Chief Operating Officer & Chief Compliance Officer

0001172661-17-001179.txt : 20170515 0001172661-17-001179.hdr.sgml : 20170515 20170515135051 ACCESSION NUMBER: 0001172661-17-001179 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170331 FILED AS OF DATE: 20170515 DATE AS OF CHANGE: 20170515 EFFECTIVENESS DATE: 20170515 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: 17843087 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 03-31-2017 03-31-2017 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 05-15-2017 0 306 1088701 INFORMATION TABLE 2 infotable.xml 3M CO COM 88579Y101 304 1583 SH SOLE 1583 0 0 51JOB INC NOTE 3.250% 4/1 316827AC8 6058 5671000 PRN SOLE 5671000 0 0 ABBOTT LABS COM 002824100 296 6668 SH SOLE 6668 0 0 ABBVIE INC COM 00287Y109 261 4014 SH SOLE 4014 0 0 ACETO CORP NOTE 2.000%11/0 004446AD2 2209 2418000 PRN SOLE 2418000 0 0 ACORDA THERAPEUTICS INC NOTE 1.750% 6/1 00484MAA4 3046 3583000 PRN SOLE 3583000 0 0 ADVANCED MICRO DEVICES INC NOTE 2.125% 9/0 007903BD8 5667 2868000 PRN SOLE 2868000 0 0 AEGEAN MARINE PETE NETWORK I NOTE 4.000%11/0 Y0020QAA9 3645 3300000 PRN SOLE 3300000 0 0 AETNA INC NEW COM 00817Y108 270 2125 SH SOLE 2125 0 0 AIR LEASE CORP NOTE 3.875%12/0 00912XAK0 139 98000 PRN SOLE 98000 0 0 AKAMAI TECHNOLOGIES INC DBCV 2/1 00971TAG6 3590 3624000 PRN SOLE 3624000 0 0 ALBANY MOLECULAR RESH INC NOTE 2.250%11/1 012423AB5 3972 3650000 PRN SOLE 3650000 0 0 ALLERGAN PLC SHS G0177J108 353 1476 SH SOLE 1476 0 0 ALLERGAN PLC PFD CONV SER A G0177J116 29224 34531 SH SOLE 34531 0 0 ALLSCRIPTS HEALTHCARE SOLUTN NOTE 1.250% 7/0 01988PAD0 2120 2117000 PRN SOLE 2117000 0 0 ALPHABET INC CAP STK CL A 02079K305 1846 2179 SH SOLE 2179 0 0 ALTRIA GROUP INC COM 02209S103 534 7476 SH SOLE 7476 0 0 ALZA CORP SDCV 7/2 02261WAB5 268 157000 PRN SOLE 157000 0 0 AMAG PHARMACEUTICALS INC NOTE 2.500% 2/1 00163UAA4 3084 2830000 PRN SOLE 2830000 0 0 AMAZON COM INC COM 023135106 823 929 SH SOLE 929 0 0 AMERICAN INTL GROUP INC COM NEW 026874784 210 3385 SH SOLE 3385 0 0 AMERICAN RLTY CAP PPTYS INC NOTE 3.750%12/1 02917TAB0 70 70000 PRN SOLE 70000 0 0 AMERICAN TOWER CORP NEW PFD CONV SER A 03027X308 6043 52989 SH SOLE 52989 0 0 AMGEN INC COM 031162100 427 2602 SH SOLE 2602 0 0 ANADARKO PETE CORP UNIT 99/99/9999 032511404 2553 59210 SH SOLE 59210 0 0 ANTHEM INC UNIT 05/01/20188 036752202 14563 291107 SH SOLE 291107 0 0 ANTHEM INC NOTE 2.750%10/1 94973VBG1 10800 4731000 PRN SOLE 4731000 0 0 APOLLO COML REAL EST FIN INC NOTE 5.500% 3/1 03762UAA3 2672 2431000 PRN SOLE 2431000 0 0 APPLE INC COM 037833100 1777 12368 SH SOLE 12368 0 0 ARCONIC INC PFD CONV B SER 1 03965L308 3642 89775 SH SOLE 89775 0 0 ARES CAP CORP COM 04010L103 319 18333 SH SOLE 18333 0 0 