Consolidated Condensed Schedule Of Investments

9 Months Ended

Sep. 30, 2011

Consolidated Condensed Schedule Of Investments [Abstract]

Consolidated Condensed Schedule Of Investments

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT SEPTEMBER 30, 2011

(UNAUDITED)

Current Principal/ Notional Amount		Description	Rate		Maturity	Value
(In thousands)						Expressed in U.S. Dollars
	Long Investments (345.75%) (a) (b) (n)
	Mortgage-Backed Securities (344.59%)
	Agency Securities (235.44%)
	Fixed Rate Agency Securities (221.40%)
	Principal and Interest - Fixed Rate Agency Securities (205.94%)
$	85,751	Federal Home Loan Mortgage Corporation Pool	4.50%		10/41	$	91,244
	71,809	Government National Mortgage Association Pool	5.00%		4/40		79,271
	35,326	Federal National Mortgage Association Pool	5.00%		4/41		38,257
	33,422	Federal National Mortgage Association Pool	5.00%		5/41		36,102
	25,985	Federal Home Loan Mortgage Corporation Pool	4.00%		11/40		27,278
	23,409	Federal National Mortgage Association Pool	4.00%		1/41		24,614
	22,580	Federal Home Loan Mortgage Corporation Pool	4.00%		1/41		23,803
	20,527	Federal National Mortgage Association Pool	5.00%		8/41		22,172
	19,704	Federal National Mortgage Association Pool	5.00%		6/41		21,302
	19,484	Federal Home Loan Mortgage Corporation Pool	5.00%		7/41		21,026
	19,904	Federal National Mortgage Association Pool	4.00%		1/41		20,929
	17,826	Federal National Mortgage Association Pool	5.00%		3/41		19,349
	16,363	Federal Home Loan Mortgage Corporation Pool	5.00%		4/41		17,658
	15,762	Federal National Mortgage Association Pool	5.00%		2/41		17,198
	15,039	Federal Home Loan Mortgage Corporation Pool	4.50%		9/40		15,988
	14,587	Federal Home Loan Mortgage Corporation Pool	4.00%		12/40		15,313
	13,298	Federal National Mortgage Association Pool	5.00%		4/41		14,376
	13,185	Federal Home Loan Mortgage Corporation Pool	5.00%		7/41		14,344
	12,160	Government National Mortgage Association Pool	5.50%		8/39		13,502
	12,018	Federal National Mortgage Association Pool	4.00%		2/41		12,637
	11,790	Federal National Mortgage Association Pool	4.00%		10/41		12,390
	11,247	Federal National Mortgage Association Pool	4.00%		11/40		11,833
	10,538	Federal Home Loan Mortgage Corporation Pool	4.00%		1/41		11,069
	10,060	Federal Home Loan Mortgage Corporation Pool	4.50%		8/41		10,683
	10,135	Federal Home Loan Mortgage Corporation Pool	4.00%		2/41		10,646
	9,955	Federal National Mortgage Association Pool	4.50%		3/41		10,605
	9,230	Federal Home Loan Mortgage Corporation Pool	4.50%		2/41		9,819
	8,881	Federal National Mortgage Association Pool	5.50%		10/39		9,708
	9,160	Federal National Mortgage Association Pool	4.00%		1/41		9,649
	9,066	Federal National Mortgage Association Pool	4.00%		9/41		9,528
	8,635	Federal Home Loan Mortgage Corporation Pool	4.00%		3/41		9,081
	8,137	Federal National Mortgage Association Pool	4.00%		10/41		8,556
	7,950	Federal Home Loan Mortgage Corporation Pool	4.50%		8/41		8,446
	7,530	Federal National Mortgage Association Pool	5.00%		7/41		8,136
	7,223	Federal National Mortgage Association Pool	5.00%		6/41		7,809
	7,153	Federal National Mortgage Association Pool	5.00%		8/41		7,742
	6,890	Federal National Mortgage Association Pool	5.00%		5/41		7,442
	6,355	Federal Home Loan Mortgage Corporation Pool	6.00%		4/39		6,991
	6,372	Federal National Mortgage Association Pool	4.50%		4/41		6,776
	5,830	Federal National Mortgage Association Pool	4.00%		7/41		6,159
	5,622	Federal National Mortgage Association Pool	5.00%		11/40		6,073
	5,576	Federal Home Loan Mortgage Corporation Pool	4.00%		5/41		5,850
	4,819	Federal National Mortgage Association Pool	5.00%		6/40		5,219
	4,856	Federal National Mortgage Association Pool	4.50%		4/41		5,176
	4,178	Federal Home Loan Mortgage Corporation Pool	4.00%		1/41		4,386
	3,412	Federal National Mortgage Association Pool	5.00%		4/41		3,687
	2,935	Federal Home Loan Mortgage Corporation Pool	4.50%		8/41		3,135
	9,468	Other Federal National Mortgage Association Pools	4.00% - 6.00%		9/39 - 9/41		10,166
	1,200	Other Federal Home Loan Mortgage Corporation Pool	6.00%		5/40		1,320
	1,151	Other Government National Mortgage Association Pool	5.50%		3/41		1,275
							775,718
	Interest Only - Fixed Rate Agency Securities (1.39%)
$	22,398	Other Federal National Mortgage Association	5.00%  - 5.50%		8/36 - 10/40	$	2,594
