0001172661-19-002143.txt : 20191112 0001172661-19-002143.hdr.sgml : 20191112 20191112091623 ACCESSION NUMBER: 0001172661-19-002143 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20190930 FILED AS OF DATE: 20191112 DATE AS OF CHANGE: 20191112 EFFECTIVENESS DATE: 20191112 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SSI INVESTMENT MANAGEMENT LLC CENTRAL INDEX KEY: 0000938487 IRS NUMBER: 952913505 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-04720 FILM NUMBER: 191206544 BUSINESS ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLY HILLS STATE: CA ZIP: 90210 BUSINESS PHONE: 3105952000 MAIL ADDRESS: STREET 1: 9440 SANTA MONICA BLVD. STREET 2: 8TH FLOOR CITY: BEVERLY HILLS STATE: CA ZIP: 90210 FORMER COMPANY: FORMER CONFORMED NAME: SSI INVESTMENT MANAGEMENT INC DATE OF NAME CHANGE: 19990414 13F-HR 1 primary_doc.xml 13F-HR LIVE false true false 0000938487 XXXXXXXX 09-30-2019 09-30-2019 false SSI INVESTMENT MANAGEMENT LLC

9440 Santa Monica Blvd. 8th Floor Beverly Hills CA 90210

13F HOLDINGS REPORT 028-04720 N Syed Mehdi 310-595-2001 /s/ Syed Mehdi Beverly Hills CA 11-12-2019 3 567 1373466 1 0001125816 028-06487 FIRST TRUST ADVISORS LP 2 0001673385 028-17446 Morningstar Investment Management LLC 3 0000908758 028-14511 American Beacon Advisors, Inc. 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NOTE 2.000% 5/1 45845PAB4 1011 1125000 PRN DFND 1 1125000 0 0 INTERCEPT PHARMACEUTICALS IN NOTE 2.000% 5/1 45845PAB4 4392 4887000 PRN SOLE 4887000 0 0 INTERCONTINENTAL EXCHANGE IN COM 45866F104 423 4581 SH SOLE 4581 0 0 INTERDIGITAL INC NOTE 1.500% 3/0 458660AD9 753 755000 PRN SOLE 755000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 309 2123 SH SOLE 2123 0 0 INTERNATIONAL FLAVORS&FRAGRA UNIT 09/15/2021 459506309 3508 74950 SH SOLE 74950 0 0 INTERNATIONAL FLAVORS&FRAGRA UNIT 09/15/2021 459506309 778 16625 SH DFND 1 16625 0 0 IRONWOOD PHARMACEUTICALS INC DBCV 2.250% 6/1 46333XAD0 1422 1426000 PRN SOLE 1426000 0 0 IRONWOOD PHARMACEUTICALS INC DBCV 2.250% 6/1 46333XAD0 284 285000 PRN DFND 2 285000 0 0 IRONWOOD PHARMACEUTICALS INC DBCV 2.250% 6/1 46333XAD0 1285 1289000 PRN DFND 3 1289000 0 0 ISHARES TR 1 3 YR TREAS BD 464287457 6550 77221 SH SOLE 77221 0 0 ISHARES TR CORE S&P500 ETF 464287200 62951 210876 SH SOLE 210876 0 0 ISHARES TR CORE US AGGBD ET 464287226 18201 160828 SH SOLE 160828 0 0 ISHARES TR FLTG RATE NT ETF 46429B655 557 10934 SH SOLE 10934 0 0 ISHARES TR RUS 1000 VAL ETF 464287598 663 5167 SH SOLE 5167 0 0 ISHARES TR U.S. BAS MTL ETF 464287838 361 3913 SH SOLE 3913 0 0 ISHARES TR U.S. ENERGY ETF 464287796 208 6550 SH SOLE 6550 0 0 ISHARES TR U.S. REAL ES ETF 464287739 1521 16258 SH SOLE 16258 0 0 ISHARES TR U.S. TECH ETF 464287721 3762 18423 SH SOLE 18423 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 1480 1298000 PRN DFND 3 1298000 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 309 271000 PRN DFND 2 271000 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 952 835000 PRN DFND 1 835000 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 6236 5468000 PRN SOLE 5468000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 1149 1085000 PRN SOLE 1085000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 188 178000 PRN DFND 2 178000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 1045 987000 PRN DFND 3 987000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 1568 1106000 PRN DFND 3 1106000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 1672 1179000 PRN SOLE 1179000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 305 215000 PRN DFND 2 215000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 879 878000 PRN DFND 3 878000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 159 159000 PRN DFND 2 159000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 3508 3505000 PRN SOLE 3505000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 470 470000 PRN DFND 1 470000 0 0 JOHNSON & JOHNSON COM 478160104 823 6359 SH SOLE 6359 0 0 JPMORGAN CHASE & CO COM 46625H100 1334 11336 SH SOLE 11336 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 177 155000 PRN DFND 2 155000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 1034 906000 PRN DFND 3 906000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 7299 6398000 PRN