0001085146-12-001101.txt : 20120814 0001085146-12-001101.hdr.sgml : 20120814 20120814144332 ACCESSION NUMBER: 0001085146-12-001101 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120630 FILED AS OF DATE: 20120814 DATE AS OF CHANGE: 20120814 EFFECTIVENESS DATE: 20120814 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: 121031999 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 cnh2q2012.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: June 30, 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 August 14, 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: 244 Form 13F Information Table Value Total: $437,156 (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 709 8445 SH SOLE 8445 0 0 ACTUANT CORP CL A NEW 00508X203 378 13930 SH SOLE 13930 0 0 ADVANCED MICRO DEVICES INC NOTE 5.750% 8/1 007903AN7 856 850000 PRN SOLE 0 0 0 ADVENT CLAY CONV SEC INC FD COM 007639107 103 16130 SH SOLE 16130 0 0 AFFORDABLE RESIDENTIAL CMNTY NOTE 7.500% 8/1 00828UAB9 1083 975000 PRN SOLE 0 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 5030 4000000 PRN SOLE 0 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 7191 226500 SH SOLE 226500 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 4292 2859000 PRN SOLE 0 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 2514 25320 SH SOLE 25320 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 1525 1313000 PRN SOLE 0 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 4.750% 5/1 018581AC2 1438 500000 PRN SOLE 0 0 0 ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 5383 5600000 PRN SOLE 0 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 4249 4150000 PRN SOLE 0 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 317 300000 PRN SOLE 0 0 0 ANNALY CAP MGMT INC NOTE 5.000% 5/1 035710AB8 644 650000 PRN SOLE 0 0 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 429 425000 PRN SOLE 0 0 0 ARIBA INC COM NEW 04033V203 1169 26120 SH SOLE 26120 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 220 22000 SH SOLE 22000 0 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 1910 1525000 PRN SOLE 0 0 0 BANCTRUST FINANCIAL GP COM 05978R107 114 38000 SH SOLE 38000 0 0 BARNES GROUP INC COM 067806109 3388 139481 SH SOLE 139481 0 0 BENIHANA INC COM 082047101 813 50491 SH SOLE 50491 0 0 BGS ACQUISITION CORP UNIT 99/99/9999 G1082J126 156 15980 SH SOLE 15980 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 4063 102658 SH SOLE 102658 0 0 BLACKROCK ENH CAP & INC FD I COM 09256A109 176 13753 SH SOLE 13753 0 0 BLACKROCK ENHANCED EQT DIV T COM 09251A104 274 37814 SH SOLE 37814 0 0 BLACKROCK INTL GRWTH & INC T COM BENE INTER 092524107 154 21591 SH SOLE 21591 0 0 BROADWIND ENERGY INC COM 11161T108 4 14703 SH SOLE 14703 0 0 CARNIVAL PLC ADR 14365C103 211 6159 SH SOLE 6159 0 0 CATALYST HEALTH SOLUTIONS IN COM 14888B103 1807 19337 SH SOLE 19337 0 0 CAZADOR ACQUISITION CORPORAT SHS G19867103 330 33408 SH SOLE 33408 0 0 CBRE CLARION GLOBAL REAL EST COM 12504G100 194 24463 SH SOLE 24463 0 0 CE FRANKLIN LTD COM 125151100 455 36459 SH SOLE 36459 0 0 CEMEX SAB DE CV NOTE 4.875% 3/1 151290AV5 2663 3000000 PRN SOLE 0 0 0 CEMEX SAB DE CV NOTE 3.250% 3/1 151290BB8 1366 1600000 PRN SOLE 0 0 0 CEMEX SAB DE CV NOTE 3.750% 3/1 151290BC6 757 900000 PRN SOLE 0 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 291 335000 PRN SOLE 0 0 0 CENTRAL GARDEN & PET CO COM 153527106 190 18310 SH SOLE 18310 0 0 CH ENERGY GROUP INC COM 12541M102 798 12141 SH SOLE 12141 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 