Castle Creek Arbitrage

Castle Creek Arbitrage as of Sept. 30, 2011

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 88 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
Spdr S&p 500 Etf (SPY) 16.9 $269M 2.4M 113.15
Notes 6.1 $98M 48M 2.05
Borgwarner Inc note 3.500% 4/1 5.8 $93M 50M 1.85
E M C Corp Mass note 1.750%12/0 5.2 $84M 64M 1.31
Teradyne Inc note 4.500% 3/1 4.8 $76M 36M 2.12
Microchip Technology Inc sdcv 2.125%12/1 4.4 $70M 60M 1.16
Cephalon Inc note 2.500% 5/0 3.5 $56M 45M 1.24
Netapp Inc note 1.750% 6/0 2.6 $42M 35M 1.22
Alcoa Inc debt 2.5 $40M 24M 1.64
Laboratory Corp Amer Hldgs debt 2.4 $38M 36M 1.06
Alliance Data Systems Corp note 1.750% 8/0 2.3 $37M 29M 1.27
Oil Sts Intl Inc note 2.375% 7/0 2.2 $35M 21M 1.63
E M C Corp Mass note 1.750%12/0 2.1 $34M 24M 1.41
Smithfield Foods Inc note 4.000% 6/3 1.9 $31M 28M 1.11
General Mtrs Co *w exp 07/10/201 1.8 $29M 1.4M 20.18
Amerigroup Corp note 2.000% 5/1 1.7 $28M 26M 1.07
Mylan Inc note 1.250% 3/1 1.6 $25M 25M 1.00
Sesi L L C frnt 1.500%12/1 1.5 $24M 24M 1.00
General Mtrs Co *w exp 07/10/201 1.5 $24M 1.2M 20.18
Triumph Group Inc New note 2.625%10/0 1.2 $19M 11M 1.79
Forest City Enterprises Inc note 5.000%10/1 1.1 $18M 18M 1.05
Earthlink Inc note 3.250%11/1 1.1 $18M 18M 1.00
Jetblue Airways Corp dbcv 5.500%10/1 1.1 $17M 15M 1.18
L-3 Communications Corp debt 3.000% 8/0 1.0 $16M 17M 0.95
Lincare Hldgs Inc note 2.750%11/0 1.0 $16M 16M 1.03
Technology SPDR (XLK) 1.0 $15M 650k 23.60
Resolute Energy Corp *w exp 09/25/201 0.9 $14M 1.3M 11.36
Select Sector Spdr Tr sbi int-energy 0.9 $14M 240k 58.51
JPMorgan Chase & Co. (JPM) 0.9 $14M 462k 30.12
Alliant Techsystems Inc note 3.000% 8/1 0.9 $14M 14M 1.01
Best Buy Inc sdcv 2.250% 1/1 0.8 $13M 13M 1.00
Interpublic Group Cos Inc note 4.250% 3/1 0.8 $13M 13M 1.01
PowerShares DB US Dollar Index Bullish 0.7 $12M 523k 22.31
International Business Machines (IBM) 0.7 $11M 64k 174.87
United Therapeutics Corp Del note 0.500%10/1 0.7 $11M 11M 1.03
PowerShares QQQ Trust, Series 1 0.7 $11M 200k 52.49
General Motors Company (GM) 0.7 $11M 518k 20.18
Consumer Staples Select Sect. SPDR (XLP) 0.6 $10M 340k 29.66
Heckmann Corp *w exp 11/09/201 0.6 $9.3M 1.6M 5.90
Financial Select Sector SPDR (XLF) 0.6 $9.3M 785k 11.81
Consumer Discretionary SPDR (XLY) 0.6 $9.1M 260k 34.86
Cemex Sab conv 0.6 $9.2M 20M 0.47
Health Care SPDR (XLV) 0.6 $8.9M 280k 31.73
Industrial SPDR (XLI) 0.5 $8.5M 290k 29.22
Market Vectors Gold Miners ETF 0.5 $8.3M 150k 55.19
Jetblue Airways Corp dbcv 5.500% 10/1 0.5 $7.7M 6.9M 1.12
United Rentals Inc note 4.000%11/1 0.5 $7.6M 4.5M 1.68
Pdl Biopharma Inc note 3.750% 5/0 0.5 $7.3M 7.8M 0.94
Usec Inc note 3.000%10/0 0.4 $5.9M 11M 0.53
Trina Solar Limited note 4.000% 7/1 0.4 $5.7M 9.3M 0.61
Crown Holdings (CCK) 0.3 $5.5M 180k 30.61
Mf Global Hldgs Ltd note 3.375% 8/0 0.3 $5.3M 6.8M 0.79
Incyte Corp note 4.750%10/0 0.3 $4.8M 2.7M 1.78
Gilead Sciences conv 0.3 $4.8M 4.4M 1.09
SPDR S&P Retail (XRT) 0.3 $4.6M 100k 46.22
SPDR Gold Trust (GLD) 0.3 $4.5M 28k 158.05
Fresh Market 0.2 $3.8M 100k 38.16
Global Eagle Acquisition Cor *w exp 05/13/201 0.2 $3.8M 400k 9.50
Global Eagle Acquisition Cor 0.2 $3.8M 400k 9.50
Omnicare Inc note 3.750%12/1 0.2 $3.6M 3.2M 1.12
Terex Corp New note 4.000% 6/0 0.2 $3.5M 3.5M 0.99
Utilities SPDR (XLU) 0.2 $3.4M 100k 33.62
Cephalon Inc note 2.000% 6/0 0.2 $3.4M 2.0M 1.75
Whole Foods Market 0.2 $3.3M 50k 65.32
Theravance Inc note 3.000% 1/1 0.2 $3.1M 3.0M 1.04
Supervalu Inc note 11/0 0.2 $3.2M 7.8M 0.41
Usec 0.2 $3.2M 2.0M 1.61
Bank of America Corporation (BAC) 0.2 $3.1M 502k 6.12
Universal Business Pmt Sol A 0.2 $3.0M 519k 5.75
Universal Business Pmt Sol A *w exp 05/09/201 0.2 $3.0M 519k 5.75
Exterran Hldgs Inc note 4.250% 6/1 0.2 $2.9M 3.2M 0.92
iShares Silver Trust (SLV) 0.2 $2.9M 100k 28.92
Blue Wolf Mongolia Holdings 0.2 $2.6M 267k 9.58
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.2 $2.6M 267k 9.58
Brocade Communications Systems 0.1 $2.4M 5.6k 432.09
Materials SPDR (XLB) 0.1 $2.1M 70k 29.31
Conmed Corp note 2.500%11/1 0.1 $1.7M 1.7M 1.00
Discover Financial Services (DFS) 0.1 $1.4M 60k 22.93
AutoNation (AN) 0.1 $1.4M 44k 32.80
China Medical Technologies 0.1 $1.1M 229k 5.00
China Med Technologies Inc note 4.000% 8/1 0.1 $964k 1.6M 0.62
Omni (OMC) 0.1 $801k 22k 36.83
Eastman Kodak Co note 7.000% 4/0 0.1 $780k 3.0M 0.26
Sanofi Aventis Wi Conval Rt 0.0 $637k 601k 1.06
Amgen Inc note 3/0 0.0 $425k 538k 0.79
Micron Technology (MU) 0.0 $315k 63k 5.04
Alliance Data Systems Corporation (BFH) 0.0 $184k 200k 0.92
Radio One 0.0 $60k 50k 1.20