0001140361-12-047054.txt : 20121114 0001140361-12-047054.hdr.sgml : 20121114 20121114112444 ACCESSION NUMBER: 0001140361-12-047054 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120930 FILED AS OF DATE: 20121114 DATE AS OF CHANGE: 20121114 EFFECTIVENESS DATE: 20121114 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: 121201968 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: 9/30/2012 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 11/14/2012 --------------------------------- --------------------------------- ---------- [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: 126 Form 13F Information Table Value Total: $ 532,722 -------------- (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% 7/0 00826TAH1 5299 5500000 PRN SOLE 5500000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 3726 2054000 PRN SOLE 2054000 0 0 ANDINA ACQUISITION CORP COM G0440W100 1064 109475 SH SOLE 109475 0 0 ANDINA ACQUISITION CORP *W EXP 99/99/999 G0440W126 27 109475 SH SOLE 109475 0 0 ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 5313 5000000 PRN SOLE 5000000 0 0 ANIXTER INTL INC NOTE 1.000% 2/1 035290AJ4 2168 2000000 PRN SOLE 2000000 0 0 ANNALY CAP MGMT INC COM 035710409 1603 95200 SH PUT SOLE 95200 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 12331 9700000 PRN SOLE 9700000 0 0 ANNALY CAP MGMT INC NOTE 5.000% 5/1 035710AB8 8684 8500000 PRN SOLE 8500000 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 2088 2000000 PRN SOLE 2000000 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 1025 101300 SH SOLE 101300 0 0 BANK OF AMERICA CORPORATION W EXP 10/28/201 060505153 75 105000 SH SOLE 105000 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q709 4240 143937 SH SOLE 143937 0 0 BGS ACQUISITION CORP SH G1082J100 1847 188500 SH SOLE 188500 0 0 BGS ACQUISITION CORP *W EXP 03/21/201 G1082J118 32 188500 SH SOLE 188500 0 0 BIOMARIN PHARMACEUTICAL INC NOTE 1.875% 4/2 09061GAD3 5203 2500000 PRN SOLE 2500000 0 0 BLUE WOLF MONGOLIA HOLDINGS SHS G11962100 1840 187360 SH SOLE 187360 0 0 BLUE WOLF MONGOLIA HOLDINGS *W EXP 07/20/201 G11962118 53 125100 SH SOLE 125100 0 0 BPZ RESOURCES INC COM 055639108 286 100000 SH PUT SOLE 100000 0 0 BPZ RESOURCES INC MTNF 6.500% 3/0 055639AB4 2303 3000000 PRN SOLE 3000000 0 0 BROOKDALE SR LIVING INC COM 112463104 485 20900 SH SOLE 20900 0 0 CADENCE DESIGN SYSTEM INC NOTE 2.625% 6/0 127387AJ7 9756 5500000 PRN SOLE 5500000 0 0 CAL DIVE INTL INC DEL COM 12802T101 211 138000 SH CALL SOLE 138000 0 0 CAZADOR ACQUISITION CORP SHS G19867102 607 60845 SH SOLE 60845 0 0 CEMEX SAB DE CV NOTE 3.250% 3/1 151290BB8 4445 4500000 PRN SOLE 4500000 0 0 CEMEX SAB DE CV SPON ADR NEW 151290889 797 95680 SH CALL SOLE 95680 0 0 CHART INDS INC COM PAR $0.01 16115Q308 1278 17300 SH SOLE 17300 0 0 CHINA GROWTH EQUITY INV LTD SHS G2114K107 1256 125000 SH SOLE 125000 0 0 CHINA GROWTH EQUITY INV LTD *W EXP 04/05/201 G2114K123 27 113800 SH SOLE 113800 0 0 CHIQUITA BRANDS INTL INC NOTE 4.250% 8/1 170032AT3 1523 1750000 PRN SOLE 1750000 0 0 CITIGROUP INC COM NEW 172967424 1669 51000 SH CALL SOLE 51000 0 0 CITIGROUP INC W EXP 01/04/201 172967226 130 350000 SH SOLE 350000 0 0 CITIGROUP INC W EXP 10/28/201 172967234 8 150000 SH SOLE 150000 0 0 COINSTAR INC NOTE 4.000% 9/0 19259PAF9 6236 4800000 PRN SOLE 4800000 0 0 COVANTA HLDG CORP COM 22282E102 858 50000 SH PUT SOLE 50000 0 0 COVANTA HLDG CORP NOTE 3.250% 6/0 22282EAC6 6428 5500000 PRN SOLE 5500000 0 0 CREDIT SUISSE NASSAU BRH INVRS VIX STERM 22542D795 170 10000 SH SOLE 10000 0 0 CREDIT