0001172661-20-000434.txt : 20200212 0001172661-20-000434.hdr.sgml : 20200212 20200212162640 ACCESSION NUMBER: 0001172661-20-000434 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20191231 FILED AS OF DATE: 20200212 DATE AS OF CHANGE: 20200212 EFFECTIVENESS DATE: 20200212 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: 20604504 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 12-31-2019 12-31-2019 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 02-12-2020 3 563 1502178 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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ETF 464287598 3412 24991 SH SOLE 24991 0 0 ISHARES TR U.S. BAS MTL ETF 464287838 384 3900 SH SOLE 3900 0 0 ISHARES TR U.S. REAL ES ETF 464287739 1272 13689 SH SOLE 13689 0 0 ISHARES TR U.S. TECH ETF 464287721 5407 23259 SH SOLE 23259 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 1.000%11/1 464337AJ3 692 606000 PRN SOLE 606000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 376 335000 PRN DFND 2 335000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 1107 987000 PRN DFND 3 987000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 1321 1178000 PRN SOLE 1178000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 311 215000 PRN DFND 2 215000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 1211 838000 PRN DFND 3 838000 0 0 J2 GLOBAL INC NOTE 3.250% 6/1 48123VAC6 1368 947000 PRN SOLE 947000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 255 248000 PRN DFND 2 248000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 946 920000 PRN DFND 3 920000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.875% 8/1 472145AB7 1380 1345000 PRN SOLE 1345000 0 0 JOHNSON & JOHNSON COM 478160104 922 6326 SH SOLE 6326 0 0 JPMORGAN CHASE & CO COM 46625H100 1572 11271 SH SOLE 11271 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 861 719000 PRN DFND 3 719000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 7970 6658000 PRN SOLE 6658000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 1436 1200000 PRN DFND 1 1200000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 305 255000 PRN DFND 2 255000 0 0 KIMBERLY CLARK CORP COM 494368103 1195 8685 SH SOLE 8685 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 622 595000 PRN DFND 2 595000 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 1756 1680000 PRN DFND 3 1680000 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 2065 1975000 PRN SOLE 1975000 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 463 357000 PRN DFND 2 357000 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 1224 944000 PRN DFND 3 944000 0 0 KNOWLES CORP NOTE 3.250%11/0 49926DAB5 1426 1099000 PRN SOLE 1099000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 854 984000 PRN DFND 2 984000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 2503 2885000 PRN DFND 3 2885000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 2933 3381000 PRN SOLE 3381000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.000% 1/3 531229AF9 1018 765000 PRN DFND 1 765000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.000% 1/3 531229AF9 4521 3398000 PRN SOLE 3398000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.375%10/1 531229AB8 1850 1375000 PRN DFND 1 1375000 0 0 LIBERTY MEDIA CORP DELAWARE NOTE 1.375%10/1 531229AB8 7195 5345000 PRN SOLE 5345000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 702 813000 PRN DFND 2 813000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 2008 2327000 PRN DFND 3 2327000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 2209 2560000 PRN SOLE 2560000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 5796 4754000 PRN SOLE 4754000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 1207 990000 PRN DFND 1 990000 0 0 LOCKHEED MARTIN CORP COM 539830109 272 691 SH SOLE 691 0 0 LOEWS CORP COM 540424108 868 16540 SH SOLE 16540 0 0 LUMENTUM HLDGS INC NOTE 0.250% 3/1 55024UAB5 560 385000 PRN SOLE 385000 0 0 MACQUARIE INFRASTRUCTURE COR NOTE 2.000%10/0 55608BAB1 85 88000 PRN SOLE 88000 0 0 MASTERCARD INC