> 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&Investing in our common shares &1This summary highlights informa&jUThis summary highlights inf (1)&tThis summary highlights inf (2)&This summary highlights inf (3)Our Management Agreement#Our Management Agreement (1)#Our Management Agreement (2)0
Balance Sheet&XINSTITUTIONAL TRADING OF OUR CO&uINSTITUTIONAL TRADING OF OU (1)&INSTITUTIONAL TRADING OF OU (2)&INSTITUTIONAL TRADING OF OU (3)&QINSTITUTIONAL TRADING OF OU (4)Balance Sheet (1)&/RMBS151Agency and NonAgency Sec&SRMBS151Agency and NonAgency (1)&~wRMBS151Agency and NonAgency (2)!יNonRMBS151Other Securities%NonRMBS151Other Securities (1)%NonRMBS151Other Securities (2)%NonRMBS151Other Securities (3)%D
NonRMBS151Other Securities (4)&(Derivatives on Corporate Securi&cBDerivatives 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)&1NonRMBS151Other Derivatives (5)&GLNonRMBS151Other Derivatives (6)&NonRMBS151Other Derivatives (7)&
NonRMBS151Other Derivatives (8)
Severity RiskSeverity Risk (1)Severity Risk (2)&Corporate Debt and Equity Secur&%Corporate Debt and Equity S (1)&ECorporate Debt and Equity S (2)dCredit Risk HedgingCredit Risk Hedging (1)OUR MANAGER&kCorporate Governance151Board of
Incentives&Base Management Fees Incentive %Base Management Fees Incen (1)&@Transactions Effected by Elling&!_Certain Information With Respecz
Tax AuditsTax Audits (1)ިTax Audits (2))Shareholders Equity (1)TTax Audits (3)'Tax Audits (4)RTax Audits (5)Tax Audits (6)Tax Audits (7)9Tax Audits (8)Tax Audits (9)Tax Audits (10)JTax Audits (11)rTax Audits (12)Tax Audits (13)ATax Audits (14)$Tax Audits (15)& Tax Audits (16)< Tax Audits (17)T Income Statement֔ Shareholders Equity (2)
Cash Flows
Tax Audits (18)=
Tax Audits (19)W
Tax Audits (20)=
Tax Audits (21)a
Tax Audits (22)y
Tax Audits (23)G2Tax Audits (24)`rTax Audits (25)ڮTax Audits (26)Summary information151!%Summary information151 (1)!R"Summary information151 (2)!=Summary information151 (3)!WSummary information151 (4)!oSummary information151 (5)!*Summary information151 (6)!>Summary information151 (7)!ٸSummary information151 (8)&Net Asset Based Total Return fo&bSupplemental Information151Net &
Net Investment Income Ratio to &0
Expense Ratios to Average ShareM
Shareholders Equity (3)&~
Expense Ratios to Average S (1)&R
Expense Ratios to Average S (2)&
Expense Ratios to Average S (3)&wExpense Ratios to Average S (4)&e,Expense Ratios to Average S (5)&TExpense 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)&QExpense Ratios to Average (12)&F{Expense Ratios to Average (13)Income Statement (1)GShareholders Equity (4)Cash Flows (1)&,FExpense 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)&ffExpense Ratios to Average (20)&KExpense Ratios to Average (21)&Expense Ratios to Average (22)&Net Asset Based Total Retur (1)%Supplemental Information15 (1)%Net Investment Income Rati (1)&3Expense Ratios to Average (23)&}611 Condensed Quarterly Financia&f11 Condensed Quarterly Fina (1)&11 Condensed Quarterly Fina (2)& You should rely only on the inf&4Common Shares Representing Limi&;Common Shares Representing (1)&6
Common Shares Representing (2)&s#Common Shares Representing (3)&E>Common Shares Representing (4)@eNO TITLE3}NO TITLE (1)ɕNO TITLE (2)
l 1
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (2)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }2}$ }}$ }
Ellington Financial Inc.S11/A
09/30/2010g_Investing in our common shares involves risk. See #147;Risk Factors #148; beginning on page 24. Per Share
Total
Public offering price~
~
2*Underwriting discounts and commissions (1)~
~
/
'Proceeds, before expenses, to Ellington
~
~
Financial LLC (1)$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/*h=1%o&mPD=PF0*8X>
@2
l ?KT
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights inf (1)!This summary highlights inf (2)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }:
?
Ellington Financial Inc.S11/A
09/30/2010jbThis 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,##2#*on the ABX, CMBX and PrimeX 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
2?CMBS334424*?Commercial mortgages and other commercial555real estate debt66777?ABS8899/9'?Other nonmortgagerelated derivatives:;$<____________________________1=)Created by Morningstar Document Research.0>(http://documentresearch.morningstar.com/BXBG/x`hP_+pH=PF0*8X>
@>>==<<
l t
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (2)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }:}$ }}$ }} $ }
}$
Ellington Financial Inc.S11/A
09/30/2010jbThis summary highlights information contained elsewhere in this prospectus. It is not complete and
Asset Class Cost Estimated Fair
Estimated Fair
Value
Value as a
Percentage of
Total
Shareholders?
EquityNonAgency RMBS~
_Z:~
fD:
ףp=T@ %Agency RMBS
80Agency RMBSWhole pool passthrough certificates~
nId~
F{e
Gz$b@ %Agency RMBSTBAs~
*or2~
632
=
ףp
R@ %#Agency RMBSTBAs Sold Short?B^
33333n %
Total~
$~
{%
GzJ@ %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/<:."\B'/6=PF0*8X>
@R
l !W
dMbP?_*+%,&٭e2?'٭e2?(٭e2?)٭e2?",D/??!Investing in our common shares !This summary highlights informa!This summary highlights inf (1)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }2}$ }}$ }} $ }
}$
!
Ellington Financial Inc.S11/A
09/30/2010jbThis 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~
Z
~
ZV
Q %$on RMBS and CMBS Indices (1)2*Short positions using credit default swaps~
J~
.
p=
CC@ %on RMBS (2)2*Short positions using credit default swaps~
N6~
2
ffffff%@ %$on RMBS and CMBS Indices (2)2*Short positions using credit default swaps~
M~
6y
Q? %%on corporate bond indices (2)2*Short positions in interest rate swaps (3)~
P~
=
ףp=ڿ %Depreciated futuresN/A~
9l
=
ףp= %
Total~
~ԋ
p=
E@ %
$____________________________1)Created by Morningstar Document Research.D}l:."^D)}Uy*xl` 0 (http://documentresearch.morningstar.com/H=PF0*8X>
@R
l ȸ
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 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }$4}$ }}$ }} $}
$ }}
Ellington Financial Inc.S11/A
09/30/2010jbThis summary highlights information contained elsewhere in this prospectus. It is not complete and
Ending Dividends Quarterly Total
Cumulative Total
Book Value (1)
Paid
Return (1)(2)
Return (1)(2)#Inception (August 17, 2007)Q+3@N/AN/A
N/A2*August 17, 2007 through September 30, 20073@ ?Gz %
Gz %2
*Three month period ended December 31, 2007
Y3@
?
(\?
%
Gz?
%/'Three month period ended March 31, 2008(\2@ ?)\( %
%.&Three month period ended June 30, 2008HzG4@ ?ףp=
@ %
)\(@ %.&Three month period ended September 30,Qx4@ ?Gz? %
Q@ %~
b2*Three month period ended December 31, 2008QE3@ ?q=
ףp %
p=
ף? %3+Three month period ended March 31, 2009 (3)Gz4@ ?333333 @ %
RQ!@ %2*Three month period ended June 30, 2009 (4)Q7@ ?Gz.@ %
Q8@ %.&Three month period ended September 30,Gz8@?q=
ףp%@ %
(\B@ %~
f2*Three month period ended December 31, 2009
ףp=
9@~
@ %
~
%/'Three month period ended March 31, 2010q=
ףp8@?Q@ %
=
ףpG@ %.&Three month period ended June 30, 2010(\8@?? %
H@
% (5)$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/BFX:."z$j5j\*\=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0}$ }a
Ellington Financial Inc.S11/A
09/30/2010 Our Management Agreement Dividend Per Share Record Date Payment Date,
$Fiscal year ended December 31, 2009:
First quarter
$?N/AN/ASecond quarter?September 1, 2009September 15, 2009
Third quarter
~
December 1, 2009
December 15, 2009Fourth quarter?
March 1, 2010March 15, 2010%Fiscal year ending December 31, 2010:
First quarter?May 18, 2010
June 15, 2010Second quarter333333?September 1, 2010September 15, 2010$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4Exl`OD8,=PF0*8X>
@R
l '
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)!This summary highlights inf (3)Our Management AgreementOur 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }$}$ }y}$ }y}$ } y}
$ }y}
$ }y
'
Ellington Financial Inc.S11/A
09/30/2010 Our Management Agreement
Six Month Period Ended Year Ended December 31,
August 17, 2007
June 30,
(commencement of
operations)
Through
December 31,~
j~
f~
f
~
b
~
^Net Investment Income:
Interest Income~
mj~
w~
FhT
~
f!
~
h Expenses:
Base management fee~
r~
Jw~
f3
~
~
"R
Incentive fee~
nv~
6%~
~
Jl
? Sharebased LTIP expense~
[~
bDo~
A
~
֑
~
v[7Interest expense~
f~
=~
/
~
y
?Professional fees~
7~
@~
Bay
~
r]
~
&,(Compensation expense~
?~
?
?Insurance expense~
."~
VP
~
K
~
ƹ
~
&Agency and administration fees~
N!~
#~
:w%
~
~
*Custody and other fees~
~
N{~
w
~
r/
~
U$Directors? fees and expenses~
*$~
"*~
rY
~
7
~
FOrganizational expenses ? ? ?
?
~
Total expenses~
c~
zd~
Y
~
~
.q
Dlxl`t:9p'Lq& !"#$%& Net Investment Income ~
_ ~
Re ~
n`
~
~
V!!!!!!!!!! !
!!!
!!"#$$____________________________1%)Created by Morningstar Document Research.0&(http://documentresearch.morningstar.com/x!aUI!=PF0*8X>
@&&%%$$
l '/
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)!This summary highlights inf (3)Our Management AgreementOur Management Agreement (1)
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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }}$ }}
$ }}$ }}$ }y}$
'
Ellington Financial Inc.S11/A
09/30/2010 Our Management Agreement
Six Month Period Ended
Year Ended December 31, August 17, 2007
June 30,
(commencement of
operations)
Through
~
j
~
f
~
f
~
b
December 31, 2007/'Net Realized and Unrealized Gain (Loss)
1)on Investments and Financial Derivatives:$Net realized gain (loss) on:
Investments~
>3~
~
~
f1~
kFinancial derivatives~
z~
b
~
t
~
&) ?
Net realized gain (loss)~
@F~
~
:z
~
~
k
0(Change in net unrealized gain (loss) on:
Investments~
r~
#
~
~
*8~
?Financial derivatives~
z~
H4
~
"
~
9J~
,$Change in net unrealized gain (loss)~
~
kO
~
~
qi~
rN
/'Net Realized and Unrealized Gain (Loss)~
GT~
s#
~
w
~
~\]~
VZ;0(on Investments and Financial Derivatives
0(Net Increase (Decrease) in Shareholders?~
Q~
~
VC
~
."l~
Dlxl`dIhW<@ !"#$%&( Equity Resulting from Operations!!!!!!!!!! !
!!!
!!!!!!!"#$$____________________________1%)Created by Morningstar Document Research.0&(http://documentresearch.morningstar.com/]x=PF0*8X>
@&&%%$$
l &UW
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)!This summary highlights inf (3)Our Management AgreementOur Management Agreement (1)Our Management Agreement (2)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }}$ }}$ } }
$ }
&
Ellington Financial Inc.S11/A
09/30/2010
Balance Sheet
As of June 30, As of December 31,
~
j
~
f
~
b
~
^( Consolidated Balance Sheet Data:
!Cash and cash equivalents~
J~
D~
~
B.!
Investments at fair value
[bA
rA
~
~f
~
++#Financial derivatives at fair value~
o"~
Dz~
!
?&Receivable for Securities Sold*gA~
(z~
?0(Deposits with dealers held as collateral~
b5~
z$~
x
~
;Other Assets~
{~
~
6
~
f8
Total assets@FA{A dA
~
Z
:
,$Investments sold short at fair value^A~
w~
)
?
Reverse repos~
if:KA~
»>
?+#Financial derivatives at fair value~
Nl~
JY~
5
~
*( Payable for securities purchased~
UX~
J ~
?&Due to brokers?margin accounts~
Vm~
z:c~
i
?Other Liabilities~
9
~
x~
~
]
Total liabilities,'AfWA~
hm
~
&e
Shareholders? equity~
ڹF~
vyG~
26z9
~
69
D"lwksC+fN+w,w
!
"
#
$
%
 %Shareholders? equity per common share (\8@
ףp=
9@ QE3@
Y3@!"$#____________________________1$)Created by Morningstar Document Research.0%(http://documentresearch.morningstar.com/dWK?=PF0*8X>
@%%$$##
l t
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)!This summary highlights inf (3)Our Management AgreementOur Management Agreement (1)Our Management Agreement (2)
Balance Sheet!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }%}$ }$}$ }$
Ellington Financial Inc.S11/A
09/30/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES
High Sales Low Sales
Price
Price&August 1 to September 30, 2007 * *&October 1 to December 31, 2007 * *#
January 1 to March 31, 2008
~
R
~
R April 1 to June 30, 2008 * *$July 1 to September 30, 2008~
R~
R&October 1 to December 31, 2008 * *#January 1 to March 31, 2009 * * April 1 to June 30, 2009 * *$July 1 to September 30, 2009~
R~
R&October 1 to December 31, 2009 * *'January 1 to March 31, 2010 (1)3@3@ April 1 to June 30, 2010 * *$July 1 to September 28, 2010 * *$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/> 0rfZNe}"Xs5`=PF0*8X>
@z
l
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)!This summary highlights inf (3)Our 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)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0}$ }a
Ellington Financial Inc.S11/A
09/30/20102*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, 2010Second quarter333333?September 1, 2010September 15, 2010$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4WrfZNqu=2&=PF0*8X>
@R
l =
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)!This summary highlights inf (3)Our 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)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }$4}$ }y}$ }y
Ellington Financial Inc.S11/A
09/30/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES As of June 30, 2010
Actual
As Adjusted (1)0(Common shares, no par value; 100,000,000~
z93D~
F%Z,$shares authorized; 11,985,670 common.
&shares outstanding, actual; 16,485,670.&common shares outstanding, as adjusted+#upon completion of the offering (2)3+Preferred shares, no par value; 100,000,000 ? ?1)preferred shares authorized, no preferred1)shares outstanding, actual or as adjusted%Additional paidin capital?LTIP units~
b~
b"Total shareholders? equity~
ڹF~
\$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/<rfZNr
vG\1=PF0*8X>
@R
l '6R
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)!This summary highlights inf (3)Our 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)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }$}$ }y}$ }y}$ } y}
$ }y}
$ }y
'
Ellington Financial Inc.S11/A
09/30/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES
Six Month Period Ended Year Ended December 31,
August 17, 2007
June 30,
(commencement
of operations)
Through
December 31,~
j~
f~
f
~
b
~
^Net Investment Income:
Interest Income~
mj~
w~
FhT
~
f!
~
h Expenses:
Base management fee~
r~
Jw~
f3
~
~
"R
Incentive fee~
nv~
6%~
~
Jl
? Sharebased LTIP expense~
[~
bDo~
A
~
֑
~
v[7Interest expense~
f~
=~
/
~
y
?Professional fees~
7~
@~
Bay
~
r]
~
&,(Compensation expense~
?~
?
?Insurance expense~
."~
VP
~
K
~
ƹ
~
&Agency and administration fees~
N!~
#~
:w%
~
~
*Custody and other fees~
~
N{~
w
~
r/
~
U$Directors? fees and expenses~
*$~
"*~
rY
~
7
~
FOrganizational expenses ? ? ?
?
~
Total expenses~
c~
zd~
Y
~
~
.q
DlrfZNe('^:_w !"#$%& Net Investment Income ~
_ ~
Re ~
n`
~
~
V!!!!!!!!!! !
