0001172661-20-001202.txt : 20200513
0001172661-20-001202.hdr.sgml : 20200513
20200513145850
ACCESSION NUMBER: 0001172661-20-001202
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20200331
FILED AS OF DATE: 20200513
DATE AS OF CHANGE: 20200513
EFFECTIVENESS DATE: 20200513
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: 20872615
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
03-31-2020
03-31-2020
false
SSI INVESTMENT MANAGEMENT LLC
9440 Santa Monica Blvd.
8th Floor
Beverly Hills
CA
90210
13F HOLDINGS REPORT
028-04720
N
Syed Mehdi
President & Chief Compliance Officer
310-595-2001
/s/ Syed Mehdi
Beverly Hills
CA
05-13-2020
3
460
1134250
1
0001125816
028-06487
FIRST TRUST ADVISORS LP
2
0001673385
028-17446
Morningstar Investment Management LLC
3
0000908758
028-14511
American Beacon Advisors, Inc.
INFORMATION TABLE
2
infotable.xml
ABBOTT LABS
COM
002824100
418
5293
SH
SOLE
5293
0
0
ABBVIE INC
COM
00287Y109
256
3341
SH
SOLE
3341
0
0
ACCENTURE PLC IRELAND
SHS CLASS A
G1151C101
206
1261
SH
SOLE
1261
0
0
ADOBE INC
COM
00724F101
298
931
SH
SOLE
931
0
0
ADVANCED MICRO DEVICES INC
NOTE 2.125% 9/0
007903BD8
1347
235000
PRN
DFND
1
235000
0
0
ADVANCED MICRO DEVICES INC
NOTE 2.125% 9/0
007903BD8
7944
1386000
PRN
SOLE
1386000
0
0
AEROJET ROCKETDYNE HLDGS INC
NOTE 2.250%12/1
007800AB1
266
161000
PRN
DFND
2
161000
0
0
AEROJET ROCKETDYNE HLDGS INC
NOTE 2.250%12/1
007800AB1
574
348000
PRN
DFND
3
348000
0
0
AEROJET ROCKETDYNE HLDGS INC
NOTE 2.250%12/1
007800AB1
1053
636000
PRN
SOLE
636000
0
0
AIR PRODS & CHEMS INC
COM
009158106
266
1326
SH
SOLE
1326
0
0
AIR TRANSPORT SERVICES GRP I
NOTE 1.125%10/1
00922RAB1
188
222000
PRN
DFND
2
222000
0
0
AIR TRANSPORT SERVICES GRP I
NOTE 1.125%10/1
00922RAB1
452
535000
PRN
DFND
3
535000
0
0
AIR TRANSPORT SERVICES GRP I
NOTE 1.125%10/1
00922RAB1
206
243000
PRN
SOLE
243000
0
0
AKAMAI TECHNOLOGIES INC
NOTE 0.125% 5/0
00971TAJ0
2729
2445000
PRN
DFND
1
2445000
0
0
AKAMAI TECHNOLOGIES INC
NOTE 0.125% 5/0
00971TAJ0
18193
16300000
PRN
SOLE
16300000
0
0
ALPHABET INC
CAP STK CL A
02079K305
1387
1194
SH
SOLE
1194
0
0
ALZA CORP
SDCV 7/2
02261WAB5
182
101000
PRN
SOLE
101000
0
0
AMAZON COM INC
COM
023135106
1724
884
SH
SOLE
884
0
0
AMERICAN ELEC PWR CO INC
UNIT 03/15/2022
025537127
884
18325
SH
DFND
1
18325
0
0
AMERICAN ELEC PWR CO INC
UNIT 03/15/2022
025537127
5602
116105
SH
SOLE
116105
0
0
AMERICAN RLTY CAP PPTYS INC
NOTE 3.750%12/1
02917TAB0
5491
5631000
PRN
SOLE
5631000
0
0
AMGEN INC
COM
031162100
427
2101
SH
SOLE
2101
0
0
APOLLO COML REAL EST FIN INC
NOTE 4.750% 8/2
03762UAB1
162
233000
PRN
DFND
2
233000
0
0
APOLLO COML REAL EST FIN INC
NOTE 4.750% 8/2
03762UAB1
594
857000
PRN
DFND
3
857000
0
0
APOLLO COML REAL EST FIN INC
NOTE 4.750% 8/2
03762UAB1
675
974000
PRN
SOLE
974000
0
0
APOLLO COML REAL EST FIN INC
NOTE 5.375%10/1
03762UAC9
1405
2104000
PRN
SOLE
2104000
0
0
APOLLO COML REAL EST FIN INC
NOTE 5.375%10/1
03762UAC9
403
603000
PRN
DFND
2
603000
0
0
APOLLO COML REAL EST FIN INC
NOTE 5.375%10/1
03762UAC9
1097
1643000
PRN
DFND
3
1643000
0
0
APPLE INC
COM
037833100
2212
8698
SH
SOLE
8698
0
0
ARES CAPITAL CORP
COM
04010L103
122
11338
SH
SOLE
11338
0
0
ARES CAPITAL CORP
NOTE 3.750% 2/0
04010LAT0
7246
8043000
PRN
SOLE
8043000
0
0
ARES CAPITAL CORP
NOTE 4.625% 3/0
04010LAW3
6283
7258000
PRN
SOLE
7258000
0
0
ASSURANT INC
6.50% CONV PFD D
04621X207
510
4825
SH
SOLE
4825
0
0
AT&T INC
COM
00206R102
449
15381
SH
SOLE
15381
0
0
AVANTOR INC
6.25 PFD CNV SR
05352A209
761
16940
SH
DFND
1
16940
0
0
AVANTOR INC
6.25 PFD CNV SR
05352A209
4087
90998
SH
SOLE
90998
0
0
BECTON DICKINSON & CO
PFD SHS CONV A
075887208
2018
36750
SH
DFND
1
36750
0
0
BECTON DICKINSON & CO
PFD SHS CONV A
075887208
12648
230370
SH
SOLE
230370
0
0
BERKSHIRE HATHAWAY INC DEL
CL B NEW
084670702
694
3787
SH
SOLE
3787
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 0.599% 8/0
09061GAH4
5679
5456000
PRN
SOLE
5456000
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 0.599% 8/0
09061GAH4
1379
1325000
PRN
DFND
1
1325000
0
0
BIOMARIN PHARMACEUTICAL INC
NOTE 1.500%10/1
09061GAF8
1224
1155000
PRN
SOLE
1155000
0
0
BK OF AMERICA CORP
7.25%CNV PFD L
060505682
21064
16640
SH
SOLE
16640
0
0
BK OF AMERICA CORP
7.25%CNV PFD L
060505682
3703
2925
SH
DFND
1
2925
0
0
BK OF AMERICA CORP
COM
060505104
520
24535
SH
SOLE
24535
0
0
BLACKSTONE MTG TR INC
NOTE 4.375% 5/0
09257WAB6
1147
1475000
PRN
DFND
1
1475000
0
0
BLACKSTONE MTG TR INC
NOTE 4.375% 5/0
