0001085146-11-000941.txt : 20110815
0001085146-11-000941.hdr.sgml : 20110815
20110815145620
ACCESSION NUMBER: 0001085146-11-000941
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110630
FILED AS OF DATE: 20110815
DATE AS OF CHANGE: 20110815
EFFECTIVENESS DATE: 20110815
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: CNH PARTNERS LLC
CENTRAL INDEX KEY: 0001167456
IRS NUMBER: 134172062
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-10114
FILM NUMBER: 111035500
BUSINESS ADDRESS:
STREET 1: TWO GREENWICH PLAZA
STREET 2: 3RD FLOOR
CITY: GREENWICH
STATE: CT
ZIP: 06830
BUSINESS PHONE: 203-742-3600
MAIL ADDRESS:
STREET 1: TWO GREENWICH PLAZA
STREET 2: 3RD FLOOR
CITY: GREENWICH
STATE: CT
ZIP: 06830
13F-HR
1
cnh2q2011.txt
CNH PARTNERS 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, 2011
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: CNH Partners, LLC
Address: Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
13F File Number: 028-10114
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: Clifford S. Asness
Title: As Managing Member of AQR Capital Management, LLC
Phone: 203-742-3600
Signature, Place, and Date of Signing:
/s/ Clifford S. Asness Greenwich, CT August 08, 2011
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
Form 13F Information Table Entry Total: 396
Form 13F Information Table Value Total: $1,068,152 (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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
AAR CORP NOTE 1.750% 2/0 000361AH8 331 300000 PRN SOLE 0 0 0
ABINGTON BANCORP INC COM 00350L109 1969 188738 SH SOLE 188738 0 0
ACCURAY INC COM 004397105 472 58971 SH SOLE 58971 0 0
ACTUANT CORP SDCV 2.672%11/1 00508XAB0 378 275000 PRN SOLE 0 0 0
ADVANCED ANALOGIC TECHNOLOGI COM 00752J108 2092 345491 SH SOLE 345491 0 0
ADVANCED BATTERY TECHNOLOG I COM 00752H102 127 127891 SH SOLE 127891 0 0
AFFORDABLE RESIDENTIAL CMNTY NOTE 7.500% 8/1 00828UAB9 1027 975000 PRN SOLE 0 0 0
AGCO CORP NOTE 1.250%12/1 001084AM4 5380 4000000 PRN SOLE 0 0 0
AKAMAI TECHNOLOGIES INC COM 00971T101 7128 226500 SH SOLE 226500 0 0
ALEXION PHARMACEUTICALS INC COM 015351109 17635 374970 SH SOLE 374970 0 0
ALLEGHENY TECHNOLOGIES INC COM 01741R102 1902 29960 SH SOLE 29960 0 0
ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 16600 10000000 PRN SOLE 0 0 0
ALLIANCE DATA SYSTEMS CORP NOTE 4.750% 5/1 018581AC2 6233 3000000 PRN SOLE 0 0 0
ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 637 500000 PRN SOLE 0 0 0
ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 8651 9000000 PRN SOLE 0 0 0
ALPHA NATURAL RESOURCES INC COM 02076X102 3159 69511 SH SOLE 69511 0 0
AMERICAN CAPITAL AGENCY CORP COM 02503X105 326 11200 SH SOLE 11200 0 0
AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 4691 4500000 PRN SOLE 0 0 0
AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 212 137000 PRN SOLE 0 0 0
AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 1466 863000 PRN SOLE 0 0 0
ANCESTRY COM INC COM 032803108 414 10000 SH SOLE 10000 0 0
ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 357 300000 PRN SOLE 0 0 0
ANTARES PHARMA INC COM 036642106 111 50000 SH SOLE 50000 0 0
ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 5129 3700000 PRN SOLE 0 0 0
ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 810 775000 PRN SOLE 0 0 0
ASA GOLD AND PRECIOUS MTLS L SHS G3156P103 617 21588 SH SOLE 21588 0 0
ASHFORD HOSPITALITY TR INC COM SHS 044103109 174 14000 SH SOLE 14000 0 0
AUSTRALIA ACQUISITION CORP SHS G06368107 1145 118000 SH SOLE 118000 0 0
AUTHENTIDATE HLDG CORP COM 052666104 24 20319 SH SOLE 20319 0 0
AUTOCHINA INTERNATIONAL LIMI SHS G06750106 311 10639 SH SOLE 10639 0 0
AVATAR HLDGS INC NOTE 7.500% 2/1 053494AG5 1005 1000000 PRN SOLE 0 0 0
AVI BIOPHARMA INC COM 002346104 75 52500 SH SOLE 52500 0 0
AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 319 250000 PRN SOLE 0 0 0
BABCOCK & WILCOX CO NEW COM 05615F102 633 22851 SH SOLE 22851 0 0
BALTIC TRADING LIMITED COM Y0553W103 72 12494 SH SOLE 12494 0 0
BANCORP RHODE ISLAND INC COM 059690107 1649 36379 SH SOLE 36379 0 0
BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 2006 2000 SH SOLE 2000 0 0
BARNES & NOBLE INC COM 067774109 544 32800 SH SOLE 32800 0 0
BARNES GROUP INC COM 067806109 3462 139532 SH SOLE 139532 0 0
BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 1316 69700 SH SOLE 69700 0 0
BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 2310 140225 SH SOLE 140225 0 0
BECKMAN COULTER INC COM 075811109 1670 20003 SH SOLE 20003 0 0
BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 3452 2880000 PRN SOLE 0 0 0
BHP BILLITON PLC SPONSORED ADR 05545E209 3310 42200 SH SOLE 42200 0 0
BIOMARIN PHARMACEUTICAL INC COM 09061G101 2793 102658 SH SOLE 102658 0 0
BJS WHOLESALE CLUB INC COM 05548J106 1275 25323 SH SOLE 25323 0 0
BLACKROCK CORE BD TR SHS BEN INT 09249E101 459 36606 SH SOLE 36606 0 0
BLACKROCK CORPOR HI YLD III COM 09255M104 383 52441 SH SOLE 52441 0 0
BLACKROCK CREDIT ALL IN TR I COM SHS 09249V103 453 41809 SH SOLE 41809 0 0
BLACKROCK CREDIT ALL INC TR COM 092508100 453 36245 SH SOLE 36245 0 0
BLACKROCK CREDIT ALL INC TR COM 09255H105 455 44847 SH SOLE 44847 0 0
BLACKROCK INCOME OPP TRUST I COM 092475102 520 53770 SH SOLE 53770 0 0
BOSTON PRIVATE FINL HLDGS IN *W EXP 11/21/201 101119113 34 16107 SH SOLE 16107 0 0
BUCYRUS INTL INC NEW COM 118759109 4813 52508 SH SOLE 52508 0 0
CALIFORNIA PIZZA KITCHEN INC COM 13054D109 4599 248987 SH SOLE 248987 0 0
CAPITALSOURCE INC SDCV 4.000% 7/1 14055XAE2 955 950000 PRN SOLE 0 0 0
CARRIZO OIL & CO INC NOTE 4.375% 6/0 144577AA1 171 168000 PRN SOLE 0 0 0
