Chief Operating Officer & Chief Compliance Officer

0001172661-17-001532.txt : 20170811 0001172661-17-001532.hdr.sgml : 20170811 20170810200845 ACCESSION NUMBER: 0001172661-17-001532 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170630 FILED AS OF DATE: 20170811 DATE AS OF CHANGE: 20170810 EFFECTIVENESS DATE: 20170811 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: 171022733 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 06-30-2017 06-30-2017 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 08-10-2017 0 311 1132982 INFORMATION TABLE 2 infotable.xml 3M CO COM 88579Y101 325 1566 SH SOLE 1566 0 0 51JOB INC NOTE 3.250% 4/1 316827AC8 6614 5671000 PRN SOLE 5671000 0 0 ABBOTT LABS COM 002824100 322 6602 SH SOLE 6602 0 0 ABBVIE INC COM 00287Y109 286 3968 SH SOLE 3968 0 0 ACETO CORP NOTE 2.000%11/0 004446AD2 2222 2418000 PRN SOLE 2418000 0 0 ACORDA THERAPEUTICS INC NOTE 1.750% 6/1 00484MAA4 4876 5683000 PRN SOLE 5683000 0 0 ADVANCED MICRO DEVICES INC NOTE 2.125% 9/0 007903BD8 5131 2929000 PRN SOLE 2929000 0 0 AEGEAN MARINE PETE NETWORK I NOTE 4.000%11/0 Y0020QAA9 3197 3300000 PRN SOLE 3300000 0 0 AETNA INC NEW COM 00817Y108 320 2097 SH SOLE 2097 0 0 AIR LEASE CORP NOTE 3.875%12/0 00912XAK0 118 85000 PRN SOLE 85000 0 0 AKAMAI TECHNOLOGIES INC DBCV 2/1 00971TAG6 716 728000 PRN SOLE 728000 0 0 ALLERGAN PLC SHS G0177J108 356 1459 SH SOLE 1459 0 0 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DANAHER CORP DEL NOTE 1/2 235851AF9 1646 511000 PRN SOLE 511000 0 0 DBX ETF TR XTRAK MSCI JAPN 233051507 578 14827 SH SOLE 14827 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 357 6652 SH SOLE 6652 0 0 DEPOMED INC NOTE 2.500% 9/0 249908AA2 3510 4000000 PRN SOLE 4000000 0 0 DISCOVER FINL SVCS COM 254709108 200 3216 SH SOLE 3216 0 0 DISNEY WALT CO COM DISNEY 254687106 326 3060 SH SOLE 3060 0 0 DOMINION ENERGY INC UNIT 08/15/2019 25746U836 4757 94655 SH SOLE 94655 0 0 DTE ENERGY CO UNIT 99/99/9999 233331883 670 12355 SH SOLE 12355 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 243 3019 SH SOLE 3019 0 0 DYCOM INDS INC NOTE 0.750% 9/1 267475AB7 4856 4189000 PRN SOLE 4189000 0 0 DYNEGY INC NEW DEL UNIT 07/01/20191 26817R405 1218 20000 SH SOLE 20000 0 0 EATON CORP PLC SHS G29183103 216 2769 SH SOLE 2769 0 0 ECHO GLOBAL LOGISTICS INC NOTE 2.500% 5/0 27875TAA9 3376 3559000 PRN SOLE 3559000 0 0 ELECTRONICS FOR IMAGING INC NOTE 0.750% 9/0 286082AC6 4685 4359000 PRN SOLE 4359000 0 0 EMERGENT 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GREENBRIER COS INC NOTE 3.500% 4/0 393657AH4 44 32000 PRN SOLE 32000 0 0 HARMONIC INC NOTE 4.000%12/0 413160AB8 2864 2500000 PRN SOLE 2500000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 2622 2650000 PRN SOLE 2650000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.250% 