	14,667	Other Federal Home Loan Mortgage Corporation	5.00%  - 5.50%		6/33 - 1/39		1,977
	10,369	Other Government National Mortgage Association	5.50%		3/36		669
							5,240
	TBA - Fixed Rate Agency Securities (14.07%) (c)
	49,000	Federal National Mortgage Association Pool (30 Year)	4.50%		10/11		51,986
	1,000	Other Federal Home Loan Mortgage Corporation Pool (30 Year)	3.50%		10/11		1,027
							53,013
	Total Fixed Rate Agency Securities (Cost $820,069)						833,971
	Floating Rate Agency Securities (14.04%)
	Principal and Interest - Floating Rate Agency Securities (13.98%)
	10,528	Federal National Mortgage Association Pool	5.12%		5/38		11,100
	10,018	Federal National Mortgage Association Pool	5.70%		1/38		10,615
	7,492	Federal National Mortgage Association Pool	5.28%		2/38		7,875
	7,387	Federal National Mortgage Association Pool	5.24%		12/35		7,785
	4,017	Federal National Mortgage Association Pool	5.55%		7/37		4,319
	3,503	Federal National Mortgage Association Pool	5.68%		4/36		3,718
	3,390	Federal Home Loan Mortgage Corporation Pool	2.71%		7/34		3,556
	2,018	Federal National Mortgage Association Pool	5.47%		9/37		2,144
	1,445	Other Federal National Mortgage Association Pool	5.01%		10/33		1,529
							52,641
	Interest Only - Floating Rate Agency Securities (0.06%)
	1,544	Other Federal National Mortgage Association Pool	5.50%		8/36		221
							221
	Total Floating Rate Agency Securities (Cost $52,347)						52,862
	Total Agency Securities (Cost $872,416)						886,833
	Private Label Securities (109.15%)
	Principal and Interest - Private Label Securities (108.90%)
	696,241	Various	0.29%  -  9.35%		5/19  -  7/49		410,216
	Total Principal and Interest - Private Label Securities (Cost $432,247)						410,216
	Interest Only - Private Label Securities (0.25%)
	74,219	Various	0.50% -  0.65%		9/47		927
	Total Interest Only - Private Label Securities (Cost $635)						927
	Residual Certificates - Private Label Securities (0.00%)
	206,757	Various	—		6/37		—
	Total Residual Certificates - Private Label Securities (Cost $560)						—
	Total Private Label Securities (Cost $433,442)						411,143
	Total Mortgage-Backed Securities (Cost $1,305,858)						1,297,976
	Commercial Mortgage Loans (1.16%) (o)
	5,000	Various	5.75%		11/12		4,375
	Total Commercial Mortgage Loans (Cost $4,767)						4,375
	Total Long Investments (Cost $1,310,625)					$	1,302,351
	Repurchase Agreements (4.79%) (d)
$	15,712	Nomura Securities International Inc. Collateralized by Par Value $15,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16		0.03	%		10/11	$	15,712
	2,323	Nomura Securities International Inc. Collateralized by Par Value $2,000 U.S. Treasury Note, Coupon 3.63%, Maturity Date 2/21		0.03	%		10/11		2,323
	Total Repurchase Agreements (Cost $18,035)							$	18,035
	Investments Sold Short (-149.38%)
	TBA - Fixed Rate Agency Securities Sold Short (-144.62%) (c) (e)
$	(127,500)	Federal National Mortgage Association Pool (30 Year)		5.00	%		10/11	$	(137,122	)
	(96,000)	Government National Mortgage Association Pool (30 Year)		5.00	%		10/11		(105,435	)
	(93,700)	Federal Home Loan Mortgage Corporation Pool (30 Year)		4.50	%		10/11		(99,146	)
	(78,400)	Federal National Mortgage Association Pool (30 Year)		4.00	%		10/11		(82,192	)
	(40,000)	Federal Home Loan Mortgage Corporation Pool (30 Year)		4.50	%		11/11		(42,225	)
	(31,500)	Federal Home Loan Mortgage Corporation Pool (30 Year)		5.00	%		10/11		(33,776	)
	(15,600)	Federal Home Loan Mortgage Corporation Pool (30 Year)		4.00	%		10/11		(16,328	)
	(13,500)	Government National Mortgage Association Pool (30 Year)		5.50	%		10/11		(14,927	)
	(8,500)	Federal National Mortgage Association Pool (30 Year)		5.50	%		10/11		(9,225	)
	(2,500)	Federal National Mortgage Association Pool (30 Year)		6.00	%		10/11		(2,742	)
	(1,000)	Other Federal Home Loan Mortgage Corporation Pool (30 Year)		6.00	%		10/11		(1,096	)
	(500)	Other Government National Mortgage Association Pool (30 Year)		4.50	%		10/11		(543	)
	Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$545,465)								(544,757	)
	U.S. Treasury Securities Sold Short (-4.76%)
	(17,000)	U.S. Treasury Note		1.75% - 3.63	%		5/16 - 2/21		(17,913	)
	Total U.S. Treasury Securities Sold Short (Proceeds -$17,142)								(17,913	)
	Total Investments Sold Short (Proceeds -$562,607)							$	(562,670	)

