Consolidated Condensed Schedule Of Investments

3 Months Ended

Mar. 31, 2012

Consolidated Condensed Schedule Of Investments [Abstract]

Consolidated Condensed Schedule Of Investments

ELLINGTON FINANCIAL LLC

CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS

AT MARCH 31, 2012

(UNAUDITED)

Current Principal/ Notional Value	Description	Rate	Maturity	Fair Value
(In thousands)				Expressed in U.S. Dollars
North America
Long Investments (309.28%) (a) (b) (o)
Mortgage-Backed Securities (308.14%)
Agency Securities (202.05%)
Fixed Rate Agency Securities (195.93%)
Principal and Interest - Fixed Rate Agency Securities (190.11%)
$          153,574	Federal National Mortgage Association Pool	4.00%	1/42	$	161,433
35,021	Federal National Mortgage Association Pool	4.00%	11/41		36,778
31,190	Federal National Mortgage Association Pool	4.00%	1/42		32,730
24,071	Federal National Mortgage Association Pool	4.50%	12/41		25,759
22,680	Federal National Mortgage Association Pool	4.00%	1/42		23,800
19,718	Federal National Mortgage Association Pool	5.00%	8/41		21,398
19,743	Federal National Mortgage Association Pool	4.00%	4/42		20,755
18,458	Federal Home Loan Mortgage Corporation Pool	5.00%	7/41		20,020
18,361	Federal National Mortgage Association Pool	4.50%	9/41		19,649
18,045	Federal National Mortgage Association Pool	4.50%	10/41		19,305
16,768	Federal National Mortgage Association Pool	5.00%	3/41		18,259
16,716	Federal National Mortgage Association Pool	4.50%	9/41		17,820
13,480	Federal National Mortgage Association Pool	4.00%	11/41		14,150
13,443	Federal National Mortgage Association Pool	4.00%	1/42		14,123
13,099	Federal National Mortgage Association Pool	4.50%	9/41		13,965
12,546	Federal National Mortgage Association Pool	5.00%	7/41		13,646
12,655	Federal National Mortgage Association Pool	4.00%	10/41		13,300
11,054	Federal National Mortgage Association Pool	5.00%	9/41		12,051
11,147	Federal National Mortgage Association Pool	4.50%	4/26		11,976
11,075	Federal National Mortgage Association Pool	4.00%	1/42		11,618
10,305	Federal Home Loan Mortgage Corporation Pool	4.00%	1/41		10,812
9,471	Federal Home Loan Mortgage Corporation Pool	4.00%	12/41		9,924
9,133	Federal Home Loan Mortgage Corporation Pool	4.50%	2/41		9,765
9,114	Federal Home Loan Mortgage Corporation Pool	4.50%	10/41		9,705
9,080	Federal National Mortgage Association Pool	4.00%	7/26		9,643
8,194	Federal National Mortgage Association Pool	5.50%	10/39		8,974
8,259	Federal Home Loan Mortgage Corporation Pool	4.00%	3/41		8,675
7,234	Federal National Mortgage Association Pool	5.50%	5/40		7,922
7,491	Federal National Mortgage Association Pool	3.50%	12/41		7,710
6,627	Federal National Mortgage Association Pool	5.00%	6/41		7,192
6,597	Federal National Mortgage Association Pool	5.00%	7/41		7,159
6,462	Federal National Mortgage Association Pool	5.00%	11/39		6,988
6,129	Federal National Mortgage Association Pool	4.00%	6/26		6,509
5,816	Federal National Mortgage Association Pool	5.00%	10/41		6,311
5,664	Federal National Mortgage Association Pool	4.00%	10/41		5,953
5,631	Federal National Mortgage Association Pool	4.00%	2/42		5,911
5,333	Federal Home Loan Mortgage Corporation Pool	6.00%	4/39		5,899
5,114	Federal National Mortgage Association Pool	5.00%	11/40		5,550
5,189	Federal National Mortgage Association Pool	4.50%	8/41		5,532
4,869	Federal National Mortgage Association Pool	5.00%	8/41		5,308
4,909	Federal National Mortgage Association Pool	4.50%	12/41		5,235
4,817	Federal National Mortgage Association Pool	4.50%	4/41		5,165
4,684	Federal National Mortgage Association Pool	5.00%	9/41		5,107
4,532	Federal Home Loan Mortgage Corporation Pool	4.00%	2/42		4,755
4,250	Federal National Mortgage Association Pool	5.00%	6/40		4,612
4,085	Federal National Mortgage Association Pool	4.50%	11/41		4,355

