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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, 2018
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," "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 3, 2018
Common Shares Representing Limited Liability Company Interests, no par value
 
30,151,721

Table of Contents

ELLINGTON FINANCIAL LLC
INDEX
Part I. Financial Information
 
 
Item 1. Consolidated Financial Statements (unaudited)
 
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
 
Item 3. Quantitative and Qualitative Disclosures about Market Risk
 
Item 4. Controls and Procedures
Part II. Other Information
 
 
Item 1. Legal Proceedings
 
Item 1A. Risk Factors
 
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
 
Item 6. Exhibits

Table of Contents

PART I—FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements (Unaudited)
ELLINGTON FINANCIAL LLC
CONSOLIDATED STATEMENT OF ASSETS, LIABILITIES, AND EQUITY
(UNAUDITED)
 
June 30, 2018
 
December 31, 2017
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
22,071

 
$
47,233

Restricted cash
425

 
425

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $2,631,409 and $2,071,754)
2,625,471

 
2,071,707

Financial derivatives–assets, at fair value (Net cost – $24,510 and $31,474)
30,669

 
28,165

Repurchase agreements, at fair value (Cost – $214,346 and $155,109)
214,411

 
155,949

Total investments, financial derivatives, and repurchase agreements
2,870,551

 
2,255,821

Due from brokers
84,196

 
140,404

Receivable for securities sold and financial derivatives
637,965

 
476,000

Interest and principal receivable
32,469

 
29,688

Other assets
24,399

 
43,770

Total Assets
$
3,672,076

 
$
2,993,341

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $880,825 and $640,202)
$
882,146

 
$
642,240

Financial derivatives–liabilities, at fair value (Net proceeds – $18,294 and $27,463)
25,675

 
36,273

Total investments and financial derivatives
907,821

 
678,513

Reverse repurchase agreements
1,421,506

 
1,209,315

Due to brokers
3,250

 
1,721

Payable for securities purchased and financial derivatives
431,024

 
202,703

Other secured borrowings (Proceeds – $95,630 and $57,909)
95,630

 
57,909

Other secured borrowings, at fair value (Proceeds – $102,298 and $125,105)
101,100

 
125,105

Senior notes, net
84,902

 
84,771

Accounts payable and accrued expenses
4,105

 
3,885

Base management fee payable to affiliate
2,021

 
2,113

Incentive fee payable
291

 
—

Interest and dividends payable
6,791

 
5,904

Other liabilities
360

 
441

Total Liabilities
3,058,801

 
2,372,380

EQUITY
613,275

 
620,961

TOTAL LIABILITIES AND EQUITY
$
3,672,076

 
$
2,993,341

Commitments and contingencies (Note 17)

 

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(30,149,880 and 31,335,938 shares issued and outstanding)
$
589,000

 
$
589,722

Additional paid-in capital – Long term incentive plan units
10,567

 
10,377

Total Shareholders' Equity
599,567

 
600,099

Non-controlling interests
13,708

 
20,862

Total Equity
$
613,275

 
$
620,961

PER SHARE INFORMATION:
 
 
 
Common shares
$
19.89

 
$
19.15


See Notes to Consolidated Financial Statements
3
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018
(UNAUDITED)

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Cash Equivalents—Money Market Funds (1.11%) (a) (b)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Funds
 
 
 
 
 
 
$
6,833

 
Various
 
1.80% - 1.81%
 
 
 
$
6,833

Total Cash Equivalents—Money Market Funds (Cost $6,833)
 
 
 
 
 
$
6,833

Long Investments (428.11%) (a) (b) (ad)
 
 
 
 
 
 
Mortgage-Backed Securities (256.80%)
 
 
 
 
 
 
Agency Securities (206.36%) (c)
 
 
 
 
 
 
Fixed Rate Agency Securities (192.85%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (139.11%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
129,679

 
Federal National Mortgage Association Pools (30 Year)
 
4.00%
 
9/39 - 3/48
 
$
133,114

111,971

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.00%
 
11/41 - 7/48
 
114,913

85,957

 
Federal National Mortgage Association Pools (30 Year)
 
3.50%
 
9/42 - 2/48
 
85,942

73,728

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.50%
 
9/43 - 5/48
 
77,234

70,076

 
Federal National Mortgage Association Pools (30 Year)
 
