The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
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
ABAG FIN AUTH FOR NONPROFIT 5. MUNICIP 00037CUQ1 334 365,000 PRN   OTR 1 230,000 0 135,000
ADELPHIA COM ESCROW 0.00% DUE Common Stock 006ESC9F6 21 3,025,000 SH   SOLE 3,025,000 0 0
ADELPHIA COM ESCROW 0.00% DUE Common Stock 006ESCAW7 7 1,000,000 PRN   SOLE 1,000,000 0 0
ADELPHIA COM ESCROW 0.00% DUE Common Stock 006ESCAZ0 19 2,715,000 PRN   SOLE 2,715,000 0 0
ADELPHIA COM ESCROW 0.00% DUE Common Stock 006ESCBC0 22 3,150,000 PRN   SOLE 3,150,000 0 0
ADELPHIA COM ESCROW 0.00% DUE Common Stock 006ESCBF3 45 6,441,000 PRN   SOLE 6,441,000 0 0
ADELPHIA COM ESCROW 0.000% DUE Common Stock 006ESCAP2 11 1,500,000 PRN   SOLE 1,500,000 0 0
ADELPHIA RECOVERY TRUST SERIES Common Stock 00685R102 69 6,875,061 SH   SOLE 6,875,061 0 0
AFFILIATED MANAGERS GROUP 5.10 Conv Prfd Stock 00169X203 589 8,101 SH   SOLE 8,101 0 0
AFFINITY GAMING LLC Common Stock DD9AFFGAM 3,850 350,000 PRN   OTR 1 0 350,000 0
AIR LEASE CORP NOTE 3.875%12/0 00912XAK0 20,586 15,277,000 PRN   OTR 1 170,000 15,107,000 0
AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 15,397 9,077,000 PRN   OTR 1 8,180,000 897,000 0
AKORN INC NOTE 3.500% 6/0 009728AB2 20,650 7,252,000 PRN   OTR 1 1,852,000 5,400,000 0
AKRON BATH COPLEY OH HOSP 5.00 MUNICIP 009730NC2 207 210,000 PRN   OTR 1 95,000 0 115,000
ALABAMA ST BRD ED REV 4.000% 1 MUNICIP 0104876S0 25 25,000 SH   OTR 1 25,000 0 0
ALABAMA ST UNIV REV 5.250% 09/ MUNICIP 010632ME4 26 25,000 PRN   OTR 1 25,000 0 0
ALASKA ST HSG FIN CORP 5.000% MUNICIP 0118328V7 74 70,000 SH   OTR 1 70,000 0 0
ALASKA ST HSG FIN CORP 5.000% MUNICIP 0118328W5 235 225,000 SH   OTR 1 175,000 0 50,000
ALCOA INC NOTE 5.250% 3/1 013817AT8 1,572 948,000 PRN   OTR 1 832,000 116,000 0
ALERIS CORPORATION Common Stock DD9ARSC01 1,037 96,691 SH   OTR 1 2 67,593 29,098 0
ALLAMUCHY TWP NJ BRD OF EDU 4. MUNICIP 016725CB7 102 100,000 PRN   OTR 1 100,000 0 0
ALLEGHENY CNTY PA PORT AUTH 5. MUNICIP 017343DC5 86 75,000 PRN   OTR 1 75,000 0 0
ALLEGHENY CNTY PA SAN AUTH 5.0 MUNICIP 017357VC5 107 100,000 PRN   OTR 1 50,000 0 50,000
ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 19,934 19,229,000 PRN   OTR 1 13,971,000 4,951,000 307,000
ALLIANCE DATA SYSTEMS CORP NOTE 4.750% 5/1 018581AC2 11 2,000 PRN   OTR 1 2,000 0 0
ALON USA ENERGY INC 144A Conv Bond P2 020520AA0 10,442 8,206,000 PRN   OTR 1 121,000 8,085,000 0
ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 371 371,000 PRN   OTR 1 0 371,000 0
ALUM ROCK CA UNION ELEM SCH 5. MUNICIP 022168JE9 306 295,000 PRN   OTR 1 180,000 0 115,000
ALZA CORP SDCV 7/2 02261WAB5 10,058 7,959,000 PRN   SOLE 7,959,000 0 0
AMERICAN AIRLINES ESCROW Common Stock 235ESCAM2 40 200,000 PRN   SOLE 200,000 0 0
AMERICAN AIRLINES GROUP Conv Pfd Stk 2 02376R201 1,273 49,103 SH   SOLE 49,103 0 0
AMERICAN EQTY INV CONV BOND 14 Conv Bond P2 025676AJ6 23,227 10,685,000 PRN   OTR 1 140,000 10,545,000 0
AMG CAP TR I 5.10% 4/15/36 CONVERT 00169X203 10,548 145,616 SH   OTR 1 134,799 380 10,437
ANAHEIM CA PUBLIC FING AUTH 4. MUNICIP 03255LDT3 158 160,000 PRN   OTR 1 95,000 0 65,000
APOLLO INVT CORP NOTE 5.750% 1/1 03761UAE6 11,525 10,784,000 PRN   SOLE 10,784,000 0 0
ARCELORMITTAL SA LUXEMBOURG MAND CV NT 16 L0302D178 2,600 100,000 SH   OTR 1 16,000 84,000 0
ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 3,186 3,007,000 PRN   SOLE 3,007,000 0 0
ARES CAP CORP NOTE 5.750% 2/0 04010LAB9 2,749 2,553,000 PRN   OTR 1 2,362,000 7,000 184,000
ARES CAP CORP NOTE 5.750% 2/0 04010LAB9 4,870 4,507,000 PRN   SOLE 4,507,000 0 0
ARES CAPITAL CORP 144A Conv Bond P2 04010LAK9 7,227 6,928,000 PRN   SOLE 6,928,000 0 0
ARIZONA HEALTH FACS AUTH 5% 01 MUNICIP 040507JL0 112 100,000 PRN   OTR 1 100,000 0 0
AT HOME CORP CNV BND REG DEF Conv Bond P2 045919AC1 1 7,185,380 PRN   OTR 1 5,315,405 1,869,975 0
AT HOME CORP REG CNV BD (DEF) Conv Bond P2 045919AF4 13 133,347,086 PRN   OTR 1 50,794,467 82,552,619 0
ATHENS-CLARKE CNTY GA UNI 5.00 MUNICIP 047060DB1 559 540,000 PRN   OTR 1 365,000 0 175,000
ATLANTA GA DEV AUTH REV 4.000% MUNICIP 04780NDG9 25 25,000 PRN   OTR 1 25,000 0 0
AUSTIN ISD-REF 5% 08/01/33 MUNICIP 052430DR3 26 25,000 PRN   OTR 1 25,000 0 0
AUSTIN TX REF PUB IMPT 4.000% MUNICIP 052396GW2 205 200,000 PRN   OTR 1 200,000 0 0
AUSTIN WTR/WSTWTR REF 5.000% 0 MUNICIP 052476JC3 109 100,000 PRN   OTR 1 100,000 0 0
AVALON BORO N J GO BDS 2008 5. MUNICIP 053375MJ7 342 300,000 PRN   OTR 1 300,000 0 0
BAKER HUGHES INC COM 057224107 11,080 200,500 SH   OTR 1 600 199,900 0
BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 14,723 13,876 SH   OTR 1 11,988 1,204 684
BARCLAYS BANK PLC PREFERRED PREF STOCK 1000 XS0214398 14,744 12,500,000 SH   OTR 1 3 2,100,000 10,400,000 0
BAY CNTY FLA EDL FACS REV 3.5% MUNICIP 072222AC6 65 65,000 PRN   OTR 1 65,000 0 0
BAY CNTY FLA SALES TAX REV 4.2 MUNICIP 07223NEB7 25 25,000 PRN   OTR 1 25,000 0 0
BIOMARIN PHARMACEUTICAL INC NOTE 0.750%10/1 09061GAE1 26,700 25,114,000 PRN   OTR 1 10,118,000 14,557,000 439,000
BI-STATE DEV AGY MO IL-A 5.000 MUNICIP 088632BK9 565 530,000 PRN   OTR 1 350,000 0 180,000
BLACKROCK FLA MUN 2020 TERM COM SHS 09250M109 1,758 116,357 SH   SOLE 116,357 0 0
BLACKROCK MUNI INTER DR FD I COM 09253X102 4,090 294,225 SH   SOLE 294,225 0 0
BLACKROCK MUNIENHANCED FD IN COM 09253Y100 1,607 154,530 SH   SOLE 154,530 0 0
BLACKROCK MUNIHLDGS NJ QLTY COM 09254X101 289 22,040 SH   SOLE 22,040 0 0
BLACKROCK MUNIHLDNGS CALI QL COM 09254L107 1,339 101,253 SH   SOLE 101,253 0 0
BLACKROCK MUNIHLDS INVSTM QL COM 09254P108 3,121 249,256 SH   SOLE 249,256 0 0
BLACKROCK MUNIHOLDINGS FD IN COM 09253N104 1,142 78,730 SH   SOLE 78,730 0 0
BLACKROCK MUNIY QUALITY FD I COM 09254G108 1,073 91,826 SH   SOLE 91,826 0 0
BLACKROCK MUNIYIELD CALI QLT COM 09254N103 2,963 217,229 SH   OTR 1 167,431 49,798 0
BLACKROCK MUNIYIELD CALIF FD COM 09254M105 1,579 114,553 SH   SOLE 114,553 0 0
BLACKROCK MUNIYIELD FD INC COM 09253W104 1,347 105,041 SH   OTR 1 51,041 54,000 0
BLACKROCK MUNIYIELD QLTY FD COM 09254E103 2,694 212,816 SH   SOLE 212,816 0 0
BLOOMFIELD TWP LIBR 4.125% 05/ MUNICIP 094149EY3 25 25,000 PRN   OTR 1 25,000 0 0
BLUCORA INC 144A Conv Bond P2 095229AA8 7,805 5,276,000 PRN   OTR 1 144,000 5,132,000 0
BOONE CNTY SD FIN BDG 4.125% 0 MUNICIP 098825XN7 25 25,000 PRN   OTR 1 25,000 0 0
BOTTOMLINE TECH DEL INC NOTE 1.500%12/0 101388AA4 27,504 20,468,000 PRN   OTR 1 5,223,000 14,869,000 376,000
BRADENTON SPL OBLG 4.25% 09/01 MUNICIP 104178EA2 25 25,000 PRN   OTR 1 25,000 0 0
BRAZOS RIV AUTH TEX 4.100% 07/ MUNICIP 106207FG3 109 100,000 PRN   OTR 1 100,000 0 0
BRISTOL BORO SD 4% 03/01/23 MUNICIP 109754BP5 26 25,000 PRN   OTR 1 25,000 0 0
BROWARD CNTY FLA SCH BRD 5.000 MUNICIP 115065WD2 544 500,000 PRN   OTR 1 500,000 0 0
BROWNSVILLE TEX CTFS OBLIG 5.5 MUNICIP 116405DF5 27 25,000 PRN   OTR 1 25,000 0 0
BUILD NYC RESOURCE CORP 4.750% MUNICIP 12008FAN3 385 375,000 PRN   OTR 1 375,000 0 0
BURLINGTON TWP NJ BRD ED 4.000 MUNICIP 122043JF0 110 100,000 PRN   OTR 1 100,000 0 0
BURLINGTON VT ELEC REV 5.000% MUNICIP 122079HE9 43 40,000 PRN   OTR 1 40,000 0 0
BUTLER CNTY WTRWKS RF 4% 12/01 MUNICIP 123565GR8 26 25,000 PRN   OTR 1 25,000 0 0
CA WTR-UNREF-2010 5.000% 12/01 MUNICIP 13066EUN1 125 120,000 PRN   OTR 1 120,000 0 0
CADENCE DESIGN SYSTEM INC NOTE 2.625% 6/0 127387AJ7 11,276 6,000,000 PRN   OTR 1 144,000 5,856,000 0
CALIFORNIA EDL FACS AUTH 5.250 MUNICIP 130178T30 287 285,000 SH   OTR 1 285,000 0 0
