-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, DFq8UpkPr0JONUILVvublvZqDLXyzcrNtelG37AQxG2GUU0aIPwCvuGynSAX7ODq rTe4UiGoebWRnpSY6yjsDw== 0000061227-04-000002.txt : 20040212 0000061227-04-000002.hdr.sgml : 20040212 20040212154958 ACCESSION NUMBER: 0000061227-04-000002 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040212 EFFECTIVENESS DATE: 20040212 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MACKAY SHIELDS LLC CENTRAL INDEX KEY: 0000061227 IRS NUMBER: 132631681 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-00046 FILM NUMBER: 04591551 BUSINESS ADDRESS: STREET 1: 9 WEST 57TH STREET STREET 2: 33RD FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 212-758-5400 MAIL ADDRESS: STREET 1: 9 WEST 57TH STREET STREET 2: 33RD FLOOR CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: MACKAY SHIELDS FINANCIAL CORP DATE OF NAME CHANGE: 19920929 13F-HR 1 f13.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: 12/31/2003 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: Mackay Shields LLC Address: 9 West 57th Street New York, NY 10019 13F File Number: 28-00046 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: Russell Thompson Title: Chief Compliance Officer Phone: 212-230-3835 Signature, Place, and Date of Signing: /s/ Russell Thompson New York, NY February 10, 2004 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form13F Information Table Entry Total: 575 Form13F Information Table Value Total: $12,210,826,698 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- A C MOORE ARTS & CRAFTS INC COM 00086T103 3237105 168074 SH SOLE 168074 0 0 ABLE LABORATORIES INC COM NEW 00371N407 2544364 140806 SH SOLE 140806 0 0 ACTUANT CORP CL A NEW 00508X203 9584457 264764 SH SOLE 264764 0 0 ADVANCED AUTO PARTS INC COM 00751Y106 5480743 67762 SH SOLE 67762 0 0 ADVANCED FIBRE COMMUNICATION COM 00754A105 2760550 137000 SH SOLE 137000 0 0 ADVANCED MICRO DEVICES INC NOTE 4.500%12/0 007903AF4 4640425 2095000 SH SOLE 2095000 0 0 ADVANCEPCS COM 00790K109 4838613 91883 SH SOLE 91883 0 0 AETHER SYS INC NOTE 6.000% 3/2 00808VAA3 2468750 2500000 SH SOLE 2500000 0 0 AETNA INC NEW COM 00817Y108 64066 948 SH SOLE 948 0 0 AFFILIATED COMPUTER SERVICES NOTE 3.500% 2/1 008190AF7 95250 75000 SH SOLE 75000 0 0 AFFILIATED MANAGERS GROUP NOTE 5/0 008252AC2 6092600 6217000 SH SOLE 6217000 0 0 AGERE SYS INC NOTE 6.500%12/1 00845VAA8 3618204 2600000 SH SOLE 2600000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 93022674 3181350 SH SOLE 3181350 0 0 AGILENT TECHNOLOGIES INC DBCV 3.000%12/0 00846UAB7 175600 160000 SH SOLE 160000 0 0 AIRTRAN HLDGS INC NOTE 7.000% 7/0 00949PAB4 2139825 1385000 SH SOLE 1385000 0 0 AKAMAI TECHNOLOGIES INC NOTE 5.500% 7/0 00971TAC5 4354875 4410000 SH SOLE 4410000 0 0 ALKERMES INC COM 01642T108 5314073 393635 SH SOLE 393635 0 0 ALTIRIS INC COM 02148M100 15845891 434372 SH SOLE 434372 0 0 ALZA CORP SDCV 7/2 02261WAB5 9135330 12478000 SH SOLE 12478000 0 0 AMDOCS LTD ORD G02602103 1928784 85800 SH SOLE 85800 0 0 AMERICA ONLINE INC DEL NOTE 12/0 02364JAC8 2461875 3900000 SH SOLE 3900000 0 0 AMERICAN INTL GROUP INC NOTE 0.500% 5/1 026874AN7 28258200 29905000 SH SOLE 29905000 0 0 AMERICAN PHARMACEUTICALS PTN COM 02886P109 12394032 368870 SH SOLE 368870 0 0 AMGEN INC NOTE 3/0 031162AE0 10994288 14490000 SH SOLE 14490000 0 0 AMKOR TECHNOLOGY INC NOTE 5.750% 6/0 031652AN0 3958500 3900000 SH SOLE 3900000 0 0 ANTHEM INC COM 03674B104 3220875 42945 SH SOLE 42945 0 0 AQUILA INC COM 03840P102 1205823 355700 SH SOLE 355700 0 0 ARCH CHEMICALS INC COM 03937R102 11635245 453439 SH SOLE 453439 0 0 ARROW ELECTRS INC DBCV 2/2 042735AY6 351000 675000 SH SOLE 675000 0 0 ARTESYN TECHNOLOGIES INC NOTE 5.500% 8/1 043127AB5 3406250 2500000 SH SOLE 2500000 0 0 ASE TEST LTD ORD Y02516105 6992487 467100 SH SOLE 467100 0 0 ASM INTL N V COM N07045102 45196 2233 SH SOLE 2233 0 0 ASPECT COMMUNICATIONS CORP COM 04523Q102 9527622 604546 SH SOLE 604546 0 0 ASPEN TECHNOLOGY INC SDCV 5.250% 6/1 045327AB9 9418570 9562000 SH SOLE 9562000 0 0 AT&T WIRELESS SVCS INC COM 00209A106 577230 72244 SH SOLE 72244 0 0 ATMEL CORP SDCV 5/2 049513AE4 28664946 65695000 SH SOLE 65695000 0 0 ATMI INC COM 00207R101 5115122 221047 SH SOLE 221047 0 0 AUGUST TECHNOLOGY CORP COM 05106U105 6127065 330300 SH SOLE 330300 0 0 AVAYA INC NOTE 10/3 053499AA7 6181856 10155000 SH SOLE 10155000 0 0 AXIS CAPITAL HOLDINGS SHS G0692U109 632448 21600 SH SOLE 21600 0 0 BANK ONE CORP COM 06423A103 32978028 723361 SH SOLE 723361 0 0 BANKNORTH GROUP INC NEW COM 06646R107 776881 23882 SH SOLE 23882 0 0 BEA SYS INC NOTE 4.000%12/1 073325AD4 260975 260000 SH SOLE 260000 0 0 BEVERLY ENTERPRISES INC NOTE 2.750%11/0 087851AR2 10690325 7555000 SH SOLE 7555000 0 0 BJ SVCS CO NOTE 0.500% 4/2 055482AF0 48151554 58457000 SH SOLE 58457000 0 0 BOSTON SCIENTIFIC CORP COM 101137107108361128 2947800 SH SOLE 2947800 0 0 BOWATER INC COM 102183100108726989 2347808 SH SOLE 2347808 0 0 BRINKER INTL INC COM 109641100 7295200 220000 SH SOLE 220000 0 0 BRINKER INTL INC DBCV 10/1 109641AC4 18870030 27740000 SH SOLE 27740000 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 