The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete. | |||||||||||||||||
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UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F INFORMATION TABLE |
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| 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 |
| ADVANCED MICRO DEVICES INC | NOTE 2.125% 9/0 | 007903BD8 | 2,403 | 1,600,000 | PRN | SOLE | 1,327,000 | 0 | 273,000 | ||
| ADVANCED MICRO DEVICES INC | NOTE 2.125% 9/0 | 007903BD8 | 21,665 | 14,401,000 | PRN | OTR | 1 | 3,467,000 | 10,934,000 | 0 | |
| AEROJET ROCKETDYNE HLDGS INC | NOTE 2.250%12/1 | 007800AB1 | 705 | 510,000 | PRN | SOLE | 510,000 | 0 | 0 | ||
| AIR LEASE CORP | NOTE 3.875%12/0 | 00912XAK0 | 59,715 | 35,664,000 | PRN | OTR | 1 | 7,456,000 | 28,208,000 | 0 | |
| AIR LEASE CORP | NOTE 3.875%12/0 | 00912XAK0 | 10,016 | 6,000,000 | PRN | SOLE | 4,985,000 | 0 | 1,015,000 | ||
| AKAMAI TECHNOLOGIES INC | DBCV 2/1 | 00971TAG6 | 832 | 825,000 | PRN | SOLE | 825,000 | 0 | 0 | ||
| ALLEGHENY TECHNOLOGIES INC | NOTE 4.750% 7/0 | 01741RAG7 | 788 | 425,000 | PRN | SOLE | 425,000 | 0 | 0 | ||
| ALLERGAN PLC | 5.5% CNV PFD A | G0177J116 | 21,173 | 36,216 | SH | OTR | 1 | 7,900 | 28,316 | 0 | |
| ALLERGAN PLC | 5.5% CNV PFD A | G0177J116 | 2,714 | 4,629 | SH | SOLE | 3,838 | 0 | 791 | ||
| ALZA CORP | SDCV 7/2 | 02261WAB5 | 17,172 | 8,929,000 | PRN | SOLE | 8,929,000 | 0 | 0 | ||
| AMERICAN EAGLE OUTFITTERS NE | COM | 02553E106 | 35,242 | 1,874,584 | SH | OTR | 1 | 95,404 | 1,779,180 | 0 | |
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.000% 8/0 | 02917TAA2 | 3,394 | 3,390,000 | PRN | OTR | 1 | 800,000 | 2,590,000 | 0 | |
| AMERICAN RLTY CAP PPTYS INC | NOTE 3.750%12/1 | 02917TAB0 | 57,850 | 56,233,000 | PRN | OTR | 1 | 12,235,000 | 43,998,000 | 0 | |
| AMERICAN TOWER CORP NEW | DEP PFD CONV SE | 03027X407 | 8,996 | 71,539 | SH | SOLE | 59,517 | 0 | 12,022 | ||
| AMERICAN TOWER CORP NEW | DEP PFD CONV SE | 03027X407 | 40,888 | 324,188 | SH | OTR | 1 | 87,325 | 236,863 | 0 | |
| ANTHEM INC | NOTE 2.750%10/1 | 94973VBG1 | 55,704 | 18,082,000 | PRN | OTR | 1 | 5,910,000 | 12,172,000 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 34,139 | 29,638,000 | PRN | OTR | 1 | 6,069,000 | 23,569,000 | 0 | |
| ATLAS AIR WORLDWIDE HLDGS IN | NOTE 2.250% 6/0 | 049164BH8 | 5,623 | 4,903,000 | PRN | SOLE | 4,085,000 | 0 | 818,000 | ||
| BAKER HUGHES A GE CO | CL A | 05722G100 | 1,625 | 51,357 | SH | OTR | 1 | 0 | 51,357 | 0 | |
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 42,335 | 32,066 | SH | OTR | 1 | 10,958 | 21,108 | 0 | |
| BANK AMER CORP | 7.25%CNV PFD L | 060505682 | 8,593 | 6,515 | SH | SOLE | 5,430 | 0 | 1,085 | ||
| BANK AMER CORP | COM | 060505104 | 19,669 | 666,299 | SH | OTR | 1 | 0 | 666,299 | 0 | |
