0001172661-22-000324.txt : 20220211 0001172661-22-000324.hdr.sgml : 20220211 20220211084317 ACCESSION NUMBER: 0001172661-22-000324 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20211231 FILED AS OF DATE: 20220211 DATE AS OF CHANGE: 20220211 EFFECTIVENESS DATE: 20220211 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: 22616935 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 12-31-2021 12-31-2021 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 02-11-2022 4 598 1705377 1 0001125816 028-06487 FIRST TRUST ADVISORS LP 2 0001673385 028-17446 Morningstar Investment Management LLC 3 0000908758 028-14511 American Beacon Advisors, Inc. 4 0001308668 028-10998 GuideStone Capital Management, LLC INFORMATION TABLE 2 infotable.xml 2U INC NOTE 2.250% 5/0 90214JAB7 528 499000 PRN DFND 3 499000 0 0 2U INC NOTE 2.250% 5/0 90214JAB7 332 314000 PRN DFND 4 314000 0 0 2U INC NOTE 2.250% 5/0 90214JAB7 137 129000 PRN SOLE 129000 0 0 2U INC NOTE 2.250% 5/0 90214JAB7 590 558000 PRN DFND 2 558000 0 0 3M CO COM 88579Y101 224 1245 SH SOLE 1245 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 177 178000 PRN SOLE 178000 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 444 446000 PRN DFND 2 446000 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 623 626000 PRN DFND 3 626000 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 249 250000 PRN DFND 4 250000 0 0 ABBOTT LABS COM 002824100 714 5076 SH SOLE 5076 0 0 ABBVIE INC COM 00287Y109 482 3550 SH SOLE 3550 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 478 1151 SH SOLE 1151 0 0 ADOBE SYSTEMS INCORPORATED COM 00724F101 504 891 SH SOLE 891 0 0 ADVANCED MICRO DEVICES INC COM 007903107 244 1699 SH SOLE 1699 0 0 AIR TRANS SVCS GROUP INC NOTE 1.125%10/1 00922RAB1 737 656000 PRN DFND 2 656000 0 0 AIR TRANS SVCS GROUP INC NOTE 1.125%10/1 00922RAB1 761 677000 PRN DFND 3 677000 0 0 AIR TRANS SVCS GROUP INC NOTE 1.125%10/1 00922RAB1 562 500000 PRN DFND 4 500000 0 0 AIR TRANS SVCS GROUP INC NOTE 1.125%10/1 00922RAB1 188 167000 PRN SOLE 167000 0 0 AKAMAI TECHNOLOGIES INC NOTE 0.125% 5/0 00971TAJ0 1538 1175000 PRN DFND 1 1175000 0 0 AKAMAI TECHNOLOGIES INC NOTE 0.125% 5/0 00971TAJ0 9447 7218000 PRN SOLE 7218000 0 0 AKAMAI TECHNOLOGIES INC NOTE 0.375% 9/0 00971TAL5 3944 3373000 PRN SOLE 3373000 0 0 ALGONQUIN PWR UTILS CORP UNIT 99/99/9999 015857873 543 11531 SH DFND 2 11531 0 0 ALGONQUIN PWR UTILS CORP UNIT 99/99/9999 015857873 667 14183 SH DFND 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7874000 PRN SOLE 7874000 0 0 BK OF AMERICA CORP 7.25%CNV PFD L 060505682 3434 2373 SH SOLE 2373 0 0 BK OF AMERICA CORP COM 060505104 1049 23534 SH SOLE 23534 0 0 BLOCK INC NOTE 0.125% 3/0 852234AF0 225 153000 PRN SOLE 153000 0 0 BLOCK INC NOTE 0.250%11/0 852234AK9 3012 2840000 PRN DFND 1 2840000 0 0 BLOCK INC NOTE 0.250%11/0 852234AK9 19710 18581000 PRN SOLE 18581000 0 0 BLOOM ENERGY CORP NOTE 2.500% 8/1 093712AH0 622 401000 PRN DFND 2 401000 0 0 BLOOM ENERGY CORP NOTE 2.500% 8/1 093712AH0 757 488000 PRN DFND 3 488000 0 0 BLOOM ENERGY CORP NOTE 2.500% 8/1 093712AH0 375 242000 PRN DFND 4 242000 0 0 BLOOM ENERGY CORP NOTE 2.500% 8/1 093712AH0 185 119000 PRN SOLE 119000 0 0 BOEING CO COM 097023105 344 1708 SH SOLE 1708 0 0 BOOKING HOLDINGS INC NOTE 0.750% 5/0 09857LAN8 38204 26015000 PRN SOLE 26015000 0 0 BOOKING HOLDINGS INC NOTE 0.750% 5/0 09857LAN8 2203 1500000 PRN DFND 1 1500000 0 0 BOSTON SCIENTIFIC CORP 5.50% CNV PFD A 101137206 1473 12950 SH DFND 1 12950 0 0 BOSTON SCIENTIFIC CORP 5.50% CNV PFD A 101137206 10218 89840 SH SOLE 89840 0 0 BRISTOL-MYERS SQUIBB CO COM 110122108 248 4003 SH SOLE 4003 0 0 BROADCOM INC 8% MCNV PFD SR A 11135F200 42169 20344 SH SOLE 20344 0 0 BROADCOM INC 8% MCNV PFD SR A 11135F200 6146 2965 SH DFND 1 2965 0 0 BROADCOM INC COM 11135F101 626 939 SH SOLE 939 0 0 BURLINGTON STORES INC NOTE 2.250% 4/1 122017AB2 6047 4071000 PRN SOLE 4071000 0 0 BURLINGTON STORES INC NOTE 2.250% 4/1 122017AB2 594 400000 PRN DFND 4 400000 0 0 BURLINGTON STORES INC NOTE 2.250% 4/1 122017AB2 906 610000 PRN DFND 3 610000 0 0 BURLINGTON STORES INC NOTE 2.250% 4/1 122017AB2 1215 818000 PRN DFND 1 818000 0 0 BURLINGTON STORES INC NOTE 2.250% 4/1 122017AB2 854 575000 PRN DFND 2 575000 0 0 CALLAWAY GOLF CO COM 131193104 203 7413 SH SOLE 7413 0 0 CALLAWAY GOLF COMPANY NOTE 2.750% 5/0 131193AE4 5046 2928000 PRN SOLE 2928000 0 0 CALLAWAY GOLF COMPANY NOTE 2.750% 5/0 131193AE4 455 264000 PRN DFND 4 264000 0 0 CALLAWAY GOLF COMPANY NOTE 2.750% 5/0 131193AE4 779 452000 PRN DFND 2 452000 0 0 CALLAWAY GOLF COMPANY NOTE 2.750% 5/0 131193AE4 982 570000 PRN DFND 1 570000 0 0 CALLAWAY GOLF COMPANY NOTE 2.750% 5/0 131193AE4 986 572000 PRN DFND 3 572000 0 0 CARNIVAL CORP NOTE 5.750% 4/0 143658BE1 290 138000 PRN SOLE 138000 0 0 CENTENNIAL RESOURCE DEV INC NOTE 3.250% 4/0 15136AAA0 1274 1016000 PRN DFND 1 1016000 0 0 CENTENNIAL RESOURCE DEV INC NOTE 3.250% 