0001172661-12-000787.txt : 20120808
0001172661-12-000787.hdr.sgml : 20120808
20120808070835
ACCESSION NUMBER: 0001172661-12-000787
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20120630
FILED AS OF DATE: 20120808
DATE AS OF CHANGE: 20120808
EFFECTIVENESS DATE: 20120808
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SSI INVESTMENT MANAGEMENT INC
CENTRAL INDEX KEY: 0000938487
IRS NUMBER: 952913505
STATE OF INCORPORATION: CA
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-04720
FILM NUMBER: 121015011
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
ssiinvestments2q12.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, 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 August 08, 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: 343
Form 13F Information Table Value Total: $859,715 (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 1233 13786 SH SOLE 13786 0 0
ABBOTT LABS COM 002824100 1143 17712 SH SOLE 17712 0 0
AETNA INC NEW COM 00817Y108 293 7565 SH SOLE 7565 0 0
AFFILIATED MANAGERS GROUP COM 008252108 328 2994 SH SOLE 2994 0 0
AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 3148 2918000 PRN SOLE 2918000 0 0
AGCO CORP NOTE 1.250%12/1 001084AM4 3827 3053000 PRN SOLE 3053000 0 0
AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1973 1543000 PRN SOLE 1543000 0 0
ALCOA INC NOTE 5.250% 3/1 013817AT8 350 234000 PRN SOLE 234000 0 0
ALERE INC PERP PFD CONV SE 01449J204 3750 18116 SH SOLE 18116 0 0
ALERE INC NOTE 3.000% 5/1 01449JAA3 1807 2000000 PRN SOLE 2000000 0 0
ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 8064 6975000 PRN SOLE 6975000 0 0
ALLERGAN INC COM 018490102 1271 13706 SH SOLE 13706 0 0
ALTRA HOLDINGS INC NOTE 2.750% 3/0 02208RAE6 199 216000 PRN SOLE 216000 0 0
ALTRIA GROUP INC COM 02209S103 1149 33265 SH SOLE 33265 0 0
ALZA CORP SDCV 7/2 02261WAB5 55 57000 PRN SOLE 57000 0 0
AMAZON COM INC COM 023135106 461 2016 SH SOLE 2016 0 0
AMERICAN CAPITAL AGENCY CORP COM 02503X105 1365 40609 SH SOLE 40609 0 0
AMERICAN ELEC PWR INC COM 025537101 535 13404 SH SOLE 13404 0 0
AMERICAN EXPRESS CO COM 025816109 817 14066 SH SOLE 14066 0 0
AMERICAN STS WTR CO COM 029899101 1240 31350 SH SOLE 31350 0 0
AMERICAN SUPERCONDUCTOR CORP COM 030111108 479 102100 SH SOLE 102100 0 0
AMERICAN TOWER CORP NEW COM 03027X100 1003 14347 SH SOLE 14347 0 0
AMERISOURCEBERGEN CORP COM 03073E105 979 24797 SH SOLE 24797 0 0
AMGEN INC COM 031162100 632 8669 SH SOLE 8669 0 0
AMGEN INC NOTE 0.375% 2/0 031162AQ3 2325 2235000 PRN SOLE 2235000 0 0
AMYLIN PHARMACEUTICALS INC COM 032346108 429 15180 SH SOLE 15180 0 0
ANADARKO PETE CORP COM 032511107 1588 23954 SH SOLE 23954 0 0
ANGLOGOLD ASHANTI HLDGS FIN MAND BD CV 13 03512Q206 6207 151500 SH SOLE 151500 0 0
ANHEUSER BUSCH INBEV SA/NV SPONSORED ADR 03524A108 926 11585 SH SOLE 11585 0 0
ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 3431 3218000 PRN SOLE 3218000 0 0
ANNALY CAP MGMT INC COM 035710409 1228 73162 SH SOLE 73162 0 0
ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 14069 11460000 PRN SOLE 11460000 0 0
APACHE CORP PFD CONV SER D 037411808 5381 107123 SH SOLE 107123 0 0
