Mortgage Hedge Fund Ellington Capital Replaces CFO

The fund splits the duties between two executives.
By Will Swarts ,

Ellington Capital Management

Chief Financial Officer Carol Calhoun will be replaced and her job divided among two people as the $4 billion mortgage-backed securities specialist adjusts to recent growth.

Thomas Larkin is the new chief operating officer, and Paul Asaro becomes the new chief financial officer. Larkin is the former chief financial officer of

Resurgence Asset Management

, a distressed debt specialist most recently involved in the $90 million refinancing of bankrupt Durham, N.C., healthcare company PhyAmerica. Asaro has been with Ellington since 1997, where he first worked with as CFO of Titan Management, its real estate finance unit.

Larry Penn, a partner at the Old Greenwich, Conn., firm, said Calhoun's departure was amicable, and that a search for a replacement had been going on for six months. Calhoun joined the firm in 1995, not long after former Kidder Peabody mortgage backed securities trading head Michael Vranos launched its first hedge fund.

Penn said the splitting of CFO post into two jobs reflected growth in Eillington's $2 billion collateralized bond obligations business and the doubling of its hedge funds' assets to $1.9 billion in the last year.

"The operation got a lot bigger and more complicated," he said. "We really need a COO to put it all together and coordinate it all. It's better to let guys like Mike Vranos trade than get bogged down in a lot of administrative duties."

The transition comes at a time when mortgage backed securities hedge funds are under extra scrutiny. The Clinton Group was rocked by allegation of mispriced portfolios last fall, and investors withdrew $3.2 billion from its hedge funds.

Several funds, including Beacon Hill Asset Management and Lipper Convertible Bond fund, also stumbled and face probes or litigation over whether they willfully misled investors about the value of their portfolios.Elllington was designated as the liquidator of Beacon Hill's portfoliosPenn said Larkin's background with distressed securities, which are less liquid and harder to value, will be useful.

"We have a lot of procedures in place

about portfolio valuations, but coming from that background I'm sure that's something he'll be involved in," Penn said. "It's thorny ground in distressed securities, and he's seen it all."

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