4/0 15136AAA0 1092 871000 PRN DFND 2 871000 0 0 CENTENNIAL RESOURCE DEV INC NOTE 3.250% 4/0 15136AAA0 1424 1136000 PRN DFND 3 1136000 0 0 CENTENNIAL RESOURCE DEV INC NOTE 3.250% 4/0 15136AAA0 627 500000 PRN DFND 4 500000 0 0 CENTENNIAL RESOURCE DEV INC NOTE 3.250% 4/0 15136AAA0 6332 5050000 PRN SOLE 5050000 0 0 CERENCE INC NOTE 3.000% 6/0 156727AB5 4215 1934000 PRN SOLE 1934000 0 0 CHEESECAKE FACTORY INC NOTE 0.375% 6/1 163072AA9 112 125000 PRN SOLE 125000 0 0 CHEESECAKE FACTORY INC NOTE 0.375% 6/1 163072AA9 255 285000 PRN DFND 4 285000 0 0 CHEESECAKE FACTORY INC NOTE 0.375% 6/1 163072AA9 436 487000 PRN DFND 2 487000 0 0 CHEESECAKE FACTORY INC NOTE 0.375% 6/1 163072AA9 540 603000 PRN DFND 3 603000 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 861 813000 PRN DFND 2 813000 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 1056 997000 PRN DFND 3 997000 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 530 500000 PRN DFND 4 500000 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 734 693000 PRN SOLE 693000 0 0 CHEGG INC NOTE 9/0 163092AF6 412 498000 PRN DFND 4 498000 0 0 CHEGG INC NOTE 9/0 163092AF6 146 177000 PRN SOLE 177000 0 0 CHEGG INC NOTE 9/0 163092AF6 680 822000 PRN DFND 2 822000 0 0 CHEGG INC NOTE 9/0 163092AF6 830 1003000 PRN DFND 3 1003000 0 0 CHENIERE ENERGY INC NOTE 4.250% 3/1 16411RAG4 989 1175000 PRN DFND 3 1175000 0 0 CHENIERE ENERGY INC NOTE 4.250% 3/1 16411RAG4 508 604000 PRN DFND 4 604000 0 0 CHENIERE ENERGY INC NOTE 4.250% 3/1 16411RAG4 313 372000 PRN SOLE 372000 0 0 CHENIERE ENERGY INC NOTE 4.250% 3/1 16411RAG4 1135 1349000 PRN DFND 2 1349000 0 0 CHEVRON CORP NEW COM 166764100 426 3629 SH SOLE 3629 0 0 CINEMARK HLDGS INC NOTE 4.500% 8/1 17243VAB8 796 557000 PRN DFND 1 557000 0 0 CINEMARK HLDGS INC NOTE 4.500% 8/1 17243VAB8 4166 2915000 PRN SOLE 2915000 0 0 CISCO SYS INC COM 17275R102 715 11259 SH SOLE 11259 0 0 CLARIVATE PLC 5.25% PFD CONV A G21810208 129 1425 SH SOLE 1425 0 0 CLARIVATE PLC 5.25% PFD CONV A G21810208 254 2815 SH DFND 4 2815 0 0 CLARIVATE PLC 5.25% PFD CONV A G21810208 434 4810 SH DFND 2 4810 0 0 CLARIVATE PLC 5.25% PFD CONV A G21810208 537 5950 SH DFND 3 5950 0 0 CLEVELAND-CLIFFS INC NEW COM 185899101 264 12119 SH SOLE 12119 0 0 CNX RES CORP NOTE 2.250% 5/0 12653CAG3 752 575000 PRN DFND 1 575000 0 0 CNX RES CORP NOTE 2.250% 5/0 12653CAG3 4811 3679000 PRN SOLE 3679000 0 0 COCA COLA CO COM 191216100 587 9932 SH SOLE 9932 0 0 COHERUS BIOSCIENCES INC NOTE 1.500% 4/1 19249HAB9 681 619000 PRN DFND 2 619000 0 0 COHERUS BIOSCIENCES INC NOTE 1.500% 4/1 19249HAB9 164 149000 PRN SOLE 149000 0 0 COHERUS BIOSCIENCES INC NOTE 1.500% 4/1 19249HAB9 564 512000 PRN DFND 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3081 SH DFND 1 3081 0 0 DANAHER CORPORATION 5% CONV PFD B 235851409 33046 18912 SH SOLE 18912 0 0 DANAHER CORPORATION COM 235851102 712 2158 SH SOLE 2158 0 0 DATADOG INC NOTE 0.125% 6/1 23804LAB9 1052 525000 PRN DFND 1 525000 0 0 DATADOG INC NOTE 0.125% 6/1 23804LAB9 8678 4332000 PRN SOLE 4332000 0 0 DBX ETF TR XTRACK HRVST CSI 233051879 1326 33901 SH SOLE 33901 0 0 DEERE & CO COM 244199105 253 732 SH SOLE 732 0 0 DEXCOM INC NOTE 0.250%11/1 252131AK3 5204 4385000 PRN DFND 1 4385000 0 0 DEXCOM INC NOTE 0.250%11/1 252131AK3 30563 25751000 PRN SOLE 25751000 0 0 DEXCOM INC NOTE 0.750%12/0 252131AH0 849 260000 PRN DFND 1 260000 0 0 DEXCOM INC NOTE 0.750%12/0 252131AH0 791 242000 PRN SOLE 242000 0 0 DICKS SPORTING GOODS INC COM 253393102 282 2449 SH SOLE 2449 0 0 DICKS SPORTING GOODS INC NOTE 3.250% 4/1 253393AD4 2014 570000 PRN DFND 1 570000 0 0 DICKS SPORTING GOODS INC NOTE 3.250% 4/1 253393AD4 13859 3923000 PRN SOLE 3923000 0 0 DISH NETWORK CORPORATION NOTE 12/1 25470MAF6 1362 1355000 PRN 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ENCORE CAP EUROPE FIN LTD NOTE 4.500% 9/0 29260UAA5 541 366000 PRN DFND 4 366000 0 0 ENCORE CAP EUROPE FIN LTD NOTE 4.500% 9/0 29260UAA5 211 143000 PRN SOLE 143000 0 0 ENVESTNET INC NOTE 1.750% 6/0 29404KAB2 692 551000 PRN DFND 3 551000 0 0 ENVESTNET INC NOTE 1.750% 6/0 29404KAB2 314 250000 PRN DFND 4 250000 0 0 ENVESTNET INC NOTE 1.750% 6/0 29404KAB2 599 477000 PRN DFND 2 477000 0 0 ENVESTNET INC NOTE 1.750% 6/0 29404KAB2 191 152000 PRN SOLE 152000 0 0 ENVISTA HOLDINGS CORPORATION NOTE 2.375% 6/0 29415FAB0 1339 605000 PRN DFND 1 605000 0 0 ENVISTA HOLDINGS CORPORATION NOTE 2.375% 6/0 29415FAB0 6951 3140000 PRN SOLE 3140000 0 0 EQT CORP NOTE 1.750% 5/0 26884LAK5 1317 790000 PRN DFND 1 790000 0 0 EQT CORP NOTE 1.750% 5/0 26884LAK5 7436 4463000 PRN SOLE 4463000 0 0 ESSENTIAL UTILS INC UNIT 04/30/2022 29670G201 483 7430 SH SOLE 7430 0 0 ETSY INC NOTE 0.125% 9/0 29786AAL0 21690 16169000 PRN SOLE 16169000 0 0 ETSY INC NOTE 0.125% 9/0 29786AAL0 3240 2415000 PRN DFND 1 2415000 0 0 ETSY INC 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178000 PRN SOLE 178000 0 0 GOLAR LNG LTD NOTE 2.750% 2/1 