0001301396-24-000007.txt : 20240809 0001301396-24-000007.hdr.sgml : 20240809 20240809152155 ACCESSION NUMBER: 0001301396-24-000007 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240630 FILED AS OF DATE: 20240809 DATE AS OF CHANGE: 20240809 EFFECTIVENESS DATE: 20240809 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: 241192199 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 false false 0001301396 XXXXXXXX 06-30-2024 06-30-2024 Context Capital Management, LLC

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

13F HOLDINGS REPORT 028-10965 N Grace Brescia 845-516-1946 Grace Brescia La Jolla CA 08-09-2024 0 222 2780724620 false INFORMATION TABLE 2 edgar13f20240630e.xml 3D SYS CORP DEL NOTE 11/1 88554DAD8 65271426 80137 PRN SOLE 80137 0 0 8X8 INC NEW NOTE 4.000% 2/0 282914AE0 3440250 4500 PRN SOLE 4500 0 0 99 ACQUISITION GROUP INC *W EXP 08/25/202 65445K119 1238 37500 SH SOLE 37500 0 0 99 ACQUISITION GROUP INC RIGHT 08/25/2028 65445K127 9959 36886 SH SOLE 36886 0 0 ACCOLADE INC NOTE 0.500% 4/0 00437EAB8 24808451 27991 PRN SOLE 27991 0 0 ACRI CAPITAL ACQUISITION COR *W EXP 02/01/202 00501A119 5750 100000 SH SOLE 100000 0 0 AFFIRM HLDGS INC NOTE 11/1 00827BAB2 50487440 60464 PRN SOLE 60464 0 0 AKAMAI TECHNOLOGIES INC NOTE 0.375% 9/0 00971TAL5 1456814 1500 PRN SOLE 1500 0 0 ALARM COM HLDGS INC NOTE 1/1 011642AB1 1605632 1750 PRN SOLE 1750 0 0 ALNYLAM PHARMACEUTICALS INC NOTE 1.000% 9/1 02043QAB3 19980000 18500 PRN SOLE 18500 0 0 ALPHATEC HLDGS INC NOTE 0.750% 8/0 02081GAB8 46972974 48357 PRN SOLE 48357 0 0 ARBOR REALTY TRUST INC NOTE 7.500% 8/0 038923BA5 17405025 17340 PRN SOLE 17340 0 0 ARRAY TECHNOLOGIES INC NOTE 1.000%12/0 04271TAB6 22166081 27350 PRN SOLE 27350 0 0 ARTIVION INC NOTE 4.250% 7/0 228903AB6 24444563 19900 PRN SOLE 19900 0 0 ASSERTIO HOLDINGS INC NOTE 6.500% 9/0 04546CAB2 15600638 17500 PRN SOLE 17500 0 0 ATHENA TECHNOLOGY ACQ CORP I *W EXP 10/17/202 04687C113 27203 775000 SH SOLE 775000 0 0 AURORA INNOVATION INC *W EXP 11/03/202 051774115 2324 11228 SH SOLE 11228 0 0 BANDWIDTH INC NOTE 0.250% 3/0 05988JAB9 13008859 14580 PRN SOLE 14580 0 0 BANDWIDTH INC NOTE 0.500% 4/0 05988JAD5 9171026 12072 PRN SOLE 12072 0 0 BANNIX ACQUISITION CORP *W EXP 07/31/202 066644113 6410 320484 SH SOLE 320484 0 0 BANNIX ACQUISITION CORP RIGHT 07/31/2026 066644121 31347 210385 SH SOLE 210385 0 0 BANZAI INTERNATIONAL INC *W EXP 12/14/202 06682J118 1595 80979 SH SOLE 80979 0 0 BENEFICIENT *W EXP 06/07/202 08178Q119 1533 210024 SH SOLE 210024 0 0 BENTLEY SYS INC NOTE 0.375% 7/0 08265TAD1 4490000 5000 PRN SOLE 