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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 March 31, 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 May 4, 2018
Common Shares Representing Limited Liability Company Interests, no par value
 
30,184,052


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)

 
March 31,
2018
 
December 31,
2017
(In thousands except share amounts)
Expressed in U.S. Dollars
ASSETS
 
 
 
Cash and cash equivalents
$
25,715

 
$
47,233

Restricted cash
425

 
425

Investments, financial derivatives, and repurchase agreements:
 
 
 
Investments, at fair value (Cost – $2,347,459 and $2,071,754)
2,343,738

 
2,071,707

Financial derivatives–assets, at fair value (Net cost – $25,391 and $31,474)
30,038

 
28,165

Repurchase agreements, at fair value (Cost – $132,730 and $155,109)
132,538

 
155,949

Total investments, financial derivatives, and repurchase agreements
2,506,314

 
2,255,821

Due from brokers
95,549

 
140,404

Receivable for securities sold and financial derivatives
522,126

 
476,000

Interest and principal receivable
32,488

 
29,688

Other assets
13,729

 
43,770

Total Assets
$
3,196,346

 
$
2,993,341

LIABILITIES
 
 
 
Investments and financial derivatives:
 
 
 
Investments sold short, at fair value (Proceeds – $687,783 and $640,202)
$
691,962

 
$
642,240

Financial derivatives–liabilities, at fair value (Net proceeds – $22,202 and $27,463)
34,925

 
36,273

Total investments and financial derivatives
726,887

 
678,513

Reverse repurchase agreements
1,330,943

 
1,209,315

Due to brokers
21,054

 
1,721

Payable for securities purchased and financial derivatives
225,519

 
202,703

Other secured borrowings (Proceeds – $71,880 and $57,909)
71,880

 
57,909

Other secured borrowings, at fair value (Proceeds – $114,559 and $125,105)
113,775

 
125,105

Senior notes, net
84,837

 
84,771

Accounts payable and accrued expenses
3,876

 
3,885

Base management fee payable to affiliate
1,978

 
2,113

Interest and dividends payable
5,168

 
5,904

Other liabilities
479

 
441

Total Liabilities
2,586,396

 
2,372,380

EQUITY
609,950

 
620,961

TOTAL LIABILITIES AND EQUITY
$
3,196,346

 
$
2,993,341

Commitments and contingencies (Note 17)

 

ANALYSIS OF EQUITY:
 
 
 
Common shares, no par value, 100,000,000 shares authorized;
 
 
 
(30,392,041 and 31,335,938 shares issued and outstanding)
$
584,005

 
$
589,722

Additional paid-in capital – Long term incentive plan units
10,469

 
10,377

Total Shareholders' Equity
594,474

 
600,099

Non-controlling interests
15,476

 
20,862

Total Equity
$
609,950

 
$
620,961

PER SHARE INFORMATION:
 
 
 
Common shares
$
19.56

 
$
19.15


See Notes to Consolidated Financial Statements
3

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018
(UNAUDITED)

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Cash Equivalents—Money Market Funds (0.22%) (a) (b)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Funds
 
 
 
 
 
 
$
1,348

 
Various
 
1.55% - 1.61%
 
 
 
$
1,348

Total Cash Equivalents—Money Market Funds (Cost $1,348)
 
 
 
 
 
$
1,348

Long Investments (384.25%) (a) (b) (ad)
 
 
 
 
 
 
Mortgage-Backed Securities (236.69%)
 
 
 
 
 
 
Agency Securities (183.88%) (c)
 
 
 
 
 
 
Fixed Rate Agency Securities (170.09%)
 
 
 
 
 
 
Principal and Interest - Fixed Rate Agency Securities (136.19%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
138,722

 
Federal National Mortgage Association Pools (30 Year)
 
4.00%
 
9/39 - 3/48
 
$
143,229

116,328

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.00%
 
11/41 - 3/48
 
120,065

96,173

 
Federal National Mortgage Association Pools (30 Year)
 
