13F-HR 1 mack4q07.txt MACKAY SHIELDS LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 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 January 09, 2008 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: 570 Form13F Information Table Value Total: $9,369,705 (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 9553 251200 SH SOLE 251200 0 0 ABERCROMBIE & FITCH CO CL A 002896207 48592 607625 SH SOLE 607625 0 0 ABITIBIBOWATER INC COM 003687100 295 14295 SH SOLE 14295 0 0 ACTUANT CORP CL A NEW 00508X203 7809 229600 SH SOLE 229600 0 0 AEROPOSTALE COM 007865108 6006 226650 SH SOLE 226650 0 0 AETNA INC NEW COM 00817Y108 5981 103600 SH SOLE 103600 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 33711 747468 SH SOLE 747468 0 0 AFFILIATED MANAGERS GROUP COM 008252108 24068 204900 SH SOLE 204900 0 0 AFLAC INC COM 001055102 80614 1287981 SH SOLE 1287981 0 0 AIR PRODS & CHEMS INC COM 009158106 1889 19150 SH SOLE 19150 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 41496 1199300 SH SOLE 1199300 0 0 ALCOA INC COM 013817101 15177 415236 SH SOLE 415236 0 0 ALCON INC COM SHS H01301102 3362 23520 SH SOLE 23520 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 2011 26800 SH SOLE 26800 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 58347 675310 SH SOLE 675310 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 21506 189050 SH SOLE 189050 0 0 ALLIED WRLD ASSUR COM HLDG L SHS G0219G203 587 11700 SH SOLE 11700 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 1114 34300 SH SOLE 34300 0 0 ALZA CORP SDCV 7/2 02261WAB5 14301 15463000 PRN SOLE 15463000 0 0 AMEDISYS INC COM 023436108 8011 165100 SH SOLE 165100 0 0 AMEREN CORP COM 023608102 15074 278068 SH SOLE 278068 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 539 28970 SH SOLE 28970 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 37817 1820766 SH SOLE 1820766 0 0 AMERICAN ELEC PWR INC COM 025537101 9418 202294 SH SOLE 202294 0 0 AMERICAN EXPRESS CO COM 025816109 2351 45200 SH SOLE 45200 0 0 AMERICAN ORIENTAL BIOENGR IN COM 028731107 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SH SOLE 528269 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 4412 58700 SH SOLE 58700 0 0 CASELLA WASTE SYS INC CL A 147448104 618 47375 SH SOLE 47375 0 0 CASH AMER INTL INC COM 14754D100 1712 53000 SH SOLE 53000 0 0 CATERPILLAR INC DEL COM 149123101 2721 37500 SH SOLE 37500 0 0 CBS CORP NEW CL B 124857202 10388 381200 SH SOLE 381200 0 0 CELANESE CORP DEL PFD 4.25% CONV 150870202 29009 531876 SH SOLE 531876 0 0 CELGENE CORP COM 151020104 25407 549825 SH SOLE 549825 0 0 CENTENNIAL COMMUNCTNS CORP N CL A NEW 15133V208 604 65000 SH SOLE 65000 0 0 CENTER FINL CORP CALIF COM 15146E102 534 43350 SH SOLE 43350 0 0 CENTERPOINT ENERGY INC COM 15189T107 40432 2360325 SH SOLE 2360325 0 0 CENTRAL EUROPEAN DIST CORP COM 153435102 10605 182600 SH SOLE 182600 0 0 CEPHALON INC COM 156708109 10082 140500 SH SOLE 140500 0 0 CERADYNE INC COM 156710105 6021 128300 SH SOLE 128300 0 0 CF INDS HLDGS INC COM 125269100 1673 15200 SH SOLE 15200 0 0 CHARMING SHOPPES INC COM 161133103 300 55420 SH SOLE 55420 0 0 CHATTEM INC COM 162456107 15652 207200 SH SOLE 207200 0 0 CHEMTURA CORP COM 163893100 11140 1428320 SH SOLE 1428320 0 0 CHESAPEAKE CORP COM 165159104 284 54715 SH SOLE 54715 0 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 31276 27981000 PRN SOLE 27981000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 2772 2369000 PRN SOLE 2369000 0 0 CHEVRON CORP NEW COM 166764100 48684 521627 SH SOLE 521627 0 0 CHILDRENS PL RETAIL STORES I COM 168905107 1921 74100 SH SOLE 74100 0 0 CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 