-----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, N6WGTdvwp3wCmwRJ0pzjkdNVvFpOXnzKkxP6t50k5yt0eT0zXb/vqKOYPbueXXjt u/BP7uDaEHcfpn8LrrYdqQ== 0001172661-11-000050.txt : 20110209 0001172661-11-000050.hdr.sgml : 20110209 20110209125733 ACCESSION NUMBER: 0001172661-11-000050 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20101231 FILED AS OF DATE: 20110209 DATE AS OF CHANGE: 20110209 EFFECTIVENESS DATE: 20110209 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: 11585792 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 ssi4q10.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: December 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: /s/ Syed Mehdi Beverly Hills, CA February 09, 2011 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: 292 Form13F Information Table Value Total: $1,018,338 (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 505 545000 PRN SOLE 545000 0 0 3M CO COM 88579Y101 2915 33794 SH SOLE 33794 0 0 AAR CORP NOTE 1.750% 2/0 000361AH8 1483 1357000 PRN SOLE 1357000 0 0 ABBOTT LABS COM 002824100 1777 37110 SH SOLE 37110 0 0 AFFILIATED MANAGERS GROUP COM 008252108 1690 17069 SH SOLE 17069 0 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 6033 5448000 PRN SOLE 5448000 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 2554 1859000 PRN SOLE 1859000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 907 367000 PRN SOLE 367000 0 0 ALERE INC PERP PFD CONV SE 01449J204 11708 46427 SH SOLE 46427 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 5280 3499000 PRN SOLE 3499000 0 0 ALLERGAN INC NOTE 1.500% 4/0 018490AL6 8673 7678000 PRN SOLE 7678000 0 0 ALLERGAN INC COM 018490102 3116 45392 SH SOLE 45392 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 357 334000 PRN SOLE 334000 0 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 1489 1114000 PRN SOLE 1114000 0 0 ALZA CORP SDCV 7/2 02261WAB5 51 57000 PRN SOLE 57000 0 0 AMERICAN EXPRESS CO COM 025816109 3245 75614 SH SOLE 75614 0 0 AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 5278 4327000 PRN SOLE 4327000 0 0 AMERICAN TOWER CORP CL A 029912201 2292 44360 SH SOLE 44360 0 0 AMERIGROUP CORP NOTE 2.000% 5/1 03073TAB8 3152 2730000 PRN SOLE 2730000 0 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 73 73000 PRN SOLE 73000 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 5098 5098000 PRN SOLE 5098000 0 0 AMR CORP NOTE 6.250%10/1 001765BC9 4247 3750000 PRN SOLE 3750000 0 0 ANADARKO PETE CORP COM 032511107 2919 38338 SH SOLE 38338 0 0 ANALOG DEVICES INC COM 032654105 758 20106 SH SOLE 20106 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 72 75000 PRN SOLE 75000 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 7598 6529000 PRN SOLE 6529000 0 0 APACHE CORP COM 037411105 2583 21657 SH SOLE 21657 0 0 APPLE INC COM 037833100 9181 28457 SH SOLE 28457 0 0 ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 650 17045 SH SOLE 17045 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 1099 760000 PRN SOLE 760000 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 1152 38305 SH SOLE 38305 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 2633 2577000 PRN SOLE 2577000 0 0 ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 5137 132325 SH SOLE 132325 0 0 ARROW ELECTRS INC COM 042735100 2742 80029 SH SOLE 80029 0 0 ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 9123 7219000 PRN SOLE 7219000 0 0 AUTOLIV INC UNIT 99/99/9999 052800208 1809 16995 SH SOLE 16995 0 0 AVALONBAY CMNTYS INC COM 053484101 3026 26906 SH SOLE 26906 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 4625 4843 SH SOLE 4843 0 0 BANK OF AMERICA CORPORATION COM 060505104 1886 141392 SH SOLE 141392 0 0 BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 6098 5342000 PRN SOLE 5342000 0 0 BEMIS INC COM 081437105 2516 77038 SH SOLE 77038 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 388 270000 PRN SOLE 270000 0 0 BLACKSTONE GROUP L P COM UNIT LTD 09253U108 2179 153967 SH SOLE 153967 0 0 BOEING CO COM 097023105 2187 33486 SH SOLE 33486 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 1827 817000 PRN SOLE 817000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 172 170000 PRN SOLE 170000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 2251 2042000 PRN SOLE 2042000 0 0 BRIGGS & STRATTON CORP COM 109043109 1674 85038 