13F-HR 1 mack3q07.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, 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 October 11, 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: 586 Form13F Information Table Value Total: $10,344,151 (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 7655 252300 SH SOLE 252300 0 0 ABERCROMBIE & FITCH CO CL A 002896207 48624 602525 SH SOLE 602525 0 0 ACTUANT CORP CL A NEW 00508X203 2235 34400 SH SOLE 34400 0 0 AEROPOSTALE COM 007865108 4918 258050 SH SOLE 258050 0 0 AETNA INC NEW COM 00817Y108 1894 34900 SH SOLE 34900 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 44471 885178 SH SOLE 885178 0 0 AFFILIATED MANAGERS GROUP COM 008252108 24099 189000 SH SOLE 189000 0 0 AFLAC INC COM 001055102 76442 1340541 SH SOLE 1340541 0 0 AIR PRODS & CHEMS INC COM 009158106 2048 20950 SH SOLE 20950 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 35452 1233975 SH SOLE 1233975 0 0 ALCOA INC COM 013817101 17302 442276 SH SOLE 442276 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 75855 689900 SH SOLE 689900 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 17657 161550 SH SOLE 161550 0 0 ALLIED WRLD ASSUR COM HLDG L SHS G0219G203 607 11700 SH SOLE 11700 0 0 ALLTEL CORP COM 020039103 10275 147453 SH SOLE 147453 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 818 35200 SH SOLE 35200 0 0 ALZA CORP SDCV 7/2 02261WAB5 13826 15165000 PRN SOLE 15165000 0 0 AMDOCS LTD ORD G02602103 6542 175900 SH SOLE 175900 0 0 AMEDISYS INC COM 023436108 6455 168000 SH SOLE 168000 0 0 AMEREN CORP COM 023608102 16856 321059 SH SOLE 321059 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 752 29770 SH SOLE 29770 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 45014 1710900 SH SOLE 1710900 0 0 AMERICAN EXPRESS CO COM 025816109 4690 79000 SH SOLE 79000 0 0 AMERICAN ORIENTAL BIOENGR IN COM 028731107 3773 338400 SH SOLE 338400 0 0 AMERICAN STD COS INC DEL COM 029712106 5415 152024 SH SOLE 152024 0 0 AMERICAN TOWER CORP CL A 029912201 3479 79900 SH SOLE 79900 0 0 AMERICREDIT CORP COM 03060R101 3861 219600 SH SOLE 219600 0 0 AMERIGROUP CORP COM 03073T102 3651 105900 SH SOLE 105900 0 0 AMERIPRISE FINL INC COM 03076C106 2970 47060 SH SOLE 47060 0 0 AMERISTAR CASINOS INC COM 03070Q101 754 26850 SH SOLE 26850 0 0 AMGEN INC COM 031162100 26624 470647 SH SOLE 470647 0 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 34517 36910000 PRN SOLE 36910000 0 0 AMPHENOL CORP NEW CL A 032095101 75039 1887300 SH SOLE 1887300 0 0 ANIXTER INTL INC COM 035290105 12021 145800 SH SOLE 145800 0 0 APPLE INC COM 037833100 94819 617550 SH SOLE 617550 0 0 APPLIED MATLS INC COM 038222105 58633 2832525 SH SOLE 2832525 0 0 ARCH CHEMICALS INC COM 03937R102 13885 296192 SH SOLE 296192 0 0 ARCTIC CAT INC COM 039670104 605 37010 SH SOLE 37010 0 0 ARRIS GROUP INC COM 04269Q100 1216 98500 SH SOLE 98500 0 0 ARTHROCARE CORP COM 043136100 2621 46900 SH SOLE 46900 0 0 ARVINMERITOR INC COM 043353101 677 40225 SH SOLE 40225 0 0 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 26968 966234 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BOWATER INC COM 102183100 422 28260 SH SOLE 28260 0 0 BOYD GAMING CORP COM 103304101 2537 59200 SH SOLE 59200 0 0 BP PLC SPONSORED ADR 055622104 85307 1231704 SH SOLE 1231704 0 0 BRIGHAM EXPLORATION CO COM 109178103 890 150045 SH SOLE 150045 0 0 BRISTOW GROUP INC PFD CNV 5.50% 110394400 252 4410 SH SOLE 4410 0 0 BROWN SHOE INC NEW COM 115736100 480 24740 SH SOLE 24740 0 0 BRUSH ENGINEERED MATLS INC COM 117421107 8022 154600 SH SOLE 154600 0 0 BUCKEYE TECHNOLOGIES INC COM 118255108 895 59135 SH SOLE 59135 0 0 BUFFALO WILD WINGS INC COM 119848109 6991 185352 SH SOLE 185352 0 0 CABLEVISION SYS CORP CL A NY CABLVS 12686C109 12840 367500 SH SOLE 367500 0 0 CALLON PETE CO DEL COM 13123X102 1054 75725 SH