0001140361-11-053206.txt : 20111114 0001140361-11-053206.hdr.sgml : 20111111 20111114135904 ACCESSION NUMBER: 0001140361-11-053206 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110930 FILED AS OF DATE: 20111114 DATE AS OF CHANGE: 20111114 EFFECTIVENESS DATE: 20111114 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: 111200768 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 form13fhr.txt NONE UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: 9/30/2011 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 submission. Persons Signing this Report on Behalf of Reporting Manager: Name: Marc Seidenberg Title: General Counsel and Chief Compliance Officer Phone: (203) 352-6100 Signature, Place, and Date of Signing: /s/ Marc Seidenberg Stamford, Connecticut 11/14/2011 --------------------------------- --------------------------------- ---------- [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).) List of Other Managers Reporting for this Manager: Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 150 Form 13F Information Table Value Total: $ 490,243 -------------- (In Thousands) List of Other Included Managers: Provide a numbered list of the name(s) and 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. NONE

FORM 13F INFORMATION TABLE COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8 --------------------------------- ---------------- --------- -------- ------------------ ---------- -------- --------------------- VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE --------------------------------- ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- ACTUANT CORP SDCV 2.672%11/1 00508XAB0 5545 5078000 PRN SOLE 5078000 0 0 AFFILIATED MANAGERS GROUP COM 008252108 546 7000 SH SOLE 7000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 12 380 SH SOLE 380 0 0 ALCOA INC COM 013817101 11 1138 SH SOLE 1138 0 0 ALCOA INC COM 013817101 479 50000 SH PUT SOLE 50000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 11445 7000000 PRN SOLE 7000000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 3165 2500000 PRN SOLE 2500000 0 0 AMAZON COM INC COM 023135106 18 83 SH SOLE 83 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 17890 15650000 PRN SOLE 15650000 0 0 APACHE CORP COM 037411105 2106 26249 SH SOLE 26249 0 0 APPLE INC COM 037833100 18 46 SH SOLE 46 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 501 51200 SH SOLE 51200 0 0 AUTOLIV INC UNIT 99/99/9999 052800208 3660 55756 SH SOLE 55756 0 0 AUTONATION INC COM 05329W102 15 461 SH SOLE 461 0 0 BAKER HUGHES INC COM 057224107 10 226 SH SOLE 226 0 0 BANK OF AMERICA CORPORATION W EXP 10/28/201 060505153 146 175000 SH SOLE 175000 0 0 BARCLAYS BK PLC IPTH S&P VIX NEW 06740C261 11741 220000 SH PUT SOLE 220000 0 0 BEAZER HOMES USA INC COM 07556Q105 302 200000 SH CALL SOLE 200000 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 1464 169781 SH SOLE 169781 0 0 BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 250 27200 SH SOLE 27200 0 0 BIOMED REALTY TRUST INC COM 09063H107 414 25000 SH PUT SOLE 25000 0 0 BLUE WOLF MONGOLIA HOLDINGS *W EXP 7/20/201 G11962118 100 125100 SH SOLE 125100 0 0 BLUE WOLF MONGOLIA HOLDINGS SHS G11962100 1198 125100 SH SOLE 125100 0 0 BORGWARNER INC NOTE 3.500% 4/1 099724AF3 13771 7440000 PRN SOLE 7440000 0 0 