Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q3 2015 (← Previous) (Next →)

Filing Date: Nov 17, 2015

Total Value ($000): $54,896 (20.2% shares, 79.8% debt)

Holdings (37)

— AFFYMETRIX INC 11.0%

Value ($000) $6,052 Shares 3,870,000 Est. Cost $1.82 Unrealized —

— VECTOR GROUP LTD 10.7%

Value ($000) $5,888 Shares 5,250,000 Est. Cost $1.08 Unrealized —

— SEACOR HOLDINGS INC 7.0%

Value ($000) $3,858 Shares 4,000,000 Est. Cost $1.01 Unrealized —

— SEQUENOM INC 6.9%

Value ($000) $3,808 Shares 4,500,000 Est. Cost $0.97 Unrealized —

— PDL BIOPHARMA INC 6.4%

Value ($000) $3,490 Shares 4,000,000 Est. Cost $0.95 Unrealized —

— ENCORE CAPITAL GROUP INC 6.1%

Value ($000) $3,329 Shares 3,335,000 Est. Cost $1.10 Unrealized —

— CARRIAGE SERVICES INC. 6.1%

Value ($000) $3,323 Shares 3,000,000 Est. Cost $1.11 Unrealized —

— TESLA MOTORS INC 4.7%

Value ($000) $2,555 Shares 2,700,000 Est. Cost $0.92 Unrealized —

— RAMCO-GERSHENSON PPTYS TR 4.4%

Value ($000) $2,428 Shares 43,556 Est. Cost $55.74 Unrealized —

— GARNERO GROUP ACQUISITION CO 3.6%

Value ($000) $1,957 Shares 197,500 Est. Cost $9.55 Unrealized —

SPY SPDR S&P 500 ETF TR 3.5%

Value ($000) $1,916 Shares 10,000 Est. Cost $191.60 Unrealized —

— IMPERIAL HOLDINGS INC 3.4%

Value ($000) $1,880 Shares 1,769,000 Est. Cost $1.13 Unrealized —

VTI VANGUARD INDEX FDS 2.9%

Value ($000) $1,599 Shares 16,200 Est. Cost $107.25 Unrealized —

— TESLA MOTORS INC 2.8%

Value ($000) $1,544 Shares 1,600,000 Est. Cost $0.93 Unrealized —

— QUIDEL CORP 2.1%

Value ($000) $1,162 Shares 1,250,000 Est. Cost $1.11 Unrealized —

— NEW MOUNTAIN FINANCE CORP 2.1%

Value ($000) $1,148 Shares 1,163,000 Est. Cost $1.01 Unrealized —

— ACCURAY INC 2.0%

Value ($000) $1,101 Shares 1,000,000 Est. Cost $1.37 Unrealized —

— HORSEHEAD HLDG CORP 1.8%

Value ($000) $1,003 Shares 1,775,000 Est. Cost $1.16 Unrealized —

— AEGERION PHARMACEUTICALS INC 1.7%

Value ($000) $941 Shares 1,250,000 Est. Cost $0.75 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 1.6%

