| Consolidated Condensed Schedule of Investments |
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2011
(UNAUDITED)
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Amount |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Value |
|
| |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
|
Long Investments (312.29%) (a) (b) (n) |
|
| |
|
|
Mortgage-Backed Securities (311.08%) |
|
| |
|
|
Agency Securities (215.24%) |
|
| |
|
|
Fixed Rate Agency Securities (200.72%) |
|
| |
|
|
Principal and Interest - Fixed Rate Agency Securities (188.20%) |
|
| |
|
|
|
|
| $ |
73,049,127 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/40 |
|
$ |
79,458,047 |
|
| |
35,464,407 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/41 |
|
|
37,897,044 |
|
| |
34,304,838 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
2/41 |
|
|
35,548,389 |
|
| |
29,484,563 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/41 |
|
|
31,488,592 |
|
| |
27,461,188 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
11/40 |
|
|
28,456,656 |
|
| |
26,115,071 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
11/40 |
|
|
26,100,790 |
|
| |
22,490,913 |
|
|
Government National Mortgage Association Pool |
|
|
4.50 |
% |
|
3/41 |
|
|
23,759,542 |
|
| |
22,793,553 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
1/41 |
|
|
22,834,510 |
|
| |
21,264,590 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
5/41 |
|
|
22,723,208 |
|
| |
19,772,046 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
6/41 |
|
|
21,109,748 |
|
| |
19,149,303 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
3/41 |
|
|
19,813,544 |
|
| |
18,038,359 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
3/41 |
|
|
19,264,404 |
|
| |
16,993,309 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
4/41 |
|
|
18,123,099 |
|
| |
16,041,894 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
2/41 |
|
|
17,172,346 |
|
| |
15,944,209 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
12/40 |
|
|
16,522,186 |
|
| |
14,921,445 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
14,913,285 |
|
| |
13,600,930 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/41 |
|
|
14,521,118 |
|
| |
13,639,982 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
7/41 |
|
|
14,119,513 |
|
| |
12,561,032 |
|
|
Government National Mortgage Association Pool |
|
|
5.50 |
% |
|
8/39 |
|
|
13,872,089 |
|
| |
11,453,093 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
1/41 |
|
|
11,879,005 |
|
| |
11,304,560 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
11/40 |
|
|
11,310,301 |
|
See Notes to Consolidated Financial Statements
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Amount |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Value |
|
| |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
| |
|
|
Principal and Interest - Fixed Rate Agency Securities (188.20%) (continued) |
|
| $ |
10,701,765 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
1/41 |
|
$ |
10,707,618 |
|
| |
9,988,714 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
11/40 |
|
|
10,673,877 |
|
| |
9,814,736 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/40 |
|
|
10,639,020 |
|
| |
9,995,877 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
3/41 |
|
|
10,364,475 |
|
| |
10,207,709 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
2/41 |
|
|
10,213,291 |
|
| |
8,913,033 |
|
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
10/39 |
|
|
9,673,775 |
|
| |
9,269,248 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
2/41 |
|
|
9,590,775 |
|
| |
9,206,501 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
1/41 |
|
|
9,222,684 |
|
| |
8,781,029 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
3/41 |
|
|
8,788,575 |
|
| |
7,937,671 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
11/40 |
|
|
8,482,145 |
|
| |
7,124,125 |
|
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
7/39 |
|
|
7,723,275 |
|
| |
6,991,495 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
5/41 |
|
|
7,444,850 |
|
| |
6,632,710 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
6.00 |
% |
|
4/39 |
|
|
7,305,827 |
|
| |
6,787,528 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/41 |
|
|
7,246,747 |
|
| |
6,662,469 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
8/40 |
|
|
7,094,489 |
|
| |
6,793,515 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
4/41 |
|
|
7,044,026 |
|
| |
5,608,425 |
|
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