BROOKDALE SR LIVING INC NOTE 2.750% 6/1 112463AA2 1511 2000000 PRN SOLE 2000000 0 0 CATERPILLAR INC DEL COM 149123101 12 161 SH SOLE 161 0 0 CBS CORP NEW CL B 124857202 13 617 SH SOLE 617 0 0 CEMEX SAB DE CV SPON ADR NEW 151290889 632 200000 SH CALL SOLE 200000 0 0 CEMEX SAB DE CV SPON ADR NEW 151290889 790 250000 SH PUT SOLE 250000 0 0 CEPHALON INC NOTE 2.000% 6/0 156708AP4 20962 12000000 PRN SOLE 12000000 0 0 CERNER CORP COM 156782104 19 282 SH SOLE 282 0 0 CHINA GROWTH EQUITY INV LTD SHS G2114K107 1186 125000 SH SOLE 125000 0 0 CHINA GROWTH EQUITY INV *W EXP 99/99/999 G2114K123 62 124600 SH SOLE 124600 0 0 CHIPOTLE MEXICAN GRILL INC COM 169656105 16 54 SH SOLE 54 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 2936 37000 SH SOLE 37000 0 0 CITIGROUP INC W EXP 10/28/201 172967234 12 150000 SH SOLE 150000 0 0 CLIFFS NATURAL RESOURCES INC COM 18683K101 9 178 SH SOLE 178 0 0 CMS ENERGY CORP NOTE 2.875%12/0 125896AW0 3888 2500000 PRN SOLE 2500000 0 0 COVANTA HLDG CORP COM 22282E102 760 50000 SH PUT SOLE 50000 0 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 3261 3000000 PRN SOLE 3000000 0 0 CREDIT SUISSE NASSAU BRH INVRS VIX STERM 22542D795 137 25000 SH SOLE 25000 0 0 DIGITAL RLTY TR INC COM 253868103 80 1454 SH SOLE 1454 0 0 DIRECTV COM CL A 25490A101 14 340 SH SOLE 340 0 0 E M C CORP MASS COM 268648102 735 35000 SH CALL SOLE 35000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 10152 7200000 PRN SOLE 7200000 0 0 EARTHLINK INC COM 270321102 196 30000 SH CALL SOLE 30000 0 0 EARTHLINK INC FRNT 3.250%11/1 270321AA0 7059 7050000 PRN SOLE 7050000 0 0 EDWARDS LIFESCIENCES CORP COM 28176E108 15 207 SH SOLE 207 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 11270 10000000 PRN SOLE 10000000 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 534 13700 SH PUT SOLE 13700 0 0 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% 29380T402 2 100 SH SOLE 100 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 1118 28675 SH SOLE 28675 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 3181 3500000 PRN SOLE 3500000 0 0 F5 NETWORKS INC COM 315616102 12 169 SH SOLE 169 0 0 FIRST SOLAR INC COM 336433107 9 144 SH SOLE 144 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 10 319 SH SOLE 319 0 0 FRONTLINE LTD SHS G3682E127 110 22708 SH SOLE 22708 0 0 GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 1485 2250000 PRN SOLE 2250000 0 0 GENCO SHIPPING & TRADING LTD SHS Y2685T107 781 100000 SH PUT SOLE 100000 0 0 GLOBAL EAGLE ACQUISITION COR COM 37951D102 1519 159900 SH SOLE 159900 0 0

FORM 13F INFORMATION TABLE COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8 --------------------------------- ---------------- --------- -------- ------------------ ---------- -------- --------------------- VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE --------------------------------- ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- GLOBAL EAGLE ACQUISITION COR W EXP 05/13/201 37951D110 70 93328 SH SOLE 93328 0 0 GLOBAL X FDS GLB X URANIUM 37950E754 24 3000 SH PUT SOLE 3000 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 10 1017 SH SOLE 1017 0 0 GREAT PLAINS ENERGY INC COM 391164100 772 40000 SH PUT SOLE 40000 0 0 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 4661 78062 SH SOLE 78062 0 0 HALLIBURTON CO