13F-HR 1 SSIInvestment1Q12.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, 2012 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 May 09, 2012 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: 347 Form 13F Information Table Value Total: $979,107 (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 1245 13976 SH SOLE 13976 0 0 ABBOTT LABS COM 002824100 487 7978 SH SOLE 7978 0 0 AEROVIRONMENT INC COM 008073108 201 7475 SH SOLE 7475 0 0 AETNA INC NEW COM 00817Y108 215 4289 SH SOLE 4289 0 0 AFFILIATED MANAGERS GROUP COM 008252108 1006 9016 SH SOLE 9016 0 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 3522 3193000 PRN SOLE 3193000 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 2114 1653000 PRN SOLE 1653000 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1950 1543000 PRN SOLE 1543000 0 0 ALCOA INC COM 013817101 196 19588 SH SOLE 19588 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 326 196000 PRN SOLE 196000 0 0 ALERE INC PERP PFD CONV SE 01449J204 4675 19316 SH SOLE 19316 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 5890 4726000 PRN SOLE 4726000 0 0 ALLERGAN INC COM 018490102 1706 17890 SH SOLE 17890 0 0 ALTRIA GROUP INC COM 02209S103 1028 33265 SH SOLE 33265 0 0 ALZA CORP SDCV 7/2 02261WAB5 54 57000 PRN SOLE 57000 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 2090 70681 SH SOLE 70681 0 0 AMERICAN ELEC PWR INC COM 025537101 634 16459 SH SOLE 16459 0 0 AMERICAN EXPRESS CO COM 025816109 597 10330 SH SOLE 10330 0 0 AMERICAN STS WTR CO COM 029899101 1141 31623 SH SOLE 31623 0 0 AMERICAN TOWER CORP NEW COM 03027X100 903 14347 SH SOLE 14347 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 854 835000 PRN SOLE 835000 0 0 AMYLIN PHARMACEUTICALS INC COM 032346108 556 22300 SH SOLE 22300 0 0 ANADARKO PETE CORP COM 032511107 1844 23533 SH SOLE 23533 0 0 ANGLOGOLD ASHANTI HLDGS FIN MAND BD CV 13 03512Q206 6892 160000 SH SOLE 160000 0 0 ANHEUSER BUSCH INBEV SA/NV SPONSORED ADR 03524A108 1340 18437 SH SOLE 18437 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 3982 3177000 PRN SOLE 3177000 0 0 ANNALY CAP MGMT INC COM 035710409 1517 96072 SH SOLE 96072 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 16324 14042000 PRN SOLE 14042000 0 0 APACHE CORP PFD CONV SER D 037411808 5893 106023 SH SOLE 106023 0 0 APOLLO INVT CORP NOTE 5.750% 1/1 03761UAE6 1261 1295000 PRN SOLE 1295000 0 0 APPLE INC COM 037833100 9404 15682 SH SOLE 15682 0 0 APPLIED MATLS INC COM 038222105 260 20966 SH SOLE 20966 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 6832 6362000 PRN SOLE 6362000 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 3119 3050000 PRN SOLE 3050000 0 0 ARES CAP CORP COM 04010L103 1043 63730 SH SOLE 63730 0 0 ARROW ELECTRS INC COM 042735100 579 13809 SH SOLE 13809 0 0 ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 6160 6750000 PRN SOLE 6750000 0 0 ASPEN INSURANCE HOLDINGS LTD PFD PRP INC EQ G05384113 8301 153205 SH SOLE 153205 0 0 AT&T INC COM 00206R102 2208 70679 SH SOLE 70679 0 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 10930 9320000 PRN SOLE 9320000 0 0 BAKER HUGHES INC COM 057224107 1856 44270 SH SOLE 44270 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 7066 7218 SH SOLE 7218 0 0 BARNES & NOBLE INC COM 067774109 384 29050 SH SOLE 29050 0 0 BARRICK GOLD CORP COM 067901108 680 15617 SH SOLE 15617 0 0 BECTON DICKINSON & CO COM 075887109 206 2646 SH SOLE 2646 0 0 BED BATH & BEYOND INC COM 075896100 1436 21833 SH SOLE 21833 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 1403 