0001140361-12-007432.txt : 20120213 0001140361-12-007432.hdr.sgml : 20120213 20120213165036 ACCESSION NUMBER: 0001140361-12-007432 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20111231 FILED AS OF DATE: 20120213 DATE AS OF CHANGE: 20120213 EFFECTIVENESS DATE: 20120213 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: 12599880 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: 12/31/2011 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 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 2/13/2012 --------------------------------- --------------------------------- ---------- [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: 134 Form 13F Information Table Value Total: $ 499,844 -------------- (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 ------------------------------ ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- ACTUANT CORP SDCV 2.000%11/1 00508XAB0 3744 3078000 PRN SOLE 3078000 0 0 AFFILIATED MANAGERS GROUP COM 008252108 672 7000 SH SOLE 7000 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 13 380 SH SOLE 380 0 0 ALCOA INC COM 013817101 10 1138 SH SOLE 1138 0 0 ALCOA INC COM 013817101 865 100000 SH CALL SOLE 100000 0 0 ALCOA INC NOTE 5.250% 3/1 013817AT8 11418 7500000 PRN SOLE 7500000 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 6176 4500000 PRN SOLE 4500000 0 0 AMAZON COM INC COM 023135106 14 83 SH SOLE 83 0 0 ANNALY CAP MGMT INC NOTE 4.000% 2/1 035710AA0 16573 14650000 PRN SOLE 14650000 0 0 APACHE CORP COM 037411105 516 5699 SH SOLE 5699 0 0 APPLE INC COM 037833100 19 46 SH SOLE 46 0 0 AUSTRALIA ACQUISITION CORP SHS G06368107 505 51200 SH SOLE 51200 0 0 AUTOLIV INC UNIT 99/99/9999 052800208 6656 91636 SH SOLE 91636 0 0 AUTONATION INC COM 05329W102 17 461 SH SOLE 461 0 0 BAKER HUGHES INC COM 057224107 11 226 SH SOLE 226 0 0 BANK OF AMERICA CORPORATION COM 060505104 1668 300000 SH CALL SOLE 300000 0 0 BANK OF AMERICA CORPORATION W EXP 10/28/201 060505153 74 250000 SH SOLE 250000 0 0 BARCLAYS BK PLC IPTH S&P VIX NEW 06740C261 7817 220000 SH PUT SOLE 220000 0 0 BEAZER HOMES USA INC COM 07556Q105 496 200000 SH CALL SOLE 200000 0 0 BEAZER HOMES USA INC UNIT 99/99/9999 07556Q501 1971.157 169781 SH SOLE 169781 0 0 BEAZER HOMES USA INC NT SUB7.5%2013 07556Q402 350 27200 SH SOLE 27200 0 0 BLUE WOLF MONGOLIA HOLDINGS SHS G11962100 1190 125100 SH SOLE 125100 0 0 BLUE WOLF MONGOLIA HOLDINGS *W EXP 07/20/201 G11962118 90 125100 SH SOLE 125100 0 0 CATERPILLAR INC DEL COM 149123101 15 161 SH SOLE 161 0 0 CBS CORP NEW CL B 124857202 17 617 SH SOLE 617 0 0 CEMEX SAB DE CV SPON ADR NEW 151290889 539 100000 SH CALL SOLE 100000 0 0 CERNER CORP COM 156782104 17 282 SH SOLE 282 0 0 CHENIERE ENERGY INC NOTE 2.250% 8/0 16411RAE9 940 1000000 PRN SOLE 1000000 0 0 CHINA GROWTH EQUITY INV LTD SHS G2114K107 1282 134399 SH SOLE 134399 0 0 CHINA GROWTH EQUITY INV LTD *W EXP 99/99/999 G2114K123 58 115000 SH SOLE 115000 0 0 CHIPOTLE MEXICAN GRILL INC COM 169656105 18 54 SH SOLE 54 0 0 CITIGROUP INC UNIT 99/99/9999 172967416 8045 100000 SH SOLE 100000 0 0 CITIGROUP INC W EXP 01/04/201 172967226 73 250000 SH SOLE 250000 0 0 CITIGROUP INC W EXP 10/28/201 172967234 8 150000 SH SOLE 150000 0 0 CLIFFS NATURAL RESOURCES INC COM 18683K101 11 178 SH SOLE 178 0 0 CMS ENERGY CORP NOTE 2.875%12/0 125896AW0 4394 2500000 PRN SOLE 2500000 0 0 CONCUR TECHNOLOGIES INC COM 206708109 1356 26700 SH SOLE 26700 0 0 COVANTA HLDG CORP COM 22282E102 1369 100000 SH CALL SOLE 100000 0 0 CREDIT SUISSE NASSAU BRH INVRS VIX STERM 22542D795 163 25000 SH SOLE 25000 0 0 DENDREON CORP NOTE 2.875% 1/1 24823QAC1 2770 