35932296 1256374 SH SOLE 1256374 0 0 BROCADE COMMUNICATIONS SYS I NOTE 2.000% 1/0 111621AB4 14783864 16205000 SH SOLE 16205000 0 0 BROOKS AUTOMATION INC NOTE 4.750% 6/0 11434AAB6 3994875 3975000 SH SOLE 3975000 0 0 BROOKS AUTOMATION INC COM 114340102 8976007 371400 SH SOLE 371400 0 0 BRUNSWICK CORP COM 117043109 5732583 180100 SH SOLE 180100 0 0 BURLINGTON NORTHN SANTA FE C COM 12189T104 50420193 1558584 SH SOLE 1558584 0 0 BURLINGTON RES INC COM 122014103 8857533 159941 SH SOLE 159941 0 0 BUSINESS OBJECTS S A SPONSORED ADR 12328X107 10722927 309285 SH SOLE 309285 0 0 C D W CORP COM 12512N105 1903192 32950 SH SOLE 32950 0 0 CACI INTL INC CL A 127190304 8092410 166442 SH SOLE 166442 0 0 CADENCE DESIGN SYSTEM INC COM 127387108 39484 2196 SH SOLE 2196 0 0 CALLAWAY GOLF CO COM 131193104 9782538 580566 SH SOLE 580566 0 0 CALPINE CORP NOTE 4.000%12/2 131347BA3 5669025 5770000 SH SOLE 5770000 0 0 CANON INC ADR 138006309 5464260 114699 SH SOLE 114699 0 0 CAPITAL ONE FINL CORP COM 14040H105 2224827 36300 SH SOLE 36300 0 0 CARDINAL HEALTH INC COM 14149Y108119514285 1954125 SH SOLE 1954125 0 0 CAREER EDUCATION CORP COM 141665109 1959022 48890 SH SOLE 48890 0 0 CAREMARK RX INC COM 141705103 90353174 3567042 SH SOLE 3567042 0 0 CBRL GROUP INC NOTE 4/0 12489VAB2 143550 290000 SH SOLE 290000 0 0 CELESTICA INC NOTE 8/0 15101QAA6 8646750 16200000 SH SOLE 16200000 0 0 CELGENE CORP COM 151020104 2786738 61900 SH SOLE 61900 0 0 CENDANT CORP COM 151313103131349039 5898026 SH SOLE 5898026 0 0 CENDANT CORP DBCV 3.875%11/2 151313AN3 162750 150000 SH SOLE 150000 0 0 CENDANT CORP DEBT 2/1 151313AF0 10704510 14042000 SH SOLE 14042000 0 0 CENTEX CORP COM 152312104 2454420 22800 SH SOLE 22800 0 0 CENTURYTEL INC COM 156700106 773159 23702 SH SOLE 23702 0 0 CHESAPEAKE ENERGY CORP COM 165167107 3978940 293000 SH SOLE 293000 0 0 CHEVRONTEXACO CORP COM 166764100 72756017 842181 SH SOLE 842181 0 0 CHICOS FAS INC COM 168615102 3894345 105395 SH SOLE 105395 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 92427689 97252000 SH SOLE 97252000 0 0 CISCO SYS INC COM 17275R102168657591 6943499 SH SOLE 6943499 0 0 CITIBANK WEST FSB SAN FRAN C CONT LITIG REC 17306J202 37408 45619 SH SOLE 45619 0 0 CITIGROUP GLOBAL MKTS HLDG I NOTE 0.500%10/0 173073BJ5 28402125 26700000 SH SOLE 26700000 0 0 CITIGROUP GLOBAL MKTS HLDG I NOTE 0.250% 5/1 173073AT4 9231400 9140000 SH SOLE 9140000 0 0 CITIGROUP INC COM 172967101204455722 4212108 SH SOLE 4212108 0 0 CITRIX SYS INC COM 177376100 4454100 210000 SH SOLE 210000 0 0 CITY NATL CORP COM 178566105 715250 11514 SH SOLE 11514 0 0 CLAIRES STORES INC COM 179584107 2263664 120152 SH SOLE 120152 0 0 CLARCOR INC COM 179895107 8519282 193181 SH SOLE 193181 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102143461457 3063452 SH SOLE 3063452 0 0 CNET INC NOTE 5.000% 3/0 125945AC9 28564010 25330000 SH SOLE 25330000 0 0 CNF INC COM 12612W104 595081 17554 SH SOLE 17554 0 0 CNH GLOBAL N V SHS NEW N20935206 1678260 101100 SH SOLE 101100 0 0 COACH INC COM 189754104 2749710 72840 SH SOLE 72840 0 0 COCA COLA CO COM 191216100 69741716 1374221 SH SOLE 1374221 0 0 COLGATE PALMOLIVE CO COM 194162103 85577993 1709850 SH SOLE 1709850 0 0 COLUMBIA SPORTSWEAR CO COM 198516106 1782150 32700 SH SOLE 32700 0 0 COMMONWEALTH INDS INC DEL COM 203004106 746775 74380 SH SOLE 74380 0 0 COMPASS BANCSHARES INC COM 20449H109 13714434 348868 SH SOLE 348868 0 0 COMPUTER SCIENCES CORP COM 205363104 73065439 1651943 SH SOLE 1651943 0 0 COMVERSE TECHNOLOGY INC DEBT 5/1 205862AL9 194700 165000 SH SOLE 165000 0 0 COMVERSE TECHNOLOGY INC DBCV 1.500%12/0 205862AJ4 5308875 5445000 SH SOLE 5445000 0 0 CONOCOPHILLIPS COM 20825C104 78013744 1189778 SH SOLE 1189778 0 0 CONSTAR INTL INC NEW COM 21036U107 1006313 186700 SH SOLE 186700 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 1178716 30100 SH SOLE 30100 0 0 CONTINENTAL AIRLS INC CL B 210795308 1295369 79617 SH SOLE 79617 0 0 COOPER CAMERON CORP DBCV 1.750% 5/1 216640AB8 23953537 24350000 SH SOLE 24350000 0 0 COOPER COS INC COM NEW 216648402 2045442 43400 SH SOLE 43400 0 0 COOPER INDS LTD CL A G24182100 63818642 1101651 SH SOLE 1101651 0 0 COORS ADOLPH CO CL B 217016104 741418 13216 SH SOLE 13216 0 0 CORINTHIAN COLLEGES INC COM 218868107 8432490 151773 SH SOLE 151773 0 0 CORN PRODS INTL INC COM 219023108 676460 19636 SH SOLE 19636 0 0 CORNING INC NOTE 3.500%11/0 219350AK1 6119250 4920000 SH SOLE 4920000 0 0 CORPORATE EXECUTIVE BRD CO COM 21988R102 6560868 140580 SH SOLE 140580 0 0 COVENTRY HEALTH CARE INC COM 222862104 18339989 284385 SH SOLE 284385 0 0 CRANE CO COM 224399105 444992 14476 SH SOLE 14476 0 0 CREDIT SUISSE GROUP SPONSORED ADR 225401108 3418653 94100 SH SOLE 94100 0 0 CROMPTON CORP COM 227116100 3104517 432987 SH SOLE 432987 0 0 CSX CORP COM 126408103 6824718 189892 SH SOLE 189892 0 0 CUMMINS INC COM 231021106 33919825 693090 SH SOLE 693090 0 0 CVS CORP COM 126650100 57481477 1591403 SH SOLE 1591403 0 0 CYMER INC COM 232572107 8172536 176933 SH SOLE 176933 0 0 CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 283475 115000 SH SOLE 115000 0 0 