0001030815-11-000008.txt : 20110516
0001030815-11-000008.hdr.sgml : 20110516
20110513212458
ACCESSION NUMBER: 0001030815-11-000008
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110331
FILED AS OF DATE: 20110516
DATE AS OF CHANGE: 20110513
EFFECTIVENESS DATE: 20110516
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SYMPHONY ASSET MANAGEMENT LLC
CENTRAL INDEX KEY: 0001030815
IRS NUMBER: 943252504
STATE OF INCORPORATION: CA
FISCAL YEAR END: 0331
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-05958
FILM NUMBER: 11843155
BUSINESS ADDRESS:
STREET 1: 555 CALIFORNIA STREET
STREET 2: SUITE 2975
CITY: SAN FRANCISCO
STATE: CA
ZIP: 94104
BUSINESS PHONE: 4156764000
MAIL ADDRESS:
STREET 1: 555 CALIFORNIA STREET
STREET 2: SUITE 2975
CITY: SAN FRANCISCO
STATE: CA
ZIP: 94104
13F-HR
1
f13f-hr_mar2011.txt
FIRST QUARTER 2011 13F-HR FILING
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: March 31, 2011
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: Symphony Asset Management LLC
Address: 555 California Street
Suite 2975
San Francisco, California 94104
Form 13F File Number: 028-5958
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: Martin M. Fawzy
Title: Compliance Manager
Phone: (415) 676-4000
Signature, Place, and Date of Signing:
/s/ Martin M. Fawzy San Francisco, California 5/13/2011
----------------------- ------------------------- -----------
[Signature] [City, State] [Date]
Report Type (Check only one.):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings are reported in this report, and
all holdings are reported by other reporting manager(s).
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for
this reporting manager are reported in this report and a portion are
reported by other reporting manager(s).)
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 1
------------------------
Form 13F Information Table Entry Total: 470
------------------------
Form 13F Information Table Value Total: $ 1,642,671
------------------------
(thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file number(s) of
all institutional investment managers with respect to which this report is
filed, other than the manager filing this report.
NO. 13F File Number Name
--- ---------------- ------------------------
1 028-11405 Nuveen Investments, Inc.
Voting Authority
Title ----------------------
of Value Shares/ Sh/ Put Invstmt Other
Name of Issuer Class CUSIP (x$1000) Prn Amt Prn Cal Dscretn Manager Sole Shared None
------------------------------ ------ --------- -------- --------- ---- --- ------- -------- ---------- ------ ----
ABB LTD-SPON ADR ADR 000375204 3169 131002 SH DEFINED 1 131002 0 0
ACACIA RESEARCH - ACACIA TEC COM 003881307 1378 40136 SH DEFINED 1 39597 0 539
ACCENTURE PLC-CL A COM G1151C101 2203 40086 SH DEFINED 1 40086 0 0
