0000357235-12-000182.txt : 20120814 0000357235-12-000182.hdr.sgml : 20120814 20120814144313 ACCESSION NUMBER: 0000357235-12-000182 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120630 FILED AS OF DATE: 20120814 DATE AS OF CHANGE: 20120814 EFFECTIVENESS DATE: 20120814 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LMM LLC /MD/ CENTRAL INDEX KEY: 0001135778 IRS NUMBER: 522204753 STATE OF INCORPORATION: MD FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-06399 FILM NUMBER: 121031986 BUSINESS ADDRESS: STREET 1: 100 LIGHT ST CITY: BALTIMORE STATE: MD ZIP: 21202 BUSINESS PHONE: 4104545300 MAIL ADDRESS: STREET 1: 100 LIGHT ST CITY: BALTIMORE STATE: MD ZIP: 21202 13F-HR 1 lmm2q12.txt LMM 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, 2012 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: LMM, LLC Address: 100 International Drive Baltimore, MD 21202 13F File Number: 28-6399 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: Neil O'Callaghan Title: General Counsel Phone: 410-539-0000 Signature, Place, and Date of Signing: Neil O'Callaghan Baltimore, MD August 14, 2012 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: 1 Form13F Information Table Entry Total: 47 Form13F Information Table Value Total: $1,085,593 (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. No. 13F File Number Name 1 28-1700 Legg Mason, Inc. 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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AMAZON COM INC COM 023135106 30408 133160 SH DEFINED 1 133160 0 0 AMERICAN CAP MTG INVT CORP COM 02504A104 10369 434820 SH DEFINED 1 434820 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 14779 439700 SH DEFINED 1 439700 0 0 ANNALY CAP MGMT INC COM 035710409 13982 833250 SH DEFINED 1 833250 0 0 APOLLO INVT CORP COM 03761U106 13491 1758924 SH DEFINED 1 1758924 0 0 APPLE INC COM 037833100 47477 81295 SH DEFINED 1 81295 0 0 ARES CAP CORP COM 04010L103 33402 2092795 SH DEFINED 1 2092795 0 0 ASSURED GUARANTY LTD COM G0585R106 32803 2326450 SH DEFINED 1 2326450 0 0 BANK OF AMERICA CORPORATION COM 060505104 19165 2342825 SH DEFINED 1 2342825 0 0 BG MEDICINE INC COM 08861T107 5245 751327 SH DEFINED 1 751327 0 0 BOSTON SCIENTIFIC CORP COM 101137107 17061 3008850 SH DEFINED 1 3008850 0 0 BOYD GAMING CORP COM 103304101 25113 3487840 SH DEFINED 1 3487840 0 0 CHESAPEAKE ENERGY CORP COM 165167107 28113 1511450 SH DEFINED 1 1511450 0 0 CIGNA CORPORATION COM 125509109 20335 462150 SH DEFINED 1 462150 0 0 CITIGROUP INC COM NEW 172967424 29866 1089600 SH DEFINED 1 1089600 0 0 CLEARWIRE CORP NEW CL A 18538Q105 3153 2814408 SH DEFINED 1 2814408 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 32936 3007850 SH DEFINED 1 3007850 0 0 DENDREON CORP COM 24823Q107 5139 694400 SH DEFINED 1 694400 0 0 E TRADE FINANCIAL CORP COM NEW 269246401 15088 1876500 SH DEFINED 1 1876500 0 0 ELLINGTON FINANCIAL LLC COM 288522303 41958 1982845 SH DEFINED 1 1982845 0 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 19038 573416 SH DEFINED 1 573416 0 0 GENWORTH FINL INC COM CL A 37247D106 26597 4699070 SH DEFINED 1 4699070 0 0 GROUPON INC COM CL A 399473107 30379 2857825 SH DEFINED 1 2857825 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 28661 1625650 SH DEFINED 1 1625650 0 0 HATTERAS FINL CORP COM 41902R103 9929 347150 SH DEFINED 1 347150 0 0 HCA HOLDINGS INC COM 40412C101 11801 387800 SH DEFINED 1 387800 0 0 HEWLETT PACKARD CO COM 428236103 13800 686200 SH DEFINED 1 686200 0 0 INTEL CORP COM 458140100 12331 462700 SH DEFINED 1 462700 0 0 INVESCO MORTGAGE CAPITAL INC COM 46131B100 14104 769000 SH DEFINED 1 769000 0 0 JPMORGAN CHASE & CO *W EXP 10/28/201 46634E114 23758 2431650 SH DEFINED 1 2431650 0 0 KB HOME COM 48666K109 35896 3662800 SH DEFINED 1 3662800 0 0 LENNAR CORP CL A 526057104 54169 1752450 SH DEFINED 1 1752450 0 0 LEVEL 3 COMMUNICATIONS INC COM NEW 52729N308 14035 633600 SH DEFINED 1 633600 0 0 MARKET LEADER INC COM 57056R103 23067 4540556 SH DEFINED 1 4540556 0 0 MGIC INVT CORP WIS COM 552848103 26450 9183717 SH DEFINED 1 9183717 0 0 MICROSOFT CORP COM 594918104 15926 520625 SH DEFINED 1 520625 0 0 MORGAN STANLEY COM NEW 617446448 10173 697200 SH DEFINED 1 697200 0 0 NXP SEMICONDUCTORS N V COM N6596X109 7869 338700 SH DEFINED 1 338700 0 0 PULTE GROUP INC COM 745867101 54761 5117770 SH DEFINED 1 5117770 0 0 SEAGATE TECHNOLOGY PLC SHS G7945M107 25846 1045100 SH DEFINED 1 1045100 0 0 SPRINT NEXTEL CORP COM SER 1 852061100 32850 10076480 SH DEFINED 1 10076480 0 0 SYNOVUS FINL CORP COM 87161C105 30560 15433950 SH DEFINED 1 15433950 0 0 TERADYNE INC COM 880770102 17779 1264500 SH DEFINED 1 1264500 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 3357 85100 SH DEFINED 1 85100 0 0 U S AIRWAYS GROUP INC COM 90341W108 40473 3036180 SH DEFINED 1 3036180 0 0 UNITED CONTL HLDGS INC COM 910047109 48092 1976650 SH DEFINED 1 1976650 0 0 UNIVERSAL DISPLAY CORP COM 91347P105 14009 389775 SH DEFINED 1 389775 0 0