APOLLO INVT CORP NOTE 5.750% 1/1 03761UAE6 897 915000 PRN SOLE 915000 0 0
APPLE INC COM 037833100 8570 14675 SH SOLE 14675 0 0
APPLIED MATLS INC COM 038222105 978 85518 SH SOLE 85518 0 0
ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 6532 6375000 PRN SOLE 6375000 0 0
ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 3065 3050000 PRN SOLE 3050000 0 0
ARES CAP CORP COM 04010L103 1031 64605 SH SOLE 64605 0 0
ARRAY BIOPHARMA INC COM 04269X105 430 123670 SH SOLE 123670 0 0
ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 5480 6350000 PRN SOLE 6350000 0 0
ASHFORD HOSPITALITY TR INC COM SHS 044103109 375 44550 SH SOLE 44550 0 0
ASHLAND INC NEW COM 044209104 531 7659 SH SOLE 7659 0 0
ASPEN INSURANCE HOLDINGS LTD PFD PRP INC EQ G05384113 8250 149305 SH SOLE 149305 0 0
AT&T INC COM 00206R102 2517 70574 SH SOLE 70574 0 0
ATP OIL & GAS CORP COM 00208J108 256 76170 SH SOLE 76170 0 0
AVIS BUDGET GROUP COM 053774105 455 29990 SH SOLE 29990 0 0
AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 4216 3381000 PRN SOLE 3381000 0 0
BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 8973 9202 SH SOLE 9202 0 0
BARRICK GOLD CORP COM 067901108 568 15119 SH SOLE 15119 0 0
BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 1918 22991 SH SOLE 22991 0 0
BGC PARTNERS INC CL A 05541T101 490 83460 SH SOLE 83460 0 0
BIOMARIN PHARMACEUTICAL INC COM 09061G101 642 16225 SH SOLE 16225 0 0
BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 3842 1884000 PRN SOLE 1884000 0 0
BIOMED REALTY TRUST INC COM 09063H107 742 39715 SH SOLE 39715 0 0
BOEING CO COM 097023105 1314 17681 SH SOLE 17681 0 0
BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 4863 4227000 PRN SOLE 4227000 0 0
BRANDYWINE RLTY TR SH BEN INT NEW 105368203 717 58060 SH SOLE 58060 0 0
BRE PROPERTIES INC CL A 05564E106 922 18436 SH SOLE 18436 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 1394 38797 SH SOLE 38797 0 0
BROADCOM CORP CL A 111320107 950 28089 SH SOLE 28089 0 0
BROOKDALE SR LIVING INC NOTE 2.750% 6/1 112463AA2 4405 4750000 PRN SOLE 4750000 0 0
CAMERON INTERNATIONAL CORP COM 13342B105 1151 26910 SH SOLE 26910 0 0
CANADIAN SOLAR INC COM 136635109 494 137130 SH SOLE 137130 0 0
CATERPILLAR INC DEL COM 149123101 479 5644 SH SOLE 5644 0 0
CEDAR REALTY TRUST INC COM NEW 150602209 431 85480 SH SOLE 85480 0 0
CELGENE CORP COM 151020104 1990 30999 SH SOLE 30999 0 0
CENTURYLINK INC COM 156700106 1729 43775 SH SOLE 43775 0 0
CERNER CORP COM 156782104 1154 13941 SH SOLE 13941 0 0
CHART INDS INC NOTE 2.000% 8/0 16115QAC4 7732 6223000 PRN SOLE 6223000 0 0
CHECK POINT SOFTWARE TECH LT ORD M22465104 832 16808 SH SOLE 16808 0 0
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 2530 2950000 PRN SOLE 2950000 0 0
CHEVRON CORP NEW COM 166764100 2830 26836 SH SOLE 26836 0 0
CISCO SYS INC COM 17275R102 2511 146304 SH SOLE 146304 0 0
CITI TRENDS INC COM 17306X102 450 29110 SH SOLE 29110 0 0
CITIGROUP INC UNIT 99/99/9999 172967416 10022 117134 SH SOLE 117134 0 0
CITIGROUP INC COM NEW 172967424 1916 69836 SH SOLE 69836 0 0
CMS ENERGY CORP COM 125896100 1492 63527 SH SOLE 63527 0 0
