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 |
| ||||||||||||||||||||
| 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 |
| 3M CO | COM | 88579Y101 | 220 | 1,340 | SH | SOLE | 1,340 | 0 | 0 | ||
| ABBOTT LABS | COM | 002824100 | 449 | 5,365 | SH | SOLE | 5,365 | 0 | 0 | ||
| ABBVIE INC | COM | 00287Y109 | 257 | 3,390 | SH | SOLE | 3,390 | 0 | 0 | ||
| ACCENTURE PLC IRELAND | SHS CLASS A | G1151C101 | 246 | 1,281 | SH | SOLE | 1,281 | 0 | 0 | ||
| ADOBE INC | COM | 00724F101 | 261 | 944 | SH | SOLE | 944 | 0 | 0 | ||
| ADVANCED MICRO DEVICES INC | NOTE 2.125% 9/0 | 007903BD8 | 11,775 | 3,160,000 | PRN | SOLE | 3,160,000 | 0 | 0 | ||
| ADVANCED MICRO DEVICES INC | NOTE 2.125% 9/0 | 007903BD8 | 2,511 | 674,000 | PRN | DFND | 1 | 674,000 | 0 | 0 | |
| AEROJET ROCKETDYNE HLDGS INC | NOTE 2.250%12/1 | 007800AB1 | 2,139 | 1,073,000 | PRN | SOLE | 1,073,000 | 0 | 0 | ||
| AEROJET ROCKETDYNE HLDGS INC | NOTE 2.250%12/1 | 007800AB1 | 315 | 158,000 | PRN | DFND | 2 | 158,000 | 0 | 0 | |
| AEROJET ROCKETDYNE HLDGS INC | NOTE 2.250%12/1 | 007800AB1 | 1,846 | 926,000 | PRN | DFND | 3 | 926,000 | 0 | 0 | |
| AIR TRANSPORT SERVICES GRP I | NOTE 1.125%10/1 | 00922RAB1 | 6,454 | 6,927,000 | PRN | SOLE | 6,927,000 | 0 | 0 | ||
| AIR TRANSPORT SERVICES GRP I | NOTE 1.125%10/1 | 00922RAB1 | 1,421 | 1,525,000 | PRN | DFND | 1 | 1,525,000 | 0 | 0 | |
| AKAMAI TECHNOLOGIES INC | NOTE 0.125% 5/0 | 00971TAJ0 | 17,269 | 15,087,000 | PRN | SOLE | 15,087,000 | 0 | 0 | ||
| AKAMAI TECHNOLOGIES INC | NOTE 0.125% 5/0 | 00971TAJ0 | 3,537 | 3,090,000 | PRN | DFND | 1 | 3,090,000 | 0 | 0 | |
| ALLEGHENY TECHNOLOGIES INC | NOTE 4.750% 7/0 | 01741RAG7 | 676 | 432,000 | PRN | SOLE | 432,000 | 0 | 0 | ||
| ALPHABET INC | CAP STK CL A | 02079K305 | 1,481 | 1,213 | SH | SOLE | 1,213 | 0 | 0 | ||
| ALTICE USA INC | CL A | 02156K103 | 202 | 7,036 | SH | SOLE | 7,036 | 0 | 0 | ||
| ALZA CORP | SDCV 7/2 | 02261WAB5 | 180 | 101,000 | PRN | SOLE | 101,000 | 0 | 0 | ||
| AMAZON COM INC | COM | 023135106 | 1,555 | 896 | SH | SOLE | 896 | 0 | 0 | ||
| AMERICAN ELEC PWR CO INC | UNIT 03/15/2022 | 025537127 | 5,507 | 99,980 | SH | SOLE | 99,980 | 0 | 0 | ||
| AMERICAN ELEC PWR CO INC | UNIT 03/15/2022 | 025537127 | 1,002 | 18,200 | SH | DFND | 1 | 18,200 | 0 | 0 | |
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.750%12/1 | 02917TAB0 | 5,033 | 4,972,000 | PRN | SOLE | 4,972,000 | 0 | 0 | ||
| AMGEN INC | COM | 031162100 | 414 | 2,141 | SH | SOLE | 2,141 | 0 | 0 | ||
| AMPHENOL CORP NEW | CL A | 032095101 | 220 | 2,283 | SH | SOLE | 2,283 | 0 | 0 | ||
| ANTHEM INC | NOTE 2.750%10/1 | 94973VBG1 | 853 | 255,000 | PRN | DFND | 1 | 255,000 | 0 | 0 | |
| ANTHEM INC | NOTE 2.750%10/1 | 94973VBG1 | 18,535 | 5,541,000 | PRN | SOLE | 5,541,000 | 0 | 0 | ||
| APOLLO COML REAL EST FIN INC | NOTE 4.750% 8/2 | 03762UAB1 | 823 | 810,000 | PRN | DFND | 3 | 810,000 | 0 | 0 | |
| APOLLO COML REAL EST FIN INC | NOTE 4.750% 8/2 | 03762UAB1 | 602 | 593,000 | PRN | SOLE | 593,000 | 0 | 0 | ||
| APOLLO COML REAL EST FIN INC | NOTE 4.750% 8/2 | 03762UAB1 | 98 | 97,000 | PRN | DFND | 2 | 97,000 | 0 | 0 | |
| APOLLO COML REAL EST FIN INC | NOTE 5.375%10/1 | 03762UAC9 | 2,029 | 1,984,000 | PRN | SOLE | 1,984,000 | 0 | 0 | ||
| APOLLO COML REAL EST FIN INC | NOTE 5.375%10/1 | 03762UAC9 | 356 | 348,000 | PRN | DFND | 2 | 348,000 | 0 | 0 | |
| APOLLO COML REAL EST FIN INC | NOTE 5.375%10/1 | 03762UAC9 | 2,089 | 2,043,000 | PRN | DFND | 3 | 2,043,000 | 0 | 0 | |
| APPLE INC | COM | 037833100 | 1,981 | 8,845 | SH | SOLE | 8,845 | 0 | 0 | ||
| AQUA AMERICA INC | UNIT 04/30/2022 | 03836W202 | 1,001 | 16,515 | SH | DFND | 1 | 16,515 | 0 | 0 | |
| AQUA AMERICA INC | UNIT 04/30/2022 | 03836W202 | 4,628 | 76,365 | SH | SOLE | 76,365 | 0 | 0 | ||
| ARES CAP CORP | COM | 04010L103 | 214 | 11,491 | SH | SOLE | 11,491 | 0 | 0 | ||
| ARES CAP CORP | NOTE 3.750% 2/0 | 04010LAT0 | 6,637 | 6,422,000 | PRN | SOLE | 6,422,000 | 0 | 0 | ||
| ARES CAP CORP | NOTE 4.625% 3/0 | 04010LAW3 | 3,200 | 3,043,000 | PRN | SOLE | 3,043,000 | 0 | 0 | ||
| ASSURANT INC | 6.50% CONV PFD D | 04621X207 | 666 | 5,325 | SH | SOLE | 5,325 | 0 | 0 | ||
| AT&T INC | COM | 00206R102 | 626 | 16,550 | SH | SOLE | 16,550 | 0 | 0 | ||
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 1.875% 6/0 | 049164BJ4 | 279 | 337,000 | PRN | DFND | 2 | 337,000 | 0 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 1.875% 6/0 | 049164BJ4 | 1,257 | 1,518,000 | PRN | DFND | 3 | 1,518,000 | 0 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 1.875% 6/0 | 049164BJ4 | 1,362 | 1,645,000 | PRN | SOLE | 1,645,000 | 0 | 0 | ||
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 1,017 | 1,150,000 | PRN | DFND | 1 | 1,150,000 | 0 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 4,691 | 5,305,000 | PRN | SOLE | 5,305,000 | 0 | 0 | ||
| AVANTOR INC | 6.25 PFD CNV SR | 05352A209 | 985 | 18,440 | SH | DFND | 1 | 18,440 | 0 | 0 | |
| AVANTOR INC | 6.25 PFD CNV SR | 05352A209 | 248 | 4,637 | SH | DFND | 2 | 4,637 | 0 | 0 | |
| AVANTOR INC | 6.25 PFD CNV SR | 05352A209 | 1,455 | 27,256 | SH | DFND | 3 | 27,256 | 0 | 0 | |
| AVANTOR INC | 6.25 PFD CNV SR | 05352A209 | 6,217 | 116,452 | SH | SOLE | 116,452 | 0 | 0 | ||
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 23,157 | 15,594 | SH | SOLE | 15,594 | 0 | 0 | ||
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 5,212 | 3,510 | SH | DFND | 1 | 3,510 | 0 | 0 | |
| BANK AMER CORP | COM | 060505104 | 727 | 24,907 | SH | SOLE | 24,907 | 0 | 0 | ||
| BECTON DICKINSON & CO | COM | 075887109 | 212 | 839 | SH | SOLE | 839 | 0 | 0 | ||
| BECTON DICKINSON & CO | PFD SHS CONV A | 075887208 | 3,170 | 51,200 | SH | DFND | 1 | 51,200 | 0 | 0 | |
| BECTON DICKINSON & CO | PFD SHS CONV A | 075887208 | 15,643 | 252,667 | SH | SOLE | 252,667 | 0 | 0 | ||
| BERKSHIRE HATHAWAY INC DEL | CL B NEW | 084670702 | 805 | 3,869 | SH | SOLE | 3,869 | 0 | 0 | ||
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.599% 8/0 | 09061GAH4 | 5,416 | 5,510,000 | PRN | SOLE | 5,510,000 | 0 | 0 | ||
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.599% 8/0 | 09061GAH4 | 1,499 | 1,525,000 | PRN | DFND | 1 | 1,525,000 | 0 | 0 | |
| BIOMARIN PHARMACEUTICAL INC | NOTE 1.500%10/1 | 09061GAF8 | 1,071 | 1,040,000 | PRN | SOLE | 1,040,000 | 0 | 0 | ||
| BLACKROCK TCP CAPITAL CORP | NOTE 5.250%12/1 | 87238QAB9 | 872 | 867,000 | PRN | DFND | 3 | 867,000 | 0 | 0 | |
| BLACKROCK TCP CAPITAL CORP | NOTE 5.250%12/1 | 87238QAB9 | 971 | 966,000 | PRN | SOLE | 966,000 | 0 | 0 | ||
| BLACKROCK TCP CAPITAL CORP | NOTE 5.250%12/1 | 87238QAB9 | 168 | 167,000 | PRN | DFND | 2 | 167,000 | 0 | 0 | |
| BLACKSTONE MTG TR INC | NOTE 4.375% 5/0 | 09257WAB6 | 11,967 | 11,493,000 | PRN | SOLE | 11,493,000 | 0 | 0 | ||
| BLACKSTONE MTG TR INC | NOTE 4.375% 5/0 | 09257WAB6 | 1,978 | 1,900,000 | PRN | DFND | 1 | 1,900,000 | 0 | 0 | |
| BOEING CO | COM | 097023105 | 314 | 826 | SH | SOLE | 826 | 0 | 0 | ||
| BOOKING HLDGS INC | COM | 09857L108 | 237 | 121 | SH | SOLE | 121 | 0 | 0 | ||
| BROADCOM INC | COM | 11135F101 | 275 | 995 | SH | SOLE | 995 | 0 | 0 | ||
| CAESARS ENTMT CORP | NOTE 5.000%10/0 | 127686AA1 | 5,275 | 3,106,000 | PRN | SOLE | 3,106,000 | 0 | 0 | ||
| CAESARS ENTMT CORP | NOTE 5.000%10/0 | 127686AA1 | 1,240 | 730,000 | PRN | DFND | 1 | 730,000 | 0 | 0 | |
| CEMEX SAB DE CV | NOTE 3.720% 3/1 | 151290BT9 | 1,180 | 1,182,000 | PRN | DFND | 3 | 1,182,000 | 0 | 0 | |