CALIFORNIA ST GO BDS 5.000% 09 MUNICIP 13063BC91 213 210,000 SH   OTR 1 70,000 0 140,000
CALIFORNIA ST GO BDS 6.000% 04 MUNICIP 13063A4Y7 236 210,000 SH   OTR 1 90,000 0 120,000
CALIFORNIA ST PUB WKS BRD 5.75 MUNICIP 130685XA3 435 400,000 PRN   OTR 1 400,000 0 0
CALIFORNIA ST REF-STEM CELL 5. MUNICIP 13063BBT8 53 50,000 PRN   OTR 1 50,000 0 0
CALIFORNIA STATEWIDE CMNTYS 5. MUNICIP 130795Y68 336 325,000 SH   OTR 1 250,000 0 75,000
CAMBRIDGE MASS LN PRERE 4.250% MUNICIP 132285ZN0 15 15,000 PRN   OTR 1 15,000 0 0
CAMDEN CNTY NJ IMPT AUTH RE 3. MUNICIP 13281NNG3 32 30,000 PRN   OTR 1 30,000 0 0
CAMERON INTERNATIONAL CORP COM 13342B105 4,762 80,000 SH   OTR 1 0 80,000 0
CAPE CORAL FLA UTIL 4.125% 07/ MUNICIP 13937XBS6 25 25,000 PRN   OTR 1 25,000 0 0
CARLSTADT NJ SCH DIST 4.500% 0 MUNICIP 142843CC3 25 25,000 PRN   OTR 1 25,000 0 0
CARROLL TX INDEP SCH DIST 0.00 MUNICIP 145231T71 5 5,000 SH   OTR 1 5,000 0 0
CENTRAL TEX REGL MOBILITY 5.75 MUNICIP 155498BT4 1,160 1,120,000 PRN   OTR 1 995,000 0 125,000
CERES CALIF UNI SCH DIST 0.000 MUNICIP 156753KP9 73 500,000 PRN   OTR 1 500,000 0 0
CHARLESTON SC WTR & SWR REV 5. MUNICIP 160429RC2 21 20,000 PRN   OTR 1 20,000 0 0
CHART INDS INC NOTE 2.000% 8/0 16115QAC4 42,618 27,522,000 PRN   OTR 1 10,116,000 17,064,000 342,000
CHATTANOOGA INDL DEV BRD RE 5. MUNICIP 162419BS3 733 715,000 PRN   OTR 1 715,000 0 0
CHICAGO ARPT-A-AGC-IC 5.000% 0 MUNICIP 1675924T8 105 100,000 SH   OTR 1 100,000 0 0
CHICAGO IL BRD OF EDU 5.000% 1 MUNICIP 167505DZ6 184 165,000 PRN   OTR 1 165,000 0 0
CHICAGO IL O HARE INTL ARPT 5. MUNICIP 1675923J1 115 115,000 SH   OTR 1 45,000 0 70,000
CHICAGO IL O'HARE INT ARPT 5.0 MUNICIP 167592F58 301 300,000 SH   OTR 1 250,000 0 50,000
CHICAGO ILL O HARE INTL 6.500% MUNICIP 167593GF3 72 65,000 PRN   OTR 1 65,000 0 0
CHICAGO ILL O HARE INTL ARP 5. MUNICIP 167593FT4 602 575,000 PRN   OTR 1 575,000 0 0
CHICAGO ILL TRAN AUTH 5.25% 06 MUNICIP 167723DE2 130 125,000 PRN   OTR 1 125,000 0 0
CHTNGA TN HLTH EDL REF REV-A 5 MUNICIP 162410CD4 1,193 1,205,000 PRN   OTR 1 1,030,000 0 175,000
CIENA CORP DEBT 4.000%12/1 171779AK7 21,394 14,492,000 PRN   OTR 1 1,920,000 12,572,000 0
CIENA CORP NOTE 0.875% 6/1 171779AE1 2,905 2,841,000 PRN   OTR 1 2,635,000 6,000 200,000
CIENA CORP NOTE 0.875% 6/1 171779AE1 116 113,000 PRN   SOLE 113,000 0 0
CITIGROUP CAP PFD Preferred Stock 173080201 4,360 160,000 SH   OTR 1 120,000 40,000 0
CITIGROUP INC COM NEW 172967424 22,591 433,527 SH   OTR 1 3 4 115,691 317,836 0
CITIZENS PPTY INS CORP FLA 5.2 MUNICIP 176553ET8 445 395,000 PRN   OTR 1 395,000 0 0
CLARK CNTY NEV SCH DIST FOR 5. MUNICIP 181059BP0 214 200,000 PRN   OTR 1 200,000 0 0
CLARK CNTY WASH PUB UTIL 5.000 MUNICIP 181108VP3 782 725,000 PRN   OTR 1 725,000 0 0
CLAYTON DEV-REF-B 4% 08/01/19 MUNICIP 184150DM9 26 25,000 PRN   OTR 1 25,000 0 0
CLEAN ENERGY FUELS CORP 144A Conv Bond P2 184499AB7 4,090 4,000,000 PRN   OTR 1 75,000 3,925,000 0
CLEVELAND-CUYAHOGA CNTY OHI 6. MUNICIP 186103FY8 188 175,000 PRN   OTR 1 175,000 0 0
CLIFFS NATURAL RES PFD 7.0% 2/ CONVERT 18683K408 2,646 115,253 SH   OTR 1 106,526 280 8,447
CLIFFS NATURAL RESOURCES Conv Prfd Stock 18683K408 1,518 66,100 SH   SOLE 66,100 0 0
CMWLTH FING AUTH PA 4.700% 06/ MUNICIP 20281PCR1 52 50,000 PRN   OTR 1 50,000 0 0
COCOA FLA WTR & SWR REV 5.250% MUNICIP 191783DY2 54 50,000 PRN   OTR 1 50,000 0 0
COLLINGSWOOD NJ SCH DIST 4.000 MUNICIP 194774EU5 56 55,000 PRN   OTR 1 55,000 0 0
COLORADO ST HLTH FACS AUTH 4.2 MUNICIP 19648AE43 120 125,000 SH   OTR 1 125,000 0 0
COMTECH TELECOMMUNICATIONS C NOTE 3.000% 5/0 205826AF7 5 5,000 PRN   SOLE 5,000 0 0
COMTECH TELECOMMUNICATIONS C NOTE 3.000% 5/0 205826AF7 2,776 2,641,000 PRN   OTR 1 2,448,000 7,000 186,000
COMVERSE INC COM 20585P105 2 41 SH   SOLE 41 0 0
CONCORD MASS URP BDS 2007 3.75 MUNICIP 206273WM2 32 30,000 PRN   OTR 1 30,000 0 0
CONNECTICUT ST HLTH & EDU 5.00 MUNICIP 20774YBJ5 31 30,000 PRN   OTR 1 30,000 0 0
CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 37,141 18,144,000 PRN   OTR 1 6,251,000 11,710,000 183,000
CORNERSTONE ONDEMAND INC 144A Conv Bond P2 21925YAA1 21,498 17,639,000 PRN   OTR 1 189,000 17,450,000 0
CORONA-NORCO CA UNI SCH DIS 4. MUNICIP 21976TET5 25 25,000 PRN   OTR 1 25,000 0 0
COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 32,407 27,605,000 PRN   OTR 1 10,005,000 17,274,000 326,000
CROWN CASTLE INTL CORP CNV PFD STK SR A 228227500 4,632 46,300 SH   SOLE 46,300 0 0
CT ST TAX OBLIG INFRA 5.000% 1 MUNICIP 207758RJ4 75 70,000 PRN   OTR 1 70,000 0 0
CUBIST PHARMACEUTICALS 144A Conv Bond P2 229678AE7 10,348 8,974,000 PRN   OTR 1 176,000 8,798,000 0
CUBIST PHARMACEUTICALS 144A Conv Bond P2 229678AG2 13,131 11,462,000 PRN   OTR 1 193,000 11,269,000 0
CUSHING OK EDL FACS AUTH RE 4. MUNICIP 231634AB2 293 270,000 PRN   OTR 1 230,000 0 40,000
DALLAS CMNTY CLG 4% 02/15/29 MUNICIP 234685KE4 25 25,000 PRN   OTR 1 25,000 0 0
DALLAS TEX AREA RAPID TRAN 4.5 MUNICIP 235241EW2 26 25,000 PRN   OTR 1 25,000 0 0
DANAHER CORP DEL NOTE 1/2 235851AF9 62,530 27,848,000 PRN   OTR 1 12,380,000 15,124,000 344,000
DANE CNTY WI RFDG SER E 3.000% MUNICIP 236091L44 161 150,000 SH   OTR 1 150,000 0 0
DAVIS CNTY 4% 02/01/19 MUNICIP 239001FX3 26 25,000 PRN   OTR 1 25,000 0 0
DC BALLPARK-SER B1 5.000% 02/0 MUNICIP 25476WAT8 133 125,000 PRN   OTR 1 125,000 0 0
DE KALB CNTY GA WTR & SWR 5.25 MUNICIP 240523WL0 368 345,000 PRN   OTR 1 345,000 0 0
DEALERTRACK TECHNOLOGIES INC NOTE 1.500% 3/1 242309AB8 4,117 2,967,000 PRN   OTR 1 100,000 2,867,000 0
DENVER CO WEST MET DIST 3.000% MUNICIP 249481EM0 178 170,000 PRN   OTR 1 170,000 0 0
DETROIT MI CITY SCH DIST 5.000 MUNICIP 251130EW6 379 375,000 PRN   OTR 1 375,000 0 0
DETROIT MI DISTRIBUTABLE AI 5. MUNICIP 251093S35 188 200,000 SH   OTR 1 65,000 0 135,000
DETROIT MI SEW DISP REV-B 5.00 MUNICIP 251237G72 80 80,000 SH   OTR 1 80,000 0 0
DETROIT MI WTR & SEW DEPT 5.50 MUNICIP 251250AM8 146 150,000 PRN   OTR 1 150,000 0 0
DETROIT MI WTR & SEW DEPT-A 5. MUNICIP 251250AR7 244 270,000 PRN   OTR 1 135,000 0 135,000
DETROIT MICH CITY SCH DIST 5.0 MUNICIP 251130FA3 608 620,000 PRN   OTR 1 585,000 0 35,000
DETROIT MICH WTR & SEW DEP- 5. MUNICIP 251250AS5 517 570,000 PRN   OTR 1 435,000 0 135,000
DETROIT MICH WTR SUPPLY SYS 4. MUNICIP 251255Q32 466 560,000 SH   OTR 1 370,000 0 190,000
DETROIT MICH WTR SUPPLY SYS 5. MUNICIP 251256BY8 91 95,000 PRN   OTR 1 95,000 0 0
DETROIT WAYNE CNTY MI 5.000% 1 MUNICIP 251440BF9 846 830,000 PRN   OTR 1 800,000 0 30,000
DEX MEDIA INC NEW COM 25213A107 3 464 SH   OTR 1 0 464 0
DISTRIC COLUMBIA UNIV REV 5.25 MUNICIP 25484JBV1 773 700,000 PRN   OTR 1 700,000 0 0
DISTRICT COLUMBIA INCOME TA 5% MUNICIP 25477GEA9 249 225,000 PRN   OTR 1 150,000 0 75,000
DISTRICT COLUMBIA TAX 5.000% 0 MUNICIP 254840DR9 607 585,000 PRN   OTR 1 515,000 0 70,000
DISTRICT OF COLUMBIA 5.000% 06 MUNICIP 25476A7J2 53 50,000 SH   OTR 1 50,000 0 0
DODGE CITY KANS SALES TAX 4.50 MUNICIP 256359BX7 26 25,000 PRN   OTR 1 25,000 0 0
DYNEGY INC NEW DEL COM 26817R108 282 13,120 SH   OTR 1 0 13,120 0
EAGLE MTN & SAGINAW TX INDPT 5 MUNICIP 269695N32 27 25,000 SH   OTR 1 25,000 0 0
EAST BRUNSWICK TWYP NJ PRER 4. MUNICIP 271299JD2 215 200,000 PRN   OTR 1 200,000 0 0
EAST HANOVER TWP N J 4.000% 02 MUNICIP 272785RH1 255 240,000 PRN   OTR 1 240,000 0 0
EATONTOWN NJ SCH DIST 4.500% 0 MUNICIP 278353DA2 36 35,000 PRN   OTR 1 35,000 0 0
ED EDL 5.250% 07/01/19 MUNICIP 64605L5L8 87 75,000 SH   OTR 1 75,000 0 0