COM 406216101 10 318 SH SOLE 318 0 0 HARMAN INTL INDS INC COM 413086109 11 393 SH SOLE 393 0 0 HARTFORD FINL SVCS GROUP INC W EXP 06/26/201 416515120 241 25000 SH SOLE 25000 0 0 HEALTH CARE REIT INC COM 42217K106 2340 50000 SH PUT SOLE 50000 0 0 HECKMANN CORP W EXP 11/09/201 422680116 26 258315 SH SOLE 258315 0 0 HOLOGIC INC FRNT 2.000%12/1 436440AA9 4240 4500000 PRN SOLE 4500000 0 0 HOME INNS & HOTELS MGMT INC SPON ADR 43713W107 515 20000 SH CALL SOLE 20000 0 0 HORSEHEAD HLDG CORP COM 440694305 371 50000 SH CALL SOLE 50000 0 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 13261 7500000 PRN SOLE 7500000 0 0 ISHARES INC MSCI HONG KONG 464286871 2866 200000 SH CALL SOLE 200000 0 0 ISHARES TR BARCLYS 20+ YR 464287432 6040 50000 SH PUT SOLE 50000 0 0 ISHARES TR FTSE CHINA25 IDX 464287184 6027 195500 SH CALL SOLE 195500 0 0 ISHARES TR MSCI EAFE INDEX 464287465 1854 38800 SH CALL SOLE 38800 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 1790 2000000 PRN SOLE 2000000 0 0 KINETIC CONCEPTS INC COM NEW 49460W208 659 10000 SH PUT SOLE 10000 0 0 KKR FINANCIAL HLDGS LLC COM 48248A306 186 25000 SH SOLE 25000 0 0 KKR FINANCIAL HLDGS LLC COM 48248A306 223 30000 SH PUT SOLE 30000 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 1853 1618000 PRN SOLE 1618000 0 0 LINCARE HLDGS INC COM 532791100 1125 50000 SH CALL SOLE 50000 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2325 2500000 PRN SOLE 2500000 0 0 MASTERCARD INC CL A 57636Q104 18 58 SH SOLE 58 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 25161 19335000 PRN SOLE 19335000 0 0 METLIFE INC UNIT 99/99/9999 59156R116 7946 140000 SH SOLE 140000 0 0 METROPCS COMMUNICATIONS INC COM 591708102 9 1064 SH SOLE 1064 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 30166 26079000 PRN SOLE 26079000 0 0 MICRON TECHNOLOGY INC COM 595112103 302 60000 SH CALL SOLE 60000 0 0 MICRON TECHNOLOGY INC COM 595112103 302 60000 SH PUT SOLE 60000 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 3334 7598000 PRN SOLE 7598000 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 8138 7065000 PRN SOLE 7065000 0 0 NAUTILUS MARINE ACQUISIT COR *W EXP 6/17/201 Y6255E119 40 100000 SH SOLE 100000 0 0 NAUTILUS MARINE ACQUISIT COR SHS Y6255E101 956 100000 SH SOLE 100000 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 2705 2224000 PRN SOLE 2224000 0 0 OCWEN FINL CORP COM NEW 675746309 661 50000 SH PUT SOLE 50000 0 0 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 5792 5200000 PRN SOLE 5200000 0 0 OLD REP INTL CORP COM 680223104 446 50000 SH CALL SOLE 50000 0 0 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 6146 6000000 PRN SOLE 6000000 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 13343 12000000 PRN SOLE 12000000 0 0 PDL BIOPHARMA INC COM 69329Y104 278 50000 SH PUT SOLE 50000 0 0 PDL BIOPHARMA INC NOTE 2.875% 2/1 69329YAA2 8419 8500000 PRN SOLE 8500000 0 0 PDL BIOPHARMA INC NOTE 3.750% 5/0 69329YAC8 11712 12350000 PRN SOLE 12350000 0 0 PHH CORP NOTE 4.000% 4/1 693320AH6 6958 7000000 PRN SOLE 7000000 0 0 PPL CORP COM 69351T106 1427 50000 SH PUT SOLE 50000 0 0 PRICELINE COM INC COM NEW 741503403 15 34 SH SOLE 34 0 0 PRIME ACQUISITION CORP SHS G72436101 349 36500 SH SOLE 36500 0 0 PROVIDENCE SVC CORP NOTE 6.500% 5/1 743815AB8 2960 3000000 PRN SOLE 3000000 0 0 RAMCO-GERSHENSON