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Form 13F-HR ELLINGTON MANAGEMENT For: Mar 31

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May 17, 2021 10:15 AM EDT

The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F

FORM 13F COVER PAGE
OMB APPROVAL
OMB Number: 3235-0006
Expires: July 31, 2015
Estimated average burden
hours per response: 23.8
Report for the Calendar Year or Quarter Ended: 03-31-2021
Check here if Amendment   Amendment Number:
This Amendment (Check only one.):   is a restatement.
  adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: ELLINGTON MANAGEMENT GROUP LLC
Address: 53 FOREST AVENUE
OLD GREENWICH , CT06870
Form 13F File Number: 028-11539

The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form.

Person Signing this Report on Behalf of Reporting Manager:
Name: David Rice
Title: Chief Compliance Officer
Phone: 203-698-1200
Signature, Place, and Date of Signing:
/s/ David Rice Greenwich , CT 05-13-2021
[Signature] [City, State] [Date]
Report Type (Check only one.):
X 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.)
  13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).)
  13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).)
Form 13F Summary Page
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 161
Form 13F Information Table Value Total: 812,550
(thousands)
List of Other Managers Reporting for this Manager:
[If there are no entries in this list, omit this section.]
Form 13F File Number Name

List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report.
[If there are no entries in this list, state “NONE” and omit the column headings and list entries.]
No. Form 13F File Number Name

