Castle Creek Arbitrage

Castle Creek Arbitrage as of June 30, 2014

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 86 positions in its portfolio as reported in the June 2014 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Microchip Technology SDCV 2.125%12/1 (Principal) 9.6 $151M 79M 1.91
Cemex SAB de CV Note 3.750% 3/1 (Principal) 8.5 $134M 88M 1.52
United Rentals Note 4.000%11/1 (Principal) 6.0 $94M 10M 9.43
Micron Technology Note 3.125% 5/0 (Principal) 5.7 $90M 27M 3.37
WESCO Intl DBCV 6.000% 9/1 (Principal) 5.6 $88M 29M 3.07
Cadence Design Systems Note 2.625% 6/0 (Principal) 4.9 $77M 33M 2.33
Micron Technology Note 2.375% 5/0 (Principal) 4.2 $66M 19M 3.44
United Therapeutics Corp Note 1.000%9/1 (Principal) 3.7 $59M 31M 1.89
SanDisk Corp Note 1.500% 8/1 (Principal) 2.7 $42M 21M 2.05
Salesforce Note 0.750% 1/1 (Principal) 2.6 $41M 15M 2.72
General Motors Company Call Option (GM) 2.4 $38M 1.1M 36.30
JetBlue Airways Corp DBCV 5.500%10/1 (Principal) 2.1 $33M 13M 2.48
Ship Finance International Note 3.250% 2/0 (Principal) 2.1 $33M 28M 1.14
Bank of America Corporation (BAC) 2.0 $31M 2.0M 15.37
SemGroup Corp *w Exp 11/30/201 2.0 $31M 393k 78.85
Molina Healthcare Note 3.750%10/0 (Principal) 1.9 $29M 21M 1.43
Tesla Motors Note 1.500% 6/0 (Principal) 1.9 $29M 15M 2.02
Capital One Finl Corp *w Exp 11/14/201 1.8 $28M 343k 82.60
Forest City Enterprises Note 5.000%10/1 (Principal) 1.6 $26M 16M 1.58
Micron Technology Note 1.875% 8/0 (Principal) 1.5 $24M 7.0M 3.48
Tesla Motors Note 0.250% 3/0 (Principal) 1.5 $24M 25M 0.98
SunPower Corp DBCV 4.500% 4/1 (Principal) 1.4 $23M 12M 1.84
PDL BioPharma Note 3.750% 5/0 (Principal) 1.4 $22M 13M 1.60
Chesapeake Energy Corp Note 2.750%11/1 (Principal) 1.2 $18M 17M 1.06
Cisco Systems Call Option (CSCO) 1.1 $17M 700k 24.85
Cobalt Intl Energy Note 2.625%12/0 (Principal) 1.0 $16M 17M 0.93
Walter Invt Mgmt Corp Note 4.500%11/0 (Principal) 1.0 $16M 17M 0.93
Omnicare Cap Trust II PFD B TR 4.00% (Principal) 1.0 $16M 192k 81.65
Zions Bancorporation *w Exp 05/22/202 1.0 $15M 521k 29.47
PHH Corp Note 6.000% 6/1 (Principal) 0.9 $15M 7.5M 1.95
Live Nation Entertainment Note 2.875% 7/1 (Principal) 0.9 $15M 14M 1.00
Equinix Note 3.000%10/1 (Principal) 0.8 $12M 6.4M 1.90
Glori Energy *W Exp 04/14/201 0.7 $12M 1.1M 10.86
Solazyme Note 6.000% 2/0 (Principal) 0.7 $11M 6.7M 1.60
InterDigital Note 2.500% 3/1 (Principal) 0.7 $11M 9.5M 1.11
Molycorp Note 6.000% 9/0 (Principal) 0.7 $11M 16M 0.64
Silver Eagle Acquisition Corp *W Exp 07/26/202 0.6 $10M 1.1M 9.76
AMAG Pharmaceuticals Note 2.500% 2/1 (Principal) 0.6 $9.8M 9.3M 1.06
UAL Corp Note 6.000%10/1 (Principal) 0.6 $9.3M 2.0M 4.74