2040 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 536 28823 SH SOLE 28823 0 0 CHINA GROWTH EQUITY INV LTD UNIT 05/14/2016 G2114K115 199 20000 SH SOLE 20000 0 0 CITIZENS SOUTH BKG CP DEL COM 176682102 103 15152 SH SOLE 15152 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAC7 1801 1150000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAE3 2436 1555000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAF0 70 45000 PRN SOLE 0 0 0 COHEN & STEERS GLOBAL INC BL COM 19248M103 163 16249 SH SOLE 16249 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 6058 3375000 PRN SOLE 0 0 0 COLE KENNETH PRODTNS INC CL A 193294105 244 16237 SH SOLE 16237 0 0 COLLECTIVE BRANDS INC COM 19421W100 986 46015 SH SOLE 46015 0 0 COMPUCREDIT HLDGS CORP COM 20478T107 140 38740 SH SOLE 38740 0 0 COMTECH TELECOMMUNICATIONS C NOTE 3.000% 5/0 205826AF7 850 800000 PRN SOLE 0 0 0 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 253 43490 SH SOLE 43490 0 0 CONVERGYS CORP SDCV 5.750% 9/1 212485AE6 4538 3000000 PRN SOLE 0 0 0 COOPER INDUSTRIES PLC SHS G24140108 3089 45307 SH SOLE 45307 0 0 CORMEDIX INC COM 21900C100 14 64442 SH SOLE 64442 0 0 CORMEDIX INC *W EXP 03/24/201 21900C118 1 37700 SH SOLE 37700 0 0 CREDO PETE CORP COM PAR $0.10 225439207 195 13454 SH SOLE 13454 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 7089 4750000 PRN SOLE 0 0 0 DENDREON CORP NOTE 4.750% 6/1 24823QAB3 113 100000 PRN SOLE 0 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 2960 2750000 PRN SOLE 0 0 0 DEXCOM INC COM 252131107 249 19184 SH SOLE 19184 0 0 DIGITAL RLTY TR INC COM 253868103 1426 18991 SH SOLE 18991 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1650 1575000 PRN SOLE 0 0 0 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 713 8804 SH SOLE 8804 0 0 EASYLINK SERVICES INTL CORP CL A 277858106 659 91010 SH SOLE 91010 0 0 EATON VANCE ENH EQTY INC FD COM 278277108 227 21402 SH SOLE 21402 0 0 EATON VANCE ENHANCED EQ INC COM 278274105 237 22326 SH SOLE 22326 0 0 EATON VANCE RISK MNGD DIV EQ COM 27829G106 143 13962 SH SOLE 13962 0 0 EATON VANCE TAX ADVT DIV INC COM 27828G107 221 13815 SH SOLE 13815 0 0 EATON VANCE TAX MNGD GBL DV COM 27829F108 131 15737 SH SOLE 15737 0 0 EATON VANCE TAX MNGED BUY WR COM 27828X100 255 18953 SH SOLE 18953 0 0 EATON VANCE TX ADV GLB DIV O COM 27828U106 247 13720 SH SOLE 13720 0 0 EATON VANCE TX MGD DIV EQ IN COM 27828N102 196 21633 SH SOLE 21633 0 0 EATON VANCE TX MNG BY WRT OP COM 27828Y108 233 18744 SH SOLE 18744 0 0 EATON VANCE TXMGD GL BUYWR O COM 27829C105 180 17140 SH SOLE 17140 0 0 EDELMAN FINL GROUP INC COM 27943Q105 756 86854 SH SOLE 86854 0 0 ELSTER GROUP SE SPONSORED ADR 290348101 390 19203 SH SOLE 19203 0 0 ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 11883 9329000 PRN SOLE 0 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 1348 1325000 PRN SOLE 0 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 9070 4125000 PRN SOLE 0 0 0 ERESEARCHTECHNOLOGY INC COM 29481V108 811 101539 SH SOLE 101539 0 0 EXIDE TECHNOLOGIES FRNT 9/1 302051AL1 460 500000 PRN SOLE 0 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 486 500000 PRN SOLE 0 0 0 EXTORRE GOLD MINES LTD COM 30227B109 126 30667 SH SOLE 30667 0 0 FINISAR CORP COM NEW 31787A507 1605 107283 SH SOLE 107283 0 0 FIRST CALIFORNIA FINANCIAL G COM NEW 319395109 83 12044 SH SOLE 12044 0 0 FIRSTSERVICE CORP SDCV 6.500%12/3 33761NAA7 1153 1000000 PRN SOLE 0 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 113 11745 SH SOLE 11745 0 0 