17296 SH SOLE 17296 0 0 BGC PARTNERS INC CL A 05541T101 618 83460 SH SOLE 83460 0 0 BHP BILLITON LTD SPONSORED ADR 088606108 791 10917 SH SOLE 10917 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 7443 4176000 PRN SOLE 4176000 0 0 BIOMED REALTY TRUST INC COM 09063H107 1065 56117 SH SOLE 56117 0 0 BMC SOFTWARE INC COM 055921100 852 21238 SH SOLE 21238 0 0 BOEING CO COM 097023105 1315 17681 SH SOLE 17681 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 4775 4205000 PRN SOLE 4205000 0 0 BRANDYWINE RLTY TR SH BEN INT NEW 105368203 667 58060 SH SOLE 58060 0 0 BRE PROPERTIES INC CL A 05564E106 926 18296 SH SOLE 18296 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 1105 32747 SH SOLE 32747 0 0 BROADCOM CORP CL A 111320107 1106 28089 SH SOLE 28089 0 0 BROOKDALE SR LIVING INC NOTE 2.750% 6/1 112463AA2 9570 10250000 PRN SOLE 10250000 0 0 CABOT OIL & GAS CORP COM 127097103 763 24468 SH SOLE 24468 0 0 CAMBREX CORP COM 132011107 400 57225 SH SOLE 57225 0 0 CARBO CERAMICS INC COM 140781105 232 2204 SH SOLE 2204 0 0 CATERPILLAR INC DEL COM 149123101 859 8063 SH SOLE 8063 0 0 CELGENE CORP COM 151020104 1908 24639 SH SOLE 24639 0 0 CEMEX SAB DE CV NOTE 4.875% 3/1 151290AV5 4231 4500000 PRN SOLE 4500000 0 0 CENTURYLINK INC COM 156700106 1379 35664 SH SOLE 35664 0 0 CERNER CORP COM 156782104 1062 13941 SH SOLE 13941 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 8316 6496000 PRN SOLE 6496000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 6523 7081000 PRN SOLE 7081000 0 0 CHEVRON CORP NEW COM 166764100 2874 26836 SH SOLE 26836 0 0 CINEMARK HOLDINGS INC COM 17243V102 816 37195 SH SOLE 37195 0 0 CISCO SYS INC COM 17275R102 3084 145879 SH SOLE 145879 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 12916 124754 SH SOLE 124754 0 0 CITIGROUP INC COM NEW 172967424 2574 70422 SH SOLE 70422 0 0 CMS ENERGY CORP COM 125896100 1205 54857 SH SOLE 54857 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAC7 631 400000 PRN SOLE 400000 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAE3 3524 2235000 PRN SOLE 2235000 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAF0 2659 1686000 PRN SOLE 1686000 0 0 COCA COLA CO COM 191216100 2542 34320 SH SOLE 34320 0 0 COLDWATER CREEK INC COM 193068103 451 388460 SH SOLE 388460 0 0 COMCAST CORP NEW CL A 20030N101 1574 52415 SH SOLE 52415 0 0 COMMERCIAL METALS CO COM 201723103 148 10033 SH SOLE 10033 0 0 CONOCOPHILLIPS COM 20825C104 2067 27195 SH SOLE 27195 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 6146 4538000 PRN SOLE 4538000 0 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 7180 6250000 PRN SOLE 6250000 0 0 CSX CORP DBCV 10/3 126408GA5 1215 530000 PRN SOLE 530000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 1790 1251000 PRN SOLE 1251000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 2151 1348000 PRN SOLE 1348000 0 0 CUMMINS INC COM 231021106 508 4234 SH SOLE 4234 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 2602 2000000 PRN SOLE 2000000 0 0 DANA HLDG CORP COM 235825205 628 40521 SH SOLE 40521 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 4525 2781000 PRN SOLE 2781000 0 0 DATALINK CORP COM 237934104 395 41470 SH SOLE 41470 0 0 DEVON ENERGY CORP NEW COM 25179M103 909 12781 SH SOLE 12781 0 0 DIRECTV COM CL A 25490A101 894 18098 SH SOLE 18098 0 0 DISCOVER FINL SVCS COM 254709108 1551 46529 SH SOLE 46529 0 0 DISNEY WALT CO COM DISNEY 254687106 1332 30445 SH SOLE 30445 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 142 96000 PRN SOLE 96000 0 0 DOW CHEM CO COM 260543103 