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 |
| ADVANCED MICRO DEVICES INC | NOTE 2.125% 9/0 | 007903BD8 | 2,721 | 1,554,000 | PRN | SOLE | 1,302,000 | 0 | 252,000 | ||
| ADVANCED MICRO DEVICES INC | NOTE 2.125% 9/0 | 007903BD8 | 18,507 | 10,553,000 | PRN | OTR | 1 | 2,013,000 | 8,540,000 | 0 | |
| AIR LEASE CORP | NOTE 3.875%12/0 | 00912XAK0 | 48,280 | 34,859,000 | PRN | OTR | 1 | 6,651,000 | 28,208,000 | 0 | |
| AIR LEASE CORP | NOTE 3.875%12/0 | 00912XAK0 | 8,030 | 5,819,000 | PRN | SOLE | 4,871,000 | 0 | 948,000 | ||
| ALLERGAN PLC | PFD CONV SER A | G0177J116 | 31,535 | 36,446 | SH | OTR | 1 | 8,130 | 28,316 | 0 | |
| ALLERGAN PLC | PFD CONV SER A | G0177J116 | 4,175 | 4,813 | SH | SOLE | 4,045 | 0 | 768 | ||
| ALZA CORP | SDCV 7/2 | 02261WAB5 | 13,555 | 7,445,000 | PRN | SOLE | 7,445,000 | 0 | 0 | ||
| AMERICAN EAGLE OUTFITTERS NE | COM | 02553E106 | 30,859 | 2,560,914 | SH | OTR | 1 | 141,590 | 2,419,324 | 0 | |
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.000% 8/0 | 02917TAA2 | 4,445 | 4,420,000 | PRN | OTR | 1 | 1,830,000 | 2,590,000 | 0 | |
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.750%12/1 | 02917TAB0 | 69,712 | 67,640,000 | PRN | OTR | 1 | 14,955,000 | 52,685,000 | 0 | |
| AMERICAN TOWER CORP NEW | DEP PFD CONV SE | 03027X407 | 39,323 | 325,488 | SH | OTR | 1 | 88,625 | 236,863 | 0 | |
| AMERICAN TOWER CORP NEW | DEP PFD CONV SE | 03027X407 | 8,549 | 70,522 | SH | SOLE | 59,211 | 0 | 11,311 | ||
| ANTHEM INC | NOTE 2.750%10/1 | 94973VBG1 | 42,431 | 16,442,000 | PRN | OTR | 1 | 4,270,000 | 12,172,000 | 0 | |
| ARCONIC INC | PFD CONV B SER 1 | 03965L308 | 7,323 | 203,178 | SH | OTR | 1 | 55,978 | 147,200 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 26,247 | 24,849,000 | PRN | OTR | 1 | 1,280,000 | 23,569,000 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 5,126 | 4,876,000 | PRN | SOLE | 4,102,000 | 0 | 774,000 | ||
| BAKER HUGHES INC | COM | 057224107 | 2,799 | 51,357 | SH | OTR | 1 | 0 | 51,357 | 0 | |
| BANK AMER CORP | COM | 060505104 | 16,164 | 666,299 | SH | OTR | 1 | 0 | 666,299 | 0 | |
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 8,184 | 6,485 | SH | SOLE | 5,463 | 0 | 1,022 | ||
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 35,669 | 28,205 | SH | OTR | 1 | 7,097 | 21,108 | 0 | |
| BECTON DICKINSON & CO | PFD SHS CONV A | 075887208 | 18,634 | 339,796 | SH | OTR | 1 | 67,543 | 272,253 | 0 | |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.750%10/1 | 09061GAE1 | 38,320 | 34,426,000 | PRN | OTR | 1 | 5,623,000 | 28,803,000 | 0 | |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.750%10/1 | 09061GAE1 | 5,061 | 4,567,000 | PRN | SOLE | 3,822,000 | 0 | 745,000 | ||
