0001172661-17-001532.txt : 20170811
0001172661-17-001532.hdr.sgml : 20170811
20170810200845
ACCESSION NUMBER: 0001172661-17-001532
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20170630
FILED AS OF DATE: 20170811
DATE AS OF CHANGE: 20170810
EFFECTIVENESS DATE: 20170811
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: 171022733
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
06-30-2017
06-30-2017
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
08-10-2017
0
311
1132982
INFORMATION TABLE
2
infotable.xml
3M CO
COM
88579Y101
325
1566
SH
SOLE
1566
0
0
51JOB INC
NOTE 3.250% 4/1
316827AC8
6614
5671000
PRN
SOLE
5671000
0
0
ABBOTT LABS
COM
002824100
322
6602
SH
SOLE
6602
0
0
ABBVIE INC
COM
00287Y109
286
3968
SH
SOLE
3968
0
0
ACETO CORP
NOTE 2.000%11/0
004446AD2
2222
2418000
PRN
SOLE
2418000
0
0
ACORDA THERAPEUTICS INC
NOTE 1.750% 6/1
00484MAA4
4876
5683000
PRN
SOLE
5683000
0
0
ADVANCED MICRO DEVICES INC
NOTE 2.125% 9/0
007903BD8
5131
2929000
PRN
SOLE
2929000
0
0
AEGEAN MARINE PETE NETWORK I
NOTE 4.000%11/0
Y0020QAA9
3197
3300000
PRN
SOLE
3300000
0
0
AETNA INC NEW
COM
00817Y108
320
2097
SH
SOLE
2097
0
0
AIR LEASE CORP
NOTE 3.875%12/0
00912XAK0
118
85000
PRN
SOLE
85000
0
0
AKAMAI TECHNOLOGIES INC
DBCV 2/1
00971TAG6
716
728000
PRN
SOLE
728000
0
0
ALLERGAN PLC
SHS
G0177J108
356
1459
SH
SOLE
1459
0
0
ALLERGAN PLC
PFD CONV SER A
G0177J116
30691
35399
SH
SOLE
35399
0
0
ALLSCRIPTS HEALTHCARE SOLUTN
NOTE 1.250% 7/0
01988PAD0
4654
4594000
PRN
SOLE
4594000
0
0
ALPHABET INC
CAP STK CL A
02079K305
2003
2153
SH
SOLE
2153
0
0
ALTRIA GROUP INC
COM
02209S103
552
7387
SH
SOLE
7387
0
0
ALZA CORP
SDCV 7/2
02261WAB5
285
157000
PRN
SOLE
157000
0
0
AMAG PHARMACEUTICALS INC
NOTE 3.250% 6/0
00163UAD8
4325
4500000
PRN
SOLE
4500000
0
0
AMAZON COM INC
COM
023135106
965
994
SH
SOLE
994
0
0
AMERICAN INTL GROUP INC
COM NEW
026874784
210
3337
SH
SOLE
3337
0
0
AMERICAN RLTY CAP PPTYS INC
NOTE 3.000% 8/0
02917TAA2
2199
2190000
PRN
SOLE
2190000
0
0
AMERICAN RLTY CAP PPTYS INC
NOTE 3.750%12/1
02917TAB0
72
70000
PRN
SOLE
70000
0
0
AMERICAN TOWER CORP NEW
DEP PFD CONV SE
03027X407
5496
45600
SH
SOLE
45600
0
0
AMGEN INC
COM
031162100
442
2568
SH
SOLE
2568
0
0
ANADARKO PETE CORP
UNIT 99/99/9999
032511404
2506
61365
SH
SOLE
61365
0
0
ANTHEM INC
UNIT 05/01/20188
036752202
15624
298022
SH
SOLE
298022
0
0
ANTHEM INC
NOTE 2.750%10/1
94973VBG1
12912
5013000
PRN
SOLE
5013000
0
0
APOLLO COML REAL EST FIN INC
NOTE 5.500% 3/1
03762UAA3
2663
2431000
PRN
SOLE
2431000
0
0
APPLE INC
COM
037833100
1763
12236
SH
SOLE
12236
0
0
ARCONIC INC
PFD CONV B SER 1
03965L308
1924
53853
SH
SOLE
53853
0
0
ARES CAP CORP
COM
04010L103
302
18331
SH
SOLE
18331
0
0
ARES CAP CORP
NOTE 4.750% 1/1
04010LAJ2
101
100000
PRN
SOLE
100000
0
0
ARES CAP CORP
NOTE 4.375% 1/1
04010LAM5
3971
3858000
PRN
SOLE
3858000
0
0
AT&T INC
COM
00206R102
604
16016
SH
