0001085146-21-002576.txt : 20210816
0001085146-21-002576.hdr.sgml : 20210816
20210816140719
ACCESSION NUMBER: 0001085146-21-002576
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210816
DATE AS OF CHANGE: 20210816
EFFECTIVENESS DATE: 20210816
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: 211176698
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
06-30-2021
06-30-2021
false
ELLINGTON MANAGEMENT GROUP LLC
53 FOREST AVENUE
OLD GREENWICH
CT
06870
13F HOLDINGS REPORT
028-11539
N
Peter Lin
Chief Compliance Officer
203-698-1200
/s/ Peter Lin
Greenwich
CT
08-16-2021
0
176
675570
false
INFORMATION TABLE
2
infotable.xml
INFORMATION TABLE
ADVANCED MERGER PARTNERS INC
UNIT 99/99/9999
00777J208
500
50000
SH
SOLE
50000
0
0
AFRICAN GOLD ACQUISITION COR
UNIT 99/99/9999
G0112R116
1517
150000
SH
SOLE
150000
0
0
ALKURI GLOBAL ACQUISITION CO
UNIT 01/01/2028
66981N202
205
20000
SH
SOLE
20000
0
0
ALTIMAR ACQUISITION CORP III
UNIT 99/99/9999
G0370U124
253
25000
SH
SOLE
25000
0
0
AMC ENTMT HLDGS INC
CL A COM
00165C104
69433
1225000
SH
Put
SOLE
1225000
0
0
AMC NETWORKS INC
CL A
00164V103
802
12000
SH
Call
SOLE
0
0
0
AMERICAN AXLE & MFG HLDGS IN
COM
024061103
1139
110000
SH
Call
SOLE
0
0
0
ANZU SPECIAL ACQUISITIN CORP
UNIT 01/27/2026
03737A200
3997
399700
SH
SOLE
399700
0
0
APA CORPORATION
COM
03743Q108
1237
57198
SH
SOLE
57198
0
0
APOLLO STRATEGIC GRWT CPTL I
UNIT 99/99/9999
G0412A110
200
20000
SH
SOLE
20000
0
0
ARCTOS NORTHSTAR ACQUIS CORP
UNIT 99/99/9999
G0477L118
1500
150000
SH
SOLE
150000
0
0
ARES ACQUISITION CORPORATION
UNIT 99/99/9999
G33032114
5000
500000
SH
SOLE
500000
0
0
ARROWROOT ACQUISITION CORP
UNIT 01/29/2026
04282M201
1003
100000
SH
SOLE
100000
0
0
AUSTERLITZ ACQUISITION CORP
UNIT 99/99/9999
G0633U119
1007
100000
SH
SOLE
100000
0
0
AVIS BUDGET GROUP
COM
053774105
24566
315400
SH
Put
SOLE
315400
0
0
B RILEY PRINCIPAL 150 MERGER
UNIT 99/99/9999
05601V202
101
10000
SH
SOLE
10000
0
0
BAUSCH HEALTH COS INC
COM
071734107
1759
60000
SH
Call
SOLE
0
0
0
BLUERIVER ACQUISITION CORP
UNIT 01/04/2026
G1261Q123
551
55000
SH
SOLE
55000
0
0
BORGWARNER INC
COM
099724106
4903
101000
SH
Call
SOLE
0
0
0
BROADSCALE ACQUISITION CORP
UNIT 02/02/2026
11134Y200
510
51000
SH
SOLE
51000
0
0
CAMPBELL SOUP CO
COM
134429109
2950
64700
SH
SOLE
64700
0
0
CARTESIAN GROWTH CORP
UNIT 02/26/2028
G19276123
918
92000
SH
SOLE