PPTYS TR COM SH BEN INT 751452202 16 2000 SH PUT SOLE 2000 0 0 RAMCO-GERSHENSON PPTYS TR PERP PFD-D CV 751452608 1094 29358 SH SOLE 29358 0 0 RED HAT INC COM 756577102 17 406 SH SOLE 406 0 0 RESOLUTE ENERGY CORP W EXP 09/25/201 76116A116 573 381974 SH SOLE 381974 0 0 SAKS INC COM 79377W108 1181 135000 SH PUT SOLE 135000 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 10352 10483000 PRN SOLE 10483000 0 0 SALESFORCE COM INC COM 79466L302 13 117 SH SOLE 117 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 21916 17006000 PRN SOLE 17006000 0 0 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 6496 550000 SH CALL SOLE 550000 0 0 SK TELECOM LTD SPONSORED ADR 78440P108 1234 100000000 PRN SOLE 100000000 0 0

FORM 13F INFORMATION TABLE COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8 --------------------------------- ---------------- --------- -------- ------------------ ---------- -------- --------------------- VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE --------------------------------- ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- SPDR S&P 500 ETF TR TR UNIT 78462F103 5658 50000 SH PUT SOLE 50000 0 0 SUNPOWER CORP DBCV 4.500% 3/1 867652AE9 2505 3000000 PRN SOLE 3000000 0 0 SUNPOWER CORP COM CL A 867652109 243 30000 SH CALL SOLE 30000 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 28 6000 SH CALL SOLE 6000 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 232 50000 SH PUT SOLE 50000 0 0 SYNNEX CORP NOTE 4.000% 5/1 87162WAB6 2023 1860000 PRN SOLE 1860000 0 0 SYNOVUS FINL CORP COM 87161C105 107 100000 SH CALL SOLE 100000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 4492 397872 SH SOLE 397872 0 0 TATA MTRS LTD SPONSORED ADR 876568502 3299 214500 SH PUT SOLE 214500 0 0 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 9777 9000000 PRN SOLE 9000000 0 0 TESORO CORP COM 881609101 15 745 SH SOLE 745 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 3025 2000000 PRN SOLE 2000000 0 0 TRINA SOLAR LIMITED NOTE 4.000% 7/1 89628EAA2 1238 2000000 PRN SOLE 2000000 0 0 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 18225 17113000 PRN SOLE 17113000 0 0 UNISYS CORP PFD SER A 6.25% 909214405 173 3200 SH SOLE 3200 0 0 UNITED MICROELECTRONICS CORP SPON ADR NEW 910873405 1722 2000000 PRN SOLE 2000000 0 0 UNITED MICROELECTRONICS CORP SPON ADR NEW 910873405 1082 566300 SH SOLE 566300 0 0 UNIVERSAL CORP VA COM 913456109 400 11143 SH SOLE 11143 0 0 URANIUM ENERGY CORP COM 916896103 33 12108 SH SOLE 12108 0 0 US AIRWAYS GROUP INC NOTE 7.250% 5/1 911905AC1 7054 5000000 PRN SOLE 5000000 0 0 VALE CAP II VALEP 6.75%12 91912F300 20439 303469 SH SOLE 303469 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 7519 5000000 PRN SOLE 5000000 0 0 VISA INC COM CL A 92826C839 17 200 SH SOLE 200 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 418 50000 SH CALL SOLE 50000 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 243 29100 SH PUT SOLE 29100 0 0 WHOLE FOODS MKT INC COM 966837106 18 272 SH SOLE 272 0 0 WILLIAMS COS INC DEL COM 969457100 14 578 SH SOLE 578 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 2500 2500000 PRN SOLE 2500000 0 0 WYNN RESORTS LTD COM 983134107 13 111 SH SOLE 111 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 16471 16450000 PRN SOLE 16450000 0 0