SSI Investment Management

SSI Investment Management as of Dec. 31, 2010

Portfolio Holdings for SSI Investment Management

SSI Investment Management holds 292 positions in its portfolio as reported in the December 2010 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Spdr S&p 500 Etf (SPY) 5.7 $58M 463k 125.75
Mf Global Ltd note 9.000% 6/2 1.6 $17M 14M 1.20
Virgin Media Inc note 6.500%11/1 1.3 $14M 8.2M 1.66
General Mtrs Co jr pfd cnv srb 1.3 $13M 246k 54.11
Citigroup Inc unit 1.2 $12M 92k 135.77
Alere 1.1 $12M 46k 252.18
Holdings Inc Note 5.25 1.1 $11M 5.8M 1.91
Wesco Intl Inc dbcv 6.000% 9/1 1.0 $10M 5.0M 2.05
Theravance Inc note 3.000% 1/1 1.0 $10M 9.0M 1.13
Vertex Pharmaceuticals Inc note 3.350%10/0 1.0 $9.9M 9.8M 1.01
Micron Technology Inc note 1.875% 6/0 1.0 $9.9M 11M 0.94
Sterlite Inds India Ltd note 4.000%10/3 0.9 $9.7M 9.4M 1.03
Lifepoint Hospitals Inc note 3.500% 5/1 0.9 $9.3M 9.3M 1.01
International Coal Grp Inc N note 4.000% 4/0 0.9 $9.4M 6.1M 1.53
E M C Corp Mass note 1.750%12/0 0.9 $9.3M 6.4M 1.45
Apple (AAPL) 0.9 $9.2M 29k 322.63
Arvinmeritor Inc frnt 4.625% 3/0 0.9 $9.1M 7.2M 1.26
Allergan Inc note 1.500% 4/0 0.8 $8.7M 7.7M 1.13
Ford Mtr Co Cap Tr Ii pfd tr cv6.5% 0.8 $8.3M 159k 51.91
Microsoft Corporation (MSFT) 0.8 $7.7M 278k 27.91
Molina Healthcare Inc note 3.750%10/0 0.7 $7.5M 7.5M 1.00
Pioneer Nat Res Co note 2.875% 1/1 0.7 $7.6M 5.0M 1.51
Annaly Cap Mgmt Inc note 4.000% 2/1 0.7 $7.6M 6.5M 1.16
Sonic Automotive Inc note 5.000% 10/0 0.7 $7.4M 6.0M 1.24
Sandisk Corp note 1.500% 8/1 0.7 $7.3M 6.5M 1.13
Live Nation Entertainment In note 2.875% 7/1 0.7 $7.1M 8.0M 0.89
Chesapeake Energy Corp note 2.500% 5/1 0.7 $7.1M 8.0M 0.89
Chiquita Brands Intl Inc note 4.250% 8/1 0.7 $6.7M 7.0M 0.96
Omnicare Cap Tr Ii pfd b tr 4.00% 0.7 $6.6M 171k 38.59
Ciena Corp note 0.875% 6/1 0.6 $6.6M 8.0M 0.82
Wells Fargo & Company Non-cum Perpet cnv (WFC.PL) 0.6 $6.5M 6.5k 1000.31
Mgic Invt Corp Wis note 5.000% 5/0 0.6 $6.4M 5.5M 1.15
Omnicom Group Inc note 7/0 0.6 $6.4M 6.0M 1.06
Symantec Corp note 1.000% 6/1 0.6 $6.2M 5.4M 1.14
Danaher Corp Del debt 0.6 $6.2M 4.6M 1.37
Teva Pharmaceutical Fin Co B note 1.750% 2/0 0.6 $6.2M 5.7M 1.09
Beckman Coulter Inc note 2.500%12/1 0.6 $6.1M 5.3M 1.14
Equinix Inc note 3.000%10/1 0.6 $6.0M 6.0M 1.00
Affiliated Managers Group note 3.950% 8/1 0.6 $6.0M 5.4M 1.11
Keycorp New pfd 7.75% sr a 0.6 $5.9M 55k 107.11
Trinity Inds Inc note 3.875% 6/0 0.6 $5.8M 6.0M 0.96
