# EDGAR Filing Document

**Accession Number:** 0000061227
**File Stem:** 0001085146-23-000464
**Filing Date:** 2023-1
**Character Count:** 55467
**Document Hash:** 17f1b137936e4095f544078b54e9edec
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001085146-23-000464.hdr.sgml**: 20230131

**ACCESSION NUMBER**: 0001085146-23-000464

**CONFORMED SUBMISSION TYPE**: 13F-HR

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230131

**DATE AS OF CHANGE**: 20230130

**EFFECTIVENESS DATE**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MACKAY SHIELDS LLC
- **CENTRAL INDEX KEY:** 0000061227
- **IRS NUMBER:** 134080466
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 13F-HR
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 028-00046
- **FILM NUMBER:** 23569794

**BUSINESS ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **STREET 2:** 42ND  FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105
- **BUSINESS PHONE:** 212-230-3811

**MAIL ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **STREET 2:** 42ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MACKAY SHIELDS FINANCIAL CORP
- **DATE OF NAME CHANGE:** 19920929

### FORM 13F COVER PAGE

**Report for the Calendar Year or Quarter Ended:** 12-31-2022

**Check here if Amendment** [ ] **Amendment Number:** 

**This Amendment (Check only one.):** [ ] is a restatement.

[ ] adds new holdings entries.

**Institutional Investment Manager Filing this Report:**

**Name:** MACKAY SHIELDS LLC<br>**Address:** 1345 Avenue of the Americas<br>42ND FLOOR<br>New York, NY 10105

**Form 13F File Number:** 028-00046

The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form.

**Person Signing this Report on Behalf of Reporting Manager:**

**Name:** Chris Fitzgerald<br>**Title:** Chief Compliance Officer<br>**Phone:** 212-230-3968

**Signature, Place, and Date of Signing:**

/s/ Chris Fitzgerald  New York, NY  01-30-2023<br>[Signature]  [City, State]  [Date]

**Report Type (Check only one.):**

[x] **13F HOLDINGS REPORT.** (Check here if all holdings of this reporting manager are reported in this report.)

[ ] **13F NOTICE.** (Check here if no holdings are reported in this report, and all holdings are reported by other reporting manager(s).)

[ ] **13F COMBINATION REPORT.** (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).)

### Form 13F Summary Page

**Report Summary:**

**Number of Other Included Managers:** 7

**Form 13F Information Table Entry Total:** 462

**Form 13F Information Table Value Total:** $3919396919

      (round to nearest dollar)

**List of Other Included Managers:**

Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report.

[If there are no entries in this list, state “NONE” and omit the column headings and list entries.]

| No.   | Name                                    | Form 13F File Number   |
|:---|:---|:---|
|  | NEW YORK LIFE INVESTMENT MANAGEMENT LLC | 028-06325              |
|  | FIRST TRUST ADVISORS LP                 | 028-06487              |
|  | NEW YORK LIFE INSURANCE CO              | 028-00065              |
|  | OPPENHEIMER ASSET MANAGEMENT INC.       | 028-10748              |
|  | MCMORGAN  CO LLC                        | 028-10044              |
|  | RIVERNORTH CAPITAL MANAGEMENT LLC       | 028-13256              |
|  | IndexIQ Advisors LLC                    | 028-13712              |