5/0 42330PAH0 417 452000 PRN SOLE 452000 0 0 HERBALIFE LTD NOTE 2.000% 8/1 42703MAB9 9483 9115000 PRN SOLE 9115000 0 0 HOLOGIC INC FRNT 12/1 436440AG6 15591 12368000 PRN SOLE 12368000 0 0 HOME DEPOT INC COM 437076102 686 4462 SH SOLE 4462 0 0 HONEYWELL INTL INC COM 438516106 299 2244 SH SOLE 2244 0 0 HORIZON GLOBAL CORP NOTE 2.750% 7/0 44052WAA2 402 424000 PRN SOLE 424000 0 0 HORIZON PHARMA INVT LTD NOTE 2.500% 3/1 44052TAB7 3016 3500000 PRN SOLE 3500000 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 2843 1969 SH SOLE 1969 0 0 HURON CONSULTING GROUP INC NOTE 1.250%10/0 447462AB8 1913 2000000 PRN SOLE 2000000 0 0 IGI LABORATORIES INC NOTE 3.750%12/1 449575AB5 3201 3000000 PRN SOLE 3000000 0 0 ILLUMINA INC 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EURZN ETF 46434V639 2524 86051 SH SOLE 86051 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 3121 2944000 PRN SOLE 2944000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 6273 4591000 PRN SOLE 4591000 0 0 JANUS HENDERSON GROUP PLC NOTE 0.750% 7/1 47102XAH8 48 33000 PRN SOLE 33000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 5510 5037000 PRN SOLE 5037000 0 0 JDS UNIPHASE CORP DBCV 0.625% 8/1 46612JAF8 5242 4751000 PRN SOLE 4751000 0 0 JOHNSON & JOHNSON COM 478160104 1027 7774 SH SOLE 7774 0 0 JPMORGAN CHASE & CO COM 46625H100 1250 13678 SH SOLE 13678 0 0 KB HOME NOTE 1.375% 2/0 48666KAS8 4713 4412000 PRN SOLE 4412000 0 0 KEYCORP NEW COM 493267108 425 22650 SH SOLE 22650 0 0 KIMBERLY CLARK CORP COM 494368103 1121 8685 SH SOLE 8685 0 0 KINDER MORGAN INC DEL PFD SER A 49456B200 4131 95415 SH SOLE 95415 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 3537 3000000 PRN SOLE 3000000 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 1075 518000 PRN SOLE 518000 0 0 LAM RESEARCH CORP 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CO NOTE 2.750% 7/1 584688AG0 6289 6018000 PRN SOLE 6018000 0 0 MEDIDATA SOLUTIONS INC NOTE 1.000% 8/0 58471AAB1 4018 2879000 PRN SOLE 2879000 0 0 MEDTRONIC PLC SHS G5960L103 361 4038 SH SOLE 4038 0 0 MERCADOLIBRE INC NOTE 2.250% 7/0 58733RAB8 1586 785000 PRN SOLE 785000 0 0 MERCK & CO INC COM 58933Y105 439 6897 SH SOLE 6897 0 0 MERITOR INC NOTE 7.875% 3/0 59001KAC4 5629 3308000 PRN SOLE 3308000 0 0 METLIFE INC COM 59156R108 388 7063 SH SOLE 7063 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 827 254000 PRN SOLE 254000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AD6 11887 7900000 PRN SOLE 7900000 0 0 MICRON TECHNOLOGY INC NOTE 1.625% 2/1 595112AU7 814 299000 PRN SOLE 299000 0 0 MICRON TECHNOLOGY INC NOTE 2.125% 2/1 595112AV5 9098 3306000 PRN SOLE 3306000 0 0 MICRON TECHNOLOGY INC NOTE 3.000%11/1 595112AY9 941 833000 PRN SOLE 833000 0 0 MICROSOFT CORP COM 594918104 1330 19297 SH SOLE 19297 