-----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, LOPm8yg4JBADRHRqWsY9vCrzmy/g/h8iMHnRQm8xKd8IwuT93eEIHEe0GguykpKd tVsSYRAv9FUhtW1fzcJqIg== 0001085146-11-000403.txt : 20110225 0001085146-11-000403.hdr.sgml : 20110225 20110224195441 ACCESSION NUMBER: 0001085146-11-000403 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20101231 FILED AS OF DATE: 20110225 DATE AS OF CHANGE: 20110224 EFFECTIVENESS DATE: 20110225 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/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-10114 FILM NUMBER: 11638190 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/A 1 cnha1_4q2010.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: December 31, 2010 Check here if Amendment [ X ]; Amendment Number: 1 This Amendment (Check only one.): [ X ] 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: 028-10114 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 February 23, 2011 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: 419 Form 13F Information Table Value Total: $1,544,691 (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 - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- A D A M INC COM 00088U108 439 61108 SH SOLE 61108 0 0 AAR CORP NOTE 1.750% 2/0 000361AH8 329 300000 PRN SOLE 0 0 0 ACTUANT CORP SDCV 2.000%11/1 00508XAB0 7179 5250000 PRN SOLE 0 0 0 ADCARE HEALTH SYSTEMS INC COM NEW 00650W300 58 14807 SH SOLE 14807 0 0 ADVANCED BATTERY TECHNOLOG I COM 00752H102 691 179600 SH SOLE 179600 0 0 AFFORDABLE RESIDENTIAL CMNTY NOTE 7.500% 8/1 00828UAB9 1057 975000 PRN SOLE 0 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 5435 4000000 PRN SOLE 0 0 0 AIRGAS INC COM 009363102 1124 18000 SH SOLE 18000 0 0 AIRTRAN HLDGS INC COM 00949P108 1403 189821 SH SOLE 189821 0 0 AIRTRAN HLDGS INC NOTE 5.500% 4/1 00949PAC2 2401 1172000 PRN SOLE 0 0 0 AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 287 200000 PRN SOLE 0 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 26070 554088 SH SOLE 554088 0 0 ALBERTO CULVER CO NEW COM 013078100 3051 82358 SH SOLE 82358 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 22061 8900000 PRN SOLE 0 0 0 ALCON INC COM SHS H01301102 1552 9500 SH SOLE 9500 0 0 ALEXION PHARMACEUTICALS INC NOTE 1.375% 2/0 015351AF6 15111 2950000 PRN SOLE 0 0 0 ALLEGHENY ENERGY INC COM 017361106 5894 243144 SH SOLE 243144 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 10294 6800000 PRN SOLE 0 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 10371 9625000 PRN SOLE 0 0 0 ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 14141 12500000 PRN SOLE 0 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 402 14000 SH SOLE 14000 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 4843 4500000 PRN SOLE 0 0 0 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 148 137000 PRN SOLE 0 0 0 AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 2282 1863000 PRN SOLE 0 0 0 AMKOR TECHNOLOGY INC NOTE 2.500% 5/1 031652AX8 2500 2500000 PRN SOLE 0 0 0 AMR CORP NOTE 6.250%10/1 001765BC9 6541 5750000 PRN SOLE 0 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 337 300000 PRN SOLE 0 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 14403 12350000 PRN SOLE 0 0 0 AOL INC COM 00184X105 1241 52342 SH SOLE 