Context Capital Management, LLC Quant / Systematic

CIK: 0001301396 · Show all filings

Period: Q2 2017 (← Previous) (Next →)

Filing Date: Aug 14, 2017

Total Value ($000): $140,616 (4.4% shares, 95.6% debt)

Holdings (40)

— TTM TECHNOLOGIES INC 8.1%

Value ($000) $11,321 Shares 6,020,000 Est. Cost $1.51 Unrealized —

— LGI HOMES INC 7.1%

Value ($000) $9,914 Shares 5,193,000 Est. Cost $1.43 Unrealized —

— PDL BIOPHARMA INC 5.2%

Value ($000) $7,257 Shares 8,075,000 Est. Cost $0.82 Unrealized —

— TESLA INC 4.9%

Value ($000) $6,943 Shares 6,000,000 Est. Cost $0.98 Unrealized —

— SOLARCITY CORP 4.9%

Value ($000) $6,903 Shares 7,299,000 Est. Cost $0.88 Unrealized —

— ENCORE CAP GROUP INC 4.9%

Value ($000) $6,831 Shares 6,369,000 Est. Cost $1.03 Unrealized —

— CARRIAGE SVCS INC 4.6%

Value ($000) $6,519 Shares 5,000,000 Est. Cost $1.24 Unrealized —

— TWO HBRS INVT CORP 4.2%

Value ($000) $5,957 Shares 5,650,000 Est. Cost $1.05 Unrealized —

— CTRIP COM INTL LTD 4.1%

Value ($000) $5,776 Shares 5,000,000 Est. Cost $1.10 Unrealized —

— APOLLO COML REAL EST FIN INC 4.0%

Value ($000) $5,669 Shares 5,170,000 Est. Cost $1.09 Unrealized —

— RENEWABLE ENERGY GROUP INC 3.9%

Value ($000) $5,470 Shares 4,000,000 Est. Cost $1.37 Unrealized —

— SPECTRUM PHARMACEUTICALS INC 3.7%

Value ($000) $5,168 Shares 4,969,000 Est. Cost $0.92 Unrealized —

— IGI LABORATORIES INC 3.4%

Value ($000) $4,821 Shares 4,500,000 Est. Cost $1.03 Unrealized —

— THERAVANCE BIOPHARMA INC 3.4%

Value ($000) $4,734 Shares 3,500,000 Est. Cost $1.24 Unrealized —

— ENDOLOGIX INC 3.3%

Value ($000) $4,660 Shares 5,575,000 Est. Cost $1.00 Unrealized —

— ARBOR RLTY TR INC 3.2%

Value ($000) $4,446 Shares 4,187,000 Est. Cost $1.05 Unrealized —

— DEPOMED INC 2.8%

Value ($000) $3,964 Shares 4,500,000 Est. Cost $0.91 Unrealized —

— CHESAPEAKE ENERGY CORP 2.7%

Value ($000) $3,750 Shares 4,000,000 Est. Cost $1.04 Unrealized —

— SILVER STD RES INC 2.3%

Value ($000) $3,172 Shares 3,250,000 Est. Cost $0.94 Unrealized —

— ACORDA THERAPEUTICS INC 2.2%

Value ($000) $3,076 Shares 3,586,000 Est. Cost $0.81 Unrealized —

— KEYW HLDG CORP 2.2%

Value ($000) $3,035 Shares 3,135,000 Est. Cost $0.97 Unrealized —

— PANDORA MEDIA INC 1.5%

Value ($000) $2,152 Shares 2,250,000 Est. Cost $1.00 Unrealized —

— SUCAMPO PHARMACEUTICALS INC 1.4%

