Waterstone Capital Management

Waterstone Capital Management as of Sept. 30, 2011

Portfolio Holdings for Waterstone Capital Management

Waterstone Capital Management holds 64 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
Netapp Inc note 1.750% 6/0 9.2 $161M 132M 1.22
Verisign Inc sdcv 3.250% 8/1 7.5 $131M 128M 1.02
Hologic Inc frnt 2.000%12/1 7.5 $130M 138M 0.94
Transocean Inc note 1.500%12/1 6.8 $119M 121M 0.98
Chesapeake Energy Corp note 2.500% 5/1 6.4 $111M 119M 0.94
Advanced Micro Devices Inc note 6.000% 5/0 6.4 $111M 113M 0.98
Microchip Technology Inc sdcv 2.125%12/1 5.2 $91M 79M 1.16
Cephalon Inc note 2.000% 6/0 4.4 $77M 44M 1.75
Xilinx Inc sdcv 3.125% 3/1 3.9 $67M 66M 1.01
Devon Energy Corporation (DVN) 3.8 $66M 1.2M 55.44
Lucent Technologies Inc dbcv 2.875% 6/1 2.7 $47M 51M 0.93
Exterran Hldgs Inc note 4.250% 6/1 2.7 $47M 51M 0.92
New York Cmnty Cap Tr V unit 99/99/9999 (NYCB.PU) 2.6 $46M 1.0M 45.31
Virgin Media Inc note 6.500%11/1 2.2 $39M 26M 1.51
Air Lease Corp (AL) 2.1 $37M 1.9M 19.20
Lincare Hldgs Inc note 2.750%11/0 2.0 $35M 34M 1.03
Aspen Insurance Holdings Ltd pfd prp inc eq 1.9 $33M 661k 49.65
Medtronic 1.8 $32M 950k 33.24
Mf Global Hldgs Ltd note 1.875% 2/0 1.6 $27M 34M 0.80
State Street Bank Financial 1.5 $27M 2.1M 12.62
Goldman Sachs (GS) 1.4 $25M 267k 94.55
Mf Global Hldgs Ltd note 3.375% 8/0 1.2 $21M 27M 0.79
Freeport-McMoRan Copper & Gold (FCX) 1.0 $18M 578k 30.45
Prologis Inc Cvt 2.625 05-15-3 convert 1.0 $17M 18M 0.99
Parker Drilling Co note 2.125% 7/1 0.9 $17M 17M 1.00
Delta Pete Corp note 3.750% 5/0 0.9 $16M 19M 0.88
Hill-Rom Holdings 0.9 $15M 500k 30.02
National-Oilwell Var 0.8 $15M 284k 51.22
MGM Resorts International. (MGM) 0.8 $14M 1.5M 9.29
General Motors Company (GM) 0.7 $12M 572k 20.18
Barrett Bill Corp note 5.000% 3/1 0.6 $9.9M 9.8M 1.01
Genworth Financial (GNW) 0.5 $8.8M 1.5M 5.74
USG Corporation 0.5 $8.7M 1.3M 6.73
Mylan 0.5 $8.3M 491k 16.99
Potash Corp. Of Saskatchewan I 0.5 $8.4M 194k 43.22
Zions Bancorporation *w exp 05/22/202 0.5 $7.9M 3.3M 2.40
Old Rep Intl Corp note 8.000% 5/1 0.4 $7.7M 7.5M 1.03
Hologic (HOLX) 0.4 $7.4M 484k 15.21
Quicksilver Resources Inc dbcv 1.875%11/0 0.4 $7.0M 7.0M 1.00
Phh Corp note 4.000% 4/1 0.4 $6.9M 7.0M 0.99
Energy Xxi 0.4 $6.5M 302k 21.48
Doral Financial 0.3 $5.0M 4.5M 1.09
Spansion 0.3 $4.9M 400k 12.22
Natus Medical 0.3 $4.8M 500k 9.51
Synovus Financial 0.3 $4.5M 4.2M 1.07
Old Republic International Corporation (ORI) 0.2 $4.4M 489k 8.92
Gap (GAP) 0.2 $4.1M 250k 16.24
Texas Industries 0.2 $3.6M 115k 31.74
Hospira 0.2 $3.5M 95k 37.00
Conceptus 0.2 $3.1M 300k 10.47
Sesi L L C frnt 1.500%12/1 0.1 $2.0M 2.0M 1.00
Supervalu 0.1 $1.7M 260k 6.66
Windstream Corporation 0.1 $1.5M 133k 11.65
Pilgrim's Pride Corporation (PPC) 0.1 $1.4M 318k 4.27
Ameristar Casinos 0.1 $1.2M 73k 16.05
General Mtrs Co *w exp 07/10/201 0.1 $1.1M 98k 11.66
General Mtrs Co *w exp 07/10/201 0.1 $1.3M 158k 7.94
Boyd Gaming Corporation (BYD) 0.1 $858k 175k 4.90
Jones Group 0.1 $921k 100k 9.21
Semgroup Corp cl a 0.1 $850k 43k 19.96
Sanofi Aventis Wi Conval Rt 0.1 $929k 876k 1.06
Cumulus Media 0.0 $762k 268k 2.84
Callaway Golf Company (MODG) 0.0 $92k 18k 5.18
Two Hbrs Invt Corp *w exp 07/13/201 0.0 $134k 671k 0.20