13F-HR 1 ssi3q09.txt FORM 13F HOLDINGS REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2009 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: SSI Investment Management Address: 9440 Santa Monica Blvd. 8th Fl Beverly Hills, CA 90210 13F File Number: 28-04720 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Syed Mehdi Title: Chief Operating Officer & Chief Compliance Officer Phone: 310.595.2001 Signature, Place, and Date of Signing: Syed Mehdi Beverly Hills, CA November 12, 2009 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form13F Information Table Entry Total: 494 Form13F Information Table Value Total: $1,099,975 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3COM CORP COM 885535104 1 191 SH SOLE 191 0 0 3M CO COM 88579Y101 2 21 SH SOLE 21 0 0 AB VOLVO COM 928856400 1 60 SH SOLE 60 0 0 ABBOTT LABS COM 2824100 1273 25733 SH SOLE 25733 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 4 116 SH SOLE 116 0 0 ACE LTD SHS H0023R105 1504 28139 SH SOLE 28139 0 0 ADVANCED MICRO DEVICES INC NOTE 6.000% 5/0 007903AL1 4314 5761000 PRN DEFINED 0 0 5761000 ADVANCED MICRO DEVICES INC NOTE 6.000% 5/0 007903AL1 2134 2850000 PRN SOLE 2850000 0 0 AETNA INC NEW COM 00817Y108 1483 53275 SH SOLE 53275 0 0 AFFILIATED COMPUTER SRV COM 8190100 2 40 SH SOLE 40 0 0 AFFILIATED MGRS CVT PFD 5.10% / $2.55 00169X203 3337 89420 SH DEFINED 0 0 89420 AIRGAS INC COM 9363102 901 18619 SH SOLE 18619 0 0 AKAMAI TECHNOLOGIES INC NOTE 1.000%12/1 00971TAE1 2022 1484000 PRN DEFINED 0 0 1484000 ALCOA INC NOTE 5.250% 3/1 013817AT8 1712 778000 PRN DEFINED 0 0 778000 ALEXANDRIA RLTY CVT SR NT 144A 3.700% 01-15-2 015271AA7 605 650000 PRN DEFINED 0 0 650000 ALEXANDRIA RLTY CVT SR NT 144A 8.000% 04-15-2 015271AB5 627 415000 PRN DEFINED 0 0 415000 ALLEGHANY CORP DEL COM 017175100 900 3476 SH DEFINED 0 0 3476 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 2246 1891000 PRN DEFINED 0 0 1891000 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 6531 5500000 PRN SOLE 5500000 0 0 ALLERGAN INC NOTE 1.500% 4/0 018490AL6 2393 2132000 PRN DEFINED 0 0 2132000 ALLIANCE DATA CVT SR NTS 144A 4.750% 05-15-2 018581AB4 2601 1800000 PRN DEFINED 0 0 1800000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 9/1 018804AN4 1945 1900000 PRN DEFINED 0 0 1900000 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 2548 2597000 PRN DEFINED 0 0 2597000 ALPHA NATURAL RESOURCES INC COM 02076X102 1719 48964 SH SOLE 48964 0 0 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 2184 49825 SH SOLE 49825 0 0 AMERICAN MED SYS CVT SR NTS 4.000% 09-15-2 02744MAB4 1805 1654000 PRN DEFINED 0 0 1654000 AMERICAN MED SYS HLDGS INC COM 02744M108 1 54 SH SOLE 54 0 0 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 276 262000 PRN DEFINED 0 0 262000 AMERICAN SUPERCONDUCTOR COM 30111108 1 29 SH SOLE 29 0 0 AMERICAN TOWER CORP COM 29912201 441 12115 SH SOLE 12115 0 0 AMERIGROUP CORP NOTE 2.000% 5/1 03073TAB8 2693 3000000 PRN SOLE 3000000 0 0 AMERIPRISE FINL INC COM 03076C106 5 144 SH SOLE 144 0 0 AMG 5.15% 10/15/37 PFD PREFER 00170F209 12375 375000 SH SOLE 375000 0 0 AMGEN INC COM 31162100 524 8700 SH SOLE 8700 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 4166 4120000 PRN DEFINED 0 0 4120000 AMGEN INC NOTE 0.125% 