13F-HR 1 mack4q05.txt MACKAY SHIELDS LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 2005 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, 34th Floor 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: Rene A. Bustamante Title: Chief Compliance Officer Phone: (212) 230-3811 Signature, Place, and Date of Signing: /s/ Rene A. Bustamante New York, NY January 09, 2006 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: 568 Form13F Information Table Value Total: $11,237,753 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO NOTE 11/2 88579YAB7 585 655000 PRN SOLE 655000 0 0 3M CO COM 88579Y101 60037 774675 SH SOLE 774675 0 0 A C MOORE ARTS & CRAFTS INC COM 00086T103 2333 160320 SH SOLE 160320 0 0 A S V INC COM 001963107 5968 238906 SH SOLE 238906 0 0 AAMES INVT CORP MD COM 00253G108 1448 224075 SH SOLE 224075 0 0 ABBOTT LABS COM 002824100 33039 837919 SH SOLE 837919 0 0 ABITIBI-CONSOLIDATED INC COM 003924107 62189 15357355 SH SOLE 15357355 0 0 ACTEL CORP COM 004934105 2476 194496 SH SOLE 194496 0 0 ACTIVISION INC NEW COM NEW 004930202 5520 401729 SH SOLE 401729 0 0 ACTUANT CORP CL A NEW 00508X203 9401 168490 SH SOLE 168490 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 3381 77800 SH SOLE 77800 0 0 ADVANCED DIGITAL INFORMATION COM 007525108 1672 170790 SH SOLE 170790 0 0 AES CORP COM 00130H105 5303 335000 SH SOLE 335000 0 0 AETNA INC NEW COM 00817Y108 5187 55000 SH SOLE 55000 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 4927 83250 SH SOLE 83250 0 0 AFFILIATED MANAGERS GROUP NOTE 5/0 008252AC2 16768 11860000 PRN SOLE 11860000 0 0 AFFILIATED MANAGERS GROUP COM 008252108 19454 242422 SH SOLE 242422 0 0 AFLAC INC COM 001055102 40704 876864 SH SOLE 876864 0 0 AGCO CORP COM 001084102 9323 562623 SH SOLE 562623 0 0 AIR PRODS & CHEMS INC COM 009158106 4281 72319 SH SOLE 72319 0 0 ALCOA INC COM 013817101 32917 1113187 SH SOLE 1113187 0 0 ALLERGAN INC NOTE 11/0 018490AE2 10 80000 PRN SOLE 80000 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 1509 42400 SH SOLE 42400 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 7903 103750 SH SOLE 103750 0 0 ALLSTATE CORP COM 020002101 36816 680899 SH SOLE 680899 0 0 ALLTEL CORP COM 020039103 37686 597253 SH SOLE 597253 0 0 ALTERA CORP COM 021441100 1875 101200 SH SOLE 101200 0 0 ALZA CORP SDCV 7/2 02261WAB5 21128 25358000 PRN SOLE 25358000 0 0 AMAZON COM INC NOTE 4.750% 2/0 023135AF3 9102 9420000 PRN SOLE 9420000 0 0 AMDOCS LTD ORD G02602103 1645 59800 SH SOLE 59800 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 1830 99830 SH SOLE 99830 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 5485 238700 SH SOLE 238700 0 0 AMERICAN EXPRESS CO COM 025816109 66877 1299594 SH SOLE 1299594 0 0 AMERICAN EXPRESS CO DBCV 1.850%12/0 025816AS8 30932 28970000 PRN SOLE 28970000 0 0 AMERICAN HEALTHWAYS INC COM 02649V104 7860 173701 SH SOLE 173701 0 0 AMERICAN INTL GROUP INC DBCV 11/0 026874AP2 9061 13300000 PRN SOLE 13300000 0 0 AMERICAN STD COS INC DEL COM 029712106 69470 1738923 SH SOLE 1738923 0 0 AMERIPRISE FINL INC COM 03076C106 10658 259953 SH SOLE 259953 0 0 AMGEN INC COM 031162100 84322 1069268 SH SOLE 1069268 0 0 AMGEN INC NOTE 3/0 031162AL4 17722 22591000 PRN SOLE 22591000 0 0 AMPHENOL CORP NEW CL A 032095101 9157 206900 SH SOLE 206900 0 0 ANALOG 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192110 0 0 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 2913 123050 SH SOLE 123050 0 0 ASTEC INDS INC COM 046224101 2113 64700 SH SOLE 64700 0 0 AT&T INC COM 00206R102 39041 1594162 SH SOLE 1594162 0 0 ATMI INC COM 00207R101 1038 37100 SH SOLE 37100 0 0 ATWOOD OCEANICS INC COM 050095108 15061 193021 SH SOLE 193021 0 0 AUDIOCODES LTD NOTE 2.000%11/0 050732AB2 7542 8370000 PRN SOLE 8370000 0 0 AUTODESK INC COM 052769106 9432 219600 SH SOLE 219600 0 0 AVID TECHNOLOGY INC COM 05367P100 2163 39500 SH SOLE 39500 0 0 AVOCENT CORP COM 053893103 6125 225257 SH SOLE 225257 0 0 BAKER HUGHES INC COM 057224107 79585 1309400 SH SOLE 1309400 0 0 BANK OF AMERICA CORPORATION COM 060505104 96293 2086530 SH SOLE 2086530 0 0 BANTA CORP COM 066821109 2323 46655 SH SOLE 46655 0 0 BEAZER HOMES USA INC COM 07556Q105 9819 134795 SH SOLE 134795 0 0 BED BATH & BEYOND INC COM 075896100 60063 1661500 SH SOLE 1661500 0 0 BELDEN CDT INC COM 077454106 2629 107625 SH SOLE 107625 0 0 BELLSOUTH CORP COM 079860102 27786 1025300 SH SOLE 1025300 0 0 BENCHMARK ELECTRS INC COM 08160H101 1923 57185 SH SOLE 57185 0 0 BERKLEY W R CORP COM 084423102 5714 120000 SH SOLE 120000 0 0 BEST BUY INC COM 086516101 68078 1565725 SH SOLE 1565725 0 0 BJ SVCS CO COM 055482103 88620 2416700 SH SOLE 2416700 0 0 BLACK & DECKER CORP COM 091797100 774 8900 SH SOLE 8900 0 0 