| BECTON DICKINSON & CO | PFD SHS CONV A | 075887208 | 5,535 | 95,603 | SH | SOLE | 79,416 | 0 | 16,187 | ||
| BECTON DICKINSON & CO | PFD SHS CONV A | 075887208 | 21,807 | 373,281 | SH | OTR | 1 | 101,028 | 272,253 | 0 | |
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.750%10/1 | 09061GAE1 | 5,003 | 4,624,000 | PRN | SOLE | 3,839,000 | 0 | 785,000 | ||
| BIOMARIN PHARMACEUTICAL INC | NOTE 0.750%10/1 | 09061GAE1 | 37,365 | 34,378,000 | PRN | OTR | 1 | 5,575,000 | 28,803,000 | 0 | |
| BIOMARIN PHARMACEUTICAL INC | NOTE 1.500%10/1 | 09061GAF8 | 1,782 | 1,498,000 | PRN | SOLE | 1,498,000 | 0 | 0 | ||
| BLACKHAWK NETWORK HLDGS INC | NOTE 1.500% 1/1 | 09238EAB0 | 27,684 | 27,125,000 | PRN | OTR | 1 | 5,483,000 | 21,642,000 | 0 | |
| BLACKHAWK NETWORK HLDGS INC | NOTE 1.500% 1/1 | 09238EAB0 | 5,009 | 4,926,000 | PRN | SOLE | 4,103,000 | 0 | 823,000 | ||
| BLACKROCK FLA MUN 2020 TERM | COM SHS | 09250M109 | 2,704 | 187,485 | SH | SOLE | 187,485 | 0 | 0 | ||
| BLACKROCK LONG-TERM MUNI ADV | COM | 09250B103 | 982 | 81,807 | SH | SOLE | 81,807 | 0 | 0 | ||
| BLACKROCK MUN 2030 TAR TERM | COM SHS BEN IN | 09257P105 | 3,747 | 167,704 | SH | SOLE | 167,704 | 0 | 0 | ||
| BLACKROCK MUNI INTER DR FD I | COM | 09253X102 | 11,136 | 800,000 | SH | SOLE | 800,000 | 0 | 0 | ||
| BLACKROCK MUNIHLDGS NJ QLTY | COM | 09254X101 | 1,922 | 132,807 | SH | SOLE | 132,807 | 0 | 0 | ||
| BLACKROCK MUNIHLDGS NY QLTY | COM | 09255C106 | 259 | 19,700 | SH | SOLE | 19,700 | 0 | 0 | ||
| BLACKROCK MUNIYLD MICH QLTY | COM | 09254V105 | 6,327 | 451,928 | SH | SOLE | 451,928 | 0 | 0 | ||
| BRISTOW GROUP INC | NOTE 4.500% 6/0 | 110394AF0 | 459 | 415,000 | PRN | SOLE | 415,000 | 0 | 0 | ||
| CAESARS ENTMT CORP | NOTE 5.000%10/0 | 127686AA1 | 2,131 | 1,099,000 | PRN | SOLE | 1,099,000 | 0 | 0 | ||
| CARRIAGE SVCS INC | NOTE 2.750% 3/1 | 143905AM9 | 19,096 | 15,269,000 | PRN | OTR | 1 | 4,065,000 | 11,204,000 | 0 | |
| CHART INDS INC | NOTE 2.000% 8/0 | 16115QAC4 | 3,221 | 3,229,000 | PRN | SOLE | 2,692,000 | 0 | 537,000 | ||
| CHENIERE ENERGY INC | NOTE 4.250% 3/1 | 16411RAG4 | 414 | 580,000 | PRN | SOLE | 580,000 | 0 | 0 | ||
| CIENA CORP | NOTE 3.750%10/1 | 171779AJ0 | 967 | 830,000 | PRN | SOLE | 830,000 | 0 | 0 | ||
| CITRIX SYS INC | NOTE 0.500% 4/1 | 177376AD2 | 27,827 | 21,478,000 | PRN | OTR | 1 | 7,574,000 | 13,904,000 | 0 | |
| CITRIX SYS INC | NOTE 0.500% 4/1 | 177376AD2 | 5,911 | 4,571,000 | PRN | SOLE | 3,808,000 | 0 | 763,000 | ||
| CLEVELAND CLIFFS INC | DBCV 1.500% 1/1 | 185899AA9 | 730 | 665,000 | PRN | SOLE | 665,000 | 0 | 0 | ||
| CLOVIS ONCOLOGY INC | NOTE 2.500% 9/1 | 189464AB6 | 891 | 660,000 | PRN | SOLE | 660,000 | 0 | 0 | ||
| COLONY CAP INC | NOTE 3.875% 1/1 | 19624RAB2 | 789 | 790,000 | PRN | SOLE | 790,000 | 0 | 0 | ||
