Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q2 2015 (← Previous) (Next →)

Filing Date: Jul 15, 2015

Total Value ($000): $57,767 (14.4% shares, 85.6% debt)

Holdings (35)

— AFFYMETRIX INC 13.0%

Value ($000) $7,493 Shares 3,870,000 Est. Cost $1.82 Unrealized —

— SEQUENOM INC 8.4%

Value ($000) $4,843 Shares 5,000,000 Est. Cost $0.97 Unrealized —

— VECTOR GROUP LTD 7.6%

Value ($000) $4,395 Shares 4,000,000 Est. Cost $1.07 Unrealized —

— PDL BIOPHARMA INC 6.6%

Value ($000) $3,802 Shares 4,000,000 Est. Cost $0.95 Unrealized —

— ENCORE CAPITAL GROUP INC 6.2%

Value ($000) $3,597 Shares 3,335,000 Est. Cost $1.10 Unrealized —

— QUIDEL CORP 5.6%

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

— SEACOR HOLDINGS INC 5.3%

Value ($000) $3,065 Shares 3,000,000 Est. Cost $1.02 Unrealized —

— NEW MOUNTAIN FINANCE CORP 4.5%

Value ($000) $2,614 Shares 2,589,000 Est. Cost $1.01 Unrealized —

— HORSEHEAD HOLDING CORP 4.2%

Value ($000) $2,453 Shares 2,400,000 Est. Cost $1.16 Unrealized —

VTI VANGUARD TOTAL STOCK MKT ETF 3.7%

Value ($000) $2,140 Shares 20,000 Est. Cost $107.25 Unrealized —

— GARNERO GROUP ACQUISITION 3.5%

Value ($000) $2,022 Shares 206,000 Est. Cost $9.55 Unrealized —

— IMPERIAL HOLDINGS LLC 3.4%

Value ($000) $1,956 Shares 1,769,000 Est. Cost $1.13 Unrealized —

— TESLA MOTORS INC 2.9%

Value ($000) $1,667 Shares 1,700,000 Est. Cost $0.90 Unrealized —

— TESLA MOTORS INC 2.7%

Value ($000) $1,577 Shares 1,600,000 Est. Cost $0.93 Unrealized —

— ACORDA THERAPEUTICS INC 2.6%

Value ($000) $1,516 Shares 1,500,000 Est. Cost $1.15 Unrealized —

— ACCURAY INC 2.4%

Value ($000) $1,366 Shares 1,000,000 Est. Cost $1.37 Unrealized —

DIA SPDR DOW JONES INDL AVERAGE ETF TR UNIT 2.3%

Value ($000) $1,318 Shares 7,500 Est. Cost $177.79 Unrealized —

— AAR CORP 2.0%

Value ($000) $1,163 Shares 1,101,000 Est. Cost $1.03 Unrealized —

— COBALT INTERNATIONAL ENERGY 1.9%

Value ($000) $1,085 Shares 1,500,000 Est. Cost $0.68 Unrealized —

— INOTEK PHARMACEUTICALS CORP 1.6%

Value ($000) $953 Shares 1,000,000 Est. Cost $0.95 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 1.6%

