-----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, Q7Ic5dFcWe+Ec4KYPaecnavcB99Ws6Oo94oueebyZYVK+2OXUPpxWCH4f2RzGKri kZ0F7G4cB5Qwy2DKNUsaDQ== 0001013594-09-001655.txt : 20091116 0001013594-09-001655.hdr.sgml : 20091116 20091116162215 ACCESSION NUMBER: 0001013594-09-001655 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20090930 FILED AS OF DATE: 20091116 DATE AS OF CHANGE: 20091116 EFFECTIVENESS DATE: 20091116 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: 091187176 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-111609.txt NOVEMBER 16, 2009 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2009 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 form. Person Signing this Report on Behalf of Reporting Manager: Name: Howard Fischer Title: Authorized Signatory Phone: (203) 352-6100 Signature, Place, and Date of Signing: /s/ Howard Fischer Stamford, Connecticut November 16, 2009 ---------------------- --------------------- ----------------- [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).) FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 118 Form 13F Information Table Value Total: $411,892 (thousands) List of Other Included Managers: None. Name of Reporting Manager: Basso Capital Management, L.P. 13F Report For Quarter Ended 9/30/09
VALUE SHARES SH/ PUT/ INVSTMT OTHER NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETN MANAGERS SOLE SHARED NONE ALEXANDRIA REAL ESTATE EQ IN COM 015271109 4343 79900 SH PUT SOLE 79900 ALLEGHENY TECHNOLOGIES INC COM 01741R102 1088 31100 SH SOLE 31100 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 4331 4500000 PRN SOLE 4500000 AMERICAN INTL GROUP INC COM NEW 026874784 1103 25000 SH PUT SOLE 25000 AMERICAN INTL GROUP INC PFD 8.5% CONV 026874115 178 15500 SH SOLE 15500 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 7946 7500000 PRN SOLE 7500000 ASM INTL NV NOTE 4.250%12/0 00207DAG7 2145 2000000 PRN SOLE 2000000 ATLAS ACQUISITION HLDGS CORP W EXP 01/23/201 049162118 108 636900 SH SOLE 636900 AUTOLIV INC PFD 8% CONV 052800208 3500 73500 SH SOLE 73500 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 16278 7500000 PRN SOLE 7500000 BPW ACQUISITION CORP W EXP 02/26/201 055637110 219 406400 SH SOLE 406400 CACI INTL INC NOTE 2.125% 5/0 127190AD8 4195 4000000 PRN SOLE 4000000 CALLAWAY GOLF CO COM 131193104 381 50000 SH PUT SOLE 50000 CAPITOL ACQUISITION CORP DEL W EXP 11/08/201 14055E112 149 248000 SH SOLE 248000 CASH AMER INTL INC COM 14754D100 754 25000 SH PUT SOLE 25000 CELANESE CORP DEL PFD 4.25% CONV 150870202 10151 313800 SH SOLE 313800 CEPHALON INC NOTE 2.000% 6/0 156708AP4 15262 11500000 PRN SOLE 11500000 CHATTEM INC NOTE 2.000%11/1 162456AP2 5477 4500000 PRN SOLE 4500000 CHINA HLDGS ACQUISITION CORP COM 16942N106 2494 257099 SH SOLE 257099 CHINA HLDGS ACQUISITION CORP W EXP 11/16/201 16942N114 222 633499 SH SOLE 633499 CMS ENERGY CORP NOTE 2.875%12/0 125896AW0 4965 4500000 PRN SOLE 4500000 COMBIMATRIX CORPORATION W EXP 9/21/10 20009T113 100 15152 SH SOLE 15152 CONTINENTAL AIRLS INC CL B 210795308 2055 125000 SH PUT SOLE 125000 DANAHER CORP DEL NOTE 1/2 235851AF9 10407 10500000 PRN SOLE 10500000 DUNE ENERGY INC COM NEW 265338202 258 1781187 SH SOLE 1781187 EARTHLINK INC NOTE 3.250%11/1 270321AA0 2195 2000000 PRN SOLE 2000000 ELIXIR GAMING TECHNOLOGIES I COM 28661G105 26 93769 SH SOLE 93769 