ADVANCE AUTO PARTS INC COM 00751Y106 1697 25852 SH DEFINED 1 25852 0 0
ADVANCED MICRO DEVICES 5.750% 08/15/12 CVT BND 007903AN7 32244 31229000 PRN DEFINED 1 31229000 0 0
ADVANCED MICRO DEVICES 6.000% 05/01/15 CVT BND 007903AL1 5034 4881000 PRN DEFINED 1 4881000 0 0
ADVENT SOFTWARE INC COM 007974108 1239 43190 SH DEFINED 1 42499 0 691
AES TRUST III 6.750% 10/15/29 CVT BND 00808N202 1758 35650 PRN DEFINED 1 35650 0 0
AFFILIATED MANAGERS GROU 3.950% 08/15/38 CV BND 008252AL2 1291 1100000 PRN DEFINED 1 1100000 0 0
AFFILIATED MANAGERS GROUP COM 008252108 6132 56067 SH DEFINED 1 56067 0 0
AFFYMETRIX INC COM 00826T108 448 86069 SH DEFINED 1 84506 0 1563
AFLAC INC COM 001055102 2270 43016 SH DEFINED 1 43016 0 0
AIR METHODS CORP COM 009128307 1375 20446 SH DEFINED 1 20121 0 325
AIRGAS INC COM 009363102 3156 47510 SH DEFINED 1 47510 0 0
AKAMAI TECHNOLOGIES COM 00971T101 387 10180 SH DEFINED 1 10180 0 0
ALCATEL-LUCENT USA INC 2.875% 06/15/25 SR:B BND 549463AH0 1887 1950000 PRN DEFINED 1 1950000 0 0
ALCOA INC 5.250% 03/15/14 CVT BND 013817AT8 3797 1350000 PRN DEFINED 1 1350000 0 0
ALIGN TECHNOLOGY INC COM 016255101 1523 74348 SH DEFINED 1 73181 0 1167
ALLEGHENY TECHNOLOGIES 4.250% 06/01/14 CVT BND 01741RAD4 1319 750000 PRN DEFINED 1 750000 0 0
ALLERGAN INC 1.500% 04/01/26 CVT BND 018490AL6 2897 2592000 PRN DEFINED 1 2592000 0 0
ALLIANT TECHSYSTEMS INC 2.750% 09/15/11 CVT BND 018804AN4 5859 5815000 PRN DEFINED 1 5815000 0 0
ALPHA NATURAL RESOURCES 2.375% 04/15/15 CVT BND 02076XAA0 1292 950000 PRN DEFINED 1 950000 0 0
ALTERRA CAPITAL HOLDINGS LTD COM G0229R108 1843 82783 SH DEFINED 1 81481 0 1302
ALTRIA GROUP INC COM 02209S103 1646 63216 SH DEFINED 1 63216 0 0
AMERICAN MEDICAL SYSTEMS 4.000% 09/15/41 SR BND 02744MAB4 1002 750000 PRN DEFINED 1 750000 0 0
AMERIGROUP CORP 2.000% 05/15/12 CVT BND 03073TAB8 10249 6677000 PRN DEFINED 1 6677000 0 0
AMERIPRISE FINANCIAL INC COM 03076C106 624 10222 SH DEFINED 1 10222 0 0
AMERISOURCEBERGEN CORP COM 03073E105 3215 81269 SH DEFINED 1 81269 0 0
AMGEN INC COM 031162100 3559 66585 SH DEFINED 1 66585 0 0
AMGEN INC 0.375% 02/01/13 CVT BND 031162AQ3 20755 20886000 PRN DEFINED 1 20886000 0 0
AMYLIN PHARMACEUTICALS 3.000% 06/15/14 CVT BND 032346AF5 9959 11580000 PRN DEFINED 1 11580000 0 0
ANIXTER INTL INC 1.000% 02/15/13 CVT BND 035290AJ4 1084 864000 PRN DEFINED 1 864000 0 0
ANNALY CAPITAL MANAGEMENT IN COM 035710409 1149 65785 SH DEFINED 1 65785 0 0
ANSYS INC COM 03662Q105 2006 37020 SH DEFINED 1 36566 0 454
ANWORTH MORTGAGE ASSET CORP COM 037347101 1678 236572 SH DEFINED 1 232249 0 4323
AON CORP COM 037389103 1485 28034 SH DEFINED 1 28034 0 0
APACHE CORP COM 037411105 2406 18381 SH DEFINED 1 18381 0 0
APOLLO INVESTMENT CORP COM 03761U106 1141 94564 SH DEFINED 1 92826 0 1738
APPLE INC COM 037833100 16701 47921 SH DEFINED 1 47921 0 0
