0001085146-12-000780.txt : 20120515 0001085146-12-000780.hdr.sgml : 20120515 20120515140217 ACCESSION NUMBER: 0001085146-12-000780 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120515 DATE AS OF CHANGE: 20120515 EFFECTIVENESS DATE: 20120515 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: 12843195 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 cnh1q2012.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: March 31, 2012 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 May 15, 2012 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: 268 Form 13F Information Table Value Total: $508,547 (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 298 300000 PRN SOLE 0 0 0 ABOVENET INC COM 00374N107 760 9173 SH SOLE 9173 0 0 ACI WORLDWIDE INC COM 004498101 1145 28440 SH SOLE 28440 0 0 ACTUANT CORP SDCV 2.672%11/1 00508XAB0 403 275000 PRN SOLE 0 0 0 ADVANCE AMER CASH ADVANCE CT COM 00739W107 536 51075 SH SOLE 51075 0 0 ADVENT CLAY CONV SEC INC FD COM 007639107 111 16130 SH SOLE 16130 0 0 AFFORDABLE RESIDENTIAL CMNTY NOTE 7.500% 8/1 00828UAB9 1035 975000 PRN SOLE 0 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 5135 4000000 PRN SOLE 0 0 0 AGL RES INC COM 001204106 2352 59979 SH SOLE 59979 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 8313 226500 SH SOLE 226500 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 3551 2125000 PRN SOLE 0 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 2351 25320 SH SOLE 25320 0 0 ALLEGHANY CORP DEL COM 017175100 2595 7884 SH SOLE 7884 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 4598 3675000 PRN SOLE 0 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 4.750% 5/1 018581AC2 1351 500000 PRN SOLE 0 0 0 ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 5551 5600000 PRN SOLE 0 0 0 AMC NETWORKS INC CL A 00164V103 226 5060 SH SOLE 5060 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 4332 4150000 PRN SOLE 0 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 377 300000 PRN SOLE 0 0 0 ANTARES PHARMA INC COM 036642106 65 20000 SH SOLE 20000 0 0 APOLLO SR FLOATING RATE FD I COM 037636107 216 12060 SH SOLE 12060 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 1294 1200000 PRN SOLE 0 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 437 425000 PRN SOLE 0 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 591 575000 PRN SOLE 0 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 44000 SH SOLE 44000 0 0 AVI BIOPHARMA INC COM 002346104 27 17500 SH SOLE 17500 0 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 2944 2500000 PRN SOLE 0 0 0 BARNES GROUP INC COM 067806109 3670 139500 SH SOLE 139500 0 0 BEAZER HOMES USA INC COM 07556Q105 38 11812 SH SOLE 11812 0 0 BGS ACQUISITION CORP UNIT 99/99/9999 G1082J126 158 15980 SH SOLE 15980 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 3516 102658 SH SOLE 102658 0 0 BLACKROCK ENH CAP & INC FD I COM 09256A109 186 13753 SH SOLE 13753 0 0 BLACKROCK ENHANCED EQT DIV T COM 09251A104 284 37814 SH SOLE 37814 0 0 BLACKROCK FLOAT RATE OME STR COM 09255X100 209 14096 SH SOLE 14096 0 0 BLACKROCK INCOME OPP TRUST I COM 092475102 180 17134 SH SOLE 17134 0 0 BLACKROCK INTL GRWTH & INC T COM BENE INTER 092524107 169 21591 SH SOLE 21591 0 0 BLACKROCK RES & COMM STRAT T SHS 09257A108 207 13672 SH SOLE 13672 0 0 BLUE WOLF MONGOLIA HOLDINGS UNIT 99/99/9999 G11962126 201 19500 SH SOLE 19500 0 0 BROADWIND ENERGY INC COM 11161T108 7 15000 SH SOLE 15000 0 0 BROOKLINE BANCORP INC DEL COM 11373M107 337 36007 SH SOLE 36007 0 0 CARNIVAL PLC ADR 14365C103 423 13220 SH SOLE 13220 0 0 CAZADOR ACQUISITION CORPORAT SHS G19867103 657 66816 SH SOLE 66816 0 0 CBRE CLARION GLOBAL REAL EST COM 12504G100 210 