0001140361-13-020853.txt : 20130515
0001140361-13-020853.hdr.sgml : 20130515
20130515122216
ACCESSION NUMBER: 0001140361-13-020853
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20130331
FILED AS OF DATE: 20130515
DATE AS OF CHANGE: 20130515
EFFECTIVENESS DATE: 20130515
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: 13844989
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: 3/31/2013
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 5/15/2013
--------------------------------- --------------------------------- ----------
[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: 103
Form 13F Information Table Value Total: $ 599,168
--------------
(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
--------------------------------------- -------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ----
AFFYMETRIX INC NOTE 4.000% 00826TAH1 5219 5000000 PRN SOLE 5000000 0 0
7/0
AK STL HLDG CORP COM 001547108 166 50000 SH CALL SOLE 50000 0 0
ALLSTATE CORP COM 020002101 356 7250 SH SOLE 7250 0 0
AMARIN CORP PLC SPONS ADR NEW 023111206 1621 218800 SH SOLE 218800 0 0
ANNALY CAP MGMT INC NOTE 5.000% 035710AB8 6217 6000000 PRN SOLE 6000000 0 0
5/1
APOLLO INVT CORP COM 03761U106 530 63400 SH SOLE 63400 0 0
APPLE INC COM 037833100 89 200 SH SOLE 200 0 0
ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 977 75000 SH CALL SOLE 75000 0 0
ARCELORMITTAL SA LUXEMBOURG MAND CV NT CV NT 16 L0302D178 1569 75000 SH SOLE 75000 0 0
16
BANK OF AMERICA CORPORATION W EXP 060505153 67 92300 SH SOLE 92300 0 0
10/28/201
BARCLAYS BK PLC IPATH S&P500 VIX 06740C188 202 10000 SH CALL SOLE 10000 0 0
BARNES GROUP INC NOTE 3.375% 067806AD1 1091 1000000 PRN SOLE 1000000 0 0
3/1
BEAZER HOMES USA INC UNIT 07556Q709 6118 227507 SH SOLE 227507 0 0
99/99/9999
BIOMED REALTY TRUST INC COM 09063H107 1080 50000 SH PUT SOLE 50000 0 0
BLUE WOLF MONGOLIA HOLDINGS COM G11962100 1872 187360 SH SOLE 187360 0 0
BLUE WOLF MONGOLIA HOLDINGS W EXP G11962118 28 125100 SH SOLE 125100 0 0
07/20/201
BONANZA CREEK ENERGY INC COM 097793103 92 2375 SH SOLE 2375 0 0
BPZ RESOURCES INC MTNF 6.500% 055639AB4 1159 1450000 PRN SOLE 1450000 0 0
3/0
CADENCE DESIGN SYSTEM INC NOTE 2.625% 127387AJ7 9388 5000000 PRN SOLE 5000000 0 0
6/0
CALLAWAY GOLF CO COM 131193104 662 100000 SH PUT SOLE 100000 0 0
CASH AMER INTL INC COM 14754D100 262 5000 SH PUT SOLE 5000 0 0
CEMEX SAB DE CV SPON ADR NEW 151290889 610 50000 SH PUT SOLE 50000 0 0
CHART ACQUISITION CORP COM 161151105 2375 250000 SH SOLE 250000 0 0
CHART ACQUISITION CORP W EXP 161151113 160 250000 SH SOLE 250000 0 0
12/19/201
CITIGROUP INC COM NEW 172967424 4 98 SH SOLE 98 0 0
CITIGROUP INC W EXP 172967226 122 241500 SH SOLE 241500 0 0
01/04/201
CITIGROUP INC W EXP 172967234 9 115500 SH SOLE 115500 0 0
10/28/201
CLIFFS NAT RES INC COM 18683K101 475 25000 SH PUT SOLE 25000 0 0
COINSTAR INC NOTE 4.000% 19259PAF9 5434 3800000 PRN SOLE 3800000 0 0
9/0
