-----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, G9hpsvyw8t1XWXFbD/0Q+Pt/DbHhXnCoJ0BR3B7Td0tV0kYUJCv6vFYrKhHGoK8P f0LAU+67Au0X6noKo9v2YA== 0001085146-08-001518.txt : 20081110 0001085146-08-001518.hdr.sgml : 20081110 20081110160130 ACCESSION NUMBER: 0001085146-08-001518 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20080930 FILED AS OF DATE: 20081110 DATE AS OF CHANGE: 20081110 EFFECTIVENESS DATE: 20081110 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: 081175604 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 emg3q08r.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: September 30, 2008 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 November 10, 2008 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: 216 Form13F Information Table Value Total: $499,902 (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 - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 99 CENTS ONLY STORES COM 65440K106 301 27400 SH SOLE 27400 0 0 AAR CORP NOTE 2.250% 3/0 000361AL9 6345 9000000 PRN SOLE 9000000 0 0 ACCENTURE LTD BERMUDA CL A G1150G111 391 10300 SH SOLE 10300 0 0 ACTUANT CORP CL A NEW 00508X203 230 9100 SH SOLE 9100 0 0 ADVANCED MEDICAL OPTICS INC COM 00763M108 261 14700 SH SOLE 14700 0 0 ADVANCED MICRO DEVICES INC NOTE 6.000% 5/0 007903AL1 16910 35978000 PRN SOLE 35978000 0 0 AGCO CORP COM 001084102 294 6900 SH SOLE 6900 0 0 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 214 1900 SH SOLE 1900 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 337 11400 SH SOLE 11400 0 0 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 12128 261600 SH SOLE 261600 0 0 AMERICAN EXPRESS CO COM 025816109 7 56100 SH PUT SOLE 56100 0 0 AMERICREDIT CORP NOTE 2.125% 9/1 03060RAR2 3570 6500000 PRN SOLE 6500000 0 0 AMR CORP COM 001765106 178 18100 SH SOLE 18100 0 0 ANTHRACITE CAP INC COM 037023108 76 14100 SH SOLE 14100 0 0 ANWORTH MORTGAGE ASSET CP COM 037347101 114 19300 SH SOLE 19300 0 0 ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 1170 23700 SH SOLE 23700 0 0 ARVINMERITOR INC NOTE 4.625% 3/0 043353AF8 17313 20370000 PRN SOLE 20370000 0 0 ASPECT MED SYS INC NOTE 2.500% 6/1 045235AB4 284 500000 PRN SOLE 500000 0 0 ATHEROGENICS INC NOTE 1.500% 2/0 047439AD6 219 2000000 PRN SOLE 2000000 0 0 AU OPTRONICS CORP SPONSORED ADR 002255107 390 34300 SH SOLE 34300 0 0 AVANEX CORP COM NEW 05348W307 58 12300 SH SOLE 12300 0 0 AZZ INC COM 002474104 7113 171900 SH SOLE 171900 0 0 BHP BILLITON PLC SPONSORED ADR 05545E209 298 6500 SH SOLE 6500 0 0 BLOCK H & R INC COM 093671105 268 11800 SH SOLE 11800 0 0 BORDERS GROUP INC COM 099709107 88 13400 SH SOLE 13400 0 0 BP PRUDHOE BAY RTY TR UNIT BEN INT 055630107 242 2600 SH SOLE 2600 0 0 BRASIL TELECOM PARTICIPACOES SPON ADR PFD 105530109 210 4300 SH SOLE 4300 0 0 BRIGGS & STRATTON CORP COM 109043109 244 15100 SH SOLE 15100 0 0 BROOKFIELD PPTYS CORP COM 112900105 220 13900 SH SOLE 13900 0 0 BUCYRUS INTL INC NEW COM 118759109 344 7700 SH SOLE 7700 0 0 BUNGE LIMITED COM G16962105 278 4400 SH SOLE 4400 0 0 CALLAWAY GOLF CO COM 131193104 172 12200 SH SOLE 12200 0 0 CALPINE CORP COM NEW 131347304 351 27000 SH SOLE 27000 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 339 8800 SH SOLE 8800 0 0 CARDINAL