13F-HR 1 contextfiling.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2007 Check here if Amendment: ___; Amendment Number: ___ This Amendment (Check only one.) ___ is a restatement. ___ adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Context Capital Management, LLC Address: 4365 Executive Drive, Suite 850 San Diego, CA 92121 Form 13F File Number: 28-10965 The institutional investment manager filing this report and the person by whom it is signed hereby represent that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists and tables, are considered integral parts of this Form. Person Signing this Report on Behalf of Reporting Manager: Name: Michael S. Rosen Title: Manager Phone: (858) 481-3666 Signature, Place and Date of Signing: /s/ Michael S. Rosen San Diego, CA __________, 2007 Report Type (Check only one.): X 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) ___ 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) ___ 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 105 Form 13F Information Table Value Total: 615,698 X 1000 List of Other Included Managers: NONE Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. NAME OF ISSUER TITLE VALUE SH/ PUT/ INV. OTHE VOTING AUTH OF CUSIP X1000 SHARES PRN CALL DISC R CLASS . MGR SOLE SH NONE R AMR CNV 001765BB1 11,461 8,513,000 PRN SOLE 8,513,000 CORPORATION 4.5% 02/15/2024 CONV AF ADVANCED CNV 00763MAG3 2,431 2,500,000 PRN SOLE 2,500,000 MEDICAL OPTICS, INC. 2.5% 07/15/2024 SER: B CONV JJ ALDABRA 2 OTHER 01408A202 8,695 824,200 SH SOLE 824,200 ACQUISITION CORP 1 UNT=1SHR+1WRN ALTRA COM 02208R106 92 5,350 SH SOLE 5,350 HOLDINGS, INC. CMN AMER EQUITY CNV 025676AE7 11,313 10,000,000 PRN SOLE 10,000,000 INVT LIFE HLDNG 5.25% 12/06/2024 SER: B CONV JD AMERICAN MED CNV 02744MAA6 18,551 16,600,000 PRN SOLE 16,600,000 SYS HLDGS INC 3.25% 07/01/2036 CONV JJ AMGEN INC. CNV 031162AN0 7,240 8,000,000 PRN SOLE 8,000,000 0.125% 02/01/2011 CONV AF AMKOR CNV 031652AX8 20,140 16,000,000 PRN SOLE 16,000,000 TECHNOLOGY, INC. 2.5% 05/15/2011 CONV NM APEX OTHER 03753Q204 4,084 507,350 SH SOLE 507,350 BIOVENTURES ACQ CORP 1 UNT=1SHR+1WRN ATHEROGENICS CNV 047439AD6 2,182 4,546,000 PRN SOLE 4,546,000 INC 1.5% 02/01/2012 SER: B CONV AF AUDIOCODES CNV 050732AB2 4,462 5,000,000 PRN SOLE 5,000,000 LTD 2% 11/09/2024 SER: B CONV MN CAPITALSOURCE CNV 14055XAF9 25,682 23,215,000 PRN SOLE 23,215,000 INC. 1.625% 03/15/2034 CONV SM CELL GENESYS CNV 150921AB0 5,360 6,850,000 PRN SOLE 6,850,000 INC 3.125% 11/01/2011 SER: B CONV MN CELL CNV 150934AD9 1,813 2,500,000 PRN SOLE 2,500,000 THERAPEUTICS INC 5.75% 06/15/2008 SER: SR CONV JD CHARLES RIVER CNV 159864AB3 17,153 14,250,000 PRN SOLE 14,250,000 LABS INTL INC 2.25% 06/15/2013 CONV DJ CITADEL COM 17285T106 203 31,540 SH SOLE 31,540 