SILVERBACK ASSET MANAGEMENT LLC Quant / Systematic

Location: Durham, NC

CIK: 0001278960 · Show all filings

Period: Q4 2015 (← Previous) (Next →)

Filing Date: Feb 16, 2016

Total Value: $418M (21.3% shares, 78.7% debt)

Holdings (42)

— FIAT CHRYSLER AUTOMOBILES 14.0%

Value $58.66M Shares 50,500 Est. Cost $1161.51 Unrealized —

— ACTAVIS PLC 9.8%

Value $41.04M Shares 40,000 Est. Cost $1026.00 Unrealized —

— WELLPOINT INC 7.3%

Value $30.71M Shares 16,068,000 Est. Cost $1.91 Unrealized —

— NVIDIA CORP 6.8%

Value $28.22M Shares 17,000,000 Est. Cost $1.41 Unrealized —

— KINDER MORGAN INC DEL 5.9%

Value $24.51M Shares 1,642,546 Est. Cost $37.27 Unrealized —

— AFFYMETRIX INC 5.4%

Value $22.5M Shares 12,500,000 Est. Cost $2.18 Unrealized —

— PROOFPOINT INC 5.3%

Value $22.16M Shares 12,854,000 Est. Cost $1.72 Unrealized —

— MERRIMACK PHARMACEUTICALS IN 5.2%

Value $21.78M Shares 14,780,000 Est. Cost $1.91 Unrealized —

— MONSTER WORLDWIDE INC 4.4%

Value $18.39M Shares 14,500,000 Est. Cost $1.27 Unrealized —

— STARWOOD PPTY TR INC 4.1%

Value $17.27M Shares 17,500,000 Est. Cost $1.03 Unrealized —

— OREXIGEN THERAPEUTICS INC 3.0%

Value $12.63M Shares 20,871,000 Est. Cost $0.88 Unrealized —

— MENTOR GRAPHICS CORP 2.8%

Value $11.75M Shares 11,267,000 Est. Cost $1.32 Unrealized —

— JAZZ TECHNOLOGIES INC NEW 2.8%

Value $11.56M Shares 7,420,000 Est. Cost $1.62 Unrealized —

— VECTOR GROUP LTD 2.5%

Value $10.53M Shares 9,200,000 Est. Cost $1.07 Unrealized —

— SERVICESOURCE INTL INC 2.5%

Value $10.26M Shares 12,000,000 Est. Cost $0.76 Unrealized —

— APOLLO COML REAL EST FIN INC 2.4%

Value $10.22M Shares 10,000,000 Est. Cost $1.01 Unrealized —

— SUNEDISON INC 2.0%

Value $8.288M Shares 16,188,000 Est. Cost $2.12 Unrealized —

— VIOLIN MEMORY INC 1.9%

Value $7.735M Shares 13,000,000 Est. Cost $0.59 Unrealized —

— PRICELINE GRP INC 1.8%

Value $7.65M Shares 6,000 Est. Cost — Unrealized —

— SPIRIT RLTY CAP INC NEW 1.7%

Value $7.078M Shares 7,400,000 Est. Cost $1.00 Unrealized —

CIEN CIENA CORP 1.2%

Value $5.069M Shares 245,002 Est. Cost $22.96 Unrealized +0.0%

CIEN CIENA CORP 1.1%

Value $4.759M Shares 230,000 Est. Cost $22.96 Unrealized +0.0%

— SOLAZYME INC 1.0%

Value $4.137M Shares 8,400,000 Est. Cost $0.75 Unrealized —

— KEYW HLDG CORP 1.0%

Value $4.043M Shares 5,695,000 Est. Cost $1.00 Unrealized —

— CARRIAGE SVCS INC 0.9%