	Primary Risk Exposure	Notional			Range of Expiration Dates	Value
(In thousands)						Expressed in U.S. Dollars
Financial Derivatives - Assets (29.58%)
Swaps (29.58%) (f)
Long Swaps:
Interest Rate Swaps (g)	Interest Rates	$	600		9/21	$	3
Short Swaps:
Credit Default Swaps on Asset Backed Securities (h)	Credit		(74,453	)	9/34 - 12/36		59,906
Credit Default Swaps on Asset Backed Indices: (i)	Credit
ABX.HE AAA 2006-2 Index			(68,967	)	5/46		39,110
Other			(29,857	)	8/37 - 2/51		11,431
Total Return Swaps (j)	Equity Market		(14,613	)	9/12 - 9/13		827
Credit Default Swaps on Corporate Bond Indices (k)	Credit		(19,700	)	6/15		109
Interest Rate Swaps (l)	Interest Rates		(970	)	9/21		19
Total Swaps (Cost $119,307)							111,405
Total Financial Derivatives - Assets (Cost $119,307)						$	111,405
Financial Derivatives - Liabilities (-9.29%)
Swaps (-9.29%)
Long Swaps:
Credit Default Swaps on Asset Backed Indices (Proceeds - $13,825) (m)	Credit	$	26,907		8/37 - 2/51	$	(15,467	)
Interest Rate Swaps (g)	Interest Rates		10,000		9/16		(72	)
Short Swaps:
Interest Rate Swaps (l)	Interest Rates		(309,800	)	4/14 - 7/21		(19,449	)
Total Swaps (Proceeds -$13,825)						$	(34,988	)
Total Financial Derivatives - Liabilities (Net Proceeds -$13,825)						$	(34,988	)

(a) See Note 2 and Note 9 in Notes to Consolidated Financial Statements.

(b) At September 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 126.76%, 83.53%, and 25.15% 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 September 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 61.40%, 51.12%, and 32.10% 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		10.87	%
Affiliates of Credit Suisse		5.41	%
Affiliates of Deutsche Bank		5.08	%

(g) For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received.