4.50%
 
10/41 - 6/48
 
73,524

52,004

 
Government National Mortgage Association Pools (30 Year)
 
4.00%
 
7/45 - 5/48
 
53,331

47,147

 
Federal National Mortgage Association Pools (15 Year)
 
3.50%
 
3/28 - 3/32
 
47,772

40,956

 
Government National Mortgage Association Pools (30 Year)
 
3.50%
 
12/42 - 2/48
 
41,041

34,242

 
Federal National Mortgage Association Pools (30 Year)
 
5.00%
 
10/35 - 5/48
 
36,520

32,197

 
Government National Mortgage Association Pools (30 Year)
 
5.00%
 
2/48 - 6/48
 
34,018

27,559

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.50%
 
1/42 - 3/48
 
27,560

21,710

 
Government National Mortgage Association Pools (30 Year)
 
4.50%
 
9/46 - 4/48
 
22,714

14,735

 
Government National Mortgage Association Pools (30 Year)
 
5.50%
 
4/48 - 6/48
 
15,739

11,624

 
Federal National Mortgage Association Pools (15 Year)
 
3.00%
 
4/30 - 9/32
 
11,570

8,869

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.50%
 
9/28 - 12/32
 
8,983

8,198

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.50%
 
2/30 - 9/46
 
8,205

6,541

 
Federal National Mortgage Association Pools (15 Year)
 
4.00%
 
6/26 - 5/31
 
6,729

5,070

 
Federal National Mortgage Association Pools (30 Year)
 
5.50%
 
10/39 - 6/48
 
5,460

5,086

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.00%
 
7/44 - 4/48
 
5,395

5,062

 
Federal National Mortgage Association Pools (Other)
 
5.00%
 
9/43 - 1/44
 
5,365

4,926

 
Federal National Mortgage Association Pools (Other)
 
4.00%
 
6/37 - 12/47
 
5,013

3,542

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.00%
 
7/43 - 1/47
 
3,448

2,666

 
Government National Mortgage Association Pools (30 Year)
 
3.75%
 
7/47
 
2,688

2,538

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
4.50%
 
5/44
 
2,648

2,703

 
Federal National Mortgage Association Pools (30 Year)
 
3.00%
 
1/42 - 6/45
 
2,639

2,465

 
Federal National Mortgage Association Pools (15 Year)
 
4.50%
 
4/26
 
2,564

2,479

 
Federal National Mortgage Association Pools (Other)
 
4.50%
 
5/41
 
2,561

2,436

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.00%
 
 4/30
 
2,424

1,774

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.50%
 
8/33 - 5/48
 
1,915

1,594

 
Federal National Mortgage Association Pools (20 Year)
 
4.00%
 
12/33
 
1,648

1,236

 
Government National Mortgage Association Pools (30 Year)
 
6.00%
 
5/48
 
1,337


See Notes to Consolidated Financial Statements
4
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
1,234

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
4.00%
 
2/29
 
$
1,267

1,147

 
Federal National Mortgage Association Pools (30 Year)
 
6.00%
 
9/39 - 2/40
 
1,257

1,099

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.00%
 
6/28 - 3/30
 
1,091

1,000

 
Federal Home Loan Mortgage Corporation Pools (20 Year)
 
4.50%
 
12/33
 
1,053

856

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
6.00%
 
5/40
 
937

885

 
Federal National Mortgage Association Pools (Other)
 
3.00%
 
10/46
 
853

722

 
Government National Mortgage Association Pools (30 Year)
 
3.00%
 
11/42
 
707

626

 
Government National Mortgage Association Pools (Other)
 
3.50%
 
10/30 - 2/32
 
616

650

 
Government National Mortgage Association Pools (30 Year)
 
2.49%
 
10/43
 
610

461

 
Federal National Mortgage Association Pools (Other)
 
3.50%
 
4/26
 
467

145

 
Government National Mortgage Association Pools (Other)
 
3.00%
 
6/30
 
141

110

 
Federal National Mortgage Association Pools (30 Year)
 
3.28%
 
6/42
 
107

 
 
 
 
 
 
 
 
853,120

Interest Only - Fixed Rate Agency Securities (2.05%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
19,686

