SSI Investment Management

SSI Investment Management as of June 30, 2011

Portfolio Holdings for SSI Investment Management

SSI Investment Management holds 288 positions in its portfolio as reported in the June 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Spdr S&p 500 Etf (SPY) 6.7 $66M 502k 131.97
General Mtrs Co jr pfd cnv srb 2.2 $22M 453k 48.74
Citigroup Inc unit 1.3 $13M 108k 120.14
Molina Healthcare Inc note 3.750%10/0 1.2 $13M 11M 1.15
E M C Corp Mass note 1.750%12/0 1.2 $12M 7.1M 1.71
Dryships Inc. note 5.000%12/0 1.2 $12M 13M 0.90
Liberty Media Corp bond 1.2 $12M 14M 0.86
Apple (AAPL) 1.1 $11M 32k 335.59
Mf Global Ltd note 9.000% 6/2 1.1 $11M 9.1M 1.15
Metlife Inc 5% 10/0/14 Conv Pr cv prf 1.0 $10M 122k 82.44
Theravance Inc note 3.000% 1/1 1.0 $10M 9.0M 1.11
Rovi Corp conv 1.0 $9.9M 7.4M 1.35
Level 3 Communications conv 1.0 $9.8M 6.0M 1.63
Vertex Pharmaceuticals Inc note 3.350%10/0 0.9 $9.5M 7.5M 1.26
Sonic Automotive Inc note 5.000% 10/0 0.9 $9.2M 7.0M 1.32
E M C Corp Mass note 1.750%12/0 0.9 $9.2M 5.2M 1.75
Verisign Inc sdcv 3.250% 8/1 0.9 $9.2M 8.0M 1.15
Aspen Insurance Holdings Ltd pfd prp inc eq 0.9 $9.1M 175k 52.06
Arvinmeritor Inc frnt 4.625% 3/0 0.9 $8.7M 8.0M 1.09
Bank Of America Corporation preferred (BAC.PL) 0.9 $8.7M 8.7k 998.51
Microchip Technology Inc sdcv 2.125%12/1 0.9 $8.5M 6.3M 1.36
Western Refng Inc note 5.750% 6/1 0.8 $8.2M 4.5M 1.83
Mf Global Hldgs Ltd note 1.875% 2/0 0.8 $7.9M 8.0M 0.99
Wells Fargo & Company Non-cum Perpet cnv (WFC.PL) 0.8 $7.6M 7.1k 1059.56
American Med Sys Hldgs Inc note 4.000% 9/1 0.7 $7.2M 4.3M 1.69
EMC Corporation 0.7 $7.0M 255k 27.55
Alere 0.7 $7.1M 26k 276.53
Interpublic Group Cos Inc note 4.250% 3/1 0.7 $7.0M 6.1M 1.14
Tech Data Corp dbcv 2.750%12/1 0.7 $6.9M 6.6M 1.04
General Cable Corp Del New frnt 4.500% 11/1 0.7 $6.9M 5.0M 1.38
Chiquita Brands Intl Inc note 4.250% 8/1 0.7 $6.8M 7.0M 0.97
Annaly Cap Mgmt Inc note 4.000% 2/1 0.7 $6.5M 5.5M 1.19
Live Nation Entertainment In note 2.875% 7/1 0.6 $6.3M 6.8M 0.94
Exxon Mobil Corporation (XOM) 0.6 $6.4M 79k 81.37
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 0.6 $6.4M 4.4M 1.46
Goodyear Tire Rubr Pfd 5.875% p 0.6 $6.3M 114k 55.61
Keycorp New pfd 7.75% sr a 0.6 $6.1M 55k 110.94
Exterran Hldgs Inc note 4.250% 6/1 0.6 $6.1M 5.5M 1.11
Kkr Financial Hldgs Llc note 7.500% 1/1 0.6 $6.0M 4.2M 1.44