### FORM 13F INFORMATION TABLE

---

|  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| NAME OF ISSUER | TITLE OF CLASS | CUSIP | FIGI | VALUE (x$1000) | SHRS OR PRN AMT | SH/PRN | PUT/CALL | INVESTMENT DISCRETION | OTHER MANAGER | VOTING AUTHORITY | VOTING AUTHORITY | VOTING AUTHORITY |
| NAME OF ISSUER | TITLE OF CLASS | CUSIP | FIGI | VALUE (x$1000) | SHRS OR PRN AMT | SH/PRN | PUT/CALL | INVESTMENT DISCRETION | OTHER MANAGER | SOLE | SHARED | NONE |
| 8X8 INC NEW | NOTE 0.500% 2/0 | 282914AB6 |  | 45750 | 50000 | PRN |  | SOLE |  | 50000 | 0 | 0 |
| AES CORP | UNIT 02/15/2024 | 00130H204 |  | 7876804 | 77216 | SH |  | DFND | 1 | 0 | 77198 | 18 |
| AES CORP | UNIT 02/15/2024 | 00130H204 |  | 1351548 | 13200 | SH |  | SOLE |  | 13200 | 0 | 0 |
| AES CORP | UNIT 02/15/2024 | 00130H204 |  | 128839 | 1263 | SH |  | OTR | 4 | 0 | 1263 | 0 |
| AES CORP | UNIT 02/15/2024 | 00130H204 |  | 30481503 | 297700 | SH |  | OTR | 1 | 0 | 297700 | 0 |
| AFFIRM HLDGS INC | NOTE 11/1 | 00827BAB2 |  | 222000 | 400000 | PRN |  | SOLE |  | 400000 | 0 | 0 |
| AIR TRANS SVCS GROUP INC | NOTE 1.125%10/1 | 00922RAB1 |  | 67685 | 65000 | PRN |  | SOLE |  | 65000 | 0 | 0 |
| AIRBNB INC | NOTE 3/1 | 009066AB7 |  | 345059 | 418000 | PRN |  | SOLE |  | 418000 | 0 | 0 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.125% 5/0 | 00971TAJ0 |  | 4778550 | 4551000 | PRN |  | DFND | 1 | 0 | 4550000 | 1000 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.125% 5/0 | 00971TAJ0 |  | 81900 | 78000 | PRN |  | OTR | 4 | 0 | 78000 | 0 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.125% 5/0 | 00971TAJ0 |  | 585525 | 555000 | PRN |  | SOLE |  | 555000 | 0 | 0 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.375% 9/0 | 00971TAL5 |  | 33711568 | 34826000 | PRN |  | OTR | 1 | 0 | 34826000 | 0 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.375% 9/0 | 00971TAL5 |  | 2116048 | 2186000 | PRN |  | SOLE |  | 2186000 | 0 | 0 |
| ALARM COM HLDGS INC | NOTE 1/1 | 011642AB1 |  | 5738723 | 7025000 | PRN |  | OTR | 1 | 0 | 7025000 | 0 |
| ALARM COM HLDGS INC | NOTE 1/1 | 011642AB1 |  | 208310 | 255000 | PRN |  | SOLE |  | 255000 | 0 | 0 |
| ALLIANCEBERNSTEIN GLOBAL HIG | COM | 01879R106 | BBG001S6LJ53 | 255431 | 27704 | SH |  | SOLE |  | 27704 | 0 | 0 |
| ALTERYX INC | NOTE 0.500% 8/0 | 02156BAD5 |  | 284859 | 309000 | PRN |  | SOLE |  | 309000 | 0 | 0 |
| AMERICAN AIRLINES GROUP INC | NOTE 6.500% 7/0 | 02376RAF9 |  | 14757165 | 13935000 | PRN |  | OTR | 1 | 0 | 13935000 | 0 |
| AMERICAN AIRLINES GROUP INC | NOTE 6.500% 7/0 | 02376RAF9 |  | 594099 | 561000 | PRN |  | SOLE |  | 561000 | 0 | 0 |
| AMERICAN EAGLE OUTFITTERS IN | NOTE 3.750% 4/1 | 02553EAB2 |  | 173460 | 98000 | PRN |  | SOLE |  | 98000 | 0 | 0 |
| APELLIS PHARMACEUTICALS INC | NOTE 3.500% 9/1 | 03753UAB2 |  | 122006 | 79000 | PRN |  | SOLE |  | 79000 | 0 | 0 |
| ARES CAPITAL CORP | NOTE 4.625% 3/0 | 04010LAW3 |  | 106563 | 100000 | PRN |  | OTR | 5 | 0 | 100000 | 0 |
| ARES CAPITAL CORP | NOTE 4.625% 3/0 | 04010LAW3 |  | 7374125 | 6920000 | PRN |  | SOLE |  | 6920000 | 0 | 0 |
| ARES CAPITAL CORP | NOTE 4.625% 3/0 | 04010LAW3 |  | 17353703 | 16285000 | PRN |  | OTR | 1 | 0 | 16285000 | 0 |
| ARRAY TECHNOLOGIES INC | NOTE 1.000%12/0 | 04271TAB6 |  | 957146 | 937000 | PRN |  | SOLE |  | 937000 | 0 | 0 |
| BANK AMERICA CORP | COM | 060505104 | BBG001S5P0Y0 | 22067823 | 666299 | SH |  | OTR | 1 | 0 | 666299 | 0 |
| BANK AMERICA CORP | COM | 060505104 | BBG001S5P0Y0 | 0 | 0 | SH |  | SOLE |  | 0 | 0 | 0 |
| BECTON DICKINSON  CO | 6% DP CONV PFD B | 075887406 |  | 6374433 | 127285 | SH |  | DFND | 1 | 0 | 127256 | 29 |
| BECTON DICKINSON  CO | 6% DP CONV PFD B | 075887406 |  | 105769 | 2112 | SH |  | OTR | 4 | 0 | 2112 | 0 |
| BECTON DICKINSON  CO | 6% DP CONV PFD B | 075887406 |  | 9715545 | 193200 | SH |  | OTR | 1 | 0 | 193200 | 0 |
| BECTON DICKINSON  CO | 6% DP CONV PFD B | 075887406 |  | 1458338 | 29000 | SH |  | SOLE |  | 29000 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.125% 1/1 | 08265TAB5 |  | 6432755 | 7015000 | PRN |  | OTR | 1 | 0 | 7015000 | 0 |
| BENTLEY SYS INC | NOTE 0.125% 1/1 | 08265TAB5 |  | 397978 | 434000 | PRN |  | SOLE |  | 434000 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.375% 7/0 | 08265TAD1 |  | 163800 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| BEYOND MEAT INC | NOTE 3/1 | 08862EAB5 |  | 89157 | 339000 | PRN |  | SOLE |  | 339000 | 0 | 0 |
| BIGCOMMERCE HLDGS INC | NOTE 0.250%10/0 | 08975PAB4 |  | 143000 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| BILL COM HLDGS INC | NOTE 12/0 | 090043AB6 |  | 10146360 | 9870000 | PRN |  | OTR | 1 | 0 | 9870000 | 0 |
| BILL COM HLDGS INC | NOTE 12/0 | 090043AB6 |  | 672312 | 654000 | PRN |  | SOLE |  | 654000 | 0 | 0 |
| BILL COM HLDGS INC | NOTE 4/0 | 090043AD2 |  | 159100 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.599% 8/0 | 09061GAH4 |  | 11121363 | 10479000 | PRN |  | DFND | 1 | 0 | 10477000 | 2000 |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.599% 8/0 | 09061GAH4 |  | 179360 | 169000 | PRN |  | OTR | 4 | 0 | 169000 | 0 |
| BIOMARIN PHARMACEUTICAL INC | NOTE 1.250% 5/1 | 09061GAK7 |  | 5012401 | 4643000 | PRN |  | SOLE |  | 4643000 | 0 | 0 |
| BIOMARIN PHARMACEUTICAL INC | NOTE 1.250% 5/1 | 09061GAK7 |  | 78160204 | 72400000 | PRN |  | OTR | 1 | 0 | 72400000 | 0 |
| BK OF AMERICA CORP | 7.25%CNV PFD L | 060505682 |  | 117160 | 101 | SH |  | OTR | 4 | 0 | 101 | 0 |
| BK OF AMERICA CORP | 7.25%CNV PFD L | 060505682 |  | 3759525 | 3234 | SH |  | SOLE |  | 3234 | 0 | 0 |
| BK OF AMERICA CORP | 7.25%CNV PFD L | 060505682 |  | 27560550 | 23708 | SH |  | OTR | 1 | 0 | 23708 | 0 |
| BK OF AMERICA CORP | 7.25%CNV PFD L | 060505682 |  | 6932160 | 5976 | SH |  | DFND | 1 | 0 | 5975 | 1 |
| BLACKLINE INC | NOTE 0.125% 8/0 | 09239BAB5 |  | 100234 | 90000 | PRN |  | SOLE |  | 90000 | 0 | 0 |
| BLACKLINE INC | NOTE 3/1 | 09239BAD1 |  | 171375 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| BLACKROCK CR ALLOCATION INCO | COM | 092508100 | BBG001SS72L0 | 248420 | 24596 | SH |  | SOLE |  | 24596 | 0 | 0 |
| BLACKROCK MUN TARGET TERM TR | COM SHS BEN IN | 09257P105 | BBG003BPM0W5 | 20744273 | 974367 | SH |  | SOLE |  | 974367 | 0 | 0 |
| BLACKROCK MUN TARGET TERM TR | COM SHS BEN IN | 09257P105 | BBG003BPM0W5 | 9097941 | 427334 | SH |  | OTR | 1 | 0 | 427334 | 0 |
| BLACKROCK MUNIHLDGS NJ QLTY | COM | 09254X101 | BBG001S5PKX7 | 7699130 | 695495 | SH |  | SOLE |  | 695495 | 0 | 0 |
| BLACKROCK MUNIHLDGS NJ QLTY | COM | 09254X101 | BBG001S5PKX7 | 3404556 | 307548 | SH |  | OTR | 1 | 0 | 307548 | 0 |
| BLACKROCK MUNIHLDGS NY QLTY | COM | 09255C106 | BBG001SB8M69 | 7927680 | 771926 | SH |  | SOLE |  | 771926 | 0 | 0 |
| BLACKROCK MUNIHLDGS NY QLTY | COM | 09255C106 | BBG001SB8M69 | 5392859 | 525108 | SH |  | OTR | 1 | 0 | 525108 | 0 |
| BLACKROCK MUNIHOLDINGS FD IN | COM | 09253N104 | BBG001S66J14 | 1778316 | 146484 | SH |  | OTR | 1 | 0 | 146484 | 0 |
| BLACKROCK MUNIHOLDINGS FD IN | COM | 09253N104 | BBG001S66J14 | 5974482 | 492132 | SH |  | SOLE |  | 492132 | 0 | 0 |
| BLACKROCK MUNIYIELD MICH QU | COM | 09254V105 | BBG001S75345 | 8290474 | 747563 | SH |  | SOLE |  | 747563 | 0 | 0 |
| BLACKROCK MUNIYIELD MICH QU | COM | 09254V105 | BBG001S75345 | 2720055 | 245271 | SH |  | OTR | 1 | 0 | 245271 | 0 |
| BLACKROCK MUNIYIELD N Y QUAL | COM | 09255E102 | BBG001S6TRK0 | 5327231 | 543595 | SH |  | OTR | 1 | 0 | 543595 | 0 |
