Castle Creek Arbitrage

Castle Creek Arbitrage as of Dec. 31, 2011

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 78 positions in its portfolio as reported in the December 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Notes 8.9 $121M 54M 2.26
Teradyne Inc note 4.500% 3/1 8.7 $118M 46M 2.56
Borgwarner Inc note 3.500% 4/1 7.2 $98M 50M 1.95
Oil Sts Intl Inc note 2.375% 7/0 4.0 $54M 23M 2.41
Netapp Inc note 1.750% 6/0 3.4 $46M 37M 1.26
Laboratory Corp Amer Hldgs debt 3.1 $43M 37M 1.15
Alliance Data Systems Corp note 1.750% 8/0 3.1 $42M 31M 1.38
Alcoa Inc debt 3.1 $42M 28M 1.52
Omnicare Inc note 3.750%12/1 2.9 $39M 28M 1.40
Virgin Media Inc note 6.500%11/1 2.9 $39M 28M 1.39
Amerigroup Corp note 2.000% 5/1 2.8 $38M 27M 1.40
E M C Corp Mass note 1.750%12/0 2.7 $37M 25M 1.44
Smithfield Foods Inc note 4.000% 6/3 2.5 $34M 28M 1.22
General Mtrs Co *w exp 07/10/201 2.1 $29M 1.4M 20.27
Cemex Sab conv 2.0 $28M 42M 0.66
Mylan Inc note 1.250% 3/1 2.0 $27M 27M 1.01
Spdr S&p 500 Etf (SPY) 1.8 $25M 200k 125.50
Triumph Group Inc New note 2.625%10/0 1.8 $25M 12M 2.15
Incyte Corp note 4.750%10/0 1.6 $22M 12M 1.88
Jetblue Airways Corp dbcv 5.500%10/1 1.5 $20M 15M 1.37
Technology SPDR (XLK) 1.4 $20M 769k 25.45
Forest City Enterprises Inc note 5.000%10/1 1.4 $20M 18M 1.12
Wesco Intl Inc dbcv 6.000% 9/1 1.4 $19M 9.6M 2.03
General Mtrs Co *w exp 07/10/201 1.4 $19M 955k 20.27
Lincare Hldgs Inc note 2.750%11/0 1.3 $18M 17M 1.09
General Motors Company (GM) 1.3 $18M 873k 20.27
CUBIST PHARM CONVERTIBLE security 1.3 $18M 12M 1.50
Resolute Energy Corp *w exp 09/25/201 1.1 $15M 1.4M 10.80
Yahoo! 1.1 $15M 910k 16.13
Market Vectors Gold Miners ETF 1.0 $14M 272k 51.43
Alliant Techsystems Inc note 3.000% 8/1 1.0 $14M 14M 1.03
Best Buy Inc sdcv 2.250% 1/1 1.0 $14M 14M 1.00
Interpublic Group Cos Inc note 4.250% 3/1 1.0 $13M 13M 1.01
SPDR Gold Trust (GLD) 0.8 $11M 75k 151.99
Trina Solar Limited note 4.000% 7/1 0.8 $11M 14M 0.77
Consumer Staples Select Sect. SPDR (XLP) 0.8 $11M 339k 32.49
Pdl Biopharma Inc note 3.750% 5/0 0.8 $11M 11M 1.01
Health Care SPDR (XLV) 0.8 $11M 307k 34.69
Financial Select Sector SPDR (XLF) 0.8 $10M 789k 13.00
Consumer Discretionary SPDR (XLY) 0.8 $10M 264k 39.02
Industrial SPDR (XLI) 0.7 $10M 296k 33.75
Seadrill 0.7 $10M 300k 33.18
Energy Select Sector SPDR (XLE) 0.7 $9.0M 131k 69.13
Knight Capital Group Inc. 3.50% dbcv 0.7 $8.8M 9.8M 0.90
Jetblue Airways Corp dbcv 5.500% 10/1 0.6 $8.8M 6.9M 1.28
Pharmasset 0.6 $8.3M 65k 128.21
JPMorgan Chase & Co. (JPM) 0.6 $8.3M 248k 33.25
L-3 Communications Corp debt 3.000% 8/0 0.5 $7.4M 7.8M 0.96
Barclays Bk Plc ipth s^p vix 0.5 $7.1M 200k 35.53
Gilead Sciences conv 0.4 $5.9M 5.4M 1.09
Usec Inc note 3.000%10/0 0.4 $5.1M 11M 0.46
Raytheon Company 0.3 $4.8M 100k 48.38
Bank of America Corporation (BAC) 0.3 $3.9M 700k 5.56
Global Eagle Acquisition Cor *w exp 05/13/201 0.3 $3.8M 400k 9.60
Global Eagle Acquisition Cor 0.3 $3.8M 400k 9.60
Utilities SPDR (XLU) 0.3 $3.5M 98k 35.98
Human Genome Sciences 0.3 $3.5M 478k 7.39
Theravance Inc note 3.000% 1/1 0.2 $3.2M 3.0M 1.07
Universal Business Pmt Sol A 0.2 $3.1M 525k 5.81
Universal Business Pmt Sol A *w exp 05/09/201 0.2 $3.1M 525k 5.81
Exterran Hldgs Inc note 4.250% 6/1 0.2 $2.8M 3.2M 0.89
Marvell Technology Group 0.2 $2.8M 200k 13.85
Materials SPDR (XLB) 0.2 $2.7M 79k 33.50
Blue Wolf Mongolia Holdings 0.2 $2.6M 267k 9.62
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.2 $2.6M 267k 9.62
Usec 0.2 $2.3M 2.0M 1.14
Arvinmeritor Inc frnt 4.625% 3/0 0.1 $1.5M 2.0M 0.75
Discover Financial Services 0.1 $1.4M 60k 24.00
AutoNation (AN) 0.1 $1.3M 34k 36.87
Omni (OMC) 0.1 $1.2M 27k 44.60
PowerShares DB US Dollar Index Bullish 0.1 $899k 40k 22.48
Sanofi Aventis Wi Conval Rt 0.1 $884k 737k 1.20
AMR Corporation 0.1 $700k 2.0M 0.35
Amgen Inc note 3/0 0.0 $425k 538k 0.79
Micron Technology (MU) 0.0 $399k 64k 6.28
Alliance Data Systems Corporation (BFH) 0.0 $208k 200k 1.04
Blue Wolf Mongolia Holdings unit 99/99/9999 0.0 $217k 22k 10.05
Radio One 0.0 $50k 50k 1.00