Ellington Management Group LLC
- SEC CIK
- 0001098490
- Latest filing
- Aug 16, 2021
Holdings in Q1 2021
Holdings as of Mar 31, 2021, filed May 17, 2021. Long positions only.
- Positions
- 143
- No 13F data for Q4 2020
- Portfolio value
- $272.7M
- No 13F data for Q4 2020
Livermore's 13F data starts with Q1 2021, so this quarter has no previous quarter to compare with and changes are not shown.
| Security | Class | Shares | Value | % of portfolio | Share change | Action | History |
|---|---|---|---|---|---|---|---|
| Nabors Inds Inc New62957HAB1 | NOTE 0.750% 1/1 | – | $55.7M | 20.4% | – | – | – |
| DISH Network CORP25470MAD1 | NOTE 2.375% 3/1 | – | $37.7M | 13.8% | – | – | – |
| EFCEllington Financial Inc. | COM | 850,250 | $13.6M | 5.0% | – | – | History |
| AGNCAGNC Investment Corp. | REIT | 783,372 | $13.1M | 4.8% | – | – | History |
| ESNTEssent Group Ltd. | COM | 120,000 | $5.70M | 2.1% | – | – | History |
| MTGMgic Investment Corp | COM | 403,600 | $5.59M | 2.0% | – | – | History |
| Ares Acquisition CorporationG33032114 | UNIT 99/99/9999 | 500,000 | $5.00M | 1.8% | – | – | – |
| VPC Impact Acqu Holdi III IN91835J207 | UNIT 99/99/9999 | 500,000 | $4.93M | 1.8% | – | – | – |
| VPC Impact Acquisition HldgG9460L100 | UNIT 03/05/2026 | 500,000 | $4.93M | 1.8% | – | – | – |
| RPTRithm Property Trust Inc. | COM | 400,097 | $4.36M | 1.6% | – | – | History |
| PFSIPennyMac Financial Services, Inc. | COM | 61,343 | $4.10M | 1.5% | – | – | History |
| RCReady Capital Corp | COM | 301,200 | $4.04M | 1.5% | – | – | History |
| Anzu Special Acquisitin Corp03737A200 | UNIT 01/27/2026 | 399,700 | $3.99M | 1.5% | – | – | – |
| Peridot Acquisition Corp. IIG7008B113 | UNIT 99/99/9999 | 350,000 | $3.48M | 1.3% | – | – | – |
| Jack Creek Investment Corp.G4989X107 | UNIT 10/01/2023 | 350,000 | $3.47M | 1.3% | – | – | – |
| COOPMaverick Merger Sub 2, LLC | COM | 96,197 | $3.34M | 1.2% | – | – | History |
| Adamas Trust, Inc.649604501 | COM PAR $.02 | 583,426 | $2.61M | 1.0% | – | – | – |
| MFAMfa Financial, Inc. | COM | 629,231 | $2.56M | 0.9% | – | – | History |
| G Squared Ascend I IncG4204R125 | UNIT 99/99/9999 | 250,000 | $2.50M | 0.9% | – | – | – |
| EJF Acquisition Corp.G2955B117 | UNIT 03/10/2026 | 250,000 | $2.49M | 0.9% | – | – | – |
| Mason Industrial Technolgy I57520Y205 | UNIT 99/99/9999 | 250,000 | $2.48M | 0.9% | – | – | – |
| JWNNordstrom Inc | Stock | 56,121 | $2.13M | 0.8% | – | – | History |
| ABRArbor Realty Trust Inc | COM | 128,358 | $2.04M | 0.7% | – | – | History |
| FTAC Hera Acquisition Corp.G3728Y129 | UNIT 02/28/2026 | 200,000 | $2.00M | 0.7% | – | – | – |
| Hudson Executive Inves III44376L206 | UNIT 02/22/2026 | 200,000 | $1.98M | 0.7% | – | – | – |
