13F-HR 1 ssi3q11.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, 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 November 08, 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: 321 Form 13F Information Table Value Total: $786,844 (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 2414 33624 SH SOLE 33624 0 0 ABBOTT LABS COM 002824100 1994 38955 SH SOLE 38955 0 0 AFFILIATED MANAGERS GROUP COM 008252108 1689 21664 SH SOLE 21664 0 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 5748 5479000 PRN SOLE 5479000 0 0 AGCO CORP COM 001084102 686 19861 SH SOLE 19861 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 3927 3526000 PRN SOLE 3526000 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1760 1375000 PRN SOLE 1375000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 239 146000 PRN SOLE 146000 0 0 ALERE INC PERP PFD CONV SE 01449J204 4339 22316 SH SOLE 22316 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 3113 2577000 PRN SOLE 2577000 0 0 ALLERGAN INC COM 018490102 4252 51628 SH SOLE 51628 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 3477 2746000 PRN SOLE 2746000 0 0 ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 4372 5405000 PRN SOLE 5405000 0 0 ALON USA ENERGY INC COM 020520102 65 10680 SH SOLE 10680 0 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 2390 2527000 PRN SOLE 2527000 0 0 ALTRIA GROUP INC COM 02209S103 1318 49165 SH SOLE 49165 0 0 ALZA CORP SDCV 7/2 02261WAB5 52 57000 PRN SOLE 57000 0 0 AMAZON COM INC COM 023135106 1044 4826 SH SOLE 4826 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 1214 44842 SH SOLE 44842 0 0 AMERICAN EXPRESS CO COM 025816109 465 10445 SH SOLE 10445 0 0 AMERICAN STS WTR CO COM 029899101 374 11031 SH SOLE 11031 0 0 AMERICAN TOWER CORP CL A 029912201 1885 35054 SH SOLE 35054 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 236 240000 PRN SOLE 240000 0 0 AMR CORP COM 001765106 81 27410 SH SOLE 27410 0 0 ANALOG DEVICES INC COM 032654105 1268 40543 SH SOLE 40543 0 0 ANGLOGOLD ASHANTI HLDGS FIN MAND BD CV 13 03512Q206 2910 60000 SH SOLE 60000 0 0 ANHEUSER BUSCH INBEV SA/NV SPONSORED ADR 03524A108 2198 41465 SH SOLE 41465 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 3243 3185000 PRN SOLE 3185000 0 0 ANNALY CAP MGMT INC COM 035710409 706 42585 SH SOLE 42585 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 10347 9025000 PRN SOLE 9025000 0 0 APACHE CORP COM 037411105 328 4103 SH SOLE 4103 0 0 APACHE CORP PFD CONV SER D 037411808 4032 79498 SH SOLE 79498 0 0 APPLE INC COM 037833100 12000 31467 SH SOLE 31467 0 0 APPLIED MATLS INC COM 038222105 802 77331 SH SOLE 77331 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 2767 2639000 PRN SOLE 2639000 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 2995 3010000 PRN SOLE 3010000 0 0 ARRAY BIOPHARMA INC COM 04269X105 91 46600 SH SOLE 46600 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 40 40000 PRN SOLE 40000 0 0 ARROW ELECTRS INC COM 042735100 570 20509 SH SOLE 20509 0 0 ASPEN INSURANCE HOLDINGS LTD PFD PRP INC EQ G05384113 5553 113205 SH SOLE 113205 0 0 AT&T INC COM 00206R102 2428 85073 SH SOLE 85073 0 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 3089 3193000 PRN SOLE 3193000 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 2296 3000 SH SOLE 3000 0 0 BED BATH & BEYOND INC COM 075896100 2419 42215 SH SOLE 42215 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 2118 29800 SH SOLE 29800 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 3284 1973000 PRN SOLE 1973000 0 0 BMC SOFTWARE INC COM 055921100 1830 47478 SH SOLE 47478 0 0 BOEING CO COM 097023105 2074 58531 SH SOLE 58531 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 779 418000 PRN SOLE 418000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 3719 3414000 PRN SOLE 3414000 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 2337 74508 SH SOLE 74508 0 