The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete. | |||||||||||||||||
|
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F INFORMATION TABLE |
|
||||||||||||||||
| COLUMN 1 | COLUMN 2 | COLUMN 3 | COLUMN 4 | COLUMN 5 | COLUMN 6 | COLUMN 7 | COLUMN 8 | ||||
| VALUE | SHRS OR | SH/ | PUT/ | INVESTMENT | OTHER | VOTING AUTHORITY | |||||
| NAME OF ISSUER | TITLE OF CLASS | CUSIP | (x$1000) | PRN AMT | PRN | CALL | DISCRETION | MANAGER | SOLE | SHARED | NONE |
| AAR CORP | CV SR UNSEC NT | 000361AM7 | 14,934 | 15,000,000 | PRN | DFND | 1,2,3,4 | 15,000,000 | 0 | 0 | |
| ACCURAY INC | CV SR UNSEC NT PNC | 004397AB1 | 6,845 | 7,140,000 | PRN | DFND | 1,2,3,4 | 7,140,000 | 0 | 0 | |
| ADVANCED MICRO DEVICES | CV SR UNSEC NT | 007903AL1 | 20,189 | 19,667,000 | PRN | DFND | 1,2,3,4 | 19,667,000 | 0 | 0 | |
| AFFILIATED MANAGERS GROUP | CV SR UNSEC NT | 008252AL2 | 919 | 712,000 | PRN | DFND | 1,2,3,4 | 712,000 | 0 | 0 | |
| AFFYMETRIX INC | CV SR UNSEC NT PNC | 00826TAH1 | 11,663 | 11,650,000 | PRN | DFND | 1,2,3,4 | 11,650,000 | 0 | 0 | |
| ALCATEL-LUCENT USA INC | CV SR UNSEC NT SER A 2.75% MULTI-CPN PNC | 549463AG2 | 13,052 | 13,318,000 | PRN | DFND | 1,2,3,4 | 13,318,000 | 0 | 0 | |
| ALERE INC | 3% CV CUM PFD PERP SER B | 01449J204 | 42,930 | 190,800 | SH | DFND | 1,2,3,4 | 190,800 | 0 | 0 | |
| ALLIANCE HEALTHCARE SERVICES | COMMON STOCK | 018606301 | 74,392 | 4,756,490 | SH | DFND | 1,2,3,4 | 4,756,490 | 0 | 0 | |
| ALLIANCE ONE INTL INC | CV SR SUB NT | 018772AQ6 | 9,006 | 8,876,000 | PRN | DFND | 1,2,3,4 | 8,876,000 | 0 | 0 | |
| ALPHA NATURAL RESOURCES | CV SR UNSEC NT | 02076XAE2 | 10,130 | 11,750,000 | PRN | DFND | 1,2,3,4 | 11,750,000 | 0 | 0 | |
| ALPHA NATURAL RESOURCES | CV SR UNSEC NT | 02076XAA0 | 1,507 | 1,640,000 | PRN | DFND | 1,2,3,4 | 1,640,000 | 0 | 0 | |
| AMERICAN INTERNATIONAL GROUP | COMMON STOCK | 026874784 | 28,832 | 645,000 | SH | DFND | 1,2,3,4 | 645,000 | 0 | 0 | |
| AMTRUST FINANCIAL SERVICES INC | CV SR UNSEC NT | 032359AC5 | 10,027 | 7,142,000 | PRN | DFND | 1,2,3,4 | 7,142,000 | 0 | 0 | |
| ANNALY CAPITAL MGMT | CV SR UNSEC NT | 035710AB8 | 19,119 | 18,916,000 | PRN | DFND | 1,2,3,4 | 18,916,000 | 0 | 0 | |
| APOLLO GLOBAL MANAGEMENT - A | COMMON STOCK | 037612306 | 30,125 | 1,250,000 | SH | DFND | 1,2,3,4 | 1,250,000 | 0 | 0 | |
| ARCELORMITTAL | CV SR UNSEC NT | 03938LAK0 | 14,940 | 14,500,000 | PRN | DFND | 1,2,3,4 | 14,500,000 | 0 | 0 | |
| ARCELORMITTAL | MAND 6% CV SR SUB NT | L0302D178 | 35,288 | 1,880,000 | PRN | DFND | 1,2,3,4 | 1,880,000 | 0 | 0 | |
| ARES CAPITAL CORP | CV SR UNSEC NT | 04010LAG8 | 6,637 | 6,250,000 | PRN | DFND | 1,2,3,4 | 6,250,000 | 0 | 0 | |