26139 SH SOLE 26139 0 0 CEMEX SAB DE CV NOTE 4.875% 3/1 151290AV5 3308 3500000 PRN SOLE 0 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 298 335000 PRN SOLE 0 0 0 CENTRAL GARDEN & PET CO COM 153527106 264 28006 SH SOLE 28006 0 0 CENTRAL VT PUB SVC CORP COM 155771108 1246 35404 SH SOLE 35404 0 0 CH ENERGY GROUP INC COM 12541M102 575 8613 SH SOLE 8613 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 2120 1650000 PRN SOLE 0 0 0 CHENIERE ENERGY INC NOTE 2.250% 8/0 16411RAE9 150 150000 PRN SOLE 0 0 0 CHESAPEAKE ENERGY CORP COM 165167107 668 28823 SH SOLE 28823 0 0 CHINA GROWTH EQUITY INV LTD UNIT 05/14/2016 G2114K115 200 20000 SH SOLE 20000 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAC7 1803 1150000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAE3 2437 1555000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAF0 71 45000 PRN SOLE 0 0 0 COHEN & STEERS GLOBAL INC BL COM 19248M103 174 16249 SH SOLE 16249 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 5708 3375000 PRN SOLE 0 0 0 COMPUCREDIT HLDGS CORP NOTE 3.625% 5/3 20478NAB6 1990 2000000 PRN SOLE 0 0 0 COMPUCREDIT HLDGS CORP COM 20478T107 225 38823 SH SOLE 38823 0 0 COMTECH TELECOMMUNICATIONS C NOTE 3.000% 5/0 205826AF7 907 800000 PRN SOLE 0 0 0 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 77 11240 SH SOLE 11240 0 0 CONVERGYS CORP SDCV 5.750% 9/1 212485AE6 4234 3000000 PRN SOLE 0 0 0 CONVIO INC COM 21257W105 1297 83855 SH SOLE 83855 0 0 CORMEDIX INC COM 21900C100 31 68082 SH SOLE 68082 0 0 CORMEDIX INC *W EXP 03/24/201 21900C118 1 37700 SH SOLE 37700 0 0 CVR ENERGY INC COM 12662P108 246 9200 SH SOLE 9200 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 7720 5950000 PRN SOLE 0 0 0 DELPHI FINL GROUP INC CL A 247131105 1257 28086 SH SOLE 28086 0 0 DENDREON CORP NOTE 4.750% 6/1 24823QAB3 129 100000 PRN SOLE 0 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 2987 2750000 PRN SOLE 0 0 0 DEXCOM INC COM 252131107 200 19184 SH SOLE 19184 0 0 DIGITAL RLTY TR INC COM 253868103 1368 18491 SH SOLE 18491 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1705 1575000 PRN SOLE 0 0 0 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 1338 16535 SH SOLE 16535 0 0 EATON VANCE ENH EQTY INC FD COM 278277108 233 21402 SH SOLE 21402 0 0 EATON VANCE ENHANCED EQ INC COM 278274105 247 22326 SH SOLE 22326 0 0 EATON VANCE LTD DUR INCOME F COM 27828H105 237 14771 SH SOLE 14771 0 0 EATON VANCE RISK MNGD DIV EQ COM 27829G106 148 13962 SH SOLE 13962 0 0 EATON VANCE SR INCOME TR SH BEN INT 27826S103 221 30671 SH SOLE 30671 0 0 EATON VANCE TAX ADVT DIV INC COM 27828G107 231 13815 SH SOLE 13815 0 0 EATON VANCE TAX MNGD GBL DV COM 27829F108 140 15737 SH SOLE 15737 0 0 EATON VANCE TAX MNGED BUY WR COM 27828X100 328 23934 SH SOLE 23934 0 0 EATON VANCE TX ADV GLB DIV O COM 27828U106 294 15020 SH SOLE 15020 0 0 EATON VANCE TX MGD DIV EQ IN COM 27828N102 206 21633 SH SOLE 21633 0 0 EATON VANCE TX MNG BY WRT OP COM 27828Y108 243 18744 SH SOLE 18744 0 0 EATON VANCE TXMGD GL BUYWR O COM 27829C105 189 17140 SH SOLE 17140 0 0 EL PASO CORP COM 28336L109 595 20128 SH SOLE 20128 0 0 EMMIS COMMUNICATIONS CORP CL A 291525103 20 24810 SH SOLE 24810 0 0 ENERGY TRANSFER EQUITY L P COM UT LTD PTN 29273V100 1160 28793 SH SOLE 28793 0 0 ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 12804 9329000 PRN SOLE 0 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 1360 1325000 PRN SOLE 0 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 1805 900000 PRN SOLE 0 0 0 EXELON CORP COM 30161N101 2627 66999 SH SOLE 66999 0 0 EXIDE TECHNOLOGIES FRNT 9/1 302051AL1 851 1000000 PRN SOLE 0 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 501 500000 PRN SOLE 0 0 0 FINISAR