Wellesley Asset Management — Q4 2019 13F Holdings

Name: Wellesley Asset Management — 13F Holdings, Q4 2019
Creator: AlphaSMO
License: https://www.sec.gov/forms

CIK: 0001533551

Total reported value

$952.5M

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Full holdings list this quarter

#	Ticker	Issuer	Asset Subclass	Weight	Weight Change	Shares Change
1	BACR 0 10-30-23 0004	Barclays Bank PLC	Stock-Other	7.30%	—	-3.42%
2	PCRX 2.375 04-01-22	Pacira Biosciences INC	Stock-Other	6.35%	—	-0.86%
3	TPC 2.875 06-15-21	Tutor Perini CORP	Stock-Other	6.21%	—	-5.64%
4	SUPN 0.625 04-01-23	Supernus Pharmaceuticals	Stock-Healthcare	5.22%	—	-9.11%
5	DY 0.75 09-15-21	Dycom Industries INC	Stock-Industrials	4.97%	—	-12.86%
6	COHR 0.25 09-01-22	Ii-vi INC	Stock-Tech	4.79%	—	+17.76%
7	BACR 0 09-26-23 DMTN	Barclays Bank PLC	Stock-Other	4.72%	—	-3.84%
8	HASI 4.125 09-01-22	Hannon Armstrong Sustain	Stock-Financials	4.46%	—	+9.72%
9	RC 7 08-15-23	Ready Capital CORP	Stock-Other	3.73%	—	-1.51%
10	RWT 4.75 08-15-23	Redwood Trust INC	Stock-Other	3.52%	—	+42.04%
11	COWN 3 12-15-22	Cowen INC	Stock-Other	3.49%	—	+6.77%
12	AAWW 1.875 06-01-24	Atlas Air Worldwide Hldg	Stock-Other	3.41%	—	+17.79%
13	LITE 0.25 03-15-24	Lumentum Holdings INC	Stock-Tech	3.27%	—	-33.53%
14	PRAA 3.5 06-01-23	Pra Group INC	Stock-Other	3.11%	—	+4.49%
15	HCI 4.25 03-01-37	Hci Group INC	Stock-Other	3.01%	—	-19.23%
16	VSH 2.25 06-15-25	Vishay Intertechnology	Stock-Other	2.76%	—	-10.73%
17	AAWW 2.25 06-01-22	Atlas Air Worldwide Hldg	Stock-Other	2.50%	—	-13.69%
18	JAZZ 1.5 08-15-24	Jazz Investments I LTD	Stock-Healthcare	2.49%	—	+2.11%
19	GBX 2.875 02-01-24	Greenbrier Cos INC	Stock-Other	2.49%	—	-28.55%
20	GPMT 6.375 10-01-23	Granite Point Mtge Trst	Stock-Other	2.32%	—	-3.62%
21	MFA 6.25 06-15-24	Mfa Financial INC	Stock-Other	2.18%	—	-1.32%
22	AKAM 0.125 05-01-25	Akamai Technologies INC	Stock-Tech	2.16%	—	-22.13%
23	EZPW 2.375 05-01-25	Ezcorp INC	Stock-Other	1.63%	—	-3.35%
24	ACR 4.5 08-15-22	Acres Commercial Realty	Stock-Other	1.53%	—	-35.98%
25	BXMT 4.375 05-05-22	Blackstone Mortgage Tr	Stock-Real Estate	1.48%	—	-63.79%
26	TSLX 4.5 08-01-22	Sixth Street Specialty	Stock-Other	1.32%	—	+3.50%
27	ARI 4.75 08-23-22	Apollo Cmmrl Real Est Fi	Stock-Other	1.23%	—	-63.88%
28	PDCE 1.125 09-15-21	Pdc Energy INC	Stock-Other	1.21%	—	-17.69%
29	JAZZ 1.875 08-15-21	Jazz Investments I LTD	Stock-Healthcare	0.98%	—	-4.86%
30	ARI 5.375 10-15-23	Apollo Cmmrl Real Est Fi	Stock-Other	0.93%	—	+22.56%
31	GSBD 4.5 04-01-22	Goldman Sachs Bdc INC	Stock-Other	0.93%	—	-9.22%
32	ON 1 12-01-20	On Semiconductor CORP	Stock-Tech	0.70%	—	-8.71%
33	BXMT 4.75 03-15-23	Blackstone Mortgage Tr	Stock-Real Estate	0.63%	—	+12.00%
34	ON 1.625 10-15-23	On Semiconductor CORP	Stock-Tech	0.44%	—	-0.08%
35	KN 3.25 11-01-21	Knowles CORP	Stock-Other	0.41%	—	-0.22%
36	ABR 5.25 07-01-21 *	Arbor Realty Trust INC	Stock-Real Estate	0.39%	—	-80.06%
37	GS 0 02-16-21 0000	Goldman Sachs Group INC	Stock-Financials	0.39%	—	-25.19%
38	TWTR 0.25 06-15-24	Twitter INC	Stock-Other	0.35%	—	-79.97%
39	HTGC 4.375 02-01-22	Hercules Capital INC	Stock-Financials	0.30%	—	-46.36%
40	ARCC 4.625 03-01-24	Ares Capital CORP	Stock-Financials	0.23%	—	-72.31%
41	WMC 6.75 10-01-22	Western Asset Mtge Cap	Stock-Other	0.18%	—	+31.28%
42	KAMN 3.25 05-01-24	Kaman CORP	Stock-Other	0.11%	—	-77.95%
43	INVA 2.125 01-15-23	Innoviva INC	Stock-Other	0.07%	—	-87.15%
44	TCPC 4.625 03-01-22	Blackrock Tcp Cap CORP	Stock-Other	0.06%	—	-79.16%
45	KREF 6.125 05-15-23	Kkr Real Estate Fin	Stock-Other	0.06%	—	-76.55%