0 BROOKDALE SR LIVING INC NOTE 2.750% 6/1 112463AA2 4488 6000000 PRN SOLE 6000000 0 0 CABOT CORP COM 127055101 1801 72737 SH SOLE 72737 0 0 CAL DIVE INTL INC DEL COM 12802T101 65 34215 SH SOLE 34215 0 0 CALLIDUS SOFTWARE INC COM 13123E500 100 21635 SH SOLE 21635 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 3135 75478 SH SOLE 75478 0 0 CASELLA WASTE SYS INC CL A 147448104 84 16000 SH SOLE 16000 0 0 CATERPILLAR INC DEL COM 149123101 1655 22435 SH SOLE 22435 0 0 CAVIUM INC COM 14964U108 651 24120 SH SOLE 24120 0 0 CELGENE CORP COM 151020104 2051 33149 SH SOLE 33149 0 0 CENTRAL EUROPEAN MEDIA NOTE 5.000%11/1 153443AH9 2760 4000000 PRN SOLE 4000000 0 0 CERNER CORP COM 156782104 2346 34240 SH SOLE 34240 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 4277 4673000 PRN SOLE 4673000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 7477 7913000 PRN SOLE 7913000 0 0 CHEVRON CORP NEW COM 166764100 3101 33526 SH SOLE 33526 0 0 CHINA MED TECHNOLOGIES INC NOTE 6.250%12/1 169483AE4 266 500000 PRN SOLE 500000 0 0 CISCO SYS INC COM 17275R102 1661 107042 SH SOLE 107042 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 8143 102257 SH SOLE 102257 0 0 CITIGROUP INC COM NEW 172967424 3371 131553 SH SOLE 131553 0 0 CITRIX SYS INC COM 177376100 1762 32320 SH SOLE 32320 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAC7 490 400000 PRN SOLE 400000 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAE3 2741 2235000 PRN SOLE 2235000 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAF0 2067 1686000 PRN SOLE 1686000 0 0 COCA COLA CO COM 191216100 2516 37241 SH SOLE 37241 0 0 COMCAST CORP NEW CL A 20030N101 1327 63442 SH SOLE 63442 0 0 COMMERCIAL METALS CO COM 201723103 489 51473 SH SOLE 51473 0 0 CONOCOPHILLIPS COM 20825C104 1670 26387 SH SOLE 26387 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 4692 3750000 PRN SOLE 3750000 0 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 1710 865000 PRN SOLE 865000 0 0 CORINTHIAN COLLEGES INC COM 218868107 75 48400 SH SOLE 48400 0 0 CSX CORP DBCV 10/3 126408GA5 1054 530000 PRN SOLE 530000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 1565 1247000 PRN SOLE 1247000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 1810 1328000 PRN SOLE 1328000 0 0 CUMMINS INC COM 231021106 1672 20466 SH SOLE 20466 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 4613 3795000 PRN SOLE 3795000 0 0 DEERE & CO COM 244199105 1414 21900 SH SOLE 21900 0 0 DISNEY WALT CO COM DISNEY 254687106 1167 38710 SH SOLE 38710 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 278 191000 PRN SOLE 191000 0 0 DOW CHEM CO COM 260543103 652 29045 SH SOLE 29045 0 0 DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 7033 11660000 PRN SOLE 11660000 0 0 DUPONT FABROS TECHNOLOGY INC COM 26613Q106 2564 130217 SH SOLE 130217 0 0 E M C CORP MASS COM 268648102 6422 305879 SH SOLE 305879 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 9919 7584000 PRN SOLE 7584000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 9980 7071000 PRN SOLE 7071000 0 0 EAST WEST BANCORP INC COM 27579R104 613 41120 SH SOLE 41120 0 0 EASTMAN KODAK CO COM 277461109 24 30435 SH SOLE 30435 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 614 21909 SH SOLE 21909 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 5265 4665000 PRN SOLE 4665000 0 0 ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 602 28016 SH SOLE 28016 0 0 EQUINIX INC NOTE 2.500% 4/1 29444UAF3 25 25000 PRN SOLE 25000 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 3867 3696000 PRN SOLE 3696000 0 0 EXXON MOBIL CORP COM 30231G102 5677 78152 SH SOLE 78152 0 0 FEDEX CORP COM 31428X106 3122 46110 SH SOLE 46110 0 0 FIFTH THIRD BANCORP COM 316773100 993 98210 SH SOLE 98210 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 3829 29632 SH SOLE 29632 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 34 20000 PRN SOLE 