0001085146-12-001459.txt : 20121114 0001085146-12-001459.hdr.sgml : 20121114 20121114144733 ACCESSION NUMBER: 0001085146-12-001459 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120930 FILED AS OF DATE: 20121114 DATE AS OF CHANGE: 20121114 EFFECTIVENESS DATE: 20121114 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CNH PARTNERS LLC CENTRAL INDEX KEY: 0001167456 IRS NUMBER: 134172062 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10114 FILM NUMBER: 121203567 BUSINESS ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 BUSINESS PHONE: 203-742-3600 MAIL ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 13F-HR 1 cnh3q2012.txt CNH PARTNERS, LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2012 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: CNH Partners, LLC Address: Two Greenwich Plaza 3rd Floor Greenwich, CT 06830 13F File Number: 028-10114 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Clifford S. Asness Title: As Managing Member of AQR Capital Management, LLC Phone: 203-742-3600 Signature, Place, and Date of Signing: /s/ Clifford S. Asness Greenwich, CT November 14, 2012 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 213 Form 13F Information Table Value Total: $364,564 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AAR CORP NOTE 1.750% 2/0 000361AH8 301 300000 PRN SOLE 0 0 0 ACCURAY INC NOTE 3.750% 8/0 004397AB1 421 400000 PRN SOLE 0 0 0 ACTUANT CORP CL A NEW 00508X203 399 13930 SH SOLE 13930 0 0 ADVENT CLAY CONV SEC INC FD COM 007639107 109 16130 SH SOLE 16130 0 0 AFFORDABLE RESIDENTIAL CMNTY NOTE 7.500% 8/1 00828UAB9 1179 975000 PRN SOLE 0 0 0 AFFYMETRIX INC NOTE 4.000% 7/0 00826TAH1 976 1000000 PRN SOLE 0 0 0 AGCO CORP NOTE 1.250%12/1 001084AM4 5050 4000000 PRN SOLE 0 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 8666 226500 SH SOLE 226500 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 4262 2859000 PRN SOLE 0 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 2897 25320 SH SOLE 25320 0 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 1516 1313000 PRN SOLE 0 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 4.750% 5/1 018581AC2 1510 500000 PRN SOLE 0 0 0 ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 4093 4225000 PRN SOLE 0 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 4212 4150000 PRN SOLE 0 0 0 AMERIGROUP CORP COM 03073T102 864 9453 SH SOLE 9453 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 328 300000 PRN SOLE 0 0 0 ANNALY CAP MGMT INC NOTE 5.000% 5/1 035710AB8 667 650000 PRN SOLE 0 0 0 ARIBA INC COM NEW 04033V203 801 17884 SH SOLE 17884 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 222 22000 SH SOLE 22000 0 0 AV HOMES INC NOTE 7.500% 2/1 00234PAB8 237 225000 PRN SOLE 0 0 0 AVATAR HLDGS INC NOTE 7.500% 2/1 053494AG5 914 900000 PRN SOLE 0 0 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 1869 1525000 PRN SOLE 0 0 0 BANCTRUST FINANCIAL GP COM 05978R107 114 38000 SH SOLE 38000 0 0 BARNES GROUP INC COM 067806109 3488 139481 SH SOLE 139481 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q709 431 14500 SH SOLE 14500 0 0 BGC PARTNERS INC NOTE 4.500% 7/1 05541TAD3 838 900000 PRN SOLE 0 0 0 BGS ACQUISITION CORP UNIT 99/99/9999 G1082J126 158 15980 SH SOLE 15980 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 