13F-HR 1 mack1q07.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: March 31, 2007 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 April 16, 2007 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: 698 Form13F Information Table Value Total: $10,392,210 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AAR CORP COM 000361105 8056 292300 SH SOLE 292300 0 0 ABERCROMBIE & FITCH CO CL A 002896207 49913 659525 SH SOLE 659525 0 0 ACADIA RLTY TR COM SH BEN INT 004239109 671 25730 SH SOLE 25730 0 0 ACTUANT CORP CL A NEW 00508X203 2256 44400 SH SOLE 44400 0 0 ADMINISTAFF INC COM 007094105 1105 31400 SH SOLE 31400 0 0 ADVANCED ENERGY INDS COM 007973100 592 28140 SH SOLE 28140 0 0 ADVANTA CORP CL B 007942204 551 12560 SH SOLE 12560 0 0 AEROPOSTALE COM 007865108 8026 199500 SH SOLE 199500 0 0 AETNA INC NEW COM 00817Y108 3328 76000 SH SOLE 76000 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 1859 31571 SH SOLE 30655 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 44443 754800 SH SOLE 754800 0 0 AFFILIATED MANAGERS GROUP COM 008252108 20213 186550 SH SOLE 186550 0 0 AFLAC INC COM 001055102 74170 1576076 SH SOLE 1576076 0 0 AIR PRODS & CHEMS INC COM 009158106 1898 25669 SH SOLE 25669 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 60811 1218175 SH SOLE 1218175 0 0 ALCOA INC COM 013817101 25864 762952 SH SOLE 762952 0 0 ALCOA INC COM 013817101 1438 42405 SH SOLE 41725 0 0 ALESCO FINL INC COM 014485106 964 110650 SH SOLE 110650 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 84498 792000 SH SOLE 792000 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 12121 196700 SH SOLE 196700 0 0 ALLIANCE IMAGING INC COM NEW 018606202 696 79700 SH SOLE 79700 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 13913 158250 SH SOLE 158250 0 0 ALLTEL CORP COM 020039103 37560 605802 SH SOLE 605802 0 0 ALLTEL CORP COM 020039103 2080 33550 SH SOLE 32903 0 0 ALZA CORP SDCV 7/2 02261WAB5 2687 3247000 PRN SOLE 3106000 0 0 ALZA CORP SDCV 7/2 02261WAB5 26628 31890000 PRN SOLE 31890000 0 0 AMAZON COM INC NOTE 4.750% 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0 0 CHARLOTTE RUSSE HLDG INC COM 161048103 5783 200300 SH SOLE 200300 0 0 CHARTER COMMUNICATIONS INC D NOTE 5.875%11/1 16117MAE7 7264 5328000 PRN SOLE 5328000 0 0 CHEMTURA CORP COM 163893100 21793 1993900 SH SOLE 1993900 0 0 CHEMTURA CORP COM 163893100 458 41944 SH SOLE 39020 0 0 CHEVRON CORP NEW COM 166764100 2185 29547 SH SOLE 29073 0 0 CHEVRON CORP NEW COM 166764100 45072 609405 SH SOLE 609405 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 5403 96900 SH SOLE 96900 0 0 CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 2181 1300000 PRN SOLE 1248000 0 0 CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 22227 13185000 PRN SOLE 13185000 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 72454 77775000 PRN SOLE 77775000 0 0 CISCO SYS INC COM 17275R102 61896 2424450 SH SOLE 2424450 0 0 CITIGROUP FDG INC NOTE 0.500% 2/0 17308CDA1 14387 15680000 PRN SOLE 15680000 0 0 CITIGROUP INC COM 172967101 90878 1770121 SH SOLE 1770121 0 0 CITIGROUP INC COM 172967101 4499 87626 SH SOLE 86228 0 0 CLECO CORP NEW COM 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16195000 0 0 HEWLETT PACKARD CO COM 428236103 50738 1264025 SH SOLE 1264025 0 0 HEWLETT PACKARD CO NOTE 10/1 428236AC7 2117 2946000 PRN SOLE 2738000 0 0 HEXCEL CORP NEW COM 428291108 1315 66250 SH SOLE 66250 0 0 HIGHWOODS PPTYS INC COM 431284108 17730 448963 SH SOLE 448963 0 0 HIGHWOODS PPTYS INC COM 431284108 383 9703 SH SOLE 9025 0 0 HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 32645 19988000 PRN SOLE 19988000 0 0 HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 2002 1231000 PRN SOLE 1145000 0 0 HITTITE MICROWAVE CORP COM 43365Y104 7656 190600 SH SOLE 190600 0 0 HOLLY CORP COM PAR $0.01 435758305 5260 88700 SH SOLE 88700 0 0 HOLOGIC INC COM 436440101 2772 48100 SH SOLE 48100 0 0 HOME DEPOT INC COM 437076102 47657 1297150 SH SOLE 1297150 0 0 HOME DEPOT INC COM 437076102 2214 60265 SH SOLE 59307 0 0 HOME PROPERTIES INC COM 437306103 807 15280 SH SOLE 15280 0 0 HONEYWELL INTL INC COM 438516106 55043 1195025 SH SOLE 1195025 0 0 HONEYWELL INTL INC COM 438516106 2475 53726 SH SOLE 52628 0 0 HORNBECK OFFSHORE SVCS INC N COM 440543106 3951 137900 SH SOLE 137900 0 0 HOUSTON WIRE & CABLE CO COM 44244K109 8252 294500 SH SOLE 294500 0 0 HUB GROUP INC CL A 443320106 6155 212300 SH SOLE 212300 0 0 HUMANA INC COM 444859102 46948 809175 SH SOLE 809175 0 0 HYDRIL COM 448774109 6304 65500 SH SOLE 65500 0 0 IDACORP INC COM 451107106 463 13670 SH SOLE 13670 0 0 IDEARC INC COM 451663108 16855 480200 SH SOLE 480200 0 0 IDEARC INC COM 451663108 490 13956 SH SOLE 13145 0 0 II VI INC COM 902104108 7457 220300 SH SOLE 220300 0 0 IMMUCOR INC COM 452526106 9540 324150 SH SOLE 324150 0 0 IMPSAT FIBER NETWORKS INC NOTE 6.000% 3/1 45321TAL7 9672 9575895 PRN SOLE 9575895 0 0 INDEPENDENT BANK CORP MASS COM 453836108 1729 52500 SH SOLE 52500 0 0 INFINITY PPTY & CAS CORP COM 45665Q103 509 10860 SH SOLE 10860 0 0 INGLES MKTS INC CL A 457030104 727 17790 SH SOLE 17790 0 0 INPUT/OUTPUT INC COM 457652105 2143 155500 SH SOLE 155500 0 0 INTEL CORP COM 458140100 26608 1390925 SH SOLE 1390925 0 0 INTEL CORP COM 458140100 1158 60520 SH SOLE 59551 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 59180 484250 SH SOLE 484250 0 0 INTERFACE INC CL A 458665106 6661 416560 SH SOLE 416560 0 0 INTERLINE BRANDS INC COM 458743101 6006 274000 SH SOLE 274000 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 1708 18121 SH SOLE 17833 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 25834 274074 SH SOLE 274074 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 2167 1825000 PRN SOLE 1696000 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 15267 12782000 PRN SOLE 12782000 0 0 INVENTIV HEALTH INC COM 46122E105 3465 90500 SH SOLE 90500 0 0 IOWA TELECOMM SERVICES INC COM 462594201 1076 53800 SH SOLE 53800 0 0 ISHARES TR RUSSELL1000VAL 464287598 10077 121200 SH SOLE 121200 0 0 ISHARES TR MSCI EAFE IDX 464287465 553 7250 SH SOLE 7250 0 0 ISHARES TR RUSSELL MCP GR 464287481 8730 81500 SH SOLE 81500 0 0 ISHARES TR RUSSELL MCP VL 464287473 26835 175200 SH SOLE 175200 0 0 ITRON INC COM 465741106 2393 36800 SH SOLE 36800 0 0 J & J SNACK FOODS CORP COM 466032109 571 14470 SH SOLE 14470 0 0 J2 GLOBAL COMMUNICATIONS INC COM NEW 46626E205 7260 261900 SH SOLE 261900 0 0 JAKKS PAC INC COM 47012E106 639 26730 SH SOLE 26730 0 0 JOHNSON & JOHNSON COM 478160104 37854 628175 SH SOLE 628175 0 0 JOHNSON & JOHNSON COM 478160104 1652 27414 SH SOLE 26882 0 0 JOURNAL COMMUNICATIONS INC CL A 481130102 1975 150670 SH SOLE 150670 0 0 JOURNAL REGISTER CO COM 481138105 425 71360 SH SOLE 71360 0 0 JOY GLOBAL INC COM 481165108 10651 248275 SH SOLE 248275 0 0 JP MORGAN CHASE & CO COM 46625H100 2732 56467 SH SOLE 55573 0 0 JP MORGAN CHASE & CO COM 46625H100 70613 1459547 SH SOLE 1459547 0 0 KELLY SVCS INC CL A 488152208 1195 37120 SH SOLE 37120 0 0 KEYCORP NEW COM 493267108 25761 687500 SH SOLE 687500 0 0 KEYCORP NEW COM 493267108 446 11890 SH SOLE 11056 0 0 KIMBERLY CLARK CORP COM 494368103 1283 18730 SH SOLE 18433 0 0 KIMBERLY CLARK CORP COM 494368103 22558 329356 SH SOLE 329356 0 0 KINDRED HEALTHCARE INC COM 494580103 688 21000 SH SOLE 21000 0 0 KITE RLTY GROUP TR COM 49803T102 1326 66450 