HEALTH INC COM 14149Y108 276 5600 SH SOLE 5600 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 226 8800 SH SOLE 8800 0 0 CELESTICA INC SUB VTG SHS 15101Q108 203 31500 SH SOLE 31500 0 0 CENTENNIAL COMMUNCTNS CORP N CL A NEW 15133V208 89 14300 SH SOLE 14300 0 0 CENTRAL GARDEN & PET CO CL A NON-VTG 153527205 156 26200 SH SOLE 26200 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 1705 1000000 PRN SOLE 1000000 0 0 CHATTEM INC 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9000000 PRN SOLE 9000000 0 0 COMPUCREDIT CORP NOTE 3.625% 5/3 20478NAB6 2430 7704000 PRN SOLE 7704000 0 0 COMTECH TELECOMMUNICATIONS C COM NEW 205826209 276 5600 SH SOLE 5600 0 0 CONOCOPHILLIPS COM 20825C104 44 250000 SH CALL SOLE 0 0 0 COVIDIEN LTD COM G2552X108 478 8900 SH SOLE 8900 0 0 COX RADIO INC CL A 224051102 124 11700 SH SOLE 11700 0 0 CV THERAPEUTICS INC COM 126667104 122 11300 SH SOLE 11300 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 95 12800 SH SOLE 12800 0 0 DIAMOND FOODS INC COM 252603105 210 7500 SH SOLE 7500 0 0 DIAMONDROCK HOSPITALITY CO COM 252784301 103 11300 SH SOLE 11300 0 0 DIGITAL RLTY TR INC COM 253868103 213 4500 SH SOLE 4500 0 0 DURECT CORP COM 266605104 88 15800 SH SOLE 15800 0 0 EMBRAER-EMPRESA BRASILEIRA D SP ADR COM SHS 29081M102 524 19400 SH SOLE 19400 0 0 ENERGY CONVERSION DEVICES IN COM 292659109 280 4800 SH SOLE 4800 0 0 ENERSIS S A SPONSORED ADR 29274F104 299 18300 SH SOLE 18300 0 0 ENPRO INDS INC DBCV 3.937%10/1 29355XAB3 13174 10226000 PRN SOLE 10226000 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 938 1000000 PRN SOLE 1000000 0 0 EPICOR SOFTWARE CORP NOTE 2.375% 5/1 29426LAA6 312 500000 PRN SOLE 500000 0 0 EVERGREEN SOLAR INC NOTE 4.000% 7/1 30033RAC2 13465 22750000 PRN SOLE 22750000 0 0 F M C CORP COM NEW 302491303 7744 150700 SH SOLE 150700 0 0 FEDERAL SIGNAL CORP COM 313855108 196 14300 SH SOLE 14300 0 0 FIRST SOLAR INC COM 336433107 283 1500 SH SOLE 1500 0 0 FIVE STAR QUALITY CARE INC NOTE 3.750%10/1 33832DAB2 4565 7850000 PRN SOLE 7850000 0 0 FLUOR CORP NEW COM 343412102 329 5900 SH SOLE 5900 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 1363 786900 SH PUT SOLE 786900 0 0 FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 127443193172000 PRN SOLE 193172000 0 0 FOSTER WHEELER LTD SHS NEW G36535139 224 6200 SH SOLE 6200 0 0 FUQI INTERNATIONAL INC COM NEW 36102A207 202 24800 SH SOLE 24800 0 0 GENERAL MTRS CORP COM 370442105 306 254000 SH PUT SOLE 254000 0 0 GLOBALSTAR INC NOTE 5.750% 4/0 378973AA9 228 500000 PRN SOLE 500000 0 0 GMX RES INC COM 38011M108 1251 26200 SH SOLE 26200 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 1847 1065000 SH PUT SOLE 1065000 0 0 GRAN TIERRA ENERGY INC COM 38500T101 69 18600 SH SOLE 18600 0 0 GUESS INC COM 401617105 292 8400 SH SOLE 8400 0 0 H & E EQUIPMENT SERVICES INC COM 404030108 115 11900 SH SOLE 11900 0 0 HANGER ORTHOPEDIC GROUP INC COM NEW 41043F208 288 16500 SH SOLE 16500 0 0 HARMONY GOLD MNG LTD SPONSORED ADR 413216300 113 11700 SH SOLE 11700 0 0 HAWAIIAN HOLDINGS INC COM 419879101 200 21600 SH SOLE 21600 0 0 HCP INC COM 40414L109 233 5800 SH SOLE 5800 0 0 HEALTH MGMT ASSOC INC NEW CL A 421933102 128 30800 SH SOLE 30800 0 0 HEALTHCARE RLTY TR COM 421946104 338 11600 