Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q4 2016 (← Previous) (Next →)

Filing Date: Feb 14, 2017

Total Value ($000): $91,268 (4.7% shares, 95.3% debt)

Holdings (32)

— ENDOLOGIX INC 11.6%

Value ($000) $10,562 Shares 12,150,000 Est. Cost $1.00 Unrealized —

— LGI HOMES INC 8.9%

Value ($000) $8,155 Shares 5,693,000 Est. Cost $1.43 Unrealized —

— PDL BIOPHARMA INC 7.7%

Value ($000) $7,002 Shares 8,575,000 Est. Cost $0.82 Unrealized —

— ALBANY MOLECULAR RESH INC 7.6%

Value ($000) $6,909 Shares 5,325,000 Est. Cost $1.21 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 7.1%

Value ($000) $6,478 Shares 7,049,000 Est. Cost $0.91 Unrealized —

— ALLEGHENY TECHNOLOGIES INC 5.7%

Value ($000) $5,173 Shares 3,850,000 Est. Cost $1.37 Unrealized —

— TTM TECHNOLOGIES INC 5.5%

Value ($000) $4,991 Shares 3,270,000 Est. Cost $1.29 Unrealized —

— INTERCEPT PHARMACEUTICALS IN 4.6%

Value ($000) $4,173 Shares 4,650,000 Est. Cost $1.12 Unrealized —

— CTRIP COM INTL LTD 4.5%

Value ($000) $4,105 Shares 4,000,000 Est. Cost $1.08 Unrealized —

— CARRIAGE SVCS INC 4.4%

Value ($000) $4,054 Shares 3,000,000 Est. Cost $1.19 Unrealized —

— SOLARCITY CORP 3.9%

Value ($000) $3,570 Shares 3,833,000 Est. Cost $0.93 Unrealized —

— AEGERION PHARMACEUTICALS INC 3.1%

Value ($000) $2,830 Shares 3,910,000 Est. Cost $0.69 Unrealized —

— ENCORE CAP GROUP INC 2.9%

Value ($000) $2,688 Shares 2,865,000 Est. Cost $1.01 Unrealized —

— SILVER STD RES INC 2.8%

Value ($000) $2,527 Shares 2,750,000 Est. Cost $0.92 Unrealized —

— THERAVANCE BIOPHARMA INC 1.9%

Value ($000) $1,730 Shares 1,500,000 Est. Cost $1.15 Unrealized —

SPY SPDR S&P 500 ETF TR 1.8%

Value ($000) $1,676 Shares 7,500 Est. Cost $205.47 Unrealized —

VTI VANGUARD INDEX FDS 1.8%

Value ($000) $1,614 Shares 14,000 Est. Cost $105.41 Unrealized —

— SOLARCITY CORP 1.7%

Value ($000) $1,569 Shares 1,856,000 Est. Cost $0.85 Unrealized —

— VECTOR GROUP LTD 1.4%

Value ($000) $1,292 Shares 1,111,000 Est. Cost $1.08 Unrealized —

— APOLLO COML REAL EST FIN INC 1.3%

Value ($000) $1,200 Shares 1,151,000 Est. Cost $1.04 Unrealized —

— TCP CAP CORP 1.3%

Value ($000) $1,164 Shares 1,118,000 Est. Cost $1.00 Unrealized —

— ACORDA THERAPEUTICS INC 1.2%

Value ($000) $1,140 Shares 1,500,000 Est. Cost $0.76 Unrealized —

— WEATHERFORD INTL LTD 1.2%

Value ($000) $1,089 Shares 1,000,000 Est. Cost $1.09 Unrealized —

— SEACOR HOLDINGS INC 1.1%

Value ($000) $1,037 Shares 1,000,000 Est. Cost $1.04 Unrealized —

AAPL APPLE INC 1.1%

Value ($000) $1,008 Shares 8,700 Est. Cost $26.09 Unrealized 0.0%

— TOLL BROS FIN CORP 1.1%

Value ($000) $1,007 Shares 1,023,000 Est. Cost $0.98 Unrealized —

— ARBOR RLTY TR INC 1.1%

Value ($000) $998 Shares 1,000,000 Est. Cost $1.00 Unrealized —

— PANDORA MEDIA INC 0.6%

Value ($000) $514 Shares 500,000 Est. Cost $1.03 Unrealized —