29595 16761000 PRN SOLE 16761000 0 0 CIENA CORP NOTE 3.750% 2/0 171779AA9 47042 49075000 PRN SOLE 49075000 0 0 CINEMARK HOLDINGS INC COM 17243V102 5274 310253 SH SOLE 310253 0 0 CISCO SYS INC COM 17275R102 66169 2444350 SH SOLE 2444350 0 0 CITIGROUP FDG INC NOTE 0.500% 2/0 17308CDA1 13158 14386000 PRN SOLE 14386000 0 0 CITIGROUP INC COM 172967101 41887 1422796 SH SOLE 1422796 0 0 COACH INC COM 189754104 43850 1433950 SH SOLE 1433950 0 0 COGNIZANT TECHNOLOGY SOLUTIO CL 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PRN SOLE 44227000 0 0 COVENTRY HEALTH CARE INC COM 222862104 26675 450204 SH SOLE 450204 0 0 CROCS INC COM 227046109 2382 64700 SH SOLE 64700 0 0 CROWN HOLDINGS INC COM 228368106 10858 423300 SH SOLE 423300 0 0 CRYSTAL RIV CAP INC COM 229393301 336 23260 SH SOLE 23260 0 0 CSK AUTO CORP COM 125965103 174 34700 SH SOLE 34700 0 0 CSX CORP COM 126408103 10844 246563 SH SOLE 246563 0 0 CURRENCYSHS JAPANESE YEN TR JAPANESE YEN 23130A102 538 6000 SH SOLE 6000 0 0 CVS CAREMARK CORPORATION COM 126650100 56814 1429296 SH SOLE 1429296 0 0 CYBERSOURCE CORP COM 23251J106 1974 111100 SH SOLE 111100 0 0 DANAHER CORP DEL COM 235851102 20183 230035 SH SOLE 230035 0 0 DAVITA INC COM 23918K108 7765 137800 SH SOLE 137800 0 0 DAWSON GEOPHYSICAL CO COM 239359102 7961 111400 SH SOLE 111400 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 28781 1887552 SH SOLE 1887552 0 0 DEVON ENERGY CORP NEW DEB 4.900% 8/1 25179MAA1 5128 2938000 PRN SOLE 2938000 0 0 DIAGEO P L C SPON ADR NEW 25243Q205 12146 141672 SH SOLE 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SOLE 18625 0 0 GENENTECH INC COM NEW 368710406 46542 693935 SH SOLE 693935 0 0 GENERAL CABLE CORP DEL NEW COM 369300108 20504 279800 SH SOLE 279800 0 0 GENERAL CABLE CORP DEL NEW NOTE 0.875%11/1 369300AD0 1643 1023000 PRN SOLE 1023000 0 0 GENERAL ELECTRIC CO COM 369604103 42679 1151305 SH SOLE 1151305 0 0 GENERAL GROWTH PPTYS INC COM 370021107 7056 171348 SH SOLE 171348 0 0 GENERAL MLS INC COM 370334104 43117 756432 SH SOLE 756432 0 0 GENERAL MTRS CORP DEB SR CV C 33 370442717 32520 1660917 SH SOLE 1660917 0 0 GENWORTH FINL INC COM CL A 37247D106 61119 2401505 SH SOLE 2401505 0 0 GEORGIA GULF CORP COM PAR $0.01 373200203 258 39000 SH SOLE 39000 0 0 GETTY IMAGES INC COM 374276103 5974 206000 SH SOLE 206000 0 0 GILEAD SCIENCES INC COM 375558103 24735 537600 SH SOLE 537600 0 0 GLOBAL PARTNERS LP COM UNITS 37946R109 472 18105 SH SOLE 18105 0 0 GOLDCORP INC NEW COM 380956409 204 6000 SH SOLE 6000 0 0 GOLDMAN SACHS GROUP INC COM 38141G104 64492 299895 SH SOLE 299895 0 0 GOOGLE INC CL A 38259P508 87714 126850 SH SOLE 126850 0 0 GRANT PRIDECO INC COM 38821G101 1704 30700 SH SOLE 30700 0 0 GREAT ATLANTIC & PAC TEA INC COM 390064103 769 24540 SH SOLE 24540 0 0 GUESS INC COM 401617105 6422 169500 SH SOLE 169500 0 0 GULF ISLAND FABRICATION INC COM 402307102 4531 142900 SH SOLE 142900 0 0 GULFMARK OFFSHORE INC COM 402629109 5236 111900 SH SOLE 111900 0 0 GYMBOREE CORP COM 403777105 3049 100100 SH SOLE 100100 0 0 HALLIBURTON CO COM 406216101 61400 1619625 SH SOLE 1619625 0 0 HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 54374 26742000 PRN SOLE 26742000 0 0 HANSEN NAT CORP COM 411310105 5257 118700 SH SOLE 118700 0 0 HARLEY DAVIDSON INC COM 412822108 19302 413225 SH SOLE 413225 0 0 HARRIS CORP DEL COM 413875105 18221 290700 SH SOLE 290700 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 30700 352109 SH SOLE 352109 0 0 HAVERTY FURNITURE INC COM 419596101 430 47875 SH SOLE 47875 0 0 HEALTH NET INC COM 42222G108 7549 156300 SH SOLE 156300 0 0 HEALTHSPRING INC COM 42224N101 5029 264000 SH SOLE 264000 0 0 HELIX ENERGY SOLUTIONS GRP I