-----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, SAl0dR6YYcGkQwkSIL4eqYXywO+G5EbahiVgIiI19tbz1u7nwEaFzoaAW39c8xD9 ivK6uSG60KUVTrMNlNSJtg== 0001047469-10-009735.txt : 20101115 0001047469-10-009735.hdr.sgml : 20101115 20101115092152 ACCESSION NUMBER: 0001047469-10-009735 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20100930 FILED AS OF DATE: 20101115 DATE AS OF CHANGE: 20101115 EFFECTIVENESS DATE: 20101115 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: 101189429 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 a2201041z13f-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: Sept. 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 Wes Monroe ------------------------------- 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 Nov. 12, 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 [If there are no entries in this list, omit this section.] Form 13F File Number Name 28- --------------- ------------------------------------ [Repeat as necessary.] FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 -------------------- Form 13F Information Table Entry Total: 68 -------------------- Form 13F Information Table Value Total: 983,840 -------------------- (thousands) List of Other Included Managers: None 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.
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 - ------------------------- ---------------- --------- -------- ---------- --- ---- ---------- ---------- ----------- -------- ------ Alliant Techsystems Inc Note 3.000% 8/1 018804AK0 31,400 27,500,000 PRN SOLE 27,500,000 Alliant Techsystems Inc Note 2.750% 9/1 018804AN4 2,513 2,500,000 PRN SOLE 2,500,000 American Med Sys Hldgs Note 4.000% 9/1 02744MAB4 15,594 12,500,000 PRN SOLE 12,500,000 AmeriCredit Corp Note 2.125% 9/1 03060RAR2 12,760 12,760,000 PRN SOLE 12,760,000 AmeriCredit Corp Note 0.750% 9/1 03060RAP6 5,000 5,000,000 PRN SOLE 5,000,000 Amerigroup Corp Note 2.00% 5/1 03073TAB8 3,437 3,000,000 PRN SOLE 3,000,000 Amgen Inc Note 0.125% 2/0 031162AN0 38,594 38,730,000 PRN SOLE 38,730,000 Amgen Inc Note 3/0 031162AL4 414 538,000 PRN SOLE 538,000 Amylin Pharmaceuticals Inc Note 2.500% 4/1 032346AD0 10,699 10,686,000 PRN SOLE 10,686,000 Asia Entn & Resources Ltd *W EXP 10/08/201 G0539K116 279 50,000 SH SOLE 50,000 Capital One Financial Corp Com 14040H105 969 24,500 SH SOLE 24,500 Cephalon Inc Note 2.000% 6/0 156708AP4 2,835 2,000,000 PRN SOLE 2,000,000 Chevron Corp Com 166764950 4,863 60,000 SH PUT SOLE 60,000 China Medical Technologies Note 4.000% 8/1 169483AC8 7,378 8,810,000 PRN SOLE 8,810,000 China Medical Technologies Com 169483954 3,655 281,400 SH PUT SOLE 281,400 Continental Airlines Inc Note 5.000% 6/1 210795PJ3 25,311 20,017,000 SH SOLE 20,017,000 Core Laboratories LP Note 0.250% 10/3 21868FAB9 33,655 17,477,000 SH SOLE 17,477,000 DJSP Enterprises Inc *W EXP 08/11/201 G7982P120 83 23,700 SH SOLE 23,700 DryShips Inc Note 5.000% 12/0 262498AB4 22,121 23,500,000 PRN SOLE 23,500,000 Earthlink Inc FRNT 3.250% 11/1 270321AA0 20,270 17,325,000 PRN SOLE 17,325,000 EMC Corp/Massachusetts Note 1.750% 12/0 268648AK8 32,845 25,000,000 PRN SOLE 25,000,000 EMC Corp/Massachusetts Note 1.750% 12/0 268648AM4 6,897 5,000,000 PRN SOLE 5,000,000 Equinix Inc Note 4.750% 6/1 29444UAH9 14,829 10,415,000 PRN SOLE 10,415,000 Exterran Holdings Inc Note 4.250% 6/1 30225XAA1 3,604 3,000,000 PRN SOLE 3,000,000 Ford Motor Co