UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: March 31, 2013
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Cheyne Capital Management (UK) LLP
Address: Stornoway House, 13 Cleveland Row, London SW1A 1DH
Form 13F File Number: 028-12483
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Peter Head
Title: Compliance Officer
Phone: +44 (0)20 7968 7378
Signature, Place, and Date of Signing:
/s/ Peter Head London, England May 15, 2013
-------------- --------------- ------------
[Signature] [City, State] [Date]
Report Type (Check only one):
[x] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings reported are in this report,
and all holdings are reported by other reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for
this reporting manager are reported in this report and a portion are reported by
other reporting manager(s).)
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: Nil
Form 13F Information Table Entry Total: 33
Form 13F Information Table Value Total: $64,005
(thousands)
CHEYNE CAPITAL MANAGEMENT (UK) LLP
Form 13F Information Table
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SHRS OR
VALUE PRN SHRS/ PUT/ INVESTMENT OTHER
NAME TITLE OF CLASS CUSIP X$1000 AMOUNT PRN CALL DISCRETION MANAGERS VOTING AUTHORITY
SOLE SHARED NONE
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AGCO CORP NOTE 1.250%12/1 001084AM4 31 1000000 PRN SOLE 1000000
AUTOLIV INC COM 052800109 443 6420 SHRS SOLE 6420
BANK OF AMERICA CORPORATION COM 060505104 122 10000 SHRS SOLE 10000
BARRICK GOLD CORP COM 067901108 588 20000 SHRS SOLE 20000
BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 59 1000000 PRN SOLE 1000000
CACI INTL INC NOTE 2.125% 5/0 127190AD8 10 1500000 PRN SOLE 1500000
CHART INDS INC NOTE 2.000% 8/0 16115QAC4 1632 1200000 PRN SOLE 1200000
CHARTER COMMUNICATIONS INC D CL A NEW 16117M305 2917 28000 SHRS SOLE 28000
CITIGROUP INC COM NEW 172967424 1186 26800 SHRS SOLE 26800
COBALT INTL ENERGY INC NOTE 2.625%12/0 19075FAA4 1665 1500000 PRN SOLE 1500000
CVR ENERGY INC COM 12662P108 285 730169 SHRS SOLE 730169
DELL INC COM 24702R101 465 3000 SHRS SOLE 3000
DELL INC COM 24702R101 1230 16625 SHRS SOLE 16625
DELTA AIR LINES INC COM NEW 247361702 719 43676 SHRS SOLE 43676
ELAN PLC ADR 284131208 3747 317500 SHRS SOLE 317500
FAMILY DLR STORES INC COM 307000109 591 10000 SHRS SOLE 10000
HARRIS TEETER SUPERMARKETS I COM 414585109 2054 48089 SHRS SOLE 48089
INSULET CORP NOTE 3.750% 6/1 45784PAC5 589 500000 PRN SOLE 500000
JPMORGAN CHASE & CO COM 46625H100 902 19000 SHRS SOLE 19000
LOUISIANA PAC CORP COM 546347105 864 40000 SHRS SOLE 40000
MERITAGE HOMES CORP NOTE 1.875% 9/1 59001AAR3 1689 1500000 PRN SOLE 1500000
METALS USA HLDGS CORP COM 59132A104 4130 200000 SHRS SOLE 200000
MONSANTO CO NEW COM 61166W101 581 5500 SHRS SOLE 5500
MORGAN STANLEY COM NEW 617446448 1112 50600 SHRS SOLE 50600
NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 1815 1500000 PRN SOLE 1500000
NVR INC COM 62944T105 1810 1676 SHRS SOLE 1676
OBAGI MEDICAL PRODUCTS INC COM 67423R108 11877 601363 SHRS SOLE 601363
PROLOGIS NOTE 3.250% 3/1 74340XAT8 1161 1000000 PRN SOLE 1000000
SANDISK CORP NOTE 1.500% 8/1 80004CAD3 1287 1000000 PRN SOLE 1000000
VARIAN MED SYS INC COM 92220P105 2160 30000 SHRS SOLE 30000
VIRGIN MEDIA INC COM 92769L101 14265 291300 SHRS SOLE 291300
WELLS FARGO & CO NEW COM 949746101 832 22500 SHRS SOLE 22500
XPO LOGISTICS INC NOTE 4.500%10/0 983793AA8 1187 1000000 PRN SOLE 1000000