| CEMEX SAB DE CV | NOTE 3.720% 3/1 | 151290BT9 | 243 | 243,000 | PRN | DFND | 2 | 243,000 | 0 | 0 | |
| CEMEX SAB DE CV | NOTE 3.720% 3/1 | 151290BT9 | 1,472 | 1,475,000 | PRN | SOLE | 1,475,000 | 0 | 0 | ||
| CENTERPOINT ENERGY INC | DEP RP PFD CV B | 15189T503 | 967 | 18,500 | SH | DFND | 1 | 18,500 | 0 | 0 | |
| CENTERPOINT ENERGY INC | DEP RP PFD CV B | 15189T503 | 178 | 3,398 | SH | DFND | 2 | 3,398 | 0 | 0 | |
| CENTERPOINT ENERGY INC | DEP RP PFD CV B | 15189T503 | 1,340 | 25,643 | SH | DFND | 3 | 25,643 | 0 | 0 | |
| CENTERPOINT ENERGY INC | DEP RP PFD CV B | 15189T503 | 5,535 | 105,919 | SH | SOLE | 105,919 | 0 | 0 | ||
| CHANGE HEALTHCARE INC | UNIT 99/99/9999 | 15912K209 | 230 | 4,825 | SH | DFND | 2 | 4,825 | 0 | 0 | |
| CHANGE HEALTHCARE INC | UNIT 99/99/9999 | 15912K209 | 1,030 | 21,594 | SH | DFND | 3 | 21,594 | 0 | 0 | |
| CHANGE HEALTHCARE INC | UNIT 99/99/9999 | 15912K209 | 868 | 18,195 | SH | DFND | 1 | 18,195 | 0 | 0 | |
| CHANGE HEALTHCARE INC | UNIT 99/99/9999 | 15912K209 | 4,971 | 104,176 | SH | SOLE | 104,176 | 0 | 0 | ||
| CHEGG INC | NOTE 0.250% 5/1 | 163092AB5 | 284 | 222,000 | PRN | DFND | 2 | 222,000 | 0 | 0 | |
| CHEGG INC | NOTE 0.250% 5/1 | 163092AB5 | 1,220 | 954,000 | PRN | DFND | 3 | 954,000 | 0 | 0 | |
| CHEGG INC | NOTE 0.250% 5/1 | 163092AB5 | 2,523 | 1,973,000 | PRN | SOLE | 1,973,000 | 0 | 0 | ||
| CHENIERE ENERGY INC | NOTE 4.250% 3/1 | 16411RAG4 | 10,662 | 13,824,000 | PRN | SOLE | 13,824,000 | 0 | 0 | ||
| CHENIERE ENERGY INC | NOTE 4.250% 3/1 | 16411RAG4 | 1,755 | 2,275,000 | PRN | DFND | 1 | 2,275,000 | 0 | 0 | |
| CHENIERE ENERGY INC | NOTE 4.250% 3/1 | 16411RAG4 | 305 | 395,000 | PRN | DFND | 2 | 395,000 | 0 | 0 | |
| CHENIERE ENERGY INC | NOTE 4.250% 3/1 | 16411RAG4 | 1,963 | 2,545,000 | PRN | DFND | 3 | 2,545,000 | 0 | 0 | |
| CHEVRON CORP NEW | COM | 166764100 | 409 | 3,451 | SH | SOLE | 3,451 | 0 | 0 | ||
| CHUBB LIMITED | COM | H1467J104 | 213 | 1,320 | SH | SOLE | 1,320 | 0 | 0 | ||
| CISCO SYS INC | COM | 17275R102 | 589 | 11,923 | SH | SOLE | 11,923 | 0 | 0 | ||
| CITIGROUP INC | COM NEW | 172967424 | 564 | 8,160 | SH | SOLE | 8,160 | 0 | 0 | ||
| CLEVELAND CLIFFS INC | DBCV 1.500% 1/1 | 185899AA9 | 3,771 | 3,479,000 | PRN | SOLE | 3,479,000 | 0 | 0 | ||
| CLEVELAND CLIFFS INC | DBCV 1.500% 1/1 | 185899AA9 | 390 | 360,000 | PRN | DFND | 1 | 360,000 | 0 | 0 | |
| CLEVELAND CLIFFS INC | DBCV 1.500% 1/1 | 185899AA9 | 284 | 262,000 | PRN | DFND | 2 | 262,000 | 0 | 0 | |
| CLEVELAND CLIFFS INC | DBCV 1.500% 1/1 | 185899AA9 | 1,511 | 1,394,000 | PRN | DFND | 3 | 1,394,000 | 0 | 0 | |
| COCA COLA CO | COM | 191216100 | 575 | 10,566 | SH | SOLE | 10,566 | 0 | 0 | ||
| COLFAX CORP | UNIT 01/15/2022T | 194014205 | 1,909 | 14,652 | SH | SOLE | 14,652 | 0 | 0 | ||
| COLFAX CORP | UNIT 01/15/2022T | 194014205 | 313 | 2,401 | SH | DFND | 2 | 2,401 | 0 | 0 | |
| COLFAX CORP | UNIT 01/15/2022T | 194014205 | 1,687 | 12,947 | SH | DFND | 3 | 12,947 | 0 | 0 | |
| COLONY CAP INC | NOTE 5.000% 4/1 | 19624RAA4 | 152 | 155,000 | PRN | SOLE | 155,000 | 0 | 0 | ||
| COLONY STARWOOD HOMES | NOTE 3.500% 1/1 | 19625XAB8 | 7,132 | 5,369,000 | PRN | SOLE | 5,369,000 | 0 | 0 | ||
| COLONY STARWOOD HOMES | NOTE 3.500% 1/1 | 19625XAB8 | 1,102 | 830,000 | PRN | DFND | 1 | 830,000 | 0 | 0 | |
| COLONY STARWOOD HOMES | NOTE 3.500% 1/1 | 19625XAB8 | 406 | 306,000 | PRN | DFND | 2 | 306,000 | 0 | 0 | |
| COLONY STARWOOD HOMES | NOTE 3.500% 1/1 | 19625XAB8 | 2,097 | 1,579,000 | PRN | DFND | 3 | 1,579,000 | 0 | 0 | |
| COMCAST CORP NEW | CL A | 20030N101 | 514 | 11,398 | SH | SOLE | 11,398 | 0 | 0 | ||
| COSTCO WHSL CORP NEW | COM | 22160K105 | 395 | 1,372 | SH | SOLE | 1,372 | 0 | 0 | ||
| COUPA SOFTWARE INC | NOTE 0.375% 1/1 | 22266LAB2 | 219 | 75,000 | PRN | SOLE | 75,000 | 0 | 0 | ||
| CREE INC | NOTE 0.875% 9/0 | 225447AB7 | 7,405 | 6,762,000 | PRN | SOLE | 6,762,000 | 0 | 0 | ||
| CREE INC | NOTE 0.875% 9/0 | 225447AB7 | 1,424 | 1,300,000 | PRN | DFND | 1 | 1,300,000 | 0 | 0 | |
| CREE INC | NOTE 0.875% 9/0 | 225447AB7 | 306 | 279,000 | PRN | DFND | 2 | 279,000 | 0 | 0 | |
| CREE INC | NOTE 0.875% 9/0 | 225447AB7 | 1,487 | 1,358,000 | PRN | DFND | 3 | 1,358,000 | 0 | 0 | |
| CROWN CASTLE INTL CORP NEW | 6.875% CON PFD A | 22822V309 | 11,433 | 9,058 | SH | SOLE | 9,058 | 0 | 0 | ||
| CROWN CASTLE INTL CORP NEW | 6.875% CON PFD A | 22822V309 | 2,386 | 1,890 | SH | DFND | 1 | 1,890 | 0 | 0 | |
| CSG SYS INTL INC | NOTE 4.250% 3/1 | 126349AF6 | 1,749 | 1,547,000 | PRN | SOLE | 1,547,000 | 0 | 0 | ||
| CTRIP COM INTL LTD | NOTE 1.990% 7/0 | 22943FAH3 | 790 | 782,000 | PRN | SOLE | 782,000 | 0 | 0 | ||
| D R HORTON INC | COM | 23331A109 | 318 | 6,028 | SH | SOLE | 6,028 | 0 | 0 | ||
| DANAHER CORPORATION | 4.75 MND CV PFD | 235851300 | 13,479 | 11,823 | SH | SOLE | 11,823 | 0 | 0 | ||
| DANAHER CORPORATION | 4.75 MND CV PFD | 235851300 | 2,594 | 2,275 | SH | DFND | 1 | 2,275 | 0 | 0 | |
| DANAHER CORPORATION | COM | 235851102 | 332 | 2,299 | SH | SOLE | 2,299 | 0 | 0 | ||
| DANAHER CORPORATION | DBCV 1/2 | 235851AF9 | 953 | 173,000 | PRN | SOLE | 173,000 | 0 | 0 | ||
| DBX ETF TR | XTRACK USD HIGH | 233051432 | 209 | 4,174 | SH | SOLE | 4,174 | 0 | 0 | ||
| DELTA AIR LINES INC DEL | COM NEW | 247361702 | 325 | 5,640 | SH | SOLE | 5,640 | 0 | 0 | ||
| DEXCOM INC | NOTE 0.750% 5/1 | 252131AF4 | 557 | 351,000 | PRN | SOLE | 351,000 | 0 | 0 | ||
| DISH NETWORK CORP | NOTE 3.375% 8/1 | 25470MAB5 | 12,711 | 13,874,000 | PRN | SOLE | 13,874,000 | 0 | 0 | ||
| DISH NETWORK CORP | NOTE 3.375% 8/1 | 25470MAB5 | 2,767 | 3,020,000 | PRN | DFND | 1 | 3,020,000 | 0 | 0 | |
| DISNEY WALT CO | COM DISNEY | 254687106 | 582 | 4,469 | SH | SOLE | 4,469 | 0 | 0 | ||
| DOLLAR TREE INC | COM | 256746108 | 212 | 1,857 | SH | SOLE | 1,857 | 0 | 0 | ||
| DOMINION ENERGY INC | UNIT 99/99/9999 | 25746U133 | 7,361 | 69,605 | SH | SOLE | 69,605 | 0 | 0 | ||
| DOMINION ENERGY INC | UNIT 99/99/9999 | 25746U133 | 1,507 | 14,250 | SH | DFND | 1 | 14,250 | 0 | 0 | |
| DOMINION ENERGY INC | UNIT 99/99/9999 | 25746U133 | 76 | 723 | SH | DFND | 2 | 723 | 0 | 0 | |
| DOMINION ENERGY INC | UNIT 99/99/9999 | 25746U133 | 519 | 4,912 | SH | DFND | 3 | 4,912 | 0 | 0 | |
| EATON CORP PLC | SHS | G29183103 | 206 | 2,479 | SH | SOLE | 2,479 | 0 | 0 | ||
| ENCORE CAP EUROPE FIN LTD | NOTE 4.500% 9/0 | 29260UAA5 | 844 | 820,000 | PRN | SOLE | 820,000 | 0 | 0 | ||
| ENCORE CAP EUROPE FIN LTD | NOTE 4.500% 9/0 | 29260UAA5 | 140 | 136,000 | PRN | DFND | 2 | 136,000 | 0 | 0 | |
| ENCORE CAP EUROPE FIN LTD | NOTE 4.500% 9/0 | 29260UAA5 | 991 | 963,000 | PRN | DFND | 3 | 963,000 | 0 | 0 | |
| ENCORE CAP GROUP INC | NOTE 2.875% 3/1 | 292554AH5 | 1,177 | 1,203,000 | PRN | DFND | 3 | 1,203,000 | 0 | 0 | |
| ENCORE CAP GROUP INC | NOTE 2.875% 3/1 | 292554AH5 | 787 | 804,000 | PRN | SOLE | 804,000 | 0 | 0 | ||
| ENCORE CAP GROUP INC | NOTE 2.875% 3/1 | 292554AH5 | 133 | 136,000 | PRN | DFND | 2 | 136,000 | 0 | 0 | |
| ENCORE CAP GROUP INC | NOTE 3.000% 7/0 | 292554AF9 | 456 | 449,000 | PRN | SOLE | 449,000 | 0 | 0 | ||
| ENCORE CAP GROUP INC | NOTE 3.000% 7/0 | 292554AF9 | 44 | 43,000 | PRN | DFND | 2 | 43,000 | 0 | 0 | |
| ENCORE CAP GROUP INC | NOTE 3.000% 7/0 | 292554AF9 | 516 | 508,000 | PRN | DFND | 3 | 508,000 | 0 | 0 | |
| ENERGIZER HLDGS INC NEW | 7.5 MCNV PFD A | 29272W208 | 1,831 | 19,342 | SH | DFND | 3 | 19,342 | 0 | 0 | |
