Waterstone Capital Management

Waterstone Capital Management as of June 30, 2011

Portfolio Holdings for Waterstone Capital Management

Waterstone Capital Management holds 62 positions in its portfolio as reported in the June 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Netapp Inc note 1.750% 6/0 10.3 $201M 118M 1.70
Verisign Inc sdcv 3.250% 8/1 8.4 $164M 143M 1.15
Chesapeake Energy Corp note 2.500% 5/1 6.5 $126M 119M 1.06
Microchip Technology Inc sdcv 2.125%12/1 5.5 $108M 79M 1.37
Hologic Inc frnt 2.000%12/1 5.4 $104M 109M 0.96
Virgin Media Inc note 6.500%11/1 4.8 $93M 52M 1.79
Xilinx Inc sdcv 3.125% 3/1 4.3 $84M 66M 1.27
Transocean Inc note 1.500%12/1 4.1 $80M 81M 0.98
Cephalon Inc note 2.000% 6/0 3.7 $72M 42M 1.73
MetLife (MET) 3.3 $64M 1.4M 43.87
Exterran Hldgs Inc note 4.250% 6/1 2.9 $57M 51M 1.11
Advanced Micro Devices Inc note 6.000% 5/0 2.8 $55M 54M 1.02
Devon Energy Corporation (DVN) 2.7 $52M 659k 78.81
New York Cmnty Cap Tr V unit 99/99/9999 (NYCB.PU) 2.5 $48M 1.0M 47.85
Freeport-McMoRan Copper & Gold (FCX) 2.2 $43M 813k 52.90
Lincare Hldgs Inc note 2.750%11/0 2.1 $41M 34M 1.18
Aspen Insurance Holdings Ltd pfd prp inc eq 1.8 $34M 661k 52.15
State Street Bank Financial 1.8 $34M 2.1M 16.37
Mylan 1.7 $32M 1.3M 24.67
Mf Global Hldgs Ltd note 1.875% 2/0 1.6 $31M 31M 0.99
Goldman Sachs (GS) 1.5 $29M 215k 133.09
Advanced Micro Devices Inc note 5.750% 8/1 1.4 $27M 26M 1.03
Capitalsource Inc sdcv 4.000% 7/1 1.4 $26M 26M 1.00
Zions Bancorporation *w exp 05/22/202 1.2 $24M 3.4M 6.91
Mosaic (MOS) 1.1 $22M 330k 67.73
Sesi L L C frnt 1.500%12/1 1.1 $21M 21M 1.02
National-Oilwell Var 1.0 $20M 254k 78.21
Erp Oper Ltd Partnership note 3.850% 8/1 1.0 $20M 19M 1.03
USG Corporation 0.9 $18M 1.3M 14.33
MGM Resorts International. (MGM) 0.9 $18M 1.3M 13.21
Parker Drilling Co note 2.125% 7/1 0.8 $16M 17M 0.99
Delta Pete Corp note 3.750% 5/0 0.8 $15M 17M 0.89
Genworth Financial (GNW) 0.8 $15M 1.4M 10.28
Lawson Software 0.7 $14M 1.3M 11.22
Barrett Bill Corp note 5.000% 3/1 0.6 $11M 11M 1.03
Visteon Corporation (VC) 0.6 $11M 155k 68.41
Energy Xxi 0.5 $10M 302k 33.22
Supervalu 0.5 $9.5M 1.0M 9.41
Plains Exploration & Production Company 0.4 $8.6M 225k 38.12
Semgroup Corp cl a 0.4 $8.6M 335k 25.67
Old Republic International Corporation (ORI) 0.4 $8.2M 701k 11.75
Evergreen Solar Inc note 13.000% 4/1 0.4 $8.0M 19M 0.43
Doral Financial 0.4 $7.2M 3.7M 1.96
Cabot Oil & Gas Corporation (CTRA) 0.3 $5.0M 75k 66.31
Nxp Semiconductors N V (NXPI) 0.2 $4.7M 175k 26.73
Gap (GPS) 0.2 $4.5M 250k 18.10
Air Lease Corp (AL) 0.2 $4.5M 185k 24.29
General Mtrs Co *w exp 07/10/201 0.2 $4.5M 211k 21.39
Stone Energy Corporation 0.2 $3.4M 113k 30.39
DEVELOPERS DIVERSIFIED RLTY Note 3.500% 8/1 debt 0.2 $3.5M 3.5M 1.01
General Mtrs Co *w exp 07/10/201 0.2 $3.5M 221k 15.93
Boyd Gaming Corporation (BYD) 0.2 $3.0M 350k 8.70
Tech Data Corporation 0.1 $2.5M 52k 48.88
Spansion 0.1 $2.3M 118k 19.27
Veno 0.1 $2.2M 175k 12.74
Pilgrim's Pride Corporation (PPC) 0.1 $2.2M 400k 5.41
Jones Group 0.1 $2.2M 200k 10.85
Swift Energy Company 0.1 $1.9M 50k 37.28
Windstream Corporation 0.1 $1.7M 133k 12.96
Patriot Coal Corp 0.1 $1.7M 75k 22.27
Sanofi Aventis Wi Conval Rt 0.1 $1.3M 550k 2.41
General Motors Company (GM) 0.1 $932k 31k 30.35