0001301396-24-000004.txt : 20240216 0001301396-24-000004.hdr.sgml : 20240216 20240216170222 ACCESSION NUMBER: 0001301396-24-000004 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240216 DATE AS OF CHANGE: 20240216 EFFECTIVENESS DATE: 20240216 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Context Capital Management, LLC CENTRAL INDEX KEY: 0001301396 ORGANIZATION NAME: IRS NUMBER: 330972042 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-10965 FILM NUMBER: 24649324 BUSINESS ADDRESS: STREET 1: 7724 GIRARD AVENUE - 3RD FLOOR STREET 2: SUITE 300 CITY: LAJOLLA STATE: CA ZIP: 92037 BUSINESS PHONE: 8584813666 MAIL ADDRESS: STREET 1: 7724 GIRARD AVENUE - 3RD FLOOR STREET 2: SUITE 300 CITY: LAJOLLA STATE: CA ZIP: 92037 FORMER COMPANY: FORMER CONFORMED NAME: Context Advisory LLC DATE OF NAME CHANGE: 20210817 FORMER COMPANY: FORMER CONFORMED NAME: Context Capital Management, LLC DATE OF NAME CHANGE: 20040824 13F-HR/A 1 primary_doc.xml X0202 13F-HR/A LIVE false true false 0001301396 XXXXXXXX 12-31-2023 12-31-2023 true 1 RESTATEMENT Context Capital Management, LLC

7724 GIRARD AVENUE - 3RD FLOOR SUITE 300 LAJOLLA CA 92037

13F HOLDINGS REPORT 028-10965 Y Correcting the par value of the bonds Grace M Brescia 8455161946 Grace M Brescia La Jolla CA 02-16-2024 0 281 1489015806 false INFORMATION TABLE 2 edgar13f20231231c.xml 10X CAPITAL VENTURE ACQ III *W EXP 06/30/202 G87077114 12181 216358 SH SOLE 216358 0 0 2U INC DEBT 4.500% 2/0 90214JAC5 947500 2500000 PRN SOLE 2500000 0 0 3D SYS CORP DEL NOTE 11/1 88554DAD8 35758036 46712000 PRN SOLE 46712000 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 3721124 3759000 PRN SOLE 3759000 0 0 8X8 INC NEW NOTE 4.000% 2/0 282914AE0 3034500 3500000 PRN SOLE 3500000 0 0 99 ACQUISITION GROUP INC CL A 65445K101 382125 37500 SH SOLE 37500 0 0 99 ACQUISITION GROUP INC *W EXP 08/25/202 65445K119 559 37500 SH SOLE 37500 0 0 99 ACQUISITION GROUP INC RIGHT 08/25/2028 65445K127 5625 37500 SH SOLE 37500 0 0 A SPAC II ACQUISITION CORP *W EXP 10/15/202 G0543H117 4970 700000 SH SOLE 700000 0 0 A SPAC II ACQUISITION CORP RIGHT 10/15/2026 G0543H133 126000 1400000 SH SOLE 1400000 0 0 ACRI CAPITAL ACQUISITION COR *W EXP 02/01/202 00501A119 8200 100000 SH SOLE 100000 0 0 ADIT EDTECH ACQUISITION CORP *W EXP 99/99/999 007024110 17003 202416 SH SOLE 202416 0 0 AETHERIUM ACQUISITION CORP *W EXP 12/21/202 00809J119 13242 331054 SH SOLE 331054 0 0 AFFIRM HLDGS INC NOTE 11/1 00827BAB2 25353563 30825000 PRN SOLE 30825000 0 0 AIMFINITY INVESTMENT CORP I *W EXP 04/21/202 G0135E126 7500 200000 SH SOLE 200000 0 0 AKAMAI TECHNOLOGIES INC NOTE 0.375% 9/0 00971TAL5 2237000 2000000 PRN SOLE 2000000 0 0 ALARM COM HLDGS INC NOTE 1/1 011642AB1 7805000 8750000 PRN SOLE 8750000 0 0 ALCHEMY INVTS ACQUISITN CORP SHS CL A G0232F109 1060500 100000 SH SOLE 100000 0 0 ALCHEMY INVTS ACQUISITN CORP *W EXP 11/30/202 G0232F133 7500 50000 SH SOLE 50000 0 0 ALNYLAM PHARMACEUTICALS INC NOTE 1.000% 9/1 02043QAB3 6912500 7000000 PRN SOLE 7000000 0 0 ALPHA STAR ACQUISITION CORP *W EXP 12/13/202 