Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q1 2015 (← Previous) (Next →)

Filing Date: Apr 28, 2015

Total Value ($000): $55,174 (15.3% shares, 84.7% debt)

Holdings (35)

— AFFYMETRIX INC 11.4%

Value ($000) $6,303 Shares 2,870,000 Est. Cost $1.78 Unrealized —

— SEQUENOM INC 8.6%

Value ($000) $4,745 Shares 4,500,000 Est. Cost $1.05 Unrealized —

— VECTOR GROUP LTD 7.8%

Value ($000) $4,298 Shares 4,000,000 Est. Cost $1.07 Unrealized —

— BLUCORA INC 6.9%

Value ($000) $3,786 Shares 4,030,000 Est. Cost $0.95 Unrealized —

— QUIDEL CORP 6.4%

Value ($000) $3,534 Shares 3,250,000 Est. Cost $1.11 Unrealized —

— GREEN PLAINS INC 6.2%

Value ($000) $3,439 Shares 2,300,000 Est. Cost $1.41 Unrealized —

— ENCORE CAP GROUP INC 5.5%

Value ($000) $3,048 Shares 2,835,000 Est. Cost $1.11 Unrealized —

— HORSEHEAD HLDG CORP 4.6%

Value ($000) $2,565 Shares 2,400,000 Est. Cost $1.16 Unrealized —

— TESLA MTRS INC 4.4%

Value ($000) $2,408 Shares 1,500,000 Est. Cost $1.61 Unrealized —

— ANI PHARMACEUTICALS INC 4.2%

Value ($000) $2,295 Shares 2,000,000 Est. Cost $1.05 Unrealized —

— GARNERO GROUP ACQUISITION 4.0%

Value ($000) $2,183 Shares 226,000 Est. Cost $9.55 Unrealized —

VTI VANGUARD INDEX FDS 3.9%

Value ($000) $2,145 Shares 20,000 Est. Cost $107.25 Unrealized —

DIA SPDR DOW JONES INDL AVRG ETF 2.9%

Value ($000) $1,598 Shares 9,000 Est. Cost $177.79 Unrealized —

— ACORDA THERAPEUTICS INC 2.8%

Value ($000) $1,535 Shares 1,500,000 Est. Cost $1.15 Unrealized —

— TESLA MTRS INC 2.6%

Value ($000) $1,435 Shares 1,700,000 Est. Cost $0.90 Unrealized —

— AAR CORP 2.6%

Value ($000) $1,419 Shares 1,351,000 Est. Cost $1.03 Unrealized —

— TESLA MTRS INC 2.5%

Value ($000) $1,405 Shares 1,600,000 Est. Cost $0.93 Unrealized —

— AK STEEL HOLDING CORP 2.0%

Value ($000) $1,116 Shares 1,000,000 Est. Cost $1.34 Unrealized —

— COBALT INTL ENERGY INC 2.0%

Value ($000) $1,106 Shares 1,500,000 Est. Cost $0.68 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 1.7%