Kkr Financial Hldgs Llc note 7.500% 1/1 0.6 $5.7M 4.2M 1.38
Tech Data Corp dbcv 2.750%12/1 0.6 $5.7M 5.5M 1.04
E M C Corp Mass note 1.750%12/0 0.6 $5.6M 3.7M 1.51
Verisign Inc sdcv 3.250% 8/1 0.6 $5.6M 5.0M 1.11
General Electric Company 0.5 $5.5M 301k 18.28
Molson Coors Brewing Co note 2.500% 7/3 0.5 $5.4M 4.6M 1.16
JPMorgan Chase & Co. (JPM) 0.5 $5.4M 127k 42.43
American Med Sys Hldgs Inc note 4.000% 9/1 0.5 $5.3M 4.3M 1.22
Allegheny Technologies Inc note 4.250% 6/0 0.5 $5.3M 3.5M 1.51
Cameron International Corp note 2.500% 6/1 0.5 $5.3M 3.7M 1.45
International Business Machines (IBM) 0.5 $5.3M 36k 146.81
EMC Corporation 0.5 $5.3M 233k 22.89
Volcano Corporation note 2.875% 9/0 0.5 $5.3M 4.6M 1.16
Liberty Media Corp bond 0.5 $5.2M 7.5M 0.69
Health Care Reit Inc note 3.000%12/0 0.5 $5.2M 4.8M 1.08
Invitrogen Corp note 1.500% 2/1 0.5 $5.1M 4.2M 1.21
Amgen Inc note 0.375% 2/0 0.5 $5.1M 5.1M 1.00
Archer Daniels Midland Co unit 99/99/9999 0.5 $5.1M 132k 38.82
Fisher Scientific Intl Inc note 3.250% 3/0 0.5 $5.0M 3.6M 1.40
West Pharmaceutical Svsc Inc sdcv 4.000% 3/1 0.5 $5.1M 5.5M 0.92
Netapp Inc note 1.750% 6/0 0.5 $5.0M 2.8M 1.78
Exterran Hldgs Inc note 4.250% 6/1 0.5 $5.0M 4.0M 1.24
Newmont Mining Corp note 3.000% 2/1 0.5 $4.9M 3.6M 1.39
Thq Inc note 5.000% 8/1 0.5 $5.0M 4.8M 1.04
Ford Mtr Co Del note 4.250%11/1 0.5 $4.9M 2.4M 2.00
Transocean Inc note 1.500%12/1 0.5 $4.8M 4.9M 0.97
Phh Corp note 4.000% 9/0 0.5 $4.8M 4.3M 1.12
Hologic Inc frnt 2.000%12/1 0.5 $4.7M 5.0M 0.94
Regis Corp Minn note 5.000% 7/1 0.5 $4.7M 3.7M 1.28
Goldman Sachs (GS) 0.5 $4.6M 27k 168.05
Bank Of America Corporation preferred (BAC.PL) 0.5 $4.6M 4.8k 954.99
Exxon Mobil Corporation (XOM) 0.4 $4.5M 61k 73.16
Procter & Gamble Company (PG) 0.4 $4.5M 70k 64.31
Gilead Sciences Inc note 0.500% 5/0 0.4 $4.4M 4.3M 1.03
Medtronic Inc note 1.625% 4/1 0.4 $4.4M 4.4M 1.01
Intel Corporation (INTC) 0.4 $4.4M 210k 21.02
Amr Corp note 6.250%10/1 0.4 $4.2M 3.8M 1.13
Western Refng Inc note 5.750% 6/1 0.4 $4.1M 3.5M 1.20
Hewlett-Packard Company 0.4 $4.2M 99k 42.12
United Technologies Corporation 0.4 $4.2M 54k 78.70
Google 0.4 $4.2M 7.1k 594.06
Smithfield Foods Inc note 4.000% 6/3 0.4 $4.1M 3.5M 1.17
Merck & Co (MRK) 0.4 $4.1M 112k 36.07
Intel Corp sdcv 0.4 $3.9M 3.9M 1.00
Jefferies Group Inc New dbcv 3.875%11/0 0.4 $3.9M 3.7M 1.05
Cephalon Inc note 2.500% 5/0 0.4 $3.8M 3.4M 1.13
Fifth Third Bancorp cnv pfd dep1/250 0.4 $3.8M 26k 147.61
McKesson Corporation (MCK) 0.4 $3.8M 54k 70.36
