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l \pThe Free Software Foundation B=PF0*8X@"1 Helvetica1Courier1Courier New1Courier New1 Helvetica$#,##0_);($#,##0)$#,##0_);[Red]($#,##0)$#,##0.00_);($#,##0.00)$#,##0.00_);[Red]($#,##0.00)**_($* #,##0_);_($* (#,##0);_($* ""_);_(@_)*)'_(* #,##0_);_(* (#,##0);_(* ""_);_(@_)5,2_($* #,##0.00_);_($* (#,##0.00);_($* ""??_);_(@_)2+/_(* #,##0.00_);_(* (#,##0.00);_(* ""??_);_(@_)2$#,##0.00;[Red]$#,##0.003$#,##0.00;[Red]($#,##0.00)4$#,##0;[Red]($#,##00)50.00%;[Red](0.00%)60%;[Red](0%)7#,##0.00;[Red](#,##0.00)8#,##0;[Red](#,##0) + ) , * Ј ~~ ؈ ~~#؈ ~~"؈ ~~ ؈ ~~4"܈ ~~4#܈ ~~7#܈ ~~8#܈ ~~3#܈ ~~9#܈ ~~9"܈ ~~8"܈ ~~83ffff̙̙3f3fff3f3f33333f33&wInvesting in our common shares &1This summary highlights informa&UThis summary highlights inf (1)&xuThis summary highlights inf (2)Our PerformanceOur Management Agreement#Our Management Agreement (1)#4Our Management Agreement (2)t.
Balance Sheet&=WINSTITUTIONAL TRADING OF OUR CO&sINSTITUTIONAL TRADING OF OU (1)&INSTITUTIONAL TRADING OF OU (2)&ҨINSTITUTIONAL TRADING OF OU (3)&INSTITUTIONAL TRADING OF OU (4)RBalance Sheet (1)&+RMBS151Agency and NonAgency Sec&ORMBS151Agency and NonAgency (1)&sRMBS151Agency and NonAgency (2)!NonRMBS151Other Securities%wNonRMBS151Other Securities (1)%cNonRMBS151Other Securities (2)%NonRMBS151Other Securities (3)%NonRMBS151Other Securities (4)%%NonRMBS151Other Securities (5)&wADerivatives on Corporate Securi&p^Derivatives on Corporate Se (1)&n{Derivatives on Corporate Se (2)"]NonRMBS151Other Derivatives&`NonRMBS151Other Derivatives (1)&_NonRMBS151Other Derivatives (2)AShareholders Equity&NonRMBS151Other Derivatives (3)&(NonRMBS151Other Derivatives (4)&]YNonRMBS151Other Derivatives (5)&tNonRMBS151Other Derivatives (6)A
Severity RiskSeverity Risk (1)Severity Risk (2)&Corporate Debt and Equity Secur&Corporate Debt and Equity S (1)&e%Corporate Debt and Equity S (2)DCredit Risk Hedging]Credit Risk Hedging (1))OUR MANAGER&Corporate Governance151Board ofݯ
Incentives&(Base Management Fees Incentive %Base Management Fees Incen (1)&Transactions Effected by Elling&9New Legislation or Administrati&PNew Legislation or Administ (1)&hNew Legislation or Administ (2)VShareholders Equity (1)&mNew Legislation or Administ (3)&>New Legislation or Administ (4)&New Legislation or Administ (5)&GNew Legislation or Administ (6)&sNew Legislation or Administ (7)&dNew Legislation or Administ (8)&aNew Legislation or Administ (9)&New Legislation or Adminis (10)&R
New Legislation or Adminis (11)&5New Legislation or Adminis (12)&6aNew Legislation or Adminis (13)&}New Legislation or Adminis (14)&New Legislation or Adminis (15)&New Legislation or Adminis (16)& New Legislation or Adminis (17)E Income StatementCG Shareholders Equity (2)~m
Cash Flows# Investors for Investments in#b Investors for Investment (1)#O
Investors for Investment (2)#
Investors for Investment (3)#,Q
Investors for Investment (4)#
Investors for Investment (5)#
Investors for Investment (6)\Summary information151!"Summary information151 (1)!;Summary information151 (2)&j[Net Asset Based Total Return fo&tSupplemental Information151Net &Net Investment Income Ratio to &CExpense Ratios to Average SharelShareholders Equity (3)&Expense Ratios to Average S (1)&sExpense Ratios to Average S (2)&HExpense Ratios to Average S (3)&sExpense Ratios to Average S (4)&AExpense Ratios to Average S (5)&Expense Ratios to Average S (6)&Expense Ratios to Average S (7)&
Expense Ratios to Average S (8)&k/
Expense Ratios to Average S (9)&W
Expense Ratios to Average (10)&C
Expense Ratios to Average (11)&
Expense Ratios to Average (12)&
Expense Ratios to Average (13)oIncome Statement (1)a=Shareholders Equity (4)`lCash Flows (1)&Expense Ratios to Average (14)&Expense Ratios to Average (15)&Expense Ratios to Average (16)&:Expense Ratios to Average (17)&E]Expense Ratios to Average (18)&NExpense Ratios to Average (19)&8Expense Ratios to Average (20)&TExpense Ratios to Average (21)&Expense Ratios to Average (22)&"CNet Asset Based Total Retur (1)%_Supplemental Information15 (1)%wNet Investment Income Rati (1)&OExpense Ratios to Average (23)&Я11 Condensed Quarterly Financia&311 Condensed Quarterly Fina (1)&P11 Condensed Quarterly Fina (2)&*You should rely only on the inf&GCommon Shares Representing Limi&_Common Shares Representing (1)&zCommon Shares Representing (2)&Common Shares Representing (3)&Common Shares Representing (4)&Common Shares Representing (5)
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }a/}$ }}$ }
Ellington Financial Inc.S11/A
05/27/2010f^Investing in our common shares involves risk. See #147;Risk Factors#148; beginning on page 24. Per Share
Total
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }:
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Ellington Financial Inc.S11/A
05/27/2010jbThis summary highlights information contained elsewhere in this prospectus. It is not complete and Asset Class Principal Assets
NonAgency RMBS
6
.?RMBS backed by prime jumbo (1) , AltA (2)"and subprime mortgages (3)
8