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 980 975000 PRN SOLE 0 0 0 GASCO ENERGY INC COM 367220100 33 187169 SH SOLE 187169 0 0 GENCORP INC SDCV 4.062%12/3 368682AN0 3184 3125000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 598 625000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 1590 1625000 PRN SOLE 0 0 0 GENERAL GROWTH PPTYS INC NEW COM 370023103 201 11092 SH SOLE 11092 0 0 GEN-PROBE INC NEW COM 36866T103 845 10275 SH SOLE 10275 0 0 GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 1526 1175000 PRN SOLE 0 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 434 500000 PRN SOLE 0 0 0 GOODRICH CORP COM 382388106 712 5612 SH SOLE 5612 0 0 GOODRICH PETE CORP NOTE 5.000%10/0 382410AC2 375 400000 PRN SOLE 0 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 2378 2000000 PRN SOLE 0 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 246 15000 SH SOLE 15000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 12997 7800000 PRN SOLE 0 0 0 HICKS ACQUISITION CO II INC COM 429090103 298 30000 SH SOLE 30000 0 0 HICKS ACQUISITION CO II INC *W EXP 07/14/201 429090111 30 60000 SH SOLE 60000 0 0 HUMAN GENOME SCIENCES INC COM 444903108 170 12977 SH SOLE 12977 0 0 HUTCHINSON TECHNOLOGY INC NOTE 8.500% 1/1 448407AG1 65 95000 PRN SOLE 0 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 612 500000 PRN SOLE 0 0 0 INTEGRAMED AMER INC COM NEW 45810N302 222 16004 SH SOLE 16004 0 0 INTEL CORP COM 458140100 250 9387 SH SOLE 9387 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 1051 925000 PRN SOLE 0 0 0 INTERLINE BRANDS INC COM 458743101 663 26452 SH SOLE 26452 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 2030 2000000 PRN SOLE 0 0 0 INVESCO VAN KAMP DYN CRDT OP COM 46132R104 223 18996 SH SOLE 18996 0 0 JAKKS PAC INC COM 47012E106 628 39202 SH SOLE 39202 0 0 JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 768 750000 PRN SOLE 0 0 0 JETBLUE AIRWAYS CORP DBCV 5.500%10/1 477143AD3 3889 3000000 PRN SOLE 0 0 0 KANSAS CITY SOUTHERN COM NEW 485170302 2838 40793 SH SOLE 40793 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 2800 25000 SH SOLE 25000 0 0 KKR FINANCIAL HLDGS LLC NOTE 7.000% 7/1 48248AAB4 101 100000 PRN SOLE 0 0 0 KNOLOGY INC COM 499183804 994 50546 SH SOLE 50546 0 0 KOHLBERG CAPITAL CORP NOTE 8.750% 3/1 500233AB7 254 250000 PRN SOLE 0 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 858 875000 PRN SOLE 0 0 0 LENNAR CORP CL B 526057302 227 9449 SH SOLE 9449 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 9642 8785000 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 1927 1375000 PRN SOLE 0 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2478 2500000 PRN SOLE 0 0 0 MADISON CLAYMORE CALL &EQTY COM 556582104 160 20910 SH SOLE 20910 0 0 MANNKIND CORP COM 56400P201 163 71032 SH SOLE 71032 0 0 MANNKIND CORP NOTE 3.750%12/1 56400PAA0 405 750000 PRN SOLE 0 0 0 MANNKIND CORP NOTE 5.750% 8/1 56400PAC6 652 1320000 PRN SOLE 0 0 0 MASTEC INC COM 576323109 1867 124146 SH SOLE 124146 0 0 MASTEC INC NOTE 4.000% 6/1 576323AL3 483 400000 PRN SOLE 0 0 0 MASTEC INC NOTE 4.250%12/1 576323AM1 588 475000 PRN SOLE 0 0 0 MEDTOX SCIENTIFIC INC COM NEW 584977201 491 18196 SH SOLE 18196 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 479 475000 PRN SOLE 0 0 0 MENTOR GRAPHICS CORP COM 587200106 331 22058 SH SOLE 22058 0 0 METLIFE INC UNIT 99/99/9999 59156R116 1304 21087 SH SOLE 21087 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 3590 5250000 PRN SOLE 0 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 4039 3225000 PRN