Halliburton Company (HAL) 0.4 $3.8M 92k 40.84
Vornado Rlty L P debt 0.4 $3.8M 3.4M 1.11
GAME Technolog debt 0.4 $3.8M 3.3M 1.15
Sba Communications Corp note 4.000%10/0 0.4 $3.7M 2.5M 1.48
Schlumberger (SLB) 0.4 $3.7M 45k 83.46
Radian Group Inc note 3.000%11/1 0.4 $3.7M 3.8M 0.97
Microchip Technology Inc sdcv 2.125%12/1 0.3 $3.5M 2.9M 1.22
Stillwater Mng Co note 1.875% 3/1 0.3 $3.6M 3.1M 1.15
Cerner Corporation 0.3 $3.6M 38k 94.70
Genuine Parts Company (GPC) 0.3 $3.5M 69k 51.36
MeadWestva 0.3 $3.6M 137k 26.15
Cabot Corporation (CBT) 0.3 $3.5M 93k 37.67
Citi 0.3 $3.6M 757k 4.73
General Cable Corp Del New frnt 4.500% 11/1 0.3 $3.6M 3.0M 1.19
Salix Pharmaceuticals Inc note 2.750% 5/1 0.3 $3.6M 2.8M 1.28
Verigy Ltd note 5.250% 7/1 0.3 $3.6M 3.0M 1.19
Caci Intl Inc note 2.125% 5/0 0.3 $3.4M 3.0M 1.14
Chemed Corp New note 1.875% 5/1 0.3 $3.5M 3.5M 1.01
St Mary Ld & Expl Co note 3.500% 4/0 0.3 $3.5M 2.8M 1.22
TJX Companies (TJX) 0.3 $3.5M 78k 44.37
Onyx Pharmaceuticals Inc note 4.000% 8/1 0.3 $3.4M 2.8M 1.20
Nabors Industries 0.3 $3.3M 142k 23.45
Simon Property (SPG) 0.3 $3.3M 34k 99.45
Viropharma Inc note 2.000% 3/1 0.3 $3.3M 2.9M 1.12
U.S. Bancorp (USB) 0.3 $3.3M 122k 26.97
American Express Company (AXP) 0.3 $3.2M 76k 42.92
Rayonier Trs Hldgs Inc note 3.750%10/1 0.3 $3.2M 2.9M 1.10
Petroleo Brasileiro SA (PBR) 0.3 $3.1M 83k 37.83
Time Warner 0.3 $3.1M 97k 32.17
Amerigroup Corp note 2.000% 5/1 0.3 $3.1M 2.7M 1.15
Monsanto Company 0.3 $3.1M 45k 69.64
Bristol Myers Squibb (BMY) 0.3 $3.2M 121k 26.47
Allergan 0.3 $3.1M 45k 68.65
Interpublic Group Cos Inc note 4.750% 3/1 0.3 $3.2M 2.7M 1.17
Goldcorp 0.3 $3.2M 69k 46.02
Ppl Corp unit 99/99/9999 0.3 $3.1M 57k 54.66
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 0.3 $3.1M 2.3M 1.33
Skyworks Solutions Inc note 1.500% 3/0 0.3 $3.2M 1.0M 3.03
AvalonBay Communities (AVB) 0.3 $3.0M 27k 112.47
Plains Exploration & Production Company 0.3 $3.0M 94k 32.13
Heartware Intl Inc note 3.500%12/1 0.3 $3.0M 2.7M 1.10
Stanley Black & Decker Inc unit 99/99/9999 0.3 $3.0M 28k 108.98
3M Company (MMM) 0.3 $2.9M 34k 86.26
Mylan 0.3 $2.9M 139k 21.13
Anadarko Petroleum Corporation 0.3 $2.9M 38k 76.14
Ford Motor Company (F) 0.3 $2.9M 175k 16.79
CHECK POINT SOFTWARE Technolog Com Stk (CHKP) 0.3 $2.9M 63k 46.24
Omnicare Inc note 3.750%12/1 0.3 $3.0M 2.7M 1.12
Wright Med Group Inc note 2.625%12/0 0.3 $2.8M 3.0M 0.94
Textron Inc note 4.500% 5/0 0.3 $2.8M 1.5M 1.90
