17

14,000

Collateralized by Par Value $12,673

Sovereign Government Bond, Coupon 0.25%,

Maturity Date 11/20

10,512

JP Morgan Securities LLC

(0.90)%

7/17

10,512

Collateralized by Par Value $9,305

Sovereign Government Bond, Coupon 0.75%,

Maturity Date 7/21

9,741

JP Morgan Securities LLC

(0.72)%

7/17

9,741

Collateralized by Par Value $8,439

Sovereign Government Bond, Coupon 2.75%,

Maturity Date 4/19

9,578

JP Morgan Securities LLC

(0.75)%

7/17

9,578

Collateralized by Par Value $8,372

Sovereign Government Bond, Coupon 1.15%,

Maturity Date 7/20

9,255

JP Morgan Securities LLC

(0.72)%

7/17

9,255

Collateralized by Par Value $8,372

Sovereign Government Bond, Coupon 0.65%,

Maturity Date 11/20

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal

Description

Rate

Maturity

Fair Value

(In thousands)

Expressed in U.S.

Dollars

(continued)

6,633

Bank of America Securities

1.20%

7/17

6,633

Collateralized by Par Value $6,600

U.S. Treasury Note, Coupon 1.88%,

Maturity Date 4/22

6,214

RBC Capital Markets LLC

(2.00)%

7/17

6,214

Collateralized by Par Value $6,810

Exchange-Traded Corporate Debt, Coupon 6.25%,

Maturity Date 9/21

6,166

CILO 2016-LD1 Holdings LLC (o)

2.95%

7/17

6,166

Collateralized by Par Value $9,512

Exchange-Traded Debt, Coupon 5.50%,

Maturity Date 7/22

3,682

Barclays Capital Inc

(2.25)%

7/17

3,682

Collateralized by Par Value $3,830

Exchange-Traded Corporate Debt, Coupon 6.25%,

Maturity Date 9/21

3,445

JP Morgan Securities LLC

(2.75)%

7/17

3,445

Collateralized by Par Value $3,516

Exchange-Traded Corporate Debt, Coupon 4.88%,

Maturity Date 4/22

3,388

RBC Capital Markets LLC

0.80%

7/17

3,388

Collateralized by Par Value $3,250

Exchange-Traded Corporate Debt, Coupon 2.90%,

Maturity Date 1/22

3,130

RBC Capital Markets LLC

(4.25)%

7/17

3,130

Collateralized by Par Value $3,046

Exchange-Traded Corporate Debt, Coupon 8.00%,

Maturity Date 1/25

3,028

RBC Capital Markets LLC

0.80%

7/17

3,028

Collateralized by Par Value $3,230

Exchange-Traded Corporate Debt, Coupon 3.88%,

Maturity Date 3/23

2,942

Societe Generale

0.05%

7/17

2,942

Collateralized by Par Value $2,840

Exchange-Traded Corporate Debt, Coupon 9.25%,

Maturity Date 7/21

2,905

Barclays Capital Inc

(2.00)%

7/17

2,905

Collateralized by Par Value $3,050

Exchange-Traded Corporate Debt, Coupon 5.88%,

Maturity Date 10/20

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal

Description

Rate

Maturity

Fair Value

(In thousands)

Expressed in U.S.

Dollars

(continued)

2,901

Societe Generale

0.85%

7/17

2,901

Collateralized by Par Value $2,630

Exchange-Traded Corporate Debt, Coupon 6.00%,

Maturity Date 3/23

2,817

Barclays Capital Inc

0.75%

7/17

2,817

Collateralized by Par Value $2,680

Exchange-Traded Corporate Debt, Coupon 3.45%,

Maturity Date 7/24

2,778

Bank of America Securities

1.30%

7/17

2,778

Collateralized by Par Value $2,750

U.S. Treasury Note, Coupon 1.88%,

Maturity Date 3/22

2,753

JP Morgan Securities LLC

0.00%

7/17

2,753

Collateralized by Par Value $2,668

Exchange-Traded Corporate Debt, Coupon 4.00%,

Maturity Date 11/21

2,723

RBC Capital Markets LLC

0.75%

7/17

2,723

Collateralized by Par Value $2,650

Exchange-Traded Corporate Debt, Coupon 3.88%,

Maturity Date 1/22

2,583

Societe Generale

0.85%

7/17

2,583

Collateralized by Par Value $2,532

Exchange-Traded Corporate Debt, Coupon 4.00%,

Maturity Date 11/21

2,349

JP Morgan Securities LLC

(4.25)%

7/17

2,349

Collateralized by Par Value $2,290

Exchange-Traded Corporate Debt, Coupon 5.13%,

Maturity Date 6/22

1,886

Mitsubishi UFJ Securities USA Inc.

