13F-HR 1 mackay1q2012.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: March 31, 2012 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 April 30, 2012 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: 157 Form 13F Information Table Value Total: $2,369,907 (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 ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- AFFILIATED MANAGERS GROUP NOTE 3.950% 8/1 008252AL2 7784 7044000 PRN SOLE 7044000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 1890 1131000 PRN OTHER 01 1025000 106000 0 ALLEGHENY TECHNOLOGIES INC NOTE 4.250% 6/0 01741RAD4 60349 48269000 PRN OTHER 01 24317000 23952000 0 ALPHA NATURAL RESOURCES INC NOTE 2.375% 4/1 02076XAA0 9041 10073000 PRN OTHER 01 0 10073000 0 ALZA CORP SDCV 7/2 02261WAB5 8656 9148000 PRN OTHER 01 8035000 1113000 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 50651 49342000 PRN OTHER 01 33083000 16259000 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 22239 17704000 PRN OTHER 01 7242000 10462000 0 APACHE CORP PFD CONV SER D 037411808 82318 1481869 SH OTHER 01 695769 786100 0 APOLLO INVT CORP NOTE 5.750% 1/1 03761UAE6 13590 13797000 PRN SOLE 13797000 0 0 ARCELORMITTAL SA LUXEMBOURG NOTE 5.000% 5/1 03938LAK0 4913 4554000 PRN OTHER 01 2624000 1930000 0 ARCHER DANIELS MIDLAND CO NOTE 0.875% 2/1 039483AW2 4117 4007000 PRN SOLE 4007000 0 0 ARVINMERITOR INC FRNT 4.000% 2/1 043353AH4 10915 13013000 PRN OTHER 01 283000 12730000 0 ASBURY AUTOMOTIVE GROUP INC NOTE 3.000% 9/1 043436AG9 3678 3520000 PRN OTHER 01 155000 3365000 0 AVIS BUDGET GROUP COM 053774105 4331 306100 SH OTHER 01 0 306100 0 AVIS BUDGET GROUP NOTE 3.500%10/0 053774AB1 13001 11061000 PRN OTHER 01 5061000 6000000 0 BABCOCK & WILCOX CO NEW COM 05615F102 848 32950 SH OTHER 01 450 32500 0 BAKER HUGHES INC COM 057224107 8459 201700 SH OTHER 01 1800 199900 0 BANK OF AMERICA CORPORATION 7.25%CNV PFD L 060505682 26170 26734 SH OTHER 01 24553 2181 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 52214 29237000 PRN OTHER 01 13537000 15700000 0 BLACKROCK MUNIHLDNGS CALI QL COM 09254L107 940 62735 SH SOLE 62735 0 0 BLACKROCK MUNIYIELD CALI QLT COM 09254N103 1175 79040 SH OTHER 01 63230 15810 0 BLACKROCK MUNIYIELD CALIF FD COM 09254M105 381 24800 SH OTHER 01 19840 4960 0 BLACKROCK NJ MUNICIPAL BOND COM 09249A109 161 10032 SH OTHER 01 0 10032 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 213 83000 PRN OTHER 01 83000 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 90 35000 PRN SOLE 35000 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 3.750% 5/1 10112RAG9 13662 11971000 PRN SOLE 11971000 0 0 BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 4388 4750000 PRN OTHER 01 0 4750000 0 CADENCE DESIGN SYSTEM INC NOTE 2.625% 6/0 127387AJ7 1428 857000 PRN SOLE 857000 0 0 CENTRAL EUROPEAN MEDIA NOTE 5.000%11/1 153443AH9 10053 12645000 PRN OTHER 01 0 12645000 0 CHART INDS INC NOTE 2.000% 8/0 16115QAC4 9203 7162000 PRN OTHER 01 2018000 5144000 0 CHESAPEAKE ENERGY CORP NOTE 2.500% 5/1 165167BZ9 185 200000 PRN SOLE 200000 0 0 CHESAPEAKE ENERGY CORP NOTE 2.750%11/1 165167BW6 13281 13448000 PRN OTHER 01 11655000 1793000 0 CIENA CORP NOTE 0.875% 6/1 171779AE1 15319 17334000 PRN OTHER 01 0 17334000 0 CIT GROUP INC COM NEW 125581801 8698 210901 SH OTHER 01 02 03 05 120178 90723 0 CITIGROUP INC COM NEW 172967424 13805 377709 SH OTHER 01 04 05 115091 262618 0 CITIGROUP INC UNIT 99/99/9999 172967416 