92000
0
0
CATCHA INVESTMENT CORP
UNIT 99/99/9999
G1962Y128
497
50000
SH
SOLE
50000
0
0
CC NEUBERGER PRINCIPAL HOLDN
UNIT 99/99/9999
G1992N118
100
10000
SH
SOLE
10000
0
0
CENTRICUS ACQUISITION CORP
UNIT 02/08/2028
G2072Q112
717
70000
SH
SOLE
70000
0
0
CERBERUS TELECOM ACQUISITION
SHS CL A
G2040C104
3972
400000
SH
SOLE
400000
0
0
CHURCHILL CAPITAL CORP VII
UNIT 99/99/9999
17144M201
501
50000
SH
SOLE
50000
0
0
CLARIM ACQUISITION CORP
UNIT 99/99/9999
18049C207
497
50000
SH
SOLE
50000
0
0
CLEARWATER PAPER CORP
COM
18538R103
468
16163
SH
SOLE
16163
0
0
CLIMATE REAL IMPACT SLUTINS
UNIT 99/99/9999
187171202
101
10000
SH
SOLE
10000
0
0
COLICITY INC
UNIT 02/24/2026
194170205
604
60000
SH
SOLE
60000
0
0
COMMUNITY HEALTH SYS INC NEW
COM
203668108
688
44560
SH
SOLE
44560
0
0
CONAGRA BRANDS INC
COM
205887102
2029
55779
SH
SOLE
55779
0
0
CONSTELLATION ACQUISITN CORP
UNIT 99/99/9999
G2R18K121
400
40000
SH
SOLE
40000
0
0
CORAZON CAPITAL V838 MONOCER
UNIT 03/24/2026
G24237110
1000
100000
SH
SOLE
100000
0
0
COTY INC
COM CL A
222070203
3549
380000
SH
Put
SOLE
380000
0
0
CROWN PROPTECH ACQUISITIONS
UNIT 99/99/9999
G25741128
497
50000
SH
SOLE
50000
0
0
D AND Z MEDIA ACQUISITION CO
UNIT 99/99/9999
23305Q205
249
25000
SH
SOLE
25000
0
0
DECARBONIZATION PLUS ACQU II
UNIT 01/19/2026
242794204
103
10000
SH
SOLE
10000
0
0
DHB CAPITAL CORP
UNIT 03/31/2028
23291W208
500
50000
SH
SOLE
50000
0
0
DHC ACQUISITION CORP
UNIT 02/25/2026
G2758T125
1506
150000
SH
SOLE
150000
0
0
DIAMONDHEAD HOLDINGS CORP
UNIT 01/21/2026
25278L204
100
10000
SH
SOLE
10000
0
0
DISH NETWORK CORPORATION
CL A
25470M109
2466
59000
SH
Put
SOLE
59000
0
0
DISH NETWORK CORPORATION
NOTE 2.375% 3/1
25470MAD1
44311
45545000
PRN
SOLE
45545000
0
0
DIVERSIFIED HEALTHCARE TR
COM SH BEN INT
25525P107
575
137619
SH
SOLE
137619
0
0
DONNELLEY R R & SONS CO
COM
257867200
228
36263
SH
SOLE
36263
0
0
ECP ENVIRONMENTAL GW OPT COR
UNIT 03/01/2026
26829T209
203
20000
SH
SOLE
20000
0
0
EJF ACQUISITION CORP
UNIT 03/10/2026
G2955B117
2495
250000
SH
SOLE
250000
0
0
ELLINGTON FINANCIAL INC
COM
28852N109
16294
850887
SH
SOLE
850887
0
0
ELLINGTON RESIDENTIAL MTG RE
COM SHS BEN INT
288578107
1253
106472
SH
SOLE
106472
0
0
EQ HEALTH ACQUISITION CORP
UNIT 02/02/2028
26886A200
349
35000
SH
SOLE
35000
0
0
EQT CORP
COM
26884L109
1190
53472
SH
SOLE
53472
0
0
ESM ACQUISITION CORPORATION