(h) For short credit default swaps on asset backed securities, the Company purchased protection.

(i) For short credit default swaps on asset backed indices, the Company purchased protection.

(j) Notional amount represents number of underlying shares or par value times the closing price of the underlying security.

(k) For short credit default swaps on corporate bond indices, the Company purchased protection.

(l) For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received.

(m) For long credit default swaps on asset backed indices, the Company sold protection.

(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		235.44	%
Aaa/AAA/AAA		1.48	%
Aa/AA/AA		2.02	%
A/A/A		5.81	%
Baa/BBB/BBB		3.70	%
Ba/BB/BB or below		96.14	%
Unrated		1.16	%

(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
(In thousands)							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%)
$	93,296	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40	$	92,662
	75,287	Government National Mortgage Association Pool		5.00	%	4/40		80,769
	41,442	Federal National Mortgage Association Pool		5.00	%	8/40		43,660
	31,029	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40		30,806
	29,867	Federal Home Loan Mortgage Corporation Pool		4.50	%	9/40		30,665
	27,829	Federal National Mortgage Association Pool		4.50	%	11/40		28,596
	25,016	Government National Mortgage Association Pool		4.50	%	5/40		26,108
	24,331	Federal Home Loan Mortgage Corporation Pool		5.00	%	8/40		25,551
	20,674	Federal National Mortgage Association Pool		5.00	%	11/40		21,783
	20,370	Federal National Mortgage Association Pool		3.50	%	11/40		19,453
	17,518	Federal Home Loan Mortgage Corporation Pool		5.00	%	9/40		18,396
	17,827	Federal Home Loan Mortgage Corporation Pool		4.50	%	11/40		18,298
	16,318	Federal National Mortgage Association Pool		5.00	%	10/40		17,234
	16,073	Federal National Mortgage Association Pool		4.50	%	12/40		16,526
	15,061	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40		14,958
	Principal and Interest - Fixed Rate Agency Securities (190.72% ) (continued)
	$14,674	Federal National Mortgage Association Pool		4.00	%	11/40	$	14,602
	14,053	Federal National Mortgage Association Pool		4.00	%	12/40		14,008
	14,086	Federal National Mortgage Association Pool		3.50	%	1/41		13,451
	11,888	Federal National Mortgage Association Pool		4.50	%	9/40		12,209
	11,074	Government National Mortgage Association Pool		5.00	%	6/40		11,859
	11,018	Federal National Mortgage Association Pool		4.50	%	7/25		11,574
	9,887	Government National Mortgage Association Pool		5.00	%	7/40		10,523
	9,534	Federal National Mortgage Association Pool		5.50	%	10/39		10,238
	9,622	Federal National Mortgage Association Pool		4.50	%	8/25		10,110
	9,697	Federal Home Loan Mortgage Corporation Pool		4.50	%	11/40		9,953
	9,185	Government National Mortgage Association Pool		5.00	%	4/40		9,837
	8,436	Federal Home Loan Mortgage Corporation Pool		4.50	%	10/40		8,648
	7,945	Federal Home Loan Mortgage Corporation Pool		6.00	%	4/39		8,633
	8,224	Federal Home Loan Mortgage Corporation Pool		5.00	%	8/40		8,637
	7,307	Federal National Mortgage Association Pool		5.00	%	7/40		7,690
	7,189	Government National Mortgage Association Pool		5.00	%	8/40		7,699
	7,203	Federal Home Loan Mortgage Corporation Pool		4.00	%	11/40		7,166
	6,727	Federal National Mortgage Association Pool		5.00	%	8/40		7,087
	6,194	Government National Mortgage Association Pool		5.00	%	7/40		6,593
	Principal and Interest - Fixed Rate Agency Securities (190.72% ) (continued)
	$5,820	Federal National Mortgage Association Pool		6.00	%	12/38	$	6,327
	6,262	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40		6,219
	6,096	Federal National Mortgage Association Pool		4.00	%	11/40		6,064
	6,097	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40		6,066
	5,703	Federal National Mortgage Association Pool		4.50	%	8/25		5,989
	5,433	Federal National Mortgage Association Pool		5.00	%	11/40		5,723
	5,093	Federal National Mortgage Association Pool		4.50	%	8/25		5,348
	5,082	Federal National Mortgage Association Pool		4.50	%	12/40		5,222
	4,812	Federal National Mortgage Association Pool		4.50	%	11/40		4,945
	4,377	Federal National Mortgage Association Pool		5.50	%	11/39		4,689
	4,637	Federal Home Loan Mortgage Corporation Pool		4.00	%	1/41		4,605
	4,394	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40		4,372
	4,003	Government National Mortgage Association Pool		5.00	%	7/40		4,261
	3,612	Federal National Mortgage Association Pool		4.50	%	12/40		3,712
