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 | 2,850 | 1,609,000 | PRN | SOLE | 1,341,000 | 0 | 268,000 | ||
| ADVANCED MICRO DEVICES INC | NOTE 2.125% 9/0 | 007903BD8 | 25,695 | 14,486,000 | PRN | OTR | 1 | 3,552,000 | 10,934,000 | 0 | |
| AIR LEASE CORP | NOTE 3.875%12/0 | 00912XAK0 | 54,730 | 35,874,000 | PRN | OTR | 1 | 7,666,000 | 28,208,000 | 0 | |
| AIR LEASE CORP | NOTE 3.875%12/0 | 00912XAK0 | 9,221 | 6,064,000 | PRN | SOLE | 5,049,000 | 0 | 1,015,000 | ||
| AKAMAI TECHNOLOGIES INC | DBCV 2/1 | 00971TAG6 | 803 | 825,000 | PRN | SOLE | 825,000 | 0 | 0 | ||
| ALLEGHENY TECHNOLOGIES INC | NOTE 4.750% 7/0 | 01741RAG7 | 780 | 425,000 | PRN | SOLE | 425,000 | 0 | 0 | ||
| ALLERGAN PLC | PFD CONV SER A | G0177J116 | 26,729 | 36,446 | SH | OTR | 1 | 8,130 | 28,316 | 0 | |
| ALLERGAN PLC | PFD CONV SER A | G0177J116 | 3,652 | 4,950 | SH | SOLE | 4,143 | 0 | 807 | ||
| ALZA CORP | SDCV 7/2 | 02261WAB5 | 13,322 | 7,445,000 | PRN | SOLE | 7,445,000 | 0 | 0 | ||
| AMERICAN EAGLE OUTFITTERS NE | COM | 02553E106 | 36,621 | 2,560,914 | SH | OTR | 1 | 139,229 | 2,421,685 | 0 | |
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.000% 8/0 | 02917TAA2 | 4,453 | 4,420,000 | PRN | OTR | 1 | 1,830,000 | 2,590,000 | 0 | |
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.750%12/1 | 02917TAB0 | 62,667 | 60,148,000 | PRN | OTR | 1 | 13,480,000 | 46,668,000 | 0 | |
| AMERICAN TOWER CORP NEW | DEP PFD CONV SE | 03027X407 | 39,689 | 325,488 | SH | OTR | 1 | 88,625 | 236,863 | 0 | |
| AMERICAN TOWER CORP NEW | DEP PFD CONV SE | 03027X407 | 8,872 | 72,676 | SH | SOLE | 60,705 | 0 | 11,971 | ||
| ANTHEM INC | NOTE 2.750%10/1 | 94973VBG1 | 44,621 | 17,162,000 | PRN | OTR | 1 | 4,990,000 | 12,172,000 | 0 | |
| ARCONIC INC | 5.375% PFD B 1 | 03965L308 | 7,904 | 203,178 | SH | OTR | 1 | 55,978 | 147,200 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 33,913 | 27,998,000 | PRN | OTR | 1 | 4,429,000 | 23,569,000 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 6,038 | 5,006,000 | PRN | SOLE | 4,189,000 | 0 | 817,000 | ||
| BAKER HUGHES A GE CO | CL A | 05722G100 | 1,881 | 51,357 | SH | OTR | 1 | 0 | 51,357 | 0 | |
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 42,175 | 32,405 | SH | OTR | 1 | 11,297 | 21,108 | 0 | |
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 8,661 | 6,655 | SH | SOLE | 5,573 | 0 | 1,082 | ||
| BANK AMER CORP | COM | 060505104 | 16,884 | 666,299 | SH | OTR | 1 | 0 | 666,299 | 0 | |
| BECTON DICKINSON & CO | PFD SHS CONV A | 075887208 | 18,757 | 339,796 | SH | OTR | 1 | 67,543 | 272,253 | 0 | |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.750%10/1 | 09061GAE1 | 38,579 | 34,426,000 | PRN | OTR | 1 | 5,623,000 | 28,803,000 | 0 | |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.750%10/1 | 09061GAE1 | 5,242 | 4,699,000 | PRN | SOLE | 3,911,000 | 0 | 788,000 | ||