09257WAB6
6536
8406000
PRN
SOLE
8406000
0
0
BOINGO WIRELESS INC
NOTE 1.000%10/0
09739CAB8
250
281000
PRN
DFND
2
281000
0
0
BOINGO WIRELESS INC
NOTE 1.000%10/0
09739CAB8
784
882000
PRN
DFND
3
882000
0
0
BOINGO WIRELESS INC
NOTE 1.000%10/0
09739CAB8
988
1112000
PRN
SOLE
1112000
0
0
BRISTOL-MYERS SQUIBB CO
COM
110122108
253
4516
SH
SOLE
4516
0
0
BROADCOM INC
8% CNV PFD SER A
11135F200
2906
3110
SH
DFND
1
3110
0
0
BROADCOM INC
8% CNV PFD SER A
11135F200
19544
20919
SH
SOLE
20919
0
0
BROADCOM INC
COM
11135F101
232
979
SH
SOLE
979
0
0
CHANGE HEALTHCARE INC
UNIT 99/99/9999
15912K209
3938
95857
SH
SOLE
95857
0
0
CHANGE HEALTHCARE INC
UNIT 99/99/9999
15912K209
426
10356
SH
DFND
3
10356
0
0
CHANGE HEALTHCARE INC
UNIT 99/99/9999
15912K209
194
4717
SH
DFND
2
4717
0
0
CHANGE HEALTHCARE INC
UNIT 99/99/9999
15912K209
772
18778
SH
DFND
1
18778
0
0
CHEGG INC
NOTE 0.250% 5/1
163092AB5
678
476000
PRN
DFND
3
476000
0
0
CHEGG INC
NOTE 0.250% 5/1
163092AB5
1427
1003000
PRN
SOLE
1003000
0
0
CHEGG INC
NOTE 0.250% 5/1
163092AB5
350
246000
PRN
DFND
2
246000
0
0
CHENIERE ENERGY INC
NOTE 4.250% 3/1
16411RAG4
322
715000
PRN
DFND
1
715000
0
0
CHENIERE ENERGY INC
NOTE 4.250% 3/1
16411RAG4
360
799000
PRN
DFND
2
799000
0
0
CHENIERE ENERGY INC
NOTE 4.250% 3/1
16411RAG4
974
2164000
PRN
DFND
3
2164000
0
0
CHENIERE ENERGY INC
NOTE 4.250% 3/1
16411RAG4
3448
7661000
PRN
SOLE
7661000
0
0
CHEVRON CORP NEW
COM
166764100
240
3302
SH
SOLE
3302
0
0
CISCO SYS INC
COM
17275R102
461
11728
SH
SOLE
11728
0
0
CITIGROUP INC
COM NEW
172967424
320
7562
SH
SOLE
7562
0
0
CLEVELAND CLIFFS INC
DBCV 1.500% 1/1
185899AA9
1066
1570000
PRN
SOLE
1570000
0
0
COCA COLA CO
COM
191216100
459
10354
SH
SOLE
10354
0
0
COLFAX CORP
UNIT 01/15/2022T
194014205
497
5415
SH
DFND
1
5415
0
0
COLFAX CORP
UNIT 01/15/2022T
194014205
2306
25098
SH
SOLE
25098
0
0
COLONY CAP INC
NOTE 5.000% 4/1
19624RAA4
239
310000
PRN
SOLE
310000
0
0
COLONY STARWOOD HOMES
NOTE 3.500% 1/1
19625XAB8
884
830000
PRN
DFND
1
830000
0
0
COLONY STARWOOD HOMES
NOTE 3.500% 1/1
19625XAB8
3917
3677000
PRN
SOLE
3677000
0
0
COMCAST CORP NEW
CL A
20030N101
385
11229
SH
SOLE
11229
0
0
CONMED CORP
NOTE 2.625% 2/0
207410AF8
819
885000
PRN
DFND
1
885000
0
0
CONMED CORP
NOTE 2.625% 2/0
207410AF8
4394
4746000
PRN
SOLE
4746000
0
0
COSTCO WHSL CORP NEW
COM
22160K105
386
1350
SH
SOLE
1350
0
0
COUPA SOFTWARE INC
NOTE 0.375% 1/1
22266LAB2
214
69000
PRN
SOLE
69000
0
0
CREE INC
NOTE 0.875% 9/0
225447AB7
564
618000
PRN
DFND
2
618000
0
0
CREE INC
NOTE 0.875% 9/0
225447AB7
1362
1493000
PRN
DFND
3
1493000
0
0
CREE INC
NOTE 0.875% 9/0
225447AB7
3176
3484000
PRN
SOLE
3484000
0
0
CROWN CASTLE INTL CORP NEW
6.875% CON PFD A
22822V309
11543
8912
SH
SOLE
8912
0
0
CROWN CASTLE INTL CORP NEW
6.875% CON PFD A
22822V309
2248
1735
SH
DFND
1
1735
0
0
CSG SYS INTL INC
NOTE 4.250% 3/1
126349AF6
1552
1537000
PRN
SOLE
1537000
0
0
DANAHER CORPORATION
4.75 MND CV PFD
235851300
1903
1825
SH
DFND
1
1825
0
0
DANAHER CORPORATION
4.75 MND CV PFD
235851300
12270
11770
SH
SOLE
11770
0
0
DANAHER CORPORATION
COM
235851102
314
2266
SH
SOLE
2266
0
0
DANAHER CORPORATION
DBCV 1/2
235851AF9
880
167000
PRN
SOLE
167000
0
0
DEXCOM INC
NOTE 0.750%12/0
252131AH0
2768
1600000
PRN
DFND
1
1600000
0
0
DEXCOM INC
NOTE 0.750%12/0
252131AH0
15436
8922000
PRN
SOLE
8922000
0
0
DISH NETWORK CORPORATION
NOTE 3.375% 8/1
25470MAB5
1969
2425000
PRN
DFND
1
2425000
0
0
DISH NETWORK CORPORATION
NOTE 3.375% 8/1
25470MAB5
10826
13336000
PRN
SOLE
13336000
0
0
DISNEY WALT CO
COM DISNEY
254687106
425
4383
SH
SOLE
4383
0
0
DOCUSIGN INC
NOTE 0.500% 9/1
256163AB2
1194
850000
PRN
DFND
1
850000
0
0
DOCUSIGN INC
NOTE 0.500% 9/1
256163AB2
4994
3556000
PRN
SOLE
3556000
0
0
DOMINION ENERGY INC
UNIT 99/99/9999
25746U133
1406
15000
SH
DFND
1
15000
0
0
DOMINION ENERGY INC
UNIT 99/99/9999
25746U133
7425
79208
SH
SOLE
79208
0
0
DTE ENERGY CO
UNIT 11/01/2022S
233331842
534
13550
SH
SOLE
13550
0
0
ELANCO ANIMAL HEALTH INC
UNIT 02/01/2023T
28414H202
668
16240
SH
DFND
1
16240
0
0
ELANCO ANIMAL HEALTH INC
UNIT 02/01/2023T
28414H202
3524
85680
SH
SOLE
85680
0
0
ENCORE CAP EUROPE FIN LTD
NOTE 4.500% 9/0
29260UAA5
187
251000
PRN
DFND
2
251000
0
0
ENCORE CAP EUROPE FIN LTD
NOTE 4.500% 9/0
29260UAA5
579
778000
PRN
DFND
3
778000
0
0
ENCORE CAP EUROPE FIN LTD
NOTE 4.500% 9/0
29260UAA5
662
890000
PRN
SOLE
890000
0
0
ENCORE CAP GROUP INC
NOTE 2.875% 3/1
292554AH5
304
339000
PRN
DFND
2
339000
0
0
ENCORE CAP GROUP INC
NOTE 2.875% 3/1
