Ellington Management Group LLC — Q4 2020 13F Holdings

Name: Ellington Management Group LLC — 13F Holdings, Q4 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	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	ETF-High Yield	34.38%	-28.80%	EXIT
2	TSLA	Tesla INC	Stock-Consumer Disc	13.66%	—	—
3	NBR 0.75 01-15-24	Nabors Industries INC	Stock-Other	11.10%	-6.85%	EXIT
4	NLYEUR	Annaly Capital Management In	Stock-Other	4.28%	-0.95%	EXIT
5	DISH 2.375 03-15-24	Dish Network CORP	Stock-Other	4.18%	-4.63%	EXIT
6	PFSI	Pennymac Financial Services	Stock-Other	3.55%	-0.50%	EXIT
7	EFC	Ellington Financial INC	Stock-Other	3.11%	-1.68%	EXIT
8	SPY	Ss Spdr S&p 500 ETF Trust-us	ETF-Large Cap & Growth	2.30%	-10.24%	EXIT
9	NYMTEUR	Adamas Trust INC	Stock-Other	2.28%	-0.32%	EXIT
10	XLF	Ss Financial Select Sector	ETF-Other	2.04%	—	—
11	CTLEUR	Centurylink INC	Stock-Other	1.97%	—	—
12	AAL	American Airlines Group INC	Stock-Industrials	1.68%	-0.45%	EXIT
13	MFAUSD	Mfa Financial INC	Stock-Other	1.49%	-0.32%	EXIT
14	RPT-PC	Rithm Property Trust Inc.	Stock-Other	1.33%	-0.54%	EXIT
15	RC	Ready Capital CORP	Stock-Other	1.29%	-0.50%	EXIT
16	LBEUR	L Brands INC	Stock-Other	1.05%	—	—
17	DCH	Dauch Corporation	Stock-Other	0.86%	—	-63.78%
18	RIG	Transocean Ltd.	Stock-Energy	0.80%	—	+145.64%
19	URI	United Rentals INC	Stock-Industrials	0.77%	—	—
20	AGNC	Agnc Investment CORP	Stock-Real Estate	0.71%	-2.36%	EXIT
21	DVN	Devon Energy CORP	Stock-Energy	0.65%	—	—
22	07WA	Mr Cooper Group INC	Stock-Other	0.60%	-0.41%	EXIT
23	EXPE	Expedia Group INC	Stock-Consumer Disc	0.54%	-0.31%	EXIT
24	BA	Boeing Co/the	Stock-Industrials	0.48%	—	-81.25%
25	GPMT	Granite Point Mortgage Trust	Stock-Other	0.45%	—	+66.36%
26	WMC 6.75 10-01-22	Western Asset Mtge Cap	Stock-Other	0.43%	-0.23%	EXIT
27	PBI	Pitney Bowes INC	Stock-Other	0.40%	—	-30.10%
28	RITM	Rithm Capital CORP	Stock-Real Estate	0.39%	—	-59.76%
29	TRTX	Tpg Re Finance Trust INC	Stock-Other	0.37%	—	-1.85%
30	LUV	Southwest Airlines Co	Stock-Industrials	0.34%	—	-45.45%
31	RCL	Royal Caribbean Cruises Ltd.	Stock-Consumer Disc	0.34%	—	-58.89%
32	S9Q	Spirit Aerosystems Hold-cl A	Stock-Other	0.32%	-0.20%	EXIT
33	PMT 5.5 11-01-24	Pennymac CORP	Stock-Other	0.30%	—	—
34	LFT	Lument Finance Trust INC	Stock-Other	0.23%	—	—
35	PMT	Pennymac Mortgage Investment	Stock-Other	0.17%	—	—
36	ENR	Energizer Holdings INC	Stock-Other	0.16%	—	—
37	AR	Antero Resources CORP	Stock-Energy	0.16%	—	—
38	FANG	Diamondback Energy INC	Stock-Energy	0.16%	—	—
39	9990302D	Apache CORP	Stock-Other	0.15%	—	—
40	KSS	Kohls CORP	Stock-Consumer Disc	0.13%	—	-93.06%
41	LOW	Lowe's Cos INC	Stock-Consumer Disc	0.11%	—	—
42	MSFT	Microsoft CORP	Stock-Tech	0.11%	—	—
43	✓		Stock-Other	0.07%	—	-66.52%
44	CYH	Community Health Systems INC	Stock-Other	0.07%	—	—
45	✓		Stock-Other	0.04%	—	—
46	KRE	Ss Spdr S&p Regional Bank	ETF-Other	—	—	-62.96%
47	QQQ	Invesco Qqq Trust Series 1	ETF-Tech	—	-8.84%	EXIT
48	XLE	Ss Energy Select Sector	ETF-Other	—	-2.08%	EXIT

