Consolidated Condensed Schedule Of Investments

12 Months Ended

Dec. 31, 2011

Consolidated Condensed Schedule Of Investments [Abstract]

Consolidated Condensed Schedule Of Investments

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2011

Current Principal/ Notional Value			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
North America
Long Investments (326.89%) (a) (b) (o)
Mortgage-Backed Securities (322.98%)
Agency Securities (206.07%)
Fixed Rate Agency Securities (195.78%)
Principal and Interest—Fixed Rate Agency Securities (185.76%)
	$	85,000	Federal Home Loan Mortgage Corporation Pool	4.50%	10/41	$	90,611
		25,882	Federal National Mortgage Association Pool	5.00%	7/41		28,107
		25,456	Federal Home Loan Mortgage Corporation Pool	4.00%	11/40		26,824
		24,164	Federal National Mortgage Association Pool	4.50%	12/41		25,874
		20,212	Federal National Mortgage Association Pool	5.00%	8/41		21,937
		18,867	Federal Home Loan Mortgage Corporation Pool	5.00%	7/41		20,417
		18,434	Federal National Mortgage Association Pool	4.50%	9/41		19,738
		18,120	Federal National Mortgage Association Pool	4.50%	10/41		19,397
		17,391	Federal National Mortgage Association Pool	5.00%	3/41		18,941
		17,182	Federal National Mortgage Association Pool	4.50%	9/41		18,328
		15,465	Federal Home Loan Mortgage Corporation Pool	5.00%	9/39		16,620
		15,243	Federal National Mortgage Association Pool	4.50%	9/41		16,260
		14,964	Federal National Mortgage Association Pool	4.50%	11/41		15,991
		13,451	Federal National Mortgage Association Pool	4.50%	9/41		14,348
		13,554	Federal National Mortgage Association Pool	4.00%	11/41		14,252
		13,033	Federal National Mortgage Association Pool	4.50%	9/41		13,927
		13,125	Federal National Mortgage Association Pool	4.00%	10/41		13,818
		12,593	Federal National Mortgage Association Pool	5.00%	7/41		13,699
		11,361	Federal National Mortgage Association Pool	4.50%	4/26		12,154
		11,095	Federal National Mortgage Association Pool	5.00%	9/41		12,098
		10,358	Federal Home Loan Mortgage Corporation Pool	4.00%	1/41		10,902
		9,995	Federal Home Loan Mortgage Corporation Pool	5.00%	10/41		10,791
		9,468	Federal National Mortgage Association Pool	4.00%	7/26		10,011
		9,176	Federal Home Loan Mortgage Corporation Pool	4.50%	2/41		9,805
		9,149	Federal Home Loan Mortgage Corporation Pool	4.50%	10/41		9,736
		9,152	Federal National Mortgage Association Pool	4.00%	5/26		9,657
		9,027	Federal National Mortgage Association Pool	4.00%	9/41		9,498
		8,468	Federal National Mortgage Association Pool	5.50%	10/39		9,269
		8,400	Federal Home Loan Mortgage Corporation Pool	4.00%	3/41		8,851
		8,123	Federal National Mortgage Association Pool	5.00%	9/41		8,836
		7,437	Federal National Mortgage Association Pool	5.00%	9/41		8,072
		7,261	Federal National Mortgage Association Pool	5.50%	5/40		7,947
		6,955	Federal National Mortgage Association Pool	5.00%	6/41		7,553
		6,878	Federal National Mortgage Association Pool	5.00%	7/41		7,465