| BIOMARIN PHARMACEUTICAL INC | NOTE 1.500%10/1 | 09061GAF8 | 1,800 | 1,498,000 | PRN | SOLE | 1,498,000 | 0 | 0 | ||
| BLACKHAWK NETWORK HLDGS INC | NOTE 1.500% 1/1 | 09238EAB0 | 30,554 | 27,280,000 | PRN | OTR | 1 | 5,638,000 | 21,642,000 | 0 | |
| BLACKHAWK NETWORK HLDGS INC | NOTE 1.500% 1/1 | 09238EAB0 | 5,669 | 5,079,000 | PRN | SOLE | 4,247,000 | 0 | 832,000 | ||
| BLACKROCK FLA MUN 2020 TERM | COM SHS | 09250M109 | 2,820 | 187,485 | SH | SOLE | 187,485 | 0 | 0 | ||
| BLACKROCK LONG-TERM MUNI ADV | COM | 09250B103 | 991 | 81,807 | SH | SOLE | 81,807 | 0 | 0 | ||
| BLACKROCK MUN 2030 TAR TERM | COM SHS BEN IN | 09257P105 | 3,802 | 167,704 | SH | SOLE | 167,704 | 0 | 0 | ||
| BLACKROCK MUNI INTER DR FD I | COM | 09253X102 | 11,336 | 800,000 | SH | SOLE | 800,000 | 0 | 0 | ||
| BLACKROCK MUNIHLDGS NJ QLTY | COM | 09254X101 | 1,936 | 132,807 | SH | SOLE | 132,807 | 0 | 0 | ||
| BLACKROCK MUNIHLDGS NY QLTY | COM | 09255C106 | 269 | 19,700 | SH | SOLE | 19,700 | 0 | 0 | ||
| BLACKROCK MUNIYLD MICH QLTY | COM | 09254V105 | 6,309 | 451,928 | SH | SOLE | 451,928 | 0 | 0 | ||
| CARRIAGE SVCS INC | NOTE 2.750% 3/1 | 143905AM9 | 18,715 | 14,920,000 | PRN | OTR | 1 | 3,716,000 | 11,204,000 | 0 | |
| CHART INDS INC | NOTE 2.000% 8/0 | 16115QAC4 | 26,584 | 26,551,000 | PRN | OTR | 1 | 5,670,000 | 20,881,000 | 0 | |
| CHART INDS INC | NOTE 2.000% 8/0 | 16115QAC4 | 3,285 | 3,297,000 | PRN | SOLE | 2,757,000 | 0 | 540,000 | ||
| CHENIERE ENERGY INC | NOTE 4.250% 3/1 | 16411RAG4 | 405 | 580,000 | PRN | SOLE | 580,000 | 0 | 0 | ||
| CIENA CORP | NOTE 3.750%10/1 | 171779AJ0 | 1,006 | 830,000 | PRN | SOLE | 830,000 | 0 | 0 | ||
| CITRIX SYS INC | NOTE 0.500% 4/1 | 177376AD2 | 22,818 | 19,628,000 | PRN | OTR | 1 | 5,724,000 | 13,904,000 | 0 | |
| CITRIX SYS INC | NOTE 0.500% 4/1 | 177376AD2 | 5,317 | 4,584,000 | PRN | SOLE | 3,831,000 | 0 | 753,000 | ||
| CLOVIS ONCOLOGY INC | NOTE 2.500% 9/1 | 189464AB6 | 557 | 360,000 | PRN | SOLE | 360,000 | 0 | 0 | ||
| COLONY CAP INC | NOTE 3.875% 1/1 | 19624RAB2 | 796 | 790,000 | PRN | SOLE | 790,000 | 0 | 0 | ||
| COMSTOCK RES INC | COM | 205768302 | 480 | 78,894 | SH | OTR | 1 | 0 | 78,894 | 0 | |
| COMSTOCK RES INC | NOTE 7.750% 4/0 | 205768AM6 | 18,863 | 23,288,147 | PRN | OTR | 1 | 5,077,708 | 18,210,439 | 0 | |
| COMSTOCK RES INC | NOTE 9.500% 6/1 | 205768AN4 | 39,846 | 49,806,892 | PRN | OTR | 1 | 9,011,707 | 40,795,185 | 0 | |
| CROWN CASTLE INTL CORP NEW | 6.875% CON PFD A | 22822V309 | 16,396 | 15,465 | SH | OTR | 1 | 627 | 14,838 | 0 | |
| CYPRESS SEMICONDUCTOR CORP | NOTE 4.500% 1/1 | 232806AM1 | 1,313 | 1,004,000 | PRN | SOLE | 1,004,000 | 0 | 0 | ||