G0230C116 3168 360000 SH SOLE 360000 0 0 ALPHA STAR ACQUISITION CORP RIGHT 05/30/2023 G0230C132 25774 335596 SH SOLE 335596 0 0 ALPHATEC HLDGS INC NOTE 0.750% 8/0 02081GAB8 26512500 25000000 PRN SOLE 25000000 0 0 ALSET CAPITAL ACQUISITION CO *W EXP 01/31/202 02115M117 875 50000 SH SOLE 50000 0 0 ALSET CAPITAL ACQUISITION CO RIGHT 01/31/2027 02115M125 10500 50000 SH SOLE 50000 0 0 ALTERNUS CLEAN ENERGY INC CLASS A COM 02157G101 14970 9980 SH SOLE 9980 0 0 ANDRETTI ACQUISITION CORP *W EXP 99/99/999 G26735129 59902 233900 SH SOLE 233900 0 0 APOLLOMICS INC *W EXP 04/01/202 G0411D115 7463 298500 SH SOLE 298500 0 0 APX ACQUISITION CORP I *W EXP 11/30/202 G0440J125 2500 50000 SH SOLE 50000 0 0 ARBOR REALTY TRUST INC NOTE 7.500% 8/0 038923BA5 10699500 10500000 PRN SOLE 10500000 0 0 ARRAY TECHNOLOGIES INC NOTE 1.000%12/0 04271TAB6 987250 1000000 PRN SOLE 1000000 0 0 ARTIVION INC NOTE 4.250% 7/0 228903AB6 23351970 21900000 PRN SOLE 21900000 0 0 ASCENDIS PHARMA A/S NOTE 2.250% 4/0 04351PAD3 17544563 17075000 PRN SOLE 17075000 0 0 ATHENA TECHNOLOGY ACQ CORP I *W EXP 10/17/202 04687C113 19375 775000 SH SOLE 775000 0 0 AURA FAT PROJS ACQUISITION C *W EXP 03/31/202 G06362126 7500 500000 SH SOLE 500000 0 0 AURORA INNOVATION INC *W EXP 11/03/202 051774115 5502 11228 SH SOLE 11228 0 0 BANDWIDTH INC NOTE 0.250% 3/0 05988JAB9 24211387 29081000 PRN SOLE 29081000 0 0 BANNIX ACQUISITION CORP *W EXP 07/31/202 066644113 4006 320484 SH SOLE 320484 0 0 BANNIX ACQUISITION CORP RIGHT 07/31/2026 066644121 56804 210385 SH SOLE 210385 0 0 BANZAI INTERNATIONAL INC *W EXP 12/14/202 06682J118 3717 80979 SH SOLE 80979 0 0 BENEFICIENT *W EXP 06/07/202 08178Q119 2100 210024 SH SOLE 210024 0 0 BENTLEY SYS INC NOTE 0.125% 1/1 08265TAB5 4468950 4500000 PRN SOLE 4500000 0 0 BENTLEY SYS INC NOTE 0.375% 7/0 08265TAD1 449750 500000 PRN SOLE 500000 0 0 BEYOND MEAT INC NOTE 3/1 08862EAB5 5638800 30480000 PRN SOLE 30480000 0 0 BIGBEAR AI HLDGS INC *W EXP 12/08/202 08975B117 31446 93009 SH SOLE 93009 0 0 BIGCOMMERCE HLDGS INC NOTE 0.250%10/0 08975PAB4 3665600 4640000 PRN SOLE 4640000 0 0 BILL HOLDINGS INC NOTE 4/0 090043AD2 8751750 10500000 PRN SOLE 10500000 0 0 BIORA THERAPEUTICS INC NOTE 7.250%12/0 74319FAB3 3322125 5625000 PRN SOLE 5625000 0 0 BITCOIN DEPOT INC *W EXP 06/30/202 09174P113 166131 1145734 SH SOLE 1145734 0 0 BITE ACQUISITION CORP *W EXP 02/12/203 09175K113 3000 100000 SH SOLE 100000 0 0 BLACKLINE INC NOTE 3/1 09239BAD1 3000585 3362000 PRN SOLE 3362000 0 0 BLOCK INC NOTE 5/0 852234AJ2 4572880 5200000 PRN SOLE 5200000 0 0 BLOCK INC NOTE 0.250%11/0 852234AK9 8518638 10310000 PRN SOLE 10310000 0 0 BLUE OCEAN ACQUISITION CORP *W EXP 12/02/202 G1330L121 3975 198750 SH SOLE 198750 0 0 BRIDGEBIO PHARMA INC NOTE 2.500% 3/1 10806XAB8 133155 110000 PRN SOLE 110000 0 0 BRIDGEBIO PHARMA INC NOTE 2.250% 2/0 10806XAD4 21368208 25083000 PRN SOLE 25083000 0 0 BRIDGER AEROSPACE GRP HLDGS *W EXP 01/24/202 96812F110 25603 121167 SH SOLE 121167 0 0 BURTECH ACQUISITION CORP *W EXP 12/18/202 123013112 94500 1050000 SH SOLE 1050000 0 0 