52342 0 0 AON CORP COM 037389103 835 18158 SH SOLE 18158 0 0 APACHE CORP COM 037411105 6127 51392 SH SOLE 51392 0 0 APPLIED SIGNAL TECHNOLOGY IN COM 038237103 746 19699 SH SOLE 19699 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 22410 15455000 PRN SOLE 0 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 6885 6725000 PRN SOLE 0 0 0 ART TECHNOLOGY GROUP INC COM 04289L107 2138 357564 SH SOLE 357564 0 0 ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 1903 1500000 PRN SOLE 0 0 0 ASHFORD HOSPITALITY TR INC COM SHS 044103109 230 23849 SH SOLE 23849 0 0 AUSTRALIA ACQUISITION CORP UNIT 99/99/9999 G06368123 1156 118000 SH SOLE 118000 0 0 AUTHENTIDATE HLDG CORP COM 052666104 114 256670 SH SOLE 256670 0 0 AUTOCHINA INTERNATIONAL LIMI SHS G06750106 276 10639 SH SOLE 10639 0 0 AVAGO TECHNOLOGIES LTD SHS Y0486S104 330 11581 SH SOLE 11581 0 0 AVATAR HLDGS INC NOTE 4.500% 4/0 053494AF7 2519 2500000 PRN SOLE 0 0 0 BABCOCK & WILCOX CO NEW COM 05615F102 585 22851 SH SOLE 22851 0 0 BALDOR ELEC CO COM 057741100 3034 48133 SH SOLE 48133 0 0 BALTIC TRADING LIMITED COM Y0553W103 184 18000 SH SOLE 18000 0 0 BARNES GROUP INC NOTE 3.750% 8/0 067806AB5 5763 5450000 PRN SOLE 0 0 0 BARRICK GOLD CORP COM 067901108 13277 249669 SH SOLE 249669 0 0 BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 1956 69700 SH SOLE 69700 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 3335 140225 SH SOLE 140225 0 0 BHP BILLITON PLC SPONSORED ADR 05545E209 2888 35878 SH SOLE 35878 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 3493 129712 SH SOLE 129712 0 0 BLACKROCK CORE BD TR SHS BEN INT 09249E101 421 33641 SH SOLE 33641 0 0 BLACKROCK CORPOR HI YLD FD V COM 09255N102 427 37014 SH SOLE 37014 0 0 BLACKROCK CORPOR HI YLD FD V COM 09255P107 143 12278 SH SOLE 12278 0 0 BLACKROCK CORPOR HI YLD III COM 09255M104 242 35812 SH SOLE 35812 0 0 BLACKROCK CORPOR HIGH YLD FD COM 09255L106 88 12970 SH SOLE 12970 0 0 BLACKROCK CREDIT ALL IN TR I COM SHS 09249V103 429 40744 SH SOLE 40744 0 0 BLACKROCK CREDIT ALL INC TR COM 092508100 430 35560 SH SOLE 35560 0 0 BLACKROCK CREDIT ALL INC TR COM 09255H105 430 43706 SH SOLE 43706 0 0 BLACKROCK INCOME OPP TRUST I COM 092475102 428 44160 SH SOLE 44160 0 0 BMP SUNSTONE CORP COM 05569C105 1884 190155 SH SOLE 190155 0 0 BOISE INC *W EXP 06/18/201 09746Y113 307 399122 SH SOLE 399122 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 7753 7000000 PRN SOLE 0 0 0 BRISTOW GROUP INC NOTE 3.000% 6/1 110394AC7 5039 5001000 PRN SOLE 0 0 0 BUCYRUS INTL INC NEW COM 118759109 2478 27713 SH SOLE 27713 0 0 CABLEVISION SYS CORP CL A NY CABLVS 12686C109 1841 54412 SH SOLE 54412 0 0 CAMELOT INFORMATION SYS INC ADS RP ORD SHS 13322V105 218 9110 SH SOLE 9110 0 0 CAPITALSOURCE INC SDCV 4.000% 7/1 14055XAE2 949 950000 PRN SOLE 0 0 0 CARIBOU COFFEE INC COM 142042209 156 15454 SH SOLE 15454 0 0 CARRIZO OIL & CO INC NOTE 4.375% 6/0 144577AA1 165 168000 PRN SOLE 0 0 0 CAZADOR ACQUISITION CORPORAT UNIT 99/99/9999 G19867111 1098 110323 SH SOLE 110323 0 0 CELGENE CORP COM 151020104 225 3798 SH SOLE 3798 0 0 CELGENE CORP RIGHT 12/31/2011 151020112 128 26147 SH SOLE 26147 0 0 CELSIUS HOLDINGS INC *W EXP 99/99/999 15118V116 5 35000 SH SOLE 35000 0 0 CELSIUS HOLDINGS INC COM NEW 15118V207 52 122963 