0001301396-24-000006.txt : 20240502 0001301396-24-000006.hdr.sgml : 20240502 20240502155122 ACCESSION NUMBER: 0001301396-24-000006 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240502 DATE AS OF CHANGE: 20240502 EFFECTIVENESS DATE: 20240502 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 SEC ACT: 1934 Act SEC FILE NUMBER: 028-10965 FILM NUMBER: 24907901 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 1 primary_doc.xml X0202 13F-HR LIVE false true false 0001301396 XXXXXXXX 03-31-2024 03-31-2024 Context Capital Management, LLC

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

13F HOLDINGS REPORT 028-10965 N Grace Brescia 8455161946 Grace M Brescia La Jolla CA 05-02-2024 0 277 2097932598 false INFORMATION TABLE 2 edgar13f20240328b.xml 10X CAPITAL VENTURE ACQ III *W EXP 06/30/202 G87077114 2726 216358 SH SOLE 216358 0 0 3D SYS CORP DEL NOTE 11/1 88554DAD8 56827824 72987 PRN SOLE 72987 0 0 8X8 INC NEW NOTE 4.000% 2/0 282914AE0 2837821 3500 PRN SOLE 3500 0 0 99 ACQUISITION GROUP INC *W EXP 08/25/202 65445K119 878 37500 SH SOLE 37500 0 0 99 ACQUISITION GROUP INC RIGHT 08/25/2028 65445K127 6750 37500 SH SOLE 37500 0 0 A SPAC II ACQUISITION CORP *W EXP 10/15/202 G0543H117 8750 700000 SH SOLE 700000 0 0 A SPAC II ACQUISITION CORP RIGHT 10/15/2026 G0543H133 94500 1400000 SH SOLE 1400000 0 0 ACCOLADE INC NOTE 0.500% 4/0 00437EAB8 5571600 6250 PRN SOLE 6250 0 0 ACRI CAPITAL ACQUISITION COR *W EXP 02/01/202 00501A119 8310 100000 SH SOLE 100000 0 0 AETHERIUM ACQUISITION CORP *W EXP 99/99/999 00809J119 19797 331054 SH SOLE 331054 0 0 AFFIRM HLDGS INC NOTE 11/1 00827BAB2 43332961 52075 PRN SOLE 52075 0 0 AIMFINITY INVESTMENT CORP I *W EXP 99/99/999 G0135E126 2600 200000 SH SOLE 200000 0 0 AIRBNB INC NOTE 3/1 009066AB7 2797788 3000 PRN SOLE 3000 0 0 AKAMAI TECHNOLOGIES INC NOTE 0.375% 9/0 00971TAL5 1580037 1500 PRN SOLE 1500 0 0 ALARM COM HLDGS INC NOTE 1/1 011642AB1 3451095 3750 PRN SOLE 3750 0 0 ALBEMARLE CORP 7.25% DEP SHS A 012653200 6480082 110095 SH SOLE 110095 0 0 ALCHEMY INVTS ACQUISITN CORP *W EXP 11/30/202 G0232F133 9505 50000 SH SOLE 50000 0 0 ALPHA STAR ACQUISITION CORP *W EXP 12/13/202 G0230C116 3600 360000 SH SOLE 360000 0 0 ALPHA STAR ACQUISITION CORP RIGHT 05/30/2023 G0230C132 31479 335596 SH SOLE 335596 0 0 ALPHATEC HLDGS INC NOTE 0.750% 8/0 02081GAB8 45707765 43857 PRN SOLE 43857 0 0 ANDRETTI ACQUISITION CORP *W EXP 99/99/999 G26735129 58677 143115 SH SOLE 143115 0 0 APOLLOMICS INC *W EXP 04/01/202 G0411D115 8925 298500 SH SOLE 298500 0 0 ARBOR REALTY TRUST INC NOTE 7.500% 8/0 038923BA5 10356150 10500 PRN SOLE 10500 0 0 ARRAY TECHNOLOGIES INC NOTE 1.000%12/0 04271TAB6 23376850 25175 PRN SOLE 25175 0 0 ARTIVION INC NOTE 4.250% 7/0 228903AB6 22618081 19900 PRN SOLE 19900 0 0 ASCENDIS PHARMA A/S NOTE 2.250% 4/0 04351PAD3 6461364 5575 PRN SOLE 