SH SOLE 11600 0 0 HOKU SCIENTIFIC INC COM 434712105 89 15200 SH SOLE 15200 0 0 HOSPITALITY PPTYS TR COM SH BEN INT 44106M102 220 10700 SH SOLE 10700 0 0 HOT TOPIC INC COM 441339108 98 14800 SH SOLE 14800 0 0 IHS INC CL A 451734107 272 5700 SH SOLE 5700 0 0 INFINEON TECHNOLOGIES AG SPONSORED ADR 45662N103 78 14000 SH SOLE 14000 0 0 INNOPHOS HOLDINGS INC COM 45774N108 417 17100 SH SOLE 17100 0 0 INSTEEL INDUSTRIES INC COM 45774W108 151 11100 SH SOLE 11100 0 0 INTERFACE INC CL A 458665106 185 16300 SH SOLE 16300 0 0 INTERNAP NETWORK SVCS CORP COM PAR $.001 45885A300 43 12300 SH SOLE 12300 0 0 INTERPUBLIC GROUP COS INC COM 460690100 109 14000 SH SOLE 14000 0 0 INTERWOVEN INC COM NEW 46114T508 188 13300 SH SOLE 13300 0 0 INTUIT COM 461202103 389 12300 SH SOLE 12300 0 0 ISHARES INC MSCI JAPAN 464286848 52 1040800 SH CALL SOLE 0 0 0 ISHARES TR MSCI EMERG MKT 464287234 7798 228200 SH SOLE 228200 0 0 ISTAR FINL INC COM 45031U101 29 11200 SH SOLE 11200 0 0 ITRON INC COM 465741106 230 2600 SH SOLE 2600 0 0 KIMCO REALTY CORP COM 49446R109 303 8200 SH SOLE 8200 0 0 KNIGHT CAPITAL GROUP INC CL A 499005106 177 11900 SH SOLE 11900 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 462 4700 SH SOLE 4700 0 0 LACLEDE GROUP INC COM 505597104 257 5300 SH SOLE 5300 0 0 LANCASTER COLONY CORP COM 513847103 249 6600 SH SOLE 6600 0 0 LANDAMERICA FINL GROUP INC DBCV 3.250% 5/1 514936AD5 985 1400000 PRN SOLE 1400000 0 0 LEHMAN BROS HLDGS INC COM 524908100 6 28500 SH SOLE 28500 0 0 LG DISPLAY CO LTD SPONS ADR REP 50186V102 312 24600 SH SOLE 24600 0 0 LIQUIDITY SERVICES INC COM 53635B107 144 13300 SH SOLE 13300 0 0 MACROVISION SOLUTIONS CORP COM 55611C108 265 17200 SH SOLE 17200 0 0 MAGELLAN HEALTH SVCS INC COM NEW 559079207 287 7000 SH SOLE 7000 0 0 MASTERCARD INC CL A 57636Q104 22113 124700 SH SOLE 124700 0 0 MICREL INC COM 594793101 136 15000 SH SOLE 15000 0 0 MICROSOFT CORP COM 594918104 45400 1701000 SH SOLE 1701000 0 0 MICROSOFT CORP COM 594918104 3735 9000000 SH CALL SOLE 0 0 0 MINDRAY MEDICAL INTL LTD SPON ADR 602675100 206 6100 SH SOLE 6100 0 0 MOBILE TELESYSTEMS OJSC SPONSORED ADR 607409109 13 70000 SH PUT SOLE 70000 0 0 MORGAN STANLEY COM NEW 617446448 3470 1960000 SH PUT SOLE 1960000 0 0 MSC INDL DIRECT INC CL A 553530106 493 10700 SH SOLE 10700 0 0 MUELLER WTR PRODS INC COM SER A 624758108 107 11900 SH SOLE 11900 0 0 MURPHY OIL CORP COM 626717102 289 4500 SH SOLE 4500 0 0 MYRIAD GENETICS INC COM 62855J104 422 6500 SH SOLE 6500 0 0 NASH FINCH CO COM 631158102 237 5500 SH SOLE 5500 0 0 NATIONAL OILWELL VARCO INC COM 637071101 261 5200 SH SOLE 5200 0 0 NAUTILUS INC COM 63910B102 63 13800 SH SOLE 13800 0 0 NAVIOS MARITIME HOLDINGS INC COM Y62196103 213 41600 SH SOLE 41600 0 0 NAVISTAR INTL CORP NEW COM 63934E108 265 4900 SH SOLE 4900 0 0 NEW YORK & CO INC COM 649295102 258 27000 SH SOLE 27000 0 0 NEWPARK RES INC COM PAR $.01NEW 651718504 194 26600 SH SOLE 26600 0 0 NICOR INC COM 654086107 262 5900 SH SOLE 5900 0 0 NTELOS HLDGS CORP COM 67020Q107 229 8500 SH SOLE 8500 0 0 O REILLY AUTOMOTIVE INC COM 686091109 220 8200 SH SOLE 8200 0 0 OPEN JT STK CO-VIMPEL COMMUN SPONSORED ADR 68370R109 204 1725500 SH PUT SOLE 1725500 0 0 ORACLE CORP COM 68389X105 18659 918700 SH SOLE 918700 0 