| ENERGIZER HLDGS INC NEW | 7.5 MCNV PFD A | 29272W208 | 288 | 3,042 | SH | DFND | 2 | 3,042 | 0 | 0 | |
| ENERGIZER HLDGS INC NEW | 7.5 MCNV PFD A | 29272W208 | 1,668 | 17,616 | SH | SOLE | 17,616 | 0 | 0 | ||
| ENVESTNET INC | NOTE 1.750% 6/0 | 29404KAB2 | 6,116 | 5,676,000 | PRN | SOLE | 5,676,000 | 0 | 0 | ||
| ENVESTNET INC | NOTE 1.750% 6/0 | 29404KAB2 | 1,132 | 1,051,000 | PRN | DFND | 1 | 1,051,000 | 0 | 0 | |
| ENVESTNET INC | NOTE 1.750% 6/0 | 29404KAB2 | 298 | 277,000 | PRN | DFND | 2 | 277,000 | 0 | 0 | |
| ENVESTNET INC | NOTE 1.750% 6/0 | 29404KAB2 | 1,561 | 1,449,000 | PRN | DFND | 3 | 1,449,000 | 0 | 0 | |
| ENVESTNET INC | NOTE 1.750%12/1 | 29404KAA4 | 511 | 503,000 | PRN | SOLE | 503,000 | 0 | 0 | ||
| ETSY INC | NOTE 3/0 | 29786AAC0 | 32 | 19,000 | PRN | SOLE | 19,000 | 0 | 0 | ||
| EXACT SCIENCES CORP | NOTE 0.375% 3/1 | 30063PAB1 | 1,931 | 1,790,000 | PRN | DFND | 1 | 1,790,000 | 0 | 0 | |
| EXACT SCIENCES CORP | NOTE 0.375% 3/1 | 30063PAB1 | 8,062 | 7,473,000 | PRN | SOLE | 7,473,000 | 0 | 0 | ||
| EXACT SCIENCES CORP | NOTE 1.000% 1/1 | 30063PAA3 | 1,538 | 1,090,000 | PRN | DFND | 3 | 1,090,000 | 0 | 0 | |
| EXACT SCIENCES CORP | NOTE 1.000% 1/1 | 30063PAA3 | 2,429 | 1,721,000 | PRN | SOLE | 1,721,000 | 0 | 0 | ||
| EXACT SCIENCES CORP | NOTE 1.000% 1/1 | 30063PAA3 | 289 | 205,000 | PRN | DFND | 2 | 205,000 | 0 | 0 | |
| EXXON MOBIL CORP | COM | 30231G102 | 449 | 6,363 | SH | SOLE | 6,363 | 0 | 0 | ||
| EZCORP INC | NOTE 2.375% 5/0 | 302301AE6 | 1,045 | 1,319,000 | PRN | DFND | 3 | 1,319,000 | 0 | 0 | |
| EZCORP INC | NOTE 2.375% 5/0 | 302301AE6 | 1,106 | 1,396,000 | PRN | SOLE | 1,396,000 | 0 | 0 | ||
| EZCORP INC | NOTE 2.375% 5/0 | 302301AE6 | 226 | 285,000 | PRN | DFND | 2 | 285,000 | 0 | 0 | |
| FACEBOOK INC | CL A | 30303M102 | 1,031 | 5,791 | SH | SOLE | 5,791 | 0 | 0 | ||
| FIREEYE INC | NOTE 0.875% 6/0 | 31816QAF8 | 2,386 | 2,546,000 | PRN | SOLE | 2,546,000 | 0 | 0 | ||
| FIREEYE INC | NOTE 0.875% 6/0 | 31816QAF8 | 394 | 420,000 | PRN | DFND | 1 | 420,000 | 0 | 0 | |
| FIREEYE INC | NOTE 1.625% 6/0 | 31816QAD3 | 1,073 | 1,135,000 | PRN | SOLE | 1,135,000 | 0 | 0 | ||
| FIREEYE INC | NOTE 1.625% 6/0 | 31816QAD3 | 249 | 263,000 | PRN | DFND | 2 | 263,000 | 0 | 0 | |
| FIREEYE INC | NOTE 1.625% 6/0 | 31816QAD3 | 569 | 602,000 | PRN | DFND | 3 | 602,000 | 0 | 0 | |
| FIRST MAJESTIC SILVER CORP | NOTE 1.875% 3/0 | 32076VAB9 | 1,630 | 1,384,000 | PRN | DFND | 3 | 1,384,000 | 0 | 0 | |
| FIRST MAJESTIC SILVER CORP | NOTE 1.875% 3/0 | 32076VAB9 | 1,804 | 1,532,000 | PRN | SOLE | 1,532,000 | 0 | 0 | ||
| FIRST MAJESTIC SILVER CORP | NOTE 1.875% 3/0 | 32076VAB9 | 305 | 259,000 | PRN | DFND | 2 | 259,000 | 0 | 0 | |
| FIRST TR EXCHANGE TRADED FD | CAP STRENGTH ETF | 33733E104 | 4,181 | 73,637 | SH | SOLE | 73,637 | 0 | 0 | ||
| FIRST TR EXCHANGE TRADED FD | FST LOW OPPT EFT | 33739Q200 | 7,265 | 139,741 | SH | SOLE | 139,741 | 0 | 0 | ||
| FIRST TR EXCHANGE TRADED FD | SSI STRG ETF | 33739Q507 | 321 | 10,295 | SH | SOLE | 10,295 | 0 | 0 | ||
| FIVE9 INC | NOTE 0.125% 5/0 | 338307AB7 | 1,930 | 1,341,000 | PRN | SOLE | 1,341,000 | 0 | 0 | ||
| FORESTAR GROUP INC | NOTE 3.750% 3/0 | 346232AB7 | 915 | 915,000 | PRN | SOLE | 915,000 | 0 | 0 | ||
| FORESTAR GROUP INC | NOTE 3.750% 3/0 | 346232AB7 | 165 | 165,000 | PRN | DFND | 2 | 165,000 | 0 | 0 | |
| FORESTAR GROUP INC | NOTE 3.750% 3/0 | 346232AB7 | 920 | 920,000 | PRN | DFND | 3 | 920,000 | 0 | 0 | |
| FORTIVE CORP | 5% PFD CNV SER A | 34959J207 | 217 | 240 | SH | DFND | 2 | 240 | 0 | 0 | |
| FORTIVE CORP | 5% PFD CNV SER A | 34959J207 | 1,601 | 1,775 | SH | DFND | 1 | 1,775 | 0 | 0 | |
| FORTIVE CORP | 5% PFD CNV SER A | 34959J207 | 8,711 | 9,656 | SH | SOLE | 9,656 | 0 | 0 | ||
| FORTIVE CORP | 5% PFD CNV SER A | 34959J207 | 1,185 | 1,314 | SH | DFND | 3 | 1,314 | 0 | 0 | |
| FTI CONSULTING INC | NOTE 2.000% 8/1 | 302941AP4 | 9,713 | 7,980,000 | PRN | SOLE | 7,980,000 | 0 | 0 | ||
| FTI CONSULTING INC | NOTE 2.000% 8/1 | 302941AP4 | 1,838 | 1,510,000 | PRN | DFND | 1 | 1,510,000 | 0 | 0 | |
| FTI CONSULTING INC | NOTE 2.000% 8/1 | 302941AP4 | 400 | 329,000 | PRN | DFND | 2 | 329,000 | 0 | 0 | |
| FTI CONSULTING INC | NOTE 2.000% 8/1 | 302941AP4 | 2,031 | 1,669,000 | PRN | DFND | 3 | 1,669,000 | 0 | 0 | |
| GENERAL ELECTRIC CO | COM | 369604103 | 107 | 11,963 | SH | SOLE | 11,963 | 0 | 0 | ||
| GILEAD SCIENCES INC | COM | 375558103 | 206 | 3,243 | SH | SOLE | 3,243 | 0 | 0 | ||
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 | 759 | 737,000 | PRN | DFND | 3 | 737,000 | 0 | 0 | |
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 | 682 | 662,000 | PRN | SOLE | 662,000 | 0 | 0 | ||
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 | 104 | 101,000 | PRN | DFND | 2 | 101,000 | 0 | 0 | |
| GUIDEWIRE SOFTWARE INC | NOTE 1.250% 3/1 | 40171VAA8 | 5,563 | 4,858,000 | PRN | SOLE | 4,858,000 | 0 | 0 | ||
| GUIDEWIRE SOFTWARE INC | NOTE 1.250% 3/1 | 40171VAA8 | 1,185 | 1,035,000 | PRN | DFND | 1 | 1,035,000 | 0 | 0 | |
| HANNON ARMSTRONG SUST INFR C | NOTE 4.125% 9/0 | 41068XAB6 | 992 | 889,000 | PRN | SOLE | 889,000 | 0 | 0 | ||
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.125% 9/1 | 42330PAJ6 | 993 | 852,000 | PRN | DFND | 3 | 852,000 | 0 | 0 | |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.125% 9/1 | 42330PAJ6 | 1,839 | 1,577,000 | PRN | SOLE | 1,577,000 | 0 | 0 | ||
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.125% 9/1 | 42330PAJ6 | 190 | 163,000 | PRN | DFND | 2 | 163,000 | 0 | 0 | |
| HERBALIFE LTD | NOTE 2.625% 3/1 | 42703MAD5 | 1,283 | 1,375,000 | PRN | DFND | 1 | 1,375,000 | 0 | 0 | |
| HERBALIFE LTD | NOTE 2.625% 3/1 | 42703MAD5 | 5,466 | 5,860,000 | PRN | SOLE | 5,860,000 | 0 | 0 | ||
| HERCULES CAPITAL INC | DBCV 4.375% 2/0 | 427096AF9 | 5,484 | 5,357,000 | PRN | SOLE | 5,357,000 | 0 | 0 | ||
| HERCULES CAPITAL INC | DBCV 4.375% 2/0 | 427096AF9 | 102 | 100,000 | PRN | DFND | 2 | 100,000 | 0 | 0 | |
| HERCULES CAPITAL INC | DBCV 4.375% 2/0 | 427096AF9 | 455 | 444,000 | PRN | DFND | 3 | 444,000 | 0 | 0 | |
| HOME DEPOT INC | COM | 437076102 | 882 | 3,800 | SH | SOLE | 3,800 | 0 | 0 | ||
| HONEYWELL INTL INC | COM | 438516106 | 320 | 1,893 | SH | SOLE | 1,893 | 0 | 0 | ||
| HOPE BANCORP INC | NOTE 2.000% 5/1 | 43940TAB5 | 396 | 429,000 | PRN | DFND | 2 | 429,000 | 0 | 0 | |
| HOPE BANCORP INC | NOTE 2.000% 5/1 | 43940TAB5 | 2,216 | 2,399,000 | PRN | DFND | 3 | 2,399,000 | 0 | 0 | |
| HOPE BANCORP INC | NOTE 2.000% 5/1 | 43940TAB5 | 2,237 | 2,422,000 | PRN | SOLE | 2,422,000 | 0 | 0 | ||
| HORIZON PHARMA INVT LTD | NOTE 2.500% 3/1 | 44052TAB7 | 1,467 | 1,260,000 | PRN | DFND | 1 | 1,260,000 | 0 | 0 | |
| HORIZON PHARMA INVT LTD | NOTE 2.500% 3/1 | 44052TAB7 | 166 | 143,000 | PRN | DFND | 2 | 143,000 | 0 | 0 | |
| HORIZON PHARMA INVT LTD | NOTE 2.500% 3/1 | 44052TAB7 | 872 | 749,000 | PRN | DFND | 3 | 749,000 | 0 | 0 | |
| HORIZON PHARMA INVT LTD | NOTE 2.500% 3/1 | 44052TAB7 | 6,998 | 6,012,000 | PRN | SOLE | 6,012,000 | 0 | 0 | ||
| HUBSPOT INC | NOTE 0.250% 6/0 | 443573AB6 | 2,941 | 1,758,000 | PRN | SOLE | 1,758,000 | 0 | 0 | ||
| HUBSPOT INC | NOTE 0.250% 6/0 | 443573AB6 | 577 | 345,000 | PRN | DFND | 1 | 345,000 | 0 | 0 | |
| II VI INC | NOTE 0.250% 9/0 | 902104AB4 | 769 | 745,000 | PRN | DFND | 1 | 745,000 | 0 | 0 | |
| II VI INC | NOTE 0.250% 9/0 | 902104AB4 | 269 | 261,000 | PRN | DFND | 2 | 261,000 | 0 | 0 | |
