The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete. | |||||||||||||||||
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UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F INFORMATION TABLE |
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| COLUMN 1 | COLUMN 2 | COLUMN 3 | COLUMN 4 | COLUMN 5 | COLUMN 6 | COLUMN 7 | COLUMN 8 | ||||
| VALUE | SHRS OR | SH/ | PUT/ | INVESTMENT | OTHER | VOTING AUTHORITY | |||||
| NAME OF ISSUER | TITLE OF CLASS | CUSIP | (x$1000) | PRN AMT | PRN | CALL | DISCRETION | MANAGER | SOLE | SHARED | NONE |
| AG MTG INVT TR INC | COM | 001228105 | 6,256 | 400,000 | SH | SOLE | 400,000 | 0 | 0 | ||
| AIRTRAN HLDGS INC | NOTE 5.250%11/0 | 00949PAD0 | 6,564 | 3,881,000 | PRN | SOLE | 3,881,000 | 0 | 0 | ||
| AK STL CORP | NOTE 5.000%11/1 | 001546AP5 | 18,485 | 11,450,000 | PRN | SOLE | 11,450,000 | 0 | 0 | ||
| ALCOA INC | NOTE 5.250% 3/1 | 013817AT8 | 34,781 | 21,000,000 | PRN | SOLE | 21,000,000 | 0 | 0 | ||
| ALLIANCE DATA SYSTEMS CORP | NOTE 4.750% 5/1 | 018581AC2 | 126,471 | 22,927,000 | PRN | SOLE | 22,927,000 | 0 | 0 | ||
| ALPHA NATURAL RESOURCES INC | NOTE 4.875%12/1 | 02076XAF9 | 5,933 | 5,500,000 | PRN | SOLE | 5,500,000 | 0 | 0 | ||
| AMERICAN AIRLS GROUP INC | COM | 02376R102 | 10,010 | 396,437 | SH | SOLE | 396,437 | 0 | 0 | ||
| AMERICAN AIRLS GROUP INC | COM | 02376R102 | 6,313 | 250,000 | SH | Put | SOLE | 250,000 | 0 | 0 | |
| AMERICAN CAP MTG INVT CORP | COM | 02504A104 | 3,457 | 198,000 | SH | SOLE | 198,000 | 0 | 0 | ||
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.000% 8/0 | 02917TAA2 | 1,999 | 2,000,000 | PRN | SOLE | 2,000,000 | 0 | 0 | ||
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.750%12/1 | 02917TAB0 | 3,039 | 3,000,000 | PRN | SOLE | 3,000,000 | 0 | 0 | ||
| ARCELORMITTAL SA LUXEMBOURG | MAND CV NT 16 | L0302D178 | 26,555 | 1,030,000 | PRN | SOLE | 1,030,000 | 0 | 0 | ||
| BIOMARIN PHARMACEUTICAL INC | NOTE 1.875% 4/2 | 09061GAD3 | 24,506 | 7,047,000 | PRN | SOLE | 7,047,000 | 0 | 0 | ||
| BLACKSTONE MTG TR INC | NOTE 5.250%12/0 | 09257WAA8 | 5,126 | 4,870,000 | PRN | SOLE | 4,870,000 | 0 | 0 | ||
| CALLAWAY GOLF CO | NOTE 3.750% 8/1 | 131193AC8 | 4,925 | 4,000,000 | PRN | SOLE | 4,000,000 | 0 | 0 | ||
| CEMEX SAB DE CV | NOTE 3.750% 3/1 | 151290BC6 | 69,169 | 51,000,000 | PRN | SOLE | 51,000,000 | 0 | 0 | ||
| CINEDIGM CORP | COM | 172406100 | 2,783 | 1,377,613 | SH | SOLE | 1,377,613 | 0 | 0 | ||
| CONSUMER PORTFOLIO SVCS INC | COM | 210502100 | 3,844 | 409,390 | SH | Call | SOLE | 409,390 | 0 | 0 | |
