-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HnVULmm08+ecsqYUXKeDKda407Jm/szq5gwWp1bO7QI+boeH1zhXifK6m/z8dU4G QZxJfMUIxOoF39H2D1yIAg== 0001047469-10-006995.txt : 20100804 0001047469-10-006995.hdr.sgml : 20100804 20100804154418 ACCESSION NUMBER: 0001047469-10-006995 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20100630 FILED AS OF DATE: 20100804 DATE AS OF CHANGE: 20100804 EFFECTIVENESS DATE: 20100804 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Castle Creek Arbitrage, LLC CENTRAL INDEX KEY: 0001326638 IRS NUMBER: 201327775 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11853 FILM NUMBER: 10990939 BUSINESS ADDRESS: STREET 1: 227 WEST MONROE STREET, SUITE 3550 CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 312.692.7564 MAIL ADDRESS: STREET 1: 227 WEST MONROE STREET, SUITE 3550 CITY: CHICAGO STATE: IL ZIP: 60606 FORMER COMPANY: FORMER CONFORMED NAME: Castle Creek Convertible Arbitrage, LLC DATE OF NAME CHANGE: 20050510 13F-HR 1 a2199664z13f-hr.txt 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2010 ----------------------- Check Here if Amendment / /; Amendment Number: --------- This Amendment (Check only one.): / / is a restatement. / / adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Castle Creek Arbitrage LLC ------------------------------- Address: 227 West Monroe Street ------------------------------- Suite 3550 ------------------------------- Chicago, IL 60606 ------------------------------- Form 13F File Number: 28-11853 --------------------- The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Constance Wick ------------------------------- Title: Chief Compliance Officer ------------------------------- Phone: 312.692.7564 ------------------------------- Signature, Place, and Date of Signing: /s/ Constance Wick Chicago, IL Aug. 3, 2010 ------------------------------- ----------------- ------------- [Signature] [City, State] [Date] Report Type (Check only one.): /X/ 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) / / 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) / / 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) List of Other Managers Reporting for this Manager: None FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 -------------------- Form 13F Information Table Entry Total: 85 -------------------- Form 13F Information Table Value Total: 876,389 -------------------- (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. None FORM 13F INFORMATION TABLE
Column 1 Column 2 Column 3 Column 4 Column 5 Column 6 Column 7 Column 8 - -------------------------- ---------------- --------- -------- ------------------- ---------- -------- ---------------------- VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (X$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE - ----------------------------------------------------------------------------------------------------------------------------- AAR Corp Note 1.750% 2/0 000361AH8 4,475 5,000,000 PRN SOLE 5,000,000 AGCO Corp Note 1.750% 12/3 001084AL6 3,149 2,500,000 PRN SOLE 2,500,000 Alliant Techsystems Inc Note 2.750% 2/1 018804AH7 2,372 2,500,000 PRN SOLE 2,500,000 Alliant Techsystems Inc Note 3.000% 8/1 018804AK0 27,363 