Ellington: An Experienced and Successful Team

Michael W. Vranos

Mr. Vranos is the founder and Chief Executive Officer of Ellington. Mr. Vranos founded Ellington in December of 1994 to capitalize on distressed conditions in the MBS derivatives market. Until December 1994, Mr. Vranos was the Senior Managing Director of Kidder Peabody in charge of RMBS trading, where he was characterized as “one of the best bond traders on Wall Street” by Fortune magazine. With Mr. Vranos as head trader and senior manager, Kidder Peabody’s MBS department became a leader on Wall Street in CMOs underwriting for each of the three years between 1991 and 1993. During Mr. Vranos’ tenure, Kidder Peabody underwrote over $200 billion of CMOs—approximately 20% of all issued and almost double the market share of its next largest competitor, Lehman Brothers. He was praised during the difficult bear market of 1994 by Jack Welch, chairman of Kidder Peabody’s parent company, General Electric, who said that Mr. Vranos “has done a better job than 99% of the managers at GE at managing a cycle.” Mr. Vranos began his Wall Street career in 1983, after graduating magna cum laude, Phi Beta Kappa with a Bachelor of Arts in Mathematics from Harvard University. Mr. Vranos was raised in Ellington, Connecticut.

Olivier Cojot-Goldberg

Mr. Cojot-Goldberg is a Vice Chairman of Ellington, where he helped develop Ellington’s MBS/ABS credit capabilities and Ellington’s structured products businesses. He serves as a senior member of the Investment Committee, and focuses on critical business development efforts across the organization. With the current distress in the MBS/ABS credit markets, Olivier has recently been focusing on MBS/ABS portfolio acquisition and restructuring opportunities, primarily in Europe but also in the Middle East and Asia. Throughout his career, Mr. Cojot-Goldberg has specialized in structured products and in sectors that have fallen out of favor, and in newer, less well-understood asset classes. Prior to joining Ellington in December 1994, Mr. Cojot-Goldberg was the Managing Director in charge of whole loan-backed CMO origination and trading at Kidder Peabody, reporting directly to Mr. Vranos. Mr. Cojot-Goldberg was a key figure in the development of the whole loan CMO market. He contributed substantially to the development of several innovations in this market, including spread accounts, WAC IO mega-pool strips and asset-backed mezzanine securities. Mr. Cojot-Goldberg began his career at Kidder Peabody in 1988, after graduating seventh in his class from the California Institute of Technology in 1987 and receiving his Master of Science degree in Electrical Engineering from the same institution the following year.

Laurence Penn

Mr. Penn is a Vice Chairman of Ellington, where he helps oversee many functions of the firm, including trading, risk management, compliance, and new business. In Ellington’s earlier years Mr. Penn was the senior portfolio manager primarily responsible for investments in agency MBS and was also responsible for monitoring and updating the risk measures associated with all MBS assets in the funds. Prior to joining Ellington in 1995 shortly after its inception, Mr. Penn was at Lehman Brothers where he was a Managing Director in charge of CMO origination and trading. Mr. Penn specialized in the trading and risk-management of CMO derivatives and helped launch Lehman Brothers into the top tier of market makers in these complex securities. Prior to trading CMOs and CMO derivatives, Mr. Penn was in charge of Lehman Brothers’ structured transaction modeling group from 1987 to 1990, where he was responsible for the structuring, modeling and computer system design for MBS and ABS. Mr. Penn has therefore played a major role at Ellington in the design and implementation of computer systems and analytics. Mr. Penn began his career at Lehman Brothers in 1984, after receiving a Certificate of Advance Study in Mathematics from Cambridge University, where he studied as both a National Science Foundation and Winston Churchill Fellow. Mr. Penn graduated summa cum laude, Phi Beta Kappa with a Bachelor of Arts in Mathematics from Harvard University in 1983. He was one of five winners nationwide in the 1980 Putnam collegiate mathematics problem solving competition, and represented the United States in the 21st International Mathematics Olympiad held in London, England.

John Geanakoplos

John Geanakoplos is a Managing Director of Ellington, where he is the Head of Research and Development and is responsible for the design of computer models to evaluate and hedge the firm’s portfolio. Professor Geanakoplos is largely responsible for the theoretical framework of Ellington’s proprietary prepayment model and interest rate model. 

 From 1992 until joining Ellington in 1995, Professor Geanakoplos was a Managing Director of Kidder Peabody, where he was head of the Fixed Income Research Department. In this capacity, he led the design of the firm’s proprietary MBS analytical systems. He became a full Professor at Yale University in 1986, at the age of 30, and is currently the James Tobin Professor of Economics and Director of the Cowles Foundation for Research in Economics.  He was elected a fellow of the Econometric Society in 1990 and of the American Academy of Arts and Sciences in 1999. He was awarded the Samuelson Prize in 1999, and was awarded the first Bodossaki Prize in economics in 1995. In 1990 and again in 2000, he directed the economics program at the Santa Fe Institute, where he remains an external professor.

