0001140361-11-027585.txt : 20110516
0001140361-11-027585.hdr.sgml : 20110516
20110516122927
ACCESSION NUMBER: 0001140361-11-027585
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110331
FILED AS OF DATE: 20110516
DATE AS OF CHANGE: 20110516
EFFECTIVENESS DATE: 20110516
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: 11844798
MAIL ADDRESS:
STREET 1: 1266 E MAIN ST
CITY: STAMFORD
STATE: CT
ZIP: 06902
13F-HR
1
form13fhr.txt
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: 3/31/2011
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.
Persons 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 5/16/2011
--------------------------------- --------------------------------- ----------
[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).)
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: 95
Form 13F Information Table Value Total: $ 584,103
--------------
(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
---------------------------------- ---------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ----
ACCURIDE CORP COM NEW 00439T206 1389 100000 SH SOLE 100000 0 0
AFFILIATED MANAGERS GROUP COM 008252108 766 7000 SH SOLE 7000 0 0
AFFILIATED MANAGERS GROUP COM 008252108 766 7000 SH PUT SOLE 7000 0 0
ALLERGAN INC COM 018490102 1776 25000 SH CALL SOLE 25000 0 0
ALLIANCE ONE INTL INC NOTE 5.500% 7/1 018772AQ6 2686 2500000 PRN SOLE 2500000 0 0
ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 11948 10300000 PRN SOLE 10300000 0 0
ATP OIL & GAS CORP COM 00208J108 362 20000 SH SOLE 20000 0 0
ATP OIL & GAS CORP COM 00208J108 1087 60000 SH CALL SOLE 60000 0 0
BANK OF AMERICA CORPORATION W EXP 10/28/201 060505153 441 175000 SH SOLE 175000 0 0
BARCLAYS BK PLC IPTH S&P VIX NEW 06740C261 6461 220000 SH PUT SOLE 220000 0 0
BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 4059 194781 SH SOLE 194781 0 0
CEMEX SAB DE CV SPON ADR NEW 151290889 893 100000 SH PUT SOLE 104000 0 0
CEPHALON INC NOTE 2.000% 6/0 156708AP4 18312 11000000 PRN SOLE 11000000 0 0
CHESAPEAKE ENERGY CORP COM 165167107 670 20000 SH PUT SOLE 20000 0 0
CITIGROUP INC COM 172967101 442 100000 SH CALL SOLE 100000 0 0
CITIGROUP INC UNIT 99/99/9999 172967416 10748 85200 SH SOLE 85200 0 0
CITIGROUP INC W EXP 10/28/201 172967234 29 150000 SH SOLE 150000 0 0
CLINICAL DATA INC NEW COM 18725U109 1515 50000 SH SOLE 50000 0 0
CMS ENERGY CORP COM 125896100 982 50000 SH PUT SOLE 50000 0 0
CMS ENERGY CORP NOTE 5.500% 6/1 125896BD1 9792 6750000 PRN SOLE 6750000 0 0
CREDIT SUISSE NASSAU BRH INVRS VIX STERM 22542D795 168 1200 SH SOLE 1200 0 0
CROWN CASTLE INTL CORP COM 228227104 85 2000 SH SOLE 2000 0 0
DANAHER CORP DEL NOTE 1/2 235851AF9 30319 20128000 PRN SOLE 20128000 0 0
DEVELOPERS DIVERSIFIED RLTY COM 251591103 743 53100 SH SOLE 53100 0 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 13130 7700000 PRN SOLE 7700000 0 0
EARTHLINK INC FRNT 3.250%11/1 270321AA0 11529 10800000 PRN SOLE 10800000 0 0
ENDO PHARMACEUTICALS HLDGS I COM 29264F205 3091 81000 SH PUT SOLE 81000 0 0
ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 24521 17500000 PRN SOLE 17500000 0 0
ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 2645 56500 SH PUT SOLE 56500 0 0
ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 1062 22675 SH SOLE 22675 0 0
FOREST CITY ENTERPRISES INC CL A 345550107 75 4000 SH PUT SOLE 4000 0 0
FTI CONSULTING INC NOTE 3.750% 7/1 302941AB5 12260 9550000 PRN SOLE 9550000 0 0
GENERAL MTRS CO COM 37045V100 776 25000 SH SOLE 25000 0 0
GENERAL MTRS CO COM 37045V100 3103 100000 SH PUT SOLE 100000 0 0
GENZYME CORP COM 372917104 1523 20000 SH SOLE 20000 0 0
GENZYME CORP COM 372917104 8680 114000 SH CALL SOLE 114000 0 0
GREAT PLAINS ENERGY INC COM 391164100 801 40000 SH PUT SOLE 40000 0 0
GREAT PLAINS ENERGY INC UNIT 06/15/2042 391164803 8793 136565 SH SOLE 136565 0 0
HARTFORD FINL SVCS GROUP INC W EXP 06/26/201 416515120 2030 110676 SH SOLE 110676 0 0
HAWAIIAN HOLDINGS INC COM 419879101 301 50000 SH CALL SOLE 50000 0 0
HEALTH CARE REIT INC COM 42217K106 2622 50000 SH PUT SOLE 50000 0 0
HECKMANN CORP W EXP 11/09/201 422680116 91 95930 SH SOLE 95930 0 0
