-----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, Lfn2E+XDt0pXk4S2Iqgu/FUUafw0kNuuC8USfnI1sQgktqtpbv59iwWUFPZSOslz FrS4+gL9WSSY+xIcX/DS/A== 0001085146-06-000588.txt : 20061006 0001085146-06-000588.hdr.sgml : 20061006 20061006155431 ACCESSION NUMBER: 0001085146-06-000588 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061006 DATE AS OF CHANGE: 20061006 EFFECTIVENESS DATE: 20061006 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MACKAY SHIELDS LLC CENTRAL INDEX KEY: 0000061227 IRS NUMBER: 134080466 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-00046 FILM NUMBER: 061134046 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 mack3q06.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: September 30, 2006 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 October 05, 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: 525 Form13F Information Table Value Total: $10,781,516 (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 10220 11515000 PRN SOLE 11515000 0 0 3M CO COM 88579Y101 26056 350125 SH SOLE 350125 0 0 A C MOORE ARTS & CRAFTS INC COM 00086T103 3169 166498 SH SOLE 166498 0 0 A S V INC COM 001963107 3665 245782 SH SOLE 245782 0 0 ABBOTT LABS COM 002824100 49596 1021334 SH SOLE 1021334 0 0 ABERCROMBIE & FITCH CO CL A 002896207 4634 66700 SH SOLE 66700 0 0 ACTEL CORP COM 004934105 2949 189621 SH SOLE 189621 0 0 ACTUANT CORP CL A NEW 00508X203 8593 171523 SH SOLE 171523 0 0 ADOLOR CORP COM 00724X102 1636 117956 SH SOLE 117956 0 0 ADVANCED MICRO DEVICES INC COM 007903107 55317 2226044 SH SOLE 2226044 0 0 AES CORP COM 00130H105 6808 333900 SH SOLE 333900 0 0 AETNA INC NEW COM 00817Y108 3457 87400 SH SOLE 87400 0 0 AFFILIATED MANAGERS GROUP COM 008252108 31470 314362 SH SOLE 314362 0 0 AFFILIATED MANAGERS GROUP NOTE 5/0 008252AC2 20664 11755000 PRN SOLE 11755000 0 0 AFLAC INC COM 001055102 52270 1142256 SH SOLE 1142256 0 0 AGCO CORP COM 001084102 8925 352040 SH SOLE 352040 0 0 AIR PRODS & CHEMS INC COM 009158106 3157 47569 SH SOLE 47569 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 74778 1495850 SH SOLE 1495850 0 0 ALCOA INC COM 013817101 30890 1101640 SH SOLE 1101640 0 0 ALKERMES INC COM 01642T108 1403 88512 SH SOLE 88512 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 14826 238400 SH SOLE 238400 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 8439 152900 SH SOLE 152900 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 11985 147850 SH SOLE 147850 0 0 ALLSTATE CORP COM 020002101 41982 669242 SH SOLE 669242 0 0 ALLTEL CORP COM 020039103 39199 706281 SH SOLE 706281 0 0 ALZA CORP SDCV 7/2 02261WAB5 30621 34067000 PRN SOLE 34067000 0 0 AMAZON COM INC NOTE 4.750% 2/0 023135AF3 9128 9350000 PRN SOLE 9350000 0 0 AMDOCS LTD NOTE 0.500% 3/1 02342TAD1 283 290000 PRN SOLE 290000 0 0 AMDOCS LTD ORD G02602103 9797 247400 SH SOLE 247400 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 2533 151765 SH SOLE 151765 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 12680 289300 SH SOLE 289300 0 0 AMERICAN EXPRESS CO COM 025816109 70608 1259062 SH SOLE 1259062 0 0 AMERICAN EXPRESS CO DBCV 1.850%12/0 025816AS8 37694 37050000 PRN SOLE 37050000 0 0 AMERICAN INTL GROUP INC DBCV 11/0 026874AP2 9377 13300000 PRN SOLE 13300000 0 0 AMERICAN STD COS INC DEL COM 029712106 65107 1551278 SH SOLE 1551278 0 0 AMERICREDIT CORP COM 03060R101 9179 367300 SH SOLE 367300 0 0 AMERIPRISE FINL INC COM 03076C106 20131 429233 SH SOLE 429233 0 0 AMGEN INC COM 031162100 68893 963135 SH SOLE 963135 0 0 AMGEN INC NOTE 3/0 031162AL4 2517 3373000 PRN SOLE 3373000 0 0 AMPHENOL CORP NEW CL A 032095101 19409 313400 SH SOLE 313400 0 0 AMR CORP COM 001765106 1157 50000 SH SOLE 50000 0 0 AMR CORP NOTE 4.500% 2/1 001765BB1 5901 4660000 PRN SOLE 4660000 0 0 ANGIOTECH PHARMACEUTICALS IN COM 034918102 628 71600 SH SOLE 71600 0 0 ANIXTER INTL INC COM 035290105 11480 203299 SH SOLE 203299 0 0 APACHE CORP COM 037411105 23953 379000 SH SOLE 379000 0 0 APOGEE ENTERPRISES INC COM 037598109 1001 65795 SH SOLE 65795 0 0 APPLE COMPUTER INC COM 037833100 93185 1209725 SH SOLE 1209725 0 0 ARCH CHEMICALS INC COM 03937R102 16968 596414 SH SOLE 596414 0 0 ARCH COAL INC COM 039380100 3310 114500 SH SOLE 114500 0 0 ARCTIC CAT INC COM 039670104 2001 120520 SH SOLE 120520 0 0 ARMOR HOLDINGS INC NOTE 2.000%11/0 042260AC3 210 200000 PRN SOLE 200000 0 0 ARRIS GROUP INC COM 04269Q100 4991 435542 SH SOLE 435542 0 0 ARTHROCARE CORP COM 043136100 9357 199674 SH SOLE 199674 0 0 ARVINMERITOR INC NOTE 4.625% 3/0 043353AF8 7644 7805000 PRN SOLE 7805000 0 0 