SH SOLE 122963 0 0 CENOVUS ENERGY INC COM 15135U109 2187 65800 SH SOLE 65800 0 0 CENTER FINL CORP CALIF COM 15146E102 226 29824 SH SOLE 29824 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 8393 9000000 PRN SOLE 0 0 0 CENTRAL GARDEN & PET CO COM 153527106 1066 108329 SH SOLE 108329 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 9278 6586000 PRN SOLE 0 0 0 CHARLES RIVER ASSOCIATES DBCV 2.875% 6/1 159852AB8 6833 6500000 PRN SOLE 0 0 0 CHINA HYDROELECTRIC CORP SPONSORED ADR 16949D101 122 16500 SH SOLE 16500 0 0 CHINA MED TECHNOLOGIES INC NOTE 4.000% 8/1 169483AC8 4587 5365000 PRN SOLE 0 0 0 CHINA MED TECHNOLOGIES INC NOTE 6.250%12/1 169483AE4 4258 4200000 PRN SOLE 0 0 0 CHINA XD PLASTICS CO LTD COM 16948F107 404 75000 SH SOLE 75000 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 3408 3500000 PRN SOLE 0 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 11593 85200 SH SOLE 85200 0 0 CLOUD PEAK ENERGY INC COM 18911Q102 853 36705 SH SOLE 36705 0 0 CMS ENERGY CORP COM 125896100 234 12600 SH SOLE 12600 0 0 CMS ENERGY CORP NOTE 3.375% 7/1 125896AY6 1906 1000000 PRN SOLE 0 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 13188 8275000 PRN SOLE 0 0 0 COMCAST CORP NEW CL A SPL 20030N200 5000 240289 SH SOLE 240289 0 0 COMERICA INC *W EXP 11/14/201 200340115 1344 81430 SH SOLE 81430 0 0 COMMSCOPE INC COM 203372107 21282 681666 SH SOLE 681666 0 0 COMMSCOPE INC NOTE 3.250% 7/0 203372AG2 11386 8725000 PRN SOLE 0 0 0 COMPUCREDIT HLDGS CORP NOTE 3.625% 5/3 20478NAB6 1720 2000000 PRN SOLE 0 0 0 COMPUCREDIT HLDGS CORP COM 20478T107 187 26775 SH SOLE 26775 0 0 COMTECH TELECOMMUNICATIONS C NOTE 3.000% 5/0 205826AF7 836 800000 PRN SOLE 0 0 0 CONVERGYS CORP SDCV 5.750% 9/1 212485AE6 6574 4725000 PRN SOLE 0 0 0 CONVERTED ORGANICS INC *W EXP 12/31/201 21254S131 11 100000 SH SOLE 100000 0 0 CORE LABORATORIES N V COM N22717107 4406 49474 SH SOLE 49474 0 0 CORELOGIC INC COM 21871D103 311 16772 SH SOLE 16772 0 0 CORMEDIX INC COM 21900C100 137 75400 SH SOLE 75400 0 0 CORMEDIX INC *W EXP 03/24/201 21900C118 10 37700 SH SOLE 37700 0 0 CPI INTERNATIONAL INC COM 12618M100 1887 97511 SH SOLE 97511 0 0 CRUCELL N V SPONSORED ADR 228769105 947 30230 SH SOLE 30230 0 0 CSG SYS INTL INC NOTE 2.500% 6/1 126349AB5 5062 5000000 PRN SOLE 0 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.250% 6/1 229678AC1 7198 7100000 PRN SOLE 0 0 0 CYPRESS BIOSCIENCES INC COM PAR $.02 232674507 1457 224920 SH SOLE 224920 0 0 CYPRESS SHARPRIDGE INVTS INC COM 23281A307 447 34661 SH SOLE 34661 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 17138 15100000 PRN SOLE 0 0 0 DEL MONTE FOODS CO COM 24522P103 2107 112100 SH SOLE 112100 0 0 DELTA PETE CORP NOTE 3.750% 5/0 247907AD0 428 500000 PRN SOLE 0 0 0 DENDREON CORP NOTE 4.750% 6/1 24823QAB3 354 100000 PRN SOLE 0 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 1782 1675000 PRN SOLE 0 0 0 DEXCOM INC COM 252131107 262 19184 SH SOLE 19184 0 0 DICE HLDGS INC COM 253017107 592 41238 SH SOLE 41238 0 0 DIODES INC NOTE 2.250%10/0 254543AA9 1006 1000000 PRN SOLE 0 0 0 DIONEX CORP COM 254546104 1491 12635 SH SOLE 12635 0 0 DISCOVERY COMMUNICATNS NEW COM SER C 25470F302 4935 134507 SH SOLE 134507 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1589 1575000 PRN