0001140361-13-008865.txt : 20130222 0001140361-13-008865.hdr.sgml : 20130222 20130222143743 ACCESSION NUMBER: 0001140361-13-008865 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20121231 FILED AS OF DATE: 20130222 DATE AS OF CHANGE: 20130222 EFFECTIVENESS DATE: 20130222 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/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-10896 FILM NUMBER: 13633798 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR/A 1 form13fhra.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: 12/31/2012 Check here if Amendment [X]; Amendment Number: 1 ------- This Amendment (Check only one.): [X] 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 2/22/2013 --------------------------------- --------------------------------- ---------- [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: 117 Form 13F Information Table Value Total: $ 600,238 -------------- (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 ---------------------------- ---------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ---- ADVANCED MICRO DEVICES INC COM 007903107 480 200000 SH CALL SOLE 200000 0 0 AFFYMETRIX INC NOTE 4.000% 7/0 00826TAH1 4879 6000000 PRN SOLE 6000000 0 0 AK STL CORP NOTE 5.000%11/1 001546AP5 2248 2000000 PRN SOLE 2000000 0 0 ALCOA INC COM 013817101 1736 200000 SH CALL SOLE 200000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 3776 2054000 PRN SOLE 2054000 0 0 AMARIN CORP PLC SPONS ADR NEW 023111206 1730 213800 SH SOLE 213800 0 0 AMARIN CORP PLC SPONS ADR NEW 023111206 405 50000 SH CALL SOLE 50000 0 0 ANNALY CAP MGMT INC NOTE 5.000% 5/1 035710AB8 8080 8000000 PRN SOLE 8000000 0 0 APOLLO INVT CORP COM 03761U106 530 63400 SH SOLE 63400 0 0 APPLE INC COM 037833100 107 200 SH SOLE 200 0 0 ARES CAP CORP COM 04010L103 1750 100000 SH PUT SOLE 100000 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 2140 2000000 PRN SOLE 2000000 0 0 BANK OF AMERICA CORPORATION W EXP 10/28/201 060505153 71 92300 SH SOLE 92300 0 0 BARCLAYS BK PLC IPATH S&P500 VIX 06740C188 1145 36000 SH CALL SOLE 36000 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q709 6072 214114 SH SOLE 214114 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 20458 8291000 PRN SOLE 8291000 0 0 BLUE WOLF MONGOLIA HOLDINGS SHS G11962100 1862 187360 SH SOLE 187360 0 0 BLUE WOLF MONGOLIA HOLDINGS *W EXP 07/20/201 G11962118 28 125100 SH SOLE 125100 0 0 BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 3185.875 3850000 PRN SOLE 3850000 0 0 BPZ RESOURCES INC COM 055639108 158 50000 SH CALL SOLE 50000 0 0 BROOKDALE SR LIVING INC COM 112463104 517 20400 SH SOLE 20400 0 0 CADENCE DESIGN SYSTEM INC NOTE 2.625% 6/0 127387AJ7 9181 5000000 PRN SOLE 5000000 0 0 CAL DIVE INTL INC DEL COM 12802T101 239 138000 SH CALL SOLE 138000 0 0 CALLAWAY GOLF CO COM 131193104 650 100000 SH PUT SOLE 100000 0 0 CEMEX SAB DE CV NOTE 3.250% 3/1 151290BB8 2835 2500000 PRN SOLE 2500000 0 0 CEMEX SAB DE CV SPON ADR NEW 151290889 987 100000 SH PUT SOLE 100000 0 0 CHART ACQUISITION CORP UNIT 99/99/9999 161151204 2500 250000 SH SOLE 250000 0 0 CHART INDS INC COM PAR $0.01 16115Q308 1067 16000 SH SOLE 16000 0 0 CHINA GROWTH EQUITY INV LTD SHS G2114K107 1254 125000 SH SOLE 125000 0 0 CITIGROUP INC COM NEW 172967424 4 98 SH SOLE 98 0 0 CITIGROUP INC W EXP 01/04/201 172967226 101 241500 SH SOLE 241500 0 0 CITIGROUP