| KMIKinder Morgan, Inc. | Stock | 119,000 | $1.98M | 0.7% | – | – | History |
| VAQCVector Acquisition Corp II | CL A SHS | 200,000 | $1.98M | 0.7% | – | – | History |
| Western Asset Mtg Cap Corp95790DAA3 | NOTE 6.750%10/0 | – | $1.88M | 0.7% | – | – | – |
| Independence Holdings CorpG4761A119 | UNIT 03/02/2026 | 180,000 | $1.80M | 0.7% | – | – | – |
| Kismet Acquisition Three CorG5276C128 | UNIT 99/99/9999 | 160,570 | $1.59M | 0.6% | – | – | – |
| Arctos Northstar Acquis CorpG0477L118 | UNIT 99/99/9999 | 150,000 | $1.50M | 0.5% | – | – | – |
| DHC Acquisition CorpG2758T125 | UNIT 02/25/2026 | 150,000 | $1.50M | 0.5% | – | – | – |
| The Music Acquisition Corp62752R209 | UNIT 99/99/9999 | 150,000 | $1.50M | 0.5% | – | – | – |
| Kernel Group Holdings, Inc.G5259L111 | UNIT 99/99/9999 | 150,000 | $1.50M | 0.5% | – | – | – |
| ScION Tech Growth IIG31070124 | UNIT 99/99/9999 | 150,000 | $1.49M | 0.5% | – | – | – |
| Golden Arrow Merger Corp380799205 | UNIT 07/31/2026 | 150,000 | $1.49M | 0.5% | – | – | – |
| TCW Special Purpose Acqu Cor87301L205 | UNIT 99/99/9999 | 150,000 | $1.49M | 0.5% | – | – | – |
| Tailwind Internatnal Acq CorG8662F127 | UNIT 99/99/9999 | 150,000 | $1.48M | 0.5% | – | – | – |
| African Gold Acquisition CorG0112R116 | UNIT 99/99/9999 | 150,000 | $1.48M | 0.5% | – | – | – |
| Fintech Evolution Acquis GroG3R19A112 | UNIT 99/99/9999 | 150,000 | $1.48M | 0.5% | – | – | – |
| Hudson Executive Invs Corp I443760202 | UNIT 01/31/2027 | 150,000 | $1.47M | 0.5% | – | – | – |
| Pennymac Corp70932AAD5 | NOTE 5.500%11/0 | – | $1.24M | 0.5% | – | – | – |
| Kismet Acquisition Two CorpG52807123 | UNIT 99/99/9999 | 123,100 | $1.22M | 0.4% | – | – | – |
| KKellanova | Stock | 17,317 | $1.10M | 0.4% | – | – | History |
| CHTRCharter Communications, Inc. | CL A | 1,706 | $1.05M | 0.4% | – | – | History |
| APAAPA Corp | Stock | 56,893 | $1.02M | 0.4% | – | – | History |
| Soaring Eagle Acquisition CoG8354H100 | UNIT 02/23/2026 | 100,000 | $1.01M | 0.4% | – | – | – |
| Spartan Acquisition Corp. III84677R205 | UNIT 99/99/9999 | 100,000 | $1.00M | 0.4% | – | – | – |
| Live Oak Mobility Acquisi Co538126202 | UNIT 03/01/2028 | 100,000 | $998.0K | 0.4% | – | – | – |
| SunPower Inc.G3663X102 | UNIT 99/99/9999 | 100,000 | $998.0K | 0.4% | – | – | – |
| Arrowroot Acquisition Corp04282M201 | UNIT 01/29/2026 | 100,000 | $995.0K | 0.4% | – | – | – |
| Mission Advancement Corp60501L200 | UNIT 99/99/9999 | 100,000 | $995.0K | 0.4% | – | – | – |
| Corazon Capital V838 MonocerG24237110 | UNIT 03/24/2026 | 100,000 | $995.0K | 0.4% | – | – | – |
| Haymaker Acquisition Corp II42087R207 | UNIT 03/01/2026 | 100,000 | $994.0K | 0.4% | – | – | – |