Value ($000) $944 Shares 1,000,000 Est. Cost $0.92 Unrealized —

HYG ISHARES IBOXX H/Y CORP BOND 1.5%

Value ($000) $888 Shares 10,000 Est. Cost $90.60 Unrealized —

— FRONTIER COMMUNICATIONS 1.3%

Value ($000) $746 Shares 7,500 Est. Cost $99.47 Unrealized —

— ACCURAY INC 1.2%

Value ($000) $683 Shares 500,000 Est. Cost $1.37 Unrealized —

— BLUCORA INC 1.0%

Value ($000) $577 Shares 580,000 Est. Cost $0.95 Unrealized —

BRX BRIXMOR PROPERTY GROUP INC 0.8%

Value ($000) $440 Shares 19,023 Est. Cost $23.33 Unrealized —

— ENCORE CAPITAL GROUP INC 0.7%

Value ($000) $426 Shares 300,000 Est. Cost $1.45 Unrealized —

— BOULDER GROWTH & INCOME FD 0.3%

Value ($000) $202 Shares 23,978 Est. Cost $8.55 Unrealized —

— FIBROCELL SCIENCE INC 0.3%

Value ($000) $172 Shares 32,810 Est. Cost $3.95 Unrealized —

— FIFTH STREET FINANCE CORP 0.2%

Value ($000) $131 Shares 20,000 Est. Cost $7.30 Unrealized —

NXRT NEXPOINT RESIDENTIAL 0.2%

Value ($000) $100 Shares 7,452 Est. Cost $13.42 Unrealized —

— NEXPOINT CR STRATEGIES FD 0.2%

Value ($000) $91 Shares 12,357 Est. Cost $11.23 Unrealized —

— GARNERO GROUP ACQUISITION 0.1%

Value ($000) $41 Shares 211,600 Est. Cost $0.30 Unrealized —

— GARNERO GROUP ACQUISITION 0.1%

Value ($000) $29 Shares 201,665 Est. Cost $117.70 Unrealized —

HRZN HORIZON COMMUNICATIONS 0.0%

Value ($000) $22 Shares 1,800 Est. Cost $4.04 Unrealized 0.0%

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	AFFYMETRIX INC	3,870,000	$7,493	13.0%	$1.82	—	CONV	00826TAH1
—	SEQUENOM INC	5,000,000	$4,843	8.4%	$0.97	—	CONV	817337AC2
—	VECTOR GROUP LTD	4,000,000	$4,395	7.6%	$1.07	—	CONV	92240MBC1
—	PDL BIOPHARMA INC	4,000,000	$3,802	6.6%	$0.95	—	CONV	69329YAF1
—	ENCORE CAPITAL GROUP INC	3,335,000	$3,597	6.2%	$1.10	—	CONV	292554AF9
—	QUIDEL CORP	3,250,000	$3,250	5.6%	$1.11	—	CONV	74838JAA9
—	SEACOR HOLDINGS INC	3,000,000	$3,065	5.3%	$1.02	—	CONV	811904AM3
—	NEW MOUNTAIN FINANCE CORP	2,589,000	$2,614	4.5%	$1.01	—	CONV	647551AB6
—	HORSEHEAD HOLDING CORP	2,400,000	$2,453	4.2%	$1.16	—	CONV	440694AB3
VTI	VANGUARD TOTAL STOCK MKT ETF	20,000	$2,140	3.7%	$107.25	—	ETF	922908769
—	GARNERO GROUP ACQUISITION	206,000	$2,022	3.5%	$9.55	—	COM	G5866L108
—	IMPERIAL HOLDINGS LLC	1,769,000	$1,956	3.4%	$1.13	—	CONV	452834AE4
—	TESLA MOTORS INC	1,700,000	$1,667	2.9%	$0.90	—	CONV	88160RAC5
—	TESLA MOTORS INC	1,600,000	$1,577	2.7%	$0.93	—	CONV	88160RAB7
—	ACORDA THERAPEUTICS INC	1,500,000	$1,516	2.6%	$1.15	—	CONV	00484MAA4
—	ACCURAY INC	1,000,000	$1,366	2.4%	$1.37	—	CONV	004397AF2
DIA	SPDR DOW JONES INDL AVERAGE ETF TR UNIT	7,500	$1,318	2.3%	$177.79	—	ETF	78467X109
—	AAR CORP	1,101,000	$1,163	2.0%	$1.03	—	CONV	000361AM7
—	COBALT INTERNATIONAL ENERGY	1,500,000	$1,085	1.9%	$0.68	—	CONV	19075FAB2
—	INOTEK PHARMACEUTICALS CORP	1,000,000	$953	1.6%	$0.95	—	CONV	45780VAA0
—	SPECTRUM PHARMACEUTICALS INC	1,000,000	$944	1.6%	$0.92	—	CONV	84763AAB4
HYG	ISHARES IBOXX H/Y CORP BOND	10,000	$888	1.5%	$90.60	—	ETF	464288513
—	FRONTIER COMMUNICATIONS	7,500	$746	1.3%	$99.47	—	COMM	35906A207
—	ACCURAY INC	500,000	$683	1.2%	$1.37	—	CONV	004397AD7
—	BLUCORA INC	580,000	$577	1.0%	$0.95	—	CONV	095229AB6
BRX	BRIXMOR PROPERTY GROUP INC	19,023	$440	0.8%	$23.33	—	REIT	11120U105
—	ENCORE CAPITAL GROUP INC	300,000	$426	0.7%	$1.45	—	CONV	292554AD4
—	BOULDER GROWTH & INCOME FD	23,978	$202	0.3%	$8.55	—	FUND	101507101
—	FIBROCELL SCIENCE INC	32,810	$172	0.3%	$3.95	—	COMM	315721209
—	FIFTH STREET FINANCE CORP	20,000	$131	0.2%	$7.30	—	COMM	31678A103
NXRT	NEXPOINT RESIDENTIAL	7,452	$100	0.2%	$13.42	—	COMM	65341D102
—	NEXPOINT CR STRATEGIES FD	12,357	$91	0.2%	$11.23	—	FUND	65340G106
—	GARNERO GROUP ACQUISITION	211,600	$41	0.1%	$0.30	—	RIGHT	G5866L132
—	GARNERO GROUP ACQUISITION	201,665	$29	0.1%	$117.70	—	WRNT	G5866L116
HRZN	HORIZON COMMUNICATIONS	1,800	$22	0.0%	$4.04	0.0%	COMM	44045A102