292554AH5
809
903000
PRN
DFND
3
903000
0
0
ENCORE CAP GROUP INC
NOTE 2.875% 3/1
292554AH5
1053
1176000
PRN
SOLE
1176000
0
0
ENERGIZER HLDGS INC NEW
7.5 MCNV PFD A
29272W208
485
7150
SH
DFND
1
7150
0
0
ENERGIZER HLDGS INC NEW
7.5 MCNV PFD A
29272W208
2214
32615
SH
SOLE
32615
0
0
ENVESTNET INC
NOTE 1.750% 6/0
29404KAB2
1073
1050000
PRN
DFND
1
1050000
0
0
ENVESTNET INC
NOTE 1.750% 6/0
29404KAB2
385
377000
PRN
DFND
2
377000
0
0
ENVESTNET INC
NOTE 1.750% 6/0
29404KAB2
933
913000
PRN
DFND
3
913000
0
0
ENVESTNET INC
NOTE 1.750% 6/0
29404KAB2
5201
5091000
PRN
SOLE
5091000
0
0
ESSENTIAL UTILS INC
UNIT 04/30/2022
29670G201
899
16515
SH
DFND
1
16515
0
0
ESSENTIAL UTILS INC
UNIT 04/30/2022
29670G201
4124
75735
SH
SOLE
75735
0
0
EURONET WORLDWIDE INC
NOTE 0.750% 3/1
298736AL3
10282
11469000
PRN
SOLE
11469000
0
0
EXACT SCIENCES CORP
NOTE 0.375% 3/1
30063PAB1
1239
1475000
PRN
DFND
1
1475000
0
0
EXACT SCIENCES CORP
NOTE 0.375% 3/1
30063PAB1
187
222000
PRN
DFND
2
222000
0
0
EXACT SCIENCES CORP
NOTE 0.375% 3/1
30063PAB1
450
535000
PRN
DFND
3
535000
0
0
EXACT SCIENCES CORP
NOTE 0.375% 3/1
30063PAB1
6452
7676000
PRN
SOLE
7676000
0
0
EXACT SCIENCES CORP
NOTE 1.000% 1/1
30063PAA3
239
220000
PRN
DFND
2
220000
0
0
EXACT SCIENCES CORP
NOTE 1.000% 1/1
30063PAA3
722
666000
PRN
DFND
3
666000
0
0
EXACT SCIENCES CORP
NOTE 1.000% 1/1
30063PAA3
1394
1287000
PRN
SOLE
1287000
0
0
FACEBOOK INC
CL A
30303M102
953
5709
SH
SOLE
5709
0
0
FIREEYE INC
NOTE 0.875% 6/0
31816QAF8
325
385000
PRN
SOLE
385000
0
0
FIREEYE INC
NOTE 1.625% 6/0
31816QAD3
224
248000
PRN
DFND
2
248000
0
0
FIREEYE INC
NOTE 1.625% 6/0
31816QAD3
339
376000
PRN
DFND
3
376000
0
0
FIREEYE INC
NOTE 1.625% 6/0
31816QAD3
877
972000
PRN
SOLE
972000
0
0
FIRST TR EXCHANGE-TRADED FD
CAP STRENGTH ETF
33733E104
2342
47096
SH
SOLE
47096
0
0
FIRST TR EXCHANGE-TRADED FD
FST LOW OPPT EFT
33739Q200
539
10563
SH
SOLE
10563
0
0
FIRST TR EXCHANGE-TRADED FD
SSI STRG ETF
33739Q507
284
9930
SH
SOLE
9930
0
0
FORTIVE CORP
5% PFD CNV SER A
34959J207
950
1300
SH
DFND
1
1300
0
0
FORTIVE CORP
5% PFD CNV SER A
34959J207
4696
6427
SH
SOLE
6427
0
0
FORTIVE CORP
NOTE 0.875% 2/1
34959JAK4
109
119000
PRN
DFND
2
119000
0
0
FORTIVE CORP
NOTE 0.875% 2/1
34959JAK4
237
258000
PRN
DFND
3
258000
0
0
FORTIVE CORP
NOTE 0.875% 2/1
34959JAK4
21257
23107000
PRN
SOLE
23107000
0
0
FTI CONSULTING INC
NOTE 2.000% 8/1
302941AP4
1369
1050000
PRN
DFND
1
1050000
0
0
FTI CONSULTING INC
NOTE 2.000% 8/1
302941AP4
678
520000
PRN
DFND
2
520000
0
0
FTI CONSULTING INC
NOTE 2.000% 8/1
302941AP4
1797
1378000
PRN
DFND
3
1378000
0
0
FTI CONSULTING INC
NOTE 2.000% 8/1
302941AP4
9080
6964000
PRN
SOLE
6964000
0
0
GILEAD SCIENCES INC
COM
375558103
237
3188
SH
SOLE
3188
0
0
GRANITE PT MTG TR INC
NOTE 6.375%10/0
38741LAC1
534
971000
PRN
SOLE
971000
0
0
GRANITE PT MTG TR INC
NOTE 6.375%10/0
38741LAC1
446
810000
PRN
DFND
3
810000
0
0
GRANITE PT MTG TR INC
NOTE 6.375%10/0
38741LAC1
120
219000
PRN
DFND
2
219000
0
0
GUIDEWIRE SOFTWARE INC
NOTE 1.250% 3/1
40171VAA8
4138
4295000
PRN
SOLE
4295000
0
0
GUIDEWIRE SOFTWARE INC
NOTE 1.250% 3/1
40171VAA8
1021
1060000
PRN
DFND
1
1060000
0
0
HANNON ARMSTRONG SUST INFR C
NOTE 4.125% 9/0
41068XAB6
296
312000
PRN
SOLE
312000
0
0
HELIX ENERGY SOLUTIONS GRP I
NOTE 4.125% 9/1
42330PAJ6
334
510000
PRN
DFND
1
510000
0
0
HELIX ENERGY SOLUTIONS GRP I
NOTE 4.125% 9/1
42330PAJ6
179
273000
PRN
DFND
2
273000
0
0
HELIX ENERGY SOLUTIONS GRP I
NOTE 4.125% 9/1
42330PAJ6
486
742000
PRN
DFND
3
742000
0
0
HELIX ENERGY SOLUTIONS GRP I
NOTE 4.125% 9/1
42330PAJ6
2095
3194000
PRN
SOLE
3194000
0
0
HERBALIFE LTD
NOTE 2.625% 3/1
42703MAD5
2597
3236000
PRN
SOLE
3236000
0
0
HERCULES CAPITAL INC
DBCV 4.375% 2/0
427096AF9
4840
5377000
PRN
SOLE
5377000
0
0
HOME DEPOT INC
COM
437076102
698
3740
SH
SOLE
3740
0
0
HONEYWELL INTL INC
COM
438516106
251
1863
SH
SOLE
1863
0
0
HOPE BANCORP INC
NOTE 2.000% 5/1
43940TAB5
2204
2691000
PRN
SOLE
2691000
0
0
HOPE BANCORP INC
NOTE 2.000% 5/1
43940TAB5
634
774000
PRN
DFND
2
774000
0
0
HOPE BANCORP INC
NOTE 2.000% 5/1
43940TAB5
1748
2135000
PRN
DFND
3
2135000
0
0
HORIZON PHARMA INVT LTD
NOTE 2.500% 3/1
44052TAB7
1266
1085000
PRN
DFND
1
1085000
0
0
HORIZON PHARMA INVT LTD
NOTE 2.500% 3/1
44052TAB7
5831
5001000
PRN
SOLE
5001000
0
0
II VI INC
NOTE 0.250% 9/0
902104AB4
664
725000
PRN
DFND
1
725000
0
0
II VI INC
NOTE 0.250% 9/0
902104AB4
558
609000
PRN
DFND
2
609000
0
0
II VI INC
NOTE 0.250% 9/0
902104AB4
1346
1470000
