-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, AmlwqBsbRBrWySv1wgOag+G5IpWmgtjk1kpmQ4uqhOEL6hRLp+td72FIoQdgsrvU uB9tLyMdDS5sE8+XQdqc4w== 0001085146-09-003129.txt : 20090806 0001085146-09-003129.hdr.sgml : 20090806 20090806071226 ACCESSION NUMBER: 0001085146-09-003129 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20090630 FILED AS OF DATE: 20090806 DATE AS OF CHANGE: 20090806 EFFECTIVENESS DATE: 20090806 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELLINGTON MANAGEMENT GROUP LLC CENTRAL INDEX KEY: 0001098490 IRS NUMBER: 061441140 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11539 FILM NUMBER: 09989863 BUSINESS ADDRESS: STREET 1: 53 FOREST AVENUE STREET 2: 2ND FLOOR CITY: OLD GREENWICH STATE: CT ZIP: 06870 BUSINESS PHONE: 2036981136 MAIL ADDRESS: STREET 1: 53 FOREST AVENUE STREET 2: 2ND FLOOR CITY: OLD GREENWICH STATE: CT ZIP: 06870 13F-HR 1 emg2q09.txt ELLINGTON MANAGEMENT GROUP LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2009 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Ellington Management Group, LLC Address: 53 Forest Avenue Old Greenwich, CT 06870 13F File Number: 28-11539 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: David Rice Title: Chief Compliance Officer Phone: 203-698-1200 Signature, Place, and Date of Signing: /s/ David Rice Greenwich, CT August 05, 2009 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form13F Information Table Entry Total: 60 Form13F Information Table Value Total: $20,115 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- ADVANCED MICRO DEVICES INC NOTE 6.000% 5/0 007903AL1 342 718000 PRN SOLE 718000 0 0 ALLIANCE ONE INTL INC COM 018772103 62 16200 SH SOLE 16200 0 0 AMERICAN EXPRESS CO COM 025816109 232 10000 SH SOLE 10000 0 0 AMERICAN GREETINGS CORP CL A 026375105 178 15200 SH SOLE 15200 0 0 CALPINE CORP COM NEW 131347304 446 40000 SH SOLE 40000 0 0 CHINA MED TECHNOLOGIES INC NOTE 4.000% 8/1 169483AC8 255 400000 PRN SOLE 400000 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 282 400000 PRN SOLE 400000 0 0 CONOCOPHILLIPS COM 20825C104 526 12500 SH SOLE 12500 0 0 CONOCOPHILLIPS COM 20825C104 40 5000000 SH CALL SOLE 5000000 0 0 DECKERS OUTDOOR CORP COM 243537107 296 4200 SH SOLE 4200 0 0 DEL MONTE FOODS CO COM 24522P103 211 22500 SH SOLE 22500 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 410 600000 PRN SOLE 600000 0 0 DONNELLEY R R & SONS CO COM 257867101 119 10200 SH SOLE 10200 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 472 500000 PRN SOLE 500000 0 0 EPICOR SOFTWARE CORP NOTE 2.375% 5/1 29426LAA6 336 500000 PRN SOLE 500000 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 538 505000 PRN SOLE 505000 0 0 EVERGREEN SOLAR INC NOTE 4.000% 7/1 30033RAC2 212 500000 PRN SOLE 500000 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 467 500000 PRN SOLE 500000 0 0 FORTUNE BRANDS INC COM 349631101 608 17500 SH SOLE 17500 0 0 GANNETT INC COM 364730101 54 15100 SH SOLE 15100 0 0 GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 225 500000 PRN SOLE 500000 0 0 GOODRICH PETE CORP NOTE 3.250%12/0 382410AB4 333 400000 PRN SOLE 400000 0 0 GSI COMMERCE INC NOTE 2.500% 6/0 36238GAD4 479 650000 PRN SOLE 650000 0 0 HAWAIIAN HOLDINGS INC COM 419879101 190 31500 SH SOLE 31500 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 149 13700 SH SOLE 13700 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 130 115000 PRN SOLE 115000 0 0 INLAND REAL ESTATE CORP NOTE 4.625%11/1 457461AB7 123 150000 PRN SOLE 150000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 523 500000 PRN SOLE 500000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AG6 521 500000 PRN SOLE 500000 0 0 LA Z BOY INC COM 505336107 155 32900 SH SOLE 32900 0 0 LINCARE HLDGS INC NOTE 2.750%11/0 532791AF7 762 1000000 PRN SOLE 1000000 0 0 MARVEL ENTERTAINMENT INC COM 57383T103 203 5700 SH SOLE 5700 0 0 MASTERCARD INC CL A 57636Q104 335 2000 SH SOLE 2000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 378 500000 PRN SOLE 500000 0 0 MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 878 1500000 PRN SOLE 1500000 0 0 MICROSOFT CORP COM 594918104 594 25000 SH SOLE 25000 0 0 NEWS CORP CL A 65248E104 112 12300 SH SOLE 12300 0 0 NII HLDGS INC NOTE 3.125% 6/1 62913FAJ1 384 500000 PRN SOLE 500000 0 0 OSI PHARMACEUTICALS INC SDCV 3.000% 1/1 671040AH6 592 750000 PRN SOLE 750000 0 0 PIKE ELEC CORP COM 721283109 142 11800 SH SOLE 11800 0 0 POWELL INDS INC COM 739128106 200 5400 SH SOLE 5400 0 0 PROSHARES TR PSHS ULSHT 7-10Y 74347R313 730 12900 SH SOLE 12900 0 0 ROCKWOOD HLDGS INC COM 774415103 695 47500 SH SOLE 47500 0 0 SKILLSOFT PLC SPONSORED ADR 830928107 147 18800 SH SOLE 18800 0 0 SMITH & WESSON HLDG CORP COM 831756101 215 37900 SH SOLE 37900 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 318 500000 PRN SOLE 500000 0 0 SPARTECH CORP COM NEW 847220209 194 21100 SH SOLE 21100 0 0 STANDARD PAC CORP NEW COM 85375C101 711 350000 SH SOLE 350000 0 0 STEIN MART INC COM 858375108 146 16500 SH SOLE 16500 0 0 SUN HEALTHCARE GROUP INC COM NEW 866933401 160 19000 SH SOLE 19000 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 205 8100 SH SOLE 8100 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 815 1500000 PRN SOLE 1500000 0 0 USEC INC NOTE 3.000%10/0 90333EAC2 320 500000 PRN SOLE 500000 0 0 VALASSIS COMMUNICATIONS INC COM 918866104 120 19600 SH SOLE 19600 0 0 VERIFONE HLDGS INC COM 92342Y109 205 27300 SH SOLE 27300 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 276 500000 PRN SOLE 500000 0 0 VMWARE INC CL A COM 928563402 202 7400 SH SOLE 7400 0 0 VULCAN MATLS CO COM 929160109 323 7500 SH SOLE 7500 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 565 625000 PRN SOLE 625000 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 274 400000 PRN SOLE 400000 0 0
-----END PRIVACY-ENHANCED MESSAGE-----