SOLE
16016
0
0
ATLAS AIR WORLDWIDE HLDGS IN
NOTE 2.250% 6/0
049164BH8
3036
2885000
PRN
SOLE
2885000
0
0
ATLAS AIR WORLDWIDE HLDGS IN
NOTE 1.875% 6/0
049164BJ4
4361
4000000
PRN
SOLE
4000000
0
0
B2GOLD CORP
NOTE 3.250%10/0
11777QAB6
4744
4531000
PRN
SOLE
4531000
0
0
BANK AMER CORP
COM
060505104
766
31553
SH
SOLE
31553
0
0
BANK AMER CORP
7.25%CNV PFD L
060505682
19786
15679
SH
SOLE
15679
0
0
BECTON DICKINSON & CO
PFD SHS CONV A
075887208
14338
262445
SH
SOLE
262445
0
0
BERKSHIRE HATHAWAY INC DEL
CL B NEW
084670702
760
4489
SH
SOLE
4489
0
0
BIOGEN INC
COM
09062X103
209
770
SH
SOLE
770
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 0.750%10/1
09061GAE1
80
72000
PRN
SOLE
72000
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 1.500%10/1
09061GAF8
3846
3233000
PRN
SOLE
3233000
0
0
BLACK HILLS CORP
UNIT 99/99/9999
092113125
3622
49092
SH
SOLE
49092
0
0
BLACKROCK CAPITAL INVESTMENT
NOTE 5.000% 6/1
092533AC2
1279
1250000
PRN
SOLE
1250000
0
0
BLACKSTONE MTG TR INC
NOTE 5.250%12/0
09257WAA8
4785
4132000
PRN
SOLE
4132000
0
0
BLACKSTONE MTG TR INC
NOTE 4.375% 5/0
09257WAB6
2043
2000000
PRN
SOLE
2000000
0
0
BOEING CO
COM
097023105
306
1537
SH
SOLE
1537
0
0
BOTTOMLINE TECH DEL INC
NOTE 1.500%12/0
101388AA4
3933
3900000
PRN
SOLE
3900000
0
0
CBS CORP NEW
CL B
124857202
247
3892
SH
SOLE
3892
0
0
CELGENE CORP
COM
151020104
590
4540
SH
SOLE
4540
0
0
CEMEX SAB DE CV
NOTE 3.750% 3/1
151290BC6
5192
4348000
PRN
SOLE
4348000
0
0
CHART INDS INC
NOTE 2.000% 8/0
16115QAC4
4212
4250000
PRN
SOLE
4250000
0
0
CHENIERE ENERGY INC
NOTE 4.250% 3/1
16411RAG4
9206
13342000
PRN
SOLE
13342000
0
0
CHEVRON CORP NEW
COM
166764100
430
4109
SH
SOLE
4109
0
0
CIENA CORP
DEBT 4.000%12/1
171779AK7
459
325000
PRN
SOLE
325000
0
0
CISCO SYS INC
COM
17275R102
452
14437
SH
SOLE
14437
0
0
CITIGROUP INC
COM NEW
172967424
1305
19536
SH
SOLE
19536
0
0
CITRIX SYS INC
NOTE 0.500% 4/1
177376AD2
15338
12776000
PRN
SOLE
12776000
0
0
CLOVIS ONCOLOGY INC
NOTE 2.500% 9/1
189464AB6
4715
2784000
PRN
SOLE
2784000
0
0
COCA COLA CO
COM
191216100
581
12965
SH
SOLE
12965
0
0
COLONY CAP INC
NOTE 3.875% 1/1
19624RAB2
4930
4860000
PRN
SOLE
4860000
0
0
COMCAST CORP NEW
CL A
20030N101
364
9327
SH
SOLE
9327
0
0
CONOCOPHILLIPS
COM
20825C104
250
5673
SH
SOLE
5673
0
0
CONSOLIDATED TOMOKA LD CO
NOTE 4.500% 3/1
210226AB2
535
517000
PRN
SOLE
517000
0
0
COSTCO WHSL CORP NEW
COM
22160K105
259
1629
SH
SOLE
1629
0
0
CTRIP COM INTL LTD
NOTE 1.000% 7/0
22943FAF7
4957
4303000
PRN
SOLE
4303000
0
0
CVS HEALTH CORP
COM
126650100
231
2889
SH
SOLE
2889
0
0
DANAHER CORP DEL
NOTE 1/2
235851AF9
1646
511000
PRN
SOLE
511000
0
0
DBX ETF TR
XTRAK MSCI JAPN
233051507
578
14827
SH
SOLE
14827
0
0
DELTA AIR LINES INC DEL
COM NEW
247361702
357
6652
SH
SOLE
6652
0
0
DEPOMED INC
NOTE 2.500% 9/0
249908AA2
3510
4000000
PRN
SOLE
4000000
0
0
DISCOVER FINL SVCS
COM
254709108
200
3216
SH
SOLE
