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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, 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 every Interactive Data File required to be submitted 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 such files).    Yes  x    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth 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
x
 
 
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 November 6, 2018
Common Shares Representing Limited Liability Company Interests, no par value
 
30,013,574

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)
 
September 30, 2018
 
December 31, 2017
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
53,598

 
$
47,233

Restricted cash
425

 
425

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $2,694,223 and $2,071,754)
2,670,069

 
2,071,707

Financial derivatives–assets, at fair value (Net cost – $20,895 and $31,474)
31,338

 
28,165

Repurchase agreements, at fair value (Cost – $160,468 and $155,109)
160,422

 
155,949

Total investments, financial derivatives, and repurchase agreements
2,861,829

 
2,255,821

Due from brokers
83,915

 
140,404

Receivable for securities sold and financial derivatives
670,952

 
476,000

Interest and principal receivable
38,635

 
29,688

Other assets
5,207

 
43,770

Total Assets
$
3,714,561

 
$
2,993,341

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $697,686 and $640,202)
$
695,349

 
$
642,240

Financial derivatives–liabilities, at fair value (Net proceeds – $16,294 and $27,463)
27,226

 
36,273

Total investments and financial derivatives
722,575

 
678,513

Reverse repurchase agreements
1,636,039

 
1,209,315

Due to brokers
4,551

 
1,721

Payable for securities purchased and financial derivatives
430,808

 
202,703

Other secured borrowings (Proceeds – $114,190 and $57,909)
114,190

 
57,909

Other secured borrowings, at fair value (Proceeds – $90,409 and $125,105)
89,569

 
125,105

Senior notes, net
84,968

 
84,771

Accounts payable and accrued expenses
5,337

 
3,885

Base management fee payable to affiliate
1,830

 
2,113

Incentive fee payable to affiliate
424

 
—

Interest and dividends payable
6,451

 
5,904

Other liabilities
1,141

 
441

Total Liabilities
3,097,883

 
2,372,380

EQUITY
616,678

 
620,961

TOTAL LIABILITIES AND EQUITY
$
3,714,561

 
$
2,993,341

Commitments and contingencies (Note 17)

 

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(30,155,055 and 31,335,938 shares issued and outstanding)
$
583,179

 
$
589,722

Additional paid-in capital – Long term incentive plan units
10,618

 
10,377

Total Shareholders' Equity
593,797

 
600,099

Non-controlling interests
22,881

 
20,862

Total Equity
$
616,678

 
$
620,961

PER SHARE INFORMATION:
 
 
 
Common shares
$
19.69

 
$
19.15


See Notes to Consolidated Financial Statements
3
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 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 (1.38%) (a) (b)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Funds
 
 
 
 
 
 
$
8,502

 
Various
 
1.92% - 1.96%
 
 
 
$
8,502

Total Cash Equivalents—Money Market Funds (Cost $8,502)
 
 
 
 
 
$
8,502

Long Investments (432.98%) (a) (b) (ae)
 
 
 
 
 
 
Mortgage-Backed Securities (267.14%)
 
 
 
 
 
 
Agency Securities (202.37%) (c)
 
 
 
 
 
 
Fixed Rate Agency Securities (189.05%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (137.91%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
142,232

 
Federal National Mortgage Association Pools (30 Year)
 
4.00%
 
9/39 - 9/48
 
$
144,555

116,796

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.00%
 
11/41 - 9/48
 
118,777

84,194

 
Federal National Mortgage Association Pools (30 Year)
 
3.50%
 
9/42 - 2/48
 
83,182

69,656

 
Federal National Mortgage Association Pools (30 Year)
 
4.50%
 
10/41 - 9/48
 
72,403

54,151

 
Government National Mortgage Association Pools (30 Year)
 
4.00%
 
7/45 - 5/48
 
55,026

46,289

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.50%
 
9/43 - 9/48
 
48,076

44,474

 
Government National Mortgage Association Pools (30 Year)
 
5.00%
 
2/48 - 8/48
 
46,735

44,456

 
Federal National Mortgage Association Pools (15 Year)
 
3.50%
 
3/28 - 3/32
 
44,747

38,966

 
Federal National Mortgage Association Pools (30 Year)
 