CYTYC CORP COM 232946103 9324861 677668 SH SOLE 677668 0 0 D R HORTON INC COM 23331A109 3496490 80825 SH SOLE 80825 0 0 DANA CORP COM 235811106 69033 3762 SH SOLE 3762 0 0 DANAHER CORP DEL COM 235851102112547890 1226680 SH SOLE 1226680 0 0 DEAN FOODS CO NEW COM 242370104 5226 159 SH SOLE 159 0 0 DELL INC COM 24702R101122868129 3618025 SH SOLE 3618025 0 0 DELPHI CORP COM 247126105 25531544 2500641 SH SOLE 2500641 0 0 DELTA AIR LINES INC DEL COM 247361108 960094 81295 SH SOLE 81295 0 0 DELTA AIR LINES INC DEL NOTE 8.000% 6/0 247361YP7 38377707 40045000 SH SOLE 40045000 0 0 DIAGEO P L C SPON ADR NEW 25243Q205 1650871 31231 SH SOLE 31231 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 742462 36200 SH SOLE 36200 0 0 DIAMOND OFFSHORE DRILLING IN DBCV 1.500% 4/1 25271CAE2 119600 130000 SH SOLE 130000 0 0 DIAMONDS TR UNIT SER 1 252787106 11575899 110700 SH SOLE 110700 0 0 DICKS SPORTING GOODS INC COM 253393102 4179894 85900 SH SOLE 85900 0 0 DIGITAS INC COM 25388K104 7699532 826130 SH SOLE 826130 0 0 DIME CMNTY BANCSHARES COM 253922108 6107952 198568 SH SOLE 198568 0 0 DORAL FINL CORP COM 25811P100 6569174 203506 SH SOLE 203506 0 0 DOVER CORP COM 260003108 94018688 2365250 SH SOLE 2365250 0 0 DTE ENERGY CO COM 233331107 13878217 352239 SH SOLE 352239 0 0 DUQUESNE LT HLDGS INC COM 266233105 711280 38783 SH SOLE 38783 0 0 E M C CORP MASS COM 268648102 1705440 132000 SH SOLE 132000 0 0 E TRADE FINANCIAL CORP COM 269246104 6880335 543900 SH SOLE 543900 0 0 EASTMAN CHEM CO COM 277432100 91354 2311 SH SOLE 2311 0 0 EDUCATION MGMT CORP COM 28139T101 7344188 236604 SH SOLE 236604 0 0 EDWARDS AG INC COM 281760108 2775218 76600 SH SOLE 76600 0 0 ELECTRONIC ARTS INC COM 285512109104418412 2185400 SH SOLE 2185400 0 0 EMBRAER-EMPRESA BRASILEIRA D SP ADR PFD SHS 29081M102 2564196 73200 SH SOLE 73200 0 0 EMULEX CORP COM NEW 292475209 1947640 73000 SH SOLE 73000 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 1517688 78800 SH SOLE 78800 0 0 ENERGIZER HLDGS INC COM 29266R108 266826 7104 SH SOLE 7104 0 0 ENERGY EAST CORP COM 29266M109 7560492 337522 SH SOLE 337522 0 0 ENI S P A SPONSORED ADR 26874R108 902310 9500 SH SOLE 9500 0 0 ENSCO INTL INC COM 26874Q100 26347346 969722 SH SOLE 969722 0 0 ENTERGY CORP NEW COM 29364G103 7975291 139599 SH SOLE 139599 0 0 EOG RES INC COM 26875P101 62376 1351 SH SOLE 1351 0 0 EQUITABLE RES INC COM 294549100 731700 17048 SH SOLE 17048 0 0 EQUITY OFFICE PROPERTIES TRU PFD CV B 5.25% 294741509 5387925 108300 SH SOLE 108300 0 0 EVEREST RE GROUP LTD COM G3223R108 85954 1016 SH SOLE 1016 0 0 EVERGREEN RES INC COM NO PAR 299900308 6304404 193922 SH SOLE 193922 0 0 EXTREME NETWORKS INC NOTE 3.500%12/0 30226DAB2 6741563 7050000 SH SOLE 7050000 0 0 EXXON MOBIL CORP COM 30231G102 65343709 1593749 SH SOLE 1593749 0 0 FACTSET RESH SYS INC COM 303075105 2021309 52900 SH SOLE 52900 0 0 FAIRCHILD SEMICONDUCTOR CORP NOTE 5.000%11/0 303727AJ0 13791397 12405000 SH SOLE 12405000 0 0 FAIRCHILD SEMICONDUCTOR INTL COM 303726103 17272823 691743 SH SOLE 691743 0 0 FEDERATED DEPT STORES INC DE COM 31410H101 16778 356 SH SOLE 356 0 0 FEDEX CORP COM 31428X106110020275 1629930 SH SOLE 1629930 0 0 FEI CO COM 30241L109 3006000 133600 SH SOLE 133600 0 0 FELCOR LODGING TR INC COM 31430F101 1861440 168000 SH SOLE 168000 0 0 FIFTH THIRD BANCORP COM 316773100 67456740 1141400 SH SOLE 1141400 0 0 FINISAR NOTE 5.250%10/1 31787AAC5 5063919 5045000 SH SOLE 5045000 0 0 FIRST DATA CORP COM 319963104107073555 2605830 SH SOLE 2605830 0 0 FIRSTENERGY CORP COM 337932107 18423575 523397 SH SOLE 523397 0 0 FISERV INC COM 337738108 817857 20700 SH SOLE 20700 0 0 FISHER SCIENTIFIC INTL INC COM NEW 338032204 4749483 114805 SH SOLE 114805 0 0 FLEETBOSTON FINL CORP COM 339030108 43655675 1000130 SH SOLE 1000130 0 0 FLIR SYS INC COM 302445101 12536765 343473 SH SOLE 343473 0 0 FLOWSERVE CORP COM 34354P105 835973 40037 SH SOLE 40037 0 0 FLUOR CORP NEW COM 343412102 1637132 41300 SH SOLE 41300 0 0 FOOT LOCKER INC COM 344849104 70139 2991 SH SOLE 2991 0 0 FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 25451766 452356 SH SOLE 452356 0 0 FOREST LABS INC COM 345838106120340050 1947250 SH SOLE 1947250 0 0 FORTUNE BRANDS INC COM 349631101 7831801 109551 SH SOLE 109551 0 0 FOSSIL INC COM 349882100 6048090 215920 SH SOLE 215920 0 0 FREDS INC CL A 356108100 9055588 292304 SH SOLE 292304 0 0 FRESH DEL MONTE PRODUCE INC ORD G36738105 5075790 213000 SH SOLE 213000 0 0 GALLAGHER ARTHUR J & CO COM 363576109 20956 645 SH SOLE 645 0 0 GANNETT INC COM 364730101108252722 1214140 SH SOLE 1214140 0 0 GAP INC DEL COM 364760108 43668501 1881452 SH SOLE 1881452 0 0 GAP INC DEL NOTE 5.750% 3/1 364760AJ7 8279021 5353000 SH SOLE 5353000 0 0 GARMIN LTD ORD G37260109 2277264 41800 SH SOLE 41800 0 0 GATX CORP NOTE 7.500% 2/0 361448AC7 210825 180000 SH SOLE 180000 0 0 GENENTECH INC COM NEW 368710406 47056353 502900 SH SOLE 502900 0 0 GENERAL ELEC CO COM 369604103108701075 3508750 SH SOLE 3508750 0 0 GENERAL GROWTH PPTYS INC COM 370021107 2030634 73176 SH SOLE 73176 0 0 GENERAL MLS INC DBCV 10/2 370334AU8 7191000 10200000 SH SOLE 10200000 0 0 