The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete. | |||||||||||||||||||||
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F INFORMATION TABLE |
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COLUMN 1 | COLUMN 2 | COLUMN 3 | COLUMN 4 | COLUMN 5 | COLUMN 6 | COLUMN 7 | COLUMN 8 | ||||
VALUE | SHRS OR | SH/ | PUT/ | INVESTMENT | OTHER | VOTING AUTHORITY | |||||
NAME OF ISSUER | TITLE OF CLASS | CUSIP | (x$1000) | PRN AMT | PRN | CALL | DISCRETION | MANAGER | SOLE | SHARED | NONE |
ACCURAY INC | NOTE 3.500% 2/0 | 004397AC9 | 8,272 | 6,500,000 | PRN | OTR | 0 | 0 | 0 | ||
AFFYMETRIX INC | NOTE 4.000% 7/0 | 00826TAH1 | 1,251 | 1,250,000 | PRN | OTR | 0 | 0 | 0 | ||
AK STL CORP | NOTE 5.000%11/1 | 001546AP5 | 4,628 | 5,300,000 | PRN | OTR | 0 | 0 | 0 | ||
ALLIANT TECHSYSTEMS INC | NOTE 3.000% 8/1 | 018804AK0 | 1,745 | 1,500,000 | PRN | OTR | 0 | 0 | 0 | ||
AMBAC FINL GROUP INC | COM NEW | 023139884 | 6,993 | 293,472 | SH | OTR | 0 | 293,472 | 0 | ||
AMERICAN CAP LTD | COM | 02503Y103 | 2,534 | 200,000 | SH | Call | OTR | 0 | 200,000 | 0 | |
AMTRUST FINANCIAL SERVICES I | NOTE 5.500%12/1 | 032359AC5 | 10,351 | 7,350,000 | PRN | OTR | 0 | 0 | 0 | ||
ANADARKO PETE CORP | COM | 032511107 | 1,719 | 20,000 | SH | OTR | 0 | 20,000 | 0 | ||
ARCH COAL INC | COM | 039380100 | 3,024 | 800,000 | SH | Call | OTR | 0 | 800,000 | 0 | |
ARCHER DANIELS MIDLAND CO | NOTE 0.875% 2/1 | 039483AW2 | 7,935 | 7,850,000 | PRN | OTR | 0 | 0 | 0 | ||
ARRIS GROUP INC | NOTE 2.000%11/1 | 04269QAC4 | 4,154 | 4,000,000 | PRN | OTR | 0 | 0 | 0 | ||
ASSURED GUARANTY LTD | COM | G0585R106 | 48,110 | 2,180,858 | SH | OTR | 0 | 2,180,858 | 0 | ||
BAKER HUGHES INC | COM | 057224107 | 2,307 | 50,000 | SH | Put | OTR | 0 | 50,000 | 0 | |
BARCLAYS BK PLC | IPATH S&P500 VIX | 06740C188 | 68,343 | 3,300,000 | SH | Put | OTR | 0 | 3,300,000 | 0 | |
BARRICK GOLD CORP | COM | 067901108 | 9,444 | 600,000 | SH | Call | OTR | 0 | 600,000 | 0 | |
BARRICK GOLD CORP | COM | 067901108 | 4,565 | 290,000 | SH | Put | OTR | 0 | 290,000 | 0 | |
CACI INTL INC | NOTE 2.125% 5/0 | 127190AD8 | 9,654 | 8,000,000 | PRN | OTR | 0 | 0 | 0 | ||
CADENCE DESIGN SYSTEM INC | NOTE 1.500%12/1 | 127387AF5 | 1,004 | 1,000,000 | PRN | OTR | 0 | 0 | 0 | ||
CATERPILLAR INC DEL | COM | 149123101 | 8,249 | 100,000 | SH | Put | OTR | 0 | 100,000 | 0 | |
CEMEX SAB DE CV | NOTE 3.750% 3/1 | 151290BC6 | 6,863 | 5,500,000 | PRN | OTR | 0 | 0 | 0 | ||
CHEVRON CORP NEW | COM | 166764100 | 1,183 | 10,000 | SH | OTR | 0 | 10,000 | 0 | ||