ARES CAP CORP NOTE 4.750% 1/1 04010LAJ2 102 100000 PRN SOLE 100000 0 0 ARES CAP CORP NOTE 4.375% 1/1 04010LAM5 2723 2651000 PRN SOLE 2651000 0 0 AT&T INC COM 00206R102 676 16292 SH SOLE 16292 0 0 ATLAS AIR WORLDWIDE HLDGS IN NOTE 2.250% 6/0 049164BH8 2832 2675000 PRN SOLE 2675000 0 0 B2GOLD CORP NOTE 3.250%10/0 11777QAB6 4815 4531000 PRN SOLE 4531000 0 0 BANK AMER CORP COM 060505104 753 31916 SH SOLE 31916 0 0 BANK AMER CORP 7.25%CNV PFD L 060505682 18114 15157 SH SOLE 15157 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 758 4541 SH SOLE 4541 0 0 BIOGEN INC COM 09062X103 212 781 SH SOLE 781 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 0.750%10/1 09061GAE1 87 77000 PRN SOLE 77000 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.500%10/1 09061GAF8 3511 2974000 PRN SOLE 2974000 0 0 BLACK HILLS CORP UNIT 99/99/9999 092113125 3294 44987 SH SOLE 44987 0 0 BLACKSTONE MTG TR INC NOTE 5.250%12/0 09257WAA8 4668 4077000 PRN SOLE 4077000 0 0 BLUCORA INC NOTE 4.250% 4/0 095229AB6 5162 5150000 PRN SOLE 5150000 0 0 BOEING CO COM 097023105 275 1554 SH SOLE 1554 0 0 BOTTOMLINE TECH DEL INC NOTE 1.500%12/0 101388AA4 3920 3900000 PRN SOLE 3900000 0 0 CARDTRONICS INC NOTE 1.000%12/0 14161HAG3 2172 2008000 PRN SOLE 2008000 0 0 CBS CORP NEW CL B 124857202 275 3935 SH SOLE 3935 0 0 CELGENE CORP COM 151020104 572 4598 SH SOLE 4598 0 0 CEMEX SAB DE CV NOTE 3.750% 3/1 151290BC6 4457 3817000 PRN SOLE 3817000 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 4197 4250000 PRN SOLE 4250000 0 0 CHENIERE ENERGY INC NOTE 4.250% 3/1 16411RAG4 9072 13342000 PRN SOLE 13342000 0 0 CHEVRON CORP NEW COM 166764100 449 4176 SH SOLE 4176 0 0 CIENA CORP DEBT 4.000%12/1 171779AK7 443 325000 PRN SOLE 325000 0 0 CISCO SYS INC COM 17275R102 495 14625 SH SOLE 14625 0 0 CITIGROUP INC COM NEW 172967424 1182 19782 SH SOLE 19782 0 0 CITRIX SYS INC NOTE 0.500% 4/1 177376AD2 16383 13082000 PRN SOLE 13082000 0 0 CLOVIS ONCOLOGY INC NOTE 2.500% 9/1 189464AB6 4190 3254000 PRN SOLE 3254000 0 0 COCA COLA CO COM 191216100 559 13204 SH SOLE 13204 0 0 COLONY CAP INC NOTE 3.875% 1/1 19624RAB2 4668 4735000 PRN SOLE 4735000 0 0 COMCAST CORP NEW CL A 20030N101 357 9433 SH SOLE 9433 0 0 CONOCOPHILLIPS COM 20825C104 287 5754 SH SOLE 5754 0 0 CONSOLIDATED TOMOKA LD CO NOTE 4.500% 3/1 210226AB2 522 517000 PRN SOLE 517000 0 0 CORNERSTONE ONDEMAND INC NOTE 1.500% 7/0 21925YAB9 3436 3369000 PRN SOLE 3369000 0 0 COSTCO WHSL CORP NEW COM 22160K105 276 1651 SH SOLE 1651 0 0 CTRIP COM INTL LTD NOTE 1.000% 7/0 22943FAF7 4336 3915000 PRN SOLE 3915000 0 0 CVS HEALTH CORP COM 126650100 229 2922 SH SOLE 2922 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 1661 508000 PRN SOLE 508000 0 0 DBX ETF TR XTRAK MSCI