0001172661-11-000502.txt : 20110811
0001172661-11-000502.hdr.sgml : 20110811
20110810193137
ACCESSION NUMBER: 0001172661-11-000502
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110630
FILED AS OF DATE: 20110811
DATE AS OF CHANGE: 20110810
EFFECTIVENESS DATE: 20110811
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: 111025653
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
ssi2q11.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, 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: 028-04720
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 August 10, 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
Form 13F Information Table Entry Total: 288
Form 13F Information Table Value Total: $996,509 (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 COM 88579Y101 3208 33814 SH SOLE 33814 0 0
3M CO NOTE 11/2 88579YAB7 526 545000 PRN SOLE 545000 0 0
ABBOTT LABS COM 002824100 2070 39285 SH SOLE 39285 0 0
AFFILIATED MANAGERS GROUP COM 008252108 1678 16537 SH SOLE 16537 0 0
AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 5570 5018000 PRN SOLE 5018000 0 0
AGCO CORP NOTE 1.250%12/1 001084AM4 4705 3513000 PRN SOLE 3513000 0 0
AIRGAS INC COM 009363102 1020 14549 SH SOLE 14549 0 0
AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1754 1225000 PRN SOLE 1225000 0 0
ALCOA INC NOTE 5.250% 3/1 013817AT8 370 146000 PRN SOLE 146000 0 0
ALERE INC PERP PFD CONV SE 01449J204 7059 25527 SH SOLE 25527 0 0
ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 5406 3265000 PRN SOLE 3265000 0 0
ALLERGAN INC COM 018490102 3561 42778 SH SOLE 42778 0 0
ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 511 402000 PRN SOLE 402000 0 0
ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 5169 5405000 PRN SOLE 5405000 0 0
ALPHA NATURAL RESOURCES INC COM 02076X102 1893 41660 SH SOLE 41660 0 0
ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 4904 4189000 PRN SOLE 4189000 0 0
ALZA CORP SDCV 7/2 02261WAB5 54 57000 PRN SOLE 57000 0 0
AMAZON COM INC COM 023135106 988 4826 SH SOLE 4826 0 0
AMERICAN EXPRESS CO COM 025816109 563 10855 SH SOLE 10855 0 0
AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 7222 4264000 PRN SOLE 4264000 0 0
AMERICAN TOWER CORP CL A 029912201 1843 35254 SH SOLE 35254 0 0
AMGEN INC NOTE 0.375% 2/0 031162AQ3 416 415000 PRN SOLE 415000 0 0
AMR CORP NOTE 6.250%10/1 001765BC9 4851 5000000 PRN SOLE 5000000 0 0
ANADARKO PETE CORP COM 032511107 1414 18433 SH SOLE 18433 0 0
ANALOG DEVICES INC COM 032654105 1136 28993 SH SOLE 28993 0 0
ANGLOGOLD ASHANTI HLDGS FIN MAND BD CV 13 03512Q206 3706 75000 SH SOLE 75000 0 0
ANHEUSER BUSCH INBEV SA/NV SPONSORED ADR 03524A108 2405 41465 SH SOLE 41465 0 0
ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 3510 2958000 PRN SOLE 2958000 0 0
ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 6525 5500000 PRN SOLE 5500000 0 0
APACHE CORP COM 037411105 505 4103 SH SOLE 4103 0 0
APACHE CORP PFD CONV SER D 037411808 4808 72910 SH SOLE 72910 0 0
APPLE INC COM 037833100 10710 31914 SH SOLE 31914 0 0
APPLIED MATLS INC COM 038222105 1839 141349 SH SOLE 141349 0 0
ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 2284 1654000 PRN SOLE 1654000 0 0
ARCH CHEMICALS INC COM 03937R102 1438 41760 SH SOLE 41760 0 0
ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 2880 2730000 PRN SOLE 2730000 0 0
ARROW ELECTRS INC COM 042735100 2494 60069 SH SOLE 60069 0 0
ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 8731 8000000 PRN SOLE 8000000 0 0
ASPEN INSURANCE HOLDINGS LTD PFD PRP INC EQ G05384113 9113 175040 SH SOLE 175040 0 0
AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 3770 2967000 PRN SOLE 2967000 0 0
BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 8693 8706 SH SOLE 8706 0 0
BASIC ENERGY SVCS INC NEW COM 06985P100 1011 32135 SH SOLE 32135 0 0
BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 38 32000 PRN SOLE 32000 0 0
BED BATH & BEYOND INC COM 075896100 2140 36646 SH SOLE 36646 0 0
BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 1875 24230 SH SOLE 24230 0 0
BLACKSTONE GROUP L P COM UNIT LTD 09253U108 3223 194694 SH SOLE 194694 0 0
BOEING CO COM 097023105 2455 33216 SH SOLE 33216 0 0
BORGWARNER INC NOTE 3.500% 4/1 099724AF3 1344 544000 PRN SOLE 544000 0 0
BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 3395 2883000 PRN SOLE 2883000 0 0
BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 95 95000 PRN SOLE 95000 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 2911 100482 SH SOLE 100482 0 0
CABOT CORP COM 127055101 2470 61935 SH SOLE 61935 0 0
CAMERON INTERNATIONAL CORP COM 13342B105 3010 59844 SH SOLE 59844 0 0
CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 4638 3266000 PRN SOLE 3266000 0 0
CATERPILLAR INC DEL COM 149123101 3336 31342 SH SOLE 31342 0 0
CELGENE CORP COM 151020104 880 14579 SH SOLE 14579 0 0
CENTRAL EUROPEAN MEDIA NOTE 5.000%11/1 153443AH9 2662 3000000 PRN SOLE 3000000 0 0
CERNER CORP COM 156782104 2113 34520 SH SOLE 34520 0 0
CF INDS HLDGS INC COM 125269100 1781 12572 SH SOLE 12572 0 0
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 4864 4623000 PRN SOLE 4623000 0 0
CHEVRON CORP NEW COM 166764100 3471 33751 SH SOLE 33751 0 0
CHINA MED TECHNOLOGIES INC NOTE 6.250%12/1 169483AE4 364 500000 PRN SOLE 500000 0 0
CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 6773 7000000 PRN SOLE 7000000 0 0
CISCO SYS INC COM 17275R102 1671 107042 SH SOLE 107042 0 0
CITIGROUP INC UNIT 99/99/9999 172967416 12911 107465 SH SOLE 107465 0 0
CITIGROUP INC COM NEW 172967424 5062 121582 SH SOLE 121582 0 0
COCA COLA CO COM 191216100 2524 37511 SH SOLE 37511 0 0
COMCAST CORP NEW CL A 20030N101 1002 39512 SH SOLE 39512 0 0
CONOCOPHILLIPS COM 20825C104 3134 41667 SH SOLE 41667 0 0
CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 5000 3526000 PRN SOLE 3526000 0 0
CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 2583 1061000 PRN SOLE 1061000 0 0
CORE LABORATORIES N V COM N22717107 1912 17131 SH SOLE 17131 0 0
CSX CORP DBCV 10/3 126408GA5 1480 530000 PRN SOLE 530000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 1490 1167000 PRN SOLE 1167000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 1729 1243000 PRN SOLE 1243000 0 0
CUMMINS INC COM 231021106 3514 33952 SH SOLE 33952 0 0
DANAHER CORP DEL NOTE 1/2 235851AF9 5702 3704000 PRN SOLE 3704000 0 0
DEERE & CO COM 244199105 3113 37761 SH SOLE 37761 0 0
DENDREON CORP NOTE 2.875% 1/1 24823QAC1 1099 1000000 PRN SOLE 1000000 0 0
DIRECTV COM CL A 25490A101 1998 39290 SH SOLE 39290 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 262 191000 PRN SOLE 191000 0 0
DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 11671 12962000 PRN SOLE 12962000 0 0
DUPONT FABROS TECHNOLOGY INC COM 26613Q106 2870 113868 SH SOLE 113868 0 0
E M C CORP MASS COM 268648102 7032 255255 SH SOLE 255255 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AK8 12230 7135000 PRN SOLE 7135000 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 9180 5238000 PRN SOLE 5238000 0 0
ENDO PHARMACEUTICALS HLDGS I COM 29264F205 878 21880 SH SOLE 21880 0 0
ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 6351 4361000 PRN SOLE 4361000 0 0
ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 930 27987 SH SOLE 27987 0 0
ENERSYS NOTE 3.375% 6/0 29275YAA0 3470 3059000 PRN SOLE 3059000 0 0