5.00%
 
10/35 - 8/48
 
41,243

32,509

 
Government National Mortgage Association Pools (30 Year)
 
3.50%
 
12/42 - 2/47
 
32,243

30,083

 
Government National Mortgage Association Pools (30 Year)
 
4.50%
 
9/46 - 8/48
 
31,271

26,297

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.50%
 
1/42 - 3/48
 
26,009

15,780

 
Government National Mortgage Association Pools (30 Year)
 
5.50%
 
4/48 - 8/48
 
16,791

11,259

 
Federal National Mortgage Association Pools (15 Year)
 
3.00%
 
4/30 - 9/32
 
11,139

8,447

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.50%
 
9/28 - 12/32
 
8,503

8,136

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.50%
 
2/30 - 9/46
 
8,061

6,022

 
Federal National Mortgage Association Pools (15 Year)
 
4.00%
 
6/26 - 5/31
 
6,138

5,048

 
Federal National Mortgage Association Pools (30 Year)
 
5.50%
 
10/39 - 6/48
 
5,419

5,541

 
Government National Mortgage Association Pools (30 Year)
 
3.00%
 
11/42 - 5/48
 
5,364

5,029

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.00%
 
7/44 - 4/48
 
5,295

4,797

 
Federal National Mortgage Association Pools (Other)
 
5.00%
 
9/43 - 1/44
 
5,045

4,413

 
Federal National Mortgage Association Pools (Other)
 
4.00%
 
12/47
 
4,446

2,792

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.00%
 
7/43 - 6/45
 
2,689

2,524

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
4.50%
 
5/44
 
2,610

2,639

 
Federal National Mortgage Association Pools (30 Year)
 
3.00%
 
1/42 - 6/45
 
2,543

2,519

 
Government National Mortgage Association Pools (30 Year)
 
3.75%
 
7/47
 
2,517

2,341

 
Federal National Mortgage Association Pools (Other)
 
4.50%
 
5/41
 
2,396

2,313

 
Federal National Mortgage Association Pools (15 Year)
 
4.50%
 
4/26
 
2,391

2,389

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.00%
 
 4/30
 
2,362

1,757

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.50%
 
8/33 - 5/48
 
1,890

1,575

 
Federal National Mortgage Association Pools (20 Year)
 
4.00%
 
12/33
 
1,612


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

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
1,232

 
Government National Mortgage Association Pools (30 Year)
 
6.00%
 
5/48
 
$
1,323

1,063

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
4.00%
 
2/29
 
1,085

1,070

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.00%
 
6/28 - 3/30
 
1,054

988

 
Federal Home Loan Mortgage Corporation Pools (20 Year)
 
4.50%
 
12/33
 
1,030

860

 
Federal National Mortgage Association Pools (30 Year)
 
6.00%
 
9/39 - 2/40
 
929

851

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
6.00%
 
5/40
 
923

866

 
Federal National Mortgage Association Pools (Other)
 
3.00%
 
10/46
 
825

646

 
Government National Mortgage Association Pools (30 Year)
 
2.49%
 
10/43
 
598

545

 
Government National Mortgage Association Pools (Other)
 
3.50%
 
10/30 - 2/32
 
533

430

 
Federal National Mortgage Association Pools (Other)
 
3.50%
 
4/26
 
433

143

 
Government National Mortgage Association Pools (Other)
 
3.00%
 
6/30
 
137

110

 
Federal National Mortgage Association Pools (30 Year)
 
3.28%
 
6/42
 
105

 
 
 
 
 
 
 
 
850,453

Interest Only - Fixed Rate Agency Securities (1.92%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
18,398