CACTUS ACQUISITION CORP 1 LT *W EXP 08/17/202 G1745A124 6461 215352 SH SOLE 215352 0 0 CANNA GLOBAL ACQUISITION COR *W EXP 11/30/202 13767K119 9391 499500 SH SOLE 499500 0 0 CAPITALWORKS EMNG MKTS ACQST *W EXP 11/19/202 G1889L126 2764 137500 SH SOLE 137500 0 0 CARDIO DIAGNOSTICS HOLDGS IN *W EXP 12/01/202 14159C111 14173 81500 SH SOLE 81500 0 0 CARDLYTICS INC NOTE 1.000% 9/1 14161WAB1 6562500 10500000 PRN SOLE 10500000 0 0 CARTESIAN GROWTH CORP II *W EXP 07/12/202 G19305120 9000 66666 SH SOLE 66666 0 0 CARTICA ACQUISITION CORP *W EXP 04/30/202 G1995D117 4710 100000 SH SOLE 100000 0 0 CELULARITY INC *W EXP 07/16/202 151190113 6000 150000 SH SOLE 150000 0 0 CENTURY ALUM CO NOTE 2.750% 5/0 156431AQ1 16189381 18548000 PRN SOLE 18548000 0 0 CERIDIAN HCM HLDG INC NOTE 0.250% 3/1 15677JAD0 3158750 3500000 PRN SOLE 3500000 0 0 CF ACQUISITION CORP VII CLASS A COM 12521H107 3804500 350000 SH SOLE 350000 0 0 CHEER HLDG INC *W EXP 02/13/202 G39973113 304 84411 SH SOLE 84411 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 4582520 4688000 PRN SOLE 4688000 0 0 CLIMATEROCK *W EXP 04/25/202 G2311X118 2700 100000 SH SOLE 100000 0 0 CLIMATEROCK RIGHT 10/31/2028 G2311X134 22000 200000 SH SOLE 200000 0 0 COHERUS BIOSCIENCES INC NOTE 1.500% 4/1 19249HAB9 6100161 10755000 PRN SOLE 10755000 0 0 COINBASE GLOBAL INC NOTE 0.500% 6/0 19260QAB3 37188904 40840000 PRN SOLE 40840000 0 0 CONCORD ACQUISITION CORP III *W EXP 99/99/999 20607V114 22978 229780 SH SOLE 229780 0 0 CONDUIT PHARMACEUTICALS INC *W EXP 09/22/202 20678X114 8905 128500 SH SOLE 128500 0 0 CORNER GROWTH ACQUISITION CO *W EXP 99/99/999 G2425N113 5921 95500 SH SOLE 95500 0 0 CORNER GROWTH ACQUISITN CORP *W EXP 04/09/202 G2426E120 2500 83333 SH SOLE 83333 0 0 CUSTOM TRUCK ONE SOURCE INC *W EXP 01/01/202 23204X111 16528 236449 SH SOLE 236449 0 0 CUTERA INC NOTE 2.250% 3/1 232109AB4 1799712 4500000 PRN SOLE 4500000 0 0 CUTERA INC NOTE 2.250% 6/0 232109AD0 3969000 15120000 PRN SOLE 15120000 0 0 CUTERA INC NOTE 4.000% 6/0 232109AG3 2898465 13235000 PRN SOLE 13235000 0 0 DENALI CAPITAL ACQUISITN COR *W EXP 03/28/202 G6256B114 30311 605000 SH SOLE 605000 0 0 DEXCOM INC NOTE 0.250%11/1 252131AK3 5769500 5500000 PRN SOLE 5500000 0 0 DIGITALOCEAN HLDGS INC NOTE 12/0 25402DAB8 8708700 10500000 PRN SOLE 10500000 0 0 DISH NETWORK CORPORATION NOTE 3.375% 8/1 25470MAB5 1712000 3200000 PRN SOLE 3200000 0 0 DISH NETWORK CORPORATION NOTE 12/1 25470MAF6 2726875 4363000 PRN SOLE 4363000 0 0 DP CAP ACQUISITION CORP I *W EXP 11/08/202 G2R05B126 283 14168 SH SOLE 14168 0 0 DRAFTKINGS INC NEW NOTE 3/1 26142RAB0 25302570 31180000 PRN SOLE 31180000 0 0 DRAGONFLY ENERGY HOLDINGS CO *W EXP 10/07/202 26145B114 1516 50700 SH SOLE 50700 0 0 ECARX HOLDINGS INC *W EXP 12/20/202 G29201111 3523 117430 SH SOLE 117430 0 0 ECD AUTOMOTIVE DESIGN INC COM 27877D104 51506 41875 SH SOLE 41875 0 0 ECD AUTOMOTIVE DESIGN INC *W EXP 12/12/202 27877D112 21600 540000 SH SOLE 540000 0 0 EDIFY ACQUISITION CORP *W EXP 11/25/202 28059Q111 1433 99500 SH SOLE 99500 0 0 EMBRACE CHANGE ACQUISITN COR