0001085146-11-001236.txt : 20111114 0001085146-11-001236.hdr.sgml : 20111111 20111114151423 ACCESSION NUMBER: 0001085146-11-001236 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110930 FILED AS OF DATE: 20111114 DATE AS OF CHANGE: 20111114 EFFECTIVENESS DATE: 20111114 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: 111201599 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 cnh3q2011.txt CNH PARTNERS, LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2011 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: 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 November 07, 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: 383 Form 13F Information Table Value Total: $886,491 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 99 CENTS ONLY STORES COM 65440K106 807 43790 SH SOLE 43790 0 0 AAR CORP NOTE 1.750% 2/0 000361AH8 290 300000 PRN SOLE 0 0 0 ABINGTON BANCORP INC COM 00350L109 1359 188738 SH SOLE 188738 0 0 ACTUANT CORP SDCV 2.672%11/1 00508XAB0 301 275000 PRN SOLE 0 0 0 ADVANCED ANALOGIC TECHNOLOGI COM 00752J108 3291 760078 SH SOLE 760078 0 0 ADVANCED BATTERY TECHNOLOG I COM 00752H102 109 197619 SH SOLE 197619 0 0 AFFORDABLE RESIDENTIAL CMNTY NOTE 7.500% 8/1 00828UAB9 1008 975000 PRN SOLE 0 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 4475 4000000 PRN SOLE 0 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 4503 226500 SH SOLE 226500 0 0 ALASKA COMMUNICATIONS SYS GR COM 01167P101 81 12300 SH SOLE 12300 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 24021 374970 SH SOLE 374970 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 8760 7225000 PRN SOLE 0 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 4.750% 5/1 018581AC2 6150 3000000 PRN SOLE 0 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 635 500000 PRN SOLE 0 0 0 ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 7324 9000000 PRN SOLE 0 0 0 ALLIED HEALTHCARE INTL INC COM 01923A109 1905 496068 SH SOLE 496068 0 0 AMC NETWORKS INC CL A 00164V103 442 13842 SH SOLE 13842 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 4160 4150000 PRN SOLE 0 0 0 AMERICAN MED ALERT CORP COM 027904101 533 63572 SH SOLE 63572 0 0 AMERON INTL INC COM 030710107 7723 90928 SH SOLE 90928 0 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 988 1000000 PRN SOLE 0 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 307 300000 PRN SOLE 0 0 0 ANTARES PHARMA INC COM 036642106 116 50000 SH SOLE 50000 0 0 APAC CUSTOMER SERVICES INC COM 00185E106 2776 325873 SH SOLE 325873 0 0 APOLLO SR FLOATING RATE FD I COM 037636107 468 29715 SH SOLE 29715 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 3899 3700000 PRN SOLE 0 0 0 ARCH CHEMICALS INC COM 03937R102 7649 163032 SH SOLE 163032 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 787 775000 PRN SOLE 0 0 0 ASA GOLD AND PRECIOUS MTLS L SHS G3156P103 1033 38257 SH SOLE 38257 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 1154 118000 SH SOLE 118000 0 0 AUSTRALIA ACQUISITION CORP *W EXP 99/99/999 G06368115 34 118000 SH SOLE 118000 0 0 AVAGO TECHNOLOGIES LTD SHS Y0486S104 236 7200 SH SOLE 7200 0 0 AVATAR HLDGS INC NOTE 7.500% 2/1 053494AG5 956 1000000 PRN SOLE 0 0 0 AVI BIOPHARMA INC COM 002346104 59 52500 SH SOLE 52500 0 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 