EDINBURG TX CONS INDPT 4.000% MUNICIP 280785PK6 36 35,000 PRN   OTR 1 35,000 0 0
EDISON TWP N J GO REF BDS 5.00 MUNICIP 281047ZQ6 174 150,000 PRN   OTR 1 150,000 0 0
EL MONTE CA UN HGH SCH BDS- 5. MUNICIP 283353PJ3 415 390,000 PRN   OTR 1 260,000 0 130,000
ELYRIA OHIO 4.000% 12/01/18 MUNICIP 290641F95 26 25,000 SH   OTR 1 25,000 0 0
EMC CORP CONV BOND REG Conv Bond P2 268648AM4 49,369 31,805,000 PRN   OTR 1 16,319,000 15,156,000 330,000
EMULEX CORPORATION 144A Conv Bond P2 292475AE0 3,933 4,000,000 PRN   OTR 1 21,000 3,979,000 0
ENERGY XXI BERMUDA Conv Prfd Stock 29274U309 2,771 9,368 SH   SOLE 9,368 0 0
ENERGY XXI BERMUDA 144A Conv Bond P2 29274UAA9 13,851 14,000,000 PRN   OTR 1 60,000 13,940,000 0
ENERGY XXI BERMUDA PFD 5.625% CONVERT 29274U309 2,650 9,035 SH   OTR 1 8,360 24 651
ENSCO PLC SHS CLASS A G3157S106 2,687 47,000 PRN   OTR 1 0 47,000 0
ERIE CO SCH-A BE 5.750% 05/01/ MUNICIP 29509PCQ0 97 85,000 PRN   OTR 1 0 0 85,000
ESCONDIDO CALIF REV CTFS 4.125 MUNICIP 296344CH5 25 25,000 PRN   OTR 1 25,000 0 0
ESSEX CNTY NJ IMPT AUTH 5.000% MUNICIP 296807GN4 5 5,000 PRN   OTR 1 5,000 0 0
ETOWAH CNTY AL BRD OF EDU 5.00 MUNICIP 297768AV5 166 150,000 PRN   OTR 1 150,000 0 0
FAIRFAX SWR 4% 07/15/27 MUNICIP 303867GG4 26 25,000 PRN   OTR 1 25,000 0 0
FL BOE PUB ED-REF-B 4.75% 06/0 MUNICIP 341535TN2 26 25,000 PRN   OTR 1 25,000 0 0
FLEMINGTON-RARITAN N J REGL 5. MUNICIP 339297KV4 27 25,000 PRN   OTR 1 25,000 0 0
FLORIDA ST BRD ED 5.250% 06/01 MUNICIP 34153PCE6 114 100,000 PRN   OTR 1 100,000 0 0
FLORIDA ST BRD OF EDU PUBLIC 4 MUNICIP 34153PBF4 100 100,000 PRN   OTR 1 100,000 0 0
FLORIDA ST DEPT ENV PROTN 5.00 MUNICIP 34160WQH0 109 100,000 PRN   OTR 1 100,000 0 0
FLORIDA ST MUN PWR AGY 5.000% MUNICIP 342816C86 107 100,000 SH   OTR 1 100,000 0 0
FLORIDA ST MUN PWR AGY REV 5.0 MUNICIP 342816WF8 26 25,000 PRN   OTR 1 25,000 0 0
FNMA 0.000 Preferred Stock 313586794 6 400 SH   SOLE 400 0 0
FNMA 8.250% Preferred Stock 313586752 788 90,000 SH   SOLE 90,000 0 0
FOLEY AL UTILS BRD REV 5.000% MUNICIP 344244MQ8 779 715,000 PRN   OTR 1 715,000 0 0
FORD MTR CO DEL COM PAR $0.01 345370860 31,007 2,009,500 SH   OTR 1 3 325,000 1,684,500 0
FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 26,840 14,518,000 PRN   OTR 1 6,274,000 7,977,000 267,000
FORT WAYNE IND ECONOMIC DEV 5. MUNICIP 349246DZ8 25 25,000 PRN   OTR 1 25,000 0 0
FORT WORTH TX CTFS OBLIG 5.000 MUNICIP 349425V96 88 75,000 SH   OTR 1 75,000 0 0
FRANKLIN PARK IL 6.250% 07/01/ MUNICIP 354496GH8 354 325,000 PRN   OTR 1 285,000 0 40,000
FRANKLIN SD BLDG 4.25% 05/01/2 MUNICIP 352840QG0 25 25,000 PRN   OTR 1 25,000 0 0
FRANKLIN TWP SOMERSET CNTY 5.0 MUNICIP 355064HS8 22 20,000 PRN   OTR 1 20,000 0 0
FREDDIE MAC 8.375% Preferred Stock 313400624 486 54,150 SH   SOLE 54,150 0 0
FRESNO CA ARPT REV REF BDS- 5. MUNICIP 358100DT9 114 105,000 PRN   OTR 1 25,000 0 80,000
FRESNO CALIF IRR DIST CTFS 4.3 MUNICIP 358180AV9 26 25,000 PRN   OTR 1 25,000 0 0
GARDEN ST NJ PRESERVATION-A 4. MUNICIP 365418EG3 109 100,000 PRN   OTR 1 100,000 0 0
GARLAND TX 5.250% 02/15/15 MUNICIP 366119PV1 21 20,000 PRN   OTR 1 20,000 0 0
GENCORP INC SDCV 4.062%12/3 368682AN0 6,482 3,215,000 PRN   OTR 1 0 3,215,000 0
GENERAL MTRS CO COM 37045V100 51,056 1,249,221 SH   OTR 1 2 3 740,658 508,563 0
GENESEE CNTY MI 2.000% 05/01/1 MUNICIP 371608RG7 76 75,000 PRN   OTR 1 75,000 0 0
GENESEE CNTY MICH 4.000% 05/01 MUNICIP 371608GH7 25 25,000 PRN   OTR 1 25,000 0 0
GEORGIA ST RD & TWY AUTH 5.000 MUNICIP 37358MBJ9 11 10,000 PRN   OTR 1 10,000 0 0
GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 85,762 25,795,000 PRN   OTR 1 12,000,000 13,432,000 363,000
GLEN ROCK NJ SCH DIST 4.600% 0 MUNICIP 377784ET6 26 25,000 PRN   OTR 1 25,000 0 0
GLEN ROCK NJ SCH DIST 4.700% 0 MUNICIP 377784EV1 52 50,000 PRN   OTR 1 50,000 0 0
GLOUCHESTER CNTY NJ IMPT 4.750 MUNICIP 37969YLW4 16 15,000 PRN   OTR 1 15,000 0 0
GMAC CAPITAL TRUST 1 Preferred Stock 361860208 18,961 709,100 SH   OTR 1 170,300 538,800 0
GODFREY ETC SD REF 4% 05/01/17 MUNICIP 380302ED7 26 25,000 PRN   OTR 1 25,000 0 0
GOLDCORP INC NEW COM 380956409 13,002 600,000 SH   OTR 1 37,890 562,110 0
GOLDEN KNIGHTS CORP FLA CTF 4. MUNICIP 381101AL8 26 25,000 PRN   OTR 1 25,000 0 0
GOODYEAR TIRE & RUBR CO PFD CONV 5.875% 382550309 19,382 289,922 SH   OTR 1 112,468 172,176 5,278
GOOSE CREEK TX CONS INDPT S 5. MUNICIP 382604B54 226 200,000 SH   OTR 1 200,000 0 0
GRAND PRAIRIE TEX WTR & 4.625% MUNICIP 386168QA9 16 15,000 PRN   OTR 1 15,000 0 0
GRANT PUD #2-RF-DEV-A 4% 01/01 MUNICIP 387883NA5 26 25,000 PRN   OTR 1 25,000 0 0
GREEN BAY WIS CORP PURP 4.250% MUNICIP 392641NP7 106 105,000 PRN   OTR 1 105,000 0 0
GUAM GOVT BUSINESS PRIVILEG 5. MUNICIP 40065NAM9 196 195,000 PRN   OTR 1 155,000 0 40,000
GUAM GOVT BUSINESS PRIVILEG 5. MUNICIP 40065NAN7 201 200,000 PRN   OTR 1 200,000 0 0
GUAM PWR AUTH REV-A 5.000% 10/ MUNICIP 400653GN5 595 565,000 PRN   OTR 1 350,000 0 215,000
HALLIBURTON CO COM 406216101 9,684 190,818 SH   OTR 1 4,100 186,718 0
HAMILTON CNTY OHIO HEALTH 5.25 MUNICIP 40727TCK8 151 150,000 PRN   OTR 1 150,000 0 0
HARRIS CNTY TEX FLOOD CTL 4.12 MUNICIP 414018W72 150 150,000 SH   OTR 1 150,000 0 0
HARRIS CNTY TEX PRERE 5.250% 1 MUNICIP 414005JP4 42 40,000 PRN   OTR 1 40,000 0 0
HARRIS CNTY UNREF 5.250% 10/01 MUNICIP 414005JQ2 114 110,000 PRN   OTR 1 110,000 0 0
HARRISONBURG-PUB IMPT 4.125% 0 MUNICIP 415666KX3 26 25,000 PRN   OTR 1 25,000 0 0
HARTFORD CONN GO REF BDS 5.000 MUNICIP 416415CV7 24 20,000 PRN   OTR 1 20,000 0 0
HARTFORD CONN GO REF BDS 5.000 MUNICIP 416415CZ8 57 55,000 PRN   OTR 1 55,000 0 0
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HEALTH CARE REIT INC PFD PER CON I 42217K601 5,030 97,900 SH   OTR 1 23,300 74,600 0
HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 29,122 24,263,000 PRN   OTR 1 6,479,000 17,614,000 170,000
HENNEPIN CNTY MN SALES TAX 4.8 MUNICIP 425538CH6 52 50,000 PRN   OTR 1 50,000 0 0
HERRIMAN UTAH SPL ASSMT 5% 11/ MUNICIP 427755AP8 465 450,000 PRN   OTR 1 450,000 0 0
HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 20,594 5,937,000 PRN   OTR 1 1,419,000 4,518,000 0
HIGHLANDS CNTY FL HEALTH FA 5. MUNICIP 431022SQ6 184 170,000 PRN   OTR 1 75,000 0 95,000
HIGHLANDS HLTH-G-UNRF 5.125% 1 MUNICIP 431022PR7 44 40,000 PRN   OTR 1 40,000 0 0
HILLSBOROUGH CNTY FL INDL 5.00 MUNICIP 43233ADW3 1,130 1,110,000 PRN   OTR 1 960,000 0 150,000
HOLOGIC INC DEBT 2.000% 3/0 436440AC5 19,041 18,611,000 PRN   OTR 1 5,002,000 13,246,000 363,000
HONOLULU CITY & CNTY HI 5.250% MUNICIP 438670QL8 27 25,000 PRN   OTR 1 25,000 0 0
HORNBECK OFFSHORE SVCS INC N NOTE 1.500% 9/0 440543AN6 16,178 13,627,000 PRN   OTR 1 7,029,000 6,221,000 377,000
HOST HOTELS & RESORTS LP CNV B Conv Bond P4 44107TAG1 17,006 11,225,000 PRN   OTR 1 195,000 11,030,000 0
HOUSTON TEX HIGHER ED 6.500% 0 MUNICIP 442378EE1 82 75,000 PRN   OTR 1 75,000 0 0
HOUSTON TEX HIGHER ED 6.875% 0 MUNICIP 442378EF8 195 175,000 PRN   OTR 1 125,000 0 50,000
HOUSTON TEX HOTEL OCCUPANCY 5. MUNICIP 44237NET5 901 825,000 PRN   OTR 1 825,000 0 0
HOUSTON TEX INDPT SCH DIST 5.0 MUNICIP 4424026V0 280 250,000 SH   OTR 1 250,000 0 0
HOUSTON TEX UTIL SYS 5.250% 05 MUNICIP 442435AX1 204 200,000 PRN   OTR 1 200,000 0 0
HOUSTON TEX UTIL SYS REV 5.125 MUNICIP 442435BG7 203 200,000 PRN   OTR 1 200,000 0 0
HOUSTON TX HGR EDU FIN CORP 4. MUNICIP 442378CY9 41 40,000 PRN   OTR 1 40,000 0 0
HOUSTON TX HOTEL OCCUPANCY 5.0 MUNICIP 44237NFW7 45 45,000 PRN   OTR 1 45,000 0 0