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 24966 966559 SH SOLE 966559 0 0 ASTEC INDS INC COM 046224101 1634 64700 SH SOLE 64700 0 0 AT&T INC COM 00206R102 41243 1266663 SH SOLE 1266663 0 0 ATMI INC COM 00207R101 1078 37100 SH SOLE 37100 0 0 ATWOOD OCEANICS INC COM 050095108 19600 435850 SH SOLE 435850 0 0 AUDIOCODES LTD NOTE 2.000%11/0 050732AB2 10967 12445000 PRN SOLE 12445000 0 0 AUTODESK INC COM 052769106 9123 262300 SH SOLE 262300 0 0 AVIS BUDGET GROUP COM 053774105 1092 59730 SH SOLE 59730 0 0 AVNET INC COM 053807103 8240 420000 SH SOLE 420000 0 0 AVOCENT CORP COM 053893103 11781 391142 SH SOLE 391142 0 0 BAKER HUGHES INC COM 057224107 75476 1106682 SH SOLE 1106682 0 0 BALL CORP COM 058498106 42598 1053109 SH SOLE 1053109 0 0 BANK NEW YORK INC COM 064057102 42731 1211877 SH SOLE 1211877 0 0 BANK OF AMERICA CORPORATION COM 060505104 164665 3073836 SH SOLE 3073836 0 0 BANTA CORP COM 066821109 1745 36650 SH SOLE 36650 0 0 BARR PHARMACEUTICALS INC COM 068306109 52163 1004301 SH SOLE 1004301 0 0 BEAZER HOMES USA INC COM 07556Q105 2706 69301 SH SOLE 69301 0 0 BED BATH & BEYOND INC COM 075896100 59456 1554000 SH SOLE 1554000 0 0 BELDEN CDT INC COM 077454106 779 20365 SH SOLE 20365 0 0 BENCHMARK ELECTRS INC COM 08160H101 1012 37657 SH SOLE 37657 0 0 BERKLEY W R CORP COM 084423102 10718 302850 SH SOLE 302850 0 0 BERKSHIRE HILLS BANCORP INC COM 084680107 839 23575 SH SOLE 23575 0 0 BEST BUY INC COM 086516101 77169 1440800 SH SOLE 1440800 0 0 BEST BUY INC SDCV 2.250% 1/1 086516AF8 207 200000 PRN SOLE 200000 0 0 BIO-REFERENCE LABS INC COM $.01 NEW 09057G602 3657 162913 SH SOLE 162913 0 0 BJ SVCS CO COM 055482103 64441 2138775 SH SOLE 2138775 0 0 BLACK & DECKER CORP COM 091797100 706 8900 SH SOLE 8900 0 0 BLOCK H & R INC COM 093671105 23503 1081117 SH SOLE 1081117 0 0 BMC SOFTWARE INC COM 055921100 5851 214942 SH SOLE 214942 0 0 BOSTON SCIENTIFIC CORP COM 101137107 3810 257602 SH SOLE 257602 0 0 BOWATER INC COM 102183100 8257 401406 SH SOLE 401406 0 0 BOYD GAMING CORP COM 103304101 2187 56900 SH SOLE 56900 0 0 BP PLC SPONSORED ADR 055622104 55448 845634 SH SOLE 845634 0 0 BRONCO DRILLING CO INC COM 112211107 2855 162400 SH SOLE 162400 0 0 BROOKLINE BANCORP INC DEL COM 11373M107 1383 100575 SH SOLE 100575 0 0 BROOKS AUTOMATION INC COM 114340102 1965 150550 SH SOLE 150550 0 0 BUCKEYE TECHNOLOGIES INC COM 118255108 1521 178950 SH SOLE 178950 0 0 C D W CORP COM 12512N105 3022 49000 SH SOLE 49000 0 0 CABLEVISION SYS CORP CL A NY CABLVS 12686C109 8328 366700 SH SOLE 366700 0 0 CADBURY SCHWEPPES PLC ADR 127209302 40789 954359 SH SOLE 954359 0 0 CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 4732 3525000 PRN SOLE 3525000 0 0 CALLAWAY GOLF CO COM 131193104 965 73604 SH SOLE 73604 0 0 CAMBREX CORP COM 132011107 3191 154096 SH SOLE 154096 0 0 CANON INC ADR 138006309 6853 131441 SH SOLE 131441 0 0 CAPITAL ONE FINL CORP COM 14040H105 70322 894000 SH SOLE 894000 0 0 CAPITALSOURCE INC COM 14055X102 6837 264800 SH SOLE 264800 0 0 CARAUSTAR INDS INC COM 140909102 2194 275300 SH SOLE 275300 0 0 CAREMARK RX INC COM 141705103 96927 1710380 SH SOLE 1710380 0 0 CARMIKE CINEMAS INC COM 143436400 2409 140195 SH SOLE 140195 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 1849 17200 SH SOLE 17200 0 0 CASH AMER INTL INC COM 14754D100 6548 167562 SH SOLE 167562 0 0 CEDAR SHOPPING CTRS INC COM NEW 150602209 1438 88935 SH SOLE 88935 0 0 CELANESE CORP DEL PFD 4.25% CONV 150870202 15205 549300 SH SOLE 549300 0 0 CELGENE CORP COM 151020104 2615 60400 SH SOLE 60400 0 0 CENTURY ALUM CO NOTE 1.750% 8/0 156431AE8 5883 4505000 PRN SOLE 4505000 0 0 CEPHALON INC COM 156708109 7138 115600 SH SOLE 115600 0 0 CERADYNE INC COM 156710105 6974 169730 SH SOLE 169730 0 0 CHATTEM INC COM 162456107 4472 127333 SH SOLE 127333 0 0 CHEMTURA CORP COM 163893100 18006 2076790 SH SOLE 2076790 0 0 CHESAPEAKE CORP COM 165159104 948 66250 SH SOLE 66250 0 0 CHESAPEAKE ENERGY CORP COM 165167107 943 32539 SH SOLE 32539 0 0 CHEVRON CORP NEW COM 166764100 59568 918403 SH SOLE 918403 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 9751 152293 SH SOLE 152293 0 0 CHIQUITA BRANDS INTL INC COM 170032809 805 60200 SH SOLE 60200 0 0 CHITTENDEN CORP COM 170228100 2081 72538 SH SOLE 72538 0 0 CHRISTOPHER & BANKS CORP COM 171046105 1125 38148 SH SOLE 38148 0 0 CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 18022 13340000 PRN SOLE 13340000 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 73461 79820000 PRN SOLE 79820000 0 0 CIMAREX ENERGY CO COM 171798101 1021 29025 SH SOLE 