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Wellesley Asset Management

Filed: 14 May 20, 4:01pm

The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete.

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F

FORM 13F INFORMATION TABLE

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OMB Number:3235-0006
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COLUMN 1COLUMN 2COLUMN 3COLUMN 4COLUMN 5COLUMN 6COLUMN 7COLUMN 8
VALUESHRS ORSH/PUT/INVESTMENTOTHERVOTING AUTHORITY
NAME OF ISSUERTITLE OF CLASSCUSIP(x$1000)PRN AMTPRNCALLDISCRETIONMANAGERSOLESHAREDNONE
AKAM0.13% 05/01/202500971TAJ04,2043,750PRN SOLE 3,0000750
ARI4.75% 08/23/202203762UAB118,24925,469PRN SOLE 12,739012,730
ARI5.38% 10/15/202303762UAC910,24214,307PRN SOLE 6,76607,541
ABR5.25% 07/01/2021038923AH12,3102,697PRN SOLE 1,22901,468
ARCC3.75% 02/01/202204010LAT03,6163,809PRN SOLE 1,90701,902
ARCC4.63% 03/01/202404010LAW31,8302,102PRN SOLE 10002,002
AAWW2.25% 06/01/2022049164BH89,60110,795PRN SOLE 100010,695
AAWW1.88% 06/01/2024049164BJ457,51968,871PRN SOLE 33,962034,909
NEM0.00% 10/30/202306739FJQ587,50472,281PRN SOLE 30,927041,354
DHI0.00% 09/26/202306741J7V544,55647,506PRN SOLE 24,837022,669
BXMT4.38% 05/05/202209257WAB63,8364,825PRN SOLE 10004,725
BXMT4.75% 03/15/202309257WAC43,3764,273PRN SOLE 10004,173
COLL2.63% 02/15/202619459JAA224,94526,968PRN SOLE 14,221012,747
COWN3.00% 12/15/2022223622AE127,83930,894PRN SOLE 19,999010,895
EZPW2.38% 05/01/2025302301AE618,61424,811PRN SOLE 20,10004,711
KSU0.00% 02/16/202138147QMF04,0424,075PRN SOLE 10003,975
GSBD4.50% 04/01/202238147UAB37,6687,803PRN SOLE 1,08006,723
GPMT6.38% 10/01/202338741LAC114,95826,506PRN SOLE 2,655023,851
GBX2.88% 02/01/2024393657AK721,49026,287PRN SOLE 10,711015,576
HCI4.25% 03/01/203740416EAD535,84635,396PRN SOLE 11,046024,350
HASI4.13% 09/01/202241068XAB639,41241,306PRN SOLE 19,878021,428
HTGC4.38% 02/01/2022427096AF93,2963,583PRN SOLE 10003,483
JAZZ1.88% 08/15/2021472145AB78,9189,375PRN SOLE 7,00002,375
JAZZ1.50% 08/15/2024472145AD319,29321,548PRN SOLE 17,57303,975
KREF6.13% 05/15/202348251KAB6787931PRN SOLE 1000831
KAMN3.25% 05/01/2024483548AF02,1552,202PRN SOLE 10002,102
KN3.25% 11/01/202149926DAB53,7823,684PRN SOLE 1,61902,065
LGND0.75% 05/15/202353220KAF51,1671,237PRN SOLE 9280309
LITE0.25% 03/15/202455024UAB510,1687,515PRN SOLE 10007,415
MFA6.25% 06/15/202455272XAA016,56526,290PRN SOLE 13,563012,727
ON1.63% 10/15/2023682189AP05,4025,421PRN SOLE 2,99602,425
PDCE1.13% 09/15/202169327RAD37,8219,530PRN SOLE 1,60007,930
PRAA3.50% 06/01/202369354NAB217,15119,453PRN SOLE 4,740014,713
PCRX2.38% 04/01/2022695127AD261,09763,122PRN SOLE 22,889040,233
RC7.00% 08/15/202375574U20024,5742,746PRN SOLE 1,9720774
RWT4.75% 08/15/2023758075AC927,09640,568PRN SOLE 10,299030,269
XAN4.50% 08/15/202276120WAC86,9339,776PRN SOLE 1,00008,776
SUPN0.63% 04/01/2023868459AD043,77653,600PRN SOLE 19,434034,166
TSLX4.50% 08/01/202287265KAD44,6765,028PRN SOLE 10004,928
TSLA1.25% 03/01/202188160RAC51,5681,568PRN SOLE 1,56800
TPC2.88% 06/15/2021901109AD065,44070,554PRN SOLE 28,739041,815
TWTR0.25% 06/15/202490184LAF96,5567,039PRN SOLE 3,24803,791
PRO0.25% 09/01/2022902104AB441,20244,633PRN SOLE 18,663025,970
VIAV1.75% 06/01/2023925550AE5181175PRN SOLE 100075
VSH2.25% 06/15/2025928298AP327,77230,854PRN SOLE 19,672011,182
WMC6.75% 10/01/202295790DAA3487977PRN SOLE 1000877