Castle Creek Arbitrage

Castle Creek Arbitrage as of March 31, 2016

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 86 positions in its portfolio as reported in the March 2016 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
VeriSign SDCV 3.250% 8/1 (Principal) 23.8 $297M 115M 2.59
Tesla Motors Note 1.500% 6/0 (Principal) 11.8 $148M 80M 1.84
Micron Technology Note 2.375% 5/0 (Principal) 7.1 $88M 70M 1.26
SanDisk Corp Note 1.500% 8/1 (Principal) 5.4 $68M 43M 1.58
WESCO International DBCV 6.000% 9/1 (Principal) 5.3 $67M 35M 1.92
Micron Technology Note 3.125% 5/0 (Principal) 3.4 $43M 34M 1.28
Cemex SAB de CV Note 3.750% 3/1 (Principal) 3.1 $39M 37M 1.04
CalAtlantic Group Note 1.625% 5/1 (Principal) 2.5 $31M 26M 1.22
Mentor Graphics Corp SDCV 4.000% 4/0 (Principal) 2.3 $28M 27M 1.05
Tesaro Note 3.000%10/0 (Principal) 2.0 $25M 17M 1.47
AMAG Pharmaceuticals Note 2.500% 2/1 (Principal) 1.8 $23M 21M 1.09
Trulia Note 2.750%12/1 (Principal) 1.6 $20M 17M 1.18
Ciena Corp Debt 4.000%12/1 (Principal) 1.6 $20M 16M 1.25
Micron Technology Put Option (MU) 1.4 $17M 1.6M 10.47
Microchip Technology Note 1.625% 2/1 (Principal) 1.4 $17M 17M 1.02
Molina Healthcare Note 1.125% 1/1 (Principal) 1.3 $17M 10M 1.65
Innoviva Note 2.125% 1/1 (Principal) 1.1 $14M 17M 0.79
LinkedIn Corp Note 0.500%11/0 (Principal) 1.0 $13M 14M 0.91
Integra LifeSciences Holdings Corp Note 1.625%12/1 (Principal) 0.9 $12M 9.0M 1.30
NVIDIA Corp Note 1.000%12/0 (Principal) 0.9 $11M 6.0M 1.79
Colony Starwood Homes Note 3.000% 7/0 (Principal) 0.9 $11M 11M 0.99
Tesla Motors Note 0.250% 3/0 (Principal) 0.8 $11M 12M 0.91
SanDisk Corp Note 0.500%10/1 (Principal) 0.8 $10M 10M 1.04
Cobalt International Energy Note 2.625%12/0 (Principal) 0.8 $10M 21M 0.50
PNC Financial Services Group Inc/The *w Exp 12/31/201 0.8 $10M 499k 20.13
Colony Starwood Homes Note 4.500%10/1 (Principal) 0.7 $9.3M 9.0M 1.03
Iconix Brand Group Note 1.500% 3/1 (Principal) 0.7 $9.0M 13M 0.70
Gores Holdings Unit 99/99/9999 0.7 $9.0M 900k 9.98
Microchip Technology SDCV 2.125%12/1 (Principal) 0.7 $8.9M 4.5M 1.99
Arowana SHS 0.7 $8.7M 873k 9.95
Starwood Property Trust Note 3.750%10/1 (Principal) 0.7 $8.4M 8.5M 0.99
Micron Technology Note 1.625% 2/1 (Principal) 0.7 $8.3M 7.1M 1.18
WebMD Health Corp Note 2.500% 1/3 (Principal) 0.6 $8.0M 7.0M 1.14
Easterly Acquisition Corp Unit 99/99/9999 0.5 $6.4M 650k 9.91
Trina Solar Note 4.000%10/1 (Principal) 0.5 $6.1M 6.8M 0.90
Terrapin 3 Acquisition Corp Unit 06/27/2019 0.5 $6.0M 595k 10.10
Boulevard Acquisition Corp II Unit 99/99/9999 0.5 $6.0M 600k 9.95
Capitol Acquisition Corp III Unit 99/99/9999 0.5 $5.9M 600k 9.85
Global Partner Acquisition Corp Unit 07/01/2020 0.5 $5.9M 600k 9.80
Qihoo 360 Technology Note 0.500% 8/1 (Principal) 0.4 $5.4M 5.5M 0.99