5000 0 0 BEYOND MEAT INC NOTE 3/1 08862EAB5 7805125 36730 PRN SOLE 36730 0 0 BIGCOMMERCE HLDGS INC NOTE 0.250%10/0 08975PAB4 4068129 4640 PRN SOLE 4640 0 0 BILL HOLDINGS INC NOTE 4/0 090043AD2 5981500 7000 PRN SOLE 7000 0 0 BITCOIN DEPOT INC *W EXP 06/30/202 09174P113 53312 1127098 SH SOLE 1127098 0 0 BITE ACQUISITION CORP *W EXP 02/12/203 09175K113 5500 100000 SH SOLE 100000 0 0 BLACKLINE INC NOTE 3/1 09239BAD1 10760796 11722 PRN SOLE 11722 0 0 BLOCK INC NOTE 0.125% 3/0 852234AF0 7738296 8000 PRN SOLE 8000 0 0 BLOCK INC NOTE 5/0 852234AJ2 10053078 11185 PRN SOLE 11185 0 0 BLOCK INC NOTE 0.250%11/0 852234AK9 7734283 9310 PRN SOLE 9310 0 0 BLOOM ENERGY CORP NOTE 3.000% 6/0 093712AK3 46275887 48500 PRN SOLE 48500 0 0 BOREALIS FOODS INC *W EXP 02/07/202 09973D113 5131 75340 SH SOLE 75340 0 0 BREAD FINANCIAL HOLDINGS INC NOTE 4.250% 6/1 018581AN8 3083904 2300 PRN SOLE 2300 0 0 BRIDGEBIO PHARMA INC NOTE 2.250% 2/0 10806XAD4 38519077 48339 PRN SOLE 48339 0 0 BRIDGER AEROSPACE GRP HLDGS *W EXP 01/24/202 96812F110 15752 121167 SH SOLE 121167 0 0 BURTECH ACQUISITION CORP *W EXP 12/18/202 123013112 47812 191171 SH SOLE 191171 0 0 CABLE ONE INC NOTE 3/1 12685JAE5 1320000 1500 PRN SOLE 1500 0 0 CABLE ONE INC NOTE 1.125% 3/1 12685JAG0 5230953 7000 PRN SOLE 7000 0 0 CANNA GLOBAL ACQUISITION COR *W EXP 99/99/999 13767K119 4995 499500 SH SOLE 499500 0 0 CARDIO DIAGNOSTICS HOLDGS IN *W EXP 12/01/202 14159C111 3170 81500 SH SOLE 81500 0 0 CARDLYTICS INC NOTE 1.000% 9/1 14161WAB1 14983540 16120 PRN SOLE 16120 0 0 CELULARITY INC *W EXP 07/16/202 151190113 2700 150000 SH SOLE 150000 0 0 CENTURY ALUM CO NOTE 2.750% 5/0 156431AQ1 19919292 18092 PRN SOLE 18092 0 0 CERO THERAPEUTICS HLDGS INC *W EXP 02/13/202 71902K113 2452 122013 SH SOLE 122013 0 0 CHEFS WHSE INC NOTE 1.875%12/0 163086AB7 9996429 9604 PRN SOLE 9604 0 0 CHEFS WHSE INC NOTE 2.375%12/1 163086AE1 11143610 10000 PRN SOLE 10000 0 0 COHERUS BIOSCIENCES INC NOTE 1.500% 4/1 19249HAB9 25586924 34812 PRN SOLE 34812 0 0 COINBASE GLOBAL INC NOTE 0.500% 6/0 19260QAB3 15862872 15371 PRN SOLE 15371 0 0 COLLEGIUM PHARMACEUTICAL INC NOTE 2.875% 2/1 19459JAC8 16169949 14607 PRN SOLE 14607 0 0 CONDUIT PHARMACEUTICALS INC *W EXP 09/22/202 20678X114 2313 128500 SH SOLE 128500 0 0 CONMED CORP NOTE 2.250% 6/1 207410AH4 3582052 4000 PRN SOLE 4000 0 0 CORE SCIENTIFIC INC NEW NOTE 10.000% 1/2 21874AAB2 29312466 18383 PRN SOLE 18383 0 0 CUTERA INC NOTE 2.250% 3/1 232109AB4 1525505 4500 PRN SOLE 4500 0 0 CUTERA INC NOTE 2.250% 6/0 232109AD0 6148118 30064 PRN SOLE 30064 0 0 CUTERA INC NOTE 4.000% 6/0 