# EDGAR Filing Document

**Accession Number:** 0000938487
**File Stem:** 0001172661-23-000806
**Filing Date:** 2023-2
**Character Count:** 75252
**Document Hash:** 14afb0f77c859b76411347f1f94fddd8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001172661-23-000806.hdr.sgml**: 20230213

**ACCESSION NUMBER**: 0001172661-23-000806

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

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230213

**DATE AS OF CHANGE**: 20230213

**EFFECTIVENESS DATE**: 20230213

**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:** 23619984

**BUSINESS ADDRESS:**
- **STREET 1:** 2121 AVENUE OF THE STARS
- **STREET 2:** SUITE 2050
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90067
- **BUSINESS PHONE:** 3105952000

**MAIL ADDRESS:**
- **STREET 1:** 2121 AVENUE OF THE STARS
- **STREET 2:** SUITE 2050
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90067

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SSI INVESTMENT MANAGEMENT INC
- **DATE OF NAME CHANGE:** 19990414

### 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:** SSI INVESTMENT MANAGEMENT LLC<br>**Address:** 2121 Avenue Of The Stars<br>Suite 2050<br>Los Angeles, CA 90067

**Form 13F File Number:** 028-04720

**CRD Number (if applicable):** 000104889

**SEC File Number (if applicable):** 801-10544

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:** Syed Mehdi<br>**Title:** President  Chief Compliance Officer<br>**Phone:** 310-595-2001

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

/s/      Syed Mehdi  Beverly Hills, CA  02-13-2023<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:** 4

**Form 13F Information Table Entry Total:** 662

**Form 13F Information Table Value Total:** $1577748114

      (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   |
|:---|:---|:---|
|  | FIRST TRUST ADVISORS LP               | 028-06487              |
|  | Morningstar Investment Management LLC | 028-17446              |
|  | American Beacon Advisors Inc.         | 028-14511              |
|  | GuideStone Capital Management LLC     | 028-10998              |