| BLACKROCK MUNIYIELD N Y QUAL | COM | 09255E102 | BBG001S6TRK0 | 4204788 | 429060 | SH |  | SOLE |  | 429060 | 0 | 0 |
| BLACKROCK MUNIYIELD QUALITY | COM | 09254G108 | BBG001S742F6 | 5704436 | 558164 | SH |  | SOLE |  | 558164 | 0 | 0 |
| BLACKROCK MUNIYIELD QUALITY | COM | 09254G108 | BBG001S742F6 | 6010290 | 588091 | SH |  | OTR | 1 | 0 | 588091 | 0 |
| BLACKROCK MUNIYILD QULT FD I | COM | 09254F100 | BBG001S6Y4Q9 | 3331833 | 287227 | SH |  | OTR | 1 | 0 | 287227 | 0 |
| BLACKROCK MUNIYILD QULT FD I | COM | 09254F100 | BBG001S6Y4Q9 | 2011695 | 173422 | SH |  | SOLE |  | 173422 | 0 | 0 |
| BLACKROCK N Y MUN INCOME TRU | SH BEN INT | 09248L106 | BBG001SFL1C4 | 396728 | 39397 | SH |  | OTR | 1 | 0 | 39397 | 0 |
| BLACKROCK N Y MUN INCOME TRU | SH BEN INT | 09248L106 | BBG001SFL1C4 | 662012 | 65741 | SH |  | SOLE |  | 65741 | 0 | 0 |
| BLOCK INC | NOTE 0.125% 3/0 | 852234AF0 |  | 57075 | 60000 | PRN |  | OTR | 4 | 0 | 60000 | 0 |
| BLOCK INC | NOTE 0.125% 3/0 | 852234AF0 |  | 3674679 | 3863000 | PRN |  | DFND | 1 | 0 | 3862000 | 1000 |
| BLOCK INC | NOTE 0.250%11/0 | 852234AK9 |  | 1331606 | 1755000 | PRN |  | SOLE |  | 1755000 | 0 | 0 |
| BLOCK INC | NOTE 0.250%11/0 | 852234AK9 |  | 18772993 | 24742000 | PRN |  | OTR | 1 | 0 | 24742000 | 0 |
| BLOCK INC | NOTE 5/0 | 852234AJ2 |  | 1408271 | 1729000 | PRN |  | SOLE |  | 1729000 | 0 | 0 |
| BLOCK INC | NOTE 5/0 | 852234AJ2 |  | 23891729 | 29333000 | PRN |  | OTR | 1 | 0 | 29333000 | 0 |
| BLOOMIN BRANDS INC | NOTE 5.000% 5/0 | 094235AB4 |  | 93203 | 51000 | PRN |  | SOLE |  | 51000 | 0 | 0 |
| BOOKING HOLDINGS INC | NOTE 0.750% 5/0 | 09857LAN8 |  | 28074985 | 21000000 | PRN |  | OTR | 1 | 0 | 21000000 | 0 |
| BOOKING HOLDINGS INC | NOTE 0.750% 5/0 | 09857LAN8 |  | 2356962 | 1763000 | PRN |  | SOLE |  | 1763000 | 0 | 0 |
| BOSTON SCIENTIFIC CORP | 5.50% CNV PFD A | 101137206 |  | 391348 | 3400 | SH |  | SOLE |  | 3400 | 0 | 0 |
| BOX INC | NOTE 1/1 | 10316TAB0 |  | 131650 | 100000 | PRN |  | SOLE |  | 100000 | 0 | 0 |
| BRIDGEBIO PHARMA INC | NOTE 2.500% 3/1 | 10806XAB8 |  | 333450 | 741000 | PRN |  | SOLE |  | 741000 | 0 | 0 |
| BRIDGEBIO PHARMA INC | NOTE 2.500% 3/1 | 10806XAB8 |  | 6241500 | 13870000 | PRN |  | OTR | 1 | 0 | 13870000 | 0 |
| BURLINGTON STORES INC | NOTE 2.250% 4/1 | 122017AB2 |  | 3319470 | 2874000 | PRN |  | SOLE |  | 2874000 | 0 | 0 |
| BURLINGTON STORES INC | NOTE 2.250% 4/1 | 122017AB2 |  | 46322430 | 40106000 | PRN |  | OTR | 1 | 0 | 40106000 | 0 |
| BURLINGTON STORES INC | NOTE 2.250% 4/1 | 122017AB2 |  | 6260600 | 5444000 | PRN |  | DFND | 1 | 0 | 5443000 | 1000 |
| BURLINGTON STORES INC | NOTE 2.250% 4/1 | 122017AB2 |  | 90850 | 79000 | PRN |  | OTR | 4 | 0 | 79000 | 0 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 105506 | 142000 | PRN |  | OTR | 4 | 0 | 142000 | 0 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 27375304 | 36598000 | PRN |  | OTR | 1 | 0 | 36598000 | 0 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 6492334 | 8738000 | PRN |  | DFND | 1 | 0 | 8736000 | 2000 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 1961256 | 2622000 | PRN |  | SOLE |  | 2622000 | 0 | 0 |
| CABLE ONE INC | NOTE 3/1 | 12685JAE5 |  | 3873450 | 4900000 | PRN |  | OTR | 1 | 0 | 4900000 | 0 |
| CABLE ONE INC | NOTE 3/1 | 12685JAE5 |  | 5944560 | 7520000 | PRN |  | SOLE |  | 7520000 | 0 | 0 |
| CABLE ONE INC | NOTE 3/1 | 12685JAE5 |  | 63240 | 80000 | PRN |  | OTR | 5 | 0 | 80000 | 0 |
| CALIFORNIA RES CORP | COM STOCK | 13057Q305 | BBG00Y04KQ51 | 1353857 | 31116 | SH |  | OTR | 1 | 0 | 31116 | 0 |
| CALIFORNIA RES CORP | COM STOCK | 13057Q305 | BBG00Y04KQ51 | 85149 | 1957 | SH |  | SOLE |  | 1957 | 0 | 0 |
| CARNIVAL CORP | NOTE 5.750% 4/0 | 143658BE1 |  | 88715 | 88000 | PRN |  | SOLE |  | 88000 | 0 | 0 |
| CERIDIAN HCM HLDG INC | NOTE 0.250% 3/1 | 15677JAD0 |  | 220375 | 250000 | PRN |  | SOLE |  | 250000 | 0 | 0 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 7360491 | 8983000 | PRN |  | DFND | 1 | 0 | 8981000 | 2000 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 120449 | 147000 | PRN |  | OTR | 4 | 0 | 147000 | 0 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 1138462 | 1381000 | PRN |  | SOLE |  | 1381000 | 0 | 0 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 15412515 | 18696000 | PRN |  | OTR | 1 | 0 | 18696000 | 0 |
| CHEFS WHSE INC | NOTE 1.875%12/0 | 163086AB7 |  | 28040 | 27000 | PRN |  | SOLE |  | 27000 | 0 | 0 |
| CHEGG INC | NOTE 9/0 | 163092AF6 |  | 1054169 | 1327000 | PRN |  | SOLE |  | 1327000 | 0 | 0 |
| CHEGG INC | NOTE 9/0 | 163092AF6 |  | 14948225 | 18817000 | PRN |  | OTR | 1 | 0 | 18817000 | 0 |
| CHORD ENERGY CORPORATION | COM NEW | 674215207 | BBG00Y7BLJF2 | 2034091 | 14868 | SH |  | SOLE |  | 14868 | 0 | 0 |
| CHORD ENERGY CORPORATION | COM NEW | 674215207 | BBG00Y7BLJF2 | 16854171 | 123194 | SH |  | OTR | 1 | 0 | 123194 | 0 |
| CLOUDFLARE INC | NOTE 8/1 | 18915MAC1 |  | 205000 | 250000 | PRN |  | SOLE |  | 250000 | 0 | 0 |
| CNX RES CORP | NOTE 2.250% 5/0 | 12653CAG3 |  | 401583 | 273000 | PRN |  | SOLE |  | 273000 | 0 | 0 |
| COINBASE GLOBAL INC | NOTE 0.500% 6/0 | 19260QAB3 |  | 266684 | 468000 | PRN |  | SOLE |  | 468000 | 0 | 0 |
| CONFLUENT INC | NOTE 1/1 | 20717MAB9 |  | 190000 | 250000 | PRN |  | SOLE |  | 250000 | 0 | 0 |
| CONMED CORP | NOTE 2.625% 2/0 | 207410AF8 |  | 6825192 | 6024000 | PRN |  | DFND | 1 | 0 | 6023000 | 1000 |
| CONMED CORP | NOTE 2.625% 2/0 | 207410AF8 |  | 187770 | 165000 | PRN |  | SOLE |  | 165000 | 0 | 0 |
| CONMED CORP | NOTE 2.625% 2/0 | 207410AF8 |  | 111034 | 98000 | PRN |  | OTR | 4 | 0 | 98000 | 0 |
| COUPA SOFTWARE INC | NOTE 0.375% 6/1 | 22266LAF3 |  | 21194379 | 21929000 | PRN |  | OTR | 1 | 0 | 21929000 | 0 |
| COUPA SOFTWARE INC | NOTE 0.375% 6/1 | 22266LAF3 |  | 1588926 | 1644000 | PRN |  | SOLE |  | 1644000 | 0 | 0 |
| CRACKER BARREL OLD CTRY STOR | NOTE 0.625% 6/1 | 22410JAB2 |  | 171750 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| CYBERARK SOFTWARE LTD | NOTE 11/1 | 23248VAB1 |  | 296625 | 279000 | PRN |  | SOLE |  | 279000 | 0 | 0 |
| DANAHER CORPORATION | 5% CONV PFD B | 235851409 |  | 99053152 | 72789 | SH |  | OTR | 1 | 0 | 72789 | 0 |
| DANAHER CORPORATION | 5% CONV PFD B | 235851409 |  | 168212 | 124 | SH |  | OTR | 4 | 0 | 124 | 0 |
| DANAHER CORPORATION | 5% CONV PFD B | 235851409 |  | 10342337 | 7624 | SH |  | DFND | 1 | 0 | 7622 | 2 |
| DANAHER CORPORATION | 5% CONV PFD B | 235851409 |  | 6348253 | 4665 | SH |  | SOLE |  | 4665 | 0 | 0 |
| DATADOG INC | NOTE 0.125% 6/1 | 23804LAB9 |  | 1189431 | 1085000 | PRN |  | SOLE |  | 1085000 | 0 | 0 |
| DATADOG INC | NOTE 0.125% 6/1 | 23804LAB9 |  | 21710135 | 19804000 | PRN |  | OTR | 1 | 0 | 19804000 | 0 |
| DELAWARE INVTS NATL MUN INCO | SH BEN INT | 24610T108 | BBG001S76Y64 | 4387340 | 423080 | SH |  | SOLE |  | 423080 | 0 | 0 |
| DEXCOM INC | NOTE 0.250%11/1 | 252131AK3 |  | 8049675 | 7402000 | PRN |  | DFND | 1 | 0 | 7401000 | 1000 |
| DEXCOM INC | NOTE 0.250%11/1 | 252131AK3 |  | 133763 | 123000 | PRN |  | OTR | 4 | 0 | 123000 | 0 |
| DEXCOM INC | NOTE 0.250%11/1 | 252131AK3 |  | 36398823 | 33317000 | PRN |  | OTR | 1 | 0 | 33317000 | 0 |
| DEXCOM INC | NOTE 0.250%11/1 | 252131AK3 |  | 2490900 | 2280000 | PRN |  | SOLE |  | 2280000 | 0 | 0 |
| DICKS SPORTING GOODS INC | NOTE 3.250% 4/1 | 253393AD4 |  | 400448 | 107000 | PRN |  | SOLE |  | 107000 | 0 | 0 |