20000 0 0 FORD MTR CO DEL *W EXP 01/01/201 345370134 166 75000 SH SOLE 75000 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 1549 160313 SH SOLE 160313 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 2830 2179000 PRN SOLE 2179000 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 1590 52185 SH SOLE 52185 0 0 GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 23 25000 PRN SOLE 25000 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 4726 5250000 PRN SOLE 5250000 0 0 GENERAL ELECTRIC CO COM 369604103 2551 167681 SH SOLE 167681 0 0 GENERAL MTRS CO COM 37045V100 578 28655 SH SOLE 28655 0 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 10923 313270 SH SOLE 313270 0 0 GILEAD SCIENCES INC COM 375558103 3551 91504 SH SOLE 91504 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 4473 3911000 PRN SOLE 3911000 0 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 882 816000 PRN SOLE 816000 0 0 GMX RES INC COM 38011M108 68 30281 SH SOLE 30281 0 0 GMX RES INC NOTE 4.500% 5/0 38011MAJ7 3054 4800000 PRN SOLE 4800000 0 0 GOLDCORP INC NEW COM 380956409 3893 85276 SH SOLE 85276 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 4122 3316000 PRN SOLE 3316000 0 0 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 2523 65000 SH SOLE 65000 0 0 GOOGLE INC CL A 38259P508 6855 13312 SH SOLE 13312 0 0 HALLIBURTON CO COM 406216101 2341 76661 SH SOLE 76661 0 0 HARMONIC INC COM 413160102 727 170687 SH SOLE 170687 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 3909 4500000 PRN SOLE 4500000 0 0 HEADWATERS INC COM 42210P102 67 45900 SH SOLE 45900 0 0 HEALTH CARE REIT INC NOTE 4.750%12/0 42217KAP1 232 222000 PRN SOLE 222000 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 1393 1308000 PRN SOLE 1308000 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 352 333000 PRN SOLE 333000 0 0 HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 3912 3940000 PRN SOLE 3940000 0 0 HERTZ GLOBAL HOLDINGS INC COM 42805T105 964 108182 SH SOLE 108182 0 0 HESS CORP COM 42809H107 1129 21517 SH SOLE 21517 0 0 HEWLETT PACKARD CO COM 428236103 727 32374 SH SOLE 32374 0 0 HILL ROM HLDGS INC COM 431475102 489 16263 SH SOLE 16263 0 0 HOLOGIC INC COM 436440101 1921 126346 SH SOLE 126346 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AB7 3420 3311000 PRN SOLE 3311000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 1293 1291000 PRN SOLE 1291000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 1024 993000 PRN SOLE 993000 0 0 HUNTINGTON BANCSHARES INC COM 446150104 808 168515 SH SOLE 168515 0 0 IAC INTERACTIVECORP COM PAR $.001 44919P508 686 17315 SH SOLE 17315 0 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 80 50000 PRN SOLE 50000 0 0 INTEL CORP COM 458140100 3114 146059 SH SOLE 146059 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 4476 4415000 PRN SOLE 4415000 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 1059 8948 SH SOLE 8948 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 2241 12828 SH SOLE 12828 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 4282 3722000 PRN SOLE 3722000 0 0 INTERNATIONAL RECTIFIER CORP COM 460254105 745 40028 SH SOLE 40028 0 0 INTERPUBLIC GROUP COS INC COM 460690100 1611 223772 SH SOLE 223772 0 0 INTERPUBLIC GROUP COS INC NOTE 4.250% 3/1 460690BA7 2281 2262000 PRN SOLE 2262000 0 0 INTUIT COM 461202103 2205 46486 SH SOLE 46486 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 2448 2426000 PRN SOLE 2426000 0 0 ISHARES TR DJ SEL DIV INX 464287168 695 14415 SH SOLE 14415 0 0 ISHARES TR MSCI EAFE INDEX 464287465 680 14200 SH SOLE 14200 0 0 ISHARES TR NASDQ BIO INDX 464287556 465 4980 SH SOLE 4980 0 0 ISHARES TR RUSSELL 2000 464287655 739 11499 SH SOLE 11499 0 0 ISTA PHARMACEUTICALS INC COM NEW 45031X204 78 22435 SH SOLE 22435 0 0 JDS UNIPHASE CORP NOTE 1.000% 5/1 46612JAD3 664 687000 PRN SOLE 687000 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 