0001301396-23-000004.txt : 20230810 0001301396-23-000004.hdr.sgml : 20230810 20230810165116 ACCESSION NUMBER: 0001301396-23-000004 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230630 FILED AS OF DATE: 20230810 DATE AS OF CHANGE: 20230810 EFFECTIVENESS DATE: 20230810 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Context Capital Management, LLC CENTRAL INDEX KEY: 0001301396 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: 231160374 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 06-30-2023 06-30-2023 Context Capital Management, LLC

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

13F HOLDINGS REPORT 028-10965 N Grace Brescia 8455161946 Grace Brescia La Jolla CA 08-10-2023 0 315 1106310 false INFORMATION TABLE 2 edgar13f20230630a.xml 10X CAPITAL VENTURE ACQ III *W EXP 06/30/202 G87077114 8 216358 SH SOLE 216358 0 0 2U INC NOTE 2.250% 5/0 90214JAB7 9471 14372 PRN SOLE 14372 0 0 2U INC DEBT 4.500% 2/0 90214JAC5 1648 2500 PRN SOLE 2500 0 0 3D SYS CORP DEL NOTE 11/1 88554DAD8 21640 28450 PRN SOLE 28450 0 0 7GC & CO HOLDINGS INC *W EXP 12/28/202 81786A115 7 80979 SH SOLE 80979 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 3151 3300 PRN SOLE 3300 0 0 8X8 INC NEW NOTE 4.000% 2/0 282914AE0 3040 3500 PRN SOLE 3500 0 0 A SPAC II ACQUISITION CORP *W EXP 10/15/202 G0543H117 11 700000 SH SOLE 700000 0 0 A SPAC II ACQUISITION CORP RIGHT 10/15/2026 G0543H133 133 1400000 SH SOLE 1400000 0 0 ACCOLADE INC NOTE 0.500% 4/0 00437EAB8 23509 28150 PRN SOLE 28150 0 0 ACCRETION ACQUISITION CORP RIGHT 03/01/2028 00438Y123 38 352268 SH SOLE 352268 0 0 ACRI CAPITAL ACQUISITION COR *W EXP 02/01/202 00501A119 5 100000 SH SOLE 100000 0 0 ADIT EDTECH ACQUISITION CORP *W EXP 99/99/999 007024110 16 202416 SH SOLE 202416 0 0 AETHERIUM ACQUISITION CORP *W EXP 12/21/202 00809J119 7 331054 SH SOLE 331054 0 0 AFFIRM HLDGS INC NOTE 11/1 00827BAB2 19135 25750 PRN SOLE 25750 0 0 AGILETHOUGHT INC *W EXP 08/23/202 00857F118 3 47638 SH SOLE 47638 0 0 AIMFINITY INVESTMENT CORP I *W EXP 04/21/202 G0135E126 9 200000 SH SOLE 200000 0 0 AIMFINITY INVESTMENT CORP I UNIT 04/21/2027 G0135E142 2110 200000 SH SOLE 200000 0 0 ALCHEMY INVTS ACQUISITN CORP UNIT 11/30/2027 G0232F117 1025 100000 SH SOLE 100000 0 0 ALPHA STAR ACQUISITION CORP *W EXP 12/13/202 G0230C116 4 360000 SH SOLE 360000 0 0 ALSET CAPITAL ACQUISITION CO *W EXP 01/31/202 02115M117 2 50000 SH SOLE 50000 0 0 ALSET CAPITAL ACQUISITION CO RIGHT 01/31/2027 02115M125 32 100000 SH SOLE 100000 0 0 AMYRIS INC NOTE 1.500%11/1 03236MAJ0 8746 46030 PRN SOLE 46030 0 0 ANDRETTI ACQUISITION CORP *W EXP 99/99/999 G26735129 29 383900 SH SOLE 383900 0 0 APOLLOMICS INC *W EXP 04/01/202 G0411D115 25 298500 SH SOLE 298500 0 0 APPLIED OPTOELECTRONICS INC NOTE 5.000% 3/1 03823UAB8 9085 12025 PRN SOLE 12025 0 0 APPRECIATE HOLDINGS INC *W EXP 11/29/202 03832J114 4 135266 SH SOLE 135266 0 0 APX ACQUISITION CORP I *W EXP 11/30/202 G0440J125 3 50000 SH SOLE 50000 0 0 ARRAY TECHNOLOGIES INC NOTE 1.000%12/0 04271TAB6 7452 6500 PRN SOLE 6500 0 0 ARTIVION INC NOTE 4.250% 7/0 228903AB6 21944 20900 PRN SOLE 20900 0 0 ASCENDIS PHARMA A/S NOTE 2.250% 4/0 04351PAD3 