!!!
!!"#$$____________________________1%)Created by Morningstar Document Research.0&(http://documentresearch.morningstar.com/x!aUI!=PF0*8X>
@&&%%$$
l (
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)!This summary highlights inf (3)Our 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)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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }}$ }}
$ }}$ }}$ }y}$
(
Ellington Financial Inc.S11/A
09/30/20102*INSTITUTIONAL TRADING OF OUR COMMON SHARES
Six Month Period Ended
Year Ended August 17, 2007
June 30,
December 31,
(commencement
of operations)
Through
December 31,~
j~
f ~
f
~
b~
^/'Net Realized and Unrealized Gain (Loss)
1)on Investments and Financial Derivatives:$Net realized gain (loss) on:
Investments~
>3~
~
~
f1~
kFinancial derivatives~
z~
b
~
t
~
&) ?
Net realized gain (loss)~
@F~
~
:z
~
~
k
0(Change in net unrealized gain (loss) on:
Investments~
r~
#
~
~
*8~
?Financial derivatives~
z~
H4
~
"
~
9J~
,$Change in net unrealized gain (loss)~
~
kO
~
~
qi~
rN
/'Net Realized and Unrealized Gain (Loss)~
GT~
s#
~
w
~
~\]~
VZ;0(on Investments and Financial Derivatives
DylrfZNR,AQd/`d7 !"#$%&'0 (Net Increase (Decrease) in Shareholders? ~
Q ~
~
VC
~
."l ~
(! Equity Resulting from Operations"""""""""" "
"""
"""""""#$$%____________________________1&)Created by Morningstar Document Research.0'(http://documentresearch.morningstar.com/c=PF0*8X>
@''&&%%
l &,.
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)!This summary highlights inf (3)Our 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)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }}$ }}$ } }
$ }
&
Ellington Financial Inc.S11/A
09/30/2010
Balance Sheet
As of June 30, As of December 31,
~
j
~
f
~
b
~
^( Consolidated Balance Sheet Data:
!Cash and cash equivalents~
J~
D~
~
B.!
Investments at fair value
[bA
rA
~
~f
~
++#Financial derivatives at fair value~
o"~
Dz~
!
?&Receivable for securities sold*gA~
(z~
?0(Deposits with dealers held as collateral~
b5~
z$~
x
~
;Other assets~
{~
~
6
~
f8
Total assets@FA{A dA
~
Z
:
,$Investments sold short at fair value^A~
w~
)
?
Reverse repos~
if:KA~
»>
?+#Financial derivatives at fair value~
Nl~
JY~
5
~
*( Payable for securities purchased~
UX~
J ~
?&Due to brokers?margin accounts~
Vm~
z:c~
i
?Other Liabilities~
9
~
x~
~
]
Total liabilities,'AfWA~
hm
~
&e
Shareholders? equity~
ڹF~
vyG~
26z9
~
69
D"lwksC+fN+w,w
!
"
#
$
%
 %Shareholders? equity per common share (\8@
ףp=
9@ QE3@
Y3@!"$#____________________________1$)Created by Morningstar Document Research.0%(http://documentresearch.morningstar.com/dWK?=PF0*8X>
@%%$$##
l R
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)!This summary highlights inf (3)Our 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)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }}$ }}
$ }}
$ }}$ }
Ellington Financial Inc.S11/A
09/30/20101)RMBS#151;Agency and NonAgency Securities
Security Description Current Estimated Fair
Average
Cost Average
Principal
Value
Price
Cost+#Agency RMBS?Floating Rate?Principal~
h~
D
q=
ף`Z@~
Y@and Interest Securities,
$Agency RMBS?Fixed Rate?Principal and
~
J
~
fO
zGZ@
~
n4qN
QNZ@Interest Securities#Agency RMBS?Fixed Rate?TBAs~
0~
632
fffffVZ@
~
*or2Q8Z@.&Agency RMBS?Fixed Rate?TBAs Sold Short^
\(\Z@
?B(\"Z@.&NonAgency RMBS?Principal and Interest~
xX~
w8
HzO@
~
9P@
Securities0(NonAgency RMBS?Interest Only SecuritiesN/A~
.
N/A
~
.N/ANonAgency RMBS?OtherN/A ?
N/A
~
'N/A
Total~
{%
~
$
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>0sg[OksK/B^RF=PF0*8X>
@
l cv
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)!This summary highlights inf (3)Our 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 (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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }}$ }}
$ }}
$ }}$ }
Ellington Financial Inc.S11/A
09/30/20101)RMBS#151;Agency and NonAgency Securities
Security Description Current Estimated Fair
Average
Cost Average
Principal
Value
Price
Cost+#Agency RMBS?Floating Rate?Principal~
R.~
0
Hz7Z@~
,1/QxY@and Interest Securities,
$Agency RMBS?Fixed Rate?Principal and
~
F>C
~
l$F
ףp=Y@
~
ʲF
GzY@Interest Securities#Agency RMBS?Fixed Rate?TBAs~
B ~
>w
p=
sX@
~
fffffX@.&Agency RMBS?Fixed Rate?TBAs Sold Short~
hf~
,/
QxY@
~
"Ap=
Y@.&NonAgency RMBS?Principal and Interest~
LR~
K/
{GL@
~
1M@
Securities0(NonAgency RMBS?Interest Only SecuritiesN/A~
N/A
~
sN/ANonAgency RMBS?OtherN/A~
>
N/A
~
*N/A
Total~
/:
~
q8
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>0sg[OksW;%"Mi]Q)=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }}$ }}
$ }}
$ }}$ }
Ellington Financial Inc.S11/A
09/30/20101)RMBS#151;Agency and NonAgency Securities
Security Description Current Estimated Fair
Average
Cost Average
Principal
Value
Price
Cost+#Agency RMBS?Floating Rate?Principal~
n>~
?
)\xY@~
*v?33333CY@and Interest Securities#
Agency RMBS?Fixed Rate?TBAs
~
~
q=
ףY@
~
(\µY@.&Agency RMBS?Fixed Rate?TBAs Sold Short~
~
ƫ
{GY@
~
(\Y@.&NonAgency RMBS?Principal and Interest~
)K~
Rl
QC@
~
UGz4N@
Securities0(NonAgency RMBS?Interest Only SecuritiesN/A~
^
N/A
~
hN/ANonAgency RMBS?OtherN/A ?
N/A
~
K3N/A
Total~
Z
~
.=k
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/:"sg[Okt^E@\c=PF0*8X>
@
l f
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)!This summary highlights inf (3)Our 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 (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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }I"}$ }U}$ }}$ } }
$ }
}
$ }
Ellington Financial Inc.S11/A
09/30/2010%NonRMBS#151;Other Securities
Security Description Current Estimated Fair Average
Cost
Average
Principal or
Value
Price
Cost Number of Contracts
U.S. Treasury Securities
~
?
~
=
ףp
X@
~
#
(\X@$Equity Options Purchased (1)~
r~
bd Gz?
~
s#
33333s4@
Total~
q
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2j sg[2*<=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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 (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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }*}$ }}$ }}
$ }}
$ }}$ }
Ellington Financial Inc.S11/A
09/30/2010%NonRMBS#151;Other Securities
Security Description Current Estimated Fair
Average
Cost Average
Principal
Value
Price
Cost U.S. Treasury Securities~
~
\@~
Gz.Y@+#U.S. Treasury Securities Sold Short~
Z~
K*
R[@
~
U{GJY@
Auction Rate Securities
~
B
~
G
~
~
B
~
Total~
>7
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0%sg[w <0$=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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 (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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }U5}$ }}$ }}$ } }
$
Ellington Financial Inc.S11/A
09/30/2010%NonRMBS#151;Other Securities
Description Notional Range of Final Estimated Fair
Amount
Termination
Value Dates (3)/'Long Swaps?Credit Default Swaps On RMBS~
Z
6/3610/52~
ZV
and CMBS Indices (1)4,Short Swaps?Credit Default Swaps On RMBS (2)~
J
6/3412/36~
.
0(Short Swaps?Credit Default Swaps On RMBS~
N6
8/3710/52~
2
and CMBS Indices (2)
Total~
B_
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6 sg[
@R
l w
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)!This summary highlights inf (3)Our 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)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }U5}$ }y}$ }}$ } }
$
Ellington Financial Inc.S11/A
09/30/2010%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[
@R
l (
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)!This summary highlights inf (3)Our 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)!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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }U5}$ }}$ }}$ } }
$
Ellington Financial Inc.S11/A
09/30/2010%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[
@R
l A
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)!This summary highlights inf (3)Our 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 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }6}$ }} $
Ellington Financial Inc.S11/A
09/30/2010=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~
M6/15~
6y
Bonds Indices (1)
Total~
6y
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0
g[OC
@R
l [^
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)!This summary highlights inf (3)Our 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 (2)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }6}$ }}$ }}$ } I}
$
Ellington Financial Inc.S11/A
09/30/2010=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
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/:
g[OC$QDA}=PF0*8X>
@R
l 
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)!This summary highlights inf (3)Our 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)NonRMBS151Other Derivatives!NonRMBS151Other Derivatives (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }6}$ }}$ }}$ }
}
$
Ellington Financial Inc.S11/A
09/30/2010=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
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/>
0g[OC$Q
;!=PF0*8X>
@R
l ܖ
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)!This summary highlights inf (3)Our 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 (1)!NonRMBS151Other Derivatives (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }*}$ } }$ }}$ } }
$
Ellington Financial Inc.S11/A
09/30/2010&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)
~
P
10/145/15
~
Depreciated Futures (2)~
9/103/12~
9l
Total~
"
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2~rfZ;h;rocW/=PF0*8X>
@b
l
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)!This summary highlights inf (3)Our 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 (2)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }*}$ }}$ }}$ } }
$
Ellington Financial Inc.S11/A
09/30/2010&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
~
R
Depreciated Futures (2)~
^ 3/109/11~
Total~
7
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2~rfZ;h;wth\4=PF0*8X>
@b
l q
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)!This summary highlights inf (3)Our 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)Shareholders Equity!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }*}$ }}
$
Ellington Financial Inc.S11/A
09/30/2010&NonRMBS#151;Other Derivatives
Description Notional Range of Final Estimated Fair
Amount
Termination
Value Dates (3)+#Short Swaps?Interest Rate Swaps (1)~
m
9/1110/11~
t
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(FT~rfZ;h=PF0*8X>
@J
l x
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (3)!NonRMBS151Other Derivatives (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }
}$ }
}$

Ellington Financial Inc.S11/A
09/30/2010Shareholders' Equity ~
j ~
f )
!Investment income?Interest income
~
~
)
Expenses:Interest expense~
B5~
Other expenses
~
M
~
Rĳ
Total expenses~
N~
aNet investment income~
J~
^/'Net realized and unrealized gain (loss)~
zL~
ꗝ on investments/'Net realized and unrealized gain (loss)~
*~
b on financial derivatives0(Net increase (decrease) in shareholders?~
~
^B( equity resulting from operations0(Beginning Shareholders? Equity Per Shareq=
ףp8@Gz4@+#(3/31/10 and 3/31/09, respectively)Net Investment IncomeQ?p=
ף?.&Net Realized/Unrealized Gains (Losses)QοQ@Results of Operations{Gz?)\(@Dr
lpd'2H^B(mUa2 ! " # $ % & ' ( ) * + , Dividends Paid (1) p=
ףп ? ,!$Accretive Effect of Share Repurchase!! !?!!!!{Gz?!"ShareBased LTIP Awards"""Q?""""{Gz?"$#Manager Special Distribution## #?####Q#$$$$$$$$$1%)Ending Shareholders? Equity Per Share (2)%%(\8@%%%Q7@%&&&&&&&&&!'Ending Shares Outstanding''~
''''~
'vi'()$*____________________________1+)Created by Morningstar Document Research.0,(http://documentresearch.morningstar.com/{UZe=PF0*8X>
@j
,,++**%%%%
l H
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)!This summary highlights inf (3)Our 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 (4)!NonRMBS151Other Derivatives (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }I } $}
$ }}$}
$ }}$
Ellington Financial Inc.S11/A
09/30/2010&NonRMBS#151;Other Derivatives
Average Interest Average
Average
Average
Borrowed Funds
Expense
Cost of
OneMonth
SixMonth
Funds
LIBOR
LIBOR1)For the Three Month Period Ended June 30,~
zy)k~
1
ףp=
? %
ףp=
? %
)\(? %~
j1)For the Three Month Period Ended June 30,~
rP>~
Ҝ\(\? %
Gz? %
=
ףp=? %~
f$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,~rfZAWI_QE=PF0*8X>
@Z
l .#*0
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)!This summary highlights inf (3)Our 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 (5)!NonRMBS151Other Derivatives (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }y}$ }y}$
.
Ellington Financial Inc.S11/A
09/30/2010&NonRMBS#151;Other Derivatives ' Six Month Period Ended June 30,
~
j
~
f
)!Investment income?Interest income~
mj~
w Expenses:
Interest expense
~
f
~
=
Other expenses~
~
[Total expenses~
c~
zdNet investment income~
_~
Re/'Net realized and unrealized gain (loss)~
6>~
:on investments/'Net realized and unrealized gain (loss)~
~
jV& on financial derivatives0(Net increase (decrease) in shareholders?~
Q~
( equity resulting from operations0(Beginning Shareholders? Equity Per Share
ףp=
9@QE3@+#(3/31/10 and 3/31/09, respectively)Net Investment IncomezG??.&Net Realized/Unrealized Gains (Losses)Qο@D>
l~rfZGY[q8(L ! " # $ % & ' ( ) * + ,  Results of Operations Gz? @ !Dividends Paid (1)!!!!!! !?!,"$Accretive Effect of Share Repurchase"" "?""""?"#ShareBased LTIP Awards###p=
ף?####333333?#$$Manager Special Distribution$$ $?$$$$333333ÿ$%%%%%%%%%1&)Ending Shareholders? Equity Per Share (2)&&(\8@&&&Q7@&'''''''''!(Ending Shares Outstanding((~
((((~
(vi()*$+____________________________1,)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/ rsW9DOC7=PF0*8X>
@r,,++&&&&
l K
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)!This summary highlights inf (3)Our 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 (6)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }U5}$ }I } $}
$ }}$}
$ }}$
Ellington Financial Inc.S11/A
09/30/2010&NonRMBS#151;Other Derivatives
Average Interest Average
Average
Average
Borrowed Funds
Expense
Cost of
OneMonth
SixMonth
Funds
LIBOR
LIBOR4,For the Six Month Period Ended June 30, 2010~
Fxr~
Z`Q? %
HzG? %
RQ? %4
,For the Six Month Period Ended June 30, 2009
~
b:
~
6
Gz?
%
zG?
%
Q?
%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/*h~rfZATg[O'=PF0*8X>
@Z
l 4oA{
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)!This summary highlights inf (3)Our 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 (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }y}$ }y}
$ }y}$
4
Ellington Financial Inc.S11/A
09/30/2010&NonRMBS#151;Other Derivatives
Year Ended
Year Ended
Period from
December 31,
December 31,
August 17, 2007~
f~
b
(commencement
of operations) to
December 31, ~
^)!Investment income?Interest income~
FhT~
f! ~
h Expenses:
Interest expense~
/~
y
?Other expenses~
&*^~
D
~
.q
Total expenses~
Y~
~
.q
Net investment income~
n`~
~
V/'Net realized and unrealized gain (loss)~
B~
i
~
~KCon investments/'Net realized and unrealized gain (loss)~
*~
s
~
on financial derivatives
0(Net increase (decrease) in shareholders?~
VC~
."l ~
( equity resulting from operations
0(Beginning Shareholders? Equity Per ShareQE3@Y3@
Q+3@Dl~rfZ'l(w+{(_EX
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
 %(12/31/2008, 12/31/2007 and 8/17/2007!
respectively)"Net Investment Income"""RQ?""""{Gz?"" "
"RQ?".#&Net Realized/Unrealized Gains (Losses)###Q@####Gz## #
#{Gz?#$$$$$$$$$$ $
$$%Results of Operations%%%@%%%%ɿ%% %
%HzG?%&Dividends Paid&&&&&& &?&& &
&?&'Offering Costs'' '?''' '?'' '
'333333ÿ',($Accretive Effect of Share Repurchase(((zG?((( (?(( (
(?()ShareBased LTIP Awards)))333333?))))RQ?)) )
)Q?)$*Manager Special Distribution***333333ÿ****Q뱿** *
*{Gz*++++++++++ +
++1,)Ending Shareholders? Equity Per Share (1),,
ףp=
9@,,,QE3@,, ,
Y3@, 
!.Ending Shares Outstanding..~
.F...~
.F.. .