4000000 PRN SOLE 4000000 0 0 DIRECTV COM CL A 25490A101 15 340 SH SOLE 340 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 13214 9200000 PRN SOLE 9200000 0 0 EDWARDS LIFESCIENCES CORP COM 28176E108 15 207 SH SOLE 207 0 0 ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/1 29264FAB2 7834 6000000 PRN SOLE 6000000 0 0 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% 29380T402 2 100 SH SOLE 100 0 0 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 1253 28675 SH SOLE 28675 0 0 EVERGREEN SOLAR INC NOTE 4.000% 7/1 30033RAC2 30 4000000 PRN SOLE 4000000 0 0 EXTERRAN HLDGS INC COM 30225X103 501 55000 SH CALL SOLE 55000 0 0 EXTERRAN HLDGS INC COM 30225X103 118 13000 SH PUT SOLE 13000 0 0 EXTERRAN HLDGS INC NOTE 4.250% 6/1 30225XAA1 4400 5000000 PRN SOLE 5000000 0 0 F5 NETWORKS INC COM 315616102 18 169 SH SOLE 169 0 0 FREEPORT-MCMORAN COPPER & GO COM 35671D857 12 319 SH SOLE 319 0 0 GENCO SHIPPING & TRADING LTD NOTE 5.000% 8/1 36869MAA3 863 1425000 PRN SOLE 1425000 0 0 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 10707 9200000 PRN SOLE 9200000 0 0 GLOBAL X FDS GLB X URANIUM 37950E754 24 3000 SH PUT SOLE 3000 0 0 GOODYEAR TIRE & RUBR CO COM 382550101 14 1017 SH SOLE 1017 0 0 HALLIBURTON CO COM 406216101 11 318 SH SOLE 318 0 0 HARMAN INTL INDS INC COM 413086109 15 393 SH SOLE 393 0 0 HARTFORD FINL SVCS GROUP INC W EXP 06/26/201 416515120 229 25000 SH SOLE 25000 0 0 HEALTH CARE REIT INC COM 42217K106 2727 50000 SH PUT SOLE 50000 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 ------------------------------ ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- HOLOGIC INC FRNT 2.000%12/1 436440AA9 4701 4955000 PRN SOLE 4955000 0 0 HOME INNS & HOTELS MGMT INC SPON ADR 43713W107 1430 2000000 PRN SOLE 2000000 0 0 HOME INNS & HOTELS MGMT INC SPON ADR 43713W107 645 25000 SH CALL SOLE 25000 0 0 HUMAN GENOME SCIENCES INC NOTE 2.250% 8/1 444903AM0 3948 4000000 PRN SOLE 4000000 0 0 INCYTE CORP NOTE 4.750%10/0 45337CAJ1 8880 4725000 PRN SOLE 4725000 0 0 INGERSOLL-RAND GLOBAL HLDG C NOTE 4.500% 4/1 45687AAD4 4465 2605000 PRN SOLE 2605000 0 0 ISHARES TR MSCI EMERG MKT 464287234 16227 427700 SH CALL SOLE 427700 0 0 ISHARES TR MSCI EAFE INDEX 464287465 1922 38800 SH CALL SOLE 38800 0 0 ISIS PHARMACEUTICALS INC DEL NOTE 2.625% 2/1 464337AE4 3608 4000000 PRN SOLE 4000000 0 0 LEUCADIA NATL CORP NOTE 3.750% 4/1 527288AX2 2128 1866000 PRN SOLE 1866000 0 0 LEXINGTON REALTY TRUST COM 529043101 70 9400 SH CALL SOLE 9400 0 0 LIONS GATE ENTMNT CORP COM NEW 535919203 333 40000 SH PUT SOLE 40000 0 0 LIONS GATE ENTMT INC NOTE 3.625% 3/1 53626YAA6 2856 2500000 PRN SOLE 2500000 0 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AH0 2962 3385000 PRN SOLE 3385000 0 0 MASTERCARD INC CL A 57636Q104 22 58 SH SOLE 58 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 23729 19835000 PRN SOLE 19835000 0 0 METLIFE INC COM 59156R108 2494 80000 SH CALL SOLE 80000 0 0 METLIFE INC UNIT 99/99/9999 59156R116 5769 94100 SH SOLE 94100 0 0 METROPCS COMMUNICATIONS INC COM 591708102 9 1064 SH SOLE 1064 0 0 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 31773 23579000 PRN SOLE 23579000 0 0 MICRON TECHNOLOGY INC COM 595112103 315 50000 SH CALL SOLE 50000 0 0 MYLAN INC NOTE 1.250% 3/1 628530AG2 3714 3700000 PRN SOLE 3700000 0 0 MYLAN INC NOTE 3.750% 9/1 628530AJ6 5571 3200000 PRN SOLE 3200000 0 0 NASH FINCH CO FRNT 1.631% 3/1 631158AD4 1353 2950000 PRN SOLE 2950000 0 0 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 6891 6065000 PRN SOLE 6065000 0 0 NAUTILUS MARINE ACQUISIT COR SHS Y6255E101 958 100000 SH SOLE 100000 0 0 NAUTILUS