0001085146-11-000790.txt : 20110729 0001085146-11-000790.hdr.sgml : 20110729 20110728213913 ACCESSION NUMBER: 0001085146-11-000790 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110630 FILED AS OF DATE: 20110729 DATE AS OF CHANGE: 20110728 EFFECTIVENESS DATE: 20110729 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: 11995215 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 mack2q2011r.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, 2011 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: 028-00046 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 28, 2011 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: 5 Form 13F Information Table Entry Total: 174 Form 13F Information Table Value Total: $2,834,033 (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. No. 13F File Number Name 01 028-06325 New York Life Investment Management LLC 02 028-02682 UBS Global Asset Management (Americas) Inc 03 028-12567 Mercer Global Investments, Inc. 04 028-06487 First Trust Advisors L.P. 05 028-14465 Mercer Trust Company FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO NOTE 11/2 88579YAB7 1306 1345000 PRN SOLE 1345000 0 0 ADVANCED MICRO DEVICES INC COM 007903107 4704 673000 SH OTHER 01 0 673000 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 7986 7162000 PRN SOLE 7162000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 2935 1155000 PRN OTHER 01 1049000 106000 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 79464 47903000 PRN OTHER 01 25931000 21972000 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 10136 8663000 PRN OTHER 01 0 8663000 0 ALZA CORP SDCV 7/2 02261WAB5 8761 9259000 PRN OTHER 01 8146000 1113000 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 45169 44833000 PRN OTHER 01 34701000 10132000 0 AMR CORP NOTE 6.250%10/1 001765BC9 36412 37403000 PRN OTHER 01 17620000 19783000 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 21524 18092000 PRN OTHER 01 7630000 10462000 0 APACHE CORP PFD CONV SER D 037411808 71306 1081700 SH OTHER 01 314700 767000 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 13860 10018000 PRN OTHER 01 8088000 1930000 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 4247 4007000 PRN SOLE 4007000 0 0 ARVINMERITOR INC FRNT 4.000% 2/1 043353AH4 15369 16009000 PRN OTHER 01 279000 15730000 0 ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 2138 1950000 PRN OTHER 01 0 1950000 0 ASBURY AUTOMOTIVE GROUP INC NOTE 3.000% 9/1 043436AG9 3533 3520000 PRN OTHER 01 155000 3365000 0 AVIS BUDGET GROUP COM 053774105 79 4600 SH OTHER 01 0 4600 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 32136 25201000 PRN OTHER 01 5834000 19367000 0 BABCOCK & WILCOX CO NEW COM 05615F102 953 34400 SH OTHER 01 1900 32500 0 BAKER HUGHES INC COM 057224107 12118 167000 SH OTHER 01 2400 164600 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 25463 25397 SH OTHER 01 24316 1081 0 BANK OF AMERICA CORPORATION COM 060505104 3363 306800 SH OTHER 01 4700 302100 0 BECKMAN COULTER INC NOTE 2.500%12/1 075811AD1 3524 2940000 PRN OTHER 01 2847000 93000 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 48793 33776000 PRN OTHER 01 13681000 20095000 0 BLACKROCK MUNIHLDNGS CALI QL COM 09254L107 838 62735 SH SOLE 62735 0 0 BLACKROCK MUNIYIELD ARIZ FD COM 09254K109 134 10411 SH SOLE 10411 0 0 BLACKROCK MUNIYIELD CALI QLT COM 09254N103 1054 79040 SH OTHER 01 63230 15810 0 BLACKROCK MUNIYIELD CALIF FD COM 09254M105 344 24800 SH OTHER 01 19840 4960 0 BLACKROCK MUNIYLD MICH QLTY COM 09254V105 333 24796 SH SOLE 24796 0 0 BLUE COAT SYSTEMS INC COM NEW 09534T508 9258 423500 SH OTHER 01 0 423500 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 87 35000 PRN SOLE 35000 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 205 83000 PRN OTHER 01 83000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 14003 11842000 PRN SOLE 11842000 0 0 BOSTON SCIENTIFIC CORP COM 101137107 3450 499300 SH OTHER 01 0 499300 0 BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 4251 4750000 PRN OTHER 01 0 4750000 0 CAMERON INTERNATIONAL CORP NOTE 2.500% 6/1 13342BAB1 99247 69158000 PRN OTHER 01 33661000 35497000 0 CENTRAL EUROPEAN MEDIA NOTE 5.000%11/1 153443AH9 12283 13801000 PRN OTHER 01 1156000 12645000 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 17030 15378000 PRN OTHER 01 13585000 1793000 0 CHINA MED TECHNOLOGIES INC NOTE 4.000% 8/1 169483AC8 19854 27197000 PRN OTHER 01 1197000 26000000 0 CHINA MOBILE LIMITED SPONSORED ADR 16941M109 11658 249415 SH SOLE 249415 0 0 CIT GROUP INC COM NEW 125581801 9334 210901 SH OTHER 02 03 05 120178 90723 0 CITIGROUP INC COM NEW 172967424 15728 377709 SH OTHER 04 05 115091 262618 0 CITIGROUP INC UNIT 99/99/9999 172967416 47107 392067 SH OTHER 01 131167 260900 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 23913 15574000 PRN OTHER 01 6574000 9000000 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 96486 39545000 PRN OTHER 01 17426000 22119000 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 10525 5689000 PRN OTHER 01 4390000 1299000 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 34755 30480000 PRN OTHER 01 14319000 16161000 0 CREDIT SUISSE GROUP SPONSORED ADR 225401108 1919 49200 SH SOLE 49200 0 0 DANAHER CORP DEL NOTE 1/2 235851AF9 38770 25151000 PRN OTHER 01 22094000 3057000 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 97729 55657000 PRN OTHER 01 33752000 21905000 0 ENI S P A SPONSORED ADR 26874R108 3291 69250 SH SOLE 69250 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 17424 15540000 PRN OTHER 01 1446000 14094000 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 7349 5203000 PRN OTHER 01 5203000 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 27711 2009500 SH OTHER 03 04 325000 1684500 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 9881 5749000 PRN OTHER 01 3373000 2376000 0 FOREST OIL CORP COM PAR $0.01 346091705 2943 110200 SH OTHER 01 900 109300 0 FORMFACTOR INC COM 346375108 1127 124409 SH OTHER 01 0 124409 0 FRONTIER OIL CORP COM 35914P105 7819 242000 SH OTHER 01 0 242000 0 GENCORP INC SDCV 4.062%12/3 368682AN0 18661 18250000 PRN OTHER 01 0 18250000 0 GENERAL MTRS CO COM 37045V100 44742 1473714 SH OTHER 02 03 04 1102151 371563 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 34846 714938 SH OTHER 01 253838 461100 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 6464 5449000 PRN OTHER 01 5449000 0 0 GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 8685 202400 SH SOLE 202400 0 0 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 23254 418086 SH OTHER 01 230486 187600 0 GRUPO TELEVISA SA DE CV SP ADR REP ORD 40049J206 5710 232200 SH SOLE 232200 0 0 GULF ISLAND FABRICATION INC COM 402307102 968 30000 SH OTHER 01 0 30000 0 HALLIBURTON CO COM 406216101 10421 204342 SH OTHER 01 17624 186718 0 HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 23786 913424 SH OTHER 01 359057 554367 0 HEALTH CARE REIT INC DEBT 4.750% 7/1 42217KAQ9 207 184000 PRN OTHER 01 184000 0 0 HEALTH CARE REIT INC DEBT 4.750% 7/1 42217KAQ9 4437 3922000 PRN SOLE 3922000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 14910 7300000 PRN OTHER 01 203000 7097000 0 HEWLETT PACKARD CO COM 428236103 2814 77300 SH OTHER 01 0 77300 0 ICAHN ENTERPRISES LP/CORP FRNT 8/1 451102AB3 99120103110000 PRN OTHER 02 03 05 62290000 40820000 0 ICONIX BRAND GROUP INC COM 451055107 15009 620200 SH OTHER 01 0 620200 0 IGATE CORP COM 45169U105 6912 423500 SH OTHER 01 0 423500 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 32910 14270000 PRN OTHER 01 0 14270000 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 27757 10880000 PRN OTHER 01 7025000 3855000 0 INTEL CORP SDCV 2.950%12/1 458140AD2 9344 8995000 PRN SOLE 8995000 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 31973 26746000 PRN OTHER 01 13697000 13049000 0 INVESCO CALI INSRD MUNI INCO COM 46130L109 1475 111764 SH OTHER 01 95617 16147 0 INVESCO