0001172661-12-001061.txt : 20121108
0001172661-12-001061.hdr.sgml : 20121108
20121108082451
ACCESSION NUMBER: 0001172661-12-001061
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20120930
FILED AS OF DATE: 20121108
DATE AS OF CHANGE: 20121108
EFFECTIVENESS DATE: 20121108
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: 121188513
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
ssi3q12.txt
FORM 13F HOLDINGS REPORT
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, 2012
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: SSI Investment Management
Address: 9440 Santa Monica Blvd., 8th Fl
Beverly Hills, CA 90210
13F File Number: 028-04720
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: Syed Mehdi
Title: Chief Operating Officer & Chief Compliance Officer
Phone: 310.595.2001
Signature, Place, and Date of Signing:
/s/ Syed Mehdi Beverly Hills, CA November 08, 2012
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: 374
Form 13F Information Table Value Total: $1,002,000 (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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
3M CO COM 88579Y101 1277 13786 SH SOLE 13786 0 0
8X8 INC NEW COM 282914100 89 13550 SH SOLE 13550 0 0
ABBOTT LABS COM 002824100 1217 17712 SH SOLE 17712 0 0
AETNA INC NEW COM 00817Y108 434 10965 SH SOLE 10965 0 0
AFFILIATED MANAGERS GROUP COM 008252108 375 3054 SH SOLE 3054 0 0
AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 7649 6865000 PRN SOLE 6865000 0 0
AGCO CORP NOTE 1.250%12/1 001084AM4 3873 3081000 PRN SOLE 3081000 0 0
AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1888 1508000 PRN SOLE 1508000 0 0
ALCOA INC NOTE 5.250% 3/1 013817AT8 3809 2565000 PRN SOLE 2565000 0 0
ALERE INC PERP PFD CONV SE 01449J204 3742 18116 SH SOLE 18116 0 0
ALERE INC NOTE 3.000% 5/1 01449JAA3 1889 2000000 PRN SOLE 2000000 0 0
ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 6911 6013000 PRN SOLE 6013000 0 0
ALLERGAN INC COM 018490102 1661 18126 SH SOLE 18126 0 0
ALTRIA GROUP INC COM 02209S103 1111 33265 SH SOLE 33265 0 0
ALZA CORP SDCV 7/2 02261WAB5 56 57000 PRN SOLE 57000 0 0
AMAZON COM INC COM 023135106 513 2016 SH SOLE 2016 0 0
AMERICAN CAPITAL AGENCY CORP COM 02503X105 1406 40609 SH SOLE 40609 0 0
AMERICAN EXPRESS CO COM 025816109 363 6369 SH SOLE 6369 0 0
AMERICAN STS WTR CO COM 029899101 435 9755 SH SOLE 9755 0 0
AMERICAN SUPERCONDUCTOR CORP COM 030111108 291 70200 SH SOLE 70200 0 0
AMERICAN TOWER CORP NEW COM 03027X100 1048 14649 SH SOLE 14649 0 0
AMGEN INC COM 031162100 731 8669 SH SOLE 8669 0 0
AMGEN INC NOTE 0.375% 2/0 031162AQ3 6667 5992000 PRN SOLE 5992000 0 0
AMKOR TECHNOLOGY INC COM 031652100 68 15230 SH SOLE 15230 0 0
ANADARKO PETE CORP COM 032511107 1446 20651 SH SOLE 20651 0 0
ANGLOGOLD ASHANTI HLDGS FIN MAND BD CV 13 03512Q206 3536 85000 SH SOLE 85000 0 0
ANHEUSER BUSCH INBEV SA/NV SPONSORED ADR 03524A108 1002 11655 SH SOLE 11655 0 0
ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 3553 3261000 PRN SOLE 3261000 0 0
ANNALY CAP MGMT INC COM 035710409 1230 73090 SH SOLE 73090 0 0
ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 3728 2935000 PRN SOLE 2935000 0 0
