-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, FrfQbtpg4Ih2B6YuYp2AYrGlYeusVFLRYjA6U6izKUfbFtxR5cK9szgLzxdrmk47 odhYbu1Cyj6cZDTWUOBeJQ== 0001085146-10-000622.txt : 20100804 0001085146-10-000622.hdr.sgml : 20100804 20100804093002 ACCESSION NUMBER: 0001085146-10-000622 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20100630 FILED AS OF DATE: 20100804 DATE AS OF CHANGE: 20100804 EFFECTIVENESS DATE: 20100804 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CNH PARTNERS LLC CENTRAL INDEX KEY: 0001167456 IRS NUMBER: 134172062 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10114 FILM NUMBER: 10989667 BUSINESS ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 BUSINESS PHONE: 203-742-3600 MAIL ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 13F-HR 1 cnh2q10.txt CNH PARTNERS 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, 2010 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: CNH Partners, LLC Address: Two Greenwich Plaza, 3rd Floor Greenwich, CT 06830 13F File Number: 28-10114 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: Clifford S. Asness Title: As Managing Member of AQR Capital Management, LLC Phone: 203-742-3600 Signature, Place, and Date of Signing: /s/ Clifford S. Asness Greenwich, CT August 04, 2010 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: 417 Form 13F Information Table Value Total: $1,297,312 (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 - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AAR CORP NOTE 1.750% 2/0 000361AH8 268 300000 PRN SOLE 0 0 0 ACCELRYS INC COM 00430U103 355 55061 SH SOLE 55061 0 0 ACTUANT CORP SDCV 2.000%11/1 00508XAB0 8997 8500000 PRN SOLE 0 0 0 ADCARE HEALTH SYSTEMS INC COM NEW 00650W300 62 20000 SH SOLE 20000 0 0 AERCAP HOLDINGS NV SHS N00985106 1127 108558 SH SOLE 108558 0 0 AFFORDABLE RESIDENTIAL CMNTY NOTE 7.500% 8/1 00828UAB9 1012 975000 PRN SOLE 0 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 3784 4000000 PRN SOLE 0 0 0 AIRGAS INC COM 009363102 205 3300 SH SOLE 3300 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 208 200000 PRN SOLE 0 0 0 AIRTRAN HLDGS INC NOTE 7.000% 7/0 00949PAB4 1202 1198000 PRN SOLE 0 0 0 AKAMAI TECHNOLOGIES INC NOTE 1.000%12/1 00971TAE1 24927 9500000 PRN SOLE 0 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 12578 7400000 PRN SOLE 0 0 0 ALEXION PHARMACEUTICALS INC NOTE 1.375% 2/0 015351AF6 9605 2950000 PRN SOLE 0 0 0 ALLEGHENY ENERGY INC COM 017361106 3670 177462 SH SOLE 177462 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 8683 6800000 PRN SOLE 0 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 9259 9625000 PRN SOLE 0 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 428 450000 PRN SOLE 0 0 0 ALLIED DEFENSE GROUP INC COM 019118108 147 38774 SH SOLE 38774 0 0 ALLOY INC NEW COM 019855303 842 89732 SH SOLE 89732 0 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 3951 3940000 PRN SOLE 0 0 0 ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 557 22529 SH SOLE 22529 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 4580 4500000 PRN SOLE 0 0 0 AMERICAN ITALIAN PASTA CO CL A 027070101 519 9811 SH SOLE 9811 0 0 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 166 137000 PRN SOLE 0 0 0 AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 2457 1863000 PRN SOLE 0 0 0 AMERICREDIT CORP NOTE 0.750% 9/1 03060RAP6 8827 9500000 PRN SOLE 0 0 0 AMERICREDIT CORP NOTE 2.125% 