232109AG3 2296273 13235 PRN SOLE 13235 0 0 DAYFORCE INC NOTE 0.250% 3/1 15677JAD0 916000 1000 PRN SOLE 1000 0 0 DEXCOM INC NOTE 0.250%11/1 252131AK3 1254688 1250 PRN SOLE 1250 0 0 DIGITALOCEAN HLDGS INC NOTE 12/0 25402DAB8 4661250 5500 PRN SOLE 5500 0 0 DRAFTKINGS INC NEW NOTE 3/1 26142RAB0 4138328 4965 PRN SOLE 4965 0 0 DRAGONFLY ENERGY HOLDINGS CO *W EXP 10/07/202 26145B114 1516 50700 SH SOLE 50700 0 0 DUKE ENERGY CORP NEW NOTE 4.125% 4/1 26441CBY0 19540229 19500 PRN SOLE 19500 0 0 ECD AUTOMOTIVE DESIGN INC *W EXP 12/12/202 27877D112 13446 540000 SH SOLE 540000 0 0 ENCORE CAP GROUP INC NOTE 4.000% 3/1 292554AP7 3476250 3750 PRN SOLE 3750 0 0 ESPERION THERAPEUTICS INC NE NOTE 4.000%11/1 29664WAB1 47794560 51254 PRN SOLE 51254 0 0 ETSY INC NOTE 0.125%10/0 29786AAJ5 6451250 6500 PRN SOLE 6500 0 0 ETSY INC NOTE 0.125% 9/0 29786AAL0 14241308 17000 PRN SOLE 17000 0 0 EVENTBRITE INC NOTE 5.000%12/0 29975EAB5 5372640 5460 PRN SOLE 5460 0 0 EVENTBRITE INC NOTE 0.750% 9/1 29975EAD1 2801049 3258 PRN SOLE 3258 0 0 EVEREST CONSOLIDATOR ACQ COR *W EXP 99/99/999 29978K110 5143 25297 SH SOLE 25297 0 0 EXACT SCIENCES CORP NOTE 0.375% 3/1 30063PAB1 15265619 17515 PRN SOLE 17515 0 0 EXACT SCIENCES CORP NOTE 0.375% 3/0 30063PAC9 11494630 14000 PRN SOLE 14000 0 0 EZCORP INC NOTE 2.375% 5/0 302301AE6 2762552 2834 PRN SOLE 2834 0 0 FARO TECHNOLOGIES INC NOTE 5.500% 2/0 311642AB8 3872394 4500 PRN SOLE 4500 0 0 FINTECH ECOSYSTEM DEVE *W EXP 04/01/202 318136116 1546 77300 SH SOLE 77300 0 0 FIRST MAJESTIC SILVER CORP NOTE 0.375% 1/1 32076VAD5 11510700 13875 PRN SOLE 13875 0 0 FIRSTENERGY CORP NOTE 4.000% 5/0 337932AR8 4473000 4500 PRN SOLE 4500 0 0 FIVERR INTL LTD NOTE 11/0 33835LAA3 17209681 18593 PRN SOLE 18593 0 0 FOCUS IMPACT ACQUISITION COR *W EXP 99/99/999 34417L117 4182 100050 SH SOLE 100050 0 0 FORTUNE RISE ACQUISITION COR *W EXP 12/06/202 34969G110 2156 110574 SH SOLE 110574 0 0 FTAC EMERALD ACQUISITION COR *W EXP 10/19/202 29103K118 10715 238100 SH SOLE 238100 0 0 FUTURETECH II ACQUISITION CO *W EXP 08/18/202 36119D111 3750 150000 SH SOLE 150000 0 0 GCM GROSVENOR INC *W EXP 11/17/202 36831E116 153977 314174 SH SOLE 314174 0 0 GCT SEMICONDUCTOR HLDG INC *W EXP 03/01/202 36170N115 33324 222160 SH SOLE 222160 0 0 GLOBAL BLOCKCHAIN ACQUI CORP RIGHT 05/09/2027 37961B112 24000 400000 SH SOLE 400000 0 0 GLOBAL BLOCKCHAIN ACQUI CORP *W EXP 99/99/999 37961B120 7040 400000 SH SOLE 400000 0 0 GOSSAMER BIO INC NOTE 5.000% 6/0 38341PAA0 10711460 21850 PRN SOLE 21850 0 0 GREEN PLAINS INC NOTE 2.250% 3/1 393222AK0 11578684 13000 PRN SOLE 13000 0 0 GRIID