APACHE CORP PFD CONV SER D 037411808 3833 78583 SH SOLE 78583 0 0
APPLE INC COM 037833100 9623 14425 SH SOLE 14425 0 0
AQUA AMERICA INC COM 03836W103 871 35115 SH SOLE 35115 0 0
ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 45 44000 PRN SOLE 44000 0 0
ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 6544 6542000 PRN SOLE 6542000 0 0
ARES CAP CORP COM 04010L103 884 51547 SH SOLE 51547 0 0
ARES CAP CORP NOTE 5.125% 6/0 04010LAD5 5442 5192000 PRN SOLE 5192000 0 0
ARRAY BIOPHARMA INC COM 04269X105 300 51330 SH SOLE 51330 0 0
ASHFORD HOSPITALITY TR INC COM SHS 044103109 303 36090 SH SOLE 36090 0 0
ASHLAND INC NEW COM 044209104 548 7659 SH SOLE 7659 0 0
ASPEN INSURANCE HOLDINGS LTD PFD PRP INC EQ G05384113 9131 159135 SH SOLE 159135 0 0
AT&T INC COM 00206R102 2666 70764 SH SOLE 70764 0 0
AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 4129 3381000 PRN SOLE 3381000 0 0
BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 10003 9187 SH SOLE 9187 0 0
BARNES & NOBLE INC COM 067774109 312 24420 SH SOLE 24420 0 0
BARRICK GOLD CORP COM 067901108 631 15119 SH SOLE 15119 0 0
BEAZER HOMES USA INC UNIT 99/99/9999 07556Q709 2371 80000 SH SOLE 80000 0 0
BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 1707 19361 SH SOLE 19361 0 0
BIOCRYST PHARMACEUTICALS COM 09058V103 293 69270 SH SOLE 69270 0 0
BIOMARIN PHARMACEUTICAL INC COM 09061G101 653 16225 SH SOLE 16225 0 0
BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 60 29000 PRN SOLE 29000 0 0
BIOMED REALTY TRUST INC COM 09063H107 744 39715 SH SOLE 39715 0 0
BOEING CO COM 097023105 1426 20531 SH SOLE 20531 0 0
BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 7960 6950000 PRN SOLE 6950000 0 0
BRANDYWINE RLTY TR SH BEN INT NEW 105368203 708 58060 SH SOLE 58060 0 0
BROADCOM CORP CL A 111320107 1385 40138 SH SOLE 40138 0 0
CACI INTL INC NOTE 2.125% 5/0 127190AD8 845 759000 PRN SOLE 759000 0 0
CADENCE DESIGN SYSTEM INC NOTE 2.625% 6/0 127387AJ7 4439 2500000 PRN SOLE 2500000 0 0
CAMERON INTERNATIONAL CORP COM 13342B105 814 14523 SH SOLE 14523 0 0
CANADIAN SOLAR INC COM 136635109 291 104060 SH SOLE 104060 0 0
CAPITAL ONE FINL CORP COM 14040H105 672 11790 SH SOLE 11790 0 0
CATERPILLAR INC DEL COM 149123101 755 8769 SH SOLE 8769 0 0
CBEYOND INC COM 149847105 332 33710 SH SOLE 33710 0 0
CELGENE CORP COM 151020104 2366 30977 SH SOLE 30977 0 0
CEMEX SAB DE CV NOTE 4.875% 3/1 151290AV5 6934 7000000 PRN SOLE 7000000 0 0
CENTURYLINK INC COM 156700106 1054 26084 SH SOLE 26084 0 0
CERNER CORP COM 156782104 1296 16771 SH SOLE 16771 0 0
CHART INDS INC NOTE 2.000% 8/0 16115QAC4 8501 6508000 PRN SOLE 6508000 0 0
CHECK POINT SOFTWARE TECH LT ORD M22465104 741 15388 SH SOLE 15388 0 0
CHEMOCENTRYX INC COM 16383L106 116 10000 SH SOLE 10000 0 0
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 2650 2950000 PRN SOLE 2950000 0 0
CHEVRON CORP NEW COM 166764100 3131 26836 SH SOLE 26836 0 0
CISCO SYS INC COM 17275R102 2621 137312 SH SOLE 137312 0 0
CITIGROUP INC UNIT 99/99/9999 172967416 11556 119174 SH SOLE 119174 0 0
CITIGROUP INC COM NEW 172967424 2294 70156 SH SOLE 70156 0 0
CMS ENERGY CORP COM 125896100 1506 64007 SH SOLE 64007 0 0
COCA COLA CO COM 191216100 2118 55845 SH SOLE 55845 0 0