SOLE 0 0 0 DOLLAR GEN CORP NEW COM 256677105 432 14099 SH SOLE 14099 0 0 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 5419 114660 SH SOLE 114660 0 0 DST SYS INC DEL DBCV 8/1 233326AE7 13977 12507000 PRN SOLE 0 0 0 DYNAMEX INC COM 26784F103 1094 44204 SH SOLE 44204 0 0 DYNAVOX INC CL A 26817F104 80 15600 SH SOLE 15600 0 0 DYNEX CAP INC COM NEW 26817Q506 296 27110 SH SOLE 27110 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AK8 5478 3775000 PRN SOLE 0 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 9823 6500000 PRN SOLE 0 0 0 EARTHLINK INC FRNT 3.250%11/1 270321AA0 5606 5000000 PRN SOLE 0 0 0 EASTMAN KODAK CO NOTE 7.000% 4/0 277461BJ7 18353 17500000 PRN SOLE 0 0 0 EMMIS COMMUNICATIONS CORP CL A 291525103 425 559576 SH SOLE 559576 0 0 ENCANA CORP COM 292505104 1639 56275 SH SOLE 56275 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 2670 2000000 PRN SOLE 0 0 0 ENERGY CONVERSION DEVICES IN NOTE 3.000% 6/1 292659AA7 188 250000 PRN SOLE 0 0 0 ENERSYS NOTE 3.375% 6/0 29275YAA0 6194 5500000 PRN SOLE 0 0 0 ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 18268 13072000 PRN SOLE 0 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 3434 2575000 PRN SOLE 0 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 1110 900000 PRN SOLE 0 0 0 EQUITY ONE COM 294752100 249 13679 SH SOLE 13679 0 0 EURAND N V SHS N31010106 1923 162584 SH SOLE 162584 0 0 EURONET WORLDWIDE INC NOTE 3.500%10/1 298736AF6 4472 4500000 PRN SOLE 0 0 0 EVERGREEN SOLAR INC NOTE 4.000% 7/1 30033RAC2 1881 5000000 PRN SOLE 0 0 0 EXCO RESOURCES INC COM 269279402 1480 76200 SH SOLE 76200 0 0 EXIDE TECHNOLOGIES FRNT 9/1 302051AL1 5177 6150000 PRN SOLE 0 0 0 EXPRESS INC COM 30219E103 200 10641 SH SOLE 10641 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 3743 3000000 PRN SOLE 0 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 1304 8860 SH SOLE 8860 0 0 FINISAR CORP NOTE 5.000%10/1 31787AAK7 4337 1500000 PRN SOLE 0 0 0 FIRST AMERN FINL CORP COM 31847R102 250 16745 SH SOLE 16745 0 0 FIRST HORIZON NATL CORP COM 320517105 120 10221 SH SOLE 10221 0 0 FIRST MERCURY FINANCIAL CORP COM 320841109 1725 105176 SH SOLE 105176 0 0 FIRSTSERVICE CORP SDCV 6.500%12/3 33761NAA7 1254 1000000 PRN SOLE 0 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 34454 2052041 SH SOLE 2052041 0 0 FREEPORT-MCMORAN 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28838 15000000 PRN SOLE 0 0 0 HESS CORP COM 42809H107 541 7066 SH SOLE 7066 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 941 1000000 PRN SOLE 0 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AB7 683 650000 PRN SOLE 0 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 4964 3100000 PRN SOLE 0 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 457 300000 PRN SOLE 0 0 0 HUNTINGTON BANCSHARES INC COM 446150104 468 68141 SH SOLE 68141 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 880 800 SH SOLE 800 0 0 HUTCHINSON TECHNOLOGY INC NOTE 3.250% 1/1 448407AF3 180 250000 PRN SOLE 0 0 0 HYPERCOM CORP COM 44913M105 2266 270746 SH SOLE 270746 0 0 ICONIX BRAND GROUP INC NOTE 1.875% 6/3 451055AB3 2727 2700000 PRN SOLE 0 0 0 IFM INVTS LTD ADS 45172L100 75 15000 SH SOLE 15000 0 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 4787 2300000 