 
Government National Mortgage Association
 
4.00%
 
2/45 - 6/45
 
3,498

12,358

 
Federal National Mortgage Association
 
4.50%
 
12/20 - 6/44
 
1,512

5,270

 
Government National Mortgage Association
 
6.00%
 
6/38 - 8/39
 
1,093

7,183

 
Government National Mortgage Association
 
4.50%
 
6/39 - 7/44
 
966

3,745

 
Federal National Mortgage Association
 
5.50%
 
10/39
 
831

4,078

 
Government National Mortgage Association
 
5.50%
 
11/43
 
719

3,896

 
Federal National Mortgage Association
 
4.00%
 
5/39 - 11/43
 
613

3,984

 
Federal Home Loan Mortgage Corporation
 
3.50%
 
12/32
 
591

6,137

 
Federal Home Loan Mortgage Corporation
 
5.00%
 
11/38
 
528

3,254

 
Federal National Mortgage Association
 
5.00%
 
1/38 - 5/40
 
509

4,441

 
Federal Home Loan Mortgage Corporation
 
5.50%
 
1/39 - 9/39
 
439

1,801

 
Federal National Mortgage Association
 
6.00%
 
1/40
 
318

1,527

 
Federal Home Loan Mortgage Corporation
 
4.50%
 
7/43
 
283

3,909

 
Government National Mortgage Association
 
5.00%
 
5/37 - 5/41
 
261

2,488

 
Federal National Mortgage Association
 
3.00%
 
9/41
 
237

930

 
Government National Mortgage Association
 
4.75%
 
7/40
 
183

 
 
 
 
 
 
 
 
12,581

TBA - Fixed Rate Agency Securities (51.69%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
93,642

 
Government National Mortgage Association (30 Year)
 
5.00%
 
8/18
 
98,156

91,953

 
Federal National Mortgage Association (30 Year)
 
4.00%
 
7/18
 
93,756

39,213

 
Government National Mortgage Association (30 Year)
 
5.00%
 
7/18
 
41,161

21,540

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
7/18
 
21,425

18,609

 
Government National Mortgage Association (30 Year)
 
4.50%
 
7/18
 
19,343

17,600

 
Federal National Mortgage Association (30 Year)
 
4.50%
 
8/18
 
18,297


See Notes to Consolidated Financial Statements
5
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
8,675

 
Government National Mortgage Association (30 Year)
 
5.50%
 
7/18
 
$
9,165

8,240

 
Government National Mortgage Association (30 Year)
 
4.00%
 
7/18
 
8,445

4,825

 
Government National Mortgage Association (30 Year)
 
3.00%
 
7/18
 
4,724

1,660

 
Federal Home Loan Mortgage Corporation (15 Year)
 
3.00%
 
7/18
 
1,648

890

 
Government National Mortgage Association (30 Year)
 
3.50%
 
7/18
 
893

 
 
 
 
 
 
 
 
317,013

Total Fixed Rate Agency Securities (Cost $1,203,700)
 
 
 
 
 
1,182,714

Floating Rate Agency Securities (13.51%)
 
 
 
 
 
 
Principal and Interest - Floating Rate Agency Securities (10.20%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
53,399

 
Government National Mortgage Association Pools
 
4.41% - 4.68%
 
7/61 - 12/67
 
56,371

4,132

 
Federal National Mortgage Association Pools
 
2.70% - 4.69%
 
9/35 - 5/45
 
4,283

1,835

 
Federal Home Loan Mortgage Corporation Pools
 
3.49% - 4.33%
 
6/37 - 5/44
 
1,872

 
 
 
 
 
 
 
 
62,526

Interest Only - Floating Rate Agency Securities (3.31%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
283,640

 
Other Government National Mortgage Association
 
0.36% - 4.71%
 
3/37 - 10/66
 
13,246

56,713

 
Other Federal National Mortgage Association
 
1.12% - 5.50%
 
6/33 - 12/41
 
4,782

22,991

 
Other Federal Home Loan Mortgage Corporation
 
3.93% - 4.58%
 
3/36 - 1/44
 
2,109

7,818

 
Resecuritization of Government National Mortgage Association (d)
 
2.60%
 
8/60
 
181

 
 
 
 
 
 
 
 
20,318

Total Floating Rate Agency Securities (Cost $85,730)
 
 
 
 
 
82,844

Total Agency Securities (Cost $1,289,430)
 