INFRASTRUCTURE INC *W EXP 12/29/202 398501114 12975 202416 SH SOLE 202416 0 0 GROUPON INC NOTE 1.125% 3/1 399473AF4 42302967 49525 PRN SOLE 49525 0 0 GUARDANT HEALTH INC NOTE 11/1 40131MAB5 5805476 7483 PRN SOLE 7483 0 0 GUESS INC NOTE 3.750% 4/1 401617AF2 1108000 1000 PRN SOLE 1000 0 0 HEALTH CATALYST INC NOTE 2.500% 4/1 42225TAB3 19571296 20086 PRN SOLE 20086 0 0 HNR ACQUISITION CORP *W EXP 02/04/202 40472A128 20920 349249 SH SOLE 349249 0 0 HYCROFT MINING HOLDING CORP *W EXP 05/29/202 44862P117 349 22500 SH SOLE 22500 0 0 IB ACQUISITION CORP COM SHS 44934N108 1994000 200000 SH SOLE 200000 0 0 IB ACQUISITION CORP RIGHT 09/28/2025 44934N116 15120 200000 SH SOLE 200000 0 0 INCEPTION GROWTH ACQUSTN LTD *W EXP 10/15/202 45333D112 8098 124400 SH SOLE 124400 0 0 INCEPTION GROWTH ACQUSTN LTD RIGHT 12/08/2026 45333D120 18732 124880 SH SOLE 124880 0 0 INFINERA CORP NOTE 2.500% 3/0 45667GAE3 7679948 7500 PRN SOLE 7500 0 0 INFINERA CORP NOTE 3.750% 8/0 45667GAG8 19584000 18000 PRN SOLE 18000 0 0 INNOVIVA INC NOTE 2.125% 3/1 45781MAD3 12681028 14051 PRN SOLE 14051 0 0 INTEGER HLDGS CORP NOTE 2.125% 2/1 45826HAB5 8595000 6000 PRN SOLE 6000 0 0 IONIS PHARMACEUTICALS INC NOTE 1.750% 6/1 462222AF7 5529220 5000 PRN SOLE 5000 0 0 ISHARES BITCOIN TR SHS 46438F101 13758420 403000 SH SOLE 403000 0 0 JETAI INC *W EXP 08/10/202 47714H118 5854 93670 SH SOLE 93670 0 0 JOHN BEAN TECHNOLOGIES CORP NOTE 0.250% 5/1 477839AB0 3222100 3500 PRN SOLE 3500 0 0 LCI INDS NOTE 1.125% 5/1 501812AB7 3769000 4000 PRN SOLE 4000 0 0 LEDDARTECH HLDGS INC *W EXP 12/21/202 52328E113 3453 127872 SH SOLE 127872 0 0 LIVE NATION ENTERTAINMENT IN NOTE 3.125% 1/1 538034BA6 2769805 2500 PRN SOLE 2500 0 0 LUMENTUM HLDGS INC NOTE 0.500%12/1 55024UAD1 41114013 45400 PRN SOLE 45400 0 0 LUMENTUM HLDGS INC NOTE 0.500% 6/1 55024UAF6 5542705 7000 PRN SOLE 7000 0 0 LUMENTUM HLDGS INC NOTE 1.500%12/1 55024UAH2 3416994 3500 PRN SOLE 3500 0 0 MANNKIND CORP NOTE 2.500% 3/0 56400PAQ5 13343890 11060 PRN SOLE 11060 0 0 MARATHON DIGITAL HOLDINGS IN NOTE 1.000%12/0 565788AB2 39819452 46098 PRN SOLE 46098 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 1/1 57164YAD9 6944370 7500 PRN SOLE 7500 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 3.250%12/1 57164YAF4 4817475 5265 PRN SOLE 5265 0 0 MESA LABS INC NOTE 1.375% 8/1 59064RAA7 15157627 16047 PRN SOLE 16047 0 0 MICROSTRATEGY INC NOTE 2/1 594972AE1 54539153 45402 PRN SOLE 45402 0 0 MIDDLEBY CORP NOTE 1.000% 9/0 596278AB7 5870332 5500 PRN SOLE 5500 0 0 MIRUM PHARMACEUTICALS INC NOTE 4.000% 5/0 604749AB7 25957193 19308 