PRN SOLE 0 0 0 INLAND REAL ESTATE CORP NOTE 5.000%11/1 457461AC5 205 198000 PRN SOLE 0 0 0 INSULET CORP COM 45784P101 255 16424 SH SOLE 16424 0 0 INSULET CORP NOTE 5.375% 6/1 45784PAA9 2128 2000000 PRN SOLE 0 0 0 INTEL CORP COM 458140100 503 23900 SH SOLE 23900 0 0 INTERNATIONAL COAL GRP INC N COM 45928H106 475 61328 SH SOLE 61328 0 0 INTERNATIONAL COAL GRP INC N NOTE 4.000% 4/0 45928HAG1 6732 4400000 PRN SOLE 0 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 6344 5475000 PRN SOLE 0 0 0 INTRALINKS HLDGS INC COM 46118H104 318 16984 SH SOLE 16984 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 2690 2000000 PRN SOLE 0 0 0 INVESCO MORTGAGE CAPITAL INC COM 46131B100 417 19080 SH SOLE 19080 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 2012 2050000 PRN SOLE 0 0 0 JA SOLAR HOLDINGS CO LTD NOTE 4.500% 5/1 466090AA5 1913 2000000 PRN SOLE 0 0 0 JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 893 750000 PRN SOLE 0 0 0 JEFFERIES GROUP INC NEW DBCV 3.875%11/0 472319AG7 4716 4475000 PRN SOLE 0 0 0 JETBLUE AIRWAYS CORP DBCV 5.500%10/1 477143AD3 4856 3000000 PRN SOLE 0 0 0 JO-ANN STORES INC COM 47758P307 1726 28661 SH SOLE 28661 0 0 KAISER ALUMINUM CORP COM PAR $0.01 483007704 272 5440 SH SOLE 5440 0 0 KANDI TECHNOLOGIES CORP COM 483709101 374 71006 SH SOLE 71006 0 0 KEMET CORP COM NEW 488360207 577 39577 SH SOLE 39577 0 0 KEMET CORP NOTE 2.250%11/1 488360AB4 735 738000 PRN SOLE 0 0 0 KENDLE INTERNATIONAL INC NOTE 3.375% 7/1 48880LAA5 935 1000000 PRN SOLE 0 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 3754 35000 SH SOLE 35000 0 0 KING PHARMACEUTICALS INC COM 495582108 1677 119380 SH SOLE 119380 0 0 KING PHARMACEUTICALS INC NOTE 1.250% 4/0 495582AJ7 11505 11519000 PRN SOLE 0 0 0 KKR FINANCIAL HLDGS LLC COM 48248A306 458 49274 SH SOLE 49274 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.000% 7/1 48248AAB4 209 200000 PRN SOLE 0 0 0 L-1 IDENTITY SOLUTIONS INC COM 50212A106 1524 127941 SH SOLE 127941 0 0 L-1 IDENTITY SOLUTIONS INC NOTE 3.750% 5/1 50212AAB2 1230 1227000 PRN SOLE 0 0 0 LADISH INC COM NEW 505754200 2910 59854 SH SOLE 59854 0 0 LANNET INC COM 516012101 86 15471 SH SOLE 15471 0 0 LENNAR CORP CL B 526057302 1150 73850 SH SOLE 73850 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 12354 8785000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 143 150000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 3885 4100000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 3062 2825000 PRN SOLE 0 0 0 LEXINGTON REALTY TRUST COM 529043101 433 54513 SH SOLE 54513 0 0 LIBERTY GLOBAL INC COM SER C 530555309 4324 127580 SH SOLE 127580 0 0 LIFE TECHNOLOGIES CORP COM 53217V109 1001 18033 SH SOLE 18033 0 0 LINCOLN EDL SVCS CORP COM 533535100 163 10500 SH SOLE 10500 0 0 LINCOLN NATL CORP IND *W EXP 07/10/201 534187117 3044 154590 SH SOLE 154590 0 0 LOEWS CORP COM 540424108 747 19200 SH SOLE 19200 0 0 LONGWEI PETROLEUM INV HLDG L COM 543354104 130 50000 SH SOLE 50000 0 0 LTX-CREDENCE CORP COM NEW 502403207 1038 140269 SH SOLE 140269 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2372 2500000 PRN SOLE 0 0 0 M & T BK CORP COM 55261F104 2838 32607 SH SOLE 32607 0 0 MADISON SQUARE 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173917 SH SOLE 173917 