Note 4.250% 12/1 345370CF5 14,900 10,000,000 PRN SOLE 10,000,000 Ford Motor Co Note 4.250% 11/1 345370CN8 65,384 44,000,000 PRN SOLE 44,000,000 Freeport-McMoRan Copper & Gold Com 35671D957 28,008 328,000 SH PUT SOLE 328,000 Gilead Sciences Inc Note 0.500% 5/0 375558AG8 32,483 31,500,000 PRN SOLE 31,500,000 Great Atlantic & Pacific Tea Com 390064103 672 169,615 SH SOLE 169,615 Hertz Global Holdings Inc Note 5.250% 6/0 42805TAA3 7,469 5,072,000 PRN SOLE 5,072,000 Human Genome Sciences Inc Note 2.250% 10/1 444903AK4 17,598 8,810,000 PRN SOLE 8,810,000 Information Services Group Inc *W EXP 01/31/201 45675Y112 360 201,383 SH SOLE 201,383 iShares Tr MSCI Emerg Mkt 464287954 13,431 300,000 SH PUT SOLE 300,000 iShares Tr Russell 2000 464287955 27,000 400,000 SH PUT SOLE 400,000 JetBlue Airways Corp DBCV 5.500% 10/1 477143AD3 11,340 7,000,000 PRN SOLE 7,000,000 JetBlue Airways Corp DBCV 5.500% 10/1 477143AE1 23,870 14,000,000 PRN SOLE 14,000,000 JetBlue Airways Corp DBCV 6.750% 10/1 477143AF8 6,360 4,000,000 PRN SOLE 4,000,000 KV Pharmaceutical Co Note 2.500% 5/1 482740AC1 708 1,200,000 PRN SOLE 1,200,000 L-3 Communications Hldgs DEBT 3.000% 8/0 502413AW7 19,907 19,765,000 PRN SOLE 19,765,000 Laboratory Corp Amer Hldgs Note 9/1 50540RAG7 34,608 32,826,000 PRN SOLE 32,826,000 Macrovision Corp Note 2.625% 8/1 555904AB7 22,493 12,500,000 PRN SOLE 12,500,000 McDonald's Corp Com 580135951 17,242 231,400 SH PUT SOLE 231,400 MetLife Inc Com 59156R108 3,114 81,000 SH SOLE 81,000 MF Global Ltd Note 9.000% 6/2 55276YAB2 7,636 6,600,000 PRN SOLE 6,600,000 Mueller Water Products Inc Com Ser A 624758108 529 175,000 SH SOLE 175,000 Mylan Inc Note 3.750% 9/1 628530AJ6 28,823 18,300,000 PRN SOLE 18,300,000 Nash Finch Co Note 1.631% 3/1 631158AD4 4,056 8,172,000 PRN SOLE 8,172,000 National City Corp Note 4.000% 2/0 635405AW3 1,379 1,365,000 PRN SOLE 1,365,000 Owens-Illinois Inc Com New 690768403 210 7,500 SH SOLE 7,500 PHH Corp Note 4.000% 4/1 693320AH6 16,055 13,670,000 PRN SOLE 13,670,000 Placer Dome Inc DBCV 2.750% 10/1 725906AK7 61,589 32,501,000 PRN SOLE 32,501,000 Potash Corp of Saskatchewan Com 73755L907 40,706 282,600 SH CALL SOLE 282,600 Qualcomm Inc. Com 747525953 9,026 200,000 SH PUT SOLE 200,000 Qwest Communications Intl Inc Note 3.500% 11/1 749121BY4 29,293 22,382,000 PRN SOLE 22,382,000 Radio One Inc CL D Non Vtg 75040P405 106 120,000 SH SOLE 120,000 SBA Communications Corp Note 4.000% 10/0 78388JAM8 27,273 18,500,000 PRN SOLE 18,500,000 SUPERVALU Inc Note 11/0 868536AP8 3,080 8,000,000 PRN SOLE 8,000,000 Teleflex Inc Note 3.875% 8/0 879369AA4 2,714 2,500,000 PRN SOLE 2,500,000 Teradyne Inc Note 4.500% 3/1 880770AE2 15,155 7,000,000 PRN SOLE 7,000,000 Textron Inc Note 4.500% 5/0 883203BN0 34,050 20,000,000 PRN SOLE 20,000,000 Theravance Inc Note 3.000% 1/1 88338TAA2 3,117 3,080,000 PRN SOLE 3,080,000 Thoratec Corp Note 1.380% 5/1 885175AB5 3,348 3,070,000 PRN SOLE 3,070,000 United Parcel Service Inc Com 911312956 20,007 300,000 SH PUT SOLE 300,000 US Airways Group Inc Note 7.250% 5/1 911905AC1 4,434 2,000,000 PRN SOLE 2,000,000 USEC Inc Note 3.000% 10/0 90333EAC2 3,966 5,000,000 PRN SOLE 5,000,000 Wells Fargo & Co Com 949746101 545 21,700 SH SOLE 21,700 Westway Group Inc *W EXP 05/24/201 96169B118 295 90,384 SH SOLE 90,384 Wyndham Worldwide Corp Note 3.500% 5/0 98310WAC2 19,496 8,782,000 PRN SOLE 8,782,000
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