Waterstone Capital Management

Waterstone Capital Management as of March 31, 2011

Portfolio Holdings for Waterstone Capital Management

Waterstone Capital Management holds 65 positions in its portfolio as reported in the March 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 $203M 128M 1.58
Verisign Inc sdcv 3.250% 8/1 8.4 $184M 151M 1.22
Chesapeake Energy Corp note 2.500% 5/1 7.1 $155M 144M 1.08
Virgin Media Inc note 6.500%11/1 6.1 $134M 80M 1.69
Microchip Technology Inc sdcv 2.125%12/1 4.9 $107M 79M 1.36
Hologic Inc frnt 2.000%12/1 4.9 $107M 110M 0.97
Transocean Inc note 1.500%12/1 3.9 $85M 86M 0.98
Xilinx Inc sdcv 3.125% 3/1 3.5 $78M 66M 1.17
New York Cmnty Cap Tr V unit 99/99/9999 (NYCB.PU) 3.5 $76M 1.5M 50.37
Exterran Hldgs Inc note 4.250% 6/1 2.9 $63M 51M 1.24
MetLife (MET) 2.9 $63M 1.4M 44.73
Advanced Micro Devices Inc note 6.000% 5/0 2.5 $55M 54M 1.03
Svb Finl Group debt 2.4 $53M 52M 1.03
Freeport-McMoRan Copper & Gold (FCX) 2.2 $48M 863k 55.55
Chesapeake Energy Corp note 2.500% 5/1 2.1 $47M 44M 1.08
Devon Energy Corporation (DVN) 2.1 $46M 500k 91.77
Cephalon Inc note 2.000% 6/0 2.0 $44M 27M 1.67
Lincare Hldgs Inc note 2.750%11/0 1.9 $41M 34M 1.19
Aspen Insurance Holdings Ltd pfd prp inc eq 1.5 $33M 611k 54.17
Allergan Inc note 1.500% 4/0 1.4 $32M 29M 1.12
Mf Global Hldgs Ltd note 1.875% 2/0 1.4 $32M 31M 1.03
American Med Sys Hldgs Inc note 4.000% 9/1 1.4 $30M 23M 1.34
Mylan 1.4 $30M 1.3M 22.66
Life Technologies 1.3 $28M 538k 52.42
Advanced Micro Devices Inc note 5.750% 8/1 1.2 $27M 26M 1.04
Barrett Bill Corp note 5.000% 3/1 1.2 $25M 25M 1.03
Prologis debt 1.1 $25M 25M 1.00
Zions Bancorporation *w exp 05/22/202 1.1 $25M 3.6M 6.90
Anadarko Petroleum Corporation 1.1 $24M 287k 81.92
Mosaic Company 1.1 $24M 300k 78.75
Erp Oper Ltd Partnership note 3.850% 8/1 0.9 $20M 19M 1.04
General Cable Corp Del New note 0.875%11/1 0.9 $19M 18M 1.10
Sesi L L C frnt 1.500%12/1 0.9 $19M 18M 1.06
Semgroup Corp cl a 0.8 $17M 596k 28.16
Parker Drilling Co note 2.125% 7/1 0.8 $17M 17M 1.00
USG Corporation 0.7 $16M 962k 16.66
MGM Resorts International. (MGM) 0.7 $16M 1.2M 13.15
National-Oilwell Var 0.7 $14M 180k 79.27
Genworth Financial (GNW) 0.6 $14M 1.0M 13.46
Delta Pete Corp note 3.750% 5/0 0.6 $14M 16M 0.88
Talecris Biotherapeutics Holdings 0.6 $13M 474k 26.80
BP (BP) 0.5 $11M 241k 44.14
Dean Foods Company 0.5 $10M 1.0M 10.00
Transocean Inc note 1.500%12/1 0.5 $10M 10M 1.00
Plains Exploration & Production Company 0.4 $8.3M 228k 36.23
Visteon Corporation (VC) 0.4 $7.8M 125k 62.49
Old Republic International Corporation (ORI) 0.3 $6.8M 540k 12.69
Supervalu 0.3 $6.7M 750k 8.93
Cemex SAB de CV (CX) 0.2 $4.4M 488k 8.93
DEVELOPERS DIVERSIFIED RLTY Note 3.500% 8/1 debt 0.2 $3.5M 3.5M 1.01
Spansion 0.1 $3.2M 173k 18.67
Nxp Semiconductors N V (NXPI) 0.1 $3.1M 105k 29.96
Nasdaq Omx (NDAQ) 0.1 $2.6M 100k 25.84
Boyd Gaming Corporation (BYD) 0.1 $2.4M 260k 9.37
Windstream Corporation 0.1 $2.2M 173k 12.88
Cincinnati Bell 0.1 $2.2M 825k 2.68
Stone Energy Corporation 0.1 $2.1M 63k 33.37
Patriot Coal Corp 0.1 $1.9M 75k 25.83
Western Refining 0.1 $1.8M 106k 16.95
Swift Energy Company 0.1 $1.6M 37k 42.67
Industries N shs - a - (LYB) 0.1 $1.5M 37k 39.54
Capitalsource Inc sdcv 4.000% 7/1 0.1 $1.0M 1.0M 1.00
International Coal 0.1 $1.1M 100k 11.30
Tech Data Corporation 0.0 $356k 7.0k 50.86
Doral Financial 0.0 $296k 269k 1.10