4134 102658 SH SOLE 102658 0 0 BLACKROCK ENH CAP & INC FD I COM 09256A109 180 13753 SH SOLE 13753 0 0 BLACKROCK ENHANCED EQT DIV T COM 09251A104 239 31657 SH SOLE 31657 0 0 BLACKROCK INTL GRWTH & INC T COM BENE INTER 092524107 157 21591 SH SOLE 21591 0 0 BRIGHTPOINT INC COM NEW 109473405 757 84341 SH SOLE 84341 0 0 CALLAWAY GOLF CO COM 131193104 358 58274 SH SOLE 58274 0 0 CAZADOR ACQUISITION CORPORAT SHS G19867103 331 33408 SH SOLE 33408 0 0 CEMEX SAB DE CV NOTE 4.875% 3/1 151290AV5 996 1000000 PRN SOLE 0 0 0 CEMEX SAB DE CV NOTE 3.250% 3/1 151290BB8 1587 1600000 PRN SOLE 0 0 0 CENTRAL EUROPEAN DIST CORP NOTE 3.000% 3/1 153435AA0 312 335000 PRN SOLE 0 0 0 CENTRAL GARDEN & PET CO COM 153527106 206 17310 SH SOLE 17310 0 0 CH ENERGY GROUP INC COM 12541M102 816 12510 SH SOLE 12510 0 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 2164 1650000 PRN SOLE 0 0 0 CHESAPEAKE ENERGY CORP COM 165167107 544 28823 SH SOLE 28823 0 0 CHINA GROWTH EQUITY INV LTD UNIT 05/14/2016 G2114K115 200 20000 SH SOLE 20000 0 0 CITIZENS REPUBLIC BANCORP IN COM NEW 174420307 247 12776 SH SOLE 12776 0 0 CITIZENS SOUTH BKG CP DEL COM 176682102 264 37750 SH SOLE 37750 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAC7 2100 1150000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAE3 2840 1555000 PRN SOLE 0 0 0 CNO FINL GROUP INC DBCV 7.000%12/3 12621EAF0 82 45000 PRN SOLE 0 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 2459 1875000 PRN SOLE 0 0 0 COLLECTIVE BRANDS INC COM 19421W100 822 37843 SH SOLE 37843 0 0 COMPLETE GENOMICS INC COM 20454K104 140 45012 SH SOLE 45012 0 0 COMPUCREDIT HLDGS CORP COM 20478T107 94 25235 SH SOLE 25235 0 0 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 267 43490 SH SOLE 43490 0 0 CONVERGYS CORP SDCV 5.750% 9/1 212485AE6 4789 3000000 PRN SOLE 0 0 0 COOPER INDUSTRIES PLC SHS G24140108 1902 25343 SH SOLE 25343 0 0 CORMEDIX INC COM 21900C100 17 61686 SH SOLE 61686 0 0 CORMEDIX INC *W EXP 03/24/201 21900C118 3 37700 SH SOLE 37700 0 0 COVENTRY HEALTH CARE INC COM 222862104 1800 43168 SH SOLE 43168 0 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 7802 4750000 PRN SOLE 0 0 0 DENDREON CORP NOTE 4.750% 6/1 24823QAB3 98 100000 PRN SOLE 0 0 0 DEVELOPERS DIVERSIFIED RLTY NOTE 1.750%11/1 251591AX1 3070 2750000 PRN SOLE 0 0 0 DEXCOM INC COM 252131107 288 19184 SH SOLE 19184 0 0 DIGITAL RLTY TR INC COM 253868103 1292 18491 SH SOLE 18491 0 0 DITECH NETWORKS INC COM 25500T108 76 53683 SH SOLE 53683 0 0 DOLLAR FINL CORP NOTE 2.875% 6/3 256664AB9 1616 1575000 PRN SOLE 0 0 0 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 877 10084 SH SOLE 10084 0 0 EATON VANCE ENH EQTY INC FD COM 278277108 184 16565 SH SOLE 16565 0 0 EATON VANCE ENHANCED EQ INC COM 278274105 183 16474 SH SOLE 16474 0 0 EATON VANCE RISK MNGD DIV EQ COM 27829G106 147 13962 SH SOLE 13962 0 0 EATON VANCE TAX ADVT DIV INC COM 27828G107 182 10665 SH SOLE 10665 0 0 EATON VANCE TAX MNGD GBL DV COM 27829F108 139 15737 SH SOLE 15737 0 0 EATON VANCE TAX MNGED BUY WR COM 27828X100 188 12514 SH SOLE 12514 0 0 EATON VANCE TX MGD DIV EQ IN COM 27828N102 181 19070 SH SOLE 19070 0 0 EATON VANCE TX MNG BY WRT OP COM 27828Y108 180 13838 SH SOLE 13838 0 0 EATON VANCE TXMGD GL BUYWR O COM 27829C105 190 17140 SH SOLE 17140 0 0 ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 