Atlantic Alliance Partnership Corp SHS 0.4 $5.2M 500k 10.43
GP Investments Acquisition Corp Unit 99/99/9999 0.4 $5.2M 525k 9.88
Double Eagle Acquisition Corp Unit 99/99/9999 0.4 $5.0M 500k 10.00
TerraVia Holdings Note 6.000% 2/0 (Principal) 0.4 $5.0M 9.5M 0.53
Pace Holdings Corp Unit 99/99/9999 0.4 $4.8M 481k 9.99
Exelixis Note 4.250% 8/1 (Principal) 0.4 $4.6M 4.7M 0.99
Ionis Pharmaceuticals Note 1.000%11/1 (Principal) 0.4 $4.6M 5.0M 0.91
Wright Medical Group Note 2.000% 2/1 (Principal) 0.4 $4.5M 5.0M 0.90
KLR Energy Acquisition Corp Unit 12/31/2020 0.3 $4.0M 399k 10.06
Clovis Oncology Note 2.500% 9/1 (Principal) 0.3 $3.8M 5.5M 0.68
1347 Cap 0.3 $3.5M 350k 9.89
Immunomedics Note 4.750% 2/1 (Principal) 0.3 $3.4M 4.9M 0.68
Fluidigm Corp Note 2.750% 2/0 (Principal) 0.3 $3.3M 6.0M 0.55
MGIC Investment Corp Note 2.000% 4/0 (Principal) 0.3 $3.1M 2.5M 1.25
Quinpario Acquisition Corp 2 0.2 $2.9M 301k 9.78
WL Ross Holding Corp Com Shs 0.2 $2.9M 290k 10.03
Cathay General Bancorp *w Exp 12/05/201 0.2 $2.4M 279k 8.45
Trina Solar DBCV 3.500% 6/1 (Principal) 0.2 $2.3M 2.5M 0.92
EnerNOC DBCV 2.250% 8/1 (Principal) 0.2 $2.1M 3.0M 0.71
Aegerion Pharmaceuticals Note 2.000% 8/1 (Principal) 0.2 $2.1M 4.0M 0.52
Pacific Special Acquisition Corp Unit 99/99/9999 0.2 $2.0M 200k 10.17
Barington/Hilco Acquisition Corp Unit 99/99/9999t 0.2 $2.0M 200k 10.15
Ctrip.com International Note 1.250%10/1 (Principal) 0.2 $1.9M 1.5M 1.29
Zions Bancorporation *w Exp 05/22/202 0.1 $1.8M 783k 2.27
Medicines Co/The Note 2.500% 1/1 (Principal) 0.1 $1.1M 1.0M 1.14
Texas Capital Bancshares *w Exp 01/16/201 0.1 $995k 41k 24.45
Associated Banc-Corp *w Exp 11/21/201 0.1 $832k 338k 2.46
SunEdison Note 2.000%10/0 (Principal) 0.1 $705k 17M 0.04
Washington Federal *w Exp 11/14/201 0.0 $604k 89k 6.76
Signature Bank/New York NY *w Exp 12/12/201 0.0 $601k 5.6k 106.39
SunEdison Note 2.750% 1/0 (Principal) 0.0 $587k 13M 0.04
Lindblad Expeditions Holdings *w Exp 07/08/202 0.0 $536k 219k 2.45
SunTrust Banks *w Exp 12/31/201 0.0 $320k 45k 7.14
Barington Hilco Acquisition 0.0 $246k 25k 9.94
WL Ross Holding Corp *w Exp 06/11/201 0.0 $229k 470k 0.49
SunTrust Banks *w Exp 11/14/201 0.0 $214k 58k 3.66
Lincoln National Corp *w Exp 07/10/201 0.0 $212k 6.9k 30.79
Kinder Morgan *w Exp 05/25/201 0.0 $209k 5.6M 0.04
Arowana Right 01/01/2017 0.0 $168k 700k 0.24
AgroFresh Solutions *w Exp 07/31/202 0.0 $135k 158k 0.85
1347 Capital Corp Right 07/21/2016 0.0 $110k 350k 0.31
1347 Capital Corp *w Exp 07/15/202 0.0 $68k 350k 0.19
Terrapin 3 Acquisition Corp *w Exp 06/27/201 0.0 $64k 250k 0.26
Arowana *w Exp 04/29/202 0.0 $57k 700k 0.08
Alere Perp Pfd Conv Se (Principal) 0.0 $56k 15k 3.73
Garnero Group Acquisition *w Exp 06/24/201 0.0 $26k 284k 0.09