Chief Operating Officer & Chief Compliance Officer

0001172661-14-001321.txt : 20140811 0001172661-14-001321.hdr.sgml : 20140811 20140808145214 ACCESSION NUMBER: 0001172661-14-001321 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20140630 FILED AS OF DATE: 20140808 DATE AS OF CHANGE: 20140808 EFFECTIVENESS DATE: 20140808 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: 141027098 BUSINESS ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLY 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 primary_doc.xml 13F-HR LIVE false true false 0000938487 XXXXXXXX 06-30-2014 06-30-2014 false SSI INVESTMENT MANAGEMENT INC

9440 Santa Monica Blvd. 8th Floor Beverly Hills CA 90210

13F HOLDINGS REPORT 028-04720 N Syed Mehdi Chief Operating Officer & Chief Compliance Officer 310-595-2001 /s/ Syed Mehdi Beverly Hills CA 08-08-2014 0 388 1032426 INFORMATION TABLE 2 infotable.xml 3M CO COM 88579Y101 232 1623 SH SOLE 1623 0 0 ABBOTT LABS COM 002824100 285 6984 SH SOLE 6984 0 0 ABBVIE INC COM 00287Y109 671 11904 SH SOLE 11904 0 0 ACTAVIS PLC SHS G0083B108 218 980 SH SOLE 980 0 0 AEGEAN MARINE PETE NETWORK I NOTE 4.000%11/0 Y0020QAA9 4314 4250000 PRN SOLE 4250000 0 0 AETNA INC NEW COM 00817Y108 296 3650 SH SOLE 3650 0 0 AFFILIATED MANAGERS GROUP COM 008252108 285 1388 SH SOLE 1388 0 0 AIR LEASE CORP NOTE 3.875%12/0 00912XAK0 3278 2176000 PRN SOLE 2176000 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 2583 1220000 PRN SOLE 1220000 0 0 AKORN INC NOTE 3.500% 6/0 009728AB2 3114 818000 PRN SOLE 818000 0 0 ALERE INC PERP PFD CONV SE 01449J204 7640 24250 SH SOLE 24250 0 0 ALLSTATE CORP COM 020002101 666 11351 SH SOLE 11351 0 0 ALTRIA GROUP INC COM 02209S103 205 4865 SH SOLE 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CALLAWAY GOLF CO NOTE 3.750% 8/1 131193AC8 3071 2500000 PRN SOLE 2500000 0 0 CANCER GENETICS INC COM 13739U104 249 22010 SH SOLE 22010 0 0 CAPITAL ONE FINL CORP COM 14040H105 878 10640 SH SOLE 10640 0 0 CARROLS RESTAURANT GROUP INC COM 14574X104 453 63775 SH SOLE 63775 0 0 CASELLA WASTE SYS INC CL A 147448104 508 101220 SH SOLE 101220 0 0 CBS CORP NEW CL B 124857202 889 14308 SH SOLE 14308 0 0 CELGENE CORP COM 151020104 803 9352 SH SOLE 9352 0 0 CEMEX SAB DE CV NOTE 3.750% 3/1 151290BC6 11377 7500000 PRN SOLE 7500000 0 0 CHC GROUP LTD SHS G07021101 553 65550 SH SOLE 65550 0 0 CHEGG INC COM 163092109 457 64910 SH SOLE 64910 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 3289 3106000 PRN SOLE 3106000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 536 500000 PRN SOLE 500000 0 0 CHEVRON CORP NEW COM 166764100 770 5896 SH SOLE 5896 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 3927 3900000 PRN SOLE 3900000 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 894 897000 PRN SOLE 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DISCOVER FINL SVCS COM 254709108 327 5260 SH SOLE 5260 0 0 DISCOVERY COMMUNICATNS NEW COM SER A 25470F104 468 6295 SH SOLE 6295 0 0 DISNEY WALT CO COM DISNEY 254687106 381 4452 SH SOLE 4452 0 0 DOMINION RES INC VA NEW UNIT 04/01/2013 25746U703 4746 82073 SH SOLE 82073 0 0 DONNELLEY R R & SONS CO COM 257867101 442 26015 