Castle Creek Arbitrage

Castle Creek Arbitrage as of Sept. 30, 2015

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 90 positions in its portfolio as reported in the September 2015 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
VeriSign SDCV 3.250% 8/1 (Principal) 10.8 $135M 65M 2.09
Tesla Motors Note 1.500% 6/0 (Principal) 9.7 $121M 60M 2.04
Micron Technology Note 2.375% 5/0 (Principal) 9.3 $116M 70M 1.65
JetBlue Airways Corp DBCV 5.500%10/1 (Principal) 7.1 $90M 15M 5.81
Cemex SAB de CV Note 3.750% 3/1 (Principal) 5.3 $66M 64M 1.04
SanDisk Corp Note 1.500% 8/1 (Principal) 4.8 $60M 48M 1.24
WESCO International DBCV 6.000% 9/1 (Principal) 4.6 $57M 35M 1.65
Micron Technology Note 3.125% 5/0 (Principal) 4.5 $56M 34M 1.66
Trulia Note 2.750%12/1 (Principal) 3.0 $37M 28M 1.34
AMAG Pharmaceuticals Note 2.500% 2/1 (Principal) 2.7 $33M 21M 1.61
Micron Technology Note 1.625% 2/1 (Principal) 2.4 $30M 20M 1.48
Tesaro Note 3.000%10/0 (Principal) 1.9 $24M 17M 1.39
Molina Healthcare Note 1.125% 1/1 (Principal) 1.6 $20M 12M 1.75
Cheniere Energy Note 4.250% 3/1 (Principal) 1.4 $17M 28M 0.63
Wells Fargo & Company (WFC) 1.2 $16M 303k 51.35
Ship Finance International Note 3.250% 2/0 (Principal) 1.2 $16M 15M 1.06
Hologic FRNT 2.000%12/1 (Principal) 1.1 $13M 7.7M 1.72
Cobalt International Energy Note 2.625%12/0 (Principal) 1.1 $13M 19M 0.71
Ciena Corp Debt 4.000%12/1 (Principal) 1.0 $13M 10M 1.31
InterDigital Note 2.500% 3/1 (Principal) 1.0 $13M 13M 1.04
Theravance Note 2.125% 1/1 (Principal) 1.0 $13M 19M 0.66
Mentor Graphics Corp SDCV 4.000% 4/0 (Principal) 1.0 $12M 9.8M 1.26
PNC Financial Services Group Inc/The *w Exp 12/31/201 1.0 $12M 499k 24.29
Tesla Motors Note 0.250% 3/0 (Principal) 0.9 $11M 12M 0.97
Iconix Brand Group Note 1.500% 3/1 (Principal) 0.9 $11M 14M 0.80
Starwood Waypoint Residential Trust Note 3.000% 7/0 (Principal) 0.8 $10M 11M 0.95
SunEdison Note 2.750% 1/0 (Principal) 0.8 $9.4M 13M 0.70
Clovis Oncology Note 2.500% 9/1 (Principal) 0.7 $9.2M 5.5M 1.67
SunEdison Note 2.000%10/0 (Principal) 0.7 $9.1M 12M 0.76
Gores Holdings Unit 99/99/9999 0.7 $9.1M 900k 10.09
Starwood Property Trust Note 3.750%10/1 (Principal) 0.7 $8.5M 8.5M 1.00
CalAtlantic Group Note 1.625% 5/1 (Principal) 0.7 $8.3M 6.0M 1.38
Microchip Technology SDCV 2.125%12/1 (Principal) 0.6 $7.9M 4.5M 1.75
Juniper Networks Put Option (JNPR) 0.6 $7.7M 300k 25.71
Micron Technology Put Option (MU) 0.6 $7.5M 500k 14.98
Arowana Unit 99/99/9999 0.6 $7.1M 700k 10.15
Easterly Acquisition Corp Unit 99/99/9999 0.5 $6.6M 650k 10.10
iPATH S&P 500 VIX Short-Term Futures ETN Ipath S&p500 Vix Put Option 0.5 $6.4M 250k 25.63
Amazon Put Option (AMZN) 0.5 $6.4M 13k 511.92
Iconix Brand Group Note 2.500% 6/0 (Principal) 0.5 $6.2M 6.5M 0.95
Terrapin 3 Acquisition Corp Unit 06/27/2019 0.5 $6.1M 595k 10.20
Global Partner Acquisition Corp Unit 07/01/2020 0.5 $6.0M 600k 10.00