COLGATE PALMOLIVE CO COM 194162103 660 6148 SH SOLE 6148 0 0
COMCAST CORP NEW CL A 20030N101 1379 38606 SH SOLE 38606 0 0
CONAGRA FOODS INC COM 205887102 718 26005 SH SOLE 26005 0 0
CONCHO RES INC COM 20605P101 1037 10943 SH SOLE 10943 0 0
CONOCOPHILLIPS COM 20825C104 1590 27805 SH SOLE 27805 0 0
CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 5824 4486000 PRN SOLE 4486000 0 0
COSTCO WHSL CORP NEW COM 22160K105 475 4737 SH SOLE 4737 0 0
COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 7854 6730000 PRN SOLE 6730000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 10180 5838000 PRN SOLE 5838000 0 0
CVS CAREMARK CORPORATION COM 126650100 1618 33442 SH SOLE 33442 0 0
D R HORTON INC COM 23331A109 740 35880 SH SOLE 35880 0 0
D R HORTON INC NOTE 2.000% 5/1 23331ABB4 10302 6290000 PRN SOLE 6290000 0 0
DANA HLDG CORP COM 235825205 498 40521 SH SOLE 40521 0 0
DANAHER CORP DEL NOTE 1/2 235851AF9 1492 931000 PRN SOLE 931000 0 0
DATALINK CORP COM 237934104 294 35440 SH SOLE 35440 0 0
DEAN FOODS CO NEW COM 242370104 290 17720 SH SOLE 17720 0 0
DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 3451 3098000 PRN SOLE 3098000 0 0
DEVON ENERGY CORP NEW COM 25179M103 420 6956 SH SOLE 6956 0 0
DIGITAL RLTY TR INC COM 253868103 292 4175 SH SOLE 4175 0 0
DIRECTV COM 25490A309 714 13609 SH SOLE 13609 0 0
DISNEY WALT CO COM DISNEY 254687106 1306 25001 SH SOLE 25001 0 0
DOLLAR FINL CORP NOTE 3.000% 4/0 256664AC7 554 500000 PRN SOLE 500000 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 113 73000 PRN SOLE 73000 0 0
DOMTAR CORP COM NEW 257559203 307 3935 SH SOLE 3935 0 0
DOW CHEM CO COM 260543103 374 12902 SH SOLE 12902 0 0
DR PEPPER SNAPPLE GROUP INC COM 26138E109 620 13909 SH SOLE 13909 0 0
DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 8981 11000000 PRN SOLE 11000000 0 0
DST SYS INC DEL DBCV 8/1 233326AE7 1089 874000 PRN SOLE 874000 0 0
DTE ENERGY CO COM 233331107 671 11188 SH SOLE 11188 0 0
E M C CORP MASS COM 268648102 2871 105277 SH SOLE 105277 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 8259 4811000 PRN SOLE 4811000 0 0
EBAY INC COM 278642103 736 15220 SH SOLE 15220 0 0
ELECTRONIC ARTS INC NOTE 0.750% 7/1 285512AA7 5718 6250000 PRN SOLE 6250000 0 0
EMERITUS CORP COM 291005106 279 13300 SH SOLE 13300 0 0
EMERSON ELEC CO COM 291011104 618 12800 SH SOLE 12800 0 0
EMULEX CORP COM NEW 292475209 108 14910 SH SOLE 14910 0 0
ENDO HEALTH SOLUTIONS INC COM 29264F205 663 20865 SH SOLE 20865 0 0
ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 8117 6662000 PRN SOLE 6662000 0 0
ENERNOC INC COM 292764107 366 28200 SH SOLE 28200 0 0
EQUINIX INC NOTE 3.000%10/1 29444UAG1 3303 1680000 PRN SOLE 1680000 0 0
EXELIXIS INC NOTE 4.250% 8/1 30161QAC8 3157 3000000 PRN SOLE 3000000 0 0
EXPRESS SCRIPTS HLDG CO COM 30219G108 675 10782 SH SOLE 10782 0 0
EXXON MOBIL CORP COM 30231G102 5282 57769 SH SOLE 57769 0 0
FEDEX CORP COM 31428X106 839 9924 SH SOLE 9924 0 0
FELCOR LODGING TR INC COM 31430F101 276 58125 SH SOLE 58125 0 0
FIDELITY NATIONAL FINANCIAL NOTE 4.250% 8/1 31620RAE5 2613 2142000 PRN SOLE 2142000 0 0
FIFTH STREET FINANCE CORP COM 31678A103 646 58765 SH SOLE 58765 0 0