SOLE 6398000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 1369 1200000 PRN DFND 1 1200000 0 0 KIMBERLY CLARK CORP COM 494368103 1234 8685 SH SOLE 8685 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 1638 1573000 PRN SOLE 1573000 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 283 272000 PRN DFND 2 272000 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 1906 1830000 PRN DFND 3 1830000 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 1806 1410000 PRN DFND 3 1410000 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 1612 1258000 PRN SOLE 1258000 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 265 207000 PRN DFND 2 207000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 2793 3060000 PRN DFND 3 3060000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 3040 3331000 PRN SOLE 3331000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 556 609000 PRN DFND 2 609000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.000% 1/3 531229AF9 4279 3417000 PRN SOLE 3417000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.000% 1/3 531229AF9 958 765000 PRN DFND 1 765000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.375%10/1 531229AB8 6417 5372000 PRN SOLE 5372000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.375%10/1 531229AB8 1254 1050000 PRN DFND 1 1050000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 1939 2327000 PRN DFND 3 2327000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 1954 2345000 PRN SOLE 2345000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 398 478000 PRN DFND 2 478000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 5640 4811000 PRN SOLE 4811000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 1337 1140000 PRN DFND 1 1140000 0 0 LOCKHEED MARTIN CORP COM 539830109 271 694 SH SOLE 694 0 0 LOEWS CORP COM 540424108 851 16540 SH SOLE 16540 0 0 LUMENTUM HLDGS INC NOTE 0.250% 3/1 55024UAB5 4039 3489000 PRN SOLE 3489000 0 0 LUMENTUM HLDGS INC NOTE 0.250% 3/1 55024UAB5 909 785000 PRN DFND 1 785000 0 0 MACQUARIE INFRASTRUCTURE COR NOTE 2.000%10/0 55608BAB1 80 88000 PRN SOLE 88000 0 0 MASTERCARD INC CL A 57636Q104 767 2825 SH SOLE 2825 0 0 MCDONALDS CORP COM 580135101 490 2281 SH SOLE 2281 0 0 MEDICINES CO NOTE 2.500% 1/1 584688AE5 94 62000 PRN SOLE 62000 0 0 MEDICINES CO NOTE 2.750% 7/1 584688AG0 2169 1800000 PRN DFND 1 1800000 0 0 MEDICINES CO NOTE 2.750% 7/1 584688AG0 8417 6985000 PRN SOLE 6985000 0 0 MEDTRONIC PLC SHS G5960L103 370 3405 SH SOLE 3405 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 1983 1351000 PRN SOLE 1351000 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 407 277000 PRN DFND 2 277000 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 2014 1372000 PRN DFND 3 1372000 0 0 MERCK & CO INC COM 58933Y105 492 5839 SH SOLE 5839 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 241 246000 PRN DFND 2 246000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 1447 1479000 PRN DFND 3 1479000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 9148 9348000 PRN SOLE 9348000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 1233 1260000 PRN DFND 1 1260000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1141 1112000 PRN SOLE 1112000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 197 192000 PRN DFND 2 192000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1227 1196000 PRN DFND 3 1196000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AD6 15351 8104000 PRN SOLE 8104000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AD6 3353 1770000 PRN DFND 1 1770000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 22341 17355000 PRN SOLE 17355000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 2524 1961000 PRN DFND 3 1961000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 3765 2925000 PRN DFND 1 2925000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 479 372000 PRN DFND 2 372000 0 0 MICRON TECHNOLOGY INC NOTE 2.125% 2/1 595112AV5 3869 990000 PRN SOLE 990000 0 0 MICRON TECHNOLOGY INC NOTE 2.125% 2/1 595112AV5 743 190000 PRN DFND 1 190000 0 0 MICROSOFT CORP COM 594918104 2387 17168 SH SOLE 17168 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 1858 2064000 PRN DFND 3 2064000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 393 437000 PRN DFND 