CIMAREX ENERGY CO | COM | 171798101 | 650 | 10,000 | SH | OTR | 0 | 10,000 | 0 | ||
CISCO SYS INC | COM | 17275R102 | 7,301 | 300,000 | SH | Put | OTR | 0 | 300,000 | 0 | |
CLAYMORE EXCHANGE TRD FD TR | GUGG CHN SML CAP | 18383Q853 | 533 | 24,000 | SH | OTR | 0 | 24,000 | 0 | ||
CME GROUP INC | COM | 12572Q105 | 3,419 | 45,000 | SH | OTR | 0 | 45,000 | 0 | ||
COVANTA HLDG CORP | NOTE 3.250% 6/0 | 22282EAC6 | 6,500 | 5,000,000 | PRN | OTR | 0 | 0 | 0 | ||
CUSTOMERS BANCORP INC | COM | 23204G100 | 247 | 15,211 | SH | OTR | 0 | 15,211 | 0 | ||
DEVON ENERGY CORP NEW | COM | 25179M103 | 233 | 4,500 | SH | OTR | 0 | 4,500 | 0 | ||
DU PONT E I DE NEMOURS & CO | COM | 263534109 | 5,250 | 100,000 | SH | Put | OTR | 0 | 100,000 | 0 | |
ELECTRONIC ARTS INC | NOTE 0.750% 7/1 | 285512AA7 | 5,229 | 5,000,000 | PRN | OTR | 0 | 0 | 0 | ||
ENCORE CAP GROUP INC | NOTE 3.000%11/2 | 292554AC6 | 922 | 750,000 | PRN | OTR | 0 | 0 | 0 | ||
ENDO HEALTH SOLUTIONS INC | NOTE 1.750% 4/1 | 29264FAB2 | 12,143 | 9,000,000 | PRN | OTR | 0 | 0 | 0 | ||
ENERNOC INC | COM | 292764107 | 351 | 26,447 | SH | OTR | 0 | 26,447 | 0 | ||
ENPRO INDS INC | DBCV 3.938%10/1 | 29355XAB3 | 10,727 | 6,707,000 | PRN | OTR | 0 | 0 | 0 | ||
EXXON MOBIL CORP | COM | 30231G102 | 18,070 | 200,000 | SH | Put | OTR | 0 | 200,000 | 0 | |
FORESTAR GROUP INC | NOTE 3.750% 3/0 | 346232AB7 | 2,643 | 2,310,000 | PRN | OTR | 0 | 0 | 0 | ||
GENERAL CABLE CORP DEL NEW | NOTE 0.875%11/1 | 369300AD0 | 7,991 | 8,000,000 | PRN | OTR | 0 | 0 | 0 | ||
GENERAL MTRS CO | COM | 37045V100 | 9,993 | 300,000 | SH | Call | OTR | 0 | 300,000 | 0 | |
GENWORTH FINL INC | COM CL A | 37247D106 | 11,410 | 1,000,000 | SH | Call | OTR | 0 | 1,000,000 | 0 | |
HALLIBURTON CO | COM | 406216101 | 2,503 | 60,000 | SH | Put | OTR | 0 | 60,000 | 0 | |
HEWLETT PACKARD CO | COM | 428236103 | 2,480 | 100,000 | SH | Put | OTR | 0 | 100,000 | 0 | |
HONDA MOTOR LTD | AMERN SHS | 438128308 | 3,353 | 90,000 | SH | Call | OTR | 0 | 90,000 | 0 | |
INTERNATIONAL GAME TECHNOLOG | NOTE 3.250% 5/0 | 459902AQ5 | 5,354 | 5,000,000 | PRN | OTR | 0 | 0 | 0 | ||
ISHARES INC | MSCI JAPAN | 464286848 | 33,660 | 3,000,000 | SH | Call | OTR | 0 | 3,000,000 | 0 | |
ISHARES TR | BARCLYS 20+ YR | 464287432 | 1,657 | 15,000 | SH | Call | OTR | 0 | 15,000 | 0 | |
ISHARES TR | BARCLYS 7-10 YR | 464287440 | 1,025 | 10,000 | SH | Call | OTR | 0 | 10,000 | 0 | |
ISHARES TR | FTSE CHINA25 IDX | 464287184 | 1,528 | 47,000 | SH | OTR | 0 | 47,000 | 0 | ||
ISHARES TR | FTSE CHINA25 IDX | 464287184 | 16,260 | 500,000 | SH | Call | OTR | 0 | 500,000 | 0 | |
