0001085146-21-000900.txt : 20210216 0001085146-21-000900.hdr.sgml : 20210216 20210216134726 ACCESSION NUMBER: 0001085146-21-000900 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20201231 FILED AS OF DATE: 20210216 DATE AS OF CHANGE: 20210216 EFFECTIVENESS DATE: 20210216 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELLINGTON MANAGEMENT GROUP LLC CENTRAL INDEX KEY: 0001098490 IRS NUMBER: 061441140 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11539 FILM NUMBER: 21635825 BUSINESS ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 BUSINESS PHONE: 2036981200 MAIL ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 13F-HR 1 primary_doc.xml 13F-HR LIVE false false false 0001098490 XXXXXXXX 12-31-2020 12-31-2020 false ELLINGTON MANAGEMENT GROUP LLC

53 FOREST AVENUE OLD GREENWICH CT 06870

13F HOLDINGS REPORT 028-11539 N David Rice 203-698-1200 /s/ David Rice Greenwich CT 02-10-2021 0 50 405566 false INFORMATION TABLE 2 infotable.xml INFORMATION TABLE AGNC INVT CORP COM 00123Q104 2878 184500 SH SOLE 184500 0 0 AMERICAN AIRLS GROUP INC COM 02376R102 6828 433000 SH Put SOLE 433000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 3486 417928 SH SOLE 417928 0 0 ANNALY CAPITAL MANAGEMENT IN COM 035710409 17356 2053959 SH SOLE 2053959 0 0 ANTERO RESOURCES CORP COM 03674X106 638 117000 SH SOLE 117000 0 0 APACHE CORP COM 037411105 591 41650 SH SOLE 41650 0 0 BOEING CO COM 097023105 1927 9000 SH Put SOLE 9000 0 0 COMMUNITY HEALTH SYS INC NEW COM 203668108 297 40000 SH SOLE 40000 0 0 DEVON ENERGY CORP NEW COM 25179M103 2652 167724 SH SOLE 167724 0 0 DIAMONDBACK ENERGY INC COM 25278X109 629 13000 SH SOLE 13000 0 0 DISH NETWORK CORPORATION NOTE 2.375% 3/1 25470MAD1 16935 17895000 PRN SOLE 17895000 0 0 ELLINGTON FINANCIAL INC COM 28852N109 12627 850887 SH SOLE 850887 0 0 ENERGIZER HLDGS INC NEW COM 29272W109 663 15720 SH SOLE 15720 0 0 EXPEDIA GROUP INC COM NEW 30212P303 393 2968 SH SOLE 2968 0 0 EXPEDIA GROUP INC COM NEW 30212P303 1787 13500 SH Put SOLE 13500 0 0 GRANITE PT MTG TR INC COM STK 38741L107 1844 184612 SH SOLE 184612 0 0 GREAT AJAX CORP COM 38983D300 5380 514362 SH SOLE 514362 0 0 IMPAC MTG HLDGS INC COM NEW 45254P508 158 51900 SH SOLE 51900 0 0 INVESCO QQQ TR UNIT SER 1 46090E103 0 210000 SH Call SOLE 210000 0 0 ISHARES TR IBOXX HI YD ETF 464288513 139418 1597000 SH Put SOLE 1597000 0 0 KOHLS CORP COM 500255104 536 13174 SH SOLE 13174 0 0 L BRANDS INC COM 501797104 4277 115000 SH Put SOLE 115000 0 0 LOWES COS INC COM 548661107 447 2783 SH SOLE 2783 0 0 LUMEN TECHNOLOGIES INC COM 156700106 7995 820000 SH Call SOLE 820000 0 0 LUMENT FINANCE TRUST INC COM 55025L108 922 281991 SH SOLE 281991 0 0 MFA FINL INC COM 55272X102 6039 1552554 SH SOLE 1552554 0 0 MICROSOFT CORP COM 594918104 440 1979 SH SOLE 1979 0 0 MR COOPER GROUP INC COM 62482R107 2429 78265 SH SOLE 78265 0 0 NABORS INDS INC NEW NOTE 0.750% 1/1 62957HAB1 45014 86348000 PRN SOLE 86348000 0 0 NEW RESIDENTIAL INVT CORP COM NEW 64828T201 1565 157398 SH SOLE 157398 0 0 NEW YORK MTG TR INC COM PAR $.02 649604501 9230 2501238 SH SOLE 2501238 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 1218 1230000 PRN SOLE 1230000 0 0 PENNYMAC FINL SVCS INC NEW COM 70932M107 784 11940 SH SOLE 11940 0 0 PENNYMAC FINL SVCS INC NEW COM 70932M107 13616 207500 SH Call SOLE 207500 0 0 PENNYMAC MTG INVT TR COM 70931T103 704 40000 SH SOLE 40000 0 0 PITNEY BOWES INC COM 724479100 1627 264146 SH SOLE 264146 0 0 READY CAPITAL CORP COM 75574U101 5236 420570 SH SOLE 420570 0 0 REALOGY HLDGS CORP COM 75605Y106 302 23000 SH SOLE 23000 0 0 ROYAL CARIBBEAN GROUP COM V7780T103 1382 18500 SH Put SOLE 18500 0 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 0 150000 SH Call SOLE 150000 0 0 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 8254 280000 SH Put SOLE 280000 0 0 SOUTHWEST AIRLS CO COM 844741108 1398 30000 SH Put SOLE 30000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 9347 25000 SH Put SOLE 25000 0 0 SPDR SER TR S&P REGL BKG 78464A698 0 100000 SH Call SOLE 100000 0 0 SPIRIT AEROSYSTEMS HLDGS INC COM CL A 848574109 1291 33000 SH Put SOLE 33000 0 0 TESLA INC COM 88160R101 55395 78500 SH Put SOLE 78500 0 0 TPG RE FIN TR INC COM 87266M107 1506 141826 SH SOLE 141826 0 0 TRANSOCEAN LTD REG SHS H8817H100 3238 1401400 SH Put SOLE 1401400 0 0 UNITED RENTALS INC COM 911363109 3130 13500 SH Put SOLE 13500 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 1757 2000000 PRN SOLE 2000000 0 0