| DIGITALOCEAN HLDGS INC | NOTE 12/0 | 25402DAB8 |  | 9481500 | 12600000 | PRN |  | OTR | 1 | 0 | 12600000 | 0 |
| DIGITALOCEAN HLDGS INC | NOTE 12/0 | 25402DAB8 |  | 760025 | 1010000 | PRN |  | SOLE |  | 1010000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 12/1 | 25470MAF6 |  | 25280188 | 39316000 | PRN |  | OTR | 1 | 0 | 39316000 | 0 |
| DISH NETWORK CORPORATION | NOTE 12/1 | 25470MAF6 |  | 1941860 | 3020000 | PRN |  | SOLE |  | 3020000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 2.375% 3/1 | 25470MAD1 |  | 24595629 | 27185000 | PRN |  | SOLE |  | 27185000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 2.375% 3/1 | 25470MAD1 |  | 158331 | 175000 | PRN |  | OTR | 5 | 0 | 175000 | 0 |
| DISH NETWORK CORPORATION | NOTE 2.375% 3/1 | 25470MAD1 |  | 60400205 | 66759000 | PRN |  | OTR | 1 | 0 | 66759000 | 0 |
| DISH NETWORK CORPORATION | NOTE 3.375% 8/1 | 25470MAB5 |  | 110264 | 176000 | PRN |  | OTR | 4 | 0 | 176000 | 0 |
| DISH NETWORK CORPORATION | NOTE 3.375% 8/1 | 25470MAB5 |  | 94350 | 150000 | PRN |  | OTR | 5 | 0 | 150000 | 0 |
| DISH NETWORK CORPORATION | NOTE 3.375% 8/1 | 25470MAB5 |  | 6944753 | 11085000 | PRN |  | DFND | 1 | 0 | 11083000 | 2000 |
| DISH NETWORK CORPORATION | NOTE 3.375% 8/1 | 25470MAB5 |  | 13624140 | 21660000 | PRN |  | SOLE |  | 21660000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 3.375% 8/1 | 25470MAB5 |  | 25638040 | 40760000 | PRN |  | OTR | 1 | 0 | 40760000 | 0 |
| DOCUSIGN INC | NOTE 0.500% 9/1 | 256163AB2 |  | 61620 | 60000 | PRN |  | SOLE |  | 60000 | 0 | 0 |
| DOUBLELINE INCOME SOLUTIONS | COM | 258622109 | BBG003TXW7X2 | 238213 | 21480 | SH |  | SOLE |  | 21480 | 0 | 0 |
| DRAFTKINGS INC NEW | NOTE 3/1 | 26142RAB0 |  | 125700 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| DROPBOX INC | NOTE 3/0 | 26210CAD6 |  | 1875328 | 2093000 | PRN |  | SOLE |  | 2093000 | 0 | 0 |
| DROPBOX INC | NOTE 3/0 | 26210CAD6 |  | 20696704 | 23099000 | PRN |  | OTR | 1 | 0 | 23099000 | 0 |
| DWS MUN INCOME TR | COM | 233368109 | BBG001S63VH3 | 416517 | 48376 | SH |  | SOLE |  | 48376 | 0 | 0 |
| DWS MUN INCOME TR | COM | 233368109 | BBG001S63VH3 | 1127927 | 131002 | SH |  | OTR | 1 | 0 | 131002 | 0 |
| EATON VANCE MUN BD FD | COM | 27827X101 | BBG001S6S949 | 626112 | 60261 | SH |  | SOLE |  | 60261 | 0 | 0 |
| EATON VANCE NEW YORK MUN BD | COM | 27827Y109 | BBG001SKX9S6 | 4338216 | 481489 | SH |  | SOLE |  | 481489 | 0 | 0 |
| EATON VANCE NEW YORK MUN BD | COM | 27827Y109 | BBG001SKX9S6 | 119301 | 13241 | SH |  | OTR | 1 | 0 | 13241 | 0 |
| ELEVANCE HEALTH INC | NOTE 2.750%10/1 | 94973VBG1 |  | 103501549 | 14144000 | PRN |  | OTR | 1 | 0 | 14144000 | 0 |
| ELEVANCE HEALTH INC | NOTE 2.750%10/1 | 94973VBG1 |  | 6183457 | 845000 | PRN |  | SOLE |  | 845000 | 0 | 0 |
| ENPHASE ENERGY INC | NOTE 3/0 | 29355AAH0 |  | 21272200 | 18800000 | PRN |  | OTR | 1 | 0 | 18800000 | 0 |
| ENPHASE ENERGY INC | NOTE 3/0 | 29355AAH0 |  | 1589758 | 1405000 | PRN |  | SOLE |  | 1405000 | 0 | 0 |
| ENVESTNET INC | NOTE 1.750% 6/0 | 29404KAB2 |  | 7156546 | 6902000 | PRN |  | DFND | 1 | 0 | 6900000 | 2000 |
| ENVESTNET INC | NOTE 1.750% 6/0 | 29404KAB2 |  | 111983 | 108000 | PRN |  | OTR | 4 | 0 | 108000 | 0 |
| ENVESTNET INC | NOTE 1.750% 6/0 | 29404KAB2 |  | 46884 | 45000 | PRN |  | SOLE |  | 45000 | 0 | 0 |
| ENVISTA HOLDINGS CORPORATION | NOTE 2.375% 6/0 | 29415FAB0 |  | 222288 | 132000 | PRN |  | SOLE |  | 132000 | 0 | 0 |
| EQT CORP | NOTE 1.750% 5/0 | 26884LAK5 |  | 6443463 | 2769000 | PRN |  | SOLE |  | 2769000 | 0 | 0 |
| EQT CORP | NOTE 1.750% 5/0 | 26884LAK5 |  | 208980 | 90000 | PRN |  | OTR | 4 | 0 | 90000 | 0 |
| EQT CORP | NOTE 1.750% 5/0 | 26884LAK5 |  | 13181994 | 5677000 | PRN |  | DFND | 1 | 0 | 5676000 | 1000 |
| EQT CORP | NOTE 1.750% 5/0 | 26884LAK5 |  | 108338139 | 46557000 | PRN |  | OTR | 1 | 0 | 46557000 | 0 |
| ETSY INC | NOTE 0.125%10/0 | 29786AAJ5 |  | 115838 | 75000 | PRN |  | OTR | 4 | 0 | 75000 | 0 |
| ETSY INC | NOTE 0.125%10/0 | 29786AAJ5 |  | 6920905 | 4481000 | PRN |  | DFND | 1 | 0 | 4480000 | 1000 |
| ETSY INC | NOTE 0.125%10/0 | 29786AAJ5 |  | 44936 | 29000 | PRN |  | SOLE |  | 29000 | 0 | 0 |
| ETSY INC | NOTE 0.250% 6/1 | 29786AAN6 |  | 3003353 | 3487000 | PRN |  | SOLE |  | 3487000 | 0 | 0 |
| ETSY INC | NOTE 0.250% 6/1 | 29786AAN6 |  | 44543852 | 51717000 | PRN |  | OTR | 1 | 0 | 51717000 | 0 |
| EURONET WORLDWIDE INC | NOTE 0.750% 3/1 | 298736AL3 |  | 22538416 | 23585000 | PRN |  | OTR | 1 | 0 | 23585000 | 0 |
| EURONET WORLDWIDE INC | NOTE 0.750% 3/1 | 298736AL3 |  | 1405724 | 1471000 | PRN |  | SOLE |  | 1471000 | 0 | 0 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 2598361 | 2883000 | PRN |  | DFND | 1 | 0 | 2882000 | 1000 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 38755 | 43000 | PRN |  | OTR | 4 | 0 | 43000 | 0 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 2034859 | 2233000 | PRN |  | SOLE |  | 2233000 | 0 | 0 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 23655574 | 25959000 | PRN |  | OTR | 1 | 0 | 25959000 | 0 |
| EVOLENT HEALTH INC | NOTE 1.500%10/1 | 30050BAD3 |  | 163200 | 150000 | PRN |  | SOLE |  | 150000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/0 | 30063PAC9 |  | 2558867 | 3244000 | PRN |  | SOLE |  | 3244000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/0 | 30063PAC9 |  | 4570338 | 5831000 | PRN |  | DFND | 1 | 0 | 5830000 | 1000 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/0 | 30063PAC9 |  | 68974 | 88000 | PRN |  | OTR | 4 | 0 | 88000 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/0 | 30063PAC9 |  | 35156816 | 44570000 | PRN |  | OTR | 1 | 0 | 44570000 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/1 | 30063PAB1 |  | 134460 | 162000 | PRN |  | SOLE |  | 162000 | 0 | 0 |
| EXPEDIA GROUP INC | NOTE 2/1 | 30212PBE4 |  | 554463 | 633000 | PRN |  | SOLE |  | 633000 | 0 | 0 |
| EXPEDIA GROUP INC | NOTE 2/1 | 30212PBE4 |  | 4887681 | 5580000 | PRN |  | OTR | 1 | 0 | 5580000 | 0 |
| FIVE9 INC | NOTE 0.500% 6/0 | 338307AD3 |  | 477620 | 520000 | PRN |  | SOLE |  | 520000 | 0 | 0 |
| FIVE9 INC | NOTE 0.500% 6/0 | 338307AD3 |  | 8824948 | 9608000 | PRN |  | OTR | 1 | 0 | 9608000 | 0 |
| FORD MTR CO DEL | NOTE 3/1 | 345370CZ1 |  | 3786412 | 3992000 | PRN |  | SOLE |  | 3992000 | 0 | 0 |
| FORD MTR CO DEL | NOTE 3/1 | 345370CZ1 |  | 57555929 | 60681000 | PRN |  | OTR | 1 | 0 | 60681000 | 0 |
| FORD MTR CO DEL | NOTE 3/1 | 345370CZ1 |  | 105672 | 112000 | PRN |  | OTR | 4 | 0 | 112000 | 0 |
| FORD MTR CO DEL | NOTE 3/1 | 345370CZ1 |  | 6757347 | 7162000 | PRN |  | DFND | 1 | 0 | 7160000 | 2000 |
| FORUM ENERGY TECHNOLOGIES IN | NOTE 9.000% 8/0 | 34984VAC4 |  | 47391988 | 44134853 | PRN |  | OTR | 1 | 0 | 44134853 | 0 |
| FORUM ENERGY TECHNOLOGIES IN | NOTE 9.000% 8/0 | 34984VAC4 |  | 25780590 | 24008754 | PRN |  | SOLE |  | 24008754 | 0 | 0 |
| FORUM ENERGY TECHNOLOGIES IN | NOTE 9.000% 8/0 | 34984VAC4 |  | 135206 | 125914 | PRN |  | OTR | 5 | 0 | 125914 | 0 |
| FTI CONSULTING INC | NOTE 2.000% 8/1 | 302941AP4 |  | 134130 | 85000 | PRN |  | SOLE |  | 85000 | 0 | 0 |
| GLOBAL X FDS | NASDAQ 100 COVER | 37954Y483 | BBG00MVW9603 | 306204 | 19246 | SH |  | SOLE |  | 19246 | 0 | 0 |
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 |  | 608938 | 622000 | PRN |  | SOLE |  | 622000 | 0 | 0 |
| GREENBRIER COS INC | NOTE 2.875% 4/1 | 393657AM3 |  | 16367450 | 18463000 | PRN |  | OTR | 1 | 0 | 18463000 | 0 |