0 0 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 519 550000 PRN SOLE 0 0 0 OLD REP INTL CORP COM 680223104 1303 95568 SH SOLE 95568 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 6917 5425000 PRN SOLE 0 0 0 OMEGA NAVIGATION ENTERPRISES CLASS A Y6476R105 191 149019 SH SOLE 149019 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 532 500000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 8429 5700000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 353 300000 PRN SOLE 0 0 0 ONYX PHARMACEUTICALS INC NOTE 4.000% 8/1 683399AB5 2342 1950000 PRN SOLE 0 0 0 ORBITAL SCIENCES CORP NOTE 2.438% 1/1 685564AN6 3388 3250000 PRN SOLE 0 0 0 PANTRY INC NOTE 3.000%11/1 698657AL7 2921 3000000 PRN SOLE 0 0 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 1299 1000000 PRN SOLE 0 0 0 PENNICHUCK CORP COM NEW 708254206 269 9830 SH SOLE 9830 0 0 PHOTRONICS INC NOTE 5.500%10/0 719405AF9 10365 7450000 PRN SOLE 0 0 0 PIER 1 IMPORTS INC COM 720279108 5516 525368 SH SOLE 525368 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3.000%11/1 750236AK7 3689 3750000 PRN SOLE 0 0 0 RAE SYS INC COM 75061P102 274 169947 SH SOLE 169947 0 0 RAMBUS INC DEL NOTE 5.000% 6/1 750917AC0 20724 15865000 PRN SOLE 0 0 0 RCM TECHNOLOGIES INC COM NEW 749360400 375 80788 SH SOLE 80788 0 0 REALPAGE INC COM 75606N109 478 15440 SH SOLE 15440 0 0 REGENERX BIOPHARMACEUTICALS COM 75886X108 21 94372 SH SOLE 94372 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 2868 409659 SH SOLE 409659 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 9619 7500000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 332 300000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 339 300000 PRN SOLE 0 0 0 RITE AID CORP NOTE 8.500% 5/1 767754BU7 2818 3010000 PRN SOLE 0 0 0 ROCKWOOD HLDGS INC COM 774415103 446 11398 SH SOLE 11398 0 0 ROSETTA GENOMICS LTD SHS M82183100 69 73750 SH SOLE 73750 0 0 ROYCE FOCUS TR COM 78080N108 514 67866 SH SOLE 67866 0 0 RTI INTL METALS INC NOTE 3.000%12/0 74973WAA5 2655 2550000 PRN SOLE 0 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 2603 2500000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 968 1000000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 1531 1350000 PRN SOLE 0 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 1192 800000 PRN SOLE 0 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3379 3000000 PRN SOLE 0 0 0 SCORPIO TANKERS INC SHS Y7542C106 273 27000 SH SOLE 27000 0 0 SEADRILL LIMITED SHS G7945E105 476 14040 SH SOLE 14040 0 0 SENIOR HSG PPTYS TR SH BEN INT 81721M109 482 21959 SH SOLE 21959 0 0 SESI L L C FRNT 1.500%12/1 78412FAH7 2559 2500000 PRN SOLE 0 0 0 SIGNATURE BK NEW YORK N Y *W EXP 12/12/201 82669G112 759 25320 SH SOLE 25320 0 0 SINA CORP NOTE 7/1 82922RAB9 16562 6200000 PRN SOLE 0 0 0 SKYPEOPLE FRUIT JUICE INC COM NEW 83086T208 190 41076 SH SOLE 41076 0 0 SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 5157 1700000 PRN SOLE 0 0 0 SLM CORP COM 78442P106 3123 248030 SH SOLE 248030 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 17465 14000000 PRN SOLE 0 0 0 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2073 67208 SH SOLE 67208 0 0 T-3 ENERGY SRVCS INC COM 87306E107 3214 80690 SH SOLE 80690 