Castle Creek Arbitrage

Castle Creek Arbitrage as of June 30, 2013

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 90 positions in its portfolio as reported in the June 2013 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Alliance Data Systems Corp Note 4.750% 5/1 (Principal) 10.6 $233M 61M 3.81
Teradyne Note 4.500% 3/1 (Principal) 6.7 $147M 46M 3.22
Microchip Technology SDCV 2.125%12/1 (Principal) 6.1 $134M 92M 1.45
Equinix Note 4.750% 6/1 (Principal) 4.3 $95M 42M 2.27
WESCO International DBCV 6.000% 9/1 (Principal) 4.3 $95M 39M 2.46
Priceline Note 1.250% 3/1 (Principal) 3.9 $86M 32M 2.73
SBA Communications Corp Note 4.000%10/0 (Principal) 3.8 $85M 34M 2.46
Cemex SAB de CV Note 3.750% 3/1 (Principal) 3.6 $79M 64M 1.24
VeriSign SDCV 3.250% 8/1 (Principal) 3.6 $78M 56M 1.41
Cadence Design Systems Note 2.625% 6/0 (Principal) 3.6 $78M 40M 1.95
Alliance Data Systems Corp Note 1.750% 8/0 (Principal) 2.9 $64M 28M 2.28
Hertz Global Holdings Note 5.250% 6/0 (Principal) 2.8 $63M 21M 3.01
United Rentals Note 4.000%11/1 (Principal) 2.7 $59M 13M 4.50
Omnicare Note 3.750%12/1 (Principal) 2.6 $57M 31M 1.86
Laboratory Corp of America Holdings Note 9/1 (Principal) 2.2 $48M 36M 1.34
SPDR S&P 500 ETF Tr Tr Unit Put Option (SPY) 1.9 $43M 267k 160.42
Triumph Group Note 2.625%10/0 (Principal) 1.8 $39M 14M 2.91
SunPower Corp DBCV 4.750% 4/1 (Principal) 1.7 $38M 35M 1.07
Salesforce.com Note 0.750% 1/1 (Principal) 1.4 $32M 18M 1.81
General Motors Company (GM) 1.3 $29M 863k 33.31
EMC Corp Mass Note 1.750%12/0 (Principal) 1.2 $27M 18M 1.48
Forest City Enterprises Note 5.000%10/1 (Principal) 1.2 $26M 18M 1.48
United Therapeutics Corp Note 1.000% 9/1 (Principal) 1.0 $23M 16M 1.46
PDL BioPharma Note 3.750% 5/0 (Principal) 1.0 $22M 17M 1.24
Hologic FRNT 2.000%12/1 (Principal) 1.0 $21M 21M 1.00
Micron Technology Note 1.500% 8/o (Principal) 0.9 $21M 14M 1.54
Goldcorp Note 2.000% 8/0 (Principal) 0.9 $21M 21M 1.01
JetBlue Airways Corp DBCV 5.500%10/1 (Principal) 0.9 $21M 13M 1.56
DR Horton Note 2.000% 5/1 (Principal) 0.9 $20M 12M 1.67
PHH Corp Note 6.000% 6/1 (Principal) 0.9 $20M 11M 1.80
General Mtrs *w Exp 07/10/201 0.9 $20M 590k 33.31
Molycorp Note 6.000% 9/0 (Principal) 0.9 $19M 25M 0.76
SemGroup Corp *w Exp 11/30/201 0.8 $17M 309k 53.86
Cemex SAB de CV Note 4.875% 3/1 (Principal) 0.7 $16M 14M 1.15
Tesla Mtrs Note 1.500% 6/0 (Principal) 0.7 $16M 14M 1.13
Health Care REIT Note 3.000%12/0 (Principal) 0.7 $15M 12M 1.32
Molson Coors Brewing Note 2.500% 7/3 (Principal) 0.7 $15M 15M 1.01
Seadrill SHS Put Option 0.6 $14M 334k 40.74
Archer-Daniels-Midland Note 0.875% 2/1 (Principal) 0.5 $12M 12M 1.01
Chesapeake Energy Corp Note 2.750%11/1 (Principal) 0.5 $12M 12M 1.00
Allegheny Technologies Note 4.250% 6/0 (Principal) 0.5 $11M 10M 1.03
UAL Corp Note 6.000%10/1 (Principal) 0.5 $10M 2.8M 3.66