5575 0 0 ASSERTIO HOLDINGS INC NOTE 6.500% 9/0 04546CAB2 13521629 16000 PRN SOLE 16000 0 0 ATHENA TECHNOLOGY ACQ CORP I *W EXP 10/17/202 04687C113 31388 775000 SH SOLE 775000 0 0 AURA FAT PROJS ACQUISITION C *W EXP 99/99/999 G06362126 6500 500000 SH SOLE 500000 0 0 AURORA INNOVATION INC *W EXP 11/03/202 051774115 3032 11228 SH SOLE 11228 0 0 BANDWIDTH INC NOTE 0.250% 3/0 05988JAB9 29429973 33331 PRN SOLE 33331 0 0 BANNIX ACQUISITION CORP *W EXP 07/31/202 066644113 10896 320484 SH SOLE 320484 0 0 BANNIX ACQUISITION CORP RIGHT 07/31/2026 066644121 44181 210385 SH SOLE 210385 0 0 BANZAI INTERNATIONAL INC *W EXP 12/14/202 06682J118 2956 80979 SH SOLE 80979 0 0 BENEFICIENT *W EXP 06/07/202 08178Q119 21 210024 SH SOLE 210024 0 0 BENTLEY SYS INC NOTE 0.125% 1/1 08265TAB5 503745 500 PRN SOLE 500 0 0 BENTLEY SYS INC NOTE 0.375% 7/0 08265TAD1 4498550 5000 PRN SOLE 5000 0 0 BEYOND MEAT INC NOTE 3/1 08862EAB5 6893103 28730 PRN SOLE 28730 0 0 BIGCOMMERCE HLDGS INC NOTE 0.250%10/0 08975PAB4 3873894 4640 PRN SOLE 4640 0 0 BITCOIN DEPOT INC *W EXP 06/30/202 09174P113 106962 1127098 SH SOLE 1127098 0 0 BITE ACQUISITION CORP *W EXP 02/12/203 09175K113 7000 100000 SH SOLE 100000 0 0 BLACKLINE INC NOTE 3/1 09239BAD1 3045491 3362 PRN SOLE 3362 0 0 BLOCK INC NOTE 5/0 852234AJ2 5542811 6185 PRN SOLE 6185 0 0 BLOCK INC NOTE 0.250%11/0 852234AK9 8625738 10310 PRN SOLE 10310 0 0 BLUE OCEAN ACQUISITION CORP *W EXP 99/99/999 G1330L121 3816 198750 SH SOLE 198750 0 0 BOREALIS FOODS INC *W EXP 02/07/202 09973D113 15103 107878 SH SOLE 107878 0 0 BRIDGEBIO PHARMA INC NOTE 2.500% 3/1 10806XAB8 118221 110 PRN SOLE 110 0 0 BRIDGEBIO PHARMA INC NOTE 2.250% 2/0 10806XAD4 29904277 36289 PRN SOLE 36289 0 0 BRIDGER AEROSPACE GRP HLDGS *W EXP 01/24/202 96812F110 24233 121167 SH SOLE 121167 0 0 BRIGHTSPRING HEALTH SVCS INC UNIT 02/01/2027 10950A205 1950000 50000 SH SOLE 50000 0 0 BURTECH ACQUISITION CORP *W EXP 12/18/202 123013112 70975 394523 SH SOLE 394523 0 0 CACTUS ACQUISITION CORP 1 LT *W EXP 08/17/202 G1745A124 10768 215352 SH SOLE 215352 0 0 CANNA GLOBAL ACQUISITION COR *W EXP 99/99/999 13767K119 10490 499500 SH SOLE 499500 0 0 CAPITALWORKS EMNG MKTS ACQST *W EXP 99/99/999 G1889L126 6875 137500 SH SOLE 137500 0 0 CARDIO DIAGNOSTICS HOLDGS IN *W EXP 12/01/202 14159C111 8672 81500 SH SOLE 81500 0 0 CARDLYTICS INC NOTE 1.000% 9/1 14161WAB1 8383606 9120 PRN SOLE 9120 0 0 CARTICA ACQUISITION CORP *W EXP 04/30/202 G1995D117 9810 100000 SH SOLE 100000 0 0 CELULARITY INC *W EXP 07/16/202 151190113 6165 150000 SH SOLE 150000 0 0 CENTURY ALUM CO NOTE 2.750% 5/0 156431AQ1 19813836 19448 PRN SOLE 19448 0 0 CERO THERAPEUTICS HLDGS INC *W EXP 02/13/202 71902K113 8321 122013 SH SOLE 122013 0 0 CHEER HLDG INC *W EXP 02/13/202 G39973113 346 84411 SH SOLE 84411 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 