1612 1750000 PRN SOLE 1750000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 2812 2500000 PRN SOLE 2500000 0 0 JPMORGAN CHASE & CO COM 46625H100 3745 124352 SH SOLE 124352 0 0 K V PHARMACEUTICAL CO CL A 482740206 81 59925 SH SOLE 59925 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 5952 59225 SH SOLE 59225 0 0 KIMBERLY CLARK CORP COM 494368103 746 10500 SH SOLE 10500 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 5285 4327000 PRN SOLE 4327000 0 0 KODIAK OIL & GAS CORP COM 50015Q100 1822 349625 SH SOLE 349625 0 0 KRAFT FOODS INC CL A 50075N104 1679 50034 SH SOLE 50034 0 0 KROGER CO COM 501044101 1579 71920 SH SOLE 71920 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 985 924000 PRN SOLE 924000 0 0 LENNAR CORP CL A 526057104 1007 74301 SH SOLE 74301 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 15.000% 1/1 52729NBM1 6337 5000000 PRN SOLE 5000000 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 1674 1181000 PRN SOLE 1181000 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 10196 13330000 PRN SOLE 13330000 0 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 739 691000 PRN SOLE 691000 0 0 LIFE TECHNOLOGIES CORP COM 53217V109 628 16311 SH SOLE 16311 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 3798 3750000 PRN SOLE 3750000 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 144 141000 PRN SOLE 141000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 1794 2000000 PRN SOLE 2000000 0 0 LIZ CLAIBORNE INC COM 539320101 96 19065 SH SOLE 19065 0 0 LOEWS CORP COM 540424108 691 20000 SH SOLE 20000 0 0 LOWES COS INC COM 548661107 2414 124869 SH SOLE 124869 0 0 MACYS INC COM 55616P104 2498 94889 SH SOLE 94889 0 0 MASTEC INC NOTE 4.250%12/1 576323AM1 3506 2625000 PRN SOLE 2625000 0 0 MCDONALDS CORP COM 580135101 1289 14680 SH SOLE 14680 0 0 MCKESSON CORP COM 58155Q103 4959 68188 SH SOLE 68188 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 3491 2696000 PRN SOLE 2696000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 226 226000 PRN SOLE 226000 0 0 METLIFE INC COM 59156R108 1593 56841 SH SOLE 56841 0 0 METLIFE INC UNIT 99/99/9999 59156R116 6999 123710 SH SOLE 123710 0 0 MF GLOBAL HLDGS LTD NOTE 1.875% 2/0 55277JAA6 6316 8026000 PRN SOLE 8026000 0 0 MF GLOBAL HLDGS LTD NOTE 3.375% 8/0 55277JAB4 3950 5017000 PRN SOLE 5017000 0 0 MF GLOBAL LTD NOTE 9.000% 6/2 55276YAB2 3538 3334000 PRN SOLE 3334000 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 992 1775000 PRN SOLE 1775000 0 0 MGM RESORTS INTERNATIONAL COM 552953101 432 46450 SH SOLE 46450 0 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 3144 3575000 PRN SOLE 3575000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 8007 6940000 PRN SOLE 6940000 0 0 MICROSOFT CORP COM 594918104 2581 103714 SH SOLE 103714 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 3382 3500000 PRN SOLE 3500000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1636 1556000 PRN SOLE 1556000 0 0 MOSAIC CO NEW COM 61945C103 1867 38102 SH SOLE 38102 0 0 MPG OFFICE TR INC COM 553274101 78 36685 SH SOLE 36685 0 0 MYLAN INC COM 628530107 2176 127927 SH SOLE 127927 0 0 MYLAN INC NOTE 1.250% 3/1 628530AG2 5370 5380000 PRN SOLE 5380000 0 0 NABORS INDUSTRIES LTD SHS G6359F103 1467 119653 SH SOLE 119653 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 2138 2000000 PRN SOLE 2000000 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 258 223000 PRN SOLE 223000 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 2902 2921000 PRN SOLE 2921000 0 0 NESS TECHNOLOGIES INC COM 64104X108 96 12500 SH SOLE 12500 0 0 NETAPP INC COM 64110D104 2807 82736 SH SOLE 82736 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 4846 3995000 PRN SOLE 3995000 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 1151 790000 PRN SOLE 790000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 2342 1567000 PRN SOLE 1567000 