 
 
 
 
1,265,558

Private Label Securities (50.44%)
 
 
 
 
 
 
Principal and Interest - Private Label Securities (49.17%)
 
 
 
 
 
 
North America (27.06%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
208,679

 
Various
 
0.00% - 27.05%
 
5/19 - 3/47
 
152,506

Mortgage-related—Commercial
 
 
 
 
 
 
42,805

 
Various
 
2.80% - 4.25%
 
8/46 - 5/61
 
13,469

Total North America (Cost $155,765)
 
 
 
 
 
165,975

Europe (22.11%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
145,103

 
Various
 
0.00% - 5.50%
 
6/25 - 12/50
 
119,269

Mortgage-related—Commercial
 
 
 
 
 
 
26,027

 
Various
 
0.37% - 4.04%
 
10/20 - 8/45
 
16,309

Total Europe (Cost $133,727)
 
 
 
 
 
135,578

Total Principal and Interest - Private Label Securities (Cost $289,492)
 
 
 
 
 
301,553

 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
6
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Interest Only - Private Label Securities (1.27%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
33,472

 
Various
 
 0.00% - 2.00%
 
 12/30 - 9/47
 
$
4,328

Mortgage-related—Commercial
 
 
 
 
 
 
43,707

 
Various
 
 1.25% - 2.00%
 
 3/49 - 5/61
 
3,458

Total Interest Only - Private Label Securities (Cost $5,694)
 
 
 
 
 
7,786

Other Private Label Securities (0.00%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
70,577

 
Various
 
—%
 
6/37
 
—

Mortgage-related—Commercial
 
 
 
 
 
 
—

 
Various
 
—%
 
7/45 - 5/61
 
—

Total Other Private Label Securities (Cost $191)
 
 
 
 
 
—

Total Private Label Securities (Cost $295,377)
 
 
 
 
 
309,339

Total Mortgage-Backed Securities (Cost $1,584,807)
 
 
 
 
 
1,574,897

Collateralized Loan Obligations (34.29%)
 
 
 
 
 
 
North America (32.00%) (e)
 
 
 
 
 
 
335,854

 
Various
 
0.00% - 10.04%
 
7/18 - 11/57
 
196,254

Total North America (Cost $201,637)
 
 
 
 
 
196,254

Europe (2.29%)
 
 
 
 
 
 
14,663

 
Various
 
4.47% - 7.95%
 
4/24 - 1/27
 
14,067

Total Europe (Cost $14,194)
 
 
 
 
 
14,067

Total Collateralized Loan Obligations (Cost $215,831)
 
 
 
 
 
210,321

Consumer Loans and Asset-backed Securities backed by Consumer Loans (32.49%) (f)
 
 
 
 
 
 
North America (31.07%)
 
 
 
 
 
 
Consumer (g) (h)
 
 
 
 
 
 
207,154

 
Various
 
5.31% - 76.50%
 
7/18 - 6/23
 
190,531

Total North America (Cost $194,898)
 
 
 
 
 
190,531

Europe (1.42%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
3,608

 
Various
 
—%
 
8/24 - 12/30
 
8,723

Total Europe (Cost $899)
 
 
 
 
 
8,723

Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $195,797)
 
 
 
 
 
199,254

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
7
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Properties
 
 
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Corporate Debt (13.23%)
 
 
 
 
 
 
North America (11.28%)
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
$
3,770

 
Various
 
3.55% - 7.63%
 
10/21 - 3/26
 
$
3,775

Communications
 
 
 
 
 
 
14,216

 
Various
 
4.13% - 12.29%
 
4/20 - 3/27
 
14,618

Consumer
 
 
 
 
 
 
26,786

 
Various
 
2.60% - 10.86%
 
1/19 - 12/34
 
26,750

Energy
 
 
 
 
 
 
3,975

 
Various
 
4.63% - 7.88%
 
9/21 - 8/25
 
3,985

Financial
 
 
 
 
 
 
355

 
Various
 
5.00%
 
8/22
 
359

Industrial
 
 
 
 
 
 
13,715

 
Various
 
3.25% - 5.88%
 
6/20 - 1/28
 
13,440

Technology
 
 
 
 
 
 
6,770

 
Various
 
3.63% - 4.38%
 
9/20 - 5/22
 
6,275

Total North America (Cost $65,053)
 