| Esm Acquisition CorporationG3195H120 | UNIT 99/99/9999 | 100,000 | $994.0K | 0.4% | – | – | – |
| POWRUPowered Brands | UNIT 99/99/9999 | 100,000 | $992.0K | 0.4% | – | – | History |
| Silverbox Engaged Merger Co82836L200 | UNIT 03/31/2028 | 100,000 | $991.0K | 0.4% | – | – | – |
| Leo Holdings III CorpG5463T116 | UNIT 99/99/9999 | 100,000 | $980.0K | 0.4% | – | – | – |
| Velocity Acquisition Corp92259E203 | UNIT 99/99/9999 | 95,000 | $937.0K | 0.3% | – | – | – |
| Cartesian Growth CorpG19276123 | UNIT 02/26/2028 | 92,000 | $915.0K | 0.3% | – | – | – |
| NBRNabors Industries Ltd | SHS | 9,327 | $872.0K | 0.3% | – | – | History |
| PFEPfizer Inc | Stock | 22,536 | $816.0K | 0.3% | – | – | History |
| Slam Corp.G8210L113 | UNIT 99/99/9999 | 80,000 | $794.0K | 0.3% | – | – | – |
| Priveterra Acquisition Corp74275N201 | UNIT 99/99/9999 | 75,000 | $745.0K | 0.3% | – | – | – |
| RWTRedwood Trust Inc | COM | 70,710 | $736.0K | 0.3% | – | – | History |
| Pathfinder Acquisition CorpG04119114 | UNIT 02/17/2026 | 74,187 | $734.0K | 0.3% | – | – | – |
| BDXBecton Dickinson & Co | Stock | 2,922 | $710.0K | 0.3% | – | – | History |
| DVNDevon Energy Corp | Stock | 32,187 | $703.0K | 0.3% | – | – | History |
| Austerlitz Acquisition CorpG0633D117 | UNIT 99/99/9999 | 70,000 | $703.0K | 0.3% | – | – | – |
| Gores Hldgs VIII Inc382863207 | UNIT 02/01/2028 | 70,000 | $700.0K | 0.3% | – | – | – |
| Orion Acquisition Corp68626A207 | UNIT 02/19/2026 | 70,000 | $700.0K | 0.3% | – | – | – |
| Gores Technology Partners II38287L206 | UNIT 03/16/2028 | 70,000 | $699.0K | 0.3% | – | – | – |
| Gores Holdings VII Inc38286T200 | UNIT 02/12/2028 | 70,000 | $697.0K | 0.3% | – | – | – |
| Centricus Acquisition CorpG2072Q112 | UNIT 02/08/2028 | 70,000 | $696.0K | 0.3% | – | – | – |
| LFTLument Finance Trust, Inc. | COM | 181,858 | $642.0K | 0.2% | – | – | History |
| TZP Strategies Acquistn CorpG91595127 | UNIT 01/06/2026 | 63,327 | $631.0K | 0.2% | – | – | – |
| Z-Work Acquisition Corp98880C201 | UNIT 99/99/9999 | 61,786 | $615.0K | 0.2% | – | – | – |
| Colicity Inc194170205 | UNIT 02/24/2026 | 60,000 | $606.0K | 0.2% | – | – | – |
| One Equity Partners Open WTR68237L204 | UNIT 01/14/2026 | 60,000 | $598.0K | 0.2% | – | – | – |
| GPMTGranite Point Mortgage Trust Inc. | COM STK | 46,991 | $562.0K | 0.2% | – | – | History |
| Lazard Growth Acquisition CoG54035129 | UNIT 99/99/9999 | 55,000 | $550.0K | 0.2% | – | – | – |
| Blueriver Acquisition CorpG1261Q123 | UNIT 01/04/2026 | 55,000 | $548.0K | 0.2% | – | – | – |
| Aurora Acquisition CorpG0698L111 | UNIT 03/02/2026 | 50,000 | $517.0K | 0.2% | – | – | – |
| JWSUFJaws Mustang Acquisition Corp | UNIT 99/99/9999 | 50,000 | $508.0K | 0.2% | – | – | History |