0 0 NEWMONT MINING CORP NOTE 3.000% 2/1 651639AK2 4757 3444000 PRN SOLE 3444000 0 0 NEXTERA ENERGY INC COM 65339F101 2341 43336 SH SOLE 43336 0 0 NORFOLK SOUTHERN CORP COM 655844108 1408 23079 SH SOLE 23079 0 0 NORTHGATE MINERALS CORP NOTE 3.500%10/0 666416AB8 1107 1000000 PRN SOLE 1000000 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 3756 2987000 PRN SOLE 2987000 0 0 OIL STS INTL INC COM 678026105 895 17556 SH SOLE 17556 0 0 OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 483 298000 PRN SOLE 298000 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 445 437000 PRN SOLE 437000 0 0 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 1207 1335000 PRN SOLE 1335000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 998 25000 SH SOLE 25000 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 4672 4543000 PRN SOLE 4543000 0 0 ON SEMICONDUCTOR CORP NOTE 4/1 682189AE5 3828 3788000 PRN SOLE 3788000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 108 103000 PRN SOLE 103000 0 0 ONYX PHARMACEUTICALS INC NOTE 4.000% 8/1 683399AB5 1676 1503000 PRN SOLE 1503000 0 0 ORACLE CORP COM 68389X105 4946 172112 SH SOLE 172112 0 0 ORBITZ WORLDWIDE INC COM 68557K109 81 37110 SH SOLE 37110 0 0 PARKER HANNIFIN CORP COM 701094104 2415 38281 SH SOLE 38281 0 0 PEABODY ENERGY CORP COM 704549104 1115 32895 SH SOLE 32895 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 4248 4105000 PRN SOLE 4105000 0 0 PEPSICO INC COM 713448108 3750 60602 SH SOLE 60602 0 0 PFIZER INC COM 717081103 2306 130450 SH SOLE 130450 0 0 PG&E CORP COM 69331C108 1246 29459 SH SOLE 29459 0 0 PHH CORP NOTE 4.000% 9/0 693320AN3 1860 1953000 PRN SOLE 1953000 0 0 PHILIP MORRIS INTL INC COM 718172109 3058 49028 SH SOLE 49028 0 0 PINNACLE WEST CAP CORP COM 723484101 1144 26645 SH SOLE 26645 0 0 PIONEER NAT RES CO COM 723787107 1515 23016 SH SOLE 23016 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 1533 1280000 PRN SOLE 1280000 0 0 PMC-SIERRA INC COM 69344F106 2059 344980 SH SOLE 344980 0 0 POLYONE CORP COM 73179P106 857 79970 SH SOLE 79970 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 2264 95547 SH SOLE 95547 0 0 PROCTER & GAMBLE CO COM 742718109 4367 69112 SH SOLE 69112 0 0 PROLOGIS NOTE 2.625% 5/1 74340XAS0 84 85000 PRN SOLE 85000 0 0 PRUDENTIAL FINL INC COM 744320102 2612 55763 SH SOLE 55763 0 0 QUALCOMM INC COM 747525103 3970 81650 SH SOLE 81650 0 0 QUANTUM CORP COM DSSG 747906204 93 51600 SH SOLE 51600 0 0 RANGE RES CORP COM 75281A109 2584 44214 SH SOLE 44214 0 0 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 3203 2861000 PRN SOLE 2861000 0 0 RED HAT INC COM 756577102 1042 24614 SH SOLE 24614 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 4540 4000000 PRN SOLE 4000000 0 0 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 3430 3199000 PRN SOLE 3199000 0 0 RIO TINTO PLC SPONSORED ADR 767204100 673 15281 SH SOLE 15281 0 0 RITE AID CORP COM 767754104 113 116065 SH SOLE 116065 0 0 ROCK-TENN CO CL A 772739207 2393 49167 SH SOLE 49167 0 0 ROVI CORP NOTE 2.625% 2/1 779376AB8 9668 8360000 PRN SOLE 8360000 0 0 S & T BANCORP INC COM 783859101 540 33370 SH SOLE 33370 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 3818 3838000 PRN SOLE 3838000 0 0 SALIX PHARMACEUTICALS INC COM 795435106 1223 41294 SH SOLE 41294 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 26 27000 PRN SOLE 27000 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 3688 3532000 PRN SOLE 3532000 0 0 SAVIENT PHARMACEUTICALS INC NOTE 4.750% 2/0 80517QAA8 2034 3000000 PRN SOLE 3000000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3424 3299000 PRN SOLE 3299000 0 0 SCHLUMBERGER LTD COM 806857108 3650 61117 SH SOLE 61117 0 0 SESI L L C FRNT 1.500%12/1 78412FAH7 13 13000 PRN SOLE 13000 0 0 SIGNET JEWELERS LIMITED SHS G81276100 2412 71412 SH SOLE 71412 0 0 SIMON PPTY GROUP INC NEW COM 828806109 3789 34444 SH SOLE 34444 