-----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, AEvo/i0YLrPv/Fdh68yBKfiy5twXvZPZKYSU0HAIB9gCxaO581KAOYNm8+MXN6pi 7bKsPRMNJ7AAM7ijSU1SHg== 0001013594-06-000132.txt : 20060214 0001013594-06-000132.hdr.sgml : 20060214 20060214125744 ACCESSION NUMBER: 0001013594-06-000132 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20051231 FILED AS OF DATE: 20060214 DATE AS OF CHANGE: 20060214 EFFECTIVENESS DATE: 20060214 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: 06610803 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-021306.txt FEBRUARY 13, 2006 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for Calendar Year or Quarter Ended: December 31, 2005 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 Stamford, CT 06902 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, 2/13/06 - ----------------------------------------------------- Howard Fischer Report Type (Check only one): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: NONE FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 1 No. Form 13F File Number Name 1 28- DKR Capital Partners L.P. Form 13F Information Table Entry Total: 302 Form 13F Information Table Value Total: $1,552,746.04 (x1000) No Puts and Calls Form 13F Information Table Name Of Issuer Title Of Class Cusip Value (x1000) Quantity Shrs/ Other Invt Vtng PRN Mgr Disc Authy AMR CORP NOTE 4.250% 9/2 001765BA3 1,410.26 1,000,000 PRN Sole Sole AT&T INC COM 00206R102 734.70 30,000 SH Sole Sole ASM INTERNATIONAL N.V. NOTE 4.250%12/0 00207DAG7 2,425.00 2,500,000 PRN Sole Sole ATP OIL & GAS CORPORATION COM 00208J108 1,632.14 44,100 SH Sole Sole AU OPTRONICS CORP SPONSORED ADR 002255107 3,473.61 231,420 SH Sole Sole ABRAXAS PETROLEUM CORP COM 003830106 633.60 120,000 SH Sole Sole ACACIA RESEARCH - COMBIMATRI COMBIMTRX COM 003881208 495.47 361,660 SH Sole Sole ACCESS INTEGRATED TECHNOLO-A CL A 004329108 7,994.01 770,136 SH Sole Sole ACTIVISION INC COM NEW 004930202 1,236.60 90,000 SH Sole Sole AETNA INC COM 00817Y108 943.10 10,000 SH Sole Sole AGNICO-EAGLE MINES LTD SDCV 4.500% 2/1 008474AB4 7,763.02 5,500,000 PRN Sole Sole ALASKA AIR GROUP INC COM 011659109 582.24 16,300 SH Sole Sole ALASKA AIR GROUP INC DBCV3/2 011659AG4 10,113.07 7,251,000 PRN Sole Sole ALBERTSON'S INC COM 013104104 320.25 15,000 SH Sole Sole ALFACELL CORP COM 015404106 71.88 38,093 SH Sole Sole ALFACELL CORP COM 015404106 234.36 124,197 SH 1 Defined Defined ALKERMES INC NOTE2.500% 9/0 01642TAE8 4,245.59 3,000,000 PRN Sole Sole ALLERGAN INC NOTE11/0 018490AE2 31,846.84 25,851,000 PRN Sole Sole ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 2,160.00 2,000,000 PRN Sole Sole AMERADA HESS CORP PFD CV ACES 7% 023551401 7,524.76 70,000 SH Sole Sole AMERICA WEST HOLDINGS CORP NOTE 7.500% 1/1 023657AA7 14,210.78 11,120,074 PRN Sole Sole AMERICAN COMMERCIAL LINES COM NEW 025195207 2,001.12 66,000 SH Sole Sole AMERICAN FINANCIAL GROUP INC NOTE 1.486% 6/0 025932AD6 