HOLOGIC INC COM 436440101 2025 91200 SH SOLE 91200 0 0
INTERMUNE INC NOTE 5.000% 3/0 45884XAD5 5273 2000000 PRN SOLE 2000000 0 0
ISHARES INC MSCI JAPAN 464286848 1571 152200 SH CALL SOLE 152200 0 0
ISHARES INC MSCI JAPAN 464286848 404 39200 SH PUT SOLE 39200 0 0
ISHARES SILVER TRUST ISHARES 46428Q109 1471 40000 SH CALL SOLE 40000 0 0
KKR FINANCIAL HLDGS LLC COM 48248A306 294 30000 SH PUT SOLE 30000 0 0
KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 4994 3500000 PRN SOLE 3500000 0 0
L-3 COMMUNICATIONS CORP D EBT 3.000% 8/0 502413AW7 2519 2500000 PRN SOLE 2500000 0 0
L-3 COMMUNICATIONS HLDGS INC COM 502424104 1175 15000 SH PUT SOLE 15000 0 0
LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 8791 7133000 PRN SOLE 7133000 0 0
LIBERTY GLOBAL INC NOTE 4.500%11/1 530555AB7 25953 15300000 PRN SOLE 15300000 0 0
MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 12120 10500000 PRN SOLE 10500000 0 0
METLIFE INC UNIT 99/99/9999 59156R116 9737 115000 SH SOLE 115000 0 0
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 41019 30079000 PRN SOLE 30079000 0 0
MOLSON COORS BREWING CO CL B 60871R209 1407 30000 SH SOLE 30000 0 0
NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 3473 3000000 PRN SOLE 3000000 0 0
NETAPP INC NOTE 1.750% 6/0 64110DAB0 11430 7224000 PRN SOLE 7224000 0 0
OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 5194 5200000 PRN SOLE 5200000 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
---------------------------------- ---------------- --------- -------- -------- --- ---- ---------- -------- -------- ------ ----
OLD REP INTL CORP COM 680223104 2081 164000 SH PUT SOLE 164000 0 0
OLD REP INTL CORP NOTE 8.000% 5/1 680223AF1 15720 13100000 PRN SOLE 13100000 0 0
OMNICARE INC COM 681904108 600 20000 SH PUT SOLE 20000 0 0
OMNICARE INC NOTE 3.750%12/1 681904AN8 6456 5000000 PRN SOLE 5000000 0 0
PHH CORP NOTE 4.000% 4/1 693320AH6 8186 7000000 PRN SOLE 7000000 0 0
QIMONDA FIN LLC NOTE 6.750% 3/2 74732WAA7 188 7500000 PRN SOLE 7500000 0 0
RESOLUTE ENERGY CORP W EXP 09/25/201 76116A116 2134 412033 SH SOLE 412033 0 0
SAKS INC COM 79377W108 1205 106500 SH PUT SOLE 106500 0 0
SAKS INC NOTE 2.000% 3/1 79377WAL2 14310 13500000 PRN SOLE 13500000 0 0
SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 20510 14006000 PRN SOLE 14006000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 19889 150000 SH CALL SOLE 150000 0 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 13260 100000 SH PUT SOLE 100000 0 0
STANLEY BLACK & DECKER INC COM 854502101 1724 22500 SH PUT SOLE 22500 0 0
STANLEY BLACK & DECKER INC UNIT 99/99/9999 854502309 6133 51000 SH SOLE 51000 0 0
STILLWATER MNG CO COM 86074Q102 1720 75000 SH PUT SOLE 75000 0 0
SYNNEX CORP OTE 4.000% 5/1 87162WAB6 3012 2360000 PRN SOLE 2360000 0 0
SYNOVUS FINL CORP COM 87161C105 180 75000 SH CALL SOLE 75000 0 0
SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 8760 382872 SH SOLE 382872 0 0
TELEFLEX INC COM 879369106 2540 43800 SH PUT SOLE 43800 0 0
TELEFLEX INC NOTE 3.875% 8/0 879369AA4 13484 12000000 PRN SOLE 12000000 0 0
TREX CO INC NOTE 6.000% 7/0 89531PAA3 8651 5532000 PRN SOLE 5532000 0 0
UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 18420 17438000 PRN SOLE 17438000 0 0
UNIVERSAL CORP VA COM 913456109 27 620 SH SOLE 620 0 0
VALE CAP II GTD CV 6.75%12 91912F201 14272 153994 SH SOLE 153994 0 0
VALE CAP II VALEP 6.75%12 91912F300 7109 75000 SH SOLE 75000 0 0
VALE S A ADR 91912E105 1668 50000 SH PUT SOLE 50000 0 0
VERISIGN INC COM 92343E102 905 25000 SH PUT SOLE 25000 0 0
VERISIGN INC SDCV 3.250% 8/1 92343EAD4 7495 6170000 PRN SOLE 6170000 0 0
VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 8459 5000000 PRN SOLE 5000000 0 0
VISHAY INTERTECHNOLOGY INC COM 928298108 887 50000 SH PUT SOLE 50000 0 0
XILINX INC COM 983919101 1624 49500 SH SOLE 49500 0 0
XILINX INC COM 983919101 1640 50000 SH PUT SOLE 50000 0 0
XILINX INC SDCV 3.125% 3/1 983919AD3 20308 17450000 PRN SOLE 17450000 0 0
SPDR GOLD TRUST GOLD SHS 78463V107 979 7000 SH PUT SOLE 7000 0 0
SEADRILL LIMITED SHS G7945E105 7250 201000 SH PUT SOLE 201000 0 0