2/0 031162AN0 1058 1061000 PRN DEFINED 0 0 1061000 AMKOR TECH CVT SR NTS 144AII 6.000% 04-15-2 031652AY6 608 250000 PRN DEFINED 0 0 250000 AMMD 4.00% 9/15/2041 CONVER 02744MAB4 6806 6237000 SH SOLE 6237000 0 0 AMR 6.25% 10/15/2014 CONVER 001765BC9 4225 4000000 SH SOLE 4000000 0 0 AMR CORPORATION CVT SR NTS 6.250% 10-15-2 001765BC9 1003 950000 PRN DEFINED 0 0 950000 ANADARKO PETEROLEUM COM 32511107 1317 20994 SH SOLE 20994 0 0 ANALOG DEVICES INC COM 32654105 1 34 SH SOLE 34 0 0 ANGLOGOLD ASHANTI LTD COM 35128206 1 20 SH SOLE 20 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 1887 2948000 PRN DEFINED 0 0 2948000 ANNALY CAPITAL MGMT COM 35710409 505 27839 SH SOLE 27839 0 0 APOLLO GROUP INC COM 37604105 1768 24002 SH SOLE 24002 0 0 APOLLO INVT CORP COM 03761U106 427 44726 SH SOLE 44726 0 0 APPLE COMPUTER INC COM 37833100 3623 19548 SH SOLE 19548 0 0 APPLIED MATERIALS COM 38222105 56 4150 SH SOLE 4150 0 0 ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 0 12 SH SOLE 12 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 2544 1762000 PRN DEFINED 0 0 1762000 ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 338 8560 SH DEFINED 0 0 8560 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 202 207000 PRN DEFINED 0 0 207000 ARE 7.00% PFD SERIES D PREFER 15271505 10919 566624 SH SOLE 566624 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 973 945000 PRN DEFINED 0 0 945000 ARVINMERITOR INC NOTE 4.625% 3/0 043353AF8 801 1065000 PRN DEFINED 0 0 1065000 ARVINMERITOR INC NOTE 4.625% 3/0 043353AF8 1881 2500000 PRN SOLE 2500000 0 0 ASHLAND INC COM 44209104 1 30 SH SOLE 30 0 0 ASSURED GUARANTY CVT EQY UNITS 8.50% / $4.25 G0585R122 1819 22025 SH DEFINED 0 0 22025 ASTRAZENECA PLC ADR COM 46353108 2 36 SH SOLE 36 0 0 AU OPTRONICS CORP COM 2255107 1 90 SH SOLE 90 0 0 BAC 7.25% PFD PREFER 60505682 2125 2500 SH SOLE 2500 0 0 BAC CAP TRUST II 7% PFD PREFER 55188205 11 500 SH SOLE 500 0 0 BAC CAP TRUST III 7% PFD PREFER 05518E202 2 100 SH SOLE 100 0 0 BALL CORP COM 58498106 699 14213 SH SOLE 14213 0 0 BANK OF AMER NON CUM CVT PFD 7.25% / $72.50 060505682 4673 5498 SH DEFINED 0 0 5498 BANKAMERICA CORP NEW COM 60505104 1309 77386 SH SOLE 77386 0 0 BASF SE COM 55262505 1 28 SH SOLE 28 0 0 BAXTER TRAVENOL LABS COM 71813109 1039 18217 SH SOLE 18217 0 0 BECKMAN COULTER CVT SR NT 144A 2.500% 12-15-2 075811AC3 1034 900000 PRN DEFINED 0 0 900000 BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 2679 2332000 PRN DEFINED 0 0 2332000 BEST BUY INC COM 86516101 2 60 SH SOLE 60 0 0 BG 5.125% 12/1/10 PFD PREFER G16962113 7844 12500 SH SOLE 12500 0 0 BHP BILLITON PLC SPONSORED ADR 05545E209 0 9 SH SOLE 9 0 0 BIOTECH HOLDRS TR DEPOSTRY RCPTS 09067D201 30 300 SH SOLE 300 0 0 BIOVAIL CORP CVT SR NTS 144A 5.375% 08-01-2 09067JAC3 607 489000 PRN DEFINED 0 0 489000 BLACKBOARD INC COM 91935502 1 28 SH SOLE 28 0 0 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 5981 2745000 SH DEFINED 0 0 2745000 BLOCK H R INC COM 93671105 904 49174 SH SOLE 49174 0 0 BMC SOFTWARE INC COM 55921100 154 4095 SH SOLE 4095 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 1872 1525000 PRN DEFINED 0 0 1525000 BP PLC COM 55622104 3 60 SH SOLE 60 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 1257 55817 SH SOLE 