ARCH COAL INC COM 039380100 1529 42431 SH DEFINED 1 42431 0 0
ARCHER DANIELS 0.875% 02/15/14 CVT BND 039483AW2 2003 1800000 PRN DEFINED 1 1800000 0 0
ARTIO GLOBAL INVESTORS INC COM 04315B107 792 49025 SH DEFINED 1 48216 0 809
ASSOCIATED BANC-CORP COM 045487105 3397 228753 SH DEFINED 1 228753 0 0
ASTEC INDUSTRIES INC COM 046224101 1400 37545 SH DEFINED 1 36929 0 616
AUTOMATIC DATA PROCESSING COM 053015103 5073 98858 SH DEFINED 1 98858 0 0
BALLY TECHNOLOGIES INC COM 05874B107 778 20543 SH DEFINED 1 20543 0 0
BANK OF AMERICA CORP 7.250% PERP SR:L CVT BND 060505682 7657 7570 PRN DEFINED 1 7570 0 0
BAXTER INTERNATIONAL INC COM 071813109 587 10928 SH DEFINED 1 10928 0 0
BE AEROSPACE INC COM 073302101 234 6588 SH DEFINED 1 6588 0 0
BECKMAN COULTER INC COM 075811109 306 3678 SH DEFINED 1 3678 0 0
BECKMAN COULTER INC 2.500% 12/15/36 CVT BND 075811AD1 1484 1250000 PRN DEFINED 1 1250000 0 0
BECTON DICKINSON AND CO COM 075887109 2631 33037 SH DEFINED 1 33037 0 0
BEST BUY 2.250% 01/15/22 CVT BND 086516AF8 1283 1250000 PRN DEFINED 1 1250000 0 0
BIOGEN IDEC INC COM 09062X103 1165 15859 SH DEFINED 1 15859 0 0
BIOMARIN PHARMACEUTICAL 1.875% 04/23/17 CVT BND 09061GAD3 1354 1000000 PRN DEFINED 1 1000000 0 0
BIOMARIN PHARMACEUTICAL INC COM 09061G101 486 19309 SH DEFINED 1 19309 0 0
BIO-RAD LABORATORIES-CL A COM 090572207 1434 11930 SH DEFINED 1 11742 0 188
BLACKBOARD INC 3.250% 07/01/27 CVT BND 091935AA4 7908 7830000 PRN DEFINED 1 7830000 0 0
BLACKROCK KELSO CAPITAL CORP COM 092533108 1522 150374 SH DEFINED 1 150374 0 0
BOISE INC COM 09746Y105 1257 137178 SH DEFINED 1 135012 0 2166
BORGWARNER INC 3.500% 04/15/12 CVT BND 099724AF3 2323 950000 PRN DEFINED 1 950000 0 0
BOSTON PROPERTIES LP 2.875% 02/15/37 CVT BND 10112RAK0 304 300000 PRN DEFINED 1 300000 0 0
BRISTOL-MYERS SQUIBB CO COM 110122108 4576 173136 SH DEFINED 1 173136 0 0
BRISTOW GROUP INC 3.000% 06/15/38 CVT BND 110394AC7 4916 4910000 PRN DEFINED 1 4910000 0 0
BROADCOM CORP-CL A COM 111320107 480 12189 SH DEFINED 1 12189 0 0
BROOKFIELD PROPERTIES CORP COM 112900105 2971 168069 SH DEFINED 1 168069 0 0
CALAMOS ASSET MANAGEMENT-A COM 12811R104 915 55175 SH DEFINED 1 54305 0 870
CAMDEN PROPERTY TRUST COM 133131102 4549 80047 SH DEFINED 1 80047 0 0
CAMERON INTERNATIONAL CORP COM 13342B105 1499 26250 SH DEFINED 1 26250 0 0
CAMERON INTL CORP 2.500% 06/15/26 CVT BND 13342BAB1 2148 1331000 PRN DEFINED 1 1331000 0 0
CAN IMPERIAL BK OF COMMERCE COM 136069101 3159 36682 SH DEFINED 1 36682 0 0
CARRIZO OIL & GAS INC 4.375% 06/01/28 CVT BND 144577AA1 6934 6969000 PRN DEFINED 1 6969000 0 0
CATERPILLAR INC COM 149123101 6952 62428 SH DEFINED 1 62428 0 0
CELANESE CORP-SERIES A COM 150870103 1851 41704 SH DEFINED 1 41704 0 0
CELGENE CORP COM 151020104 382 6632 SH DEFINED 1 6632 0 0
CENTENE CORP COM 15135B101 961 29118 SH DEFINED 1 28665 0 453