39018 377839 SH OTHER 01 122139 255700 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 28072 16614000 PRN OTHER 01 5714000 10900000 0 CORE LABORATORIES N V COM N22717107 13495 102568 SH OTHER 01 8840 93728 0 COSTCO COMPANIES INC NOTE 8/1 22160QAC6 11628 5624000 PRN OTHER 01 4325000 1299000 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 32312 28028000 PRN OTHER 01 11182000 16846000 0 DANAHER CORP DEL NOTE 1/2 235851AF9 38878 23846000 PRN OTHER 01 20789000 3057000 0 DIGITAL RIV INC NOTE 2.000%11/0 25388BAD6 1183 1215000 PRN SOLE 1215000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 89343 47499000 PRN OTHER 01 27400000 20099000 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 1043 691000 PRN SOLE 691000 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 8366 4183000 PRN OTHER 01 4183000 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 25099 2009500 SH OTHER 01 325000 1684500 0 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 5832 3668000 PRN OTHER 01 3295000 373000 0 FOREST OIL CORP COM PAR $0.01 346091705 1336 110200 SH OTHER 01 900 109300 0 GENCORP INC SDCV 4.062%12/3 368682AN0 15517 14502000 PRN OTHER 01 0 14502000 0 GENERAL MTRS CO COM 37045V100 37174 1449283 SH OTHER 01 02 03 04 1061149 388134 0 GENERAL MTRS CO JR PFD CNV SRB 37045V209 15815 377890 SH OTHER 01 199090 178800 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 61755 50370000 PRN OTHER 01 27909000 22461000 0 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 16463 397374 SH OTHER 01 208274 189100 0 GULF ISLAND FABRICATION INC COM 402307102 878 30000 SH OTHER 01 0 30000 0 HALLIBURTON CO COM 406216101 6646 200242 SH OTHER 01 13524 186718 0 HARTFORD FINL SVCS GROUP INC COM 416515104 2344 111200 SH OTHER 01 0 111200 0 HARTFORD FINL SVCS GROUP INC DEP CONV PFD 416515708 17164 800878 SH OTHER 01 327811 473067 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 205 184000 PRN OTHER 01 184000 0 0 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 4405 3933000 PRN SOLE 3933000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 3.250% 3/1 42330PAG2 19080 18000000 PRN OTHER 01 5435000 12565000 0 HERTZ GLOBAL HOLDINGS INC NOTE 5.250% 6/0 42805TAA3 12302 6370000 PRN OTHER 01 0 6370000 0 HEWLETT PACKARD CO COM 428236103 1842 77300 SH OTHER 01 0 77300 0 HOLLYFRONTIER CORP COM 436106108 3660 113850 SH OTHER 01 0 113850 0 HOME INNS & HOTELS MGMT INC NOTE 2.000%12/1 43713WAB3 3850 5000000 PRN OTHER 01 1046000 3954000 0 HORNBECK OFFSHORE SVCS INC N FRNT 1.625%11/1 440543AE6 5730 5290000 PRN OTHER 01 5290000 0 0 ICAHN ENTERPRISES LP/CORP FRNT 8/1 451102AB3 112209112660000 PRN OTHER 01 02 03 05 62550000 50110000 0 ICONIX BRAND GROUP INC COM 451055107 12083 695200 SH OTHER 01 0 695200 0 IGATE CORP COM 45169U105 4166 248551 SH OTHER 01 0 248551 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 24860 10791000 PRN OTHER 01 0 10791000 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 23616 10184000 PRN OTHER 01 6329000 3855000 0 INSULET CORP NOTE 3.750% 6/1 45784PAC5 13071 12449000 PRN OTHER 01 1807000 10642000 0 INTEL CORP SDCV 2.950%12/1 458140AD2 17736 15356000 PRN SOLE 15356000 0 0 INTERMUNE INC NOTE 2.500% 9/1 45884XAE3 12766 14780000 PRN OTHER 01 3866000 10914000 0 INTERNATIONAL GAME TECHNOLOG NOTE 3.250% 5/0 459902AQ5 33234 29225000 PRN OTHER 01 15676000 13549000 0 INVESCO CALI QLTY MUNI SEC COM 46130M107 2555 182636 SH OTHER 01 79283 103353 0 