 Professor Geanakoplos graduated summa cum laude, Phi Beta Kappa with a Bachelor of Arts in Mathematics from Yale University and received a Master of Arts in Mathematics and a Ph.D. in economics from Harvard University in 1980. In 1970 he won the United States Junior (under 20) Open Chess Championship.

Michael Zaretsky

Mr. Zaretsky is a Managing Director of Ellington, where he is a member of the Risk Management and Analytics Group, and is responsible for the design and implementation of computer systems and analytics. He is instrumental in the development of Ellington’s models for interest rates, prepayment rates and emerging market instruments as well as models for surveillance, financial valuation and reporting of the CDO’s.

Previously, Mr. Zaretsky was a Senior Vice President at Kidder Peabody where he was in charge of all Fixed Income Quantitative Research. While at Kidder Peabody, he was active in the development of the Fixed Income Department’s trading, accounting and portfolio valuation systems. Mr. Zaretsky began his 15-year career at Kidder Peabody in 1979 and worked as an analyst and an MBS trader before assuming his research post.

Mr. Zaretsky graduated from Belarus University in Minsk and received a Ph.D. in Mathematics from the Institute of Mathematics of Belarus Academy of Sciences.

George Zettler

George Zettler is a Managing Director of Ellington and the Head of Research and Analytics, where he oversees the interest rate and interest rate volatility hedging of the firm’s portfolios, and dollar and non-dollar interest rate and interest rate volatility arbitrage trading. As such, he trades large volumes of swaps, futures and options in a variety of markets. While at Ellington, he has traded in many of the more esoteric, off balance sheet instruments that sometimes arise in connection with MBS trades. Thus, he introduced ARMS tails, truncated IO’s, long-dated mortgage options, total rate of return swaps and the like to the Ellington portfolios.

From 1992 until joining Ellington in 1995, Mr. Zettler was a Vice President of Kidder Peabody and co-head of Fixed Income Swap and Options Trading. Mr. Zettler specialized in trading exotic options and was responsible for developing the computer analytic systems used by his group. Prior to joining Kidder Peabody, Mr. Zettler was a professor of mathematics at Columbia University for nine years, where he conducted original research in Representation Theory and Algebraic Geometry. In 1990, he served as a research fellow at the IBM Watson Research Center and solved a fundamental problem in mathematical cardiology.

Mr. Zettler graduated from Harvard University with a Bachelor of Arts and earned his Ph.D. in Mathematics jointly from the University of Maryland and Harvard University.

Richard Brounstein

Mr. Brounstein is a Vice Chairman and Director of Investor Relations at Ellington. Prior to joining Ellington in 2000, Mr. Brounstein was the Managing Director responsible for the Fixed Income Securities division at Société Générale Securities Corporation, later renamed S.G. Cowen Securities Corporation. In this capacity, Mr. Brounstein was responsible for supervising all aspects of risk management, market making, proprietary trading, distribution and finance related activities. Under Mr. Brounstein’s direction, the Federal Reserve Bank of New York recognized SG Cowen Securities Corporation as a primary dealer of U.S. Treasury Securities. In addition to his direct responsibilities for the Fixed Income Division, Mr. Brounstein was a member of the Risk Management committee at Société Générale Securities Corporation. Prior to joining Société Générale Securities Corporation, Mr. Brounstein was the Managing Director responsible for the Mortgage-Backed Securities Division at the Union Bank of Switzerland. Later he was given responsibilities for the supervision of distribution/placement of all Fixed Income Securities. In this role Mr. Brounstein managed in excess of 100 securities professionals. Prior to joining the Union Bank of Switzerland, Mr. Brounstein worked with Messrs. Vranos, Cojot-Goldberg, Zaretsky and Zettler at Kidder Peabody. Mr. Brounstein has been involved in securities related activities since 1984. Mr. Brounstein holds a Masters degree from Columbia University and a Bachelors degree from Fairleigh Dickinson University.

Niko Nicopoulos

Niko Nicopoulos is a Managing Director of Ellington where he is a member of the Research and Analytics Group and is responsible for the mathematical modeling and computer implementation of Ellington’s interest rate and hedging models, and their use in valuing, hedging and managing the risk of MBS. Mr. Nicopoulos joined Ellington from Oxford University in England, where he was an Assistant Professor in Theoretical Condensed Matter Physics. His work focused on the complex behavior of interacting electronic systems. He has had extensive experience in the simulation and analysis of complex stochastic systems on workstations and supercomputers and has built an international reputation for research relevant to real-world physics problems.

Mr. Nicopoulos graduated magna cum laude, Phi Beta Kappa with a B.A. in Physics from Harvard University in 1983, and also holds M.A. (1985) and Ph.D. (1990) degrees in Theoretical Physics from Princeton University. Prior to his position at Oxford, he was a researcher and consultant at Los Alamos National Laboratory.

Nikolay Stoytchev

Nikolay Stoytchev is a Managing Director and portfolio manager specializing in the trading and risk management of agency and non-agency MBS derivatives and specified pools. Mr. Stoytchev started his career at Ellington by developing, together with Professor Geanakoplos, many of the firm’s proprietary models, most notably Ellington’s proprietary mortgage prepayment models.