| II VI INC | NOTE 0.250% 9/0 | 902104AB4 | 5,873 | 5,690,000 | PRN | SOLE | 5,690,000 | 0 | 0 | ||
| II VI INC | NOTE 0.250% 9/0 | 902104AB4 | 1,211 | 1,173,000 | PRN | DFND | 3 | 1,173,000 | 0 | 0 | |
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 13,834 | 10,441,000 | PRN | SOLE | 10,441,000 | 0 | 0 | ||
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 881 | 665,000 | PRN | DFND | 1 | 665,000 | 0 | 0 | |
| ILLUMINA INC | NOTE 8/1 | 452327AK5 | 22,041 | 19,924,000 | PRN | SOLE | 19,924,000 | 0 | 0 | ||
| ILLUMINA INC | NOTE 8/1 | 452327AK5 | 962 | 870,000 | PRN | DFND | 1 | 870,000 | 0 | 0 | |
| INPHI CORP | NOTE 0.750% 9/0 | 45772FAC1 | 1,080 | 870,000 | PRN | DFND | 1 | 870,000 | 0 | 0 | |
| INPHI CORP | NOTE 0.750% 9/0 | 45772FAC1 | 5,062 | 4,079,000 | PRN | SOLE | 4,079,000 | 0 | 0 | ||
| INPHI CORP | NOTE 1.125%12/0 | 45772FAB3 | 64 | 41,000 | PRN | SOLE | 41,000 | 0 | 0 | ||
| INSMED INC | NOTE 1.750% 1/1 | 457669AA7 | 927 | 1,112,000 | PRN | DFND | 3 | 1,112,000 | 0 | 0 | |
| INSMED INC | NOTE 1.750% 1/1 | 457669AA7 | 196 | 235,000 | PRN | DFND | 2 | 235,000 | 0 | 0 | |
| INSMED INC | NOTE 1.750% 1/1 | 457669AA7 | 3,890 | 4,667,000 | PRN | SOLE | 4,667,000 | 0 | 0 | ||
| INSMED INC | NOTE 1.750% 1/1 | 457669AA7 | 763 | 915,000 | PRN | DFND | 1 | 915,000 | 0 | 0 | |
| INSULET CORP | NOTE 1.375%11/1 | 45784PAH4 | 5,376 | 2,926,000 | PRN | SOLE | 2,926,000 | 0 | 0 | ||
| INSULET CORP | NOTE 1.375%11/1 | 45784PAH4 | 946 | 515,000 | PRN | DFND | 1 | 515,000 | 0 | 0 | |
| INTEL CORP | COM | 458140100 | 505 | 9,803 | SH | SOLE | 9,803 | 0 | 0 | ||
| INTERCEPT PHARMACEUTICALS IN | NOTE 2.000% 5/1 | 45845PAB4 | 1,011 | 1,125,000 | PRN | DFND | 1 | 1,125,000 | 0 | 0 | |
| INTERCEPT PHARMACEUTICALS IN | NOTE 2.000% 5/1 | 45845PAB4 | 4,392 | 4,887,000 | PRN | SOLE | 4,887,000 | 0 | 0 | ||
| INTERCONTINENTAL EXCHANGE IN | COM | 45866F104 | 423 | 4,581 | SH | SOLE | 4,581 | 0 | 0 | ||
| INTERDIGITAL INC | NOTE 1.500% 3/0 | 458660AD9 | 753 | 755,000 | PRN | SOLE | 755,000 | 0 | 0 | ||
| INTERNATIONAL BUSINESS MACHS | COM | 459200101 | 309 | 2,123 | SH | SOLE | 2,123 | 0 | 0 | ||
| INTERNATIONAL FLAVORS&FRAGRA | UNIT 09/15/2021 | 459506309 | 3,508 | 74,950 | SH | SOLE | 74,950 | 0 | 0 | ||
| INTERNATIONAL FLAVORS&FRAGRA | UNIT 09/15/2021 | 459506309 | 778 | 16,625 | SH | DFND | 1 | 16,625 | 0 | 0 | |
| IRONWOOD PHARMACEUTICALS INC | DBCV 2.250% 6/1 | 46333XAD0 | 1,422 | 1,426,000 | PRN | SOLE | 1,426,000 | 0 | 0 | ||
| IRONWOOD PHARMACEUTICALS INC | DBCV 2.250% 6/1 | 46333XAD0 | 284 | 285,000 | PRN | DFND | 2 | 285,000 | 0 | 0 | |
| IRONWOOD PHARMACEUTICALS INC | DBCV 2.250% 6/1 | 46333XAD0 | 1,285 | 1,289,000 | PRN | DFND | 3 | 1,289,000 | 0 | 0 | |
| ISHARES TR | 1 3 YR TREAS BD | 464287457 | 6,550 | 77,221 | SH | SOLE | 77,221 | 0 | 0 | ||
| ISHARES TR | CORE S&P500 ETF | 464287200 | 62,951 | 210,876 | SH | SOLE | 210,876 | 0 | 0 | ||
| ISHARES TR | CORE US AGGBD ET | 464287226 | 18,201 | 160,828 | SH | SOLE | 160,828 | 0 | 0 | ||
| ISHARES TR | FLTG RATE NT ETF | 46429B655 | 557 | 10,934 | SH | SOLE | 10,934 | 0 | 0 | ||
| ISHARES TR | RUS 1000 VAL ETF | 464287598 | 663 | 5,167 | SH | SOLE | 5,167 | 0 | 0 | ||
| ISHARES TR | U.S. BAS MTL ETF | 464287838 | 361 | 3,913 | SH | SOLE | 3,913 | 0 | 0 | ||
| ISHARES TR | U.S. ENERGY ETF | 464287796 | 208 | 6,550 | SH | SOLE | 6,550 | 0 | 0 | ||
| ISHARES TR | U.S. REAL ES ETF | 464287739 | 1,521 | 16,258 | SH | SOLE | 16,258 | 0 | 0 | ||
| ISHARES TR | U.S. TECH ETF | 464287721 | 3,762 | 18,423 | SH | SOLE | 18,423 | 0 | 0 | ||
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 1,480 | 1,298,000 | PRN | DFND | 3 | 1,298,000 | 0 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 309 | 271,000 | PRN | DFND | 2 | 271,000 | 0 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 952 | 835,000 | PRN | DFND | 1 | 835,000 | 0 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 6,236 | 5,468,000 | PRN | SOLE | 5,468,000 | 0 | 0 | ||
| ISTAR INC | NOTE 3.125% 9/1 | 45031UCB5 | 1,149 | 1,085,000 | PRN | SOLE | 1,085,000 | 0 | 0 | ||
| ISTAR INC | NOTE 3.125% 9/1 | 45031UCB5 | 188 | 178,000 | PRN | DFND | 2 | 178,000 | 0 | 0 | |
| ISTAR INC | NOTE 3.125% 9/1 | 45031UCB5 | 1,045 | 987,000 | PRN | DFND | 3 | 987,000 | 0 | 0 | |
| J2 GLOBAL INC | NOTE 3.250% 6/1 | 48123VAC6 | 1,568 | 1,106,000 | PRN | DFND | 3 | 1,106,000 | 0 | 0 | |
| J2 GLOBAL INC | NOTE 3.250% 6/1 | 48123VAC6 | 1,672 | 1,179,000 | PRN | SOLE | 1,179,000 | 0 | 0 | ||
| J2 GLOBAL INC | NOTE 3.250% 6/1 | 48123VAC6 | 305 | 215,000 | PRN | DFND | 2 | 215,000 | 0 | 0 | |
| JAZZ INVESTMENTS I LTD | NOTE 1.875% 8/1 | 472145AB7 | 879 | 878,000 | PRN | DFND | 3 | 878,000 | 0 | 0 | |
| JAZZ INVESTMENTS I LTD | NOTE 1.875% 8/1 | 472145AB7 | 159 | 159,000 | PRN | DFND | 2 | 159,000 | 0 | 0 | |
| JAZZ INVESTMENTS I LTD | NOTE 1.875% 8/1 | 472145AB7 | 3,508 | 3,505,000 | PRN | SOLE | 3,505,000 | 0 | 0 | ||
| JAZZ INVESTMENTS I LTD | NOTE 1.875% 8/1 | 472145AB7 | 470 | 470,000 | PRN | DFND | 1 | 470,000 | 0 | 0 | |
| JOHNSON & JOHNSON | COM | 478160104 | 823 | 6,359 | SH | SOLE | 6,359 | 0 | 0 | ||
| JPMORGAN CHASE & CO | COM | 46625H100 | 1,334 | 11,336 | SH | SOLE | 11,336 | 0 | 0 | ||
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 | 177 | 155,000 | PRN | DFND | 2 | 155,000 | 0 | 0 | |
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 | 1,034 | 906,000 | PRN | DFND | 3 | 906,000 | 0 | 0 | |
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 | 7,299 | 6,398,000 | PRN | SOLE | 6,398,000 | 0 | 0 | ||
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 | 1,369 | 1,200,000 | PRN | DFND | 1 | 1,200,000 | 0 | 0 | |
| KIMBERLY CLARK CORP | COM | 494368103 | 1,234 | 8,685 | SH | SOLE | 8,685 | 0 | 0 | ||
| KKR REAL ESTATE FIN TR INC | NOTE 6.125% 5/1 | 48251KAB6 | 1,638 | 1,573,000 | PRN | SOLE | 1,573,000 | 0 | 0 | ||
| KKR REAL ESTATE FIN TR INC | NOTE 6.125% 5/1 | 48251KAB6 | 283 | 272,000 | PRN | DFND | 2 | 272,000 | 0 | 0 | |
| KKR REAL ESTATE FIN TR INC | NOTE 6.125% 5/1 | 48251KAB6 | 1,906 | 1,830,000 | PRN | DFND | 3 | 1,830,000 | 0 | 0 | |
| KNOWLES CORP | NOTE 3.250%11/0 | 49926DAB5 | 1,806 | 1,410,000 | PRN | DFND | 3 | 1,410,000 | 0 | 0 | |
| KNOWLES CORP | NOTE 3.250%11/0 | 49926DAB5 | 1,612 | 1,258,000 | PRN | SOLE | 1,258,000 | 0 | 0 | ||
| KNOWLES CORP | NOTE 3.250%11/0 | 49926DAB5 | 265 | 207,000 | PRN | DFND | 2 | 207,000 | 0 | 0 | |
| LIBERTY MEDIA CORP | DEB 3.500% 1/1 | 530715AN1 | 2,793 | 3,060,000 | PRN | DFND | 3 | 3,060,000 | 0 | 0 | |
| LIBERTY MEDIA CORP | DEB 3.500% 1/1 | 530715AN1 | 3,040 | 3,331,000 | PRN | SOLE | 3,331,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP | DEB 3.500% 1/1 | 530715AN1 | 556 | 609,000 | PRN | DFND | 2 | 609,000 | 0 | 0 | |
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.000% 1/3 | 531229AF9 | 4,279 | 3,417,000 | PRN | SOLE | 3,417,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.000% 1/3 | 531229AF9 | 958 | 765,000 | PRN | DFND | 1 | 765,000 | 0 | 0 | |
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 6,417 | 5,372,000 | PRN | SOLE | 5,372,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 1,254 | 1,050,000 | PRN | DFND | 1 | 1,050,000 | 0 | 0 | |
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 | 1,939 | 2,327,000 | PRN | DFND | 3 | 2,327,000 | 0 | 0 | |
