Chief Operating Officer & Chief Compliance Officer

0001172661-14-000276.txt : 20140207 0001172661-14-000276.hdr.sgml : 20140207 20140207084632 ACCESSION NUMBER: 0001172661-14-000276 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20131231 FILED AS OF DATE: 20140207 DATE AS OF CHANGE: 20140207 EFFECTIVENESS DATE: 20140207 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SSI INVESTMENT MANAGEMENT INC CENTRAL INDEX KEY: 0000938487 IRS NUMBER: 952913505 STATE OF INCORPORATION: CA FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-04720 FILM NUMBER: 14581967 BUSINESS ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLY HILLS STATE: CA ZIP: 90210 BUSINESS PHONE: 3105952000 MAIL ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLY HILLS STATE: CA ZIP: 90210 13F-HR 1 primary_doc.xml 13F-HR LIVE false true false 0000938487 XXXXXXXX 12-31-2013 12-31-2013 false SSI INVESTMENT MANAGEMENT INC

9440 Santa Monica Blvd. 8th Floor Beverly Hills CA 90210

13F HOLDINGS REPORT 028-04720 N Syed Mehdi Chief Operating Officer & Chief Compliance Officer 310-595-2001 /s/ Syed Mehdi Beverly Hills CA 02-07-2014 0 407 1127921 INFORMATION TABLE 2 infotable.xml 3M CO COM 88579Y101 1215 8667 SH SOLE 8667 0 0 ABBOTT LABS COM 002824100 688 17940 SH SOLE 17940 0 0 ABBVIE INC COM 00287Y109 1007 19062 SH SOLE 19062 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 498 6079 SH SOLE 6079 0 0 ACELRX PHARMACEUTICALS INC COM 00444T100 863 76087 SH SOLE 76087 0 0 ACTAVIS PLC SHS G0083B108 1210 7202 SH SOLE 7202 0 0 AEGEAN MARINE PETE NETWORK I NOTE 4.000%11/0 Y0020QAA9 2111 2000000 PRN SOLE 2000000 0 0 AFFILIATED MANAGERS GROUP COM 008252108 311 1430 SH SOLE 1430 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 843 14756 SH SOLE 14756 0 0 AIR LEASE CORP NOTE 3.875%12/0 00912XAK0 3015 2248000 PRN SOLE 2248000 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1777 1051000 PRN SOLE 1051000 0 0 AKORN INC NOTE 3.500% 6/0 009728AB2 2546 895000 PRN SOLE 895000 0 0 ALBANY 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04010LAG8 2776 2639000 PRN SOLE 2639000 0 0 ASCENT CAP GROUP INC NOTE 4.000% 7/1 043632AA6 5493 5150000 PRN SOLE 5150000 0 0 AT&T INC COM 00206R102 1918 54541 SH SOLE 54541 0 0 AUDIENCE INC COM 05070J102 898 77245 SH SOLE 77245 0 0 AUXILIUM PHARMACEUTICALS INC COM 05334D107 690 33289 SH SOLE 33289 0 0 AUXILIUM PHARMACEUTICALS INC NOTE 1.500% 7/1 05334DAA5 494 446000 PRN SOLE 446000 0 0 BANC CALIF INC COM 05990K106 757 56525 SH SOLE 56525 0 0 BANK NEW YORK MELLON CORP COM 064058100 826 23647 SH SOLE 23647 0 0 BANK OF AMERICA CORPORATION COM 060505104 1335 85811 SH SOLE 85811 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 6974 6573 SH SOLE 6573 0 0 BARCLAYS PLC ADR 06738E204 1328 73283 SH SOLE 73283 0 0 BARNES & NOBLE INC COM 067774109 298 19940 SH SOLE 19940 0 0 BASIC ENERGY SVCS INC NEW COM 06985P100 316 20015 SH SOLE 20015 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 1617 13645 SH SOLE 13645 0 0 BIND THERAPEUTICS INC COM 05548N107 356 23580 SH SOLE 23580 0 0 BIOGEN IDEC INC COM 09062X103 423 1516 SH SOLE 1516 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 348 4953 SH SOLE 4953 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 93 27000 PRN SOLE 27000 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 0.750%10/1 09061GAE1 2898 2733000 PRN SOLE 2733000 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.500%10/1 09061GAF8 3103 2887000 PRN SOLE 2887000 0 0 BOEING