Castle Creek Arbitrage

Castle Creek Arbitrage as of Sept. 30, 2012

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 77 positions in its portfolio as reported in the September 2012 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Notes 7.6 $155M 51M 3.02
Gilead Sciences Inc note 0.625% 5/0 7.0 $141M 81M 1.74
Teradyne Inc note 4.500% 3/1 6.2 $125M 48M 2.62
Equinix Inc note 4.750% 6/1 5.1 $103M 41M 2.54
General Mtrs Co *w exp 07/10/201 5.1 $103M 4.5M 22.75
Microchip Technology Inc sdcv 2.125%12/1 5.0 $102M 81M 1.26
Wesco Intl Inc dbcv 6.000% 9/1 4.0 $80M 37M 2.15
Ual Corp note 6.000%10/1 3.9 $79M 34M 2.35
Spdr S&p 500 Etf (SPY) 3.5 $72M 500k 143.97
Sba Communications Corp note 4.000%10/0 3.1 $64M 30M 2.12
Virgin Media Inc note 6.500%11/1 3.1 $62M 36M 1.72
E M C Corp Mass note 1.750%12/0 2.7 $54M 31M 1.72
Alliance Data Systems Corp note 1.750% 8/0 2.6 $52M 29M 1.81
Verisign Inc sdcv 3.250% 8/1 2.4 $48M 31M 1.53
Omnicare Inc note 3.750%12/1 2.2 $45M 32M 1.41
Laboratory Corp Amer Hldgs debt 2.2 $45M 36M 1.24
International Business Machines (IBM) 2.0 $40M 192k 207.45
Market Vectors Gold Miners ETF 1.6 $32M 604k 53.71
General Motors Company (GM) 1.6 $32M 1.4M 22.75
United Rentals Inc note 4.000%11/1 1.6 $32M 11M 3.00
Financial Select Sector SPDR (XLF) 1.5 $31M 2.0M 15.60
Cemex Sab De Cv conv bnd 1.5 $30M 31M 0.99
Medicis Pharmaceutical conv 1.5 $30M 28M 1.08
Triumph Group Inc New note 2.625%10/0 1.3 $27M 12M 2.30
Incyte Corp note 4.750%10/0 1.3 $26M 12M 2.16
Cadence Design Sys Cvt 2.625 6 convert 1.2 $25M 14M 1.78
Forest City Enterprises Inc note 5.000%10/1 1.2 $24M 18M 1.36
Barclays Bk Plc ipth s^p vix 1.1 $23M 2.5M 9.00
CUBIST PHARM CONVERTIBLE security 1.1 $22M 13M 1.75
General Mtrs Co *w exp 07/10/201 1.1 $22M 964k 22.75
Pdl Biopharma Inc note 3.750% 5/0 1.1 $21M 17M 1.23
Chesapeake Energy Corp note 2.750%11/1 1.0 $21M 22M 0.95
Phh Corp cnv 0.8 $17M 9.5M 1.82
Jetblue Airways Corp dbcv 5.500%10/1 0.8 $17M 13M 1.29
Cemex Sab conv 0.7 $14M 14M 0.99
Seadrill 0.7 $13M 334k 39.22
Molson Coors Brewing Co note 2.500% 7/3 0.6 $13M 13M 1.03
AMERIGROUP Corporation 0.6 $13M 139k 91.43
Ford Motor Company (F) 0.6 $12M 1.2M 9.86
Bank of America Corporation (BAC) 0.5 $11M 1.2M 8.83
Yahoo! 0.5 $11M 659k 15.97
Molycorp Inc Del....... Note 6.0% 9/1/17 0.5 $9.9M 8.5M 1.16
Usec Inc note 3.000%10/0 0.5 $9.7M 23M 0.42
Jetblue Airways Corp dbcv 5.500% 10/1 0.4 $8.2M 6.9M 1.20
GROUP Affymetrix Inc cnv 0.4 $7.9M 8.2M 0.97
Six Flags Entertainment (SIX) 0.4 $7.4M 125k 58.80
Hyde Pk Acquisition Corp Ii 0.4 $7.4M 735k 10.05
Caterpillar (CAT) 0.3 $6.5M 75k 86.05
Netapp Inc note 1.750% 6/0 0.3 $6.3M 5.5M 1.14
Exelixis Inc cnv 0.3 $5.3M 5.0M 1.05
Illumina (ILMN) 0.2 $4.9M 102k 48.19
Global Eagle Acquisition Cor *w exp 05/13/201 0.2 $4.7M 474k 9.95
Global Eagle Acquisition Cor 0.2 $4.7M 474k 9.95
Dendreon Corp note 0.2 $4.5M 6.7M 0.67
Blue Wolf Mongolia Holdings 0.2 $3.4M 345k 9.82
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.2 $3.4M 345k 9.82
Cemex Sab De Cv conv bnd 0.2 $3.5M 3.5M 0.99
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
Aar Corp 1.625% conv 0.2 $3.3M 3.4M 0.97
Lucent Technologies Inc dbcv 2.750% 6/1 0.1 $3.0M 4.0M 0.76
Jabil Circuit (JBL) 0.1 $2.8M 148k 18.72
Molycorp Inc conv bnd 0.1 $2.8M 4.0M 0.70
Omni (OMC) 0.1 $2.4M 46k 51.56
Infinity Cross Border Acquisition unit 0.1 $2.4M 300k 8.11
China Growth Equity Inv Ltd *w exp 99/99/999 0.1 $2.1M 208k 9.95
China Growth Equity Inv 0.1 $2.1M 208k 9.95
Roi Acquisition 0.1 $1.9M 200k 9.65
Roi Acquisition Corp *w exp 02/28/201 0.1 $1.9M 200k 9.65
Forest City Enterprises conv 0.1 $2.1M 2.0M 1.05
Arvinmeritor Inc frnt 4.625% 3/0 0.1 $1.8M 2.0M 0.89
Trio Merget Corp Com Stk 0.1 $1.8M 180k 9.95
Usec 0.1 $1.6M 2.1M 0.78
Pdl Biopharma Inc cnv 0.1 $1.3M 1.0M 1.34
Moly 0.1 $1.2M 100k 11.50
Caesars Entertainment 0.1 $1.1M 155k 6.80
China Ceramics Co Ltd *w exp 11/16/201 0.0 $166k 90k 1.84