13F-HR 1 emg1q08.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: March 31, 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 May 13, 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: 421 Form13F Information Table Value Total: $690,271 (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 135 14000 SH SOLE 135000 0 0 AAR CORP NOTE 2.250% 3/0 000361AL9 7763 8000000 PRN SOLE 7763000 0 0 ABBOTT LABS COM 002824100 452 8000 SH SOLE 452000 0 0 ACCENTURE LTD BERMUDA CL A G1150G111 960 27000 SH SOLE 960000 0 0 ACTUANT CORP CL A NEW 00508X203 290 10000 SH SOLE 290000 0 0 ACTUATE CORP COM 00508B102 48 12000 SH SOLE 48000 0 0 ACXIOM CORP COM 005125109 777 66000 SH SOLE 777000 0 0 ADOBE SYS INC COM 00724F101 391 11000 SH SOLE 391000 0 0 ADOLOR CORP COM 00724X102 121 26000 SH SOLE 121000 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 657 19000 SH SOLE 657000 0 0 ADVANCED MICRO DEVICES INC NOTE 6.000% 5/0 007903AL1 29411 46500000 PRN SOLE 29411000 0 0 AEROPOSTALE COM 007865108 605 22000 SH SOLE 605000 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 541 11000 SH SOLE 541000 0 0 AFFYMETRIX INC COM 00826T108 214 12000 SH SOLE 214000 0 0 AGCO CORP COM 001084102 862 14000 SH SOLE 862000 0 0 AGRIUM INC COM 008916108 658 11000 SH SOLE 658000 0 0 AIRMEDIA GROUP INC SPONSORED ADR 009411109 165 10000 SH SOLE 165000 0 0 AIRTRAN HLDGS INC COM 00949P108 179 27000 SH SOLE 179000 0 0 AK STL HLDG CORP COM 001547108 718 13000 SH SOLE 718000 0 0 ALCOA INC COM 013817101 541 15000 SH SOLE 541000 0 0 ALLIANCE ONE INTL INC COM 018772103 976 162000 SH SOLE 976000 0 0 ALTUS PHARMACEUTICALS INC COM 02216N105 47 10000 SH SOLE 47000 0 0 AMBAC FINL GROUP INC COM 023139108 93 16000 SH SOLE 93000 0 0 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 23183 364000 SH SOLE 23183000 0 0 AMERICAN COMMERCIAL LINES COM NEW 025195207 386 24000 SH SOLE 386000 0 0 AMR CORP COM 001765106 29058 3222000 SH SOLE 29058000 0 0 APEX SILVER MINES LTD ORD G04074103 195 16000 SH SOLE 195000 0 0 ARCH CAP GROUP LTD ORD G0450A105 398 6000 SH SOLE 398000 0 0 ARMSTRONG WORLD INDS INC NEW COM 04247X102 1059 30000 SH SOLE 1059000 0 0 ARVINMERITOR INC NOTE 4.625% 3/0 043353AF8 19632 22870000 PRN SOLE 19632000 0 0 ASIAINFO HLDGS INC COM 04518A104 632 58000 SH SOLE 632000 0 0 ASML HOLDING N V NY REG SHS N07059186 380 15000 SH SOLE 380000 0 0 ASPECT MED SYS INC NOTE 2.500% 6/1 045235AB4 1621 3000000 PRN SOLE 1621000 0 0 ATHEROGENICS INC NOTE 1.500% 2/0 047439AD6 458 3390000 PRN SOLE 458000 0 0 ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 611 11000 SH SOLE 611000 0 0 ATP OIL & GAS CORP COM 00208J108 219 7000 SH SOLE 219000 0 0 AU OPTRONICS CORP SPONSORED ADR 002255107 1040 61000 SH SOLE 1040000 0 0 AUTODESK INC COM 052769106 274 9000 SH SOLE 274000 0 0 AUXILIUM PHARMACEUTICALS INC COM 05334D107 259 10000 SH SOLE 259000 0 0 AZZ INC COM 002474104 13026 366000 SH SOLE 13026000 0 0 BALLARD PWR SYS INC COM 05858H104 48 12000 SH SOLE 48000 0 0 BARCLAYS BK PLC IP MSCI 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116794108 485 32000 SH SOLE 485000 0 0 BUCKLE INC COM 118440106 550 12000 SH SOLE 550000 0 0 BUNGE LIMITED COM G16962105 11364 131000 SH SOLE 11364000 0 0 C D I CORP COM 125071100 203 8000 SH SOLE 203000 0 0 CABOT OIL & GAS CORP COM 127097103 625 12000 SH SOLE 625000 0 0 CADENCE DESIGN SYSTEM INC COM 127387108 130 12000 SH SOLE 130000 0 0 CALLAWAY GOLF CO COM 131193104 228 16000 SH