0?RMBS backed by fixed rate mortgages, adjustable0(rate mortgages, or ARMs, OptionARMs andHybrid ARMs2*?RMBS backed by first lien and second lien mortgages,$?Investment grade and noninvestmentgrade securities+#?Senior and subordinated securities4,?Interest only securities, or IOs, principal1)only securities, or POs, inverse interest6.only securities, or IIOs, and inverse floatersAgency RMBS%?Whole pool passthrough certificates.&?ToBeAnnounced mortgage passthroughDl:."R\:?4 !"#$%&'()*+,./0123456789:;<=> ! certificates, or TBAs (4)!!$"MortgageRelated Derivatives"1")?Credit default swaps on individual RMBS,##0#(on the ABX and CMBX indices and on other$$ $mortgagerelated indices%%%&&+&#?Other mortgagerelated derivatives''0((Corporate Debt and Equity Securities and((%?Credit default swaps on corporations)Derivatives))or on corporate indices**++,+$?Corporate debt or equity securities,,3+?Options or total return swaps on corporate...%equity or on corporate equity indices//
0Other0)0!?Residential whole mortgage loans1122
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }:}$ }}$ }} $ }
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Ellington Financial Inc.S11/A
05/27/2010jbThis summary highlights information contained elsewhere in this prospectus. It is not complete and
Asset Class Amortized Estimated Fair
Estimated Fair
Cost Basis
Value
Value as a
Percentage of
Total
Shareholders?
EquityNonAgency RMBS~
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }2}$ }}$ }} $ }
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Ellington Financial Inc.S11/A
05/27/2010jbThis summary highlights information contained elsewhere in this prospectus. It is not complete and
Asset Class Notional Estimated Fair
Estimated Fair
Amount
Value
Value as a
Percentage of
Total
Shareholders?
Equity1)Long positions using credit default swaps~
~
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
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05/27/2010Our Performance
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Ellington Financial Inc.S11/A
05/27/2010 Our Management Agreement Dividend Per Share Record Date Payment Date,
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Ellington Financial Inc.S11/A
05/27/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES
High Sales Low Sales
Price
Price&August 1 to September 30, 2007 * *&October 1 to December 31, 2007 * *#
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }0}$ }a
Ellington Financial Inc.S11/A
05/27/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES Dividend Per Share Record Date Payment Date,
$Fiscal year ended December 31, 2009:
First quarter
$?N/AN/ASecond quarter?September 1, 2009September 15, 2009
Third quarter
~
December 1, 2009
December 15, 2009Fourth quarter?
March 1, 2010March 15, 2010%Fiscal year ending December 31, 2010:
First quarter?May 18, 2010
June 15, 2010$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2rfZNqu=}=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }$4}$ }y}$ }$
Ellington Financial Inc.S11/A
05/27/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES As of March 31, 2010
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As Adjusted (2)0(Common shares, no par value; 100,000,000~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }1}$ }y}$ }
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Ellington Financial Inc.S11/A
05/27/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }}$ }}
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Ellington Financial Inc.S11/A
05/27/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }}$ }}$ } }
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05/27/2010
Balance Sheet
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }}$ }}
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Ellington Financial Inc.S11/A
05/27/20101)RMBS#151;Agency and NonAgency Securities
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OUR MANAGER!Corporate Governance151Board of
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Ellington Financial Inc.S11/A
05/27/20101)RMBS#151;Agency and NonAgency Securities
Security Description Current Estimated Fair
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Principal
Value
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }}$ }}
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Ellington Financial Inc.S11/A
05/27/20101)RMBS#151;Agency and NonAgency Securities
Security Description Current Estimated Fair
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Amortized Cost Average
Principal
Value
Price
Basis
Cost+#Agency RMBS?Floating Rate?Principal~
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$
Ellington Financial Inc.S11/A
05/27/2010%NonRMBS#151;Other Securities
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05/27/2010%NonRMBS#151;Other Securities
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Ellington Financial Inc.S11/A
05/27/2010%NonRMBS#151;Other Securities
Security Description Current Estimated Fair
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Cost U.S. Treasury Securities~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }U5}$ }}$ }}$ } }
$
Ellington Financial Inc.S11/A
05/27/2010%NonRMBS#151;Other Securities
Description Notional Range of Final Estimated Fair
Amount
Termination
Value Dates (3)3+Long Swaps?Credit Default Swaps On RMBS (1)~
