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Livermore
Livermore
ZHEN

Ellington Management Group LLC

SEC CIK
0001098490
Latest filing
Aug 16, 2021

Holdings in Q2 2021

Holdings as of Jun 30, 2021, filed Aug 16, 2021. Long positions only; changes compare share counts with Q1 2021.

Institution overview
Positions
150
+7 vs. Q1 2021
Portfolio value
$331.9M
+$59.2M (+21.7%) vs. Q1 2021
Filed
Aug 16, 2021
SEC
Holdings of Ellington Management Group LLC in Q2 2021
SecurityClassSharesValue% of portfolioShare changeActionHistory
Nabors Inds Inc New62957HAB1NOTE 0.750% 1/1–$49.5M14.9%–––
DISH Network CORP25470MAD1NOTE 2.375% 3/1–$44.3M13.4%–––
RITMRithm Capital Corp.REIT1,759,306$18.6M5.6%+1,759,306NewHistory
EFCEllington Financial Inc.COM850,887$16.3M4.9%+637+0.1%AddedHistory
COOPMaverick Merger Sub 2, LLCCOM393,763$13.0M3.9%+297,566+309.3%AddedHistory
iShares Tr464288513IBOXX HI YD ETF132,076$11.6M3.5%+132,076New–
PFSIPennyMac Financial Services, Inc.COM187,278$11.6M3.5%+125,935+205.3%AddedHistory
MFAMfa Financial, Inc.COM1,411,968$6.48M2.0%+782,737+124.4%AddedHistory
KSSKOHLS CorpStock109,995$6.06M1.8%+109,995NewHistory
Paramount Global92556H206CL B132,172$5.97M1.8%+132,172New–
RPTRithm Property Trust Inc.COM391,699$5.08M1.5%−8,398−2.1%ReducedHistory
VPC Impact Acquisition HldgG9460L100UNIT 03/05/2026500,000$5.02M1.5%00.0%Unchanged–
Ares Acquisition CorporationG33032114UNIT 99/99/9999500,000$5.00M1.5%00.0%Unchanged–
LEALear CorpCOM NEW27,528$4.83M1.5%+27,528NewHistory
JWNNordstrom IncStock110,714$4.05M1.2%+54,593+97.3%AddedHistory
Anzu Special Acquisitin Corp03737A200UNIT 01/27/2026399,700$4.00M1.2%00.0%Unchanged–
CTACKing LLC Merger Sub, LLCSHS CL A400,000$3.97M1.2%+400,000NewHistory
Jack Creek Investment Corp.G4989X107UNIT 10/01/2023350,000$3.52M1.1%00.0%Unchanged–
Peridot Acquisition Corp. IIG7008B113UNIT 99/99/9999350,000$3.50M1.1%00.0%Unchanged–
CPBCAMPBELL'S CoCOM64,700$2.95M0.9%+64,700NewHistory
Mason Industrial Technolgy I57520Y205UNIT 99/99/9999250,000$2.52M0.8%00.0%Unchanged–
G Squared Ascend I IncG4204R125UNIT 99/99/9999250,000$2.51M0.8%00.0%Unchanged–
EJF Acquisition Corp.G2955B117UNIT 03/10/2026250,000$2.50M0.8%00.0%Unchanged–
RCReady Capital CorpCOM138,745$2.20M0.7%−162,455−53.9%ReducedHistory
KMIKinder Morgan, Inc.Stock119,000$2.17M0.7%00.0%UnchangedHistory
CAGConagra Brands Inc.Stock55,779$2.03M0.6%+55,779NewHistory
FTAC Hera Acquisition Corp.G3728Y129UNIT 02/28/2026200,000$2.01M0.6%00.0%Unchanged–
Hudson Executive Inves III44376L206UNIT 02/22/2026200,000$2.00M0.6%00.0%Unchanged–
VAQCVector Acquisition Corp IICL A SHS200,000$1.99M0.6%00.0%UnchangedHistory
WYNNWynn Resorts LtdCOM15,792$1.93M0.6%+12,983+462.2%AddedHistory