9193 10075 PRN SOLE 10075 0 0 ATHENA TECHNOLOGY ACQ CORP I *W EXP 10/17/202 04687C113 39 775000 SH SOLE 775000 0 0 AURA FAT PROJS ACQUISITION C *W EXP 03/31/202 G06362126 20 500000 SH SOLE 500000 0 0 AURORA INNOVATION INC *W EXP 11/03/202 051774115 6 11228 SH SOLE 11228 0 0 AXIOS SUSTAINABLE GRW ACQ CO *W EXP 99/99/999 G0703K116 5 475101 SH SOLE 475101 0 0 AXIOS SUSTAINABLE GRW ACQ CO RIGHT 99/99/9999 G0703K124 5 475101 SH SOLE 475101 0 0 AXONPRIME INFRSTCTR AQSTN CO CLASS A COM 05467C108 2009 195428 SH SOLE 195428 0 0 BANDWIDTH INC NOTE 0.250% 3/0 05988JAB9 8534 10783 PRN SOLE 10783 0 0 BANNIX ACQUISITION CORP *W EXP 07/31/202 066644113 13 320484 SH SOLE 320484 0 0 BANNIX ACQUISITION CORP RIGHT 07/31/2026 066644121 33 210385 SH SOLE 210385 0 0 BELONG ACQUISITION CORP CLASS A COM 08069M102 3579 350000 SH SOLE 350000 0 0 BENEFICIENT *W EXP 06/07/202 08178Q119 10 210024 SH SOLE 210024 0 0 BENSON HILL INC *W EXP 09/29/202 082490111 61 306928 SH SOLE 306928 0 0 BENTLEY SYS INC NOTE 0.125% 1/1 08265TAB5 3101 3000 PRN SOLE 3000 0 0 BENTLEY SYS INC NOTE 0.375% 7/0 08265TAD1 1362 1500 PRN SOLE 1500 0 0 BEYOND MEAT INC NOTE 3/1 08862EAB5 8668 32607 PRN SOLE 32607 0 0 BIGBEAR AI HLDGS INC *W EXP 12/08/202 08975B117 44 198009 SH SOLE 198009 0 0 BIGCOMMERCE HLDGS INC NOTE 0.250%10/0 08975PAB4 3649 4640 PRN SOLE 4640 0 0 BILANDER ACQUISITION CORP CL A COM 09001T106 1524 150000 SH SOLE 150000 0 0 BIOPLUS ACQUISITION CORP *W EXP 12/02/202 G11217125 15 105069 SH SOLE 105069 0 0 BIORA THERAPEUTICS INC NOTE 7.250%12/0 74319FAB3 1199 2200 PRN SOLE 2200 0 0 BITE ACQUISITION CORP *W EXP 02/12/203 09175K113 8 100000 SH SOLE 100000 0 0 BLACK MOUNTAIN ACQ CORP *W EXP 10/15/202 09216A116 49 928400 SH SOLE 928400 0 0 BLACKLINE INC NOTE 3/1 09239BAD1 6350 7460 PRN SOLE 7460 0 0 BLOCK INC NOTE 5/0 852234AJ2 3075 3700 PRN SOLE 3700 0 0 BLOCK INC NOTE 0.250%11/0 852234AK9 11046 14310 PRN SOLE 14310 0 0 BLOOM ENERGY CORP NOTE 2.500% 8/1 093712AH0 3983 3250 PRN SOLE 3250 0 0 BLUE OCEAN ACQUISITION CORP *W EXP 12/02/202 G1330L121 9 198750 SH SOLE 198750 0 0 BRIDGEBIO PHARMA INC NOTE 2.500% 3/1 10806XAB8 6920 8785 PRN SOLE 8785 0 0 BRIDGEBIO PHARMA INC NOTE 2.250% 2/0 10806XAD4 20846 33683 PRN SOLE 33683 0 0 BRIDGER AEROSPACE GRP HLDGS *W EXP 01/24/202 96812F110 25 121167 SH SOLE 121167 0 0 BURTECH ACQUISITION CORP *W EXP 12/18/202 123013112 21 1050000 SH SOLE 1050000 0 0 C5 ACQUISITION CORPORATION *W EXP 12/31/202 12530D113 17 351870 SH SOLE 351870 0 0 CACTUS ACQUISITION CORP 1 LT *W EXP 08/17/202 G1745A124 9 215352 SH SOLE 215352 0 0 CANNA GLOBAL ACQUISITION COR *W EXP 11/30/202 13767K119 12 499500 SH SOLE 499500 0 0 CANO HEALTH INC *W EXP 06/03/202 13781Y111 17 80948 SH SOLE 80948 0 0 CAPITALWORKS EMNG MKTS ACQST *W EXP 11/19/202 G1889L126 10 137500 SH SOLE 137500 0 0 CARDIO DIAGNOSTICS HOLDGS IN *W EXP 12/01/202 14159C111 15 81500 SH SOLE 81500 0 0 CARTESIAN GROWTH CORP II CLASS A ORD G19305112 1067 100000 SH SOLE 100000 0 0 CARTESIAN GROWTH CORP II *W EXP 07/12/202 G19305120 10 66666 SH SOLE 66666 0 0 CARTICA ACQUISITION CORP *W EXP 04/30/202 G1995D117 5 100000 SH SOLE 100000 0 0 CELULARITY INC *W EXP 