| CROWN CASTLE INTL CORP | CNV PFD STK SR A | 228227500 | 23,939 | 238,500 | SH | SOLE | 238,500 | 0 | 0 | ||
| CUBIST PHARMACEUTICALS INC | COM | 229678107 | 12,500 | 181,500 | SH | SOLE | 181,500 | 0 | 0 | ||
| DOMINION RES INC VA NEW | UNIT 04/01/2013 | 25746U703 | 4,073 | 75,000 | SH | SOLE | 75,000 | 0 | 0 | ||
| DOMINION RES INC VA NEW | UNIT 07/01/2016 | 25746U885 | 12,220 | 225,000 | SH | SOLE | 225,000 | 0 | 0 | ||
| ENERSYS | NOTE 3.375% 6/0 | 29275YAA0 | 20,717 | 11,750,000 | PRN | SOLE | 11,750,000 | 0 | 0 | ||
| FAIRPOINT COMMUNICATIONS INC | COM NEW | 305560302 | 58,001 | 5,128,325 | SH | SOLE | 5,128,325 | 0 | 0 | ||
| FORD MTR CO DEL | COM PAR $0.01 | 345370860 | 16,053 | 1,040,400 | SH | SOLE | 1,040,400 | 0 | 0 | ||
| GAIN CAP HLDGS INC | NOTE 4.125%12/0 | 36268WAA8 | 1,861 | 2,000,000 | PRN | SOLE | 2,000,000 | 0 | 0 | ||
| GENERAL MTRS CO | *W EXP 07/10/201 | 37045V118 | 70,009 | 1,712,972 | SH | SOLE | 1,712,972 | 0 | 0 | ||
| GENERAL MTRS CO | *W EXP 07/10/201 | 37045V126 | 31,044 | 759,587 | SH | SOLE | 759,587 | 0 | 0 | ||
| GENERAL MTRS CO | *W EXP 12/31/201 | 37045V134 | 24,522 | 600,000 | SH | SOLE | 600,000 | 0 | 0 | ||
| HUDSON CITY BANCORP | COM | 443683107 | 21,689 | 2,300,000 | SH | SOLE | 2,300,000 | 0 | 0 | ||
| HUDSON CITY BANCORP | COM | 443683107 | 2,358 | 250,000 | SH | Put | SOLE | 250,000 | 0 | 0 | |
| INTEL CORP | COM | 458140100 | 9,043 | 348,400 | SH | SOLE | 348,400 | 0 | 0 | ||
| JINKOSOLAR HLDG CO LTD | NOTE 4.000% 5/1 | 47759TAA8 | 7,028 | 6,500,000 | PRN | SOLE | 6,500,000 | 0 | 0 | ||
| JOS A BANK CLOTHIERS INC | COM | 480838101 | 4,382 | 80,000 | SH | SOLE | 80,000 | 0 | 0 | ||
| KB HOME | COM | 48666K109 | 890 | 48,700 | SH | SOLE | 48,700 | 0 | 0 | ||
| LAM RESEARCH CORP | COM | 512807108 | 3,338 | 61,300 | SH | SOLE | 61,300 | 0 | 0 | ||
| LENDER PROCESSING SVCS INC | COM | 52602E102 | 33,642 | 900,000 | SH | SOLE | 900,000 | 0 | 0 | ||
| LIFE TECHNOLOGIES CORP | COM | 53217V109 | 113,700 | 1,500,000 | SH | Call | SOLE | 1,500,000 | 0 | 0 | |
| MICROCHIP TECHNOLOGY INC | SDCV 2.125%12/1 | 595017AB0 | 8,678 | 5,000,000 | PRN | SOLE | 5,000,000 | 0 | 0 | ||
| MYLAN INC | NOTE 3.750% 9/1 | 628530AJ6 | 34,427 | 10,500,000 | PRN | SOLE | 10,500,000 | 0 | 0 | ||
| NEWMONT MINING CORP | COM | 651639106 | 4,758 | 206,600 | SH | SOLE | 206,600 | 0 | 0 | ||
| NUANCE COMMUNICATIONS INC | COM | 67020Y100 | 1,107 | 72,800 | SH | SOLE | 72,800 | 0 | 0 | ||
| OCLARO INC | COM NEW | 67555N206 | 799 | 320,963 | SH | SOLE | 320,963 | 0 | 0 | ||
| OFFICE DEPOT INC | COM | 676220106 | 167 | 31,500 | SH | Call | SOLE | 31,500 | 0 | 0 | |