CL A 57636Q104 839 2812 SH SOLE 2812 0 0 MCDONALDS CORP COM 580135101 452 2273 SH SOLE 2273 0 0 MEDICINES CO NOTE 2.750% 7/1 584688AG0 571 328000 PRN SOLE 328000 0 0 MEDTRONIC PLC SHS G5960L103 383 3395 SH SOLE 3395 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 2257 1514000 PRN SOLE 1514000 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 602 404000 PRN DFND 2 404000 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 2045 1372000 PRN DFND 3 1372000 0 0 MERCK & CO INC COM 58933Y105 614 6756 SH SOLE 6756 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 1860 1710000 PRN DFND 1 1710000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 376 346000 PRN DFND 2 346000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 1303 1198000 PRN DFND 3 1198000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 10060 9248000 PRN SOLE 9248000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1232 1183000 PRN SOLE 1183000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 282 271000 PRN DFND 2 271000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1090 1046000 PRN DFND 3 1046000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AD6 3603 1675000 PRN DFND 1 1675000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AD6 15435 7175000 PRN SOLE 7175000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 23931 16791000 PRN SOLE 16791000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 4425 3105000 PRN DFND 1 3105000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 708 497000 PRN DFND 2 497000 0 0 MICROCHIP TECHNOLOGY INC NOTE 1.625% 2/1 595017AF1 2038 1430000 PRN DFND 3 1430000 0 0 MICRON TECHNOLOGY INC NOTE 2.125% 2/1 595112AV5 776 158000 PRN DFND 1 158000 0 0 MICRON TECHNOLOGY INC NOTE 2.125% 2/1 595112AV5 2983 607000 PRN SOLE 607000 0 0 MICRON TECHNOLOGY INC NOTE 3.125% 5/0 595112AX1 2634 489000 PRN SOLE 489000 0 0 MICROSOFT CORP COM 594918104 2685 17019 SH SOLE 17019 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 584 630000 PRN DFND 2 630000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 1913 2064000 PRN DFND 3 2064000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 2138 2306000 PRN SOLE 2306000 0 0 MONGODB INC NOTE 0.750% 6/1 60937PAB2 1779 881000 PRN SOLE 881000 0 0 MONGODB INC NOTE 0.750% 6/1 60937PAB2 1431 708000 PRN DFND 3 708000 0 0 MONGODB INC NOTE 0.750% 6/1 60937PAB2 471 233000 PRN DFND 2 233000 0 0 NABORS INDUSTRIES LTD 6% PFD CNV SR A G6359F129 1272 56493 SH DFND 3 56493 0 0 NABORS INDUSTRIES LTD 6% PFD CNV SR A G6359F129 1374 61087 SH SOLE 61087 0 0 NABORS INDUSTRIES LTD 6% PFD CNV SR A G6359F129 392 17420 SH DFND 2 17420 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 1608 1050000 PRN DFND 1 1050000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 247 161000 PRN DFND 2 161000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 923 603000 PRN DFND 3 603000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 6897 4503000 PRN SOLE 4503000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 423 403000 PRN DFND 2 403000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 1382 1318000 PRN DFND 3 1318000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 1499 1429000 PRN SOLE 1429000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 361 371000 PRN DFND 2 371000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 1060 1091000 PRN DFND 3 1091000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 1252 1288000 PRN SOLE 1288000 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 799 15754 SH DFND 2 15754 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 2210 43588 SH DFND 3 43588 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 2518 49658 SH SOLE 49658 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 446 438000 PRN DFND 2 438000 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 1571 1542000 PRN SOLE 1542000 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 1294 1270000 PRN DFND 3 1270000 0 0 NEWPARK RES INC NOTE 4.000%12/0 651718AE8 267 260000 PRN DFND 2 260000 0 0 NEWPARK RES INC NOTE 