-----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, TJYPoUZMmzYQElqaBCzbqQwKS2c80j4tpShmqbVEuKyY4cRb+vK6NYb8wHsMHcLk mKSES9FYfDRLGjMEKOyVzw== 0001013594-07-000490.txt : 20071113 0001013594-07-000490.hdr.sgml : 20071112 20071113165043 ACCESSION NUMBER: 0001013594-07-000490 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20070930 FILED AS OF DATE: 20071113 DATE AS OF CHANGE: 20071113 EFFECTIVENESS DATE: 20071113 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: 071238970 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-111407.txt NOVEMBER 14, 2007 FORM 13F UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2007 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 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 this 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: Philip Platek Title: Authorized Signatory Phone: (203) 352-6100 Signature, Place, and Date of Signing: /s/ Philip Platek - -------------------------------------- (Signature) Stamford, Connecticut - -------------------------------------- (City, State) November 13, 2007 - -------------------------------------- (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. [ ] 13F COMBINATION REPORT. FORM 13F Summary Page Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 405 Form 13F Information Table Value Total: $1,972,466 (thousands) List of Other Included Managers: None. Name of Reporting Managers: Basso Capital Management, L.P. 13F Report For Quarter Ended 9/30/07
Item 1: Item 2: Item3: Item 4: Item 5: Item 6: Item 7: Item 8: Name of Issuer Title of Class CUSIP Fair Market Shares or Investment Other Voting Authority Value Principal Sh/ Put/ Discretion Managers (x $1000) Amount Prn Call (a) Sole (b) Shared (c) None ABERCROMBIE & FITCH CO CL A 002896207 4035 50000 SH SOLE 50000 ACCESS INTEGRATED TECHNLGS I CL A 004329108 2115 761893 SH SOLE 761893 ACE LTD ORD G0070K103 1211 20000 SH SOLE 20000 ACTUANT CORP SDCV 2.000%11/1 00508XAB0 4997 3000000 PRN SOLE 3000000 ACXIOM CORP COM 005125109 2728 137839 SH SOLE 137839 ADOBE SYS INC COM 00724F101 13 25000 SH CALL SOLE 25000 ADVANCED MICRO DEVICES INC COM 007903107 924 70000 SH SOLE 70000 ADVANCED MICRO DEVICES INC COM 007903107 660 50000 SH CALL SOLE 50000 ADVANCED TECHNOLOGY ACQU COR COM ADDED 007556103 864 117700 SH SOLE 117700 ADVANCED TECHNOLOGY ACQU COR W EXP 06/18/201 added 007556111 3 5300 SH SOLE 5300 AEROPOSTALE COM 007865108 10 50000 SH CALL SOLE 50000 AFFILIATED COMPUTER SERVICES CL A 008190100 1256 25000 SH SOLE 25000 AFLAC INC COM 001055102 1996 35000 SH SOLE 35000 AIRTRAN HLDGS INC COM 00949P108 1033 105000 SH SOLE 105000 ALCAN INC COM 013716105 4644 46400 SH SOLE 46400 ALDABRA 2 ACQUISITION CORP COM ADDED 01408A103 12395 1348700 SH SOLE 1348700 ALDABRA 2 ACQUISITION CORP W EXP 06/18/201 added 01408A111 320 213100 SH SOLE 213100 ALLIANCE DATA SYSTEMS CORP COM 018581108 4646 60000 SH SOLE 