Ellington Management Group LLC — Q1 2021 13F Holdings

Name: Ellington Management Group LLC — 13F Holdings, Q1 2021
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	28.80%	-28.80%	EXIT
2	SPY	Ss Spdr S&p 500 ETF Trust-us	ETF-Large Cap & Growth	10.24%	-10.24%	EXIT
3	IWM	Ishares Russell 2000 ETF	ETF-Small Cap	8.97%	-8.97%	EXIT
4	QQQ	Invesco Qqq Trust Series 1	ETF-Tech	8.84%	-8.84%	EXIT
5	NBR 0.75 01-15-24	Nabors Industries INC	Stock-Other	6.85%	-6.85%	EXIT
6	DISH 2.375 03-15-24	Dish Network CORP	Stock-Other	4.63%	-4.63%	EXIT
7	PFF	Ishares Preferred & Income S	ETF-Other	2.55%	-2.55%	EXIT
8	AGNC	Agnc Investment CORP	Stock-Real Estate	2.36%	-2.36%	EXIT
9	XLE	Ss Energy Select Sector	ETF-Other	2.08%	-2.08%	EXIT
10	EFC	Ellington Financial INC	Stock-Other	1.68%	-1.68%	EXIT
11	MTG	Mgic Investment CORP	Stock-Financials	1.54%	-1.54%	EXIT
12	NLYEUR	Annaly Capital Management In	Stock-Other	0.95%	-0.95%	EXIT
13	ESNT	Essent Group Ltd.	Stock-Financials	0.70%	-0.70%	EXIT
14	ARES	Ares Management Corporation	Stock-Financials	0.62%	-0.62%	EXIT
15	✓	Vpc Impact Acqu Holdi Iii In	Stock-Other	0.61%	-0.61%	EXIT
16	✓	Vpc Impact Acquisition Hldg	Stock-Other	0.61%	-0.61%	EXIT
17	TDG	Transdigm Group INC	Stock-Industrials	0.54%	-0.54%	EXIT
18	RPT-PC	Rithm Property Trust Inc.	Stock-Other	0.54%	-0.54%	EXIT
19	PFSI	Pennymac Financial Services	Stock-Other	0.50%	-0.50%	EXIT
20	RC	Ready Capital CORP	Stock-Other	0.50%	-0.50%	EXIT
21	9EOA	Anzu Special Acquisition Cor	Stock-Other	0.49%	-0.49%	EXIT
22	AAL	American Airlines Group INC	Stock-Industrials	0.45%	-0.45%	EXIT
23	✓	Peridot Acquisition CORP Ii	Stock-Other	0.43%	-0.43%	EXIT
24	✓	Jack Creek Investment CORP	Stock-Other	0.43%	-0.43%	EXIT
25	07WA	Mr Cooper Group INC	Stock-Other	0.41%	-0.41%	EXIT
26	NYMTEUR	Adamas Trust INC	Stock-Other	0.32%	-0.32%	EXIT
27	KHC	Kraft Heinz Co/the	Stock-Consumer Staples	0.32%	-0.32%	EXIT
28	MFAUSD	Mfa Financial INC	Stock-Other	0.32%	-0.32%	EXIT
29	✓	G Squared Ascend I INC	Stock-Other	0.31%	-0.31%	EXIT
30	✓	Ejf Acquisition CORP	Stock-Other	0.31%	-0.31%	EXIT
31	✓	Mason Industrial Technolgy I	Stock-Other	0.31%	-0.31%	EXIT
32	EXPE	Expedia Group INC	Stock-Consumer Disc	0.31%	-0.31%	EXIT
33	CCL1EUR	Carnival CORP LTD	Stock-Consumer Disc	0.29%	-0.29%	EXIT
34	JWNUSD	Nordstrom INC	Stock-Other	0.26%	-0.26%	EXIT
35	ABR	Arbor Realty Trust INC	Stock-Real Estate	0.25%	-0.25%	EXIT
36	✓	Ftac Hera Acquisition CORP	Stock-Other	0.25%	-0.25%	EXIT
37	✓	Hudson Executive Inves Iii	Stock-Other	0.24%	-0.24%	EXIT
38	KMI	Kinder Morgan INC	Stock-Energy	0.24%	-0.24%	EXIT
39	✓		Stock-Other	0.24%	-0.24%	EXIT
40	WMC 6.75 10-01-22	Western Asset Mtge Cap	Stock-Other	0.23%	-0.23%	EXIT
41	✓	Independence Holdings CORP	Stock-Other	0.22%	-0.22%	EXIT
42	S9Q	Spirit Aerosystems Hold-cl A	Stock-Other	0.20%	-0.20%	EXIT
43	LUMN	Lumen Technologies INC	Stock-Comm Services	0.20%	-0.20%	EXIT
44	✓	Kismet Acquisition Three Cor	Stock-Other	0.20%	-0.20%	EXIT
45	✓	Arctos Northstar Acquis CORP	Stock-Other	0.18%	-0.18%	EXIT
46	✓	Dhc Acquisition CORP	Stock-Other	0.18%	-0.18%	EXIT
47	✓	THE Music Acquisition CORP	Stock-Other	0.18%	-0.18%	EXIT
48	✓	Kernel Group Holdings INC	Stock-Other	0.18%	-0.18%	EXIT
49	✓	Scion Tech Growth Ii	Stock-Other	0.18%	-0.18%	EXIT
50	✓	Golden Arrow Merger CORP	Stock-Other	0.18%	—	—