CNO FINL GROUP INC DBCV 7.000%12/3 12621EAC7 628 400000 PRN SOLE 400000 0 0
CNO FINL GROUP INC DBCV 7.000%12/3 12621EAE3 3110 1985000 PRN SOLE 1985000 0 0
CNO FINL GROUP INC DBCV 7.000%12/3 12621EAF0 2644 1686000 PRN SOLE 1686000 0 0
COCA COLA CO COM 191216100 2175 27795 SH SOLE 27795 0 0
COMCAST CORP NEW CL A 20030N101 1234 38606 SH SOLE 38606 0 0
CONCHO RES INC COM 20605P101 643 7559 SH SOLE 7559 0 0
CONOCOPHILLIPS COM 20825C104 1552 27727 SH SOLE 27727 0 0
CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 6655 4503000 PRN SOLE 4503000 0 0
COSTCO WHSL CORP NEW COM 22160K105 1238 13031 SH SOLE 13031 0 0
COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 7042 6000000 PRN SOLE 6000000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 1625 1258000 PRN SOLE 1258000 0 0
CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 1950 1355000 PRN SOLE 1355000 0 0
D R HORTON INC NOTE 2.000% 5/1 23331ABB4 7435 5001000 PRN SOLE 5001000 0 0
DANA HLDG CORP COM 235825205 519 40521 SH SOLE 40521 0 0
DANAHER CORP DEL NOTE 1/2 235851AF9 4225 2790000 PRN SOLE 2790000 0 0
DENDREON CORP COM 24823Q107 440 59420 SH SOLE 59420 0 0
DEVON ENERGY CORP NEW COM 25179M103 968 16706 SH SOLE 16706 0 0
DIGITAL RLTY TR INC COM 253868103 313 4175 SH SOLE 4175 0 0
DIRECTV COM CL A 25490A101 982 20100 SH SOLE 20100 0 0
DISCOVER FINL SVCS COM 254709108 1024 29579 SH SOLE 29579 0 0
DISNEY WALT CO COM DISNEY 254687106 1215 25001 SH SOLE 25001 0 0
DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 150 96000 PRN SOLE 96000 0 0
DOW CHEM CO COM 260543103 699 22176 SH SOLE 22176 0 0
DR PEPPER SNAPPLE GROUP INC COM 26138E109 609 13909 SH SOLE 13909 0 0
DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 7275 10000000 PRN SOLE 10000000 0 0
DST SYS INC DEL DBCV 8/1 233326AE7 1122 910000 PRN SOLE 910000 0 0
E M C CORP MASS COM 268648102 2598 101452 SH SOLE 101452 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 8068 4957000 PRN SOLE 4957000 0 0
EBAY INC COM 278642103 639 15220 SH SOLE 15220 0 0
EMERITUS CORP COM 291005106 462 27470 SH SOLE 27470 0 0
EMERSON ELEC CO COM 291011104 892 19151 SH SOLE 19151 0 0
ENDO HEALTH SOLUTIONS INC COM 29264F205 648 20894 SH SOLE 20894 0 0
ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 4708 3914000 PRN SOLE 3914000 0 0
EQUINIX INC NOTE 3.000%10/1 29444UAG1 2836 1680000 PRN SOLE 1680000 0 0
EXELIXIS INC COM 30161Q104 496 89740 SH SOLE 89740 0 0
EXXON MOBIL CORP COM 30231G102 4922 57534 SH SOLE 57534 0 0
FEDERAL SIGNAL CORP COM 313855108 383 65500 SH SOLE 65500 0 0
FEDEX CORP COM 31428X106 911 9924 SH SOLE 9924 0 0
FELCOR LODGING TR INC COM 31430F101 479 101775 SH SOLE 101775 0 0
FIFTH STREET FINANCE CORP COM 31678A103 586 58765 SH SOLE 58765 0 0
FIFTH THIRD BANCORP COM 316773100 880 65637 SH SOLE 65637 0 0
FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 4144 30302 SH SOLE 30302 0 0
FLUOR CORP NEW COM 343412102 879 17820 SH SOLE 17820 0 0
FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 36 20000 PRN SOLE 20000 0 0
FOOT LOCKER INC COM 344849104 752 24609 SH SOLE 24609 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 993 103594 SH SOLE 103594 0 0
FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 3355 2413000 PRN SOLE 2413000 0 0
FOSTER WHEELER AG COM H27178104 1015 58805 SH SOLE 58805 0 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 310 9073 SH SOLE 9073 0 0
FTI CONSULTING INC COM 302941109 771 26785 SH SOLE 26785 0 0
GENCORP INC COM 368682100 428 65660 SH SOLE 65660 0 0
GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 9527 9704000 PRN SOLE 9704000 0 0
GENERAL ELECTRIC CO COM 369604103 4280 205326 SH SOLE 205326 0 0
GENERAL MTRS CO COM 37045V100 368 18648 SH SOLE 18648 0 0
GENERAL MTRS CO JR PFD CNV SRB 37045V209 6353 191284 SH SOLE 191284 0 0
GILEAD SCIENCES INC COM 375558103 563 10988 SH SOLE 10988 0 0
GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 7372 5401000 PRN SOLE 5401000 0 0
GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 803 646000 PRN SOLE 646000 0 0
GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 11579 8950000 PRN SOLE 8950000 0 0
GOLDCORP INC NEW COM 380956409 297 7911 SH SOLE 7911 0 0
GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 5767 5122000 PRN SOLE 5122000 0 0
GOODYEAR TIRE & RUBR CO PFD CONV 382550309 6859 158840 SH SOLE 158840 0 0
GOOGLE INC CL A 38259P508 3307 5697 SH SOLE 5697 0 0
HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 1583 84485 SH SOLE 84485 0 0
HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 4047 3700000 PRN SOLE 3700000 0 0
HEADWATERS INC COM 42210P102 338 65500 SH SOLE 65500 0 0
HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 462 390000 PRN SOLE 390000 0 0
HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 2065 1741000 PRN SOLE 1741000 0 0
HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 993 969000 PRN SOLE 969000 0 0
HESS CORP COM 42809H107 1184 27227 SH SOLE 27227 0 0
HEWLETT PACKARD CO COM 428236103 439 21874 SH SOLE 21874 0 0
HIGHWOODS PPTYS INC COM 431284108 587 17440 SH SOLE 17440 0 0
HILL ROM HLDGS INC COM 431475102 565 18345 SH SOLE 18345 0 0
HOLOGIC INC COM 436440101 560 31050 SH SOLE 31050 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AB7 3201 3039000 PRN SOLE 3039000 0 0
HOME DEPOT INC COM 437076102 620 11694 SH SOLE 11694 0 0
HOME PROPERTIES INC COM 437306103 1255 20474 SH SOLE 20474 0 0
HORNBECK OFFSHORE SVCS INC N FRNT 1.625%11/1 440543AE6 854 812000 PRN SOLE 812000 0 0
HSN INC COM 404303109 1131 27993 SH SOLE 27993 0 0
HUNTSMAN CORP COM 447011107 222 17355 SH SOLE 17355 0 0
IAC INTERACTIVECORP COM PAR $.001 44919P508 1309 28687 SH SOLE 28687 0 0
INTEL CORP COM 458140100 1710 64197 SH SOLE 64197 0 0
INTEL CORP SDCV 2.950%12/1 458140AD2 6867 6070000 PRN SOLE 6070000 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 2877 14709 SH SOLE 14709 0 0
INTERNATIONAL GAME TECHNOLOG COM 459902102 1845 117053 SH SOLE 117053 0 0
INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 4764 4315000 PRN SOLE 4315000 0 0
INTERPUBLIC GROUP COS INC COM 460690100 694 63905 SH SOLE 63905 0 0
INTERPUBLIC GROUP COS INC NOTE 4.750% 3/1 460690BE9 2796 2576000 PRN SOLE 2576000 0 0
INVESCO LTD SHS G491BT108 629 27820 SH SOLE 27820 0 0