7/39 |
|
|
6,080,102 |
|
| |
5,645,258 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
11/40 |
|
|
6,011,317 |
|
| |
5,961,134 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
5,971,846 |
|
| |
5,937,062 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
2/41 |
|
|
5,953,064 |
|
| |
5,601,850 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
5/41 |
|
|
5,599,662 |
|
| |
5,495,280 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
1/41 |
|
|
5,505,155 |
|
| |
5,095,254 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
4/41 |
|
|
5,282,346 |
|
| |
5,003,615 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
5/41 |
|
|
5,189,686 |
|
| |
|
|
Principal and Interest - Fixed Rate Agency Securities (188.20%) (continued) |
|
| $ |
4,837,548 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
6/40 |
|
$ |
5,166,350 |
|
| |
4,959,482 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
2/41 |
|
|
5,131,514 |
|
| |
4,596,562 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
1/41 |
|
|
4,594,048 |
|
| |
3,803,363 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
3/41 |
|
|
4,049,988 |
|
| |
3,425,863 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/41 |
|
|
3,657,644 |
|
| |
2,745,804 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
6/41 |
|
|
2,929,859 |
|
| |
2,241,194 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
11/40 |
|
|
2,391,424 |
|
| |
4,640,142 |
|
|
Other Federal National Mortgage Association Pools |
|
|
6.00 |
% |
|
9/39 - 2/40 |
|
|
5,098,532 |
|
| |
1,203,951 |
|
|
Other Federal Home Loan Mortgage Corporation Pool |
|
|
6.00 |
% |
|
5/40 |
|
|
1,325,380 |
|
| |
1,154,368 |
|
|
Other Government National Mortgage Association Pool |
|
|
5.50 |
% |
|
3/41 |
|
|
1,271,969 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
724,312,751 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only - Fixed Rate Agency Securities (1.36%) |
|
| |
17,771,554 |
|
|
Other Federal National Mortgage Association |
|
|
5.00% - 5.50 |
% |
|
10/39 -10/40 |
|
|
2,914,381 |
|
| |
7,108,495 |
|
|
Other Federal Home Loan Mortgage Corporation |
|
|
5.50 |
% |
|
1/39 |
|
|
1,302,298 |
|
| |
11,329,698 |
|
|
Other Government National Mortgage Association |
|
|
5.50 |
% |
|
3/36 |
|
|
1,010,353 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
5,227,032 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA - Fixed Rate Agency Securities (11.16%) (c) |
|
| |
25,000,000 |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
|
3.50 |
% |
|
7/11 |
|
|
23,917,969 |
|
| |
17,000,000 |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
|
4.00 |
% |
|
7/11 |
|
|
17,003,320 |
|
| |
2,000,000 |
|
|
Other Federal Home Loan Mortgage Corporation Pools (30 Year) |
|
|
3.50% - 5.00 |
% |
|
7/11 |
|
|
2,016,093 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
42,937,382 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Fixed Rate Agency Securities (Cost $766,423,393) |
|
|
772,477,165 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Amount |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Value |
|
| |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
| |
|
|
Floating Rate Agency Securities (14.52%) |
|
| |
|
|
Principal and Interest - Floating Rate Agency Securities (14.52%) |
|
| $ |
10,699,967 |
|
|
Federal National Mortgage Association Pool |
|
|
5.11 |
% |
|
5/38 |
|
$ |
11,284,491 |
|
| |
10,271,133 |
|
|
Federal National Mortgage Association Pool |
|
|
5.71 |
% |
|
1/38 |
|
|
10,897,649 |
|
| |
8,267,587 |
|
|
Federal National Mortgage Association Pool |
|
|
5.24 |
% |
|
12/35 |
|
|
8,709,915 |
|
| |
8,194,173 |
|
|
Federal National Mortgage Association Pool |
|
|
5.24 |
% |
|
2/38 |
|
|
8,653,286 |
|
| |
4,375,839 |
|
|
Federal National Mortgage Association Pool |
|
|
5.54 |
% |
|
7/37 |
|
|
4,687,380 |
|
| |
3,506,820 |
|
|
Federal National Mortgage Association Pool |
|
|
5.68 |
% |
|
4/36 |
|
|
3,726,899 |
|
| |
3,417,121 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
2.82 |
% |
|
7/34 |
|
|
3,585,672 |
|
| |
2,413,869 |
|
|
Federal National Mortgage Association Pool |
|
|
5.47 |
% |
|
9/37 |
|
|
2,555,899 |
|
| |
1,689,299 |
|
|
Other Federal National Mortgage Association Pool |
|
|
4.97 |
% |
|
10/33 |
|
|
1,792,423 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Agency Securities (Cost $55,553,517) |
|
|
55,893,614 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agency Securities (Cost $821,976,910) |
|