3216
0
0
DISNEY WALT CO
COM DISNEY
254687106
326
3060
SH
SOLE
3060
0
0
DOMINION ENERGY INC
UNIT 08/15/2019
25746U836
4757
94655
SH
SOLE
94655
0
0
DTE ENERGY CO
UNIT 99/99/9999
233331883
670
12355
SH
SOLE
12355
0
0
DU PONT E I DE NEMOURS & CO
COM
263534109
243
3019
SH
SOLE
3019
0
0
DYCOM INDS INC
NOTE 0.750% 9/1
267475AB7
4856
4189000
PRN
SOLE
4189000
0
0
DYNEGY INC NEW DEL
UNIT 07/01/20191
26817R405
1218
20000
SH
SOLE
20000
0
0
EATON CORP PLC
SHS
G29183103
216
2769
SH
SOLE
2769
0
0
ECHO GLOBAL LOGISTICS INC
NOTE 2.500% 5/0
27875TAA9
3376
3559000
PRN
SOLE
3559000
0
0
ELECTRONICS FOR IMAGING INC
NOTE 0.750% 9/0
286082AC6
4685
4359000
PRN
SOLE
4359000
0
0
EMERGENT BIOSOLUTIONS INC
NOTE 2.875% 1/1
29089QAB1
5543
4300000
PRN
SOLE
4300000
0
0
ENCORE CAP GROUP INC
NOTE 3.000% 7/0
292554AF9
4739
4439000
PRN
SOLE
4439000
0
0
ENCORE CAP GROUP INC
NOTE 2.875% 3/1
292554AH5
1730
1829000
PRN
SOLE
1829000
0
0
ENDOLOGIX INC
NOTE 3.250%11/0
29266SAB2
2786
3256000
PRN
SOLE
3256000
0
0
ENERNOC INC
DBCV 2.250% 8/1
292764AB3
4024
4050000
PRN
SOLE
4050000
0
0
ENVESTNET INC
NOTE 1.750%12/1
29404KAA4
6522
6634000
PRN
SOLE
6634000
0
0
EPR PPTYS
PFD C CNV 5.75%
26884U208
615
21992
SH
SOLE
21992
0
0
EQT CORP
COM
26884L109
218
3724
SH
SOLE
3724
0
0
EURONET WORLDWIDE INC
NOTE 1.500%10/0
298736AH2
4167
3261000
PRN
SOLE
3261000
0
0
EVEREST RE GROUP LTD
COM
G3223R108
238
933
SH
SOLE
933
0
0
EXXON MOBIL CORP
COM
30231G102
658
8174
SH
SOLE
8174
0
0
EZCORP INC
NOTE 2.625% 6/1
302301AB2
1920
2000000
PRN
SOLE
2000000
0
0
FACEBOOK INC
CL A
30303M102
1039
6894
SH
SOLE
6894
0
0
FEDEX CORP
COM
31428X106
487
2238
SH
SOLE
2238
0
0
FIDELITY NATIONAL FINANCIAL
NOTE 4.250% 8/1
31620RAE5
2100
827000
PRN
SOLE
827000
0
0
FINISAR CORP
NOTE 0.500%12/1
31787AAM3
3854
3465000
PRN
SOLE
3465000
0
0
FIREEYE INC
NOTE 1.625% 6/0
31816QAD3
1366
1500000
PRN
SOLE
1500000
0
0
FIRST TR EXCHANGE TRADED FD
HLTH CARE ALPH
33734X143
825
12341
SH
SOLE
12341
0
0
FIRST TR EXCHANGE TRADED FD
FST LOW OPPT EFT
33739Q200
4682
89860
SH
SOLE
89860
0
0
FIRST TR EXCHANGE TRADED FD
FIRST TR ENH NEW
33739Q408
491
8173
SH
SOLE
8173
0
0
FIRST TR LRGE CP CORE ALPHA
COM SHS
33734K109
4733
89048
SH
SOLE
89048
0
0
FORD MTR CO DEL
COM PAR $0.01
345370860
140
12610
SH
SOLE
12610
0
0
FORESTAR GROUP INC
NOTE 3.750% 3/0
346232AB7
4578
4500000
PRN
SOLE
4500000
0
0
GENERAL CABLE CORP DEL NEW
FRNT 4.500%11/1
369300AL2
3994
5294000
PRN
SOLE
5294000
0
0
GENERAL DYNAMICS CORP
COM
369550108
413
2077
SH
SOLE
2077
0
0
GENERAL ELECTRIC CO
COM
369604103
752
27869
SH
SOLE
27869
0
0
GILEAD SCIENCES INC
COM
375558103
272
3847
SH
SOLE
3847
0
0
GLOBAL EAGLE ENTMT INC
NOTE 2.750% 2/1
37951DAB8
1285
2000000
PRN
SOLE
2000000
0
0
GREENBRIER COS INC
NOTE 3.500% 4/0
393657AH4
44
32000
PRN
SOLE
32000
0
0
HARMONIC INC
NOTE 4.000%12/0
413160AB8
2864
2500000
PRN
SOLE
2500000
0
0
HELIX ENERGY SOLUTIONS GRP I