### 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 |  | 1059100 | 1190000 | PRN |  | DFND | 2 | 1190000 | 0 | 0 |
| 8X8 INC NEW | NOTE 0.500% 2/0 | 282914AB6 |  | 964760 | 1084000 | PRN |  | DFND | 3 | 1084000 | 0 | 0 |
| 8X8 INC NEW | NOTE 0.500% 2/0 | 282914AB6 |  | 485940 | 546000 | PRN |  | DFND | 4 | 546000 | 0 | 0 |
| 8X8 INC NEW | NOTE 0.500% 2/0 | 282914AB6 |  | 160200 | 180000 | PRN |  | SOLE |  | 180000 | 0 | 0 |
| ABBOTT LABS | COM | 002824100 |  | 553450 | 5041 | SH |  | SOLE |  | 5041 | 0 | 0 |
| ABBVIE INC | COM | 00287Y109 |  | 566765 | 3507 | SH |  | SOLE |  | 3507 | 0 | 0 |
| ACCENTURE PLC IRELAND | SHS CLASS A | G1151C101 |  | 304999 | 1143 | SH |  | SOLE |  | 1143 | 0 | 0 |
| ADOBE SYSTEMS INCORPORATED | COM | 00724F101 |  | 297157 | 883 | SH |  | SOLE |  | 883 | 0 | 0 |
| AES CORP | UNIT 02/15/2024 | 00130H204 |  | 710384 | 6955 | SH |  | DFND | 1 | 6955 | 0 | 0 |
| AES CORP | UNIT 02/15/2024 | 00130H204 |  | 4595789 | 44995 | SH |  | SOLE |  | 44995 | 0 | 0 |
| AIR TRANS SVCS GROUP INC | NOTE 1.125%10/1 | 00922RAB1 |  | 677405 | 667000 | PRN |  | DFND | 1 | 667000 | 0 | 0 |
| AIR TRANS SVCS GROUP INC | NOTE 1.125%10/1 | 00922RAB1 |  | 917087 | 903000 | PRN |  | DFND | 3 | 903000 | 0 | 0 |
| AIR TRANS SVCS GROUP INC | NOTE 1.125%10/1 | 00922RAB1 |  | 611391 | 602000 | PRN |  | DFND | 2 | 602000 | 0 | 0 |
| AIR TRANS SVCS GROUP INC | NOTE 1.125%10/1 | 00922RAB1 |  | 277259 | 273000 | PRN |  | DFND | 4 | 273000 | 0 | 0 |
| AIR TRANS SVCS GROUP INC | NOTE 1.125%10/1 | 00922RAB1 |  | 4386376 | 4319000 | PRN |  | SOLE |  | 4319000 | 0 | 0 |
| AIRBNB INC | NOTE 3/1 | 009066AB7 |  | 962910 | 1170000 | PRN |  | DFND | 1 | 1170000 | 0 | 0 |
| AIRBNB INC | NOTE 3/1 | 009066AB7 |  | 7658838 | 9306000 | PRN |  | SOLE |  | 9306000 | 0 | 0 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.375% 9/0 | 00971TAL5 |  | 1285605 | 1335000 | PRN |  | DFND | 1 | 1335000 | 0 | 0 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.125% 5/0 | 00971TAJ0 |  | 1039500 | 990000 | PRN |  | SOLE |  | 990000 | 0 | 0 |
| AKAMAI TECHNOLOGIES INC | NOTE 0.375% 9/0 | 00971TAL5 |  | 13288437 | 13799000 | PRN |  | SOLE |  | 13799000 | 0 | 0 |
| ALPHABET INC | CAP STK CL A | 02079K305 |  | 1979794 | 22439 | SH |  | SOLE |  | 22439 | 0 | 0 |
| ALTERYX INC | NOTE 1.000% 8/0 | 02156BAF0 |  | 543650 | 655000 | PRN |  | DFND | 1 | 655000 | 0 | 0 |
| ALTERYX INC | NOTE 1.000% 8/0 | 02156BAF0 |  | 3545760 | 4272000 | PRN |  | SOLE |  | 4272000 | 0 | 0 |
| AMAZON COM INC | COM | 023135106 |  | 1402884 | 16701 | SH |  | SOLE |  | 16701 | 0 | 0 |
| AMERICAN ELEC PWR CO INC | UNIT 08/15/2023 | 02557T307 |  | 987778 | 19025 | SH |  | DFND | 1 | 19025 | 0 | 0 |
| AMERICAN ELEC PWR CO INC | UNIT 08/15/2023 | 02557T307 |  | 9601565 | 184930 | SH |  | SOLE |  | 184930 | 0 | 0 |
| AMERICAN INTL GROUP INC | COM NEW | 026874784 |  | 292990 | 4633 | SH |  | SOLE |  | 4633 | 0 | 0 |
| AMGEN INC | COM | 031162100 |  | 524228 | 1996 | SH |  | SOLE |  | 1996 | 0 | 0 |
| APOLLO COML REAL ESTATE FIN | NOTE 5.375%10/1 | 03762UAC9 |  | 2152143 | 2213000 | PRN |  | DFND | 3 | 2213000 | 0 | 0 |
| APOLLO COML REAL ESTATE FIN | NOTE 5.375%10/1 | 03762UAC9 |  | 2540170 | 2612000 | PRN |  | DFND | 2 | 2612000 | 0 | 0 |
| APOLLO COML REAL ESTATE FIN | NOTE 5.375%10/1 | 03762UAC9 |  | 1065860 | 1096000 | PRN |  | DFND | 4 | 1096000 | 0 | 0 |
| APOLLO COML REAL ESTATE FIN | NOTE 5.375%10/1 | 03762UAC9 |  | 319953 | 329000 | PRN |  | SOLE |  | 329000 | 0 | 0 |
| APPLE INC | COM | 037833100 |  | 3273716 | 25196 | SH |  | SOLE |  | 25196 | 0 | 0 |
| APPLIED MATLS INC | COM | 038222105 |  | 322329 | 3310 | SH |  | SOLE |  | 3310 | 0 | 0 |
| ARCELORMITTAL SA LUXEMBOURG | NY REGISTRY SH | 03938L203 |  | 216759 | 8267 | SH |  | SOLE |  | 8267 | 0 | 0 |
| ARES CAPITAL CORP | NOTE 4.625% 3/0 | 04010LAW3 |  | 12620378 | 11899000 | PRN |  | SOLE |  | 11899000 | 0 | 0 |
| ARRAY TECHNOLOGIES INC | NOTE 1.000%12/0 | 04271TAB6 |  | 681055 | 670000 | PRN |  | DFND | 1 | 670000 | 0 | 0 |
| ARRAY TECHNOLOGIES INC | NOTE 1.000%12/0 | 04271TAB6 |  | 815233 | 802000 | PRN |  | DFND | 2 | 802000 | 0 | 0 |
| ARRAY TECHNOLOGIES INC | NOTE 1.000%12/0 | 04271TAB6 |  | 1004302 | 988000 | PRN |  | DFND | 3 | 988000 | 0 | 0 |
| ARRAY TECHNOLOGIES INC | NOTE 1.000%12/0 | 04271TAB6 |  | 467590 | 460000 | PRN |  | DFND | 4 | 460000 | 0 | 0 |
| ARRAY TECHNOLOGIES INC | NOTE 1.000%12/0 | 04271TAB6 |  | 5300041 | 5214000 | PRN |  | SOLE |  | 5214000 | 0 | 0 |
| ATI INC | NOTE 3.500% 6/1 | 01741RAK8 |  | 797573 | 397000 | PRN |  | DFND | 1 | 397000 | 0 | 0 |
| ATI INC | NOTE 3.500% 6/1 | 01741RAK8 |  | 4399710 | 2190000 | PRN |  | SOLE |  | 2190000 | 0 | 0 |
| AUTOMATIC DATA PROCESSING IN | COM | 053015103 |  | 214737 | 899 | SH |  | SOLE |  | 899 | 0 | 0 |
| BANDWIDTH INC | NOTE 0.500% 4/0 | 05988JAD5 |  | 486326 | 782000 | PRN |  | DFND | 2 | 782000 | 0 | 0 |
| BANDWIDTH INC | NOTE 0.500% 4/0 | 05988JAD5 |  | 779863 | 1254000 | PRN |  | DFND | 3 | 1254000 | 0 | 0 |
| BANDWIDTH INC | NOTE 0.500% 4/0 | 05988JAD5 |  | 288562 | 464000 | PRN |  | DFND | 4 | 464000 | 0 | 0 |
| BANK AMERICA CORP | COM | 060505104 |  | 766595 | 23146 | SH |  | SOLE |  | 23146 | 0 | 0 |
| BECTON DICKINSON  CO | 6% DP CONV PFD B | 075887406 |  | 747242 | 14915 | SH |  | DFND | 1 | 14915 | 0 | 0 |
| BECTON DICKINSON  CO | 6% DP CONV PFD B | 075887406 |  | 7097177 | 141660 | SH |  | SOLE |  | 141660 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.125% 1/1 | 08265TAB5 |  | 925680 | 1015000 | PRN |  | DFND | 1 | 1015000 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.375% 7/0 | 08265TAD1 |  | 1075294 | 1321000 | PRN |  | DFND | 2 | 1321000 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.375% 7/0 | 08265TAD1 |  | 330484 | 406000 | PRN |  | DFND | 4 | 406000 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.375% 7/0 | 08265TAD1 |  | 948310 | 1165000 | PRN |  | DFND | 3 | 1165000 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.125% 1/1 | 08265TAB5 |  | 6809904 | 7467000 | PRN |  | SOLE |  | 7467000 | 0 | 0 |
| BENTLEY SYS INC | NOTE 0.375% 7/0 | 08265TAD1 |  | 128612 | 158000 | PRN |  | SOLE |  | 158000 | 0 | 0 |
| BERKSHIRE HATHAWAY INC DEL | CL B NEW | 084670702 |  | 1226951 | 3972 | SH |  | SOLE |  | 3972 | 0 | 0 |
| BIGCOMMERCE HLDGS INC | NOTE 0.250%10/0 | 08975PAB4 |  | 1149490 | 1619000 | PRN |  | DFND | 2 | 1619000 | 0 | 0 |
| BIGCOMMERCE HLDGS INC | NOTE 0.250%10/0 | 08975PAB4 |  | 1003940 | 1414000 | PRN |  | DFND | 3 | 1414000 | 0 | 0 |
| BIGCOMMERCE HLDGS INC | NOTE 0.250%10/0 | 08975PAB4 |  | 490610 | 691000 | PRN |  | DFND | 4 | 691000 | 0 | 0 |
| BIGCOMMERCE HLDGS INC | NOTE 0.250%10/0 | 08975PAB4 |  | 195960 | 276000 | PRN |  | SOLE |  | 276000 | 0 | 0 |
| BILIBILI INC | NOTE 1.375% 4/0 | 090040AB2 |  | 353187 | 304000 | PRN |  | DFND | 1 | 304000 | 0 | 0 |
| BILIBILI INC | NOTE 1.375% 4/0 | 090040AB2 |  | 2718614 | 2340000 | PRN |  | SOLE |  | 2340000 | 0 | 0 |
| BILL COM HLDGS INC | NOTE 12/0 | 090043AB6 |  | 1125300 | 1100000 | PRN |  | DFND | 1 | 1100000 | 0 | 0 |
| BILL COM HLDGS INC | NOTE 12/0 | 090043AB6 |  | 7413681 | 7247000 | PRN |  | SOLE |  | 7247000 | 0 | 0 |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.599% 8/0 | 09061GAH4 |  | 1533579 | 1445000 | PRN |  | DFND | 1 | 1445000 | 0 | 0 |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.599% 8/0 | 09061GAH4 |  | 13247151 | 12482000 | PRN |  | SOLE |  | 12482000 | 0 | 0 |
| BK OF AMERICA CORP | 7.25%CNV PFD L | 060505682 |  | 3909200 | 3370 | SH |  | SOLE |  | 3370 | 0 | 0 |
| BLACKLINE INC | NOTE 3/1 | 09239BAD1 |  | 1112549 | 1306000 | PRN |  | DFND | 2 | 1306000 | 0 | 0 |
| BLACKLINE INC | NOTE 3/1 | 09239BAD1 |  | 907247 | 1065000 | PRN |  | DFND | 3 | 1065000 | 0 | 0 |
| BLACKLINE INC | NOTE 3/1 | 09239BAD1 |  | 403789 | 474000 | PRN |  | DFND | 4 | 474000 | 0 | 0 |
| BLACKLINE INC | NOTE 3/1 | 09239BAD1 |  | 132041 | 155000 | PRN |  | SOLE |  | 155000 | 0 | 0 |
| BLACKSTONE MORTGAGE TRUST IN | NOTE 4.750% 3/1 | 09257WAC4 |  | 1457209 | 1486000 | PRN |  | DFND | 2 | 1486000 | 0 | 0 |
| BLACKSTONE MORTGAGE TRUST IN | NOTE 4.750% 3/1 | 09257WAC4 |  | 1284619 | 1310000 | PRN |  | DFND | 3 | 1310000 | 0 | 0 |
| BLACKSTONE MORTGAGE TRUST IN | NOTE 4.750% 3/1 | 09257WAC4 |  | 498158 | 508000 | PRN |  | DFND | 4 | 508000 | 0 | 0 |
| BLACKSTONE MORTGAGE TRUST IN | NOTE 4.750% 3/1 | 09257WAC4 |  | 192203 | 196000 | PRN |  | SOLE |  | 196000 | 0 | 0 |
| BLOCK INC | NOTE 0.125% 3/0 | 852234AF0 |  | 1640906 | 1725000 | PRN |  | DFND | 1 | 1725000 | 0 | 0 |
| BLOCK INC | NOTE 0.125% 3/0 | 852234AF0 |  | 11091581 | 11660000 | PRN |  | SOLE |  | 11660000 | 0 | 0 |
| BLOOM ENERGY CORP | NOTE 2.500% 8/1 | 093712AH0 |  | 318907 | 237000 | PRN |  | DFND | 1 | 237000 | 0 | 0 |
| BLOOM ENERGY CORP | NOTE 2.500% 8/1 | 093712AH0 |  | 2310396 | 1717000 | PRN |  | SOLE |  | 1717000 | 0 | 0 |
| BOEING CO | COM | 097023105 |  | 489177 | 2568 | SH |  | SOLE |  | 2568 | 0 | 0 |
| BOOKING HOLDINGS INC | NOTE 0.750% 5/0 | 09857LAN8 |  | 1485073 | 1115000 | PRN |  | DFND | 1 | 1115000 | 0 | 0 |
| BOOKING HOLDINGS INC | NOTE 0.750% 5/0 | 09857LAN8 |  | 35300782 | 26504000 | PRN |  | SOLE |  | 26504000 | 0 | 0 |
| BOSTON SCIENTIFIC CORP | 5.50% CNV PFD A | 101137206 |  | 1166901 | 10160 | SH |  | DFND | 1 | 10160 | 0 | 0 |
| BOSTON SCIENTIFIC CORP | 5.50% CNV PFD A | 101137206 |  | 9459255 | 82360 | SH |  | SOLE |  | 82360 | 0 | 0 |
| BOX INC | NOTE 1/1 | 10316TAB0 |  | 843295 | 643000 | PRN |  | DFND | 1 | 643000 | 0 | 0 |
| BOX INC | NOTE 1/1 | 10316TAB0 |  | 6561441 | 5003000 | PRN |  | SOLE |  | 5003000 | 0 | 0 |
| BRISTOL-MYERS SQUIBB CO | COM | 110122108 |  | 285642 | 3970 | SH |  | SOLE |  | 3970 | 0 | 0 |
| BROADCOM INC | COM | 11135F101 |  | 521107 | 932 | SH |  | SOLE |  | 932 | 0 | 0 |
| BURLINGTON STORES INC | NOTE 2.250% 4/1 | 122017AB2 |  | 1363900 | 1186000 | PRN |  | DFND | 1 | 1186000 | 0 | 0 |
| BURLINGTON STORES INC | NOTE 2.250% 4/1 | 122017AB2 |  | 8830850 | 7679000 | PRN |  | SOLE |  | 7679000 | 0 | 0 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 997849 | 1343000 | PRN |  | DFND | 2 | 1343000 | 0 | 0 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 1063976 | 1432000 | PRN |  | DFND | 3 | 1432000 | 0 | 0 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 379673 | 511000 | PRN |  | DFND | 4 | 511000 | 0 | 0 |