3.50%
 
9/42 - 2/48
 
96,783

75,488

 
Federal National Mortgage Association Pools (30 Year)
 
4.50%
 
10/41 - 3/48
 
79,727

65,694

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
4.50%
 
9/43 - 4/48
 
69,290

62,193

 
Government National Mortgage Association Pools (30 Year)
 
4.00%
 
7/45 - 4/48
 
64,185

49,623

 
Federal National Mortgage Association Pools (15 Year)
 
3.50%
 
3/28 - 3/32
 
50,828

40,079

 
Government National Mortgage Association Pools (30 Year)
 
3.50%
 
12/42 - 2/48
 
40,418

28,596

 
Federal National Mortgage Association Pools (30 Year)
 
5.00%
 
10/35 - 11/44
 
30,711

25,588

 
Government National Mortgage Association Pools (30 Year)
 
4.50%
 
9/46 - 4/48
 
26,844

21,324

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.50%
 
1/42 - 3/48
 
21,491

12,133

 
Federal National Mortgage Association Pools (15 Year)
 
3.00%
 
4/30 - 9/32
 
12,157

9,129

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.50%
 
9/28 - 12/32
 
9,343

8,596

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.50%
 
2/30 - 9/46
 
8,661

7,133

 
Federal National Mortgage Association Pools (15 Year)
 
4.00%
 
6/26 - 5/31
 
7,401

5,871

 
Government National Mortgage Association Pools (30 Year)
 
5.00%
 
2/48 - 4/48
 
6,220

5,184

 
Federal National Mortgage Association Pools (Other)
 
5.00%
 
9/43 - 1/44
 
5,549

4,954

 
Federal National Mortgage Association Pools (Other)
 
4.00%
 
6/37 - 12/47
 
5,078

3,743

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
3.00%
 
7/43 - 1/47
 
3,667

2,894

 
Government National Mortgage Association Pools (30 Year)
 
3.75%
 
7/47
 
2,936

2,661

 
Federal National Mortgage Association Pools (15 Year)
 
4.50%
 
4/26
 
2,817

2,703

 
Federal National Mortgage Association Pools (Other)
 
4.50%
 
5/41
 
2,796

2,751

 
Federal National Mortgage Association Pools (30 Year)
 
3.00%
 
1/42 - 6/45
 
2,703

2,552

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
4.50%
 
5/44
 
2,702

2,322

 
Federal National Mortgage Association Pools (30 Year)
 
5.50%
 
10/39
 
2,532

2,480

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
3.00%
 
 4/30
 
2,482

1,613

 
Federal National Mortgage Association Pools (20 Year)
 
4.00%
 
12/33
 
1,678

1,437

 
Federal Home Loan Mortgage Corporation Pools (15 Year)
 
4.00%
 
2/29
 
1,484

1,200

 
Federal National Mortgage Association Pools (30 Year)
 
6.00%
 
9/39 - 2/40
 
1,346

1,151

 
Federal Home Loan Mortgage Corporation Pools (Other)
 
3.00%
 
6/28 - 3/30
 
1,145

1,012

 
Federal Home Loan Mortgage Corporation Pools (20 Year)
 
4.50%
 
12/33
 
1,072


See Notes to Consolidated Financial Statements
4

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
$
860

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
6.00%
 
5/40
 
$
956

635

 
Government National Mortgage Association Pools (Other)
 
3.50%
 
10/30 - 2/32
 
630

485

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.00%
 
7/44
 
518

470

 
Federal Home Loan Mortgage Corporation Pools (30 Year)
 
5.50%
 
8/33 - 11/38
 
511

477

 
Federal National Mortgage Association Pools (Other)
 
3.50%
 
4/26
 
482

148

 
Government National Mortgage Association Pools (Other)
 
3.00%
 
6/30
 
144

111

 
Federal National Mortgage Association Pools (30 Year)
 
3.28%
 
6/42
 
108

 
 
 
 
 
 
 
 