| BIOMARIN PHARMACEUTICAL INC | NOTE 1.500%10/1 | 09061GAF8 | 2,619 | 2,193,000 | PRN | SOLE | 2,193,000 | 0 | 0 | ||
| BLACKROCK FLA MUN 2020 TERM | COM SHS | 09250M109 | 3,075 | 203,891 | SH | SOLE | 203,891 | 0 | 0 | ||
| BLACKROCK LONG-TERM MUNI ADV | COM | 09250B103 | 1,055 | 89,446 | SH | SOLE | 89,446 | 0 | 0 | ||
| BLACKROCK MUN 2030 TAR TERM | COM SHS BEN IN | 09257P105 | 3,881 | 167,704 | SH | SOLE | 167,704 | 0 | 0 | ||
| BLACKROCK MUNI INTER DR FD I | COM | 09253X102 | 11,232 | 800,000 | SH | SOLE | 800,000 | 0 | 0 | ||
| BLACKROCK MUNIHLDGS NJ QLTY | COM | 09254X101 | 1,916 | 132,807 | SH | SOLE | 132,807 | 0 | 0 | ||
| BLACKROCK MUNIHLDGS NY QLTY | COM | 09255C106 | 909 | 69,174 | SH | SOLE | 69,174 | 0 | 0 | ||
| BLACKROCK MUNIYLD MICH QLTY | COM | 09254V105 | 6,998 | 498,780 | SH | SOLE | 498,780 | 0 | 0 | ||
| CARRIAGE SVCS INC | NOTE 2.750% 3/1 | 143905AM9 | 22,594 | 17,355,000 | PRN | OTR | 1 | 6,151,000 | 11,204,000 | 0 | |
| CHART INDS INC | NOTE 2.000% 8/0 | 16115QAC4 | 26,451 | 26,551,000 | PRN | OTR | 1 | 5,670,000 | 20,881,000 | 0 | |
| CHART INDS INC | NOTE 2.000% 8/0 | 16115QAC4 | 3,184 | 3,212,000 | PRN | SOLE | 2,696,000 | 0 | 516,000 | ||
| CHENIERE ENERGY INC | NOTE 4.250% 3/1 | 16411RAG4 | 1,314 | 1,890,000 | PRN | SOLE | 1,890,000 | 0 | 0 | ||
| CITRIX SYS INC | NOTE 0.500% 4/1 | 177376AD2 | 22,610 | 18,793,000 | PRN | OTR | 1 | 4,889,000 | 13,904,000 | 0 | |
| CITRIX SYS INC | NOTE 0.500% 4/1 | 177376AD2 | 5,344 | 4,451,000 | PRN | SOLE | 3,746,000 | 0 | 705,000 | ||
| COMSTOCK RES INC | COM | 205768302 | 707 | 100,000 | SH | OTR | 1 | 0 | 100,000 | 0 | |
| COMSTOCK RES INC | NOTE 7.750% 4/0 | 205768AM6 | 18,165 | 23,288,147 | PRN | OTR | 1 | 5,097,708 | 18,190,439 | 0 | |
| COMSTOCK RES INC | NOTE 9.500% 6/1 | 205768AN4 | 38,351 | 49,806,892 | PRN | OTR | 1 | 9,041,707 | 40,765,185 | 0 | |
| DANAHER CORP DEL | NOTE 1/2 | 235851AF9 | 60,234 | 18,670,000 | PRN | OTR | 1 | 3,363,000 | 15,307,000 | 0 | |
| DANAHER CORP DEL | NOTE 1/2 | 235851AF9 | 10,306 | 3,197,000 | PRN | SOLE | 2,690,000 | 0 | 507,000 | ||
| DELAWARE INV MN MUN INC FD I | COM | 24610V103 | 8,297 | 564,399 | SH | SOLE | 564,399 | 0 | 0 | ||
| DELAWARE INVT NAT MUNI INC F | SH BEN INT | 24610T108 | 3,420 | 256,199 | SH | SOLE | 256,199 | 0 | 0 | ||
| DELTA AIR LINES INC DEL | COM NEW | 247361702 | 16,290 | 303,129 | SH | OTR | 1 | 0 | 303,129 | 0 | |
| DEPOMED INC | NOTE 2.500% 9/0 | 249908AA2 | 10,654 | 12,090,000 | PRN | OTR | 1 | 2,678,000 | 9,412,000 | 0 | |
| DEPOMED INC | NOTE 2.500% 9/0 | 249908AA2 | 1,690 | 1,926,000 | PRN | SOLE | 1,631,000 | 0 | 295,000 | ||