BROADCASTING CORP CMN CITADEL CNV 17285TAB2 8,944 10,400,000 PRN SOLE 10,400,000 BROADCASTING COMPANY 1.875% 02/15/2011 SER: B CONV AF COHERENT INC CNV 192479AB9 1,040 1,000,000 PRN SOLE 1,000,000 2.75000000 03/01/2011 CONV SM COLUMBUS COM 198851107 370 50,000 SH SOLE 50,000 ACQUISITION CORP CMN WTS/COLUMBUS WTS 198851115 298 350,000 SH CALL SOLE 350,000 ACQUISITION CORP. EXP5/18/11 CONMED CNV 207410AD3 8,660 8,825,000 PRN SOLE 8,825,000 CORPORATION 2.5% 11/15/2024 SER: B CONV MN WTS/COURTSIDE WTS 22274N110 388 791,700 SH CALL SOLE 791,700 ACQUISITION CORP 5.0000 EXP06/29/2009 CUBIST COM 229678107 4,734 240,180 SH SOLE 240,180 PHARMACEUTICA LS INC CMN CUBIST CNV 229678AC1 13,954 15,250,000 PRN SOLE 15,250,000 PHARMACEUTICA LS, INC. 2.25% 06/15/2013 CONV DJ DECODE CNV 243586AD6 2,774 3,800,000 PRN SOLE 3,800,000 GENETICS, INC. 3.50000000 04/15/2011 CONV AO DELTA AIR COM 247361702 633 32,130 SH SOLE 32,130 LINES, INC. CMN DEVELOPERS CNV 251591AQ6 4,938 5,000,000 PRN SOLE 5,000,000 DIVERSIFIED REALTY 3.5% 08/15/2011 CONV FA WTS/ENDEAVOR WTS 292577111 52 9,500 SH CALL SOLE 9,500 ACQUISITION CORP. 6.0000 EXP12/14/2009 ENERGY COM 29269P109 107 11,000 SH SOLE 11,000 INFRASTRURE ACQU CORP. CMN ENZON CNV 293904AE8 4,652 4,500,000 PRN SOLE 4,500,000 PHARMACEUTICA LS INC 4% 06/01/2013 CONV DJ EURONET CNV 298736AD1 11,493 10,804,000 PRN SOLE 10,804,000 WORLDWIDE INC 1.625% 12/15/2024 SER: B CONV JD FINANCIAL CNV 317492AF3 9,670 8,605,000 PRN SOLE 8,605,000 FEDERAL CORPORATION 2% 04/15/2034 SER: B CONV OA FORD MOTOR CNV 345370CF5 5,010 4,000,000 PRN SOLE 4,000,000 COMPANY 4.25% 12/15/2036 CONV JD WTS/FREEDOM WTS 35645F111 480 147,750 SH CALL SOLE 147,750 ACQUISITION HOLDINGS, INC. 7.5000 EXP12/28/2011 FRONTIER CNV 359065AA7 9,976 11,500,000 PRN SOLE 11,500,000 AIRLINES, INC 5.00000000 12/15/2025 CONV JD GENERAL CABLE CNV 369300AD0 16,038 10,000,000 PRN SOLE 10,000,000 CORPORATION 0.875% 11/15/2013 CONV MN GENERAL COM 369822101 110 14,000 SH SOLE 14,000 FINANCE CORPORATION CMN WTS/GENERAL WTS 369822119 137 72,050 SH CALL SOLE 72,050 FINANCE CORP 6.0000 EXP04/05/2010 GENERAL OTHER 369822200 320 33,034 SH SOLE 33,034 FINANCE CORPORATION 1 UNT = 1 CMN + 1 WRNT GENERAL COM 370442717 16,117 643,154 SH SOLE 643,154 MOTORS CORPORATION EXCH PFD 6.2500 07/15/2033 - GILEAD CNV 375558AG8 17,176 15,200,000 PRN SOLE 15,200,000 SCIENCES INC 0.5% 05/01/2011 CONV NM WTS/GLOBAL WTS 379414113 22 17,800 SH CALL SOLE 17,800 LOGISTICS ACQ CORP 6.0000 EXP02/15/2011 GLOBAL OTHER 379414204 575 63,585 SH SOLE 63,585 LOGISTICS ACQ CORP 1 UNIT = 1 CMN SHR + 1 WRNT HD PARTNERS COM 40415K100 1,504 196,650 SH SOLE 196,650 ACQUISITION CORPOR*ATION CMN WTS/HD WTS 40415K118 725 671,500 SH CALL SOLE 671,500 PARTNERS ACQUISITION CORPORATION EXP06/01/2010 WTS/HARBOR WTS 41145X115 