| COMSTOCK RES INC | NOTE 7.750% 4/0 | 205768AM6 | 22,376 | 24,190,554 | PRN | OTR | 1 | 5,275,237 | 18,915,317 | 0 | |
| COMSTOCK RES INC | NOTE 9.500% 6/1 | 205768AN4 | 48,521 | 52,172,706 | PRN | OTR | 1 | 9,439,751 | 42,732,955 | 0 | |
| CROWN CASTLE INTL CORP NEW | 6.875% CON PFD A | 22822V309 | 17,932 | 15,886 | SH | OTR | 1 | 1,048 | 14,838 | 0 | |
| CYPRESS SEMICONDUCTOR CORP | NOTE 4.500% 1/1 | 232806AM1 | 1,320 | 1,004,000 | PRN | SOLE | 1,004,000 | 0 | 0 | ||
| DANAHER CORP DEL | DBCV 1/2 | 235851AF9 | 68,954 | 19,434,000 | PRN | OTR | 1 | 4,127,000 | 15,307,000 | 0 | |
| DANAHER CORP DEL | DBCV 1/2 | 235851AF9 | 11,410 | 3,218,000 | PRN | SOLE | 2,686,000 | 0 | 532,000 | ||
| DELAWARE INV MN MUN INC FD I | COM | 24610V103 | 7,602 | 564,399 | SH | SOLE | 564,399 | 0 | 0 | ||
| DELAWARE INVT NAT MUNI INC F | SH BEN INT | 24610T108 | 3,397 | 256,199 | SH | SOLE | 256,199 | 0 | 0 | ||
| DELTA AIR LINES INC DEL | COM NEW | 247361702 | 21,224 | 378,997 | SH | OTR | 1 | 0 | 378,997 | 0 | |
| DEUTSCHE MUN INCOME | COM | 25160C106 | 1,283 | 107,816 | SH | OTR | 1 | 0 | 107,816 | 0 | |
| DISH NETWORK CORP | NOTE 3.375% 8/1 | 25470MAB5 | 116,008 | 106,368,000 | PRN | OTR | 1 | 25,866,000 | 80,502,000 | 0 | |
| DISH NETWORK CORP | NOTE 3.375% 8/1 | 25470MAB5 | 7,450 | 6,847,000 | PRN | SOLE | 5,707,000 | 0 | 1,140,000 | ||
| DYCOM INDS INC | NOTE 0.750% 9/1 | 267475AB7 | 847 | 647,000 | PRN | SOLE | 647,000 | 0 | 0 | ||
| EATON VANCE MUN INCOME 2028 | SHS | 27829U105 | 1,715 | 82,787 | SH | SOLE | 82,787 | 0 | 0 | ||
| EATON VANCE NEW YORK MUN BD | COM | 27827Y109 | 5,937 | 481,489 | SH | SOLE | 481,489 | 0 | 0 | ||
| ECHO GLOBAL LOGISTICS INC | NOTE 2.500% 5/0 | 27875TAA9 | 17,679 | 17,040,000 | PRN | OTR | 1 | 656,000 | 16,384,000 | 0 | |
| ELECTRONICS FOR IMAGING INC | NOTE 0.750% 9/0 | 286082AC6 | 437 | 452,000 | PRN | SOLE | 452,000 | 0 | 0 | ||
| ENCORE CAP GROUP INC | NOTE 3.000% 7/0 | 292554AF9 | 528 | 475,000 | PRN | SOLE | 475,000 | 0 | 0 | ||
| ENSCO JERSEY FIN LTD | NOTE 3.000% 1/3 | 29359WAB1 | 15,980 | 17,905,000 | PRN | OTR | 1 | 3,736,000 | 14,169,000 | 0 | |
| EURONET WORLDWIDE INC | NOTE 1.500%10/0 | 298736AH2 | 624 | 505,000 | PRN | SOLE | 505,000 | 0 | 0 | ||
| FINISAR CORP | NOTE 0.500%12/1 | 31787AAM3 | 1,106 | 1,095,000 | PRN | SOLE | 1,095,000 | 0 | 0 | ||
| FINISAR CORP | NOTE 0.500%12/1 | 31787AAP6 | 17,853 | 19,145,000 | PRN | OTR | 1 | 3,417,000 | 15,728,000 | 0 | |
| FIREEYE INC | NOTE 1.000% 6/0 | 31816QAB7 | 1,206 | 1,285,000 | PRN | SOLE | 1,285,000 | 0 | 0 | ||
| GOGO INC | NOTE 3.750% 3/0 | 38046CAB5 | 429 | 465,000 | PRN | SOLE | 465,000 | 0 | 0 | ||
| HALLIBURTON CO | COM | 406216101 | 9,125 | 186,718 | SH | OTR | 1 | 0 | 186,718 | 0 | |
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.250% 5/0 | 42330PAH0 | 4,848 | 4,878,000 | PRN | SOLE | 4,072,000 | 0 | 806,000 | ||