29025 0 0 CISCO SYS INC COM 17275R102 37776 1642418 SH SOLE 1642418 0 0 CITIGROUP FDG INC NOTE 0.500% 2/0 17308CDA1 14674 15680000 PRN SOLE 15680000 0 0 CITIGROUP INC COM 172967101 124795 2512482 SH SOLE 2512482 0 0 CITIZENS BKG CORP MICH COM 174420109 1317 50150 SH SOLE 50150 0 0 CITRIX SYS INC COM 177376100 58657 1619900 SH SOLE 1619900 0 0 CLARCOR INC COM 179895107 5550 182026 SH SOLE 182026 0 0 CLECO CORP NEW COM 12561W105 1275 50510 SH SOLE 50510 0 0 COACH INC COM 189754104 93540 2719175 SH SOLE 2719175 0 0 COEUR D ALENE MINES CORP IDA NOTE 1.250% 1/1 192108AQ1 5759 6145000 PRN SOLE 6145000 0 0 COLDWATER CREEK INC COM 193068103 7354 255698 SH SOLE 255698 0 0 COMCAST CORP NEW CL A 20030N101 110504 2998650 SH SOLE 2998650 0 0 COMMERCIAL METALS CO COM 201723103 6589 324100 SH SOLE 324100 0 0 COMPASS BANCSHARES INC COM 20449H109 18973 332984 SH SOLE 332984 0 0 COMPUTER SCIENCES CORP COM 205363104 36595 745018 SH SOLE 745018 0 0 CONMED CORP COM 207410101 1010 47825 SH SOLE 47825 0 0 CONOCOPHILLIPS COM 20825C104 48549 815551 SH SOLE 815551 0 0 CONSECO INC DBCV 3.500% 9/3 208464BH9 15889 15370000 PRN SOLE 15370000 0 0 CONSOL ENERGY INC COM 20854P109 6159 194100 SH SOLE 194100 0 0 COOPER CAMERON CORP DBCV 1.500% 5/1 216640AE2 40627 27062000 PRN SOLE 27062000 0 0 CORNING INC COM 219350105 82305 3371775 SH SOLE 3371775 0 0 COST PLUS INC CALIF COM 221485105 3015 251900 SH SOLE 251900 0 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 38902 34255000 PRN SOLE 34255000 0 0 COVANCE INC COM 222816100 6432 96900 SH SOLE 96900 0 0 COVENTRY HEALTH CARE INC COM 222862104 50507 980329 SH SOLE 980329 0 0 CRA INTL INC COM 12618T105 5875 123285 SH SOLE 123285 0 0 CSK AUTO CORP COM 125965103 1309 92803 SH SOLE 92803 0 0 CSX CORP COM 126408103 24328 741028 SH SOLE 741028 0 0 CULLEN FROST BANKERS INC COM 229899109 2303 39835 SH SOLE 39835 0 0 CVS CORP COM 126650100 37155 1156772 SH SOLE 1156772 0 0 CYMER INC COM 232572107 3910 89039 SH SOLE 89039 0 0 CYTYC CORP COM 232946103 15660 639700 SH SOLE 639700 0 0 DADE BEHRING HLDGS INC COM 23342J206 8504 211748 SH SOLE 211748 0 0 DAKTRONICS INC COM 234264109 1128 54520 SH SOLE 54520 0 0 DANAHER CORP DEL COM 235851102 86873 1265075 SH SOLE 1265075 0 0 DAVITA INC COM 23918K108 10295 177900 SH SOLE 177900 0 0 DEPOMED INC COM 249908104 376 92100 SH SOLE 92100 0 0 DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 12764 10127000 PRN SOLE 10127000 0 0 DIAGEO P L C SPON ADR NEW 25243Q205 8932 125800 SH SOLE 125800 0 0 DIAMOND OFFSHORE DRILLING IN DBCV 1.500% 4/1 25271CAE2 37043 24405000 PRN SOLE 24405000 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 14933 206339 SH SOLE 206339 0 0 DIAMONDROCK HOSPITALITY CO COM 252784301 917 55225 SH SOLE 55225 0 0 DICKS SPORTING GOODS INC COM 253393102 2795 61400 SH SOLE 61400 0 0 DIGITAS INC COM 25388K104 2840 295253 SH SOLE 295253 0 0 DIODES INC COM 254543101 10730 248543 SH SOLE 248543 0 0 DISNEY WALT CO NOTE 2.125% 4/1 254687AU0 52464 46335000 PRN SOLE 46335000 0 0 DOVER CORP COM 260003108 4984 105050 SH SOLE 105050 0 0 DRESSER-RAND GROUP INC COM 261608103 4945 242392 SH SOLE 242392 0 0 DRS TECHNOLOGIES INC COM 23330X100 6417 146942 SH SOLE 146942 0 0 DST SYS INC DEL DBCV 3.625% 8/1 233326AD9 55 45000 PRN SOLE 45000 0 0 DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 259 210000 PRN SOLE 210000 0 0 DTE ENERGY CO COM 233331107 295 7100 SH SOLE 7100 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 54719 1277299 SH SOLE 1277299 0 0 DUKE ENERGY CORP NEW COM 26441C105 17549 581105 SH SOLE 581105 0 0 E M C CORP MASS COM 268648102 55434 4627239 SH SOLE 4627239 0 0 EDISON INTL COM 281020107 20408 490104 SH SOLE 490104 0 0 EDUCATION RLTY TR INC COM 28140H104 906 61400 SH SOLE 61400 0 0 ELECTRONIC DATA SYS NEW NOTE 3.875% 7/1 285661AF1 14978 14787000 PRN SOLE 14787000 0 0 EMULEX CORP COM NEW 292475209 23565 1296914 SH SOLE 1296914 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 10182 312800 SH SOLE 312800 0 0 ENERGY EAST CORP COM 29266M109 13655 575657 SH SOLE 575657 0 0 ENI S P A SPONSORED ADR 26874R108 4111 69112 SH SOLE 69112 0 0 ENSCO INTL INC COM 26874Q100 93542 2134194 SH SOLE 2134194 0 0 ENTERGY CORP NEW COM 29364G103 18464 236027 SH SOLE 236027 0 0 EPICOR SOFTWARE CORP COM 29426L108 6860 523306 SH SOLE 523306 0 0 ERICSSON L M TEL CO ADR B SEK 10 294821608 25781 748350 SH SOLE 748350 0 0 ESSEX CORP COM 296744105 802 46100 SH SOLE 46100 0 0 EURONET WORLDWIDE INC COM 298736109 709 28900 SH SOLE 28900 0 0 EXXON MOBIL CORP COM 30231G102 83633 1246403 SH SOLE 