Greg Valli’s new interview describes the machinery behind Ellington’s mortgage investing: 500 interest-rate paths, then different prepayment and credit assumptions, informing position sizes. That matters because a mortgage security’s cash flows change as borrowers refinance or default; choosing a rate direction alone does not describe the position. Ellington now manages more than $24 billion across structured credit and mortgage assets, spanning daily liquid funds, drawdown funds and permanent capital vehicles. This is firm-level assets, not one hedge fund’s NAV. The interview reports no comparable fund return. September 30 interview.