CAZADOR ACQUISITION CORPORAT SHS G19867103 1069 110323 SH SOLE 110323 0 0
CENTER FINL CORP CALIF COM 15146E102 1775 279487 SH SOLE 279487 0 0
CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 272 330000 PRN SOLE 0 0 0
CENTRAL VT PUB SVC CORP COM 155771108 922 25492 SH SOLE 25492 0 0
CENTURYLINK INC COM 156700106 2809 69466 SH SOLE 69466 0 0
CEPHALON INC COM 156708109 3530 44184 SH SOLE 44184 0 0
CEPHALON INC NOTE 2.000% 6/0 156708AP4 11427 6586000 PRN SOLE 0 0 0
CEPHALON INC NOTE 2.500% 5/0 156708AR0 1387 1128000 PRN SOLE 0 0 0
CEREPLAST INC COM NEW 156732307 138 31078 SH SOLE 31078 0 0
CHEMSPEC INTL LTD ADR 163868102 147 20448 SH SOLE 20448 0 0
CHINA CENTY DRAGON MEDIA INC COM NEW 16936D205 2 24506 SH SOLE 24506 0 0
CHINA FIRE & SEC GROUP INC COM 16938R103 92 11723 SH SOLE 11723 0 0
CHINA GENGSHENG MINERALS INC COM 16942P101 156 83247 SH SOLE 83247 0 0
CHINA GROWTH EQUITY INV LTD UNIT 05/14/2016 G2114K115 500 50000 SH SOLE 50000 0 0
CHINA HYDROELECTRIC CORP SPONSORED ADR 16949D101 60 14718 SH SOLE 14718 0 0
CHINA MED TECHNOLOGIES INC NOTE 4.000% 8/1 169483AC8 1380 1890000 PRN SOLE 0 0 0
CHINA MED TECHNOLOGIES INC NOTE 6.250%12/1 169483AE4 3323 4600000 PRN SOLE 0 0 0
CHINA SEC & SURVE TECH INC COM 16942J105 244 46094 SH SOLE 46094 0 0
CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 293 300000 PRN SOLE 0 0 0
CNINSURE INC SPONSORED ADR 18976M103 273 18505 SH SOLE 18505 0 0
COINSTAR INC NOTE 4.000% 9/0 19259PAF9 13876 9025000 PRN SOLE 0 0 0
COMCAST CORP NEW CL A SPL 20030N200 5822 240289 SH SOLE 240289 0 0
COMERICA INC *W EXP 11/14/201 200340115 910 81430 SH SOLE 81430 0 0
COMMUNITY CAP CORP S C COM 20363C102 202 63186 SH SOLE 63186 0 0
COMPUCREDIT HLDGS CORP NOTE 3.625% 5/3 20478NAB6 1890 2000000 PRN SOLE 0 0 0
COMPUCREDIT HLDGS CORP COM 20478T107 71 30645 SH SOLE 30645 0 0
COMTECH TELECOMMUNICATIONS C NOTE 3.000% 5/0 205826AF7 1899 1800000 PRN SOLE 0 0 0
CONSTELLATION ENERGY GROUP I COM 210371100 6401 168618 SH SOLE 168618 0 0
CONTINUCARE CORP COM 212172100 2537 410537 SH SOLE 410537 0 0
CONVERGYS CORP SDCV 5.750% 9/1 212485AE6 6828 4725000 PRN SOLE 0 0 0
CONVERTED ORGANICS INC *W EXP 12/31/201 21254S131 3 100000 SH SOLE 100000 0 0
CORMEDIX INC COM 21900C100 111 75296 SH SOLE 75296 0 0
CORMEDIX INC *W EXP 03/24/201 21900C118 14 37700 SH SOLE 37700 0 0
CORPORATE OFFICE PPTYS TR SH BEN INT 22002T108 280 9000 SH SOLE 9000 0 0
COWEN GROUP INC NEW CL A 223622101 959 255010 SH SOLE 255010 0 0
D R HORTON INC NOTE 2.000% 5/1 23331ABB4 10124 9100000 PRN SOLE 0 0 0
DANVERS BANCORP INC COM 236442109 3569 163936 SH SOLE 163936 0 0
DELTA PETE CORP NOTE 3.750% 5/0 247907AD0 446 500000 PRN SOLE 0 0 0
DENDREON CORP NOTE 4.750% 6/1 24823QAB3 394 100000 PRN SOLE 0 0 0
DENDREON CORP NOTE 2.875% 1/1 24823QAC1 5298 4800000 PRN SOLE 0 0 0
DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 1757 1675000 PRN SOLE 0 0 0