11597 9329000 PRN SOLE 0 0 0 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 1356 1325000 PRN SOLE 0 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 10496 4125000 PRN SOLE 0 0 0 FINISAR CORP COM NEW 31787A507 1534 107283 SH SOLE 107283 0 0 FIRST CALIFORNIA FINANCIAL G COM NEW 319395109 428 61502 SH SOLE 61502 0 0 FIRSTSERVICE CORP SDCV 6.500%12/3 33761NAA7 1153 1000000 PRN SOLE 0 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 116 11745 SH SOLE 11745 0 0 FSI INTL INC COM 302633102 397 64058 SH SOLE 64058 0 0 GASCO ENERGY INC COM 367220100 27 187169 SH SOLE 187169 0 0 GENCORP INC SDCV 4.062%12/3 368682AN0 3782 3000000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 626 625000 PRN SOLE 0 0 0 GENERAL CABLE CORP DEL NEW FRNT 4.500%11/1 369300AL2 1747 1625000 PRN SOLE 0 0 0 GENERAL GROWTH PPTYS INC NEW COM 370023103 216 11092 SH SOLE 11092 0 0 GENON ENERGY INC COM 37244E107 1278 505029 SH SOLE 505029 0 0 GEOEYE INC COM 37250W108 1231 46584 SH SOLE 46584 0 0 GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 2354 1500000 PRN SOLE 0 0 0 GMX RES INC NOTE 4.500% 5/0 38011MAJ7 1268 3146000 PRN SOLE 0 0 0 GOLD RESV INC NOTE 5.500% 6/1 38068NAB4 437 500000 PRN SOLE 0 0 0 GREEN PLAINS RENEWABLE ENERG NOTE 5.750%11/0 393222AB0 2266 2875000 PRN SOLE 0 0 0 HEALTH CARE REIT INC NOTE 3.000%12/0 42217KAR7 2383 2000000 PRN SOLE 0 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 274 15000 SH SOLE 15000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 13884 7800000 PRN SOLE 0 0 0 HUDSON CITY BANCORP COM 443683107 580 72842 SH SOLE 72842 0 0 HUTCHINSON TECHNOLOGY INC NOTE 8.500% 1/1 448407AG1 56 95000 PRN SOLE 0 0 0 INLAND REAL ESTATE CORP NOTE 5.000%11/1 457461AC5 199 198000 PRN SOLE 0 0 0 INSULET CORP NOTE 5.375% 6/1 45784PAA9 616 500000 PRN SOLE 0 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 273 250000 PRN SOLE 0 0 0 INVACARE CORP SDCV 4.125% 2/0 461203AD3 1869 2000000 PRN SOLE 0 0 0 JAKKS PAC INC COM 47012E106 330 22653 SH SOLE 22653 0 0 JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 797 750000 PRN SOLE 0 0 0 JETBLUE AIRWAYS CORP COM 477143101 369 275000 PRN SOLE 0 0 0 JETBLUE AIRWAYS CORP DBCV 5.500%10/1 477143AD3 3638 3000000 PRN SOLE 0 0 0 KANSAS CITY SOUTHERN COM NEW 485170302 3091 40793 SH SOLE 40793 0 0 KEYCORP NEW PFD 7.75% SR A 493267405 3105 25000 SH SOLE 25000 0 0 KOHLBERG CAPITAL CORP NOTE 8.750% 3/1 500233AB7 285 250000 PRN SOLE 0 0 0 LENNAR CORP CL B 526057302 255 9449 SH SOLE 9449 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 4303 3785000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 7.000% 3/1 52729NBP4 4979 4100000 PRN SOLE 0 0 0 LEVEL 3 COMMUNICATIONS INC NOTE 6.500%10/0 52729NBR0 1983 1375000 PRN SOLE 0 0 0 LIBERTY GLOBAL INC COM SER C 530555309 616 10914 SH SOLE 10914 0 0 LML PMT SYS INC COM 50208P109 40 11900 SH SOLE 11900 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2462 2500000 PRN SOLE 0 0 0 M/I HOMES INC NOTE 3.250% 9/1 55292PAA3 107 100000 PRN SOLE 0 0 0 MADISON CLAYMORE CALL &EQTY COM 556582104 166 20910 SH SOLE 20910 0 0 MANNKIND CORP COM 56400P201 205 71032 SH SOLE 71032 0 0 MANNKIND CORP NOTE 3.750%12/1 56400PAA0 454 750000 PRN SOLE 0 0 0 MANNKIND CORP NOTE 5.750% 8/1 56400PAC6 762 1320000 PRN SOLE 0 0 0 MASTEC