SOLE 228000 0 0 CALPINE CORP COM NEW 131347304 610 33000 SH SOLE 610000 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 250 6000 SH SOLE 250000 0 0 CANADIAN NAT RES LTD COM 136385101 505 7000 SH SOLE 505000 0 0 CANADIAN SOLAR INC COM 136635109 527 25000 SH SOLE 527000 0 0 CAPITAL TRUST INC MD CL A NEW 14052H506 210 8000 SH SOLE 210000 0 0 CAPITALSOURCE INC COM 14055X102 222 23000 SH SOLE 222000 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 313 6000 SH SOLE 313000 0 0 CARTER INC COM 146229109 1043 65000 SH SOLE 1043000 0 0 CASH AMER INTL INC COM 14754D100 1212 33000 SH SOLE 1212000 0 0 CAVIUM NETWORKS INC COM 14965A101 184 11000 SH SOLE 184000 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 8466 8000000 PRN SOLE 8466000 0 0 CENTURY ALUM CO COM 156431108 258 4000 SH SOLE 258000 0 0 CENVEO INC COM 15670S105 278 27000 SH SOLE 278000 0 0 CEPHALON INC COM 156708109 245 4000 SH SOLE 245000 0 0 CEPHEID COM 15670R107 551 23000 SH SOLE 551000 0 0 CHEMED CORP NEW NOTE 1.875% 5/1 16359RAC7 4043 5000000 PRN SOLE 4043000 0 0 CHESAPEAKE ENERGY CORP COM 165167107 20 130000 SH Call SOLE 0 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 2664 2000000 PRN SOLE 2664000 0 0 CHINA MED TECHNOLOGIES INC SPONSORED ADR 169483104 316 8000 SH SOLE 316000 0 0 CHINA MOBILE LIMITED SPONSORED ADR 16941M109 405 5000 SH SOLE 405000 0 0 CHINA TECHFAITH WIRLS COMM T SPONSORED ADR 169424108 166 30000 SH SOLE 166000 0 0 CIGNA CORP COM 125509109 252 6000 SH SOLE 252000 0 0 CNX GAS CORP COM 12618H309 513 16000 SH SOLE 513000 0 0 COMPANHIA DE SANEAMENTO BASI SPONSORED ADR 20441A102 652 15000 SH SOLE 652000 0 0 COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 204 13000 SH SOLE 204000 0 0 COMPUCREDIT CORP NOTE 3.625% 5/3 20478NAB6 4670 10800000 PRN SOLE 4670000 0 0 COMPUCREDIT CORP COM 20478N100 316 36000 SH SOLE 316000 0 0 COMSTOCK RES INC COM NEW 205768203 234 6000 SH SOLE 234000 0 0 COMTECH TELECOMMUNICATIONS C COM NEW 205826209 523 13000 SH SOLE 523000 0 0 CONAGRA FOODS INC COM 205887102 1439 60000 SH SOLE 1439000 0 0 CONNS INC COM 208242107 494 30000 SH SOLE 494000 0 0 CONOCOPHILLIPS COM 20825C104 30400 399000 SH SOLE 30400000 0 0 CONSOLIDATED GRAPHICS INC COM 209341106 398 7000 SH SOLE 398000 0 0 CONTANGO OIL & GAS COMPANY COM NEW 21075N204 452 7000 SH SOLE 452000 0 0 CONTINENTAL RESOURCES INC COM 212015101 478 15000 SH SOLE 478000 0 0 COOPER TIRE & RUBR CO COM 216831107 398 27000 SH SOLE 398000 0 0 CORINTHIAN COLLEGES INC COM 218868107 154 21000 SH SOLE 154000 0 0 CORUS BANKSHARES INC COM 220873103 132 14000 SH SOLE 132000 0 0 COVIDIEN LTD COM G2552X108 283 6000 SH SOLE 283000 0 0 CROWN HOLDINGS INC COM 228368106 1411 56000 SH SOLE 1411000 0 0 CSS INDS INC COM 125906107 290 8000 SH SOLE 290000 0 0 CSX CORP COM 126408103 1138 20000 SH SOLE 1138000 0 0 CYPRESS BIOSCIENCES INC COM PAR $.02 232674507 166 23000 SH SOLE 166000 0 0 CYPRESS SEMICONDUCTOR CORP COM 232806109 550 23000 SH SOLE 550000 0 0 D R HORTON INC COM 23331A109 228 15000 SH SOLE 228000 0 0 DARDEN RESTAURANTS INC COM 237194105 465 14000 SH SOLE 465000 0 0 DARLING INTL INC COM 237266101 308 24000 SH SOLE 308000 0 0 DECKERS OUTDOOR CORP COM 243537107 377 4000 SH SOLE 377000 0 0 DEL MONTE FOODS CO COM 24522P103 527 55000 SH SOLE 527000 0 0 DELUXE CORP COM 248019101 265 14000 SH SOLE 265000 0 0 DEVON ENERGY CORP NEW COM 25179M103 334 3000 SH SOLE 334000 0 0 DIGITAL RIV INC COM 25388B104 511 17000 SH SOLE 511000 