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% 29380T402 2053 136935 SH SOLE 136935 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 5190 5000000 PRN SOLE 5000000 FIBERTOWER CORP NOTE 9.000%11/1 31567RAC4 550 1000000 PRN SOLE 1000000 GHL ACQUISITION CORP W EXP 02/14/201 36172H116 789 167900 SH SOLE 167900 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 5893 4700000 PRN SOLE 4700000 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 11687 8990000 PRN SOLE 8990000 GLOBAL CONSUMER ACQST CORP W EXP 11/27/201 378983118 112 151200 SH SOLE 151200 GOLDEN POND HEALTHCARE INC W EXP 11/06/201 38116J117 57 408200 SH SOLE 408200 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 4413 70600 SH SOLE 70600 GREATBATCH INC COM 39153L106 1124 50000 SH PUT SOLE 50000 GREATBATCH INC SDCV 2.250% 6/1 39153LAB2 5333 6000000 PRN SOLE 6000000 HCC INS HLDGS INC NOTE 1.300% 4/0 404132AB8 3686 3000000 PRN SOLE 3000000 HICKS ACQUISITION CO I INC W EXP 09/28/201 429086127 192 349000 SH SOLE 349000 HIGHLANDS ACQUISITION CORP W EXP 10/03/201 430880112 1 174740 SH SOLE 174740 HRPT PPTYS TR COM SH BEN INT 40426W101 376 50000 SH PUT SOLE 50000 HRPT PPTYS TR PFD CONV D 40426W507 4961 273792 SH SOLE 273792 INFORMATION SERVICES GROUP I W EXP 01/31/201 45675Y112 7 54400 SH SOLE 54400 INTEL CORP COM 458140100 785 40100 SH SOLE 40100 INTEL CORP COM 458140100 979 50000 SH CALL SOLE 50000 INTEL CORP COM 458140100 979 50000 SH PUT SOLE 50000 INTER ATLANTIC FINANCIAL INC W EXP 10/02/201 45890H118 33 141400 SH SOLE 141400 INVACARE CORP COM 461203101 1337 60000 SH PUT SOLE 60000 INVACARE CORP SDCV 4.125% 2/0 461203AD3 8287 7850000 PRN SOLE 7850000 INVITROGEN CORP NOTE 2.000% 8/0 46185RAJ9 17754 12738000 PRN SOLE 12738000 ISHARES TR INDEX MSCI EMERG MKT 464287234 7782 200000 SH PUT SOLE 200000 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 8644 7420000 PRN SOLE 7420000 JETBLUE AIRWAYS CORP COM 477143101 598 100000 SH PUT SOLE 100000 JETBLUE AIRWAYS CORP DBCV 6.750%10/1 477143AF8 3656 2500000 PRN SOLE 2500000 JOHNSON CTLS INC COM 478366107 0 1 SH SOLE 1 KULICKE & SOFFA INDS INC NOTE 0.875% 6/0 501242AT8 2332 2850000 PRN SOLE 2850000 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 17736 19900000 PRN SOLE 19900000 LIBERTY ACQUISITION HLDGS CO W EXP 12/12/201 53015Y115 41 69068 SH SOLE 69068 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 4255 3289000 PRN SOLE 3289000 MCMORAN EXPLORATION CO NOTE 5.250%10/0 582411AE4 4993 5725000 PRN SOLE 5725000 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 9792 10600000 PRN SOLE 10600000 MICRON TECHNOLOGY INC COM 595112103 574 70000 SH CALL SOLE 70000 MIRANT CORP NEW W EXP 01/03/201 60467R126 77 40000 SH SOLE 40000 MYLAN INC COM 628530107 1601 100000 SH PUT SOLE 100000 MYLAN INC PFD CONV 628530206 2577 2500 SH SOLE 2500 NATIONAL RETAIL PROPERTIES I NOTE 3.950% 9/1 637417AA4 6341 6000000 PRN SOLE 6000000 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 5227 5000000 PRN SOLE 5000000 NATIONWIDE HEALTH PPTYS INC PFD CV B 7.75% 638620302 11851 85000 SH SOLE 85000 NAVIOS MARITIME ACQUISITION W EXP 06/25/201 Y62159119 533 795300 SH SOLE 795300 NEW YORK CMNTY BANCORP INC COM 649445103 571 50000 SH PUT SOLE 50000 NORTH ASIA INVESTMENT W EXP 07/23/201 G66202113 53 292100 SH SOLE 292100 NRDC ACQUISITION CORP W EXP 10/17/201 62941R110 87 86100 SH SOLE 86100 