Consolidated Condensed Schedule of Investments

6 Months Ended

Jun. 30, 2011

Consolidated Condensed Schedule of Investments

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	%