-----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, BbL8EMYIfEEvhVhodhbLR3LAzNx6fi8xa0qw4l3O0y8N+Pzq6TkOC5DdbqyQy62y MfOnm9yJf0GbAtq8Tuym/w== 0001085146-09-003550.txt : 20091125 0001085146-09-003550.hdr.sgml : 20091125 20091125111146 ACCESSION NUMBER: 0001085146-09-003550 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20090930 FILED AS OF DATE: 20091125 DATE AS OF CHANGE: 20091125 EFFECTIVENESS DATE: 20091125 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/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-11539 FILM NUMBER: 091206811 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/A 1 emga1_3q2009.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, 2009 Check here if Amendment [ X]; Amendment Number: 1 This Amendment (Check only one.): [ X] 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 23, 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: 101 Form13F Information Table Value Total: $35,928 (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 187 250000 PRN SOLE 250000 0 0 AIRTRAN HLDGS INC NOTE 5.500% 4/1 00949PAC2 445 250000 PRN SOLE 250000 0 0 ALTRA HOLDINGS INC COM 02208R106 154 13700 SH SOLE 13700 0 0 AMEDISYS INC COM 023436108 218 5000 SH SOLE 5000 0 0 AMERICAN EXPRESS CO COM 025816109 1017 30000 SH SOLE 30000 0 0 AMERICAN GREETINGS CORP CL A 026375105 611 27400 SH SOLE 27400 0 0 AZZ INC COM 002474104 374 9300 SH SOLE 9300 0 0 BOISE INC COM 09746Y105 105 19900 SH SOLE 19900 0 0 BRASKEM S A SP ADR PFD A 105532105 230 18300 SH SOLE 18300 0 0 BRIGHTPOINT INC COM NEW 109473405 262 30000 SH SOLE 30000 0 0 BUCKEYE TECHNOLOGIES INC COM 118255108 283 26400 SH SOLE 26400 0 0 CENTRAL GARDEN & PET CO CL A NON-VTG 153527205 264 24200 SH SOLE 24200 0 0 CHART INDS INC COM PAR $0.01 16115Q308 207 9600 SH SOLE 9600 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 1186 1200000 PRN SOLE 1200000 0 0 CHIQUITA BRANDS INTL INC COM 170032809 344 21300 SH SOLE 21300 0 0 COMCAST CORP NEW CL A SPL 20030N200 190 11800 SH SOLE 11800 0 0 CONOCOPHILLIPS COM 20825C104 90 100000 SH CALL SOLE 0 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 395 12200 SH SOLE 12200 0 0 CRACKER BARREL OLD CTRY STOR COM 22410J106 217 6300 SH SOLE 6300 0 0 CYTOKINETICS INC COM 23282W100 64 12000 SH SOLE 12000 0 0 DARLING INTL INC COM 237266101 76 10300 SH SOLE 10300 0 0 DISCOVER FINL SVCS COM 254709108 286 17600 SH SOLE 17600 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 491 600000 PRN SOLE 600000 0 0 DOMINOS PIZZA INC COM 25754A201 142 16000 SH SOLE 16000 0 0 EASTMAN KODAK CO COM 277461109 66 13700 SH SOLE 13700 0 0 EMERGENT BIOSOLUTIONS INC COM 29089Q105 225 12700 SH SOLE 12700 0 0 EMPRESA NACIONAL DE ELCTRCID SPONSORED ADR 29244T101 211 4500 SH SOLE 4500 0 0 ENERGY RECOVERY INC COM 29270J100 72 12300 SH SOLE 12300 0 0 ENNIS INC COM 293389102 180 11100 SH SOLE 11100 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 522 500000 PRN SOLE 500000 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 795 600000 PRN SOLE 600000 0 0 EVERGREEN SOLAR INC NOTE 4.000% 7/1 30033RAC2 100 250000 PRN SOLE 250000 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 1866 1500000 PRN SOLE 1500000 0 0 FORESTAR GROUP INC COM 346233109 192 11200 SH SOLE 11200 0 0 FORTUNE BRANDS INC COM 349631101 430 10000 SH SOLE 10000 0 0 FREIGHTCAR AMER INC COM 357023100 440 18100 SH SOLE 18100 0 0 FRESH DEL MONTE PRODUCE INC ORD G36738105 272 12000 SH SOLE 12000 0 0 GENCORP INC COM 368682100 71 13200 SH SOLE 13200 0 0 GLATFELTER COM 377316104 211 18400 SH SOLE 18400 0 0 GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 320 500000 PRN SOLE 500000 0 0 GREAT LAKES DREDGE & DOCK CO COM 390607109 71 10200 SH SOLE 10200 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 563 37600 SH SOLE 37600 0 0 HI-TECH PHARMACAL INC COM 42840B101 427 19000 SH SOLE 