-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, BcGiL9KkDd/PCWz+6Thmz6oc+9t3FfIwUyFHs94FuEHA5Mz6ivkyOkQiTkiEdSnR 9AFoSKU6BNyXjGMjBjSmRA== 0001013594-08-000768.txt : 20081114 0001013594-08-000768.hdr.sgml : 20081114 20081114121013 ACCESSION NUMBER: 0001013594-08-000768 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20080930 FILED AS OF DATE: 20081114 DATE AS OF CHANGE: 20081114 EFFECTIVENESS DATE: 20081114 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BASSO CAPITAL MANAGEMENT LP CENTRAL INDEX KEY: 0001287978 IRS NUMBER: 200406508 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10896 FILM NUMBER: 081188506 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-111408.txt NOVEMBER 14, 2008 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2008 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: Basso Capital Management, L.P. Address: 1266 East Main Street, 4th Floor Stamford, Connecticut 06902 Form 13F File Number: 28-10896 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, 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: Howard Fischer Title: Authorized Signatory Phone: (203) 352-6100 Signature, Place, and Date of Signing: /s/ Howard Fischer Stamford, Connecticut November 14, 2008 -------------------------------- --------------------- --------------- [Signature] [City, State] [Date] 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: 366 Form 13F Information Table Value Total: $1,749,780 (thousands) List of Other Included Managers: None. Name of Reporting Manager: Basso Capital Management, L.P. 13F Report For Quarter Ended 9/30/08
VALUE SHARES/ SH/ PUT/ INVSTMT OTHER NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE ACCESS INTEGRATED TECHNLGS I CL A 004329108 644 450600 SH SOLE 450600 ADVANCED MICRO DEVICES INC NOTE 5.750% 8/1 007903AN7 3101 5500000 PRN SOLE 5500000 ADVANCED TECHNOLOGY ACQU COR W EXP 06/18/201 007556111 33 550000 SH SOLE 550000 AGCO CORP NOTE 1.750%12/3 001084AL6 4890 2500000 PRN SOLE 2500000 ALTERNATIVE ASSET MGMT ACQU COM 02149U101 18047 2005200 SH SOLE 2005200 ALTERNATIVE ASSET MGMT ACQU W EXP 08/01/201 02149U119 191 546800 SH SOLE 546800 ALTRIA GROUP INC COM 02209S103 992 50000 SH SOLE 50000 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2211 145000 SH SOLE 145000 AMERICAN INTL GROUP INC COM 026874107 250 75000 SH CALL SOLE 75000 AMERICAN INTL GROUP INC UNIT 99/99/9999 026874115 5480 638000 SH SOLE 638000 AMERICAN MED SYS HLDGS INC COM 02744M108 222 12500 SH PUT SOLE 12500 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 12692 12500000 PRN SOLE 12500000 AMERIPRISE FINL INC COM 03076C106 254 6650 SH SOLE 6650 AMGEN INC NOTE 0.125% 2/0 031162AN0 4582 5000000 PRN SOLE 5000000 ANADARKO PETE CORP COM 032511107 1698 35000 SH SOLE 35000 ANNALY CAP MGMT INC COM 035710409 2724 202500 SH SOLE 202500 APEX BIOVENTURES ACQ CORP COM 03753Q105 3279 437200 SH SOLE 437200 APPLE INC COM 037833100 8061 50000 SH CALL SOLE 50000 APPLIED MATLS INC COM 038222105 6408 400000 SH CALL SOLE 400000 ARCHER DANIELS MIDLAND CO COM 039483102 2191 100000 SH CALL SOLE 100000 ARCHER DANIELS MIDLAND CO UNIT 99/99/9999 039483201 3643 121000 SH SOLE 121000 ASBURY AUTOMOTIVE GROUP INC NOTE 3.000% 9/1 043436AG9 5217 8000000 PRN SOLE 8000000 ASPECT MED SYS INC NOTE 2.500% 6/1 045235AB4 4071 7250000 PRN SOLE 7250000 AT&T INC COM 00206R102 3350 120000 SH SOLE 120000 