CO COM 097023105 1148 8395 SH SOLE 8395 0 0 BONANZA CREEK ENERGY INC COM 097793103 659 15165 SH SOLE 15165 0 0 BON-TON STORES INC COM 09776J101 295 18130 SH SOLE 18130 0 0 BOTTOMLINE TECH DEL INC NOTE 1.500%12/0 101388AA4 8008 5976000 PRN SOLE 5976000 0 0 BPZ RESOURCES INC NOTE 8.500%10/0 055639AC2 1711 2000000 PRN SOLE 2000000 0 0 BRANDYWINE RLTY TR SH BEN INT NEW 105368203 897 63755 SH SOLE 63755 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 650 12240 SH SOLE 12240 0 0 BRISTOW GROUP INC NOTE 3.000% 6/1 110394AC7 2118 1729000 PRN SOLE 1729000 0 0 BROOKDALE SR LIVING INC NOTE 2.750% 6/1 112463AA2 464 392000 PRN SOLE 392000 0 0 CABOT OIL & GAS CORP COM 127097103 966 24905 SH SOLE 24905 0 0 CACI INTL INC NOTE 2.125% 5/0 127190AD8 861 644000 PRN SOLE 644000 0 0 CADENCE DESIGN SYSTEM INC COM 127387108 822 58670 SH SOLE 58670 0 0 CADENCE DESIGN SYSTEM INC NOTE 2.625% 6/0 127387AJ7 8211 4371000 PRN SOLE 4371000 0 0 CAESARS ENTMT CORP COM 127686103 371 17230 SH SOLE 17230 0 0 CALLAWAY GOLF CO NOTE 3.750% 8/1 131193AC8 4293 3500000 PRN SOLE 3500000 0 0 CAMDEN PPTY TR SH BEN INT 133131102 849 14942 SH SOLE 14942 0 0 CANCER GENETICS INC COM 13739U104 868 62959 SH SOLE 62959 0 0 CAPITAL ONE FINL CORP COM 14040H105 1743 22737 SH SOLE 22737 0 0 CARBONITE INC COM 141337105 349 29410 SH SOLE 29410 0 0 CASELLA WASTE SYS INC CL A 147448104 732 126145 SH SOLE 126145 0 0 CATERPILLAR INC DEL COM 149123101 546 6028 SH SOLE 6028 0 0 CBS CORP NEW CL B 124857202 1070 16780 SH SOLE 16780 0 0 CELGENE CORP COM 151020104 1689 9984 SH SOLE 9984 0 0 CEMEX SAB DE CV NOTE 3.750% 3/1 151290BC6 13527 9975000 PRN SOLE 9975000 0 0 CHEMED CORP NEW NOTE 1.875% 5/1 16359RAC7 1926 1855000 PRN SOLE 1855000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 660 650000 PRN SOLE 650000 0 0 CHEVRON CORP NEW COM 166764100 2407 19288 SH SOLE 19288 0 0 CHIMERIX INC COM 16934W106 308 20440 SH SOLE 20440 0 0 CHINACACHE INTL HLDG LTD SPON ADR 16950M107 328 36780 SH SOLE 36780 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 3881 4000000 PRN SOLE 4000000 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 937 920000 PRN SOLE 920000 0 0 CIENA CORP DEBT 4.000%12/1 171779AK7 10300 7000000 PRN SOLE 7000000 0 0 CIMATRON LTD ORD M23798107 676 74865 SH SOLE 74865 0 0 CISCO SYS INC COM 17275R102 2393 106673 SH SOLE 106673 0 0 CITIGROUP INC COM NEW 172967424 3965 76108 SH SOLE 76108 0 0 CMS ENERGY CORP COM 125896100 1414 52786 SH SOLE 52786 0 0 COBALT INTL ENERGY INC NOTE 2.625%12/0 19075FAA4 4436 5018000 PRN SOLE 5018000 0 0 COCA COLA CO COM 191216100 1656 40075 SH SOLE 40075 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 491 4853 SH SOLE 4853 0 0 COMCAST CORP NEW CL A 20030N101 3868 74496 SH SOLE 74496 0 0 CONOCOPHILLIPS COM 20825C104 415 5867 SH SOLE 5867 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 4057 1986000 PRN SOLE 1986000 0 0 CORINTHIAN COLLEGES INC COM 218868107 329 184710 SH SOLE 184710 0 0 CORNERSTONE ONDEMAND INC COM 21925Y103 798 14963 SH SOLE 14963 0 0 COSTCO WHSL CORP NEW COM 22160K105 201 1692 SH SOLE 1692 0 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 3968 3385000 PRN SOLE 3385000 0 0 CROWN CASTLE INTL CORP CNV PFD STK SR A 228227500 3830 38467 SH SOLE 38467 0 0 CSX CORP COM 126408103 287 10001 SH SOLE 10001 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 13095 5384000 PRN SOLE 5384000 0 0 CVS CAREMARK CORPORATION COM 126650100 2143 29962 SH SOLE 29962 0 0 CYNOSURE INC CL A 232577205 