4,856.23 10,500,000 PRN Sole Sole AMERICAN FINANCIAL REALTY TR NOTE 4.375% 7/1 02607PAB3 11,203.50 12,500,000 PRN Sole Sole AMERICAN GREETINGS CORP-CL A NOTE 7.000%7/1 026375AJ4 15,043.87 9,375,000 PRN Sole Sole AMERICAN ORIENTAL BIOENGINEE COM 028731107 354.57 100,000 SH Sole Sole AMERICAN TOWER CORP-CL A CL A 029912201 368.18 13,586 SH Sole Sole AMERICAN TOWER CORP NOTE 3.000% 8/1 029912AR3 3,589.62 2,500,000 PRN Sole Sole ANALOG DEVICES COM 032654105 520.12 14,500 SH Sole Sole AON CORP DBCV3.500%11/1 037389AT0 14,119.29 8,334,000 PRN Sole Sole APACHE CORP COM 037411105 1,233.36 18,000 SH Sole Sole APPLE COMPUTER INC COM 037833100 452.91 6,300 SH Sole Sole ARCH COAL INC COM 039380100 1,590.00 20,000 SH Sole Sole ARENA PHARMACEUTICALS INC COM 040047102 568.40 40,000 SH Sole Sole ARGON ST INC COM 040149106 232.35 7,500 SH Sole Sole ATMEL CORP SDCV5/2 049513AE4 2,412.50 5,000,000 PRN Sole Sole AVAYA INC COM 053499109 544.17 51,000 SH Sole Sole BJ SERVICES CO COM 055482103 1,466.80 40,000 SH Sole Sole BANK OF AMERICA CORP COM 060505104 1,153.75 25,000 SH Sole Sole BEAR STEARNS COMPANIES INC COM 073902108 577.65 5,000 SH Sole Sole BEVERLY ENTERPRISES INC COM NEW 087851309 560.16 48,000 SH Sole Sole BRIGGS & STRATTON COM 109043109 387.90 10,000 SH Sole Sole BRISTOL-MYERS SQUIBB CO COM 110122108 459.60 20,000 SH Sole Sole BRONCO DRILLING CO INC COM 112211107 529.23 23,000 SH Sole Sole BROOKLINE BANCORP INC COM 11373M107 5.66 400 SH sole Sole CBRL GROUP INC NOTE4/0 12489VAB2 740.14 1,620,000 PRN Sole Sole CKE RESTAURANTS INC NOTE 4.000%10/0 12561EAG0 15,960.66 10,000,000 PRN Sole Sole CNET NETWORKS INC NOTE 0.750% 4/1 12613RAD6 2,135.64 2,000,000 PRN Sole Sole CABLEVISION SYSTEMS-NY GRP-A CL ANY CABLVS 12686C109 3,426.62 146,000 SH Sole Sole BELDEN CDT INC SDCV4.000% 7/1 126924AB5 1,442.38 1,000,000 PRN Sole Sole CADENCE DESIGN SYS INC NOTE8/1 127387AB4 14,063.65 12,450,000 PRN Sole Sole CAL DIVE INTERNATIONAL INC COM 127914109 1,076.70 30,000 SH Sole Sole CANYON RESOURCES CORP COM NEW 138869300 222.14 328,949 SH Sole Sole CAPITAL ONE FINANCIAL CORP COM 14040H105 864.00 10,000 SH Sole Sole CARNIVAL CORP PAIREDCTF 143658300 6,272.62 117,311 SH Sole Sole CARNIVAL CORP DBCV2.000% 4/1 143658AN2 10,311.68 7,500,000 PRN Sole Sole CARNIVAL CORP NOTE10/2 143658AS1 4,435.43 5,000,000 PRN Sole Sole CENTERPOINT ENERGY INC NOTE 3.750% 5/1 15189TAM9 29,392.59 25,000,000 PRN Sole Sole CENTRAL GARDEN & PET CO COM 153527106 918.80 20,000 SH Sole Sole CEPHALON INC NOTE6/1 156708AK5 16,176.51 14,000,000 PRN Sole Sole CHARMING SHOPPES NOTE 4.750% 6/0 161133AC7 8,449.75 6,000,000 PRN Sole Sole CHARTER COMMUNICATIONS-CL A NOTE 5.875%11/1 16117MAE7 14,256.32 19,072,000 PRN Sole Sole CHEMTURA CORP COM 163893100 2,388.87 188,100 SH Sole Sole CHESAPEAKE ENERGY CORP COM 165167107 1,332.66 42,000 SH Sole Sole CHESAPEAKE ENERGY CORP CALL 165167907 861.00 525 PRN Sole Sole CHIRON CORP NOTE6/1 170040AE9 