SH SOLE 26015 0 0 DOW CHEM CO COM 260543103 670 12985 SH SOLE 12985 0 0 DRIL-QUIP INC COM 262037104 224 2050 SH SOLE 2050 0 0 E M C CORP MASS COM 268648102 212 7997 SH SOLE 7997 0 0 EASTMAN CHEM CO COM 277432100 680 7808 SH SOLE 7808 0 0 EATON CORP PLC SHS G29183103 575 7458 SH SOLE 7458 0 0 EBAY INC COM 278642103 586 11705 SH SOLE 11705 0 0 ELECTRONIC ARTS INC NOTE 0.750% 7/1 285512AA7 3909 3092000 PRN SOLE 3092000 0 0 EMERALD OIL INC COM NEW 29101U209 88 11490 SH SOLE 11490 0 0 EMERSON ELEC CO COM 291011104 211 3166 SH SOLE 3166 0 0 ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 1972 823000 PRN SOLE 823000 0 0 ENERSYS NOTE 3.375% 6/0 29275YAA0 54 31000 PRN SOLE 31000 0 0 ENNIS INC COM 293389102 226 14845 SH SOLE 14845 0 0 ENSCO PLC SHS CLASS A G3157S106 322 5800 SH SOLE 5800 0 0 ENTRAVISION COMMUNICATIONS C CL A 29382R107 487 78591 SH SOLE 78591 0 0 ENTROPIC COMMUNICATIONS INC COM 29384R105 351 105630 SH SOLE 105630 0 0 EOG RES INC COM 26875P101 254 2162 SH SOLE 2162 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 1412 744000 PRN SOLE 744000 0 0 ESPERION THERAPEUTICS INC NE COM 29664W105 283 17858 SH SOLE 17858 0 0 EXXON MOBIL CORP COM 30231G102 1591 15794 SH SOLE 15794 0 0 FACEBOOK INC CL A 30303M102 274 4051 SH SOLE 4051 0 0 FEDEX CORP COM 31428X106 619 4076 SH SOLE 4076 0 0 FIDELITY NATIONAL FINANCIAL NOTE 4.250% 8/1 31620RAE5 2280 1389000 PRN SOLE 1389000 0 0 FINISAR CORP COM NEW 31787A507 365 18495 SH SOLE 18495 0 0 FLUIDIGM CORP DEL NOTE 2.750% 2/0 34385PAA6 2906 3065000 PRN SOLE 3065000 0 0 FOOT LOCKER INC COM 344849104 716 14169 SH SOLE 14169 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 228 13256 SH SOLE 13256 0 0 FORD MTR CO DEL NOTE 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PRN SOLE 898000 0 0 GOOGLE INC CL A 38259P508 1584 2710 SH SOLE 2710 0 0 GOOGLE INC CL C 38259P706 793 1381 SH SOLE 1381 0 0 GREENBRIER COS INC NOTE 3.500% 4/0 393657AH4 2082 1244000 PRN SOLE 1244000 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 182 128000 PRN SOLE 128000 0 0 GT ADVANCED TECHNOLOGIES INC NOTE 3.000%12/1 36191UAB2 8414 4825000 PRN SOLE 4825000 0 0 HALCON RES CORP COM NEW 40537Q209 233 31915 SH SOLE 31915 0 0 HALLIBURTON CO COM 406216101 850 11998 SH SOLE 11998 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 3632 2009000 PRN SOLE 2009000 0 0 HEALTH CARE REIT INC PFD PER CON I 42217K601 14140 244877 SH SOLE 244877 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 1221 989000 PRN SOLE 989000 0 0 HEALTHWAYS INC NOTE 1.500% 7/0 422245AB6 242 220000 PRN SOLE 220000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 3813 2832000 PRN SOLE 2832000 0 0 HERCULES OFFSHORE INC COM 427093109 267 66300 SH SOLE 66300 0 0 HEWLETT PACKARD CO COM 428236103 411 12200 SH SOLE 12200 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AB7 6032 4808000 PRN SOLE 4808000 0 0 HOLOGIC INC DEBT 2.000% 3/0 436440AC5 908 832000 PRN SOLE 832000 0 0 HOME DEPOT INC COM 437076102 543 6702 SH SOLE 6702 0 0 HORNBECK OFFSHORE SVCS INC N NOTE 1.500% 9/0 440543AN6 3530 2920000 PRN SOLE 2920000 0 0 HORSEHEAD HLDG CORP NOTE 3.800% 7/0 440694AB3 5896 4250000 PRN SOLE 