9/1 03060RAR2 3712 4300000 PRN SOLE 0 0 0 AMKOR TECHNOLOGY INC NOTE 2.500% 5/1 031652AX8 2406 2500000 PRN SOLE 0 0 0 AMR CORP NOTE 6.250%10/1 001765BC9 2153 2250000 PRN SOLE 0 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 277 300000 PRN SOLE 0 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 6234 9500000 PRN SOLE 0 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 11081 10850000 PRN SOLE 0 0 0 AOL INC COM 00184X105 425 20426 SH SOLE 20426 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 15088 12955000 PRN SOLE 0 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 2811 2969000 PRN SOLE 0 0 0 ARENA RESOURCES INC COM 040049108 944 29603 SH SOLE 29603 0 0 ARES CAP CORP COM 04010L103 1565 124861 SH SOLE 124861 0 0 ARGON ST INC COM 040149106 310 9055 SH SOLE 9055 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 8245 8725000 PRN SOLE 0 0 0 ATS MED INC COM 002083103 707 178155 SH SOLE 178155 0 0 AUTOCHINA INTERNATIONAL LIMI SHS G06750106 801 29714 SH SOLE 29714 0 0 AVATAR HLDGS INC NOTE 4.500% 4/0 053494AF7 2477 2500000 PRN SOLE 0 0 0 BAKER HUGHES INC COM 057224107 3055 73495 SH SOLE 73495 0 0 BALTIC TRADING LIMITED COM Y0553W103 205 18000 SH SOLE 18000 0 0 BARNES GROUP INC NOTE 3.750% 8/0 067806AB5 5449 5450000 PRN SOLE 0 0 0 BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 1445 69700 SH SOLE 69700 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 2628 140225 SH SOLE 140225 0 0 BECKMAN COULTER INC COM 075811109 888 14729 SH SOLE 14729 0 0 BELL MICROPRODUCTS INC COM 078137106 412 59075 SH SOLE 59075 0 0 BELL MICROPRODUCTS INC NOTE 3.750% 3/0 078137AC0 1253 1257000 PRN SOLE 0 0 0 BHP BILLITON PLC SPONSORED ADR 05545E209 588 11430 SH SOLE 11430 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 2.500% 3/2 09061GAC5 2702 2150000 PRN SOLE 0 0 0 BIOSPHERE MEDICAL INC COM 09066V103 182 42040 SH SOLE 42040 0 0 BIOVAIL CORP COM 09067J109 1006 52293 SH SOLE 52293 0 0 BLACKROCK KELSO CAPITAL CORP COM 092533108 503 50956 SH SOLE 50956 0 0 BLOCKBUSTER INC CL B 093679207 125 501922 SH SOLE 501922 0 0 BLOUNT INTL INC NEW COM 095180105 472 46000 SH SOLE 46000 0 0 BOISE INC *W EXP 06/18/201 09746Y113 75 163422 SH SOLE 163422 0 0 BOOTS & COOTS INC COM NEW 099469504 630 213588 SH SOLE 213588 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 7241 7000000 PRN SOLE 0 0 0 BOSTON PRIVATE FINL HLDGS IN COM 101119105 96 14867 SH SOLE 14867 0 0 BOWNE & CO INC COM 103043105 1884 167902 SH SOLE 167902 0 0 BRISTOW GROUP INC NOTE 3.000% 6/1 110394AC7 4066 5001000 PRN SOLE 0 0 0 CABLEVISION SYS CORP CL A NY CABLVS 12686C109 510 21234 SH SOLE 21234 0 0 CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 7370 8500000 PRN SOLE 0 0 0 CAPITALSOURCE INC SDCV 4.000% 7/1 14055XAE2 906 950000 PRN SOLE 0 0 0 CARDINAL HEALTH INC COM 14149Y108 292 8700 SH SOLE 8700 0 0 CARE INVESTMENT TRUST INC COM 141657106 793 91332 SH SOLE 91332 0 0 CARNIVAL CORP PAIRED CTF 143658300 1721 56925 SH SOLE 56925 0 0 CARRIZO OIL & CO INC NOTE 4.375% 6/0 144577AA1 861 1000000 PRN SOLE 0 0 0 CASCAL N V COM N1842P109 327 48785 SH SOLE 48785 0 0 CASEYS GEN STORES INC COM 147528103 747 21417 SH SOLE 21417 0 0 CBIZ INC NOTE 3.125% 6/0 124805AB8 3088 3200000 PRN SOLE 0 0 0 CELSIUS HOLDINGS INC *W EXP 99/99/999 15118V116 34 35000 SH SOLE 35000 0 0 CELSIUS HOLDINGS INC COM NEW 15118V207 254 139615 SH SOLE 139615 0 0 CENOVUS ENERGY INC COM 15135U109 663 25700 SH SOLE 