ORDINARY SHARES G3034H109 3245328 296377 SH SOLE 296377 0 0 EMBRACE CHANGE ACQUISITN COR *W EXP 10/25/202 G3034H125 3900 300000 SH SOLE 300000 0 0 EMBRACE CHANGE ACQUISITN COR RIGHT 10/25/2026 G3034H141 45300 300000 SH SOLE 300000 0 0 ENVESTNET INC NOTE 2.625%12/0 29404KAG1 2478125 2500000 PRN SOLE 2500000 0 0 ESPERION THERAPEUTICS INC NE NOTE 4.000%11/1 29664WAB1 10590249 17851000 PRN SOLE 17851000 0 0 ETSY INC NOTE 0.125%10/0 29786AAJ5 1731750 1500000 PRN SOLE 1500000 0 0 ETSY INC NOTE 0.125% 9/0 29786AAL0 5133600 6000000 PRN SOLE 6000000 0 0 ETSY INC NOTE 0.250% 6/1 29786AAN6 3212400 4000000 PRN SOLE 4000000 0 0 EVE MOBILITY ACQUISITION COR *W EXP 12/31/202 G3218G117 1837 34998 SH SOLE 34998 0 0 EVENTBRITE INC NOTE 5.000%12/0 29975EAB5 3901120 3650000 PRN SOLE 3650000 0 0 EVENTBRITE INC NOTE 0.750% 9/1 29975EAD1 2524616 2889000 PRN SOLE 2889000 0 0 EVEREST CONSOLIDATOR ACQ COR *W EXP 99/99/999 29978K110 3551 27315 SH SOLE 27315 0 0 EZCORP INC NOTE 2.375% 5/0 302301AE6 2345250 2500000 PRN SOLE 2500000 0 0 FARADAY FUTRE INTLGT ELCTR I *W EXP 07/21/202 307359117 356 17799 SH SOLE 17799 0 0 FAZE HOLDINGS INC *W EXP 03/01/202 31423J110 125 29052 SH SOLE 29052 0 0 FEUTUNE LIGHT ACQUISITION CO *W EXP 06/01/202 31561T110 1740 82458 SH SOLE 82458 0 0 FEUTUNE LIGHT ACQUISITION CO RIGHT 06/01/2029 31561T128 8155 82458 SH SOLE 82458 0 0 FINNOVATE ACQUISITION CORP *W EXP 09/30/202 G3R34K111 1838 262500 SH SOLE 262500 0 0 FINTECH ECOSYSTEM DEVE *W EXP 04/01/202 318136116 966 77300 SH SOLE 77300 0 0 FIVE9 INC NOTE 0.500% 6/0 338307AD3 22797526 23797000 PRN SOLE 23797000 0 0 FIVERR INTL LTD NOTE 11/0 33835LAA3 19641948 21993000 PRN SOLE 21993000 0 0 FOCUS IMPACT ACQUISITION COR *W EXP 10/28/202 34417L117 3492 100050 SH SOLE 100050 0 0 FORTUNE RISE ACQUISITION COR *W EXP 12/06/202 34969G110 3207 110574 SH SOLE 110574 0 0 FORUM ENERGY TECHNOLOGIES IN NOTE 9.000% 8/0 34984VAC4 584470 598000 PRN SOLE 598000 0 0 FTAC EMERALD ACQUISITION COR *W EXP 10/19/202 29103K118 14275 250000 SH SOLE 250000 0 0 FUTURE HEALTH ESG CORP *W EXP 99/99/999 36118W110 71 7080 SH SOLE 7080 0 0 FUTURETECH II ACQUISITION CO *W EXP 08/18/202 36119D111 3525 150000 SH SOLE 150000 0 0 GCM GROSVENOR INC *W EXP 11/17/202 36831E116 113067 314074 SH SOLE 314074 0 0 GEO CORRECTIONS HOLDINGS INC NOTE 6.500% 2/2 36166WAB9 22053080 15820000 PRN SOLE 15820000 0 0 GLOBAL BLOCKCHAIN ACQUI CORP RIGHT 05/09/2027 37961B112 47520 400000 SH SOLE 400000 0 0 GLOBAL BLOCKCHAIN ACQUI CORP *W EXP 05/09/202 37961B120 5600 400000 SH SOLE 400000 0 0 GLOBAL TECHNOLGY ACQSTN CORP *W EXP 10/19/202 G3934N115 5194 173700 SH SOLE 173700 0 0 GOAL ACQUISITIONS CORP *W EXP 02/11/202 38021H115 1573 425128 SH SOLE 425128 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 8193750 21850000 PRN SOLE 21850000 0 0 GROUPON INC NOTE 1.125% 3/1 399473AF4 26438412 41275000 PRN SOLE 41275000 0 0 GUARDANT HEALTH INC NOTE 11/1 40131MAB5 12337500 17500000 PRN SOLE 17500000 0 0 HAEMONETICS CORP MASS NOTE 3/0 405024AB6 13029410 14558000 PRN SOLE 14558000 0 0 HALOZYME THERAPEUTICS