9,243.00 15,600,000 PRN Sole Sole CHUNGHWA TELECOM CO LTD SPONSOREDADR 17133Q205 1,284.50 70,000 SH Sole Sole CISCO SYSTEMS INC COM 17275R102 1,883.20 110,000 SH Sole Sole CITADEL BROADCASTING CORP NOTE 1.875% 2/1 17285TAB2 1,543.43 2,000,000 PRN Sole Sole CITIGROUP INC COM 172967101 970.60 20,000 SH Sole Sole COMCAST CORP-CL A CL A 20030N101 3,538.08 136,500 SH Sole Sole COMMONWEALTH TELEPHONE ENTRP NOTE 3.250% 7/1 203349AB1 3,893.51 3,900,000 PRN Sole Sole COMMUNITY HEALTH SYSTEMS INC NOTE 4.250%10/1 203668AA6 18,321.60 16,121,000 PRN Sole Sole COMTECH GROUP INC COMNEW 205821200 2,813.38 453,040 SH Sole Sole CONOCOPHILLIPS COM 20825C104 1,512.68 26,000 SH Sole Sole CONSECO INC PFD B CV 5.50% 208464867 4,765.18 168,500 SH Sole Sole CONSOL ENERGY INC COM 20854P109 3,584.90 55,000 SH Sole Sole CONTINENTAL AIRLINES-CL B CL B 210795308 436.65 20,500 SH Sole Sole THE COOPER COS INC DBCV 2.625% 7/0 216648AG0 3,103.17 2,500,000 PRN Sole Sole CORE-MARK HOLDING CO INC COM 218681104 969.76 30,400 SH Sole Sole COSTCO WHOLESALE CORP NOTE8/1 22160QAC6 7,594.23 6,760,000 PRN Sole Sole COVAD COMMUNICATIONS GROUP DBCV 3.000% 3/1 222814AR6 1,805.35 2,906,000 PRN Sole Sole CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 20,467.62 18,079,000 PRN Sole Sole CYTRX CORP COM NEW 232828301 178.01 172,830 SH Sole Sole DANAHER CORP NOTE 1/2 235851AF9 6,021.81 7,337,000 PRN Sole Sole DEALERTRACK HOLDINGS INC COM 242309102 419.60 20,000 SH Sole Sole DELL INC COM 24702R101 1,257.90 42,000 SH Sole Sole DIGI INTERNATIONAL INC COM 253798102 214.00 20,400 SH Sole Sole WASHINGTON MUTUAL INC *W EXP 99/99/999 25429Q110 12.56 96,600 PRN Sole Sole DISCOVERY LABORATORIES INC COM 254668106 2,033.48 304,413 SH Sole Sole THE WALT DISNEY CO. COM DISNEY 254687106 961.20 40,100 SH Sole Sole DOBSON COMMUNICATIONS CORP-A CL A 256069105 1,145.25 152,700 SH Sole Sole DOMINION RESOURCES INC/VA NOTE 2.125%12/1 25746UAT6 12,012.90 11,000,000 PRN Sole Sole DUKE ENERGY CORP NOTE 1.750% 5/1 264399EJ1 32,081.83 27,500,000 PRN Sole Sole EMC CORP/MASS COM 268648102 732.76 53,800 SH Sole Sole ENSCO INTERNATIONAL INC COM 26874Q100 1,108.75 25,000 SH Sole Sole EOG RESOURCES INC COM 26875P101 1,467.40 20,000 SH Sole Sole E*TRADE FINANCIAL CORP NOTE 6.000% 2/0 269246AB0 2,005.00 2,000,000 PRN Sole Sole EDWARDS LIFESCIENCES CORP DBCV 3.875%5/1 28176EAB4 4,232.19 4,300,000 PRN Sole Sole EL PASO CORP DBCV2/2 28336LAC3 3,113.02 5,733,000 PRN Sole Sole ELAN CORP PLC -SPONS ADR CALL 284131908 205.00 500 PRN Sole Sole ELINEAR INC COMNEW 286590203 16.77 55,086 SH Sole Sole EMAGIN CORPORATION COM 29076N107 518.18 909,090 SH Sole Sole EMCORE CORP NOTE 5.000% 5/1 290846AC8 5,793.09 5,500,000 PRN Sole Sole EMDEON CORP COM 290849108 586.63 69,342 SH Sole Sole ENDO PHARMACEUT HLDGS INC COM 29264F205 1,089.36 36,000 SH Sole Sole ENERGY CONVERSION DEVICES COM 292659109 2,157.63 52,948 SH Sole Sole EQUINIX INC DBCV 2.500% 2/1 29444UAE6 