SH SOLE 66450 0 0 KNOLL INC COM NEW 498904200 6670 279900 SH SOLE 279900 0 0 KOHLS CORP COM 500255104 64860 846625 SH SOLE 846625 0 0 KROGER CO COM 501044101 62132 2199358 SH SOLE 2199358 0 0 KROGER CO COM 501044101 2101 74384 SH SOLE 71923 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 1809 1695000 PRN SOLE 1615000 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 21323 19835000 PRN SOLE 19835000 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 13803 157800 SH SOLE 157800 0 0 LABRANCHE & CO INC COM 505447102 440 53970 SH SOLE 53970 0 0 LANDAMERICA FINL GROUP INC COM 514936103 1003 13570 SH SOLE 13570 0 0 LAS VEGAS SANDS CORP COM 517834107 10047 116000 SH SOLE 116000 0 0 LAYNE CHRISTENSEN CO COM 521050104 7805 214300 SH SOLE 214300 0 0 LEHMAN BROS HLDGS INC COM 524908100 12564 179300 SH SOLE 179300 0 0 LENNOX INTL INC COM 526107107 6779 189900 SH SOLE 189900 0 0 LEVITT CORP CL A 52742P108 402 43210 SH SOLE 43210 0 0 LIFECELL CORP COM 531927101 747 29900 SH SOLE 29900 0 0 LIFEPOINT HOSPITALS INC COM 53219L109 599 15680 SH SOLE 15680 0 0 LIMITED BRANDS INC COM 532716107 43920 1685333 SH SOLE 1685333 0 0 LLOYDS TSB GROUP PLC SPONSORED ADR 539439109 6106 137575 SH SOLE 137575 0 0 LOGITECH INTL S A SHS H50430232 32643 1172940 SH SOLE 1172940 0 0 LORAL SPACE & COMMUNICATNS L COM 543881106 39368 744876 SH SOLE 744876 0 0 LOWES COS INC COM 548661107 1775 56362 SH SOLE 55499 0 0 LOWES COS INC COM 548661107 33365 1059550 SH SOLE 1059550 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AG2 15060 15000000 PRN SOLE 15000000 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AG2 1021 1024000 PRN SOLE 961000 0 0 LUFKIN INDS INC COM 549764108 4764 84800 SH SOLE 84800 0 0 LUMINENT MTG CAP INC COM 550278303 1048 117180 SH SOLE 117180 0 0 MACROVISION CORP COM 555904101 5456 217800 SH SOLE 217800 0 0 MADDEN STEVEN LTD COM 556269108 5125 175500 SH SOLE 175500 0 0 MANNKIND CORP COM 56400P201 6279 439100 SH SOLE 439100 0 0 MANPOWER INC COM 56418H100 46506 630425 SH SOLE 630425 0 0 MARCUS CORP COM 566330106 755 32460 SH SOLE 32460 0 0 MARINER ENERGY INC COM 56845T305 4807 251300 SH SOLE 251300 0 0 MARSHALL & ILSLEY CORP COM 571834100 27157 586416 SH SOLE 586416 0 0 MARSHALL & ILSLEY CORP COM 571834100 465 10047 SH SOLE 9345 0 0 MATRIA HEALTHCARE INC COM NEW 576817209 1025 38900 SH SOLE 38900 0 0 MCDERMOTT INTL INC COM 580037109 7565 154450 SH SOLE 154450 0 0 MCGRAW HILL COS INC COM 580645109 2333 37100 SH SOLE 37100 0 0 MEDCATH CORP COM 58404W109 530 19400 SH SOLE 19400 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 40889 39732000 PRN SOLE 39732000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 3082 3014000 PRN SOLE 2802000 0 0 MEMC ELECTR MATLS INC COM 552715104 78414 1294389 SH SOLE 1294389 0 0 MENTOR GRAPHICS CORP COM 587200106 7090 433900 SH SOLE 433900 0 0 MERITAGE HOMES CORP COM 59001A102 773 24060 SH SOLE 24060 0 0 MERRILL LYNCH & CO INC COM 590188108 76502 936715 SH SOLE 936715 0 0 MERRILL LYNCH & CO INC COM 590188108 1475 18057 SH SOLE 17763 0 0 MERRILL LYNCH & CO INC NOTE 3/1 590188W46 3281 2705000 PRN SOLE 2513000 0 0 MESABI TR CTF BEN INT 590672101 742 31560 SH SOLE 31560 0 0 MGP INGREDIENTS INC COM 55302G103 477 23410 SH SOLE 23410 0 0 MICROS SYS INC COM 594901100 2888 53500 SH SOLE 53500 0 0 MICROSOFT CORP COM 594918104 107168 3845277 SH SOLE 3845277 0 0 MILLIPORE CORP COM 601073109 1420 19600 SH SOLE 19600 0 0 MOBILE MINI INC COM 60740F105 2831 105700 SH SOLE 105700 0 0 MOLEX INC CL A 608554200 299 12008 SH SOLE 11168 0 0 MOLEX INC CL A 608554200 16203 651000 SH SOLE 651000 0 0 MONACO COACH CORP COM 60886R103 596 37390 SH SOLE 37390 0 0 MORGAN STANLEY COM