4.000%12/0 651718AE8 779 759000 PRN DFND 3 759000 0 0 NEWPARK RES INC NOTE 4.000%12/0 651718AE8 904 881000 PRN SOLE 881000 0 0 NEXTERA ENERGY INC UNIT 09/01/2022S 65339F796 1923 37500 SH DFND 1 37500 0 0 NEXTERA ENERGY INC UNIT 09/01/2022S 65339F796 7767 151450 SH SOLE 151450 0 0 NICE SYS INC NOTE 1.250% 1/1 65366HAB9 2014 1056000 PRN SOLE 1056000 0 0 NIKE INC CL B 654106103 289 2833 SH SOLE 2833 0 0 NORTHROP GRUMMAN CORP COM 666807102 200 581 SH SOLE 581 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 29934 3283000 PRN SOLE 3283000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 1596 175000 PRN DFND 1 175000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1389 1225000 PRN DFND 1 1225000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 319 281000 PRN DFND 2 281000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1010 891000 PRN DFND 3 891000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 7500 6617000 PRN SOLE 6617000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 412 410000 PRN SOLE 410000 0 0 NUANCE COMMUNICATIONS INC NOTE 1.250% 4/0 67020YAN0 1666 1500000 PRN DFND 1 1500000 0 0 NUANCE COMMUNICATIONS INC NOTE 1.250% 4/0 67020YAN0 6038 5436000 PRN SOLE 5436000 0 0 NUTANIX INC NOTE 1/1 67059NAB4 276 276000 PRN SOLE 276000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 1391 1045000 PRN DFND 1 1045000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 6049 4545000 PRN SOLE 4545000 0 0 NVIDIA CORP COM 67066G104 380 1620 SH SOLE 1620 0 0 OIL STS INTL INC NOTE 1.500% 2/1 678026AH8 781 870000 PRN DFND 1 870000 0 0 OIL STS INTL INC NOTE 1.500% 2/1 678026AH8 3608 4020000 PRN SOLE 4020000 0 0 ON SEMICONDUCTOR CORP NOTE 1.000%12/0 682189AK1 8413 6189000 PRN SOLE 6189000 0 0 ON SEMICONDUCTOR CORP NOTE 1.000%12/0 682189AK1 1889 1390000 PRN DFND 1 1390000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 1537 1115000 PRN SOLE 1115000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 305 221000 PRN DFND 2 221000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 1150 834000 PRN DFND 3 834000 0 0 ORACLE CORP COM 68389X105 300 5669 SH SOLE 5669 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 900 825000 PRN DFND 1 825000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 521 478000 PRN DFND 2 478000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 1677 1538000 PRN DFND 3 1538000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 5964 5468000 PRN SOLE 5468000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 2813 2550000 PRN DFND 1 2550000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 14152 12830000 PRN SOLE 12830000 0 0 PAYPAL HLDGS INC COM 70450Y103 399 3684 SH SOLE 3684 0 0 PDC ENERGY INC NOTE 1.125% 9/1 69327RAD3 377 401000 PRN SOLE 401000 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 1357 1349000 PRN DFND 3 1349000 0 0 PENNYMAC CORP NOTE 5.375% 5/0 70932AAB9 1567 1557000 PRN SOLE 1557000 0 0 PEPSICO INC COM 713448108 490 3577 SH SOLE 3577 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 500 369000 PRN DFND 2 369000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 1308 966000 PRN DFND 3 966000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 1523 1125000 PRN DFND 1 1125000 0 0 PERFICIENT INC NOTE 2.375% 9/1 71375UAB7 7048 5204000 PRN SOLE 5204000 0 0 PERKINELMER INC COM 714046109 223 2282 SH SOLE 2282 0 0 PFIZER INC COM 717081103 771 19702 SH SOLE 19702 0 0 PHILIP MORRIS INTL INC COM 718172109 206 2416 SH SOLE 2416 0 0 PHILLIPS 66 COM 718546104 230 2066 SH SOLE 2066 0 0 PIONEER NAT RES CO COM 723787107 253 1666 SH SOLE 1666 0 0 PNC FINL SVCS GROUP INC COM 693475105 250 1576 SH SOLE 1576 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 954 956000 PRN SOLE 956000 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 593 594000 PRN DFND 3 594000 0 0 PORTFOLIO RECOVERY ASSOCS IN NOTE 3.000% 8/0 73640QAB1 268 269000 PRN DFND 2 269000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 990 950000 PRN DFND 1 950000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 348 334000 PRN DFND 2 