COM 42330P107 2585 62300 SH SOLE 62300 0 0 HERCULES TECH GROWTH CAP INC COM 427096508 916 73725 SH SOLE 73725 0 0 HESS CORP COM 42809H107 60681 601636 SH SOLE 601636 0 0 HEWLETT PACKARD CO COM 428236103 68668 1360300 SH SOLE 1360300 0 0 HEWLETT PACKARD CO NOTE 10/1 428236AC7 10353 12065000 PRN SOLE 12065000 0 0 HEXCEL CORP NEW COM 428291108 678 27935 SH SOLE 27935 0 0 HIGHWOODS PPTYS INC COM 431284108 10670 363194 SH SOLE 363194 0 0 HITTITE MICROWAVE CORP COM 43365Y104 8019 167900 SH SOLE 167900 0 0 HOLLY CORP COM PAR $0.01 435758305 6458 126900 SH SOLE 126900 0 0 HOLOGIC INC COM 436440101 38820 565560 SH SOLE 565560 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 18836 17345000 PRN SOLE 17345000 0 0 HOME DEPOT INC COM 437076102 14267 529617 SH SOLE 529617 0 0 HONEYWELL INTL INC COM 438516106 25746 418156 SH SOLE 418156 0 0 HOOKER FURNITURE CORP COM 439038100 657 32690 SH SOLE 32690 0 0 HORNBECK OFFSHORE SVCS INC N COM 440543106 5250 116800 SH SOLE 116800 0 0 HOSPIRA INC COM 441060100 1872 43900 SH SOLE 43900 0 0 HUB GROUP INC CL A 443320106 4859 182800 SH SOLE 182800 0 0 HUMANA INC COM 444859102 52908 702540 SH SOLE 702540 0 0 ICON PUB LTD CO SPONSORED ADR 45103T107 13918 225100 SH SOLE 225100 0 0 IDACORP INC COM 451107106 659 18710 SH SOLE 18710 0 0 IDEARC INC COM 451663108 9261 527428 SH SOLE 527428 0 0 II VI INC COM 902104108 5835 191000 SH SOLE 191000 0 0 IMMUCOR INC COM 452526106 9298 273550 SH SOLE 273550 0 0 INDEPENDENT BANK CORP MASS COM 453836108 662 24325 SH SOLE 24325 0 0 INFINITY PPTY & CAS CORP COM 45665Q103 535 14795 SH SOLE 14795 0 0 INFOSYS TECHNOLOGIES LTD SPONSORED ADR 456788108 12478 275251 SH SOLE 275251 0 0 INFOUSA INC NEW COM 456818301 555 62160 SH SOLE 62160 0 0 INGRAM MICRO INC CL A 457153104 4696 260315 SH SOLE 260315 0 0 INSIGHT ENTERPRISES INC COM 45765U103 481 26350 SH SOLE 26350 0 0 INTEL CORP COM 458140100 89265 3348274 SH SOLE 3348274 0 0 INTEL CORP SDCV 2.950%12/1 458140AD2 26752 24668000 PRN SOLE 24668000 0 0 INTERCONTINENTALEXCHANGE INC COM 45865V100 83723 434925 SH SOLE 434925 0 0 INTERFACE INC CL A 458665106 4606 282260 SH SOLE 282260 0 0 INTERLINE BRANDS INC COM 458743101 3918 178800 SH SOLE 178800 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 41719 385933 SH SOLE 385933 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 17190 391300 SH SOLE 391300 0 0 INTERPUBLIC GROUP COS INC NOTE 4.500% 3/1 460690AT7 14166 13881000 PRN SOLE 13881000 0 0 INTERSIL CORP CL A 46069S109 871 35600 SH SOLE 35600 0 0 INVACARE CORP COM 461203101 692 27460 SH SOLE 27460 0 0 INVENTIV HEALTH INC COM 46122E105 1533 49500 SH SOLE 49500 0 0 INVERNESS MED INNOVATIONS IN COM 46126P106 10624 189100 SH SOLE 189100 0 0 INVESTMENT TECHNOLOGY GRP NE COM 46145F105 14936 313854 SH SOLE 313854 0 0 ION GEOPHYSICAL CORP COM 462044108 5381 341000 SH SOLE 341000 0 0 IOWA TELECOMM SERVICES INC COM 462594201 474 29155 SH SOLE 29155 0 0 ISHARES INC MSCI JAPAN 464286848 316 23800 SH SOLE 23800 0 0 ISHARES TR RUSSELL MCP GR 464287481 14653 128600 SH SOLE 128600 0 0 ISHARES TR MSCI EAFE IDX 464287465 17086 217650 SH SOLE 217650 0 0 ISHARES TR RUSSELL MCP VL 464287473 17895 126854 SH SOLE 126854 0 0 ISHARES TR RUSSELL1000VAL 464287598 6409 79858 SH SOLE 79858 0 0 ISHARES TR RUSSELL 3000 464287689 682 8075 SH SOLE 8075 0 0 ITRON INC COM 465741106 2754 28700 SH SOLE 28700 0 0 JER INVT TR INC COM 46614H301 466 43250 SH SOLE 43250 0 0 JOHNSON & JOHNSON COM 478160104 54519 817379 SH SOLE 817379 0 0 JOY GLOBAL INC COM 481165108 27623 419677 SH SOLE 419677 0 0 JP MORGAN CHASE & CO COM 46625H100 37358 855839 SH SOLE 855839 0 0 KAPSTONE PAPER & PACKAGING C *W EXP 08/15/200 48562P111 78 39128 