07/16/202 151190113 9 150000 SH SOLE 150000 0 0 CENTURY ALUM CO NOTE 2.750% 5/0 156431AQ1 3719 4794 PRN SOLE 4794 0 0 CF ACQUISITION CORP IV COM CL A 12520T102 3990 379614 SH SOLE 379614 0 0 CF ACQUISITION CORP IV *W EXP 12/31/202 12520T110 6 95285 SH SOLE 95285 0 0 CF ACQUISITION CORP VII CLASS A COM 12521H107 3703 350000 SH SOLE 350000 0 0 CF ACQUISITION CORP VIII *W EXP 03/31/202 12520C117 19 377370 SH SOLE 377370 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 1594 1488 PRN SOLE 1488 0 0 CHEGG INC NOTE 0.125% 3/1 163092AD1 1329 1500 PRN SOLE 1500 0 0 CHENGHE ACQUISITION CO *W EXP 04/22/202 G2086M123 1 25000 SH SOLE 25000 0 0 CLEAN EARTH ACQUISITIONS COR *W EXP 99/99/999 184493112 2 50000 SH SOLE 50000 0 0 CLEAN EARTH ACQUISITIONS COR RIGHT 01/01/2027 184493120 13 99800 SH SOLE 99800 0 0 CLIMATEROCK *W EXP 04/25/202 G2311X118 3 100000 SH SOLE 100000 0 0 CLIMATEROCK RIGHT 10/31/2028 G2311X134 24 200000 SH SOLE 200000 0 0 COHERUS BIOSCIENCES INC NOTE 1.500% 4/1 19249HAB9 3735 6000 PRN SOLE 6000 0 0 COINBASE GLOBAL INC NOTE 0.500% 6/0 19260QAB3 11725 15500 PRN SOLE 15500 0 0 CONCORD ACQUISITION CORP III *W EXP 99/99/999 20607V114 5 229780 SH SOLE 229780 0 0 CONFLUENT INC NOTE 1/1 20717MAB9 2010 2406 PRN SOLE 2406 0 0 CONMED CORP NOTE 2.250% 6/1 207410AH4 9071 8092 PRN SOLE 8092 0 0 CORNER GROWTH ACQUISITION CO *W EXP 99/99/999 G2425N113 12 95500 SH SOLE 95500 0 0 CORNER GROWTH ACQUISITN CORP *W EXP 04/09/202 G2426E120 8 83333 SH SOLE 83333 0 0 CRESCERA CAP ACQUISITION COR *W EXP 11/18/202 G26507114 10 199800 SH SOLE 199800 0 0 CUSTOM TRUCK ONE SOURCE INC *W EXP 01/01/202 23204X111 59 236449 SH SOLE 236449 0 0 CUTERA INC NOTE 2.250% 6/0 232109AD0 6965 11120 PRN SOLE 11120 0 0 DENALI CAPITAL ACQUISITN COR CLASS A ORD G6256B106 3267 305000 SH SOLE 305000 0 0 DENALI CAPITAL ACQUISITN COR *W EXP 03/28/202 G6256B114 38 605000 SH SOLE 605000 0 0 DEXCOM INC NOTE 0.250%11/1 252131AK3 6435 6000 PRN SOLE 6000 0 0 DIGITALOCEAN HLDGS INC NOTE 12/0 25402DAB8 943 1200 PRN SOLE 1200 0 0 DISH NETWORK CORPORATION NOTE 3.375% 8/1 25470MAB5 1025 2000 PRN SOLE 2000 0 0 DISH NETWORK CORPORATION NOTE 2.375% 3/1 25470MAD1 3048 3425 PRN SOLE 3425 0 0 DISH NETWORK CORPORATION NOTE 12/1 25470MAF6 5605 10500 PRN SOLE 10500 0 0 DP CAP ACQUISITION CORP I *W EXP 11/08/202 G2R05B126 1 14168 SH SOLE 14168 0 0 DRAFTKINGS INC NEW NOTE 3/1 26142RAB0 27744 36698 PRN SOLE 36698 0 0 DRAGONFLY ENERGY HOLDINGS CO *W EXP 10/07/202 26145B114 8 50700 SH SOLE 50700 0 0 DRILLING TOOLS INTL CORP COM 26205E107 77 17743 SH SOLE 17743 0 0 ECARX HOLDINGS INC *W EXP 12/20/202 G29201111 9 117430 SH SOLE 117430 0 0 EDIFY ACQUISITION CORP *W EXP 11/25/202 28059Q111 4 99500 SH SOLE 99500 0 0 EF HUTTON ACQUISITION CORP I *W EXP 11/18/202 28201D117 22 540000 SH SOLE 540000 0 0 EF HUTTON ACQUISITION CORP I RIGHT 11/18/2027 28201D125 69 540000 SH SOLE 540000 0 0 EMBRACE CHANGE ACQUISITN COR ORDINARY SHARES G3034H109 3136 296377 SH SOLE 296377 0 0 EMBRACE CHANGE ACQUISITN COR *W EXP 10/25/202 G3034H125 6 300000 SH SOLE 300000 0 0 EMBRACE CHANGE ACQUISITN COR RIGHT 10/25/2026 G3034H141 48 300000 SH SOLE 300000 0 0 ESPERION