25700 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 7468 9000000 PRN SOLE 0 0 0 CENTRAL JERSEY BANCORP NJ COM 153770102 231 32670 SH SOLE 32670 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 8511 6586000 PRN SOLE 0 0 0 CEREPLAST INC COM NEW 156732307 237 72357 SH SOLE 72357 0 0 CF INDS HLDGS INC COM 125269100 326 5134 SH SOLE 5134 0 0 CHARLES RIVER ASSOCIATES DBCV 2.875% 6/1 159852AB8 6402 6500000 PRN SOLE 0 0 0 CHIMERA INVT CORP COM 16934Q109 234 64889 SH SOLE 64889 0 0 CHINA ADVANCED CONSTR MATLS COM 169365103 241 68150 SH SOLE 68150 0 0 CHINA HYDROELECTRIC CORP SPONSORED ADR 16949D101 124 16500 SH SOLE 16500 0 0 CHINA HYDROELECTRIC CORPORAT *W EXP 01/25/201 G2112E145 11 16500 SH SOLE 16500 0 0 CHINA MED TECHNOLOGIES INC NOTE 3.500%11/1 169483AB0 4348 5500000 PRN SOLE 0 0 0 CHINA MED TECHNOLOGIES INC NOTE 4.000% 8/1 169483AC8 3559 5365000 PRN SOLE 0 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 3014 3500000 PRN SOLE 0 0 0 CHURCHILL DOWNS INC COM 171484108 700 21345 SH SOLE 21345 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 9616 85200 SH SOLE 85200 0 0 CKE RESTAURANTS INC COM 12561E105 1911 152526 SH SOLE 152526 0 0 CLEARWIRE CORP NEW CL A 18538Q105 197 27004 SH SOLE 27004 0 0 CMS ENERGY CORP NOTE 3.375% 7/1 125896AY6 1511 1000000 PRN SOLE 0 0 0 COCA COLA ENTERPRISES INC COM 191219104 371 14335 SH SOLE 14335 0 0 COHEN & STEERS DIV MJRS FDIN COM 19248G106 149 14994 SH SOLE 14994 0 0 COHEN & STEERS QUALITY RLTY COM 19247L106 187 29600 SH SOLE 29600 0 0 COHEN & STEERS REIT & PFD IN COM 19247X100 164 15513 SH SOLE 15513 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 10535 8275000 PRN SOLE 0 0 0 COMCAST CORP NEW CL A SPL 20030N200 993 60459 SH SOLE 60459 0 0 COMERICA INC *W EXP 11/14/201 200340115 1038 81430 SH SOLE 81430 0 0 COMMSCOPE INC COM 203372107 14804 622822 SH SOLE 622822 0 0 COMMSCOPE INC NOTE 3.250% 7/0 203372AG2 15874 14575000 PRN SOLE 0 0 0 COMPUCREDIT HLDGS CORP COM 20478T107 102 25844 SH SOLE 25844 0 0 COMPUCREDIT HLDGS CORP NOTE 3.625% 5/3 20478NAB6 1230 2000000 PRN SOLE 0 0 0 CONTINENTAL AIRLS INC NOTE 5.000% 6/1 210795PJ3 1470 1300000 PRN SOLE 0 0 0 CONVERGYS CORP SDCV 5.750% 9/1 212485AE6 4359 4000000 PRN SOLE 0 0 0 CONVERTED ORGANICS INC *W EXP 12/31/201 21254S131 13 100000 SH SOLE 100000 0 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 7544 4700000 PRN SOLE 0 0 0 CORMEDIX INC *W EXP 03/24/201 21900C118 17 37700 SH SOLE 37700 0 0 CORMEDIX INC COM 21900C100 166 75400 SH SOLE 75400 0 0 CORNELL COMPANIES INC COM 219141108 2338 87005 SH SOLE 87005 0 0 COVANTA HLDG CORP DBCV 1.000% 2/0 22282EAA0 4150 4450000 PRN SOLE 0 0 0 CPI INTERNATIONAL INC COM 12618M100 1723 110493 SH SOLE 110493 0 0 CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 5003 5000000 PRN SOLE 0 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 6680 7100000 PRN SOLE 0 0 0 CUSHING MLP TOTAL RETURN FD COM SHS 231631102 259 31061 SH SOLE 31061 0 0 CYBERSOURCE CORP COM 23251J106 2239 87708 SH SOLE 87708 0 0 CYPRESS SHARPRIDGE INVTS INC COM 23281A307 379 29951 SH SOLE 29951 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 14145 13950000 PRN SOLE 0 0 0 DELTA PETE CORP NOTE 3.750% 5/0 247907AD0 397 500000 PRN SOLE 0 0 0 DENDREON CORP NOTE 4.750% 6/1 24823QAB3 325 100000 PRN SOLE 0 0 0 DEXCOM INC COM 252131107 148 12820 SH SOLE 12820 0 0 DEXCOM INC NOTE 4.750% 3/1 252131AD9 288 200000 PRN SOLE 0 0 0 DIODES INC