0001172661-14-001321.txt : 20140811
0001172661-14-001321.hdr.sgml : 20140811
20140808145214
ACCESSION NUMBER: 0001172661-14-001321
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20140630
FILED AS OF DATE: 20140808
DATE AS OF CHANGE: 20140808
EFFECTIVENESS DATE: 20140808
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: 141027098
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
06-30-2014
06-30-2014
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
08-08-2014
0
388
1032426
INFORMATION TABLE
2
infotable.xml
3M CO
COM
88579Y101
232
1623
SH
SOLE
1623
0
0
ABBOTT LABS
COM
002824100
285
6984
SH
SOLE
6984
0
0
ABBVIE INC
COM
00287Y109
671
11904
SH
SOLE
11904
0
0
ACTAVIS PLC
SHS
G0083B108
218
980
SH
SOLE
980
0
0
AEGEAN MARINE PETE NETWORK I
NOTE 4.000%11/0
Y0020QAA9
4314
4250000
PRN
SOLE
4250000
0
0
AETNA INC NEW
COM
00817Y108
296
3650
SH
SOLE
3650
0
0
AFFILIATED MANAGERS GROUP
COM
008252108
285
1388
SH
SOLE
1388
0
0
AIR LEASE CORP
NOTE 3.875%12/0
00912XAK0
3278
2176000
PRN
SOLE
2176000
0
0
AIRTRAN HLDGS INC
NOTE 5.250%11/0
00949PAD0
2583
1220000
PRN
SOLE
1220000
0
0
AKORN INC
NOTE 3.500% 6/0
009728AB2
3114
818000
PRN
SOLE
818000
0
0
ALERE INC
PERP PFD CONV SE
01449J204
7640
24250
SH
SOLE
24250
0
0
ALLSTATE CORP
COM
020002101
666
11351
SH
SOLE
11351
0
0
ALTRIA GROUP INC
COM
02209S103
205
4865
SH
SOLE
4865
0
0
ALZA CORP
SDCV 7/2
02261WAB5
492
342000
PRN
SOLE
342000
0
0
AMAG PHARMACEUTICALS INC
NOTE 2.500% 2/1
00163UAA4
2605
2450000
PRN
SOLE
2450000
0
0
AMAZON COM INC
COM
023135106
303
932
SH
SOLE
932
0
0
AMERICAN AIRLS GROUP INC
COM
02376R102
820
19079
SH
SOLE
19079
0
0
AMERICAN EXPRESS CO
COM
025816109
243
2564
SH
SOLE
2564
0
0
AMERICAN INTL GROUP INC
COM NEW
026874784
560
10294
SH
SOLE
10294
0
0
AMERICAN RLTY CAP PPTYS INC
NOTE 3.750%12/1
02917TAB0
3205
3072000
PRN
SOLE
3072000
0
0
AMERICAN TOWER CORP NEW
PFD CONV SER A
03027X308
1674
15797
SH
SOLE
15797
0
0
AMGEN INC
COM
031162100
674
5700
SH
SOLE
5700
0
0
AMTRUST FINL SVCS INC
NOTE 5.500%12/1
032359AC5
2876
1750000
PRN
SOLE
1750000
0
0
ANADARKO PETE CORP
COM
032511107
606
5521
SH
SOLE
5521
0
0
ANHEUSER BUSCH INBEV SA/NV
SPONSORED ADR
03524A108
363
3146
SH
SOLE
3146
0
0
APACHE CORP
COM
037411105
622
6167
SH
SOLE
6167
0
0
APPLE INC
COM
037833100
1815
19519
SH
SOLE
19519
0
0
ARCELORMITTAL SA LUXEMBOURG
MAND CV NT 16
L0302D178
5226
231950
SH
SOLE
231950
0
0
ARES CAP CORP
COM
04010L103
562
31465
SH
SOLE
31465
0
0
ARES CAP CORP
NOTE 5.750% 2/0
04010LAB9
3657
3439000
PRN
SOLE
3439000
0
0
ARES CAP CORP
NOTE 5.125% 6/0
04010LAD5
836
779000
PRN
SOLE
779000
0
0
ARES CAP CORP
NOTE 4.875% 3/1
04010LAG8
2848
2674000
PRN
SOLE
2674000
0
0
ARES CAP CORP
NOTE 4.750% 1/1
04010LAJ2
56
53000
PRN
SOLE
53000
0
0
ARRAY BIOPHARMA INC
COM
04269X105
473
103540
SH
SOLE
103540
0
0
ASCENT CAP GROUP INC
NOTE 4.000% 7/1
043632AA6
4193
4500000
PRN
SOLE
4500000
0
0
AT&T INC
COM
00206R102
620
17567
SH
SOLE
17567
0
0
BANC CALIF INC
COM
05990K106
611
56212
SH
SOLE
56212
0
0
BANK NEW YORK MELLON CORP
COM
064058100
242
6520
SH
SOLE
6520
0
0
BANK OF AMERICA CORPORATION
COM
060505104
442
28813
SH
SOLE
28813
0
0
BANK OF AMERICA CORPORATION
7.25%CNV PFD L
060505682
12554
10757
SH
SOLE
10757
0
0
BARCLAYS PLC
ADR
06738E204
683
46775
SH
SOLE
46775
0
0
BASIC ENERGY SVCS INC NEW
COM
06985P100
504
17285
SH
SOLE
17285
0
0
BERKSHIRE HATHAWAY INC DEL
CL B NEW
084670702
394
3109
SH
SOLE
3109
0
0
