-----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, LVFIQTnUykxybdhQ7YxMMPeMsy9e1crZln0q43G8c8o1LxjDh7KDNPSfgPKig6dg ZJ7RYDjINfzTPvVXf4MgEA== 0001085146-08-000915.txt : 20080812 0001085146-08-000915.hdr.sgml : 20080812 20080811201839 ACCESSION NUMBER: 0001085146-08-000915 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20080630 FILED AS OF DATE: 20080812 DATE AS OF CHANGE: 20080811 EFFECTIVENESS DATE: 20080812 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: 081007933 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 emg2q08.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, 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: Thomas Larkin Title: Chief Operating Officer Phone: 203-409-3749 Signature, Place, and Date of Signing: /s/ Thomas Larkin Greenwich, CT August 11, 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: 545 Form13F Information Table Value Total: $792,247 (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 - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- A D C TELECOMMUNICATIONS COM NEW 000886309 476 32200 SH SOLE 32200 0 0 AAR CORP NOTE 2.250% 3/0 000361AL9 5918 9000000 PRN SOLE 9000000 0 0 ACCENTURE LTD BERMUDA CL A G1150G111 1226 30100 SH SOLE 30100 0 0 ACME PACKET INC COM 004764106 145 18700 SH SOLE 18700 0 0 ACTUANT CORP CL A NEW 00508X203 583 18600 SH SOLE 18600 0 0 ACXIOM CORP COM 005125109 853 74200 SH SOLE 74200 0 0 ADAPTEC INC COM 00651F108 59 18400 SH SOLE 18400 0 0 ADOLOR CORP COM 00724X102 65 11900 SH SOLE 11900 0 0 ADTRAN INC COM 00738A106 200 8400 SH SOLE 8400 0 0 ADVANCE AMER CASH ADVANCE CT COM 00739W107 155 30600 SH SOLE 30600 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 311 8000 SH SOLE 8000 0 0 ADVANCED 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SOLE 16100 0 0 ALTRA HOLDINGS INC COM 02208R106 170 10100 SH SOLE 10100 0 0 AMBAC FINL GROUP INC COM 023139108 687 513000 SH SOLE 513000 0 0 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 31518 597500 SH SOLE 597500 0 0 AMERICAN EXPRESS CO COM 025816109 10 65100 SH Call SOLE 0 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 342 12800 SH SOLE 12800 0 0 AMERICAN OIL & GAS INC NEW COM 028723104 58 14700 SH SOLE 14700 0 0 AMERICAN SUPERCONDUCTOR CORP COM 030111108 212 5900 SH SOLE 5900 0 0 AMERICAS CAR MART INC COM 03062T105 862 48100 SH SOLE 48100 0 0 AMERICREDIT CORP NOTE 2.125% 9/1 03060RAR2 10245 17500000 PRN SOLE 17500000 0 0 AMERON INTL INC COM 030710107 888 7400 SH SOLE 7400 0 0 AMR CORP COM 001765106 219 42800 SH SOLE 42800 0 0 APACHE CORP COM 037411105 556 4000 SH SOLE 4000 0 0 APP PHARMACEUTICALS INC COM 00202H108 176 10500 SH SOLE 10500 0 0 AQUILA INC COM 03840P102 77 20400 SH SOLE 20400 0 0 ARACRUZ CELULOSE S A SPON ADR PFD B 038496204 323 4400 SH SOLE 4400 0 0 ARCELORMITTAL 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