-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Hn2A73qEJXvoNZDnQZ5g7zgfyZr7jsqT/yIAtRNNRogL1250MXJGOXDKHpVW5drX s6U2Y1ekqyPNHPa4bwRamA== 0001172661-10-000448.txt : 20100813 0001172661-10-000448.hdr.sgml : 20100813 20100813090521 ACCESSION NUMBER: 0001172661-10-000448 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20100630 FILED AS OF DATE: 20100813 DATE AS OF CHANGE: 20100813 EFFECTIVENESS DATE: 20100813 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SSI INVESTMENT MANAGEMENT INC CENTRAL INDEX KEY: 0000938487 IRS NUMBER: 952913505 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-04720 FILM NUMBER: 101013025 BUSINESS ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLEY 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 ssi2q10.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: June 30, 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 August 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: 306 Form13F Information Table Value Total: $829,475 (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 492 545000 PRN SOLE 545000 0 0 3M CO COM 88579Y101 2673 33834 SH SOLE 33834 0 0 A D C TELECOMMUNICATIONS NOTE 3.500% 7/1 000886AF8 6147 8500000 PRN SOLE 8500000 0 0 AAR CORP NOTE 1.750% 2/0 000361AH8 395 443000 PRN SOLE 443000 0 0 ABBOTT LABS COM 002824100 2032 43472 SH SOLE 43472 0 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 2598 2713000 PRN SOLE 2713000 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1669 1595000 PRN SOLE 1595000 0 0 AKAMAI TECHNOLOGIES INC NOTE 1.000%12/1 00971TAE1 1424 543000 PRN SOLE 543000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 678 397000 PRN SOLE 397000 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 2728 2138000 PRN SOLE 2138000 0 0 ALLERGAN INC NOTE 1.500% 4/0 018490AL6 8229 7548000 PRN SOLE 7548000 0 0 ALLERGAN INC COM 018490102 2907 49906 SH SOLE 49906 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 3113 3214000 PRN SOLE 3214000 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 1299 1370000 PRN SOLE 1370000 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 9/1 018804AN4 922 950000 PRN SOLE 950000 0 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 2295 2306000 PRN SOLE 2306000 0 0 ALZA CORP SDCV 7/2 02261WAB5 50 57000 PRN SOLE 57000 0 0 AMAZON COM INC COM 023135106 2876 26357 SH SOLE 26357 0 0 AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 5938 4514000 PRN SOLE 4514000 0 0 AMERICAN TOWER CORP CL A 029912201 1438 32309 SH SOLE 32309 0 0 AMERICREDIT CORP NOTE 2.125% 9/1 03060RAR2 1292 1500000 PRN SOLE 1500000 0 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 3063 3098000 PRN SOLE 3098000 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 3139 3178000 PRN SOLE 3178000 0 0 AMR CORP NOTE 6.250%10/1 001765BC9 4407 4625000 PRN SOLE 4625000 0 0 AMYLIN PHARMACEUTICALS INC NOTE 3.000% 6/1 032346AF5 1691 2000000 PRN SOLE 2000000 0 0 ANALOG DEVICES INC COM 032654105 649 23263 SH SOLE 23263 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 48 75000 PRN SOLE 75000 0 0 ANNALY CAP MGMT INC COM 035710409 2120 123569 SH SOLE 123569 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 6887 6745000 PRN SOLE 6745000 0 0 APOLLO INVT CORP COM 03761U106 1255 134564 SH SOLE 134564 0 0 APPLE INC COM 037833100 6084 24190 SH SOLE 24190 0 0 APPLIED MATLS INC COM 038222105 2707 225296 SH SOLE 225296 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 886 760000 PRN SOLE 760000 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 2185 84540 SH SOLE 84540 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 4596 4877000 PRN SOLE 4877000 0 0 ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 1985 54820 SH SOLE 54820 0 0 ARROW ELECTRS INC COM 042735100 1930 86349 SH SOLE 86349 0 0 ARVINMERITOR INC FRNT 4.000% 2/1 043353AH4 3055 4000000 PRN SOLE 4000000 0 0 ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 1281 1425000 PRN SOLE 1425000 0 0 AVALONBAY CMNTYS INC COM 