See Notes to Consolidated Financial Statements

Current Principal/ Notional Value			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
Principal and Interest—Fixed Rate Agency Securities (185.76%) (continued)
	$	6,852	Federal National Mortgage Association Pool	5.00%	5/41	$	7,437
		6,823	Federal National Mortgage Association Pool	5.00%	6/41		7,406
		6,759	Federal National Mortgage Association Pool	4.00%	6/26		7,147
		5,836	Federal National Mortgage Association Pool	5.00%	10/41		6,334
		5,531	Federal Home Loan Mortgage Corporation Pool	6.00%	4/39		6,095
		5,687	Federal National Mortgage Association Pool	4.00%	10/41		5,987
		5,514	Federal National Mortgage Association Pool	5.00%	11/40		5,985
		5,711	Federal National Mortgage Association Pool	3.50%	11/41		5,883
		5,549	Federal Home Loan Mortgage Corporation Pool	4.00%	5/41		5,833
		5,209	Federal National Mortgage Association Pool	4.50%	8/41		5,557
		4,888	Federal National Mortgage Association Pool	5.00%	8/41		5,330
		4,799	Federal National Mortgage Association Pool	5.00%	6/40		5,209
		4,837	Federal National Mortgage Association Pool	4.50%	4/41		5,190
		4,702	Federal National Mortgage Association Pool	5.00%	9/41		5,127
		4,398	Federal Home Loan Mortgage Corporation Pool	3.50%	10/41		4,522
		4,150	Federal National Mortgage Association Pool	5.00%	10/41		4,504
		4,230	Federal National Mortgage Association Pool	4.00%	9/41		4,454
		4,158	Federal Home Loan Mortgage Corporation Pool	4.00%	1/41		4,384
		4,100	Federal National Mortgage Association Pool	4.50%	11/41		4,374
		3,724	Federal Home Loan Mortgage Corporation Pool	4.50%	9/41		3,963
		3,751	Federal National Mortgage Association Pool	3.50%	11/41		3,859
		2,565	Federal National Mortgage Association Pool	5.00%	7/41		2,791
		2,391	Federal National Mortgage Association Pool	5.00%	11/41		2,595
		4,609	Other Federal National Mortgage Association Pools	6.00%	9/39 – 2/40		5,092
		1,197	Other Federal Home Loan Mortgage Corporation Pool	6.00%	5/40		1,319
		806	Other Government National Mortgage Association Pool	5.50%	3/41		907
							689,018
Interest Only—Fixed Rate Agency Securities (1.38%)
		24,381	Other Federal National Mortgage Association	5.00% – 5.50%	1/36 – 10/40		2,734
		13,937	Other Federal Home Loan Mortgage Corporation	5.00% – 5.50%	6/33 – 1/39		1,772
		9,281	Other Government National Mortgage Association	5.50%	3/36		603
							5,109
TBA—Fixed Rate Agency Securities (8.64%)
		30,500	Federal National Mortgage Association (30 Year)	4.00%	1/12		32,033
							32,033
Total Fixed Rate Agency Securities (Cost $718,177)							726,160

See Notes to Consolidated Financial Statements

Current Principal/ Notional Value			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
Floating Rate Agency Securities (10.29%)
Principal and Interest—Floating Rate Agency Securities (10.23%)
	$	9,464	Federal National Mortgage Association Pool	5.10%	5/38	$	9,969
		6,675	Federal National Mortgage Association Pool	5.28%	12/35		7,027
		6,627	Federal National Mortgage Association Pool	5.29%	2/38		6,954
		3,364	Federal Home Loan Mortgage Corporation Pool	2.71%	7/34		3,524
		3,261	Federal National Mortgage Association Pool	5.52%	7/37		3,493
		3,247	Federal National Mortgage Association Pool	5.69%	4/36		3,441
		1,906	Federal National Mortgage Association Pool	5.44%	9/37		2,023
		1,444	Other Federal National Mortgage Association Pool	5.01%	10/33		1,525
							37,956
Interest Only—Floating Rate Agency Securities (0.06%)
		1,476	Other Federal National Mortgage Association Pool	5.50%	8/36		228
							228
Total Floating Rate Agency Securities (Cost $37,594)							38,184
Total Agency Securities (Cost $755,771)							764,344
Private Label Securities (116.91%)
Principal and Interest—Private Label Securities (114.91%)
		762,480	Various	0.35% – 9.35%	5/19 – 12/47		426,202
Total Principal and Interest—Private Label Securities (Cost $456,170)							426,202
Interest Only—Private Label Securities (0.48%)
		76,167	Various	0.50% – 6.91%	7/35 – 9/47		1,774
Total Interest Only—Private Label Securities (Cost $1,471)							1,774
Other Private Label Securities (1.52%)
		201,831	Various	—	6/37 – 9/46		5,650
Total Other Private Label Securities (Cost $6,011)							5,650
Total Private Label Securities (Cost $463,652)							433,626
Total Mortgage-Backed Securities (Cost $1,219,423)							1,197,970
Commercial Mortgage Loans (1.19%) (n)
		5,000	Various	6.25%	11/12		4,400
Total Commercial Mortgage Loans (Cost $4,789)							4,400
U.S. Treasury Securities (2.72%)
		10,000	U.S. Treasury Note	2.00%	11/21		10,113
Total U.S. Treasury Securities (Cost $9,991)							10,113
Total Long Investments (Cost $1,234,203)						$	1,212,483