|
828,370,779 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Private Label Securities (95.84%) |
|
| |
|
|
Principal and Interest - Private Label Securities (95.58%) |
|
| |
537,488,752 |
|
|
Various |
|
|
0.25% - 9.35 |
% |
|
5/19 -1/47 |
|
|
367,857,921 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Principal and Interest - Private Label Securities (Cost $375,177,074) |
|
|
367,857,921 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Interest Only - Private Label Securities (0.26%) |
|
|
|
|
| |
76,057,033 |
|
|
Various |
|
|
0.50% - 0.65 |
% |
|
9/47 |
|
|
978,632 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Interest Only - Private Label Securities (Cost $669,676) |
|
|
978,632 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Residual Certificates - Private Label Securities (0.00%) |
|
|
|
|
| |
216,439,901 |
|
|
Various |
|
|
— |
|
|
6/37 |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Residual Certificates - Private Label Securities (Cost $586,455) |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Private Label Securities (Cost $376,433,205) |
|
|
368,836,553 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Mortgage-Backed Securities (Cost $1,198,410,115) |
|
|
1,197,207,332 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Commercial Mortgage Loans (1.21%) (o) |
|
| |
5,000,000 |
|
|
Various |
|
|
5.75 |
% |
|
11/12 |
|
|
4,650,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage Loans (Cost $4,735,981) |
|
|
4,650,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Long Investments (Cost $1,203,146,096) |
|
$ |
1,201,857,332 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Amount |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Value |
|
| |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
| |
|
|
Repurchase Agreements (5.83%) (d) |
|
| $ |
15,168,750 |
|
|
Bank of America Securities Collateralized by Par Value $15,000,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16 |
|
|
(0.15 |
)% |
|
7/11 |
|
$ |
15,168,750 |
|
| |
5,143,750 |
|
|
Bank of America Securities Collateralized by Par Value $5,000,000 U.S. Treasury Note, Coupon 2.00%, Maturity Date 4/16 |
|
|
(0.12 |
)% |
|
7/11 |
|
|
5,143,750 |
|
| |
2,125,000 |
|
|
Nomura Securities International Inc. Collateralized by Par Value $2,000,000 U.S. Treasury Note, Coupon 3.63%, Maturity Date 2/21 |
|
|
0.00 |
% |
|
7/11 |
|
|
2,125,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Repurchase Agreements (Cost $22,437,500) |
|
$ |
22,437,500 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Investments Sold Short (-140.35%) |
|
|
|
|
| |
|
|
TBA - Fixed Rate Agency Securities Sold Short (-134.59%) (c) (e) |
|
| $ |
(138,700,000 |
) |
|
Federal National Mortgage Association Pool (30 Year) |
|
|
5.00 |
% |
|
7/11 |
|
$ |
(147,347,078 |
) |
| |
(117,900,000 |
) |
|
Federal National Mortgage Association Pool (30 Year) |
|
|
4.50 |
% |
|
7/11 |
|
|
(121,989,656 |
) |
| |
(106,000,000 |
) |
|
Government National Mortgage Association Pool (30 Year) |
|
|
5.00 |
% |
|
7/11 |
|
|
(114,836,094 |
) |
| |
(35,700,000 |
) |
|
Federal Home Loan Mortgage Corporation Pool (30 Year) |
|
|
4.50 |
% |
|
7/11 |
|
|
(36,882,563 |
) |
| |
(25,500,000 |
) |
|
Federal National Mortgage Association Pool (30 Year) |
|
|
5.50 |
% |
|
7/11 |
|
|
(27,580,840 |
) |
| |
(26,900,000 |
) |
|
Federal Home Loan Mortgage Corporation Pool (30 Year) |
|
|
4.00 |
% |
|
7/11 |
|
|
(26,881,086 |
) |
| |
(22,500,000 |
) |
|
Government National Mortgage Association Pool (30 Year) |
|
|
4.50 |
% |
|
7/11 |
|
|
(23,748,047 |
) |
| |
(13,500,000 |
) |
|
Government National Mortgage Association Pool (30 Year) |
|
|
5.50 |
% |
|
7/11 |
|
|
(14,858,438 |
) |
| |
(2,500,000 |
) |
|
Federal National Mortgage Association Pool (30 Year) |
|
|
6.00 |
% |
|
7/11 |
|
|
(2,746,289 |
) |
| |
(1,000,000 |
) |
|
Other Federal Home Loan Mortgage Corporation Pool (30 Year) |
|
|
6.00 |
% |
|
7/11 |
|
|
(1,098,359 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$519,948,719) |
|
|
(517,968,450 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
U.S. Treasury Securities Sold Short (-5.76%) |
|
|
|
|
| |
(15,000,000 |
) |
|
U.S. Treasury Note |
|
|
1.75 |
% |
|
5/16 |
|
|
(15,025,625 |
) |
| |
(5,000,000 |
) |
|
U.S. Treasury Note |
|
|
2.00 |
% |
|
4/16 |
|
|
(5,075,771 |
) |
| |
(2,000,000 |
) |
|
U.S. Treasury Note |
|
|
3.63 |
% |
|
2/21 |
|
|
(2,085,560 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total U.S. Treasury Securities Sold Short (Proceeds -$22,161,936) |