SOLE 75725 0 0 CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 54790 36887000 PRN SOLE 36887000 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 65512 709850 SH SOLE 709850 0 0 CAPITAL ONE FINL CORP COM 14040H105 20462 308016 SH SOLE 308016 0 0 CAPITALSOURCE INC COM 14055X102 3293 162700 SH SOLE 162700 0 0 CARMAX INC COM 143130102 24378 1199100 SH SOLE 1199100 0 0 CARNIVAL CORP PAIRED CTF 143658300 21238 438528 SH SOLE 438528 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 1768 13600 SH SOLE 13600 0 0 CASELLA WASTE SYS INC CL A 147448104 609 48575 SH SOLE 48575 0 0 CASH AMER INTL INC COM 14754D100 4053 107800 SH SOLE 107800 0 0 CASUAL MALE RETAIL GRP INC COM 148711104 3607 402600 SH SOLE 402600 0 0 CATERPILLAR INC DEL COM 149123101 2698 34400 SH SOLE 34400 0 0 CBS CORP NEW CL B 124857202 12008 381200 SH SOLE 381200 0 0 CELADON GROUP INC COM 150838100 3796 322500 SH SOLE 322500 0 0 CELANESE CORP DEL PFD 4.25% CONV 150870202 2591 51685 PRN SOLE 51685 0 0 CELANESE CORP DEL PFD 4.25% CONV 150870202 23861 475882 SH SOLE 475882 0 0 CELGENE CORP COM 151020104 63477 890150 SH SOLE 890150 0 0 CENTENNIAL COMMUNCTNS CORP N CL A NEW 15133V208 253 25000 SH SOLE 25000 0 0 CENTER FINL CORP CALIF COM 15146E102 618 44450 SH SOLE 44450 0 0 CENTERPOINT ENERGY INC COM 15189T107 37475 2337825 SH SOLE 2337825 0 0 CENTEX CORP COM 152312104 18937 712697 SH SOLE 712697 0 0 CENTRAL EUROPEAN DIST CORP COM 153435102 8902 185800 SH SOLE 185800 0 0 CEPHALON INC COM 156708109 9688 132600 SH SOLE 132600 0 0 CERADYNE INC COM 156710105 9846 130000 SH SOLE 130000 0 0 CHARLOTTE RUSSE HLDG INC COM 161048103 2382 162700 SH SOLE 162700 0 0 CHARMING SHOPPES INC COM 161133103 477 56820 SH SOLE 56820 0 0 CHARTER COMMUNICATIONS INC D CL A 16117M107 1729 670000 SH SOLE 670000 0 0 CHATTEM INC COM 162456107 5910 83800 SH SOLE 83800 0 0 CHEMTURA CORP COM 163893100 12158 1367680 SH SOLE 1367680 0 0 CHESAPEAKE CORP COM 165159104 475 56115 SH SOLE 56115 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 28481 27711000 PRN SOLE 27711000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 2400 2187000 PRN SOLE 2187000 0 0 CHEVRON CORP NEW COM 166764100 52041 556118 SH SOLE 556118 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 1836 75600 SH SOLE 75600 0 0 CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 25762 16573000 PRN SOLE 16573000 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 46878 49075000 PRN SOLE 49075000 0 0 CINEMARK HOLDINGS INC COM 17243V102 6648 358167 SH SOLE 358167 0 0 CISCO SYS INC COM 17275R102 85762 2590225 SH SOLE 2590225 0 0 CITIGROUP FDG INC NOTE 0.500% 2/0 17308CDA1 13149 14386000 PRN SOLE 14386000 0 0 CITIGROUP INC COM 172967101 68372 1464995 SH SOLE 1464995 0 0 COACH INC COM 189754104 75842 1604450 SH SOLE 1604450 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 38579 483625 SH SOLE 483625 0 0 COHEN & STEERS INC COM 19247A100 4977 134400 SH SOLE 134400 0 0 COMCAST CORP NEW CL A 20030N101 68471 2831712 SH SOLE 2831712 0 0 COMMERCIAL METALS CO COM 201723103 11033 348600 SH SOLE 348600 0 0 COMPLETE PRODUCTION SERVICES COM 20453E109 816 39825 SH SOLE 39825 0 0 COMPUTER SCIENCES CORP COM 205363104 35769 639877 SH SOLE 639877 0 0 CONOCOPHILLIPS COM 20825C104 45007 512777 SH SOLE 512777 0 0 CONSECO INC DBCV 3.500% 9/3 208464BH9 17924 19600000 PRN SOLE 19600000 0 0 CONSOLIDATED COMM HLDGS INC COM 209034107 749 38215 SH SOLE 38215 0 0 CORNING INC COM 219350105 18906 766975 SH SOLE 766975 0 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 15575 11079000 PRN SOLE 11079000 0 0 COSTCO WHSL CORP NEW COM 22160K105 22970 374295 SH SOLE 374295 0 0 COVANCE INC COM 222816100 6840 87800 SH SOLE 87800 0 0 COVANTA HLDG CORP DBCV 1.000% 2/0 22282EAA0 44661 43653000 PRN SOLE 43653000 0 0 COVENTRY HEALTH CARE INC COM 222862104 29830 479508 