| GREENBRIER COS INC | NOTE 2.875% 4/1 | 393657AM3 |  | 828878 | 935000 | PRN |  | SOLE |  | 935000 | 0 | 0 |
| GUARDANT HEALTH INC | NOTE 11/1 | 40131MAB5 |  | 659499 | 1052000 | PRN |  | SOLE |  | 1052000 | 0 | 0 |
| GUARDANT HEALTH INC | NOTE 11/1 | 40131MAB5 |  | 9102588 | 14520000 | PRN |  | OTR | 1 | 0 | 14520000 | 0 |
| GUIDEWIRE SOFTWARE INC | NOTE 1.250% 3/1 | 40171VAA8 |  | 111660 | 120000 | PRN |  | SOLE |  | 120000 | 0 | 0 |
| GULFPORT ENERGY CORP | COMMON SHARES | 402635502 | BBG0112Z8766 | 117272731 | 1592514 | SH |  | OTR | 1 | 0 | 1592514 | 0 |
| GULFPORT ENERGY CORP | COMMON SHARES | 402635502 | BBG0112Z8766 | 40395885 | 548559 | SH |  | SOLE |  | 548559 | 0 | 0 |
| GULFPORT ENERGY CORP | COMMON SHARES | 402635502 | BBG0112Z8766 | 325121 | 4415 | SH |  | OTR | 5 | 0 | 4415 | 0 |
| HAEMONETICS CORP MASS | NOTE 3/0 | 405024AB6 |  | 1190422 | 1432000 | PRN |  | SOLE |  | 1432000 | 0 | 0 |
| HAEMONETICS CORP MASS | NOTE 3/0 | 405024AB6 |  | 15445554 | 18580000 | PRN |  | OTR | 1 | 0 | 18580000 | 0 |
| HALOZYME THERAPEUTICS INC | NOTE 0.250% 3/0 | 40637HAD1 |  | 27248 | 28000 | PRN |  | SOLE |  | 28000 | 0 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 4186199 | 3019000 | PRN |  | SOLE |  | 3019000 | 0 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 163031 | 118000 | PRN |  | OTR | 4 | 0 | 118000 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 60539734 | 43660000 | PRN |  | OTR | 1 | 0 | 43660000 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 10113458 | 7320000 | PRN |  | DFND | 1 | 0 | 7319000 | 1000 |
| HUBSPOT INC | NOTE 0.375% 6/0 | 443573AD2 |  | 193817 | 157000 | PRN |  | SOLE |  | 157000 | 0 | 0 |
| ILLUMINA INC | NOTE 8/1 | 452327AK5 |  | 36335855 | 37422000 | PRN |  | OTR | 1 | 0 | 37422000 | 0 |
| ILLUMINA INC | NOTE 8/1 | 452327AK5 |  | 2241012 | 2308000 | PRN |  | SOLE |  | 2308000 | 0 | 0 |
| IMPINJ INC | NOTE 1.125% 5/1 | 453204AD1 |  | 11489675 | 9535000 | PRN |  | OTR | 1 | 0 | 9535000 | 0 |
| IMPINJ INC | NOTE 1.125% 5/1 | 453204AD1 |  | 777225 | 645000 | PRN |  | SOLE |  | 645000 | 0 | 0 |
| INFINERA CORP | NOTE 2.125% 9/0 | 45667GAC7 |  | 127595 | 130000 | PRN |  | SOLE |  | 130000 | 0 | 0 |
| INFINERA CORP | NOTE 2.500% 3/0 | 45667GAE3 |  | 584550 | 523000 | PRN |  | SOLE |  | 523000 | 0 | 0 |
| INFINERA CORP | NOTE 2.500% 3/0 | 45667GAE3 |  | 12898092 | 11540000 | PRN |  | OTR | 1 | 0 | 11540000 | 0 |
| INSIGHT ENTERPRISES INC | NOTE 0.750% 2/1 | 45765UAB9 |  | 128010 | 85000 | PRN |  | SOLE |  | 85000 | 0 | 0 |
| INSMED INC | NOTE 1.750% 1/1 | 457669AA7 |  | 176248 | 187000 | PRN |  | SOLE |  | 187000 | 0 | 0 |
| INSULET CORP | NOTE 0.375% 9/0 | 45784PAK7 |  | 537043 | 379000 | PRN |  | SOLE |  | 379000 | 0 | 0 |
| INTEGRA LIFESCIENCES HLDGS C | NOTE 0.500% 8/1 | 457985AM1 |  | 1796004 | 1843000 | PRN |  | SOLE |  | 1843000 | 0 | 0 |
| INTEGRA LIFESCIENCES HLDGS C | NOTE 0.500% 8/1 | 457985AM1 |  | 17054725 | 17501000 | PRN |  | OTR | 1 | 0 | 17501000 | 0 |
| INTEGRA LIFESCIENCES HLDGS C | NOTE 0.500% 8/1 | 457985AM1 |  | 113432 | 117000 | PRN |  | OTR | 4 | 0 | 117000 | 0 |
| INTEGRA LIFESCIENCES HLDGS C | NOTE 0.500% 8/1 | 457985AM1 |  | 7052143 | 7274000 | PRN |  | DFND | 1 | 0 | 7272000 | 2000 |
| INTERDIGITAL INC | NOTE 2.000% 6/0 | 45867GAB7 |  | 7079400 | 7360000 | PRN |  | OTR | 1 | 0 | 7360000 | 0 |
| INTERDIGITAL INC | NOTE 2.000% 6/0 | 45867GAB7 |  | 428034 | 445000 | PRN |  | SOLE |  | 445000 | 0 | 0 |
| INVESCO EXCH TRADED FD TR II | TAXABLE MUN BD | 46138G805 | BBG001STKGB3 | 272012 | 10580 | SH |  | SOLE |  | 10580 | 0 | 0 |
| INVESCO PA VALUE MUN INC TR | COM | 46132K109 | BBG001S75GP3 | 586079 | 59804 | SH |  | SOLE |  | 59804 | 0 | 0 |
| INVESCO PA VALUE MUN INC TR | COM | 46132K109 | BBG001S75GP3 | 183250 | 18699 | SH |  | OTR | 1 | 0 | 18699 | 0 |
| INVESCO SR INCOME TR | COM | 46131H107 | BBG001SB0BV3 | 281520 | 73504 | SH |  | SOLE |  | 73504 | 0 | 0 |
| INVITAE CORP | NOTE 2.000% 9/0 | 46185LAB9 |  | 95100 | 120000 | PRN |  | SOLE |  | 120000 | 0 | 0 |
| IONIS PHARMACEUTICALS INC | NOTE 0.125%12/1 | 462222AB6 |  | 180794 | 198000 | PRN |  | SOLE |  | 198000 | 0 | 0 |
| IONIS PHARMACEUTICALS INC | NOTE 4/0 | 462222AD2 |  | 17315100 | 18656000 | PRN |  | OTR | 1 | 0 | 18656000 | 0 |
| IONIS PHARMACEUTICALS INC | NOTE 4/0 | 462222AD2 |  | 1627003 | 1753000 | PRN |  | SOLE |  | 1753000 | 0 | 0 |
| IONIS PHARMACEUTICALS INC | NOTE 4/0 | 462222AD2 |  | 55388 | 60000 | PRN |  | OTR | 4 | 0 | 60000 | 0 |
| IONIS PHARMACEUTICALS INC | NOTE 4/0 | 462222AD2 |  | 3566051 | 3863000 | PRN |  | DFND | 1 | 0 | 3862000 | 1000 |
| IRONWOOD PHARMACEUTICALS INC | NOTE 0.750% 6/1 | 46333XAF5 |  | 129375 | 120000 | PRN |  | SOLE |  | 120000 | 0 | 0 |
| IRONWOOD PHARMACEUTICALS INC | NOTE 1.500% 6/1 | 46333XAH1 |  | 190639 | 174000 | PRN |  | SOLE |  | 174000 | 0 | 0 |
| ISHARES GOLD TR | ISHARES NEW | 464285204 | BBG001SJK6D5 | 32151405 | 929500 | SH |  | OTR | 1 | 0 | 929500 | 0 |
| ISHARES GOLD TR | ISHARES NEW | 464285204 | BBG001SJK6D5 | 0 | 0 | SH |  | SOLE |  | 0 | 0 | 0 |
| ISHARES TR | 20 YR TR BD ETF | 464287432 | BBG001S8MLN3 | 252385 | 2535 | SH |  | SOLE |  | 2535 | 0 | 0 |
| ISHARES TR | 3 7 YR TREAS BD | 464288661 | BBG001SSD812 | 711169 | 6190 | SH |  | SOLE |  | 6190 | 0 | 0 |
| ISHARES TR | IBOXX INV CP ETF | 464287242 | BBG001S60QR6 | 556670 | 5280 | SH |  | SOLE |  | 5280 | 0 | 0 |
| ISHARES TR | MBS ETF | 464288588 | BBG001SSD8B1 | 839388 | 9050 | SH |  | SOLE |  | 9050 | 0 | 0 |
| ITRON INC | NOTE 3/1 | 465741AN6 |  | 164760 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| JAMF HLDG CORP | NOTE 0.125% 9/0 | 47074LAB1 |  | 207000 | 250000 | PRN |  | SOLE |  | 250000 | 0 | 0 |
| JAZZ INVESTMENTS I LTD | NOTE 2.000% 6/1 | 472145AF8 |  | 470338 | 394000 | PRN |  | SOLE |  | 394000 | 0 | 0 |
| JETBLUE AIRWAYS CORP | NOTE 0.500% 4/0 | 477143AP6 |  | 6793883 | 9255000 | PRN |  | OTR | 1 | 0 | 9255000 | 0 |
| JETBLUE AIRWAYS CORP | NOTE 0.500% 4/0 | 477143AP6 |  | 604145 | 823000 | PRN |  | SOLE |  | 823000 | 0 | 0 |
| KARYOPHARM THERAPEUTICS INC | NOTE 3.000%10/1 | 48576UAA4 |  | 167708 | 221000 | PRN |  | SOLE |  | 221000 | 0 | 0 |
| KKR  CO INC | 6% MCONV PFD C | 48251W401 |  | 25846195 | 449050 | SH |  | OTR | 1 | 0 | 449050 | 0 |
| KKR  CO INC | 6% MCONV PFD C | 48251W401 |  | 1574198 | 27350 | SH |  | SOLE |  | 27350 | 0 | 0 |
| KKR  CO INC | 6% MCONV PFD C | 48251W401 |  | 119710 | 2091 | SH |  | OTR | 4 | 0 | 2091 | 0 |
| KKR  CO INC | 6% MCONV PFD C | 48251W401 |  | 7963361 | 139098 | SH |  | DFND | 1 | 0 | 139067 | 31 |
| KOSMOS ENERGY LTD | COM | 500688106 | BBG001SJV7R6 | 0 | 0 | SH |  | SOLE |  | 0 | 0 | 0 |
| KOSMOS ENERGY LTD | COM | 500688106 | BBG001SJV7R6 | 8060321 | 1267346 | SH |  | OTR | 1 | 0 | 1267346 | 0 |
| LCI INDS | NOTE 1.125% 5/1 | 501812AB7 |  | 169500 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| LIBERTY MEDIA CORP DEL | NOTE 1.375%10/1 | 531229AB8 |  | 28810450 | 23300000 | PRN |  | OTR | 1 | 0 | 23300000 | 0 |
| LIBERTY MEDIA CORP DEL | NOTE 1.375%10/1 | 531229AB8 |  | 1440523 | 1165000 | PRN |  | SOLE |  | 1165000 | 0 | 0 |
| LIBERTY MEDIA CORP DEL | NOTE 1.375%10/1 | 531229AB8 |  | 5474018 | 4445000 | PRN |  | DFND | 1 | 0 | 4444000 | 1000 |
| LIBERTY MEDIA CORP DEL | NOTE 1.375%10/1 | 531229AB8 |  | 89900 | 73000 | PRN |  | OTR | 4 | 0 | 73000 | 0 |
| LIVE NATION ENTERTAINMENT IN | NOTE 2.500% 3/1 | 538034AQ2 |  | 1325454 | 1241000 | PRN |  | SOLE |  | 1241000 | 0 | 0 |