BIND THERAPEUTICS INC
COM
05548N107
487
36995
SH
SOLE
36995
0
0
BIOGEN IDEC INC
COM
09062X103
257
816
SH
SOLE
816
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 1.875% 4/2
09061GAD3
116
38000
PRN
SOLE
38000
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 0.750%10/1
09061GAE1
425
413000
PRN
SOLE
413000
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 1.500%10/1
09061GAF8
3198
3039000
PRN
SOLE
3039000
0
0
BLACKHAWK NETWORK HLDGS INC
CL A
09238E104
539
19125
SH
SOLE
19125
0
0
BOEING CO
COM
097023105
665
5221
SH
SOLE
5221
0
0
BOTTOMLINE TECH DEL INC
NOTE 1.500%12/0
101388AA4
6130
5195000
PRN
SOLE
5195000
0
0
BPZ RESOURCES INC
NOTE 8.500%10/0
055639AC2
4077
3500000
PRN
SOLE
3500000
0
0
BRISTOW GROUP INC
NOTE 3.000% 6/1
110394AC7
3931
3105000
PRN
SOLE
3105000
0
0
BROOKDALE SR LIVING INC
NOTE 2.750% 6/1
112463AA2
535
392000
PRN
SOLE
392000
0
0
CADENCE DESIGN SYSTEM INC
NOTE 2.625% 6/0
127387AJ7
1823
784000
PRN
SOLE
784000
0
0
CAI INTERNATIONAL INC
COM
12477X106
301
13610
SH
SOLE
13610
0
0
CALLAWAY GOLF CO
NOTE 3.750% 8/1
131193AC8
3071
2500000
PRN
SOLE
2500000
0
0
CANCER GENETICS INC
COM
13739U104
249
22010
SH
SOLE
22010
0
0
CAPITAL ONE FINL CORP
COM
14040H105
878
10640
SH
SOLE
10640
0
0
CARROLS RESTAURANT GROUP INC
COM
14574X104
453
63775
SH
SOLE
63775
0
0
CASELLA WASTE SYS INC
CL A
147448104
508
101220
SH
SOLE
101220
0
0
CBS CORP NEW
CL B
124857202
889
14308
SH
SOLE
14308
0
0
CELGENE CORP
COM
151020104
803
9352
SH
SOLE
9352
0
0
CEMEX SAB DE CV
NOTE 3.750% 3/1
151290BC6
11377
7500000
PRN
SOLE
7500000
0
0
CHC GROUP LTD
SHS
G07021101
553
65550
SH
SOLE
65550
0
0
CHEGG INC
COM
163092109
457
64910
SH
SOLE
64910
0
0
CHESAPEAKE ENERGY CORP
NOTE 2.750%11/1
165167BW6
3289
3106000
PRN
SOLE
3106000
0
0
CHESAPEAKE ENERGY CORP
NOTE 2.500% 5/1
165167BZ9
536
500000
PRN
SOLE
500000
0
0
CHEVRON CORP NEW
COM
166764100
770
5896
SH
SOLE
5896
0
0
CHIQUITA BRANDS INTL INC
NOTE 4.250% 8/1
170032AT3
3927
3900000
PRN
SOLE
3900000
0
0
CIENA CORP
NOTE 0.875% 6/1
171779AE1
894
897000
PRN
SOLE
897000
0
0
CIENA CORP
DEBT 4.000%12/1
171779AK7
7829
5650000
PRN
SOLE
5650000
0
0
CIMATRON LTD
ORD
M23798107
606
97580
SH
SOLE
97580
0
0
CINCINNATI BELL INC NEW
COM
171871106
506
128680
SH
SOLE
128680
0
0
CISCO SYS INC
COM
17275R102
364
14633
SH
SOLE
14633
0
0
CITIGROUP INC
COM NEW
172967424
1422
30126
SH
SOLE
30126
0
0
COBALT INTL ENERGY INC
NOTE 3.125% 5/1
19075FAB2
4298
3996000
PRN
SOLE
3996000
0
0
COCA COLA CO
COM
191216100
493
11607
SH
SOLE
11607
0
0
COMCAST CORP NEW
CL A
20030N101
1571
29236
SH
SOLE
29236
0
0
COMMERCIAL VEH GROUP INC
COM
202608105
480
47750
SH
SOLE
47750
0
0
CONAGRA FOODS INC
COM
205887102
524
17639
SH
SOLE
17639
0
0
CONCUR TECHNOLOGIES INC
NOTE 0.500% 6/1
206708AC3
2260
2024000
PRN
SOLE
2024000
0
0
CONOCOPHILLIPS
COM
20825C104
401
4667
SH
SOLE
4667
0
0
CONSTELLIUM NV
CL A
N22035104
221
6900
SH
SOLE
6900
0
0
CONTINENTAL AIRLS INC
NOTE 4.500% 1/1
210795PU8
3449
1572000
PRN
SOLE
1572000
0
0
COVISINT CORP
COM
22357R103
237
48765
SH
SOLE
48765
0
0
COWEN GROUP INC NEW
CL A
223622101
279
66185
SH
SOLE
66185
0
0
CROWN CASTLE INTL CORP
CNV PFD STK SR A
228227500
2130
20995
SH
SOLE
20995
0
0
CTI BIOPHARMA CORP
COM
12648L106
382
135525
SH
SOLE
135525
0
0
CUBIST PHARMACEUTICALS INC
NOTE 2.500%11/0
229678AD9
9479
3869000
PRN
SOLE
3869000
0
0
CUMMINS INC
COM
231021106
200
1300
SH
SOLE
1300
0
0
CVS CAREMARK CORPORATION
COM
