President & Chief Compliance Officer

0001172661-20-002203.txt : 20201116 0001172661-20-002203.hdr.sgml : 20201116 20201116120643 ACCESSION NUMBER: 0001172661-20-002203 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20200930 FILED AS OF DATE: 20201116 DATE AS OF CHANGE: 20201116 EFFECTIVENESS DATE: 20201116 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SSI INVESTMENT MANAGEMENT LLC CENTRAL INDEX KEY: 0000938487 IRS NUMBER: 952913505 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-04720 FILM NUMBER: 201314837 BUSINESS ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLY HILLS STATE: CA ZIP: 90210 BUSINESS PHONE: 3105952000 MAIL ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLY HILLS STATE: CA ZIP: 90210 FORMER COMPANY: FORMER CONFORMED NAME: SSI INVESTMENT MANAGEMENT INC DATE OF NAME CHANGE: 19990414 13F-HR 1 primary_doc.xml 13F-HR LIVE false true false 0000938487 XXXXXXXX 09-30-2020 09-30-2020 false SSI INVESTMENT MANAGEMENT LLC

9440 Santa Monica Blvd. 8th Floor Beverly Hills CA 90210

13F HOLDINGS REPORT 028-04720 N Syed Mehdi President & Chief Compliance Officer 310-595-2001 /s/ Syed Mehdi Beverly Hills CA 11-16-2020 3 448 1159521 1 0001125816 028-06487 FIRST TRUST ADVISORS LP 2 0001673385 028-17446 Morningstar Investment Management LLC 3 0000908758 028-14511 American Beacon Advisors, Inc. 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NOTE 1.625% 2/1 595017AF1 15784 10243000 PRN SOLE 10243000 0 0 MICRON TECHNOLOGY INC NOTE 3.125% 5/0 595112AX1 719 154000 PRN SOLE 154000 0 0 MICROSOFT CORP COM 594918104 3425 16277 SH SOLE 16277 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 240 306000 PRN SOLE 306000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 687 878000 PRN DFND 2 878000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 1108 1416000 PRN DFND 3 1416000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 6917 5028000 PRN SOLE 5028000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 1183 860000 PRN DFND 1 860000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 667 666000 PRN DFND 2 666000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 1252 1250000 PRN DFND 3 1250000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 184 184000 PRN SOLE 184000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 686 718000 PRN DFND 2 718000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 1099 1150000 PRN DFND 3 1150000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 126 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NOTE 2.625% 5/1 670008AD3 417 40000 PRN DFND 1 40000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 8848 850000 PRN SOLE 850000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 674 651000 PRN DFND 2 651000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1128 1089000 PRN DFND 3 1089000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 218 210000 PRN SOLE 210000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 832 573000 PRN SOLE 573000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 1193 821000 PRN DFND 3 821000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 577 397000 PRN DFND 2 397000 0 0 NUANCE COMMUNICATIONS INC NOTE 1.250% 4/0 67020YAN0 9411 5312000 PRN SOLE 5312000 0 0 NUANCE COMMUNICATIONS INC NOTE 1.250% 4/0 67020YAN0 1754 990000 PRN DFND 1 990000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 430 420000 PRN SOLE 420000 0 0 NVIDIA CORPORATION COM 67066G104 700 1295 SH SOLE 1295 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 2975 2250000 PRN DFND 1 2250000 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 11932 9025000 PRN SOLE 9025000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 1644 1245000 PRN DFND 1 1245000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 10108 7654000 PRN SOLE 7654000 0 0 ORACLE CORP COM 68389X105 320 5368 SH SOLE 5368 0 0 OREILLY AUTOMOTIVE INC COM 67103H107 204 444 SH SOLE 444 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 229 229000 PRN SOLE 229000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 696 696000 PRN DFND 2 696000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 1151 1150000 PRN DFND 3 1150000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 15072 13368000 PRN SOLE 13368000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 938 832000 PRN DFND 3 832000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 2322 2060000 PRN DFND 1 2060000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 640 568000 PRN DFND 2 568000 0 0 PAYPAL HLDGS INC COM 70450Y103 691 3492 SH SOLE 3492 0 0 PENN NATL GAMING INC NOTE 2.750% 5/1 707569AU3 1781 555000 PRN DFND 1 555000 0 0 PENN NATL GAMING INC NOTE 2.750% 5/1 707569AU3 828 258000 PRN DFND 2 258000 0 0 PENN NATL GAMING INC NOTE 2.750% 5/1 707569AU3 1576 491000 PRN DFND 3 491000 0 0 PENN NATL GAMING INC NOTE 2.750% 5/1 707569AU3 7466 2326000 PRN SOLE 2326000 0 0 PEPSICO INC COM 713448108 475 3414 SH SOLE 3414 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 204 157000 PRN DFND 2 157000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 274 211000 PRN DFND 3 211000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 172 132000 