-----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, Gq2D0FkjH6+PoeG1sO3CtDts9AWxlhQ1+PDx64zi/hKafv+mSPx18gvBIo/BGntx fjTQNB8d8j9J8EmR0mMQ/g== 0001013594-10-000628.txt : 20100816 0001013594-10-000628.hdr.sgml : 20100816 20100816150915 ACCESSION NUMBER: 0001013594-10-000628 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20100630 FILED AS OF DATE: 20100816 DATE AS OF CHANGE: 20100816 EFFECTIVENESS DATE: 20100816 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: 101019188 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-081610.txt AUGUST 16, 2010 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2010 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 August 16, 2010 ---------------------- --------------------- ------------ [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: 88 Form 13F Information Table Value Total: $463,336 (thousands) List of Other Included Managers: None. Name of Reporting Manager: Basso Capital Management, L.P. 13F Report For Quarter Ended 6/30/10
VALUE SHARES SH/ PUT/ INVSTMT OTHER NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETN MANAGERS SOLE SHARED NONE AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 2853 2750000 PRN SOLE 2750000 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 2390 2500000 PRN SOLE 2500000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 7140 7500000 PRN SOLE 7500000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 9/1 018804AN4 2425 2500000 PRN SOLE 2500000 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 11214 9277000 PRN SOLE 9277000 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 8681 8500000 PRN SOLE 8500000 AUTOLIV INC 8% PFD 052800208 1339 20876 SH SOLE 20876 BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 258 12500 SH SOLE 12500 BEAZER HOMES USA INC 7.25% PFD 07556Q501 1662 92181 SH SOLE 92181 BOISE INC W EXP 06/18/201 W EXP 06/18/201 09746Y113 35 75000 SH SOLE 75000 CACI INTL INC NOTE 2.125% 5/0 127190AD8 2126 2200000 PRN SOLE 2200000 CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 2159 2500000 PRN SOLE 2500000 CALLAWAY GOLF CO COM 131193104 453 75000 SH PUT SOLE 75000 CEMEX SAB DE CV SPON ADR NEW 151290889 502 52000 SH PUT SOLE 52000 CEPHALON INC NOTE 2.000% 6/0 156708AP4 16757 13000000 PRN SOLE 13000000 CITIGROUP INC 7.50% PFD 172967416 11303 100200 SH SOLE 100200 CMS ENERGY CORP NOTE 2.875%12/0 125896AW0 11631 10000000 PRN SOLE 10000000 CMS ENERGY CORP NOTE 5.500% 6/1 125896BD1 2205 1900000 PRN SOLE 1900000 COMBIMATRIX CORPORATION W EXP 05/01/201 20009T113 3 15152 SH SOLE 15152 CONTINENTAL AIRLS INC CL B 210795308 44 2000 SH SOLE 2000 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 20909 13069000 PRN SOLE 13069000 DANAHER CORP DEL NOTE 1/2 235851AF9 16801 15629000 PRN SOLE 15629000 DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 7731 10500000 PRN SOLE 10500000 E M C CORP MASS NOTE 1.750%12/0 268648AM4 3164 2500000 PRN SOLE 2500000 EARTHLINK INC NOTE 3.250%11/1 270321AA0 2140 2000000 PRN SOLE 2000000 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 952 25000 SH PUT SOLE 25000 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% 29380T402 1300 77135 SH SOLE 77135 FEDERAL NATL MTG ASSN CONV PFD SR 08-1 313586745 11 22569 SH SOLE 22569 FORD MTR CO DEL COM PAR $0.01 345370860 1008 100000 SH PUT SOLE 100000 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 16201 13000000 PRN SOLE 13000000 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 3015 2050000 PRN SOLE 2050000 GENERAL CABLE CORP DEL NEW COM 369300108 267 10000 SH PUT SOLE 10000 GENERAL CABLE CORP DEL NEW BGC 4.500%11/1 369300AL2 2341 2500000 PRN SOLE 2500000 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 4145 4000000 PRN SOLE 4000000 GLG PARTNERS INC W EXP 12/28/201 37929X115 109 975000 SH SOLE 975000 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 