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 |
ACCELERATE ACQUISITION CORP | *W EXP 06/15/202 | 00439D110 | 194 | 233,332 | PRN | | DFND | | 233,332 | 0 | 0 |
ACCELERATE ACQUISITION CORP | COM CL A | 00439D102 | 6,804 | 700,000 | SH | | DFND | | 700,000 | 0 | 0 |
ACORDA THERAPEUTICS INC | COM NEW | 00484M601 | 1,551 | 649,031 | SH | | DFND | | 649,031 | 0 | 0 |
ACORDA THERAPEUTICS INC | NOTE 6.000%12/0 | 00484MAC0 | 19,988 | 25,875,000 | PRN | | DFND | | 25,875,000 | 0 | 0 |
ADVANCED MERGER PARTNERS INC | *W EXP 06/30/202 | 00777J117 | 39 | 50,000 | PRN | | DFND | | 50,000 | 0 | 0 |
ADVANCED MERGER PARTNERS INC | COM CL A | 00777J109 | 2,916 | 300,000 | SH | | DFND | | 300,000 | 0 | 0 |
AGNC INVT CORP | COM | 00123Q104 | 51,082 | 3,396,432 | SH | | DFND | | 3,396,432 | 0 | 0 |
ALLSCRIPTS HEALTHCARE SOLUTI | NOTE 0.875% 1/0 | 01988PAF5 | 33,911 | 23,000,000 | PRN | | DFND | | 23,000,000 | 0 | 0 |
APOLLO STRATEGIC GRWT CPTL I | *W EXP 02/12/202 | G0412A128 | 190 | 200,000 | PRN | | DFND | | 200,000 | 0 | 0 |
APOLLO STRATEGIC GRWT CPTL I | SHS CL A | G0412A102 | 9,780 | 1,000,000 | SH | | DFND | | 1,000,000 | 0 | 0 |
ARCHER AVIATION INC | *W EXP 09/16/202 | 03945R110 | 967 | 833,333 | PRN | | DFND | | 833,333 | 0 | 0 |
ARCHER AVIATION INC | COM CL A | 03945R102 | 3,020 | 500,000 | SH | | DFND | | 500,000 | 0 | 0 |
ARCLIGHT CLEAN TRANSITION II | *W EXP 03/16/202 | G0R21B112 | 100 | 60,000 | PRN | | DFND | | 60,000 | 0 | 0 |
ARCLIGHT CLEAN TRANSITION II | CLASS A ORD SHS | G0R21B104 | 2,994 | 300,000 | SH | | DFND | | 300,000 | 0 | 0 |
ARDAGH METAL PACKAGING S A | SHS | L02235106 | 90,723 | 10,046,842 | SH | | DFND | | 10,046,842 | 0 | 0 |
ARES ACQUISITION CORPORATION | *W EXP 99/99/999 | G33032122 | 267 | 300,000 | PRN | | DFND | | 300,000 | 0 | 0 |
ARES ACQUISITION CORPORATION | COM CL A | G33032106 | 14,610 | 1,500,000 | SH | | DFND | | 1,500,000 | 0 | 0 |
ATLAS CREST INVESTMENT CORP | *W EXP 02/03/202 | 049287113 | 133 | 162,499 | PRN | | DFND | | 162,499 | 0 | 0 |
ATLAS CREST INVESTMENT CORP | COM CL A | 049287105 | 6,325 | 650,000 | SH | | DFND | | 650,000 | 0 | 0 |
AUSTERLITZ ACQUISITION CORP | *W EXP 02/19/202 | G0633U127 | 203 | 207,575 | PRN | | DFND | | 207,575 | 0 | 0 |
AUSTERLITZ ACQUISITION CORP | COM CL A | G0633U101 | 8,071 | 830,304 | SH | | DFND | | 830,304 | 0 | 0 |
AVAYA HLDGS CORP | NOTE 2.250% 6/1 | 05351XAB7 | 37,435 | 35,500,000 | PRN | | DFND | | 35,500,000 | 0 | 0 |
BAUSCH HEALTH COS INC | COM | 071734107 | 82,892 | 3,002,253 | SH | | DFND | | 3,002,253 | 0 | 0 |