ATLAS ACQUISITION HLDGS CORP COM 049162100 12977 1443500 SH SOLE 1443500 ATLAS ACQUISITION HLDGS CORP W EXP 01/23/201 049162118 236 1310000 SH SOLE 1310000 BANK OF AMERICA CORPORATION COM 060505104 7000 200000 SH PUT SOLE 200000 BERKSHIRE HATHAWAY INC DEL CL B 084670207 1758 400 SH SOLE 400 BHP BILLITON LTD SPONSORED ADR 088606108 1489 26000 SH CALL SOLE 26000 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 19333 10000000 PRN SOLE 10000000 BLOCKBUSTER INC CL A 093679108 205 100000 SH CALL SOLE 100000 BOEING CO COM 097023105 6598 100000 SH CALL SOLE 100000 BOISE INC COM 09746Y105 434 278303 SH SOLE 278303 BOSTON PRIVATE FINL HLDGS IN NOTE 3.000% 7/1 101119AC9 2001 2000000 PRN SOLE 2000000 BPW ACQUISITION CORP COM 055637102 20044 2232100 SH SOLE 2232100 BPW ACQUISITION CORP W EXP 02/26/201 055637110 461 1536100 SH SOLE 1536100 BRIGGS & STRATTON CORP COM 109043109 1618 100000 SH CALL SOLE 100000 BROADCOM CORP CL A 111320107 932 50000 SH CALL SOLE 50000 BURGER KING HLDGS INC COM 121208201 2210 90000 SH SOLE 90000 CADBURY PLC SPONS ADR 12721E102 284 6929 SH SOLE 6929 CAPITOL ACQUISITION CORP DEL COM 14055E104 7150 794400 SH SOLE 794400 CAPITOL ACQUISITION CORP DEL W EXP 11/08/201 14055E112 100 345500 SH SOLE 345500 CENTEX CORP COM 152312104 841 50000 SH CALL SOLE 50000 CENTURY ALUM CO NOTE 1.750% 8/0 156431AE8 5895 6000000 PRN SOLE 6000000 CHARMING SHOPPES INC COM 161133103 489 100000 SH CALL SOLE 100000 CHARMING SHOPPES INC NOTE 1.125% 5/0 161133AE3 2895 4835000 PRN SOLE 4835000 CHEESECAKE FACTORY INC COM 163072101 3622 247725 SH SOLE 247725 CHEESECAKE FACTORY INC COM 163072101 4386 300000 SH CALL SOLE 300000 CHINA HLDGS ACQUISITION CORP COM 16942N106 6047 669699 SH SOLE 669699 CHINA HLDGS ACQUISITION CORP W EXP 11/16/201 16942N114 151 656499 SH SOLE 656499 CHINA MED TECHNOLOGIES IN C NOTE 4 169483AC8 3550 5000000 PRN SOLE 5000000 CHINA MED TECHNOLOGIES INC SPONSORED ADR 169483104 332 10204 SH SOLE 10204 CHINA MOBILE LIMITED SPONSORED ADR 16941M109 25040 500000 SH CALL SOLE 500000 CHURCHILL VENTURES LTD COM 17157P109 4462 572100 SH SOLE 572100 CHURCHILL VENTURES LTD W EXP 03/01/201 17157P117 67 606900 SH SOLE 606900 CIGNA CORP COM 125509109 3398 100000 SH SOLE 100000 CISCO SYS INC COM 17275R102 5076 225000 SH SOLE 225000 CISCO SYS INC COM 17275R102 4512 200000 SH CALL SOLE 200000 CITIGROUP INC COM 172967101 7248 373400 SH CALL SOLE 373400 CITIGROUP INC COM 172967101 2083 107300 SH PUT SOLE 107300 CITRIX SYS INC COM 177376100 1263 50000 SH CALL SOLE 50000 COGO GROUP INC COM 192448108 2582 490000 SH SOLE 490000 COLUMBUS ACQUISITION CORP COM 198851107 4959 652495 SH SOLE 652495 COLUMBUS ACQUISITION CORP W EXP 05/18/201 198851115 114 516100 SH SOLE 516100 COMMSCOPE INC SDCV 1.000% 3/1 203372AD9 7969 5000000 PRN SOLE 5000000 COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 4500 235000 SH SOLE 235000 COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 3830 200000 SH CALL SOLE 200000 COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 1915 100000 SH PUT SOLE 100000 COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 8511 7979000 PRN SOLE 7979000 CONOCOPHILLIPS COM 20825C104 2564 35000 SH SOLE 35000 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 2845 2500000 PRN SOLE 2500000 COVANTA HLDG CORP DBCV 1.000% 2/0 22282EAA0 8654 8824000 PRN SOLE 8824000 COVENTRY HEALTH CARE INC COM 222862104 