DEXCOM INC COM 252131107 278 19184 SH SOLE 19184 0 0
DIGITAL RLTY TR INC COM 253868103 1142 18491 SH SOLE 18491 0 0
DIODES INC NOTE 2.250%10/0 254543AA9 1004 1000000 PRN SOLE 0 0 0
DISCOVERY COMMUNICATNS NEW COM SER C 25470F302 4916 134507 SH SOLE 134507 0 0
DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1675 1575000 PRN SOLE 0 0 0
DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 3268 44317 SH SOLE 44317 0 0
DPL INC COM 233293109 1065 35316 SH SOLE 35316 0 0
DST SYS INC DEL DBCV 8/1 233326AE7 1373 1150000 PRN SOLE 0 0 0
DSW INC CL A 23334L102 2065 40793 SH SOLE 40793 0 0
DUFF & PHELPS UTIL CORP BD T COM 26432K108 256 22570 SH SOLE 22570 0 0
DYNAVOX INC CL A 26817F104 105 13754 SH SOLE 13754 0 0
EASTMAN KODAK CO NOTE 7.000% 4/0 277461BJ7 1974 2250000 PRN SOLE 0 0 0
EATON VANCE ENHANCED EQ INC COM 278274105 209 17390 SH SOLE 17390 0 0
EATON VANCE RISK MNGD DIV EQ COM 27829G106 917 72698 SH SOLE 72698 0 0
EATON VANCE TAX MNG GBL DV E COM 27829F108 312 29776 SH SOLE 29776 0 0
EATON VANCE TX MGD DIV EQ IN COM 27828N102 365 33402 SH SOLE 33402 0 0
EATON VANCE TXMGD GL BUYWR O COM 27829C105 251 20666 SH SOLE 20666 0 0
EMMIS COMMUNICATIONS CORP CL A 291525103 616 559576 SH SOLE 559576 0 0
EMS TECHNOLOGIES INC COM 26873N108 1552 47066 SH SOLE 47066 0 0
ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 2923 2000000 PRN SOLE 0 0 0
ENERGY CONVERSION DEVICES IN NOTE 3.000% 6/1 292659AA7 134 250000 PRN SOLE 0 0 0
ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 20425 13072000 PRN SOLE 0 0 0
ENSCO PLC SPONSORED ADR 29358Q109 6950 130397 SH SOLE 130397 0 0
ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 1575 1325000 PRN SOLE 0 0 0
EQUINIX INC NOTE 4.750% 6/1 29444UAH9 2693 1900000 PRN SOLE 0 0 0
EVERGREEN SOLAR INC NOTE 4.000% 7/1 30033RAC2 463 5000000 PRN SOLE 0 0 0
EXCO RESOURCES INC COM 269279402 2930 165981 SH SOLE 165981 0 0
EXIDE TECHNOLOGIES FRNT 9/1 302051AL1 1860 2000000 PRN SOLE 0 0 0
EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 2228 2000000 PRN SOLE 0 0 0
FAMILY DLR STORES INC COM 307000109 1593 30309 SH SOLE 30309 0 0
FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 1260 8860 SH SOLE 8860 0 0
FINISAR CORP COM NEW 31787A507 3165 175554 SH SOLE 175554 0 0
FINISAR CORP NOTE 5.000%10/1 31787AAK7 1478 800000 PRN SOLE 0 0 0
FIRSTSERVICE CORP SDCV 6.500%12/3 33761NAA7 1341 1000000 PRN SOLE 0 0 0
FNB CORP PA COM 302520101 181 17500 SH SOLE 17500 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 19994 1449898 SH SOLE 1449898 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 6042 114208 SH SOLE 114208 0 0
FRONTIER OIL CORP COM 35914P105 6804 210581 SH SOLE 210581 0 0
FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 1238 975000 PRN SOLE 0 0 0
FUNDTECH LTD ORD M47095100 729 36498 SH SOLE 36498 0 0