The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F

FORM 13F INFORMATION TABLE
OMB APPROVAL
OMB Number: 3235-0006
Expires: July 31, 2015
Estimated average burden
hours per response: 23.8
COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8
VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGER SOLE SHARED NONE
ADVANCED MERGER PARTNERS INC UNIT 99/99/9999 00777J208 500 50,000 SH SOLE 50,000 0 0
AFRICAN GOLD ACQUISITION COR UNIT 99/99/9999 G0112R116 1,482 150,000 SH SOLE 150,000 0 0
AGNC INVT CORP COM 00123Q104 13,129 783,372 SH SOLE 783,372 0 0
AGNC INVT CORP COM 00123Q104 6,034 360,000 SH Put SOLE 360,000 0 0
ALKURI GLOBAL ACQUISITION CO UNIT 01/01/2028 66981N202 198 20,000 SH SOLE 20,000 0 0
ALTIMAR ACQUISITION CORP III UNIT 99/99/9999 G0370U124 250 25,000 SH SOLE 25,000 0 0
AMERICAN AIRLS GROUP INC COM 02376R102 3,657 153,000 SH Put SOLE 153,000 0 0
AMERICAN AXLE & MFG HLDGS IN COM 024061103 1,063 110,000 SH Call SOLE 0 0 0
ANNALY CAPITAL MANAGEMENT IN COM 035710409 7,740 900,000 SH Put SOLE 900,000 0 0
ANZU SPECIAL ACQUISITIN CORP UNIT 01/27/2026 03737A200 3,989 399,700 SH SOLE 399,700 0 0
APA CORPORATION COM 03743Q108 1,018 56,893 SH SOLE 56,893 0 0
APOLLO STRATEGIC GRWT CPTL I UNIT 99/99/9999 G0412A110 200 20,000 SH SOLE 20,000 0 0
APPLE INC COM 037833100 229 1,876 SH SOLE 1,876 0 0
ARBOR REALTY TRUST INC COM 038923108 2,041 128,358 SH SOLE 128,358 0 0
ARCTOS NORTHSTAR ACQUIS CORP UNIT 99/99/9999 G0477L118 1,499 150,000 SH SOLE 150,000 0 0
ARES ACQUISITION CORPORATION UNIT 99/99/9999 G33032114 5,000 500,000 SH SOLE 500,000 0 0
ARROWROOT ACQUISITION CORP UNIT 01/29/2026 04282M201 995 100,000 SH SOLE 100,000 0 0
AURORA ACQUISITION CORP UNIT 03/02/2026 G0698L111 517 50,000 SH SOLE 50,000 0 0
AUSTERLITZ ACQUISITION CORP UNIT 99/99/9999 G0633D117 703 70,000 SH SOLE 70,000 0 0
B RILEY PRINCIPAL 150 MERGER UNIT 99/99/9999 05601V202 100 10,000 SH SOLE 10,000 0 0
BECTON DICKINSON & CO COM 075887109 710 2,922 SH SOLE 2,922 0 0
BLUERIVER ACQUISITION CORP UNIT 01/04/2026 G1261Q123 548 55,000 SH SOLE 55,000 0 0
BROADSCALE ACQUISITION CORP UNIT 02/02/2026 11134Y200 505 51,000 SH SOLE 51,000 0 0
CARNIVAL CORP UNIT 99/99/9999 143658300 2,322 87,500 SH Call SOLE 0 0 0
CARTESIAN GROWTH CORP UNIT 02/26/2028 G19276123 915 92,000 SH SOLE 92,000 0 0
CATCHA INVESTMENT CORP UNIT 99/99/9999 G1962Y128 498 50,000 SH SOLE 50,000 0 0
CC NEUBERGER PRINCIPAL HOLDN UNIT 99/99/9999 G1992N118 100 10,000 SH SOLE 10,000 0 0
CENTRICUS ACQUISITION CORP UNIT 02/08/2028 G2072Q112 696 70,000 SH SOLE 70,000 0 0
CHARTER COMMUNICATIONS INC N CL A 16119P108 1,053 1,706 SH SOLE 1,706 0 0
CHURCHILL CAPITAL CORP VII UNIT 99/99/9999 17144M201 499 50,000 SH SOLE 50,000 0 0
CLARIM ACQUISITION CORP UNIT 99/99/9999 18049C207 498 50,000 SH SOLE 50,000 0 0
CLIMATE REAL IMPACT SLUTINS UNIT 99/99/9999 187171202 100 10,000 SH SOLE 10,000 0 0
COLICITY INC UNIT 02/24/2026 194170205 606 60,000 SH SOLE 60,000 0 0
CONSTELLATION ACQUISITN CORP UNIT 99/99/9999 G2R18K121 396 40,000 SH SOLE 40,000 0 0
CORAZON CAPITAL V838 MONOCER UNIT 03/24/2026 G24237110 995 100,000 SH SOLE 100,000 0 0
CROWN PROPTECH ACQUISITIONS UNIT 99/99/9999 G25741128 497 50,000 SH SOLE 50,000 0 0
D AND Z MEDIA ACQUISITION CO UNIT 99/99/9999 23305Q205 247 25,000 SH SOLE 25,000 0 0
