Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q3 2016 (← Previous) (Next →)

Filing Date: Nov 14, 2016

Total Value ($000): $102,882 (7.1% shares, 92.9% debt)

Holdings (32)

— ENDOLOGIX INC 7.8%

Value ($000) $8,035 Shares 6,075,000 Est. Cost $1.12 Unrealized —

— MENTOR GRAPHICS CORP 7.8%

Value ($000) $8,033 Shares 6,000,000 Est. Cost $1.10 Unrealized —

— VERISIGN INC 7.6%

Value ($000) $7,822 Shares 3,415,000 Est. Cost $2.29 Unrealized —

— ALBANY MOLECULAR RESH INC 7.6%

Value ($000) $7,787 Shares 6,575,000 Est. Cost $1.21 Unrealized —

— LGI HOMES INC 7.2%

Value ($000) $7,395 Shares 4,193,000 Est. Cost $1.43 Unrealized —

— INTERCEPT PHARMACEUTICALS IN 6.2%

Value ($000) $6,335 Shares 5,650,000 Est. Cost $1.12 Unrealized —

— PDL BIOPHARMA INC 6.1%

Value ($000) $6,309 Shares 6,500,000 Est. Cost $0.93 Unrealized —

— WEATHERFORD INTL LTD 5.7%

Value ($000) $5,896 Shares 5,250,000 Est. Cost $1.09 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 5.3%