1246403 0 0 F5 NETWORKS INC COM 315616102 580 10800 SH SOLE 10800 0 0 FACTSET RESH SYS INC COM 303075105 23884 491731 SH SOLE 491731 0 0 FAIRCHILD SEMICONDUCTOR INTL COM 303726103 1429 76400 SH SOLE 76400 0 0 FEDEX CORP COM 31428X106 82268 756975 SH SOLE 756975 0 0 FIRST NIAGARA FINL GP INC COM 33582V108 1037 71155 SH SOLE 71155 0 0 FIRSTENERGY CORP COM 337932107 24142 432188 SH SOLE 432188 0 0 FISHER SCIENTIFIC INTL INC COM NEW 338032204 89694 1146398 SH SOLE 1146398 0 0 FISHER SCIENTIFIC INTL INC NOTE 2.500%10/0 338032AW5 18165 10455000 PRN SOLE 10455000 0 0 FISHER SCIENTIFIC INTL INC NOTE 3.250% 3/0 338032AX3 29350 25068000 PRN SOLE 25068000 0 0 FLIR SYS INC COM 302445101 4796 176574 SH SOLE 176574 0 0 FLUOR CORP NEW COM 343412102 8804 114500 SH SOLE 114500 0 0 FORD MTR CO CAP TR II PFD TR CV6.5% 345395206 11718 348211 SH SOLE 348211 0 0 FOREST LABS INC COM 345838106 21524 425306 SH SOLE 425306 0 0 FOUNDATION COAL HLDGS INC COM 35039W100 3898 120407 SH SOLE 120407 0 0 GAMESTOP CORP NEW CL A 36467W109 4569 98721 SH SOLE 98721 0 0 GANNETT INC COM 364730101 53376 939221 SH SOLE 939221 0 0 GAP INC DEL COM 364760108 38536 2033546 SH SOLE 2033546 0 0 GARMIN LTD ORD G37260109 11751 240900 SH SOLE 240900 0 0 GEN-PROBE INC NEW COM 36866T103 5681 121157 SH SOLE 121157 0 0 GENENTECH INC COM NEW 368710406 59068 714250 SH SOLE 714250 0 0 GENERAL ELECTRIC CO COM 369604103 81364 2304925 SH SOLE 2304925 0 0 GENERAL GROWTH PPTYS INC COM 370021107 14235 298748 SH SOLE 298748 0 0 GENERAL MLS INC COM 370334104 74622 1318405 SH SOLE 1318405 0 0 GENERAL MTRS CORP DEB SR CONV B 370442733 8269 410000 SH SOLE 410000 0 0 GENLYTE GROUP INC COM 372302109 11364 159598 SH SOLE 159598 0 0 GENWORTH FINL INC COM CL A 37247D106 79156 2260972 SH SOLE 2260972 0 0 GENZYME CORP NOTE 1.250%12/0 372917AN4 29713 26944000 PRN SOLE 26944000 0 0 GIANT INDS INC COM 374508109 6174 76034 SH SOLE 76034 0 0 GILEAD SCIENCES INC COM 375558103 83103 1209650 SH SOLE 1209650 0 0 GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 19826 372536 SH SOLE 372536 0 0 GLOBAL IMAGING SYSTEMS COM 37934A100 6960 315359 SH SOLE 315359 0 0 GLOBAL INDS LTD COM 379336100 353 22659 SH SOLE 22659 0 0 GLOBALSANTAFE CORP SHS G3930E101 14550 291062 SH SOLE 291062 0 0 GLOBIX CORP COM NEW 37957F200 37707 11694844 SH SOLE 11694844 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 36142 213641 SH SOLE 213641 0 0 GOODYEAR TIRE & RUBR CO NOTE 4.000% 6/1 382550AR2 9689 7238000 PRN SOLE 7238000 0 0 GRAFTECH INTL LTD COM 384313102 2155 368948 SH SOLE 368948 0 0 GRAINGER W W INC COM 384802104 36379 542812 SH SOLE 542812 0 0 GRANT PRIDECO INC COM 38821G101 1902 50000 SH SOLE 50000 0 0 GREY WOLF INC COM 397888108 3071 459619 SH SOLE 459619 0 0 GUESS INC COM 401617105 2955 60900 SH SOLE 60900 0 0 GUITAR CTR MGMT INC COM 402040109 7724 172877 SH SOLE 172877 0 0 HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 38563 24360000 PRN SOLE 24360000 0 0 HANGER ORTHOPEDIC GROUP INC COM NEW 41043F208 694 105400 SH SOLE 105400 0 0 HANMI FINL CORP COM 410495105 3760 191807 SH SOLE 191807 0 0 HANOVER COMPRESSOR CO COM 410768105 2118 116264 SH SOLE 116264 0 0 HANOVER INS GROUP INC COM 410867105 4543 101800 SH SOLE 101800 0 0 HARLEY DAVIDSON INC COM 412822108 78155 1245500 SH SOLE 1245500 0 0 HARMAN INTL INDS INC COM 413086109 44540 533800 SH SOLE 533800 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 54543 628743 SH SOLE 628743 0 0 HEALTH MGMT ASSOC INC NEW NOTE 1.500% 8/0 421933AF9 14338 14005000 PRN SOLE 14005000 0 0 HEALTH NET INC COM 42222G108 12434 285700 SH SOLE 285700 0 0 HEALTHTRONICS INC COM 42222L107 588 95375 SH SOLE 95375 0 0 HEALTHWAYS INC COM 422245100 6034 135293 SH SOLE 135293 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 10621 317995 SH SOLE 317995 0 0 HERCULES OFFSHORE INC COM 427093109 4662 150123 SH SOLE 150123 0 0 HESS CORP COM 42809H107 16781 405159 SH SOLE 405159 0 0 HEWLETT PACKARD CO NOTE 10/1 428236AC7 7337 10489000 SH SOLE 10489000 0 0 HIBBETT SPORTING GOODS INC COM 428565105 6561 250614 SH SOLE 250614 0 0 HIGHLAND HOSPITALITY CORP COM 430141101 1539 107390 SH SOLE 107390 0 0 HIGHWOODS PPTYS INC COM 431284108 17607 473156 SH SOLE 473156 0 0 HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 55458 42187000 PRN SOLE 42187000 0 0 HOLLY CORP COM PAR $0.01 435758305 6040 139394 SH SOLE 139394 0 0 HOLOGIC INC COM 436440101 927 21300 SH SOLE 21300 0 0 HOME DEPOT INC COM 437076102 54801 1510935 SH SOLE 1510935 0 0 HONEYWELL INTL INC COM 438516106 44938 1098738 SH SOLE 1098738 0 0 