Pioneer Nat Res Co note 2.875% 1/1 0.6 $5.8M 3.8M 1.55
Mylan Inc note 1.250% 3/1 0.6 $5.7M 5.1M 1.11
Danaher Corp Del debt 0.6 $5.7M 3.7M 1.54
Synovus Finl Corp unit 99/99/9999 0.6 $5.6M 277k 20.25
Affiliated Managers Group note 3.950% 8/1 0.6 $5.6M 5.0M 1.11
Ppl Corporation 8.75% pfd cv 0.6 $5.5M 101k 54.57
Lifepoint Hospitals Inc note 3.500% 5/1 0.5 $5.4M 5.0M 1.07
Viropharma Inc note 2.000% 3/1 0.5 $5.4M 4.4M 1.21
Allegheny Technologies Inc note 4.250% 6/0 0.5 $5.4M 3.3M 1.66
Omnicom Group Inc note 7/0 0.5 $5.3M 4.8M 1.10
West Pharmaceutical Svsc Inc sdcv 4.000% 3/1 0.5 $5.3M 5.5M 0.96
Netapp Inc note 1.750% 6/0 0.5 $5.2M 3.0M 1.70
Oracle Corporation (ORCL) 0.5 $5.2M 158k 32.91
note 5.500% 7/1 0.5 $5.2M 5.4M 0.96
JPMorgan Chase & Co. (JPM) 0.5 $5.1M 125k 40.96
Citigroup (C) 0.5 $5.1M 122k 41.63
Continental Airls Inc note 4.500% 1/1 0.5 $5.0M 3.5M 1.42
McKesson Corporation (MCK) 0.5 $5.0M 60k 83.64
Sothebys note 3.125% 6/1 0.5 $5.0M 3.6M 1.41
Alpha Natural Resources Inc note 2.375% 4/1 0.5 $4.9M 4.2M 1.17
Amr Corp note 6.250%10/1 0.5 $4.9M 5.0M 0.97
Chesapeake Energy Corp note 2.500% 5/1 0.5 $4.9M 4.6M 1.05
Phh Corp note 4.000% 9/0 0.5 $4.9M 4.5M 1.09
Sterlite Inds India Ltd note 4.000%10/3 0.5 $4.9M 5.0M 0.98
Schlumberger (SLB) 0.5 $4.8M 56k 86.42
Apache Corp. 6% Mandatory Conv pfd cv 0.5 $4.8M 73k 65.94
Cameron International Corp note 2.500% 6/1 0.5 $4.6M 3.3M 1.42
Simon Property (SPG) 0.5 $4.7M 40k 116.23
Agco Corp note 1.250%12/1 0.5 $4.7M 3.5M 1.34
Invitrogen Corp note 1.500% 2/1 0.5 $4.5M 4.0M 1.14
Navistar Intl Corp New note 3.000%10/1 0.5 $4.5M 3.4M 1.31
Google 0.5 $4.5M 8.9k 506.57
Regis Corp Minn note 5.000% 7/1 0.5 $4.5M 3.7M 1.21
Procter & Gamble Company (PG) 0.4 $4.4M 70k 63.58
Thq Inc note 5.000% 8/1 0.4 $4.4M 4.8M 0.91
Vornado Rlty L P debt 0.4 $4.1M 3.7M 1.13
Newmont Mining Corp note 3.000% 2/1 0.4 $4.0M 3.3M 1.23
FedEx Corporation (FDX) 0.4 $4.0M 42k 94.86
Equinix Inc note 3.000%10/1 0.4 $3.9M 3.5M 1.12
Fifth Third Bancorp cnv pfd dep1/250 0.4 $3.9M 28k 140.24
Peabody Energy Corp sdcv 4.750%12/1 0.4 $3.8M 3.1M 1.22
NetApp (NTAP) 0.4 $3.9M 74k 52.78
Intel Corp sdcv 0.4 $3.9M 3.8M 1.03
Saks Inc note 2.000% 3/1 0.4 $3.8M 3.6M 1.05
Symantec Corp note 1.000% 6/1 0.4 $3.8M 3.1M 1.22
Target Corporation (TGT) 0.4 $3.7M 80k 46.94
Note 3.50 0.4 $3.8M 3.0M 1.27
Stanley Black & Decker Inc unit 99/99/9999 0.4 $3.8M 31k 120.06