2331 40000 SH SOLE 40000 GREATBATCH INC SDCV 2.250% 6/1 39153LAB2 5833 6500000 PRN SOLE 6500000 GSI COMMERCE INC NOTE 2.500% 6/0 36238GAD4 2810 2500000 PRN SOLE 2500000 HERCULES OFFSHORE INC NOTE 3.375% 6/0 427093AD1 683 975000 PRN SOLE 975000 INTERNATIONAL COAL GRP INC N NOTE 4.000% 4/0 45928HAG1 4935 5500000 PRN SOLE 5500000 INVACARE CORP SDCV 4.125% 2/0 461203AD3 5617 5500000 PRN SOLE 5500000 ISHARES TR INDEX MSCI EMERG MKT 464287234 11196 300000 SH PUT SOLE 300000 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 17067 16898000 PRN SOLE 16898000 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 2644 1909000 PRN SOLE 1909000 MGM MIRAGE COM 552953101 482 50000 SH PUT SOLE 50000 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 21548 22100000 PRN SOLE 22100000 MICROSOFT CORP COM 594918104 1809 78601 SH SOLE 78601 MYLAN INC COM 628530107 1107 64975 SH SOLE 64975 MYLAN INC COM 628530107 1704 100000 SH PUT SOLE 100000 MYLAN INC NOTE 3.750% 9/1 628530AJ6 17756 12500000 PRN SOLE 12500000 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 4326 10097000 PRN SOLE 10097000 NATIONAL RETAIL PROPERTIES I NOTE 3.950% 9/1 637417AA4 3145 3028000 PRN SOLE 3028000 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 2590 2700000 PRN SOLE 2700000 OLD REP INTL CORP COM 680223104 607 50000 SH CALL SOLE 50000 OLD REP INTL CORP COM 680223104 1638 135000 SH PUT SOLE 135000 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 11322 9500000 PRN SOLE 9500000 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 6668 188722 SH SOLE 188722 OMNICARE INC COM 681904108 1185 50000 SH PUT SOLE 50000 PETROQUEST ENERGY INC COM 716748108 67 9845 SH SOLE 9845 PHH CORP NOTE 4.000% 4/1 693320AH6 3256 3000000 PRN SOLE 3000000 POWERWAVE TECHNOLOGIES INC NOTE 3.875%10/0 739363AF6 1081 1500000 PRN SOLE 1500000 PPL CORP COM 69351T106 2495 100000 SH PUT SOLE 100000 PROVIDENCE SVC CORP NOTE 6.500% 5/1 743815AB8 5104 6000000 PRN SOLE 6000000 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 8860 8000000 PRN SOLE 8000000 REGIS CORP MINN COM 758932107 93 6000 SH PUT SOLE 6000 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 9560 8000000 PRN SOLE 8000000 RESEARCH IN MOTION LTD COM 760975102 2463 50000 SH CALL SOLE 50000 RESOLUTE ENERGY CORP W EXP 09/25/201 76116A116 249 106000 SH SOLE 106000 SANDRIDGE ENERGY INC COM 80007P307 1166 200000 SH PUT SOLE 200000 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 10621 8306000 PRN SOLE 8306000 SCHOOL SPECIALTY INC SDCV 3.750%11/3 807863AL9 3653 3860000 PRN SOLE 3860000 SESI L L C FRNT 1.500%12/1 78412FAH7 2753 3000000 PRN SOLE 3000000 SUPERIOR WELL SVCS INC COM 86837X105 418 25000 SH PUT SOLE 25000 SYMANTEC CORP NOTE 0.750% 6/1 871503AD0 5452 5500000 PRN SOLE 5500000 SYNOVUS FINL CORP 8.25% PFD 87161C204 10458 432872 SH SOLE 432872 TATA MTRS LTD SPONSORED ADR 876568502 1295 75333 SH SOLE 75333 TEREX CORP NEW NOTE 4.000% 6/0 880779AV5 2680 2000000 PRN SOLE 2000000 TEVA PHARMACEUTICAL FIN LLC DBCV 0.250% 2/0 88163VAE9 4671 4000000 PRN SOLE 4000000 TRANSOCEAN INC NOTE 1.625%12/1 893830AU3 4800 5000000 PRN SOLE 5000000 TRIUMPH GROUP INC NEW NOTE 2.625%10/0 896818AB7 6481 5000000 PRN SOLE 5000000 UAL CORP NOTE 6.000%10/1 902549AJ3 7493 3000000 PRN SOLE 3000000 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 9725 10250000 PRN SOLE 10250000 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 19878 15000000 PRN SOLE 15000000 VALE CAP II GTD CV 6.75%12 91912F201 13807 196175 SH SOLE 196175 VALE CAP II VALEP 6.75%12 91912F300 11982 170545 SH SOLE 170545 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 11635 13000000 PRN SOLE 13000000 WHITING PETE CORP NEW PERP PFD CONV 966387201 953 5000 SH SOLE 5000 XILINX INC SDCV 3.125% 3/1 983919AD3 5917 6500000 PRN SOLE 6500000
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