| LIVE NATION ENTERTAINMENT IN | NOTE 2.500% 3/1 | 538034AQ2 |  | 17662399 | 16537000 | PRN |  | OTR | 1 | 0 | 16537000 | 0 |
| LIVENT CORP | NOTE 4.125% 7/1 | 53814LAB4 |  | 125034 | 52000 | PRN |  | SOLE |  | 52000 | 0 | 0 |
| LIVEPERSON INC | NOTE 12/1 | 538146AD3 |  | 143620 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 96898 | 113000 | PRN |  | OTR | 4 | 0 | 113000 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 3714788 | 4307000 | PRN |  | SOLE |  | 4307000 | 0 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 6077960 | 7088000 | PRN |  | DFND | 1 | 0 | 7086000 | 2000 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 44871563 | 52025000 | PRN |  | OTR | 1 | 0 | 52025000 | 0 |
| LYFT INC | NOTE 1.500% 5/1 | 55087PAB0 |  | 115995 | 131000 | PRN |  | SOLE |  | 131000 | 0 | 0 |
| MARATHON DIGITAL HOLDINGS IN | NOTE 1.000%12/0 | 565788AB2 |  | 46632 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| MARRIOTT VACATIONS WORLDWIDE | NOTE 1/1 | 57164YAD9 |  | 6046600 | 6170000 | PRN |  | OTR | 1 | 0 | 6170000 | 0 |
| MARRIOTT VACATIONS WORLDWIDE | NOTE 1/1 | 57164YAD9 |  | 660520 | 674000 | PRN |  | SOLE |  | 674000 | 0 | 0 |
| MFS MUN INCOME TR | SH BEN INT | 552738106 | BBG001S5T4C2 | 1725743 | 333155 | SH |  | SOLE |  | 333155 | 0 | 0 |
| MGP INGREDIENTS INC NEW | NOTE 1.875%11/1 | 55303JAB2 |  | 7142431 | 5674000 | PRN |  | DFND | 1 | 0 | 5673000 | 1000 |
| MGP INGREDIENTS INC NEW | NOTE 1.875%11/1 | 55303JAB2 |  | 114551 | 91000 | PRN |  | OTR | 4 | 0 | 91000 | 0 |
| MGP INGREDIENTS INC NEW | NOTE 1.875%11/1 | 55303JAB2 |  | 2043565 | 1617000 | PRN |  | SOLE |  | 1617000 | 0 | 0 |
| MGP INGREDIENTS INC NEW | NOTE 1.875%11/1 | 55303JAB2 |  | 35117211 | 27787000 | PRN |  | OTR | 1 | 0 | 27787000 | 0 |
| MICROCHIP TECHNOLOGY INC. | NOTE 0.125%11/1 | 595017AU8 |  | 73682683 | 68383000 | PRN |  | OTR | 1 | 0 | 68383000 | 0 |
| MICROCHIP TECHNOLOGY INC. | NOTE 0.125%11/1 | 595017AU8 |  | 4276598 | 3969000 | PRN |  | SOLE |  | 3969000 | 0 | 0 |
| MICROCHIP TECHNOLOGY INC. | NOTE 0.125%11/1 | 595017AU8 |  | 8261468 | 7703000 | PRN |  | DFND | 1 | 0 | 7701000 | 2000 |
| MICROCHIP TECHNOLOGY INC. | NOTE 0.125%11/1 | 595017AU8 |  | 136208 | 127000 | PRN |  | OTR | 4 | 0 | 127000 | 0 |
| MICROSTRATEGY INC | NOTE 2/1 | 594972AE1 |  | 186900 | 500000 | PRN |  | SOLE |  | 500000 | 0 | 0 |
| MONGODB INC | NOTE 0.250% 1/1 | 60937PAD8 |  | 1135081 | 965000 | PRN |  | SOLE |  | 965000 | 0 | 0 |
| MONGODB INC | NOTE 0.250% 1/1 | 60937PAD8 |  | 17190894 | 14615000 | PRN |  | OTR | 1 | 0 | 14615000 | 0 |
| NANOSTRING TECHNOLOGIES INC | NOTE 2.625% 3/0 | 63009RAD1 |  | 81223 | 100000 | PRN |  | SOLE |  | 100000 | 0 | 0 |
| NCL CORP LTD | NOTE 1.125% 2/1 | 62886HBD2 |  | 136760 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| NCL CORP LTD | NOTE 5.375% 8/0 | 62886HAX9 |  | 712491 | 703000 | PRN |  | SOLE |  | 703000 | 0 | 0 |
| NCL CORP LTD | NOTE 5.375% 8/0 | 62886HAX9 |  | 7631655 | 7530000 | PRN |  | OTR | 1 | 0 | 7530000 | 0 |
| NCL CORP LTD | NOTE 6.000% 5/1 | 62886HAT8 |  | 5398370 | 4605000 | PRN |  | OTR | 1 | 0 | 4605000 | 0 |
| NCL CORP LTD | NOTE 6.000% 5/1 | 62886HAT8 |  | 256730 | 219000 | PRN |  | SOLE |  | 219000 | 0 | 0 |
| NEUBERGER BERMAN N Y MUN FD | COM | 64124K102 | BBG001SHSZN6 | 242775 | 25745 | SH |  | SOLE |  | 25745 | 0 | 0 |
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 |  | 117660 | 120000 | PRN |  | SOLE |  | 120000 | 0 | 0 |
| NEXTERA ENERGY INC | UNIT 03/01/2023 | 65339F770 |  | 11652077 | 229824 | SH |  | DFND | 1 | 0 | 229772 | 52 |
| NEXTERA ENERGY INC | UNIT 03/01/2023 | 65339F770 |  | 1082253 | 21300 | SH |  | SOLE |  | 21300 | 0 | 0 |
| NEXTERA ENERGY INC | UNIT 03/01/2023 | 65339F770 |  | 188705 | 3722 | SH |  | OTR | 4 | 0 | 3722 | 0 |
| NEXTERA ENERGY INC | UNIT 09/01/2025 | 65339F713 |  | 429690 | 8540 | SH |  | SOLE |  | 8540 | 0 | 0 |
| NICE LTD | NOTE 9/1 | 653656AB4 |  | 155513 | 165000 | PRN |  | OTR | 4 | 0 | 165000 | 0 |
| NICE LTD | NOTE 9/1 | 653656AB4 |  | 89299980 | 94248000 | PRN |  | OTR | 1 | 0 | 94248000 | 0 |
| NICE LTD | NOTE 9/1 | 653656AB4 |  | 10366558 | 10999000 | PRN |  | DFND | 1 | 0 | 10996000 | 3000 |
| NICE LTD | NOTE 9/1 | 653656AB4 |  | 4997115 | 5274000 | PRN |  | SOLE |  | 5274000 | 0 | 0 |
| NICE LTD | SPONSORED ADR | 653656108 | BBG001S9RK49 | 2692 | 14 | SH |  | DFND | 1 | 0 | 14 | 0 |
| NICE LTD | SPONSORED ADR | 653656108 | BBG001S9RK49 | 19783439 | 102878 | SH |  | SOLE |  | 102878 | 0 | 0 |
| NICE LTD | SPONSORED ADR | 653656108 | BBG001S9RK49 | 32021988 | 166521 | SH |  | OTR | 1 | 0 | 166521 | 0 |
| NOVOCURE LTD | NOTE 11/0 | 67011XAB9 |  | 133785 | 150000 | PRN |  | SOLE |  | 150000 | 0 | 0 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 7010442 | 7092000 | PRN |  | DFND | 1 | 0 | 7090000 | 2000 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 52860161 | 53206000 | PRN |  | OTR | 1 | 0 | 53206000 | 0 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 107747 | 109000 | PRN |  | OTR | 4 | 0 | 109000 | 0 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 2713249 | 2731000 | PRN |  | SOLE |  | 2731000 | 0 | 0 |
| NUVASIVE INC | NOTE 0.375% 3/1 | 670704AJ4 |  | 6605916 | 7541000 | PRN |  | DFND | 1 | 0 | 7540000 | 1000 |
| NUVASIVE INC | NOTE 0.375% 3/1 | 670704AJ4 |  | 1490815 | 1697000 | PRN |  | SOLE |  | 1697000 | 0 | 0 |
| NUVASIVE INC | NOTE 0.375% 3/1 | 670704AJ4 |  | 18486276 | 21043000 | PRN |  | OTR | 1 | 0 | 21043000 | 0 |
| NUVASIVE INC | NOTE 0.375% 3/1 | 670704AJ4 |  | 105996 | 121000 | PRN |  | OTR | 4 | 0 | 121000 | 0 |
| NUVEEN AMT FREE QLTY MUN INC | COM | 670657105 | BBG001SKQWJ3 | 19415219 | 1707583 | SH |  | SOLE |  | 1707583 | 0 | 0 |
| NUVEEN CR STRATEGIES INCOME | COM SHS | 67073D102 | BBG001SLL7N6 | 255661 | 50228 | SH |  | SOLE |  | 50228 | 0 | 0 |
| NUVEEN NEW YORK AMT QLT MUNI | COM | 670656107 | BBG001S90BW7 | 5841521 | 569349 | SH |  | SOLE |  | 569349 | 0 | 0 |
| NUVEEN NEW YORK AMT QLT MUNI | COM | 670656107 | BBG001S90BW7 | 2112360 | 205883 | SH |  | OTR | 1 | 0 | 205883 | 0 |
| NUVEEN PENNSYLVANIA QLT MUN | COM | 670972108 | BBG001S6PT66 | 5755290 | 517097 | SH |  | SOLE |  | 517097 | 0 | 0 |
| NUVEEN QUALITY MUNCP INCOME | COM | 67066V101 | BBG001SCTFM1 | 2222672 | 188362 | SH |  | SOLE |  | 188362 | 0 | 0 |
| OIL STS INTL INC | NOTE 1.500% 2/1 | 678026AH8 |  | 557900 | 560000 | PRN |  | SOLE |  | 560000 | 0 | 0 |
| OIL STS INTL INC | NOTE 4.750% 4/0 | 678026AK1 |  | 56331678 | 52130000 | PRN |  | OTR | 1 | 0 | 52130000 | 0 |
| OIL STS INTL INC | NOTE 4.750% 4/0 | 678026AK1 |  | 4023074 | 3723000 | PRN |  | SOLE |  | 3723000 | 0 | 0 |
| OKTA INC | NOTE 0.125% 9/0 | 679295AD7 |  | 1774952 | 2009000 | PRN |  | SOLE |  | 2009000 | 0 | 0 |
| OKTA INC | NOTE 0.125% 9/0 | 679295AD7 |  | 11313218 | 12805000 | PRN |  | OTR | 1 | 0 | 12805000 | 0 |
| OMNICELL COM | NOTE 0.250% 9/1 | 68213NAD1 |  | 253453 | 289000 | PRN |  | SOLE |  | 289000 | 0 | 0 |
| OMNICELL COM | NOTE 0.250% 9/1 | 68213NAD1 |  | 3942115 | 4495000 | PRN |  | OTR | 1 | 0 | 4495000 | 0 |
| ON SEMICONDUCTOR CORP | NOTE 1.625%10/1 | 682189AP0 |  | 24920879 | 8289000 | PRN |  | OTR | 1 | 0 | 8289000 | 0 |
| ON SEMICONDUCTOR CORP | NOTE 1.625%10/1 | 682189AP0 |  | 1936186 | 644000 | PRN |  | SOLE |  | 644000 | 0 | 0 |
| PACIRA BIOSCIENCES INC | NOTE 0.750% 8/0 | 695127AF7 |  | 20602063 | 22749000 | PRN |  | OTR | 1 | 0 | 22749000 | 0 |