NEW 617446448 86311 1095875 SH SOLE 1095875 0 0 MORGAN STANLEY COM NEW 617446448 1615 20510 SH SOLE 20180 0 0 MORTONS RESTAURANT GRP INC N COM 619430101 1035 58190 SH SOLE 58190 0 0 MOVIE GALLERY INC COM 624581104 677 150550 SH SOLE 150550 0 0 MYLAN LABS INC NOTE 1.250% 3/1 628530AG2 20639 19170000 PRN SOLE 19170000 0 0 MYLAN LABS INC NOTE 1.250% 3/1 628530AG2 3092 2890000 PRN SOLE 2722000 0 0 NARA BANCORP INC COM 63080P105 1561 89130 SH SOLE 89130 0 0 NASDAQ STOCK MARKET INC COM 631103108 11020 374700 SH SOLE 374700 0 0 NATCO GROUP INC CL A 63227W203 5275 154600 SH SOLE 154600 0 0 NATIONAL OILWELL VARCO INC COM 637071101 74286 954950 SH SOLE 954950 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 1963 81300 SH SOLE 81300 0 0 NEON COMMUNICATIONS GROUP IN COM 64050T101 34951 10795121 SH SOLE 10795121 0 0 NESS TECHNOLOGIES INC COM 64104X108 5428 424700 SH SOLE 424700 0 0 NETGEAR INC COM 64111Q104 6687 234400 SH SOLE 234400 0 0 NETWORK APPLIANCE INC COM 64120L104 44067 1206643 SH SOLE 1206643 0 0 NEUSTAR INC CL A 64126X201 2835 99700 SH SOLE 99700 0 0 NEW JERSEY RES COM 646025106 1959 39140 SH SOLE 39140 0 0 NEWALLIANCE BANCSHARES INC COM 650203102 13576 837500 SH SOLE 837500 0 0 NEWALLIANCE BANCSHARES INC COM 650203102 306 18881 SH SOLE 17566 0 0 NEWFIELD EXPL CO COM 651290108 9639 231100 SH SOLE 231100 0 0 NEWS CORP CL A 65248E104 22482 972400 SH SOLE 972400 0 0 NII HLDGS INC NOTE 2.750% 8/1 62913FAF9 1136 706000 PRN SOLE 657000 0 0 NII HLDGS INC NOTE 2.750% 8/1 62913FAF9 16119 9973000 PRN SOLE 9973000 0 0 NIKE INC CL B 654106103 12749 119975 SH SOLE 119975 0 0 NOKIA CORP SPONSORED ADR 654902204 48431 2113050 SH SOLE 2113050 0 0 NOKIA CORP SPONSORED ADR 654902204 2673 116634 SH SOLE 114737 0 0 NORDSTROM INC COM 655664100 51456 971975 SH SOLE 971975 0 0 NORFOLK SOUTHERN CORP COM 655844108 56418 1114975 SH SOLE 1114975 0 0 NORTEL NETWORKS CORP NEW NOTE 4.250% 9/0 656568AB8 131729133870000 PRN SOLE 133870000 0 0 NORTHROP GRUMMAN CORP COM 666807102 32347 435825 SH SOLE 435825 0 0 NORTHROP GRUMMAN CORP COM 666807102 1406 18943 SH SOLE 18562 0 0 NORTHSTAR RLTY FIN CORP COM 66704R100 994 65320 SH SOLE 65320 0 0 NOVARTIS A G SPONSORED ADR 66987V109 35311 646372 SH SOLE 646372 0 0 NOVATEL INC COM 669954109 5496 148291 SH SOLE 148291 0 0 NRG ENERGY INC COM NEW 629377508 58169 807456 SH SOLE 807456 0 0 NTELOS HLDGS CORP COM 67020Q107 2731 142100 SH SOLE 142100 0 0 NVIDIA CORP COM 67066G104 39453 1370850 SH SOLE 1370850 0 0 O CHARLEYS INC COM 670823103 1134 58800 SH SOLE 58800 0 0 OLIN CORP COM PAR $1 680665205 10869 641600 SH SOLE 641600 0 0 OLYMPIC STEEL INC COM 68162K106 660 21310 SH SOLE 21310 0 0 OM GROUP INC COM 670872100 521 11660 SH SOLE 11660 0 0 OMNICOM GROUP INC COM 681919106 14996 146475 SH SOLE 146475 0 0 OMNICOM GROUP INC NOTE 2/0 681919AK2 10319 9945000 PRN SOLE 9945000 0 0 OPTIONSXPRESS HLDGS INC COM 684010101 6386 271300 SH SOLE 271300 0 0 ORACLE CORP COM 68389X105 55045 3036125 SH SOLE 3036125 0 0 ORBITAL SCIENCES CORP COM 685564106 1038 55370 SH SOLE 55370 0 0 OSHKOSH TRUCK CORP COM 688239201 15041 283800 SH SOLE 283800 0 0 OWENS ILL INC COM NEW 690768403 298 11550 SH SOLE 10753 0 0 OWENS ILL INC COM NEW 690768403 11022 427700 SH SOLE 427700 0 0 OYO GEOSPACE CORP COM 671074102 6014 84800 SH SOLE 84800 0 0 PALOMAR MED TECHNOLOGIES INC COM NEW 697529303 4850 121400 SH SOLE 121400 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 6428 255900 SH SOLE 255900 0 0 PAREXEL INTL CORP COM 699462107 7644 212500 SH SOLE 212500 0 0 PARTNERRE LTD COM G6852T105 22193 323800 SH SOLE 323800 0 0 PARTNERRE LTD COM G6852T105 425 6202 SH SOLE 5775 0 0 PEABODY ENERGY CORP COM 704549104 2865 