-----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, QcQ6a/aSnINiZp516u1cYRcSik/R1aG5+N6l5h1R2mkIRPGiPJ7HeCz1agRLGLbN 9iA/RSYr01EO3WGxYJ08YA== 0001013594-10-000712.txt : 20101112 0001013594-10-000712.hdr.sgml : 20101111 20101112172536 ACCESSION NUMBER: 0001013594-10-000712 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20100930 FILED AS OF DATE: 20101112 DATE AS OF CHANGE: 20101112 EFFECTIVENESS DATE: 20101112 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: 101188014 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-111510.txt NOVEMBER 15, 2010 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, 2010 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 12, 2010 ---------------------- --------------------- ----------------- [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: 85 Form 13F Information Table Value Total: $420,553 (thousands) List of Other Included Managers: None. Name of Reporting Manager: Basso Capital Management, L.P. 13F Report For Quarter Ended 9/30/10
VALUE SHARES SH/ PUT/ INVSTMT OTHER NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETN MANAGERS SOLE SHARED NONE ALCOA INC COM 013817101 363 30000 SH CALL SOLE 30000 ALLIANCE ONE INTL INC OTE 5.500% 7/1 018772AQ6 6028 5500000 PRN SOLE 5500000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 5507 5500000 PRN SOLE 5500000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 9/1 018804AN4 2513 2500000 PRN SOLE 2500000 AMERICAN MED SYS HLDGS INC COM 02744M108 979 50000 SH PUT SOLE 50000 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 5556 5000000 PRN SOLE 5000000 ANNALY CAP MGMT INC COM 035710409 880 50000 SH PUT SOLE 50000 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 9361 8500000 PRN SOLE 8500000 ATP OIL & GAS CORP COM 00208J108 683 50000 SH PUT SOLE 50000 BARCLAYS BK PLC IPATH S&P ST ETN 06740C527 3717 215000 SH CALL SOLE 215000 BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 278 12500 SH SOLE 12500 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 2060 104681 SH SOLE 104681 BOISE INC W EXP 06/18/201 09746Y113 74 175400 SH SOLE 175400 BURGER KING HLDGS INC COM 121208201 478 20000 SH CALL SOLE 20000 CAL DIVE INTL INC NOTE 3.250%12/1 127914AB5 2769 3000000 PRN SOLE 3000000 CEPHALON INC NOTE 2.000% 6/0 156708AP4 17010 12000000 PRN SOLE 12000000 CITIGROUP INC COM 172967101 391 100000 SH CALL SOLE 100000 CITIGROUP INC UNIT 99/99/9999 172967416 1197 10200 SH SOLE 10200 CMS ENERGY CORP NOTE 5.500% 6/1 125896BD1 10116 7500000 PRN SOLE 7500000 CORE LABORATORIES LP NOTE 0.250%10/3 21868FAB9 25886 13500000 PRN SOLE 13500000 COSTCO WHSL CORP NEW COM 22160K105 1935 30000 SH CALL SOLE 30000 COVANTA HLDG CORP COM 22282E102 788 50000 SH PUT SOLE 50000 CROWN CASTLE INTL CORP COM 228227104 883 20000 SH PUT SOLE 20000 DANAHER CORP DEL NOTE 1/2 235851AF9 19240 16305000 PRN SOLE 16305000 DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 7053 7500000 PRN SOLE 7500000 E M C CORP MASS NOTE 1.750%12/0 268648AM4 6888 5000000 PRN SOLE 5000000 EARTHLINK INC FRNT 3.250%11/1 270321AA0 4095 3500000 PRN SOLE 3500000 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 2159 50000 SH PUT SOLE 50000 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% 29380T402 609 32515 SH SOLE 32515 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 264 6121 SH SOLE 6121 EQUINIX INC NOTE 4.750% 6/1 29444UAH9 3553 2500000 PRN SOLE 2500000 FORD MTR CO DEL COM PAR $0.01 345370860 1224 100000 SH PUT SOLE 100000 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 7444 5000000 PRN SOLE 5000000 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 5643 4550000 PRN