5/347/35~
FX
/
'Long Swaps?Credit Default Swaps On RMBS
~
@
8/375/46
~
4
and CMBS Indices (1)4,Short Swaps?Credit Default Swaps On RMBS (2)~
3C
6/3412/36~
,
0(Short Swaps?Credit Default Swaps On RMBS~
&
8/3712/49~
F?5
and CMBS Indices (2)
Total~
ο
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8 sg[
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }U5}$ }y}$ }}$ } }
$
Ellington Financial Inc.S11/A
05/27/2010%NonRMBS#151;Other Securities
Description Notional Range of Final Estimated Fair
Amount
Termination
Value Dates (3)3+Long Swaps?Credit Default Swaps On RMBS (1)~
R 5/349/36~
:
/
'Long Swaps?Credit Default Swaps On RMBS
~
B]
8/37
~
^
and CMBS Indices (1)4,Short Swaps?Credit Default Swaps On RMBS (2)~
R
6/3412/36~
n~
0(Short Swaps?Credit Default Swaps On RMBS~
"
8/3710/52~
and CMBS Indices (2)
Total~
)h
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8 sg[
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }U5}$ }}$ }}$ } }
$
Ellington Financial Inc.S11/A
05/27/2010%NonRMBS#151;Other Securities
Description Notional Range of Final Estimated Fair
Amount
Termination
Value Dates (3)3+Long Swaps?Credit Default Swaps On RMBS (1)~
M 5/349/36~
u
4
,Short Swaps?Credit Default Swaps On RMBS (2)
~
2F
6/3412/36
~
N
0(Short Swaps?Credit Default Swaps On RMBS~
2%
1/0910/52~
m
and CMBS Indices (2)
Total~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4sg[
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }6}$ }}$ }}$ } I}
$
Ellington Financial Inc.S11/A
05/27/2010=5Derivatives on Corporate Securities (Debt and Equity)
Description Notional Range of Final Estimated
Amount
Termination
Fair Value Dates (3)5Short Swaps?Credit Default Swaps On Corporate~
W
12/136/15~
Bonds (1)5Short Swaps?Credit Default Swaps On Corporate~
:W
12/13~
ރ
Bonds Indices (1)0(Short Swaps?Total Return Swaps on Equity~
Q4/10~
b
Securities (2)Long Swaps?Other Swaps~
9/136/14~
6
Total~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }6}$ }}$ }}$ } I}
$
Ellington Financial Inc.S11/A
05/27/2010=5Derivatives on Corporate Securities (Debt and Equity)
Description Notional Range of Final Estimated Fair
Amount
Termination
Value Dates (3)5Short Swaps?Credit Default Swaps On Corporate~
V
3/1312/14~
S
Bonds (1)5Short Swaps?Credit Default Swaps On Corporate~
:W
12/13~
n
Bonds Indices (1)0(Short Swaps?Total Return Swaps on Equity~
VKE 4/105/10~
*
Securities (2)Long Swaps?Other Swaps~
9/136/14~
Total~
b
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/:
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }6}$ }}$ }}$ }
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$
Ellington Financial Inc.S11/A
05/27/2010=5Derivatives on Corporate Securities (Debt and Equity)
Description Notional Range of Final Estimated Fair
Amount
Termination
Value Dates (3)5Short Swaps?Credit Default Swaps On Corporate~
1/0912/13~
:g
Bonds (1)5Short Swaps?Credit Default Swaps On Corporate~
M
12/13~
R
Bonds Indices (1)/'Long Swaps?Total Return Swaps on Equity~
:4t
11/13~
C
Securities (2)0(Short Swaps?Total Return Swaps on Equity~
12/13~
~
Securities (2)Long Swaps?Other Swaps~
G9/13~
W
Total~
b
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }*}$ }}$ }}$ } }
$
Ellington Financial Inc.S11/A
05/27/2010&NonRMBS#151;Other Derivatives
Description Notional Range of Final Estimated Fair
Amount or
Termination
Value Number of Dates (3) Contracts+
#Short Swaps?Interest Rate Swaps (1)
~
`
10/14
~
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6/103/12~
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
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$
Ellington Financial Inc.S11/A
05/27/2010&NonRMBS#151;Other Derivatives
Description Notional Range of Final Estimated Fair
Amount or
Termination
Value Number of Dates (3) Contracts+
#Short Swaps?Interest Rate Swaps (1)
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Ellington Financial Inc.S11/A
05/27/2010&NonRMBS#151;Other Derivatives
Description Notional Range of Final Estimated Fair
Amount
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05/27/2010&NonRMBS#151;Other Derivatives
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05/27/2010&NonRMBS#151;Other Derivatives
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OUR MANAGER!Corporate Governance151Board of
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Ellington Financial Inc.S11/A
05/27/2010&NonRMBS#151;Other Derivatives
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05/27/2010&NonRMBS#151;Other Derivatives
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OUR MANAGER!Corporate Governance151Board of
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Ellington Financial Inc.S11/A
05/27/2010
Severity Risk
Estimated Change in Fair
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Severity RiskSeverity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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Ellington Financial Inc.S11/A
05/27/2010
Severity Risk Asset Class Principal Assets
NonAgency RMBS
8
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Severity RiskSeverity Risk (1)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
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Ellington Financial Inc.S11/A