38046YAB7 621 622000 PRN DFND 2 622000 0 0 GOLAR LNG LTD NOTE 2.750% 2/1 38046YAB7 699 700000 PRN DFND 3 700000 0 0 GOLAR LNG LTD NOTE 2.750% 2/1 38046YAB7 299 300000 PRN DFND 4 300000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 201 521 SH SOLE 521 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 1170 1200000 PRN DFND 3 1200000 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 497 510000 PRN DFND 4 510000 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 175 179000 PRN SOLE 179000 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 839 861000 PRN DFND 2 861000 0 0 GRANITE CONSTR INC NOTE 2.750%11/0 387328AB3 1181 870000 PRN DFND 1 870000 0 0 GRANITE CONSTR INC NOTE 2.750%11/0 387328AB3 5519 4061000 PRN SOLE 4061000 0 0 GRANITE PT MTG TR INC NOTE 6.375%10/0 38741LAC1 1185 1174000 PRN DFND 2 1174000 0 0 GRANITE PT MTG TR INC NOTE 6.375%10/0 38741LAC1 400 397000 PRN SOLE 397000 0 0 GRANITE PT MTG TR INC NOTE 6.375%10/0 38741LAC1 1438 1425000 PRN DFND 4 1425000 0 0 GRANITE PT MTG TR INC NOTE 6.375%10/0 38741LAC1 1332 1320000 PRN DFND 3 1320000 0 0 GREEN PLAINS INC NOTE 2.250% 3/1 393222AK0 758 569000 PRN SOLE 569000 0 0 GUARDANT HEALTH INC NOTE 11/1 40131MAB5 1163 1150000 PRN DFND 1 1150000 0 0 GUARDANT HEALTH INC NOTE 11/1 40131MAB5 5609 5552000 PRN SOLE 5552000 0 0 HANNON ARMSTRONG SUST INFR C NOTE 8/1 41068XAD2 947 800000 PRN DFND 1 800000 0 0 HANNON ARMSTRONG SUST INFR C NOTE 8/1 41068XAD2 5002 4229000 PRN SOLE 4229000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.125% 9/1 42330PAJ6 392 412000 PRN DFND 3 412000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.125% 9/1 42330PAJ6 184 193000 PRN DFND 4 193000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.125% 9/1 42330PAJ6 314 330000 PRN DFND 2 330000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.125% 9/1 42330PAJ6 62 65000 PRN SOLE 65000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 6.750% 2/1 42330PAK3 482 488000 PRN DFND 2 488000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 6.750% 2/1 42330PAK3 581 588000 PRN DFND 3 588000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 6.750% 2/1 42330PAK3 247 250000 PRN DFND 4 250000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 6.750% 2/1 42330PAK3 172 174000 PRN SOLE 174000 0 0 HERCULES CAPITAL INC DBCV 4.375% 2/0 427096AF9 471 458000 PRN SOLE 458000 0 0 HOME DEPOT INC COM 437076102 1486 3583 SH SOLE 3583 0 0 HONEYWELL INTL INC COM 438516106 374 1787 SH SOLE 1787 0 0 HOPE BANCORP INC NOTE 2.000% 5/1 43940TAB5 1727 1775000 PRN SOLE 1775000 0 0 HUBSPOT INC NOTE 0.375% 6/0 443573AD2 1629 685000 PRN DFND 1 685000 0 0 HUBSPOT INC NOTE 0.375% 6/0 443573AD2 10926 4595000 PRN SOLE 4595000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 674 732000 PRN DFND 2 732000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 923 1002000 PRN DFND 3 1002000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 546 593000 PRN DFND 4 593000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 160 173000 PRN SOLE 173000 0 0 II-VI INC NOTE 0.250% 9/0 902104AB4 793 536000 PRN DFND 3 536000 0 0 II-VI INC NOTE 0.250% 9/0 902104AB4 370 250000 PRN DFND 4 250000 0 0 II-VI INC NOTE 0.250% 9/0 902104AB4 829 560000 PRN DFND 2 560000 0 0 II-VI INC NOTE 0.250% 9/0 902104AB4 228 154000 PRN SOLE 154000 0 0 ILLINOIS TOOL WKS INC COM 452308109 254 1030 SH SOLE 1030 0 0 ILLUMINA INC NOTE 8/1 452327AK5 16755 14689000 PRN SOLE 14689000 0 0 INFINERA CORP NOTE 2.125% 9/0 45667GAC7 655 552000 PRN DFND 2 552000 0 0 INFINERA CORP NOTE 2.125% 9/0 45667GAC7 619 522000 PRN DFND 3 522000 0 0 INFINERA CORP NOTE 2.125% 9/0 45667GAC7 475 400000 PRN DFND 4 400000 0 0 INFINERA CORP NOTE 2.125% 9/0 45667GAC7 209 176000 PRN SOLE 176000 0 0 INNOVIVA INC NOTE 2.125% 1/1 88338TAB0 1081 993000 PRN DFND 3 993000 0 0 INNOVIVA INC NOTE 2.125% 1/1 88338TAB0 566 520000 PRN DFND 4 520000 0 0 INNOVIVA INC NOTE 2.125% 1/1 88338TAB0 223 204000 PRN SOLE 204000 0 0 INNOVIVA INC NOTE 2.125% 1/1 88338TAB0 852 783000 PRN DFND 2 783000 0 0 INSIGHT ENTERPRISES INC NOTE 0.750% 2/1 45765UAB9 431 270000 PRN SOLE 270000 0 0 INSMED INC NOTE 0.750% 6/0 457669AB5 5126 4731000 PRN SOLE 4731000 0 0 INSMED INC NOTE 0.750% 6/0 457669AB5 818 755000 PRN DFND 1 755000 0 0 INSMED INC NOTE 0.750% 6/0 457669AB5 822 759000 PRN DFND 2 759000 0 0 INSMED INC NOTE 0.750% 6/0 457669AB5 1050 969000 PRN DFND 3 969000 0 0 INSMED INC NOTE 0.750% 6/0 457669AB5 664 613000 PRN DFND 4 613000 0 0 INSMED INC NOTE 1.750% 1/1 457669AA7 589 574000 PRN SOLE 574000 0 0 INSULET CORP NOTE 0.375% 9/0 45784PAK7 2249 1700000 PRN DFND 1 1700000 0 0 INSULET CORP NOTE 0.375% 9/0 45784PAK7 10829 8188000 PRN SOLE 8188000 0 0 INTEGRA LIFESCIENCES HLDGS C NOTE 0.500% 8/1 457985AM1 812 750000 PRN DFND 1 750000 0 0 INTEGRA LIFESCIENCES HLDGS C NOTE 0.500% 8/1 457985AM1 4882 4509000 PRN SOLE 4509000 0 0 INTEL CORP COM 458140100 476 9237 