Chief Operating Officer & Chief Compliance Officer

0001172661-18-001080.txt : 20180514 0001172661-18-001080.hdr.sgml : 20180514 20180514161545 ACCESSION NUMBER: 0001172661-18-001080 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20180331 FILED AS OF DATE: 20180514 DATE AS OF CHANGE: 20180514 EFFECTIVENESS DATE: 20180514 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: 18830777 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 03-31-2018 03-31-2018 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 05-14-2018 0 310 1231975 INFORMATION TABLE 2 infotable.xml 3M CO COM 88579Y101 337 1530 SH SOLE 1530 0 0 51JOB INC NOTE 3.250% 4/1 316827AC8 10411 5171000 PRN SOLE 5171000 0 0 ABBOTT LABS COM 002824100 386 6441 SH SOLE 6441 0 0 ABBVIE INC COM 00287Y109 367 3880 SH SOLE 3880 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 230 1496 SH SOLE 1496 0 0 ACETO CORP NOTE 2.000%11/0 004446AD2 1276 1455000 PRN SOLE 1455000 0 0 ACORDA THERAPEUTICS INC NOTE 1.750% 6/1 00484MAA4 3636 4000000 PRN SOLE 4000000 0 0 ADOBE SYS INC COM 00724F101 227 1042 SH SOLE 1042 0 0 AEGEAN MARINE PETE NETWORK I NOTE 4.000%11/0 Y0020QAA9 2068 2300000 PRN SOLE 2300000 0 0 AEROJET ROCKETDYNE HLDGS INC NOTE 2.250%12/1 007800AB1 4436 3500000 PRN SOLE 3500000 0 0 AETNA INC NEW COM 00817Y108 347 2048 SH SOLE 2048 0 0 AIR LEASE CORP NOTE 3.875%12/0 00912XAK0 481 323000 PRN SOLE 323000 0 0 AKAMAI TECHNOLOGIES INC DBCV 2/1 00971TAG6 4370 4266000 PRN SOLE 4266000 0 0 ALDER BIOPHARMACEUTICALS INC NOTE 2.500% 2/0 014339AA3 3680 4000000 PRN SOLE 4000000 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.750% 7/0 01741RAG7 1075 590000 PRN SOLE 590000 0 0 ALLERGAN PLC SHS G0177J108 235 1386 SH SOLE 1386 0 0 ALLSCRIPTS HEALTHCARE SOLUTN NOTE 1.250% 7/0 01988PAD0 12270 12237000 PRN SOLE 12237000 0 0 ALPHABET INC CAP STK CL A 02079K305 2180 2102 SH SOLE 2102 0 0 ALTRIA GROUP INC COM 02209S103 449 7221 SH SOLE 7221 0 0 ALZA CORP SDCV 7/2 02261WAB5 239 135000 PRN SOLE 135000 0 0 AMAG PHARMACEUTICALS INC NOTE 3.250% 6/0 00163UAD8 5665 5500000 PRN SOLE 5500000 0 0 AMAZON COM INC COM 023135106 1490 1029 SH SOLE 1029 0 0 AMERICAN RLTY CAP PPTYS INC NOTE 3.000% 8/0 02917TAA2 2085 2085000 PRN SOLE 2085000 0 0 AMERICAN RLTY CAP PPTYS INC NOTE 3.750%12/1 02917TAB0 71 70000 PRN SOLE 70000 0 0 AMGEN INC COM 031162100 424 2497 SH SOLE 2497 0 0 ANTHEM INC UNIT 05/01/20188 036752202 10122 188444 SH SOLE 188444 0 0 ANTHEM INC NOTE 2.750%10/1 94973VBG1 16255 5398000 PRN SOLE 5398000 0 0 APOLLO COML REAL EST FIN INC NOTE 4.750% 8/2 03762UAB1 5343 5350000 PRN SOLE 5350000 0 0 APPLE INC COM 037833100 1956 11655 SH SOLE 11655 0 0 ARBOR RLTY TR INC NOTE 5.375%11/1 038923AB4 510 500000 PRN SOLE 500000 0 0 ARES CAP CORP COM 04010L103 273 17236 SH SOLE 17236 0 0 ARES CAP CORP NOTE 4.375% 1/1 04010LAM5 4824 4771000 PRN SOLE 4771000 0 0 AT&T INC COM 00206R102 557 15607 SH SOLE 15607 