--- --------------------- ---------------------------- as of Sept. 30, 2011
Portfolio Holdings for --- --------------------- ----------------------------
--- --------------------- ---------------------------- holds 127 positions in its portfolio as reported in the September 2011 quarterly 13F filing
| Company (Ticker) | Portfolio Weight | Valued At | Change in Shares | Share Count | Share Price |
|---|---|---|---|---|---|
| Spdr S&p 500 Etf (SPY) | 35.9 | $491M | 4.3M | 113.15 | |
| SPDR Gold Trust (GLD) | 3.8 | $52M | 330k | 158.06 | |
| CUBIST PHARM CONVERTIBLE security | 3.0 | $41M | 30M | 1.36 | |
| Annaly Cap Mgmt Inc note 4.000% 2/1 | 2.8 | $39M | 34M | 1.14 | |
| iShares Russell 2000 Index (IWM) | 2.7 | $37M | 573k | 64.30 | |
| E M C Corp Mass note 1.750%12/0 | 2.4 | $33M | 25M | 1.30 | |
| Virgin Media Inc note 6.500%11/1 | 2.4 | $32M | 22M | 1.50 | |
| Netapp Inc note 1.750% 6/0 | 1.9 | $26M | 21M | 1.21 | |
| Vodafone | 1.9 | $26M | 1.0M | 25.66 | |
| Microchip Technology Inc sdcv 2.125%12/1 | 1.8 | $25M | 21M | 1.15 | |
| SPDR S&P Retail (XRT) | 1.7 | $23M | 500k | 46.22 | |
| Texas Industries | 1.5 | $21M | 650k | 31.74 | |
| Financial Select Sector SPDR (XLF) | 1.4 | $20M | 1.7M | 11.81 | |
| BP (BP) | 1.3 | $18M | 500k | 36.07 | |
| Mylan Inc note 3.750% 9/1 | 1.3 | $18M | 12M | 1.45 | |
| Covanta Holding Conv conv bnd | 1.3 | $17M | 16M | 1.08 | |
| Sensata Technologies Hldg Bv | 1.2 | $16M | 600k | 26.46 | |
| Brookdale Senior Living note | 0.9 | $13M | 17M | 0.75 | |
| Comcast Corporation (CMCSA) | 0.9 | $13M | 600k | 20.92 | |
| NII Holdings | 0.9 | $12M | 450k | 26.95 | |
| DISH Network | 0.9 | $12M | 478k | 25.05 | |
| Ralph Lauren Corp (RL) | 0.8 | $12M | 90k | 129.70 | |
| Motorola Mobility Holdings | 0.8 | $11M | 300k | 37.78 | |
| Mf Global Hldgs Ltd note 3.375% 8/0 | 0.8 | $11M | 14M | 0.78 | |
| Hldgs (UAL) | 0.8 | $11M | 540k | 19.38 | |
| FedEx Corporation (FDX) | 0.7 | $10M | 150k | 67.68 | |
| Notes | 0.7 | $10M | 5.0M | 2.04 | |
| Whirlpool Corporation (WHR) | 0.7 | $10M | 200k | 49.91 | |
| Enpro Industries Inc note | 0.7 | $10M | 9.0M | 1.11 | |
| Genworth Financial (GNW) | 0.7 | $9.8M | 1.7M | 5.74 | |
| National Finl Partners Corp note 4.000% 6/1 | 0.7 | $9.3M | 8.7M | 1.06 | |
| Exxon Mobil Corporation (XOM) | 0.7 | $9.1M | 125k | 72.63 | |
| Sba Communications Corp note 4.000%10/0 | 0.7 | $9.0M | 7.0M | 1.28 | |
| Equinix | 0.7 | $8.9M | 100k | 88.83 | |
| Freeport-McMoRan Copper & Gold (FCX) | 0.6 | $7.6M | 250k | 30.45 | |
| Caterpillar (CAT) | 0.5 | $7.4M | 100k | 73.84 | |
| Textron (TXT) | 0.5 | $7.1M | 400k | 17.64 | |