55817 0 0 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NOTE 1.125% 5/0 161133AE3 2186 3000000 PRN SOLE 3000000 0 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 1194 42124 SH SOLE 42124 0 0 CHEMED CORP NEW NOTE 1.875% 5/1 16359RAC7 6967 8470000 PRN SOLE 8470000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167CA3 3523 3905000 PRN DEFINED 0 0 3905000 CHESAPEAKE ENERGY CORP NOTE 2.250%12/1 165167CB1 1727 2310000 PRN DEFINED 0 0 2310000 CHESAPEAKE ENERGY CORP NOTE 2.250%12/1 165167CB1 11747 15715000 PRN SOLE 15715000 0 0 CHEVRON CORP NEW COM 166764100 25 350 SH SOLE 350 0 0 CHINA OVERS FIN CSN EURO 0.000% 05-14-2 G2155Z104 2140 1700000 SH DEFINED 0 0 1700000 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 1985 2000000 PRN SOLE 2000000 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 2475 3593000 PRN DEFINED 0 0 3593000 CIENA CORP NOTE 0.875% 6/1 171779AE1 13775 20000000 PRN SOLE 20000000 0 0 CINTAS CORP COM 172908105 1 42 SH SOLE 42 0 0 CISCO SYS INC COM 17275R102 1991 84562 SH SOLE 84562 0 0 CITI CAP VII 7.125% PFD PREFER 17306N203 10 500 SH SOLE 500 0 0 CITIGROUP INC COM 172967101 6841 1413503 SH DEFINED 0 0 1413503 CITIGROUP INC COM 172967101 217 44735 SH SOLE 44735 0 0 CITRIX SYS INC COM 177376100 73 1850 SH SOLE 1850 0 0 COINSTAR INC CVT SR NTS 4.000% 09-01-2 19259PAF9 2395 2205000 PRN DEFINED 0 0 2205000 COMMUNITY HEALTH SYS INC NEW COM 203668108 1 30 SH SOLE 30 0 0 COMPASS MINERALS INTL INC COM 20451N101 116 1875 SH SOLE 1875 0 0 COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 1980 1758000 PRN DEFINED 0 0 1758000 COMPUTER PROGRAMS & SYS INC COM 205306103 1 25 SH SOLE 25 0 0 COMTECH TELECOM CVT SR NT 144A 3.000% 05-01-2 205826AE0 779 700000 SH DEFINED 0 0 700000 CONOCOPHILLIPS COM 20825C104 754 16696 SH SOLE 16696 0 0 CONSOLIDATED EDISON INC COM 209115104 67 1625 SH SOLE 1625 0 0 CONTINENTAL AIRLS INC NOTE 5.000% 6/1 210795PJ3 1326 1249000 PRN DEFINED 0 0 1249000 COOPER COS INC COM NEW 216648402 1 30 SH SOLE 30 0 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 2604 2172000 PRN DEFINED 0 0 2172000 CORPORATE OFFICE PPTYS 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2359 2207000 SH DEFINED 0 0 2207000 INTERNATIONAL BUSINESS MACHS COM 459200101 3811 31860 SH SOLE 31860 0 0 INTERNATIONAL COAL GRP INC N NOTE 9.000% 8/0 45928HAD8 6931 6500000 PRN SOLE 6500000 0 0 INTERNATIONAL GAME TECHNOLOG DBCV 2.600%12/1 459902AP7 290 290000 SH DEFINED 0 0 290000 INTERPUBLIC GRP CVT PFD 5.25% / $52.50 460690803 1361 1815 SH DEFINED 0 0 1815 INTL GAME TECH CVT SR NTS 144A 3.250% 05-01-2 459902AQ5 1316 1004000 PRN DEFINED 0 0 1004000 INVACARE CORP SDCV 4.125% 2/0 461203AD3 5693 5352000 SH SOLE 5352000 0 0 INVERNESS MED INNOVATIONS IN PFD CONV SER B 46126P304 10495 41158 SH SOLE 41158 0 0 INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 2278 1979000 PRN DEFINED 0 0 1979000 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 2686 2443000 PRN DEFINED 0 0 2443000 IPG 5.25% 12/31/49 PFD PREFER 460690803 18750 25000 SH SOLE 25000 0 0 ISHARES TR INDEX NASDQ BIO INDX 464287556 612 7520 SH SOLE 7520 0 0 ISHARES TR INDEX MSCI EAFE IDX 464287465 541 9895 SH SOLE 9895 0 0 ISHARES TR INDEX DJ SEL 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