2 437000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 1890 2099000 PRN SOLE 2099000 0 0 MONGODB INC NOTE 0.750% 6/1 60937PAB2 282 150000 PRN DFND 2 150000 0 0 MONGODB INC NOTE 0.750% 6/1 60937PAB2 1330 708000 PRN DFND 3 708000 0 0 MONGODB INC NOTE 0.750% 6/1 60937PAB2 1636 871000 PRN SOLE 871000 0 0 NABORS INDUSTRIES LTD 6% PFD CNV SR A G6359F129 812 50190 SH SOLE 50190 0 0 NABORS INDUSTRIES LTD 6% PFD CNV SR A G6359F129 134 8317 SH DFND 2 8317 0 0 NABORS INDUSTRIES LTD 6% PFD CNV SR A G6359F129 913 56493 SH DFND 3 56493 0 0 NATIONAL HEALTH INVS INC NOTE 3.250% 4/0 63633DAE4 483 400000 PRN SOLE 400000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 6508 4753000 PRN SOLE 4753000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 1188 868000 PRN DFND 3 868000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 1095 800000 PRN DFND 1 800000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 220 161000 PRN DFND 2 161000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 1495 1429000 PRN SOLE 1429000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 265 253000 PRN DFND 2 253000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 1379 1318000 PRN DFND 3 1318000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 1033 1091000 PRN DFND 3 1091000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 935 988000 PRN SOLE 988000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 162 171000 PRN DFND 2 171000 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 2329 46588 SH DFND 3 46588 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 438 8754 SH DFND 2 8754 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 2483 49658 SH SOLE 49658 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 1344 1324000 PRN SOLE 1324000 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 221 218000 PRN DFND 2 218000 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 1226 1208000 PRN DFND 3 1208000 0 0 NEWPARK RES INC NOTE 4.000%12/0 651718AE8 1005 909000 PRN DFND 3 909000 0 0 NEWPARK RES INC NOTE 4.000%12/0 651718AE8 932 843000 PRN SOLE 843000 0 0 NEWPARK RES INC NOTE 4.000%12/0 651718AE8 164 148000 PRN DFND 2 148000 0 0 NEXTERA ENERGY INC UNIT 09/01/2022S 65339F796 7785 155270 SH SOLE 155270 0 0 NEXTERA ENERGY INC UNIT 09/01/2022S 65339F796 1554 30990 SH DFND 1 30990 0 0 NICE SYS INC NOTE 1.250% 1/1 65366HAB9 1891 1060000 PRN SOLE 1060000 0 0 NIKE INC CL B 654106103 267 2842 SH SOLE 2842 0 0 NORTHROP GRUMMAN CORP COM 666807102 219 583 SH SOLE 583 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 23546 3295000 PRN SOLE 3295000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 1251 175000 PRN DFND 1 175000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 7067 6288000 PRN SOLE 6288000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1282 1141000 PRN DFND 3 1141000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 203 181000 PRN DFND 2 181000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1377 1225000 PRN DFND 1 1225000 0 0 NUANCE COMMUNICATIONS INC NOTE 1.250% 4/0 67020YAN0 775 785000 PRN SOLE 785000 0 0 NUTANIX INC NOTE 1/1 67059NAB4 272 292000 PRN SOLE 292000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 5390 4563000 PRN SOLE 4563000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 1234 1045000 PRN DFND 1 1045000 0 0 NVIDIA CORP COM 67066G104 283 1628 SH SOLE 1628 0 0 OIL STS INTL INC NOTE 1.500% 2/1 678026AH8 733 870000 PRN DFND 1 870000 0 0 OIL STS INTL INC NOTE 1.500% 2/1 678026AH8 3394 4028000 PRN SOLE 4028000 0 0 OKTA INC NOTE 0.250% 2/1 679295AB1 1528 727000 PRN SOLE 727000 0 0 OKTA INC NOTE 0.250% 2/1 679295AB1 378 180000 PRN DFND 1 180000 0 0 ON SEMICONDUCTOR CORP NOTE 1.000%12/0 682189AK1 7304 6227000 PRN SOLE 6227000 0 0 ON SEMICONDUCTOR CORP NOTE 1.000%12/0 682189AK1 1630 1390000 PRN DFND 1 1390000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 1653 1375000 PRN SOLE 1375000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 266 221000 PRN DFND 2 221000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 1171 974000 PRN DFND 3 974000 0 0 ORACLE CORP COM 68389X105 313 5689 SH SOLE 5689 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 1720 1538000 PRN DFND 3 1538000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 