0001172661-11-000309.txt : 20110511
0001172661-11-000309.hdr.sgml : 20110511
20110511090248
ACCESSION NUMBER: 0001172661-11-000309
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110331
FILED AS OF DATE: 20110511
DATE AS OF CHANGE: 20110511
EFFECTIVENESS DATE: 20110511
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: 11830334
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
ssi1q11.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, 2011
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 May 11, 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: 280
Form13F Information Table Value Total: $986,990 (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 514 545000 PRN SOLE 545000 0 0
3M CO COM 88579Y101 3162 33814 SH SOLE 33814 0 0
AAR CORP NOTE 1.750% 2/0 000361AH8 1633 1453000 PRN SOLE 1453000 0 0
ABBOTT LABS COM 002824100 1927 39285 SH SOLE 39285 0 0
AFFILIATED MANAGERS GROUP COM 008252108 2229 20377 SH SOLE 20377 0 0
AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 6142 5233000 PRN SOLE 5233000 0 0
AGCO CORP NOTE 1.250%12/1 001084AM4 2876 1945000 PRN SOLE 1945000 0 0
AIRGAS INC COM 009363102 966 14538 SH SOLE 14538 0 0
ALCOA INC NOTE 5.250% 3/1 013817AT8 411 146000 PRN SOLE 146000 0 0
ALERE INC PERP PFD CONV SE 01449J204 12804 46432 SH SOLE 46432 0 0
ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 6314 3590000 PRN SOLE 3590000 0 0
ALLERGAN INC COM 018490102 5179 72930 SH SOLE 72930 0 0
ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 438 364000 PRN SOLE 364000 0 0
ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 5797 5405000 PRN SOLE 5405000 0 0
ALPHA NATURAL RESOURCES INC COM 02076X102 2101 35390 SH SOLE 35390 0 0
ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 5494 4040000 PRN SOLE 4040000 0 0
ALZA CORP SDCV 7/2 02261WAB5 49 57000 PRN SOLE 57000 0 0
AMAZON COM INC COM 023135106 869 4826 SH SOLE 4826 0 0
AMERICAN EXPRESS CO COM 025816109 2795 61829 SH SOLE 61829 0 0
AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 7118 5327000 PRN SOLE 5327000 0 0
AMERICAN TOWER CORP CL A 029912201 2194 42345 SH SOLE 42345 0 0
AMGEN INC NOTE 0.375% 2/0 031162AQ3 174 175000 PRN SOLE 175000 0 0
ANADARKO PETE CORP COM 032511107 3361 41028 SH SOLE 41028 0 0
ANALOG DEVICES INC COM 032654105 987 25053 SH SOLE 25053 0 0
ANGLOGOLD ASHANTI HLDGS FIN MAND BD CV 13 03512Q206 4038 75000 SH SOLE 75000 0 0
ANHEUSER BUSCH INBEV SA/NV SPONSORED ADR 03524A108 2386 41730 SH SOLE 41730 0 0
ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 3622 2886000 PRN SOLE 2886000 0 0
ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 8224 7082000 PRN SOLE 7082000 0 0
APACHE CORP COM 037411105 558 4261 SH SOLE 4261 0 0
APACHE CORP PFD CONV SER D 037411808 3843 54400 SH SOLE 54400 0 0
APPLE INC COM 037833100 11065 31751 SH SOLE 31751 0 0
ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 1144 789000 PRN SOLE 789000 0 0
ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 2898 2605000 PRN SOLE 2605000 0 0
ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 3200 70865 SH SOLE 70865 0 0
ARROW ELECTRS INC COM 042735100 2987 71316 SH SOLE 71316 0 0
ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 8990 8000000 PRN SOLE 8000000 0 0
ASPEN INSURANCE HOLDINGS LTD PFD PRP INC EQ G05384113 6772 125700 SH SOLE 125700 0 0
AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 3935 2987000 PRN SOLE 2987000 0 0
BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 5060 5060 SH SOLE 5060 0 0
BANK OF AMERICA CORPORATION COM 060505104 1231 92362 SH SOLE 92362 0 0
BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 4005 3373000 PRN SOLE 3373000 0 0
BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 886 10592 SH SOLE 10592 0 0
BLACKSTONE GROUP L P COM UNIT LTD 09253U108 3252 181903 SH SOLE 181903 0 0
BOEING CO COM 097023105 2474 33461 SH SOLE 33461 0 0
BORGWARNER INC NOTE 3.500% 4/1 099724AF3 1330 544000 PRN SOLE 544000 0 0
BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 96 95000 PRN SOLE 95000 0 0
BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 3099 2695000 PRN SOLE 2695000 0 0
BRIGHAM EXPLORATION CO COM 109178103 2425 65232 SH SOLE 65232 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 3070 116171 SH SOLE 116171 0 0
CABOT CORP COM 127055101 2955 63831 SH SOLE 63831 0 0
CACI INTL INC NOTE 2.125% 5/0 127190AD8 3912 3123000 PRN SOLE 3123000 0 0
CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 4948 3066000 PRN SOLE 3066000 0 0
CATERPILLAR INC DEL COM 149123101 2611 23451 SH SOLE 23451 0 0
CERNER CORP COM 156782104 2520 22664 SH SOLE 22664 0 0
CF INDS HLDGS INC COM 125269100 850 6213 SH SOLE 6213 0 0
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 4646 4309000 PRN SOLE 4309000 0 0
CHEVRON CORP NEW COM 166764100 1864 17345 SH SOLE 17345 0 0
CHINA MED TECHNOLOGIES INC NOTE 6.250%12/1 169483AE4 529 500000 PRN SOLE 500000 0 0
CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 7280 7000000 PRN SOLE 7000000 0 0
CISCO SYS INC COM 17275R102 1848 107747 SH SOLE 107747 0 0
CITIGROUP INC COM 172967101 4655 1053122 SH SOLE 1053122 0 0
CITIGROUP INC UNIT 99/99/9999 172967416 13253 104770 SH SOLE 104770 0 0
COCA COLA CO COM 191216100 2484 37436 SH SOLE 37436 0 0
COMCAST CORP NEW CL A 20030N101 1409 57005 SH SOLE 57005 0 0
COMPLETE PRODUCTION SERVICES COM 20453E109 3308 103985 SH SOLE 103985 0 0
CONOCOPHILLIPS COM 20825C104 2079 26039 SH SOLE 26039 0 0
CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 1080 756000 PRN SOLE 756000 0 0
CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 2284 1025000 PRN SOLE 1025000 0 0
CORE LABORATORIES N V COM N22717107 2975 29116 SH SOLE 29116 0 0
CSX CORP DBCV 10/3 126408GA5 1512 542000 PRN SOLE 542000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 2593 2387000 PRN SOLE 2387000 0 0
CUMMINS INC COM 231021106 2609 23800 SH SOLE 23800 0 0
DANAHER CORP DEL NOTE 1/2 235851AF9 5388 3592000 PRN SOLE 3592000 0 0
DEERE & CO COM 244199105 2235 23063 SH SOLE 23063 0 0
DENBURY RES INC COM NEW 247916208 1455 59630 SH SOLE 59630 0 0
DENDREON CORP COM 24823Q107 460 12286 SH SOLE 12286 0 0
DENDREON CORP NOTE 2.875% 1/1 24823QAC1 4343 4092000 PRN SOLE 4092000 0 0
DIRECTV COM CL A 25490A101 1855 39645 SH SOLE 39645 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 242 191000 PRN SOLE 191000 0 0
DPL INC COM 233293109 2180 79530 SH SOLE 79530 0 0
DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 7009 7000000 PRN SOLE 7000000 0 0
DUPONT FABROS TECHNOLOGY INC COM 26613Q106 858 35385 SH SOLE 35385 0 0
E M C CORP MASS COM 268648102 5953 224123 SH SOLE 224123 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AK8 10756 6499000 PRN SOLE 6499000 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 6661 3907000 PRN SOLE 3907000 0 0
ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 3451 2452000 PRN SOLE 2452000 0 0
ENERSYS NOTE 3.375% 6/0 29275YAA0 3708 2958000 PRN SOLE 2958000 0 0
EQUINIX INC NOTE 3.000%10/1 29444UAG1 9396 8700000 PRN SOLE 8700000 0 0
ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 26884AAV5 317 310000 PRN SOLE 310000 0 0
EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 6786 5500000 PRN SOLE 5500000 0 0