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 | 1,954 | 2,345,000 | PRN | SOLE | 2,345,000 | 0 | 0 | ||
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 | 398 | 478,000 | PRN | DFND | 2 | 478,000 | 0 | 0 | |
| LIVE NATION ENTERTAINMENT IN | NOTE 2.500% 3/1 | 538034AQ2 | 5,640 | 4,811,000 | PRN | SOLE | 4,811,000 | 0 | 0 | ||
| LIVE NATION ENTERTAINMENT IN | NOTE 2.500% 3/1 | 538034AQ2 | 1,337 | 1,140,000 | PRN | DFND | 1 | 1,140,000 | 0 | 0 | |
| LOCKHEED MARTIN CORP | COM | 539830109 | 271 | 694 | SH | SOLE | 694 | 0 | 0 | ||
| LOEWS CORP | COM | 540424108 | 851 | 16,540 | SH | SOLE | 16,540 | 0 | 0 | ||
| LUMENTUM HLDGS INC | NOTE 0.250% 3/1 | 55024UAB5 | 4,039 | 3,489,000 | PRN | SOLE | 3,489,000 | 0 | 0 | ||
| LUMENTUM HLDGS INC | NOTE 0.250% 3/1 | 55024UAB5 | 909 | 785,000 | PRN | DFND | 1 | 785,000 | 0 | 0 | |
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.000%10/0 | 55608BAB1 | 80 | 88,000 | PRN | SOLE | 88,000 | 0 | 0 | ||
| MASTERCARD INC | CL A | 57636Q104 | 767 | 2,825 | SH | SOLE | 2,825 | 0 | 0 | ||
| MCDONALDS CORP | COM | 580135101 | 490 | 2,281 | SH | SOLE | 2,281 | 0 | 0 | ||
| MEDICINES CO | NOTE 2.500% 1/1 | 584688AE5 | 94 | 62,000 | PRN | SOLE | 62,000 | 0 | 0 | ||
| MEDICINES CO | NOTE 2.750% 7/1 | 584688AG0 | 2,169 | 1,800,000 | PRN | DFND | 1 | 1,800,000 | 0 | 0 | |
| MEDICINES CO | NOTE 2.750% 7/1 | 584688AG0 | 8,417 | 6,985,000 | PRN | SOLE | 6,985,000 | 0 | 0 | ||
| MEDTRONIC PLC | SHS | G5960L103 | 370 | 3,405 | SH | SOLE | 3,405 | 0 | 0 | ||
| MERCADOLIBRE INC | NOTE 2.000% 8/1 | 58733RAD4 | 1,983 | 1,351,000 | PRN | SOLE | 1,351,000 | 0 | 0 | ||
| MERCADOLIBRE INC | NOTE 2.000% 8/1 | 58733RAD4 | 407 | 277,000 | PRN | DFND | 2 | 277,000 | 0 | 0 | |
| MERCADOLIBRE INC | NOTE 2.000% 8/1 | 58733RAD4 | 2,014 | 1,372,000 | PRN | DFND | 3 | 1,372,000 | 0 | 0 | |
| MERCK & CO INC | COM | 58933Y105 | 492 | 5,839 | SH | SOLE | 5,839 | 0 | 0 | ||
| MERITOR INC | NOTE 3.250%10/1 | 59001KAF7 | 241 | 246,000 | PRN | DFND | 2 | 246,000 | 0 | 0 | |
| MERITOR INC | NOTE 3.250%10/1 | 59001KAF7 | 1,447 | 1,479,000 | PRN | DFND | 3 | 1,479,000 | 0 | 0 | |
| MERITOR INC | NOTE 3.250%10/1 | 59001KAF7 | 9,148 | 9,348,000 | PRN | SOLE | 9,348,000 | 0 | 0 | ||
| MERITOR INC | NOTE 3.250%10/1 | 59001KAF7 | 1,233 | 1,260,000 | PRN | DFND | 1 | 1,260,000 | 0 | 0 | |
| MFA FINL INC | NOTE 6.250% 6/1 | 55272XAA0 | 1,141 | 1,112,000 | PRN | SOLE | 1,112,000 | 0 | 0 | ||
| MFA FINL INC | NOTE 6.250% 6/1 | 55272XAA0 | 197 | 192,000 | PRN | DFND | 2 | 192,000 | 0 | 0 | |
| MFA FINL INC | NOTE 6.250% 6/1 | 55272XAA0 | 1,227 | 1,196,000 | PRN | DFND | 3 | 1,196,000 | 0 | 0 | |
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 15,351 | 8,104,000 | PRN | SOLE | 8,104,000 | 0 | 0 | ||
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 3,353 | 1,770,000 | PRN | DFND | 1 | 1,770,000 | 0 | 0 | |
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AF1 | 22,341 | 17,355,000 | PRN | SOLE | 17,355,000 | 0 | 0 | ||
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AF1 | 2,524 | 1,961,000 | PRN | DFND | 3 | 1,961,000 | 0 | 0 | |
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AF1 | 3,765 | 2,925,000 | PRN | DFND | 1 | 2,925,000 | 0 | 0 | |
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AF1 | 479 | 372,000 | PRN | DFND | 2 | 372,000 | 0 | 0 | |
| MICRON TECHNOLOGY INC | NOTE 2.125% 2/1 | 595112AV5 | 3,869 | 990,000 | PRN | SOLE | 990,000 | 0 | 0 | ||
| MICRON TECHNOLOGY INC | NOTE 2.125% 2/1 | 595112AV5 | 743 | 190,000 | PRN | DFND | 1 | 190,000 | 0 | 0 | |
| MICROSOFT CORP | COM | 594918104 | 2,387 | 17,168 | SH | SOLE | 17,168 | 0 | 0 | ||
| MOMO INC | NOTE 1.250% 7/0 | 60879BAB3 | 1,858 | 2,064,000 | PRN | DFND | 3 | 2,064,000 | 0 | 0 | |
| MOMO INC | NOTE 1.250% 7/0 | 60879BAB3 | 393 | 437,000 | PRN | DFND | 2 | 437,000 | 0 | 0 | |
| MOMO INC | NOTE 1.250% 7/0 | 60879BAB3 | 1,890 | 2,099,000 | PRN | SOLE | 2,099,000 | 0 | 0 | ||
| MONGODB INC | NOTE 0.750% 6/1 | 60937PAB2 | 282 | 150,000 | PRN | DFND | 2 | 150,000 | 0 | 0 | |
| MONGODB INC | NOTE 0.750% 6/1 | 60937PAB2 | 1,330 | 708,000 | PRN | DFND | 3 | 708,000 | 0 | 0 | |
| MONGODB INC | NOTE 0.750% 6/1 | 60937PAB2 | 1,636 | 871,000 | PRN | SOLE | 871,000 | 0 | 0 | ||
| NABORS INDUSTRIES LTD | 6% PFD CNV SR A | G6359F129 | 812 | 50,190 | SH | SOLE | 50,190 | 0 | 0 | ||
| NABORS INDUSTRIES LTD | 6% PFD CNV SR A | G6359F129 | 134 | 8,317 | SH | DFND | 2 | 8,317 | 0 | 0 | |
| NABORS INDUSTRIES LTD | 6% PFD CNV SR A | G6359F129 | 913 | 56,493 | SH | DFND | 3 | 56,493 | 0 | 0 | |
| NATIONAL HEALTH INVS INC | NOTE 3.250% 4/0 | 63633DAE4 | 483 | 400,000 | PRN | SOLE | 400,000 | 0 | 0 | ||
| NEUROCRINE BIOSCIENCES INC | NOTE 2.250% 5/1 | 64125CAD1 | 6,508 | 4,753,000 | PRN | SOLE | 4,753,000 | 0 | 0 | ||
| NEUROCRINE BIOSCIENCES INC | NOTE 2.250% 5/1 | 64125CAD1 | 1,188 | 868,000 | PRN | DFND | 3 | 868,000 | 0 | 0 | |
| NEUROCRINE BIOSCIENCES INC | NOTE 2.250% 5/1 | 64125CAD1 | 1,095 | 800,000 | PRN | DFND | 1 | 800,000 | 0 | 0 | |
| NEUROCRINE BIOSCIENCES INC | NOTE 2.250% 5/1 | 64125CAD1 | 220 | 161,000 | PRN | DFND | 2 | 161,000 | 0 | 0 | |
| NEW MTN FIN CORP | NOTE 5.750% 8/1 | 647551AC4 | 1,495 | 1,429,000 | PRN | SOLE | 1,429,000 | 0 | 0 | ||
| NEW MTN FIN CORP | NOTE 5.750% 8/1 | 647551AC4 | 265 | 253,000 | PRN | DFND | 2 | 253,000 | 0 | 0 | |
| NEW MTN FIN CORP | NOTE 5.750% 8/1 | 647551AC4 | 1,379 | 1,318,000 | PRN | DFND | 3 | 1,318,000 | 0 | 0 | |
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 | 1,033 | 1,091,000 | PRN | DFND | 3 | 1,091,000 | 0 | 0 | |
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 | 935 | 988,000 | PRN | SOLE | 988,000 | 0 | 0 | ||
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 | 162 | 171,000 | PRN | DFND | 2 | 171,000 | 0 | 0 | |
| NEW YORK CMNTY CAP TR V | UNIT 11/01/2051 | 64944P307 | 2,329 | 46,588 | SH | DFND | 3 | 46,588 | 0 | 0 | |
| NEW YORK CMNTY CAP TR V | UNIT 11/01/2051 | 64944P307 | 438 | 8,754 | SH | DFND | 2 | 8,754 | 0 | 0 | |
| NEW YORK CMNTY CAP TR V | UNIT 11/01/2051 | 64944P307 | 2,483 | 49,658 | SH | SOLE | 49,658 | 0 | 0 | ||
| NEW YORK MTG TR INC | NOTE 6.250% 1/1 | 649604AD7 | 1,344 | 1,324,000 | PRN | SOLE | 1,324,000 | 0 | 0 | ||
| NEW YORK MTG TR INC | NOTE 6.250% 1/1 | 649604AD7 | 221 | 218,000 | PRN | DFND | 2 | 218,000 | 0 | 0 | |
| NEW YORK MTG TR INC | NOTE 6.250% 1/1 | 649604AD7 | 1,226 | 1,208,000 | PRN | DFND | 3 | 1,208,000 | 0 | 0 | |
| NEWPARK RES INC | NOTE 4.000%12/0 | 651718AE8 | 1,005 | 909,000 | PRN | DFND | 3 | 909,000 | 0 | 0 | |
| NEWPARK RES INC | NOTE 4.000%12/0 | 651718AE8 | 932 | 843,000 | PRN | SOLE | 843,000 | 0 | 0 | ||
| NEWPARK RES INC | NOTE 4.000%12/0 | 651718AE8 | 164 | 148,000 | PRN | DFND | 2 | 148,000 | 0 | 0 | |
| NEXTERA ENERGY INC | UNIT 09/01/2022S | 65339F796 | 7,785 | 155,270 | SH | SOLE | 155,270 | 0 | 0 | ||
| NEXTERA ENERGY INC | UNIT 09/01/2022S | 65339F796 | 1,554 | 30,990 | SH | DFND | 1 | 30,990 | 0 | 0 | |
| NICE SYS INC | NOTE 1.250% 1/1 | 65366HAB9 | 1,891 | 1,060,000 | PRN | SOLE | 1,060,000 | 0 | 0 | ||
| NIKE INC | CL B | 654106103 | 267 | 2,842 | SH | SOLE | 2,842 | 0 | 0 | ||
| NORTHROP GRUMMAN CORP | COM | 666807102 | 219 | 583 | SH | SOLE | 583 | 0 | 0 | ||
| NOVELLUS SYS INC | NOTE 2.625% 5/1 | 670008AD3 | 23,546 | 3,295,000 | PRN | SOLE | 3,295,000 | 0 | 0 | ||