728 750000 PRN SOLE 0 0 0 BABCOCK & WILCOX CO NEW COM 05615F102 428 21888 SH SOLE 21888 0 0 BANCORP RHODE ISLAND INC COM 059690107 1542 36379 SH SOLE 36379 0 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 1543 2000 SH SOLE 2000 0 0 BARNES GROUP INC COM 067806109 2686 139532 SH SOLE 139532 0 0 BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 658 69700 SH SOLE 69700 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 1269 140225 SH SOLE 140225 0 0 BHP BILLITON PLC SPONSORED ADR 05545E209 1966 37041 SH SOLE 37041 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 3272 102658 SH SOLE 102658 0 0 BJS WHOLESALE CLUB INC COM 05548J106 11084 216324 SH SOLE 216324 0 0 BLACKBOARD INC COM 091935502 7277 162942 SH SOLE 162942 0 0 BLACKROCK CORE BD TR SHS BEN INT 09249E101 608 46896 SH SOLE 46896 0 0 BLACKROCK CORPOR HI YLD III COM 09255M104 337 52025 SH SOLE 52025 0 0 BLACKROCK CREDIT ALL IN TR I COM SHS 09249V103 444 44987 SH SOLE 44987 0 0 BLACKROCK CREDIT ALL INC TR COM 092508100 558 48585 SH SOLE 48585 0 0 BLACKROCK CREDIT ALL INC TR COM 09255H105 501 53677 SH SOLE 53677 0 0 BLACKROCK FLOAT RATE OME STR COM 09255X100 155 12206 SH SOLE 12206 0 0 BLACKROCK INCOME OPP TRUST I COM 092475102 686 69928 SH SOLE 69928 0 0 BLUE WOLF MONGOLIA HOLDINGS 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156708109 5843 72404 SH SOLE 72404 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 6275 3586000 PRN SOLE 0 0 0 CEPHALON INC NOTE 2.500% 5/0 156708AR0 3575 2880000 PRN SOLE 0 0 0 CEREPLAST INC COM NEW 156732307 88 31078 SH SOLE 31078 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 1590 1700000 PRN SOLE 0 0 0 CHINA FIRE & SEC GROUP INC COM 16938R103 103 11723 SH SOLE 11723 0 0 CHINA GENGSHENG MINERALS INC COM 16942P101 42 47076 SH SOLE 47076 0 0 CHINA GROWTH EQUITY INV LTD UNIT 05/14/2016 G2114K115 500 50000 SH SOLE 50000 0 0 CHINA HYDROELECTRIC CORP SPONSORED ADR 16949D101 23 11088 SH SOLE 11088 0 0 CHINA MED TECHNOLOGIES INC NOTE 4.000% 8/1 169483AC8 765 1190000 PRN SOLE 0 0 0 CHINA MED TECHNOLOGIES INC NOTE 6.250%12/1 169483AE4 2817 4600000 PRN SOLE 0 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 269 300000 PRN SOLE 0 0 0 CLOROX CO DEL COM 189054109 1242 18723 SH SOLE 18723 0 0 CNINSURE INC SPONSORED ADR 18976M103 130 18505 SH SOLE 18505 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAC7 3653 2967000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAE3 3489 2834000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAF0 153 124000 PRN SOLE 0 0 0 COHEN & STEERS GLOBAL INC BL COM 19248M103 95 10908 SH SOLE 10908 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 10061 8025000 PRN SOLE 0 0 0 COMERICA INC *W EXP 11/14/201 200340115 312 65596 SH SOLE 65596 0 0 COMMUNITY CAP CORP S C COM 20363C102 176 63186 SH SOLE 63186 0 0 COMPUCREDIT HLDGS CORP NOTE 3.625% 5/3 20478NAB6 1870 2000000 PRN SOLE 0 0 0 COMPUCREDIT HLDGS CORP COM 20478T107 85 30645 SH SOLE 30645 0 0 COMTECH TELECOMMUNICATIONS C NOTE 3.000% 5/0 205826AF7 1892 1800000 PRN SOLE 0 0 0 CONMED HEALTHCARE MGMT INC COM 20741M103 125 32996 SH SOLE 32996 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 13745 361145 SH SOLE 361145 0 0 CONTINUCARE CORP COM 212172100 4044 633925 SH SOLE 633925 0 0 CONVERGYS