13F-HR 1 ssi1q10.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: March 31, 2010 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 May 13, 2010 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: 303 Form13F Information Table Value Total: $939,834 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO NOTE 11/2 88579YAB7 494 545000 PRN SOLE 545000 0 0 3M CO COM 88579Y101 2206 26400 SH SOLE 26400 0 0 A D C TELECOMMUNICATIONS NOTE 3.500% 7/1 000886AF8 5607 7500000 PRN SOLE 7500000 0 0 AAR CORP COM 000361105 3143 126732 SH SOLE 126732 0 0 AAR CORP NOTE 1.750% 2/0 000361AH8 544 528000 PRN SOLE 528000 0 0 ABBOTT LABS COM 002824100 2181 41430 SH SOLE 41430 0 0 ADVANCED MICRO DEVICES INC NOTE 6.000% 5/0 007903AL1 4220 4400000 PRN SOLE 4400000 0 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 2636 2668000 PRN SOLE 2668000 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1711 1598000 PRN SOLE 1598000 0 0 AKAMAI TECHNOLOGIES INC NOTE 1.000%12/1 00971TAE1 2692 1326000 PRN SOLE 1326000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 2685 1161000 PRN SOLE 1161000 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 4388 2998000 PRN SOLE 2998000 0 0 ALLERGAN INC COM 018490102 1391 21285 SH SOLE 21285 0 0 ALLERGAN INC NOTE 1.500% 4/0 018490AL6 7759 6793000 PRN SOLE 6793000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 2030 2000000 PRN SOLE 2000000 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 2296 2141000 PRN SOLE 2141000 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 2146 43114 SH SOLE 43114 0 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 3738 3193000 PRN SOLE 3193000 0 0 ALZA CORP SDCV 7/2 02261WAB5 54 57000 PRN SOLE 57000 0 0 AMAZON COM INC COM 023135106 2611 19221 SH SOLE 19221 0 0 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 286 262000 PRN SOLE 262000 0 0 AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 9391 8010000 PRN SOLE 8010000 0 0 AMERICAN TOWER CORP CL A 029912201 519 12155 SH SOLE 12155 0 0 AMERICREDIT CORP NOTE 2.125% 9/1 03060RAR2 4066 4197000 PRN SOLE 4197000 0 0 AMGEN INC COM 031162100 1987 33200 SH SOLE 33200 0 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 1830 1848000 PRN SOLE 1848000 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 3295 3250000 PRN SOLE 3250000 0 0 AMR CORP NOTE 6.250%10/1 001765BC9 6065 5244000 PRN SOLE 5244000 0 0 AMYLIN PHARMACEUTICALS INC NOTE 3.000% 6/1 032346AF5 1782 2000000 PRN SOLE 2000000 0 0 ANADARKO PETE CORP COM 032511107 1086 14918 SH SOLE 14918 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 70 98000 PRN SOLE 98000 0 0 ANNALY CAP MGMT INC COM 035710409 2059 119823 SH SOLE 119823 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 3532 3500000 PRN SOLE 3500000 0 0 APOLLO INVT CORP COM 03761U106 851 66933 SH SOLE 66933 0 0 APPLE INC COM 037833100 6353 27031 SH SOLE 27031 0 0 APPLIED MATLS INC COM 038222105 2726 202450 SH SOLE 202450 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 2160 1361000 PRN SOLE 1361000 0 0 ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 2256 55200 SH SOLE 55200 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 2134 2152000 PRN SOLE 2152000 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 2280 78930 SH SOLE 78930 0 0 ARVINMERITOR INC NOTE 4.625% 3/0 043353AF8 1366 1425000 PRN SOLE 1425000 0 0 AVALONBAY CMNTYS INC COM 053484101 253 2927 SH SOLE 2927 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 11381 11669 PRN SOLE 11669 0 0 BANK OF AMERICA CORPORATION COM 060505104 3745 209700 SH SOLE 209700 0 0 BAXTER INTL INC COM 071813109 1940 33366 SH SOLE 33366 0 0 BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 6410 5723000 PRN SOLE 5723000 0 0 BEMIS INC COM 081437105 2187 76177 SH SOLE 76177 0 0 BEST BUY INC SDCV 2.250% 1/1 086516AF8 151 135000 PRN