SSI Investment Management

SSI Investment Management as of March 31, 2011

Portfolio Holdings for SSI Investment Management

SSI Investment Management holds 280 positions in its portfolio as reported in the March 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Spdr S&p 500 Etf (SPY) 7.2 $71M 537k 132.59
General Mtrs Co jr pfd cnv srb 1.5 $15M 315k 48.20
Pioneer Nat Res Co note 2.875% 1/1 1.5 $15M 8.2M 1.77
Vertex Pharmaceuticals Inc note 3.350%10/0 1.4 $13M 11M 1.21
Citigroup Inc unit 1.3 $13M 105k 126.50
Alere 1.3 $13M 46k 275.76
Molina Healthcare Inc note 3.750%10/0 1.2 $12M 11M 1.14
Apple (AAPL) 1.1 $11M 32k 348.49
Mf Global Ltd note 9.000% 6/2 1.1 $11M 9.1M 1.19
E M C Corp Mass note 1.750%12/0 1.1 $11M 6.5M 1.66
Lifepoint Hospitals Inc note 3.500% 5/1 1.1 $10M 9.8M 1.07
Theravance Inc note 3.000% 1/1 1.1 $10M 9.0M 1.15
Metlife Inc 5% 10/0/14 Conv Pr cv prf 1.0 $9.8M 115k 84.85
Newmont Mining Corp note 3.000% 2/1 1.0 $9.6M 7.7M 1.25
Liberty Media Corp bond 1.0 $9.6M 12M 0.82
Equinix Inc note 3.000%10/1 0.9 $9.4M 8.7M 1.08
Arvinmeritor Inc frnt 4.625% 3/0 0.9 $9.0M 8.0M 1.12
Omnicare Cap Tr Ii pfd b tr 4.00% 0.9 $8.6M 190k 45.18
Annaly Cap Mgmt Inc note 4.000% 2/1 0.8 $8.2M 7.1M 1.16
Sonic Automotive Inc note 5.000% 10/0 0.8 $8.1M 6.3M 1.30
Western Refng Inc note 5.750% 6/1 0.8 $7.9M 4.5M 1.75
Mf Global Hldgs Ltd note 1.875% 2/0 0.8 $7.9M 7.7M 1.03
Live Nation Entertainment In note 2.875% 7/1 0.8 $7.7M 8.5M 0.91
Chiquita Brands Intl Inc note 4.250% 8/1 0.7 $7.3M 7.0M 1.04
Level 3 Communications Inc note 6.500%10/0 0.7 $7.4M 5.0M 1.47
American Med Sys Hldgs Inc note 4.000% 9/1 0.7 $7.1M 5.3M 1.34
Dryships Inc. note 5.000%12/0 0.7 $7.0M 7.0M 1.00
Aspen Insurance Holdings Ltd pfd prp inc eq 0.7 $6.8M 126k 53.87
Exterran Hldgs Inc note 4.250% 6/1 0.7 $6.8M 5.5M 1.23
E M C Corp Mass note 1.750%12/0 0.7 $6.6M 3.9M 1.70
Omnicom Group Inc note 7/0 0.7 $6.6M 5.9M 1.12
Synovus Finl Corp unit 99/99/9999 0.6 $6.3M 277k 22.87
Allegheny Technologies Inc note 4.250% 6/0 0.6 $6.3M 3.6M 1.76
Wells Fargo & Company Non-cum Perpet cnv (WFC.PL) 0.6 $6.3M 6.1k 1035.23
Keycorp New pfd 7.75% sr a 0.6 $6.2M 55k 111.50
Affiliated Managers Group note 3.950% 8/1 0.6 $6.1M 5.2M 1.17
Verisign Inc sdcv 3.250% 8/1 0.6 $6.1M 5.0M 1.21
Radian Group Inc note 3.000%11/1 0.6 $6.0M 6.6M 0.91
Kkr Financial Hldgs Llc note 7.500% 1/1 0.6 $5.9M 4.2M 1.42
