Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q4 2014 (Next →)

Filing Date: Feb 17, 2015

Total Value ($000): $80,467 (37.3% shares, 62.7% debt)

Holdings (38)

— GARNERO GROUP ACQUISITION CO 29.5%

Value ($000) $23,736 Shares 197,800 Est. Cost $120.00 Unrealized —

— AFFYMETRIX INC 7.0%

Value ($000) $5,602 Shares 3,145,000 Est. Cost $1.78 Unrealized —

— SEQUENOM INC 5.1%

Value ($000) $4,142 Shares 4,000,000 Est. Cost $1.04 Unrealized —

— AK STEEL HOLDING CORP 5.0%

Value ($000) $4,014 Shares 3,000,000 Est. Cost $1.34 Unrealized —

— BLUCORA INC 4.8%

Value ($000) $3,881 Shares 4,100,000 Est. Cost $0.95 Unrealized —

— ANI PHARMACEUTICALS INC 4.6%

Value ($000) $3,675 Shares 3,500,000 Est. Cost $1.05 Unrealized —

— CBIZ INC 4.1%

Value ($000) $3,331 Shares 2,750,000 Est. Cost $1.21 Unrealized —

— VECTOR GROUP LTD 4.0%

Value ($000) $3,186 Shares 3,000,000 Est. Cost $1.06 Unrealized —

— JAKKS PACIFIC INC 3.1%

Value ($000) $2,477 Shares 2,574,000 Est. Cost $0.96 Unrealized —

— TECHNOLOGY INVSTMT CAP CORP 2.9%

Value ($000) $2,323 Shares 2,220,000 Est. Cost $1.05 Unrealized —

— GARNERO GROUP ACQUISITION CO 2.7%

Value ($000) $2,158 Shares 226,000 Est. Cost $9.55 Unrealized —

— QUIDEL CORP 2.4%

Value ($000) $1,964 Shares 1,750,000 Est. Cost $1.12 Unrealized —

— HORSEHEAD HOLDING CORP 2.3%

Value ($000) $1,824 Shares 1,500,000 Est. Cost $1.22 Unrealized —

— GREEN PLAINS INC 2.2%

Value ($000) $1,757 Shares 1,300,000 Est. Cost $1.35 Unrealized —

— ACORDA THERAPEUTICS INC 2.1%

Value ($000) $1,725 Shares 1,500,000 Est. Cost $1.15 Unrealized —

— ENCORE CAPITAL GROUP INC 2.1%

Value ($000) $1,703 Shares 1,500,000 Est. Cost $1.14 Unrealized —

— COBALT INTERNATIONAL ENERGY 2.1%

Value ($000) $1,688 Shares 2,500,000 Est. Cost $0.68 Unrealized —

— HF2 FINANCIAL MANAGEMENT INC 2.0%

Value ($000) $1,643 Shares 157,822 Est. Cost $10.41 Unrealized —

— TESLA MOTORS INC 1.9%

Value ($000) $1,533 Shares 1,700,000 Est. Cost $0.90 Unrealized —

— TESLA MOTORS INC 1.8%

Value ($000) $1,483 Shares 1,600,000 Est. Cost $0.93 Unrealized —

— AAR Corp 1.7%

Value ($000) $1,397 Shares 1,351,000 Est. Cost $1.03 Unrealized —

DIA SPDR DOW JONES INDL AVERAGE ETF TR UNIT 1.5%

Value ($000) $1,245 Shares 7,000 Est. Cost $177.86 Unrealized —

— DENDREON CORP 1.0%

Value ($000) $844 Shares 1,350,000 Est. Cost $0.63 Unrealized —

— COBALT INTERNATIONAL ENERGY 1.0%

Value ($000) $806 Shares 1,300,000 Est. Cost $0.62 Unrealized —

— JAKKS PACIFIC INC 1.0%

Value ($000) $765 Shares 875,000 Est. Cost $0.87 Unrealized —

— FIBROCELL WARRANTS 2.5 Strike 0.7%

Value ($000) $537 Shares 456,670 Est. Cost $1.18 Unrealized —

— ENCORE CAPITAL GROUP INC 0.4%

Value ($000) $295 Shares 200,000 Est. Cost $1.48 Unrealized —

— NEXPOINT CR STRATEGIES FD 0.3%

Value ($000) $251 Shares 22,357 Est. Cost $11.23 Unrealized —

— FREDDIE MAC 7.875% 0.2%

Value ($000) $158 Shares 40,000 Est. Cost $3.95 Unrealized —

— CB PHARMA ACQUISITION-UNIT 0.2%

Value ($000) $150 Shares 14,900 Est. Cost $10.07 Unrealized —

— GARNERO GROUP ACQUISITION CO 0.1%

Value ($000) $63 Shares 211,600 Est. Cost $0.30 Unrealized —

— KINDER MORGAN INC/DELAWARE-P 0.1%

Value ($000) $42 Shares 10,000 Est. Cost $4.20 Unrealized —