HASHasbro, Inc.COM20,318$1.92M0.6%+20,318NewHistory
Western Asset Mtg Cap Corp95790DAA3NOTE 6.750%10/0–$1.90M0.6%–––
NBRNabors Industries LtdSHS16,360$1.87M0.6%+7,033+75.4%AddedHistory
Independence Holdings CorpG4761A119UNIT 03/02/2026180,000$1.80M0.5%00.0%Unchanged–
GMGeneral Motors CoCOM28,519$1.69M0.5%+28,519NewHistory
Kismet Acquisition Three CorG5276C128UNIT 99/99/9999160,570$1.60M0.5%00.0%Unchanged–
Kernel Group Holdings, Inc.G5259L111UNIT 99/99/9999150,000$1.53M0.5%00.0%Unchanged–
The Music Acquisition Corp62752R209UNIT 99/99/9999150,000$1.53M0.5%00.0%Unchanged–
African Gold Acquisition CorG0112R116UNIT 99/99/9999150,000$1.52M0.5%00.0%Unchanged–
DHC Acquisition CorpG2758T125UNIT 02/25/2026150,000$1.51M0.5%00.0%Unchanged–
Arctos Northstar Acquis CorpG0477L118UNIT 99/99/9999150,000$1.50M0.5%00.0%Unchanged–
Tailwind Internatnal Acq CorG8662F127UNIT 99/99/9999150,000$1.50M0.5%00.0%Unchanged–
Fintech Evolution Acquis GroG3R19A112UNIT 99/99/9999150,000$1.50M0.5%00.0%Unchanged–
TCW Special Purpose Acqu Cor87301L205UNIT 99/99/9999150,000$1.50M0.5%00.0%Unchanged–
KRKroger CoStock39,000$1.49M0.5%+39,000NewHistory
Hudson Executive Invs Corp I443760202UNIT 01/31/2027150,000$1.49M0.5%00.0%Unchanged–
Golden Arrow Merger Corp380799205UNIT 07/31/2026150,000$1.49M0.4%00.0%Unchanged–
ScION Tech Growth IIG31070124UNIT 99/99/9999150,000$1.49M0.4%00.0%Unchanged–
ORCOrchid Island Capital, Inc.COM284,925$1.48M0.4%+284,925NewHistory
Adamas Trust, Inc.649604501COM PAR $.02323,426$1.45M0.4%−260,000−44.6%Reduced–
Pennymac Corp70932AAD5NOTE 5.500%11/0–$1.27M0.4%–––
EARNEllington Credit CoCOM SHS BEN INT106,472$1.25M0.4%+106,472NewHistory
APAAPA CorpStock57,198$1.24M0.4%+305+0.5%AddedHistory
Kismet Acquisition Two CorpG52807123UNIT 99/99/9999123,100$1.22M0.4%00.0%Unchanged–
EQTEQT CorpStock53,472$1.19M0.4%+53,472NewHistory
Leo Holdings III CorpG5463T116UNIT 99/99/9999100,000$1.01M0.3%00.0%Unchanged–
Austerlitz Acquisition CorpG0633U119UNIT 99/99/9999100,000$1.01M0.3%+100,000New–
Spartan Acquisition Corp. III84677R205UNIT 99/99/9999100,000$1.01M0.3%00.0%Unchanged–
Live Oak Mobility Acquisi Co538126202UNIT 03/01/2028100,000$1.00M0.3%00.0%Unchanged–
Arrowroot Acquisition Corp04282M201UNIT 01/29/2026100,000$1.00M0.3%00.0%Unchanged–
Haymaker Acquisition Corp II42087R207UNIT 03/01/2026100,000$1.00M0.3%00.0%Unchanged–
POWRUPowered BrandsUNIT 99/99/9999100,000$1.00M0.3%00.0%UnchangedHistory
Silverbox Engaged Merger Co82836L200UNIT 03/31/2028100,000$1.00M0.3%00.0%Unchanged–
Corazon Capital V838 MonocerG24237110UNIT 03/24/2026100,000$1.00M0.3%00.0%Unchanged–
Esm Acquisition CorporationG3195H120UNIT 99/99/9999100,000$1.00M0.3%00.0%Unchanged–
Mission Advancement Corp60501L200UNIT 99/99/9999100,000$999.0K0.3%00.0%Unchanged–
