-----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, RAwbw0z6kVwOl9BWi7/vjbK191efO5+urAJyV7pHgdQOzuil0Zbouxlr5sej9cMl CbQhm6BeU60lQMd+7gvyDg== 0001085146-07-000687.txt : 20070713 0001085146-07-000687.hdr.sgml : 20070713 20070713140645 ACCESSION NUMBER: 0001085146-07-000687 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20070630 FILED AS OF DATE: 20070713 DATE AS OF CHANGE: 20070713 EFFECTIVENESS DATE: 20070713 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: 07978333 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 mack2q07.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: June 30, 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 July 12, 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: 601 Form13F Information Table Value Total: $11,068,394 (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 9127 276500 SH SOLE 276500 0 0 ABERCROMBIE & FITCH CO CL A 002896207 45892 628825 SH SOLE 628825 0 0 ACTUANT CORP CL A NEW 00508X203 2800 44400 SH SOLE 44400 0 0 AEROPOSTALE COM 007865108 7561 181400 SH SOLE 181400 0 0 AETNA INC NEW COM 00817Y108 2598 52600 SH SOLE 52600 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 42827 755063 SH SOLE 755063 0 0 AFFILIATED MANAGERS GROUP COM 008252108 24020 186550 SH SOLE 186550 0 0 AFLAC INC COM 001055102 71406 1389219 SH SOLE 1389219 0 0 AIR PRODS & CHEMS INC COM 009158106 1686 20975 SH SOLE 20975 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 59588 1225075 SH SOLE 1225075 0 0 ALCOA INC COM 013817101 28588 705359 SH 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028731107 3475 390500 SH SOLE 390500 0 0 AMERICAN STD COS INC DEL COM 029712106 25458 431630 SH SOLE 431630 0 0 AMERICAN TOWER CORP CL A 029912201 3356 79900 SH SOLE 79900 0 0 AMERICREDIT CORP COM 03060R101 8061 303600 SH SOLE 303600 0 0 AMERIGROUP CORP COM 03073T102 2599 109200 SH SOLE 109200 0 0 AMERIPRISE FINL INC COM 03076C106 2992 47060 SH SOLE 47060 0 0 AMERISTAR CASINOS INC COM 03070Q101 933 26850 SH SOLE 26850 0 0 AMGEN INC COM 031162100 25105 454062 SH SOLE 454062 0 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 38154 41865000 PRN SOLE 41865000 0 0 AMPHENOL CORP NEW CL A 032095101 69778 1957300 SH SOLE 1957300 0 0 AMR CORP COM 001765106 1318 50000 SH SOLE 50000 0 0 ANIXTER INTL INC COM 035290105 7559 100500 SH SOLE 100500 0 0 APOGEE ENTERPRISES INC COM 037598109 673 24200 SH SOLE 24200 0 0 APPLE INC COM 037833100 83359 683050 SH SOLE 683050 0 0 APPLIED MATLS INC COM 038222105 56478 2842400 SH SOLE 2842400 0 0 ARCH CHEMICALS INC COM 03937R102 15880 451886 SH SOLE 451886 0 0 ARCTIC CAT INC COM 039670104 733 37010 SH SOLE 37010 0 0 ARRIS GROUP INC COM 04269Q100 3038 172700 SH SOLE 172700 0 0 ARTHROCARE CORP COM 043136100 2143 48800 SH SOLE 48800 0 0 ARVINMERITOR INC COM 043353101 893 40225 SH SOLE 40225 0 0 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 27157 967481 SH SOLE 967481 0 0 ASSOCIATED ESTATES RLTY CORP COM 045604105 916 58730 SH SOLE 58730 0 0 ASSURANT INC COM 04621X108 46980 797350 SH SOLE 797350 0 0 ASTEC INDS INC COM 046224101 2782 65900 SH SOLE 65900 0 0 AT&T INC COM 00206R102 119814 2887069 SH SOLE 2887069 0 0 ATMI INC COM 00207R101 1527 50900 SH SOLE 50900 0 0 ATWOOD OCEANICS INC COM 050095108 21334 310900 SH SOLE 310900 0 0 AUTODESK INC COM 052769106 28212 599225 SH SOLE 599225 0 0 AUTOZONE INC COM 053332102 47260 345926 SH SOLE 345926 0 0 AVERY DENNISON CORP COM 053611109 13436 202101 SH SOLE 202101 0 0 AVNET INC COM 053807103 14124 356300 SH SOLE 356300 0 0 BAKER HUGHES INC COM 057224107 66961 795925 SH SOLE 795925 0 0 BALL CORP COM 058498106 21562 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SH SOLE 587422 0 0 BMC SOFTWARE INC COM 055921100 37068 1223350 SH SOLE 1223350 0 0 BON-TON