| CABLE ONE INC | NOTE 1.125% 3/1 | 12685JAG0 |  | 159002 | 214000 | PRN |  | SOLE |  | 214000 | 0 | 0 |
| CATERPILLAR INC | COM | 149123101 |  | 383535 | 1601 | SH |  | SOLE |  | 1601 | 0 | 0 |
| CERIDIAN HCM HLDG INC | NOTE 0.250% 3/1 | 15677JAD0 |  | 821281 | 937000 | PRN |  | DFND | 2 | 937000 | 0 | 0 |
| CERIDIAN HCM HLDG INC | NOTE 0.250% 3/1 | 15677JAD0 |  | 202472 | 231000 | PRN |  | DFND | 4 | 231000 | 0 | 0 |
| CERIDIAN HCM HLDG INC | NOTE 0.250% 3/1 | 15677JAD0 |  | 1003593 | 1145000 | PRN |  | DFND | 3 | 1145000 | 0 | 0 |
| CERIDIAN HCM HLDG INC | NOTE 0.250% 3/1 | 15677JAD0 |  | 163906 | 187000 | PRN |  | SOLE |  | 187000 | 0 | 0 |
| CHART INDS INC | 6.75DP CNV PFD B | 16115Q407 |  | 473616 | 9360 | SH |  | SOLE |  | 9360 | 0 | 0 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 1092227 | 1333000 | PRN |  | DFND | 2 | 1333000 | 0 | 0 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 331028 | 404000 | PRN |  | DFND | 4 | 404000 | 0 | 0 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 1156138 | 1411000 | PRN |  | DFND | 3 | 1411000 | 0 | 0 |
| CHEESECAKE FACTORY INC | NOTE 0.375% 6/1 | 163072AA9 |  | 206483 | 252000 | PRN |  | SOLE |  | 252000 | 0 | 0 |
| CHEGG INC | NOTE 9/0 | 163092AF6 |  | 1216604 | 1551000 | PRN |  | DFND | 2 | 1551000 | 0 | 0 |
| CHEGG INC | NOTE 9/0 | 163092AF6 |  | 474562 | 605000 | PRN |  | DFND | 4 | 605000 | 0 | 0 |
| CHEGG INC | NOTE 9/0 | 163092AF6 |  | 1367209 | 1743000 | PRN |  | DFND | 3 | 1743000 | 0 | 0 |
| CHEGG INC | NOTE 9/0 | 163092AF6 |  | 275324 | 351000 | PRN |  | SOLE |  | 351000 | 0 | 0 |
| CHEVRON CORP NEW | COM | 166764100 |  | 644189 | 3589 | SH |  | SOLE |  | 3589 | 0 | 0 |
| CISCO SYS INC | COM | 17275R102 |  | 523992 | 10999 | SH |  | SOLE |  | 10999 | 0 | 0 |
| CLEVELAND-CLIFFS INC NEW | COM | 185899101 |  | 193064 | 11984 | SH |  | SOLE |  | 11984 | 0 | 0 |
| CLOUDFLARE INC | NOTE 8/1 | 18915MAC1 |  | 2070100 | 2540000 | PRN |  | DFND | 1 | 2540000 | 0 | 0 |
| CLOUDFLARE INC | NOTE 8/1 | 18915MAC1 |  | 16614590 | 20386000 | PRN |  | SOLE |  | 20386000 | 0 | 0 |
| COCA COLA CO | COM | 191216100 |  | 625412 | 9832 | SH |  | SOLE |  | 9832 | 0 | 0 |
| COHERUS BIOSCIENCES INC | NOTE 1.500% 4/1 | 19249HAB9 |  | 801270 | 1228000 | PRN |  | DFND | 2 | 1228000 | 0 | 0 |
| COHERUS BIOSCIENCES INC | NOTE 1.500% 4/1 | 19249HAB9 |  | 724275 | 1110000 | PRN |  | DFND | 3 | 1110000 | 0 | 0 |
| COHERUS BIOSCIENCES INC | NOTE 1.500% 4/1 | 19249HAB9 |  | 334080 | 512000 | PRN |  | DFND | 4 | 512000 | 0 | 0 |
| COHERUS BIOSCIENCES INC | NOTE 1.500% 4/1 | 19249HAB9 |  | 97875 | 150000 | PRN |  | SOLE |  | 150000 | 0 | 0 |
| COMCAST CORP NEW | CL A | 20030N101 |  | 372154 | 10642 | SH |  | SOLE |  | 10642 | 0 | 0 |
| CONFLUENT INC | NOTE 1/1 | 20717MAB9 |  | 632690 | 838000 | PRN |  | DFND | 1 | 838000 | 0 | 0 |
| CONFLUENT INC | NOTE 1/1 | 20717MAB9 |  | 6518670 | 8634000 | PRN |  | SOLE |  | 8634000 | 0 | 0 |
| CONOCOPHILLIPS | COM | 20825C104 |  | 206736 | 1752 | SH |  | SOLE |  | 1752 | 0 | 0 |
| COSTCO WHSL CORP NEW | COM | 22160K105 |  | 583411 | 1278 | SH |  | SOLE |  | 1278 | 0 | 0 |
| COUPA SOFTWARE INC | NOTE 0.125% 6/1 | 22266LAC0 |  | 1456214 | 1507000 | PRN |  | DFND | 1 | 1507000 | 0 | 0 |
| COUPA SOFTWARE INC | NOTE 0.375% 6/1 | 22266LAF3 |  | 1576861 | 1640000 | PRN |  | SOLE |  | 1640000 | 0 | 0 |
| COUPA SOFTWARE INC | NOTE 0.125% 6/1 | 22266LAC0 |  | 9436886 | 9766000 | PRN |  | SOLE |  | 9766000 | 0 | 0 |
| CUMMINS INC | COM | 231021106 |  | 235506 | 972 | SH |  | SOLE |  | 972 | 0 | 0 |
| CUTERA INC | NOTE 2.250% 3/1 | 232109AB4 |  | 365195 | 247000 | PRN |  | SOLE |  | 247000 | 0 | 0 |
| CVS HEALTH CORP | COM | 126650100 |  | 262796 | 2820 | SH |  | SOLE |  | 2820 | 0 | 0 |
| CYBERARK SOFTWARE LTD | NOTE 11/1 | 23248VAB1 |  | 1300493 | 1229000 | PRN |  | DFND | 1 | 1229000 | 0 | 0 |
| CYBERARK SOFTWARE LTD | NOTE 11/1 | 23248VAB1 |  | 9055835 | 8558000 | PRN |  | SOLE |  | 8558000 | 0 | 0 |
| D R HORTON INC | COM | 23331A109 |  | 290598 | 3260 | SH |  | SOLE |  | 3260 | 0 | 0 |
| DANAHER CORPORATION | 5% CONV PFD B | 235851409 |  | 1848678 | 1362 | SH |  | DFND | 1 | 1362 | 0 | 0 |
| DANAHER CORPORATION | 5% CONV PFD B | 235851409 |  | 13718495 | 10107 | SH |  | SOLE |  | 10107 | 0 | 0 |
| DANAHER CORPORATION | COM | 235851102 |  | 567468 | 2138 | SH |  | SOLE |  | 2138 | 0 | 0 |
| DATADOG INC | NOTE 0.125% 6/1 | 23804LAB9 |  | 769331 | 705000 | PRN |  | DFND | 1 | 705000 | 0 | 0 |
| DATADOG INC | NOTE 0.125% 6/1 | 23804LAB9 |  | 4846245 | 4441000 | PRN |  | SOLE |  | 4441000 | 0 | 0 |
| DEERE  CO | COM | 244199105 |  | 312139 | 728 | SH |  | SOLE |  | 728 | 0 | 0 |
| DEXCOM INC | NOTE 0.250%11/1 | 252131AK3 |  | 4186875 | 3850000 | PRN |  | DFND | 1 | 3850000 | 0 | 0 |
| DEXCOM INC | NOTE 0.750%12/0 | 252131AH0 |  | 305694 | 111000 | PRN |  | SOLE |  | 111000 | 0 | 0 |
| DEXCOM INC | NOTE 0.250%11/1 | 252131AK3 |  | 31875723 | 29311000 | PRN |  | SOLE |  | 29311000 | 0 | 0 |
| DIGITALBRIDGE GROUP INC | NOTE 5.000% 4/1 | 19624RAA4 |  | 694425 | 705000 | PRN |  | DFND | 2 | 705000 | 0 | 0 |
| DIGITALBRIDGE GROUP INC | NOTE 5.000% 4/1 | 19624RAA4 |  | 734810 | 746000 | PRN |  | DFND | 3 | 746000 | 0 | 0 |
| DIGITALBRIDGE GROUP INC | NOTE 5.000% 4/1 | 19624RAA4 |  | 393015 | 399000 | PRN |  | DFND | 4 | 399000 | 0 | 0 |
| DIGITALBRIDGE GROUP INC | NOTE 5.000% 4/1 | 19624RAA4 |  | 147750 | 150000 | PRN |  | SOLE |  | 150000 | 0 | 0 |
| DIGITALOCEAN HLDGS INC | NOTE 12/0 | 25402DAB8 |  | 1056965 | 1414000 | PRN |  | DFND | 1 | 1414000 | 0 | 0 |
| DIGITALOCEAN HLDGS INC | NOTE 12/0 | 25402DAB8 |  | 7009318 | 9377000 | PRN |  | SOLE |  | 9377000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 12/1 | 25470MAF6 |  | 878526 | 1377000 | PRN |  | DFND | 2 | 1377000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 12/1 | 25470MAF6 |  | 290928 | 456000 | PRN |  | DFND | 4 | 456000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 12/1 | 25470MAF6 |  | 772618 | 1211000 | PRN |  | DFND | 3 | 1211000 | 0 | 0 |
| DISH NETWORK CORPORATION | NOTE 12/1 | 25470MAF6 |  | 131428 | 206000 | PRN |  | SOLE |  | 206000 | 0 | 0 |
| DISNEY WALT CO | COM | 254687106 |  | 358032 | 4121 | SH |  | SOLE |  | 4121 | 0 | 0 |
| DOVER CORP | COM | 260003108 |  | 218280 | 1612 | SH |  | SOLE |  | 1612 | 0 | 0 |
| DROPBOX INC | NOTE 3/0 | 26210CAD6 |  | 1104840 | 1240000 | PRN |  | DFND | 1 | 1240000 | 0 | 0 |
| DROPBOX INC | NOTE 3/0 | 26210CAD6 |  | 6786747 | 7617000 | PRN |  | SOLE |  | 7617000 | 0 | 0 |
| EATON CORP PLC | SHS | G29183103 |  | 341056 | 2173 | SH |  | SOLE |  | 2173 | 0 | 0 |
| ELEVANCE HEALTH INC | NOTE 2.750%10/1 | 94973VBG1 |  | 1170032 | 160000 | PRN |  | DFND | 1 | 160000 | 0 | 0 |
| ELEVANCE HEALTH INC | NOTE 2.750%10/1 | 94973VBG1 |  | 28709661 | 3926000 | PRN |  | SOLE |  | 3926000 | 0 | 0 |
| ENCORE CAP EUROPE FIN LTD | NOTE 4.500% 9/0 | 29260UAA5 |  | 858312 | 728000 | PRN |  | DFND | 2 | 728000 | 0 | 0 |
| ENCORE CAP EUROPE FIN LTD | NOTE 4.500% 9/0 | 29260UAA5 |  | 565920 | 480000 | PRN |  | DFND | 3 | 480000 | 0 | 0 |
| ENCORE CAP EUROPE FIN LTD | NOTE 4.500% 9/0 | 29260UAA5 |  | 258201 | 219000 | PRN |  | DFND | 4 | 219000 | 0 | 0 |
| ENCORE CAP EUROPE FIN LTD | NOTE 4.500% 9/0 | 29260UAA5 |  | 86067 | 73000 | PRN |  | SOLE |  | 73000 | 0 | 0 |
| ENPHASE ENERGY INC | NOTE 3/0 | 29355AAK3 |  | 3075522 | 2630000 | PRN |  | DFND | 1 | 2630000 | 0 | 0 |
| ENPHASE ENERGY INC | NOTE 3/0 | 29355AAH0 |  | 1201977 | 1067000 | PRN |  | SOLE |  | 1067000 | 0 | 0 |
| ENPHASE ENERGY INC | NOTE 3/0 | 29355AAK3 |  | 22326184 | 19092000 | PRN |  | SOLE |  | 19092000 | 0 | 0 |
| ENVESTNET INC | NOTE 0.750% 8/1 | 29404KAE6 |  | 897988 | 995000 | PRN |  | DFND | 1 | 995000 | 0 | 0 |
| ENVESTNET INC | NOTE 0.750% 8/1 | 29404KAE6 |  | 779760 | 864000 | PRN |  | DFND | 2 | 864000 | 0 | 0 |
| ENVESTNET INC | NOTE 0.750% 8/1 | 29404KAE6 |  | 251798 | 279000 | PRN |  | DFND | 4 | 279000 | 0 | 0 |
| ENVESTNET INC | NOTE 0.750% 8/1 | 29404KAE6 |  | 1050510 | 1164000 | PRN |  | DFND | 3 | 1164000 | 0 | 0 |
| ENVESTNET INC | NOTE 0.750% 8/1 | 29404KAE6 |  | 6009761 | 6659000 | PRN |  | SOLE |  | 6659000 | 0 | 0 |
| EQT CORP | NOTE 1.750% 5/0 | 26884LAK5 |  | 694278 | 299000 | PRN |  | DFND | 1 | 299000 | 0 | 0 |
| EQT CORP | NOTE 1.750% 5/0 | 26884LAK5 |  | 6633954 | 2857000 | PRN |  | SOLE |  | 2857000 | 0 | 0 |
| EQT CORP | COM | 26884L109 |  | 211608 | 6255 | SH |  | SOLE |  | 6255 | 0 | 0 |
| ETSY INC | NOTE 0.125% 9/0 | 29786AAL0 |  | 2892750 | 2900000 | PRN |  | DFND | 1 | 2900000 | 0 | 0 |
| ETSY INC | NOTE 0.250% 6/1 | 29786AAN6 |  | 873437 | 1023000 | PRN |  | DFND | 2 | 1023000 | 0 | 0 |
| ETSY INC | NOTE 0.250% 6/1 | 29786AAN6 |  | 400432 | 469000 | PRN |  | DFND | 4 | 469000 | 0 | 0 |
| ETSY INC | NOTE 0.250% 6/1 | 29786AAN6 |  | 771835 | 904000 | PRN |  | DFND | 3 | 904000 | 0 | 0 |
| ETSY INC | NOTE 0.125% 9/0 | 29786AAL0 |  | 24972423 | 25035000 | PRN |  | SOLE |  | 25035000 | 0 | 0 |
| ETSY INC | NOTE 0.125%10/0 | 29786AAJ5 |  | 449454 | 291000 | PRN |  | SOLE |  | 291000 | 0 | 0 |
| ETSY INC | NOTE 0.250% 6/1 | 29786AAN6 |  | 88795 | 104000 | PRN |  | SOLE |  | 104000 | 0 | 0 |
| EURONET WORLDWIDE INC | NOTE 0.750% 3/1 | 298736AL3 |  | 8123865 | 8591000 | PRN |  | SOLE |  | 8591000 | 0 | 0 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 533239 | 595000 | PRN |  | DFND | 2 | 595000 | 0 | 0 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 496495 | 554000 | PRN |  | DFND | 3 | 554000 | 0 | 0 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 164901 | 184000 | PRN |  | DFND | 4 | 184000 | 0 | 0 |
| EVERBRIDGE INC | NOTE 0.125%12/1 | 29978AAC8 |  | 149666 | 167000 | PRN |  | SOLE |  | 167000 | 0 | 0 |
| EVOLENT HEALTH INC | NOTE 1.500%10/1 | 30050BAD3 |  | 601524 | 558000 | PRN |  | DFND | 1 | 558000 | 0 | 0 |