8686749 8394 PRN SOLE 8394 0 0 CHEFS WHSE INC NOTE 2.375%12/1 163086AE1 10984140 10000 PRN SOLE 10000 0 0 CLIMATEROCK *W EXP 99/99/999 G2311X118 2900 100000 SH SOLE 100000 0 0 CLIMATEROCK RIGHT 10/31/2028 G2311X134 21380 200000 SH SOLE 200000 0 0 COHERUS BIOSCIENCES INC NOTE 1.500% 4/1 19249HAB9 24247096 37812 PRN SOLE 37812 0 0 COINBASE GLOBAL INC NOTE 0.500% 6/0 19260QAB3 16334455 14871 PRN SOLE 14871 0 0 COLLEGIUM PHARMACEUTICAL INC NOTE 2.875% 2/1 19459JAC8 17054619 13607 PRN SOLE 13607 0 0 CONDUIT PHARMACEUTICALS INC *W EXP 09/22/202 20678X114 7710 128500 SH SOLE 128500 0 0 CORNER GROWTH ACQUISITION CO *W EXP 99/99/999 G2425N113 14421 95500 SH SOLE 95500 0 0 CORNER GROWTH ACQUISITN CORP *W EXP 99/99/999 G2426E120 3750 83333 SH SOLE 83333 0 0 CRITICAL METALS CORP *W EXP 02/27/202 G2662B111 3444 23750 SH SOLE 23750 0 0 CUSTOM TRUCK ONE SOURCE INC *W EXP 01/01/202 23204X111 118 236449 SH SOLE 236449 0 0 CUTERA INC NOTE 2.250% 3/1 232109AB4 1761512 4500 PRN SOLE 4500 0 0 CUTERA INC NOTE 2.250% 6/0 232109AD0 5446310 23064 PRN SOLE 23064 0 0 CUTERA INC NOTE 4.000% 6/0 232109AG3 2792956 13235 PRN SOLE 13235 0 0 DAYFORCE INC NOTE 0.250% 3/1 15677JAD0 919242 1000 PRN SOLE 1000 0 0 DENALI CAPITAL ACQUISITN COR *W EXP 99/99/999 G6256B114 30855 605000 SH SOLE 605000 0 0 DEXCOM INC NOTE 0.250%11/1 252131AK3 1373003 1250 PRN SOLE 1250 0 0 DIGITALOCEAN HLDGS INC NOTE 12/0 25402DAB8 8825187 10500 PRN SOLE 10500 0 0 DP CAP ACQUISITION CORP I *W EXP 99/99/999 G2R05B126 710 14168 SH SOLE 14168 0 0 DRAFTKINGS INC NEW NOTE 3/1 26142RAB0 9067954 10465 PRN SOLE 10465 0 0 DRAGONFLY ENERGY HOLDINGS CO *W EXP 10/07/202 26145B114 1049 50700 SH SOLE 50700 0 0 ECARX HOLDINGS INC *W EXP 99/99/999 G29201111 3523 117430 SH SOLE 117430 0 0 ECD AUTOMOTIVE DESIGN INC COM 27877D104 39363 41875 SH SOLE 41875 0 0 ECD AUTOMOTIVE DESIGN INC *W EXP 12/12/202 27877D112 13554 540000 SH SOLE 540000 0 0 EMBRACE CHANGE ACQUISITN COR *W EXP 10/25/202 G3034H125 6780 300000 SH SOLE 300000 0 0 EMBRACE CHANGE ACQUISITN COR RIGHT 10/25/2026 G3034H141 42060 300000 SH SOLE 300000 0 0 ENCORE CAP GROUP INC NOTE 4.000% 3/1 292554AP7 5406259 5750 PRN SOLE 5750 0 0 ENVESTNET INC NOTE 2.625%12/0 29404KAG1 2648863 2500 PRN SOLE 2500 0 0 ESPERION THERAPEUTICS INC NE NOTE 4.000%11/1 29664WAB1 32088961 38404 PRN SOLE 38404 0 0 ETSY INC NOTE 0.125%10/0 29786AAJ5 1586250 1500 PRN SOLE 1500 0 0 ETSY INC NOTE 0.125% 9/0 29786AAL0 10904114 13000 PRN SOLE 13000 0 0 ETSY INC NOTE 0.250% 6/1 29786AAN6 3174140 4000 PRN SOLE 4000 0 0 EVENTBRITE INC NOTE 5.000%12/0 29975EAB5 3226233 3260 PRN SOLE 3260 0 0 EVENTBRITE INC NOTE 0.750% 9/1 29975EAD1 6169191 7289 PRN SOLE 7289 0 0 EVEREST CONSOLIDATOR ACQ COR *W EXP 99/99/999 29978K110 4779 25297 SH SOLE 25297 0 0 EZCORP INC NOTE 2.375% 5/0 302301AE6 2412500 2500 PRN SOLE 2500 0 0 FARADAY