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The reader should not assume that the information is accurate and complete.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F

FORM 13F INFORMATION TABLE
OMB APPROVAL
OMB Number: 3235-0006
Estimated average burden
hours per response: 23.8
COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8
VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGER SOLE SHARED NONE
AIR LEASE CORP NOTE 3.875%12/0 00912XAK0 1,065 800,000 PRN   DFND   800,000 0 0
AK STL CORP NOTE 5.000%11/1 001546AP5 1,216 750,000 PRN   DFND   750,000 0 0
ARES CAP CORP NOTE 5.750% 2/0 04010LAB9 1,350 1,250,000 PRN   DFND   1,250,000 0 0
AUXILIUM PHARMACEUTICALS INC NOTE 1.500% 7/1 05334DAA5 1,337 1,200,000 PRN   DFND   1,200,000 0 0
AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 1,241 500,000 PRN   DFND   500,000 0 0
BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 1,163 1,100 SH   DFND   1,100 0 0
BIOMARIN PHARMACEUTICAL INC NOTE 1.500%10/1 09061GAF8 1,082 1,000,000 PRN   DFND   1,000,000 0 0
BOTTOMLINE TECH DEL INC NOTE 1.500%12/0 101388AA4 554 400,000 PRN   DFND   400,000 0 0
CEMEX SAB DE CV NOTE 3.750% 3/1 151290BC6 8,584 6,300,000 PRN   DFND   6,300,000 0 0
CHART INDS INC NOTE 2.000% 8/0 16115QAC4 1,544 1,000,000 PRN   DFND   1,000,000 0 0
CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 764 750,000 PRN   DFND   750,000 0 0
COBALT INTL ENERGY INC NOTE 2.625%12/0 19075FAA4 6,483 7,300,000 PRN   DFND   7,300,000 0 0
ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 1,162 500,000 PRN   DFND   500,000 0 0
ENDOLOGIX INC NOTE 2.250%12/1 29266SAA4 151 150,000 PRN   DFND   150,000 0 0
FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 7,363 4,000,000 PRN   DFND   4,000,000 0 0
FORESTAR GROUP INC NOTE 3.750% 3/0 346232AB7 6,919 6,000,000 PRN   DFND   6,000,000 0 0
GENERAL CABLE CORP DEL NEW FRNT 5.000%11/1 369300AL2 807 750,000 PRN   DFND   750,000 0 0
GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 15,934 4,800,000 PRN   DFND   4,800,000 0 0
GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 1,013 800,000 PRN   DFND   800,000 0 0
GT ADVANCED TECHNOLOGIES INC NOTE 3.000%12/1 36191UAB2 1,622 1,600,000 PRN   DFND   1,600,000 0 0
HEARTWARE INTL INC NOTE 3.500%12/1 422368AA8 961 800,000 PRN   DFND   800,000 0 0
HOLOGIC INC FRNT 2.000%12/1 436440AB7 7,889 6,750,000 PRN   DFND   6,750,000 0 0
HORNBECK OFFSHORE SVCS INC N NOTE 1.500% 9/0 440543AN6 5,751 4,800,000 PRN   DFND   4,800,000 0 0
ICONIX BRAND GROUP INC NOTE 2.500% 6/0 451055AE7 15,601 11,300,000 PRN   DFND   11,300,000 0 0
INTEL CORP SDCV 2.950%12/1 458140AD2 11,568 10,300,000 PRN   DFND   10,300,000 0 0
IXIA NOTE 3.000%12/1 45071RAB5 1,087 1,000,000 PRN   DFND   1,000,000 0 0
JARDEN CORP NOTE 1.875% 9/1 471109AH1 7,088 5,000,000 PRN   DFND   5,000,000 0 0
LIFEPOINT HOSPITALS INC NOTE 3.500% 5/1 53219LAH2 7,948 7,300,000 PRN   DFND   7,300,000 0 0
LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 570 500,000 PRN   DFND   500,000 0 0
MEDICINES CO DBCV 1.375% 6/0 584688AC9 753 500,000 PRN   DFND   500,000 0 0
MICRON TECHNOLOGY INC NOTE 1.875% 6/0 595112AH6 2,590 1,700,000 PRN   DFND   1,700,000 0 0
NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 515 500,000 PRN   DFND   500,000 0 0
NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 11,127 6,650,000 PRN   DFND   6,650,000 0 0
NUVASIVE INC NOTE 2.750% 7/0 670704AC9 869 800,000 PRN   DFND   800,000 0 0
ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AH8 1,929 1,750,000 PRN   DFND   1,750,000 0 0
PRICELINE COM INC DEBT 1.000% 3/1 741503AQ9 2,361 1,700,000 PRN   DFND   1,700,000 0 0
QIHOO 360 TECHNOLOGY CO LTD DEBT 2.500% 9/1 G73030AA9 9,619 9,000,000 PRN   DFND   9,000,000 0 0
REDWOOD TR INC NOTE 4.625% 4/1 758075AB1 1,556 1,500,000 PRN   DFND   1,500,000 0 0
ROYAL GOLD INC NOTE 2.875% 6/1 780287AA6 1,548 1,600,000 PRN   DFND   1,600,000 0 0
RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 9,683 9,200,000 PRN   DFND   9,200,000 0 0
RYLAND GROUP INC NOTE 0.250% 6/0 783764AS2 12,537 13,500,000 PRN   DFND   13,500,000 0 0
SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 1,289 500,000 PRN   DFND   500,000 0 0
SALIX PHARMACEUTICALS INC NOTE 1.500% 3/1 795435AE6 1,271 850,000 PRN   DFND   850,000 0 0
SANDISK CORP NOTE 1.500% 8/1 80004CAD3 2,656 1,800,000 PRN   DFND   1,800,000 0 0
SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 7,701 2,600,000 PRN   DFND   2,600,000 0 0
STERLITE INDS INDIA LTD NOTE 4.000%10/3 859737AB4 5,665 5,700,000 PRN   DFND   5,700,000 0 0
STILLWATER MNG CO NOTE 1.750%10/1 86074QAL6 8,882 7,900,000 PRN   DFND   7,900,000 0 0
TAKE-TWO INTERACTIVE SOFTWAR NOTE 1.000% 7/0 874054AD1 1,872 1,750,000 PRN   DFND   1,750,000 0 0
THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 1,456 1,000,000 PRN   DFND   1,000,000 0 0
TIBCO SOFTWARE INC NOTE 2.250% 5/0 88632QAB9 7,514 7,500,000 PRN   DFND   7,500,000 0 0
TRINITY INDS INC NOTE 3.875% 6/0 896522AF6 992 750,000 PRN   DFND   750,000 0 0
WEB COM GROUP INC NOTE 1.000% 8/1 94733AAA2 7,896 7,000,000 PRN   DFND   7,000,000 0 0
WELLPOINT INC NOTE 2.750%10/1 94973VBG1 8,152 6,000,000 PRN   DFND   6,000,000 0 0
XILINX INC NOTE 2.625% 6/1 983919AF8 11,699 7,300,000 PRN   DFND   7,300,000 0 0
XPO LOGISTICS INC NOTE 4.500%10/0 983793AA8 1,696 1,000,000 PRN   DFND   1,000,000 0 0