FIFTH THIRD BANCORP COM 316773100 1016 65637 SH SOLE 65637 0 0
FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 4294 30189 SH SOLE 30189 0 0
FLAGSTAR BANCORP INC COM NEW 337930507 75 68270 SH SOLE 68270 0 0
FLUOR CORP NEW COM 343412102 1001 17799 SH SOLE 17799 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 1037 105422 SH SOLE 105422 0 0
FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 7662 5555000 PRN SOLE 5555000 0 0
FOREST CITY ENTERPRISES INC NOTE 4.250% 8/1 345550AP2 2354 2250000 PRN SOLE 2250000 0 0
FORESTAR GROUP INC COM 346233109 166 10000 SH SOLE 10000 0 0
FORMFACTOR INC COM 346375108 303 54240 SH SOLE 54240 0 0
FOSTER WHEELER AG COM H27178104 401 16732 SH SOLE 16732 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 608 15334 SH SOLE 15334 0 0
GENCORP INC COM 368682100 278 29290 SH SOLE 29290 0 0
GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 998 1000000 PRN SOLE 1000000 0 0
GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 12482 11669000 PRN SOLE 11669000 0 0
GENERAL ELECTRIC CO COM 369604103 4269 187986 SH SOLE 187986 0 0
GENERAL MTRS CO COM 37045V100 580 25499 SH SOLE 25499 0 0
GENERAL MTRS CO JR PFD CNV SRB 37045V209 7114 189669 SH SOLE 189669 0 0
GILEAD SCIENCES INC COM 375558103 729 10988 SH SOLE 10988 0 0
GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 1140 655000 PRN SOLE 655000 0 0
GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 12016 7984000 PRN SOLE 7984000 0 0
GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 12617 8065000 PRN SOLE 8065000 0 0
GOLDCORP INC NEW COM 380956409 362 7911 SH SOLE 7911 0 0
GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 6193 5140000 PRN SOLE 5140000 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 878 7735 SH SOLE 7735 0 0
GOODYEAR TIRE & RUBR CO PFD CONV 382550309 2375 53825 SH SOLE 53825 0 0
GOOGLE INC CL A 38259P508 3708 4913 SH SOLE 4913 0 0
GRAMERCY CAP CORP COM 384871109 314 104390 SH SOLE 104390 0 0
GREENBRIER COS INC NOTE 3.500% 4/0 393657AH4 2016 2250000 PRN SOLE 2250000 0 0
HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 1623 85010 SH SOLE 85010 0 0
HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 3874 3750000 PRN SOLE 3750000 0 0
HEADWATERS INC COM 42210P102 314 47780 SH SOLE 47780 0 0
HEALTH CARE REIT INC COM 42217K106 675 11689 SH SOLE 11689 0 0
HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 6456 5443000 PRN SOLE 5443000 0 0
HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 2110 1733000 PRN SOLE 1733000 0 0
HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 1126 1013000 PRN SOLE 1013000 0 0
HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 6523 3675000 PRN SOLE 3675000 0 0
HESS CORP COM 42809H107 947 17596 SH SOLE 17596 0 0
HEWLETT PACKARD CO COM 428236103 373 21874 SH SOLE 21874 0 0
HIGHWOODS PPTYS INC COM 431284108 568 17440 SH SOLE 17440 0 0
HILLENBRAND INC COM 431571108 194 10650 SH SOLE 10650 0 0
HOLOGIC INC COM 436440101 303 14975 SH SOLE 14975 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AB7 4625 4126000 PRN SOLE 4126000 0 0
HOME DEPOT INC COM 437076102 937 15521 SH SOLE 15521 0 0
HOME PROPERTIES INC COM 437306103 1253 20453 SH SOLE 20453 0 0