053484101 443 4738 SH SOLE 4738 0 0 BANK OF AMERICA CORPORATION COM 060505104 3742 260423 SH SOLE 260423 0 0 BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 5725 5253000 PRN SOLE 5253000 0 0 BEMIS INC COM 081437105 2515 93163 SH SOLE 93163 0 0 BEST BUY INC SDCV 2.250% 1/1 086516AF8 140 135000 PRN SOLE 135000 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 408 383000 PRN SOLE 383000 0 0 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 98 68000 PRN SOLE 68000 0 0 BOEING CO COM 097023105 1085 17294 SH SOLE 17294 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 2623 2034000 PRN SOLE 2034000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 1430 1382000 PRN SOLE 1382000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 39 40000 PRN SOLE 40000 0 0 BRE PROPERTIES INC NOTE 4.125% 8/1 05564EBH8 179 180000 PRN SOLE 180000 0 0 BRIGGS & STRATTON CORP COM 109043109 1159 68075 SH SOLE 68075 0 0 BRIGHAM EXPLORATION CO COM 109178103 479 31205 SH SOLE 31205 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 3005 120611 SH SOLE 120611 0 0 BUCYRUS INTL INC NEW COM 118759109 1498 31556 SH SOLE 31556 0 0 CACI INTL INC NOTE 2.125% 5/0 127190AD8 37 38000 PRN SOLE 38000 0 0 CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 2897 2586000 PRN SOLE 2586000 0 0 CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 1288 1245000 PRN SOLE 1245000 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 2918 3500000 PRN SOLE 3500000 0 0 CENTRAL GARDEN & PET CO COM 153527106 2021 212613 SH SOLE 212613 0 0 CENTURYLINK INC COM 156700106 401 12049 SH SOLE 12049 0 0 CEPHALON INC NOTE 2.500% 5/0 156708AR0 2756 2624000 PRN SOLE 2624000 0 0 CERNER CORP COM 156782104 2884 38013 SH SOLE 38013 0 0 CHARMING SHOPPES INC NOTE 1.125% 5/0 161133AE3 2460 3200000 PRN SOLE 3200000 0 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 3031 102909 SH SOLE 102909 0 0 CHEMED CORP NEW NOTE 1.875% 5/1 16359RAC7 3684 4000000 PRN SOLE 4000000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 2423 3130000 PRN SOLE 3130000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167CA3 2092 2728000 PRN SOLE 2728000 0 0 CHEVRON CORP NEW COM 166764100 259 3825 SH SOLE 3825 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 3657 4228000 PRN SOLE 4228000 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 4942 8000000 PRN SOLE 8000000 0 0 CISCO SYS INC COM 17275R102 2063 96767 SH SOLE 96767 0 0 CITIGROUP INC COM 172967101 1304 346777 SH SOLE 346777 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 8538 75560 SH SOLE 75560 0 0 COCA COLA CO COM 191216100 1518 30266 SH SOLE 30266 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 2537 1986000 PRN SOLE 1986000 0 0 COLGATE PALMOLIVE CO COM 194162103 2309 29329 SH SOLE 29329 0 0 CONOCOPHILLIPS COM 20825C104 2655 54097 SH SOLE 54097 0 0 CONSOL ENERGY INC COM 20854P109 2024 59961 SH SOLE 59961 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 891 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 399 249000 PRN SOLE 249000 0 0 CORPORATE OFFICE PPTYS TR SH BEN INT 22002T108 703 18593 SH SOLE 18593 0 0 CSX CORP DBCV 10/3 126408GA5 1006 571000 PRN SOLE 571000 0 0 CUMMINS INC COM 231021106 1223 18765 SH SOLE 18765 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 5082 4701000 PRN SOLE 4701000 0 0 DARDEN RESTAURANTS INC COM 237194105 1906 49076 SH SOLE 49076 0 0 DIGITAL RLTY TR INC COM 253868103 2630 45582 SH SOLE 45582 0 0 DIRECTV COM CL A 25490A101 1712 50473 SH SOLE 50473 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 2642 2372000 PRN SOLE 2372000 0 0 DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 3556 4831000 PRN SOLE 4831000 0 0 E M C CORP MASS COM 268648102 4299 234951 SH SOLE 234951 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 7273 5991000 PRN SOLE 5991000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 3731 2946000 PRN SOLE 2946000 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 673 17684 SH SOLE 17684 