SH SOLE 479508 0 0 CROCS INC COM 227046109 1688 25100 SH SOLE 25100 0 0 CRYSTAL RIV CAP INC COM 229393301 401 23860 SH SOLE 23860 0 0 CSK AUTO CORP COM 125965103 379 35600 SH SOLE 35600 0 0 CSX CORP COM 126408103 12751 298421 SH SOLE 298421 0 0 CUTERA INC COM 232109108 4953 188992 SH SOLE 188992 0 0 CVS CAREMARK CORPORATION COM 126650100 73016 1842438 SH SOLE 1842438 0 0 CYTYC CORP COM 232946103 11102 233000 SH SOLE 233000 0 0 DANAHER CORP DEL COM 235851102 18016 217825 SH SOLE 217825 0 0 DAVITA INC COM 23918K108 8706 137800 SH SOLE 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374276103 7628 274000 SH SOLE 274000 0 0 GILEAD SCIENCES INC COM 375558103 18758 458975 SH SOLE 458975 0 0 GLOBAL PARTNERS LP COM UNITS 37946R109 542 18605 SH SOLE 18605 0 0 GLOBALSANTAFE CORP SHS G3930E101 47128 619942 SH SOLE 619942 0 0 GOL LINHAS AEREAS INTLG S A SP ADR REP PFD 38045R107 10049 419200 SH SOLE 419200 0 0 GOLDCORP INC NEW COM 380956409 17541 574000 SH SOLE 574000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 61764 284968 SH SOLE 284968 0 0 GOOGLE INC CL A 38259P508 70512 124300 SH SOLE 124300 0 0 GRANT PRIDECO INC COM 38821G101 2143 39300 SH SOLE 39300 0 0 GRAY TELEVISION INC COM 389375106 295 34800 SH SOLE 34800 0 0 GREAT ATLANTIC & PAC TEA INC COM 390064103 766 25140 SH SOLE 25140 0 0 GUESS INC COM 401617105 8923 182000 SH SOLE 182000 0 0 GULF ISLAND FABRICATION INC COM 402307102 5563 144900 SH SOLE 144900 0 0 GULFMARK OFFSHORE INC COM 402629109 5542 113900 SH SOLE 113900 0 0 GYMBOREE CORP COM 403777105 4881 138500 SH SOLE 138500 0 0 HALLIBURTON CO COM 406216101 61728 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28425 SH SOLE 28425 0 0 INFINITY PPTY & CAS CORP COM 45665Q103 692 17195 SH SOLE 17195 0 0 INFOSYS TECHNOLOGIES LTD SPONSORED ADR 456788108 3118 64511 SH SOLE 64511 0 0 INFOUSA INC NEW COM 456818301 592 63760 SH SOLE 63760 0 0 INGRAM MICRO INC CL A 457153104 806 41107 SH SOLE 41107 0 0 INSIGHT ENTERPRISES INC COM 45765U103 698 27050 SH SOLE 27050 0 0 INTEL CORP COM 458140100 71507 2765157 SH SOLE 2765157 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 64747 426250 SH SOLE 426250 0 0 INTERFACE INC CL A 458665106 6748 373860 SH SOLE 373860 0 0 INTERLINE BRANDS INC COM 458743101 5520 240100 SH SOLE 240100 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 38828 329610 SH SOLE 329610 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 10322 239500 SH SOLE 239500 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 14886 13757000 PRN SOLE 13757000 0 0 INVACARE CORP COM 461203101 658 28160 SH SOLE 28160 0 0 INVENTIV HEALTH INC COM 46122E105 3059 69800 SH SOLE 69800 0 0 INVERNESS MED INNOVATIONS IN COM 46126P106 1079 19500 SH SOLE 19500 0 0 INVESTMENT TECHNOLOGY GRP NE COM 46145F105 15399 358287 SH SOLE 358287 0 0 IOWA TELECOMM SERVICES INC COM 462594201 593 29855 SH SOLE 29855 0 0 ISHARES TR MSCI EAFE IDX 464287465 5441 66247 SH SOLE 66247 0 0 ISHARES TR RUSSELL MCP GR 464287481 14431 124300 SH SOLE 124300 0 0 ISHARES TR RUSSELL MCP VL 464287473 18119 119756 SH SOLE 119756 0 0 ISHARES TR RUSSELL1000VAL 464287598 8157 94900 SH SOLE 94900 0 0 ITRON INC COM 465741106 2671 28700 SH SOLE 28700 0 0 J2 GLOBAL COMMUNICATIONS INC COM NEW 46626E205 10719 327500 SH SOLE 327500 0 0 JER INVT TR INC COM 46614H301 552 44350 SH SOLE 44350 0 0 JOHNSON & JOHNSON COM 478160104 57047 868292 SH SOLE 868292 0 0 JOY GLOBAL INC COM 481165108 25984 510893 SH SOLE 510893 0 0 JP MORGAN CHASE & CO COM 46625H100 45055 983311 SH SOLE 983311 0 0 KAPSTONE PAPER & PACKAGING C *W EXP 08/15/20 48562P111 88 39128 SH SOLE 39128 0 0 KAPSTONE PAPER & PACKAGING C COM 48562P103 197 27400 SH SOLE 27400 0 0 KBW INC COM 482423100 845 29365 SH SOLE 29365 0 0 KEYCORP NEW COM 493267108 17420 538809 SH SOLE 538809 0 0 KIMBERLY CLARK CORP COM 494368103 21775 309920 