JAPN 233051507 556 14830 SH SOLE 14830 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 311 6728 SH SOLE 6728 0 0 DEPOMED INC NOTE 2.500% 9/0 249908AA2 1868 2000000 PRN SOLE 2000000 0 0 DISCOVER FINL SVCS COM 254709108 223 3259 SH SOLE 3259 0 0 DISNEY WALT CO COM DISNEY 254687106 350 3099 SH SOLE 3099 0 0 DOMINION RES INC VA NEW UNIT 99/99/9999 25746U869 8643 172125 SH SOLE 172125 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 244 3060 SH SOLE 3060 0 0 DYCOM INDS INC NOTE 0.750% 9/1 267475AB7 4752 4067000 PRN SOLE 4067000 0 0 EATON CORP PLC SHS G29183103 206 2805 SH SOLE 2805 0 0 ECHO GLOBAL LOGISTICS INC NOTE 2.500% 5/0 27875TAA9 3352 3559000 PRN SOLE 3559000 0 0 ELECTRONICS FOR IMAGING INC NOTE 0.750% 9/0 286082AC6 4439 4085000 PRN SOLE 4085000 0 0 EMERGENT BIOSOLUTIONS INC NOTE 2.875% 1/1 29089QAB1 3927 3300000 PRN SOLE 3300000 0 0 ENCORE CAP GROUP INC NOTE 3.000% 7/0 292554AF9 4186 4439000 PRN SOLE 4439000 0 0 ENCORE CAP GROUP INC NOTE 2.875% 3/1 292554AH5 1596 1829000 PRN SOLE 1829000 0 0 ENDOLOGIX INC NOTE 3.250%11/0 29266SAB2 3217 3256000 PRN SOLE 3256000 0 0 ENERNOC INC DBCV 2.250% 8/1 292764AB3 3433 4050000 PRN SOLE 4050000 0 0 ENVESTNET INC NOTE 1.750%12/1 29404KAA4 6165 6634000 PRN SOLE 6634000 0 0 EOG RES INC COM 26875P101 200 2073 SH SOLE 2073 0 0 EPR PPTYS PFD C CNV 5.75% 26884U208 636 21992 SH SOLE 21992 0 0 EQT CORP COM 26884L109 232 3770 SH SOLE 3770 0 0 EURONET WORLDWIDE INC NOTE 1.500%10/0 298736AH2 4055 3205000 PRN SOLE 3205000 0 0 EVEREST RE GROUP LTD COM G3223R108 222 945 SH SOLE 945 0 0 EXELON CORP UNIT 99/99/9999 30161N127 3796 77020 SH SOLE 77020 0 0 EXXON MOBIL CORP COM 30231G102 682 8298 SH SOLE 8298 0 0 FACEBOOK INC CL A 30303M102 993 6980 SH SOLE 6980 0 0 FEDEX CORP COM 31428X106 442 2262 SH SOLE 2262 0 0 FIDELITY NATIONAL FINANCIAL NOTE 4.250% 8/1 31620RAE5 1821 827000 PRN SOLE 827000 0 0 FINISAR CORP NOTE 0.500%12/1 31787AAM3 3813 3396000 PRN SOLE 3396000 0 0 FIREEYE INC NOTE 1.625% 6/0 31816QAD3 1345 1500000 PRN SOLE 1500000 0 0 FIRST TR EXCHANGE TRADED FD FST LOW OPPT EFT 33739Q200 2167 41666 SH SOLE 41666 0 0 FIRST TR EXCHANGE TRADED FD FIRST TR ENH NEW 33739Q408 484 8052 SH SOLE 8052 0 0 FIRST TR LRGE CP CORE ALPHA COM SHS 33734K109 4285 83048 SH SOLE 83048 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 149 12777 SH SOLE 12777 0 0 FORESTAR GROUP INC NOTE 3.750% 3/0 346232AB7 4467 4500000 PRN SOLE 4500000 0 0 FRONTIER COMMUNICATIONS CORP PFD CONV SER-A 35906A207 3486 70837 SH SOLE 70837 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 4106 5294000 PRN SOLE 5294000 0 0 GENERAL DYNAMICS CORP COM 369550108 391 2100 SH SOLE 2100 0 0 GENERAL ELECTRIC CO COM 369604103 842 28249 SH SOLE 28249 0 0 GENERAL MLS