CALI QLTY MUNI SEC COM 46130M107 1805 148900 SH OTHER 01 120000 28900 0 INVESCO INSRD MUNI INCM TRST COM 46132P108 351 24716 SH OTHER 01 0 24716 0 INVESCO MUNI INCOME OPP TRST COM 46132X101 242 38418 SH OTHER 01 0 38418 0 INVESCO QUALITY MUN SECS COM 46133J101 474 34620 SH OTHER 01 0 34620 0 INVESCO QUALITY MUNI INC TRS COM 46133G107 150 12300 SH OTHER 01 0 12300 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 3798 3311000 PRN OTHER 01 1645000 1666000 0 INVITROGEN CORP NOTE 3.250% 6/1 46185RAM2 9048 8456000 PRN OTHER 01 7401000 1055000 0 ION GEOPHYSICAL CORP COM 462044108 8429 891000 SH OTHER 01 0 891000 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 20806 20376000 PRN OTHER 01 18516000 1860000 0 LEAP WIRELESS INTL INC NOTE 4.500% 7/1 521863AL4 2575 2707000 PRN OTHER 01 0 2707000 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 9998 10236000 PRN OTHER 01 8343000 1893000 0 MASSEY ENERGY CO NOTE 3.250% 8/0 576203AJ2 6516 6139000 PRN OTHER 01 6039000 100000 0 MCDERMOTT INTL INC COM 580037109 1363 68800 SH OTHER 01 3800 65000 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 6440 6298000 PRN OTHER 01 6298000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 16569 16126000 PRN SOLE 16126000 0 0 MENTOR GRAPHICS CORP COM 587200106 2868 223900 SH OTHER 01 0 223900 0 MERCK & CO INC NEW COM 58933Y105 11435 324032 SH OTHER 01 21562 302470 0 MERITOR INC COM 59001K100 1501 93600 SH OTHER 01 0 93600 0 METLIFE INC UNIT 99/99/9999 59156R116 30393 368707 SH OTHER 01 116707 252000 0 MF GLOBAL HLDGS LTD NOTE 1.875% 2/0 55277JAA6 14526 14612000 PRN OTHER 01 8529000 6083000 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 23748 21901000 PRN OTHER 01 7753000 14148000 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 43865 32148000 PRN OTHER 01 17215000 14933000 0 MICRON TECHNOLOGY INC NOTE 4.250%10/1 595112AJ2 10321 6345000 PRN OTHER 01 4345000 2000000 0 MICROSOFT CORP COM 594918104 8390 322700 SH OTHER 01 22600 300100 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 11817 10767000 PRN OTHER 01 10767000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 13324 12085000 PRN SOLE 12085000 0 0 MORGAN STANLEY COM NEW 617446448 1394 60600 SH OTHER 01 3100 57500 0 MYLAN INC NOTE 1.250% 3/1 628530AG2 37074 33227000 PRN OTHER 01 11772000 21455000 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 10061 5888000 PRN OTHER 01 28000 5860000 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 19381 14842000 PRN OTHER 01 11741000 3101000 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 6480 5556000 PRN OTHER 01 5556000 0 0 NII HLDGS INC NOTE 3.125% 6/1 62913FAJ1 27576 27405000 PRN OTHER 01 15175000 12230000 0 NOKIA CORP SPONSORED ADR 654902204 2802 436400 SH SOLE 436400 0 0 NOVARTIS A G SPONSORED ADR 66987V109 10569 173042 SH SOLE 173042 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 17100 13025000 PRN OTHER 01 6495000 6530000 0 NUVEEN CA DIVIDEND ADV MUN F COM SHS 67066Y105 1341 105291 SH OTHER 01 70291 35000 0 NUVEEN CA INVT QUALITY MUN F COM 67062A101 748 56726 SH SOLE 56726 0 0 NUVEEN CA MUN MKT OPPORTUNT COM 67062U107 1491 110006 SH OTHER 01 80006 30000 0 NUVEEN CALIF PERFORM PLUS MU COM 67062Q106 199 15100 SH OTHER 01 12080 3020 0 NUVEEN MICH QUALITY INCOME M COM 670979103 1543 112896 SH OTHER 01 89748 23148 0 NUVEEN N Y INVT QUALITY MUN COM 67062X101 163 11600 SH OTHER 01 9280 2320 0 NUVEEN PA INVT QUALITY MUN F COM 670972108 1256 91514 SH OTHER 01 81914 9600 0 NUVEEN PA PREM INCOME MUN FD COM 67061F101 1418 110423 SH OTHER 01 90423 20000 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 15070 313300 SH OTHER 01 33000 280300 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 19494 14561000 PRN OTHER 01 4536000 10025000 0 OMNICOM GROUP INC NOTE 7/0 681919AT3 2737 2491000 PRN SOLE 2491000 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 10850 9808000 PRN SOLE 9808000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 43977 