FUTURE INTLGT ELEC I *W EXP 07/21/202 307359117 196 17799 SH SOLE 17799 0 0 FARO TECHNOLOGIES INC NOTE 5.500% 2/0 311642AB8 3074215 3500 PRN SOLE 3500 0 0 FAZE HOLDINGS INC *W EXP 03/01/202 31423J110 421 29052 SH SOLE 29052 0 0 FEUTUNE LIGHT ACQUISITION CO *W EXP 06/01/202 31561T110 2804 82458 SH SOLE 82458 0 0 FEUTUNE LIGHT ACQUISITION CO RIGHT 06/01/2029 31561T128 7017 82458 SH SOLE 82458 0 0 FINNOVATE ACQUISITION CORP *W EXP 09/30/202 G3R34K111 2625 262500 SH SOLE 262500 0 0 FINTECH ECOSYSTEM DEVE *W EXP 04/01/202 318136116 1461 77300 SH SOLE 77300 0 0 FIVERR INTL LTD NOTE 11/0 33835LAA3 19790203 21993 PRN SOLE 21993 0 0 FOCUS IMPACT ACQUISITION COR *W EXP 99/99/999 34417L117 4612 100050 SH SOLE 100050 0 0 FORTUNE RISE ACQUISITION COR *W EXP 12/06/202 34969G110 4434 110574 SH SOLE 110574 0 0 FORUM ENERGY TECHNOLOGIES IN NOTE 9.000% 8/0 34984VAC4 591163 598 PRN SOLE 598 0 0 FTAC EMERALD ACQUISITION COR *W EXP 10/19/202 29103K118 30953 238100 SH SOLE 238100 0 0 FUTURE HEALTH ESG CORP *W EXP 99/99/999 36118W110 496 7080 SH SOLE 7080 0 0 FUTURETECH II ACQUISITION CO *W EXP 08/18/202 36119D111 5910 150000 SH SOLE 150000 0 0 GCM GROSVENOR INC *W EXP 11/17/202 36831E116 150804 314174 SH SOLE 314174 0 0 GCT SEMICONDUCTOR HLDG INC *W EXP 03/01/202 36170N115 84421 222160 SH SOLE 222160 0 0 GEO CORRECTIONS HOLDINGS INC NOTE 6.500% 2/2 36166WAB9 27131885 15820 PRN SOLE 15820 0 0 GLOBAL BLOCKCHAIN ACQUI CORP RIGHT 05/09/2027 37961B112 36000 400000 SH SOLE 400000 0 0 GLOBAL BLOCKCHAIN ACQUI CORP *W EXP 99/99/999 37961B120 4400 400000 SH SOLE 400000 0 0 GLOBAL TECHNOLGY ACQSTN CORP *W EXP 99/99/999 G3934N115 4343 173700 SH SOLE 173700 0 0 GOAL ACQUISITIONS CORP *W EXP 99/99/999 38021H115 2661 425128 SH SOLE 425128 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 8750772 21850 PRN SOLE 21850 0 0 GRIID INFRASTRUCTURE INC *W EXP 12/29/202 398501114 12185 202416 SH SOLE 202416 0 0 GROUPON INC NOTE 1.125% 3/1 399473AF4 36528432 46025 PRN SOLE 46025 0 0 GUARDANT HEALTH INC NOTE 11/1 40131MAB5 5127000 7500 PRN SOLE 7500 0 0 HAEMONETICS CORP MASS NOTE 3/0 405024AB6 5582065 6058 PRN SOLE 6058 0 0 HALOZYME THERAPEUTICS INC NOTE 1.000% 8/1 40637HAF6 975714 1000 PRN SOLE 1000 0 0 HEALTH CATALYST INC NOTE 2.500% 4/1 42225TAB3 19458329 20161 PRN SOLE 20161 0 0 HEALTHCARE AI ACQUISITION CO *W EXP 12/07/202 G4373K117 4638 99949 SH SOLE 99949 0 0 HHG CAPITAL CORPORATION *W EXP 02/25/202 G4R23P129 3764 123800 SH SOLE 123800 0 0 HHG CAPITAL CORPORATION RIGHT 02/25/2026 G4R23P145 9594 90941 SH SOLE 90941 0 0 HNR ACQUISITION CORP *W EXP 02/04/202 40472A128 48860 349249 SH SOLE 349249 0 0 HYCROFT MINING HOLDING CORP *W EXP 05/29/202 44862P117 324 22500 SH SOLE 22500 0 0 IB ACQUISITION CORP UNIT 03/26/2029 44934N207 2002000 200000 SH SOLE 200000 0 0 INCEPTION GROWTH ACQUSTN LTD *W EXP 10/15/202 