THERAPEUTICS INC NE NOTE 4.000%11/1 29664WAB1 10609 21351 PRN SOLE 21351 0 0 EVE MOBILITY ACQUISITION COR *W EXP 12/31/202 G3218G117 1 34998 SH SOLE 34998 0 0 EVENTBRITE INC NOTE 5.000%12/0 29975EAB5 3998 3650 PRN SOLE 3650 0 0 EVENTBRITE INC NOTE 0.750% 9/1 29975EAD1 4363 5289 PRN SOLE 5289 0 0 EVEREST CONSOLIDATOR ACQ COR *W EXP 99/99/999 29978K110 6 52315 SH SOLE 52315 0 0 EXACT SCIENCES CORP DEBT 2.000% 3/0 30063PAD7 5542 4000 PRN SOLE 4000 0 0 FARADAY FUTRE INTLGT ELCTR I *W EXP 07/21/202 307359117 1 17799 SH SOLE 17799 0 0 FARFETCH LTD NOTE 3.750% 5/0 30744WAD9 2041 2500 PRN SOLE 2500 0 0 FASTLY INC NOTE 3/1 31188VAB6 1659 2000 PRN SOLE 2000 0 0 FAZE HOLDINGS INC *W EXP 03/01/202 31423J110 1 29052 SH SOLE 29052 0 0 FEUTUNE LIGHT ACQUISITION CO *W EXP 06/01/202 31561T110 2 82458 SH SOLE 82458 0 0 FEUTUNE LIGHT ACQUISITION CO RIGHT 06/01/2029 31561T128 9 82458 SH SOLE 82458 0 0 FG MERGER CORP COMMON STOCK 30324Y101 3440 325000 SH SOLE 325000 0 0 FG MERGER CORP *W EXP 06/17/202 30324Y119 13 243750 SH SOLE 243750 0 0 FINANCIAL STRATEGIES ACQUISI *W EXP 03/31/202 31772T115 2 195100 SH SOLE 195100 0 0 FINANCIAL STRATEGIES ACQUISI RIGHT 07/01/2023 31772T123 12 249000 SH SOLE 249000 0 0 FINNOVATE ACQUISITION CORP *W EXP 09/30/202 G3R34K111 9 262500 SH SOLE 262500 0 0 FINTECH ECOSYSTEM DEVE *W EXP 04/01/202 318136116 2 77300 SH SOLE 77300 0 0 FIVE9 INC NOTE 0.500% 6/0 338307AD3 28316 29297 PRN SOLE 29297 0 0 FIVERR INTL LTD NOTE 11/0 33835LAA3 18626 21993 PRN SOLE 21993 0 0 FOCUS IMPACT ACQUISITION COR *W EXP 10/28/202 34417L117 8 100050 SH SOLE 100050 0 0 FORTUNE RISE ACQUISITION COR *W EXP 12/06/202 34969G110 6 110574 SH SOLE 110574 0 0 FORUM ENERGY TECHNOLOGIES IN NOTE 9.000% 8/0 34984VAC4 599 598 PRN SOLE 598 0 0 FORUM MERGER IV CORP *W EXP 03/15/202 349875112 0 54354 SH SOLE 54354 0 0 FTAC EMERALD ACQUISITION COR *W EXP 10/19/202 29103K118 15 250000 SH SOLE 250000 0 0 FTAC ZEUS ACQUISITION COR CLASS A COM 30320F106 3128 300000 SH SOLE 300000 0 0 FTAC ZEUS ACQUISITION COR *W EXP 04/15/202 30320F114 8 440000 SH SOLE 440000 0 0 FUTURE HEALTH ESG CORP *W EXP 99/99/999 36118W110 0 7080 SH SOLE 7080 0 0 FUTURETECH II ACQUISITION CO CLASS A COM 36119D103 1604 150000 SH SOLE 150000 0 0 FUTURETECH II ACQUISITION CO *W EXP 08/18/202 36119D111 13 150000 SH SOLE 150000 0 0 GCM GROSVENOR INC *W EXP 11/17/202 36831E116 91 314074 SH SOLE 314074 0 0 GLOBAL BLOCKCHAIN ACQUI CORP COMMON STOCK 37961B104 4180 400000 SH SOLE 400000 0 0 GLOBAL BLOCKCHAIN ACQUI CORP RIGHT 05/09/2027 37961B112 44 400000 SH SOLE 400000 0 0 GLOBAL BLOCKCHAIN ACQUI CORP *W EXP 05/09/202 37961B120 4 400000 SH SOLE 400000 0 0 GLOBAL TECHNOLGY ACQSTN CORP *W EXP 10/19/202 G3934N115 10 173700 SH SOLE 173700 0 0 GLORY STAR NEW MED GP HLDG L *W EXP 02/13/202 G39973113 1 84411 SH SOLE 84411 0 0 GOAL ACQUISITIONS CORP *W EXP 02/11/202 38021H115 10 425128 SH SOLE 425128 0 0 GOGREEN INVESTMENTS CORP *W EXP 05/31/202 G9461B119 98 100200 SH SOLE 100200 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 6882 22350 PRN SOLE 22350 0 0 GROUPON INC NOTE 1.125% 3/1 399473AF4 10545 27750 PRN SOLE 27750 0 0 GSR II METEORA ACQUISITN COR RIGHT 