| NOVELLUS SYS INC | NOTE 2.625% 5/1 | 670008AD3 | 1,251 | 175,000 | PRN | DFND | 1 | 175,000 | 0 | 0 | |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 | 7,067 | 6,288,000 | PRN | SOLE | 6,288,000 | 0 | 0 | ||
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 | 1,282 | 1,141,000 | PRN | DFND | 3 | 1,141,000 | 0 | 0 | |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 | 203 | 181,000 | PRN | DFND | 2 | 181,000 | 0 | 0 | |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 | 1,377 | 1,225,000 | PRN | DFND | 1 | 1,225,000 | 0 | 0 | |
| NUANCE COMMUNICATIONS INC | NOTE 1.250% 4/0 | 67020YAN0 | 775 | 785,000 | PRN | SOLE | 785,000 | 0 | 0 | ||
| NUTANIX INC | NOTE 1/1 | 67059NAB4 | 272 | 292,000 | PRN | SOLE | 292,000 | 0 | 0 | ||
| NUVASIVE INC | NOTE 2.250% 3/1 | 670704AG0 | 5,390 | 4,563,000 | PRN | SOLE | 4,563,000 | 0 | 0 | ||
| NUVASIVE INC | NOTE 2.250% 3/1 | 670704AG0 | 1,234 | 1,045,000 | PRN | DFND | 1 | 1,045,000 | 0 | 0 | |
| NVIDIA CORP | COM | 67066G104 | 283 | 1,628 | SH | SOLE | 1,628 | 0 | 0 | ||
| OIL STS INTL INC | NOTE 1.500% 2/1 | 678026AH8 | 733 | 870,000 | PRN | DFND | 1 | 870,000 | 0 | 0 | |
| OIL STS INTL INC | NOTE 1.500% 2/1 | 678026AH8 | 3,394 | 4,028,000 | PRN | SOLE | 4,028,000 | 0 | 0 | ||
| OKTA INC | NOTE 0.250% 2/1 | 679295AB1 | 1,528 | 727,000 | PRN | SOLE | 727,000 | 0 | 0 | ||
| OKTA INC | NOTE 0.250% 2/1 | 679295AB1 | 378 | 180,000 | PRN | DFND | 1 | 180,000 | 0 | 0 | |
| ON SEMICONDUCTOR CORP | NOTE 1.000%12/0 | 682189AK1 | 7,304 | 6,227,000 | PRN | SOLE | 6,227,000 | 0 | 0 | ||
| ON SEMICONDUCTOR CORP | NOTE 1.000%12/0 | 682189AK1 | 1,630 | 1,390,000 | PRN | DFND | 1 | 1,390,000 | 0 | 0 | |
| ON SEMICONDUCTOR CORP | NOTE 1.625%10/1 | 682189AP0 | 1,653 | 1,375,000 | PRN | SOLE | 1,375,000 | 0 | 0 | ||
| ON SEMICONDUCTOR CORP | NOTE 1.625%10/1 | 682189AP0 | 266 | 221,000 | PRN | DFND | 2 | 221,000 | 0 | 0 | |
| ON SEMICONDUCTOR CORP | NOTE 1.625%10/1 | 682189AP0 | 1,171 | 974,000 | PRN | DFND | 3 | 974,000 | 0 | 0 | |
| ORACLE CORP | COM | 68389X105 | 313 | 5,689 | SH | SOLE | 5,689 | 0 | 0 | ||
| OSI SYSTEMS INC | NOTE 1.250% 9/0 | 671044AD7 | 1,720 | 1,538,000 | PRN | DFND | 3 | 1,538,000 | 0 | 0 | |
| OSI SYSTEMS INC | NOTE 1.250% 9/0 | 671044AD7 | 274 | 245,000 | PRN | DFND | 2 | 245,000 | 0 | 0 | |
| OSI SYSTEMS INC | NOTE 1.250% 9/0 | 671044AD7 | 923 | 825,000 | PRN | DFND | 1 | 825,000 | 0 | 0 | |
| OSI SYSTEMS INC | NOTE 1.250% 9/0 | 671044AD7 | 7,111 | 6,357,000 | PRN | SOLE | 6,357,000 | 0 | 0 | ||
| PALO ALTO NETWORKS INC | NOTE 0.750% 7/0 | 697435AD7 | 12,669 | 12,048,000 | PRN | SOLE | 12,048,000 | 0 | 0 | ||
| PALO ALTO NETWORKS INC | NOTE 0.750% 7/0 | 697435AD7 | 2,429 | 2,310,000 | PRN | DFND | 1 | 2,310,000 | 0 | 0 | |
| PAYPAL HLDGS INC | COM | 70450Y103 | 383 | 3,696 | SH | SOLE | 3,696 | 0 | 0 | ||
| PDC ENERGY INC | NOTE 1.125% 9/1 | 69327RAD3 | 3,525 | 3,825,000 | PRN | SOLE | 3,825,000 | 0 | 0 | ||
| PDC ENERGY INC | NOTE 1.125% 9/1 | 69327RAD3 | 719 | 780,000 | PRN | DFND | 1 | 780,000 | 0 | 0 | |
| PENNYMAC CORP | NOTE 5.375% 5/0 | 70932AAB9 | 1,914 | 1,902,000 | PRN | SOLE | 1,902,000 | 0 | 0 | ||
| PENNYMAC CORP | NOTE 5.375% 5/0 | 70932AAB9 | 346 | 344,000 | PRN | DFND | 2 | 344,000 | 0 | 0 | |
| PENNYMAC CORP | NOTE 5.375% 5/0 | 70932AAB9 | 1,765 | 1,754,000 | PRN | DFND | 3 | 1,754,000 | 0 | 0 | |
| PEPSICO INC | COM | 713448108 | 493 | 3,593 | SH | SOLE | 3,593 | 0 | 0 | ||
| PERFICIENT INC | NOTE 2.375% 9/1 | 71375UAB7 | 6,225 | 5,217,000 | PRN | SOLE | 5,217,000 | 0 | 0 | ||
| PERFICIENT INC | NOTE 2.375% 9/1 | 71375UAB7 | 1,014 | 850,000 | PRN | DFND | 1 | 850,000 | 0 | 0 | |
| PERFICIENT INC | NOTE 2.375% 9/1 | 71375UAB7 | 285 | 239,000 | PRN | DFND | 2 | 239,000 | 0 | 0 | |
| PERFICIENT INC | NOTE 2.375% 9/1 | 71375UAB7 | 1,308 | 1,096,000 | PRN | DFND | 3 | 1,096,000 | 0 | 0 | |
| PFIZER INC | COM | 717081103 | 713 | 19,840 | SH | SOLE | 19,840 | 0 | 0 | ||
| PHILLIPS 66 | COM | 718546104 | 212 | 2,074 | SH | SOLE | 2,074 | 0 | 0 | ||
| PIONEER NAT RES CO | COM | 723787107 | 257 | 2,040 | SH | SOLE | 2,040 | 0 | 0 | ||
| PNC FINL SVCS GROUP INC | COM | 693475105 | 222 | 1,583 | SH | SOLE | 1,583 | 0 | 0 | ||
| PORTFOLIO RECOVERY ASSOCS IN | NOTE 3.000% 8/0 | 73640QAB1 | 1,209 | 1,220,000 | PRN | SOLE | 1,220,000 | 0 | 0 | ||
| PORTFOLIO RECOVERY ASSOCS IN | NOTE 3.000% 8/0 | 73640QAB1 | 198 | 200,000 | PRN | DFND | 2 | 200,000 | 0 | 0 | |
| PORTFOLIO RECOVERY ASSOCS IN | NOTE 3.000% 8/0 | 73640QAB1 | 1,070 | 1,080,000 | PRN | DFND | 3 | 1,080,000 | 0 | 0 | |
| PRA GROUP INC | NOTE 3.500% 6/0 | 69354NAB2 | 1,517 | 1,505,000 | PRN | DFND | 3 | 1,505,000 | 0 | 0 | |
| PRA GROUP INC | NOTE 3.500% 6/0 | 69354NAB2 | 1,288 | 1,278,000 | PRN | SOLE | 1,278,000 | 0 | 0 | ||
| PRA GROUP INC | NOTE 3.500% 6/0 | 69354NAB2 | 219 | 217,000 | PRN | DFND | 2 | 217,000 | 0 | 0 | |
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 23,875 | 15,973,000 | PRN | SOLE | 15,973,000 | 0 | 0 | ||
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 1,285 | 860,000 | PRN | DFND | 1 | 860,000 | 0 | 0 | |
| PRICELINE GRP INC | NOTE 0.900% 9/1 | 741503AX4 | 26,508 | 22,861,000 | PRN | SOLE | 22,861,000 | 0 | 0 | ||
| PRICELINE GRP INC | NOTE 0.900% 9/1 | 741503AX4 | 2,157 | 1,860,000 | PRN | DFND | 1 | 1,860,000 | 0 | 0 | |
| PROCTER & GAMBLE CO | COM | 742718109 | 890 | 7,159 | SH | SOLE | 7,159 | 0 | 0 | ||
| PROSHARES TR | PSHS ULTSH 20YRS | 74347B201 | 1,207 | 49,565 | SH | SOLE | 49,565 | 0 | 0 | ||
| PROSHARES TR | PSHS ULTSH 20YRS | 74347B201 | 204 | 8,385 | SH | DFND | 2 | 8,385 | 0 | 0 | |
| PROSHARES TR | SHRT 20+YR TRE | 74347X849 | 2,837 | 151,150 | SH | DFND | 3 | 151,150 | 0 | 0 | |
| PROSPECT CAPITAL CORPORATION | NOTE 6.375% 3/0 | 74348TAT9 | 1,875 | 1,773,000 | PRN | DFND | 3 | 1,773,000 | 0 | 0 | |
| PROSPECT CAPITAL CORPORATION | NOTE 6.375% 3/0 | 74348TAT9 | 355 | 336,000 | PRN | DFND | 2 | 336,000 | 0 | 0 | |
| PROSPECT CAPITAL CORPORATION | NOTE 6.375% 3/0 | 74348TAT9 | 2,000 | 1,891,000 | PRN | SOLE | 1,891,000 | 0 | 0 | ||
| Q2 HLDGS INC | NOTE 0.750% 2/1 | 74736LAB5 | 477 | 326,000 | PRN | SOLE | 326,000 | 0 | 0 | ||
| QTS RLTY TR INC | 6.50% CON PFD B | 74736A301 | 1,982 | 16,313 | SH | SOLE | 16,313 | 0 | 0 | ||
| QTS RLTY TR INC | 6.50% CON PFD B | 74736A301 | 333 | 2,744 | SH | DFND | 2 | 2,744 | 0 | 0 | |
| QTS RLTY TR INC | 6.50% CON PFD B | 74736A301 | 2,058 | 16,943 | SH | DFND | 3 | 16,943 | 0 | 0 | |
| RADIUS HEALTH INC | NOTE 3.000% 9/0 | 750469AA6 | 929 | 1,020,000 | PRN | DFND | 1 | 1,020,000 | 0 | 0 | |
| RADIUS HEALTH INC | NOTE 3.000% 9/0 | 750469AA6 | 257 | 282,000 | PRN | DFND | 2 | 282,000 | 0 | 0 | |
| RADIUS HEALTH INC | NOTE 3.000% 9/0 | 750469AA6 | 5,673 | 6,225,000 | PRN | SOLE | 6,225,000 | 0 | 0 | ||
| RADIUS HEALTH INC | NOTE 3.000% 9/0 | 750469AA6 | 1,610 | 1,767,000 | PRN | DFND | 3 | 1,767,000 | 0 | 0 | |
| RAPID7 INC | NOTE 1.250% 8/0 | 753422AB0 | 1,199 | 925,000 | PRN | SOLE | 925,000 | 0 | 0 | ||
| RAPID7 INC | NOTE 1.250% 8/0 | 753422AB0 | 222 | 171,000 | PRN | DFND | 2 | 171,000 | 0 | 0 | |
| RAPID7 INC | NOTE 1.250% 8/0 | 753422AB0 | 1,172 | 904,000 | PRN | DFND | 3 | 904,000 | 0 | 0 | |
| RAYTHEON CO | COM NEW | 755111507 | 416 | 2,122 | SH | SOLE | 2,122 | 0 | 0 | ||
| REALPAGE INC | NOTE 1.500%11/1 | 75606NAB5 | 897 | 568,000 | PRN | DFND | 3 | 568,000 | 0 | 0 | |
| REALPAGE INC | NOTE 1.500%11/1 | 75606NAB5 | 969 | 614,000 | PRN | SOLE | 614,000 | 0 | 0 | ||