CORP SDCV 5.750% 9/1 212485AE6 5469 4725000 PRN SOLE 0 0 0 CORMEDIX INC COM 21900C100 68 74984 SH SOLE 74984 0 0 CORMEDIX INC *W EXP 03/24/201 21900C118 10 37700 SH SOLE 37700 0 0 COWEN GROUP INC NEW CL A 223622101 391 144220 SH SOLE 144220 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 9214 9100000 PRN SOLE 0 0 0 DELTA PETE CORP NOTE 3.750% 5/0 247907AD0 443 500000 PRN SOLE 0 0 0 DENDREON CORP NOTE 4.750% 6/1 24823QAB3 118 100000 PRN SOLE 0 0 0 DENDREON CORP NOTE 2.875% 1/1 24823QAC1 253 350000 PRN SOLE 0 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 1547 1675000 PRN SOLE 0 0 0 DEXCOM INC COM 252131107 230 19184 SH SOLE 19184 0 0 DIGITAL RLTY TR INC COM 253868103 1020 18491 SH SOLE 18491 0 0 DIODES INC NOTE 2.250%10/0 254543AA9 999 1000000 PRN SOLE 0 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1697 1575000 PRN SOLE 0 0 0 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 6145 109139 SH SOLE 109139 0 0 DPL INC COM 233293109 5248 174128 SH SOLE 174128 0 0 DST SYS INC DEL DBCV 8/1 233326AE7 1317 1150000 PRN SOLE 0 0 0 DUFF & PHELPS UTIL CORP BD T COM 26432K108 261 22688 SH SOLE 22688 0 0 EASTMAN KODAK CO NOTE 7.000% 4/0 277461BJ7 312 1200000 PRN SOLE 0 0 0 EATON VANCE ENH EQTY INC FD COM 278277108 777 78835 SH SOLE 78835 0 0 EATON VANCE ENHANCED EQ INC COM 278274105 882 90180 SH SOLE 90180 0 0 EATON VANCE FLTING RATE INC COM 278279104 166 11756 SH SOLE 11756 0 0 EATON VANCE LTD DUR INCOME F COM 27828H105 723 49288 SH SOLE 49288 0 0 EATON VANCE RISK MNGD DIV EQ COM 27829G106 1086 99179 SH SOLE 99179 0 0 EATON VANCE SR INCOME TR SH BEN INT 27826S103 161 25546 SH SOLE 25546 0 0 EATON VANCE TAX ADVT DIV INC COM 27828G107 138 10124 SH SOLE 10124 0 0 EATON VANCE TAX MNGD GBL DV COM 27829F108 1049 131081 SH SOLE 131081 0 0 EATON VANCE TAX MNGED BUY WR COM 27828X100 529 45536 SH SOLE 45536 0 0 EATON VANCE TX ADV GLB DIV O COM 27828U106 211 12918 SH SOLE 12918 0 0 EATON VANCE TX MGD DIV EQ IN COM 27828N102 1034 121183 SH SOLE 121183 0 0 EATON VANCE TX MNG BY WRT OP COM 27828Y108 1046 95804 SH SOLE 95804 0 0 EATON VANCE TXMGD GL BUYWR O COM 27829C105 1058 108401 SH SOLE 108401 0 0 EMDEON INC CL A 29084T104 7019 373542 SH SOLE 373542 0 0 EMMIS COMMUNICATIONS CORP CL A 291525103 375 559576 SH SOLE 559576 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 2267 2000000 PRN SOLE 0 0 0 ENERGY CONVERSION DEVICES IN NOTE 3.000% 6/1 292659AA7 114 250000 PRN SOLE 0 0 0 ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 14706 13072000 PRN SOLE 0 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 1370 1325000 PRN SOLE 0 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 2446 1900000 PRN SOLE 0 0 0 EXIDE TECHNOLOGIES FRNT 9/1 302051AL1 1742 2000000 PRN SOLE 0 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 1825 2000000 PRN SOLE 0 0 0 FAMILY DLR STORES INC COM 307000109 1358 26706 SH SOLE 26706 0 0 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 1146 8860 SH SOLE 8860 0 0 FINISAR CORP COM NEW 31787A507 3079 175554 SH SOLE 175554 0 0 FINISAR CORP NOTE 5.000%10/1 31787AAK7 1529 800000 PRN SOLE 0 0 0 FIRST TR HIGH INCOME L/S FD COM 33738E109 688 42932 SH SOLE 42932 0 0 FIRSTSERVICE CORP SDCV 6.500%12/3 33761NAA7 1069 1000000 PRN SOLE 0 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 