INC COM 370334104 211 3581 SH SOLE 3581 0 0 GILEAD SCIENCES INC COM 375558103 263 3898 SH SOLE 3898 0 0 GLOBAL EAGLE ENTMT INC NOTE 2.750% 2/1 37951DAB8 1061 2000000 PRN SOLE 2000000 0 0 GREENBRIER COS INC NOTE 3.500% 4/0 393657AH4 42 32000 PRN SOLE 32000 0 0 HARMONIC INC NOTE 4.000%12/0 413160AB8 3112 2500000 PRN SOLE 2500000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 2631 2650000 PRN SOLE 2650000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.250% 5/0 42330PAH0 449 452000 PRN SOLE 452000 0 0 HERBALIFE LTD NOTE 2.000% 8/1 42703MAB9 8128 8493000 PRN SOLE 8493000 0 0 HOLOGIC INC FRNT 12/1 436440AG6 14362 11607000 PRN SOLE 11607000 0 0 HOME DEPOT INC COM 437076102 663 4522 SH SOLE 4522 0 0 HONEYWELL INTL INC COM 438516106 283 2273 SH SOLE 2273 0 0 HORIZON GLOBAL CORP NOTE 2.750% 7/0 44052WAA2 384 424000 PRN SOLE 424000 0 0 HORIZON PHARMA INVT LTD NOTE 2.500% 3/1 44052TAB7 3025 3325000 PRN SOLE 3325000 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 2632 1928 SH SOLE 1928 0 0 HURON CONSULTING GROUP INC NOTE 1.250%10/0 447462AB8 1844 2000000 PRN SOLE 2000000 0 0 IGI LABORATORIES INC NOTE 3.750%12/1 449575AB5 3012 3000000 PRN SOLE 3000000 0 0 ILLUMINA INC NOTE 6/1 452327AF6 10367 10305000 PRN SOLE 10305000 0 0 ILLUMINA INC NOTE 0.500% 6/1 452327AH2 3834 3703000 PRN SOLE 3703000 0 0 IMPAX LABORATORIES INC NOTE 2.000% 6/1 45256BAE1 2460 3000000 PRN SOLE 3000000 0 0 INCYTE CORP NOTE 0.375%11/1 45337CAM4 2286 880000 PRN SOLE 880000 0 0 INPHI CORP NOTE 1.125%12/0 45772FAB3 4538 3291000 PRN SOLE 3291000 0 0 INSULET CORP NOTE 2.000% 6/1 45784PAD3 3746 3321000 PRN SOLE 3321000 0 0 INTEGRATED DEVICE TECHNOLOGY NOTE 0.875%11/1 458118AC0 2700 2697000 PRN SOLE 2697000 0 0 INTEL CORP COM 458140100 575 15961 SH SOLE 15961 0 0 INTEL CORP SDCV 12/1 458140AD2 12612 9264000 PRN SOLE 9264000 0 0 INTEL CORP SDCV 3.250% 8/0 458140AF7 32018 18329000 PRN SOLE 18329000 0 0 INTERCONTINENTAL EXCHANGE IN COM 45866F104 329 5544 SH SOLE 5544 0 0 INTERDIGITAL INC NOTE 1.500% 3/0 458660AD9 6275 4810000 PRN SOLE 4810000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 220 1255 SH SOLE 1255 0 0 INTL PAPER CO COM 460146103 200 3900 SH SOLE 3900 0 0 INVESCO LTD SHS G491BT108 247 8105 SH SOLE 8105 0 0 IRIDIUM COMMUNICATIONS INC PERP PFD CNV B 46269C409 4572 13507 SH SOLE 13507 0 0 IRONWOOD PHARMACEUTICALS INC DBCV 2.250% 6/1 46333XAD0 12071 9712000 PRN SOLE 9712000 0 0 ISHARES MIN VOL EMRG MKT 464286533 663 12408 SH SOLE 12408 0 0 ISHARES INC CORE MSCI EMKT 46434G103 1561 32633 SH SOLE 32633 0 0 ISHARES TR CORE S&P500 ETF 464287200 29692 125152 SH SOLE 125152 0 0 ISHARES TR CORE US AGGBD ET 464287226 9331 86001 SH SOLE 86001 0 0 ISHARES TR RUS MDCP VAL ETF 464287473 1351 