CORP COM NEW 31787A507 2162 107283 SH SOLE 107283 0 0 FIRSTSERVICE CORP SDCV 6.500%12/3 33761NAA7 1235 1000000 PRN SOLE 0 0 0 FNB CORP PA COM 302520101 847 70144 SH SOLE 70144 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 5780 462752 SH SOLE 462752 0 0 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 1182 975000 PRN SOLE 0 0 0 GASCO ENERGY INC COM 367220100 73 271883 SH SOLE 271883 0 0 GENCORP INC SDCV 4.062%12/3 368682AN0 3344 3125000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 1103 1125000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 1244 1175000 PRN SOLE 0 0 0 GENERAL GROWTH PPTYS INC NEW COM 370023103 188 11092 SH SOLE 11092 0 0 GEORGIA GULF CORP COM PAR$0.01 NEW 373200302 461 13204 SH SOLE 13204 0 0 GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 1507 1175000 PRN SOLE 0 0 0 GLOBAL EAGLE ACQUISITION COR UNIT 99/99/9999 37951D201 711 70000 SH SOLE 70000 0 0 GMX RES INC NOTE 4.500% 5/0 38011MAJ7 1447 3146000 PRN SOLE 0 0 0 GOLD RESV INC NOTE 5.500% 6/1 38068NAB4 412 500000 PRN SOLE 0 0 0 GOODRICH CORP COM 382388106 1545 12314 SH SOLE 12314 0 0 GOODRICH PETE CORP NOTE 5.000%10/0 382410AC2 396 400000 PRN SOLE 0 0 0 HARLEYSVILLE GROUP INC COM 412824104 886 15348 SH SOLE 15348 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 392 400000 PRN SOLE 0 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 2295 2000000 PRN SOLE 0 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 267 15000 SH SOLE 15000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 15064 7800000 PRN SOLE 0 0 0 HICKS ACQUISITION CO II INC COM 429090103 587 60000 SH SOLE 60000 0 0 HICKS ACQUISITION CO II INC *W EXP 07/14/201 429090111 34 60000 SH SOLE 60000 0 0 HUTCHINSON TECHNOLOGY INC NOTE 8.500% 1/1 448407AG1 148 195000 PRN SOLE 0 0 0 ICONIX BRAND GROUP INC NOTE 1.875% 6/3 451055AB3 251 250000 PRN SOLE 0 0 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 1382 600000 PRN SOLE 0 0 0 ING PRIME RATE TR SH BEN INT 44977W106 117 20603 SH SOLE 20603 0 0 INLAND REAL ESTATE CORP NOTE 5.000%11/1 457461AC5 200 198000 PRN SOLE 0 0 0 INSULET CORP NOTE 5.375% 6/1 45784PAA9 582 500000 PRN SOLE 0 0 0 INTEL CORP COM 458140100 406 14433 SH SOLE 14433 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 2200 2000000 PRN SOLE 0 0 0 INVESCO VAN KAMP DYN CRDT OP COM 46132R104 222 18996 SH SOLE 18996 0 0 ISTA PHARMACEUTICALS INC COM NEW 45031X204 171 18967 SH SOLE 18967 0 0 JAKKS PAC INC COM 47012E106 1313 75218 SH SOLE 75218 0 0 JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 801 750000 PRN SOLE 0 0 0 JETBLUE AIRWAYS CORP DBCV 5.500%10/1 477143AD3 3739 3000000 PRN SOLE 0 0 0 KANSAS CITY SOUTHERN COM NEW 485170302 2924 40793 SH SOLE 40793 0 0 KAYNE ANDERSON MDSTM ENERGY COM 48661E108 204 7442 SH SOLE 7442 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 2819 25000 SH SOLE 25000 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.000% 7/1 48248AAB4 102 100000 PRN SOLE 0 0 0 LENNAR CORP CL B 526057302 444 19881 SH SOLE 19881 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 11113 8785000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 5371 4100000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 2207 1375000 PRN SOLE 0 0 0 LOOPNET INC COM 543524300 2603 138596 SH SOLE 138596 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AH0 2469 2500000 PRN SOLE 0 0 0 MADISON CLAYMORE CALL &EQTY COM 556582104 173 20910 SH SOLE 20910 0 0 MANNKIND CORP COM 56400P201 131 52892 SH SOLE 52892 0 0 MANNKIND CORP NOTE 3.750%12/1 56400PAA0 427 750000 PRN SOLE 0 0 0 MANNKIND CORP NOTE 5.750% 8/1 56400PAC6 792 1320000 PRN SOLE 0 0 0 MASTEC INC COM 576323109 2246 124146 SH SOLE 124146 0 0 MASTEC INC NOTE 4.000% 6/1 