0001140361-12-025318.txt : 20120515 0001140361-12-025318.hdr.sgml : 20120515 20120515145420 ACCESSION NUMBER: 0001140361-12-025318 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120515 DATE AS OF CHANGE: 20120515 EFFECTIVENESS DATE: 20120515 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: 12843691 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: 3/31/2012 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 5/14/2012 --------------------------------- --------------------------------- ---------- [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: 121 Form 13F Information Table Value Total: $ 441,301 -------------- (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 --------------------------------- ---------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ---- ACCURAY INC COM 004397105 353 50000 SH PUT SOLE 50000 0 0 ACTUANT CORP SDCV 2.672%11/1 00508XAB0 13231 9078000 PRN SOLE 9078000 0 0 ALCOA INC COM 013817101 501 50000 SH PUT SOLE 50000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 2499 1500000 PRN SOLE 1500000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 6890 4254000 PRN SOLE 4254000 0 0 AMARIN CORP PLC SPONS ADR NEW 023111206 566 50000 SH PUT SOLE 50000 0 0 ANNALY CAP MGMT INC COM 035710409 1582 100000 SH PUT SOLE 100000 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 12555 10800000 PRN SOLE 10800000 0 0 APACHE CORP COM 037411105 1053 10488 SH SOLE 10488 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 511 51200 SH SOLE 51200 0 0 BANK OF AMERICA CORPORATION COM 060505104 2632 275000 SH CALL SOLE 275000 0 0 BANK OF AMERICA CORPORATION W EXP 10/28/201 060505153 110 105000 SH SOLE 105000 0 0 BARCLAYS BK PLC IPTH S&P VIX NEW 06740C261 470 28000 SH CALL SOLE 28000 0 0 BLUE WOLF MONGOLIA HOLDINGS *W EXP 07/20/201 G11962118 90 125100 SH SOLE 125100 0 0 BLUE WOLF MONGOLIA HOLDINGS SHS SHS G11962100 1217 125100 SH SOLE 125100 0 0 BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 3680 4000000 PRN SOLE 4000000 0 0 BROOKDALE SR LIVING INC COM 112463104 936 50000 SH PUT SOLE 50000 0 0 CADENCE DESIGN SYSTEM INC OTE 2.625% 6/0 127387AJ7 9476 5700000 PRN SOLE 5700000 0 0 CEMEX SAB DE CV SPON ADR NEW 151290889 807 104000 SH CALL SOLE 104000 0 0 CENVEO INC COM 15670S105 338 100000 SH CALL SOLE 100000 0 0 CHINA GROWTH EQUITY INV LTD SHS G2114K107 1203 125000 SH SOLE 125000 0 0 CHINA GROWTH EQUITY INV LTD *W EXP 99/99/999 G2114K123 56 113800 SH SOLE 113800 0 0 CHINA GROWTH EQUITY INV LTD SHS G2114K107 1201 125000 SH SOLE 125000 0 0 CHINA UNICOM (HONG KONG) LTD SPONSORED ADR 16945R104 528.046 31450 SH SOLE 31450 0 0 CITIGROUP INC COM NEW 172967424 3874 106000 SH CALL SOLE 106000 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 7751 75000 SH SOLE 75000 0 0 CITIGROUP INC W EXP 01/04/201 172967226 151 350000 SH SOLE 350000 0 0 CITIGROUP INC W EXP 10/28/201 172967234 13 150000 SH SOLE 150000 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 7760 4600000 PRN SOLE 4600000 0 0 CREDIT SUISSE NASSAU BRH INVRS VIX STERM 22542D795 258 21000 SH SOLE 21000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 4006 2500000 PRN SOLE 2500000 0 0 DENDREON CORP NOTE 2.875% 1/1 24823QAC1 3985 5000000 PRN SOLE 5000000 0 0 E M C CORP MASS COM 268648102 1195 40000 SH PUT SOLE 40000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 12579 6700000 PRN SOLE 6700000 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 