4250000 0 0 HOWARD HUGHES CORP COM 44267D107 211 1335 SH SOLE 1335 0 0 HUBBELL INC CL B 443510201 263 2140 SH SOLE 2140 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 1923 1456 SH SOLE 1456 0 0 HUNTSMAN CORP COM 447011107 331 11793 SH SOLE 11793 0 0 HYSTER YALE MATLS HANDLING I CL A 449172105 287 3240 SH SOLE 3240 0 0 ICONIX BRAND GROUP INC NOTE 2.500% 6/0 451055AE7 8952 6188000 PRN SOLE 6188000 0 0 ILLUMINA INC NOTE 0.250% 3/1 452327AD1 2660 1237000 PRN SOLE 1237000 0 0 INGERSOLL-RAND PLC SHS G47791101 402 6428 SH SOLE 6428 0 0 INTEL CORP COM 458140100 377 12175 SH SOLE 12175 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 6448 5185000 PRN SOLE 5185000 0 0 INTEL CORP SDCV 3.250% 8/0 458140AF7 27428 17784000 PRN SOLE 17784000 0 0 INTERCONTINENTAL EXCHANGE IN COM 45866F104 298 1575 SH SOLE 1575 0 0 INTERNAP NETWORK SVCS CORP COM PAR $.001 45885A300 436 61780 SH SOLE 61780 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 252 1389 SH SOLE 1389 0 0 INTL PAPER CO COM 460146103 893 17666 SH SOLE 17666 0 0 INVESCO LTD SHS G491BT108 875 23207 SH SOLE 23207 0 0 IRIDIUM COMMUNICATIONS INC PERP PFD CNV B 46269C409 4342 13000 SH SOLE 13000 0 0 ISHARES MSCI UK ETF 464286699 531 25450 SH SOLE 25450 0 0 ISHARES MSCI TAIWAN ETF 464286731 318 20100 SH SOLE 20100 0 0 ISHARES MSCI STH KOR ETF 464286772 252 3875 SH SOLE 3875 0 0 ISHARES CORE TOTUSBD ETF 464287226 544 4975 SH SOLE 4975 0 0 ISHARES RUS 2000 GRW ETF 464287648 243 1755 SH SOLE 1755 0 0 ISHARES RUSSELL 2000 ETF 464287655 256 2156 SH SOLE 2156 0 0 ISHARES U.S. REAL ES ETF 464287739 1102 15366 SH SOLE 15366 0 0 ISHARES 1-3 YR CR BD ETF 464288646 4057 38395 SH SOLE 38395 0 0 ISHARES TR FLTG RATE BD ETF 46429B655 4056 79812 SH SOLE 79812 0 0 JAKKS PAC INC COM 47012E106 565 72995 SH SOLE 72995 0 0 JANUS CAP GROUP INC NOTE 0.750% 7/1 47102XAH8 2033 1562000 PRN SOLE 1562000 0 0 JARDEN CORP NOTE 1.875% 9/1 471109AH1 4732 3433000 PRN SOLE 3433000 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 3452 3229000 PRN SOLE 3229000 0 0 JOHNSON & JOHNSON COM 478160104 1037 9888 SH SOLE 9888 0 0 JPMORGAN CHASE & CO COM 46625H100 1756 30451 SH SOLE 30451 0 0 KALOBIOS PHARMACEUTICALS INC COM 48344T100 394 173360 SH SOLE 173360 0 0 KARYOPHARM THERAPEUTICS INC COM 48576U106 269 5765 SH SOLE 5765 0 0 KB HOME NOTE 1.375% 2/0 48666KAS8 4271 4250000 PRN SOLE 4250000 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 9684 74511 SH SOLE 74511 0 0 KEYW HLDG CORP COM 493723100 516 40964 SH SOLE 40964 0 0 KIMBERLY CLARK CORP COM 494368103 966 8685 SH SOLE 8685 0 0 KRAFT FOODS GROUP INC COM 50076Q106 354 5890 SH SOLE 5890 0 0 KRATOS DEFENSE & SEC SOLUTIO COM NEW 50077B207 476 60960 SH SOLE 60960 0 0 KROGER CO COM 501044101 226 4579 SH SOLE 4579 0 0 LA JOLLA PHARMACEUTICAL CO COM PAR $.0001 2 503459604 316 34335 SH SOLE 34335 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1022 745000 PRN SOLE 745000 0 0 LAM RESEARCH CORP COM 512807108 266 3917 SH SOLE 3917 0 0 LAM RESEARCH CORP NOTE 0.500% 5/1 512807AJ7 3929 3160000 PRN SOLE 3160000 0 0 LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 7974 5835000 PRN SOLE 5835000 0 0 LEAR CORP COM