Boulevard Acquisition Corp II Unit 99/99/9999 0.5 $6.0M 600k 9.97
Blucora Note 4.250% 4/0 (Principal) 0.5 $5.9M 6.2M 0.95
Solazyme Note 6.000% 2/0 (Principal) 0.5 $5.7M 9.5M 0.60
Exelixis Note 4.250% 8/1 (Principal) 0.4 $5.6M 4.7M 1.20
GP Investments Acquisition Corp Unit 99/99/9999 0.4 $5.1M 515k 9.90
Atlantic Alliance Partnership Corp SHS 0.4 $5.1M 500k 10.15
Double Eagle Acquisition Corp Unit 99/99/9999 0.4 $5.1M 500k 10.14
Pace Holdings Corp Unit 99/99/9999 0.4 $4.9M 481k 10.20
EnerNOC DBCV 2.250% 8/1 (Principal) 0.4 $4.9M 7.0M 0.70
E.I. du Pont de Nemours & Company Put Option 0.4 $4.8M 100k 48.20
Qihoo 360 Technology Note 0.500% 8/1 (Principal) 0.4 $4.8M 5.5M 0.88
SPDR Gold Shares Gold Shs Call Option (GLD) 0.4 $4.8M 45k 106.87
Cambridge Cap Acquisition 0.4 $4.7M 475k 9.97
Walter Investment Management Corp Note 4.500%11/0 (Principal) 0.3 $4.0M 5.4M 0.73
SEACOR Holdings Note 3.000%11/1 (Principal) 0.3 $3.6M 4.5M 0.80
1347 Capital Corp Unit 07/18/2016 0.3 $3.6M 350k 10.29
MGIC Investment Corp Note 2.000% 4/0 (Principal) 0.3 $3.6M 2.5M 1.44
Herbalife Note 2.000% 8/1 (Principal) 0.3 $3.2M 3.6M 0.88
Aegerion Pharmaceuticals Note 2.000% 8/1 (Principal) 0.2 $3.0M 4.0M 0.76
Quinpario Acquisition Corp 2 0.2 $3.0M 301k 9.87
Cathay General Bancorp *w Exp 12/05/201 0.2 $2.8M 279k 10.00
Zions Bancorporation *w Exp 05/22/202 0.2 $2.8M 783k 3.55
Trina Solar DBCV 3.500% 6/1 (Principal) 0.2 $2.2M 2.5M 0.89
Solazyme Note 5.000%10/0 (Principal) 0.2 $2.1M 3.7M 0.56
Barington/Hilco Acquisition Corp Unit 99/99/9999t 0.2 $2.0M 200k 10.18
Rayonier Call Option (RYN) 0.2 $1.9M 88k 22.09
Texas Capital Bancshares *w Exp 01/16/201 0.1 $1.5M 41k 37.76
Yahoo! Call Option 0.1 $1.4M 50k 28.92
Titan International (TWI) 0.1 $1.3M 195k 6.61
Pepco Holdings Call Option 0.1 $1.2M 50k 24.22
Comerica *w Exp 11/14/201 0.1 $1.0M 82k 12.70
Associated Banc-Corp *w Exp 11/21/201 0.1 $752k 340k 2.21
Signature Bank/New York NY *w Exp 12/12/201 0.0 $608k 5.6k 107.63
Washington Federal *w Exp 11/14/201 0.0 $485k 89k 5.43
Suntrust Banks Inc $1.00 Par Cmn 0.0 $419k 11k 38.20
Lindblad Expeditions Holdings *w Exp 07/08/202 0.0 $388k 219k 1.77
SunTrust Banks *w Exp 12/31/201 0.0 $387k 46k 8.45
WL Ross Holding Corp *w Exp 06/11/201 0.0 $364k 470k 0.77
AgroFresh Solutions *w Exp 07/31/202 0.0 $309k 158k 1.95
Lincoln National Corp *w Exp 07/10/201 0.0 $271k 6.9k 39.36
Comerica Incorporated (CMA) 0.0 $251k 6.1k 41.15
Barington Hilco Acquisition 0.0 $243k 25k 9.82
SunTrust Banks *w Exp 11/14/201 0.0 $200k 59k 3.38
Terrapin 3 Acquisition Corp *w Exp 06/27/201 0.0 $122k 250k 0.49
ROI Acquisition Corp II *w Exp 09/17/201 0.0 $114k 314k 0.36
Alere Perp Pfd Conv Se (Principal) 0.0 $49k 15k 3.27
Garnero Group Acquisition *w Exp 06/24/201 0.0 $34k 284k 0.12
Cambridge Capital Acquisition Corp *w Exp 12/17/201 0.0 $28k 111k 0.25