| EVOLENT HEALTH INC | NOTE 1.500%10/1 | 30050BAD3 |  | 3748206 | 3477000 | PRN |  | SOLE |  | 3477000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 1.000% 1/1 | 30063PAA3 |  | 558898 | 545000 | PRN |  | DFND | 1 | 545000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/1 | 30063PAB1 |  | 1236675 | 1499000 | PRN |  | DFND | 2 | 1499000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/1 | 30063PAB1 |  | 1421475 | 1723000 | PRN |  | DFND | 3 | 1723000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/1 | 30063PAB1 |  | 627000 | 760000 | PRN |  | DFND | 4 | 760000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 1.000% 1/1 | 30063PAA3 |  | 4409662 | 4300000 | PRN |  | SOLE |  | 4300000 | 0 | 0 |
| EXACT SCIENCES CORP | NOTE 0.375% 3/1 | 30063PAB1 |  | 221100 | 268000 | PRN |  | SOLE |  | 268000 | 0 | 0 |
| EXPEDIA GROUP INC | NOTE 2/1 | 30212PBE4 |  | 968473 | 1112000 | PRN |  | DFND | 1 | 1112000 | 0 | 0 |
| EXPEDIA GROUP INC | NOTE 2/1 | 30212PBE4 |  | 21966572 | 25222000 | PRN |  | SOLE |  | 25222000 | 0 | 0 |
| EXXON MOBIL CORP | COM | 30231G102 |  | 245970 | 2230 | SH |  | SOLE |  | 2230 | 0 | 0 |
| FIRST TR EXCH TRADED FD III | PFD SECS INC ETF | 33739E108 |  | 4275213 | 254477 | SH |  | SOLE |  | 254477 | 0 | 0 |
| FIRST TR EXCHANGE-TRADED FD | MULTI ASSET DI | 33738R100 |  | 475313 | 31751 | SH |  | SOLE |  | 31751 | 0 | 0 |
| FIRST TR EXCHANGE-TRADED FD | SENIOR LN FD | 33738D309 |  | 4234401 | 94963 | SH |  | SOLE |  | 94963 | 0 | 0 |
| FIRST TR EXCHANGE-TRADED FD | FST LOW OPPT EFT | 33739Q200 |  | 9137283 | 192729 | SH |  | SOLE |  | 192729 | 0 | 0 |
| FIVE9 INC | NOTE 0.500% 6/0 | 338307AD3 |  | 1021340 | 1115000 | PRN |  | DFND | 1 | 1115000 | 0 | 0 |
| FIVE9 INC | NOTE 0.500% 6/0 | 338307AD3 |  | 401208 | 438000 | PRN |  | DFND | 2 | 438000 | 0 | 0 |
| FIVE9 INC | NOTE 0.500% 6/0 | 338307AD3 |  | 149308 | 163000 | PRN |  | DFND | 4 | 163000 | 0 | 0 |
| FIVE9 INC | NOTE 0.500% 6/0 | 338307AD3 |  | 318768 | 348000 | PRN |  | DFND | 3 | 348000 | 0 | 0 |
| FIVE9 INC | NOTE 0.500% 6/0 | 338307AD3 |  | 6604360 | 7210000 | PRN |  | SOLE |  | 7210000 | 0 | 0 |
| FORD MTR CO DEL | NOTE 3/1 | 345370CZ1 |  | 934065 | 990000 | PRN |  | DFND | 1 | 990000 | 0 | 0 |
| FORD MTR CO DEL | NOTE 3/1 | 345370CZ1 |  | 12218339 | 12950000 | PRN |  | SOLE |  | 12950000 | 0 | 0 |
| FTI CONSULTING INC | NOTE 2.000% 8/1 | 302941AP4 |  | 330330 | 210000 | PRN |  | SOLE |  | 210000 | 0 | 0 |
| GDS HLDGS LTD | NOTE 2.000% 6/0 | 36165LAB4 |  | 551396 | 577000 | PRN |  | DFND | 2 | 577000 | 0 | 0 |
| GDS HLDGS LTD | NOTE 2.000% 6/0 | 36165LAB4 |  | 226483 | 237000 | PRN |  | DFND | 4 | 237000 | 0 | 0 |
| GDS HLDGS LTD | NOTE 2.000% 6/0 | 36165LAB4 |  | 567641 | 594000 | PRN |  | DFND | 3 | 594000 | 0 | 0 |
| GDS HLDGS LTD | NOTE 2.000% 6/0 | 36165LAB4 |  | 87918 | 92000 | PRN |  | SOLE |  | 92000 | 0 | 0 |
| GILEAD SCIENCES INC | COM | 375558103 |  | 256606 | 2989 | SH |  | SOLE |  | 2989 | 0 | 0 |
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 |  | 1372736 | 1424000 | PRN |  | DFND | 2 | 1424000 | 0 | 0 |
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 |  | 1272480 | 1320000 | PRN |  | DFND | 3 | 1320000 | 0 | 0 |
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 |  | 650700 | 675000 | PRN |  | DFND | 4 | 675000 | 0 | 0 |
| GRANITE PT MTG TR INC | NOTE 6.375%10/0 | 38741LAC1 |  | 382708 | 397000 | PRN |  | SOLE |  | 397000 | 0 | 0 |
| GREEN PLAINS INC | NOTE 2.250% 3/1 | 393222AK0 |  | 1165220 | 980000 | PRN |  | DFND | 1 | 980000 | 0 | 0 |
| GREEN PLAINS INC | NOTE 2.250% 3/1 | 393222AK0 |  | 8151784 | 6856000 | PRN |  | SOLE |  | 6856000 | 0 | 0 |
| GREEN PLAINS INC | COM | 393222104 |  | 204659 | 6710 | SH |  | SOLE |  | 6710 | 0 | 0 |
| GREENBRIER COS INC | NOTE 2.875% 4/1 | 393657AM3 |  | 617050 | 700000 | PRN |  | DFND | 1 | 700000 | 0 | 0 |
| GREENBRIER COS INC | NOTE 2.875% 4/1 | 393657AM3 |  | 1009318 | 1145000 | PRN |  | DFND | 2 | 1145000 | 0 | 0 |
| GREENBRIER COS INC | NOTE 2.875% 4/1 | 393657AM3 |  | 444276 | 504000 | PRN |  | DFND | 4 | 504000 | 0 | 0 |
| GREENBRIER COS INC | NOTE 2.875% 4/1 | 393657AM3 |  | 1233219 | 1399000 | PRN |  | DFND | 3 | 1399000 | 0 | 0 |
| GREENBRIER COS INC | NOTE 2.875% 4/1 | 393657AM3 |  | 4904678 | 5564000 | PRN |  | SOLE |  | 5564000 | 0 | 0 |
| GROUPON INC | NOTE 1.125% 3/1 | 399473AF4 |  | 595125 | 1035000 | PRN |  | DFND | 2 | 1035000 | 0 | 0 |
| GROUPON INC | NOTE 1.125% 3/1 | 399473AF4 |  | 506000 | 880000 | PRN |  | DFND | 3 | 880000 | 0 | 0 |
| GROUPON INC | NOTE 1.125% 3/1 | 399473AF4 |  | 207575 | 361000 | PRN |  | DFND | 4 | 361000 | 0 | 0 |
| GROUPON INC | NOTE 1.125% 3/1 | 399473AF4 |  | 71300 | 124000 | PRN |  | SOLE |  | 124000 | 0 | 0 |
| H WORLD GROUP LTD | NOTE 3.000% 5/0 | 44332NAB2 |  | 986986 | 812000 | PRN |  | DFND | 1 | 812000 | 0 | 0 |
| H WORLD GROUP LTD | NOTE 3.000% 5/0 | 44332NAB2 |  | 5992427 | 4930000 | PRN |  | SOLE |  | 4930000 | 0 | 0 |
| HAEMONETICS CORP MASS | NOTE 3/0 | 405024AB6 |  | 858526 | 1039000 | PRN |  | DFND | 1 | 1039000 | 0 | 0 |
| HAEMONETICS CORP MASS | NOTE 3/0 | 405024AB6 |  | 1329517 | 1609000 | PRN |  | DFND | 2 | 1609000 | 0 | 0 |
| HAEMONETICS CORP MASS | NOTE 3/0 | 405024AB6 |  | 479254 | 580000 | PRN |  | DFND | 4 | 580000 | 0 | 0 |
| HAEMONETICS CORP MASS | NOTE 3/0 | 405024AB6 |  | 1079974 | 1307000 | PRN |  | DFND | 3 | 1307000 | 0 | 0 |
| HAEMONETICS CORP MASS | NOTE 3/0 | 405024AB6 |  | 5603145 | 6781000 | PRN |  | SOLE |  | 6781000 | 0 | 0 |
| HALOZYME THERAPEUTICS INC | NOTE 0.250% 3/0 | 40637HAD1 |  | 887771 | 917000 | PRN |  | DFND | 2 | 917000 | 0 | 0 |
| HALOZYME THERAPEUTICS INC | NOTE 0.250% 3/0 | 40637HAD1 |  | 1222742 | 1263000 | PRN |  | DFND | 3 | 1263000 | 0 | 0 |
| HALOZYME THERAPEUTICS INC | NOTE 0.250% 3/0 | 40637HAD1 |  | 387250 | 400000 | PRN |  | DFND | 4 | 400000 | 0 | 0 |
| HALOZYME THERAPEUTICS INC | NOTE 0.250% 3/0 | 40637HAD1 |  | 3004094 | 3103000 | PRN |  | SOLE |  | 3103000 | 0 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 552647 | 400000 | PRN |  | DFND | 1 | 400000 | 0 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 674230 | 488000 | PRN |  | DFND | 2 | 488000 | 0 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 812391 | 588000 | PRN |  | DFND | 3 | 588000 | 0 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 345405 | 250000 | PRN |  | DFND | 4 | 250000 | 0 | 0 |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 6.750% 2/1 | 42330PAK3 |  | 6037670 | 4370000 | PRN |  | SOLE |  | 4370000 | 0 | 0 |
| HERBALIFE NUTRITION LTD | NOTE 2.625% 3/1 | 42703MAD5 |  | 1059378 | 1149000 | PRN |  | DFND | 2 | 1149000 | 0 | 0 |
| HERBALIFE NUTRITION LTD | NOTE 2.625% 3/1 | 42703MAD5 |  | 1103634 | 1197000 | PRN |  | DFND | 3 | 1197000 | 0 | 0 |
| HERBALIFE NUTRITION LTD | NOTE 2.625% 3/1 | 42703MAD5 |  | 435184 | 472000 | PRN |  | DFND | 4 | 472000 | 0 | 0 |
| HERBALIFE NUTRITION LTD | NOTE 2.625% 3/1 | 42703MAD5 |  | 167804 | 182000 | PRN |  | SOLE |  | 182000 | 0 | 0 |
| HOME DEPOT INC | COM | 437076102 |  | 578972 | 1833 | SH |  | SOLE |  | 1833 | 0 | 0 |
| HONEYWELL INTL INC | COM | 438516106 |  | 378884 | 1768 | SH |  | SOLE |  | 1768 | 0 | 0 |
| HOPE BANCORP INC | NOTE 2.000% 5/1 | 43940TAB5 |  | 2203135 | 2255000 | PRN |  | SOLE |  | 2255000 | 0 | 0 |
| I3 VERTICALS LLC | NOTE 1.000% 2/1 | 44933TAB2 |  | 604018 | 673000 | PRN |  | DFND | 2 | 673000 | 0 | 0 |
| I3 VERTICALS LLC | NOTE 1.000% 2/1 | 44933TAB2 |  | 391310 | 436000 | PRN |  | DFND | 4 | 436000 | 0 | 0 |
| I3 VERTICALS LLC | NOTE 1.000% 2/1 | 44933TAB2 |  | 868780 | 968000 | PRN |  | DFND | 3 | 968000 | 0 | 0 |
| I3 VERTICALS LLC | NOTE 1.000% 2/1 | 44933TAB2 |  | 155268 | 173000 | PRN |  | SOLE |  | 173000 | 0 | 0 |
| ILLINOIS TOOL WKS INC | COM | 452308109 |  | 224048 | 1017 | SH |  | SOLE |  | 1017 | 0 | 0 |
| ILLUMINA INC | NOTE 8/1 | 452327AK5 |  | 12123965 | 12551000 | PRN |  | SOLE |  | 12551000 | 0 | 0 |
| IMPINJ INC | NOTE 1.125% 5/1 | 453204AD1 |  | 540000 | 450000 | PRN |  | DFND | 2 | 450000 | 0 | 0 |
| IMPINJ INC | NOTE 1.125% 5/1 | 453204AD1 |  | 184800 | 154000 | PRN |  | DFND | 4 | 154000 | 0 | 0 |
| IMPINJ INC | NOTE 1.125% 5/1 | 453204AD1 |  | 475200 | 396000 | PRN |  | DFND | 3 | 396000 | 0 | 0 |
| INFINERA CORP | NOTE 2.125% 9/0 | 45667GAC7 |  | 1166968 | 1192000 | PRN |  | DFND | 2 | 1192000 | 0 | 0 |
| INFINERA CORP | NOTE 2.125% 9/0 | 45667GAC7 |  | 473836 | 484000 | PRN |  | DFND | 4 | 484000 | 0 | 0 |
| INFINERA CORP | NOTE 2.125% 9/0 | 45667GAC7 |  | 1101375 | 1125000 | PRN |  | DFND | 3 | 1125000 | 0 | 0 |
| INFINERA CORP | NOTE 2.125% 9/0 | 45667GAC7 |  | 194821 | 199000 | PRN |  | SOLE |  | 199000 | 0 | 0 |
| INNOVIVA INC | NOTE 2.125% 1/1 | 88338TAB0 |  | 743107 | 744000 | PRN |  | DFND | 2 | 744000 | 0 | 0 |
| INNOVIVA INC | NOTE 2.125% 1/1 | 88338TAB0 |  | 1111664 | 1113000 | PRN |  | DFND | 3 | 1113000 | 0 | 0 |
| INNOVIVA INC | NOTE 2.125% 1/1 | 88338TAB0 |  | 210747 | 211000 | PRN |  | DFND | 4 | 211000 | 0 | 0 |
| INNOVIVA INC | NOTE 2.125% 1/1 | 88338TAB0 |  | 206752 | 207000 | PRN |  | SOLE |  | 207000 | 0 | 0 |
| INNOVIVA INC | NOTE 2.500% 8/1 | 45781MAB7 |  | 1884225 | 1850000 | PRN |  | SOLE |  | 1850000 | 0 | 0 |
| INSMED INC | NOTE 0.750% 6/0 | 457669AB5 |  | 944625 | 1145000 | PRN |  | DFND | 1 | 1145000 | 0 | 0 |
| INSMED INC | NOTE 0.750% 6/0 | 457669AB5 |  | 850575 | 1031000 | PRN |  | DFND | 2 | 1031000 | 0 | 0 |
| INSMED INC | NOTE 0.750% 6/0 | 457669AB5 |  | 351450 | 426000 | PRN |  | DFND | 4 | 426000 | 0 | 0 |
| INSMED INC | NOTE 0.750% 6/0 | 457669AB5 |  | 892650 | 1082000 | PRN |  | DFND | 3 | 1082000 | 0 | 0 |
| INSMED INC | NOTE 0.750% 6/0 | 457669AB5 |  | 6336000 | 7680000 | PRN |  | SOLE |  | 7680000 | 0 | 0 |
| INSULET CORP | NOTE 0.375% 9/0 | 45784PAK7 |  | 1328692 | 941000 | PRN |  | DFND | 1 | 941000 | 0 | 0 |
| INSULET CORP | NOTE 0.375% 9/0 | 45784PAK7 |  | 8861712 | 6276000 | PRN |  | SOLE |  | 6276000 | 0 | 0 |
| INTEL CORP | COM | 458140100 |  | 236917 | 8964 | SH |  | SOLE |  | 8964 | 0 | 0 |
| INTERCONTINENTAL EXCHANGE IN | COM | 45866F104 |  | 441855 | 4307 | SH |  | SOLE |  | 4307 | 0 | 0 |
| INTUIT | COM | 461202103 |  | 201615 | 518 | SH |  | SOLE |  | 518 | 0 | 0 |
| IONIS PHARMACEUTICALS INC | NOTE 4/0 | 462222AD2 |  | 900047 | 975000 | PRN |  | DFND | 1 | 975000 | 0 | 0 |
| IONIS PHARMACEUTICALS INC | NOTE 4/0 | 462222AD2 |  | 5501827 | 5960000 | PRN |  | SOLE |  | 5960000 | 0 | 0 |
| IRONWOOD PHARMACEUTICALS INC | NOTE 1.500% 6/1 | 46333XAH1 |  | 698000 | 640000 | PRN |  | DFND | 1 | 640000 | 0 | 0 |