— IGI LABORATORIES INC 0.5%

Value ($000) $464 Shares 500,000 Est. Cost $0.93 Unrealized —

— COBALT INTL ENERGY INC 0.4%

Value ($000) $401 Shares 1,000,000 Est. Cost $0.58 Unrealized —

— COBALT INTL ENERGY INC 0.2%

Value ($000) $146 Shares 500,000 Est. Cost $0.68 Unrealized —

— SPDR S&P 500 ETF TR 0.0%

Value ($000) $2 Shares 150 Est. Cost — Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	ENDOLOGIX INC	12,150,000	$10,562	11.6%	$1.00	—	NOTE 3.250%11/0	29266SAB2
—	LGI HOMES INC	5,693,000	$8,155	8.9%	$1.43	—	NOTE 4.250%11/1	50187TAB2
—	PDL BIOPHARMA INC	8,575,000	$7,002	7.7%	$0.82	—	NOTE 2.750%12/0	69329YAG9
—	ALBANY MOLECULAR RESH INC	5,325,000	$6,909	7.6%	$1.21	—	NOTE 2.250%11/1	012423AB5
—	SPECTRUM PHARMACEUTICALS INC	7,049,000	$6,478	7.1%	$0.91	—	NOTE 2.750%12/1	84763AAB4
—	ALLEGHENY TECHNOLOGIES INC	3,850,000	$5,173	5.7%	$1.37	—	NOTE 4.750% 7/0	01741RAG7
—	TTM TECHNOLOGIES INC	3,270,000	$4,991	5.5%	$1.29	—	NOTE 1.750%12/1	87305RAD1
—	INTERCEPT PHARMACEUTICALS IN	4,650,000	$4,173	4.6%	$1.12	—	NOTE 3.250% 7/0	45845PAA6
—	CTRIP COM INTL LTD	4,000,000	$4,105	4.5%	$1.08	—	NOTE 1.000% 7/0	22943FAF7
—	CARRIAGE SVCS INC	3,000,000	$4,054	4.4%	$1.19	—	NOTE 2.750% 3/1	143905AM9
—	SOLARCITY CORP	3,833,000	$3,570	3.9%	$0.93	—	NOTE 2.750%11/0	83416TAA8
—	AEGERION PHARMACEUTICALS INC	3,910,000	$2,830	3.1%	$0.69	—	NOTE 2.000% 8/1	00767EAB8
—	ENCORE CAP GROUP INC	2,865,000	$2,688	2.9%	$1.01	—	NOTE 3.000% 7/0	292554AF9
—	SILVER STD RES INC	2,750,000	$2,527	2.8%	$0.92	—	NOTE 2.875% 2/0	82823LAC0
—	THERAVANCE BIOPHARMA INC	1,500,000	$1,730	1.9%	$1.15	—	NOTE 3.250%11/0	88339KAA0
SPY	SPDR S&P 500 ETF TR	7,500	$1,676	1.8%	$205.47	—	TR UNIT	78462F103
VTI	VANGUARD INDEX FDS	14,000	$1,614	1.8%	$105.41	—	TOTAL STK MKT	922908769
—	SOLARCITY CORP	1,856,000	$1,569	1.7%	$0.85	—	NOTE 1.625%11/0	83416TAC4
—	VECTOR GROUP LTD	1,111,000	$1,292	1.4%	$1.08	—	NOTE 1.750% 4/1	92240MBC1
—	APOLLO COML REAL EST FIN INC	1,151,000	$1,200	1.3%	$1.04	—	NOTE 5.500% 3/1	03762UAA3
—	TCP CAP CORP	1,118,000	$1,164	1.3%	$1.00	—	NOTE 5.250%12/1	87238QAB9
—	ACORDA THERAPEUTICS INC	1,500,000	$1,140	1.2%	$0.76	—	NOTE 1.750% 6/1	00484MAA4
—	WEATHERFORD INTL LTD	1,000,000	$1,089	1.2%	$1.09	—	NOTE 5.875% 7/0	947075AH0
—	SEACOR HOLDINGS INC	1,000,000	$1,037	1.1%	$1.04	—	NOTE 2.500%12/1	811904AM3
AAPL	APPLE INC	8,700	$1,008	1.1%	$26.09	0.0%	COM	037833100
—	TOLL BROS FIN CORP	1,023,000	$1,007	1.1%	$0.98	—	NOTE 0.500% 9/1	88947EAM2
—	ARBOR RLTY TR INC	1,000,000	$998	1.1%	$1.00	—	NOTE 6.500%10/0	038923AA6
—	PANDORA MEDIA INC	500,000	$514	0.6%	$1.03	—	NOTE 1.750%12/0	698354AB3
—	IGI LABORATORIES INC	500,000	$464	0.5%	$0.93	—	NOTE 3.750%12/1	449575AB5
—	COBALT INTL ENERGY INC	1,000,000	$401	0.4%	$0.58	—	NOTE 2.625%12/0	19075FAA4
—	COBALT INTL ENERGY INC	500,000	$146	0.2%	$0.68	—	NOTE 3.125% 5/1	19075FAB2
—	SPDR S&P 500 ETF TR	150	$2	0.0%	—	—	Put	78462F953