NEW 521865204 551 6167 SH SOLE 6167 0 0 LENNAR CORP CL A 526057104 210 5000 SH SOLE 5000 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 4058 2443000 PRN SOLE 2443000 0 0 LIBERTY INTERACTIVE CORP INT COM SER A 53071M104 262 8900 SH SOLE 8900 0 0 LIBERTY INTERACTIVE LLC DEB 0.750% 3/3 530610AC8 4502 3358000 PRN SOLE 3358000 0 0 LIFETIME BRANDS INC COM 53222Q103 278 17665 SH SOLE 17665 0 0 LOEWS CORP COM 540424108 728 16540 SH SOLE 16540 0 0 LUMENIS LTD SHS CL B M6778Q121 394 40400 SH SOLE 40400 0 0 LYONDELLBASELL INDUSTRIES 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0 0 MUELLER WTR PRODS INC COM SER A 624758108 508 58818 SH SOLE 58818 0 0 MYLAN INC COM 628530107 475 9210 SH SOLE 9210 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 8880 2290000 PRN SOLE 2290000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 578 7033 SH SOLE 7033 0 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 10380 7750000 PRN SOLE 7750000 0 0 NEXTERA ENERGY INC UNIT 09/01/2015 65339F887 4462 68748 SH SOLE 68748 0 0 NORCRAFT COS INC COM 65557Y105 415 29000 SH SOLE 29000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 19789 9781000 PRN SOLE 9781000 0 0 NUVASIVE INC NOTE 2.750% 7/0 670704AC9 484 423000 PRN SOLE 423000 0 0 NUVERRA ENVIRONMENTAL SOLUTI COM NEW 67091K203 468 23255 SH SOLE 23255 0 0 OCCIDENTAL PETE CORP DEL COM 674599105 793 7719 SH SOLE 7719 0 0 OCEANEERING INTL INC COM 675232102 340 4350 SH SOLE 4350 0 0 OCLARO INC COM NEW 67555N206 176 79520 SH SOLE 79520 0 0 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 8654 6957000 PRN SOLE 6957000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 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0 0 PIONEER NAT RES CO COM 723787107 732 3188 SH SOLE 3188 0 0 PPG INDS INC COM 693506107 321 1520 SH SOLE 1520 0 0 PRICELINE GRP INC COM NEW 741503403 373 314 SH SOLE 314 0 0 PRICELINE GRP INC NOTE 1.250% 3/1 741503AN6 386 98000 PRN SOLE 98000 0 0 PRICELINE GRP INC DEBT 1.000% 3/1 741503AQ9 18980 13393000 PRN SOLE 13393000 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 8439 7118000 PRN SOLE 7118000 0 0 PROCTER & GAMBLE CO COM 742718109 586 7433 SH SOLE 7433 0 0 PROLOGIS NOTE 3.250% 3/1 74340XAT8 5916 5286000 PRN SOLE 5286000 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 412 38805 SH SOLE 38805 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.250%12/1 74348TAC6 33 31000 PRN SOLE 31000 0 0 PROSPECT CAPITAL CORPORATION NOTE 5.375%10/1 74348TAK8 1911 1829000 PRN SOLE 1829000 0 0 PROSPECT CAPITAL CORPORATION NOTE 5.750% 3/1 74348TAL6 2161 2044000 PRN SOLE 2044000 0 0 PRUDENTIAL FINL INC COM 744320102 324 3640 SH SOLE 3640 0 0 QUALCOMM INC COM 747525103 397 5010 SH SOLE 5010 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 2221 1536000 PRN SOLE 1536000 0 0 RADIAN GROUP INC NOTE 2.250% 3/0 750236AN1 4496 3000000 PRN SOLE 3000000 0 0 RAMCO-GERSHENSON PPTYS TR PERP PFD-D CV 751452608 4300 70000 SH SOLE 70000 0 0 RAYONIER TRS HLDGS INC NOTE 4.500% 8/1 75508AAC0 840 558000 PRN SOLE 558000 0 0 RAYTHEON CO COM NEW 755111507 476 5176 SH SOLE 5176 0 0 REACHLOCAL INC COM 75525F104 308 43775 SH SOLE 43775 0 0 