Mr. Stoytchev graduated summa cum laude from Yale University with a Bachelor of Arts in Applied Mathematics and Economics, “With Distinction” in both majors. His senior thesis Valuation of Mortgage-Backed Securities was written under the guidance of Professor Geanakoplos.

Dennis Sugrue

Dennis Sugrue is a Managing Director at Ellington and the Head of Trade Analysis and Liquidity Management. Mr. Sugrue is responsible for financing the Ellington portfolios and for the daily accounting and risk management reports used by the portfolio managers. Prior to joining Ellington, Mr. Sugrue was a Vice President at Kidder Peabody. For eight years Mr. Sugrue was a member of Kidder Peabody’s accounting department and for the next three years he was responsible for middle office operations for the CMO desk.

Mr. Sugrue graduated from Niagara College in 1981 with a Bachelor of Business Administration in Accounting.

David Barrett

David Barrett is a Managing Director at Ellington, where he is responsible for investments in TBA agency mortgage passthroughs and various interest rate and volatility hedging instruments. He implements relative value trades in TBAs, including trading the “mortgage basis” (the spread between TBAs and interest rate swaps). Mr. Barrett is also responsible for the interest rate and volatility hedging of the MBS hedge fund portfolios. Mr. Barrett was an MBS derivative portfolio manager for Ellington during the period 1995-1999. Before joining Ellington, Mr. Barrett was a CMO trader and structurer for Mr. Vranos at Kidder.

He joined Kidder in 1992 after earning an MBA in Finance from the University of Chicago, where he received both the Wall Street Journal Student Achievement Award and the CRSP Award as the outstanding finance student in his class.

Mr. Barrett spent two years in the Ph.D. mathematics program at the Massachusetts Institute of Technology. He graduated magna cum laude from Harvard College with a Bachelor of Arts in Mathematics.

Costas Philippides

Costas Philippides is a Managing Director at Ellington and the Head of Portfolio Management Systems where he is responsible for the development of the company’s portfolio management systems: ELLiN. As such he designed and implemented systems for CDO collateral and Credit Monitoring for Duke Funding.

Prior to Ellington, Mr. Philippides worked for Bankers Trust as a Senior Systems Developer for RAROC 2020, one of the world’s first Value-at-Risk systems. He also worked for Global Markets Technology, and Paine Webber.

Mr. Philippides received a Bachelor of Science in Electrical Engineering and a Certificate in Engineering Management Systems from Princeton University and earned his Masters of Science in Industrial Engineering from Columbia University where he graduated magna cum laude. He was also the winner of a Fulbright / CASP Scholarship for undergraduate studies at Princeton University.

Paul Asaro

Mr. Asaro is a Managing Director and the Chief Financial Officer of Ellington, and as such is responsible for all accounting and financial reporting. Mr. Asaro has been with Ellington since 1997, initially as Chief Financial Officer of Ellington’s real estate finance affiliate Titan Management, and most recently as Ellington’s Controller.

Prior to joining Ellington, Mr. Asaro served as Controller for Auda Advisor Associates L.L.C., an international investment advisory firm for high net worth European investors, and from 1988 through 1996 he served as Controller for Henry Kaufman and Company, Inc., an institutional investment advisory firm focused on fixed income and derivative securities. Before joining Henry Kaufman and Company, Inc., Mr. Asaro worked for nine years in the oil and gas industry, holding various senior finance positions with Weeks Petroleum Limited and R&B Petroleum, Inc. Mr. Asaro started his career as an auditor with Arthur Andersen & Co., where he engaged in various audit assignments from 1974 through 1978.

Mr. Asaro received his MBA in Finance from the University of Connecticut in 1982 and his BS in Accounting from Manhattan College in 1974. He became a CPA in 1977 and is a member of the AICPA and CSCPA.

Richard A. Daley

Mr. Daley is a Managing Director of Ellington and Chief Operating Officer of Duke Funding Management (DFM) where he is responsible for the distribution, surveillance, financial valuation and reporting of the CDOs under management. Previously, Mr. Daley served as the Chief Accounting Officer at EMG. Mr. Daley joined EMG in 1997 from Nomura Mortgage Fund Management Corporation where he was a Vice President and Head of Portfolio Operations and Administration. At Nomura, over a four-year period, he was responsible for the structuring and administration of over US$1.1 billion of CDOs, backed by Agency and Private-label Adjustable Rate mortgage-backed securities.

Prior to joining Nomura, Mr. Daley served in various staff and line positions at The Chase Manhattan Bank’s Unit Trust Division as an Assistant Vice President where he built a proprietary accounting system and managed a team of accountants preparing annual financials for filing with the SEC and a team in the Offshore Investment Services Group.

Mr. Daley received his M.B.A. degree in Finance from the University of Connecticut with honors in 2000 and his Bachelor of Business Administration in Accounting from Baruch College in 1993.