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Fund Holdings of CASTLE CREEK ARBITRAGE LLC Filed on 2012-02-14

Link to Original SEC 13F filings sorted on filing date: 2012-02-14 | 2011-11-14 | 2011-08-15 | 2011-05-16 | 2011-02-14 | 2010-11-15 | 2010-08-04 | 2010-05-14 | 2010-02-12 | 2009-11-12 | 2009-08-13 | 2009-05-14 | 2009-02-13 | 2008-11-12 | 2008-08-12 | 2008-05-14 |

1. Fund Information

Fund NameCASTLE CREEK ARBITRAGE LLC
Fund Manager
Address227 WEST MONROE STREET, SUITE 3550,
CHICAGO, IL, 60606
::Google Map
Phone(312) 692-7564
13F Asset Last Qtr$1,594,259,000
13F Asset This Qtr$1,365,360,000
Asset Change-14.36%

2. Comparison of Holdings by Sectors with Last Quarter

3. Top 20 Holdings (Value) of This Quarter

No.SecurityPut/CallStockSharesValue(x$1000)Activity(Shr)% Port.
1.)CORP NOTE 4.750% 5/153,685,000$121,362Added 12.58%8.89%
2.)TERADYNE INC NOTE 4.500% 3/146,214,000$118,077Added 28.39%8.65%
3.)BORGWARNER INC NOTE 3.500% 4/150,250,000$97,797Unchanged7.16%
4.)OIL STS INTL INC NOTE 2.375% 7/022,491,000$54,231Added 5.88%3.97%
5.)NETAPP INC NOTE 1.750% 6/036,500,000$46,036Added 5.80%3.37%
6.)HLDGS NOTE 9/137,194,000$42,836Added 4.47%3.14%
7.)ALCOA INC NOTE 5.250% 3/127,806,000$42,369Added 15.59%3.10%
8.)CORP NOTE 1.750% 8/030,650,000$42,182Added 6.06%3.09%
9.)OMNICARE INC NOTE 3.750%12/127,985,000$39,123Added 782.81%2.87%
10.)VIRGIN MEDIA INC NOTE 6.500%11/127,998,000$38,812New2.84%
11.)AMERIGROUP CORP NOTE 2.000% 5/127,184,000$38,180Added 5.84%2.80%
12.)EMC CORP MASS NOTE 1.750% 12/025,390,000$36,524Added 6.28%2.68%
13.)SMITHFIELD FOODS INC NOTE 4.000% 6/327,600,000$33,776Unchanged2.47%
14.)GENERAL MOTORS CO *W EXP 07/10/2011,439,443$29,178Added 0.10%2.14%
15.)CEMEX SAB DE CV NOTE 4.875% 3/142,000,000$27,510Added 115.38%2.01%
16.)MYLAN INC. - 1.25% SENIOR CONVERTIBLE NOTES DUE 3/15/2012MYLNG27,177,000$27,435Added 8.59%2.01%
17.)TRIUMPH GROUP INC NOTE 2.625%10/011,500,000$24,689Added 9.52%1.81%
18.)INCYTE CORP LTD NOTE 4.750% 10/011,693,000$22,012Added 334.20%1.61%
19.)JETBLUE AIRWAYS CORP DBCV 5.500%10/114,686,000$20,193Unchanged1.48%
20.)INC NOTE 5.000% 10/117,471,000$19,611Unchanged1.44%

4. Top 20 (Value) Holdings BOUGHT NEW in This Quarter

No.SecurityPut/CallStockShares NEWValue(x$1000)% Port.
1.)VIRGIN MEDIA INC NOTE 6.500%11/127,998,000$38,8122.84%
2.)WESCO INTL INC DBCV 6.000% 9/19,550,000$19,3391.42%
3.)INC NOTE 2.500% 11/011,750,000$17,5721.29%
4.)SPDR S&P 500 ETFCALLSPY100,000$12,5500.92%
5.)SPDR GOLD TRUST GSCALLGLD74,800$11,3690.83%
6.)SEADRILL LTD ORDPUTSDRLF300,000$9,9540.73%
7.)ENERGY SELECT SPDRPUTXLE130,800$9,0420.66%
8.)KNIGHT CAP GROUP INC NOTE 3.500% 3/19,818,000$8,8730.65%
9.)PHARMASSET, INC.CALLVRUS64,700$8,2950.61%
10.)BARCLAYS BK PLC SH CTF ON ATMBLE CRPGOALTD 144A23-DEC-13PUTBGOAL200,000$7,1060.52%
11.)YAHOO! INC.PUTYHOO400,000$6,4520.47%
12.)YAHOO! INC.YHOO400,000$6,4520.47%
13.)MKT VECT GOLD MNRSPUTGDX104,000$5,3490.39%
14.)RAYTHEON CO.PUTRTN100,000$4,8380.35%
15.)HUMAN GENOME SCIENCES, INC.CALLHGSI477,900$3,5320.26%
16.)MKT VECT GOLD MNRSGDX64,300$3,3070.24%
17.)MARVELL TECHNOLOGY GROUP, LTD.CALLMRVL200,000$2,7700.20%
18.)YAHOO! INC.CALLYHOO109,900$1,7740.13%
19.)ARVINMERITOR INC FRNT 4.625% 3/02,000,000$1,4950.11%
20.)AMR CORP. (DE)PUTAMR2,000,000$7000.05%

5. Top 20 (Value) Holdings Totally SOLD OUT in This Quarter

No.SecurityPut/CallStockShares SOLDValue(x$1000)% Port. Last Qtr
1.)EMC CORP/MASSACHUSETTS NOTE 1.750% 12/063,950,000$83,7225.25%
2.)INC SDCV 2.125% 12/159,882,000$69,1734.34%
3.)CEPHALON INC NOTE 2.500% 5/045,170,000$55,9853.51%
4.)SESI LLC FRNT 1.500% 12/124,291,000$24,2021.52%
5.)EARTHLINK INC FRNT 3.250% 11/118,177,000$18,1961.14%
6.)SELECT SECTOR SPDR TR SBI INTENERGYPUT240,000$14,0420.88%
7.)INTERNATIONAL BUSINESS MACHINES CORP.PUTIBM63,800$11,1570.70%
8.)CORP NOTE 0.500% 10/110,750,000$11,0570.69%
9.)POWERSHARES EXCHANGE-TRADED FUND TRUST - POWERSHARES QQQ TRUST, SERIES 1PUTQQQ200,000$10,4980.66%
10.)HECKMANN CORP WTSHEK-WS1,584,345$9,3480.59%
11.)UNITED RENTALS INC NOTE 4.000% 11/14,500,000$7,5570.47%
12.)MF GLOBAL HOLDINGS LTD NOTE 3.375% 8/06,750,000$5,3170.33%
13.)SPDR RETAIL ETFPUTXRT100,000$4,6220.29%
14.)SPDR GOLD TRUST GSGLD28,226$4,4610.28%
15.)THE FRESH MARKET, INC.PUTTFM100,000$3,8160.24%
16.)TEREX CORP NOTE 4.000% 6/03,500,000$3,4600.22%
17.)CEPHALON INC NOTE 2.000% 6/01,957,000$3,4220.22%
18.)WHOLE FOODS MARKET, INC.PUTWFMI50,000$3,2660.21%
19.)SUPERVALU INC NOTE 11/07,800,000$3,1910.20%
20.)CROWN HOLDINGS INCPUTCCK100,000$3,0610.19%