Castle Creek Arbitrage

Castle Creek Arbitrage as of March 31, 2011

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 68 positions in its portfolio as reported in the March 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Teradyne Inc note 4.500% 3/1 10.2 $107M 32M 3.34
E M C Corp Mass note 1.750%12/0 9.0 $95M 57M 1.66
Microchip Technology Inc sdcv 2.125%12/1 6.8 $71M 52M 1.37
Oil Sts Intl Inc note 2.375% 7/0 4.1 $43M 18M 2.41
Textron Inc note 4.500% 5/0 4.0 $42M 20M 2.15
Gilead Sciences Inc note 0.500% 5/0 3.9 $41M 37M 1.10
Laboratory Corp Amer Hldgs debt 3.8 $40M 32M 1.24
Core Laboratories Lp note 0.250%10/3 3.7 $38M 17M 2.24
American Med Sys Hldgs Inc note 4.000% 9/1 3.1 $32M 24M 1.34
Alliant Techsystems Inc note 3.000% 8/1 2.9 $30M 27M 1.12
Molycorp, Inc. pfd conv ser a 2.7 $29M 252k 113.11
United States Stl Corp New note 4.000% 5/1 2.7 $28M 15M 1.83
Jetblue Airways Corp dbcv 5.500%10/1 2.1 $22M 14M 1.64
L-3 Communications Corp debt 3.000% 8/0 1.9 $19M 19M 1.01
Boise Inc *w exp 06/18/201 1.8 $18M 2.0M 9.16
Peabody Energy Corp sdcv 4.750%12/1 1.7 $18M 14M 1.33
Earthlink Inc note 3.250%11/1 1.7 $18M 17M 1.07
United Therapeutics Corp Del note 0.500%10/1 1.7 $18M 10M 1.78
Goldman Sachs (GS) 1.6 $16M 102k 158.60
Lorillard 1.6 $16M 171k 95.01
Dryships Inc. note 5.000%12/0 1.5 $16M 16M 1.00
Citi 1.5 $16M 3.7M 4.42
iShares MSCI Brazil Index (EWZ) 1.5 $16M 200k 77.51
Bank of America Corporation (BAC) 1.4 $15M 1.1M 13.33
Amgen Inc note 0.375% 2/0 1.4 $15M 15M 0.99
Alere 1.4 $15M 53k 275.49
China Med Technologies Inc note 4.000% 8/1 1.2 $13M 15M 0.90
iShares Russell 2000 Index (IWM) 1.2 $13M 150k 84.17
Alliant Techsystems Inc note 2.750% 9/1 1.2 $13M 12M 1.01
Medtronic Inc note 1.625% 4/1 1.2 $12M 12M 1.03
Trina Solar Limited note 4.000% 7/1 1.1 $12M 6.3M 1.89
Ford Motor Company (F) 1.1 $11M 766k 14.91
Jetblue Airways Corp dbcv 5.500% 10/1 1.0 $11M 6.9M 1.56
Amylin Pharmaceuticals Inc note 2.500% 4/1 1.0 $11M 11M 1.00
Microsoft Corporation (MSFT) 0.8 $8.9M 349k 25.39
E M C Corp Mass note 1.750%12/0 0.8 $8.4M 4.9M 1.71
Nike (NKE) 0.7 $7.7M 102k 75.70
Nike (NKE) 0.7 $7.7M 102k 75.70
Lincare Hldgs Inc note 2.750%11/0 0.7 $7.1M 6.0M 1.19
Mf Global Hldgs Ltd note 1.875% 2/0 0.6 $6.2M 6.0M 1.03
Heinz H J Co option 0.5 $4.9M 100k 48.82
Incyte Corp note 4.750%10/0 0.5 $4.9M 2.4M 2.01
Amerigroup Corp note 2.000% 5/1 0.4 $4.5M 2.9M 1.54
Cephalon 0.4 $4.2M 56k 76.07
Heckmann Corp *w exp 11/09/201 0.4 $4.0M 611k 6.55
Omnicare Inc note 3.750%12/1 0.4 $3.8M 2.9M 1.29
Exterran Hldgs Inc note 4.250% 6/1 0.3 $3.6M 2.9M 1.24
Theravance Inc note 3.000% 1/1 0.3 $3.5M 3.0M 1.15
Spdr S&p 500 Etf (SPY) 0.3 $3.3M 25k 132.60
China Medical Technologies 0.3 $3.2M 275k 11.64
Cephalon Inc note 2.000% 6/0 0.3 $3.2M 2.0M 1.66
Supervalu Inc note 11/0 0.3 $3.1M 7.8M 0.40
Dryships/drys 0.3 $3.1M 617k 4.95
Teleflex Inc note 3.875% 8/0 0.3 $2.8M 2.4M 1.13
Resolute Energy Corp *w exp 09/25/201 0.3 $2.7M 525k 5.18
Dana Holding Corporation (DAN) 0.2 $2.6M 150k 17.39
Thoratec Corp note 1.379% 5/1 0.2 $2.4M 3.1M 0.77
Starwood Hotels & Resorts Worldwide 0.2 $2.3M 40k 58.10
Mf Global Ltd note 9.000% 6/2 0.2 $2.1M 1.8M 1.20
Aar Corp note 1.750% 2/0 0.2 $1.7M 1.5M 1.12
Life Technologies 0.1 $1.5M 29k 52.41
Stanley Black & Decker (SWK) 0.1 $766k 10k 76.60
McClatchy Company 0.1 $680k 200k 3.40
Qimonda Fin Llc Note 6.750% 3/2 0.1 $480k 12M 0.04
Amgen Inc note 3/0 0.0 $420k 538k 0.78
Accuride Corporation 0.0 $428k 31k 13.90
Radio One 0.0 $293k 150k 1.95
Djsp Enterprises Incorporate *w exp 08/11/201 0.0 $2.1k 23k 0.09