— Fibrocell Science Inc 0.0%

Value ($000) $26 Shares 10,100 Est. Cost $2.57 Unrealized —

— WTS GREEN HUNTER RESOURCES INC @$2.25 EX 0.0%

Value ($000) $22 Shares 38,889 Est. Cost $0.57 Unrealized —

— GALENA BIOPHARMA 0.0%

Value ($000) $11 Shares 30,000 Est. Cost $0.37 Unrealized —

— FIBROCELL WARRANTS 6.25 Strike 0.0%

Value ($000) $8 Shares 32,000 Est. Cost $0.25 Unrealized —

FONTF FRONTERA RESOURCES CORP 0.0%

Value ($000) $2 Shares 10,815 Est. Cost $0.18 Unrealized —

— FIBROCELL WARRANTS 18.75 Strike 0.0%

Value ($000) $0 Shares 15,274 Est. Cost — Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	GARNERO GROUP ACQUISITION CO	197,800	$23,736	29.5%	$120.00	—	WTS	G5866L116
—	AFFYMETRIX INC	3,145,000	$5,602	7.0%	$1.78	—	CONV	00826TAH1
—	SEQUENOM INC	4,000,000	$4,142	5.1%	$1.04	—	CONV	817337405
—	AK STEEL HOLDING CORP	3,000,000	$4,014	5.0%	$1.34	—	CONV	001546AP5
—	BLUCORA INC	4,100,000	$3,881	4.8%	$0.95	—	CONV	095229AB6
—	ANI PHARMACEUTICALS INC	3,500,000	$3,675	4.6%	$1.05	—	CONV	00182CAA1
—	CBIZ INC	2,750,000	$3,331	4.1%	$1.21	—	CONV	124805AC6
—	VECTOR GROUP LTD	3,000,000	$3,186	4.0%	$1.06	—	CONV	92240MBC1
—	JAKKS PACIFIC INC	2,574,000	$2,477	3.1%	$0.96	—	CONV	47012EAE6
—	TECHNOLOGY INVSTMT CAP CORP	2,220,000	$2,323	2.9%	$1.05	—	CONV	87244TAB5
—	GARNERO GROUP ACQUISITION CO	226,000	$2,158	2.7%	$9.55	—	SHS	G5866L108
—	QUIDEL CORP	1,750,000	$1,964	2.4%	$1.12	—	CONV	74838JAA9
—	HORSEHEAD HOLDING CORP	1,500,000	$1,824	2.3%	$1.22	—	CONV	440694AB3
—	GREEN PLAINS INC	1,300,000	$1,757	2.2%	$1.35	—	CONV	393222AD6
—	ACORDA THERAPEUTICS INC	1,500,000	$1,725	2.1%	$1.15	—	CONV	00484MAA4
—	ENCORE CAPITAL GROUP INC	1,500,000	$1,703	2.1%	$1.14	—	CONV	292554AF9
—	COBALT INTERNATIONAL ENERGY	2,500,000	$1,688	2.1%	$0.68	—	CONV	19075FAB2
—	HF2 FINANCIAL MANAGEMENT INC	157,822	$1,643	2.0%	$10.41	—	COM	40421A104
—	TESLA MOTORS INC	1,700,000	$1,533	1.9%	$0.90	—	CONV	88160RAC5
—	TESLA MOTORS INC	1,600,000	$1,483	1.8%	$0.93	—	CONV	88160RAB7
—	AAR Corp	1,351,000	$1,397	1.7%	$1.03	—	CONV	000361AM7
DIA	SPDR DOW JONES INDL AVERAGE ETF TR UNIT	7,000	$1,245	1.5%	$177.86	—	COM	78467X109
—	DENDREON CORP	1,350,000	$844	1.0%	$0.63	—	CONV	24823QAC1
—	COBALT INTERNATIONAL ENERGY	1,300,000	$806	1.0%	$0.62	—	CONV	19075FAA4
—	JAKKS PACIFIC INC	875,000	$765	1.0%	$0.87	—	CONV	47012EAG1
—	FIBROCELL WARRANTS 2.5 Strike	456,670	$537	0.7%	$1.18	—	WTS	00FCSCWTS
—	ENCORE CAPITAL GROUP INC	200,000	$295	0.4%	$1.48	—	CONV	292554AD4
—	NEXPOINT CR STRATEGIES FD	22,357	$251	0.3%	$11.23	—	COM	65340G106
—	FREDDIE MAC 7.875%	40,000	$158	0.2%	$3.95	—	Preferred	313400624
—	CB PHARMA ACQUISITION-UNIT	14,900	$150	0.2%	$10.07	—	UNIT	G2029P100
—	GARNERO GROUP ACQUISITION CO	211,600	$63	0.1%	$0.30	—	Right	G5866L132
—	KINDER MORGAN INC/DELAWARE-P	10,000	$42	0.1%	$4.20	—	WTS	0000KMIWS
—	Fibrocell Science Inc	10,100	$26	0.0%	$2.57	—	COM	315721209
—	WTS GREEN HUNTER RESOURCES INC @$2.25 EX	38,889	$22	0.0%	$0.57	—	WRNT	000GHRWTS
—	GALENA BIOPHARMA	30,000	$11	0.0%	$0.37	—	WTS	363256116
—	FIBROCELL WARRANTS 6.25 Strike	32,000	$8	0.0%	$0.25	—	WTS	00FCSCWS2
FONTF	FRONTERA RESOURCES CORP	10,815	$2	0.0%	$0.18	—	COM	G36813106
—	FIBROCELL WARRANTS 18.75 Strike	15,274	$0	0.0%	—	—	WTS	00FIBROWS