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 6057 5500000 PRN SOLE 5500000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 30441 269049 SH SOLE 269049 0 0 SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 426 3000 SH SOLE 3000 0 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 365 3550 SH SOLE 3550 0 0 STANLEY WKS FRNT 5/1 854616AM1 5224 5090000 PRN SOLE 5090000 0 0 STARWOOD HOTELS&RESORTS WRLD COM 85590A401 1008 25939 SH SOLE 25939 0 0 STATE STR CORP COM 857477103 1242 38607 SH SOLE 38607 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 4174 5000000 PRN SOLE 5000000 0 0 STRATEGIC HOTELS & RESORTS I COM 86272T106 91 21110 SH SOLE 21110 0 0 SUPERVALU INC COM 868536103 86 12865 SH SOLE 12865 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 3993 3505000 PRN SOLE 3505000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 3622 325000 SH SOLE 325000 0 0 TARGET CORP COM 87612E106 3042 62100 SH SOLE 62100 0 0 TECH DATA CORP DBCV 2.750%12/1 878237AE6 1599 1598000 PRN SOLE 1598000 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 1571 1600000 PRN SOLE 1600000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 222 217000 PRN SOLE 217000 0 0 THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 6242 6000000 PRN SOLE 6000000 0 0 THQ INC COM NEW 872443403 89 51300 SH SOLE 51300 0 0 TIME WARNER INC COM NEW 887317303 264 8791 SH SOLE 8791 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 19 17000 PRN SOLE 17000 0 0 TJX COS INC NEW COM 872540109 352 6370 SH SOLE 6370 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 150 154000 PRN SOLE 154000 0 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 2322 2331000 PRN SOLE 2331000 0 0 TYSON FOODS INC NOTE 3.250%10/1 902494AP8 21 17000 PRN SOLE 17000 0 0 U S AIRWAYS GROUP INC COM 90341W108 100 18200 SH SOLE 18200 0 0 UNION PAC CORP COM 907818108 1164 14244 SH SOLE 14244 0 0 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 3295 3077000 PRN SOLE 3077000 0 0 UNITED AUTO GROUP INC NOTE 3.500% 4/0 909440AH2 2526 2748000 PRN SOLE 2748000 0 0 UNITED CONTL HLDGS INC COM 910047109 1486 76613 SH SOLE 76613 0 0 UNITED STATES STL CORP NEW COM 912909108 599 27246 SH SOLE 27246 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 1704 1637000 PRN SOLE 1637000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 2455 34936 SH SOLE 34936 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 485 12897 SH SOLE 12897 0 0 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 300 294000 PRN SOLE 294000 0 0 UNITEDHEALTH GROUP INC COM 91324P102 2180 47301 SH SOLE 47301 0 0 US BANCORP DEL COM NEW 902973304 1657 70386 SH SOLE 70386 0 0 VANGUARD INTL EQUITY INDEX F MSCI EMR MKT ETF 922042858 427 11895 SH SOLE 11895 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 10098 9892000 PRN SOLE 9892000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 2180 59219 SH SOLE 59219 0 0 VIACOM INC NEW CL B 92553P201 805 20806 SH SOLE 20806 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 5640 4708000 PRN SOLE 4708000 0 0 VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 2110 1750000 PRN SOLE 1750000 0 0 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 3988 3872000 PRN SOLE 3872000 0 0 WEBSTER FINL CORP CONN COM 947890109 906 59140 SH SOLE 59140 0 0 WELLS FARGO & CO NEW COM 949746101 2748 113904 SH SOLE 113904 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 8073 7870 SH SOLE 7870 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 4214 3000000 PRN SOLE 3000000 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 4745 5575000 PRN SOLE 5575000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 5443 4000000 PRN SOLE 4000000 0 0 WHITING PETE CORP NEW COM 966387102 424 12065 SH SOLE 12065 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 622 622000 PRN SOLE 622000 0 0 XILINX INC NOTE 2.625% 6/1 983919AF8 3683 3237000 PRN SOLE 3237000 0 0