BENEFITFOCUS INC | NOTE 1.250%12/1 | 08180DAB2 | 22,764 | 23,850,000 | PRN | | DFND | | 23,850,000 | 0 | 0 |
BERRY GLOBAL GROUP INC | COM | 08579W103 | 181,890 | 2,465,303 | SH | | DFND | | 2,465,303 | 0 | 0 |
BOYD GAMING CORP | COM | 103304101 | 89,595 | 1,366,400 | SH | | DFND | | 1,366,400 | 0 | 0 |
CBL & ASSOC PPTYS INC | COMMON STOCK | 124830878 | 137,168 | 4,396,411 | SH | | DFND | | 4,396,411 | 0 | 0 |
CBL & ASSOCIATES HOLDCO II L | NOTE 7.000%11/1 | 12511CAC4 | 104,563 | 54,629,215 | PRN | | DFND | | 54,629,215 | 0 | 0 |
CC NEUBERGER PRINCIPAL HOLDN | *W EXP 99/99/999 | G1992N126 | 174 | 159,998 | PRN | | DFND | | 159,998 | 0 | 0 |
CC NEUBERGER PRINCIPAL HOLDN | SHS CL A | G1992N100 | 7,904 | 800,000 | SH | | DFND | | 800,000 | 0 | 0 |
CHURCHILL CAPITAL CORP VII | *W EXP 02/29/202 | 17144M110 | 130 | 129,998 | PRN | | DFND | | 129,998 | 0 | 0 |
CHURCHILL CAPITAL CORP VII | COM CL A | 17144M102 | 6,390 | 650,000 | SH | | DFND | | 650,000 | 0 | 0 |
DECARBONIZATION PLUS ACQU II | *W EXP 01/19/202 | 242794113 | 317 | 201,615 | PRN | | DFND | | 201,615 | 0 | 0 |
DECARBONIZATION PLUS ACQU II | COM CL A | 242794105 | 2,533 | 254,018 | SH | | DFND | | 254,018 | 0 | 0 |
DELL TECHNOLOGIES INC | CL C | 24703L202 | 128,292 | 2,284,000 | SH | | DFND | | 2,284,000 | 0 | 0 |
EG ACQUISITION CORP | *W EXP 05/28/202 | 26846A118 | 269 | 433,332 | PRN | | DFND | | 433,332 | 0 | 0 |
EG ACQUISITION CORP | COM CL A | 26846A100 | 12,636 | 1,300,000 | SH | | DFND | | 1,300,000 | 0 | 0 |
ENCOMPASS HEALTH CORP | COM | 29261A100 | 68,638 | 1,051,762 | SH | | DFND | | 1,051,762 | 0 | 0 |
FINTECH EVOLUTION ACQUIS GRO | *W EXP 03/31/202 | G3R19A120 | 89 | 150,000 | PRN | | DFND | | 150,000 | 0 | 0 |
FINTECH EVOLUTION ACQUIS GRO | SHS CL A | G3R19A104 | 4,374 | 450,000 | SH | | DFND | | 450,000 | 0 | 0 |
FIRST RESERVE SUSTAINABLE GW | *W EXP 03/05/202 | 336169115 | 82 | 100,000 | PRN | | DFND | | 100,000 | 0 | 0 |
FIRST RESERVE SUSTAINABLE GW | CLASS A COM | 336169107 | 3,960 | 400,000 | SH | | DFND | | 400,000 | 0 | 0 |
FORTRESS VALUE ACQUISI CORP | *W EXP 03/18/202 | 34964K116 | 105 | 124,998 | PRN | | DFND | | 124,998 | 0 | 0 |
FORTRESS VALUE ACQUISI CORP | COM CL A | 34964K108 | 9,750 | 1,000,000 | SH | | DFND | | 1,000,000 | 0 | 0 |
G SQUARED ASCEND I INC | *W EXP 02/01/202 | G4204R117 | 38 | 44,494 | PRN | | DFND | | 44,494 | 0 | 0 |
G SQUARED ASCEND I INC | SHS CL A | G4204R109 | 2,198 | 222,479 | SH | | DFND | | 222,479 | 0 | 0 |