2441 75000 SH CALL SOLE 75000 CVS CAREMARK CORPORATION COM 126650100 9172 272500 SH SOLE 272500 CVS CAREMARK CORPORATION COM 126650100 3366 100000 SH CALL SOLE 100000 CYTRX CORP COM NEW 232828301 297 581504 SH SOLE 581504 DANAHER CORP DEL NOTE 1/2 235851AF9 10891 10750000 PRN SOLE 10750000 DAYTON SUPERIOR CORP COM 240028308 213 153025 SH SOLE 153025 DEERFIELD CAPITAL CORP COM 244331104 2 3058 SH SOLE 3058 DEVELOPERS DIVERSIFIED RLTY NOTE 3.500% 8/1 251591AQ6 4003 5000000 PRN SOLE 5000000 DIAMOND OFFSHORE DRILLING IN COM 25271C102 21 200 SH SOLE 200 DIGITAL RLTY TR INC COM 253868103 945 20000 SH PUT SOLE 20000 DIME BANCORP INC NEW W EXP 99/99/999 25429Q110 9 96600 SH SOLE 96600 DINEEQUITY INC COM 254423106 873 51800 SH SOLE 51800 DIRECTV GROUP INC COM 25459L106 1702 65000 SH SOLE 65000 DST SYS INC DEL DBCV 4.125% 8/1 233326AB3 3036 2500000 PRN SOLE 2500000 EBAY INC COM 278642103 4028 180000 SH SOLE 180000 EBAY INC COM 278642103 4476 200000 SH CALL SOLE 200000 EL PASO CORP COM 28336L109 1872 146700 SH SOLE 146700 ENTERGY CORP NEW COM 29364G103 2644 29700 SH SOLE 29700 ENTERPRISE ACQUISITION CORP COM 29365R108 3294 358800 SH SOLE 358800 ENTERPRISE ACQUISITION CORP W EXP 11/07/201 29365R116 14 88100 SH SOLE 88100 ENTERTAINMENT PPTYS TR CONV PFD 9% SR E 29380T600 1314 50000 SH SOLE 50000 EVERCORE PARTNERS INC CLASS A 29977A105 317 17650 SH SOLE 17650 FEDERAL MOGUL CORP COM 313549404 1883 150000 SH SOLE 150000 FEDERAL NATL MTG ASSN COM 313586109 344 225000 SH CALL SOLE 225000 FEDERATED INVS INC PA CL B 314211103 202 7000 SH SOLE 7000 FEDERATED INVS INC PA CL B 314211103 110 3800 SH CALL SOLE 3800 FIFTH THIRD BANCORP COM 316773100 833 70000 SH PUT SOLE 70000 FIFTH THIRD BANCORP CNV PFD DEP1/250 316773209 3732 35000 SH SOLE 35000 FINANCIAL FED CORP DBCV 2.000% 4/1 317492AF3 5396 5503000 PRN SOLE 5503000 FORD MTR CO DEL NOTE 4.250%12/1 345370CF5 4977 7500000 PRN SOLE 7500000 FORD MTR CO DEL COM PAR $0.01 345370860 55 10500 SH CALL SOLE 10500 FREEPORT-MCMORAN COPPER & GO COM 35671D857 5117 90000 SH SOLE 90000 FREEPORT-MCMORAN COPPER & GO COM 35671D857 2843 50000 SH CALL SOLE 50000 FTI CONSULTING INC COM 302941109 5382 74500 SH SOLE 74500 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 7155 3000000 PRN SOLE 3000000 GAP INC DEL COM 364760108 4356 245000 SH SOLE 245000 GAP INC DEL COM 364760108 1778 100000 SH CALL SOLE 100000 GENERAL ELECTRIC CO COM 369604103 2816 100000 SH PUT SOLE 100000 GENEVA ACQUISITION CORP COM 37185Y104 1260 225000 SH SOLE 225000 GENEVA ACQUISITION CORP W EXP 02/12/201 37185Y112 6 88100 SH SOLE 88100 GHL ACQUISITION CORP COM 36172H108 23819 2589000 SH SOLE 2589000 GHL ACQUISITION CORP W EXP 02/14/201 36172H116 1274 1991300 SH SOLE 1991300 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 3696 3000000 PRN SOLE 3000000 GLOBAL CONSUMER ACQST CORP COM 378983100 6418 709200 SH SOLE 709200 GLOBAL CONSUMER ACQST CORP W EXP 11/27/201 378983118 41 150500 SH SOLE 150500 GLOBAL CROSSING LTD NOTE 5.000% 5/1 37932JAA1 3174 3635000 PRN SOLE 3635000 GLOBAL INDS LTD COM 379336100 1353 195000 SH SOLE 195000 GLOBAL INDS LTD COM 379336100 1562 225000 SH CALL SOLE 225000 GLOBAL INDS LTD DBCV 2.750% 8/0 379336AE0 5238 10000000 PRN SOLE 10000000 GOLDEN POND HEALTHCARE INC COM 38116J109 3593 499000 SH SOLE 499000 GOLDEN POND HEALTHCARE INC W EXP 11/06/201 38116J117 112 446300 SH SOLE 446300 GOOGLE INC CL A 