BLOCK H & R INC COM 093671105 10339 421159 SH SOLE 421159 0 0 BMC SOFTWARE INC COM 055921100 18333 894757 SH SOLE 894757 0 0 BOB EVANS FARMS INC COM 096761101 2056 89180 SH SOLE 89180 0 0 BOIS D ARC ENERGY INC COM 09738U103 6066 382429 SH SOLE 382429 0 0 BOSTON SCIENTIFIC CORP COM 101137107 7306 298302 SH SOLE 298302 0 0 BOWATER INC COM 102183100 23723 772220 SH SOLE 772220 0 0 BOYD GAMING CORP COM 103304101 7487 157100 SH SOLE 157100 0 0 BP PLC SPONSORED ADR 055622104 26433 411659 SH SOLE 411659 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 23543 1024517 SH SOLE 1024517 0 0 BRONCO DRILLING CO INC COM 112211107 4306 187136 SH SOLE 187136 0 0 BROOKLINE BANCORP INC DEL COM 11373M107 1424 100500 SH SOLE 100500 0 0 BRUNSWICK CORP COM 117043109 41691 1025350 SH SOLE 1025350 0 0 BUILDERS FIRSTSOURCE INC COM 12008R107 6746 315705 SH SOLE 315705 0 0 BURLINGTON NORTHN SANTA FE C COM 12189T104 19950 281701 SH SOLE 281701 0 0 C D W CORP COM 12512N105 2159 37500 SH SOLE 37500 0 0 CADBURY SCHWEPPES PLC ADR 127209302 82525 2155810 SH SOLE 2155810 0 0 CAL DIVE INTL INC COM 127914109 12781 356135 SH SOLE 356135 0 0 CALLAWAY GOLF CO COM 131193104 1019 73604 SH SOLE 73604 0 0 CAMBREX CORP COM 132011107 2891 154021 SH SOLE 154021 0 0 CANON INC ADR 138006309 14093 239628 SH SOLE 239628 0 0 CAPITAL ONE FINL CORP COM 14040H105 87387 1011418 SH SOLE 1011418 0 0 CAREMARK RX INC COM 141705103 97241 1877600 SH SOLE 1877600 0 0 CARMIKE CINEMAS INC COM 143436400 2715 107070 SH SOLE 107070 0 0 CARNIVAL CORP DBCV 1.132% 4/2 143658AV4 21444 27099000 PRN SOLE 27099000 0 0 CARNIVAL CORP PAIRED CTF 143658300 29518 552050 SH SOLE 552050 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 980 13900 SH SOLE 13900 0 0 CATALYST SEMICONDUCTOR INC COM 148881105 485 100000 SH SOLE 100000 0 0 CELGENE CORP COM 151020104 3013 46500 SH SOLE 46500 0 0 CENDANT CORP COM 151313103 11914 690650 SH SOLE 690650 0 0 CENTEX CORP COM 152312104 72494 1014050 SH SOLE 1014050 0 0 CENTRAL PAC FINL CORP COM 154760102 764 21270 SH SOLE 21270 0 0 CERADYNE INC COM 156710105 9977 227773 SH SOLE 227773 0 0 CHATTEM INC COM 162456107 7407 203537 SH SOLE 203537 0 0 CHEMTURA CORP COM 163893100 18172 1430842 SH SOLE 1430842 0 0 CHESAPEAKE ENERGY CORP COM 165167107 2110 66500 SH SOLE 66500 0 0 CHESAPEAKE ENERGY CORP PFD CONV 165167842 50059 517438 SH SOLE 517438 0 0 CHEVRON CORP NEW COM 166764100 33686 593377 SH SOLE 593377 0 0 CHICOS FAS INC COM 168615102 18455 420090 SH SOLE 420090 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 8599 173995 SH SOLE 173995 0 0 CHITTENDEN CORP COM 170228100 2016 72488 SH SOLE 72488 0 0 CHRISTOPHER & BANKS CORP COM 171046105 3546 188813 SH SOLE 188813 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 78572 86289000 PRN SOLE 86289000 0 0 CIMAREX ENERGY CO COM 171798101 1809 42050 SH SOLE 42050 0 0 CITIGROUP INC COM 172967101 125257 2581029 SH SOLE 2581029 0 0 CLARCOR INC COM 179895107 5257 176945 SH SOLE 176945 0 0 CLECO CORP NEW COM 12561W105 1470 70510 SH SOLE 70510 0 0 COACH INC COM 189754104 95848 2874875 SH SOLE 2874875 0 0 COLDWATER CREEK INC COM 193068103 11121 364238 SH SOLE 364238 0 0 COMCAST CORP NEW CL A 20030N101 33589 1293893 SH SOLE 1293893 0 0 COMMERCIAL METALS CO COM 201723103 6457 172000 SH SOLE 172000 0 0 COMPASS BANCSHARES INC COM 20449H109 23953 496057 SH SOLE 496057 0 0 COMPUTER SCIENCES CORP COM 205363104 71399 1409934 SH SOLE 1409934 0 0 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 1439 54100 SH SOLE 54100 0 0 CONOCOPHILLIPS COM 20825C104 37241 640101 SH SOLE 640101 0 0 CONSECO INC PFD B CV 5.50% 208464867 59624 2057168 SH SOLE 2057168 0 0 CONSTAR INTL INC NEW COM 21036U107 861 246000 SH SOLE 246000 0 0 CONSTELLATION ENERGY GROUP I COM 210371100 3082 53500 SH SOLE 53500 0 0 COOPER CAMERON CORP COM 216640102 2078 50200 SH SOLE 50200 0 0 COOPER CAMERON CORP DBCV 1.500% 5/1 216640AE2 42053 32002000 PRN SOLE 32002000 0 0 COOPER COS INC COM NEW 216648402 6151 119900 SH SOLE 119900 0 0 CORNING INC COM 219350105 88404 4496650 SH SOLE 4496650 0 0 COST PLUS INC CALIF COM 221485105 3294 192050 SH SOLE 192050 0 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 1423 1266000 SH SOLE 1266000 0 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 22810 20145000 PRN SOLE 20145000 0 0 COVANCE INC COM 222816100 2748 56600 SH SOLE 56600 0 0 COVENTRY HEALTH CARE INC COM 222862104 55908 981529 SH SOLE 981529 0 0 CRA INTL INC COM 12618T105 5780 121199 SH SOLE 121199 0 0 CSK AUTO CORP COM 125965103 1021 67678 SH SOLE 67678 0 0 CSX CORP COM 126408103 15425 303820 SH SOLE 303820 0 0 CULLEN FROST BANKERS INC COM 229899109 2407 44835 SH SOLE 44835 0 0 CV THERAPEUTICS INC COM 126667104 3021 122156 