0 0 ATLAS AIR WORLDWIDE HLDGS IN NOTE 2.250% 6/0 049164BH8 7686 6748000 PRN SOLE 6748000 0 0 ATLAS AIR WORLDWIDE HLDGS IN NOTE 1.875% 6/0 049164BJ4 5475 4600000 PRN SOLE 4600000 0 0 B2GOLD CORP NOTE 3.250%10/0 11777QAB6 1508 1500000 PRN SOLE 1500000 0 0 BANK AMER CORP COM 060505104 926 30902 SH SOLE 30902 0 0 BANK AMER CORP 7.25%CNV PFD L 060505682 19214 14900 SH SOLE 14900 0 0 BECTON DICKINSON & CO PFD SHS CONV A 075887208 21796 375382 SH SOLE 375382 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 873 4384 SH SOLE 4384 0 0 BIOGEN INC COM 09062X103 206 752 SH SOLE 752 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.500%10/1 09061GAF8 845 763000 PRN SOLE 763000 0 0 BLACKSTONE MTG TR INC NOTE 4.375% 5/0 09257WAB6 10982 11181000 PRN SOLE 11181000 0 0 BLACKSTONE MTG TR INC NOTE 4.750% 3/1 09257WAC4 1469 1500000 PRN SOLE 1500000 0 0 BOEING CO COM 097023105 495 1502 SH SOLE 1502 0 0 BOOKING HLDGS INC COM 09857L108 288 139 SH SOLE 139 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 216 3382 SH SOLE 3382 0 0 BRISTOW GROUP INC NOTE 4.500% 6/0 110394AF0 552 500000 PRN SOLE 500000 0 0 BROADCOM LTD SHS Y09827109 256 1092 SH SOLE 1092 0 0 CAESARS ENTMT CORP NOTE 5.000%10/0 127686AA1 5986 3436000 PRN SOLE 3436000 0 0 CELGENE CORP COM 151020104 397 4437 SH SOLE 4437 0 0 CEMEX SAB DE CV NOTE 3.720% 3/1 151290BT9 4374 4250000 PRN SOLE 4250000 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 4299 4236000 PRN SOLE 4236000 0 0 CHENIERE ENERGY INC NOTE 4.250% 3/1 16411RAG4 16769 21606000 PRN SOLE 21606000 0 0 CHESAPEAKE ENERGY CORP NOTE 5.500% 9/1 165167CY1 2021 2347000 PRN SOLE 2347000 0 0 CHEVRON CORP NEW COM 166764100 453 3974 SH SOLE 3974 0 0 CISCO SYS INC COM 17275R102 602 14041 SH SOLE 14041 0 0 CITIGROUP INC COM NEW 172967424 934 13874 SH SOLE 13874 0 0 CITRIX SYS INC NOTE 0.500% 4/1 177376AD2 12098 9188000 PRN SOLE 9188000 0 0 CLEVELAND CLIFFS INC DBCV 1.500% 1/1 185899AA9 4327 4000000 PRN SOLE 4000000 0 0 CLOVIS ONCOLOGY INC NOTE 2.500% 9/1 189464AB6 626 543000 PRN SOLE 543000 0 0 COCA COLA CO COM 191216100 547 12649 SH SOLE 12649 0 0 COLONY CAP INC NOTE 3.875% 1/1 19624RAB2 5331 5696000 PRN SOLE 5696000 0 0 COMCAST CORP NEW CL A 20030N101 313 9129 SH SOLE 9129 0 0 CONOCOPHILLIPS COM 20825C104 328 5526 SH SOLE 5526 0 0 CONSOLIDATED TOMOKA LD CO NOTE 4.500% 3/1 210226AB2 1086 1017000 PRN SOLE 1017000 0 0 COSTCO WHSL CORP NEW COM 22160K105 297 1584 SH SOLE 1584 0 0 CROWN CASTLE INTL CORP NEW 6.875% CON PFD A 22822V309 7876 7072 SH SOLE 7072 0 0 CSG SYS INTL INC NOTE 4.250% 3/1 126349AF6 850 779000 PRN SOLE 779000 0 0 CTRIP COM INTL LTD NOTE 1.000% 7/0 22943FAF7 5332 4953000 PRN SOLE 4953000 0 0 CYPRESS SEMICONDUCTOR CORP NOTE 4.500% 1/1 232806AM1 5041 3613000 PRN SOLE 3613000 0 0 DANAHER CORP DEL DBCV 1/2 235851AF9 1793 479000 PRN SOLE 479000 0 0 DBX ETF TR XTRACK MSCI JAPN 233051507 612 14409 SH SOLE 14409 