ISHARES TR DJ SEL DIV INX 464287168 1868 33270 SH SOLE 33270 0 0
ISHARES TR MSCI EAFE INDEX 464287465 287 5755 SH SOLE 5755 0 0
ISHARES TR NASDQ BIO INDX 464287556 364 2812 SH SOLE 2812 0 0
ISHARES TR RUSSELL 2000 464287655 811 10200 SH SOLE 10200 0 0
ISTAR FINL INC COM 45031U101 464 72025 SH SOLE 72025 0 0
JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 2581 2000000 PRN SOLE 2000000 0 0
JOHNSON & JOHNSON COM 478160104 2296 34000 SH SOLE 34000 0 0
JPMORGAN CHASE & CO COM 46625H100 3080 86232 SH SOLE 86232 0 0
KELLOGG CO COM 487836108 1038 21022 SH SOLE 21022 0 0
KEYCORP NEW PFD 7.75% SR A 493267405 9847 89025 SH SOLE 89025 0 0
KIMBERLY CLARK CORP COM 494368103 880 10500 SH SOLE 10500 0 0
KINROSS GOLD CORP NOTE 1.750% 3/1 496902AD9 80 80000 PRN SOLE 80000 0 0
KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 5994 4432000 PRN SOLE 4432000 0 0
KNIGHT CAP GROUP INC NOTE 3.500% 3/1 499005AE6 9349 10000000 PRN SOLE 10000000 0 0
KRAFT FOODS INC CL A 50075N104 1019 26436 SH SOLE 26436 0 0
KROGER CO COM 501044101 2126 91646 SH SOLE 91646 0 0
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1030 829000 PRN SOLE 829000 0 0
LAM RESEARCH CORP NOTE 0.500% 5/1 512807AJ7 508 530000 PRN SOLE 530000 0 0
LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 3564 3613000 PRN SOLE 3613000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 896 750000 PRN SOLE 750000 0 0
LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 1728 1227000 PRN SOLE 1227000 0 0
LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 13494 15446000 PRN SOLE 15446000 0 0
LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 1043 854000 PRN SOLE 854000 0 0
LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 7472 6990000 PRN SOLE 6990000 0 0
LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 99 96000 PRN SOLE 96000 0 0
LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 3809 4000000 PRN SOLE 4000000 0 0
LOEWS CORP COM 540424108 818 20000 SH SOLE 20000 0 0
LOWES COS INC COM 548661107 946 33232 SH SOLE 33232 0 0
M D C HLDGS INC COM 552676108 434 13303 SH SOLE 13303 0 0
MACYS INC COM 55616P104 2010 58486 SH SOLE 58486 0 0
MASTEC INC NOTE 4.250%12/1 576323AM1 3336 2706000 PRN SOLE 2706000 0 0
MASTERCARD INC CL A 57636Q104 650 1512 SH SOLE 1512 0 0
MCDONALDS CORP COM 580135101 1533 17337 SH SOLE 17337 0 0
MCKESSON CORP COM 58155Q103 3098 33066 SH SOLE 33066 0 0
MCMORAN EXPLORATION CO NOTE 4.000%12/3 582411AJ3 2138 1991000 PRN SOLE 1991000 0 0
MEDICIS PHARMACEUTICAL CORP NOTE 1.375% 6/0 584690AC5 1704 1714000 PRN SOLE 1714000 0 0
MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 776 775000 PRN SOLE 775000 0 0
MENTOR GRAPHICS CORP SDCV 4.000% 4/0 587200AK2 3265 3058000 PRN SOLE 3058000 0 0
MERCK & CO INC NEW COM 58933Y105 1275 30543 SH SOLE 30543 0 0
MERITOR INC COM 59001K100 180 34463 SH SOLE 34463 0 0
METLIFE INC COM 59156R108 1703 55289 SH SOLE 55289 0 0
METLIFE INC UNIT 99/99/9999 59156R116 15968 258110 SH SOLE 258110 0 0
MGIC INVT CORP WIS COM 552848103 455 158250 SH SOLE 158250 0 0
MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 3873 3823000 PRN SOLE 3823000 0 0
