13F-HR 1 ssi1q13.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, 2013 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 13, 2013 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: 371 Form 13F Information Table Value Total: $1,156,110 (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 1656 15594 SH SOLE 15594 0 0 ABBOTT LABS COM 002824100 834 23667 SH SOLE 23667 0 0 ABBVIE INC COM 00287Y109 965 23667 SH SOLE 23667 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 1031 13570 SH SOLE 13570 0 0 ACTAVIS INC COM 00507K103 1328 14403 SH SOLE 14403 0 0 AFFILIATED MANAGERS GROUP COM 008252108 235 1540 SH SOLE 1540 0 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 8062 6485000 PRN SOLE 6485000 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 2562 1974000 PRN SOLE 1974000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 660 15720 SH SOLE 15720 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 1470 1015000 PRN SOLE 1015000 0 0 AKORN INC COM 009728106 1205 87125 SH SOLE 87125 0 0 AKORN INC NOTE 3.500% 6/0 009728AB2 2647 1531000 PRN SOLE 1531000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 2030 1466000 PRN SOLE 1466000 0 0 ALERE INC PERP PFD CONV SE 01449J204 5975 25000 SH SOLE 25000 0 0 ALERE INC NOTE 3.000% 5/1 01449JAA3 1965 2000000 PRN SOLE 2000000 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 903 9797 SH SOLE 9797 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 2128 1983000 PRN SOLE 1983000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 1173 573000 PRN SOLE 573000 0 0 ALLIANCE ONE INTL INC COM 018772103 352 90370 SH SOLE 90370 0 0 ALLSTATE CORP COM 020002101 1033 21050 SH SOLE 21050 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 354 43152 SH SOLE 43152 0 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 4043 4250000 PRN SOLE 4250000 0 0 ALTRIA GROUP INC COM 02209S103 1732 50365 SH SOLE 50365 0 0 ALZA CORP SDCV 7/2 02261WAB5 64 57000 PRN SOLE 57000 0 0 AMAZON COM INC COM 023135106 1170 4397 SH SOLE 4397 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 2409 73528 SH SOLE 73528 0 0 AMERICAN ELEC PWR INC COM 025537101 735 15120 SH SOLE 15120 0 0 AMERICAN INTL GROUP INC COM NEW 026874784 1730 44592 SH SOLE 44592 0 0 AMERICAN SUPERCONDUCTOR CORP COM 030111108 343 128520 SH SOLE 128520 0 0 AMERICAN TOWER CORP NEW COM 03027X100 930 12079 SH SOLE 12079 0 0 AMGEN INC COM 031162100 2157 21064 SH SOLE 21064 0 0 AMTRUST FINANCIAL SERVICES I NOTE 5.500%12/1 032359AC5 13443 9500000 PRN SOLE 9500000 0 0 ANADARKO PETE CORP COM 032511107 1676 19156 SH SOLE 19156 0 0 ANNALY CAP MGMT INC NOTE 5.000% 5/1 035710AB8 961 929000 PRN SOLE 929000 0 0 APACHE CORP PFD CONV SER D 037411808 2428 54448 SH SOLE 54448 0 0 APOLLO INVT CORP NOTE 5.750% 1/1 03761UAE6 34 32000 PRN SOLE 32000 0 0 APPLE INC COM 037833100 6892 15565 SH SOLE 15565 0 0 ARCELORMITTAL SA LUXEMBOURG MAND CV NT 16 L0302D178 4158 197929 SH SOLE 197929 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 4016 3980000 PRN SOLE 3980000 0 0 ARES CAP CORP COM 04010L103 1041 57464 SH SOLE 57464 0 0 ARES CAP CORP NOTE 5.750% 2/0 04010LAB9 4252 3921000 PRN SOLE 3921000 0 0 ARES CAP CORP NOTE 5.125% 6/0 04010LAD5 4450 4149000 PRN SOLE 4149000 0 0 ARMOUR RESIDENTIAL REIT INC COM 042315101 774 118515 SH SOLE 118515 0 0 ASHFORD HOSPITALITY TR INC COM SHS 