 
 
 
 
69,202

Europe (1.95%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
20,636

 
Various
 
—%
 
9/18
 
52

Financial
 
 
 
 
 
 
12,344

 
Various
 
0.00% - 16.00%
 
10/20 - 11/22
 
11,884

Total Europe (Cost $13,081)
 
 
 
 
 
11,936

Total Corporate Debt (Cost $78,134)
 
 
 
 
 
81,138

Secured Notes (1.82%) (n)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
17,945

 
Various
 
5.00%
 
11/57
 
11,126

Total Secured Notes (Cost $11,361)
 
 
 
 
 
11,126

Mortgage Loans (64.97%) (f)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Commercial (j)
 
 
 
 
 
 
105,453

 
Various
 
3.73% - 13.50%
 
8/18 - 10/37
 
104,951

Mortgage-related—Residential (k) (m)
 
 
 
 
 
 
293,774

 
Various
 
2.00% - 15.00%
 
7/18 - 6/58
 
293,472

Total Mortgage Loans (Cost $396,155)
 
 
 
 
 
398,423

Real Estate Owned (5.60%) (f) (l)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Real estate-related
 
 
 
 
 
 
5

 
Single-Family Houses
 
 
 
 
 
894

18

 
Commercial Properties
 
 
 
 
 
33,445

Total Real Estate Owned (Cost $33,593)
 
 
 
 
 
34,339

 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
8
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Shares
 
 
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Corporate Equity Investments (7.42%)
 
 
 
 
 
 
North America (7.42%)
 
 
 
 
 
 
Asset-Backed Securities
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company (i)
 
 
 
 
 
$
5,284

Communications
 
 
 
 
 
 
7

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
174

Consumer
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company (i)
 
 
 
 
 
6,053

23

 
Exchange Traded Equity
 
 
 
 
 
54

1,540

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
5

Diversified
 
 
 
 
 
 
144

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
1,275

Financial
 
 
 
 
 
 
61

 
Exchange Traded Equity
 
 
 
 
 
683

Mortgage-related—Commercial (n)
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company
 
 
 
 
 
1,150

Mortgage-related—Residential (n)
 
 
 
 
 
 
23

 
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
 
 
 
 
 
28,009

9,818

 
Non-Exchange Traded Common Equity Investment in Mortgage Originators
 
 
 
 
 
2,814

Total North America (Cost $45,260)
 
 
 
 
 
45,501

Europe (0.00%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
125

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
—

Financial
 
 
 
 
 
 
—

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
4

Total Europe (Cost $4)
 
 
 
 
 
4

Total Corporate Equity Investments (Cost $45,264)
 
 
 
 
 
45,505

U.S. Treasury Securities (11.49%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Government
 
 
 
 
 
 
$
68,175

 
U.S. Treasury Note
 
2.63%
 
6/23
 
67,842

1,995

 
U.S. Treasury Note
 
2.25%
 
11/27
 
1,895

448

 
U.S. Treasury Note
 
2.63%
 
3/25
 
443

292

 
U.S. Treasury Note
 
2.00%
 
1/21
 
288

Total U.S. Treasury Securities (Cost $70,467)
 
 
 
 
 
70,468

Total Long Investments (Cost $2,631,409)
 
 
 
 
 
$
2,625,471



See Notes to Consolidated Financial Statements
9
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (34.96%) (a) (b) (o)
 
 
 
 
 
 
$
112,808

 
JP Morgan Securities LLC
 
2.08%
 
7/18
 
$
112,808

 
 
Collateralized by Par Value $111,830
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 5/23
 
 
 
 
 
 
15,396

 
JP Morgan Securities LLC
 
2.15%
 
7/18
 
15,396

 
 
Collateralized by Par Value $15,300
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.63%
 
 
 
 
 
 
 
 
Maturity Date 6/21
 
 
 
 
 
 
13,847

 
JP Morgan Securities LLC
 
1.92%
 
7/18
 
13,847

 
 
Collateralized by Par Value $13,607
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.88%
 
 
 
 
 
 
 
 
Maturity Date 5/28
 
 
 
 
 
 
13,239

 
JP Morgan Securities LLC
 
1.98%
 
7/18
 
13,239

 
 
Collateralized by Par Value $13,025
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.88%
 