| DYCOM INDS INC | NOTE 0.750% 9/1 | 267475AB7 | 754 | 647,000 | PRN | SOLE | 647,000 | 0 | 0 | ||
| EATON VANCE MUN INCOME 2028 | SHS | 27829U105 | 1,772 | 88,224 | SH | SOLE | 88,224 | 0 | 0 | ||
| EATON VANCE NEW YORK MUN BD | COM | 27827Y109 | 7,192 | 575,336 | SH | SOLE | 575,336 | 0 | 0 | ||
| ECHO GLOBAL LOGISTICS INC | NOTE 2.500% 5/0 | 27875TAA9 | 16,517 | 17,160,000 | PRN | OTR | 1 | 776,000 | 16,384,000 | 0 | |
| ELECTRONICS FOR IMAGING INC | NOTE 0.750% 9/0 | 286082AC6 | 2,258 | 2,097,000 | PRN | SOLE | 2,097,000 | 0 | 0 | ||
| FINISAR CORP | NOTE 0.500%12/1 | 31787AAM3 | 669 | 600,000 | PRN | SOLE | 600,000 | 0 | 0 | ||
| FIREEYE INC | COM | 31816Q101 | 1,618 | 106,360 | SH | SOLE | 106,360 | 0 | 0 | ||
| GENERAL CABLE CORP DEL NEW | FRNT 4.500%11/1 | 369300AL2 | 2,562 | 3,380,000 | PRN | SOLE | 3,380,000 | 0 | 0 | ||
| GOGO INC | NOTE 3.750% 3/0 | 38046CAB5 | 1,815 | 1,980,000 | PRN | SOLE | 1,980,000 | 0 | 0 | ||
| HALLIBURTON CO | COM | 406216101 | 7,975 | 186,718 | SH | OTR | 1 | 0 | 186,718 | 0 | |
| HEALTHSOUTH CORP | COM NEW | 421924309 | 33,755 | 697,410 | SH | OTR | 1 | 103,516 | 593,894 | 0 | |
| HEALTHSOUTH CORP | COM NEW | 421924309 | 5,886 | 121,607 | SH | SOLE | 102,085 | 0 | 19,522 | ||
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.250% 5/0 | 42330PAH0 | 27,638 | 29,461,000 | PRN | OTR | 1 | 6,621,000 | 22,840,000 | 0 | |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.250% 5/0 | 42330PAH0 | 4,565 | 4,892,000 | PRN | SOLE | 4,117,000 | 0 | 775,000 | ||
| HOLOGIC INC | DEBT 2.000% 3/0 | 436440AC5 | 45,644 | 31,103,000 | PRN | OTR | 1 | 6,092,000 | 25,011,000 | 0 | |
| HOLOGIC INC | DEBT 2.000% 3/0 | 436440AC5 | 8,364 | 5,709,000 | PRN | SOLE | 4,770,000 | 0 | 939,000 | ||
| ILLUMINA INC | NOTE 6/1 | 452327AF6 | 11,112 | 10,948,000 | PRN | OTR | 1 | 3,949,000 | 6,999,000 | 0 | |
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 18,450 | 17,263,000 | PRN | OTR | 1 | 3,133,000 | 14,130,000 | 0 | |
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 4,694 | 4,413,000 | PRN | SOLE | 3,682,000 | 0 | 731,000 | ||
| INPHI CORP | NOTE 1.125%12/0 | 45772FAB3 | 24,384 | 21,651,000 | PRN | OTR | 1 | 3,445,000 | 18,206,000 | 0 | |
| INPHI CORP | NOTE 1.125%12/0 | 45772FAB3 | 4,069 | 3,629,000 | PRN | SOLE | 3,078,000 | 0 | 551,000 | ||
| INTEGRATED DEVICE TECHNOLOGY | NOTE 0.875%11/1 | 458118AC0 | 1,679 | 1,582,000 | PRN | SOLE | 1,582,000 | 0 | 0 | ||
| INTEL CORP | SDCV 12/1 | 458140AD2 | 7,649 | 5,845,000 | PRN | SOLE | 5,588,000 | 0 | 257,000 | ||
| INTEL CORP | SDCV 3.250% 8/0 | 458140AF7 | 9,597 | 5,803,000 | PRN | SOLE | 5,542,000 | 0 | 261,000 | ||