UNIT 99/99/9999
G3195H120
1000
100000
SH
SOLE
100000
0
0
FINTECH EVOLUTION ACQUIS GRO
UNIT 99/99/9999
G3R19A112
1497
150000
SH
SOLE
150000
0
0
FIRST RESERVE SUSTAINABLE GW
UNIT 03/05/2026
336169206
500
50000
SH
SOLE
50000
0
0
FORD MTR CO DEL
COM
345370860
3455
232500
SH
Call
SOLE
0
0
0
FORD MTR CO DEL
COM
345370860
2229
150000
SH
Put
SOLE
150000
0
0
FORTISTAR SUSTAINABLE SOL CO
UNIT 01/14/2026
34962M205
103
10000
SH
SOLE
10000
0
0
FREEDOM ACQUISITION I CORP
UNIT 99/99/9999
G3663X102
998
100000
SH
SOLE
100000
0
0
FTAC HERA ACQUISITION CORP
UNIT 02/28/2026
G3728Y129
2009
200000
SH
SOLE
200000
0
0
FUSION ACQUISITION CORP II
UNIT 02/29/2028
36118N201
500
50000
SH
SOLE
50000
0
0
G SQUARED ASCEND I INC
UNIT 99/99/9999
G4204R125
2513
250000
SH
SOLE
250000
0
0
GAMING & HOSPITALITY ACQU CO
UNIT 02/04/2028
364681205
399
40000
SH
SOLE
40000
0
0
GENERAL MTRS CO
COM
37045V100
1687
28519
SH
SOLE
28519
0
0
GENESIS ENERGY L P
UNIT LTD PARTN
371927104
2206
190000
SH
Call
SOLE
0
0
0
GENESIS ENERGY L P
UNIT LTD PARTN
371927104
581
50000
SH
Put
SOLE
50000
0
0
GOLDEN ARROW MERGER CORP
UNIT 07/31/2026
380799205
1491
150000
SH
SOLE
150000
0
0
GORES HLDGS VIII INC
UNIT 02/01/2028
382863207
699
70000
SH
SOLE
70000
0
0
GORES HOLDINGS VII INC
UNIT 02/12/2028
38286T200
704
70000
SH
SOLE
70000
0
0
GORES METROPOULOS II INC
UNIT 01/31/2028
382873206
203
20000
SH
SOLE
20000
0
0
GORES TECHNOLOGY PARTNERS II
UNIT 03/16/2028
38287L206
723
70000
SH
SOLE
70000
0
0
GORES TECHNOLOGY PARTNERS IN
UNIT 03/16/2028
382870202
402
40000
SH
SOLE
40000
0
0
GREAT AJAX CORP
COM
38983D300
5084
391699
SH
SOLE
391699
0
0
GROUP NINE ACQUISITION CORP
UNIT 01/15/2026
39947R203
287
28529
SH
SOLE
28529
0
0
HASBRO INC
COM
418056107
1920
20318
SH
SOLE
20318
0
0
HAYMAKER ACQUISITION CORP II
UNIT 03/01/2026
42087R207
1003
100000
SH
SOLE
100000
0
0
HERBALIFE NUTRITION LTD
COM SHS
G4412G101
2637
50000
SH
Put
SOLE
50000
0
0
HUDSON EXECUTIVE INVES III
UNIT 02/22/2026
44376L206
1998
200000
SH
SOLE
200000
0
0
HUDSON EXECUTIVE INVS CORP I
UNIT 01/31/2027
443760202
1494
150000
SH
SOLE
150000
0
0
IBERE PHARMACEUTICALS
UNIT 99/99/9999
G46843127
101
10000
SH
SOLE
10000
0
0
IMPAC MTG HLDGS INC
COM NEW
45254P508
110
51900
SH
SOLE
51900
0
0
INDEPENDENCE HOLDINGS CORP
UNIT 03/02/2026
G4761A119
1798
180000
SH
SOLE
180000
0
0
INVESCO QQQ TR
UNIT SER 1
46090E103
23038
65000