DECARBONIZATION PLUS ACQU II UNIT 01/19/2026 242794204 101 10,000 SH SOLE 10,000 0 0
DEVON ENERGY CORP NEW COM 25179M103 703 32,187 SH SOLE 32,187 0 0
DHB CAPITAL CORP UNIT 03/31/2028 23291W208 496 50,000 SH SOLE 50,000 0 0
DHC ACQUISITION CORP UNIT 02/25/2026 G2758T125 1,499 150,000 SH SOLE 150,000 0 0
DIAMONDHEAD HOLDINGS CORP UNIT 01/21/2026 25278L204 99 10,000 SH SOLE 10,000 0 0
DISH NETWORK CORPORATION NOTE 2.375% 3/1 25470MAD1 37,656 39,045,000 PRN SOLE 39,045,000 0 0
ECP ENVIRONMENTAL GW OPT COR UNIT 03/01/2026 26829T209 202 20,000 SH SOLE 20,000 0 0
EJF ACQUISITION CORP UNIT 03/10/2026 G2955B117 2,488 250,000 SH SOLE 250,000 0 0
ELLINGTON FINANCIAL INC COM 28852N109 13,623 850,250 SH SOLE 850,250 0 0
EQ HEALTH ACQUISITION CORP UNIT 02/02/2028 26886A200 347 35,000 SH SOLE 35,000 0 0
ESM ACQUISITION CORPORATION UNIT 99/99/9999 G3195H120 994 100,000 SH SOLE 100,000 0 0
ESSENT GROUP LTD COM G3198U102 5,699 120,000 SH SOLE 120,000 0 0
EXPEDIA GROUP INC COM NEW 30212P303 155 900 SH SOLE 900 0 0
EXPEDIA GROUP INC COM NEW 30212P303 2,324 13,500 SH Put SOLE 13,500 0 0
FINTECH EVOLUTION ACQUIS GRO UNIT 99/99/9999 G3R19A112 1,481 150,000 SH SOLE 150,000 0 0
FIRST RESERVE SUSTAINABLE GW UNIT 03/05/2026 336169206 500 50,000 SH SOLE 50,000 0 0
FORTISTAR SUSTAINABLE SOL CO UNIT 01/14/2026 34962M205 99 10,000 SH SOLE 10,000 0 0
FREEDOM ACQUISITION I CORP UNIT 99/99/9999 G3663X102 998 100,000 SH SOLE 100,000 0 0
FTAC HERA ACQUISITION CORP UNIT 02/28/2026 G3728Y129 1,998 200,000 SH SOLE 200,000 0 0
FUSION ACQUISITION CORP II UNIT 02/29/2028 36118N201 497 50,000 SH SOLE 50,000 0 0
G SQUARED ASCEND I INC UNIT 99/99/9999 G4204R125 2,500 250,000 SH SOLE 250,000 0 0
GAMING & HOSPITALITY ACQU CO UNIT 02/04/2028 364681205 396 40,000 SH SOLE 40,000 0 0
GOLDEN ARROW MERGER CORP UNIT 07/31/2026 380799205 1,492 150,000 SH SOLE 150,000 0 0
GORES HLDGS VIII INC UNIT 02/01/2028 382863207 700 70,000 SH SOLE 70,000 0 0
GORES HOLDINGS VII INC UNIT 02/12/2028 38286T200 697 70,000 SH SOLE 70,000 0 0
GORES METROPOULOS II INC UNIT 01/31/2028 382873206 202 20,000 SH SOLE 20,000 0 0
GORES TECHNOLOGY PARTNERS II UNIT 03/16/2028 38287L206 699 70,000 SH SOLE 70,000 0 0
GORES TECHNOLOGY PARTNERS IN UNIT 03/16/2028 382870202 400 40,000 SH SOLE 40,000 0 0
GRANITE PT MTG TR INC COM STK 38741L107 562 46,991 SH SOLE 46,991 0 0
GREAT AJAX CORP COM 38983D300 4,361 400,097 SH SOLE 400,097 0 0
GROUP NINE ACQUISITION CORP UNIT 01/15/2026 39947R203 291 28,529 SH SOLE 28,529 0 0
HAYMAKER ACQUISITION CORP II UNIT 03/01/2026 42087R207 994 100,000 SH SOLE 100,000 0 0
HUDSON EXECUTIVE INVES III UNIT 02/22/2026 44376L206 1,984 200,000 SH SOLE 200,000 0 0
HUDSON EXECUTIVE INVS CORP I UNIT 01/31/2027 443760202 1,472 150,000 SH SOLE 150,000 0 0
IBERE PHARMACEUTICALS UNIT 99/99/9999 G46843127 99 10,000 SH SOLE 10,000 0 0
IMPAC MTG HLDGS INC COM NEW 45254P508 104 51,900 SH SOLE 51,900 0 0
INDEPENDENCE HOLDINGS CORP UNIT 03/02/2026 G4761A119 1,800 180,000 SH SOLE 180,000 0 0
INVESCO QQQ TR UNIT SER 1 46090E103 71,804 225,000 SH Put SOLE 225,000 0 0
ISHARES TR IBOXX HI YD ETF 464288513 233,974 2,683,800 SH Put SOLE 2,683,800 0 0
ISHARES TR PFD AND INCM SEC 464288687 20,736 540,000 SH Put SOLE 540,000 0 0
ISHARES TR RUSSELL 2000 ETF 464287655 72,910 330,000 SH Call SOLE 0 0 0
ISOS ACQUISITION CORPORATION UNIT 99/99/9999 G4962C120 398 40,000 SH SOLE 40,000 0 0