EMC Corporation 0.6 $6.0M 224k 26.56
JPMorgan Chase & Co. (JPM) 0.6 $5.8M 125k 46.10
note 5.500% 7/1 0.6 $5.8M 5.4M 1.07
General Cable Corp Del New frnt 4.500% 11/1 0.6 $5.6M 4.0M 1.40
Alpha Natural Resources Inc note 2.375% 4/1 0.6 $5.5M 4.0M 1.36
Exxon Mobil Corporation (XOM) 0.6 $5.5M 66k 84.13
Ford Mtr Co Del note 4.250%11/1 0.6 $5.4M 3.0M 1.81
Danaher Corp Del debt 0.6 $5.4M 3.6M 1.50
Tech Data Corp dbcv 2.750%12/1 0.5 $5.3M 5.0M 1.08
West Pharmaceutical Svsc Inc sdcv 4.000% 3/1 0.5 $5.3M 5.5M 0.97
Phh Corp note 4.000% 9/0 0.5 $5.3M 4.8M 1.11
Volcano Corporation note 2.875% 9/0 0.5 $5.2M 4.7M 1.12
Allergan 0.5 $5.2M 73k 71.01
Sterlite Inds India Ltd note 4.000%10/3 0.5 $5.1M 5.0M 1.02
Symantec Corp note 1.000% 6/1 0.5 $5.0M 4.1M 1.21
Bank Of America Corporation preferred (BAC.PL) 0.5 $5.1M 5.1k 1000.00
Pmi Group Inc note 4.500% 4/1 0.5 $5.0M 6.5M 0.77
Cameron International Corp note 2.500% 6/1 0.5 $4.9M 3.1M 1.61
Regis Corp Minn note 5.000% 7/1 0.5 $4.9M 3.7M 1.34
Interpublic Group Cos Inc note 4.750% 3/1 0.5 $4.8M 3.8M 1.26
Heartware Intl Inc note 3.500%12/1 0.5 $4.8M 4.3M 1.11
Invitrogen Corp note 1.500% 2/1 0.5 $4.8M 4.1M 1.16
Microsoft Corporation (MSFT) 0.5 $4.7M 185k 25.39
Simon Property (SPG) 0.5 $4.7M 44k 107.16
Netapp Inc note 1.750% 6/0 0.5 $4.6M 2.9M 1.59
Chesapeake Energy Corp note 2.500% 5/1 0.5 $4.7M 4.3M 1.08
Citi 0.5 $4.7M 1.1M 4.42
Thq Inc note 5.000% 8/1 0.5 $4.7M 4.8M 0.97
McKesson Corporation (MCK) 0.5 $4.5M 58k 79.05
Google 0.5 $4.5M 7.7k 586.77
Dendreon Corp note 0.4 $4.3M 4.1M 1.06
St Mary Ld & Expl Co note 3.500% 4/0 0.4 $4.2M 3.0M 1.43
Procter & Gamble Company (PG) 0.4 $4.3M 70k 61.60
Microchip Technology Inc sdcv 2.125%12/1 0.4 $4.1M 3.0M 1.36
Verifone Sys Inc note 1.375% 6/1 0.4 $4.1M 3.0M 1.34
Beckman Coulter Inc note 2.500%12/1 0.4 $4.0M 3.4M 1.19
Anglogold Ashanti Holdings Fin pfd cv 0.4 $4.0M 75k 53.84
Caci Intl Inc note 2.125% 5/0 0.4 $3.9M 3.1M 1.25
Goldman Sachs (GS) 0.4 $4.0M 25k 158.60
Sothebys note 3.125% 6/1 0.4 $4.0M 2.4M 1.64
Kansas City Southern 0.4 $3.9M 72k 54.46
Note 3.50 0.4 $3.9M 3.0M 1.32
Viropharma Inc note 2.000% 3/1 0.4 $3.8M 3.1M 1.26
Intel Corp sdcv 0.4 $3.9M 3.8M 1.03
Vornado Rlty L P debt 0.4 $3.9M 3.5M 1.12
Apache Corp. 6% Mandatory Conv pfd cv 0.4 $3.8M 54k 70.64
Navistar Intl Corp New note 3.000%10/1 0.4 $3.8M 2.5M 1.51