INVESCO MUNI INCOME OPP TRST COM 46132X101 264 38418 SH OTHER 01 0 38418 0 INVESCO QUALITY MUN SECS COM 46133J101 513 34620 SH OTHER 01 0 34620 0 ION GEOPHYSICAL CORP COM 462044108 5747 891000 SH OTHER 01 0 891000 0 IXIA NOTE 3.000%12/1 45071RAB5 15 14000 PRN OTHER 01 0 14000 0 JANUS CAP GROUP INC NOTE 3.250% 7/1 47102XAG0 12883 12068000 PRN OTHER 01 9434000 2634000 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 18323 18769000 PRN OTHER 01 16909000 1860000 0 LAM RESEARCH CORP COM 512807108 4471 100200 SH OTHER 01 0 100200 0 LEAP WIRELESS INTL INC NOTE 4.500% 7/1 521863AL4 4225 4407000 PRN OTHER 01 0 4407000 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AH0 12889 13081000 PRN OTHER 01 8648000 4433000 0 LYONDELLBASELL INDUSTRIES N SHS - A - N53745100 6582 150792 SH OTHER 01 112724 38068 0 MARKET VECTORS ETF TR HG YLD MUN ETF 57060U878 11909 380000 SH OTHER 01 0 380000 0 MASSEY ENERGY CO NOTE 3.250% 8/0 576203AJ2 4711 5249000 PRN OTHER 01 5149000 100000 0 MCDERMOTT INTL INC COM 580037109 844 65900 SH OTHER 01 900 65000 0 MEDIVATION INC NOTE 2.625% 4/0 58501NAA9 10613 10000000 PRN OTHER 01 192000 9808000 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 5388 5335000 PRN OTHER 01 5335000 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 13603 13402000 PRN SOLE 13402000 0 0 MERCK & CO INC NEW COM 58933Y105 12320 320832 SH OTHER 01 18362 302470 0 MERITOR INC COM 59001K100 755 93600 SH OTHER 01 0 93600 0 METLIFE INC UNIT 99/99/9999 59156R116 23870 337531 SH OTHER 01 180131 157400 0 MGM RESORTS INTERNATIONAL NOTE 4.250% 4/1 55303QAE0 25744 24270000 PRN OTHER 01 8029000 16241000 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 33896 24509000 PRN OTHER 01 14487000 10022000 0 MICRON TECHNOLOGY INC NOTE 4.250%10/1 595112AJ2 6777 4104000 PRN OTHER 01 4104000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 12907 12292000 PRN SOLE 12292000 0 0 MOLSON COORS BREWING CO NOTE 2.500% 7/3 60871RAA8 9575 9163000 PRN OTHER 01 9163000 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 18798 10012000 PRN OTHER 01 2938000 7074000 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 9667 6650000 PRN OTHER 01 64000 6586000 0 NEWMONT MINING CORP NOTE 1.250% 7/1 651639AH9 18693 14795000 PRN OTHER 01 11694000 3101000 0 NEWPARK RES INC NOTE 4.000%10/0 651718AC2 5319 4797000 PRN OTHER 01 4797000 0 0 NII HLDGS INC NOTE 3.125% 6/1 62913FAJ1 3451 3430000 PRN SOLE 3430000 0 0 NORTEK INC COM NEW 656559309 590 14507 SH OTHER 01 02 03 05 10447 4060 0 NUVEEN CA DIVIDEND ADV MUN F COM SHS 67066Y105 401 27903 SH OTHER 01 17229 10674 0 NUVEEN CA MUN MKT OPPORTUNT COM 67062U107 1811 116832 SH OTHER 01 71630 45202 0 NUVEEN MICH QUALITY INCOME M COM 670979103 1706 112896 SH OTHER 01 89748 23148 0 NUVEEN PA INVT QUALITY MUN F COM 670972108 1374 88339 SH OTHER 01 78739 9600 0 NUVEEN PA PREM INCOME MUN FD COM 67061F101 1579 110423 SH OTHER 01 90423 20000 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 8840 186100 SH OTHER 01 23550 162550 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 27030 18574000 PRN OTHER 01 11634000 6940000 0 OMNICOM GROUP INC NOTE 7/0 681919AT3 2902 2491000 PRN SOLE 2491000 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 11109 10203000 PRN OTHER 01 10203000 0 0 OMNICOM GROUP INC NOTE 7/0 682134AA9 16893 15445000 PRN SOLE 15445000 0 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AG0 16631 14875000 PRN OTHER 01 10934000 3941000 