| DANAHER CORP DEL | DBCV 1/2 | 235851AF9 | 64,227 | 19,585,000 | PRN | OTR | 1 | 4,278,000 | 15,307,000 | 0 | |
| DANAHER CORP DEL | DBCV 1/2 | 235851AF9 | 10,768 | 3,286,000 | PRN | SOLE | 2,753,000 | 0 | 533,000 | ||
| DELAWARE INV MN MUN INC FD I | COM | 24610V103 | 8,043 | 564,399 | SH | SOLE | 564,399 | 0 | 0 | ||
| DELAWARE INVT NAT MUNI INC F | SH BEN INT | 24610T108 | 3,466 | 256,199 | SH | SOLE | 256,199 | 0 | 0 | ||
| DELTA AIR LINES INC DEL | COM NEW | 247361702 | 18,275 | 378,997 | SH | OTR | 1 | 0 | 378,997 | 0 | |
| DEPOMED INC | NOTE 2.500% 9/0 | 249908AA2 | 8,954 | 12,090,000 | PRN | OTR | 1 | 2,678,000 | 9,412,000 | 0 | |
| DEPOMED INC | NOTE 2.500% 9/0 | 249908AA2 | 1,444 | 1,959,000 | PRN | SOLE | 1,652,000 | 0 | 307,000 | ||
| DISH NETWORK CORP | NOTE 3.375% 8/1 | 25470MAB5 | 119,952 | 106,743,000 | PRN | OTR | 1 | 26,241,000 | 80,502,000 | 0 | |
| DISH NETWORK CORP | NOTE 3.375% 8/1 | 25470MAB5 | 7,964 | 7,119,000 | PRN | SOLE | 5,963,000 | 0 | 1,156,000 | ||
| DYCOM INDS INC | NOTE 0.750% 9/1 | 267475AB7 | 738 | 647,000 | PRN | SOLE | 647,000 | 0 | 0 | ||
| EATON VANCE MUN INCOME 2028 | SHS | 27829U105 | 1,695 | 82,787 | SH | SOLE | 82,787 | 0 | 0 | ||
| EATON VANCE NEW YORK MUN BD | COM | 27827Y109 | 6,226 | 481,489 | SH | SOLE | 481,489 | 0 | 0 | ||
| ECHO GLOBAL LOGISTICS INC | NOTE 2.500% 5/0 | 27875TAA9 | 16,592 | 17,160,000 | PRN | OTR | 1 | 776,000 | 16,384,000 | 0 | |
| ELECTRONICS FOR IMAGING INC | NOTE 0.750% 9/0 | 286082AC6 | 471 | 452,000 | PRN | SOLE | 452,000 | 0 | 0 | ||
| ENCORE CAP GROUP INC | NOTE 3.000% 7/0 | 292554AF9 | 546 | 475,000 | PRN | SOLE | 475,000 | 0 | 0 | ||
| EURONET WORLDWIDE INC | NOTE 1.500%10/0 | 298736AH2 | 686 | 505,000 | PRN | SOLE | 505,000 | 0 | 0 | ||
| FINISAR CORP | NOTE 0.500%12/1 | 31787AAM3 | 1,142 | 1,095,000 | PRN | SOLE | 1,095,000 | 0 | 0 | ||
| FIREEYE INC | NOTE 1.000% 6/0 | 31816QAB7 | 1,220 | 1,285,000 | PRN | SOLE | 1,285,000 | 0 | 0 | ||
| GENERAL CABLE CORP DEL NEW | FRNT 4.500%11/1 | 369300AL2 | 1,172 | 1,315,000 | PRN | SOLE | 1,315,000 | 0 | 0 | ||
| GOGO INC | NOTE 3.750% 3/0 | 38046CAB5 | 430 | 465,000 | PRN | SOLE | 465,000 | 0 | 0 | ||
| HALLIBURTON CO | COM | 406216101 | 8,595 | 186,718 | SH | OTR | 1 | 0 | 186,718 | 0 | |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.250% 5/0 | 42330PAH0 | 4,937 | 5,012,000 | PRN | SOLE | 4,204,000 | 0 | 808,000 | ||
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.250% 5/0 | 42330PAH0 | 29,166 | 29,461,000 | PRN | OTR | 1 | 6,621,000 | 22,840,000 | 0 | |
| HERBALIFE LTD | NOTE 2.000% 8/1 | 42703MAB9 | 1,184 | 1,180,000 | PRN | SOLE | 1,180,000 | 0 | 0 | ||
