Ellington Management Group LLC — Q3 2020 13F Holdings

Name: Ellington Management Group LLC — 13F Holdings, Q3 2020
Creator: AlphaSMO
License: https://www.sec.gov/forms

CIK: 0001098490

Total reported value

$675.6M

← Back to latest quarter

Full holdings list this quarter

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	ETF-High Yield	19.93%	-28.80%	EXIT
2	TSLA	Tesla INC	Stock-Consumer Disc	11.76%	—	+400.00%
3	NBR 0.75 01-15-24	Nabors Industries INC	Stock-Other	9.45%	-6.85%	EXIT
4	AAL	American Airlines Group INC	Stock-Industrials	6.65%	-0.45%	EXIT
5	XLB	Ss Materials Select Sector	ETF-Other	5.89%	—	—
6	DISH 2.375 03-15-24	Dish Network CORP	Stock-Other	5.68%	-4.63%	EXIT
7	PFSI	Pennymac Financial Services	Stock-Other	4.06%	-0.50%	EXIT
8	NLYEUR	Annaly Capital Management In	Stock-Other	3.91%	-0.95%	EXIT
9	EFC	Ellington Financial INC	Stock-Other	3.64%	-1.68%	EXIT
10	KRE	Ss Spdr S&p Regional Bank	ETF-Other	3.36%	—	—
11	07WA	Mr Cooper Group INC	Stock-Other	2.96%	-0.41%	EXIT
12	BA	Boeing Co/the	Stock-Industrials	2.77%	—	+57.38%
13	DCH	Dauch Corporation	Stock-Other	2.33%	—	+787.52%
14	RPT-PC	Rithm Property Trust Inc.	Stock-Other	1.39%	-0.54%	EXIT
15	RC	Ready Capital CORP	Stock-Other	1.34%	-0.50%	EXIT
16	DISH 3.375 08-15-26	Dish Network CORP	Stock-Other	1.29%	—	—
17	LBEUR	L Brands INC	Stock-Other	1.28%	—	—
18	KSS	Kohls CORP	Stock-Consumer Disc	1.23%	—	+27.09%
19	RITM	Rithm Capital CORP	Stock-Real Estate	1.09%	—	—
20	RCL	Royal Caribbean Cruises Ltd.	Stock-Consumer Disc	1.02%	—	—
21	NYMTEUR	Adamas Trust INC	Stock-Other	0.80%	-0.32%	EXIT
22	LUV	Southwest Airlines Co	Stock-Industrials	0.72%	—	—
23	PBI	Pitney Bowes INC	Stock-Other	0.70%	—	-29.75%
24	T	At&t INC	Stock-Comm Services	0.70%	—	+23.89%
25	WMC 6.75 10-01-22	Western Asset Mtge Cap	Stock-Other	0.60%	-0.23%	EXIT
26	RDN	Radian Group INC	Stock-Financials	0.51%	—	—
27	F	Ford Motor Co	Stock-Consumer Disc	0.47%	—	-95.31%
28	ESNT	Essent Group Ltd.	Stock-Financials	0.46%	-0.70%	EXIT
29	AMCX	Amc Global Media INC	Stock-Other	0.46%	—	-12.03%
30	TRTX	Tpg Re Finance Trust INC	Stock-Other	0.43%	—	—
31	USX1	United States Steel CORP	Stock-Other	0.37%	—	—
32	OLN	Olin CORP	Stock-Materials	0.31%	—	—
33	CVS	Cvs Health CORP	Stock-Healthcare	0.30%	—	+48.60%
34	MFAUSD	Mfa Financial INC	Stock-Other	0.28%	-0.32%	EXIT
35	GPMT	Granite Point Mortgage Trust	Stock-Other	0.27%	—	—
36	OAKSUSD	Hunt Companies Finance Trust	Stock-Other	0.27%	—	—
37	✓		Stock-Other	0.23%	—	-19.77%
38	PMT	Pennymac Mortgage Investment	Stock-Other	0.22%	—	—
39	CIM	Chimera Investment Corporation	Stock-Other	0.22%	—	-48.16%
40	S9Q	Spirit Aerosystems Hold-cl A	Stock-Other	0.22%	-0.20%	EXIT
41	RIG	Transocean Ltd.	Stock-Energy	0.16%	—	—
42	STWD	Starwood Property Trust INC	Stock-Real Estate	0.14%	—	-65.22%
43	NBR	Nabors Industries Ltd.	Stock-Other	0.12%	—	-33.28%
44	✓		Stock-Other	0.02%	—	—