38259P508 3204 8000 SH SOLE 8000 GRANAHAN MCCOURT ACQ CORP COM 385034103 1018 124200 SH SOLE 124200 GRANAHAN MCCOURT ACQ CORP W EXP 10/18/201 385034111 6 33600 SH SOLE 33600 GSC ACQUISITION COMPANY COM 40053G106 13829 1471200 SH SOLE 1471200 GSC ACQUISITION COMPANY W EXP 06/25/201 40053G114 38 189800 SH SOLE 189800 HANOVER INS GROUP INC COM 410867105 3265 71719 SH SOLE 71719 HANSEN NAT CORP COM 411310105 1815 60000 SH SOLE 60000 HCC INS HLDGS INC COM 404132102 2025 75000 SH SOLE 75000 HEADWATERS INC NOTE 2.875% 6/0 42210PAB8 3846 4900000 PRN SOLE 4900000 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 10956 10000000 PRN SOLE 10000000 HECKMANN CORP W EXP 11/09/201 422680116 1747 812654 SH SOLE 812654 HICKS ACQUISITION CO I INC COM 429086309 16436 1836400 SH SOLE 1836400 HICKS ACQUISITION CO I INC W EXP 09/28/201 429086127 162 804100 SH SOLE 804100 HIGHLANDS ACQUISITION CORP COM 430880104 2400 266640 SH SOLE 266640 HIGHLANDS ACQUISITION CORP W EXP 10/03/201 430880112 46 164440 SH SOLE 164440 HOME PROPERTIES INC COM 437306103 1333 23000 SH PUT SOLE 23000 HORSEHEAD HLDG CORP COM 440694305 1888 320000 SH SOLE 320000 HOSPITALITY PPTYS TR NOTE 3.800% 3/1 44106MAK8 9740 12690000 PRN SOLE 12690000 HRPT PPTYS TR COM SH BEN INT 40426W101 689 100000 SH CALL SOLE 100000 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 4251 6500000 PRN SOLE 6500000 HUMAN GENOME SCIENCES INC NOTE 2.250%10/1 444903AK4 6752 9500000 PRN SOLE 9500000 IAC INTERACTIVECORP W EXP 02/04/200 44919P128 2120 478469 SH SOLE 478469 ICONIX BRAND GROUP INC NOTE 1.875% 6/3 451055AB3 3694 5000000 PRN SOLE 5000000 IDEATION ACQUISITION CORP COM 451665103 1213 169700 SH SOLE 169700 IDEATION ACQUISITION CORP W EXP 11/19/201 451665111 85 243100 SH SOLE 243100 INCYTE CORP NOTE 3.500% 2/1 45337CAF9 17241 20127000 PRN SOLE 20127000 INFORMATION SERVICES GROUP I W EXP 01/31/201 45675Y112 82 205900 SH SOLE 205900 INLAND REAL ESTATE CORP NOTE 4.625%11/1 457461AB7 8182 9250000 PRN SOLE 9250000 INTEL CORP COM 458140100 7492 400000 SH CALL SOLE 400000 INTER ATLANTIC FINANCIAL INC COM 45890H100 2600 356700 SH SOLE 356700 INTER ATLANTIC FINANCIAL INC W EXP 10/02/201 45890H118 116 463200 SH SOLE 463200 INVERNESS MED INNOVATIONS IN COM 46126P106 750 25000 SH PUT SOLE 25000 INVERNESS MED INNOVATIONS IN NOTE 3.000% 5/1 46126PAD8 2036 2420000 PRN SOLE 2420000 ISHARES INC MSCI TAIWAN 464286731 4577 425000 SH SOLE 425000 ISHARES INC MSCI HONG KONG 464286871 711 53826 SH SOLE 53826 ISHARES INC MSCI JAPAN 464286848 1066 100000 SH SOLE 100000 ISHARES INC MSCI JAPAN 464286848 13859 1300100 SH CALL SOLE 1300100 ISHARES INC MSCI MALAYSIA 464286830 518 59800 SH CALL SOLE 59800 ISHARES INC MSCI TAIWAN 464286731 3231 300000 SH CALL SOLE 300000 ISHARES TR FTSE XNHUA IDX 464287184 22413 650200 SH CALL SOLE 650200 ISHARES TR FTSE XNHUA IDX 464287184 862 25000 SH PUT SOLE 25000 ISHARES TR MSCI EMERG MKT 464287234 24083 650000 SH CALL SOLE 650000 ISHARES TR MSCI EMERG MKT 464287234 16673 450000 SH PUT SOLE 450000 ISHARES TR 20+ YR TRS BD 464287432 18606 196100 SH PUT SOLE 196100 ISHARES TR 7-10 YR TRS BD 464287440 391 4400 SH PUT SOLE 4400 ISHARES TR MSCI EAFE IDX 464287465 11603 206100 SH PUT SOLE 206100 JAKKS PAC INC COM 47012E106 4359 175000 SH SOLE 175000 KBL HEALTHCARE ACQUIS CORP I COM 48241N107 6248 847800 SH SOLE 847800 KBL HEALTHCARE ACQUIS CORP I W EXP 07/18/201 48241N115 