0001085146-11-001082.txt : 20111102 0001085146-11-001082.hdr.sgml : 20111102 20111102113230 ACCESSION NUMBER: 0001085146-11-001082 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110930 FILED AS OF DATE: 20111102 DATE AS OF CHANGE: 20111102 EFFECTIVENESS DATE: 20111102 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: 111173524 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 mack3q2011.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, 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 November 01, 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: 173 Form 13F Information Table Value Total: $2,254,144 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- ADVANCED MICRO DEVICES INC COM 007903107 3419 673000 SH OTHER 01 0 673000 0 AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 7423 7044000 PRN SOLE 7044000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 1855 1131000 PRN OTHER 01 1025000 106000 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 58510 48300000 PRN OTHER 01 25328000 22972000 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 8262 8663000 PRN OTHER 01 0 8663000 0 ALZA CORP SDCV 7/2 02261WAB5 8268 9148000 PRN OTHER 01 8035000 1113000 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 44067 44680000 PRN OTHER 01 34373000 10307000 0 AMR CORP NOTE 6.250%10/1 001765BC9 10798 18166000 PRN OTHER 01 9441000 8725000 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 18647 18241000 PRN OTHER 01 7779000 10462000 0 APACHE CORP PFD CONV SER D 037411808 55028 1075400 SH OTHER 01 308400 767000 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 10409 9903000 PRN OTHER 01 7973000 1930000 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 4007 4007000 PRN SOLE 4007000 0 0 ARVINMERITOR INC FRNT 4.000% 2/1 043353AH4 12361 18013000 PRN OTHER 01 283000 17730000 0 ARVINMERITOR INC FRNT 4.625% 3/0 043353AF8 1499 1950000 PRN OTHER 01 0 1950000 0 ASBURY AUTOMOTIVE GROUP INC NOTE 3.000% 9/1 043436AG9 3458 3520000 PRN OTHER 01 155000 3365000 0 AVIS BUDGET GROUP COM 053774105 2241 231700 SH OTHER 01 0 231700 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 19537 20143000 PRN OTHER 01 5576000 14567000 0 BABCOCK & WILCOX CO NEW COM 05615F102 644 32950 SH OTHER 01 450 32500 0 BAKER HUGHES INC COM 057224107 7681 166400 SH OTHER 01 1800 164600 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 18916 24724 SH OTHER 01 23643 1081 0 BANK OF AMERICA CORPORATION COM 060505104 1878 306800 SH OTHER 01 4700 302100 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 51739 31014000 PRN OTHER 01 13259000 17755000 0 BLACKROCK MUNIHLDNGS CALI QL COM 09254L107 889 62735 SH SOLE 62735 0 0 BLACKROCK MUNIYIELD CALI QLT COM 09254N103 1096 79040 SH OTHER 01 63230 15810 0 BLACKROCK MUNIYIELD CALIF FD COM 09254M105 353 24800 SH OTHER 01 19840 4960 0 BLACKROCK MUNIYLD MICH QLTY COM 09254V105 356 24796 SH SOLE 24796 0 0 BLACKROCK NJ MUNICIPAL BOND COM 09249A109 278 19900 SH OTHER 01 0 19900 0 BLUE COAT SYSTEMS INC COM NEW 09534T508 5878 423500 SH OTHER 01 0 423500 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 154 83000 PRN OTHER 01 83000 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 65 35000 PRN SOLE 35000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 13050 11931000 PRN SOLE 11931000 0 0 BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 3925 4750000 PRN OTHER 01 0 4750000 0 CENTRAL EUROPEAN MEDIA NOTE 5.000%11/1 153443AH9 9764 13801000 PRN OTHER 01 1156000 12645000 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 6545 7000000 PRN OTHER 01 1856000 5144000 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 6384 121000 SH SOLE 121000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 15456 14916000 PRN OTHER 01 13123000 1793000 0 CHINA MED TECHNOLOGIES INC NOTE 4.000% 8/1 169483AC8 17474 27197000 PRN