SH SOLE 122156 0 0 CVS CORP COM 126650100 40771 1543217 SH SOLE 1543217 0 0 CYMER INC NOTE 3.500% 2/1 232572AE7 6424 6530000 PRN SOLE 6530000 0 0 CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 15654 13695000 PRN SOLE 13695000 0 0 CYTYC CORP COM 232946103 7769 275200 SH SOLE 275200 0 0 D R HORTON INC COM 23331A109 93252 2609898 SH SOLE 2609898 0 0 DADE BEHRING HLDGS INC COM 23342J206 8614 210679 SH SOLE 210679 0 0 DANA CORP COM 235811106 3504 488000 SH SOLE 488000 0 0 DANAHER CORP DEL COM 235851102 75020 1344925 SH SOLE 1344925 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 1232 150000 PRN SOLE 150000 0 0 DIAGEO P L C SPON ADR NEW 25243Q205 10472 179692 SH SOLE 179692 0 0 DIAMOND OFFSHORE DRILLING IN DBCV 1.500% 4/1 25271CAE2 33308 23138000 PRN SOLE 23138000 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 18575 267039 SH SOLE 267039 0 0 DIAMONDROCK HOSPITALITY CO COM 252784301 780 65225 SH SOLE 65225 0 0 DICKS SPORTING GOODS INC COM 253393102 1978 59500 SH SOLE 59500 0 0 DIGITAS INC COM 25388K104 7173 572901 SH SOLE 572901 0 0 DIODES INC COM 254543101 7552 243221 SH SOLE 243221 0 0 DIRECT GEN CORP COM 25456W204 1965 116275 SH SOLE 116275 0 0 DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 15107 14996000 PRN SOLE 14996000 0 0 DOBSON COMMUNICATIONS CORP CL A 256069105 447 59586 SH SOLE 59586 0 0 DOMINION RES INC VA NEW NOTE 2.125%12/1 25746UAT6 124 114000 PRN SOLE 114000 0 0 DOVER CORP COM 260003108 4364 107775 SH SOLE 107775 0 0 DRESSER-RAND GROUP INC COM 261608103 2793 115515 SH SOLE 115515 0 0 DRS TECHNOLOGIES INC COM 23330X100 8020 155980 SH SOLE 155980 0 0 DTE ENERGY CO COM 233331107 7624 176513 SH SOLE 176513 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 29483 693708 SH SOLE 693708 0 0 DUKE ENERGY CORP COM 264399106 8058 293538 SH SOLE 293538 0 0 E M C CORP MASS COM 268648102 55565 4079650 SH SOLE 4079650 0 0 E TRADE FINANCIAL CORP NOTE 6.000% 2/0 269246AB0 4432 4634000 PRN SOLE 4634000 0 0 EAGLE MATERIALS INC COM 26969P108 17856 146026 SH SOLE 146026 0 0 EATON CORP COM 278058102 1865 27800 SH SOLE 27800 0 0 EBAY INC COM 278642103 34203 790825 SH SOLE 790825 0 0 EFUNDS CORP COM 28224R101 2124 90633 SH SOLE 90633 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 6342 209600 SH SOLE 209600 0 0 ENERGY EAST CORP COM 29266M109 5327 233650 SH SOLE 233650 0 0 ENGINEERED SUPPORT SYS INC COM 292866100 1453 34900 SH SOLE 34900 0 0 ENI S P A SPONSORED ADR 26874R108 2644 18965 SH SOLE 18965 0 0 ENSCO INTL INC COM 26874Q100 149614 3373497 SH SOLE 3373497 0 0 ENTERGY CORP NEW COM 29364G103 17152 249835 SH SOLE 249835 0 0 EPICOR SOFTWARE CORP COM 29426L108 7255 513427 SH SOLE 513427 0 0 ESSEX CORP COM 296744105 718 42100 SH SOLE 42100 0 0 EURONET WORLDWIDE INC COM 298736109 892 32100 SH SOLE 32100 0 0 EXXON MOBIL CORP COM 30231G102 67215 1196641 SH SOLE 1196641 0 0 F5 NETWORKS INC COM 315616102 766 13400 SH SOLE 13400 0 0 FACTSET RESH SYS INC COM 303075105 16321 396525 SH SOLE 396525 0 0 FAIRCHILD SEMICONDUCTOR INTL COM 303726103 1267 74900 SH SOLE 74900 0 0 FARO TECHNOLOGIES INC COM 311642102 3578 178912 SH SOLE 178912 0 0 FEDEX CORP COM 31428X106 83151 804250 SH SOLE 804250 0 0 FIDELITY NATL FINL INC COM 316326107 2053 55800 SH SOLE 55800 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 1029 71115 SH SOLE 71115 0 0 FIRSTENERGY CORP COM 337932107 21596 440831 SH SOLE 440831 0 0 FISHER SCIENTIFIC INTL INC COM NEW 338032204 76434 1235600 SH SOLE 1235600 0 0 FISHER SCIENTIFIC INTL INC NOTE 2.500%10/0 338032AW5 14685 10455000 PRN SOLE 10455000 0 0 FISHER SCIENTIFIC INTL INC NOTE 3.250% 3/0 338032AX3 15080 15084000 PRN SOLE 15084000 0 0 FLIR SYS INC NOTE 3.000% 6/0 302445AB7 4739 4010000 PRN SOLE 4010000 0 0 FLIR SYS INC COM 302445101 4657 208542 SH SOLE 208542 0 0 FLUOR CORP NEW COM 343412102 6760 87500 SH SOLE 87500 0 0 FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 9321 336525 SH SOLE 336525 0 0 FOREST LABS INC COM 345838106 9816 241300 SH SOLE 241300 0 0 FOUNDATION COAL HLDGS INC COM 35039W100 2968 78103 SH SOLE 78103 0 0 FOUR SEASONS HOTEL INC NOTE 1.875% 7/3 35100EAE4 111 114000 PRN SOLE 114000 0 0 FREMONT GEN CORP COM 357288109 2674 115100 SH SOLE 115100 0 0 GAMESTOP CORP NEW CL A 36467W109 2122 66702 SH SOLE 66702 0 0 GANNETT INC COM 364730101 34206 564732 SH SOLE 564732 0 0 GAP INC DEL COM 364760108 35461 2010261 SH SOLE 2010261 0 0 GARMIN LTD ORD G37260109 6522 98300 SH SOLE 98300 0 0 GEN-PROBE INC NEW COM 36866T103 5738 117613 SH SOLE 117613 0 0 GENENTECH INC COM NEW 368710406 69465 750975 SH SOLE 750975 0 0 GENERAL ELECTRIC CO COM 369604103 81955 2338225 SH SOLE 2338225 0 0 GENERAL GROWTH PPTYS INC COM 370021107 9208 195948 SH SOLE 195948 0 0 