0 ON SEMICONDUCTOR CORP NOTE 2.625%12/1 682189AH8 18150 15000000 PRN OTHER 01 3955000 11045000 0 PEABODY ENERGY CORP SDCV 4.750%12/1 704549AG9 49686 52101000 PRN OTHER 01 27366000 24735000 0 PPL CORP UNIT 99/99/9999 69351T601 18611 343652 SH OTHER 01 198052 145600 0 QUANTUM CORP COM DSSG 747906204 1255 479109 SH OTHER 01 0 479109 0 QUANTUM CORP NOTE 3.500%11/1 747906AG0 3620 3575000 PRN OTHER 01 0 3575000 0 ROVI CORP NOTE 2.625% 2/1 779376AB8 6967 6612000 PRN OTHER 01 46000 6566000 0 SALIX PHARMACEUTICALS INC COM 795435106 1727 32900 SH OTHER 01 0 32900 0 SALIX PHARMACEUTICALS INC NOTE 2.750% 5/1 795435AC0 26957 20111000 PRN OTHER 01 9290000 10821000 0 SANDISK CORP NOTE 1.000% 5/1 80004CAC5 2134 2129000 PRN SOLE 2129000 0 0 SANDISK CORP NOTE 1.500% 8/1 80004CAD3 27274 22965000 PRN OTHER 01 10314000 12651000 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 46230 36511000 PRN OTHER 01 16741000 19770000 0 SOTHEBYS NOTE 3.125% 6/1 835898AC1 9553 7500000 PRN OTHER 01 0 7500000 0 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 11043 11385000 PRN OTHER 01 293000 11092000 0 ST MARY LD & EXPL CO NOTE 3.500% 4/0 792228AD0 55780 42759000 PRN OTHER 01 20866000 21893000 0 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 38561 316057 SH OTHER 01 223057 93000 0 STANLEY WKS FRNT 5/1 854616AM1 5844 4897000 PRN OTHER 01 4897000 0 0 STANLEY WKS FRNT 5/1 854616AM1 1864 1562000 PRN SOLE 1562000 0 0 STEEL DYNAMICS INC NOTE 5.125% 6/1 858119AP5 23440 20625000 PRN OTHER 01 12461000 8164000 0 SYMANTEC CORP COM 871503108 8067 431400 SH OTHER 01 0 431400 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 20577 18312000 PRN OTHER 01 15018000 3294000 0 SYNOPSYS INC COM 871607107 13239 431800 SH OTHER 01 0 431800 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 44743 37999000 PRN OTHER 01 17480000 20519000 0 TERADYNE INC NOTE 4.500% 3/1 880770AE2 621 198000 PRN SOLE 198000 0 0 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 57468 52112000 PRN OTHER 01 28605000 23507000 0 TIDEWATER INC COM 886423102 6266 116000 SH OTHER 01 600 115400 0 TRANSOCEAN INC NOTE 1.500%12/1 893830AW9 14128 14248000 PRN OTHER 01 14094000 154000 0 TRANSOCEAN LTD REG SHS H8817H100 3233 59100 SH OTHER 01 0 59100 0 TRIUMPH GROUP INC NEW COM 896818101 9326 148842 SH OTHER 01 4084 144758 0 TTM TECHNOLOGIES INC COM 87305R109 575 50000 SH OTHER 01 0 50000 0 TTM TECHNOLOGIES INC NOTE 3.250% 5/1 87305RAC3 30524 28385000 PRN OTHER 01 13189000 15196000 0 U S CONCRETE INC COM NEW 90333L201 6843 1468526 SH OTHER 01 02 03 05 1178990 289536 0 UNITED STATES STL CORP NEW NOTE 4.000% 5/1 912909AE8 2808 2365000 PRN OTHER 01 1640000 725000 0 VALE CAP II GTD CV 6.75%12 91912F201 89 1400 SH SOLE 1400 0 0 VALE CAP II GTD CV 6.75%12 91912F201 4097 64708 SH OTHER 01 64708 0 0 VERIFONE SYS INC NOTE 1.375% 6/1 92342YAB5 21183 17708000 PRN OTHER 01 5421000 12287000 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 28179 21991000 PRN OTHER 01 7355000 14636000 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 29667 19374000 PRN OTHER 01 7591000 11783000 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 17256 10040000 PRN OTHER 01 0 10040000 0 WELLS FARGO & CO NEW PERP PFD CNV A 949746804 19715 17654 SH OTHER 01 14054 3600 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 29372 12160000 PRN OTHER 01 6661000 5499000 0 XILINX INC NOTE 2.625% 6/1 983919AF8 12740 9428000 PRN OTHER 01 1188000 8240000 0