SH SOLE 85038 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 3190 120501 SH SOLE 120501 0 0 CABOT CORP COM 127055101 3519 93409 SH SOLE 93409 0 0 CABOT OIL & GAS CORP COM 127097103 2382 62936 SH SOLE 62936 0 0 CACI INTL INC NOTE 2.125% 5/0 127190AD8 3436 3010000 PRN SOLE 3010000 0 0 CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 5334 3673000 PRN SOLE 3673000 0 0 CATERPILLAR INC DEL COM 149123101 1760 18796 SH SOLE 18796 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 2318 2500000 PRN SOLE 2500000 0 0 CENTRAL GARDEN & PET CO COM 153527106 831 84458 SH SOLE 84458 0 0 CENTURYLINK INC COM 156700106 996 21562 SH SOLE 21562 0 0 CEPHALON INC NOTE 2.500% 5/0 156708AR0 3815 3368000 PRN SOLE 3368000 0 0 CERNER CORP COM 156782104 3576 37760 SH SOLE 37760 0 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 2908 62894 SH SOLE 62894 0 0 CHEMED CORP NEW NOTE 1.875% 5/1 16359RAC7 3503 3456000 PRN SOLE 3456000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167CA3 7093 8000000 PRN SOLE 8000000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 2316 2598000 PRN SOLE 2598000 0 0 CHINA MED TECHNOLOGIES INC NOTE 6.250%12/1 169483AE4 505 500000 PRN SOLE 500000 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 6752 7000000 PRN SOLE 7000000 0 0 CHUBB CORP COM 171232101 2072 34746 SH SOLE 34746 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 6559 8000000 PRN SOLE 8000000 0 0 CISCO SYS INC COM 17275R102 2088 103307 SH SOLE 103307 0 0 CITIGROUP INC COM 172967101 3582 757137 SH SOLE 757137 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 12416 91450 SH SOLE 91450 0 0 COCA COLA CO COM 191216100 2465 37466 SH SOLE 37466 0 0 CONOCOPHILLIPS COM 20825C104 1773 26039 SH SOLE 26039 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 935 640000 PRN SOLE 640000 0 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 1921 986000 PRN SOLE 986000 0 0 CREE INC COM 225447101 2132 32343 SH SOLE 32343 0 0 CSX CORP DBCV 10/3 126408GA5 1266 552000 SH SOLE 552000 0 0 CUMMINS INC COM 231021106 1644 14944 SH SOLE 14944 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 6235 4552000 SH SOLE 4552000 0 0 DARDEN RESTAURANTS INC COM 237194105 2276 49021 SH SOLE 49021 0 0 DECKERS OUTDOOR CORP COM 243537107 1795 22504 SH SOLE 22504 0 0 DIRECTV COM CL A 25490A101 2295 57483 SH SOLE 57483 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 2763 2269000 PRN SOLE 2269000 0 0 DPL INC COM 233293109 2045 79530 SH SOLE 79530 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 9229 6383000 PRN SOLE 6383000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 5608 3721000 PRN SOLE 3721000 0 0 E M C CORP MASS COM 268648102 5341 233285 SH SOLE 233285 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 3115 2347000 PRN SOLE 2347000 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 6007 6000000 PRN SOLE 6000000 0 0 ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 26884AAV5 321 310000 PRN SOLE 310000 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 4970 4000000 PRN SOLE 4000000 0 0 EXXON MOBIL CORP COM 30231G102 4462 60991 SH SOLE 60991 0 0 FEDEX CORP COM 31428X106 2830 30433 SH SOLE 30433 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 3799 25736 SH SOLE 25736 0 0 FISHER SCIENTIFIC INTL INC NOTE 3.250% 3/0 338032AX3 5032 3603000 PRN SOLE 3603000 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 48 20000 PRN SOLE 20000 0 0 FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 8253 158995 SH SOLE 158995 0 0 FORD MTR CO DEL *W EXP 01/01/201 345370134 611 75000 SH SOLE 75000 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 2936 174870 SH SOLE 174870 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 4848 2425000 PRN SOLE 2425000 0 0 FORWARD AIR CORP COM 349853101 837 29509 SH SOLE 29509 0 0 FOSSIL INC COM 349882100 1107 15695 SH SOLE 15695 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 1736 14464 SH SOLE 14464 0 0 GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 2030 2000000 PRN SOLE 2000000 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 3566 3000000 PRN SOLE 3000000 0 0 GENERAL ELECTRIC CO COM 369604103 5503 301014 SH SOLE 301014 0 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 13306 245920 SH SOLE 245920 0 0 GENUINE PARTS CO COM 372460105 3532 68763 SH SOLE 68763 0 0 