SH SOLE 39128 0 0 KAPSTONE PAPER & PACKAGING C COM 48562P103 192 27400 SH SOLE 27400 0 0 KBW INC COM 482423100 734 28665 SH SOLE 28665 0 0 KEYCORP NEW COM 493267108 10922 465775 SH SOLE 465775 0 0 KIMBERLY CLARK CORP COM 494368103 23667 341326 SH SOLE 341326 0 0 KNIGHT CAPITAL GROUP INC CL A 499005106 702 48780 SH SOLE 48780 0 0 KNOLL INC COM NEW 498904200 3960 241000 SH SOLE 241000 0 0 KOHLS CORP COM 500255104 49881 1089119 SH SOLE 1089119 0 0 KROGER CO COM 501044101 50778 1901096 SH SOLE 1901096 0 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 25714 21155000 PRN SOLE 21155000 0 0 L-3 COMMUNICATIONS HLDGS INC COM 502424104 19970 188500 SH SOLE 188500 0 0 LACLEDE GROUP INC COM 505597104 1040 30375 SH SOLE 30375 0 0 LAKELAND FINL CORP COM 511656100 679 32485 SH SOLE 32485 0 0 LAS VEGAS SANDS CORP COM 517834107 3416 33150 SH SOLE 33150 0 0 LAYNE CHRISTENSEN CO COM 521050104 7584 154120 SH SOLE 154120 0 0 LENNOX INTL INC COM 526107107 8197 197900 SH SOLE 197900 0 0 LIBBEY INC COM 529898108 695 43900 SH SOLE 43900 0 0 LIFECELL CORP COM 531927101 3699 85800 SH SOLE 85800 0 0 LIMITED BRANDS INC COM 532716107 22851 1207133 SH SOLE 1207133 0 0 LINCOLN NATL CORP IND COM 534187109 4923 84556 SH SOLE 84556 0 0 LKQ CORP COM 501889208 15715 747600 SH SOLE 747600 0 0 LODGENET ENTMT CORP COM 540211109 381 21825 SH SOLE 21825 0 0 LOGITECH INTL S A SHS H50430232 14331 391714 SH SOLE 391714 0 0 LORAL SPACE & COMMUNICATNS L COM 543881106 18660 515857 SH SOLE 515857 0 0 LOWES COS INC COM 548661107 22807 1008261 SH SOLE 1008261 0 0 LOWES COS INC NOTE 10/1 548661CG0 2182 2411000 PRN SOLE 2411000 0 0 LUBYS INC COM 549282101 732 72015 SH SOLE 72015 0 0 LUFKIN INDS INC COM 549764108 4119 71900 SH SOLE 71900 0 0 MACROVISION CORP COM 555904101 1472 80300 SH SOLE 80300 0 0 MADDEN STEVEN LTD COM 556269108 387 19335 SH SOLE 19335 0 0 MANPOWER INC COM 56418H100 22629 397700 SH SOLE 397700 0 0 MARINER ENERGY INC COM 56845T305 2007 87700 SH SOLE 87700 0 0 MARSHALL & ILSLEY CORP NEW COM 571837103 13986 528148 SH SOLE 528148 0 0 MASTEC INC COM 576323109 523 51395 SH SOLE 51395 0 0 MCDERMOTT INTL INC COM 580037109 9049 153300 SH SOLE 153300 0 0 MEDALLION FINL CORP COM 583928106 466 46470 SH SOLE 46470 0 0 MEDCO HEALTH SOLUTIONS INC COM 58405U102 36174 356750 SH SOLE 356750 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 53607 49948000 PRN SOLE 49948000 0 0 MEMC ELECTR MATLS INC COM 552715104 110205 1245399 SH SOLE 1245399 0 0 MENTOR GRAPHICS CORP COM 587200106 2889 268000 SH SOLE 268000 0 0 MERCK & CO INC COM 589331107 9976 171675 SH SOLE 171675 0 0 MERRILL LYNCH & CO INC COM 590188108 30063 560056 SH SOLE 560056 0 0 MERRILL LYNCH & CO INC NOTE 3/1 590188W46 3764 3480000 PRN SOLE 3480000 0 0 MGE ENERGY INC COM 55277P104 817 23020 SH SOLE 23020 0 0 MICROS SYS INC COM 594901100 8054 114800 SH SOLE 114800 0 0 MICROSOFT CORP COM 594918104 150015 4213902 SH SOLE 4213902 0 0 MIDDLEBY CORP COM 596278101 2935 38300 SH SOLE 38300 0 0 MILLER INDS INC TENN COM NEW 600551204 391 28565 SH SOLE 28565 0 0 MILLIPORE CORP COM 601073109 11292 154300 SH SOLE 154300 0 0 MOBILE MINI INC COM 60740F105 1509 81400 SH SOLE 81400 0 0 MOLEX INC CL A 608554200 13761 523841 SH SOLE 523841 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 4210 3497000 PRN SOLE 3497000 0 0 MONSANTO CO NEW COM 61166W101 3652 32700 SH SOLE 32700 0 0 MORGAN STANLEY COM NEW 617446448 18807 354102 SH SOLE 354102 0 0 MOSAIC CO COM 61945A107 10142 107500 SH SOLE 107500 0 0 NATCO GROUP INC CL A 63227W203 7197 132900 SH SOLE 132900 0 0 NATIONAL OILWELL VARCO INC COM 637071101 110778 1508000 SH SOLE 1508000 0 0 NATIONAL SEMICONDUCTOR CORP COM 637640103 2676 