HOOPER HOLMES INC COM 439104100 1308 388030 SH SOLE 388030 0 0 HORIZON OFFSHORE INC COM NEW 44043J204 1950 114025 SH SOLE 114025 0 0 HOSPIRA INC COM 441060100 5974 156100 SH SOLE 156100 0 0 HOT TOPIC INC COM 441339108 1789 160550 SH SOLE 160550 0 0 HOUSTON EXPL CO COM 442120101 1186 21498 SH SOLE 21498 0 0 HSBC HLDGS PLC SPON ADR NEW 404280406 11413 124700 SH SOLE 124700 0 0 HYDRIL COM 448774109 3544 63212 SH SOLE 63212 0 0 HYPERION SOLUTIONS CORP COM 44914M104 2185 63370 SH SOLE 63370 0 0 ILLINOIS TOOL WKS INC COM 452308109 48916 1089450 SH SOLE 1089450 0 0 IMMUCOR INC COM 452526106 9015 402243 SH SOLE 402243 0 0 INCO LTD DBCV 1.000% 3/1 453258AT2 183 140000 PRN SOLE 140000 0 0 INPUT/OUTPUT INC COM 457652105 1346 135500 SH SOLE 135500 0 0 INTEGRA LIFESCIENCES HLDGS C COM NEW 457985208 2696 71933 SH SOLE 71933 0 0 INTEL CORP COM 458140100 75260 3658735 SH SOLE 3658735 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 20222 22470000 PRN SOLE 22470000 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 7747 103200 SH SOLE 103200 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 31194 380690 SH SOLE 380690 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 13819 13065000 PRN SOLE 13065000 0 0 INTERSIL CORP CL A 46069S109 6621 269700 SH SOLE 269700 0 0 INVENTIV HEALTH INC COM 46122E105 8165 254909 SH SOLE 254909 0 0 INVITROGEN CORP COM 46185R100 7761 122400 SH SOLE 122400 0 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 158 185000 PRN SOLE 185000 0 0 IOWA TELECOMM SERVICES INC COM 462594201 1804 91135 SH SOLE 91135 0 0 IRWIN FINL CORP COM 464119106 2006 102560 SH SOLE 102560 0 0 ISHARES TR RUSSELL MCP VL 464287473 34386 252600 SH SOLE 252600 0 0 ISHARES TR RUSSELL1000VAL 464287598 15119 196170 SH SOLE 196170 0 0 ITRON INC COM 465741106 7840 140501 SH SOLE 140501 0 0 ITRON INC NOTE 2.500% 8/0 465741AJ5 4524 3990000 PRN SOLE 3990000 0 0 J2 GLOBAL COMMUNICATIONS INC COM NEW 46626E205 17314 637273 SH SOLE 637273 0 0 JARDEN CORP COM 471109108 8991 272700 SH SOLE 272700 0 0 JEFFERIES GROUP INC NEW COM 472319102 10237 359180 SH SOLE 359180 0 0 JOHNSON & JOHNSON COM 478160104 116436 1792976 SH SOLE 1792976 0 0 JOS A BANK CLOTHIERS INC COM 480838101 1627 54323 SH SOLE 54323 0 0 JOURNAL REGISTER CO COM 481138105 1466 258490 SH SOLE 258490 0 0 JOY GLOBAL INC COM 481165108 8860 235575 SH SOLE 235575 0 0 JP MORGAN CHASE & CO COM 46625H100 98831 2104572 SH SOLE 2104572 0 0 KADANT INC COM 48282T104 3367 137090 SH SOLE 137090 0 0 KEANE INC COM 486665102 1830 127002 SH SOLE 127002 0 0 KEYCORP NEW COM 493267108 26719 713631 SH SOLE 713631 0 0 KIMBERLY CLARK CORP COM 494368103 33733 516101 SH SOLE 516101 0 0 KIRBY CORP COM 497266106 9030 288228 SH SOLE 288228 0 0 KNIGHT TRANSN INC COM 499064103 4173 246188 SH SOLE 246188 0 0 KOHLS CORP COM 500255104 82138 1265225 SH SOLE 1265225 0 0 KOS PHARMACEUTICALS INC COM 500648100 52939 1071189 SH SOLE 1071189 0 0 KROGER CO COM 501044101 80713 3488012 SH SOLE 3488012 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 18781 18315000 PRN SOLE 18315000 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 67705 864350 SH SOLE 864350 0 0 LA Z BOY INC COM 505336107 2355 168728 SH SOLE 168728 0 0 LABOR READY INC COM NEW 505401208 5629 353375 SH SOLE 353375 0 0 LABORATORY CORP AMER HLDGS COM NEW 50540R409 203 3100 SH SOLE 3100 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAC6 24028 26756000 PRN SOLE 26756000 0 0 LANDAMERICA FINL GROUP INC COM 514936103 3013 45800 SH SOLE 45800 0 0 LAS VEGAS SANDS CORP COM 517834107 7915 115800 SH SOLE 115800 0 0 LEARNING TREE INTL INC COM 522015106 573 70455 SH SOLE 70455 0 0 LEGG MASON INC COM 524901105 1628 16136 SH SOLE 16136 0 0 LEHMAN BROS HLDGS INC COM 524908100 9365 126800 SH SOLE 126800 0 0 LENNOX INTL INC COM 526107107 4168 182000 SH SOLE 182000 0 0 LIBERTY MEDIA CORP DEB 3.500% 1/1 530715AN1 37634 33893000 PRN SOLE 33893000 0 0 LIBERTY MEDIA CORP NEW DEB 0.750% 3/3 530718AF2 337 320000 PRN SOLE 320000 0 0 LIFECELL CORP COM 531927101 3819 118520 SH SOLE 118520 0 0 LINEAR TECHNOLOGY CORP COM 535678106 19407 623597 SH SOLE 623597 0 0 LLOYDS TSB GROUP PLC SPONSORED ADR 539439109 3291 81375 SH SOLE 81375 0 0 LOGITECH INTERNATIONAL S A SPONSORED ADR 541419107 31806 1462340 SH SOLE 1462340 0 0 LORAL SPACE & COMMUNICATNS L COM 543881106 33616 1211305 SH SOLE 1211305 0 0 LOWES COS INC COM 548661107 46136 1644208 SH SOLE 1644208 0 0 LOWES COS INC NOTE 0.861%10/1 548661CG0 4174 4190000 PRN SOLE 4190000 0 0 LSI LOGIC CORP NOTE 4.000%11/0 502161AG7 34862 35724000 PRN