PRN
DFND
3
1470000
0
0
II VI INC
NOTE 0.250% 9/0
902104AB4
3873
4227000
PRN
SOLE
4227000
0
0
ILLUMINA INC
NOTE 0.500% 6/1
452327AH2
812
665000
PRN
DFND
1
665000
0
0
ILLUMINA INC
NOTE 0.500% 6/1
452327AH2
12152
9949000
PRN
SOLE
9949000
0
0
ILLUMINA INC
NOTE 8/1
452327AK5
689
720000
PRN
DFND
1
720000
0
0
ILLUMINA INC
NOTE 8/1
452327AK5
19342
20209000
PRN
SOLE
20209000
0
0
INPHI CORP
NOTE 0.750% 9/0
45772FAC1
5791
3949000
PRN
SOLE
3949000
0
0
INPHI CORP
NOTE 0.750% 9/0
45772FAC1
1210
825000
PRN
DFND
1
825000
0
0
INPHI CORP
NOTE 1.125%12/0
45772FAB3
38
19000
PRN
SOLE
19000
0
0
INSMED INC
NOTE 1.750% 1/1
457669AA7
4079
4881000
PRN
SOLE
4881000
0
0
INSMED INC
NOTE 1.750% 1/1
457669AA7
771
923000
PRN
DFND
3
923000
0
0
INSMED INC
NOTE 1.750% 1/1
457669AA7
196
235000
PRN
DFND
2
235000
0
0
INSMED INC
NOTE 1.750% 1/1
457669AA7
493
590000
PRN
DFND
1
590000
0
0
INSULET CORP
NOTE 1.375%11/1
45784PAH4
597
325000
PRN
DFND
1
325000
0
0
INSULET CORP
NOTE 1.375%11/1
45784PAH4
3951
2150000
PRN
SOLE
2150000
0
0
INTEL CORP
COM
458140100
523
9653
SH
SOLE
9653
0
0
INTERCEPT PHARMACEUTICALS IN
NOTE 2.000% 5/1
45845PAB4
851
1000000
PRN
DFND
1
1000000
0
0
INTERCEPT PHARMACEUTICALS IN
NOTE 2.000% 5/1
45845PAB4
4163
4896000
PRN
SOLE
4896000
0
0
INTERCONTINENTAL EXCHANGE IN
COM
45866F104
363
4516
SH
SOLE
4516
0
0
INTERNATIONAL BUSINESS MACHS
COM
459200101
223
2009
SH
SOLE
2009
0
0
INTERNATIONAL FLAVORS&FRAGRA
UNIT 09/15/2021
459506309
553
14500
SH
DFND
1
14500
0
0
INTERNATIONAL FLAVORS&FRAGRA
UNIT 09/15/2021
459506309
2856
74780
SH
SOLE
74780
0
0
IRONWOOD PHARMACEUTICALS INC
DBCV 2.250% 6/1
46333XAD0
555
527000
PRN
SOLE
527000
0
0
IRONWOOD PHARMACEUTICALS INC
DBCV 2.250% 6/1
46333XAD0
473
449000
PRN
DFND
2
449000
0
0
IRONWOOD PHARMACEUTICALS INC
DBCV 2.250% 6/1
46333XAD0
1288
1224000
PRN
DFND
3
1224000
0
0
ISHARES TR
1 3 YR TREAS BD
464287457
488
5622
SH
SOLE
5622
0
0
ISHARES TR
CORE S&P500 ETF
464287200
60447
233921
SH
SOLE
233921
0
0
ISHARES TR
CORE US AGGBD ET
464287226
27748
240544
SH
SOLE
240544
0
0
ISHARES TR
FLTG RATE NT ETF
46429B655
541
11074
SH
SOLE
11074
0
0
ISHARES TR
RUS 1000 VAL ETF
464287598
413
4162
SH
SOLE
4162
0
0
ISHARES TR
U.S. REAL ES ETF
464287739
992
14260
SH
SOLE
14260
0
0
ISHARES TR
U.S. TECH ETF
464287721
4795
23468
SH
SOLE
23468
0
0
ISHARES TR
US HLTHCARE ETF
464287762
2440
12993
SH
SOLE
12993
0
0
ISIS PHARMACEUTICALS INC DEL
NOTE 1.000%11/1
464337AJ3
610
606000
PRN
SOLE
606000
0
0
ISTAR INC
NOTE 3.125% 9/1
45031UCB5
328
335000
PRN
DFND
2
335000
0
0
ISTAR INC
NOTE 3.125% 9/1
45031UCB5
966
987000
PRN
DFND
3
987000
0
0
ISTAR INC
NOTE 3.125% 9/1
45031UCB5
419
428000
PRN
SOLE
428000
0
0
JAZZ INVESTMENTS I LTD
NOTE 1.875% 8/1
472145AB7
872
920000
PRN
DFND
3
920000
0
0
JAZZ INVESTMENTS I LTD
NOTE 1.875% 8/1
472145AB7
1025
1082000
PRN
SOLE
1082000
0
0
JAZZ INVESTMENTS I LTD
NOTE 1.875% 8/1
472145AB7
235
248000
PRN
DFND
2
248000
0
0
JOHNSON & JOHNSON
COM
478160104
821
6251
SH
SOLE
6251
0
0
JPMORGAN CHASE & CO
COM
46625H100
1005
11150
SH
SOLE
11150
0
0
KAMAN CORP
NOTE 3.250% 5/0
483548AF0
1116
1175000
PRN
DFND
1
1175000
0
0
KAMAN CORP
NOTE 3.250% 5/0
483548AF0
242
255000
PRN
DFND
2
255000
0
0
KAMAN CORP
NOTE 3.250% 5/0
483548AF0
683
719000
PRN
DFND
3
719000
0
0
KAMAN CORP
NOTE 3.250% 5/0
483548AF0
6058
6371000
PRN
SOLE
6371000
0
0
KBR INC
NOTE 2.500%11/0
48242WAB2
959
925000
PRN
DFND
1
925000
0
0
KBR INC
NOTE 2.500%11/0
48242WAB2
4020
3878000
PRN
SOLE
3878000
0
0
KIMBERLY CLARK CORP
COM
494368103
1111
8685
SH
SOLE
8685
0
0
KKR REAL ESTATE FIN TR INC
NOTE 6.125% 5/1
48251KAB6
265
323000
PRN
DFND
2
323000
0
0
KKR REAL ESTATE FIN TR INC
NOTE 6.125% 5/1
48251KAB6
726
885000
PRN
DFND
3
885000
0
0
KKR REAL ESTATE FIN TR INC
NOTE 6.125% 5/1
48251KAB6
855
1042000
PRN
SOLE
1042000
0
0
KNOWLES CORP
NOTE 3.250%11/0
49926DAB5
367
357000
PRN
DFND
2
357000
0
0
KNOWLES CORP
NOTE 3.250%11/0
49926DAB5
969
944000
PRN
DFND
3
944000
0
0
KNOWLES CORP
NOTE 3.250%11/0
49926DAB5
2390
2329000
PRN
SOLE
2329000
0
0
LIBERTY MEDIA CORP
DEB 3.500% 1/1
530715AN1
692
984000
PRN
DFND
2
984000
0
0
LIBERTY MEDIA CORP
DEB 3.500% 1/1
530715AN1
1772
2522000
PRN
DFND
3
2522000
0
0
LIBERTY MEDIA CORP
DEB 3.500% 1/1
530715AN1
699
994000
PRN
SOLE
994000
0
0
LIBERTY MEDIA CORP DEL
NOTE 1.000% 1/3
531229AF9
543
575000
PRN
DFND
1
575000
0
0
LIBERTY MEDIA CORP DEL
NOTE 1.000% 1/3
531229AF9
3355
3555000
PRN
SOLE
3555000
0
0
LIBERTY MEDIA CORP DEL
NOTE 1.375%10/1
531229AB8