CENTRAL EURO MEDIA ENTER 5.000% 11/15/15 CV BND 153443AH9 2734 3000000 PRN DEFINED 1 3000000 0 0
CENTURYLINK INC COM 156700106 2520 60644 SH DEFINED 1 60644 0 0
CF INDUSTRIES HOLDINGS INC COM 125269100 282 2056 SH DEFINED 1 2056 0 0
CHARLES RIVER LABORATORI 2.250% 06/15/13 CV BND 159864AB3 990 950000 PRN DEFINED 1 950000 0 0
CHARMING SHOPPES 1.125% 05/01/14 CVT BND 161133AE3 10691 12395000 PRN DEFINED 1 12395000 0 0
CHARTER COMMUNICATION-A COM 16117M305 1605 22838 SH DEFINED 1 22838 0 0
CHESAPEAKE ENERGY CORP COM 165167107 1029 30721 SH DEFINED 1 30721 0 0
CHESAPEAKE ENERGY CORP 2.500% 05/15/37 CVT BND 165167BZ9 2836 2611000 PRN DEFINED 1 2611000 0 0
CHESAPEAKE ENERGY CORP 2.750% 11/15/35 CVT BND 165167BW6 1223 1050000 PRN DEFINED 1 1050000 0 0
CHIPOTLE MEXICAN GRILL-CL A COM 169656105 1249 4588 SH DEFINED 1 4588 0 0
CHIQUITA BRANDS INTL 4.250% 08/15/16 CVT BND 170032AT3 780 750000 PRN DEFINED 1 750000 0 0
CIENA CORP 0.250% 05/01/13 CVT BND 171779AB7 8048 7890000 PRN DEFINED 1 7890000 0 0
CIENA CORP 0.875% 06/15/17 CVT BND 171779AE1 1669 1710000 PRN DEFINED 1 1710000 0 0
CIMAREX ENERGY CO COM 171798101 1512 13118 SH DEFINED 1 13118 0 0
CITIGROUP INC-CW18 COM 172967234 1014 3900000 SH DEFINED 1 3900000 0 0
CITIGROUP INC-CW19 COM 172967226 1768 1750000 SH DEFINED 1 1750000 0 0
CLEAN HARBORS INC COM 184496107 1658 16801 SH DEFINED 1 16525 0 276
CLIFFS NATURAL RESOURCES INC COM 18683K101 385 3923 SH DEFINED 1 3923 0 0
CLOUD PEAK ENERGY INC COM 18911Q102 4566 211481 SH DEFINED 1 209838 0 1643
CMS ENERGY CORP 2.875% 12/01/24 CVT BND 125896AW0 1826 1200000 PRN DEFINED 1 1200000 0 0
COCA-COLA CO/THE BND 191216100 4517 68079 PRN DEFINED 1 68079 0 0
COCA-COLA FEMSA SAB-SP ADR ADR 191241108 4206 54638 SH DEFINED 1 54638 0 0
COINSTAR INC 4.000% 09/01/14 CVT BND 19259PAF9 1329 961000 PRN DEFINED 1 961000 0 0
COLGATE-PALMOLIVE CO COM 194162103 436 5397 SH DEFINED 1 5397 0 0
COLUMBIA BANKING SYSTEM INC COM 197236102 1515 78990 SH DEFINED 1 77740 0 1250
COMCAST CORP-CLASS A COM 20030N101 12144 491242 SH DEFINED 1 491242 0 0
COMERICA INC COM 200340107 1271 34626 SH DEFINED 1 34626 0 0
COMMERCE BANCSHARES INC COM 200525103 1028 25426 SH DEFINED 1 25426 0 0
COMMONWEALTH REIT 6.500% PERP SR:D CVT BND 203233408 1162 54011 PRN DEFINED 1 54011 0 0
COMMUNITY BANK SYSTEM INC COM 203607106 2080 85698 SH DEFINED 1 84338 0 1360
COMMVAULT SYSTEMS INC COM 204166102 2286 57308 SH DEFINED 1 56403 0 905
COMTECH TELECOMMUNICATIONS COM 205826209 662 24292 SH DEFINED 1 23913 0 379
CONOCOPHILLIPS COM 20825C104 4167 52173 SH DEFINED 1 52173 0 0
CONSOLIDATED EDISON INC COM 209115104 1043 20581 SH DEFINED 1 20581 0 0
CONSTELLATION ENERGY GROUP COM 210371100 1833 58882 SH DEFINED 1 58882 0 0
CONTINENTAL RESOURCES INC/OK BND 212015101 6158 86165 PRN DEFINED 1 86165 0 0