|
|
(22,186,956 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Investments Sold Short (Proceeds -$542,110,655) |
|
$ |
(540,155,406 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Primary Risk
Exposure |
|
Notional or
Number of
Contracts |
|
|
Range of
Expiration
Dates |
|
Value |
|
| |
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
Financial Derivatives - Assets (32.66%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (32.66%) (f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset Backed Indices (Cost $274,320) (g) |
|
Credit |
|
$ |
11,550,316 |
|
|
6/36 |
|
$ |
467,684 |
|
|
Interest Rate Swaps (h) |
|
Interest Rates |
|
|
5,000,000 |
|
|
7/21 |
|
|
4,916 |
|
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset Backed Securities (i) |
|
Credit |
|
|
(88,747,270 |
) |
|
6/34 - 12/36 |
|
|
69,828,936 |
|
|
Credit Default Swaps on Asset Backed Indices: (j) |
|
Credit |
|
|
|
|
|
|
|
|
|
|
|
ABX.HE AAA 2006-2 Index |
|
|
|
|
(69,197,340 |
) |
|
5/46 |
|
|
34,355,640 |
|
|
Other |
|
|
|
|
(42,262,489 |
) |
|
8/37 - 10/52 |
|
|
20,100,074 |
|
|
Interest Rate Swaps (k) |
|
Interest Rates |
|
|
(87,960,000 |
) |
|
6/16 - 6/21 |
|
|
955,017 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Cost $136,936,637) |
|
|
|
|
|
|
|
|
|
|
125,712,267 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Assets (Cost $136,936,637) |
|
|
|
|
|
|
|
|
|
$ |
125,712,267 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivatives - Liabilities (-2.86%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (-2.76%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset Backed Indices (Proceeds - $4,427,996) (g) |
|
Credit |
|
$ |
13,314,333 |
|
|
8/37 - 7/45 |
|
$ |
(5,031,909 |
) |
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps (k) |
|
Interest Rates |
|
|
(203,500,000 |
) |
|
4/14 - 4/21 |
|
|
(5,366,758 |
) |
|
Credit Default Swaps on Corporate Bond Indices (l) |
|
Credit |
|
|
(19,700,000 |
) |
|
6/15 |
|
|
(220,124 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Net Proceeds -$4,255,004) |
|
|
|
|
|
|
|
|
|
$ |
(10,618,791 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures (-0.10%) (m) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Futures: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eurodollar contracts |
|
Interest Rates |
|
|
(245 |
) |
|
9/11 - 9/12 |
|
|
(368,863 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures |
|
|
|
|
|
|
|
|
|
|
(368,863 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Liabilities (Net Proceeds -$4,255,004) |
|
$ |
(10,987,654 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT JUNE 30, 2011 (CONCLUDED)
(UNAUDITED)
| (a) |
See Note 2 and Note 9 in Notes to Consolidated Financial Statements. |
| (b) |
At June 30, 2011, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 133.80%, 47.66%, and 33.78% of shareholders' equity, respectively. |
| (c) |
To Be Announced ("TBA") securities settle on a forward basis. At settlement the purchaser generally receives agency pass-through mortgage certificates with original maturity dates typically between 15 and 30 years. |
| (d) |
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
| (e) |
At June 30, 2011, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 77.87%, 16.85%, and 39.87% of shareholders' equity, respectively. |
| (f) |
The following table shows the Company's swap assets by dealer as a percentage of shareholders' equity: |
| |
|
|
|
|
|
Dealer/Parent Company |
|
Percent of
Shareholders'
Equity |
|
|
Affiliates of Morgan Stanley |
|
|
15.76 |
% |
|
Affiliates of Credit Suisse |
|
|
5.25 |
% |
| (g) |
For long credit default swaps on asset backed indices, the Company sold protection. |
| (h) |
For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received. |
| (i) |
For short credit default swaps on asset backed securities, the Company purchased protection. |
| (j) |
For short credit default swaps on asset backed indices, the Company purchased protection. |
| (k) |
For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. |
| (l) |
For short credit default swaps on corporate bond indices, the Company purchased protection. |
| (m) |
Each contract represents a notional amount of $1,000,000. |
| (n) |
The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+", "-", "1", "2", or "3". |
| |
|
|
|
|
|
Rating Description |
|
Percentage of
Shareholders'
Equity |
|
|
Unrated but Agency-Guaranteed |
|
|
215.24 |
% |