Value ($000) $919 Shares 1,000,000 Est. Cost $0.92 Unrealized —

HYG ISHARES 1.6%

Value ($000) $906 Shares 10,000 Est. Cost $90.60 Unrealized —

— SPIRIT RLTY CAP INC NEW 0.9%

Value ($000) $501 Shares 500,000 Est. Cost $1.00 Unrealized —

— IMPERIAL HLDGS INC 0.8%

Value ($000) $434 Shares 350,000 Est. Cost $1.24 Unrealized —

— ENCORE CAP GROUP INC 0.8%

Value ($000) $418 Shares 300,000 Est. Cost $1.45 Unrealized —

— NEXPOINT CR STRATEGIES FD 0.5%

Value ($000) $272 Shares 22,357 Est. Cost $11.23 Unrealized —

NMFC NEW MTN FIN CORP 0.4%

Value ($000) $245 Shares 20,000 Est. Cost $4.64 Unrealized 0.0%

— TRI CONTL CORP 0.4%

Value ($000) $223 Shares 10,300 Est. Cost $21.65 Unrealized —

— BOULDER GROWTH & INCOME FD 0.4%

Value ($000) $205 Shares 23,978 Est. Cost $8.55 Unrealized —

ARI APOLLO COML REAL EST FIN INC 0.3%

Value ($000) $172 Shares 10,000 Est. Cost $17.20 Unrealized —

— FIBROCELL SCIENCE INC 0.3%

Value ($000) $158 Shares 35,110 Est. Cost $3.95 Unrealized —

— FIFTH STREET FINANCE CORP 0.3%

Value ($000) $146 Shares 20,000 Est. Cost $7.30 Unrealized —

— KINDER MORGAN INC DEL 0.2%

Value ($000) $123 Shares 30,000 Est. Cost $4.10 Unrealized —

— GARNERO GROUP ACQUISITION 0.1%

Value ($000) $40 Shares 211,600 Est. Cost $0.30 Unrealized —

BRX BRIXMOR PPTY GROUP INC 0.0%

Value ($000) $27 Shares 999 Est. Cost $27.03 Unrealized —

— GARNERO GROUP ACQUISITION 0.0%

Value ($000) $22 Shares 197,800 Est. Cost $120.00 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	AFFYMETRIX INC	2,870,000	$6,303	11.4%	$1.78	—	CONV	00826TAH1
—	SEQUENOM INC	4,500,000	$4,745	8.6%	$1.05	—	CONV	817337AB4
—	VECTOR GROUP LTD	4,000,000	$4,298	7.8%	$1.07	—	CONV	92240MBC1
—	BLUCORA INC	4,030,000	$3,786	6.9%	$0.95	—	CONV	095229AB6
—	QUIDEL CORP	3,250,000	$3,534	6.4%	$1.11	—	CONV	74838JAA9
—	GREEN PLAINS INC	2,300,000	$3,439	6.2%	$1.41	—	CONV	393222AD6
—	ENCORE CAP GROUP INC	2,835,000	$3,048	5.5%	$1.11	—	CONV	292554AF9
—	HORSEHEAD HLDG CORP	2,400,000	$2,565	4.6%	$1.16	—	CONV	440694AB3
—	TESLA MTRS INC	1,500,000	$2,408	4.4%	$1.61	—	CONV	88160RAA9
—	ANI PHARMACEUTICALS INC	2,000,000	$2,295	4.2%	$1.05	—	CONV	00182CAA1
—	GARNERO GROUP ACQUISITION	226,000	$2,183	4.0%	$9.55	—	COM	G5866L108
VTI	VANGUARD INDEX FDS	20,000	$2,145	3.9%	$107.25	—	FUND	922908769
DIA	SPDR DOW JONES INDL AVRG ETF	9,000	$1,598	2.9%	$177.79	—	ETF	78467X109
—	ACORDA THERAPEUTICS INC	1,500,000	$1,535	2.8%	$1.15	—	CONV	00484MAA4
—	TESLA MTRS INC	1,700,000	$1,435	2.6%	$0.90	—	CONV	88160RAC5
—	AAR CORP	1,351,000	$1,419	2.6%	$1.03	—	CONV	000361AM7
—	TESLA MTRS INC	1,600,000	$1,405	2.5%	$0.93	—	CONV	88160RAB7
—	AK STEEL HOLDING CORP	1,000,000	$1,116	2.0%	$1.34	—	CONV	001546AP5
—	COBALT INTL ENERGY INC	1,500,000	$1,106	2.0%	$0.68	—	CONV	19075FAB2
—	SPECTRUM PHARMACEUTICALS INC	1,000,000	$919	1.7%	$0.92	—	CONV	84763AAB4
HYG	ISHARES	10,000	$906	1.6%	$90.60	—	ETF	464288513
—	SPIRIT RLTY CAP INC NEW	500,000	$501	0.9%	$1.00	—	CONV	84860WAB8
—	IMPERIAL HLDGS INC	350,000	$434	0.8%	$1.24	—	CONV	452834AE4
—	ENCORE CAP GROUP INC	300,000	$418	0.8%	$1.45	—	CONV	292554AD4
—	NEXPOINT CR STRATEGIES FD	22,357	$272	0.5%	$11.23	—	COM	65340G106
NMFC	NEW MTN FIN CORP	20,000	$245	0.4%	$4.64	0.0%	COM	647551100
—	TRI CONTL CORP	10,300	$223	0.4%	$21.65	—	COM	895436103
—	BOULDER GROWTH & INCOME FD	23,978	$205	0.4%	$8.55	—	FUND	101507101
ARI	APOLLO COML REAL EST FIN INC	10,000	$172	0.3%	$17.20	—	COM	03762U105
—	FIBROCELL SCIENCE INC	35,110	$158	0.3%	$3.95	—	COM	315721209
—	FIFTH STREET FINANCE CORP	20,000	$146	0.3%	$7.30	—	COM	31678A103
—	KINDER MORGAN INC DEL	30,000	$123	0.2%	$4.10	—	WRNT	49456B119
—	GARNERO GROUP ACQUISITION	211,600	$40	0.1%	$0.30	—	RIGHT	G5866L132
BRX	BRIXMOR PPTY GROUP INC	999	$27	0.0%	$27.03	—	COM	11120U105
—	GARNERO GROUP ACQUISITION	197,800	$22	0.0%	$120.00	—	WRNT	G5866L116