| HOLOGIC INC | DEBT 2.000% 3/0 | 436440AC5 | 40,166 | 32,923,000 | PRN | OTR | 1 | 7,912,000 | 25,011,000 | 0 | |
| HOLOGIC INC | DEBT 2.000% 3/0 | 436440AC5 | 7,203 | 5,916,000 | PRN | SOLE | 4,911,000 | 0 | 1,005,000 | ||
| HUNTINGTON BANCSHARES INC | PFD CONV SER A | 446150401 | 864 | 600 | SH | SOLE | 600 | 0 | 0 | ||
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 25,716 | 22,521,000 | PRN | OTR | 1 | 8,391,000 | 14,130,000 | 0 | |
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 5,200 | 4,574,000 | PRN | SOLE | 3,800,000 | 0 | 774,000 | ||
| ILLUMINA INC | NOTE 6/1 | 452327AF6 | 11,605 | 10,948,000 | PRN | OTR | 1 | 3,949,000 | 6,999,000 | 0 | |
| IMPAX LABORATORIES INC | NOTE 2.000% 6/1 | 45256BAE1 | 691 | 765,000 | PRN | SOLE | 765,000 | 0 | 0 | ||
| INPHI CORP | NOTE 1.125%12/0 | 45772FAB3 | 26,617 | 21,651,000 | PRN | OTR | 1 | 3,445,000 | 18,206,000 | 0 | |
| INPHI CORP | NOTE 1.125%12/0 | 45772FAB3 | 4,501 | 3,676,000 | PRN | SOLE | 3,103,000 | 0 | 573,000 | ||
| INTEGRATED DEVICE TECHNOLOGY | NOTE 0.875%11/1 | 458118AC0 | 516 | 482,000 | PRN | SOLE | 482,000 | 0 | 0 | ||
| INTEL CORP | SDCV 2.950%12/1 | 458140AD2 | 16,393 | 11,507,000 | PRN | SOLE | 11,233,000 | 0 | 274,000 | ||
| INTEL CORP | SDCV 3.250% 8/0 | 458140AF7 | 10,757 | 5,850,000 | PRN | SOLE | 5,574,000 | 0 | 276,000 | ||
| INTERCEPT PHARMACEUTICALS IN | NOTE 3.250% 7/0 | 45845PAA6 | 1,607 | 2,080,000 | PRN | SOLE | 1,763,000 | 0 | 317,000 | ||
| INTERCEPT PHARMACEUTICALS IN | NOTE 3.250% 7/0 | 45845PAA6 | 12,393 | 15,940,000 | PRN | OTR | 1 | 4,204,000 | 11,736,000 | 0 | |
| INTERDIGITAL INC | NOTE 1.500% 3/0 | 458660AD9 | 491 | 418,000 | PRN | SOLE | 418,000 | 0 | 0 | ||
| INVESCO MUN TR | COM | 46131J103 | 308 | 24,087 | SH | SOLE | 24,087 | 0 | 0 | ||
| INVESCO QUALITY MUNI INC TRS | COM | 46133G107 | 1,278 | 99,857 | SH | SOLE | 99,857 | 0 | 0 | ||
| IRONWOOD PHARMACEUTICALS INC | DBCV 2.250% 6/1 | 46333XAD0 | 810 | 679,000 | PRN | SOLE | 679,000 | 0 | 0 | ||
| ISHARES GOLD TRUST | ISHARES | 464285105 | 7,729 | 627,900 | SH | OTR | 1 | 9,200 | 618,700 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 22,551 | 21,300,000 | PRN | OTR | 1 | 5,256,000 | 16,044,000 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 3,016 | 2,855,000 | PRN | SOLE | 2,361,000 | 0 | 494,000 | ||
| J2 GLOBAL INC | NOTE 3.250% 6/1 | 48123VAC6 | 827 | 665,000 | PRN | SOLE | 665,000 | 0 | 0 | ||
| JAZZ INVESTMENTS I LTD | NOTE 1.875% 8/1 | 472145AB7 | 1,235 | 1,169,000 | PRN | SOLE | 1,169,000 | 0 | 0 | ||
| LAM RESEARCH CORP | NOTE 1.250% 5/1 | 512807AL2 | 10,153 | 3,322,000 | PRN | SOLE | 2,785,000 | 0 | 537,000 | ||
| LAM RESEARCH CORP | NOTE 1.250% 5/1 | 512807AL2 | 48,460 | 15,830,000 | PRN | OTR | 1 | 1,118,000 | 14,712,000 | 0 | |