05/27/2010
Severity Risk Asset Class Principal Assets
Other*"? Residential whole mortgage loans
? CMBS3+? Commercial mortgages and other commercialreal estate debt
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05/27/2010<4Corporate Debt and Equity Securities and Derivatives
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }2}$ }}$ }} $ }
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Ellington Financial Inc.S11/A
05/27/2010<4Corporate Debt and Equity Securities and Derivatives
Asset Class Notional Estimated Fair
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y#}$ }}$ }}$ } }
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Ellington Financial Inc.S11/A
05/27/2010<4Corporate Debt and Equity Securities and Derivatives
Ratings Description (1) Current Principal Estimated Fair Value
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$
Ellington Financial Inc.S11/A
05/27/2010Credit Risk Hedging % Reverse Repurchase Agreements
Average Borrowed
Borrowed FundsFunds DuringOutstanding at EndPeriod of Period
March 31, 2010
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk Hedging
OUR MANAGER!Corporate Governance151Board of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }$}$ }}$ }}$ }} $ }
Ellington Financial Inc.S11/A
05/27/2010Credit Risk Hedging
Counterparty Outstanding Range of Range of Estimated Fair Value of
Borrowings
Borrowing Rates
Maturity Dates
CollateralMorgan Stanley~
0.20% to 2.00%
6 to 145 days~
k%Credit Suisse Group~
G0.22% to 2.75%
1 to 146 days ~
+
Bank of America
~
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0.22% to 2.23%
13 to 83 days
~
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VQ0.21% to 1.98%5 to 16 days ~
Barclays~
1.48% to 2.29%
6 to 176 days ~
nQRoyal Bank of Scotland~
ԕ1.73% to 2.50%6 to 48 days ~
pKRoyal Bank of Canada~
"L$1.75% to 2.25%27 days ~
Jefferies Group~
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }$}$ }}$ }0
Ellington Financial Inc.S11/A
05/27/2010OUR MANAGER Name Age Position With Us
Michael W. Vranos
~
0
(CoChief Investment Officer and Director
Laurence Penn~
.&Chief Executive Officer, President andDirector
Eric Bothwell
~

%Chief Operating Officer and SecretaryLisa Mumford~
Chief Financial Officer
Mark Tecotzky~
#CoChief Investment OfficerEdward Resendez~
Director*Thomas F. Robards~
+#Chairman of the Board of Directors*Ronald I. Simon, Ph.D.~
Director*$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/43ym1gB{%VJ>=PF0*8X>
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }U}$ } <}
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Ellington Financial Inc.S11/A
05/27/2010B:Corporate Governance#151;Board of Directors and Committees
Name Fees Earned Share All other
Total
or Paid in
Based
Compensation
CompensationCash
Awards (1)Thomas F. Robards~
~
~
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Ronald I. Simon
~
r
~
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^iEdward Resendez~
r~
~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }1}$}$ }2
Ellington Financial Inc.S11/A
05/27/2010
Incentives ?2*increase the total number of common shares 1 )reserved for issuance under the incentive
/
'plans (other than through adjustment as( provided in the incentive plan);
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/&@znc=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }I }$ }}$ }}$ }}$ }
Ellington Financial Inc.S11/A
05/27/2010JBBase Management Fees, Incentive Fees and Reimbursement of Expenses Example Adjusted Net Income Excess Adjusted Net
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive !Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }:}$ }}$}$ } }
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Ellington Financial Inc.S11/A
05/27/2010JBBase Management Fees, Incentive Fees and Reimbursement of Expenses
. &(Dollars in thousands except per share Three Month Three Month
Three Month
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Period Ended
Period Ended
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September 30,December 31,
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }1}$ }y}$ }I }$
"
Ellington Financial Inc.S11/A
05/27/2010YQTransactions Effected by Ellington and its Affiliates in Respect of Our Portfolio Name and Address ! Shares Beneficially Owned
Number
Percent
5% Shareholders:EMG Holdings, L.P. (1)~
L;@ %0
(American Financial Group, Inc. ( 2)
%1)FBR Capital Markets Corporation ( 3) %.&Legg Mason Opportunity Trust ( 4) %+#Reservoir Capital Group, L.L.C. (5) %$Summit Capital Group LLC (6) %.&ZweigDiMenna Partners, L.P. ( 7) %%Directors and Executive Officers: (8)!Michael W. Vranos (9)(10)~
L;@ %Laurence Penn (10)~
L;@ %Mark Tecotzky (10)~
L;@ %
Eric Bothwell ? ?Lisa Mumford ? ?Thomas Robards (11)~
' *"Ronald I. Simon, Ph.D (12)~
a *Edward Resendez~
' *%All officers and directors as a group~
jffffff;@ %$____________________________DlK?3'1r Os C8y !1 )Created by Morningstar Document Research.0!(http://documentresearch.morningstar.com/=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y#}$ }
Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Underwriter Number
of Shares%Deutsche Bank Securities Inc.