Value $3.816M Shares 3,215,000 Est. Cost $1.20 Unrealized —

— ENERGY XXI BERMUDA LTD 0.5%

Value $1.902M Shares 26,228,000 Est. Cost $0.28 Unrealized —

— ICONIX BRAND GROUP INC 0.4%

Value $1.869M Shares 2,100,000 Est. Cost $0.99 Unrealized —

— COBALT INTL ENERGY INC 0.4%

Value $1.571M Shares 3,000,000 Est. Cost $0.74 Unrealized —

— AMYRIS INC 0.4%

Value $1.501M Shares 1,450,000 Est. Cost $1.04 Unrealized —

ON ON SEMICONDUCTOR CORP 0.3%

Value $1.152M Shares 117,500 Est. Cost $10.52 Unrealized 0.0%

— ALERE INC 0.2%

Value $840K Shares 21,500 Est. Cost $39.07 Unrealized —

CSW CSW INDUSTRIALS INC 0.2%

Value $832K Shares 22,096 Est. Cost $34.83 Unrealized 0.0%

BLD TOPBUILD CORP 0.2%

Value $769K Shares 25,000 Est. Cost $30.85 Unrealized -2.7%

PTCT PTC THERAPEUTICS INC 0.1%

Value $515K Shares 15,900 Est. Cost $42.77 Unrealized -31.2%

— KEYW HLDG CORP 0.1%

Value $500K Shares 83,128 Est. Cost $10.39 Unrealized —

— TETRALOGIC PHARMACEUTICALS C 0.1%

Value $485K Shares 1,000,000 Est. Cost $0.48 Unrealized —

— OREXIGEN THERAPEUTICS INC 0.1%

Value $408K Shares 237,332 Est. Cost $3.19 Unrealized —

CSWC CAPITAL SOUTHWEST CORP 0.1%

Value $347K Shares 25,000 Est. Cost $5.75 Unrealized -10.2%

— FUELCELL ENERGY INC 0.1%

Value $268K Shares 54,075 Est. Cost $4.96 Unrealized —

— MEDICAL TRANSCRIPTION BLG CO 0.0%

Value $120K Shares 100,000 Est. Cost $1.88 Unrealized —

— SANOFI 0.0%

Value $97,000 Shares 861,200 Est. Cost $1.39 Unrealized —

LEU CENTRUS ENERGY CORP 0.0%

Value $72,000 Shares 54,920 Est. Cost $5.97 Unrealized -63.2%

Ticker	Issuer	Shares	Value	%	Est. Cost	Unrealized	Class	CUSIP
—	FIAT CHRYSLER AUTOMOBILES	50,500	$58.66M	14.0%	$1161.51	—	CONV MAND $7.875 12-Dec-2016	BTGCTW7
—	ACTAVIS PLC	40,000	$41.04M	9.8%	$1026.00	—	CONV MAND $5.50 10-Mar-2018	BY9D6T8
—	WELLPOINT INC	16,068,000	$30.71M	7.3%	$1.91	—	NOTE 2.750%10/1	94973VBG1
—	NVIDIA CORP	17,000,000	$28.22M	6.8%	$1.41	—	NOTE 1.000%12/0	67066GAC8
—	KINDER MORGAN INC DEL	1,642,546	$24.51M	5.9%	$37.27	—	*W EXP 05/25/201	49456B119
—	AFFYMETRIX INC	12,500,000	$22.5M	5.4%	$2.18	—	NOTE 4.000% 7/0	00826TAH1
—	PROOFPOINT INC	12,854,000	$22.16M	5.3%	$1.72	—	NOTE 1.250%12/1	743424AB9
—	MERRIMACK PHARMACEUTICALS IN	14,780,000	$21.78M	5.2%	$1.91	—	NOTE 4.500% 7/1	590328AA8
—	MONSTER WORLDWIDE INC	14,500,000	$18.39M	4.4%	$1.27	—	NOTE 3.500%10/1	611742AB3
—	STARWOOD PPTY TR INC	17,500,000	$17.27M	4.1%	$1.03	—	NOTE 3.750%10/1	85571BAC9