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 4388 4266000 PRN SOLE 4266000 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 393 357000 PRN SOLE 357000 0 0 GILEAD SCIENCES INC COM 375558103 940 25952 SH SOLE 25952 0 0 GOLDCORP INC NEW COM 380956409 3195 69425 SH SOLE 69425 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 1374 1125000 PRN SOLE 1125000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 4562 27147 SH SOLE 27147 0 0 GOOGLE INC CL A 38259P508 4222 7107 SH SOLE 7107 0 0 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 2431 38280 SH SOLE 38280 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 399 404000 PRN SOLE 404000 0 0 HALLIBURTON CO COM 406216101 3766 92211 SH SOLE 92211 0 0 HARMONIC INC COM 413160102 474 55313 SH SOLE 55313 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 1541 1393000 PRN SOLE 1393000 0 0 HEALTH CARE REIT INC COM 42217K106 630 13220 SH SOLE 13220 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 5208 4811000 PRN SOLE 4811000 0 0 HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 3022 2744000 PRN SOLE 2744000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 11005 5750000 PRN SOLE 5750000 0 0 HEWLETT PACKARD CO COM 428236103 4168 98953 SH SOLE 98953 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 4681 5000000 PRN SOLE 5000000 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 1627 1493 SH SOLE 1493 0 0 ILLINOIS TOOL WKS INC COM 452308109 2757 51657 SH SOLE 51657 0 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 1086 522000 PRN SOLE 522000 0 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 1731 653000 PRN SOLE 653000 0 0 INTEL CORP COM 458140100 4415 210039 SH SOLE 210039 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 3920 3935000 PRN SOLE 3935000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 5264 35856 SH SOLE 35856 0 0 INTERNATIONAL COAL GRP INC N COM 45928H106 1336 172628 SH SOLE 172628 0 0 INTERNATIONAL COAL GRP INC N NOTE 4.000% 4/0 45928HAG1 9336 6120000 PRN SOLE 6120000 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 3802 3295000 PRN SOLE 3295000 0 0 INTERPUBLIC GROUP COS INC COM 460690100 1488 140050 SH SOLE 140050 0 0 INTERPUBLIC GROUP COS INC NOTE 4.750% 3/1 460690BE9 3189 2727000 PRN SOLE 2727000 0 0 INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 1858 1560000 PRN SOLE 1560000 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 5100 4223000 PRN SOLE 4223000 0 0 ISHARES TR DJ SEL DIV INX 464287168 968 19410 SH SOLE 19410 0 0 ISHARES TR MSCI EAFE IDX 464287465 776 13330 SH SOLE 13330 0 0 ISHARES TR NASDQ BIO INDX 464287556 486 5205 SH SOLE 5205 0 0 ISHARES TR RUSSELL 2000 464287655 1031 13174 SH SOLE 13174 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 989 1000000 PRN SOLE 1000000 0 0 ITRON INC COM 465741106 2622 47287 SH SOLE 47287 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 3898 3716000 PRN SOLE 3716000 0 0 JPMORGAN CHASE & CO COM 46625H100 5404 127372 SH SOLE 127372 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 5926 55325 SH SOLE 55325 0 0 KIMBERLY CLARK CORP COM 494368103 662 10500 SH SOLE 10500 0 0 KINETIC CONCEPTS INC COM NEW 49460W208 2683 64048 SH SOLE 64048 0 0 KING PHARMACEUTICALS INC NOTE 1.250% 4/0 495582AJ7 1988 2000000 PRN SOLE 2000000 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 5729 4160000 PRN SOLE 4160000 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 69 69000 PRN SOLE 69000 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 721 610000 PRN SOLE 610000 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 2699 2500000 PRN SOLE 2500000 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 5167 7500000 PRN SOLE 7500000 0 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 2232 1975000 PRN SOLE 1975000 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 9331 9250000 PRN SOLE 9250000 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 605 571000 PRN SOLE 571000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 7150 8000000 PRN SOLE 8000000 0 0 LOEWS CORP COM 540424108 778 20000 SH SOLE 20000 0 0 LORILLARD INC COM 544147101 2677 32632 SH SOLE 32632 0 0 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 571 258000 PRN SOLE 258000 0 0 MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 2491 134309 SH SOLE 134309 0 0 MCKESSON CORP COM 58155Q103 3779 53710 SH SOLE 