| AV HOMES INC | CV SR UNSEC NT | 053494AG5 | 9,277 | 8,835,000 | PRN | DFND | 1,2,3,4 | 8,835,000 | 0 | 0 | |
| BALTIC TRADING LTD | COMMON STOCK | Y0553W103 | 4,834 | 1,303,000 | SH | DFND | 1,2,3,4 | 1,303,000 | 0 | 0 | |
| BGC PARTNERS INC | CV SR UNSEC NT | 05541TAD3 | 18,956 | 18,676,000 | PRN | DFND | 1,2,3,4 | 18,676,000 | 0 | 0 | |
| BOTTOMLINE TECHNOLOGIES | CV SR UNSEC NT | 101388AA4 | 21,255 | 19,250,000 | PRN | DFND | 1,2,3,4 | 19,250,000 | 0 | 0 | |
| BPZ RESOURCES INC | CV SR UNSEC NT PNC | 055639AB4 | 28,151 | 34,665,000 | PRN | DFND | 1,2,3,4 | 34,665,000 | 0 | 0 | |
| BRISTOW GROUP INC | CV SR UNSEC NT | 110394AC7 | 13,491 | 11,545,000 | PRN | DFND | 1,2,3,4 | 11,545,000 | 0 | 0 | |
| BROOKDALE SENIOR LIVING | CV SR UNSEC NT | 112463AA2 | 86,184 | 72,975,000 | PRN | DFND | 1,2,3,4 | 72,975,000 | 0 | 0 | |
| CADENCE DESIGN SYS INC | CV SR UNSEC NT SER-B | 127387AF5 | 8,014 | 8,000,000 | PRN | DFND | 1,2,3,4 | 8,000,000 | 0 | 0 | |
| CAESARS ENTERTAINMENT CORP | COMMON STOCK | 127686103 | 28,457 | 2,077,157 | SH | DFND | 1,2,3,4 | 2,077,157 | 0 | 0 | |
| CEMEX SAB DE CV | CV SUB NT | 151290AV5 | 86,601 | 75,077,000 | PRN | DFND | 1,2,3,4 | 75,077,000 | 0 | 0 | |
| Cemex SA-Sponsored ADR | Cemex SA-Sponsored ADR | 151290889 | 1,175 | 111,084 | SH | DFND | 1,2,3,4 | 111,084 | 0 | 0 | |
| CENTRAL EURO MEDIA ENTER | CV SEC NT | 153443AH9 | 8,386 | 8,695,000 | PRN | DFND | 1,2,3,4 | 8,695,000 | 0 | 0 | |
| CHARTER COMMUNICATION-A | COMMON STOCK | 16117M305 | 244,430 | 1,973,595 | SH | DFND | 1,2,3,4 | 1,973,595 | 0 | 0 | |
| CHESAPEAKE ENERGY CORP | CV SR UNSEC NT CPDI | 165167BZ9 | 13,264 | 14,000,000 | PRN | DFND | 1,2,3,4 | 14,000,000 | 0 | 0 | |
| CHESAPEAKE ENERGY CORP | CV SR UNSEC NT CPDI | 165167BW6 | 3,992 | 4,000,000 | PRN | DFND | 1,2,3,4 | 4,000,000 | 0 | 0 | |
| CHIQUITA BRANDS INTL | CV SR UNSEC NT PNC | 170032AT3 | 17,737 | 18,500,000 | PRN | DFND | 1,2,3,4 | 18,500,000 | 0 | 0 | |
| Cia Brasileira de Distribuicao Grupo Pao | Cia Brasileira de Distribuicao Grupo Pao | 20440T201 | 6,534 | 143,739 | SH | DFND | 1,2,3,4 | 143,739 | 0 | 0 | |
| COBALT INTL ENERGY INC | CV SR UNSEC NT | 19075FAA4 | 155,532 | 146,500,000 | PRN | DFND | 1,2,3,4 | 99,999,999 | 0 | 0 | |
| COLONY FINANCIAL INC | CV SR UNSEC NT REIT PNC | 19624RAA4 | 33,894 | 33,520,000 | PRN | DFND | 1,2,3,4 | 33,520,000 | 0 | 0 | |
| COMMONWEALTH REIT | 6.5% CV PERP PFD SER-D REIT | 203233408 | 13,526 | 586,829 | SH | DFND | 1,2,3,4 | 586,829 | 0 | 0 | |
| COMPANHIA DE BEBIDAS SPON ADR PFD | COMPANHIA DE BEBIDAS SPON ADR PFD | 20441W203 | 1,370 | 36,688 | SH | DFND | 1,2,3,4 | 36,688 | 0 | 0 | |