|
Aaa/AAA/AAA |
|
|
1.94 |
% |
|
Aa/AA/AA |
|
|
3.96 |
% |
|
A/A/A |
|
|
8.29 |
% |
|
Baa/BBB/BBB |
|
|
6.09 |
% |
|
Ba/BB/BB or below |
|
|
75.56 |
% |
|
Unrated |
|
|
1.21 |
% |
| (o) |
Maturity date may be extended through November 4, 2015. |
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2010
(UNAUDITED)
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Amount |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Value |
|
| |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
|
Long Investments (308.68%) (a) (b) (n) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Mortgage-Backed Securities (308.68%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Agency Securities (224.28%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Fixed Rate Agency Securities (204.19%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Principal and Interest - Fixed Rate Agency Securities (190.72%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| $ |
93,295,863 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
$ |
92,661,743 |
|
| |
75,287,233 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/40 |
|
|
80,769,084 |
|
| |
41,442,106 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
8/40 |
|
|
43,659,906 |
|
| |
31,028,699 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
30,805,680 |
|
| |
29,866,978 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
9/40 |
|
|
30,664,986 |
|
| |
27,828,661 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
11/40 |
|
|
28,596,123 |
|
| |
25,015,628 |
|
|
Government National Mortgage Association Pool |
|
|
4.50 |
% |
|
5/40 |
|
|
26,108,107 |
|
| |
24,330,982 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
8/40 |
|
|
25,551,333 |
|
| |
20,673,398 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
11/40 |
|
|
21,782,978 |
|
| |
20,370,123 |
|
|
Federal National Mortgage Association Pool |
|
|
3.50 |
% |
|
11/40 |
|
|
19,453,468 |
|
| |
17,517,469 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
9/40 |
|
|
18,396,079 |
|
| |
17,826,955 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
11/40 |
|
|
18,297,698 |
|
| |
16,317,610 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
10/40 |
|
|
17,234,201 |
|
| |
16,073,130 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
12/40 |
|
|
16,526,442 |
|
| |
15,061,281 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
14,957,734 |
|
|
|
Principal and Interest - Fixed Rate Agency Securities (190.72%) (continued) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| $ |
14,673,788 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
11/40 |
|
$ |
14,601,566 |
|
| |
14,052,718 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
14,007,706 |
|
| |
14,085,775 |
|
|
Federal National Mortgage Association Pool |
|
|
3.50 |
% |
|
1/41 |
|
|
13,451,365 |
|
| |
11,888,330 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
9/40 |
|
|
12,208,758 |
|
| |
11,073,845 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
6/40 |
|
|
11,859,396 |
|
| |
11,018,284 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
7/25 |
|
|
11,573,502 |
|
| |
9,886,839 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/40 |
|
|
10,523,305 |
|
| |
9,534,263 |
|
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
10/39 |
|
|
10,238,159 |
|
| |
9,622,371 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
8/25 |
|
|
10,110,256 |
|
| |
9,696,958 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
11/40 |
|
|
9,953,019 |
|
| |
9,185,172 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
4/40 |
|
|
9,836,745 |
|
| |
8,436,119 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
10/40 |
|
|
8,648,340 |
|
| |
7,945,384 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
6.00 |
% |
|
4/39 |
|
|
8,632,535 |
|
| |
8,224,296 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
8/40 |
|
|
8,636,796 |
|
| |
7,307,028 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/40 |
|
|
7,690,077 |
|
| |
7,188,742 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
8/40 |
|
|
7,698,694 |
|
| |
7,203,182 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
11/40 |
|
|
7,166,041 |
|
| |
6,726,472 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
8/40 |
|
|
7,087,494 |
|
| |
6,193,991 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/40 |
|
|
6,592,729 |
|
|
|
Principal and Interest - Fixed Rate Agency Securities (190.72%) (continued) |
|
|
|
|
|
|
|
| |
|
|
|
|
| $ |
5,820,187 |
|
|