0 0 MOLINA HEALTHCARE INC DBCV 1.625% 8/1 60855RAD2 7173 5621000 PRN SOLE 5621000 0 0 NATIONAL HEALTH INVS INC NOTE 3.250% 4/0 63633DAE4 1635 1404000 PRN SOLE 1404000 0 0 NAVISTAR INTL CORP NEW NOTE 4.750% 4/1 63934EAS7 4629 4750000 PRN SOLE 4750000 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 383 7500 SH SOLE 7500 0 0 NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 2165 2166000 PRN SOLE 2166000 0 0 NEXTERA ENERGY INC UNIT 08/31/2018 65339F846 7652 119880 SH SOLE 119880 0 0 NIKE INC CL B 654106103 229 3878 SH SOLE 3878 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 807 1882000 PRN SOLE 1882000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 22747 5450000 PRN SOLE 5450000 0 0 NUANCE COMMUNICATIONS INC DEBT 1.500%11/0 67020YAG5 820 798000 PRN SOLE 798000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 3335 3462000 PRN SOLE 3462000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 8088 5852000 PRN SOLE 5852000 0 0 NVIDIA CORP NOTE 1.000%12/0 67066GAC8 5337 744000 PRN SOLE 744000 0 0 NXP SEMICONDUCTORS N V COM N6596X109 238 2165 SH SOLE 2165 0 0 OASIS PETE INC NEW NOTE 2.625% 9/1 674215AJ7 1902 1936000 PRN SOLE 1936000 0 0 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 8579 6776000 PRN SOLE 6776000 0 0 ON SEMICONDUCTOR CORP COM 682189105 220 15630 SH SOLE 15630 0 0 ON SEMICONDUCTOR CORP NOTE 1.000%12/0 682189AK1 5341 5148000 PRN SOLE 5148000 0 0 ORACLE CORP COM 68389X105 543 10824 SH SOLE 10824 0 0 PALO ALTO NETWORKS INC NOTE 7/0 697435AB1 2193 1674000 PRN SOLE 1674000 0 0 PANDORA MEDIA INC NOTE 1.750%12/0 698354AB3 3791 4000000 PRN SOLE 4000000 0 0 PDC ENERGY INC NOTE 1.125% 9/1 69327RAD3 8953 9862000 PRN SOLE 9862000 0 0 PDL BIOPHARMA INC NOTE 2.750%12/0 69329YAG9 850 950000 PRN SOLE 950000 0 0 PENNYMAC CORP NOTE 5.375% 5/0 70932AAB9 7294 7396000 PRN SOLE 7396000 0 0 PEPSICO INC COM 713448108 499 4328 SH SOLE 4328 0 0 PFIZER INC COM 717081103 800 23823 SH SOLE 23823 0 0 PHILIP MORRIS INTL INC COM 718172109 322 2732 SH SOLE 2732 0 0 PIONEER NAT RES CO COM 723787107 216 1353 SH SOLE 1353 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 3817 4000000 PRN SOLE 4000000 0 0 POWERSHARES ETF TRUST II SENIOR LN PORT 73936Q769 1982 85600 SH SOLE 85600 0 0 PRICELINE GRP INC COM NEW 741503403 268 142 SH SOLE 142 0 0 PRICELINE GRP INC NOTE 1.000% 3/1 741503AQ9 16288 8260000 PRN SOLE 8260000 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 25231 17178000 PRN SOLE 17178000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 8532 7452000 PRN SOLE 7452000 0 0 PROCTER AND GAMBLE CO COM 742718109 739 8459 SH SOLE 8459 0 0 PROOFPOINT INC NOTE 1.250%12/1 743424AB9 3891 1750000 PRN SOLE 1750000 0 0 PROOFPOINT INC DBCV 0.750% 6/1 743424AD5 3459 2779000 PRN SOLE 2779000 