SOLE 0 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 279 275000 PRN SOLE 0 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 3770 8000000 PRN SOLE 0 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 4987 4050000 PRN SOLE 0 0 0 NEOSTEM INC COM NEW 640650305 6 12000 SH SOLE 12000 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 4016 3500000 PRN SOLE 0 0 0 NETWORK ENGINES INC COM 64121A107 74 52228 SH SOLE 52228 0 0 NETWORK EQUIP TECHNOLOGIES COM 641208103 80 61352 SH SOLE 61352 0 0 NORTHGATE MINERALS CORP NOTE 3.500%10/0 666416AB8 436 400000 PRN SOLE 0 0 0 NUVEEN EQTY PRM OPPORTUNITYF COM 6706EM102 197 16560 SH SOLE 16560 0 0 NUVEEN EQUITY PREM & GROWTH COM 6706EW100 232 18173 SH SOLE 18173 0 0 NUVEEN EQUITY PREM ADV FD COM 6706ET107 263 21852 SH SOLE 21852 0 0 NUVEEN EQUITY PREM INCOME FD COM 6706ER101 217 17953 SH SOLE 17953 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 1100 13129 SH SOLE 13129 0 0 OCWEN FINL CORP COM NEW 675746309 395 21034 SH SOLE 21034 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 132 100000 PRN SOLE 0 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 541 500000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 6441 5700000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 310 300000 PRN SOLE 0 0 0 OPNEXT INC COM 68375V105 90 71783 SH SOLE 71783 0 0 P F CHANGS CHINA BISTRO INC COM 69333Y108 993 19294 SH SOLE 19294 0 0 PATRIOT COAL CORP NOTE 3.250% 5/3 70336TAA2 138 500000 PRN SOLE 0 0 0 PDL BIOPHARMA INC NOTE 2.875% 2/1 69329YAE4 4490 3875000 PRN SOLE 0 0 0 PEP BOYS MANNY MOE & JACK COM 713278109 450 45474 SH SOLE 45474 0 0 PETROLEUM & RES CORP COM 716549100 231 9651 SH SOLE 9651 0 0 PHARMERICA CORP COM 71714F104 190 17380 SH SOLE 17380 0 0 PHH CORP NOTE 6.000% 6/1 693320AQ6 1086 675000 PRN SOLE 0 0 0 PHOTRONICS INC NOTE 5.500%10/0 719405AF9 9312 6450000 PRN SOLE 0 0 0 PIER 1 IMPORTS INC COM 720279108 8632 525368 SH SOLE 525368 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 704 475000 PRN SOLE 0 0 0 PLX TECHNOLOGY INC COM 693417107 820 129061 SH SOLE 129061 0 0 PMC-SIERRA INC NOTE 2.250%10/1 69344FAD8 647 645000 PRN SOLE 0 0 0 POWERWAVE TECHNOLOGIES INC COM NEW 739363307 203 279405 SH SOLE 279405 0 0 PPL CORP UNIT 99/99/9999S 69351T114 471 8800 SH SOLE 8800 0 0 PPL CORP UNIT 99/99/9999 69351T601 655 12250 SH SOLE 12250 0 0 PRIME ACQUISITION CORP SHS G72436101 213 22092 SH SOLE 22092 0 0 PROGRESS ENERGY INC COM 743263105 3225 53603 SH SOLE 53603 0 0 PROLOGIS NOTE 3.250% 3/1 74340XAT8 1876 1700000 PRN SOLE 0 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 770 1300000 PRN SOLE 0 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 2765 409659 SH SOLE 409659 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 6481 5000000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 297 300000 PRN SOLE 0 0 0 RITE AID CORP NOTE 8.500% 5/1 767754BU7 952 885000 PRN SOLE 0 0 0 ROI ACQUISITION CORP UNIT 99/99/9999 74966A203 180 18000 SH SOLE 18000 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 758 11242 SH SOLE 11242 0 0 ROYAL GOLD INC NOTE 2.875% 6/1 780287AA6 342 325000 PRN SOLE 0 0 0 ROYCE FOCUS TR COM 78080N108 95 15071 SH SOLE 15071 0 0 RTI INTL METALS INC NOTE 3.000%12/0 74973WAA5 1122 1100000 PRN SOLE 0 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 7246 4225000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 792 800000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 181 175000 PRN SOLE 0 0 0 SIGNATURE BK NEW YORK N Y *W EXP 12/12/201 82669G112 946 25320 