71200 SH SOLE 71200 0 0 PENN NATL GAMING INC COM 707569109 7788 183600 SH SOLE 183600 0 0 PENNEY J C INC COM 708160106 55271 672725 SH SOLE 672725 0 0 PENTAIR INC COM 709631105 47711 1531175 SH SOLE 1531175 0 0 PENTAIR INC COM 709631105 1632 52364 SH SOLE 50994 0 0 PEPSICO INC COM 713448108 4856 76400 SH SOLE 76400 0 0 PFIZER INC COM 717081103 62336 2467775 SH SOLE 2467775 0 0 PFIZER INC COM 717081103 3295 130433 SH SOLE 128327 0 0 PG&E CORP COM 69331C108 17901 370859 SH SOLE 370859 0 0 PG&E CORP COM 69331C108 263 5455 SH SOLE 5068 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 9588 284600 SH SOLE 284600 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 19410 330100 SH SOLE 330100 0 0 PHOENIX COS INC NEW COM 71902E109 1031 74270 SH SOLE 74270 0 0 PHOTRONICS INC COM 719405102 755 48560 SH SOLE 48560 0 0 PINNACLE AIRL CORP COM 723443107 1061 61340 SH SOLE 61340 0 0 PITNEY BOWES INC COM 724479100 419 9234 SH SOLE 8591 0 0 PITNEY BOWES INC COM 724479100 25510 562011 SH SOLE 562011 0 0 PLAYBOY ENTERPRISES INC CL B 728117300 731 71050 SH SOLE 71050 0 0 PMI GROUP INC COM 69344M101 2170 47989 SH SOLE 46227 0 0 PMI GROUP INC COM 69344M101 72101 1594450 SH SOLE 1594450 0 0 PNC FINL SVCS GROUP INC COM 693475105 3095 43003 SH SOLE 41986 0 0 PNC FINL SVCS GROUP INC COM 693475105 83144 1155262 SH SOLE 1155262 0 0 POLARIS INDS INC COM 731068102 1341 27940 SH SOLE 27940 0 0 POLO RALPH LAUREN CORP CL A 731572103 51023 578825 SH SOLE 578825 0 0 POLYONE CORP COM 73179P106 112 18400 SH SOLE 18400 0 0 POTLATCH CORP NEW COM 737630103 805 17590 SH SOLE 17590 0 0 PPL CORP COM 69351T106 306 7482 SH SOLE 6949 0 0 PPL CORP COM 69351T106 28286 691600 SH SOLE 691600 0 0 PRAXAIR INC COM 74005P104 18155 288350 SH SOLE 288350 0 0 PRECISION CASTPARTS CORP COM 740189105 75301 723700 SH SOLE 723700 0 0 PRIDE INTL INC DEL COM 74153Q102 6195 205800 SH SOLE 205800 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 20515 16165000 PRN SOLE 16165000 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 3204 2540000 PRN SOLE 2360000 0 0 PROCTER & GAMBLE CO COM 742718109 354 5600 SH SOLE 5600 0 0 PROGRESS SOFTWARE CORP COM 743312100 2324 74500 SH SOLE 74500 0 0 PROQUEST COMPANY COM 74346P102 457 50750 SH SOLE 50750 0 0 PRUDENTIAL FINL INC COM 744320102 54511 603938 SH SOLE 603938 0 0 PRUDENTIAL FINL INC COM 744320102 1891 20947 SH SOLE 20617 0 0 QLOGIC CORP COM 747277101 5386 316800 SH SOLE 316800 0 0 QUADRAMED CORP COM 74730W101 18197 5599180 SH SOLE 5599180 0 0 QUALITY SYS INC COM 747582104 6428 160704 SH SOLE 160704 0 0 QUANTA SVCS INC COM 74762E102 2658 105400 SH SOLE 105400 0 0 QUEST DIAGNOSTICS INC COM 74834L100 1967 39450 SH SOLE 38405 0 0 QUEST DIAGNOSTICS INC COM 74834L100 50361 1009850 SH SOLE 1009850 0 0 RADYNE CORP COM NEW 750611402 450 49340 SH SOLE 49340 0 0 RAYTHEON CO COM NEW 755111507 426 8127 SH SOLE 7546 0 0 RAYTHEON CO COM NEW 755111507 23908 455742 SH SOLE 455742 0 0 RBC BEARINGS INC COM 75524B104 2725 81500 SH SOLE 81500 0 0 RC2 CORP COM 749388104 548 13570 SH SOLE 13570 0 0 REDWOOD TR INC COM 758075402 608 11660 SH SOLE 11660 0 0 REGAL BELOIT CORP COM 758750103 1128 24320 SH SOLE 24320 0 0 REPUBLIC AWYS HLDGS INC COM 760276105 7983 347700 SH SOLE 347700 0 0 RESEARCH IN MOTION LTD COM 760975102 3753 27500 SH SOLE 27500 0 0 RESPIRONICS INC COM 761230101 8259 196700 SH SOLE 196700 0 0 RETAIL VENTURES INC COM 76128Y102 1102 52340 SH SOLE 52340 0 0 ROBERT HALF INTL INC COM 770323103 45354 1225450 SH SOLE 1225450 0 0 ROGERS CORP COM 775133101 4617 104100 SH SOLE 104100 0 0 ROPER INDS INC NEW COM 776696106 17990 327800 SH SOLE 327800 0 0 ROWAN COS INC COM 779382100 30861 950450 SH SOLE 950450 0 0 