NOTE 2.250%10/0 254543AA9 992 1000000 PRN SOLE 0 0 0 DISCOVERY COMMUNICATNS NEW COM SER C 25470F302 2208 71400 SH SOLE 71400 0 0 DISCOVERY LABORATORIES INC N COM 254668106 170 892857 SH SOLE 892857 0 0 DIVX INC COM 255413106 215 28055 SH SOLE 28055 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1416 1575000 PRN SOLE 0 0 0 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 639 15000 SH SOLE 15000 0 0 DOUBLE-TAKE SOFTWARE INC COM 258598101 578 55058 SH SOLE 55058 0 0 DST SYS INC DEL DBCV 4.125% 8/1 233326AE7 10762 11082000 PRN SOLE 0 0 0 DUKE REALTY CORP COM NEW 264411505 139 12211 SH SOLE 12211 0 0 DYNAVOX INC CL A 26817F104 250 15600 SH SOLE 15600 0 0 DYNCORP INTL INC CL A 26817C101 853 48693 SH SOLE 48693 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 3372 2775000 PRN SOLE 0 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 8231 6500000 PRN SOLE 0 0 0 EARTHLINK INC NOTE 3.250%11/1 270321AA0 5358 5000000 PRN SOLE 0 0 0 ECLIPSYS CORP COM 278856109 961 53883 SH SOLE 53883 0 0 EF JOHNSON TECHNOLOGIES INC COM 26843B101 117 81727 SH SOLE 81727 0 0 EMMIS COMMUNICATIONS CORP CL A 291525103 681 309576 SH SOLE 309576 0 0 ENCANA CORP COM 292505104 667 22000 SH SOLE 22000 0 0 ENCORE CAP GROUP INC NOTE 3.375% 9/1 292554AB8 3188 3100000 PRN SOLE 0 0 0 ENERGY CONVERSION DEVICES IN NOTE 3.000% 6/1 292659AA7 140 250000 PRN SOLE 0 0 0 ENERSYS NOTE 3.375% 6/0 29275YAA0 5030 5500000 PRN SOLE 0 0 0 ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 13699 13072000 PRN SOLE 0 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 1206 1000000 PRN SOLE 0 0 0 EQUINIX INC COM NEW 29444U502 1444 17775 SH SOLE 17775 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 1067 900000 PRN SOLE 0 0 0 EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 4202 4500000 PRN SOLE 0 0 0 EV3 INC COM 26928A200 1187 52946 SH SOLE 52946 0 0 EVERGREEN SOLAR INC NOTE 4.000% 7/1 30033RAC2 1485 5000000 PRN SOLE 0 0 0 EXIDE TECHNOLOGIES FRNT 9/1 302051AL1 3831 6150000 PRN SOLE 0 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 1933 1500000 PRN SOLE 0 0 0 EXXON MOBIL CORP COM 30231G102 6320 110745 SH SOLE 110745 0 0 FELCOR LODGING TR INC COM 31430F101 126 25323 SH SOLE 25323 0 0 FERRO CORP NOTE 6.500% 8/1 315405AL4 483 500000 PRN SOLE 0 0 0 FIFTH STREET FINANCE CORP COM 31678A103 236 21411 SH SOLE 21411 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 1114 8860 SH SOLE 8860 0 0 FIRST CHESTER CNTY CORP COM 31947W100 197 22813 SH SOLE 22813 0 0 FIRST KEYSTONE FINL INC COM 320655103 141 10525 SH SOLE 10525 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 2390 190756 SH SOLE 190756 0 0 FIRSTSERVICE CORP SDCV 6.500%12/3 33761NAA7 1031 1000000 PRN SOLE 0 0 0 FIVE STAR QUALITY CARE INC NOTE 3.750%10/1 33832DAB2 585 700000 PRN SOLE 0 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 237 23490 SH SOLE 23490 0 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 12466 10000000 PRN SOLE 0 0 0 FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 9561 7700000 PRN SOLE 0 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 3377 57104 SH SOLE 57104 0 0 G WILLI FOOD INTL LTD ORD M52523103 240 41083 SH SOLE 41083 0 0 GATX CORP COM 361448103 1171 43884 SH SOLE 43884 0 0 GENERAL CABLE CORP 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390064AK9 109 135000 PRN SOLE 0 0 0 GREATBATCH INC SDCV 2.250% 6/1 39153LAB2 6153 6810000 PRN SOLE 0 0 0 GREENBRIER COS