Iconix Brand Group Note 2.500% 6/0 (Principal) 0.5 $8.7M 6.0M 1.45
Continental Airls Note 4.500% 1/1 (Principal) 0.5 $8.2M 3.8M 2.19
Goldcorp Note 2.000% 8/0 (Principal) 0.5 $8.2M 8.2M 1.00
Molycorp Note 5.500% 2/0 (Principal) 0.4 $7.0M 11M 0.65
SEACOR Holdings Note 2.500%12/1 (Principal) 0.4 $7.0M 6.1M 1.15
Silver Eagle Acquisition Cor 0.4 $6.3M 650k 9.76
Comerica *w Exp 11/14/201 0.4 $6.3M 125k 50.16
Associated Banc-Corp *w Exp 11/21/201 0.4 $6.2M 344k 18.08
Exelixis Note 4.250% 8/1 (Principal) 0.4 $6.1M 7.2M 0.85
Cathay General Bancorp *W Exp 12/05/201 0.4 $5.8M 228k 25.56
Boulevard Acquisition 0.3 $4.9M 500k 9.80
Cambridge Cap Acquisition 0.3 $4.6M 475k 9.76
Cambridge Cap Acquisition Corp *W Exp 12/23/201 0.3 $4.6M 475k 9.76
Molycorp Note 3.250% 6/1 (Principal) 0.3 $4.5M 6.0M 0.75
Chart Acquisition Corp *w Exp 12/19/201 0.3 $4.0M 400k 9.99
ROI Acquisition Corp II *W Exp 09/17/201 0.2 $3.9M 400k 9.77
Hennessy Cap Acquisition Corp *W Exp 01/23/201 0.2 $3.9M 400k 9.73
Janus Cap Group Note 3.250% 7/1 (Principal) 0.2 $3.8M 3.8M 1.01
Capitol Acquisition Corp II *W Exp 05/15/201 0.2 $3.7M 372k 9.84
Newmont Mining Corp Note 1.250% 7/1 (Principal) 0.2 $3.7M 3.7M 1.00
Wintrust Finl Corp *w Exp 12/19/201 0.2 $3.6M 78k 46.00
SunTrust Banks *w Exp 12/31/201 0.2 $3.3M 70k 47.39
Dendreon Corp Note 2.875% 1/1 (Principal) 0.2 $3.3M 4.7M 0.70
WL Ross Hldg Corp Unit 99/99/9999 0.2 $3.1M 300k 10.32
SunTrust Banks *w Exp 11/14/201 0.2 $2.8M 83k 33.86
General Motors *w Exp07/10/201 0.2 $2.5M 69k 36.31
Boulevard Acquisition Corp *W Exp 02/19/201 0.2 $2.5M 250k 9.80
Roi Acquisition Corp Ii 0.2 $2.4M 248k 9.77
Moly Put Option 0.1 $2.2M 859k 2.57
Texas Capital Bancshares *W Exp 01/16/201 0.1 $2.2M 40k 53.96
Hologic FRNT 2.000%12/1 (Principal) 0.1 $2.1M 1.7M 1.26
Horsehead Hldg Corp Note 3.800% 7/0 (Principal) 0.1 $2.1M 1.5M 1.38
Hennessy Cap Acquisition Cor 0.1 $1.9M 198k 9.73
Vipshop Hlds Note 1.500% 3/1 (Principal) 0.1 $1.8M 1.5M 1.18
TTM Technologies Note 1.750%12/1 (Principal) 0.1 $1.6M 1.5M 1.10
Solazyme Note 5.000%10/0 (Principal) 0.1 $1.1M 1.0M 1.13
Occidental Petroleum Corporation Call Option (OXY) 0.1 $1.1M 2.6k 430.00
Eastman Kodak *W Exp 09/03/201 0.1 $1.1M 46k 24.46
Tesla Motors Put Option (TSLA) 0.1 $984k 4.1k 240.00
Signature Bk New York NY *w Exp 12/12/201 0.0 $713k 5.6k 126.22
M&T Bank Corp *w Exp 12/23/201 0.0 $447k 3.6k 124.17
Quartet Merger Corp Right 99/99/9999 0.0 $405k 605k 0.67
Nokia OYJ Sponsored ADR (NOK) 0.0 $371k 49k 7.55
Washington Fed *w Exp 11/14/201 0.0 $257k 11k 22.45
Galena Biopharma 0.0 $196k 64k 3.07
Jetpay 0.0 $131k 63k 2.10
Sanofi Right 12/31/2020 0.0 $21k 42k 0.51