FedEx Corporation (FDX) 0.3 $2.8M 30k 92.99
Arrow Electronics (ARW) 0.3 $2.7M 80k 34.26
Illinois Tool Works (ITW) 0.3 $2.8M 52k 53.37
Prudential Financial (PRU) 0.3 $2.7M 46k 58.80
PMC-Sierra 0.3 $2.8M 322k 8.59
Dominion Res Inc Va New debt 0.3 $2.8M 2.3M 1.22
Level 3 Communications Inc note 6.500%10/0 0.3 $2.7M 2.5M 1.08
Archer Daniels Midland Co note 0.875% 2/1 0.3 $2.6M 2.6M 1.02
NetApp (NTAP) 0.3 $2.7M 49k 54.89
Itron (ITRI) 0.3 $2.6M 47k 55.45
Lorillard 0.3 $2.7M 33k 82.04
Kinetic Concepts 0.3 $2.7M 64k 41.89
Sba Communications Corp note 1.875% 5/0 0.2 $2.5M 2.2M 1.12
Apache Corporation 0.2 $2.6M 22k 119.27
Bemis Company 0.2 $2.5M 77k 32.66
Riverbed Technology 0.2 $2.6M 74k 35.18
Agco Corp note 1.250%12/1 0.2 $2.5M 1.9M 1.37
Saks Inc note 2.000% 3/1 0.2 $2.4M 2.3M 1.04
Coca-Cola Company (KO) 0.2 $2.5M 38k 65.79
Marvell Technology Group 0.2 $2.5M 134k 18.55
MedAssets 0.2 $2.4M 120k 20.21
Great Plains Energy Inc unit 06/15/2042 0.2 $2.4M 38k 63.51
Central European Dist Corp note 3.000% 3/1 0.2 $2.3M 2.5M 0.93
Sandisk Corp note 1.000% 5/1 0.2 $2.3M 2.4M 0.97
Chesapeake Energy Corp note 2.500% 5/1 0.2 $2.3M 2.6M 0.89
Cabot Oil & Gas Corporation (CTRA) 0.2 $2.4M 63k 37.85
American Tower Corporation 0.2 $2.3M 44k 51.67
RadioShack Corporation 0.2 $2.4M 129k 18.50
Directv 0.2 $2.3M 58k 39.92
Northern Oil & Gas 0.2 $2.4M 87k 27.21
Liberty Media Corp New deb 3.125% 3/3 0.2 $2.2M 2.0M 1.13
Wal-Mart Stores (WMT) 0.2 $2.3M 42k 53.95
Transocean (RIG) 0.2 $2.3M 33k 69.52
Darden Restaurants (DRI) 0.2 $2.3M 49k 46.43
Nextera Energy (NEE) 0.2 $2.3M 44k 52.01
PG&E Corporation (PCG) 0.2 $2.2M 46k 47.85
Boston Pptys Ltd Partnership note 3.750% 5/1 0.2 $2.2M 2.0M 1.10
Blackstone 0.2 $2.2M 154k 14.15
Cisco Systems (CSCO) 0.2 $2.1M 103k 20.21
Boeing Company (BA) 0.2 $2.2M 34k 65.31
Stillwater Mining Company 0.2 $2.1M 98k 21.33
Cree 0.2 $2.1M 32k 65.92
Swift Energy Company 0.2 $2.1M 54k 39.16
Newpark Res Inc note 4.000%10/0 0.2 $2.2M 2.4M 0.91
Northgate Minerals Corp note 3.500%10/0 0.2 $2.1M 2.0M 1.06
Teleflex Inc note 3.875% 8/0 0.2 $2.1M 2.0M 1.05
Chubb Corporation 0.2 $2.1M 35k 59.63
Peabody Energy Corp sdcv 4.750%12/1 0.2 $2.0M 1.6M 1.29
Triumph Group Inc New note 2.625%10/0 0.2 $2.0M 1.2M 1.67
State Street Corporation (STT) 0.2 $2.1M 45k 46.42
Norfolk Southern (NSC) 0.2 $2.0M 32k 62.78
DPL 0.2 $2.0M 80k 25.71
Genco Shipping & Trading Ltd note 5.000% 8/1 0.2 $2.0M 2.0M 1.02
National Retail Properties I note 5.125% 6/1 0.2 $1.9M 1.7M 1.16
