Cheyne Capital Management

Cheyne Capital Management as of Sept. 30, 2011

Portfolio Holdings for Cheyne Capital Management

Cheyne Capital Management holds 27 positions in its portfolio as reported in the September 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Ness Technologies 21.6 $11M 1.4M 7.66
Continucare Corporation 19.8 $9.9M 1.6M 6.36
Promotora De Informaciones S adr cl b conv 14.0 $7.1M 1.6M 4.41
Telephone & Data Sys Inc spl 12.9 $6.5M 330k 19.73
Arch Chemicals 7.6 $3.8M 82k 46.97
Csr 2.0 $1.0M 69k 14.61
Virgin Media Inc note 6.500%11/1 1.9 $982k 650k 1.51
Covanta Holding Conv conv bnd 1.5 $763k 700k 1.09
Goldcorp Inc New note 2.000% 8/0 1.5 $744k 600k 1.24
Sandisk Corp note 1.500% 8/1 1.2 $630k 600k 1.05
Mylan Inc note 1.250% 3/1 1.2 $600k 600k 1.00
Iconix Brand Group Inc note 1.875% 6/3 1.2 $594k 600k 0.99
Caci Intl Inc note 2.125% 5/0 1.1 $555k 500k 1.11
Chart Industries 2% conv 1.1 $552k 600k 0.92
Gilead Sciences conv 1.1 $545k 500k 1.09
Amylin Pharmaceuticals Inc note 3.000% 6/1 1.1 $534k 600k 0.89
Health Care Reit Inc note 3.000%12/0 1.1 $535k 500k 1.07
Equinix Inc note 3.000%10/1 1.0 $525k 500k 1.05
Rti Intl Metals Inc note 3.000%12/0 1.0 $505k 500k 1.01
Ttm Technologies Inc note 3.250% 5/1 1.0 $495k 500k 0.99
Johnson & Johnson (JNJ) 0.9 $478k 7.5k 63.73
Elan Corporation 0.9 $474k 45k 10.53
Cisco Systems (CSCO) 0.9 $465k 30k 15.50
Insulet Corporation Cvt 3.75 0 convert 0.9 $450k 500k 0.90
Sba Communications Corp note 4.000%10/0 0.8 $387k 300k 1.29
Morgan Stanley (MS) 0.5 $243k 18k 13.50
Promotora De Informaciones S adr cl b conv 0.0 $8.8k 294k 0.03