INC COM 576323109 2446 124146 SH SOLE 124146 0 0 MASTEC INC NOTE 4.250%12/1 576323AM1 679 475000 PRN SOLE 0 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 1.375% 6/0 584690AC5 670 620000 PRN SOLE 0 0 0 MENTOR GRAPHICS CORP COM 587200106 325 20998 SH SOLE 20998 0 0 MERITAGE HOMES CORP NOTE 1.875% 9/1 59001AAR3 100 100000 PRN SOLE 0 0 0 METLIFE INC UNIT 99/99/9999 59156R116 1459 21087 SH SOLE 21087 0 0 MGIC INVT CORP WIS NOTE 5.000% 5/0 552848AD5 3322 4850000 PRN SOLE 0 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 4068 3225000 PRN SOLE 0 0 0 MICRON TECHNOLOGY INC NOTE 1.500% 8/0 595112AQ6 181 200000 PRN SOLE 0 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 285 275000 PRN SOLE 0 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 3750 2550000 PRN SOLE 0 0 0 NEOSTEM INC COM NEW 640650305 8 12000 SH SOLE 12000 0 0 NEXEN INC COM 65334H102 798 31472 SH SOLE 31472 0 0 NORTHGATE MINERALS CORP NOTE 3.500%10/0 666416AB8 414 400000 PRN SOLE 0 0 0 NUVEEN EQTY PRM OPPORTUNITYF COM 6706EM102 184 14606 SH SOLE 14606 0 0 NUVEEN EQUITY PREM & GROWTH COM 6706EW100 183 13485 SH SOLE 13485 0 0 NUVEEN EQUITY PREM ADV FD COM 6706ET107 197 15565 SH SOLE 15565 0 0 NUVEEN EQUITY PREM INCOME FD COM 6706ER101 183 14523 SH SOLE 14523 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 1098 13129 SH SOLE 13129 0 0 OCWEN FINL CORP COM NEW 675746309 577 21034 SH SOLE 21034 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 142 100000 PRN SOLE 0 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 552 500000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 5850 5700000 PRN SOLE 0 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 307 300000 PRN SOLE 0 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 878 17565 SH SOLE 17565 0 0 PDL BIOPHARMA INC NOTE 2.875% 2/1 69329YAE4 5173 3875000 PRN SOLE 0 0 0 PETROLEUM & RES CORP COM 716549100 202 7693 SH SOLE 7693 0 0 PHH CORP NOTE 6.000% 6/1 693320AQ6 1594 875000 PRN SOLE 0 0 0 PHOTRONICS INC NOTE 5.500%10/0 719405AF9 8647 6450000 PRN SOLE 0 0 0 PHYSICIANS FORMULA HLDGS INC COM 719427106 76 15698 SH SOLE 15698 0 0 PIER 1 IMPORTS INC COM 720279108 9845 525368 SH SOLE 525368 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 827 475000 PRN SOLE 0 0 0 PLX TECHNOLOGY INC COM 693417107 860 148984 SH SOLE 148984 0 0 POWERWAVE TECHNOLOGIES INC COM NEW 739363307 170 279405 SH SOLE 279405 0 0 PPL CORP UNIT 99/99/9999 69351T601 661 12250 SH SOLE 12250 0 0 PRESIDENTIAL LIFE CORP COM 740884101 441 31663 SH SOLE 31663 0 0 PRIME ACQUISITION CORP SHS G72436101 220 22092 SH SOLE 22092 0 0 PROLOGIS NOTE 3.250% 3/1 74340XAT8 1916 1700000 PRN SOLE 0 0 0 RADIAN GROUP INC NOTE 3.000%11/1 750236AK7 955 1300000 PRN SOLE 0 0 0 RAILAMERICA INC COM 750753402 250 9104 SH SOLE 9104 0 0 REGIONS FINANCIAL CORP NEW COM 7591EP100 2954 409659 SH SOLE 409659 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 3272 2500000 PRN SOLE 0 0 0 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 295 300000 PRN SOLE 0 0 0 RITE AID CORP NOTE 8.500% 5/1 767754BU7 926 885000 PRN SOLE 0 0 0 ROBBINS & MYERS INC COM 770196103 871 14618 SH SOLE 14618 0 0 ROI ACQUISITION CORP COM 74966A104 174 18000 SH SOLE 18000 0 0 ROI ACQUISITION CORP *W EXP 02/28/201 74966A112 7 18000 SH SOLE 18000 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 