FUSHI COPPERWELD INC COM 36113E107 752 131225 SH SOLE 131225 0 0
GABELLI GLOBAL MULTIMEDIA TR COM 36239Q109 192 24142 SH SOLE 24142 0 0
GASCO ENERGY INC COM 367220100 71 321250 SH SOLE 321250 0 0
GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 84 100000 PRN SOLE 0 0 0
GENCORP INC SDCV 4.062%12/3 368682AN0 4652 4550000 PRN SOLE 0 0 0
GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 1628 1500000 PRN SOLE 0 0 0
GLOBAL CROSSING LTD SHS NEW G3921A175 2132 55562 SH SOLE 55562 0 0
GLOBAL EAGLE ACQUISITION COR UNIT 99/99/9999 37951D201 2002 192500 SH SOLE 192500 0 0
GMX RES INC NOTE 4.500% 5/0 38011MAJ7 4131 5000000 PRN SOLE 0 0 0
GOLD RESV INC NOTE 5.500% 6/1 38068NAB4 380 500000 PRN SOLE 0 0 0
GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 629 500000 PRN SOLE 0 0 0
GOODRICH PETE CORP NOTE 3.250%12/0 382410AB4 227 225000 PRN SOLE 0 0 0
GOODRICH PETE CORP NOTE 5.000%10/0 382410AC2 393 400000 PRN SOLE 0 0 0
GOODYEAR TIRE & RUBR CO PFD CONV 382550309 473 8500 SH SOLE 8500 0 0
GRAHAM PACKAGING CO INC COM 384701108 1887 74811 SH SOLE 74811 0 0
GREENBRIER COS INC NOTE 2.375% 5/1 393657AD3 290 300000 PRN SOLE 0 0 0
GSI COMMERCE INC NOTE 2.500% 6/0 36238GAD4 570 500000 PRN SOLE 0 0 0
GTX INC DEL COM 40052B108 108 22500 SH SOLE 22500 0 0
HANCOCK HLDG CO COM 410120109 2210 71324 SH SOLE 71324 0 0
HANOVER COMPRESSOR CO NOTE 4.750% 1/1 410768AE5 1665 1690000 PRN SOLE 0 0 0
HARVEST NATURAL RESOURCES IN NOTE 8.250% 3/0 41754VAA1 7103 3486000 PRN SOLE 0 0 0
HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 514 500000 PRN SOLE 0 0 0
HECKMANN CORP *W EXP 11/09/201 422680116 47 105000 SH SOLE 105000 0 0
HEICO CORP NEW CL A 422806208 1625 40861 SH SOLE 40861 0 0
HELIX ENERGY SOLUTIONS GRP I COM 42330P107 248 15000 SH SOLE 15000 0 0
HERALD NATL BK NEW YORK COM 42703Q104 94 23853 SH SOLE 23853 0 0
HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 30637 15000000 PRN SOLE 0 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AA9 975 1000000 PRN SOLE 0 0 0
HOVNANIAN ENTERPRISES INC UNIT 99/99/9999 44248W208 318 20000 SH SOLE 20000 0 0
HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 920 800 SH SOLE 800 0 0
HUTCHINSON TECHNOLOGY INC NOTE 3.250% 1/1 448407AF3 119 146000 PRN SOLE 0 0 0
HUTCHINSON TECHNOLOGY INC NOTE 8.500% 1/1 448407AG1 44 52000 PRN SOLE 0 0 0
HYPERCOM CORP COM 44913M105 4469 454662 SH SOLE 454662 0 0
ICONIX BRAND GROUP INC NOTE 1.875% 6/3 451055AB3 263 250000 PRN SOLE 0 0 0
IDENTIVE GROUP INC COM 45170X106 46 20000 SH SOLE 20000 0 0
IFM INVTS LTD ADS 45172L100 21 14258 SH SOLE 14258 0 0
INCYTE CORP NOTE 4.750%10/0 45337CAJ1 1384 600000 PRN SOLE 0 0 0
INLAND REAL ESTATE CORP NOTE 5.000%11/1 457461AC5 201 198000 PRN SOLE 0 0 0
INSULET CORP NOTE 5.375% 6/1 45784PAA9 1914 1500000 PRN SOLE 0 0 0
INTEGRAL SYS INC MD COM 45810H107 427 35127 SH SOLE 35127 0 0