GENERAL MTRS CORP DEB SR CV C 33 370442717 43101477 1325055 SH SOLE 1325055 0 0 GENERAL MTRS CORP DEB SR CONV B 370442733 16992679 633642 SH SOLE 633642 0 0 GENERAL MTRS CORP COM 370442105 53400 1000 SH SOLE 1000 0 0 GENUINE PARTS CO COM 372460105 71778 2162 SH SOLE 2162 0 0 GENZYME CORP SDCV 3.000% 5/1 372917AK0 16251480 15972000 SH SOLE 15972000 0 0 GEORGIA PAC CORP COM 373298108 90446 2949 SH SOLE 2949 0 0 GETTY IMAGES INC COM 374276103 3599334 71800 SH SOLE 71800 0 0 GILEAD SCIENCES INC COM 375558103 2485136 42744 SH SOLE 42744 0 0 GLENBOROUGH RLTY TR INC PFD CV SER A% 37803P204 1592500 65000 SH SOLE 65000 0 0 GLOBAL IMAGING SYSTEMS COM 37934A100 13607003 428567 SH SOLE 428567 0 0 GLOBALSANTAFE CORP SHS G3930E101 4991252 201017 SH SOLE 201017 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 48331494 489532 SH SOLE 489532 0 0 GOLDMAN SACHS GROUP INC NOTE 8/2 38141GCH5 16125300 16560000 SH SOLE 16560000 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 2908200 370000 SH SOLE 370000 0 0 GRAINGER W W INC COM 384802104 50992 1076 SH SOLE 1076 0 0 GREY WOLF INC COM 397888108 4137188 1106200 SH SOLE 1106200 0 0 GTECH HLDGS CORP DBCV 1.750%12/1 400518AB2 9930313 5375000 SH SOLE 5375000 0 0 GUITAR CTR MGMT INC COM 402040109 5846191 179439 SH SOLE 179439 0 0 HALLIBURTON CO COM 406216101 5488808 211108 SH SOLE 211108 0 0 HANOVER COMPRESSOR CO NOTE 4.750% 1/1 410768AE5 138906 125000 SH SOLE 125000 0 0 HARLEY DAVIDSON INC COM 412822108142450975 2997075 SH SOLE 2997075 0 0 HARMAN INTL INDS INC COM 413086109 19768714 267217 SH SOLE 267217 0 0 HARRAHS ENTMT INC COM 413619107 4135887 83100 SH SOLE 83100 0 0 HARRIS CORP DEL DBCV 3.500% 8/1 413875AH8 212325 190000 SH SOLE 190000 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 71711356 1214829 SH SOLE 1214829 0 0 HCA INC COM 404119109155692367 3624124 SH SOLE 3624124 0 0 HCC INS HLDGS INC NOTE 2.000% 9/0 404132AA0 263494 235000 SH SOLE 235000 0 0 HEALTH MGMT ASSOC INC NEW CL A 421933102 2736000 114000 SH SOLE 114000 0 0 HEALTH NET INC COM 42222G108 63013 1927 SH SOLE 1927 0 0 HEALTHCARE RLTY TR COM 421946104 61633 1724 SH SOLE 1724 0 0 HEINZ H J CO COM 423074103 256103 7030 SH SOLE 7030 0 0 HEWLETT PACKARD CO COM 428236103138733172 6039755 SH SOLE 6039755 0 0 HIBBETT SPORTING GOODS INC COM 428565105 7296053 244834 SH SOLE 244834 0 0 HIBERNIA CORP CL A 428656102 5312766 225979 SH SOLE 225979 0 0 HIGHWOODS PPTYS INC COM 431284108 7382434 290647 SH SOLE 290647 0 0 HILFIGER TOMMY CORP ORD G8915Z102 61165 4130 SH SOLE 4130 0 0 HOSPITALITY PPTYS TR COM SH BEN INT 44106M102 801080 19406 SH SOLE 19406 0 0 HOST MARRIOTT CORP NEW COM 44107P104 55748 4525 SH SOLE 4525 0 0 HOT TOPIC INC COM 441339108 11439743 388315 SH SOLE 388315 0 0 HOVNANIAN ENTERPRISES INC CL A 442487203 16835228 193375 SH SOLE 193375 0 0 HUBBELL INC CL B 443510201 74132 1681 SH SOLE 1681 0 0 ICN PHARMACEUTICALS INC NEW NOTE 6.500% 7/1 448924AM2 33852750 29685000 SH SOLE 29685000 0 0 ICOS CORP COM 449295104 2158944 52300 SH SOLE 52300 0 0 IDEXX LABS INC COM 45168D104 3496454 75550 SH SOLE 75550 0 0 ILEX ONCOLOGY INC COM 451923106 4707343 221522 SH SOLE 221522 0 0 ILLINOIS TOOL WKS INC COM 452308109132503120 1579110 SH SOLE 1579110 0 0 IMAGISTICS INTERNATIONAL INC COM 45247T104 574950 15332 SH SOLE 15332 0 0 IMC GLOBAL INC COM 449669100 956398 96314 SH SOLE 96314 0 0 IMPERIAL CHEM INDS PLC ADR NEW 452704505 6840549 477692 SH SOLE 477692 0 0 INDYMAC BANCORP INC COM 456607100 1799316 60400 SH SOLE 60400 0 0 INGERSOLL-RAND COMPANY LTD CL A G4776G101 5758804 84838 SH SOLE 84838 0 0 INTEGRATED CIRCUIT SYS INC COM 45811K208 12222253 429001 SH SOLE 429001 0 0 INTEL CORP COM 458140100161886305 5027525 SH SOLE 5027525 0 0 INTER TEL INC COM 458372109 8845893 354119 SH SOLE 354119 0 0 INTERACTIVECORP COM 45840Q101104629941 3083700 SH SOLE 3083700 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101160317586 1729797 SH SOLE 1729797 0 0 INTERNATIONAL GAME TECHNOLOG DBCV 1/2 459902AL6 8533627 10653000 SH SOLE 10653000 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 86744753 2429825 SH SOLE 2429825 0 0 INTERNATIONAL RECTIFIER CORP NOTE 4.250% 7/1 460254AE5 8316375 8275000 SH SOLE 8275000 0 0 INTERNATIONAL STL GROUP INC COM 460377104 311600 8000 SH SOLE 8000 0 0 INTERPUBLIC GROUP COS INC COM 460690100 36878 2364 SH SOLE 2364 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 5731550 3740000 SH SOLE 3740000 0 0 INTERSIL CORP CL A 46069S109 4562460 183600 SH SOLE 183600 0 0 INTERWOVEN INC COM NEW 46114T508 1011516 80025 SH SOLE 80025 0 0 INTL PAPER CO COM 460146103 68368149 1585900 SH SOLE 1585900 0 0 INTL PAPER CO DBCV 6/2 460146BM4 12797330 23116000 SH SOLE 23116000 0 0 INVITROGEN CORP NOTE 2.250%12/1 46185RAD2 11153911 10560000 SH SOLE 10560000 0 0 ISHARES INC MSCI UTD KINGD 464286699 6714980 431000 SH SOLE 431000 0 0 ISHARES INC MSCI JAPAN 464286848 313300 32500 SH SOLE 32500 0 0 ISHARES TR S&P MIDCP VALU 464287705 331170 3000 SH SOLE 3000 0 0 ISHARES TR RUSSELL1000VAL 464287598 26435773 452900 SH SOLE 452900 0 0 ISHARES TR RUSSELL MCP VL 464287473 167380 1794 SH SOLE 1794 0 0 ISHARES