830,689

Interest Only - Fixed Rate Agency Securities (2.20%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
20,827

 
Government National Mortgage Association
 
4.00%
 
2/45 - 6/45
 
3,795

13,447

 
Federal National Mortgage Association
 
4.50%
 
12/20 - 6/44
 
1,545

5,545

 
Government National Mortgage Association
 
6.00%
 
6/38 - 8/39
 
1,145

5,161

 
Government National Mortgage Association
 
4.50%
 
2/41 - 7/44
 
927

3,921

 
Federal National Mortgage Association
 
5.50%
 
10/39
 
873

4,342

 
Government National Mortgage Association
 
5.50%
 
11/43
 
771

4,167

 
Federal Home Loan Mortgage Corporation
 
3.50%
 
12/32
 
619

4,104

 
Federal National Mortgage Association
 
4.00%
 
5/39 - 11/43
 
618

6,625

 
Federal Home Loan Mortgage Corporation
 
5.00%
 
11/38
 
570

3,635

 
Federal National Mortgage Association
 
5.00%
 
1/38 - 5/40
 
529

17,842

 
Government National Mortgage Association
 
1.50%
 
6/40
 
497

4,741

 
Federal Home Loan Mortgage Corporation
 
5.50%
 
1/39 - 9/39
 
466

1,921

 
Federal National Mortgage Association
 
6.00%
 
1/40
 
340

1,609

 
Federal Home Loan Mortgage Corporation
 
4.50%
 
7/43
 
286

2,577

 
Federal National Mortgage Association
 
3.00%
 
9/41
 
245

963

 
Government National Mortgage Association
 
4.75%
 
7/40
 
185

985

 
Government National Mortgage Association
 
5.00%
 
5/37
 
40

 
 
 
 
 
 
 
 
13,451

TBA - Fixed Rate Agency Securities (31.70%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
80,419

 
Government National Mortgage Association (30 Year)
 
4.50%
 
4/18
 
83,601

51,448

 
Government National Mortgage Association (30 Year)
 
4.00%
 
4/18
 
52,883

28,540

 
Federal Home Loan Mortgage Corporation (30 Year)
 
3.50%
 
4/18
 
28,607

17,070

 
Government National Mortgage Association (30 Year)
 
4.50%
 
5/18
 
17,726

4,825

 
Government National Mortgage Association (30 Year)
 
3.00%
 
4/18
 
4,750

3,060

 
Government National Mortgage Association (30 Year)
 
5.00%
 
5/18
 
3,209

1,660

 
Federal Home Loan Mortgage Corporation (15 Year)
 
3.00%
 
4/18
 
1,657

890

 
Government National Mortgage Association (30 Year)
 
3.50%
 
4/18
 
899

 
 
 
 
 
 
 
 
193,332

Total Fixed Rate Agency Securities (Cost $1,055,098)
 
 
 
 
 
1,037,472

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
5

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Notional Value
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Floating Rate Agency Securities (13.79%)
 
 
 
 
 
 
Principal and Interest - Floating Rate Agency Securities (10.67%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
54,193

 
Government National Mortgage Association Pools
 
4.41% - 4.68%
 
7/61 - 12/67
 
$
57,825

4,710

 
Federal National Mortgage Association Pools
 
2.79% - 3.69%
 
9/35 - 5/45
 
4,878

2,330

 
Federal Home Loan Mortgage Corporation Pools
 
3.49% - 4.72%
 
6/37 - 5/44
 
2,392

 
 
 
 
 
 
 
 
65,095

Interest Only - Floating Rate Agency Securities (3.12%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
293,069

 
Other Government National Mortgage Association
 
0.40% - 5.01%
 
3/37 - 10/66
 
14,352

29,079

 
Other Federal National Mortgage Association
 
3.98% - 5.68%
 
6/33 - 12/41
 
3,119

10,794

 
Other Federal Home Loan Mortgage Corporation
 
4.22% - 4.85%
 
3/36 - 4/40
 
1,266

9,253

 
Resecuritization of Government National Mortgage Association (d)
 