136 680900 SH SOLE 680900 KEMET CORP NOTE 2.250%11/1 488360AB4 1819 5000000 PRN SOLE 5000000 KEYCORP NEW COM 493267108 1493 125000 SH CALL SOLE 125000 KEYCORP NEW COM 493267108 896 75000 SH PUT SOLE 75000 KEYCORP NEW PFD 7.75% SR A 493267405 5199 60000 SH SOLE 60000 KNOLOGY INC COM 499183804 559 69277 SH SOLE 69277 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 13223 14158000 PRN SOLE 14158000 LAZARD LTD SHS A G54050102 3074 71900 SH SOLE 71900 LEGG MASON INC UNIT 99/99/9999 524901303 849 25000 SH SOLE 25000 LEHMAN BROS HLDGS INC COM 524908100 73 340000 SH CALL SOLE 340000 LENNAR CORP CL A 526057104 760 50000 SH CALL SOLE 50000 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 9669 4665000 PRN SOLE 4665000 LEXINGTON REALTY TRUST PFD CONV SER C 529043309 1977 53000 SH SOLE 53000 LIBERTY ACQUISITION HLDGS CO COM 53015Y107 19231 2210500 SH SOLE 2210500 LIBERTY ACQUISITION HLDGS CO W EXP 12/12/201 53015Y115 399 569700 SH SOLE 569700 LIBERTY MEDIA CORP NEW CAP COM SER A 53071M302 4854 362790 SH SOLE 362790 LIBERTY MEDIA CORP NEW ENT COM SER A 53071M500 9219 369221 SH SOLE 369221 LOEWS CORP COM 540424108 4739 120000 SH SOLE 120000 LSI CORPORATION COM 502161102 2528 400000 SH CALL SOLE 400000 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 2038 2500000 PRN SOLE 2500000 MACYS INC COM 55616P104 6563 365000 SH SOLE 365000 MACYS INC COM 55616P104 2697 150000 SH CALL SOLE 150000 MARATHON OIL CORP COM 565849106 1994 50000 SH CALL SOLE 50000 MARKET VECTORS ETF TR RUSSIA ETF 57060U506 723 25000 SH SOLE 25000 MARKET VECTORS ETF TR RUSSIA ETF 57060U506 2169 75000 SH PUT SOLE 75000 MBF HEALTHCARE ACQUISITION C COM 552650103 8206 1058900 SH SOLE 1058900 MBF HEALTHCARE ACQUISITION C W EXP 04/16/201 552650111 155 774814 SH SOLE 774814 MCDERMOTT INTL INC COM 580037109 2044 80000 SH SOLE 80000 MCKESSON CORP COM 58155Q103 1883 35000 SH SOLE 35000 MCMORAN EXPLORATION CO PFD MAND CNV 582411500 13642 87200 SH SOLE 87200 MEDIA & ENTMT HOLDINGS INC COM 58439W108 4190 558700 SH SOLE 558700 MEDIA & ENTMT HOLDINGS INC W EXP 03/09/201 58439W116 58 287999 SH SOLE 287999 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 6531 8630000 PRN SOLE 8630000 MEDTRONIC INC NOTE 1.500% 4/1 585055AL0 9998 10000000 PRN SOLE 10000000 MERCK & CO INC COM 589331107 2683 85000 SH SOLE 85000 MERCK & CO INC COM 589331107 3156 100000 SH CALL SOLE 100000 METROPCS COMMUNICATIONS INC COM 591708102 2306 164800 SH SOLE 164800 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 12264 13000000 PRN SOLE 13000000 MICRON TECHNOLOGY INC COM 595112103 1968 400000 SH CALL SOLE 400000 MICROSOFT CORP COM 594918104 11877 445000 SH SOLE 445000 MICROSOFT CORP COM 594918104 16014 600000 SH CALL SOLE 600000 MIRANT CORP NEW COM 60467R100 759 41504 SH SOLE 41504 MIRANT CORP NEW W EXP 01/03/201 60467R126 174 40000 SH SOLE 40000 MORGAN STANLEY COM NEW 617446448 690 30000 SH SOLE 30000 MYLAN INC COM 628530107 2019 176838 SH SOLE 176838 MYLAN INC PFD CONV 628530206 2745 3500 SH SOLE 3500 NATIONAL CITY CORP COM 635405103 350 200000 SH SOLE 200000 NATIONAL CITY CORP COM 635405103 613 350000 SH CALL SOLE 350000 NATIONAL FINL PARTNERS CORP NOTE 0.750% 2/0 63607PAA7 3544 6000000 PRN SOLE 6000000 NATIONAL OILWELL VARCO INC COM 637071101 1507 30000 SH SOLE 30000 NATIONAL OILWELL VARCO INC COM 637071101 2512 50000 SH CALL SOLE 50000 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 