334000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 1307 1255000 PRN DFND 3 1255000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 5236 5024000 PRN SOLE 5024000 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 23935 15430000 PRN SOLE 15430000 0 0 PRICELINE GRP INC NOTE 0.350% 6/1 741503AS5 1334 860000 PRN DFND 1 860000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 2576 2235000 PRN DFND 1 2235000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 29033 25195000 PRN SOLE 25195000 0 0 PROCTER & GAMBLE CO COM 742718109 891 7137 SH SOLE 7137 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347B201 337 12710 SH DFND 2 12710 0 0 PROSHARES TR PSHS ULTSH 20YRS 74347B201 1315 49565 SH SOLE 49565 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 2180 111150 SH DFND 3 111150 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.375% 3/0 74348TAT9 2007 1891000 PRN SOLE 1891000 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.375% 3/0 74348TAT9 569 536000 PRN DFND 2 536000 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.375% 3/0 74348TAT9 1670 1573000 PRN DFND 3 1573000 0 0 Q2 HLDGS INC NOTE 0.750% 2/1 74736LAB5 453 299000 PRN SOLE 299000 0 0 QTS RLTY TR INC 6.50% CON PFD B 74736A301 644 4994 SH DFND 2 4994 0 0 QTS RLTY TR INC 6.50% CON PFD B 74736A301 1793 13914 SH DFND 3 13914 0 0 QTS RLTY TR INC 6.50% CON PFD B 74736A301 4701 36492 SH SOLE 36492 0 0 QTS RLTY TR INC 6.50% CON PFD B 74736A301 596 4625 SH DFND 1 4625 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 4237 5004000 PRN SOLE 5004000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 528 624000 PRN DFND 1 624000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 548 647000 PRN DFND 2 647000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 1500 1771000 PRN DFND 3 1771000 0 0 RAPID7 INC NOTE 1.250% 8/0 753422AB0 1238 831000 PRN SOLE 831000 0 0 RAPID7 INC NOTE 1.250% 8/0 753422AB0 328 220000 PRN DFND 2 220000 0 0 RAPID7 INC NOTE 1.250% 8/0 753422AB0 1042 699000 PRN DFND 3 699000 0 0 RAYTHEON CO COM NEW 755111507 466 2114 SH SOLE 2114 0 0 REALPAGE INC NOTE 1.500%11/1 75606NAB5 164 118000 PRN DFND 2 118000 0 0 REALPAGE INC NOTE 1.500%11/1 75606NAB5 791 568000 PRN DFND 3 568000 0 0 REALPAGE INC NOTE 1.500%11/1 75606NAB5 855 614000 PRN SOLE 614000 0 0 REDFIN CORP NOTE 1.750% 7/1 75737FAA6 590 595000 PRN SOLE 595000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 1460 1429000 PRN SOLE 1429000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 1349 1320000 PRN DFND 3 1320000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 359 351000 PRN DFND 2 351000 0 0 REDWOOD TR INC NOTE 5.625% 7/1 758075AD7 233 229000 PRN DFND 2 229000 0 0 REDWOOD TR INC NOTE 5.625% 7/1 758075AD7 932 915000 PRN DFND 3 915000 0 0 REDWOOD TR INC NOTE 5.625% 7/1 758075AD7 1025 1006000 PRN SOLE 1006000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 1305 1210000 PRN DFND 1 1210000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 4721 4381000 PRN SOLE 4381000 0 0 RESTORATION HARDWARE HLDGS I DBCV 7/1 761283AC4 390 216000 PRN SOLE 216000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 900 1165000 PRN SOLE 1165000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 144 186000 PRN DFND 2 186000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 888 1149000 PRN DFND 3 1149000 0 0 RH NOTE 6/1 74967XAA1 1941 1530000 PRN DFND 1 1530000 0 0 RH NOTE 6/1 74967XAA1 7559 5956000 PRN SOLE 5956000 0 0 RINGCENTRAL INC NOTE 3/1 76680RAD9 1195 570000 PRN DFND 1 570000 0 0 RINGCENTRAL INC NOTE 3/1 76680RAD9 6908 3293000 PRN SOLE 3293000 0 0 SALESFORCE COM INC COM 79466L302 389 2401 SH SOLE 2401 0 0 SAREPTA THERAPEUTICS INC COM 803607100 201 1549 SH SOLE 1549 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 6230 3203000 PRN SOLE 3203000 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 1167 600000 PRN DFND 1 600000 0 0 SCORPIO TANKERS INC NOTE 3.000% 5/1 80918TAB5 1069 872000 PRN DFND 1 872000 0 0 SCORPIO TANKERS INC NOTE 3.000% 5/1 80918TAB5 4790 3905000 PRN SOLE 3905000 0 0 SEACOR HOLDINGS INC NOTE 3.000%11/1 