Ellington Capital Mgmt. (certain funds) - mortgage-credit funds

Update, 2008-03-05:

BusinessWeek has also mentioned this fund group, though hasn't said much about it. The implication is they are still in distress; which isn't surprising for a mortgage-credit fund (spreads have only worsened since October).

First Listing, 2007-10-10:

We have preliminary information via The NYPost (link above, October 6th) on two funds at Ellington which have suspended withdrawals. The claim is that there have not yet been an abnormal level of withdrawals and that there is plenty of capital to meet a large level of withdrawal requests; but due to uncertain valuation of MBS securities, withdrawals have been temporarily disallowed.

From the article:

The fund's redemption suspension covered two mortgage-credit funds with about $1.9 billion in assets between them, according to the investor letter from Michael Vranos, the fund's general partner.

According to the letter, which was obtained by The Post, Ellington's move came after liquidity and value data provided by Wall Street's mortgage-bond desks at the end of September for the bonds in the portfolios varied so widely that Vranos and his colleagues could not assign a fair value to them.