REDWOOD TR INC NOTE 4.625% 4/1 758075AB1 25 24000 PRN SOLE 24000 0 0 REGENERON PHARMACEUTICALS COM 75886F107 489 1732 SH SOLE 1732 0 0 RENTECH INC COM 760112102 206 79620 SH SOLE 79620 0 0 REXFORD INDL RLTY INC COM 76169C100 333 23400 SH SOLE 23400 0 0 RPM INTL INC NOTE 2.250%12/1 749685AT0 5635 4534000 PRN SOLE 4534000 0 0 RPX CORP COM 74972G103 319 17985 SH SOLE 17985 0 0 RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 2233 2229000 PRN SOLE 2229000 0 0 RYLAND GROUP INC NOTE 1.625% 5/1 783764AQ6 5560 4000000 PRN SOLE 4000000 0 0 SALESFORCE COM INC NOTE 0.250% 4/0 79466LAD6 8199 7143000 PRN SOLE 7143000 0 0 SALIX PHARMACEUTICALS INC NOTE 1.500% 3/1 795435AE6 5200 2649000 PRN SOLE 2649000 0 0 SANCHEZ ENERGY CORP COM 79970Y105 249 6628 SH SOLE 6628 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 15823 7726000 PRN SOLE 7726000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 2900 867000 PRN SOLE 867000 0 0 SCHLUMBERGER LTD COM 806857108 865 7332 SH SOLE 7332 0 0 SEACOR HOLDINGS INC NOTE 2.500%12/1 811904AM3 1975 1720000 PRN SOLE 1720000 0 0 SEAGATE TECHNOLOGY PLC SHS G7945M107 353 6200 SH SOLE 6200 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1251 28274 SH SOLE 28274 0 0 SKY-MOBI LTD SPONSORED ADS 83084G109 251 30360 SH SOLE 30360 0 0 SOLARCITY CORP NOTE 2.750%11/0 83416TAA8 12403 8922000 PRN SOLE 8922000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 64350 328787 SH SOLE 328787 0 0 SPECTRANETICS CORP MTNF 2.625% 6/0 84760CAA5 2607 2500000 PRN SOLE 2500000 0 0 SPIRIT RLTY CAP INC NEW NOTE 2.875% 5/1 84860WAA0 2690 2690000 PRN SOLE 2690000 0 0 STANDARD PAC CORP NEW NOTE 1.250% 8/0 85375CBC4 465 372000 PRN SOLE 372000 0 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 3355 25395 SH SOLE 25395 0 0 STARBUCKS CORP COM 855244109 407 5269 SH SOLE 5269 0 0 STARWOOD PPTY TR INC NOTE 4.550% 3/0 85571BAA3 4875 4329000 PRN SOLE 4329000 0 0 STARWOOD PPTY TR INC NOTE 4.000% 1/1 85571BAB1 2574 2250000 PRN SOLE 2250000 0 0 STEEL DYNAMICS INC COM 858119100 197 11001 SH SOLE 11001 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 6000 6000000 PRN SOLE 6000000 0 0 STILLWATER MNG CO NOTE 1.750%10/1 86074QAL6 16119 10979000 PRN SOLE 10979000 0 0 STONE ENERGY CORP NOTE 1.750% 3/0 861642AN6 4170 3256000 PRN SOLE 3256000 0 0 SUNPOWER CORP DBCV 4.500% 3/1 867652AE9 158 86000 PRN SOLE 86000 0 0 SUNSHINE HEART INC COM 86782U106 362 64445 SH SOLE 64445 0 0 SUNTRUST BKS INC COM 867914103 239 5974 SH SOLE 5974 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 1.750%12/0 874054AC3 11935 9119000 PRN SOLE 9119000 0 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 2382 1358000 PRN SOLE 1358000 0 0 TESLA MTRS INC NOTE 1.500% 6/0 88160RAA9 2860 1414000 PRN SOLE 1414000 0 0 TESLA MTRS INC NOTE 0.250% 3/0 88160RAB7 7073 7259000 PRN SOLE 7259000 0 0 TESLA MTRS INC NOTE 1.250% 3/0 88160RAC5 11359 11750000 PRN SOLE 11750000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 714 559000 PRN SOLE 559000 0 0 TEXAS INSTRS INC COM 882508104 521 10977 SH SOLE 10977 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 6849 4750000 PRN SOLE 4750000 0 0 THRESHOLD PHARMACEUTICAL INC