PRN SOLE 19308 0 0 MITEK SYS INC NOTE 0.750% 2/0 606710AA9 28233077 29750 PRN SOLE 29750 0 0 MONTEREY CAP ACQUISITION COR *W EXP 01/01/202 61244M117 26136 792000 SH SOLE 792000 0 0 MONTEREY CAP ACQUISITION COR RIGHT 05/10/2027 61244M125 96862 538120 SH SOLE 538120 0 0 NEVRO CORP NOTE 2.750% 4/0 64157FAC7 12340006 12702 PRN SOLE 12702 0 0 NEW MTN FIN CORP NOTE 7.500%10/1 647551AE0 29937334 29586 PRN SOLE 29586 0 0 NEXTERA ENERGY INC UNIT 06/01/2027 65339F663 24745000 500000 PRN SOLE 500000 0 0 NIO INC NOTE 0.500% 2/0 62914VAF3 8350524 8767 PRN SOLE 8767 0 0 NORTHVIEW ACQUISITION CORP *W EXP 08/02/202 66718N111 12238 222500 SH SOLE 222500 0 0 NOVAVAX INC NOTE 5.000%12/1 670002AD6 20185497 16188 PRN SOLE 16188 0 0 OCA ACQUISITION CORP *W EXP 01/14/202 670865112 5748 49985 SH SOLE 49985 0 0 OMEROS CORP NOTE 5.250% 2/1 682143AG7 9801285 13884 PRN SOLE 13884 0 0 ORMAT TECHNOLOGIES INC NOTE 2.500% 7/1 686688AB8 1986000 2000 PRN SOLE 2000 0 0 PAPAYA GRWT OPPORTUNITY CORP *W EXP 12/31/202 69882P110 11875 250000 SH SOLE 250000 0 0 PAR TECHNOLOGY CORP NOTE 2.875% 4/1 698884AC7 3195000 2500 PRN SOLE 2500 0 0 PAR TECHNOLOGY CORP NOTE 1.500%10/1 698884AE3 18263232 19512 PRN SOLE 19512 0 0 PEGASYSTEMS INC NOTE 0.750% 3/0 705573AB9 21183414 21929 PRN SOLE 21929 0 0 PELOTON INTERACTIVE INC NOTE 2/1 70614WAB6 35504430 40118 PRN SOLE 40118 0 0 PENNYMAC CORP NOTE 5.500% 3/1 70932AAF0 4911557 5136 PRN SOLE 5136 0 0 PETIQ INC NOTE 4.000% 6/0 71639TAB2 10120428 9483 PRN SOLE 9483 0 0 PLUG PWR INC NOTE 3.750% 6/0 72919PAD5 16068702 17095 PRN SOLE 17095 0 0 PONO CAP TWO INC *W EXP 99/99/999 73245B115 30175 425000 SH SOLE 425000 0 0 PPL CAP FDG INC NOTE 2.875% 3/1 69352PAS2 17731016 18465 PRN SOLE 18465 0 0 PROS HOLDINGS INC NOTE 2.250% 9/1 74346YAG8 7083250 7250 PRN SOLE 7250 0 0 PSYENCE BIOMEDICAL LTD *W EXP 01/25/202 74449F118 2459 234200 SH SOLE 234200 0 0 PTC THERAPEUTICS INC NOTE 1.500% 9/1 69366JAD3 35798210 37591 PRN SOLE 37591 0 0 Q2 HLDGS INC NOTE 0.750% 6/0 74736LAD1 12529606 12558 PRN SOLE 12558 0 0 RAPID7 INC NOTE 0.250% 3/1 753422AF1 1797238 2000 PRN SOLE 2000 0 0 REDWOOD TRUST INC NOTE 7.750% 6/1 758075AF2 12975503 13351 PRN SOLE 13351 0 0 REVANCE THERAPEUTICS INC NOTE 1.750% 2/1 761330AB5 36514962 55242 PRN SOLE 55242 0 0 RF ACQUISITION CORP *W EXP 05/01/202 74954L112 7000 250000 SH SOLE 250000 0 0 RF ACQUISITION CORP RIGHT 05/01/2028 74954L120 32370 325000 SH SOLE 325000 0 0 RIVIAN AUTOMOTIVE INC NOTE 4.625% 3/1 76954AAB9 28207163 28975 PRN SOLE 28975 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 6688781 6860 PRN SOLE 