| COMPANIA DE MINAS BUEN SPON ADR SER B | COMPANIA DE MINAS BUEN SPON ADR SER B | 204448104 | 3,710 | 251,327 | SH | DFND | 1,2,3,4 | 251,327 | 0 | 0 | |
| CONSTELLIUM NV- CLASS A | COMMON STOCK | N22035104 | 5,347 | 331,082 | SH | DFND | 1,2,3,4 | 331,082 | 0 | 0 | |
| CRIMSON EXPLORATION INC | COMMON STOCK | 22662K207 | 43,780 | 15,524,819 | SH | DFND | 1,2,3,4 | 15,524,819 | 0 | 0 | |
| CUMULUS MEDIA INC-CL A | COMMON STOCK | 231082108 | 13,512 | 3,985,983 | SH | DFND | 1,2,3,4 | 3,985,983 | 0 | 0 | |
| DEALERTRACK TECHNOLOGIES | CV SR UNSEC NT | 242309AB8 | 30,122 | 26,000,000 | PRN | DFND | 1,2,3,4 | 26,000,000 | 0 | 0 | |
| DELPHI AUTOMOTIVE PLC | COMMON STOCK | G27823106 | 152,070 | 3,000,000 | SH | DFND | 1,2,3,4 | 3,000,000 | 0 | 0 | |
| DFC GLOBAL CORP | CV SR UNSEC NT | 256664AC7 | 27,104 | 26,190,000 | PRN | DFND | 1,2,3,4 | 26,190,000 | 0 | 0 | |
| DOLLAR FINANCIAL CORP | CV SR UNSEC NT | 256664AB9 | 7,811 | 7,880,000 | PRN | DFND | 1,2,3,4 | 7,880,000 | 0 | 0 | |
| DRYSHIPS INC | CV SR UNSEC NT | 262498AB4 | 16,088 | 18,000,000 | PRN | DFND | 1,2,3,4 | 18,000,000 | 0 | 0 | |
| DYNEGY INC | COMMON STOCK | 26817R108 | 175,912 | 7,800,986 | SH | DFND | 1,2,3,4 | 7,800,986 | 0 | 0 | |
| E*TRADE FINANCIAL CORP | COMMON STOCK | 269246401 | 11,078 | 875,000 | SH | DFND | 1,2,3,4 | 875,000 | 0 | 0 | |
| ENDO HEALTH SOLUTIONS IN | CV SR SUB NT | 29264FAB2 | 4,522 | 3,360,000 | PRN | DFND | 1,2,3,4 | 3,360,000 | 0 | 0 | |
| EPR PROPERTIES | 5.75% CV PERP PFD SER-C REIT PNC | 26884U208 | 20,375 | 887,821 | SH | DFND | 1,2,3,4 | 887,821 | 0 | 0 | |
| EPR PROPERTIES | 9% CV PERP PFD SER-E REIT PNC | 26884U307 | 3,454 | 107,500 | SH | DFND | 1,2,3,4 | 107,500 | 0 | 0 | |
| EXCO RESOURCES INC | COMMON STOCK | 269279402 | 280,991 | 36,778,946 | SH | DFND | 1,2,3,4 | 36,778,946 | 0 | 0 | |
| FIRST BANCORP PUERTO RICO | COMMON STOCK | 318672706 | 358,846 | 50,684,485 | SH | DFND | 1,2,3,4 | 50,684,485 | 0 | 0 | |
| FIVE STAR QUALITY CARE INC | CV SR UNSECD NT | 33832DAB2 | 5,322 | 5,300,000 | PRN | DFND | 1,2,3,4 | 5,300,000 | 0 | 0 | |
| FOREST CITY ENTERPRISES | CV SR UNSEC NT PNC | 345550AP2 | 73,345 | 65,171,000 | PRN | DFND | 1,2,3,4 | 65,171,000 | 0 | 0 | |
| FURNITURE BRANDS INTL INC | COMMON STOCK | 360921209 | 1,486 | 371,428 | SH | DFND | 1,2,3,4 | 371,428 | 0 | 0 | |
| GENCO SHIPPING & TRADING LTD | COMMON STOCK | Y2685T107 | 2,465 | 1,512,532 | SH | DFND | 1,2,3,4 | 1,512,532 | 0 | 0 | |
| GENERAL CABLE CORP | CV SR UNSEC NT | 369300AD0 | 11,511 | 11,495,000 | PRN | DFND | 1,2,3,4 | 11,495,000 | 0 | 0 | |
| GENESEE & WYOMING INC | 5% CV MAND PFD EQUITY UNITS | 371559204 | 51,253 | 427,500 | SH | DFND | 1,2,3,4 | 427,500 | 0 | 0 | |