Verigy Ltd note 5.250% 7/1 0.4 $3.8M 3.0M 1.27
Kansas City Southern 0.4 $3.7M 62k 59.38
Heartware Intl Inc note 3.500%12/1 0.4 $3.6M 3.5M 1.04
Anglogold Ashanti Holdings Fin pfd cv 0.4 $3.7M 75k 49.41
Allergan 0.4 $3.6M 43k 83.24
Hologic Inc frnt 2.000%12/1 0.4 $3.5M 3.1M 1.14
Pmc Sierra Inc Cv 2.25% 101525 cnv 0.4 $3.5M 3.3M 1.08
Mgm Mirage conv 0.4 $3.6M 3.3M 1.08
Ford Mtr Co Del note 4.250%11/1 0.3 $3.5M 2.1M 1.71
Enersys note 3.375% 6/0 0.3 $3.5M 3.1M 1.13
Jds Uniphase Corp note 1.000% 5/1 0.3 $3.4M 3.4M 1.02
Chevron Corporation (CVX) 0.3 $3.5M 34k 102.84
Cummins (CMI) 0.3 $3.5M 34k 103.50
Anixter Intl Inc note 1.000% 2/1 0.3 $3.5M 3.0M 1.19
Sandisk Corp note 1.500% 8/1 0.3 $3.5M 3.3M 1.06
Microsoft Corporation (MSFT) 0.3 $3.4M 130k 26.00
Qualcomm (QCOM) 0.3 $3.4M 60k 56.81
Boston Pptys Ltd Partnership note 3.750% 5/1 0.3 $3.4M 2.9M 1.18
Gmx Res Inc note 4.500% 5/0 0.3 $3.3M 4.0M 0.82
Caterpillar (CAT) 0.3 $3.3M 31k 106.44
Blackstone 0.3 $3.2M 195k 16.55
General Electric Company 0.3 $3.2M 169k 18.86
3M Company (MMM) 0.3 $3.2M 34k 94.87
Halliburton Company (HAL) 0.3 $3.2M 63k 51.04
Parker-Hannifin Corporation (PH) 0.3 $3.2M 36k 89.80
Gilead Sciences (GILD) 0.3 $3.2M 77k 41.40
Goldcorp 0.3 $3.1M 65k 48.30
ConocoPhillips (COP) 0.3 $3.1M 42k 75.22
Deere & Company (DE) 0.3 $3.1M 38k 82.44
United Technologies Corporation 0.3 $3.1M 35k 88.54
Jetblue Airways Corp dbcv 6.750%10/1 0.3 $3.0M 2.0M 1.48
Cameron International Corporation 0.3 $3.0M 60k 50.30
Signet Jewelers (SIG) 0.3 $3.0M 64k 46.82
Archer Daniels Midland Co note 0.875% 2/1 0.3 $2.9M 2.7M 1.05
Range Resources (RRC) 0.3 $2.9M 53k 55.53
Bristol Myers Squibb (BMY) 0.3 $2.9M 101k 28.97
Interpublic Group of Companies (IPG) 0.3 $2.8M 228k 12.49
UnitedHealth (UNH) 0.3 $2.9M 56k 51.55
Lowe's Companies (LOW) 0.3 $2.9M 126k 23.29
Prudential Financial (PRU) 0.3 $2.9M 46k 63.57
Rock-Tenn Company 0.3 $2.9M 44k 66.40
DuPont Fabros Technology 0.3 $2.9M 114k 25.20
Global Inds Ltd dbcv 2.750% 8/0 0.3 $2.8M 3.9M 0.73
Ttm Technologies Inc note 3.250% 5/1 0.3 $2.8M 2.2M 1.26
Philip Morris International (PM) 0.3 $2.8M 42k 66.74
Pinnacle West Capital Corporation (PNW) 0.3 $2.8M 63k 44.60
Pepsi (PEP) 0.3 $2.6M 38k 70.43
GAME Technolog debt 0.3 $2.7M 2.3M 1.19
Central European Media sr nt cv 5%15 0.3 $2.7M 3.0M 0.89
Core Laboratories Lp note 0.250%10/3 0.3 $2.6M 1.1M 2.43
Intel Corporation (INTC) 0.3 $2.6M 118k 22.17