16279 SH SOLE 16279 0 0 ISHARES TR RUS 1000 VAL ETF 464287598 5328 46362 SH SOLE 46362 0 0 ISHARES TR U.S. TECH ETF 464287721 2813 20810 SH SOLE 20810 0 0 ISHARES TR U.S. REAL ES ETF 464287739 1362 17361 SH SOLE 17361 0 0 ISHARES TR U.S. ENERGY ETF 464287796 252 6550 SH SOLE 6550 0 0 ISHARES TR U.S. BAS MTL ETF 464287838 671 7537 SH SOLE 7537 0 0 ISHARES TR FLTG RATE BD ETF 46429B655 5196 102104 SH SOLE 102104 0 0 ISHARES TR USA QUALITY FCTR 46432F339 2272 31192 SH SOLE 31192 0 0 ISHARES TR CUR HD EURZN ETF 46434V639 2352 81963 SH SOLE 81963 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 2755 2859000 PRN SOLE 2859000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 6113 4526000 PRN SOLE 4526000 0 0 JANUS CAP GROUP INC NOTE 0.750% 7/1 47102XAH8 44 33000 PRN SOLE 33000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 4447 4173000 PRN SOLE 4173000 0 0 JDS UNIPHASE CORP DBCV 0.625% 8/1 46612JAF8 5064 4553000 PRN SOLE 4553000 0 0 JOHNSON & JOHNSON COM 478160104 980 7876 SH SOLE 7876 0 0 JPMORGAN CHASE & CO COM 46625H100 1218 13845 SH SOLE 13845 0 0 KEYCORP NEW COM 493267108 407 22954 SH SOLE 22954 0 0 KIMBERLY CLARK CORP COM 494368103 1143 8685 SH SOLE 8685 0 0 KINDER MORGAN INC DEL PFD SER A 49456B200 4505 91990 SH SOLE 91990 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1010 528000 PRN SOLE 528000 0 0 LAM RESEARCH CORP COM 512807108 304 2365 SH SOLE 2365 0 0 LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 17116 8082000 PRN SOLE 8082000 0 0 LIBERTY INTERACTIVE LLC DEB 1.750% 9/3 530610AD6 2694 2397000 PRN SOLE 2397000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 5092 9418000 PRN SOLE 9418000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.375%10/1 531229AB8 5278 4669000 PRN SOLE 4669000 0 0 LIVE NATION ENTERTAINMENT IN DBCV 2.500% 5/1 538034AJ8 4573 4215000 PRN SOLE 4215000 0 0 LOCKHEED MARTIN CORP COM 539830109 219 818 SH SOLE 818 0 0 LOEWS CORP COM 540424108 774 16540 SH SOLE 16540 0 0 LOWES COS INC COM 548661107 234 2855 SH SOLE 2855 0 0 MACQUARIE INFRASTRUCTURE COR NOTE 2.875% 7/1 55608BAA3 8134 7276000 PRN SOLE 7276000 0 0 MACQUARIE INFRASTRUCTURE COR NOTE 2.000%10/0 55608BAB1 1295 1321000 PRN SOLE 1321000 0 0 MASTERCARD INCORPORATED CL A 57636Q104 378 3374 SH SOLE 3374 0 0 MCDONALDS CORP COM 580135101 293 2260 SH SOLE 2260 0 0 MEDICINES CO NOTE 2.500% 1/1 584688AE5 1476 934000 PRN SOLE 934000 0 0 MEDIDATA SOLUTIONS INC NOTE 1.000% 8/0 58471AAB1 3405 2983000 PRN SOLE 2983000 0 0 MEDTRONIC PLC SHS G5960L103 330 4084 SH SOLE 4084 0 0 MERCADOLIBRE INC NOTE 2.250% 7/0 58733RAB8 2356 1355000 PRN SOLE 1355000 0 0 MERCK & CO INC COM 58933Y105 443 6982 SH SOLE 6982 0 0 MERITAGE HOMES CORP NOTE 1.875% 9/1 59001AAR3 4309 4324000 