14021 1449898 SH SOLE 1449898 0 0 FPIC INS GROUP INC COM 302563101 413 9882 SH SOLE 9882 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 3478 114208 SH SOLE 114208 0 0 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 1203 975000 PRN SOLE 0 0 0 FUNDTECH LTD ORD M47095100 1944 84208 SH SOLE 84208 0 0 FUSHI COPPERWELD INC COM 36113E107 650 131225 SH SOLE 131225 0 0 GABELLI GLOBAL MULTIMEDIA TR COM 36239Q109 142 22986 SH SOLE 22986 0 0 GASCO ENERGY INC COM 367220100 61 321250 SH SOLE 321250 0 0 GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 73 100000 PRN SOLE 0 0 0 GENCORP INC SDCV 4.062%12/3 368682AN0 3947 4550000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 1380 1500000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 204 225000 PRN SOLE 0 0 0 GLOBAL CROSSING LTD SHS NEW G3921A175 1788 74796 SH SOLE 74796 0 0 GLOBAL EAGLE ACQUISITION COR UNIT 99/99/9999 37951D201 1937 192500 SH SOLE 192500 0 0 GLOBAL INDS LTD COM 379336100 1492 188381 SH SOLE 188381 0 0 GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 3143 3199000 PRN SOLE 0 0 0 GMX RES INC NOTE 4.500% 5/0 38011MAJ7 2530 3946000 PRN SOLE 0 0 0 GOLD RESV INC NOTE 5.500% 6/1 38068NAB4 422 500000 PRN SOLE 0 0 0 GOLDCORP INC NEW NOTE 2.000% 8/0 380956AB8 624 500000 PRN SOLE 0 0 0 GOODRICH CORP COM 382388106 5391 44671 SH SOLE 44671 0 0 GOODRICH PETE CORP NOTE 3.250%12/0 382410AB4 227 225000 PRN SOLE 0 0 0 GOODRICH PETE CORP NOTE 5.000%10/0 382410AC2 363 400000 PRN SOLE 0 0 0 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 332 8500 SH SOLE 8500 0 0 HARLEYSVILLE GROUP INC COM 412824104 3531 59989 SH SOLE 59989 0 0 HARVEST NATURAL RESOURCES IN NOTE 8.250% 3/0 41754VAA1 5421 3486000 PRN SOLE 0 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 438 500000 PRN SOLE 0 0 0 HECKMANN CORP *W EXP 11/09/201 422680116 11 105000 SH SOLE 105000 0 0 HEICO CORP NEW CL A 422806208 1375 40861 SH SOLE 40861 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 197 15000 SH SOLE 15000 0 0 HERALD NATL BK NEW YORK COM 42703Q104 116 33928 SH SOLE 33928 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 19613 15000000 PRN SOLE 0 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 941 1000000 PRN SOLE 0 0 0 HOME PROPERTIES INC COM 437306103 341 6000 SH SOLE 6000 0 0 HOVNANIAN ENTERPRISES INC UNIT 99/99/9999 44248W208 148 20000 SH SOLE 20000 0 0 HUNTINGTON BANCSHARES INC PFD CONV SER A 446150401 848 800 SH SOLE 800 0 0 HUTCHINSON TECHNOLOGY INC NOTE 8.500% 1/1 448407AG1 135 195000 PRN SOLE 0 0 0 ICONIX BRAND GROUP INC NOTE 1.875% 6/3 451055AB3 247 250000 PRN SOLE 0 0 0 IDENTIVE GROUP INC COM 45170X106 40 20000 SH SOLE 20000 0 0 IFM INVTS LTD ADS 45172L100 14 12503 SH SOLE 12503 0 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 1067 600000 PRN SOLE 0 0 0 ING PRIME RATE TR SH BEN INT 44977W106 170 33288 SH SOLE 33288 0 0 INLAND REAL ESTATE CORP NOTE 5.000%11/1 457461AC5 202 198000 PRN SOLE 0 0 0 INSULET 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KRATOS DEFENSE & SEC SOLUTIO COM NEW 50077B207 206 30583 SH SOLE 30583 0 0 LDK SOLAR CO LTD NOTE 4.750% 4/1 50183LAD9 129 200000 PRN SOLE 0 0 0 LENNAR CORP CL B 526057302 445 43521 SH SOLE 43521 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 10443 