Ttm Technologies Inc note 3.250% 5/1 0.4 $3.7M 2.7M 1.37
International Business Machines (IBM) 0.4 $3.8M 23k 163.05
Verigy Ltd note 5.250% 7/1 0.4 $3.7M 3.0M 1.24
Peabody Energy Corp sdcv 4.750%12/1 0.4 $3.7M 2.8M 1.32
Saks Inc note 2.000% 3/1 0.4 $3.7M 3.5M 1.06
Enersys note 3.375% 6/0 0.4 $3.7M 3.0M 1.25
General Electric Company 0.4 $3.6M 181k 20.05
Anixter Intl Inc note 1.000% 2/1 0.4 $3.6M 2.9M 1.26
Weatherford International Lt reg 0.4 $3.7M 163k 22.60
Stanley Black & Decker Inc unit 99/99/9999 0.4 $3.7M 30k 120.47
Jds Uniphase Corp note 1.000% 5/1 0.4 $3.5M 3.2M 1.08
Sandisk Corp note 1.500% 8/1 0.4 $3.5M 3.1M 1.13
Skyworks Solutions Inc note 1.500% 3/0 0.4 $3.6M 1.0M 3.41
Rayonier Trs Hldgs Inc note 3.750%10/1 0.3 $3.5M 2.9M 1.20
Onyx Pharmaceuticals Inc note 4.000% 8/1 0.3 $3.5M 3.0M 1.17
News Corporation 0.3 $3.4M 196k 17.58
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 0.3 $3.5M 2.5M 1.41
Petroleo Brasileiro SA (PBR) 0.3 $3.4M 83k 40.43
NetApp (NTAP) 0.3 $3.4M 71k 48.15
Anadarko Petroleum Corporation 0.3 $3.4M 41k 81.92
Complete Production Services 0.3 $3.3M 104k 31.81
Signet Jewelers (SIG) 0.3 $3.4M 73k 46.02
Textron Inc note 4.500% 5/0 0.3 $3.3M 1.5M 2.14
U.S. Bancorp (USB) 0.3 $3.2M 122k 26.43
Blackstone 0.3 $3.3M 182k 17.88
Schlumberger (SLB) 0.3 $3.2M 35k 93.25
Nabors Industries 0.3 $3.3M 108k 30.38
Archer Daniels Midland Co unit 99/99/9999 0.3 $3.2M 71k 45.16
3M Company (MMM) 0.3 $3.2M 34k 93.51
TJX Companies (TJX) 0.3 $3.2M 64k 49.73
Goldcorp 0.3 $3.1M 63k 49.80
Jetblue Airways Corp dbcv 6.750%10/1 0.3 $3.1M 2.0M 1.53
Bristol Myers Squibb (BMY) 0.3 $3.1M 116k 26.43
Halliburton Company (HAL) 0.3 $3.0M 60k 49.84
Boston Pptys Ltd Partnership note 3.750% 5/1 0.3 $3.1M 2.7M 1.15
Core Laboratories 0.3 $3.0M 29k 102.18
Cabot Corporation (CBT) 0.3 $3.0M 64k 46.29
Arrow Electronics (ARW) 0.3 $3.0M 71k 41.88
Merck & Co (MRK) 0.3 $3.0M 91k 33.02
United Technologies Corporation 0.3 $3.0M 35k 84.65
Archer Daniels Midland Co note 0.875% 2/1 0.3 $2.9M 2.6M 1.11
Prudential Financial (PRU) 0.3 $2.8M 46k 61.59
Rock-Tenn Company 0.3 $2.9M 42k 69.34
Agco Corp note 1.250%12/1 0.3 $2.9M 1.9M 1.48
Fifth Third Bancorp cnv pfd dep1/250 0.3 $2.7M 18k 148.01
Micron Technology Inc note 1.875% 6/0 0.3 $2.7M 2.5M 1.09
American Express Company (AXP) 0.3 $2.8M 62k 45.21