SH SOLE 309920 0 0 KNIGHT CAPITAL GROUP INC CL A 499005106 599 50080 SH SOLE 50080 0 0 KNOLL INC COM NEW 498904200 4352 245300 SH SOLE 245300 0 0 KOHLS CORP COM 500255104 47322 825425 SH SOLE 825425 0 0 KROGER CO COM 501044101 58875 2064345 SH SOLE 2064345 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 24426 20976000 PRN SOLE 20976000 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 16588 162400 SH SOLE 162400 0 0 LABOR READY INC COM NEW 505401208 657 35500 SH SOLE 35500 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 2689 2549000 PRN SOLE 2549000 0 0 LACLEDE GROUP INC COM 505597104 1006 31175 SH SOLE 31175 0 0 LAKELAND FINL CORP COM 511656100 769 33285 SH SOLE 33285 0 0 LAS VEGAS SANDS CORP COM 517834107 12415 93050 SH SOLE 93050 0 0 LAYNE CHRISTENSEN CO COM 521050104 8706 156920 SH SOLE 156920 0 0 LEAP WIRELESS INTL INC COM NEW 521863308 8788 108000 SH SOLE 108000 0 0 LEHMAN BROS HLDGS INC COM 524908100 4188 67850 SH SOLE 67850 0 0 LENNOX INTL INC COM 526107107 6689 197900 SH SOLE 197900 0 0 LIBBEY INC COM 529898108 541 30900 SH SOLE 30900 0 0 LIFECELL CORP COM 531927101 1281 34100 SH SOLE 34100 0 0 LIMITED BRANDS INC COM 532716107 33942 1482833 SH SOLE 1482833 0 0 LKQ CORP COM 501889208 10983 315500 SH SOLE 315500 0 0 LLOYDS TSB GROUP PLC SPONSORED ADR 539439109 6404 144099 SH SOLE 144099 0 0 LODGENET ENTMT CORP COM 540211109 569 22425 SH SOLE 22425 0 0 LOGITECH INTL S A SHS H50430232 45727 1547807 SH SOLE 1547807 0 0 LORAL SPACE & COMMUNICATNS L COM 543881106 21283 506606 SH SOLE 506606 0 0 LOWES COS INC COM 548661107 29140 1039945 SH SOLE 1039945 0 0 LOWES COS INC NOTE 10/1 548661CG0 2462 2411000 PRN SOLE 2411000 0 0 LUBYS INC COM 549282101 815 73915 SH SOLE 73915 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AG2 7493 7800000 PRN SOLE 7800000 0 0 LUFKIN INDS INC COM 549764108 4027 73200 SH SOLE 73200 0 0 MACROVISION CORP COM 555904101 4702 190900 SH SOLE 190900 0 0 MADDEN STEVEN LTD COM 556269108 3271 172635 SH SOLE 172635 0 0 MANPOWER INC COM 56418H100 36842 572525 SH SOLE 572525 0 0 MARINER ENERGY INC COM 56845T305 4090 197500 SH SOLE 197500 0 0 MARSHALL & ILSLEY CORP COM 571834100 24469 559034 SH SOLE 559034 0 0 MASTEC INC COM 576323109 741 52695 SH SOLE 52695 0 0 MATRIA HEALTHCARE INC COM NEW 576817209 426 16300 SH SOLE 16300 0 0 MCDERMOTT INTL INC COM 580037109 12076 223300 SH SOLE 223300 0 0 MCGRAW HILL COS INC COM 580645109 1889 37100 SH SOLE 37100 0 0 MEDALLION FINL CORP COM 583928106 519 47670 SH SOLE 47670 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 56199 49635000 PRN SOLE 49635000 0 0 MEMC ELECTR MATLS INC COM 552715104 72032 1223789 SH SOLE 1223789 0 0 MENTOR GRAPHICS CORP COM 587200106 4124 273100 SH SOLE 273100 0 0 MERRILL LYNCH & CO INC COM 590188108 53098 744923 SH SOLE 744923 0 0 MERRILL LYNCH & CO INC NOTE 3/1 590188W46 2233 1998000 PRN SOLE 1998000 0 0 MGE ENERGY INC COM 55277P104 787 23520 SH SOLE 23520 0 0 MICROS SYS INC COM 594901100 2694 41400 SH SOLE 41400 0 0 MICROSOFT CORP COM 594918104 124055 4210977 SH SOLE 4210977 0 0 MIDLAND CO COM 597486109 851 15485 SH SOLE 15485 0 0 MILLER INDS INC TENN COM NEW 600551204 501 29265 SH SOLE 29265 0 0 MILLIPORE CORP COM 601073109 11408 150500 SH SOLE 150500 0 0 MOBILE MINI INC COM 60740F105 1967 81400 SH SOLE 81400 0 0 MOLEX INC CL A 608554200 15357 605576 SH SOLE 605576 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 3908 3497000 PRN SOLE 3497000 0 0 MONSANTO CO NEW COM 61166W101 2658 31000 SH SOLE 31000 0 0 MORGAN STANLEY COM NEW 617446448 56736 900578 SH SOLE 900578 0 0 MYLAN LABS INC NOTE 1.250% 3/1 628530AG2 8453 9103000 PRN SOLE 9103000 0 0 NATCO GROUP INC CL A 63227W203 6924 133800 SH SOLE 133800 0 0 NATIONAL OILWELL VARCO INC COM 637071101 112486 778450 SH SOLE 778450 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 