NOTE 3.250% 3/1
42330PAG2
2622
2650000
PRN
SOLE
2650000
0
0
HELIX ENERGY SOLUTIONS GRP I
NOTE 4.250% 5/0
42330PAH0
417
452000
PRN
SOLE
452000
0
0
HERBALIFE LTD
NOTE 2.000% 8/1
42703MAB9
9483
9115000
PRN
SOLE
9115000
0
0
HOLOGIC INC
FRNT 12/1
436440AG6
15591
12368000
PRN
SOLE
12368000
0
0
HOME DEPOT INC
COM
437076102
686
4462
SH
SOLE
4462
0
0
HONEYWELL INTL INC
COM
438516106
299
2244
SH
SOLE
2244
0
0
HORIZON GLOBAL CORP
NOTE 2.750% 7/0
44052WAA2
402
424000
PRN
SOLE
424000
0
0
HORIZON PHARMA INVT LTD
NOTE 2.500% 3/1
44052TAB7
3016
3500000
PRN
SOLE
3500000
0
0
HUNTINGTON BANCSHARES INC
PFD CONV SER A
446150401
2843
1969
SH
SOLE
1969
0
0
HURON CONSULTING GROUP INC
NOTE 1.250%10/0
447462AB8
1913
2000000
PRN
SOLE
2000000
0
0
IGI LABORATORIES INC
NOTE 3.750%12/1
449575AB5
3201
3000000
PRN
SOLE
3000000
0
0
ILLUMINA INC
NOTE 6/1
452327AF6
11046
10939000
PRN
SOLE
10939000
0
0
ILLUMINA INC
NOTE 0.500% 6/1
452327AH2
7673
7211000
PRN
SOLE
7211000
0
0
IMPAX LABORATORIES INC
NOTE 2.000% 6/1
45256BAE1
2552
3000000
PRN
SOLE
3000000
0
0
INCYTE CORP
NOTE 0.375%11/1
45337CAM4
206
84000
PRN
SOLE
84000
0
0
INPHI CORP
NOTE 1.125%12/0
45772FAB3
483
432000
PRN
SOLE
432000
0
0
INSULET CORP
NOTE 2.000% 6/1
45784PAD3
4093
3371000
PRN
SOLE
3371000
0
0
INTEGRATED DEVICE TECHNOLOGY
NOTE 0.875%11/1
458118AC0
2921
2758000
PRN
SOLE
2758000
0
0
INTEL CORP
COM
458140100
534
15803
SH
SOLE
15803
0
0
INTEL CORP
SDCV 12/1
458140AD2
14183
10852000
PRN
SOLE
10852000
0
0
INTEL CORP
SDCV 3.250% 8/0
458140AF7
27144
16427000
PRN
SOLE
16427000
0
0
INTERCONTINENTAL EXCHANGE IN
COM
45866F104
364
5483
SH
SOLE
5483
0
0
INTERDIGITAL INC
NOTE 1.500% 3/0
458660AD9
2960
2442000
PRN
SOLE
2442000
0
0
INTL PAPER CO
COM
460146103
219
3852
SH
SOLE
3852
0
0
INVESCO LTD
SHS
G491BT108
283
7994
SH
SOLE
7994
0
0
IRIDIUM COMMUNICATIONS INC
PERP PFD CNV B
46269C409
5100
13507
SH
SOLE
13507
0
0
IRONWOOD PHARMACEUTICALS INC
DBCV 2.250% 6/1
46333XAD0
13007
9719000
PRN
SOLE
9719000
0
0
ISHARES
MIN VOL EMRG MKT
464286533
686
12406
SH
SOLE
12406
0
0
ISHARES INC
CORE MSCI EMKT
46434G103
1756
35103
SH
SOLE
35103
0
0
ISHARES TR
CORE S&P500 ETF
464287200
32778
134668
SH
SOLE
134668
0
0
ISHARES TR
CORE US AGGBD ET
464287226
10051
91796
SH
SOLE
91796
0
0
ISHARES TR
MSCI EAFE ETF
464287465
494
7590
SH
SOLE
7590
0
0
ISHARES TR
RUS MDCP VAL ETF
464287473
447
5295
SH
SOLE
5295
0
0
ISHARES TR
RUS 1000 VAL ETF
464287598
3599
30912
SH
SOLE
30912
0
0
ISHARES TR
U.S. TECH ETF
464287721
1963
14054
SH
SOLE
14054
0
0
ISHARES TR
U.S. REAL ES ETF
464287739
1368
17149
SH
SOLE
17149
0
0
ISHARES TR
U.S. ENERGY ETF
464287796
233
6550
SH
SOLE
6550
0
0
ISHARES TR
U.S. BAS MTL ETF
464287838
665
7446
SH
SOLE
7446
0
0
ISHARES TR
FLTG RATE BD ETF
46429B655
5587
109714
SH
SOLE
109714
0
0
ISHARES TR
CORE MSCI EAFE
46432F842
1651
27095
SH
SOLE
27095
0
0
ISHARES TR
CUR HD EURZN ETF