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 2692 2700000 PRN SOLE 2700000 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 4449 130748 SH SOLE 130748 ON SEMICONDUCTOR CORP COM 682189105 1148 139200 SH SOLE 139200 ON SEMICONDUCTOR CORP COM 682189105 825 100000 SH PUT SOLE 100000 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 5247 4000000 PRN SOLE 4000000 OSI PHARMACEUTICALS INC NOTE 2.000%12/1 671040AF0 3182 2500000 PRN SOLE 2500000 OVERTURE ACQUISITION CORP W EXP 01/30/201 G6830P118 144 600600 SH SOLE 600600 PG&E CORP NOTE 9.500% 6/3 69331CAD0 8051 3000000 PRN SOLE 3000000 PHOTRONICS INC NOTE 5.500%10/0 719405AF9 293 250000 PRN SOLE 250000 POWERSHARES QQQ TRUST UNIT SER 1 73935A104 6338 150000 SH PUT SOLE 150000 POWERWAVE TECHNOLOGIES INC NOTE 3.875%10/0 739363AF6 841 1700000 PRN SOLE 1700000 PROSHARES TR PSHS ULTSHT FINL 74347R628 501 20000 SH CALL SOLE 20000 PROSPECT ACQUISITION CORP W EXP 11/14/201 74347T111 49 80000 SH SOLE 80000 PROTEIN DESIGN LABS INC NOTE 2.750% 8/1 74369LAD5 8990 8275000 PRN SOLE 8275000 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 4025 4000000 PRN SOLE 4000000 REGIONS FINANCIAL CORP NEW COM 7591EP100 621 100000 SH PUT SOLE 100000 RF MICRODEVICES INC NOTE 1.000% 4/1 749941AJ9 1765 2000000 PRN SOLE 2000000 SANDRIDGE ENERGY INC COM 80007P307 1296 100000 SH PUT SOLE 100000 SANTA MONICA MEDIA CORP COM 802501106 0 369789 SH SOLE 369789 SANTA MONICA MEDIA CORP W EXP 03/27/201 802501114 2 341500 SH SOLE 341500 SAPPHIRE INDUSTRIALS CORP W EXP 01/17/201 80306T117 160 354703 SH SOLE 354703 SCHEIN HENRY INC NOTE 3.000% 8/1 806407AB8 3084 2500000 PRN SOLE 2500000 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 1494 100000 SH PUT SOLE 100000 SP ACQUISITION HOLDINGS INC W EXP 10/10/201 78470A112 15 170800 SH SOLE 170800 SPARTAN STORES INC NOTE 3.375% 5/1 846822AE4 1442 1950000 PRN SOLE 1950000 SPDR TR UNIT SER 1 78462F103 31677 300000 SH PUT SOLE 300000 SPORTS PPTYS ACQUISITION COR W EXP 01/17/201 84920F115 143 797186 SH SOLE 797186 SYBASE INC NOTE 1.750% 2/2 871130AB6 9373 6000000 PRN SOLE 6000000 SYNNEX CORP COM 87162W100 762 25000 SH PUT SOLE 25000 TM ENTMT & MEDIA INC W EXP 10/17/201 87260T116 69 236950 SH SOLE 236950 TREMISIS ENERGY ACQ CORP II W EXP 12/05/201 89472N119 71 473000 SH SOLE 473000 TRIAN ACQUISITION I CORP W EXP 01/23/201 89582E116 392 871100 SH SOLE 871100 TRIPLECROWN ACQUISITION CORP W EXP 10/22/201 89677G117 104 1152900 SH SOLE 1152900 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 8539 9000000 PRN SOLE 9000000 UNITED REFINING ENERGY CORP W EXP 12/11/201 911360113 381 1525900 SH SOLE 1525900 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 6813 5000000 PRN SOLE 5000000 US AIRWAYS GROUP INC NOTE 7.250% 5/1 911905AC1 2492 2000000 PRN SOLE 2000000 VALE CAP II VALEP 6.75%12 91912F300 11264 159505 SH SOLE 159505 VALE CAP II GTD CV 6.75%12 91912F201 5986 86670 SH SOLE 86670 VANTAGE DRILLING COMPANY W EXP 05/24/201 G93205121 13 83200 SH SOLE 83200 VENTAS INC COM 92276F100 2503 65000 SH PUT SOLE 65000 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 2786 3200000 PRN SOLE 3200000 WHITING PETE CORP NEW COM 966387102 1440 25000 SH PUT SOLE 25000 WYNDHAM WORLDWIDE CORP COM 98310W108 653 40000 SH PUT SOLE 40000 WYNDHAM WORLDWIDE CORP NOTE 3.500% 5/0 98310WAC2 3554 2500000 PRN SOLE 2500000
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