13F-HR 1 d13fhr.txt QUARTERLY REPORT FILED BY INSTITUTIONAL MANAGERS, HOLDINGS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: 30 September 2006 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 Limited Address: Stornoway House, 13 Cleveland Row, London SW1A 1DH Form 13F File Number: 28-11917 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: Simon James Title: Compliance Officer Phone: +44 (0)20 7031 7560 Signature, Place, and Date of Signing: /s/ Simon James London, England 13 November 2006 --------------- --------------- ---------------- [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: 118 Form 13F Information Table Value Total: (thousands) 946,030 Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. NONE 2

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