02/24/2027 36263W113 137 43493 SH SOLE 43493 0 0 GSR II METEORA ACQUISITN COR *W EXP 02/24/202 36263W121 182 1348690 SH SOLE 1348690 0 0 GUARDANT HEALTH INC NOTE 11/1 40131MAB5 4320 6000 PRN SOLE 6000 0 0 HAEMONETICS CORP MASS NOTE 3/0 405024AB6 15028 17558 PRN SOLE 17558 0 0 HCM ACQUISITION CO *W EXP 01/20/202 G4365A127 4 175000 SH SOLE 175000 0 0 HEALTH CATALYST INC NOTE 2.500% 4/1 42225TAB3 18970 19626 PRN SOLE 19626 0 0 HEALTHCARE AI ACQUISITION CO *W EXP 99/99/999 G4373K117 9 99949 SH SOLE 99949 0 0 HEALTHWELL ACQUISITION CORP *W EXP 08/05/202 42227R117 72 500000 SH SOLE 500000 0 0 HEARTLAND MEDIA ACQUISITION *W EXP 99/99/999 42237V116 4 274391 SH SOLE 274391 0 0 HHG CAPITAL CORPORATION *W EXP 02/25/202 G4R23P129 2 123800 SH SOLE 123800 0 0 HHG CAPITAL CORPORATION RIGHT 02/25/2026 G4R23P145 14 112030 SH SOLE 112030 0 0 HNR ACQUISITION CORP *W EXP 02/04/202 40472A128 33 349249 SH SOLE 349249 0 0 HYCROFT MINING HOLDING CORP *W EXP 05/29/202 44862P117 0 22500 SH SOLE 22500 0 0 ICONIC SPORTS ACQUISITION CO *W EXP 10/12/202 G4712C115 20 247430 SH SOLE 247430 0 0 INCEPTION GROWTH ACQUSTN LTD *W EXP 10/15/202 45333D112 5 125000 SH SOLE 125000 0 0 INCEPTION GROWTH ACQUSTN LTD RIGHT 12/08/2026 45333D120 43 250000 SH SOLE 250000 0 0 INFINERA CORP NOTE 2.500% 3/0 45667GAE3 5112 5500 PRN SOLE 5500 0 0 INFINITE ACQUISITION CORP *W EXP 11/23/202 G48028123 6 45711 SH SOLE 45711 0 0 INFINT ACQUISITION CORP *W EXP 99/99/999 G47862126 10 188200 SH SOLE 188200 0 0 INNOVATIVE INTL ACQUSITIN CO *W EXP 07/01/202 G4809M125 17 274598 SH SOLE 274598 0 0 INNOVIVA INC NOTE 2.125% 3/1 45781MAD3 7003 8500 PRN SOLE 8500 0 0 INTEGRATED RAIL AND RES ACQ CL A COM 45827R106 14234 1323438 SH SOLE 1323438 0 0 INTEGRATED RAIL AND RES ACQ *W EXP 99/99/999 45827R114 165 444680 SH SOLE 444680 0 0 INTERCEPT PHARMACEUTICALS IN NOTE 2.000% 5/1 45845PAB4 16269 20230 PRN SOLE 20230 0 0 INTL GNRL INSURANCE HLDNGS L *W EXP 03/17/202 G4809J114 79 129205 SH SOLE 129205 0 0 INVESTCORP INDIA ACQUISTN CO *W EXP 06/01/202 G49219127 13 212035 SH SOLE 212035 0 0 INVITAE CORP NOTE 2.000% 9/0 46185LAB9 7025 7875 PRN SOLE 7875 0 0 ITRON INC NOTE 3/1 465741AN6 1784 2000 PRN SOLE 2000 0 0 JAGUAR GLOBAL GROWTH CORP I *W EXP 11/23/202 G5S11A130 3 97550 SH SOLE 97550 0 0 JAWS MUSTANG ACQUISITION COR *W EXP 01/30/202 G50737124 2 46444 SH SOLE 46444 0 0 JUNIPER II CORP *W EXP 99/99/999 48203N111 3 100000 SH SOLE 100000 0 0 KAIROUS ACQUISITION CORP LTD *W EXP 09/15/202 G52131128 1 90000 SH SOLE 90000 0 0 KAIROUS ACQUISITION CORP LTD RIGHT 09/15/2026 G52131136 11 180000 SH SOLE 180000 0 0 KALEYRA INC *W EXP 11/25/202 483379111 105 751286 SH SOLE 751286 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 10297 10637 PRN SOLE 10637 0 0 KARYOPHARM THERAPEUTICS INC NOTE 3.000%10/1 48576UAA4 14296 21494 PRN SOLE 21494 0 0 KEYARCH ACQUISITION CORP *W EXP 01/24/202 G5260A112 3 95000 SH SOLE 95000 0 0 KEYARCH ACQUISITION CORP RIGHT 01/24/2027 G5260A120 29 200000 SH SOLE 200000 0 0 KNIGHTSWAN ACQUISITION CORP *W EXP 99/99/999 499103117 9 250000 SH SOLE 250000 0 0 LAMF GLOBAL VENTURES CORP I *W EXP 11/05/202 G5338L124 8 93675 SH SOLE 93675 0 