| LEXICON PHARMACEUTICALS INC | NOTE 5.250%12/0 | 528872AB0 | 206 | 127,000 | PRN | SOLE | 127,000 | 0 | 0 | ||
| LIBERTY INTERACTIVE LLC | DEB 1.750% 9/3 | 530610AD6 | 1,238 | 1,040,000 | PRN | SOLE | 1,040,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP DELAWARE | DEB 2.250% 9/3 | 531229AE2 | 689 | 645,000 | PRN | SOLE | 645,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 26,333 | 21,677,000 | PRN | OTR | 1 | 4,820,000 | 16,857,000 | 0 | |
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 5,946 | 4,915,000 | PRN | SOLE | 4,112,000 | 0 | 803,000 | ||
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 8/1 | 53220KAD0 | 790 | 432,000 | PRN | SOLE | 432,000 | 0 | 0 | ||
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.000%10/0 | 55608BAB1 | 1,986 | 2,040,000 | PRN | SOLE | 2,040,000 | 0 | 0 | ||
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.875% 7/1 | 55608BAA3 | 49,442 | 46,343,000 | PRN | OTR | 1 | 10,281,000 | 36,062,000 | 0 | |
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.875% 7/1 | 55608BAA3 | 5,069 | 4,774,000 | PRN | SOLE | 3,984,000 | 0 | 790,000 | ||
| MARRIOTT VACATIONS WRLDWDE C | NOTE 1.500% 9/1 | 57164YAA5 | 523 | 500,000 | PRN | SOLE | 500,000 | 0 | 0 | ||
| MEDICINES CO | NOTE 2.750% 7/1 | 584688AG0 | 4,447 | 4,224,000 | PRN | SOLE | 3,765,000 | 0 | 459,000 | ||
| MEDIDATA SOLUTIONS INC | NOTE 1.000% 8/0 | 58471AAB1 | 995 | 720,000 | PRN | SOLE | 720,000 | 0 | 0 | ||
| MERCADOLIBRE INC | NOTE 2.250% 7/0 | 58733RAB8 | 26,715 | 12,763,000 | PRN | OTR | 1 | 2,871,000 | 9,892,000 | 0 | |
| MFS HIGH INCOME MUN TR | SH BEN INT | 59318D104 | 1,591 | 303,705 | SH | SOLE | 303,705 | 0 | 0 | ||
| MFS MUN INCOME TR | SH BEN INT | 552738106 | 2,502 | 347,524 | SH | SOLE | 347,524 | 0 | 0 | ||
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 62,440 | 35,680,000 | PRN | OTR | 1 | 5,924,000 | 29,756,000 | 0 | |
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 9,369 | 5,369,000 | PRN | SOLE | 4,498,000 | 0 | 871,000 | ||
| MICRON TECHNOLOGY INC | NOTE 3.000%11/1 | 595112AY9 | 34,781 | 25,079,000 | PRN | OTR | 1 | 7,665,000 | 17,414,000 | 0 | |
| MOLINA HEALTHCARE INC | DBCV 1.625% 8/1 | 60855RAD2 | 32,110 | 25,535,000 | PRN | OTR | 1 | 6,642,000 | 18,893,000 | 0 | |
| MOLINA HEALTHCARE INC | DBCV 1.625% 8/1 | 60855RAD2 | 4,339 | 3,464,000 | PRN | SOLE | 2,904,000 | 0 | 560,000 | ||
| NAVISTAR INTL CORP NEW | NOTE 4.750% 4/1 | 63934EAS7 | 605 | 550,000 | PRN | SOLE | 550,000 | 0 | 0 | ||
| NEXTERA ENERGY INC | UNIT 08/31/2018 | 65339F846 | 8,728 | 131,590 | SH | SOLE | 131,590 | 0 | 0 | ||
| NOVELLUS SYS INC | NOTE 2.625% 5/1 | 670008AD3 | 21,781 | 3,961,000 | PRN | SOLE | 3,961,000 | 0 | 0 | ||