36203000 PRN OTHER 01 16717000 19486000 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 61394 50083000 PRN OTHER 01 25448000 24635000 0 PHILIP MORRIS INTL INC COM 718172109 4520 67700 SH SOLE 67700 0 0 PPL CORP UNIT 99/99/9999 69351T601 20901 373407 SH OTHER 01 227807 145600 0 ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 16085 226100 SH SOLE 226100 0 0 RYANAIR HLDGS PLC SPONSORED ADR 783513104 1420 48448 SH SOLE 48448 0 0 SALIX PHARMACEUTICALS INC COM 795435106 13678 343400 SH OTHER 01 0 343400 0 SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 14822 12833000 PRN OTHER 01 1000000 11833000 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 2068 2129000 PRN SOLE 2129000 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 29198 27509000 PRN OTHER 01 10905000 16604000 0 SAVIENT PHARMACEUTICALS INC NOTE 4.750% 2/0 80517QAA8 21948 21950000 PRN OTHER 01 8833000 13117000 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 43729 39669000 PRN OTHER 01 18429000 21240000 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 12720 9600000 PRN OTHER 01 7100000 2500000 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 11467 11525000 PRN OTHER 01 433000 11092000 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 55767 39452000 PRN OTHER 01 17559000 21893000 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 30902 253979 SH OTHER 01 169679 84300 0 STANLEY WKS FRNT 5/1 854616AM1 6467 5601000 PRN OTHER 01 5601000 0 0 STANLEY WKS FRNT 5/1 854616AM1 1815 1572000 PRN SOLE 1572000 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 31264 26153000 PRN OTHER 01 15294000 10859000 0 SYMANTEC CORP COM 871503108 8507 431400 SH OTHER 01 0 431400 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 9407 7711000 PRN SOLE 7711000 0 0 SYNNEX CORP NOTE 4.000% 5/1 87162WAB6 9905 7784000 PRN OTHER 01 364000 7420000 0 SYNOPSYS INC COM 871607107 9322 362600 SH OTHER 01 0 362600 0 TELECOMMUNICATION SYS INC CL A 87929J103 5874 1216140 SH OTHER 01 0 1216140 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 47103 40742000 PRN OTHER 01 17723000 23019000 0 TERADYNE INC NOTE 4.500% 3/1 880770AE2 642 230000 PRN SOLE 230000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 46543 41510000 PRN OTHER 01 18003000 23507000 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 15562 8317000 PRN OTHER 01 6415000 1902000 0 TIDEWATER INC COM 886423102 6339 117800 SH OTHER 01 2400 115400 0 TOYOTA MOTOR CORP SP ADR REP2COM 892331307 9780 118680 SH SOLE 118680 0 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 15518 15812000 PRN OTHER 01 15658000 154000 0 TRANSOCEAN LTD REG SHS H8817H100 3815 59100 SH OTHER 01 0 59100 0 TRIUMPH GROUP INC NEW COM 896818101 10317 103612 SH OTHER 01 12380 91232 0 TTM TECHNOLOGIES INC COM 87305R109 801 50000 SH OTHER 01 0 50000 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 37179 29385000 PRN OTHER 01 14189000 15196000 0 U S CONCRETE INC COM NEW 90333L201 13102 1497408 SH OTHER 02 03 05 1207872 289536 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 14186 8901000 PRN OTHER 01 1421000 7480000 0 VALE CAP II GTD CV 6.75%12 91912F201 124 1400 SH SOLE 1400 0 0 VALE CAP II GTD CV 6.75%12 91912F201 6431 72801 SH OTHER 01 72801 0 0 VERIFONE SYS INC NOTE 1.375% 6/1 92342YAB5 19929 17015000 PRN OTHER 01 4728000 12287000 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 25527 22055000 PRN OTHER 01 8391000 13664000 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 33878 18902000 PRN OTHER 01 5367000 13535000 0 VIROPHARMA INC COM 928241108 4423 239100 SH OTHER 01 0 239100 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 20570 17000000 PRN OTHER 01 0 17000000 0 VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 9313 348665 SH SOLE 348665 0 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 19007 17934 SH OTHER 01 14334 3600 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 29764 14289000 PRN OTHER 01 7740000 6549000 0