INC NOTE 1.000% 8/1 40637HAF6 1863000 2000000 PRN SOLE 2000000 0 0 HCM ACQUISITION CO *W EXP 01/20/202 G4365A127 4708 175000 SH SOLE 175000 0 0 HEALTH CATALYST INC NOTE 2.500% 4/1 42225TAB3 18825408 19661000 PRN SOLE 19661000 0 0 HEALTHCARE AI ACQUISITION CO *W EXP 12/07/202 G4373K117 2519 99949 SH SOLE 99949 0 0 HHG CAPITAL CORPORATION *W EXP 02/25/202 G4R23P129 1263 123800 SH SOLE 123800 0 0 HHG CAPITAL CORPORATION RIGHT 02/25/2026 G4R23P145 13632 90941 SH SOLE 90941 0 0 HNR ACQUISITION CORP *W EXP 02/04/202 40472A128 22282 349249 SH SOLE 349249 0 0 HYCROFT MINING HOLDING CORP *W EXP 05/29/202 44862P117 587 22500 SH SOLE 22500 0 0 INCEPTION GROWTH ACQUSTN LTD *W EXP 10/15/202 45333D112 2188 125000 SH SOLE 125000 0 0 INCEPTION GROWTH ACQUSTN LTD RIGHT 12/08/2026 45333D120 32750 250000 SH SOLE 250000 0 0 INFINERA CORP NOTE 2.500% 3/0 45667GAE3 5047889 5500000 PRN SOLE 5500000 0 0 INNOVIVA INC NOTE 2.125% 3/1 45781MAD3 5748503 6551000 PRN SOLE 6551000 0 0 INSMED INC NOTE 0.750% 6/0 457669AB5 11795748 10284000 PRN SOLE 10284000 0 0 INTEGRATED RAIL AND RES ACQ CL A COM 45827R106 14544584 1323438 SH SOLE 1323438 0 0 INTEGRATED RAIL AND RES ACQ *W EXP 99/99/999 45827R114 38240 382397 SH SOLE 382397 0 0 INTERDIGITAL INC NOTE 3.500% 6/0 45867GAD3 5142900 3500000 PRN SOLE 3500000 0 0 INVESTCORP INDIA ACQUISTN CO *W EXP 06/01/202 G49219127 6891 212035 SH SOLE 212035 0 0 INVITAE CORP NOTE 2.000% 9/0 46185LAB9 5866875 7875000 PRN SOLE 7875000 0 0 IRON HORSE ACQUISITIONS CORP UNIT 10/15/2028 462837204 652600 65000 SH SOLE 65000 0 0 ITRON INC NOTE 3/1 465741AN6 7632498 8246000 PRN SOLE 8246000 0 0 JAWS MUSTANG ACQUISITION COR *W EXP 01/30/202 G50737124 1844 46444 SH SOLE 46444 0 0 JETAI INC *W EXP 07/26/202 47714H118 3747 93670 SH SOLE 93670 0 0 JOHN BEAN TECHNOLOGIES CORP NOTE 0.250% 5/1 477839AB0 4537000 5000000 PRN SOLE 5000000 0 0 KAIROUS ACQUISITION CORP LTD *W EXP 09/15/202 G52131128 1323 90000 SH SOLE 90000 0 0 KAIROUS ACQUISITION CORP LTD RIGHT 09/15/2026 G52131136 13194 180000 SH SOLE 180000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 17944875 18405000 PRN SOLE 18405000 0 0 KARYOPHARM THERAPEUTICS INC NOTE 3.000%10/1 48576UAA4 10747000 21494000 PRN SOLE 21494000 0 0 KEEN VISION ACQUISITION CORP SHS G52443119 31951 3092 SH SOLE 3092 0 0 KEEN VISION ACQUISITION CORP *W EXP 03/15/202 G52443127 124 3092 SH SOLE 3092 0 0 KEYARCH ACQUISITION CORP *W EXP 01/24/202 G5260A112 1663 95000 SH SOLE 95000 0 0 KEYARCH ACQUISITION CORP RIGHT 01/24/2027 G5260A120 12540 200000 SH SOLE 200000 0 0 LAMF GLOBAL VENTURES CORP I *W EXP 11/05/202 G5338L124 2342 93675 SH SOLE 93675 0 0 LAVORO LTD *W EXP 02/27/202 G5391L110 171001 235863 SH SOLE 235863 0 0 LCI INDS NOTE 1.125% 5/1 501812AB7 3930000 4000000 PRN SOLE 4000000 0 0 LEARN CW INVESTMENT COR *W EXP 10/08/202 G54157113 1746 87302 SH SOLE 87302 0 0 LEDDARTECH HLDGS INC *W EXP 12/21/202 52328E113 10869 127872 SH SOLE 127872 0 0 LIVEPERSON INC NOTE 0.750% 3/0 538146AB7 225225 231000 PRN SOLE 231000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 