HOUSTON TX HOTEL OCCUPANCY 5.0 MUNICIP 44237NFX5 802 800,000 PRN   OTR 1 800,000 0 0
ILLINOIS FIN AUTH REV 6% 05/15 MUNICIP 45200F3R8 53 50,000 SH   OTR 1 50,000 0 0
ILLINOIS HSG DEV AUTH REV 4.10 MUNICIP 45201YSM0 170 160,000 PRN   OTR 1 160,000 0 0
ILLINOIS ST TOLL HWY AUTH 5.00 MUNICIP 452252DE6 111 100,000 PRN   OTR 1 100,000 0 0
INDIANA ST FIN AUTH REV 4.000% MUNICIP 455057JF7 208 200,000 PRN   OTR 1 200,000 0 0
INDIANA ST FIN AUTH REV 4.000% MUNICIP 455057JG5 107 100,000 PRN   OTR 1 100,000 0 0
INDIANAPOLIS IND LOC PUB 5.5% MUNICIP 45528S2W5 52 50,000 SH   OTR 1 0 0 50,000
INDIANAPOLIS IND MULTIFAMIL 4. MUNICIP 45528TAP9 375 360,000 PRN   OTR 1 330,000 0 30,000
INFINERA CORP 144A Conv Bond P2 45667GAA1 4,308 4,000,000 PRN   OTR 1 936,000 3,064,000 0
INSULET CORP NOTE 3.750% 6/1 45784PAC5 12,074 8,193,000 PRN   OTR 1 1,273,000 6,920,000 0
INTEL CORP SDCV 2.950%12/1 458140AD2 2,633 2,351,000 PRN   OTR 1 2,173,000 6,000 172,000
INTEL CORP SDCV 2.950%12/1 458140AD2 6,106 5,440,000 PRN   SOLE 5,440,000 0 0
INTEL CORP SDCV 3.250% 8/0 458140AF7 45,193 33,203,000 PRN   OTR 1 21,101,000 11,929,000 173,000
INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 19,338 18,228,000 PRN   OTR 1 8,586,000 9,323,000 319,000
INVENSENSE INC 144A Conv Bond P2 46123DAA4 16,605 14,200,000 PRN   OTR 1 646,000 13,554,000 0
INVESCO ADVANTAGE MUNICIPAL SH BEN INT 46132E103 3,095 294,194 SH   SOLE 294,194 0 0
IRVINGTON TWN NJ 4.625% 07/15/ MUNICIP 464080HK9 50 50,000 PRN   OTR 1 50,000 0 0
IXIA NOTE 3.000%12/1 45071RAB5 18,023 16,661,000 PRN   OTR 1 2,468,000 14,007,000 186,000
JACKSONVILLE UNIV-FEE 4.75% 12 MUNICIP 469205GE2 25 25,000 PRN   OTR 1 25,000 0 0
JANESVILLE SD-SCH BLD 4.5% 03/ MUNICIP 470878JA8 26 25,000 PRN   OTR 1 25,000 0 0
JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 9,713 9,339,000 PRN   OTR 1 6,300,000 3,039,000 0
JARDEN CORP NOTE 1.875% 9/1 471109AH1 40,146 28,338,000 PRN   OTR 1 4,686,000 23,385,000 267,000
JDS UNIPHASE CORP 144A Conv Bond P2 46612JAE1 18,541 18,449,000 PRN   OTR 1 1,373,000 17,076,000 0
JEA FLA ELEC SYS REV BDS-D 5.0 MUNICIP 46613C6U4 518 445,000 SH   OTR 1 245,000 0 200,000
JERSEY CITY N J GO REF BDS 5.5 MUNICIP 4765755Y7 28 25,000 SH   OTR 1 25,000 0 0
JOHNSON CITY TENN HEALTH &ED 5 MUNICIP 478271HX0 102 100,000 PRN   OTR 1 100,000 0 0
KANSAS ST DEV FIN AUTH HLTH 5. MUNICIP 48543BNM6 156 150,000 PRN   OTR 1 150,000 0 0
KANSAS ST DEV FIN AUTH REV 4.1 MUNICIP 4854286U5 26 25,000 SH   OTR 1 25,000 0 0
KB HOME NOTE 1.375% 2/0 48666KAS8 189 189,000 PRN   SOLE 189,000 0 0
KELLER TEX INDPT SCH DIST 5.25 MUNICIP 487694EB3 348 300,000 PRN   OTR 1 300,000 0 0
KENTUCKY ST PPTY & BLDGS 5.0% MUNICIP 49151EWZ2 140 125,000 PRN   OTR 1 125,000 0 0
KING CNTY WA PUB HOSP DIST 5.2 MUNICIP 494782JP1 326 320,000 PRN   OTR 1 255,000 0 65,000
KINGSPORT SCH PUB IMP 4% 02/01 MUNICIP 4964406T0 27 25,000 SH   OTR 1 25,000 0 0
KIRTLAND SD-IMPT 4.125% 12/01/ MUNICIP 497692DN0 26 25,000 PRN   OTR 1 25,000 0 0
LA CA UNI SCH DI COP-B PRER 5. MUNICIP 544648PR3 25 25,000 PRN   OTR 1 25,000 0 0
LA USD 5.000% 07/01/27 MUNICIP 544646LH3 54 50,000 PRN   OTR 1 50,000 0 0
LAFAYETTE LA PUB TR FING AUTH5 MUNICIP 506486CT4 83 75,000 PRN   OTR 1 75,000 0 0
LAKELAND FL EDUCTNL FACS 5.000 MUNICIP 511664AE4 625 610,000 PRN   OTR 1 610,000 0 0
LAKEWOOD OHIO WTR SYS REV 4.25 MUNICIP 512651BY5 26 25,000 PRN   OTR 1 25,000 0 0
LAM RESEARCH CORP NOTE 0.500% 5/1 512807AJ7 14,160 12,380,000 PRN   SOLE 12,380,000 0 0
LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 6,135 5,044,000 PRN   OTR 1 4,665,000 12,000 367,000
LAM RESEARCH CORP NOTE 1.250% 5/1 512807AL2 887 726,000 PRN   SOLE 726,000 0 0
LANSE CREUSE MICH PUB SCHS 5.0 MUNICIP 516228NE9 25 25,000 PRN   OTR 1 25,000 0 0
LARAMIE CNTY WY HOSP REV 5.000 MUNICIP 516706CR7 125 125,000 PRN   OTR 1 75,000 0 50,000
LEE CNTY COPS FACS 4.125% 04/0 MUNICIP 523717BN5 26 25,000 PRN   OTR 1 25,000 0 0
LEHMAN 5.250 02/06/13 ESCROW C Common Stock 525ESC2W8 19 90,000 SH   SOLE 90,000 0 0
LEHMAN 6.00 07/19/12 ESCROW CL Common Stock 525ESC8C6 153 720,000 SH   SOLE 720,000 0 0
LEHMAN 6.20 09/26/14 ESCROW CL Common Stock 525ESC6X2 15 70,000 SH   SOLE 70,000 0 0
LENNAR CORP CONV BOND 144A Conv Bond P2 526057BG8 15,833 8,796,000 PRN   OTR 1 2,338,000 6,458,000 0
LEON SCH BRD-REF 4% 07/01/19 MUNICIP 52643MBN4 26 25,000 PRN   OTR 1 25,000 0 0
LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 4,465 8,366,000 PRN   OTR 1 6,726,000 1,640,000 0
LIBERTY MEDIA CORP 144A Conv Bond P2 531229AA0 10,256 10,250,000 PRN   OTR 1 45,000 10,205,000 0
LITTLE ELM TEX CTFS OBLIG 4.75 MUNICIP 537095HY0 26 25,000 PRN   OTR 1 25,000 0 0
LITTLE ROCK AR SWR REVENUE 2.0 MUNICIP 537445MQ8 155 150,000 PRN   OTR 1 150,000 0 0
LITTLE ROCK AR SWR REVENUE 2.0 MUNICIP 537445MR6 232 225,000 PRN   OTR 1 225,000 0 0
LITTLE ROCK AR SWR REVENUE 3.0 MUNICIP 537445MS4 117 110,000 PRN   OTR 1 110,000 0 0
LIVINGSTON TWP NJ SCH DIST 4.5 MUNICIP 539158EJ0 102 100,000 PRN   OTR 1 100,000 0 0
LOC GOVT MUN BD AUTH REV 4.125 MUNICIP 59455TQL9 22 25,000 PRN   OTR 1 25,000 0 0
LOS ANGELES CNTY TRAN AUTH 5.0 MUNICIP 544712Z62 115 100,000 SH   OTR 1 100,000 0 0
LOUISIANA PUB FACS AUTH REV 5. MUNICIP 546398XF0 185 190,000 PRN   OTR 1 80,000 0 110,000
LOUISIANA ST CITIZENS PROP 5.0 MUNICIP 546456AZ7 740 680,000 PRN   OTR 1 600,000 0 80,000
LOUISIANA ST CITIZENS PROP 5.0 MUNICIP 546456BE3 27 25,000 PRN   OTR 1 25,000 0 0
LOUISIANA ST CITIZENS PROP 6.1 MUNICIP 546456CY8 790 695,000 PRN   OTR 1 620,000 0 75,000
LOUISIANA ST LOCAL GOVT 3.000% MUNICIP 546282RB2 62 60,000 PRN   OTR 1 60,000 0 0
LOUISIANA STAD & EXPOSITION 5. MUNICIP 546410BS9 923 805,000 PRN   OTR 1 805,000 0 0
LYCOMING CNTY PA AUTH 5.500% 0 MUNICIP 550804AQ1 292 285,000 PRN   OTR 1 285,000 0 0
LYONDELLBASELL INDU-CL A Common Stock NL0009434 0 0 SH   SOLE 0 0 0
MADISON SD REF-BLDG 4% 03/01/2 MUNICIP 558495HU4 26 25,000 PRN   OTR 1 25,000 0 0
MAGOFFIN CNTY SD 4.125% 08/01/ MUNICIP 559760JA2 26 25,000 PRN   OTR 1 25,000 0 0
MAIDEN HOLDINGS CNVPFD Conv Prfd Stock BMG5753U2 6,229 136,700 SH   OTR 1 30,100 106,600 0
MAJESTIC STAR CASINO LLC Common Stock D99MAJEST 766 638,290 PRN   OTR 1 192,270 446,020 0
MARLBORO TWP N J BRD ED REF 4. MUNICIP 570850JF5 154 150,000 PRN   OTR 1 150,000 0 0
MARLBORO TWP NJ GO 3.250% 10/0 MUNICIP 570833ET6 48 45,000 PRN   OTR 1 45,000 0 0
MASSACHUSETTES EDL FING AUT 4. MUNICIP 57563RHJ1 92 85,000 PRN   OTR 1 85,000 0 0
MASSACHUSETTS ST HEALTH & 5.00 MUNICIP 57586EWK3 218 200,000 PRN   OTR 1 150,000 0 50,000
MASSACHUSETTS ST HEALTH 4.500% MUNICIP 57586CUM5 43 40,000 PRN   OTR 1 40,000 0 0
MASSACHUSETTS ST HLTH & EDL 5. MUNICIP 57586CBP9 30 25,000 PRN   OTR 1 25,000 0 0
MASSACHUSETTS ST SCH BLDG 4.75 MUNICIP 576000FF5 71 70,000 PRN   OTR 1 70,000 0 0
MASSACHUSETTS ST TPK AUTH 0.00 MUNICIP 576018BB0 29 35,000 PRN   OTR 1 35,000 0 0
MASSACHUSETTS ST WTR POLLUT 4. MUNICIP 57604PZQ0 52 50,000 PRN   OTR 1 50,000 0 0
MEADE CNTY SD 2ND SER 4% 10/01 MUNICIP 583030HM6 26 25,000 PRN   OTR 1 25,000 0 0
MEDICINES CO DBCV 1.375% 6/0 584688AC9 17,425 11,564,000 PRN   OTR 1 4,196,000 7,050,000 318,000
MEDIDATA SOLUTIONS INC 144A Conv Bond P2 58471AAA3 20,616 16,098,000 PRN   OTR 1 144,000 15,954,000 0
MEDIVATION INC NOTE 2.625% 4/0 58501NAA9 15,179 10,361,000 PRN   OTR 1 85,000 10,276,000 0
MERCER CNTY NJ GO REF 5.000% 0 MUNICIP 587839XA4 29 25,000 PRN   OTR 1 25,000 0 0
MET GOVT NASHVILLE & DAVIDSON5 MUNICIP 592041RQ2 83 75,000 PRN   OTR 1 75,000 0 0