SH
Put
SOLE
65000
0
0
ISHARES TR
IBOXX HI YD ETF
464288513
11628
132076
SH
SOLE
132076
0
0
ISHARES TR
IBOXX HI YD ETF
464288513
107418
1220100
SH
Put
SOLE
1220100
0
0
ISHARES TR
PFD AND INCM SEC
464288687
21241
540000
SH
Put
SOLE
540000
0
0
ISHARES TR
RUSSELL 2000 ETF
464287655
16056
70000
SH
Put
SOLE
70000
0
0
ISOS ACQUISITION CORPORATION
UNIT 99/99/9999
G4962C120
408
40000
SH
SOLE
40000
0
0
ITIQUIRA ACQUISITION CORP
UNIT 02/03/2026
G49773123
200
20000
SH
SOLE
20000
0
0
JACK CREEK INVESTMENT CORP
UNIT 10/01/2023
G4989X107
3518
350000
SH
SOLE
350000
0
0
JAWS MUSTANG ACQUISITION COR
UNIT 99/99/9999
G50737116
503
50000
SH
SOLE
50000
0
0
KENSINGTON CAPITAL ACQUISITI
UNIT 99/99/9999
49006L203
208
20000
SH
SOLE
20000
0
0
KERNEL GROUP HOLDINGS INC
UNIT 99/99/9999
G5259L111
1533
150000
SH
SOLE
150000
0
0
KHOSLA VENTURES ACQUISITION
CL A
482504107
99
10000
SH
SOLE
10000
0
0
KINDER MORGAN INC DEL
COM
49456B101
2169
119000
SH
SOLE
119000
0
0
KISMET ACQUISITION THREE COR
UNIT 99/99/9999
G5276C128
1604
160570
SH
SOLE
160570
0
0
KISMET ACQUISITION TWO CORP
UNIT 99/99/9999
G52807123
1224
123100
SH
SOLE
123100
0
0
KOHLS CORP
COM
500255104
6062
109995
SH
SOLE
109995
0
0
KOHLS CORP
COM
500255104
2067
37500
SH
Call
SOLE
0
0
0
KROGER CO
COM
501044101
1494
39000
SH
SOLE
39000
0
0
LAZARD GROWTH ACQUISITION CO
UNIT 99/99/9999
G54035129
549
55000
SH
SOLE
55000
0
0
LEAR CORP
COM NEW
521865204
4825
27528
SH
SOLE
27528
0
0
LEAR CORP
COM NEW
521865204
2629
15000
SH
Call
SOLE
0
0
0
LEO HOLDINGS III CORP
UNIT 99/99/9999
G5463T116
1008
100000
SH
SOLE
100000
0
0
LIVE OAK MOBILITY ACQUISI CO
UNIT 03/01/2028
538126202
1004
100000
SH
SOLE
100000
0
0
LUMEN TECHNOLOGIES INC
COM
550241103
896
65965
SH
SOLE
65965
0
0
MASON INDUSTRIAL TECHNOLGY I
UNIT 99/99/9999
57520Y205
2518
250000
SH
SOLE
250000
0
0
MCAP ACQUISITION CORP
UNIT 02/18/2030
55282T208
100
10000
SH
SOLE
10000
0
0
MFA FINL INC
COM
55272X102
6481
1411968
SH
SOLE
1411968
0
0
MISSION ADVANCEMENT CORP
UNIT 99/99/9999
60501L200
999
100000
SH
SOLE
100000
0
0
MR COOPER GROUP INC
COM
62482R107
13018
393763
SH
SOLE
393763
0
0
NABORS INDS INC NEW
NOTE 0.750% 1/1
62957HAB1
49452
54734000
PRN
SOLE
54734000
0
0
NABORS INDUSTRIES LTD
SHS
G6359F137
1869
16360
SH
SOLE
16360
0
0
NEW RESIDENTIAL INVT CORP
COM NEW
64828T201
18631
1759306
SH
SOLE
1759306
0
0
NEW YORK MTG TR INC
COM PAR $.02