INC NOTE 2.375% 5/1 393657AD3 252 300000 PRN SOLE 0 0 0 GRIFFON CORP NOTE 4.000% 7/1 398433AC6 3502 3500000 PRN SOLE 0 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 1268 1700000 PRN SOLE 0 0 0 GSI COMMERCE INC COM 36238G102 5657 196432 SH SOLE 196432 0 0 GSI COMMERCE INC NOTE 2.500% 6/0 36238GAD4 959 850000 PRN SOLE 0 0 0 HANOVER COMPRESSOR CO NOTE 4.750% 1/1 410768AE5 9132 9600000 PRN SOLE 0 0 0 HARDINGE INC COM 412324303 216 25409 SH SOLE 25409 0 0 HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 4024 178000 SH SOLE 178000 0 0 HARVEST NATURAL RESOURCES IN NOTE 8.250% 3/0 41754VAA1 4417 3000000 PRN SOLE 0 0 0 HEADWATERS INC NOTE 2.500% 2/0 42210PAD4 217 300000 PRN SOLE 0 0 0 HEALTHTRONICS INC COM 42222L107 1380 285811 SH SOLE 285811 0 0 HECKMANN CORP *W EXP 11/09/201 422680116 45 105000 SH SOLE 105000 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 162 15000 SH SOLE 15000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 16665 12500000 PRN SOLE 0 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 848 1000000 PRN SOLE 0 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 440 300000 PRN SOLE 0 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 4906 3100000 PRN SOLE 0 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 798 800 SH SOLE 800 0 0 HUTCHINSON TECHNOLOGY INC NOTE 3.250% 1/1 448407AF3 207 250000 PRN SOLE 0 0 0 ICONIX BRAND GROUP INC NOTE 1.875% 6/3 451055AB3 2518 2700000 PRN SOLE 0 0 0 IFM INVTS LTD ADS 45172L100 78 15000 SH SOLE 15000 0 0 IMPAX LABORATORIES INC COM 45256B101 381 20000 SH SOLE 20000 0 0 INFOGROUP INC COM 45670G108 1699 212923 SH SOLE 212923 0 0 INLAND REAL ESTATE CORP NOTE 4.625%11/1 457461AB7 294 300000 PRN SOLE 0 0 0 INSULET CORP NOTE 5.375% 6/1 45784PAA9 1993 2000000 PRN SOLE 0 0 0 INTEL CORP COM 458140100 486 25000 SH SOLE 25000 0 0 INTERACTIVE DATA CORP COM 45840J107 1916 57403 SH SOLE 57403 0 0 INTERNATIONAL COAL GRP INC N NOTE 4.000% 4/0 45928HAG1 3083 3400000 PRN SOLE 0 0 0 INTERNATIONAL COAL GRP INC N NOTE 9.000% 8/0 45928HAD8 989 900000 PRN SOLE 0 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 2077 2000000 PRN SOLE 0 0 0 INVENTIV HEALTH INC COM 46122E105 1509 58955 SH SOLE 58955 0 0 INVERNESS MED INNOVATIONS IN PFD CONV SER B 46126P304 1258 6297 SH SOLE 6297 0 0 INVITROGEN CORP NOTE 2.000% 8/0 46185RAJ9 6238 4500000 PRN SOLE 0 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 1941 2050000 PRN SOLE 0 0 0 JA SOLAR HOLDINGS CO LTD NOTE 4.500% 5/1 466090AA5 1731 2000000 PRN SOLE 0 0 0 JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 753 750000 PRN SOLE 0 0 0 JAVELIN PHARMACEUTICALS INC COM 471894105 1091 496101 SH SOLE 496101 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 4187 4475000 PRN SOLE 0 0 0 JETBLUE AIRWAYS CORP DBCV 5.500%10/1 477143AD3 4194 3000000 PRN SOLE 0 0 0 KENDLE INTERNATIONAL INC NOTE 3.375% 7/1 48880LAA5 918 1000000 PRN SOLE 0 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 3370 35000 SH SOLE 35000 0 0 KID BRANDS INC COM 49375T100 296 42090 SH SOLE 42090 0 0 KING PHARMACEUTICALS INC NOTE 1.250% 4/0 495582AJ7 7004 8050000 PRN SOLE 0 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.000% 7/1 48248AAB4 201 200000 PRN SOLE 0 0 0 LEAP WIRELESS INTL INC NOTE 4.500% 7/1 521863AL4 1684 2000000 PRN SOLE 0 0 0 LENNAR CORP CL B 526057302 837 73850 SH SOLE 73850 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 9378 