STORES INC COM 09776J101 6378 159200 SH SOLE 159200 0 0 BOSTON SCIENTIFIC CORP COM 101137107 7659 499300 SH SOLE 499300 0 0 BOWATER INC COM 102183100 705 28260 SH SOLE 28260 0 0 BOYD GAMING CORP COM 103304101 2883 58600 SH SOLE 58600 0 0 BP PLC SPONSORED ADR 055622104 86649 1201119 SH SOLE 1201119 0 0 BRIGHAM EXPLORATION CO COM 109178103 881 150045 SH SOLE 150045 0 0 BRISTOW GROUP INC PFD CNV 5.50% 110394400 6467 100950 SH SOLE 100950 0 0 BROWN SHOE INC NEW COM 115736100 602 24740 SH SOLE 24740 0 0 BRUSH ENGINEERED MATLS INC COM 117421107 7075 168500 SH SOLE 168500 0 0 BUCKEYE TECHNOLOGIES INC COM 118255108 915 59135 SH SOLE 59135 0 0 BUFFALO WILD WINGS INC COM 119848109 8541 205352 SH SOLE 205352 0 0 C D W CORP COM 12512N105 3535 41600 SH SOLE 41600 0 0 CABLEVISION SYS CORP CL A NY CABLVS 12686C109 13636 376800 SH SOLE 376800 0 0 CALLON PETE CO DEL COM 13123X102 1073 75725 SH SOLE 75725 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 54228 758750 SH SOLE 758750 0 0 CAPITAL ONE FINL CORP COM 14040H105 28765 366715 SH SOLE 366715 0 0 CAPITALSOURCE INC COM 14055X102 8764 356400 SH SOLE 356400 0 0 CARMAX INC COM 143130102 32441 1272200 SH SOLE 1272200 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 2306 17700 SH SOLE 17700 0 0 CASELLA WASTE SYS INC CL A 147448104 524 48575 SH SOLE 48575 0 0 CASH AMER INTL INC COM 14754D100 4861 122600 SH SOLE 122600 0 0 CASUAL MALE RETAIL GRP INC COM 148711104 4280 423800 SH SOLE 423800 0 0 CATERPILLAR INC DEL COM 149123101 2694 34400 SH SOLE 34400 0 0 CBS CORP NEW CL B 124857202 23047 691700 SH SOLE 691700 0 0 CELADON GROUP INC COM 150838100 5408 340100 SH SOLE 340100 0 0 CELANESE CORP DEL PFD 4.25% CONV 150870202 3646 72697 PRN SOLE 72697 0 0 CELANESE CORP DEL PFD 4.25% CONV 150870202 29188 581900 SH SOLE 581900 0 0 CELGENE CORP COM 151020104 53096 926150 SH SOLE 926150 0 0 CENTER FINL CORP CALIF COM 15146E102 752 44450 SH SOLE 44450 0 0 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24328 15108000 PRN SOLE 15108000 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 72905 77775000 PRN SOLE 77775000 0 0 CINEMARK HOLDINGS INC COM 17243V102 6416 358679 SH SOLE 358679 0 0 CISCO SYS INC COM 17275R102 71008 2549650 SH SOLE 2549650 0 0 CITIGROUP FDG INC NOTE 0.500% 2/0 17308CDA1 12721 14410000 PRN SOLE 14410000 0 0 CITIGROUP INC COM 172967101 95047 1853113 SH SOLE 1853113 0 0 CLEVELAND CLIFFS INC COM 185896107 753 9700 SH SOLE 9700 0 0 COACH INC COM 189754104 77547 1636350 SH SOLE 1636350 0 0 COEUR D ALENE MINES CORP IDA COM 192108108 229 63700 SH SOLE 63700 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 36665 488282 SH SOLE 488282 0 0 COHEN & STEERS INC COM 19247A100 6161 141800 SH SOLE 141800 0 0 COMCAST CORP NEW CL A 20030N101 84729 3013107 SH SOLE 3013107 0 0 COMMERCIAL METALS CO COM 201723103 11293 334400 SH SOLE 334400 0 0 COMPLETE PRODUCTION SERVICES COM 20453E109 1029 39825 SH SOLE 39825 0 0 COMPUTER SCIENCES CORP COM 205363104 40343 682036 SH SOLE 682036 0 0 COMSTOCK RES INC COM NEW 205768203 485 16180 SH SOLE 16180 0 0 CONNS INC COM 208242107 574 20100 SH SOLE 20100 0 0 CONOCOPHILLIPS COM 20825C104 44764 570238 SH SOLE 570238 0 0 CONSECO INC DBCV 3.500% 9/3 208464BH9 11962 11600000 PRN SOLE 11600000 0 0 CONSOLIDATED COMM HLDGS INC COM 209034107 864 38215 SH SOLE 38215 0 0 COOPER CAMERON CORP DBCV 1.500% 5/1 216640AE2 43095 20580000 PRN SOLE 20580000 0 0 CORNING INC COM 219350105 22008 861375 SH SOLE 861375 0 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 24352 18208000 PRN SOLE 18208000 0 0 COSTCO WHSL CORP NEW COM 22160K105 21904 374295 SH SOLE 374295 0 0 COVANCE INC COM 222816100 6870 100200 SH SOLE 100200 0 0 COVANTA HLDG CORP DBCV 1.000% 2/0 22282EAA0 21257 20537000 PRN SOLE 20537000 0 0 COVENTRY