649604501
1446
323426
SH
SOLE
323426
0
0
NEWS CORP NEW
CL A
65249B109
5502
213500
SH
Put
SOLE
213500
0
0
NORDSTROM INC
COM
655664100
4049
110714
SH
SOLE
110714
0
0
NORTH ATLANTIC ACQUISITN COR
UNIT 10/20/2025
G66139117
502
50000
SH
SOLE
50000
0
0
ONE EQUITY PARTNERS OPEN WTR
UNIT 01/14/2026
68237L204
600
60000
SH
SOLE
60000
0
0
ORCHID IS CAP INC
COM
68571X103
1479
284925
SH
SOLE
284925
0
0
ORION ACQUISITION CORP
UNIT 02/19/2026
68626A207
694
70000
SH
SOLE
70000
0
0
OYSTER ENTERPRISES ACQ CORP
UNIT 01/20/2026
69242M203
435
43574
SH
SOLE
43574
0
0
PATHFINDER ACQUISITION CORP
UNIT 02/17/2026
G04119114
737
74187
SH
SOLE
74187
0
0
PENNYMAC CORP
NOTE 5.500%11/0
70932AAD5
1272
1230000
PRN
SOLE
1230000
0
0
PENNYMAC FINL SVCS INC NEW
COM
70932M107
11559
187278
SH
SOLE
187278
0
0
PERIDOT ACQUISITION CORP II
UNIT 99/99/9999
G7008B113
3497
350000
SH
SOLE
350000
0
0
PITNEY BOWES INC
COM
724479100
2631
300000
SH
Put
SOLE
300000
0
0
POWER & DIGITAL INFRA ACQ CO
UNIT 99/99/9999
739190205
505
50000
SH
SOLE
50000
0
0
POWERED BRANDS
UNIT 99/99/9999
G7209M124
1001
100000
SH
SOLE
100000
0
0
PRIMAVERA CAPITAL ACQUIST CO
UNIT 01/19/2026
G7255E125
102
10000
SH
SOLE
10000
0
0
PRIVETERRA ACQUISITION CORP
UNIT 99/99/9999
74275N201
747
75000
SH
SOLE
75000
0
0
QUEENS GAMBIT GROWTH CAPITAL
UNIT 01/19/2026
G7315C127
150
15000
SH
SOLE
15000
0
0
QURATE RETAIL INC
COM SER A
74915M100
629
48088
SH
SOLE
48088
0
0
READY CAPITAL CORP
COM
75574U101
2202
138745
SH
SOLE
138745
0
0
REALOGY HLDGS CORP
COM
75605Y106
532
29208
SH
SOLE
29208
0
0
REDFIN CORP
COM
75737F108
3171
50000
SH
Call
SOLE
0
0
0
RMG ACQUISITION CORP III
UNIT 02/08/2026
G76088114
500
50000
SH
SOLE
50000
0
0
RXR ACQUISITION CORP
UNIT 01/01/2025
74981W206
499
50000
SH
SOLE
50000
0
0
SCIENCE STRATEGIC ACQ ALPHA
UNIT 01/20/2026
808641203
99
10000
SH
SOLE
10000
0
0
SCION TECH GROWTH II
UNIT 99/99/9999
G31070124
1490
150000
SH
SOLE
150000
0
0
SCP & CO HEALTHCARE ACQUSTN
UNIT 10/27/2025
784065203
252
25000
SH
SOLE
25000
0
0
SELECT SECTOR SPDR TR
FINANCIAL
81369Y605
917
25000
SH
SOLE
25000
0
0
SELECT SECTOR SPDR TR
FINANCIAL
81369Y605
3119
85000
SH
Put
SOLE
85000
0
0
SILVER CREST ACQUISITION COR
UNIT 12/15/2025
G81355110
502
50000
SH
SOLE
50000
0
0
SILVERBOX ENGAGED MERGER CO
UNIT 03/31/2028
82836L200
1000
100000
SH
SOLE
100000
0
0
SIMON PPTY GROUP INC NEW
COM
828806109
216