81170YAB5 215 220000 PRN SOLE 220000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 629 694000 PRN DFND 2 694000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 1723 1900000 PRN DFND 3 1900000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 1855 2045000 PRN SOLE 2045000 0 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 403 6710 SH SOLE 6710 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1619 25029 SH SOLE 25029 0 0 SEMPRA ENERGY 6% PFD CONV A 816851406 11403 94999 SH SOLE 94999 0 0 SEMPRA ENERGY 6% PFD CONV A 816851406 2910 24250 SH DFND 1 24250 0 0 SERVICENOW INC COM 81762P102 230 820 SH SOLE 820 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 1593 755000 PRN DFND 1 755000 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 8475 4017000 PRN SOLE 4017000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 1634 1445000 PRN SOLE 1445000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 380 336000 PRN DFND 2 336000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 1491 1319000 PRN DFND 3 1319000 0 0 SILICON LABORATORIES INC NOTE 1.375% 3/0 826919AB8 531 400000 PRN DFND 1 400000 0 0 SILICON LABORATORIES INC NOTE 1.375% 3/0 826919AB8 3140 2363000 PRN SOLE 2363000 0 0 SOUTH JERSEY INDS INC UNIT 99/99/9999 838518116 178 3435 SH DFND 2 3435 0 0 SOUTH JERSEY INDS INC UNIT 99/99/9999 838518116 901 17361 SH DFND 3 17361 0 0 SOUTH JERSEY INDS INC UNIT 99/99/9999 838518116 997 19204 SH SOLE 19204 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 9612 178803 SH SOLE 178803 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 2284 42500 SH DFND 1 42500 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 310 5767 SH DFND 2 5767 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 919 17105 SH DFND 3 17105 0 0 SPIRIT RLTY CAP INC NEW NOTE 3.750% 5/1 84860WAB8 686 660000 PRN SOLE 660000 0 0 SPLUNK INC COM 848637104 205 1369 SH SOLE 1369 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 3153 2625000 PRN DFND 1 2625000 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 13280 11054000 PRN SOLE 11054000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 434 352000 PRN DFND 2 352000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 1250 1014000 PRN DFND 3 1014000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 3514 2849000 PRN SOLE 2849000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 2512 2250000 PRN DFND 1 2250000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 11867 10633000 PRN SOLE 10633000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 1222 1095000 PRN DFND 3 1095000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 384 344000 PRN DFND 2 344000 0 0 STANLEY BLACK & DECKER INC UNIT 05/15/2020 854502887 1992 18250 SH SOLE 18250 0 0 STANLEY BLACK & DECKER INC UNIT 11/15/2022 854502846 2030 18630 SH DFND 1 18630 0 0 STANLEY BLACK & DECKER INC UNIT 11/15/2022 854502846 8997 82540 SH SOLE 82540 0 0 STARWOOD PPTY TR INC NOTE 4.375% 4/0 85571BAH8 603 581000 PRN SOLE 581000 0 0 SUNPOWER CORP DBCV 4.000% 1/1 867652AL3 1811 2207000 PRN DFND 3 2207000 0 0 SUNPOWER CORP DBCV 4.000% 1/1 867652AL3 2079 2534000 PRN SOLE 2534000 0 0 SUNPOWER CORP DBCV 4.000% 1/1 867652AL3 623 759000 PRN DFND 2 759000 0 0 SYNAPTICS INC NOTE 0.500% 6/1 87157DAD1 518 467000 PRN DFND 2 467000 0 0 SYNAPTICS INC NOTE 0.500% 6/1 87157DAD1 1342 1210000 PRN DFND 3 1210000 0 0 SYNAPTICS INC NOTE 0.500% 6/1 87157DAD1 6369 5745000 PRN SOLE 5745000 0 0 SYNAPTICS INC NOTE 0.500% 6/1 87157DAD1 1076 970000 PRN DFND 1 970000 0 0 TEAM INC NOTE 5.000% 8/0 878155AE0 256 245000 PRN DFND 2 245000 0 0 TEAM INC NOTE 5.000% 8/0 878155AE0 986 944000 PRN DFND 3 944000 0 0 TEAM INC NOTE 5.000% 8/0 878155AE0 1108 1061000 PRN SOLE 1061000 0 0 TELADOC HEALTH INC NOTE 1.375% 5/1 87918AAC9 1301 750000 PRN DFND 1 750000 0 0 TELADOC HEALTH INC NOTE 1.375% 5/1 87918AAC9 4808 2772000 PRN SOLE 2772000 0 0 TELADOC HEALTH INC NOTE 3.000%12/1 87918AAB1 711 355000 PRN SOLE 355000 0 0 TERADYNE INC NOTE 1.250%12/1 880770AG7 1097 500000 PRN DFND 1 500000 0 0 TERADYNE INC NOTE 