SH SOLE 9237 0 0 INTERCONTINENTAL EXCHANGE IN COM 45866F104 593 4349 SH SOLE 4349 0 0 INTUIT COM 461202103 336 523 SH SOLE 523 0 0 IONIS PHARMACEUTICALS INC NOTE 0.125%12/1 462222AB6 436 488000 PRN DFND 3 488000 0 0 IONIS PHARMACEUTICALS INC NOTE 0.125%12/1 462222AB6 447 500000 PRN DFND 4 500000 0 0 IONIS PHARMACEUTICALS INC NOTE 0.125%12/1 462222AB6 523 585000 PRN DFND 2 585000 0 0 IONIS PHARMACEUTICALS INC NOTE 0.125%12/1 462222AB6 158 177000 PRN SOLE 177000 0 0 ISHARES INC CORE MSCI EMKT 46434G103 1233 20582 SH SOLE 20582 0 0 ISHARES TR 1 3 YR TREAS BD 464287457 470 5481 SH SOLE 5481 0 0 ISHARES TR CORE S&P500 ETF 464287200 96580 202472 SH SOLE 202472 0 0 ISHARES TR CORE US AGGBD ET 464287226 25747 225706 SH SOLE 225706 0 0 ISHARES TR FLTG RATE NT ETF 46429B655 539 10594 SH SOLE 10594 0 0 ISHARES TR JPMORGAN USD EMG 464288281 2959 27140 SH SOLE 27140 0 0 ISHARES TR MORTGE REL ETF 46435G342 287 8302 SH SOLE 8302 0 0 ISHARES TR MSCI EURO FL ETF 464289180 3168 157991 SH SOLE 157991 0 0 ISHARES TR RUS 1000 VAL ETF 464287598 685 4077 SH SOLE 4077 0 0 ISHARES TR RUSSELL 2000 ETF 464287655 5311 23869 SH SOLE 23869 0 0 ISHARES TR U.S. BAS MTL ETF 464287838 248 1748 SH SOLE 1748 0 0 ISHARES TR U.S. REAL ES ETF 464287739 873 7508 SH SOLE 7508 0 0 ISHARES TR U.S. TECH ETF 464287721 8153 71001 SH SOLE 71001 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 563 300000 PRN DFND 4 300000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 860 458000 PRN DFND 2 458000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 749 399000 PRN DFND 3 399000 0 0 ISTAR INC NOTE 3.125% 9/1 45031UCB5 268 143000 PRN SOLE 143000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.500% 8/1 472145AD3 703 703000 PRN DFND 3 703000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.500% 8/1 472145AD3 920 920000 PRN SOLE 920000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.500% 8/1 472145AD3 617 617000 PRN DFND 2 617000 0 0 JAZZ INVESTMENTS I LTD NOTE 2.000% 6/1 472145AF8 525 465000 PRN DFND 2 465000 0 0 JAZZ INVESTMENTS I LTD NOTE 2.000% 6/1 472145AF8 604 535000 PRN DFND 3 535000 0 0 JAZZ INVESTMENTS I LTD NOTE 2.000% 6/1 472145AF8 564 500000 PRN DFND 4 500000 0 0 JAZZ INVESTMENTS I LTD NOTE 2.000% 6/1 472145AF8 8452 7490000 PRN SOLE 7490000 0 0 JOHNSON & JOHNSON COM 478160104 1024 5979 SH SOLE 5979 0 0 JPMORGAN CHASE & CO COM 46625H100 1698 10721 SH SOLE 10721 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 132 128000 PRN SOLE 128000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 377 365000 PRN DFND 4 365000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 624 605000 PRN DFND 2 605000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 742 719000 PRN DFND 3 719000 0 0 KBR INC NOTE 2.500%11/0 48242WAB2 1284 675000 PRN DFND 1 675000 0 0 KBR INC NOTE 2.500%11/0 48242WAB2 7006 3684000 PRN SOLE 3684000 0 0 KIMBERLY-CLARK CORP COM 494368103 1241 8685 SH SOLE 8685 0 0 KKR & CO INC 6% MCONV PFD C 48251W401 3125 33590 SH DFND 1 33590 0 0 KKR & CO INC 6% MCONV PFD C 48251W401 25627 275517 SH SOLE 275517 0 0 LABORATORY CORP AMER HLDGS COM NEW 50540R409 305 971 SH SOLE 971 0 0 LAM RESEARCH CORP COM 512807108 236 327 SH SOLE 327 0 0 LCI INDS NOTE 1.125% 5/1 501812AB7 5316 4842000 PRN SOLE 4842000 0 0 LIBERTY MEDIA CORP DEL COM SER C FRMLA 531229854 333 5258 SH SOLE 5258 0 0 LIBERTY MEDIA CORP DEL NOTE 1.000% 1/3 531229AF9 1965 1140000 PRN DFND 1 1140000 0 0 LIBERTY MEDIA CORP DEL NOTE 1.000% 1/3 531229AF9 9398 5453000 PRN SOLE 5453000 0 0 LIBERTY MEDIA CORP DEL NOTE 1.375%10/1 531229AB8 1407 935000 PRN DFND 1 935000 0 0 LIBERTY MEDIA CORP DEL NOTE 1.375%10/1 531229AB8 11516 7651000 PRN SOLE 7651000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 941 945000 PRN DFND 3 945000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 498 500000 PRN DFND 4 500000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 793 796000 PRN DFND 2 796000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 258 259000 PRN SOLE 259000 0 0 LINDE PLC SHS G5494J103 287 831 SH SOLE 831 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.000% 2/1 538034AU3 114 87000 PRN SOLE 87000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 4498 2492000 PRN DFND 1 2492000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 23142 12823000 PRN SOLE 12823000 0 0 LIVENT CORP NOTE 4.125% 7/1 53814LAB4 676 231000 PRN DFND 1 231000 0 0 LIVENT CORP NOTE 4.125% 7/1 53814LAB4 3482 1189000 PRN SOLE 1189000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 529 627000 PRN DFND 2 627000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 129 153000 PRN SOLE 153000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 312 370000 PRN DFND 4 370000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 717 850000 PRN DFND 3 850000 0 0 LOCKHEED MARTIN CORP COM 539830109 237 659 SH SOLE 659 0 0 LOEWS CORP COM 540424108 764 13232 SH SOLE 