OTHER 01 1197000 26000000 0 CHINA MOBILE LIMITED SPONSORED ADR 16941M109 3787 77780 SH SOLE 77780 0 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 1838 2500000 PRN OTHER 01 0 2500000 0 CIT GROUP INC COM NEW 125581801 6405 210901 SH OTHER 01 02 03 05 120178 90723 0 CITIGROUP INC COM NEW 172967424 9677 377709 SH OTHER 01 04 05 115091 262618 0 CITIGROUP INC UNIT 99/99/9999 172967416 31801 396897 SH OTHER 01 126597 270300 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 22014 17584000 PRN OTHER 01 6584000 11000000 0 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 79202 39041000 PRN OTHER 01 16922000 22119000 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 10517 5624000 PRN OTHER 01 4325000 1299000 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 32936 30140000 PRN OTHER 01 13979000 16161000 0 DANAHER CORP DEL NOTE 1/2 235851AF9 30530 25045000 PRN OTHER 01 21988000 3057000 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 77541 54811000 PRN OTHER 01 32876000 21935000 0 ENI S P A SPONSORED ADR 26874R108 1105 31450 SH SOLE 31450 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 15683 14918000 PRN OTHER 01 1311000 13607000 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 6342 4945000 PRN OTHER 01 4945000 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 19432 2009500 SH OTHER 01 04 325000 1684500 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 7442 5708000 PRN OTHER 01 3332000 2376000 0 FOREST OIL CORP COM PAR $0.01 346091705 1587 110200 SH OTHER 01 900 109300 0 GENCORP INC SDCV 4.062%12/3 368682AN0 12580 14502000 PRN OTHER 01 0 14502000 0 GENERAL MTRS CO COM 37045V100 28669 1420676 SH OTHER 01 02 03 04 1039606 381070 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 24848 708306 SH OTHER 01 247206 461100 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 9 8000 PRN OTHER 01 8000 0 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 45870 42280000 PRN OTHER 01 21210000 21070000 0 GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2722 65900 SH SOLE 65900 0 0 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 16073 413540 SH OTHER 01 224440 189100 0 GULF ISLAND FABRICATION INC COM 402307102 620 30000 SH OTHER 01 0 30000 0 HALLIBURTON CO COM 406216101 6111 200242 SH OTHER 01 13524 186718 0 HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 22029 1143791 SH OTHER 01 348624 795167 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 4208 3933000 PRN SOLE 3933000 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 196 184000 PRN OTHER 01 184000 0 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 9809 7502000 PRN OTHER 01 0 7502000 0 HEWLETT PACKARD CO COM 428236103 1735 77300 SH OTHER 01 0 77300 0 HOLLYFRONTIER CORP COM 436106108 6105 232850 SH OTHER 01 0 232850 0 HOME INNS & HOTELS MGMT INC NOTE 2.000%12/1 43713WAB3 3800 5000000 PRN OTHER 01 1046000 3954000 0 ICAHN ENTERPRISES LP/CORP FRNT 8/1 451102AB3 97533105010000 PRN OTHER 01 02 03 05 62565000 42445000 0 ICON PUB LTD CO SPONSORED ADR 45103T107 2064 128700 SH SOLE 128700 0 0 ICONIX BRAND GROUP INC COM 451055107 9799 620200 SH OTHER 01 0 620200 0 IGATE CORP COM 45169U105 4887 423500 SH OTHER 01 0 423500 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 25365 14270000 PRN OTHER 01 0 14270000 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 17144 10699000 PRN OTHER 01 6844000 3855000 0 INSULET CORP NOTE 3.750% 6/1 45784PAC5 11002 11959000 PRN OTHER 01 1807000 10152000 0 INTEL CORP SDCV 2.950%12/1 458140AD2 14503 14236000 PRN SOLE 14236000 0 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 34373 29807000 PRN OTHER 01 16758000 13049000 0 INVESCO CALI INSRD MUNI INCO COM 46130L109 1576 111764 SH OTHER 01 95617 16147 0 INVESCO CALI QLTY MUNI SEC COM 46130M107 1915 148900 SH OTHER 01 120000 28900 0 INVESCO INSRD MUNI INCM TRST COM 46132P108 