| HELIX ENERGY SOLUTIONS GRP I | NOTE 4.250% 5/0 | 42330PAH0 | 29,209 | 29,246,000 | PRN | OTR | 1 | 6,406,000 | 22,840,000 | 0 | |
| HERBALIFE LTD | NOTE 2.000% 8/1 | 42703MAB9 | 1,189 | 1,180,000 | PRN | SOLE | 1,180,000 | 0 | 0 | ||
| HOLOGIC INC | DEBT 2.000% 3/0 | 436440AC5 | 46,834 | 33,922,000 | PRN | OTR | 1 | 8,911,000 | 25,011,000 | 0 | |
| HOLOGIC INC | DEBT 2.000% 3/0 | 436440AC5 | 8,138 | 5,905,000 | PRN | SOLE | 4,904,000 | 0 | 1,001,000 | ||
| HUNTINGTON BANCSHARES INC | PFD CONV SER A | 446150401 | 850 | 600 | SH | SOLE | 600 | 0 | 0 | ||
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 26,658 | 22,461,000 | PRN | OTR | 1 | 8,331,000 | 14,130,000 | 0 | |
| ILLUMINA INC | NOTE 0.500% 6/1 | 452327AH2 | 5,320 | 4,501,000 | PRN | SOLE | 3,721,000 | 0 | 780,000 | ||
| ILLUMINA INC | NOTE 6/1 | 452327AF6 | 11,933 | 10,948,000 | PRN | OTR | 1 | 3,949,000 | 6,999,000 | 0 | |
| IMPAX LABORATORIES INC | NOTE 2.000% 6/1 | 45256BAE1 | 746 | 765,000 | PRN | SOLE | 765,000 | 0 | 0 | ||
| INPHI CORP | NOTE 0.750% 9/0 | 45772FAC1 | 1,410 | 1,416,000 | PRN | SOLE | 1,416,000 | 0 | 0 | ||
| INPHI CORP | NOTE 1.125%12/0 | 45772FAB3 | 31,868 | 27,399,000 | PRN | OTR | 1 | 3,426,000 | 23,973,000 | 0 | |
| INPHI CORP | NOTE 1.125%12/0 | 45772FAB3 | 4,057 | 3,503,000 | PRN | SOLE | 2,936,000 | 0 | 567,000 | ||
| INSULET CORP | NOTE 1.250% 9/1 | 45784PAF8 | 968 | 740,000 | PRN | SOLE | 740,000 | 0 | 0 | ||
| INTEGRATED DEVICE TECHNOLOGY | NOTE 0.875%11/1 | 458118AC0 | 539 | 482,000 | PRN | SOLE | 482,000 | 0 | 0 | ||
| INTEL CORP | SDCV 3.250% 8/0 | 458140AF7 | 8,603 | 3,873,000 | PRN | SOLE | 3,221,000 | 0 | 652,000 | ||
| INTEL CORP | SDCV 3.250% 8/0 | 458140AF7 | 44,447 | 19,993,000 | PRN | OTR | 1 | 10,695,000 | 9,298,000 | 0 | |
| INTERCEPT PHARMACEUTICALS IN | NOTE 3.250% 7/0 | 45845PAA6 | 12,648 | 15,810,000 | PRN | OTR | 1 | 4,074,000 | 11,736,000 | 0 | |
| INTERCEPT PHARMACEUTICALS IN | NOTE 3.250% 7/0 | 45845PAA6 | 1,573 | 1,979,000 | PRN | SOLE | 1,664,000 | 0 | 315,000 | ||
| INTERDIGITAL INC | NOTE 1.500% 3/0 | 458660AD9 | 500 | 418,000 | PRN | SOLE | 418,000 | 0 | 0 | ||
| INVESCO MUN TR | COM | 46131J103 | 301 | 24,087 | SH | SOLE | 24,087 | 0 | 0 | ||
| INVESCO QUALITY MUNI INC TRS | COM | 46133G107 | 1,249 | 99,857 | SH | SOLE | 99,857 | 0 | 0 | ||
| IRONWOOD PHARMACEUTICALS INC | DBCV 2.250% 6/1 | 46333XAD0 | 789 | 679,000 | PRN | SOLE | 679,000 | 0 | 0 | ||
| ISHARES GOLD TRUST | ISHARES | 464285105 | 7,855 | 627,900 | SH | OTR | 1 | 9,200 | 618,700 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 22,771 | 21,520,000 | PRN | OTR | 1 | 5,476,000 | 16,044,000 | 0 | |
| ISIS PHARMACEUTICALS INC DEL | NOTE 1.000%11/1 | 464337AJ3 | 2,984 | 2,827,000 | PRN | SOLE | 2,336,000 | 0 | 491,000 | ||