PRN SOLE 4324000 0 0 MERITOR INC NOTE 7.875% 3/0 59001KAC4 5780 3308000 PRN SOLE 3308000 0 0 METLIFE INC COM 59156R108 378 7140 SH SOLE 7140 0 0 MGIC INVT CORP WIS NOTE 2.000% 4/0 552848AE3 33 23000 PRN SOLE 23000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 3392 1092000 PRN SOLE 1092000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AD6 12081 8426000 PRN SOLE 8426000 0 0 MICRON TECHNOLOGY INC NOTE 1.625% 2/1 595112AU7 587 222000 PRN SOLE 222000 0 0 MICRON TECHNOLOGY INC NOTE 2.125% 2/1 595112AV5 8491 3184000 PRN SOLE 3184000 0 0 MICRON TECHNOLOGY INC NOTE 3.000%11/1 595112AY9 595 532000 PRN SOLE 532000 0 0 MICROSOFT CORP COM 594918104 1289 19564 SH SOLE 19564 0 0 MOLINA HEALTHCARE INC DBCV 1.625% 8/1 60855RAD2 6413 6078000 PRN SOLE 6078000 0 0 NATIONAL HEALTH INVS INC NOTE 3.250% 4/0 63633DAE4 1610 1444000 PRN SOLE 1444000 0 0 NAVISTAR INTL CORP NEW NOTE 4.750% 4/1 63934EAS7 3052 3179000 PRN SOLE 3179000 0 0 NCR CORP NEW COM 62886E108 3392 2000 PRN SOLE 2000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 2191 2187000 PRN SOLE 2187000 0 0 NEXTERA ENERGY INC UNIT 08/31/2018 65339F846 6754 113430 SH SOLE 113430 0 0 NIKE INC CL B 654106103 221 3933 SH SOLE 3933 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 850 1882000 PRN SOLE 1882000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 21304 5617000 PRN SOLE 5617000 0 0 NUANCE COMMUNICATIONS INC DEBT 1.500%11/0 67020YAG5 463 454000 PRN SOLE 454000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 3006 3157000 PRN SOLE 3157000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 7787 5708000 PRN SOLE 5708000 0 0 NVIDIA CORP NOTE 1.000%12/0 67066GAC8 8770 1622000 PRN SOLE 1622000 0 0 NXP SEMICONDUCTORS N V COM N6596X109 227 2191 SH SOLE 2191 0 0 OASIS PETE INC NEW NOTE 2.625% 9/1 674215AJ7 2623 1947000 PRN SOLE 1947000 0 0 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 8948 6722000 PRN SOLE 6722000 0 0 ON SEMICONDUCTOR CORP COM 682189105 245 15812 SH SOLE 15812 0 0 ON SEMICONDUCTOR CORP NOTE 1.000%12/0 682189AK1 5440 4986000 PRN SOLE 4986000 0 0 ORACLE CORP COM 68389X105 490 11004 SH SOLE 11004 0 0 PALO ALTO NETWORKS INC NOTE 7/0 697435AB1 1908 1604000 PRN SOLE 1604000 0 0 PANDORA MEDIA INC NOTE 1.750%12/0 698354AB3 5487 5473000 PRN SOLE 5473000 0 0 PDC ENERGY INC NOTE 1.125% 9/1 69327RAD3 7139 6972000 PRN SOLE 6972000 0 0 PDL BIOPHARMA INC NOTE 2.750%12/0 69329YAG9 825 950000 PRN SOLE 950000 0 0 PENNYMAC CORP NOTE 5.375% 5/0 70932AAB9 7193 7396000 PRN SOLE 7396000 0 0 PEPSICO INC COM 713448108 490 4375 SH SOLE 4375 0 0 PFIZER INC COM 717081103 828 24207 SH SOLE 24207 0 0 PHILIP MORRIS INTL INC COM 718172109 313 2772 SH SOLE 2772 0 0 PIONEER NAT RES CO COM 723787107 257 1370 