Holding changes this quarter

Position changes disclosed by Wellesley Asset Management for the quarter ending Q4 2019, including ticker, issuer, weight change, shares change, and action
#	Ticker	Issuer	Weight Change	Shares Change	Action
1	RWT 4.75 08-15-23	Redwood Trust INC	+1.6%	+42.04%	Add
2	BACR 0 10-30-23 0004	Barclays Bank PLC	+1.5%	-3.42%	Trim
3	COHR 0.25 09-01-22	Ii-vi INC	+1.4%	+17.76%	Add
4	HASI 4.125 09-01-22	Hannon Armstrong Sustain	+1.4%	+9.72%	Add
5	PCRX 2.375 04-01-22	Pacira Biosciences INC	+1.4%	-0.86%	Trim
6	AAWW 1.875 06-01-24	Atlas Air Worldwide Hldg	+1.1%	+17.79%	Add
7	COWN 3 12-15-22	Cowen INC	+0.9%	+6.77%	Add
8	TPC 2.875 06-15-21	Tutor Perini CORP	+0.9%	-5.64%	Trim
9	PRAA 3.5 06-01-23	Pra Group INC	+0.8%	+4.49%	Add
10	BACR 0 09-26-23 DMTN	Barclays Bank PLC	+0.6%	-3.84%	Trim
11	RC 7 08-15-23	Ready Capital CORP	+0.6%	-1.51%	Trim
12	JAZZ 1.5 08-15-24	Jazz Investments I LTD	+0.6%	+2.11%	Add
13	SUPN 0.625 04-01-23	Supernus Pharmaceuticals	+0.4%	-9.11%	Trim
14	VSH 2.25 06-15-25	Vishay Intertechnology	+0.4%	-10.73%	Trim
15	GPMT 6.375 10-01-23	Granite Point Mtge Trst	+0.4%	-3.62%	Trim
16	DY 0.75 09-15-21	Dycom Industries INC	+0.4%	-12.86%	Trim
17	ARI 5.375 10-15-23	Apollo Cmmrl Real Est Fi	+0.3%	+22.56%	Add
18	TSLX 4.5 08-01-22	Sixth Street Specialty	+0.3%	+3.50%	Add
19	AAWW 2.25 06-01-22	Atlas Air Worldwide Hldg	+0.2%	-13.69%	Trim
20	BXMT 4.75 03-15-23	Blackstone Mortgage Tr	+0.2%	+12.00%	Add
21	ON 1.625 10-15-23	On Semiconductor CORP	+0.1%	-0.08%	Trim
22	GSBD 4.5 04-01-22	Goldman Sachs Bdc INC	+0.1%	-9.22%	Trim
23	HCI 4.25 03-01-37	Hci Group INC	+0.1%	-19.23%	Trim
24	PDCE 1.125 09-15-21	Pdc Energy INC	0%	-17.69%	Trim
25	LITE 0.25 03-15-24	Lumentum Holdings INC	0%	-33.53%	Trim
26	GS 0 02-16-21 0000	Goldman Sachs Group INC	—	-25.19%	Trim
27	KREF 6.125 05-15-23	Kkr Real Estate Fin	-0.1%	-76.55%	Trim
28	HTGC 4.375 02-01-22	Hercules Capital INC	-0.2%	-46.36%	Trim
29	TCPC 4.625 03-01-22	Blackrock Tcp Cap CORP	-0.2%	-79.16%	Trim
30	AKAM 0.125 05-01-25	Akamai Technologies INC	-0.2%	-22.13%	Trim
31	KAMN 3.25 05-01-24	Kaman CORP	-0.3%	-77.95%	Trim
32	GBX 2.875 02-01-24	Greenbrier Cos INC	-0.3%	-28.55%	Trim
33	INVA 2.125 01-15-23	Innoviva INC	-0.4%	-87.15%	Trim
34	ACR 4.5 08-15-22	Acres Commercial Realty	-0.4%	-35.98%	Trim
35	ARCC 4.625 03-01-24	Ares Capital CORP	-0.4%	-72.31%	Trim
36	ABR 5.25 07-01-21 *	Arbor Realty Trust INC	-1.2%	-80.06%	Trim
37	TWTR 0.25 06-15-24	Twitter INC	-1.2%	-79.97%	Trim
38	ARI 4.75 08-23-22	Apollo Cmmrl Real Est Fi	-1.6%	-63.88%	Trim
39	BXMT 4.375 05-05-22	Blackstone Mortgage Tr	-1.8%	-63.79%	Trim
40	IIVI 0.5 12-15-36	Finisar CORP	—	EXIT	Sold out
41	ATSG 1.125 10-15-24	Air Transport Services G	—	EXIT	Sold out
42	LGIH 4.25 11-15-19	Lgi Homes INC	—	EXIT	Sold out
43	MLAB 1.375 08-15-25	Mesa Laboratories INC	—	EXIT	Sold out
44	TWO 6.25 01-15-22	Two Harbors Inv CORP	—	EXIT	Sold out
45	PMT 5.375 05-01-20	Pennymac CORP	—	EXIT	Sold out
46	SYNA 0.5 06-15-22	Synaptics INC	—	EXIT	Sold out
47	FCN 2 08-15-23	Fti Consulting INC	—	EXIT	Sold out
48	PRO 2 12-01-19	Pros Holdings INC	—	EXIT	Sold out
49	IFXGR 2 02-01-23	Cypress Semiconductor Co	—	EXIT	Sold out
50	BKCC 5 06-15-22	Blackrock Capital Invest	—	EXIT	Sold out