13232 0 0 LOWES COS INC COM 548661107 326 1261 SH SOLE 1261 0 0 LPL FINL HLDGS INC COM 50212V100 305 1904 SH SOLE 1904 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 511 411000 PRN DFND 3 411000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 254 204000 PRN DFND 4 204000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 419 337000 PRN DFND 2 337000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 951 765000 PRN DFND 1 765000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 6181 4970000 PRN SOLE 4970000 0 0 LYFT INC NOTE 1.500% 5/1 55087PAB0 1323 993000 PRN DFND 1 993000 0 0 LYFT INC NOTE 1.500% 5/1 55087PAB0 8940 6710000 PRN SOLE 6710000 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 1.500% 9/1 57164YAB3 778 640000 PRN SOLE 640000 0 0 MARVELL TECHNOLOGY INC COM 573874104 308 3519 SH SOLE 3519 0 0 MASTERCARD INCORPORATED CL A 57636Q104 550 1530 SH SOLE 1530 0 0 MCDONALDS CORP COM 580135101 577 2149 SH SOLE 2149 0 0 MEDTRONIC PLC SHS G5960L103 334 3221 SH SOLE 3221 0 0 MERCADOLIBRE INC NOTE 2.000% 8/1 58733RAD4 664 214000 PRN DFND 1 214000 0 0 MERCK & CO INC COM 58933Y105 491 6387 SH SOLE 6387 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 578 531000 PRN DFND 2 531000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 821 754000 PRN DFND 3 754000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 343 315000 PRN DFND 4 315000 0 0 MERITOR INC NOTE 3.250%10/1 59001KAF7 210 193000 PRN SOLE 193000 0 0 META PLATFORMS INC CL A 30303M102 1834 5455 SH SOLE 5455 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 2630 2553000 PRN DFND 3 2553000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1189 1154000 PRN DFND 4 1154000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1989 1931000 PRN DFND 2 1931000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 373 362000 PRN SOLE 362000 0 0 MICROCHIP TECHNOLOGY INC. NOTE 0.125%11/1 595017AU8 3020 2440000 PRN DFND 1 2440000 0 0 MICROCHIP TECHNOLOGY INC. NOTE 0.125%11/1 595017AU8 19436 15705000 PRN SOLE 15705000 0 0 MICRON TECHNOLOGY INC COM 595112103 328 3527 SH SOLE 3527 0 0 MICROSOFT CORP COM 594918104 5424 16128 SH SOLE 16128 0 0 MIDDLEBY CORP NOTE 1.000% 9/0 596278AB7 1215 760000 PRN DFND 1 760000 0 0 MIDDLEBY CORP NOTE 1.000% 9/0 596278AB7 6429 4023000 PRN SOLE 4023000 0 0 MONGODB INC NOTE 0.250% 1/1 60937PAD8 654 256000 PRN DFND 1 256000 0 0 MONGODB INC NOTE 0.250% 1/1 60937PAD8 11025 4315000 PRN SOLE 4315000 0 0 MORGAN STANLEY COM NEW 617446448 291 2961 SH SOLE 2961 0 0 MOTOROLA SOLUTIONS INC COM NEW 620076307 13 47 SH DFND 2 47 0 0 MOTOROLA SOLUTIONS INC COM NEW 620076307 263 967 SH SOLE 967 0 0 NCL CORP LTD NOTE 5.375% 8/0 62886HAX9 2258 1590000 PRN DFND 1 1590000 0 0 NCL CORP LTD NOTE 5.375% 8/0 62886HAX9 11973 8431000 PRN SOLE 8431000 0 0 NETFLIX INC COM 64110L106 377 629 SH SOLE 629 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 680 571000 PRN DFND 3 571000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 575 483000 PRN DFND 4 483000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 960 806000 PRN DFND 2 806000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 167 140000 PRN SOLE 140000 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 1056 20314 SH DFND 2 20314 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 1369 26325 SH DFND 3 26325 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 801 15402 SH DFND 4 15402 0 0 NEW YORK CMNTY CAP TR V UNIT 11/01/2051 64944P307 258 4959 SH SOLE 4959 0 0 NEXTERA ENERGY INC UNIT 09/01/2022S 65339F796 5071 74595 SH SOLE 74595 0 0 NEXTERA ENERGY INC UNIT 99/99/9999 65339F770 2973 51840 SH DFND 1 51840 0 0 NEXTERA ENERGY INC UNIT 99/99/9999 65339F770 22009 383840 SH SOLE 383840 0 0 NICE LTD NOTE 9/1 653656AB4 407 334000 PRN SOLE 334000 0 0 NICE SYS INC NOTE 1.250% 1/1 65366HAB9 36 10000 PRN SOLE 10000 0 0 NIKE INC CL B 654106103 448 2682 SH SOLE 2682 0 0 NISOURCE INC UNIT 12/01/2023 65473P121 1474 13170 SH SOLE 13170 0 0 NOVA LTD NOTE 10/1 66980MAB2 1471 740000 PRN DFND 1 740000 0 0 NOVA LTD NOTE 10/1 66980MAB2 507 254000 PRN SOLE 254000 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 1034 755000 PRN DFND 1 755000 0 0 NOVAVAX INC NOTE 3.750% 2/0 670002AB0 4856 3546000 PRN SOLE 3546000 0 0 NOVOCURE LTD NOTE 11/0 67011XAB9 5354 5859000 PRN SOLE 5859000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1351 1139000 PRN DFND 3 1139000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 712 600000 PRN DFND 4 600000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1069 901000 PRN DFND 2 901000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 249 210000 PRN SOLE 210000 0 0 NVIDIA CORPORATION COM 67066G104 1507 5123 SH SOLE 5123 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 1763 1300000 PRN DFND 1 1300000 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 12859 9483000 PRN SOLE 9483000 0 0 ON SEMICONDUCTOR