HONEYWELL INTL INC COM 438516106 524 8767 SH SOLE 8767 0 0
HORMEL FOODS CORP COM 440452100 302 10350 SH SOLE 10350 0 0
HORNBECK OFFSHORE SVCS INC N FRNT 1.625%11/1 440543AE6 3445 3330000 PRN SOLE 3330000 0 0
HORSEHEAD HLDG CORP NOTE 3.800% 7/0 440694AB3 3539 3750000 PRN SOLE 3750000 0 0
HUNTSMAN CORP COM 447011107 1069 71640 SH SOLE 71640 0 0
IAC INTERACTIVECORP COM PAR $.001 44919P508 1491 28652 SH SOLE 28652 0 0
INTEL CORP COM 458140100 1646 72629 SH SOLE 72629 0 0
INTEL CORP SDCV 2.950%12/1 458140AD2 6602 6070000 PRN SOLE 6070000 0 0
INTEL CORP SDCV 3.250% 8/0 458140AF7 13663 11084000 PRN SOLE 11084000 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 3053 14709 SH SOLE 14709 0 0
INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 3620 3466000 PRN SOLE 3466000 0 0
INTERPUBLIC GROUP COS INC COM 460690100 918 82500 SH SOLE 82500 0 0
INTERPUBLIC GROUP COS INC NOTE 4.750% 3/1 460690BE9 1477 1351000 PRN SOLE 1351000 0 0
INTL PAPER CO COM 460146103 428 11795 SH SOLE 11795 0 0
INVESCO LTD SHS G491BT108 949 37995 SH SOLE 37995 0 0
ION GEOPHYSICAL CORP COM 462044108 85 12280 SH SOLE 12280 0 0
IROBOT CORP COM 462726100 200 8740 SH SOLE 8740 0 0
ISHARES TR DJ SEL DIV INX 464287168 1938 33590 SH SOLE 33590 0 0
ISHARES TR MSCI EAFE INDEX 464287465 305 5755 SH SOLE 5755 0 0
ISHARES TR NASDQ BIO INDX 464287556 400 2812 SH SOLE 2812 0 0
ISHARES TR RUSSELL 2000 464287655 867 10390 SH SOLE 10390 0 0
ISTAR FINL INC COM 45031U101 367 44245 SH SOLE 44245 0 0
JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 3792 3934000 PRN SOLE 3934000 0 0
JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 2751 2250000 PRN SOLE 2250000 0 0
JOHNSON & JOHNSON COM 478160104 2344 34000 SH SOLE 34000 0 0
JPMORGAN CHASE & CO COM 46625H100 3677 90820 SH SOLE 90820 0 0
KELLOGG CO COM 487836108 1084 21022 SH SOLE 21022 0 0
KEYCORP NEW PFD 7.75% SR A 493267405 10865 88700 SH SOLE 88700 0 0
KIMBERLY CLARK CORP COM 494368103 901 10500 SH SOLE 10500 0 0
KINDER MORGAN INC DEL COM 49456B101 1065 29971 SH SOLE 29971 0 0
KINROSS GOLD CORP NOTE 1.750% 3/1 496902AD9 80 80000 PRN SOLE 80000 0 0
KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 5602 3750000 PRN SOLE 3750000 0 0
KNIGHT CAP GROUP INC NOTE 3.500% 3/1 499005AE6 5195 5750000 PRN SOLE 5750000 0 0
KODIAK OIL & GAS CORP COM 50015Q100 482 51535 SH SOLE 51535 0 0
KRAFT FOODS INC CL A 50075N104 1103 26636 SH SOLE 26636 0 0
KROGER CO COM 501044101 1874 79578 SH SOLE 79578 0 0
L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 3461 3455000 PRN SOLE 3455000 0 0
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 983 795000 PRN SOLE 795000 0 0
LAM RESEARCH CORP NOTE 0.500% 5/1 512807AJ7 408 432000 PRN SOLE 432000 0 0
LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 430 445000 PRN SOLE 445000 0 0
LENNAR CORP CL A 526057104 568 16331 SH SOLE 16331 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 906 750000 PRN SOLE 750000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 1762 1227000 PRN SOLE 1227000 0 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 13241 14067000 PRN SOLE 14067000 0 0
LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 3700 2656000 PRN SOLE 2656000 0 0
LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 10364 9537000 PRN SOLE 9537000 0 0
LILLY ELI & CO COM 532457108 468 9875 SH SOLE 9875 0 0
LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 4391 4245000 PRN SOLE 4245000 0 0
LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 4270 4350000 PRN SOLE 4350000 0 0
LOEWS CORP COM 540424108 825 20000 SH SOLE 20000 0 0
LOWES COS INC COM 548661107 792 26175 SH SOLE 26175 0 0
LUFKIN INDS INC COM 549764108 1166 21661 SH SOLE 21661 0 0
MACYS INC COM 55616P104 2049 54412 SH SOLE 54412 0 0
MASTERCARD INC CL A 57636Q104 478 1059 SH SOLE 1059 0 0
MCDONALDS CORP COM 580135101 1590 17337 SH SOLE 17337 0 0
MCKESSON CORP COM 58155Q103 2125 24706 SH SOLE 24706 0 0
MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 4252 4220000 PRN SOLE 4220000 0 0
MENTOR GRAPHICS CORP SDCV 4.000% 4/0 587200AK2 3478 3096000 PRN SOLE 3096000 0 0
MERCK & CO INC NEW COM 58933Y105 2036 45108 SH SOLE 45108 0 0
METLIFE INC COM 59156R108 1907 55289 SH SOLE 55289 0 0
METLIFE INC UNIT 99/99/9999 59156R116 18679 270205 SH SOLE 270205 0 0
MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 9417 9059000 PRN SOLE 9059000 0 0
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 15173 12077000 PRN SOLE 12077000 0 0
MICRON TECHNOLOGY INC DEBT 1.875% 6/0 595112AK9 816 913000 PRN SOLE 913000 0 0
MICRON TECHNOLOGY INC NOTE 1.500% 8/0 595112AQ6 13023 14483000 PRN SOLE 14483000 0 0
MICROSOFT CORP COM 594918104 4374 146918 SH SOLE 146918 0 0
MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1524 1472000 PRN SOLE 1472000 0 0
MONSANTO CO NEW COM 61166W101 458 5040 SH SOLE 5040 0 0
MORGAN STANLEY COM NEW 617446448 1279 76350 SH SOLE 76350 0 0
MOSAIC CO NEW COM 61945C103 1066 18500 SH SOLE 18500 0 0
MYLAN INC COM 628530107 780 32000 SH SOLE 32000 0 0
NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 4431 3000000 PRN SOLE 3000000 0 0
NATIONAL OILWELL VARCO INC COM 637071101 777 9701 SH SOLE 9701 0 0
NATIONAL RETAIL PPTYS INC NOTE 5.125% 6/1 637417AC0 1691 1412000 PRN SOLE 1412000 0 0
NCI BUILDING SYS INC COM NEW 628852204 261 26040 SH SOLE 26040 0 0
NETAPP INC NOTE 1.750% 6/0 64110DAB0 4449 3909000 PRN SOLE 3909000 0 0
NEWMONT MINING CORP COM 651639106 395 7053 SH SOLE 7053 0 0
NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 1017 755000 PRN SOLE 755000 0 0
NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 8164 5633000 PRN SOLE 5633000 0 0
NEWPARK RES INC NOTE 4.000%10/0 651718AC2 2339 2250000 PRN SOLE 2250000 0 0
NEWS CORP CL A 65248E104 541 22075 SH SOLE 22075 0 0
NEXTERA ENERGY INC COM 65339F101 798 11369 SH SOLE 11369 0 0
NIKE INC CL B 654106103 564 5947 SH SOLE 5947 0 0
NORTHROP GRUMMAN CORP COM 666807102 1184 17849 SH SOLE 17849 0 0
NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 6942 6250000 PRN SOLE 6250000 0 0
NOVO-NORDISK A S ADR 670100205 203 1285 SH SOLE 1285 0 0
NPS PHARMACEUTICALS INC COM 62936P103 553 59775 SH SOLE 59775 0 0
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P T TELEKOMUNIKASI INDONESIA SPONSORED ADR 715684106 396 10181 SH SOLE 10181 0 0
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PARKER HANNIFIN CORP COM 701094104 577 6884 SH SOLE 6884 0 0