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 4.375% 6/0 874054AA7 16974 12550000 PRN SOLE 0 0 0 TALBOTS INC *W EXP 04/09/201 874161110 46 34922 SH SOLE 34922 0 0 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 1358 1000000 PRN SOLE 0 0 0 TELEPHONE & DATA SYS INC SPL COM 879433860 607 19273 SH SOLE 19273 0 0 TELESTONE TECHNOLOGIES CORP COM 87953J102 229 21535 SH SOLE 21535 0 0 TENET HEALTHCARE CORP COM 88033G100 632 94400 SH SOLE 94400 0 0 TENGION INC COM 88034G109 31 12220 SH SOLE 12220 0 0 TERADYNE INC NOTE 4.500% 3/1 880770AE2 7476 2800000 PRN SOLE 0 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 33763 16500000 PRN SOLE 0 0 0 TERREMARK WORLDWIDE INC NOTE 6.625% 6/1 881448AF1 4950 4000000 PRN SOLE 0 0 0 TESSCO TECHNOLOGIES INC COM 872386107 289 18102 SH SOLE 18102 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 25146 13200000 PRN SOLE 0 0 0 THORATEC CORP FRNT 1.380% 5/1 885175AB5 4449 5250000 PRN SOLE 0 0 0 THQ INC NOTE 5.000% 8/1 872443AB2 9730 9300000 PRN SOLE 0 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 8297 7500000 PRN SOLE 0 0 0 TOWER GROUP INC COM 891777104 326 12733 SH SOLE 12733 0 0 TREX CO INC NOTE 6.000% 7/0 89531PAA3 4064 3225000 PRN SOLE 0 0 0 TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 954 1000000 PRN SOLE 0 0 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 6185 5149000 PRN SOLE 0 0 0 TYSON FOODS INC NOTE 3.250%10/1 902494AP8 8373 6800000 PRN SOLE 0 0 0 UNITED CONTL HLDGS INC COM 910047109 521 21862 SH SOLE 21862 0 0 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 15354 6975000 PRN SOLE 0 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 24167 12425000 PRN SOLE 0 0 0 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 11813 7000000 PRN SOLE 0 0 0 URANIUM ENERGY CORP COM 916896103 283 46863 SH SOLE 46863 0 0 VALUEVISION MEDIA INC CL A 92047K107 85 13906 SH SOLE 13906 0 0 VCG HLDG CORP COM 91821K101 47 21338 SH SOLE 21338 0 0 VECTOR GROUP LTD DBCV 6/1 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INTL INC COM 95082P105 473 8951 SH SOLE 8951 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 7001 3386000 PRN SOLE 0 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 5067 5500000 PRN SOLE 0 0 0 WESTERN ASSET GLOBAL CP DEFI COM 95790C107 425 23705 SH SOLE 23705 0 0 WESTERN ASSET INCOME FD COM 95766T100 151 11720 SH SOLE 11720 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 7554 6275000 PRN SOLE 0 0 0 WHITING PETE CORP NEW COM 966387102 10415 88872 SH SOLE 88872 0 0 WHITING PETE CORP NEW PERP PFD CONV 966387201 395 1417 SH SOLE 1417 0 0 WHITNEY HLDG CORP COM 966612103 374 26439 SH SOLE 26439 0 0 WILBER CORP COM 967797101 395 39066 SH SOLE 39066 0 0 WILLBROS GROUP INC NOTE 2.750% 3/1 969199AC2 5195 5050000 PRN SOLE 0 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 2553 2500000 PRN SOLE 0 0 0 WRIGHT MED GROUP INC NOTE 2.625%12/0 98235TAA5 4140 4375000 PRN SOLE 0 0 0 WUXI PHARMATECH CAYMAN INC SPONS ADR SHS 929352102 903 55942 SH SOLE 55942 0 0 WYNDHAM WORLDWIDE CORP NOTE 3.500% 5/0 98310WAC2 23643 9790000 PRN SOLE 0 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 732 700000 PRN SOLE 0 0 0 YM BIOSCIENCES INC COM 984238105 159 68141 SH SOLE 68141 0 0
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