CORP NOTE 1.625%10/1 682189AP0 3832 1167000 PRN SOLE 1167000 0 0 ORACLE CORP COM 68389X105 466 5322 SH SOLE 5322 0 0 OREILLY AUTOMOTIVE INC COM 67103H107 312 444 SH SOLE 444 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 234 229000 PRN SOLE 229000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 455 445000 PRN DFND 4 445000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 843 825000 PRN DFND 3 825000 0 0 OSI SYSTEMS INC NOTE 1.250% 9/0 671044AD7 767 751000 PRN DFND 2 751000 0 0 PALO ALTO NETWORKS INC NOTE 0.375% 6/0 697435AF2 61 32000 PRN SOLE 32000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 5723 2730000 PRN DFND 1 2730000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 40564 19351000 PRN SOLE 19351000 0 0 PAR TECHNOLOGY CORP NOTE 1.500%10/1 698884AE3 852 849000 PRN DFND 1 849000 0 0 PAR TECHNOLOGY CORP NOTE 1.500%10/1 698884AE3 4377 4368000 PRN SOLE 4368000 0 0 PARKER-HANNIFIN CORP COM 701094104 261 817 SH SOLE 817 0 0 PAYPAL HLDGS INC COM 70450Y103 430 2274 SH SOLE 2274 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 11376 10331000 PRN SOLE 10331000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 646 587000 PRN DFND 4 587000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 1360 1235000 PRN DFND 3 1235000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 1531 1390000 PRN DFND 1 1390000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 1060 963000 PRN DFND 2 963000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 286 286000 PRN SOLE 286000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 1528 1530000 PRN DFND 2 1530000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 2678 2681000 PRN DFND 3 2681000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 499 500000 PRN DFND 4 500000 0 0 PEPSICO INC COM 713448108 588 3382 SH SOLE 3382 0 0 PERKINELMER INC COM 714046109 433 2149 SH SOLE 2149 0 0 PFIZER INC COM 717081103 1102 18649 SH SOLE 18649 0 0 PIONEER NAT RES CO COM 723787107 347 1910 SH SOLE 1910 0 0 PIONEER NAT RES CO NOTE 0.250% 5/1 723787AP2 4606 2585000 PRN DFND 1 2585000 0 0 PIONEER NAT RES CO NOTE 0.250% 5/1 723787AP2 57914 32502000 PRN SOLE 32502000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 582 500000 PRN DFND 4 500000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 281 242000 PRN SOLE 242000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 1133 973000 PRN DFND 3 973000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 914 785000 PRN DFND 2 785000 0 0 PROCTER AND GAMBLE CO COM 742718109 1110 6790 SH SOLE 6790 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 468 29259 SH DFND 2 29259 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 533 33304 SH DFND 3 33304 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 272 17007 SH DFND 4 17007 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 7 430 SH SOLE 430 0 0 PROSPECT CAP CORP NOTE 6.375% 3/0 74348TAT9 6535 5961000 PRN SOLE 5961000 0 0 PRUDENTIAL FINL INC COM 744320102 274 2523 SH SOLE 2523 0 0 PURE STORAGE INC NOTE 0.125% 4/1 74624MAB8 921 690000 PRN DFND 1 690000 0 0 PURE STORAGE INC NOTE 0.125% 4/1 74624MAB8 5287 3963000 PRN SOLE 3963000 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 585 522000 PRN DFND 2 522000 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 484 432000 PRN DFND 3 432000 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 307 274000 PRN DFND 4 274000 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 179 160000 PRN SOLE 160000 0 0 QUALCOMM INC COM 747525103 319 1750 SH SOLE 1750 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 331 3169 SH DFND 2 3169 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 5166 49493 SH SOLE 49493 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 402 3847 SH DFND 3 3847 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 1051 10065 SH DFND 1 10065 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 200 1916 SH DFND 4 1916 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 519 19284 SH DFND 2 19284 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 652 24242 SH DFND 3 24242 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 309 11500 SH DFND 4 11500 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 174 6474 SH SOLE 6474 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 65 64000 PRN SOLE 64000 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 232 228000 PRN DFND 4 228000 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 976 958000 PRN DFND 3 958000 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 764 750000 PRN DFND 2 750000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 4974 2129000 PRN SOLE 2129000 0 0 REPLIGEN CORP NOTE 0.375% 7/1 759916AB5 724 310000 PRN DFND 1 310000 0 0 RH NOTE 6/1 74967XAA1 2954 1070000 PRN SOLE 1070000 0 0 RH NOTE 9/1 74967XAD5 2306 912000 PRN SOLE 912000 0 0 RINGCENTRAL INC CL A 76680R206 