ITIQUIRA ACQUISITION CORP UNIT 02/03/2026 G49773123 199 20,000 SH SOLE 20,000 0 0
JACK CREEK INVESTMENT CORP UNIT 10/01/2023 G4989X107 3,469 350,000 SH SOLE 350,000 0 0
JAWS MUSTANG ACQUISITION COR UNIT 99/99/9999 G50737116 508 50,000 SH SOLE 50,000 0 0
KELLOGG CO COM 487836108 1,096 17,317 SH SOLE 17,317 0 0
KENSINGTON CAPITAL ACQUISITI UNIT 99/99/9999 49006L203 205 20,000 SH SOLE 20,000 0 0
KERNEL GROUP HOLDINGS INC UNIT 99/99/9999 G5259L111 1,497 150,000 SH SOLE 150,000 0 0
KHOSLA VENTURES ACQUISITION CL A 482504107 101 10,000 SH SOLE 10,000 0 0
KINDER MORGAN INC DEL COM 49456B101 1,981 119,000 SH SOLE 119,000 0 0
KISMET ACQUISITION THREE COR UNIT 99/99/9999 G5276C128 1,586 160,570 SH SOLE 160,570 0 0
KISMET ACQUISITION TWO CORP UNIT 99/99/9999 G52807123 1,224 123,100 SH SOLE 123,100 0 0
KRAFT HEINZ CO COM 500754106 2,600 65,000 SH Call SOLE 0 0 0
LAZARD GROWTH ACQUISITION CO UNIT 99/99/9999 G54035129 550 55,000 SH SOLE 55,000 0 0
LEO HOLDINGS III CORP UNIT 99/99/9999 G5463T116 980 100,000 SH SOLE 100,000 0 0
LIVE OAK MOBILITY ACQUISI CO UNIT 03/01/2028 538126202 998 100,000 SH SOLE 100,000 0 0
LUMEN TECHNOLOGIES INC COM 550241103 1,603 120,000 SH Call SOLE 0 0 0
LUMENT FINANCE TRUST INC COM 55025L108 642 181,858 SH SOLE 181,858 0 0
MASON INDUSTRIAL TECHNOLGY I UNIT 99/99/9999 57520Y205 2,485 250,000 SH SOLE 250,000 0 0
MCAP ACQUISITION CORP UNIT 02/18/2030 55282T208 100 10,000 SH SOLE 10,000 0 0
MFA FINL INC COM 55272X102 2,561 629,231 SH SOLE 629,231 0 0
MGIC INVT CORP WIS COM 552848103 5,590 403,600 SH SOLE 403,600 0 0
MGIC INVT CORP WIS COM 552848103 6,925 500,000 SH Put SOLE 500,000 0 0
MICROSOFT CORP COM 594918104 483 2,048 SH SOLE 2,048 0 0
MISSION ADVANCEMENT CORP UNIT 99/99/9999 60501L200 995 100,000 SH SOLE 100,000 0 0
MR COOPER GROUP INC COM 62482R107 3,344 96,197 SH SOLE 96,197 0 0
NABORS INDS INC NEW NOTE 0.750% 1/1 62957HAB1 55,664 75,734,000 PRN SOLE 75,734,000 0 0
NABORS INDUSTRIES LTD SHS G6359F137 872 9,327 SH SOLE 9,327 0 0
NEW YORK MTG TR INC COM PAR $.02 649604501 2,608 583,426 SH SOLE 583,426 0 0
NORDSTROM INC COM 655664100 2,125 56,121 SH SOLE 56,121 0 0
NORTH ATLANTIC ACQUISITN COR UNIT 10/20/2025 G66139117 498 50,000 SH SOLE 50,000 0 0
ONE EQUITY PARTNERS OPEN WTR UNIT 01/14/2026 68237L204 598 60,000 SH SOLE 60,000 0 0
ORION ACQUISITION CORP UNIT 02/19/2026 68626A207 700 70,000 SH SOLE 70,000 0 0
OYSTER ENTERPRISES ACQ CORP UNIT 01/20/2026 69242M203 431 43,574 SH SOLE 43,574 0 0
PATHFINDER ACQUISITION CORP UNIT 02/17/2026 G04119114 734 74,187 SH SOLE 74,187 0 0
PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 1,243 1,230,000 PRN SOLE 1,230,000 0 0
PENNYMAC FINL SVCS INC NEW COM 70932M107 4,102 61,343 SH SOLE 61,343 0 0
PERIDOT ACQUISITION CORP II UNIT 99/99/9999 G7008B113 3,479 350,000 SH SOLE 350,000 0 0
PFIZER INC COM 717081103 816 22,536 SH SOLE 22,536 0 0
POWER & DIGITAL INFRA ACQ CO UNIT 99/99/9999 739190205 503 50,000 SH SOLE 50,000 0 0
POWERED BRANDS UNIT 99/99/9999 G7209M124 992 100,000 SH SOLE 100,000 0 0
PRIMAVERA CAPITAL ACQUIST CO UNIT 01/19/2026 G7255E125 103 10,000 SH SOLE 10,000 0 0
PRIVETERRA ACQUISITION CORP UNIT 99/99/9999 74275N201 745 75,000 SH SOLE 75,000 0 0
QUEENS GAMBIT GROWTH CAPITAL UNIT 01/19/2026 G7315C127 151 15,000 SH SOLE 15,000 0 0