Core Laboratories Lp note 0.250%10/3 0.2 $1.9M 986k 1.95
King Pharmaceuticals Inc note 1.250% 4/0 0.2 $2.0M 2.0M 0.99
Bank of America Corporation (BAC) 0.2 $1.9M 141k 13.34
Synovus Finl Corp unit 99/99/9999 0.2 $1.8M 75k 24.41
Invitrogen Corp note 3.250% 6/1 0.2 $1.9M 1.6M 1.19
Borgwarner Inc note 3.500% 4/1 0.2 $1.8M 817k 2.24
Pepsi (PEP) 0.2 $1.8M 28k 65.34
Deckers Outdoor Corporation (DECK) 0.2 $1.8M 23k 79.76
United States Stl Corp New note 4.000% 5/1 0.2 $1.9M 958k 1.95
Autoliv Inc unit 99/99/9999 0.2 $1.8M 17k 106.44
Steel Dynamics Inc note 5.125% 6/1 0.2 $1.7M 1.4M 1.27
Affiliated Managers (AMG) 0.2 $1.7M 17k 99.01
Caterpillar (CAT) 0.2 $1.8M 19k 93.64
Abbott Laboratories (ABT) 0.2 $1.8M 37k 47.88
ConocoPhillips (COP) 0.2 $1.8M 26k 68.09
Walgreen Company 0.2 $1.7M 44k 38.96
Freeport-McMoRan Copper & Gold (FCX) 0.2 $1.7M 15k 120.02
Ingersoll-rand Global Hldg C debt 0.2 $1.7M 653k 2.65
Vale Cap Ii valep 6.75%12 0.2 $1.7M 18k 97.26
Navistar Intl Corp New note 3.000%10/1 0.2 $1.7M 1.2M 1.33
Verifone Sys Inc note 1.375% 6/1 0.2 $1.6M 1.5M 1.07
Cummins (CMI) 0.2 $1.6M 15k 110.01
Briggs & Stratton Corporation 0.2 $1.7M 85k 19.69
UnitedHealth (UNH) 0.2 $1.7M 46k 36.12
Webster Financial Corporation (WBS) 0.2 $1.7M 84k 19.70
Huntington Bancshares Inc pfd conv ser a 0.2 $1.6M 1.5k 1089.75
Terex Corp New note 4.000% 6/0 0.2 $1.7M 816k 2.04
Alpha Natural Resources Inc note 2.375% 4/1 0.1 $1.5M 1.1M 1.34
Ual Corp note 4.500% 6/3 0.1 $1.5M 1.5M 1.03
Aar Corp note 1.750% 2/0 0.1 $1.5M 1.4M 1.09
Interpublic Group of Companies (IPG) 0.1 $1.5M 140k 10.62
Health Care Reit Inc Cvt cv bnd 0.1 $1.5M 1.4M 1.11
Ual Corp note 6.000%10/1 0.1 $1.5M 500k 2.92
Goldcorp Inc New note 2.000% 8/0 0.1 $1.4M 1.1M 1.22
Stanley Wks frnt 5/1 0.1 $1.3M 1.1M 1.14
International Coal 0.1 $1.3M 173k 7.74
Public Service Enterprise (PEG) 0.1 $1.2M 39k 31.81
Pmi Group Inc note 4.500% 4/1 0.1 $1.2M 1.5M 0.83
Csx Corp dbcv 10/3 0.1 $1.3M 552k 2.29
Arcelormittal Sa Luxembourg note 5.000% 5/1 0.1 $1.1M 760k 1.45
Archer Daniels Midland Company (ADM) 0.1 $1.2M 38k 30.07
Fossil 0.1 $1.1M 16k 70.53
Newmont Mining Corp note 1.250% 7/1 0.1 $1.1M 755k 1.43
Incyte Corp note 4.750%10/0 0.1 $1.1M 522k 2.08
Isis Pharmaceuticals Inc Del note 2.625% 2/1 0.1 $990k 1.0M 0.99
CenturyLink 0.1 $996k 22k 46.19
Synovus Financial 0.1 $1.0M 394k 2.64
iShares Russell 2000 Index (IWM) 0.1 $1.0M 13k 78.26
iShares Dow Jones Select Dividend (DVY) 0.1 $968k 19k 49.87