1044 39259 SH SOLE 39259 0 0 CYRUSONE INC COM 23283R100 336 15030 SH SOLE 15030 0 0 D R HORTON INC COM 23331A109 1277 57246 SH SOLE 57246 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 8966 5196000 PRN SOLE 5196000 0 0 DANAHER CORP DEL COM 235851102 843 10919 SH SOLE 10919 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 1786 796000 PRN SOLE 796000 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 1016 36941 SH SOLE 36941 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 3523 3153000 PRN SOLE 3153000 0 0 DFC GLOBAL CORP NOTE 3.250% 4/1 23324TAB3 4254 4750000 PRN SOLE 4750000 0 0 DISCOVER FINL SVCS COM 254709108 690 12305 SH SOLE 12305 0 0 DISCOVERY COMMUNICATNS NEW COM SER A 25470F104 830 9178 SH SOLE 9178 0 0 DISNEY WALT CO COM DISNEY 254687106 1488 19459 SH SOLE 19459 0 0 DOLLAR FINL CORP NOTE 3.000% 4/0 256664AC7 289 300000 PRN SOLE 300000 0 0 DOMINION RES INC VA NEW UNIT 04/01/2013 25746U703 2688 49528 SH SOLE 49528 0 0 DOW CHEM CO COM 260543103 795 17909 SH SOLE 17909 0 0 DTE ENERGY CO COM 233331107 1123 16904 SH SOLE 16904 0 0 DUKE ENERGY CORP NEW COM NEW 26441C204 1145 16572 SH SOLE 16572 0 0 E M C CORP MASS COM 268648102 685 27184 SH SOLE 27184 0 0 EASTMAN CHEM CO COM 277432100 1137 14094 SH SOLE 14094 0 0 EATON CORP PLC SHS G29183103 1479 19436 SH SOLE 19436 0 0 EBAY INC COM 278642103 2152 39231 SH SOLE 39231 0 0 ELECTRONIC ARTS INC NOTE 0.750% 7/1 285512AA7 3082 2898000 PRN SOLE 2898000 0 0 EMERITUS CORP COM 291005106 318 14660 SH SOLE 14660 0 0 EMERSON ELEC CO COM 291011104 613 8731 SH SOLE 8731 0 0 ENDEAVOUR INTL CORP COM NEW 29259G200 780 148190 SH SOLE 148190 0 0 ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 2995 1293000 PRN SOLE 1293000 0 0 ENTRAVISION COMMUNICATIONS C CL A 29382R107 229 37725 SH SOLE 37725 0 0 EOG RES INC COM 26875P101 554 3301 SH SOLE 3301 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 7920 4976000 PRN SOLE 4976000 0 0 ESPERION THERAPEUTICS INC NE COM 29664W105 325 23585 SH SOLE 23585 0 0 EXELIXIS INC NOTE 4.250% 8/1 30161QAC8 2448 2000000 PRN SOLE 2000000 0 0 EXPRESS SCRIPTS HLDG CO COM 30219G108 680 9683 SH SOLE 9683 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 2193 1473000 PRN SOLE 1473000 0 0 EXXON MOBIL CORP COM 30231G102 4767 47093 SH SOLE 47093 0 0 EZCHIP SEMICONDUCTOR LIMITED ORD M4146Y108 765 31068 SH SOLE 31068 0 0 F5 NETWORKS INC COM 315616102 799 8805 SH SOLE 8805 0 0 FACEBOOK INC CL A 30303M102 845 15421 SH SOLE 15421 0 0 FEDEX CORP COM 31428X106 1257 8753 SH SOLE 8753 0 0 FIDELITY NATIONAL FINANCIAL NOTE 4.250% 8/1 31620RAE5 2721 1664000 PRN SOLE 1664000 0 0 FIRST BANCORP P R COM NEW 318672706 624 100845 SH SOLE 100845 0 0 FOOT LOCKER INC COM 344849104 2240 53987 SH SOLE 53987 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 548 35562 SH SOLE 35562 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 8221 4455000 PRN SOLE 4455000 0 0 FOREST CITY ENTERPRISES INC NOTE 4.250% 8/1 345550AP2 7959 7154000 PRN SOLE 7154000 0 0 FORESTAR GROUP INC NOTE 3.750% 3/0 346232AB7 7277 6312000 PRN SOLE 6312000 0 0 FORTUNE BRANDS HOME & SEC IN COM 34964C106 723 15839 SH SOLE 15839 0 0 FRANCESCAS HLDGS CORP COM 351793104 541 29481 SH SOLE 29481 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 699 18544 SH SOLE 18544 0 0 GAIN CAP HLDGS INC NOTE 4.125%12/0 36268WAA8 929 1000000 PRN SOLE 1000000 0 0 GENERAL CABLE CORP DEL NEW FRNT 5.000%11/1 369300AL2 12805 11975000 PRN SOLE 11975000 0 0 GENERAL ELECTRIC CO COM 