Target Corporation (TGT) 0.3 $2.7M 55k 50.02
United States Stl Corp New note 4.000% 5/1 0.3 $2.7M 1.5M 1.82
Gilead Sciences Inc note 0.500% 5/0 0.3 $2.7M 2.4M 1.09
Valero Energy Corporation (VLO) 0.3 $2.7M 91k 29.82
Smithfield Foods Inc note 4.000% 6/3 0.3 $2.5M 2.0M 1.26
Caterpillar (CAT) 0.3 $2.6M 24k 111.34
Cerner Corporation 0.3 $2.5M 23k 111.19
Cummins (CMI) 0.3 $2.6M 24k 109.62
UnitedHealth (UNH) 0.3 $2.5M 56k 45.20
GAME Technolog debt 0.3 $2.5M 2.2M 1.15
CUBIST PHARM CONVERTIBLE security 0.3 $2.6M 2.4M 1.09
Liberty Media Corp New deb 3.125% 3/3 0.2 $2.5M 2.1M 1.19
Coca-Cola Company (KO) 0.2 $2.5M 37k 66.35
Boeing Company (BA) 0.2 $2.5M 34k 73.94
Parker-Hannifin Corporation (PH) 0.2 $2.5M 26k 94.69
Brigham Exploration Company 0.2 $2.4M 65k 37.18
International Coal Grp Inc N note 4.000% 4/0 0.2 $2.4M 1.2M 2.08
Notes Gencorp Inc. 4.0625% dbcv 0.2 $2.5M 2.5M 1.00
On Semiconductor Corp note 4/1 0.2 $2.3M 2.1M 1.12
Interpublic Group of Companies (IPG) 0.2 $2.3M 186k 12.57
Nextera Energy (NEE) 0.2 $2.4M 44k 55.11
Anheuser-Busch InBev NV (BUD) 0.2 $2.4M 42k 57.18
Pioneer Natural Resources 0.2 $2.4M 24k 101.90
Core Laboratories Lp note 0.250%10/3 0.2 $2.3M 1.0M 2.23
Affiliated Managers (AMG) 0.2 $2.2M 20k 109.39
Monsanto Company 0.2 $2.3M 31k 72.26
Wal-Mart Stores (WMT) 0.2 $2.3M 44k 52.06
Norfolk Southern (NSC) 0.2 $2.2M 32k 69.26
Deere & Company (DE) 0.2 $2.2M 23k 96.91
Illinois Tool Works (ITW) 0.2 $2.2M 42k 53.71
Oracle Corporation (ORCL) 0.2 $2.3M 68k 33.44
Harmonic (HLIT) 0.2 $2.3M 242k 9.38
American Tower Corporation 0.2 $2.2M 42k 51.81
Intel Corporation (INTC) 0.2 $2.2M 107k 20.18
DPL 0.2 $2.2M 80k 27.41
FedEx Corporation (FDX) 0.2 $2.1M 22k 93.57
ConocoPhillips (COP) 0.2 $2.1M 26k 79.84
Alpha Natural Resources 0.2 $2.1M 35k 59.37
TTM Technologies (TTMI) 0.2 $2.1M 115k 18.16
Newmont Mining Corp Cvt cv bnd 0.2 $2.1M 1.6M 1.35
Terex Corp New note 4.000% 6/0 0.2 $2.1M 867k 2.39
Savient Pharmaceuticals note 0.2 $2.1M 1.8M 1.18
Abbott Laboratories (ABT) 0.2 $1.9M 39k 49.05
Hewlett-Packard Company 0.2 $2.0M 48k 40.97
Northgate Minerals Corp note 3.500%10/0 0.2 $2.0M 2.0M 0.99
Chevron Corporation (CVX) 0.2 $1.9M 17k 107.47
Cisco Systems (CSCO) 0.2 $1.8M 108k 17.15
Directv 0.2 $1.9M 40k 46.79
Marvell Technology Group 0.2 $1.9M 120k 15.55
Genco Shipping & Trading Ltd note 5.000% 8/1 0.2 $1.9M 2.0M 0.93