1.250%12/1 880770AG7 5814 2651000 PRN SOLE 2651000 0 0 TESLA INC NOTE 1.250% 3/0 88160RAC5 91 72000 PRN SOLE 72000 0 0 TESLA INC NOTE 2.000% 5/1 88160RAG6 2268 1500000 PRN DFND 1 1500000 0 0 TESLA INC NOTE 2.000% 5/1 88160RAG6 8843 5849000 PRN SOLE 5849000 0 0 TESLA INC NOTE 2.375% 3/1 88160RAD3 2065 1460000 PRN DFND 3 1460000 0 0 TESLA INC NOTE 2.375% 3/1 88160RAD3 734 519000 PRN DFND 2 519000 0 0 TESLA INC NOTE 2.375% 3/1 88160RAD3 1563 1105000 PRN DFND 1 1105000 0 0 TESLA INC NOTE 2.375% 3/1 88160RAD3 9450 6682000 PRN SOLE 6682000 0 0 TEXAS INSTRS INC COM 882508104 408 3189 SH SOLE 3189 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 333 322000 PRN DFND 2 322000 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 1006 971000 PRN DFND 3 971000 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 1188 1147000 PRN SOLE 1147000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 1093 1091000 PRN DFND 3 1091000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 1631 1628000 PRN SOLE 1628000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 282 281000 PRN DFND 2 281000 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 490 1513 SH SOLE 1513 0 0 TJX COS INC NEW COM 872540109 368 6023 SH SOLE 6023 0 0 TRANSOCEAN INC DEB 0.500% 1/3 893830BJ7 843 845000 PRN DFND 1 845000 0 0 TRANSOCEAN INC DEB 0.500% 1/3 893830BJ7 3364 3370000 PRN SOLE 3370000 0 0 TRUIST FINL CORP COM 89832Q109 224 3959 SH SOLE 3959 0 0 TWILIO INC NOTE 0.250% 6/0 90138FAB8 519 340000 PRN DFND 1 340000 0 0 TWILIO INC NOTE 0.250% 6/0 90138FAB8 2994 1960000 PRN SOLE 1960000 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 2251 2330000 PRN DFND 1 2330000 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 13039 13494000 PRN SOLE 13494000 0 0 UNION PACIFIC CORP COM 907818108 527 2910 SH SOLE 2910 0 0 UNITED RENTALS INC COM 911363109 212 1276 SH SOLE 1276 0 0 UNITED TECHNOLOGIES CORP COM 913017109 281 1879 SH SOLE 1879 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1020 3462 SH SOLE 3462 0 0 US BANCORP DEL COM NEW 902973304 218 3666 SH SOLE 3666 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 725 11813 SH SOLE 11813 0 0 VIAVI SOLUTIONS INC NOTE 1.000% 3/0 925550AB1 6764 5251000 PRN SOLE 5251000 0 0 VIAVI 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948596AC5 923 987000 PRN DFND 3 987000 0 0 WEIBO CORP NOTE 1.250%11/1 948596AC5 1014 1084000 PRN SOLE 1084000 0 0 WELLS FARGO & CO MTNF 0.125% 2/2 94986RVY4 1026 1031000 PRN SOLE 1031000 0 0 WELLS FARGO CO NEW COM 949746101 508 9464 SH SOLE 9464 0 0 WELLS FARGO CO NEW PERP PFD CNV A 949746804 6098 4220 SH DFND 1 4220 0 0 WELLS FARGO CO NEW PERP PFD CNV A 949746804 26804 18548 SH SOLE 18548 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 465 459000 PRN DFND 2 459000 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 1223 1206000 PRN DFND 3 1206000 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 1468 1447000 PRN SOLE 1447000 0 0 WESTERN DIGITAL CORP NOTE 1.500% 2/0 958102AP0 12134 12390000 PRN SOLE 12390000 0 0 WILLIS TOWERS WATSON PUB LTD SHS G96629103 204 1004 SH SOLE 1004 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 1058 828000 PRN DFND 3 828000 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 10596 8296000 PRN SOLE 8296000 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 293 229000 PRN DFND 2 229000 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 2440 1910000 PRN DFND 1 1910000 0 0 WORLD WRESTLING ENTMT INC NOTE 3.375%12/1 98156QAB4 2659 990000 PRN SOLE 990000 0 0 WORLD WRESTLING ENTMT INC NOTE 3.375%12/1 98156QAB4 578 215000 PRN DFND 1 215000 0 0 WRIGHT MED GROUP N V NOTE 2.250%11/1 98236JAB4 323 223000 PRN DFND 2 223000 0 0 WRIGHT MED GROUP N V NOTE 2.250%11/1 98236JAB4 847 584000 PRN DFND 3 584000 0 0 WRIGHT MED GROUP N V NOTE 2.250%11/1 98236JAB4 1005 693000 PRN SOLE 693000 0 0 ZENDESK INC NOTE 0.250% 3/1 98936JAB7 777 570000 PRN DFND 1 570000 0 0 ZENDESK INC NOTE 0.250% 3/1 98936JAB7 3807 2794000 PRN SOLE 2794000 0 0 ZILLOW GROUP INC NOTE 2.000%12/0 98954MAB7 168 150000 PRN SOLE 150000 0 0