ISHARES TR | FTSE CHINA25 IDX | 464287184 | 9,756 | 300,000 | SH | Put | OTR | 0 | 300,000 | 0 | |
ISHARES TR | MSCI EMERG MKT | 464287234 | 1,620 | 42,000 | SH | OTR | 0 | 42,000 | 0 | ||
ISHARES TR | MSCI EMERG MKT | 464287234 | 11,550 | 300,000 | SH | Call | OTR | 0 | 300,000 | 0 | |
ISHARES TR | S&P GLB100INDX | 464287572 | 10,716 | 158,655 | SH | OTR | 0 | 158,655 | 0 | ||
L-3 COMMUNICATIONS CORP | DEBT 3.000% 8/0 | 502413AW7 | 12,895 | 12,500,000 | PRN | OTR | 0 | 0 | 0 | ||
LINEAR TECHNOLOGY CORP | NOTE 3.000% 5/0 | 535678AC0 | 3,150 | 3,000,000 | PRN | OTR | 0 | 0 | 0 | ||
LORILLARD INC | COM | 544147101 | 6,552 | 150,000 | SH | Put | OTR | 0 | 150,000 | 0 | |
LOWES COS INC | COM | 548661107 | 2,045 | 50,000 | SH | Put | OTR | 0 | 50,000 | 0 | |
MBIA INC | COM | 55262C100 | 3,958 | 297,385 | SH | OTR | 0 | 297,385 | 0 | ||
MBIA INC | COM | 55262C100 | 2,662 | 200,000 | SH | Call | OTR | 0 | 200,000 | 0 | |
METLIFE INC | COM | 59156R108 | 6,864 | 150,000 | SH | Put | OTR | 0 | 150,000 | 0 | |
MICROCHIP TECHNOLOGY INC | SDCV 2.125%12/1 | 595017AB0 | 24,026 | 16,546,000 | PRN | OTR | 0 | 0 | 0 | ||
MITSUBISHI UFJ FINL GROUP IN | SPONSORED ADR | 606822104 | 1,242 | 200,000 | SH | Call | OTR | 0 | 200,000 | 0 | |
MORGAN STANLEY CHINA A SH FD | COM | 617468103 | 3,804 | 198,000 | SH | OTR | 0 | 198,000 | 0 | ||
NATIONAL OILWELL VARCO INC | COM | 637071101 | 13,780 | 200,000 | SH | Call | OTR | 0 | 200,000 | 0 | |
NEWMONT MINING CORP | COM | 651639106 | 1,249 | 41,700 | SH | OTR | 0 | 41,700 | 0 | ||
NIPPON TELEG & TEL CORP | SPONSORED ADR | 654624105 | 5,202 | 200,000 | SH | Call | OTR | 0 | 200,000 | 0 | |
NORFOLK SOUTHERN CORP | COM | 655844108 | 7,512 | 103,400 | SH | Put | OTR | 0 | 103,400 | 0 | |
NOVELLUS SYS INC | NOTE 2.625% 5/1 | 670008AD3 | 3,574 | 2,500,000 | PRN | OTR | 0 | 0 | 0 | ||
NUCOR CORP | COM | 670346105 | 34,656 | 800,000 | SH | Put | OTR | 0 | 800,000 | 0 | |
OMNICOM GROUP INC | NOTE 7/3 | 681919AV8 | 25,854 | 22,500,000 | PRN | OTR | 0 | 0 | 0 | ||
POWERSHARES QQQ TRUST | UNIT SER 1 | 73935A104 | 9,482 | 133,153 | SH | OTR | 0 | 133,153 | 0 | ||
PROCTER & GAMBLE CO | COM | 742718109 | 7,699 | 100,000 | SH | Put | OTR | 0 | 100,000 | 0 | |
PROSHARES TR | PSHS ULTSH 20YRS | 74347B201 | 43,458 | 600,000 | SH | Call | OTR | 0 | 600,000 | 0 | |
PROSPECT CAPITAL CORPORATION | MTNF 5.375%10/1 | 74348TAK8 | 1,047 | 1,000,000 | PRN | OTR | 0 | 0 | 0 | ||
RTI INTL METALS INC | NOTE 1.625%10/1 | 74973WAB3 | 4,603 | 4,869,000 | PRN | OTR | 0 | 0 | 0 | ||