International Business Machines (IBM) 0.3 $2.6M 15k 171.50
Freeport-McMoRan Copper & Gold (FCX) 0.3 $2.5M 48k 52.90
Coca-Cola Company (KO) 0.2 $2.5M 38k 67.29
Boeing Company (BA) 0.2 $2.5M 33k 73.91
Cabot Corporation (CBT) 0.2 $2.5M 62k 39.88
Kroger (KR) 0.2 $2.5M 102k 24.80
Arrow Electronics (ARW) 0.2 $2.5M 60k 41.52
Nextera Energy (NEE) 0.2 $2.5M 43k 57.41
Smithfield Foods Inc note 4.000% 6/3 0.2 $2.4M 2.0M 1.18
On Semiconductor Corp note 4/1 0.2 $2.4M 2.1M 1.15
Goldman Sachs (GS) 0.2 $2.3M 18k 133.19
Illinois Tool Works (ITW) 0.2 $2.3M 42k 56.47
Anheuser-Busch InBev NV (BUD) 0.2 $2.4M 42k 58.00
PMC-Sierra 0.2 $2.4M 312k 7.57
Nabors Industries 0.2 $2.4M 97k 24.63
United States Stl Corp New note 4.000% 5/1 0.2 $2.4M 1.5M 1.59
Level 3 Communications Inc note 6.500%10/0 0.2 $2.4M 1.1M 2.11
Arcelormittal Sa Luxembourg note 5.000% 5/1 0.2 $2.3M 1.7M 1.38
Pfizer (PFE) 0.2 $2.3M 113k 20.61
Sotheby's 0.2 $2.3M 53k 43.48
Pioneer Natural Resources 0.2 $2.3M 26k 89.50
Verizon Communications (VZ) 0.2 $2.2M 59k 37.23
Ford Motor Company (F) 0.2 $2.2M 161k 13.79
Huntington Bancshares Inc pfd conv ser a 0.2 $2.2M 1.9k 1153.48
Volcano Corporation note 2.875% 9/0 0.2 $2.2M 1.8M 1.28
State Street Corporation (STT) 0.2 $2.1M 46k 45.04
Abbott Laboratories (ABT) 0.2 $2.1M 39k 52.69
Bed Bath & Beyond 0.2 $2.1M 37k 58.40
Cerner Corporation 0.2 $2.1M 35k 61.21
Harmonic (HLIT) 0.2 $2.1M 293k 7.23
Newmont Mining Corp Cvt cv bnd 0.2 $2.1M 1.6M 1.34
Jinkosolar Hldg Co Ltd...... note 4.000% 5/1 0.2 $2.1M 2.3M 0.92
Stanley Wks frnt 5/1 0.2 $2.0M 1.7M 1.18
Peabody Energy Corporation 0.2 $2.0M 34k 58.88
Directv 0.2 $2.0M 39k 50.85
News Corporation 0.2 $2.0M 112k 17.69
Patriot Coal Corp 0.2 $2.0M 90k 22.25
Terex Corp New note 4.000% 6/0 0.2 $2.0M 1.0M 1.88
Hawaiian Holdings Inc conv 0.2 $2.0M 2.0M 1.01
Salesforce Com Inc note 0.750% 1/1 0.2 $2.0M 1.1M 1.81
Berkshire Hathaway (BRK.B) 0.2 $1.9M 24k 77.38
Core Laboratories 0.2 $1.9M 17k 111.61
Alpha Natural Resources 0.2 $1.9M 42k 45.44
U.S. Bancorp (USB) 0.2 $1.8M 70k 25.50
American Tower Corporation 0.2 $1.8M 35k 52.28
Wells Fargo & Company (WFC) 0.2 $1.7M 62k 28.06
Mylan 0.2 $1.8M 71k 24.70
Walgreen Company 0.2 $1.7M 41k 42.45
Applied Materials (AMAT) 0.2 $1.8M 141k 13.01
IntercontinentalEx.. 0.2 $1.8M 15k 124.70
Webster Financial Corporation (WBS) 0.2 $1.8M 84k 21.03
CF Industries Holdings (CF) 0.2 $1.8M 13k 141.66