0 ORACLE CORP COM 68389X105 2125 2500000 SH CALL SOLE 0 0 0 OSHKOSH CORP COM 688239201 172 13100 SH SOLE 13100 0 0 PARTNER COMMUNICATIONS CO LT ADR 70211M109 228 12400 SH SOLE 12400 0 0 PHH CORP COM NEW 693320202 159 12000 SH SOLE 12000 0 0 PHILIPPINE LONG DISTANCE TEL SPONSORED ADR 718252604 254 4500 SH SOLE 4500 0 0 PINNACLE WEST CAP CORP COM 723484101 224 6500 SH SOLE 6500 0 0 POLARIS INDS INC COM 731068102 205 4500 SH SOLE 4500 0 0 PRESTIGE BRANDS HLDGS INC COM 74112D101 120 13500 SH SOLE 13500 0 0 QUESTCOR PHARMACEUTICALS INC COM 74835Y101 453 61700 SH SOLE 61700 0 0 QUIKSILVER INC COM 74838C106 60 10400 SH SOLE 10400 0 0 RALCORP HLDGS INC NEW COM 751028101 384 5700 SH SOLE 5700 0 0 RENT A CTR INC NEW COM 76009N100 223 10000 SH SOLE 10000 0 0 RIO TINTO PLC SPONSORED ADR 767204100 399 1600 SH SOLE 1600 0 0 ROBBINS & MYERS INC COM 770196103 421 13600 SH SOLE 13600 0 0 ROCK-TENN CO CL A 772739207 304 7600 SH SOLE 7600 0 0 ROCKWOOD HLDGS INC COM 774415103 35775 1394200 SH SOLE 1394200 0 0 ROYALE ENERGY INC COM NEW 78074G200 43 10400 SH SOLE 10400 0 0 RSC HOLDINGS INC COM 74972L102 140 12300 SH SOLE 12300 0 0 SAIC INC COM 78390X101 225 11100 SH SOLE 11100 0 0 SCANSOURCE INC COM 806037107 230 8000 SH SOLE 8000 0 0 SCRIPPS E W CO OHIO CL A NEW 811054402 158 22300 SH SOLE 22300 0 0 SEALY CORP COM 812139301 101 15700 SH SOLE 15700 0 0 SEPRACOR INC COM 817315104 205 11200 SH SOLE 11200 0 0 SHIP FINANCE INTERNATIONAL L SHS G81075106 224 10400 SH SOLE 10400 0 0 SIERRA WIRELESS INC COM 826516106 124 12400 SH SOLE 12400 0 0 SILICON MOTION TECHNOLOGY CO SPONSORED ADR 82706C108 59 12600 SH SOLE 12600 0 0 SIMON PPTY GROUP INC NEW COM 828806109 243 2500 SH SOLE 2500 0 0 SMITH A O COM 831865209 231 5900 SH SOLE 5900 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 860 1000000 PRN SOLE 1000000 0 0 SOLERA HOLDINGS INC COM 83421A104 236 8200 SH SOLE 8200 0 0 SONOSITE INC NOTE 3.750% 7/1 83568GAA2 2021 2000000 PRN SOLE 2000000 0 0 SOUTHWEST AIRLS CO COM 844741108 257 17700 SH SOLE 17700 0 0 SPDR TR UNIT SER 1 78462F103 6867 59200 SH SOLE 59200 0 0 SPSS INC COM 78462K102 16657 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1000000 PRN SOLE 1000000 0 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 5856 7000000 PRN SOLE 7000000 0 0 U STORE IT TR COM 91274F104 156 12700 SH SOLE 12700 0 0 UAL CORP COM NEW 902549807 149 16900 SH SOLE 16900 0 0 UGI CORP NEW COM 902681105 232 9000 SH SOLE 9000 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 221 2100 SH SOLE 2100 0 0 USA MOBILITY INC COM 90341G103 282 25600 SH SOLE 25600 0 0 USEC INC NOTE 3.000%10/0 90333EAC2 4750 8000000 PRN SOLE 8000000 0 0 VAALCO ENERGY INC COM NEW 91851C201 90 13100 SH SOLE 13100 0 0 VALMONT INDS INC COM 920253101 22748 275100 SH SOLE 275100 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 823 1000000 PRN SOLE 1000000 0 0 VORNADO RLTY TR SH BEN INT 929042109 373 4100 SH SOLE 4100 0 0 WARNACO GROUP INC COM NEW 934390402 430 9500 SH SOLE 9500 0 0 WARNER MUSIC GROUP CORP COM 934550104 98 12900 SH SOLE 12900 0 0 WASHINGTON MUT INC COM 939322103 1 59800 SH CALL SOLE 0 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 3808 4000000 PRN SOLE 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