576323AL3 544 400000 PRN SOLE 0 0 0 MASTEC INC NOTE 4.250%12/1 576323AM1 664 475000 PRN SOLE 0 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 2308 32837 SH SOLE 32837 0 0 MENTOR GRAPHICS CORP COM 587200106 328 22058 SH SOLE 22058 0 0 METLIFE INC UNIT 99/99/9999 59156R116 787 11137 SH SOLE 11137 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 4082 5250000 PRN SOLE 0 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 3082 2225000 PRN SOLE 0 0 0 MINDSPEED TECHNOLOGIES INC COM NEW 602682205 569 89394 SH SOLE 89394 0 0 MINEFINDERS CORP LTD COM 602900102 1643 118235 SH SOLE 118235 0 0 MOLEX INC CL A 608554200 251 10686 SH SOLE 10686 0 0 MOLSON COORS BREWING CO CL B 60871R209 330 7294 SH SOLE 7294 0 0 MOTOROLA MOBILITY HLDGS INC COM 620097105 1160 29569 SH SOLE 29569 0 0 MYLAN INC COM 628530107 2572 109698 SH SOLE 109698 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 4465 9475000 PRN SOLE 0 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 4892 3600000 PRN SOLE 0 0 0 NAUTILUS MARINE ACQUISIT COR SHS Y6255E101 282 28800 SH SOLE 28800 0 0 NEOSTEM INC COM NEW 640650305 5 12000 SH SOLE 12000 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 5088 3500000 PRN SOLE 0 0 0 NII HLDGS INC NOTE 3.125% 6/1 62913FAJ1 191 190000 PRN SOLE 0 0 0 NORTHGATE MINERALS CORP NOTE 3.500%10/0 666416AB8 443 400000 PRN SOLE 0 0 0 NOVELLUS SYS INC COM 670008101 2229 44658 SH SOLE 44658 0 0 NSTAR COM 67019E107 877 18040 SH SOLE 18040 0 0 NUVEEN EQTY PRM OPPORTUNITYF COM 6706EM102 202 16560 SH SOLE 16560 0 0 NUVEEN EQUITY PREM & GROWTH COM 6706EW100 242 18173 SH SOLE 18173 0 0 NUVEEN EQUITY PREM ADV FD COM 6706ET107 265 21852 SH SOLE 21852 0 0 NUVEEN EQUITY PREM INCOME FD COM 6706ER101 215 17953 SH SOLE 17953 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 1199 13129 SH SOLE 13129 0 0 OCWEN FINL CORP COM NEW 675746309 706 45192 SH SOLE 45192 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 146 100000 PRN SOLE 0 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 547 500000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 7645 5700000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 336 300000 PRN SOLE 0 0 0 OPNEXT INC COM 68375V105 44 28656 SH SOLE 28656 0 0 PDL BIOPHARMA INC NOTE 2.875% 2/1 69329YAE4 4321 3875000 PRN SOLE 0 0 0 PEP BOYS MANNY MOE & JACK COM 713278109 214 14345 SH SOLE 14345 0 0 PETROLEUM & RES CORP COM 716549100 281 10794 SH SOLE 10794 0 0 PHARMERICA CORP COM 71714F104 771 62052 SH SOLE 62052 0 0 PHH CORP NOTE 4.000% 4/1 693320AH6 402 400000 PRN SOLE 0 0 0 PHH CORP NOTE 6.000% 6/1 693320AQ6 996 675000 PRN SOLE 0 0 0 PHOTRONICS INC NOTE 5.500%10/0 719405AF9 9933 6450000 PRN SOLE 0 0 0 PIER 1 IMPORTS INC COM 720279108 9551 525368 SH SOLE 525368 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 2886 1500000 PRN SOLE 0 0 0 PMC-SIERRA INC NOTE 2.250%10/1 69344FAD8 664 645000 PRN SOLE 0 0 0 POWERWAVE TECHNOLOGIES INC COM NEW 739363307 1176 573633 SH SOLE 573633 0 0 PPL CORP UNIT 99/99/9999S 69351T114 295 5500 SH SOLE 5500 0 0 PPL CORP UNIT 99/99/9999 69351T601 310 5700 SH SOLE 5700 0 0 PRESTIGE BRANDS HLDGS INC COM 74112D101 226 12936 SH SOLE 12936 0 0 PRIME ACQUISITION CORP SHS G72436101 213 22092 SH SOLE 22092 0 0 PROGRESS ENERGY INC COM 743263105 2408 45346 SH SOLE 45346 0 0 PROLOGIS NOTE 3.250% 3/1 74340XAT8 1932 1700000 PRN SOLE 0 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 889 1300000 PRN SOLE 0 0 0 RADVISION LTD ORD M81869105 487 41550 SH SOLE 41550 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 2700 409659 SH SOLE 409659 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 6700 5000000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 300 