Life Technologies 0.2 $1.8M 34k 52.07
ViroPharma Incorporated 0.2 $1.8M 98k 18.49
NetLogic Microsystems 0.2 $1.8M 44k 40.42
Airtran Hldgs Inc note 5.250%11/0 0.2 $1.8M 1.2M 1.43
Savient Pharmaceuticals note 0.2 $1.8M 1.8M 1.00
Huntington Bancshares Incorporated (HBAN) 0.2 $1.7M 258k 6.56
Hartford Finl Svcs Group Inc dep conv p 0.2 $1.7M 66k 25.88
Affiliated Managers (AMG) 0.2 $1.7M 17k 101.47
Norfolk Southern (NSC) 0.2 $1.7M 23k 74.92
Cisco Systems (CSCO) 0.2 $1.7M 107k 15.61
CUBIST PHARM CONVERTIBLE security 0.2 $1.7M 1.2M 1.39
Molson Coors Brewing Co note 2.500% 7/3 0.2 $1.6M 1.5M 1.10
Jefferies Group Inc New dbcv 3.875%11/0 0.2 $1.6M 1.6M 1.00
Cubist Pharmaceuticals Inc note 2.250% 6/1 0.1 $1.5M 1.2M 1.28
Stillwater Mining Company 0.1 $1.4M 66k 22.05
Health Care Reit Inc Cvt cv bnd 0.1 $1.5M 1.3M 1.13
Csx Corp dbcv 10/3 0.1 $1.5M 530k 2.79
Gilead Sciences Inc note 0.625% 5/0 0.1 $1.4M 1.2M 1.19
Lennar Corporation (LEN) 0.1 $1.3M 74k 18.14
Royal Caribbean Cruises (RCL) 0.1 $1.4M 37k 37.64
International Rectifier Corporation 0.1 $1.4M 51k 27.98
Anadarko Petroleum Corporation 0.1 $1.4M 18k 76.71
Salix Pharmaceuticals 0.1 $1.4M 36k 39.81
Arch Chemicals 0.1 $1.4M 42k 34.43
Old Republic Intl Corp note 0.1 $1.4M 1.4M 0.99
Mosaic (MOS) 0.1 $1.4M 20k 67.72
Borgwarner Inc note 3.500% 4/1 0.1 $1.3M 544k 2.47
Hertz Global Holdings 0.1 $1.3M 82k 15.88
MetLife (MET) 0.1 $1.3M 30k 43.88
United States Steel Corporation 0.1 $1.3M 27k 46.06
Rayonier Trs Hldgs Inc note 3.750%10/1 0.1 $1.2M 936k 1.23
Hewlett-Packard Company 0.1 $1.2M 33k 36.40
PG&E Corporation (PCG) 0.1 $1.2M 30k 42.02
Omnicare Cap Tr Ii pfd b tr 4.00% 0.1 $1.2M 25k 48.12
Radian Group Inc note 3.000%11/1 0.1 $1.2M 1.7M 0.72
Union Pacific Corporation (UNP) 0.1 $1.1M 10k 104.31
Analog Devices (ADI) 0.1 $1.1M 29k 39.18
iShares Russell 2000 Index (IWM) 0.1 $1.1M 13k 82.77
Laboratory Corp Amer Hldgs debt 0.1 $1.1M 874k 1.29
Kodiak Oil & Gas 0.1 $1.1M 190k 5.76
Hldgs (UAL) 0.1 $1.1M 50k 22.63
Dendreon Corp note 0.1 $1.1M 1.0M 1.10
Comcast Corporation (CMCSA) 0.1 $1.0M 40k 25.36
Airgas 0.1 $1.0M 15k 70.11
Amazon (AMZN) 0.1 $988k 4.8k 204.72
Basic Energy Services 0.1 $1.0M 32k 31.46
Newmont Mining Corp note 1.250% 7/1 0.1 $982k 755k 1.30
Northgate Minerals Corp note 3.500%10/0 0.1 $980k 1.0M 0.98
Rait Financial Trust - Putable At 100 conv bond 0.1 $980k 1.0M 0.98