SunPower Inc.G3663X102UNIT 99/99/9999100,000$998.0K0.3%00.0%Unchanged–
Velocity Acquisition Corp92259E203UNIT 99/99/999995,000$945.0K0.3%00.0%Unchanged–
Cartesian Growth CorpG19276123UNIT 02/26/202892,000$918.0K0.3%00.0%Unchanged–
State Street Financial Select Sector SPDR ETF81369Y605ETF25,000$917.0K0.3%+25,000New–
LUMNLumen Technologies, Inc.Stock65,965$896.0K0.3%+65,965NewHistory
XUnited States Steel CorpCOM36,359$873.0K0.3%+36,359NewHistory
Slam Corp.G8210L113UNIT 99/99/999980,000$798.0K0.2%00.0%Unchanged–
Priveterra Acquisition Corp74275N201UNIT 99/99/999975,000$747.0K0.2%00.0%Unchanged–
Pathfinder Acquisition CorpG04119114UNIT 02/17/202674,187$737.0K0.2%00.0%Unchanged–
Gores Technology Partners II38287L206UNIT 03/16/202870,000$723.0K0.2%00.0%Unchanged–
Centricus Acquisition CorpG2072Q112UNIT 02/08/202870,000$717.0K0.2%00.0%Unchanged–
Gores Holdings VII Inc38286T200UNIT 02/12/202870,000$704.0K0.2%00.0%Unchanged–
Gores Hldgs VIII Inc382863207UNIT 02/01/202870,000$699.0K0.2%00.0%Unchanged–
Orion Acquisition Corp68626A207UNIT 02/19/202670,000$694.0K0.2%00.0%Unchanged–
CYHCommunity Health Systems IncCOM44,560$688.0K0.2%+44,560NewHistory
QVCGAOld QVC Group, Inc.COM SER A48,088$629.0K0.2%+48,088NewHistory
TZP Strategies Acquistn CorpG91595127UNIT 01/06/202663,327$629.0K0.2%00.0%Unchanged–
Z-Work Acquisition Corp98880C201UNIT 99/99/999961,786$618.0K0.2%00.0%Unchanged–
Colicity Inc194170205UNIT 02/24/202660,000$604.0K0.2%00.0%Unchanged–
One Equity Partners Open WTR68237L204UNIT 01/14/202660,000$600.0K0.2%00.0%Unchanged–
DHCDiversified Healthcare TrustCOM SH BEN INT137,619$575.0K0.2%+137,619NewHistory
Blueriver Acquisition CorpG1261Q123UNIT 01/04/202655,000$551.0K0.2%00.0%Unchanged–
Lazard Growth Acquisition CoG54035129UNIT 99/99/999955,000$549.0K0.2%00.0%Unchanged–
HOUSAnywhere Real Estate Inc.COM29,208$532.0K0.2%+29,208NewHistory
Broadscale Acquisition Corp11134Y200UNIT 02/02/202651,000$510.0K0.2%00.0%Unchanged–
Sustainable Develp Acqu I Co86934L202UNIT 02/04/202650,000$509.0K0.2%00.0%Unchanged–
Power & Digital Infra Acq Co739190205UNIT 99/99/999950,000$505.0K0.2%00.0%Unchanged–
Tishman Speyer Innovation Co88825H209UNIT 02/11/202650,000$504.0K0.2%00.0%Unchanged–
JWSUFJaws Mustang Acquisition CorpUNIT 99/99/999950,000$503.0K0.2%00.0%UnchangedHistory
North Atlantic Acquisitn CorG66139117UNIT 10/20/202550,000$502.0K0.2%00.0%Unchanged–
Silver Crest Acquisition CorG81355110UNIT 12/15/202550,000$502.0K0.2%00.0%Unchanged–
Churchill Capital Corp VII17144M201UNIT 99/99/999950,000$501.0K0.2%00.0%Unchanged–
Advanced Merger Partners Inc00777J208UNIT 99/99/999950,000$500.0K0.2%00.0%Unchanged–
DHB Capital Corp23291W208UNIT 03/31/202850,000$500.0K0.2%00.0%Unchanged–