76,000 189,000 SH CALL SOLE 189,000 ACQUISITION CORP EXP 4/25/11 HARBOR OTHER 41145X206 1,635 255,395 SH SOLE 255,395 ACQUISITION CORP 1 UNT = 1 CMN SHR + 2 WTS PUT/HAS(HASSX PUT 418056107 3 500 SH PUT SOLE 500 ) @ 22.5 EXP07/21/2007 HUMAN GENOME COM 444903108 426 47,772 SH SOLE 47,772 SCIENCES INC CMN CALL/HGSI(VVY CALL 444903108 70 900 SH CALL SOLE 900 AC) @ 15 EXP01/17/2009 IMCLONE COM 45245W109 1,799 50,870 SH SOLE 50,870 SYSTEMS INCORPORATED CMN INCYTE COM 45337C102 4 600 SH SOLE 600 CORPORATION CMN INCYTE CNV 45337CAF9 5,370 6,000,000 PRN SOLE 6,000,000 CORPORATION 3.5% 02/15/2011 CONV FA INTERPUBLIC CNV 460690AT7 12,754 11,400,000 PRN SOLE 11,400,000 GROUP OF COS INC 4.5% 03/15/2023 SER: B CONV SM ISHARES DOW ETF 464287739 959 12,390 SH SOLE 12,390 JONES U.S. REAL ESTATE SECTOR INDEX FUND ETF PUT/IYR(LGWMW PUT 464287739 171 413 SH PUT SOLE 413 ) @ 75 EXP01/19/2008 ISOLAGEN, CNV 46488NAB9 7,132 8,490,000 PRN SOLE 8,490,000 INC. 3.5% 11/01/2024 SER: B CONV MN JK COM 47759H106 3 522 SH SOLE 522 ACQUISITION CORP. CMN WTS/JK WTS 47759H114 545 641,244 SH CALL SOLE 641,244 ACQUISITION CORP. 5.0000 EXP04/10/2010 WTS/KAPSTONE WTS 48562P111 752 280,750 SH CALL SOLE 280,750 PAPER AND PACKAGING CORPORATION 5.0000 EXP08/15/2009 KEMET CNV 488360AB4 978 1,000,000 PRN SOLE 1,000,000 CORPORATION 2.25% 11/15/2026 CONV MN LEVEL 3 CNV 52729NBF6 9,570 6,000,000 PRN SOLE 6,000,000 COMMUNICATION S INC 5.25% 12/15/2011 SER: B CONV JD LEVEL 3 CNV 52729NBK5 7,769 6,160,000 PRN SOLE 6,160,000 COMMUNICATION S, INC. 3.50000000 06/15/2012 CONV DJ MBF HLTHCARE OTHER 552650202 821 100,000 SH SOLE 100,000 ACQUISITION CORP. 1 UNT= 1 SHR & 1 WRNT MAXTOR CNV 577729AE6 7,163 5,200,000 PRN SOLE 5,200,000 CORPORATION 2.375% 08/15/2012 CONV FA MEDTRONIC CNV 585055AL0 3,180 3,000,000 PRN SOLE 3,000,000 INC. 1.5% 04/15/2011 CONV OA MILLENNIUM CNV 599902AD5 10,533 11,000,000 PRN SOLE 11,000,000 PHARMA, INC 2.2511/15/201 1 CONV MN MILLIPORE CNV 601073AD1 21,425 20,000,000 PRN SOLE 20,000,000 CORPORATION 3.75000000 06/01/2026 CONV DJ - NCI BUILDING COM 628852105 231 4,680 SH SOLE 4,680 SYSTEMS INC CMN NCI BUILDING CNV 628852AG0 21,506 16,200,000 PRN SOLE 16,200,000 SYSTEMS, INC. 2.125% 11/15/2024 SER: B CONV MN WTS/NTR WTS 629415118 63 50,000 SH CALL SOLE 50,000 ACQUISITION CO. EXP1/30/11 NORTH COM 65687M104 7,098 925,400 SH SOLE 925,400 AMERICAN INSURANCE LEADE*RS, INC. CMN WTS/NORTH WTS 65687M112 124 206,700 SH CALL SOLE 206,700 AMER INS LEADERS,INC EXP03/21/2010 NORTH OTHER 65687M203 65 7,900 SH SOLE 7,900 AMERICAN INSURANCE LEADERS, INC. 1UNT = 1CMN +1WRNT NORTHWEST COM 667280408 1,319 59,436 SH SOLE 59,436 AIRLINES CORPORATION CMN OCEANAUT, COM 675227102 714 94,010 SH SOLE 94,010 INC. CMN WTS/OCEANAUT, WTS 675227110 282 209,110 SH CALL SOLE 209,110 INC. 