HEALTH CARE INC COM 222862104 15192 263517 SH SOLE 263517 0 0 CRYSTAL RIV CAP INC COM 229393301 684 28160 SH SOLE 28160 0 0 CSK AUTO CORP COM 125965103 655 35600 SH SOLE 35600 0 0 CSS INDS INC COM 125906107 523 13200 SH SOLE 13200 0 0 CSX CORP COM 126408103 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COM 410867105 4738 97100 SH SOLE 97100 0 0 HARLEY DAVIDSON INC COM 412822108 40706 682875 SH SOLE 682875 0 0 HARMAN INTL INDS INC COM 413086109 21932 187775 SH SOLE 187775 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 37051 376113 SH SOLE 376113 0 0 HAVERTY FURNITURE INC COM 419596101 573 49075 SH SOLE 49075 0 0 HEALTH NET INC COM 42222G108 10460 198100 SH SOLE 198100 0 0 HEALTHSPRING INC COM 42224N101 5400 283300 SH SOLE 283300 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 3181 79700 SH SOLE 79700 0 0 HERCULES TECH GROWTH CAP INC COM 427096508 1022 75625 SH SOLE 75625 0 0 HESS CORP COM 42809H107 75580 1281897 SH SOLE 1281897 0 0 HEWLETT PACKARD CO NOTE 10/1 428236AC7 7627 10020000 PRN SOLE 10020000 0 0 HEWLETT PACKARD CO COM 428236103 59185 1326425 SH SOLE 1326425 0 0 HEXCEL CORP NEW COM 428291108 1625 77135 SH SOLE 77135 0 0 HIGHWOODS PPTYS INC COM 431284108 15882 423530 SH SOLE 423530 0 0 HILTON HOTELS CORP NOTE 3.375% 4/1 432848AZ2 26004 17191000 PRN SOLE 17191000 0 0 HITTITE MICROWAVE CORP COM 43365Y104 7529 176200 SH SOLE 176200 0 0 HOLLY CORP COM PAR $0.01 435758305 6581 88700 SH SOLE 88700 0 0 HOLOGIC INC COM 436440101 10089 182400 SH SOLE 182400 0 0 HOME DEPOT INC COM 437076102 54400 1382453 SH SOLE 1382453 0 0 HONEYWELL INTL INC COM 438516106 36130 641976 SH SOLE 641976 0 0 HOOKER FURNITURE CORP COM 439038100 752 33490 SH SOLE 33490 0 0 HORNBECK OFFSHORE SVCS INC N COM 440543106 4946 127600 SH SOLE 127600 0 0 HOUSTON WIRE & CABLE CO COM 44244K109 7736 272300 SH SOLE 272300 0 0 HUB GROUP INC CL A 443320106 6902 196300 SH SOLE 196300 0 0 HUMANA INC COM 444859102 46954 770875 SH SOLE 770875 0 0 IDACORP INC COM 451107106 615 19210 SH SOLE 19210 0 0 IDEARC INC COM 451663108 19175 542757 SH SOLE 542757 0 0 II VI INC COM 902104108 5535 203700 SH SOLE 203700 0 0 IMMUCOR INC COM 452526106 8625 308350 SH SOLE 308350 0 0 INDEPENDENT BANK CORP MASS COM 453836108 1224 41425 SH SOLE 41425 0 0 INFINITY PPTY & CAS CORP COM 45665Q103 872 17195 SH SOLE 17195 0 0 INFOUSA INC NEW COM 456818301 652 63760 SH SOLE 63760 0 0 INPUT/OUTPUT INC COM 457652105 3762 241000 SH SOLE 241000 0 0 INSIGHT ENTERPRISES INC COM 45765U103 611 27050 SH SOLE 27050 0 0 INTEL CORP COM 458140100 71362 3003535 SH SOLE 3003535 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 66939 452750 SH SOLE 452750 0 0 INTERFACE INC CL A 458665106 7268 385360 SH SOLE 385360 0 0 INTERLINE BRANDS INC COM 458743101 6606 253300 SH SOLE 253300 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 35839 340512 SH SOLE 340512 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 15424 13713000 PRN SOLE 13713000 0 0 INVACARE CORP COM 461203101 516 28160 SH SOLE 28160 0 0 INVENTIV HEALTH INC COM 46122E105 3313 90500 SH SOLE 90500 0 0 INVESTMENT TECHNOLOGY GRP NE COM 46145F105 15547 358797 SH SOLE 358797 0 0 IOWA TELECOMM SERVICES INC COM 462594201 1901 83655 SH SOLE 83655 0 0 ISHARES TR RUSSELL1000VAL 464287598 25033 288600 SH SOLE 288600 0 0 ISHARES TR MSCI EAFE IDX 464287465 586 7250 SH SOLE 7250 0 0 ISHARES TR RUSSELL MCP GR 464287481 12279 107800 SH SOLE 107800 0 0 ISHARES TR RUSSELL MCP VL 464287473 27067 171900 SH SOLE 171900 0 0 ITRON INC COM 465741106 2868 36800 SH SOLE 36800 0 0 J2 GLOBAL COMMUNICATIONS INC COM NEW 46626E205 10355 296700 SH SOLE 296700 0 0 JER INVT TR INC COM 46614H301 665 44350 SH SOLE 44350 0 0 JOHNSON & JOHNSON COM 478160104 58085 942637 SH SOLE 942637 0 0 JOURNAL COMMUNICATIONS