| REALPAGE INC | NOTE 1.500%11/1 | 75606NAB5 | 186 | 118,000 | PRN | DFND | 2 | 118,000 | 0 | 0 | |
| REDFIN CORP | NOTE 1.750% 7/1 | 75737FAA6 | 590 | 643,000 | PRN | SOLE | 643,000 | 0 | 0 | ||
| REDWOOD TR INC | NOTE 4.750% 8/1 | 758075AC9 | 1,420 | 1,429,000 | PRN | SOLE | 1,429,000 | 0 | 0 | ||
| REDWOOD TR INC | NOTE 4.750% 8/1 | 758075AC9 | 250 | 251,000 | PRN | DFND | 2 | 251,000 | 0 | 0 | |
| REDWOOD TR INC | NOTE 4.750% 8/1 | 758075AC9 | 1,312 | 1,320,000 | PRN | DFND | 3 | 1,320,000 | 0 | 0 | |
| REDWOOD TR INC | NOTE 5.625% 7/1 | 758075AD7 | 992 | 977,000 | PRN | SOLE | 977,000 | 0 | 0 | ||
| REDWOOD TR INC | NOTE 5.625% 7/1 | 758075AD7 | 160 | 158,000 | PRN | DFND | 2 | 158,000 | 0 | 0 | |
| REDWOOD TR INC | NOTE 5.625% 7/1 | 758075AD7 | 1,234 | 1,215,000 | PRN | DFND | 3 | 1,215,000 | 0 | 0 | |
| REPLIGEN CORP | NOTE 0.375% 7/1 | 759916AB5 | 4,348 | 4,397,000 | PRN | SOLE | 4,397,000 | 0 | 0 | ||
| REPLIGEN CORP | NOTE 0.375% 7/1 | 759916AB5 | 974 | 985,000 | PRN | DFND | 1 | 985,000 | 0 | 0 | |
| RESTORATION HARDWARE HLDGS I | DBCV 7/1 | 761283AC4 | 326 | 219,000 | PRN | SOLE | 219,000 | 0 | 0 | ||
| RETROPHIN INC | NOTE 2.500% 9/1 | 761299AB2 | 862 | 1,165,000 | PRN | SOLE | 1,165,000 | 0 | 0 | ||
| RETROPHIN INC | NOTE 2.500% 9/1 | 761299AB2 | 138 | 186,000 | PRN | DFND | 2 | 186,000 | 0 | 0 | |
| RETROPHIN INC | NOTE 2.500% 9/1 | 761299AB2 | 851 | 1,149,000 | PRN | DFND | 3 | 1,149,000 | 0 | 0 | |
| RH | NOTE 6/1 | 74967XAA1 | 3,997 | 3,693,000 | PRN | SOLE | 3,693,000 | 0 | 0 | ||
| RH | NOTE 6/1 | 74967XAA1 | 860 | 795,000 | PRN | DFND | 1 | 795,000 | 0 | 0 | |
| RINGCENTRAL INC | NOTE 3/1 | 76680RAD9 | 919 | 570,000 | PRN | DFND | 1 | 570,000 | 0 | 0 | |
| RINGCENTRAL INC | NOTE 3/1 | 76680RAD9 | 6,399 | 3,969,000 | PRN | SOLE | 3,969,000 | 0 | 0 | ||
| RTI INTL METALS INC | NOTE 1.625%10/1 | 74973WAB3 | 663 | 664,000 | PRN | SOLE | 664,000 | 0 | 0 | ||
| RWT HLDGS INC | NOTE 5.625%11/1 | 749772AB5 | 287 | 287,000 | PRN | SOLE | 287,000 | 0 | 0 | ||
| SALESFORCE COM INC | COM | 79466L302 | 358 | 2,409 | SH | SOLE | 2,409 | 0 | 0 | ||
| SAREPTA THERAPEUTICS INC | DBCV 1.500%11/1 | 803607AB6 | 4,241 | 3,210,000 | PRN | SOLE | 3,210,000 | 0 | 0 | ||
| SAREPTA THERAPEUTICS INC | DBCV 1.500%11/1 | 803607AB6 | 793 | 600,000 | PRN | DFND | 1 | 600,000 | 0 | 0 | |
| SEACOR HOLDINGS INC | NOTE 3.000%11/1 | 81170YAB5 | 251 | 255,000 | PRN | SOLE | 255,000 | 0 | 0 | ||
| SEACOR HOLDINGS INC | NOTE 3.250% 5/1 | 811904AN1 | 1,914 | 2,050,000 | PRN | DFND | 3 | 2,050,000 | 0 | 0 | |
| SEACOR HOLDINGS INC | NOTE 3.250% 5/1 | 811904AN1 | 1,836 | 1,967,000 | PRN | SOLE | 1,967,000 | 0 | 0 | ||
| SEACOR HOLDINGS INC | NOTE 3.250% 5/1 | 811904AN1 | 310 | 332,000 | PRN | DFND | 2 | 332,000 | 0 | 0 | |
| SELECT SECTOR SPDR TR | SBI INT-UTILS | 81369Y886 | 2,001 | 30,906 | SH | SOLE | 30,906 | 0 | 0 | ||
| SEMPRA ENERGY | 6% PFD CONV A | 816851406 | 2,630 | 22,250 | SH | DFND | 1 | 22,250 | 0 | 0 | |
| SEMPRA ENERGY | 6% PFD CONV A | 816851406 | 11,714 | 99,099 | SH | SOLE | 99,099 | 0 | 0 | ||
| SERVICENOW INC | COM | 81762P102 | 209 | 823 | SH | SOLE | 823 | 0 | 0 | ||
| SERVICENOW INC | NOTE 6/0 | 81762PAC6 | 10,707 | 5,594,000 | PRN | SOLE | 5,594,000 | 0 | 0 | ||
| SERVICENOW INC | NOTE 6/0 | 81762PAC6 | 2,038 | 1,065,000 | PRN | DFND | 1 | 1,065,000 | 0 | 0 | |
| SHIP FIN INTL LTD | NOTE 4.875% 5/0 | 824689AG8 | 1,435 | 1,319,000 | PRN | DFND | 3 | 1,319,000 | 0 | 0 | |
| SHIP FIN INTL LTD | NOTE 4.875% 5/0 | 824689AG8 | 1,508 | 1,386,000 | PRN | SOLE | 1,386,000 | 0 | 0 | ||
| SHIP FIN INTL LTD | NOTE 4.875% 5/0 | 824689AG8 | 267 | 245,000 | PRN | DFND | 2 | 245,000 | 0 | 0 | |
| SILICON LABORATORIES INC | NOTE 1.375% 3/0 | 826919AB8 | 1,171 | 900,000 | PRN | DFND | 1 | 900,000 | 0 | 0 | |
| SILICON LABORATORIES INC | NOTE 1.375% 3/0 | 826919AB8 | 5,663 | 4,354,000 | PRN | SOLE | 4,354,000 | 0 | 0 | ||
| SOLARCITY CORP | NOTE 1.625%11/0 | 83416TAC4 | 827 | 837,000 | PRN | SOLE | 837,000 | 0 | 0 | ||
| SOLARCITY CORP | NOTE 1.625%11/0 | 83416TAC4 | 133 | 135,000 | PRN | DFND | 2 | 135,000 | 0 | 0 | |
| SOLARCITY CORP | NOTE 1.625%11/0 | 83416TAC4 | 1,016 | 1,028,000 | PRN | DFND | 3 | 1,028,000 | 0 | 0 | |
| SOUTH JERSEY INDS INC | UNIT 99/99/9999 | 838518116 | 999 | 19,204 | SH | SOLE | 19,204 | 0 | 0 | ||
| SOUTH JERSEY INDS INC | UNIT 99/99/9999 | 838518116 | 179 | 3,435 | SH | DFND | 2 | 3,435 | 0 | 0 | |
| SOUTH JERSEY INDS INC | UNIT 99/99/9999 | 838518116 | 903 | 17,361 | SH | DFND | 3 | 17,361 | 0 | 0 | |
| SOUTHERN CO | UNIT 08/01/2022 | 842587602 | 10,038 | 187,583 | SH | SOLE | 187,583 | 0 | 0 | ||
| SOUTHERN CO | UNIT 08/01/2022 | 842587602 | 915 | 17,105 | SH | DFND | 3 | 17,105 | 0 | 0 | |
| SOUTHERN CO | UNIT 08/01/2022 | 842587602 | 1,889 | 35,300 | SH | DFND | 1 | 35,300 | 0 | 0 | |
| SOUTHERN CO | UNIT 08/01/2022 | 842587602 | 175 | 3,267 | SH | DFND | 2 | 3,267 | 0 | 0 | |
| SPIRIT RLTY CAP INC NEW | NOTE 3.750% 5/1 | 84860WAB8 | 675 | 660,000 | PRN | SOLE | 660,000 | 0 | 0 | ||
| SPLUNK INC | NOTE 0.500% 9/1 | 848637AC8 | 11,895 | 11,071,000 | PRN | SOLE | 11,071,000 | 0 | 0 | ||
| SPLUNK INC | NOTE 0.500% 9/1 | 848637AC8 | 2,740 | 2,550,000 | PRN | DFND | 1 | 2,550,000 | 0 | 0 | |
| SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 | 1,352 | 1,237,000 | PRN | DFND | 3 | 1,237,000 | 0 | 0 | |
| SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 | 3,308 | 3,026,000 | PRN | SOLE | 3,026,000 | 0 | 0 | ||
| SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 | 303 | 277,000 | PRN | DFND | 2 | 277,000 | 0 | 0 | |
| SQUARE INC | NOTE 0.375% 3/0 | 852234AB9 | 384 | 141,000 | PRN | SOLE | 141,000 | 0 | 0 | ||
| SQUARE INC | NOTE 0.500% 5/1 | 852234AD5 | 12,019 | 10,810,000 | PRN | SOLE | 10,810,000 | 0 | 0 | ||
| SQUARE INC | NOTE 0.500% 5/1 | 852234AD5 | 2,040 | 1,835,000 | PRN | DFND | 1 | 1,835,000 | 0 | 0 | |
| SQUARE INC | NOTE 0.500% 5/1 | 852234AD5 | 300 | 270,000 | PRN | DFND | 2 | 270,000 | 0 | 0 | |
| SQUARE INC | NOTE 0.500% 5/1 | 852234AD5 | 1,674 | 1,506,000 | PRN | DFND | 3 | 1,506,000 | 0 | 0 | |
| STANLEY BLACK & DECKER INC | UNIT 05/15/2020 | 854502887 | 5,940 | 59,114 | SH | SOLE | 59,114 | 0 | 0 | ||
| STANLEY BLACK & DECKER INC | UNIT 05/15/2020 | 854502887 | 1,055 | 10,500 | SH | DFND | 1 | 10,500 | 0 | 0 | |
| SUNPOWER CORP | DBCV 4.000% 1/1 | 867652AL3 | 402 | 444,000 | PRN | DFND | 2 | 444,000 | 0 | 0 | |
| SUNPOWER CORP | DBCV 4.000% 1/1 | 867652AL3 | 2,313 | 2,557,000 | PRN | DFND | 3 | 2,557,000 | 0 | 0 | |
| SUNPOWER CORP | DBCV 4.000% 1/1 | 867652AL3 | 2,102 | 2,324,000 | PRN | SOLE | 2,324,000 | 0 | 0 | ||
| SUNTRUST BKS INC | COM | 867914103 | 211 | 3,073 | SH | SOLE | 3,073 | 0 | 0 | ||
| SYNAPTICS INC | NOTE 0.500% 6/1 | 87157DAD1 | 1,449 | 1,556,000 | PRN | SOLE | 1,556,000 | 0 | 0 | ||
| SYNAPTICS INC | NOTE 0.500% 6/1 | 87157DAD1 | 249 | 267,000 | PRN | DFND | 2 | 267,000 | 0 | 0 | |
| SYNAPTICS INC | NOTE 0.500% 6/1 | 87157DAD1 | 1,469 | 1,577,000 | PRN | DFND | 3 | 1,577,000 | 0 | 0 | |
| TEAM INC | NOTE 5.000% 8/0 | 878155AE0 | 1,031 | 933,000 | PRN | SOLE | 933,000 | 0 | 0 | ||
| TEAM INC | NOTE 5.000% 8/0 | 878155AE0 | 167 | 151,000 | PRN | DFND | 2 | 151,000 | 0 | 0 | |
| TEAM INC | NOTE 5.000% 8/0 | 878155AE0 | 1,289 | 1,166,000 | PRN | DFND | 3 | 1,166,000 | 0 | 0 | |
| TELADOC HEALTH INC | NOTE 1.375% 5/1 | 87918AAC9 | 3,999 | 2,703,000 | PRN | SOLE | 2,703,000 | 0 | 0 | ||