1016
1075000
PRN
DFND
1
1075000
0
0
LIBERTY MEDIA CORP DEL
NOTE 1.375%10/1
531229AB8
4961
5247000
PRN
SOLE
5247000
0
0
LIGAND PHARMACEUTICALS INC
NOTE 0.750% 5/1
53220KAF5
678
821000
PRN
DFND
2
821000
0
0
LIGAND PHARMACEUTICALS INC
NOTE 0.750% 5/1
53220KAF5
1839
2227000
PRN
DFND
3
2227000
0
0
LIGAND PHARMACEUTICALS INC
NOTE 0.750% 5/1
53220KAF5
786
952000
PRN
SOLE
952000
0
0
LIVE NATION ENTERTAINMENT IN
NOTE 2.500% 3/1
538034AQ2
832
875000
PRN
DFND
1
875000
0
0
LIVE NATION ENTERTAINMENT IN
NOTE 2.500% 3/1
538034AQ2
4527
4757000
PRN
SOLE
4757000
0
0
LOCKHEED MARTIN CORP
COM
539830109
232
685
SH
SOLE
685
0
0
LOEWS CORP
COM
540424108
461
13232
SH
SOLE
13232
0
0
LUMENTUM HLDGS INC
NOTE 0.250% 3/1
55024UAB5
510
378000
PRN
SOLE
378000
0
0
MACQUARIE INFRASTRUCTURE COR
NOTE 2.000%10/0
55608BAB1
70
88000
PRN
SOLE
88000
0
0
MASTERCARD INC
CL A
57636Q104
670
2784
SH
SOLE
2784
0
0
MCDONALDS CORP
COM
580135101
372
2247
SH
SOLE
2247
0
0
MEDTRONIC PLC
SHS
G5960L103
301
3357
SH
SOLE
3357
0
0
MERCADOLIBRE INC
NOTE 2.000% 8/1
58733RAD4
581
446000
PRN
DFND
2
446000
0
0
MERCADOLIBRE INC
NOTE 2.000% 8/1
58733RAD4
1374
1054000
PRN
DFND
3
1054000
0
0
MERCADOLIBRE INC
NOTE 2.000% 8/1
58733RAD4
652
500000
PRN
SOLE
500000
0
0
MERCK & CO. INC
COM
58933Y105
514
6680
SH
SOLE
6680
0
0
MERITOR INC
NOTE 3.250%10/1
59001KAF7
777
916000
PRN
DFND
3
916000
0
0
MERITOR INC
NOTE 3.250%10/1
59001KAF7
5432
6397000
PRN
SOLE
6397000
0
0
MERITOR INC
NOTE 3.250%10/1
59001KAF7
294
346000
PRN
DFND
2
346000
0
0
MERITOR INC
NOTE 3.250%10/1
59001KAF7
900
1060000
PRN
DFND
1
1060000
0
0
MFA FINL INC
NOTE 6.250% 6/1
55272XAA0
630
1046000
PRN
DFND
3
1046000
0
0
MFA FINL INC
NOTE 6.250% 6/1
55272XAA0
712
1183000
PRN
SOLE
1183000
0
0
MFA FINL INC
NOTE 6.250% 6/1
55272XAA0
163
271000
PRN
DFND
2
271000
0
0
MICROCHIP TECHNOLOGY INC
NOTE 1.625% 2/1
595017AD6
1388
970000
PRN
DFND
1
970000
0
0
MICROCHIP TECHNOLOGY INC
NOTE 1.625% 2/1
595017AD6
7580
5299000
PRN
SOLE
5299000
0
0
MICROCHIP TECHNOLOGY INC
NOTE 1.625% 2/1
595017AF1
2412
2350000
PRN
DFND
1
2350000
0
0
MICROCHIP TECHNOLOGY INC
NOTE 1.625% 2/1
595017AF1
13789
13435000
PRN
SOLE
13435000
0
0
MICRON TECHNOLOGY INC
NOTE 3.125% 5/0
595112AX1
5438
1289000
PRN
SOLE
1289000
0
0
MICRON TECHNOLOGY INC
NOTE 3.125% 5/0
595112AX1
865
205000
PRN
DFND
1
205000
0
0
MICROSOFT CORP
COM
594918104
2654
16834
SH
SOLE
16834
0
0
MOMO INC
NOTE 1.250% 7/0
60879BAB3
643
806000
PRN
SOLE
806000
0
0
MOMO INC
NOTE 1.250% 7/0
60879BAB3
503
630000
PRN
DFND
2
630000
0
0
MOMO INC
NOTE 1.250% 7/0
60879BAB3
1448
1814000
PRN
DFND
3
1814000
0
0
MONGODB INC
NOTE 0.750% 6/1
60937PAB2
1609
784000
PRN
SOLE
784000
0
0
MONGODB INC
NOTE 0.750% 6/1
60937PAB2
479
233000
PRN
DFND
2
233000
0
0
MONGODB INC
NOTE 0.750% 6/1
60937PAB2
1454
708000
PRN
DFND
3
708000
0
0
NEUROCRINE BIOSCIENCES INC
NOTE 2.250% 5/1
64125CAD1
538
420000
PRN
DFND
1
420000
0
0
NEUROCRINE BIOSCIENCES INC
NOTE 2.250% 5/1
64125CAD1
206
161000
PRN
DFND
2
161000
0
0
NEUROCRINE BIOSCIENCES INC
NOTE 2.250% 5/1
64125CAD1
773
603000
PRN
DFND
3
603000
0
0
NEUROCRINE BIOSCIENCES INC
NOTE 2.250% 5/1
64125CAD1
4037
3150000
PRN
SOLE
3150000
0
0
NEW MTN FIN CORP
NOTE 5.750% 8/1
647551AC4
329
403000
PRN
DFND
2
403000
0
0
NEW MTN FIN CORP
NOTE 5.750% 8/1
647551AC4
913
1118000
PRN
DFND
3
1118000
0
0
NEW MTN FIN CORP
NOTE 5.750% 8/1
647551AC4
1167
1429000
PRN
SOLE
1429000
0
0
NEW RELIC INC
NOTE 0.500% 5/0
64829BAB6
604
718000
PRN
DFND
2
718000
0
0
NEW RELIC INC
NOTE 0.500% 5/0
64829BAB6
1460
1735000
PRN
DFND
3
1735000
0
0
NEW RELIC INC
NOTE 0.500% 5/0
64829BAB6
1091
1297000
PRN
SOLE
1297000
0
0
NEW YORK CMNTY CAP TR V
UNIT 11/01/2051
64944P307
1801
43588
SH
DFND
3
43588
0
0
NEW YORK CMNTY CAP TR V
UNIT 11/01/2051
64944P307
812
19658
SH
SOLE
19658
0
0
NEW YORK CMNTY CAP TR V
UNIT 11/01/2051
64944P307
651
15754
SH
DFND
2
15754
0
0
NEW YORK MTG TR INC
NOTE 6.250% 1/1
649604AD7
508
1270000
PRN
DFND
3
1270000
0
0
NEW YORK MTG TR INC
NOTE 6.250% 1/1
649604AD7
617
1542000
PRN
SOLE
1542000
0
0
NEW YORK MTG TR INC
NOTE 6.250% 1/1
649604AD7
175
438000
PRN
DFND
2
438000
0
0
NEXTERA ENERGY INC
UNIT 09/01/2022S
65339F796
1376
28000
SH
DFND
1
28000
0
0
NEXTERA ENERGY INC
UNIT 09/01/2022S
65339F796
10170
206910
SH
SOLE
206910
0
0
NEXTERA ENERGY INC
UNIT 99/99/9999
65339F770
1720
39000
SH
DFND
1
39000
0
0
NEXTERA ENERGY INC
UNIT 99/99/9999
65339F770
7983
181005
SH
SOLE
181005
0
0
NICE SYS INC
NOTE 1.250% 1/1
65366HAB9
1410