| PACIRA BIOSCIENCES INC | NOTE 0.750% 8/0 | 695127AF7 |  | 1144710 | 1264000 | PRN |  | SOLE |  | 1264000 | 0 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.375% 6/0 | 697435AF2 |  | 6930691 | 4694000 | PRN |  | DFND | 1 | 0 | 4693000 | 1000 |
| PALO ALTO NETWORKS INC | NOTE 0.375% 6/0 | 697435AF2 |  | 31341133 | 21155000 | PRN |  | OTR | 1 | 0 | 21155000 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.375% 6/0 | 697435AF2 |  | 1817801 | 1227000 | PRN |  | SOLE |  | 1227000 | 0 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.375% 6/0 | 697435AF2 |  | 116644 | 79000 | PRN |  | OTR | 4 | 0 | 79000 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.750% 7/0 | 697435AD7 |  | 42428408 | 26811000 | PRN |  | OTR | 1 | 0 | 26811000 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.750% 7/0 | 697435AD7 |  | 3125438 | 1975000 | PRN |  | SOLE |  | 1975000 | 0 | 0 |
| PARSONS CORP DEL | NOTE 0.250% 8/1 | 70202LAB8 |  | 8582939 | 7519000 | PRN |  | OTR | 1 | 0 | 7519000 | 0 |
| PARSONS CORP DEL | NOTE 0.250% 8/1 | 70202LAB8 |  | 813890 | 713000 | PRN |  | SOLE |  | 713000 | 0 | 0 |
| PATRICK INDS INC | DBCV 1.000% 2/0 | 703343AB9 |  | 93116 | 94000 | PRN |  | OTR | 4 | 0 | 94000 | 0 |
| PATRICK INDS INC | DBCV 1.000% 2/0 | 703343AB9 |  | 5900014 | 5956000 | PRN |  | DFND | 1 | 0 | 5955000 | 1000 |
| PDC ENERGY INC | COM | 69327R101 | BBG001S5V439 | 9754908 | 153669 | SH |  | OTR | 1 | 0 | 153669 | 0 |
| PDC ENERGY INC | COM | 69327R101 | BBG001S5V439 | 0 | 0 | SH |  | SOLE |  | 0 | 0 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 5940095 | 7222000 | PRN |  | DFND | 1 | 0 | 7220000 | 2000 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 88830 | 108000 | PRN |  | OTR | 4 | 0 | 108000 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 4851633 | 5863000 | PRN |  | OTR | 1 | 0 | 5863000 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 490708 | 593000 | PRN |  | SOLE |  | 593000 | 0 | 0 |
| PELOTON INTERACTIVE INC | NOTE 2/1 | 70614WAB6 |  | 194159 | 272000 | PRN |  | SOLE |  | 272000 | 0 | 0 |
| PENN ENTERTAINMENT INC | NOTE 2.750% 5/1 | 707569AU3 |  | 116841 | 79000 | PRN |  | SOLE |  | 79000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500%11/0 | 70932AAD5 |  | 89750 | 100000 | PRN |  | SOLE |  | 100000 | 0 | 0 |
| PERMIAN RESOURCES CORP | NOTE 3.250% 4/0 | 15136AAA0 |  | 49134208 | 28928000 | PRN |  | OTR | 1 | 0 | 28928000 | 0 |
| PERMIAN RESOURCES CORP | NOTE 3.250% 4/0 | 15136AAA0 |  | 3118446 | 1836000 | PRN |  | SOLE |  | 1836000 | 0 | 0 |
| PG CORP | UNIT 08/16/2023 | 69331C140 |  | 2999636 | 20742 | SH |  | SOLE |  | 20742 | 0 | 0 |
| PG CORP | UNIT 08/16/2023 | 69331C140 |  | 45554206 | 315000 | SH |  | OTR | 1 | 0 | 315000 | 0 |
| PG CORP | UNIT 08/16/2023 | 69331C140 |  | 168761 | 1170 | SH |  | OTR | 4 | 0 | 1170 | 0 |
| PG CORP | UNIT 08/16/2023 | 69331C140 |  | 10402012 | 72116 | SH |  | DFND | 1 | 0 | 72100 | 16 |
| PGIM GLOBAL HIGH YIELD FD FO | COM | 69346J106 | BBG0037TDYM9 | 250231 | 23084 | SH |  | SOLE |  | 23084 | 0 | 0 |
| PIONEER MUNICIPAL HIGH INCOM | COM | 723762100 | BBG001SC4CM5 | 3836184 | 473603 | SH |  | SOLE |  | 473603 | 0 | 0 |
| PIONEER MUNICIPAL HIGH INCOM | COM | 723762100 | BBG001SC4CM5 | 1623232 | 200399 | SH |  | OTR | 1 | 0 | 200399 | 0 |
| PIONEER MUNICIPAL HIGH INCOM | COM SHS | 723763108 | BBG001SLS3T2 | 2194318 | 255748 | SH |  | SOLE |  | 255748 | 0 | 0 |
| PIONEER MUNICIPAL HIGH INCOM | COM SHS | 723763108 | BBG001SLS3T2 | 1724185 | 200954 | SH |  | OTR | 1 | 0 | 200954 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 7938789 | 3397000 | PRN |  | SOLE |  | 3397000 | 0 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 125179068 | 53564000 | PRN |  | OTR | 1 | 0 | 53564000 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 20712824 | 8882000 | PRN |  | DFND | 1 | 0 | 8880000 | 2000 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 328812 | 141000 | PRN |  | OTR | 4 | 0 | 141000 | 0 |
| PURE STORAGE INC | NOTE 0.125% 4/1 | 74624MAB8 |  | 149981 | 139000 | PRN |  | SOLE |  | 139000 | 0 | 0 |
| Q2 HLDGS INC | NOTE 0.750% 2/1 | 74736LAB5 |  | 68644 | 70000 | PRN |  | SOLE |  | 70000 | 0 | 0 |
| Q2 HLDGS INC | NOTE 0.750% 6/0 | 74736LAD1 |  | 534060 | 645000 | PRN |  | SOLE |  | 645000 | 0 | 0 |
| Q2 HLDGS INC | NOTE 0.750% 6/0 | 74736LAD1 |  | 5957460 | 7195000 | PRN |  | OTR | 1 | 0 | 7195000 | 0 |
| RAMBUS INC DEL | NOTE 1.375% 2/0 | 750917AG1 |  | 375864 | 199000 | PRN |  | SOLE |  | 199000 | 0 | 0 |
| RAMBUS INC DEL | NOTE 1.375% 2/0 | 750917AG1 |  | 16485115 | 8728000 | PRN |  | OTR | 1 | 0 | 8728000 | 0 |
| RAPID7 INC | NOTE 0.250% 3/1 | 753422AF1 |  | 188638 | 240000 | PRN |  | SOLE |  | 240000 | 0 | 0 |
| REALOGY GRP LLC/REALOGY CO | NOTE 0.250% 6/1 | 75606DAP6 |  | 140800 | 200000 | PRN |  | SOLE |  | 200000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 4.750% 8/1 | 758075AC9 |  | 78800 | 80000 | PRN |  | SOLE |  | 80000 | 0 | 0 |
| REPLIGEN CORP | NOTE 0.375% 7/1 | 759916AB5 |  | 117391 | 73000 | PRN |  | SOLE |  | 73000 | 0 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 92745 | 108000 | PRN |  | OTR | 4 | 0 | 108000 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 120925 | 140000 | PRN |  | SOLE |  | 140000 | 0 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 6000945 | 6988000 | PRN |  | DFND | 1 | 0 | 6986000 | 2000 |
| ROYAL CARIBBEAN GROUP | NOTE 2.875%11/1 | 780153BF8 |  | 101352 | 103000 | PRN |  | SOLE |  | 103000 | 0 | 0 |
| ROYAL CARIBBEAN GROUP | NOTE 4.250% 6/1 | 780153BB7 |  | 97241 | 98000 | PRN |  | OTR | 4 | 0 | 98000 | 0 |
| ROYAL CARIBBEAN GROUP | NOTE 4.250% 6/1 | 780153BB7 |  | 5915795 | 5962000 | PRN |  | DFND | 1 | 0 | 5961000 | 1000 |
| SABRE GLBL INC | NOTE 4.000% 4/1 | 78573NAE2 |  | 3252238 | 3020000 | PRN |  | OTR | 1 | 0 | 3020000 | 0 |
| SABRE GLBL INC | NOTE 4.000% 4/1 | 78573NAE2 |  | 231534 | 215000 | PRN |  | SOLE |  | 215000 | 0 | 0 |
| SAREPTA THERAPEUTICS INC | DBCV 1.500%11/1 | 803607AB6 |  | 252518 | 135000 | PRN |  | SOLE |  | 135000 | 0 | 0 |
| SAREPTA THERAPEUTICS INC | DEBT 1.250% 9/1 | 803607AC4 |  | 289375 | 250000 | PRN |  | SOLE |  | 250000 | 0 | 0 |
| SHIFT4 PMTS INC | NOTE 0.500% 8/0 | 82452JAD1 |  | 399548 | 472000 | PRN |  | SOLE |  | 472000 | 0 | 0 |
| SHIFT4 PMTS INC | NOTE 0.500% 8/0 | 82452JAD1 |  | 1968113 | 2325000 | PRN |  | OTR | 1 | 0 | 2325000 | 0 |
| SHIFT4 PMTS INC | NOTE 12/1 | 82452JAB5 |  | 438075 | 440000 | PRN |  | SOLE |  | 440000 | 0 | 0 |
| SHIFT4 PMTS INC | NOTE 12/1 | 82452JAB5 |  | 5993663 | 6020000 | PRN |  | OTR | 1 | 0 | 6020000 | 0 |
| SILICON LABORATORIES INC | NOTE 0.625% 6/1 | 826919AD4 |  | 46421581 | 37007000 | PRN |  | OTR | 1 | 0 | 37007000 | 0 |
| SILICON LABORATORIES INC | NOTE 0.625% 6/1 | 826919AD4 |  | 128688 | 103000 | PRN |  | OTR | 4 | 0 | 103000 | 0 |
| SILICON LABORATORIES INC | NOTE 0.625% 6/1 | 826919AD4 |  | 2694451 | 2148000 | PRN |  | SOLE |  | 2148000 | 0 | 0 |
| SILICON LABORATORIES INC | NOTE 0.625% 6/1 | 826919AD4 |  | 7748779 | 6202000 | PRN |  | DFND | 1 | 0 | 6201000 | 1000 |
| SNAP INC | NOTE 0.750% 8/0 | 83304AAB2 |  | 34727 | 41000 | PRN |  | OTR | 4 | 0 | 41000 | 0 |
| SNAP INC | NOTE 0.750% 8/0 | 83304AAB2 |  | 2299605 | 2715000 | PRN |  | DFND | 1 | 0 | 2714000 | 1000 |
| SNAP INC | NOTE 0.750% 8/0 | 83304AAB2 |  | 205031 | 241000 | PRN |  | SOLE |  | 241000 | 0 | 0 |
| SNAP INC | NOTE 5/0 | 83304AAF3 |  | 849828 | 1208000 | PRN |  | SOLE |  | 1208000 | 0 | 0 |
