0001172661-21-000329.txt : 20210211 0001172661-21-000329.hdr.sgml : 20210211 20210211151405 ACCESSION NUMBER: 0001172661-21-000329 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20201231 FILED AS OF DATE: 20210211 DATE AS OF CHANGE: 20210211 EFFECTIVENESS DATE: 20210211 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: 21619138 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 12-31-2020 12-31-2020 false SSI INVESTMENT MANAGEMENT LLC

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

13F HOLDINGS REPORT 028-04720 N Syed Mehdi 310-595-2001 /s/ Syed Mehdi Beverly Hills CA 02-11-2021 3 487 1401214 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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CORP DEL NOTE 1.000% 1/3 531229AF9 6881 5400000 PRN SOLE 5400000 0 0 LIBERTY MEDIA CORP DEL NOTE 1.375%10/1 531229AB8 6442 5097000 PRN SOLE 5097000 0 0 LIBERTY MEDIA CORP DEL NOTE 1.375%10/1 531229AB8 1264 1000000 PRN DFND 1 1000000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 749 796000 PRN DFND 2 796000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 2395 2545000 PRN DFND 3 2545000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 244 259000 PRN SOLE 259000 0 0 LINDE PLC SHS G5494J103 231 869 SH SOLE 869 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 1781 1380000 PRN DFND 1 1380000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 8704 6741000 PRN SOLE 6741000 0 0 LOCKHEED MARTIN CORP COM 539830109 237 659 SH SOLE 659 0 0 LOEWS CORP COM 540424108 596 13232 SH SOLE 13232 0 0 LOWES COS INC COM 548661107 204 1267 SH SOLE 1267 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 19551 16034000 PRN SOLE 16034000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 3689 3025000 PRN DFND 1 3025000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 694 569000 PRN DFND 2 569000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 2141 1756000 PRN DFND 3 1756000 0 0 MACQUARIE INFRASTRUCTURE COR NOTE 2.000%10/0 55608BAB1 59 59000 PRN SOLE 59000 0 0 MARCUS CORP DEL COM 566330106 150 11057 SH SOLE 11057 0 0 MARRIOTT VACTINS WORLDWID CO NOTE 1.500% 9/1 57164YAB3 724 640000 PRN SOLE 640000 0 0 MASTERCARD INCORPORATED CL A 57636Q104 550 1543 SH SOLE 1543 0 0 MCDONALDS CORP COM 580135101 463 2154 SH SOLE 2154 0 0 MEDTRONIC PLC SHS G5960L103 378 3235 SH SOLE 3235 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 4056 1070000 PRN DFND 1 1070000 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 14336 3781000 PRN SOLE 3781000 0 0 MERCK & CO. INC COM 58933Y105 525 6403 SH SOLE 6403 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 1463 1275000 PRN DFND 1 1275000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 397 346000 PRN DFND 2 346000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 865 754000 PRN DFND 3 754000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 8119 7075000 PRN SOLE 7075000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1160 1166000 PRN SOLE 1166000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 2301 2313000 PRN DFND 3 2313000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 907 912000 PRN DFND 2 912000 0 0 MICROCHIP TECHNOLOGY INC. NOTE 1.625% 2/1 595017AD6 33 11000 PRN SOLE 11000 0 0 MICROCHIP TECHNOLOGY INC. NOTE 1.625% 2/1 595017AF1 4318 2135000 PRN DFND 1 2135000 0 0 MICROCHIP TECHNOLOGY INC. NOTE 1.625% 2/1 595017AF1 21096 10431000 PRN SOLE 10431000 0 0 MICRON TECHNOLOGY INC NOTE 3.125% 5/0 595112AX1 828 110000 PRN DFND 1 110000 0 0 MICRON TECHNOLOGY INC NOTE 3.125% 5/0 595112AX1 5103 677000 PRN SOLE 677000 0 0 MICROSOFT CORP COM 594918104 3613 16239 SH SOLE 16239 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 733 878000 PRN DFND 2 878000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 2091 2504000 PRN DFND 3 2504000 0 0 MOMO INC NOTE 1.250% 7/0 60879BAB3 265 318000 PRN SOLE 318000 0 0 NETFLIX INC COM 64110L106 341 629 SH SOLE 629 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 288 209000 PRN SOLE 209000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 190 184000 PRN SOLE 184000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 427 416000 PRN DFND 2 416000 0 0 NEW MTN FIN CORP NOTE 5.750% 8/1 647551AC4 1284 1250000 PRN DFND 3 