TR RUSL 2000 GROW 464287648 21985 371 SH SOLE 371 0 0 IXIA COM 45071R109 5010256 428227 SH SOLE 428227 0 0 JACOBS ENGR GROUP INC DEL COM 469814107 6256183 130310 SH SOLE 130310 0 0 JEFFERIES GROUP INC NEW COM 472319102 11826641 358166 SH SOLE 358166 0 0 JETBLUE AWYS CORP COM 477143101 1843140 69500 SH SOLE 69500 0 0 JOHNSON & JOHNSON COM 478160104117191588 2268517 SH SOLE 2268517 0 0 JOY GLOBAL INC COM 481165108 2902362 110989 SH SOLE 110989 0 0 JUNIPER NETWORKS INC NOTE 4.750% 3/1 48203RAA2 1763000 1720000 SH SOLE 1720000 0 0 K V PHARMACEUTICAL CO CL A 482740206 4597497 180294 SH SOLE 180294 0 0 KB HOME COM 48666K109 7997143 110275 SH SOLE 110275 0 0 KENNAMETAL INC COM 489170100 714546 17976 SH SOLE 17976 0 0 KERR MCGEE CORP DECS 080404 492386305 9757689 191495 SH SOLE 191495 0 0 KERR MCGEE CORP COM 492386107 78425237 1686927 SH SOLE 1686927 0 0 KEY ENERGY SVCS INC COM 492914106 6119841 593583 SH SOLE 593583 0 0 KIMBERLY CLARK CORP COM 494368103 14887844 251952 SH SOLE 251952 0 0 KLA-TENCOR CORP COM 482480100 77869171 1327240 SH SOLE 1327240 0 0 KOHLS CORP COM 500255104 94973949 2113350 SH SOLE 2113350 0 0 KONINKLIJKE AHOLD N V SPON ADR NEW 500467303 1200084 154650 SH SOLE 154650 0 0 KRAFT FOODS INC CL A 50075N104 28149679 873671 SH SOLE 873671 0 0 KRISPY KREME DOUGHNUTS INC COM 501014104 1844640 50400 SH SOLE 50400 0 0 KROGER CO COM 501044101 52743264 2849447 SH SOLE 2849447 0 0 KROLL INC COM 501049100 8524672 327872 SH SOLE 327872 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 2691264 52400 SH SOLE 52400 0 0 LABONE INC NEW COM 50540L105 1954662 60199 SH SOLE 60199 0 0 LABORATORY CORP AMER HLDGS COM NEW 50540R409 9019717 244106 SH SOLE 244106 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAC6 35201738 49150000 SH SOLE 49150000 0 0 LAM RESEARCH CORP NOTE 4.000% 6/0 512807AE8 8240000 8000000 SH SOLE 8000000 0 0 LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AG6 18891934 18258000 SH SOLE 18258000 0 0 LEAR CORP COM 521865105 800418 13051 SH SOLE 13051 0 0 LEGG MASON INC COM 524901105 4921460 63766 SH SOLE 63766 0 0 LEGG MASON INC NOTE 6/0 524901AG0 14628054 22790000 SH SOLE 22790000 0 0 LEHMAN BROS HLDGS INC NOTE 0.250% 5/0 524908FN5 37129800 32570000 SH SOLE 32570000 0 0 LEHMAN BROS HLDGS INC NOTE 0.625%12/1 524908FB1 4602631 4655000 SH SOLE 4655000 0 0 LEHMAN BROS HLDGS INC COM 524908100 1196910 15500 SH SOLE 15500 0 0 LEHMAN BROS HLDGS INC NOTE 0.250% 5/1 524908FP0 14132188 10250000 SH SOLE 10250000 0 0 LEHMAN BROS HLDGS INC MTN BE MTNF 0.250% 9/2 52517PVE8 36930650 35855000 SH SOLE 35855000 0 0 LENNAR CORP CL A 526057104 82330080 857605 SH SOLE 857605 0 0 LENNAR CORP CL B 526057302 265334 2903 SH SOLE 2903 0 0 LEUCADIA NATL CORP COM 527288104 2858 62 SH SOLE 62 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 986815 904000 SH SOLE 904000 0 0 LIMITED BRANDS INC COM 532716107 1949043 108100 SH SOLE 108100 0 0 LIZ CLAIBORNE INC COM 539320101 2124054 59900 SH SOLE 59900 0 0 LLOYDS TSB GROUP PLC SPONSORED ADR 539439109 3021454 92825 SH SOLE 92825 0 0 LOEWS CORP NOTE 3.125% 9/1 540424AL2 10243522 9935000 SH SOLE 9935000 0 0 LOWES COS INC NOTE 2/1 548661CF2 8247800 8965000 SH SOLE 8965000 0 0 LOWES COS INC COM 548661107103068604 1860780 SH SOLE 1860780 0 0 LOWES COS INC NOTE 0.861%10/1 548661CG0 213500 200000 SH SOLE 200000 0 0 LSI LOGIC CORP COM 502161102 605998 68320 SH SOLE 68320 0 0 LSI LOGIC CORP NOTE 4.000%11/0 502161AG7138638966134521000 SH SOLE 134521000 0 0 M D C HLDGS INC COM 552676108 15770702 244507 SH SOLE 244507 0 0 MACK CALI RLTY CORP COM 554489104 5597765 134497 SH SOLE 134497 0 0 MAIL-WELL INC COM 560321200 2093217 454060 SH SOLE 454060 0 0 MANHATTAN ASSOCS INC COM 562750109 8475032 306622 SH SOLE 306622 0 0 MANITOWOC INC COM 563571108 644623 20661 SH SOLE 20661 0 0 MARCONI CORP PLC NEW SPONSORED ADR 56630M101 37926336 1742404 SH SOLE 1742404 0 0 MARSH & MCLENNAN COS INC COM 571748102 92730748 1936328 SH SOLE 1936328 0 0 MARSHALL & ILSLEY CORP COM 571834100 5442440 142286 SH SOLE 142286 0 0 MASCO CORP NOTE 7/2 574599AW6 8806550 19790000 SH SOLE 19790000 0 0 MAVERICK TUBE CORP NOTE 4.000% 6/1 577914AA2 259063 250000 SH SOLE 250000 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101102736155 2062975 SH SOLE 2062975 0 0 MCDERMOTT INTL INC COM 580037109 760020 63600 SH SOLE 63600 0 0 MCGRAW HILL COS INC COM 580645109 1006848 14400 SH SOLE 14400 0 0 MEADWESTVACO CORP COM 583334107 54169217 1820814 SH SOLE 1820814 0 0 MEDIACOM COMMUNICATIONS CORP CL A 58446K105 2340900 270000 SH SOLE 270000 0 0 MEDICIS PHARMACEUTICAL CORP CL A NEW 584690309 10697353 150033 SH SOLE 150033 0 0 MEDTRONIC INC DBCV 1.250% 9/1 585055AB2 29986870 29070000 SH SOLE 29070000 0 0 MEDTRONIC INC COM 585055106 93222848 1917771 SH SOLE 1917771 0 0 MEMC ELECTR MATLS INC COM 552715104 2537756 263800 SH SOLE 263800 0 0 MERCK & CO INC COM 589331107 64787831 1402334 SH SOLE 1402334 0 0 MERCURY INTERACTIVE CORP COM 589405109 3093504 63600 SH SOLE 63600 0 0 MERCURY INTERACTIVE CORP NOTE 5/0 589405AD1 3803250 3300000 SH SOLE 3300000 0 0 MERITAGE CORP COM 59001A102 3159937 47654 SH SOLE 