Federal National Mortgage Association Pool |
|
|
6.00 |
% |
|
12/38 |
|
$ |
6,326,725 |
|
| |
6,262,042 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
6,218,991 |
|
| |
6,095,615 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
11/40 |
|
|
6,063,708 |
|
| |
6,097,159 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
6,065,721 |
|
| |
5,703,267 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
8/25 |
|
|
5,988,876 |
|
| |
5,433,049 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
11/40 |
|
|
5,722,953 |
|
| |
5,093,029 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
8/25 |
|
|
5,348,078 |
|
| |
5,082,202 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
12/40 |
|
|
5,222,360 |
|
| |
4,812,155 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
11/40 |
|
|
4,944,865 |
|
| |
4,377,082 |
|
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
11/39 |
|
|
4,689,291 |
|
| |
4,636,881 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
1/41 |
|
|
4,605,002 |
|
| |
4,394,322 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
4,371,664 |
|
| |
4,003,459 |
|
|
Government National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/40 |
|
|
4,261,182 |
|
| |
3,611,892 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
12/40 |
|
|
3,711,501 |
|
| |
3,217,875 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
9/40 |
|
|
3,383,294 |
|
| |
3,355,673 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
3,338,370 |
|
| |
2,931,882 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
9/25 |
|
|
3,074,124 |
|
| |
2,779,368 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
8/40 |
|
|
2,765,037 |
|
| |
2,157,241 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
12/40 |
|
|
2,146,118 |
|
| |
5,210,008 |
|
|
Other Federal National Mortgage Association Pools |
|
|
6.00 |
% |
|
9/39 - 2/40 |
|
|
5,664,713 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
769,894,618 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA - Fixed Rate Agency Securities (13.47%) (c) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| $ |
25,000,000 |
|
|
Government National Mortgage Association (30 Year) |
|
|
4.00 |
% |
|
1/11 |
|
$ |
25,152,344 |
|
| |
25,000,000 |
|
|
Federal National Mortgage Association (30 Year) |
|
|
4.00 |
% |
|
2/11 |
|
|
24,796,875 |
|
| |
4,650,000 |
|
|
Federal National Mortgage Association (30 Year) |
|
|
3.50 |
% |
|
1/11 |
|
|
4,440,387 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
54,389,606 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Fixed Rate Agency Securities (Cost $828,147,519) |
|
|
|
|
|
|
|
|
824,284,224 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Floating Rate Agency Securities (20.09%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Principal and Interest - Floating Rate Agency Securities (20.09%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
15,366,349 |
|
|
Federal National Mortgage Association Pool |
|
|
5.84 |
% |
|
12/36 |
|
|
16,265,797 |
|
| |
12,274,343 |
|
|
Federal National Mortgage Association Pool |
|
|
5.68 |
% |
|
1/38 |
|
|
13,025,532 |
|
| |
11,853,952 |
|
|
Federal National Mortgage Association Pool |
|
|
5.10 |
% |
|
5/38 |
|
|
12,475,639 |
|
| |
10,983,637 |
|
|
Federal National Mortgage Association Pool |
|
|
5.22 |
% |
|
12/35 |
|
|
11,567,895 |
|
| |
8,928,303 |
|
|
Federal National Mortgage Association Pool |
|
|
5.76 |
% |
|
10/36 |
|
|
9,392,064 |
|
| |
8,641,078 |
|
|
Federal National Mortgage Association Pool |
|
|
5.22 |
% |
|
2/38 |
|
|
9,127,052 |
|
| |
4,123,128 |
|
|
Federal National Mortgage Association Pool |
|
|
5.69 |
% |
|
4/36 |
|
|
4,379,549 |
|
| |
3,012,020 |
|
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
9/37 |
|
|
3,172,898 |
|
| |
1,608,406 |
|
|
Federal National Mortgage Association Pool |
|
|
6.06 |
% |
|
1/38 |
|
|
1,686,469 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Agency Securities (Cost $80,166,989) |
|
|
|
|
|
|
|
|
81,092,895 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Agency Securities (Cost $908,314,508) |
|
|
|
|
|
|
|
|
905,377,119 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Private Label Securities (84.40%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Principal and Interest - Private Label Securities (82.97%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
| $ |
482,838,475 |
|
|
Various |
|
0.32% - 53.41% |
|
6/18 - 2/51 |
|
$ |
334,908,926 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Total Principal and Interest - Private Label Securities (Cost $321,067,655) |
