13F-HR 1 rockbay13fhr.txt 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, 2008 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: Rockbay Capital Management, LP Address: 600 Fifth Avenue, 24th Floor New York, New York 10020 Form 13F File Number: 28-10688 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. Persons Signing this Report on Behalf of Reporting Manager: Name: RCM Advisors, LLC, its general partner Name: Atul Khanna Title: Chief Executive Officer Phone: 212-332-4220 Signature, Place, and Date of Signing: /s/ Atul Khanna New York, NY 08/11/08 ---------------- -------------- -------------- [Signature] [City, State] [Date] Report Type (Check only one.): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager is reported in this report and a portion is reported by other reporting manager(s).)

TITLE OF VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER CLASS CUSIP (xX$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------------------------------ --------- --------- --------- --------- --------- --------- ------ -----~~-------------~~ ~~ADVO~~AXCELIS ~~Inc.~~TECHNOLOGIES INC COM ~~007585102~~054540109 63,~~687~~860 ~~239~~790,~~000~~900 SH DEFINED 01 ~~239~~790,~~000~~900 ~~Aether~~AMR ~~Holdings Inc~~CORP. COM ~~00809c106~~001765106 51,~~643~~332 ~~950~~260,~~000~~200 SH DEFINED 01 ~~950~~260,~~000~~200 ~~Affordable~~ATLAS ~~Residential~~AMERICA ~~Communities~~INC. COM ~~008273104~~049167109 2025,~~785~~881 2574,~~145,000~~497 SH DEFINED 01 2574,~~145,000~~497 ~~Altria~~BRUKER ~~Group~~CORP ~~Inc~~ COM ~~02209s103~~116794108 615,~~700~~561 871,~~528~~210,950 SH DEFINED 01 871,~~528 Altria Group Inc COM 02209s103 3~~210,~~828~~950 ~~50,000~~BOISE ~~CALL~~INC ~~DEFINED 01 50,000 Aquila Inc.~~ COM ~~03840p102~~09746Y105 187,~~879~~013 41,~~360~~821,~~000~~600 SH DEFINED 01 41,~~360~~821,~~000~~600 ~~Atlas~~CONSOL ~~America~~ENERGY ~~Inc~~INC. COM ~~049167109~~20854P109 2021,~~572~~384 ~~482~~190,~~000~~300 SH DEFINED 01 ~~482~~190,~~000~~300 ~~Banta~~CONSTELLATION ~~Corp~~ENERGY ~~COM~~GROUP ~~066821109 14,413 302,800 SH DEFINED 01 302,800 Bausch & Lomb Inc.~~ COM ~~071707103~~210371100 818,~~773~~883 ~~175~~230,000 SH DEFINED 01 ~~175~~230,000 ~~Embarq~~CONSUMER ~~Corp~~DISCRETIONARY SELT COM ~~29078e105~~81369Y407 257,~~636~~665 ~~530~~260,000 SH DEFINED 01 ~~530~~260,000 ~~Energy~~CVS ~~Partners~~CORP COM ~~29270u105~~126650100 918,~~170~~796 ~~372~~475,000 SH DEFINED 01 ~~372~~475,000 ~~Equitable~~EQUITABLE ~~Resources~~RESOURCES, ~~Inc~~INC COM 294549100 516,~~562~~389 ~~159~~237,~~000~~316 SH DEFINED 01 ~~159~~237,~~000~~316 ~~Federated~~ENTERGY ~~Department~~CORP ~~Stores~~ COM ~~31410h101~~29364G103 2911,~~750~~988 ~~688~~99,500 SH DEFINED 01 ~~688~~99,500 ~~First~~EXELON ~~Data~~CORP ~~Corp~~ COM ~~319963104~~30161N101 3114,~~416~~214 ~~748~~158,000 SH DEFINED 01 ~~748~~158,000 ~~Flowserve~~FOSTER ~~Corp~~WHEELER LTD. COM ~~34354p105~~G36535139 2716,~~572~~532 ~~545~~226,000 SH DEFINED 01 ~~545~~226,000 ~~Freescale~~GETTY ~~Semiconductor COM 35687m107 10~~IMAGES,~~926~~ ~~287,144~~INC. ~~SH DEFINED 01 287,144 Freescale Semiconductor~~ COM ~~35687m107~~374276103 171,~~123~~832 ~~450~~54,000 ~~CALL~~SH DEFINED 01 ~~450~~54,000 ~~Gencorp~~HALLIBURTON ~~Inc.~~COMPANY COM ~~368682100~~406216101 2229,~~027~~268 1551,~~715,~~500 SH DEFINED 01 1551,~~715,~~500 HJHECKMANN ~~Heinz~~CORP ~~Co.~~ COM ~~423074103~~422680108 87,~~386~~813 ~~200~~872,000 SH DEFINED 01 ~~200~~872,000 ~~Horizon~~HARVEST ~~Lines~~NATURAL ~~Inc.~~RESOURCES COM ~~44044k101~~41754V103 115,~~667~~364 ~~698~~485,~~600 SH DEFINED 01 698,600 Horizon Offshore, Inc COM 44043j204 8,978 525,~~000 SH DEFINED 01 ~~525~~485,000 ~~ICO~~ISHARES ~~Global~~TR ~~Communications~~RUSSELL ~~COM~~2000 ~~44930k108 6,193 1,058,641 SH DEFINED 01 1,058,641 Inco Ltd~~ COM ~~453258402~~464287655 35102,~~569~~194 ~~466,500 SH DEFINED 01 466,500 iShares Inc MSCI Hong Kong COM 464286871 14,120~~ 1,~~000~~480,000 ~~PUT~~SH DEFINED 01 1,~~000~~480,000 ~~iShares~~ISHARES ~~Trust~~TR ~~Russell~~RUSSELL 2000 COM 464287655 ~~378~~102,~~000~~194 51,~~250~~480,000 ~~PUT~~SH DEFINED 01 51,~~250~~480,000 ~~iShares~~JOY ~~Trust Russell 2000 COM 464287655 252~~GLOBAL,~~000~~ ~~3,500,000 CALL DEFINED 01 3,500,000 McDonald's Corp~~INC. COM ~~580135101~~481165108 1719,~~408~~488 ~~445~~257,000 SH DEFINED 01 ~~445~~257,000 MILEHMAN ~~Developments~~BROTHERS ~~Inc.~~HOLDINGS COM ~~55304x104~~524908100 134,~~304~~358 ~~365~~220,000 SH DEFINED 01 ~~365~~220,000 ~~MSC.Software~~MASSEY ~~Corp.~~ENERGY COM ~~553531104~~576206106 3314,~~042~~859 2158,~~145,608~~500 SH DEFINED 01 2158,~~145,608~~500 ~~Mueller~~MOSAIC ~~Waters~~CO/THE ~~Products, Inc~~ COM ~~624758108~~61945A107 721,~~228~~271 ~~494~~147,~~700~~000 SH DEFINED 01 ~~494~~147,~~700~~000 ~~Nelnet~~NRG ~~Inc~~ENERGY INC. COM ~~64031n108~~629377508 1338,~~397~~739 ~~435~~903,~~801 SH DEFINED 01 435,801 Northwestern Corp Warrant *W EXP 99/99/999 668074115 219 21,083 SH DEFINED 01 21,083 Northwestern Corporation COM 668074305 7,171 205,~~000 SH DEFINED 01 ~~205~~903,000 ~~Novelis~~PATRIOT ~~Inc.~~COAL CORPORATION COM ~~67000x106~~70336T104 1323,~~986~~837 ~~546~~155,~~550~~500 SH DEFINED 01 ~~546~~155,~~550~~500 ~~NRG~~RAM ~~Energy~~ENERGY ~~Inc.