SUISSE NASSAU BRH VIX SHT TRM FT 22542D761 208 137000 SH SOLE 137000 0 0 CUBIST PHARMACEUTICALS INC NOTE 2.500%11/0 229678AD9 20930 12000000 PRN SOLE 12000000 0 0 DENDREON CORP NOTE 2.875% 1/1 24823QAC1 3630 5500000 PRN SOLE 5500000 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 6351 3700000 PRN SOLE 3700000 0 0 ENDO HEALTH SOLUTIONS INC NOTE 1.750% 4/1 29264FAB2 9169 7500000 PRN SOLE 7500000 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 1936 43569 SH SOLE 43569 0 0 EQUINIX INC NOTE 3.000%10/1 29444UAG1 18668 9500000 PRN SOLE 9500000 0 0 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 20325 8000000 PRN SOLE 8000000 0 0 FORD MTR CO DEL W EXP 01/01/201 345370134 78 76090 SH SOLE 76090 0 0 GILEAD SCIENCES INC NOTE 1.000% 5/0 375558AN3 25238 16767000 PRN SOLE 16767000 0 0 GLOBAL EAGLE ACQUISITION COR COM 37951D102 1990 200000 SH SOLE 200000 0 0 GLOBAL EAGLE ACQUISITION COR W EXP 05/13/201 37951D110 30 96328 SH SOLE 96328 0 0 GOLAR LNG LTD SHS G9456A100 33 860 SH SOLE 860 0 0 HARTFORD FINL SVCS GROUP INC W EXP 06/26/201 416515120 279 25000 SH SOLE 25000 0 0 HAWAIIAN HOLDINGS INC NOTE 5.000% 3/1 419879AD3 2446 2370000 PRN SOLE 2370000 0 0 HEALTH CARE REIT INC COM 42217K106 8430 146000 SH PUT SOLE 146000 0 0 HERCULES TECH GROWTH CAP INC NOTE 6.000% 4/1 427096AB8 3071 3000000 PRN SOLE 3000000 0 0 HORSEHEAD HLDG CORP COM 440694305 468 50000 SH PUT SOLE 50000 0 0 HYDE PK ACQUISITION CORP II COM 448640102 2513 250000 SH SOLE 250000 0 0 ISHARES TR RUSSELL 2000 464287655 4172 50000 SH PUT SOLE 50000 0 0 JAMES RIVER COAL CO NOTE 3.125% 3/1 470355AH1 309 1000000 PRN SOLE 1000000 0 0 JETBLUE AIRWAYS CORP COM 477143101 240 50000 SH CALL SOLE 50000 0 0 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AG6 9561 7495000 PRN SOLE 7495000 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 --------------------------------- ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- KOHLBERG CAPITAL CORP NOTE 8.750% 3/1 500233AB7 3003 2623000 PRN SOLE 2623000 0 0 LAM RESEARCH CORP COM 512807108 585 18400 SH SOLE 18400 0 0 LINEAR TECHNOLOGY CORP NOTE 3.000% 5/0 535678AC0 2080 2000000 PRN SOLE 2000000 0 0 LIONS GATE ENTMT INC NOTE 3.625% 3/1 53626YAA6 30380 16031000 PRN SOLE 16031000 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 17085 11500000 PRN SOLE 11500000 0 0 MEDIVATION INC COM 58501N101 1228 21800 SH SOLE 21800 0 0 MEDTRONIC INC NOTE 1.625% 4/1 585055AM8 1512 1500000 PRN SOLE 1500000 0 0 METLIFE INC UNIT 99/99/9999 59156R116 61 883 SH SOLE 883 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 17660 14030000 PRN SOLE 14030000 0 0 MICRON TECHNOLOGY INC COM 595112103 598 100000 SH CALL SOLE 100000 0 0 MICRON TECHNOLOGY INC OTE 1.500% 8/0 595112AQ6 6704 7500000 PRN SOLE 7500000 0 0 MOLYCORP INC DEL COM 608753109 575 50000 SH PUT SOLE 50000 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 9716 5075000 PRN SOLE 5075000 0 0 NATIONAL FINL PARTNERS CORP NOTE 4.000% 6/1 63607PAC3 11239 7600000 PRN SOLE 7600000 0 0 NAUTILUS MARINE ACQUISITION CORP SHS Y6255E101 1030 103450 SH SOLE 103450 0 0 NAUTILUS MARINE ACQUISITION CORP *W EXP 06/17/201 Y6255E119 20 100000 SH SOLE 100000 0 0 NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 5103 5750000 PRN SOLE 5750000 0 0 NEXTERA ENERGY INC COM 65339F101 49 700 SH SOLE 700 0 0 NOVELLUS SYS INC NOTE 2.625% 5/1 670008AD3 9525 8600000 PRN SOLE 8600000 0 0 NUANCE COMMUNICATIONS INC COM 67020Y100 1080 43400 SH SOLE 43400 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 3092 66575 SH SOLE 66575 0 0 OMNICARE