GOLDEN ARROW MERGER CORP | *W EXP 07/31/202 | 380799114 | 83 | 166,666 | PRN | | DFND | | 166,666 | 0 | 0 |
GOLDEN ARROW MERGER CORP | CLASS A COM | 380799106 | 4,840 | 500,000 | SH | | DFND | | 500,000 | 0 | 0 |
GOLDEN FALCON ACQUISITION CO | *W EXP 11/04/202 | 38102H117 | 315 | 500,000 | PRN | | DFND | | 500,000 | 0 | 0 |
GOLDEN FALCON ACQUISITION CO | CL A | 38102H109 | 9,780 | 1,000,000 | SH | | DFND | | 1,000,000 | 0 | 0 |
GORES HLDGS VIII INC | *W EXP 03/01/202 | 382863116 | 482 | 237,497 | PRN | | DFND | | 237,497 | 0 | 0 |
GORES HLDGS VIII INC | CL A | 382863108 | 18,732 | 1,836,507 | SH | | DFND | | 1,836,507 | 0 | 0 |
GORES HOLDINGS VII INC | *W EXP 02/25/202 | 38286T119 | 585 | 427,242 | PRN | | DFND | | 427,242 | 0 | 0 |
GORES HOLDINGS VII INC | COM CL A | 38286T101 | 33,428 | 3,417,946 | SH | | DFND | | 3,417,946 | 0 | 0 |
GORES TECHNOLOGY PARTNERS II | *W EXP 03/16/202 | 38287L115 | 781 | 596,528 | PRN | | DFND | | 596,528 | 0 | 0 |
GORES TECHNOLOGY PARTNERS II | CLASS A COM | 38287L107 | 29,528 | 2,982,650 | SH | | DFND | | 2,982,650 | 0 | 0 |
GORES TECHNOLOGY PARTNERS IN | *W EXP 03/16/202 | 382870111 | 385 | 291,933 | PRN | | DFND | | 291,933 | 0 | 0 |
GORES TECHNOLOGY PARTNERS IN | CLASS A COM | 382870103 | 14,349 | 1,459,680 | SH | | DFND | | 1,459,680 | 0 | 0 |
GUIDEWIRE SOFTWARE INC | NOTE 1.250% 3/1 | 40171VAA8 | 48,055 | 41,250,000 | PRN | | DFND | | 41,250,000 | 0 | 0 |
INSIGHT ENTERPRISES INC | NOTE 0.750% 2/1 | 45765UAB9 | 56,901 | 35,500,000 | PRN | | DFND | | 35,500,000 | 0 | 0 |
INTEGRA LIFESCIENCES HLDGS C | NOTE 0.500% 8/1 | 457985AM1 | 65,642 | 60,500,000 | PRN | | DFND | | 60,500,000 | 0 | 0 |
JACK CREEK INVESTMENT CORP | *W EXP 10/01/202 | G4989X123 | 94 | 175,000 | PRN | | DFND | | 175,000 | 0 | 0 |
JACK CREEK INVESTMENT CORP | CL A SHS | G4989X115 | 3,416 | 350,000 | SH | | DFND | | 350,000 | 0 | 0 |
JAWS MUSTANG ACQUISITION COR | *W EXP 01/30/202 | G50737124 | 515 | 500,000 | PRN | | DFND | | 500,000 | 0 | 0 |
JAWS MUSTANG ACQUISITION COR | SHS CL A | G50737108 | 19,500 | 2,000,000 | SH | | DFND | | 2,000,000 | 0 | 0 |
JAZZ INVESTMENTS I LTD | NOTE 1.500% 8/1 | 472145AD3 | 28,679 | 28,500,000 | PRN | | DFND | | 28,500,000 | 0 | 0 |
KERNEL GROUP HOLDINGS INC | *W EXP 02/02/202 | G5259L129 | 78 | 149,999 | PRN | | DFND | | 149,999 | 0 | 0 |
KERNEL GROUP HOLDINGS INC | CL A SHS | G5259L103 | 2,925 | 300,000 | SH | | DFND | | 300,000 | 0 | 0 |
KKR ACQUISITION HOLDING I CO | *W EXP 99/99/999 | 48253T117 | 50 | 50,000 | PRN | | DFND | | 50,000 | 0 | 0 |