COOPER TIRE & RUBBER COM 216831107 4881 189552 SH DEFINED 1 188088 0 1464
CORN PRODUCTS INTL INC COM 219023108 426 8231 SH DEFINED 1 8231 0 0
COSTCO WHOLESALE CORP COM 22160K105 730 9960 SH DEFINED 1 9960 0 0
CR BARD INC COM 067383109 479 4825 SH DEFINED 1 4825 0 0
CSG SYSTEMS INTL INC COM 126349109 1420 71176 SH DEFINED 1 70053 0 1123
CSX CORP COM 126408103 3748 47688 SH DEFINED 1 47688 0 0
CUBIST PHARMACEUTICALS 2.250% 06/15/13 CVT BND 229678AC1 3751 3473000 PRN DEFINED 1 3473000 0 0
CUMMINS INC COM 231021106 8072 73634 SH DEFINED 1 73634 0 0
CYPRESS SEMICONDUCTOR CORP COM 232806109 5727 295506 SH DEFINED 1 295506 0 0
D.R. HORTON INC 2.000% 05/15/14 SR:DHI CVT BND 23331ABB4 1814 1591000 PRN DEFINED 1 1591000 0 0
DAKTRONICS INC COM 234264109 121 11270 SH DEFINED 1 11270 0 0
DANAHER CORP 0.000% 01/22/21 CVT BND 235851AF9 3170 2113000 PRN DEFINED 1 2113000 0 0
DECKERS OUTDOOR CORP COM 243537107 1408 16341 SH DEFINED 1 16133 0 208
DEERE & CO COM 244199105 1048 10814 SH DEFINED 1 10814 0 0
DELPHI FINANCIAL GROUP-CL A COM 247131105 2700 87913 SH DEFINED 1 86513 0 1400
DENDREON CORP 2.875% 01/15/16 CVT BND 24823QAC1 15682 14900000 PRN DEFINED 1 14900000 0 0
DEVON ENERGY CORPORATION COM 25179M103 3214 35026 SH DEFINED 1 35026 0 0
DEX ONE CORP COM 25212W100 9296 46868 SH DEFINED 1 46868 0 0
DIAMOND FOODS INC COM 252603105 664 11902 SH DEFINED 1 11686 0 216
DIGITAL REALTY TRUST INC COM 253868103 4756 81801 SH DEFINED 1 81801 0 0
DILLARDS INC-CL A COM 254067101 1693 42191 SH DEFINED 1 41507 0 684
DIRECTV-CLASS A COM 25490A101 1504 32127 SH DEFINED 1 32127 0 0
DISCOVER FINANCIAL SERVICES COM 254709108 2582 107047 SH DEFINED 1 107047 0 0
DOMINION RESOURCES INC/VA BND 25746U109 1763 39450 PRN DEFINED 1 39450 0 0
DOMTAR CORP COM 257559203 1672 18219 SH DEFINED 1 18219 0 0
DOVER CORP COM 260003108 384 5840 SH DEFINED 1 5840 0 0
DR PEPPER SNAPPLE GROUP INC COM 26138E109 465 12486 SH DEFINED 1 12486 0 0
DUKE ENERGY CORP COM 26441C105 1924 105999 SH DEFINED 1 105999 0 0
DUKE REALTY CORP COM 264411505 469 33474 SH DEFINED 1 33474 0 0
DUPONT FABROS TECHNOLOGY COM 26613Q106 1408 58048 SH DEFINED 1 56986 0 1062
E*TRADE FINANCIAL CORP COM 269246401 2120 135659 SH DEFINED 1 135659 0 0
EARTHLINK INC FLT 11/15/26 CVT BND 270321AA0 14588 13650000 PRN DEFINED 1 13650000 0 0
EAST WEST BANCORP INC COM 27579R104 6719 305963 SH DEFINED 1 305963 0 0
EATON CORP COM 278058102 997 17984 SH DEFINED 1 17984 0 0
Eaton Vance Floating Rate Income Trust COM 278279104 5832 353668 SH DEFINED 1 353668 0 0
Eaton Vance Senior Income Trust COM 27826S103 6988 963820 SH DEFINED 1 963820 0 0
EDISON INTERNATIONAL COM 281020107 255 6971 SH DEFINED 1 6971 0 0
EDWARDS LIFESCIENCES CORP COM 28176E108 2636 30306 SH DEFINED 1 30306 0 0
EL PASO ENERGY CAP TRST 4.750% 03/31/28 CVT BND 283678209 389 8775 PRN DEFINED 1 8775 0 0