~~RESOURCES INC COM ~~629377508~~75130P109 2410,~~417~~364 ~~539~~1,645,000 SH DEFINED 01 ~~539~~1,645,000 ~~Penn~~RANGE ~~Virginia~~RESOURCES ~~Corp~~CORP COM ~~707882106~~75281A109 2816,~~327~~319 ~~446~~249,~~731~~000 SH DEFINED 01 ~~446~~249,~~731~~000 ~~Phelps~~RTI ~~Dodge~~BIOLOGICS ~~Corp~~INC. COM ~~717265102~~74975N105 232,~~377~~188 ~~276~~250,000 SH DEFINED 01 ~~276~~250,000 ~~PHH~~SERVICE ~~Corporation~~CORPORATION INTERNATIONAL COM ~~693320202~~817565104 1117,~~292~~578 ~~412,100 SH DEFINED 01 412,100 RAM Energy Resources CW08 *W EXP 99/99/999 75130p117~~ 1,~~516 1~~782,~~562,~~800 SH DEFINED 01 1,~~562~~782,800 ~~RAM~~SPDR ~~Energy~~S&P ~~Resources~~RETAIL ~~Inc~~ETF COM ~~75130p109~~78464A714 310,~~515~~526 ~~732~~360,~~290~~000 SH DEFINED 01 ~~732~~360,~~290~~000 ~~Reliant~~SPDR ~~Energy~~S&P ~~Inc~~HOMEBUILDERS ETF COM ~~75952b105~~78464A888 1311,~~012~~665 1710,~~057,~~000 SH DEFINED 01 1710,~~057,~~000 ~~Sears~~SOUTHERN ~~Hldgs~~UNION ~~Corp~~ COM ~~812350106~~844030106 ~~138~~25,~~645~~669 ~~877~~950,000 ~~CALL~~SH DEFINED 01 ~~877~~950,000 ~~Southern~~TRICO ~~Union~~MARINE CoSERVICES, INC. COM ~~844030106~~896106200 3322,~~224~~732 1624,~~258,000~~157 SH DEFINED 01 1624,~~258,000~~157 ~~TAL~~US ~~International~~AIRWAYS ~~Group~~GROUP ~~Inc~~INC COM ~~874083108~~90341W108 61,~~702~~350 ~~316~~540,000 SH DEFINED 01 ~~316~~540,000 ~~Universal~~URS ~~Compression~~CORP ~~Hldg~~ COM ~~913431102~~903236107 432,~~276~~317 80770,000 SH DEFINED 01 80770,000 ~~Univision~~THE ~~Communications~~WILLIAMS COMPANIES, ~~Inc.~~INC COM ~~914906102~~969457100 2832,~~365~~478 ~~826~~805,~~000~~700 SH DEFINED 01 ~~826~~805,~~000~~700 ~~W.R.~~WELLS ~~Grace~~FARGO & CoCO. COM ~~38388f108~~949746101 219,~~652~~000 ~~200~~800,000 SH DEFINED 01 ~~200~~800,000 ~~Wendy's~~YAHOO! ~~International~~INC ~~Inc.~~ COM ~~950590109~~984332AB2 3812,~~009~~396 ~~567~~600,~~300~~000 SH DEFINED 01 ~~567~~600,~~300~~000 ~~Wendys~~ZIMMER ~~Intl~~HOLDINGS ~~Inc~~INC ~~Ex Distribution~~ COM ~~950590125~~98956P102 321,~~889~~232 ~~122~~312,~~500 SH DEFINED 01 122,500 Yankee Candle Company COM 984757104 10,245 350,~~000 SH DEFINED 01 ~~350~~312,000 5039 1786,~~477,593~~529

FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 1 Form 13F Information Table Entry Total: 39 Form 13F Information Table Value Total: 786,529 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. [If there are no entries in this list, state "NONE" and omit the column headings and list entries.] No. Form 13F File Number Name 01 28- 11760 RCM Advisors, LLC

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