SOLE 135000 0 0 BHP BILLITON LTD SPONSORED ADR 088606108 580 7219 SH SOLE 7219 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 490 383000 PRN SOLE 383000 0 0 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 3913 1778000 PRN SOLE 1778000 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 840 642000 PRN SOLE 642000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 40 40000 PRN SOLE 40000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 153 145000 PRN SOLE 145000 0 0 BRE PROPERTIES INC NOTE 4.125% 8/1 05564EBH8 180 180000 PRN SOLE 180000 0 0 BRIGGS & STRATTON CORP COM 109043109 1636 83750 SH SOLE 83750 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 2347 87939 SH SOLE 87939 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 2118 49452 SH SOLE 49452 0 0 CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 7438 5625000 PRN SOLE 5625000 0 0 CARBO CERAMICS INC COM 140781105 353 5657 SH SOLE 5657 0 0 CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 1334 1245000 PRN SOLE 1245000 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 4040 4500000 PRN SOLE 4500000 0 0 CENTURYTEL INC COM 156700106 2977 83969 SH SOLE 83969 0 0 CEPHALON INC NOTE 2.500% 5/0 156708AR0 4328 3747000 PRN SOLE 3747000 0 0 CERNER CORP COM 156782104 2702 31804 SH SOLE 31804 0 0 CHARMING SHOPPES INC NOTE 1.125% 5/0 161133AE3 4291 5500000 PRN SOLE 5500000 0 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 3421 97564 SH SOLE 97564 0 0 CHEMED CORP NEW NOTE 1.875% 5/1 16359RAC7 4956 5423000 PRN SOLE 5423000 0 0 CHEVRON CORP NEW COM 166764100 313 4125 SH SOLE 4125 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 4155 4228000 PRN SOLE 4228000 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 5627 8336000 PRN SOLE 8336000 0 0 CISCO SYS INC COM 17275R102 3792 145646 SH SOLE 145646 0 0 CITIGROUP INC COM 172967101 836 206300 SH SOLE 206300 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 9251 75980 SH SOLE 75980 0 0 COGENT COMM GROUP INC NOTE 1.000% 6/1 19239VAB0 2108 3000000 PRN SOLE 3000000 0 0 COLGATE PALMOLIVE CO COM 194162103 2332 27345 SH SOLE 27345 0 0 COMCAST CORP NEW CL A 20030N101 274 14565 SH SOLE 14565 0 0 CONOCOPHILLIPS COM 20825C104 2540 49652 SH SOLE 49652 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 889 688000 PRN SOLE 688000 0 0 CONTINENTAL AIRLS INC NOTE 5.000% 6/1 210795PJ3 16 14000 PRN SOLE 14000 0 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 2443 1717000 PRN SOLE 1717000 0 0 CORPORATE OFFICE PPTYS TR SH BEN INT 22002T108 746 18593 SH SOLE 18593 0 0 CSX CORP DBCV 10/3 126408GA5 1250 690000 PRN SOLE 690000 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 5397 4674000 PRN SOLE 4674000 0 0 DEVON ENERGY CORP NEW COM 25179M103 253 3915 SH SOLE 3915 0 0 DIGITAL RLTY TR INC COM 253868103 619 11417 SH SOLE 11417 0 0 DIRECTV COM CL A 25490A101 1569 46400 SH SOLE 46400 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 224 191000 PRN SOLE 191000 0 0 E M C CORP MASS COM 268648102 3999 221590 SH SOLE 221590 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 7317 6040000 PRN SOLE 6040000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 3799 3036000 PRN SOLE 3036000 0 0 E TRADE FINANCIAL CORP NOTE 8/3 269246AZ7 2299 1440000 PRN SOLE 1440000 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 406 9899 SH SOLE 9899 0 0 EQUINIX INC NOTE 2.500% 4/1 29444UAF3 2949 2804000 PRN SOLE 2804000 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 7362 7051000 PRN SOLE 7051000 0 0 ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 26884AAV5 201 200000 PRN SOLE 200000 0 0 EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 4418 4700000 PRN SOLE 4700000 0 0 EXELON CORP COM 30161N101 1637 37360 SH SOLE 37360 0 0 EXPEDIA INC DEL COM 30212P105 3124 125211 SH SOLE 125211 