—	OREXIGEN THERAPEUTICS INC	20,871,000	$12.63M	3.0%	$0.88	—	NOTE 2.750%12/0	686164AB0
—	MENTOR GRAPHICS CORP	11,267,000	$11.75M	2.8%	$1.32	—	SDCV 4.000% 4/0	587200AK2
—	JAZZ TECHNOLOGIES INC NEW	7,420,000	$11.56M	2.8%	$1.62	—	NOTE 8.000%12/3	47214GAF4
—	VECTOR GROUP LTD	9,200,000	$10.53M	2.5%	$1.07	—	NOTE 1.750% 4/1	92240MBC1
—	SERVICESOURCE INTL INC	12,000,000	$10.26M	2.5%	$0.76	—	NOTE 1.500% 8/0	81763UAB6
—	APOLLO COML REAL EST FIN INC	10,000,000	$10.22M	2.4%	$1.01	—	NOTE 5.500% 3/1	03762UAA3
—	SUNEDISON INC	16,188,000	$8.288M	2.0%	$2.12	—	NOTE 2.750% 1/0	86732YAD1
—	VIOLIN MEMORY INC	13,000,000	$7.735M	1.9%	$0.59	—	NOTE 4.250%10/0	92763AAB7
—	PRICELINE GRP INC	6,000	$7.65M	1.8%	—	—	Call	741503403
—	SPIRIT RLTY CAP INC NEW	7,400,000	$7.078M	1.7%	$1.00	—	NOTE 2.875% 5/1	84860WAA0
CIEN	CIENA CORP	245,002	$5.069M	1.2%	$22.96	+0.0%	COM NEW	171779309
CIEN	CIENA CORP	230,000	$4.759M	1.1%	$22.96	+0.0%	Put	171779309
—	SOLAZYME INC	8,400,000	$4.137M	1.0%	$0.75	—	NOTE 5.000%10/0	83415TAC5
—	KEYW HLDG CORP	5,695,000	$4.043M	1.0%	$1.00	—	NOTE 2.500% 7/1	493723AA8
—	CARRIAGE SVCS INC	3,215,000	$3.816M	0.9%	$1.20	—	NOTE 2.750% 3/1	143905AM9
—	ENERGY XXI BERMUDA LTD	26,228,000	$1.902M	0.5%	$0.28	—	NOTE 3.000%12/1	29274UAB7
—	ICONIX BRAND GROUP INC	2,100,000	$1.869M	0.4%	$0.99	—	NOTE 2.500% 6/0	451055AE7
—	COBALT INTL ENERGY INC	3,000,000	$1.571M	0.4%	$0.74	—	NOTE 3.125% 5/1	19075FAB2
—	AMYRIS INC	1,450,000	$1.501M	0.4%	$1.04	—	DBCV 9.500% 4/1	03236MAD3
ON	ON SEMICONDUCTOR CORP	117,500	$1.152M	0.3%	$10.52	0.0%	COM	682189105
—	ALERE INC	21,500	$840K	0.2%	$39.07	—	COM	01449J105
CSW	CSW INDUSTRIALS INC	22,096	$832K	0.2%	$34.83	0.0%	COM	126402106
BLD	TOPBUILD CORP	25,000	$769K	0.2%	$30.85	-2.7%	COM	89055F103
PTCT	PTC THERAPEUTICS INC	15,900	$515K	0.1%	$42.77	-31.2%	COM	69366J200
—	KEYW HLDG CORP	83,128	$500K	0.1%	$10.39	—	COM	493723100
—	TETRALOGIC PHARMACEUTICALS C	1,000,000	$485K	0.1%	$0.48	—	NOTE 8.000% 6/1	88165UAB5
—	OREXIGEN THERAPEUTICS INC	237,332	$408K	0.1%	$3.19	—	COM	686164104
CSWC	CAPITAL SOUTHWEST CORP	25,000	$347K	0.1%	$5.75	-10.2%	COM	140501107
—	FUELCELL ENERGY INC	54,075	$268K	0.1%	$4.96	—	COM NEW	35952H502
—	MEDICAL TRANSCRIPTION BLG CO	100,000	$120K	0.0%	$1.88	—	COM	58464J105
—	SANOFI	861,200	$97,000	0.0%	$1.39	—	RIGHT 12/31/2020	80105N113
LEU	CENTRUS ENERGY CORP	54,920	$72,000	0.0%	$5.97	-63.2%	CL A	15643U104