19000 0 0 HOVNANIAN ENTERPRISES INC CL A 442487203 922 240000 SH SOLE 240000 0 0 HSN INC COM 404303109 433 26600 SH SOLE 26600 0 0 HUNTSMAN CORP COM 447011107 299 32800 SH SOLE 32800 0 0 INLAND REAL ESTATE CORP NOTE 4.625%11/1 457461AB7 139 150000 PRN SOLE 150000 0 0 INTEGRYS ENERGY GROUP INC COM 45822P105 294 8200 SH SOLE 8200 0 0 INVERNESS MED INNOVATIONS IN NOTE 3.000% 5/1 46126PAD8 1297 1200000 PRN SOLE 1200000 0 0 ISTA PHARMACEUTICALS INC COM NEW 45031X204 58 13100 SH SOLE 13100 0 0 JABIL CIRCUIT INC COM 466313103 225 16800 SH SOLE 16800 0 0 JANUS CAP GROUP INC COM 47102X105 567 40000 SH SOLE 40000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AG6 1561 1062000 PRN SOLE 1062000 0 0 KAPSTONE PAPER & PACKAGING C COM 48562P103 289 35500 SH SOLE 35500 0 0 KEYCORP NEW COM 493267108 73 11200 SH SOLE 11200 0 0 KOPIN CORP COM 500600101 73 15200 SH SOLE 15200 0 0 LEGG MASON INC COM 524901105 543 17500 SH SOLE 17500 0 0 MASCO CORP COM 574599106 388 30000 SH SOLE 30000 0 0 MASTERCARD INC CL A 57636Q104 404 2000 SH SOLE 2000 0 0 MCMORAN EXPLORATION CO COM 582411104 77 10200 SH SOLE 10200 0 0 MGIC INVT CORP WIS COM 552848103 76 10200 SH SOLE 10200 0 0 MICRON TECHNOLOGY INC COM 595112103 86 10400 SH SOLE 10400 0 0 MICROSOFT CORP COM 594918104 772 30000 SH SOLE 30000 0 0 MUELLER WTR PRODS INC COM SER A 624758108 85 15500 SH SOLE 15500 0 0 NATIONAL FINL PARTNERS CORP COM 63607P208 299 34200 SH SOLE 34200 0 0 NIC INC COM 62914B100 91 10300 SH SOLE 10300 0 0 NII HLDGS INC NOTE 3.125% 6/1 62913FAJ1 219 250000 PRN SOLE 250000 0 0 OMNOVA SOLUTIONS INC COM 682129101 147 22800 SH SOLE 22800 0 0 ORACLE CORP COM 68389X105 763 36600 SH SOLE 36600 0 0 ORBITAL SCIENCES CORP COM 685564106 217 14500 SH SOLE 14500 0 0 OXFORD INDS INC COM 691497309 262 13300 SH SOLE 13300 0 0 PETROCHINA CO LTD SPONSORED ADR 71646E100 239 2100 SH SOLE 2100 0 0 POLYONE CORP COM 73179P106 279 41800 SH SOLE 41800 0 0 POWELL INDS INC COM 739128106 212 5500 SH SOLE 5500 0 0 PROSHARES TR PSHS ULSHT 7-10Y 74347R313 1311 25000 SH SOLE 25000 0 0 PULTE HOMES INC COM 745867101 769 70000 SH SOLE 70000 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 88 14200 SH SOLE 14200 0 0 ROCKWOOD HLDGS INC COM 774415103 617 30000 SH SOLE 30000 0 0 RRI ENERGY INC COM 74971X107 84 11800 SH SOLE 11800 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 434 10100 SH SOLE 10100 0 0 SILICONWARE PRECISION INDS L SPONSD ADR SPL 827084864 75 10400 SH SOLE 10400 0 0 SMITH & WESSON HLDG CORP COM 831756101 75 14300 SH SOLE 14300 0 0 SOLUTIA INC COM NEW 834376501 190 16400 SH SOLE 16400 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 379 500000 PRN SOLE 500000 0 0 SPECTRUM PHARMACEUTICALS INC COM 84763A108 87 12900 SH SOLE 12900 0 0 STANDARD MTR PRODS INC COM 853666105 180 11800 SH SOLE 11800 0 0 STEC INC COM 784774101 211 7200 SH SOLE 7200 0 0 TECH DATA CORP COM 878237106 234 5600 SH SOLE 5600 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 1475 2000000 PRN SOLE 2000000 0 0 U S AIRWAYS GROUP INC COM 90341W108 118 24900 SH SOLE 24900 0 0 UNITED CMNTY BKS BLAIRSVLE G CAP STK 90984P105 71 14100 SH SOLE 14100 0 0 US BANCORP DEL COM NEW 902973304 328 15000 SH SOLE 15000 0 0 USA MOBILITY INC COM 90341G103 206 16000 SH SOLE 16000 0 0 USEC INC COM 90333E108 281 59900 SH SOLE 59900 0 0 USEC INC NOTE 3.000%10/0 90333EAC2 171 250000 PRN SOLE 250000 0 0 VALASSIS COMMUNICATIONS INC COM 918866104 449 25100 SH SOLE 25100 0 0 VERIFONE HLDGS INC COM 92342Y109 515 32400 SH SOLE 32400 0 0 VULCAN MATLS CO COM 929160109 324 6000 SH SOLE 6000 0 0 WARNER MUSIC GROUP CORP COM 934550104 86 15500 SH SOLE 15500 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 570 625000 PRN SOLE 625000 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 339 400000 PRN SOLE 400000 0 0
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