768 22176 SH SOLE 22176 0 0 DR PEPPER SNAPPLE GROUP INC COM 26138E109 747 18565 SH SOLE 18565 0 0 DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 11438 13580000 PRN SOLE 13580000 0 0 DST SYS INC DEL DBCV 8/1 233326AE7 1171 944000 PRN SOLE 944000 0 0 E M C CORP MASS COM 268648102 2803 93892 SH SOLE 93892 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 9252 4927000 PRN SOLE 4927000 0 0 ELECTRONIC ARTS INC COM 285512109 775 46992 SH SOLE 46992 0 0 EMERSON ELEC CO COM 291011104 999 19151 SH SOLE 19151 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 818 21127 SH SOLE 21127 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 5537 3897000 PRN SOLE 3897000 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 2533 1682000 PRN SOLE 1682000 0 0 EXCEL MARITIME CARRIERS LTD COM V3267N107 430 214810 SH SOLE 214810 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 4239 4250000 PRN SOLE 4250000 0 0 EXXON MOBIL CORP COM 30231G102 4406 50780 SH SOLE 50780 0 0 FEDEX CORP COM 31428X106 1021 11116 SH SOLE 11116 0 0 FEI CO NOTE 2.875% 6/0 30241LAF6 2352 1375000 PRN SOLE 1375000 0 0 FELCOR LODGING TR INC COM 31430F101 386 107405 SH SOLE 107405 0 0 FIFTH STREET FINANCE CORP COM 31678A103 573 58765 SH SOLE 58765 0 0 FIFTH THIRD BANCORP COM 316773100 924 65637 SH SOLE 65637 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 4332 30337 SH SOLE 30337 0 0 FLUOR CORP NEW COM 343412102 575 9593 SH SOLE 9593 0 0 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 44 20000 PRN SOLE 20000 0 0 FOOT LOCKER INC COM 344849104 1469 47286 SH SOLE 47286 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 1290 103499 SH SOLE 103499 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 3513 2216000 PRN SOLE 2216000 0 0 FOREST OIL CORP COM PAR $0.01 346091705 481 39673 SH SOLE 39673 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 244 6415 SH SOLE 6415 0 0 GENCORP INC COM 368682100 461 64920 SH SOLE 64920 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 12885 12226000 PRN SOLE 12226000 0 0 GENERAL ELECTRIC CO COM 369604103 4121 205326 SH SOLE 205326 0 0 GENERAL MTRS CO COM 37045V100 479 18648 SH SOLE 18648 0 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 7991 190929 SH SOLE 190929 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 6971 5272000 PRN SOLE 5272000 0 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 744 609000 PRN SOLE 609000 0 0 GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 11300 8845000 PRN SOLE 8845000 0 0 GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 769 17135 SH SOLE 17135 0 0 GOLDCORP INC NEW COM 380956409 1184 26340 SH SOLE 26340 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 4910 4071000 PRN SOLE 4071000 0 0 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 9639 232615 SH SOLE 232615 0 0 GOOGLE INC CL A 38259P508 3771 5882 SH SOLE 5882 0 0 GULFPORT ENERGY CORP COM NEW 402635304 312 10657 SH SOLE 10657 0 0 HARMONIC INC COM 413160102 365 66615 SH SOLE 66615 0 0 HARSCO CORP COM 415864107 210 8933 SH SOLE 8933 0 0 HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 1760 81995 SH SOLE 81995 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 3899 4000000 PRN SOLE 4000000 0 0 HEADWATERS INC COM 42210P102 516 123685 SH SOLE 123685 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 1319 1183000 PRN SOLE 1183000 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 445 390000 PRN SOLE 390000 0 0 HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 4102 3981000 PRN SOLE 3981000 0 0 HERCULES OFFSHORE