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 355 6498 SH SOLE 6498 0 0 DEPOMED INC NOTE 2.500% 9/0 249908AA2 1621 2000000 PRN SOLE 2000000 0 0 DISCOVER FINL SVCS COM 254709108 227 3126 SH SOLE 3126 0 0 DISH NETWORK CORP NOTE 3.375% 8/1 25470MAB5 10937 11350000 PRN SOLE 11350000 0 0 DISNEY WALT CO COM DISNEY 254687106 301 2989 SH SOLE 2989 0 0 DOWDUPONT INC COM 26078J100 240 3757 SH SOLE 3757 0 0 DTE ENERGY CO UNIT 99/99/9999 233331883 651 12530 SH SOLE 12530 0 0 DYCOM INDS INC NOTE 0.750% 9/1 267475AB7 5335 4214000 PRN SOLE 4214000 0 0 DYNEGY INC NEW DEL UNIT 07/01/20191 26817R405 6398 74000 SH SOLE 74000 0 0 E TRADE FINANCIAL CORP COM NEW 269246401 248 4496 SH SOLE 4496 0 0 EATON CORP PLC SHS G29183103 217 2706 SH SOLE 2706 0 0 ECHO GLOBAL LOGISTICS INC NOTE 2.500% 5/0 27875TAA9 2536 2500000 PRN SOLE 2500000 0 0 ENCORE CAP GROUP INC NOTE 3.000% 7/0 292554AF9 4796 4200000 PRN SOLE 4200000 0 0 ENCORE CAP GROUP INC NOTE 2.875% 3/1 292554AH5 1826 1829000 PRN SOLE 1829000 0 0 ENDOLOGIX INC NOTE 2.250%12/1 29266SAA4 1944 2000000 PRN SOLE 2000000 0 0 ENDOLOGIX INC NOTE 3.250%11/0 29266SAB2 1719 2000000 PRN SOLE 2000000 0 0 ENSCO JERSEY FIN LTD NOTE 3.000% 1/3 29359WAB1 4007 5000000 PRN SOLE 5000000 0 0 ENVESTNET INC NOTE 1.750%12/1 29404KAA4 9953 9073000 PRN SOLE 9073000 0 0 EOG RES INC COM 26875P101 210 2008 SH SOLE 2008 0 0 EPR PPTYS PFD C CNV 5.75% 26884U208 535 21992 SH SOLE 21992 0 0 EURONET WORLDWIDE INC NOTE 1.500%10/0 298736AH2 939 796000 PRN SOLE 796000 0 0 EVERBRIDGE INC NOTE 1.500%11/0 29978AAA2 643 511000 PRN SOLE 511000 0 0 EXACT SCIENCES CORP DBCV 1.000% 1/1 30063PAA3 5924 6680000 PRN SOLE 6680000 0 0 EXXON MOBIL CORP COM 30231G102 589 7901 SH SOLE 7901 0 0 EZCORP INC NOTE 2.625% 6/1 302301AB2 2103 2000000 PRN SOLE 2000000 0 0 FACEBOOK INC CL A 30303M102 1074 6731 SH SOLE 6731 0 0 FEDEX CORP COM 31428X106 525 2188 SH SOLE 2188 0 0 FIDELITY NATIONAL FINANCIAL NOTE 4.250% 8/1 31620RAE5 2472 790000 PRN SOLE 790000 0 0 FINISAR CORP NOTE 0.500%12/1 31787AAM3 684 695000 PRN SOLE 695000 0 0 FIREEYE INC NOTE 1.625% 6/0 31816QAD3 1399 1500000 PRN SOLE 1500000 0 0 FIRST TR EXCH TRD ALPHA FD I DEV MRK EX US 33737J174 1925 30647 SH SOLE 30647 0 0 FIRST TR EXCHANGE TRADED FD HLTH CARE ALPH 33734X143 904 13041 SH SOLE 13041 0 0 FIRST TR EXCHANGE TRADED FD SENIOR LN FD 33738D309 2710 56302 SH SOLE 56302 0 0 FIRST TR EXCHANGE TRADED FD NASDAQ BK ETF 33738R860 1809 61293 SH SOLE 61293 0 0 FIRST TR EXCHANGE TRADED FD FST LOW OPPT EFT 33739Q200 5608 109199 SH SOLE 109199 0 0 FIRST TR EXCHANGE TRADED FD FIRST TR ENH NEW 33739Q408 245 4090 SH SOLE 4090 0 0 FIRST TR EXCHANGE-TRADED FD PFD SECS INC ETF 33739E108 2477 127314 SH SOLE 127314 0 0 FIRST TR LRGE CP CORE ALPHA COM SHS 33734K109 5489 93961 SH SOLE 93961 0 0 FORESTAR GROUP INC NOTE 3.750% 3/0 346232AB7 4467 4500000 PRN SOLE 4500000 0 0 GENERAL DYNAMICS CORP COM 369550108 450 2034 SH