METLIFE INC UNIT 99/99/9999 59156R116 45,827 1,453,004 SH   OTR 1 543,050 900,789 9,165
METRO BOSTON TRANSIT PKG CORP5 MUNICIP 59180CAT8 74 70,000 PRN   OTR 1 70,000 0 0
METRO TRANSN AUTH NY REV-F 5.0 MUNICIP 59259YTP4 12 10,000 PRN   OTR 1 0 0 10,000
METRO TRANSN AUTH REV-B 5.000% MUNICIP 59259YZD4 608 605,000 PRN   OTR 1 420,000 0 185,000
METROPOLITAN WC DC ARPTS 5.000 MUNICIP 592643AC4 286 285,000 PRN   OTR 1 195,000 0 90,000
MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 16,614 12,065,000 PRN   OTR 1 2,539,000 9,346,000 180,000
MIAMI-DADE CNTY FL SCH 4.250% MUNICIP 59333MUF0 109 100,000 PRN   OTR 1 100,000 0 0
MIAMI-DADE CNTY FL WTR & SW 5. MUNICIP 59334DFN9 668 585,000 PRN   OTR 1 545,000 0 40,000
MICHIGAN FIN AUTH REV 5.250% 0 MUNICIP 59447PGE5 317 290,000 PRN   OTR 1 290,000 0 0
MICHIGAN MUN BD AUTH REV 4.250 MUNICIP 59455TQN5 22 25,000 PRN   OTR 1 25,000 0 0
MICHIGAN ST 5.250% 11/01/22 MUNICIP 5946103D7 110 100,000 SH   OTR 1 100,000 0 0
MICHIGAN ST FIN AUTH REV 5.000 MUNICIP 59447PRL7 519 510,000 PRN   OTR 1 485,000 0 25,000
MICHIGAN ST FIN AUTH REV 5.500 MUNICIP 59447PGF2 202 185,000 PRN   OTR 1 185,000 0 0
MICHIGAN ST FIN AUTH REVENU 5. MUNICIP 59447PMB4 815 750,000 PRN   OTR 1 715,000 0 35,000
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 34,765 19,979,000 PRN   OTR 1 7,786,000 12,023,000 170,000
MICRON TECHNOLOGY INC CONV BON Conv Bond P2 595112AS2 13,687 6,734,000 PRN   OTR 1 184,000 6,550,000 0
MIDDLESEX CNTY NJ 4.125% 01/01 MUNICIP 59656NGV8 214 200,000 PRN   OTR 1 200,000 0 0
MIDDLESEX CNTY NJ CTFS REF 4.0 MUNICIP 596562GY8 32 30,000 PRN   OTR 1 30,000 0 0
MINNESOTA PUB FACS AUTH 3.000% MUNICIP 604112CR1 53 50,000 PRN   OTR 1 50,000 0 0
MINNESOTA PUB FACS AUTH 5.000% MUNICIP 60411KBJ0 227 200,000 PRN   OTR 1 200,000 0 0
MINNESOTA ST HSG FIN AGY 4.200 MUNICIP 60415NZX3 140 135,000 PRN   OTR 1 135,000 0 0
MISSOURI ST HWYS & TRANS 5.000 MUNICIP 60636WQC2 116 100,000 PRN   OTR 1 100,000 0 0
MOLINE-CORP PURP-B 4% 11/01/18 MUNICIP 608557ST2 25 25,000 PRN   OTR 1 25,000 0 0
MONMOUTH CNTY N J GO REF 4.000 MUNICIP 6095587S4 350 325,000 SH   OTR 1 325,000 0 0
MONROE CNTY NY INDL DEV COR 5. MUNICIP 61075TCU0 55 50,000 PRN   OTR 1 0 0 50,000
MONROE UTIL REF-COMB 4% 12/01/ MUNICIP 610884DN5 25 25,000 PRN   OTR 1 25,000 0 0
MONTGOMERY CNTY TEX MUN 4.125% MUNICIP 613910LR7 151 150,000 PRN   OTR 1 150,000 0 0
MONTVILLE TWP N J GO REF BDS 5 MUNICIP 615298KN5 99 85,000 PRN   OTR 1 85,000 0 0
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MORONGO CA UNIF SCH DIST 5.250 MUNICIP 617736HN6 46 45,000 PRN   OTR 1 45,000 0 0
MORRIS CNTY NJ GO 5.000% 09/15 MUNICIP 6180233X1 35 30,000 SH   OTR 1 30,000 0 0
MOTORS LIQUIDATION CO GUC TRUS Common Stock 62010U101 10,083 313,611 SH   OTR 1 2 3 247,645 65,966 0
MOUNT LAUREL TWP N J GO BDS 4. MUNICIP 621791NZ1 262 250,000 PRN   OTR 1 250,000 0 0
MYLAN INC NOTE 3.750% 9/1 628530AJ6 20,770 6,325,000 PRN   OTR 1 1,647,000 4,678,000 0
N JERSEY DIST WTR 4% 11/15/14 MUNICIP 660160JP8 103 100,000 PRN   OTR 1 100,000 0 0
NASSAU CNTY NY GO BDS-A 5.000% MUNICIP 63165N2W7 204 180,000 SH   OTR 1 0 0 180,000
NATIONAL CITY CALIF CMNTY 4.00 MUNICIP 634900FG4 25 25,000 PRN   OTR 1 25,000 0 0
NEENAH CORP Common Stock 64007R109 22,496 1,756,098 SH   OTR 1 807,440 948,658 0
NETSUITE INC 144A Conv Bond P2 64118QAA5 7,311 6,601,000 PRN   OTR 1 62,000 6,539,000 0
NEVADA ST HWY IMPT REV 5% 12/0 MUNICIP 641480FU7 142 125,000 PRN   OTR 1 125,000 0 0
NEW BRAUNFELS TX INDPT 3.375% MUNICIP 642543RJ3 60 60,000 PRN   OTR 1 60,000 0 0
NEW BRAUNFELS-B-HOTEL 4.25% 09 MUNICIP 642526HA8 25 25,000 PRN   OTR 1 25,000 0 0
NEW JERSEY BLDG AUTH REV-A 4.5 MUNICIP 645771TX4 52 50,000 PRN   OTR 1 50,000 0 0
NEW JERSEY ECON DEV AUTH-N 5.0 MUNICIP 6459164Y0 16 15,000 SH   OTR 1 15,000 0 0
NEW JERSEY ECONOMIC DEV 5.750% MUNICIP 645916S57 174 170,000 SH   OTR 1 170,000 0 0
NEW JERSEY ECONOMIC DEV AUT 5. MUNICIP 645916G27 82 80,000 SH   OTR 1 80,000 0 0
NEW JERSEY ECONOMIC DEV AUT 5. MUNICIP 645916R66 220 215,000 SH   OTR 1 215,000 0 0
NEW JERSEY ECONOMIC DEV AUT 5. MUNICIP 645918YT4 243 230,000 PRN   OTR 1 130,000 0 100,000
NEW JERSEY ECONOMIC DEV AUTH 5 MUNICIP 645916Y84 109 100,000 SH   OTR 1 100,000 0 0
NEW JERSEY ECONOMIC DEV-C 4.50 MUNICIP 645918XP3 50 50,000 PRN   OTR 1 50,000 0 0
NEW JERSEY ENVIRON INF PRER 5. MUNICIP 645791LL6 12 10,000 PRN   OTR 1 10,000 0 0
NEW JERSEY ENVIRONMENTAL IN 5. MUNICIP 645791UY8 5 5,000 PRN   OTR 1 5,000 0 0
NEW JERSEY ENVIRONMENTAL IN 5. MUNICIP 645791VC5 185 185,000 PRN   OTR 1 185,000 0 0
NEW JERSEY ST EDJ FACS AUTH 4. MUNICIP 64605LW20 25 25,000 SH   OTR 1 25,000 0 0
NEW JERSEY ST EDL FACS AUTH 5. MUNICIP 646065QN5 222 200,000 PRN   OTR 1 200,000 0 0
NEW JERSEY ST EDL FACS AUTH 5. MUNICIP 646065RD6 28 25,000 PRN   OTR 1 25,000 0 0
NEW JERSEY ST EDL FACS-B 5.000 MUNICIP 646065Y48 82 75,000 SH   OTR 1 75,000 0 0
NEW JERSEY ST EDL FACS-L 4.375 MUNICIP 64605LJW9 50 50,000 PRN   OTR 1 50,000 0 0
NEW JERSEY ST EDUCTNL FACS 5.0 MUNICIP 646065RR5 264 250,000 PRN   OTR 1 250,000 0 0
NEW JERSEY ST GO REF-H 5.250% MUNICIP 646039AV9 41 40,000 PRN   OTR 1 40,000 0 0
NEW JERSEY ST HLTH CARE FAC 5. MUNICIP 64579FR54 236 225,000 SH   OTR 1 225,000 0 0
NEW JERSEY ST HSG & MTGE FIN 4 MUNICIP 6461297A8 55 55,000 SH   OTR 1 55,000 0 0
NEW JERSEY ST TPK AUTH-A 5.000 MUNICIP 646139Y41 104 100,000 SH   OTR 1 100,000 0 0
NEW JERSEY ST TRANSN FD-A 4.75 MUNICIP 646136QD6 152 155,000 PRN   OTR 1 155,000 0 0
NEW JERSEY ST TRANSPRTN 5.000% MUNICIP 646136PZ8 55 50,000 PRN   OTR 1 50,000 0 0
NEW JERSEY ST TRANSPRTN 5.000% MUNICIP 646136QB0 272 260,000 PRN   OTR 1 260,000 0 0
NEW JERSEY ST TRANSPRTN 5.000% MUNICIP 646136QC8 50 50,000 PRN   OTR 1 50,000 0 0
NEW JERSEY ST TRANSPRTN 5.000% MUNICIP 646136SS1 254 245,000 PRN   OTR 1 245,000 0 0
NEW JERSEY ST TRANSPRTN 5.000% MUNICIP 646136YA3 33 30,000 PRN   OTR 1 30,000 0 0
NEW JERSEY ST TRANSPRTN 5.500% MUNICIP 646136A76 26 25,000 SH   OTR 1 25,000 0 0
NEW JERSEY ST TRANSPRTN 6.104% MUNICIP 646136XT3 54 50,000 PRN   OTR 1 50,000 0 0
NEW KENSINGTON PA MUN SAN 5.00 MUNICIP 646309FN9 26 25,000 PRN   OTR 1 25,000 0 0
NEW YORK CITY TRANS TAX-I 5.00 MUNICIP 64971MY30 46 40,000 SH   OTR 1 0 0 40,000
NEW YORK CITY TRANSIT SUB-S 5. MUNICIP 64971Q5T6 55 50,000 SH   OTR 1 0 0 50,000
NEW YORK GO BDS-B 5.000% 08/01 MUNICIP 64966J3C8 43 40,000 SH   OTR 1 0 0 40,000
NEW YORK GO BDS-B 5.000% 08/15 MUNICIP 64966KSR5 34 30,000 PRN   OTR 1 0 0 30,000
NEW YORK GO BDS-E 5.000% 08/01 MUNICIP 64966HSP6 11 10,000 PRN   OTR 1 0 0 10,000
NEW YORK N Y 5% 08/01/22 MUNICIP 64966GE81 112 100,000 SH   OTR 1 100,000 0 0
NEW YORK N Y 6% 10/15/23 MUNICIP 64966HDA5 1,063 895,000 PRN   OTR 1 745,000 0 150,000
NEW YORK N Y UNREF 4.400% 08/0 MUNICIP 64966JHB5 5 5,000 PRN   OTR 1 5,000 0 0
NEW YORK NY CITY MUN PRERE 5.0 MUNICIP 64972F8A7 42 40,000 SH   OTR 1 40,000 0 0
NEW YORK NY CITY MUN UNREF 5.0 MUNICIP 64972F8G4 63 60,000 SH   OTR 1 60,000 0 0
NEW YORK NY GO-O 5.000% 06/01/ MUNICIP 64966KLZ4 64 60,000 PRN   OTR 1 60,000 0 0
NEW YORK ST 4.750% 02/15/37 MUNICIP 649791DX5 51 50,000 PRN   OTR 1 50,000 0 0
NEW YORK ST DORM AUTH 5.000% 0 MUNICIP 649902NE9 165 150,000 PRN   OTR 1 150,000 0 0
NEW YORK ST DORM AUTH FAC-B 5. MUNICIP 64983ML48 159 140,000 SH   OTR 1 0 0 140,000
NEW YORK ST DORM AUTH REV 5.00 MUNICIP 6499057N0 165 145,000 SH   OTR 1 0 0 145,000
NEW YORK ST DORM AUTH REV 5.00 MUNICIP 649906M50 139 140,000 SH   OTR 1 140,000 0 0