21974 21500000 PRN SOLE 21500000 NATIONWIDE HEALTH PPTYS INC PFD CV B 7.75% 638620302 276 1756 SH SOLE 1756 NCI BUILDING SYS INC NOTE 2.125%11/1 628852AG0 4884 5000000 PRN SOLE 5000000 NETEASE COM INC SPONSORED ADR 64110W102 2 83 SH SOLE 83 NEW YORK CMNTY BANCORP INC COM 649445103 4198 250000 SH PUT SOLE 250000 NEW YORK CMNTY CAP TR V BONUSES 64944P307 24964 585710 SH SOLE 585710 NEWS CORP CL A 65248E104 4676 390000 SH SOLE 390000 NEWS CORP CL A 65248E104 2398 200000 SH CALL SOLE 200000 NII HLDGS INC CL B NEW 62913F201 1896 50000 SH SOLE 50000 NOKIA CORP SPONSORED ADR 654902204 560 30000 SH SOLE 30000 NORTHROP GRUMMAN CORP COM 666807102 3935 65000 SH SOLE 65000 NOVAMERICAN STEEL INC COM 66986M100 394 253900 SH SOLE 253900 NRDC ACQUISITION CORP COM 62941R102 13837 1537400 SH SOLE 1537400 NRDC ACQUISITION CORP W EXP 10/17/201 62941R110 324 1296300 SH SOLE 1296300 NTR ACQUISITION CO COM 629415100 6303 653130 SH SOLE 653130 NTR ACQUISITION CO W EXP 06/28/201 629415118 25 177000 SH SOLE 177000 O2MICRO INTERNATIONAL LTD SPONS ADR 67107W100 741 204100 SH SOLE 204100 OFFICE DEPOT INC COM 676220106 873 150000 SH CALL SOLE 150000 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 7131 177980 SH SOLE 177980 OMNICARE INC COM 681904108 1439 50000 SH PUT SOLE 50000 OMNICOM GROUP INC NOTE 2/0 681919AK2 2434 2500000 PRN SOLE 2500000 ON SEMICONDUCTOR CORP COM 682189105 1352 200000 SH CALL SOLE 200000 ORACLE CORP COM 68389X105 1422 70000 SH SOLE 70000 OVERTURE ACQUISITION CORP SHS G6830P100 7807 861700 SH SOLE 861700 OVERTURE ACQUISITION CORP W EXP 01/30/201 G6830P118 183 655000 SH SOLE 655000 OWENS CORNING NEW COM 690742101 1196 50000 SH PUT SOLE 50000 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 13114 332000 SH CALL SOLE 332000 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 2963 75000 SH PUT SOLE 75000 PETROQUEST ENERGY INC COM 716748108 1535 100000 SH SOLE 100000 PHILIP MORRIS INTL INC COM 718172109 481 10000 SH SOLE 10000 PIER 1 IMPORTS INC NOTE 6.375% 2/1 720279AH1 8425 12164000 PRN SOLE 12164000 POLARIS ACQUISITION CORP COM 73104R102 8489 912800 SH SOLE 912800 POLARIS ACQUISITION CORP W EXP 01/10/201 73104R110 278 695000 SH SOLE 695000 POWERWAVE TECHNOLOGIES INC SDCV 3.875%10/0 739363AF6 5374 8200000 PRN SOLE 8200000 PRECISION CASTPARTS CORP COM 740189105 2600 33000 SH SOLE 33000 PRIMORIS SVCS CORP COM ADDED 74164F103 514 66730 SH SOLE 66730 PROLOGIS NOTE 2.250% 4/0 743410AQ5 3381 4500000 PRN SOLE 4500000 PROLOGIS SH BEN INT 743410102 3095 75000 SH PUT SOLE 75000 PROSHARES TR ULTRA FINL PRO 74347R743 1579 90000 SH SOLE 90000 PROSHARES TR ULTRA FINL PRO 74347R743 2193 125000 SH PUT SOLE 125000 PROSHARES TR ULTRASHRT FINL 74347R628 15149 150000 SH CALL SOLE 150000 PROSHARES TR ULTRASHT DOW30 74347R867 1528 25000 SH CALL SOLE 25000 PROSHARES TR ULTRASHT DOW30 74347R867 1528 25000 SH PUT SOLE 25000 PROSPECT ACQUISITION CORP COM 74347T103 6743 741000 SH SOLE 741000 PROSPECT ACQUISITION CORP W EXP 11/14/201 74347T111 109 544100 SH SOLE 544100 PSS WORLD MED INC NOTE 2.250% 3/1 69366AAB6 19111 16500000 PRN SOLE 16500000 QUANTA SVCS INC SDCV 4.500%10/0 74762EAC6 54078 22284000 PRN SOLE 22284000 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 2166 2500000 PRN SOLE 2500000 RAM ENERGY RESOURCES INC COM 75130P109 1228 425000 SH SOLE 425000 RANGE RES CORP COM 75281A109 4716 110000 SH