27,500,000 PRN SOLE 27,500,000 AmeriCredit Corp Note 0.750% 9/1 03060RAP6 4,670 5,000,000 PRN SOLE 5,000,000 AmeriCredit Corp Note 2.125% 9/1 03060RAR2 11,006 12,760,000 PRN SOLE 12,760,000 Amgen Inc Note 3/0 031162AL4 393 538,000 PRN SOLE 538,000 Amgen Inc Note 0.125% 2/0 031162AN0 38,381 38,730,000 PRN SOLE 38,730,000 Amylin Pharmaceuticals Inc Note 2.500% 4/1 032346AD0 1,972 2,000,000 PRN SOLE 2,000,000 Annaly Cap Mgmt Note 4.000% 2/1 035710AA0 13,757 13,500,000 PRN SOLE 13,500,000 ArcelorMittal Note 5.000% 5/1 03938LAK0 11,139 9,500,000 PRN SOLE 9,500,000 ArcelorMittal NY Registry SH 03938L104 782 35,000 SH SOLE 35,000 Capital One Financial Corp Com 14040H105 1,229 30,500 SH SOLE 30,500 Cephalon Inc Note 2.000% 6/0 156708AP4 2,583 2,000,000 PRN SOLE 2,000,000 Chevron Corp Com 166764100 19,069 281,000 SH PUT SOLE 281,000 China Medical Technologies Inc Note 3.500% 11/1 169483AB0 2,370 3,000,000 PRN SOLE 3,000,000 China Medical Technologies Inc Note 4.000% 8/1 169483AC8 5,815 8,810,000 PRN SOLE 8,810,000 China Medical Technologies Inc Com 169483954 2,958 281,400 SH PUT SOLE 281,400 CompuCredit Corp Note 3.625% 5/3 20478NAD2 1,614 4,610,000 PRN SOLE 4,610,000 Continental Airlines Inc Note 5.000% 6/1 210795PJ3 16,404 14,517,000 PRN SOLE 14,517,000 Core Laboratories LP Note 0.250% 10/3 21868FAB9 28,093 17,477,000 PRN SOLE 17,477,000 Covanta Holding Corp Com 22282E102 1,027 61,900 SH PUT SOLE 61,900 Credicorp Ltd Com G2519Y108 29 11,000 SH PUT SOLE 11,000 Deutsche Bank AG Com D18190898 5,846 104,100 SH CALL SOLE 0 DJSP Enterprises Inc *W EXP 11/19/201 G7982P120 134 23,700 SH SOLE 23,700 Dollar General Corp Com 256677105 557 20,200 SH PUT SOLE 20,200 DryShips Inc Note 5.000% 12/0 262498AB4 15,540 21,000,000 PRN SOLE 21,000,000 DryShips Inc SHS Y2109Q101 840 235,200 SH SOLE 235,200 DST Systems Inc DBSV 4.125% 8/1 233326AB3 19,191 19,210,000 PRN SOLE 19,210,000 Earthlink Inc Note 3.250% 11/1 270321AA0 18,517 17,325,000 PRN SOLE 17,325,000 EMC Corp Mass Note 1.750% 12/0 268648AK8 24,320 20,000,000 PRN SOLE 20,000,000 Equinix Inc Note 4.750% 6/1 29444UAH9 12,342 10,415,000 PRN SOLE 10,415,000 Exterran Holdings Inc Note 4.250% 6/1 30225XAA1 2,575 2,000,000 PRN SOLE 2,000,000 Family Dollar Stores Inc Com 307000109 1,508 40,000 SH PUT SOLE 40,000 Ford Motor Co Note 4.250% 12/1 345370CF5 12,481 10,000,000 PRN SOLE 10,000,000 Ford Motor Co Note 4.250% 11/1 345370CN8 54,890 44,000,000 PRN SOLE 44,000,000 Freeport-McMoRan Copper & Gold Inc Com 35671D857 5,913 100,000 SH PUT SOLE 100,000 Gilead Sciences Inc Note 0.500% 5/0 375558AG8 16,589 16,000,000 PRN SOLE 16,000,000 Global Crossing Ltd SHS New G3921A175 529 50,000 SH PUT SOLE 50,000 Great Atlantic & Pacific Tea Co Note 6.750% 12/1 390064AK9 3,546 4,590,000 PRN SOLE 4,590,000 Great Atlantic & Pacific Tea Co Com 390064103 411 105,446 SH SOLE 105,446 Hertz Global Holdings Inc Note 5.250% 6/0 42805TAA3 6,752 5,072,000 PRN SOLE 5,072,000 Home Depot Inc Com 437076102 4,211 150,000 SH PUT SOLE 150,000 Human Genome Sciences Inc Note 2.250% 10/1 444903AK4 14,008 8,810,000 PRN SOLE 8,810,000 Industrial Select Sector SPDR Fund SBI INT-INDS 81369Y704 1,372 50,000 SH PUT SOLE 50,000 Information Services Group Inc *W EXP 