126650100
742
9838
SH
SOLE
9838
0
0
CYAN INC
COM
23247W104
428
106430
SH
SOLE
106430
0
0
CYNOSURE INC
CL A
232577205
678
31945
SH
SOLE
31945
0
0
D R HORTON INC
COM
23331A109
543
22140
SH
SOLE
22140
0
0
DANAHER CORP DEL
COM
235851102
720
9144
SH
SOLE
9144
0
0
DANAHER CORP DEL
NOTE 1/2
235851AF9
1822
796000
PRN
SOLE
796000
0
0
DAQO NEW ENERGY CORP
SPNSRD ADR NEW
23703Q203
341
10665
SH
SOLE
10665
0
0
DEALERTRACK TECHNOLOGIES INC
NOTE 1.500% 3/1
242309AB8
9372
7000000
PRN
SOLE
7000000
0
0
DELTA AIR LINES INC DEL
COM NEW
247361702
593
15264
SH
SOLE
15264
0
0
DEVELOPERS DIVERSIFIED RLTY
NOTE 1.750%11/1
251591AX1
3580
2983000
PRN
SOLE
2983000
0
0
DISCOVER FINL SVCS
COM
254709108
327
5260
SH
SOLE
5260
0
0
DISCOVERY COMMUNICATNS NEW
COM SER A
25470F104
468
6295
SH
SOLE
6295
0
0
DISNEY WALT CO
COM DISNEY
254687106
381
4452
SH
SOLE
4452
0
0
DOMINION RES INC VA NEW
UNIT 04/01/2013
25746U703
4746
82073
SH
SOLE
82073
0
0
DONNELLEY R R & SONS CO
COM
257867101
442
26015
SH
SOLE
26015
0
0
DOW CHEM CO
COM
260543103
670
12985
SH
SOLE
12985
0
0
DRIL-QUIP INC
COM
262037104
224
2050
SH
SOLE
2050
0
0
E M C CORP MASS
COM
268648102
212
7997
SH
SOLE
7997
0
0
EASTMAN CHEM CO
COM
277432100
680
7808
SH
SOLE
7808
0
0
EATON CORP PLC
SHS
G29183103
575
7458
SH
SOLE
7458
0
0
EBAY INC
COM
278642103
586
11705
SH
SOLE
11705
0
0
ELECTRONIC ARTS INC
NOTE 0.750% 7/1
285512AA7
3909
3092000
PRN
SOLE
3092000
0
0
EMERALD OIL INC
COM NEW
29101U209
88
11490
SH
SOLE
11490
0
0
EMERSON ELEC CO
COM
291011104
211
3166
SH
SOLE
3166
0
0
ENDO HEALTH SOLUTIONS INC
NOTE 1.750% 4/1
29264FAB2
1972
823000
PRN
SOLE
823000
0
0
ENERSYS
NOTE 3.375% 6/0
29275YAA0
54
31000
PRN
SOLE
31000
0
0
ENNIS INC
COM
293389102
226
14845
SH
SOLE
14845
0
0
ENSCO PLC
SHS CLASS A
G3157S106
322
5800
SH
SOLE
5800
0
0
ENTRAVISION COMMUNICATIONS C
CL A
29382R107
487
78591
SH
SOLE
78591
0
0
ENTROPIC COMMUNICATIONS INC
COM
29384R105
351
105630
SH
SOLE
105630
0
0
EOG RES INC
COM
26875P101
254
2162
SH
SOLE
2162
0
0
EQUINIX INC
NOTE 3.000%10/1
29444UAG1
1412
744000
PRN
SOLE
744000
0
0
ESPERION THERAPEUTICS INC NE
COM
29664W105
283
17858
SH
SOLE
17858
0
0
EXXON MOBIL CORP
COM
30231G102
1591
15794
SH
SOLE
15794
0
0
FACEBOOK INC
CL A
30303M102
274
4051
SH
SOLE
4051
0
0
FEDEX CORP
COM
31428X106
619
4076
SH
SOLE
4076
0
0
FIDELITY NATIONAL FINANCIAL
NOTE 4.250% 8/1
31620RAE5
2280
1389000
PRN
SOLE
1389000
0
0
FINISAR CORP
COM NEW
31787A507
365
18495
SH
SOLE
18495
0
0
FLUIDIGM CORP DEL
NOTE 2.750% 2/0
34385PAA6
2906
3065000
PRN
SOLE
3065000
0
0
FOOT LOCKER INC
COM
344849104
716
14169
SH
SOLE
14169
0
0
FORD MTR CO DEL
COM PAR $0.01
345370860
228
13256
SH
SOLE
13256
0
0
FORD MTR CO DEL
NOTE 4.250%11/1
345370CN8
10188
5098000
PRN
SOLE
5098000
0
0
FOREST CITY ENTERPRISES INC
NOTE 4.250% 8/1
345550AP2
13310
11781000
PRN
SOLE
11781000
0
0
FORESTAR GROUP INC
NOTE 3.750% 3/0
346232AB7
5421
5000000
PRN
SOLE
5000000
0
0
FORMFACTOR INC
COM
346375108
505
60710
SH
SOLE
60710
0
0
FORTUNE BRANDS HOME & SEC IN
COM
34964C106
505
12670
SH
SOLE
12670
0
0
FREEPORT-MCMORAN COPPER & GO
COM
35671D857
212
5804
SH
SOLE
5804
0
0
GAMESTOP CORP NEW
CL A
36467W109
209
5150
SH
SOLE
5150
0
0
GENCORP INC
COM
368682100
460
24055
SH
SOLE
24055
0
0
GENERAL CABLE CORP DEL NEW
FRNT 4.500%11/1
369300AL2
11657
11775000
PRN
SOLE
11775000
0
0
GENERAL ELECTRIC CO
COM
369604103
1591
60466
SH
SOLE
60466
0
0
GENERAL MTRS CO
COM
37045V100
391
10787
SH