|
|
|
|
334,908,926 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Interest Only - Private Label Securities (1.43%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
127,239,018 |
|
|
Various |
|
0.50% - 5.24% |
|
4/35 - 9/47 |
|
|
5,780,515 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Interest Only - Private Label Securities (Cost $2,490,766) |
|
|
|
|
|
|
5,780,515 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Residual Certificates - Private Label Securities (0.00%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
225,639,768 |
|
|
Various |
|
— |
|
6/37 |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Total Residual Certificates - Private Label Securities (Cost $611,382) |
|
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Total Private Label Securities (Cost $324,169,803) |
|
|
|
|
340,689,441 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Total Mortgage-Backed Securities (Cost $1,232,484,311) |
|
|
|
|
1,246,066,560 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Total Long Investments (Cost $1,232,484,311) |
|
|
|
$ |
1,246,066,560 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Repurchase Agreements (6.36%) (d) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
| $ |
25,683,750 |
|
|
Credit Suisse First Boston |
|
0.00% |
|
1/11 |
|
$ |
25,683,750 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Collateralized by Par Value $27,000,000 U.S. Treasury Note, |
|
|
|
|
|
|
| |
|
|
|
Coupon 2.63%, Maturity Date 11/20 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Repurchase Agreements (Cost $25,683,750) |
|
|
|
|
|
$ |
25,683,750 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments Sold Short (-192.02%) |
|
| |
|
|
TBA - Fixed Rate Agency Securities Sold Short (-185.71%) (c) (e) |
|
| |
|
|
|
|
| $ |
(136,500,000 |
) |
|
Federal National Mortgage Association (30 Year) |
|
|
4.50 |
% |
|
1/11 |
|
$ |
(140,093,789 |
) |
| |
(113,000,000 |
) |
|
Government National Mortgage Association (30 Year) |
|
|
5.00 |
% |
|
1/11 |
|
|
(120,168,438 |
) |
| |
(114,500,000 |
) |
|
Federal National Mortgage Association (30 Year) |
|
|
4.00 |
% |
|
1/11 |
|
|
(113,900,664 |
) |
| |
(62,000,000 |
) |
|
Federal National Mortgage Association (30 Year) |
|
|
5.00 |
% |
|
1/11 |
|
|
(65,172,656 |
) |
| |
(63,000,000 |
) |
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
4.00 |
% |
|
1/11 |
|
|
(62,547,188 |
) |
| |
(40,000,000 |
) |
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
4.00 |
% |
|
2/11 |
|
|
(39,593,750 |
) |
| |
(35,000,000 |
) |
|
Federal National Mortgage Association (15 Year) |
|
|
4.50 |
% |
|
1/11 |
|
|
(36,698,047 |
) |
| |
(33,000,000 |
) |
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
5.00 |
% |
|
1/11 |
|
|
(34,613,906 |
) |
| |
(30,000,000 |
) |
|
Government National Mortgage Association (30 Year) |
|
|
5.00 |
% |
|
2/11 |
|
|
(31,842,188 |
) |
| |
(27,500,000 |
) |
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
4.50 |
% |
|
1/11 |
|
|
(28,174,609 |
) |
| |
(24,500,000 |
) |
|
Government National Mortgage Association (30 Year) |
|
|
4.50 |
% |
|
1/11 |
|
|
(25,432,148 |
) |
| |
(25,000,000 |
) |
|
Government National Mortgage Association (30 Year) |
|
|
4.00 |
% |
|
1/11 |
|
|
(25,171,875 |
) |
| |
(16,000,000 |
) |
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
5.50 |
% |
|
1/11 |
|
|
(17,052,500 |
) |
| |
(7,500,000 |
) |
|
Federal National Mortgage Association (30 Year) |
|
|
6.00 |
% |
|
1/11 |
|
|
(8,152,734 |
) |
| |
(1,000,000 |
) |
|
Federal National Mortgage Association (30 Year) |
|
|
5.50 |
% |
|
2/11 |
|
|
(1,068,203 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$750,520,119) |
|
|
(749,682,695 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
U.S. Treasury Securities Sold Short (-6.31%) |
|
| |
|
|
|
|
| |
(27,000,000 |
) |
|
U.S. Treasury Note |
|
|
2.63 |
% |
|
11/20 |
|
|
(25,462,403 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total U.S. Treasury Securities Sold Short (Proceeds -$25,261,493) |
|
|
|
|
|
|
|
|
(25,462,403 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Investments Sold Short (Proceeds -$775,781,612) |
|
|
|
|
|
|
|
$ |
(775,145,098 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Primary Risk
Exposure |
|
Notional or
Number of
Contracts |
|
|
Range of
Expiration
Dates |
|
Value |
|
| |
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