SH SOLE 1370 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 4804 5364000 PRN SOLE 5364000 0 0 POWERSHARES ETF TRUST II SENIOR LN PORT 73936Q769 1884 80985 SH SOLE 80985 0 0 PRICELINE GRP INC COM NEW 741503403 258 144 SH SOLE 144 0 0 PRICELINE GRP INC NOTE 1.000% 3/1 741503AQ9 17520 9306000 PRN SOLE 9306000 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 29604 20794000 PRN SOLE 20794000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 901 801000 PRN SOLE 801000 0 0 PROCTER AND GAMBLE CO COM 742718109 769 8566 SH SOLE 8566 0 0 PROOFPOINT INC NOTE 1.250%12/1 743424AB9 3347 1750000 PRN SOLE 1750000 0 0 PROOFPOINT INC DBCV 0.750% 6/1 743424AD5 2788 2448000 PRN SOLE 2448000 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347B201 964 24635 SH SOLE 24635 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 2581 110000 SH SOLE 110000 0 0 PROSPECT CAPITAL CORPORATION NOTE 5.375%10/1 74348TAK8 119 118000 PRN SOLE 118000 0 0 QUALCOMM INC COM 747525103 223 3902 SH SOLE 3902 0 0 QUIDEL CORP NOTE 3.250%12/1 74838JAA9 6386 6234000 PRN SOLE 6234000 0 0 RAIT FINANCIAL TRUST NOTE 4.000%10/0 749227AB0 5428 5900000 PRN SOLE 5900000 0 0 RAMCO-GERSHENSON PPTYS TR PERP PFD-D CV 751452608 1022 18912 SH SOLE 18912 0 0 RAYONIER ADVANCED MATLS INC PFD CV SER A 75508B203 4409 42654 SH SOLE 42654 0 0 RAYTHEON CO COM NEW 755111507 392 2556 SH SOLE 2556 0 0 RED HAT INC NOTE 0.250%10/0 756577AD4 11456 8832000 PRN SOLE 8832000 0 0 REDWOOD TR INC NOTE 4.625% 4/1 758075AB1 5360 5353000 PRN SOLE 5353000 0 0 RESOURCE CAP CORP NOTE 8.000% 1/1 76120WAB0 2418 2410000 PRN SOLE 2410000 0 0 ROYAL GOLD INC NOTE 2.875% 6/1 780287AA6 802 759000 PRN SOLE 759000 0 0 RPM INTL INC NOTE 2.250%12/1 749685AT0 6499 5448000 PRN SOLE 5448000 0 0 RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 5024 4325000 PRN SOLE 4325000 0 0 SALESFORCE COM INC NOTE 0.250% 4/0 79466LAD6 5261 4082000 PRN SOLE 4082000 0 0 SCHLUMBERGER LTD COM 806857108 309 3943 SH SOLE 3943 0 0 SEACOR HOLDINGS INC NOTE 3.000%11/1 81170YAB5 6582 7416000 PRN SOLE 7416000 0 0 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 1340 19152 SH SOLE 19152 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1668 32506 SH SOLE 32506 0 0 SERVICENOW INC NOTE 11/0 81762PAB8 4593 3571000 PRN SOLE 3571000 0 0 SILVER STD RES INC NOTE 2.875% 2/0 82823LAC0 3316 3392000 PRN SOLE 3392000 0 0 SM ENERGY CO NOTE 1.500% 7/0 78454LAM2 507 509000 PRN SOLE 509000 0 0 SOUTHWESTERN ENERGY CO DEP SHS 1/20 B 845467208 3733 188960 SH SOLE 188960 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 6213 26349 SH SOLE 26349 0 0 SPDR SERIES TRUST S&P RETAIL ETF 78464A714 444 10533 SH SOLE 10533 0 0 SPECTRANETICS CORP MTNF 2.625% 6/0 84760CAA5 6666 