801000
PRN
SOLE
801000
0
0
NIKE INC
CL B
654106103
232
2800
SH
SOLE
2800
0
0
NOVELLUS SYS INC
NOTE 2.625% 5/1
670008AD3
904
120000
PRN
DFND
1
120000
0
0
NOVELLUS SYS INC
NOTE 2.625% 5/1
670008AD3
19665
2609000
PRN
SOLE
2609000
0
0
NRG ENERGY INC
DBCV 2.750% 6/0
629377CG5
1342
1407000
PRN
SOLE
1407000
0
0
NRG ENERGY INC
DBCV 2.750% 6/0
629377CG5
1338
1405000
PRN
DFND
3
1405000
0
0
NRG ENERGY INC
DBCV 2.750% 6/0
629377CG5
555
583000
PRN
DFND
2
583000
0
0
NUANCE COMMUNICATIONS INC
DBCV 1.000%12/1
67020YAK6
761
797000
PRN
DFND
3
797000
0
0
NUANCE COMMUNICATIONS INC
DBCV 1.000%12/1
67020YAK6
760
796000
PRN
SOLE
796000
0
0
NUANCE COMMUNICATIONS INC
DBCV 1.000%12/1
67020YAK6
321
336000
PRN
DFND
2
336000
0
0
NUANCE COMMUNICATIONS INC
NOTE 1.250% 4/0
67020YAN0
1184
1100000
PRN
DFND
1
1100000
0
0
NUANCE COMMUNICATIONS INC
NOTE 1.250% 4/0
67020YAN0
5853
5435000
PRN
SOLE
5435000
0
0
NUTANIX INC
NOTE 1/1
67059NAB4
227
276000
PRN
SOLE
276000
0
0
NUVASIVE INC
NOTE 2.250% 3/1
670704AG0
526
506000
PRN
SOLE
506000
0
0
NVIDIA CORP
COM
67066G104
421
1599
SH
SOLE
1599
0
0
ON SEMICONDUCTOR CORP
NOTE 1.000%12/0
682189AK1
6151
6187000
PRN
SOLE
6187000
0
0
ON SEMICONDUCTOR CORP
NOTE 1.625%10/1
682189AP0
220
221000
PRN
DFND
2
221000
0
0
ON SEMICONDUCTOR CORP
NOTE 1.625%10/1
682189AP0
648
652000
PRN
DFND
3
652000
0
0
ON SEMICONDUCTOR CORP
NOTE 1.625%10/1
682189AP0
2300
2314000
PRN
SOLE
2314000
0
0
ORACLE CORP
COM
68389X105
270
5604
SH
SOLE
5604
0
0
OSI SYSTEMS INC
NOTE 1.250% 9/0
671044AD7
1187
1288000
PRN
DFND
3
1288000
0
0
OSI SYSTEMS INC
NOTE 1.250% 9/0
671044AD7
3977
4308000
PRN
SOLE
4308000
0
0
OSI SYSTEMS INC
NOTE 1.250% 9/0
671044AD7
761
825000
PRN
DFND
1
825000
0
0
OSI SYSTEMS INC
NOTE 1.250% 9/0
671044AD7
441
478000
PRN
DFND
2
478000
0
0
PALO ALTO NETWORKS INC
NOTE 0.750% 7/0
697435AD7
1460
1525000
PRN
DFND
1
1525000
0
0
PALO ALTO NETWORKS INC
NOTE 0.750% 7/0
697435AD7
332
347000
PRN
DFND
2
347000
0
0
PALO ALTO NETWORKS INC
NOTE 0.750% 7/0
697435AD7
800
836000
PRN
DFND
3
836000
0
0
PALO ALTO NETWORKS INC
NOTE 0.750% 7/0
697435AD7
12630
13188000
PRN
SOLE
13188000
0
0
PAYPAL HLDGS INC
COM
70450Y103
347
3640
SH
SOLE
3640
0
0
PENNYMAC CORP
NOTE 5.375% 5/0
70932AAB9
331
344000
PRN
DFND
2
344000
0
0
PENNYMAC CORP
NOTE 5.375% 5/0
70932AAB9
499
519000
PRN
DFND
3
519000
0
0
PENNYMAC CORP
NOTE 5.375% 5/0
70932AAB9
1093
1137000
PRN
SOLE
1137000
0
0
PEPSICO INC
COM
713448108
424
3535
SH
SOLE
3535
0
0
PERFICIENT INC
NOTE 2.375% 9/1
71375UAB7
920
966000
PRN
DFND
3
966000
0
0
PERFICIENT INC
NOTE 2.375% 9/1
71375UAB7
352
369000
PRN
DFND
2
369000
0
0
PERFICIENT INC
NOTE 2.375% 9/1
71375UAB7
762
800000
PRN
DFND
1
800000
0
0
PERFICIENT INC
NOTE 2.375% 9/1
71375UAB7
3831
4020000
PRN
SOLE
4020000
0
0
PFIZER INC
COM
717081103
633
19483
SH
SOLE
19483
0
0
PORTFOLIO RECOVERY ASSOCS IN
NOTE 3.000% 8/0
73640QAB1
297
306000
PRN
DFND
2
306000
0
0
PORTFOLIO RECOVERY ASSOCS IN
NOTE 3.000% 8/0
73640QAB1
715
737000
PRN
DFND
3
737000
0
0
PORTFOLIO RECOVERY ASSOCS IN
NOTE 3.000% 8/0
73640QAB1
929
957000
PRN
SOLE
957000
0
0
PRA GROUP INC
NOTE 3.500% 6/0
69354NAB2
822
950000
PRN
DFND
1
950000
0
0
PRA GROUP INC
NOTE 3.500% 6/0
69354NAB2
409
473000
PRN
DFND
2
473000
0
0
PRA GROUP INC
NOTE 3.500% 6/0
69354NAB2
1086
1255000
PRN
DFND
3
1255000
0
0
PRA GROUP INC
NOTE 3.500% 6/0
69354NAB2
5047
5835000
PRN
SOLE
5835000
0
0
PRICELINE GRP INC
NOTE 0.350% 6/1
741503AS5
952
860000
PRN
DFND
1
860000
0
0
PRICELINE GRP INC
NOTE 0.350% 6/1
741503AS5
11426
10326000
PRN
SOLE
10326000
0
0
PRICELINE GRP INC
NOTE 0.900% 9/1
741503AX4
25545
25619000
PRN
SOLE
25619000
0
0
PRICELINE GRP INC
NOTE 0.900% 9/1
741503AX4
673
675000
PRN
DFND
1
675000
0
0
PROCTER & GAMBLE CO
COM
742718109
776
7058
SH
SOLE
7058
0
0
Q2 HLDGS INC
NOTE 0.750% 2/1
74736LAB5
353
299000
PRN
SOLE
299000
0
0
QTS RLTY TR INC
6.50% CON PFD B
74736A301
606
4625
SH
DFND
1
4625
0
0
QTS RLTY TR INC
6.50% CON PFD B
74736A301
655
4994
SH
DFND
2
4994
0
0
QTS RLTY TR INC
6.50% CON PFD B
74736A301
1267
9664
SH
DFND
3
9664
0
0
QTS RLTY TR INC
6.50% CON PFD B
74736A301
3425
26141
SH
SOLE
26141
0
0
RADIUS HEALTH INC
NOTE 3.000% 9/0
750469AA6
457
647000
PRN
DFND
2
647000
0
0
RADIUS HEALTH INC
NOTE 3.000% 9/0
750469AA6
1251
1771000
PRN
DFND
3
1771000
0
0
RADIUS HEALTH INC
NOTE 3.000% 9/0
750469AA6
587
832000
PRN
SOLE
832000
0
0
RAMBUS INC DEL
NOTE 1.375% 2/0
750917AG1
361
375000
PRN
SOLE
375000
0
0
RAPID7 INC
NOTE 1.250% 8/0
753422AB0
267