EMC CORP 1.750% 12/01/11 CVT BND 268648AK8 3174 1918000 PRN DEFINED 1 1918000 0 0
EMC CORP 1.750% 12/01/13 CVT BND 268648AM4 25660 15050000 PRN DEFINED 1 15050000 0 0
ENERGY PARTNERS LTD COM 29270U303 700 58348 SH DEFINED 1 58348 0 0
EQUINIX INC 2.500% 04/15/12 CVT BND 29444UAF3 6808 6530000 PRN DEFINED 1 6530000 0 0
EQUINIX INC 3.000% 10/15/14 CVT BND 29444UAG1 1350 1250000 PRN DEFINED 1 1250000 0 0
EQUINIX INC 4.750% 06/15/16 CVT BND 29444UAH9 1451 1080000 PRN DEFINED 1 1080000 0 0
EQUITY LIFESTYLE PROPERTIES COM 29472R108 2063 35795 SH DEFINED 1 35226 0 569
ERP OPERATING LP 3.850% 08/15/26 CVT BND 26884AAV5 1126 1100000 PRN DEFINED 1 1100000 0 0
ESSEX PROPERTY TRUST INC COM 297178105 531 4278 SH DEFINED 1 4278 0 0
ESTERLINE TECHNOLOGIES CORP COM 297425100 2065 29205 SH DEFINED 1 28733 0 472
EVEREST RE GROUP LTD COM G3223R108 686 7778 SH DEFINED 1 7778 0 0
EXELON CORP COM 30161N101 2179 52840 SH DEFINED 1 52840 0 0
EXIDE TECHNOLOGIES FLT 09/18/13 CVT BND 302051AL1 9736 10480000 PRN DEFINED 1 10480000 0 0
EXPEDIA INC COM 30212P105 891 39339 SH DEFINED 1 39339 0 0
EXPRESS SCRIPTS INC COM 302182100 1123 20197 SH DEFINED 1 20197 0 0
EXTERRAN HOLDINGS INC 4.250% 06/15/14 CVT BND 30225XAA1 1049 850000 PRN DEFINED 1 850000 0 0
EXXON MOBIL CORP COM 30231G102 1726 20524 SH DEFINED 1 20524 0 0
FIFTH THIRD BANCORP 8.500% PERP SR:G CVT BND 316773209 1876 12705 PRN DEFINED 1 12705 0 0
FIRST FINANCIAL BANCORP COM 320209109 1309 78416 SH DEFINED 1 77133 0 1283
FISHER SCIENTIFIC INTL 3.250% 03/01/24 CVT BND 338032AX3 820 600000 PRN DEFINED 1 600000 0 0
FIVE STAR QUALITY CARE COM 33832D106 615 75632 SH DEFINED 1 74283 0 1349
FLIR SYSTEMS INC COM 302445101 3720 107492 SH DEFINED 1 107492 0 0
FMC TECHNOLOGIES INC COM 30249U101 1309 14012 SH DEFINED 1 14012 0 0
FORD MOTOR COMPANY 4.250% 11/15/16 CVT BND 345370CN8 3514 1939000 PRN DEFINED 1 1939000 0 0
FOSSIL INC COM 349882100 3026 32317 SH DEFINED 1 31824 0 493
FREEPORT-MCMORAN COPPER COM 35671D857 9819 176756 SH DEFINED 1 176756 0 0
GENCO SHIPPING & TRADING LTD COM Y2685T107 1182 109730 SH DEFINED 1 107992 0 1738
GENCORP INC 2.250% 11/15/24 CVT BND 368682AL4 12518 12581000 PRN DEFINED 1 12581000 0 0
GENERAL CABLE CORP 0.875% 11/15/13 CVT BND 369300AD0 1244 1137000 PRN DEFINED 1 1137000 0 0
GENERAL CABLE CORP FLT 11/15/29 CVT BND 369300AL2 1160 831000 PRN DEFINED 1 831000 0 0
GENERAL ELECTRIC CO COM 369604103 5376 268123 SH DEFINED 1 268123 0 0
GENERAL MILLS INC COM 370334104 851 23289 SH DEFINED 1 23289 0 0
GENERAL MOTORS CO 4.750% 12/01/13 SR:B CVT BND 37045V209 2183 45076 PRN DEFINED 1 45076 0 0
GENESEE & WYOMING INC-CL A COM 371559105 2679 46028 SH DEFINED 1 45277 0 751
GEOEYE INC COM 37250W108 1820 43754 SH DEFINED 1 43062 0 692
GERON CORP COM 374163103 57 11250 SH DEFINED 1 11250 0 0