369604103 5622 200630 SH SOLE 200630 0 0 GENERAL MLS INC COM 370334104 358 7179 SH SOLE 7179 0 0 GENERAL MTRS CO COM 37045V100 1030 25247 SH SOLE 25247 0 0 GENESEE & WYO INC UNIT 10/01/2015 371559204 1200 9355 SH SOLE 9355 0 0 GILEAD SCIENCES INC COM 375558103 1685 22441 SH SOLE 22441 0 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 18916 5692000 PRN SOLE 5692000 0 0 GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 20480 6210000 PRN SOLE 6210000 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 535 534000 PRN SOLE 534000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 610 3440 SH SOLE 3440 0 0 GOODRICH PETE CORP NOTE 5.000%10/0 382410AG3 3993 3892000 PRN SOLE 3892000 0 0 GOODYEAR TIRE & RUBR CO PFD CONV 5.875% 382550309 2001 30210 SH SOLE 30210 0 0 GOOGLE INC CL A 38259P508 4162 3714 SH SOLE 3714 0 0 GREENBRIER COS INC NOTE 3.500% 4/0 393657AH4 1449 1234000 PRN SOLE 1234000 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 51 40000 PRN SOLE 40000 0 0 GT ADVANCED TECHNOLOGIES INC NOTE 3.000%12/1 36191UAB2 503 500000 PRN SOLE 500000 0 0 GULFPORT ENERGY CORP COM NEW 402635304 1008 15944 SH SOLE 15944 0 0 HALCON RES CORP COM NEW 40537Q209 584 151655 SH SOLE 151655 0 0 HALLIBURTON CO COM 406216101 1172 23078 SH SOLE 23078 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 7900 5834000 PRN SOLE 5834000 0 0 HEADWATERS INC COM 42210P102 972 99437 SH SOLE 99437 0 0 HEALTH CARE REIT INC COM 42217K106 428 7989 SH SOLE 7989 0 0 HEALTH CARE REIT INC PFD PER CON I 42217K601 14790 288475 SH SOLE 288475 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 994 892000 PRN SOLE 892000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 666 556000 PRN SOLE 556000 0 0 HEWLETT PACKARD CO COM 428236103 924 33082 SH SOLE 33082 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AB7 4642 3986000 PRN SOLE 3986000 0 0 HOLOGIC INC DEBT 2.000% 3/0 436440AC5 839 825000 PRN SOLE 825000 0 0 HOME DEPOT INC COM 437076102 1905 23140 SH SOLE 23140 0 0 HONEYWELL INTL INC COM 438516106 712 7788 SH SOLE 7788 0 0 HORNBECK OFFSHORE SVCS INC N NOTE 1.500% 9/0 440543AN6 2912 2455000 PRN SOLE 2455000 0 0 HORSEHEAD HLDG CORP NOTE 3.800% 7/0 440694AB3 5073 4000000 PRN SOLE 4000000 0 0 HSN INC COM 404303109 574 9203 SH SOLE 9203 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 3776 2993 SH SOLE 2993 0 0 HUNTSMAN CORP COM 447011107 615 25003 SH SOLE 25003 0 0 ICONIX BRAND GROUP INC NOTE 2.500% 6/0 451055AE7 8937 6503000 PRN SOLE 6503000 0 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 5761 1000000 PRN SOLE 1000000 0 0 INGERSOLL-RAND PLC SHS G47791101 1030 16718 SH SOLE 16718 0 0 INTEL CORP COM 458140100 1243 47932 SH SOLE 47932 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 5056 4515000 PRN SOLE 4515000 0 0 INTEL CORP SDCV 3.250% 8/0 458140AF7 22003 16184000 PRN SOLE 16184000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 1833 9772 SH SOLE 9772 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 7005 6608000 PRN SOLE 6608000 0 0 INTL PAPER CO COM 460146103 1396 28452 SH SOLE 28452 0 0 INVESCO LTD SHS G491BT108 2163 59407 SH SOLE 59407 0 0 ISHARES CORE TOTUSBD ETF 464287226 564 5295 SH SOLE 5295 0 0 ISHARES RUSSELL 2000 ETF 464287655 393 3411 SH SOLE 3411 0 0 ISHARES 1-3 YR CR BD ETF 464288646 3789 35930 SH SOLE 35930 0 0 ISHARES FLTG RATE BD ETF 46429B655 3789 74692 SH SOLE 74692 0 0 JAKKS PAC INC COM 47012E106 323 48045 SH SOLE 48045 0 0 JANUS CAP GROUP INC NOTE 0.750% 7/1 47102XAH8 