| Cephalon Inc note 2.000% 6/0 | 0.5 | $7.0M | 4.0M | 1.74 | |
| Penn National Gaming (PENN) | 0.5 | $6.7M | 200k | 33.29 | |
| Blackboard | 0.5 | $6.7M | 150k | 44.66 | |
| General Motors Company (GM) | 0.5 | $6.6M | 327k | 20.18 | |
| Radian Group Inc note 3.000%11/1 | 0.5 | $6.4M | 13M | 0.51 | |
| Coach | 0.5 | $6.3M | 122k | 51.83 | |
| News Corporation | 0.5 | $6.2M | 400k | 15.60 | |
| Metlife Inc 5% 10/0/14 Conv Pr cv prf | 0.5 | $6.3M | 112k | 56.56 | |
| Alliance Data Systems Corp note 1.750% 8/0 | 0.4 | $5.7M | 4.5M | 1.26 | |
| Dow Chemical Company | 0.4 | $5.3M | 236k | 22.46 | |
| Hess (HES) | 0.4 | $5.2M | 100k | 52.46 | |
| Cedar Fair (FUN) | 0.4 | $5.1M | 270k | 18.90 | |
| E M C Corp Mass note 1.750%12/0 | 0.4 | $4.9M | 3.5M | 1.40 | |
| Transocean (RIG) | 0.3 | $4.8M | 100k | 47.74 | |
| Ford Motor Company (F) | 0.3 | $4.8M | 500k | 9.67 | |
| Arvinmeritor Inc frnt 4.000% 2/1 | 0.3 | $4.8M | 7.0M | 0.69 | |
| Baker Hughes Incorporated | 0.3 | $4.6M | 100k | 46.15 | |
| Gilead Sciences conv | 0.3 | $4.6M | 4.3M | 1.07 | |
| Dillard's (DDS) | 0.3 | $4.3M | 100k | 43.48 | |
| Huntsman Corporation (HUN) | 0.3 | $4.4M | 450k | 9.67 | |
| EV Energy Partners | 0.3 | $4.3M | 60k | 71.68 | |
| Melco Crown Entertainment (MLCO) | 0.3 | $4.2M | 500k | 8.31 | |
| Charter Communications | 0.3 | $3.8M | 81k | 46.84 | |
| Intermune Inc note 2.500% 9/1 | 0.3 | $3.8M | 4.1M | 0.93 | |
| Time Warner Cable | 0.3 | $3.8M | 60k | 62.67 | |
| Crown Castle International | 0.3 | $3.7M | 90k | 40.67 | |
| Ramco-gershenson Pptys Tr perp pfd-d cv | 0.2 | $3.4M | 91k | 37.43 | |
| Southwestern Energy Company (SWN) | 0.2 | $3.3M | 100k | 33.33 | |
| US Airways | 0.2 | $3.2M | 590k | 5.50 | |
| Key Energy Services | 0.2 | $3.3M | 350k | 9.49 | |
| Freescale Semiconductor Holdin | 0.2 | $3.3M | 300k | 11.03 | |
| Pulte (PHM) | 0.2 | $3.2M | 800k | 3.95 | |
| News Corporation | 0.2 | $3.1M | 200k | 15.48 | |
| Ppl Corporation 8.75% pfd cv | 0.2 | $3.1M | 57k | 54.39 | |
| Ubs Ag Cmn | 0.2 | $3.0M | 260k | 11.43 | |
| Hca Holdings (HCA) | 0.2 | $3.0M | 150k | 20.16 | |
| Home Inns & Hotels Management | 0.2 | $2.6M | 100k | 25.77 | |
| Cimarex Energy | 0.2 | $2.5M | 45k | 55.69 | |
| Industries N shs - a - (LYB) | 0.2 | $2.4M | 100k | 24.43 | |
| International Paper Company (IP) | 0.2 | $2.3M | 100k | 23.25 | |
| Newell Rubbermaid (NWL) | 0.2 | $2.4M | 200k | 11.87 | |
| Wendy's/arby's Group (WEN) | 0.2 | $2.3M | 500k | 4.59 | |
| Forest Oil Corporation | 0.2 | $2.2M | 150k | 14.40 | |
| Penn Virginia Corporation | 0.2 | $2.2M | 400k | 5.57 | |
| CapitalSource | 0.1 | $2.1M | 338k | 6.14 | |