044103109 359 29040 SH SOLE 29040 0 0 ASPEN INSURANCE HOLDINGS LTD PFD PRP INC EQ G05384113 10249 155000 SH SOLE 155000 0 0 AT&T INC COM 00206R102 3041 82857 SH SOLE 82857 0 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 2415 1346000 PRN SOLE 1346000 0 0 BANK OF AMERICA CORPORATION COM 060505104 1747 143570 SH SOLE 143570 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 14354 11805 SH SOLE 11805 0 0 BARNES & NOBLE INC COM 067774109 342 20770 SH SOLE 20770 0 0 BASIC ENERGY SVCS INC NEW COM 06985P100 343 25090 SH SOLE 25090 0 0 BAXTER INTL INC COM 071813109 453 6249 SH SOLE 6249 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q709 2163 80000 SH SOLE 80000 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 2425 23269 SH SOLE 23269 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 46 15000 PRN SOLE 15000 0 0 BIOMED REALTY TRUST INC COM 09063H107 858 39715 SH SOLE 39715 0 0 BOEING CO COM 097023105 1319 15344 SH SOLE 15344 0 0 BON-TON STORES INC COM 09776J101 330 25380 SH SOLE 25380 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 6671 6474000 PRN SOLE 6474000 0 0 BOTTOMLINE TECH DEL INC NOTE 1.500%12/0 101388AA4 4100 3500000 PRN SOLE 3500000 0 0 BRANDYWINE RLTY TR SH BEN INT NEW 105368203 862 58060 SH SOLE 58060 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 1004 24390 SH SOLE 24390 0 0 BROADCOM CORP CL A 111320107 1798 51885 SH SOLE 51885 0 0 CACI INTL INC NOTE 2.125% 5/0 127190AD8 800 705000 PRN SOLE 705000 0 0 CADENCE DESIGN SYSTEM INC NOTE 2.625% 6/0 127387AJ7 6558 3490000 PRN SOLE 3490000 0 0 CALLAWAY GOLF CO COM 131193104 91 13740 SH SOLE 13740 0 0 CAPITAL ONE FINL CORP COM 14040H105 1320 23988 SH SOLE 23988 0 0 CARMIKE CINEMAS INC COM 143436400 335 18480 SH SOLE 18480 0 0 CATERPILLAR INC DEL COM 149123101 700 8068 SH SOLE 8068 0 0 CBL & ASSOC PPTYS INC COM 124830100 222 9450 SH SOLE 9450 0 0 CELGENE CORP COM 151020104 1843 15922 SH SOLE 15922 0 0 CEMEX SAB DE CV NOTE 3.750% 3/1 151290BC6 9476 7000000 PRN SOLE 7000000 0 0 CENTURYLINK INC COM 156700106 794 22567 SH SOLE 22567 0 0 CF INDS HLDGS INC COM 125269100 1301 6830 SH SOLE 6830 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 1973 1461000 PRN SOLE 1461000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 1653 1727000 PRN SOLE 1727000 0 0 CHEVRON CORP NEW COM 166764100 3107 26146 SH SOLE 26146 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 4094 4500000 PRN SOLE 4500000 0 0 CHUBB CORP COM 171232101 1079 12308 SH SOLE 12308 0 0 CIENA CORP DEBT 4.000%12/1 171779AK7 4751 4000000 PRN SOLE 4000000 0 0 CISCO SYS INC COM 17275R102 2695 129012 SH SOLE 129012 0 0 CITIGROUP INC COM NEW 172967424 3813 86196 SH SOLE 86196 0 0 CMS ENERGY CORP COM 125896100 984 35207 SH SOLE 35207 0 0 COBALT INTL ENERGY INC COM 19075F106 871 30935 SH SOLE 30935 0 0 COBALT INTL ENERGY INC NOTE 2.625%12/0 19075FAA4 11631 10417000 PRN SOLE 10417000 0 0 COCA COLA CO COM 191216100 2214 54790 SH SOLE 54790 0 0 COLGATE PALMOLIVE CO COM 194162103 726 6148 SH SOLE 6148 0 0 COMCAST CORP NEW CL A 20030N101 2736 65190 SH SOLE 65190 0 0 CONAGRA FOODS INC COM 205887102 1367 38172 SH SOLE 38172 0 0 CONOCOPHILLIPS COM 20825C104 521 8667 SH SOLE 8667 0 0 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 5893 3291000 PRN SOLE 3291000 0 0 COSTCO WHSL CORP NEW COM 22160K105 942 8887 SH SOLE 8887 