Financial Derivatives - Assets (49.88%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (49.88%) (f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset Backed Indices
(Cost $4,032,984) (g) |
|
Credit |
|
$ |
74,128,336 |
|
|
6/36 - 7/36 |
|
$ |
3,566,639 |
|
|
Interest Rate Swaps (h) |
|
Interest Rates |
|
$ |
5,000,000 |
|
|
12/20 |
|
|
46,757 |
|
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset Backed Securities (i) |
|
Credit |
|
$ |
(127,088,962 |
) |
|
6/34 - 12/36 |
|
|
102,851,109 |
|
|
Credit Default Swaps on Asset Backed Indices: (j) |
|
Credit |
|
|
|
|
|
|
|
|
|
|
|
ABX.HE AAA 2007-1 Index |
|
|
|
$ |
(108,594,843 |
) |
|
8/37 |
|
|
60,648,862 |
|
|
Other |
|
|
|
$ |
(92,449,044 |
) |
|
8/37 - 2/51 |
|
|
32,473,731 |
|
|
Interest Rate Swaps (k) |
|
Interest Rates |
|
$ |
(60,000,000 |
) |
|
12/15 - 12/20 |
|
|
1,748,274 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Cost $208,958,359) |
|
|
|
|
|
|
|
|
|
|
201,335,372 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Assets (Cost $208,958,359) |
|
|
|
|
|
|
|
|
|
$ |
201,335,372 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivatives - Liabilities (-5.21%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (-4.99%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset Backed Indices
(Proceeds -$17,559,397) (g) |
|
Credit |
|
$ |
37,588,800 |
|
|
8/37 - 12/49 |
|
$ |
(17,941,713 |
) |
|
Interest Rate Swaps (h) |
|
Interest Rates |
|
$ |
10,000,000 |
|
|
11/15 - 11/20 |
|
|
(215,277 |
) |
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps (k) |
|
Interest Rates |
|
$ |
(83,750,000 |
) |
|
10/14 - 12/15 |
|
|
(1,461,228 |
) |
|
Credit Default Swaps on Asset Backed Indices (j) |
|
Credit |
|
$ |
(4,434,787 |
) |
|
7/36 |
|
|
(336,263 |
) |
|
Credit Default Swaps on Corporate Bond Indices (l) |
|
Credit |
|
$ |
(19,700,000 |
) |
|
6/15 |
|
|
(185,847 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Net Proceeds -$17,718,129) |
|
|
|
|
|
|
|
|
|
|
(20,140,328 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures (-0.22%) (m) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Futures: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eurodollar contracts |
|
Interest Rates |
|
|
(400 |
) |
|
3/11 - 9/12 |
|
|
(890,001 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures |
|
|
|
|
|
|
|
|
|
|
(890,001 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Liabilities (Net Proceeds -$17,718,129) |
|
|
|
|
$ |
(21,030,329 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2010 (CONCLUDED)
(UNAUDITED)
| (a) |
See Note 2 and Note 9 in Notes to Consolidated Financial Statements. |
| (b) |
At December 31, 2010, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 102.88%, 76.12%, and 45.28% of shareholders' equity, respectively. |
| (c) |
To Be Announced ("TBA") securities settle on a forward basis. At settlement the purchaser generally receives agency pass-through mortgage certificates with original maturity dates typically between 15 and 30 years. |
| (d) |
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
| (e) |
At December 31, 2010, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 90.44%, 45.08%, and 50.19% of shareholders' equity, respectively. |
| (f) |
The following table shows the Company's swap assets by dealer as a percentage of shareholders' equity: |
| |
|
|
|
|
|
Dealer/Parent Company |
|
Percent of
Shareholders'
Equity |
|
|
Affiliates of Morgan Stanley |
|
|
19.22 |
% |
|
Affiliates of Credit Suisse |
|
|
9.07 |
% |
| (g) |
For long credit default swaps on asset backed indices, the Company sold protection. |
| (h) |
For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received. |
| (i) |
For short credit default swaps on asset backed securities, the Company purchased protection. |
| (j) |
For short credit default swaps on asset backed indices, the Company purchased protection. |
| (k) |
For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. |
| (l) |
For short credit default swaps on corporate bond indices, the Company purchased protection. |
| (m) |
Each contract represents a notional amount of $1,000,000. |
| (n) |
The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+", "-", "1", "2", or "3". |
| |
|
|
|
|
|
Rating Description |
|
Percentage of
Shareholders'
Equity |
|
|
Unrated but Agency-Guaranteed |
|
|
224.28 |
% |
|
Aaa/AAA/AAA |
|
|
6.81 |
% |
|
Aa/AA/AA |
|
|
13.91 |
% |
|
A/A/A |
|
|
4.46 |
% |
|
Baa/BBB/BBB |
|
|
6.00 |
% |
|
Ba/BB/BB or below |
|
|
53.22 |
% |
|
Unrated |
|
|
0.00 |
% | |