SOLE 110000 RAYONIER TRS HLDGS INC NOTE 3.750%10/1 75508AAB2 3506 3500000 PRN SOLE 3500000 RECKSON OPER PARTNERSHIP L P DEB 4.000% 6/1 75621LAJ3 13222 15750000 PRN SOLE 15750000 RENAISSANCE ACQUISITION CORP COM 75966C305 1223 220300 SH SOLE 220300 RENAISSANCE ACQUISITION CORP W EXP 01/28/201 75966C115 14 200000 SH SOLE 200000 RESEARCH IN MOTION LTD COM 760975102 1000 15000 SH CALL SOLE 15000 RF MICRODEVICES INC NOTE 0.750% 4/1 749941AG5 3560 5024000 PRN SOLE 5024000 RICHARDSON ELECTRS LT D NOTE 8 763165AG2 754 830000 PRN SOLE 830000 RYANAIR HLDGS PLC SPONSORED ADR 783513104 336 15000 SH SOLE 15000 SAKS INC COM 79377W108 925 100000 SH CALL SOLE 100000 SANTA MONICA MEDIA CORP COM 802501106 4026 529700 SH SOLE 529700 SANTA MONICA MEDIA CORP W EXP 03/27/201 802501114 38 341500 SH SOLE 341500 SAPPHIRE INDUSTRIALS CORP COM 80306T109 11161 1241471 SH SOLE 1241471 SAPPHIRE INDUSTRIALS CORP W EXP 01/17/201 80306T117 219 729371 SH SOLE 729371 SBA COMMUNICATIONS CORP NOTE 0.375%12/0 78388JAJ5 3650 4000000 PRN SOLE 4000000 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 3108 2500000 PRN SOLE 2500000 SCHERING PLOUGH CORP COM 806605101 2716 147041 SH SOLE 147041 SCHERING PLOUGH CORP PFD CONV MAN07 806605705 3256 18994 SH SOLE 18994 SCHLUMBERGER LTD COM 806857108 2733 35000 SH SOLE 35000 SCHOOL SPECIALTY INC NOTE 3.750% 8/0 807863AE5 7014 7500000 PRN SOLE 7500000 SCHOOL SPECIALTY INC SDCV 3.750%11/3 807863AL9 330 375000 PRN SOLE 375000 SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 237 8500 SH SOLE 8500 SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 279 10000 SH PUT SOLE 10000 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 15825 250000 SH SOLE 250000 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 11940 600000 SH CALL SOLE 600000 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 2985 150000 SH PUT SOLE 150000 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 1477 59800 SH SOLE 59800 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 12350 500000 SH CALL SOLE 500000 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 4940 200000 SH PUT SOLE 200000 SERVICE CORP INTL COM 817565104 6621 792000 SH SOLE 792000 SLM CORP COM 78442P106 1283 104000 SH SOLE 104000 SMITHFIELD FOODS INC COM 832248108 1508 75000 SH CALL SOLE 75000 SOLUTIA INC COM NEW 834376501 700 50000 SH SOLE 50000 SOVEREIGN BANCORP INC COM 845905108 198 50000 SH SOLE 50000 SP ACQUISITION HOLDINGS INC COM 78470A104 5562 598700 SH SOLE 598700 SP ACQUISITION HOLDINGS INC W EXP 10/10/201 78470A112 58 193600 SH SOLE 193600 SPDR SERIES TRUST S&P HOMEBUILD 78464A888 2459 125000 SH CALL SOLE 125000 SPDR SERIES TRUST S&P RETAIL ETF 78464A714 615 20000 SH SOLE 20000 SPDR SERIES TRUST S&P RETAIL ETF 78464A714 1538 50000 SH PUT SOLE 50000 SPDR TR UNIT SER 1 78462F103 92792 800000 SH CALL SOLE 800000 SPDR TR UNIT SER 1 78462F103 34797 300000 SH PUT SOLE 300000 SPIRIT AEROSYSTEMS HLDGS INC COM CL A 848574109 2280 141900 SH SOLE 141900 SPORTS PPTYS ACQUISITION COR COM 84920F107 12883 1431486 SH SOLE 1431486 SPORTS PPTYS ACQUISITION COR W EXP 01/17/201 84920F115 350 1165886 SH SOLE 1165886 STANDARD MTR PRODS INC SDCV 6.750% 7/1 853666AB1 3557 3930000 PRN SOLE 3930000 STAR SCIENTIFIC INC COM 85517P101 2008 563928 SH SOLE 563928 STONELEIGH PARTNERS ACQUS CO COM 861923100 5953 788500 SH SOLE 788500 STONELEIGH PARTNERS ACQUS CO W EXP 