| NUANCE COMMUNICATIONS INC | NOTE 2.750%11/0 | 67020YAF7 | 4,703 | 4,697,000 | PRN | SOLE | 3,910,000 | 0 | 787,000 | ||
| NUVASIVE INC | NOTE 2.250% 3/1 | 670704AG0 | 12,736 | 11,154,000 | PRN | OTR | 1 | 2,920,000 | 8,234,000 | 0 | |
| NUVEEN AMT FREE MUN CR INC F | COM | 67071L106 | 17,395 | 1,130,278 | SH | SOLE | 1,130,278 | 0 | 0 | ||
| NUVEEN AMT FREE QLTY MUN INC | COM | 670657105 | 24,863 | 1,795,140 | SH | SOLE | 1,795,140 | 0 | 0 | ||
| NUVEEN MARYLAND QLT MUN INC | COM | 67061Q107 | 2,566 | 200,000 | SH | SOLE | 200,000 | 0 | 0 | ||
| NUVEEN MICHIGAN QLT MUN INC | COM | 670979103 | 4,101 | 300,000 | SH | SOLE | 300,000 | 0 | 0 | ||
| NUVEEN MUNICIPAL CREDIT INC | COM SH BEN INT | 67070X101 | 19,245 | 1,265,291 | SH | SOLE | 1,265,291 | 0 | 0 | ||
| NUVEEN NEW YORK AMT QLT MUNI | COM | 670656107 | 8,561 | 648,590 | SH | OTR | 1 | 548,590 | 100,000 | 0 | |
| NUVEEN PENNSYLVANIA QLT MUN | COM | 670972108 | 7,629 | 563,000 | SH | SOLE | 563,000 | 0 | 0 | ||
| NXP SEMICONDUCTORS N V | DBCV 1.000%12/0 | 62952QAB6 | 43,907 | 36,175,000 | PRN | OTR | 1 | 7,825,000 | 28,350,000 | 0 | |
| OASIS PETE INC NEW | NOTE 2.625% 9/1 | 674215AJ7 | 30,571 | 28,015,000 | PRN | OTR | 1 | 6,288,000 | 21,727,000 | 0 | |
| OLD REP INTL CORP | NOTE 3.750% 3/1 | 680223AH7 | 1,130 | 880,000 | PRN | SOLE | 880,000 | 0 | 0 | ||
| ON SEMICONDUCTOR CORP | NOTE 1.000%12/0 | 682189AK1 | 27,714 | 23,131,000 | PRN | OTR | 1 | 5,044,000 | 18,087,000 | 0 | |
| PALO ALTO NETWORKS INC | NOTE 7/0 | 697435AB1 | 981 | 710,000 | PRN | SOLE | 710,000 | 0 | 0 | ||
| PETROQUEST ENERGY INC | COM NEW | 716748306 | 3,498 | 1,527,557 | SH | OTR | 1 | 326,844 | 1,200,713 | 0 | |
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 40,049 | 27,656,000 | PRN | OTR | 1 | 12,321,000 | 15,335,000 | 0 | |
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 8,509 | 5,896,000 | PRN | SOLE | 4,893,000 | 0 | 1,003,000 | ||
| PRICELINE GRP INC | NOTE 1.000% 3/1 | 741503AQ9 | 44,297 | 22,885,000 | PRN | OTR | 1 | 1,925,000 | 20,960,000 | 0 | |
| PROOFPOINT INC | DBCV 0.750% 6/1 | 743424AD5 | 24,472 | 19,509,000 | PRN | OTR | 1 | 4,883,000 | 14,626,000 | 0 | |
| PROOFPOINT INC | DBCV 0.750% 6/1 | 743424AD5 | 5,845 | 4,678,000 | PRN | SOLE | 3,898,000 | 0 | 780,000 | ||
| PROSPECT CAPITAL CORPORATION | NOTE 4.750% 4/1 | 74348TAQ5 | 1,436 | 1,420,000 | PRN | SOLE | 1,420,000 | 0 | 0 | ||
| PUTNAM MUN OPPORTUNITIES TR | SH BEN INT | 746922103 | 15,598 | 1,234,990 | SH | SOLE | 1,234,990 | 0 | 0 | ||
| RADIUS HEALTH INC | NOTE 3.000% 9/0 | 750469AA6 | 1,509 | 1,500,000 | PRN | OTR | 1 | 396,000 | 1,104,000 | 0 | |
| RAMBUS INC DEL | NOTE 1.125% 8/1 | 750917AE6 | 19,511 | 16,517,000 | PRN | OTR | 1 | 3,214,000 | 13,303,000 | 0 | |