See Notes to Consolidated Financial Statements

Current Principal/ Notional Value				Description	Rate	Maturity	Fair Value
(In thousands)							Expressed in U.S. Dollars
Repurchase Agreements (4.24%) (c)
	$	15,750		Bank of America Securities	0.01%	1/12	$	15,750
				Collateralized by Par Value $15,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16
Total Repurchase Agreements (Cost $15,750)							$	15,750
Investments Sold Short (-124.66%)
TBA—Fixed Rate Agency Securities Sold Short (-120.43%) (d)
	$	(147,700	)	Federal National Mortgage Association (30 Year)	4.50%	1/12	$	(157,185	)
		(114,200	)	Federal National Mortgage Association (30 Year)	5.00%	1/12		(123,376	)
		(31,000	)	Federal Home Loan Mortgage Corporation (30 Year)	5.00%	1/12		(33,316	)
		(30,400	)	Federal Home Loan Mortgage Corporation (30 Year)	4.50%	1/12		(32,217	)
		(26,000	)	Government National Mortgage Association (30 Year)	5.00%	1/12		(28,805	)
		(25,300	)	Federal National Mortgage Association (15 Year)	4.00%	1/12		(26,688	)
		(13,500	)	Federal National Mortgage Association (30 Year)	5.50%	1/12		(14,700	)
		(11,000	)	Federal National Mortgage Association (15 Year)	4.50%	1/12		(11,727	)
		(8,400	)	Federal National Mortgage Association (30 Year)	3.50%	1/12		(8,640	)
		(4,400	)	Federal Home Loan Mortgage Corporation (30 Year)	3.50%	1/12		(4,517	)
		(2,500	)	Federal National Mortgage Association (30 Year)	6.00%	1/12		(2,753	)
		(1,500	)	Other Government National Mortgage Association (30 Year)	5.50%	1/12		(1,685	)
		(1,000	)	Other Federal Home Loan Mortgage Corporation (30 Year)	6.00%	1/12		(1,098	)
Total TBA—Fixed Rate Agency Securities Sold Short (Proceeds -$443,893)								(446,707	)
U.S. Treasury Securities Sold Short (-4.23%)
		(15,000	)	U.S. Treasury Note	1.75%	5/16		(15,687	)
Total U.S. Treasury Securities Sold Short (Proceeds -$15,120)								(15,687	)
Total Investments Sold Short (Proceeds -$459,013)							$	(462,394	)

See Notes to Consolidated Financial Statements

	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S. Dollars
Financial Derivatives—Assets (27.73%)
Swaps (27.73%) (e)
Long Swaps:
Interest Rate Swaps (g)	Interest Rates	$	4,500		10/16	$	68
Short Swaps:
Credit Default Swaps on Asset Backed Securities (h)	Credit		(74,787	)	9/34 – 12/36		61,498
Credit Default Swaps on Asset Backed Indices: (i)	Credit
ABX.HE AAA 2006-2 Index			(62,842	)	5/46		35,542
Other			(19,800	)	3/49 – 10/52		4,761
Credit Default Swaps on Corporate Bond Indices (k)	Credit		(106,500	)	12/16		963
Interest Rate Swaps (g)	Interest Rates		(25,000	)	12/14		27
Total Swaps (Cost $118,281)							102,859
Futures (-0.00%)
Short Futures:
Eurodollar Futures (m)	Interest Rates		(147,000	)	3/12 – 9/13		12
Total Futures							12
Total Financial Derivatives—Assets (Cost $118,281)						$	102,871
Financial Derivatives—Liabilities (-7.29%)
Swaps (-7.29%)
Long Swaps:
Credit Default Swaps on Asset Backed Indices (Proceeds - $9,636) (f)	Credit	$	22,615		6/36 – 2/51	$	(9,548	)
Short Swaps:
Interest Rate Swaps (j)	Interest Rates		(280,400	)	4/14 – 12/21		(17,218	)
Total Return Swaps (l)	Equity Market		(20,571	)	9/12 – 9/13		(274	)
Total Swaps (Proceeds -$9,636)							(27,040	)
Total Financial Derivativess—Liabilities (Proceeds -$9,636)						$	(27,040	)

See Notes to Consolidated Financial Statements

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

^(b) At December 31, 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 142.04%, 63.62%, and 0.41% of shareholders' equity, respectively.