GOODRICH PETROLEUM CORP 5.000% 10/01/29 CVT BND 382410AC2 12596 12410000 PRN DEFINED 1 12410000 0 0
GOODYEAR TIRE & RUBBER CO COM 382550101 256 17133 SH DEFINED 1 17133 0 0
GOOGLE INC-CL A COM 38259P508 10095 17205 SH DEFINED 1 17205 0 0
GRAFTECH INTERNATIONAL LTD COM 384313102 2461 119279 SH DEFINED 1 117404 0 1875
HALLIBURTON CO COM 406216101 2521 50584 SH DEFINED 1 50584 0 0
HARTFORD FINANCIAL SVCS GRP COM 416515104 3349 124360 SH DEFINED 1 124360 0 0
HAWAIIAN HOLDINGS INC COM 419879101 140 23297 SH DEFINED 1 23297 0 0
HEADWATERS INC 2.500% 02/01/14 CVT BND 42210PAD4 18666 20625000 PRN DEFINED 1 20625000 0 0
HEALTH CARE REIT INC 3.000% 12/01/29 CVT BND 42217KAR7 1429 1258000 PRN DEFINED 1 1258000 0 0
HEALTHSOUTH CORP COM 421924309 2980 119293 SH DEFINED 1 117422 0 1871
HELIX ENERGY SOLUTIONS 3.250% 12/15/25 CVT BND 127914AB5 13797 13745000 PRN DEFINED 1 13745000 0 0
HERSHEY CO/THE BND 427866108 4680 86104 PRN DEFINED 1 86104 0 0
HERTZ GLOBAL HOLDINGS IN 5.250% 06/01/14 CV BND 42805TAA3 2315 1149000 PRN DEFINED 1 1149000 0 0
HERTZ GLOBAL HOLDINGS INC COM 42805T105 341 21829 SH DEFINED 1 21829 0 0
HESS CORP COM 42809H107 3858 45287 SH DEFINED 1 45287 0 0
HJ HEINZ CO COM 423074103 1981 40578 SH DEFINED 1 40578 0 0
HOLOGIC INC COM 436440101 390 17575 SH DEFINED 1 17575 0 0
HOLOGIC INC 2.000% 12/15/37 SR:2010 CVT BND 436440AB7 2401 1974000 PRN DEFINED 1 1974000 0 0
HOLOGIC INC FLT 12/15/37 CVT BND 436440AA9 1871 1939000 PRN DEFINED 1 1939000 0 0
HOME DEPOT INC COM 437076102 727 19616 SH DEFINED 1 19616 0 0
HOME PROPERTIES INC COM 437306103 1616 27416 SH DEFINED 1 26987 0 429
HONEYWELL INTERNATIONAL INC COM 438516106 1526 25545 SH DEFINED 1 25545 0 0
HORNBECK OFFSHORE SERVICES COM 440543106 1523 49342 SH DEFINED 1 48569 0 773
HUMANA INC COM 444859102 3725 53271 SH DEFINED 1 53271 0 0
HUNT (JB) TRANSPRT SVCS INC COM 445658107 7030 154781 SH DEFINED 1 154781 0 0
IAC/INTERACTIVECORP BND 44919P508 440 14250 PRN DEFINED 1 14250 0 0
ICONIX BRAND GROUP INC 1.875% 06/30/12 CVT BND 451055AB3 16278 16097000 PRN DEFINED 1 16097000 0 0
INCYTE CORP COM 45337C102 865 54582 SH DEFINED 1 53652 0 930
INGERSOLL-RAND GL HLD CO 4.500% 04/15/12 CV BND 45687AAD4 2536 934000 PRN DEFINED 1 934000 0 0
INLAND REAL ESTATE CORP COM 457461200 141 14810 SH DEFINED 1 14810 0 0
INLAND REAL ESTATE CORP 4.625% 11/15/26 CVT BND 457461AB7 13050 13050000 PRN DEFINED 1 13050000 0 0
INTEL CORP COM 458140100 2795 138549 SH DEFINED 1 138549 0 0
INTEL CORP 2.950% 12/15/35 CVT BND 458140AD2 3353 3259000 PRN DEFINED 1 3259000 0 0
INTERDIGITAL INC COM 45867G101 1446 30292 SH DEFINED 1 29821 0 471
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INTL BUSINESS MACHINES CORP COM 459200101 7102 43553 SH DEFINED 1 43553 0 0
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