45333D112 5000 125000 SH SOLE 125000 0 0 INCEPTION GROWTH ACQUSTN LTD RIGHT 12/08/2026 45333D120 49175 250000 SH SOLE 250000 0 0 INFINERA CORP NOTE 2.500% 3/0 45667GAE3 5726947 5500 PRN SOLE 5500 0 0 INNOVIVA INC NOTE 2.125% 3/1 45781MAD3 5759259 6551 PRN SOLE 6551 0 0 INSMED INC NOTE 0.750% 6/0 457669AB5 14946346 13928 PRN SOLE 13928 0 0 INTEGER HLDGS CORP NOTE 2.125% 2/1 45826HAB5 4334589 3000 PRN SOLE 3000 0 0 INTEGRATED RAIL AND RES ACQ *W EXP 99/99/999 45827R114 1950 382397 SH SOLE 382397 0 0 INVESTCORP INDIA ACQUISTN CO *W EXP 06/01/202 G49219127 12722 212035 SH SOLE 212035 0 0 INVITAE CORP NOTE 2.000% 9/0 46185LAB9 944606 7875 PRN SOLE 7875 0 0 ISHARES BITCOIN TR SHS 46438F101 17928210 443000 SH SOLE 443000 0 0 JAWS MUSTANG ACQUISITION COR *W EXP 01/30/202 G50737124 9985 46444 SH SOLE 46444 0 0 JAZZ INVESTMENTS I LTD NOTE 2.000% 6/1 472145AF8 1986922 2000 PRN SOLE 2000 0 0 JETAI INC *W EXP 08/10/202 47714H118 5152 93670 SH SOLE 93670 0 0 JOHN BEAN TECHNOLOGIES CORP NOTE 0.250% 5/1 477839AB0 3253009 3500 PRN SOLE 3500 0 0 KAIROUS ACQUISITION CORP LTD *W EXP 09/15/202 G52131128 1800 90000 SH SOLE 90000 0 0 KAIROUS ACQUISITION CORP LTD RIGHT 09/15/2026 G52131136 14400 180000 SH SOLE 180000 0 0 KARYOPHARM THERAPEUTICS INC NOTE 3.000%10/1 48576UAA4 11672575 21494 PRN SOLE 21494 0 0 KEEN VISION ACQUISITION CORP *W EXP 03/15/202 G52443127 167 3092 SH SOLE 3092 0 0 KEYARCH ACQUISITION CORP *W EXP 99/99/999 G5260A112 4921 95000 SH SOLE 95000 0 0 KEYARCH ACQUISITION CORP RIGHT 01/24/2027 G5260A120 25000 100000 SH SOLE 100000 0 0 LAMF GLOBAL VENTURES CORP I *W EXP 99/99/999 G5338L124 9368 93675 SH SOLE 93675 0 0 LANTHEUS HLDGS INC NOTE 2.625%12/1 516544AB9 3335583 3000 PRN SOLE 3000 0 0 LAVORO LTD *W EXP 02/27/202 G5391L110 121517 235863 SH SOLE 235863 0 0 LCI INDS NOTE 1.125% 5/1 501812AB7 3956140 4000 PRN SOLE 4000 0 0 LEARN CW INVESTMENT COR *W EXP 10/08/202 G54157113 3929 87302 SH SOLE 87302 0 0 LEDDARTECH HLDGS INC *W EXP 12/21/202 52328E113 16304 127872 SH SOLE 127872 0 0 LEGATO MERGER CORP III UNIT 99/99/9999 G5451A129 1013500 100000 SH SOLE 100000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 3.125% 1/1 538034BA6 3001960 2500 PRN SOLE 2500 0 0 LUMENTUM HLDGS INC NOTE 0.500% 6/1 55024UAF6 2715549 3500 PRN SOLE 3500 0 0 MANNKIND CORP NOTE 2.500% 3/0 56400PAQ5 20591401 18410 PRN SOLE 18410 0 0 MARATHON DIGITAL HOLDINGS IN NOTE 1.000%12/0 565788AB2 36419757 42748 PRN SOLE 42748 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 1/1 57164YAD9 10919538 11500 PRN SOLE 11500 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 3.250%12/1 57164YAF4 5169142 5500 PRN SOLE 5500 0 0 MESA LABS INC NOTE 1.375% 8/1 59064RAA7 9966448 10550 PRN SOLE 10550 0 0 MICROSTRATEGY INC NOTE 0.750%12/1 594972AC5 33179869 7737 PRN SOLE 7737 0 0 MICROSTRATEGY INC NOTE 2/1 594972AE1 