-----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, KayaJvN8peViE1fRaA6wW9QjlwtrR4pQ9pFADJNsQhldNuIpA/jo29CfJ6ejuMQw 86sS2c8N7y4NHA/Y76YsmA== 0001172661-10-000602.txt : 20101112 0001172661-10-000602.hdr.sgml : 20101111 20101112124734 ACCESSION NUMBER: 0001172661-10-000602 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20100930 FILED AS OF DATE: 20101112 DATE AS OF CHANGE: 20101112 EFFECTIVENESS DATE: 20101112 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: 101184860 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 ssi3q10.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, 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 November 12, 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: 288 Form13F Information Table Value Total: $976,370 (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 500 545000 PRN SOLE 545000 0 0 3M CO COM 88579Y101 2934 33819 SH SOLE 33819 0 0 A D C TELECOMMUNICATIONS NOTE 3.500% 7/1 000886AF8 8393 8500000 PRN SOLE 8500000 0 0 AAR CORP NOTE 1.750% 2/0 000361AH8 370 390000 PRN SOLE 390000 0 0 ABBOTT LABS COM 002824100 2271 43437 SH SOLE 43437 0 0 AFFILIATED MANAGERS GROUP COM 008252108 1083 13875 SH SOLE 13875 0 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 4986 4923000 PRN SOLE 4923000 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 3203 2760000 PRN SOLE 2760000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 736 367000 PRN SOLE 367000 0 0 ALERE INC PERP PFD CONV SE 01449J204 9976 45240 SH SOLE 45240 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 4843 3569000 PRN SOLE 3569000 0 0 ALLERGAN INC COM 018490102 2661 39980 SH SOLE 39980 0 0 ALLERGAN INC NOTE 1.500% 4/0 018490AL6 9043 7911000 PRN SOLE 7911000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 2971 2875000 PRN SOLE 2875000 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 1153 1152000 PRN SOLE 1152000 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 9/1 018804AN4 955 950000 PRN SOLE 950000 0 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 2571 2300000 PRN SOLE 2300000 0 0 ALZA CORP SDCV 7/2 02261WAB5 51 57000 PRN SOLE 57000 0 0 AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 5408 4333000 PRN SOLE 4333000 0 0 AMERICAN TOWER CORP CL A 029912201 2277 44375 SH SOLE 44375 0 0 AMERICREDIT CORP NOTE 2.125% 9/1 03060RAR2 5472 5500000 PRN SOLE 5500000 0 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 3067 3078000 PRN SOLE 3078000 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 2110 2128000 PRN SOLE 2128000 0 0 AMR CORP NOTE 6.250%10/1 001765BC9 5139 5250000 PRN SOLE 5250000 0 0 AMYLIN PHARMACEUTICALS INC NOTE 3.000% 6/1 032346AF5 1821 2000000 PRN SOLE 2000000 0 0 ANADARKO PETE CORP COM 032511107 2982 52270 SH SOLE 52270 0 0 ANALOG DEVICES INC COM 032654105 2404 76568 SH SOLE 76568 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 61 75000 PRN SOLE 75000 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 7303 6623000 PRN SOLE 6623000 0 0 ANNALY CAP MGMT INC COM 035710409 1177 66979 SH SOLE 66979 0 0 APACHE CORP COM 037411105 2522 25772 SH SOLE 25772 0 0 APPLE INC COM 037833100 8121 28615 SH SOLE 28615 0 0 APPLIED MATLS INC COM 038222105 1363 116821 SH SOLE 116821 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 1006 760000 PRN SOLE 760000 0 0 ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 3061 73980 SH SOLE 73980 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 2560 2447000 PRN SOLE 2447000 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 1592 49844 SH SOLE 49844 0 0 ARROW ELECTRS INC COM 042735100 2140 80194 SH SOLE 80194 0 0 ARVINMERITOR INC FRNT 4.000% 2/1 043353AH4 4549 5000000 PRN SOLE 5000000 0 0 ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 