3018600 4500000 PRN SOLE 4500000 0 0 LUMENTUM HLDGS INC NOTE 0.500% 6/1 55024UAF6 2771650 3500000 PRN SOLE 3500000 0 0 MANNKIND CORP NOTE 2.500% 3/0 56400PAQ5 27755218 27110000 PRN SOLE 27110000 0 0 MARATHON DIGITAL HOLDINGS IN NOTE 1.000%12/0 565788AB2 33131130 40498000 PRN SOLE 40498000 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 1/1 57164YAD9 15894000 18000000 PRN SOLE 18000000 0 0 MESA LABS INC NOTE 1.375% 8/1 59064RAA7 10661805 11550000 PRN SOLE 11550000 0 0 MICROCLOUD HOLOGRAM INC *W EXP 01/31/202 G55032125 3243 108098 SH SOLE 108098 0 0 MICROSTRATEGY INC NOTE 0.750%12/1 594972AC5 29912778 18060000 PRN SOLE 18060000 0 0 MICROSTRATEGY INC NOTE 2/1 594972AE1 36779013 42062000 PRN SOLE 42062000 0 0 MITEK SYS INC NOTE 0.750% 2/0 606710AA9 4218750 4500000 PRN SOLE 4500000 0 0 MONTEREY CAP ACQUISITION COR CLASS A COM 61244M109 456120 42000 SH SOLE 42000 0 0 MONTEREY CAP ACQUISITION COR *W EXP 01/01/202 61244M117 8554 792000 SH SOLE 792000 0 0 MONTEREY CAP ACQUISITION COR RIGHT 05/10/2027 61244M125 66096 777600 SH SOLE 777600 0 0 MORINGA ACQUISITION CORP *W EXP 02/22/202 G6S23K124 1755 62238 SH SOLE 62238 0 0 MOUNTAIN & CO I ACQUISITN CO *W EXP 09/30/202 G6301J112 4761 153100 SH SOLE 153100 0 0 NEVRO CORP NOTE 2.750% 4/0 64157FAC7 10140145 10702000 PRN SOLE 10702000 0 0 NEW MTN FIN CORP NOTE 7.500%10/1 647551AE0 23573550 23100000 PRN SOLE 23100000 0 0 NEWCOURT ACQUISITION CORP *W EXP 01/22/202 G6448C129 3747 234200 SH SOLE 234200 0 0 NIO INC NOTE 2/0 62914VAE6 993800 1000000 PRN SOLE 1000000 0 0 NIO INC NOTE 0.500% 2/0 62914VAF3 16345640 17767000 PRN SOLE 17767000 0 0 NORTHERN REVIVAL ACQUISITION *W EXP 01/31/202 G6546R119 185 18166 SH SOLE 18166 0 0 NORTHVIEW ACQUISITION CORP *W EXP 08/02/202 66718N111 3582 222500 SH SOLE 222500 0 0 NOVA VISION ACQUISITION CORP *W EXP 12/31/202 G6759A118 1868 87700 SH SOLE 87700 0 0 NOVA VISION ACQUISITION CORP RIGHT 12/23/2023 G6759A134 17643 82522 SH SOLE 82522 0 0 NUBIA BRAND INTERNATIONAL CO *W EXP 11/16/202 67022R111 960 20416 SH SOLE 20416 0 0 NUTANIX INC NOTE 0.250%10/0 67059NAH1 4324210 4138000 PRN SOLE 4138000 0 0 OCA ACQUISITION CORP *W EXP 01/14/202 670865112 3154 49985 SH SOLE 49985 0 0 OCEAN BIOMEDICAL INC *W EXP 02/14/202 67644C112 2570 111755 SH SOLE 111755 0 0 OCEANTECH ACQUISITIONS I COR *W EXP 99/99/999 675507115 9672 411595 SH SOLE 411595 0 0 OMEROS CORP NOTE 5.250% 2/1 682143AG7 7200000 12000000 PRN SOLE 12000000 0 0 OPKO HEALTH INC NOTE 4.500% 2/1 68375NAD5 11537325 11750000 PRN SOLE 11750000 0 0 OXUS ACQUISITION CORP *W EXP 99/99/999 G6859L121 5394 107878 SH SOLE 107878 0 0 PAPAYA GRWT OPPORTUNITY CORP *W EXP 12/31/202 69882P110 5000 250000 SH SOLE 250000 0 0 PAR TECHNOLOGY CORP NOTE 2.875% 4/1 698884AC7 3040750 2500000 PRN SOLE 2500000 0 0 PAR TECHNOLOGY CORP NOTE 1.500%10/1 698884AE3 12220656 13762000 PRN SOLE 13762000 0 0 PATRIA LATIN AMRCN OPPRNTY A *W EXP 02/23/202 G69454117 3000 100000 SH SOLE 100000 0 0 PEGASYSTEMS INC NOTE 0.750% 3/0 705573AB9 21880103 23565000 PRN SOLE 23565000 0 0 PELOTON INTERACTIVE