| RED HAT INC | NOTE 0.250%10/0 | 756577AD4 | 45,020 | 29,163,000 | PRN | OTR | 1 | 9,080,000 | 20,083,000 | 0 | |
| RED HAT INC | NOTE 0.250%10/0 | 756577AD4 | 9,368 | 6,088,000 | PRN | SOLE | 5,087,000 | 0 | 1,001,000 | ||
| REDWOOD TR INC | NOTE 4.750% 8/1 | 758075AC9 | 250 | 250,000 | PRN | SOLE | 250,000 | 0 | 0 | ||
| REX ENERGY CORPORATION | COM NEW | 761565506 | 387 | 143,468 | SH | OTR | 1 | 20,468 | 123,000 | 0 | |
| ROYAL GOLD INC | NOTE 2.875% 6/1 | 780287AA6 | 837 | 755,000 | PRN | SOLE | 755,000 | 0 | 0 | ||
| RPM INTL INC | NOTE 2.250%12/1 | 749685AT0 | 7,495 | 6,483,000 | PRN | SOLE | 6,188,000 | 0 | 295,000 | ||
| RTI INTL METALS INC | NOTE 1.625%10/1 | 74973WAB3 | 615 | 550,000 | PRN | SOLE | 550,000 | 0 | 0 | ||
| SALESFORCE COM INC | NOTE 0.250% 4/0 | 79466LAD6 | 35,908 | 25,523,000 | PRN | OTR | 1 | 7,453,000 | 18,070,000 | 0 | |
| SALESFORCE COM INC | NOTE 0.250% 4/0 | 79466LAD6 | 6,675 | 4,753,000 | PRN | SOLE | 3,959,000 | 0 | 794,000 | ||
| SERVICENOW INC | NOTE 11/0 | 81762PAB8 | 31,905 | 19,809,000 | PRN | OTR | 1 | 4,830,000 | 14,979,000 | 0 | |
| SERVICENOW INC | NOTE 11/0 | 81762PAB8 | 7,341 | 4,572,000 | PRN | SOLE | 3,793,000 | 0 | 779,000 | ||
| SOUTHWESTERN ENERGY CO | DEP SHS 1/20 B | 845467208 | 1,401 | 98,263 | SH | SOLE | 82,169 | 0 | 16,094 | ||
| SOUTHWESTERN ENERGY CO | DEP SHS 1/20 B | 845467208 | 4,810 | 331,738 | SH | OTR | 1 | 17,616 | 314,122 | 0 | |
| SPDR GOLD TRUST | GOLD SHS | 78463V107 | 22,979 | 189,000 | SH | OTR | 1 | 0 | 189,000 | 0 | |
| SPDR SERIES TRUST | NUV HGHYLD MUN | 78464A284 | 6,196 | 108,515 | SH | SOLE | 108,515 | 0 | 0 | ||
| SPIRIT RLTY CAP INC NEW | NOTE 3.750% 5/1 | 84860WAB8 | 1,254 | 1,225,000 | PRN | SOLE | 1,225,000 | 0 | 0 | ||
| STANLEY BLACK & DECKER INC | UNIT 05/15/2020 | 854502887 | 18,650 | 163,124 | SH | OTR | 1 | 37,383 | 125,741 | 0 | |
| STARWOOD PPTY TR INC | NOTE 4.000% 1/1 | 85571BAB1 | 1,490 | 1,332,000 | PRN | SOLE | 1,332,000 | 0 | 0 | ||
| STONE ENERGY CORP | COM PAR | 861642403 | 113,925 | 3,920,351 | SH | OTR | 1 | 1,077,512 | 2,842,839 | 0 | |
| SUNPOWER CORP | DBCV 0.875% 6/0 | 867652AJ8 | 725 | 910,000 | PRN | SOLE | 910,000 | 0 | 0 | ||
| T MOBILE US INC | CONV PFD SER A | 872590203 | 20,084 | 200,782 | SH | OTR | 1 | 55,482 | 145,300 | 0 | |
| TAKE-TWO INTERACTIVE SOFTWAR | NOTE 1.000% 7/0 | 874054AD1 | 1,710 | 360,000 | PRN | SOLE | 360,000 | 0 | 0 | ||
| TELEFLEX INC | COM | 879369106 | 29,644 | 122,510 | SH | OTR | 1 | 751 | 121,759 | 0 | |
| TESARO INC | NOTE 3.000%10/0 | 881569AA5 | 1,030 | 275,000 | PRN | SOLE | 275,000 | 0 | 0 | ||
| TESLA INC | NOTE 1.250% 3/0 | 88160RAC5 | 3,161 | 2,800,000 | PRN | SOLE | 2,800,000 | 0 | 0 | ||