1498 1425000 PRN SOLE 1425000 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 13798 14114 SH SOLE 14114 0 0 BANK OF AMERICA CORPORATION COM 060505104 3440 262643 SH SOLE 262643 0 0 BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 3471 3417000 PRN SOLE 3417000 0 0 BEMIS INC COM 081437105 2141 67428 SH SOLE 67428 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 341 275000 PRN SOLE 275000 0 0 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 92 53000 PRN SOLE 53000 0 0 BLACKSTONE GROUP L P COM UNIT LTD 09253U108 1206 95110 SH SOLE 95110 0 0 BOEING CO COM 097023105 2231 33521 SH SOLE 33521 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 1387 832000 PRN SOLE 832000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 192 190000 PRN SOLE 190000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 2294 2077000 PRN SOLE 2077000 0 0 BRE PROPERTIES INC NOTE 4.125% 8/1 05564EBH8 1243 1195000 PRN SOLE 1195000 0 0 BRIGGS & STRATTON CORP COM 109043109 2650 139268 SH SOLE 139268 0 0 BRIGHAM EXPLORATION CO COM 109178103 626 33375 SH SOLE 33375 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 3270 120576 SH SOLE 120576 0 0 BUCYRUS INTL INC NEW COM 118759109 1065 15356 SH SOLE 15356 0 0 CACI INTL INC NOTE 2.125% 5/0 127190AD8 3279 3108000 PRN SOLE 3108000 0 0 CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 6579 5094000 PRN SOLE 5094000 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 3166 3500000 PRN SOLE 3500000 0 0 CENTRAL GARDEN & PET CO COM 153527106 1900 183528 SH SOLE 183528 0 0 CENTURYLINK INC COM 156700106 855 21664 SH SOLE 21664 0 0 CEPHALON INC NOTE 2.500% 5/0 156708AR0 4107 3650000 PRN SOLE 3650000 0 0 CERNER CORP COM 156782104 3396 40403 SH SOLE 40403 0 0 CHARMING SHOPPES INC NOTE 1.125% 5/0 161133AE3 2659 3200000 PRN SOLE 3200000 0 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 2987 80905 SH SOLE 80905 0 0 CHEMED CORP NEW NOTE 1.875% 5/1 16359RAC7 5744 6000000 PRN SOLE 6000000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 2366 2730000 PRN SOLE 2730000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167CA3 5985 7000000 PRN SOLE 7000000 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 6606 7000000 PRN SOLE 7000000 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 5830 8000000 PRN SOLE 8000000 0 0 CIMAREX ENERGY CO COM 171798101 731 11040 SH SOLE 11040 0 0 CISCO SYS INC COM 17275R102 2709 123842 SH SOLE 123842 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 10054 85210 SH SOLE 85210 0 0 CITIGROUP INC COM 172967101 1969 503387 SH SOLE 503387 0 0 CNINSURE INC SPONSORED ADR 18976M103 947 40757 SH SOLE 40757 0 0 COCA COLA CO COM 191216100 2195 37501 SH SOLE 37501 0 0 CONOCOPHILLIPS COM 20825C104 3094 53847 SH SOLE 53847 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 957 663000 PRN SOLE 663000 0 0 CONTINENTAL AIRLS INC NOTE 5.000% 6/1 210795PJ3 3277 2594000 PRN SOLE 2594000 0 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 1949 1014000 PRN SOLE 1014000 0 0 CORPORATE OFFICE PPTYS TR SH BEN INT 22002T108 680 18233 SH SOLE 18233 0 0 CSX CORP DBCV 10/3 126408GA5 1098 552000 PRN SOLE 552000 0 0 CUMMINS INC COM 231021106 1842 20340 SH SOLE 20340 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 5473 4636000 PRN SOLE 4636000 0 0 DARDEN RESTAURANTS INC COM 237194105 2099 49061 SH SOLE 49061 0 0 DECKERS OUTDOOR CORP COM 243537107 3601 72125 SH SOLE 72125 0 0 DIGITAL RLTY TR INC COM 253868103 3247 52667 SH SOLE 52667 0 0 DIRECTV COM CL A 25490A101 2101 50473 SH SOLE 50473 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 2869 2340000 PRN SOLE 2340000 0 0 E M C CORP MASS COM 268648102 4744 233711 SH SOLE 233711 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 