COM NEW 885807206 466 117640 SH SOLE 117640 0 0 TIME WARNER INC COM NEW 887317303 364 5145 SH SOLE 5145 0 0 TJX COS INC NEW COM 872540109 485 9139 SH SOLE 9139 0 0 TOLL BROS FIN CORP NOTE 0.500% 9/1 88947EAM2 2741 2583000 PRN SOLE 2583000 0 0 TRACTOR SUPPLY CO COM 892356106 286 4750 SH SOLE 4750 0 0 TTM TECHNOLOGIES INC NOTE 1.750%12/1 87305RAD1 4195 3839000 PRN SOLE 3839000 0 0 TWENTY FIRST CENTY FOX INC CL A 90130A101 726 20612 SH SOLE 20612 0 0 ULTRA CLEAN HLDGS INC COM 90385V107 365 40405 SH SOLE 40405 0 0 UNION PAC CORP COM 907818108 261 2608 SH SOLE 2608 0 0 UNITED PARCEL SERVICE INC CL B 911312106 261 2550 SH SOLE 2550 0 0 UNITED RENTALS INC COM 911363109 263 2512 SH SOLE 2512 0 0 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 1789 191000 PRN SOLE 191000 0 0 UNITED STATES STL CORP NEW NOTE 2.750% 4/0 912909AH1 2020 1629000 PRN SOLE 1629000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 262 2267 SH SOLE 2267 0 0 UNITED TECHNOLOGIES CORP UNIT 99/99/9999 913017117 3612 55314 SH SOLE 55314 0 0 UNITED THERAPEUTICS CORP DEL NOTE 1.000% 9/1 91307CAF9 1134 600000 PRN SOLE 600000 0 0 UNITEDHEALTH GROUP INC COM 91324P102 354 4336 SH SOLE 4336 0 0 US BANCORP DEL COM NEW 902973304 258 5929 SH SOLE 5929 0 0 VALERO ENERGY CORP NEW COM 91913Y100 201 4008 SH SOLE 4008 0 0 VECTOR GROUP LTD FRNT 1/1 92240MAY4 2680 2000000 PRN SOLE 2000000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 613 12544 SH SOLE 12544 0 0 VIACOM INC NEW CL B 92553P201 340 3913 SH SOLE 3913 0 0 VIPSHOP HLDGS LTD NOTE 1.500% 3/1 92763WAA1 8708 7399000 PRN SOLE 7399000 0 0 VISA INC COM CL A 92826C839 722 3428 SH SOLE 3428 0 0 VITACOST COM INC COM 92847A200 409 65340 SH SOLE 65340 0 0 VITESSE SEMICONDUCTOR CORP COM NEW 928497304 453 131260 SH SOLE 131260 0 0 VONAGE HLDGS CORP COM 92886T201 133 35230 SH SOLE 35230 0 0 WABASH NATL CORP NOTE 3.375% 5/0 929566AH0 141 100000 PRN SOLE 100000 0 0 WAL-MART STORES INC COM 931142103 322 4286 SH SOLE 4286 0 0 WALTER INVT MGMT CORP NOTE 4.500%11/0 93317WAA0 8385 9100000 PRN SOLE 9100000 0 0 WEBMD HEALTH CORP NOTE 2.500% 1/3 94770VAF9 3116 2966000 PRN SOLE 2966000 0 0 WELLPOINT INC NOTE 2.750%10/1 94973VBG1 18297 11942000 PRN SOLE 11942000 0 0 WELLS FARGO & CO MTNF 0.125% 3/0 94986RCZ2 14250 9911000 PRN SOLE 9911000 0 0 WELLS FARGO & CO NEW COM 949746101 605 11490 SH SOLE 11490 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 10336 8516 SH SOLE 8516 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 11476 3744000 PRN SOLE 3744000 0 0 WESTFIELD FINANCIAL INC NEW COM 96008P104 311 41615 SH SOLE 41615 0 0 WEYERHAEUSER CO PREF CONV SER A 962166872 2080 36675 SH SOLE 36675 0 0 WRIGHT MED GROUP INC NOTE 2.000% 8/1 98235TAC1 8663 6316000 PRN SOLE 6316000 0 0 XCERRA CORP COM 98400J108 309 34000 SH SOLE 34000 0 0 XILINX INC NOTE 2.625% 6/1 983919AF8 8526 5146000 PRN SOLE 5146000 0 0 XOMA CORP DEL COM 98419J107 412 89760 SH SOLE 89760 0 0 YAHOO INC COM 984332106 336 9522 SH SOLE 9522 0 0 YRC WORLDWIDE INC COM PAR $.01 984249607 542 19290 SH SOLE 19290 0 0 ZIONS BANCORPORATION COM 989701107 286 9700 SH SOLE 9700 0 0 ZYNGA INC CL A 98986T108 265 82600 SH SOLE 82600 0 0