 
Government National Mortgage Association
 
4.00%
 
2/45 - 6/45
 
3,164

11,223

 
Federal National Mortgage Association
 
4.50%
 
12/20 - 6/44
 
1,450

5,000

 
Government National Mortgage Association
 
6.00%
 
6/38 - 8/39
 
1,050

6,464

 
Government National Mortgage Association
 
4.50%
 
6/39 - 7/44
 
902

3,554

 
Federal National Mortgage Association
 
5.50%
 
10/39
 
795

3,816

 
Government National Mortgage Association
 
5.50%
 
11/43
 
683

3,728

 
Federal National Mortgage Association
 
4.00%
 
5/39 - 11/43
 
603

3,807

 
Federal Home Loan Mortgage Corporation
 
3.50%
 
12/32
 
559

2,937

 
Federal National Mortgage Association
 
5.00%
 
1/38 - 5/40
 
512

5,658

 
Federal Home Loan Mortgage Corporation
 
5.00%
 
11/38
 
494

4,101

 
Federal Home Loan Mortgage Corporation
 
5.50%
 
1/39 - 9/39
 
403

1,703

 
Federal National Mortgage Association
 
6.00%
 
1/40
 
301

1,507

 
Federal Home Loan Mortgage Corporation
 
4.50%
 
7/43
 
294

3,444

 
Government National Mortgage Association
 
5.00%
 
5/37 - 5/41
 
228

2,363

 
Federal National Mortgage Association
 
3.00%
 
9/41
 
225

893

 
Government National Mortgage Association
 
4.75%
 
7/40
 
180

 
 
 
 
 
 
 
 
11,843

TBA - Fixed Rate Agency Securities (49.22%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
120,155

 
Government National Mortgage Association (30 Year)
 
5.00%
 
10/18
 
125,444

70,409

 
Government National Mortgage Association (30 Year)
 
4.50%
 
10/18
 
72,757

66,903

 
Federal National Mortgage Association (30 Year)
 
4.00%
 
10/18
 
67,554

21,540

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
10/18
 
21,200

10,579

 
Government National Mortgage Association (30 Year)
 
5.50%
 
10/18
 
11,159

3,740

 
Government National Mortgage Association (30 Year)
 
4.00%
 
10/18
 
3,802


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

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
1,660

 
Federal Home Loan Mortgage Corporation (15 Year)
 
3.00%
 
10/18
 
$
1,636

 
 
 
 
 
 
 
 
303,552

Total Fixed Rate Agency Securities (Cost $1,193,517)
 
 
 
 
 
1,165,848

Floating Rate Agency Securities (13.32%)
 
 
 
 
 
 
Principal and Interest - Floating Rate Agency Securities (9.88%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
53,067

 
Government National Mortgage Association Pools
 
4.40% - 4.67%
 
7/61 - 12/67
 
55,396

3,555

 
Federal National Mortgage Association Pools
 
2.70% - 4.69%
 
9/35 - 5/45
 
3,684

1,822

 
Federal Home Loan Mortgage Corporation Pools
 
3.49% - 4.72%
 
6/37 - 5/44
 
1,855

 
 
 
 
 
 
 
 
60,935

Interest Only - Floating Rate Agency Securities (3.44%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
263,738

 
Other Government National Mortgage Association
 
0.40% - 5.94%
 
6/31 - 10/66
 
12,099

80,590

 
Other Federal National Mortgage Association
 
1.12% - 5.50%
 
6/33 - 11/46
 
5,543

52,492

 
Other Federal Home Loan Mortgage Corporation
 
1.61% - 4.49%
 
3/36 - 1/44
 
3,432

6,544

 
Resecuritization of Government National Mortgage Association (d)
 
2.38%
 
8/60
 
133

 
 
 
 
 
 
 
 
21,207

Total Floating Rate Agency Securities (Cost $85,774)
 
 
 
 
 
82,142

Total Agency Securities (Cost $1,279,291)
 
 
 
 
 
1,247,990

Private Label Securities (64.77%)
 
 
 
 
 
 
Principal and Interest - Private Label Securities (63.57%)
 
 
 
 
 
 
North America (30.44%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
245,943

 
Various
 
0.00% - 26.31%
 
5/19 - 3/47
 
176,113

Mortgage-related—Commercial
 
 
 
 
 
 
33,819

 
Various
 
2.80% - 3.44%
 
3/49 - 5/61
 
11,641

Total North America (Cost $176,842)
 
 
 
 
 
187,754

Europe (33.13%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
221,257

 
Various
 
0.00% - 5.50%
 
6/25 - 12/61
 
188,043

Mortgage-related—Commercial
 
 
 
 
 