NEW YORK ST DORM AUTH REV-A 5. MUNICIP 649905CG9 46 40,000 PRN   OTR 1 0 0 40,000
NEW YORK ST DORM AUTH REV-C 5. MUNICIP 649905EP7 172 150,000 PRN   OTR 1 0 0 150,000
NEW YORK ST DORM AUTH REV-E 5. MUNICIP 649902V59 104 95,000 SH   OTR 1 0 0 95,000
NEW YORK ST DORM AUTH REV-F 5. MUNICIP 649907AW2 27 25,000 PRN   OTR 1 0 0 25,000
NEW YORK ST DORM AUTH REVS 5.0 MUNICIP 649906AG9 56 50,000 PRN   OTR 1 50,000 0 0
NEW YORK ST DORM AUTH REVS 5.2 MUNICIP 6499055S1 298 275,000 SH   OTR 1 275,000 0 0
NEW YORK ST DORM AUTH-A 4.000% MUNICIP 64990ECW5 81 75,000 PRN   OTR 1 75,000 0 0
NEW YORK ST DORM AUTH-A 5.000% MUNICIP 64983M6T0 38 35,000 SH   OTR 1 0 0 35,000
NEW YORK ST ENVIRON REV-A 5.00 MUNICIP 64986ANB3 38 35,000 PRN   OTR 1 0 0 35,000
NEW YORK ST LOC GOVT-A 5.000% MUNICIP 649876J34 206 180,000 SH   OTR 1 0 0 180,000
NEW YORK ST TWY AUTH GEN RE 5. MUNICIP 650009TB9 157 150,000 PRN   OTR 1 150,000 0 0
NEW YORK ST TWY AUTH ST 5.000% MUNICIP 650028RZ8 108 100,000 PRN   OTR 1 100,000 0 0
NEW YORK ST TWY AUTH-A 5.000% MUNICIP 650014TL7 57 50,000 PRN   OTR 1 0 0 50,000
NEW YORK ST URBAN DEV CORP- 5. MUNICIP 650035PC6 51 45,000 PRN   OTR 1 0 0 45,000
NEW YORK ST URBAN DEV CORP 5.0 MUNICIP 650035VS4 58 50,000 PRN   OTR 1 50,000 0 0
NEWARK NJ HSG AUTH HSG REV 5.7 MUNICIP 650373BA0 1,581 1,460,000 PRN   OTR 1 1,365,000 0 95,000
NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 574 573,000 PRN   SOLE 573,000 0 0
NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 2,134 2,135,000 PRN   OTR 1 1,968,000 6,000 161,000
NEWMONT MINING CORP NOTE 1.625% 7/1 651639AJ5 5,362 5,244,000 PRN   SOLE 5,244,000 0 0
NEWPAGE CORP ESCROW Common Stock 651ESCAD7 0 0 PRN   OTR 1 0 0 0
NEWPARK RES INC NOTE 4.000%10/0 651718AC2 11,400 8,469,000 PRN   OTR 1 2,187,000 6,106,000 176,000
NEXTERA ENERGY INC UNIT 09/01/2015 65339F887 877 15,491 SH   SOLE 15,491 0 0
NJ TPK REF-SER A 5.000% 01/01/ MUNICIP 646139A21 104 100,000 SH   OTR 1 100,000 0 0
NJ TRN-A-TRN SYS 5.500% 12/15/ MUNICIP 646135K36 137 125,000 SH   OTR 1 125,000 0 0
NJ TRN-A-TRN SYS 5.500% 12/15/ MUNICIP 646135K44 125 110,000 SH   OTR 1 110,000 0 0
NORFOLK VA WTR REVENUE 4.750% MUNICIP 656009GL5 35 35,000 PRN   OTR 1 35,000 0 0
NORTH BERGEN TWP NJ 4.500% 02/ MUNICIP 657645TY3 62 60,000 PRN   OTR 1 60,000 0 0
NORTH CAROLINA EASTN MUN PW 5. MUNICIP 658196P38 119 110,000 SH   OTR 1 110,000 0 0
NORTH CAROLINA ST 5.000% 03/01 MUNICIP 658256YB2 33 30,000 PRN   OTR 1 30,000 0 0
NORTH CAROLINA ST CAPITAL 4.62 MUNICIP 65825PCH1 63 60,000 PRN   OTR 1 60,000 0 0
NORTH CAROLINA TPK AUTH 5.750% MUNICIP 65830RAK5 251 235,000 PRN   OTR 1 185,000 0 50,000
NORTH HALEDON NJ SCH DIST 4.37 MUNICIP 659545CP0 30 30,000 PRN   OTR 1 30,000 0 0
NORTH TEX TWY AUTH 6.125% 01/0 MUNICIP 66285WDV5 42 40,000 PRN   OTR 1 0 0 40,000
NORTH TEX TWY AUTH 6@% 01/01/2 MUNICIP 662858FV6 144 125,000 PRN   OTR 1 125,000 0 0
NORTH TEX TWY AUTH REV 5.125% MUNICIP 66285WAT3 520 500,000 PRN   OTR 1 500,000 0 0
NORTH TX TWY AUT REV-F 5.750% MUNICIP 66285WDX1 214 205,000 PRN   OTR 1 65,000 0 140,000
NORTHERN BURLINGTON CNTY 5.250 MUNICIP 664822DH3 53 50,000 PRN   OTR 1 50,000 0 0
NORTHWEST TX INDPT SCH 5.000% MUNICIP 667825XR9 39 35,000 PRN   OTR 1 35,000 0 0
NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 50,089 29,890,000 PRN   OTR 1 10,114,000 19,576,000 200,000
NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 143 136,000 PRN   SOLE 136,000 0 0
NUANCE COMMUNICATIONS INC NOTE 2.750%11/0 67020YAF7 22,897 23,351,000 PRN   OTR 1 7,658,000 15,246,000 447,000
NUVEEN CA MUN MKT OPPORTUNT COM 67062U107 958 70,681 SH   OTR 1 38,711 31,970 0
NUVEEN DIV ADVANTAGE MUN FD COM 67070F100 3,337 262,987 SH   OTR 1 224,243 38,744 0
NUVEEN MICH QUALITY INCOME M COM 670979103 1,497 119,553 SH   OTR 1 95,050 24,503 0
NUVEEN MUN HIGH INCOME OPP F COM 670682103 3,573 297,717 SH   SOLE 297,717 0 0
NUVEEN MUN OPPORTUNITY FD IN COM 670984103 4,665 352,850 SH   SOLE 352,850 0 0
NUVEEN NY AMT-FREE MUN INCOM COM 670656107 209 17,036 SH   OTR 1 0 17,036 0
NUVEEN NY DIVID ADVNTG MUN F COM 67066X107 164 12,886 SH   OTR 1 9,173 3,713 0
NUVEEN PA INVT QUALITY MUN F COM 670972108 1,950 157,999 SH   OTR 1 105,010 52,989 0
NUVEEN PA PREM INCOME MUN FD COM 67061F101 1,948 163,808 SH   OTR 1 118,308 45,500 0
NUVEEN PERFORMANCE PLUS MUN COM 67062P108 3,094 228,660 SH   SOLE 228,660 0 0
NUVEEN PREM INCOME MUN FD 2 COM 67063W102 3,524 280,808 SH   SOLE 280,808 0 0
NUVEEN PREM INCOME MUN FD 4 COM 6706K4105 3,345 275,738 SH   SOLE 275,738 0 0
NUVEEN PREMIER MUN INCOME FD COM 670988104 932 75,362 SH   SOLE 75,362 0 0
NUVEEN QUALITY INCOME MUN FD COM 670977107 4,680 382,027 SH   SOLE 382,027 0 0
NVIDIA CORP 144A Conv Bond P2 67066GAB0 18,518 18,000,000 PRN   OTR 1 0 18,000,000 0
NY DORM 5.000% 07/01/20 MUNICIP 649903AY7 111 100,000 PRN   OTR 1 100,000 0 0
NY LOC ASST REF SER C 5.5% 04/ MUNICIP 649876JN0 17 15,000 PRN   OTR 1 0 0 15,000
NYC TRANS FIN 5.000% 07/15/26 MUNICIP 64972HBF8 55 50,000 PRN   OTR 1 50,000 0 0
NYS DORM AUTH REVS 5% 07/01/20 MUNICIP 64983QUR8 87 85,000 PRN   OTR 1 0 0 85,000
NYS UDC-B BE 5.250% 01/01/22 MUNICIP 650035LL0 57 50,000 PRN   OTR 1 0 0 50,000
OAKLAND CA UNIF SCH DIST 4.500 MUNICIP 672325QU4 372 405,000 PRN   OTR 1 405,000 0 0
OCEAN CNTY NJ GO REF 4.000% 08 MUNICIP 6747354X0 83 75,000 SH   OTR 1 75,000 0 0
OCEAN CNTY UTILS-REF 5.000% 01 MUNICIP 674758HJ9 120 120,000 PRN   OTR 1 120,000 0 0
OH WTR-PRERF-WTR QUAL 5.000% 1 MUNICIP 67766WRC8 102 100,000 PRN   OTR 1 100,000 0 0
OH WTR-UNREF-WTR QUAL 5.000% 1 MUNICIP 67766WRM6 26 25,000 PRN   OTR 1 25,000 0 0
OHIO ST COMMON SCHS GO REF- 5. MUNICIP 677521XU5 88 75,000 PRN   OTR 1 75,000 0 0
OMAHA PWR SUB-SYS-AA 4.15% 02/ MUNICIP 6817932F1 25 25,000 SH   OTR 1 25,000 0 0
OMAHA PWR-NEB CITY-A 4.1% 02/0 MUNICIP 682004BS4 25 25,000 PRN   OTR 1 25,000 0 0
OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 16,475 221,980 SH   OTR 1 4,430 217,550 0
OMNICARE INC NOTE 3.500% 2/1 681904AQ1 22,517 22,225,000 PRN   OTR 1 5,122,000 17,103,000 0
OMNICARE INC NOTE 3.750%12/1 681904AN8 9,675 4,211,000 PRN   OTR 1 3,891,000 11,000 309,000
OMNICOM GROUP INC NOTE 7/3 681919AV8 16,092 12,197,000 PRN   SOLE 12,197,000 0 0
ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AH8 5,334 4,852,000 PRN   OTR 1 4,492,000 11,000 349,000
ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AH8 229 207,000 PRN   SOLE 207,000 0 0
ORANGE CNTY FL HEALTH FACS 5.0 MUNICIP 6845036T7 340 340,000 SH   OTR 1 265,000 0 75,000
OREGON ST FACS AUTH REVENUE 2. MUNICIP 68608JPX3 440 420,000 PRN   OTR 1 420,000 0 0
OREGON ST FACS AUTH REVENUE 3. MUNICIP 68608JPY1 361 345,000 PRN   OTR 1 345,000 0 0
OREGON ST FACS AUTH REVENUE 3. MUNICIP 68608JPZ8 397 380,000 PRN   OTR 1 380,000 0 0
OTTAWA-SEW DISPOSAL 4% 05/01/2 MUNICIP 689225PB0 26 25,000 PRN   OTR 1 25,000 0 0
OWENS-BROCKWAY CONV BOND 144A Conv Bond P2 69073TAQ6 1,759 1,680,000 PRN   OTR 1 1,030,000 650,000 0
OXFORD BLDG AUTH-A 4.2% 10/01/ MUNICIP 69140XAR4 26 25,000 PRN   OTR 1 25,000 0 0
OXFORD MISS 4.000% 03/01/25 MUNICIP 691616KV7 25 25,000 PRN   OTR 1 25,000 0 0
OXNARD CALIF FING AUTH LEAS 5. MUNICIP 691875BL1 62 60,000 PRN   OTR 1 30,000 0 30,000
PALOMAR POMERADO CA HLTH 5.000 MUNICIP 69753RAY0 165 165,000 PRN   OTR 1 165,000 0 0
PARK CREEK MET DIST COLO RE 6. MUNICIP 700387CK7 201 190,000 PRN   OTR 1 145,000 0 45,000
PASCO CNTY FLA SCH BRD CTFS 4. MUNICIP 702528DS6 102 100,000 PRN   OTR 1 100,000 0 0