2.92%
 
8/60
 
262

 
 
 
 
 
 
 
 
18,999

Total Floating Rate Agency Securities (Cost $86,175)
 
 
 
 
 
84,094

Total Agency Securities (Cost $1,141,273)
 
 
 
 
 
1,121,566

Private Label Securities (52.81%)
 
 
 
 
 
 
Principal and Interest - Private Label Securities (51.62%)
 
 
 
 
 
 
North America (28.46%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
222,075

 
Various
 
0.00% - 28.37%
 
5/19 - 7/46
 
164,667

Mortgage-related—Commercial
 
 
 
 
 
 
39,904

 
Various
 
2.31% - 4.25%
 
8/46 - 11/54
 
8,920

Total North America (Cost $165,111)
 
 
 
 
 
173,587

Europe (23.16%)
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
148,194

 
Various
 
0.00% - 5.50%
 
6/25 - 12/50
 
119,791

Mortgage-related—Commercial
 
 
 
 
 
 
33,868

 
Various
 
0.37% - 5.05%
 
10/20 - 8/45
 
21,500

Total Europe (Cost $132,644)
 
 
 
 
 
141,291

Total Principal and Interest - Private Label Securities (Cost $297,755)
 
 
 
 
 
314,878

Interest Only - Private Label Securities (1.19%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
35,352

 
Various
 
 0.00% - 2.00%
 
 12/30 - 9/47
 
4,518

Mortgage-related—Commercial
 
 
 
 
 
 
37,641

 
Various
 
 1.25% - 2.00%
 
 3/49 - 12/49
 
2,746

Total Interest Only - Private Label Securities (Cost $4,956)
 
 
 
 
 
7,264

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
6

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (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
 
 
 
 
 
 
$
72,556

 
Various
 
—%
 
6/37
 
$

Mortgage-related—Commercial
 
 
 
 
 
 

 
Various
 
—%
 
7/45 - 12/49
 

Total Other Private Label Securities (Cost $196)
 
 
 
 
 

Total Private Label Securities (Cost $302,907)
 
 
 
 
 
322,142

Total Mortgage-Backed Securities (Cost $1,444,180)
 
 
 
 
 
1,443,708

Collateralized Loan Obligations (37.24%)
 
 
 
 
 
 
North America (33.20%) (e)
 
 
 
 
 
 
338,883

 
Various
 
0.00% - 10.04%
 
7/18 - 11/57
 
202,491

Total North America (Cost $208,654)
 
 
 
 
 
202,491

Europe (4.04%)
 
 
 
 
 
 
25,365

 
Various
 
3.23% - 7.95%
 
4/24 - 1/27
 
24,665

Total Europe (Cost $23,830)
 
 
 
 
 
24,665

Total Collateralized Loan Obligations (Cost $232,484)
 
 
 
 
 
227,156

Consumer Loans and Asset-backed Securities backed by Consumer Loans (24.34%) (f)
 
 
 
 
 
 
North America (23.37%)
 
 
 
 
 
 
Consumer (g) (h)
 
 
 
 
 
 
159,258

 
Various
 
5.31% - 76.50%
 
4/18 - 3/23
 
142,511

Total North America (Cost $147,743)
 
 
 
 
 
142,511

Europe (0.97%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
3,800

 
Various
 
—%
 
8/24 - 12/30
 
5,911

Total Europe (Cost $1,005)
 
 
 
 
 
5,911

Total Consumer Loans and Asset-backed Securities backed by Consumer Loans (Cost $148,748)
 
 
 
 
 
148,422

 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
7

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Properties
 
 
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Corporate Debt (15.12%)
 
 
 
 
 
 
North America (12.82%)
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
$
8,435

 
Various
 
3.55% - 6.88%
 
1/22 - 3/26
 
$
8,460

Communications
 
 
 
 
 