8785000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 3.500% 6/1 52729NBK5 149 150000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 15.000% 1/1 52729NBM1 481 375000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 4920 4100000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 4346 3050000 PRN SOLE 0 0 0 LIBERTY GLOBAL INC COM SER C 530555309 693 20015 SH SOLE 20015 0 0 LINCOLN NATL CORP IND *W EXP 07/10/201 534187117 732 78999 SH SOLE 78999 0 0 LOEWS CORP COM 540424108 663 19200 SH SOLE 19200 0 0 LOOPNET INC COM 543524300 6938 405015 SH SOLE 405015 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2322 2500000 PRN SOLE 0 0 0 M & F WORLDWIDE CORP COM 552541104 2928 118924 SH SOLE 118924 0 0 MADISON CLAYMORE CALL &EQTY COM 556582104 168 23596 SH SOLE 23596 0 0 MAGIC SOFTWARE ENTERPRISES L ORD 559166103 177 43238 SH SOLE 43238 0 0 MAGNUM HUNTER RES CORP DEL COM 55973B102 325 98145 SH SOLE 98145 0 0 MANNKIND CORP COM 56400P201 536 141433 SH SOLE 141433 0 0 MANNKIND CORP NOTE 3.750%12/1 56400PAA0 1145 2000000 PRN SOLE 0 0 0 MASTEC INC COM 576323109 2187 124190 SH SOLE 124190 0 0 MASTEC INC NOTE 4.000% 6/1 576323AL3 528 400000 PRN SOLE 0 0 0 MASTEC INC NOTE 4.250%12/1 576323AM1 2024 1475000 PRN SOLE 0 0 0 MCCORMICK & SCHMICKS SEAFD R COM 579793100 519 74959 SH SOLE 74959 0 0 MCDERMOTT INTL INC COM 580037109 293 27187 SH SOLE 27187 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 8418 179528 SH SOLE 179528 0 0 MELLANOX TECHNOLOGIES LTD SHS M51363113 290 9300 SH SOLE 9300 0 0 MENTOR GRAPHICS CORP COM 587200106 603 62707 SH SOLE 62707 0 0 MF GLOBAL HLDGS LTD NOTE 3.375% 8/0 55277JAB4 2599 3300000 PRN SOLE 0 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 5071 8975000 PRN SOLE 0 0 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 661 750000 PRN SOLE 0 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 1159 1000000 PRN SOLE 0 0 0 MICRON TECHNOLOGY INC COM 595112103 569 112942 SH SOLE 112942 0 0 MINDSPEED TECHNOLOGIES INC COM NEW 602682205 465 89394 SH SOLE 89394 0 0 MOLEX INC CL A 608554200 663 39295 SH SOLE 39295 0 0 MOLINA HEALTHCARE INC NOTE 3.750%10/0 60855RAA8 956 1000000 PRN SOLE 0 0 0 MONTGOMERY STR INCOME SECS I COM 614115103 192 12338 SH SOLE 12338 0 0 MORGAN STANLEY INCOME SEC INC 61745P874 460 26763 SH SOLE 26763 0 0 MORGAN STANLEY EMER MKTS FD COM 61744G107 168 13412 SH SOLE 13412 0 0 MOSAIC CO NEW COM 61945C103 220 4500 SH SOLE 4500 0 0 MOTOROLA MOBILITY HLDGS INC COM 620097105 8248 218329 SH SOLE 218329 0 0 MOTOROLA SOLUTIONS INC COM NEW 620076307 734 17529 SH SOLE 17529 0 0 MYLAN INC COM 628530107 8839 519937 SH SOLE 519937 0 0 MYLAN INC NOTE 1.250% 3/1 628530AG2 1003 1000000 PRN SOLE 0 0 0 NALCO HOLDING COMPANY COM 62985Q101 10369 296417 SH SOLE 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666416AB8 1056 950000 PRN SOLE 0 0 0 NOVELLUS SYS INC COM 670008101 1180 43296 SH SOLE 43296 0 0 NSTAR COM 67019E107 2129 47512 SH SOLE 47512 0 0 NUVEEN EQTY PRM OPPORTUNITYF COM 6706EM102 304 27966 SH SOLE 27966 0 0 NUVEEN EQUITY PREM & GROWTH COM 6706EW100 252 21910 SH SOLE 21910 0 0 NUVEEN EQUITY PREM ADV FD COM 6706ET107 246 22418 SH SOLE 22418 0 0 NUVEEN EQUITY PREM INCOME FD COM 6706ER101 301 28222 SH SOLE 28222 0 0 NUVEEN QUALITY PFD INC FD 3 COM 67072W101 448 60557 SH SOLE 60557 0 0 