PASSAIC CNTY N J GO BDS 2008 5 MUNICIP 702725HY1 109 100,000 PRN   OTR 1 100,000 0 0
PENDLETON CNTY SD FIN 4.125% 0 MUNICIP 706770EF7 25 25,000 PRN   OTR 1 25,000 0 0
PENNSYLVANIA ST BUILD AMER 5.3 MUNICIP 70914PNE8 52 50,000 PRN   OTR 1 50,000 0 0
PENNSYLVANIA ST HGR EDUC FAC 4 MUNICIP 70917N7U2 25 25,000 SH   OTR 1 25,000 0 0
PENNSYLVANIA ST TURNPIKE COM 4 MUNICIP 709221GL3 110 110,000 PRN   OTR 1 110,000 0 0
PEQUANNOC RIVER NJ BASIN SW 3. MUNICIP 713478DW2 67 65,000 PRN   OTR 1 65,000 0 0
PEQUANNOCK NJ RIV BASIN SWR 3. MUNICIP 713478DX0 173 165,000 PRN   OTR 1 165,000 0 0
PEQUANNOCK RIVER NJ BASIN S 4. MUNICIP 713478DZ5 187 175,000 PRN   OTR 1 175,000 0 0
PERALTA CA CMNTY CLG DIST 5.00 MUNICIP 713575PE2 603 580,000 PRN   OTR 1 580,000 0 0
PERTH AMBOY NJ 5.000% 09/01/27 MUNICIP 715382YU5 243 225,000 PRN   OTR 1 225,000 0 0
PHARR TEX 4.100% 08/15/19 MUNICIP 717180LG6 26 25,000 PRN   OTR 1 25,000 0 0
PHILADELPHIA PA GO BDS 6.000% MUNICIP 717813MJ5 406 375,000 PRN   OTR 1 200,000 0 175,000
PHILADELPHIA PA GO BDS-A 5.250 MUNICIP 717813PM5 1,402 1,330,000 PRN   OTR 1 1,155,000 0 175,000
PIEDMONT MUN PWR AGY ELEC-C 5. MUNICIP 720175WX2 243 225,000 PRN   OTR 1 95,000 0 130,000
PIMA CNTY 4% 07/01/18 MUNICIP 721882BV9 26 25,000 PRN   OTR 1 25,000 0 0
PORT AUTH NY & NJ CONS 5.000% MUNICIP 73358TRE3 134 125,000 PRN   OTR 1 0 0 125,000
PORT AUTH OF NY & NJ 4.500% 10 MUNICIP 73358TMN8 5 5,000 PRN   OTR 1 5,000 0 0
PORT AUTH OF NY & NJ 4.750% 07 MUNICIP 73358T4E8 31 30,000 SH   OTR 1 30,000 0 0
PORT AUTH OF NY & NJ 4.750% 07 MUNICIP 73358T4H1 31 30,000 SH   OTR 1 30,000 0 0
PORT AUTH OF NY & NJ 4.750% 11 MUNICIP 73358T7Z8 51 50,000 SH   OTR 1 50,000 0 0
PORTLAND LTD TAX-C 4.375% 06/0 MUNICIP 736740JJ1 26 25,000 PRN   OTR 1 25,000 0 0
PORTLAND ME ARPT REV 5.000% 07 MUNICIP 736564CX1 250 250,000 PRN   OTR 1 250,000 0 0
POST HOLDINGS INC 144A Conv Prfd Stock 737446203 11,312 95,200 SH   OTR 1 25,700 69,500 0
POST HOLDINGS INC 144A Conv Prfd Stock 737446500 5,003 50,000 SH   OTR 1 500 49,500 0
PRICELINE COM INC DEBT 1.000% 3/1 741503AQ9 7,211 5,221,000 PRN   OTR 1 4,190,000 844,000 187,000
PRICELINE.COM INC 144A Conv Bond P2 741503AR7 30,089 26,293,000 PRN   OTR 1 13,297,000 12,996,000 0
PROOFPOINT INC 144A Conv Bond P2 743424AA1 5,686 5,250,000 PRN   OTR 1 1,264,000 3,986,000 0
PROVIDENCE R I PUB BLDGS 5.000 MUNICIP 74381MAE5 80 75,000 PRN   OTR 1 75,000 0 0
PUERTO RICO COMWLTH PRERE 5.00 MUNICIP 745190QU5 174 170,000 PRN   OTR 1 0 0 170,000
PUERTO RICO COMWLTH PRERE 5.00 MUNICIP 745190TU2 177 165,000 PRN   OTR 1 0 0 165,000
QUEBECOR WORLD LITIGATION TRST Common Stock 748ESCAA8 14 930,000 PRN   OTR 1 315,000 615,000 0
QUEBECOR WORLD LITIGATION TRUS Common Stock 748ESCAZ3 965 65,625,000 PRN   OTR 1 30,720,000 34,905,000 0
RADIAN GROUP INC NOTE 2.250% 3/0 750236AN1 11,295 7,677,000 PRN   OTR 1 126,000 7,551,000 0
RADNOR TWP SD SER C 4.05% 11/1 MUNICIP 750599HD7 26 25,000 PRN   OTR 1 25,000 0 0
RAMBUS INC 144A Conv Bond P2 750917AD8 7,953 7,561,000 PRN   OTR 1 2,004,000 5,557,000 0
REEDY CREEK AD VALOREM TAX-A 5 MUNICIP 758449NM0 191 165,000 PRN   OTR 1 70,000 0 95,000
RIDGEWOOD N J GO BDS 2007 5.00 MUNICIP 766243RW1 26 25,000 PRN   OTR 1 25,000 0 0
ROCKLAND CNTY NY 4.000% 04/01/ MUNICIP 77355PDB6 107 100,000 PRN   OTR 1 100,000 0 0
ROCK-TENN CO CL A 772739207 0 0 SH   OTR 1 0 0 0
ROSEVILLE MICH SCH DIST 5.000% MUNICIP 778017LP6 26 25,000 PRN   OTR 1 25,000 0 0
ROUND ROCK TX INDEP SCH DIST 5 MUNICIP 779240EM8 34 30,000 PRN   OTR 1 30,000 0 0
ROYSE CITY TX INDPT PRERE 0.00 MUNICIP 780869PG2 10 10,000 PRN   OTR 1 10,000 0 0
RPM INTL INC NOTE 2.250%12/1 749685AT0 18,234 16,413,000 PRN   OTR 1 7,129,000 9,071,000 213,000
RTI INTL METALS INC NOTE 1.625%10/1 74973WAB3 33,149 31,416,000 PRN   OTR 1 12,069,000 19,144,000 203,000
RTI INTL METALS INC NOTE 3.000%12/0 74973WAA5 200 176,000 PRN   SOLE 176,000 0 0
RYLAND GROUP INC NOTE 0.250% 6/0 783764AS2 3,710 3,972,000 PRN   OTR 1 3,233,000 510,000 229,000
SALESFORCE.COM INC 144A Conv Bond P2 79466LAC8 14,702 13,511,000 PRN   OTR 1 165,000 13,346,000 0
SALIX PHARMACEUTICALS INC NOTE 1.500% 3/1 795435AE6 47,101 31,509,000 PRN   OTR 1 11,443,000 19,717,000 349,000
SAN ANTONIO TEXAS ELEC & 5.375 MUNICIP 796253UP5 32 30,000 PRN   OTR 1 30,000 0 0
SAN JOSE CALIF REDEV AGY TAX 5 MUNICIP 798147N42 62 60,000 SH   OTR 1 60,000 0 0
SAN JUAN TEX HIGHER ED 6.700% MUNICIP 798410AG1 54 50,000 PRN   OTR 1 25,000 0 25,000
SAN JUAN TEX HIGHER ED FIN 5.1 MUNICIP 798410AD8 48 45,000 PRN   OTR 1 45,000 0 0
SANCHEZ ENERGY CORP Conv Prfd Stock 79970Y402 7,738 124,300 SH   OTR 1 500 123,800 0
SANDISK CORP 144A Conv Bond P2 80004CAE1 8,955 9,000,000 PRN   OTR 1 91,000 8,909,000 0
SANTA RITA CALIF UN SCH DIS 5. MUNICIP 802564CW2 240 240,000 PRN   OTR 1 240,000 0 0
SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 17,261 5,826,000 PRN   OTR 1 2,593,000 3,048,000 185,000
SCHLUMBERGER CONV BD P2 E 48124CAF0 62,027 39,315,000 PRN   OTR 1 10,966,000 28,349,000 0
SCHLUMBERGER LTD COM 806857108 1,982 22,000 SH   OTR 1 0 22,000 0
SEACOR HOLDINGS INC NOTE 2.500%12/1 811904AM3 5,578 4,533,000 PRN   OTR 1 110,000 4,423,000 0
SEATTLE WA MUN LT & PWR 5.250% MUNICIP 812643BW3 21 20,000 PRN   OTR 1 20,000 0 0
SERVICENOW INC 144A Conv Bond P2 81762PAA0 7,118 7,000,000 PRN   OTR 1 1,236,000 5,764,000 0
SERVICESOURCE INTL INC 144A Conv Bond P2 81763UAA8 8,007 8,462,000 PRN   OTR 1 5,515,000 2,947,000 0
SHUTTERFLY INC 144A Conv Bond P2 82568PAA4 17,874 16,637,000 PRN   OTR 1 4,133,000 12,504,000 0
SL GREEN OPERATING PARTNERSHIP Conv Bond P2 78444FAC0 20,570 16,464,000 PRN   OTR 1 45,000 16,419,000 0
SMURFIT STONE CONTAINER ESCROW Common Stock 832ESC9C3 0 0 SH   OTR 1 0 0 0
SOUTH CAROLINA TRANSN INFR- 5. MUNICIP 837152SF5 87 75,000 PRN   OTR 1 75,000 0 0
SOUTH FORK MUN AUTH PA HOSP 5% MUNICIP 83786DFN2 226 200,000 PRN   OTR 1 200,000 0 0
SOUTH PLAINFIELD N J GEN 5.000 MUNICIP 839431SK0 169 150,000 PRN   OTR 1 150,000 0 0
SPANISH BROADCASTING SYS Preferred Stock 846425783 494 642 SH   SOLE 642 0 0
SPANSION LLC 144A Conv Bond P2 84649PAK1 15,196 12,981,000 PRN   OTR 1 3,000 12,978,000 0
SPARTA TWP NJ BRD OF EDU 4.300 MUNICIP 846727HA6 125 125,000 PRN   OTR 1 125,000 0 0
SPDR SERIES TRUST BRC CNV SECS ETF 78464A359 222 4,760 SH   OTR 1 4,591 0 169
SPDR SERIES TRUST NUV HGHYLD MUN 78464A284 919 18,000 SH   OTR 1 0 18,000 0
ST LOUIS CNTY MO INDL DEV 5.00 MUNICIP 791524BP5 390 400,000 PRN   OTR 1 350,000 0 50,000
ST LOUIS MO MUNI FIN CORP 4.00 MUNICIP 79165TLG4 26 25,000 PRN   OTR 1 25,000 0 0
STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 43,218 350,776 SH   OTR 1 171,069 174,716 4,991
STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502804 5,160 50,000 SH   OTR 1 12,900 37,100 0
STATE PUB SCH BLDG AUTH 5.000% MUNICIP 85732GNT3 301 285,000 PRN   OTR 1 285,000 0 0
STATE PUB SCH BLDG AUTH PA 4.7 MUNICIP 8573226B2 30 30,000 SH   OTR 1 30,000 0 0
STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 7,071 6,003,000 PRN   OTR 1 5,419,000 268,000 316,000
STOCKTON CA UNIF SCH DIST 4.55 MUNICIP 861419KD0 135 135,000 PRN   OTR 1 40,000 0 95,000
STOCKTON CA UNIF SCH DIST 5.00 MUNICIP 861419KX6 57 55,000 PRN   OTR 1 55,000 0 0
SUBSEA 7 SA CONV BOND REG S Conv BdP2 A/365 NO0010542 14,398 11,400,000 SH   OTR 1 2,300,000 9,100,000 0
SUBSEA 7 SA CONV BOND REG S Conv BdP2 A/365 NO0010661 5,256 5,200,000 SH   OTR 1 0 5,200,000 0