| IRONWOOD PHARMACEUTICALS INC | NOTE 1.500% 6/1 | 46333XAH1 |  | 5648352 | 5179000 | PRN |  | SOLE |  | 5179000 | 0 | 0 |
| ISHARES INC | CORE MSCI EMKT | 46434G103 |  | 4264507 | 91317 | SH |  | SOLE |  | 91317 | 0 | 0 |
| ISHARES TR | RUS 1000 VAL ETF | 464287598 |  | 618277 | 4077 | SH |  | SOLE |  | 4077 | 0 | 0 |
| ISHARES TR | CORE S ETF | 464287200 |  | 76407075 | 198868 | SH |  | SOLE |  | 198868 | 0 | 0 |
| ISHARES TR | 1 3 YR TREAS BD | 464287457 |  | 428334 | 5277 | SH |  | SOLE |  | 5277 | 0 | 0 |
| ISHARES TR | U.S. BAS MTL ETF | 464287838 |  | 215727 | 1729 | SH |  | SOLE |  | 1729 | 0 | 0 |
| ISHARES TR | U.S. REAL ES ETF | 464287739 |  | 788355 | 9364 | SH |  | SOLE |  | 9364 | 0 | 0 |
| ISHARES TR | 7-10 YR TRSY BD | 464287440 |  | 16825962 | 175673 | SH |  | SOLE |  | 175673 | 0 | 0 |
| ISHARES TR | CORE US AGGBD ET | 464287226 |  | 400568 | 4130 | SH |  | SOLE |  | 4130 | 0 | 0 |
| ISHARES TR | HDG MSCI EAFE | 46434V803 |  | 1173555 | 43465 | SH |  | SOLE |  | 43465 | 0 | 0 |
| ISHARES TR | ISHARES BIOTECH | 464287556 |  | 2832845 | 21577 | SH |  | SOLE |  | 21577 | 0 | 0 |
| ISHARES TR | FLTG RATE NT ETF | 46429B655 |  | 9243154 | 183651 | SH |  | SOLE |  | 183651 | 0 | 0 |
| ITRON INC | NOTE 3/1 | 465741AN6 |  | 874478 | 1068000 | PRN |  | DFND | 1 | 1068000 | 0 | 0 |
| ITRON INC | NOTE 3/1 | 465741AN6 |  | 5219850 | 6375000 | PRN |  | SOLE |  | 6375000 | 0 | 0 |
| JAZZ INVESTMENTS I LTD | NOTE 2.000% 6/1 | 472145AF8 |  | 2312119 | 1945000 | PRN |  | DFND | 1 | 1945000 | 0 | 0 |
| JAZZ INVESTMENTS I LTD | NOTE 1.500% 8/1 | 472145AD3 |  | 756000 | 768000 | PRN |  | DFND | 2 | 768000 | 0 | 0 |
| JAZZ INVESTMENTS I LTD | NOTE 1.500% 8/1 | 472145AD3 |  | 367172 | 373000 | PRN |  | DFND | 4 | 373000 | 0 | 0 |
| JAZZ INVESTMENTS I LTD | NOTE 1.500% 8/1 | 472145AD3 |  | 892828 | 907000 | PRN |  | DFND | 3 | 907000 | 0 | 0 |
| JAZZ INVESTMENTS I LTD | NOTE 1.500% 8/1 | 472145AD3 |  | 198844 | 202000 | PRN |  | SOLE |  | 202000 | 0 | 0 |
| JAZZ INVESTMENTS I LTD | NOTE 2.000% 6/1 | 472145AF8 |  | 18328152 | 15418000 | PRN |  | SOLE |  | 15418000 | 0 | 0 |
| JETBLUE AIRWAYS CORP | NOTE 0.500% 4/0 | 477143AP6 |  | 610237 | 837000 | PRN |  | DFND | 2 | 837000 | 0 | 0 |
| JETBLUE AIRWAYS CORP | NOTE 0.500% 4/0 | 477143AP6 |  | 482649 | 662000 | PRN |  | DFND | 3 | 662000 | 0 | 0 |
| JETBLUE AIRWAYS CORP | NOTE 0.500% 4/0 | 477143AP6 |  | 260280 | 357000 | PRN |  | DFND | 4 | 357000 | 0 | 0 |
| JETBLUE AIRWAYS CORP | NOTE 0.500% 4/0 | 477143AP6 |  | 104987 | 144000 | PRN |  | SOLE |  | 144000 | 0 | 0 |
| JOHN BEAN TECHNOLOGIES CORP | NOTE 0.250% 5/1 | 477839AB0 |  | 6607884 | 7697000 | PRN |  | SOLE |  | 7697000 | 0 | 0 |
| JOHNSON  JOHNSON | COM | 478160104 |  | 1027928 | 5819 | SH |  | SOLE |  | 5819 | 0 | 0 |
| JOYY INC | NOTE 0.750% 6/1 | 98426TAD8 |  | 551035 | 577000 | PRN |  | DFND | 2 | 577000 | 0 | 0 |
| JOYY INC | NOTE 0.750% 6/1 | 98426TAD8 |  | 567270 | 594000 | PRN |  | DFND | 3 | 594000 | 0 | 0 |
| JOYY INC | NOTE 0.750% 6/1 | 98426TAD8 |  | 226335 | 237000 | PRN |  | DFND | 4 | 237000 | 0 | 0 |
| JOYY INC | NOTE 0.750% 6/1 | 98426TAD8 |  | 87860 | 92000 | PRN |  | SOLE |  | 92000 | 0 | 0 |
| JPMORGAN CHASE  CO | COM | 46625H100 |  | 1400944 | 10447 | SH |  | SOLE |  | 10447 | 0 | 0 |
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 |  | 562348 | 605000 | PRN |  | DFND | 2 | 605000 | 0 | 0 |
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 |  | 668311 | 719000 | PRN |  | DFND | 3 | 719000 | 0 | 0 |
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 |  | 339268 | 365000 | PRN |  | DFND | 4 | 365000 | 0 | 0 |
| KAMAN CORP | NOTE 3.250% 5/0 | 483548AF0 |  | 118976 | 128000 | PRN |  | SOLE |  | 128000 | 0 | 0 |
| KBR INC | NOTE 2.500%11/0 | 48242WAB2 |  | 1092203 | 518000 | PRN |  | DFND | 1 | 518000 | 0 | 0 |
| KBR INC | NOTE 2.500%11/0 | 48242WAB2 |  | 7689709 | 3647000 | PRN |  | SOLE |  | 3647000 | 0 | 0 |
| KEYCORP | COM | 493267108 |  | 230278 | 13219 | SH |  | SOLE |  | 13219 | 0 | 0 |
| KIMBERLY-CLARK CORP | COM | 494368103 |  | 1178989 | 8685 | SH |  | SOLE |  | 8685 | 0 | 0 |
| KKR  CO INC | 6% MCONV PFD C | 48251W401 |  | 504856 | 8800 | SH |  | DFND | 1 | 8800 | 0 | 0 |
| KKR  CO INC | 6% MCONV PFD C | 48251W401 |  | 6693470 | 116672 | SH |  | SOLE |  | 116672 | 0 | 0 |
| KKR  CO INC | COM | 48251W104 |  | 274438 | 5912 | SH |  | SOLE |  | 5912 | 0 | 0 |
| KKR REAL ESTATE FIN TR INC | NOTE 6.125% 5/1 | 48251KAB6 |  | 1507461 | 1536000 | PRN |  | DFND | 2 | 1536000 | 0 | 0 |
| KKR REAL ESTATE FIN TR INC | NOTE 6.125% 5/1 | 48251KAB6 |  | 1323936 | 1349000 | PRN |  | DFND | 3 | 1349000 | 0 | 0 |
| KKR REAL ESTATE FIN TR INC | NOTE 6.125% 5/1 | 48251KAB6 |  | 515246 | 525000 | PRN |  | DFND | 4 | 525000 | 0 | 0 |
| KKR REAL ESTATE FIN TR INC | NOTE 6.125% 5/1 | 48251KAB6 |  | 200209 | 204000 | PRN |  | SOLE |  | 204000 | 0 | 0 |
| LABORATORY CORP AMER HLDGS | COM NEW | 50540R409 |  | 225589 | 958 | SH |  | SOLE |  | 958 | 0 | 0 |
| LAUDER ESTEE COS INC | CL A | 518439104 |  | 204688 | 825 | SH |  | SOLE |  | 825 | 0 | 0 |
| LENDINGTREE INC | NOTE 0.500% 7/1 | 52603BAD9 |  | 1285920 | 1786000 | PRN |  | DFND | 2 | 1786000 | 0 | 0 |
| LENDINGTREE INC | NOTE 0.500% 7/1 | 52603BAD9 |  | 1299600 | 1805000 | PRN |  | DFND | 3 | 1805000 | 0 | 0 |
| LENDINGTREE INC | NOTE 0.500% 7/1 | 52603BAD9 |  | 642240 | 892000 | PRN |  | DFND | 4 | 892000 | 0 | 0 |
| LENDINGTREE INC | NOTE 0.500% 7/1 | 52603BAD9 |  | 192240 | 267000 | PRN |  | SOLE |  | 267000 | 0 | 0 |
| LIBERTY MEDIA CORP DEL | NOTE 1.375%10/1 | 531229AB8 |  | 689640 | 560000 | PRN |  | DFND | 1 | 560000 | 0 | 0 |
| LIBERTY MEDIA CORP DEL | COM SER C FRMLA | 531229854 |  | 310857 | 5200 | SH |  | SOLE |  | 5200 | 0 | 0 |
| LIBERTY MEDIA CORP DEL | NOTE 1.375%10/1 | 531229AB8 |  | 6486320 | 5267000 | PRN |  | SOLE |  | 5267000 | 0 | 0 |
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 |  | 673403 | 692000 | PRN |  | DFND | 2 | 692000 | 0 | 0 |
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 |  | 676322 | 695000 | PRN |  | DFND | 3 | 695000 | 0 | 0 |
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 |  | 383411 | 394000 | PRN |  | DFND | 4 | 394000 | 0 | 0 |
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 5/1 | 53220KAF5 |  | 213115 | 219000 | PRN |  | SOLE |  | 219000 | 0 | 0 |
| LILLY ELI  CO | COM | 532457108 |  | 259016 | 708 | SH |  | SOLE |  | 708 | 0 | 0 |
| LINDE PLC | SHS | G5494J103 |  | 269426 | 826 | SH |  | SOLE |  | 826 | 0 | 0 |
| LIVE NATION ENTERTAINMENT IN | NOTE 2.500% 3/1 | 538034AQ2 |  | 12757 | 12000 | PRN |  | SOLE |  | 12000 | 0 | 0 |
| LIVE NATION ENTERTAINMENT IN | NOTE 2.000% 2/1 | 538034AU3 |  | 357270 | 364000 | PRN |  | SOLE |  | 364000 | 0 | 0 |
| LIVEPERSON INC | NOTE 12/1 | 538146AD3 |  | 863564 | 1211000 | PRN |  | DFND | 2 | 1211000 | 0 | 0 |
| LIVEPERSON INC | NOTE 12/1 | 538146AD3 |  | 936300 | 1313000 | PRN |  | DFND | 3 | 1313000 | 0 | 0 |
| LIVEPERSON INC | NOTE 12/1 | 538146AD3 |  | 328026 | 460000 | PRN |  | DFND | 4 | 460000 | 0 | 0 |
| LIVEPERSON INC | NOTE 12/1 | 538146AD3 |  | 189685 | 266000 | PRN |  | SOLE |  | 266000 | 0 | 0 |
| LOCKHEED MARTIN CORP | COM | 539830109 |  | 317678 | 653 | SH |  | SOLE |  | 653 | 0 | 0 |
| LOEWS CORP | COM | 540424108 |  | 771823 | 13232 | SH |  | SOLE |  | 13232 | 0 | 0 |
| LOWES COS INC | COM | 548661107 |  | 248651 | 1248 | SH |  | SOLE |  | 1248 | 0 | 0 |
| LPL FINL HLDGS INC | COM | 50212V100 |  | 408346 | 1889 | SH |  | SOLE |  | 1889 | 0 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 1029000 | 1200000 | PRN |  | DFND | 1 | 1200000 | 0 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 467338 | 545000 | PRN |  | DFND | 2 | 545000 | 0 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 547943 | 639000 | PRN |  | DFND | 3 | 639000 | 0 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 186078 | 217000 | PRN |  | DFND | 4 | 217000 | 0 | 0 |
| LUMENTUM HLDGS INC | NOTE 0.500%12/1 | 55024UAD1 |  | 8952314 | 10440000 | PRN |  | SOLE |  | 10440000 | 0 | 0 |
| LYFT INC | NOTE 1.500% 5/1 | 55087PAB0 |  | 871655 | 990000 | PRN |  | DFND | 1 | 990000 | 0 | 0 |
| LYFT INC | NOTE 1.500% 5/1 | 55087PAB0 |  | 5871787 | 6669000 | PRN |  | SOLE |  | 6669000 | 0 | 0 |
| MACOM TECH SOLUTIONS HLDGS I | NOTE 0.250% 3/1 | 55405YAB6 |  | 1027101 | 1038000 | PRN |  | DFND | 1 | 1038000 | 0 | 0 |
| MACOM TECH SOLUTIONS HLDGS I | NOTE 0.250% 3/1 | 55405YAB6 |  | 822275 | 831000 | PRN |  | DFND | 2 | 831000 | 0 | 0 |
| MACOM TECH SOLUTIONS HLDGS I | NOTE 0.250% 3/1 | 55405YAB6 |  | 727283 | 735000 | PRN |  | DFND | 3 | 735000 | 0 | 0 |
| MACOM TECH SOLUTIONS HLDGS I | NOTE 0.250% 3/1 | 55405YAB6 |  | 376010 | 380000 | PRN |  | DFND | 4 | 380000 | 0 | 0 |
| MACOM TECH SOLUTIONS HLDGS I | NOTE 0.250% 3/1 | 55405YAB6 |  | 7458861 | 7538000 | PRN |  | SOLE |  | 7538000 | 0 | 0 |
| MAGNITE INC | NOTE 0.250% 3/1 | 55955DAB6 |  | 1246979 | 1626000 | PRN |  | DFND | 2 | 1626000 | 0 | 0 |
| MAGNITE INC | NOTE 0.250% 3/1 | 55955DAB6 |  | 1494688 | 1949000 | PRN |  | DFND | 3 | 1949000 | 0 | 0 |
| MAGNITE INC | NOTE 0.250% 3/1 | 55955DAB6 |  | 529161 | 690000 | PRN |  | DFND | 4 | 690000 | 0 | 0 |
| MAGNITE INC | NOTE 0.250% 3/1 | 55955DAB6 |  | 180222 | 235000 | PRN |  | SOLE |  | 235000 | 0 | 0 |
| MAKEMYTRIP LIMITED MAURITIUS | NOTE 2/1 | 56087FAB0 |  | 918840 | 930000 | PRN |  | DFND | 1 | 930000 | 0 | 0 |
| MAKEMYTRIP LIMITED MAURITIUS | NOTE 2/1 | 56087FAB0 |  | 6765824 | 6848000 | PRN |  | SOLE |  | 6848000 | 0 | 0 |
| MARRIOTT VACATIONS WORLDWIDE | NOTE 1/1 | 57164YAD9 |  | 721500 | 740000 | PRN |  | DFND | 1 | 740000 | 0 | 0 |
| MARRIOTT VACATIONS WORLDWIDE | NOTE 1/1 | 57164YAD9 |  | 4502550 | 4618000 | PRN |  | SOLE |  | 4618000 | 0 | 0 |
| MASTERCARD INCORPORATED | CL A | 57636Q104 |  | 525421 | 1511 | SH |  | SOLE |  | 1511 | 0 | 0 |
| MCDONALDS CORP | COM | 580135101 |  | 553151 | 2099 | SH |  | SOLE |  | 2099 | 0 | 0 |
| MEDTRONIC PLC | SHS | G5960L103 |  | 248080 | 3192 | SH |  | SOLE |  | 3192 | 0 | 0 |
| MERCK  CO INC | COM | 58933Y105 |  | 701093 | 6319 | SH |  | SOLE |  | 6319 | 0 | 0 |
| MESA LABS INC | NOTE 1.375% 8/1 | 59064RAA7 |  | 558556 | 622000 | PRN |  | DFND | 2 | 622000 | 0 | 0 |