KKR ACQUISITION HOLDING I CO | COM CLASS A | 48253T109 | 1,948 | 200,000 | SH | | DFND | | 200,000 | 0 | 0 |
L CATTERTON ASIA ACQUISITION | *W EXP 03/08/202 | G5346G117 | 237 | 299,849 | PRN | | DFND | | 299,849 | 0 | 0 |
L CATTERTON ASIA ACQUISITION | CLASS A ORD SHS | G5346G125 | 8,726 | 899,553 | SH | | DFND | | 899,553 | 0 | 0 |
LAZARD GROWTH ACQUISITION CO | *W EXP 02/10/202 | G54035111 | 61 | 70,000 | PRN | | DFND | | 70,000 | 0 | 0 |
LAZARD GROWTH ACQUISITION CO | CL A ORD SHS | G54035103 | 3,406 | 350,000 | SH | | DFND | | 350,000 | 0 | 0 |
LEVERE HOLDINGS CORP | *W EXP 03/09/202 | G5462L122 | 122 | 166,665 | PRN | | DFND | | 166,665 | 0 | 0 |
LEVERE HOLDINGS CORP | CLASS A ORD SHS | G5462L106 | 4,870 | 500,000 | SH | | DFND | | 500,000 | 0 | 0 |
LIBERTY LATIN AMERICA LTD | COM CL A | G9001E102 | 2,524 | 216,449 | SH | | DFND | | 216,449 | 0 | 0 |
LIBERTY LATIN AMERICA LTD | COM CL C | G9001E128 | 44,927 | 3,940,990 | SH | | DFND | | 3,940,990 | 0 | 0 |
LIBERTY MEDIA ACQUISITION CO | *W EXP 01/22/202 | 53073L112 | 164 | 93,883 | PRN | | DFND | | 93,883 | 0 | 0 |
LIBERTY MEDIA CORP DEL | NOTE 1.375%10/1 | 531229AB8 | 85,938 | 57,000,000 | PRN | | DFND | | 57,000,000 | 0 | 0 |
LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 | 39,863 | 40,000,000 | PRN | | DFND | | 40,000,000 | 0 | 0 |
MAGNUM OPUS ACQUISITION LTD | *W EXP 03/06/202 | G5S70A112 | 515 | 500,000 | PRN | | DFND | | 500,000 | 0 | 0 |
MAGNUM OPUS ACQUISITION LTD | SHS CL A | G5S70A104 | 9,920 | 1,000,000 | SH | | DFND | | 1,000,000 | 0 | 0 |
MASON INDUSTRIAL TECHNOLGY I | *W EXP 99/99/999 | 57520Y114 | 154 | 233,333 | PRN | | DFND | | 233,333 | 0 | 0 |
MASON INDUSTRIAL TECHNOLGY I | COM CL A | 57520Y106 | 6,832 | 700,000 | SH | | DFND | | 700,000 | 0 | 0 |
MIDDLEBY CORP | NOTE 1.000% 9/0 | 596278AB7 | 92,885 | 58,000,000 | PRN | | DFND | | 58,000,000 | 0 | 0 |
MSD ACQUISITION CORP | *W EXP 03/25/202 | G5709C125 | 96 | 80,000 | PRN | | DFND | | 80,000 | 0 | 0 |
MSD ACQUISITION CORP | CLASS A ORD SHS | G5709C109 | 3,956 | 400,000 | SH | | DFND | | 400,000 | 0 | 0 |
NEW RESIDENTIAL INVT CORP | COM NEW | 64828T201 | 200 | 18,700 | SH | | DFND | | 18,700 | 0 | 0 |
NOBLE CORP NEW | SHS | G6610J209 | 88,128 | 3,552,092 | SH | | DFND | | 3,552,092 | 0 | 0 |
NUVASIVE INC | NOTE 0.375% 3/1 | 670704AJ4 | 28,533 | 30,000,000 | PRN | | DFND | | 30,000,000 | 0 | 0 |
OMNICELL COM | NOTE 0.250% 9/1 | 68213NAD1 | 104,592 | 55,500,000 | PRN | | DFND | | 55,500,000 | 0 | 0 |