0.00%

8/17

1,886

Collateralized by Par Value $2,750

Collateralized Loan Obligation, Coupon 5.54%,

Maturity Date 5/20

1,785

RBC Capital Markets LLC

(1.90)%

7/17

1,785

Collateralized by Par Value $1,835

Exchange-Traded Corporate Debt, Coupon 8.00%,

Maturity Date 6/27

1,761

Barclays Capital Inc

(3.50)%

7/17

1,761

Collateralized by Par Value $1,844

Exchange-Traded Corporate Debt, Coupon 4.88%,

Maturity Date 4/22

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal

Description

Rate

Maturity

Fair Value

(In thousands)

Expressed in U.S.

Dollars

(continued)

1,664

Societe Generale

0.85%

7/17

1,664

Collateralized by Par Value $1,490

Exchange-Traded Corporate Debt, Coupon 6.38%,

Maturity Date 12/23

1,612

RBC Capital Markets LLC

0.80%

7/17

1,612

Collateralized by Par Value $1,550

Exchange-Traded Corporate Debt, Coupon 9.25%,

Maturity Date 7/21

1,559

Societe Generale

0.45%

7/17

1,559

Collateralized by Par Value $1,440

Exchange-Traded Corporate Debt, Coupon 6.38%,

Maturity Date 10/23

1,453

Barclays Capital Inc

(1.50)%

7/17

1,453

Collateralized by Par Value $1,525

Exchange-Traded Corporate Debt, Coupon 5.88%,

Maturity Date 10/20

1,380

Barclays Capital Inc

(2.50)%

7/17

1,380

Collateralized by Par Value $1,365

Exchange-Traded Corporate Debt, Coupon 8.00%,

Maturity Date 6/27

1,299

RBC Capital Markets LLC

0.80%

7/17

1,299

Collateralized by Par Value $1,220

Exchange-Traded Corporate Debt, Coupon 5.75%,

Maturity Date 11/24

1,290

Bank of America Securities

1.30%

7/17

1,290

Collateralized by Par Value $1,360

U.S. Treasury Note, Coupon 1.50%,

Maturity Date 8/26

1,183

Mitsubishi UFJ Securities USA Inc.

0.00%

8/17

1,183

Collateralized by Par Value $2,500

Collateralized Loan Obligation, Coupon 5.03%,

Maturity Date 11/21

1,145

RBC Capital Markets LLC

0.50%

7/17

1,145

Collateralized by Par Value $1,070

Exchange-Traded Corporate Debt, Coupon 5.13%,

Maturity Date 9/24

1,112

RBC Capital Markets LLC

0.80%

7/17

1,112

Collateralized by Par Value $1,140

Exchange-Traded Corporate Debt, Coupon 4.50%,

Maturity Date 4/23

See Notes to Consolidated Financial Statements

Table of Contents

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT JUNE 30, 2017 (CONTINUED)

(UNAUDITED)

Current Principal

Description

Rate

Maturity

Fair Value

(In thousands)

Expressed in U.S.

Dollars

(continued)

1,094

RBC Capital Markets LLC

(2.25)%

7/17

1,094

Collateralized by Par Value $1,170

Exchange-Traded Corporate Debt, Coupon 5.80%,

Maturity Date 10/22

1,049

RBC Capital Markets LLC

0.75%

7/17

1,049

Collateralized by Par Value $980

Exchange-Traded Corporate Debt, Coupon 3.50%,

Maturity Date 7/24

996

Bank of America Securities

1.25%

7/17

996

Collateralized by Par Value $990

U.S. Treasury Note, Coupon 2.25%,

Maturity Date 2/27

978

Deutsche Bank Securities

(4.50)%

7/17

978

Collateralized by Par Value $1,020

Exchange-Traded Corporate Debt, Coupon 7.38%,

Maturity Date 1/21