| MESA LABS INC | NOTE 1.375% 8/1 | 59064RAA7 |  | 446306 | 497000 | PRN |  | DFND | 3 | 497000 | 0 | 0 |
| MESA LABS INC | NOTE 1.375% 8/1 | 59064RAA7 |  | 210132 | 234000 | PRN |  | DFND | 4 | 234000 | 0 | 0 |
| MESA LABS INC | NOTE 1.375% 8/1 | 59064RAA7 |  | 132006 | 147000 | PRN |  | SOLE |  | 147000 | 0 | 0 |
| META PLATFORMS INC | CL A | 30303M102 |  | 551277 | 4581 | SH |  | SOLE |  | 4581 | 0 | 0 |
| MFA FINL INC | NOTE 6.250% 6/1 | 55272XAA0 |  | 2087140 | 2332000 | PRN |  | DFND | 2 | 2332000 | 0 | 0 |
| MFA FINL INC | NOTE 6.250% 6/1 | 55272XAA0 |  | 2321630 | 2594000 | PRN |  | DFND | 3 | 2594000 | 0 | 0 |
| MFA FINL INC | NOTE 6.250% 6/1 | 55272XAA0 |  | 855620 | 956000 | PRN |  | DFND | 4 | 956000 | 0 | 0 |
| MFA FINL INC | NOTE 6.250% 6/1 | 55272XAA0 |  | 329360 | 368000 | PRN |  | SOLE |  | 368000 | 0 | 0 |
| MGP INGREDIENTS INC NEW | NOTE 1.875%11/1 | 55303JAB2 |  | 629400 | 500000 | PRN |  | DFND | 1 | 500000 | 0 | 0 |
| MGP INGREDIENTS INC NEW | NOTE 1.875%11/1 | 55303JAB2 |  | 5359969 | 4258000 | PRN |  | SOLE |  | 4258000 | 0 | 0 |
| MICROCHIP TECHNOLOGY INC. | NOTE 0.125%11/1 | 595017AU8 |  | 1501500 | 1400000 | PRN |  | DFND | 1 | 1400000 | 0 | 0 |
| MICROCHIP TECHNOLOGY INC. | NOTE 0.125%11/1 | 595017AU8 |  | 14226723 | 13265000 | PRN |  | SOLE |  | 13265000 | 0 | 0 |
| MICROSOFT CORP | COM | 594918104 |  | 3803065 | 15858 | SH |  | SOLE |  | 15858 | 0 | 0 |
| MITEK SYS INC | NOTE 0.750% 2/0 | 606710AA9 |  | 676500 | 825000 | PRN |  | DFND | 2 | 825000 | 0 | 0 |
| MITEK SYS INC | NOTE 0.750% 2/0 | 606710AA9 |  | 574000 | 700000 | PRN |  | DFND | 3 | 700000 | 0 | 0 |
| MITEK SYS INC | NOTE 0.750% 2/0 | 606710AA9 |  | 309140 | 377000 | PRN |  | DFND | 4 | 377000 | 0 | 0 |
| MITEK SYS INC | NOTE 0.750% 2/0 | 606710AA9 |  | 80360 | 98000 | PRN |  | SOLE |  | 98000 | 0 | 0 |
| MORGAN STANLEY | COM NEW | 617446448 |  | 242221 | 2849 | SH |  | SOLE |  | 2849 | 0 | 0 |
| MOTOROLA SOLUTIONS INC | COM NEW | 620076307 |  | 229104 | 889 | SH |  | SOLE |  | 889 | 0 | 0 |
| NATIONAL VISION HLDGS INC | NOTE 2.500% 5/1 | 63845RAB3 |  | 631159 | 460000 | PRN |  | DFND | 1 | 460000 | 0 | 0 |
| NATIONAL VISION HLDGS INC | NOTE 2.500% 5/1 | 63845RAB3 |  | 4053140 | 2954000 | PRN |  | SOLE |  | 2954000 | 0 | 0 |
| NEUROCRINE BIOSCIENCES INC | NOTE 2.250% 5/1 | 64125CAD1 |  | 942747 | 598000 | PRN |  | DFND | 1 | 598000 | 0 | 0 |
| NEUROCRINE BIOSCIENCES INC | NOTE 2.250% 5/1 | 64125CAD1 |  | 6805759 | 4317000 | PRN |  | SOLE |  | 4317000 | 0 | 0 |
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 |  | 819564 | 838000 | PRN |  | DFND | 2 | 838000 | 0 | 0 |
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 |  | 682644 | 698000 | PRN |  | DFND | 3 | 698000 | 0 | 0 |
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 |  | 328608 | 336000 | PRN |  | DFND | 4 | 336000 | 0 | 0 |
| NEW RELIC INC | NOTE 0.500% 5/0 | 64829BAB6 |  | 125184 | 128000 | PRN |  | SOLE |  | 128000 | 0 | 0 |
| NEW YORK CMNTY CAP TR V | UNIT 05/07/2051 | 64944P307 |  | 673567 | 15668 | SH |  | DFND | 2 | 15668 | 0 | 0 |
| NEW YORK CMNTY CAP TR V | UNIT 05/07/2051 | 64944P307 |  | 877383 | 20409 | SH |  | DFND | 3 | 20409 | 0 | 0 |
| NEW YORK CMNTY CAP TR V | UNIT 05/07/2051 | 64944P307 |  | 372078 | 8655 | SH |  | DFND | 4 | 8655 | 0 | 0 |
| NEW YORK CMNTY CAP TR V | UNIT 05/07/2051 | 64944P307 |  | 104251 | 2425 | SH |  | SOLE |  | 2425 | 0 | 0 |
| NEXTERA ENERGY INC | UNIT 03/01/2023 | 65339F770 |  | 3128147 | 61870 | SH |  | DFND | 1 | 61870 | 0 | 0 |
| NEXTERA ENERGY INC | UNIT 09/01/2025 | 65339F713 |  | 909082 | 18530 | SH |  | DFND | 1 | 18530 | 0 | 0 |
| NEXTERA ENERGY INC | UNIT 09/01/2025 | 65339F713 |  | 11025500 | 224735 | SH |  | SOLE |  | 224735 | 0 | 0 |
| NEXTERA ENERGY INC | UNIT 09/01/2023 | 65339F739 |  | 1262520 | 25195 | SH |  | SOLE |  | 25195 | 0 | 0 |
| NEXTERA ENERGY INC | UNIT 03/01/2023 | 65339F770 |  | 22559111 | 446185 | SH |  | SOLE |  | 446185 | 0 | 0 |
| NICE LTD | NOTE 9/1 | 653656AB4 |  | 32988 | 35000 | PRN |  | SOLE |  | 35000 | 0 | 0 |
| NIKE INC | CL B | 654106103 |  | 311832 | 2665 | SH |  | SOLE |  | 2665 | 0 | 0 |
| NISOURCE INC | UNIT 12/01/2023 | 65473P121 |  | 1063350 | 10200 | SH |  | DFND | 1 | 10200 | 0 | 0 |
| NISOURCE INC | UNIT 12/01/2023 | 65473P121 |  | 9979334 | 95725 | SH |  | SOLE |  | 95725 | 0 | 0 |
| NORTHROP GRUMMAN CORP | COM | 666807102 |  | 256437 | 470 | SH |  | SOLE |  | 470 | 0 | 0 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 757191 | 766000 | PRN |  | DFND | 2 | 766000 | 0 | 0 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 1110086 | 1123000 | PRN |  | DFND | 3 | 1123000 | 0 | 0 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 368711 | 373000 | PRN |  | DFND | 4 | 373000 | 0 | 0 |
| NRG ENERGY INC | DBCV 2.750% 6/0 | 629377CG5 |  | 235263 | 238000 | PRN |  | SOLE |  | 238000 | 0 | 0 |
| NVIDIA CORPORATION | COM | 67066G104 |  | 732746 | 5014 | SH |  | SOLE |  | 5014 | 0 | 0 |
| OIL STS INTL INC | NOTE 4.750% 4/0 | 678026AK1 |  | 517364 | 481000 | PRN |  | DFND | 1 | 481000 | 0 | 0 |
| OIL STS INTL INC | NOTE 4.750% 4/0 | 678026AK1 |  | 3975418 | 3696000 | PRN |  | SOLE |  | 3696000 | 0 | 0 |
| OKTA INC | NOTE 0.125% 9/0 | 679295AD7 |  | 1091097 | 1242000 | PRN |  | DFND | 1 | 1242000 | 0 | 0 |
| OKTA INC | NOTE 0.125% 9/0 | 679295AD7 |  | 11493426 | 13083000 | PRN |  | SOLE |  | 13083000 | 0 | 0 |
| ON SEMICONDUCTOR CORP | NOTE 5/0 | 682189AS4 |  | 1245500 | 940000 | PRN |  | DFND | 1 | 940000 | 0 | 0 |
| ON SEMICONDUCTOR CORP | NOTE 5/0 | 682189AS4 |  | 9701650 | 7322000 | PRN |  | SOLE |  | 7322000 | 0 | 0 |
| ORACLE CORP | COM | 68389X105 |  | 432405 | 5290 | SH |  | SOLE |  | 5290 | 0 | 0 |
| OREILLY AUTOMOTIVE INC | COM | 67103H107 |  | 374750 | 444 | SH |  | SOLE |  | 444 | 0 | 0 |
| PACIRA BIOSCIENCES INC | NOTE 0.750% 8/0 | 695127AF7 |  | 508853 | 565000 | PRN |  | DFND | 1 | 565000 | 0 | 0 |
| PACIRA BIOSCIENCES INC | NOTE 0.750% 8/0 | 695127AF7 |  | 3959150 | 4396000 | PRN |  | SOLE |  | 4396000 | 0 | 0 |
| PAGERDUTY INC | NOTE 1.250% 7/0 | 69553PAB6 |  | 580751 | 577000 | PRN |  | DFND | 1 | 577000 | 0 | 0 |
| PAGERDUTY INC | NOTE 1.250% 7/0 | 69553PAB6 |  | 4476922 | 4448000 | PRN |  | SOLE |  | 4448000 | 0 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.750% 7/0 | 697435AD7 |  | 2433200 | 1540000 | PRN |  | DFND | 1 | 1540000 | 0 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.375% 6/0 | 697435AF2 |  | 671808 | 455000 | PRN |  | DFND | 1 | 455000 | 0 | 0 |
| PALO ALTO NETWORKS INC | NOTE 0.750% 7/0 | 697435AD7 |  | 23199140 | 14683000 | PRN |  | SOLE |  | 14683000 | 0 | 0 |
| PARKER-HANNIFIN CORP | COM | 701094104 |  | 236292 | 812 | SH |  | SOLE |  | 812 | 0 | 0 |
| PARSONS CORP DEL | NOTE 0.250% 8/1 | 70202LAB8 |  | 892153 | 785000 | PRN |  | DFND | 1 | 785000 | 0 | 0 |
| PARSONS CORP DEL | NOTE 0.250% 8/1 | 70202LAB8 |  | 7685030 | 6762000 | PRN |  | SOLE |  | 6762000 | 0 | 0 |
| PATRICK INDS INC | DBCV 1.000% 2/0 | 703343AB9 |  | 651815 | 658000 | PRN |  | DFND | 2 | 658000 | 0 | 0 |
| PATRICK INDS INC | DBCV 1.000% 2/0 | 703343AB9 |  | 516103 | 521000 | PRN |  | DFND | 3 | 521000 | 0 | 0 |
| PATRICK INDS INC | DBCV 1.000% 2/0 | 703343AB9 |  | 241706 | 244000 | PRN |  | DFND | 4 | 244000 | 0 | 0 |
| PATRICK INDS INC | DBCV 1.000% 2/0 | 703343AB9 |  | 76276 | 77000 | PRN |  | SOLE |  | 77000 | 0 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 732025 | 890000 | PRN |  | DFND | 1 | 890000 | 0 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 1172885 | 1426000 | PRN |  | DFND | 2 | 1426000 | 0 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 1015788 | 1235000 | PRN |  | DFND | 3 | 1235000 | 0 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 348740 | 424000 | PRN |  | DFND | 4 | 424000 | 0 | 0 |
| PEBBLEBROOK HOTEL TR | NOTE 1.750%12/1 | 70509VAA8 |  | 7116279 | 8652000 | PRN |  | SOLE |  | 8652000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500%11/0 | 70932AAD5 |  | 1874250 | 2100000 | PRN |  | DFND | 2 | 2100000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500% 3/1 | 70932AAF0 |  | 756306 | 923000 | PRN |  | DFND | 2 | 923000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500% 3/1 | 70932AAF0 |  | 677644 | 827000 | PRN |  | DFND | 3 | 827000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500%11/0 | 70932AAD5 |  | 1946543 | 2181000 | PRN |  | DFND | 3 | 2181000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500% 3/1 | 70932AAF0 |  | 204850 | 250000 | PRN |  | DFND | 4 | 250000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500%11/0 | 70932AAD5 |  | 816638 | 915000 | PRN |  | DFND | 4 | 915000 | 0 | 0 |
| PENNYMAC CORP | NOTE 5.500%11/0 | 70932AAD5 |  | 4882878 | 5471000 | PRN |  | SOLE |  | 5471000 | 0 | 0 |
| PEPSICO INC | COM | 713448108 |  | 606115 | 3355 | SH |  | SOLE |  | 3355 | 0 | 0 |
| PERFICIENT INC | NOTE 0.125%11/1 | 71375UAF8 |  | 927000 | 1200000 | PRN |  | DFND | 1 | 1200000 | 0 | 0 |
| PERFICIENT INC | NOTE 0.125%11/1 | 71375UAF8 |  | 1132485 | 1466000 | PRN |  | DFND | 2 | 1466000 | 0 | 0 |
| PERFICIENT INC | NOTE 0.125%11/1 | 71375UAF8 |  | 1241408 | 1607000 | PRN |  | DFND | 3 | 1607000 | 0 | 0 |
| PERFICIENT INC | NOTE 0.125%11/1 | 71375UAF8 |  | 520665 | 674000 | PRN |  | DFND | 4 | 674000 | 0 | 0 |
| PERFICIENT INC | NOTE 0.125%11/1 | 71375UAF8 |  | 5674796 | 7346000 | PRN |  | SOLE |  | 7346000 | 0 | 0 |
| PERKINELMER INC | COM | 714046109 |  | 299089 | 2133 | SH |  | SOLE |  | 2133 | 0 | 0 |
| PERMIAN RESOURCES CORP | NOTE 3.250% 4/0 | 15136AAA0 |  | 584221 | 346000 | PRN |  | DFND | 2 | 346000 | 0 | 0 |
| PERMIAN RESOURCES CORP | NOTE 3.250% 4/0 | 15136AAA0 |  | 947249 | 561000 | PRN |  | DFND | 3 | 561000 | 0 | 0 |
| PERMIAN RESOURCES CORP | NOTE 3.250% 4/0 | 15136AAA0 |  | 337700 | 200000 | PRN |  | DFND | 4 | 200000 | 0 | 0 |
| PERMIAN RESOURCES CORP | NOTE 3.250% 4/0 | 15136AAA0 |  | 241456 | 143000 | PRN |  | SOLE |  | 143000 | 0 | 0 |
| PFIZER INC | COM | 717081103 |  | 942867 | 18401 | SH |  | SOLE |  | 18401 | 0 | 0 |
| PG CORP | UNIT 08/16/2023 | 69331C140 |  | 1266816 | 8775 | SH |  | DFND | 1 | 8775 | 0 | 0 |
| PG CORP | UNIT 08/16/2023 | 69331C140 |  | 9027235 | 62530 | SH |  | SOLE |  | 62530 | 0 | 0 |
| PINDUODUO INC | NOTE 12/0 | 722304AC6 |  | 396970 | 428000 | PRN |  | DFND | 2 | 428000 | 0 | 0 |