| INTERCEPT PHARMACEUTICALS IN | NOTE 3.250% 7/0 | 45845PAA6 | 14,770 | 15,110,000 | PRN | OTR | 1 | 3,374,000 | 11,736,000 | 0 | |
| INTERCEPT PHARMACEUTICALS IN | NOTE 3.250% 7/0 | 45845PAA6 | 1,994 | 2,050,000 | PRN | SOLE | 1,749,000 | 0 | 301,000 | ||
| INTERDIGITAL INC | NOTE 1.500% 3/0 | 458660AD9 | 751 | 618,000 | PRN | SOLE | 618,000 | 0 | 0 | ||
| INVESCO MUN TR | COM | 46131J103 | 309 | 24,087 | SH | SOLE | 24,087 | 0 | 0 | ||
| INVESCO QUALITY MUNI INC TRS | COM | 46133G107 | 1,272 | 99,857 | SH | SOLE | 99,857 | 0 | 0 | ||
| IRONWOOD PHARMACEUTICALS INC | DBCV 2.250% 6/1 | 46333XAD0 | 1,174 | 874,000 | PRN | SOLE | 874,000 | 0 | 0 | ||
| ISHARES GOLD TRUST | ISHARES | 464285105 | 7,497 | 627,900 | SH | OTR | 1 | 9,200 | 618,700 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 21,507 | 20,230,000 | PRN | OTR | 1 | 4,186,000 | 16,044,000 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 2,889 | 2,724,000 | PRN | SOLE | 2,259,000 | 0 | 465,000 | ||
| J2 GLOBAL INC | NOTE 3.250% 6/1 | 48123VAC6 | 1,248 | 910,000 | PRN | SOLE | 910,000 | 0 | 0 | ||
| JAZZ INVESTMENTS I LTD | NOTE 1.875% 8/1 | 472145AB7 | 1,678 | 1,529,000 | PRN | SOLE | 1,529,000 | 0 | 0 | ||
| LAM RESEARCH CORP | NOTE 1.250% 5/1 | 512807AL2 | 7,573 | 3,245,000 | PRN | SOLE | 2,732,000 | 0 | 513,000 | ||
| LAM RESEARCH CORP | NOTE 1.250% 5/1 | 512807AL2 | 28,201 | 12,058,000 | PRN | OTR | 1 | 1,075,000 | 10,983,000 | 0 | |
| LEXICON PHARMACEUTICALS INC | NOTE 5.250%12/0 | 528872AB0 | 5,159 | 2,482,000 | PRN | SOLE | 2,482,000 | 0 | 0 | ||
| LIBERTY INTERACTIVE LLC | DEB 1.750% 9/3 | 530610AD6 | 2,836 | 2,470,000 | PRN | SOLE | 2,470,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 24,957 | 20,992,000 | PRN | OTR | 1 | 4,135,000 | 16,857,000 | 0 | |
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 5,659 | 4,780,000 | PRN | SOLE | 4,018,000 | 0 | 762,000 | ||
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 8/1 | 53220KAD0 | 2,410 | 1,452,000 | PRN | SOLE | 1,452,000 | 0 | 0 | ||
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.875% 7/1 | 55608BAA3 | 51,441 | 46,343,000 | PRN | OTR | 1 | 10,281,000 | 36,062,000 | 0 | |
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.875% 7/1 | 55608BAA3 | 5,135 | 4,647,000 | PRN | SOLE | 3,901,000 | 0 | 746,000 | ||
| MERCADOLIBRE INC | NOTE 2.250% 7/0 | 58733RAB8 | 25,909 | 12,763,000 | PRN | OTR | 1 | 2,871,000 | 9,892,000 | 0 | |
| MFS HIGH INCOME MUN TR | SH BEN INT | 59318D104 | 1,881 | 361,805 | SH | SOLE | 361,805 | 0 | 0 | ||
| MFS MUN INCOME TR | SH BEN INT | 552738106 | 2,471 | 347,524 | SH | SOLE | 347,524 | 0 | 0 | ||
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 6,690 | 4,447,000 | PRN | SOLE | 3,710,000 | 0 | 737,000 | ||