SOLE
10787
0
0
GILEAD SCIENCES INC
COM
375558103
322
3887
SH
SOLE
3887
0
0
GILEAD SCIENCES INC
NOTE 1.625% 5/0
375558AP8
29307
8040000
PRN
SOLE
8040000
0
0
GLU MOBILE INC
COM
379890106
462
92380
SH
SOLE
92380
0
0
GOLDCORP INC NEW
NOTE 2.000% 8/0
380956AB8
899
898000
PRN
SOLE
898000
0
0
GOOGLE INC
CL A
38259P508
1584
2710
SH
SOLE
2710
0
0
GOOGLE INC
CL C
38259P706
793
1381
SH
SOLE
1381
0
0
GREENBRIER COS INC
NOTE 3.500% 4/0
393657AH4
2082
1244000
PRN
SOLE
1244000
0
0
GROUP 1 AUTOMOTIVE INC
FRNT 2.250% 6/1
398905AE9
182
128000
PRN
SOLE
128000
0
0
GT ADVANCED TECHNOLOGIES INC
NOTE 3.000%12/1
36191UAB2
8414
4825000
PRN
SOLE
4825000
0
0
HALCON RES CORP
COM NEW
40537Q209
233
31915
SH
SOLE
31915
0
0
HALLIBURTON CO
COM
406216101
850
11998
SH
SOLE
11998
0
0
HAWAIIAN HOLDINGS INC
NOTE 5.000% 3/1
419879AD3
3632
2009000
PRN
SOLE
2009000
0
0
HEALTH CARE REIT INC
PFD PER CON I
42217K601
14140
244877
SH
SOLE
244877
0
0
HEALTH CARE REIT INC
NOTE 3.000%12/0
42217KAR7
1221
989000
PRN
SOLE
989000
0
0
HEALTHWAYS INC
NOTE 1.500% 7/0
422245AB6
242
220000
PRN
SOLE
220000
0
0
HELIX ENERGY SOLUTIONS GRP I
NOTE 3.250% 3/1
42330PAG2
3813
2832000
PRN
SOLE
2832000
0
0
HERCULES OFFSHORE INC
COM
427093109
267
66300
SH
SOLE
66300
0
0
HEWLETT PACKARD CO
COM
428236103
411
12200
SH
SOLE
12200
0
0
HOLOGIC INC
FRNT 2.000%12/1
436440AB7
6032
4808000
PRN
SOLE
4808000
0
0
HOLOGIC INC
DEBT 2.000% 3/0
436440AC5
908
832000
PRN
SOLE
832000
0
0
HOME DEPOT INC
COM
437076102
543
6702
SH
SOLE
6702
0
0
HORNBECK OFFSHORE SVCS INC N
NOTE 1.500% 9/0
440543AN6
3530
2920000
PRN
SOLE
2920000
0
0
HORSEHEAD HLDG CORP
NOTE 3.800% 7/0
440694AB3
5896
4250000
PRN
SOLE
4250000
0
0
HOWARD HUGHES CORP
COM
44267D107
211
1335
SH
SOLE
1335
0
0
HUBBELL INC
CL B
443510201
263
2140
SH
SOLE
2140
0
0
HUNTINGTON BANCSHARES INC
PFD CONV SER A
446150401
1923
1456
SH
SOLE
1456
0
0
HUNTSMAN CORP
COM
447011107
331
11793
SH
SOLE
11793
0
0
HYSTER YALE MATLS HANDLING I
CL A
449172105
287
3240
SH
SOLE
3240
0
0
ICONIX BRAND GROUP INC
NOTE 2.500% 6/0
451055AE7
8952
6188000
PRN
SOLE
6188000
0
0
ILLUMINA INC
NOTE 0.250% 3/1
452327AD1
2660
1237000
PRN
SOLE
1237000
0
0
INGERSOLL-RAND PLC
SHS
G47791101
402
6428
SH
SOLE
6428
0
0
INTEL CORP
COM
458140100
377
12175
SH
SOLE
12175
0
0
INTEL CORP
SDCV 2.950%12/1
458140AD2
6448
5185000
PRN
SOLE
5185000
0
0
INTEL CORP
SDCV 3.250% 8/0
458140AF7
27428
17784000
PRN
SOLE
17784000
0
0
INTERCONTINENTAL EXCHANGE IN
COM
45866F104
298
1575
SH
SOLE
1575
0
0
INTERNAP NETWORK SVCS CORP
COM PAR $.001
45885A300
436
61780
SH
SOLE
61780
0
0
INTERNATIONAL BUSINESS MACHS
COM
459200101
252
1389
SH
SOLE
1389
0
0
INTL PAPER CO
COM
460146103
893
17666
SH
SOLE
17666
0
0
INVESCO LTD
SHS
G491BT108
875
23207
SH
SOLE
23207
0
0
IRIDIUM COMMUNICATIONS INC
PERP PFD CNV B
46269C409
4342
13000
SH
SOLE
13000
0
0
ISHARES
MSCI UK ETF
464286699
531
25450
SH
SOLE
25450
0
0
ISHARES
MSCI TAIWAN ETF
464286731
318
20100
SH
SOLE
20100
0
0
ISHARES
MSCI STH KOR ETF
464286772
252
3875
SH
SOLE
3875
0
0
ISHARES
CORE TOTUSBD ETF
464287226
544
4975
SH
SOLE
4975
0
0
ISHARES
RUS 2000 GRW ETF
464287648
243
1755
SH
SOLE
1755
0
0
ISHARES
RUSSELL 2000 ETF
464287655
256
2156
SH
SOLE
2156
0
0
ISHARES
U.S. REAL ES ETF
464287739
1102
15366
SH
SOLE
15366
0
0
ISHARES
1-3 YR CR BD ETF
464288646
4057
38395
SH
SOLE
38395
0
0
ISHARES TR
FLTG RATE BD ETF
46429B655
4056
79812
SH
SOLE
79812
0
0
JAKKS PAC INC
COM
