-----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, EN2YS+04JiI5FPQL53AJ2djZloSwQiVVqwjz3FCEdR+HQbTLiMz1+XHAK9bx3lk6 wTq7HAnMJo+zbU2oBraZ9A== 0001013594-11-000028.txt : 20110214 0001013594-11-000028.hdr.sgml : 20110214 20110214120321 ACCESSION NUMBER: 0001013594-11-000028 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20101231 FILED AS OF DATE: 20110214 DATE AS OF CHANGE: 20110214 EFFECTIVENESS DATE: 20110214 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: 11603825 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-021411.txt FEBRUARY 14, 2011 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 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 February 14, 2011 ---------------------- --------------------- ----------------- [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: 101 Form 13F Information Table Value Total: $481,165 (thousands) List of Other Included Managers: None. Name of Reporting Manager: Basso Capital Management, L.P. 13F Report For Quarter Ended 12/31/10
VALUE SHARES SH/ PUT/ INVSTMT OTHER NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETN MANAGERS SOLE SHARED NONE ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 5650 5000000 PRN SOLE 5000000 AMARIN CORP PLC SPONS ADR NEW 023111206 615 75000 SH CALL SOLE 75000 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 5372 5000000 PRN SOLE 5000000 ANGLOGOLD ASHANTI HLDGS FIN MAND BD CV 13 03512Q206 2756 50000 SH SOLE 50000 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 11600 10000000 PRN SOLE 10000000 ANNALY CAP MGMT INC COM 035710409 1030 57500 SH PUT SOLE 57500 ARCHER DANIELS MIDLAND CO COM 039483102 605 20100 SH SOLE 20100 ARCHER DANIELS MIDLAND CO COM 039483102 602 20000 SH PUT SOLE 20000 ATP OIL & GAS CORP COM 00208J108 971 58000 SH PUT SOLE 58000 BANK OF AMERICA CORPORATION COM 060505104 2351 176200 SH CALL SOLE 176200 BANK OF AMERICA CORPORATION COM 060505104 984 73800 SH CALL SOLE 73800 BARCLAYS BK PLC IPATH S&P MT ETN 06740C519 79 1200 SH SOLE 1200 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 3950 168081 SH SOLE 168081 BUNGE LTD COM G16962105 5111 78000 SH CALL SOLE 78000 CADENCE DESIGN SYSTEM INC COM 127387108 826 100000 SH PUT SOLE 100000 CEPHALON INC NOTE 2.000% 6/0 156708AP4 16830 12000000 PRN SOLE 12000000 CEPHALON INC COM 156708109 2037 33000 SH SOLE 33000 CHEMTURA CORP COM NEW 163893209 400 25000 SH SOLE 25000 CITIGROUP INC UNIT 99/99/9999 172967416 4777 35200 SH SOLE 35200 CITIGROUP INC COM 172967101 473 100000 SH CALL SOLE 100000 CMS ENERGY CORP NOTE 5.500% 6/1 125896BD1 13620 9750000 PRN SOLE 9750000 CROWN CASTLE INTL CORP COM 228227104 1074 24500 SH PUT SOLE 24500 CUBIST PHARMACEUTICALS INC NOTE 2.500% 11/0 229678AD9 4117 4300000 PRN SOLE 4300000 CUBIST PHARMACEUTICALS INC COM 229678107 856 40000 SH PUT SOLE 40000 DANAHER CORP DEL NOTE 1/2 235851AF9 26759 19568000 PRN SOLE 19568000 DRYSHIPS INC. NOTE 5.000%12/0 262498AB4 5145 5000000 PRN SOLE 5000000 DRYSHIPS INC. SHS Y2109Q101 275 50000 SH PUT SOLE 50000 E M C CORP MASS NOTE 1.750%12/0 268648AM4 9343 6200000 PRN SOLE 6200000 EARTHLINK INC FRNT 3.250%11/1 270321AA0 10968 9800000 PRN SOLE 9800000 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 12591 9500000 PRN SOLE 9500000 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 1786 50000 SH PUT SOLE 50000 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 357 10000 SH PUT SOLE 10000 ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 1384 50000 SH PUT SOLE 50000 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 311 6721 SH SOLE 6721 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% 29380T402 622 32515 SH SOLE 32515 ENTERTAINMENT PPTYS TR COM 29380T105 2313 50000 SH PUT SOLE 50000 FORD MOTOR CO CAP TR II PFD TR CV6.5% 345395206 4918 95500 SH SOLE 95500 FORD MOTOR CO DEL COM PAR $0.01 345370860 840 50000 SH PUT SOLE 50000 FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 7128 5550000 PRN SOLE 5550000 GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 4055 4000000 PRN SOLE 4000000 GENCO SHIPPING & TRADING LTD SHS Y2685T107 1116 77500 SH PUT SOLE 77500 GENERAL MTRS CO COM 37045V100 369 10000 SH SOLE 10000 GENERAL MTRS CO JR PFD CNV