INC COM 427093109 355 74990 SH SOLE 74990 0 0 HERTZ GLOBAL HOLDINGS INC COM 42805T105 527 35077 SH SOLE 35077 0 0 HESS CORP COM 42809H107 1604 27227 SH SOLE 27227 0 0 HEWLETT PACKARD CO COM 428236103 521 21874 SH SOLE 21874 0 0 HILL ROM HLDGS INC COM 431475102 758 22707 SH SOLE 22707 0 0 HOLOGIC INC COM 436440101 670 31050 SH SOLE 31050 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AB7 3464 2934000 PRN SOLE 2934000 0 0 HOME PROPERTIES INC COM 437306103 1452 23784 SH SOLE 23784 0 0 HORNBECK OFFSHORE SVCS INC N FRNT 1.625%11/1 440543AE6 856 791000 PRN SOLE 791000 0 0 HSN INC COM 404303109 325 8563 SH SOLE 8563 0 0 HUNTSMAN CORP COM 447011107 904 64478 SH SOLE 64478 0 0 IAC INTERACTIVECORP COM PAR $.001 44919P508 313 6365 SH SOLE 6365 0 0 INFINERA CORPORATION COM 45667G103 396 48860 SH SOLE 48860 0 0 INTEL CORP COM 458140100 1810 64352 SH SOLE 64352 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 6981 6070000 PRN SOLE 6070000 0 0 INTERNAP NETWORK SVCS CORP COM PAR $.001 45885A300 380 51520 SH SOLE 51520 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 2648 12693 SH SOLE 12693 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 1024 60964 SH SOLE 60964 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 4845 4272000 PRN SOLE 4272000 0 0 INTERPUBLIC GROUP COS INC COM 460690100 729 63905 SH SOLE 63905 0 0 INTERPUBLIC GROUP COS INC NOTE 4.750% 3/1 460690BE9 3332 2951000 PRN SOLE 2951000 0 0 INVESCO LTD SHS G491BT108 742 27820 SH SOLE 27820 0 0 ISHARES TR DJ SEL DIV INX 464287168 1853 33080 SH SOLE 33080 0 0 ISHARES TR MSCI EAFE INDEX 464287465 498 9080 SH SOLE 9080 0 0 ISHARES TR NASDQ BIO INDX 464287556 347 2812 SH SOLE 2812 0 0 ISHARES TR RUSSELL 2000 464287655 886 10699 SH SOLE 10699 0 0 ISTAR FINL INC COM 45031U101 388 53605 SH SOLE 53605 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 3066 2500000 PRN SOLE 2500000 0 0 JOHNSON & JOHNSON COM 478160104 2551 38636 SH SOLE 38636 0 0 JPMORGAN CHASE & CO COM 46625H100 4171 90724 SH SOLE 90724 0 0 KELLOGG CO COM 487836108 1348 25142 SH SOLE 25142 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 10289 91325 SH SOLE 91325 0 0 KILROY RLTY CORP COM 49427F108 535 11491 SH SOLE 11491 0 0 KIMBERLY CLARK CORP COM 494368103 776 10500 SH SOLE 10500 0 0 KINROSS GOLD CORP NOTE 1.750% 3/1 496902AD9 79 80000 PRN SOLE 80000 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 6209 4399000 PRN SOLE 4399000 0 0 KNIGHT CAP GROUP INC NOTE 3.500% 3/1 499005AE6 10997 11500000 PRN SOLE 11500000 0 0 KRAFT FOODS INC CL A 50075N104 1010 26551 SH SOLE 26551 0 0 KROGER CO COM 501044101 1906 78665 SH SOLE 78665 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1014 829000 PRN SOLE 829000 0 0 LENNAR CORP CL A 526057104 534 19654 SH SOLE 19654 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 978 750000 PRN SOLE 750000 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 1954 1221000 PRN SOLE 1221000 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 14083 15931000 PRN SOLE 15931000 0 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 1006 835000 PRN SOLE 835000 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 6914 6600000 PRN SOLE 6600000 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 102 96000 PRN SOLE 96000 0 0 LIONS GATE ENTMNT CORP COM NEW 535919203 387 27845 SH SOLE 27845 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 4781 5000000 PRN SOLE 5000000 0 0 LOEWS CORP COM 540424108 797 20000 SH SOLE 20000 0 0 LOWES COS INC COM 548661107 1681 53535 SH SOLE 53535 0 0 MACYS INC COM 