Context Capital Management

Context Capital Management as of March 31, 2016

Portfolio Holdings for Context Capital Management

Context Capital Management holds 47 positions in its portfolio as reported in the March 2016 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Albany Molecular Resh Inc note 2.250%11/1 7.8 $6.2M 5.6M 1.11
GROUP Affymetrix Inc cnv 7.2 $5.8M 2.4M 2.41
Seacor Holdings Inc note 2.500%12/1 7.1 $5.7M 6.0M 0.95
Pdl Biopharma Inc Sr Nt Conv 4.000% 02/01/18 B/e Dtd 02/12/14 6.7 $5.3M 5.9M 0.90
Vector Group Ltd note 1.75% 4/15 5.6 $4.4M 4.0M 1.11
Endologix, Inc. 3.25% 11/01/2020 5.4 $4.3M 4.5M 0.96
Carriage Svcs Inc note 2.750% 3/1 4.2 $3.3M 3.0M 1.11
Lgi Homes Inc conv 3.9 $3.2M 2.5M 1.26
Sequenom Inc conv 3.6 $2.9M 4.5M 0.64
Ramco-gershenson Pptys Tr perp pfd-d cv 3.5 $2.8M 44k 65.20
Encore Cap Group Inc note 3.000% 7/0 3.2 $2.6M 3.9M 0.67
Tesla Motors Inc bond 2.9 $2.3M 2.7M 0.86
New Mountain Finance Corp conv 2.5 $2.0M 2.0M 1.00
Quidel Corp note 3.250%12/1 2.5 $2.0M 2.3M 0.90
Solarcity Corp note 1.625%11/0 2.5 $2.0M 3.4M 0.58
Garnero Group Acquisition 2.5 $2.0M 198k 9.93
Accuray Inc debt 3.500% 2/0 2.2 $1.8M 1.5M 1.20
Spdr S&p 500 Etf (SPY) 1.9 $1.5M 7.5k 205.47
Imperial Hldgs Inc conv 1.9 $1.5M 1.8M 0.87
Vanguard Total Stock Market ETF (VTI) 1.8 $1.5M 14k 104.79
Tesla Motors Inc bond 1.8 $1.5M 1.6M 0.91
Spectrum Pharmaceuticals Inc conv 1.6 $1.3M 1.5M 0.87
Accuray 1.5 $1.2M 1.0M 1.20
Xilinx Inc Cvt 2.625 6-15-17 convert 1.4 $1.1M 800k 1.42
Ttm Technologies Inc conv 1.4 $1.1M 1.2M 0.89
Encore Cap Group Inc note 3.000%11/2 1.4 $1.1M 1.1M 1.00
Apple (AAPL) 1.4 $1.1M 10k 108.90
Exelixis Inc cnv 1.2 $990k 1.0M 0.99
Horizon Pharma Plc convertible security 1.2 $963k 1.1M 0.86
Monster Worldwide Inc note 3.500%10/1 1.1 $920k 1.0M 0.92
Cepheid conv 1.1 $900k 1.0M 0.90
Klr Energy Acquisition Corp unit 1.1 $900k 90k 10.06
Aegerion Pharmaceuticals 2% Du cvbond 1.1 $898k 1.8M 0.51
Yahoo! 0.7 $588k 16k 36.75
Cobalt Intl Energy Inc note 0.6 $490k 1.0M 0.49
Frontier Communications Corp pfd conv ser-a 0.5 $392k 3.8k 104.09
Cobalt Intl Energy Inc note 3.125% 5/1 0.3 $220k 500k 0.44
Boulder Growth & Income Fund (STEW) 0.2 $183k 23k 7.86
BlackRock Ltd. Duration Income Trust (BLW) 0.2 $179k 12k 14.80
Servicesource Intl 0.2 $160k 200k 0.80
Horsehead Hldg Corp note 3.800% 7/0 0.2 $142k 1.8M 0.08
Royce Value Trust (RVT) 0.1 $117k 10k 11.70
Nexpoint Residential Tr (NXRT) 0.1 $85k 6.5k 13.04
Garnero Group Acquition Rts right 06/25/2016 0.1 $46k 272k 0.17
Fibrocell Science 0.1 $38k 15k 2.48
Sunedison Inc convertible security 0.1 $40k 2.0M 0.02
Garnero Acquisition Group Cw19 *w exp 06/24/201 0.0 $24k 297k 0.08