SOLE 35724000 0 0 LUCENT TECHNOLOGIES INC SDCV 8.000% 8/0 549463AK3 42410 41443000 PRN SOLE 41443000 0 0 LYDALL INC DEL COM 550819106 1828 205435 SH SOLE 205435 0 0 MANNKIND CORP COM 56400P201 8096 426100 SH SOLE 426100 0 0 MARSHALL & ILSLEY CORP COM 571834100 27606 572992 SH SOLE 572992 0 0 MATRIA HEALTHCARE INC COM NEW 576817209 4243 152695 SH SOLE 152695 0 0 MATTEL INC COM 577081102 14989 760850 SH SOLE 760850 0 0 MATTSON TECHNOLOGY INC COM 577223100 1207 145465 SH SOLE 145465 0 0 MCDATA CORP CL A 580031201 1489 296000 SH SOLE 296000 0 0 MCDERMOTT INTL INC COM 580037109 6456 154450 SH SOLE 154450 0 0 MCGRAW HILL COS INC COM 580645109 2133 36749 SH SOLE 36749 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 27025 27599000 PRN SOLE 27599000 0 0 MEMC ELECTR MATLS INC COM 552715104 8531 232900 SH SOLE 232900 0 0 MENTOR GRAPHICS CORP SDCV 6.250% 3/0 587200AF3 12634 10915000 PRN SOLE 10915000 0 0 MENTOR GRAPHICS CORP COM 587200106 1524 108210 SH SOLE 108210 0 0 MERCANTILE BANK CORP COM 587376104 2239 56617 SH SOLE 56617 0 0 MERITAGE HOMES CORP COM 59001A102 2733 65688 SH SOLE 65688 0 0 MERRILL LYNCH & CO INC COM 590188108 43013 549897 SH SOLE 549897 0 0 MERRILL LYNCH & CO INC NOTE 3/1 590188W46 2753 2356000 PRN SOLE 2356000 0 0 MICREL INC COM 594793101 956 99690 SH SOLE 99690 0 0 MICROS SYS INC COM 594901100 9267 189433 SH SOLE 189433 0 0 MICROSEMI CORP COM 595137100 2725 144530 SH SOLE 144530 0 0 MICROSOFT CORP COM 594918104 57093 2089029 SH SOLE 2089029 0 0 MKS INSTRUMENT INC COM 55306N104 979 48200 SH SOLE 48200 0 0 MOBILE MINI INC COM 60740F105 6943 244392 SH SOLE 244392 0 0 MOLEX INC CL A 608554200 33140 1006983 SH SOLE 1006983 0 0 MORGAN STANLEY COM NEW 617446448 66255 908716 SH SOLE 908716 0 0 MOTOROLA INC COM 620076109 118800 4751998 SH SOLE 4751998 0 0 MSC INDL DIRECT INC CL A 553530106 9924 243583 SH SOLE 243583 0 0 MYOGEN INC COM 62856E104 3574 101890 SH SOLE 101890 0 0 NABORS INDS INC NOTE 6/1 629568AL0 108 110000 PRN SOLE 110000 0 0 NASDAQ STOCK MARKET INC COM 631103108 6314 208800 SH SOLE 208800 0 0 NATIONAL OILWELL VARCO INC COM 637071101 10153 173400 SH SOLE 173400 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 57400 2439450 SH SOLE 2439450 0 0 NEKTAR THERAPEUTICS COM 640268108 3971 275517 SH SOLE 275517 0 0 NEWFIELD EXPL CO COM 651290108 11959 310300 SH SOLE 310300 0 0 NEWS CORP CL A 65248E104 40916 2082250 SH SOLE 2082250 0 0 NEXSTAR BROADCASTING GROUP I CL A 65336K103 1940 491175 SH SOLE 491175 0 0 NII HLDGS INC NOTE 2.750% 8/1 62913FAF9 15933 11212000 PRN SOLE 11212000 0 0 NIKE INC CL B 654106103 47678 544150 SH SOLE 544150 0 0 NOKIA CORP SPONSORED ADR 654902204 30016 1525193 SH SOLE 1525193 0 0 NORFOLK SOUTHERN CORP COM 655844108 46154 1047775 SH SOLE 1047775 0 0 NORTEL NETWORKS CORP NEW NOTE 4.250% 9/0 656568AB8 133214139637000 PRN SOLE 139637000 0 0 NORTH FORK BANCORPORATION NY COM 659424105 21860 763282 SH SOLE 763282 0 0 NORTHROP GRUMMAN CORP COM 666807102 26626 391162 SH SOLE 391162 0 0 NOVARTIS A G SPONSORED ADR 66987V109 34892 597372 SH SOLE 597372 0 0 NRG ENERGY INC PFD CONV MAND 629377870 19488 82363 SH SOLE 82363 0 0 OLD DOMINION FGHT LINES INC COM 679580100 7828 260664 SH SOLE 260664 0 0 OLIN CORP COM PAR $1 680665205 9912 645321 SH SOLE 645321 0 0 OMNICARE INC COM 681904108 25841 599700 SH SOLE 599700 0 0 OMNICOM GROUP INC COM 681919106 58102 620750 SH SOLE 620750 0 0 OMNOVA SOLUTIONS INC COM 682129101 2028 485285 SH SOLE 485285 0 0 OREGON STL MLS INC COM 686079104 9085 185900 SH SOLE 185900 0 0 OSHKOSH TRUCK CORP COM 688239201 12007 237900 SH SOLE 237900 0 0 OWENS ILL INC COM NEW 690768403 13252 859430 SH SOLE 859430 0 0 PARKWAY PPTYS INC COM 70159Q104 840 18070 SH SOLE 18070 0 0 PARTNERRE LTD COM G6852T105 22795 337344 SH SOLE 337344 0 0 PEABODY ENERGY CORP COM 704549104 42578 1157650 SH SOLE 1157650 0 0 PENN NATL GAMING INC COM 707569109 18102 495661 SH SOLE 495661 0 0 PEPSICO INC COM 713448108 55506 850526 SH SOLE 850526 0 0 PERFORMANCE FOOD GROUP CO COM 713755106 561 19980 SH SOLE 19980 0 0 PETCO ANIMAL SUPPLIES COM NEW 716016209 3561 124324 SH SOLE 124324 0 0 PFIZER INC COM 717081103 103205 3639085 SH SOLE 3639085 0 0 PG&E CORP COM 69331C108 16673 400298 SH SOLE 400298 0 0 PG&E CORP NOTE 9.500% 6/3 69331CAD0 9279 3060000 PRN SOLE 3060000 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 9854 276100 SH SOLE 276100 0 0 PHELPS DODGE CORP COM 717265102 1474 17400 SH SOLE 17400 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 19995 478689 SH SOLE 478689 0 0 PITNEY BOWES INC COM 724479100 