55616P104 1199 30192 SH SOLE 30192 0 0 MANITOWOC INC COM 563571108 338 24425 SH SOLE 24425 0 0 MASSEY ENERGY CO NOTE 3.250% 8/0 576203AJ2 2692 3000000 PRN SOLE 3000000 0 0 MASTEC INC NOTE 4.250%12/1 576323AM1 3704 2657000 PRN SOLE 2657000 0 0 MATTSON TECHNOLOGY INC COM 577223100 375 135460 SH SOLE 135460 0 0 MCDONALDS CORP COM 580135101 1700 17337 SH SOLE 17337 0 0 MCKESSON CORP COM 58155Q103 2833 32287 SH SOLE 32287 0 0 MCMORAN EXPLORATION CO NOTE 4.000%12/3 582411AJ3 1988 1991000 PRN SOLE 1991000 0 0 MEDIVATION INC NOTE 2.625% 4/0 58501NAA9 1851 1750000 PRN SOLE 1750000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 783 775000 PRN SOLE 775000 0 0 MERCK & CO INC NEW COM 58933Y105 1173 30543 SH SOLE 30543 0 0 METLIFE INC COM 59156R108 2065 55289 SH SOLE 55289 0 0 METLIFE INC UNIT 99/99/9999 59156R116 18661 263860 SH SOLE 263860 0 0 MGIC INVT CORP WIS COM 552848103 427 86050 SH SOLE 86050 0 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 10849 10244000 PRN SOLE 10244000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 16943 12277000 PRN SOLE 12277000 0 0 MICROSOFT CORP COM 594918104 4751 147314 SH SOLE 147314 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 3181 2500000 PRN SOLE 2500000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1609 1539000 PRN SOLE 1539000 0 0 MOSAIC CO NEW COM 61945C103 1392 25215 SH SOLE 25215 0 0 MYLAN INC COM 628530107 751 32000 SH SOLE 32000 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 3520 2600000 PRN SOLE 2600000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 449 5656 SH SOLE 5656 0 0 NATIONAL RETAIL PPTYS INC NOTE 5.125% 6/1 637417AC0 1624 1449000 PRN SOLE 1449000 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 9707 8806000 PRN SOLE 8806000 0 0 NETAPP INC COM 64110D104 682 15218 SH SOLE 15218 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 5070 3502000 PRN SOLE 3502000 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 951 755000 PRN SOLE 755000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 2060 1567000 PRN SOLE 1567000 0 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 9768 8810000 PRN SOLE 8810000 0 0 NEXTERA ENERGY INC COM 65339F101 1082 17699 SH SOLE 17699 0 0 NIKE INC CL B 654106103 645 5947 SH SOLE 5947 0 0 NORTHROP GRUMMAN CORP COM 666807102 1501 24596 SH SOLE 24596 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 926 636000 PRN SOLE 636000 0 0 O CHARLEYS INC COM 670823103 383 38845 SH SOLE 38845 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 1039 10916 SH SOLE 10916 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 41 40000 PRN SOLE 40000 0 0 OLIN CORP COM PAR $1 680665205 810 37306 SH SOLE 37306 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 8218 173000 SH SOLE 173000 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 5147 4726000 PRN SOLE 4726000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 4783 4283000 PRN SOLE 4283000 0 0 ONYX PHARMACEUTICALS INC COM 683399109 991 26250 SH SOLE 26250 0 0 ONYX PHARMACEUTICALS INC NOTE 4.000% 8/1 683399AB5 5059 4045000 PRN SOLE 4045000 0 0 OPENWAVE SYS INC COM NEW 683718308 363 160225 SH SOLE 160225 0 0 ORACLE CORP COM 68389X105 1893 64995 SH SOLE 64995 0 0 P T TELEKOMUNIKASI INDONESIA SPONSORED ADR 715684106 1218 40145 SH SOLE 40145 0 0 PACIFIC SUNWEAR CALIF INC COM 694873100 320 182235 SH SOLE 182235 0 0 PARKER HANNIFIN CORP COM 701094104 1106 13080 SH SOLE 13080 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 3893 4096000 PRN SOLE 4096000 0 0 PEPSICO INC COM 713448108 1429 21536 SH