248 1317 SH SOLE 1317 0 0 RINGCENTRAL INC NOTE 3/0 76680RAF4 2102 2237000 PRN SOLE 2237000 0 0 ROYAL CARIBBEAN GROUP NOTE 2.875%11/1 780153BF8 33 28000 PRN SOLE 28000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 1005 790000 PRN DFND 2 790000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 16798 13198000 PRN SOLE 13198000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 1264 993000 PRN DFND 3 993000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 2291 1800000 PRN DFND 1 1800000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 594 467000 PRN DFND 4 467000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 586 573000 PRN DFND 2 573000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 735 719000 PRN DFND 3 719000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 910 890000 PRN DFND 4 890000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 326 318000 PRN SOLE 318000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 961 704000 PRN DFND 3 704000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 478 350000 PRN DFND 4 350000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 789 578000 PRN DFND 2 578000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 161 118000 PRN SOLE 118000 0 0 SALESFORCE COM INC COM 79466L302 396 1556 SH SOLE 1556 0 0 SCHLUMBERGER LTD COM STK 806857108 279 9280 SH SOLE 9280 0 0 SEA LTD NOTE 0.250% 9/1 81141RAG5 15910 17302000 PRN SOLE 17302000 0 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 2113 38107 SH SOLE 38107 0 0 SELECT SECTOR SPDR TR FINANCIAL 81369Y605 3292 84335 SH SOLE 84335 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1686 23549 SH SOLE 23549 0 0 SERVICENOW INC COM 81762P102 357 551 SH SOLE 551 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 1131 235000 PRN DFND 1 235000 0 0 SERVICENOW INC NOTE 6/0 81762PAC6 5246 1091000 PRN SOLE 1091000 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 487 486000 PRN DFND 2 486000 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 695 693000 PRN DFND 3 693000 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 428 427000 PRN DFND 4 427000 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 144 144000 PRN SOLE 144000 0 0 SHOPIFY INC NOTE 0.125%11/0 82509LAA5 2514 2015000 PRN DFND 1 2015000 0 0 SHOPIFY INC NOTE 0.125%11/0 82509LAA5 13156 10548000 PRN SOLE 10548000 0 0 SMART GLOBAL HLDGS INC NOTE 2.250% 2/1 83205YAB0 6096 3281000 PRN SOLE 3281000 0 0 SMART GLOBAL HLDGS INC NOTE 2.250% 2/1 83205YAB0 1189 640000 PRN DFND 1 640000 0 0 SNAP INC CL A 83304A106 250 5308 SH SOLE 5308 0 0 SNAP INC NOTE 0.750% 8/0 83304AAB2 1388 641000 PRN SOLE 641000 0 0 SOLAREDGE TECHNOLOGIES INC NOTE 9/1 83417MAD6 393 309000 PRN SOLE 309000 0 0 SOUTHERN CO UNIT 08/01/2022 842587602 2992 55975 SH SOLE 55975 0 0 SOUTHWEST AIRLS CO COM 844741108 253 5863 SH SOLE 5863 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 4199 3150000 PRN DFND 1 3150000 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 54347 40769000 PRN SOLE 40769000 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 563 653000 PRN DFND 3 653000 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 279 324000 PRN DFND 4 324000 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 461 535000 PRN DFND 2 535000 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 119 138000 PRN SOLE 138000 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 2144 2010000 PRN DFND 1 2010000 0 0 SPLUNK INC NOTE 0.500% 9/1 848637AC8 12842 12041000 PRN SOLE 12041000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 495 531000 PRN DFND 2 531000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 603 647000 PRN DFND 3 647000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 300 322000 PRN DFND 4 322000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 1352 1450000 PRN SOLE 1450000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 1184 1075000 PRN SOLE 1075000 0 0 STANLEY BLACK & DECKER INC UNIT 11/15/2022 854502846 2754 25320 SH SOLE 25320 0 0 STARBUCKS CORP COM 855244109 208 1775 SH SOLE 1775 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 861 885000 PRN DFND 2 885000 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 1050 1079000 PRN DFND 3 1079000 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 521 536000 PRN DFND 4 536000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 9853 9447000 PRN SOLE 9447000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 1361 1305000 PRN DFND 1 1305000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 859 824000 PRN DFND 2 824000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 799 766000 PRN DFND 3 766000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 522 500000 PRN DFND 4 500000 0 0 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADS 874039100 341 2831 SH SOLE 2831 0 0 TELADOC HEALTH INC NOTE 1.250% 6/0 87918AAF2 1548 1700000 PRN