Castle Creek Arbitrage

Castle Creek Arbitrage as of June 30, 2011

Portfolio Holdings for Castle Creek Arbitrage

Castle Creek Arbitrage holds 87 positions in its portfolio as reported in the June 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Molycorp, Inc. pfd conv ser a 23.3 $375M 3.2M 115.57
E M C Corp Mass note 1.750%12/0 6.5 $105M 62M 1.71
Teradyne Inc note 4.500% 3/1 6.0 $96M 35M 2.79
Microchip Technology Inc sdcv 2.125%12/1 4.9 $78M 57M 1.37
Borgwarner Inc note 3.500% 4/1 4.8 $77M 31M 2.47
Oil Sts Intl Inc note 2.375% 7/0 3.0 $48M 19M 2.52
Laboratory Corp Amer Hldgs debt 2.8 $45M 35M 1.30
Textron Inc note 4.500% 5/0 2.3 $37M 20M 1.87
Amerigroup Corp note 2.000% 5/1 2.2 $35M 21M 1.67
Alliance Data Systems Corp note 1.750% 8/0 2.0 $33M 26M 1.27
Alliant Techsystems Inc note 3.000% 8/1 1.9 $30M 27M 1.12
Cephalon Inc note 2.500% 5/0 1.5 $24M 20M 1.23
Jetblue Airways Corp dbcv 5.500%10/1 1.4 $23M 15M 1.59
Consumer Staples Select Sect. SPDR (XLP) 1.3 $21M 600k 35.12
L-3 Communications Corp debt 3.000% 8/0 1.2 $20M 19M 1.02
Triumph Group Inc New note 2.625%10/0 1.2 $19M 11M 1.83
Earthlink Inc note 3.250%11/1 1.2 $19M 18M 1.03
Lincare Hldgs Inc note 2.750%11/0 1.1 $18M 15M 1.18
Goldman Sachs (GS) 1.1 $18M 132k 133.08
Netapp Inc note 1.750% 6/0 1.1 $17M 10M 1.70
Technology SPDR (XLK) 1.0 $17M 650k 25.70
Amgen Inc note 0.375% 2/0 1.0 $16M 16M 1.01
United Therapeutics Corp Del note 0.500%10/1 1.0 $16M 11M 1.47
Google 0.9 $15M 30k 506.35
General Motors Company (GM) 0.9 $15M 500k 30.36
General Mtrs Co *w exp 07/10/201 0.9 $14M 462k 30.36
Barclays Bk Plc ipth s^p vix 0.8 $13M 633k 21.14
Smithfield Foods Inc note 4.000% 6/3 0.8 $13M 11M 1.18
Best Buy Inc sdcv 2.250% 1/1 0.8 $13M 13M 1.01
Alliant Techsystems Inc note 2.750% 9/1 0.8 $12M 12M 1.00
iShares Russell 2000 Index (IWM) 0.8 $12M 150k 82.55
United States Stl Corp New note 4.000% 5/1 0.8 $12M 7.8M 1.59
Market Vectors Gold Miners ETF 0.8 $12M 225k 54.59
Financial Select Sector SPDR (XLF) 0.7 $11M 710k 15.35
Industrial SPDR (XLI) 0.7 $11M 290k 37.24
Energy Select Sector SPDR (XLE) 0.7 $11M 140k 75.35
PowerShares DB US Dollar Index Bullish 0.7 $11M 500k 21.22
General Mtrs Co *w exp 07/10/201 0.7 $11M 348k 30.36
International Business Machines (IBM) 0.7 $11M 61k 171.55
Jetblue Airways Corp dbcv 5.500% 10/1 0.7 $10M 6.9M 1.52
Dryships Inc. note 5.000%12/0 0.6 $10M 11M 0.90
Health Care SPDR (XLV) 0.6 $9.9M 280k 35.53
E M C Corp Mass note 1.750%12/0 0.6 $9.4M 5.4M 1.75
China Med Technologies Inc note 4.000% 8/1 0.6 $9.1M 13M 0.72
Heckmann Corp *w exp 11/09/201 0.6 $9.2M 1.5M 6.04
Newmont Mining Corp note 3.000% 2/1 0.5 $8.0M 6.5M 1.22
Alere 0.5 $7.7M 27k 279.18
Pdl Biopharma Inc note 3.750% 5/0 0.5 $7.3M 7.5M 0.97
Trina Solar Limited note 4.000% 7/1 0.4 $7.0M 4.8M 1.45
Usec Inc note 3.000%10/0 0.4 $7.0M 9.7M 0.72
Usec 0.4 $6.7M 2.0M 3.34
Notes 0.4 $6.2M 3.0M 2.08
China Medical Technologies 0.4 $6.2M 799k 7.71
JPMorgan Chase & Co. (JPM) 0.4 $6.1M 150k 40.69
Incyte Corp note 4.750%10/0 0.3 $5.6M 2.4M 2.31
Marathon Oil Corporation (MRO) 0.3 $5.3M 100k 52.68
United Rentals Inc note 4.000%11/1 0.3 $4.8M 2.0M 2.40
Omni (OMC) 0.3 $4.7M 97k 48.14
Big Lots (BIGGQ) 0.3 $4.7M 141k 33.15
Dryships/drys 0.3 $4.5M 1.1M 4.19
Amylin Pharmaceuticals 0.3 $4.4M 333k 13.38
Microsoft Corporation (MSFT) 0.3 $4.3M 165k 26.00
Webster Financial Corporation (WBS) 0.3 $4.2M 200k 20.97
Omnicare Inc note 3.750%12/1 0.3 $4.2M 3.2M 1.34
Eastman Kodak Company 0.2 $4.0M 1.1M 3.58
Global Eagle Acquisition Cor unit 99/99/9999 0.2 $4.1M 400k 10.13
Crown Holdings (CCK) 0.2 $3.9M 100k 38.82
Terex Corp New note 4.000% 6/0 0.2 $3.8M 2.0M 1.89
Exterran Hldgs Inc note 4.250% 6/1 0.2 $3.5M 3.2M 1.11
Resolute Energy Corp *w exp 09/25/201 0.2 $3.6M 994k 3.64
Theravance Inc note 3.000% 1/1 0.2 $3.3M 3.0M 1.11
Utilities SPDR (XLU) 0.2 $3.3M 100k 33.48
Cephalon Inc note 2.000% 6/0 0.2 $3.4M 2.0M 1.73
Supervalu Inc note 11/0 0.2 $3.1M 7.8M 0.40
Univeral Business Pmt Sol Ac unit 99/99/9999 0.2 $3.0M 500k 6.00
Materials SPDR (XLB) 0.2 $2.8M 70k 39.37
Bank of America Corporation (BAC) 0.1 $2.2M 199k 10.96
Starwood Hotels & Resorts Worldwide 0.1 $2.2M 40k 56.05
Sesi L L C frnt 1.500%12/1 0.1 $2.0M 2.0M 1.02
Suno 0.1 $2.1M 50k 41.72
Walgreen Company 0.1 $2.1M 50k 42.46
China Growth Equity Inv Ltd unit 05/14/2016 0.1 $2.0M 200k 10.00
Aar Corp note 1.750% 2/0 0.1 $1.7M 1.5M 1.10
Spreadtrum Communications 0.1 $1.4M 87k 15.76
Amgen Inc note 3/0 0.0 $425k 538k 0.79
Radio One 0.0 $244k 138k 1.77
China Ceramics Co Ltd *w exp 11/16/201 0.0 $381k 85k 4.49