INTEL CORP COM 458140100 576 26000 SH SOLE 26000 0 0
INTELLIPHARMACEUTICS INTL IN COM 458173101 64 16040 SH SOLE 16040 0 0
INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 599 500000 PRN SOLE 0 0 0
INVACARE CORP SDCV 4.125% 2/0 461203AD3 2863 2000000 PRN SOLE 0 0 0
INVESCO MORTGAGE CAPITAL INC COM 46131B100 296 14000 SH SOLE 14000 0 0
INVESCO VAN KAMP BOND FND COM 46132L107 501 26274 SH SOLE 26274 0 0
JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 816 750000 PRN SOLE 0 0 0
JETBLUE AIRWAYS CORP DBCV 5.500%10/1 477143AD3 4496 3000000 PRN SOLE 0 0 0
KAISER ALUMINUM CORP COM PAR $0.01 483007704 297 5440 SH SOLE 5440 0 0
KANDI TECHNOLOGIES CORP COM 483709101 125 69741 SH SOLE 69741 0 0
KANSAS CITY SOUTHERN COM NEW 485170302 2420 40793 SH SOLE 40793 0 0
KENDLE INTERNATIONAL INC COM 48880L107 862 57153 SH SOLE 57153 0 0
KENDLE INTERNATIONAL INC NOTE 3.375% 7/1 48880LAA5 6649 6616000 PRN SOLE 0 0 0
KEYCORP NEW PFD 7.75% SR A 493267405 3924 35000 SH SOLE 35000 0 0
KINDRED HEALTHCARE INC COM 494580103 1713 79780 SH SOLE 79780 0 0
KINGOLD JEWELRY INC COM NEW 49579A204 70 48202 SH SOLE 48202 0 0
KIPS BAY MED INC COM 49726K105 51 15794 SH SOLE 15794 0 0
KKR FINANCIAL HLDGS LLC NOTE 7.000% 7/1 48248AAB4 210 200000 PRN SOLE 0 0 0
KRATOS DEFENSE & SEC SOLUTIO COM NEW 50077B207 133 10961 SH SOLE 10961 0 0
L-1 IDENTITY SOLUTIONS INC COM 50212A106 3523 299811 SH SOLE 299811 0 0
L-1 IDENTITY SOLUTIONS INC NOTE 3.750% 5/1 50212AAB2 1518 1514000 PRN SOLE 0 0 0
LAWSON SOFTWARE INC NEW COM 52078P102 4571 407419 SH SOLE 407419 0 0
LAWSON SOFTWARE INC NEW NOTE 2.500% 4/1 52078PAA0 1285 1239000 PRN SOLE 0 0 0
LDK SOLAR CO LTD NOTE 4.750% 4/1 50183LAD9 186 200000 PRN SOLE 0 0 0
LEGACY BANCORP INC CL A 52463G105 160 11560 SH SOLE 11560 0 0
LENNAR CORP CL B 526057302 1084 73850 SH SOLE 73850 0 0
LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 14155 8785000 PRN SOLE 0 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 150 150000 PRN SOLE 0 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 6540 4100000 PRN SOLE 0 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 6447 3050000 PRN SOLE 0 0 0
LIBERTY GLOBAL INC COM SER C 530555309 4731 110806 SH SOLE 110806 0 0
LINCOLN NATL CORP IND *W EXP 07/10/201 534187117 3126 154590 SH SOLE 154590 0 0
LOEWS CORP COM 540424108 808 19200 SH SOLE 19200 0 0
LOOPNET INC COM 543524300 4895 266306 SH SOLE 266306 0 0
LUBRIZOL CORP COM 549271104 6642 49464 SH SOLE 49464 0 0
LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2450 2500000 PRN SOLE 0 0 0
M & T BK CORP COM 55261F104 915 10406 SH SOLE 10406 0 0
MAGIC SOFTWARE ENTERPRISES L ORD 559166103 215 43238 SH SOLE 43238 0 0
MAGNUM HUNTER RES CORP DEL COM 55973B102 1670 247019 SH SOLE 247019 0 0
MANNKIND CORP COM 56400P201 372 97785 SH SOLE 97785 0 0