47012E106
565
72995
SH
SOLE
72995
0
0
JANUS CAP GROUP INC
NOTE 0.750% 7/1
47102XAH8
2033
1562000
PRN
SOLE
1562000
0
0
JARDEN CORP
NOTE 1.875% 9/1
471109AH1
4732
3433000
PRN
SOLE
3433000
0
0
JEFFERIES GROUP INC NEW
DBCV 3.875%11/0
472319AG7
3452
3229000
PRN
SOLE
3229000
0
0
JOHNSON & JOHNSON
COM
478160104
1037
9888
SH
SOLE
9888
0
0
JPMORGAN CHASE & CO
COM
46625H100
1756
30451
SH
SOLE
30451
0
0
KALOBIOS PHARMACEUTICALS INC
COM
48344T100
394
173360
SH
SOLE
173360
0
0
KARYOPHARM THERAPEUTICS INC
COM
48576U106
269
5765
SH
SOLE
5765
0
0
KB HOME
NOTE 1.375% 2/0
48666KAS8
4271
4250000
PRN
SOLE
4250000
0
0
KEYCORP NEW
PFD 7.75% SR A
493267405
9684
74511
SH
SOLE
74511
0
0
KEYW HLDG CORP
COM
493723100
516
40964
SH
SOLE
40964
0
0
KIMBERLY CLARK CORP
COM
494368103
966
8685
SH
SOLE
8685
0
0
KRAFT FOODS GROUP INC
COM
50076Q106
354
5890
SH
SOLE
5890
0
0
KRATOS DEFENSE & SEC SOLUTIO
COM NEW
50077B207
476
60960
SH
SOLE
60960
0
0
KROGER CO
COM
501044101
226
4579
SH
SOLE
4579
0
0
LA JOLLA PHARMACEUTICAL CO
COM PAR $.0001 2
503459604
316
34335
SH
SOLE
34335
0
0
LABORATORY CORP AMER HLDGS
NOTE 9/1
50540RAG7
1022
745000
PRN
SOLE
745000
0
0
LAM RESEARCH CORP
COM
512807108
266
3917
SH
SOLE
3917
0
0
LAM RESEARCH CORP
NOTE 0.500% 5/1
512807AJ7
3929
3160000
PRN
SOLE
3160000
0
0
LAM RESEARCH CORP
NOTE 1.250% 5/1
512807AL2
7974
5835000
PRN
SOLE
5835000
0
0
LEAR CORP
COM NEW
521865204
551
6167
SH
SOLE
6167
0
0
LENNAR CORP
CL A
526057104
210
5000
SH
SOLE
5000
0
0
LEVEL 3 COMMUNICATIONS INC
NOTE 7.000% 3/1
52729NBP4
4058
2443000
PRN
SOLE
2443000
0
0
LIBERTY INTERACTIVE CORP
INT COM SER A
53071M104
262
8900
SH
SOLE
8900
0
0
LIBERTY INTERACTIVE LLC
DEB 0.750% 3/3
530610AC8
4502
3358000
PRN
SOLE
3358000
0
0
LIFETIME BRANDS INC
COM
53222Q103
278
17665
SH
SOLE
17665
0
0
LOEWS CORP
COM
540424108
728
16540
SH
SOLE
16540
0
0
LUMENIS LTD
SHS CL B
M6778Q121
394
40400
SH
SOLE
40400
0
0
LYONDELLBASELL INDUSTRIES N
SHS - A -
N53745100
743
7609
SH
SOLE
7609
0
0
MACYS INC
COM
55616P104
502
8699
SH
SOLE
8699
0
0
MADISON SQUARE GARDEN CO
CL A
55826P100
447
7164
SH
SOLE
7164
0
0
MANPOWERGROUP INC
COM
56418H100
345
4078
SH
SOLE
4078
0
0
MARATHON OIL CORP
COM
565849106
355
8900
SH
SOLE
8900
0
0
MARVELL TECHNOLOGY GROUP LTD
ORD
G5876H105
202
14100
SH
SOLE
14100
0
0
MASTERCARD INC
CL A
57636Q104
745
10131
SH
SOLE
10131
0
0
MAXLINEAR INC
CL A
57776J100
547
54469
SH
SOLE
54469
0
0
MBIA INC
COM
55262C100
581
52656
SH
SOLE
52656
0
0
MCKESSON CORP
COM
58155Q103
369
1972
SH
SOLE
1972
0
0
MEADOWBROOK INS GROUP INC
DBCV 5.000% 3/1
58319PAC2
3158
3000000
PRN
SOLE
3000000
0
0
MEDICINES CO
DBCV 1.375% 6/0
584688AC9
10559
8635000
PRN
SOLE
8635000
0
0
MEDIVATION INC
NOTE 2.625% 4/0
58501NAA9
46
29000
PRN
SOLE
29000
0
0
MEDTRONIC INC
COM
585055106
274
4292
SH
SOLE
4292
0
0
MERCK & CO INC NEW
COM
58933Y105
407
7044
SH
SOLE
7044
0
0
MERITAGE HOMES CORP
NOTE 1.875% 9/1
59001AAR3
5253
5000000
PRN
SOLE
5000000
0
0
MERITOR INC
NOTE 7.875% 3/0
59001KAC4
13710
8514000
PRN
SOLE
8514000
0
0
METLIFE INC
COM
59156R108
585
10504
SH
SOLE
10504
0
0
METLIFE INC
UNIT 99/99/9999
59156R116
4799
150104
SH
SOLE
150104
0
0
MGIC INVT CORP WIS
NOTE 2.000% 4/0
552848AE3
3150
2119000
PRN
SOLE
2119000
0
0
MGM RESORTS INTERNATIONAL
NOTE 4.250% 4/1
55303QAE0
5826
3970000
PRN
SOLE
3970000
0
0
MICROCHIP TECHNOLOGY INC
SDCV 2.125%12/1
595017AB0
16114
8433000
PRN
SOLE
8433000
0
0
MICRON TECHNOLOGY INC
NOTE 1.625% 2/1