274 245000 PRN DFND 2 245000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 923 825000 PRN DFND 1 825000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 7111 6357000 PRN SOLE 6357000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 12669 12048000 PRN SOLE 12048000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 2429 2310000 PRN DFND 1 2310000 0 0 PAYPAL HLDGS INC COM 70450Y103 383 3696 SH SOLE 3696 0 0 PDC ENERGY INC NOTE 1.125% 9/1 69327RAD3 3525 3825000 PRN SOLE 3825000 0 0 PDC ENERGY INC NOTE 1.125% 9/1 69327RAD3 719 780000 PRN DFND 1 780000 0 0 PENNYMAC CORP NOTE 5.375% 5/0 70932AAB9 1914 1902000 PRN SOLE 1902000 0 0 PENNYMAC CORP NOTE 5.375% 5/0 70932AAB9 346 344000 PRN DFND 2 344000 0 0 PENNYMAC CORP NOTE 5.375% 5/0 70932AAB9 1765 1754000 PRN DFND 3 1754000 0 0 PEPSICO INC COM 713448108 493 3593 SH SOLE 3593 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 6225 5217000 PRN SOLE 5217000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 1014 850000 PRN DFND 1 850000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 285 239000 PRN DFND 2 239000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 1308 1096000 PRN DFND 3 1096000 0 0 PFIZER INC COM 717081103 713 19840 SH SOLE 19840 0 0 PHILLIPS 66 COM 718546104 212 2074 SH SOLE 2074 0 0 PIONEER NAT RES CO COM 723787107 257 2040 SH SOLE 2040 0 0 PNC FINL SVCS GROUP INC COM 693475105 222 1583 SH SOLE 1583 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 1209 1220000 PRN SOLE 1220000 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 198 200000 PRN DFND 2 200000 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 1070 1080000 PRN DFND 3 1080000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 1517 1505000 PRN DFND 3 1505000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 1288 1278000 PRN SOLE 1278000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 219 217000 PRN DFND 2 217000 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 23875 15973000 PRN SOLE 15973000 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 1285 860000 PRN DFND 1 860000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 26508 22861000 PRN SOLE 22861000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 2157 1860000 PRN DFND 1 1860000 0 0 PROCTER & GAMBLE CO COM 742718109 890 7159 SH SOLE 7159 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347B201 1207 49565 SH SOLE 49565 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347B201 204 8385 SH DFND 2 8385 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 2837 151150 SH DFND 3 151150 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.375% 3/0 74348TAT9 1875 1773000 PRN DFND 3 1773000 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.375% 3/0 74348TAT9 355 336000 PRN DFND 2 336000 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.375% 3/0 74348TAT9 2000 1891000 PRN SOLE 1891000 0 0 Q2 HLDGS INC NOTE 0.750% 2/1 74736LAB5 477 326000 PRN SOLE 326000 0 0 QTS RLTY TR INC 6.50% CON PFD B 74736A301 1982 16313 SH SOLE 16313 0 0 QTS RLTY TR INC 6.50% CON PFD B 74736A301 333 2744 SH DFND 2 2744 0 0 QTS RLTY TR INC 6.50% CON PFD B 74736A301 2058 16943 SH DFND 3 16943 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 929 1020000 PRN DFND 1 1020000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 257 282000 PRN DFND 2 282000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 5673 6225000 PRN SOLE 6225000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 1610 1767000 PRN DFND 3 1767000 0 0 RAPID7 INC NOTE 1.250% 8/0 753422AB0 1199 925000 PRN SOLE 925000 0 0 RAPID7 INC NOTE 1.250% 8/0 753422AB0 222 171000 PRN DFND 2 171000 0 0 RAPID7 INC NOTE 1.250% 8/0 753422AB0 1172 904000 PRN DFND 3 904000 0 0 RAYTHEON CO COM NEW 755111507 416 2122 SH SOLE 2122 0 0 REALPAGE INC NOTE 1.500%11/1 75606NAB5 897 568000 PRN DFND 3 568000 0 0 REALPAGE INC NOTE 1.500%11/1 75606NAB5 969 614000 PRN SOLE 614000 0 0 REALPAGE INC NOTE 1.500%11/1 75606NAB5 186 118000 PRN DFND 2 118000 0 0 REDFIN CORP NOTE 1.750% 7/1 75737FAA6 590 643000 PRN SOLE 643000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 1420 1429000 PRN SOLE 1429000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 250 251000 PRN DFND 2 251000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 