1250000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 166 169000 PRN SOLE 169000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 703 718000 PRN DFND 2 718000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 2070 2113000 PRN DFND 3 2113000 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 769 16768 SH DFND 2 16768 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 1810 39483 SH DFND 3 39483 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 225 4907 SH SOLE 4907 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 634 644000 PRN DFND 2 644000 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 1450 1472000 PRN DFND 3 1472000 0 0 NEW YORK MTG TR INC NOTE 6.250% 1/1 649604AD7 293 297000 PRN SOLE 297000 0 0 NEXTERA ENERGY INC UNIT 09/01/2022S 65339F796 4607 78350 SH SOLE 78350 0 0 NEXTERA ENERGY INC UNIT 99/99/9999 65339F770 763 15000 SH DFND 1 15000 0 0 NEXTERA ENERGY INC UNIT 99/99/9999 65339F770 8010 157485 SH SOLE 157485 0 0 NICE SYS INC NOTE 1.250% 1/1 65366HAB9 1983 583000 PRN SOLE 583000 0 0 NIKE INC CL B 654106103 381 2696 SH SOLE 2696 0 0 NORWEGIAN CRUISE LINE HLDG L SHS G66721104 220 8575 SH SOLE 8575 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 311 247000 PRN DFND 2 247000 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 534 424000 PRN DFND 3 424000 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 99 79000 PRN SOLE 79000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 592 40000 PRN DFND 1 40000 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 8727 589000 PRN SOLE 589000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 740 651000 PRN DFND 2 651000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 2146 1889000 PRN DFND 3 1889000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 238 210000 PRN SOLE 210000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 2364 1270000 PRN DFND 1 1270000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 739 397000 PRN DFND 2 397000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 1528 821000 PRN DFND 3 821000 0 0 NUANCE COMMUNICATIONS INC DBCV 1.000%12/1 67020YAK6 10467 5623000 PRN SOLE 5623000 0 0 NUANCE COMMUNICATIONS INC NOTE 1.250% 4/0 67020YAN0 2150 945000 PRN SOLE 945000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AG0 371 371000 PRN SOLE 371000 0 0 NVIDIA CORPORATION COM 67066G104 675 1293 SH SOLE 1293 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 2865 1925000 PRN DFND 1 1925000 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 12622 8481000 PRN SOLE 8481000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 15086 8929000 PRN SOLE 8929000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 2789 1650000 PRN DFND 1 1650000 0 0 ORACLE CORP COM 68389X105 347 5363 SH SOLE 5363 0 0 OREILLY AUTOMOTIVE INC COM 67103H107 201 444 SH SOLE 444 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 244 229000 PRN SOLE 229000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 743 696000 PRN DFND 2 696000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 2294 2150000 PRN DFND 3 2150000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 23203 16450000 PRN SOLE 16450000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 1715 1216000 PRN DFND 3 1216000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 4104 2910000 PRN DFND 1 2910000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 801 568000 PRN DFND 2 568000 0 0 PARKER-HANNIFIN CORP COM 701094104 223 818 SH SOLE 818 0 0 PAYPAL HLDGS INC COM 70450Y103 817 3489 SH SOLE 3489 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 1072 1012000 PRN DFND 1 1012000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 5229 4938000 PRN SOLE 4938000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 138 130000 PRN DFND 3 130000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 53 50000 PRN DFND 2 50000 0 0 PENN NATL GAMING INC NOTE 2.750% 5/1 707569AU3 1754 465000 PRN DFND 1 465000 0 0 PENN NATL GAMING INC NOTE 2.750% 5/1 707569AU3 8606 2281000 PRN SOLE 2281000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 1066 1085000 PRN DFND 2 1085000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 2634 2681000 PRN DFND 3 2681000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 227 