25387 572167 SH SOLE 572167 0 0 PMI GROUP INC COM 69344M101 112323 2563884 SH SOLE 2563884 0 0 PNC FINL SVCS GROUP INC COM 693475105 36706 506712 SH SOLE 506712 0 0 POLYONE CORP COM 73179P106 153 18400 SH SOLE 18400 0 0 PPL CORP COM 69351T106 24393 741435 SH SOLE 741435 0 0 PRA INTL COM 69353C101 1943 72797 SH SOLE 72797 0 0 PRAXAIR INC COM 74005P104 88463 1495325 SH SOLE 1495325 0 0 PREMIERE GLOBAL SVCS INC COM 740585104 4690 540350 SH SOLE 540350 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 41971 34540000 PRN SOLE 34540000 0 0 PRIDE INTL INC DEL COM 74153Q102 5902 215262 SH SOLE 215262 0 0 PROCTER & GAMBLE CO COM 742718109 347 5600 SH SOLE 5600 0 0 PROGENICS PHARMACEUTICALS IN COM 743187106 1843 78557 SH SOLE 78557 0 0 PROGRESS SOFTWARE CORP COM 743312100 1903 73200 SH SOLE 73200 0 0 PRUDENTIAL FINL INC COM 744320102 80437 1054907 SH SOLE 1054907 0 0 QLOGIC CORP COM 747277101 6774 358400 SH SOLE 358400 0 0 QUADRAMED CORP COM 74730W101 12464 5250009 SH SOLE 5250009 0 0 QUAKER CHEM CORP COM 747316107 586 30140 SH SOLE 30140 0 0 QUALITY DISTR INC FLA COM 74756M102 2299 156185 SH SOLE 156185 0 0 QUANTA SVCS INC COM 74762E102 6294 373334 SH SOLE 373334 0 0 QUEST DIAGNOSTICS INC COM 74834L100 81766 1336925 SH SOLE 1336925 0 0 RAILAMERICA INC COM 750753105 1277 116925 SH SOLE 116925 0 0 RAYTHEON CO COM NEW 755111507 22709 472995 SH SOLE 472995 0 0 RBC BEARINGS INC COM 75524B104 3918 162212 SH SOLE 162212 0 0 REALOGY CORP COM 75605E100 3387 149325 SH SOLE 149325 0 0 RESEARCH IN MOTION LTD COM 760975102 20689 201535 SH SOLE 201535 0 0 RESPIRONICS INC COM 761230101 2691 69700 SH SOLE 69700 0 0 ROPER INDS INC NEW COM 776696106 14339 320500 SH SOLE 320500 0 0 ROWAN COS INC COM 779382100 54521 1723733 SH SOLE 1723733 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 8148 123300 SH SOLE 123300 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 18032 285224 SH SOLE 285224 0 0 S & T BANCORP INC COM 783859101 1750 53847 SH SOLE 53847 0 0 SAFECO CORP COM 786429100 20552 348744 SH SOLE 348744 0 0 SAFENET INC COM 78645R107 2119 116505 SH SOLE 116505 0 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 11346 11835000 PRN SOLE 11835000 0 0 SANDY SPRING BANCORP INC COM 800363103 927 26215 SH SOLE 26215 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 15807 12727000 PRN SOLE 12727000 0 0 SCHEIN HENRY INC COM 806407102 9336 186200 SH SOLE 186200 0 0 SCHERING PLOUGH CORP PFD CONV MAND 806605606 3837 69025 SH SOLE 69025 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 59865 34464000 PRN SOLE 34464000 0 0 SCHLUMBERGER LTD DBCV 2.125% 6/0 806857AD0 107 100000 PRN SOLE 100000 0 0 SCIENTIFIC GAMES CORP CL A 80874P109 2528 79500 SH SOLE 79500 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 8293 186400 SH SOLE 186400 0 0 SEMCO ENERGY INC COM 78412D109 1258 222980 SH SOLE 222980 0 0 SHERWIN WILLIAMS CO COM 824348106 9689 173700 SH SOLE 173700 0 0 SHUFFLE MASTER INC COM 825549108 844 31250 SH SOLE 31250 0 0 SIERRA HEALTH SVCS INC COM 826322109 21709 573713 SH SOLE 573713 0 0 SIERRA PAC RES NEW COM 826428104 1972 137515 SH SOLE 137515 0 0 SILICON LABORATORIES INC COM 826919102 1824 58800 SH SOLE 58800 0 0 SIRIUS SATELLITE RADIO INC COM 82966U103 2898 741100 SH SOLE 741100 0 0 SIRIUS SATELLITE RADIO INC NOTE 2.500% 2/1 82966UAC7 8810 7960000 PRN SOLE 7960000 0 0 SLM CORP DBCV 7/2 78442PAC0 1544 1540000 PRN SOLE 1540000 0 0 SMART & FINAL INC COM 831683107 1027 60190 SH SOLE 60190 0 0 SMITH INTL INC COM 832110100 3480 89700 SH SOLE 89700 0 0 SMUCKER J M CO COM NEW 832696405 3081 64241 SH SOLE 64241 0 0 SOVEREIGN BANCORP INC COM 845905108 28691 1333864 SH SOLE 1333864 0 0 SPDR TR UNIT SER 1 78462F103 10646 79700 SH SOLE 79700 0 0 SPECTRUM BRANDS INC COM 84762L105 977 115810 SH SOLE 115810 0 0 SPRINT NEXTEL CORP COM FON 852061100 42475 2476679 SH SOLE 2476679 0 0 ST JUDE MED INC DBCV 2.800%12/1 790849AB9 4981 5000000 PRN SOLE 5000000 0 0 STANLEY WKS COM 854616109 6291 126200 SH SOLE 126200 0 0 STAR GAS PARTNERS L P UNIT LTD PARTNR 85512C105 21779 8595562 SH SOLE 8595562 0 0 STARBUCKS CORP COM 855244109 535 15700 SH SOLE 15700 0 0 STATION CASINOS INC COM 857689103 2122 36700 SH SOLE 36700 0 0 STEEL DYNAMICS INC COM 858119100 1569 31100 SH SOLE 31100 0 0 STEIN MART INC COM 858375108 913 60000 SH SOLE 60000 0 0 STELLENT INC COM 85856W105 1045 96400 SH SOLE 96400 0 0 STERLING FINL CORP WASH COM 859319105 976 30100 SH SOLE 30100 0 0 STEWART ENTERPRISES INC CL A 860370105 2281 389280 SH SOLE 389280 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 