2205 81300 SH SOLE 81300 0 0 NCI BUILDING SYS INC COM 628852105 795 18405 SH SOLE 18405 0 0 NEON COMMUNICATIONS GROUP IN COM 64050T101 35924 10621910 SH SOLE 10621910 0 0 NESS TECHNOLOGIES INC COM 64104X108 3855 353000 SH SOLE 353000 0 0 NETFLIX INC COM 64110L106 583 28160 SH SOLE 28160 0 0 NETGEAR INC COM 64111Q104 6394 210200 SH SOLE 210200 0 0 NETWORK APPLIANCE INC COM 64120L104 29941 1112643 SH SOLE 1112643 0 0 NEUSTAR INC CL A 64126X201 3045 88800 SH SOLE 88800 0 0 NEW FRONTIER MEDIA INC COM 644398109 562 91615 SH SOLE 91615 0 0 NEWALLIANCE BANCSHARES INC COM 650203102 20970 1428471 SH SOLE 1428471 0 0 NEWCASTLE INVT CORP COM 65105M108 335 19030 SH SOLE 19030 0 0 NEWFIELD EXPL CO COM 651290108 10956 227500 SH SOLE 227500 0 0 NEWMONT MINING CORP COM 651639106 17973 401800 SH SOLE 401800 0 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AF3 6011 5273000 PRN SOLE 5273000 0 0 NEWS CORP CL A 65248E104 16563 753200 SH SOLE 753200 0 0 NGP CAP RES CO COM 62912R107 891 54910 SH SOLE 54910 0 0 NII HLDGS INC CL B NEW 62913F201 13900 169200 SH SOLE 169200 0 0 NIKE INC CL B 654106103 9787 166850 SH SOLE 166850 0 0 NOKIA CORP SPONSORED ADR 654902204 38199 1010204 SH SOLE 1010204 0 0 NORDSTROM INC COM 655664100 42537 907175 SH SOLE 907175 0 0 NORFOLK SOUTHERN CORP COM 655844108 56487 1088175 SH SOLE 1088175 0 0 NORTEL NETWORKS CORP NEW NOTE 4.250% 9/0 656568AB8 48604 46899000 PRN SOLE 46899000 0 0 NORTHROP GRUMMAN CORP COM 666807102 31055 398134 SH SOLE 398134 0 0 NORTHSTAR RLTY FIN CORP COM 66704R100 322 32395 SH SOLE 32395 0 0 NORTHWEST AIRLS CORP COM 667280408 108197 6025389 SH SOLE 6025389 0 0 NORTHWEST PIPE CO COM 667746101 867 22930 SH SOLE 22930 0 0 NOVARTIS A G SPONSORED ADR 66987V109 41395 753426 SH SOLE 753426 0 0 NOVATEL INC COM 669954109 5103 130000 SH SOLE 130000 0 0 NRG ENERGY INC COM NEW 629377508 59409 1404812 SH SOLE 1404812 0 0 NTELOS HLDGS CORP COM 67020Q107 5067 172000 SH SOLE 172000 0 0 NTT DOCOMO INC SPONS ADR 62942M201 1516 106600 SH SOLE 106600 0 0 NVIDIA CORP COM 67066G104 72501 2000575 SH SOLE 2000575 0 0 OLD DOMINION FGHT LINES INC COM 679580100 627 26145 SH SOLE 26145 0 0 OLD NATL BANCORP IND COM 680033107 677 40830 SH SOLE 40830 0 0 OLIN CORP COM PAR $1 680665205 14726 658010 SH SOLE 658010 0 0 OMNICOM GROUP INC COM 681919106 12674 263550 SH SOLE 263550 0 0 OMNICOM GROUP INC NOTE 2/0 681919AK2 11106 10697000 PRN SOLE 10697000 0 0 OPTIONSXPRESS HLDGS INC COM 684010101 6360 243300 SH SOLE 243300 0 0 ORACLE CORP COM 68389X105 65036 3003975 SH SOLE 3003975 0 0 OSHKOSH TRUCK CORP COM 688239201 17897 288800 SH SOLE 288800 0 0 OYO GEOSPACE CORP COM 671074102 6814 73500 SH SOLE 73500 0 0 P A M TRANSN SVCS INC COM 693149106 545 30270 SH SOLE 30270 0 0 PALOMAR MED TECHNOLOGIES INC COM NEW 697529303 2772 97300 SH SOLE 97300 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 4261 229600 SH SOLE 229600 0 0 PAREXEL INTL CORP COM 699462107 7866 190600 SH SOLE 190600 0 0 PARK ELECTROCHEMICAL CORP COM 700416209 1006 29970 SH SOLE 29970 0 0 PARKWAY PPTYS INC COM 70159Q104 701 15890 SH SOLE 15890 0 0 PARTNERRE LTD COM G6852T105 24425 309212 SH SOLE 309212 0 0 PEABODY ENERGY CORP COM 704549104 3557 74300 SH SOLE 74300 0 0 PENN VA CORP COM 707882106 416 9455 SH SOLE 9455 0 0 PENNEY J C INC COM 708160106 41458 654225 SH SOLE 654225 0 0 PENTAIR INC COM 709631105 38646 1164729 SH SOLE 1164729 0 0 PEPCO HOLDINGS INC COM 713291102 18748 692302 SH SOLE 692302 0 0 PEPSICO INC COM 713448108 5597 76400 SH SOLE 76400 0 0 PFF BANCORP INC COM 69331W104 397 25885 SH SOLE 25885 0 0 PFIZER INC COM 717081103 34838 1426062 SH SOLE 1426062 0 0 PG&E CORP COM 69331C108 17010 355850 SH SOLE 355850 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 7446 210100 SH SOLE 210100 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 17597 335300 SH SOLE 335300 