ROWAN COS INC COM 779382100 1003 30880 SH SOLE 29859 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 15122 228125 SH SOLE 228125 0 0 RTI INTL METALS INC COM 74973W107 7172 78800 SH SOLE 78800 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 20263 452898 SH SOLE 452898 0 0 SAFECO CORP COM 786429100 241 3635 SH SOLE 3383 0 0 SAFECO CORP COM 786429100 13073 196800 SH SOLE 196800 0 0 SAFETY INS GROUP INC COM 78648T100 351 8750 SH SOLE 8750 0 0 SANDERSON FARMS INC COM 800013104 7527 203100 SH SOLE 203100 0 0 SBA COMMUNICATIONS CORP COM 78388J106 9713 328700 SH SOLE 328700 0 0 SCHEIN HENRY INC COM 806407102 10495 190200 SH SOLE 190200 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 3280 2492000 PRN SOLE 2317000 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 23683 17925000 PRN SOLE 17925000 0 0 SCHERING PLOUGH CORP PFD CONV MAND 806605606 2802 47616 PRN SOLE 45374 0 0 SCHERING PLOUGH CORP COM 806605101 58300 2285375 SH SOLE 2285375 0 0 SCHERING PLOUGH CORP PFD CONV MAND 806605606 22899 389100 SH SOLE 389100 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 4327 2255000 PRN SOLE 2109000 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 73558 38183000 PRN SOLE 38183000 0 0 SCIELE PHARMA INC COM 808627103 6072 256400 SH SOLE 256400 0 0 SCIENTIFIC GAMES CORP CL A 80874P109 2580 78600 SH SOLE 78600 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 8467 192300 SH SOLE 192300 0 0 SELECTIVE INS GROUP INC COM 816300107 896 35180 SH SOLE 35180 0 0 SENSIENT TECHNOLOGIES CORP COM 81725T100 777 30150 SH SOLE 30150 0 0 SEQUA CORPORATION CL A 817320104 1033 8625 SH SOLE 8625 0 0 SHOE CARNIVAL INC COM 824889109 1058 31760 SH SOLE 31760 0 0 SIERRA HEALTH SVCS INC COM 826322109 8604 208980 SH SOLE 208980 0 0 SILICON STORAGE TECHNOLOGY I COM 827057100 580 117580 SH SOLE 117580 0 0 SINCLAIR BROADCAST GROUP INC CL A 829226109 1525 98690 SH SOLE 98690 0 0 SIRIUS SATELLITE RADIO INC NOTE 2.500% 2/1 82966UAC7 985 978000 PRN SOLE 915000 0 0 SIRIUS SATELLITE RADIO INC NOTE 2.500% 2/1 82966UAC7 6865 6765000 PRN SOLE 6765000 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 5002 869900 SH SOLE 869900 0 0 SLM CORP COM 78442P106 1233 30158 SH SOLE 29298 0 0 SLM CORP COM 78442P106 37065 906225 SH SOLE 906225 0 0 SMITH INTL INC COM 832110100 49839 1037225 SH SOLE 1037225 0 0 SMUCKER J M CO COM NEW 832696405 2245 42100 SH SOLE 42100 0 0 SMUCKER J M CO COM NEW 832696405 452 8480 SH SOLE 7888 0 0 SOUTHERN COPPER CORP COM 84265V105 67810 946275 SH SOLE 946275 0 0 SOVEREIGN BANCORP INC COM 845905108 19770 777110 SH SOLE 777110 0 0 SOVEREIGN BANCORP INC COM 845905108 364 14292 SH SOLE 13297 0 0 SPANSION INC COM CL A 84649R101 706 57890 SH SOLE 57890 0 0 SPDR TR UNIT SER 1 78462F103 11317 79700 SH SOLE 79700 0 0 SPECTRA ENERGY CORP COM 847560109 7101 270300 SH SOLE 270300 0 0 SPRINT NEXTEL CORP COM FON 852061100 1823 96132 SH SOLE 94592 0 0 SPRINT NEXTEL CORP COM FON 852061100 61623 3250150 SH SOLE 3250150 0 0 STANDARD MTR PRODS INC COM 853666105 604 35380 SH SOLE 35380 0 0 STAR GAS PARTNERS L P UNIT LTD PARTNR 85512C105 30739 7724248 SH SOLE 7724248 0 0 STATION CASINOS INC COM 857689103 1567 18100 SH SOLE 18100 0 0 STEC INC COM 784774101 3419 485700 SH SOLE 485700 0 0 STEEL DYNAMICS INC COM 858119100 1408 32600 SH SOLE 32600 0 0 STEINER LEISURE LTD ORD P8744Y102 588 13070 SH SOLE 13070 0 0 STEWART INFORMATION SVCS COR COM 860372101 1193 28550 SH SOLE 28550 0 0 STIFEL FINL CORP COM 860630102 1109 25025 SH SOLE 25025 0 0 STRIDE RITE CORP COM 863314100 1143 74270 SH SOLE 74270 0 0 SUNCOR ENERGY INC COM 867229106 27408 358975 SH SOLE 358975 0 0 SUNCOR ENERGY INC COM 867229106 1302 17052 SH SOLE 