Total
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,h\PD }Y0=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$
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05/27/2010<4New Legislation or Administrative or Judicial Action
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y<}$ }
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Page,
$CONSOLIDATED FINANCIAL STATEMENTS AS
0(OF MARCH 31, 2010 AND DECEMBER 31, 2009,3+AND FOR THE THREE MONTH PERIODS ENDED MARCH0
(31, 2010 AND MARCH 31, 2009 (UNAUDITED):5Consolidated Statement of Assets, LiabilitiesF2 and Shareholders? Equity6.Consolidated Condensed Schedule of InvestmentsF3,$Consolidated Statement of OperationsF16:2Consolidated Statement of Changes in Shareholders?F17Equity,$Consolidated Statement of Cash FlowsF182*Notes to Consolidated Financial StatementsF19,$CONSOLIDATED FINANCIAL STATEMENTS AS3+OF DECEMBER 31, 2009 AND DECEMBER 31, 2008,1)AND FOR THE YEARS ENDED DECEMBER 31, 2009Dlh\PD Ei>,^F !"#$%&'()*+,./0123456789:3 +AND 2008 AND FOR THE PERIOD AUGUST 17, 2007,!$(COMMENCEMENT OF OPERATIONS) THROUGH"DECEMBER 31, 2007:##/$'REPORT OF INDEPENDENT REGISTERED PUBLIC$$F42%ACCOUNTING FIRM&&5'Consolidated Statement of Assets, Liabilities''F43 (and Shareholders? Equity))6*.Consolidated Condensed Schedule of Investments**F44++,,$Consolidated Statement of Operations,,F56:.2Consolidated Statement of Changes in Shareholders?..F57/Equity00,1$Consolidated Statement of Cash Flows11F582223*Notes to Consolidated Financial Statements33F5944,5$Schedule II?Valuation and Qualifying55F846 Accounts*7$8____________________________19)Created by Morningstar Document Research.0:(http://documentresearch.morningstar.com/:{chP~$D,=PF0*8X>
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }~
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }a}$ }I"}$ }}$}$ }y
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05/27/2010<4New Legislation or Administrative or Judicial Action
Current Principal/ Description Rate Maturity
Value
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#Long Investments (248.91%)(a)(b)(k)
( U.S. Treasury Securities (2.31%)
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }a}$ }I"}$ }}$ }y
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Current Principal/ Description Rate Maturity
Value
Notional AmountExpressed inU.S. Dollars0
(Principal and Interest?Fixed Rate Agency
'Securities (84.59%) (continued)$ 5,515,051!Federal National Mortgage
5.00%
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }a}$ }0.}$ }}$ }}$ }
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Current Principal/ Description Rate Maturity
Value
Notional AmountExpressed inU.S. Dollars0
(Floating Rate Agency Securities (32.51%)
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4.45%7/35~
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5.98%4/37~
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }a}$ }0}$ }}$ }y
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action
Current Principal/ Description Rate Maturity
Value
Notional AmountExpressed in
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$Investments Sold Short (176.73%)(d)
%TBA?Fixed Rate Agency Securities Sold
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y<}$ }}$ }}$ }<} $ }
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action
Primary Risk Notional or Range of
Value
Exposure
Number of
Expiration Contracts
Dates Expressed in
U.S. Dollars%Financial Derivatives?Assets (57.10%)
Swaps (57.10%)(e)
Long Swaps:
Other SwapsCredit~
9/13  6/14~
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3C6/34  12/36 ~
,7/Credit Default Swaps on Asset Backed Indices(f)Credit~
&8/37  12/49 ~
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'Total Swaps (Cost $168,569,122) ~
'
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Dealer/Parent Company
Percent of
Shareholders? Equity$Affiliates of Morgan Stanleyףp=
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W+@ %#
Affiliates of Deutsche Bank
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }}$
Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Rating Description
Percentage of
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05/27/2010<4New Legislation or Administrative or Judicial Action Current Principal/ Description Rate Maturity
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Current Principal/ Description Rate Maturity
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OUR MANAGER!Corporate Governance151Board of
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05/27/2010<4New Legislation or Administrative or Judicial Action Current Principal/ Description Rate Maturity
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Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }0}$ }}$ }y
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3
Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action
Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of ContractsExpressed in
U.S. Dollars,$Investments Sold Short (167.63%)(e)
%TBA?Fixed Rate Agency Securities Sold
Short (167.63%)(c)~
Ba%Federal National Mortgage Association
4.50%1/10~
t
(30 Year)~
o%Federal National Mortgage Association
5.00%1/10~
*
(30 Year)~
%Federal National Mortgage Association
5.50%1/10~
(30 Year)~
v.&Federal Home Loan Mortgage Corporation
5.00%1/10~
j8
(30 Year)~
7L%Federal National Mortgage Association
6.00%1/10~
j
(30 Year)~
L;%Federal National Mortgage Association
4.00%1/10~
:d
(30 Year)~
yl.&Federal Home Loan Mortgage Corporation
6.00%1/10~
5
(30 Year)Dlh\PDs_:
W*sFc !"#$%&'()*+,./012~
 %Federal National Mortgage Association
4.00% 2/10 ~
!!! (30 Year)~
"ʑ"."&Federal Home Loan Mortgage Corporation"
"5.50%""1/10""~
" d"
### (30 Year)~
$H$0$(Government National Mortgage Association$
$5.50%$$1/10$$~
$ &@$
%%% (30 Year)&&&&&&&&&& &
.'&Total TBA?Fixed Rate Agency Securities''''''~
' ,/'
(
Sold Short )(Proceeds $509,587,384)********** *
.+&Total Investments Sold Short (Proceeds+++++~
+,/+
,$509,587,384) 
./$0____________________________11)Created by Morningstar Document Research.02(http://documentresearch.morningstar.com/*hJf9S;%}WK?=PF0*8X>
@22
11
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y<}$ }}$ }}$ }<} $ }
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C
Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action
Primary Risk Notional or Range of
Value
Exposure
Number of
Expiration Contracts
Dates Expressed in
U.S. Dollars%Financial Derivatives?Assets (41.24%)
Swaps (41.24%)(f)
Long Swaps:
Other SwapsCredit~
9/13  6/14~
Short Swaps:
:2Credit Default Swaps on Asset Backed Securities(g)Credit~
R6/34  12/36 ~
n~7/Credit Default Swaps on Asset Backed Indices(h)Credit~
"8/37  10/52 ~
2*Credit Default Swaps on Corporate Bonds(i)Credit~
V3/13  12/14 ~
SInterest Rate Swaps(j)Interest Rates~
`
10/14 ~
R
'Total Swaps (Cost $113,567,635) ~
Dz
0(Total Financial Derivatives?Assets (Cost~
Dz~
N
Dlh\PD#Z}A*R}`q !"#$%&'()*+,./0123456789:;<=>? 2!*Financial Derivatives?Liabilities (4.69%)!!!!!!!!! !
!"""""#Swaps (4.33%)######### #
#$$$$$%Long Swaps:%%%%%%%%% %
%7&/Credit Default Swaps on Asset Backed Securities&&Credit&~
&R&&&5/34  9/36&~
& :& '(Proceeds?$6,666,250)(k)4(,Credit Default Swaps on Asset Backed Indices((Credit(~
(B](((8/37(( ~
(
^( )(Proceeds?$2,063,750)(l)*****+Short Swaps:+++++++++ +
+,Total Return Swaps(m),,
Equity Market,~
,VKE,,,4/10  5/10,, ~
,
*,.&Credit Default Swaps on Corporate BondCredit~
:W
12/13 ~

n.