SOLE 1700000 0 0 TEMPUR SEALY INTL INC COM 88023U101 378 8055 SH SOLE 8055 0 0 TERADYNE INC NOTE 1.250%12/1 880770AG7 6346 1227000 PRN SOLE 1227000 0 0 TESLA INC COM 88160R101 1067 1011 SH SOLE 1011 0 0 TESLA INC NOTE 2.000% 5/1 88160RAG6 14069 827000 PRN SOLE 827000 0 0 TEXAS INSTRS INC COM 882508104 233 1223 SH SOLE 1223 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 588 880 SH SOLE 880 0 0 TRAVERE THERAPEUTICS INC NOTE 2.500% 9/1 761299AB2 970 886000 PRN DFND 2 886000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.500% 9/1 761299AB2 248 226000 PRN SOLE 226000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.500% 9/1 761299AB2 573 524000 PRN DFND 4 524000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.500% 9/1 761299AB2 1219 1114000 PRN DFND 3 1114000 0 0 TRUIST FINL CORP COM 89832Q109 206 3499 SH SOLE 3499 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 1580 1450000 PRN DFND 1 1450000 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 9492 8712000 PRN SOLE 8712000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 211 210000 PRN SOLE 210000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 824 818000 PRN DFND 2 818000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 999 992000 PRN DFND 3 992000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 484 480000 PRN DFND 4 480000 0 0 UBER TECHNOLOGIES INC NOTE 12/1 90353TAJ9 1232 1255000 PRN DFND 1 1255000 0 0 UBER TECHNOLOGIES INC NOTE 12/1 90353TAJ9 9148 9316000 PRN SOLE 9316000 0 0 UNION PAC CORP COM 907818108 693 2747 SH SOLE 2747 0 0 UNITED PARCEL SERVICE INC CL B 911312106 286 1333 SH SOLE 1333 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1135 2256 SH SOLE 2256 0 0 VAIL RESORTS INC NOTE 1/0 91879QAN9 1503 1410000 PRN DFND 1 1410000 0 0 VAIL RESORTS INC NOTE 1/0 91879QAN9 8617 8086000 PRN SOLE 8086000 0 0 VANECK ETF TRUST FALLEN ANGEL HG 92189F437 7431 225306 SH SOLE 225306 0 0 VANGUARD STAR FDS VG TL INTL STK F 921909768 16072 252828 SH SOLE 252828 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 583 11203 SH SOLE 11203 0 0 VIAVI SOLUTIONS INC NOTE 1.000% 3/0 925550AB1 547 386000 PRN SOLE 386000 0 0 VISA INC COM CL A 92826C839 769 3551 SH SOLE 3551 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 209 203000 PRN SOLE 203000 0 0 WALMART INC COM 931142103 346 2381 SH SOLE 2381 0 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 275 188000 PRN SOLE 188000 0 0 WAYFAIR INC NOTE 1.125%11/0 94419LAD3 884 502000 PRN SOLE 502000 0 0 WELLS FARGO CO NEW COM 949746101 503 10487 SH SOLE 10487 0 0 WELLS FARGO CO NEW PERP PFD CNV A 949746804 3424 2297 SH SOLE 2297 0 0 WESTERN DIGITAL CORP. NOTE 1.500% 2/0 958102AP0 4701 4657000 PRN SOLE 4657000 0 0 WILLIAMS COS INC COM 969457100 208 7977 SH SOLE 7977 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 852 639000 PRN DFND 2 639000 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 1047 785000 PRN DFND 3 785000 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 500 375000 PRN DFND 4 375000 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 878 659000 PRN SOLE 659000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 539 450000 PRN DFND 4 450000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 8137 6787000 PRN SOLE 6787000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 840 701000 PRN DFND 2 701000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 1061 885000 PRN DFND 1 885000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 1076 898000 PRN DFND 3 898000 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 2530 1360000 PRN DFND 1 1360000 0 0 WORKDAY INC NOTE 0.250%10/0 98138HAF8 12907 6939000 PRN SOLE 6939000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 1069 606000 PRN DFND 2 606000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 1255 711000 PRN DFND 3 711000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 882 500000 PRN DFND 4 500000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 323 183000 PRN SOLE 183000 0 0 ZENDESK INC NOTE 0.625% 6/1 98936JAD3 752 630000 PRN DFND 1 630000 0 0 ZENDESK INC NOTE 0.625% 6/1 98936JAD3 5589 4684000 PRN SOLE 4684000 0 0 ZIFF DAVIS INC COM 48123V102 367 3307 SH SOLE 3307 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 647 503000 PRN DFND 2 503000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 804 625000 PRN DFND 3 625000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 418 325000 PRN DFND 4 325000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 157 122000 PRN SOLE 122000 0 0 ZOGENIX INC NOTE 2.750%10/0 98978LAB1 493 500000 PRN DFND 2 500000 0 0 ZOGENIX INC NOTE 2.750%10/0 98978LAB1 640 650000 PRN DFND 3 650000 0 0 ZOGENIX INC NOTE 2.750%10/0 98978LAB1 345 350000 PRN DFND 4 350000 0 0 ZSCALER INC NOTE 0.125% 7/0 98980GAB8 12168 5567000 PRN SOLE 5567000 0 0 ZSCALER INC NOTE 0.125% 7/0 98980GAB8 2164 990000 PRN DFND 1 990000 0 0