220000
PRN
DFND
2
220000
0
0
RAPID7 INC
NOTE 1.250% 8/0
753422AB0
665
549000
PRN
DFND
3
549000
0
0
RAPID7 INC
NOTE 1.250% 8/0
753422AB0
280
231000
PRN
SOLE
231000
0
0
RAYTHEON CO
COM NEW
755111507
274
2086
SH
SOLE
2086
0
0
REALPAGE INC
NOTE 1.500%11/1
75606NAB5
150
110000
PRN
DFND
2
110000
0
0
REALPAGE INC
NOTE 1.500%11/1
75606NAB5
468
343000
PRN
SOLE
343000
0
0
REALPAGE INC
NOTE 1.500%11/1
75606NAB5
406
297000
PRN
DFND
3
297000
0
0
REDFIN CORP
NOTE 1.750% 7/1
75737FAA6
529
583000
PRN
SOLE
583000
0
0
REPLIGEN CORP
NOTE 0.375% 7/1
759916AB5
974
925000
PRN
DFND
1
925000
0
0
REPLIGEN CORP
NOTE 0.375% 7/1
759916AB5
4649
4414000
PRN
SOLE
4414000
0
0
RETROPHIN INC
NOTE 2.500% 9/1
761299AB2
281
368000
PRN
DFND
2
368000
0
0
RETROPHIN INC
NOTE 2.500% 9/1
761299AB2
725
949000
PRN
DFND
3
949000
0
0
RETROPHIN INC
NOTE 2.500% 9/1
761299AB2
942
1233000
PRN
SOLE
1233000
0
0
RH
NOTE 6/1
74967XAA1
990
1230000
PRN
DFND
1
1230000
0
0
RH
NOTE 6/1
74967XAA1
5279
6556000
PRN
SOLE
6556000
0
0
RINGCENTRAL INC
NOTE 3/1
76680RAD9
1105
427000
PRN
DFND
1
427000
0
0
RINGCENTRAL INC
NOTE 3/1
76680RAD9
6390
2470000
PRN
SOLE
2470000
0
0
SALESFORCE COM INC
COM
79466L302
342
2374
SH
SOLE
2374
0
0
SAREPTA THERAPEUTICS INC
DBCV 1.500%11/1
803607AB6
662
436000
PRN
DFND
1
436000
0
0
SAREPTA THERAPEUTICS INC
DBCV 1.500%11/1
803607AB6
3910
2573000
PRN
SOLE
2573000
0
0
SEACOR HOLDINGS INC
NOTE 3.000%11/1
81170YAB5
148
150000
PRN
SOLE
150000
0
0
SEACOR HOLDINGS INC
NOTE 3.250% 5/1
811904AN1
527
694000
PRN
DFND
2
694000
0
0
SEACOR HOLDINGS INC
NOTE 3.250% 5/1
811904AN1
1442
1900000
PRN
DFND
3
1900000
0
0
SEACOR HOLDINGS INC
NOTE 3.250% 5/1
811904AN1
1523
2006000
PRN
SOLE
2006000
0
0
SELECT SECTOR SPDR TR
SBI INT-UTILS
81369Y886
1372
24750
SH
SOLE
24750
0
0
SEMPRA ENERGY
6% PFD CONV A
816851406
1830
19500
SH
DFND
1
19500
0
0
SEMPRA ENERGY
6% PFD CONV A
816851406
8901
94852
SH
SOLE
94852
0
0
SERVICENOW INC
COM
81762P102
234
814
SH
SOLE
814
0
0
SERVICENOW INC
NOTE 6/0
81762PAC6
1309
615000
PRN
DFND
1
615000
0
0
SERVICENOW INC
NOTE 6/0
81762PAC6
8602
4041000
PRN
SOLE
4041000
0
0
SHIP FIN INTL LTD
NOTE 4.875% 5/0
824689AG8
1102
1217000
PRN
SOLE
1217000
0
0
SHIP FIN INTL LTD
NOTE 4.875% 5/0
824689AG8
304
336000
PRN
DFND
2
336000
0
0
SHIP FIN INTL LTD
NOTE 4.875% 5/0
824689AG8
857
947000
PRN
DFND
3
947000
0
0
SILICON LABORATORIES INC
NOTE 1.375% 3/0
826919AB8
2607
2358000
PRN
SOLE
2358000
0
0
SILICON LABORATORIES INC
NOTE 1.375% 3/0
826919AB8
304
275000
PRN
DFND
1
275000
0
0
SOUTHERN CO
UNIT 08/01/2022
842587602
1328
28875
SH
DFND
1
28875
0
0
SOUTHERN CO
UNIT 08/01/2022
842587602
7333
159500
SH
SOLE
159500
0
0
SPDR SER TR
BLMBRG BRC CNVRT
78464A359
7365
153929
SH
SOLE
153929
0
0
SPIRIT RLTY CAP INC NEW
NOTE 3.750% 5/1
84860WAB8
613
660000
PRN
SOLE
660000
0
0
SPLUNK INC
NOTE 0.500% 9/1
848637AC8
2039
1900000
PRN
DFND
1
1900000
0
0
SPLUNK INC
NOTE 0.500% 9/1
848637AC8
12801
11930000
PRN
SOLE
11930000
0
0
SPLUNK INC
NOTE 1.125% 9/1
848637AD6
385
352000
PRN
DFND
2
352000
0
0
SPLUNK INC
NOTE 1.125% 9/1
848637AD6
1108
1014000
PRN
DFND
3
1014000
0
0
SPLUNK INC
NOTE 1.125% 9/1
848637AD6
2091
1915000
PRN
SOLE
1915000
0
0
SQUARE INC
NOTE 0.500% 5/1
852234AD5
1481
1435000
PRN
DFND
3
1435000
0
0
SQUARE INC
NOTE 0.500% 5/1
852234AD5
11215
10866000
PRN
SOLE
10866000
0
0
SQUARE INC
NOTE 0.500% 5/1
852234AD5
1419
1375000
PRN
DFND
1
1375000
0
0
SQUARE INC
NOTE 0.500% 5/1
852234AD5
613
594000
PRN
DFND
2
594000
0
0
STANLEY BLACK & DECKER INC
UNIT 05/15/2020
854502887
1326
18250
SH
SOLE
18250
0
0
STANLEY BLACK & DECKER INC
UNIT 11/15/2022
854502846
1569
22425
SH
DFND
1
22425
0
0
STANLEY BLACK & DECKER INC
UNIT 11/15/2022
854502846
7857
112251
SH
SOLE
112251
0
0
STARWOOD PPTY TR INC
NOTE 4.375% 4/0
85571BAH8
474
572000
PRN
SOLE
572000
0
0
SUNPOWER CORP
DBCV 4.000% 1/1
867652AL3
1832
2207000
PRN
DFND
3
2207000
0
0
SUNPOWER CORP
DBCV 4.000% 1/1
867652AL3
2104
2534000
PRN
SOLE
2534000
0
0
SUNPOWER CORP
DBCV 4.000% 1/1
867652AL3
630
759000
PRN
DFND
2
759000
0
0
SYNAPTICS INC
NOTE 0.500% 6/1
87157DAD1
7872
7572000
PRN
SOLE
7572000
0
0
SYNAPTICS INC
NOTE 0.500% 6/1
87157DAD1
1076
1035000
PRN
DFND
1
1035000
0
0
TELADOC HEALTH INC
NOTE 1.375% 5/1
87918AAC9
1625
560000
PRN
DFND
1
560000
0
0
TELADOC HEALTH INC
NOTE 1.375% 5/1
87918AAC9
6907
2380000
PRN
SOLE
2380000
0
0
TELADOC HEALTH INC
NOTE 3.000%12/1
87918AAB1
1017
287000
PRN
SOLE
287000
0
0
TERADYNE INC
NOTE 1.250%12/1
880770AG7
4776
2669000