595112AU7
6892
2292000
PRN
SOLE
2292000
0
0
MICROSOFT CORP
COM
594918104
821
19719
SH
SOLE
19719
0
0
MIDSTATES PETE CO INC
COM
59804T100
347
47920
SH
SOLE
47920
0
0
MIZUHO FINL GROUP INC
SPONSORED ADR
60687Y109
706
171890
SH
SOLE
171890
0
0
MOLINA HEALTHCARE INC
NOTE 3.750%10/0
60855RAA8
2635
1840000
PRN
SOLE
1840000
0
0
MOLINA HEALTHCARE INC
NOTE 1.125% 1/1
60855RAC4
1188
947000
PRN
SOLE
947000
0
0
MONDELEZ INTL INC
CL A
609207105
322
8513
SH
SOLE
8513
0
0
MORGANS HOTEL GROUP CO
COM
61748W108
461
58125
SH
SOLE
58125
0
0
MUELLER WTR PRODS INC
COM SER A
624758108
508
58818
SH
SOLE
58818
0
0
MYLAN INC
COM
628530107
475
9210
SH
SOLE
9210
0
0
MYLAN INC
NOTE 3.750% 9/1
628530AJ6
8880
2290000
PRN
SOLE
2290000
0
0
NATIONAL OILWELL VARCO INC
COM
637071101
578
7033
SH
SOLE
7033
0
0
NEWPARK RES INC
NOTE 4.000%10/0
651718AC2
10380
7750000
PRN
SOLE
7750000
0
0
NEXTERA ENERGY INC
UNIT 09/01/2015
65339F887
4462
68748
SH
SOLE
68748
0
0
NORCRAFT COS INC
COM
65557Y105
415
29000
SH
SOLE
29000
0
0
NOVELLUS SYS INC
NOTE 2.625% 5/1
670008AD3
19789
9781000
PRN
SOLE
9781000
0
0
NUVASIVE INC
NOTE 2.750% 7/0
670704AC9
484
423000
PRN
SOLE
423000
0
0
NUVERRA ENVIRONMENTAL SOLUTI
COM NEW
67091K203
468
23255
SH
SOLE
23255
0
0
OCCIDENTAL PETE CORP DEL
COM
674599105
793
7719
SH
SOLE
7719
0
0
OCEANEERING INTL INC
COM
675232102
340
4350
SH
SOLE
4350
0
0
OCLARO INC
COM NEW
67555N206
176
79520
SH
SOLE
79520
0
0
OLD REP INTL CORP
NOTE 3.750% 3/1
680223AH7
8654
6957000
PRN
SOLE
6957000
0
0
OMNICARE CAP TR II
PFD B TR 4.00%
68214Q200
4947
60695
SH
SOLE
60695
0
0
OMNICARE INC
DBCV 3.250%12/1
681904AL2
8346
7846000
PRN
SOLE
7846000
0
0
OMNICARE INC
NOTE 3.500% 2/1
681904AQ1
4186
3697000
PRN
SOLE
3697000
0
0
OMNICOM GROUP INC
NOTE 7/3
681919AV8
318
241000
PRN
SOLE
241000
0
0
ON SEMICONDUCTOR CORP
NOTE 2.625%12/1
682189AH8
3525
3004000
PRN
SOLE
3004000
0
0
ORACLE CORP
COM
68389X105
667
16489
SH
SOLE
16489
0
0
PACIRA PHARMACEUTICALS INC
NOTE 3.250% 2/0
695127AB6
4044
1084000
PRN
SOLE
1084000
0
0
PACKAGING CORP AMER
COM
695156109
210
2950
SH
SOLE
2950
0
0
PARKER HANNIFIN CORP
COM
701094104
264
2101
SH
SOLE
2101
0
0
PEPSICO INC
COM
713448108
403
4520
SH
SOLE
4520
0
0
PERION NETWORK LTD
SHS
M78673106
374
37134
SH
SOLE
37134
0
0
PFIZER INC
COM
717081103
1084
36500
SH
SOLE
36500
0
0
PGT INC
COM
69336V101
208
24600
SH
SOLE
24600
0
0
PHH CORP
NOTE 4.000% 9/0
693320AN3
3608
3595000
PRN
SOLE
3595000
0
0
PHH CORP
NOTE 6.000% 6/1
693320AQ6
5857
3000000
PRN
SOLE
3000000
0
0
PHILIP MORRIS INTL INC
COM
718172109
330
3913
SH
SOLE
3913
0
0
PIONEER NAT RES CO
COM
723787107
732
3188
SH
SOLE
3188
0
0
PPG INDS INC
COM
693506107
321
1520
SH
SOLE
1520
0
0
PRICELINE GRP INC
COM NEW
741503403
373
314
SH
SOLE
314
0
0
PRICELINE GRP INC
NOTE 1.250% 3/1
741503AN6
386
98000
PRN
SOLE
98000
0
0
PRICELINE GRP INC
DEBT 1.000% 3/1
741503AQ9
18980
13393000
PRN
SOLE
13393000
0
0
PRICELINE GRP INC
NOTE 0.350% 6/1
741503AS5
8439
7118000
PRN
SOLE
7118000
0
0
PROCTER & GAMBLE CO
COM
742718109
586
7433
SH
SOLE
7433
0
0
PROLOGIS
NOTE 3.250% 3/1
74340XAT8
5916
5286000
PRN
SOLE
5286000
0
0
PROSPECT CAPITAL CORPORATION
COM
74348T102
412
38805
SH
SOLE
38805
0
0
PROSPECT CAPITAL CORPORATION
NOTE 6.250%12/1
74348TAC6
33
31000
PRN
SOLE
31000
0
0
PROSPECT CAPITAL CORPORATION
NOTE 5.375%10/1
74348TAK8
1911
1829000
PRN
SOLE
1829000
0
0
PROSPECT CAPITAL CORPORATION
NOTE 5.750% 3/1
74348TAL6
2161