 
17,388

 
Various
 
5.13% - 11.88%
 
4/20 - 5/22
 
17,734

Consumer
 
 
 
 
 
 
39,127

 
Various
 
2.60% - 10.27%
 
1/19 - 12/34
 
39,840

Energy
 
 
 
 
 
 
5,550

 
Various
 
4.63% - 9.25%
 
1/19 - 8/25
 
5,556

Financial
 
 
 
 
 
 
355

 
Various
 
5.00%
 
8/22
 
365

Industrial
 
 
 
 
 
 
2,785

 
Various
 
3.75% - 5.88%
 
6/20 - 12/21
 
2,824

Technology
 
 
 
 
 
 
3,570

 
Various
 
3.63% - 4.13%
 
10/21 - 5/22
 
3,386

Total North America (Cost $78,315)
 
 
 
 
 
78,165

Europe (2.30%)
 
 
 
 
 
 
Consumer
 
 
 
 
 
 
20,754

 
Various
 
—%
 
6/18
 
52

Financial
 
 
 
 
 
 
13,395

 
Various
 
0.00% - 16.00%
 
10/20 - 11/22
 
12,853

Industrial
 
 
 
 
 
 
1,145

 
Various
 
2.21%
 
3/21
 
1,128

Total Europe (Cost $14,401)
 
 
 
 
 
14,033

Total Corporate Debt (Cost $92,716)
 
 
 
 
 
92,198

Mortgage Loans (57.39%) (f)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Commercial (j)
 
 
 
 
 
 
111,903

 
Various
 
3.14% - 13.17%
 
6/18 - 10/37
 
109,294

Mortgage-related—Residential (k) (m)
 
 
 
 
 
 
242,085

 
Various
 
2.00% - 12.27%
 
6/21 - 8/57
 
240,781

Total Mortgage Loans (Cost $348,149)
 
 
 
 
 
350,075

Real Estate Owned (4.77%) (f) (l)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Real estate-related
 
 
 
 
 
 
5

 
Single-Family Houses
 
 
 
 
 
870

12

 
Commercial Property
 
 
 
 
 
28,240

Total Real Estate Owned (Cost $28,363)
 
 
 
 
 
29,110

 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
8

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Shares
 
 
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Corporate Equity Investments (8.34%)
 
 
 
 
 
 
North America (8.34%)
 
 
 
 
 
 
Asset-Backed Securities
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company (i)
 
 
 
 
 
$
9,806

Communications
 
 
 
 
 
 
7

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
418

Consumer
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company (i)
 
 
 
 
 
5,907

1,540

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
6

Diversified
 
 
 
 
 
 
156

 
Non-Exchange Traded Corporate Equity
 
 
 
 
 
2,680

Mortgage-related—Commercial (n)
 
 
 
 
 
 
 n/a

 
Non-Controlling Equity Interest in Limited Liability Company
 
 
 
 
 
1,833

Mortgage-related—Residential (n)
 
 
 
 
 
 
23

 
Non-Exchange Traded Preferred Equity Investment in Mortgage Originators
 
 
 
 
 
27,401

9,818

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

Total North America (Cost $50,637)
 
 
 
 
 
50,865

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 $50,641)
 
 
 
 
 
50,869

U.S. Treasury Securities (0.36%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Government
 
 
 
 
 
 
$
2,287

 
U.S. Treasury Note
 
2.00% - 2.25%
 
1/21 - 11/27
 
2,200

Total U.S. Treasury Securities (Cost $2,178)
 
 
 
 
 
2,200

Total Long Investments (Cost $2,347,459)
 
 
 
 
 
$
2,343,738



See Notes to Consolidated Financial Statements
9

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Repurchase Agreements (21.73%) (a) (b) (o)
 
 
 
 
 
 
$
33,153

 
JP Morgan Securities LLC
 
1.65%
 
4/18
 
$
33,153

 
 
Collateralized by Par Value $33,320
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.50%
 
 
 
 
 
 
 
 
Maturity Date 1/25
 
 
 
 
 