47654 0 0 MERRILL LYNCH & CO INC COM 590188108 49499368 843979 SH SOLE 843979 0 0 MERRILL LYNCH CO INC MTN BE MTNF 0.250% 7/2 59018YRQ6 14592500 13000000 SH SOLE 13000000 0 0 MESA AIR GROUP INC COM 590479101 5411196 432193 SH SOLE 432193 0 0 METLIFE INC COM 59156R108 324983 9652 SH SOLE 9652 0 0 MGI PHARMA INC COM 552880106 4079652 99141 SH SOLE 99141 0 0 MICHAELS STORES INC COM 594087108 6512428 147340 SH SOLE 147340 0 0 MICRON TECHNOLOGY INC COM 595112103 41178 3057 SH SOLE 3057 0 0 MICRON TECHNOLOGY INC NOTE 2.500% 2/0 595112AG8 3378488 2545000 SH SOLE 2545000 0 0 MICROS SYS INC COM 594901100 9001623 207602 SH SOLE 207602 0 0 MICROSOFT CORP COM 594918104160392354 5823978 SH SOLE 5823978 0 0 MID ATLANTIC MED SVCS INC COM 59523C107 13494989 208256 SH SOLE 208256 0 0 MINERALS TECHNOLOGIES INC COM 603158106 1088186 18366 SH SOLE 18366 0 0 MINORPLANET SYS USA INC COM NEW 604363200 4065903 2139949 SH SOLE 2139949 0 0 MKS INSTRUMENT INC COM 55306N104 7100708 244852 SH SOLE 244852 0 0 MONSANTO CO NEW COM 61166W101 83261 2893 SH SOLE 2893 0 0 MOORE WALLACE INC COM 615857109 3403241 181700 SH SOLE 181700 0 0 MORGAN STANLEY COM NEW 617446448137168393 2370285 SH SOLE 2370285 0 0 MOTOROLA INC EQTY UNIT 7% 620076208 5258246 118700 SH SOLE 118700 0 0 MOTOROLA INC COM 620076109 24860176 1766918 SH SOLE 1766918 0 0 MOVIE GALLERY INC COM 624581104 2738581 146605 SH SOLE 146605 0 0 MSC INDL DIRECT INC CL A 553530106 7074320 257248 SH SOLE 257248 0 0 MYLAN LABS INC COM 628530107 48070 1903 SH SOLE 1903 0 0 NABORS INDS INC DBCV 2/0 629568AF3 7809044 11945000 SH SOLE 11945000 0 0 NASDAQ 100 TR UNIT SER 1 631100104 5002312 137200 SH SOLE 137200 0 0 NAVISTAR FINL CORP NOTE 4.750% 4/0 638902AM8 21943969 20295000 SH SOLE 20295000 0 0 NAVISTAR INTL CORP NEW NOTE 2.500%12/1 63934EAG3 12436229 8117000 SH SOLE 8117000 0 0 NEOWARE SYS INC COM 64065P102 3947011 288098 SH SOLE 288098 0 0 NETFLIX COM INC COM 64110L106 13610919 248874 SH SOLE 248874 0 0 NETIQ CORP COM 64115P102 29057 2193 SH SOLE 2193 0 0 NETSCREEN TECHNOLOGIES INC COM 64117V107 8874335 358559 SH SOLE 358559 0 0 NEUROCRINE BIOSCIENCES INC COM 64125C109 7830581 143575 SH SOLE 143575 0 0 NEW CENTURY FINANCIAL CORP COM 64352D101 2526979 63700 SH SOLE 63700 0 0 NEW YORK CMNTY BANCORP INC COM 649445103 4209814 110639 SH SOLE 110639 0 0 NEWS AMER INC NOTE 2/2 652482AZ3 16572730 28948000 SH SOLE 28948000 0 0 NEXTEL COMMUNICATIONS INC NOTE 6.000% 6/0 65332VBC6 244436 130000 SH SOLE 130000 0 0 NII HLDGS INC CL B NEW 62913F201 32575547 436494 SH SOLE 436494 0 0 NISOURCE INC COM 65473P105 43024 1961 SH SOLE 1961 0 0 NOBLE ENERGY INC COM 655044105 743936 16744 SH SOLE 16744 0 0 NOKIA CORP SPONSORED ADR 654902204 1018800 60000 SH SOLE 60000 0 0 NORFOLK SOUTHERN CORP COM 655844108 27623 1168 SH SOLE 1168 0 0 NORTEL NETWORKS CORP NEW NOTE 4.250% 9/0 656568AB8122153834123203000 SH SOLE 123203000 0 0 NORTHEAST UTILS COM 664397106 64847 3215 SH SOLE 3215 0 0 NORTHROP GRUMMAN CORP COM 666807102 40111752 419579 SH SOLE 419579 0 0 NOVARTIS A G SPONSORED ADR 66987V109 6810076 148400 SH SOLE 148400 0 0 NOVELLUS SYS INC COM 670008101 1913275 45500 SH SOLE 45500 0 0 NPS PHARMACEUTICALS INC COM 62936P103 6915311 224963 SH SOLE 224963 0 0 NVIDIA CORP COM 67066G104 2050650 88200 SH SOLE 88200 0 0 ODYSSEY HEALTHCARE INC COM 67611V101 10217872 349199 SH SOLE 349199 0 0 OFFICE DEPOT INC COM 676220106 69865 4181 SH SOLE 4181 0 0 OLIN CORP COM PAR $1 680665205 5535075 275926 SH SOLE 275926 0 0 OMNICOM GROUP INC COM 681919106144959940 1659910 SH SOLE 1659910 0 0 OMNICOM GROUP INC NOTE 2/0 681919AK2 7401832 7285000 SH SOLE 7285000 0 0 ORACLE CORP COM 68389X105121058480 9171097 SH SOLE 9171097 0 0 OSHKOSH TRUCK CORP COM 688239201 4500846 88200 SH SOLE 88200 0 0 OSI PHARMACEUTICALS INC COM 671040103 3483921 108162 SH SOLE 108162 0 0 OWENS ILL INC COM NEW 690768403 14610004 1228764 SH SOLE 1228764 0 0 OXFORD HEALTH PLANS INC COM 691471106 3353589 77094 SH SOLE 77094 0 0 P F CHANGS CHINA BISTRO INC COM 69333Y108 6754218 132748 SH SOLE 132748 0 0 PACTIV CORP COM 695257105 75883 3175 SH SOLE 3175 0 0 PALL CORP COM 696429307 920967 34326 SH SOLE 34326 0 0 PAN PACIFIC RETAIL PPTYS INC COM 69806L104 905922 19012 SH SOLE 19012 0 0 PANERA BREAD CO CL A 69840W108 6808281 172231 SH SOLE 172231 0 0 PARK PL ENTMT CORP COM 700690100 57518 5311 SH SOLE 5311 0 0 PARKER DRILLING CO COM 701081101 3091153 1212217 SH SOLE 1212217 0 0 PARKER DRILLING CO NOTE 5.500% 8/0 701081AD3 7125282 5543000 SH SOLE 5543000 0 0 PARTNERRE LTD COM G6852T105 71343 1229 SH SOLE 1229 0 0 PATTERSON DENTAL CO COM 703412106 5844206 91088 SH SOLE 91088 0 0 PAYLESS SHOESOURCE INC COM 704379106 5547559 413997 SH SOLE 413997 0 0 PENNEY J C INC COM 708160106 74346 2829 SH SOLE 2829 0 0 PEPSICO INC COM 713448108 86017443 1845076 SH SOLE 1845076 0 0 PETCO ANIMAL SUPPLIES COM NEW 716016209 8372989 274975 SH SOLE 274975 0 0 PFIZER INC COM 717081103155244330 4394122 SH SOLE 4394122 0 0 PG&E CORP COM 69331C108 4288299 154422 SH SOLE 154422 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 1531896 56800 SH SOLE 56800 0 0 PIER 1 IMPORTS INC