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PHH CORP NOTE 4.000% 9/0 693320AN3 7315 6750000 PRN SOLE 6750000 0 0
PHH CORP NOTE 6.000% 6/1 693320AQ6 4086 2250000 PRN SOLE 2250000 0 0
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PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 1934 1115000 PRN SOLE 1115000 0 0
PLAINS EXPL& PRODTN CO COM 726505100 809 21581 SH SOLE 21581 0 0
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PROLOGIS NOTE 3.250% 3/1 74340XAT8 3453 3083000 PRN SOLE 3083000 0 0
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RANGE RES CORP COM 75281A109 1635 23376 SH SOLE 23376 0 0
RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 173 127000 PRN SOLE 127000 0 0
REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 8990 6850000 PRN SOLE 6850000 0 0
RENTECH INC COM 760112102 91 37110 SH SOLE 37110 0 0
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RYLAND GROUP INC NOTE 1.625% 5/1 783764AQ6 4034 3375000 PRN SOLE 3375000 0 0
SAKS INC NOTE 2.000% 3/1 79377WAL2 503 488000 PRN SOLE 488000 0 0
SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 2522 2152000 PRN SOLE 2152000 0 0
SANCHEZ ENERGY CORP COM 79970Y105 490 24010 SH SOLE 24010 0 0
SANDISK CORP COM 80004C101 403 9270 SH SOLE 9270 0 0
SANDISK CORP NOTE 1.500% 8/1 80004CAD3 5352 4730000 PRN SOLE 4730000 0 0
SANTARUS INC COM 802817304 125 14120 SH SOLE 14120 0 0
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SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 12289 5800000 PRN SOLE 5800000 0 0
SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3975 2615000 PRN SOLE 2615000 0 0
SCHLUMBERGER LTD COM 806857108 2557 35325 SH SOLE 35325 0 0
SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 498 13700 SH SOLE 13700 0 0
SIGMA DESIGNS INC COM 826565103 267 40410 SH SOLE 40410 0 0
SILICON GRAPHICS INTL CORP COM 82706L108 278 30580 SH SOLE 30580 0 0
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SM ENERGY CO COM 78454L100 680 12566 SH SOLE 12566 0 0
SMITH & WESSON HLDG CORP COM 831756101 118 10760 SH SOLE 10760 0 0
SONUS NETWORKS INC COM 835916107 107 57210 SH SOLE 57210 0 0
SOTHEBYS NOTE 3.125% 6/1 835898AC1 2833 2550000 PRN SOLE 2550000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 54658 379637 SH SOLE 379637 0 0
SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 530 2945 SH SOLE 2945 0 0
SPDR SERIES TRUST S&P HOMEBUILD 78464A888 462 18573 SH SOLE 18573 0 0
STANDARD PAC CORP NEW NOTE 1.250% 8/0 85375CBC4 5249 4750000 PRN SOLE 4750000 0 0
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STARBUCKS CORP COM 855244109 424 8356 SH SOLE 8356 0 0
STEEL DYNAMICS INC COM 858119100 364 32350 SH SOLE 32350 0 0
STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 7735 8120000 PRN SOLE 8120000 0 0
STRATEGIC HOTELS & RESORTS I COM 86272T106 274 45700 SH SOLE 45700 0 0
SUNTRUST BKS INC COM 867914103 744 26305 SH SOLE 26305 0 0
SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 5047 4658000 PRN SOLE 4658000 0 0
SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 8560 403000 SH SOLE 403000 0 0
TARGET CORP COM 87612E106 1607 25317 SH SOLE 25317 0 0