 
25,841

 
Various
 
0.38% - 4.20%
 
10/20 - 8/45
 
16,250

Total Europe (Cost $205,424)
 
 
 
 
 
204,293

Total Principal and Interest - Private Label Securities (Cost $382,266)
 
 
 
 
 
392,047

 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
6
Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT SEPTEMBER 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 (1.20%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
32,210

 
Various
 
 0.00% - 2.00%
 
 12/30 - 9/47
 
$
4,110

Mortgage-related—Commercial
 
 
 
 
 
 
41,707

 
Various
 
 1.25% - 2.00%
 
 3/49 - 5/61
 
3,282

Total Interest Only - Private Label Securities (Cost $5,361)
 
 
 
 
 
7,392

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 $387,818)
 
 
 
 
 
399,439

Total Mortgage-Backed Securities (Cost $1,667,109)
 
 
 
 
 
1,647,429

Collateralized Loan Obligations (25.31%)
 
 
 
 
 
 
North America (23.79%) (e)
 
 
 
 
 
 
286,284

 
Various
 
0.00% - 10.09%
 
12/18 - 10/2118
 
146,713

Total North America (Cost $151,155)
 
 
 
 
 
146,713

Europe (1.52%)
 
 
 
 
 
 
9,993

 
Various
 
7.95%
 
4/24
 
9,374

Total Europe (Cost $9,406)
 
 
 
 
 
9,374

Total Collateralized Loan Obligations (Cost $160,561)
 
 
 
 
 
156,087

Consumer Loans and Asset-backed Securities backed by Consumer Loans (33.16%) (f)
 
 
 
 
 
 
North America (33.01%)
 
 
 
 
 
 
Consumer (g) (h)
 
 
 
 
 
 
224,476

 
Various
 
5.31% - 76.50%
 
10/18 - 9/23
 
203,585

Total North America (Cost $207,837)
 
 
 
 
 
203,585

Europe (0.15%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
3,588

 
Various
 
—%
 
12/30
 
919

Total Europe (Cost $825)
 
 
 
 
 
919

Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $208,662)
 
 
 
 
 
204,504

 
 
 
 
 
 
 
 
 

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

Current Principal/Number of Properties
 
 
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Corporate Debt (8.71%)
 
 
 
 
 
 
North America (6.86%)
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
$
3,224

 
Various
 
3.55% - 7.63%
 
10/21 - 3/22
 
$
3,201

Communications
 
 
 
 
 
 
4,241

 
Various
 
0.00% - 11.50%
 
4/20 - 5/22
 
4,522

Consumer
 
 
 
 
 
 
13,331

 
Various
 
3.55% - 12.81%
 
3/20 - 3/28
 
13,345

Energy
 
 
 
 
 
 
2,080

 
Various
 
4.63%
 
9/21
 
2,063

Financial
 
 
 
 
 
 
355

 
Various
 
5.00%
 
8/22
 
363

Industrial
 
 
 
 
 
 
11,995

 
Various
 
3.25% - 5.40%
 
4/21 - 1/28
 
11,789

Technology
 
 
 
 
 
 
7,612

 
Various
 
3.88% - 7.32%
 
5/20 - 5/22
 
7,010

Total North America (Cost $39,487)
 
 
 
 
 
42,293

Europe (1.85%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
20,807

 
Various
 
—%
 
12/18
 
52

Financial
 
 
 
 
 
 
11,782

 
Various
 
0.00% - 16.00%
 
10/20 - 11/22
 
11,373

Total Europe (Cost $12,670)
 
 
 
 
 
11,425

Total Corporate Debt (Cost $52,157)
 
 
 
 
 
53,718

Secured Notes (1.80%) (n)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
17,847

 
Various
 
5.00%
 
11/57
 
11,065

Total Secured Notes (Cost $11,766)
 
 
 
 
 
11,065

Mortgage Loans (84.04%) (f)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Commercial (j)
 
 
 
 
 
 
126,334

 
Various
 
3.73% - 13.61%
 
10/18 - 10/37
 
125,808

Mortgage-related—Residential (k) (m)
 
 
 
 
 
 
391,816

 
Various
 
2.00% - 15.00%
 
2/19 - 9/58
 
392,460

Total Mortgage Loans (Cost $515,877)
 