1312 1320000 PRN DFND 3 1320000 0 0 REDWOOD TR INC NOTE 5.625% 7/1 758075AD7 992 977000 PRN SOLE 977000 0 0 REDWOOD TR INC NOTE 5.625% 7/1 758075AD7 160 158000 PRN DFND 2 158000 0 0 REDWOOD TR INC NOTE 5.625% 7/1 758075AD7 1234 1215000 PRN DFND 3 1215000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 4348 4397000 PRN SOLE 4397000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 974 985000 PRN DFND 1 985000 0 0 RESTORATION HARDWARE HLDGS I DBCV 7/1 761283AC4 326 219000 PRN SOLE 219000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 862 1165000 PRN SOLE 1165000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 138 186000 PRN DFND 2 186000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 851 1149000 PRN DFND 3 1149000 0 0 RH NOTE 6/1 74967XAA1 3997 3693000 PRN SOLE 3693000 0 0 RH NOTE 6/1 74967XAA1 860 795000 PRN DFND 1 795000 0 0 RINGCENTRAL INC NOTE 3/1 76680RAD9 919 570000 PRN DFND 1 570000 0 0 RINGCENTRAL INC NOTE 3/1 76680RAD9 6399 3969000 PRN SOLE 3969000 0 0 RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 663 664000 PRN SOLE 664000 0 0 RWT HLDGS INC NOTE 5.625%11/1 749772AB5 287 287000 PRN SOLE 287000 0 0 SALESFORCE COM INC COM 79466L302 358 2409 SH SOLE 2409 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 4241 3210000 PRN SOLE 3210000 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 793 600000 PRN DFND 1 600000 0 0 SEACOR HOLDINGS INC NOTE 3.000%11/1 81170YAB5 251 255000 PRN SOLE 255000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 1914 2050000 PRN DFND 3 2050000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 1836 1967000 PRN SOLE 1967000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 310 332000 PRN DFND 2 332000 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 2001 30906 SH SOLE 30906 0 0 SEMPRA ENERGY 6% PFD CONV A 816851406 2630 22250 SH DFND 1 22250 0 0 SEMPRA ENERGY 6% PFD CONV A 816851406 11714 99099 SH SOLE 99099 0 0 SERVICENOW INC COM 81762P102 209 823 SH SOLE 823 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 10707 5594000 PRN SOLE 5594000 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 2038 1065000 PRN DFND 1 1065000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 1435 1319000 PRN DFND 3 1319000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 1508 1386000 PRN SOLE 1386000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 267 245000 PRN DFND 2 245000 0 0 SILICON LABORATORIES INC NOTE 1.375% 3/0 826919AB8 1171 900000 PRN DFND 1 900000 0 0 SILICON LABORATORIES INC NOTE 1.375% 3/0 826919AB8 5663 4354000 PRN SOLE 4354000 0 0 SOLARCITY CORP NOTE 1.625%11/0 83416TAC4 827 837000 PRN SOLE 837000 0 0 SOLARCITY CORP NOTE 1.625%11/0 83416TAC4 133 135000 PRN DFND 2 135000 0 0 SOLARCITY CORP NOTE 1.625%11/0 83416TAC4 1016 1028000 PRN DFND 3 1028000 0 0 SOUTH JERSEY INDS INC UNIT 99/99/9999 838518116 999 19204 SH SOLE 19204 0 0 SOUTH JERSEY INDS INC UNIT 99/99/9999 838518116 179 3435 SH DFND 2 3435 0 0 SOUTH JERSEY INDS INC UNIT 99/99/9999 838518116 903 17361 SH DFND 3 17361 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 10038 187583 SH SOLE 187583 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 915 17105 SH DFND 3 17105 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 1889 35300 SH DFND 1 35300 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 175 3267 SH DFND 2 3267 0 0 SPIRIT RLTY CAP INC NEW NOTE 3.750% 5/1 84860WAB8 675 660000 PRN SOLE 660000 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 11895 11071000 PRN SOLE 11071000 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 2740 2550000 PRN DFND 1 2550000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 1352 1237000 PRN DFND 3 1237000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 3308 3026000 PRN SOLE 3026000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 303 277000 PRN DFND 2 277000 0 0 SQUARE INC NOTE 0.375% 3/0 852234AB9 384 141000 PRN SOLE 141000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 12019 10810000 PRN SOLE 10810000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 2040 1835000 PRN DFND 1 1835000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 300 270000 PRN DFND 2 270000 0 0 SQUARE INC NOTE 0.500% 5/1 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