01/31/201 45675Y112 403 201,383 SH SOLE 201,383 Ingersoll-Rand Global Holding Co Ltd Note 4.500% 4/1 45687AAD4 14,745 7,500,000 PRN SOLE 7,500,000 Intel Corp Com 458140100 8,753 450,000 SH PUT SOLE 450,000 iShares Inc. MSCI EMU Index 464286608 2,344 62,800 SH PUT SOLE 62,800 iShares TR Index Russell 2000 464287655 3,056 50,000 SH PUT SOLE 50,000 JetBlue Airways Corp DBCV 6.750% 10/1 477143AF8 5,495 4,000,000 PRN SOLE 4,000,000 JetBlue Airways Corp DBCV 5.500% 10/1 477143AD3 9,818 7,000,000 PRN SOLE 7,000,000 JetBlue Airways Corp DBCV 5.500% 10/1 477143AE1 20,388 14,000,000 PRN SOLE 14,000,000 KV Pharmaceutical Co Note 2.500% 5/1 482740AC1 688 2,200,000 PRN SOLE 2,200,000 L-3 Communications Holdings Inc Debt 3.000% 8/0 502413AW7 19,838 19,765,000 PRN SOLE 19,765,000 Laboratory Corp of America Holdings Note 9/1 50540RAG7 24,163 23,912,000 PRN SOLE 23,912,000 Macrovision Corp Note 2.625% 8/1 555904AB7 17,375 12,500,000 PRN SOLE 12,500,000 MetLife Inc COM 59156R108 2,908 77,000 SH SOLE 77,000 MF Global Ltd Note 9.000% 6/2 55276YAB2 6,782 6,600,000 PRN SOLE 6,600,000 Mylan Inc/PA Note 3.750% 9/1 628530AJ6 33,189 23,300,000 PRN SOLE 23,300,000 Nabors Industries Inc Note 0.940% 5/1 629568AP1 4,176 4,250,000 PRN SOLE 4,250,000 Nash Finch Co FRNT 1.631% 3/1 631158AD4 3,525 8,172,000 PRN SOLE 8,172,000 National City Corp Note 4.000% 2/0 635405AW3 1,382 1,365,000 PRN SOLE 1,365,000 Navios Maritime Acquisition Corp *W EXP 06/25/201 Y62159119 4,413 691,714 SH SOLE 691,714 North Asia Investment Corp Com G66202105 1,493 150,000 SH SOLE 150,000 North Asia Investment Corp *W EXP 07/23/201 G66202113 1,510 151,795 SH SOLE 151,795 Owens Corning Com 690742101 3,290 110,000 SH PUT SOLE 110,000 Owens-Illinois Inc Com New 690768403 357 13,500 SH SOLE 13,500 PHH Corp Note 4.000% 4/1 693320AH6 14,934 13,670,000 PRN SOLE 13,670,000 Placer Dome Inc DBCV 2.750% 10/1 725906AK7 60,260 32,501,000 PRN SOLE 32,501,000 Powershares QQQ Unit Ser 1 73935A104 17,084 400,000 SH PUT SOLE 400,000 Qwest Communications International Inc Note 3.500% 11/1 749121BY4 35,782 32,382,000 PRN SOLE 32,382,000 Research In Motion Ltd Com 760975102 4,926 100,000 SH PUT SOLE 100,000 SBA Communications Corp Note 1.875% 5/0 78388JAN6 3,103 3,080,000 PRN SOLE 3,080,000 SBA Communications Corp Note 4.000% 10/1 78388JAM8 14,720 11,500,000 PRN SOLE 11,500,000 SUPERVALU Inc Note 11/0 868536AP8 3,080 8,000,000 PRN SOLE 8,000,000 Textron Inc Note 4.500% 5/0 883203BN0 29,076 20,000,000 PRN SOLE 20,000,000 Theravance Inc Note 3.000% 1/1 88338TAA2 2,581 3,080,000 PRN SOLE 3,080,000 Thoratec Corp Note 1.380% 5/1 885175AB5 3,872 3,070,000 PRN SOLE 3,070,000 United Parcel Service Inc CL B 911312106 5,689 100,000 SH PUT SOLE 100,000 United States Steel Corp Note 4.000% 5/1 912909AE8 45,403 32,500,000 PRN SOLE 32,500,000 US Airways Group Inc Note 7.250% 5/1 911905AC1 4,073 2,000,000 PRN SOLE 2,000,000 US Bancorp Com 902973304 3,353 150,000 SH PUT SOLE 150,000 Wells Fargo & Co Com 949746101 991 38,700 SH SOLE 38,700 Westway Group Inc *W EXP 05/24/201 96169B118 371 90,384 SH SOLE 90,384 Wyndham Worldwide Corp Note 3.500% 5/0 98310WAC2 14,286 8,782,000 PRN SOLE 8,782,000
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