6860 0 0 SEA LTD NOTE 0.250% 9/1 81141RAG5 28187845 32270 PRN SOLE 32270 0 0 SEMTECH CORP NOTE 1.625%11/0 816850AF8 30704003 29062 PRN SOLE 29062 0 0 SHAKE SHACK INC NOTE 3/0 819047AB7 14620350 16805 PRN SOLE 16805 0 0 SHAPEWAYS HOLDINGS INC *W EXP 09/29/202 81947T110 1179 310138 SH SOLE 310138 0 0 SHARECARE INC *W EXP 07/01/202 81948W112 12779 159334 SH SOLE 159334 0 0 SNAP INC NOTE 5/0 83304AAF3 5947353 7138 PRN SOLE 7138 0 0 SNAP INC NOTE 0.125% 3/0 83304AAH9 35234388 43988 PRN SOLE 43988 0 0 SOUTHLAND HLDGS INC *W EXP 02/14/202 84445C118 17765 51732 SH SOLE 51732 0 0 SPECTAIRE HLDGS INC *W EXP 10/17/202 84753T117 4197 118203 SH SOLE 118203 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 774256 1561 PRN SOLE 1561 0 0 SSR MINING IN NOTE 2.500% 4/0 784730AB9 33443272 36846 PRN SOLE 36846 0 0 STARWOOD PPTY TR INC NOTE 6.750% 7/1 85571BBA2 14393050 14042 PRN SOLE 14042 0 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 1953410 3988 PRN SOLE 3988 0 0 SUNNOVA ENERGY INTL INC. NOTE 2.625% 2/1 86745KAH7 253873 700 PRN SOLE 700 0 0 SYNTEC OPTICS HLDGS INC *W EXP 99/99/999 87169M113 8425 53527 SH SOLE 53527 0 0 TELADOC HEALTH INC NOTE 1.250% 6/0 87918AAF2 30015355 36111 PRN SOLE 36111 0 0 TERRAN ORBITAL CORPORATION *W EXP 03/25/202 88105P111 23448 195399 SH SOLE 195399 0 0 TEVOGEN BIO HLDGS INC *W EXP 02/14/202 88165K119 1896 97250 SH SOLE 97250 0 0 TILRAY BRANDS INC NOTE 5.200% 6/1 88688TAC4 11866019 12300 PRN SOLE 12300 0 0 TPI COMPOSITES INC NOTE 5.250% 3/1 87266JAB0 1962893 3750 PRN SOLE 3750 0 0 TRAVERE THERAPEUTICS INC NOTE 2.250% 3/0 89422GAA5 39558228 60742 PRN SOLE 60742 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 466560 486 PRN SOLE 486 0 0 UNITY SOFTWARE INC NOTE 11/1 91332UAB7 10092992 11648 PRN SOLE 11648 0 0 UPSTART HLDGS INC NOTE 0.250% 8/1 91680MAB3 44414887 55752 PRN SOLE 55752 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 13104743 14690 PRN SOLE 14690 0 0 VERDE CLEAN FUELS INC *W EXP 02/15/202 923372114 23912 132844 SH SOLE 132844 0 0 VERITONE INC NOTE 1.750%11/1 92347MAB6 3679801 10250 PRN SOLE 10250 0 0 VISION SENSING ACQUISITION C *W EXP 99/99/999 92838J111 8236 243675 SH SOLE 243675 0 0 VOLATO GROUP INC *W EXP 12/04/202 74349W112 355 24500 SH SOLE 24500 0 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 61837867 68445 PRN SOLE 68445 0 0 WAYFAIR INC NOTE 0.625%10/0 94419LAM3 50764143 54438 PRN SOLE 54438 0 0 WAYFAIR INC NOTE 3.250% 9/1 94419LAP6 1208761 1050 PRN SOLE 1050 0 0 WAYFAIR INC NOTE 3.500%11/1 94419LAR2 3468750 2500 PRN SOLE 2500 0 0 WISDOMTREE INC NOTE 5.750% 