INC W EXP 10/28/201 172967234 6 115500 SH SOLE 115500 0 0 COBALT INTL ENERGY INC NOTE 2.625%12/0 19075FAA4 4034 4000000 PRN SOLE 4000000 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 6762 4800000 PRN SOLE 4800000 0 0 COLLABRIUM JAPAN ACQUISITN C W EXP 99/99/999 G2266G110 15 62611 SH SOLE 62611 0 0 COVANTA HLDG CORP COM 22282E102 921 50000 SH PUT SOLE 50000 0 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 7909 6500000 PRN SOLE 6500000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 12942 8250000 PRN SOLE 8250000 0 0 DENDREON CORP NOTE 2.875% 1/1 24823QAC1 2951 4000000 PRN SOLE 4000000 0 0 E M C CORP MASS COM 268648102 633 25000 SH PUT SOLE 25000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 6385 4000000 PRN SOLE 4000000 0 0 ENCORE CAP GROUP INC NOTE 3.000%11/2 292554AC6 5544 5000000 PRN SOLE 5000000 0 0 ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 7692 7000000 PRN SOLE 7000000 0 0 EPR PPTYS PFD C CNV 5.75% 26884U208 541 25000 SH SOLE 25000 0 0 EPR PPTYS COM SH BEN INT 26884U109 1686 36569 SH SOLE 36569 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 18949 9710000 PRN SOLE 9710000 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 22286 8800000 PRN SOLE 8800000 0 0 GENESEE & WYO INC UNIT 10/01/2015 371559204 2800 25000 SH SOLE 25000 0 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 34432 21000000 PRN SOLE 21000000 0 0 GILEAD SCIENCES INC NOTE 1.625% 5/0 375558AP8 6745 4000000 PRN SOLE 4000000 0 0 GLOBAL EAGLE ACQUISITION COR COM 37951D102 2474 248421 SH SOLE 248421 0 0 GLOBAL EAGLE ACQUISITION COR W EXP 05/13/201 37951D110 67 96328 SH SOLE 96328 0 0 HARTFORD FINL SVCS GROUP INC W EXP 06/26/201 416515120 296 21943 SH SOLE 21943 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 4417 3970000 PRN SOLE 3970000 0 0 HEALTH CARE REIT INC COM 42217K106 3065 50000 SH PUT SOLE 50000 0 0 HERCULES TECH GROWTH CAP INC NOTE 6.000% 4/1 427096AB8 4644 4492000 PRN SOLE 4492000 0 0 HORNBECK OFFSHORE SVCS INC N COM 440543106 405 11800 SH SOLE 11800 0 0 HYDE PK ACQUISITION CORP II COM 448640102 2558 250000 SH SOLE 250000 0 0 INTEL CORP COM 458140100 1031 50000 SH CALL SOLE 50000 0 0 JETBLUE AIRWAYS CORP COM 477143101 286 50000 SH PUT SOLE 50000 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 ---------------------------- ---------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ---- JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AG6 11139 7895000 PRN SOLE 7895000 0 0 KOHLBERG CAPITAL CORP NOTE 8.750% 3/1 500233AB7 3494 3006000 PRN SOLE 3006000 0 0 LIONS GATE ENTMT INC NOTE 3.625% 3/1 53626YAA6 29996 14831000 PRN SOLE 14831000 0 0 MEDIVATION INC COM 58501N101 1320 25800 SH SOLE 25800 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 5015 5000000 PRN SOLE 5000000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 22808 18030000 PRN SOLE 18030000 0 0 MICRON TECHNOLOGY INC COM 595112103 634 100000 SH CALL SOLE 100000 0 0 MICRON TECHNOLOGY INC NOTE 1.500% 8/0 595112AQ6 5996 6500000 PRN SOLE 6500000 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 23521 11075000 PRN SOLE 11075000 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 16950 11400000 PRN SOLE 11400000 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 2275 2500000 PRN SOLE 2500000 0 0 NEXTERA ENERGY INC COM 65339F101 48 700 SH SOLE 700 0 0 NUANCE COMMUNICATIONS