SOLE 2034 0 0 GENERAL ELECTRIC CO COM 369604103 260 19259 SH SOLE 19259 0 0 GILEAD SCIENCES INC COM 375558103 283 3753 SH SOLE 3753 0 0 GOLAR LNG LTD NOTE 2.750% 2/1 38046YAB7 4083 4000000 PRN SOLE 4000000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 248 983 SH SOLE 983 0 0 GRANITE PT MTG TR INC NOTE 5.625%12/0 38741LAB3 3430 3500000 PRN SOLE 3500000 0 0 GREENBRIER COS INC NOTE 2.875% 2/0 393657AK7 2640 2312000 PRN SOLE 2312000 0 0 GUIDEWIRE SOFTWARE INC NOTE 1.250% 3/1 40171VAA8 5758 5852000 PRN SOLE 5852000 0 0 HANNON ARMSTRONG SUST INFR C NOTE 4.125% 9/0 41068XAB6 4347 4547000 PRN SOLE 4547000 0 0 HARMONIC INC NOTE 4.000%12/0 413160AB8 2454 2500000 PRN SOLE 2500000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.250% 5/0 42330PAH0 405 431000 PRN SOLE 431000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.125% 9/1 42330PAJ6 1006 1000000 PRN SOLE 1000000 0 0 HERBALIFE LTD NOTE 2.000% 8/1 42703MAB9 15106 12474000 PRN SOLE 12474000 0 0 HERCULES CAPITAL INC DBCV 4.375% 2/0 427096AF9 908 900000 PRN SOLE 900000 0 0 HESS CORP DEP PDF SR A 42809H404 8277 138945 SH SOLE 138945 0 0 HOME DEPOT INC COM 437076102 778 4364 SH SOLE 4364 0 0 HONEYWELL INTL INC COM 438516106 317 2192 SH SOLE 2192 0 0 HORIZON PHARMA INVT LTD NOTE 2.500% 3/1 44052TAB7 3210 3500000 PRN SOLE 3500000 0 0 HUNTINGTON BANCSHARES INC COM 446150104 2595 172005 SH SOLE 172005 0 0 HURON CONSULTING GROUP INC NOTE 1.250%10/0 447462AB8 2820 3000000 PRN SOLE 3000000 0 0 ILLINOIS TOOL WKS INC COM 452308109 236 1496 SH SOLE 1496 0 0 ILLUMINA INC NOTE 6/1 452327AF6 14428 13044000 PRN SOLE 13044000 0 0 ILLUMINA INC NOTE 0.500% 6/1 452327AH2 14411 11819000 PRN SOLE 11819000 0 0 IMPAX LABORATORIES INC NOTE 2.000% 6/1 45256BAE1 3466 3500000 PRN SOLE 3500000 0 0 INCYTE CORP NOTE 0.375%11/1 45337CAM4 72 45000 PRN SOLE 45000 0 0 INPHI CORP NOTE 1.125%12/0 45772FAB3 482 461000 PRN SOLE 461000 0 0 INSMED INC NOTE 1.750% 1/1 457669AA7 5303 6000000 PRN SOLE 6000000 0 0 INSULET CORP NOTE 1.250% 9/1 45784PAF8 16629 10741000 PRN SOLE 10741000 0 0 INTEGRATED DEVICE TECHNOLOGY NOTE 0.875%11/1 458118AC0 7021 6233000 PRN SOLE 6233000 0 0 INTEL CORP COM 458140100 809 15491 SH SOLE 15491 0 0 INTEL CORP SDCV 3.250% 8/0 458140AF7 51679 20634000 PRN SOLE 20634000 0 0 INTERCONTINENTAL EXCHANGE IN COM 45866F104 390 5368 SH SOLE 5368 0 0 INTERDIGITAL INC NOTE 1.500% 3/0 458660AD9 116 100000 PRN SOLE 100000 0 0 INTL PAPER CO COM 460146103 201 3763 SH SOLE 3763 0 0 INVESCO LTD SHS G491BT108 251 7794 SH SOLE 7794 0 0 IRIDIUM COMMUNICATIONS INC PERP PFD CNV B 46269C409 5202 13507 SH SOLE 13507 0 0 IRONWOOD PHARMACEUTICALS INC DBCV 2.250% 6/1 46333XAD0 7180 6100000 PRN SOLE 6100000 0 0 ISHARES INC MIN VOL EMRG MKT 464286533 799 12825 SH SOLE 12825 0 0 ISHARES INC CORE MSCI EMKT 46434G103 3142 53793 SH SOLE 53793 0 0 ISHARES TR CORE S&P500 ETF 464287200 46507 175249 SH SOLE 175249 0 0 ISHARES