SILVERBACK ASSET MANAGEMENT LLC Quant / Systematic

Location: Durham, NC

CIK: 0001278960 · Show all filings

Period: Q1 2017 (← Previous) (Next →)

Filing Date: May 12, 2017

Total Value: $407M (31.6% shares, 68.4% debt)

Holdings (31)

SPY SPDR S&P 500 ETF TR 29.0%

Value $118M Shares 500,000 Share Price $235.74 Est. Cost/Share — Unrealized @ Report Date —

— STARWOOD PPTY TR INC 5.2%

Value $21.37M Shares 21,000,000 Share Price $1.02 Est. Cost/Share $1.02 Unrealized @ Report Date —

— MICRON TECHNOLOGY INC 5.1%

Value $20.89M Shares 6,913,000 Share Price $3.02 Est. Cost/Share $2.20 Unrealized @ Report Date —

— JAZZ US HLDGS INC 5.1%

Value $20.73M Shares 8,908,000 Share Price $2.33 Est. Cost/Share $1.54 Unrealized @ Report Date —

— GENERAL CABLE CORP DEL NEW 4.8%

Value $19.5M Shares 25,000,000 Share Price $0.78 Est. Cost/Share $0.60 Unrealized @ Report Date —

— HARMONIC INC 4.8%

Value $19.44M Shares 15,625,000 Share Price $1.24 Est. Cost/Share $1.24 Unrealized @ Report Date —

— PANDORA MEDIA INC 4.7%

Value $19.15M Shares 19,150,000 Share Price $1.00 Est. Cost/Share $1.03 Unrealized @ Report Date —

— VECTOR GROUP LTD 4.2%

Value $17.07M Shares 15,000,000 Share Price $1.14 Est. Cost/Share $1.09 Unrealized @ Report Date —

— CORNERSTONE ONDEMAND INC 3.5%

Value $14.35M Shares 14,000,000 Share Price $1.02 Est. Cost/Share $1.03 Unrealized @ Report Date —

— DEPOMED INC 3.5%

Value $14.34M Shares 15,250,000 Share Price $0.94 Est. Cost/Share $0.98 Unrealized @ Report Date —

— YAHOO INC 3.3%

Value $13.5M Shares 13,000,000 Share Price $1.04 Est. Cost/Share $1.01 Unrealized @ Report Date —

— INTERCEPT PHARMACEUTICALS IN 3.0%

Value $12.02M Shares 12,851,000 Share Price $0.94 Est. Cost/Share $1.01 Unrealized @ Report Date —

— AVID TECHNOLOGY INC 2.8%

Value $11.48M Shares 15,950,000 Share Price $0.72 Est. Cost/Share $0.79 Unrealized @ Report Date —

— ENCORE CAP GROUP INC 2.7%

Value $10.95M Shares 12,396,000 Share Price $0.88 Est. Cost/Share $0.72 Unrealized @ Report Date —

— ENERNOC INC 2.2%

Value $8.987M Shares 10,450,000 Share Price $0.86 Est. Cost/Share $0.77 Unrealized @ Report Date —

— FLUIDIGM CORP DEL 2.1%

Value $8.704M Shares 12,800,000 Share Price $0.68 Est. Cost/Share $0.60 Unrealized @ Report Date —

— INFINERA CORPORATION 1.9%

Value $7.667M Shares 7,157,000 Share Price $1.07 Est. Cost/Share $1.05 Unrealized @ Report Date —

— TITAN MACHY INC 1.8%

Value $7.173M Shares 7,433,000 Share Price $0.97 Est. Cost/Share $0.83 Unrealized @ Report Date —

— AEGERION PHARMACEUTICALS INC 1.7%

Value $6.804M Shares 8,400,000 Share Price $0.81 Est. Cost/Share $0.81 Unrealized @ Report Date —

— HEALTHWAYS INC 1.5%

Value $6.182M Shares 4,000,000 Share Price $1.55 Est. Cost/Share $1.28 Unrealized @ Report Date —

— ENCORE CAP GROUP INC 1.4%

Value $5.756M Shares 6,040,000 Share Price $0.95 Est. Cost/Share $0.77 Unrealized @ Report Date —

— HOLOGIC INC 1.4%

Value $5.588M Shares 4,500,000 Share Price $1.24 Est. Cost/Share $1.23 Unrealized @ Report Date —

— SERVICESOURCE INTL INC 1.0%

Value $4.023M Shares 1,036,860 Share Price $3.88 Est. Cost/Share $4.59 Unrealized @ Report Date —

— COMSTOCK RES INC 0.8%

Value $3.309M Shares 3,826,000 Share Price $0.86 Est. Cost/Share $0.87 Unrealized @ Report Date —

MX MAGNACHIP SEMICONDUCTOR CORP 0.7%

Value $2.946M Shares 308,461 Share Price $9.55 * Est. Cost/Share $7.77 Unrealized @ Report Date +1.3%

— OREXIGEN THERAPEUTICS INC 0.6%

Value $2.424M Shares 4,800,000 Share Price $0.51 Est. Cost/Share $0.51 Unrealized @ Report Date —

— GASTAR EXPL INC NEW 0.4%

Value $1.729M Shares 1,122,940 Share Price $1.54 Est. Cost/Share $1.54 Unrealized @ Report Date —

CSW CSW INDUSTRIALS INC 0.3%

Value $1.285M Shares 35,000 Share Price $36.71 * Est. Cost/Share $31.72 Unrealized @ Report Date +11.0%