Indices(n)////////// /
/00000.1&Total Swaps (Net Proceeds $8,043,963)111111111 ~
1
J*12222222222 2
2333334Futures (0.36%)(o)444444444 4
4555556Short Futures:666666666 6
67EuroDollar contracts77Interest Rates7~
7^7773/10  9/117~
7 78888888888 8
89
Total Futures999999999 ~
9
9:::::::::: :
:/;'Total Financial Derivatives?Liabilities;;;;;;;;~
;
;"<(Net Proceeds $8,043,963)========== =
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0YmC!{?>Yf@AB$@____________________________1A)Created by Morningstar Document Research.0B(http://documentresearch.morningstar.com/
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }I"}$ }m}$
Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Dealer/Parent Company
Percent of
Shareholders?Equity$Affiliates of Morgan StanleyQ5@ %#
Affiliates of Credit Suisse
(\u/@
%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/*`hh\PDj=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }}$
Ellington Financial Inc.S11/A
05/27/2010<4New Legislation or Administrative or Judicial Action Rating Description
Percentage of
Shareholders? Equity U.S. Treasury Securities@ %!Unrated but AgencyIssuedRqf@ %
Aaa/AAA/AAA
%@
%Aa/AA/AAGz)@ %
A/A/A~
%Baa/BBB/BBBHzG@ %Ba/BB/BB or below(\C@ %Unrated{Gz? %$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4h\PD>m5maU=PF0*8X>
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Shareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }y}$ }
}$
8
Ellington Financial Inc.S11/A
05/27/2010Income Statement Three Month Three Month
Period Ended
Period EndedMarch 31, 2010March 31, 2009!Expressed in U.S. Dollars
INVESTMENT INCOME
Interest income~
6U~
NEXPENSESBase management fee~
nfC~
z8
Incentive fee~
nv ? Sharebased LTIP expense~
NR,~
ƞ6Interest expense~
.>1~
N'' Other operating expenses~
fQ~
w8Total expenses~
b~
$NET INVESTMENT INCOME (LOSS)~
ց~
>/'NET REALIZED AND UNREALIZED GAIN (LOSS)0(ON INVESTMENTS AND FINANCIAL DERIVATIVES$Net realized gain (loss) on:Investments~
Q~
D
Swaps~
~
:sD
lth25>:2HPQ ! " # $ % & ' ( ) * + ,  . / 0 1 2 3 4 5 6 7 Futures ~
? !Purchased options!!~
!!!! !?!"""""""""###~
#&###~
##$$$$$$$$$0%(Change in net unrealized gain (loss) on:%%%%%%%%&Investments&&~
&j(
&&&~
&&
'Swaps''~
'ޏ'''~
'ҳ'(Futures((~
(^((( (?()Purchased options))~
)!))) )?)*********+++~
+u+++~
+nR3+,,,,,,,,,/'NET REALIZED AND UNREALIZED GAIN (LOSS)~
6~
Z0.(ON INVESTMENTS AND FINANCIAL DERIVATIVES/////////00(NET INCREASE (DECREASE) IN SHAREHOLDERS?0~
0
00~
0k0(1 EQUITY RESULTING FROM OPERATIONS22222222234$5____________________________16)Created by Morningstar Document Research.07(http://documentresearch.morningstar.com/4
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l 0$f l
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income Statement
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }$4}$ }}$ }}$
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Ellington Financial Inc.S11/A
05/27/2010Shareholders' Equity Three Month Three Month
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OUR MANAGER!Corporate Governance151Board of
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05/27/2010
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05/27/2010$Investors for Investments in2 *Single Name and Index Credit Default Swaps Amount at Amount at !
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Ellington Financial Inc.S11/A
05/27/2010$Investors for Investments in
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Total
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Investments at value?
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5
Ellington Financial Inc.S11/A
05/27/2010$Investors for Investments in
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Level 3
Total
Assets:
Investments at value?
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OUR MANAGER!Corporate Governance151Board of
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05/27/2010 Summary information#151;
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }2}$ }}$ }}$
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05/27/2010 Summary information#151; March 31, 2010 March 31, 2009 ,
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }0}$ }}$}$ }}$
Ellington Financial Inc.S11/A
05/27/2010 Summary information#151; Three Month Three Month
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }<(}$ }a}$}$ }a}$
Ellington Financial Inc.S11/A
05/27/2010XPNet Asset Based Total Return for a Shareholder, excluding Manager shares: (1)(2) Three Month Period Three Month Period
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }<(}$ }a}$
Ellington Financial Inc.S11/A
05/27/2010kcSupplemental Information#151;Net Asset Based Total Return for a Shareholder, excluding Manager shar Three Month Period
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
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OUR MANAGER!Corporate Governance151Board of
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Ellington Financial Inc.S11/A
05/27/2010kcNet Investment Income Ratio to Average Shareholders#146; Equity, excluding the Manager shares: (5)( Three Month Period Three Month Period
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to Shareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }a/}$ }a}$}$ }a}$
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05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Three Month Period Three Month Period
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average Share!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }?. &Investments and financial derivatives: >!6Investments sold short at value (Proceeds?$509,587,384!~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }0.}$ }}$ }y
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Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of ContractsExpressed in
U.S. Dollars+#Long Investments (251.99%)(a)(b)(p) ( U.S. Treasury Securities (2.25%) ~
?U.S. Treasury Note
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }0}$ }}$ }y
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Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of ContractsExpressed in
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
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Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Current Principal/ Description Rate Maturity
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }U}$ }*}$ }}$ }}
$ }
9
Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of Contracts
Expressed in
U.S. Dollars )!Private Label Securities (70.17%)
,$Principal and Interest?Private Label
Securities (66.17%)
$ 345,186,599Various0.30%  111.94%3/25  5/47 ~
K/
,$Total Principal and Interest?Private
~
K/Label Securities(Cost $205,747,380)
.&Interest Only?Private Label Securities
(4.00%)~
VJ?Various
0.50%  6.51%4/35  9/47
~
4,Total Interest Only?Private Label Securities
~
(Cost $7,494,892)
D0
lA5)PH2g !"#$%&'()*+,./012345678+ #Residual Certificates?Private Label
!Securities (0.00%)~
"Ήc=""""Various" "?""6/37" "
~
">########## #
#+$#Total Residual Certificates?Private$$$$$ $
~
$>%Label Securities&(Cost $697,664)'''''''''' '
':(2Total Private Label Securities (Cost $213,939,936)((((( (
~
(N'2)))))))))) )
).*&Total MortgageBacked Securities (Cost***** *
*QOA+t>A,,,,,,,,,, ,
,Options (0.01%)(d) 
..~
.r.+.#S&P 500 Index Put Options Purchased. .?..3/10. .