| GETTY REALTY CORP | COMMON STOCK REIT | 374297109 | 29,369 | 1,422,221 | SH | DFND | 1,2,3,4 | 1,422,221 | 0 | 0 | |
| GLOBALSTAR INC | CV SR UNSEC NT (5.75% CASH/ 2.25% PIK) | 378973AD3 | 2,027 | 2,116,000 | PRN | DFND | 1,2,3,4 | 2,116,000 | 0 | 0 | |
| GOLDCORP INC | CV SR UNSEC NT | 380956AB8 | 7,059 | 6,968,000 | PRN | DFND | 1,2,3,4 | 6,968,000 | 0 | 0 | |
| Goldcorp Inc | Goldcorp Inc | 380956409 | 3,423 | 138,410 | SH | DFND | 1,2,3,4 | 138,410 | 0 | 0 | |
| GOLDEN STAR RESOURCES | CV SR UNSEC NT | 38119TAE4 | 3,348 | 5,000,000 | PRN | DFND | 1,2,3,4 | 5,000,000 | 0 | 0 | |
| GOODRICH PETROLEUM CORP | CV SR UNSEC NT | 382410AC2 | 12,124 | 12,104,000 | PRN | DFND | 1,2,3,4 | 12,104,000 | 0 | 0 | |
| GREEN PLAINS RENEWABLE ENERGY | CV SR UNSEC NT PNC | 393222AB0 | 2,302 | 2,000,000 | PRN | DFND | 1,2,3,4 | 2,000,000 | 0 | 0 | |
| GREENBRIER COS INC | CV SR UNSEC NT | 393657AH4 | 11,647 | 11,250,000 | PRN | DFND | 1,2,3,4 | 11,250,000 | 0 | 0 | |
| GROUP 1 AUTOMOTIVE INC | CV SR UNSEC NT (PNC) | 398905AE9 | 45,890 | 38,202,000 | PRN | DFND | 1,2,3,4 | 38,202,000 | 0 | 0 | |
| Grupo Financiero Santander Mex | Grupo Financiero Santander Mex | 40053C105 | 4,274 | 300,800 | SH | DFND | 1,2,3,4 | 300,800 | 0 | 0 | |
| GRUPO TELEVISA SA DE SPN ADR REPORD | GRUPO TELEVISA SA DE SPN ADR REPORD | 40049J206 | 1,406 | 56,600 | SH | DFND | 1,2,3,4 | 56,600 | 0 | 0 | |
| GT ADV TECHNOLOGIES INC | CV SR UNSEC NT | 36191UAA4 | 18,895 | 22,000,000 | PRN | DFND | 1,2,3,4 | 22,000,000 | 0 | 0 | |
| HANWHA SOLARONE CO LTD | CV SR UNSEC NT | 83415UAB4 | 16,414 | 19,310,000 | PRN | DFND | 1,2,3,4 | 19,310,000 | 0 | 0 | |
| HAWAIIAN HOLDINGS INC | CV SR UNSEC NT | 419879AD3 | 3,424 | 3,117,000 | PRN | DFND | 1,2,3,4 | 3,117,000 | 0 | 0 | |
| HDFC Bank Ltd. ADR | HDFC Bank Ltd. ADR | 40415F101 | 1,532 | 42,267 | SH | DFND | 1,2,3,4 | 42,267 | 0 | 0 | |
| HEADWATERS INC | CV SR SUB NT | 42210PAR3 | 7,671 | 6,846,000 | PRN | DFND | 1,2,3,4 | 6,846,000 | 0 | 0 | |
| HEARTWARE INTERNATIONAL | CV SR UNSEC NT | 422368AA8 | 38,286 | 30,625,000 | PRN | DFND | 1,2,3,4 | 30,625,000 | 0 | 0 | |
| HELIX ENERGY SOLUTIONS | CV SR UNSEC NT CPDI | 42330PAG2 | 52,806 | 41,392,000 | PRN | DFND | 1,2,3,4 | 41,392,000 | 0 | 0 | |
| HOLOGIC INC | CV SR UNSEC NT 2% MULTI-CPN CPDI | 436440AC5 | 46,358 | 46,575,000 | PRN | DFND | 1,2,3,4 | 46,575,000 | 0 | 0 | |
| HOLOGIC INC | CV SR UNSEC NT SER-2010 CPDI | 436440AB7 | 29,379 | 26,179,000 | PRN | DFND | 1,2,3,4 | 26,179,000 | 0 | 0 | |
| HOLOGIC INC | CV SR UNSEC NT MULTI-CPN | 436440AG6 | 9,709 | 9,404,000 | PRN | DFND | 1,2,3,4 | 9,404,000 | 0 | 0 | |