 
 
 
 
 
 
 
Maturity Date 5/28
 
 
 
 
 
 
10,595

 
JP Morgan Securities LLC
 
(0.55)%
 
12/18
 
10,595

 
 
Collateralized by Par Value $10,158
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.75%
 
 
 
 
 
 
 
 
Maturity Date 7/21
 
 
 
 
 
 
10,264

 
Bank of America Securities
 
2.10%
 
7/18
 
10,264

 
 
Collateralized by Par Value $10,200
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.88%
 
 
 
 
 
 
 
 
Maturity Date 5/25
 
 
 
 
 
 
9,587

 
JP Morgan Securities LLC
 
(0.55)%
 
12/18
 
9,587

 
 
Collateralized by Par Value $9,212
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
5,667

 
CILO 2016-LD1 Holdings LLC (p)
 
3.92%
 
9/18
 
5,667

 
 
Collateralized by Par Value $9,511
 
 
 
 
 
 
 
 
Exchange-Traded Debt, Coupon 5.50%,
 
 
 
 
 
 
 
 
Maturity Date 7/22
 
 
 
 
 
 
3,098

 
Bank of America Securities
 
2.15%
 
7/18
 
3,098

 
 
Collateralized by Par Value $3,094
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 2/28
 
 
 
 
 
 
2,834

 
CS First Boston
 
(2.00)%
 
7/18
 
2,834

 
 
Collateralized by Par Value $2,845
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%,
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
2,703

 
Barclays Capital Inc
 
0.25%
 
7/18
 
2,703

 
 
Collateralized by Par Value $2,495
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.63%
 
 
 
 
 
 
 
 
Maturity Date 10/23
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
10
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
2,111

 
Bank of America Securities
 
2.10%
 
7/18
 
$
2,111

 
 
Collateralized by Par Value $2,101
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 4/23
 
 
 
 
 
 
2,029

 
Societe Generale
 
(1.15)%
 
7/18
 
2,029

 
 
Collateralized by Par Value $1,850
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.50%
 
 
 
 
 
 
 
 
Maturity Date 4/24
 
 
 
 
 
 
2,020

 
RBC Capital Markets LLC
 
1.35%
 
7/18
 
2,020

 
 
Collateralized by Par Value $1,985
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%
 
 
 
 
 
 
 
 
Maturity Date 11/23
 
 
 
 
 
 
1,067

 
Barclays Capital Inc
 
(2.00)%
 
7/18
 
1,067

 
 
Collateralized by Par Value $1,045
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.88%
 
 
 
 
 
 
 
 
Maturity Date 10/20
 
 
 
 
 
 
1,066

 
Bank of America Securities
 
1.75%
 
7/18
 
1,066

 
 
Collateralized by Par Value $1,050
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 3.00%
 
 
 
 
 
 
 
 
Maturity Date 2/48
 
 
 
 
 
 
968

 
Bank of America Securities
 
2.15%
 
7/18
 
968

 
 
Collateralized by Par Value $968
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.88%
 
 
 
 
 
 
 
 
Maturity Date 12/19
 
 
 
 
 
 
773

 
RBC Capital Markets LLC
 
1.45%
 
7/18
 
773

 
 
Collateralized by Par Value $745
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%
 
 
 
 
 
 
 
 
Maturity Date 9/24
 
 
 
 
 
 
615

 
Barclays Capital Inc
 
(2.00)%
 
7/18
 
615

 
 
Collateralized by Par Value $710
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
542

 
RBC Capital Markets LLC
 
1.15%
 
7/18
 
542

 
 
Collateralized by Par Value $545
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.25%
 
 
 
 
 
 
 
 
Maturity Date 6/23
 
 
 
 
 
 
519

 
RBC Capital Markets LLC
 
1.55%
 
7/18
 
519

 
 
Collateralized by Par Value $500
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.75%
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
503

 
RBC Capital Markets LLC
 
(0.50)%
 
7/18
 
503

 
 
Collateralized by Par Value $545
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 10.50%
 
 
 
 
 
 
 
 
Maturity Date 9/22
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
11
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
461

 
RBC Capital Markets LLC
 
1.55%
 
7/18
 
$
461

 
 
Collateralized by Par Value $470
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%
 
 
 
 
 
 
 