| SNAP INC | NOTE 5/0 | 83304AAF3 |  | 14473106 | 20573000 | PRN |  | OTR | 1 | 0 | 20573000 | 0 |
| SOLAREDGE TECHNOLOGIES INC | NOTE 9/1 | 83417MAD6 |  | 20241914 | 16239000 | PRN |  | OTR | 1 | 0 | 16239000 | 0 |
| SOLAREDGE TECHNOLOGIES INC | NOTE 9/1 | 83417MAD6 |  | 983489 | 789000 | PRN |  | SOLE |  | 789000 | 0 | 0 |
| SOUTHWEST AIRLS CO | NOTE 1.250% 5/0 | 844741BG2 |  | 6981413 | 5813000 | PRN |  | DFND | 1 | 0 | 5812000 | 1000 |
| SOUTHWEST AIRLS CO | NOTE 1.250% 5/0 | 844741BG2 |  | 4567207 | 3791000 | PRN |  | SOLE |  | 3791000 | 0 | 0 |
| SOUTHWEST AIRLS CO | NOTE 1.250% 5/0 | 844741BG2 |  | 68153912 | 56571000 | PRN |  | OTR | 1 | 0 | 56571000 | 0 |
| SOUTHWEST AIRLS CO | NOTE 1.250% 5/0 | 844741BG2 |  | 110492 | 92000 | PRN |  | OTR | 4 | 0 | 92000 | 0 |
| SPDR GOLD TR | GOLD SHS | 78463V107 | BBG001SCPX28 | 0 | 0 | SH |  | SOLE |  | 0 | 0 | 0 |
| SPDR GOLD TR | GOLD SHS | 78463V107 | BBG001SCPX28 | 11931799 | 70336 | SH |  | OTR | 1 | 0 | 70336 | 0 |
| SPDR SER TR | BBG CONV SEC ETF | 78464A359 | BBG001T2PMD1 | 4483276 | 69681 | SH |  | DFND | 1 | 0 | 69681 | 0 |
| SPDR SER TR | BBG CONV SEC ETF | 78464A359 | BBG001T2PMD1 | 71353 | 1109 | SH |  | OTR | 4 | 0 | 1109 | 0 |
| SPIRIT AIRLS INC | NOTE 1.000% 5/1 | 848577AB8 |  | 3564540 | 4428000 | PRN |  | DFND | 1 | 0 | 4427000 | 1000 |
| SPIRIT AIRLS INC | NOTE 1.000% 5/1 | 848577AB8 |  | 61985 | 77000 | PRN |  | OTR | 4 | 0 | 77000 | 0 |
| SPIRIT AIRLS INC | NOTE 1.000% 5/1 | 848577AB8 |  | 101250 | 125000 | PRN |  | SOLE |  | 125000 | 0 | 0 |
| SPLUNK INC | NOTE 0.500% 9/1 | 848637AC8 |  | 32204562 | 33252000 | PRN |  | OTR | 1 | 0 | 33252000 | 0 |
| SPLUNK INC | NOTE 0.500% 9/1 | 848637AC8 |  | 2616887 | 2702000 | PRN |  | SOLE |  | 2702000 | 0 | 0 |
| SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 |  | 69671 | 74000 | PRN |  | OTR | 4 | 0 | 74000 | 0 |
| SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 |  | 4139776 | 4397000 | PRN |  | DFND | 1 | 0 | 4396000 | 1000 |
| SUMMIT HOTEL PPTYS | NOTE 1.500% 2/1 | 866082AA8 |  | 1283346 | 1494000 | PRN |  | SOLE |  | 1494000 | 0 | 0 |
| SUMMIT HOTEL PPTYS | NOTE 1.500% 2/1 | 866082AA8 |  | 22165636 | 25804000 | PRN |  | OTR | 1 | 0 | 25804000 | 0 |
| TABULA RASA HEALTHCARE INC | NOTE 1.750% 2/1 | 873379AA9 |  | 58639 | 75000 | PRN |  | SOLE |  | 75000 | 0 | 0 |
| TALOS ENERGY INC | COM | 87484T108 | BBG00JPH4JG0 | 116811 | 6187 | SH |  | OTR | 5 | 0 | 6187 | 0 |
| TALOS ENERGY INC | COM | 87484T108 | BBG00JPH4JG0 | 10167012 | 538507 | SH |  | SOLE |  | 538507 | 0 | 0 |
| TALOS ENERGY INC | COM | 87484T108 | BBG00JPH4JG0 | 52289859 | 2769590 | SH |  | OTR | 1 | 0 | 2769590 | 0 |
| TELADOC HEALTH INC | NOTE 1.250% 6/0 | 87918AAF2 |  | 36995052 | 47847000 | PRN |  | OTR | 1 | 0 | 47847000 | 0 |
| TELADOC HEALTH INC | NOTE 1.250% 6/0 | 87918AAF2 |  | 5602483 | 7293000 | PRN |  | DFND | 1 | 0 | 7291000 | 2000 |
| TELADOC HEALTH INC | NOTE 1.250% 6/0 | 87918AAF2 |  | 86807 | 113000 | PRN |  | OTR | 4 | 0 | 113000 | 0 |
| TELADOC HEALTH INC | NOTE 1.250% 6/0 | 87918AAF2 |  | 2856182 | 3694000 | PRN |  | SOLE |  | 3694000 | 0 | 0 |
| TERADYNE INC | NOTE 1.250%12/1 | 880770AG7 |  | 165222 | 60000 | PRN |  | SOLE |  | 60000 | 0 | 0 |
| TRANSOCEAN INC | DEB 0.500% 1/3 | 893830BJ7 |  | 131119 | 135000 | PRN |  | SOLE |  | 135000 | 0 | 0 |
| TYLER TEX INDPT SCH DIST | NOTE 0.250% 3/1 | 902252AB1 |  | 317560 | 340000 | PRN |  | SOLE |  | 340000 | 0 | 0 |
| UBER TECHNOLOGIES INC | NOTE 12/1 | 90353TAJ9 |  | 1443725 | 1704000 | PRN |  | SOLE |  | 1704000 | 0 | 0 |
| UBER TECHNOLOGIES INC | NOTE 12/1 | 90353TAJ9 |  | 23587618 | 27840000 | PRN |  | OTR | 1 | 0 | 27840000 | 0 |
| UNITED STATES STL CORP | NOTE 5.000%11/0 | 912909AT5 |  | 108270 | 54000 | PRN |  | SOLE |  | 54000 | 0 | 0 |
| UNITY SOFTWARE INC | NOTE 11/1 | 91332UAB7 |  | 376750 | 500000 | PRN |  | SOLE |  | 500000 | 0 | 0 |
| UPWORK INC | NOTE 0.250% 8/1 | 91688FAB0 |  | 102491 | 136000 | PRN |  | SOLE |  | 136000 | 0 | 0 |
| VAIL RESORTS INC | NOTE 1/0 | 91879QAN9 |  | 3210598 | 3443000 | PRN |  | SOLE |  | 3443000 | 0 | 0 |
| VAIL RESORTS INC | NOTE 1/0 | 91879QAN9 |  | 54658488 | 58615000 | PRN |  | OTR | 1 | 0 | 58615000 | 0 |
| VAIL RESORTS INC | NOTE 1/0 | 91879QAN9 |  | 7611993 | 8207000 | PRN |  | DFND | 1 | 0 | 8205000 | 2000 |
| VAIL RESORTS INC | NOTE 1/0 | 91879QAN9 |  | 120575 | 130000 | PRN |  | OTR | 4 | 0 | 130000 | 0 |
| VEECO INSTRS INC DEL | NOTE 2.700% 1/1 | 922417AD2 |  | 94668 | 95000 | PRN |  | SOLE |  | 95000 | 0 | 0 |
| VERINT SYSTEMS INC | NOTE 0.250% 4/1 | 92343XAC4 |  | 218750 | 250000 | PRN |  | SOLE |  | 250000 | 0 | 0 |
| VIAVI SOLUTIONS INC | NOTE 1.000% 3/0 | 925550AB1 |  | 1309067 | 1299000 | PRN |  | SOLE |  | 1299000 | 0 | 0 |
| VIAVI SOLUTIONS INC | NOTE 1.000% 3/0 | 925550AB1 |  | 29035293 | 28812000 | PRN |  | OTR | 1 | 0 | 28812000 | 0 |
| VIAVI SOLUTIONS INC | NOTE 1.000% 3/0 | 925550AB1 |  | 2949752 | 2938000 | PRN |  | DFND | 1 | 0 | 2937000 | 1000 |
| VIAVI SOLUTIONS INC | NOTE 1.000% 3/0 | 925550AB1 |  | 47188 | 47000 | PRN |  | OTR | 4 | 0 | 47000 | 0 |
| VISHAY INTERTECHNOLOGY INC | NOTE 2.250% 6/1 | 928298AP3 |  | 208034 | 215000 | PRN |  | SOLE |  | 215000 | 0 | 0 |
| VISTRA CORP | COM | 92840M102 | BBG00DXDL6R0 | 0 | 0 | SH |  | SOLE |  | 0 | 0 | 0 |
| VISTRA CORP | COM | 92840M102 | BBG00DXDL6R0 | 322898 | 13918 | SH |  | OTR | 2 | 0 | 13918 | 0 |
| WAYFAIR INC | NOTE 0.625%10/0 | 94419LAM3 |  | 183820 | 280000 | PRN |  | SOLE |  | 280000 | 0 | 0 |
| WAYFAIR INC | NOTE 1.000% 8/1 | 94419LAF8 |  | 145682 | 255000 | PRN |  | SOLE |  | 255000 | 0 | 0 |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 |  | 60435 | 51 | SH |  | OTR | 4 | 0 | 51 | 0 |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 |  | 28280559 | 23816 | SH |  | OTR | 1 | 0 | 23816 | 0 |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 |  | 4496913 | 3787 | SH |  | SOLE |  | 3787 | 0 | 0 |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 |  | 3435315 | 2899 | SH |  | DFND | 1 | 0 | 2898 | 1 |
| WESTERN DIGITAL CORP. | NOTE 1.500% 2/0 | 958102AP0 |  | 4437055 | 4634000 | PRN |  | OTR | 1 | 0 | 4634000 | 0 |
| WESTERN DIGITAL CORP. | NOTE 1.500% 2/0 | 958102AP0 |  | 946010 | 988000 | PRN |  | SOLE |  | 988000 | 0 | 0 |
| WINNEBAGO INDS INC | NOTE 1.500% 4/0 | 974637AB6 |  | 79031 | 75000 | PRN |  | SOLE |  | 75000 | 0 | 0 |
| WORKIVA INC | NOTE 1.125% 8/1 | 98139AAB1 |  | 99040 | 80000 | PRN |  | SOLE |  | 80000 | 0 | 0 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 2202624 | 2304000 | PRN |  | SOLE |  | 2304000 | 0 | 0 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 6753051 | 7101000 | PRN |  | DFND | 1 | 0 | 7099000 | 2000 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 32339568 | 33828000 | PRN |  | OTR | 1 | 0 | 33828000 | 0 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 106512 | 112000 | PRN |  | OTR | 4 | 0 | 112000 | 0 |
| ZSCALER INC | NOTE 0.125% 7/0 | 98980GAB8 |  | 1087705 | 1031000 | PRN |  | SOLE |  | 1031000 | 0 | 0 |
| ZSCALER INC | NOTE 0.125% 7/0 | 98980GAB8 |  | 18674555 | 17701000 | PRN |  | OTR | 1 | 0 | 17701000 | 0 |
| ZYNGA INC | NOTE 12/1 | 98986TAD0 |  | 16960564 | 17130000 | PRN |  | OTR | 1 | 0 | 17130000 | 0 |
| ZYNGA INC | NOTE 12/1 | 98986TAD0 |  | 1329716 | 1343000 | PRN |  | SOLE |  | 1343000 | 0 | 0 |

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