SRB 37045V209 8093 150000 SH SOLE 150000 GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 6370 100565 SH SOLE 100565 GREAT PLAINS ENERGY INC COM 391164100 679 35000 SH PUT SOLE 35000 GREATBATCH INC SDCV 2.25% 6/1 39153LAB2 964 1000000 PRN SOLE 1000000 HARTFORD FINL SVCS GROUP INC *W EXP 06/26/201 416515120 3863 214000 SH SOLE 214000 INTERMUNE INC NOTE 5.000% 3/0 45884XAD5 4198 2000000 PRN SOLE 2000000 JETBLUE AIRWAYS CORP DBCV 6.750% 10/1 477143AF8 5310 3342000 PRN SOLE 3342000 KENDLE INTERNATIONAL INC NOTE 3.375% 7/1 48880LAA5 2790 3000000 PRN SOLE 3000000 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 17625 15000000 PRN SOLE 15000000 LIBERTY GLOBAL INC NOTE 4.500% 11/1 530555AB7 11893 8000000 PRN SOLE 8000000 LIBERTY GLOBAL INC COM SER A 530555101 923 26100 SH PUT SOLE 26100 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 2841 2320000 PRN SOLE 2320000 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 29629 24195000 PRN SOLE 24195000 MOLSON COORS BREWING CO CL B 60871R209 743 14800 SH SOLE 14800 MOLSON COORS BREWING CO CL B 60871R209 753 15000 SH PUT SOLE 15000 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 10603 9200000 PRN SOLE 9200000 NETAPP INC NOTE 1.750% 6/0 64110DAB0 11969 6724000 PRN SOLE 6724000 NETAPP INC COM 64110D104 1374 25000 SH PUT SOLE 25000 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 4901 5200000 PRN SOLE 5200000 OCWEN FINL CORP COM NEW 675746309 368 38600 SH CALL SOLE 38600 OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 15263 12000000 PRN SOLE 12000000 OLD REP INTL CORP COM 680223104 716 52500 SH PUT SOLE 52500 OLD REP INTL CORP COM 680223104 1363 100000 SH PUT SOLE 100000 OMNICARE INC NOTE 3.750% 12/1 681904AN8 5560 5000000 PRN SOLE 5000000 OMNICARE INC COM 681904108 1270 50000 SH PUT SOLE 50000 PEABODY ENERGY CORP COM 704549104 768 12000 SH SOLE 12000 PHH CORP NOTE 4.000% 4/1 693320AH6 4942 4000000 PRN SOLE 4000000 POWERWAVE TECHNOLOGIES INC NOTE 3.875%10/0 739363AF6 559 630000 PRN SOLE 630000 POWERWAVE TECHNOLOGIES INC NOTE 3.875%10/0 739363AF6 328 370000 PRN SOLE 370000 PROTEIN DESIGN LABS INC NOTE 2.000% 2/1 74369LAF0 4988 5000000 PRN SOLE 5000000 PROVIDENCE SVC CORP NOTE 6.500% 5/1 743815AB8 1493 1500000 PRN SOLE 1500000 QIMONDA FIN LLC NOTE 6.750% 3/2 74732WAA7 188 7500000 PRN SOLE 7500000 QUICKSILVER RESOURCES INC DBCV 1.875% 11/0 74837RAB0 5192 4750000 PRN SOLE 4750000 QUICKSILVER RESOURCES INC COM 74837R104 737 50000 SH PUT SOLE 50000 SAKS INC NOTE 2.000% 3/1 79377WAL2 6173 6000000 PRN SOLE 6000000 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 14615 9806000 PRN SOLE 9806000 SEADRILL LIMITED SHS G7945E105 1465 43200 SH PUT SOLE 43200 SPDR GOLD TRUST GOLD SHS 78463V107 2774 20000 SH PUT SOLE 20000 STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 3789 34900 SH SOLE 34900 STANLEY BLACK & DECKER INC COM 854502101 669 10000 SH PUT SOLE 10000 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 10754 437872 SH SOLE 437872 SYNOVUS FINL CORP COM 87161C105 264 100000 SH CALL SOLE 100000 TATA MTRS LTD SPONSORED ADR 876568502 3156 107553 SH SOLE 107553 TELEFLEX INC NOTE 3.875% 8/0 879369AA4 12886 12250000 PRN SOLE 12250000 TELEFLEX INC COM 879369106 2152 40000 SH PUT SOLE 40000 TELEFLEX INC COM 879369106 269 5000 SH PUT SOLE 5000 THERAVANCE INC NOTE 3.000% 1/1 88338TAA2 5644 5000000 PRN SOLE 5000000 THERAVANCE INC COM 88338T104 752 30000 SH PUT SOLE 30000 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 14628 13938000 PRN SOLE 13938000 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 2524 1500000 PRN SOLE 1500000 US AIRWAYS GROUP INC NOTE 7.250% 5/1 911905AC1 5983 2500000 PRN SOLE 2500000 VALE CAP II GTD CV 6.75%12 91912F201 8080 83994 SH SOLE 83994 VALE CAP II VALEP 6.75%12 91912F300 8362 86000 SH SOLE 86000 VERISIGN INC SDCV 3.250% 8/1 92343EAD4 7025 6300000 PRN SOLE 6300000 WELLS FARGO & CO NEW COM 949746101 1550 50000 SH CALL SOLE 50000 XILINX INC SDCV 3.125% 3/1 983919AD3 15548 14950000 PRN SOLE 14950000 XILINX INC COM 983919101 1435 49500 SH SOLE 49500 XILINX INC COM 983919101 725 25000 SH PUT SOLE 25000 XL GROUP SHS G98290102 3733 120000 SH SOLE 120000
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