 
 
 
 
518,268

Real Estate Owned (5.67%) (f) (l)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Real estate-related
 
 
 
 
 
 
5

 
Single-Family Houses
 
 
 
 
 
1,386

18

 
Commercial Properties
 
 
 
 
 
33,558

Total Real Estate Owned (Cost $33,867)
 
 
 
 
 
34,944

 
 
 
 
 
 
 

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

Current Principal/Number of Shares
 
 
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Corporate Equity Investments (6.46%)
 
 
 
 
 
 
North America (6.46%)
 
 
 
 
 
 
Communications
 
 
 
 
 
 
7

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
$
111

Consumer
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company (i)
 
 
 
 
 
6,263

36

 
Exchange Traded Equity
 
 
 
 
 
60

1,540

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
2

Diversified
 
 
 
 
 
 
144

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
1,455

Financial
 
 
 
 
 
 
49

 
Exchange Traded Equity
 
 
 
 
 
609

Mortgage-related—Commercial (n)
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company
 
 
 
 
 
1,149

Mortgage-related—Residential (n)
 
 
 
 
 
 
23

 
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
 
 
 
 
 
27,357

9,818

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

Total North America (Cost $39,963)
 
 
 
 
 
39,820

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 $39,967)
 
 
 
 
 
39,824

U.S. Treasury Securities (0.69%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Government
 
 
 
 
 
 
$
1,995

 
U.S. Treasury Note
 
2.25%
 
11/27
 
1,868

882

 
U.S. Treasury Note
 
2.75%
 
7/23
 
874

806

 
U.S. Treasury Note
 
2.75%
 
2/28
 
786

704

 
U.S. Treasury Note
 
2.63%
 
8/20
 
702

Total U.S. Treasury Securities (Cost $4,257)
 
 
 
 
 
4,230

Total Long Investments (Cost $2,694,223)
 
 
 
 
 
$
2,670,069



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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (26.01%) (a) (b) (o)
 
 
 
 
 
 
$
50,313

 
JP Morgan Securities LLC
 
2.28%
 
10/18
 
$
50,313

 
 
Collateralized by Par Value $50,000
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 5/23
 
 
 
 
 
 
42,282

 
Bank of America Securities
 
2.25%
 
10/18
 
42,282

 
 
Collateralized by Par Value $42,548
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 7/23
 
 
 
 
 
 
23,329

 
JP Morgan Securities LLC
 
2.03%
 
10/18
 
23,329

 
 
Collateralized by Par Value $23,329
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.88%
 
 
 
 
 
 
 
 
Maturity Date 8/28
 
 
 
 
 
 
10,536

 
JP Morgan Securities LLC
 
(0.55)%
 
12/18
 
10,536

 
 
Collateralized by Par Value $10,102
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.75%,
 
 
 
 
 
 
 
 
Maturity Date 7/21
 
 
 
 
 
 
9,534

 
JP Morgan Securities LLC
 
(0.55)%
 
12/18
 
9,534

 
 
Collateralized by Par Value $9,161
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
5,676

 
CILO 2016-LD1 Holdings LLC (p)
 
3.98%
 
12/18
 
5,676

 
 
Collateralized by Par Value $9,511
 
 
 
 
 
 
 
 
Exchange-Traded Debt, Coupon 5.50%,
 
 
 
 
 
 
 
 
Maturity Date 7/22
 
 
 
 
 
 
3,020

 
Bank of America Securities
 
2.30%
 
10/18
 
3,020

 
 
Collateralized by Par Value $3,094
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 2/28
 
 
 
 
 
 
2,732

 
Barclays Capital Inc
 
(0.25)%
 
10/18
 
2,732

 
 
Collateralized by Par Value $2,495
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.63%,
 
 
 
 
 
 
 
 
Maturity Date 10/23
 
 
 
 
 
 
2,029

 
Societe Generale
 
(1.15)%
 
10/18
 
2,029

 
 
Collateralized by Par Value $1,850
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/24
 
 
 
 
 
 
2,025

 
RBC Capital Markets LLC
 
1.60%
 
10/18
 
2,025

 
 