Holding changes this quarter

Position changes disclosed by Ellington Management Group LLC for the quarter ending Q3 2020, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	AAL	American Airlines Group INC	+5.9%	+1066.42%	Add
2	TSLA	Tesla INC	+4.6%	+400.00%	Add
3	PFSI	Pennymac Financial Services	+3.1%	+253.58%	Add
4	NLYEUR	Annaly Capital Management In	+3%	+388.67%	Add
5	DCH	Dauch Corporation	+1.9%	+787.52%	Add
6	RPT-PC	Rithm Property Trust Inc.	+1.1%	+501.45%	Add
7	BA	Boeing Co/the	+0.4%	+57.38%	Add
8	PBI	Pitney Bowes INC	+0.1%	-29.75%	Trim
9	CVS	Cvs Health CORP	0%	+48.60%	Add
10	WMC 6.75 10-01-22	Western Asset Mtge Cap	—	—	Unchanged
11	T	At&t INC	0%	+23.89%	Add
12	RC	Ready Capital CORP	0%	-7.54%	Trim
13	KSS	Kohls CORP	-0.1%	+27.09%	Add
14	LUV	Southwest Airlines Co	-0.1%	—	Unchanged
15	PMT	Pennymac Mortgage Investment	-0.1%	—	Unchanged
16	AMCX	Amc Global Media INC	-0.1%	-12.03%	Trim
17	NBR	Nabors Industries Ltd.	-0.2%	-33.28%	Trim
18	STWD	Starwood Property Trust INC	-0.3%	-65.22%	Trim
19	CIM	Chimera Investment Corporation	-0.4%	-48.16%	Trim
20	EFC	Ellington Financial INC	-0.6%	—	Unchanged
21	DISH 2.375 03-15-24	Dish Network CORP	-2.2%	-12.26%	Trim
22	F	Ford Motor Co	-10.5%	-95.31%	Trim
23	NBR 0.75 01-15-24	Nabors Industries INC	-11.3%	-28.83%	Trim
24	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	—	NEW	New buy
25	SPY	Ss Spdr S&p 500 ETF Trust-us	—	EXIT	Sold out
26	VZ	Verizon Communications INC	—	EXIT	Sold out
27	XLB	Ss Materials Select Sector	—	NEW	New buy
28	KRE	Ss Spdr S&p Regional Bank	—	NEW	New buy
29	07WA	Mr Cooper Group INC	—	NEW	New buy
30	DISH 3.375 08-15-26	Dish Network CORP	—	NEW	New buy
31	LBEUR	L Brands INC	—	NEW	New buy
32	OXY	Occidental Petroleum CORP	—	EXIT	Sold out
33	RITM	Rithm Capital CORP	—	NEW	New buy
34	RCL	Royal Caribbean Cruises Ltd.	—	NEW	New buy
35	NYMTEUR	Adamas Trust INC	—	NEW	New buy
36	GM	General Motors Co	—	EXIT	Sold out
37	MTG	Mgic Investment CORP	—	EXIT	Sold out
38	SIRIEUR	Sirius Xm Holdings INC	—	EXIT	Sold out
39	RDN	Radian Group INC	—	NEW	New buy
40	DXC	Dxc Technology Co	—	EXIT	Sold out
41	ESNT	Essent Group Ltd.	—	NEW	New buy
42	TRTX	Tpg Re Finance Trust INC	—	NEW	New buy
43	USX1	United States Steel CORP	—	NEW	New buy
44	OLN	Olin CORP	—	NEW	New buy
45	GPMT	Granite Point Mortgage Trust	—	NEW	New buy
46	AIEUR	Arlington Asset Investment-a	—	EXIT	Sold out
47	ANH	Anworth Mortgage Asset CORP	—	EXIT	Sold out
48	S9Q	Spirit Aerosystems Hold-cl A	—	NEW	New buy
49	RIG	Transocean Ltd.	—	NEW	New buy
50	AA	Alcoa CORP	—	EXIT	Sold out