 
17,274

 
JP Morgan Securities LLC
 
1.55%
 
4/18
 
17,274

 
 
Collateralized by Par Value $17,167
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 2/28
 
 
 
 
 
 
17,052

 
JP Morgan Securities LLC
 
(0.52)%
 
4/18
 
17,052

 
 
Collateralized by Par Value $16,915
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.25%
 
 
 
 
 
 
 
 
Maturity Date 4/18
 
 
 
 
 
 
14,300

 
Bank of America Securities
 
1.65%
 
4/18
 
14,300

 
 
Collateralized by Par Value $14,372
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.38%
 
 
 
 
 
 
 
 
Maturity Date 1/23
 
 
 
 
 
 
11,095

 
JP Morgan Securities LLC
 
(0.76)%
 
4/18
 
11,095

 
 
Collateralized by Par Value $10,700
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 0.75%
 
 
 
 
 
 
 
 
Maturity Date 7/21
 
 
 
 
 
 
10,331

 
JP Morgan Securities LLC
 
(0.56)%
 
4/18
 
10,331

 
 
Collateralized by Par Value $9,704
 
 
 
 
 
 
 
 
Sovereign Government Bond, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 4/19
 
 
 
 
 
 
5,655

 
CILO 2016-LD1 Holdings LLC (p)
 
3.92%
 
6/18
 
5,655

 
 
Collateralized by Par Value $9,511
 
 
 
 
 
 
 
 
Exchange-Traded Debt, Coupon 5.50%,
 
 
 
 
 
 
 
 
Maturity Date 7/22
 
 
 
 
 
 
2,799

 
CS First Boston
 
(1.00)%
 
4/18
 
2,799

 
 
Collateralized by Par Value $2,845
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%,
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
2,699

 
Bank of America Securities
 
1.60%
 
4/18
 
2,699

 
 
Collateralized by Par Value $2,689
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.63%
 
 
 
 
 
 
 
 
Maturity Date 2/23
 
 
 
 
 
 
2,429

 
Barclays Capital Inc
 
(2.00)%
 
4/18
 
2,429

 
 
Collateralized by Par Value $2,270
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.88%,
 
 
 
 
 
 
 
 
Maturity Date 10/20
 
 
 
 
 
 
2,289

 
RBC Capital Markets LLC
 
1.05%
 
4/18
 
2,289

 
 
Collateralized by Par Value $2,175
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.13%
 
 
 
 
 
 
 
 
Maturity Date 10/24
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
10

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
1,979

 
Barclays Capital Inc
 
(0.25)%
 
4/18
 
$
1,979

 
 
Collateralized by Par Value $1,850
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.50%
 
 
 
 
 
 
 
 
Maturity Date 4/24
 
 
 
 
 
 
1,624

 
RBC Capital Markets LLC
 
1.15%
 
4/18
 
1,624

 
 
Collateralized by Par Value $1,640
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.30%
 
 
 
 
 
 
 
 
Maturity Date 4/27
 
 
 
 
 
 
1,347

 
RBC Capital Markets LLC
 
1.00%
 
4/18
 
1,347

 
 
Collateralized by Par Value $2,025
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.13%
 
 
 
 
 
 
 
 
Maturity Date 1/23
 
 
 
 
 
 
1,051

 
Bank of America Securities
 
1.85%
 
4/18
 
1,051

 
 
Collateralized by Par Value $1,050
 
 
 
 
 
 
 
 
U.S. Treasury Bond, Coupon 3.00%
 
 
 
 
 
 
 
 
Maturity Date 2/48
 
 
 
 
 
 
966

 
Bank of America Securities
 
1.70%
 
4/18
 
966

 
 
Collateralized by Par Value $968
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 1.88%
 
 
 
 
 
 
 
 
Maturity Date 12/19
 
 
 
 
 
 
906

 
Barclays Capital Inc
 
(2.15)%
 
4/18
 
906

 
 
Collateralized by Par Value $826
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 7.00%
 