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 5602 6000000 PRN SOLE 6000000 0 0 EQUINIX INC NOTE 2.500% 4/1 29444UAF3 3593 3573000 PRN SOLE 3573000 0 0 ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 26884AAV5 202 200000 PRN SOLE 200000 0 0 EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 2511 2700000 PRN SOLE 2700000 0 0 EXELON CORP COM 30161N101 1530 40321 SH SOLE 40321 0 0 EXPEDIA INC DEL COM 30212P105 2489 132557 SH SOLE 132557 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 7917 6153000 PRN SOLE 6153000 0 0 EXXON MOBIL CORP COM 30231G102 3774 66129 SH SOLE 66129 0 0 FEDEX CORP COM 31428X106 2670 38071 SH SOLE 38071 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 1317 10396 SH SOLE 10396 0 0 FISHER SCIENTIFIC INTL INC NOTE 3.250% 3/0 338032AX3 5133 4052000 PRN SOLE 4052000 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 31 20000 PRN SOLE 20000 0 0 FMC TECHNOLOGIES INC COM 30249U101 2159 40985 SH SOLE 40985 0 0 FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 10978 248630 SH SOLE 248630 0 0 FORD MTR CO DEL *W EXP 01/01/201 345370134 77 24500 SH SOLE 24500 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 3563 2859000 PRN SOLE 2859000 0 0 FOSSIL INC COM 349882100 1854 53478 SH SOLE 53478 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 344 5824 SH SOLE 5824 0 0 GENERAL ELECTRIC CO COM 369604103 4350 301704 SH SOLE 301704 0 0 GENUINE PARTS CO COM 372460105 2127 53936 SH SOLE 53936 0 0 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 6069 5885000 PRN SOLE 5885000 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 2421 2182000 PRN SOLE 2182000 0 0 GILEAD SCIENCES INC COM 375558103 1392 40617 SH SOLE 40617 0 0 GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 1939 3300000 PRN SOLE 3300000 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 4532 3898000 PRN SOLE 3898000 0 0 GOOGLE INC CL A 38259P508 2933 6600 SH SOLE 6600 0 0 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 2376 40610 SH SOLE 40610 0 0 GREIF INC CL A 397624107 1697 30566 SH SOLE 30566 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 2252 3063000 PRN SOLE 3063000 0 0 HALLIBURTON CO COM 406216101 1815 73866 SH SOLE 73866 0 0 HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 3929 171100 SH SOLE 171100 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 2008 90839 SH SOLE 90839 0 0 HEALTH CARE REIT INC COM 42217K106 574 13640 SH SOLE 13640 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 3807 3840000 PRN SOLE 3840000 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 1603 1505000 PRN SOLE 1505000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 6335 4750000 PRN SOLE 4750000 0 0 HEWLETT PACKARD CO COM 428236103 4289 99133 SH SOLE 99133 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 8086 9500000 PRN SOLE 9500000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 355 225000 PRN SOLE 225000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 1284 877000 PRN SOLE 877000 0 0 HUMAN GENOME SCIENCES INC COM 444903108 1208 53235 SH SOLE 53235 0 0 ILLINOIS TOOL WKS INC COM 452308109 3331 80722 SH SOLE 80722 0 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 1501 763000 PRN SOLE 763000 0 0 INTEL CORP COM 458140100 4025 206915 SH SOLE 206915 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 4563 4801000 PRN SOLE 4801000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 5463 44250 SH SOLE 44250 0 0 INTERNATIONAL COAL GRP INC N NOTE 4.000% 4/0 45928HAG1 5308 5890000 PRN SOLE 5890000 0 0 INTERPUBLIC GROUP COS INC COM 460690100 1886 264189 SH SOLE 264189 0 0 INTUITIVE SURGICAL INC COM NEW 46120E602 1710 5421 SH SOLE 5421 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 4095 4000000 PRN SOLE 4000000 0 0 INVERNESS MED INNOVATIONS IN NOTE 3.000% 5/1 46126PAD8 1619 1883000 PRN SOLE 1883000 0 0 INVERNESS MED INNOVATIONS IN PFD CONV SER B 46126P304 7817 39644 SH SOLE 39644 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 