Collateralized by Par Value $1,985
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%,
 
 
 
 
 
 
 
 
Maturity Date 11/23
 
 
 
 
 
 
1,358

 
Bank of America Securities
 
2.30%
 
10/18
 
1,358

 
 
Collateralized by Par Value $1,355
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 4/23
 
 
 
 
 
 

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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
1,342

 
Barclays Capital Inc
 
—%
 
10/18
 
$
1,342

 
 
Collateralized by Par Value $1,295
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.88%,
 
 
 
 
 
 
 
 
Maturity Date 10/20
 
 
 
 
 
 
1,139

 
CS First Boston
 
(2.00)%
 
10/18
 
1,139

 
 
Collateralized by Par Value $1,110
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%,
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
788

 
RBC Capital Markets LLC
 
1.75%
 
10/18
 
788

 
 
Collateralized by Par Value $745
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%,
 
 
 
 
 
 
 
 
Maturity Date 9/24
 
 
 
 
 
 
741

 
Bank of America Securities
 
2.30%
 
10/18
 
741

 
 
Collateralized by Par Value $770
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 3.00%,
 
 
 
 
 
 
 
 
Maturity Date 2/48
 
 
 
 
 
 
675

 
Bank of America Securities
 
2.15%
 
10/18
 
675

 
 
Collateralized by Par Value $680
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 8/23
 
 
 
 
 
 
535

 
Barclays Capital Inc
 
(2.00)%
 
10/18
 
535

 
 
Collateralized by Par Value $580
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
525

 
RBC Capital Markets LLC
 
1.80%
 
10/18
 
525

 
 
Collateralized by Par Value $500
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.75%,
 
 
 
 
 
 
 
 
Maturity Date 10/22
 
 
 
 
 
 
470

 
RBC Capital Markets LLC
 
1.85%
 
10/18
 
470

 
 
Collateralized by Par Value $470
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%,
 
 
 
 
 
 
 
 
Maturity Date 4/24
 
 
 
 
 
 
442

 
Bank of America Securities
 
2.30%
 
10/18
 
442

 
 
Collateralized by Par Value $448
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 2/25
 
 
 
 
 
 
252

 
Bank of America Securities
 
2.30%
 
10/18
 
252

 
 
Collateralized by Par Value $275
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 2.75%,
 
 
 
 
 
 
 
 
Maturity Date 8/47
 
 
 
 
 
 
243

 
Barclays Capital Inc
 
(1.75)%
 
10/18
 
243

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

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

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
239

 
RBC Capital Markets LLC
 
1.80%
 
10/18
 
$
239

 
 
Collateralized by Par Value $255
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.70%,
 
 
 
 
 
 
 
 
Maturity Date 4/23
 
 
 
 
 
 
197

 
RBC Capital Markets LLC
 
1.25%
 
10/18
 
197

 
 
Collateralized by Par Value $205
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.25%,
 
 
 
 
 
 
 
 
Maturity Date 6/23
 
 
 
 
 
 
Total Repurchase Agreements (Cost $160,468)
 
 
 
 
 
$
160,422

Investments Sold Short (-112.76%) (a) (b)
 
 
 
 
 
 
TBA - Fixed Rate Agency Securities Sold Short (-91.15%) (q)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
(127,460
)
 
Government National Mortgage Association (30 year)
 
3.50%
 
10/18
 
$
(126,713
)
(92,883
)
 
Government National Mortgage Association (30 year)
 
4.00%
 
10/18
 
(94,440
)
(84,000
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
11/18
 
(84,715
)
(76,912
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
10/18
 
(75,689
)
(32,000
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
11/18
 
(33,548
)
(28,320
)
 
Federal National Mortgage Association (15 year)
 
3.50%
 
10/18
 
(28,465
)
(25,797
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
10/18
 
(26,050
)
(25,490
)
 
Federal National Mortgage Association (15 year)
 
3.00%
 
10/18
 
(25,176
)
(23,631
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
10/18
 
(24,388
)
(17,457
)
 
Federal National Mortgage Association (30 year)
 
3.00%
 
10/18
 
(16,703
)
(13,610
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
10/18
 
(14,040
)
(6,860
)
 