118200 SH SOLE 118200 0 0 NCI BUILDING SYS INC COM 628852105 515 17905 SH SOLE 17905 0 0 NESS TECHNOLOGIES INC COM 64104X108 900 97500 SH SOLE 97500 0 0 NETFLIX INC COM 64110L106 731 27460 SH SOLE 27460 0 0 NETGEAR INC COM 64111Q104 7448 208800 SH SOLE 208800 0 0 NETWORK APPLIANCE INC COM 64120L104 27772 1112643 SH SOLE 1112643 0 0 NEUSTAR INC CL A 64126X201 7468 260400 SH SOLE 260400 0 0 NEW FRONTIER MEDIA INC COM 644398109 491 89315 SH SOLE 89315 0 0 NEWALLIANCE BANCSHARES INC COM 650203102 14228 1235120 SH SOLE 1235120 0 0 NEWCASTLE INVT CORP COM 65105M108 240 18530 SH SOLE 18530 0 0 NEWFIELD EXPL CO COM 651290108 11441 217100 SH SOLE 217100 0 0 NEWS CORP CL A 65248E104 11449 558750 SH SOLE 558750 0 0 NGP CAP RES CO COM 62912R107 836 53510 SH SOLE 53510 0 0 NII HLDGS INC CL B NEW 62913F201 4083 84500 SH SOLE 84500 0 0 NIKE INC CL B 654106103 9389 146150 SH SOLE 146150 0 0 NOKIA CORP SPONSORED ADR 654902204 26993 704188 SH SOLE 704188 0 0 NORDSTROM INC COM 655664100 15060 410022 SH SOLE 410022 0 0 NORFOLK SOUTHERN CORP COM 655844108 56347 1117100 SH SOLE 1117100 0 0 NORTEL NETWORKS CORP NEW NOTE 4.250% 9/0 656568AB8 48653 46899000 PRN SOLE 46899000 0 0 NORTHROP GRUMMAN CORP COM 666807102 29928 380565 SH SOLE 380565 0 0 NORTHSTAR RLTY FIN CORP COM 66704R100 282 31595 SH SOLE 31595 0 0 NORTHWEST AIRLS CORP COM 667280408 107378 7335624 SH SOLE 7335624 0 0 NORTHWEST PIPE CO COM 667746101 874 22330 SH SOLE 22330 0 0 NOVARTIS A G SPONSORED ADR 66987V109 39015 719526 SH SOLE 719526 0 0 NRG ENERGY INC COM NEW 629377508 62879 1450837 SH SOLE 1450837 0 0 NTELOS HLDGS CORP COM 67020Q107 10237 344800 SH SOLE 344800 0 0 NTT DOCOMO INC SPONS ADR 62942M201 1747 106600 SH SOLE 106600 0 0 NUCOR CORP COM 670346105 20230 341607 SH SOLE 341607 0 0 NVIDIA CORP COM 67066G104 60926 1790900 SH SOLE 1790900 0 0 OLD DOMINION FGHT LINES INC COM 679580100 387 16745 SH SOLE 16745 0 0 OLD NATL BANCORP IND COM 680033107 596 39830 SH SOLE 39830 0 0 OLIN CORP COM PAR $1 680665205 9325 482432 SH SOLE 482432 0 0 OMNICOM GROUP INC COM 681919106 12527 263550 SH SOLE 263550 0 0 OMNICOM GROUP INC NOTE 2/0 681919AK2 11141 10697000 PRN SOLE 10697000 0 0 OPTIONSXPRESS HLDGS INC COM 684010101 8164 241400 SH SOLE 241400 0 0 ORACLE CORP COM 68389X105 69653 3084725 SH SOLE 3084725 0 0 OSHKOSH TRUCK CORP COM 688239201 13649 288800 SH SOLE 288800 0 0 OWENS ILL INC COM NEW 690768403 1728 34900 SH SOLE 34900 0 0 OYO GEOSPACE CORP COM 671074102 5441 72200 SH SOLE 72200 0 0 P A M TRANSN SVCS INC COM 693149106 458 29470 SH SOLE 29470 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 5414 225600 SH SOLE 225600 0 0 PAREXEL INTL CORP COM 699462107 9172 189900 SH SOLE 189900 0 0 PARK ELECTROCHEMICAL CORP COM 700416209 824 29170 SH SOLE 29170 0 0 PARKER DRILLING CO COM 701081101 529 70000 SH SOLE 70000 0 0 PARKWAY PPTYS INC COM 70159Q104 573 15490 SH SOLE 15490 0 0 PARTNERRE LTD COM G6852T105 20090 243420 SH SOLE 243420 0 0 PATRIOT COAL CORP COM 70336T104 358 8580 SH SOLE 8580 0 0 PEABODY ENERGY CORP COM 704549104 6472 105000 SH SOLE 105000 0 0 PENN VA CORP COM 707882106 404 9255 SH SOLE 9255 0 0 PENNEY J C INC COM 708160106 29166 663025 SH SOLE 663025 0 0 PENTAIR INC COM 709631105 34458 989867 SH SOLE 989867 0 0 PEPCO HOLDINGS INC COM 713291102 17559 598679 SH SOLE 598679 0 0 PEPSICO INC COM 713448108 5799 76400 SH SOLE 76400 0 0 PFF BANCORP INC COM 69331W104 259 21485 SH SOLE 21485 0 0 PFIZER INC COM 717081103 23360 1027711 SH SOLE 1027711 0 0 PG&E CORP COM 69331C108 12774 296451 SH SOLE 296451 0 0 PHARMACEUTICAL PROD DEV INC COM 717124101 10363 256700 SH SOLE 256700 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 5190 140800 