72989907 53402 PRN SOLE 53402 0 0 MITEK SYS INC NOTE 0.750% 2/0 606710AA9 21956484 22000 PRN SOLE 22000 0 0 MODEL N INC NOTE 1.875% 3/1 607525AD4 1939468 2000 PRN SOLE 2000 0 0 MONTANA TECHNOLOGIES CORP *W EXP 03/15/202 612160119 27487 49977 SH SOLE 49977 0 0 MONTEREY CAP ACQUISITION COR *W EXP 01/01/202 61244M117 17107 792000 SH SOLE 792000 0 0 MONTEREY CAP ACQUISITION COR RIGHT 05/10/2027 61244M125 136158 777600 SH SOLE 777600 0 0 MORINGA ACQUISITION CORP *W EXP 02/22/202 G6S23K124 4979 62238 SH SOLE 62238 0 0 MOUNTAIN & CO I ACQUISITN CO *W EXP 09/30/202 G6301J112 10732 153100 SH SOLE 153100 0 0 NEVRO CORP NOTE 2.750% 4/0 64157FAC7 10287501 10702 PRN SOLE 10702 0 0 NEW MTN FIN CORP NOTE 7.500%10/1 647551AE0 27690289 27086 PRN SOLE 27086 0 0 NIO INC NOTE 0.500% 2/0 62914VAF3 8439475 9267 PRN SOLE 9267 0 0 NORTHERN REVIVAL ACQUISITION *W EXP 01/31/202 G6546R119 182 18166 SH SOLE 18166 0 0 NORTHVIEW ACQUISITION CORP *W EXP 08/02/202 66718N111 8544 222500 SH SOLE 222500 0 0 NOVA VISION ACQUISITION CORP *W EXP 12/31/202 G6759A118 2605 87700 SH SOLE 87700 0 0 NOVA VISION ACQUISITION CORP RIGHT 12/23/2023 G6759A134 22116 82522 SH SOLE 82522 0 0 NOVAVAX INC NOTE 5.000%12/1 670002AD6 2392528 4000 PRN SOLE 4000 0 0 OCA ACQUISITION CORP *W EXP 01/14/202 670865112 3874 49985 SH SOLE 49985 0 0 OCEANTECH ACQUISITIONS I COR *W EXP 99/99/999 675507115 4116 411595 SH SOLE 411595 0 0 OMEROS CORP NOTE 5.250% 2/1 682143AG7 11981586 16384 PRN SOLE 16384 0 0 ON SEMICONDUCTOR CORP NOTE 0.500% 3/0 682189AU9 2125801 2153 PRN SOLE 2153 0 0 PAPAYA GRWT OPPORTUNITY CORP *W EXP 12/31/202 69882P110 16250 250000 SH SOLE 250000 0 0 PAR TECHNOLOGY CORP NOTE 2.875% 4/1 698884AC7 3105480 2500 PRN SOLE 2500 0 0 PAR TECHNOLOGY CORP NOTE 1.500%10/1 698884AE3 17271697 18762 PRN SOLE 18762 0 0 PATRIA LATIN AMRCN OPPRNTY A *W EXP 99/99/999 G69454117 6000 100000 SH SOLE 100000 0 0 PEGASYSTEMS INC NOTE 0.750% 3/0 705573AB9 21058068 21929 PRN SOLE 21929 0 0 PELOTON INTERACTIVE INC NOTE 2/1 70614WAB6 78772870 92965 PRN SOLE 92965 0 0 PENNYMAC CORP NOTE 5.500% 3/1 70932AAF0 7747205 8136 PRN SOLE 8136 0 0 PERFICIENT INC NOTE 0.125%11/1 71375UAF8 5983895 6895 PRN SOLE 6895 0 0 PETIQ INC NOTE 4.000% 6/0 71639TAB2 7620622 7657 PRN SOLE 7657 0 0 PLUG PWR INC NOTE 3.750% 6/0 72919PAD5 18353585 17795 PRN SOLE 17795 0 0 PONO CAP TWO INC *W EXP 99/99/999 73245B115 21293 425000 SH SOLE 425000 0 0 POWERUP ACQUISITION CORP *W EXP 05/23/202 G7207P129 5268 175000 SH SOLE 175000 0 0 PPL CAP FDG INC NOTE 2.875% 3/1 69352PAS2 17725514 18465 PRN SOLE 18465 0 0 PRIVETERRA ACQUISITION CORP *W EXP 01/07/202 876545112 3282 65500 SH SOLE 65500 0 0 PROS HOLDINGS INC NOTE 2.250% 9/1 74346YAG8 7910743 7250 PRN SOLE 7250 0 0 PSYENCE BIOMEDICAL LTD *W EXP 01/25/202 74449F118 16394 234200 SH SOLE 234200 0 0 PTC THERAPEUTICS INC NOTE 