SH SOLE 25320 0 0 SINOHUB INC COM 82935L101 3 10150 SH SOLE 10150 0 0 SMITHFIELD FOODS INC NOTE 4.000% 6/3 832248AR9 3660 3275000 PRN SOLE 0 0 0 SOLUTIA INC COM NEW 834376501 2338 83355 SH SOLE 83355 0 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 6864 5250000 PRN SOLE 0 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 2618 2250000 PRN SOLE 0 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 1977 2025000 PRN SOLE 0 0 0 SRS LABS INC COM 78464M106 360 39986 SH SOLE 39986 0 0 STANDARD MICROSYSTEMS CORP COM 853626109 1042 28235 SH SOLE 28235 0 0 STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 226 250000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.125% 7/1 860370AH8 1172 1175000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.375% 7/1 860370AK1 3965 3950000 PRN SOLE 0 0 0 STEWART INFORMATION SVCS COR NOTE 6.000%10/1 860372AB7 6612 4925000 PRN SOLE 0 0 0 SUN HEALTHCARE GROUP INC NEW COM 86677E100 243 29051 SH SOLE 29051 0 0 SUNPOWER CORP DBCV 4.750% 4/1 867652AC3 1301 1450000 PRN SOLE 0 0 0 SUREWEST COMMUNICATIONS COM 868733106 1026 48689 SH SOLE 48689 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 4.375% 6/0 874054AA7 3538 3050000 PRN SOLE 0 0 0 TALBOTS INC COM 874161102 510 202328 SH SOLE 202328 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 6196 4650000 PRN SOLE 0 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 22070 11450000 PRN SOLE 0 0 0 THOMPSON CREEK METALS CO INC UNIT 99/99/9999 884768300 1287 68850 SH SOLE 68850 0 0 THORATEC CORP COM NEW 885175307 1910 56866 SH SOLE 56866 0 0 TII NETWORK TECHNOLOGIES INC COM NEW 872479209 36 17012 SH SOLE 17012 0 0 TREX CO INC NOTE 6.000% 7/0 89531PAA3 2417 1750000 PRN SOLE 0 0 0 TRIO MERGER CORP COM 896697109 110 11400 SH SOLE 11400 0 0 TRIPADVISOR INC COM 896945201 231 5169 SH SOLE 5169 0 0 TRW AUTOMOTIVE INC NOTE 3.500%12/0 87264MAH2 329 225000 PRN SOLE 0 0 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 1175 1175000 PRN SOLE 0 0 0 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 4682 1500000 PRN SOLE 0 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 4070 4000000 PRN SOLE 0 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 857 17363 SH SOLE 17363 0 0 UNIVERSAL BUSINESS PMT SOL A COM 913384103 288 47952 SH SOLE 47952 0 0 UNIVERSAL BUSINESS PMT SOL A *W EXP 05/09/201 913384111 7 47952 SH SOLE 47952 0 0 VECTOR GROUP LTD DBCV 6/1 92240MAL2 290 270000 PRN SOLE 0 0 0 VECTOR GROUP LTD FRNT 11/1 92240MAS7 7762 6130000 PRN SOLE 0 0 0 VENOCO INC COM 92275P307 806 80510 SH SOLE 80510 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 15163 10850000 PRN SOLE 0 0 0 VIACOM INC NEW CL B 92553P201 934 19874 SH SOLE 19874 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 7800 5200000 PRN SOLE 0 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 3023 2125000 PRN SOLE 0 0 0 VITESSE SEMICONDUCTOR CORP COM NEW 928497304 281 105858 SH SOLE 105858 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 2166 1925 SH SOLE 1925 0 0 WELLS FARGO ADVANTAGE MULTI COM SHS 94987D101 214 14056 SH SOLE 14056 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 4325 2000000 PRN SOLE 0 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 13632 6275000 PRN SOLE 0 0 0 WHITING PETE CORP NEW COM 966387102 7309 177746 SH SOLE 177746 0 0 WHITING PETE CORP NEW PERP PFD CONV 966387201 211 1104 SH SOLE 1104 0 0 WINTRUST FINANCIAL CORP *W EXP 12/19/201 97650W157 417 25071 SH SOLE 25071 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 1617 1350000 PRN SOLE 0 0 0