| J2 GLOBAL INC | NOTE 3.250% 6/1 | 48123VAC6 | 827 | 665,000 | PRN | SOLE | 665,000 | 0 | 0 | ||
| JAZZ INVESTMENTS I LTD | NOTE 1.875% 8/1 | 472145AB7 | 1,176 | 1,169,000 | PRN | SOLE | 1,169,000 | 0 | 0 | ||
| LAM RESEARCH CORP | NOTE 1.250% 5/1 | 512807AL2 | 48,137 | 15,715,000 | PRN | OTR | 1 | 1,003,000 | 14,712,000 | 0 | |
| LAM RESEARCH CORP | NOTE 1.250% 5/1 | 512807AL2 | 9,939 | 3,250,000 | PRN | SOLE | 2,713,000 | 0 | 537,000 | ||
| LEXICON PHARMACEUTICALS INC | NOTE 5.250%12/0 | 528872AB0 | 180 | 127,000 | PRN | SOLE | 127,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP DELAWARE | DEB 2.250% 9/3 | 531229AE2 | 675 | 645,000 | PRN | SOLE | 645,000 | 0 | 0 | ||
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 24,913 | 21,557,000 | PRN | OTR | 1 | 4,700,000 | 16,857,000 | 0 | |
| LIBERTY MEDIA CORP DELAWARE | NOTE 1.375%10/1 | 531229AB8 | 5,559 | 4,831,000 | PRN | SOLE | 4,023,000 | 0 | 808,000 | ||
| LIGAND PHARMACEUTICALS INC | NOTE 0.750% 8/1 | 53220KAD0 | 789 | 432,000 | PRN | SOLE | 432,000 | 0 | 0 | ||
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.000%10/0 | 55608BAB1 | 1,958 | 2,040,000 | PRN | SOLE | 2,040,000 | 0 | 0 | ||
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.875% 7/1 | 55608BAA3 | 47,652 | 46,013,000 | PRN | OTR | 1 | 9,951,000 | 36,062,000 | 0 | |
| MACQUARIE INFRASTRUCTURE COR | NOTE 2.875% 7/1 | 55608BAA3 | 4,846 | 4,702,000 | PRN | SOLE | 3,907,000 | 0 | 795,000 | ||
| MEDICINES CO | NOTE 2.750% 7/1 | 584688AG0 | 3,850 | 4,203,000 | PRN | SOLE | 3,738,000 | 0 | 465,000 | ||
| MEDIDATA SOLUTIONS INC | NOTE 1.000% 8/0 | 58471AAB1 | 835 | 720,000 | PRN | SOLE | 720,000 | 0 | 0 | ||
| MERCADOLIBRE INC | NOTE 2.250% 7/0 | 58733RAB8 | 22,863 | 9,120,000 | PRN | OTR | 1 | 1,709,000 | 7,411,000 | 0 | |
| MFS HIGH INCOME MUN TR | SH BEN INT | 59318D104 | 1,591 | 303,705 | SH | SOLE | 303,705 | 0 | 0 | ||
| MFS MUN INCOME TR | SH BEN INT | 552738106 | 2,981 | 433,879 | SH | OTR | 1 | 347,524 | 86,355 | 0 | |
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 60,510 | 35,490,000 | PRN | OTR | 1 | 5,734,000 | 29,756,000 | 0 | |
| MICROCHIP TECHNOLOGY INC | NOTE 1.625% 2/1 | 595017AD6 | 8,894 | 5,224,000 | PRN | SOLE | 4,358,000 | 0 | 866,000 | ||
| MICRON TECHNOLOGY INC | NOTE 3.000%11/1 | 595112AY9 | 41,305 | 28,548,000 | PRN | OTR | 1 | 7,753,000 | 20,795,000 | 0 | |
| MOLINA HEALTHCARE INC | DBCV 1.625% 8/1 | 60855RAD2 | 4,641 | 3,386,000 | PRN | SOLE | 2,827,000 | 0 | 559,000 | ||
| MOLINA HEALTHCARE INC | NOTE 1.125% 1/1 | 60855RAC4 | 16,867 | 8,808,000 | PRN | OTR | 1 | 2,313,000 | 6,495,000 | 0 | |
| NAVISTAR INTL CORP NEW | NOTE 4.750% 4/1 | 63934EAS7 | 597 | 550,000 | PRN | SOLE | 550,000 | 0 | 0 | ||
| NEXTERA ENERGY INC | UNIT 08/31/2018 | 65339F846 | 8,911 | 127,390 | SH | SOLE | 127,390 | 0 | 0 | ||
