Our strategy allows for the pursuit of value across various types of mortgage-backed securities and related assets. By considering all sectors of the mortgage-backed securities markets and by leveraging the resources of EMG and our Manager, Ellington Financial identifies value dislocations and trends within the industry, capitalizing on opportunities available in the market.

Ellington Financial’s approach to investing in the mortgage-backed securities markets is highly disciplined and analytical. We concentrate primarily on the development of proprietary credit, interest-rate, and prepayment models, as well as other proprietary research and analytics.

Target Asset Classes

Loans and Mortgage-Backed Securities

Non-Agency Residential Mortgage-Backed Securities:

  • RMBS backed by prime jumbo, Alt-A and subprime mortgages
  • RMBS backed by fixed rate mortgages, ARMs, Option-ARMs, Neg-Am ARMs and Hybrid ARMs
  • RMBS backed by first lien and second lien mortgages
  • RMBS backed by manufactured housing loans
  • IOs, POs, IIOs and inverse floaters

Agency Residential Mortgage-Backed Securities:

  • Whole pool pass-through certificates
  • TBA mortgage pass-through certificates

Commercial Mortgage-Backed Securities

Residential Whole Mortgage Loans

Mortgage-Related Derivatives

  • Credit default swaps on individual RMBS, on the ABX and CMBX indices and on other mortgage-related indices
  • Other mortgage-related derivatives

Corporate Debt and Equity Securities and Derivatives

  • Credit default swaps on corporations or on corporate indices
  • Corporate debt or equity securities
  • Options or total return swaps on corporate equity or on corporate equity indices

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