TR CORE US AGGBD ET 464287226 10564 98505 SH SOLE 98505 0 0 ISHARES TR MSCI EAFE ETF 464287465 529 7590 SH SOLE 7590 0 0 ISHARES TR RUS 1000 VAL ETF 464287598 3904 32550 SH SOLE 32550 0 0 ISHARES TR U.S. TECH ETF 464287721 2500 14866 SH SOLE 14866 0 0 ISHARES TR U.S. REAL ES ETF 464287739 1265 16766 SH SOLE 16766 0 0 ISHARES TR U.S. ENERGY ETF 464287796 242 6550 SH SOLE 6550 0 0 ISHARES TR U.S. BAS MTL ETF 464287838 700 7273 SH SOLE 7273 0 0 ISHARES TR US HOME CONS ETF 464288752 278 7063 SH SOLE 7063 0 0 ISHARES TR FLTG RATE NT ETF 46429B655 4227 83000 SH SOLE 83000 0 0 ISHARES TR CORE MSCI EAFE 46432F842 203 3082 SH SOLE 3082 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 11468 11606000 PRN SOLE 11606000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 5404 4250000 PRN SOLE 4250000 0 0 JANUS HENDERSON GROUP PLC NOTE 0.750% 7/1 47102XAH8 22 15000 PRN SOLE 15000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 6499 6218000 PRN SOLE 6218000 0 0 JDS UNIPHASE CORP DBCV 0.625% 8/1 46612JAF8 5526 5412000 PRN SOLE 5412000 0 0 JOHNSON & JOHNSON COM 478160104 971 7576 SH SOLE 7576 0 0 JPMORGAN CHASE & CO COM 46625H100 1469 13366 SH SOLE 13366 0 0 KB HOME NOTE 1.375% 2/0 48666KAS8 6319 5582000 PRN SOLE 5582000 0 0 KEYCORP NEW COM 493267108 432 22123 SH SOLE 22123 0 0 KIMBERLY CLARK CORP COM 494368103 956 8685 SH SOLE 8685 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 3116 3000000 PRN SOLE 3000000 0 0 LABORATORY CORP AMER HLDGS COM NEW 50540R409 203 1255 SH SOLE 1255 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1120 518000 PRN SOLE 518000 0 0 LAM RESEARCH CORP COM 512807108 462 2276 SH SOLE 2276 0 0 LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 4574 1357000 PRN SOLE 1357000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 6327 10668000 PRN SOLE 10668000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.375%10/1 531229AB8 6511 5678000 PRN SOLE 5678000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.000% 1/3 531229AF9 4179 3983000 PRN SOLE 3983000 0 0 LIVE NATION ENTERTAINMENT IN DBCV 2.500% 5/1 538034AJ8 6898 5419000 PRN SOLE 5419000 0 0 LOCKHEED MARTIN CORP COM 539830109 267 790 SH SOLE 790 0 0 LOEWS CORP COM 540424108 823 16540 SH SOLE 16540 0 0 LOWES COS INC COM 548661107 245 2766 SH SOLE 2766 0 0 MACQUARIE INFRASTRUCTURE COR NOTE 2.875% 7/1 55608BAA3 7166 7246000 PRN SOLE 7246000 0 0 MACQUARIE INFRASTRUCTURE COR NOTE 2.000%10/0 55608BAB1 982 1106000 PRN SOLE 1106000 0 0 MASTERCARD INCORPORATED CL A 57636Q104 570 3260 SH SOLE 3260 0 0 MCDONALDS CORP COM 580135101 340 2173 SH SOLE 2173 0 0 MEDICINES CO NOTE 2.750% 7/1 584688AG0 2881 3000000 PRN SOLE 3000000 0 0 MEDTRONIC PLC SHS G5960L103 317 3952 SH SOLE 3952 0 0 MERCK & CO INC COM 58933Y105 368 6739 SH SOLE 6739 0 0 MERITOR INC NOTE 7.875% 3/0 59001KAC4 115 59000 PRN SOLE 59000 0 0 METLIFE INC COM 59156R108 318 6913 SH SOLE 6913 