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
	Principal and Interest - Fixed Rate Agency Securities (190.11%) (continued)
$	4,026	Federal National Mortgage Association Pool	4.00%	9/41	$	4,231
	4,022	Federal National Mortgage Association Pool	4.00%	2/42		4,226
	3,853	Federal National Mortgage Association Pool	5.00%	10/41		4,181
	3,946	Federal Home Loan Mortgage Corporation Pool	4.00%	1/41		4,147
	3,887	Federal National Mortgage Association Pool	4.00%	1/42		4,084
	3,870	Federal National Mortgage Association Pool	4.00%	4/42		4,082
	3,707	Federal Home Loan Mortgage Corporation Pool	4.50%	9/41		3,947
	3,263	Federal National Mortgage Association Pool	4.50%	10/41		3,494
	3,034	Federal Home Loan Mortgage Corporation Pool	3.50%	1/42		3,113
	2,708	Federal National Mortgage Association Pool	4.50%	10/41		2,889
	2,267	Federal National Mortgage Association Pool	4.50%	4/42		2,433
	1,974	Federal National Mortgage Association Pool	5.00%	7/41		2,147
	4,553	Other Federal National Mortgage Association Pools	6.00%	9/39 - 2/40		5,034
	1,193	Other Federal Home Loan Mortgage Corporation Pool	6.00%	5/40		1,320
	731	Other Government National Mortgage Association Pool	5.50%	3/41		819
						753,353
	Interest Only - Fixed Rate Agency Securities (1.47%)
	30,340	Other Federal National Mortgage Association	4.00% - 5.50%	1/36 - 10/40		3,638
	13,128	Other Federal Home Loan Mortgage Corporation	5.00% - 5.50%	6/33 - 1/39		1,704
	8,171	Other Government National Mortgage Association	5.50%	3/36		475
						5,817
	TBA - Fixed Rate Agency Securities (4.35%)
	16,500	Federal Home Loan Mortgage Corporation Pool (30 Year)	4.00%	4/12		17,249
						17,249
	Total Fixed Rate Agency Securities (Cost $772,522)					776,419
	Floating Rate Agency Securities (6.12%)
	Principal and Interest - Floating Rate Agency Securities (6.07%)
	8,567	Federal National Mortgage Association Pool	5.15%	5/38		9,033
	6,350	Federal National Mortgage Association Pool	5.27%	12/35		6,687
	3,243	Federal National Mortgage Association Pool	5.51%	7/37		3,481
	3,245	Federal National Mortgage Association Pool	5.69%	4/36		3,441
	1,336	Other Federal National Mortgage Association Pool	5.27%	9/37		1,423
						24,065
	Interest Only - Floating Rate Agency Securities (0.05%)
	1,371	Other Federal National Mortgage Association	5.50%	8/36		199
						199
	Total Floating Rate Agency Securities (Cost $23,744)					24,264
	Total Agency Securities (Cost $796,266)					800,683

Current Principal/ Notional Value		Description	Rate	Maturity	Fair Value
(In thousands)					Expressed in U.S. Dollars
	Private Label Securities (106.09%)
	Principal and Interest - Private Label Securities (105.83%)
$	733,520	Various	0.30% - 9.35%	5/19 - 12/47	$	419,368
	Total Principal and Interest - Private Label Securities (Cost $429,977)					419,368
	Interest Only - Private Label Securities (0.26%)
	68,860	Various	0.50% - 0.65%	9/47		1,033
	Total Interest Only - Private Label Securities (Cost $572)					1,033
	Other Private Label Securities (0.00%)
	195,518	Various	—	6/37		—
	Total Other Private Label Securities (Cost $530)					—
	Total Private Label Securities (Cost $431,079)					420,401
	Total Mortgage-Backed Securities (Cost $1,227,345)					1,221,084
	Commercial Mortgage Loans (1.14%) (n)
	5,000	Various	6.25%	11/12		4,500
	Total Commercial Mortgage Loans (Cost $4,817)					4,500
	Total Long Investments (Cost $1,232,162)				$	1,225,584
	Repurchase Agreements (3.43%) (c)
$	13,650	Bank of America Securities	0.04%	4/12	$	13,650
		Collateralized by Par Value $13,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16
	Total Repurchase Agreements (Cost $13,650)				$	13,650
	Investments Sold Short (-146.33%)
	TBA - Fixed Rate Agency Securities Sold Short (-142.93%) (d)
$	(169,000)	Federal National Mortgage Association Pool (30 Year)	4.00%	5/12	$	(176,816	)
	(154,370)	Federal National Mortgage Association Pool (30 Year)	4.00%	4/12		(161,847	)
	(75,000)	Federal National Mortgage Association Pool (30 Year)	5.00%	4/12		(81,015	)
	(28,610)	Federal National Mortgage Association Pool (30 Year)	4.50%	4/12		(30,430	)
	(26,000)	Government National Mortgage Association Pool (30 Year)	5.00%	4/12		(28,726	)
	(16,500)	Federal Home Loan Mortgage Corporation Pool (30 Year)	5.00%	4/12		(17,772	)
	(16,300)	Federal National Mortgage Association Pool (15 Year)	4.00%	4/12		(17,270	)
	(14,700)	Federal National Mortgage Association Pool (30 Year)	4.50%	5/12		(15,612	)
	(13,500)	Federal National Mortgage Association Pool (30 Year)	5.50%	4/12		(14,709	)
	(11,000)	Federal National Mortgage Association Pool (15 Year)	4.50%	4/12		(11,777	)
	(3,800)	Federal National Mortgage Association Pool (30 Year)	3.50%	4/12		(3,903	)
	(2,500)	Federal National Mortgage Association Pool (30 Year)	6.00%	4/12		(2,755	)
	(1,900)	Other Federal Home Loan Mortgage Corporation Pools (30 Year)	4.50% - 6.00%	4/12		(2,057	)
	(1,500)	Other Government National Mortgage Association Pool (30 Year)	5.50%	4/12		(1,677	)
	Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$566,348)					(566,366	)
	U.S. Treasury Securities Sold Short (-3.40%)
	(13,000)	U.S. Treasury Note	1.75%	5/16		(13,486	)
	Total U.S. Treasury Securities Sold Short (Proceeds -$13,099)					(13,486	)
	Total Investments Sold Short (Proceeds -$579,447)				$	(579,852	)