| HOME INNS HTL MNGMT INC | CV SR UNSEC NT | 43713WAB3 | 11,083 | 12,474,000 | PRN | DFND | 1,2,3,4 | 12,474,000 | 0 | 0 | |
| HUTCHINSON TECHNOLOGY | CV SR UNSEC NT | 448407AG1 | 3,970 | 4,000,000 | PRN | DFND | 1,2,3,4 | 4,000,000 | 0 | 0 | |
| ICAHN ENTERPRISES LP | CV SR UNSEC FRN PNC | 451102AB3 | 5,023 | 5,000,000 | PRN | DFND | 1,2,3,4 | 5,000,000 | 0 | 0 | |
| ICONIX BRAND GROUP INC | CV SR SUB NT | 451055AE7 | 17,460 | 15,305,000 | PRN | DFND | 1,2,3,4 | 15,305,000 | 0 | 0 | |
| INSULET CORPORATION | CV SR UNSEC NT PNC | 45784PAC5 | 20,016 | 15,199,000 | PRN | DFND | 1,2,3,4 | 15,199,000 | 0 | 0 | |
| INTEGRA LIFESCIENCES HLD | CV SR UNSEC NT | 457985AK5 | 5,630 | 5,733,000 | PRN | DFND | 1,2,3,4 | 5,733,000 | 0 | 0 | |
| INTEL CORP | CV JR SUB NT CPDI PNC | 458140AD2 | 50,529 | 46,225,000 | PRN | DFND | 1,2,3,4 | 46,225,000 | 0 | 0 | |
| INTEL CORP | CV JR SUB NT PNC CPDI | 458140AF7 | 42,188 | 33,000,000 | PRN | DFND | 1,2,3,4 | 33,000,000 | 0 | 0 | |
| INTERMUNE INC | CV SR UNSEC NT PNC | 45884XAE3 | 8,306 | 9,992,000 | PRN | DFND | 1,2,3,4 | 9,992,000 | 0 | 0 | |
| INTEROIL CORP | CV SR UNSEC NT PNC | 460951AC0 | 6,176 | 6,400,000 | PRN | DFND | 1,2,3,4 | 6,400,000 | 0 | 0 | |
| Itau Unibanco Holding SA | Itau Unibanco Holding SA | 465562106 | 1,454 | 112,569 | SH | DFND | 1,2,3,4 | 112,569 | 0 | 0 | |
| JAKKS PACIFIC INC | CV SR UNSEC NT | 47012EAD8 | 4,892 | 4,750,000 | PRN | DFND | 1,2,3,4 | 4,750,000 | 0 | 0 | |
| JEFFERIES GROUP LLC | CV SR UNSEC NT PNC | 472319AG7 | 4,527 | 4,236,000 | PRN | DFND | 1,2,3,4 | 4,236,000 | 0 | 0 | |
| JINKOSOLAR HOLDING CO LT | CV SR UNSEC NT 144A | 47759TAA8 | 8,386 | 12,153,000 | PRN | DFND | 1,2,3,4 | 12,153,000 | 0 | 0 | |
| KB HOME | CV SR UNSEC NT | 48666KAS8 | 31,098 | 29,500,000 | PRN | DFND | 1,2,3,4 | 29,500,000 | 0 | 0 | |
| KNIGHT CAPITAL GROUP INC | CV SR SUB NT | 499005AE6 | 14,700 | 14,659,000 | PRN | DFND | 1,2,3,4 | 14,659,000 | 0 | 0 | |
| LAM RESEARCH CORP | CV SR UNSEC NT | 512807AJ7 | 56,230 | 53,200,000 | PRN | DFND | 1,2,3,4 | 53,200,000 | 0 | 0 | |
| LEAP WIRELESS INTL INC | CV SR UNSEC NT | 521863AL4 | 10,516 | 10,386,000 | PRN | DFND | 1,2,3,4 | 10,386,000 | 0 | 0 | |
| LEVEL 3 COMMUNICATIONS INC | COMMON STOCK NEW | 52729N308 | 21,080 | 1,000,000 | SH | DFND | 1,2,3,4 | 1,000,000 | 0 | 0 | |
| MANNKIND CORP | CV SR UNSEC NT | 56400PAA0 | 7,042 | 7,378,000 | PRN | DFND | 1,2,3,4 | 7,378,000 | 0 | 0 | |
| MCMORAN EXPLORATION CO | CV SR UNSEC NT PNC | 582411AM6 | 1,811 | 1,750,000 | PRN | DFND | 1,2,3,4 | 1,750,000 | 0 | 0 | |
| MENTOR GRAPHICS CORP | CV SUB UNSEC NT | 587200AK2 | 53,316 | 43,806,000 | PRN | DFND | 1,2,3,4 | 43,806,000 | 0 | 0 | |