~
.J./0$1____________________________12)Created by Morningstar Document Research.03(http://documentresearch.morningstar.com/,\i_SG=PF0*8X>
@332211,,,,,,
l ;
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }+}$ }I } $}
$ }}$}
$ }}$
Ellington Financial Inc.S11/A
09/30/2010&NonRMBS#151;Other Derivatives
Average Interest Average
Average
Average
Borrowed
Expense
Cost of
OneMonth
SixMonth
Funds
Funds
LIBOR
LIBOR,$For the year ended December 31, 2009~
zW~
+Q? %
Q? %
(\? %,
$For the year ended December 31, 2008
~
Ng'
~
V
ףp=
@
%
q=
ףp@
%
{Gz@
%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/*h~rfZ
NixlD=PF0*8X>
@b
l C
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }+}$ }<} $}
$ }<}$}
$ }<}$
Ellington Financial Inc.S11/A
09/30/2010&NonRMBS#151;Other Derivatives
Average Interest Average Cost
Average One
Average Six
Borrowed
Expense
of Funds
Month LIBOR
Month LIBOR
Funds,$For the year ended December 31, 2008~
Ng'~
V
ףp=
@ %
q=
ףp@ %
{Gz@ %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/()T~rfZ=PF0*8X>
@R
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)Severity 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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }}$ }}
$ }y}
$ }y}$
Ellington Financial Inc.S11/A
09/30/2010
Severity Risk
Estimated Change in Fair
Estimated Change in Fair
Value for a Decrease in
Value for an Increase inInterest Rates by
Interest Rates byCategory of Instruments50 Basis 100 Basis
50 Basis
100 Basis
Points
Points
Points
PointsNonAgency RMBS~
f~
j ~
ƪ~
2%U.S. Treasury Securities and Interest~
r~
r
~
z
~
Rate Swaps and FuturesAgency RMBS~
Y~
q
~
a
~
v(
Total~
e~
3 ~
~
q
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8vwk'F}:M+X;/#=PF0*8X>
@
l 0h
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }:
0
Ellington Financial Inc.S11/A
09/30/2010
Severity Risk Asset Class Principal Assets
NonAgency RMBS
8
0? RMBS backed by prime jumbo, AltA and subprime mortgages
4
,? RMBS backed by fixed rate mortgages, ARMs,#OptionARMs and Hybrid ARMs3+? RMBS backed by first lien and second lien mortgages%? Investment grade and noninvestmentgrade securities,$? Senior and subordinated securities%? IOs, POs, IIOs and inverse floatersAgency RMBS.&? Whole pool passthrough certificates? TBAs$MortgageRelated Derivatives2*? Credit default swaps on individual RMBS,2*on the ABX, CMBX and PrimeX indices and onDlwkGx`j=%H0zb8 !"#$%&'()*+,./ & other mortgagerelated indices!!!"","$? Other mortgagerelated derivatives##0$(Corporate Debt and Equity Securities and$.$&? Credit default swaps on corporations%Derivatives%%or on corporate indices&&'''%? Corporate debt or equity securities(())4),? Options or total return swaps on corporate***%equity or on corporate equity indices+,$____________________________1.)Created by Morningstar Document Research.0/(http://documentresearch.morningstar.com/$y,R:j! pdX0=PF0*8X>
@//..
l %
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }$4
Ellington Financial Inc.S11/A
09/30/2010
Severity Risk Asset Class Principal Assets
Other*"? Residential whole mortgage loans
? CMBS3+? Commercial mortgages and other commercialreal estate debt
? ABS0(? Other nonmortgagerelated derivatives$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8wkGcKo#=PF0*8X>
@
l 7$
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
Severity RiskSeverity Risk (1)Severity Risk (2)!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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }:}$ }}$ }} $ }
}$
Ellington Financial Inc.S11/A
09/30/2010<4Corporate Debt and Equity Securities and Derivatives
Asset Class Cost Estimated Fair
Estimated Fair
Value
Value as a
Percentage of
Total
Shareholders?
EquityNonAgency RMBS~
_Z:~
fD:
ףp=T@ %Agency RMBS
80Agency RMBSWhole pool passthrough certificates~
nId~
F{e
Gz$b@ %Agency RMBSTBAs~
*or2~
632
=
ףp
R@ %#Agency RMBSTBAs Sold Short?B^
33333n %
Total~
$~
{%
GzJ@ %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/<h\PDpU(]dL@4=PF0*8X>
@R
l D
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }2}$ }}$ }} $ }
m}$
Ellington Financial Inc.S11/A
09/30/2010<4Corporate Debt and Equity Securities and Derivatives
Asset Class Notional Estimated Fair
Value as a
Amount
Value
Percentage of
Total
Shareholders?
Equity1)Long positions using credit default swaps~
Z
~
ZV
Q %$on RMBS and CMBS Indices (1)2*Short positions using credit default swaps~
J~
.
p=
CC@ %on RMBS (2)2*Short positions using credit default swaps~
N6~
2
ffffff%@ %$on RMBS and CMBS Indices (2)2*Short positions using credit default swaps~
M~
6y
Q? %%on corporate bond indices (2)2*Short positions in interest rate swaps (3)~
P~
=
ףp=ڿ %Depreciated futuresN/A~
9l
=
ףp= %
Total~
~ԋ
p=
E@ %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/D
lh\PDs=P9tL^Z8, =PF0*8X>
@R
l c
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y#}$ }}$ }}$ }
}
$ }}$
Ellington Financial Inc.S11/A
09/30/2010<4Corporate Debt and Equity Securities and Derivatives
Ratings Description Current Principal Estimated Fair Value
Average Price
Estimated Fair
Value as a
Percentage of
Shareholders?
Equity%Unrated but Agency Affiliated?
AAףp=
Z@
33333+k@ %Aaa/AAA/AAA~
W~
b zGQS@
)\( @ %Aa/AA/AA~
Ρ~
z (\R@
(\0@ %
A/A/A~
¦F~
{ \(Q@
(\@ %Baa/BBB/BBB~
]~
V7 33333CS@
Q@ %Ba/BB/BB and below~
6~
^ҏ QL@
fffffE@ %Unrated~
p9 ? ?
~
%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8,h\PDC s
X/ymE=PF0*8X>
@J
l {
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$
Ellington Financial Inc.S11/A
09/30/2010Credit Risk Hedging % Reverse Repurchase Agreements
Average Borrowed
Borrowed FundsFunds DuringOutstanding at EndPeriod of Period
June 30, 2010
~
Fxr
~
ifDecember 31, 2009~
zW:KADecember 31, 2008~
Ng'~
»>$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/.o}qev/=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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
Incentives!Base Management Fees Incentive Base Management Fees Incen (1)!Transactions Effected by Elling!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }$}$ }}$ }}$ }} $ }
Ellington Financial Inc.S11/A
09/30/2010Credit Risk Hedging
Counterparty Outstanding Range of Range of Estimated Fair Value of
Borrowings
Borrowing Rates
Maturity Dates
CollateralBank of America~
0.27% to 2.46%
14 to 84 days~
Barclays~
"a1.54% to 2.29%6 to 85 days ~
!
Credit Suisse Group
~
0.25% to 1.75%
1 to 55 days
~
!Deutsche Bank AG~
P0.29% to 2.10%7 to 43 days ~
Jefferies Group~
bh2.35% to 2.35%12 days ~
Morgan Stanley~
0.27% to 2.50%1 to 71 days ~
!Royal Bank of Scotland~
B1.53% to 2.31%
13 to 91 days ~
Rv
~
if~
R.w
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8O}qe7VCVbVJ"=PF0*8X>
@Z
l ڳ
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }$}$ }}$ }0
Ellington Financial Inc.S11/A
09/30/2010OUR MANAGER Name Age Position With Us
Michael W. Vranos
~
0
(CoChief Investment Officer and Director
Laurence Penn~
.&Chief Executive Officer, President andDirector
Daniel Margolis
~
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/4ym1g\?pdX0=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }U}$ } <}
$
Ellington Financial Inc.S11/A
09/30/2010B: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~
~
~
?
~
Ronald I. Simon
~
r
~
~
?
~
^iEdward Resendez~
r~
~
?
~
^i$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,bVJ>hl`T,=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$}$ }2
Ellington Financial Inc.S11/A
09/30/2010
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>
@
l ?
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }I }$ }}$ }}$ }}$ }
Ellington Financial Inc.S11/A
09/30/2010JBBase Management Fees, Incentive Fees and Reimbursement of Expenses Example Adjusted Net Income Excess Adjusted Net
Incentive Fee
Incentive Fee
(expressed as % of
Income over Hurdle
(expressed as % of
(expressed as % of!shareholders? equity) (1)Rate (expressed as %shareholders? equity)Adjusted Net Income)of shareholders?
equity) (2) (3)~
!
9.00%
0.00%
0.00%
0.00%~
!
12.00%
3.00%
0.75%
6.25%~
!15.00%
6.00%
1.50%10.00%~
!25.00%16.00%
4.00%16.00%~
!35.00%26.00%
6.50%18.57%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4 ZNB6cU
wk_7=PF0*8X>
@
l N!_7u>
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }:}$ }}$}$ } }
$}$ }
}$}$ }}$
N
Ellington Financial Inc.S11/A
09/30/2010JBBase Management Fees, Incentive Fees and Reimbursement of Expenses
. &(Dollars in thousands except per share Three Month Three Month
Three Month Three Month
amounts)
Period Ended
Period Ended
Period Ended
Period Ended
September 30,December 31,
March 31,June 30,~
f~
f
~
j~
j2
*Calculation of Hurdle Amount for Incentive
CalculationPeriod (1):(A)1)Annual hurdle rate (the greater of (i) 9%~
& %~
&
%~
& %~
& %4,and (ii) 3% plus the ten year Treasury rate)(B)2*Hurdle price per share (the sum of (i) theq=
ף7@{G8@
(\µ8@R8@1)weighted average gross proceeds per share/'of all common share issuances (adjusted/'as discussed in the definitions above);0(and (ii) the result obtained by dividing%(x) retained earnings attributable to2*our common shares at the beginning of each2*period by (y) the average number of common.&shares outstanding for each day duringeach period)(C)/'Average number of our common shares and~
.~
~
~
62*LTIPs outstanding for each day during eachperiod (in thousands)(D)5Quarterly Hurdle Amount ? 1/4 x A x B x C (2)~
nf~
Rk
~
bk~
hDlZNB6RdxaJ.MmWA !"#$%&'()*+,./0123456789:;<=>? (E) 2 *Cumulative Hurdle Amount for the Incentive
~
ƥ !!!Calculation Period (1)"""""""""" "
"""
"""""###.$&Calculation of Adjusted Net Income for$
$$$
$$$$$%Incentive Calculation&Period (1):'(F)'1')Net increase in shareholders? equity from'~
'jf''~
'z'
'~
'''~
'fF'(((%operations, after all base management))/)'fees, and excluding any noncash equity**0*(compensation expenses during such period+(G)++Loss Carryforward++ +?+++ + ?+
++ +
?+++ +?+,,,,,,,,,, ,
,,,
,,,,,(H).&Quarterly Adjusted Net Income ? F ? G:~
jf~
z
~
~
fF.(I).4.,Cumulative Adjusted Net Income for Incentive....... .
...
..~
././//Calculation Period (1)0000000000 0
000
0000011122*Calculation of Incentive Fee for Incentive2
222
222223Calculation4Period (1):5(J)525*Cumulative Hurdle Amount for the Incentive5555555 5
555
55~
5ƥ566.6&Calculation Period (same as (E) above)7777777777 7
777
777778(K)848,Cumulative Adjusted Net Income for Incentive8888888 8
888
88~
889919)Calculation Period Less Cumulative Hurdle::$:Amount ? I  J (if positive);(L);;Incentive fee rate;;;;;;; ;
;;;
;;;~
;f ;%<<<<<<<<<< <
<<<
<<<<<=(M)=3=+Incentive fee for the Incentive Calculation======= =
===
==~
==>>$>Period ? K x L (if positive)?(N)?1?)Incentive fee incurred for prior quarters?~
???~
?#?
?~
??????D,le9TK gP92nr@ABCDEFGHIJKLM@@0@(included in Incentive Calculation PeriodAA~
AB(O)BB%Cumulative Incentive fee incurred forBBBBBBB B
BBB
BB~
BBCC8C0prior quarters included in Incentive CalculationDDD
Period (1)EEEEEEEEEE E
EEE
EEEEEFF0F(Incentive fee for the three month periodFFFFFFF F
FFF
FF
F$?FGG1G)ended June 30, 2010 ? M ? O (if positive)HHHHHHHHHH H
HHH
HHHHHIJ$K____________________________1L)Created by Morningstar Document Research.0M(http://documentresearch.morningstar.com/ 8
&$=PF0*8X>
@8MMLLKKFFBB???? ??
==885544 33 22 .. 
'''' ''
''&& %% $$
l !&^^
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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)!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }y}$ }I }$
!
Ellington Financial Inc.S11/A
09/30/2010YQTransactions 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)~
"\~
r %0
(American Financial Group, Inc. ( 2)
~

333333@
%1)FBR Capital Markets Corporation ( 3)~
zW~
2 %.&Legg Mason Opportunity Trust ( 4)~
fffff4@ %+#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)~
"\~
r %Laurence Penn (10)~
"\~
r %Mark Tecotzky (10)~
"\~
r %Lisa Mumford ? ?Thomas Robards (11)~
: *"Ronald I. Simon, Ph.D (12)~
2u *Edward Resendez (13)~
: *%All officers and directors as a group~
F<@ %$____________________________1)Created by Morningstar Document Research.DlK?3'1v3O+w=1% 0 (http://documentresearch.morningstar.com/H=PF0*8X>
@"
l y
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }U5}$ }}$ }}$ }
} U
Ellington Financial Inc.S11/A
09/30/2010SKCertain Information With Respect to Previous Issuances of Our Common Shares Shares Purchased
Total Average
or LTIPs
Consideration
Price PerGranted (1)
Share1)Shares purchased by existing shareholders~
J~
;(\3@~
3
+Shares issued to our Manager as part of its
~
\
?
?
incentive fee (3)4,LTIP units granted pursuant to our incentive~
1 ? ? plans (4)0(Shares issued pursuant to the conversion~
a ? ? of LTIP units (5)/'New shares being purchased by investors~
~
#~
^ in this offering$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6QE99WVA=PF0*8X>
@R
l h
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With RespecTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y#}$ }
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Underwriter Number
of Shares%Deutsche Bank Securities Inc.
Total
~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,znJX4(=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Per Share
Total
Without
With
Without
WithOverallotmentOverallotmentOverallotment
Overallotment"Underwriting Discounts and~
~
~
~
"
Commissions paid by us (1)$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(WTznbz=PF0*8X>
@
l ;\
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y<}$ }
;
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Page,
$CONSOLIDATED FINANCIAL STATEMENTS AS
3+OF JUNE 30, 2010 AND DECEMBER 31, 2009, AND1)FOR THE THREE AND SIX MONTH PERIODS ENDED4
,JUNE 30, 2010 AND JUNE 30, 2009 (UNAUDITED):5Consolidated Statement of Assets, LiabilitiesF2 and Shareholders? Equity6.Consolidated Condensed Schedule of InvestmentsF3,$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, 2009DlznJ"n69!cQ9k# !"#$%&'()*+,./0123456789:3 +AND 2008 AND FOR THE PERIOD AUGUST 17, 2007,!$(COMMENCEMENT OF OPERATIONS) THROUGH"DECEMBER 31, 2007:##/$'REPORT OF INDEPENDENT REGISTERED PUBLIC$$F46%ACCOUNTING FIRM&&5'Consolidated Statement of Assets, Liabilities''F47 (and Shareholders? Equity))6*.Consolidated Condensed Schedule of Investments**F48++,,$Consolidated Statement of Operations,,F60:.2Consolidated Statement of Changes in Shareholders?..F61/Equity00,1$Consolidated Statement of Cash Flows11F622223*Notes to Consolidated Financial Statements33F6344,5$Schedule II?Valuation and Qualifying55F886 Accounts*7$8____________________________19)Created by Morningstar Document Research.0:(http://documentresearch.morningstar.com/:{chP~$D,=PF0*8X>
@::9988
l Ea
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }mB}$ }}$ }
E
Ellington Financial Inc.S11/A
09/30/2010Shareholders' Equity
June 30, 2010 December 31, 2009
!