16764 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 2940 85300 SH SOLE 85300 0 0 SUPERTEX INC COM 868532102 5207 156800 SH SOLE 156800 0 0 SUPERVALU INC NOTE 11/0 868536AP8 5854 15000000 PRN SOLE 15000000 0 0 SWIFT ENERGY CO COM 870738101 5516 132060 SH SOLE 132060 0 0 SYBASE INC NOTE 1.750% 2/2 871130AB6 2048 1804000 PRN SOLE 1676000 0 0 SYBASE INC NOTE 1.750% 2/2 871130AB6 15299 13420000 PRN SOLE 13420000 0 0 SYKES ENTERPRISES INC COM 871237103 6368 349100 SH SOLE 349100 0 0 TARGET CORP COM 87612E106 16391 276600 SH SOLE 276600 0 0 TARRAGON CORP COM 876287103 451 43520 SH SOLE 43520 0 0 TECHNICAL OLYMPIC USA INC COM 878483106 208 52060 SH SOLE 52060 0 0 TECHNITROL INC COM 878555101 5400 206200 SH SOLE 206200 0 0 TECK COMINCO LTD CL B 878742204 41779 600275 SH SOLE 600275 0 0 TECK COMINCO LTD CL B 878742204 1537 22079 SH SOLE 21455 0 0 TEMPLE INLAND INC COM 879868107 8041 134600 SH SOLE 134600 0 0 TEMPUR PEDIC INTL INC COM 88023U101 7823 301000 SH SOLE 301000 0 0 TEREX CORP NEW COM 880779103 26522 369600 SH SOLE 369600 0 0 TERRA INDS INC COM 880915103 774 44220 SH SOLE 44220 0 0 TESORO CORP COM 881609101 20116 200300 SH SOLE 200300 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 6068 152700 SH SOLE 152700 0 0 TETRA TECHNOLOGIES INC DEL COM 88162F105 5661 229100 SH SOLE 229100 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.250% 2/0 88164RAB3 3226 2830000 PRN SOLE 2695000 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.250% 2/0 88164RAB3 31435 30094000 PRN SOLE 30094000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 90294 2412350 SH SOLE 2412350 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 2922 78053 SH SOLE 75559 0 0 TEVA PHARMACEUTICALS FIN B V DBCV 0.375%11/1 88164MAB4 10304 5893000 PRN SOLE 5893000 0 0 TEXAS INSTRS INC COM 882508104 31828 1057425 SH SOLE 1057425 0 0 TEXAS INSTRS INC COM 882508104 1675 55636 SH SOLE 54759 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 78409 1677200 SH SOLE 1677200 0 0 TIBCO SOFTWARE INC COM 88632Q103 2864 336100 SH SOLE 336100 0 0 TIDEWATER INC COM 886423102 8541 145800 SH SOLE 145800 0 0 TIME WARNER CABLE INC CL A 88732J108 9604 256301 SH SOLE 256301 0 0 TIME WARNER INC COM 887317105 24082 1221175 SH SOLE 1221175 0 0 TIME WARNER INC COM 887317105 1701 86273 SH SOLE 84906 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 20311 15475000 PRN SOLE 15475000 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 1062 812000 PRN SOLE 758000 0 0 TIMKEN CO COM 887389104 269 8876 SH SOLE 8262 0 0 TIMKEN CO COM 887389104 11051 364600 SH SOLE 364600 0 0 TITAN INTL INC ILL COM 88830M102 664 26230 SH SOLE 26230 0 0 TJX COS INC NEW COM 872540109 47295 1754253 SH SOLE 1754253 0 0 TOWER GROUP INC COM 891777104 6383 198100 SH SOLE 198100 0 0 TRANSOCEAN INC ORD G90078109 23422 286685 SH SOLE 286685 0 0 TRANSOCEAN INC ORD G90078109 671 8215 SH SOLE 8078 0 0 TRANSOCEAN SEDCO FOREX INC DBCV 1.500% 5/1 893830AD1 36195 30763000 PRN SOLE 30763000 0 0 TRANSOCEAN SEDCO FOREX INC DBCV 1.500% 5/1 893830AD1 2011 1719000 PRN SOLE 1592000 0 0 TRAVELZOO INC COM 89421Q106 7560 205600 SH SOLE 205600 0 0 TRIAD GTY INC COM 895925105 520 12560 SH SOLE 12560 0 0 TRIBUNE CO NEW COM 896047107 50098 1560200 SH SOLE 1560200 0 0 TRIBUNE CO NEW COM 896047107 2152 67032 SH SOLE 64903 0 0 TRIDENT MICROSYSTEMS INC COM 895919108 8439 420700 SH SOLE 420700 0 0 TRIUMPH GROUP INC NEW COM 896818101 6497 117400 SH SOLE 117400 0 0 TRONOX INC CL A 897051108 719 49945 SH SOLE 49945 0 0 TRUSTCO BK CORP N Y COM 898349105 1152 120300 SH SOLE 120300 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 393 11292 SH SOLE 10503 0 0 TRW AUTOMOTIVE HLDGS CORP