SOLE 21536 0 0 PFIZER INC COM 717081103 2176 96045 SH SOLE 96045 0 0 PHH CORP NOTE 4.000% 9/0 693320AN3 4801 5000000 PRN SOLE 5000000 0 0 PHH CORP NOTE 6.000% 6/1 693320AQ6 3677 2500000 PRN SOLE 2500000 0 0 PHILIP MORRIS INTL INC COM 718172109 2833 31969 SH SOLE 31969 0 0 PINNACLE WEST CAP CORP COM 723484101 898 18747 SH SOLE 18747 0 0 PIONEER NAT RES CO COM 723787107 349 3125 SH SOLE 3125 0 0 PMC-SIERRA INC COM 69344F106 935 129090 SH SOLE 129090 0 0 PNC FINL SVCS GROUP INC COM 693475105 1157 17942 SH SOLE 17942 0 0 POLYCOM INC COM 73172K104 1250 65400 SH SOLE 65400 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 1035 41490 SH SOLE 41490 0 0 PROCTER & GAMBLE CO COM 742718109 3401 50582 SH SOLE 50582 0 0 PROLOGIS NOTE 2.625% 5/1 74340XAS0 85 85000 PRN SOLE 85000 0 0 PRUDENTIAL FINL INC COM 744320102 2036 32138 SH SOLE 32138 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 211 6894 SH SOLE 6894 0 0 QEP RES INC COM 74733V100 366 11988 SH SOLE 11988 0 0 QUALCOMM INC COM 747525103 2985 43864 SH SOLE 43864 0 0 RANGE RES CORP COM 75281A109 1459 25092 SH SOLE 25092 0 0 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 3516 2885000 PRN SOLE 2885000 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 9679 7250000 PRN SOLE 7250000 0 0 RENTECH INC COM 760112102 522 250420 SH SOLE 250420 0 0 REPUBLIC SVCS INC COM 760759100 1001 32757 SH SOLE 32757 0 0 REX ENERGY CORPORATION COM 761565100 684 64043 SH SOLE 64043 0 0 RIGEL PHARMACEUTICALS INC COM NEW 766559603 314 38965 SH SOLE 38965 0 0 RITE AID CORP COM 767754104 438 251290 SH SOLE 251290 0 0 ROVI CORP NOTE 2.625% 2/1 779376AB8 4176 3982000 PRN SOLE 3982000 0 0 ROYAL CARIBBEAN CRUISES LTD COM V7780T103 293 9958 SH SOLE 9958 0 0 RTI INTL METALS INC NOTE 3.000%12/0 74973WAA5 994 981000 PRN SOLE 981000 0 0 RUSH ENTERPRISES INC CL A 781846209 348 16395 SH SOLE 16395 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 540 501000 PRN SOLE 501000 0 0 SALIX PHARMACEUTICALS INC COM 795435106 752 14315 SH SOLE 14315 0 0 SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 2872 2150000 PRN SOLE 2150000 0 0 SANDISK CORP COM 80004C101 1095 22073 SH SOLE 22073 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 5500 4646000 PRN SOLE 4646000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 9225 5250000 PRN SOLE 5250000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3280 2598000 PRN SOLE 2598000 0 0 SCHLUMBERGER LTD COM 806857108 2540 36350 SH SOLE 36350 0 0 SIMON PPTY GROUP INC NEW COM 828806109 1260 8639 SH SOLE 8639 0 0 SM ENERGY CO COM 78454L100 786 11119 SH SOLE 11119 0 0 SMITHFIELD FOODS INC COM 832248108 294 13354 SH SOLE 13354 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 1245 1095000 PRN SOLE 1095000 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 8740 5750000 PRN SOLE 5750000 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 3213 2534000 PRN SOLE 2534000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 70193 498488 SH SOLE 498488 0 0 SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 542 3000 SH SOLE 3000 0 0 SPECTRANETICS CORP COM 84760C107 481 46320 SH SOLE 46320 0 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 3736 2870000 PRN SOLE 2870000 0 0 STANLEY WKS FRNT 5/1 854616AM1 4616 3866000 PRN SOLE 3866000 0 0 STATE STR CORP COM 857477103 336 7370 SH SOLE 7370 0 0 STEEL DYNAMICS INC COM 858119100 372 25605 SH SOLE 25605 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 8450 9000000 PRN SOLE 9000000 0 0 STRATEGIC HOTELS & RESORTS I COM 86272T106 402 61180 SH SOLE 