Federal National Mortgage Association (30 year)
 
5.50%
 
10/18
 
(7,325
)
(4,617
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
10/18
 
(4,846
)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$564,232)
 
 
 
(562,098
)
Government Debt Sold Short (-11.74%)
 
 
 
 
North America (-8.56%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
(36,380
)
 
U.S. Treasury Note
 
2.88%
 
9/23
 
(36,259
)
(9,414
)
 
U.S. Treasury Note
 
2.88%
 
8/28
 
(9,271
)
(2,300
)
 
U.S. Treasury Note
 
2.75%
 
5/23
 
(2,282
)
(1,355
)
 
U.S. Treasury Note
 
2.75%
 
4/23
 
(1,344
)
(1,004
)
 
U.S. Treasury Note
 
2.88%
 
5/28
 
(989
)
(770
)
 
U.S. Treasury Bond
 
3.00%
 
2/48
 
(742
)
(680
)
 
U.S. Treasury Note
 
2.75%
 
8/23
 
(674
)
(562
)
 
U.S. Treasury Note
 
2.63%
 
6/23
 
(554
)
(448
)
 
U.S. Treasury Note
 
2.75%
 
2/25
 
(442
)
(275
)
 
U.S. Treasury Bond
 
2.75%
 
8/47
 
(252
)
Total North America (Proceeds -$52,884)
 
 
 
 
 
(52,809
)
 
 
 
 
 
 
 

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

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
Europe (-3.18%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
$
(19,263
)
 
European Sovereign Bond
 
0.75% - 2.75%
 
4/19 - 7/21
 
$
(19,633
)
Total Europe (Proceeds -$19,605)
 
 
 
 
 
(19,633
)
Total Government Debt Sold Short (Proceeds -$72,489)
 
 
 
(72,442
)
Common Stock Sold Short (-3.80%)
 
 
 
 
North America
 
 
 
 
 
 
Financial
 
 
 
 
 
 
(649
)
 
Exchange Traded Equity
 
 
 
 
 
(23,407
)
Total Common Stock Sold Short (Proceeds -$23,855)
 
 
 
(23,407
)
Corporate Debt Sold Short (-6.07%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
$
(2,080
)
 
Various
 
3.45%
 
6/27
 
(1,982
)
Communications
 
 
 
 
 
 
(9,275
)
 
Various
 
3.40% - 7.50%
 
9/23 - 3/27
 
(9,327
)
Consumer
 
 
 
 
 
 
(13,972
)
 
Various
 
4.50% - 5.88%
 
10/20 - 11/24
 
(14,041
)
Energy
 
 
 
 
 
 
(3,810
)
 
Various
 
4.50% - 8.25%
 
4/22 - 6/27
 
(3,672
)
Financial
 
 
 
 
 
 
(2,785
)
 
Various
 
3.75% - 5.13%
 
9/24 - 6/27
 
(2,854
)
Industrial
 
 
 
 
 
 
(3,670
)
 
Various
 
3.55% - 5.90%
 
10/24 - 2/27
 
(3,677
)
Technology
 
 
 
 
 
 
(905
)
 
Various
 
4.70%
 
4/23
 
(825
)
Utilities
 
 
 
 
 
 
(940
)
 
Various
 
7.25%
 
5/26
 
(1,024
)
Total Corporate Debt Sold Short (Proceeds -$37,110)
 
 
 
 
 
(37,402
)
Total Investments Sold Short (Proceeds -$697,686)
 
 
 
$
(695,349
)

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

 
Primary Risk
Exposure
 
Notional Value
 
Range of
Expiration
Dates
 
Fair Value
(In thousands)
 
 
 
 
 
 
Expressed in U.S.Dollars
Financial Derivatives–Assets (5.08%) (a) (b)
 
 
 
 
 
 
 
Swaps (4.78%)
 
 
 
 
 
 
 
Long Swaps:
 
 
 
 
 
 
 
Credit Default Swaps on Corporate Bond Indices (r)
Credit
 
$
47,501

 
6/19 - 6/23
 
$
1,596

Credit Default Swaps on Asset-Backed Indices (r)
Credit
 
920

 
12/37 - 11/59