382 24716 SH OTHER 01 0 24716 0 INVESCO MUNI INCOME OPP TRST COM 46132X101 243 38418 SH OTHER 01 0 38418 0 INVESCO QUALITY MUN SECS COM 46133J101 494 34620 SH OTHER 01 0 34620 0 INVESCO QUALITY MUNI INC TRS COM 46133G107 158 12300 SH OTHER 01 0 12300 0 INVITROGEN CORP NOTE 1.500% 2/1 46185RAK6 3360 3311000 PRN OTHER 01 1645000 1666000 0 ION GEOPHYSICAL CORP COM 462044108 4214 891000 SH OTHER 01 0 891000 0 JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 12963 13244000 PRN OTHER 01 10610000 2634000 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 19114 20071000 PRN OTHER 01 18211000 1860000 0 LEAP WIRELESS INTL INC NOTE 4.500% 7/1 521863AL4 2413 2707000 PRN OTHER 01 0 2707000 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 9174 9912000 PRN OTHER 01 8019000 1893000 0 MASSEY ENERGY CO NOTE 3.250% 8/0 576203AJ2 5277 5954000 PRN OTHER 01 5854000 100000 0 MCDERMOTT INTL INC COM 580037109 709 65900 SH OTHER 01 900 65000 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 6102 6094000 PRN OTHER 01 6094000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 13667 13582000 PRN SOLE 13582000 0 0 MENTOR GRAPHICS CORP COM 587200106 2154 223900 SH OTHER 01 0 223900 0 MERCK & CO INC NEW COM 58933Y105 10494 320832 SH OTHER 01 18362 302470 0 MERITOR INC COM 59001K100 661 93600 SH OTHER 01 0 93600 0 METLIFE INC UNIT 99/99/9999 59156R116 20950 370407 SH OTHER 01 113607 256800 0 MF GLOBAL HLDGS LTD NOTE 1.875% 2/0 55277JAA6 11481 14389000 PRN OTHER 01 8306000 6083000 0 MF GLOBAL HLDGS LTD NOTE 3.375% 8/0 55277JAB4 2363 3000000 PRN OTHER 01 2827000 173000 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 18980 21554000 PRN OTHER 01 7406000 14148000 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 36401 31462000 PRN OTHER 01 16529000 14933000 0 MICRON TECHNOLOGY INC NOTE 4.250%10/1 595112AJ2 5458 4393000 PRN OTHER 01 4393000 0 0 MICROSOFT CORP COM 594918104 7920 318200 SH OTHER 01 18100 300100 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 12983 12292000 PRN SOLE 12292000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 10957 10423000 PRN OTHER 01 10423000 0 0 MORGAN STANLEY COM NEW 617446448 787 58300 SH OTHER 01 800 57500 0 MYLAN INC NOTE 1.250% 3/1 628530AG2 17825 17836000 PRN OTHER 01 11278000 6558000 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 10901 7492000 PRN OTHER 01 1729000 5763000 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 7169 5888000 PRN OTHER 01 28000 5860000 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 22124 15157000 PRN OTHER 01 12056000 3101000 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 4976 5409000 PRN OTHER 01 5409000 0 0 NII HLDGS INC NOTE 3.125% 6/1 62913FAJ1 4025 3975000 PRN SOLE 3975000 0 0 NOVARTIS A G SPONSORED ADR 66987V109 2707 48572 SH SOLE 48572 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 6861 5456000 PRN OTHER 01 5456000 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 1173 929000 PRN SOLE 929000 0 0 NUVEEN CA DIVIDEND ADV MUN F COM SHS 67066Y105 1425 105291 SH OTHER 01 70291 35000 0 NUVEEN CA INVT QUALITY MUN F COM 67062A101 808 56726 SH SOLE 56726 0 0 NUVEEN CA MUN MKT OPPORTUNT COM 67062U107 1728 125208 SH OTHER 01 80006 45202 0 NUVEEN CALIF PERFORM PLUS MU COM 67062Q106 210 15100 SH OTHER 01 12080 3020 0 NUVEEN MICH QUALITY INCOME M COM 670979103 1573 112896 SH OTHER 01 89748 23148 0 NUVEEN N Y INVT QUALITY MUN COM 67062X101 167 11600 SH OTHER 01 9280 2320 0 NUVEEN PA INVT QUALITY MUN F COM 670972108 1302 89339 SH OTHER 01 79739 9600 0 NUVEEN PA PREM INCOME MUN FD COM 67061F101 1460 110423 SH OTHER 01 90423 20000 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 12808 310500 SH OTHER 01 30200 280300 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 11686 10399000 PRN OTHER 01 3459000 6940000 0 OMNICOM GROUP INC NOTE 7/0 681919AT3 2547 2491000 