| MERITAGE HOMES CORP | CV SR UNSEC NT | 59001AAR3 | 32,459 | 29,650,000 | PRN | DFND | 1,2,3,4 | 29,650,000 | 0 | 0 | |
| MERITOR INC | CV SR UNSEC STEP CPN NT | 043353AH4 | 16,881 | 18,878,000 | PRN | DFND | 1,2,3,4 | 18,878,000 | 0 | 0 | |
| MGIC INVESTMENT CORP | CV SR UNSEC NT | 552848AE3 | 44,962 | 39,500,000 | PRN | DFND | 1,2,3,4 | 39,500,000 | 0 | 0 | |
| MGIC INVESTMENT CORP | COMMON STOCK | 552848103 | 72,840 | 12,000,000 | SH | DFND | 1,2,3,4 | 12,000,000 | 0 | 0 | |
| MGIC INVESTMENT CORP | CV SR UNSEC NT | 552848AD5 | 11,266 | 10,935,000 | PRN | DFND | 1,2,3,4 | 10,935,000 | 0 | 0 | |
| MGM RESORTS INTL | CV SR UNSEC NT | 55303QAE0 | 102,644 | 91,865,000 | PRN | DFND | 1,2,3,4 | 91,865,000 | 0 | 0 | |
| Mobile Telesystems OJSC | Mobile Telesystems OJSC | 607409109 | 1,075 | 56,753 | SH | DFND | 1,2,3,4 | 56,753 | 0 | 0 | |
| MOLYCORP INC | CV SR UNSEC NT PNC | 608753AF6 | 5,881 | 7,800,000 | PRN | DFND | 1,2,3,4 | 7,800,000 | 0 | 0 | |
| MORGANS HOTEL GROUP CO | CV SR SUB NT | 61748WAB4 | 10,081 | 10,177,000 | PRN | DFND | 1,2,3,4 | 10,177,000 | 0 | 0 | |
| NAVISTAR INTL CORP | CV SR SUB NT | 63934EAL2 | 12,219 | 12,550,000 | PRN | DFND | 1,2,3,4 | 12,550,000 | 0 | 0 | |
| NEWMONT MINING CORP | CV SR UNSEC NT SER-B | 651639AJ5 | 16,497 | 15,400,000 | PRN | DFND | 1,2,3,4 | 15,400,000 | 0 | 0 | |
| NOVAGOLD RESOURCES INC | CV SR UNSEC NT | 66987EAA5 | 6,362 | 6,350,000 | PRN | DFND | 1,2,3,4 | 6,350,000 | 0 | 0 | |
| NRG ENERGY INC | COMMON STOCK | 629377508 | 35,378 | 1,325,000 | SH | DFND | 1,2,3,4 | 1,325,000 | 0 | 0 | |
| NUVASIVE INC | CV SR UNSEC NT | 670704AC9 | 13,343 | 13,500,000 | PRN | DFND | 1,2,3,4 | 13,500,000 | 0 | 0 | |
| NY COMMUNITY CAP TRUST V | 6% CV PFD (BONUSES) PNC | 64944P307 | 7,200 | 150,000 | SH | DFND | 1,2,3,4 | 150,000 | 0 | 0 | |
| OLD REPUBLIC INTL CORP | CV SR UNSEC NT | 680223AH7 | 29,575 | 26,023,000 | PRN | DFND | 1,2,3,4 | 26,023,000 | 0 | 0 | |
| OMNICARE INC | CV SR SUB NT CPDI PNC | 681904AP3 | 91,574 | 73,560,000 | PRN | DFND | 1,2,3,4 | 73,560,000 | 0 | 0 | |
| OMNICARE INC | CV SR UNSEC NT SER-OCR CPDI | 681904AL2 | 10,498 | 10,154,000 | PRN | DFND | 1,2,3,4 | 10,154,000 | 0 | 0 | |
| ON SEMICONDUCTOR CORP | CV SR SUB NT SER-B | 682189AH8 | 68,079 | 58,945,000 | PRN | DFND | 1,2,3,4 | 58,945,000 | 0 | 0 | |
| ORBOTECH LTD | COMMON STOCK | M75253100 | 17,416 | 1,400,000 | SH | DFND | 1,2,3,4 | 1,400,000 | 0 | 0 | |
| PETROLEO BRASILEIRO SA SPONSORED ADR | PETROLEO BRASILEIRO SA SPONSORED ADR | 71654V408 | 8,017 | 597,830 | SH | DFND | 1,2,3,4 | 597,830 | 0 | 0 | |
| PHOTRONICS INC | CV SR UNSEC NT | 719405AH5 | 35,914 | 32,758,000 | PRN | DFND | 1,2,3,4 | 32,758,000 | 0 | 0 | |