EXXON MOBIL CORP COM 30231G102 5549 65956 SH SOLE 65956 0 0
FEDEX CORP COM 31428X106 2059 22005 SH SOLE 22005 0 0
FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 2727 18424 SH SOLE 18424 0 0
FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 53 20000 PRN SOLE 20000 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 805 53990 SH SOLE 53990 0 0
FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 5430 2996000 PRN SOLE 2996000 0 0
FORD MTR CO DEL *W EXP 01/01/201 345370134 479 75000 SH SOLE 75000 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 1609 28971 SH SOLE 28971 0 0
GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 1869 2000000 PRN SOLE 2000000 0 0
GENCORP INC SDCV 4.062%12/3 368682AN0 2446 2455000 PRN SOLE 2455000 0 0
GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 5585 4000000 PRN SOLE 4000000 0 0
GENERAL ELECTRIC CO COM 369604103 3619 180508 SH SOLE 180508 0 0
GENERAL MTRS CO JR PFD CNV SRB 37045V209 15175 314825 SH SOLE 314825 0 0
GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 2662 2442000 PRN SOLE 2442000 0 0
GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 1034 848000 PRN SOLE 848000 0 0
GILEAD SCIENCES INC COM 375558103 1771 41697 SH SOLE 41697 0 0
GOLDCORP INC NEW COM 380956409 3118 62605 SH SOLE 62605 0 0
GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 1587 1245000 PRN SOLE 1245000 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 3961 24974 SH SOLE 24974 0 0
GOOGLE INC CL A 38259P508 4524 7710 SH SOLE 7710 0 0
GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 453 446000 PRN SOLE 446000 0 0
HALLIBURTON CO COM 406216101 3012 60428 SH SOLE 60428 0 0
HARMONIC INC COM 413160102 2269 241904 SH SOLE 241904 0 0
HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 1660 63740 SH SOLE 63740 0 0
HDFC BANK LTD ADR REPS 3 SHS 40415F101 923 5429 SH SOLE 5429 0 0
HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 497 443000 PRN SOLE 443000 0 0
HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 1328 1183000 PRN SOLE 1183000 0 0
HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 4840 4341000 PRN SOLE 4341000 0 0
HERTZ GLOBAL HOLDINGS INC COM 42805T105 1430 91491 SH SOLE 91491 0 0
HEWLETT PACKARD CO COM 428236103 1960 47841 SH SOLE 47841 0 0
HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 1663 1486 SH SOLE 1486 0 0
HUNTINGTON BANCSHARES INC COM 446150104 1348 203000 SH SOLE 203000 0 0
ICICI BK LTD ADR 45104G104 1557 31242 SH SOLE 31242 0 0
ILLINOIS TOOL WKS INC COM 452308109 2248 41855 SH SOLE 41855 0 0
INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 147 54000 PRN SOLE 54000 0 0
INTEL CORP COM 458140100 2155 106778 SH SOLE 106778 0 0
INTEL CORP SDCV 2.950%12/1 458140AD2 3884 3775000 PRN SOLE 3775000 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 3762 23072 SH SOLE 23072 0 0
INTERNATIONAL COAL GRP INC N COM 45928H106 1670 147772 SH SOLE 147772 0 0
INTERNATIONAL COAL GRP INC N NOTE 4.000% 4/0 45928HAG1 2436 1169000 PRN SOLE 1169000 0 0
INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 2518 2194000 PRN SOLE 2194000 0 0
INTERPUBLIC GROUP COS INC COM 460690100 2337 185900 SH SOLE 185900 0 0
INTERPUBLIC GROUP COS INC NOTE 4.750% 3/1 460690BE9 4813 3816000 PRN SOLE 3816000 0 0
INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 4754 4098000 PRN SOLE 4098000 0 0
INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 172 155000 PRN SOLE 155000 0 0
ISHARES TR DJ SEL DIV INX 464287168 753 14450 SH SOLE 14450 0 0
ISHARES TR MSCI EAFE INDEX 464287465 863 14370 SH SOLE 14370 0 0