6.0000 EXP03/01/2012 OCWEN CNV 675746AD3 18,929 15,250,000 PRN SOLE 15,250,000 FINANCIAL CORPORATION 3.25% 08/01/2024 SER: B CONV FA CALL/OCR(LMVA CALL 681904108 268 608 SH CALL SOLE 608 G) @ 35 EXP01/19/2008 POWERWAVE CNV 739363AD1 11,924 13,050,000 PRN SOLE 13,050,000 TECHNOLOGIES INC 1.875% 11/15/2024 SER: B CONV JD QWEST CNV 749121BY4 32,421 18,500,000 PRN SOLE 18,500,000 COMMUNICATION S INT'L INC 3.5% 11/15/2025 CONV MN WTS/RENAISSAN WTS 75966C115 175 296,336 SH CALL SOLE 296,336 CE ACQUISITION CO 5.0000 EXP01/28/2011 SLM CNV 78442PAC0 4,995 5,000,000 PRN SOLE 5,000,000 CORPORATION FRN 07/25/2035 SER: B CONV JOJA USLIB 3MO -5.00BP CPN04/25/07 07/25/07 5.305000% PUT/SNDK(SWQV PUT 80004C101 21 474 SH PUT SOLE 474 U) @ 37.5 EXP 10/20/2007 SCIELE CNV 808627AA1 20,400 20,000,000 PRN SOLE 20,000,000 PHARMA, INC. 2.625% 05/15/2027 CONV NM SIRIUS CNV 82966UAD5 7,396 8,150,000 PRN SOLE 8,150,000 SATELLITE RADIO INC. 3.25% 10/15/2011 CONV AO SONIC CNV 83545GAK8 24,628 18,500,000 PRN SOLE 18,500,000 AUTOMOTIVE INC. 4.25000000 11/30/2015 CONV MN SYBASE INC. CNV 871130AB6 10,975 10,000,000 PRN SOLE 10,000,000 1.75% 02/22/2025 SER: B CONV AF SYMMETRY COM 871545109 2,227 295,000 SH SOLE 295,000 HOLDINGS INC. CMN WTS/SYMMETRY WTS 871545117 150 116,200 SH CALL SOLE 116,200 HOLDINGS INC. EXP03/07/2011 5.50 SYMMETRY OTHER 871545208 2,860 326,850 SH SOLE 326,850 HOLDINGS INC. 1 UNT=1SHR+1WRN TEKTRONIX COM 879131100 253 7,500 SH SOLE 7,500 INC. CMN 3M COMPANY CNV 88579YAB7 4,506 5,000,000 PRN SOLE 5,000,000 2.40000000 11/21/2032 SER: B CONV CPN INC TO 2.4% 11/22/5 TIME WARNER CNV 887319AC5 20,040 16,000,000 PRN SOLE 16,000,000 TELECOM INC 2.375% 04/01/2026 CONV OA WTS/TRANS- WTS 893237115 361 379,600 SH CALL SOLE 379,600 INDIA ACQUISITION CORPORATION 5.0000 EXP02/08/2012 WTS/TRANSFORM WTS 89366E118 159 126,150 SH CALL SOLE 126,150 A ACQUISITION GRP 5.5000 EXP12/19/2010 UNITED AUTO CNV 909440AH2 14,617 13,550,000 PRN SOLE 13,550,000 GROUP INC. 3.5% 04/01/2026 CONV OA CALL/UTSI(OEU CALL 918076100 19 500 SH CALL SOLE 500 AV) @ 12.5 EXP01/17/2009 CALL/UTSI(UON CALL 918076100 23,000 1,000 SH CALL SOLE 1,000 AB) @ 10 EXP 01/19/2008 VANTAGE OTHER 92209F201 624 75,000 SH SOLE 75,000 ENERGY SERVICES, INC. 1 UNT=1SHR+1WRN XM SATELLITE CNV 983759AC5 1,284 1,500,000 PRN SOLE 1,500,000 RADIO HLDGS INC 1.75% 12/01/2009 SER: B CONV JD YAHOO! INC 0% CNV 984332AB2 14,850 11,000,000 PRN SOLE 11,000,000 04/01/2008 SER: B CONV YRC WORLDWIDE CNV 985577AA3 15,234 12,500,000 PRN SOLE 12,500,000 INC. 5% 08/08/2023 SER: Net Shar CONV FA CALL/STX(YTDA CALL G7945J104 17 150 SH CALL SOLE 150 E) @ 25 EXP01/19/2008 WTS/SHANGHAI WTS G80637112 43 19,700 SH CALL SOLE 19,700 CENTURY ACQUISITION CORP 6.0000 EXP04/23/2010
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