0 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 11446 8867000 PRN SOLE 8867000 0 0 CSX CORP COM 126408103 1108 44945 SH SOLE 44945 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 5621 3294000 PRN SOLE 3294000 0 0 CVS CAREMARK CORPORATION COM 126650100 2093 38054 SH SOLE 38054 0 0 D R HORTON INC COM 23331A109 1360 56036 SH SOLE 56036 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 11769 6243000 PRN SOLE 6243000 0 0 DANA HLDG CORP COM 235825205 447 25091 SH SOLE 25091 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 1683 931000 PRN SOLE 931000 0 0 DEAN FOODS CO NEW COM 242370104 1268 69870 SH SOLE 69870 0 0 DELCATH SYS INC COM 24661P104 366 202600 SH SOLE 202600 0 0 DENDREON CORP NOTE 2.875% 1/1 24823QAC1 3899 5000000 PRN SOLE 5000000 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 2333 1961000 PRN SOLE 1961000 0 0 DEVON ENERGY CORP NEW COM 25179M103 883 15652 SH SOLE 15652 0 0 DIGITAL RLTY TR INC COM 253868103 226 3380 SH SOLE 3380 0 0 DIRECTV COM 25490A309 1384 24424 SH SOLE 24424 0 0 DISCOVER FINL SVCS COM 254709108 1069 23848 SH SOLE 23848 0 0 DISNEY WALT CO COM DISNEY 254687106 1485 26174 SH SOLE 26174 0 0 DOLLAR FINL CORP NOTE 3.000% 4/0 256664AC7 569 525000 PRN SOLE 525000 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 123 73000 PRN SOLE 73000 0 0 DOW CHEM CO COM 260543103 407 12797 SH SOLE 12797 0 0 DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 3879 4500000 PRN SOLE 4500000 0 0 DST SYS INC DEL DBCV 8/1 233326AE7 1198 792000 PRN SOLE 792000 0 0 DTE ENERGY CO COM 233331107 1036 15139 SH SOLE 15139 0 0 E M C CORP MASS COM 268648102 2868 119986 SH SOLE 119986 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 7756 5198000 PRN SOLE 5198000 0 0 EASTMAN CHEM CO COM 277432100 436 6249 SH SOLE 6249 0 0 EBAY INC COM 278642103 656 12093 SH SOLE 12093 0 0 ELECTRONIC ARTS INC NOTE 0.750% 7/1 285512AA7 5805 6000000 PRN SOLE 6000000 0 0 ELLIE MAE INC COM 28849P100 897 37310 SH SOLE 37310 0 0 EMERITUS CORP COM 291005106 328 11810 SH SOLE 11810 0 0 EMERSON ELEC CO COM 291011104 910 16237 SH SOLE 16237 0 0 ENCORE CAP GROUP INC NOTE 3.000%11/2 292554AC6 4564 4000000 PRN SOLE 4000000 0 0 ENDO HEALTH SOLUTIONS INC COM 29264F205 676 21968 SH SOLE 21968 0 0 ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 8781 7367000 PRN SOLE 7367000 0 0 ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 524 19248 SH SOLE 19248 0 0 ENSCO PLC SHS CLASS A G3157S106 927 15420 SH SOLE 15420 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 9342 4652000 PRN SOLE 4652000 0 0 EXELIXIS INC NOTE 4.250% 8/1 30161QAC8 2871 2900000 PRN SOLE 2900000 0 0 EXPRESS SCRIPTS HLDG CO COM 30219G108 1484 25794 SH SOLE 25794 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 1889 1485000 PRN SOLE 1485000 0 0 EXXON MOBIL CORP COM 30231G102 5868 65103 SH SOLE 65103 0 0 FEDEX CORP COM 31428X106 1973 20119 SH SOLE 20119 0 0 FELCOR LODGING TR INC COM 31430F101 367 61510 SH SOLE 61510 0 0 FERRO CORP COM 315405100 357 52790 SH SOLE 52790 0 0 FIDELITY NATIONAL FINANCIAL NOTE 4.250% 8/1 31620RAE5 2653 1969000 PRN SOLE 1969000 0 0 FIFTH THIRD BANCORP COM 316773100 1382 84672 SH SOLE 84672 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 3609 25295 SH SOLE 25295 0 0 FIRST SOLAR INC COM 336433107 329 12200 SH SOLE 12200 0 0 FOOT LOCKER INC COM 344849104 