ELLINGTON MANAGEMENT GROUP LLC [Rocket]

Holdings

ELLINGTON MANAGEMENT GROUP LLC

Changes: All | New | Increased | Decreased | Sold Out

Portfolio as of:

Name	Ticker	Class	Shares	Change	Value	Change	% Port	% OS	Hist	Date
iSHARES TRUST	HYG	OPTION	1,220,100	-1,463,700	107,418,000	-126,556,000	15.90		Hist	06/30/2021
AMC ENTERTAINMENT HOLDINGS, INC.	AMC	CL A COM	1,225,000	1,225,000	69,433,000	69,433,000	10.28		Hist	06/30/2021
AVIS BUDGET GROUP, INC.	CAR	PUT	315,400	315,400	24,566,000	24,566,000	3.64		Hist	06/30/2021
INVESCO QQQ TRUST, SERIES 1	QQQ	UNIT SER 1	65,000	-160,000	23,038,000	-48,766,000	3.41		Hist	06/30/2021
SPDR SERIES TRUST SANDP REGL BKG	KRE	OPTION	338,000	338,000	22,150,000	22,150,000	3.28		Hist	06/30/2021
iSHARES TRUST	PFF	OPTIONS	540,000	0	21,241,000	505,000	3.14		Hist	06/30/2021
Rithm Capital Corp.	NRZ	COM NEW	1,759,306	1,759,306	18,631,000	18,631,000	2.76	0.38	Hist	06/30/2021
Ellington Financial Inc.	EFC	Common	850,887	637	16,294,000	2,671,000	2.41	1.94	Hist	06/30/2021
iSHARES TRUST	IWM	Put	70,000	70,000	16,056,000	16,056,000	2.38		Hist	06/30/2021
SPDR S&P 500 ETF TRUST	SPY	UNIT SER 1	32,000	-148,000	13,698,000	-57,642,000	2.03		Hist	06/30/2021
COOPERATIVE BANKSHARES INC	COOP	Stock	393,763	297,566	13,018,000	9,674,000	1.93		Hist	06/30/2021
iSHARES TRUST	HYG	Common	132,076	132,076	11,628,000	11,628,000	1.72		Hist	06/30/2021
PennyMac Financial Services, Inc.	PFSI	COM	187,278	125,935	11,559,000	7,457,000	1.71	0.28	Hist	06/30/2021
MFA FINANCIAL, INC.	MFA	Common	1,411,968	782,737	6,481,000	3,920,000	0.96	0.32	Hist	06/30/2021
KOHLS Corp	KSS	Common	109,995	109,995	6,062,000	6,062,000	0.90	0.07	Hist	06/30/2021
Paramount Global	CBS	Common	132,172	132,172	5,974,000	5,974,000	0.88		Hist	06/30/2021
NEWS CORP	NWSA	CL A	213,500	213,500	5,502,000	5,502,000	0.81		Hist	06/30/2021
Great Ajax Corp.	AJX	COM	391,699	-8,398	5,084,000	723,000	0.75	1.70	Hist	06/30/2021
VPC Impact Acquisition Holdings II	VPCBU	UNIT 03/05/2026	500,000	0	5,023,000	93,000	0.74		Hist	06/30/2021
BORGWARNER INC	BWA	CALL	101,000	101,000	4,903,000	4,903,000	0.73		Hist	06/30/2021
LEAR CORP	LEA	COM NEW	27,528	27,528	4,825,000	4,825,000	0.71	0.05	Hist	06/30/2021
NORDSTROM INC	JWN	Common	110,714	54,593	4,049,000	1,924,000	0.60	0.07	Hist	06/30/2021
Anzu Special Acquisition Corp I	ANZUU	Unit	399,700	399,700	3,997,000	3,997,000	0.59		Hist	06/30/2021
KING LLC MERGER SUB, LLC	CTAC	Common	400,000	400,000	3,972,000	3,972,000	0.59	1.20	Hist	06/30/2021
COTY INC.	COTY	COM CL A	380,000	380,000	3,549,000	3,549,000	0.53		Hist	06/30/2021
Jack Creek Investment Corp.	JCICU	UNIT 10/01/2023	350,000	0	3,518,000	49,000	0.52		Hist	06/30/2021
Peridot Acquisition Corp. II	PDOT/U	Common	350,000	0	3,497,000	18,000	0.52		Hist	06/30/2021
FORD MOTOR CO	F	COM PAR $0.01	232,500	232,500	3,455,000	3,455,000	0.51		Hist	06/30/2021
Redfin Corp	RDFN	Call	50,000	50,000	3,171,000	3,171,000	0.47		Hist	06/30/2021
SSGA FUNDS MANAGEMENT INC	XLF	Put	85,000	85,000	3,119,000	3,119,000	0.46		Hist	06/30/2021
CAMPBELL SOUP CO	CPB	Common	64,700	64,700	2,950,000	2,950,000	0.44	0.02	Hist	06/30/2021
HERBALIFE LTD.	HLF	PUT	50,000	50,000	2,637,000	2,637,000	0.39		Hist	06/30/2021
PITNEY BOWES INC /DE/	PBI	COM	300,000	300,000	2,631,000	2,631,000	0.39		Hist	06/30/2021
LEAR CORP	LEA	CALL	15,000	15,000	2,629,000	2,629,000	0.39		Hist	06/30/2021
Mason Industrial Technology, Inc.	MIT/U	Common	250,000	0	2,518,000	33,000	0.37		Hist	06/30/2021
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