INC NOTE 2/1 70614WAB6 61770016 79306000 PRN SOLE 79306000 0 0 PENNYMAC CORP NOTE 5.500% 3/1 70932AAF0 7536377 8136000 PRN SOLE 8136000 0 0 PERFICIENT INC NOTE 0.125%11/1 71375UAF8 5744225 6895000 PRN SOLE 6895000 0 0 PETIQ INC NOTE 4.000% 6/0 71639TAB2 5735067 5657000 PRN SOLE 5657000 0 0 PHOENIX BIOTECH ACQUISITION *W EXP 09/01/202 71902K113 5500 200000 SH SOLE 200000 0 0 PLUG PWR INC NOTE 3.750% 6/0 72919PAD5 5795900 5500000 PRN SOLE 5500000 0 0 PONO CAP TWO INC *W EXP 07/31/202 73245B115 11985 425000 SH SOLE 425000 0 0 POWER & DIGITAL INFRASTRUCTU *W EXP 12/09/202 73919C118 1374 49977 SH SOLE 49977 0 0 POWERUP ACQUISITION CORP *W EXP 05/23/202 G7207P129 10500 175000 SH SOLE 175000 0 0 PRIVETERRA ACQUISITION CORP *W EXP 01/07/202 876545112 1146 65500 SH SOLE 65500 0 0 PROOF ACQUISITION CORP I *W EXP 99/99/999 74349W112 2722 24500 SH SOLE 24500 0 0 PROS HOLDINGS INC NOTE 2.250% 9/1 74346YAG8 8207000 7250000 PRN SOLE 7250000 0 0 PTC THERAPEUTICS INC NOTE 1.500% 9/1 69366JAD3 20496590 22308000 PRN SOLE 22308000 0 0 PYROPHYTE ACQUISITION CORP *W EXP 05/03/202 G7308P127 8936 111700 SH SOLE 111700 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 8734100 9558000 PRN SOLE 9558000 0 0 Q2 HLDGS INC NOTE 0.125%11/1 74736LAF6 5330096 5902000 PRN SOLE 5902000 0 0 RAPID7 INC NOTE 0.250% 3/1 753422AF1 2709375 3000000 PRN SOLE 3000000 0 0 REDWOOD TRUST INC NOTE 7.750% 6/1 758075AF2 10036453 10887000 PRN SOLE 10887000 0 0 RELATIVITY ACQUISITION CORP *W EXP 12/15/202 75944B114 6372 637213 SH SOLE 637213 0 0 REVANCE THERAPEUTICS INC NOTE 1.750% 2/1 761330AB5 23880604 31242000 PRN SOLE 31242000 0 0 RF ACQUISITION CORP *W EXP 05/01/202 74954L112 4975 250000 SH SOLE 250000 0 0 RF ACQUISITION CORP RIGHT 05/01/2028 74954L120 18363 325000 SH SOLE 325000 0 0 RIGEL RESOURCE ACQ CORP *W EXP 99/99/999 G7573M114 5331 44429 SH SOLE 44429 0 0 ROTH CH ACQUISITION CO *W EXP 10/20/202 G88935120 7284 291346 SH SOLE 291346 0 0 SAREPTA THERAPEUTICS INC NOTE 1.250% 9/1 803607AD2 14857926 14611000 PRN SOLE 14611000 0 0 SATELLOGIC INC *W EXP 01/25/202 G7823S119 23548 285428 SH SOLE 285428 0 0 SEA LTD NOTE 0.250% 9/1 81141RAG5 35392175 42770000 PRN SOLE 42770000 0 0 SEASTAR MEDICAL HOLDING CORP *W EXP 10/28/202 81256L112 3773 124107 SH SOLE 124107 0 0 SEMPER PARATUS ACQUISITION C *W EXP 11/04/202 G8028L131 3930 98250 SH SOLE 98250 0 0 SEMTECH CORP NOTE 1.625%11/0 816850AF8 19950714 23212000 PRN SOLE 23212000 0 0 SHAKE SHACK INC NOTE 3/0 819047AB7 3704248 4513000 PRN SOLE 4513000 0 0 SHAPEWAYS HOLDINGS INC *W EXP 09/29/202 81947T110 930 310138 SH SOLE 310138 0 0 SHARECARE INC *W EXP 07/01/202 81948W112 3681 159334 SH SOLE 159334 0 0 SIZZLE ACQUISITION CORP *W EXP 11/02/202 83014E117 2138 23750 SH SOLE 23750 0 0 SNAP INC NOTE 0.750% 8/0 83304AAB2 20305586 19035000 PRN SOLE 19035000 0 0 SNAP INC NOTE 5/0 83304AAF3 914724 1138000 PRN SOLE 1138000 0 0 SNAP INC NOTE 0.125% 3/0 83304AAH9 15809256 20088000 PRN SOLE 20088000 0 0 SOCIAL LEVERAGE ACQUISN CORP *W EXP 02/17/202 83363K110 753 33936 SH SOLE 33936 0 0 SOLAREDGE