2904 2644000 PRN SOLE 2644000 0 0 INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 1752 1557000 PRN SOLE 1557000 0 0 ISHARES TR INDEX NASDQ BIO INDX 464287556 521 6715 SH SOLE 6715 0 0 ISHARES TR INDEX DJ SEL DIV INX 464287168 831 19620 SH SOLE 19620 0 0 ISHARES TR INDEX MSCI EAFE IDX 464287465 620 13330 SH SOLE 13330 0 0 ISHARES TR INDEX RUSSELL 2000 464287655 825 13484 SH SOLE 13484 0 0 ITRON INC NOTE 2.500% 8/0 465741AJ5 1380 1257000 PRN SOLE 1257000 0 0 JABIL CIRCUIT INC COM 466313103 2179 163880 SH SOLE 163880 0 0 JARDEN CORP COM 471109108 394 14670 SH SOLE 14670 0 0 JDA SOFTWARE GROUP INC COM 46612K108 2752 125189 SH SOLE 125189 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 2126 2268000 PRN SOLE 2268000 0 0 JONES APPAREL GROUP INC COM 480074103 2793 176303 SH SOLE 176303 0 0 JPMORGAN CHASE & CO COM 46625H100 4481 122378 SH SOLE 122378 0 0 KELLOGG CO COM 487836108 2215 44039 SH SOLE 44039 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 4795 50325 SH SOLE 50325 0 0 KIMBERLY CLARK CORP COM 494368103 637 10500 SH SOLE 10500 0 0 KINETIC CONCEPTS INC COM NEW 49460W208 2064 56595 SH SOLE 56595 0 0 KING PHARMACEUTICALS INC NOTE 1.250% 4/0 495582AJ7 1734 2000000 PRN SOLE 2000000 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 4797 4214000 PRN SOLE 4214000 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 4655 4655000 PRN SOLE 4655000 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1939 1907000 PRN SOLE 1907000 0 0 LEAP WIRELESS INTL INC NOTE 4.500% 7/1 521863AL4 2095 2500000 PRN SOLE 2500000 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 1444 2500000 PRN SOLE 2500000 0 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 2134 2063000 PRN SOLE 2063000 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 7621 8250000 PRN SOLE 8250000 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 2523 2590000 PRN SOLE 2590000 0 0 LOEWS CORP COM 540424108 666 20000 SH SOLE 20000 0 0 LORILLARD INC COM 544147101 2353 32672 SH SOLE 32672 0 0 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 392 281000 PRN SOLE 281000 0 0 MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 384 24335 SH SOLE 24335 0 0 MCKESSON CORP COM 58155Q103 3635 54119 SH SOLE 54119 0 0 MEDASSETS INC COM 584045108 1412 61056 SH SOLE 61056 0 0 MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 1396 1405000 PRN SOLE 1405000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 1463 1460000 PRN SOLE 1460000 0 0 MENTOR GRAPHICS CORP SDCV 6.250% 3/0 587200AF3 4907 5000000 PRN SOLE 5000000 0 0 MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 12379 12047000 PRN SOLE 12047000 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 4949 5540000 PRN SOLE 5540000 0 0 MICRON TECHNOLOGY INC COM 595112103 602 70958 SH SOLE 70958 0 0 MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 11464 13045000 PRN SOLE 13045000 0 0 MICRON TECHNOLOGY INC NOTE 4.250%10/1 595112AJ2 297 165000 PRN SOLE 165000 0 0 MICROSOFT CORP COM 594918104 4570 198612 SH SOLE 198612 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 8895 9500000 PRN SOLE 9500000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 2222 2071000 PRN SOLE 2071000 0 0 MORGAN STANLEY COM NEW 617446448 413 17718 SH SOLE 17718 0 0 MYLAN INC PFD CONV 628530206 3382 3208 SH SOLE 3208 0 0 MYLAN INC NOTE 1.250% 3/1 628530AG2 3400 3417000 PRN SOLE 3417000 0 0 MYLAN INC COM 628530107 2668 156614 SH SOLE 156614 0 0 NABORS INDS INC NOTE 0.940% 5/1 629568AP1 74 75000 PRN SOLE 75000 0 0 NABORS INDUSTRIES LTD SHS G6359F103 1748 99180 SH SOLE 99180 0 0 NATIONAL OILWELL VARCO INC COM 637071101 211 6355 SH SOLE 6355 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 121 115000 PRN SOLE 115000 0 0 NEKTAR THERAPEUTICS NOTE 3.250% 9/2 640268AH1 4794 5000000 PRN SOLE 5000000 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 3738 2909000 PRN SOLE 2909000 0 0 NEWELL RUBBERMAID INC NOTE 5.500% 3/1 651229AH9 670 370000 PRN SOLE 370000 