SCHLUMBERGER LTD | COM | 806857108 | 1,792 | 25,000 | SH | OTR | 0 | 25,000 | 0 | ||
SELECT SECTOR SPDR TR | SBI INT-ENERGY | 81369Y506 | 4,702 | 60,000 | SH | OTR | 0 | 60,000 | 0 | ||
SELECT SECTOR SPDR TR | SBI INT-UTILS | 81369Y886 | 30,104 | 800,000 | SH | Call | OTR | 0 | 800,000 | 0 | |
SELECT SECTOR SPDR TR | SBI MATERIALS | 81369Y100 | 19,173 | 500,000 | SH | Call | OTR | 0 | 500,000 | 0 | |
SELECT SECTOR SPDR TR | SBI MATERIALS | 81369Y100 | 5,752 | 150,000 | SH | Put | OTR | 0 | 150,000 | 0 | |
SOLAZYME INC | COM | 83415T101 | 3,287 | 280,481 | SH | OTR | 0 | 280,481 | 0 | ||
SPDR GOLD TRUST | GOLD SHS | 78463V107 | 2,383 | 20,000 | SH | OTR | 0 | 20,000 | 0 | ||
SPDR S&P 500 ETF TR | TR UNIT | 78462F103 | 88,006 | 550,000 | SH | OTR | 0 | 550,000 | 0 | ||
SPDR S&P 500 ETF TR | TR UNIT | 78462F103 | 574,304 | 3,580,000 | SH | Put | OTR | 0 | 3,580,000 | 0 | |
SPDR SERIES TRUST | S&P OILGAS EXP | 78464A730 | 582 | 10,000 | SH | OTR | 0 | 10,000 | 0 | ||
SPDR SERIES TRUST | S&P OILGAS EXP | 78464A730 | 4,073 | 70,000 | SH | Put | OTR | 0 | 70,000 | 0 | |
TAKE-TWO INTERACTIVE SOFTWAR | NOTE 4.375% 6/0 | 874054AA7 | 17,059 | 11,892,000 | PRN | OTR | 0 | 0 | 0 | ||
TARGET CORP | COM | 87612E106 | 3,443 | 50,000 | SH | Put | OTR | 0 | 50,000 | 0 | |
TELEFLEX INC | NOTE 3.875% 8/0 | 879369AA4 | 9,145 | 6,662,000 | PRN | OTR | 0 | 0 | 0 | ||
TOYOTA MOTOR CORP | SP ADR REP2COM | 892331307 | 7,240 | 60,000 | SH | Call | OTR | 0 | 60,000 | 0 | |
U S AIRWAYS GROUP INC | COM | 90341W108 | 414,605 | 25,250,000 | SH | Call | OTR | 0 | 25,250,000 | 0 | |
U S AIRWAYS GROUP INC | COM | 90341W108 | 25,807 | 1,571,700 | SH | Put | OTR | 0 | 1,571,700 | 0 | |
UNITED PARCEL SERVICE INC | CL B | 911312106 | 7,783 | 90,000 | SH | Put | OTR | 0 | 90,000 | 0 | |
UNITED STATES OIL FUND LP | UNITS | 91232N108 | 1,709 | 50,000 | SH | Call | OTR | 0 | 50,000 | 0 | |
UNITED STATES OIL FUND LP | UNITS | 91232N108 | 15,678 | 458,700 | SH | Put | OTR | 0 | 458,700 | 0 | |
UNITED THERAPEUTICS CORP DEL | NOTE 1.000% 9/1 | 91307CAF9 | 14,977 | 10,250,000 | PRN | OTR | 0 | 0 | 0 | ||
VANGUARD INTL EQUITY INDEX F | FTSE EMR MKT ETF | 922042858 | 1,668 | 43,000 | SH | OTR | 0 | 43,000 | 0 | ||
VERISIGN INC | SDCV 3.250% 8/1 | 92343EAD4 | 19,988 | 14,046,000 | PRN | OTR | 0 | 0 | 0 | ||
VERIZON COMMUNICATIONS INC | COM | 92343V104 | 15,102 | 300,000 | SH | Call | OTR | 0 | 300,000 | 0 | |
XILINX INC | COM | 983919101 | 1,791 | 45,225 | SH | OTR | 0 | 45,225 | 0 |