| NOVELLUS SYS INC | NOTE 2.625% 5/1 | 670008AD3 | 21,815 | 3,961,000 | PRN | SOLE | 3,961,000 | 0 | 0 | ||
| NUVASIVE INC | NOTE 2.250% 3/1 | 670704AG0 | 13,234 | 11,239,000 | PRN | OTR | 1 | 3,005,000 | 8,234,000 | 0 | |
| NUVASIVE INC | NOTE 2.250% 3/1 | 670704AG0 | 5,845 | 4,985,000 | PRN | SOLE | 4,151,000 | 0 | 834,000 | ||
| NUVEEN AMT FREE MUN CR INC F | COM | 67071L106 | 17,451 | 1,130,278 | SH | SOLE | 1,130,278 | 0 | 0 | ||
| NUVEEN AMT FREE QLTY MUN INC | COM | 670657105 | 24,683 | 1,795,140 | SH | SOLE | 1,795,140 | 0 | 0 | ||
| NUVEEN MARYLAND QLT MUN INC | COM | 67061Q107 | 2,516 | 200,000 | SH | SOLE | 200,000 | 0 | 0 | ||
| NUVEEN MICHIGAN QLT MUN INC | COM | 670979103 | 3,978 | 300,000 | SH | SOLE | 300,000 | 0 | 0 | ||
| NUVEEN MUNICIPAL CREDIT INC | COM SH BEN INT | 67070X101 | 19,283 | 1,265,291 | SH | SOLE | 1,265,291 | 0 | 0 | ||
| NUVEEN NEW YORK AMT QLT MUNI | COM | 670656107 | 8,406 | 648,590 | SH | OTR | 1 | 548,590 | 100,000 | 0 | |
| NUVEEN PENNSYLVANIA QLT MUN | COM | 670972108 | 7,403 | 563,000 | SH | SOLE | 563,000 | 0 | 0 | ||
| NXP SEMICONDUCTORS N V | DBCV 1.000%12/0 | 62952QAB6 | 44,511 | 35,950,000 | PRN | OTR | 1 | 7,600,000 | 28,350,000 | 0 | |
| OASIS PETE INC NEW | NOTE 2.625% 9/1 | 674215AJ7 | 30,297 | 28,118,000 | PRN | OTR | 1 | 6,391,000 | 21,727,000 | 0 | |
| OASIS PETE INC NEW | NOTE 2.625% 9/1 | 674215AJ7 | 7,610 | 7,079,000 | PRN | SOLE | 5,895,000 | 0 | 1,184,000 | ||
| OLD REP INTL CORP | NOTE 3.750% 3/1 | 680223AH7 | 1,224 | 880,000 | PRN | SOLE | 880,000 | 0 | 0 | ||
| ON SEMICONDUCTOR CORP | NOTE 1.000%12/0 | 682189AK1 | 32,448 | 25,325,000 | PRN | OTR | 1 | 4,820,000 | 20,505,000 | 0 | |
| ON SEMICONDUCTOR CORP | NOTE 1.000%12/0 | 682189AK1 | 6,020 | 4,717,000 | PRN | SOLE | 3,922,000 | 0 | 795,000 | ||
| PALO ALTO NETWORKS INC | NOTE 7/0 | 697435AB1 | 974 | 710,000 | PRN | SOLE | 710,000 | 0 | 0 | ||
| PETROQUEST ENERGY INC | COM NEW | 716748306 | 2,887 | 1,527,557 | SH | OTR | 1 | 326,844 | 1,200,713 | 0 | |
| PIONEER MUN HIGH INCOME TR | COM SHS | 723763108 | 791 | 66,722 | SH | OTR | 1 | 0 | 66,722 | 0 | |
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 37,990 | 27,504,000 | PRN | OTR | 1 | 12,169,000 | 15,335,000 | 0 | |
| PRICELINE GRP INC | NOTE 0.350% 6/1 | 741503AS5 | 8,074 | 5,856,000 | PRN | SOLE | 4,854,000 | 0 | 1,002,000 | ||
| PRICELINE GRP INC | NOTE 1.000% 3/1 | 741503AQ9 | 41,554 | 22,630,000 | PRN | OTR | 1 | 1,670,000 | 20,960,000 | 0 | |
| PROOFPOINT INC | DBCV 0.750% 6/1 | 743424AD5 | 24,551 | 19,543,000 | PRN | OTR | 1 | 4,917,000 | 14,626,000 | 0 | |
| PROOFPOINT INC | DBCV 0.750% 6/1 | 743424AD5 | 5,780 | 4,619,000 | PRN | SOLE | 3,833,000 | 0 | 786,000 | ||
| PROSPECT CAPITAL CORPORATION | NOTE 4.750% 4/1 | 74348TAQ5 | 1,431 | 1,420,000 | PRN | SOLE | 1,420,000 | 0 | 0 | ||