0 0 MGM RESORTS INTERNATIONAL COM 552953101 218 6225 SH SOLE 6225 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AD6 14158 7987000 PRN SOLE 7987000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 24164 20436000 PRN SOLE 20436000 0 0 MICRON TECHNOLOGY INC COM 595112103 219 4143 SH SOLE 4143 0 0 MICRON TECHNOLOGY INC NOTE 2.125% 2/1 595112AV5 20123 4230000 PRN SOLE 4230000 0 0 MICRON TECHNOLOGY INC NOTE 3.000%11/1 595112AY9 4453 2488000 PRN SOLE 2488000 0 0 MICROSOFT CORP COM 594918104 1725 18895 SH SOLE 18895 0 0 MOLINA HEALTHCARE INC DBCV 1.625% 8/1 60855RAD2 7389 5249000 PRN SOLE 5249000 0 0 NATIONAL HEALTH INVS INC NOTE 3.250% 4/0 63633DAE4 1425 1304000 PRN SOLE 1304000 0 0 NAVISTAR INTL CORP NEW NOTE 4.750% 4/1 63934EAS7 14526 14135000 PRN SOLE 14135000 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 4417 88781 SH SOLE 88781 0 0 NEXTERA ENERGY INC UNIT 08/31/2018 65339F846 10236 140725 SH SOLE 140725 0 0 NIKE INC CL B 654106103 249 3779 SH SOLE 3779 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 1497 2132000 PRN SOLE 2132000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 28071 4638000 PRN SOLE 4638000 0 0 NUANCE COMMUNICATIONS INC DEBT 1.500%11/0 67020YAG5 730 718000 PRN SOLE 718000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 3760 3966000 PRN SOLE 3966000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 2683 2444000 PRN SOLE 2444000 0 0 NVIDIA CORP COM 67066G104 347 1498 SH SOLE 1498 0 0 NVIDIA CORP NOTE 1.000%12/0 67066GAC8 1850 161000 PRN SOLE 161000 0 0 OASIS PETE INC NEW NOTE 2.625% 9/1 674215AJ7 451 441000 PRN SOLE 441000 0 0 ON SEMICONDUCTOR CORP COM 682189105 222 8991 SH SOLE 8991 0 0 ON SEMICONDUCTOR CORP NOTE 1.000%12/0 682189AK1 9512 6664000 PRN SOLE 6664000 0 0 ORACLE CORP COM 68389X105 483 10572 SH SOLE 10572 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 4062 4500000 PRN SOLE 4500000 0 0 PACIRA PHARMACEUTICALS INC NOTE 2.375% 4/0 695127AD2 2742 3000000 PRN SOLE 3000000 0 0 PALO ALTO NETWORKS INC NOTE 7/0 697435AB1 3636 2203000 PRN SOLE 2203000 0 0 PANDORA MEDIA INC NOTE 1.750%12/0 698354AB3 3641 4000000 PRN SOLE 4000000 0 0 PDC ENERGY INC NOTE 1.125% 9/1 69327RAD3 3399 3500000 PRN SOLE 3500000 0 0 PDL BIOPHARMA INC NOTE 2.750%12/0 69329YAG9 962 950000 PRN SOLE 950000 0 0 PENNYMAC CORP NOTE 5.375% 5/0 70932AAB9 6991 7000000 PRN SOLE 7000000 0 0 PEPSICO INC COM 713448108 462 4228 SH SOLE 4228 0 0 PERKINELMER INC COM 714046109 213 2809 SH SOLE 2809 0 0 PFIZER INC COM 717081103 822 23231 SH SOLE 23231 0 0 PHILIP MORRIS INTL INC COM 718172109 265 2663 SH SOLE 2663 0 0 PHOTRONICS INC NOTE 3.250% 4/0 719405AK8 829 800000 PRN SOLE 800000 0 0 PIONEER NAT RES CO COM 723787107 227 1323 SH SOLE 1323 0 0 PNC FINL SVCS GROUP INC COM 693475105 260 1728 SH SOLE 1728 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 4277 4438000 PRN SOLE 4438000 0 0 POWERSHARES ETF TRUST II