^(c)  In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.

^(d)  At December 31, 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 93.03%, 19.18%, and 8.22% of shareholders' equity, respectively.

^(e)  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		8.15	%
Affiliates of Credit Suisse		7.27	%
Affiliates of Deutsche Bank		5.65	%

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

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

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

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

^(m)  Every $1,000,000 in notional value represents one contract.

⁽ⁿ⁾  Maturity date may be extended through November 4, 2015.

^(o)  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
U.S. Treasury Securities		2.72	%
Unrated but Agency-Guaranteed		206.07	%
Aaa/AAA/AAA		1.25	%
Aa/AA/AA		1.88	%
A/A/A		5.44	%
Baa/BBB/BBB		3.46	%
Ba/BB/BB or below		103.36	%
Unrated		2.71	%

See Notes to Consolidated Financial Statements

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2010

Current Principal/ Notional Value			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
North America
Long Investments (308.68%) (a) (b) (m)
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
		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
Principal and Interest—Fixed Rate Agency Securities (190.72%) (continued)
	$	6,194	Government National Mortgage Association Pool	5.00%	7/40	$	6,593
		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%)
		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

See Notes to Consolidated Financial Statements

Current Principal/ Notional Value			Description	Rate	Maturity	Fair Value
(In thousands)						Expressed in U.S. Dollars
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
Other Private Label Securities (0.00%)
		225,640	Various	—	6/37		—
Total Other 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

See Notes to Consolidated Financial Statements

Current Principal/ Notional Value				Description	Rate	Maturity	Fair Value
(In thousands)							Expressed in U.S. Dollars
Repurchase Agreements (6.36%) (c)
	$	25,684		Credit Suisse First Boston	0.00%	1/11	$	25,684
				Collateralized by Par Value $27,000 U.S. Treasury Note, Coupon 2.63%, Maturity Date 11/20
Total Repurchase Agreements (Cost $25,684)							$	25,684
Investments Sold Short (-192.02%)
TBA—Fixed Rate Agency Securities Sold Short (-185.71%) (d)
	$	(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	)

See Notes to Consolidated Financial Statements

	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S. Dollars
Financial Derivatives — Assets (49.88%)
Swaps (49.88%) (e)
Long Swaps:
Credit Default Swaps on Asset Backed Indices (Cost $4,033) (f)	Credit	$	74,128		6/36 – 7/36	$	3,567
Interest Rate Swaps (g)	Interest Rates		5,000		12/20		47
Short Swaps:
Credit Default Swaps on Asset Backed Securities (h)	Credit		(127,089	)	6/34 – 12/36		102,850
Credit Default Swaps on Asset Backed Indices: (i)	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 (j)	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) (f)	Credit	$	37,589		8/37 – 12/49	$	(17,942	)
Interest Rate Swaps (g)	Interest Rates		10,000		11/15 – 11/20		(215	)
Short Swaps:
Interest Rate Swaps (j)	Interest Rates		(83,750	)	10/14 – 12/15		(1,461	)
Credit Default Swaps on Asset Backed Indices (i)	Credit		(4,435	)	7/36		(336	)
Credit Default Swaps on Corporate Bond Indices (k)	Credit		(19,700	)	6/15		(186	)
Total Swaps (Net Proceeds -$17,718)							(20,140	)
Futures (-0.22%)
Short Futures:
Eurodollar Futures (l)	Interest Rates		(400,000	)	3/11 – 9/12		(890	)
Total Futures							(890	)
Total Financial Derivatives—Liabilities (Net Proceeds -$17,718)						$	(21,030	)

See Notes to Consolidated Financial Statements

(a) See Notes 2 and 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) In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions.

(d) 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.

(e) 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	%

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

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

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

(l) Every $1,000,000 in notional value represents one contract.

(m) 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	%