GENERAL MLS INC COM 370334104 42574 863233 SH SOLE 863233 0 0 GENERAL MTRS CORP DEB SR CV C 33 370442717 4060 255000 SH SOLE 255000 0 0 GENERAL MTRS CORP DEB SR CONV B 370442733 6232 417100 SH SOLE 417100 0 0 GENLYTE GROUP INC COM 372302109 7070 131974 SH SOLE 131974 0 0 GENZYME CORP NOTE 1.250%12/0 372917AN4 30028 26414000 PRN SOLE 26414000 0 0 GETTY IMAGES INC COM 374276103 2821 31600 SH SOLE 31600 0 0 GIANT INDS INC COM 374508109 6251 120304 SH SOLE 120304 0 0 GILEAD SCIENCES INC COM 375558103 68056 1293100 SH SOLE 1293100 0 0 GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 20590 407971 SH SOLE 407971 0 0 GLOBAL IMAGING SYSTEMS COM 37934A100 6449 186241 SH SOLE 186241 0 0 GLOBAL INDS LTD COM 379336100 2249 198109 SH SOLE 198109 0 0 GLOBAL POWER EQUIPMENT INC COM 37941P108 2026 448290 SH SOLE 448290 0 0 GLOBALSANTAFE CORP SHS G3930E101 42523 883133 SH SOLE 883133 0 0 GLOBIX CORP COM NEW 37957F200 12058 12818883 SH SOLE 12818883 0 0 GOLD KIST INC COM 380614107 525 35150 SH SOLE 35150 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 35670 279311 SH SOLE 279311 0 0 GRAFTECH INTL LTD COM 384313102 4596 738973 SH SOLE 738973 0 0 GRANT PRIDECO INC COM 38821G101 9033 204737 SH SOLE 204737 0 0 GREY WOLF INC COM 397888108 4267 552031 SH SOLE 552031 0 0 GUESS INC COM 401617105 2499 70200 SH SOLE 70200 0 0 GUITAR CTR MGMT INC COM 402040109 8413 168217 SH SOLE 168217 0 0 HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 48270 28074000 PRN SOLE 28074000 0 0 HANMI FINL CORP COM 410495105 5121 286761 SH SOLE 286761 0 0 HANOVER COMPRESSOR CO COM 410768105 2488 176339 SH SOLE 176339 0 0 HARLEY DAVIDSON INC COM 412822108 67648 1313800 SH SOLE 1313800 0 0 HARMAN INTL INDS INC COM 413086109 57998 592725 SH SOLE 592725 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 71425 831586 SH SOLE 831586 0 0 HCA INC COM 404119109 18976 375751 SH SOLE 375751 0 0 HEALTH MGMT ASSOC INC NEW NOTE 1.500% 8/0 421933AF9 14312 14204000 PRN SOLE 14204000 0 0 HEALTH MGMT ASSOC INC NEW CL A 421933102 3485 158700 SH SOLE 158700 0 0 HEALTH NET INC COM 42222G108 9109 176700 SH SOLE 176700 0 0 HERLEY INDS INC DEL COM 427398102 1812 109755 SH SOLE 109755 0 0 HIBBETT SPORTING GOODS INC COM 428565105 7045 247386 SH SOLE 247386 0 0 HIGHLAND HOSPITALITY CORP COM 430141101 1187 107390 SH SOLE 107390 0 0 HIGHWOODS PPTYS INC COM 431284108 14317 503242 SH SOLE 503242 0 0 HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 48113 40640000 PRN SOLE 40640000 0 0 HOLLY CORP COM PAR $0.01 435758305 9622 163455 SH SOLE 163455 0 0 HOME DEPOT INC COM 437076102 33514 827903 SH SOLE 827903 0 0 HOOPER HOLMES INC COM 439104100 1117 438030 SH SOLE 438030 0 0 HOSPIRA INC COM 441060100 4672 109200 SH SOLE 109200 0 0 HOUSTON EXPL CO COM 442120101 1219 23093 SH SOLE 23093 0 0 HOVNANIAN ENTERPRISES INC CL A 442487203 18488 372459 SH SOLE 372459 0 0 HSBC HLDGS PLC SPON ADR NEW 404280406 12505 155400 SH SOLE 155400 0 0 HUGHES SUPPLY INC COM 444482103 6730 187744 SH SOLE 187744 0 0 HUNTSMAN CORP PFD MND CV 5% 447011206 6872 169300 SH SOLE 169300 0 0 HYPERION SOLUTIONS CORP COM 44914M104 4543 126808 SH SOLE 126808 0 0 ILLINOIS TOOL WKS INC COM 452308109 70586 802200 SH SOLE 802200 0 0 IMMUCOR INC COM 452526106 6045 258770 SH SOLE 258770 0 0 INCO LTD DBCV 1.000% 3/1 453258AT2 15255 10710000 PRN SOLE 10710000 0 0 INCO LTD COM 453258402 71378 1638259 SH SOLE 1638259 0 0 INDYMAC BANCORP INC COM 456607100 7882 202000 SH SOLE 202000 0 0 INGLES MKTS INC CL A 457030104 512 32710 SH SOLE 32710 0 0 INPUT/OUTPUT INC COM 457652105 953 135500 SH SOLE 135500 0 0 INSITUFORM TECHNOLOGIES INC CL A 457667103 1795 92656 SH SOLE 92656 0 0 INTEGRA LIFESCIENCES HLDGS C COM NEW 457985208 5417 152753 SH SOLE 152753 0 0 INTEL CORP COM 458140100 96722 3875075 SH SOLE 3875075 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 95465 1161368 SH SOLE 1161368 0 0 INTERNATIONAL COAL GRP INC N COM 45928H106 3508 369328 SH SOLE 369328 0 0 INTEROIL CORP COM 460951106 4248 158485 SH SOLE 158485 0 0 INTL PAPER CO COM 460146103 497 14800 SH SOLE 14800 0 0 INTL PAPER CO DBCV 6/2 460146BM4 19233 34142000 PRN SOLE 34142000 0 0 INVITROGEN CORP COM 46185R100 6238 93600 SH SOLE 93600 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 16631 19510000 PRN SOLE 19510000 0 0 IOWA TELECOMM SERVICES INC COM 462594201 1412 91135 SH SOLE 91135 0 0 IRWIN FINL CORP COM 464119106 845 39465 SH SOLE 39465 0 0 ISHARES INC MSCI UTD KINGD 464286699 14171 762710 SH SOLE 762710 0 0 ISHARES INC MSCI PAC J IDX 464286665 1973 20000 SH SOLE 20000 0 0 ISHARES TR MSCI EAFE IDX 464287465 5374 90600 SH SOLE 90600 0 0 ISHARES TR RUSSELL MCP VL 464287473 27205 218659 SH SOLE 218659 0 0 ISHARES TR RUSSELL1000VAL 