46434V639
2524
86051
SH
SOLE
86051
0
0
ISIS PHARMACEUTICALS INC DEL
NOTE 1.000%11/1
464337AJ3
3121
2944000
PRN
SOLE
2944000
0
0
J2 GLOBAL INC
NOTE 3.250% 6/1
48123VAC6
6273
4591000
PRN
SOLE
4591000
0
0
JANUS HENDERSON GROUP PLC
NOTE 0.750% 7/1
47102XAH8
48
33000
PRN
SOLE
33000
0
0
JAZZ INVESTMENTS I LTD
NOTE 1.875% 8/1
472145AB7
5510
5037000
PRN
SOLE
5037000
0
0
JDS UNIPHASE CORP
DBCV 0.625% 8/1
46612JAF8
5242
4751000
PRN
SOLE
4751000
0
0
JOHNSON & JOHNSON
COM
478160104
1027
7774
SH
SOLE
7774
0
0
JPMORGAN CHASE & CO
COM
46625H100
1250
13678
SH
SOLE
13678
0
0
KB HOME
NOTE 1.375% 2/0
48666KAS8
4713
4412000
PRN
SOLE
4412000
0
0
KEYCORP NEW
COM
493267108
425
22650
SH
SOLE
22650
0
0
KIMBERLY CLARK CORP
COM
494368103
1121
8685
SH
SOLE
8685
0
0
KINDER MORGAN INC DEL
PFD SER A
49456B200
4131
95415
SH
SOLE
95415
0
0
KNOWLES CORP
NOTE 3.250%11/0
49926DAB5
3537
3000000
PRN
SOLE
3000000
0
0
LABORATORY CORP AMER HLDGS
NOTE 9/1
50540RAG7
1075
518000
PRN
SOLE
518000
0
0
LAM RESEARCH CORP
COM
512807108
332
2333
SH
SOLE
2333
0
0
LAM RESEARCH CORP
NOTE 1.250% 5/1
512807AL2
14645
6276000
PRN
SOLE
6276000
0
0
LIBERTY INTERACTIVE LLC
DEB 1.750% 9/3
530610AD6
4956
4335000
PRN
SOLE
4335000
0
0
LIBERTY MEDIA CORP
DEB 3.500% 1/1
530715AN1
5104
9418000
PRN
SOLE
9418000
0
0
LIBERTY MEDIA CORP DELAWARE
NOTE 1.375%10/1
531229AB8
5766
4870000
PRN
SOLE
4870000
0
0
LIVE NATION ENTERTAINMENT IN
DBCV 2.500% 5/1
538034AJ8
5229
4586000
PRN
SOLE
4586000
0
0
LOCKHEED MARTIN CORP
COM
539830109
222
808
SH
SOLE
808
0
0
LOEWS CORP
COM
540424108
774
16540
SH
SOLE
16540
0
0
LOWES COS INC
COM
548661107
220
2823
SH
SOLE
2823
0
0
MACQUARIE INFRASTRUCTURE COR
NOTE 2.875% 7/1
55608BAA3
8122
7350000
PRN
SOLE
7350000
0
0
MACQUARIE INFRASTRUCTURE COR
NOTE 2.000%10/0
55608BAB1
1315
1321000
PRN
SOLE
1321000
0
0
MASTERCARD INCORPORATED
CL A
57636Q104
405
3335
SH
SOLE
3335
0
0
MCDONALDS CORP
COM
580135101
339
2228
SH
SOLE
2228
0
0
MEDICINES CO
NOTE 2.500% 1/1
584688AE5
789
609000
PRN
SOLE
609000
0
0
MEDICINES CO
NOTE 2.750% 7/1
584688AG0
6289
6018000
PRN
SOLE
6018000
0
0
MEDIDATA SOLUTIONS INC
NOTE 1.000% 8/0
58471AAB1
4018
2879000
PRN
SOLE
2879000
0
0
MEDTRONIC PLC
SHS
G5960L103
361
4038
SH
SOLE
4038
0
0
MERCADOLIBRE INC
NOTE 2.250% 7/0
58733RAB8
1586
785000
PRN
SOLE
785000
0
0
MERCK & CO INC
COM
58933Y105
439
6897
SH
SOLE
6897
0
0
MERITOR INC
NOTE 7.875% 3/0
59001KAC4
5629
3308000
PRN
SOLE
3308000
0
0
METLIFE INC
COM
59156R108
388
7063
SH
SOLE
7063
0
0
MICROCHIP TECHNOLOGY INC
SDCV 2.125%12/1
595017AB0
827
254000
PRN
SOLE
254000
0
0
MICROCHIP TECHNOLOGY INC
NOTE 1.625% 2/1
595017AD6
11887
7900000
PRN
SOLE
7900000
0
0
MICRON TECHNOLOGY INC
NOTE 1.625% 2/1
595112AU7
814
299000
PRN
SOLE
299000
0
0
MICRON TECHNOLOGY INC
NOTE 2.125% 2/1
595112AV5
9098
3306000
PRN
SOLE
3306000
0
0
MICRON TECHNOLOGY INC
NOTE 3.000%11/1
595112AY9
941
833000
PRN
SOLE
