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
3198000
PRN
SOLE
3198000
0
0
SUNTRUST BKS INC
COM
867914103
454
8229
SH
SOLE
8229
0
0
T MOBILE US INC
CONV PFD SER A
872590203
7055
67095
SH
SOLE
67095
0
0
TAKE-TWO INTERACTIVE SOFTWAR
NOTE 1.000% 7/0
874054AD1
2352
853000
PRN
SOLE
853000
0
0
TCP CAP CORP
NOTE 5.250%12/1
87238QAB9
2883
2750000
PRN
SOLE
2750000
0
0
TESLA INC
NOTE 0.250% 3/0
88160RAB7
7703
7703000
PRN
SOLE
7703000
0
0
TESLA INC
NOTE 1.250% 3/0
88160RAC5
6117
6234000
PRN
SOLE
6234000
0
0
TESLA INC
NOTE 2.375% 3/1
88160RAD3
3118
3000000
PRN
SOLE
3000000
0
0
TEXAS INSTRS INC
COM
882508104
310
3822
SH
SOLE
3822
0
0
THERAVANCE BIOPHARMA INC
NOTE 3.250%11/0
88339KAA0
3802
3007000
PRN
SOLE
3007000
0
0
THERAVANCE INC
NOTE 2.125% 1/1
88338TAB0
2832
3000000
PRN
SOLE
3000000
0
0
THERMO FISHER SCIENTIFIC INC
COM
883556102
282
1850
SH
SOLE
1850
0
0
TIME WARNER INC
COM NEW
887317303
272
2776
SH
SOLE
2776
0
0
TJX COS INC NEW
COM
872540109
289
3641
SH
SOLE
3641
0
0
TRINITY INDS INC
NOTE 3.875% 6/0
896522AF6
5878
4839000
PRN
SOLE
4839000
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