SILVERBACK ASSET MANAGEMENT LLC Quant / Systematic

CIK: 0001278960 · Show all filings

Period: Q3 2015 (← Previous) (Next →)

Filing Date: Nov 13, 2015

Total Value ($000): $959,298 (68.2% shares, 31.8% debt)

Holdings (42)

— KINDER MORGAN INC DEL 55.9%

Value ($000) $536,435 Shares 1,937,986 Est. Cost $37.27 Unrealized —

— CITIGROUP INC 8.2%

Value ($000) $78,651 Shares 158,539 Est. Cost $47.97 Unrealized —

— ELECTRONIC ARTS INC 7.1%

Value ($000) $68,064 Shares 32,000,000 Est. Cost $2.10 Unrealized —

— MERRIMACK PHARMACEUTICALS IN 2.4%

Value ($000) $22,711 Shares 14,500,000 Est. Cost $1.92 Unrealized —

— AFFYMETRIX INC 2.0%

Value ($000) $19,583 Shares 12,500,000 Est. Cost $2.18 Unrealized —

— ICONIX BRAND GROUP INC 1.8%

Value ($000) $17,529 Shares 18,500,000 Est. Cost $0.99 Unrealized —

— STARWOOD PPTY TR INC 1.8%

Value ($000) $17,444 Shares 17,500,000 Est. Cost $1.03 Unrealized —

— NVIDIA CORP 1.7%

Value ($000) $16,484 Shares 12,500,000 Est. Cost $1.32 Unrealized —

— SUNEDISON INC 1.6%

Value ($000) $15,333 Shares 21,688,000 Est. Cost $2.12 Unrealized —

— SERVICESOURCE INTL LLC 1.5%

Value ($000) $14,190 Shares 16,500,000 Est. Cost $0.76 Unrealized —

— MENTOR GRAPHICS CORP 1.4%

Value ($000) $12,967 Shares 10,267,000 Est. Cost $1.35 Unrealized —

— APOLLO COML REAL EST FIN INC 1.3%

Value ($000) $12,838 Shares 13,000,000 Est. Cost $1.01 Unrealized —

— OREXIGEN THERAPEUTICS INC 1.3%

Value ($000) $12,011 Shares 17,282,000 Est. Cost $0.94 Unrealized —

ELV ANTHEM INC 1.2%

Value ($000) $11,394 Shares 81,385 Est. Cost $129.85 Unrealized 0.0%

— SPIRIT RLTY CAP INC NEW 1.2%

Value ($000) $11,377 Shares 12,200,000 Est. Cost $1.00 Unrealized —

— PDL BIOPHARMA INC 1.2%

Value ($000) $11,232 Shares 12,929,000 Est. Cost $1.01 Unrealized —

— JAZZ TECHNOLOGIES INC NEW 1.1%

Value ($000) $10,815 Shares 7,420,000 Est. Cost $1.62 Unrealized —

— VECTOR GROUP LTD 1.1%

Value ($000) $10,304 Shares 9,200,000 Est. Cost $1.07 Unrealized —

— CHESAPEAKE ENERGY CORP 0.9%

Value ($000) $8,650 Shares 10,000,000 Est. Cost $0.95 Unrealized —

— PRICELINE GRP INC 0.8%

Value ($000) $7,421 Shares 6,000 Est. Cost — Unrealized —

CIEN CIENA CORP 0.7%

Value ($000) $6,802 Shares 328,289 Est. Cost $22.96 Unrealized +1.2%

CIEN CIENA CORP 0.5%

Value ($000) $5,180 Shares 250,000 Est. Cost $22.96 Unrealized +1.2%

— ON SEMICONDUCTOR CORP 0.5%

Value ($000) $5,012 Shares 4,500,000 Est. Cost $1.11 Unrealized —

— SOLAZYME INC 0.5%