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 5159 4165000 PRN SOLE 4165000 0 0 EXXON MOBIL CORP COM 30231G102 4134 61725 SH SOLE 61725 0 0 F5 NETWORKS INC COM 315616102 2698 43745 SH SOLE 43745 0 0 FEDEX CORP COM 31428X106 4193 44897 SH SOLE 44897 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 1733 12175 PRN SOLE 12175 0 0 FIRSTENERGY CORP COM 337932107 1188 30400 SH SOLE 30400 0 0 FISHER SCIENTIFIC INTL INC NOTE 3.250% 3/0 338032AX3 6277 4673000 PRN SOLE 4673000 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 33 20000 PRN SOLE 20000 0 0 FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 10442 225050 SH SOLE 225050 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 7888 5280000 PRN SOLE 5280000 0 0 FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 48 33000 PRN SOLE 33000 0 0 FOSSIL INC COM 349882100 1243 32920 SH SOLE 32920 0 0 FPL GROUP INC COM 302571104 227 4707 SH SOLE 4707 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 1295 15515 SH SOLE 15515 0 0 FREEPORT-MCMORAN COPPER & GO PFD CONV 35671D782 4460 38485 SH SOLE 38485 0 0 GENERAL ELECTRIC CO COM 369604103 5139 282375 SH SOLE 282375 0 0 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 3442 2854000 PRN SOLE 2854000 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 716 567000 PRN SOLE 567000 0 0 GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 4580 7072000 PRN SOLE 7072000 0 0 GMX RES INC NOTE 5.000% 2/0 38011MAB4 1810 2250000 PRN SOLE 2250000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 1899 11121 SH SOLE 11121 0 0 GOOGLE INC CL A 38259P508 4640 8176 SH SOLE 8176 0 0 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 1923 30330 SH SOLE 30330 0 0 GREIF INC CL A 397624107 1543 28100 SH SOLE 28100 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 2541 3076000 PRN SOLE 3076000 0 0 GROUP 1 AUTOMOTIVE INC COM 398905109 1051 33000 SH SOLE 33000 0 0 HALLIBURTON CO COM 406216101 3666 121632 SH SOLE 121632 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 2460 86496 SH SOLE 86496 0 0 HASBRO INC DBCV 2.750%12/0 418056AN7 1885 1065000 PRN SOLE 1065000 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 1691 1512000 PRN SOLE 1512000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 3178 2250000 PRN SOLE 2250000 0 0 HEWLETT PACKARD CO COM 428236103 5708 107392 SH SOLE 107392 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 8504 9500000 PRN SOLE 9500000 0 0 HOSPITALITY PPTYS TR NOTE 3.800% 3/1 44106MAK8 304 305000 PRN SOLE 305000 0 0 HUMAN GENOME SCIENCES INC COM 444903108 847 28065 SH SOLE 28065 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 1577 877000 PRN SOLE 877000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 960 480000 PRN SOLE 480000 0 0 ICONIX BRAND GROUP INC NOTE 1.875% 6/3 451055AB3 1407 1511000 PRN SOLE 1511000 0 0 ILLINOIS TOOL WKS INC COM 452308109 3434 72525 SH SOLE 72525 0 0 INFORMATICA CORP NOTE 3.000% 3/1 45666QAB8 1752 1265000 PRN SOLE 1265000 0 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 3039 1523000 PRN SOLE 1523000 0 0 INTEL CORP COM 458140100 4200 188592 SH SOLE 188592 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 4008 4085000 PRN SOLE 4085000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 6367 49648 SH SOLE 49648 0 0 INTERNATIONAL COAL GRP INC N NOTE 9.000% 8/0 45928HAD8 7517 6515000 PRN SOLE 6515000 0 0 INTERPUBLIC GROUP COS INC COM 460690100 1418 170425 SH SOLE 170425 0 0 INTUITIVE SURGICAL INC COM NEW 46120E602 836 2400 SH SOLE 2400 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 5146 4261000 PRN SOLE 4261000 0 0 INVERNESS MED INNOVATIONS IN NOTE 3.000% 5/1 46126PAD8 2994 2745000 PRN SOLE 2745000 0 0 INVERNESS MED INNOVATIONS IN PFD CONV SER B 46126P304 7828 29316 SH SOLE 29316 0 0 INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 2486 2117000 