Ellington Management Group LLC — Q2 2020 13F Holdings

Name: Ellington Management Group LLC — 13F Holdings, Q2 2020
Creator: AlphaSMO
License: https://www.sec.gov/forms

CIK: 0001098490

Total reported value

$675.6M

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Full holdings list this quarter

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	NBR 0.75 01-15-24	Nabors Industries INC	Stock-Other	20.76%	-6.85%	EXIT
2	SPY	Ss Spdr S&p 500 ETF Trust-us	ETF-Large Cap & Growth	19.58%	-10.24%	EXIT
3	F	Ford Motor Co	Stock-Consumer Disc	10.97%	—	-6.36%
4	VZ	Verizon Communications INC	Stock-Comm Services	9.80%	—	+134.77%
5	DISH 2.375 03-15-24	Dish Network CORP	Stock-Other	7.85%	-4.63%	EXIT
6	TSLA	Tesla INC	Stock-Consumer Disc	7.18%	—	—
7	EFC	Ellington Financial INC	Stock-Other	4.24%	-1.68%	EXIT
8	BA	Boeing Co/the	Stock-Industrials	2.37%	—	—
9	RC	Ready Capital CORP	Stock-Other	1.37%	-0.50%	EXIT
10	OXY	Occidental Petroleum CORP	Stock-Energy	1.32%	—	—
11	KSS	Kohls CORP	Stock-Consumer Disc	1.31%	—	—
12	PFSI	Pennymac Financial Services	Stock-Other	1.00%	-0.50%	EXIT
13	NLYEUR	Annaly Capital Management In	Stock-Other	0.89%	-0.95%	EXIT
14	GM	General Motors Co	Stock-Consumer Disc	0.88%	—	—
15	MTG	Mgic Investment CORP	Stock-Financials	0.81%	-1.54%	EXIT
16	LUV	Southwest Airlines Co	Stock-Industrials	0.80%	—	—
17	AAL	American Airlines Group INC	Stock-Industrials	0.73%	-0.45%	EXIT
18	T	At&t INC	Stock-Comm Services	0.72%	—	-90.51%
19	SIRIEUR	Sirius Xm Holdings INC	Stock-Other	0.67%	—	—
20	CIM	Chimera Investment Corporation	Stock-Other	0.61%	—	+84.50%
21	WMC 6.75 10-01-22	Western Asset Mtge Cap	Stock-Other	0.60%	-0.23%	EXIT
22	AMCX	Amc Global Media INC	Stock-Other	0.60%	—	-8.54%
23	PBI	Pitney Bowes INC	Stock-Other	0.59%	—	-75.39%
24	DXC	Dxc Technology Co	Stock-Tech	0.58%	—	+67.81%
25	STWD	Starwood Property Trust INC	Stock-Real Estate	0.47%	—	+5.16%
26	DCH	Dauch Corporation	Stock-Other	0.42%	—	-86.51%
27	NBR	Nabors Industries Ltd.	Stock-Other	0.33%	—	—
28	OAKSUSD	Hunt Companies Finance Trust	Stock-Other	0.32%	—	-0.47%
29	MFAUSD	Mfa Financial INC	Stock-Other	0.32%	-0.32%	EXIT
30	AIEUR	Arlington Asset Investment-a	Stock-Other	0.31%	—	+11.63%
31	RPT-PC	Rithm Property Trust Inc.	Stock-Other	0.31%	-0.54%	EXIT
32	PMT	Pennymac Mortgage Investment	Stock-Other	0.30%	—	—
33	ANH	Anworth Mortgage Asset CORP	Stock-Other	0.29%	—	—
34	CVS	Cvs Health CORP	Stock-Healthcare	0.27%	—	-64.53%
35	✓		Stock-Other	0.27%	—	-90.04%
36	AA	Alcoa CORP	Stock-Materials	0.13%	—	-86.68%
37	✓		Stock-Other	0.04%	—	—

Holding changes this quarter

Position changes disclosed by Ellington Management Group LLC for the quarter ending Q2 2020, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	SPY	Ss Spdr S&p 500 ETF Trust-us	+18.3%	+610.90%	Add
2	NBR 0.75 01-15-24	Nabors Industries INC	+15%	+21.82%	Add
3	VZ	Verizon Communications INC	+7.5%	+134.77%	Add
4	F	Ford Motor Co	+5.8%	-6.36%	Trim
5	TSLA	Tesla INC	+5.3%	—	Unchanged
6	EFC	Ellington Financial INC	+3.1%	—	Unchanged
7	✓		-0.3%	-90.04%	Trim
8	DCH	Dauch Corporation	-0.4%	-86.51%	Trim
9	PBI	Pitney Bowes INC	-0.5%	-75.39%	Trim
10	AAL	American Airlines Group INC	-2%	-85.88%	Trim
11	T	At&t INC	-3.4%	-90.51%	Trim
12	DISH 2.375 03-15-24	Dish Network CORP	—	NEW	New buy
13	BA	Boeing Co/the	—	NEW	New buy
14	LEN	Lennar Corp-a	—	EXIT	Sold out
15	AGNC	Agnc Investment CORP	—	EXIT	Sold out
16	NFLX	Netflix INC	—	EXIT	Sold out
17	OXY	Occidental Petroleum CORP	—	NEW	New buy
18	KSS	Kohls CORP	—	NEW	New buy
19	S9Q	Spirit Aerosystems Hold-cl A	—	EXIT	Sold out
20	WMT	Walmart INC	—	EXIT	Sold out
21	TOL	Toll Brothers INC	—	EXIT	Sold out
22	DISH	Dish Network Corp-a	—	EXIT	Sold out
23	SPOT	Spotify Technology S.A.	—	EXIT	Sold out
24	PZZA	Papa John's Intl INC	—	EXIT	Sold out
25	PETS	Petmed Express INC	—	EXIT	Sold out
26	INTU	Intuit INC	—	EXIT	Sold out
27	HRL	Hormel Foods CORP	—	EXIT	Sold out
28	MGM	Mgm Resorts International	—	EXIT	Sold out
29	GM	General Motors Co	—	NEW	New buy
30	FDX	Fedex CORP	—	EXIT	Sold out
31	ESS	Essex Property Trust INC	—	EXIT	Sold out
32	ESNT	Essent Group Ltd.	—	EXIT	Sold out
33	LUV	Southwest Airlines Co	—	NEW	New buy
34	TRU	Transunion	—	EXIT	Sold out
35	AAP	Advance Auto Parts INC	—	EXIT	Sold out
36	CSX	Csx CORP	—	EXIT	Sold out
37	COTY	Coty Inc-cl A	—	EXIT	Sold out
38	FAF	First American Financial	—	EXIT	Sold out
39	CI	THE Cigna Group	—	EXIT	Sold out
40	ICE	Intercontinental Exchange In	—	EXIT	Sold out
41	WW6	Ww International INC	—	EXIT	Sold out
42	SAIC	Science Applications Inte	—	EXIT	Sold out
43	TEAM	Atlassian Corporation	—	EXIT	Sold out
44	SFM	Sprouts Farmers Market INC	—	EXIT	Sold out
45	BG	Bunge Global SA	—	EXIT	Sold out
46	SIRIEUR	Sirius Xm Holdings INC	—	NEW	New buy
47	KMB	Kimberly-clark CORP	—	EXIT	Sold out
48	WING	Wingstop INC	—	EXIT	Sold out
49	ASML	ASML Holding N.V.	—	EXIT	Sold out
50	SSNC	Ss&c Technologies Holdings	—	EXIT	Sold out