| PUTNAM MUN OPPORTUNITIES TR | SH BEN INT | 746922103 | 15,252 | 1,234,990 | SH | SOLE | 1,234,990 | 0 | 0 | ||
| RADIUS HEALTH INC | NOTE 3.000% 9/0 | 750469AA6 | 1,418 | 1,500,000 | PRN | OTR | 1 | 396,000 | 1,104,000 | 0 | |
| RED HAT INC | NOTE 0.250%10/0 | 756577AD4 | 9,916 | 6,028,000 | PRN | SOLE | 5,017,000 | 0 | 1,011,000 | ||
| RED HAT INC | NOTE 0.250%10/0 | 756577AD4 | 48,629 | 29,472,000 | PRN | OTR | 1 | 9,389,000 | 20,083,000 | 0 | |
| REDWOOD TR INC | NOTE 4.750% 8/1 | 758075AC9 | 242 | 250,000 | PRN | SOLE | 250,000 | 0 | 0 | ||
| REX ENERGY CORPORATION | COM NEW | 761565506 | 197 | 141,701 | SH | OTR | 1 | 18,701 | 123,000 | 0 | |
| ROYAL GOLD INC | NOTE 2.875% 6/1 | 780287AA6 | 814 | 755,000 | PRN | SOLE | 755,000 | 0 | 0 | ||
| RPM INTL INC | NOTE 2.250%12/1 | 749685AT0 | 7,340 | 6,338,000 | PRN | SOLE | 6,041,000 | 0 | 297,000 | ||
| RTI INTL METALS INC | NOTE 1.625%10/1 | 74973WAB3 | 630 | 550,000 | PRN | SOLE | 550,000 | 0 | 0 | ||
| SALESFORCE COM INC | NOTE 0.250% 4/0 | 79466LAD6 | 38,916 | 25,373,000 | PRN | OTR | 1 | 7,303,000 | 18,070,000 | 0 | |
| SALESFORCE COM INC | NOTE 0.250% 4/0 | 79466LAD6 | 7,165 | 4,679,000 | PRN | SOLE | 3,880,000 | 0 | 799,000 | ||
| SERVICENOW INC | NOTE 11/0 | 81762PAB8 | 34,839 | 19,704,000 | PRN | OTR | 1 | 4,725,000 | 14,979,000 | 0 | |
| SERVICENOW INC | NOTE 11/0 | 81762PAB8 | 7,975 | 4,523,000 | PRN | SOLE | 3,738,000 | 0 | 785,000 | ||
| SOUTHWESTERN ENERGY CO | DEP SHS 1/20 B | 845467208 | 4,001 | 329,138 | SH | OTR | 1 | 15,016 | 314,122 | 0 | |
| SOUTHWESTERN ENERGY CO | DEP SHS 1/20 B | 845467208 | 1,117 | 93,879 | SH | SOLE | 78,046 | 0 | 15,833 | ||
| SPDR GOLD TRUST | GOLD SHS | 78463V107 | 23,370 | 189,000 | SH | OTR | 1 | 0 | 189,000 | 0 | |
| SPDR SERIES TRUST | BLMBRG BRC CNVRT | 78464A359 | 498 | 9,849 | SH | SOLE | 9,119 | 0 | 730 | ||
| SPDR SERIES TRUST | NUV HGHYLD MUN | 78464A284 | 6,040 | 108,515 | SH | SOLE | 108,515 | 0 | 0 | ||
| SPIRIT RLTY CAP INC NEW | NOTE 3.750% 5/1 | 84860WAB8 | 1,272 | 1,225,000 | PRN | SOLE | 1,225,000 | 0 | 0 | ||
| STANLEY BLACK & DECKER INC | UNIT 05/15/2020 | 854502887 | 20,028 | 163,124 | SH | OTR | 1 | 37,383 | 125,741 | 0 | |
| STANLEY BLACK & DECKER INC | UNIT 05/15/2020 | 854502887 | 5,853 | 47,686 | SH | SOLE | 39,700 | 0 | 7,986 | ||
| STARWOOD PPTY TR INC | NOTE 4.000% 1/1 | 85571BAB1 | 1,473 | 1,332,000 | PRN | SOLE | 1,332,000 | 0 | 0 | ||
| STONE ENERGY CORP | COM PAR | 861642403 | 126,078 | 3,920,351 | SH | OTR | 1 | 1,077,512 | 2,842,839 | 0 | |
| SUNPOWER CORP | DBCV 0.875% 6/0 | 867652AJ8 | 709 | 910,000 | PRN | SOLE | 910,000 | 0 | 0 | ||
| T MOBILE US INC | COM | 872590104 | 20,554 | 323,636 | SH | OTR | 1 | 89,428 | 234,208 | 0 | |
| TELEFLEX INC | COM | 879369106 | 20,456 | 82,214 | SH | OTR | 1 | 0 | 82,214 | 0 | |