INC CL A 481130102 483 37100 SH SOLE 37100 0 0 JOY GLOBAL INC COM 481165108 14482 248275 SH SOLE 248275 0 0 JP MORGAN CHASE & CO COM 46625H100 67711 1397555 SH SOLE 1397555 0 0 KAPSTONE PAPER & PACKAGING C COM 48562P103 208 27400 SH SOLE 27400 0 0 KBW INC COM 482423100 863 29365 SH SOLE 29365 0 0 KEYCORP NEW COM 493267108 18528 539711 SH SOLE 539711 0 0 KIMBERLY CLARK CORP COM 494368103 23189 346672 SH SOLE 346672 0 0 KNIGHT CAPITAL GROUP INC CL A 499005106 831 50080 SH SOLE 50080 0 0 KNOLL INC COM NEW 498904200 5797 258800 SH SOLE 258800 0 0 KOHLS CORP COM 500255104 60597 853125 SH SOLE 853125 0 0 KROGER CO COM 501044101 56330 2002484 SH SOLE 2002484 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 23638 20833000 PRN SOLE 20833000 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 15368 157800 SH SOLE 157800 0 0 LABOR READY INC COM NEW 505401208 820 35500 SH SOLE 35500 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 2696 2549000 PRN SOLE 2549000 0 0 LACLEDE GROUP INC COM 505597104 994 31175 SH SOLE 31175 0 0 LAKELAND FINL CORP COM 511656100 708 33285 SH SOLE 33285 0 0 LAS VEGAS SANDS CORP COM 517834107 8407 110050 SH SOLE 110050 0 0 LAYNE CHRISTENSEN CO COM 521050104 6856 167420 SH SOLE 167420 0 0 LEAP WIRELESS INTL INC COM NEW 521863308 8746 103500 SH SOLE 103500 0 0 LEHMAN BROS HLDGS INC COM 524908100 13376 179500 SH SOLE 179500 0 0 LENNOX INTL INC COM 526107107 6500 189900 SH SOLE 189900 0 0 LIBBEY INC COM 529898108 462 21400 SH SOLE 21400 0 0 LIFECELL CORP COM 531927101 1246 40800 SH SOLE 40800 0 0 LIMITED BRANDS INC COM 532716107 42480 1547533 SH SOLE 1547533 0 0 LLOYDS TSB GROUP PLC SPONSORED ADR 539439109 6573 146984 SH SOLE 146984 0 0 LODGENET ENTMT CORP COM 540211109 719 22425 SH SOLE 22425 0 0 LOGITECH INTL S A SHS H50430232 43815 1660286 SH SOLE 1660286 0 0 LORAL SPACE & COMMUNICATNS L COM 543881106 28660 552683 SH SOLE 552683 0 0 LOWES COS INC COM 548661107 35186 1146507 SH SOLE 1146507 0 0 LOWES COS INC NOTE 0.861%10/1 548661CG0 2592 2411000 PRN SOLE 2411000 0 0 LUBYS INC COM 549282101 714 73915 SH SOLE 73915 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AG2 15615 14765000 PRN SOLE 14765000 0 0 LUFKIN INDS INC COM 549764108 5061 78400 SH SOLE 78400 0 0 LUMINENT MTG CAP INC COM 550278303 777 77017 SH SOLE 77017 0 0 MACROVISION CORP COM 555904101 6054 201400 SH SOLE 201400 0 0 MADDEN STEVEN LTD COM 556269108 6104 186335 SH SOLE 186335 0 0 MANPOWER INC COM 56418H100 55116 597525 SH SOLE 597525 0 0 MARINER ENERGY INC COM 56845T305 5636 232400 SH SOLE 232400 0 0 MARSHALL & ILSLEY CORP COM 571834100 26663 559794 SH SOLE 559794 0 0 MASTEC INC COM 576323109 834 52695 SH SOLE 52695 0 0 MATRIA HEALTHCARE INC COM NEW 576817209 1178 38900 SH SOLE 38900 0 0 MCDERMOTT INTL INC COM 580037109 13436 161650 SH SOLE 161650 0 0 MCGRAW HILL COS INC COM 580645109 2526 37100 SH SOLE 37100 0 0 MEDALLION FINL CORP COM 583928106 564 47670 SH SOLE 47670 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 41265 39071000 PRN SOLE 39071000 0 0 MEMC ELECTR MATLS INC COM 552715104 76393 1249889 SH SOLE 1249889 0 0 MENTOR GRAPHICS CORP COM 587200106 4160 315900 SH SOLE 315900 0 0 MERITAGE HOMES CORP COM 59001A102 348 13000 SH SOLE 13000 0 0 MERRILL LYNCH & CO INC COM 590188108 82169 983118 SH SOLE 983118 0 0 MERRILL LYNCH & CO INC NOTE 3/1 590188W46 2221 1810000 PRN SOLE 1810000 0 0 MGE ENERGY INC COM 55277P104 768 23520 SH SOLE 23520 0 0 MICROS SYS INC COM 594901100 2910 53500 SH SOLE 53500 0 0 MICROSOFT CORP COM 594918104 129267 4386377 SH SOLE 4386377 0 0 MIDLAND CO COM 597486109 727 15485 SH SOLE 15485 0 0 MILLER INDS INC TENN COM NEW 600551204 735 29265 SH SOLE 29265 0 0 MILLIPORE CORP COM 601073109 7231 96300 SH SOLE 96300 0 0 MOBILE MINI INC COM 60740F105 3086 105700 