| TEVA PHARMACEUTICAL FIN LLC | DBCV 0.250% 2/0 | 88163VAE9 | 2,944 | 3,267,000 | PRN | SOLE | 2,722,000 | 0 | 545,000 | ||
| TEVA PHARMACEUTICAL FIN LLC | DBCV 0.250% 2/0 | 88163VAE9 | 14,206 | 15,676,000 | PRN | OTR | 1 | 5,216,000 | 10,460,000 | 0 | |
| TRINITY INDS INC | NOTE 3.875% 6/0 | 896522AF6 | 1,090 | 810,000 | PRN | SOLE | 810,000 | 0 | 0 | ||
| TWITTER INC | NOTE 0.250% 9/1 | 90184LAB8 | 21,676 | 22,817,000 | PRN | OTR | 1 | 4,254,000 | 18,563,000 | 0 | |
| UNITED TECHNOLOGIES CORP | COM | 913017109 | 6,164 | 53,105 | SH | OTR | 1 | 0 | 53,105 | 0 | |
| VANECK VECTORS ETF TR | HIGH YLD MUN ETF | 92189F361 | 7,558 | 241,386 | SH | SOLE | 241,386 | 0 | 0 | ||
| VEECO INSTRS INC DEL | NOTE 2.700% 1/1 | 922417AD2 | 569 | 592,000 | PRN | SOLE | 592,000 | 0 | 0 | ||
| VERINT SYS INC | NOTE 1.500% 6/0 | 92343XAA8 | 37,108 | 37,769,000 | PRN | OTR | 1 | 8,587,000 | 29,182,000 | 0 | |
| VERINT SYS INC | NOTE 1.500% 6/0 | 92343XAA8 | 4,728 | 4,837,000 | PRN | SOLE | 4,041,000 | 0 | 796,000 | ||
| VERISIGN INC | SDCV 3.250% 8/1 | 92343EAD4 | 7,791 | 2,500,000 | PRN | OTR | 1 | 1,525,000 | 975,000 | 0 | |
| WABASH NATL CORP | NOTE 3.375% 5/0 | 929566AH0 | 6,441 | 3,280,000 | PRN | SOLE | 2,748,000 | 0 | 532,000 | ||
| WABASH NATL CORP | NOTE 3.375% 5/0 | 929566AH0 | 24,139 | 12,261,000 | PRN | OTR | 1 | 2,579,000 | 9,682,000 | 0 | |
| WAYFAIR INC | NOTE 0.375% 9/0 | 94419LAA9 | 486 | 500,000 | PRN | SOLE | 500,000 | 0 | 0 | ||
| WEATHERFORD INTL LTD | NOTE 5.875% 7/0 | 947075AH0 | 8,912 | 8,162,000 | PRN | SOLE | 6,816,000 | 0 | 1,346,000 | ||
| WEATHERFORD INTL LTD | NOTE 5.875% 7/0 | 947075AH0 | 60,956 | 55,699,000 | PRN | OTR | 1 | 13,279,000 | 42,420,000 | 0 | |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 40,414 | 30,727 | SH | OTR | 1 | 10,511 | 20,216 | 0 | |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 4,446 | 3,381 | SH | SOLE | 2,863 | 0 | 518 | ||
| WELLTOWER INC | 6.50% PFD PREPET | 95040Q203 | 7,496 | 117,700 | SH | OTR | 1 | 43,100 | 74,600 | 0 | |
| WHITING PETE CORP NEW | NOTE 1.250% 4/0 | 966387AL6 | 856 | 955,000 | PRN | SOLE | 955,000 | 0 | 0 | ||
| WORKDAY INC | NOTE 1.500% 7/1 | 98138HAD3 | 951 | 675,000 | PRN | SOLE | 675,000 | 0 | 0 | ||
| WRIGHT MED GROUP INC | NOTE 2.000% 2/1 | 98235TAE7 | 1,666 | 1,535,000 | PRN | SOLE | 1,535,000 | 0 | 0 | ||
| XPO LOGISTICS INC | COM | 983793100 | 686 | 10,116 | SH | SOLE | 8,781 | 0 | 1,335 | ||
| XPO LOGISTICS INC | NOTE 4.500%10/0 | 983793AA8 | 51,409 | 12,744,000 | PRN | OTR | 1 | 2,514,000 | 10,230,000 | 0 | |
| XPO LOGISTICS INC | NOTE 4.500%10/0 | 983793AA8 | 11,505 | 2,852,000 | PRN | SOLE | 2,368,000 | 0 | 484,000 | ||
| YAHOO INC | NOTE 12/0 | 984332AF3 | 2,074 | 1,595,000 | PRN | SOLE | 1,595,000 | 0 | 0 | ||