Options (24)

Puts and calls in the same filing. Amounts are the market value of the underlying shares, which is what 13F reports.

Option positions of Ellington Management Group LLC in Q2 2021
SecurityClassPutsCalls
iShares Tr464288513IBOXX HI YD ETF$107.4M–
AMCAMC Entertainment Holdings, Inc.CL A COM$69.4M–
CARAvis Budget Group, Inc.COM$24.6M–
Invesco QQQ Trust Series I46090E103ETF$23.0M–
State Street SPDR S&P Regional Banking ETF78464A698ETF$22.1M–
iShares Tr464288687PFD AND INCM SEC$21.2M–
iShares Russell 2000 ETF464287655ETF$16.1M–
SPYSPDR S&P 500 ETF TrustETF$13.7M–
FFord Motor CoStock$2.23M$3.46M
NWSANews CorpCL A$5.50M–
BWABorgwarner IncCOM–$4.90M
COTYCoty Inc.COM CL A$3.55M–
RDFNRedfin CorpCOM–$3.17M
State Street Financial Select Sector SPDR ETF81369Y605ETF$3.12M–
GELGenesis Energy LPUNIT LTD PARTN$581.0K$2.21M
HLFHerbalife Ltd.COM SHS$2.64M–
PBIPitney Bowes IncCOM$2.63M–
LEALear CorpCOM NEW–$2.63M
DISHDISH Network CORPCL A$2.47M–
KSSKOHLS CorpStock–$2.07M
BHCBausch Health Companies Inc.Stock–$1.76M
TWITitan International IncCOM$1.25M–
DCHDauch CorpCOM–$1.14M
AMCXAMC Global Media Inc.CL A–$802.0K

Sold out since Q1 2021 (20)

Positions held at the end of Q1 2021 that are gone from this filing.

Positions of Ellington Management Group LLC sold out since Q1 2021
SecurityClassShares in Q1 2021Value in Q1 2021% of portfolio in Q1 2021History
AGNCAGNC Investment Corp.REIT783,372$13.1M4.8%History
ESNTEssent Group Ltd.COM120,000$5.70M2.1%History
MTGMgic Investment CorpCOM403,600$5.59M2.0%History
VPC Impact Acqu Holdi III IN91835J207UNIT 99/99/9999500,000$4.93M1.8%–
ABRArbor Realty Trust IncCOM128,358$2.04M0.7%History
KKellanovaStock17,317$1.10M0.4%History
CHTRCharter Communications, Inc.CL A1,706$1.05M0.4%History
Soaring Eagle Acquisition CoG8354H100UNIT 02/23/2026100,000$1.01M0.4%–
PFEPfizer IncStock22,536$816.0K0.3%History
RWTRedwood Trust IncCOM70,710$736.0K0.3%History
BDXBecton Dickinson & CoStock2,922$710.0K0.3%History
DVNDevon Energy CorpStock32,187$703.0K0.3%History
Austerlitz Acquisition CorpG0633D117UNIT 99/99/999970,000$703.0K0.3%–
LFTLument Finance Trust, Inc.COM181,858$642.0K0.2%History
GPMTGranite Point Mortgage Trust Inc.COM STK46,991$562.0K0.2%History
Aurora Acquisition CorpG0698L111UNIT 03/02/202650,000$517.0K0.2%–
MSFTMicrosoft CorpStock2,048$483.0K0.2%History
Rotor Acquisition Corp77879W204UNIT 06/15/202740,713$408.0K0.1%–
AAPLApple Inc.Stock1,876$229.0K0.1%History
EXPEExpedia Group, Inc.Stock900$155.0K0.1%History