| PHH CORP | NOTE 4.000% 9/0 | 693320AN3 | 10,669 | 10,000,000 | PRN | SOLE | 10,000,000 | 0 | 0 | ||
| PPL CORP | UNIT 99/99/9999S | 69351T114 | 2,637 | 50,000 | SH | SOLE | 50,000 | 0 | 0 | ||
| PRICELINE COM INC | COM NEW | 741503403 | 6,277 | 5,400 | SH | SOLE | 5,400 | 0 | 0 | ||
| PROLOGIS INC | COM | 74340W103 | 7,896 | 213,700 | SH | SOLE | 213,700 | 0 | 0 | ||
| PULSE ELECTRONICS CORP | NOTE 7.000%12/1 | 74586WAA4 | 3,700 | 5,000,000 | PRN | SOLE | 5,000,000 | 0 | 0 | ||
| QUAD / GRAPHICS INC | COM CL A | 747301109 | 57,252 | 2,102,522 | SH | SOLE | 2,102,522 | 0 | 0 | ||
| RAIT FINANCIAL TRUST | NOTE 4.000%10/0 | 749227AB0 | 3,465 | 3,500,000 | PRN | SOLE | 3,500,000 | 0 | 0 | ||
| RESPONSYS INC | COM | 761248103 | 14,664 | 535,000 | SH | SOLE | 535,000 | 0 | 0 | ||
| RLJ ENTMT INC | COM | 74965F104 | 383 | 80,000 | SH | SOLE | 80,000 | 0 | 0 | ||
| RPM INTL INC | COM | 749685103 | 4,242 | 102,200 | SH | SOLE | 102,200 | 0 | 0 | ||
| SOLARFUN POWER HOLDINGS CO L | NOTE 3.500% 1/1 | 83415UAB4 | 4,547 | 5,000,000 | PRN | SOLE | 5,000,000 | 0 | 0 | ||
| SPDR S&P 500 ETF TR | TR UNIT | 78462F103 | 36,938 | 200,000 | SH | Put | SOLE | 200,000 | 0 | 0 | |
| STANLEY BLACK & DECKER INC | UNIT 99/99/9999 | 854502804 | 4,116 | 40,000 | SH | SOLE | 40,000 | 0 | 0 | ||
| STARWOOD PPTY TR INC | NOTE 4.000% 1/1 | 85571BAB1 | 11,616 | 10,500,000 | PRN | SOLE | 10,500,000 | 0 | 0 | ||
| SWIFT TRANSN CO | CL A | 87074U101 | 806 | 36,275 | SH | SOLE | 36,275 | 0 | 0 | ||
| T-MOBILE US INC | COM | 872590104 | 27,921 | 830,000 | SH | SOLE | 830,000 | 0 | 0 | ||
| THERAVANCE INC | NOTE 2.125% 1/1 | 88338TAB0 | 19,626 | 13,500,000 | PRN | SOLE | 13,500,000 | 0 | 0 | ||
| THOMPSON CREEK METALS CO INC | UNIT 99/99/9999 | 884768300 | 5,868 | 450,000 | SH | SOLE | 450,000 | 0 | 0 | ||
| TRINITY INDS INC | COM | 896522109 | 10,670 | 195,700 | SH | SOLE | 195,700 | 0 | 0 | ||
| TRW AUTOMOTIVE INC | NOTE 3.500%12/0 | 87264MAH2 | 29,167 | 11,500,000 | PRN | SOLE | 11,500,000 | 0 | 0 | ||
| UNITED TECHNOLOGIES CORP | COM | 913017109 | 4,552 | 40,000 | SH | SOLE | 40,000 | 0 | 0 | ||
| VANTAGE DRILLING COMPANY | NOTE 7.875% 9/0 | G93205AA3 | 4,107 | 3,495,000 | PRN | SOLE | 3,495,000 | 0 | 0 | ||
| VODAFONE GROUP PLC NEW | SPONS ADR NEW | 92857W209 | 61,913 | 1,575,000 | SH | SOLE | 1,575,000 | 0 | 0 | ||
| WESCO INTL INC | DBCV 6.000% 9/1 | 95082PAH8 | 44,491 | 13,737,000 | PRN | SOLE | 13,737,000 | 0 | 0 | ||
| XILINX INC | SDCV 3.125% 3/1 | 983919AD3 | 18,998 | 12,000,000 | PRN | SOLE | 12,000,000 | 0 | 0 | ||
| ZAIS FINL CORP | COM | 98886K108 | 276 | 17,214 | SH | SOLE | 17,214 | 0 | 0 | ||