PRN SOLE 132000 0 0 PERKINELMER INC COM 714046109 274 2165 SH SOLE 2165 0 0 PFIZER INC COM 717081103 691 18855 SH SOLE 18855 0 0 PINDUODUO INC NOTE 10/0 722304AB8 3842 2128000 PRN SOLE 2128000 0 0 PINDUODUO INC NOTE 10/0 722304AB8 1399 775000 PRN DFND 1 775000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 644 589000 PRN DFND 2 589000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 1059 968000 PRN DFND 3 968000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 211 193000 PRN SOLE 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SOLE 312000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 328 359000 PRN DFND 2 359000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 730 800000 PRN DFND 3 800000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 978 1072000 PRN SOLE 1072000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 1316 925000 PRN DFND 1 925000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 6693 4709000 PRN SOLE 4709000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 164 194000 PRN SOLE 194000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 402 476000 PRN DFND 2 476000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 692 819000 PRN DFND 3 819000 0 0 RH NOTE 6/1 74967XAA1 13592 6697000 PRN SOLE 6697000 0 0 RH NOTE 6/1 74967XAA1 2598 1280000 PRN DFND 1 1280000 0 0 RINGCENTRAL INC NOTE 3/1 76680RAD9 470 140000 PRN DFND 1 140000 0 0 RINGCENTRAL INC NOTE 3/1 76680RAD9 3681 1096000 PRN SOLE 1096000 0 0 SALESFORCE COM INC COM 79466L302 574 2277 SH SOLE 2277 0 0 SAREPTA THERAPEUTICS INC COM 803607100 204 1439 SH SOLE 1439 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 2353 1135000 PRN DFND 1 1135000 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 10953 5283000 PRN SOLE 5283000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 671 894000 PRN DFND 2 894000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 1206 1606000 PRN DFND 3 1606000 0 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 200 6710 SH SOLE 6710 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1409 23748 SH SOLE 23748 0 0 SEMPRA ENERGY 6% PFD CONV A 816851406 993 10070 SH SOLE 10070 0 0 SERVICENOW INC COM 81762P102 378 780 SH SOLE 780 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 2350 650000 PRN DFND 1 650000 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 12116 3352000 PRN SOLE 3352000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 292 336000 PRN DFND 2 336000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 683 787000 PRN DFND 3 787000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 110 127000 PRN SOLE 127000 0 0 SILICON LABORATORIES INC NOTE 1.375% 3/0 826919AB8 238 199000 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2.250% 6/1 928298AP3 376 389000 PRN DFND 2 389000 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 584 604000 PRN DFND 3 604000 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 152 157000 PRN SOLE 157000 0 0 VONAGE HLDGS CORP NOTE 1.750% 6/0 92886TAJ1 495 514000 PRN DFND 2 514000 0 0 VONAGE HLDGS CORP NOTE 1.750% 6/0 92886TAJ1 833 865000 PRN DFND 3 865000 0 0 VONAGE HLDGS CORP NOTE 1.750% 6/0 92886TAJ1 164 171000 PRN SOLE 171000 0 0 WALMART INC COM 931142103 335 2401 SH SOLE 2401 0 0 WAYFAIR INC NOTE 0.375% 9/0 94419LAB7 1162 416000 PRN SOLE 416000 0 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 3886 1875000 PRN SOLE 1875000 0 0 WAYFAIR INC NOTE 1.125%11/0 94419LAD3 6521 2538000 PRN SOLE 2538000 0 0 WAYFAIR INC NOTE 1.125%11/0 94419LAD3 2454 955000 PRN DFND 1 955000 0 0 WEIBO CORP NOTE 1.250%11/1 948596AC5 266 280000 PRN DFND 2 280000 0 0 WEIBO CORP NOTE 1.250%11/1 948596AC5 491 517000 PRN DFND 3 517000 0 0 WEIBO CORP NOTE 1.250%11/1 948596AC5 160 168000 PRN SOLE 168000 0 0 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NOTE 1.500% 2/0 958102AP0 2227 2345000 PRN SOLE 2345000 0 0 WILLIS TOWERS WATSON PLC LTD SHS G96629103 201 959 SH SOLE 959 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 15572 10139000 PRN SOLE 10139000 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 3195 2080000 PRN DFND 1 2080000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 602 606000 PRN DFND 2 606000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 1171 1178000 PRN DFND 3 1178000 0 0 YY INC NOTE 1.375% 6/1 98426TAF3 398 370000 PRN DFND 1 370000 0 0 YY INC NOTE 1.375% 6/1 98426TAF3 817 760000 PRN DFND 2 760000 0 0 YY INC NOTE 1.375% 6/1 98426TAF3 1621 1509000 PRN DFND 3 1509000 0 0 YY INC NOTE 1.375% 6/1 98426TAF3 2969 2764000 PRN SOLE 2764000 0 0 ZENDESK INC NOTE 0.250% 3/1 98936JAB7 1806 1054000 PRN SOLE 1054000 0 0 ZILLOW GROUP INC NOTE 1.500% 7/0 98954MAC5 1106 777000 PRN SOLE 777000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 2756 1595000 PRN DFND 1 1595000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 1109 642000 PRN DFND 2 642000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 2132 1234000 PRN DFND 3 1234000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 11614 6722000 PRN SOLE 6722000 0 0 ZYNGA INC NOTE 0.250% 6/0 98986TAB4 6850 5412000 PRN SOLE 5412000 0 0 ZYNGA INC NOTE 0.250% 6/0 98986TAB4 1272 1005000 PRN DFND 1 1005000 0 0