05/31/201 861923126 142 948750 SH SOLE 948750 TAILWIND FINL INC COM 874023104 2863 368500 SH SOLE 368500 TANGER PPTYS LTD PARTNERSHIP NOTE 3.750% 8/1 875484AE7 6189 5000000 PRN SOLE 5000000 TATA MTRS LTD SPONSORED ADR 876568502 42 5500 SH SOLE 5500 TECO ENERGY INC COM 872375100 1186 65889 SH SOLE 65889 TEVA PHARMACEUTICAL FIN II L DBCV 0.500% 2/0 88164RAA5 28451 23267000 PRN SOLE 23267000 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 7569 7500000 PRN SOLE 7500000 THERMO FISHER SCIENTIFIC INC COM 883556102 1650 30000 SH SOLE 30000 THINKORSWIM GROUP INC COM 88409C105 417 50000 SH SOLE 50000 TIME WARNER CABLE INC CL A 88732J108 1617 66804 SH SOLE 66804 TIME WARNER INC COM 887317105 6594 503000 SH SOLE 503000 TIME WARNER INC COM 887317105 2622 200000 SH CALL SOLE 200000 TITANIUM METALS CORP COM NEW 888339207 1814 160000 SH SOLE 160000 TITANIUM METALS CORP COM NEW 888339207 1134 100000 SH CALL SOLE 100000 TJX COS INC NEW NOTE 2/1 872540AL3 21438 21383000 PRN SOLE 21383000 TM ENTMT & MEDIA INC COM 87260T108 3182 440750 SH SOLE 440750 TM ENTMT & MEDIA INC W EXP 10/17/201 87260T116 136 502050 SH SOLE 502050 TRACTOR SUPPLY CO COM 892356106 3154 75000 SH SOLE 75000 TRANSFORMA ACQUISITION GROUP COM 89366E100 1490 190600 SH SOLE 190600 TRANSFORMA ACQUISITION GROUP W EXP 12/19/201 89366E118 17 75000 SH SOLE 75000 TRANS-INDIA ACQUISITION CORP COM 893237107 1479 192600 SH SOLE 192600 TRAVELERS COMPANIES INC COM 89417E109 4746 105000 SH SOLE 105000 TREMISIS ENERGY ACQ CORP II COM 89472N101 4344 611900 SH SOLE 611900 TREMISIS ENERGY ACQ CORP II W EXP 12/05/201 89472N119 124 494900 SH SOLE 494900 TRIAN ACQUISITION I CORP COM 89582E108 19330 2184163 SH SOLE 2184163 TRIAN ACQUISITION I CORP W EXP 01/23/201 89582E116 464 1451400 SH SOLE 1451400 TRIPLECROWN ACQUISITION CORP COM 89677G109 15722 1776500 SH SOLE 1776500 TRIPLECROWN ACQUISITION CORP W EXP 10/22/201 89677G117 406 1352300 SH SOLE 1352300 ULTRA PETROLEUM CORP COM 903914109 2767 50000 SH SOLE 50000 UNION STREET ACQ CORP COM 908536105 1394 178300 SH SOLE 178300 UNION STREET ACQ CORP W EXP 02/05/201 908536113 1 86600 SH SOLE 86600 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 20146 22010000 PRN SOLE 22010000 UNITED DOMINION REALTY TR IN NOTE 4.000%12/1 910197AK8 2037 2000000 PRN SOLE 2000000 UNITED REFINING ENERGY CORP COM 911360105 18404 2038150 SH SOLE 2038150 UNITED REFINING ENERGY CORP W EXP 12/11/201 911360113 385 1925300 SH SOLE 1925300 UNITED STATES OIL FUND LP UNITS 91232N108 4101 50000 SH CALL SOLE 50000 UNITEDHEALTH GROUP INC COM 91324P102 5314 200000 SH CALL SOLE 200000 VALE CAP LTD NT RIO CV VALE 91912C208 13368 351800 SH SOLE 351800 VICTORY ACQUISITION CORP COM 92644D100 6250 657900 SH SOLE 657900 VICTORY ACQUISITION CORP W EXP 04/24/201 92644D118 133 294600 SH SOLE 294600 VORNADO RLTY L P DEB 3.875% 4/1 929043AC1 5303 5000000 PRN SOLE 5000000 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AJ0 8805 10000000 PRN SOLE 10000000 WEBSTER FINL CORP CONN COM 947890109 2593 102700 SH PUT SOLE 102700 WELLS FARGO & CO NEW COM 949746101 6005 160000 SH CALL SOLE 160000 WINTHROP RLTY TR SH BEN INT 976391102 3966 561518 SH SOLE 561518 XILINX INC DBCV 3.125% 3/1 983919AD3 8579 10271000 PRN SOLE 10271000 XTO ENERGY INC COM 98385X106 3489 75000 SH SOLE 75000 XTO ENERGY INC COM 98385X106 3489 75000 SH CALL SOLE 75000
-----END PRIVACY-ENHANCED MESSAGE-----