Cheyne Capital Management

Cheyne Capital Management as of June 30, 2011

Portfolio Holdings for Cheyne Capital Management

Cheyne Capital Management holds 23 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
Promotora De Informaciones S adr cl b conv 33.2 $16M 1.6M 9.95
L-1 Identity Solutions 23.5 $12M 980k 11.75
Vanguard European ETF (VGK) 6.2 $3.0M 57k 53.21
Elan Corporation 5.9 $2.9M 255k 11.37
Virgin Media 4.2 $2.1M 69k 29.93
Citigroup (C) 4.0 $2.0M 48k 41.64
Sesi L L C frnt 1.500%12/1 2.1 $1.0M 1.0M 1.02
Virgin Media Inc note 6.500%11/1 1.8 $895k 500k 1.79
E M C Corp Mass note 1.750%12/0 1.8 $875k 500k 1.75
Linear Technology Corp note 3.000% 5/0 1.8 $856k 800k 1.07
Amgen Inc note 0.375% 2/0 1.6 $758k 750k 1.01
Goldcorp Inc New note 2.000% 8/0 1.5 $756k 600k 1.26
Rti Intl Metals Inc note 3.000%12/0 1.3 $645k 500k 1.29
Ttm Technologies Inc note 3.250% 5/1 1.3 $635k 500k 1.27
Sandisk Corp note 1.500% 8/1 1.3 $636k 600k 1.06
Interpublic Group Cos Inc note 4.250% 3/1 1.2 $570k 500k 1.14
Covanta Holding Conv conv bnd 1.2 $570k 500k 1.14
Equinix Inc note 3.000%10/1 1.1 $560k 500k 1.12
Dendreon Corp note 1.1 $550k 500k 1.10
Amylin Pharmaceuticals Inc note 3.000% 6/1 1.1 $546k 600k 0.91
Mgm Mirage conv 1.1 $540k 500k 1.08
Sba Communications Corp note 4.000%10/0 0.9 $423k 300k 1.41
Stillwater Mng Co note 1.875% 3/1 0.7 $363k 300k 1.21