PRN SOLE 2117000 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 3130 2669000 PRN SOLE 2669000 0 0 ISHARES TR INDEX DJ SEL DIV INX 464287168 961 20880 SH SOLE 20880 0 0 ISHARES TR INDEX NASDQ BIO INDX 464287556 606 6670 SH SOLE 6670 0 0 ISHARES TR INDEX RUSSELL 2000 464287655 1118 16494 SH SOLE 16494 0 0 ISHARES TR INDEX MSCI EAFE IDX 464287465 585 10430 SH SOLE 10430 0 0 ITRON INC NOTE 2.500% 8/0 465741AJ5 2484 2038000 PRN SOLE 2038000 0 0 JABIL CIRCUIT INC COM 466313103 1957 120869 SH SOLE 120869 0 0 JARDEN CORP COM 471109108 4192 125950 SH SOLE 125950 0 0 JDA SOFTWARE GROUP INC COM 46612K108 3007 108102 SH SOLE 108102 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 2278 2291000 PRN SOLE 2291000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 396 286000 PRN SOLE 286000 0 0 JONES APPAREL GROUP INC COM 480074103 1723 90600 SH SOLE 90600 0 0 JPMORGAN CHASE & CO COM 46625H100 5177 115650 SH SOLE 115650 0 0 KELLOGG CO COM 487836108 1362 25500 SH SOLE 25500 0 0 KIMBERLY CLARK CORP COM 494368103 660 10500 SH SOLE 10500 0 0 KINETIC CONCEPTS INC COM NEW 49460W208 2480 51872 SH SOLE 51872 0 0 KING PHARMACEUTICALS INC NOTE 1.250% 4/0 495582AJ7 1837 2000000 PRN SOLE 2000000 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 6701 5495000 PRN SOLE 5495000 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 2476 2353000 PRN SOLE 2353000 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 2092 2060000 PRN SOLE 2060000 0 0 LEAP WIRELESS INTL INC NOTE 4.500% 7/1 521863AL4 5124 5890000 PRN SOLE 5890000 0 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 2203 2077000 PRN SOLE 2077000 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 9477 9500000 PRN SOLE 9500000 0 0 LOEWS CORP COM 540424108 746 20000 SH SOLE 20000 0 0 LORILLARD INC COM 544147101 2329 30930 SH SOLE 30930 0 0 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 379 278000 PRN SOLE 278000 0 0 MAXTOR CORP NOTE 2.375% 8/1 577729AE6 2849 2444000 PRN SOLE 2444000 0 0 MCDONALDS CORP COM 580135101 1524 22853 SH SOLE 22853 0 0 MCKESSON CORP COM 58155Q103 2925 44501 SH SOLE 44501 0 0 MEDASSETS INC COM 584045108 3440 163778 SH SOLE 163778 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 2771 2620000 PRN SOLE 2620000 0 0 MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 1920 1890000 PRN SOLE 1890000 0 0 MENTOR GRAPHICS CORP SDCV 6.250% 3/0 587200AF3 4850 5000000 PRN SOLE 5000000 0 0 MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 13520 11718000 PRN SOLE 11718000 0 0 MICRON TECHNOLOGY INC COM 595112103 677 65275 SH SOLE 65275 0 0 MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 10105 10567000 PRN SOLE 10567000 0 0 MICRON TECHNOLOGY INC NOTE 4.250%10/1 595112AJ2 3253 1509000 PRN SOLE 1509000 0 0 MICROSOFT CORP COM 594918104 5407 184615 SH SOLE 184615 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 8326 9000000 PRN SOLE 9000000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1768 1628000 PRN SOLE 1628000 0 0 MORGAN STANLEY COM NEW 617446448 2415 82460 SH SOLE 82460 0 0 MURPHY OIL CORP COM 626717102 2836 50424 SH SOLE 50424 0 0 MYLAN INC COM 628530107 4028 177308 SH SOLE 177308 0 0 MYLAN INC NOTE 1.250% 3/1 628530AG2 2794 2517000 PRN SOLE 2517000 0 0 MYLAN INC PFD CONV 628530206 4108 3002 SH SOLE 3002 0 0 NABORS INDS INC NOTE 0.940% 5/1 629568AP1 74 75000 PRN SOLE 75000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 472 11660 SH SOLE 11660 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 38 35000 PRN SOLE 35000 0 0 NEKTAR THERAPEUTICS NOTE 3.250% 9/2 640268AH1 5000 5000000 PRN SOLE 5000000 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 1896 1620000 PRN SOLE 1620000 0 0 NEWELL RUBBERMAID INC NOTE 5.500% 3/1 651229AH9 2475 1318000 PRN SOLE 1318000 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 969 755000 