5242 3810000 PRN SOLE 3810000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 8808 6711000 PRN SOLE 6711000 0 0 EASTMAN CHEM CO COM 277432100 2125 28714 SH SOLE 28714 0 0 EQUINIX INC NOTE 2.500% 4/1 29444UAF3 3817 3545000 PRN SOLE 3545000 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 6623 6000000 PRN SOLE 6000000 0 0 ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 26884AAV5 319 310000 PRN SOLE 310000 0 0 EXELON CORP COM 30161N101 1716 40301 SH SOLE 40301 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 4790 4000000 PRN SOLE 4000000 0 0 EXXON MOBIL CORP COM 30231G102 4085 66104 SH SOLE 66104 0 0 FEDEX CORP COM 31428X106 3242 37911 SH SOLE 37911 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 2648 20561 SH SOLE 20561 0 0 FISHER SCIENTIFIC INTL INC NOTE 3.250% 3/0 338032AX3 5110 4070000 PRN SOLE 4070000 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 36 20000 PRN SOLE 20000 0 0 FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 14682 306366 SH SOLE 306366 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 7951 5328000 PRN SOLE 5328000 0 0 FORWARD AIR CORP COM 349853101 2291 88108 SH SOLE 88108 0 0 FOSSIL INC COM 349882100 2636 48958 SH SOLE 48958 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 1872 21914 SH SOLE 21914 0 0 GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 2119 2000000 PRN SOLE 2000000 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 3011 3000000 PRN SOLE 3000000 0 0 GENERAL ELECTRIC CO COM 369604103 4902 301594 SH SOLE 301594 0 0 GENUINE PARTS CO COM 372460105 2744 61551 SH SOLE 61551 0 0 GILEAD SCIENCES INC COM 375558103 1444 40557 SH SOLE 40557 0 0 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 3177 3093000 PRN SOLE 3093000 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 626 571000 PRN SOLE 571000 0 0 GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 2323 3300000 PRN SOLE 3300000 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 5414 4450000 PRN SOLE 4450000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 2740 18940 SH SOLE 18940 0 0 GOOGLE INC CL A 38259P508 3555 6755 SH SOLE 6755 0 0 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 2501 39525 SH SOLE 39525 0 0 GREIF INC CL A 397624107 1799 30566 SH SOLE 30566 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 5048 6263000 PRN SOLE 6263000 0 0 HALLIBURTON CO COM 406216101 2441 73846 SH SOLE 73846 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 970 42360 SH SOLE 42360 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 4936 4620000 PRN SOLE 4620000 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 1543 1393000 PRN SOLE 1393000 0 0 HEALTH CARE REIT INC COM 42217K106 632 13340 SH SOLE 13340 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 8444 5750000 PRN SOLE 5750000 0 0 HEWLETT PACKARD CO COM 428236103 4171 99113 SH SOLE 99113 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 9482 10250000 PRN SOLE 10250000 0 0 HUMAN GENOME SCIENCES INC COM 444903108 626 21046 SH SOLE 21046 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 938 512000 PRN SOLE 512000 0 0 ILLINOIS TOOL WKS INC COM 452308109 2433 51750 SH SOLE 51750 0 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 1330 653000 PRN SOLE 653000 0 0 INTEL CORP COM 458140100 3873 201575 SH SOLE 201575 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 3440 3479000 PRN SOLE 3479000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 5294 39478 SH SOLE 39478 0 0 INTERNATIONAL COAL GRP INC N NOTE 4.000% 4/0 45928HAG1 5777 5000000 PRN SOLE 5000000 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 4967 4568000 PRN SOLE 4568000 0 0 INTERPUBLIC GROUP COS INC COM 460690100 1406 140180 SH