Value ($000) $5,461 Shares 6,049,000 Est. Cost $0.91 Unrealized —

— ON SEMICONDUCTOR CORP 3.8%

Value ($000) $3,883 Shares 3,256,000 Est. Cost $1.19 Unrealized —

— CTRIP COM INTL LTD 3.7%

Value ($000) $3,801 Shares 3,500,000 Est. Cost $1.09 Unrealized —

— HORIZON PHARMA INVT LTD 2.8%

Value ($000) $2,833 Shares 2,920,000 Est. Cost $0.89 Unrealized —

— TTM TECHNOLOGIES INC 2.8%

Value ($000) $2,831 Shares 2,140,000 Est. Cost $1.16 Unrealized —

— ENCORE CAP GROUP INC 2.3%

Value ($000) $2,403 Shares 2,865,000 Est. Cost $1.01 Unrealized —

— CARRIAGE SVCS INC 2.3%

Value ($000) $2,350 Shares 2,000,000 Est. Cost $1.11 Unrealized —

— DOMINION RES INC VA NEW 2.2%

Value ($000) $2,267 Shares 45,000 Est. Cost $50.38 Unrealized —

— VECTOR GROUP LTD 2.1%

Value ($000) $2,127 Shares 1,861,000 Est. Cost $1.08 Unrealized —

— ALLEGHENY TECHNOLOGIES INC 2.1%

Value ($000) $2,116 Shares 1,500,000 Est. Cost $1.41 Unrealized —

— TCP CAP CORP 1.9%

Value ($000) $2,003 Shares 2,003,000 Est. Cost $1.00 Unrealized —

— AEGERION PHARMACEUTICALS INC 1.8%

Value ($000) $1,826 Shares 2,760,000 Est. Cost $0.67 Unrealized —

SPY SPDR S&P 500 ETF TR 1.6%

Value ($000) $1,622 Shares 7,500 Est. Cost $205.47 Unrealized —

VTI VANGUARD INDEX FDS 1.5%

Value ($000) $1,558 Shares 14,000 Est. Cost $105.41 Unrealized —

— MEDICINES CO 1.5%

Value ($000) $1,553 Shares 1,200,000 Est. Cost $1.19 Unrealized —

— ACCURAY INC 1.3%

Value ($000) $1,290 Shares 1,000,000 Est. Cost $1.28 Unrealized —

— EXELIXIS INC 1.2%

Value ($000) $1,203 Shares 500,000 Est. Cost $2.41 Unrealized —

— LINKEDIN CORP 1.0%

Value ($000) $1,051 Shares 5,500 Est. Cost $191.09 Unrealized —

— ENDOLOGIX INC 0.8%

Value ($000) $838 Shares 871,000 Est. Cost $0.93 Unrealized —

— NEW MTN FIN CORP 0.8%

Value ($000) $787 Shares 768,000 Est. Cost $1.00 Unrealized —

— KLR ENERGY ACQUISITION CORP 0.6%

Value ($000) $569 Shares 56,238 Est. Cost $10.12 Unrealized —

— COBALT INTL ENERGY INC 0.5%

Value ($000) $511 Shares 1,000,000 Est. Cost $0.58 Unrealized —

— BOULDER GROWTH & INCOME FD I 0.2%

Value ($000) $195 Shares 23,278 Est. Cost $8.55 Unrealized —

— COBALT INTL ENERGY INC 0.2%

Value ($000) $192 Shares 500,000 Est. Cost $0.68 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	ENDOLOGIX INC	6,075,000	$8,035	7.8%	$1.12	—	NOTE 3.250%11/0	29266SAB2
—	MENTOR GRAPHICS CORP	6,000,000	$8,033	7.8%	$1.10	—	SDCV 4.000% 4/0	587200AK2
—	VERISIGN INC	3,415,000	$7,822	7.6%	$2.29	—	SDCV 3.250% 8/1	92343EAD4
—	ALBANY MOLECULAR RESH INC	6,575,000	$7,787	7.6%	$1.21	—	NOTE 2.250%11/1	012423AB5
—	LGI HOMES INC	4,193,000	$7,395	7.2%	$1.43	—	NOTE 4.250%11/1	50187TAB2
—	INTERCEPT PHARMACEUTICALS IN	5,650,000	$6,335	6.2%	$1.12	—	NOTE 3.250% 7/0	45845PAA6
—	PDL BIOPHARMA INC	6,500,000	$6,309	6.1%	$0.93	—	NOTE 4.000% 2/0	69329YAF1
—	WEATHERFORD INTL LTD	5,250,000	$5,896	5.7%	$1.09	—	NOTE 5.875% 7/0	947075AH0
—	SPECTRUM PHARMACEUTICALS INC	6,049,000	$5,461	5.3%	$0.91	—	NOTE 2.750%12/1	84763AAB4
—	ON SEMICONDUCTOR CORP	3,256,000	$3,883	3.8%	$1.19	—	NOTE 2.625%12/1	682189AH8
—	CTRIP COM INTL LTD	3,500,000	$3,801	3.7%	$1.09	—	NOTE 1.000% 7/0	22943FAF7
—	HORIZON PHARMA INVT LTD	2,920,000	$2,833	2.8%	$0.89	—	NOTE 2.500% 3/1	44052TAB7
—	TTM TECHNOLOGIES INC	2,140,000	$2,831	2.8%	$1.16	—	NOTE 1.750%12/1	87305RAD1
—	ENCORE CAP GROUP INC	2,865,000	$2,403	2.3%	$1.01	—	NOTE 3.000% 7/0	292554AF9
—	CARRIAGE SVCS INC	2,000,000	$2,350	2.3%	$1.11	—	NOTE 2.750% 3/1	143905AM9
—	DOMINION RES INC VA NEW	45,000	$2,267	2.2%	$50.38	—	UNIT 08/15/2019	25746U836
—	VECTOR GROUP LTD	1,861,000	$2,127	2.1%	$1.08	—	NOTE 1.750% 4/1	92240MBC1
—	ALLEGHENY TECHNOLOGIES INC	1,500,000	$2,116	2.1%	$1.41	—	NOTE 4.750% 7/0	01741RAG7
—	TCP CAP CORP	2,003,000	$2,003	1.9%	$1.00	—	NOTE 5.250%12/1	87238QAB9
—	AEGERION PHARMACEUTICALS INC	2,760,000	$1,826	1.8%	$0.67	—	NOTE 2.000% 8/1	00767EAB8
SPY	SPDR S&P 500 ETF TR	7,500	$1,622	1.6%	$205.47	—	TR UNIT	78462F103
VTI	VANGUARD INDEX FDS	14,000	$1,558	1.5%	$105.41	—	TOTAL STK MKT	922908769
—	MEDICINES CO	1,200,000	$1,553	1.5%	$1.19	—	NOTE 2.500% 1/1	584688AE5
—	ACCURAY INC	1,000,000	$1,290	1.3%	$1.28	—	NOTE 3.500% 2/0	004397AD7
—	EXELIXIS INC	500,000	$1,203	1.2%	$2.41	—	NOTE 4.250% 8/1	30161QAC8
—	LINKEDIN CORP	5,500	$1,051	1.0%	$191.09	—	COMCLA	53578A108
—	ENDOLOGIX INC	871,000	$838	0.8%	$0.93	—	NOTE 2.250%12/1	29266SAA4
—	NEW MTN FIN CORP	768,000	$787	0.8%	$1.00	—	NOTE 5.000% 6/1	647551AB6
—	KLR ENERGY ACQUISITION CORP	56,238	$569	0.6%	$10.12	—	CL A	49877M108
—	COBALT INTL ENERGY INC	1,000,000	$511	0.5%	$0.58	—	NOTE 2.625%12/0	19075FAA4
—	BOULDER GROWTH & INCOME FD I	23,278	$195	0.2%	$8.55	—	COM	101507101
—	COBALT INTL ENERGY INC	500,000	$192	0.2%	$0.68	—	NOTE 3.125% 5/1	19075FAB2