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347B201 884 24635 SH SOLE 24635 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 2473 110000 SH SOLE 110000 0 0 PROSPECT CAPITAL CORPORATION NOTE 5.375%10/1 74348TAK8 119 118000 PRN SOLE 118000 0 0 QIAGEN NV NOTE 0.375% 3/1 N72482AA5 2217 1800000 PRN SOLE 1800000 0 0 QUALCOMM INC COM 747525103 211 3837 SH SOLE 3837 0 0 QUIDEL CORP NOTE 3.250%12/1 74838JAA9 10055 9067000 PRN SOLE 9067000 0 0 RAIT FINANCIAL TRUST NOTE 4.000%10/0 749227AB0 5527 5900000 PRN SOLE 5900000 0 0 RAMCO-GERSHENSON PPTYS TR PERP PFD-D CV 751452608 983 18912 SH SOLE 18912 0 0 RAYONIER ADVANCED MATLS INC PFD CV SER A 75508B203 5010 42654 SH SOLE 42654 0 0 RAYTHEON CO COM NEW 755111507 408 2525 SH SOLE 2525 0 0 RED HAT INC NOTE 0.250%10/0 756577AD4 11888 8609000 PRN SOLE 8609000 0 0 REDWOOD TR INC NOTE 4.625% 4/1 758075AB1 5420 5353000 PRN SOLE 5353000 0 0 RENEWABLE ENERGY GROUP INC NOTE 4.000% 6/1 75972AAC7 3926 2908000 PRN SOLE 2908000 0 0 RESOURCE CAP CORP NOTE 8.000% 1/1 76120WAB0 2486 2410000 PRN SOLE 2410000 0 0 ROYAL GOLD INC NOTE 2.875% 6/1 780287AA6 819 759000 PRN SOLE 759000 0 0 RPM INTL INC NOTE 2.250%12/1 749685AT0 6603 5597000 PRN SOLE 5597000 0 0 RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 4396 4122000 PRN SOLE 4122000 0 0 SALESFORCE COM INC NOTE 0.250% 4/0 79466LAD6 5533 4181000 PRN SOLE 4181000 0 0 SCHLUMBERGER LTD COM 806857108 255 3889 SH SOLE 3889 0 0 SEACOR HOLDINGS INC NOTE 3.000%11/1 81170YAB5 6243 7416000 PRN SOLE 7416000 0 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 1336 20587 SH SOLE 20587 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1667 32072 SH SOLE 32072 0 0 SERVICENOW INC NOTE 11/0 81762PAB8 3249 2224000 PRN SOLE 2224000 0 0 SILVER STD RES INC NOTE 2.875% 2/0 82823LAC0 3301 3392000 PRN SOLE 3392000 0 0 SOUTHWESTERN ENERGY CO DEP SHS 1/20 B 845467208 1089 75000 SH SOLE 75000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 5241 21663 SH SOLE 21663 0 0 SPDR SERIES TRUST S&P RETAIL ETF 78464A714 214 5242 SH SOLE 5242 0 0 SPECTRANETICS CORP MTNF 2.625% 6/0 84760CAA5 2706 2000000 PRN SOLE 2000000 0 0 SPIRIT RLTY CAP INC NEW NOTE 2.875% 5/1 84860WAA0 2474 2496000 PRN SOLE 2496000 0 0 SPIRIT RLTY CAP INC NEW NOTE 3.750% 5/1 84860WAB8 729 733000 PRN SOLE 733000 0 0 STANLEY BLACK & DECKER INC UNIT 05/15/2020 854502887 3494 32340 SH SOLE 32340 0 0 STARWOOD PPTY TR INC NOTE 4.550% 3/0 85571BAA3 7445 6858000 PRN SOLE 6858000 0 0 STARWOOD PPTY TR INC NOTE 4.000% 1/1 85571BAB1 82 72000 PRN SOLE 72000 0 0 STARWOOD PPTY TR INC NOTE 3.750%10/1 85571BAC9 659 656000 PRN SOLE 656000 0 0 STARWOOD WAYPOINT RESIDENTL NOTE 3.000% 7/0 85571WAB5 11447 9657000 PRN SOLE 9657000 0 0 SUNPOWER CORP DBCV 4.000% 1/1 867652AL3 2757 3198000 PRN SOLE 3198000 0 0 SUNTRUST BKS INC COM 