8785000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 135 150000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 3875 4100000 PRN SOLE 0 0 0 LIHUA INTL INC COM 532352101 110 12985 SH SOLE 12985 0 0 LIONS GATE ENTMNT CORP COM NEW 535919203 118 16838 SH SOLE 16838 0 0 LOEWS CORP COM 540424108 640 19200 SH SOLE 19200 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2112 2500000 PRN SOLE 0 0 0 MADISON SQUARE GARDEN INC CL A 55826P100 570 28957 SH SOLE 28957 0 0 MANNKIND CORP NOTE 3.750%12/1 56400PAA0 1213 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3.750% 6/0 601073AD1 814 650000 PRN SOLE 0 0 0 MIRANT CORP NEW COM 60467R100 301 28496 SH SOLE 28496 0 0 MOLEX INC CL A 608554200 1526 98800 SH SOLE 98800 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 4348 4625000 PRN SOLE 0 0 0 MOLSON COORS BREWING CO CL B 60871R209 375 8848 SH SOLE 8848 0 0 MSCI INC CL A 55354G100 481 17549 SH SOLE 17549 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 3559 2500000 PRN SOLE 0 0 0 MYLAN INC PFD CONV 628530206 27743 26225 SH SOLE 26225 0 0 NASDAQ OMX GROUP INC COM 631103108 197 11100 SH SOLE 11100 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 10201 23675000 PRN SOLE 0 0 0 NATIONAL DENTEX CORP COM 63563H109 369 21899 SH SOLE 21899 0 0 NATIONAL FINL PARTNERS CORP NOTE 0.750% 2/0 63607PAA7 921 965000 PRN SOLE 0 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 1990 1700000 PRN SOLE 0 0 0 NEKTAR THERAPEUTICS NOTE 3.250% 9/2 640268AH1 955 1000000 PRN SOLE 0 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 9009 7000000 PRN SOLE 0 0 0 NEWELL RUBBERMAID INC NOTE 5.500% 3/1 651229AH9 18642 10250000 PRN SOLE 0 0 0 NEWS CORP CL A 65248E104 1331 111250 SH SOLE 111250 0 0 NGAS RESOURCES INC COM 62912T103 714 680000 SH SOLE 680000 0 0 NII HLDGS INC NOTE 2.750% 8/1 62913FAF9 5000 5000000 PRN SOLE 0 0 0 NOVAMED INC DEL NOTE 1.000% 6/1 66986WAA6 3188 3850000 PRN SOLE 0 0 0 NOVELL INC COM 670006105 560 98516 SH SOLE 98516 0 0 OCWEN FINL CORP COM NEW 675746309 255 25000 SH SOLE 25000 0 0 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 531 550000 PRN SOLE 0 0 0 ODYSSEY HEALTHCARE INC COM 67611V101 1134 42433 SH SOLE 42433 0 0 OIL STS INTL INC NOTE 2.375% 7/0 678026AB1 10573 7800000 PRN SOLE 0 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 6479 5425000 PRN SOLE 0 0 0 OMEGA NAVIGATION ENTERPRISES CLASS A Y6476R105 299 153176 SH SOLE 153176 0 0 OMNI ENERGY SERVICES COM NEW 68210T208 158 59119 SH SOLE 59119 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 6306 5700000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 281 300000 PRN SOLE 0 0 0 ONYX 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REGIONS FINANCIAL CORP NEW COM 7591EP100 2696 409659 SH SOLE 409659 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 6003 5000000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 276 300000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 265 300000 PRN SOLE 0 0 0 RITE AID CORP NOTE 8.500% 5/1 767754BU7 10635 12250000 PRN SOLE 0 0 0 ROYAL DUTCH SHELL PLC SPON ADR B 780259107 1282 26548 SH SOLE 26548 0 0 ROYCE VALUE TR INC COM 780910105 179 16894 SH SOLE 16894 0 0 RRI ENERGY INC COM 74971X107 217 57364 SH SOLE 57364 0 0 RUBIOS RESTAURANTS INC COM 78116B102 773 91240 SH SOLE 91240 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 2176 2500000 PRN SOLE 0 0 0 SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 2923 