The Easing Credit Crunch I

by: Greg Newton

And over to Roddy Boyd, in The New York Post, Saturday, for the latest update on the easing credit crunch:

Ellington Capital Management, the country's largest mortgage-backed securities hedge fund, sent a letter to investors notifying them that redemptions and withdrawals in two of its funds would be suspended because of a sharp decline in the liquidity of certain mortgage- and asset-backed markets...

From the letter (below):

We emphasize we are not taking this action in response to pending redemption requests, the volume of which is unexceptional, nor are we taking this action in response to margin calls or other actions by creditors, which have generally been in line with our expectations and have been easily handled by our cash positions which remain substantial.

As usual, we have solicited and are in the process of receiving dealer valuations on our positions as of September quarter-end, and we will publish NAVs based in large part on these valuations...

...We hope that we can lift the suspension very soon.
[Emphasis in original]

Dealer valuations? That’s not exactly what Ellington founder Michael Vranos, who had starring roles of different sides of the fallout from the implosions of both David Askins’ Granite funds, in 1994, and Long-Term Capital Management, in 1998, was saying just a few weeks ago:

“...we use third-party pricing...”

Ellington Capital Management Group
New Ellington Credit Overseas Ltd
New Ellington Credit Partners LP
Sep. 30 2007

Freeze Is On At Giant Mortgage Hedge Fund
by Roddy Boyd
The New York Post Oct. 6 2007

Mr. Vranos Has a Deal for You
by Gretchen Morgenson
The New York Times Jul. 22 2007

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