Expressed in U.S. DollarsASSETS!Cash and cash equivalents~
J~
D
.&Investments and financial derivatives:/'Investments at value (Cost?$876,979,752[bArAand $753,892,552)7/Financial derivatives?assets (Cost?$153,122,927~
o"~
Dzand $113,567,635)3+Total investments and financial derivativesT,A2A0(Deposits with dealers held as collateral~
b5~
z$&Receivable for securities sold*gA~
(z)!Interest and principal receivable~
~
7Deferred offering costs~
~
bPrepaid insurance~
֗ ?Total Assets@FA{ALIABILITIES.&Investments and financial derivatives:D"lpdyrqT\}
37 !"#$%&'()*+,./0123456789:;<=>?> 6Investments sold short at value (Proceeds?$721,847,422 ^A ~
w!and $509,587,384)?"7Financial derivatives?liabilities (Proceeds?$14,841,461""~
"Nl""~
"JY#and $8,043,963)$$$$$$$3%+Total investments and financial derivatives%%%A@A%%~
%*{&&&&&&&%'Reverse repurchase agreements''~
'if''':KA&(Due to brokers?margin accounts((~
(Vm((~
(z:c() Payable for securities purchased))~
)UX))~
)J *%Accounts payable and accrued expenses**~
***~
*{#+Accrued base management fee++~
+C++~
+eE,Accrued incentive fees,, ,?,,~
,ӊ&Interest and dividends payable~
B'~
R......./Total Liabilities///,'A///fWA00000001SHAREHOLDERS? EQUITY11~
1ڹF11~
1vyG222222223*TOTAL LIABILITIES AND SHAREHOLDERS? EQUITY33@FA33{A4444444)5!ANALYSIS OF SHAREHOLDERS? EQUITY:55555506(Common shares, no par value, 100,000,0006~
6z93D6~
6
E57shares authorized; (11,985,670 and 11,972,113&8shares issued and outstanding)9%Additional paidin capital?LTIP units99~
9b99~
9:::::::";Total Shareholders? Equity;~
;ڹF;~
;vyG<<<<<<<=PER SHARE INFORMATION:======#>Common shares, no par value>>(\8@>>
ףp=
9@???????Dlik)9V=}BwL@ABCD@A$B____________________________1C)Created by Morningstar Document Research.0D(http://documentresearch.morningstar.com/
P=PF0*8X>
@DDCCBB>>>>;;;;66663333
l =&
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }a}$ }*}$ }}$}$ }y
} $ }
=
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Current Principal/ Description Rate Maturity
Value
Notional Amount Expressed in U.S. Dollars+
#Long Investments (300.76%)(a)(b)(l)
,$MortgageBacked Securities (300.76%)
#Agency Securities (217.35%)
.&Fixed Rate Agency Securities (185.62%)
0(Principal and Interest?Fixed Rate Agency
Securities (113.41%)$ 84,795,463$Government National Mortgage~
%6/40~
FAssociation 733726 Pool~
˟$Government National Mortgage~
%6/40 ~
6Association 676727 Pool~
!Federal National Mortgage~
%6/39 ~
(&Association AA7010 Pool~
?!Federal National Mortgage~
%5/40 ~
&Association AD4061 Pool~
x!Federal National Mortgage~
%1/38 ~
6DC
lznD)!bY)u !"#$%&'()*+,./0123456789:;< Association 969626 Pool~
!1!!!Federal National Mortgage!~
! !%!!5/40!! ~
!
z\"""Association AD4103 Pool~
#:"#!#Federal National Mortgage##@ #%##6/39## ~
#
$$$Association AA7781 Pool~
%:%!%Federal National Mortgage%~
% %%%%3/40%% ~
%
b1&&&Association AD2376 Pool~
'6'!'Federal National Mortgage''@ '%''7/39'' ~
'
&(((Association AC1210 Pool~
)+)$)Government National Mortgage)~
) )%))6/40)) ~
)
***Association 697753 Pool~
+zab+!+Federal National Mortgage+~
+ +%++7/40++ ~
+
,,+,#Association AD7598 Pool (PreIssue)~
.9$Government National Mortgage~
 %4/40 ~

_...Association 737198 Pool~
//!/Federal National Mortgage/~
/ /%//1/39// ~
/
C000Association 991126 Pool~
1f
1"1Federal Home Loan Mortgage1~
1 1%114/3911 ~
1
h;222Corporation A85728 Pool~
3Ї3!3Federal National Mortgage3
36.00%33
312/3833 ~
3
444Association 970853 Pool~
5bF5$5Government National Mortgage5
54.50%5554/4055 ~
5
V7T666Association 737176 Pool~
7ڦ47"7Federal Home Loan Mortgage7
75.00%7778/3977 ~
7
F888Corporation A87956 Pool9$:____________________________1;)Created by Morningstar Document Research.0<(http://documentresearch.morningstar.com/>
06Sl1K\v6=PF0*8X>
@j
<<
;;
::
l 8RGQ
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }a}$ }I"}$ }}$ }y
}$ } y
8
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Current Principal/ Description Rate Maturity
Value
Notional AmountExpressed inU.S. Dollars0
(Principal and Interest?Fixed Rate Agency
( Securities (113.41%) (continued)~
RT!Federal National Mortgage
6.00%1/39~
ƭAssociation 934966 Pool~
Rj!Federal National Mortgage
6.00%1/40~
sAssociation AD1524 Pool~
_!Federal National Mortgage
6.00%9/39~
NgAssociation AC0766 Pool~
Other Federal National
6.00%2/40~
Nʓ"Mortgage Association Pools ~
fO 4,TBA?Fixed Rate Agency Securities (72.21%)(c) ~
!Federal National Mortgage
5.00%7/10~
Association (30 Year)~
h $Government National Mortgage
5.00%7/10~
R(
Association (30 Year)~
. !Federal National Mortgage
4.50%7/10~
N
Dh
lzn\AQ#Jq6]kg
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
Association (30 Year)~
!!"!Federal Home Loan Mortgage!
!4.50%!!7/10!!~
! >I"""Corporation (30 Year)~
#Zb#!#Federal National Mortgage#
#6.00%##8/10##~
# :$$$Association (30 Year)~
%Zb%!%Federal National Mortgage%
%5.00%%%8/10%%~
% &&&Association (30 Year)~
''"'Federal Home Loan Mortgage'
'4.00%''7/10''~
' Ja(((Corporation (30 Year)~
)z)!)Federal National Mortgage)
)4.00%))7/10))~
) f{***Association (30 Year)~
+ =+!+Federal National Mortgage+
+6.00%++7/10++~
+ 3B,,,Association (30 Year) .........~
. 632////////// 00(Total Fixed Rate Agency Securities (Cost0000000 YHA1rtA2222222222 34$5____________________________16)Created by Morningstar Document Research.07(http://documentresearch.morningstar.com/4P
(QzAiCQ9!=PF0*8X>
@b77 66 55 1100
l JrW
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }a}$ }0.}$ }}$ }<}$ }
J
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Current Principal/ Description Rate Maturity
Value
Notional AmountExpressed inU.S. Dollars0
(Floating Rate Agency Securities (31.73%)
,$Principal and Interest?Floating Rate "Agency Securities (31.73%)$ 24,166,337%Federal National Mortgage Association
5.61%2/38~
973108 Pool~
6K%Federal National Mortgage Association
5.11%5/38~
E968454 Pool~
%Federal National Mortgage Association
5.76%
10/36~
]879659 Pool~
=X%Federal National Mortgage Association
5.20%2/38~
v
{879705 Pool~
j\D%Federal National Mortgage Association
3.84%7/35~
_840238 Pool~
2%Federal National Mortgage Association
5.53%1/36~
J0849311 Pool~
.&Federal Home Loan Mortgage Corporation
3.24%4/37~
m1G1675 Pool~
y%Federal National Mortgage Association
5.52%9/37~
"952440 PoolD)
lzn\AQEwHo9
_0
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
8
9
:
;
<
=
>
?
!%Total Floating Rate Agency Securities!!!!!!~
! D"(Cost $91,628,928)########## 3$+Total Agency Securities (Cost $632,229,477)$$$$$$$ A%%%%%%%%%% )&!Private Label Securities (83.41%)&&&&&&& ,'$Principal and Interest?Private Label''''''' (Securities (80.46%)~
)xX))Various))0.41%  109.27%))12/16  5/47))~
) w8********** ,+$Total Principal and Interest?Private++++++~
+ w8,Label Securities(Cost $239,397,309).......... ./&Interest Only?Private Label Securities/////// 0(2.95%)~
1u)11Various11
0.50%  6.40%114/35  9/4711~
1 .2222222222 43,Total Interest Only?Private Label Securities333333~
3 .4(Cost $4,699,211)5555555555 +6#Residual Certificates?Private Label6666666 7Securities (0.00%)~
8p988Various8 8?886/3788 8 ?9999999999 +:#Total Residual Certificates?Private:::::: : ?;Label Securities<(Cost $653,755)========== :>2Total Private Label Securities (Cost $244,750,275)>>>>>>~
> fD:?????????? D?lkb]>(giVC M@
A
B
C
D
E
F
G
H
I
.@&Total MortgageBacked Securities (Cost@@@@@@@ [bAA"ABBBBBBBBBB 2C*Total Long Investments (Cost $876,979,752)CCCCCC[bADDDDDDDDDD EF$G____________________________1H)Created by Morningstar Document Research.0I(http://documentresearch.morningstar.com/tbf=PF0*8X>
@
!II HH GG CCCC AA@@>><<;;::7766443300//,,++((''&&$$""!!
l >
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }a}$ }0}$ }}$ }y
}$ } }
$
>
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Current Principal/ Description Rate Maturity
Value
Notional AmountExpressed in
U.S. Dollars,
$Investments Sold Short (247.35%)(d)
%TBA?Fixed Rate Agency Securities Sold
Short (247.35%)(c)~
X{%Federal National Mortgage Association
4.50%7/10~
(
(30 Year)~
{0(Government National Mortgage Association
5.00%7/10~
F
(30 Year)~
}%Federal National Mortgage Association
5.00%7/10~
~N
(30 Year)~
v0(Government National Mortgage Association
5.00%8/10~
(30 Year)~
C.&Federal Home Loan Mortgage Corporation
5.50%7/10~
ވ
(30 Year)~
L;%Federal National Mortgage Association
6.00%8/10~
(30 Year)~
L;%Federal National Mortgage Association
5.50%8/10~
F
(30 Year)~
Y%Federal National Mortgage Association
6.00%7/10~
D
lznD)mJd7Sp !"#$%&'()*+,./0123456789:;<= (30 Year)~
!yl!.!&Federal Home Loan Mortgage Corporation!
!4.50%!!7/10!!~
! ƶK!
""" (30 Year)~
###%Federal National Mortgage Association#
#5.50%##7/10##~
# j#
$$$ (30 Year)~
%#%%%Federal National Mortgage Association%
%5.00%%%8/10%%~
% f%
&&& (30 Year)~
'''%Federal National Mortgage Association'
'4.00%''8/10''~
' '
((( (30 Year)~
)ʑ).)&Federal Home Loan Mortgage Corporation)
)5.00%))7/10))~
) )
*** (30 Year)~
++0+(Government National Mortgage Association+
+4.50%++7/10++~
+ +
,,, (30 Year)~
H.&Federal Home Loan Mortgage Corporation
4.00%7/10~
 F
... (30 Year)~
///%Federal National Mortgage Association/
/4.00%//7/10//~
/ ]/
000 (30 Year)1111111111 1
.2&Total TBA?Fixed Rate Agency Securities2222222 ^2
3
Sold Short 4(Proceeds $721,847,422)5555555555 5
.6&Total Investments Sold Short (Proceeds66^6
7$721,847,422)8888888888 8
9:$;____________________________1<)Created by Morningstar Document Research.0=(http://documentresearch.morningstar.com/@
D9V)sFb1_e=PF0*8X>
@==
<<
;;
776666 443322
l ?Z
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }6Total Financial Derivatives?Assets (Cost $153,122,927)~
o"Dlzn6M9Hk/s*fP !"#$%&'()*+,./0123456789:;<=>
!!!!!2"*Financial Derivatives?Liabilities (6.30%)""""""""" "
"#####$Swaps (5.48%)$$$$$$$$$ $
$%%%%%&Long Swaps:&&&&&&&&& &
&4',Credit Default Swaps on Asset Backed Indices''Credit'~
''''8/37  10/52'~
' "Lq'#((Proceeds  $14,841,461)(f))))))*Short Swaps:********* *
*+Interest Rate Swaps(j)++Interest Rates+~
+P+++10/14  5/15++ ~
+
+,,,,,,,,,, ,
,+.#Total Swaps (Proceeds $14,841,461)......... ~
.
+'.////////// /
/000001Futures (0.82%) (k)111111111 1
12Short Futures:222222222 2
23EuroDollar contracts33Interest Rates3~
33339/10  3/123~
3 9l34444444444 4
45
Total Futures555555555 ~
5
9l56666666666 6
6/7'Total Financial Derivatives?Liabilities77777777~
7 d78(Proceeds $14,841,461)9999999999 9
9:;$<____________________________1=)Created by Morningstar Document Research.0>(http://documentresearch.morningstar.com/B9Xp4z>d@t/Ok
@Z>>==<<77
33
''
l _
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }I"}$ }}$
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Dealer/Parent Company
Percent of
Shareholders? Equity$Affiliates of Morgan Stanley(\5@ %#Affiliates of Credit Suisseffffff&@ %#
Affiliates of Deutsche Bank
Gz@
%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/*ehzn>d=PF0*8X>
@
l 6
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }}$
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Rating Description
Percentage of
Shareholders? Equity!Unrated but AgencyIssued33333+k@ %Aaa/AAA/AAA)\( @ %
Aa/AA/AA
(\0@
%
A/A/A(\@ %Baa/BBB/BBBQ@ %Ba/BB/BB or below@G@ %Unrated~
%$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/2zn>g%h =PF0*8X>
@
l Q41CI
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0.}$ }}$ }y
}$ } y
Q
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits 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
3.38%
11/19~
80Total U.S. Treasury Securities (Cost $6,981,860)~
,$MortgageBacked Securities (249.73%) #Agency Securities (179.56%) .&Fixed Rate Agency Securities (111.59%) 0(Principal and Interest?Fixed Rate Agency Securities (98.13%)Dlzn\@!INl=
W
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
8
9
:
;
<
=
>
?
~
!F!.!&Federal Home Loan Mortgage Corporation!
!5.00%!
!10/39!!~
! m}"""A89303 Pool#####~
$bLu$$%Federal National Mortgage Association$
$5.00%$$7/39$$~
$ z%%%931563 Pool&&&&&~
'U''%Federal National Mortgage Association'
'5.00%''6/39''~
' (((AA7010 Pool)))))~
***%Federal National Mortgage Association*
*4.50%**7/39**~
* ~*+++931555 Pool,,,,,~
Vn %Federal National Mortgage Association
6.00%1/38~
 VY...969626 Pool/////~
000%Federal National Mortgage Association0
04.50%006/3900~
0 111AA7781 Pool22222~
3Bu3.3&Federal Home Loan Mortgage Corporation3
36.00%339/3933~
3 گ444A88479 Pool55555~
6>fr66%Federal National Mortgage Association6
65.50%661/3966~
6 X777992296 Pool88888~
9r9.9&Federal Home Loan Mortgage Corporation9
96.50%999/3899~
9 #:::A81799 Pool;;;;;~
<V<<%Federal National Mortgage Association<
<5.50%<<7/39<<~
< ===AC1210 Pool>>>>>~
???%Federal National Mortgage Association?