Holding changes this quarter

Position changes disclosed by Ellington Management Group LLC for the quarter ending Q4 2020, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	+14.5%	+134.88%	Add
2	TSLA	Tesla INC	+1.9%	—	Unchanged
3	NBR 0.75 01-15-24	Nabors Industries INC	+1.7%	-13.04%	Trim
4	NYMTEUR	Adamas Trust INC	+1.5%	+177.92%	Add
5	MFAUSD	Mfa Financial INC	+1.2%	+417.52%	Add
6	RIG	Transocean Ltd.	+0.6%	+145.64%	Add
7	NLYEUR	Annaly Capital Management In	+0.4%	+30.66%	Add
8	GPMT	Granite Point Mortgage Trust	+0.2%	+66.36%	Add
9	S9Q	Spirit Aerosystems Hold-cl A	+0.1%	—	Unchanged
10	RC	Ready Capital CORP	-0.1%	+22.55%	Add
11	RPT-PC	Rithm Property Trust Inc.	-0.1%	+7.21%	Add
12	LBEUR	L Brands INC	-0.2%	—	Unchanged
13	LUV	Southwest Airlines Co	-0.4%	-45.45%	Trim
14	PFSI	Pennymac Financial Services	-0.5%	+9.72%	Add
15	EFC	Ellington Financial INC	-0.5%	—	Unchanged
16	RCL	Royal Caribbean Cruises Ltd.	-0.7%	-58.89%	Trim
17	RITM	Rithm Capital CORP	-0.7%	-59.76%	Trim
18	KSS	Kohls CORP	-1.1%	-93.06%	Trim
19	DCH	Dauch Corporation	-1.5%	-63.78%	Trim
20	DISH 2.375 03-15-24	Dish Network CORP	-1.5%	—	Unchanged
21	BA	Boeing Co/the	-2.3%	-81.25%	Trim
22	07WA	Mr Cooper Group INC	-2.4%	-79.40%	Trim
23	KRE	Ss Spdr S&p Regional Bank	-3.4%	-62.96%	Trim
24	AAL	American Airlines Group INC	-5%	-72.05%	Trim
25	XLB	Ss Materials Select Sector	—	EXIT	Sold out
26	SPY	Ss Spdr S&p 500 ETF Trust-us	—	NEW	New buy
27	XLF	Ss Financial Select Sector	—	NEW	New buy
28	CTLEUR	Centurylink INC	—	NEW	New buy
29	DISH 3.375 08-15-26	Dish Network CORP	—	EXIT	Sold out
30	URI	United Rentals INC	—	NEW	New buy
31	AGNC	Agnc Investment CORP	—	NEW	New buy
32	DVN	Devon Energy CORP	—	NEW	New buy
33	EXPE	Expedia Group INC	—	NEW	New buy
34	T	At&t INC	—	EXIT	Sold out
35	RDN	Radian Group INC	—	EXIT	Sold out
36	F	Ford Motor Co	—	EXIT	Sold out
37	ESNT	Essent Group Ltd.	—	EXIT	Sold out
38	AMCX	Amc Global Media INC	—	EXIT	Sold out
39	PMT 5.5 11-01-24	Pennymac CORP	—	NEW	New buy
40	USX1	United States Steel CORP	—	EXIT	Sold out
41	LFT	Lument Finance Trust INC	—	NEW	New buy
42	OLN	Olin CORP	—	EXIT	Sold out
43	CVS	Cvs Health CORP	—	EXIT	Sold out
44	OAKSUSD	Hunt Companies Finance Trust	—	EXIT	Sold out
45	ENR	Energizer Holdings INC	—	NEW	New buy
46	AR	Antero Resources CORP	—	NEW	New buy
47	CIM	Chimera Investment Corporation	—	EXIT	Sold out
48	FANG	Diamondback Energy INC	—	NEW	New buy
49	9990302D	Apache CORP	—	NEW	New buy
50	LOW	Lowe's Cos INC	—	NEW	New buy