Castle Creek Arbitrage

Castle Creek Arbitrage as of March 31, 2012

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 71 positions in its portfolio as reported in the March 2012 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Notes 8.0 $148M 55M 2.70
Teradyne Inc note 4.500% 3/1 7.8 $145M 46M 3.13
Borgwarner Inc note 3.500% 4/1 7.0 $129M 50M 2.57
Microchip Technology Inc sdcv 2.125%12/1 5.6 $103M 75M 1.38
Wesco Intl Inc dbcv 6.000% 9/1 4.5 $83M 34M 2.42
Apple (AAPL) 3.5 $64M 107k 599.55
Equinix Inc note 4.750% 6/1 3.2 $59M 30M 2.00
Oil Sts Intl Inc note 2.375% 7/0 3.0 $55M 23M 2.46
Netapp Inc note 1.750% 6/0 3.0 $55M 38M 1.45
Ual Corp note 6.000%10/1 2.9 $54M 21M 2.58
Alliance Data Systems Corp note 1.750% 8/0 2.7 $50M 31M 1.62
Market Vectors Gold Miners ETF 2.6 $48M 963k 49.54
Laboratory Corp Amer Hldgs debt 2.5 $46M 37M 1.23
Virgin Media Inc note 6.500%11/1 2.4 $45M 29M 1.55
General Mtrs Co *w exp 07/10/201 2.4 $44M 2.6M 16.63
Amerigroup Corp note 2.000% 5/1 2.3 $43M 27M 1.58
Eli Lilly & Co. (LLY) 2.1 $40M 980k 40.27
E M C Corp Mass note 1.750%12/0 2.1 $39M 21M 1.88
Gilead Sciences (GILD) 2.1 $39M 796k 48.86
United Rentals Inc note 4.000%11/1 2.1 $39M 10M 3.90
Spdr S&p 500 Etf (SPY) 2.0 $37M 260k 140.81
Yahoo! 1.8 $33M 2.2M 15.22
Cemex Sab conv 1.5 $28M 29M 0.95
Incyte Corp note 4.750%10/0 1.5 $27M 12M 2.30
Triumph Group Inc New note 2.625%10/0 1.4 $27M 12M 2.30
Smithfield Foods Inc note 4.000% 6/3 1.4 $26M 23M 1.13
Forest City Enterprises Inc note 5.000%10/1 1.3 $24M 18M 1.36
Alcoa Inc debt 1.2 $21M 13M 1.67
Barclays Bk Plc ipth s^p vix 1.1 $21M 1.2M 16.78
CUBIST PHARM CONVERTIBLE security 1.1 $20M 12M 1.60
Jetblue Airways Corp dbcv 5.500%10/1 1.1 $19M 15M 1.32
JPMorgan Chase & Co. (JPM) 0.9 $17M 367k 45.98
General Motors Company (GM) 0.9 $17M 922k 17.89
Pdl Biopharma Inc note 3.750% 5/0 0.9 $17M 16M 1.04
Resolute Energy Corp *w exp 09/25/201 0.9 $16M 1.4M 11.38
General Mtrs Co *w exp 07/10/201 0.9 $16M 1.4M 11.20
Omnicare Inc note 3.750%12/1 0.8 $15M 10M 1.46
Phh Corp cnv 0.8 $14M 9.5M 1.47
Seadrill 0.6 $12M 309k 37.51
Equinix Inc note 2.500% 4/1 0.5 $9.7M 6.9M 1.41
Knight Capital Group Inc. 3.50% dbcv 0.5 $9.7M 10M 0.96
Bank of America Corporation (BAC) 0.5 $8.9M 933k 9.57
Jetblue Airways Corp dbcv 5.500% 10/1 0.5 $8.5M 6.9M 1.24
Usec Inc note 3.000%10/0 0.4 $7.1M 14M 0.50
Kulicke & Soffa Inds Inc note 0.875% 6/0 0.3 $5.7M 5.6M 1.01
Golar Lng (GLNG) 0.3 $5.7M 150k 38.05
Human Genome Sciences Inc note 2.250% 8/1 0.3 $5.7M 5.6M 1.01
Trina Solar Limited note 4.000% 7/1 0.3 $5.3M 5.8M 0.91
Medco Health Solutions 0.3 $5.3M 75k 70.31
Illumina (ILMN) 0.3 $5.3M 102k 52.61
Lincare Hldgs 2.75% 11/37 note 0.2 $4.3M 4.2M 1.03
Universal Business Pmt Sol A 0.2 $3.1M 525k 5.87
Universal Business Pmt Sol A *w exp 05/09/201 0.2 $3.1M 525k 5.88
Marvell Technology Group Ltd ord 0.2 $3.1M 200k 15.73
Lincare Hldgs Inc note 2.750%11/0 0.1 $2.8M 2.5M 1.11
Xl Group 0.1 $2.6M 120k 21.69
Blue Wolf Mongolia Holdings 0.1 $2.6M 267k 9.73
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.1 $2.6M 267k 9.73
Usec 0.1 $2.2M 2.1M 1.06
China Growth Equity Inv Ltd *w exp 99/99/999 0.1 $2.0M 208k 9.61
ROI ACQUISITION Corp unit 99/99/9999 0.1 $2.0M 200k 10.00
Arvinmeritor Inc frnt 4.625% 3/0 0.1 $1.9M 2.0M 0.93
Omni (OMC) 0.1 $1.6M 32k 50.65
BMC Software 0.1 $840k 150k 5.60
Micron Technology (MU) 0.1 $878k 109k 8.09
Hicks Acquisition Co Ii-cw17 0.1 $960k 98k 9.82
USD0.01 Hicks Acquisition Co Ii cmn 0.1 $960k 98k 9.82
Nokia Corp opt 0.0 $549k 100k 5.49
China Ceramics Co Ltd *w exp 11/16/201 0.0 $359k 90k 3.99
Blue Wolf Mongolia Holdings unit 99/99/9999 0.0 $305k 29k 10.37
Global Eagle Acquisition Cor unit 99/99/9999 0.0 $122k 12k 10.18