EQUINIX INC NOTE 3.000%10/1 29444UAG1 3863 3463000 PRN SOLE 3463000 0 0
ERP OPER LTD PARTNERSHIP NOTE 3.850% 8/1 26884AAV5 436 425000 PRN SOLE 425000 0 0
EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 6097 5500000 PRN SOLE 5500000 0 0
EXXON MOBIL CORP COM 30231G102 6389 78522 SH SOLE 78522 0 0
FEDEX CORP COM 31428X106 3956 41705 SH SOLE 41705 0 0
FIFTH THIRD BANCORP COM 316773100 880 69072 SH SOLE 69072 0 0
FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 3927 28002 SH SOLE 28002 0 0
FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 47 20000 PRN SOLE 20000 0 0
FORD MTR CO DEL *W EXP 01/01/201 345370134 393 75000 SH SOLE 75000 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 2221 161105 SH SOLE 161105 0 0
FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 3522 2055000 PRN SOLE 2055000 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 2541 48036 SH SOLE 48036 0 0
GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 6881 5000000 PRN SOLE 5000000 0 0
GENERAL ELECTRIC CO COM 369604103 3180 168646 SH SOLE 168646 0 0
GENERAL MTRS CO COM 37045V100 870 28655 SH SOLE 28655 0 0
GENERAL MTRS CO JR PFD CNV SRB 37045V209 22069 452790 SH SOLE 452790 0 0
GILEAD SCIENCES INC COM 375558103 3191 77071 SH SOLE 77071 0 0
GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 1422 1198000 PRN SOLE 1198000 0 0
GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 2824 3875000 PRN SOLE 3875000 0 0
GMX RES INC NOTE 4.500% 5/0 38011MAJ7 3265 4000000 PRN SOLE 4000000 0 0
GOLDCORP INC NEW COM 380956409 3145 65120 SH SOLE 65120 0 0
GOLDMAN SACHS GROUP INC COM 38141G104 2347 17622 SH SOLE 17622 0 0
GOODYEAR TIRE & RUBR CO PFD CONV 382550309 6317 113585 SH SOLE 113585 0 0
GOOGLE INC CL A 38259P508 4510 8903 SH SOLE 8903 0 0
HALLIBURTON CO COM 406216101 3207 62834 SH SOLE 62834 0 0
HARMONIC INC COM 413160102 2121 293184 SH SOLE 293184 0 0
HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 1711 66125 SH SOLE 66125 0 0
HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 2024 2000000 PRN SOLE 2000000 0 0
HEALTH CARE REIT INC DEBT 4.750% 7/1 42217KAQ9 1472 1308000 PRN SOLE 1308000 0 0
HEALTH CARE REIT INC DEBT 3.000%12/0 42217KAR7 497 443000 PRN SOLE 443000 0 0
HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 3651 3500000 PRN SOLE 3500000 0 0
HERTZ GLOBAL HOLDINGS INC COM 42805T105 1303 82042 SH SOLE 82042 0 0
HEWLETT PACKARD CO COM 428236103 1186 32579 SH SOLE 32579 0 0
HOLOGIC INC COM 436440101 454 22527 SH SOLE 22527 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AB7 3561 3114000 PRN SOLE 3114000 0 0
HUNTINGTON BANCSHARES INC COM 446150104 1692 257995 SH SOLE 257995 0 0
HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 2157 1870 SH SOLE 1870 0 0
ILLINOIS TOOL WKS INC COM 452308109 2348 41580 SH SOLE 41580 0 0
INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 128 50000 PRN SOLE 50000 0 0
INTEL CORP COM 458140100 2610 117714 SH SOLE 117714 0 0
INTEL CORP SDCV 2.950%12/1 458140AD2 3903 3775000 PRN SOLE 3775000 0 0
INTERCONTINENTALEXCHANGE INC COM 45865V100 1843 14780 SH SOLE 14780 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 2612 15230 SH SOLE 15230 0 0
INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 2736 2294000 PRN SOLE 2294000 0 0
INTERNATIONAL RECTIFIER CORP COM 460254105 1436 51323 SH SOLE 51323 0 0
INTERPUBLIC GROUP COS INC COM 460690100 2842 227475 SH SOLE 227475 0 0
INTERPUBLIC GROUP COS INC NOTE 4.250% 3/1 460690BA7 7009 6127000 PRN SOLE 6127000 0 0
INTUIT COM 461202103 865 16691 SH SOLE 16691 0 0
INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 4551 3983000 PRN SOLE 3983000 0 0