61180 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 98 15530 SH SOLE 15530 0 0 SYMANTEC CORP COM 871503108 1176 62815 SH SOLE 62815 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 3780 3377000 PRN SOLE 3377000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 5670 300000 SH SOLE 300000 0 0 TARGET CORP COM 87612E106 1861 31968 SH SOLE 31968 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 238 217000 PRN SOLE 217000 0 0 TIME WARNER INC COM NEW 887317303 1047 27719 SH SOLE 27719 0 0 TJX COS INC NEW COM 872540109 494 12420 SH SOLE 12420 0 0 TOWER GROUP INC COM 891777104 484 21569 SH SOLE 21569 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 874 877000 PRN SOLE 877000 0 0 TRANSOCEAN LTD REG SHS H8817H100 815 14903 SH SOLE 14903 0 0 TRAVELERS COMPANIES INC COM 89417E109 623 10515 SH SOLE 10515 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 697 15000 SH SOLE 15000 0 0 TRW AUTOMOTIVE INC NOTE 3.500%12/0 87264MAH2 2748 1574000 PRN SOLE 1574000 0 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 3393 3166000 PRN SOLE 3166000 0 0 TYSON FOODS INC CL A 902494103 641 33465 SH SOLE 33465 0 0 TYSON FOODS INC NOTE 3.250%10/1 902494AP8 56 45000 PRN SOLE 45000 0 0 U S AIRWAYS GROUP INC COM 90341W108 394 51935 SH SOLE 51935 0 0 UGI CORP NEW COM 902681105 980 35985 SH SOLE 35985 0 0 UNISYS CORP COM NEW 909214306 397 20135 SH SOLE 20135 0 0 UNITED AUTO GROUP INC NOTE 3.500% 4/0 909440AH2 2991 2769000 PRN SOLE 2769000 0 0 UNITED CONTL HLDGS INC COM 910047109 895 41629 SH SOLE 41629 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 5727 4842000 PRN SOLE 4842000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 2423 29206 SH SOLE 29206 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 1180 25049 SH SOLE 25049 0 0 UNITED THERAPEUTICS CORP DEL NOTE 1.000% 9/1 91307CAE2 3637 3155000 PRN SOLE 3155000 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1878 31888 SH SOLE 31888 0 0 US BANCORP DEL COM NEW 902973304 2002 63203 SH SOLE 63203 0 0 VALERO ENERGY CORP NEW COM 91913Y100 707 27451 SH SOLE 27451 0 0 VANGUARD INTL EQUITY INDEX F MSCI EMR MKT ETF 922042858 798 18382 SH SOLE 18382 0 0 VELTI PLC ST HELIER SHS G93285107 522 38515 SH SOLE 38515 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 13051 10218000 PRN SOLE 10218000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 1263 33121 SH SOLE 33121 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 9260 6000000 PRN SOLE 6000000 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 3863 2253000 PRN SOLE 2253000 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 205 16817 SH SOLE 16817 0 0 VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 209 7583 SH SOLE 7583 0 0 VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 3328 2800000 PRN SOLE 2800000 0 0 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 889 889000 PRN SOLE 889000 0 0 WAL MART STORES INC COM 931142103 1080 17639 SH SOLE 17639 0 0 WATSON PHARMACEUTICALS INC COM 942683103 1286 19186 SH SOLE 19186 0 0 WELLS FARGO & CO NEW COM 949746101 3192 93482 SH SOLE 93482 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 7426 6682 SH SOLE 6682 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 13270 5500000 PRN SOLE 5500000 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 5650 6075000 PRN SOLE 6075000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 7554 4000000 PRN SOLE 4000000 0 0 XILINX INC NOTE 2.625% 6/1 983919AF8 7666 5693000 PRN SOLE 5693000 0 0 ZALE CORP NEW COM 988858106 359 116105 SH SOLE 116105 0 0