Value ($000) $1,961 Shares 2,000,000 Est. Cost $0.98 Unrealized —

— TITAN MACHY INC 1.4%

Value ($000) $1,950 Shares 2,000,000 Est. Cost $0.97 Unrealized —

VTI VANGUARD INDEX FDS 1.2%

Value ($000) $1,742 Shares 14,000 Est. Cost $105.41 Unrealized —

— SEACOR HOLDINGS INC 1.1%

Value ($000) $1,504 Shares 1,500,000 Est. Cost $1.03 Unrealized —

— TOLL BROS FIN CORP 0.9%

Value ($000) $1,323 Shares 1,323,000 Est. Cost $0.99 Unrealized —

AAPL APPLE INC 0.9%

Value ($000) $1,253 Shares 8,700 Est. Cost $26.09 Unrealized +31.5%

— AEGERION PHARMACEUTICALS INC 0.9%

Value ($000) $1,208 Shares 1,500,000 Est. Cost $0.69 Unrealized —

— ALBANY MOLECULAR RESH INC 0.8%

Value ($000) $1,179 Shares 825,000 Est. Cost $1.21 Unrealized —

— DERMIRA INC 0.8%

Value ($000) $1,108 Shares 1,000,000 Est. Cost $1.11 Unrealized —

— BECTON DICKINSON & CO 0.8%

Value ($000) $1,096 Shares 20,000 Est. Cost $54.80 Unrealized —

— NEW MTN FIN CORP 0.7%

Value ($000) $1,040 Shares 1,000,000 Est. Cost $1.04 Unrealized —

— AMAG PHARMACEUTICALS INC 0.7%

Value ($000) $965 Shares 1,000,000 Est. Cost $0.96 Unrealized —

— FORUM MERGER CORP 0.7%

Value ($000) $924 Shares 90,700 Est. Cost $10.19 Unrealized —

— TESLA INC 0.4%

Value ($000) $630 Shares 500,000 Est. Cost $1.04 Unrealized —

— MODERN MEDIA ACQUISITION 0.4%

Value ($000) $616 Shares 60,000 Est. Cost $10.27 Unrealized —

— BISON CAP ACQUISITION CORP 0.3%

Value ($000) $357 Shares 35,000 Est. Cost $10.20 Unrealized —

— NANTHEALTH INC 0.1%

Value ($000) $119 Shares 28,100 Est. Cost $4.23 Unrealized —

— SAEXPLORATION HLDGS INC 0.1%

Value ($000) $103 Shares 31,897 Est. Cost $3.23 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	TTM TECHNOLOGIES INC	6,020,000	$11,321	8.1%	$1.51	—	NOTE 1.750%12/1	87305RAD1
—	LGI HOMES INC	5,193,000	$9,914	7.1%	$1.43	—	NOTE 4.250%11/1	50187TAB2
—	PDL BIOPHARMA INC	8,075,000	$7,257	5.2%	$0.82	—	NOTE 2.750%12/0	69329YAG9
—	TESLA INC	6,000,000	$6,943	4.9%	$0.98	—	NOTE 1.250% 3/0	88160RAC5
—	SOLARCITY CORP	7,299,000	$6,903	4.9%	$0.88	—	NOTE 1.625%11/0	83416TAC4
—	ENCORE CAP GROUP INC	6,369,000	$6,831	4.9%	$1.03	—	NOTE 3.000% 7/0	292554AF9
—	CARRIAGE SVCS INC	5,000,000	$6,519	4.6%	$1.24	—	NOTE 2.750% 3/1	143905AM9
—	TWO HBRS INVT CORP	5,650,000	$5,957	4.2%	$1.05	—	NOTE 6.250% 1/1	90187BAA9
—	CTRIP COM INTL LTD	5,000,000	$5,776	4.1%	$1.10	—	NOTE 1.000% 7/0	22943FAF7