0 0 NEWMARKET CORP COM 651587107 1766 20232 SH SOLE 20232 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 764 530000 PRN SOLE 530000 0 0 NEWMONT MINING CORP NOTE 3.000% 2/1 651639AK2 6191 4368000 PRN SOLE 4368000 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 1076 755000 PRN SOLE 755000 0 0 NEXTERA ENERGY INC COM 65339F101 219 4497 SH SOLE 4497 0 0 NII HLDGS INC CL B NEW 62913F201 1816 55916 SH SOLE 55916 0 0 NORFOLK SOUTHERN CORP COM 655844108 1723 32468 SH SOLE 32468 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 421 410000 PRN SOLE 410000 0 0 OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 78 57000 PRN SOLE 57000 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 5849 4925000 PRN SOLE 4925000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 5355 150500 SH SOLE 150500 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 20 18000 PRN SOLE 18000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 1972 2104000 PRN SOLE 2104000 0 0 PACTIV CORP COM 695257105 3403 122187 SH SOLE 122187 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 2178 2233000 PRN SOLE 2233000 0 0 PG&E CORP COM 69331C108 1884 45850 SH SOLE 45850 0 0 PHOTRONICS INC NOTE 5.500%10/0 719405AF9 1026 902000 PRN SOLE 902000 0 0 PIONEER NAT RES CO COM 723787107 477 8013 SH SOLE 8013 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 8512 7418000 PRN SOLE 7418000 0 0 PMI GROUP INC NOTE 4.500% 4/1 69344MAK7 1021 1500000 PRN SOLE 1500000 0 0 PNC FINL SVCS GROUP INC COM 693475105 2283 40394 SH SOLE 40394 0 0 PRICELINE COM INC NOTE 0.500% 9/3 741503AK2 44 10000 PRN SOLE 10000 0 0 PROCTER & GAMBLE CO COM 742718109 4183 69762 SH SOLE 69762 0 0 PROLOGIS NOTE 2.250% 4/0 743410AQ5 1962 2085000 PRN SOLE 2085000 0 0 PROLOGIS NOTE 2.625% 5/1 743410AS1 76 85000 PRN SOLE 85000 0 0 PROLOGIS NOTE 3.250% 3/1 743410AY8 1872 2095000 PRN SOLE 2095000 0 0 PROTECTIVE LIFE CORP COM 743674103 1641 76820 SH SOLE 76820 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 3080 98311 SH SOLE 98311 0 0 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 2579 2496000 PRN SOLE 2496000 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 1976 300368 SH SOLE 300368 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 833 692000 PRN SOLE 692000 0 0 RIVERBED TECHNOLOGY INC COM 768573107 2695 97566 SH SOLE 97566 0 0 RPC INC COM 749660106 327 23925 SH SOLE 23925 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 2844 3288000 PRN SOLE 3288000 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 9007 10133000 PRN SOLE 10133000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 1121 1115000 PRN SOLE 1115000 0 0 SBA COMMUNICATIONS CORP NOTE 0.375%12/0 78388JAJ5 1887 1736000 PRN SOLE 1736000 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 1887 1585000 PRN SOLE 1585000 0 0 SCHLUMBERGER LTD COM 806857108 1478 26729 SH SOLE 26729 0 0 SIMON PPTY GROUP INC NEW COM 828806109 444 5508 SH SOLE 5508 0 0 SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 1944 1064000 PRN SOLE 1064000 0 0 SMITH INTL INC COM 832110100 1434 38108 SH SOLE 38108 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 3364 3500000 PRN SOLE 3500000 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 4844 5000000 PRN SOLE 5000000 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 1931 1987000 PRN SOLE 1987000 0 0 SOUTHWESTERN ENERGY CO COM 845467109 2460 63572 SH SOLE 63572 0 0 SPDR S&P 500 ETF TR UNIT SER 1 S&P 78462F103 39057 378400 SH SOLE 378400 0 0 SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 414 3200 SH SOLE 3200 0 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 1320 1249000 PRN SOLE 1249000 0 0 STANLEY WKS FRNT 5/1 854616AM1 876 823000 PRN SOLE 823000 0 0 STATE STR CORP COM 857477103 2019 59661 SH SOLE 59661 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 2295 2138000 PRN SOLE 2138000 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 2674 2874000 PRN SOLE 2874000 0 0 SWIFT ENERGY CO COM 870738101 