| TELADOC HEALTH INC | NOTE 1.375% 5/1 | 87918AAC9 | 1,110 | 750,000 | PRN | DFND | 1 | 750,000 | 0 | 0 | |
| TELADOC HEALTH INC | NOTE 3.000%12/1 | 87918AAB1 | 605 | 355,000 | PRN | SOLE | 355,000 | 0 | 0 | ||
| TERADYNE INC | NOTE 1.250%12/1 | 880770AG7 | 5,282 | 2,778,000 | PRN | SOLE | 2,778,000 | 0 | 0 | ||
| TERADYNE INC | NOTE 1.250%12/1 | 880770AG7 | 951 | 500,000 | PRN | DFND | 1 | 500,000 | 0 | 0 | |
| TESLA INC | NOTE 1.250% 3/0 | 88160RAC5 | 87 | 89,000 | PRN | SOLE | 89,000 | 0 | 0 | ||
| TESLA INC | NOTE 2.000% 5/1 | 88160RAG6 | 4,614 | 4,543,000 | PRN | SOLE | 4,543,000 | 0 | 0 | ||
| TESLA INC | NOTE 2.000% 5/1 | 88160RAG6 | 965 | 950,000 | PRN | DFND | 1 | 950,000 | 0 | 0 | |
| TESLA INC | NOTE 2.375% 3/1 | 88160RAD3 | 1,121 | 1,105,000 | PRN | DFND | 1 | 1,105,000 | 0 | 0 | |
| TESLA INC | NOTE 2.375% 3/1 | 88160RAD3 | 4,876 | 4,808,000 | PRN | SOLE | 4,808,000 | 0 | 0 | ||
| TEXAS INSTRS INC | COM | 882508104 | 414 | 3,201 | SH | SOLE | 3,201 | 0 | 0 | ||
| THERAVANCE BIOPHARMA INC | NOTE 3.250%11/0 | 88339KAA0 | 1,012 | 1,097,000 | PRN | SOLE | 1,097,000 | 0 | 0 | ||
| THERAVANCE BIOPHARMA INC | NOTE 3.250%11/0 | 88339KAA0 | 168 | 182,000 | PRN | DFND | 2 | 182,000 | 0 | 0 | |
| THERAVANCE BIOPHARMA INC | NOTE 3.250%11/0 | 88339KAA0 | 896 | 971,000 | PRN | DFND | 3 | 971,000 | 0 | 0 | |
| THERAVANCE INC | NOTE 2.125% 1/1 | 88338TAB0 | 1,528 | 1,628,000 | PRN | SOLE | 1,628,000 | 0 | 0 | ||
| THERAVANCE INC | NOTE 2.125% 1/1 | 88338TAB0 | 264 | 281,000 | PRN | DFND | 2 | 281,000 | 0 | 0 | |
| THERAVANCE INC | NOTE 2.125% 1/1 | 88338TAB0 | 1,024 | 1,091,000 | PRN | DFND | 3 | 1,091,000 | 0 | 0 | |
| THERMO FISHER SCIENTIFIC INC | COM | 883556102 | 443 | 1,520 | SH | SOLE | 1,520 | 0 | 0 | ||
| TJX COS INC NEW | COM | 872540109 | 338 | 6,067 | SH | SOLE | 6,067 | 0 | 0 | ||
| TRANSOCEAN INC | DEB 0.500% 1/3 | 893830BJ7 | 691 | 845,000 | PRN | DFND | 1 | 845,000 | 0 | 0 | |
| TRANSOCEAN INC | DEB 0.500% 1/3 | 893830BJ7 | 2,624 | 3,207,000 | PRN | SOLE | 3,207,000 | 0 | 0 | ||
| TWILIO INC | NOTE 0.250% 6/0 | 90138FAB8 | 4,017 | 2,407,000 | PRN | SOLE | 2,407,000 | 0 | 0 | ||
| TWILIO INC | NOTE 0.250% 6/0 | 90138FAB8 | 567 | 340,000 | PRN | DFND | 1 | 340,000 | 0 | 0 | |
| TWILIO INC | NOTE 0.250% 6/0 | 90138FAB8 | 162 | 97,000 | PRN | DFND | 2 | 97,000 | 0 | 0 | |
| TWILIO INC | NOTE 0.250% 6/0 | 90138FAB8 | 866 | 519,000 | PRN | DFND | 3 | 519,000 | 0 | 0 | |
| TWITTER INC | NOTE 0.250% 6/1 | 90184LAF9 | 2,466 | 2,330,000 | PRN | DFND | 1 | 2,330,000 | 0 | 0 | |
| TWITTER INC | NOTE 0.250% 6/1 | 90184LAF9 | 13,772 | 13,012,000 | PRN | SOLE | 13,012,000 | 0 | 0 | ||
| TWO HBRS INVT CORP | NOTE 6.250% 1/1 | 90187BAA9 | 2,291 | 2,241,000 | PRN | DFND | 3 | 2,241,000 | 0 | 0 | |
| TWO HBRS INVT CORP | NOTE 6.250% 1/1 | 90187BAA9 | 484 | 473,000 | PRN | DFND | 2 | 473,000 | 0 | 0 | |
| TWO HBRS INVT CORP | NOTE 6.250% 1/1 | 90187BAA9 | 7,593 | 7,426,000 | PRN | SOLE | 7,426,000 | 0 | 0 | ||
| TWO HBRS INVT CORP | NOTE 6.250% 1/1 | 90187BAA9 | 1,161 | 1,135,000 | PRN | DFND | 1 | 1,135,000 | 0 | 0 | |
| UNION PACIFIC CORP | COM | 907818108 | 473 | 2,919 | SH | SOLE | 2,919 | 0 | 0 | ||
| UNITED TECHNOLOGIES CORP | COM | 913017109 | 258 | 1,887 | SH | SOLE | 1,887 | 0 | 0 | ||
| UNITEDHEALTH GROUP INC | COM | 91324P102 | 760 | 3,497 | SH | SOLE | 3,497 | 0 | 0 | ||
| US BANCORP DEL | COM NEW | 902973304 | 203 | 3,677 | SH | SOLE | 3,677 | 0 | 0 | ||
| VERIZON COMMUNICATIONS INC | COM | 92343V104 | 717 | 11,873 | SH | SOLE | 11,873 | 0 | 0 | ||
| VIAVI SOLUTIONS INC | NOTE 1.000% 3/0 | 925550AB1 | 6,482 | 5,281,000 | PRN | SOLE | 5,281,000 | 0 | 0 | ||
| VIAVI SOLUTIONS INC | NOTE 1.000% 3/0 | 925550AB1 | 1,565 | 1,275,000 | PRN | DFND | 1 | 1,275,000 | 0 | 0 | |
| VISA INC | COM CL A | 92826C839 | 668 | 3,882 | SH | SOLE | 3,882 | 0 | 0 | ||
| VISHAY INTERTECHNOLOGY INC | NOTE 2.250% 6/1 | 928298AP3 | 6,014 | 6,434,000 | PRN | SOLE | 6,434,000 | 0 | 0 | ||
| VISHAY INTERTECHNOLOGY INC | NOTE 2.250% 6/1 | 928298AP3 | 1,299 | 1,390,000 | PRN | DFND | 1 | 1,390,000 | 0 | 0 | |
| VISHAY INTERTECHNOLOGY INC | NOTE 2.250% 6/1 | 928298AP3 | 206 | 220,000 | PRN | DFND | 2 | 220,000 | 0 | 0 | |
| VISHAY INTERTECHNOLOGY INC | NOTE 2.250% 6/1 | 928298AP3 | 1,153 | 1,233,000 | PRN | DFND | 3 | 1,233,000 | 0 | 0 | |
| WALMART INC | COM | 931142103 | 308 | 2,599 | SH | SOLE | 2,599 | 0 | 0 | ||
| WAYFAIR INC | NOTE 0.375% 9/0 | 94419LAB7 | 2,721 | 2,202,000 | PRN | SOLE | 2,202,000 | 0 | 0 | ||
| WAYFAIR INC | NOTE 0.375% 9/0 | 94419LAB7 | 393 | 318,000 | PRN | DFND | 2 | 318,000 | 0 | 0 | |
| WAYFAIR INC | NOTE 0.375% 9/0 | 94419LAB7 | 2,039 | 1,650,000 | PRN | DFND | 3 | 1,650,000 | 0 | 0 | |
| WEIBO CORP | NOTE 1.250%11/1 | 948596AC5 | 1,012 | 1,084,000 | PRN | SOLE | 1,084,000 | 0 | 0 | ||
| WEIBO CORP | NOTE 1.250%11/1 | 948596AC5 | 167 | 179,000 | PRN | DFND | 2 | 179,000 | 0 | 0 | |
| WEIBO CORP | NOTE 1.250%11/1 | 948596AC5 | 921 | 987,000 | PRN | DFND | 3 | 987,000 | 0 | 0 | |
| WELLS FARGO & CO | MTNF 0.125% 2/2 | 94986RVY4 | 1,017 | 1,031,000 | PRN | SOLE | 1,031,000 | 0 | 0 | ||
| WELLS FARGO CO NEW | COM | 949746101 | 479 | 9,488 | SH | SOLE | 9,488 | 0 | 0 | ||
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 5,935 | 3,970 | SH | DFND | 1 | 3,970 | 0 | 0 | |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 27,895 | 18,659 | SH | SOLE | 18,659 | 0 | 0 | ||
| WESTERN ASSET MTG CAP CORP | NOTE 6.750%10/0 | 95790DAA3 | 900 | 896,000 | PRN | DFND | 3 | 896,000 | 0 | 0 | |
| WESTERN ASSET MTG CAP CORP | NOTE 6.750%10/0 | 95790DAA3 | 200 | 199,000 | PRN | DFND | 2 | 199,000 | 0 | 0 | |
| WESTERN ASSET MTG CAP CORP | NOTE 6.750%10/0 | 95790DAA3 | 1,022 | 1,017,000 | PRN | SOLE | 1,017,000 | 0 | 0 | ||
| WESTERN DIGITAL CORP | NOTE 1.500% 2/0 | 958102AP0 | 9,240 | 9,594,000 | PRN | SOLE | 9,594,000 | 0 | 0 | ||
| WIX COM LTD | NOTE 7/0 | 92940WAB5 | 4,817 | 4,349,000 | PRN | SOLE | 4,349,000 | 0 | 0 | ||
| WIX COM LTD | NOTE 7/0 | 92940WAB5 | 1,119 | 1,010,000 | PRN | DFND | 1 | 1,010,000 | 0 | 0 | |
| WORKDAY INC | NOTE 0.250%10/0 | 98138HAF8 | 300 | 229,000 | PRN | DFND | 2 | 229,000 | 0 | 0 | |
| WORKDAY INC | NOTE 0.250%10/0 | 98138HAF8 | 1,349 | 1,029,000 | PRN | DFND | 3 | 1,029,000 | 0 | 0 | |
| WORKDAY INC | NOTE 0.250%10/0 | 98138HAF8 | 2,674 | 2,040,000 | PRN | DFND | 1 | 2,040,000 | 0 | 0 | |
| WORKDAY INC | NOTE 0.250%10/0 | 98138HAF8 | 15,568 | 11,876,000 | PRN | SOLE | 11,876,000 | 0 | 0 | ||
| WORLD WRESTLING ENTMT INC | NOTE 3.375%12/1 | 98156QAB4 | 634 | 215,000 | PRN | DFND | 1 | 215,000 | 0 | 0 | |
| WORLD WRESTLING ENTMT INC | NOTE 3.375%12/1 | 98156QAB4 | 2,932 | 994,000 | PRN | SOLE | 994,000 | 0 | 0 | ||
| WRIGHT MED GROUP N V | NOTE 2.250%11/1 | 98236JAB4 | 1,886 | 1,616,000 | PRN | SOLE | 1,616,000 | 0 | 0 | ||
| WRIGHT MED GROUP N V | NOTE 2.250%11/1 | 98236JAB4 | 313 | 268,000 | PRN | DFND | 2 | 268,000 | 0 | 0 | |
| WRIGHT MED GROUP N V | NOTE 2.250%11/1 | 98236JAB4 | 1,835 | 1,573,000 | PRN | DFND | 3 | 1,573,000 | 0 | 0 | |
| ZENDESK INC | NOTE 0.250% 3/1 | 98936JAB7 | 4,888 | 3,702,000 | PRN | SOLE | 3,702,000 | 0 | 0 | ||
| ZENDESK INC | NOTE 0.250% 3/1 | 98936JAB7 | 753 | 570,000 | PRN | DFND | 1 | 570,000 | 0 | 0 | |
| ZILLOW GROUP INC | NOTE 2.000%12/0 | 98954MAB7 | 149 | 150,000 | PRN | SOLE | 150,000 | 0 | 0 | ||