60000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 2861 2000000 PRN SOLE 2000000 ALLTEL CORP COM 020039103 15155 217500 SH SOLE 217500 ALPHA NATURAL RESOURCES INC COM 02076X102 3 50000 SH PUT SOLE 50000 ALTERNATIVE ASSET MGMT ACQU COM ADDED 02149U101 10052 1139700 SH SOLE 1139700 ALTERNATIVE ASSET MGMT ACQU W EXP 08/01/201 added 02149U119 383 425300 SH SOLE 425300 ALTERNATIVE ASSET MGMT ACQU UNIT 07/01/2012 ADDED 02149U200 249 25000 SH SOLE 25000 ALTRIA GROUP INC COM 02209S103 2899 41700 SH SOLE 41700 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 5568 87000 SH SOLE 87000 AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 10655 21375000 PRN SOLE 21375000 AMGEN INC COM 031162100 566 10000 SH SOLE 10000 AMR CORP COM 001765106 2229 100000 SH SOLE 100000 ANDREW CORP COM 034425108 6579 475000 SH SOLE 475000 ANNALY CAP MGMT INC COM 035710409 280 17600 SH SOLE 17600 ANNALY CAP MGMT INC COM 035710409 1593 100000 SH CALL SOLE 100000 AON CORP DBCV 3.500%11/1 037389AT0 53786 25804000 PRN SOLE 25804000 APEX BIOVENTURES ACQ CORP COM ADDED 03753Q105 2889 402300 SH SOLE 402300 APPLEBEES INTL INC COM 037899101 1244 50000 SH SOLE 50000 APPLIED MATLS INC COM 038222105 828 40000 SH SOLE 40000 ARCH COAL INC COM 039380100 1856 55000 SH SOLE 55000 ARCH COAL INC COM 039380100 2531 75000 SH CALL SOLE 75000 ARCHSTONE SMITH TR COM 039583109 4300 71500 SH SOLE 71500 ARIBA INC COM NEW 04033V203 35 100000 SH PUT SOLE 100000 ASSURANT INC COM 04621X108 1070 20000 SH SOLE 20000 AT&T INC COM 00206R102 423 10000 SH SOLE 10000 ATHEROS COMMUNICATIONS INC COM 04743P108 1499 50000 SH SOLE 50000 ATMEL CORP COM 049513104 258 50000 SH SOLE 50000 AUGUSTA RES CORP COM NEW 050912203 410 152700 SH SOLE 152700 AUTONATION INC COM 05329W102 3 25000 SH SOLE 25000 AVAYA INC COM 053499109 5029 296500 SH SOLE 296500 AVNET INC DBCV 2.000% 3/1 053807AL7 3200 2500000 PRN SOLE 2500000 BANK OF AMERICA CORPORATION COM 060505104 4022 80000 SH SOLE 80000 BERKLEY W R CORP COM 084423102 1482 50000 SH SOLE 50000 BEST BUY INC COM 086516101 1381 30000 SH SOLE 30000 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 17466 10000000 PRN SOLE 10000000 BLOCKBUSTER INC CL A 093679108 127 23600 SH SOLE 23600 BLOCKBUSTER INC CL A 093679108 537 100000 SH CALL SOLE 100000 BRISTOW GROUP INC PFD CNV 5.50% 110394400 2835 50000 SH SOLE 50000 BROOKDALE SR LIVING INC COM 112463104 1515 38050 SH SOLE 38050 CABLEVISION SYS CORP CL A NY CABLVS 12686C109 1398 40000 SH SOLE 40000 CADENCE DESIGN SYSTEM INC NOTE 8/1 127387AB4 14192 9950000 PRN SOLE 9950000 CAL DIVE INTL INC DEL COM 12802T101 1575 105000 SH SOLE 105000 CAPITAL ONE FINL CORP COM 14040H105 113 25000 SH CALL SOLE 25000 CARNIVAL CORP DBCV 2.000% 4/1 143658AN2 17598 14031000 PRN SOLE 14031000 CELGENE CORP NOTE 1.750% 6/0 151020AC8 10755 1827000 PRN SOLE 1827000 CEMEX SAB DE CV SPON ADR NEW 151290889 1325 44284 SH SOLE 44284 CERIDIAN CORP NEW