SH SOLE 105700 0 0 MOLEX INC CL A 608554200 22279 839110 SH SOLE 839110 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 3431 3287000 PRN SOLE 3287000 0 0 MONSANTO CO NEW COM 61166W101 1756 26000 SH SOLE 26000 0 0 MORGAN STANLEY COM NEW 617446448 94034 1121044 SH SOLE 1121044 0 0 MYLAN LABS INC NOTE 1.250% 3/1 628530AG2 8830 9089000 PRN SOLE 9089000 0 0 NARA BANCORP INC COM 63080P105 355 22300 SH SOLE 22300 0 0 NATCO GROUP INC CL A 63227W203 6584 143000 SH SOLE 143000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 96928 929850 SH SOLE 929850 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 2298 81300 SH SOLE 81300 0 0 NCI BUILDING SYS INC COM 628852105 908 18405 SH SOLE 18405 0 0 NEON COMMUNICATIONS GROUP IN COM 64050T101 36525 10622121 SH SOLE 10622121 0 0 NESS TECHNOLOGIES INC COM 64104X108 5103 392200 SH SOLE 392200 0 0 NETFLIX INC COM 64110L106 546 28160 SH SOLE 28160 0 0 NETGEAR INC COM 64111Q104 7855 216700 SH SOLE 216700 0 0 NETWORK APPLIANCE INC COM 64120L104 33859 1159543 SH SOLE 1159543 0 0 NEUSTAR INC CL A 64126X201 2888 99700 SH SOLE 99700 0 0 NEW FRONTIER MEDIA INC COM 644398109 799 91615 SH SOLE 91615 0 0 NEW JERSEY RES COM 646025106 653 12800 SH SOLE 12800 0 0 NEWALLIANCE BANCSHARES INC COM 650203102 18673 1268564 SH SOLE 1268564 0 0 NEWCASTLE INVT CORP COM 65105M108 585 23330 SH SOLE 23330 0 0 NEWFIELD EXPL CO COM 651290108 9953 218500 SH SOLE 218500 0 0 NEWMONT MINING CORP COM 651639106 17327 443600 SH SOLE 443600 0 0 NEWS CORP CL A 65248E104 19829 934900 SH SOLE 934900 0 0 NGP CAP RES CO COM 62912R107 918 54910 SH SOLE 54910 0 0 NII HLDGS INC CL B NEW 62913F201 9140 113200 SH SOLE 113200 0 0 NII HLDGS INC NOTE 2.750% 8/1 62913FAF9 17155 9917000 PRN SOLE 9917000 0 0 NIKE INC CL B 654106103 11766 201850 SH SOLE 201850 0 0 NOKIA CORP SPONSORED ADR 654902204 40772 1451451 SH SOLE 1451451 0 0 NORDSTROM INC COM 655664100 48220 943275 SH SOLE 943275 0 0 NORFOLK SOUTHERN CORP COM 655844108 59056 1123375 SH SOLE 1123375 0 0 NORTEL NETWORKS CORP NEW NOTE 4.250% 9/0 656568AB8 131164133595000 PRN SOLE 133595000 0 0 NORTHROP GRUMMAN CORP COM 666807102 35258 452784 SH SOLE 452784 0 0 NORTHSTAR RLTY FIN CORP COM 66704R100 877 70095 SH SOLE 70095 0 0 NORTHWEST AIRLS CORP COM 667280408 130023185864909 SH SOLE 185864909 0 0 NORTHWEST PIPE CO COM 667746101 816 22930 SH SOLE 22930 0 0 NOVARTIS A G SPONSORED ADR 66987V109 40172 716463 SH SOLE 716463 0 0 NOVATEL INC COM 669954109 4980 137191 SH SOLE 137191 0 0 NRG ENERGY INC COM NEW 629377508 61412 1477312 SH SOLE 1477312 0 0 NTELOS HLDGS CORP COM 67020Q107 5025 181800 SH SOLE 181800 0 0 NVIDIA CORP COM 67066G104 57254 1385950 SH SOLE 1385950 0 0 OLD DOMINION FGHT LINES INC COM 679580100 788 26145 SH SOLE 26145 0 0 OLD NATL BANCORP IND COM 680033107 678 40830 SH SOLE 40830 0 0 OLIN CORP COM PAR $1 680665205 13833 658743 SH SOLE 658743 0 0 OMNICOM GROUP INC COM 681919106 15439 291750 SH SOLE 291750 0 0 OMNICOM GROUP INC NOTE 2/0 681919AK2 11201 10681000 PRN SOLE 10681000 0 0 OPTIONSXPRESS HLDGS INC COM 684010101 6438 250900 SH SOLE 250900 0 0 ORACLE CORP COM 68389X105 60469 3067925 SH SOLE 3067925 0 0 OSHKOSH TRUCK CORP COM 688239201 18524 294400 SH SOLE 294400 0 0 OWENS ILL INC COM NEW 690768403 9850 281415 SH SOLE 281415 0 0 OYO GEOSPACE CORP COM 671074102 5816 78400 SH SOLE 78400 0 0 P A M TRANSN SVCS INC COM 693149106 553 30270 SH SOLE 30270 0 0 PALOMAR MED TECHNOLOGIES INC COM NEW 697529303 3898 112300 SH SOLE 112300 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 6682 236700 SH SOLE 236700 0 0 PAREXEL INTL CORP COM 699462107 8265 196500 SH SOLE 196500 0 0 PARK ELECTROCHEMICAL CORP COM 700416209 845 29970 SH SOLE 29970 0 0 PARKWAY PPTYS INC COM 70159Q104 763 15890 SH SOLE 15890 0 0 PARTNERRE LTD COM