4,514.00 4,000,000 PRN Sole Sole ESSEX CORP COM 296744105 247.23 14,500 SH Sole Sole EURONET WORLDWIDE INC COM 298736109 225.18 8,100 SH Sole Sole EVERGREEN RES INC NOTE 4.750%12/1 299900AB6 49,620.00 24,910,000 PRN Sole Sole EXPEDIA INC *W EXP 02/04/2009 30212P121 25.96 2100 SH sole Sole FAIRMONT HOTELS & RESORTS NOTE 3.750%12/0 305204AB5 3,486.53 3,000,000 PRN Sole Sole FARGO ELECTRONICS COM 30744P102 313.78 16,300 SH Sole Sole FINANCIAL FEDERAL CORP DBCV 2.000% 4/1 317492AF3 5,927.69 5,500,000 PRN Sole Sole FIRST DATA CORP COM 319963104 1,075.25 25,000 SH Sole Sole FIRST HORIZON PHARMACEUTICAL NOTE 1.750% 3/0 32051KAB2 11,669.86 12,637,000 PRN Sole Sole FISHER SCIENTIFIC INTL NOTE 3.250% 3/0 338032AX3 5,496.66 5,500,000 PRN Sole Sole FOUNDATION COAL HOLDINGS INC COM 35039W100 1,330.00 35,000 SH Sole Sole FRANKLIN RESOURCES INC NOTE 5/1 354613AC5 8,798.63 10,000,000 PRN Sole Sole FRED'S INC CL A 356108100 1,421.09 87,344 SH Sole Sole FRONTIER AIRLINES INC DBCV 5.000%12/1 359065AA7 2,716.47 2,500,000 PRN Sole Sole GAMESTOP CORP-CL B CL B 36467W208 2,725.27 94,300 SH Sole Sole GANNETT CO COM 364730101 908.55 15,000 SH Sole Sole GENAERA CORPORATION COM 36867G100 789.75 526,500 SH Sole Sole GENENTECH INC COM NEW 368710406 925.00 10,000 SH Sole Sole GENERAL COMMUNICATION -CL A CL A 369385109 286.14 27,700 SH Sole Sole GENERAL MOTORS CORP DEBSR CV C 33 370442717 1,946.34 125,000 SH Sole Sole GENERAL MOTORS CORP PUT 370442955 856.78 9,000 PRN Sole Sole GENESCO INC SDCV4.125% 6/1 371532AN2 3,117.91 1,690,000 PRN Sole Sole GLOBAL PAYMENTS INC COM 37940X102 335.59 7,200 SH Sole Sole GOOGLE INC-CL A CL A 38259P508 1,659.44 4,000 SH Sole Sole GRANT PRIDECO INC COM 38821G101 882.40 20,000 SH Sole Sole GUESS? INC COM 401617105 519.76 14,600 SH Sole Sole GUIDANT CORP COM 401698105 3,885.00 60,000 SH Sole Sole HCC INSURANCE HOLDINGS INC NOTE 1.300% 4/0 404132AB8 7,290.15 5,502,000 PRN Sole Sole HCC INSURANCE HOLDINGS INC NOTE 2.000% 9/0 404132AC6 9,145.50 6,500,000 PRN Sole Sole HDFC BANK LIMITED ADR REPS 3 SHS 40415F101 1,969.83 38,700 SH Sole Sole HAIN CELESTIAL GROUP INC COM 405217100 279.31 13,200 SH Sole Sole HALLIBURTON CO COM 406216101 743.52 12,000 SH Sole Sole HANOVER COMPRESSOR CO NOTE 4.750% 1/1 410768AE5 6,240.66 5,500,000 PRN Sole Sole HARRIS CORP COM 413875105 344.08 8,000 SH Sole Sole HASBRO INC COM 418056107 80.72 4,000 SH Sole Sole HEALTH MGMT ASSOCIATES INC-A NOTE1.500% 8/0 421933AF9 7,531.58 7,500,000 PRN Sole Sole HEALTH CARE REIT INC COM 42217K106 644.10 19,000 SH Sole Sole HEWLETT-PACKARD CO COM 428236103 317.79 11,100 SH Sole Sole HILTON HOTELS CORP COM 432848109 1,521.34 63,100 SH Sole Sole HUDSON CITY BANCORP INC COM 443683107 969.60 80,000 SH Sole Sole HUDSON UNITED 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817492AB7 7,882.94 7,400,000 PRN Sole Sole SEROLOGICALS CORPORATION SDCV4.750% 8/1 817523AB9 14,008.92 9,651,000 PRN Sole Sole SIEBEL SYSTEMS INC