ISHARES TR NASDQ BIO INDX 464287556 520 5190 SH SOLE 5190 0 0
ISHARES TR RUSSELL 2000 464287655 1127 13394 SH SOLE 13394 0 0
JDS UNIPHASE CORP NOTE 1.000% 5/1 46612JAD3 3502 3246000 PRN SOLE 3246000 0 0
JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 1397 1345000 PRN SOLE 1345000 0 0
JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 3068 2000000 PRN SOLE 2000000 0 0
JPMORGAN CHASE & CO COM 46625H100 5782 125419 SH SOLE 125419 0 0
KANSAS CITY SOUTHERN COM NEW 485170302 3901 71636 SH SOLE 71636 0 0
KEYCORP NEW PFD 7.75% SR A 493267405 6169 55325 SH SOLE 55325 0 0
KIMBERLY CLARK CORP COM 494368103 685 10500 SH SOLE 10500 0 0
KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 5905 4151000 PRN SOLE 4151000 0 0
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 753 610000 PRN SOLE 610000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 7331 5000000 PRN SOLE 5000000 0 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 9510 11650000 PRN SOLE 11650000 0 0
LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 2456 2068000 PRN SOLE 2068000 0 0
LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 10384 9750000 PRN SOLE 9750000 0 0
LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 110 103000 PRN SOLE 103000 0 0
LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 7767 8500000 PRN SOLE 8500000 0 0
LOEWS CORP COM 540424108 862 20000 SH SOLE 20000 0 0
LOWES COS INC COM 548661107 1674 63342 SH SOLE 63342 0 0
MARVELL TECHNOLOGY GROUP LTD ORD G5876H105 1867 120082 SH SOLE 120082 0 0
MCKESSON CORP COM 58155Q103 4543 57473 SH SOLE 57473 0 0
MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 448 435000 PRN SOLE 435000 0 0
MERCK & CO INC NEW COM 58933Y105 2990 90564 SH SOLE 90564 0 0
METLIFE INC UNIT 99/99/9999 59156R116 9774 115190 SH SOLE 115190 0 0
MF GLOBAL HLDGS LTD NOTE 1.875% 2/0 55277JAA6 7900 7698000 PRN SOLE 7698000 0 0
MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 10858 9096000 PRN SOLE 9096000 0 0
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 4135 3032000 PRN SOLE 3032000 0 0
MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 2719 2500000 PRN SOLE 2500000 0 0
MICROSOFT CORP COM 594918104 4706 185335 SH SOLE 185335 0 0
MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 12261 10732000 PRN SOLE 10732000 0 0
MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1697 1461000 PRN SOLE 1461000 0 0
MOLYCORP INC DEL PFD CONV SER A 608753208 850 7500 SH SOLE 7500 0 0
MONSANTO CO NEW COM 61166W101 2257 31234 SH SOLE 31234 0 0
MYLAN INC COM 628530107 1623 71608 SH SOLE 71608 0 0
NABORS INDUSTRIES LTD SHS G6359F103 3291 108331 SH SOLE 108331 0 0
NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 1697 1458000 PRN SOLE 1458000 0 0
NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 3760 2490000 PRN SOLE 2490000 0 0
NETAPP INC COM 64110D104 3392 70452 SH SOLE 70452 0 0
NETAPP INC NOTE 1.750% 6/0 64110DAB0 4581 2888000 PRN SOLE 2888000 0 0
NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 996 755000 PRN SOLE 755000 0 0
NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 2119 1567000 PRN SOLE 1567000 0 0
NEWMONT MINING CORP NOTE 3.000% 2/1 651639AK2 9638 7695000 PRN SOLE 7695000 0 0
NEWS CORP CL A 65248E104 3437 195507 SH SOLE 195507 0 0
NEXTERA ENERGY INC COM 65339F101 2406 43656 SH SOLE 43656 0 0
NORFOLK SOUTHERN CORP COM 655844108 2238 32313 SH SOLE 32313 0 0
NORTHERN OIL & GAS INC NEV COM 665531109 1030 38590 SH SOLE 38590 0 0
NORTHGATE MINERALS CORP NOTE 3.500%10/0 666416AB8 1978 2000000 PRN SOLE 2000000 0 0
OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 296 123000 PRN SOLE 123000 0 0
OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 1440 1435000 PRN SOLE 1435000 0 0
OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 524 437000 PRN SOLE 437000 0 0
OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 8585 190000 SH SOLE 190000 0 0
OMNICOM GROUP INC NOTE 7/0 682134AA9 6637 5906000 PRN SOLE 5906000 0 0
ON SEMICONDUCTOR CORP NOTE 4/1 682189AE5 2318 2074000 PRN SOLE 2074000 0 0
ONYX PHARMACEUTICALS INC NOTE 4.000% 8/1 683399AB5 3455 2950000 PRN SOLE 2950000 0 0
ORACLE CORP COM 68389X105 2286 68365 SH SOLE 68365 0 0
PARKER HANNIFIN CORP COM 701094104 2452 25896 SH SOLE 25896 0 0
PEABODY ENERGY CORP COM 704549104 991 13768 SH SOLE 13768 0 0
PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 3698 2791000 PRN SOLE 2791000 0 0
PEPSICO INC COM 713448108 1820 28252 SH SOLE 28252 0 0
PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 3353 82937 SH SOLE 82937 0 0
PFIZER INC COM 717081103 1072 52785 SH SOLE 52785 0 0
PG&E CORP COM 69331C108 1301 29459 SH SOLE 29459 0 0
PHH CORP NOTE 4.000% 9/0 693320AN3 5278 4750000 PRN SOLE 4750000 0 0
PHILIP MORRIS INTL INC COM 718172109 1801 27448 SH SOLE 27448 0 0
PINNACLE WEST CAP CORP COM 723484101 814 19012 SH SOLE 19012 0 0
PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 14520 8186000 PRN SOLE 8186000 0 0
PIONEER NAT RES CO COM 723787107 2413 23679 SH SOLE 23679 0 0
PMC-SIERRA INC COM 69344F106 1356 180595 SH SOLE 180595 0 0
PMI GROUP INC NOTE 4.500% 4/1 69344MAK7 5013 6500000 PRN SOLE 6500000 0 0
PROCTER & GAMBLE CO COM 742718109 4290 69642 SH SOLE 69642 0 0
PROLOGIS NOTE 2.625% 5/1 743410AS1 84 85000 PRN SOLE 85000 0 0
PRUDENTIAL FINL INC COM 744320102 2838 46080 SH SOLE 46080 0 0
QUALCOMM INC COM 747525103 1808 32978 SH SOLE 32978 0 0
QUEST SOFTWARE INC COM 74834T103 613 24115 SH SOLE 24115 0 0
RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 6028 6624000 PRN SOLE 6624000 0 0
RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 3474 2898000 PRN SOLE 2898000 0 0
REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 4943 3692000 PRN SOLE 3692000 0 0
ROCK-TENN CO CL A 772739207 2891 41694 SH SOLE 41694 0 0
SAKS INC NOTE 2.000% 3/1 79377WAL2 3661 3462000 PRN SOLE 3462000 0 0
SALIX PHARMACEUTICALS INC COM 795435106 1179 33648 SH SOLE 33648 0 0
SANDISK CORP NOTE 1.500% 8/1 80004CAD3 3554 3138000 PRN SOLE 3138000 0 0
SAVIENT PHARMACEUTICALS INC NOTE 4.750% 2/0 80517QAA8 2070 1750000 PRN SOLE 1750000 0 0
SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 1788 1568000 PRN SOLE 1568000 0 0
SCHLUMBERGER LTD COM 806857108 3226 34595 SH SOLE 34595 0 0
SIGNET JEWELERS LIMITED SHS G81276100 3374 73318 SH SOLE 73318 0 0
SIMON PPTY GROUP INC NEW COM 828806109 4745 44279 SH SOLE 44279 0 0
SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 3565 1045000 PRN SOLE 1045000 0 0
SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 2515 2000000 PRN SOLE 2000000 0 0
SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 8125 6250000 PRN SOLE 6250000 0 0
SOTHEBYS NOTE 3.125% 6/1 835898AC1 3996 2431000 PRN SOLE 2431000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 71177 536820 SH SOLE 536820 0 0
SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 575 3200 SH SOLE 3200 0 0
ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 4221 2957000 PRN SOLE 2957000 0 0
STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 3660 30380 SH SOLE 30380 0 0
STANLEY WKS FRNT 5/1 854616AM1 1624 1305000 PRN SOLE 1305000 0 0