G6852T105 24001 309686 SH SOLE 309686 0 0 PEABODY ENERGY CORP COM 704549104 3445 71200 SH SOLE 71200 0 0 PENN NATL GAMING INC COM 707569109 9446 157200 SH SOLE 157200 0 0 PENN VA CORP COM 707882106 380 9455 SH SOLE 9455 0 0 PENNEY J C INC COM 708160106 49126 678725 SH SOLE 678725 0 0 PENTAIR INC COM 709631105 55182 1430706 SH SOLE 1430706 0 0 PEPCO HOLDINGS INC COM 713291102 13944 494501 SH SOLE 494501 0 0 PEPSICO INC COM 713448108 4955 76400 SH SOLE 76400 0 0 PFF BANCORP INC COM 69331W104 913 32685 SH SOLE 32685 0 0 PFIZER INC COM 717081103 41790 1634334 SH SOLE 1634334 0 0 PG&E CORP COM 69331C108 16139 356266 SH SOLE 356266 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 10892 284600 SH SOLE 284600 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 20666 341200 SH SOLE 341200 0 0 PITNEY BOWES INC COM 724479100 25249 539274 SH SOLE 539274 0 0 PLAYBOY ENTERPRISES INC CL B 728117300 849 74920 SH SOLE 74920 0 0 PMA CAP CORP CL A 693419202 567 53000 SH SOLE 53000 0 0 PMI GROUP INC COM 69344M101 71121 1592143 SH SOLE 1592143 0 0 PNC FINL SVCS GROUP INC COM 693475105 87782 1226357 SH SOLE 1226357 0 0 POLO RALPH LAUREN CORP CL A 731572103 54179 552225 SH SOLE 552225 0 0 POLYONE CORP COM 73179P106 132 18400 SH SOLE 18400 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 624 22730 SH SOLE 22730 0 0 PPL CORP COM 69351T106 20970 448189 SH SOLE 448189 0 0 PRAXAIR INC COM 74005P104 20794 288850 SH SOLE 288850 0 0 PRE PAID LEGAL SVCS INC COM 740065107 698 10860 SH SOLE 10860 0 0 PRECISION CASTPARTS CORP COM 740189105 88265 727300 SH SOLE 727300 0 0 PRESIDENTIAL LIFE CORP COM 740884101 932 47390 SH SOLE 47390 0 0 PRESTIGE BRANDS HLDGS INC COM 74112D101 569 43845 SH SOLE 43845 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 26589 17713000 PRN SOLE 17713000 0 0 PROCTER & GAMBLE CO COM 742718109 343 5600 SH SOLE 5600 0 0 PROGRESS SOFTWARE CORP COM 743312100 2368 74500 SH SOLE 74500 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 539 30875 SH SOLE 30875 0 0 PRUDENTIAL FINL INC COM 744320102 60591 623174 SH SOLE 623174 0 0 QLOGIC CORP COM 747277101 5275 316800 SH SOLE 316800 0 0 QUADRAMED CORP COM 74730W101 15258 4645080 SH SOLE 4645080 0 0 QUALITY SYS INC COM 747582104 5642 148604 SH SOLE 148604 0 0 QUANEX CORP COM 747620102 1014 20815 SH SOLE 20815 0 0 QUANTA SVCS INC COM 74762E102 7919 258200 SH SOLE 258200 0 0 QUEST DIAGNOSTICS INC COM 74834L100 56191 1087914 SH SOLE 1087914 0 0 RAM ENERGY RESOURCES INC COM 75130P109 886 163520 SH SOLE 163520 0 0 RAYTHEON CO COM NEW 755111507 22381 415298 SH SOLE 415298 0 0 RBC BEARINGS INC COM 75524B104 3362 81500 SH SOLE 81500 0 0 REPUBLIC AWYS HLDGS INC COM 760276105 7116 349660 SH SOLE 349660 0 0 REPUBLIC PROPERTY TR COM 760737106 1133 92520 SH SOLE 92520 0 0 RESEARCH IN MOTION LTD COM 760975102 2120 10600 SH SOLE 10600 0 0 RESOURCE CAP CORP COM 76120W302 779 55715 SH SOLE 55715 0 0 RESPIRONICS INC COM 761230101 12811 300800 SH SOLE 300800 0 0 RETAIL VENTURES INC COM 76128Y102 395 24500 SH SOLE 24500 0 0 RLI CORP COM 749607107 782 13970 SH SOLE 13970 0 0 ROBERT HALF INTL INC COM 770323103 39692 1087450 SH SOLE 1087450 0 0 ROCK-TENN CO CL A 772739207 711 22425 SH SOLE 22425 0 0 ROGERS CORP COM 775133101 3249 87800 SH SOLE 87800 0 0 ROPER INDS INC NEW COM 776696106 19545 342300 SH SOLE 342300 0 0 ROWAN COS INC COM 779382100 14510 354072 SH SOLE 354072 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 20702 254955 SH SOLE 254955 0 0 RTI INTL METALS INC COM 74973W107 6655 88300 SH SOLE 88300 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 793 47770 SH SOLE 47770 0 0 RURAL / METRO CORP COM 781748108 150 26300 SH SOLE 26300 0 0 RUSH ENTERPRISES INC CL B 781846308 712 33990 SH SOLE 33990 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 