MARINE ACQUISIT COR *W EXP 06/17/201 Y6255E119 25 100000 SH SOLE 100000 0 0 NUVASIVE INC NOTE 2.250% 3/1 670704AB1 1920 2000000 PRN SOLE 2000000 0 0 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 6544 143422 SH SOLE 143422 0 0 OMNICARE INC COM 681904108 1723 50000 SH PUT SOLE 50000 0 0 OMNICARE INC NOTE 3.750%12/1 681904AN8 23965 17210000 PRN SOLE 17210000 0 0 PDL BIOPHARMA INC COM 69329Y104 620 100000 SH PUT SOLE 100000 0 0 POWERSHARES QQQ TRUST UNIT SER 1 73935A104 5583 100000 SH CALL SOLE 100000 0 0 PPL CORP COM 69351T106 1471 50000 SH PUT SOLE 50000 0 0 PRICELINE COM INC COM NEW 741503403 16 34 SH SOLE 34 0 0 PRIME ACQUISITION CORP SHS G72436101 354 36500 SH SOLE 36500 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 1858 200000 SH PUT SOLE 200000 0 0 RAMCO-GERSHENSON PPTYS TR COM SH BEN INT 751452202 246 25000 SH PUT SOLE 25000 0 0 RED HAT INC COM 756577102 17 406 SH SOLE 406 0 0 REGIS CORP MINN COM 758932107 1655 100000 SH PUT SOLE 100000 0 0 REGIS CORP MINN NOTE 5.000% 7/1 758932AA5 6222 5000000 PRN SOLE 5000000 0 0 RESOLUTE ENERGY CORP W EXP 09/25/201 76116A116 520 348700 SH SOLE 348700 0 0 SAKS INC COM 79377W108 488 50000 SH PUT SOLE 50000 0 0 SAKS INC NOTE 2.000% 3/1 79377WAL2 7416 7293000 PRN SOLE 7293000 0 0 SALESFORCE COM INC COM 79466L302 12 117 SH SOLE 117 0 0 SBA COMMUNICATIONS CORP NOTE 4.000%10/0 78388JAM8 25892 17006000 PRN SOLE 17006000 0 0 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 6500 500000 SH CALL SOLE 500000 0 0 SHIP FINANCE INTERNATIONAL L SHS G81075106 52 5525 SH SOLE 5525 0 0 SHIP FINANCE INTERNATIONAL L SHS G81075106 1019 109100 SH PUT SOLE 109100 0 0 SK TELECOM LTD SPONSORED ADR 78440P108 4094 330000000 PRN SOLE 330000000 0 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 50200 400000 SH PUT SOLE 400000 0 0 SUNRISE SENIOR LIVING INC COM 86768K106 162 25000 SH CALL SOLE 25000 0 0 SYNOVUS FINL CORP COM 87161C105 141 100000 SH CALL SOLE 100000 0 0 SYNOVUS FINL CORP UNIT 99/99/9999 87161C204 5029 362872 SH SOLE 362872 0 0 TATA MTRS LTD SPONSORED ADR 876568502 3625 214500 SH PUT SOLE 214500 0 0 TESORO CORP COM 881609101 17 745 SH SOLE 745 0 0 TEXTRON INC NOTE 4.500% 5/0 883203BN0 3060 2000000 PRN SOLE 2000000 0 0 TREX CO INC NOTE 6.000% 7/0 89531PAA3 1000 900000 PRN SOLE 900000 0 0 TWO HBRS INVT CORP W EXP 11/07/201 90187B119 12 100000 SH SOLE 100000 0 0 U S AIRWAYS GROUP INC COM 90341W108 254 50000 SH CALL SOLE 50000 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 ------------------------------ ---------------- --------- -------- --------- --- ---- ---------- -------- --------- ------ ---- UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 18268 17113000 PRN SOLE 17113000 0 0 UNITED MICROELECTRONICS CORP SPON ADR NEW 910873405 1212 566300 SH SOLE 566300 0 0 UNIVERSAL CORP VA COM 913456109 1091 23743 SH SOLE 23743 0 0 URANIUM ENERGY CORP COM 916896103 37 12108 SH SOLE 12108 0 0 US AIRWAYS GROUP INC NOTE 7.250% 5/1 911905AC1 10388 8000000 PRN SOLE 8000000 0 0 VALE CAP II VALEP 6.75%12 91912F300 13056 199473 SH SOLE 199473 0 0 VIRGIN MEDIA INC NOTE 6.500%11/1 92769LAB7 8258 6000000 PRN SOLE 6000000 0 0 VISA INC COM CL A 92826C839 20 200 SH SOLE 200 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 450 50000 SH CALL SOLE 50000 0 0 WESTERN REFNG INC NOTE 5.750% 6/1 959319AC8 9312 6500000 PRN SOLE 6500000 0 0 WHOLE FOODS MKT INC COM 966837106 19 272 SH SOLE 272 0 0 WILLIAMS COS INC DEL COM 969457100 19 578 SH SOLE 578 0 0 WYNN RESORTS LTD COM 983134107 12 111 SH SOLE 111 0 0 XILINX INC SDCV 3.125% 3/1 983919AD3 15282 13450000 PRN SOLE 13450000 0 0