INC NOTE 3.750% 4/0 681904AP3 12903 13200000 PRN SOLE 13200000 0 0 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 3138 3000000 PRN SOLE 3000000 0 0 PDL BIOPHARMA INC COM 69329Y104 1155 150000 SH PUT SOLE 150000 0 0 PDL BIOPHARMA INC NOTE 2.875% 2/1 69329YAE4 13167 9900000 PRN SOLE 9900000 0 0 PDL BIOPHARMA INC NOTE 3.750% 5/0 69329YAC8 12447 10150000 PRN SOLE 10150000 0 0 POWERSHARES QQQ TRUST UNIT SER 1 73935A104 3154 46000 SH PUT SOLE 46000 0 0 POWERWAVE TECHNOLOGIES INC COM NEW 739363307 372 1000000 PRN SOLE 1000000 0 0 PRIME ACQUISITION CORP SHS G72436101 360 36500 SH SOLE 36500 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 1184 102800 SH PUT SOLE 102800 0 0 PROSPECT CAPITAL CORPORATION NOTE 6.250%12/1 74348TAC6 1605 1500000 PRN SOLE 1500000 0 0 RAMCO-GERSHENSON PPTYS TR COM SH BEN INT 751452202 185 14782 SH SOLE 14782 0 0 RETAIL OPPORTUNITY INVTS COR W EXP 10/23/201 76131N119 89 85000 SH SOLE 85000 0 0 ROI ACQUISITION CORP COM 74966A104 2413 250000 SH SOLE 250000 0 0 ROI ACQUISITION CORP W EXP 02/28/201 74966A112 93 250000 SH SOLE 250000 0 0 SAKS INC COM 79377W108 2578 250000 SH PUT SOLE 250000 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 12376 11943000 PRN SOLE 11943000 0 0 SALESFORCE COM INC NOTE 0.750% 1/1 79466LAB0 3718 2000000 PRN SOLE 2000000 0 0 SANOFI RIGHT 12/31/2020 80105N113 81 48500 SH SOLE 48500 0 0 SBA COMMUNICATIONS CORP NOTE 1.875% 5/0 78388JAN6 3654 2400000 PRN SOLE 2400000 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 28807 13596000 PRN SOLE 13596000 0 0 SCG FINL ACQUISITION CORP COM 78404K103 2949 300000 SH SOLE 300000 0 0 SEQUENOM INC COM NEW 817337405 71 20000 SH SOLE 20000 0 0 SEQUENOM INC COM NEW 817337405 177 50000 SH PUT SOLE 50000 0 0 SK TELECOM LTD SPONSORED ADR 78440P108 2603 200000000 PRN SOLE 200000000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 2879 20000 SH SOLE 20000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 2160 15000 SH CALL SOLE 15000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 1583 11000 SH PUT SOLE 11000 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 714 50000 SH PUT SOLE 50000 0 0 SYMANTEC CORP NOTE 1.000% 6/1 871503AF5 3798 3500000 PRN SOLE 3500000 0 0 SYNOVUS FINL CORP COM 87161C105 382 161000 SH CALL SOLE 161000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 3079 144872 SH SOLE 144872 0 0 TATA MTRS LTD SPONSORED ADR 876568502 2419 94200 SH PUT SOLE 94200 0 0 THOMPSON CREEK METALS CO INC COM 884768102 262 92000 SH CALL SOLE 92000 0 0 THOMPSON CREEK METALS CO INC UNIT 99/99/9999 884768300 2125 125000 SH SOLE 125000 0 0 TOLL BROTHERS INC COM 889478103 678 20400 SH SOLE 20400 0 0 TRIO MERGER CORP COM 896697109 1742 175100 SH SOLE 175100 0 0 UNITED MICROELECTRONICS CORP SPON ADR NEW 910873405 428 209000 SH SOLE 209000 0 0 UNIVERSAL CORP VA COM 913456109 845 16588 SH SOLE 16588 0 0 US AIRWAYS GROUP INC NOTE 7.250% 5/1 911905AC1 21845 9170000 PRN SOLE 9170000 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 --------------------------------- ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- VERISIGN INC SDCV 3.250% 8/1 92343EAD4 7652 5000000 PRN SOLE 5000000 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 3443 2000000 PRN SOLE 2000000 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 492 50000 SH CALL SOLE 50000 0 0 WESCO INTL INC DBCV 6.000% 9/1 95082PAH8 7505 3500000 PRN SOLE 3500000 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 1798 1500000 PRN SOLE 1500000 0 0 ZYNGA INC CL A 98986T108 130 46000 SH CALL SOLE 46000 0 0