MANNKIND CORP NOTE 3.750%12/1 56400PAA0 1148 2000000 PRN SOLE 0 0 0
MARSHALL & ILSLEY CORP NEW COM 571837103 6486 813762 SH SOLE 813762 0 0
MASTEC INC COM 576323109 2449 124190 SH SOLE 124190 0 0
MASTEC INC NOTE 4.000% 6/1 576323AL3 573 400000 PRN SOLE 0 0 0
MCCORMICK & SCHMICKS SEAFD R COM 579793100 644 74959 SH SOLE 74959 0 0
MCDERMOTT INTL INC COM 580037109 774 39064 SH SOLE 39064 0 0
MEDIAMIND TECHNOLOGIES INC COM 58449C100 2205 100515 SH SOLE 100515 0 0
MENTOR GRAPHICS CORP COM 587200106 894 69810 SH SOLE 69810 0 0
METALS USA HLDGS CORP COM 59132A104 373 25064 SH SOLE 25064 0 0
MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 4051 3500000 PRN SOLE 0 0 0
MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 8044 8975000 PRN SOLE 0 0 0
MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 1085 1000000 PRN SOLE 0 0 0
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 1366 1000000 PRN SOLE 0 0 0
MICRON TECHNOLOGY INC COM 595112103 654 87367 SH SOLE 87367 0 0
MINDSPEED TECHNOLOGIES INC COM NEW 602682205 715 89394 SH SOLE 89394 0 0
MOLEX INC CL A 608554200 4608 214531 SH SOLE 214531 0 0
MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 1158 1000000 PRN SOLE 0 0 0
MOLSON COORS BREWING CO CL B 60871R209 333 7448 SH SOLE 7448 0 0
MONTGOMERY STR INCOME SECS I COM 614115103 182 11438 SH SOLE 11438 0 0
MORGAN STANLEY INCOME SEC INC 61745P874 459 26613 SH SOLE 26613 0 0
MOSAIC CO NEW COM 61945C103 4402 65000 SH SOLE 65000 0 0
MOTOROLA MOBILITY HLDGS INC COM 620097105 338 15337 SH SOLE 15337 0 0
MOTOROLA SOLUTIONS INC COM NEW 620076307 807 17529 SH SOLE 17529 0 0
MYLAN INC COM 628530107 12827 519937 SH SOLE 519937 0 0
MYLAN INC NOTE 1.250% 3/1 628530AG2 1118 1000000 PRN SOLE 0 0 0
NASDAQ OMX GROUP INC COM 631103108 281 11100 SH SOLE 11100 0 0
NASH FINCH CO FRNT 1.631% 3/1 631158AD4 11641 24900000 PRN SOLE 0 0 0
NATIONAL SEMICONDUCTOR CORP COM 637640103 2564 104202 SH SOLE 104202 0 0
NATIONWIDE HEALTH PPTYS INC COM 638620104 5212 125862 SH SOLE 125862 0 0
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NESS TECHNOLOGIES INC COM 64104X108 2373 313425 SH SOLE 313425 0 0
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PNC FINL SVCS GROUP INC *W EXP 12/31/201 693475121 676 54400 SH SOLE 54400 0 0
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RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 314 300000 PRN SOLE 0 0 0
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SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 4137 1700000 PRN SOLE 0 0 0
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TAKE-TWO INTERACTIVE SOFTWAR NOTE 4.375% 6/0 874054AA7 19845 12550000 PRN SOLE 0 0 0
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VIACOM INC NEW CL B 92553P201 1921 37667 SH SOLE 37667 0 0
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