PRN SOLE 755000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 646 500000 PRN SOLE 500000 0 0 NEWMONT MINING CORP NOTE 3.000% 2/1 651639AK2 5307 4191000 PRN SOLE 4191000 0 0 NII HLDGS INC CL B NEW 62913F201 2178 52245 SH SOLE 52245 0 0 NORFOLK SOUTHERN CORP COM 655844108 2833 50695 SH SOLE 50695 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 2305 2131000 PRN SOLE 2131000 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 6427 5128000 PRN SOLE 5128000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 5337 130500 SH SOLE 130500 0 0 OMNICOM GROUP INC NOTE 7/0 681919AT3 4177 4218000 PRN SOLE 4218000 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 23 18000 PRN SOLE 18000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 2154 2110000 PRN SOLE 2110000 0 0 PACTIV CORP COM 695257105 2889 114724 SH SOLE 114724 0 0 PATTERSON UTI ENERGY INC COM 703481101 501 35830 SH SOLE 35830 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 4777 4449000 PRN SOLE 4449000 0 0 PENN VA CORP NOTE 4.500%11/1 707882AA4 2264 2408000 PRN SOLE 2408000 0 0 PHOTRONICS INC NOTE 5.500%10/0 719405AF9 2487 1996000 PRN SOLE 1996000 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 6143 5350000 PRN SOLE 5350000 0 0 PNC FINL SVCS GROUP INC COM 693475105 2282 38201 SH SOLE 38201 0 0 PRICELINE COM INC NOTE 0.500% 9/3 741503AK2 2241 355000 PRN SOLE 355000 0 0 PRIDE INTL INC DEL COM 74153Q102 594 19709 SH SOLE 19709 0 0 PROCTER & GAMBLE CO COM 742718109 4128 65231 SH SOLE 65231 0 0 PROLOGIS NOTE 2.250% 4/0 743410AQ5 2028 2085000 PRN SOLE 2085000 0 0 PROLOGIS NOTE 2.625% 5/1 743410AS1 204 216000 PRN SOLE 216000 0 0 PROLOGIS NOTE 3.250% 3/1 743410AY8 2109 2095000 PRN SOLE 2095000 0 0 PROTECTIVE LIFE CORP COM 743674103 2107 95800 SH SOLE 95800 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 2938 99505 SH SOLE 99505 0 0 RAMBUS INC DEL NOTE 5.000% 6/1 750917AC0 2337 1695000 PRN SOLE 1695000 0 0 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 2817 2583000 PRN SOLE 2583000 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 2194 279330 SH SOLE 279330 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 946 692000 PRN SOLE 692000 0 0 RIVERBED TECHNOLOGY INC COM 768573107 2406 84747 SH SOLE 84747 0 0 RUBY TUESDAY INC COM 781182100 826 78246 SH SOLE 78246 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 4083 4316000 PRN SOLE 4316000 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 2806 3250000 PRN SOLE 3250000 0 0 SBA COMMUNICATIONS CORP NOTE 0.375%12/0 78388JAJ5 1964 1736000 PRN SOLE 1736000 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 2323 1814000 PRN SOLE 1814000 0 0 SCHLUMBERGER LTD DBCV 2.125% 6/0 806857AD0 2522 1595000 PRN SOLE 1595000 0 0 SCHLUMBERGER LTD COM 806857108 564 8875 SH SOLE 8875 0 0 SHENGDA TECH INC COM 823213103 265 35396 SH SOLE 35396 0 0 SIMON PPTY GROUP INC NEW PFD CONV I 6% 828806802 3016 42386 SH SOLE 42386 0 0 SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 3236 1920000 PRN SOLE 1920000 0 0 SMITH INTL INC COM 832110100 1499 35000 SH SOLE 35000 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 4300 3756000 PRN SOLE 3756000 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 1544 1400000 PRN SOLE 1400000 0 0 SOUTHWESTERN ENERGY CO COM 845467109 2886 70965 SH SOLE 70965 0 0 SPDR S&P 500 ETF TR UNIT SER 1 S&P 78462F103 54844 468750 SH SOLE 468750 0 0 SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 476 3325 SH SOLE 3325 0 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 26 26000 PRN SOLE 26000 0 0 STATE STR CORP COM 857477103 2504 55517 SH SOLE 55517 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 5732 4660000 PRN SOLE 4660000 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 2645 2504000 PRN SOLE 2504000 0 0 SYBASE INC COM 871130100 3249 69641 SH SOLE 