~
.bd////////// /
/%0Total Options (Cost $580,860)00000 0
~
0bd1111111111 1
122*Total Long Investments (Cost $753,892,552)22222 2
rA3333333333 3
345$6____________________________17)Created by Morningstar Document Research.08(http://documentresearch.morningstar.com/6}_/sO3!cT@p=PF0*8X>
@8877662222
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }0}$ }}$ }y
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3
Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of ContractsExpressed in
U.S. Dollars%Investments Sold Short (167.63%) (e)
%TBA?Fixed Rate Agency Securities Sold
Short (167.63%) (c)~
Ba%Federal National Mortgage Association
4.50%1/10~
t
(30 Year)~
o%Federal National Mortgage Association
5.00%1/10~
*
(30 Year)~
%Federal National Mortgage Association
5.50%1/10~
(30 Year)~
v.&Federal Home Loan Mortgage Corporation
5.00%1/10~
j8
(30 Year)~
7L%Federal National Mortgage Association
6.00%1/10~
j
(30 Year)~
L;%Federal National Mortgage Association
4.00%1/10~
:d
(30 Year)~
yl.&Federal Home Loan Mortgage Corporation
6.00%1/10~
5
(30 Year)Da
lA5)4+jJs0 !"#$%&'()*+,./012~
 %Federal National Mortgage Association
4.00% 2/10 ~
!!! (30 Year)~
"ʑ"."&Federal Home Loan Mortgage Corporation"
"5.50%""1/10""~
" d"
### (30 Year)~
$H$0$(Government National Mortgage Association$
$5.50%$$1/10$$~
$ &@$
%%% (30 Year)&&&&&&&&&& &
.'&Total TBA?Fixed Rate Agency Securities''''''~
' ,/'
(
Sold Short )(Proceeds $509,587,384)********** *
.+&Total Investments Sold Short (Proceeds+++++~
+,/+
,$509,587,384) 
./$0____________________________11)Created by Morningstar Document Research.02(http://documentresearch.morningstar.com/*hJf9S;%}WK?=PF0*8X>
@22
11
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y<}$ }}$ }}$ }<} $ }
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Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Primary Risk Notional or Range of
Value
Exposure
Number of
Expiration Contracts
Dates Expressed in
U.S. Dollars2*Financial Derivatives?Appreciated (41.24%)
%Swaps?Appreciated (41.24%)(f)
Long Swaps?Appreciated
Other SwapsCredit~
9/13  6/14~
Short Swaps?Appreciated
:2Credit Default Swaps on Asset Backed Securities(g)Credit~
R6/34  12/36 ~
n~7/Credit Default Swaps on Asset Backed Indices(h)Credit~
"8/37  10/52 ~
)!Credit Default Swaps on CorporateCredit~
V3/13  12/14 ~
SBonds(i)Interest Rate Swaps(j)Interest Rates~
`
10/14 ~
R
3+Total Swaps?Appreciated (Cost $113,567,635) ~
Dz
/'Total Financial Derivatives?Appreciated~
DzDlA5)jl 'G,[ !"#$%&'()*+,./0123456789:;<=>? (Cost $113,567,635)!!!!!!!!!! !
!"""""2#*Financial Derivatives?Depreciated (4.69%)######### #
#"$Swaps?Depreciated (4.33%)$$$$$$$$$ $
$%%%%%&Long Swaps?Depreciated&&&&&&&&& &
&7'/Credit Default Swaps on Asset Backed Securities''Credit'~
'R'''5/34  9/36'~
' :'"((Proceeds  $6,666,250)(k)4),Credit Default Swaps on Asset Backed Indices))Credit)~
)B])))8/37)) ~
)
^)"*(Proceeds  $2,063,750)(l)+++++,Short Swaps?Depreciated,,,,,,,,, ,
,Total Return Swaps(m)
Equity Market~
VKE4/10  5/10 ~

*..&Credit Default Swaps on Corporate Bond..Credit.~
.:W..