1401 1102000 PRN SOLE 1102000 0 0 JARDEN CORP NOTE 1.875% 9/1 471109AH1 3790 2691000 PRN SOLE 2691000 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 4339 4101000 PRN SOLE 4101000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 2669 1500000 PRN SOLE 1500000 0 0 JOHNSON & JOHNSON COM 478160104 2361 25791 SH SOLE 25791 0 0 JPMORGAN CHASE & CO COM 46625H100 4270 73048 SH SOLE 73048 0 0 KB HOME NOTE 1.375% 2/0 48666KAS8 4000 4000000 PRN SOLE 4000000 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 9378 73725 SH SOLE 73725 0 0 KEYW HLDG CORP COM 493723100 734 54638 SH SOLE 54638 0 0 KIMBERLY CLARK CORP COM 494368103 907 8685 SH SOLE 8685 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 4090 3398000 PRN SOLE 3398000 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 800 655000 PRN SOLE 655000 0 0 LAM RESEARCH CORP COM 512807108 408 7483 SH SOLE 7483 0 0 LAM RESEARCH CORP NOTE 0.500% 5/1 512807AJ7 222 195000 PRN SOLE 195000 0 0 LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 6456 5308000 PRN SOLE 5308000 0 0 LAYNE CHRISTENSEN CO COM 521050104 296 17340 SH SOLE 17340 0 0 LDK SOLAR CO LTD SPONSORED ADR 50183L107 311 237650 SH SOLE 237650 0 0 LEAP WIRELESS INTL INC COM NEW 521863308 349 20105 SH SOLE 20105 0 0 LEAR CORP COM NEW 521865204 671 8279 SH SOLE 8279 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 3698 2714000 PRN SOLE 2714000 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 3377 3108000 PRN SOLE 3108000 0 0 LIFETIME BRANDS INC COM 53222Q103 570 36230 SH SOLE 36230 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 3765 3301000 PRN SOLE 3301000 0 0 LOEWS CORP COM 540424108 798 16540 SH SOLE 16540 0 0 LYONDELLBASELL INDUSTRIES N SHS - A - N53745100 1553 19360 SH SOLE 19360 0 0 M/I HOMES INC COM 55305B101 785 30893 SH SOLE 30893 0 0 MACYS INC COM 55616P104 579 10839 SH SOLE 10839 0 0 MASTERCARD INC CL A 57636Q104 1431 1710 SH SOLE 1710 0 0 MBIA INC COM 55262C100 798 66776 SH SOLE 66776 0 0 MCDONALDS CORP COM 580135101 1020 10522 SH SOLE 10522 0 0 MCKESSON CORP COM 58155Q103 1197 7412 SH SOLE 7412 0 0 MEDICINES CO DBCV 1.375% 6/0 584688AC9 11802 7844000 PRN SOLE 7844000 0 0 MEDTRONIC INC COM 585055106 853 14869 SH SOLE 14869 0 0 MENTOR GRAPHICS CORP SDCV 4.000% 4/0 587200AK2 3265 2455000 PRN SOLE 2455000 0 0 MERCK & CO INC NEW COM 58933Y105 1526 30499 SH SOLE 30499 0 0 MERITAGE HOMES CORP NOTE 1.875% 9/1 59001AAR3 4379 3900000 PRN SOLE 3900000 0 0 MERRIMACK PHARMACEUTICALS IN COM 590328100 365 68415 SH SOLE 68415 0 0 METLIFE INC COM 59156R108 1523 28278 SH SOLE 28278 0 0 METLIFE INC UNIT 99/99/9999 59156R116 4501 142720 SH SOLE 142720 0 0 MGIC INVT CORP WIS COM 552848103 110 13082 SH SOLE 13082 0 0 MGIC INVT CORP WIS NOTE 2.000% 4/0 552848AE3 2772 2007000 PRN SOLE 2007000 0 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 4937 3588000 PRN SOLE 3588000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 20882 12033000 PRN SOLE 12033000 0 0 MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 5561 3651000 PRN SOLE 3651000 0 0 MICROSOFT CORP COM 594918104 2677 71579 SH SOLE 71579 0 0 MIDSTATES PETE CO INC COM 59804T100 748 113030 SH SOLE 113030 0 0 MIZUHO FINL GROUP INC SPONSORED ADR 60687Y109 1574 360785 SH SOLE 360785 0 0 MODEL N INC COM 607525102 349 29565 SH SOLE 29565 0 0 MODINE MFG CO COM 607828100 329 25710 SH SOLE 25710 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 3534 2967000 PRN SOLE 2967000 0 0 MONDELEZ INTL INC CL A 609207105 