NUVEEN QUALITY PFD INCOME FD COM 67071S101 274 36431 SH SOLE 36431 0 0 NUVEEN QUALITY PFD INCOME FD COM 67072C105 570 75150 SH SOLE 75150 0 0 NYSE EURONEXT COM 629491101 4612 198440 SH SOLE 198440 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 875 13129 SH SOLE 13129 0 0 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 613 550000 PRN SOLE 0 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 511 500000 PRN SOLE 0 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 646 575000 PRN SOLE 0 0 0 OMNICOM GROUP INC NOTE 7/0 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2.250%10/1 69344FAD8 657 645000 PRN SOLE 0 0 0 POWERWAVE TECHNOLOGIES INC COM 739363109 4933 2868170 SH SOLE 2868170 0 0 PPL CORP UNIT 99/99/9999S 69351T114 1222 22500 SH SOLE 22500 0 0 PRIME ACQUISITION CORP SHS G72436101 562 59210 SH SOLE 59210 0 0 PRIME ACQUISITION CORP *W EXP 99/99/999 G72436127 27 59210 SH SOLE 59210 0 0 PROGRESS ENERGY INC COM 743263105 13236 255911 SH SOLE 255911 0 0 QEP RES INC COM 74733V100 408 15074 SH SOLE 15074 0 0 QUESTAR CORP COM 748356102 306 17261 SH SOLE 17261 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 659 1325000 PRN SOLE 0 0 0 RAMBUS INC DEL NOTE 5.000% 6/1 750917AC0 3429 3100000 PRN SOLE 0 0 0 REALTY INCOME CORP COM 756109104 290 9000 SH SOLE 9000 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 1364 409659 SH SOLE 409659 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 9913 8500000 PRN SOLE 0 0 0 RENAISSANCE LEARNING INC COM 75968L105 1524 90834 SH SOLE 90834 0 0 REPROS THERAPEUTICS INC *W EXP 02/04/201 76028H126 19 15244 SH SOLE 15244 0 0 RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 308 300000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 323 300000 PRN SOLE 0 0 0 RITE AID CORP NOTE 8.500% 5/1 767754BU7 813 885000 PRN SOLE 0 0 0 ROSETTA GENOMICS LTD SHS M82183118 47 44780 SH SOLE 44780 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 3979 64674 SH SOLE 64674 0 0 ROYCE FOCUS TR COM 78080N108 344 57030 SH SOLE 57030 0 0 RTI INTL METALS INC NOTE 3.000%12/0 74973WAA5 2550 2550000 PRN SOLE 0 0 0 S1 CORPORATION COM 78463B101 1936 211129 SH SOLE 211129 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 2142 1450000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 973 1000000 PRN SOLE 0 0 0 SCHWAB CHARLES CORP NEW COM 808513105 2732 242449 SH SOLE 242449 0 0 SESI L L C FRNT 1.500%12/1 78412FAH7 775 775000 PRN SOLE 0 0 0 SIGNATURE BK NEW YORK N Y *W EXP 12/12/201 82669G112 690 25320 SH SOLE 25320 0 0 SINA CORP ORD G81477104 16836 235109 SH SOLE 235109 0 0 SINOHUB INC COM 82935L101 49 89282 SH SOLE 89282 0 0 SKYWORKS SOLUTIONS INC NOTE 1.500% 3/0 83088MAH5 3245 1700000 PRN SOLE 0 0 0 SLM CORP COM 78442P106 2002 160790 SH SOLE 160790 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 1441 1300000 PRN SOLE 0 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 12169 11000000 PRN SOLE 0 0 0 SONOSITE INC NOTE 3.750% 7/1 83568GAA2 529 500000 PRN SOLE 0 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 567 500000 PRN SOLE 0 0 0 SOUTHERN UN CO NEW COM 844030106 6947 171223 SH SOLE 171223 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 2719 2900000 PRN SOLE 0 0 0 STATE BANCORP INC N.Y COM 855716106 1015 96017 SH SOLE 96017 