Castle Creek Arbitrage

Castle Creek Arbitrage as of June 30, 2012

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 72 positions in its portfolio as reported in the June 2012 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Spdr S&p 500 Etf (SPY) 9.8 $172M 1.3M 136.10
Notes 9.0 $157M 55M 2.87
Teradyne Inc note 4.500% 3/1 7.3 $128M 49M 2.62
Microchip Technology Inc sdcv 2.125%12/1 5.8 $100M 80M 1.25
Equinix Inc note 4.750% 6/1 5.5 $95M 43M 2.20
Wesco Intl Inc dbcv 6.000% 9/1 4.9 $86M 40M 2.16
General Mtrs Co *w exp 07/10/201 4.8 $84M 4.3M 19.72
International Business Machines (IBM) 3.4 $59M 300k 195.58
Virgin Media Inc note 6.500%11/1 3.3 $58M 39M 1.50
E M C Corp Mass note 1.750%12/0 3.1 $54M 33M 1.63
Alliance Data Systems Corp note 1.750% 8/0 3.0 $53M 31M 1.73
Laboratory Corp Amer Hldgs debt 2.6 $46M 37M 1.24
Omnicare Inc note 3.750%12/1 2.4 $43M 32M 1.32
Barclays Bk Plc ipth s^p vix 2.4 $42M 2.8M 15.21
Incyte Corp note 4.750%10/0 2.0 $34M 13M 2.65
United Rentals Inc note 4.000%11/1 1.9 $33M 11M 3.11
Market Vectors Gold Miners ETF 1.5 $27M 595k 44.77
Smithfield Foods Inc note 4.000% 6/3 1.4 $25M 23M 1.11
Triumph Group Inc New note 2.625%10/0 1.4 $24M 12M 2.07
Forest City Enterprises Inc note 5.000%10/1 1.3 $23M 18M 1.30
Chesapeake Energy Corp note 2.750%11/1 1.3 $22M 24M 0.92
Cemex Sab De Cv conv bnd 1.2 $22M 26M 0.84
General Mtrs Co *w exp 07/10/201 1.2 $21M 1.0M 19.72
Jetblue Airways Corp dbcv 5.500%10/1 1.2 $20M 15M 1.37
General Motors Company (GM) 1.1 $19M 980k 19.72
CUBIST PHARM CONVERTIBLE security 1.1 $19M 13M 1.44
Novellus Systems, Inc. note 2.625% 5/1 1.1 $19M 16M 1.24
Netapp Inc note 1.750% 6/0 1.1 $18M 16M 1.15
Pdl Biopharma Inc note 3.750% 5/0 1.0 $18M 16M 1.09
JPMorgan Chase & Co. (JPM) 1.0 $17M 474k 35.73
Phh Corp cnv 0.9 $15M 9.5M 1.61
Cemex Sab conv 0.9 $15M 17M 0.89
Seadrill 0.7 $12M 334k 35.52
Yahoo! 0.7 $12M 742k 15.83
Usec Inc note 3.000%10/0 0.6 $11M 22M 0.48
Cadence Design Sys Cvt 2.625 6 convert 0.6 $10M 6.5M 1.56
Jetblue Airways Corp dbcv 5.500% 10/1 0.5 $8.9M 6.9M 1.30
Hicks Acquisition Co Ii-cw17 0.5 $8.9M 900k 9.93
Boeing Company (BA) 0.5 $8.0M 108k 74.30
Aetna 0.5 $7.8M 200k 38.77
Carnival Corporation (CCL) 0.4 $6.9M 200k 34.27
Bank of America Corporation (BAC) 0.4 $6.3M 775k 8.18
Human Genome Sciences Inc note 2.250% 8/1 0.3 $5.7M 5.6M 1.01
Lincare Hldgs 2.75% 11/37 note 0.3 $5.0M 4.2M 1.20
Global Eagle Acquisition Cor *w exp 05/13/201 0.3 $4.6M 474k 9.77
Global Eagle Acquisition Cor 0.3 $4.6M 474k 9.77
United Auto Group Inc note 3.500% 4/0 0.2 $4.1M 4.5M 0.91
Illumina (ILMN) 0.2 $4.1M 102k 40.39
Pfizer (PFE) 0.2 $4.0M 175k 23.00
Sba Communications Corp note 4.000%10/0 0.2 $3.9M 2.0M 1.93
Trina Solar Limited note 4.000% 7/1 0.2 $3.4M 3.8M 0.89
Blue Wolf Mongolia Holdings 0.2 $3.4M 350k 9.68
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.2 $3.4M 350k 9.68
Aar Corp 1.625% conv 0.2 $3.2M 3.4M 0.95
Universal Business Pmt Sol A 0.2 $3.2M 525k 6.00
Universal Business Pmt Sol A *w exp 05/09/201 0.2 $3.2M 525k 6.00
Cemex Sab De Cv conv bnd 0.2 $3.0M 3.5M 0.85
Endeavour International C 0.2 $2.8M 335k 8.40
Red Hat 0.1 $2.5M 45k 56.49
Usec 0.1 $2.1M 2.1M 0.99
China Growth Equity Inv Ltd *w exp 99/99/999 0.1 $2.0M 208k 9.80
China Growth Equity Inv 0.1 $2.0M 208k 9.80
Roi Acquisition 0.1 $1.9M 200k 9.59
Roi Acquisition Corp *w exp 02/28/201 0.1 $1.9M 200k 9.59
Arvinmeritor Inc frnt 4.625% 3/0 0.1 $1.7M 2.0M 0.87
Omni (OMC) 0.1 $1.8M 37k 48.60
Trio Merget Corp Com Stk 0.1 $1.8M 180k 9.74
Caesars Entertainment 0.1 $1.1M 100k 11.40
RadioShack Corporation 0.1 $960k 250k 3.84
USD0.01 Hicks Acquisition Co Ii cmn 0.1 $971k 98k 9.93
Medicis Pharmaceutical Corporation 0.1 $898k 26k 34.15
China Ceramics Co Ltd *w exp 11/16/201 0.0 $276k 90k 3.07