8/1 97717PAF1 25283682 20573 PRN SOLE 20573 0 0 WOLFSPEED INC NOTE 1.750% 5/0 225447AD3 32040750 35900 PRN SOLE 35900 0 0 WOLFSPEED INC NOTE 0.250% 2/1 977852AB8 2378000 4000 PRN SOLE 4000 0 0 WOLFSPEED INC NOTE 1.875%12/0 977852AD4 15707000 28250 PRN SOLE 28250 0 0 XBP EUROPE HOLDINGS INC *W EXP 11/30/202 98400V119 14675 357933 SH SOLE 357933 0 0 XOMETRY INC NOTE 1.000% 2/0 98423FAB5 42662848 56697 PRN SOLE 56697 0 0 ZAPATA COMPUTING HLDGS INC *W EXP 02/14/202 98906V118 5295 143115 SH SOLE 143115 0 0 ZIFF DAVIS INC NOTE 1.750%11/0 48123VAE2 1307226 1400 PRN SOLE 1400 0 0 ZOOMCAR HLDGS INC *W EXP 05/31/202 45784G119 3844 274598 SH SOLE 274598 0 0 ZYNEX INC NOTE 5.000% 5/1 98986MAD5 5700750 5500 PRN SOLE 5500 0 0 APPLIED OPTOELECTRONICS INC NOTE 5.25%12/1 03823UAC6 25503445 29666 PRN SOLE 29666 0 0 AVID BIOSERVICES INC NOTE 7% 3/1/29 05368MAA4 19889761 18176 PRN SOLE 18176 0 0 CERENCE INC NOTE 1.5%7/1/2 156727AC3 7269500 13400 PRN SOLE 13400 0 0 INDIE SEMICONDUCTOR INC NOTE 4.5%11/15 45569UAA9 22576554 22554 PRN SOLE 22554 0 0 FORTUNA SILVER MINES INC NOTE 3.75%6/30 349915AD0 14905500 14250 PRN SOLE 14250 0 0 LUCID GROUP INC NOTE 1.25%12/1 549498AA1 16668990 31660 PRN SOLE 31660 0 0 LUMINAR TECHNOLOGIES INC NOTE 1.25%12/1 550424AA3 20855107 52999 PRN SOLE 52999 0 0 MP MATERIALS CORP NOTE 0.25% 4/1 553368AA9 18208861 20403 PRN SOLE 20403 0 0 NEXTERA ENERGY PARTNERS LP NOTE 11/15/25 65341BAD8 49195721 54255 PRN SOLE 54255 0 0 NEXTERA ENERGY PARTNERS LP NOTE 2.5%6/15 65341BAG1 16494387 18002 PRN SOLE 18002 0 0 OPENDOOR TECHNOLOGIES INC NOTE 0.25%8/15 683712AA1 39188699 48415 PRN SOLE 48415 0 0 OPKO HEALTH INC NOTE 3.75%1/15 68375NAE3 22675903 19750 PRN SOLE 19750 0 0 PELOTON INTERACTIVE INC NOTE 5.5% 12/1 70614WAC4 35653000 35300 PRN SOLE 35300 0 0 PLUG PWR INC NOTE 7% 6/1/26 72919PAF0 30001444 32807 PRN SOLE 32807 0 0 PORCH GROUP INC NOTE 6.76%10/1 733245AC8 35975660 62027 PRN SOLE 62027 0 0 PURECYCLE TECHNOLOGIES INC NOTE 0.25%8/15 74623VAA1 12260990 20250 PRN SOLE 20250 0 0 RIVIAN AUTOMOTIVE INC NOTE 3.625%10/ 76954AAC7 40244579 46474 PRN SOLE 46474 0 0 ROCKET LAB USA INC NOTE 4.25%2/1 773122AA4 33346424 28486 PRN SOLE 28486 0 0 SOFI TECHNOLOGIES INC NOTE 10/15/26 83406FAA0 26504500 30500 PRN SOLE 30500 0 0 SOFI TECHNOLOGIES INC NOTE 1.25%3/15 83406FAC6 38994500 41750 PRN SOLE 41750 0 0 STEM INC NOTE 0.5%12/1 85859NAA0 12391670 33491 PRN SOLE 33491 0 0 THE BEAUTY HEALTH COMPANY NOTE 1.25%10/1 88331LAA6 70093200 83320 PRN SOLE 83320 0 0 VIRGIN GALACTIC HOLDINGS INC NOTE 2.5%2/1 92766KAA4 13887321 42508 PRN SOLE 42508 0 0