0 0 PITNEY BOWES INC COM 724479100 25189 554584 SH SOLE 554584 0 0 PLAYBOY ENTERPRISES INC CL B 728117300 805 74920 SH SOLE 74920 0 0 PMA CAP CORP CL A 693419202 751 79100 SH SOLE 79100 0 0 PMI GROUP INC COM 69344M101 37970 1161175 SH SOLE 1161175 0 0 PNC FINL SVCS GROUP INC COM 693475105 78710 1155799 SH SOLE 1155799 0 0 POLO RALPH LAUREN CORP CL A 731572103 40953 526725 SH SOLE 526725 0 0 POLYONE CORP COM 73179P106 137 18400 SH SOLE 18400 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 632 22730 SH SOLE 22730 0 0 PRAXAIR INC COM 74005P104 22050 263250 SH SOLE 263250 0 0 PRE PAID LEGAL SVCS INC COM 740065107 602 10860 SH SOLE 10860 0 0 PRECISION CASTPARTS CORP COM 740189105 104740 707800 SH SOLE 707800 0 0 PRESIDENTIAL LIFE CORP COM 740884101 1033 60890 SH SOLE 60890 0 0 PRESTIGE BRANDS HLDGS INC COM 74112D101 481 43845 SH SOLE 43845 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 26186 17896000 PRN SOLE 17896000 0 0 PROCTER & GAMBLE CO COM 742718109 394 5600 SH SOLE 5600 0 0 PROGRESS SOFTWARE CORP COM 743312100 1718 56700 SH SOLE 56700 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 525 30875 SH SOLE 30875 0 0 PRUDENTIAL FINL INC COM 744320102 54960 563230 SH SOLE 563230 0 0 QUADRAMED CORP COM 74730W101 12919 4161456 SH SOLE 4161456 0 0 QUALITY SYS INC COM 747582104 5026 137200 SH SOLE 137200 0 0 QUANEX CORP COM 747620102 978 20815 SH SOLE 20815 0 0 QUANTA SVCS INC COM 74762E102 9482 358500 SH SOLE 358500 0 0 QUEST DIAGNOSTICS INC COM 74834L100 47983 830592 SH SOLE 830592 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 220 24000 SH SOLE 24000 0 0 RAM ENERGY RESOURCES INC COM 75130P109 790 163520 SH SOLE 163520 0 0 RAYTHEON CO COM NEW 755111507 26464 414657 SH SOLE 414657 0 0 RBC BEARINGS INC COM 75524B104 2876 75000 SH SOLE 75000 0 0 REPUBLIC AWYS HLDGS INC COM 760276105 7199 340060 SH SOLE 340060 0 0 REPUBLIC PROPERTY TR COM 760737106 1357 92520 SH SOLE 92520 0 0 RESEARCH IN MOTION LTD COM 760975102 3134 31800 SH SOLE 31800 0 0 RESOURCE CAP CORP COM 76120W302 351 31215 SH SOLE 31215 0 0 RESPIRONICS INC COM 761230101 14683 305700 SH SOLE 305700 0 0 RF MICRODEVICES INC COM 749941100 1664 247300 SH SOLE 247300 0 0 RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 17316 16920000 PRN SOLE 16920000 0 0 RLI CORP COM 749607107 792 13970 SH SOLE 13970 0 0 ROBERT HALF INTL INC COM 770323103 30868 1033750 SH SOLE 1033750 0 0 ROCK-TENN CO CL A 772739207 648 22425 SH SOLE 22425 0 0 ROGERS CORP COM 775133101 3443 83600 SH SOLE 83600 0 0 ROPER INDS INC NEW COM 776696106 21962 335300 SH SOLE 335300 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 22204 270348 SH SOLE 270348 0 0 RTI INTL METALS INC COM 74973W107 6547 82600 SH SOLE 82600 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 661 47770 SH SOLE 47770 0 0 RURAL / METRO CORP COM 781748108 85 26300 SH SOLE 26300 0 0 RUSH ENTERPRISES INC CL B 781846308 811 33990 SH SOLE 33990 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 16642 401119 SH SOLE 401119 0 0 SAFECO CORP COM 786429100 11441 186895 SH SOLE 186895 0 0 SANDERSON FARMS INC COM 800013104 7096 170300 SH SOLE 170300 0 0 SANDY SPRING BANCORP INC COM 800363103 881 29265 SH SOLE 29265 0 0 SANOFI AVENTIS SPONSORED ADR 80105N105 8227 194136 SH SOLE 194136 0 0 SAUL CTRS INC COM 804395101 1010 19610 SH SOLE 19610 0 0 SBA COMMUNICATIONS CORP COM 78388J106 13971 396000 SH SOLE 396000 0 0 SBA COMMUNICATIONS CORP NOTE 0.375%12/0 78388JAJ5 33811 29307000 PRN SOLE 29307000 0 0 SCANSOURCE INC COM 806037107 1029 36595 SH SOLE 36595 0 0 SCHEIN HENRY INC COM 806407102 12058 198200 SH SOLE 198200 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 20998 14859000 PRN SOLE 14859000 0 0 SCHERING PLOUGH CORP COM 806605101 71009 2245000 SH SOLE 2245000 0 0 SCHERING PLOUGH CORP PFD CONV MAN07 806605705 2238 8064 PRN SOLE 