SOLE 4550000 GENCO SHIPPING & TRADING LTD OTE 5.000% 8/1 36869MAA3 8005 7500000 PRN SOLE 7500000 GLG PARTNERS INC W EXP 12/28/201 37929X115 123 975000 SH SOLE 975000 GMX RES INC OTE 5.000% 2/0 38011MAB4 1613 2000000 PRN SOLE 2000000 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 4095 65000 SH SOLE 65000 GREATBATCH INC COM 39153L106 851 36700 SH PUT SOLE 36700 HOST HOTELS & RESORTS INC COM 44107P104 724 50000 SH PUT SOLE 50000 INVACARE CORP SDCV 4.125% 2/0 461203AD3 5423 4500000 PRN SOLE 4500000 ISHARES TR MSCI EMERG MKT 464287234 3783 84500 SH PUT SOLE 84500 ISTAR FINL INC FRNT 10/0 45031UBF7 1545 2000000 PRN SOLE 2000000 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 10513 10000000 PRN SOLE 10000000 LEVEL 3 COMMUNICATIONS INC COM 52729N100 94 100000 SH CALL SOLE 100000 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 24832 22100000 PRN SOLE 22100000 MONSANTO CO NEW COM 61166W101 1438 30000 SH CALL SOLE 30000 MYLAN INC COM 628530107 1175 62475 SH SOLE 62475 MYLAN INC NOTE 3.750% 9/1 628530AJ6 6285 4000000 PRN SOLE 4000000 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 3797 3350000 PRN SOLE 3350000 NETAPP INC NOTE 1.750% 6/0 64110DAB0 7329 4500000 PRN SOLE 4500000 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 4031 4200000 PRN SOLE 4200000 OLD REP INTL CORP COM 680223104 693 50000 SH PUT SOLE 50000 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 13703 10500000 PRN SOLE 10500000 PDL BIOPHARMA INC COM 69329Y104 132 25000 SH CALL SOLE 25000 PETROQUEST ENERGY INC COM 716748108 117 19145 SH SOLE 19145 PHH CORP NOTE 4.000% 4/1 693320AH6 2345 2000000 PRN SOLE 2000000 POWERWAVE TECHNOLOGIES INC NOTE 3.875%10/0 739363AF6 1140 1500000 PRN SOLE 1500000 PPL CORP COM 69351T106 2723 100000 SH PUT SOLE 100000 PROTEIN DESIGN LABS INC NOTE 2.000% 2/1 74369LAF0 4838 5000000 PRN SOLE 5000000 PROVIDENCE SVC CORP NOTE 6.500% 5/1 743815AB8 4298 4500000 PRN SOLE 4500000 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 6541 5000000 PRN SOLE 5000000 RESOLUTE ENERGY CORP W EXP 09/25/201 76116A116 184 106000 SH SOLE 106000 ROWAN COS INC COM 779382100 67 2209 SH SOLE 2209 SANDRIDGE ENERGY INC COM 80007P307 284 50000 SH CALL SOLE 50000 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 12192 8306000 PRN SOLE 8306000 SCHOOL SPECIALTY INC SDCV 3.750%11/3 807863AL9 3860 4000000 PRN SOLE 4000000 SMURFIT-STONE CONTAINER CORP COM 83272A104 276 15000 SH SOLE 15000 SPDR S&P 500 ETF TR TR UNIT 78462F103 11413 100000 SH PUT SOLE 100000 SYNOVUS FINL CORP COM 87161C105 71 29000 SH CALL SOLE 29000 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 10125 432872 SH SOLE 432872 TELEFLEX INC COM 879369106 2271 40000 SH PUT SOLE 40000 TELEFLEX INC OTE 3.875% 8/0 879369AA4 10850 10000000 PRN SOLE 10000000 UAL CORP NOTE 6.000%10/1 902549AJ3 11462 4000000 PRN SOLE 4000000 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 12798 12750000 PRN SOLE 12750000 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 15150 10000000 PRN SOLE 10000000 VALE CAP II GTD CV 6.75%12 91912F201 6650 75235 SH SOLE 75235 VALE CAP II VALEP 6.75%12 91912F300 11041 122162 SH SOLE 122162 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 10802 10000000 PRN SOLE 10000000 XILINX INC SDCV 3.125% 3/1 983919AD3 10173 10450000 PRN SOLE 10450000 BUNGE LTD COM G16962105 4614 78000 SH CALL SOLE 78000 DRYSHIPS INC. SHS Y2109Q101 962 200000 SH PUT SOLE 200000 GENCO SHIPPING & TRADING LTD SHS Y2685T107 1116 70000 SH PUT SOLE 70000 SEADRILL LTD SHS G7945E105 1252 43200 SH PUT SOLE 43200 XL GROUP SHS G98290102 3133 100000 SH SOLE 100000
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