2896 107685 SH SOLE 107685 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 5380 5295000 PRN SOLE 5295000 0 0 SYMANTEC CORP NOTE 0.750% 6/1 871503AD0 2889 2914000 PRN SOLE 2914000 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 135 120000 PRN SOLE 120000 0 0 TECH DATA CORP DBCV 2.750%12/1 878237AE6 3808 3800000 PRN SOLE 3800000 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 1472 1089000 PRN SOLE 1089000 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 9065 7916000 PRN SOLE 7916000 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.250% 2/0 88164RAB3 1432 950000 PRN SOLE 950000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 198 170000 PRN SOLE 170000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 1962 37707 SH SOLE 37707 0 0 TEXAS CAPITAL BANCSHARES INC COM 88224Q107 1722 104973 SH SOLE 104973 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 3124 2158000 PRN SOLE 2158000 0 0 THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 6347 7500000 PRN SOLE 7500000 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 501 10192 SH SOLE 10192 0 0 TIME WARNER INC COM NEW 887317303 2808 97117 SH SOLE 97117 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 6493 6000000 PRN SOLE 6000000 0 0 TJX COS INC NEW COM 872540109 3307 78787 SH SOLE 78787 0 0 TRANSOCEAN INC NOTE 1.625%12/1 893830AU3 2589 2673000 PRN SOLE 2673000 0 0 TRINA SOLAR LIMITED NOTE 4.000% 7/1 89628EAA2 38 31000 PRN SOLE 31000 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 6523 8500000 PRN SOLE 8500000 0 0 TRIQUINT SEMICONDUCTOR INC COM 89674K103 318 51925 SH SOLE 51925 0 0 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 732 562000 PRN SOLE 562000 0 0 TYSON FOODS INC NOTE 3.250%10/1 902494AP8 2078 1778000 PRN SOLE 1778000 0 0 UAL CORP NOTE 6.000%10/1 902549AJ3 1314 528000 PRN SOLE 528000 0 0 UAL CORP NOTE 4.500% 6/3 902549AH7 1492 1536000 PRN SOLE 1536000 0 0 UNITED STATES STL CORP NEW COM 912909108 376 9748 SH SOLE 9748 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 1232 880000 PRN SOLE 880000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 3482 53632 SH SOLE 53632 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1740 61233 SH SOLE 61233 0 0 URS CORP NEW COM 903236107 3216 81726 SH SOLE 81726 0 0 US BANCORP DEL COM NEW 902973304 295 13075 SH SOLE 13075 0 0 VALE CAP II VALEP 6.75%12 91912F300 390 5565 SH SOLE 5565 0 0 VALE S A ADR 91912E105 1773 72826 SH SOLE 72826 0 0 VALEANT PHARMACEUTICALS INTL COM 91911X104 1960 37503 SH SOLE 37503 0 0 VALEANT PHARMACEUTICALS INTL NOTE 4.000%11/1 91911XAD6 3445 2059000 PRN SOLE 2059000 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 4472 5000000 PRN SOLE 5000000 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 13767 11755000 PRN SOLE 11755000 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 1716 2000000 PRN SOLE 2000000 0 0 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 3098 2882000 PRN SOLE 2882000 0 0 W & T OFFSHORE INC COM 92922P106 467 49335 SH SOLE 49335 0 0 WAL MART STORES INC COM 931142103 2156 44871 SH SOLE 44871 0 0 WALGREEN CO COM 931422109 1526 57157 SH SOLE 57157 0 0 WEBMD CORP NOTE 3.125% 9/0 94769MAG0 351 265000 PRN SOLE 265000 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 4834 5322 SH SOLE 5322 0 0 WELLS FARGO & CO NEW COM 949746101 2390 93345 SH SOLE 93345 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 4442 5500000 PRN SOLE 5500000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 2593 3450000 PRN SOLE 3450000 0 0 WHITING PETE CORP NEW PERP PFD CONV 966387201 10110 52845 SH SOLE 52845 0 0 WRIGHT MED GROUP INC NOTE 2.625%12/0 98235TAA5 5830 6750000 PRN SOLE 6750000 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 264 13040 SH SOLE 13040 0 0 WYNDHAM WORLDWIDE CORP NOTE 3.500% 5/0 98310WAC2 72 44000 PRN SOLE 44000 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 223 243000 PRN SOLE 243000 0 0
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