?6.00%??1/39??~
? hD<lnYDj.Un?Y*@
A
B
C
D
E
F
G
H
I
J
K
L
M
N
O
P
@@@991126 PoolAAAAA~
B+BB%Federal National Mortgage AssociationB
B5.00%BB6/39BB~
B rCCCAA8720 PoolDDDDD~
Ej}EE%Federal National Mortgage AssociationE
E4.50%EE7/39EE~
E "FFF931603 PoolGGGGG~
HNZHH%Federal National Mortgage AssociationH
H5.50%HH7/39HH~
H xIII931511 PoolJJJJJ~
K~K.K&Federal Home Loan Mortgage CorporationK
K6.00%KK4/39KK~
K ^2=LLLA85728 PoolM$N____________________________1O)Created by Morningstar Document Research.0P(http://documentresearch.morningstar.com/&u@kVpH=PF0*8X>
@zPP OO NN
l 3i r
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0}$ }}$ }y
}$ } y
3
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of ContractsExpressed in
U.S. Dollars0(Principal and Interest?Fixed Rate Agency 'Securities (98.13%) (continued)$ 8,107,716%Federal National Mortgage Association
5.50%8/39~
AA9129 Pool~
?%Federal National Mortgage Association
6.00%
12/38~
970853 Pool~
e8.&Federal Home Loan Mortgage Corporation
5.00%8/39~
Τ@A87956 Pool~
^%Federal National Mortgage Association
6.00%1/39~
934966 Pool~
3g%Federal National Mortgage Association
6.00%9/39~
tmAC0766 Pool~
"_%Federal National Mortgage Association
6.00%
11/36~
d902880 Pool ~
l$F 4,TBA?Fixed Rate Agency Securities (13.46%)(c) Dlzn\@!IS$zKr
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
~
 %Federal National Mortgage Association
4.00% 1/10 ~
!!! (30 Year)~
"Zb""%Federal National Mortgage Association"
"4.00%""2/10""~
" K### (30 Year)~
$B$$%Federal National Mortgage Association$
$4.50%$$1/10$$~
$ %%% (30 Year)~
&&0&(Government National Mortgage Association&
&5.50%&&1/10&&~
& ''' (30 Year)(((((((((( )))))))))~
) >w ********** 0+(Total Fixed Rate Agency Securities (Cost++++++~
+ O~
,jSO ./$0____________________________11)Created by Morningstar Document Research.02(http://documentresearch.morningstar.com/*hV)R{)7'=PF0*8X>
@b22 11 00 ,,++
l ;.,
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0.}$ }}$ }y
}$ }
;
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of ContractsExpressed in
U.S. Dollars0(Floating Rate Agency Securities (67.97%) ,$Principal and Interest?Floating Rate "Agency Securities (67.97%)~
.&Federal Home Loan Mortgage Corporation
6.20%1/37~
*r71J1558 Pool~
O.&Federal Home Loan Mortgage Corporation
5.74%2/37~
61N1428 Pool~
J%Federal National Mortgage Association
5.71%9/37~
R946842 Pool~
%Federal National Mortgage Association
4.45%8/35~
840243 Pool~
%%Federal National Mortgage Association
5.12%5/38~
>d[968454 Pool~
%Federal National Mortgage Association
5.55%5/37~
Ƒ
918119 Pool~
%Federal National Mortgage Association
5.84%2/37~
:909945 PoolDBlzn\@!II#U{F
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
8
9
:
~
X . &Federal Home Loan Mortgage Corporation
5.94% 1/37 ~
!!!1N1460 Pool~
"z^""%Federal National Mortgage Association"
"4.73%""7/35""~
" *{###840238 Pool~
$$$%Federal National Mortgage Association$
$6.01%$$4/37$$~
$ =%%%914820 Pool~
&>&.&&Federal Home Loan Mortgage Corporation&
&5.27%&&4/37&&~
& ",'''1G1675 Pool~
(j((%Federal National Mortgage Association(
(6.12%((8/36((~
( ¾)))886455 Pool~
*>3*.*&Federal Home Loan Mortgage Corporation*
*5.79%**5/37**~
* ޙ+++1J1652 Pool~
,^b,,%Federal National Mortgage Association,
,5.77%,,9/37,,~
, =q952440 Pool.......... ////0%Total Floating Rate Agency Securities000000~
0 01(Cost $197,937,966)2222222222 333334+Total Agency Securities (Cost $532,389,896)4444444
A5555555555 67$8____________________________19)Created by Morningstar Document Research.0:(http://documentresearch.morningstar.com/:U&Mt=fH=PF0*8X>
@j
:: 99 88 441100
l 8
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }}$ }}$ }}$ }
8
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits Current Principal/ Description Rate Maturity
Value
Notional Amount/Number of ContractsExpressed in
U.S. Dollars)!Private Label Securities (70.17%) ,$Principal and Interest?Private Label Securities (66.17%)~
LRVarious0.30%  111.94%3/25  5/47~
K/ ,$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) +#Residual Certificates?Private Label Securities (0.00%)Dlzn\@!IP1(rtaN+
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
~
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, ,?,,3/10,,~
, bd Purchased.......... %/Total Options (Cost $580,860)//////~
/ bd0000000000 21*Total Long Investments (Cost $753,892,552)111111rA2222222222 34$5____________________________16)Created by Morningstar Document Research.07(http://documentresearch.morningstar.com/4
x{_D84"8qz~=PF0*8X>
@77 66 55 1111 //++))((&&$$##""
l 35
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0}$ }}$ }y
}$ } }
$
3
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
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)DlznD( %Gd7Tp !"#$%&'()*+,./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
00
,,++++ ))((''
l C I$ ^%
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y<}$ }}$ }}$ }<} $ }
}$
C
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
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
Dlzn6M9Hk,TI !"#$%&'()*+,./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 $8,043,963)========== =
=>?D2l
0YmC!{?>Yf@AB$@____________________________1A)Created by Morningstar Document Research.0B(http://documentresearch.morningstar.com/
(=PF0*8X>
@ZBBAA@@;;
77
&&
l ;
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }I"}$ }m}$
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits 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/*6hzn>A=PF0*8X>
@
l 4T
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }}$
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits 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/4zn>h_W=PF0*8X>
@
l =}
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Shareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }y}$ }y}
$ }y}$ }y}$
=
Ellington Financial Inc.S11/A
09/30/2010Income Statement
Three Month Three Month
Six Month
Six Month
Period Ended
Period Ended
Period Ended
Period Ended
June 30, 2010
June 30, 2009
June 30, 2010
June 30, 2009!Expressed in U.S. Dollars
INVESTMENT INCOME
Interest income~
~
) ~
mj
~
w
EXPENSES
Base management fee~
C~
>
~
r
~
Jw
Incentive fee ?~
6%
~
nv
~
6% Sharebased LTIP expense~
V>/~
8
~
[
~
bDoInterest expense~
B5~
~
f
~
=Professional fees~
~
~
7
~
@Compensation expense~
B ?
~
?Insurance expense~
"e~
*
~
."
~
VP
&Agency and administration fees~
®
~
~
N!
~
#Custody and other fees~
X ~
~
~
N{$Directors? fees and expenses~
5~
~
*$
~
"*
Total expenses~
N~
a
~
c
~
zd
$NET INVESTMENT INCOME (LOSS)~
J~
^
~
_
~
Re
DlthT.{(D_yN !"#$%&'()*+,./0123456789:;</ 'NET REALIZED AND UNREALIZED GAIN (LOSS)
0!(ON INVESTMENTS AND FINANCIAL DERIVATIVES$"Net realized gain (loss) on:""""""""" "
"""
"""#Investments##~
#zU###~
### #
~
#.##
#~
# #
$Swaps$$~
$$$$~
$Ѐ$$ $
~
$2$$
$~
$l$%Futures%%~
%h%%%~
%%% %
~
%b%%
%~
%%&Purchased options&& &?&&&~
&r&& &
~
&&&
&~
&r&'''''''''' '
'''
'''(((~
((((~
(.(( (
~
(@F((
(~
(()))))))))) )
)))
)))0*(Change in net unrealized gain (loss) on:********* *
***
***+Investments++~
+UD+++~
+8
++ +
~
+j}Q++
+~
+S+
,Swaps,,~
,F],,,~
," 7,, ,
~
,,,
,~
,O,Futures~
vP~
 
~

~
.Purchased options.. .?...~
.ڗ.. .
~
.!..
.~
.ڗ.////////// /
///
///000~
0000~
0
00 0
~
000
0~
0kO
01111111111 1
111
111/2'NET REALIZED AND UNREALIZED GAIN (LOSS)22~
22L222~
2J722 2
~
2GT22
2~
2s#
203(ON INVESTMENTS AND FINANCIAL DERIVATIVES4444444444 4
444
44405(NET INCREASE (DECREASE) IN SHAREHOLDERS?5~
555~
5^B55 ~
5
Q55
~
55(6 EQUITY RESULTING FROM OPERATIONS7777777777 7
777
77789$:____________________________1;)Created by Morningstar Document Research.0<(http://documentresearch.morningstar.com/>u0
9^z;b7<
@<<;;::555555
55
l 0"
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income Statement
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }$4}$ }y}$ }}
$ }}$ }I}$
0
Ellington Financial Inc.S11/A
09/30/2010Shareholders' Equity
Three Month Three Month
Six Month
Six Month
Period Ended
Period Ended
Period Ended
Period Ended
June 30, 2010
June 30, 2009
June 30, 2010
June 30, 2009!Expressed in U.S. Dollars0
(CHANGE IN SHAREHOLDERS? EQUITY RESULTING
FROM OPERATIONS$Net investment income (loss)~
J~
^ ~
_
~
Re/'Net realized gain (loss) on investments~
~
.
~
@F
~
!and financial derivatives/'Change in net unrealized gain (loss) on~
~
~
~
kO
%investments and financial derivatives
0(Net increase (decrease) in shareholders?~
~
^B
~
Q
~
( equity resulting from operations
0(CHANGE IN SHAREHOLDERS? EQUITY RESULTING
%FROM SHAREHOLDER TRANSACTIONS2*Shares issued in connection with incentive~
B ?
~
?fee paymentDividends paid~
PC ?
~
2
?Shares repurchased ?~
"î
?
~
"@Sharebased LTIP awards~
V>/~
8
~
[
~
bDo3+Special distribution to Ellington Financial ?~
^
?
~
D0lpdP8= $,88 !"#$%&'()*+,./ Management LLC!!!!!!!!!! !
!!!
!!!0"(Net increase (decrease) in shareholders?""~
"2u"""~
"ǃ"" "
~
"vn""
"~
"6B",#$equity from shareholder transactions$$$$$$$$$$ $
$$$
$$$0%(Net increase (decrease) in shareholders?%%~
%
@//..))))))
))
l iT {
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)Tax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }I;}$ }}$ }}$
i
Ellington Financial Inc.S11/A
09/30/2010
Cash Flows Six Month Six Month
Period Ended
Period Ended
June 30, 2010
June 30, 2009!Expressed in U.S. Dollars9
1INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS:
0(NET INCREASE (DECREASE) IN SHAREHOLDERS?~
Q~
( EQUITY RESULTING FROM OPERATIONS2*Cash flows provided by (used in) operatingactivities:5Reconciliation of the net increase (decrease).&in shareholders? equity resulting from0(operations to net cash provided by (used!in) operating activities:/'Change in net unrealized (gain) loss on~
:~
z%investments and financial derivatives/'Net realized (gain) loss on investments~
~
+!and financial derivatives.&Amortization of premiums and accretion~
.<~
Gof discounts (net)Purchase of investments2~
0(Proceeds from disposition of investmentsPA~
\7/Proceeds from principal payments of investments~
~
~
,$Proceeds from investments sold short>BA~
Dlzn ? , $Repurchase of investments sold short ~
Zc7 ~
r 3!+Payments made to open financial derivatives!!~
!p!!!~
!&R!8"0Proceeds received to close financial derivatives""~
"l#"""~
";"7#/Proceeds received to open financial derivatives##~
#* ###~
##4$,Payments made to close financial derivatives$$~
$$$$~
$3$2%*Shares issued in connection with incentive%%~
%%%% %?%&fee payment 'Sharebased LTIP expense''~
'['''~
'bDo'(((&)(Increase) decrease in assets:))))))))4*,(Increase) decrease in repurchase agreements** *?***~
*k*+%(Increase) decrease in receivable for++~
+G+++~
+&+,securities sold4,(Increase) decrease in deposits with dealers~
=J~
j.held as collateral5/(Increase) decrease in interest and principal//~
/,///~
/&/0
receivable01((Increase) decrease in prepaid insurance11~
1.h111~
1VP
1222+3#Increase (decrease) in liabilities:3333333344,Increase (decrease) in due to brokers?margin44~
42)444~
445accounts56Increase (decrease) in payable for securities66~
6N666~
6`67 purchased/8'Increase (decrease) in accounts payable88~
8'888~
8>A89and accrued expenses4:,Increase (decrease) in incentive fee payable::~
:z,u:::~
:6%:5;Increase (decrease) in interest and dividends;;~
;;;;~
;H;<payable.=&Increase (decrease) in base management==~
=:===~
==>fee payable?????????Dll1]Fu)nX
q]X@ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z [ \ ] ^ _ 0@(Net cash provided by (used in) operating@@~
@5t%@@@~
@2@A
activitiesBBBBBBBBBCCC2D*Cash flows provided by (used in) financingDDDDDDDDEactivities:FShares repurchasedFF F?FFF~
F"@F$GDeferred offering costs paidGG~
GJ~GGG~
G6G3H+Special distribution to Ellington FinancialHH H?HHH~
H.(HIManagement LLCJDividends paidJJ~
J2
JJJ J?JK%Reverse repurchase agreements, net ofKK~
KNKKK~
KrKL
repaymentsMMMMMMMMM0N(Net cash provided by (used in) financingNN~
NƗNNN~
NNO
activitiesPPPPPPPPP0Q(NET INCREASE (DECREASE) IN CASH AND CASHQQ~
QZ͊QQQ~
Q"hQREQUIVALENTS/S'CASH AND CASH EQUIVALENTS, BEGINNING OFSS~
SDSSS~
SSTPERIODUUUUUUUUU0V(CASH AND CASH EQUIVALENTS, END OF PERIODV~
VJVV~
VVWWWWWWWWWXXX9Y1Supplemental disclosure of cash flow information:YYYYYYYYZ
Interest paidZ~
Z&gZZ~
Z8EZ[[[[[[[[[2\*Shares issued in connection with incentive\~
\\\
\$?\]fee payment (noncash)^^^^^^^^^*_"Sharebased LTIP awards (noncash)_~
_[__~
_bDo_DlhR,nTB,(`Nb5d` a b c d e f g h `````````1a)Aggregate TBA trade activity (buys/sells)aazǯAaaa
vAab
(noncash)cccccccccde$f____________________________1g)Created by Morningstar Document Research.0h(http://documentresearch.morningstar.com/}qI=PF0*8X>
@hhggffaaaa____\\\\ZZZZVVVV
l P
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }I;}$
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits2 *Single Name and Index Credit Default Swaps Amount at Amount at !
(Asset Backed Securities)
June 30, 2010
December 31, 20090(Fair Value of Written Credit Derivatives~
ZV~
2*Fair Value of Purchased Credit Derivatives~
ֳ~
6P
%Offsetting Written Credit Derivativeswith Third Parties (1)91Notional Amount of Written Credit Derivatives (2)~
O$~
r7/Notional Amount of Purchased Credit Derivatives~
~
b%Offsetting Written Credit Derivativeswith Third Parties (1)$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0znrs];=PF0*8X>
@z
l /J
cV
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }8}$ }}$ }}$ }
}
$ }
}$ }y}$
/
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Derivative Type Primary Risk Net Realized
Change in Net
Net Realized
Change in Net
Exposure
Gain/(Loss) for
Unrealized
Gain/(Loss) for
Unrealized the ThreeGain/(Loss) for
the SixGain/(Loss) forMonth Period the Three
Month Periodthe Six
Ended June 30,
Month Period
Ended June 30,
Month Period~
jEnded June 30,
~
jEnded June 30,~
j
~
j$Financial derivatives?assets
7/Credit Default Swaps on Asset Backed SecuritiesCredit~
m~
~
~
>b4,Credit Default Swaps on Asset Backed IndicesCredit~
dS~
V&
~
6~
~%e.&Credit Default Swaps on Corporate BondCredit~
6"~
6
~
6"~
6Indices/'Credit Default Swaps on Corporate BondsCredit~
~
1
~
Bt~
~?^Other SwapsCredit~
Bw~
H
~
Bw~
MInterest Rate SwapsInterest Rates~
Z ?