1379 40305 SH SOLE 40305 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 958 72880 SH SOLE 72880 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 8204 5120000 PRN SOLE 5120000 0 0 FOREST CITY ENTERPRISES INC NOTE 4.250% 8/1 345550AP2 3874 3500000 PRN SOLE 3500000 0 0 FORESTAR GROUP INC NOTE 3.750% 3/0 346232AB7 5871 5040000 PRN SOLE 5040000 0 0 FORMFACTOR INC COM 346375108 327 69460 SH SOLE 69460 0 0 FORTINET INC COM 34959E109 1329 56055 SH SOLE 56055 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 1426 43019 SH SOLE 43019 0 0 FREIGHTCAR AMER INC COM 357023100 356 16290 SH SOLE 16290 0 0 GENCORP INC COM 368682100 370 27830 SH SOLE 27830 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 14842 11899000 PRN SOLE 11899000 0 0 GENERAL ELECTRIC CO COM 369604103 6125 264898 SH SOLE 264898 0 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 7887 183690 SH SOLE 183690 0 0 GILEAD SCIENCES INC COM 375558103 1114 22756 SH SOLE 22756 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 814 317000 PRN SOLE 317000 0 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 14656 6756000 PRN SOLE 6756000 0 0 GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 13838 6375000 PRN SOLE 6375000 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 481 461000 PRN SOLE 461000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 742 5040 SH SOLE 5040 0 0 GOODRICH PETE CORP COM NEW 382410405 338 21598 SH SOLE 21598 0 0 GOODRICH PETE CORP NOTE 5.000%10/0 382410AC2 3979 4000000 PRN SOLE 4000000 0 0 GOODYEAR TIRE & RUBR CO PFD CONV 5.875% 382550309 4320 99250 SH SOLE 99250 0 0 GOOGLE INC CL A 38259P508 3510 4418 SH SOLE 4418 0 0 GRAMERCY CAP CORP COM 384871109 453 86980 SH SOLE 86980 0 0 GREENBRIER COS INC NOTE 3.500% 4/0 393657AH4 2752 2750000 PRN SOLE 2750000 0 0 GT ADVANCED TECHNOLOGIES INC NOTE 3.000%10/0 36191UAA4 2866 3750000 PRN SOLE 3750000 0 0 HALLIBURTON CO COM 406216101 419 10380 SH SOLE 10380 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 4008 3750000 PRN SOLE 3750000 0 0 HEALTH CARE REIT INC COM 42217K106 794 11689 SH SOLE 11689 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 6812 5158000 PRN SOLE 5158000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 1285 1048000 PRN SOLE 1048000 0 0 HOLOGIC INC COM 436440101 931 41200 SH SOLE 41200 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AB7 4905 4063000 PRN SOLE 4063000 0 0 HOME DEPOT INC COM 437076102 1983 28419 SH SOLE 28419 0 0 HOME PROPERTIES INC COM 437306103 1328 20933 SH SOLE 20933 0 0 HONEYWELL INTL INC COM 438516106 1222 16226 SH SOLE 16226 0 0 HORNBECK OFFSHORE SVCS INC N FRNT 1.625%11/1 440543AE6 3513 3266000 PRN SOLE 3266000 0 0 HORSEHEAD HLDG CORP NOTE 3.800% 7/0 440694AB3 3763 3750000 PRN SOLE 3750000 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 3824 3000 SH SOLE 3000 0 0 INTEL CORP COM 458140100 2406 110167 SH SOLE 110167 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 2507 2361000 PRN SOLE 2361000 0 0 INTEL CORP SDCV 3.250% 8/0 458140AF7 15790 13117000 PRN SOLE 13117000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 2164 10145 SH SOLE 10145 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 5978 5538000 PRN SOLE 5538000 0 0 INTL PAPER CO COM 460146103 1310 28105 SH SOLE 28105 0 0 INVESCO LTD SHS G491BT108 744 25700 SH SOLE 25700 0 0 INVESCO