| Posco | Posco | 693483109 | 964 | 14,809 | SH | DFND | 1,2,3,4 | 14,809 | 0 | 0 | |
| PREFORMED LINE PRODUCTS CO | COMMON STOCK | 740444104 | 6,975 | 105,181 | SH | DFND | 1,2,3,4 | 105,181 | 0 | 0 | |
| PRICELINE.COM INC | CV SR UNSEC NT | 741503AQ9 | 23,079 | 19,825,000 | PRN | DFND | 1,2,3,4 | 19,825,000 | 0 | 0 | |
| PROSPECT CAPITAL CORP | CV SR UNSEC NT | 74348TAD4 | 11,900 | 11,272,000 | PRN | DFND | 1,2,3,4 | 11,272,000 | 0 | 0 | |
| PROSPECT CAPITAL CORP | CV SR UNSEC NT | 74348TAK8 | 3,112 | 3,000,000 | PRN | DFND | 1,2,3,4 | 3,000,000 | 0 | 0 | |
| PROVIDENCE SERVICE CORP | CV SR SUB NT | 743815AB8 | 14,851 | 13,882,000 | PRN | DFND | 1,2,3,4 | 13,882,000 | 0 | 0 | |
| PULSE ELECTRONICS CORP | COMMON STOCK | 74586W205 | 10,073 | 3,844,659 | SH | DFND | 1,2,3,4 | 3,844,659 | 0 | 0 | |
| RADIAN GROUP INC | CV SR UNSEC NT PNC | 750236AN1 | 24,259 | 18,750,000 | PRN | DFND | 1,2,3,4 | 18,750,000 | 0 | 0 | |
| REDWOOD TRUST INC | CV SR UNSEC NT REIT | 758075AB1 | 41,950 | 42,250,000 | PRN | DFND | 1,2,3,4 | 42,250,000 | 0 | 0 | |
| RF MICRO DEVICES INC | CV SUB NT | 749941AJ9 | 4,050 | 4,000,000 | PRN | DFND | 1,2,3,4 | 4,000,000 | 0 | 0 | |
| RTI INTERNATIONAL METALS | CV SR UNSEC NT | 74973WAB3 | 38,935 | 41,100,000 | PRN | DFND | 1,2,3,4 | 41,100,000 | 0 | 0 | |
| RTI INTERNATIONAL METALS | CV SR UNSEC NT | 74973WAA5 | 38,807 | 35,475,000 | PRN | DFND | 1,2,3,4 | 35,475,000 | 0 | 0 | |
| RYLAND GROUP | CV SR UNSEC NT PNC | 783764AS2 | 19,101 | 21,000,000 | PRN | DFND | 1,2,3,4 | 21,000,000 | 0 | 0 | |
| SAFEWAY INC | COMMON STOCK | 786514208 | 11,830 | 500,000 | SH | DFND | 1,2,3,4 | 500,000 | 0 | 0 | |
| SALIX PHARMACEUTICALS LTD | CV SR UNSEC NT | 795435AE6 | 136,105 | 113,465,000 | PRN | DFND | 1,2,3,4 | 99,999,999 | 0 | 0 | |
| SANDISK CORP | CV SR UNSEC NT | 80004CAD3 | 92,441 | 68,930,000 | PRN | DFND | 1,2,3,4 | 68,930,000 | 0 | 0 | |
| Sociedad Quimica y Minera de Chi | Sociedad Quimica y Minera de Chi | 833635105 | 902 | 22,325 | SH | DFND | 1,2,3,4 | 22,325 | 0 | 0 | |
| STARWOOD PROPERTY TRUST | CV SR UNSEC NT REIT | 85571BAA3 | 20,651 | 20,000,000 | PRN | DFND | 1,2,3,4 | 20,000,000 | 0 | 0 | |
| STERLITE INDUSTRIES LTD | CV SR UNSEC NT PNC | 859737AB4 | 19,021 | 19,586,000 | PRN | DFND | 1,2,3,4 | 19,586,000 | 0 | 0 | |
| STILLWATER MINING COMPANY | CV SR UNSEC NT | 86074QAL6 | 20,271 | 19,432,000 | PRN | DFND | 1,2,3,4 | 19,432,000 | 0 | 0 | |
| STONE ENERGY CORP | CV SR UNSEC NT | 861642AN6 | 16,255 | 17,491,000 | PRN | DFND | 1,2,3,4 | 17,491,000 | 0 | 0 | |
| TAIWAN SEMICONDUCTOR SPONSORED ADR | TAIWAN SEMICONDUCTOR SPONSORED ADR | 874039100 | 1,916 | 104,598 | SH | DFND | 1,2,3,4 | 104,598 | 0 | 0 | |