SH SOLE 140800 0 0 PITNEY BOWES INC COM 724479100 18283 480643 SH SOLE 480643 0 0 PLAYBOY ENTERPRISES INC CL B 728117300 666 73020 SH SOLE 73020 0 0 PMA CAP CORP CL A 693419202 987 120100 SH SOLE 120100 0 0 PMI GROUP INC COM 69344M101 8373 630500 SH SOLE 630500 0 0 PNC FINL SVCS GROUP INC COM 693475105 65761 1001684 SH SOLE 1001684 0 0 POLO RALPH LAUREN CORP CL A 731572103 28623 463225 SH SOLE 463225 0 0 POLYONE CORP COM 73179P106 121 18400 SH SOLE 18400 0 0 PORTLAND GEN ELEC CO COM NEW 736508847 615 22130 SH SOLE 22130 0 0 PRAXAIR INC COM 74005P104 28987 326760 SH SOLE 326760 0 0 PRE PAID LEGAL SVCS INC COM 740065107 584 10560 SH SOLE 10560 0 0 PRECISION CASTPARTS CORP COM 740189105 96072 692660 SH SOLE 692660 0 0 PRESIDENTIAL LIFE CORP COM 740884101 1261 71990 SH SOLE 71990 0 0 PRESTIGE BRANDS HLDGS INC COM 74112D101 279 37345 SH SOLE 37345 0 0 PRICELINE COM INC COM NEW 741503403 2998 26100 SH SOLE 26100 0 0 PRIDE INTL INC DEL NOTE 3.250% 5/0 74153QAD4 24495 18091000 PRN SOLE 18091000 0 0 PROCTER & GAMBLE CO COM 742718109 411 5600 SH SOLE 5600 0 0 PROGRESS SOFTWARE CORP COM 743312100 4308 127900 SH SOLE 127900 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 349 26775 SH SOLE 26775 0 0 PRUDENTIAL FINL INC COM 744320102 54897 590034 SH SOLE 590034 0 0 QUADRAMED CORP COM 74730W101 8514 4161456 SH SOLE 4161456 0 0 QUALITY SYS INC COM 747582104 3464 113600 SH SOLE 113600 0 0 QUANEX CORP COM 747620102 738 14215 SH SOLE 14215 0 0 QUANTA SVCS INC COM 74762E102 15453 588900 SH SOLE 588900 0 0 QUEST DIAGNOSTICS INC COM 74834L100 36452 689072 SH SOLE 689072 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 266 38000 SH SOLE 38000 0 0 R H DONNELLEY CORP COM NEW 74955W307 525 14400 SH SOLE 14400 0 0 RAM ENERGY RESOURCES INC COM 75130P109 800 159420 SH SOLE 159420 0 0 RAYTHEON CO COM NEW 755111507 20830 343147 SH SOLE 343147 0 0 RBC BEARINGS INC COM 75524B104 3260 75000 SH SOLE 75000 0 0 REPUBLIC AWYS HLDGS INC COM 760276105 6540 333860 SH SOLE 333860 0 0 RESEARCH IN MOTION LTD COM 760975102 27494 242450 SH SOLE 242450 0 0 RESOURCE CAP CORP COM 76120W302 258 27715 SH SOLE 27715 0 0 RESPIRONICS INC COM 761230101 22329 341000 SH SOLE 341000 0 0 RF MICRODEVICES INC COM 749941100 2121 371400 SH SOLE 371400 0 0 RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 24172 25485000 PRN SOLE 25485000 0 0 RLI CORP COM 749607107 776 13670 SH SOLE 13670 0 0 ROCK-TENN CO CL A 772739207 555 21825 SH SOLE 21825 0 0 ROGERS CORP COM 775133101 1947 44900 SH SOLE 44900 0 0 ROPER INDS INC NEW COM 776696106 23459 375100 SH SOLE 375100 0 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 33216 395758 SH SOLE 395758 0 0 RTI INTL METALS INC COM 74973W107 5611 81400 SH SOLE 81400 0 0 RUDOLPH TECHNOLOGIES INC COM 781270103 475 41970 SH SOLE 41970 0 0 RURAL / METRO CORP COM 781748108 239 111900 SH SOLE 111900 0 0 RUSH ENTERPRISES INC CL B 781846308 884 49685 SH SOLE 49685 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 13701 347394 SH SOLE 347394 0 0 SAFECO CORP COM 786429100 12224 219531 SH SOLE 219531 0 0 SANDERSON FARMS INC COM 800013104 4250 125800 SH SOLE 125800 0 0 SANDY SPRING BANCORP INC COM 800363103 795 28565 SH SOLE 28565 0 0 SAUL CTRS INC COM 804395101 1021 19110 SH SOLE 19110 0 0 SBA COMMUNICATIONS CORP COM 78388J106 18754 554200 SH SOLE 554200 0 0 SBA COMMUNICATIONS CORP NOTE 0.375%12/0 78388JAJ5 33584 29756000 PRN SOLE 29756000 0 0 SCANSOURCE INC COM 806037107 1155 35695 SH SOLE 35695 0 0 SCHEIN HENRY INC COM 806407102 12169 198200 SH SOLE 198200 0 0 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 12833 8954000 PRN SOLE 8954000 0 0 SCHERING PLOUGH CORP COM 806605101 63054 2366875 