8064 0 0 SCHERING PLOUGH CORP PFD CONV MAN07 806605705 31433 113315 SH SOLE 113315 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 56931 19580000 PRN SOLE 19580000 0 0 SCIELE PHARMA INC COM 808627103 5844 224600 SH SOLE 224600 0 0 SCIENTIFIC GAMES CORP CL A 80874P109 5993 159400 SH SOLE 159400 0 0 SELECTIVE INS GROUP INC COM 816300107 538 25277 SH SOLE 25277 0 0 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 1612 42100 SH SOLE 42100 0 0 SIERRA HEALTH SVCS INC COM 826322109 8370 198400 SH SOLE 198400 0 0 SIMMONS 1ST NATL CORP CL A $1 PAR 828730200 789 29970 SH SOLE 29970 0 0 SIMPSON MANUFACTURING CO INC COM 829073105 737 23130 SH SOLE 23130 0 0 SINCLAIR BROADCAST GROUP INC NOTE 3.000% 5/1 829226AW9 62863 64703000 PRN SOLE 64703000 0 0 SINCLAIR BROADCAST GROUP INC CL A 829226109 729 60565 SH SOLE 60565 0 0 SIRIUS SATELLITE RADIO INC NOTE 3.250%10/1 82966UAD5 8027 8401000 PRN SOLE 8401000 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 13420 1484500 SH SOLE 1484500 0 0 SLM CORP COM 78442P106 14485 291627 SH SOLE 291627 0 0 SMITH & WESSON HLDG CORP COM 831756101 349 18300 SH SOLE 18300 0 0 SMITH INTL INC COM 832110100 61541 861925 SH SOLE 861925 0 0 SMUCKER J M CO COM NEW 832696405 2357 44117 SH SOLE 44117 0 0 SOUTHERN COPPER CORP COM 84265V105 102664 829075 SH SOLE 829075 0 0 SOVEREIGN BANCORP INC COM 845905108 10505 616496 SH SOLE 616496 0 0 SPANSION INC COM CL A 84649R101 436 51565 SH SOLE 51565 0 0 SPECTRA ENERGY CORP COM 847560109 17987 734756 SH SOLE 734756 0 0 SPRINT NEXTEL CORP COM FON 852061100 25486 1341386 SH SOLE 1341386 0 0 ST JUDE MED INC DBCV 1.220%12/1 790849AD5 22634 22173000 PRN SOLE 22173000 0 0 STAR GAS PARTNERS L P UNIT LTD PARTNR 85512C105 27569 5974148 SH SOLE 5974148 0 0 STEC INC COM 784774101 3136 411000 SH SOLE 411000 0 0 STEEL DYNAMICS INC COM 858119100 2022 43300 SH SOLE 43300 0 0 STONE ENERGY CORP COM 861642106 1044 26095 SH SOLE 26095 0 0 STREETTRACKS GOLD TR GOLD SHS 863307104 375 5100 SH SOLE 5100 0 0 SUNCOR ENERGY INC COM 867229106 39074 412127 SH SOLE 412127 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 2346 66200 SH SOLE 66200 0 0 SUPERTEX INC COM 868532102 5611 140700 SH SOLE 140700 0 0 SWIFT ENERGY CO COM 870738101 3867 94500 SH SOLE 94500 0 0 SYBASE INC NOTE 1.750% 2/2 871130AB6 20145 18662000 PRN SOLE 18662000 0 0 SYKES ENTERPRISES INC COM 871237103 4950 298000 SH SOLE 298000 0 0 SYNNEX CORP COM 87162W100 748 36405 SH SOLE 36405 0 0 TALBOTS INC COM 874161102 516 28660 SH SOLE 28660 0 0 TAM SA SP ADR REP PFD 87484D103 1605 58715 SH SOLE 58715 0 0 TARGET CORP COM 87612E106 15606 245500 SH SOLE 245500 0 0 TECHNITROL INC COM 878555101 5604 207955 SH SOLE 207955 0 0 TECK COMINCO LTD CL B 878742204 75252 1577284 SH SOLE 1577284 0 0 TEMPUR PEDIC INTL INC COM 88023U101 9653 270000 SH SOLE 270000 0 0 TEREX CORP NEW COM 880779103 30400 341500 SH SOLE 341500 0 0 TESORO CORP COM 881609101 16204 352100 SH SOLE 352100 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 5018 133800 SH SOLE 133800 0 0 TETRA TECHNOLOGIES INC DEL COM 88162F105 4370 206700 SH SOLE 206700 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 15665 14773000 PRN SOLE 14773000 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.500% 2/0 88164RAA5 44318 36480000 PRN SOLE 36480000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 76858 1730975 SH SOLE 1730975 0 0 TEXAS INSTRS INC COM 882508104 28264 772438 SH SOLE 772438 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 95423 1653200 SH SOLE 1653200 0 0 TIBCO SOFTWARE INC COM 88632Q103 2484 336100 SH SOLE 336100 0 0 TIDEWATER INC COM 886423102 8622 137200 SH SOLE 137200 0 0 TIMKEN CO COM 887389104 7170 192990 SH SOLE 192990 0 0 TJX COS INC NEW COM 872540109 104945 3610084 SH SOLE 3610084 0 0 TNS INC COM 872960109 780 48575 SH SOLE 48575 0 0 TOUSA INC COM 872962105 