69641 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 2411 2270000 PRN SOLE 2270000 0 0 SYMANTEC CORP NOTE 0.750% 6/1 871503AD0 2003 1930000 PRN SOLE 1930000 0 0 TECH DATA CORP DBCV 2.750%12/1 878237AE6 3388 3252000 PRN SOLE 3252000 0 0 TELECOMMUNICATION SYS INC CL A 87929J103 656 89304 SH SOLE 89304 0 0 TERADYNE INC NOTE 4.500% 3/1 880770AE2 8819 4069000 PRN SOLE 4069000 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 2505 1610000 PRN SOLE 1610000 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 9432 7311000 PRN SOLE 7311000 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.250% 2/0 88164RAB3 1728 950000 PRN SOLE 950000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 431 317000 PRN SOLE 317000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 2229 35330 SH SOLE 35330 0 0 TEXAS CAPITAL BANCSHARES INC COM 88224Q107 1833 96500 SH SOLE 96500 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 3677 2121000 PRN SOLE 2121000 0 0 THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 6497 7616000 PRN SOLE 7616000 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 541 10527 SH SOLE 10527 0 0 THORATEC CORP NOTE 1.380% 5/1 885175AB5 1699 1702000 PRN SOLE 1702000 0 0 TIME WARNER INC COM NEW 887317303 2846 90993 SH SOLE 90993 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 6833 6000000 PRN SOLE 6000000 0 0 TJX COS INC NEW COM 872540109 3031 71234 SH SOLE 71234 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 2746 2867000 PRN SOLE 2867000 0 0 TRANSOCEAN INC NOTE 1.625%12/1 893830AU3 93 93000 PRN SOLE 93000 0 0 TRANSOCEAN LTD REG SHS H8817H100 2405 27834 SH SOLE 27834 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 8229 10500000 PRN SOLE 10500000 0 0 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 2450 1829000 PRN SOLE 1829000 0 0 TYSON FOODS INC NOTE 3.250%10/1 902494AP8 908 710000 PRN SOLE 710000 0 0 UAL CORP NOTE 6.000%10/1 902549AJ3 3331 1383000 PRN SOLE 1383000 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 7853 3738000 PRN SOLE 3738000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 3718 50471 SH SOLE 50471 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1839 56300 SH SOLE 56300 0 0 URS CORP NEW COM 903236107 3094 62412 SH SOLE 62412 0 0 US BANCORP DEL COM NEW 902973304 1525 58885 SH SOLE 58885 0 0 VALE CAP II VALEP 6.75%12 91912F300 2343 25785 PRN SOLE 25785 0 0 VALEANT PHARMACEUTICALS INTL NOTE 4.000%11/1 91911XAD6 53 38000 PRN SOLE 38000 0 0 VALERO ENERGY CORP NEW COM 91913Y100 449 22835 SH SOLE 22835 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 14796 12065000 PRN SOLE 12065000 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 3320 3500000 PRN SOLE 3500000 0 0 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 3174 2902000 PRN SOLE 2902000 0 0 WAL MART STORES INC COM 931142103 2368 42599 SH SOLE 42599 0 0 WALGREEN CO COM 931422109 3046 82090 SH SOLE 82090 0 0 WARNACO GROUP INC COM NEW 934390402 3130 65533 SH SOLE 65533 0 0 WEBMD CORP NOTE 3.125% 9/0 94769MAG0 2249 1705000 PRN SOLE 1705000 0 0 WELLS FARGO & CO NEW COM 949746101 2714 87200 SH SOLE 87200 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 4734 4827 SH SOLE 4827 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 4894 5500000 PRN SOLE 5500000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 2818 3493000 PRN SOLE 3493000 0 0 WHITING PETE CORP NEW PERP PFD CONV 966387201 11617 58446 SH SOLE 58446 0 0 WMS INDS INC COM 929297109 292 6975 SH SOLE 6975 0 0 WRIGHT MED GROUP INC NOTE 2.625%12/0 98235TAA5 5964 6750000 PRN SOLE 6750000 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 2232 86780 SH SOLE 86780 0 0 WYNDHAM WORLDWIDE CORP NOTE 3.500% 5/0 98310WAC2 2136 1042000 PRN SOLE 1042000 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 1257 1360000 PRN SOLE 1360000 0 0