| PINDUODUO INC | NOTE 12/0 | 722304AC6 |  | 314423 | 339000 | PRN |  | DFND | 3 | 339000 | 0 | 0 |
| PINDUODUO INC | NOTE 12/0 | 722304AC6 |  | 169733 | 183000 | PRN |  | DFND | 4 | 183000 | 0 | 0 |
| PINDUODUO INC | NOTE 12/0 | 722304AC6 |  | 46376 | 50000 | PRN |  | SOLE |  | 50000 | 0 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 816200 | 350000 | PRN |  | DFND | 2 | 350000 | 0 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 1700028 | 729000 | PRN |  | DFND | 1 | 729000 | 0 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 916476 | 393000 | PRN |  | DFND | 3 | 393000 | 0 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 256520 | 110000 | PRN |  | DFND | 4 | 110000 | 0 | 0 |
| PIONEER NAT RES CO | NOTE 0.250% 5/1 | 723787AP2 |  | 46318184 | 19862000 | PRN |  | SOLE |  | 19862000 | 0 | 0 |
| PRA GROUP INC | NOTE 3.500% 6/0 | 69354NAB2 |  | 925430 | 940000 | PRN |  | DFND | 2 | 940000 | 0 | 0 |
| PRA GROUP INC | NOTE 3.500% 6/0 | 69354NAB2 |  | 995330 | 1011000 | PRN |  | DFND | 3 | 1011000 | 0 | 0 |
| PRA GROUP INC | NOTE 3.500% 6/0 | 69354NAB2 |  | 389862 | 396000 | PRN |  | DFND | 4 | 396000 | 0 | 0 |
| PRA GROUP INC | NOTE 3.500% 6/0 | 69354NAB2 |  | 150629 | 153000 | PRN |  | SOLE |  | 153000 | 0 | 0 |
| PROCTER AND GAMBLE CO | COM | 742718109 |  | 1012268 | 6679 | SH |  | SOLE |  | 6679 | 0 | 0 |
| PROGRESS SOFTWARE CORP | NOTE 1.000% 4/1 | 743312AB6 |  | 985208 | 964000 | PRN |  | DFND | 2 | 964000 | 0 | 0 |
| PROGRESS SOFTWARE CORP | NOTE 1.000% 4/1 | 743312AB6 |  | 1212092 | 1186000 | PRN |  | DFND | 3 | 1186000 | 0 | 0 |
| PROGRESS SOFTWARE CORP | NOTE 1.000% 4/1 | 743312AB6 |  | 430262 | 421000 | PRN |  | DFND | 4 | 421000 | 0 | 0 |
| PROGRESS SOFTWARE CORP | NOTE 1.000% 4/1 | 743312AB6 |  | 182938 | 179000 | PRN |  | SOLE |  | 179000 | 0 | 0 |
| PROSHARES TR | SHRT 20+YR TRE | 74347X849 |  | 1378853 | 60796 | SH |  | DFND | 2 | 60796 | 0 | 0 |
| PROSHARES TR | SHRT 20+YR TRE | 74347X849 |  | 1484655 | 65461 | SH |  | DFND | 3 | 65461 | 0 | 0 |
| PROSHARES TR | SHRT 20+YR TRE | 74347X849 |  | 1043031 | 45989 | SH |  | DFND | 4 | 45989 | 0 | 0 |
| PROSHARES TR | SHRT 20+YR TRE | 74347X849 |  | 175861 | 7754 | SH |  | SOLE |  | 7754 | 0 | 0 |
| PROSPECT CAP CORP | NOTE 6.375% 3/0 | 74348TAT9 |  | 5586254 | 5607000 | PRN |  | SOLE |  | 5607000 | 0 | 0 |
| PRUDENTIAL FINL INC | COM | 744320102 |  | 249049 | 2504 | SH |  | SOLE |  | 2504 | 0 | 0 |
| PURE STORAGE INC | NOTE 0.125% 4/1 | 74624MAB8 |  | 565163 | 525000 | PRN |  | DFND | 1 | 525000 | 0 | 0 |
| PURE STORAGE INC | NOTE 0.125% 4/1 | 74624MAB8 |  | 3801133 | 3531000 | PRN |  | SOLE |  | 3531000 | 0 | 0 |
| RAYTHEON TECHNOLOGIES CORP | COM | 75513E101 |  | 234740 | 2326 | SH |  | SOLE |  | 2326 | 0 | 0 |
| RBC BEARINGS INC | 5% CNV PFD SR A | 75524B203 |  | 325868 | 3169 | SH |  | DFND | 2 | 3169 | 0 | 0 |
| RBC BEARINGS INC | 5% CNV PFD SR A | 75524B203 |  | 395587 | 3847 | SH |  | DFND | 3 | 3847 | 0 | 0 |
| RBC BEARINGS INC | 5% CNV PFD SR A | 75524B203 |  | 197022 | 1916 | SH |  | DFND | 4 | 1916 | 0 | 0 |
| RBC BEARINGS INC | 5% CNV PFD SR A | 75524B203 |  | 84115 | 818 | SH |  | SOLE |  | 818 | 0 | 0 |
| READY CAPITAL CORP | 7% CN SR NT 2023 | 75574U200 |  | 870589 | 35062 | SH |  | DFND | 2 | 35062 | 0 | 0 |
| READY CAPITAL CORP | 7% CN SR NT 2023 | 75574U200 |  | 688312 | 27721 | SH |  | DFND | 3 | 27721 | 0 | 0 |
| READY CAPITAL CORP | 7% CN SR NT 2023 | 75574U200 |  | 370836 | 14935 | SH |  | DFND | 4 | 14935 | 0 | 0 |
| READY CAPITAL CORP | 7% CN SR NT 2023 | 75574U200 |  | 218057 | 8782 | SH |  | SOLE |  | 8782 | 0 | 0 |
| REALOGY GRP LLC/REALOGY CO | NOTE 0.250% 6/1 | 75606DAP6 |  | 860469 | 1231000 | PRN |  | DFND | 2 | 1231000 | 0 | 0 |
| REALOGY GRP LLC/REALOGY CO | NOTE 0.250% 6/1 | 75606DAP6 |  | 921981 | 1319000 | PRN |  | DFND | 3 | 1319000 | 0 | 0 |
| REALOGY GRP LLC/REALOGY CO | NOTE 0.250% 6/1 | 75606DAP6 |  | 499785 | 715000 | PRN |  | DFND | 4 | 715000 | 0 | 0 |
| REALOGY GRP LLC/REALOGY CO | NOTE 0.250% 6/1 | 75606DAP6 |  | 164265 | 235000 | PRN |  | SOLE |  | 235000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 5.625% 7/1 | 758075AD7 |  | 1131250 | 1250000 | PRN |  | DFND | 2 | 1250000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 4.750% 8/1 | 758075AC9 |  | 408525 | 419000 | PRN |  | DFND | 2 | 419000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 4.750% 8/1 | 758075AC9 |  | 308100 | 316000 | PRN |  | DFND | 3 | 316000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 5.625% 7/1 | 758075AD7 |  | 1495060 | 1652000 | PRN |  | DFND | 3 | 1652000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 4.750% 8/1 | 758075AC9 |  | 234000 | 240000 | PRN |  | DFND | 4 | 240000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 5.625% 7/1 | 758075AD7 |  | 206340 | 228000 | PRN |  | DFND | 4 | 228000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 5.625% 7/1 | 758075AD7 |  | 57920 | 64000 | PRN |  | SOLE |  | 64000 | 0 | 0 |
| REDWOOD TRUST INC | NOTE 4.750% 8/1 | 758075AC9 |  | 24375 | 25000 | PRN |  | SOLE |  | 25000 | 0 | 0 |
| REVANCE THERAPEUTICS INC | NOTE 1.750% 2/1 | 761330AB5 |  | 1259940 | 1380000 | PRN |  | DFND | 1 | 1380000 | 0 | 0 |
| REVANCE THERAPEUTICS INC | NOTE 1.750% 2/1 | 761330AB5 |  | 7775108 | 8516000 | PRN |  | SOLE |  | 8516000 | 0 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 1286408 | 1498000 | PRN |  | DFND | 2 | 1498000 | 0 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 712763 | 830000 | PRN |  | DFND | 1 | 830000 | 0 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 1132691 | 1319000 | PRN |  | DFND | 3 | 1319000 | 0 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 396743 | 462000 | PRN |  | DFND | 4 | 462000 | 0 | 0 |
| RINGCENTRAL INC | NOTE 3/0 | 76680RAF4 |  | 7616260 | 8869000 | PRN |  | SOLE |  | 8869000 | 0 | 0 |
| ROYAL CARIBBEAN GROUP | NOTE 4.250% 6/1 | 780153BB7 |  | 1088503 | 1097000 | PRN |  | SOLE |  | 1097000 | 0 | 0 |
| RWT HLDGS INC | NOTE 5.750%10/0 | 749772AD1 |  | 899979 | 1073000 | PRN |  | DFND | 2 | 1073000 | 0 | 0 |
| RWT HLDGS INC | NOTE 5.750%10/0 | 749772AD1 |  | 603061 | 719000 | PRN |  | DFND | 3 | 719000 | 0 | 0 |
| RWT HLDGS INC | NOTE 5.750%10/0 | 749772AD1 |  | 327113 | 390000 | PRN |  | DFND | 4 | 390000 | 0 | 0 |
| RWT HLDGS INC | NOTE 5.750%10/0 | 749772AD1 |  | 266723 | 318000 | PRN |  | SOLE |  | 318000 | 0 | 0 |
| SABRE GLBL INC | NOTE 4.000% 4/1 | 78573NAE2 |  | 619558 | 578000 | PRN |  | DFND | 2 | 578000 | 0 | 0 |
| SABRE GLBL INC | NOTE 4.000% 4/1 | 78573NAE2 |  | 754618 | 704000 | PRN |  | DFND | 3 | 704000 | 0 | 0 |
| SABRE GLBL INC | NOTE 4.000% 4/1 | 78573NAE2 |  | 375165 | 350000 | PRN |  | DFND | 4 | 350000 | 0 | 0 |
| SABRE GLBL INC | NOTE 4.000% 4/1 | 78573NAE2 |  | 126484 | 118000 | PRN |  | SOLE |  | 118000 | 0 | 0 |
| SALESFORCE INC | COM | 79466L302 |  | 311454 | 2349 | SH |  | SOLE |  | 2349 | 0 | 0 |
| SAREPTA THERAPEUTICS INC | DEBT 1.250% 9/1 | 803607AC4 |  | 2770610 | 2404000 | PRN |  | DFND | 1 | 2404000 | 0 | 0 |
| SAREPTA THERAPEUTICS INC | DEBT 1.250% 9/1 | 803607AC4 |  | 19668570 | 17066000 | PRN |  | SOLE |  | 17066000 | 0 | 0 |
| SAREPTA THERAPEUTICS INC | DBCV 1.500%11/1 | 803607AB6 |  | 829392 | 444000 | PRN |  | SOLE |  | 444000 | 0 | 0 |
| SCHLUMBERGER LTD | COM STK | 806857108 |  | 491245 | 9189 | SH |  | SOLE |  | 9189 | 0 | 0 |
| SELECT SECTOR SPDR TR | SBI INT-UTILS | 81369Y886 |  | 1836952 | 26056 | SH |  | SOLE |  | 26056 | 0 | 0 |
| SERVICENOW INC | COM | 81762P102 |  | 213937 | 551 | SH |  | SOLE |  | 551 | 0 | 0 |
| SFL CORPORATION LTD | NOTE 4.875% 5/0 | 824689AG8 |  | 475988 | 486000 | PRN |  | DFND | 2 | 486000 | 0 | 0 |
| SFL CORPORATION LTD | NOTE 4.875% 5/0 | 824689AG8 |  | 628468 | 643000 | PRN |  | DFND | 3 | 643000 | 0 | 0 |
| SFL CORPORATION LTD | NOTE 4.875% 5/0 | 824689AG8 |  | 222324 | 227000 | PRN |  | DFND | 4 | 227000 | 0 | 0 |
| SFL CORPORATION LTD | NOTE 4.875% 5/0 | 824689AG8 |  | 141033 | 144000 | PRN |  | SOLE |  | 144000 | 0 | 0 |
| SHIFT4 PMTS INC | NOTE 12/1 | 82452JAB5 |  | 1218469 | 1230000 | PRN |  | DFND | 1 | 1230000 | 0 | 0 |
| SHIFT4 PMTS INC | NOTE 12/1 | 82452JAB5 |  | 11699287 | 11810000 | PRN |  | SOLE |  | 11810000 | 0 | 0 |
| SNAP INC | NOTE 5/0 | 83304AAF3 |  | 901764 | 1291000 | PRN |  | DFND | 2 | 1291000 | 0 | 0 |
| SNAP INC | NOTE 5/0 | 83304AAF3 |  | 834009 | 1194000 | PRN |  | DFND | 3 | 1194000 | 0 | 0 |
| SNAP INC | NOTE 5/0 | 83304AAF3 |  | 228410 | 327000 | PRN |  | DFND | 4 | 327000 | 0 | 0 |
| SNAP INC | NOTE 0.750% 8/0 | 83304AAB2 |  | 442134 | 522000 | PRN |  | SOLE |  | 522000 | 0 | 0 |
| SNAP INC | NOTE 5/0 | 83304AAF3 |  | 131318 | 188000 | PRN |  | SOLE |  | 188000 | 0 | 0 |
| SOUTHWEST AIRLS CO | NOTE 1.250% 5/0 | 844741BG2 |  | 1243035 | 1035000 | PRN |  | DFND | 1 | 1035000 | 0 | 0 |
| SOUTHWEST AIRLS CO | NOTE 1.250% 5/0 | 844741BG2 |  | 39664226 | 33026000 | PRN |  | SOLE |  | 33026000 | 0 | 0 |
| SPDR SER TR | BBG CONV SEC ETF | 78464A359 |  | 8464829 | 131564 | SH |  | SOLE |  | 131564 | 0 | 0 |
| SPIRIT AIRLS INC | NOTE 1.000% 5/1 | 848577AB8 |  | 430675 | 535000 | PRN |  | DFND | 2 | 535000 | 0 | 0 |
| SPIRIT AIRLS INC | NOTE 1.000% 5/1 | 848577AB8 |  | 525665 | 653000 | PRN |  | DFND | 3 | 653000 | 0 | 0 |
| SPIRIT AIRLS INC | NOTE 1.000% 5/1 | 848577AB8 |  | 260820 | 324000 | PRN |  | DFND | 4 | 324000 | 0 | 0 |
| SPIRIT AIRLS INC | NOTE 1.000% 5/1 | 848577AB8 |  | 111090 | 138000 | PRN |  | SOLE |  | 138000 | 0 | 0 |
| SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 |  | 2236063 | 2375000 | PRN |  | DFND | 1 | 2375000 | 0 | 0 |
| SPLUNK INC | NOTE 1.125% 6/1 | 848637AF1 |  | 926492 | 1098000 | PRN |  | DFND | 2 | 1098000 | 0 | 0 |
| SPLUNK INC | NOTE 1.125% 6/1 | 848637AF1 |  | 799922 | 948000 | PRN |  | DFND | 3 | 948000 | 0 | 0 |
| SPLUNK INC | NOTE 1.125% 6/1 | 848637AF1 |  | 299549 | 355000 | PRN |  | DFND | 4 | 355000 | 0 | 0 |
| SPLUNK INC | NOTE 1.125% 6/1 | 848637AF1 |  | 977964 | 1159000 | PRN |  | SOLE |  | 1159000 | 0 | 0 |
| SPLUNK INC | NOTE 1.125% 9/1 | 848637AD6 |  | 17758581 | 18862000 | PRN |  | SOLE |  | 18862000 | 0 | 0 |
| SPOTIFY USA INC | NOTE 3/1 | 84921RAB6 |  | 1283975 | 1595000 | PRN |  | SOLE |  | 1595000 | 0 | 0 |