464287598 6742 97657 SH SOLE 97657 0 0 ISHARES TR S&P EURO PLUS 464287861 11873 147000 SH SOLE 147000 0 0 ISLE OF CAPRI CASINOS INC COM 464592104 4008 164550 SH SOLE 164550 0 0 IVAX CORP NOTE 1.875%12/1 465823AN2 9427 6180000 PRN SOLE 6180000 0 0 IXIA COM 45071R109 5342 361389 SH SOLE 361389 0 0 J2 GLOBAL COMMUNICATIONS INC COM NEW 46626E205 6112 142995 SH SOLE 142995 0 0 JAMES RIVER COAL CO COM NEW 470355207 6556 171620 SH SOLE 171620 0 0 JARDEN CORP COM 471109108 10251 340010 SH SOLE 340010 0 0 JDS UNIPHASE CORP NOTE 11/1 46612JAB7 3879 4550000 PRN SOLE 4550000 0 0 JEFFERIES GROUP INC NEW COM 472319102 7856 174646 SH SOLE 174646 0 0 JO-ANN STORES INC COM 47758P307 1178 99800 SH SOLE 99800 0 0 JOHNSON & JOHNSON COM 478160104 70688 1176167 SH SOLE 1176167 0 0 JOS A BANK CLOTHIERS INC COM 480838101 8710 200643 SH SOLE 200643 0 0 JOURNAL REGISTER CO COM 481138105 2480 165895 SH SOLE 165895 0 0 JOY GLOBAL INC COM 481165108 3587 89675 SH SOLE 89675 0 0 JP MORGAN CHASE & CO COM 46625H100 55366 1394972 SH SOLE 1394972 0 0 KADANT INC COM 48282T104 3092 167115 SH SOLE 167115 0 0 KB HOME COM 48666K109 8254 113600 SH SOLE 113600 0 0 KEANE INC COM 486665102 1398 127002 SH SOLE 127002 0 0 KELLWOOD CO COM 488044108 981 41080 SH SOLE 41080 0 0 KERR MCGEE CORP COM 492386107 23349 256980 SH SOLE 256980 0 0 KEYCORP NEW COM 493267108 16074 488121 SH SOLE 488121 0 0 KIMBERLY CLARK CORP COM 494368103 42896 719132 SH SOLE 719132 0 0 KIRBY CORP COM 497266106 7323 140374 SH SOLE 140374 0 0 KNIGHT TRANSN INC COM 499064103 4985 240453 SH SOLE 240453 0 0 KOHLS CORP COM 500255104 68185 1402975 SH SOLE 1402975 0 0 KRAFT FOODS INC CL A 50075N104 9742 346187 SH SOLE 346187 0 0 KROGER CO COM 501044101 73270 3880799 SH SOLE 3880799 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 73872 993575 SH SOLE 993575 0 0 LA Z BOY INC COM 505336107 2539 187228 SH SOLE 187228 0 0 LABOR READY INC COM NEW 505401208 2690 129200 SH SOLE 129200 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAC6 115065147915000 PRN SOLE 147915000 0 0 LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AG6 82 78000 PRN SOLE 78000 0 0 LANDAMERICA FINL GROUP INC COM 514936103 5366 86000 SH SOLE 86000 0 0 LAS VEGAS SANDS CORP COM 517834107 5305 134400 SH SOLE 134400 0 0 LEARNING TREE INTL INC COM 522015106 1190 92755 SH SOLE 92755 0 0 LEGG MASON INC COM 524901105 1568 13100 SH SOLE 13100 0 0 LENNAR CORP CL A 526057104 86304 1414360 SH SOLE 1414360 0 0 LENNOX INTL INC COM 526107107 4475 158700 SH SOLE 158700 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 28502 27686000 PRN SOLE 27686000 0 0 LIBERTY MEDIA CORP DEB 3.250% 3/1 530715AR2 44 58000 PRN SOLE 58000 0 0 LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 1121 1048000 PRN SOLE 1048000 0 0 LIMITED BRANDS INC COM 532716107 2018 90300 SH SOLE 90300 0 0 LINCARE HLDGS INC DBCV 3.000% 6/1 532791AB6 50893 51285000 PRN SOLE 51285000 0 0 LINEAR TECHNOLOGY CORP COM 535678106 47421 1314700 SH SOLE 1314700 0 0 LLOYDS TSB GROUP PLC SPONSORED ADR 539439109 2005 59375 SH SOLE 59375 0 0 LORAL SPACE & COMMUNICATNS L COM 543881106 44629 1500122 SH SOLE 1500122 0 0 LOWES COS INC COM 548661107 82330 1235075 SH SOLE 1235075 0 0 LOWES COS INC NOTE 0.861%10/1 548661CG0 133 115000 PRN SOLE 115000 0 0 LSI LOGIC CORP NOTE 4.000% 5/1 502161AJ1 109 114000 PRN SOLE 114000 0 0 LSI LOGIC CORP NOTE 4.000%11/0 502161AG7 35751 36796000 PRN SOLE 36796000 0 0 LUCENT TECHNOLOGIES INC COM 549463107 41384 15557654 SH SOLE 15557654 0 0 LUCENT TECHNOLOGIES INC SDCV 8.000% 8/0 549463AK3 47627 46035000 PRN SOLE 46035000 0 0 LYDALL INC DEL COM 550819106 1673 205285 SH SOLE 205285 0 0 M D C HLDGS INC COM 552676108 9827 158563 SH SOLE 158563 0 0 M/I HOMES INC COM 55305B101 3243 79827 SH SOLE 79827 0 0 MAGMA DESIGN AUTOMATION COM 559181102 928 110300 SH SOLE 110300 0 0 MANNKIND CORP COM 56400P201 3745 332600 SH SOLE 332600 0 0 MARSHALL & ILSLEY CORP COM 571834100 15028 349143 SH SOLE 349143 0 0 MASCO CORP COM 574599106 492 16300 SH SOLE 16300 0 0 MASSEY ENERGY CORP COM 576206106 13159 347486 SH SOLE 347486 0 0 MATRIA HEALTHCARE INC COM NEW 576817209 6667 172014 SH SOLE 172014 0 0 MATTEL INC COM 577081102 12564 794214 SH SOLE 794214 0 0 MATTSON TECHNOLOGY INC COM 577223100 1918 190665 SH SOLE 190665 0 0 MAXIM INTEGRATED PRODS INC COM 57772K101 25014 690225 SH SOLE 690225 0 0 MBNA CORP COM 55262L100 13747 506357 SH SOLE 506357 0 0 MCDERMOTT INTL INC COM 580037109 9515 213300 SH SOLE 213300 0 0 MCGRAW HILL COS INC COM 580645109 1926 37300 SH SOLE 37300 0 0 MEDTRONIC INC DBCV 1.250% 9/1 585055AD8 27711 27114000 PRN SOLE 27114000 0 0 MEMC ELECTR MATLS INC COM 552715104 222 10000 SH SOLE 10000 0 0 MENTOR GRAPHICS CORP COM 