20219 535598 SH SOLE 535598 0 0 SAFECO CORP COM 786429100 11653 187170 SH SOLE 187170 0 0 SANDERSON FARMS INC COM 800013104 8455 187800 SH SOLE 187800 0 0 SANDY SPRING BANCORP INC COM 800363103 920 29265 SH SOLE 29265 0 0 SAUL CTRS INC COM 804395101 889 19610 SH SOLE 19610 0 0 SBA COMMUNICATIONS CORP COM 78388J106 11699 348300 SH SOLE 348300 0 0 SBA COMMUNICATIONS CORP NOTE 0.375%12/0 78388JAJ5 32404 29161000 PRN SOLE 29161000 0 0 SCANSOURCE INC COM 806037107 1171 36595 SH SOLE 36595 0 0 SCHEIN HENRY INC COM 806407102 10162 190200 SH SOLE 190200 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 24694 19227000 PRN SOLE 19227000 0 0 SCHERING PLOUGH CORP COM 806605101 70224 2306975 SH SOLE 2306975 0 0 SCHERING PLOUGH CORP PFD CONV MAND 806605606 23715 344700 SH SOLE 344700 0 0 SCHERING PLOUGH CORP PFD CONV MAND 806605606 3471 50454 PRN SOLE 50454 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 52640 22360000 PRN SOLE 22360000 0 0 SCIELE PHARMA INC COM 808627103 5584 237000 SH SOLE 237000 0 0 SCIENTIFIC GAMES CORP CL A 80874P109 6225 178100 SH SOLE 178100 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 8257 192300 SH SOLE 192300 0 0 SELECTIVE INS GROUP INC COM 816300107 679 25277 SH SOLE 25277 0 0 SEQUA CORPORATION CL A 817320104 448 4000 SH SOLE 4000 0 0 SIERRA HEALTH SVCS INC COM 826322109 8000 192400 SH SOLE 192400 0 0 SIMMONS 1ST NATL CORP CL A $1 PAR 828730200 827 29970 SH SOLE 29970 0 0 SIMPSON MANUFACTURING CO INC COM 829073105 780 23130 SH SOLE 23130 0 0 SINCLAIR BROADCAST GROUP INC CL A 829226109 861 60565 SH SOLE 60565 0 0 SINCLAIR BROADCAST GROUP INC NOTE 3.000% 5/1 829226AW9 64982 64668000 PRN SOLE 64668000 0 0 SIRIUS SATELLITE RADIO INC NOTE 3.250%10/1 82966UAD5 7627 8365000 PRN SOLE 8365000 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 5916 804900 SH SOLE 804900 0 0 SLM CORP COM 78442P106 18411 319748 SH SOLE 319748 0 0 SMITH INTL INC COM 832110100 54912 936425 SH SOLE 936425 0 0 SMUCKER J M CO COM NEW 832696405 2849 44753 SH SOLE 44753 0 0 SOUTHERN COPPER CORP COM 84265V105 88564 939575 SH SOLE 939575 0 0 SOVEREIGN BANCORP INC COM 845905108 15698 742544 SH SOLE 742544 0 0 SPANSION INC COM CL A 84649R101 722 65065 SH SOLE 65065 0 0 SPECTRA ENERGY CORP COM 847560109 24825 956263 SH SOLE 956263 0 0 SPRINT NEXTEL CORP COM FON 852061100 31284 1510566 SH SOLE 1510566 0 0 STANDARD PAC CORP NEW COM 85375C101 686 39120 SH SOLE 39120 0 0 STAR GAS PARTNERS L P UNIT LTD PARTNR 85512C105 30876 6799648 SH SOLE 6799648 0 0 STATION CASINOS INC COM 857689103 1571 18100 SH SOLE 18100 0 0 STEC INC COM 784774101 2889 449300 SH SOLE 449300 0 0 STEEL DYNAMICS INC COM 858119100 1752 41800 SH SOLE 41800 0 0 STONE ENERGY CORP COM 861642106 976 28495 SH SOLE 28495 0 0 SUNCOR ENERGY INC COM 867229106 46130 513009 SH SOLE 513009 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 3405 85300 SH SOLE 85300 0 0 SUPERTEX INC COM 868532102 4544 145000 SH SOLE 145000 0 0 SWIFT ENERGY CO COM 870738101 4789 112000 SH SOLE 112000 0 0 SYBASE INC NOTE 1.750% 2/2 871130AB6 15682 14233000 PRN SOLE 14233000 0 0 SYKES ENTERPRISES INC COM 871237103 6130 322800 SH SOLE 322800 0 0 SYNNEX CORP COM 87162W100 750 36405 SH SOLE 36405 0 0 TALBOTS INC COM 874161102 717 28660 SH SOLE 28660 0 0 TAM SA SP ADR REP PFD 87484D103 22860 690630 SH SOLE 690630 0 0 TARGET CORP COM 87612E106 17566 276200 SH SOLE 276200 0 0 TECHNITROL INC COM 878555101 6246 217855 SH SOLE 217855 0 0 TECK COMINCO LTD CL B 878742204 71544 1683392 SH SOLE 1683392 0 0 TEMPUR PEDIC INTL INC COM 88023U101 7211 278400 SH SOLE 278400 0 0 TEREX CORP NEW COM 880779103 28179 346600 SH SOLE 346600 0 0 TESORO CORP COM 881609101 21248 371800 SH SOLE 371800 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 5726 