231000 PRN SOLE 231000 0 0 PEPSICO INC COM 713448108 504 3405 SH SOLE 3405 0 0 PERKINELMER INC COM 714046109 310 2163 SH SOLE 2163 0 0 PFIZER INC COM 717081103 691 18792 SH SOLE 18792 0 0 PINDUODUO INC NOTE 12/0 722304AC6 3774 3060000 PRN DFND 1 3060000 0 0 PINDUODUO INC NOTE 12/0 722304AC6 16680 13524000 PRN SOLE 13524000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 263 242000 PRN SOLE 242000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 852 785000 PRN DFND 2 785000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 2140 1973000 PRN DFND 3 1973000 0 0 PRICELINE GRP INC NOTE 0.900% 9/1 741503AX4 10790 9310000 PRN SOLE 9310000 0 0 PROCTER AND GAMBLE CO COM 742718109 946 6801 SH SOLE 6801 0 0 PROSPECT CAP CORP NOTE 6.375% 3/0 74348TAT9 8774 8545000 PRN SOLE 8545000 0 0 PURE STORAGE INC NOTE 0.125% 4/1 74624MAB8 566 515000 PRN DFND 1 515000 0 0 PURE STORAGE INC NOTE 0.125% 4/1 74624MAB8 2717 2474000 PRN SOLE 2474000 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 766 500000 PRN DFND 2 500000 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 2049 1338000 PRN DFND 3 1338000 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 1261 822000 PRN SOLE 822000 0 0 QUALCOMM INC COM 747525103 267 1764 SH SOLE 1764 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 720 806000 PRN DFND 2 806000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 1284 1436000 PRN DFND 3 1436000 0 0 RADIUS HEALTH INC NOTE 3.000% 9/0 750469AA6 230 258000 PRN SOLE 258000 0 0 RAMBUS INC DEL NOTE 1.375% 2/0 750917AG1 420 375000 PRN SOLE 375000 0 0 REALPAGE INC NOTE 1.500% 5/1 75606NAC3 651 508000 PRN SOLE 508000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 1108 1174000 PRN SOLE 1174000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 2569 2724000 PRN DFND 3 2724000 0 0 REDWOOD TR INC NOTE 4.750% 8/1 758075AC9 833 883000 PRN DFND 2 883000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 1619 925000 PRN DFND 1 925000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 8151 4655000 PRN SOLE 4655000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 480 476000 PRN DFND 2 476000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 826 819000 PRN DFND 3 819000 0 0 RETROPHIN INC NOTE 2.500% 9/1 761299AB2 196 194000 PRN SOLE 194000 0 0 RH NOTE 6/1 74967XAA1 1875 800000 PRN DFND 1 800000 0 0 RH NOTE 6/1 74967XAA1 9980 4259000 PRN SOLE 4259000 0 0 RINGCENTRAL INC NOTE 3/1 76680RAD9 427 91000 PRN SOLE 91000 0 0 SALESFORCE COM INC COM 79466L302 351 1569 SH SOLE 1569 0 0 SAREPTA THERAPEUTICS INC COM 803607100 247 1437 SH SOLE 1437 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 2820 1150000 PRN DFND 1 1150000 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 12902 5262000 PRN SOLE 5262000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 473 489000 PRN DFND 2 489000 0 0 SEACOR HOLDINGS INC NOTE 3.250% 5/1 811904AN1 1463 1511000 PRN DFND 3 1511000 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1489 23728 SH SOLE 23728 0 0 SERVICENOW INC COM 81762P102 303 551 SH SOLE 551 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 1549 380000 PRN DFND 1 380000 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 7985 1959000 PRN SOLE 1959000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 347 394000 PRN DFND 2 394000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 1073 1218000 PRN DFND 3 1218000 0 0 SHIP FIN INTL LTD NOTE 4.875% 5/0 824689AG8 122 138000 PRN SOLE 138000 0 0 SHOPIFY INC NOTE 0.125%11/0 82509LAA5 1395 1185000 PRN DFND 1 1185000 0 0 SHOPIFY INC NOTE 0.125%11/0 82509LAA5 7467 6342000 PRN SOLE 6342000 0 0 SILICON LABORATORIES INC NOTE 1.375% 3/0 826919AB8 272 199000 PRN SOLE 199000 0 0 SILVER SPIKE ACQUISITION COR CL A SHS G8136L106 205 15840 SH SOLE 15840 0 0 SNAP INC NOTE 0.750% 8/0 83304AAB2 4834 2135000 PRN DFND 1 2135000 0 0 SNAP INC NOTE 0.750% 8/0 83304AAB2 23194 10243000 PRN SOLE 10243000 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 1914 36870 SH SOLE 36870 0 0 SOUTHWEST AIRLS CO COM 844741108 275 5887 SH SOLE 5887 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 2760 1900000 PRN DFND 1 1900000 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 503 346000 PRN DFND 2 346000 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 