SWEDESBORO WOOLWICH N J CONS 4 MUNICIP 870262DT6 412 410,000 PRN   OTR 1 410,000 0 0
SWEDESBORO WOOLWICH NJ CON 4.5 MUNICIP 870262DL3 67 65,000 PRN   OTR 1 65,000 0 0
SWEDESBORO WOOLWICH NJ CON 4.5 MUNICIP 870262DM1 51 50,000 PRN   OTR 1 50,000 0 0
SWSTRN DEV-MASCOUTAH 4.6% 02/0 MUNICIP 84552YJP7 26 25,000 PRN   OTR 1 25,000 0 0
TAKE-TWO INTERACTIVE SOFTWAR NOTE 1.000% 7/0 874054AD1 259 242,000 PRN   SOLE 242,000 0 0
TAMPA FLA WTR & SWR 5.000% 10/ MUNICIP 875290WP9 161 140,000 PRN   OTR 1 140,000 0 0
TELEFLEX INC NOTE 3.875% 8/0 879369AA4 44,714 28,276,000 PRN   OTR 1 11,872,000 15,939,000 465,000
TENAFLY N J BRD ED REF 5.000% MUNICIP 880252EK3 169 150,000 PRN   OTR 1 150,000 0 0
TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 45,066 42,263,000 PRN   OTR 1 18,020,000 23,971,000 272,000
TEXAS PRIVATE ACTIVITY 7.500% MUNICIP 882667AC2 603 540,000 PRN   OTR 1 540,000 0 0
TEXAS PRIVATE ACTIVITY BD 6.87 MUNICIP 882667AB4 428 400,000 PRN   OTR 1 210,000 0 190,000
TEXAS PRIVATE ACTIVITY SUR 7.0 MUNICIP 882667AD0 719 665,000 PRN   OTR 1 500,000 0 165,000
TEXAS ST 5.250% 08/01/22 MUNICIP 8827205J0 257 250,000 SH   OTR 1 250,000 0 0
TEXAS ST MUNI GAS AQUISITIO 5. MUNICIP 88256HAS7 446 465,000 PRN   OTR 1 405,000 0 60,000
TEXAS ST TRANSN COMMN 5.000% 0 MUNICIP 882721LM3 132 125,000 PRN   OTR 1 125,000 0 0
TEXAS ST TRANSN COMMN-MOBIL 4. MUNICIP 882721PA5 40 40,000 PRN   OTR 1 40,000 0 0
TIBCO SOFTWARE INC COM 88632Q103 4,090 181,948 SH   OTR 1 0 181,948 0
TIBCO SOFTWARE INC NOTE 2.250% 5/0 88632QAB9 169 168,000 PRN   SOLE 168,000 0 0
TIDEWATER INC COM 886423102 12,124 204,550 SH   OTR 1 600 203,950 0
TOBACCO SETTLEMENT FING 4.625% MUNICIP 888808DC3 113 135,000 PRN   OTR 1 135,000 0 0
TOBACCO SETTLEMENT FING CORP 5 MUNICIP 888808DD1 114 145,000 PRN   OTR 1 145,000 0 0
TOBACCO SETTLEMENT FING CORP 5 MUNICIP 888808DF6 39 55,000 PRN   OTR 1 55,000 0 0
TRENTON NJ 4.000% 07/15/14 MUNICIP 895130Q21 290 285,000 SH   OTR 1 285,000 0 0
TRIBOROUGH BRDG & TUNL REV-E 5 MUNICIP 89602NAZ7 256 215,000 PRN   OTR 1 0 0 215,000
TRINITY RIVER AUTH TEX TEN 4.2 MUNICIP 896576JM8 26 25,000 PRN   OTR 1 25,000 0 0
TROY N Y CAP RESOURCE CORP 5% MUNICIP 897579AM0 111 100,000 PRN   OTR 1 100,000 0 0
TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 5,225 5,073,000 PRN   OTR 1 4,704,000 12,000 357,000
TWIN RIVERS CA UNIF SCH DIS 3. MUNICIP 90171UAH0 1,394 1,405,000 PRN   OTR 1 1,265,000 0 140,000
TX GAS ACQ SER A 5.000% 12/15/ MUNICIP 88256CAG4 107 100,000 PRN   OTR 1 100,000 0 0
U S CONCRETE INC COM NEW 90333L201 20,095 887,988 SH   OTR 1 4 739,412 148,576 0
UNION CNTY NJ-B 3.000% 03/01/1 MUNICIP 90634PAS8 48 45,000 PRN   OTR 1 45,000 0 0
UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 769 717,000 PRN   OTR 1 345,000 372,000 0
UNITED TECHNOLOGIES CORP UNIT 99/99/9999 913017117 53,469 818,356 SH   OTR 1 307,023 504,239 7,094
UNIV KS HOSP 5.000% 09/01/16 MUNICIP 914367BY2 44 40,000 PRN   OTR 1 40,000 0 0
UNIVERSITY CINCINNATI OHIO 5.0 MUNICIP 914119UB6 257 240,000 PRN   OTR 1 195,000 0 45,000
UNIVERSITY NC CHAPEL HILL 5.00 MUNICIP 914713A28 27 25,000 SH   OTR 1 25,000 0 0
UNIVERSITY NORTHN COLO 5.000% MUNICIP 914739DZ7 25 25,000 PRN   OTR 1 25,000 0 0
UNIVERSITY TOLEDO OHIO GEN 4.1 MUNICIP 915138HM6 26 25,000 PRN   OTR 1 25,000 0 0
UNIVERSITY VA UNIV 5% 06/01/40 MUNICIP 915217QT3 26 25,000 PRN   OTR 1 25,000 0 0
UPPER OCCOQUAN VA SEWAGE AU 4. MUNICIP 916277JX5 40 40,000 PRN   OTR 1 40,000 0 0
UPPER TRINITY REGL WTR DIST 4. MUNICIP 916672QE1 25 25,000 PRN   OTR 1 25,000 0 0
UPSTATE NY POWER PRODUCERS INC Common Stock 916783103 2,132 112,236 SH   OTR 1 41,289 70,947 0
UPSTATE NY POWER PRODUCERS INC Conv Bond P2 834628AA7 12,519 8,516,297 PRN   OTR 1 2,249,325 6,266,972 0
UTAH INFRASTRUCTURE AGY 5.250% MUNICIP 917466AT1 574 550,000 PRN   OTR 1 550,000 0 0
UTAH ST CHARTER SCH FIN-A 5.25 MUNICIP 91754TFW8 571 535,000 PRN   OTR 1 500,000 0 35,000
VA ST HSG 4.5% 07/01/24 MUNICIP 92812UZV3 26 25,000 PRN   OTR 1 25,000 0 0
VERINT SYS INC COM 92343X100 2 53 SH   SOLE 53 0 0
VIRGIN ISLANDS PUB FIN AUTH 5% MUNICIP 927676RA6 109 100,000 PRN   OTR 1 100,000 0 0
VIRGIN ISLANDS PUB FIN AUTH 5. MUNICIP 927676MU7 92 90,000 PRN   OTR 1 90,000 0 0
VIRGIN ISLANDS PUB FIN AUTH 5. MUNICIP 927676MW3 76 75,000 PRN   OTR 1 75,000 0 0
VIRGIN ISLANDS PUB FIN AUTH 5. MUNICIP 927676PE0 57 55,000 PRN   OTR 1 55,000 0 0
VIRGIN ISLANDS PUB FIN AUTH 5. MUNICIP 927676QZ2 11 10,000 PRN   OTR 1 10,000 0 0
VIRGIN ISLANDS PUB FIN REV- 5. MUNICIP 927676RR9 573 580,000 PRN   OTR 1 505,000 0 75,000
VIRGIN ISLANDS PUBLIC FIN 5.00 MUNICIP 927676QV1 879 890,000 PRN   OTR 1 850,000 0 40,000
VIRGINIA COLLEGE BLDG AUTH VA MUNICIP 927781XM1 241 225,000 PRN   OTR 1 225,000 0 0
VIRGINIA ST PUBLIC SCH DIST 4. MUNICIP 92817SCR7 51 50,000 PRN   OTR 1 50,000 0 0
VOLCANO CORPORATION NOTE 1.750%12/0 928645AB6 4,960 5,055,000 PRN   OTR 1 4,688,000 11,000 356,000
W CONTRA COSTA CA UNIF SCH 5.2 MUNICIP 952347YE6 234 220,000 PRN   OTR 1 170,000 0 50,000
WA DC CONVTN-REF-A 5.000% 10/0 MUNICIP 93877MCB0 102 100,000 PRN   OTR 1 100,000 0 0
WA SER D 5.000% 01/01/20 MUNICIP 93974BMW9 136 125,000 PRN   OTR 1 125,000 0 0
WABASH NATL CORP NOTE 3.375% 5/0 929566AH0 32,049 24,565,000 PRN   OTR 1 9,477,000 14,748,000 340,000
WALTER INVT MGMT CORP NOTE 4.500%11/0 93317WAA0 6,067 6,044,000 PRN   OTR 1 336,000 5,708,000 0
WARREN CNTY KY HOSP REV 5.000% MUNICIP 934864AV1 608 590,000 PRN   OTR 1 445,000 0 145,000
WARREN CNTY KY HOSP REVENUE 5. MUNICIP 934864AE9 420 420,000 PRN   OTR 1 420,000 0 0
WARREN SD REF 4.25% 05/01/24 MUNICIP 935341VS3 25 25,000 PRN   OTR 1 25,000 0 0
WASHINGTON ST GO REF BDS-R 4.0 MUNICIP 93974CH94 109 100,000 SH   OTR 1 100,000 0 0
WASHINGTON ST HIGHER ED FAC 4. MUNICIP 939781XX3 27 25,000 PRN   OTR 1 25,000 0 0
WASHOE CNTY NV HWY REV 5.000% MUNICIP 940839BY8 307 295,000 PRN   OTR 1 295,000 0 0
WATERLOO IOWA REF SER B 4.000% MUNICIP 941647EQ8 210 200,000 PRN   OTR 1 200,000 0 0
WELLPOINT INC NOTE 2.750%10/1 94973VBG1 28,926 21,289,000 PRN   OTR 1 8,841,000 12,448,000 0
WELLS FARGO & CO NEW PERP PFD CNV A 949746804 14,971 13,525 SH   OTR 1 12,019 1,213 293
WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 17,348 5,352,000 PRN   OTR 1 2,639,000 2,549,000 164,000
WEST CHESTER SD-RF-A 4.125% 02 MUNICIP 952030YY4 26 25,000 PRN   OTR 1 25,000 0 0
WEST CHICAGO IL PK DIST 5.250% MUNICIP 952083HD8 219 210,000 PRN   OTR 1 210,000 0 0
WEST HARRIS CNTY TX REGL WT 5. MUNICIP 95308RFE4 313 275,000 PRN   OTR 1 235,000 0 40,000
WEST VA ST SCH BLDG AUTH 5.250 MUNICIP 95667NBA0 103 100,000 PRN   OTR 1 0 0 100,000
WEST WINDSOR PLAINSBORO 3.000% MUNICIP 956882NT7 267 250,000 PRN   OTR 1 250,000 0 0
WEYERHAEUSER CO PREF CONV SER A 962166872 2,449 43,700 SH   SOLE 43,700 0 0
WILLISTON ND SALES TAX REV- 4. MUNICIP 97072NBT4 1,035 990,000 PRN   OTR 1 760,000 0 230,000
WISCONSIN ST CLEAN WTR REV 5.0 MUNICIP 977092NZ4 20 20,000 PRN   OTR 1 20,000 0 0
WISCONSIN ST GO BDS-A 5.000% 0 MUNICIP 97705LW29 87 75,000 SH   OTR 1 75,000 0 0
WISCONSIN ST HEALTH & EDL F 5. MUNICIP 97710BWH1 170 160,000 PRN   OTR 1 160,000 0 0
WRIGHT MED GROUP INC NOTE 2.000% 8/1 98235TAC1 14,469 10,813,000 PRN   OTR 1 1,861,000 8,952,000 0
XILINX INC NOTE 2.625% 6/1 983919AF8 28,393 17,759,000 PRN   OTR 1 15,863,000 1,586,000 310,000
XPO LOGISTICS INC NOTE 4.500%10/0 983793AA8 16,909 10,084,000 PRN   OTR 1 2,715,000 7,183,000 186,000
YAHOO INC 144A Conv Bond P2 984332AE6 15,572 15,000,000 PRN   OTR 1 78,000 14,922,000 0