198 122890 SH SOLE 122890 0 0 TOWER GROUP INC COM 891777104 4362 166600 SH SOLE 166600 0 0 TRANSOCEAN INC ORD G90078109 5483 48500 SH SOLE 48500 0 0 TRANSOCEAN SEDCO FOREX INC DBCV 1.500% 5/1 893830AD1 45996 29125000 PRN SOLE 29125000 0 0 TRAVELZOO INC COM 89421Q106 3417 148900 SH SOLE 148900 0 0 TRIDENT MICROSYSTEMS INC COM 895919108 5198 327100 SH SOLE 327100 0 0 TRIUMPH GROUP INC NEW COM 896818101 8604 105300 SH SOLE 105300 0 0 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 29182 18268000 PRN SOLE 18268000 0 0 TRONOX INC CL A 897051108 556 59835 SH SOLE 59835 0 0 TRUE RELIGION APPAREL INC COM 89784N104 1626 92400 SH SOLE 92400 0 0 TRUSTCO BK CORP N Y COM 898349105 543 49703 SH SOLE 49703 0 0 TUESDAY MORNING CORP COM NEW 899035505 383 42640 SH SOLE 42640 0 0 TWEEN BRANDS INC COM 901166108 4236 129000 SH SOLE 129000 0 0 U S CONCRETE INC COM 90333L102 712 108000 SH SOLE 108000 0 0 UBS AG SHS NEW H89231338 17180 322729 SH SOLE 322729 0 0 ULTRA CLEAN HLDGS INC COM 90385V107 4653 316510 SH SOLE 316510 0 0 UNIFI INC COM 904677101 287 104200 SH SOLE 104200 0 0 UNISOURCE ENERGY CORP COM 909205106 577 19310 SH SOLE 19310 0 0 UNITED CMNTY FINL CORP OHIO COM 909839102 561 77635 SH SOLE 77635 0 0 UNITED STATES NATL GAS FUND UNIT 912318102 516 13500 SH SOLE 13500 0 0 UNITED TECHNOLOGIES CORP COM 913017109 6784 84300 SH SOLE 84300 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 2575 38700 SH SOLE 38700 0 0 UNITEDHEALTH GROUP INC COM 91324P102 31734 655253 SH SOLE 655253 0 0 UNIVERSAL FST PRODS INC COM 913543104 427 14280 SH SOLE 14280 0 0 US BANCORP DEL COM NEW 902973304 7278 223722 SH SOLE 223722 0 0 VALE CAP LTD NT RIO CV VALE 91912C208 3157 47562 PRN SOLE 47562 0 0 VALE CAP LTD NT RIO CV VALE 91912C208 17123 257790 SH SOLE 257790 0 0 VALE CAP LTD NT RIO P VALE 91912C307 8438 124800 SH SOLE 124800 0 0 VALERO ENERGY CORP NEW COM 91913Y100 25719 382849 SH SOLE 382849 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 9971 186300 SH SOLE 186300 0 0 VERIZON COMMUNICATIONS COM 92343V104 44887 1013701 SH SOLE 1013701 0 0 VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 68984 1901363 SH SOLE 1901363 0 0 W-H ENERGY SVCS INC COM 92925E108 6461 87600 SH SOLE 87600 0 0 WABCO HLDGS INC COM 92927K102 2368 50649 SH SOLE 50649 0 0 WABTEC CORP COM 929740108 2244 59900 SH SOLE 59900 0 0 WAL MART STORES INC COM 931142103 27834 637666 SH SOLE 637666 0 0 WALTER INDS INC COM 93317Q105 666 24740 SH SOLE 24740 0 0 WARNACO GROUP INC COM NEW 934390402 8127 208000 SH SOLE 208000 0 0 WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 8996 9172000 PRN SOLE 9172000 0 0 WATTS WATER TECHNOLOGIES INC CL A 942749102 781 25445 SH SOLE 25445 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 6039 89900 SH SOLE 89900 0 0 WELLPOINT INC COM 94973V107 5670 71850 SH SOLE 71850 0 0 WELLS FARGO & CO NEW COM 949746101 29378 824766 SH SOLE 824766 0 0 WERNER ENTERPRISES INC COM 950755108 535 31183 SH SOLE 31183 0 0 WESCO INTL INC COM 95082P105 17599 409871 SH SOLE 409871 0 0 WESTLAKE CHEM CORP COM 960413102 578 22830 SH SOLE 22830 0 0 WILLIAMS COS INC DEL COM 969457100 63312 1858847 SH SOLE 1858847 0 0 WILLIAMS SONOMA INC COM 969904101 23722 727217 SH SOLE 727217 0 0 WINDSTREAM CORP COM 97381W104 3047 215762 SH SOLE 215762 0 0 WORLD ACCEP CORP DEL COM 981419104 4122 124600 SH SOLE 124600 0 0 WORLD FUEL SVCS CORP COM 981475106 2334 57200 SH SOLE 57200 0 0 WORTHINGTON INDS INC COM 981811102 1204 51090 SH SOLE 51090 0 0 WYETH COM 983024100 21197 475824 SH SOLE 475824 0 0 WYETH DBCV 1/1 983024AD2 1963 1863000 PRN SOLE 1863000 0 0 XERIUM TECHNOLOGIES INC COM 98416J100 408 75625 SH SOLE 75625 0 0 XTO ENERGY INC COM 98385X106 59031 954575 SH SOLE 954575 0 0 YAHOO INC FRNT 4/0 984332AB2 2443 1844000 PRN SOLE 1844000 0 0 ZYGO CORP COM 989855101 692 53100 SH SOLE 53100 0 0