729 20653 SH SOLE 20653 0 0 MONSANTO CO NEW COM 61166W101 495 4240 SH SOLE 4240 0 0 MONTAGE TECHNOLOGY GROUP LTD SHS G6209T105 767 47008 SH SOLE 47008 0 0 MORGAN STANLEY COM NEW 617446448 253 8055 SH SOLE 8055 0 0 MUELLER WTR PRODS INC COM SER A 624758108 615 65690 SH SOLE 65690 0 0 MYLAN INC COM 628530107 787 18202 SH SOLE 18202 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 5997 1829000 PRN SOLE 1829000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 894 11216 SH SOLE 11216 0 0 NAVISTAR INTL CORP NEW COM 63934E108 331 8675 SH SOLE 8675 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 3797 3716000 PRN SOLE 3716000 0 0 NEW YORK & CO INC COM 649295102 675 154510 SH SOLE 154510 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 75 75000 PRN SOLE 75000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 592 580000 PRN SOLE 580000 0 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 9733 7250000 PRN SOLE 7250000 0 0 NEXTERA ENERGY INC COM 65339F101 353 4128 SH SOLE 4128 0 0 NEXTERA ENERGY INC UNIT 09/01/2015 65339F887 3699 65395 SH SOLE 65395 0 0 NIKE INC CL B 654106103 666 8453 SH SOLE 8453 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 21419 12816000 PRN SOLE 12816000 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 343 328000 PRN SOLE 328000 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 1948 20502 SH SOLE 20502 0 0 OCLARO INC COM NEW 67555N206 369 148250 SH SOLE 148250 0 0 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 7031 5654000 PRN SOLE 5654000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 7444 100695 SH SOLE 100695 0 0 OMNICARE INC DBCV 3.250%12/1 681904AL2 2824 2640000 PRN SOLE 2640000 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 6088 2650000 PRN SOLE 2650000 0 0 OMNICARE INC NOTE 3.500% 2/1 681904AQ1 472 471000 PRN SOLE 471000 0 0 OMNICOM GROUP INC NOTE 7/3 681919AV8 73 54000 PRN SOLE 54000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AH8 676 615000 PRN SOLE 615000 0 0 ONCONOVA THERAPEUTICS INC COM 68232V108 247 21470 SH SOLE 21470 0 0 ORACLE CORP COM 68389X105 1217 31794 SH SOLE 31794 0 0 OREXIGEN THERAPEUTICS INC NOTE 2.750%12/0 686164AA2 2429 2500000 PRN SOLE 2500000 0 0 OVERSTOCK COM INC DEL COM 690370101 355 11540 SH SOLE 11540 0 0 PACIFIC SUNWEAR CALIF INC COM 694873100 680 203490 SH SOLE 203490 0 0 PACIRA PHARMACEUTICALS INC COM 695127100 650 11302 SH SOLE 11302 0 0 PENNSYLVANIA RL ESTATE INVT SH BEN INT 709102107 327 17230 SH SOLE 17230 0 0 PEPSICO INC COM 713448108 1278 15411 SH SOLE 15411 0 0 PERION NETWORK LTD SHS M78673106 836 69090 SH SOLE 69090 0 0 PFIZER INC COM 717081103 2531 82588 SH SOLE 82588 0 0 PHH CORP NOTE 4.000% 9/0 693320AN3 3713 3478000 PRN SOLE 3478000 0 0 PHH CORP NOTE 6.000% 6/1 693320AQ6 7598 3675000 PRN SOLE 3675000 0 0 PHILIP MORRIS INTL INC COM 718172109 1253 14383 SH SOLE 14383 0 0 PINNACLE WEST CAP CORP COM 723484101 846 15983 SH SOLE 15983 0 0 PIONEER NAT RES CO COM 723787107 645 3509 SH SOLE 3509 0 0 PNC FINL SVCS GROUP INC COM 693475105 640 8230 SH SOLE 8230 0 0 PPG INDS INC COM 693506107 713 3760 SH SOLE 3760 0 0 PPL CORP UNIT 99/99/9999S 69351T114 3524 66660 SH SOLE 66660 0 0 PRICELINE COM INC COM NEW 741503403 651 562 SH SOLE 562 0 0 PRICELINE COM INC NOTE 1.250% 3/1 741503AN6 122 32000 PRN SOLE 32000 0 0 PRICELINE COM INC DEBT 1.000% 3/1 741503AQ9 15484 11233000 PRN SOLE 11233000 0 0 PROCTER & GAMBLE CO COM 742718109 2807 34483 SH SOLE 34483 0 0 PROLOGIS NOTE 3.250% 3/1 