Sba Communications Corp note 1.875% 5/0 0.2 $1.8M 1.6M 1.14
Pepsi (PEP) 0.2 $1.8M 28k 64.42
Philip Morris International (PM) 0.2 $1.8M 27k 65.61
Qualcomm (QCOM) 0.2 $1.8M 33k 54.82
Gilead Sciences (GILD) 0.2 $1.8M 42k 42.47
Webster Financial Corporation (WBS) 0.2 $1.8M 84k 21.42
Hartford Finl Svcs Group Inc dep conv p 0.2 $1.7M 64k 26.04
National Retail Properties I note 5.125% 6/1 0.2 $1.7M 1.5M 1.16
Molson Coors Brewing Co note 2.500% 7/3 0.2 $1.7M 1.5M 1.16
International Coal 0.2 $1.7M 148k 11.30
Lowe's Companies (LOW) 0.2 $1.7M 63k 26.43
Huntington Bancshares Inc pfd conv ser a 0.2 $1.7M 1.5k 1119.11
Goldcorp Inc New note 2.000% 8/0 0.2 $1.6M 1.2M 1.27
Stanley Wks frnt 5/1 0.2 $1.6M 1.3M 1.24
Ual Corp note 4.500% 6/3 0.2 $1.5M 1.5M 1.01
ICICI Bank (IBN) 0.2 $1.6M 31k 49.84
Aar Corp note 1.750% 2/0 0.2 $1.6M 1.5M 1.12
Verizon Communications (VZ) 0.2 $1.6M 41k 38.54
Mylan 0.2 $1.6M 72k 22.67
Freeport-McMoRan Copper & Gold (FCX) 0.2 $1.6M 29k 55.54
Denbury Resources 0.1 $1.5M 60k 24.40
Csx Corp dbcv 10/3 0.1 $1.5M 542k 2.79
Old Republic Intl Corp note 0.1 $1.4M 1.4M 1.00
Huntington Bancshares Incorporated (HBAN) 0.1 $1.3M 203k 6.64
Comcast Corporation (CMCSA) 0.1 $1.4M 57k 24.72
Hertz Global Holdings 0.1 $1.4M 92k 15.63
PMC-Sierra 0.1 $1.4M 181k 7.51
Jefferies Group Inc New dbcv 3.875%11/0 0.1 $1.4M 1.3M 1.04
Ual Corp note 6.000%10/1 0.1 $1.4M 499k 2.83
Borgwarner Inc note 3.500% 4/1 0.1 $1.3M 544k 2.44
Union Pacific Corporation (UNP) 0.1 $1.3M 13k 98.33
PG&E Corporation (PCG) 0.1 $1.3M 30k 44.16
Health Care Reit Inc Cvt cv bnd 0.1 $1.3M 1.2M 1.12
Arcelormittal Sa Luxembourg note 5.000% 5/1 0.1 $1.1M 789k 1.45
Bank of America Corporation (BAC) 0.1 $1.2M 92k 13.33
Salix Pharmaceuticals 0.1 $1.2M 34k 35.04
Continental Airls Inc note 4.500% 1/1 0.1 $1.1M 756k 1.43
Pfizer (PFE) 0.1 $1.1M 53k 20.31
Walgreen Company 0.1 $1.1M 27k 40.16
iShares Russell 2000 Index (IWM) 0.1 $1.1M 13k 84.14
Gilead Sciences Inc note 0.625% 5/0 0.1 $1.0M 848k 1.22
Peabody Energy Corporation 0.1 $991k 14k 71.98
Airgas 0.1 $966k 15k 66.45
Analog Devices (ADI) 0.1 $987k 25k 39.40
Northern Oil & Gas 0.1 $1.0M 39k 26.69
Newmont Mining Corp note 1.250% 7/1 0.1 $997k 755k 1.32
Loews Corporation (L) 0.1 $862k 20k 43.10
Berkshire Hathaway (BRK.B) 0.1 $886k 11k 83.65
Vertex Pharmaceuticals Incorporated (VRTX) 0.1 $902k 19k 47.92