MORTGAGE CAPITAL INC COM 46131B100 817 38118 SH SOLE 38118 0 0 ISHARES TR RUSSELL 2000 464287655 339 3590 SH SOLE 3590 0 0 ISTAR FINL INC NOTE 3.000%11/1 45031UBR1 4114 3500000 PRN SOLE 3500000 0 0 JABIL CIRCUIT INC COM 466313103 208 11275 SH SOLE 11275 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 3900 3794000 PRN SOLE 3794000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 2301 1500000 PRN SOLE 1500000 0 0 JOHNSON & JOHNSON COM 478160104 3285 40309 SH SOLE 40309 0 0 JPMORGAN CHASE & CO COM 46625H100 4633 97627 SH SOLE 97627 0 0 KB HOME COM 48666K109 434 19955 SH SOLE 19955 0 0 KB HOME NOTE 1.375% 2/0 48666KAS8 5336 4854000 PRN SOLE 4854000 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 12597 97200 SH SOLE 97200 0 0 KIMBERLY CLARK CORP COM 494368103 1029 10500 SH SOLE 10500 0 0 KINDER MORGAN INC DEL COM 49456B101 1391 35941 SH SOLE 35941 0 0 KNIGHT CAP GROUP INC NOTE 3.500% 3/1 499005AE6 5707 5750000 PRN SOLE 5750000 0 0 KRAFT FOODS GROUP INC COM 50076Q106 1177 22815 SH SOLE 22815 0 0 K-SWISS INC CL A 482686102 349 73540 SH SOLE 73540 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 3460 3426000 PRN SOLE 3426000 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 789 655000 PRN SOLE 655000 0 0 LAM RESEARCH CORP NOTE 0.500% 5/1 512807AJ7 155 152000 PRN SOLE 152000 0 0 LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 2119 1987000 PRN SOLE 1987000 0 0 LEAP WIRELESS INTL INC COM NEW 521863308 352 59730 SH SOLE 59730 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 1640 1233000 PRN SOLE 1233000 0 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 4077 2511000 PRN SOLE 2511000 0 0 LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 4094 3751000 PRN SOLE 3751000 0 0 LILLY ELI & CO COM 532457108 741 13027 SH SOLE 13027 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 4351 4071000 PRN SOLE 4071000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.875% 7/1 538034AB5 3010 3000000 PRN SOLE 3000000 0 0 LOEWS CORP COM 540424108 881 20000 SH SOLE 20000 0 0 LOWES COS INC COM 548661107 412 10817 SH SOLE 10817 0 0 LYONDELLBASELL INDUSTRIES N SHS - A - N53745100 1313 20736 SH SOLE 20736 0 0 M/I HOMES INC COM 55305B101 419 17140 SH SOLE 17140 0 0 MACYS INC COM 55616P104 1027 24577 SH SOLE 24577 0 0 MARATHON OIL CORP COM 565849106 1202 35580 SH SOLE 35580 0 0 MASTERCARD INC CL A 57636Q104 734 1355 SH SOLE 1355 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101 1047 32070 SH SOLE 32070 0 0 MBIA INC COM 55262C100 286 27830 SH SOLE 27830 0 0 MCDONALDS CORP COM 580135101 1701 17080 SH SOLE 17080 0 0 MCKESSON CORP COM 58155Q103 1279 11843 SH SOLE 11843 0 0 MEDTRONIC INC COM 585055106 734 15620 SH SOLE 15620 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 921 921000 PRN SOLE 921000 0 0 MENTOR GRAPHICS CORP SDCV 4.000% 4/0 587200AK2 3596 3062000 PRN SOLE 3062000 0 0 MERCK & CO INC NEW COM 58933Y105 1961 44408 SH SOLE 44408 0 0 METLIFE INC COM 59156R108 947 24906 SH SOLE 24906 0 0 METLIFE INC UNIT 99/99/9999 59156R116 12537 253855 SH SOLE 253855 0 0 MGIC INVT CORP WIS NOTE 2.000% 4/0 552848AE3 2100 2061000 PRN SOLE 2061000 0 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 9765 8995000 PRN SOLE 8995000 0 0 MICROCHIP TECHNOLOGY INC COM 595017104 745 20255 SH SOLE 20255 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 