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 3173 3750000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.125% 7/1 860370AH8 1162 1175000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.375% 7/1 860370AK1 3822 3950000 PRN SOLE 0 0 0 STEWART INFORMATION SVCS COR NOTE 6.000%10/1 860372AB7 7115 7450000 PRN SOLE 0 0 0 SUNPOWER CORP DBCV 1.250% 2/1 867652AA7 495 500000 PRN SOLE 0 0 0 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5.000% 8/1 872443AB2 3280 3775000 PRN SOLE 0 0 0 TOWER BANCORP INC COM 891709107 2783 132880 SH SOLE 132880 0 0 TOWER GROUP INC COM 891777104 291 12733 SH SOLE 12733 0 0 TRANSATLANTIC HLDGS INC COM 893521104 5019 103435 SH SOLE 103435 0 0 TREX CO INC NOTE 6.000% 7/0 89531PAA3 3603 3550000 PRN SOLE 0 0 0 TRUNKBOW INTL HLDGS LTD COM 89818A102 56 25264 SH SOLE 25264 0 0 TRW AUTOMOTIVE INC NOTE 3.500%12/0 87264MAH2 2308 1700000 PRN SOLE 0 0 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 1500 1500000 PRN SOLE 0 0 0 TYSON FOODS INC NOTE 3.250%10/1 902494AP8 1211 1000000 PRN SOLE 0 0 0 UNISYS CORP PFD SER A 6.25% 909214405 209 3650 SH SOLE 3650 0 0 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 3415 2025000 PRN SOLE 0 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 4976 4750000 PRN SOLE 0 0 0 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 4663 4500000 PRN SOLE 0 0 0 UNIVERAL BUSINESS PMT SOL AC UNIT 99/99/9999 913384202 795 131868 SH SOLE 131868 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 7055 115371 SH SOLE 115371 0 0 VECTOR GROUP LTD DBCV 6/1 92240MAL2 2301 2016000 PRN SOLE 0 0 0 VECTOR GROUP LTD FRNT 11/1 92240MAS7 12261 9280000 PRN SOLE 0 0 0 VENOCO INC COM 92275P307 1229 139532 SH SOLE 139532 0 0 VENTAS INC COM 92276F100 2660 53848 SH SOLE 53848 0 0 VERIFONE SYS INC COM 92342Y109 1596 45578 SH SOLE 45578 0 0 VERIFONE SYS INC NOTE 1.375% 6/1 92342YAB5 1036 1000000 PRN SOLE 0 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 12058 11750000 PRN SOLE 0 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 1443 32400 SH SOLE 32400 0 0 VIACOM INC NEW CL B 92553P201 1459 37667 SH SOLE 37667 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 11589 7700000 PRN SOLE 0 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 609 72893 SH SOLE 72893 0 0 VITESSE SEMICONDUCTOR CORP COM NEW 928497304 368 124828 SH SOLE 124828 0 0 WELLS FARGO & CO NEW *W EXP 10/28/201 949746119 147 19020 SH SOLE 19020 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 3950 3825 SH SOLE 3825 0 0 WELLS FARGO ADVANTAGE MULTI COM SHS 94987D101 435 30621 SH SOLE 30621 0 0 WESCO INTL INC COM 95082P105 213 6351 SH SOLE 6351 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 4785 5500000 PRN SOLE 0 0 0 WESTERN ASSET GLOBAL CP DEFI COM 95790C107 423 24464 SH SOLE 24464 0 0 WESTERN ASSET INCOME FD COM 95766T100 454 34292 SH SOLE 34292 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 11237 8225000 PRN SOLE 0 0 0 WHITING PETE CORP NEW COM 966387102 6235 177746 SH SOLE 177746 0 0 WHITING PETE CORP NEW PERP PFD CONV 966387201 238 1417 SH SOLE 1417 0 0 WINTRUST FINANCIAL CORP *W EXP 12/18/201 97650W157 782 67375 SH SOLE 67375 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 2500 2500000 PRN SOLE 0 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 1357 1350000 PRN SOLE 0 0 0