iShares MSCI EAFE Index Fund (EFA) 0.1 $863k 14k 60.06
HDFC Bank (HDB) 0.1 $923k 5.4k 170.01
Amazon (AMZN) 0.1 $869k 4.8k 180.07
CF Industries Holdings (CF) 0.1 $850k 6.2k 136.81
DuPont Fabros Technology 0.1 $858k 35k 24.25
Molycorp, Inc. pfd conv ser a 0.1 $850k 7.5k 113.33
Unisys Corp 6.25% Cv Pfd A cvp 0.1 $893k 10k 89.30
Ford Motor Company (F) 0.1 $805k 54k 14.91
TRW Automotive Holdings 0.1 $831k 15k 55.08
Laboratory Corp Amer Hldgs debt 0.1 $750k 610k 1.23
Pinnacle West Capital Corporation (PNW) 0.1 $814k 19k 42.82
iShares Dow Jones Select Dividend (DVY) 0.1 $753k 15k 52.11
Kimberly-Clark Corporation (KMB) 0.1 $685k 11k 65.24
Apache Corporation 0.1 $558k 4.3k 130.96
Quest Software 0.1 $613k 24k 25.42
SPDR S&P MidCap 400 ETF (MDY) 0.1 $575k 3.2k 179.69
Vanguard Emerging Markets ETF (VWO) 0.1 $602k 12k 48.98
Group 1 Automotive Inc frnt 2.250% 6/1 0.1 $455k 446k 1.02
Old Rep Intl Corp note 8.000% 5/1 0.1 $524k 437k 1.20
Medtronic Inc note 1.625% 4/1 0.1 $448k 435k 1.03
iShares NASDAQ Biotechnology Index (IBB) 0.1 $520k 5.2k 100.19
Dendreon Corporation 0.1 $460k 12k 37.44
Ford Mtr Co Del *w exp 01/01/201 0.1 $479k 75k 6.39
Svb Finl Group debt 0.1 $474k 460k 1.03
Xilinx Inc sdcv 3.125% 3/1 0.1 $487k 420k 1.16
3m Co cv bnd 0.1 $512k 545k 0.94
China Med Technologies Inc note 6.250%12/1 0.1 $530k 500k 1.06
Health Care Reit Inc note 3.000%12/0 0.1 $496k 443k 1.12
Alliance Data Systems Corp note 1.750% 8/0 0.0 $437k 364k 1.20
Stillwater Mining Company 0.0 $435k 19k 22.95
Trina Solar 0.0 $408k 14k 30.12
Alcoa Inc debt 0.0 $412k 146k 2.82
Time Warner 0.0 $327k 9.2k 35.68
State Street Corporation (STT) 0.0 $334k 7.4k 44.89
Erp Oper Ltd Partnership note 3.850% 8/1 0.0 $316k 310k 1.02
Oil Sts Intl Inc note 2.375% 7/0 0.0 $296k 123k 2.41
Transocean Inc note 1.500%12/1 0.0 $151k 154k 0.98
Amgen Inc note 0.375% 2/0 0.0 $173k 175k 0.99
Invitrogen Corp note 3.250% 6/1 0.0 $172k 155k 1.11
Dominion Res Inc Va New debt 0.0 $243k 191k 1.27
Tanger Pptys Ltd Partnership note 3.750% 8/1 0.0 $160k 110k 1.45
Linear Technology Corp note 3.000% 5/0 0.0 $110k 103k 1.07
Boston Propert 2.875 2/15/37c v deb 0.0 $96k 95k 1.01
Ingersoll-rand Global Hldg C debt 0.0 $147k 54k 2.72
Prologis debt 0.0 $84k 85k 0.99
Fluor Corp Cvt cv bnd 0.0 $53k 20k 2.65
Teva Pharm Finance Llc Cvt cv bnd 0.0 $59k 52k 1.13
Alza Corp sdcv 7/2 0.0 $49k 57k 0.86