SENIOR LN PORT 73936Q769 506 21906 SH SOLE 21906 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 24208 15078000 PRN SOLE 15078000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 21246 17023000 PRN SOLE 17023000 0 0 PROCTER AND GAMBLE CO COM 742718109 654 8245 SH SOLE 8245 0 0 PROOFPOINT INC DBCV 0.750% 6/1 743424AD5 4517 3092000 PRN SOLE 3092000 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347B201 893 24635 SH SOLE 24635 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 2497 110000 SH SOLE 110000 0 0 PROSPECT CAPITAL CORPORATION NOTE 4.750% 4/1 74348TAQ5 5263 5250000 PRN SOLE 5250000 0 0 QIAGEN NV DEBT 0.375% 3/1 N72482AA5 5185 4400000 PRN SOLE 4400000 0 0 QUIDEL CORP NOTE 3.250%12/1 74838JAA9 5928 3424000 PRN SOLE 3424000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 3030 3000000 PRN SOLE 3000000 0 0 RAMCO-GERSHENSON PPTYS TR PERP PFD-D CV 751452608 979 18912 SH SOLE 18912 0 0 RAYONIER ADVANCED MATLS INC PFD CV SER A 75508B203 3204 21327 SH SOLE 21327 0 0 RAYTHEON CO COM NEW 755111507 528 2459 SH SOLE 2459 0 0 RED HAT INC NOTE 0.250%10/0 756577AD4 18747 9271000 PRN SOLE 9271000 0 0 REDWOOD TR INC NOTE 4.625% 4/1 758075AB1 5353 5353000 PRN SOLE 5353000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 2908 3000000 PRN SOLE 3000000 0 0 RENEWABLE ENERGY GROUP INC NOTE 4.000% 6/1 75972AAC7 4193 3108000 PRN SOLE 3108000 0 0 ROYAL GOLD INC NOTE 2.875% 6/1 780287AA6 7081 6736000 PRN SOLE 6736000 0 0 RPM INTL INC NOTE 2.250%12/1 749685AT0 7612 6780000 PRN SOLE 6780000 0 0 RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 5130 4882000 PRN SOLE 4882000 0 0 SALESFORCE COM INC COM 79466L302 206 1783 SH SOLE 1783 0 0 SCHLUMBERGER LTD COM 806857108 245 3785 SH SOLE 3785 0 0 SEACOR HOLDINGS INC NOTE 3.000%11/1 81170YAB5 5884 6090000 PRN SOLE 6090000 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1675 33153 SH SOLE 33153 0 0 SERVICENOW INC NOTE 11/0 81762PAB8 5944 2662000 PRN SOLE 2662000 0 0 SILICON LABORATORIES INC NOTE 1.375% 3/0 826919AB8 9911 8565000 PRN SOLE 8565000 0 0 SILVER STD RES INC NOTE 2.875% 2/0 82823LAC0 5442 5500000 PRN SOLE 5500000 0 0 SOLARCITY CORP NOTE 1.625%11/0 83416TAC4 4107 4500000 PRN SOLE 4500000 0 0 SPDR SERIES TRUST S&P RETAIL ETF 78464A714 228 5117 SH SOLE 5117 0 0 SPIRIT RLTY CAP INC NEW NOTE 2.875% 5/1 84860WAA0 2442 2454000 PRN SOLE 2454000 0 0 SPIRIT RLTY CAP INC NEW NOTE 3.750% 5/1 84860WAB8 709 699000 PRN SOLE 699000 0 0 STANLEY BLACK & DECKER INC UNIT 05/15/2020 854502887 7074 61465 SH SOLE 61465 0 0 STARWOOD PPTY TR INC NOTE 4.000% 1/1 85571BAB1 78 72000 PRN SOLE 72000 0 0 STARWOOD WAYPOINT RESIDENTL NOTE 3.000% 7/0 85571WAB5 7858 6268000 PRN SOLE 6268000 0 0 SUNPOWER CORP DBCV 4.000% 1/1 867652AL3 2544 3198000 PRN SOLE 3198000 0 0 SUNTRUST BKS INC COM 867914103 542 7939 SH SOLE 7939 0 0 TCP CAP CORP NOTE 5.250%12/1 87238QAB9 2829 2750000 PRN SOLE 2750000 0 0 