~
Z~
S
~
~k~
~
7~
*
)!Financial derivatives?liabilities
7/Credit Default Swaps on Asset Backed SecuritiesCredit~
r~
b,
~
ZԚ~
24,Credit Default Swaps on Asset Backed IndicesCredit~
>q{~
~
.~
.&Credit Default Swaps on Corporate BondCredit~
ZB~
z[N
~
~
EIndicesDflzn%]r_FI=YmcE !"#$%&'()*+,. Total Return Swaps
Equity Market ~
~
~
2 ~
[ !Interest Rate Swaps!!Interest Rates!!~
!r9!!!~
! Ƚ!
!!~
!
r9!!!~
!!"""""""""" "
"""
"""""#####~
#v###~
# ^l#
##~
#
ڀ###~
##$$$$$$$$$$ $
$$$
$$$$$%Futures contracts%%%%%%%%% %
%%%
%%%%%#&Short EuroDollar contracts&&Interest Rates&&~
&h&&&~
& vP&
&&~
&
b&&&~
&&'''''''''' '
'''
'''''
(Total(((~
(rJ((~
(=A(
(~
(z((~
(z()))))))))) )
)))
)))))*+$,____________________________1)Created by Morningstar Document Research.0.(http://documentresearch.morningstar.com/"44?*Fa=PF0*8X>
@*%..,,(((( ((
((
l ,p
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }8}$ }}$ }y}$ } }
$ }
}$ }
}$
,
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Derivative Type Primary Risk Net Realized
Change in Net
Net Realized
Change in Net
Exposure
Gain/(Loss)
Unrealized
Gain/(Loss)
Unrealized
for the ThreeGain/(Loss)
for the SixGain/(Loss)Month Period
for the Three
Month Periodfor the Six
Ended
Month Period
Ended
Month Period
June 30, 2009
Ended
June 30, 2009
Ended
June 30, 2009
June 30, 2009$Financial derivatives?assets
7/Credit Default Swaps on Asset Backed SecuritiesCredit~
~
S
~
%~
4,Credit Default Swaps on Asset Backed IndicesCredit~
.~
[t
~
Fe~
w .&Credit Default Swaps on Corporate BondCredit~
jJ~
rN
~
~
Indices/'Credit Default Swaps on Corporate BondsCredit~
Jf~
v\
~
~
ÅTotal Return Swaps
Equity Market~
~
~
FbB~
R
~
h.~
^9
~
~
)!Financial derivatives?liabilities
7/Credit Default Swaps on Asset Backed SecuritiesCredit~
~
#
~
N~
//'Credit Default Swaps on Corporate BondsCredit~
?
~
?Total Return Swaps
Equity Market~
~
2w
~
2U~
rZInterest Rate SwapsInterest Rates~
~
P
~
Ie~
n:
D:lzn7kjW>3OczYB7 !"#$%&'()*+ ~
gR ~
τ
~
kN ~
H !!!!!!!!!! !
!!!
!!!!!"Futures contracts""""""""" "
"""
"""""##Short EuroDollar contracts##Interest Rates##~
####~
# #
##~
#
###~
##$$$$$$$$$$ $
$$$
$$$$$
%Total%%%~
%*r~%%~
%:%
%~
%b%%~
%
H4%&&&&&&&&&& &
&&&
&&&&&'($)____________________________1*)Created by Morningstar Document Research.0+(http://documentresearch.morningstar.com/0;&B]=PF0*8X>
@*%++**))%%%% %%
%%
l 9
F
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }>}$ }}$ }}
$ }}
$ }}$

Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Description Level 1 Level 2
Level 3
Total
Assets:
Investments at value?
<4U.S. Treasury and agency residential mortgagebacked
$?A
$?
A
securities1)Private label residential mortgagebacked ? ?
~
fD:
~
fD:
securities"Total investments at value ?A
~
fD:
[bA
%Financial derivatives?assets?
1)Credit default swaps on corporate indices ?~
6y
?
~
6y
7/Credit default swaps on asset backed securities ? ?
~
.
~
.
4,Credit default swaps on asset backed indices ?~
j
?
~
j*"Total financial derivatives?assets ?~
~
.
~
o"
:2Total investments and financial derivatives?assets
$?A ~
2U
T,A
Liabilities:
Investments sold short?
<4U.S. Treasury and agency residential mortgagebacked
$?^
$?
^
securities
*"Financial derivatives?liabilities?
Dlzn2]sn)i4`J !"#$%&'()*+,4 ,Credit default swaps on asset backed indices ? ~
"Lq
?
~
"Lq !Interest rate swaps!! !?!!!~
!!! !
!?!!
~
!!4",Unrealized depreciation on futures contracts""~
"9l""" "?"" "
"?""
~
"9l"/#'Total financial derivatives?liabilities##~
#9l###~
#+'## #
#?##
~
#d#$$$$$$$$$$ $
$$$
$$2%*Total investments sold short and financial%~
%9l%%%%%
%
$?%%
A@%&derivatives?liabilities'''''''''' '
'''
''()$*____________________________1+)Created by Morningstar Document Research.0,(http://documentresearch.morningstar.com/5CU=PF0*8X>
@,,++**%%%%%%
%%
l 5
N
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }>}$ }}$ }}
$ }}$ }}$
5
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Description Level 1 Level 2
Level 3
Total
Assets:
Investments at value?
<4U.S. Treasury and agency residential mortgagebacked
$?=O>A
$?
=O>A
securities1)Private label residential mortgagebacked ? ?
~
N'2
~
N'2
securitiesPurchased options~
bd ?
?
~
bd
"Total investments at value~
bd=O>A
~
N'2
rA
%Financial derivatives?assets?
/'Credit default swaps on corporate bonds ? ?
~
S
~
S7/Credit default swaps on asset backed securities ? ?
~
n~
~
n~4,Credit default swaps on asset backed indices ?~
?
~
Interest rate swaps ?~
R
?
~
ROther swaps ? ?
~
~
*"Total financial derivatives?assets ?~
澲
~
:
~
Dz
:2Total investments and financial derivatives?assets~
bdA ~
J
2A
Liabilities:
D}lznM7<&CwFQ !"#$%&'()*+,./01234 Investments sold short?
<!4U.S. Treasury and agency residential mortgagebacked!
!$?!!~
!,/!!
!
$?!!
~
!,/!"
securities########## #
###
###*$"Financial derivatives?liabilities?$$$$$$$$$ $
$$$
$$$1%)Credit default swaps on corporate indices%% %?%%%~
%n%% %
%?%%
%~
%n%7&/Credit default swaps on asset backed securities&& &?&&& &?&& &
~
&:&&
&~
&:&4',Credit default swaps on asset backed indices'' '?'''~
'^'' '
'?''
'~
'^'(Total return swaps(( (?(((~
(*(( (
(?((
(~
(*(4),Unrealized depreciation on futures contracts))~
)))) )?)) )
)?))
)~
))********** *
***
***/+'Total financial derivatives?liabilities++~
++++~
+k++ +
~
+:++
+~
+
+,,,,,,,,,, ,
,,,
,,,2*Total investments sold short and financial~
~
 ~

:
~
Մ.derivatives?liabilities////////// /
///
///01$2____________________________13)Created by Morningstar Document Research.04(http://documentresearch.morningstar.com/.E/cuzy{8I=1 =PF0*8X>
@443322
!!!!!!
!!
l ,&>0
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }8}$ }}$ }y} $ }
y}
$ }}$ }
}$ }$}$ }
,
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Beginning Accreted Realized
Change in Net Net Transfers In Ending
Balance as of
Discounts/
Gain/(Loss)
Unrealized
Purchases
and/or Out
Balance as of March 31, Amortized
Gain (Loss)(Sales)
of Level 3
June 30, 2010~
jPremiums
Assets:
Investments at value?
1)Private label residential mortgagebacked~
28~
r~
GM~
X~
$?~
fD:
securities
"Total investments at value~
28~
r ~
GM
~
X~
?~
fD:
%Financial derivatives?assets?
/'Credit default swaps on corporate bonds~
? ~
~
1~
? ?7/Credit default swaps on asset backed securities~
, ? ~
m
~
~
8 ?~
.
Other swaps~
6 ? ~
Bw
~
H~
? ?
*"Total financial derivatives?assets~
Vr ? ~
~
bߡ~
?~
.
3+Total investments and financial derivatives~
NU~
r~
~
z`~
$?~
2U?asset
Liabilities:
*"Financial derivatives?liabilities?
Dlzn6j+u^&kY! !"#$%&'()*+7 /Credit default swaps on asset backed securities ~
FX
$? ~
r ~
b, ~
F
$?
$?!!!!!!!!!! !
!!!
!!!!!!!!!!!!/"'Total financial derivatives?liabilities""~
"FX""" "?"" ~
"
r"""
~
"b,"""~
"
F""" "?"" "?########## #
###
############2$*Total investments sold short and financial$~
$FX$$
$$?$~
$ r$$~
$
b,$$~
$
F$$
$$?$
$$? %derivatives? liabilities&&&&&&&&&& &
&&&
&&&&&&&&&&&&'($)____________________________1*)Created by Morningstar Document Research.0+(http://documentresearch.morningstar.com/ =uM=PF0*8X>
@5++**))$$$$$$
$$
$$$$$$
l dp
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y<}$ }y}$ }$} $ }
I}
$ }y}$ }y}$ }$}$ }y}$

Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Beginning Accreted Realized
Change in Net Transfers In Ending
Balance as of
Discounts/
Gain/(Loss)
Net
Purchases
and/or Out
Balance as of March 31, Amortized
Unrealized(Sales)
of Level 3
June 30, 2009~
fPremiums
Gain (Loss)
Assets:
Investments at value?
1)Private label residential mortgagebacked~
R_#~
~
go~
j~
u
$?~
*,
securitiesTrade claims ? ?
?
~
A ? ?~
A
"Total investments at value~
R_#~
~
go~
j*I
~
u
$?~
*
%Financial derivatives?assets?
/'Credit default swaps on corporate bonds~
" ? ~
Jf
~
n\~
rG ?~
FD7/Credit default swaps on asset backed securities~
~ ? ~
~
S~
` ?~
:Other swaps~
W ?
?
? ? ?~
W
*"Total financial derivatives?assets~
p ? ~
Fx
~
_~
FO ?~
>Q
:2Total investments and financial derivatives?assets~
N;~
~
%~
~
^i
$?~
f
?I
Liabilities:
*"Financial derivatives?liabilities?
D" lzn*g@*u1Y>X !"#$%&'()*+,/ 'Credit default swaps on corporate bonds
$?
$? ~
$? ~
>
$?
$? 7!/Credit default swaps on asset backed securities!!~
!P!!! !?!! ~
!
!!!
~
!#!!!~
!.U!!! !?!!~
!f!"""""""""" "
"""
"""""""""""""/#'Total financial derivatives?liabilities##~
#P### #?## ~
#
###
~
#####~
#jU### #?##~
#f#$$$$$$$$$$ $
$$$
$$$$$$$$$$$$$2%*Total investments sold short and financial%~
%P%%
%$?%~
% %%~
%
#%%~
%jU%%
%$?%~
%f% &derivatives? liabilities'''''''''' '
'''
'''''''''''''()$*____________________________1+)Created by Morningstar Document Research.0,(http://documentresearch.morningstar.com/
\]5=PF0*8X>
@=,,++**%%%%%%
%%
%%%%%%
l +ì
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y<}$ }}$ }y} $ }
}
$ }y}$ }}$ }$}$ }
+
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Beginning Accreted Realized
Change in Net Transfers Ending
Balance as of
Discounts/
Gain/(Loss)
Net
Purchases
In and/or
Balance as ofDecember 31, Amortized
Unrealized(Sales)Out ofJune 30,~
fPremiums
Gain (Loss)Level 3~
j
Assets:
Investments at value?
1)Private label residential mortgagebacked~
N'2~
yj~
:Q~
+ ~
$?~
fD:
securities
"Total investments at value~
N'2~
yj ~
:Q
~
+ ~
?~
fD:
%Financial derivatives?assets?
/'Credit default swaps on corporate bonds~
S ? ~
Bt
~
~?^~
j' ? ?7/Credit default swaps on asset backed securities~
n~ ? ~
~
>b~
\9 ?~
.
Other swaps~
? ~
Bw
~
M~
? ?
*"Total financial derivatives?assets~
: ? ~
^SE
~
ʄ~
ҐL ?~
.
:2Total investments and financial derivatives?assets~
J~
yj~
~
V~
ZId ?~
2U
Liabilities:
*"Financial derivatives?liabilities?
7/Credit default swaps on asset backed securities~
:
$?~
ZԚ~
2~
$?
$?Dlzn6y,d,mto+ !"#$%&'()*
/!'Total financial derivatives?liabilities!!~
!:!!! !?!! ~
!
ZԚ!!!
~
!2!!!~
!!!! !?!! !?"""""""""" "
"""
""""""""""""2#*Total investments sold short and financial#~
#:##
#$?#~
# ZԚ##~
#
2##~
###
#$?#
#$? $derivatives? liabilities%%%%%%%%%% %
%%%
%%%%%%%%%%%%&'$(____________________________1))Created by Morningstar Document Research.0*(http://documentresearch.morningstar.com/^&
n=PF0*8X>
@7**))((######
##
######
l .
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y<}$ }}$ }$}$ } I}
$ }
y}$ }}$ }$}$ }y
.
Ellington Financial Inc.S11/A
09/30/2010
Tax Audits
Beginning Accreted Realized
Change in Net Transfers Ending
Balance as of
Discounts/
Gain/(Loss)
Net
Purchases
In and/or
Balance as ofDecember 31, Amortized
Unrealized(Sales)Out ofJune 30,~
bPremiums
Gain (Loss)Level 3~
f
Assets:
Investments at value?
1)Private label residential mortgagebacked~
4
"~
{~
\
~
~
Z
$?~
*,
securities
Trade claims ? ? ?
~
A ? ?~
A
"Total investments at value~
4
"~
{~
\
~
R~
Z
$?~
*
%Financial derivatives?assets?
/'Credit default swaps on corporate bonds~
:g ?~
~
Å~
u ?~
FD7/Credit default swaps on asset backed securities~
N ?~
%
~
~
6b ?~
:Other swaps~
W ? ?
? ? ?~
W
*"Total financial derivatives?assets~
Ff0 ?~
z
~
~
* ?~
>Q
:2Total investments and financial derivatives?assets~
:>~
{~
R6
~
F ~
$?~
f
?I
Liabilities:
DglznB6q[/MG} !"#$%&'()*+,* "Financial derivatives?liabilities?
/!'Credit default swaps on corporate bonds!
!$?!
!$?!~
! !
!
!$?!!~
!>!!
!$?!
!$?7"/Credit default swaps on asset backed securities""~
""" "?""~
" N"
""~
"
2/"""~
"1T""" "?""~
"########## #
###
###########/$'Total financial derivatives?liabilities$$~
$$$ $?$$~
$ $
$$~
$
2/$$$~
$R'T$$$ $?$$~
$%%%%%%%%%% %
%%%
%%%%%%%%%%%2&*Total investments sold short and financial&~
&&
&$?&~
&&
&~
&2/&&~
&R'T&&
&$?&~
& 'derivatives? liabilities(((((((((( (
(((
((((((((((()*$+____________________________1,)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/ >wS'=PF0*8X>
@?,,++&&&&&& &&
&&&&&&!!!!!! !!
!!!!!!