INC COM 67020Y100 933 41800 SH SOLE 41800 0 0 NUANCE COMMUNICATIONS INC COM 67020Y100 670 30000 SH PUT SOLE 30000 0 0 OMNICARE INC NOTE 3.750% 4/0 681904AP3 14378 14200000 PRN SOLE 14200000 0 0 PDL BIOPHARMA INC COM 69329Y104 705 100000 SH PUT SOLE 100000 0 0 PDL BIOPHARMA INC NOTE 2.875% 2/1 69329YAE4 16081 12700000 PRN SOLE 12700000 0 0 PDL BIOPHARMA INC NOTE 3.750% 5/0 69329YAC8 7430 6350000 PRN SOLE 6350000 0 0 POWERWAVE TECHNOLOGIES INC NOTE 3.875% 10/0 739363AF6 120 3000000 PRN SOLE 3000000 0 0 PPL CORP UNIT 99/99/9999 69351T601 525 10000 SH SOLE 10000 0 0 PRICELINE COM INC COM NEW 741503403 808 1300 SH SOLE 1300 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 1087 100000 SH PUT SOLE 100000 0 0 RAMCO-GERSHENSON PPTYS TR COM SH BEN INT 751452202 198 14882 SH SOLE 14882 0 0 RETAIL OPPORTUNITY INVTS COR W EXP 10/23/201 76131N119 158 177769 SH SOLE 177769 0 0 ROI ACQUISITION CORP COM 74966A104 2438 250000 SH SOLE 250000 0 0 ROI ACQUISITION CORP W EXP 02/28/201 74966A112 100 250000 SH SOLE 250000 0 0 SAKS INC COM 79377W108 788 75000 SH PUT SOLE 75000 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 9194 8943000 PRN SOLE 8943000 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 10006 5000000 PRN SOLE 5000000 0 0 SANDISK CORP COM 80004C101 1350 31000 SH SOLE 31000 0 0 SANOFI RIGHT 12/31/2020 80105N113 171 100000 SH SOLE 100000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 7513 4400000 PRN SOLE 4400000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 17998 7596000 PRN SOLE 7596000 0 0 SCG FINL ACQUISITION CORP COM 78404K103 2974 300000 SH SOLE 300000 0 0 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 6556 400000 SH CALL SOLE 400000 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 6984 200000 SH CALL SOLE 200000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 4276 30000 SH SOLE 30000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 2848 20000 SH PUT SOLE 20000 0 0 SWIFT TRANSN CO CL A 87074U101 912 100000 SH CALL SOLE 100000 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 4854 4500000 PRN SOLE 4500000 0 0 SYNOVUS FINL CORP COM 87161C105 225 92000 SH CALL SOLE 92000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 2182 99872 SH SOLE 99872 0 0 TATA MTRS LTD SPONSORED ADR 876568502 1875 65300 SH PUT SOLE 65300 0 0 TERADYNE INC NOTE 4.500% 3/1 880770AE2 7756 2500000 PRN SOLE 2500000 0 0 TICC CAPITAL CORP COM 87244T109 506 50000 SH PUT SOLE 50000 0 0 TRIO MERGER CORP COM 896697109 1735 175100 SH SOLE 175100 0 0 UNITED MICROELECTRONICS CORP SPON ADR NEW 910873405 341 171600 SH SOLE 171600 0 0 UNIVERSAL CORP VA COM 913456109 329 6588 SH SOLE 6588 0 0 US AIRWAYS GROUP INC NOTE 7.250% 5/1 911905AC1 34238 11370000 PRN SOLE 11370000 0 0 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 10988 8635000 PRN SOLE 8635000 0 0 VIRGIN MEDIA INC COM 92769L101 2021 55000 SH PUT SOLE 55000 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 15441 7500000 PRN SOLE 7500000 0 0 WELLPOINT INC COM 94973V107 1828 30000 SH CALL SOLE 30000 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 26727 10788000 PRN SOLE 10788000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 5850 2000000 PRN SOLE 2000000 0 0 ZAZA ENERGY CORP COM 98919T100 205 100000 SH CALL SOLE 100000 0 0 ZIONS BANCORPORATION W EXP 11/14/201 989701131 91 50000 SH SOLE 50000 0 0