1–50 of 157

Holding changes this quarter

Position changes disclosed by Ellington Management Group LLC for the quarter ending Q1 2021, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	QQQ	Invesco Qqq Trust Series 1	+8.8%	+7.14%	Add
2	SPY	Ss Spdr S&p 500 ETF Trust-us	+7.9%	+740.00%	Add
3	XLE	Ss Energy Select Sector	+2.1%	+129.53%	Add
4	AGNC	Agnc Investment CORP	+1.7%	+519.71%	Add
5	DISH 2.375 03-15-24	Dish Network CORP	+0.5%	+118.19%	Add
6	DVN	Devon Energy CORP	-0.6%	-80.81%	Trim
7	DCH	Dauch Corporation	-0.7%	-73.68%	Trim
8	MFAUSD	Mfa Financial INC	-1.2%	-59.47%	Trim
9	AAL	American Airlines Group INC	-1.2%	-64.67%	Trim
10	NYMTEUR	Adamas Trust INC	-2%	-76.67%	Trim
11	PFSI	Pennymac Financial Services	-3.1%	-72.05%	Trim
12	NLYEUR	Annaly Capital Management In	-3.3%	-56.18%	Trim
13	NBR 0.75 01-15-24	Nabors Industries INC	-4.3%	-12.29%	Trim
14	HYG	Ishr Ibx Usd Hiyld Cb Etf-ui	-5.6%	+68.05%	Add
15	IWM	Ishares Russell 2000 ETF	—	NEW	New buy
16	TSLA	Tesla INC	—	EXIT	Sold out
17	PFF	Ishares Preferred & Income S	—	NEW	New buy
18	MTG	Mgic Investment CORP	—	NEW	New buy
19	XLF	Ss Financial Select Sector	—	EXIT	Sold out
20	CTLEUR	Centurylink INC	—	EXIT	Sold out
21	ESNT	Essent Group Ltd.	—	NEW	New buy
22	ARES	Ares Management Corporation	—	NEW	New buy
23	✓	Vpc Impact Acqu Holdi Iii In	—	NEW	New buy
24	✓	Vpc Impact Acquisition Hldg	—	NEW	New buy
25	TDG	Transdigm Group INC	—	NEW	New buy
26	LBEUR	L Brands INC	—	EXIT	Sold out
27	9EOA	Anzu Special Acquisition Cor	—	NEW	New buy
28	✓	Peridot Acquisition CORP Ii	—	NEW	New buy
29	✓	Jack Creek Investment CORP	—	NEW	New buy
30	RIG	Transocean Ltd.	—	EXIT	Sold out
31	URI	United Rentals INC	—	EXIT	Sold out
32	KHC	Kraft Heinz Co/the	—	NEW	New buy
33	✓	G Squared Ascend I INC	—	NEW	New buy
34	✓	Ejf Acquisition CORP	—	NEW	New buy
35	✓	Mason Industrial Technolgy I	—	NEW	New buy
36	CCL1EUR	Carnival CORP LTD	—	NEW	New buy
37	JWNUSD	Nordstrom INC	—	NEW	New buy
38	ABR	Arbor Realty Trust INC	—	NEW	New buy
39	✓	Ftac Hera Acquisition CORP	—	NEW	New buy
40	✓	Hudson Executive Inves Iii	—	NEW	New buy
41	KMI	Kinder Morgan INC	—	NEW	New buy
42	✓		—	NEW	New buy
43	BA	Boeing Co/the	—	EXIT	Sold out
44	✓	Independence Holdings CORP	—	NEW	New buy
45	PBI	Pitney Bowes INC	—	EXIT	Sold out
46	LUMN	Lumen Technologies INC	—	NEW	New buy
47	✓	Kismet Acquisition Three Cor	—	NEW	New buy
48	RITM	Rithm Capital CORP	—	EXIT	Sold out
49	TRTX	Tpg Re Finance Trust INC	—	EXIT	Sold out
50	✓	Dhc Acquisition CORP	—	NEW	New buy