5845000 PRN SOLE 5845000 0 0 SPIRIT RLTY CAP INC NEW NOTE 2.875% 5/1 84860WAA0 8065 7962000 PRN SOLE 7962000 0 0 SPIRIT RLTY CAP INC NEW NOTE 3.750% 5/1 84860WAB8 751 733000 PRN SOLE 733000 0 0 STARWOOD PPTY TR INC NOTE 4.550% 3/0 85571BAA3 6998 6409000 PRN SOLE 6409000 0 0 STARWOOD PPTY TR INC NOTE 4.000% 1/1 85571BAB1 82 72000 PRN SOLE 72000 0 0 STARWOOD PPTY TR INC NOTE 3.750%10/1 85571BAC9 666 656000 PRN SOLE 656000 0 0 STARWOOD WAYPOINT RESIDENTL NOTE 3.000% 7/0 85571WAB5 11210 9477000 PRN SOLE 9477000 0 0 SUCAMPO PHARMACEUTICALS INC DBCV 3.250%12/1 864909AA4 1544 1560000 PRN SOLE 1560000 0 0 SUNPOWER CORP DBCV 4.000% 1/1 867652AL3 2500 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0 0 TTM TECHNOLOGIES INC NOTE 1.750%12/1 87305RAD1 9199 5228000 PRN SOLE 5228000 0 0 TWITTER INC NOTE 1.000% 9/1 90184LAD4 912 1000000 PRN SOLE 1000000 0 0 TYSON FOODS INC UNIT 99/99/9999 902494301 1524 22690 SH SOLE 22690 0 0 UNION PAC CORP COM 907818108 372 3526 SH SOLE 3526 0 0 UNITED TECHNOLOGIES CORP COM 913017109 254 2277 SH SOLE 2277 0 0 UNITEDHEALTH GROUP INC COM 91324P102 695 4222 SH SOLE 4222 0 0 VEECO INSTRS INC DEL NOTE 2.700% 1/1 922417AD2 2760 2652000 PRN SOLE 2652000 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 8281 3243000 PRN SOLE 3243000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 683 14051 SH SOLE 14051 0 0 VIPSHOP HLDGS LTD NOTE 1.500% 3/1 92763WAA1 672 668000 PRN SOLE 668000 0 0 VIRTUS INVT PARTNERS INC PFD CV SER D 92828Q208 3272 33501 SH SOLE 33501 0 0 VISA INC COM CL A 92826C839 342 3862 SH SOLE 3862 0 0 WABASH NATL CORP NOTE 3.375% 5/0 929566AH0 2716 1500000 PRN SOLE 1500000 0 0 WAL-MART STORES INC COM 931142103 238 3310 SH SOLE 3310 0 0 WEATHERFORD INTL LTD NOTE 5.875% 7/0 947075AH0 15184 11821000 PRN SOLE 11821000 0 0 WEBMD HEALTH CORP NOTE 2.500% 1/3 94770VAF9 6003 5917000 PRN SOLE 5917000 0 0 WEBMD HEALTH CORP NOTE 1.500%12/0 94770VAK8 3069 2589000 PRN SOLE 2589000 0 0 WELLS FARGO & CO MTNF 0.125% 3/1 94986RTK7 175 182000 PRN SOLE 182000 0 0 WELLS FARGO & CO MTNF 0.125% 2/2 94986RVY4 4808 4788000 PRN SOLE 4788000 0 0 WELLS FARGO & CO NEW COM 949746101 544 9780 SH SOLE 9780 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 19426 15670 SH SOLE 15670 0 0 WELLTOWER INC 6.50% PFD PREPET 95040Q203 7333 116205 SH SOLE 116205 0 0 WPX ENERGY INC PFD SER A CV 98212B202 7195 118810 SH SOLE 118810 0 0 WRIGHT MED GROUP INC NOTE 2.000% 2/1 98235TAE7 6104 5118000 PRN SOLE 5118000 0 0 XEROX CORP COM 984121103 106 14488 SH SOLE 14488 0 0 XILINX INC NOTE 2.625% 6/1 983919AF8 9379 4665000 PRN SOLE 4665000 0 0 YAHOO INC NOTE 12/0 984332AF3 2688 2594000 PRN SOLE 2594000 0 0 YANDEX NV NOTE 1.125%12/1 98474TAB3 3790 3973000 PRN SOLE 3973000 0 0