74340XAT8 5641 5050000 PRN SOLE 5050000 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.250%12/1 74348TAC6 34 31000 PRN SOLE 31000 0 0 PROSPECT CAPITAL CORPORATION MTNF 5.375%10/1 74348TAK8 862 823000 PRN SOLE 823000 0 0 PTC INC COM 69370C100 671 18926 SH SOLE 18926 0 0 QIHOO 360 TECHNOLOGY CO LTD ADS 74734M109 401 4888 SH SOLE 4888 0 0 QUALCOMM INC COM 747525103 1381 18602 SH SOLE 18602 0 0 QUNAR CAYMAN IS LTD SPNS ADR CL B 74906P104 306 11545 SH SOLE 11545 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 1854 1305000 PRN SOLE 1305000 0 0 RADIAN GROUP INC NOTE 2.250% 3/0 750236AN1 9898 6750000 PRN SOLE 6750000 0 0 RADIOSHACK CORP COM 750438103 294 113160 SH SOLE 113160 0 0 RAYONIER TRS HLDGS INC NOTE 4.500% 8/1 75508AAC0 697 520000 PRN SOLE 520000 0 0 RAYTHEON CO COM NEW 755111507 1050 11595 SH SOLE 11595 0 0 REALD INC COM 75604L105 331 38830 SH SOLE 38830 0 0 REDWOOD TR INC NOTE 4.625% 4/1 758075AB1 25 24000 PRN SOLE 24000 0 0 REGENERON PHARMACEUTICALS COM 75886F107 827 3004 SH SOLE 3004 0 0 REGIONS FINL CORP NEW COM 7591EP100 1152 116750 SH SOLE 116750 0 0 RENTECH INC COM 760112102 579 331015 SH SOLE 331015 0 0 RESOLUTE ENERGY CORP COM 76116A108 659 72985 SH SOLE 72985 0 0 RPM INTL INC NOTE 2.250%12/1 749685AT0 4765 4305000 PRN SOLE 4305000 0 0 RPX CORP COM 74972G103 747 44195 SH SOLE 44195 0 0 RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 2314 2199000 PRN SOLE 2199000 0 0 RUBY TUESDAY INC COM 781182100 337 48685 SH SOLE 48685 0 0 RYLAND GROUP INC NOTE 1.625% 5/1 783764AQ6 7734 5075000 PRN SOLE 5075000 0 0 SALESFORCE COM INC COM 79466L302 424 7687 SH SOLE 7687 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 1429 554000 PRN SOLE 554000 0 0 SALIX PHARMACEUTICALS INC NOTE 1.500% 3/1 795435AE6 3497 2348000 PRN SOLE 2348000 0 0 SANCHEZ ENERGY CORP COM 79970Y105 760 31023 SH SOLE 31023 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 13128 8907000 PRN SOLE 8907000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 3037 1025000 PRN SOLE 1025000 0 0 SCHLUMBERGER LTD COM 806857108 2095 23250 SH SOLE 23250 0 0 SEACOR HOLDINGS INC NOTE 2.500%12/1 811904AM3 3516 2858000 PRN SOLE 2858000 0 0 SIMON PPTY GROUP INC NEW COM 828806109 1413 9279 SH SOLE 9279 0 0 SOLARCITY CORP NOTE 2.750%11/0 83416TAA8 1890 1594000 PRN SOLE 1594000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 55973 303057 SH SOLE 303057 0 0 STANDARD PAC CORP NEW NOTE 1.250% 8/0 85375CBC4 7071 5339000 PRN SOLE 5339000 0 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 3167 25670 SH SOLE 25670 0 0 STARBUCKS CORP COM 855244109 878 11191 SH SOLE 11191 0 0 STARWOOD PPTY TR INC NOTE 4.550% 3/0 85571BAA3 4601 4168000 PRN SOLE 4168000 0 0 STARWOOD PPTY TR INC NOTE 4.000% 1/1 85571BAB1 3806 3446000 PRN SOLE 3446000 0 0 STEEL DYNAMICS INC COM 858119100 573 29291 SH SOLE 29291 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 598 508000 PRN SOLE 508000 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 8420 8500000 PRN SOLE 8500000 0 0 STILLWATER MNG CO NOTE 1.750%10/1 86074QAL6 14168 12638000 PRN SOLE 12638000 0 0 STONE ENERGY CORP NOTE 1.750% 3/0 861642AN6 894 810000 PRN SOLE 810000 0 0 SUNEDISON INC COM 86732Y109 337 25855 SH SOLE 25855 0 0 SUNPOWER CORP DBCV 4.750% 4/1 867652AC3 1250 1049000 PRN SOLE 1049000 0 0 SUNSHINE HEART INC COM 86782U106 371 38233 SH SOLE 38233 0 0 SUNTRUST BKS INC COM 867914103 1046 28358 SH SOLE 28358 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 1.750%12/0 