1503 1035000 PRN DFND 3 1035000 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 55059 37906000 PRN SOLE 37906000 0 0 SPDR SER TR BLMBRG BRC CNVRT 78464A359 3725 44993 SH SOLE 44993 0 0 SPIRIT AIRLS INC NOTE 4.750% 5/1 848577AA0 1367 635000 PRN DFND 1 635000 0 0 SPIRIT AIRLS INC NOTE 4.750% 5/1 848577AA0 6221 2889000 PRN SOLE 2889000 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 1866 1430000 PRN DFND 1 1430000 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 7659 5869000 PRN SOLE 5869000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 1196 886000 PRN SOLE 886000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 5124 1830000 PRN DFND 1 1830000 0 0 SQUARE INC NOTE 0.500% 5/1 852234AD5 24368 8702000 PRN SOLE 8702000 0 0 SSR MNG INC NOTE 2.500% 4/0 784730AB9 531 385000 PRN SOLE 385000 0 0 STANLEY BLACK & DECKER INC UNIT 11/15/2022 854502846 1975 18000 SH DFND 1 18000 0 0 STANLEY BLACK & DECKER INC UNIT 11/15/2022 854502846 20361 185592 SH SOLE 185592 0 0 SUNPOWER CORP DBCV 4.000% 1/1 867652AL3 2249 1740000 PRN DFND 3 1740000 0 0 SUNPOWER CORP DBCV 4.000% 1/1 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3952000 PRN SOLE 3952000 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 358 380000 PRN DFND 2 380000 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 1106 1174000 PRN DFND 3 1174000 0 0 THERAVANCE BIOPHARMA INC NOTE 3.250%11/0 88339KAA0 184 196000 PRN SOLE 196000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 555 558000 PRN DFND 2 558000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 988 993000 PRN DFND 3 993000 0 0 THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 203 204000 PRN SOLE 204000 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 407 877 SH SOLE 877 0 0 TWILIO INC NOTE 0.250% 6/0 90138FAB8 3862 810000 PRN DFND 1 810000 0 0 TWILIO INC NOTE 0.250% 6/0 90138FAB8 14245 2988000 PRN SOLE 2988000 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 641 530000 PRN DFND 1 530000 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 3494 2891000 PRN SOLE 2891000 0 0 TWO HBRS INVT CORP NOTE 6.250% 1/1 90187BAA9 1265 1268000 PRN DFND 3 1268000 0 0 TWO HBRS INVT CORP NOTE 6.250% 1/1 90187BAA9 154 154000 PRN SOLE 154000 0 0 TWO HBRS INVT CORP NOTE 6.250% 1/1 90187BAA9 662 664000 PRN DFND 2 664000 0 0 UNION PAC CORP COM 907818108 576 2763 SH SOLE 2763 0 0 UNITED PARCEL SERVICE INC CL B 911312106 224 1329 SH SOLE 1329 0 0 UNITEDHEALTH GROUP INC COM 91324P102 797 2270 SH SOLE 2270 0 0 VANECK VECTORS ETF TR FALLEN ANGEL HG 92189F437 4241 132105 SH SOLE 132105 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 663 11274 SH SOLE 11274 0 0 VIAVI SOLUTIONS INC NOTE 1.000% 3/0 925550AB1 515 402000 PRN SOLE 402000 0 0 VISA INC COM CL A 92826C839 811 3712 SH SOLE 3712 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 178 171000 PRN SOLE 171000 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 339 325000 PRN DFND 2 325000 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 1046 1004000 PRN DFND 3 1004000 0 0 VONAGE HLDGS CORP NOTE 1.750% 6/0 92886TAJ1 555 514000 PRN DFND 2 514000 0 0 VONAGE HLDGS CORP NOTE 1.750% 6/0 92886TAJ1 934 865000 PRN DFND 3 865000 0 0 VONAGE HLDGS CORP NOTE 1.750% 6/0 92886TAJ1 184 171000 PRN SOLE 171000 0 0 WALMART INC COM 931142103 342 2386 SH SOLE 2386 0 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 3327 1986000 PRN SOLE 1986000 0 0 WAYFAIR INC NOTE 1.125%11/0 94419LAD3 4842 2380000 PRN SOLE 2380000 0 0 WAYFAIR INC NOTE 1.125%11/0 94419LAD3 1557 765000 PRN DFND 1 765000 0 0 WEIBO CORP NOTE 1.250%11/1 948596AC5 258 266000 PRN DFND 3 266000 0 0 WEIBO CORP NOTE 1.250%11/1 948596AC5 130 134000 PRN SOLE 134000 0 0 WELLPOINT INC NOTE 2.750%10/1 94973VBG1 358 80000 PRN DFND 1 80000 0 0 WELLPOINT INC NOTE 2.750%10/1 94973VBG1 15919 3555000 PRN SOLE 3555000 0 0 WELLS FARGO CO NEW COM 949746101 318 10527 SH SOLE 10527 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 449 512000 PRN DFND 2 512000 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 1389 1583000 PRN DFND 3 1583000 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 177 202000 PRN SOLE 202000 0 0 WESTERN DIGITAL CORP. 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