 
 
 
 
 
 
 
Maturity Date 3/27
 
 
 
 
 
 
897

 
Bank of America Securities
 
1.35%
 
4/18
 
897

 
 
Collateralized by Par Value $893
 
 
 
 
 
 
 
 
U.S. Treasury Note, Coupon 2.75%
 
 
 
 
 
 
 
 
Maturity Date 2/25
 
 
 
 
 
 
827

 
RBC Capital Markets LLC
 
1.30%
 
4/18
 
827

 
 
Collateralized by Par Value $950
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 10.50%
 
 
 
 
 
 
 
 
Maturity Date 9/22
 
 
 
 
 
 
725

 
Barclays Capital Inc
 
(1.00)%
 
4/18
 
725

 
 
Collateralized by Par Value $711
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
695

 
RBC Capital Markets LLC
 
(2.00)%
 
4/18
 
695

 
 
Collateralized by Par Value $711
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
528

 
RBC Capital Markets LLC
 
1.30%
 
4/18
 
528

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

See Notes to Consolidated Financial Statements
11

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
(continued)
 
 
 
 
 
 
 
 
$
505

 
RBC Capital Markets LLC
 
0.90%
 
4/18
 
$
505

 
 
Collateralized by Par Value $545
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.25%
 
 
 
 
 
 
 
 
Maturity Date 6/23
 
 
 
 
 
 
505

 
RBC Capital Markets LLC
 
(0.10)%
 
4/18
 
505

 
 
Collateralized by Par Value $465
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.63%
 
 
 
 
 
 
 
 
Maturity Date 10/23
 
 
 
 
 
 
282

 
CS First Boston
 
(4.00)%
 
4/18
 
282

 
 
Collateralized by Par Value $310
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 5.50%
 
 
 
 
 
 
 
 
Maturity Date 10/24
 
 
 
 
 
 
262

 
Bank of America Securities
 
1.85%
 
4/18
 
262

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

 
Barclays Capital Inc
 
(1.75)%
 
4/18
 
243

 
 
Collateralized by Par Value $250
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 4.50%
 
 
 
 
 
 
 
 
Maturity Date 4/22
 
 
 
 
 
 
120

 
Barclays Capital Inc
 
(1.50)%
 
4/18
 
120

 
 
Collateralized by Par Value $118
 
 
 
 
 
 
 
 
Exchange-Traded Corporate Debt, Coupon 8.00%
 
 
 
 
 
 
 
 
Maturity Date 6/27
 
 
 
 
 
 
Total Repurchase Agreements (Cost $132,730)
 
 
 
 
 
$
132,538


See Notes to Consolidated Financial Statements
12

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Investments Sold Short (-113.45%) (a) (b)
 
 
 
 
 
 
TBA - Fixed Rate Agency Securities Sold Short (-81.91%) (q)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Mortgage-related—Residential
 
 
 
 
 
 
$
(99,307
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.00%
 
5/18
 
$
(101,759
)
(65,010
)
 
Government National Mortgage Association (30 year)
 
3.50%
 
4/18
 
(65,635
)
(63,302
)
 
Federal National Mortgage Association (30 year)
 
3.50%
 
4/18
 
(63,435
)
(50,210
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
4/18
 
(52,571
)
(42,594
)
 
Government National Mortgage Association (30 year)
 
4.00%
 
5/18
 
(43,719
)
(39,000
)
 
Federal National Mortgage Association (30 year)
 
4.50%
 
5/18
 
(40,766
)
(33,451
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
4.50%
 
5/18
 
(34,961
)
(28,320
)
 
Federal National Mortgage Association (15 year)
 
3.50%
 
4/18
 
(28,868
)
(23,257
)
 
Federal National Mortgage Association (30 year)
 
4.00%
 
4/18
 
(23,864
)
(13,590
)
 
Federal National Mortgage Association (15 year)
 
3.00%
 
4/18
 
(13,572
)
(12,112
)
 