1.500% 9/1 69366JAD3 20946565 22308 PRN SOLE 22308 0 0 PYROPHYTE ACQUISITION CORP *W EXP 05/03/202 G7308P127 2139 85200 SH SOLE 85200 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 10045441 10558 PRN SOLE 10558 0 0 RAPID7 INC NOTE 0.250% 3/1 753422AF1 5731044 6500 PRN SOLE 6500 0 0 REDWOOD TRUST INC NOTE 7.750% 6/1 758075AF2 14605761 15151 PRN SOLE 15151 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 32721339 44242 PRN SOLE 44242 0 0 RF ACQUISITION CORP *W EXP 05/01/202 74954L112 2650 250000 SH SOLE 250000 0 0 RF ACQUISITION CORP RIGHT 05/01/2028 74954L120 28438 325000 SH SOLE 325000 0 0 RIVIAN AUTOMOTIVE INC NOTE 4.625% 3/1 76954AAB9 17955292 22285 PRN SOLE 22285 0 0 ROTH CH ACQUISITION CO *W EXP 99/99/999 G88935120 4108 291346 SH SOLE 291346 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 6654200 6860 PRN SOLE 6860 0 0 SAREPTA THERAPEUTICS INC NOTE 1.250% 9/1 803607AD2 6560297 5611 PRN SOLE 5611 0 0 SATELLOGIC INC *W EXP 01/25/202 G7823S119 29998 285428 SH SOLE 285428 0 0 SEA LTD NOTE 0.250% 9/1 81141RAG5 38392648 44770 PRN SOLE 44770 0 0 SEMTECH CORP NOTE 1.625%11/0 816850AF8 22986681 23212 PRN SOLE 23212 0 0 SHAKE SHACK INC NOTE 3/0 819047AB7 15900315 17513 PRN SOLE 17513 0 0 SHAPEWAYS HOLDINGS INC *W EXP 09/29/202 81947T110 620 310138 SH SOLE 310138 0 0 SHARECARE INC *W EXP 07/01/202 81948W112 2904 159334 SH SOLE 159334 0 0 SNAP INC NOTE 5/0 83304AAF3 11839522 14638 PRN SOLE 14638 0 0 SNAP INC NOTE 0.125% 3/0 83304AAH9 20930215 27488 PRN SOLE 27488 0 0 SOUTHERN CO NOTE 3.875%12/1 842587DP9 14733930 14758 PRN SOLE 14758 0 0 SOUTHLAND HLDGS INC *W EXP 02/14/202 84445C118 22907 51732 SH SOLE 51732 0 0 SPECTAIRE HLDGS INC *W EXP 10/17/202 84753T117 2953 118203 SH SOLE 118203 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 2411765 5000 PRN SOLE 5000 0 0 SPREE ACQUISITION CORP 1 LTD *W EXP 12/22/202 G83745128 200 100000 SH SOLE 100000 0 0 SRIVARU HOLDING LIMITED *W EXP 12/08/202 G8403L110 7175 454100 SH SOLE 454100 0 0 SSR MINING IN NOTE 2.500% 4/0 784730AB9 25624311 28588 PRN SOLE 28588 0 0 STARWOOD PPTY TR INC NOTE 6.750% 7/1 85571BBA2 14989835 14042 PRN SOLE 14042 0 0 STONEBRIDGE ACQUISITION CORP *W EXP 99/99/999 G85094129 1250 25000 SH SOLE 25000 0 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 2062673 3988 PRN SOLE 3988 0 0 SUNNOVA ENERGY INTL INC. NOTE 2.625% 2/1 86745KAH7 289290 700 PRN SOLE 700 0 0 SYNTEC OPTICS HLDGS INC *W EXP 99/99/999 87169M113 30973 221235 SH SOLE 221235 0 0 TELADOC HEALTH INC NOTE 1.250% 6/0 87918AAF2 13186471 15611 PRN SOLE 15611 0 0 TERRAN ORBITAL CORPORATION *W EXP 03/25/202 88105P111 31186 195399 SH SOLE 195399 0 0 TEVOGEN BIO HLDGS INC *W EXP 02/14/202 88165K119 8104 98250 SH SOLE 98250 0 0 TG VENTURE ACQUISITION CORP *W EXP 08/15/202 87251T117 2880 399990 SH SOLE 399990 0 0 TILRAY BRANDS INC NOTE 