141200 SH SOLE 141200 0 0 TETRA TECHNOLOGIES INC DEL COM 88162F105 6500 230500 SH SOLE 230500 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 18338 18273000 PRN SOLE 18273000 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.500% 2/0 88164RAA5 42004 36408000 PRN SOLE 36408000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 89617 2174079 SH SOLE 2174079 0 0 TEXAS INSTRS INC COM 882508104 41753 1109583 SH SOLE 1109583 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 87381 1689500 SH SOLE 1689500 0 0 TIBCO SOFTWARE INC COM 88632Q103 3042 336100 SH SOLE 336100 0 0 TIDEWATER INC COM 886423102 6804 96000 SH SOLE 96000 0 0 TIME WARNER CABLE INC CL A 88732J108 10902 278323 SH SOLE 278323 0 0 TIME WARNER INC COM 887317105 27276 1296362 SH SOLE 1296362 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 13460 10707000 PRN SOLE 10707000 0 0 TIMKEN CO COM 887389104 6979 193278 SH SOLE 193278 0 0 TJX COS INC NEW COM 872540109 105524 3837222 SH SOLE 3837222 0 0 TNS INC COM 872960109 700 48575 SH SOLE 48575 0 0 TOUSA INC COM 872962105 515 122890 SH SOLE 122890 0 0 TOWER GROUP INC COM 891777104 5598 175500 SH SOLE 175500 0 0 TRANSOCEAN INC ORD G90078109 5140 48500 SH SOLE 48500 0 0 TRANSOCEAN SEDCO FOREX INC DBCV 1.500% 5/1 893830AD1 48245 32507000 PRN SOLE 32507000 0 0 TRAVELZOO INC COM 89421Q106 5057 190200 SH SOLE 190200 0 0 TRIDENT MICROSYSTEMS INC COM 895919108 7252 395200 SH SOLE 395200 0 0 TRIUMPH GROUP INC NEW COM 896818101 7110 108600 SH SOLE 108600 0 0 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 29750 22369000 PRN SOLE 22369000 0 0 TRONOX INC CL A 897051108 860 59835 SH SOLE 59835 0 0 TRUE RELIGION APPAREL INC COM 89784N104 2051 100900 SH SOLE 100900 0 0 TRUSTCO BK CORP N Y COM 898349105 733 74203 SH SOLE 74203 0 0 TUESDAY MORNING CORP COM NEW 899035505 527 42640 SH SOLE 42640 0 0 TWEEN BRANDS INC COM 901166108 6356 142500 SH SOLE 142500 0 0 U S CONCRETE INC COM 90333L102 261 30000 SH SOLE 30000 0 0 ULTRA CLEAN HLDGS INC COM 90385V107 4888 349610 SH SOLE 349610 0 0 UNIFI INC COM 904677101 41 15700 SH SOLE 15700 0 0 UNISOURCE ENERGY CORP COM 909205106 635 19310 SH SOLE 19310 0 0 UNITED CMNTY FINL CORP OHIO COM 909839102 775 77635 SH SOLE 77635 0 0 UNITED TECHNOLOGIES CORP COM 913017109 5979 84300 SH SOLE 84300 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 2748 43100 SH SOLE 43100 0 0 UNITEDHEALTH GROUP INC COM 91324P102 8812 172314 SH SOLE 172314 0 0 UNIVERSAL FST PRODS INC COM 913543104 603 14280 SH SOLE 14280 0 0 US BANCORP DEL COM NEW 902973304 13141 398808 SH SOLE 398808 0 0 VALERO ENERGY CORP NEW COM 91913Y100 25177 340872 SH SOLE 340872 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 6302 157325 SH SOLE 157325 0 0 VERIZON COMMUNICATIONS COM 92343V104 46390 1126787 SH SOLE 1126787 0 0 VIRGIN MEDIA INC COM 92769L101 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77457 2449622 SH SOLE 2449622 0 0 WILLIAMS SONOMA INC COM 969904101 22999 728264 SH SOLE 728264 0 0 WINDSTREAM CORP COM 97381W104 3037 205762 SH SOLE 205762 0 0 WORLD ACCEP CORP DEL COM 981419104 6653 155700 SH SOLE 155700 0 0 WORLD FUEL SVCS CORP COM 981475106 3197 76000 SH SOLE 76000 0 0 WORTHINGTON INDS INC COM 981811102 1106 51090 SH SOLE 51090 0 0 WYETH COM 983024100 30086 524694 SH SOLE 524694 0 0 WYETH DBCV 1/1 983024AD2 2034 1798000 PRN SOLE 1798000 0 0 XERIUM TECHNOLOGIES INC COM 98416J100 576 75625 SH SOLE 75625 0 0 XL CAP LTD CL A G98255105 1472 17465 SH SOLE 17465 0 0 XTO ENERGY INC COM 98385X106 61926 1030375 SH SOLE 1030375 0 0 YAHOO INC FRNT 4/0 984332AB2 2499 1844000 PRN SOLE 1844000 0 0 ZENITH NATL INS CORP COM 989390109 1071 22750 SH SOLE 22750 0 0 ZYGO CORP COM 989855101 759 53100 SH SOLE 53100 0 0
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