COM 156779100 4516 130000 SH SOLE 130000 CHARMING SHOPPES INC COM 161133103 420 50000 SH SOLE 50000 CHARMING SHOPPES INC COM 161133103 420 50000 SH PUT SOLE 50000 CHARTER COMMUNICATIONS INC D NOTE 5.875%11/1 16117MAE7 3223 2500000 PRN SOLE 2500000 CHECKFREE CORP NEW COM 162813109 5517 118542 SH SOLE 118542 CHEESECAKE FACTORY INC COM 163072101 3584 152725 SH SOLE 152725 CHINA TECHFAITH WIRLS COMM T SPONSORED ADR 169424108 870 130000 SH SOLE 130000 CHURCH & DWIGHT INC DBCV 5.250% 8/1 171340AC6 5807 3750000 PRN SOLE 3750000 CHURCHILL VENTURES LTD COM 17157P109 5076 662600 SH SOLE 662600 CHURCHILL VENTURES LTD W EXP 03/01/201 17157P117 316 421700 SH SOLE 421700 CIRCUIT CITY STORE INC COM 172737108 368 46500 SH SOLE 46500 CIRCUIT CITY STORE INC COM 172737108 4192 530000 SH CALL SOLE 530000 CISCO SYS INC COM 17275R102 2319 70000 SH SOLE 70000 CITADEL BROADCASTING CORP NOTE 1.875% 2/1 17285TAB2 1230 1500000 PRN SOLE 1500000 CITIGROUP INC COM 172967101 5367 115000 SH SOLE 115000 CKE RESTAURANTS INC NOTE 4.000%10/0 12561EAG0 4065 2159000 PRN SOLE 2159000 CLEAN HARBORS INC COM 184496107 7256 198690 SH SOLE 198690 CLEAR CHANNEL COMMUNICATIONS COM 184502102 2055 54900 SH SOLE 54900 COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 4388 55000 SH SOLE 55000 COLUMBUS ACQUISITION CORP COM 198851107 4555 618100 SH SOLE 618100 COLUMBUS ACQUISITION CORP W EXP 05/18/201 198851115 276 325000 SH SOLE 325000 COMCAST CORP NEW CL A 20030N101 8740 361466 SH SOLE 361466 COMMSCOPE INC SDCV 1.000% 3/1 203372AD9 5822 2500000 PRN SOLE 2500000 COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 679 20000 SH SOLE 20000 COMPANHIA VALE DO RIO DOCE SPONSORED ADR 204412209 679 20000 SH PUT SOLE 20000 COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 12744 9529000 PRN SOLE 9529000 COMTECH GROUP INC COM NEW 205821200 1530 84000 SH SOLE 84000 CONSOL ENERGY INC COM 20854P109 1165 25000 SH SOLE 25000 CORNING INC COM 219350105 1972 80000 SH SOLE 80000 CORTEX PHARMACEUTICALS INC COM NEW 220524300 111 231667 SH SOLE 231667 CVS CAREMARK CORPORATION COM 126650100 991 25000 SH SOLE 25000 CYTRX CORP COM NEW 232828301 892 581504 SH SOLE 581504 DANAHER CORP DEL NOTE 1/2 235851AF9 18032 15000000 PRN SOLE 15000000 DEFINED STRATEGY FD INC COM 24476Y100 278 12757 SH SOLE 12757 DELCATH SYS INC COM 24661P104 29 50000 SH SOLE 50000 DELTA AIR LINES INC DEL COM NEW 247361702 2245 125096 SH SOLE 125096 DENNYS CORP COM 24869P104 2265 566289 SH SOLE 566289 DEVELOPERS DIVERSIFIED RLTY NOTE 3.500% 8/1 251591AQ6 12569 12500000 PRN SOLE 12500000 DICKS SPORTING GOODS INC NOTE 1.606% 2/1 253393AB8 5886 5000000 PRN SOLE 5000000 DILLARDS INC CL A 254067101 10 100000 SH CALL SOLE 100000 DIME BANCORP INC NEW W EXP 99/99/999 25429Q110 24 96600 SH SOLE 96600 DIRECTV GROUP INC COM 25459L106 1518 62500 SH SOLE 62500 DISCOVER FINL SVCS COM 254709108 2808 135000 SH SOLE 135000 DOBSON COMMUNICATIONS