—	APOLLO COML REAL EST FIN INC	5,170,000	$5,669	4.0%	$1.09	—	NOTE 5.500% 3/1	03762UAA3
—	RENEWABLE ENERGY GROUP INC	4,000,000	$5,470	3.9%	$1.37	—	NOTE 4.000% 6/1	75972AAC7
—	SPECTRUM PHARMACEUTICALS INC	4,969,000	$5,168	3.7%	$0.92	—	NOTE 2.750%12/1	84763AAB4
—	IGI LABORATORIES INC	4,500,000	$4,821	3.4%	$1.03	—	NOTE 3.750%12/1	449575AB5
—	THERAVANCE BIOPHARMA INC	3,500,000	$4,734	3.4%	$1.24	—	NOTE 3.250%11/0	88339KAA0
—	ENDOLOGIX INC	5,575,000	$4,660	3.3%	$1.00	—	NOTE 3.250%11/0	29266SAB2
—	ARBOR RLTY TR INC	4,187,000	$4,446	3.2%	$1.05	—	NOTE 6.500%10/0	038923AA6
—	DEPOMED INC	4,500,000	$3,964	2.8%	$0.91	—	NOTE 2.500% 9/0	249908AA2
—	CHESAPEAKE ENERGY CORP	4,000,000	$3,750	2.7%	$1.04	—	NOTE 5.500% 9/1	165167CR6
—	SILVER STD RES INC	3,250,000	$3,172	2.3%	$0.94	—	NOTE 2.875% 2/0	82823LAC0
—	ACORDA THERAPEUTICS INC	3,586,000	$3,076	2.2%	$0.81	—	NOTE 1.750% 6/1	00484MAA4
—	KEYW HLDG CORP	3,135,000	$3,035	2.2%	$0.97	—	NOTE 2.500% 7/1	493723AA8
—	PANDORA MEDIA INC	2,250,000	$2,152	1.5%	$1.00	—	NOTE 1.750%12/0	698354AB3
—	SUCAMPO PHARMACEUTICALS INC	2,000,000	$1,961	1.4%	$0.98	—	DBCV 3.250%12/1	864909AA4
—	TITAN MACHY INC	2,000,000	$1,950	1.4%	$0.97	—	NOTE 3.750% 5/0	88830RAB7
VTI	VANGUARD INDEX FDS	14,000	$1,742	1.2%	$105.41	—	TOTAL STK MKT	922908769
—	SEACOR HOLDINGS INC	1,500,000	$1,504	1.1%	$1.03	—	NOTE 2.500%12/1	811904AM3
—	TOLL BROS FIN CORP	1,323,000	$1,323	0.9%	$0.99	—	NOTE 0.500% 9/1	88947EAM2
AAPL	APPLE INC	8,700	$1,253	0.9%	$26.09	+31.5%	COM	037833100
—	AEGERION PHARMACEUTICALS INC	1,500,000	$1,208	0.9%	$0.69	—	NOTE 2.000% 8/1	00767EAB8
—	ALBANY MOLECULAR RESH INC	825,000	$1,179	0.8%	$1.21	—	NOTE 2.250%11/1	012423AB5
—	DERMIRA INC	1,000,000	$1,108	0.8%	$1.11	—	NOTE 3.000% 5/1	24983LAA2
—	BECTON DICKINSON & CO	20,000	$1,096	0.8%	$54.80	—	PFD SHS CONV A	075887208
—	NEW MTN FIN CORP	1,000,000	$1,040	0.7%	$1.04	—	NOTE 5.000% 6/1	647551AB6
—	AMAG PHARMACEUTICALS INC	1,000,000	$965	0.7%	$0.96	—	NOTE 3.250% 6/0	00163UAD8
—	FORUM MERGER CORP	90,700	$924	0.7%	$10.19	—	UNIT 06/01/2024	34985B202
—	TESLA INC	500,000	$630	0.4%	$1.04	—	NOTE 2.375% 3/1	88160RAD3
—	MODERN MEDIA ACQUISITION	60,000	$616	0.4%	$10.27	—	UNIT 99/99/9999	60765P202
—	BISON CAP ACQUISITION CORP	35,000	$357	0.3%	$10.20	—	UNIT 99/99/9999T	G1142P120
—	NANTHEALTH INC	28,100	$119	0.1%	$4.23	—	COM	630104107
—	SAEXPLORATION HLDGS INC	31,897	$103	0.1%	$3.23	—	COM	78636X204