SOLE 140180 0 0 INTERPUBLIC GROUP COS INC NOTE 4.750% 3/1 460690BE9 2911 2573000 PRN SOLE 2573000 0 0 INTUITIVE SURGICAL INC COM NEW 46120E602 1141 4022 SH SOLE 4022 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 4861 4000000 PRN SOLE 4000000 0 0 INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 1735 1557000 PRN SOLE 1557000 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 4898 4339000 PRN SOLE 4339000 0 0 ISHARES TR DJ SEL DIV INX 464287168 919 19620 SH SOLE 19620 0 0 ISHARES TR MSCI EAFE IDX 464287465 731 13330 SH SOLE 13330 0 0 ISHARES TR NASDQ BIO INDX 464287556 575 6700 SH SOLE 6700 0 0 ISHARES TR RUSSELL 2000 464287655 910 13469 SH SOLE 13469 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 938 1000000 PRN SOLE 1000000 0 0 ITRON INC NOTE 2.500% 8/0 465741AJ5 3321 2977000 PRN SOLE 2977000 0 0 JABIL CIRCUIT INC COM 466313103 1554 107855 SH SOLE 107855 0 0 JDA SOFTWARE GROUP INC COM 46612K108 1838 72458 SH SOLE 72458 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 4081 4056000 PRN SOLE 4056000 0 0 JONES APPAREL GROUP INC COM 480074103 2703 137608 SH SOLE 137608 0 0 JPMORGAN CHASE & CO COM 46625H100 4864 127698 SH SOLE 127698 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 5363 50325 SH SOLE 50325 0 0 KIMBERLY CLARK CORP COM 494368103 683 10500 SH SOLE 10500 0 0 KINETIC CONCEPTS INC COM NEW 49460W208 2203 60278 SH SOLE 60278 0 0 KING PHARMACEUTICALS INC NOTE 1.250% 4/0 495582AJ7 1869 2000000 PRN SOLE 2000000 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 5479 4162000 PRN SOLE 4162000 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 324 323000 PRN SOLE 323000 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 642 610000 PRN SOLE 610000 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 1658 2500000 PRN SOLE 2500000 0 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 2246 2039000 PRN SOLE 2039000 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 9202 9250000 PRN SOLE 9250000 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 3947 3874000 PRN SOLE 3874000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 6840 8000000 PRN SOLE 8000000 0 0 LOEWS CORP COM 540424108 758 20000 SH SOLE 20000 0 0 LORILLARD INC COM 544147101 2621 32652 SH SOLE 32652 0 0 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 473 262000 PRN SOLE 262000 0 0 MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 417 23865 SH SOLE 23865 0 0 MCKESSON CORP COM 58155Q103 3322 53809 SH SOLE 53809 0 0 MEDASSETS INC COM 584045108 3337 158506 SH SOLE 158506 0 0 MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 751 750000 PRN SOLE 750000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 2173 2175000 PRN SOLE 2175000 0 0 MERCK & CO INC NEW COM 58933Y105 2256 61300 SH SOLE 61300 0 0 MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 15358 13256000 PRN SOLE 13256000 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 6045 5540000 PRN SOLE 5540000 0 0 MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 13035 14666000 PRN SOLE 14666000 0 0 MICROSOFT CORP COM 594918104 6217 253921 SH SOLE 253921 0 0 MID-AMER APT CMNTYS INC COM 59522J103 622 10675 SH SOLE 10675 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 9214 9500000 PRN SOLE 9500000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 4990 4440000 PRN SOLE 4440000 0 0 MONSANTO CO NEW COM 61166W101 1859 38765 SH SOLE 38765 0 0 MURPHY OIL CORP COM 626717102 985 15910 SH SOLE 15910 0 0 MYLAN INC COM 628530107 2945 156559 SH SOLE 156559 0 0 MYLAN INC PFD CONV 628530206 5884 5264 SH SOLE 5264 0 0 NABORS INDS INC NOTE 0.940% 5/1 629568AP1 744 750000 PRN SOLE 750000 0 0 NABORS INDUSTRIES LTD SHS G6359F103 3055 169150 SH SOLE 169150 