SH SOLE 2366875 0 0 SCHERING PLOUGH CORP PFD CONV MAN07 806605705 29638 121918 SH SOLE 121918 0 0 SCHLUMBERGER LTD DBCV 1.500% 6/0 806857AC2 45548 16728000 PRN SOLE 16728000 0 0 SCIELE PHARMA INC COM 808627103 4515 220800 SH SOLE 220800 0 0 SCIENTIFIC GAMES CORP CL A 80874P109 8638 259800 SH SOLE 259800 0 0 SELECTIVE INS GROUP INC COM 816300107 420 18277 SH SOLE 18277 0 0 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 1367 42100 SH SOLE 42100 0 0 SIMMONS 1ST NATL CORP CL A $1 PAR 828730200 773 29170 SH SOLE 29170 0 0 SIMPSON MANUFACTURING CO INC COM 829073105 599 22530 SH SOLE 22530 0 0 SINCLAIR BROADCAST GROUP INC CL A 829226109 487 59365 SH SOLE 59365 0 0 SINCLAIR BROADCAST GROUP INC NOTE 3.000% 5/1 829226AW9 41581 44230000 PRN SOLE 44230000 0 0 SIRIUS SATELLITE RADIO INC NOTE 3.250%10/1 82966UAD5 3590 3723000 PRN SOLE 3723000 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 16426 1932500 SH SOLE 1932500 0 0 SLM CORP COM 78442P106 4194 208236 SH SOLE 208236 0 0 SMITH INTL INC COM 832110100 64037 867125 SH SOLE 867125 0 0 SMUCKER J M CO COM NEW 832696405 1879 36542 SH SOLE 36542 0 0 SOUTHERN COPPER CORP COM 84265V105 83303 792385 SH SOLE 792385 0 0 SOVEREIGN BANCORP INC COM 845905108 3810 334171 SH SOLE 334171 0 0 SPANSION INC COM CL A 84649R101 198 50265 SH SOLE 50265 0 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 14969 16269000 PRN SOLE 16269000 0 0 SPECTRA ENERGY CORP COM 847560109 20626 798825 SH SOLE 798825 0 0 SPRINT NEXTEL CORP COM SER 1 852061100 17257 1314375 SH SOLE 1314375 0 0 STAR GAS PARTNERS L P UNIT LTD PARTNR 85512C105 24055 5958548 SH SOLE 5958548 0 0 STEC INC COM 784774101 656 75000 SH SOLE 75000 0 0 STEEL DYNAMICS INC COM 858119100 4766 80000 SH SOLE 80000 0 0 STONE ENERGY CORP COM 861642106 896 19095 SH SOLE 19095 0 0 STREETTRACKS GOLD TR GOLD SHS 863307104 412 5000 SH SOLE 5000 0 0 SUNCOR ENERGY INC COM 867229106 44071 405326 SH SOLE 405326 0 0 SUPERIOR ENERGY SVCS INC COM 868157108 2279 66200 SH SOLE 66200 0 0 SUPERTEX INC COM 868532102 1624 51900 SH SOLE 51900 0 0 SWIFT ENERGY CO COM 870738101 4086 92800 SH SOLE 92800 0 0 SYBASE INC NOTE 1.750% 2/2 871130AB6 18833 16123000 PRN SOLE 16123000 0 0 SYKES ENTERPRISES INC COM 871237103 4408 244900 SH SOLE 244900 0 0 SYNNEX CORP COM 87162W100 588 30005 SH SOLE 30005 0 0 TALBOTS INC COM 874161102 330 27960 SH SOLE 27960 0 0 TARGET CORP COM 87612E106 25163 503252 SH SOLE 503252 0 0 TECHNITROL INC COM 878555101 5726 200355 SH SOLE 200355 0 0 TECK COMINCO LTD CL B 878742204 42141 1180097 SH SOLE 1180097 0 0 TEMPUR PEDIC INTL INC COM 88023U101 3883 149500 SH SOLE 149500 0 0 TEREX CORP NEW COM 880779103 25015 381500 SH SOLE 381500 0 0 TERRA INDS INC COM 880915103 444 9300 SH SOLE 9300 0 0 TESORO CORP COM 881609101 16795 352100 SH SOLE 352100 0 0 TESSERA TECHNOLOGIES INC COM 88164L100 5470 131500 SH SOLE 131500 0 0 TEVA PHARMACEUTICAL FIN CO B NOTE 1.750% 2/0 88165FAA0 16801 15048000 PRN SOLE 15048000 0 0 TEVA PHARMACEUTICAL FIN II L DBCV 0.500% 2/0 88164RAA5 46339 36822000 PRN SOLE 36822000 0 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 62129 1336699 SH SOLE 1336699 0 0 TEXAS INSTRS INC COM 882508104 25146 752876 SH SOLE 752876 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 101644 1762200 SH SOLE 1762200 0 0 TIDEWATER INC COM 886423102 8611 156954 SH SOLE 156954 0 0 TIME WARNER CABLE INC CL A 88732J108 1436 52027 SH SOLE 52027 0 0 TIMKEN CO COM 887389104 5495 167260 SH SOLE 167260 0 0 TJX COS INC NEW COM 872540109 98836 3440165 SH SOLE 3440165 0 0 TNS INC COM 872960109 841 47375 SH SOLE 47375 0 0 TOWER GROUP INC COM 891777104 5464 163600 SH SOLE 163600 0 0 TRANSOCEAN INC NEW SHS G90073100 