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }}$ }<}$ }m
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;
Total LTIP Manager LTIP
Director LTIP
Units
Units
Units.<IP Units outstanding, March 31, 2010~
1~
b~
"NGranted ? ? ?
Exercised
?
?
?%LTIP Units Outstanding, June 30, 2010~
1~
b~
"N1)LTIP Units Vested & Outstanding, June 30,~
U~
BB~
~
j$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6xl`2T!J<=PF0*8X>
@
l !
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }}$ }<}$ }m
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;
Total LTIP Manager LTIP
Director LTIP
Units
Units
Units.<IP Units outstanding, March 31, 2009~
E~
b~
aGranted ? ? ?
Exercised
?
?
?%LTIP Units Outstanding, June 30, 2009~
E~
b~
a1)LTIP Units Vested & Outstanding, June 30,~
2~
"~
'~
f$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6xl`2T!J<=PF0*8X>
@
l <
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }}$ }<}$ }m}$
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;
Total LTIP Manager LTIP
Director LTIP
Units
Units
Units1)LTIP Units outstanding, December 31, 2009~
X~
b~
2uGranted ? ? ?
Exercised
~
?
~
%LTIP Units Outstanding, June 30, 2010~
1~
b~
"N1)LTIP Units Vested & Outstanding, June 30,~
U~
BB~
~
j$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6xl`e[khaS=PF0*8X>
@
l W
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }}$ }<}$ }m
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;
Total LTIP Manager LTIP
Director LTIP
Units
Units
Units1)LTIP Units outstanding, December 31, 2008~
E~
b~
aGranted ? ? ?
Exercised
?
?
?%LTIP Units Outstanding, June 30, 2009~
E~
b~
a1)LTIP Units Vested & Outstanding, June 30,~
2~
"~
'~
f$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6xl`2QG9=PF0*8X>
@
l o
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }2}$ }
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;1 )Common Shares Outstanding, March 31, 2010 ~
>m
Share Activity:+#Shares issued from initial offering ?
Shares Repurchased
?2*Shares issued in connection with incentive~
fee payment%Director LTIP units exercised ?0(Common Shares Outstanding, June 30, 2010~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/6xl`
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }2}$ }}$
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;1 )Common Shares Outstanding, March 31, 2009 ~
Share Activity:+#Shares issued from initial offering ?
Shares Repurchased
~
`
2*Shares issued in connection with incentive ?fee payment%Director LTIP units exercised ?0(Common Shares Outstanding, June 30, 2009~
vi$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/61xl`0~*t&l`T,=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }2}$ }
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;/ 'Common Shares Outstanding, December 31, ~
F~
fShare Activity:+
#Shares issued from initial offering
?Shares Repurchased ?2*Shares issued in connection with incentive~
Ƭfee payment%Director LTIP units exercised~
'0(Common Shares Outstanding, June 30, 2010~
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8xl`
@
l D
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }2}$ }}$
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;/ 'Common Shares Outstanding, December 31, ~
F ~
bShare Activity:+
#Shares issued from initial offering
?
Shares Repurchased~
22*Shares issued in connection with incentive ?fee payment%Director LTIP units exercised ?0(Common Shares Outstanding, June 30, 2009~
vi$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/8Qxl`0rh`TH =PF0*8X>
@
l #
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }1}$ }}$}$ }}
$ }}$}
$ }}$
#
Ellington Financial Inc.S11/A
09/30/2010 Summary information#151;
Three Month Three Month
Six Month
Six Month
Period Ended
Period Ended
Period Ended
Period Ended
June 30, 2010
June 30, 2009
June 30, 2010
June 30, 20090(Beginning Shareholders? Equity Per Shareq=
ףp8@Gz4@
ףp=
9@
QE3@1
)(3/31/10, 3/31/09, 12/31/09 and 12/31/08,
respectively)Net Investment IncomeQ?p=
ף?
zG?
?.&Net Realized/Unrealized Gains (Losses)QοQ@
Qο
@
Results of Operations{Gz?)\(@
Gz?
@Dividends Paidp=
ףп * ?
*
?,$Accretive Effect of Share Repurchase ?{Gz?
?
?Offering Costs ? ?
?
?ShareBased LTIP AwardsQ?{Gz?
p=
ף?
333333?&Manager Special Distribution** ?Q
?
333333ÿ
%Ending Shareholders? Equity Per Share(\8@Q7@
(\8@
Q7@/'(6/30/10, 6/30/09, 6/30/10 and 6/30/09,respectively)***
)!Shares Outstanding, end of period~
~
vi
~
~
viDlxl`Lp;")SZpr !"$ ____________________________1!)Created by Morningstar Document Research.0"(http://documentresearch.morningstar.com/
(=PF0*8X>
@""!!
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }<(}$ }a}$}$ }a}$}$ }} $}
$ }}$
Ellington Financial Inc.S11/A
09/30/2010XPNet Asset Based Total Return for a Shareholder, excluding Manager shares: (1)(2)
Three Month Period Three Month Period Six Month Period
Six Month Period
Ended June 30,
Ended June 30,
Ended June 30,
Ended June 30,~
j~
!f~
j
~
!f)!Total Return before Incentive Fee? %~
J %=
ףp=@ %
(\;@ %
Incentive Fee
~
%
HzG
%
(\ſ
%
Q
%
( Total Return after Incentive Fee? %Gz.@ %(\@ %
Q7@ %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/0 L@4(LwBf=PF0*8X>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }<(}$ }a}$}$ }}$
Ellington Financial Inc.S11/A
09/30/2010kcSupplemental Information#151;Net Asset Based Total Return for a Shareholder, excluding Manager shar Three Month Period Six Month Period
Ended June 30,
Ended June 30,~
j~
j)!Total Return before Incentive FeeQ %? %
Incentive Fee
~
%
{GzĿ
%( Total Return after Incentive FeeQ %Gz? %$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/09!KYwkC=PF0*8X>
@
l /
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!Net Asset Based Total Return fo!Supplemental Information151Net !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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }a}$}$ }a}$}$ }} $}
$ }}$
Ellington Financial Inc.S11/A
09/30/2010kcNet Investment Income Ratio to Average Shareholders#146; Equity, excluding the Manager shares: (5)(
Three Month Period Three Month Period Six Month Period
Six Month Period
Ended June 30,
Ended June 30,
Ended June 30,
Ended June 30,~
j~
f~
j
~
f Net Investment Income(7))\("@ %Gz&@ %ffffff#@ %
Q8!@ %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/(T9!y9i]Q)=PF0*8X>
@
l (M
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }a/}$ }a}$}$ }a}$}$ }} $}
$ }}$
Ellington Financial Inc.S11/A
09/30/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Three Month Period Three Month Period Six Month Period
Six Month Period
Ended June 30,
Ended June 30,
Ended June 30,
Ended June 30,~
j~
f~
j
~
f/'Operating expenses before incentive feeGz %Q %RQ %
(\ %
and interest expense
Incentive fee~
%Gz
%{GzĿ %
ffffff %Interest expense
ףp=
%Q %Gz %
HzG %
Total Expensesq=
ףp %fffff! %{Gz %
(\" %
$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4
A5)AbBW{=PF0*8X>
@
l Jk
z
}
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }?. &Investments and financial derivatives: >!6Investments sold short at value (Proceeds?$509,587,384!~
!
w!~
!) "and $37,593,749)/#'Financial derivatives?depreciated value##~
#JY##~
#5 0$((Net Proceeds?$8,043,963 and $7,681,250)%%%%%%%3&+Total investments and financial derivatives&&~
&*{&&~
&=I
%'Reverse repurchase agreements''':KA''~
'»>&(Due to brokers?margin accounts((~
(z:c((~
(i() Payable for securities purchased))~
)J ))~
)*Accrued incentive fees**~
*ӊ** *?+%Accounts payable and accrued expenses++~
+{++~
+:IO#,Accrued base management fee,,~
,eE,,~
,~&Interest and dividends payable~
R~
^'.%Due to Ellington Financial Management.. .?..~
./LLC00000001Total Liabilities111fWA11~
1hm22222223SHAREHOLDERS? EQUITY33~
3vyG33~
326z9444444425*TOTAL LIABILITIES AND SHAREHOLDERS? EQUITY55{A55dA6666666)7!ANALYSIS OF SHAREHOLDERS? EQUITY:77777708(Common shares, no par value, 100,000,0008888889shares authorized;0:((11,972,113 and 12,510,033 shares issued:~
:
E:~
:n8;and outstanding)<%Additional paidin capital?LTIP units<<~
<<<~
<ƫ=======">Total Shareholders? Equity>~
>vyG>~
>26z9???????DluAj{0Q$^
w@ABCDEFGHI@PER SHARE INFORMATION:@@@@@@0A(Common shares, no par value, 100,000,000AA
ףp=
9@AAQE3@5Bshares authorized; (11,972,113 and 12,510,033&Cshares issued and outstanding)DDDDDDDEF$G____________________________1H)Created by Morningstar Document Research.0I(http://documentresearch.morningstar.com/&ocW/=PF0*8X>
@IIHHGGAAAA>>>>::::5555!!!!
l B
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0.}$ }}$ }y
}$ } y
B
Ellington Financial Inc.S11/A
09/30/2010c[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
3.38%
11/19~
80Total U.S. Treasury Securities (Cost $6,981,860)~
,$MortgageBacked Securities (249.73%) #Agency Securities (179.56%) .&Fixed Rate Agency Securities (111.59%) 0(Principal and Interest?Fixed Rate Agency Securities (98.13%)D!lA5)puEUKg6
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
8
9
:
;
<
=
>
?
~
F . &Federal Home Loan Mortgage Corporation
5.00%
10/39 ~
m}!!!A89303 Pool~
"bLu""%Federal National Mortgage Association"
"5.00%""7/39""~
" z###931563 Pool~
$U$$%Federal National Mortgage Association$
$5.00%$$6/39$$~
$ %%%AA7010 Pool~
&&&%Federal National Mortgage Association&
&4.50%&&7/39&&~
& ~*'''931555 Pool~
(Vn ((%Federal National Mortgage Association(
(6.00%((1/38((~
( VY)))969626 Pool~
***%Federal National Mortgage Association*
*4.50%**6/39**~
* +++AA7781 Pool~
,Bu,.,&Federal Home Loan Mortgage Corporation,
,6.00%,,9/39,,~
, گA88479 Pool~
.>fr..%Federal National Mortgage Association.
.5.50%..1/39..~
. X///992296 Pool~
0r0.0&Federal Home Loan Mortgage Corporation0
06.50%009/3800~
0 #111A81799 Pool~
2V22%Federal National Mortgage Association2
25.50%227/3922~
2 333AC1210 Pool~
444%Federal National Mortgage Association4
46.00%441/3944~
4 h555991126 Pool~
6+66%Federal National Mortgage Association6
65.00%666/3966~
6 r777AA8720 Pool~
8j}88%Federal National Mortgage Association8
84.50%887/3988~
8 "999931603 Pool~
:NZ::%Federal National Mortgage Association:
:5.50%::7/39::~
: x;;;931511 Pool~
<~<.<&Federal Home Loan Mortgage Corporation<
<6.00%<<4/39<<~
< ^2====A85728 Pool>$?____________________________DplT%{Ls=d5[&MsD@
A
1@)Created by Morningstar Document Research.0A(http://documentresearch.morningstar.com/=PF0*8X>
@zAA @@ ??
l 3
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0}$ }}$ }y
}$ } y
3
Ellington Financial Inc.S11/A
09/30/2010c[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. Dollars0(Principal and Interest?Fixed Rate Agency 'Securities (98.13%) (continued)~
%Federal National Mortgage Association
5.50%8/39~
AA9129 Pool~
?%Federal National Mortgage Association
6.00%
12/38~
970853 Pool~
e8.&Federal Home Loan Mortgage Corporation
5.00%8/39~
Τ@A87956 Pool~
^%Federal National Mortgage Association
6.00%1/39~
934966 Pool~
3g%Federal National Mortgage Association
6.00%9/39~
tmAC0766 Pool~
"_%Federal National Mortgage Association
6.00%
11/36~
d902880 Pool ~
l$F 4,TBA?Fixed Rate Agency Securities (13.46%)(c) D&
lA5)p]2Y*P^
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
~
 %Federal National Mortgage Association
4.00% 1/10 ~
!!! (30 Year)~
"Zb""%Federal National Mortgage Association"
"4.00%""2/10""~
" K### (30 Year)~
$B$$%Federal National Mortgage Association$
$4.50%$$1/10$$~
$ %%% (30 Year)~
&&0&(Government National Mortgage Association&
&5.50%&&1/10&&~
& ''' (30 Year)(((((((((( )))))))))~
) >w ********** 0+(Total Fixed Rate Agency Securities (Cost++++++~
+ JO~
,jSO ./$0____________________________11)Created by Morningstar Document Research.02(http://documentresearch.morningstar.com/*hV)R{)7'=PF0*8X>
@b22 11 00 ,,++
l 8
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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 (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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0.}$ }}$ }y
}$ }
8
Ellington Financial Inc.S11/A
09/30/2010c[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. Dollars0(Floating Rate Agency Securities (67.97%) ,$Principal and Interest?Floating Rate "Agency Securities (67.97%)~
.&Federal Home Loan Mortgage Corporation
6.20%1/37~
*r71J1558 Pool~
O.&Federal Home Loan Mortgage Corporation
5.74%2/37~
61N1428 Pool~
J%Federal National Mortgage Association
5.71%9/37~
R946842 Pool~
%Federal National Mortgage Association
4.45%8/35~
840243 Pool~
%%Federal National Mortgage Association
5.12%5/38~
>d[968454 Pool~
%Federal National Mortgage Association
5.55%5/37~
Ƒ
918119 Pool~
%Federal National Mortgage Association
5.84%2/37~
:909945 Pool~
X.&Federal Home Loan Mortgage Corporation
5.94%1/37~
DJ
lA5)pp'MtEl
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
1N1460 Pool~
!z^!!%Federal National Mortgage Association!
!4.73%!!7/35!!~
! *{"""840238 Pool~
###%Federal National Mortgage Association#
#6.01%##4/37##~
# =$$$914820 Pool~
%>%.%&Federal Home Loan Mortgage Corporation%
%5.27%%%4/37%%~
% ",&&&1G1675 Pool~
'j''%Federal National Mortgage Association'
'6.12%''8/36''~
' ¾(((886455 Pool~
)>3).)&Federal Home Loan Mortgage Corporation)
)5.79%))5/37))~
) ޙ***1J1652 Pool~
+^b++%Federal National Mortgage Association+
+5.77%++9/37++~
+ =q,,,952440 Pool .%Total Floating Rate Agency Securities......~
. 0/(Cost $197,937,966)0000000000 31+Total Agency Securities (Cost $532,389,896)1111111
A2222222222 34$5____________________________16)Created by Morningstar Document Research.07(http://documentresearch.morningstar.com/4o
'NtElA#=PF0*8X>
@j
77 66 55 11//..
l 9+
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }a/}$ }}$ }}$ }
9
Ellington Financial Inc.S11/A
09/30/2010c[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)!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) D(lA5)pGt`'{
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
8
+ #Residual Certificates?Private Label !Securities (0.00%)~
"Ήc=""Various" "?""6/37""~
" >########## +$#Total Residual Certificates?Private$$$$$$~
$ >%Label Securities&(Cost $697,664)'''''''''' :(2Total Private Label Securities (Cost $213,939,936)((((((~
( N'2)))))))))) .*&Total MortgageBacked Securities (Cost******* QOA+t>A,,,,,,,,,, Options (0.01%)(d) ../.'284 S&P 500 Index Put Options Purchased. .?..3/10..~
. bd////////// %0Total Options (Cost $580,860)000000~
0 bd1111111111 22*Total Long Investments (Cost $753,892,552)222222rA3333333333 45$6____________________________17)Created by Morningstar Document Research.08(http://documentresearch.morningstar.com/6}__+ yznF=PF0*8X>
@88 77 66 2222 00++**((&&%%$$!!
l 3KS
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0}$ }}$ }y
}$ } }
$
3
Ellington Financial Inc.S11/A
09/30/2010c[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)DI
lA5)LCb+H !"#$%&'()*+,./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
00
,,++++ ))((''
l Ew
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y<}$ }}$ }}$ }<} $ }
}$
E
Ellington Financial Inc.S11/A
09/30/2010c[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<<<<<<<<~
<
<=(Net>Proceeds $8,043,963)?????????? ?