COM 826170102 792.75 75,000 SH Sole Sole SILICON VALLEY BANCSHARES NOTE6/1 827064AC0 16,071.25 11,500,000 PRN Sole Sole SIRIUS SATELLITE RADIO INC NOTE3.500% 6/0 82966UAA1 24,323.55 5,010,000 PRN Sole Sole SIX FLAGS INC NOTE4.500% 5/1 83001PAJ8 2,753.65 2,100,000 PRN Sole Sole SOLECTRON CORP COM 834182107 640.50 175,000 SH Sole Sole SONTRA MEDICAL CORP COM 83568W109 341.95 727,557 SH Sole Sole SOUTHWEST AIRLINES CO COM 844741108 936.51 57,000 SH Sole Sole SPANSION INC-CLASS A COM CL A 84649R101 278.60 20,000 SH Sole Sole SPRINT NEXTEL CORP COM FON 852061100 1,822.08 78,000 SH Sole Sole STAGE STORES INC *W EXP 08/23/200 85254C123 1,299.65 64,950 PRN Sole Sole STAGE STORES INC *W EXP 08/23/200 85254C131 1,910.16 114,518 PRN Sole Sole STAR SCIENTIFIC INC COM 85517P101 417.60 177,700 SH Sole Sole SUNOCO INC COM 86764P109 783.80 10,000 SH Sole 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Sole TRANSMERIDIAN EXPLORATION COM 89376N108 2,553.46 418,600 SH Sole Sole TRIARC COS-B CL B SER 1 895927309 1,976.54 133,100 SH Sole Sole TRIARC COMPANIES-A NOTE 5.000% 5/1 895927AD3 23,119.27 19,234,000 PRN Sole Sole TRICO MARINE SERVICES INC COM NEW 896106200 1,040.00 40,000 SH Sole Sole TRUMP ENTERTAINMENT RESORTS COM 89816T103 704.55 35,000 SH Sole Sole TYCO INTERNATIONAL LTD DBCV2.750% 1/1 902118BF4 22,199.46 17,500,000 PRN Sole Sole UNION DRILLING INC COM 90653P105 581.20 40,000 SH Sole Sole UNITED NATURAL FOODS INC COM 911163103 216.48 8,200 SH Sole Sole UNIVERSAL COMPRESSION HLDGS COM 913431102 822.40 20,000 SH Sole Sole URBAN OUTFITTERS INC COM 917047102 248.04 9,800 SH Sole Sole VERIZON COMMUNICATIONS INC COM 92343V104 1,219.86 40,500 SH Sole Sole VIACOM INC-CL A 92553P102 884.52 27,000 SH Sole Sole VIACOM INC-CL B CL B 92553P201 6,992.70 214,500 SH Sole Sole VINTAGE PETROLEUM INC COM 927460105 2,399.85 45,000 SH Sole Sole VION PHARMACEUTICALS INC COM 927624106 782.48 474,230 SH Sole Sole VORNADO REALTY DEB3.875% 4/1 929043AC1 8,377.22 8,000,000 PRN Sole Sole WACHOVIA CORP COM 929903102 1,057.20 20,000 SH Sole Sole WALTER INDUSTRIES INC COM 93317Q105 2,540.69 51,100 SH Sole Sole WALTER INDUSTRIES INC NOTE 3.750% 5/0 93317QAC9 29,765.81 10,500,000 PRN Sole Sole WATSON PHARMACEUTICALS INC DBCV 1.750% 3/1 942683AC7 4,766.75 5,000,000 PRN Sole Sole WELLPOINT INC COM 94973V107 1,595.80 20,000 SH Sole Sole WENDY'S INTERNATIONAL INC COM 950590109 2,182.77 39,500 SH Sole Sole WA/CLAY US TREAS INFL PROT 2 COM 95766R104 72.41 6,100 SH Sole Sole WESTERN GAS RESOURCES INC COM 958259103 2,401.59 51,000 SH Sole Sole WILD OATS MARKETS INC COM 96808B107 251.26 20,800 SH Sole Sole WILLIAMS COS INC COM 969457100 695.10 30,000 SH Sole Sole WYETH COM 983024100 230.35 5,000 SH Sole Sole WYNN RESORTS LTD DBCV 6.000%7/1 983134AB3 10,809.90 4,500,000 PRN Sole Sole XCEL ENERGY INC NOTE7.500%11/2 98389BAB6 7,652.85 5,000,000 PRN Sole Sole YAHOO! 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