1658
SH
SOLE
1658
0
0
SIMON PROPERTY GRP ACQ HOLDI
UNIT 99/99/9999
82880R202
201
20000
SH
SOLE
20000
0
0
SLAM CORP
UNIT 99/99/9999
G8210L113
798
80000
SH
SOLE
80000
0
0
SOCIAL LEVERAGE ACQUISN CORP
UNIT 99/99/9999
83363K201
500
50000
SH
SOLE
50000
0
0
SPARTAN ACQUISITION CORP III
UNIT 99/99/9999
84677R205
1006
100000
SH
SOLE
100000
0
0
SPDR S&P 500 ETF TR
TR UNIT
78462F103
13698
32000
SH
Put
SOLE
32000
0
0
SPDR SER TR
S&P REGL BKG
78464A698
22150
338000
SH
Put
SOLE
338000
0
0
SUPERNOVA PARTNERS ACQUISTN
UNIT 99/99/9999
G8T86C113
200
20000
SH
SOLE
20000
0
0
SUSTAINABLE DEVELP ACQU I CO
UNIT 02/04/2026
86934L202
509
50000
SH
SOLE
50000
0
0
TAILWIND INTERNATNAL ACQ COR
UNIT 99/99/9999
G8662F127
1500
150000
SH
SOLE
150000
0
0
TCW SPECIAL PURPOSE ACQU COR
UNIT 99/99/9999
87301L205
1496
150000
SH
SOLE
150000
0
0
THE MUSIC ACQUISITION CORP
UNIT 99/99/9999
62752R209
1526
150000
SH
SOLE
150000
0
0
THIMBLE POINT ACQUISITION CO
UNIT 99/99/9999
88408P206
104
10000
SH
SOLE
10000
0
0
THUNDER BRIDGE CAP PRTNRS II
UNIT 02/15/2028
88605T209
200
20000
SH
SOLE
20000
0
0
TISHMAN SPEYER INNOVATION CO
UNIT 02/11/2026
88825H209
504
50000
SH
SOLE
50000
0
0
TITAN INTL INC ILL
COM
88830M102
1249
147300
SH
Put
SOLE
147300
0
0
TRIUMPH GROUP INC NEW
COM
896818101
397
19151
SH
SOLE
19151
0
0
TUATARA CAPITAL ACQUISITN CO
UNIT 99/99/9999
G9118J127
125
12300
SH
SOLE
12300
0
0
TWELVE SEAS INVESTMENT CO II
UNIT 99/99/9999
90118T205
498
50000
SH
SOLE
50000
0
0
TWO
COM CL A
G9152V101
310
12231
SH
SOLE
12231
0
0
TZP STRATEGIES ACQUISTN CORP
UNIT 01/06/2026
G91595127
629
63327
SH
SOLE
63327
0
0
UNITED STATES STL CORP NEW
COM
912909108
873
36359
SH
SOLE
36359
0
0
USHG ACQUISITION CORP
UNIT 99/99/9999
91748P209
258
25750
SH
SOLE
25750
0
0
VECTOR ACQUISITION CORP II
CL A SHS
G9460A104
1986
200000
SH
SOLE
200000
0
0
VELOCITY ACQUISITION CORP
UNIT 99/99/9999
92259E203
945
95000
SH
SOLE
95000
0
0
VIACOMCBS INC
CL B
92556H206
5974
132172
SH
SOLE
132172
0
0
VPC IMPACT ACQUISITION HLDG
UNIT 03/05/2026
G9460L100
5023
500000
SH
SOLE
500000
0
0
WARRIOR TECHNOLOGIES ACQUI C
UNIT 03/31/2028
936273200
151
15000
SH
SOLE
15000
0
0
WESTERN ASSET MTG CAP CORP
NOTE 6.750%10/0
95790DAA3
1902
2000000
PRN
SOLE
2000000
0
0
WYNN RESORTS LTD
COM
983134107
1931
15792
SH
SOLE
15792
0
0
Z-WORK ACQUISITION CORP
UNIT 99/99/9999
98880C201
618
61786
SH
SOLE
61786
0
0