2700000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 896 1000000 PRN SOLE 0 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3026 3000000 PRN SOLE 0 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 1024 800000 PRN SOLE 0 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 595 500000 PRN SOLE 0 0 0 SCHULMAN A INC COM 808194104 485 25583 SH SOLE 25583 0 0 SCORPIO TANKERS INC SHS Y7542C106 309 27000 SH SOLE 27000 0 0 SENORX INC COM 81724W104 1166 106175 SH SOLE 106175 0 0 SESI L L C FRNT 1.500%12/1 78412FAH7 2300 2500000 PRN SOLE 0 0 0 SIGNATURE BK NEW YORK N Y *W EXP 12/12/201 82669G112 460 25320 SH SOLE 25320 0 0 SINA CORP NOTE 7/1 82922RAB9 8769 6200000 PRN SOLE 0 0 0 SINOENERGY CORPORATION COM NEW 82935B202 271 159206 SH SOLE 159206 0 0 SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 3103 1700000 PRN SOLE 0 0 0 SMITH INTL INC COM 832110100 3125 82998 SH SOLE 82998 0 0 SOHU COM INC COM 83408W103 637 15509 SH SOLE 15509 0 0 SOMANETICS CORP COM NEW 834445405 1110 44497 SH SOLE 44497 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 11194 11500000 PRN SOLE 0 0 0 SONICWALL INC COM 835470105 794 67558 SH SOLE 67558 0 0 SONOSITE INC NOTE 3.750% 7/1 83568GAA2 6530 6550000 PRN SOLE 0 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 486 500000 PRN SOLE 0 0 0 SOUTH FINL GROUP INC COM 837841105 77 281040 SH SOLE 281040 0 0 SOUTHWEST WTR CO COM 845331107 1200 114459 SH SOLE 114459 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 5827 6750000 PRN SOLE 0 0 0 SPORT SUPPLY GROUP INC DEL COM 84916A104 662 49160 SH SOLE 49160 0 0 SS&C TECHNOLOGIES HLDGS INC COM 78467J100 260 16200 SH SOLE 16200 0 0 STANLEY INC COM 854532108 1595 42675 SH SOLE 42675 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 5947 5500000 PRN SOLE 0 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 5592 6025000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.125% 7/1 860370AH8 3219 3675000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.375% 7/1 860370AK1 3376 3950000 PRN SOLE 0 0 0 STILLWATER MNG CO NOTE 1.875% 3/1 86074QAF9 894 1000000 PRN SOLE 0 0 0 SUNPOWER CORP DBCV 0.750% 8/0 867652AB5 2198 2215000 PRN SOLE 0 0 0 SUNPOWER CORP DBCV 1.250% 2/1 867652AA7 2156 2500000 PRN SOLE 0 0 0 SUNPOWER CORP DBCV 4.750% 4/1 867652AC3 1551 1950000 PRN SOLE 0 0 0 SYMANTEC CORP NOTE 0.750% 6/1 871503AD0 1936 1950000 PRN SOLE 0 0 0 SYMMETRICOM INC COM 871543104 95 18760 SH SOLE 18760 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 4536 187300 SH SOLE 187300 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 4.375% 6/0 874054AA7 11177 10400000 PRN SOLE 0 0 0 TALBOTS INC COM 874161102 757 73464 SH SOLE 73464 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 1211 1000000 PRN SOLE 0 0 0 TEJON RANCH CO COM 879080109 1213 52536 SH SOLE 52536 0 0 TENGION INC COM 88034G109 45 12220 SH SOLE 12220 0 0 TERADYNE INC NOTE 4.500% 3/1 880770AE2 5339 2800000 PRN SOLE 0 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 18880 14000000 PRN SOLE 0 0 0 TERREMARK WORLDWIDE INC NOTE 6.625% 6/1 881448AF1 3953 4000000 PRN SOLE 0 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 19251 13200000 PRN SOLE 0 0 0 THOMAS WEISEL PARTNERS GRP I COM 884481102 292 49548 SH SOLE 49548 0 0 THORATEC CORP NOTE 1.380% 5/1 885175AB5 8937 7075000 PRN SOLE 0 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 8100 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