833000
0
0
MICROSOFT CORP
COM
594918104
1330
19297
SH
SOLE
19297
0
0
MOLINA HEALTHCARE INC
DBCV 1.625% 8/1
60855RAD2
7173
5621000
PRN
SOLE
5621000
0
0
NATIONAL HEALTH INVS INC
NOTE 3.250% 4/0
63633DAE4
1635
1404000
PRN
SOLE
1404000
0
0
NAVISTAR INTL CORP NEW
NOTE 4.750% 4/1
63934EAS7
4629
4750000
PRN
SOLE
4750000
0
0
NEW YORK CMNTY CAP TR V
UNIT 11/01/2051
64944P307
383
7500
SH
SOLE
7500
0
0
NEWMONT MINING CORP
NOTE 1.625% 7/1
651639AJ5
2165
2166000
PRN
SOLE
2166000
0
0
NEXTERA ENERGY INC
UNIT 08/31/2018
65339F846
7652
119880
SH
SOLE
119880
0
0
NIKE INC
CL B
654106103
229
3878
SH
SOLE
3878
0
0
NOVAVAX INC
NOTE 3.750% 2/0
670002AB0
807
1882000
PRN
SOLE
1882000
0
0
NOVELLUS SYS INC
NOTE 2.625% 5/1
670008AD3
22747
5450000
PRN
SOLE
5450000
0
0
NUANCE COMMUNICATIONS INC
DEBT 1.500%11/0
67020YAG5
820
798000
PRN
SOLE
798000
0
0
NUANCE COMMUNICATIONS INC
DBCV 1.000%12/1
67020YAK6
3335
3462000
PRN
SOLE
3462000
0
0
NUVASIVE INC
NOTE 2.250% 3/1
670704AG0
8088
5852000
PRN
SOLE
5852000
0
0
NVIDIA CORP
NOTE 1.000%12/0
67066GAC8
5337
744000
PRN
SOLE
744000
0
0
NXP SEMICONDUCTORS N V
COM
N6596X109
238
2165
SH
SOLE
2165
0
0
OASIS PETE INC NEW
NOTE 2.625% 9/1
674215AJ7
1902
1936000
PRN
SOLE
1936000
0
0
OLD REP INTL CORP
NOTE 3.750% 3/1
680223AH7
8579
6776000
PRN
SOLE
6776000
0
0
ON SEMICONDUCTOR CORP
COM
682189105
220
15630
SH
SOLE
15630
0
0
ON SEMICONDUCTOR CORP
NOTE 1.000%12/0
682189AK1
5341
5148000
PRN
SOLE
5148000
0
0
ORACLE CORP
COM
68389X105
543
10824
SH
SOLE
10824
0
0
PALO ALTO NETWORKS INC
NOTE 7/0
697435AB1
2193
1674000
PRN
SOLE
1674000
0
0
PANDORA MEDIA INC
NOTE 1.750%12/0
698354AB3
3791
4000000
PRN
SOLE
4000000
0
0
PDC ENERGY INC
NOTE 1.125% 9/1
69327RAD3
8953
9862000
PRN
SOLE
9862000
0
0
PDL BIOPHARMA INC
NOTE 2.750%12/0
69329YAG9
850
950000
PRN
SOLE
950000
0
0
PENNYMAC CORP
NOTE 5.375% 5/0
70932AAB9
7294
7396000
PRN
SOLE
7396000
0
0
PEPSICO INC
COM
713448108
499
4328
SH
SOLE
4328
0
0
PFIZER INC
COM
717081103
800
23823
SH
SOLE
23823
0
0
PHILIP MORRIS INTL INC
COM
718172109
322
2732
SH
SOLE
2732
0
0
PIONEER NAT RES CO
COM
723787107
216
1353
SH
SOLE
1353
0
0
PORTFOLIO RECOVERY ASSOCS IN
NOTE 3.000% 8/0
73640QAB1
3817
4000000
PRN
SOLE
4000000
0
0
POWERSHARES ETF TRUST II
SENIOR LN PORT
73936Q769
1982
85600
SH
SOLE
85600
0
0
PRICELINE GRP INC
COM NEW
741503403
268
142
SH
SOLE
142
0
0
PRICELINE GRP INC
NOTE 1.000% 3/1
741503AQ9
16288
8260000
PRN
SOLE
8260000
0
0
PRICELINE GRP INC
NOTE 0.350% 6/1
741503AS5
25231
17178000
PRN
SOLE
17178000
0
0
PRICELINE GRP INC
NOTE 0.900% 9/1
741503AX4
8532
7452000
PRN
SOLE
7452000
0
0
PROCTER AND GAMBLE CO
COM
742718109
739
8459
SH
SOLE
8459
0
0
PROOFPOINT INC
NOTE 1.250%12/1
743424AB9
3891
1750000
PRN
SOLE
1750000
0
0
PROOFPOINT INC
DBCV 0.750% 6/1
743424AD5
3459
2779000
PRN
SOLE
2779000
0
0
PROSHARES TR
PSHS ULTSH 20YRS
74347B201
884
24635
SH
SOLE
24635
0
0