587200106 2155 208410 SH SOLE 208410 0 0 MERCANTILE BANK CORP COM 587376104 2074 53863 SH SOLE 53863 0 0 MERITAGE HOMES CORP COM 59001A102 7012 111449 SH SOLE 111449 0 0 MERRILL LYNCH & CO INC COM 590188108 44943 663558 SH SOLE 663558 0 0 MICHAELS STORES INC COM 594087108 7728 218500 SH SOLE 218500 0 0 MICROS SYS INC COM 594901100 8969 185616 SH SOLE 185616 0 0 MICROSEMI CORP COM 595137100 3872 140010 SH SOLE 140010 0 0 MICROSOFT CORP COM 594918104 39409 1507028 SH SOLE 1507028 0 0 MINE SAFETY APPLIANCES CO COM 602720104 511 14100 SH SOLE 14100 0 0 MKS INSTRUMENT INC COM 55306N104 1356 75770 SH SOLE 75770 0 0 MOBILE MINI INC COM 60740F105 2531 53400 SH SOLE 53400 0 0 MOHAWK INDS INC COM 608190104 8950 102900 SH SOLE 102900 0 0 MOLEX INC CL A 608554200 37981 1544577 SH SOLE 1544577 0 0 MORGAN STANLEY COM NEW 617446448 49352 869801 SH SOLE 869801 0 0 MOSAIC CO COM 61945A107 1072 73300 SH SOLE 73300 0 0 MOTOROLA INC COM 620076109 106303 4705781 SH SOLE 4705781 0 0 MSC INDL DIRECT INC CL A 553530106 9569 237920 SH SOLE 237920 0 0 NATIONAL OILWELL VARCO INC COM 637071101 8885 141700 SH SOLE 141700 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 51641 1987725 SH SOLE 1987725 0 0 NAVARRE CORP COM 639208107 750 135700 SH SOLE 135700 0 0 NAVISTAR INTL CORP NEW COM 63934E108 5737 200445 SH SOLE 200445 0 0 NEKTAR THERAPEUTICS COM 640268108 4427 268946 SH SOLE 268946 0 0 NEWFIELD EXPL CO COM 651290108 15547 310500 SH SOLE 310500 0 0 NEXSTAR BROADCASTING GROUP I CL A 65336K103 2387 476450 SH SOLE 476450 0 0 NIKE INC CL B 654106103 71615 825150 SH SOLE 825150 0 0 NOKIA CORP SPONSORED ADR 654902204 59991 3278188 SH SOLE 3278188 0 0 NORFOLK SOUTHERN CORP COM 655844108 45024 1004325 SH SOLE 1004325 0 0 NORTEL NETWORKS CORP NEW NOTE 4.250% 9/0 656568AB8 99359105053000 PRN SOLE 105053000 0 0 NORTH FORK BANCORPORATION NY COM 659424105 16463 601736 SH SOLE 601736 0 0 NORTHROP GRUMMAN CORP COM 666807102 53822 895405 SH SOLE 895405 0 0 NOVARTIS A G SPONSORED ADR 66987V109 21922 417872 SH SOLE 417872 0 0 NOVELL INC DBCV 0.500% 7/1 670006AC9 2770 2900000 PRN SOLE 2900000 0 0 OLD DOMINION FGHT LINES INC COM 679580100 6838 253432 SH SOLE 253432 0 0 OLIN CORP COM PAR $1 680665205 14607 742228 SH SOLE 742228 0 0 OMNICARE INC COM 681904108 46749 817000 SH SOLE 817000 0 0 OMNICOM GROUP INC COM 681919106 61283 719875 SH SOLE 719875 0 0 OMNOVA SOLUTIONS INC COM 682129101 2587 538985 SH SOLE 538985 0 0 ORACLE CORP COM 68389X105 54065 4427955 SH SOLE 4427955 0 0 OSHKOSH TRUCK CORP COM 688239201 8958 200900 SH SOLE 200900 0 0 OWENS ILL INC COM NEW 690768403 75063 3567603 SH SOLE 3567603 0 0 PACKAGING DYNAMICS CORP COM 695160101 969 86785 SH SOLE 86785 0 0 PARKER DRILLING CO COM 701081101 269 24800 SH SOLE 24800 0 0 PEABODY ENERGY CORP COM 704549104 89084 1080850 SH SOLE 1080850 0 0 PENN NATL GAMING INC COM 707569109 14354 435631 SH SOLE 435631 0 0 PENN TREATY AMERN CORP COM NEW 707874400 737 73450 SH SOLE 73450 0 0 PEPSICO INC COM 713448108 41819 707839 SH SOLE 707839 0 0 PERFORMANCE FOOD GROUP CO COM 713755106 993 35005 SH SOLE 35005 0 0 PETCO ANIMAL SUPPLIES COM NEW 716016209 2654 120897 SH SOLE 120897 0 0 PFIZER INC COM 717081103 86960 3728991 SH SOLE 3728991 0 0 PG&E CORP NOTE 9.500% 6/3 69331CAD0 8691 3105000 PRN SOLE 3105000 0 0 PG&E CORP COM 69331C108 15505 417698 SH SOLE 417698 0 0 PHARMACEUTICAL HLDRS TR DEPOSITRY RCPT 71712A206 11529 165500 SH SOLE 165500 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 5950 96050 SH SOLE 96050 0 0 PHELPS DODGE CORP COM 717265102 1050 7300 SH SOLE 7300 0 0 PHH CORP COM NEW 693320202 1106 39454 SH SOLE 39454 0 0 PITNEY BOWES INC COM 724479100 21954 519611 SH SOLE 519611 0 0 PLATINUM UNDERWRITER HLDGS L PFD CONV SER A G7127P142 9541 302100 SH SOLE 302100 0 0 PMA CAP CORP DBCV 6.500% 9/3 693419AD5 17177 14585000 PRN SOLE 14585000 0 0 PMI GROUP INC DBCV 2.500% 7/1 69344MAE1 315 305000 PRN SOLE 305000 0 0 PMI GROUP INC COM 69344M101 104484 2544047 SH SOLE 2544047 0 0 PNC FINL SVCS GROUP INC COM 693475105 28725 464587 SH SOLE 464587 0 0 POLYONE CORP COM 73179P106 118 18400 SH SOLE 18400 0 0 PPL CORP COM 69351T106 22512 765691 SH SOLE 765691 0 0 PRA INTL COM 69353C101 2993 106327 SH SOLE 106327 0 0 PRAXAIR INC COM 74005P104 89742 1694525 SH SOLE 1694525 0 0 PREMIERE GLOBAL SVCS INC COM 740585104 2654 326400 SH SOLE 326400 0 0 PRICELINE COM INC NOTE 1.000% 8/0 741503AC0 2719 3125000 PRN SOLE 3125000 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 63614 47960000 PRN SOLE 47960000 0 0 PRIDE INTL INC DEL COM 74153Q102 82911 2696311 SH SOLE 2696311 0 0 PROCTER & GAMBLE CO COM 742718109 3603 62250 SH SOLE 62250 0 0 PROGRESS SOFTWARE CORP COM 743312100 2077 73200 SH SOLE 73200 0 0 