	Primary Risk Exposure	Notional Value			Range of Expiration Dates	Fair Value
(In thousands)						Expressed in U.S. Dollars
Financial Derivatives - Assets (23.74%)
Swaps (23.74%) (e)
Long Swaps:
Credit Default Swaps on Asset-Backed Indices (Cost - $464) (f)	Credit	$	12,198		6/36 - 7/36	$	538
Interest Rate Swaps (g)	Interest Rates		4,500		10/16		82
Short Swaps:
Credit Default Swaps on Asset-Backed Securities (h)	Credit		(57,875	)	9/34 - 12/36		48,746
Credit Default Swaps on Asset-Backed Indices: (i)	Credit
ABX.HE AAA 2006-2 Index			(61,791	)	5/46		31,178
Other			(51,846	)	8/37 - 10/52		13,507
Interest Rate Swaps (j)	Interest Rates		(600	)	12/21		5
Total Swaps (Cost $105,906)							94,056
Total Financial Derivatives - Assets (Cost $105,906)						$	94,056
Financial Derivatives - Liabilities (-6.89%)
Swaps (-6.88%)
Long Swaps:
Credit Default Swaps on Asset-Backed Indices (Proceeds - $20,178) (f)	Credit	$	46,618		8/37 - 2/51	$	(19,998	)
Interest Rate Swaps (g)	Interest Rates		12,900		1/17 - 3/17		(94	)
Short Swaps:
Credit Default Swaps on Corporate Bond Indices (k)	Credit		(78,250	)	6/17		(364	)
Credit Default Swaps on Asset-Backed Indices (i)	Credit		(12,198	)	6/36 - 7/36		(538	)
Interest Rate Swaps (j)	Interest Rates		(222,500	)	4/14 - 3/22		(6,003	)
Total Return Swaps (l)	Equity Market		(22,446	)	9/12 - 9/13		(249	)
Total Swaps (Proceeds -$21,088)							(27,246	)
Futures (-0.01%)
Short Futures:
Eurodollar Futures (m)	Interest Rates		(126,000	)	6/12 - 9/13		(52	)
Total Futures							(52	)
Total Financial Derivatives - Liabilities (Proceeds -$21,088)						$	(27,298	)

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

(b) At March 31, 2012, 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 173.71%, 28.02%, and 0.32% of shareholders' equity, respectively.

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

(d) At March 31, 2012, the Company's short investments guaranteed by the Federal National Mortgage Association, the Government National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 130.25%, 7.67%, and 5.01% 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		6.69	%

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

(m) Every $1,000,000 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
Unrated but Agency-Guaranteed		202.05	%
Aaa/AAA/AAA		0.98	%
Aa/AA/AA		0.59	%
A/A/A		3.64	%
Baa/BBB/BBB		1.49	%
Ba/BB/BB or below		99.39	%
Unrated		1.14	%

See Notes to Consolidated Financial Statements

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

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

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

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 Collateralized by Par Value $15,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16		0.01%		1/12	$	15,750
	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	)

	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 (j)	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 Derivatives - Liabilities (Proceeds -$9,636)						$	(27,040	)

(a) See Note 2 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