| SSR MNG INC | NOTE 2.500% 4/0 | 784730AB9 |  | 739785 | 662000 | PRN |  | DFND | 1 | 662000 | 0 | 0 |
| SSR MNG INC | NOTE 2.500% 4/0 | 784730AB9 |  | 7011205 | 6274000 | PRN |  | SOLE |  | 6274000 | 0 | 0 |
| STARWOOD PPTY TR INC | NOTE 4.375% 4/0 | 85571BAH8 |  | 636879 | 657000 | PRN |  | DFND | 2 | 657000 | 0 | 0 |
| STARWOOD PPTY TR INC | NOTE 4.375% 4/0 | 85571BAH8 |  | 506014 | 522000 | PRN |  | DFND | 3 | 522000 | 0 | 0 |
| STARWOOD PPTY TR INC | NOTE 4.375% 4/0 | 85571BAH8 |  | 236528 | 244000 | PRN |  | DFND | 4 | 244000 | 0 | 0 |
| STARWOOD PPTY TR INC | NOTE 4.375% 4/0 | 85571BAH8 |  | 74642 | 77000 | PRN |  | SOLE |  | 77000 | 0 | 0 |
| STRIDE INC | NOTE 1.125% 9/0 | 86333MAA6 |  | 993019 | 1115000 | PRN |  | DFND | 2 | 1115000 | 0 | 0 |
| STRIDE INC | NOTE 1.125% 9/0 | 86333MAA6 |  | 765916 | 860000 | PRN |  | DFND | 1 | 860000 | 0 | 0 |
| STRIDE INC | NOTE 1.125% 9/0 | 86333MAA6 |  | 1098110 | 1233000 | PRN |  | DFND | 3 | 1233000 | 0 | 0 |
| STRIDE INC | NOTE 1.125% 9/0 | 86333MAA6 |  | 407004 | 457000 | PRN |  | DFND | 4 | 457000 | 0 | 0 |
| STRIDE INC | NOTE 1.125% 9/0 | 86333MAA6 |  | 4951738 | 5560000 | PRN |  | SOLE |  | 5560000 | 0 | 0 |
| SUMMIT HOTEL PPTYS | NOTE 1.500% 2/1 | 866082AA8 |  | 1053836 | 1234000 | PRN |  | DFND | 2 | 1234000 | 0 | 0 |
| SUMMIT HOTEL PPTYS | NOTE 1.500% 2/1 | 866082AA8 |  | 636230 | 745000 | PRN |  | DFND | 1 | 745000 | 0 | 0 |
| SUMMIT HOTEL PPTYS | NOTE 1.500% 2/1 | 866082AA8 |  | 830942 | 973000 | PRN |  | DFND | 3 | 973000 | 0 | 0 |
| SUMMIT HOTEL PPTYS | NOTE 1.500% 2/1 | 866082AA8 |  | 301462 | 353000 | PRN |  | DFND | 4 | 353000 | 0 | 0 |
| SUMMIT HOTEL PPTYS | NOTE 1.500% 2/1 | 866082AA8 |  | 6203456 | 7264000 | PRN |  | SOLE |  | 7264000 | 0 | 0 |
| SUNNOVA ENERGY INTL INC. | NOTE 0.250%12/0 | 86745KAF1 |  | 794385 | 1027000 | PRN |  | DFND | 2 | 1027000 | 0 | 0 |
| SUNNOVA ENERGY INTL INC. | NOTE 0.250%12/0 | 86745KAF1 |  | 680680 | 880000 | PRN |  | DFND | 3 | 880000 | 0 | 0 |
| SUNNOVA ENERGY INTL INC. | NOTE 0.250%12/0 | 86745KAF1 |  | 364319 | 471000 | PRN |  | DFND | 4 | 471000 | 0 | 0 |
| SUNNOVA ENERGY INTL INC. | NOTE 0.250%12/0 | 86745KAF1 |  | 94368 | 122000 | PRN |  | SOLE |  | 122000 | 0 | 0 |
| TEMPUR SEALY INTL INC | COM | 88023U101 |  | 274160 | 7986 | SH |  | SOLE |  | 7986 | 0 | 0 |
| TESLA INC | COM | 88160R101 |  | 433594 | 3520 | SH |  | SOLE |  | 3520 | 0 | 0 |
| THE BEAUTY HEALTH COMPANY | COM CL A | 88331L108 |  | 112205 | 12330 | SH |  | SOLE |  | 12330 | 0 | 0 |
| THERMO FISHER SCIENTIFIC INC | COM | 883556102 |  | 480752 | 873 | SH |  | SOLE |  | 873 | 0 | 0 |
| TOPGOLF CALLAWAY BRANDS CORP | NOTE 2.750% 5/0 | 131193AE4 |  | 654214 | 503000 | PRN |  | DFND | 2 | 503000 | 0 | 0 |
| TOPGOLF CALLAWAY BRANDS CORP | NOTE 2.750% 5/0 | 131193AE4 |  | 743958 | 572000 | PRN |  | DFND | 3 | 572000 | 0 | 0 |
| TOPGOLF CALLAWAY BRANDS CORP | NOTE 2.750% 5/0 | 131193AE4 |  | 374580 | 288000 | PRN |  | DFND | 4 | 288000 | 0 | 0 |
| TOPGOLF CALLAWAY BRANDS CORP | NOTE 2.750% 5/0 | 131193AE4 |  | 113155 | 87000 | PRN |  | SOLE |  | 87000 | 0 | 0 |
| TRANSOCEAN INC | DEB 4.000%12/1 | 893830BT5 |  | 981179 | 815000 | PRN |  | DFND | 1 | 815000 | 0 | 0 |
| TRANSOCEAN INC | DEB 4.000%12/1 | 893830BT5 |  | 7540028 | 6263000 | PRN |  | SOLE |  | 6263000 | 0 | 0 |
| TWO HARBORS INVENTMENT CORPO | NOTE 6.250% 1/1 | 90187BAB7 |  | 1444441 | 1693000 | PRN |  | DFND | 2 | 1693000 | 0 | 0 |
| TWO HARBORS INVENTMENT CORPO | NOTE 6.250% 1/1 | 90187BAB7 |  | 1460651 | 1712000 | PRN |  | DFND | 3 | 1712000 | 0 | 0 |
| TWO HARBORS INVENTMENT CORPO | NOTE 6.250% 1/1 | 90187BAB7 |  | 688519 | 807000 | PRN |  | DFND | 4 | 807000 | 0 | 0 |
| TWO HARBORS INVENTMENT CORPO | NOTE 6.250% 1/1 | 90187BAB7 |  | 245717 | 288000 | PRN |  | SOLE |  | 288000 | 0 | 0 |
| TYLER TEX INDPT SCH DIST | NOTE 0.250% 3/1 | 902252AB1 |  | 659590 | 710000 | PRN |  | DFND | 1 | 710000 | 0 | 0 |
| TYLER TEX INDPT SCH DIST | NOTE 0.250% 3/1 | 902252AB1 |  | 6994441 | 7529000 | PRN |  | SOLE |  | 7529000 | 0 | 0 |
| UBER TECHNOLOGIES INC | NOTE 12/1 | 90353TAJ9 |  | 1722414 | 2045000 | PRN |  | DFND | 1 | 2045000 | 0 | 0 |
| UBER TECHNOLOGIES INC | NOTE 12/1 | 90353TAJ9 |  | 13379236 | 15885000 | PRN |  | SOLE |  | 15885000 | 0 | 0 |
| UNION PAC CORP | COM | 907818108 |  | 564265 | 2725 | SH |  | SOLE |  | 2725 | 0 | 0 |
| UNITED PARCEL SERVICE INC | CL B | 911312106 |  | 229297 | 1319 | SH |  | SOLE |  | 1319 | 0 | 0 |
| UNITEDHEALTH GROUP INC | COM | 91324P102 |  | 1173289 | 2213 | SH |  | SOLE |  | 2213 | 0 | 0 |
| UPSTART HLDGS INC | NOTE 0.250% 8/1 | 91680MAB3 |  | 1081500 | 2060000 | PRN |  | DFND | 2 | 2060000 | 0 | 0 |
| UPSTART HLDGS INC | NOTE 0.250% 8/1 | 91680MAB3 |  | 916125 | 1745000 | PRN |  | DFND | 3 | 1745000 | 0 | 0 |
| UPSTART HLDGS INC | NOTE 0.250% 8/1 | 91680MAB3 |  | 364875 | 695000 | PRN |  | DFND | 4 | 695000 | 0 | 0 |
| UPWORK INC | NOTE 0.250% 8/1 | 91688FAB0 |  | 1123289 | 1498000 | PRN |  | DFND | 2 | 1498000 | 0 | 0 |
| UPWORK INC | NOTE 0.250% 8/1 | 91688FAB0 |  | 1229769 | 1640000 | PRN |  | DFND | 3 | 1640000 | 0 | 0 |
| UPWORK INC | NOTE 0.250% 8/1 | 91688FAB0 |  | 466412 | 622000 | PRN |  | DFND | 4 | 622000 | 0 | 0 |
| UPWORK INC | NOTE 0.250% 8/1 | 91688FAB0 |  | 179966 | 240000 | PRN |  | SOLE |  | 240000 | 0 | 0 |
| VAIL RESORTS INC | NOTE 1/0 | 91879QAN9 |  | 997063 | 1075000 | PRN |  | DFND | 1 | 1075000 | 0 | 0 |
| VAIL RESORTS INC | NOTE 1/0 | 91879QAN9 |  | 6970175 | 7515000 | PRN |  | SOLE |  | 7515000 | 0 | 0 |
| VALERO ENERGY CORP | COM | 91913Y100 |  | 287846 | 2269 | SH |  | SOLE |  | 2269 | 0 | 0 |
| VANGUARD SCOTTSDALE FDS | SHRT TRM CORP BD | 92206C409 |  | 4608246 | 61288 | SH |  | SOLE |  | 61288 | 0 | 0 |
| VANGUARD STAR FDS | VG TL INTL STK F | 921909768 |  | 25361163 | 490355 | SH |  | SOLE |  | 490355 | 0 | 0 |
| VERINT SYSTEMS INC | NOTE 0.250% 4/1 | 92343XAC4 |  | 1012680 | 1164000 | PRN |  | DFND | 2 | 1164000 | 0 | 0 |
| VERINT SYSTEMS INC | NOTE 0.250% 4/1 | 92343XAC4 |  | 778650 | 895000 | PRN |  | DFND | 1 | 895000 | 0 | 0 |
| VERINT SYSTEMS INC | NOTE 0.250% 4/1 | 92343XAC4 |  | 1157100 | 1330000 | PRN |  | DFND | 3 | 1330000 | 0 | 0 |
| VERINT SYSTEMS INC | NOTE 0.250% 4/1 | 92343XAC4 |  | 410640 | 472000 | PRN |  | DFND | 4 | 472000 | 0 | 0 |
| VERINT SYSTEMS INC | NOTE 0.250% 4/1 | 92343XAC4 |  | 8840940 | 10162000 | PRN |  | SOLE |  | 10162000 | 0 | 0 |
| VERIZON COMMUNICATIONS INC | COM | 92343V104 |  | 435804 | 11061 | SH |  | SOLE |  | 11061 | 0 | 0 |
| VIAVI SOLUTIONS INC | NOTE 1.000% 3/0 | 925550AB1 |  | 386540 | 385000 | PRN |  | SOLE |  | 385000 | 0 | 0 |
| VISA INC | COM CL A | 92826C839 |  | 724874 | 3489 | SH |  | SOLE |  | 3489 | 0 | 0 |
| VISHAY INTERTECHNOLOGY INC | NOTE 2.250% 6/1 | 928298AP3 |  | 812616 | 842000 | PRN |  | DFND | 1 | 842000 | 0 | 0 |
| VISHAY INTERTECHNOLOGY INC | NOTE 2.250% 6/1 | 928298AP3 |  | 6998923 | 7252000 | PRN |  | SOLE |  | 7252000 | 0 | 0 |
| WALMART INC | COM | 931142103 |  | 333063 | 2349 | SH |  | SOLE |  | 2349 | 0 | 0 |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 |  | 2209951 | 1865 | SH |  | DFND | 1 | 1865 | 0 | 0 |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 |  | 25429249 | 21460 | SH |  | SOLE |  | 21460 | 0 | 0 |
| WELLS FARGO CO NEW | COM | 949746101 |  | 425453 | 10304 | SH |  | SOLE |  | 10304 | 0 | 0 |
| WESTERN DIGITAL CORP. | NOTE 1.500% 2/0 | 958102AP0 |  | 728663 | 765000 | PRN |  | DFND | 2 | 765000 | 0 | 0 |
| WESTERN DIGITAL CORP. | NOTE 1.500% 2/0 | 958102AP0 |  | 580073 | 609000 | PRN |  | DFND | 3 | 609000 | 0 | 0 |
| WESTERN DIGITAL CORP. | NOTE 1.500% 2/0 | 958102AP0 |  | 272415 | 286000 | PRN |  | DFND | 4 | 286000 | 0 | 0 |
| WESTERN DIGITAL CORP. | NOTE 1.500% 2/0 | 958102AP0 |  | 14346568 | 15062000 | PRN |  | SOLE |  | 15062000 | 0 | 0 |
| WINNEBAGO INDS INC | NOTE 1.500% 4/0 | 974637AB6 |  | 446768 | 426000 | PRN |  | DFND | 2 | 426000 | 0 | 0 |
| WINNEBAGO INDS INC | NOTE 1.500% 4/0 | 974637AB6 |  | 500254 | 477000 | PRN |  | DFND | 3 | 477000 | 0 | 0 |
| WINNEBAGO INDS INC | NOTE 1.500% 4/0 | 974637AB6 |  | 219189 | 209000 | PRN |  | DFND | 4 | 209000 | 0 | 0 |
| WINNEBAGO INDS INC | NOTE 1.500% 4/0 | 974637AB6 |  | 144728 | 138000 | PRN |  | SOLE |  | 138000 | 0 | 0 |
| WISDOMTREE INC | NOTE 3.250% 6/1 | 97717PAD6 |  | 163814 | 177000 | PRN |  | DFND | 2 | 177000 | 0 | 0 |
| WISDOMTREE INC | NOTE 4.250% 6/1 | 97717PAB0 |  | 728199 | 701000 | PRN |  | DFND | 2 | 701000 | 0 | 0 |
| WISDOMTREE INC | NOTE 3.250% 6/1 | 97717PAD6 |  | 202685 | 219000 | PRN |  | DFND | 3 | 219000 | 0 | 0 |
| WISDOMTREE INC | NOTE 4.250% 6/1 | 97717PAB0 |  | 932842 | 898000 | PRN |  | DFND | 3 | 898000 | 0 | 0 |
| WISDOMTREE INC | NOTE 4.250% 6/1 | 97717PAB0 |  | 207760 | 200000 | PRN |  | DFND | 4 | 200000 | 0 | 0 |
| WISDOMTREE INC | NOTE 3.250% 6/1 | 97717PAD6 |  | 96252 | 104000 | PRN |  | DFND | 4 | 104000 | 0 | 0 |
| WISDOMTREE INC | NOTE 4.250% 6/1 | 97717PAB0 |  | 208799 | 201000 | PRN |  | SOLE |  | 201000 | 0 | 0 |
| WOLFSPEED INC | NOTE 1.750% 5/0 | 225447AD3 |  | 372711 | 232000 | PRN |  | SOLE |  | 232000 | 0 | 0 |
| WORKIVA INC | NOTE 1.125% 8/1 | 98139AAB1 |  | 660888 | 536000 | PRN |  | DFND | 2 | 536000 | 0 | 0 |
| WORKIVA INC | NOTE 1.125% 8/1 | 98139AAB1 |  | 668286 | 542000 | PRN |  | DFND | 3 | 542000 | 0 | 0 |
| WORKIVA INC | NOTE 1.125% 8/1 | 98139AAB1 |  | 371133 | 301000 | PRN |  | DFND | 4 | 301000 | 0 | 0 |
| WORKIVA INC | NOTE 1.125% 8/1 | 98139AAB1 |  | 149193 | 121000 | PRN |  | SOLE |  | 121000 | 0 | 0 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 507834 | 534000 | PRN |  | DFND | 2 | 534000 | 0 | 0 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 555384 | 584000 | PRN |  | DFND | 3 | 584000 | 0 | 0 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 217779 | 229000 | PRN |  | DFND | 4 | 229000 | 0 | 0 |
| ZILLOW GROUP INC | NOTE 2.750% 5/1 | 98954MAH4 |  | 776016 | 816000 | PRN |  | SOLE |  | 816000 | 0 | 0 |
| ZSCALER INC | NOTE 0.125% 7/0 | 98980GAB8 |  | 1076250 | 1025000 | PRN |  | DFND | 1 | 1025000 | 0 | 0 |
| ZSCALER INC | NOTE 0.125% 7/0 | 98980GAB8 |  | 6835500 | 6510000 | PRN |  | SOLE |  | 6510000 | 0 | 0 |

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