CORP CL A 256069105 5372 420000 SH SOLE 420000 DOBSON COMMUNICATIONS CORP SDCV 1.500%10/0 256069AG0 5299 4000000 PRN SOLE 4000000 DOLBY LABORATORIES INC COM 25659T107 871 25000 SH SOLE 25000 DOMINOS PIZZA INC COM 25754A201 1948 117400 SH SOLE 117400 DST SYS INC DEL DBCV 3.625% 8/1 233326AD9 3540 2000000 PRN SOLE 2000000 EDGE PETE CORP DEL COM 279862106 1926 150000 SH SOLE 150000 EDO CORP COM 281347104 1120 20000 SH SOLE 20000 EDWARDS LIFESCIENCES CORP DBCV 3.875% 5/1 28176EAB4 7125 6985000 PRN SOLE 6985000 ELECTRO ENERGY INC COM 285106100 1125 1125000 PRN SOLE 1125000 ELECTRO ENERGY INC COM 285106100 27 148856 SH SOLE 148856 ELECTRONICS FOR IMAGING INC DBCV 1.500% 6/0 286082AA0 2209 2000000 PRN SOLE 2000000 EMPRESAS ICA S A DE CV SPONS ADR NEW 292448206 600 25000 SH SOLE 25000 ENERGY INFRASTRUCTURE ACQUI COM 29269P109 665 67632 SH SOLE 67632 EQUITY INNS INC COM 294703103 4516 200000 SH SOLE 200000 EVERGREEN SOLAR INC NOTE 4.375% 7/0 30033RAB4 1130 860000 PRN SOLE 860000 EXPEDIA INC DEL W EXP 02/04/200 30212P121 9417 477289 SH SOLE 477289 F5 NETWORKS INC COM 315616102 1116 30000 SH SOLE 30000 FBR CAPITAL MARKETS CORP COM 30247C301 1552 119100 SH SOLE 119100 FEI CO NOTE 6/1 30241LAD1 3002 2500000 PRN SOLE 2500000 FIDELITY NATL INFORMATION SV COM 31620M106 1109 25000 SH SOLE 25000 FINANCIAL FED CORP DBCV 2.000% 4/1 317492AF3 5427 5003000 PRN SOLE 5003000 FIRST DATA CORP COM 319963104 7282 215500 SH PUT SOLE 215500 FLUOR CORP NEW NOTE 1.500% 2/1 343412AA0 79628 30983000 PRN SOLE 30983000 FORTRESS INVESTMENT GROUP LL CL A 34958B106 693 32500 SH SOLE 32500 FREEDOM ACQUISITION HLDGS IN COM 35645F103 818 72700 SH SOLE 72700 FREEPORT-MCMORAN COPPER & GO COM 35671D857 7511 71604 SH SOLE 71604 FREEPORT-MCMORAN COPPER & GO PFD CONV 35671D782 263 1701 SH SOLE 1701 FRONTIER AIRLINES HOLDINGS I COM 359059102 110 345055 SH SOLE 345055 GANNETT CO INC FRNT 7/1 ADDED 364725AG6 4969 5000000 PRN SOLE 5000000 GAP INC DEL COM 364760108 7099 385000 SH SOLE 385000 GAP INC DEL COM 364760108 1844 100000 SH CALL SOLE 100000 GENERAL DYNAMICS CORP COM 369550108 2112 25000 SH SOLE 25000 GENERAL ELECTRIC CO COM 369604103 1242 30000 SH SOLE 30000 GENERAL MTRS CORP SENIOR DEBEN D ADDED 370442691 7787 278200 SH SOLE 278200 GENESCO INC SDCV 4.125% 6/1 371532AN2 9825 4690000 PRN SOLE 4690000 GENEVA ACQUISITION CORP COM 37185Y104 438 78700 SH SOLE 78700 GLOBAL CROSSING LTD NOTE 5.000% 5/1 37932JAA1 11275 10135000 PRN SOLE 10135000 GOLDMAN SACHS GROUP INC COM 38141G104 31 11900 SH SOLE 11900 GRACE W R & CO DEL NEW COM 38388F108 1343 50000 SH SOLE 50000 GRANAHAN MCCOURT ACQ CORP COM 385034103 1596 206700 SH SOLE 206700 GRANAHAN MCCOURT ACQ CORP W EXP 10/18/201 385034111 68 90800 SH SOLE 90800 GREY WOLF INC NOTE 3.750% 5/0 397888AD0 13129 12045000 PRN SOLE 12045000 GRIFFON CORP NOTE 4.000% 7/1 398433AC6 5428 6000000 PRN SOLE 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