PROSHARES TR
SHRT 20+YR TRE
74347X849
2473
110000
SH
SOLE
110000
0
0
PROSPECT CAPITAL CORPORATION
NOTE 5.375%10/1
74348TAK8
119
118000
PRN
SOLE
118000
0
0
QIAGEN NV
NOTE 0.375% 3/1
N72482AA5
2217
1800000
PRN
SOLE
1800000
0
0
QUALCOMM INC
COM
747525103
211
3837
SH
SOLE
3837
0
0
QUIDEL CORP
NOTE 3.250%12/1
74838JAA9
10055
9067000
PRN
SOLE
9067000
0
0
RAIT FINANCIAL TRUST
NOTE 4.000%10/0
749227AB0
5527
5900000
PRN
SOLE
5900000
0
0
RAMCO-GERSHENSON PPTYS TR
PERP PFD-D CV
751452608
983
18912
SH
SOLE
18912
0
0
RAYONIER ADVANCED MATLS INC
PFD CV SER A
75508B203
5010
42654
SH
SOLE
42654
0
0
RAYTHEON CO
COM NEW
755111507
408
2525
SH
SOLE
2525
0
0
RED HAT INC
NOTE 0.250%10/0
756577AD4
11888
8609000
PRN
SOLE
8609000
0
0
REDWOOD TR INC
NOTE 4.625% 4/1
758075AB1
5420
5353000
PRN
SOLE
5353000
0
0
RENEWABLE ENERGY GROUP INC
NOTE 4.000% 6/1
75972AAC7
3926
2908000
PRN
SOLE
2908000
0
0
RESOURCE CAP CORP
NOTE 8.000% 1/1
76120WAB0
2486
2410000
PRN
SOLE
2410000
0
0
ROYAL GOLD INC
NOTE 2.875% 6/1
780287AA6
819
759000
PRN
SOLE
759000
0
0
RPM INTL INC
NOTE 2.250%12/1
749685AT0
6603
5597000
PRN
SOLE
5597000
0
0
RTI INTL METALS INC
NOTE 1.625%10/1
74973WAB3
4396
4122000
PRN
SOLE
4122000
0
0
SALESFORCE COM INC
NOTE 0.250% 4/0
79466LAD6
5533
4181000
PRN
SOLE
4181000
0
0
SCHLUMBERGER LTD
COM
806857108
255
3889
SH
SOLE
3889
0
0
SEACOR HOLDINGS INC
NOTE 3.000%11/1
81170YAB5
6243
7416000
PRN
SOLE
7416000
0
0
SELECT SECTOR SPDR TR
ENERGY
81369Y506
1336
20587
SH
SOLE
20587
0
0
SELECT SECTOR SPDR TR
SBI INT-UTILS
81369Y886
1667
32072
SH
SOLE
32072
0
0
SERVICENOW INC
NOTE 11/0
81762PAB8
3249
2224000
PRN
SOLE
2224000
0
0
SILVER STD RES INC
NOTE 2.875% 2/0
82823LAC0
3301
3392000
PRN
SOLE
3392000
0
0
SOUTHWESTERN ENERGY CO
DEP SHS 1/20 B
845467208
1089
75000
SH
SOLE
75000
0
0
SPDR S&P 500 ETF TR
TR UNIT
78462F103
5241
21663
SH
SOLE
21663
0
0
SPDR SERIES TRUST
S&P RETAIL ETF
78464A714
214
5242
SH
SOLE
5242
0
0
SPECTRANETICS CORP
MTNF 2.625% 6/0
84760CAA5
2706
2000000
PRN
SOLE
2000000
0
0
SPIRIT RLTY CAP INC NEW
NOTE 2.875% 5/1
84860WAA0
2474
2496000
PRN
SOLE
2496000
0
0
SPIRIT RLTY CAP INC NEW
NOTE 3.750% 5/1
84860WAB8
729
733000
PRN
SOLE
733000
0
0
STANLEY BLACK & DECKER INC
UNIT 05/15/2020
854502887
3494
32340
SH
SOLE
32340
0
0
STARWOOD PPTY TR INC
NOTE 4.550% 3/0
85571BAA3
7445
6858000
PRN
SOLE
6858000
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
659
656000
PRN
SOLE
656000
0
0
STARWOOD WAYPOINT RESIDENTL
NOTE 3.000% 7/0
85571WAB5
11447
9657000
PRN
SOLE
9657000
0
0
SUNPOWER CORP
DBCV 4.000% 1/1
867652AL3
2757
3198000
PRN
SOLE
3198000
0
0
SUNTRUST BKS INC
COM
867914103
459
8132
SH
SOLE
8132
0
0
SYNCHRONOSS TECHNOLOGIES INC
NOTE 0.750% 8/1
87157BAA1
1860
2000000
PRN
SOLE
2000000
0
0
T MOBILE US INC
CONV PFD SER A
872590203
6836
69370
SH
SOLE
69370
0
0
TAKE-TWO INTERACTIVE SOFTWAR
NOTE 1.000% 7/0
874054AD1
2977
876000
PRN
SOLE