0 0 DISCOVER FINL SVCS COM 254709108 442 27000 SH SOLE 442000 0 0 DOLBY LABORATORIES INC COM 25659T107 638 18000 SH SOLE 638000 0 0 DOMTAR CORP COM 257559104 163 24000 SH SOLE 163000 0 0 DREAMWORKS 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SPONSORED ADR 29274F104 175 10000 SH SOLE 175000 0 0 ENI S P A SPONSORED ADR 26874R108 327 5000 SH SOLE 327000 0 0 ENPRO INDS INC DBCV 3.937%10/1 29355XAB3 2297 2000000 PRN SOLE 2297000 0 0 ENSCO INTL INC COM 26874Q100 282 5000 SH SOLE 282000 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 419 9000 SH SOLE 419000 0 0 EOG RES INC COM 26875P101 324 3000 SH SOLE 324000 0 0 EPICOR SOFTWARE CORP NOTE 2.375% 5/1 29426LAA6 2179 2500000 PRN SOLE 2179000 0 0 EQUITABLE RES INC COM 294549100 306 5000 SH SOLE 306000 0 0 EURONET WORLDWIDE INC COM 298736109 196 10000 SH SOLE 196000 0 0 EUROSEAS LTD COM NEW Y23592200 233 19000 SH SOLE 233000 0 0 EVEREST RE GROUP LTD COM G3223R108 233 3000 SH SOLE 233000 0 0 EXTERRAN HLDGS INC COM 30225X103 691 11000 SH SOLE 691000 0 0 EZCORP INC CL A NON VTG 302301106 352 29000 SH SOLE 352000 0 0 F M C CORP COM NEW 302491303 52294 942000 SH SOLE 52294000 0 0 FCSTONE GROUP INC COM 31308T100 263 10000 SH SOLE 263000 0 0 FEDERAL NATL MTG ASSN COM 313586109 387 15000 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SH SOLE 168000 0 0 IRIS INTL INC COM 46270W105 133 10000 SH SOLE 133000 0 0 ISHARES INC MSCI JAPAN 464286848 548 1040800 SH Call SOLE 0 0 0 ISHARES TR MSCI EMERG MKT 464287234 19604 146000 SH SOLE 19604000 0 0 ISILON SYS INC COM 46432L104 48 10000 SH SOLE 48000 0 0 J CREW GROUP INC COM 46612H402 437 10000 SH SOLE 437000 0 0 JA SOLAR HOLDINGS CO LTD SPON ADR 466090107 339 18000 SH SOLE 339000 0 0 JAKKS PAC INC COM 47012E106 601 22000 SH SOLE 601000 0 0 JDA SOFTWARE GROUP INC COM 46612K108 263 14000 SH SOLE 263000 0 0 JDS UNIPHASE CORP COM PAR $0.001 46612J507 151 11000 SH SOLE 151000 0 0 JO-ANN STORES INC COM 47758P307 336 23000 SH SOLE 336000 0 0 JONES LANG LASALLE INC COM 48020Q107 278 4000 SH SOLE 278000 0 0 K V PHARMACEUTICAL CO CL A 482740206 319 13000 SH SOLE 319000 0 0 KADANT INC COM 48282T104 541 18000 SH SOLE 541000 0 0 KENDLE INTERNATIONAL INC COM 48880L107 220 5000 SH SOLE 220000 0 0 KEY ENERGY SVCS INC COM 492914106 289 22000 SH SOLE 289000 0 0 KINETIC CONCEPTS INC COM NEW 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INC COM 64115T104 126 14000 SH SOLE 126000 0 0 NEW YORK & CO INC COM 649295102 122 21000 SH SOLE 122000 0 0 NEWFIELD EXPL CO COM 651290108 264 5000 SH SOLE 264000 0 0 NEXEN INC COM 65334H102 521 18000 SH SOLE 521000 0 0 NIKE INC CL B 654106103 231 3000 SH SOLE 231000 0 0 NIPPON TELEG & TEL CORP SPONSORED ADR 654624105 356 16000 SH SOLE 356000 0 0 NOBLE ENERGY INC COM 655044105 342 5000 SH SOLE 342000 0 0 NORTHGATE MINERALS CORP COM 666416102 88 28000 SH SOLE 88000 0 0 NOVATEL WIRELESS INC COM NEW 66987M604 195 20000 SH SOLE 195000 0 0 NVR INC COM 62944T105 239 400 SH SOLE 239000 0 0 NYSE EURONEXT COM 629491101 278 5000 SH SOLE 278000 0 0 OBAGI MEDICAL PRODUCTS INC COM 67423R108 207 24000 SH SOLE 207000 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 585 8000 SH SOLE 585000 0 0 ORACLE CORP COM 68389X105 3875 2500000 SH Call SOLE 0 0 0 OSHKOSH CORP COM 688239201 203 6000 SH SOLE 203000 0 0 OSI PHARMACEUTICALS INC COM 671040103 217 6000 SH SOLE 217000 0 0 OVERSEAS SHIPHOLDING GROUP I COM 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