5.200% 6/1 88688TAC4 14478330 12300 PRN SOLE 12300 0 0 TLGY ACQUISITION CORPORATION *W EXP 99/99/999 G8656T125 2168 75000 SH SOLE 75000 0 0 TPI COMPOSITES INC NOTE 5.250% 3/1 87266JAB0 966180 2000 PRN SOLE 2000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.250% 3/0 89422GAA5 39029768 61017 PRN SOLE 61017 0 0 TURNING PT BRANDS INC NOTE 2.500% 7/1 90041LAE5 2475140 2500 PRN SOLE 2500 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 465938 486 PRN SOLE 486 0 0 UNITY SOFTWARE INC NOTE 11/1 91332UAB7 10730373 12648 PRN SOLE 12648 0 0 UPSTART HLDGS INC NOTE 0.250% 8/1 91680MAB3 41485285 52999 PRN SOLE 52999 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 10257449 11690 PRN SOLE 11690 0 0 VALUENCE MERGER CORP I *W EXP 99/99/999 G9R16L118 2198 75000 SH SOLE 75000 0 0 VERDE CLEAN FUELS INC *W EXP 02/15/202 923372114 31537 132844 SH SOLE 132844 0 0 VERITONE INC NOTE 1.750%11/1 92347MAB6 4028209 10250 PRN SOLE 10250 0 0 VIEW INC *W EXP 03/08/202 92671V114 428 63833 SH SOLE 63833 0 0 VISION SENSING ACQUISITION C *W EXP 99/99/999 92838J111 6409 243675 SH SOLE 243675 0 0 VOLATO GROUP INC *W EXP 99/99/999 74349W112 3673 24500 SH SOLE 24500 0 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 62510454 67445 PRN SOLE 67445 0 0 WAYFAIR INC NOTE 0.625%10/0 94419LAM3 41477500 44775 PRN SOLE 44775 0 0 WAYFAIR INC NOTE 3.250% 9/1 94419LAP6 15519294 11750 PRN SOLE 11750 0 0 WISDOMTREE INC NOTE 5.750% 8/1 97717PAF1 24250341 20573 PRN SOLE 20573 0 0 WOLFSPEED INC NOTE 1.750% 5/0 225447AD3 25402661 26400 PRN SOLE 26400 0 0 WOLFSPEED INC NOTE 0.250% 2/1 977852AB8 293962 500 PRN SOLE 500 0 0 WOLFSPEED INC NOTE 1.875%12/0 977852AD4 11381560 20000 PRN SOLE 20000 0 0 XBP EUROPE HOLDINGS INC *W EXP 11/30/202 98400V119 15057 377370 SH SOLE 377370 0 0 XOMETRY INC NOTE 1.000% 2/0 98423FAB5 33941643 44363 PRN SOLE 44363 0 0 ZEROFOX HLDGS INC *W EXP 08/03/202 98955G111 41111 457295 SH SOLE 457295 0 0 ZIFF DAVIS INC NOTE 1.750%11/0 48123VAE2 1326185 1400 PRN SOLE 1400 0 0 ZOOMCAR HLDGS INC *W EXP 05/31/202 45784G119 7826 274598 SH SOLE 274598 0 0 LUCID GROUP NOTE 1.25%12/15 549498AA1 17153629 33410 PRN SOLE 33410 0 0 PORCH GROUP INC NOTE 0.75% 9/15 733245AA2 1503335 2595 PRN SOLE 2595 0 0 PORCH GROUP INC NOTE 6.75% 10/1 733245AC8 38590022 56527 PRN SOLE 56527 0 0 SEMTECH CORP NOTE 4% 11/1/28 816850AG6 16490199 10750 PRN SOLE 10750 0 0 SOFI TECHNOLOGIES NOTE 0%10/15/26 83406FAA0 26626437 30900 PRN SOLE 30900 0 0 SOFI TECHNOLOGIES NOTE 1.25% 3/15 83406FAC6 27208953 27000 PRN SOLE 27000 0 0 STEM INC NOTE 0.5% 12/1 85859NAA0 9697219 19155 PRN SOLE 19155 0 0 STEM INC NOTE 4.25% 4/1 85859NAC6 8101563 15250 PRN SOLE 15250 0 0 BEAUTY HEALTH CO NOTE 1.25% 10/1 88331LAA6 85493021 102645 PRN SOLE 102645 0 0 VIRGIN GALACTIC HOLDINGS INC NOTE 2.5%2/1/27 92766KAA4 12533114 34490 PRN SOLE 34490 0 0