COLLABRIUM JAPAN ACQUISITN C W EXP G2266G110 13 62611 SH SOLE 62611 0 0
99/99/999
COVANTA HLDG CORP COM 22282E102 1008 50000 SH PUT SOLE 50000 0 0
COVANTA HLDG CORP NOTE 3.250% 22282EAC6 10210 7850000 PRN SOLE 7850000 0 0
6/0
CUBIST PHARMACEUTICALS INC NOTE 229678AD9 6816 4000000 PRN SOLE 4000000 0 0
2.500%11/0
DDR CORP COM 23317H102 871 50000 SH PUT SOLE 50000 0 0
DENDREON CORP NOTE 2.875% 24823QAC1 2730 3500000 PRN SOLE 3500000 0 0
1/1
DEVELOPERS DIVERSIFIED RLTY NOTE 251591AX1 5938 5000000 PRN SOLE 5000000 0 0
1.750%11/1
ENCORE CAP GROUP INC NOTE 292554AC6 3403 3000000 PRN SOLE 3000000 0 0
3.000%11/2
ENDO HEALTH SOLUTIONS INC NOTE 1.750% 29264FAB2 2981 2500000 PRN SOLE 2500000 0 0
4/1
EPR PPTYS COM SH BEN INT 26884U109 1903 36569 SH SOLE 36569 0 0
EPR PPTYS PFD C CNV 5.75% 26884U208 563 25000 SH SOLE 25000 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
--------------------------------------- -------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ----
EQUINIX INC NOTE 29444UAG1 12548 6210000 PRN SOLE 6210000 0 0
3.000%10/1
EQUINIX INC NOTE 4.750% 29444UAH9 17918 6800000 PRN SOLE 6800000 0 0
6/1
GILEAD SCIENCES INC COM 375558103 1468 30000 SH PUT SOLE 30000 0 0
GILEAD SCIENCES INC NOTE 1.625% 375558AP8 43738 20150000 PRN SOLE 20150000 0 0
5/0
HARTFORD FINL SVCS GROUP INC W EXP 416515120 375 21943 SH SOLE 21943 0 0
06/26/201
HAWAIIAN HOLDINGS INC NOTE 5.000% 419879AD3 2101 1970000 PRN SOLE 1970000 0 0
3/1
HERCULES TECH GROWTH CAP INC NOTE 6.000% 427096AB8 4879 4492000 PRN SOLE 4492000 0 0
4/1
HYDE PK ACQUISITION CORP II COM 448640102 2575 250000 SH SOLE 250000 0 0
JETBLUE AIRWAYS CORP COM 477143101 690 100000 SH PUT SOLE 100000 0 0
JETBLUE AIRWAYS CORP DBCV 477143AG6 14396 8895000 PRN SOLE 8895000 0 0
6.750%10/1
KOHLBERG CAPITAL CORP NOTE 8.750% 500233AB7 6699 5051000 PRN SOLE 5051000 0 0
3/1
LIONS GATE ENTMT INC NOTE 3.625% 53626YAA6 42842 14831000 PRN SOLE 14831000 0 0
3/1
MASTEC INC NOTE 4.000% 576323AL3 4695 2500000 PRN SOLE 2500000 0 0
6/1
MATTRESS FIRM HLDG CORP COM 57722W106 117 3400 SH SOLE 3400 0 0
MEDIVATION INC COM 58501N101 1389 29700 SH SOLE 29700 0 0
MGIC INVT CORP WIS COM 552848103 173 35000 SH SOLE 35000 0 0
MGIC INVT CORP WIS COM 552848103 248 50000 SH PUT SOLE 50000 0 0
MICROCHIP TECHNOLOGY INC SDCV 595017AB0 24508 17210000 PRN SOLE 17210000 0 0
2.125%12/1
MICRON TECHNOLOGY INC COM 595112103 1996 200000 SH PUT SOLE 200000 0 0
MICRON TECHNOLOGY INC NOTE 1.500% 595112AQ6 7797 6700000 PRN SOLE 6700000 0 0
8/0
MICRON TECHNOLOGY INC D EBT 1.875% 6/0 595112AK9 2641 2500000 PRN SOLE 2500000 0 0
MYLAN INC NOTE 3.750% 628530AJ6 22313 10075000 PRN SOLE 10075000 0 0
9/1
NATIONAL FINL PARTNERS CORP NOTE 4.000% 63607PAC3 17372 9400000 PRN SOLE 9400000 0 0
6/1
NIKE INC CL B 654106103 696 11800 SH SOLE 11800 0 0
NUANCE COMMUNICATIONS INC COM 67020Y100 605 30000 SH PUT SOLE 30000 0 0
OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 13981 272588 SH SOLE 272588 0 0