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 48,477 | 32,117,000 | PRN | OTR | 1 | 5,924,000 | 26,193,000 | 0 | |
| MICRON TECHNOLOGY INC | NOTE 3.000%11/1 | 595112AY9 | 25,656 | 22,704,000 | PRN | OTR | 1 | 7,665,000 | 15,039,000 | 0 | |
| MOLINA HEALTHCARE INC | DBCV 1.625% 8/1 | 60855RAD2 | 30,658 | 23,940,000 | PRN | OTR | 1 | 5,047,000 | 18,893,000 | 0 | |
| MOLINA HEALTHCARE INC | DBCV 1.625% 8/1 | 60855RAD2 | 4,319 | 3,386,000 | PRN | SOLE | 2,851,000 | 0 | 535,000 | ||
| NEWPARK RES INC | NOTE 4.000%10/0 | 651718AC2 | 5,056 | 5,063,000 | PRN | SOLE | 4,314,000 | 0 | 749,000 | ||
| NEXTERA ENERGY INC | UNIT 08/31/2018 | 65339F846 | 8,448 | 131,590 | SH | SOLE | 131,590 | 0 | 0 | ||
| NOVELLUS SYS INC | NOTE 2.625% 5/1 | 670008AD3 | 11,832 | 2,831,000 | PRN | SOLE | 2,831,000 | 0 | 0 | ||
| NUANCE COMMUNICATIONS INC | NOTE 2.750%11/0 | 67020YAF7 | 4,526 | 4,540,000 | PRN | SOLE | 3,795,000 | 0 | 745,000 | ||
| NUVASIVE INC | NOTE 2.250% 3/1 | 670704AG0 | 1,676 | 1,210,000 | PRN | SOLE | 1,210,000 | 0 | 0 | ||
| NUVEEN AMT FREE MUN CR INC F | COM | 67071L106 | 17,124 | 1,130,278 | SH | SOLE | 1,130,278 | 0 | 0 | ||
| NUVEEN AMT FREE QLTY MUN INC | COM | 670657105 | 24,575 | 1,795,140 | SH | SOLE | 1,795,140 | 0 | 0 | ||
| NUVEEN MARYLAND QLT MUN INC | COM | 67061Q107 | 2,596 | 200,000 | SH | SOLE | 200,000 | 0 | 0 | ||
| NUVEEN MICHIGAN QLT MUN INC | COM | 670979103 | 4,110 | 300,000 | SH | SOLE | 300,000 | 0 | 0 | ||
| NUVEEN MUNICIPAL CREDIT INC | COM SH BEN INT | 67070X101 | 19,932 | 1,335,931 | SH | SOLE | 1,335,931 | 0 | 0 | ||
| NUVEEN NEW YORK AMT QLT MUNI | COM | 670656107 | 8,503 | 648,590 | SH | OTR | 1 | 548,590 | 100,000 | 0 | |
| NUVEEN PENNSYLVANIA QLT MUN | COM | 670972108 | 7,533 | 563,000 | SH | SOLE | 563,000 | 0 | 0 | ||
| NXP SEMICONDUCTORS N V | DBCV 1.000%12/0 | 62952QAB6 | 43,320 | 36,175,000 | PRN | OTR | 1 | 7,825,000 | 28,350,000 | 0 | |
| OASIS PETE INC NEW | NOTE 2.625% 9/1 | 674215AJ7 | 21,453 | 21,821,000 | PRN | OTR | 1 | 3,386,000 | 18,435,000 | 0 | |
| ON SEMICONDUCTOR CORP | NOTE 1.000%12/0 | 682189AK1 | 24,114 | 23,131,000 | PRN | OTR | 1 | 5,044,000 | 18,087,000 | 0 | |
| PETROQUEST ENERGY INC | COM NEW | 716748306 | 3,199 | 1,615,674 | SH | OTR | 1 | 416,039 | 1,199,635 | 0 | |
| PRICELINE GRP INC | NOTE 1.000% 3/1 | 741503AQ9 | 45,241 | 22,885,000 | PRN | OTR | 1 | 1,925,000 | 20,960,000 | 0 | |
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 33,566 | 22,776,000 | PRN | OTR | 1 | 7,441,000 | 15,335,000 | 0 | |
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 8,338 | 5,677,000 | PRN | SOLE | 4,738,000 | 0 | 939,000 | ||