3552 2500000 PRN SOLE 2500000 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 1525 32875 SH SOLE 32875 0 0 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% 29380T402 2 100 SH SOLE 100 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 3763 2500000 PRN SOLE 2500000 0 0 FIDELITY NATIONAL FINANCIAL CL A 31620R105 902 50000 SH PUT SOLE 50000 0 0 FORD MTR CO DEL W EXP 01/01/201 345370134 735 211090 SH SOLE 211090 0 0 GENERAL MTRS CO COM 37045V100 1867 72800 SH SOLE 72800 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 6892 5192000 PRN SOLE 5192000 0 0 GLOBAL EAGLE ACQUISITION COR COM 37951D102 1458 150000 SH SOLE 150000 0 0 GLOBAL EAGLE ACQUISITION COR W EXP 05/13/201 37951D110 47 96328 SH SOLE 96328 0 0 GOLAR LNG LTD BERMUDA SHS G9456A100 56 1467 SH SOLE 1467 0 0 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 5999 98218 SH SOLE 98218 0 0 GROUP 1 AUTOMOTIVE INC COM 398905109 843 15000 SH PUT SOLE 15000 0 0 GROUP 1 AUTOMOTIVE INC FRNT 2.250% 6/1 398905AE9 2208 2000000 PRN SOLE 2000000 0 0 HARTFORD FINL SVCS GROUP INC W EXP 06/26/201 416515120 333 25000 SH SOLE 25000 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 2075 2120000 PRN SOLE 2120000 0 0 HEALTH CARE REIT INC COM 42217K106 2748 50000 SH PUT SOLE 50000 0 0 HERCULES TECH GROWTH CAP INC COM 427096508 554 50000 SH PUT SOLE 50000 0 0 HICKS ACQUISITION CO II INC COM 429090103 1473 150000 SH SOLE 150000 0 0 HOME INNS & HOTELS MGMT INC NOTE 2.000%12/1 43713WAB3 5548 7300000 PRN SOLE 7300000 0 0 HOME INNS & HOTELS MGMT INC SPON ADR 43713W107 1520 2000000 PRN SOLE 2000000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 1202 1200000 PRN SOLE 1200000 0 0 ISHARES TR MSCI EAFE INDEX 464287465 1147 20900 SH CALL SOLE 20900 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 2880 3000000 PRN SOLE 3000000 0 0 JAMES RIVER COAL CO COM NEW 470355207 512 100000 SH PUT SOLE 100000 0 0 JETBLUE AIRWAYS CORP COM 477143101 245 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 7317 5750000 PRN SOLE 5750000 0 0 LAM RESEARCH CORP COM 512807108 411 9200 SH SOLE 9200 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 1089 866000 PRN SOLE 866000 0 0 LIONS GATE ENTMT INC NOTE 3.625% 3/1 53626YAA6 13475 7602000 PRN SOLE 7602000 0 0 LUCENT TECHNOLOGIES INC DBCV 2.750% 6/1 549463AH0 1164 1185000 PRN SOLE 1185000 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 15881 12000000 PRN SOLE 12000000 0 0 METLIFE INC COM 59156R108 859 23000 SH CALL SOLE 23000 0 0 METLIFE INC UNIT 99/99/9999 59156R116 4360 61883 SH SOLE 61883 0 0 MICROCHIP TECHNOLOGY INC COM 595017104 1860 50000 SH PUT SOLE 50000 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 26006 18879000 PRN SOLE 18879000 0 0 MICRON TECHNOLOGY INC COM 595112103 324 40000 SH CALL SOLE 40000 0 0 MICRON TECHNOLOGY INC COM 595112103 890 110000 SH PUT SOLE 110000 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 21106 11275000 PRN SOLE 11275000 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 3405 2500000 PRN SOLE 2500000 0 0 NATIONAL RETAIL PPTYS INC NOTE 3.950% 9/1 637417AA4 2847 2500000 PRN SOLE 2500000 0 0 NATIONAL RETAIL PPTYS INC NOTE 5.125% 6/1 637417AC0 7349 6565000 PRN SOLE 6565000 0 0 NAUTILUS MARINE ACQUISIT COR SHS Y6255E101 988 100000 SH SOLE 100000 0 0 NAUTILUS MARINE ACQUISIT COR *W EXP 06/17/201 Y6255E119 30 100000 SH SOLE 100000 0 0 NETAPP INC NOTE 1.750% 6/0 64110DAB0 3634 2500000 PRN SOLE 2500000 