PAYSAFE LIMITED | *W EXP 03/30/202 | G6964L115 | 756 | 1,145,557 | PRN | | DFND | | 1,145,557 | 0 | 0 |
PAYSAFE LIMITED | ORD | G6964L107 | 24,926 | 6,375,053 | SH | | DFND | | 6,375,053 | 0 | 0 |
Q2 HLDGS INC | NOTE 0.125%11/1 | 74736LAF6 | 17,548 | 19,150,000 | PRN | | DFND | | 19,150,000 | 0 | 0 |
ROCKET INTERNET GRWT OPRT CO | *W EXP 99/99/999 | G7613T129 | 86 | 112,500 | PRN | | DFND | | 112,500 | 0 | 0 |
ROCKET INTERNET GRWT OPRT CO | SHS CL A | G7613T103 | 4,409 | 449,889 | SH | | DFND | | 449,889 | 0 | 0 |
RUSH STREET INTERACTIVE INC | COM | 782011100 | 43,452 | 2,633,452 | SH | | DFND | | 2,633,452 | 0 | 0 |
SANTANDER CONSUMER USA HLDGS | COM | 80283M101 | 131,112 | 3,120,236 | SH | | DFND | | 3,120,236 | 0 | 0 |
SCION TECH GROWTH II | *W EXP 01/28/202 | G31070116 | 140 | 233,332 | PRN | | DFND | | 233,332 | 0 | 0 |
SCION TECH GROWTH II | CL A SHS | G31070108 | 6,811 | 700,000 | SH | | DFND | | 700,000 | 0 | 0 |
SHAW COMMUNICATIONS INC | CL B CONV | 82028K200 | 105,166 | 3,460,300 | SH | | DFND | | 3,460,300 | 0 | 0 |
SPARTAN ACQUISITION CORP III | *W EXP 02/04/202 | 84677R114 | 216 | 150,000 | PRN | | DFND | | 150,000 | 0 | 0 |
SPARTAN ACQUISITION CORP III | COM CL A | 84677R106 | 5,922 | 600,000 | SH | | DFND | | 600,000 | 0 | 0 |
SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 | 40,363 | 36,750,000 | PRN | | DFND | | 36,750,000 | 0 | 0 |
STRIDE INC | NOTE 1.125% 9/0 | 86333MAA6 | 25,335 | 26,100,000 | PRN | | DFND | | 26,100,000 | 0 | 0 |
TARGET HOSPITALITY CORP | *W EXP 03/15/202 | 87615L115 | 0 | 500,000 | PRN | | DFND | | 500,000 | 0 | 0 |
TENET HEALTHCARE CORP | COM NEW | 88033G407 | 137,138 | 1,678,759 | SH | | DFND | | 1,678,759 | 0 | 0 |
THE ODP CORP | COM | 88337F105 | 49,319 | 1,255,575 | SH | | DFND | | 1,255,575 | 0 | 0 |
VALARIS LIMITED | CL A | G9460G101 | 115,137 | 3,198,254 | SH | | DFND | | 3,198,254 | 0 | 0 |
VMWARE INC | CL A COM | 928563402 | 72,540 | 625,992 | SH | | DFND | | 625,992 | 0 | 0 |
WARBURG PINCUS CAPTAL CORP I | *W EXP 99/99/999 | G9460M124 | 200 | 199,998 | PRN | | DFND | | 199,998 | 0 | 0 |
WARBURG PINCUS CAPTAL CORP I | *W EXP 99/99/999 | G9461D115 | 99 | 100,000 | PRN | | DFND | | 100,000 | 0 | 0 |
WARBURG PINCUS CAPTAL CORP I | SHS CL A | G9460M108 | 9,760 | 1,000,000 | SH | | DFND | | 1,000,000 | 0 | 0 |
WARBURG PINCUS CAPTAL CORP I | SHS CL A | G9461D107 | 4,900 | 500,000 | SH | | DFND | | 500,000 | 0 | 0 |
XILINX INC | COM | 983919101 | 116,617 | 550,000 | SH | | DFND | | 550,000 | 0 | 0 |