	3,218	Federal Home Loan Mortgage Corporation Pool		5.00	%	9/40		3,383
	3,356	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40		3,338
	2,932	Federal National Mortgage Association Pool		4.50	%	9/25		3,074
	2,779	Federal Home Loan Mortgage Corporation Pool		4.00	%	8/40		2,765
	2,157	Federal Home Loan Mortgage Corporation Pool		4.00	%	12/40		2,146
	5,210	Other Federal National Mortgage Association Pools		6.00	%	9/39 - 2/40		5,665
								769,895
	TBA - Fixed Rate Agency Securities (13.47% ) (c)
	$25,000	Government National Mortgage Association (30 Year)		4.00	%	1/11	$	25,152
	25,000	Federal National Mortgage Association (30 Year)		4.00	%	2/11		24,797
	4,650	Federal National Mortgage Association (30 Year)		3.50	%	1/11		4,441
								54,390
	Total Fixed Rate Agency Securities (Cost $828,147)							824,285
	Floating Rate Agency Securities (20.09% )
	Principal and Interest - Floating Rate Agency Securities (20.09% )
	15,367	Federal National Mortgage Association Pool		5.84	%	12/36		16,266
	12,274	Federal National Mortgage Association Pool		5.68	%	1/38		13,025
	11,854	Federal National Mortgage Association Pool		5.10	%	5/38		12,476
	10,984	Federal National Mortgage Association Pool		5.22	%	12/35		11,568
	8,928	Federal National Mortgage Association Pool		5.76	%	10/36		9,392
	8,641	Federal National Mortgage Association Pool		5.22	%	2/38		9,127
	4,123	Federal National Mortgage Association Pool		5.69	%	4/36		4,380
	3,012	Federal National Mortgage Association Pool		5.50	%	9/37		3,173
	1,608	Federal National Mortgage Association Pool		6.06	%	1/38		1,686
	Total Principal and Interest - Floating Rate Agency Securities (Cost $80,167)							81,093
	Total Floating Rate Agency Securities (Cost $80,167)							81,093
	Total Agency Securities (Cost $908,314)							905,378
	Private Label Securities (84.40%)
	Principal and Interest - Private Label Securities (82.97%)
	$  482,838	Various		0.32% -  53.41%		6/18 - 2/51	$	334,909
	Total Principal and Interest - Private Label Securities (Cost $321,068)							334,909
	Interest Only - Private Label Securities (1.43%)
	127,239	Various		0.50% - 5.24%		4/35 - 9/47		5,780
	Total Interest Only - Private Label Securities (Cost $2,491)							5,780
	Residual Certificates - Private Label Securities (0.00%)
	225,640	Various		—		6/37		—
	Total Residual Certificates - Private Label Securities (Cost $611)							—
	Total Private Label Securities (Cost $324,170)							340,689
	Total Mortgage-Backed Securities (Cost $1,232,484)							1,246,067
	Total Long Investments (Cost $1,232,484)						$	1,246,067
	Repurchase Agreements (6.36%) (d)
	$  25,684	Credit Suisse First Boston Collateralized by Par Value $27,000 U.S. Treasury Note, Coupon 2.63%, Maturity Date 11/20		0.00%		1/11	$	25,684
	Total Repurchase Agreements (Cost $25,684)						$	25,684
	Investments Sold Short (-192.02%)
	TBA - Fixed Rate Agency Securities Sold Short (-185.71%) (c) (e)
	$(136,500)	Federal National Mortgage Association (30 Year)		4.50	%	1/11	$	(140,094	)
	(113,000)	Government National Mortgage Association (30 Year)		5.00	%	1/11		(120,168	)
	(114,500)	Federal National Mortgage Association (30 Year)		4.00	%	1/11		(113,901	)
	(62,000)	Federal National Mortgage Association (30 Year)		5.00	%	1/11		(65,172	)
	(63,000)	Federal Home Loan Mortgage Corporation (30 Year)		4.00	%	1/11		(62,547	)
	(40,000)	Federal Home Loan Mortgage Corporation (30 Year)		4.00	%	2/11		(39,594	)
	(35,000)	Federal National Mortgage Association (15 Year)		4.50	%	1/11		(36,698	)
	(33,000)	Federal Home Loan Mortgage Corporation (30 Year)		5.00	%	1/11		(34,614	)
	(30,000)	Government National Mortgage Association (30 Year)		5.00	%	2/11		(31,842	)
	(27,500)	Federal Home Loan Mortgage Corporation (30 Year)		4.50	%	1/11		(28,175	)
	(24,500)	Government National Mortgage Association (30 Year)		4.50	%	1/11		(25,432	)
	(25,000)	Government National Mortgage Association (30 Year)		4.00	%	1/11		(25,172	)
	(16,000)	Federal Home Loan Mortgage Corporation (30 Year)		5.50	%	1/11		(17,053	)
	(7,500)	Federal National Mortgage Association (30 Year)		6.00	%	1/11		(8,153	)
	(1,000)	Federal National Mortgage Association (30 Year)		5.50	%	2/11		(1,068	)
	Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds - $750,520)							(749,683	)
	U.S. Treasury Securities Sold Short (-6.31%)
	(27,000)	U.S. Treasury Note		2.63	%	11/20		(25,462	)
	Total U.S. Treasury Securities Sold Short (Proceeds - $25,262)							(25,462	)
	Total Investments Sold Short (Proceeds -$775,782)						$	(775,145	)