0 LAVORO LTD *W EXP 02/27/202 G5391L110 177 235863 SH SOLE 235863 0 0 LCI INDS NOTE 1.125% 5/1 501812AB7 3870 4000 PRN SOLE 4000 0 0 LEARN CW INVESTMENT COR CL A ORD SHS G54157105 1838 174605 SH SOLE 174605 0 0 LEARN CW INVESTMENT COR *W EXP 10/08/202 G54157113 3 87302 SH SOLE 87302 0 0 LF CAPITAL ACQUISITION CORP *W EXP 02/19/202 50202D110 8 150000 SH SOLE 150000 0 0 LIV CAPITAL ACQUISITN CORP I *W EXP 02/07/202 G5510R113 2 75000 SH SOLE 75000 0 0 LIVEPERSON INC NOTE 0.750% 3/0 538146AB7 220 231 PRN SOLE 231 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 3900 6000 PRN SOLE 6000 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 4437 5000 PRN SOLE 5000 0 0 MANNKIND CORP NOTE 2.500% 3/0 56400PAQ5 22503 21360 PRN SOLE 21360 0 0 MARATHON DIGITAL HOLDINGS IN NOTE 1.000%12/0 565788AB2 9639 17685 PRN SOLE 17685 0 0 MEDTECH ACQUISITION CORP *W EXP 12/22/202 58507N113 3 70426 SH SOLE 70426 0 0 MESA LABS INC NOTE 1.375% 8/1 59064RAA7 10365 11550 PRN SOLE 11550 0 0 MICROCLOUD HOLOGRAM INC *W EXP 01/31/202 G55032125 13 108098 SH SOLE 108098 0 0 MICROSTRATEGY INC NOTE 0.750%12/1 594972AC5 27282 25000 PRN SOLE 25000 0 0 MICROSTRATEGY INC NOTE 2/1 594972AE1 28041 42566 PRN SOLE 42566 0 0 MOBIV ACQUISITION CORP *W EXP 07/31/202 60742N114 20 454100 SH SOLE 454100 0 0 MONTEREY CAP ACQUISITION COR CLASS A COM 61244M109 440 42000 SH SOLE 42000 0 0 MONTEREY CAP ACQUISITION COR *W EXP 01/01/202 61244M117 20 792000 SH SOLE 792000 0 0 MONTEREY CAP ACQUISITION COR RIGHT 05/10/2027 61244M125 87 792000 SH SOLE 792000 0 0 MORINGA ACQUISITION CORP *W EXP 02/22/202 G6S23K124 5 62238 SH SOLE 62238 0 0 MOUNTAIN & CO I ACQUISITN CO *W EXP 09/30/202 G6301J112 10 153100 SH SOLE 153100 0 0 MURPHY CANYON ACQUISITION CO *W EXP 01/25/202 626642110 6 128500 SH SOLE 128500 0 0 NATIONAL VISION HLDGS INC NOTE 2.500% 5/1 63845RAB3 5764 5500 PRN SOLE 5500 0 0 NEOGENOMICS INC NOTE 1.250% 5/0 64049MAA8 3288 3500 PRN SOLE 3500 0 0 NEVRO CORP NOTE 2.750% 4/0 64157FAC7 9889 10702 PRN SOLE 10702 0 0 NEWCOURT ACQUISITION CORP *W EXP 01/22/202 G6448C129 3 234200 SH SOLE 234200 0 0 NIO INC NOTE 2/0 62914VAE6 2205 2305 PRN SOLE 2305 0 0 NIO INC NOTE 0.500% 2/0 62914VAF3 20257 24260 PRN SOLE 24260 0 0 NOGIN INC *W EXP 08/26/202 65528N113 2 157100 SH SOLE 157100 0 0 NORTHERN REVIVAL ACQUISITION *W EXP 01/31/202 G6546R119 1 18166 SH SOLE 18166 0 0 NORTHVIEW ACQUISITION CORP *W EXP 08/02/202 66718N111 6 222500 SH SOLE 222500 0 0 NOVA VISION ACQUISITION CORP *W EXP 12/31/202 G6759A118 1 87700 SH SOLE 87700 0 0 NOVA VISION ACQUISITION CORP RIGHT 12/23/2023 G6759A134 15 87700 SH SOLE 87700 0 0 NOVOCURE LTD NOTE 11/0 67011XAB9 3906 4489 PRN SOLE 4489 0 0 NUBIA BRAND INTERNATIONAL CO *W EXP 11/16/202 67022R111 2 20416 SH SOLE 20416 0 0 OCA ACQUISITION CORP *W EXP 01/14/202 670865112 2 49985 SH SOLE 49985 0 0 OCEAN BIOMEDICAL INC *W EXP 02/14/202 67644C112 24 111755 SH SOLE 111755 0 0 OCEANTECH ACQUISITIONS I COR *W EXP 99/99/999 675507115 16 411595 SH SOLE 411595 0 0 OMEROS CORP NOTE 6.250%11/1 682143AE2 26949 26795 PRN SOLE 26795 0 0 OMEROS CORP NOTE 5.250% 2/1 682143AG7 7076 10000 PRN SOLE 10000 0 0 OMNIAB INC *W EXP 11/01/202 