| Sara Lee | 0.1 | $2.0M | 125k | 16.35 | |
| Boise | 0.1 | $2.1M | 400k | 5.17 | |
| Standard Pacific | 0.1 | $2.0M | 800k | 2.47 | |
| Yahoo! | 0.1 | $2.0M | 150k | 13.17 | |
| Goodyear Tire Rubr Pfd 5.875% p | 0.1 | $1.9M | 50k | 38.74 | |
| PharMerica Corporation | 0.1 | $1.8M | 126k | 14.27 | |
| Synovus Finl Corp unit 99/99/9999 | 0.1 | $1.6M | 150k | 10.98 | |
| Leap Wireless International | 0.1 | $1.6M | 235k | 6.91 | |
| Ypf Sa (YPF) | 0.1 | $1.7M | 50k | 34.22 | |
| Dana Holding Corporation (DAN) | 0.1 | $1.7M | 160k | 10.50 | |
| Sprint Nextel Corporation | 0.1 | $1.5M | 500k | 3.04 | |
| McClatchy Company | 0.1 | $1.5M | 1.1M | 1.34 | |
| Ciena Corporation (CIEN) | 0.1 | $1.5M | 132k | 11.20 | |
| D.R. Horton (DHI) | 0.1 | $1.4M | 150k | 9.04 | |
| Georgia Gulf Corporation | 0.1 | $1.4M | 100k | 13.83 | |
| MGM Resorts International. (MGM) | 0.1 | $1.4M | 150k | 9.29 | |
| Solutia | 0.1 | $1.3M | 100k | 12.85 | |
| CVR Energy (CVI) | 0.1 | $1.3M | 60k | 21.13 | |
| Dryships Inc. note 5.000%12/0 | 0.1 | $1.1M | 1.8M | 0.60 | |
| Williams Companies (WMB) | 0.1 | $1.1M | 45k | 24.34 | |
| Cumulus Media | 0.1 | $1.1M | 400k | 2.84 | |
| Jones Group | 0.1 | $921k | 100k | 9.21 | |
| General Mtrs Co *w exp 07/10/201 | 0.1 | $1.0M | 87k | 11.64 | |
| Forest City Enterprises Inc note 5.000%10/1 | 0.1 | $1.0M | 1.0M | 1.02 | |
| Textron Inc note 4.500% 5/0 | 0.1 | $760k | 500k | 1.52 | |
| El Paso Corporation | 0.1 | $874k | 50k | 17.48 | |
| Alpha Natural Resources | 0.1 | $884k | 50k | 17.68 | |
| Home Inns & Hotels Mgmt Inc note 2.000%12/1 | 0.1 | $858k | 1.2M | 0.73 | |
| Lennar Corporation (LEN) | 0.1 | $681k | 50k | 13.54 | |
| Office Depot | 0.1 | $618k | 300k | 2.06 | |
| Rite Aid Corporation | 0.1 | $735k | 750k | 0.98 | |
| InterDigital (IDCC) | 0.1 | $699k | 15k | 46.60 | |
| General Mtrs Co *w exp 07/10/201 | 0.1 | $690k | 87k | 7.93 | |
| Insulet Corporation Cvt 3.75 0 convert | 0.1 | $662k | 736k | 0.90 | |
| AMR Corporation | 0.0 | $592k | 200k | 2.96 | |
| Walter Energy | 0.0 | $600k | 10k | 60.00 | |
| CenterPoint Energy (CNP) | 0.0 | $491k | 25k | 19.64 | |
| MF Global Holdings | 0.0 | $503k | 121k | 4.15 | |
| Rait Financial Trust - Putable At 100 conv bond | 0.0 | $504k | 752k | 0.67 | |
| CSX Corporation (CSX) | 0.0 | $467k | 25k | 18.68 | |
| Cemex SAB de CV (CX) | 0.0 | $453k | 143k | 3.16 | |
| Verso Paper | 0.0 | $206k | 123k | 1.67 | |
| A123 Sys Inc note 3.750% 4/1 | 0.0 | $300k | 500k | 0.60 | |
| China Med Technologies Inc note 6.250%12/1 | 0.0 | $135k | 250k | 0.54 | |
| Citigroup Inc Com Us cmn | 0.0 | $71k | 162k | 0.44 |