Equinix Note 3.000%10/1 (Principal) 0.5 $10M 5.9M 1.69
JetBlue Airways Corp DBCV 5.500%10/1 (Principal) 0.4 $9.7M 6.9M 1.42
Omnicare Capital Trust II PFD B TR 4.00% (Principal) 0.4 $9.6M 163k 58.78
Cadence Design Systems Note 1.500%12/1 (Principal) 0.4 $9.3M 9.2M 1.00
Affymetrix Note 4.000% 7/0 (Principal) 0.4 $8.3M 8.4M 0.99
Capitol Acquisition Corp II Unit 99/99/9999 0.4 $8.3M 820k 10.10
Teradyne Put Option (TER) 0.4 $8.1M 460k 17.57
Cadence Design Systems Put Option (CDNS) 0.4 $8.0M 550k 14.48
JAKKS Pacific Note 4.500%11/0 (Principal) 0.4 $7.9M 7.8M 1.02
Molycorp Note 3.250% 6/1 (Principal) 0.4 $7.9M 12M 0.68
Micron Technology Note 1.875% 8/o (Principal) 0.4 $7.8M 5.0M 1.56
Hyde Pk Acquisition Corp Ii 0.3 $7.6M 735k 10.36
Molycorp Note 5.500% 2/0 (Principal) 0.3 $7.5M 7.7M 0.98
HF2 Finl Mgmt Cl A 0.3 $6.8M 670k 10.11
Newmont Mining Corp Note 1.250% 7/1 (Principal) 0.3 $6.6M 6.5M 1.01
Powershares QQQ Trust Unit Ser I Put Option 0.3 $6.2M 87k 71.27
Microchip Technology Put Option (MCHP) 0.3 $5.6M 150k 37.25
Moly Put Option 0.3 $5.6M 900k 6.20
Alliance Data Systems Corporation Put Option (BFH) 0.2 $5.4M 30k 181.03
Usec Note 3.000%10/0 (Principal) 0.2 $5.4M 26M 0.21
Walter Invt Mgmt Corp Note 4.500%11/o (Principal) 0.2 $5.3M 5.3M 1.01
SunPower Corp DBCV 4.500% 3/1 (Principal) 0.2 $5.3M 4.5M 1.17
Owens Corning *w Exp 10/31/201 0.2 $5.2M 134k 39.08
Exelixis Note 4.250% 8/1 (Principal) 0.2 $4.8M 5.0M 0.97
Vertex Pharmaceuticals Incorporated Put Option (VRTX) 0.2 $4.8M 60k 80.07
United States Stl Corp Note 4.000% 5/1 (Principal) 0.2 $4.6M 4.5M 1.03
WESCO International Put Option (WCC) 0.2 $4.1M 60k 67.97
Chart Acquisition Corp *w Exp 12/19/201 0.2 $4.0M 400k 10.07
Infinity Cross Border Acquisition Corp *W Exp 07/25/201 0.2 $3.9M 500k 7.84
Market Vectors ETF TR Gold Miner ETF Call Option 0.2 $3.9M 160k 24.49
Lucent Technologies DBCV 2.875% 6/1 (Principal) 0.2 $3.9M 4.0M 0.97
Zions Bancorporation *w Exp 05/22/202 0.2 $3.8M 130k 28.92
Blue Wolf Mongolia Holdings *W Exp 07/20/201 0.2 $3.5M 345k 10.00
PNC Finl Svcs Group *w Exp 12/31/201 0.2 $3.3M 46k 72.92
Horsehead Holding Corp Note 3.800%7/0 (Principal) 0.1 $3.2M 3.0M 1.08
ArcelorMittal Note 5.000% 5/1 (Principal) 0.1 $2.9M 2.8M 1.02
Chemed Corp Note 1.875% 5/1 (Principal) 0.1 $2.1M 2.0M 1.05
Infinity Cross Border Acquisition Corp SHS 0.1 $1.6M 200k 7.84
Dendreon Corp Note 4.750% 6/1 (Principal) 0.1 $1.5M 2.0M 0.74
Golar LNG SHS (GLNG) 0.1 $1.4M 43k 31.90
PDL BioPharma Note 2.875% 2/1 (Principal) 0.1 $1.4M 1.0M 1.38
Comerica *w Exp 11/14/201 0.0 $769k 19k 39.84
Zions Bancorporation *w Exp 11/14/201 0.0 $457k 16k 28.92
General Mtrs *w Exp 07/10/201 0.0 $333k 10k 33.30
SunTrust Banks *w Exp 12/31/201 0.0 $230k 7.3k 31.51
Affymetrix Put Option 0.0 $222k 50k 4.44
Universal Business Pmt Sol A 0.0 $214k 71k 3.00
Thompson Creek Metals Unit 99/99/9999 (Principal) 0.0 $186k 11k 16.32