| PROOFPOINT INC | DBCV 0.750% 6/1 | 743424AD5 | 23,160 | 18,519,000 | PRN | OTR | 1 | 3,893,000 | 14,626,000 | 0 | |
| PROOFPOINT INC | DBCV 0.750% 6/1 | 743424AD5 | 5,629 | 4,519,000 | PRN | SOLE | 3,784,000 | 0 | 735,000 | ||
| PUTNAM MUN OPPORTUNITIES TR | SH BEN INT | 746922103 | 15,437 | 1,234,990 | SH | SOLE | 1,234,990 | 0 | 0 | ||
| RAMBUS INC DEL | NOTE 1.125% 8/1 | 750917AE6 | 17,942 | 16,517,000 | PRN | OTR | 1 | 3,214,000 | 13,303,000 | 0 | |
| RED HAT INC | NOTE 0.250%10/0 | 756577AD4 | 4,814 | 3,487,000 | PRN | SOLE | 2,939,000 | 0 | 548,000 | ||
| RED HAT INC | NOTE 0.250%10/0 | 756577AD4 | 27,721 | 20,006,000 | PRN | OTR | 1 | 9,841,000 | 10,165,000 | 0 | |
| REX ENERGY CORPORATION | COM NEW | 761565506 | 472 | 163,490 | SH | OTR | 1 | 29,993 | 133,497 | 0 | |
| RPM INTL INC | NOTE 2.250%12/1 | 749685AT0 | 7,620 | 6,438,000 | PRN | SOLE | 6,159,000 | 0 | 279,000 | ||
| RTI INTL METALS INC | NOTE 1.625%10/1 | 74973WAB3 | 1,838 | 1,715,000 | PRN | SOLE | 1,715,000 | 0 | 0 | ||
| SALESFORCE COM INC | NOTE 0.250% 4/0 | 79466LAD6 | 34,288 | 25,878,000 | PRN | OTR | 1 | 7,808,000 | 18,070,000 | 0 | |
| SALESFORCE COM INC | NOTE 0.250% 4/0 | 79466LAD6 | 6,080 | 4,597,000 | PRN | SOLE | 3,849,000 | 0 | 748,000 | ||
| SANCHEZ ENERGY CORP | COM | 79970Y105 | 119 | 16,611 | SH | OTR | 1 | 0 | 16,611 | 0 | |
| SERVICENOW INC | NOTE 11/0 | 81762PAB8 | 28,540 | 19,456,000 | PRN | OTR | 1 | 6,075,000 | 13,381,000 | 0 | |
| SERVICENOW INC | NOTE 11/0 | 81762PAB8 | 6,445 | 4,409,000 | PRN | SOLE | 3,676,000 | 0 | 733,000 | ||
| SOUTHWESTERN ENERGY CO | DEP SHS 1/20 B | 845467208 | 1,400 | 95,947 | SH | SOLE | 80,757 | 0 | 15,190 | ||
| SOUTHWESTERN ENERGY CO | DEP SHS 1/20 B | 845467208 | 4,935 | 331,738 | SH | OTR | 1 | 17,616 | 314,122 | 0 | |
| SPDR GOLD TRUST | GOLD SHS | 78463V107 | 22,306 | 189,000 | SH | OTR | 1 | 0 | 189,000 | 0 | |
| SPECTRANETICS CORP | MTNF 2.625% 6/0 | 84760CAA5 | 1,747 | 1,288,000 | PRN | SOLE | 1,288,000 | 0 | 0 | ||
| STANLEY BLACK & DECKER INC | UNIT 05/15/2020 | 854502887 | 17,683 | 163,124 | SH | OTR | 1 | 37,383 | 125,741 | 0 | |
| STARWOOD PPTY TR INC | NOTE 4.000% 1/1 | 85571BAB1 | 2,098 | 1,842,000 | PRN | SOLE | 1,842,000 | 0 | 0 | ||
| STONE ENERGY CORP | COM PAR | 861642403 | 72,056 | 3,920,351 | SH | OTR | 1 | 1,077,512 | 2,842,839 | 0 | |
| T MOBILE US INC | CONV PFD SER A | 872590203 | 19,831 | 200,782 | SH | OTR | 1 | 55,482 | 145,300 | 0 | |
| TELEFLEX INC | NOTE 3.875% 8/0 | 879369AA4 | 46,128 | 13,592,000 | PRN | OTR | 1 | 2,818,000 | 10,774,000 | 0 | |
| TELEFLEX INC | NOTE 3.875% 8/0 | 879369AA4 | 9,777 | 2,885,000 | PRN | SOLE | 2,410,000 | 0 | 475,000 | ||