58819 410885 SH SOLE 410885 0 0 TRANSOCEAN SEDCO FOREX INC NOTE 1.625%12/1 893830AU3 5389 4950000 PRN SOLE 4950000 0 0 TRANSOCEAN SEDCO FOREX INC NOTE 1.500%12/1 893830AW9 69419 63564000 PRN SOLE 63564000 0 0 TRIMBLE NAVIGATION LTD COM 896239100 1361 45000 SH SOLE 45000 0 0 TRIUMPH GROUP INC NEW COM 896818101 8597 104400 SH SOLE 104400 0 0 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 35516 21711000 PRN SOLE 21711000 0 0 TRONOX INC CL A 897051108 877 98535 SH SOLE 98535 0 0 TRUSTCO BK CORP N Y COM 898349105 480 48403 SH SOLE 48403 0 0 TUESDAY MORNING CORP COM NEW 899035505 211 41540 SH SOLE 41540 0 0 TWEEN BRANDS INC COM 901166108 2449 92500 SH SOLE 92500 0 0 U S CONCRETE INC COM 90333L102 433 130000 SH SOLE 130000 0 0 ULTRA CLEAN HLDGS INC COM 90385V107 649 53200 SH SOLE 53200 0 0 UNIFI INC COM 904677101 252 104200 SH SOLE 104200 0 0 UNISOURCE ENERGY CORP COM 909205106 593 18810 SH SOLE 18810 0 0 UNITED CMNTY FINL CORP OHIO COM 909839102 374 67835 SH SOLE 67835 0 0 UNITED STATES NATL GAS FUND UNIT 912318102 507 14000 SH SOLE 14000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 28427 371400 SH SOLE 371400 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 3779 38700 SH SOLE 38700 0 0 UNITEDHEALTH GROUP INC COM 91324P102 40889 702571 SH SOLE 702571 0 0 UNIVERSAL FST PRODS INC COM 913543104 409 13880 SH SOLE 13880 0 0 US BANCORP DEL COM NEW 902973304 6826 215060 SH SOLE 215060 0 0 VALE CAP LTD NT RIO CV VALE 91912C208 16190 249973 SH SOLE 249973 0 0 VALERO ENERGY CORP NEW COM 91913Y100 28032 400283 SH SOLE 400283 0 0 VANGUARD TAX-MANAGED FD EUROPE PAC ETF 921943858 2918 60900 SH SOLE 60900 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 9923 268200 SH SOLE 268200 0 0 VERIZON COMMUNICATIONS COM 92343V104 43198 988747 SH SOLE 988747 0 0 VIRGIN MEDIA INC COM 92769L101 268 15635 SH SOLE 15635 0 0 VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 61539 1654463 SH SOLE 1654463 0 0 W-H ENERGY SVCS INC COM 92925E108 4840 86100 SH SOLE 86100 0 0 WABTEC CORP COM 929740108 2063 59900 SH SOLE 59900 0 0 WAL MART STORES INC COM 931142103 36297 763680 SH SOLE 763680 0 0 WALTER INDS INC COM 93317Q105 867 24140 SH SOLE 24140 0 0 WARNACO GROUP INC COM NEW 934390402 4009 115200 SH SOLE 115200 0 0 WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 9319 9749000 PRN SOLE 9749000 0 0 WATTS WATER TECHNOLOGIES INC CL A 942749102 740 24845 SH SOLE 24845 0 0 WEATHERFORD INTERNATIONAL LT COM G95089101 14159 206400 SH SOLE 206400 0 0 WELLPOINT INC COM 94973V107 11384 129760 SH SOLE 129760 0 0 WELLS FARGO & CO NEW COM 949746101 19496 645766 SH SOLE 645766 0 0 WERNER ENTERPRISES INC COM 950755108 7308 429100 SH SOLE 429100 0 0 WESCO INTL INC COM 95082P105 7407 186874 SH SOLE 186874 0 0 WESTLAKE CHEM CORP COM 960413102 422 22230 SH SOLE 22230 0 0 WILLIAMS COS INC DEL COM 969457100 67337 1881972 SH SOLE 1881972 0 0 WILLIAMS SONOMA INC COM 969904101 16344 631040 SH SOLE 631040 0 0 WINDSTREAM CORP COM 97381W104 2143 164613 SH SOLE 164613 0 0 WMS INDS INC COM 929297109 3019 82400 SH SOLE 82400 0 0 WORLD ACCEP CORP DEL COM 981419104 1435 53200 SH SOLE 53200 0 0 WORLD FUEL SVCS CORP COM 981475106 1661 57200 SH SOLE 57200 0 0 WORTHINGTON INDS INC COM 981811102 717 40090 SH SOLE 40090 0 0 WYETH COM 983024100 15885 359478 SH SOLE 359478 0 0 WYETH DBCV 1/1 983024AD2 2147 2035000 PRN SOLE 2035000 0 0 XERIUM TECHNOLOGIES INC COM 98416J100 383 73725 SH SOLE 73725 0 0 XTO ENERGY INC COM 98385X106 62364 1214250 SH SOLE 1214250 0 0 YAHOO INC FRNT 4/0 984332AB2 2155 1844000 PRN SOLE 1844000 0 0 ZOLTEK COS INC COM 98975W104 3039 70900 SH SOLE 70900 0 0 ZYGO CORP COM 989855101 583 46800 SH SOLE 46800 0 0