TECHNOLOGIES INC NOTE 9/1 83417MAD6 3941064 4310000 PRN SOLE 4310000 0 0 SOUTHLAND HLDGS INC *W EXP 02/14/202 84445C118 21722 51732 SH SOLE 51732 0 0 SPECTAIRE HLDGS INC *W EXP 10/17/202 84753T117 709 118203 SH SOLE 118203 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 3490000 5000000 PRN SOLE 5000000 0 0 SPREE ACQUISITION CORP 1 LTD *W EXP 12/22/202 G83745128 3000 100000 SH SOLE 100000 0 0 SRIVARU HOLDING LIMITED *W EXP 12/08/202 G8403L110 6766 454100 SH SOLE 454100 0 0 STARWOOD PPTY TR INC NOTE 6.750% 7/1 85571BBA2 8141589 7542000 PRN SOLE 7542000 0 0 STONEBRIDGE ACQUISITION CORP *W EXP 03/31/202 G85094129 770 25000 SH SOLE 25000 0 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 3404310 4988000 PRN SOLE 4988000 0 0 SUNNOVA ENERGY INTL INC. NOTE 2.625% 2/1 86745KAH7 4002000 6000000 PRN SOLE 6000000 0 0 SYNTEC OPTICS HLDGS INC *W EXP 11/07/202 87169M113 24535 221235 SH SOLE 221235 0 0 TELADOC HEALTH INC NOTE 1.250% 6/0 87918AAF2 17043236 20611000 PRN SOLE 20611000 0 0 TERRAN ORBITAL CORPORATION *W EXP 03/25/202 88105P111 12720 195399 SH SOLE 195399 0 0 TG VENTURE ACQUISITION CORP *W EXP 08/15/202 87251T117 5920 399990 SH SOLE 399990 0 0 TILRAY BRANDS INC NOTE 5.200% 6/1 88688TAC4 13591500 12300000 PRN SOLE 12300000 0 0 TLGY ACQUISITION CORPORATION *W EXP 11/09/202 G8656T125 1163 75000 SH SOLE 75000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.250% 3/0 89422GAA5 35238720 53392000 PRN SOLE 53392000 0 0 TURNING PT BRANDS INC NOTE 2.500% 7/1 90041LAE5 2437493 2500000 PRN SOLE 2500000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 449550 486000 PRN SOLE 486000 0 0 UNITY SOFTWARE INC NOTE 11/1 91332UAB7 8483728 10148000 PRN SOLE 10148000 0 0 UPSTART HLDGS INC NOTE 0.250% 8/1 91680MAB3 13349119 18130000 PRN SOLE 18130000 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 2471431 2897000 PRN SOLE 2897000 0 0 VALUENCE MERGER CORP I *W EXP 02/18/202 G9R16L118 2250 75000 SH SOLE 75000 0 0 VERDE CLEAN FUELS INC *W EXP 02/15/202 923372114 13444 132844 SH SOLE 132844 0 0 VERITONE INC NOTE 1.750%11/1 92347MAB6 2536527 10250000 PRN SOLE 10250000 0 0 VIEW INC *W EXP 03/08/202 92671V114 268 63833 SH SOLE 63833 0 0 VISION SENSING ACQUISITION C *W EXP 10/21/202 92838J111 1462 243675 SH SOLE 243675 0 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 45037010 51295000 PRN SOLE 51295000 0 0 WAYFAIR INC NOTE 0.625%10/0 94419LAM3 40745250 44775000 PRN SOLE 44775000 0 0 WAYFAIR INC NOTE 3.250% 9/1 94419LAP6 4945200 4000000 PRN SOLE 4000000 0 0 WOLFSPEED INC NOTE 1.750% 5/0 225447AD3 7997500 7000000 PRN SOLE 7000000 0 0 WOLFSPEED INC NOTE 0.250% 2/1 977852AB8 339250 500000 PRN SOLE 500000 0 0 WOLFSPEED INC NOTE 1.875%12/0 977852AD4 23641125 34500000 PRN SOLE 34500000 0 0 XBP EUROPE HOLDINGS INC *W EXP 11/30/202 98400V119 18869 377370 SH SOLE 377370 0 0 XOMETRY INC NOTE 1.000% 2/0 98423FAB5 31983570 33863000 PRN SOLE 33863000 0 0 ZEROFOX HLDGS INC *W EXP 08/03/202 98955G111 8506 457295 SH SOLE 457295 0 0 ZIFF DAVIS INC NOTE 1.750%11/0 48123VAE2 1330000 1400000 PRN SOLE 1400000 0 0