TELEFLEX INC NOTE 3.875% 8/0 879369AA4 4579 3636000 PRN SOLE 3636000 0 0
TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 231 217000 PRN SOLE 217000 0 0
THOMPSON CREEK METALS CO INC UNIT 99/99/9999 884768300 2356 140000 SH SOLE 140000 0 0
TIME WARNER INC COM NEW 887317303 731 16126 SH SOLE 16126 0 0
TJX COS INC NEW COM 872540109 577 12880 SH SOLE 12880 0 0
TOWER GROUP INC COM 891777104 612 31549 SH SOLE 31549 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 449 449000 PRN SOLE 449000 0 0
TRANSOCEAN LTD REG SHS H8817H100 851 18962 SH SOLE 18962 0 0
TRAVELERS COMPANIES INC COM 89417E109 677 9909 SH SOLE 9909 0 0
TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 72 71000 PRN SOLE 71000 0 0
TYSON FOODS INC CL A 902494103 536 33465 SH SOLE 33465 0 0
TYSON FOODS INC NOTE 3.250%10/1 902494AP8 2290 2064000 PRN SOLE 2064000 0 0
UNILIFE CORP NEW COM 90478E103 297 95190 SH SOLE 95190 0 0
UNION PAC CORP COM 907818108 658 5543 SH SOLE 5543 0 0
UNISYS CORP PFD SER A 6.25% 909214405 6523 105000 SH SOLE 105000 0 0
UNITED CONTL HLDGS INC COM 910047109 690 35378 SH SOLE 35378 0 0
UNITED RENTALS INC COM 911363109 763 23310 SH SOLE 23310 0 0
UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 3421 3390000 PRN SOLE 3390000 0 0
UNITED TECHNOLOGIES CORP COM 913017109 1763 22525 SH SOLE 22525 0 0
UNITED TECHNOLOGIES CORP UNIT 99/99/9999 913017117 8465 151235 SH SOLE 151235 0 0
UNITED THERAPEUTICS CORP DEL COM 91307C102 1333 23825 SH SOLE 23825 0 0
UNITED THERAPEUTICS CORP DEL NOTE 1.000% 9/1 91307CAE2 3008 2288000 PRN SOLE 2288000 0 0
UNITEDHEALTH GROUP INC COM 91324P102 2396 43250 SH SOLE 43250 0 0
US BANCORP DEL COM NEW 902973304 1701 49582 SH SOLE 49582 0 0
VAALCO ENERGY INC COM NEW 91851C201 109 12720 SH SOLE 12720 0 0
VANGUARD INTL EQUITY INDEX F MSCI EMR MKT ETF 922042858 321 7700 SH SOLE 7700 0 0
VENOCO INC COM 92275P307 290 24420 SH SOLE 24420 0 0
VERISIGN INC SDCV 3.250% 8/1 92343EAD4 15477 10152000 PRN SOLE 10152000 0 0
VERIZON COMMUNICATIONS INC COM 92343V104 1517 33291 SH SOLE 33291 0 0
VIACOM INC NEW CL B 92553P201 545 10171 SH SOLE 10171 0 0
VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 11719 6800000 PRN SOLE 6800000 0 0
VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 2043 1163000 PRN SOLE 1163000 0 0
VISA INC COM CL A 92826C839 1011 7534 SH SOLE 7534 0 0
VISHAY INTERTECHNOLOGY INC COM 928298108 563 57180 SH SOLE 57180 0 0
VMWARE INC CL A COM 928563402 428 4425 SH SOLE 4425 0 0
VOLTERRA SEMICONDUCTOR CORP COM 928708106 243 11130 SH SOLE 11130 0 0
WAL-MART STORES INC COM 931142103 1302 17639 SH SOLE 17639 0 0
WATSON PHARMACEUTICALS INC COM 942683103 1280 15023 SH SOLE 15023 0 0
WEBMD HEALTH CORP NOTE 2.500% 1/3 94770VAF9 5780 7000000 PRN SOLE 7000000 0 0
WELLS FARGO & CO NEW COM 949746101 2327 67372 SH SOLE 67372 0 0
WELLS FARGO & CO NEW PERP PFD CNV A 949746804 8016 6475 SH SOLE 6475 0 0
WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 12325 5750000 PRN SOLE 5750000 0 0
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XILINX INC SDCV 3.125% 3/1 983919AD3 283 237000 PRN SOLE 237000 0 0
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ZALE CORP NEW COM 988858106 340 49280 SH SOLE 49280 0 0