876000
0
0
TCP CAP CORP
NOTE 5.250%12/1
87238QAB9
2910
2750000
PRN
SOLE
2750000
0
0
TESLA INC
NOTE 0.250% 3/0
88160RAB7
9364
8195000
PRN
SOLE
8195000
0
0
TESLA INC
NOTE 1.250% 3/0
88160RAC5
7443
6445000
PRN
SOLE
6445000
0
0
TESLA INC
NOTE 2.375% 3/1
88160RAD3
3769
3000000
PRN
SOLE
3000000
0
0
TEXAS INSTRS INC
COM
882508104
290
3776
SH
SOLE
3776
0
0
THERAVANCE BIOPHARMA INC
NOTE 3.250%11/0
88339KAA0
4055
3007000
PRN
SOLE
3007000
0
0
THERAVANCE INC
NOTE 2.125% 1/1
88338TAB0
5908
6500000
PRN
SOLE
6500000
0
0
THERMO FISHER SCIENTIFIC INC
COM
883556102
320
1828
SH
SOLE
1828
0
0
TIME WARNER INC
COM NEW
887317303
276
2745
SH
SOLE
2745
0
0
TJX COS INC NEW
COM
872540109
258
3591
SH
SOLE
3591
0
0
TRINITY INDS INC
NOTE 3.875% 6/0
896522AF6
6254
4992000
PRN
SOLE
4992000
0
0
TTM TECHNOLOGIES INC
NOTE 1.750%12/1
87305RAD1
9803
5228000
PRN
SOLE
5228000
0
0
TWITTER INC
NOTE 1.000% 9/1
90184LAD4
915
1000000
PRN
SOLE
1000000
0
0
TWO HBRS INVT CORP
NOTE 6.250% 1/1
90187BAA9
4197
3981000
PRN
SOLE
3981000
0
0
UNION PAC CORP
COM
907818108
380
3487
SH
SOLE
3487
0
0
UNISYS CORP
NOTE 5.500% 3/0
909214BS6
1475
967000
PRN
SOLE
967000
0
0
UNITED TECHNOLOGIES CORP
COM
913017109
275
2247
SH
SOLE
2247
0
0
UNITEDHEALTH GROUP INC
COM
91324P102
771
4164
SH
SOLE
4164
0
0
VEECO INSTRS INC DEL
NOTE 2.700% 1/1
922417AD2
5094
5000000
PRN
SOLE
5000000
0
0
VERISIGN INC
SDCV 3.250% 8/1
92343EAD4
9340
3430000
PRN
SOLE
3430000
0
0
VERIZON COMMUNICATIONS INC
COM
92343V104
620
13877
SH
SOLE
13877
0
0
VIRTUS INVT PARTNERS INC
PFD CV SER D
92828Q208
3370
33501
SH
SOLE
33501
0
0
VISA INC
COM CL A
92826C839
359
3822
SH
SOLE
3822
0
0
WABASH NATL CORP
NOTE 3.375% 5/0
929566AH0
2881
1500000
PRN
SOLE
1500000
0
0
WAL-MART STORES INC
COM
931142103
249
3264
SH
SOLE
3264
0
0
WEATHERFORD INTL LTD
NOTE 5.875% 7/0
947075AH0
12333
12193000
PRN
SOLE
12193000
0
0
WEBMD HEALTH CORP
NOTE 2.500% 1/3
94770VAF9
6785
6583000
PRN
SOLE
6583000
0
0
WEBMD HEALTH CORP
NOTE 1.500%12/0
94770VAK8
3286
2589000
PRN
SOLE
2589000
0
0
WELLS FARGO & CO
MTNF 0.125% 3/1
94986RTK7
176
182000
PRN
SOLE
182000
0
0
WELLS FARGO & CO
MTNF 0.125% 2/2
94986RVY4
4592
4788000
PRN
SOLE
4788000
0
0
WELLS FARGO CO NEW
COM
949746101
532
9666
SH
SOLE
9666
0
0
WELLS FARGO CO NEW
PERP PFD CNV A
949746804
21481
16386
SH
SOLE
16386
0
0
WELLTOWER INC
6.50% PFD PREPET
95040Q203
9610
145015
SH
SOLE
145015
0
0
WESTERN DIGITAL CORP
COM
958102105
207
2330
SH
SOLE
2330
0
0
WORKDAY INC
NOTE 0.750% 7/1
98138HAC5
623
505000
PRN
SOLE
505000
0
0
WPX ENERGY INC
PFD SER A CV
98212B202
2337
50000
SH
SOLE
50000
0
0
WRIGHT MED GROUP INC
NOTE 2.000% 2/1
98235TAE7
6375
5738000
PRN
SOLE
5738000
0
0
WRIGHT MED GROUP N V
NOTE 2.250%11/1
98236JAB4
4596
3262000
PRN
SOLE
3262000
0
0
YAHOO INC
NOTE 12/0
984332AF3
8249
7258000
PRN
SOLE
7258000
0
0
YANDEX NV
NOTE 1.125%12/1
98474TAB3
3846
3973000
PRN
SOLE
3973000
0
0