2044000
PRN
SOLE
2044000
0
0
PRUDENTIAL FINL INC
COM
744320102
324
3640
SH
SOLE
3640
0
0
QUALCOMM INC
COM
747525103
397
5010
SH
SOLE
5010
0
0
RADIAN GROUP INC
NOTE 3.000%11/1
750236AK7
2221
1536000
PRN
SOLE
1536000
0
0
RADIAN GROUP INC
NOTE 2.250% 3/0
750236AN1
4496
3000000
PRN
SOLE
3000000
0
0
RAMCO-GERSHENSON PPTYS TR
PERP PFD-D CV
751452608
4300
70000
SH
SOLE
70000
0
0
RAYONIER TRS HLDGS INC
NOTE 4.500% 8/1
75508AAC0
840
558000
PRN
SOLE
558000
0
0
RAYTHEON CO
COM NEW
755111507
476
5176
SH
SOLE
5176
0
0
REACHLOCAL INC
COM
75525F104
308
43775
SH
SOLE
43775
0
0
REDWOOD TR INC
NOTE 4.625% 4/1
758075AB1
25
24000
PRN
SOLE
24000
0
0
REGENERON PHARMACEUTICALS
COM
75886F107
489
1732
SH
SOLE
1732
0
0
RENTECH INC
COM
760112102
206
79620
SH
SOLE
79620
0
0
REXFORD INDL RLTY INC
COM
76169C100
333
23400
SH
SOLE
23400
0
0
RPM INTL INC
NOTE 2.250%12/1
749685AT0
5635
4534000
PRN
SOLE
4534000
0
0
RPX CORP
COM
74972G103
319
17985
SH
SOLE
17985
0
0
RTI INTL METALS INC
NOTE 1.625%10/1
74973WAB3
2233
2229000
PRN
SOLE
2229000
0
0
RYLAND GROUP INC
NOTE 1.625% 5/1
783764AQ6
5560
4000000
PRN
SOLE
4000000
0
0
SALESFORCE COM INC
NOTE 0.250% 4/0
79466LAD6
8199
7143000
PRN
SOLE
7143000
0
0
SALIX PHARMACEUTICALS INC
NOTE 1.500% 3/1
795435AE6
5200
2649000
PRN
SOLE
2649000
0
0
SANCHEZ ENERGY CORP
COM
79970Y105
249
6628
SH
SOLE
6628
0
0
SANDISK CORP
NOTE 1.500% 8/1
80004CAD3
15823
7726000
PRN
SOLE
7726000
0
0
SBA COMMUNICATIONS CORP
NOTE 4.000%10/0
78388JAM8
2900
867000
PRN
SOLE
867000
0
0
SCHLUMBERGER LTD
COM
806857108
865
7332
SH
SOLE
7332
0
0
SEACOR HOLDINGS INC
NOTE 2.500%12/1
811904AM3
1975
1720000
PRN
SOLE
1720000
0
0
SEAGATE TECHNOLOGY PLC
SHS
G7945M107
353
6200
SH
SOLE
6200
0
0
SELECT SECTOR SPDR TR
SBI INT-UTILS
81369Y886
1251
28274
SH
SOLE
28274
0
0
SKY-MOBI LTD
SPONSORED ADS
83084G109
251
30360
SH
SOLE
30360
0
0
SOLARCITY CORP
NOTE 2.750%11/0
83416TAA8
12403
8922000
PRN
SOLE
8922000
0
0
SPDR S&P 500 ETF TR
TR UNIT
78462F103
64350
328787
SH
SOLE
328787
0
0
SPECTRANETICS CORP
MTNF 2.625% 6/0
84760CAA5
2607
2500000
PRN
SOLE
2500000
0
0
SPIRIT RLTY CAP INC NEW
NOTE 2.875% 5/1
84860WAA0
2690
2690000
PRN
SOLE
2690000
0
0
STANDARD PAC CORP NEW
NOTE 1.250% 8/0
85375CBC4
465
372000
PRN
SOLE
372000
0
0
STANLEY BLACK & DECKER INC
UNIT 99/99/9999
854502309
3355
25395
SH
SOLE
25395
0
0
STARBUCKS CORP
COM
855244109
407
5269
SH
SOLE
5269
0
0
STARWOOD PPTY TR INC
NOTE 4.550% 3/0
85571BAA3
4875
4329000
PRN
SOLE
4329000
0
0
STARWOOD PPTY TR INC
NOTE 4.000% 1/1
85571BAB1
2574
2250000
PRN
SOLE
2250000
0
0
STEEL DYNAMICS INC
COM
858119100
197
11001
SH
SOLE
11001
0
0
STERLITE INDS INDIA LTD
NOTE 4.000%10/3
859737AB4
6000
6000000
PRN
SOLE
6000000
0
0
STILLWATER MNG CO
NOTE 1.750%10/1
86074QAL6
16119
10979000
PRN
SOLE
10979000
0
0
STONE ENERGY CORP
NOTE 1.750% 3/0
861642AN6
4170
3256000
PRN
SOLE
3256000
0
0
SUNPOWER CORP
DBCV 4.500% 3/1
867652AE9
158
86000
PRN
SOLE
86000
0
0
SUNSHINE HEART INC
COM
86782U106
362
64445
SH
SOLE
64445
0
0
SUNTRUST BKS INC
COM
867914103
239
5974
SH
SOLE
5974
0
0
TAKE-TWO INTERACTIVE SOFTWAR
NOTE 1.750%12/0
874054AC3
11935
9119000
PRN
SOLE
9119000
0
0
TELEFLEX INC
NOTE 3.875% 8/0
879369AA4
2382
1358000
PRN
SOLE
1358000
0
0
TESLA MTRS INC
NOTE 1.500% 6/0
88160RAA9
2860
1414000
PRN
SOLE
1414000
0
0
TESLA MTRS INC
NOTE 0.250% 3/0
88160RAB7
7073
7259000
PRN
SOLE
7259000
0
0
TESLA MTRS INC
NOTE 1.250% 3/0
88160RAC5
11359
11750000