PROQUEST COMPANY COM 74346P102 2179 78089 SH SOLE 78089 0 0 PROVIDENT FINL SVCS INC COM 74386T105 1420 76730 SH SOLE 76730 0 0 PRUDENTIAL FINL INC COM 744320102 35289 482152 SH SOLE 482152 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 16450 253200 SH SOLE 253200 0 0 PULTE HOMES INC COM 745867101 1027 26100 SH SOLE 26100 0 0 QLOGIC CORP COM 747277101 3492 107400 SH SOLE 107400 0 0 QUADRAMED CORP COM 74730W101 9832 6553929 SH SOLE 6553929 0 0 QUALCOMM INC COM 747525103 43631 1012800 SH SOLE 1012800 0 0 QUALITY DISTR INC FLA COM 74756M102 2522 316385 SH SOLE 316385 0 0 QUEST DIAGNOSTICS INC COM 74834L100 70086 1361425 SH SOLE 1361425 0 0 RAYTHEON CO COM NEW 755111507 32157 800915 SH SOLE 800915 0 0 REGAL ENTMT GROUP CL A 758766109 7716 405662 SH SOLE 405662 0 0 REINSURANCE GROUP AMER INC COM 759351109 1294 27095 SH SOLE 27095 0 0 REMINGTON OIL & GAS CORP COM 759594302 7353 201460 SH SOLE 201460 0 0 REMOTE DYNAMICS INC COM 75962A105 187 645736 SH SOLE 645736 0 0 RESEARCH IN MOTION LTD COM 760975102 12327 186750 SH SOLE 186750 0 0 RESPIRONICS INC COM 761230101 2495 67300 SH SOLE 67300 0 0 ROPER INDS INC NEW COM 776696106 6049 153100 SH SOLE 153100 0 0 ROPER INDS INC NEW NOTE 1.481% 1/1 776696AA4 94 172000 PRN SOLE 172000 0 0 ROWAN COS INC COM 779382100 92916 2607069 SH SOLE 2607069 0 0 RUSSELL CORP COM 782352108 765 56828 SH SOLE 56828 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 15051 268824 SH SOLE 268824 0 0 RYLAND GROUP INC COM 783764103 14381 199367 SH SOLE 199367 0 0 S & T BANCORP INC COM 783859101 1169 31737 SH SOLE 31737 0 0 SAFENET INC COM 78645R107 2201 68305 SH SOLE 68305 0 0 SANDY SPRING BANCORP INC COM 800363103 914 26215 SH SOLE 26215 0 0 SANOFI AVENTIS SPONSORED ADR 80105N105 5811 132500 SH SOLE 132500 0 0 SCHEIN HENRY INC COM 806407102 4844 111000 SH SOLE 111000 0 0 SCHERING PLOUGH CORP PFD CONV MAND 806605606 3713 69040 SH SOLE 69040 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 53515 38677000 PRN SOLE 38677000 0 0 SCIENTIFIC GAMES CORP CL A 80874P109 2169 79500 SH SOLE 79500 0 0 SCOTTISH RE GROUP LTD ORD G7885T104 3643 148375 SH SOLE 148375 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 6623 146400 SH SOLE 146400 0 0 SEACHANGE INTL INC COM 811699107 862 109120 SH SOLE 109120 0 0 SELECT SECTOR SPDR TR SBI MATERIALS 81369Y100 6815 225000 SH SOLE 225000 0 0 SEMCO ENERGY INC COM 78412D109 1252 222780 SH SOLE 222780 0 0 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 3283 89600 SH SOLE 89600 0 0 SHERWIN WILLIAMS CO COM 824348106 5573 122700 SH SOLE 122700 0 0 SHUFFLE MASTER INC COM 825549108 1424 56650 SH SOLE 56650 0 0 SIERRA HEALTH SVCS INC COM 826322109 20426 259300 SH SOLE 259300 0 0 SIERRA PAC RES NEW COM 826428104 1792 137415 SH SOLE 137415 0 0 SIGMATEL INC COM 82661W107 2141 163460 SH SOLE 163460 0 0 SIMPSON MANUFACTURING CO INC COM 829073105 9490 261081 SH SOLE 261081 0 0 SIRIUS SATELLITE RADIO INC NOTE 2.500% 2/1 82966UAC7 12304 7667000 PRN SOLE 7667000 0 0 SIRIUS SATELLITE RADIO INC COM 82966U103 4965 741100 SH SOLE 741100 0 0 SLM CORP DBCV 7/2 78442PAC0 1215 1187000 PRN SOLE 1187000 0 0 SMART & FINAL INC COM 831683107 775 60190 SH SOLE 60190 0 0 SOVEREIGN BANCORP INC COM 845905108 28826 1333274 SH SOLE 1333274 0 0 SPARTAN STORES INC COM 846822104 543 52150 SH SOLE 52150 0 0 SPARTECH CORP COM NEW 847220209 1431 65195 SH SOLE 65195 0 0 SPDR TR UNIT SER 1 78462F103 9923 79700 SH SOLE 79700 0 0 SPECTRUM BRANDS INC COM 84762L105 408 20075 SH SOLE 20075 0 0 SPRINT NEXTEL CORP COM FON 852061100 81513 3489428 SH SOLE 3489428 0 0 ST JOE CO COM 790148100 10238 152300 SH SOLE 152300 0 0 ST JUDE MED INC DBCV 2.800%12/1 790849AB9 32132 32025000 PRN SOLE 32025000 0 0 ST PAUL TRAVELERS INC COM 792860108 44502 996238 SH SOLE 996238 0 0 STANLEY WKS COM 854616109 4852 101000 SH SOLE 101000 0 0 STAR GAS PARTNERS L P UNIT LTD PARTNR 85512C105 1032 554950 SH SOLE 554950 0 0 STARBUCKS CORP COM 855244109 450 15000 SH SOLE 15000 0 0 STATE STR CORP COM 857477103 17212 310458 SH SOLE 310458 0 0 STATION CASINOS INC COM 857689103 2488 36700 SH SOLE 36700 0 0 STEEL DYNAMICS INC COM 858119100 959 27000 SH SOLE 27000 0 0 STEIN MART INC COM 858375108 1570 86500 SH SOLE 86500 0 0 STEWART ENTERPRISES INC CL A 860370105 1560 288430 SH SOLE 288430 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 2168 103000 SH SOLE 103000 0 0 SUPERVALU INC NOTE 11/0 868536AP8 7211 21055000 PRN SOLE 21055000 0 0 SURMODICS INC COM 868873100 4843 130929 SH SOLE 130929 0 0 SYMBION INC DEL COM 871507109 2354 102335 SH SOLE 102335 0 0 TARGET CORP COM 87612E106 71943 1308775 SH SOLE 1308775 0 0 TELEWEST GLOBAL INC COM 87956T107 16003 671816 SH SOLE 671816 0 0 TEMPLE INLAND INC COM 879868107 