— AMYRIS INC 0.3%

Value $1.06M Shares 2,000,000 Share Price $0.53 Est. Cost/Share $0.27 Unrealized @ Report Date —

— RESOLUTE ENERGY CORP 0.1%

Value $485K Shares 12,000 Share Price $40.42 Est. Cost/Share $40.74 Unrealized @ Report Date —

— AMYRIS INC 0.1%

Value $322K Shares 607,387 Share Price $0.53 Est. Cost/Share $0.59 Unrealized @ Report Date —

Ticker	Issuer	Shares	Value	%	Share Price	Est. Cost/Share	Unrealized @ Report Date	Class	CUSIP
SPY	SPDR S&P 500 ETF TR	500,000	$118M	29.0%	$235.74	—	—	Call	78462F103
—	STARWOOD PPTY TR INC	21,000,000	$21.37M	5.2%	$1.02	$1.02	—	NOTE 3.750%10/1	85571BAC9
—	MICRON TECHNOLOGY INC	6,913,000	$20.89M	5.1%	$3.02	$2.20	—	NOTE 2.375% 5/0	595112AW3
—	JAZZ US HLDGS INC	8,908,000	$20.73M	5.1%	$2.33	$1.54	—	NOTE 8.000%12/3	47216EAA8
—	GENERAL CABLE CORP DEL NEW	25,000,000	$19.5M	4.8%	$0.78	$0.60	—	FRNT 4.500%11/1	369300AL2
—	HARMONIC INC	15,625,000	$19.44M	4.8%	$1.24	$1.24	—	NOTE 4.000%12/0	413160AB8
—	PANDORA MEDIA INC	19,150,000	$19.15M	4.7%	$1.00	$1.03	—	NOTE 1.750%12/0	698354AB3
—	VECTOR GROUP LTD	15,000,000	$17.07M	4.2%	$1.14	$1.09	—	NOTE 1.750% 4/1	92240MBC1
—	CORNERSTONE ONDEMAND INC	14,000,000	$14.35M	3.5%	$1.02	$1.03	—	NOTE 1.500% 7/0	21925YAB9
—	DEPOMED INC	15,250,000	$14.34M	3.5%	$0.94	$0.98	—	NOTE 2.500% 9/0	249908AA2
—	YAHOO INC	13,000,000	$13.5M	3.3%	$1.04	$1.01	—	NOTE 12/0	984332AF3
—	INTERCEPT PHARMACEUTICALS IN	12,851,000	$12.02M	3.0%	$0.94	$1.01	—	NOTE 3.250% 7/0	45845PAA6
—	AVID TECHNOLOGY INC	15,950,000	$11.48M	2.8%	$0.72	$0.79	—	NOTE 2.000% 6/1	05367PAB6
—	ENCORE CAP GROUP INC	12,396,000	$10.95M	2.7%	$0.88	$0.72	—	NOTE 2.875% 3/1	292554AH5
—	ENERNOC INC	10,450,000	$8.987M	2.2%	$0.86	$0.77	—	DBCV 2.250% 8/1	292764AB3
—	FLUIDIGM CORP DEL	12,800,000	$8.704M	2.1%	$0.68	$0.60	—	NOTE 2.750% 2/0	34385PAA6
—	INFINERA CORPORATION	7,157,000	$7.667M	1.9%	$1.07	$1.05	—	DBCV 1.750% 6/0	45667GAB9
—	TITAN MACHY INC	7,433,000	$7.173M	1.8%	$0.97	$0.83	—	NOTE 3.750% 5/0	88830RAB7
—	AEGERION PHARMACEUTICALS INC	8,400,000	$6.804M	1.7%	$0.81	$0.81	—	NOTE 2.000% 8/1	00767EAB8
—	HEALTHWAYS INC	4,000,000	$6.182M	1.5%	$1.55	$1.28	—	NOTE 1.500% 7/0	422245AB6
—	ENCORE CAP GROUP INC	6,040,000	$5.756M	1.4%	$0.95	$0.77	—	NOTE 3.000% 7/0	292554AF9
—	HOLOGIC INC	4,500,000	$5.588M	1.4%	$1.24	$1.23	—	FRNT 12/1	436440AG6
—	SERVICESOURCE INTL INC	1,036,860	$4.023M	1.0%	$3.88	$4.59	—	COM	81763U100
—	COMSTOCK RES INC	3,826,000	$3.309M	0.8%	$0.86	$0.87	—	NOTE 7.750% 4/0	205768AM6
MX	MAGNACHIP SEMICONDUCTOR CORP	308,461	$2.946M	0.7%	$9.55 *	$7.77	+1.3%	COM	55933J203
—	OREXIGEN THERAPEUTICS INC	4,800,000	$2.424M	0.6%	$0.51	$0.51	—	NOTE 2.750%12/0	686164AC8
—	GASTAR EXPL INC NEW	1,122,940	$1.729M	0.4%	$1.54	$1.54	—	COM	36729W202
CSW	CSW INDUSTRIALS INC	35,000	$1.285M	0.3%	$36.71 *	$31.72	+11.0%	COM	126402106
—	AMYRIS INC	2,000,000	$1.06M	0.3%	$0.53	$0.27	—	NOTE 6.500% 5/1	03236MAC5
—	RESOLUTE ENERGY CORP	12,000	$485K	0.1%	$40.42	$40.74	—	COM NEW	76116A306
—	AMYRIS INC	607,387	$322K	0.1%	$0.53	$0.59	—	COM	03236M101