.12/13.. ~
.
n./
Indices(n)0000000000 0
0111112%Total Swaps?Depreciated (Net Proceeds222222222 ~
2
J*23$8,043,963)4444444444 4
455555'6Futures?Depreciated (0.36%)(o)666666666 6
6!7Short Futures?Depreciated777777777 7
78EuroDollar contracts88Interest Rates8~
8^8883/10  9/118~
8 89999999999 9
9!:Total Futures?Depreciated::::::::: ~
:
:;;;;;;;;;; ;
;/<'Total Financial Derivatives?Depreciated<<<<<<<<~
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<=(Net>Proceeds $8,043,963)?????????? ?
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P=PF0*8X>
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88
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }I"}$ }}$
Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Dealer/Parent Company
Percent of
Shareholders? Equity$Affiliates of Morgan StanleyQ5@ %#Affiliates of Credit Suisse(\u/@ %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(PTA5)f=PF0*8X>
@
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }}$
Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Rating Description
Percentage of
Shareholders? Equity U.S. Treasury Securities@ %!Unrated but AgencyIssuedRqf@ %
Aaa/AAA/AAA
%@
%Aa/AA/AAGz)@ %
A/A/A~
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }0}$ }}$}$ }y
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Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Current Principal Description Rate Maturity
Value
or Notional Amount Expressed in U.S. Dollars
+#Long Investments (178.32%)(a)(b)(n)
( U.S. Treasury Securities (1.34%)
$ 2,800,000U.S. Treasury Note~
%8/18~
80Total U.S. Treasury Securities (Cost $2,820,142) ~
*"Auction Rate Securities (7.45%)(c)
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80Total Auction Rate Securities (Cost $25,650,000) ~
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#Agency Securities (117.75%)
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }a}$ }0.}$ }m}$}$ }} $ }
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Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Current Principal Description Rate Maturity
Value
or Notional Amount Expressed in U.S. Dollars1
)Floating Rate Agency Securities (111.34%)
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Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }}$ }0.}$ }m}$ }}$ } }
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Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Current Principal Description Rate Maturity
Value
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y<}$ }}$ }}$ }} $
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05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Notional or Range of
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Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (19)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }y#}$ }}$
Ellington Financial Inc.S11/A
05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Rating Description
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Ellington Financial Inc.S11/A
05/27/2010Income Statement
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Year Ended
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05/27/2010Shareholders' Equity
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05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)2 *Single Name and Index Credit Default Swaps Amount at Amount at !
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Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!New Legislation or Administrati!New Legislation or Administ (1)!New Legislation or Administ (2)Shareholders Equity (1)!New Legislation or Administ (3)!New Legislation or Administ (4)!New Legislation or Administ (5)!New Legislation or Administ (6)!New Legislation or Administ (7)!New Legislation or Administ (8)!New Legislation or Administ (9)!New Legislation or Adminis (10)!New Legislation or Adminis (11)!New Legislation or Adminis (12)!New Legislation or Adminis (13)!New Legislation or Adminis (14)!New Legislation or Adminis (15)!New Legislation or Adminis (16)!New Legislation or Adminis (17)Income StatementShareholders Equity (2)
Cash FlowsInvestors for Investments inInvestors for Investment (1)Investors for Investment (2)Investors for Investment (3)Investors for Investment (4)Investors for Investment (5)Investors for Investment (6)Summary information151Summary information151 (1)Summary information151 (2)!Net Asset Based Total Return fo!Supplemental Information151Net !Net Investment Income Ratio to !Expense Ratios to Average ShareShareholders Equity (3)!Expense Ratios to Average S (1)!Expense Ratios to Average S (2)!Expense Ratios to Average S (3)!Expense Ratios to Average S (4)!Expense Ratios to Average S (5)!Expense Ratios to Average S (6)!Expense Ratios to Average S (7)!Expense Ratios to Average S (8)!Expense Ratios to Average S (9)!Expense Ratios to Average (10)!Expense Ratios to Average (11)!Expense Ratios to Average (12)!Expense Ratios to Average (13)Income Statement (1)Shareholders Equity (4)Cash Flows (1)!Expense Ratios to Average (14)!Expense Ratios to Average (15)!Expense Ratios to Average (16)!Expense Ratios to Average (17)!Expense Ratios to Average (18)!Expense Ratios to Average (20)!Expense Ratios to Average (21)!Expense Ratios to Average (22)!Net Asset Based Total Retur (1) Supplemental Information15 (1) Net Investment Income Rati (1)!Expense Ratios to Average (23)!11 Condensed Quarterly Financia!11 Condensed Quarterly Fina (1)!11 Condensed Quarterly Fina (2)!You should rely only on the inf!Common Shares Representing Limi!Common Shares Representing (1)!Common Shares Representing (2)!Common Shares Representing (3)!Common Shares Representing (4)!Common Shares Representing (5)U }mB}$ }}$ }y}$ } }
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05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
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dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)Our PerformanceOur Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!INSTITUTIONAL TRADING OF OUR CO!INSTITUTIONAL TRADING OF OU (1)!INSTITUTIONAL TRADING OF OU (2)!INSTITUTIONAL TRADING OF OU (3)!INSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)!RMBS151Agency and NonAgency Sec!RMBS151Agency and NonAgency (1)!RMBS151Agency and NonAgency (2)NonRMBS151Other Securities NonRMBS151Other Securities (1) NonRMBS151Other Securities (2) NonRMBS151Other Securities (3) NonRMBS151Other Securities (4) NonRMBS151Other Securities (5)!Derivatives on Corporate Securi!Derivatives on Corporate Se (1)!Derivatives on Corporate Se (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)
Severity RiskSeverity Risk (1)Severity Risk (2)!Corporate Debt and Equity Secur!Corporate Debt and Equity S (1)!Corporate Debt and Equity S (2)Credit Risk HedgingCredit Risk Hedging (1)
OUR MANAGER!Corporate Governance151Board of
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05/27/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
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