867914103 459 8132 SH SOLE 8132 0 0 SYNCHRONOSS TECHNOLOGIES INC NOTE 0.750% 8/1 87157BAA1 1860 2000000 PRN SOLE 2000000 0 0 T MOBILE US INC CONV PFD SER A 872590203 6836 69370 SH SOLE 69370 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 1.000% 7/0 874054AD1 2977 876000 PRN SOLE 876000 0 0 TCP CAP CORP NOTE 5.250%12/1 87238QAB9 2910 2750000 PRN SOLE 2750000 0 0 TESLA INC NOTE 0.250% 3/0 88160RAB7 9364 8195000 PRN SOLE 8195000 0 0 TESLA INC NOTE 1.250% 3/0 88160RAC5 7443 6445000 PRN SOLE 6445000 0 0 TESLA INC NOTE 2.375% 3/1 88160RAD3 3769 3000000 PRN SOLE 3000000 0 0 TEXAS INSTRS INC COM 882508104 290 3776 SH SOLE 3776 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 4055 3007000 PRN SOLE 3007000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 5908 6500000 PRN SOLE 6500000 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 320 1828 SH SOLE 1828 0 0 TIME WARNER INC COM NEW 887317303 276 2745 SH SOLE 2745 0 0 TJX COS INC NEW COM 872540109 258 3591 SH SOLE 3591 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 6254 4992000 PRN SOLE 4992000 0 0 TTM TECHNOLOGIES INC NOTE 1.750%12/1 87305RAD1 9803 5228000 PRN SOLE 5228000 0 0 TWITTER INC NOTE 1.000% 9/1 90184LAD4 915 1000000 PRN SOLE 1000000 0 0 TWO HBRS INVT CORP NOTE 6.250% 1/1 90187BAA9 4197 3981000 PRN SOLE 3981000 0 0 UNION PAC CORP COM 907818108 380 3487 SH SOLE 3487 0 0 UNISYS CORP NOTE 5.500% 3/0 909214BS6 1475 967000 PRN SOLE 967000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 275 2247 SH SOLE 2247 0 0 UNITEDHEALTH GROUP INC COM 91324P102 771 4164 SH SOLE 4164 0 0 VEECO INSTRS INC DEL NOTE 2.700% 1/1 922417AD2 5094 5000000 PRN SOLE 5000000 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 9340 3430000 PRN SOLE 3430000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 620 13877 SH SOLE 13877 0 0 VIRTUS INVT PARTNERS INC PFD CV SER D 92828Q208 3370 33501 SH SOLE 33501 0 0 VISA INC COM CL A 92826C839 359 3822 SH SOLE 3822 0 0 WABASH NATL CORP NOTE 3.375% 5/0 929566AH0 2881 1500000 PRN SOLE 1500000 0 0 WAL-MART STORES INC COM 931142103 249 3264 SH SOLE 3264 0 0 WEATHERFORD INTL LTD NOTE 5.875% 7/0 947075AH0 12333 12193000 PRN SOLE 12193000 0 0 WEBMD HEALTH CORP NOTE 2.500% 1/3 94770VAF9 6785 6583000 PRN SOLE 6583000 0 0 WEBMD HEALTH CORP NOTE 1.500%12/0 94770VAK8 3286 2589000 PRN SOLE 2589000 0 0 WELLS FARGO & CO MTNF 0.125% 3/1 94986RTK7 176 182000 PRN SOLE 182000 0 0 WELLS FARGO & CO MTNF 0.125% 2/2 94986RVY4 4592 4788000 PRN SOLE 4788000 0 0 WELLS FARGO CO NEW COM 949746101 532 9666 SH SOLE 9666 0 0 WELLS FARGO CO NEW PERP PFD CNV A 949746804 21481 16386 SH SOLE 16386 0 0 WELLTOWER INC 6.50% PFD PREPET 95040Q203 9610 145015 SH SOLE 145015 0 0 WESTERN DIGITAL CORP COM 958102105 207 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