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 14396 11540000 PRN SOLE 11540000 0 0
MICROSOFT CORP COM 594918104 5521 180473 SH SOLE 180473 0 0
MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 1566 1539000 PRN SOLE 1539000 0 0
MONSANTO CO NEW COM 61166W101 738 8919 SH SOLE 8919 0 0
MONSTER WORLDWIDE INC COM 611742107 388 46730 SH SOLE 46730 0 0
MORGAN STANLEY COM NEW 617446448 627 42940 SH SOLE 42940 0 0
MOSAIC CO NEW COM 61945C103 1392 25437 SH SOLE 25437 0 0
MYLAN INC COM 628530107 684 32000 SH SOLE 32000 0 0
NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 3002 2425000 PRN SOLE 2425000 0 0
NATIONAL OILWELL VARCO INC COM 637071101 1658 25695 SH SOLE 25695 0 0
NATIONAL RETAIL PPTYS INC NOTE 5.125% 6/1 637417AC0 1647 1449000 PRN SOLE 1449000 0 0
NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 8804 9441000 PRN SOLE 9441000 0 0
NETAPP INC NOTE 1.750% 6/0 64110DAB0 4499 3935000 PRN SOLE 3935000 0 0
NETFLIX INC COM 64110L106 435 6350 SH SOLE 6350 0 0
NEW YORK & CO INC COM 649295102 408 117210 SH SOLE 117210 0 0
NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 943 755000 PRN SOLE 755000 0 0
NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 2078 1567000 PRN SOLE 1567000 0 0
NEWPARK RES INC NOTE 4.000%10/0 651718AC2 4567 4827000 PRN SOLE 4827000 0 0
NEWS CORP CL A 65248E104 492 22075 SH SOLE 22075 0 0
NEXTERA ENERGY INC COM 65339F101 1213 17639 SH SOLE 17639 0 0
NIKE INC CL B 654106103 522 5947 SH SOLE 5947 0 0
NORTHROP GRUMMAN CORP COM 666807102 1584 24866 SH SOLE 24866 0 0
NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 5530 4500000 PRN SOLE 4500000 0 0
NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 898 651000 PRN SOLE 651000 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 937 10916 SH SOLE 10916 0 0
OCLARO INC COM NEW 67555N206 515 169630 SH SOLE 169630 0 0
OFFICE DEPOT INC COM 676220106 424 196010 SH SOLE 196010 0 0
OLIN CORP COM PAR $1 680665205 487 23285 SH SOLE 23285 0 0
OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 6219 142500 SH SOLE 142500 0 0
OMNICOM GROUP INC NOTE 7/0 682134AA9 5181 4809000 PRN SOLE 4809000 0 0
ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 4427 4307000 PRN SOLE 4307000 0 0
ONYX PHARMACEUTICALS INC COM 683399109 536 8063 SH SOLE 8063 0 0
ONYX PHARMACEUTICALS INC NOTE 4.000% 8/1 683399AB5 3754 2050000 PRN SOLE 2050000 0 0
ORACLE CORP COM 68389X105 1931 64995 SH SOLE 64995 0 0
P T TELEKOMUNIKASI INDONESIA SPONSORED ADR 715684106 932 26769 SH SOLE 26769 0 0
PARKER HANNIFIN CORP COM 701094104 837 10871 SH SOLE 10871 0 0
PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 1665 2051000 PRN SOLE 2051000 0 0
PEPSICO INC COM 713448108 741 10482 SH SOLE 10482 0 0
PFIZER INC COM 717081103 2216 96405 SH SOLE 96405 0 0
PHH CORP NOTE 4.000% 9/0 693320AN3 4721 4750000 PRN SOLE 4750000 0 0
PHH CORP NOTE 6.000% 6/1 693320AQ6 4169 2600000 PRN SOLE 2600000 0 0
PHILIP MORRIS INTL INC COM 718172109 2454 28138 SH SOLE 28138 0 0
PHILLIPS 66 COM 718546104 959 28904 SH SOLE 28904 0 0
PINNACLE WEST CAP CORP COM 723484101 1324 25622 SH SOLE 25622 0 0