Hldgs (UAL) 0.1 $994k 42k 23.83
Continental Airls Inc note 4.500% 1/1 0.1 $934k 640k 1.46
Gilead Sciences (GILD) 0.1 $940k 26k 36.22
Alcoa Inc debt 0.1 $907k 367k 2.47
Newmont Mining Corp Cvt cv bnd 0.1 $885k 610k 1.45
Loews Corporation (L) 0.1 $778k 20k 38.90
Forward Air Corporation 0.1 $837k 30k 28.36
iShares MSCI EAFE Index Fund (EFA) 0.1 $776k 13k 58.21
Central Garden & Pet (CENT) 0.1 $831k 85k 9.84
Kimberly-Clark Corporation (KMB) 0.1 $662k 11k 63.05
Analog Devices (ADI) 0.1 $758k 20k 37.70
Murphy Oil Corporation (MUR) 0.1 $677k 9.1k 74.55
Laboratory Corp Amer Hldgs debt 0.1 $720k 610k 1.18
Transocean Inc note 1.500%12/1 0.1 $609k 615k 0.99
Medtronic Inc note 1.500% 4/1 0.1 $600k 600k 1.00
Linear Technology Corp note 3.000% 5/0 0.1 $605k 571k 1.06
Union Pacific Corporation (UNP) 0.1 $655k 7.1k 92.72
Health Care REIT 0.1 $630k 13k 47.66
ArcelorMittal 0.1 $650k 17k 38.13
Superior Energy Services 0.1 $613k 18k 34.93
Ford Mtr Co Del *w exp 01/01/201 0.1 $611k 75k 8.15
Macrovision Corp debt 0.1 $570k 258k 2.21
Old Rep Intl Corp note 8.000% 5/1 0.1 $555k 437k 1.27
Nabors Inds Inc note 0.940% 5/1 0.1 $480k 480k 1.00
iShares NASDAQ Biotechnology Index (IBB) 0.1 $486k 5.2k 93.37
TRW Automotive Holdings 0.1 $504k 9.6k 52.76
Harmonic (HLIT) 0.1 $474k 55k 8.57
Taubman Centers 0.1 $558k 11k 50.51
SPDR S&P MidCap 400 ETF (MDY) 0.1 $527k 3.2k 164.69
3m Co cv bnd 0.1 $507k 545k 0.93
China Med Technologies Inc note 6.250%12/1 0.1 $505k 500k 1.01
Alliance Data Systems Corp note 1.750% 8/0 0.0 $357k 334k 1.07
Biomarin Pharmaceutical Inc note 1.875% 4/2 0.0 $389k 270k 1.44
Gilead Sciences Inc note 0.625% 5/0 0.0 $393k 357k 1.10
Group 1 Automotive Inc frnt 2.250% 6/1 0.0 $400k 404k 0.99
Xilinx Inc sdcv 3.125% 3/1 0.0 $387k 372k 1.04
Erp Oper Ltd Partnership note 3.850% 8/1 0.0 $322k 310k 1.04
Boston Propert 2.875 2/15/37c v deb 0.0 $172k 170k 1.01
WMS Industries 0.0 $216k 4.8k 45.24
ProShares UltraShort 20+ Year Trea 0.0 $222k 6.0k 37.00
Tanger Pptys Ltd Partnership note 3.750% 8/1 0.0 $156k 110k 1.42
L-3 Communications Corp debt 3.000% 8/0 0.0 $69k 69k 1.00
Newell Rubbermaid Inc note 5.500% 3/1 0.0 $124k 58k 2.14
Amgen Inc note 0.125% 2/0 0.0 $73k 73k 1.00
Prologis debt 0.0 $85k 85k 1.00
Teva Pharm Finance Llc Cvt cv bnd 0.0 $61k 52k 1.17
Anixter Intl Inc note 7/0 0.0 $72k 75k 0.96
Oil Sts Intl Inc note 2.375% 7/0 0.0 $117k 57k 2.05
Alza Corp sdcv 7/2 0.0 $51k 57k 0.89
Fluor Corp Cvt cv bnd 0.0 $48k 20k 2.40