OMNICARE INC NOTE 3.750% 681904AP3 8923 8000000 PRN SOLE 8000000 0 0
4/0
PDL BIOPHARMA INC NOTE 2.875% 69329YAE4 20469 15700000 PRN SOLE 15700000 0 0
2/1
PDL BIOPHARMA INC NOTE 3.750% 69329YAC8 4050 3350000 PRN SOLE 3350000 0 0
5/0
PRICELINE COM INC COM NEW 741503403 535 778 SH SOLE 778 0 0
PROSHARES TR PSHS ULPROSH NEW 74348A632 721 26200 SH SOLE 26200 0 0
REDWOOD TR INC OTE 4.625% 4/1 758075AB1 1158 1050000 PRN SOLE 1050000 0 0
ROI ACQUISITION CORP COM 74966A104 2473 250000 SH SOLE 250000 0 0
ROI ACQUISITION CORP W EXP 74966A112 198 247000 SH SOLE 247000 0 0
02/28/201
SAKS INC NOTE 2.000% 79377WAL2 3009 3000000 PRN SOLE 3000000 0 0
3/1
SALESFORCE COM INC NOTE 0.750% 79466LAB0 10521 5000000 PRN SOLE 5000000 0 0
1/1
SANCHEZ ENERGY CORP COM 79970Y105 498 25000 SH PUT SOLE 25000 0 0
SANDISK CORP COM 80004C101 1023 18600 SH SOLE 18600 0 0
SANOFI RIGHT 12/31/2020 80105N113 178 100000 SH SOLE 100000 0 0
SBA COMMUNICATIONS CORP NOTE 1.875% 78388JAN6 8613 5000000 PRN SOLE 5000000 0 0
5/0
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
--------------------------------------- -------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ----
SBA COMMUNICATIONS CORP NOTE 78388JAM8 9575 4000000 PRN SOLE 4000000 0 0
4.000%10/0
SCG FINL ACQUISITION CORP COM 78404K103 2994 300000 SH SOLE 300000 0 0
SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 6373 350000 SH PUT SOLE 350000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 4700 30000 SH SOLE 30000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 21934 140000 SH CALL SOLE 140000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 4700 30000 SH PUT SOLE 30000 0 0
SPX CORP COM 784635104 314 3975 SH SOLE 3975 0 0
STARWOOD PPTY TR INC OTE 4.550% 3/0 85571BAA3 2197 2000000 PRN SOLE 2000000 0 0
SYMANTEC CORP NOTE 1.000% 871503AF5 6453 5001000 PRN SOLE 5001000 0 0
6/1
TAKE-TWO INTERACTIVE SOFTWAR NOTE 4.375% 874054AA7 3088 2000000 PRN SOLE 2000000 0 0
6/0
THERAVANCE INC OTE 2.125% 1/1 88338TAB0 1640 1500000 PRN SOLE 1500000 0 0
TICC CAPITAL CORP COM 87244T109 994 100000 SH PUT SOLE 100000 0 0
TRAVELERS COMPANIES INC COM 89417E109 354 4200 SH SOLE 4200 0 0
TRIO MERGER CORP COM 896697109 1767 175100 SH SOLE 175100 0 0
UNITED MICROELECTRONICS CORP SPON ADR NEW 910873405 309 171600 SH SOLE 171600 0 0
UNIVERSAL CORP VA COM 913456109 145 2588 SH SOLE 2588 0 0
US AIRWAYS GROUP INC NOTE 7.250% 911905AC1 42278 11388000 PRN SOLE 11388000 0 0
5/1
VERISIGN INC SDCV 3.250% 92343EAD4 15006 10135000 PRN SOLE 10135000 0 0
8/1
VIRGIN MEDIA INC NOTE 92769LAB7 17074 6500000 PRN SOLE 6500000 0 0
6.500%11/1
VISHAY INTERTECHNOLOGY INC COM 928298108 2722 200000 SH PUT SOLE 200000 0 0
WESCO INTL INC DBCV 6.000% 95082PAH8 32663 12440000 PRN SOLE 12440000 0 0
9/1
WESTERN REFNG INC NOTE 5.750% 959319AC8 26230 7200000 PRN SOLE 7200000 0 0
6/1
ZIONS BANCORPORATION W EXP 989701131 145 50000 SH SOLE 50000 0 0
11/14/201