300000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 303 300000 PRN SOLE 0 0 0 RITE AID CORP NOTE 8.500% 5/1 767754BU7 974 885000 PRN SOLE 0 0 0 ROI ACQUISITION CORP UNIT 99/99/9999 74966A203 180 18000 SH SOLE 18000 0 0 ROSETTA GENOMICS LTD SHS M82183118 7 16700 SH SOLE 16700 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 282 4020 SH SOLE 4020 0 0 ROYCE FOCUS TR COM 78080N108 122 17595 SH SOLE 17595 0 0 RSC HOLDINGS INC COM 74972L102 1481 65555 SH SOLE 65555 0 0 RTI INTL METALS INC NOTE 3.000%12/0 74973WAA5 1432 1400000 PRN SOLE 0 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 6047 3225000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 802 800000 PRN SOLE 0 0 0 SERACARE LIFE SCIENCES INC D COM 81747T104 102 25612 SH SOLE 25612 0 0 SIGNATURE BK NEW YORK N Y *W EXP 12/12/201 82669G112 1012 25320 SH SOLE 25320 0 0 SINA CORP ORD G81477104 9740 149843 SH SOLE 149843 0 0 SINOHUB INC COM 82935L101 11 19984 SH SOLE 19984 0 0 SLM CORP COM 78442P106 2534 160790 SH SOLE 160790 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 3335 2925000 PRN SOLE 0 0 0 SOLUTIA INC COM NEW 834376501 2109 75490 SH SOLE 75490 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 9150 6000000 PRN SOLE 0 0 0 SONOSITE INC NOTE 3.750% 7/1 83568GAA2 709 500000 PRN SOLE 0 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 1911 1500000 PRN SOLE 0 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 2813 2900000 PRN SOLE 0 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 236 250000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.125% 7/1 860370AH8 1153 1175000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.375% 7/1 860370AK1 3846 3950000 PRN SOLE 0 0 0 STEWART INFORMATION SVCS COR NOTE 6.000%10/1 860372AB7 6279 4925000 PRN SOLE 0 0 0 SUNPOWER CORP DBCV 4.750% 4/1 867652AC3 1367 1450000 PRN SOLE 0 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 1170 44382 SH SOLE 44382 0 0 SUREWEST 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UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 5344 4500000 PRN SOLE 0 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 818 17363 SH SOLE 17363 0 0 UNIVERSAL BUSINESS PMT SOL A COM 913384103 276 47952 SH SOLE 47952 0 0 UNIVERSAL BUSINESS PMT SOL A *W EXP 05/09/201 913384111 17 47952 SH SOLE 47952 0 0 VALLEY NATL BANCORP COM 919794107 601 46413 SH SOLE 46413 0 0 VECTOR GROUP LTD DBCV 6/1 92240MAL2 304 270000 PRN SOLE 0 0 0 VECTOR GROUP LTD FRNT 11/1 92240MAS7 8030 6130000 PRN SOLE 0 0 0 VENOCO INC COM 92275P307 1224 112947 SH SOLE 112947 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 13787 10750000 PRN SOLE 0 0 0 VERTEX PHARMACEUTICALS INC COM 92532F100 1329 32400 SH SOLE 32400 0 0 VIACOM INC NEW CL B 92553P201 1788 37667 SH SOLE 37667 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 7969 5200000 PRN SOLE 0 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 1547 900000 PRN SOLE 0 0 0 VITESSE SEMICONDUCTOR CORP COM NEW 928497304 394 105858 SH SOLE 105858 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 2149 1925 SH SOLE 1925 0 0 WELLS FARGO ADVANTAGE MULTI COM SHS 94987D101 213 14056 SH SOLE 14056 0 0 WESCO INTL INC COM 95082P105 415 6351 SH SOLE 6351 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 4208 4500000 PRN SOLE 0 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 11883 6275000 PRN SOLE 0 0 0 WHITING PETE CORP NEW COM 966387102 9652 177746 SH SOLE 177746 0 0 WHITING PETE CORP NEW PERP PFD CONV 966387201 297 1104 SH SOLE 1104 0 0 WINTRUST FINANCIAL CORP *W EXP 12/19/201 97650W157 440 25071 SH SOLE 25071 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 1721 1350000 PRN SOLE 0 0 0 ZOLL MED CORP COM 989922109 2288 24700 SH SOLE 24700 0 0