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 1868 1663000 PRN SOLE 1663000 0 0 NEKTAR THERAPEUTICS NOTE 3.250% 9/2 640268AH1 5087 5000000 PRN SOLE 5000000 0 0 NETAPP INC COM 64110D104 2448 49122 SH SOLE 49122 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 4669 2873000 PRN SOLE 2873000 0 0 NETLOGIC MICROSYSTEMS INC COM 64118B100 512 18575 SH SOLE 18575 0 0 NEWELL RUBBERMAID INC NOTE 5.500% 3/1 651229AH9 120 58000 PRN SOLE 58000 0 0 NEWMARKET CORP COM 651587107 1645 14462 SH SOLE 14462 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 1100 755000 PRN SOLE 755000 0 0 NEWMONT MINING CORP NOTE 3.000% 2/1 651639AK2 6160 4326000 PRN SOLE 4326000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 900 610000 PRN SOLE 610000 0 0 NORFOLK SOUTHERN CORP COM 655844108 1930 32453 SH SOLE 32453 0 0 OCEANEERING INTL INC COM 675232102 3378 62735 SH SOLE 62735 0 0 OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 88 57000 PRN SOLE 57000 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 6455 4961000 PRN SOLE 4961000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 5578 150500 SH SOLE 150500 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 5692 5699000 PRN SOLE 5699000 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 2277 2043000 PRN SOLE 2043000 0 0 PEPSICO INC COM 713448108 1877 28252 SH SOLE 28252 0 0 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 3107 85675 SH SOLE 85675 0 0 PG&E CORP COM 69331C108 2082 45850 SH SOLE 45850 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 6262 5000000 PRN SOLE 5000000 0 0 PMI GROUP INC NOTE 4.500% 4/1 69344MAK7 1284 1500000 PRN SOLE 1500000 0 0 PPL CORP UNIT 99/99/9999 69351T601 3362 59240 SH SOLE 59240 0 0 PRICELINE COM INC NOTE 0.500% 9/3 741503AK2 86 10000 PRN SOLE 10000 0 0 PRIDE INTL INC DEL COM 74153Q102 2470 83935 SH SOLE 83935 0 0 PROCTER & GAMBLE CO COM 742718109 4180 69732 SH SOLE 69732 0 0 PROLOGIS NOTE 2.625% 5/1 743410AS1 80 85000 PRN SOLE 85000 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347R297 219 7000 SH SOLE 7000 0 0 PROTECTIVE LIFE CORP COM 743674103 1672 76795 SH SOLE 76795 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 2587 78199 SH SOLE 78199 0 0 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 2817 2576000 PRN SOLE 2576000 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 1604 220553 SH SOLE 220553 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 5191 3692000 PRN SOLE 3692000 0 0 RIVERBED TECHNOLOGY INC COM 768573107 2948 64688 SH SOLE 64688 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 8508 9213000 PRN SOLE 9213000 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 3934 4287000 PRN SOLE 4287000 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 4631 5000000 PRN SOLE 5000000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 4075 3659000 PRN SOLE 3659000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 3664 2500000 PRN SOLE 2500000 0 0 SCHLUMBERGER LTD COM 806857108 2140 34706 SH SOLE 34706 0 0 SHENGDA TECH INC COM 823213103 431 81525 SH SOLE 81525 0 0 SIMON PPTY GROUP INC NEW COM 828806109 852 9190 SH SOLE 9190 0 0 SINA CORP ORD G81477104 618 12228 SH SOLE 12228 0 0 SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 2372 1061000 PRN SOLE 1061000 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 3692 3500000 PRN SOLE 3500000 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 6353 6000000 PRN SOLE 6000000 0 0 SOUTHWESTERN ENERGY CO COM 845467109 2243 67029 SH SOLE 67029 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 42798 375000 SH SOLE 375000 0 0 SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 466 3200 SH SOLE 3200 0 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 3083 2955000 