17824 12552000 PRN SOLE 12552000 0 0 MICRON TECHNOLOGY INC DEBT 1.875% 6/0 595112AK9 892 841000 PRN SOLE 841000 0 0 MICRON TECHNOLOGY INC NOTE 1.500% 8/0 595112AQ6 9991 8613000 PRN SOLE 8613000 0 0 MICROSOFT CORP COM 594918104 2821 98605 SH SOLE 98605 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 842 714000 PRN SOLE 714000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 819 796000 PRN SOLE 796000 0 0 MOLYCORP INC DEL NOTE 3.250% 6/1 608753AA7 1144 1890000 PRN SOLE 1890000 0 0 MONDELEZ INTL INC CL A 609207105 1707 55720 SH SOLE 55720 0 0 MONSANTO CO NEW COM 61166W101 436 4132 SH SOLE 4132 0 0 MORGAN STANLEY COM NEW 617446448 850 38610 SH SOLE 38610 0 0 MOSAIC CO NEW COM 61945C103 891 14970 SH SOLE 14970 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 1120 507000 PRN SOLE 507000 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 6006 3250000 PRN SOLE 3250000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 1359 19245 SH SOLE 19245 0 0 NATIONAL RETAIL PPTYS INC NOTE 5.125% 6/1 637417AC0 1615 1152000 PRN SOLE 1152000 0 0 NAVISTAR INTL CORP NEW COM 63934E108 319 9230 SH SOLE 9230 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 1807 1775000 PRN SOLE 1775000 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 5207 4775000 PRN SOLE 4775000 0 0 NETFLIX INC COM 64110L106 360 1900 SH SOLE 1900 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 846 755000 PRN SOLE 755000 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 5902 4809000 PRN SOLE 4809000 0 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 3520 3000000 PRN SOLE 3000000 0 0 NEWS CORP CL A 65248E104 1541 50525 SH SOLE 50525 0 0 NEXTERA ENERGY INC COM 65339F101 366 4710 SH SOLE 4710 0 0 NIKE INC CL B 654106103 880 14916 SH SOLE 14916 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 17211 12650000 PRN SOLE 12650000 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 2153 1771000 PRN SOLE 1771000 0 0 NUVASIVE INC NOTE 2.750% 7/0 670704AC9 4619 4750000 PRN SOLE 4750000 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 2131 27207 SH SOLE 27207 0 0 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 2203 1965000 PRN SOLE 1965000 0 0 OMEGA HEALTHCARE INVS INC COM 681936100 869 28622 SH SOLE 28622 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 14204 276855 SH SOLE 276855 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 5526 4676000 PRN SOLE 4676000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AH8 793 700000 PRN SOLE 700000 0 0 ORACLE CORP COM 68389X105 1730 53508 SH SOLE 53508 0 0 OVERSTOCK COM INC DEL COM 690370101 352 28490 SH SOLE 28490 0 0 OWENS ILL INC COM NEW 690768403 1177 44211 SH SOLE 44211 0 0 PARKER HANNIFIN CORP COM 701094104 915 9989 SH SOLE 9989 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 8315 10201000 PRN SOLE 10201000 0 0 PEPSICO INC COM 713448108 1662 20983 SH SOLE 20983 0 0 PFIZER INC COM 717081103 4085 141530 SH SOLE 141530 0 0 PHH CORP NOTE 4.000% 9/0 693320AN3 2240 2040000 PRN SOLE 2040000 0 0 PHH CORP NOTE 6.000% 6/1 693320AQ6 5826 3025000 PRN SOLE 3025000 0 0 PHILIP MORRIS INTL INC COM 718172109 2036 21935 SH SOLE 21935 0 0 PINNACLE WEST CAP CORP COM 723484101 1461 25197 SH SOLE 25197 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 2417 1120000 PRN SOLE 1120000 0 0 PNC FINL SVCS GROUP INC COM 