PRN SOLE 2491000 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 15925 15405000 PRN SOLE 15405000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 33135 31017000 PRN OTHER 01 16031000 14986000 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 51495 49591000 PRN OTHER 01 24856000 24735000 0 PPL CORP UNIT 99/99/9999 69351T601 20248 366184 SH OTHER 01 220584 145600 0 RESMED INC COM 761152107 5994 208200 SH SOLE 208200 0 0 SALIX PHARMACEUTICALS INC COM 795435106 14235 480900 SH OTHER 01 0 480900 0 SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 7833 7833000 PRN OTHER 01 1000000 6833000 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 2070 2129000 PRN SOLE 2129000 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 29283 27950000 PRN OTHER 01 11160000 16790000 0 SAVIENT PHARMACEUTICALS INC NOTE 4.750% 2/0 80517QAA8 15224 21712000 PRN OTHER 01 8595000 13117000 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 35801 34393000 PRN OTHER 01 17873000 16520000 0 SONIC AUTOMOTIVE INC NOTE 5.000%10/0 83545GAQ5 9193 8310000 PRN OTHER 01 5810000 2500000 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 10673 11385000 PRN OTHER 01 293000 11092000 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 47509 38987000 PRN OTHER 01 17094000 21893000 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 31663 307160 SH OTHER 01 222860 84300 0 STANLEY WKS FRNT 5/1 854616AM1 5619 5476000 PRN OTHER 01 5476000 0 0 STANLEY WKS FRNT 5/1 854616AM1 1613 1572000 PRN SOLE 1572000 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 22885 22189000 PRN OTHER 01 14494000 7695000 0 SYMANTEC CORP COM 871503108 7032 431400 SH OTHER 01 0 431400 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 9758 8532000 PRN SOLE 8532000 0 0 SYNNEX CORP NOTE 4.000% 5/1 87162WAB6 8621 7784000 PRN OTHER 01 364000 7420000 0 SYNOPSYS INC COM 871607107 10068 413300 SH OTHER 01 0 413300 0 TELECOMMUNICATION SYS INC CL A 87929J103 4196 1216140 SH OTHER 01 0 1216140 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 45436 41686000 PRN OTHER 01 18667000 23019000 0 TERADYNE INC NOTE 4.500% 3/1 880770AE2 421 198000 PRN SOLE 198000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 42971 41770000 PRN OTHER 01 18263000 23507000 0 TEVA PHARMACEUTICAL INDS LTD ADR 881624209 8583 230600 SH SOLE 230600 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 12940 8591000 PRN OTHER 01 6689000 1902000 0 TIDEWATER INC COM 886423102 4878 116000 SH OTHER 01 600 115400 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 15012 15473000 PRN OTHER 01 15319000 154000 0 TRANSOCEAN LTD REG SHS H8817H100 2821 59100 SH OTHER 01 0 59100 0 TRIUMPH GROUP INC NEW COM 896818101 8207 168398 SH OTHER 01 4334 164064 0 TTM TECHNOLOGIES INC COM 87305R109 476 50000 SH OTHER 01 0 50000 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 29056 29085000 PRN OTHER 01 13889000 15196000 0 U S CONCRETE INC COM NEW 90333L201 6124 1468526 SH OTHER 01 02 03 05 1178990 289536 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 9553 9120000 PRN OTHER 01 1640000 7480000 0 VALE CAP II GTD CV 6.75%12 91912F201 4493 70963 SH OTHER 01 70963 0 0 VALE CAP II GTD CV 6.75%12 91912F201 91 1400 SH SOLE 1400 0 0 VERIFONE SYS INC NOTE 1.375% 6/1 92342YAB5 18301 17661000 PRN OTHER 01 5374000 12287000 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 21288 20770000 PRN OTHER 01 7773000 12997000 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 31688 21072000 PRN OTHER 01 8089000 12983000 0 VIROPHARMA INC COM 928241108 3072 170000 SH OTHER 01 0 170000 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 20443 17000000 PRN OTHER 01 0 17000000 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 18889 18290 SH OTHER 01 14690 3600 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 20296 14287000 PRN OTHER 01 7738000 6549000 0