PIONEER NAT RES CO COM 723787107 275 3125 SH SOLE 3125 0 0
PMC-SIERRA INC NOTE 2.250%10/1 69344FAD8 2442 2436000 PRN SOLE 2436000 0 0
PNC FINL SVCS GROUP INC COM 693475105 807 13204 SH SOLE 13204 0 0
POLYCOM INC COM 73172K104 693 65870 SH SOLE 65870 0 0
PORTLAND GEN ELEC CO COM NEW 736508847 887 33263 SH SOLE 33263 0 0
POTASH CORP SASK INC COM 73755L107 467 10687 SH SOLE 10687 0 0
PPG INDS INC COM 693506107 685 6451 SH SOLE 6451 0 0
PPL CORP UNIT 99/99/9999 69351T601 3485 65815 SH SOLE 65815 0 0
PRICELINE COM INC COM NEW 741503403 602 907 SH SOLE 907 0 0
PROCTER & GAMBLE CO COM 742718109 2457 40092 SH SOLE 40092 0 0
PROLOGIS NOTE 2.625% 5/1 74340XAS0 85 85000 PRN SOLE 85000 0 0
PRUDENTIAL FINL INC COM 744320102 904 18671 SH SOLE 18671 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 229 7034 SH SOLE 7034 0 0
QUALCOMM INC COM 747525103 2093 37556 SH SOLE 37556 0 0
RADIAN GROUP INC COM 750236101 448 136280 SH SOLE 136280 0 0
RANGE RES CORP COM 75281A109 1252 20204 SH SOLE 20204 0 0
RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 3615 2897000 PRN SOLE 2897000 0 0
REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 8395 6500000 PRN SOLE 6500000 0 0
REPUBLIC SVCS INC COM 760759100 867 32757 SH SOLE 32757 0 0
RITE AID CORP COM 767754104 462 329470 SH SOLE 329470 0 0
ROVI CORP NOTE 2.625% 2/1 779376AB8 3851 3999000 PRN SOLE 3999000 0 0
ROYAL GOLD INC NOTE 2.875% 6/1 780287AA6 523 500000 PRN SOLE 500000 0 0
RTI INTL METALS INC NOTE 3.000%12/0 74973WAA5 1005 995000 PRN SOLE 995000 0 0
RYLAND GROUP INC NOTE 1.625% 5/1 783764AQ6 3630 3330000 PRN SOLE 3330000 0 0
SAKS INC NOTE 2.000% 3/1 79377WAL2 518 497000 PRN SOLE 497000 0 0
SALIX PHARMACEUTICALS INC COM 795435106 779 14315 SH SOLE 14315 0 0
SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 2933 2164000 PRN SOLE 2164000 0 0
SANDISK CORP COM 80004C101 655 17942 SH SOLE 17942 0 0
SANDISK CORP NOTE 1.500% 8/1 80004CAD3 4839 4704000 PRN SOLE 4704000 0 0
SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 10125 5250000 PRN SOLE 5250000 0 0
SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3620 2615000 PRN SOLE 2615000 0 0
SCHLUMBERGER LTD COM 806857108 2999 46213 SH SOLE 46213 0 0
SIMON PPTY GROUP INC NEW COM 828806109 1750 11247 SH SOLE 11247 0 0
SM ENERGY CO COM 78454L100 570 11629 SH SOLE 11629 0 0
SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 5270 4000000 PRN SOLE 4000000 0 0
SOTHEBYS NOTE 3.125% 6/1 835898AC1 2955 2550000 PRN SOLE 2550000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 45249 332447 SH SOLE 332447 0 0
SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 505 2945 SH SOLE 2945 0 0
SPDR SERIES TRUST S&P HOMEBUILD 78464A888 247 11596 SH SOLE 11596 0 0
STEEL DYNAMICS INC COM 858119100 639 54530 SH SOLE 54530 0 0
STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 7307 8120000 PRN SOLE 8120000 0 0
SUNSTONE HOTEL INVS INC NEW COM 867892101 441 40160 SH SOLE 40160 0 0
SUNTRUST BKS INC COM 867914103 637 26305 SH SOLE 26305 0 0
SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 2271 2219000 PRN SOLE 2219000 0 0
SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 7079 383000 SH SOLE 383000 0 0
TARGA RES CORP COM 87612G101 403 9420 SH SOLE 9420 0 0
TARGET CORP COM 87612E106 1834 31568 SH SOLE 31568 0 0
TENNECO INC COM 880349105 423 15760 SH SOLE 15760 0 0
TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 226 217000 PRN SOLE 217000 0 0
THOMPSON CREEK METALS CO INC UNIT 99/99/9999 884768300 1887 100000 SH SOLE 100000 0 0
TIME WARNER INC COM NEW 887317303 1068 27719 SH SOLE 27719 0 0
TJX COS INC NEW COM 872540109 553 12880 SH SOLE 12880 0 0
TOWER GROUP INC COM 891777104 659 31549 SH SOLE 31549 0 0
TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 873 877000 PRN SOLE 877000 0 0
TRANSOCEAN LTD REG SHS H8817H100 850 18982 SH SOLE 18982 0 0
TRAVELERS COMPANIES INC COM 89417E109 1005 15756 SH SOLE 15756 0 0
TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 3169 3180000 PRN SOLE 3180000 0 0
TYSON FOODS INC CL A 902494103 630 33465 SH SOLE 33465 0 0
TYSON FOODS INC NOTE 3.250%10/1 902494AP8 2592 2139000 PRN SOLE 2139000 0 0
U S AIRWAYS GROUP INC COM 90341W108 166 12500 SH SOLE 12500 0 0
UNITED CONTL HLDGS INC COM 910047109 573 23589 SH SOLE 23589 0 0
UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 3429 3390000 PRN SOLE 3390000 0 0
UNITED TECHNOLOGIES CORP COM 913017109 1690 22395 SH SOLE 22395 0 0
UNITED THERAPEUTICS CORP DEL COM 91307C102 1380 27935 SH SOLE 27935 0 0
UNITED THERAPEUTICS CORP DEL NOTE 1.000% 9/1 91307CAE2 3813 3188000 PRN SOLE 3188000 0 0
UNITEDHEALTH GROUP INC COM 91324P102 1865 31888 SH SOLE 31888 0 0
US BANCORP DEL COM NEW 902973304 1597 49582 SH SOLE 49582 0 0
VALERO ENERGY CORP NEW COM 91913Y100 587 24275 SH SOLE 24275 0 0
VANGUARD INTL EQUITY INDEX F MSCI EMR MKT ETF 922042858 309 7700 SH SOLE 7700 0 0
VENOCO INC COM 92275P307 431 43120 SH SOLE 43120 0 0
VERISIGN INC SDCV 3.250% 8/1 92343EAD4 13856 9856000 PRN SOLE 9856000 0 0
VERIZON COMMUNICATIONS INC COM 92343V104 1471 33121 SH SOLE 33121 0 0
VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 8520 5700000 PRN SOLE 5700000 0 0
VIROPHARMA INC COM 928241108 929 39172 SH SOLE 39172 0 0
VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 3245 2287000 PRN SOLE 2287000 0 0
VISA INC COM CL A 92826C839 900 7287 SH SOLE 7287 0 0
VISHAY INTERTECHNOLOGY INC COM 928298108 563 59714 SH SOLE 59714 0 0
VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 2174 1800000 PRN SOLE 1800000 0 0
WAL-MART STORES INC COM 931142103 1230 17639 SH SOLE 17639 0 0
WATSON PHARMACEUTICALS INC COM 942683103 1340 18119 SH SOLE 18119 0 0
WELLS FARGO & CO NEW COM 949746101 2716 81181 SH SOLE 81181 0 0
WELLS FARGO & CO NEW PERP PFD CNV A 949746804 7542 6702 SH SOLE 6702 0 0
WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 11004 5100000 PRN SOLE 5100000 0 0
WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 8453 3900000 PRN SOLE 3900000 0 0
WILLBROS GROUP INC DEL COM 969203108 454 70360 SH SOLE 70360 0 0
XENOPORT INC COM 98411C100 413 68300 SH SOLE 68300 0 0
XILINX INC SDCV 3.125% 3/1 983919AD3 338 283000 PRN SOLE 283000 0 0
XILINX INC NOTE 2.625% 6/1 983919AF8 8012 6250000 PRN SOLE 6250000 0 0