PRN
SOLE
2669000
0
0
TERADYNE INC
NOTE 1.250%12/1
880770AG7
725
405000
PRN
DFND
1
405000
0
0
TESLA INC
NOTE 1.250% 3/0
88160RAC5
469
300000
PRN
DFND
1
300000
0
0
TESLA INC
NOTE 1.250% 3/0
88160RAC5
3853
2462000
PRN
SOLE
2462000
0
0
TESLA INC
NOTE 2.000% 5/1
88160RAG6
2426
1330000
PRN
DFND
1
1330000
0
0
TESLA INC
NOTE 2.000% 5/1
88160RAG6
11881
6515000
PRN
SOLE
6515000
0
0
TESLA INC
NOTE 2.375% 3/1
88160RAD3
2028
1185000
PRN
DFND
1
1185000
0
0
TESLA INC
NOTE 2.375% 3/1
88160RAD3
808
472000
PRN
DFND
2
472000
0
0
TESLA INC
NOTE 2.375% 3/1
88160RAD3
1773
1036000
PRN
DFND
3
1036000
0
0
TESLA INC
NOTE 2.375% 3/1
88160RAD3
8913
5209000
PRN
SOLE
5209000
0
0
THERAVANCE BIOPHARMA INC
NOTE 3.250%11/0
88339KAA0
309
322000
PRN
DFND
2
322000
0
0
THERAVANCE BIOPHARMA INC
NOTE 3.250%11/0
88339KAA0
932
971000
PRN
DFND
3
971000
0
0
THERAVANCE BIOPHARMA INC
NOTE 3.250%11/0
88339KAA0
1102
1147000
PRN
SOLE
1147000
0
0
THERAVANCE INC
NOTE 2.125% 1/1
88338TAB0
519
558000
PRN
DFND
2
558000
0
0
THERAVANCE INC
NOTE 2.125% 1/1
88338TAB0
1420
1527000
PRN
DFND
3
1527000
0
0
THERAVANCE INC
NOTE 2.125% 1/1
88338TAB0
665
715000
PRN
SOLE
715000
0
0
THERMO FISHER SCIENTIFIC INC
COM
883556102
425
1496
SH
SOLE
1496
0
0
TJX COS INC NEW
COM
872540109
286
5956
SH
SOLE
5956
0
0
TWILIO INC
NOTE 0.250% 6/0
90138FAB8
474
340000
PRN
DFND
1
340000
0
0
TWILIO INC
NOTE 0.250% 6/0
90138FAB8
2100
1506000
PRN
SOLE
1506000
0
0
TWITTER INC
NOTE 0.250% 6/1
90184LAF9
1067
1200000
PRN
DFND
1
1200000
0
0
TWITTER INC
NOTE 0.250% 6/1
90184LAF9
9769
10992000
PRN
SOLE
10992000
0
0
TWO HBRS INVT CORP
NOTE 6.250% 1/1
90187BAA9
1695
2068000
PRN
SOLE
2068000
0
0
TWO HBRS INVT CORP
NOTE 6.250% 1/1
90187BAA9
544
664000
PRN
DFND
2
664000
0
0
TWO HBRS INVT CORP
NOTE 6.250% 1/1
90187BAA9
1040
1268000
PRN
DFND
3
1268000
0
0
UNION PAC CORP
COM
907818108
407
2877
SH
SOLE
2877
0
0
UNITEDHEALTH GROUP INC
COM
91324P102
852
3424
SH
SOLE
3424
0
0
VERIZON COMMUNICATIONS INC
COM
92343V104
627
11683
SH
SOLE
11683
0
0
VIAVI SOLUTIONS INC
NOTE 1.000% 3/0
925550AB1
1107
1050000
PRN
DFND
1
1050000
0
0
VIAVI SOLUTIONS INC
NOTE 1.000% 3/0
925550AB1
5563
5279000
PRN
SOLE
5279000
0
0
VISA INC
COM CL A
92826C839
618
3832
SH
SOLE
3832
0
0
VISHAY INTERTECHNOLOGY INC
NOTE 2.250% 6/1
928298AP3
5734
6456000
PRN
SOLE
6456000
0
0
VISHAY INTERTECHNOLOGY INC
NOTE 2.250% 6/1
928298AP3
917
1033000
PRN
DFND
3
1033000
0
0
VISHAY INTERTECHNOLOGY INC
NOTE 2.250% 6/1
928298AP3
345
389000
PRN
DFND
2
389000
0
0
VISHAY INTERTECHNOLOGY INC
NOTE 2.250% 6/1
928298AP3
688
775000
PRN
DFND
1
775000
0
0
WALMART INC
COM
931142103
287
2532
SH
SOLE
2532
0
0
WAYFAIR INC
NOTE 0.375% 9/0
94419LAB7
289
376000
PRN
SOLE
376000
0
0
WAYFAIR INC
NOTE 1.125%11/0
94419LAD3
3184
4660000
PRN
SOLE
4660000
0
0
WEIBO CORP
NOTE 1.250%11/1
948596AC5
598
708000
PRN
DFND
2
708000
0
0
WEIBO CORP
NOTE 1.250%11/1
948596AC5
1289
1525000
PRN
DFND
3
1525000
0
0
WEIBO CORP
NOTE 1.250%11/1
948596AC5
648
767000
PRN
SOLE
767000
0
0
WELLPOINT INC
NOTE 2.750%10/1
94973VBG1
947
300000
PRN
DFND
1
300000
0
0
WELLPOINT INC
NOTE 2.750%10/1
94973VBG1
17244
5460000
PRN
SOLE
5460000
0
0
WELLS FARGO CO NEW
PERP PFD CNV A
949746804
4166
3270
SH
DFND
1
3270
0
0
WELLS FARGO CO NEW
PERP PFD CNV A
949746804
25124
19719
SH
SOLE
19719
0
0
WESTERN ASSET MTG CAP CORP
NOTE 6.750%10/0
95790DAA3
228
491000
PRN
DFND
2
491000
0
0
WESTERN ASSET MTG CAP CORP
NOTE 6.750%10/0
95790DAA3
611
1318000
PRN
DFND
3
1318000
0
0
WESTERN ASSET MTG CAP CORP
NOTE 6.750%10/0
95790DAA3
790
1703000
PRN
SOLE
1703000
0
0
WESTERN DIGITAL CORP.
NOTE 1.500% 2/0
958102AP0
10911
12545000
PRN
SOLE
12545000
0
0
WORKDAY INC
NOTE 0.250%10/0
98138HAF8
1539
1390000
PRN
DFND
1
1390000
0
0
WORKDAY INC
NOTE 0.250%10/0
98138HAF8
233
210000
PRN
DFND
2
210000
0
0
WORKDAY INC
NOTE 0.250%10/0
98138HAF8
624
563000
PRN
DFND
3
563000
0
0
WORKDAY INC
NOTE 0.250%10/0
98138HAF8
8558
7727000
PRN
SOLE
7727000
0
0
WRIGHT MED GROUP N V
NOTE 2.250%11/1
98236JAB4
286
208000
PRN
DFND
2
208000
0
0
WRIGHT MED GROUP N V
NOTE 2.250%11/1
98236JAB4
675
491000
PRN
DFND
3
491000
0
0
WRIGHT MED GROUP N V
NOTE 2.250%11/1
98236JAB4
70
51000
PRN
SOLE
51000
0
0
ZENDESK INC
NOTE 0.250% 3/1
98936JAB7
673
570000
PRN
DFND
1
570000
0
0
ZENDESK INC
NOTE 0.250% 3/1
98936JAB7
4177
3534000
PRN
SOLE
3534000
0
0
ZILLOW GROUP INC
NOTE 1.500% 7/0
98954MAC5
291
352000
PRN
SOLE
352000
0
0
ZILLOW GROUP INC
NOTE 2.000%12/0
98954MAB7
151
150000
PRN
SOLE
150000
0
0