PRN SOLE 2955000 0 0 STANLEY WKS FRNT 5/1 854616AM1 1608 1438000 PRN SOLE 1438000 0 0 STATE STR CORP COM 857477103 1681 44616 SH SOLE 44616 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 2167 1914000 PRN SOLE 1914000 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 9096 9390000 PRN SOLE 9390000 0 0 STILLWATER MNG CO NOTE 1.875% 3/1 86074QAF9 3211 3177000 PRN SOLE 3177000 0 0 SWIFT ENERGY CO COM 870738101 3008 107140 SH SOLE 107140 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 8813 8187000 PRN SOLE 8187000 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 156 120000 PRN SOLE 120000 0 0 TAUBMAN CTRS INC COM 876664103 2141 47999 SH SOLE 47999 0 0 TECH DATA CORP DBCV 2.750%12/1 878237AE6 5417 5318000 PRN SOLE 5318000 0 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 2166 2000000 PRN SOLE 2000000 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 1339 844000 PRN SOLE 844000 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 9675 8286000 PRN SOLE 8286000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 164 135000 PRN SOLE 135000 0 0 TEXAS CAPITAL BANCSHARES INC COM 88224Q107 1228 71083 SH SOLE 71083 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 2598 1523000 PRN SOLE 1523000 0 0 THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 9033 9000000 PRN SOLE 9000000 0 0 TIME WARNER INC COM NEW 887317303 2977 97087 SH SOLE 97087 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 3502 3000000 PRN SOLE 3000000 0 0 TJX COS INC NEW COM 872540109 3500 78427 SH SOLE 78427 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AV1 602 615000 PRN SOLE 615000 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 4690 4905000 PRN SOLE 4905000 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 7640 8500000 PRN SOLE 8500000 0 0 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 470 330000 PRN SOLE 330000 0 0 UAL CORP NOTE 4.500% 6/3 902549AH7 1550 1544000 PRN SOLE 1544000 0 0 UAL CORP NOTE 6.000%10/1 902549AJ3 1485 516000 PRN SOLE 516000 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 1524 987000 PRN SOLE 987000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 3817 53607 SH SOLE 53607 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1610 45849 SH SOLE 45849 0 0 URS CORP NEW COM 903236107 1069 28152 SH SOLE 28152 0 0 US BANCORP DEL COM NEW 902973304 2287 105875 SH SOLE 105875 0 0 VALE CAP II VALEP 6.75%12 91912F300 2582 28515 SH SOLE 28515 0 0 VALEANT PHARMACEUTICALS INTL NOTE 4.000%11/1 91911XAD6 1439 753000 PRN SOLE 753000 0 0 VERIGY LTD NOTE 5.250% 7/1 92345XAB4 4685 4500000 PRN SOLE 4500000 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 5404 5000000 PRN SOLE 5000000 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 15468 10505000 PRN SOLE 10505000 0 0 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 3652 3199000 PRN SOLE 3199000 0 0 WAL MART STORES INC COM 931142103 2400 44846 SH SOLE 44846 0 0 WALGREEN CO COM 931422109 1475 44042 SH SOLE 44042 0 0 WEBMD CORP NOTE 3.125% 9/0 94769MAG0 359 252000 PRN SOLE 252000 0 0 WEBSTER FINL CORP CONN COM 947890109 1111 63265 SH SOLE 63265 0 0 WELLS FARGO & CO NEW COM 949746101 2445 97291 SH SOLE 97291 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 5850 5838 SH SOLE 5838 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 9639 6000000 PRN SOLE 6000000 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 4414 5500000 PRN SOLE 5500000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 2924 3450000 PRN SOLE 3450000 0 0 WRIGHT MED GROUP INC NOTE 2.625%12/0 98235TAA5 5865 6600000 PRN SOLE 6600000 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 368 377000 PRN SOLE 377000 0 0
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