PRN
SOLE
11750000
0
0
TEVA PHARMACEUTICAL FIN LLC
DBCV 0.250% 2/0
88163VAE9
714
559000
PRN
SOLE
559000
0
0
TEXAS INSTRS INC
COM
882508104
521
10977
SH
SOLE
10977
0
0
THERAVANCE INC
NOTE 2.125% 1/1
88338TAB0
6849
4750000
PRN
SOLE
4750000
0
0
THRESHOLD PHARMACEUTICAL INC
COM NEW
885807206
466
117640
SH
SOLE
117640
0
0
TIME WARNER INC
COM NEW
887317303
364
5145
SH
SOLE
5145
0
0
TJX COS INC NEW
COM
872540109
485
9139
SH
SOLE
9139
0
0
TOLL BROS FIN CORP
NOTE 0.500% 9/1
88947EAM2
2741
2583000
PRN
SOLE
2583000
0
0
TRACTOR SUPPLY CO
COM
892356106
286
4750
SH
SOLE
4750
0
0
TTM TECHNOLOGIES INC
NOTE 1.750%12/1
87305RAD1
4195
3839000
PRN
SOLE
3839000
0
0
TWENTY FIRST CENTY FOX INC
CL A
90130A101
726
20612
SH
SOLE
20612
0
0
ULTRA CLEAN HLDGS INC
COM
90385V107
365
40405
SH
SOLE
40405
0
0
UNION PAC CORP
COM
907818108
261
2608
SH
SOLE
2608
0
0
UNITED PARCEL SERVICE INC
CL B
911312106
261
2550
SH
SOLE
2550
0
0
UNITED RENTALS INC
COM
911363109
263
2512
SH
SOLE
2512
0
0
UNITED RENTALS INC
NOTE 4.000%11/1
911363AL3
1789
191000
PRN
SOLE
191000
0
0
UNITED STATES STL CORP NEW
NOTE 2.750% 4/0
912909AH1
2020
1629000
PRN
SOLE
1629000
0
0
UNITED TECHNOLOGIES CORP
COM
913017109
262
2267
SH
SOLE
2267
0
0
UNITED TECHNOLOGIES CORP
UNIT 99/99/9999
913017117
3612
55314
SH
SOLE
55314
0
0
UNITED THERAPEUTICS CORP DEL
NOTE 1.000% 9/1
91307CAF9
1134
600000
PRN
SOLE
600000
0
0
UNITEDHEALTH GROUP INC
COM
91324P102
354
4336
SH
SOLE
4336
0
0
US BANCORP DEL
COM NEW
902973304
258
5929
SH
SOLE
5929
0
0
VALERO ENERGY CORP NEW
COM
91913Y100
201
4008
SH
SOLE
4008
0
0
VECTOR GROUP LTD
FRNT 1/1
92240MAY4
2680
2000000
PRN
SOLE
2000000
0
0
VERIZON COMMUNICATIONS INC
COM
92343V104
613
12544
SH
SOLE
12544
0
0
VIACOM INC NEW
CL B
92553P201
340
3913
SH
SOLE
3913
0
0
VIPSHOP HLDGS LTD
NOTE 1.500% 3/1
92763WAA1
8708
7399000
PRN
SOLE
7399000
0
0
VISA INC
COM CL A
92826C839
722
3428
SH
SOLE
3428
0
0
VITACOST COM INC
COM
92847A200
409
65340
SH
SOLE
65340
0
0
VITESSE SEMICONDUCTOR CORP
COM NEW
928497304
453
131260
SH
SOLE
131260
0
0
VONAGE HLDGS CORP
COM
92886T201
133
35230
SH
SOLE
35230
0
0
WABASH NATL CORP
NOTE 3.375% 5/0
929566AH0
141
100000
PRN
SOLE
100000
0
0
WAL-MART STORES INC
COM
931142103
322
4286
SH
SOLE
4286
0
0
WALTER INVT MGMT CORP
NOTE 4.500%11/0
93317WAA0
8385
9100000
PRN
SOLE
9100000
0
0
WEBMD HEALTH CORP
NOTE 2.500% 1/3
94770VAF9
3116
2966000
PRN
SOLE
2966000
0
0
WELLPOINT INC
NOTE 2.750%10/1
94973VBG1
18297
11942000
PRN
SOLE
11942000
0
0
WELLS FARGO & CO
MTNF 0.125% 3/0
94986RCZ2
14250
9911000
PRN
SOLE
9911000
0
0
WELLS FARGO & CO NEW
COM
949746101
605
11490
SH
SOLE
11490
0
0
WELLS FARGO & CO NEW
PERP PFD CNV A
949746804
10336
8516
SH
SOLE
8516
0
0
WESCO INTL INC
DBCV 6.000% 9/1
95082PAH8
11476
3744000
PRN
SOLE
3744000
0
0
WESTFIELD FINANCIAL INC NEW
COM
96008P104
311
41615
SH
SOLE
41615
0
0
WEYERHAEUSER CO
PREF CONV SER A
962166872
2080
36675
SH
SOLE
36675
0
0
WRIGHT MED GROUP INC
NOTE 2.000% 8/1
98235TAC1
8663
6316000
PRN
SOLE
6316000
0
0
XCERRA CORP
COM
98400J108
309
34000
SH
SOLE
34000
0
0
XILINX INC
NOTE 2.625% 6/1
983919AF8
8526
5146000
PRN
SOLE
5146000
0
0
XOMA CORP DEL
COM
98419J107
412
89760
SH
SOLE
89760
0
0
YAHOO INC
COM
984332106
336
9522
SH
SOLE
9522
0
0
YRC WORLDWIDE INC
COM PAR $.01
984249607
542
19290
SH
SOLE
19290
0
0
ZIONS BANCORPORATION
COM
989701107
286
9700
SH
SOLE
9700
0
0
ZYNGA INC
CL A
98986T108
265
82600
SH
SOLE
82600
0
0