| TERADYNE INC | NOTE 1.250%12/1 | 880770AG7 | 1,269 | 888,000 | PRN | SOLE | 888,000 | 0 | 0 | ||
| TESARO INC | NOTE 3.000%10/0 | 881569AA5 | 889 | 360,000 | PRN | SOLE | 360,000 | 0 | 0 | ||
| TESLA INC | NOTE 1.250% 3/0 | 88160RAC5 | 3,035 | 2,800,000 | PRN | SOLE | 2,800,000 | 0 | 0 | ||
| TEVA PHARMACEUTICAL FIN LLC | DBCV 0.250% 2/0 | 88163VAE9 | 260 | 295,000 | PRN | OTR | 1 | 0 | 295,000 | 0 | |
| TRINITY INDS INC | NOTE 3.875% 6/0 | 896522AF6 | 1,279 | 810,000 | PRN | SOLE | 810,000 | 0 | 0 | ||
| TWITTER INC | NOTE 0.250% 9/1 | 90184LAB8 | 21,847 | 22,817,000 | PRN | OTR | 1 | 4,254,000 | 18,563,000 | 0 | |
| UNITED TECHNOLOGIES CORP | COM | 913017109 | 6,775 | 53,105 | SH | OTR | 1 | 0 | 53,105 | 0 | |
| VANECK VECTORS ETF TR | HIGH YLD MUN ETF | 92189F361 | 7,531 | 241,386 | SH | SOLE | 241,386 | 0 | 0 | ||
| VEECO INSTRS INC DEL | NOTE 2.700% 1/1 | 922417AD2 | 517 | 592,000 | PRN | SOLE | 592,000 | 0 | 0 | ||
| VERINT SYS INC | NOTE 1.500% 6/0 | 92343XAA8 | 37,092 | 37,994,000 | PRN | OTR | 1 | 8,812,000 | 29,182,000 | 0 | |
| VERINT SYS INC | NOTE 1.500% 6/0 | 92343XAA8 | 4,619 | 4,756,000 | PRN | SOLE | 3,954,000 | 0 | 802,000 | ||
| VERISIGN INC | SDCV 3.250% 8/1 | 92343EAD4 | 8,359 | 2,500,000 | PRN | OTR | 1 | 1,525,000 | 975,000 | 0 | |
| WABASH NATL CORP | NOTE 3.375% 5/0 | 929566AH0 | 23,035 | 12,261,000 | PRN | OTR | 1 | 2,579,000 | 9,682,000 | 0 | |
| WABASH NATL CORP | NOTE 3.375% 5/0 | 929566AH0 | 6,018 | 3,212,000 | PRN | SOLE | 2,682,000 | 0 | 530,000 | ||
| WAYFAIR INC | NOTE 0.375% 9/0 | 94419LAA9 | 523 | 500,000 | PRN | SOLE | 500,000 | 0 | 0 | ||
| WEATHERFORD INTL LTD | NOTE 5.875% 7/0 | 947075AH0 | 60,145 | 55,369,000 | PRN | OTR | 1 | 12,949,000 | 42,420,000 | 0 | |
| WEATHERFORD INTL LTD | NOTE 5.875% 7/0 | 947075AH0 | 8,667 | 7,997,000 | PRN | SOLE | 6,656,000 | 0 | 1,341,000 | ||
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 40,149 | 30,642 | SH | OTR | 1 | 10,426 | 20,216 | 0 | |
| WELLS FARGO CO NEW | PERP PFD CNV A | 949746804 | 4,323 | 3,300 | SH | SOLE | 2,780 | 0 | 520 | ||
| WELLTOWER INC | 6.50% PFD PREPET | 95040Q203 | 9,909 | 164,800 | SH | OTR | 1 | 90,200 | 74,600 | 0 | |
| WHITING PETE CORP NEW | NOTE 1.250% 4/0 | 966387AL6 | 883 | 955,000 | PRN | SOLE | 955,000 | 0 | 0 | ||
| WORKDAY INC | NOTE 1.500% 7/1 | 98138HAD3 | 924 | 675,000 | PRN | SOLE | 675,000 | 0 | 0 | ||
| WRIGHT MED GROUP INC | NOTE 2.000% 2/1 | 98235TAE7 | 7,031 | 6,848,000 | PRN | SOLE | 5,960,000 | 0 | 888,000 | ||
| XPO LOGISTICS INC | COM | 983793100 | 37,360 | 407,902 | SH | OTR | 1 | 0 | 407,902 | 0 | |
| YAHOO INC | NOTE 12/0 | 984332AF3 | 2,154 | 1,595,000 | PRN | SOLE | 1,595,000 | 0 | 0 | ||
| ZILLOW GROUP INC | NOTE 2.000%12/0 | 98954MAB7 | 22,902 | 20,915,000 | PRN | OTR | 1 | 3,914,000 | 17,001,000 | 0 | |