Endo Pharmaceuticals 0.1 $878k 22k 40.13
iShares MSCI EAFE Index Fund (EFA) 0.1 $865k 14k 60.19
Fifth Third Ban (FITB) 0.1 $880k 69k 12.74
Energy Xxi 0.1 $930k 28k 33.23
PolyOne Corporation 0.1 $886k 57k 15.47
Intuit (INTU) 0.1 $865k 17k 51.82
Celgene Corporation 0.1 $880k 15k 60.36
MGM Resorts International. (MGM) 0.1 $918k 70k 13.21
General Motors Company (GM) 0.1 $870k 29k 30.36
Loews Corporation (L) 0.1 $842k 20k 42.10
iShares Dow Jones Select Dividend (DVY) 0.1 $764k 15k 52.87
Unisys Corp 6.25% Cv Pfd A cvp 0.1 $778k 10k 77.80
Liberty Media Corp New deb 3.125% 3/3 0.1 $694k 578k 1.20
Trinity Inds Inc note 3.875% 6/0 0.1 $680k 654k 1.04
Kimberly-Clark Corporation (KMB) 0.1 $699k 11k 66.57
S&T Ban (STBA) 0.1 $657k 35k 18.60
Oil Sts Intl Inc note 2.375% 7/0 0.1 $713k 283k 2.52
American Express Company (AXP) 0.1 $563k 11k 51.87
Red Hat 0.1 $561k 12k 45.80
SPDR S&P MidCap 400 ETF (MDY) 0.1 $568k 3.2k 177.50
Vanguard Emerging Markets ETF (VWO) 0.1 $578k 12k 48.59
Xilinx Inc sdcv 3.125% 3/1 0.1 $619k 487k 1.27
Alliance Data Systems Corp note 1.750% 8/0 0.1 $511k 402k 1.27
Old Rep Intl Corp note 8.000% 5/1 0.1 $489k 437k 1.12
Apache Corporation 0.1 $505k 4.1k 123.08
Hologic (HOLX) 0.1 $454k 23k 20.15
iShares NASDAQ Biotechnology Index (IBB) 0.1 $531k 5.0k 106.63
3m Co cv bnd 0.1 $529k 545k 0.97
Health Care Reit Inc note 3.000%12/0 0.1 $496k 443k 1.12
Amgen Inc note 0.375% 2/0 0.0 $415k 415k 1.00
TJX Companies (TJX) 0.0 $350k 6.6k 52.83
Erp Oper Ltd Partnership note 3.850% 8/1 0.0 $438k 425k 1.03
Alcoa Inc debt 0.0 $369k 146k 2.53
Ford Mtr Co Del *w exp 01/01/201 0.0 $393k 75k 5.24
China Med Technologies Inc note 6.250%12/1 0.0 $365k 500k 0.73
Time Warner 0.0 $321k 8.8k 36.51
Dominion Res Inc Va New debt 0.0 $262k 191k 1.37
National Retail Properties I note 5.125% 6/1 0.0 $248k 223k 1.11
Transocean Inc note 1.500%12/1 0.0 $151k 154k 0.98
Medtronic Inc note 1.625% 4/1 0.0 $179k 175k 1.02
TTM Technologies (TTMI) 0.0 $223k 14k 15.91
On Semiconductor Corp note 2.625%12/1 0.0 $74k 62k 1.19
Linear Technology Corp note 3.000% 5/0 0.0 $109k 103k 1.06
Boston Propert 2.875 2/15/37c v deb 0.0 $95k 95k 1.00
Alza Corp sdcv 7/2 0.0 $54k 57k 0.95
Ingersoll-rand Global Hldg C debt 0.0 $128k 50k 2.56
Teva Pharm Finance Llc Cvt cv bnd 0.0 $58k 52k 1.12
Beckman Coulter Inc note 2.500%12/1 0.0 $38k 32k 1.19
Fluor Corp Cvt cv bnd 0.0 $47k 20k 2.35