Value ($000) $4,641 Shares 8,400,000 Est. Cost $0.75 Unrealized —

— KEYW HLDG CORP 0.5%

Value ($000) $4,321 Shares 5,695,000 Est. Cost $1.00 Unrealized —

— CARRIAGE SVCS INC 0.4%

Value ($000) $3,573 Shares 3,215,000 Est. Cost $1.20 Unrealized —

— COBALT INTL ENERGY INC 0.3%

Value ($000) $3,138 Shares 5,000,000 Est. Cost $0.74 Unrealized —

— ENERGY XXI BERMUDA LTD 0.3%

Value ($000) $3,123 Shares 31,228,000 Est. Cost $0.28 Unrealized —

— OREXIGEN THERAPEUTICS INC 0.2%

Value ($000) $1,477 Shares 703,493 Est. Cost $3.19 Unrealized —

— KLX INC 0.1%

Value ($000) $840 Shares 23,501 Est. Cost $40.04 Unrealized —

PTCT PTC THERAPEUTICS INC 0.1%

Value ($000) $820 Shares 30,700 Est. Cost $42.77 Unrealized 0.0%

PTCT PTC THERAPEUTICS INC 0.1%

Value ($000) $721 Shares 27,000 Est. Cost $42.77 Unrealized 0.0%

LEU CENTRUS ENERGY CORP 0.1%

Value ($000) $693 Shares 227,059 Est. Cost $5.97 Unrealized -38.3%

BLD TOPBUILD CORP 0.1%

Value ($000) $688 Shares 22,210 Est. Cost $30.95 Unrealized 0.0%

CSWC CAPITAL SOUTHWEST CORP 0.1%

Value ($000) $668 Shares 14,096 Est. Cost $6.20 Unrealized 0.0%

— FUELCELL ENERGY INC 0.1%

Value ($000) $514 Shares 698,730 Est. Cost $0.95 Unrealized —

— KEYW HLDG CORP 0.1%

Value ($000) $511 Shares 83,128 Est. Cost $10.39 Unrealized —

TLT ISHARES TR 0.0%

Value ($000) $366 Shares 2,966 Est. Cost $123.40 Unrealized —

— MEDICAL TRANSCRIPTION BLG CO 0.0%

Value ($000) $352 Shares 194,388 Est. Cost $1.88 Unrealized —

— SANOFI 0.0%

Value ($000) $176 Shares 924,300 Est. Cost $1.39 Unrealized —

GULTU GULF COAST ULTRA DEEP RTY TR 0.0%

Value ($000) $143 Shares 494,435 Est. Cost $2.93 Unrealized —

— OREXIGEN THERAPEUTICS INC 0.0%

Value ($000) $106 Shares 50,400 Est. Cost $3.19 Unrealized —

Ticker	Issuer	Shares	Value ($000)	%	Est. Cost	Unrealized	Class	CUSIP
—	KINDER MORGAN INC DEL	1,937,986	$536,435	55.9%	$37.27	—	*W EXP 05/25/201	49456B119
—	CITIGROUP INC	158,539	$78,651	8.2%	$47.97	—	*W EXP 10/28/201	172967234
—	ELECTRONIC ARTS INC	32,000,000	$68,064	7.1%	$2.10	—	NOTE 0.750% 7/1	285512AA7
—	MERRIMACK PHARMACEUTICALS IN	14,500,000	$22,711	2.4%	$1.92	—	NOTE 4.500% 7/1	590328AA8
—	AFFYMETRIX INC	12,500,000	$19,583	2.0%	$2.18	—	NOTE 4.000% 7/0	00826TAH1
—	ICONIX BRAND GROUP INC	18,500,000	$17,529	1.8%	$0.99	—	NOTE 2.500% 6/0	451055AE7
—	STARWOOD PPTY TR INC	17,500,000	$17,444	1.8%	$1.03	—	NOTE 3.750%10/1	85571BAC9
—	NVIDIA CORP	12,500,000	$16,484	1.7%	$1.32	—	NOTE 1.000%12/0	67066GAC8