COM 720279108 1370622 62700 SH SOLE 62700 0 0 PINNACLE WEST CAP CORP COM 723484101 844582 21104 SH SOLE 21104 0 0 PITNEY BOWES INC COM 724479100 14610282 359682 SH SOLE 359682 0 0 PMA CAP CORP DBCV 4.250% 9/3 693419AA1 13617741 16350000 SH SOLE 16350000 0 0 PMA CAP CORP CL A 693419202 2621696 512050 SH SOLE 512050 0 0 PMI GROUP INC DBCV 2.500% 7/1 69344MAE1 268581 245000 SH SOLE 245000 0 0 PMI GROUP INC COM 69344M101 7372285 198020 SH SOLE 198020 0 0 PNC FINL SVCS GROUP INC COM 693475105 50368840 920315 SH SOLE 920315 0 0 POLYONE CORP COM 73179P106 1219301 190814 SH SOLE 190814 0 0 POTASH CORP SASK INC COM 73755L107 74546 862 SH SOLE 862 0 0 PPL CORP COM 69351T106 12064063 275750 SH SOLE 275750 0 0 PRAXAIR INC COM 74005P104124070353 3247915 SH SOLE 3247915 0 0 PREMCOR INC COM 74045Q104 13270218 510393 SH SOLE 510393 0 0 PREMIERE TECHNOLOGIES INC NOTE 5.750% 7/0 74058FAC6 6192487 6267000 SH SOLE 6267000 0 0 PRIDE INTL INC SDCV 4/2 741932AB3 271950 555000 SH SOLE 555000 0 0 PRIDE INTL INC DEL COM 74153Q102 24475550 1313066 SH SOLE 1313066 0 0 PROCTER & GAMBLE CO COM 742718109 3500195 35044 SH SOLE 35044 0 0 PROGRESS SOFTWARE CORP COM 743312100 6904616 337469 SH SOLE 337469 0 0 PROVIDIAN FINL CORP COM 74406A102 1740180 149500 SH SOLE 149500 0 0 PROVIDIAN FINL CORP NOTE 3.250% 8/1 74406AAA0 44021673 44475000 SH SOLE 44475000 0 0 PROVIDIAN FINL CORP NOTE 4.000% 5/1 74406AAC6 4843000 4175000 SH SOLE 4175000 0 0 PROVINCE HEALTHCARE CO NOTE 4.500%11/2 743977AC4 6944600 6860000 SH SOLE 6860000 0 0 PROVINCE HEALTHCARE CO NOTE 4.250%10/1 743977AE0 26863641 25045000 SH SOLE 25045000 0 0 PRUDENTIAL FINL INC COM 744320102 39194546 938342 SH SOLE 938342 0 0 QLOGIC CORP COM 747277101 6749280 130800 SH SOLE 130800 0 0 QUEBECOR WORLD INC COM NON-VTG 748203106 1846923 89700 SH SOLE 89700 0 0 QUEST DIAGNOSTICS INC COM 74834L100 3686864 50429 SH SOLE 50429 0 0 QUEST DIAGNOSTICS INC DBCV 1.750%11/3 74834LAF7 19692173 19016000 SH SOLE 19016000 0 0 QUEST SOFTWARE INC COM 74834T103 1238240 87200 SH SOLE 87200 0 0 RADIAN GROUP INC DBCV 2.250% 1/0 750236AF8 210000 200000 SH SOLE 200000 0 0 RADIAN GROUP INC COM 750236101 8065347 165443 SH SOLE 165443 0 0 RADIO ONE INC CL D NON VTG 75040P405 9818894 508751 SH SOLE 508751 0 0 RADWARE LTD ORD M81873107 8555574 313966 SH SOLE 313966 0 0 RAYTHEON CO COM NEW 755111507 49841166 1659160 SH SOLE 1659160 0 0 RESPIRONICS INC COM 761230101 7345595 162908 SH SOLE 162908 0 0 ROPER INDS INC NEW COM 776696106 12159585 246845 SH SOLE 246845 0 0 ROWAN COS INC COM 779382100 29801810 1286224 SH SOLE 1286224 0 0 ROYAL DUTCH PETE CO NY REG EUR .56 780257804 13579488 259200 SH SOLE 259200 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 7152919 291480 SH SOLE 291480 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 1817976 35900 SH SOLE 35900 0 0 RYLAND GROUP INC COM 783764103 15497285 174834 SH SOLE 174834 0 0 SAFECO CORP COM 786429100 94327 2423 SH SOLE 2423 0 0 SAFEWAY INC COM NEW 786514208 6392790 291775 SH SOLE 291775 0 0 SBC COMMUNICATIONS INC COM 78387G103 13618655 522388 SH SOLE 522388 0 0 SCANA CORP NEW COM 80589M102 722744 21102 SH SOLE 21102 0 0 SCANSOURCE INC COM 806037107 8448048 185183 SH SOLE 185183 0 0 SCHEIN HENRY INC COM 806407102 10607221 156958 SH SOLE 156958 0 0 SCHOLASTIC CORP COM 807066105 351667 10331 SH SOLE 10331 0 0 SCI SYS INC NOTE 3.000% 3/1 783890AF3 1510500 1590000 SH SOLE 1590000 0 0 SCS TRANSN INC COM 81111T102 151768 8633 SH SOLE 8633 0 0 SELECT COMFORT CORP COM 81616X103 9465426 382287 SH SOLE 382287 0 0 SEMTECH CORP COM 816850101 1760325 77445 SH SOLE 77445 0 0 SERENA SOFTWARE INC COM 817492101 8280346 451245 SH SOLE 451245 0 0 SHARPER IMAGE CORP COM 820013100 7023363 215115 SH SOLE 215115 0 0 SIEBEL SYS INC COM 826170102 1776747 128100 SH SOLE 128100 0 0 SIGMATEL INC COM 82661W107 5943487 240822 SH SOLE 240822 0 0 SILICON LABORATORIES INC COM 826919102 1646682 38100 SH SOLE 38100 0 0 SIMPLETECH INC COM 828823104 4201591 699100 SH SOLE 699100 0 0 SINCLAIR BROADCAST GROUP INC CL A 829226109 2941926 197180 SH SOLE 197180 0 0 SKYWEST INC COM 830879102 10773319 594560 SH SOLE 594560 0 0 SKYWORKS SOLUTIONS INC NOTE 4.750%11/1 83088MAB8 1556200 1255000 SH SOLE 1255000 0 0 SL GREEN RLTY CORP COM 78440X101 843167 20540 SH SOLE 20540 0 0 SMITH & WOLLENSKY RESTAURANT COM 831758107 2709437 427356 SH SOLE 427356 0 0 SMITHFIELD FOODS INC COM 832248108 28545 1379 SH SOLE 1379 0 0 SMURFIT-STONE CONTAINER CORP COM 832727101102989981 5546041 SH SOLE 5546041 0 0 SNAP ON INC COM 833034101 78859 2446 SH SOLE 2446 0 0 SOUTHERN CO COM 842587107 402325 13300 SH SOLE 13300 0 0 SOUTHTRUST CORP COM 844730101 12715582 388495 SH SOLE 388495 0 0 SOUTHWEST BANCORPORATION TEX COM 84476R109 9979865 256882 SH SOLE 256882 0 0 SOUTHWEST GAS CORP COM 844895102 40343 1797 SH SOLE 1797 0 0 SOVEREIGN BANCORP INC COM 845905108 12860340 541488 SH SOLE 541488 0 0 SPDR TR UNIT SER 1 78462F103 6231680 56000 SH SOLE 56000 0 0 SPRINT CORP COM FON GROUP 852061100 54186 3300 SH SOLE 3300 0 0 SPX CORP COM 784635104 7267505 123576 SH SOLE 123576 0 0 SPX CORP NOTE 2/0 784635AD6 15612425 