 
Maturity Date 4/24
 
 
 
 
 
 
451

 
Bank of America Securities
 
2.15%
 
7/18
 
451

 
 
Collateralized by Par Value $448
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 2/25
 
 
 
 
 
 
265

 
Bank of America Securities
 
2.15%
 
7/18
 
265

 
 
Collateralized by Par Value $275
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 8/47
 
 
 
 
 
 
262

 
RBC Capital Markets LLC
 
(2.38)%
 
7/18
 
262

 
 
Collateralized by Par Value $250
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
243

 
Barclays Capital Inc
 
(1.75)%
 
7/18
 
243

 
 
Collateralized by Par Value $250
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
242

 
RBC Capital Markets LLC
 
(2.00)%
 
7/18
 
242

 
 
Collateralized by Par Value $230
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
236

 
RBC Capital Markets LLC
 
1.55%
 
7/18
 
236

 
 
Collateralized by Par Value $255
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.70%
 
 
 
 
 
 
 
 
Maturity Date 4/23
 
 
 
 
 
 
Total Repurchase Agreements (Cost $214,346)
 
 
 
 
 
$
214,411


See Notes to Consolidated Financial Statements
12
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Investments Sold Short (-143.84%) (a) (b)
 
 
 
 
 
 
TBA - Fixed Rate Agency Securities Sold Short (-100.88%) (q)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
(134,610
)
 
Government National Mortgage Association (30 year)
 
3.50%
 
7/18
 
$
(135,083
)
(92,000
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
8/18
 
(93,642
)
(82,133
)
 
Government National Mortgage Association (30 year)
 
4.00%
 
7/18
 
(84,167
)
(63,000
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
8/18
 
(62,626
)
(48,930
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
7/18
 
(51,839
)
(42,801
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
8/18
 
(44,475
)
(38,520
)
 
Federal National Mortgage Association (15 year)
 
3.50%
 
7/18
 
(38,976
)
(25,490
)
 
Federal National Mortgage Association (15 year)
 
3.00%
 
7/18
 
(25,339
)
(20,402
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
7/18
 
(20,305
)
(13,970
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
8/18
 
(14,773
)
(13,112
)
 
Federal National Mortgage Association (30 year)
 
3.00%
 
8/18
 
(12,687
)
(11,110
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
7/18
 
(11,569
)
(9,297
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
7/18
 
(9,477
)
(6,860
)
 
Federal National Mortgage Association (30 year)
 
5.50%
 
8/18
 
(7,348
)
(5,515
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
3.00%
 
8/18
 
(5,332
)
(1,050
)
 
Government National Mortgage Association (30 year)
 
3.00%
 
7/18
 
(1,027
)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$616,872)
 
 
 
(618,665
)
Government Debt Sold Short (-29.20%)
 
 
 
 
North America (-25.96%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
(111,830
)
 
U.S. Treasury Note
 
2.75%
 
5/23
 
(111,975
)
(15,300
)
 
U.S. Treasury Note
 
2.63%
 
6/21
 
(15,303
)
(13,321
)
 
U.S. Treasury Note
 
2.88%
 
5/28
 
(13,349
)
(10,200
)
 
U.S. Treasury Note
 
2.88%
 
5/25
 
(10,242
)
(3,094
)
 
U.S. Treasury Note
 
2.75%
 
2/28
 
(3,067
)
(2,561
)
 
U.S. Treasury Note
 
2.75%
 
4/23
 
(2,563
)
(1,050
)
 
U.S. Treasury Bond
 
3.00%
 
2/48
 
(1,053
)
(968
)
 
U.S. Treasury Note
 
1.88%
 
12/19
 
(960
)
(448
)
 
U.S. Treasury Note
 
2.75%
 
2/25
 
(446
)
(275
)
 
U.S. Treasury Bond
 
2.75%
 
8/47
 
(262
)
Total North America (Proceeds -$159,005)
 
 
 
 
 
(159,220
)
Europe (-3.24%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
(19,370
)
 
European Sovereign Bond
 
0.75% - 2.75%
 
4/19 - 7/21
 
(19,866
)
Total Europe (Proceeds -$19,668)
 
 
 
 
 
(19,866
)
Total Government Debt Sold Short (Proceeds -$178,673)
 
 
 
(179,086
)
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
13
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Shares