16656 371361 SH SOLE 371361 0 0 TEREX CORP NEW COM 880779103 23172 390094 SH SOLE 390094 0 0 TESORO CORP COM 881609101 13639 221600 SH SOLE 221600 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 4780 184903 SH SOLE 184903 0 0 TETRA TECHNOLOGIES INC DEL COM 88162F105 8720 285716 SH SOLE 285716 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.250% 2/0 88164RAB3 30457 24318000 PRN SOLE 24318000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 11882 276075 SH SOLE 276075 0 0 TEVA PHARMACEUTICALS FIN B V DBCV 0.375%11/1 88164MAB4 22529 11210000 PRN SOLE 11210000 0 0 TEXAS INSTRS INC COM 882508104 13924 434179 SH SOLE 434179 0 0 TIDEWATER INC COM 886423102 9412 211700 SH SOLE 211700 0 0 TIME WARNER INC COM 887317105 52060 2985115 SH SOLE 2985115 0 0 TIMKEN CO COM 887389104 15860 495306 SH SOLE 495306 0 0 TJX COS INC NEW COM 872540109 5773 248525 SH SOLE 248525 0 0 TJX COS INC NEW NOTE 2/1 872540AL3 91 114000 PRN SOLE 114000 0 0 TORO CO COM 891092108 11428 261100 SH SOLE 261100 0 0 TRAMMELL CROW CO COM 89288R106 2439 95085 SH SOLE 95085 0 0 TRANSOCEAN INC ORD G90078109 176661 2534962 SH SOLE 2534962 0 0 TRIAD GTY INC COM 895925105 706 16060 SH SOLE 16060 0 0 TRIBUNE CO NEW COM 896047107 30861 1019857 SH SOLE 1019857 0 0 TRICO MARINE SERVICES INC COM NEW 896106200 3073 118200 SH SOLE 118200 0 0 TRIDENT MICROSYSTEMS INC COM 895919108 1166 64800 SH SOLE 64800 0 0 TRIMBLE NAVIGATION LTD COM 896239100 7210 203137 SH SOLE 203137 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 25646 973294 SH SOLE 973294 0 0 TYCO INTL GROUP S A DBCV 3.125% 1/1 902118BG2 1710 1255000 PRN SOLE 1255000 0 0 TYCO INTL GROUP S A DBCV 2.750% 1/1 902118BF4 30243 23730000 PRN SOLE 23730000 0 0 U S XPRESS ENTERPRISES INC CL A 90338N103 1168 67200 SH SOLE 67200 0 0 UBS AG NAMEN AKT H8920M855 10994 115549 SH SOLE 115549 0 0 UCBH HOLDINGS INC COM 90262T308 9836 550069 SH SOLE 550069 0 0 UGI CORP NEW COM 902681105 1984 96290 SH SOLE 96290 0 0 UNITED TECHNOLOGIES CORP COM 913017109 83988 1502200 SH SOLE 1502200 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 2101 30400 SH SOLE 30400 0 0 UNITEDHEALTH GROUP INC COM 91324P102 149598 2407439 SH SOLE 2407439 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 19578 418853 SH SOLE 418853 0 0 US BANCORP DEL COM NEW 902973304 43478 1454615 SH SOLE 1454615 0 0 VARIAN MED SYS INC COM 92220P105 11181 222100 SH SOLE 222100 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 1155 26300 SH SOLE 26300 0 0 VENTIV HEALTH INC COM 922793104 5157 218318 SH SOLE 218318 0 0 VERISIGN INC COM 92343E102 5362 244600 SH SOLE 244600 0 0 VERIZON COMMUNICATIONS COM 92343V104 60914 2022371 SH SOLE 2022371 0 0 VERIZON GLOBAL FDG CORP NOTE 5/1 92344GAN6 15085 23850000 PRN SOLE 23850000 0 0 VIACOM INC CL B 925524308 28510 874550 SH SOLE 874550 0 0 VODAFONE GROUP PLC NEW SPONSORED ADR 92857W100 13672 637100 SH SOLE 637100 0 0 W HLDG CO INC COM 929251106 3245 394300 SH SOLE 394300 0 0 WABTEC CORP COM 929740108 10204 379318 SH SOLE 379318 0 0 WACHOVIA CORP 2ND NEW COM 929903102 46250 874951 SH SOLE 874951 0 0 WADDELL & REED FINL INC CL A 930059100 2207 105260 SH SOLE 105260 0 0 WAL MART STORES INC COM 931142103 40242 859871 SH SOLE 859871 0 0 WALGREEN CO COM 931422109 66088 1493175 SH SOLE 1493175 0 0 WARNACO GROUP INC COM NEW 934390402 2247 84100 SH SOLE 84100 0 0 WASHINGTON MUT INC COM 939322103 28381 652438 SH SOLE 652438 0 0 WAUSAU PAPER CORP COM 943315101 2177 183682 SH SOLE 183682 0 0 WCI CMNTYS INC COM 92923C104 13878 516879 SH SOLE 516879 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 89188 2463766 SH SOLE 2463766 0 0 WEBEX COMMUNICATIONS INC COM 94767L109 1544 71400 SH SOLE 71400 0 0 WEBMD CORP NOTE 1.750% 6/1 94769MAE5 4208 5130000 PRN SOLE 5130000 0 0 WELLCARE HEALTH PLANS INC COM 94946T106 2967 72638 SH SOLE 72638 0 0 WELLPOINT INC COM 94973V107 122715 1537973 SH SOLE 1537973 0 0 WELLS FARGO & CO NEW COM 949746101 39792 633332 SH SOLE 633332 0 0 WESCO INTL INC COM 95082P105 7243 169500 SH SOLE 169500 0 0 WESTCORP INC COM 957907108 13144 197328 SH SOLE 197328 0 0 WHOLE FOODS MKT INC SDCV 3/0 966837AC0 2657 1614000 PRN SOLE 1614000 0 0 WINNEBAGO INDS INC COM 974637100 3468 104200 SH SOLE 104200 0 0 WINTRUST FINANCIAL CORP COM 97650W108 8358 152236 SH SOLE 152236 0 0 WITNESS SYS INC COM 977424100 5357 272320 SH SOLE 272320 0 0 WORLD FUEL SVCS CORP COM 981475106 2593 76900 SH SOLE 76900 0 0 WYETH COM 983024100 28030 608413 SH SOLE 608413 0 0 WYETH DBCV 1/1 983024AD2 1185 1149000 PRN SOLE 1149000 0 0 XL CAP LTD CL A G98255105 2175 32290 SH SOLE 32290 0 0 ZENITH NATL INS CORP COM 989390109 1990 43150 SH SOLE 43150 0 0 ZORAN CORP COM 98975F101 2446 150895 SH SOLE 150895 0 0