874054AC3 7068 6130000 PRN SOLE 6130000 0 0 TE CONNECTIVITY LTD REG SHS H84989104 803 14554 SH SOLE 14554 0 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 2510 1591000 PRN SOLE 1591000 0 0 TEREX CORP NEW COM 880779103 748 17771 SH SOLE 17771 0 0 TESLA MTRS INC NOTE 1.500% 6/0 88160RAA9 7961 5755000 PRN SOLE 5755000 0 0 TEXAS INSTRS INC COM 882508104 525 11950 SH SOLE 11950 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 7997 5500000 PRN SOLE 5500000 0 0 TIBCO SOFTWARE INC COM 88632Q103 629 28010 SH SOLE 28010 0 0 TIME WARNER INC COM NEW 887317303 1462 20974 SH SOLE 20974 0 0 TJX COS INC NEW COM 872540109 1252 19653 SH SOLE 19653 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 5478 4152000 PRN SOLE 4152000 0 0 TRW AUTOMOTIVE INC NOTE 3.500%12/0 87264MAH2 36 14000 PRN SOLE 14000 0 0 TTM TECHNOLOGIES INC COM 87305R109 358 41755 SH SOLE 41755 0 0 TWENTY FIRST CENTY FOX INC CL A 90130A101 1282 36442 SH SOLE 36442 0 0 U S SILICA HLDGS INC COM 90346E103 537 15729 SH SOLE 15729 0 0 UNION PAC CORP COM 907818108 1555 9244 SH SOLE 9244 0 0 UNITED RENTALS INC COM 911363109 786 10082 SH SOLE 10082 0 0 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 1267 181000 PRN SOLE 181000 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 46 43000 PRN SOLE 43000 0 0 UNITED STATES STL CORP NEW NOTE 2.750% 4/0 912909AH1 2041 1546000 PRN SOLE 1546000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 980 8606 SH SOLE 8606 0 0 UNITED TECHNOLOGIES CORP UNIT 99/99/9999 913017117 3982 60665 SH SOLE 60665 0 0 UNITED THERAPEUTICS CORP DEL NOTE 1.000% 9/1 91307CAF9 1383 583000 PRN SOLE 583000 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1702 22593 SH SOLE 22593 0 0 URBAN OUTFITTERS INC COM 917047102 649 17502 SH SOLE 17502 0 0 US BANCORP DEL COM NEW 902973304 1539 38102 SH SOLE 38102 0 0 VALERO ENERGY CORP NEW COM 91913Y100 1038 20566 SH SOLE 20566 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 2012 40940 SH SOLE 40940 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 619 8343 SH SOLE 8343 0 0 VIACOM INC NEW CL B 92553P201 840 9613 SH SOLE 9613 0 0 VISA INC COM CL A 92826C839 1481 6654 SH SOLE 6654 0 0 WAL-MART STORES INC COM 931142103 1241 15780 SH SOLE 15780 0 0 WALTER INVT MGMT CORP NOTE 4.500%11/0 93317WAA0 9082 9150000 PRN SOLE 9150000 0 0 WEB COM GROUP INC COM 94733A104 654 20590 SH SOLE 20590 0 0 WEB COM GROUP INC NOTE 1.000% 8/1 94733AAA2 1046 933000 PRN SOLE 933000 0 0 WEBMD HEALTH CORP NOTE 2.500% 1/3 94770VAF9 6781 6900000 PRN SOLE 6900000 0 0 WELLPOINT INC NOTE 2.750%10/1 94973VBG1 11698 8642000 PRN SOLE 8642000 0 0 WELLS FARGO & CO MTNF 0.125% 3/0 94986RCZ2 14365 10257000 PRN SOLE 10257000 0 0 WELLS FARGO & CO NEW COM 949746101 2066 45465 SH SOLE 45465 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 3576 3222 SH SOLE 3222 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 17253 5328000 PRN SOLE 5328000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 12966 2923000 PRN SOLE 2923000 0 0 WESTFIELD FINANCIAL INC NEW COM 96008P104 550 73555 SH SOLE 73555 0 0 WET SEAL INC CL A 961840105 858 313985 SH SOLE 313985 0 0 WEYERHAEUSER CO PREF CONV SER A 962166872 4060 72955 SH SOLE 72955 0 0 WRIGHT MED GROUP INC NOTE 2.000% 8/1 98235TAC1 9679 7261000 PRN SOLE 7261000 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 864 546000 PRN SOLE 546000 0 0 XILINX INC NOTE 2.625% 6/1 983919AF8 9149 5736000 PRN SOLE 5736000 0 0 YAHOO INC COM 984332106 274 6775 SH SOLE 6775 0 0