Value ($000) $897 Shares 1,000,000 Est. Cost $0.92 Unrealized —

HYG ISHARES TR 1.4%

Value ($000) $782 Shares 9,400 Est. Cost $90.60 Unrealized —

ILMN ILLUMINA INC 1.2%

Value ($000) $685 Shares 3,900 Est. Cost $202.14 Unrealized 0.0%

— AAR CORP 1.1%

Value ($000) $602 Shares 601,000 Est. Cost $1.03 Unrealized —

— ACCURAY INC 1.0%

Value ($000) $551 Shares 500,000 Est. Cost $1.37 Unrealized —

— ENCORE CAPITAL GROUP INC 0.7%

Value ($000) $378 Shares 300,000 Est. Cost $1.45 Unrealized —

— FRONTIER COMMUNICATIONS CORP 0.6%

Value ($000) $351 Shares 3,766 Est. Cost $99.47 Unrealized —

— COBALT INTERNATIONAL ENERGY INC 0.6%

Value ($000) $319 Shares 500,000 Est. Cost $0.68 Unrealized —

— WESTERN ASSET CLYM INFL 0.6%

Value ($000) $315 Shares 29,900 Est. Cost $10.54 Unrealized —

— BLACKROCK LTD DURATION INC T 0.5%

Value ($000) $283 Shares 19,592 Est. Cost $14.44 Unrealized —

— BOULDER GROWTH & INCOME FD I 0.3%

Value ($000) $173 Shares 23,278 Est. Cost $8.55 Unrealized —

— FIBROCELL SCIENCE INC 0.2%

Value ($000) $119 Shares 31,010 Est. Cost $3.95 Unrealized —

— FIFTH STREET FINANCE CORP 0.2%

Value ($000) $115 Shares 18,700 Est. Cost $7.30 Unrealized —

— ROYCE VALUE TR INC 0.2%

Value ($000) $115 Shares 10,000 Est. Cost $11.50 Unrealized —

NXRT NEXPOINT RESIDENTIAL 0.2%

Value ($000) $87 Shares 6,519 Est. Cost $13.42 Unrealized —

— NEXPOINT CR STRATEGIES FD 0.1%

Value ($000) $64 Shares 11,357 Est. Cost $11.23 Unrealized —

— GARNERO GROUP ACQUISITION CO 0.1%

Value ($000) $46 Shares 211,600 Est. Cost $0.30 Unrealized —

— GARNERO GROUP ACQUISITION CO 0.1%

Value ($000) $32 Shares 246,765 Est. Cost $96.21 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	AFFYMETRIX INC	3,870,000	$6,052	11.0%	$1.82	—	CONV	00826TAH1
—	VECTOR GROUP LTD	5,250,000	$5,888	10.7%	$1.08	—	CONV	92240MBC1
—	SEACOR HOLDINGS INC	4,000,000	$3,858	7.0%	$1.01	—	CONV	811904AM3
—	SEQUENOM INC	4,500,000	$3,808	6.9%	$0.97	—	CONV	817337AC2
—	PDL BIOPHARMA INC	4,000,000	$3,490	6.4%	$0.95	—	CONV	69329YAF1
—	ENCORE CAPITAL GROUP INC	3,335,000	$3,329	6.1%	$1.10	—	CONV	292554AF9
—	CARRIAGE SERVICES INC.	3,000,000	$3,323	6.1%	$1.11	—	CONV	143905AM9
—	TESLA MOTORS INC	2,700,000	$2,555	4.7%	$0.92	—	CONV	88160RAC5
—	RAMCO-GERSHENSON PPTYS TR	43,556	$2,428	4.4%	$55.74	—	COMM	751452608
—	GARNERO GROUP ACQUISITION CO	197,500	$1,957	3.6%	$9.55	—	COMM	G5866L108
SPY	SPDR S&P 500 ETF TR	10,000	$1,916	3.5%	$191.60	—	ETF	78462F103
—	IMPERIAL HOLDINGS INC	1,769,000	$1,880	3.4%	$1.13	—	CONV	452834AE4
VTI	VANGUARD INDEX FDS	16,200	$1,599	2.9%	$107.25	—	FUND	922908769
—	TESLA MOTORS INC	1,600,000	$1,544	2.8%	$0.93	—	CONV	88160RAB7
—	QUIDEL CORP	1,250,000	$1,162	2.1%	$1.11	—	CONV	74838JAA9
—	NEW MOUNTAIN FINANCE CORP	1,163,000	$1,148	2.1%	$1.01	—	CONV	647551AB6
—	ACCURAY INC	1,000,000	$1,101	2.0%	$1.37	—	CONV	004397AF2
—	HORSEHEAD HLDG CORP	1,775,000	$1,003	1.8%	$1.16	—	CONV	440694AB3
—	AEGERION PHARMACEUTICALS INC	1,250,000	$941	1.7%	$0.75	—	CONV	00767EAB8
—	SPECTRUM PHARMACEUTICALS INC	1,000,000	$897	1.6%	$0.92	—	CONV	84763AAB4
HYG	ISHARES TR	9,400	$782	1.4%	$90.60	—	ETF	464288513
ILMN	ILLUMINA INC	3,900	$685	1.2%	$202.14	0.0%	COMM	452327109
—	AAR CORP	601,000	$602	1.1%	$1.03	—	CONV	000361AM7
—	ACCURAY INC	500,000	$551	1.0%	$1.37	—	CONV	004397AD7
—	ENCORE CAPITAL GROUP INC	300,000	$378	0.7%	$1.45	—	CONV	292554AD4
—	FRONTIER COMMUNICATIONS CORP	3,766	$351	0.6%	$99.47	—	COMM	35906A207
—	COBALT INTERNATIONAL ENERGY INC	500,000	$319	0.6%	$0.68	—	CONV	19075FAB2
—	WESTERN ASSET CLYM INFL	29,900	$315	0.6%	$10.54	—	COMM	95766Q106
—	BLACKROCK LTD DURATION INC T	19,592	$283	0.5%	$14.44	—	FUND	09249W101
—	BOULDER GROWTH & INCOME FD I	23,278	$173	0.3%	$8.55	—	FUND	101507101
—	FIBROCELL SCIENCE INC	31,010	$119	0.2%	$3.95	—	COMM	315721209
—	FIFTH STREET FINANCE CORP	18,700	$115	0.2%	$7.30	—	COMM	31678A103
—	ROYCE VALUE TR INC	10,000	$115	0.2%	$11.50	—	COMM	780910105
NXRT	NEXPOINT RESIDENTIAL	6,519	$87	0.2%	$13.42	—	COMM	65341D102
—	NEXPOINT CR STRATEGIES FD	11,357	$64	0.1%	$11.23	—	COMM	65340G106
—	GARNERO GROUP ACQUISITION CO	211,600	$46	0.1%	$0.30	—	RIGHT	G5866L132
—	GARNERO GROUP ACQUISITION CO	246,765	$32	0.1%	$96.21	—	WARRANT	G5866L116