429 6179 SH SOLE 6179 0 0 ROYCE FOCUS TR COM 78080N108 85 12662 SH SOLE 12662 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 7874 4225000 PRN SOLE 0 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 795 800000 PRN SOLE 0 0 0 SEABRIGHT HOLDINGS INC COM 811656107 475 43176 SH SOLE 43176 0 0 SHAW GROUP INC COM 820280105 1212 27791 SH SOLE 27791 0 0 SIGNATURE BK NEW YORK N Y *W EXP 12/12/201 82669G112 993 25320 SH SOLE 25320 0 0 SONIC AUTOMOTIVE INC CL A 83545G102 430 22655 SH SOLE 22655 0 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 1953 1750000 PRN SOLE 0 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 1284 1325000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.125% 7/1 860370AH8 1222 1175000 PRN SOLE 0 0 0 STEWART ENTERPRISES INC NOTE 3.375% 7/1 860370AK1 4091 3950000 PRN SOLE 0 0 0 STEWART INFORMATION SVCS COR NOTE 6.000%10/1 860372AB7 8169 4925000 PRN SOLE 0 0 0 SUN HEALTHCARE GROUP INC NEW COM 86677E100 483 57104 SH SOLE 57104 0 0 SUNPOWER CORP DBCV 4.750% 4/1 867652AC3 1381 1450000 PRN SOLE 0 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 378 26520 SH SOLE 26520 0 0 TAKE-TWO INTERACTIVE SOFTWAR NOTE 4.375% 6/0 874054AA7 1280 1050000 PRN SOLE 0 0 0 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 7385 4650000 PRN SOLE 0 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 1758 875000 PRN SOLE 0 0 0 THOMPSON CREEK METALS CO INC UNIT 99/99/9999 884768300 1114 65175 SH SOLE 65175 0 0 THORATEC CORP COM NEW 885175307 287 8307 SH SOLE 8307 0 0 TRIO MERGER CORP COM 896697109 112 11400 SH SOLE 11400 0 0 TRW AUTOMOTIVE INC NOTE 3.500%12/0 87264MAH2 372 225000 PRN SOLE 0 0 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 1196 1175000 PRN SOLE 0 0 0 TYCO INTERNATIONAL LTD SHS H89128104 1641 29172 SH SOLE 29172 0 0 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 4514 1500000 PRN SOLE 0 0 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 939 925000 PRN SOLE 0 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 970 17363 SH SOLE 17363 0 0 UNIVERSAL BUSINESS PMT SOL A COM 913384103 256 42664 SH SOLE 42664 0 0 UNIVERSAL BUSINESS PMT SOL A *W EXP 05/09/201 913384111 10 47952 SH SOLE 47952 0 0 VECTOR GROUP LTD DBCV 6/1 92240MAL2 297 270000 PRN SOLE 0 0 0 VECTOR GROUP LTD FRNT 11/1 92240MAS7 7843 6130000 PRN SOLE 0 0 0 VENOCO INC COM 92275P307 956 80510 SH SOLE 80510 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 16594 10850000 PRN SOLE 0 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 8986 5200000 PRN SOLE 0 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 3744 2125000 PRN SOLE 0 0 0 VITESSE SEMICONDUCTOR CORP COM NEW 928497304 258 105858 SH SOLE 105858 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 2383 1925 SH SOLE 1925 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 4296 2000000 PRN SOLE 0 0 0 WESTERN LIBERTY BANCORP COM 961443108 128 31477 SH SOLE 31477 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 1821 725000 PRN SOLE 0 0 0 WHITING PETE CORP NEW COM 966387102 8422 177746 SH SOLE 177746 0 0 WHITING PETE CORP NEW PERP PFD CONV 966387201 254 1104 SH SOLE 1104 0 0 WINTRUST FINANCIAL CORP *W EXP 12/19/201 97650W157 470 25071 SH SOLE 25071 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 1620 1350000 PRN SOLE 0 0 0