COM 87264S106 21487 617100 SH SOLE 617100 0 0 TWEEN BRANDS INC COM 901166108 5504 154100 SH SOLE 154100 0 0 ULTRA CLEAN HLDGS INC COM 90385V107 6543 378210 SH SOLE 378210 0 0 UNION DRILLING INC COM 90653P105 735 51760 SH SOLE 51760 0 0 UNISOURCE ENERGY CORP COM 909205106 736 19600 SH SOLE 19600 0 0 UNITED AMER INDEMNITY LTD CL A 90933T109 1073 46230 SH SOLE 46230 0 0 UNITED INDL CORP COM 910671106 577 10450 SH SOLE 10450 0 0 UNITED ONLINE INC COM 911268100 780 55600 SH SOLE 55600 0 0 UNITED TECHNOLOGIES CORP COM 913017109 5480 84300 SH SOLE 84300 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 2318 43100 SH SOLE 43100 0 0 UNITEDHEALTH GROUP INC COM 91324P102 14783 279089 SH SOLE 279089 0 0 UNIVERSAL STAINLESS & ALLOY COM 913837100 945 19900 SH SOLE 19900 0 0 US BANCORP DEL COM NEW 902973304 34354 982375 SH SOLE 982375 0 0 US BANCORP DEL COM NEW 902973304 2192 62679 SH SOLE 61695 0 0 VALERO ENERGY CORP NEW COM 91913Y100 1562 24223 SH SOLE 23859 0 0 VALERO ENERGY CORP NEW COM 91913Y100 20008 310250 SH SOLE 310250 0 0 VARIAN MED SYS INC COM 92220P105 13162 276000 SH SOLE 276000 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 2378 44550 SH SOLE 44550 0 0 VERIZON COMMUNICATIONS COM 92343V104 40403 1065490 SH SOLE 1065490 0 0 VERIZON COMMUNICATIONS COM 92343V104 2504 66040 SH SOLE 65003 0 0 VIRGIN MEDIA INC COM 92769L101 8311 329133 SH SOLE 329133 0 0 VISTEON CORP COM 92839U107 534 62510 SH SOLE 62510 0 0 VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 50830 1892408 SH SOLE 1892408 0 0 VOLT INFORMATION SCIENCES IN COM 928703107 414 15824 SH SOLE 15824 0 0 W-H ENERGY SVCS INC COM 92925E108 4735 101300 SH SOLE 101300 0 0 WABASH NATL CORP COM 929566107 944 61200 SH SOLE 61200 0 0 WABTEC CORP COM 929740108 2652 76900 SH SOLE 76900 0 0 WACHOVIA CORP 2ND NEW COM 929903102 36274 658935 SH SOLE 658935 0 0 WACHOVIA CORP 2ND NEW COM 929903102 2395 43506 SH SOLE 42832 0 0 WARNACO GROUP INC COM NEW 934390402 6890 242600 SH SOLE 242600 0 0 WATSCO INC COM 942622200 1093 21400 SH SOLE 21400 0 0 WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 1534 1645000 PRN SOLE 1552000 0 0 WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 16121 17140000 PRN SOLE 17140000 0 0 WCI CMNTYS INC COM 92923C104 590 27640 SH SOLE 27640 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 4054 89900 SH SOLE 89900 0 0 WEBEX COMMUNICATIONS INC COM 94767L109 4378 77000 SH SOLE 77000 0 0 WEIS MKTS INC COM 948849104 1168 26130 SH SOLE 26130 0 0 WELLPOINT INC COM 94973V107 17534 216200 SH SOLE 216200 0 0 WELLS FARGO & CO NEW COM 949746101 2369 68806 SH SOLE 67724 0 0 WELLS FARGO & CO NEW COM 949746101 30958 899150 SH SOLE 899150 0 0 WERNER ENTERPRISES INC COM 950755108 1275 70160 SH SOLE 70160 0 0 WESCO INTL INC COM 95082P105 14044 223700 SH SOLE 223700 0 0 WESCO INTL INC DBCV 2.625%10/1 95082PAE5 1848 1144000 PRN SOLE 1063000 0 0 WILLIAMS COS INC DEL COM 969457100 79048 2777522 SH SOLE 2777522 0 0 WILLIAMS SONOMA INC COM 969904101 455 12829 SH SOLE 11929 0 0 WILLIAMS SONOMA INC COM 969904101 24943 703400 SH SOLE 703400 0 0 WINDSTREAM CORP COM 97381W104 3320 226026 SH SOLE 226026 0 0 WITNESS SYS INC COM 977424100 1024 38000 SH SOLE 38000 0 0 WORLD ACCEP CORP DEL COM 981419104 6616 165600 SH SOLE 165600 0 0 WORLD FUEL SVCS CORP COM 981475106 3516 76000 SH SOLE 76000 0 0 WYETH COM 983024100 25319 506075 SH SOLE 506075 0 0 WYETH COM 983024100 1018 20353 SH SOLE 19954 0 0 WYETH DBCV 1/1 983024AD2 1810 1698000 PRN SOLE 1618000 0 0 XL CAP LTD CL A G98255105 1623 23200 SH SOLE 23200 0 0 XTO ENERGY INC COM 98385X106 56025 1022175 SH SOLE 1022175 0 0 ZENITH NATL INS CORP COM 989390109 3174 67150 SH SOLE 67150 0 0