53710 0 0 MEADWESTVACO CORP COM 583334107 3569 136479 SH SOLE 136479 0 0 MEDASSETS INC COM 584045108 2424 119964 SH SOLE 119964 0 0 MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 600 600000 PRN SOLE 600000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 4382 4355000 PRN SOLE 4355000 0 0 MERCK & CO INC NEW COM 58933Y105 4052 112342 SH SOLE 112342 0 0 MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 16668 13852000 PRN SOLE 13852000 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 6365 5540000 PRN SOLE 5540000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 3531 2885000 PRN SOLE 2885000 0 0 MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 9883 10500000 PRN SOLE 10500000 0 0 MICROSOFT CORP COM 594918104 7745 277518 SH SOLE 277518 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 7491 7500000 PRN SOLE 7500000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 5343 4618000 PRN SOLE 4618000 0 0 MONSANTO CO NEW COM 61166W101 3129 44929 SH SOLE 44929 0 0 MURPHY OIL CORP COM 626717102 677 9081 SH SOLE 9081 0 0 MYLAN INC COM 628530107 2927 138526 SH SOLE 138526 0 0 NABORS INDS INC NOTE 0.940% 5/1 629568AP1 479 480000 PRN SOLE 480000 0 0 NABORS INDUSTRIES LTD SHS G6359F103 3332 142065 SH SOLE 142065 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 1930 1663000 PRN SOLE 1663000 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 1665 1249000 PRN SOLE 1249000 0 0 NETAPP INC COM 64110D104 2691 49025 SH SOLE 49025 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 4960 2783000 PRN SOLE 2783000 0 0 NEWELL RUBBERMAID INC NOTE 5.500% 3/1 651229AH9 124 58000 PRN SOLE 58000 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 1083 755000 PRN SOLE 755000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 887 610000 PRN SOLE 610000 0 0 NEWMONT MINING CORP NOTE 3.000% 2/1 651639AK2 4951 3557000 PRN SOLE 3557000 0 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 2177 2400000 PRN SOLE 2400000 0 0 NEXTERA ENERGY INC COM 65339F101 2269 43626 SH SOLE 43626 0 0 NORFOLK SOUTHERN CORP COM 655844108 2036 32433 SH SOLE 32433 0 0 NORTHERN OIL & GAS INC NEV COM 665531109 2371 87142 SH SOLE 87142 0 0 NORTHGATE MINERALS CORP NOTE 3.500%10/0 666416AB8 2124 2000000 PRN SOLE 2000000 0 0 OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 117 57000 PRN SOLE 57000 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 555 437000 PRN SOLE 437000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 6580 170500 SH SOLE 170500 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 2965 2653000 PRN SOLE 2653000 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 6350 5999000 PRN SOLE 5999000 0 0 ONYX PHARMACEUTICALS INC NOTE 4.000% 8/1 683399AB5 3375 2822000 PRN SOLE 2822000 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 2045 1580000 PRN SOLE 1580000 0 0 PEPSICO INC COM 713448108 1846 28252 SH SOLE 28252 0 0 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 3137 82927 SH SOLE 82927 0 0 PG&E CORP COM 69331C108 2194 45850 SH SOLE 45850 0 0 PHH CORP NOTE 4.000% 9/0 693320AN3 4770 4250000 PRN SOLE 4250000 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 7570 5000000 PRN SOLE 5000000 0 0 PLAINS EXPL& PRODTN CO COM 726505100 3028 94253 SH SOLE 94253 0 0 PMC-SIERRA INC COM 69344F106 2766 321835 SH SOLE 321835 0 0 PMI GROUP INC NOTE 4.500% 4/1 69344MAK7 1248 1500000 PRN SOLE 1500000 0 0 PPL CORP UNIT 99/99/9999 69351T601 3119 57060 SH SOLE 57060 0 0 PROCTER & GAMBLE CO COM 742718109 4482 69697 SH SOLE 69697 0 0 PROLOGIS NOTE 2.625% 5/1 743410AS1 85 85000 PRN SOLE 85000 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347R297 222 6000 SH SOLE 6000 0 0 PRUDENTIAL FINL INC COM 744320102 2711 46105 SH SOLE 46105 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 1244 39109 SH SOLE 39109 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 3720 3818000 PRN SOLE 3818000 0 0 RADIOSHACK CORP COM 750438103 2383 128842 SH SOLE 128842 0 0 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 3182 2880000 PRN SOLE 2880000 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 4717 3692000 PRN SOLE 3692000 0 0 RIVERBED TECHNOLOGY INC COM 768573107 2586 73508 SH SOLE 73508 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 2386 2304000 PRN SOLE 2304000 0 0 SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 3546 