ISHARES TR DJ SEL DIV INX 464287168 764 14450 SH SOLE 14450 0 0
ISHARES TR MSCI EAFE INDEX 464287465 865 14370 SH SOLE 14370 0 0
ISHARES TR NASDQ BIO INDX 464287556 531 4980 SH SOLE 4980 0 0
ISHARES TR RUSSELL 2000 464287655 1090 13169 SH SOLE 13169 0 0
JDS UNIPHASE CORP NOTE 1.000% 5/1 46612JAD3 3461 3379000 PRN SOLE 3379000 0 0
JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 1630 1630000 PRN SOLE 1630000 0 0
JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 2960 2000000 PRN SOLE 2000000 0 0
JINKOSOLAR HLDG CO LTD NOTE 4.000% 5/1 47759TAA8 2115 2287000 PRN SOLE 2287000 0 0
JPMORGAN CHASE & CO COM 46625H100 5101 124527 SH SOLE 124527 0 0
KANSAS CITY SOUTHERN COM NEW 485170302 3679 61962 SH SOLE 61962 0 0
KEYCORP NEW PFD 7.75% SR A 493267405 6138 55325 SH SOLE 55325 0 0
KIMBERLY CLARK CORP COM 494368103 699 10500 SH SOLE 10500 0 0
KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 6054 4197000 PRN SOLE 4197000 0 0
KODIAK OIL & GAS CORP COM 50015Q100 1096 190155 SH SOLE 190155 0 0
KROGER CO COM 501044101 2540 102405 SH SOLE 102405 0 0
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1130 874000 PRN SOLE 874000 0 0
LENNAR CORP CL A 526057104 1348 74301 SH SOLE 74301 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 15.000% 1/1 52729NBM1 9751 6000000 PRN SOLE 6000000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 2358 1116000 PRN SOLE 1116000 0 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 11658 13515000 PRN SOLE 13515000 0 0
LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 691 578000 PRN SOLE 578000 0 0
LIFE TECHNOLOGIES CORP COM 53217V109 1788 34337 SH SOLE 34337 0 0
LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 5351 5000000 PRN SOLE 5000000 0 0
LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 109 103000 PRN SOLE 103000 0 0
LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 6345 6750000 PRN SOLE 6750000 0 0
LOEWS CORP COM 540424108 842 20000 SH SOLE 20000 0 0
LOWES COS INC COM 548661107 2926 125609 SH SOLE 125609 0 0
MCKESSON CORP COM 58155Q103 5024 60068 SH SOLE 60068 0 0
MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 179 175000 PRN SOLE 175000 0 0
METLIFE INC COM 59156R108 1325 30198 SH SOLE 30198 0 0
METLIFE INC UNIT 99/99/9999 59156R116 10064 122080 SH SOLE 122080 0 0
MF GLOBAL HLDGS LTD NOTE 1.875% 2/0 55277JAA6 7896 7965000 PRN SOLE 7965000 0 0
MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 10483 9096000 PRN SOLE 9096000 0 0
MGM RESORTS INTERNATIONAL COM 552953101 918 69475 SH SOLE 69475 0 0
MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 3575 3305000 PRN SOLE 3305000 0 0
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 8554 6284000 PRN SOLE 6284000 0 0
MICROSOFT CORP COM 594918104 3375 129802 SH SOLE 129802 0 0
MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 12525 10849000 PRN SOLE 10849000 0 0
MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1604 1461000 PRN SOLE 1461000 0 0
MOSAIC CO NEW COM 61945C103 1355 20008 SH SOLE 20008 0 0
MYLAN INC COM 628530107 1752 70943 SH SOLE 70943 0 0
MYLAN INC NOTE 1.250% 3/1 628530AG2 5694 5132000 PRN SOLE 5132000 0 0
NABORS INDUSTRIES LTD SHS G6359F103 2386 96889 SH SOLE 96889 0 0
NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 248 223000 PRN SOLE 223000 0 0
NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 4464 3411000 PRN SOLE 3411000 0 0
NETAPP INC COM 64110D104 3882 73552 SH SOLE 73552 0 0
NETAPP INC NOTE 1.750% 6/0 64110DAB0 5182 3041000 PRN SOLE 3041000 0 0
NETLOGIC MICROSYSTEMS INC COM 64118B100 1792 44337 SH SOLE 44337 0 0
NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 983 755000 PRN SOLE 755000 0 0
NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 2106 1567000 PRN SOLE 1567000 0 0
NEWMONT MINING CORP NOTE 3.000% 2/1 651639AK2 4008 3271000 PRN SOLE 3271000 0 0
NEWS CORP CL A 65248E104 1973 111560 SH SOLE 111560 0 0
NEXTERA ENERGY INC COM 65339F101 2488 43336 SH SOLE 43336 0 0
NORFOLK SOUTHERN CORP COM 655844108 1729 23079 SH SOLE 23079 0 0
NORTHGATE MINERALS CORP NOTE 3.500%10/0 666416AB8 980 1000000 PRN SOLE 1000000 0 0
OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 714 283000 PRN SOLE 283000 0 0
OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 490 437000 PRN SOLE 437000 0 0
OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 1421 1435000 PRN SOLE 1435000 0 0
OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 1203 25000 SH SOLE 25000 0 0
OMNICOM GROUP INC NOTE 7/0 682134AA9 5273 4787000 PRN SOLE 4787000 0 0
ON SEMICONDUCTOR CORP NOTE 4/1 682189AE5 2431 2112000 PRN SOLE 2112000 0 0
ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 74 62000 PRN SOLE 62000 0 0
ORACLE CORP COM 68389X105 5187 157630 SH SOLE 157630 0 0
PARKER HANNIFIN CORP COM 701094104 3186 35479 SH SOLE 35479 0 0
PATRIOT COAL CORP COM 70336T104 1991 89471 SH SOLE 89471 0 0
PEABODY ENERGY CORP COM 704549104 2008 34104 SH SOLE 34104 0 0
PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 3847 3147000 PRN SOLE 3147000 0 0
PEPSICO INC COM 713448108 2649 37611 SH SOLE 37611 0 0
PFIZER INC COM 717081103 2335 113310 SH SOLE 113310 0 0
PG&E CORP COM 69331C108 1238 29459 SH SOLE 29459 0 0
PHH CORP NOTE 4.000% 9/0 693320AN3 4839 4453000 PRN SOLE 4453000 0 0
PHILIP MORRIS INTL INC COM 718172109 2781 41668 SH SOLE 41668 0 0
PINNACLE WEST CAP CORP COM 723484101 2814 63097 SH SOLE 63097 0 0
PIONEER NAT RES CO COM 723787107 2319 25910 SH SOLE 25910 0 0
PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 5804 3750000 PRN SOLE 3750000 0 0
PMC-SIERRA INC COM 69344F106 2362 312105 SH SOLE 312105 0 0
PMC-SIERRA INC NOTE 2.250%10/1 69344FAD8 3555 3280000 PRN SOLE 3280000 0 0
POLYONE CORP COM 73179P106 886 57256 SH SOLE 57256 0 0
PPL CORP UNIT 99/99/9999S 69351T114 5490 100600 SH SOLE 100600 0 0
PROCTER & GAMBLE CO COM 742718109 4428 69642 SH SOLE 69642 0 0
PRUDENTIAL FINL INC COM 744320102 2911 45795 SH SOLE 45795 0 0
QUALCOMM INC COM 747525103 3420 60201 SH SOLE 60201 0 0
RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 1208 1683000 PRN SOLE 1683000 0 0
RAIT FINANCIAL TRUST DEBT 7.000% 4/0 749227AA2 985 1000000 PRN SOLE 1000000 0 0
RANGE RES CORP COM 75281A109 2938 52910 SH SOLE 52910 0 0
RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 1149 936000 PRN SOLE 936000 0 0
RED HAT INC COM 756577102 561 12249 SH SOLE 12249 0 0
REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 4476 3692000 PRN SOLE 3692000 0 0
ROCK-TENN CO CL A 772739207 2886 43467 SH SOLE 43467 0 0
ROVI CORP NOTE 2.625% 2/1 779376AB8 9959 7352000 PRN SOLE 7352000 0 0
ROYAL CARIBBEAN CRUISES LTD COM V7780T103 1385 36798 SH SOLE 36798 0 0
S & T BANCORP INC COM 783859101 657 35320 SH SOLE 35320 0 0
SAKS INC NOTE 2.000% 3/1 79377WAL2 3771 3600000 PRN SOLE 3600000 0 0
SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 2006 1110000 PRN SOLE 1110000 0 0
SALIX PHARMACEUTICALS INC COM 795435106 1418 35623 SH SOLE 35623 0 0
SANDISK CORP NOTE 1.500% 8/1 80004CAD3 3441 3255000 PRN SOLE 3255000 0 0
SAVIENT PHARMACEUTICALS INC NOTE 4.750% 2/0 80517QAA8 1747 1750000 PRN SOLE 1750000 0 0
SCHLUMBERGER LTD COM 806857108 4825 55830 SH SOLE 55830 0 0
SIGNET JEWELERS LIMITED SHS G81276100 3007 64228 SH SOLE 64228 0 0
SIMON PPTY GROUP INC NEW COM 828806109 4697 40412 SH SOLE 40412 0 0
SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 2353 2000000 PRN SOLE 2000000 0 0
SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 9242 7000000 PRN SOLE 7000000 0 0
SOTHEBYS COM 835898107 2288 52619 SH SOLE 52619 0 0
SOTHEBYS NOTE 3.125% 6/1 835898AC1 5022 3552000 PRN SOLE 3552000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 66300 502385 SH SOLE 502385 0 0
SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 568 3200 SH SOLE 3200 0 0
STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 3761 31325 SH SOLE 31325 0 0
STANLEY WKS FRNT 5/1 854616AM1 1996 1698000 PRN SOLE 1698000 0 0
STATE STR CORP COM 857477103 2057 45667 SH SOLE 45667 0 0
STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 4905 5000000 PRN SOLE 5000000 0 0
STILLWATER MNG CO COM 86074Q102 1446 65575 SH SOLE 65575 0 0
SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 3783 3112000 PRN SOLE 3112000 0 0
SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 5601 276600 SH SOLE 276600 0 0
TARGET CORP COM 87612E106 3746 79797 SH SOLE 79797 0 0
TECH DATA CORP DBCV 2.750%12/1 878237AE6 6874 6613000 PRN SOLE 6613000 0 0
TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 1965 1045000 PRN SOLE 1045000 0 0
TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 58 52000 PRN SOLE 52000 0 0
THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 9990 9000000 PRN SOLE 9000000 0 0
THQ INC NOTE 5.000% 8/1 872443AB2 4391 4826000 PRN SOLE 4826000 0 0
TIME WARNER INC COM NEW 887317303 321 8791 SH SOLE 8791 0 0
TJX COS INC NEW COM 872540109 350 6625 SH SOLE 6625 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 151 154000 PRN SOLE 154000 0 0
TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 680 654000 PRN SOLE 654000 0 0
TTM TECHNOLOGIES INC COM 87305R109 223 14015 SH SOLE 14015 0 0
TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 2802 2220000 PRN SOLE 2220000 0 0
UNION PAC CORP COM 907818108 1055 10114 SH SOLE 10114 0 0
UNISYS CORP PFD SER A 6.25% 909214405 778 10000 SH SOLE 10000 0 0
UNITED CONTL HLDGS INC COM 910047109 1124 49668 SH SOLE 49668 0 0
UNITED STATES STL CORP NEW COM 912909108 1255 27246 SH SOLE 27246 0 0
UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 2432 1532000 PRN SOLE 1532000 0 0
UNITED TECHNOLOGIES CORP COM 913017109 3117 35204 SH SOLE 35204 0 0
UNITEDHEALTH GROUP INC COM 91324P102 2899 56234 SH SOLE 56234 0 0
US BANCORP DEL COM NEW 902973304 1795 70386 SH SOLE 70386 0 0
VANGUARD INTL EQUITY INDEX F MSCI EMR MKT ETF 922042858 578 11895 SH SOLE 11895 0 0
VERIGY LTD NOTE 5.250% 7/1 92345XAB4 3798 3000000 PRN SOLE 3000000 0 0
VERISIGN INC SDCV 3.250% 8/1 92343EAD4 9186 7963000 PRN SOLE 7963000 0 0
VERIZON COMMUNICATIONS INC COM 92343V104 2205 59219 SH SOLE 59219 0 0
VERTEX PHARMACEUTICALS INC NOTE 3.350%10/0 92532FAN0 9440 7500000 PRN SOLE 7500000 0 0
VIROPHARMA INC COM 928241108 1818 98303 SH SOLE 98303 0 0
VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 5363 4448000 PRN SOLE 4448000 0 0
VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 2241 1750000 PRN SOLE 1750000 0 0
VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 4129 3660000 PRN SOLE 3660000 0 0
WALGREEN CO COM 931422109 1747 41150 SH SOLE 41150 0 0
WEBSTER FINL CORP CONN COM 947890109 1760 83680 SH SOLE 83680 0 0
WELLS FARGO & CO NEW COM 949746101 1749 62334 SH SOLE 62334 0 0
WELLS FARGO & CO NEW PERP PFD CNV A 949746804 7561 7136 SH SOLE 7136 0 0
WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 5273 5500000 PRN SOLE 5500000 0 0
WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 8218 4500000 PRN SOLE 4500000 0 0
XILINX INC SDCV 3.125% 3/1 983919AD3 618 487000 PRN SOLE 487000 0 0