0 0 NEWS CORP CL B 65248E203 2496 125000 SH SOLE 125000 0 0 NUANCE COMMUNICATIONS INC COM 67020Y100 1110 43400 SH SOLE 43400 0 0 NUANCE COMMUNICATIONS INC DBCV 2.750% 8/1 67020YAB6 2918 2000000 PRN SOLE 2000000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AB1 1470 1500000 PRN SOLE 1500000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 6073 128522 SH SOLE 128522 0 0 PDL BIOPHARMA INC COM 69329Y104 954 150000 SH PUT SOLE 150000 0 0 PDL BIOPHARMA INC NOTE 3.750% 5/0 69329YAC8 12920 12400000 PRN SOLE 12400000 0 0 PDL BIOPHARMA INC OTE 2.875% 2/1 69329YAE4 5779 5200000 PRN SOLE 5200000 0 0 POWERSHARES QQQ TRUST UNIT SER 1 73935A104 1351 20000 SH PUT SOLE 20000 0 0 POWERWAVE TECHNOLOGIES INC COM NEW 739363307 103 50000 SH CALL SOLE 50000 0 0 PRIME ACQUISITION CORP SHS G72436101 352 36500 SH SOLE 36500 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 2745 250000 SH PUT SOLE 250000 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.250%12/1 74348TAC6 3549 3400000 PRN SOLE 3400000 0 0 RAMCO-GERSHENSON PPTYS TR COM SH BEN INT 751452202 331 27086 SH SOLE 27086 0 0 REGIS CORP MINN COM 758932107 922 50000 SH PUT SOLE 50000 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 1999 1500000 PRN SOLE 1500000 0 0 RESOLUTE ENERGY CORP W EXP 09/25/201 76116A116 158 108654 SH SOLE 108654 0 0 RETAIL OPPORTUNITY INVTS COR W EXP 10/23/201 76131N119 210 200000 SH SOLE 200000 0 0 ROI ACQUISITION CORP UNIT 99/99/9999 74966A203 2500 250000 SH SOLE 250000 0 0 SAKS INC COM 79377W108 2322 200000 SH PUT SOLE 200000 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 12654 11793000 PRN SOLE 11793000 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3147 2500000 PRN SOLE 2500000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 18806 10706000 PRN SOLE 10706000 0 0 SHIP FINANCE INTERNATIONAL L SHS G81075106 1773 115900 SH PUT SOLE 115900 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 2955 21000 SH SOLE 21000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 19573 139000 SH PUT SOLE 139000 0 0 STONE ENERGY CORP COM 861642106 1359 47532 SH SOLE 47532 0 0 SYNOVUS FINL CORP COM 87161C105 410 200000 SH CALL SOLE 200000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 4639 242872 SH SOLE 242872 0 0 TATA MTRS LTD SPONSORED ADR 876568502 5785 214500 SH PUT SOLE 214500 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 3720 3000000 PRN SOLE 3000000 0 0 TWO HBRS INVT CORP W EXP 11/07/201 90187B119 48 199500 SH SOLE 199500 0 0 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 10228 9641000 PRN SOLE 9641000 0 0 UNITED MICROELECTRONICS CORP SPON ADR NEW 910873405 82 33400 SH SOLE 33400 0 0 UNITED STATES NATL GAS FUND UNIT PAR $0.001 912318201 1592 100000 SH CALL SOLE 100000 0 0 UNIVERSAL CORP VA COM 913456109 911 19543 SH SOLE 19543 0 0 US AIRWAYS GROUP INC NOTE 7.250% 5/1 911905AC1 12218 6800000 PRN SOLE 6800000 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 1545 1000000 PRN SOLE 1000000 0 0 VIROPHARMA INC NOTE 2.000% 3/1 928241AH1 6413 3750000 PRN SOLE 3750000 0 0 WESTERN REFNG INC COM 959319104 471 25000 SH PUT SOLE 25000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 4720 2500000 PRN SOLE 2500000 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 --------------------------------- ---------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ---- XILINX INC SDCV 3.125% 3/1 983919AD3 10861 8550000 PRN SOLE 8550000 0 0