693475105 1395 20915 SH SOLE 20915 0 0 POLYONE CORP COM 73179P106 328 13430 SH SOLE 13430 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 1009 33263 SH SOLE 33263 0 0 PPG INDS INC COM 693506107 752 5615 SH SOLE 5615 0 0 PPL CORP UNIT 99/99/9999 69351T601 3557 64805 SH SOLE 64805 0 0 PRICELINE COM INC COM NEW 741503403 794 1155 SH SOLE 1155 0 0 PRICELINE COM INC DEBT 1.000% 3/1 741503AQ9 17465 15851000 PRN SOLE 15851000 0 0 PROCTER & GAMBLE CO COM 742718109 3758 48801 SH SOLE 48801 0 0 PROLOGIS NOTE 3.250% 3/1 74340XAT8 5255 4562000 PRN SOLE 4562000 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.250%12/1 74348TAC6 34 31000 PRN SOLE 31000 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 883 25700 SH SOLE 25700 0 0 QUALCOMM INC COM 747525103 2638 39411 SH SOLE 39411 0 0 QUESTCOR PHARMACEUTICALS INC COM 74835Y101 810 24890 SH SOLE 24890 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 1722 1427000 PRN SOLE 1427000 0 0 RADIAN GROUP INC NOTE 2.250% 3/0 750236AN1 7949 6576000 PRN SOLE 6576000 0 0 RANGE RES CORP COM 75281A109 1650 20354 SH SOLE 20354 0 0 RAYONIER INC COM 754907103 1021 17108 SH SOLE 17108 0 0 RAYONIER TRS HLDGS INC NOTE 4.500% 8/1 75508AAC0 1728 960000 PRN SOLE 960000 0 0 REDWOOD TR INC NOTE 4.625% 4/1 758075AB1 26 24000 PRN SOLE 24000 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 7696 6000000 PRN SOLE 6000000 0 0 RITE AID CORP COM 767754104 346 181950 SH SOLE 181950 0 0 ROSS STORES INC COM 778296103 1061 17490 SH SOLE 17490 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 426 6550 SH SOLE 6550 0 0 RYLAND GROUP INC COM 783764103 219 5288 SH SOLE 5288 0 0 RYLAND GROUP INC NOTE 1.625% 5/1 783764AQ6 6572 4445000 PRN SOLE 4445000 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 908 433000 PRN SOLE 433000 0 0 SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 2789 2162000 PRN SOLE 2162000 0 0 SANCHEZ ENERGY CORP COM 79970Y105 684 34295 SH SOLE 34295 0 0 SANDISK CORP COM 80004C101 659 11993 SH SOLE 11993 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 6962 5403000 PRN SOLE 5403000 0 0 SAREPTA THERAPEUTICS INC COM 803607100 745 20142 SH SOLE 20142 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 12284 5125000 PRN SOLE 5125000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 2899 1682000 PRN SOLE 1682000 0 0 SCHLUMBERGER LTD COM 806857108 2882 38507 SH SOLE 38507 0 0 SIMON PPTY GROUP INC NEW COM 828806109 1669 10520 SH SOLE 10520 0 0 SM ENERGY CO COM 78454L100 972 16402 SH SOLE 16402 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 25 22000 PRN SOLE 22000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 61427 392082 SH SOLE 392082 0 0 SPDR S&P MIDCAP 400 ETF TR UTSER1 S&PDCRP 78467Y107 656 3130 SH SOLE 3130 0 0 STANDARD PAC CORP NEW NOTE 1.250% 8/0 85375CBC4 5428 4250000 PRN SOLE 4250000 0 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 3659 28900 SH SOLE 28900 0 0 STARBUCKS CORP COM 855244109 1539 26969 SH SOLE 26969 0 0 STARWOOD PPTY TR INC NOTE 4.550% 3/0 85571BAA3 1805 1648000 PRN SOLE 1648000 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 8491 8670000 PRN SOLE 8670000 0 0 STILLWATER MNG CO NOTE 1.750%10/1 86074QAL6 7832 6566000 PRN SOLE 6566000 0 0 SUNPOWER CORP COM 867652406 333 28900 SH SOLE 28900 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 5303 4111000 PRN