| TAKE-TWO INTERACTIVE SOFTWARE | CV SR UNSEC NT | 874054AC3 | 33,005 | 29,828,000 | PRN | DFND | 1,2,3,4 | 29,828,000 | 0 | 0 | |
| TAKE-TWO INTERACTIVE SOFTWARE | CV SR UNSEC NT | 874054AD1 | 24,394 | 25,000,000 | PRN | DFND | 1,2,3,4 | 25,000,000 | 0 | 0 | |
| Tata Motors | Tata Motors | 876568502 | 6,441 | 274,800 | SH | DFND | 1,2,3,4 | 274,800 | 0 | 0 | |
| TELEF BRASIL | TELEF BRASIL | 87936R106 | 6,520 | 285,700 | SH | DFND | 1,2,3,4 | 285,700 | 0 | 0 | |
| TESLA MOTORS INC | CV SR UNSEC NT | 88160RAA9 | 111,722 | 98,400,000 | PRN | DFND | 1,2,3,4 | 98,400,000 | 0 | 0 | |
| TITAN MACHINERY INC | CV SR UNSEC NT | 88830RAB7 | 10,157 | 10,784,000 | PRN | DFND | 1,2,3,4 | 10,784,000 | 0 | 0 | |
| TMS INTERNATIONAL CORP-A | COMMON STOCK | 87261Q103 | 20,501 | 1,382,425 | SH | DFND | 1,2,3,4 | 1,382,425 | 0 | 0 | |
| TOWER GROUP INTL LTD | CV SR UNSEC NT | 891777AC8 | 12,920 | 11,949,000 | PRN | DFND | 1,2,3,4 | 11,949,000 | 0 | 0 | |
| TTM TECHNOLOGIES | CV SR UNSEC NT | 87305RAC3 | 16,743 | 16,643,000 | PRN | DFND | 1,2,3,4 | 16,643,000 | 0 | 0 | |
| TURKCELL ILETISIM HIZM SPONSORED ADR | TURKCELL ILETISIM HIZM SPONSORED ADR | 900111204 | 915 | 63,696 | SH | DFND | 1,2,3,4 | 63,696 | 0 | 0 | |
| UNITED TECHNOLOGIES CORP | 7.50% CV MAND PFD EQUITY UNITS | 913017117 | 39,471 | 664,950 | SH | DFND | 1,2,3,4 | 664,950 | 0 | 0 | |
| US STEEL CORP | CV SR UNSEC NT PNC | 912909AH1 | 31,862 | 32,100,000 | PRN | DFND | 1,2,3,4 | 32,100,000 | 0 | 0 | |
| US STEEL CORP | CV SR UNSEC NT | 912909AE8 | 12,345 | 12,000,000 | PRN | DFND | 1,2,3,4 | 12,000,000 | 0 | 0 | |
| Vale S.A. PFD | Vale S.A. PFD | 91912E204 | 10,282 | 845,600 | SH | DFND | 1,2,3,4 | 845,600 | 0 | 0 | |
| VECTOR GROUP LTD | CV SR UNSEC VARIABLE NT CPDI | 92240MAY4 | 25,560 | 21,185,000 | PRN | DFND | 1,2,3,4 | 21,185,000 | 0 | 0 | |
| VISHAY INTERTECHNOLOGY INC | COMMON STOCK | 928298108 | 38,198 | 2,750,000 | SH | DFND | 1,2,3,4 | 2,750,000 | 0 | 0 | |
| WABASH NATIONAL CORP | CV SR UNSEC NT | 929566AH0 | 27,209 | 21,980,000 | PRN | DFND | 1,2,3,4 | 21,980,000 | 0 | 0 | |
| WALTER INVESTMENT MGMT | CV SR SUB NT | 93317WAA0 | 37,139 | 36,505,000 | PRN | DFND | 1,2,3,4 | 36,505,000 | 0 | 0 | |
| WEBMD HEALTH CORP | CV SR UNSEC NT | 94770VAF9 | 16,825 | 18,074,000 | PRN | DFND | 1,2,3,4 | 18,074,000 | 0 | 0 | |
| WSP HOLDINGS LTD-ADR | COMMON STOCK | 92934F203 | 4,353 | 1,408,800 | SH | DFND | 1,2,3,4 | 1,408,800 | 0 | 0 | |
| XPO LOGISTICS INC | CV SR UNSEC NT PNC | 983793AA8 | 28,953 | 23,440,000 | PRN | DFND | 1,2,3,4 | 23,440,000 | 0 | 0 | |
| YRC WORLDWIDE INC | CV SEC 2ND LIEN 10% PIK NT SER-A | 984249AB8 | 10,657 | 10,500,000 | PRN | DFND | 1,2,3,4 | 10,500,000 | 0 | 0 | |