STATE STR CORP COM 857477103 334 7440 SH SOLE 7440 0 0
STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 5106 5000000 PRN SOLE 5000000 0 0
STILLWATER MNG CO COM 86074Q102 435 18955 SH SOLE 18955 0 0
SVB FINL GROUP NOTE 3.875% 4/1 78486QAB7 476 460000 PRN SOLE 460000 0 0
SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 4982 4130000 PRN SOLE 4130000 0 0
SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 6326 276600 SH SOLE 276600 0 0
TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 160 110000 PRN SOLE 110000 0 0
TARGET CORP COM 87612E106 2736 54701 SH SOLE 54701 0 0
TECH DATA CORP DBCV 2.750%12/1 878237AE6 5337 4953000 PRN SOLE 4953000 0 0
TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 2076 867000 PRN SOLE 867000 0 0
TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 59 52000 PRN SOLE 52000 0 0
TEXTRON INC NOTE 4.500% 5/0 883203BN0 3266 1526000 PRN SOLE 1526000 0 0
THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 10367 9000000 PRN SOLE 9000000 0 0
THQ INC NOTE 5.000% 8/1 872443AB2 4699 4826000 PRN SOLE 4826000 0 0
TIME WARNER INC COM NEW 887317303 327 9165 SH SOLE 9165 0 0
TJX COS INC NEW COM 872540109 3194 64228 SH SOLE 64228 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 151 154000 PRN SOLE 154000 0 0
TRINA SOLAR LIMITED SPON ADR 89628E104 408 13548 SH SOLE 13548 0 0
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 831 15087 SH SOLE 15087 0 0
TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 3726 2715000 PRN SOLE 2715000 0 0
TTM TECHNOLOGIES INC COM 87305R109 2086 114845 SH SOLE 114845 0 0
UAL CORP NOTE 4.500% 6/3 902549AH7 1540 1519000 PRN SOLE 1519000 0 0
UAL CORP NOTE 6.000%10/1 902549AJ3 1410 499000 PRN SOLE 499000 0 0
UNION PAC CORP COM 907818108 1288 13099 SH SOLE 13099 0 0
UNISYS CORP PFD SER A 6.25% 909214405 893 10000 SH SOLE 10000 0 0
UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 2725 1494000 PRN SOLE 1494000 0 0
UNITED TECHNOLOGIES CORP COM 913017109 2980 35204 SH SOLE 35204 0 0
UNITEDHEALTH GROUP INC COM 91324P102 2548 56374 SH SOLE 56374 0 0
US BANCORP DEL COM NEW 902973304 3213 121584 SH SOLE 121584 0 0
VALERO ENERGY CORP NEW COM 91913Y100 2707 90790 SH SOLE 90790 0 0
VANGUARD INTL EQUITY INDEX F MSCI EMR MKT ETF 922042858 602 12290 SH SOLE 12290 0 0
VERIFONE SYS INC NOTE 1.375% 6/1 92342YAB5 4093 3046000 PRN SOLE 3046000 0 0
VERIGY LTD NOTE 5.250% 7/1 92345XAB4 3722 3000000 PRN SOLE 3000000 0 0
VERISIGN INC SDCV 3.250% 8/1 92343EAD4 6056 5000000 PRN SOLE 5000000 0 0
VERIZON COMMUNICATIONS INC COM 92343V104 1577 40920 SH SOLE 40920 0 0
VERTEX PHARMACEUTICALS INC COM 92532F100 902 18825 SH SOLE 18825 0 0
VERTEX PHARMACEUTICALS INC NOTE 3.350%10/0 92532FAN0 13371 11005000 PRN SOLE 11005000 0 0
VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 3863 3054000 PRN SOLE 3054000 0 0
VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 5219 4670000 PRN SOLE 4670000 0 0
VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 3882 3478000 PRN SOLE 3478000 0 0
WAL MART STORES INC COM 931142103 2294 44066 SH SOLE 44066 0 0
WALGREEN CO COM 931422109 1078 26845 SH SOLE 26845 0 0
WEATHERFORD INTERNATIONAL LT REG SHS H27013103 3677 162692 SH SOLE 162692 0 0
WEBSTER FINL CORP CONN COM 947890109 1805 84250 SH SOLE 84250 0 0
WELLS FARGO & CO NEW PERP PFD CNV A 949746804 6318 6103 SH SOLE 6103 0 0
WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 5328 5500000 PRN SOLE 5500000 0 0
WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 7892 4500000 PRN SOLE 4500000 0 0
XILINX INC SDCV 3.125% 3/1 983919AD3 489 420000 PRN SOLE 420000 0 0