68218J111 53 68321 SH SOLE 68321 0 0 OMNILIT ACQUISITION CORP CLASS A COM 68218C108 524 50000 SH SOLE 50000 0 0 OMNILIT ACQUISITION CORP *W EXP 11/08/202 68218C116 12 221235 SH SOLE 221235 0 0 OPKO HEALTH INC NOTE 4.500% 2/1 68375NAD5 12103 11750 PRN SOLE 11750 0 0 OXBRIDGE ACQUISITION CORP *W EXP 08/04/202 G6855L117 4 93670 SH SOLE 93670 0 0 OXUS ACQUISITION CORP *W EXP 99/99/999 G6859L121 6 107878 SH SOLE 107878 0 0 PAPAYA GRWT OPPORTUNITY CORP *W EXP 12/31/202 69882P110 14 250000 SH SOLE 250000 0 0 PAR TECHNOLOGY CORP NOTE 2.875% 4/1 698884AC7 2674 2500 PRN SOLE 2500 0 0 PAR TECHNOLOGY CORP NOTE 1.500%10/1 698884AE3 10550 13262 PRN SOLE 13262 0 0 PATRIA LATIN AMRCN OPPRNTY A *W EXP 02/23/202 G69454117 5 100000 SH SOLE 100000 0 0 PEGASYSTEMS INC NOTE 0.750% 3/0 705573AB9 22865 24840 PRN SOLE 24840 0 0 PELOTON INTERACTIVE INC NOTE 2/1 70614WAB6 46942 61547 PRN SOLE 61547 0 0 PENNYMAC CORP NOTE 5.500% 3/1 70932AAF0 8528 9555 PRN SOLE 9555 0 0 PERCEPTION CAPITAL CORP II *W EXP 10/25/202 G7007D110 12 118203 SH SOLE 118203 0 0 PERFICIENT INC NOTE 0.125%11/1 71375UAF8 7133 8645 PRN SOLE 8645 0 0 PHOENIX BIOTECH ACQUISITION *W EXP 09/01/202 71902K113 12 200000 SH SOLE 200000 0 0 PONO CAP TWO INC *W EXP 07/31/202 73245B115 25 425000 SH SOLE 425000 0 0 POWER & DIGITAL INFRASTRUCTU *W EXP 12/09/202 73919C118 3 49977 SH SOLE 49977 0 0 POWERUP ACQUISITION CORP *W EXP 05/23/202 G7207P129 9 175000 SH SOLE 175000 0 0 PROJECT ENERGY REIMAGINED AC CLASS A ORD G72556106 25 2400 SH SOLE 2400 0 0 PROOF ACQUISITION CORP I *W EXP 99/99/999 74349W112 2 24500 SH SOLE 24500 0 0 PROS HOLDINGS INC NOTE 2.250% 9/1 74346YAG8 6281 6250 PRN SOLE 6250 0 0 PROSPECTOR CAPITAL CORP *W EXP 01/11/202 G7273A113 15 127872 SH SOLE 127872 0 0 PYROPHYTE ACQUISITION CORP *W EXP 05/03/202 G7308P127 11 111700 SH SOLE 111700 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 7002 8058 PRN SOLE 8058 0 0 Q2 HLDGS INC NOTE 0.125%11/1 74736LAF6 7313 8402 PRN SOLE 8402 0 0 REDWOOD TRUST INC NOTE 7.750% 6/1 758075AF2 8790 10387 PRN SOLE 10387 0 0 RELATIVITY ACQUISITION CORP *W EXP 12/15/202 75944B114 6 637213 SH SOLE 637213 0 0 REVANCE THERAPEUTICS INC NOTE 1.750% 2/1 761330AB5 1059 1000 PRN SOLE 1000 0 0 RF ACQUISITION CORP *W EXP 05/01/202 74954L112 4 250000 SH SOLE 250000 0 0 RF ACQUISITION CORP RIGHT 05/01/2028 74954L120 28 325000 SH SOLE 325000 0 0 RIGEL RESOURCE ACQ CORP *W EXP 99/99/999 G7573M114 5 44429 SH SOLE 44429 0 0 ROSE HILL ACQUISITION CORP *W EXP 10/07/202 G7637J123 7 288478 SH SOLE 288478 0 0 SATELLOGIC INC *W EXP 01/25/202 G7823S119 47 285428 SH SOLE 285428 0 0 SEA LTD NOTE 0.250% 9/1 81141RAG5 20809 25770 PRN SOLE 25770 0 0 SEAPORT GLOBAL ACQUISITION I *W EXP 11/17/202 81221H113 2 24945 SH SOLE 24945 0 0 SEASTAR MEDICAL HOLDING CORP *W EXP 10/28/202 81256L112 5 124107 SH SOLE 124107 0 0 SEMPER PARATUS ACQUISITION C *W EXP 11/04/202 G8028L131 4 98250 SH SOLE 98250 0 0 SHAKE SHACK INC NOTE 3/0 819047AB7 413 504 PRN SOLE 504 0 0 SHAPEWAYS HOLDINGS INC *W EXP 09/29/202 81947T110 3 310138 SH SOLE 310138 0 0 SHARECARE INC *W EXP 07/01/202 81948W112 30 159334 SH SOLE 159334 0 0 SIZZLE ACQUISITION CORP *W EXP 