2776000 PRN SOLE 2776000 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 2298 2371000 PRN SOLE 2371000 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 7347 6487000 PRN SOLE 6487000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 2512 2240000 PRN SOLE 2240000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 3712 2500000 PRN SOLE 2500000 0 0 SCHLUMBERGER LTD COM 806857108 3711 44465 SH SOLE 44465 0 0 SIMON PPTY GROUP INC NEW COM 828806109 3346 33645 SH SOLE 33645 0 0 SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 3165 1045000 PRN SOLE 1045000 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 4081 3500000 PRN SOLE 3500000 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 7455 6000000 PRN SOLE 6000000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 58206 462860 SH SOLE 462860 0 0 SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 527 3200 SH SOLE 3200 0 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 3457 2839000 PRN SOLE 2839000 0 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 3045 27940 SH SOLE 27940 0 0 STANLEY WKS FRNT 5/1 854616AM1 1303 1140000 PRN SOLE 1140000 0 0 STATE STR CORP COM 857477103 2069 44576 SH SOLE 44576 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 1725 1362000 PRN SOLE 1362000 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 9684 9390000 PRN SOLE 9390000 0 0 STILLWATER MNG CO COM 86074Q102 2091 98027 SH SOLE 98027 0 0 STILLWATER MNG CO NOTE 1.875% 3/1 86074QAF9 3596 3131000 PRN SOLE 3131000 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 613 17551 SH SOLE 17551 0 0 SWIFT ENERGY CO COM 870738101 2100 53623 SH SOLE 53623 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 6169 5429000 PRN SOLE 5429000 0 0 SYNOVUS FINL CORP COM 87161C105 1041 394225 SH SOLE 394225 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 1831 75000 SH SOLE 75000 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 156 110000 PRN SOLE 110000 0 0 TAUBMAN CTRS INC COM 876664103 558 11047 SH SOLE 11047 0 0 TECH DATA CORP DBCV 2.750%12/1 878237AE6 5699 5475000 PRN SOLE 5475000 0 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 2101 2000000 PRN SOLE 2000000 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 1665 816000 PRN SOLE 816000 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 6144 5650000 PRN SOLE 5650000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 61 52000 PRN SOLE 52000 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 2813 1479000 PRN SOLE 1479000 0 0 THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 10182 9000000 PRN SOLE 9000000 0 0 THQ INC NOTE 5.000% 8/1 872443AB2 5019 4826000 PRN SOLE 4826000 0 0 TIME WARNER INC COM NEW 887317303 3121 97022 SH SOLE 97022 0 0 TJX COS INC NEW COM 872540109 3474 78302 SH SOLE 78302 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AV1 606 615000 PRN SOLE 615000 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 4747 4905000 PRN SOLE 4905000 0 0 TRANSOCEAN LTD REG SHS H8817H100 2277 32751 SH SOLE 32751 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 5747 6000000 PRN SOLE 6000000 0 0 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 2028 1215000 PRN SOLE 1215000 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 504 9552 SH SOLE 9552 0 0 UAL CORP NOTE 6.000%10/1 902549AJ3 1458 500000 PRN SOLE 500000 0 0 UAL CORP NOTE 4.500% 6/3 902549AH7 1496 1457000 PRN SOLE 1457000 0 0 UNION PAC CORP COM 907818108 655 7064 SH SOLE 7064 0 0 UNITED CONTL HLDGS INC COM 910047109 994 41704 SH SOLE 41704 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 1869 958000 PRN SOLE 958000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 4215 53557 SH SOLE 53557 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1656 45849 SH SOLE 45849 0 0 US BANCORP DEL COM NEW 902973304 3281 121654 SH SOLE 121654 0 0 VALE CAP II VALEP 6.75%12 91912F300 1720 17685 PRN SOLE 17685 0 0 VERIFONE SYS INC NOTE 1.375% 6/1 92342YAB5 1606 1494000 PRN SOLE 1494000 0 0 VERIGY LTD NOTE 5.250% 7/1 92345XAB4 3581 3000000 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INC COM 929297109 216 4775 SH SOLE 4775 0 0 WRIGHT MED GROUP INC NOTE 2.625%12/0 98235TAA5 2825 3000000 PRN SOLE 3000000 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 387 372000 PRN SOLE 372000 0 0
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