2705 103000 SH SOLE 103000 0 0 SYMBION INC DEL COM 871507109 1882 102492 SH SOLE 102492 0 0 TARGET CORP COM 87612E106 67146 1215324 SH SOLE 1215324 0 0 TEMPLE INLAND INC COM 879868107 13389 333884 SH SOLE 333884 0 0 TEREX CORP NEW COM 880779103 31700 701021 SH SOLE 701021 0 0 TESORO CORP COM 881609101 12587 217100 SH SOLE 217100 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 6645 191077 SH SOLE 191077 0 0 TETRA TECHNOLOGIES INC DEL COM 88162F105 9142 378384 SH SOLE 378384 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.250% 2/0 88164RAB3 31641 31168000 PRN SOLE 31168000 0 0 TEVA PHARMACEUTICALS FIN B V DBCV 0.375%11/1 88164MAB4 17516 10990000 PRN SOLE 10990000 0 0 TEXAS INSTRS INC COM 882508104 103398 3109710 SH SOLE 3109710 0 0 THERMO ELECTRON CORP COM 883556102 6706 170500 SH SOLE 170500 0 0 TIDEWATER INC COM 886423102 6443 145800 SH SOLE 145800 0 0 TIME WARNER INC COM 887317105 12347 677275 SH SOLE 677275 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 6020 4845000 PRN SOLE 4845000 0 0 TIMKEN CO COM 887389104 11182 375480 SH SOLE 375480 0 0 TJX COS INC NEW COM 872540109 6195 221025 SH SOLE 221025 0 0 TODCO COM 88889T107 11141 321974 SH SOLE 321974 0 0 TOWER GROUP INC COM 891777104 6395 191749 SH SOLE 191749 0 0 TRAMMELL CROW CO COM 89288R106 1033 28285 SH SOLE 28285 0 0 TRANSOCEAN INC ORD G90078109 103532 1413794 SH SOLE 1413794 0 0 TRANSOCEAN SEDCO FOREX INC DBCV 1.500% 5/1 893830AD1 6149 5680000 PRN SOLE 5680000 0 0 TRAVELERS PPTY CAS CORP NEW NT CV JR 2032 89420G307 265 10750 SH SOLE 10750 0 0 TRIBUNE CO NEW COM 896047107 62243 1902300 SH SOLE 1902300 0 0 TRIDENT MICROSYSTEMS INC COM 895919108 6805 292569 SH SOLE 292569 0 0 TRIMBLE NAVIGATION LTD COM 896239100 9863 209508 SH SOLE 209508 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 27306 1134464 SH SOLE 1134464 0 0 UCBH HOLDINGS INC COM 90262T308 4058 232418 SH SOLE 232418 0 0 UGI CORP NEW COM 902681105 2358 96440 SH SOLE 96440 0 0 UNITED TECHNOLOGIES CORP COM 913017109 86289 1362097 SH SOLE 1362097 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 3053 58100 SH SOLE 58100 0 0 UNITEDHEALTH GROUP INC COM 91324P102 75716 1538939 SH SOLE 1538939 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 14296 238540 SH SOLE 238540 0 0 US BANCORP DEL COM NEW 902973304 39927 1201913 SH SOLE 1201913 0 0 VARIAN MED SYS INC COM 92220P105 13721 257000 SH SOLE 257000 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 1448 39450 SH SOLE 39450 0 0 VERIZON COMMUNICATIONS COM 92343V104 73030 1966867 SH SOLE 1966867 0 0 VISHAY INTERTECHNOLOGY INC NOTE 3.625% 8/0 928298AF5 139 140000 PRN SOLE 140000 0 0 VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 43640 1909008 SH SOLE 1909008 0 0 W HLDG CO INC COM 929251106 1135 192050 SH SOLE 192050 0 0 WABTEC CORP COM 929740108 8622 317804 SH SOLE 317804 0 0 WACHOVIA CORP 2ND NEW COM 929903102 44454 796667 SH SOLE 796667 0 0 WADDELL & REED FINL INC CL A 930059100 1862 75225 SH SOLE 75225 0 0 WAL MART STORES INC COM 931142103 60644 1229597 SH SOLE 1229597 0 0 WALGREEN CO COM 931422109 62443 1406700 SH SOLE 1406700 0 0 WASHINGTON MUT INC COM 939322103 27908 642001 SH SOLE 642001 0 0 WAUSAU PAPER CORP COM 943315101 2481 183782 SH SOLE 183782 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 82811 1984918 SH SOLE 1984918 0 0 WEBEX COMMUNICATIONS INC COM 94767L109 8861 227078 SH SOLE 227078 0 0 WELLCARE HEALTH PLANS INC COM 94946T106 4226 74619 SH SOLE 74619 0 0 WELLPOINT INC COM 94973V107 98094 1273125 SH SOLE 1273125 0 0 WELLS FARGO & CO NEW COM 949746101 44871 1240226 SH SOLE 1240226 0 0 WESCO INTL INC COM 95082P105 13556 233600 SH SOLE 233600 0 0 WESCO INTL INC DBCV 2.625%10/1 95082PAE5 15039 9673000 PRN SOLE 9673000 0 0 WILLIAMS SONOMA INC COM 969904101 6881 212433 SH SOLE 212433 0 0 WINDROSE MED PPTYS TR COM 973491103 1242 70275 SH SOLE 70275 0 0 WINDSTREAM CORP COM 97381W104 2981 226026 SH SOLE 226026 0 0 WINTRUST FINANCIAL CORP COM 97650W108 8415 167784 SH SOLE 167784 0 0 WITNESS SYS INC COM 977424100 4807 274199 SH SOLE 274199 0 0 WORLD FUEL SVCS CORP COM 981475106 10849 268186 SH SOLE 268186 0 0 WYETH COM 983024100 37190 731510 SH SOLE 731510 0 0 WYETH DBCV 1/1 983024AD2 2616 2401000 PRN SOLE 2401000 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 3341 119460 SH SOLE 119460 0 0 XL CAP LTD CL A G98255105 1772 25795 SH SOLE 25795 0 0 ZENITH NATL INS CORP COM 989390109 2679 67150 SH SOLE 67150 0 0 ZORAN CORP COM 98975F101 571 35520 SH SOLE 35520 0 0
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