| Broadscale Acquisition Corp11134Y200 | UNIT 02/02/2026 | 51,000 | $505.0K | 0.2% | – | – | – |
| Power & Digital Infra Acq Co739190205 | UNIT 99/99/9999 | 50,000 | $503.0K | 0.2% | – | – | – |
| Advanced Merger Partners Inc00777J208 | UNIT 99/99/9999 | 50,000 | $500.0K | 0.2% | – | – | – |
| First Reserve Sustainable GW336169206 | UNIT 03/05/2026 | 50,000 | $500.0K | 0.2% | – | – | – |
| Tishman Speyer Innovation Co88825H209 | UNIT 02/11/2026 | 50,000 | $500.0K | 0.2% | – | – | – |
| Churchill Capital Corp VII17144M201 | UNIT 99/99/9999 | 50,000 | $499.0K | 0.2% | – | – | – |
| Clarim Acquisition Corp18049C207 | UNIT 99/99/9999 | 50,000 | $498.0K | 0.2% | – | – | – |
| Social Leverage Acquisn Corp83363K201 | UNIT 99/99/9999 | 50,000 | $498.0K | 0.2% | – | – | – |
| Sustainable Develp Acqu I Co86934L202 | UNIT 02/04/2026 | 50,000 | $498.0K | 0.2% | – | – | – |
| Catcha Investment CorpG1962Y128 | UNIT 99/99/9999 | 50,000 | $498.0K | 0.2% | – | – | – |
| North Atlantic Acquisitn CorG66139117 | UNIT 10/20/2025 | 50,000 | $498.0K | 0.2% | – | – | – |
| RMG Acquisition Corp IIIG76088114 | UNIT 02/08/2026 | 50,000 | $498.0K | 0.2% | – | – | – |
| Fusion Acquisition Corp. II36118N201 | UNIT 02/29/2028 | 50,000 | $497.0K | 0.2% | – | – | – |
| Crown PropTech AcquisitionsG25741128 | UNIT 99/99/9999 | 50,000 | $497.0K | 0.2% | – | – | – |
| Silver Crest Acquisition CorG81355110 | UNIT 12/15/2025 | 50,000 | $497.0K | 0.2% | – | – | – |
| DHB Capital Corp23291W208 | UNIT 03/31/2028 | 50,000 | $496.0K | 0.2% | – | – | – |
Options (17)
Puts and calls in the same filing. Amounts are the market value of the underlying shares, which is what 13F reports.
| Security | Class | Puts | Calls |
|---|---|---|---|
| iShares Tr464288513 | IBOXX HI YD ETF | $234.0M | – |
| SPYSPDR S&P 500 ETF Trust | ETF | $71.3M | $11.9M |
| iShares Russell 2000 ETF464287655 | ETF | – | $72.9M |
| Invesco QQQ Trust Series I46090E103 | ETF | $71.8M | – |
| iShares Tr464288687 | PFD AND INCM SEC | $20.7M | – |
| State Street Energy Select Sector SPDR ETF81369Y506 | ETF | – | $16.9M |
| NLYAnnaly Capital Management Inc | COM | $7.74M | – |
| MTGMgic Investment Corp | COM | $6.92M | – |
| AGNCAGNC Investment Corp. | REIT | $6.03M | – |
| TDGTransDigm Group INC | COM | – | $4.41M |
| AALAmerican Airlines Group Inc. | Stock | $3.66M | – |
| KHCKraft Heinz Co | Stock | – | $2.60M |
| EXPEExpedia Group, Inc. | Stock | $2.32M | – |
| CCLCarnival Corp Ltd. | UNIT 99/99/9999 | – | $2.32M |
| SPRSpirit AeroSystems Holdings, Inc. | COM CL A | $1.60M | – |
| LUMNLumen Technologies, Inc. | Stock | – | $1.60M |
| DCHDauch Corp | COM | – | $1.06M |