?DlQ[uMrG\m2u@ABCD@A$B____________________________1C)Created by Morningstar Document Research.0D(http://documentresearch.morningstar.com/
P=PF0*8X>
@ZDDCCBB<<
88
''
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }I"}$ }}$
Ellington Financial Inc.S11/A
09/30/2010c[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>
@
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }}$
Ellington Financial Inc.S11/A
09/30/2010c[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~
%Baa/BBB/BBBHzG@ %Ba/BB/BB or below(\C@ %Unrated{Gz? %$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/4CA5)fFF:.=PF0*8X>
@
l /
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0}$ }}$}$ }y
} $ }
y
/
Ellington Financial Inc.S11/A
09/30/2010c[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)
~
B0(Sallie Mae Student Loan Trust 20035A A8@ %6/30 ~
GPool
80Total Auction Rate Securities (Cost $25,650,000) ~
G
,$MortgageBacked Securities (169.53%)
#Agency Securities (117.75%)
D7lA5)RS)IfD !"#$%&'()*+,. ,!$Fixed Rate Agency Securities (6.41%)!!!!!!! !
""""0#(TBA?Fixed Rate Agency Securities (6.41%)####### #
~
$$$%Federal National Mortgage Association$~
$ $%$$1/09$$ ~
$
%%% (30 year)&&&&&&&&&& &
0'(Total Fixed Rate Agency Securities (Cost''''''' ~
'
~
()))))))))) )
*+$,____________________________1)Created by Morningstar Document Research.0.(http://documentresearch.morningstar.com/"@s=PF0*8X>
@..

,,
((''##!!
l HD$
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }a}$ }0.}$ }m}$}$ }} $ }
H
Ellington Financial Inc.S11/A
09/30/2010c[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%)
,$Principal and Interest?Floating Rate
#Agency Securities (111.34%)~
.&Federal Home Loan Mortgage CorporationQ@ %2/37~
1N1428 Pool~
b.&Federal Home Loan Mortgage CorporationQ@ %6/38 ~
'1B4134 Pool~
%Federal National Mortgage Associationffffff@ %8/35 ~
JJ840243 Pool~
;%Federal National Mortgage Association
ףp=
@ %9/38 ~
988674 Pool~
Ȱ%Federal National Mortgage Associationq=
ףp@ %5/38 ~
.968454 Pool~
j%Federal National Mortgage Association(\@ %9/38 ~
vK965088 Pool~
R7.&Federal Home Loan Mortgage CorporationRQ@ %6/37 ~
D1B3434 PoolD
lA5)R9 yRi:Rk !"#$%&'()*+,./0123456789:;<=>?~
N . &Federal Home Loan Mortgage Corporation @ %
12/36 ~
!!!1N1385 Pool~
"s""%Federal National Mortgage Association""(\@ "%"
"11/37"" ~
"
.###959755 Pool~
$Ʈ4$.$&Federal Home Loan Mortgage Corporation$$@ $%$$1/37$$ ~
$
rC%%%1N1460 Pool~
&L"&.&&Federal Home Loan Mortgage Corporation&&333333@ &%&&8/36&& ~
&
'8'''1N0186 Pool~
(& ((%Federal National Mortgage Association((\(\@ (%(
(12/37(( ~
(
F)))956653 Pool~
*&[**%Federal National Mortgage Association**(\@ *%**7/35** ~
*
+++840238 Pool~
,~1,.,&Federal Home Loan Mortgage Corporation,,\(\@ ,%,,4/37,, ~
,
1G1675 Pool~
.9..%Federal National Mortgage Association..Q@ .%..8/36.. ~
.
ރH///886455 Pool~
00.0&Federal Home Loan Mortgage Corporation00
ףp=
@ 0%005/3700 ~
0
j1111J1652 Pool2222222222 2
33334%Total Floating Rate Agency Securities4444444 ~
4
?5(Cost $266,187,466)6666666666 6
777738+Total Agency Securities (Cost $281,614,029)8888888 ~
8
NC9999999999 9
::::);!Private Label Securities (51.78%);;;;;;; ;
<<<<3=+Fixed Rate Private Label Securities (6.57%)======= =
>>>>1?)Principal and Interest?Fixed Rate Private??????? ?
D'lF^/vG_wU%s&r@ABCDEFG @Label Securities (5.38%)~
A
AAVariousAA
4.50%  7.37%AAA8/30  6/47AA ~
A
VjBBBBBBBBBB B
CD$E____________________________1F)Created by Morningstar Document Research.0G(http://documentresearch.morningstar.com/5q=PF0*8X>
@GG
FF
EE
@@??==;;885544
l S5aG:O
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }}$ }0.}$ }m}$ }}$ } }
$
S
Ellington Financial Inc.S11/A
09/30/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8)
Current Principal Description Rate Maturity
Value
or Notional AmountExpressed in
U.S. Dollars.
&Interest Only?Fixed Rate Private Label
Securities (1.19%)~
F8Various
0.50%  5.50%8/35  9/47~
ӯ
1)Total Fixed Rate Private Label Securities~
2>
(Cost $20,733,361)
.&Floating Rate Private Label Securities
(45.21%),$Principal and Interest?Floating Rate
)!Private Label Securities (44.88%)~
EVarious
0.53%  9.50%8/19  5/47~
1)Interest Only?Floating Rate Private Label
Securities (0.33%)~
Various
3.27%  4.63%6/35  1/45~
0
4,Total Floating Rate Private Label Securities~
~
(Cost $177,230,322)D
lA5)RH*tV@,oDf !"#$%&'()*+,./0123456789:;<=>?
+!#Residual Certificates?Private Label!!!!!!! !
"Securities (0.00%)~
#ΩI##%Bear Stearns Structured Product 2007# #?##6/37## # ?#
$$$
N6 2C Pool%%%%%%%%%% %
+&#Total Residual Certificates?Private&&&&&& & ?&
'Label Securities((Cost $840,438))))))))))) )
:*2Total Private Label Securities (Cost $198,804,121)******~
* Q*
++++++++++ +
.,&Total MortgageBacked Securities (Cost,,,,,,~
, Vpa,
~
er.......... .
2/*Total Long Investments (Cost $508,888,292)/////~
/ ~f/
0000000000 0
(1 Repurchase Agreements (1.88%)(d)1111111 1
~
2k22
Deutsche Bank22
0.00%  0.40%221/092~
2k2
333%Collateralized by Par Value 4,100,0003333333 3
44.4&U.S. Treasury Note Coupon 2.75%4.00%,55!5Maturity Date 07/1008/186666666666 6
57Total Repurchase Agreements (Cost $4,528,875)77777~
7k7
8888888888 8
+9#Investments Sold Short (15.94%)(e)9999999 9
4:,U.S. Treasury Securities Sold Short (3.19%)::::::: :
~
;Z;;Various;;
2.75%  4.00%;;7/10  8/18;~
;K*;
<<<<<<<<<< <
1=)Total U.S. Treasury Securities Sold Short======~
= K*=
>(Proceeds $6,980,858)?????????? ?
D)ll!i[K;q^K@ABCDEFGHIJKLMNOPQR@%TBA?Fixed Rate Agency Securities Sold@@@@@@@ @
AShort (12.75%)~
BylBB%Federal National Mortgage AssociationB
B6.00%BB1/09BB~
B rPB
CCC (30 year)~
DylDD%Federal National Mortgage AssociationD
D5.00%DD2/09DD~
D V[D
EEE (30 year)FFFFFFFFFF F
.G&Total TBA?Fixed Rate Agency SecuritiesGGGGGG~
G ƫG
H
Sold ShortI(Proceeds $30,612,891)JJJJJJJJJJ J
.K&Total Investments Sold Short (ProceedsKKKKK~
KbK
L
$37,593,749)MMMMMMMMMM M
NO$P____________________________1Q)Created by Morningstar Document Research.0R(http://documentresearch.morningstar.com/*hoTq
v`=1T=PF0*8X>
@r.RR
QQ
PP
LLKKKK IIHHGGAA@@>>==;; ::997777 22 11//// ,,**((''&&""!!
l 3qz
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y<}$ }}$ }}$ }} $
3
Ellington Financial Inc.S11/A
09/30/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Notional or Range of
Value
Number of
Expiration Dates ContractsExpressed in
U.S. DollarsSwaps (51.59%) %Swaps?Appreciated (58.77%)(f) Long Swaps?Appreciated Total Return Swaps~
O
11/13~
V Other Swaps~
G
09/13~
W Short Swaps?Appreciated 2*Credit Default Swaps on Corporate Bonds(h)~
01/09  12/13~
:g :2Credit Default Swaps on Asset Backed Securities(i)~
2F
06/34  12/36~
N 7/Credit Default Swaps on Asset Backed Indices(j)~
2%
01/09  10/52~
m .&Credit Default Swaps on Corporate Bond~
M
12/13~
R
Indices(k)Total Return Swaps~
12/13~
3+Total Swaps?Appreciated (Cost $126,786,798)~
! DlA5)!)d4c!f^
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
% Swaps?Depreciated (7.18%)(g) !!!!"Long Swaps?Depreciated""""""""" 7#/Credit Default Swaps on Asset Backed Securities#~
#M###
05/34  09/36#~
#u# $(Proceeds $7,681,250)(l)%Total Return Swaps%~
%b%%
%11/13%%~
%J% &&&&'Short Swaps?Depreciated''''''''' (Interest Rate Swaps(m)(~
(m(((
09/11  10/11((~
(t( )Total Return Swaps)~
)))
)12/13))~
)r/) ********** ++++5,Total Swaps?Depreciated (Proceeds $7,681,250),,,,,,~
,,  ./$0____________________________11)Created by Morningstar Document Research.02(http://documentresearch.morningstar.com/*hk;JY^=PF0*8X>
@R
22 11 00 ,,##
l
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)
NO TITLENO TITLE (1)NO TITLE (2)U }y#}$ }}$
Ellington Financial Inc.S11/A
09/30/2010c[Expense Ratios to Average Shareholders#146; Equity, excluding the Manager shares: (5)(6)(8) Rating Description
Percentage of
Shareholders? Equity%Unrated but Agency Affiliatedp]@ %Rated Above Ba or BBQH@ %"
Rated At or below Ba or BB
Hz#@
%Treasury Securitiesq=
ףp? %$____________________________1)Created by Morningstar Document Research.0(http://documentresearch.morningstar.com/,
A5)fv, =PF0*8X>
@
l :c2
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)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)
NO TITLENO TITLE (1)NO TITLE (2)U }0}$ }y}$ }y}
$ }y}$
:
Ellington Financial Inc.S11/A
09/30/2010Income Statement
Year Ended
Year Ended
August 17, 2007
December 31, 2009
December 31, 2008
(commencement
of operations)
Through
December 31, 2007!Expressed in U.S. DollarsINVESTMENT INCOME
Interest income~
FhT~
f! ~
h
EXPENSES
Base management fee~
f3~
~
"R
Incentive fee~
~
Jl
? Sharebased LTIP expense~
A~
֑
~
v[7Interest expense~
/~
y
? Other operating expenses~
~
6
~
SN
Total expenses~
Y~
~
.q
$NET INVESTMENT INCOME (LOSS)~
n`~
~
V
/'NET REALIZED AND UNREALIZED GAIN (LOSS)
0(ON INVESTMENTS AND FINANCIAL DERIVATIVES$Net realized gain (loss) on:
Dlth1ya!lSMW
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
5
6
7
8
9
Investments ~
&w ~
f1
~
k
!Swaps!!~
!R!!!~
!&)!! !
!?!"Futures""~
":g""" "?"" "
"?"#Purchased options##~
#+### #?## #
#?#$$$$$$$$$$ $
$$%%%~
%:z%%%~
%
%% %
~
%k%&&&&&&&&&& &
&&0'(Change in net unrealized gain (loss) on:''''''''' '
''(Investments((~
("6(((~
(*8(( (
~
(?(
)Swaps))~
)b~)))~
)9J)) )
~
))*Futures**~
**** *?** *
*?*+Purchased options++~
+r+++ +?++ +
+?+,,,,,,,,,, ,
,,~
~
qi 
~
rN.......... .
..//'NET REALIZED AND UNREALIZED GAIN (LOSS)//~
/w///~
/~\]// /
~
/VZ;/00(ON INVESTMENTS AND FINANCIAL DERIVATIVES1111111111 1
1102(NET INCREASE (DECREASE) IN SHAREHOLDERS?2~
2VC22~
2."l22 ~
2
2(3 EQUITY RESULTING FROM OPERATIONS4444444444 4
4456$7____________________________18)Created by Morningstar Document Research.09(http://documentresearch.morningstar.com/8SU{
co1h4*=PF0*8X>
@998877222222
l 5
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareholders Equity (1)Tax Audits (3)Tax Audits (4)Tax Audits (5)Tax Audits (6)Tax Audits (7)Tax Audits (8)Tax Audits (9)Tax Audits (10)Tax Audits (11)Tax Audits (12)Tax Audits (13)Tax Audits (14)Tax Audits (15)Tax Audits (16)Tax Audits (17)Income StatementShareholders Equity (2)
Cash FlowsTax Audits (18)Tax Audits (19)Tax Audits (20)Tax Audits (21)Tax Audits (22)Tax Audits (23)Tax Audits (24)Tax Audits (25)Tax Audits (26)Summary information151Summary information151 (1)Summary information151 (2)Summary information151 (3)Summary information151 (4)Summary information151 (5)Summary information151 (6)Summary information151 (7)Summary information151 (8)!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)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)
NO TITLENO TITLE (1)NO TITLE (2)U }$4}$ }}$ }}
$ }y}$
5
Ellington Financial Inc.S11/A
09/30/2010Shareholders' Equity
Year Ended
Year Ended
August 17, 2007
December 31, 2009
December 31, 2008
(commencement
of operations)
Through
December 31, 2007!Expressed in U.S. Dollars0(CHANGE IN SHAREHOLDERS? EQUITY RESULTING
FROM OPERATIONS$Net investment income (loss)~
n`~
~
V/'Net realized gain (loss) on investments~
:z~
~
k!and financial derivatives/'Change in net unrealized gain (loss) on~
~
qi
~
rN%investments and financial derivatives
0(Net increase (decrease) in shareholders?~
VC~
."l
~
( equity resulting from operations
0(CHANGE IN SHAREHOLDERS? EQUITY RESULTING
%FROM SHAREHOLDER TRANSACTIONS1)Net proceeds from the issuance of shares:
$From the initial offering(1) ? ?
~
:#92*Shares issued in connection with incentive~
"Pe~
F
?fee paymentDlpduU0g6DV
!
"
#
$
%
&
'
(
)
*
+
,

.
/
0
1
2
3
4
Dividends paid ~
0 ?
? !Shares repurchased!!~
!"@!!! !?!! !
!?!"Net offering costs"" "?"""~
"*"" "
~
"w"#Sharebased LTIP awards##~
#A###~
#֑## #
~
#v[7#3$+Special distribution to Ellington Financial$$~
$$$$~
$v_$$ $
~
$$%Management LLC&&&&&&&&&& &
&&0'(Net increase (decrease) in shareholders?''~
'<'''~
'"f'' '
~
'8',($equity from shareholder transactions)))))))))) )
))0*(Net increase (decrease) in shareholders?**~
*F
***~
*D** *
~
*69*+equity1,)SHAREHOLDERS? EQUITY, BEGINNING OF PERIOD,,~
,26z9,,,~
,69,, ,
,?, 
+.#SHAREHOLDERS? EQUITY, END OF PERIOD.~
.vyG..~
.26z9.. ~
.
69.////////// /
//01$2____________________________13)Created by Morningstar Document Research.04(http://documentresearch.morningstar.com/.R4gMQ?u8\=PF0*8X>
@443322......
l m$+>D
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)!This summary highlights inf (3)Our 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)!NonRMBS151Other Derivatives (7)!NonRMBS151Other Derivatives (8)
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!Certain Information With Respec
Tax AuditsTax Audits (1)Tax Audits (2)Shareh 