TERADYNE INC NOTE 1.250%12/1 880770AG7 4353 2859000 PRN SOLE 2859000 0 0 TESLA INC NOTE 0.250% 3/0 88160RAB7 9915 9941000 PRN SOLE 9941000 0 0 TESLA INC NOTE 1.250% 3/0 88160RAC5 3311 3334000 PRN SOLE 3334000 0 0 TESLA INC NOTE 2.375% 3/1 88160RAD3 3125 3000000 PRN SOLE 3000000 0 0 TEXAS INSTRS INC COM 882508104 384 3685 SH SOLE 3685 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 3042 3007000 PRN SOLE 3007000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 7332 6850000 PRN SOLE 6850000 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 368 1787 SH SOLE 1787 0 0 TIME WARNER INC COM NEW 887317303 255 2685 SH SOLE 2685 0 0 TJX COS INC NEW COM 872540109 284 3504 SH SOLE 3504 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 6450 4732000 PRN SOLE 4732000 0 0 TTM TECHNOLOGIES INC NOTE 1.750%12/1 87305RAD1 8558 5150000 PRN SOLE 5150000 0 0 TUTOR PERINI CORP NOTE 2.875% 6/1 901109AD0 1057 1002000 PRN SOLE 1002000 0 0 TWITTER INC NOTE 1.000% 9/1 90184LAD4 936 1000000 PRN SOLE 1000000 0 0 TWO HBRS INVT CORP NOTE 6.250% 1/1 90187BAA9 4731 4530000 PRN SOLE 4530000 0 0 UNION PAC CORP COM 907818108 456 3400 SH SOLE 3400 0 0 UNISYS CORP NOTE 5.500% 3/0 909214BS6 1270 967000 PRN SOLE 967000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 275 2189 SH SOLE 2189 0 0 UNITEDHEALTH GROUP INC COM 91324P102 870 4067 SH SOLE 4067 0 0 US BANCORP DEL COM NEW 902973304 230 4518 SH SOLE 4518 0 0 VEECO INSTRS INC DEL NOTE 2.700% 1/1 922417AD2 2723 3000000 PRN SOLE 3000000 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 17594 5106000 PRN SOLE 5106000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 646 13542 SH SOLE 13542 0 0 VIRTUS INVT PARTNERS INC PFD CV SER D 92828Q208 3560 33501 SH SOLE 33501 0 0 VISA INC COM CL A 92826C839 448 3749 SH SOLE 3749 0 0 WABASH NATL CORP NOTE 3.375% 5/0 929566AH0 2181 1232000 PRN SOLE 1232000 0 0 WALMART INC COM 931142103 281 3167 SH SOLE 3167 0 0 WAYFAIR INC NOTE 0.375% 9/0 94419LAA9 4759 5000000 PRN SOLE 5000000 0 0 WEATHERFORD INTL LTD NOTE 5.875% 7/0 947075AH0 5081 5669000 PRN SOLE 5669000 0 0 WELLS FARGO & CO MTNF 0.125% 3/1 94986RTK7 177 182000 PRN SOLE 182000 0 0 WELLS FARGO & CO MTNF 0.125% 2/2 94986RVY4 3786 3938000 PRN SOLE 3938000 0 0 WELLS FARGO CO NEW COM 949746101 497 9461 SH SOLE 9461 0 0 WELLS FARGO CO NEW PERP PFD CNV A 949746804 24245 18865 SH SOLE 18865 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 497 500000 PRN SOLE 500000 0 0 WORKDAY INC NOTE 0.750% 7/1 98138HAC5 4724 3112000 PRN SOLE 3112000 0 0 WRIGHT MED GROUP INC NOTE 2.000% 2/1 98235TAE7 7443 7507000 PRN SOLE 7507000 0 0 WRIGHT MED GROUP N V NOTE 2.250%11/1 98236JAB4 3747 3300000 PRN SOLE 3300000 0 0 YAHOO INC NOTE 12/0 984332AF3 12184 8719000 PRN SOLE 8719000 0 0 YANDEX NV NOTE 1.125%12/1 98474TAB3 4021 3973000 PRN SOLE 3973000 0 0 ZILLOW GROUP INC NOTE 2.000%12/0 98954MAB7 4748 3895000 PRN SOLE 3895000 0 0