| TESLA INC | NOTE 1.250% 3/0 | 88160RAC5 | 3,316 | 2,865,000 | PRN | SOLE | 2,865,000 | 0 | 0 | ||
| TEVA PHARMACEUTICAL FIN LLC | DBCV 0.250% 2/0 | 88163VAE9 | 3,444 | 3,211,000 | PRN | SOLE | 2,691,000 | 0 | 520,000 | ||
| TEVA PHARMACEUTICAL FIN LLC | DBCV 0.250% 2/0 | 88163VAE9 | 16,891 | 15,676,000 | PRN | OTR | 1 | 5,216,000 | 10,460,000 | 0 | |
| TWITTER INC | NOTE 0.250% 9/1 | 90184LAB8 | 19,630 | 20,677,000 | PRN | OTR | 1 | 2,114,000 | 18,563,000 | 0 | |
| TYSON FOODS INC | UNIT 99/99/9999 | 902494301 | 21,471 | 313,898 | SH | OTR | 1 | 92,498 | 221,400 | 0 | |
| TYSON FOODS INC | UNIT 99/99/9999 | 902494301 | 6,643 | 98,003 | SH | SOLE | 82,531 | 0 | 15,472 | ||
| UNITED TECHNOLOGIES CORP | COM | 913017109 | 6,485 | 53,105 | SH | OTR | 1 | 0 | 53,105 | 0 | |
| VEECO INSTRS INC DEL | NOTE 2.700% 1/1 | 922417AD2 | 1,318 | 1,287,000 | PRN | SOLE | 1,287,000 | 0 | 0 | ||
| VERINT SYS INC | NOTE 1.500% 6/0 | 92343XAA8 | 37,681 | 38,279,000 | PRN | OTR | 1 | 9,097,000 | 29,182,000 | 0 | |
| VERINT SYS INC | NOTE 1.500% 6/0 | 92343XAA8 | 4,596 | 4,693,000 | PRN | SOLE | 3,939,000 | 0 | 754,000 | ||
| WABASH NATL CORP | NOTE 3.375% 5/0 | 929566AH0 | 23,602 | 12,261,000 | PRN | OTR | 1 | 2,579,000 | 9,682,000 | 0 | |
| WABASH NATL CORP | NOTE 3.375% 5/0 | 929566AH0 | 6,134 | 3,195,000 | PRN | SOLE | 2,685,000 | 0 | 510,000 | ||
| WEATHERFORD INTL LTD | NOTE 5.875% 7/0 | 947075AH0 | 40,653 | 40,077,000 | PRN | OTR | 1 | 10,199,000 | 29,878,000 | 0 | |
| WEATHERFORD INTL LTD | NOTE 5.875% 7/0 | 947075AH0 | 4,651 | 4,596,000 | PRN | SOLE | 3,856,000 | 0 | 740,000 | ||
| WEBMD HEALTH CORP | NOTE 1.500%12/0 | 94770VAK8 | 5,623 | 4,430,000 | PRN | SOLE | 3,700,000 | 0 | 730,000 | ||
| WEBMD HEALTH CORP | NOTE 1.500%12/0 | 94770VAK8 | 9,994 | 7,842,000 | PRN | OTR | 1 | 1,733,000 | 6,109,000 | 0 | |
| WEBMD HEALTH CORP | NOTE 2.625% 6/1 | 94770VAM4 | 9,924 | 10,088,000 | PRN | OTR | 1 | 2,227,000 | 7,861,000 | 0 | |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 40,692 | 31,027 | SH | OTR | 1 | 10,811 | 20,216 | 0 | |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 4,342 | 3,312 | SH | SOLE | 2,817 | 0 | 495 | ||
| WELLTOWER INC | 6.50% PFD PREPET | 95040Q203 | 6,510 | 97,900 | SH | OTR | 1 | 23,300 | 74,600 | 0 | |
| WRIGHT MED GROUP INC | NOTE 2.000% 2/1 | 98235TAE7 | 2,277 | 2,040,000 | PRN | SOLE | 2,040,000 | 0 | 0 | ||
| XPO LOGISTICS INC | NOTE 4.500%10/0 | 983793AA8 | 50,203 | 12,744,000 | PRN | OTR | 1 | 2,514,000 | 10,230,000 | 0 | |
| XPO LOGISTICS INC | NOTE 4.500%10/0 | 983793AA8 | 11,547 | 2,935,000 | PRN | SOLE | 2,448,000 | 0 | 487,000 | ||
| YAHOO INC | NOTE 12/0 | 984332AF3 | 746 | 655,000 | PRN | SOLE | 655,000 | 0 | 0 | ||