Federal National Mortgage Association (30 year)
 
3.00%
 
4/18
 
(11,813
)
(6,860
)
 
Federal National Mortgage Association (30 year)
 
5.50%
 
5/18
 
(7,448
)
(5,515
)
 
Federal Home Loan Mortgage Corporation (30 year)
 
3.00%
 
4/18
 
(5,378
)
(4,500
)
 
Federal National Mortgage Association (30 year)
 
5.00%
 
5/18
 
(4,798
)
(1,050
)
 
Government National Mortgage Association (30 year)
 
3.00%
 
4/18
 
(1,033
)
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$497,379)
 
 
 
(499,620
)
Government Debt Sold Short (-17.57%)
 
 
 
 
North America (-11.34%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
(33,320
)
 
U.S. Treasury Note
 
2.50%
 
1/25
 
(32,942
)
(17,167
)
 
U.S. Treasury Note
 
2.75%
 
2/28
 
(17,174
)
(13,727
)
 
U.S. Treasury Note
 
2.38%
 
1/23
 
(13,614
)
(2,689
)
 
U.S. Treasury Note
 
2.63%
 
2/23
 
(2,697
)
(1,050
)
 
U.S. Treasury Bond
 
3.00%
 
2/48
 
(1,055
)
(968
)
 
U.S. Treasury Note
 
1.88%
 
12/19
 
(961
)
(448
)
 
U.S. Treasury Note
 
2.75%
 
2/25
 
(450
)
(275
)
 
U.S. Treasury Bond
 
2.75%
 
8/47
 
(263
)
Total North America (Proceeds -$68,716)
 
 
 
 
 
(69,156
)
Europe (-6.23%)
 
 
 
 
 
 
Government
 
 
 
 
 
 
(16,915
)
 
Spanish Sovereign Bond
 
0.25%
 
4/18
 
(16,926
)
(10,700
)
 
Spanish Sovereign Bond
 
0.75%
 
7/21
 
(11,041
)
(9,704
)
 
Spanish Sovereign Bond
 
2.75%
 
4/19
 
(10,033
)
Total Europe (Proceeds -$35,101)
 
 
 
 
 
(38,000
)
Total Government Debt Sold Short (Proceeds -$103,817)
 
 
 
(107,156
)
 
 
 
 
 
 
 
 
 

See Notes to Consolidated Financial Statements
13

Table of Contents
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2018 (CONTINUED)
(UNAUDITED)

Current Principal/Number of Shares
 
Description
 
Rate
 
Maturity
 
Fair Value
(In thousands)
 
 
 
 
 
 
 
Expressed in U.S.
Dollars
Common Stock Sold Short (-6.27%)
 
 
 
 
North America
 
 
 
 
 
 
Financial
 
 
 
 
 
 
(824
)
 
Exchange Traded Equity
 
 
 
 
 
$
(38,242
)
Total Common Stock Sold Short (Proceeds -$39,111)
 
 
 
(38,242
)
Corporate Debt Sold Short (-7.70%)
 
 
 
 
 
 
North America
 
 
 
 
 
 
Basic Materials
 
 
 
 
 
 
$
(1,746
)
 
Various
 
4.55% - 7.00%
 
11/24 - 3/27
 
(1,719
)
Communications
 
 
 
 
 
 
(21,548
)
 
Various
 
3.40%-10.50%
 
9/22 - 3/27
 
(20,427
)
Consumer
 
 
 
 
 
 
(9,085
)
 
Various
 
3.50% - 5.88%
 
10/20 - 12/26
 
(8,935
)
Energy
 
 
 
 
 
 
(10,960
)
 
Various
 
4.30% - 8.25%
 
4/22 - 6/27
 
(10,026
)
Industrial
 
 
 
 
 
 
(4,110
)
 
Various
 
5.13%
 
10/24
 
(4,194
)
Utilities
 
 
 
 
 
 
(1,575
)
 
Various
 
5.13% - 7.25%
 
5/26 - 9/27