READY CAPITAL CORP COM 75574U101 4,042 301,200 SH SOLE 301,200 0 0
REDWOOD TR INC COM 758075402 736 70,710 SH SOLE 70,710 0 0
RMG ACQUISITION CORP III UNIT 02/08/2026 G76088114 498 50,000 SH SOLE 50,000 0 0
ROTOR ACQUISITION CORP UNIT 06/15/2027 77879W204 408 40,713 SH SOLE 40,713 0 0
RXR ACQUISITION CORP UNIT 01/01/2025 74981W206 492 50,000 SH SOLE 50,000 0 0
SCIENCE STRATEGIC ACQ ALPHA UNIT 01/20/2026 808641203 99 10,000 SH SOLE 10,000 0 0
SCION TECH GROWTH II UNIT 99/99/9999 G31070124 1,494 150,000 SH SOLE 150,000 0 0
SCP & CO HEALTHCARE ACQUSTN UNIT 10/27/2025 784065203 249 25,000 SH SOLE 25,000 0 0
SELECT SECTOR SPDR TR ENERGY 81369Y506 16,892 344,300 SH Call SOLE 0 0 0
SILVER CREST ACQUISITION COR UNIT 12/15/2025 G81355110 497 50,000 SH SOLE 50,000 0 0
SILVERBOX ENGAGED MERGER CO UNIT 03/31/2028 82836L200 991 100,000 SH SOLE 100,000 0 0
SIMON PROPERTY GRP ACQ HOLDI UNIT 99/99/9999 82880R202 201 20,000 SH SOLE 20,000 0 0
SLAM CORP UNIT 99/99/9999 G8210L113 794 80,000 SH SOLE 80,000 0 0
SOARING EAGLE ACQUISITION CO UNIT 02/23/2026 G8354H100 1,012 100,000 SH SOLE 100,000 0 0
SOCIAL LEVERAGE ACQUISN CORP UNIT 99/99/9999 83363K201 498 50,000 SH SOLE 50,000 0 0
SPARTAN ACQUISITION CORP III UNIT 99/99/9999 84677R205 1,003 100,000 SH SOLE 100,000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 11,890 30,000 SH Call SOLE 0 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 71,340 180,000 SH Put SOLE 180,000 0 0
SPIRIT AEROSYSTEMS HLDGS INC COM CL A 848574109 1,605 33,000 SH Put SOLE 33,000 0 0
SUPERNOVA PARTNERS ACQUISTN UNIT 99/99/9999 G8T86C113 201 20,000 SH SOLE 20,000 0 0
SUSTAINABLE DEVELP ACQU I CO UNIT 02/04/2026 86934L202 498 50,000 SH SOLE 50,000 0 0
TAILWIND INTERNATNAL ACQ COR UNIT 99/99/9999 G8662F127 1,484 150,000 SH SOLE 150,000 0 0
TCW SPECIAL PURPOSE ACQU COR UNIT 99/99/9999 87301L205 1,492 150,000 SH SOLE 150,000 0 0
THE MUSIC ACQUISITION CORP UNIT 99/99/9999 62752R209 1,497 150,000 SH SOLE 150,000 0 0
THIMBLE POINT ACQUISITION CO UNIT 99/99/9999 88408P206 100 10,000 SH SOLE 10,000 0 0
THUNDER BRIDGE CAP PRTNRS II UNIT 02/15/2028 88605T209 198 20,000 SH SOLE 20,000 0 0
TISHMAN SPEYER INNOVATION CO UNIT 02/11/2026 88825H209 500 50,000 SH SOLE 50,000 0 0
TRANSDIGM GROUP INC COM 893641100 4,409 7,500 SH Call SOLE 0 0 0
TUATARA CAPITAL ACQUISITN CO UNIT 99/99/9999 G9118J127 123 12,300 SH SOLE 12,300 0 0
TWELVE SEAS INVESTMENT CO II UNIT 99/99/9999 90118T205 493 50,000 SH SOLE 50,000 0 0
TZP STRATEGIES ACQUISTN CORP UNIT 01/06/2026 G91595127 631 63,327 SH SOLE 63,327 0 0
USHG ACQUISITION CORP UNIT 99/99/9999 91748P209 259 25,750 SH SOLE 25,750 0 0
VECTOR ACQUISITION CORP II CL A SHS G9460A104 1,980 200,000 SH SOLE 200,000 0 0
VELOCITY ACQUISITION CORP UNIT 99/99/9999 92259E203 937 95,000 SH SOLE 95,000 0 0
VPC IMPACT ACQU HOLDI III IN UNIT 99/99/9999 91835J207 4,935 500,000 SH SOLE 500,000 0 0
VPC IMPACT ACQUISITION HLDG UNIT 03/05/2026 G9460L100 4,930 500,000 SH SOLE 500,000 0 0
WARRIOR TECHNOLOGIES ACQUI C UNIT 03/31/2028 936273200 149 15,000 SH SOLE 15,000 0 0
WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 1,877 2,000,000 PRN SOLE 2,000,000 0 0
WYNN RESORTS LTD COM 983134107 352 2,809 SH SOLE 2,809 0 0
Z-WORK ACQUISITION CORP UNIT 99/99/9999 98880C201 615 61,786 SH SOLE 61,786 0 0

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