22795000 SH SOLE 22795000 0 0 ST JUDE MED INC COM 790849103 1441725 23500 SH SOLE 23500 0 0 ST PAUL COS INC COM 792860108 12856155 324241 SH SOLE 324241 0 0 STATE STR CORP UNIT 99/99/9999 857477202 6912840 28101 SH SOLE 28101 0 0 STATION CASINOS INC COM 857689103 10557426 344676 SH SOLE 344676 0 0 STERICYCLE INC COM 858912108 3876100 83000 SH SOLE 83000 0 0 STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 2085493 80990 SH SOLE 80990 0 0 SUNOCO INC COM 86764P109 782595 15300 SH SOLE 15300 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 5140277 546838 SH SOLE 546838 0 0 SUPERVALU INC NOTE 11/0 868536AP8 21092633 62511000 SH SOLE 62511000 0 0 SYBASE INC COM 871130100 62255 3025 SH SOLE 3025 0 0 SYMANTEC CORP COM 871503108135455513 3909250 SH SOLE 3909250 0 0 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1195200 40000 SH SOLE 40000 0 0 TIME WARNER INC COM 887317105 1423009 79100 SH SOLE 79100 0 0 TIMKEN CO COM 887389104 1903794 94905 SH SOLE 94905 0 0 TJX COS INC NEW COM 872540109108271674 4910280 SH SOLE 4910280 0 0 TORO CO COM 891092108 5699034 122824 SH SOLE 122824 0 0 TRANSATLANTIC HLDGS INC COM 893521104 16322 202 SH SOLE 202 0 0 TRANSOCEAN INC ORD G90078109 44278209 1844157 SH SOLE 1844157 0 0 TRAVELERS PPTY CAS CORP NEW CL B 89420G406 47316517 2788245 SH SOLE 2788245 0 0 TRAVELERS PPTY CAS CORP NEW NT CV JR 2032 89420G307 19257327 777774 SH SOLE 777774 0 0 TRIMBLE NAVIGATION LTD COM 896239100 7668424 205919 SH SOLE 205919 0 0 TUPPERWARE CORP COM 899896104 490289 28275 SH SOLE 28275 0 0 TYCO INTL GROUP S A DBCV 3.125% 1/1 902118BE7 492300 360000 SH SOLE 360000 0 0 TYCO INTL GROUP S A DBCV 2.750% 1/1 902118BF4 23513253 18275000 SH SOLE 18275000 0 0 TYCO INTL GROUP S A DBCV 3.125% 1/1 902118BG2 24991928 18059000 SH SOLE 18059000 0 0 UBS AG NAMEN AKT H8920M855 2351638 34588 SH SOLE 34588 0 0 UCBH HOLDINGS INC COM 90262T308 13370879 343107 SH SOLE 343107 0 0 UNITED DEFENSE INDS INC COM 91018B104 1686452 52900 SH SOLE 52900 0 0 UNITED TECHNOLOGIES CORP COM 913017109145728777 1537710 SH SOLE 1537710 0 0 UNITEDGLOBALCOM CL A 913247508163696016 18517538 SH SOLE 18517538 0 0 UNITEDHEALTH GROUP INC COM 91324P102176989494 3042102 SH SOLE 3042102 0 0 UNIVERSAL HLTH SVCS INC DBCV 0.426% 6/2 913903AL4 2435963 3670000 SH SOLE 3670000 0 0 UNOCAL CORP COM 915289102 20237127 549474 SH SOLE 549474 0 0 UNUMPROVIDENT CORP COM 91529Y106 135622 8600 SH SOLE 8600 0 0 USF&G CORP NOTE 3/0 903290AD6 6345900 7920000 SH SOLE 7920000 0 0 UTSTARCOM INC COM 918076100 2524467 68100 SH SOLE 68100 0 0 VALERO ENERGY CORP NEW COM 91913Y100 29679287 640468 SH SOLE 640468 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 5670962 129800 SH SOLE 129800 0 0 VCA ANTECH INC COM 918194101 7944356 256435 SH SOLE 256435 0 0 VERITAS SOFTWARE CO COM 923436109123632435 3327030 SH SOLE 3327030 0 0 VERIZON COMMUNICATIONS COM 92343V104 37086014 1057184 SH SOLE 1057184 0 0 VERIZON GLOBAL FDG CORP NOTE 5/1 92344GAN6 12999856 21355000 SH SOLE 21355000 0 0 VERTEX PHARMACEUTICALS INC NOTE 5.000% 9/1 92532FAD2 25645152 26065000 SH SOLE 26065000 0 0 VIACOM INC CL B 925524308113156085 2549709 SH SOLE 2549709 0 0 VISTEON CORP COM 92839U107 3539400 340000 SH SOLE 340000 0 0 VITESSE SEMICONDUCTOR CORP SDCV 4.000% 3/1 928497AB2 13234495 13301000 SH SOLE 13301000 0 0 WABASH NATL CORP COM 929566107 8589529 293158 SH SOLE 293158 0 0 WACHOVIA CORP 2ND NEW COM 929903102 47181506 1012696 SH SOLE 1012696 0 0 WAL MART STORES INC COM 931142103108705816 2049120 SH SOLE 2049120 0 0 WALGREEN CO COM 931422109123574129 3396760 SH SOLE 3396760 0 0 WASHINGTON MUT INC COM 939322103 32212790 802911 SH SOLE 802911 0 0 WASTE CONNECTIONS INC NOTE 5.500% 4/1 941053AB6 2871938 2650000 SH SOLE 2650000 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 31838400 884400 SH SOLE 884400 0 0 WEINGARTEN RLTY INVS SH BEN INT 948741103 791470 17846 SH SOLE 17846 0 0 WELLPOINT HEALTH NETWORK NEW COM 94973H108136777723 1410225 SH SOLE 1410225 0 0 WELLS FARGO & CO NEW COM 949746101 200226 3400 SH SOLE 3400 0 0 WERNER ENTERPRISES INC COM 950755108 4397139 225610 SH SOLE 225610 0 0 WESTCORP INC COM 957907108 11273665 308445 SH SOLE 308445 0 0 WILSON GREATBATCH TECHNOLOGI COM 972232102 8459622 200133 SH SOLE 200133 0 0 WINNEBAGO INDS INC COM 974637100 12013856 174747 SH SOLE 174747 0 0 WINTRUST FINANCIAL CORP COM 97650W108 10764153 238673 SH SOLE 238673 0 0 WIRELESS FACILITIES INC COM 97653A103 9857990 663391 SH SOLE 663391 0 0 WMS INDS INC COM 929297109 6401498 244332 SH SOLE 244332 0 0 WORLD COLOR PRESS INC DEL NOTE 6.000%10/0 981443AA2 6832388 6546000 SH SOLE 6546000 0 0 XEROX CORP PFD CONV SER C 984121509 7439593 56500 SH SOLE 56500 0 0 XL CAP LTD CL A G98255105 7250925 93500 SH SOLE 93500 0 0 XL CAP LTD DBCV 5/2 98372PAB4 16790369 26085000 SH SOLE 26085000 0 0 XOMA LTD ORD G9825R107 3418609 517971 SH SOLE 517971 0 0 YANKEE CANDLE INC COM 984757104 9579028 350495 SH SOLE 350495 0 0 YELLOW ROADWAY CORP COM 985577105 711355 19667 SH SOLE 19667 0 0 YUM BRANDS INC COM 988498101 9484218 275704 SH SOLE 275704 0 0
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