	Primary Risk Exposure	Notional			Range of Expiration Dates	Value
(In thousands)						Expressed in U.S. Dollars
Financial Derivatives - Assets (49.88%)
Swaps (49.88%) (f)
Long Swaps:
Credit Default Swaps on Asset Backed Indices (Cost $4,033) (g)	Credit	$	74,128		6/36 - 7/36	$	3,567
Interest Rate Swaps (h)	Interest Rates		5,000		12/20		47
Short Swaps:
Credit Default Swaps on Asset Backed Securities (i)	Credit		(127,089	)	6/34 - 12/36		102,850
Credit Default Swaps on Asset Backed Indices: (j)	Credit
ABX.HE AAA 2007-1 Index			(108,595	)	8/37		60,649
Other			(92,449	)	8/37 - 2/51		32,474
Interest Rate Swaps (k)	Interest Rates		(60,000	)	12/15 - 12/20		1,748
Total Swaps (Cost $208,958)							201,335
Total Financial Derivatives - Assets (Cost $208,958)						$	201,335
Financial Derivatives - Liabilities (-5.21%)
Swaps (-4.99%)
Long Swaps:
Credit Default Swaps on Asset Backed Indices     (Proceeds - $17,559) (g)	Credit	$	37,589		8/37 - 12/49	$	(17,942	)
Interest Rate Swaps (h)	Interest Rates		10,000		11/15 - 11/20		(215	)
Short Swaps:
Interest Rate Swaps (k)	Interest Rates		(83,750	)	10/14 - 12/15		(1,461	)
Credit Default Swaps on Asset Backed Indices (j)	Credit		(4,435	)	7/36		(336	)
Credit Default Swaps on Corporate Bond Indices (l)	Credit		(19,700	)	6/15		(186	)
Total Swaps (Net Proceeds - $17,718)							(20,140	)
Futures (-0.22%)
Short Futures:
Eurodollar contracts (m)	Interest Rates		(400,000	)	3/11 - 9/12		(890	)
Total Futures							(890	)
Total Financial Derivatives - Liabilities (Net Proceeds - $17,718)						$	(21,030	)

(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) Represents $1,000,000 notional amount per contract.

(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	%