SOLE 4111000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 9819 403200 SH SOLE 403200 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 4.375% 6/0 874054AA7 5409 3500000 PRN SOLE 3500000 0 0 TARGET CORP COM 87612E106 1698 24792 SH SOLE 24792 0 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 1180 817000 PRN SOLE 817000 0 0 TERADYNE INC COM 880770102 1067 65760 SH SOLE 65760 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 4929 4500000 PRN SOLE 4500000 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 1150 15032 SH SOLE 15032 0 0 THOMPSON CREEK METALS CO INC UNIT 99/99/9999 884768300 1802 109400 SH SOLE 109400 0 0 TIME WARNER INC COM NEW 887317303 929 16126 SH SOLE 16126 0 0 TJX COS INC NEW COM 872540109 1606 34370 SH SOLE 34370 0 0 TRAVELERS COMPANIES INC COM 89417E109 831 9877 SH SOLE 9877 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 1928 1596000 PRN SOLE 1596000 0 0 TRIUS THERAPEUTICS INC COM 89685K100 348 50910 SH SOLE 50910 0 0 TYSON FOODS INC NOTE 3.250%10/1 902494AP8 2537 1716000 PRN SOLE 1716000 0 0 UNION PAC CORP COM 907818108 789 5543 SH SOLE 5543 0 0 UNISYS CORP PFD SER A 6.25% 909214405 4238 65000 SH SOLE 65000 0 0 UNITED PARCEL SERVICE INC CL B 911312106 1160 13505 SH SOLE 13505 0 0 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 913 184000 PRN SOLE 184000 0 0 UNITED STATES STL CORP NEW COM 912909108 339 17370 SH SOLE 17370 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 3998 3841000 PRN SOLE 3841000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 1909 20446 SH SOLE 20446 0 0 UNITED TECHNOLOGIES CORP UNIT 99/99/9999 913017117 4125 68870 SH SOLE 68870 0 0 UNITED THERAPEUTICS CORP DEL NOTE 1.000% 9/1 91307CAF9 845 615000 PRN SOLE 615000 0 0 UNITEDHEALTH GROUP INC COM 91324P102 2192 38317 SH SOLE 38317 0 0 US BANCORP DEL COM NEW 902973304 780 22978 SH SOLE 22978 0 0 VALERO ENERGY CORP NEW COM 91913Y100 1108 24345 SH SOLE 24345 0 0 VANDA PHARMACEUTICALS INC COM 921659108 364 92810 SH SOLE 92810 0 0 VELTI PLC ST HELIER SHS G93285107 345 173530 SH SOLE 173530 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 14972 10105000 PRN SOLE 10105000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 1600 32586 SH SOLE 32586 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 11826 4500000 PRN SOLE 4500000 0 0 VISA INC COM CL A 92826C839 1247 7354 SH SOLE 7354 0 0 VOLCANO CORPORATION NOTE 1.750%12/0 928645AB6 6280 6369000 PRN SOLE 6369000 0 0 WAL-MART STORES INC COM 931142103 1956 26148 SH SOLE 26148 0 0 WALTER INVT MGMT CORP NOTE 4.500%11/0 93317WAA0 7765 7250000 PRN SOLE 7250000 0 0 WEBMD HEALTH CORP NOTE 2.500% 1/3 94770VAF9 6901 7500000 PRN SOLE 7500000 0 0 WELLS FARGO & CO MTNF 0.125% 3/0 94986RCZ2 10974 9715000 PRN SOLE 9715000 0 0 WELLS FARGO & CO NEW COM 949746101 2360 63811 SH SOLE 63811 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 10079 7819 SH SOLE 7819 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 14014 5333000 PRN SOLE 5333000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 11827 3250000 PRN SOLE 3250000 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 405 302000 PRN SOLE 302000 0 0 XILINX INC NOTE 2.625% 6/1 983919AF8 10054 7090000 PRN SOLE 7090000 0 0 XOMA CORP DEL COM 98419J107 351 100460 SH SOLE 100460 0 0 ZOGENIX INC COM 98978L105 338 187650 SH SOLE 187650 0 0