11/02/202 83014E117 4 23750 SH SOLE 23750 0 0 SNAP INC NOTE 0.750% 8/0 83304AAB2 12041 13000 PRN SOLE 13000 0 0 SNAP INC NOTE 5/0 83304AAF3 17610 23638 PRN SOLE 23638 0 0 SOCIAL LEVERAGE ACQUISN CORP *W EXP 02/17/202 83363K110 6 33936 SH SOLE 33936 0 0 SOUTHLAND HLDGS INC *W EXP 09/01/202 84445C118 54 51732 SH SOLE 51732 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 3761 4335 PRN SOLE 4335 0 0 SPREE ACQUISITION CORP 1 LTD *W EXP 12/22/202 G83745128 3 100000 SH SOLE 100000 0 0 SPRINGBIG HOLDINGS INC *W EXP 06/14/202 85021Q116 2 62706 SH SOLE 62706 0 0 STARWOOD PPTY TR INC NOTE 6.750% 7/1 85571BBA2 12856 12542 PRN SOLE 12542 0 0 STONEBRIDGE ACQUISITION CORP *W EXP 03/31/202 G85094129 1 25000 SH SOLE 25000 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 2884 3000 PRN SOLE 3000 0 0 SUSTAINABLE DEVELP ACQU I CO *W EXP 02/04/202 86934L111 1 37500 SH SOLE 37500 0 0 TASTEMAKER ACQUISITION CORP *W EXP 01/07/202 876545112 1 65500 SH SOLE 65500 0 0 TELADOC HEALTH INC NOTE 1.250% 6/0 87918AAF2 13400 16750 PRN SOLE 16750 0 0 TERRAN ORBITAL CORPORATION *W EXP 03/25/202 88105P111 31 195399 SH SOLE 195399 0 0 TG VENTURE ACQUISITION CORP *W EXP 08/15/202 87251T117 9 399990 SH SOLE 399990 0 0 THE GROWTH FOR GOOD ACQU COR *W EXP 11/12/202 G41522114 20 250000 SH SOLE 250000 0 0 THE GROWTH FOR GOOD ACQU COR RIGHT 11/12/2026 G41522130 42 300000 SH SOLE 300000 0 0 TKB CRITICAL TECHNOLOGIES 1 *W EXP 10/20/202 G88935120 8 291346 SH SOLE 291346 0 0 TLGY ACQUISITION CORPORATION *W EXP 11/09/202 G8656T125 11 75000 SH SOLE 75000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.250% 3/0 89422GAA5 23461 29167 PRN SOLE 29167 0 0 TURNING PT BRANDS INC NOTE 2.500% 7/1 90041LAE5 2406 2500 PRN SOLE 2500 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 5310 5933 PRN SOLE 5933 0 0 UNITY SOFTWARE INC NOTE 11/1 91332UAB7 5425 6752 PRN SOLE 6752 0 0 UPHEALTH INC *W EXP 06/08/202 91532B119 0 10000 SH SOLE 10000 0 0 UPSTART HLDGS INC NOTE 0.250% 8/1 91680MAB3 1375 2000 PRN SOLE 2000 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 3260 4000 PRN SOLE 4000 0 0 UTA ACQUISITION CORPORATION *W EXP 10/30/202 G9473A117 6 84500 SH SOLE 84500 0 0 VAHANNA TECH EDGE ACQSTN I C CLASS A ORD G9320Z109 1855 174139 SH SOLE 174139 0 0 VALUENCE MERGER CORP I *W EXP 02/18/202 G9R16L118 6 75000 SH SOLE 75000 0 0 VAREX IMAGING CORP NOTE 4.000% 6/0 92214XAB2 2163 1689 PRN SOLE 1689 0 0 VERDE CLEAN FUELS INC *W EXP 02/15/202 923372114 37 132844 SH SOLE 132844 0 0 VERITONE INC NOTE 1.750%11/1 92347MAB6 10652 16750 PRN SOLE 16750 0 0 VIEW INC *W EXP 03/08/202 92671V114 1 63833 SH SOLE 63833 0 0 VISCOGLIOSI BROS ACQUISTN CO *W EXP 03/18/202 92838K118 6 173846 SH SOLE 173846 0 0 VISION SENSING ACQUISITION C *W EXP 10/21/202 92838J111 9 243675 SH SOLE 243675 0 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 35114 42430 PRN SOLE 42430 0 0 WAYFAIR INC NOTE 0.625%10/0 94419LAM3 35849 41875 PRN SOLE 41875 0 0 WOLFSPEED INC NOTE 0.250% 2/1 977852AB8 771 1000 PRN SOLE 1000 0 0 XOMETRY INC NOTE 1.000% 2/0 98423FAB5 10639 14063 PRN SOLE 14063 0 0 ZEROFOX HLDGS INC *W EXP 08/03/202 98955G111 13 457295 SH SOLE 457295 0 0