—	SUNEDISON INC	21,688,000	$15,333	1.6%	$2.12	—	NOTE 2.750% 1/0	86732YAD1
—	SERVICESOURCE INTL LLC	16,500,000	$14,190	1.5%	$0.76	—	NOTE 1.500% 8/0	81763UAB6
—	MENTOR GRAPHICS CORP	10,267,000	$12,967	1.4%	$1.35	—	SDCV 4.000% 4/0	587200AK2
—	APOLLO COML REAL EST FIN INC	13,000,000	$12,838	1.3%	$1.01	—	NOTE 5.500% 3/1	03762UAA3
—	OREXIGEN THERAPEUTICS INC	17,282,000	$12,011	1.3%	$0.94	—	NOTE 2.750%12/0	686164AB0
ELV	ANTHEM INC	81,385	$11,394	1.2%	$129.85	0.0%	COM	036752103
—	SPIRIT RLTY CAP INC NEW	12,200,000	$11,377	1.2%	$1.00	—	NOTE 2.875% 5/1	84860WAA0
—	PDL BIOPHARMA INC	12,929,000	$11,232	1.2%	$1.01	—	NOTE 4.000% 2/0	69329YAF1
—	JAZZ TECHNOLOGIES INC NEW	7,420,000	$10,815	1.1%	$1.62	—	NOTE 8.000%12/3	47214GAF4
—	VECTOR GROUP LTD	9,200,000	$10,304	1.1%	$1.07	—	NOTE 1.750% 4/1	92240MBC1
—	CHESAPEAKE ENERGY CORP	10,000,000	$8,650	0.9%	$0.95	—	NOTE 2.500% 5/1	165167CA3
—	PRICELINE GRP INC	6,000	$7,421	0.8%	—	—	Call	741503403
CIEN	CIENA CORP	328,289	$6,802	0.7%	$22.96	+1.2%	COM NEW	171779309
CIEN	CIENA CORP	250,000	$5,180	0.5%	$22.96	+1.2%	Put	171779309
—	ON SEMICONDUCTOR CORP	4,500,000	$5,012	0.5%	$1.11	—	NOTE 2.625%12/1	682189AH8
—	SOLAZYME INC	8,400,000	$4,641	0.5%	$0.75	—	NOTE 5.000%10/0	83415TAC5
—	KEYW HLDG CORP	5,695,000	$4,321	0.5%	$1.00	—	NOTE 2.500% 7/1	493723AA8
—	CARRIAGE SVCS INC	3,215,000	$3,573	0.4%	$1.20	—	NOTE 2.750% 3/1	143905AM9
—	COBALT INTL ENERGY INC	5,000,000	$3,138	0.3%	$0.74	—	NOTE 3.125% 5/1	19075FAB2
—	ENERGY XXI BERMUDA LTD	31,228,000	$3,123	0.3%	$0.28	—	NOTE 3.000%12/1	29274UAB7
—	OREXIGEN THERAPEUTICS INC	703,493	$1,477	0.2%	$3.19	—	COM	686164104
—	KLX INC	23,501	$840	0.1%	$40.04	—	COM	482539103
PTCT	PTC THERAPEUTICS INC	30,700	$820	0.1%	$42.77	0.0%	Call	69366J200
PTCT	PTC THERAPEUTICS INC	27,000	$721	0.1%	$42.77	0.0%	COM	69366J200
LEU	CENTRUS ENERGY CORP	227,059	$693	0.1%	$5.97	-38.3%	CL A	15643U104
BLD	TOPBUILD CORP	22,210	$688	0.1%	$30.95	0.0%	COM	89055F103
CSWC	CAPITAL SOUTHWEST CORP	14,096	$668	0.1%	$6.20	0.0%	COM	140501107
—	FUELCELL ENERGY INC	698,730	$514	0.1%	$0.95	—	COM	35952H106
—	KEYW HLDG CORP	83,128	$511	0.1%	$10.39	—	COM	493723100
TLT	ISHARES TR	2,966	$366	0.0%	$123.40	—	20+ YR TR BD ETF	464287432
—	MEDICAL TRANSCRIPTION BLG CO	194,388	$352	0.0%	$1.88	—	COM	58464J105
—	SANOFI	924,300	$176	0.0%	$1.39	—	RIGHT 12/31/2020	80105N113
GULTU	GULF COAST ULTRA DEEP RTY TR	494,435	$143	0.0%	$2.93	—	ROYALTY TR UNT	40222T104
—	OREXIGEN THERAPEUTICS INC	50,400	$106	0.0%	$3.19	—	Call	686164104