-----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, PJHRJrKqX6PD553WNPN6gAc/YXBnhhlfwszQdqpfMdxIGR9e+eyPkzgy3aQf5ceF hyb+61UJR5f7AISjJt3ukQ== 0001013594-07-000237.txt : 20070514 0001013594-07-000237.hdr.sgml : 20070514 20070514144634 ACCESSION NUMBER: 0001013594-07-000237 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20070331 FILED AS OF DATE: 20070514 DATE AS OF CHANGE: 20070514 EFFECTIVENESS DATE: 20070514 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: 07845811 MAIL ADDRESS: STREET 1: 1266 E MAIN ST CITY: STAMFORD STATE: CT ZIP: 06902 13F-HR 1 basso13fhr-051407.txt MAY 14, 2007 FORM 13F UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2007 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 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 this 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 - ------------------------ (Signature) Stamford, Connecticut - ------------------------ (City, State) May 14, 2007 - ------------------------ (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. [ ] 13F COMBINATION REPORT. FORM 13F Summary Page Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 343 Form 13F Information Table Value Total: $1,587,242 (thousands) List of Other Included Managers: None. Name of Reporting Managers: Basso Capital Management, L.P. 13F Report For Quarter Ended 3/31/07
Item 1: Item 2: Item3: Item 4: Item 5: Item 6: Item 7: Item 8: Name of Issuer Title of Class CUSIP Fair Market Shares or Investment Other Voting Authority Value Principal Sh/ Put/ Discretion Managers (x $1000) Amount Prn Call (a) Sole (b) Shared (c) None 24/7 REAL MEDIA INC COM NEW 901314203 417 51949 SH SOLE 51949 3M CO COM 88579Y101 1146 15000 SH SOLE 15000 ABERCROMBIE & FITCH CO CL A 002896207 1968 26000 SH SOLE 26000 ACCESS INTEGRATED TECHNLGS I CL A 004329108 2009 754268 SH SOLE 754268 ACTUANT CORP SDCV 2.000%11/1 00508XAB0 4079 3000000 PRN SOLE 3000000 ADESA INC COM 00686U104 1901 68800 SH SOLE 68800 AFLAC INC COM 001055102 2588 55000 SH SOLE 55000 AGERE SYS INC COM 00845V308 3973 175646 SH SOLE 175646 AGRIUM INC COM 008916108 767 20000 SH SOLE 20000 AIRTRAN HLDGS INC COM 00949P108 1765 171900 SH SOLE 171900 AKAMAI TECHNOLOGIES INC NOTE 1.000%12/1 00971TAE1 16255 5000000 PRN SOLE 5000000 ALCATEL-LUCENT SPONSORED ADR 013904305 355 30000 SH SOLE 30000 ALCOA INC COM 013817101 2034 60000 SH SOLE 60000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 4750 4000000 PRN SOLE 4000000 ALTRIA GROUP INC COM 02209S103 2011 22900 SH SOLE 22900 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 3680 77000 SH SOLE 77000 AMERICAN COMMERCIAL LINES COM NEW 025195207 315 10000 SH SOLE 10000 AMERICAN EXPRESS CO COM 025816109 3102 55000 SH SOLE 55000 AMERICAN FINL GROUP INC OHIO NOTE 1.486% 6/0 025932AD6 6742 11375000 PRN SOLE 11375000 AMGEN INC COM 031162100 1118 20000 SH SOLE 20000 AMGEN INC NOTE 0.125% 2/0 031162AN0 15996 17500000 PRN SOLE 17500000 AMR CORP COM 001765106 761 25000 SH SOLE 25000 ANADARKO PETE CORP COM 032511107 1075 25000 SH SOLE 25000 ANNALY CAP MGMT INC COM 035710409 619 40000 SH SOLE 40000 AON CORP DBCV 3.500%11/1 037389AT0 98688 55804000 PRN SOLE 55804000 APPLEBEES INTL INC COM 037899101 3080 124286 SH SOLE 124286 ARCHER DANIELS MIDLAND CO COM 039483102 918 25000 SH SOLE 25000 ARMSTRONG WORLD INDS INC NEW COM 04247X102 1017 20000 SH SOLE 20000 AT&T INC COM 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398433102 4131 166900 SH SOLE 166900 GRIFFON CORP NOTE 4.000% 7/1 398433AC6 10497 9000000 PRN SOLE 9000000 GRUBB&ELLIS RLTY ADVISORS IN COM 400096103 1165 204660 SH SOLE 204660 GRUBB&ELLIS RLTY ADVISORS IN W EXP 02/27/201 400096111 58 135271 SH SOLE 135271 HALLIBURTON CO NOTE 3.125% 7/1 406216AM3 50455 29500000 PRN SOLE 29500000 HANOVER INS GROUP INC COM 410867105 2112 45800 SH SOLE 45800 HARBOR ACQUISITION CORPORATI COM 41145X107 1445 264228 SH SOLE 264228 HARRAHS ENTMT INC COM 413619107 8445 100000 SH SOLE 100000 HARRIS CORP DEL DBCV 3.500% 8/1 413875AH8 37435 16600000 PRN SOLE 16600000 HCC INS HLDGS INC NOTE 1.300% 4/0 404132AB8 13716 10059000 PRN SOLE 10059000 HCC INS HLDGS INC NOTE 2.000% 9/0 404132AC6 14424 9986000 PRN SOLE 9986000 HD PARTNERS ACQUISITION CORP COM 40415K100 2045 272605 SH SOLE 272605 HD PARTNERS ACQUISITION CORP W EXP 06/01/201 40415K118 152 262605 SH SOLE 262605 HDFC BANK LTD ADR REPS 3 SHS 40415F101 903 14006 SH SOLE 14006 HELMERICH & PAYNE INC COM 423452101 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ULTRA PETROLEUM CORP COM 903914109 1063 20000 SH SOLE 20000 UNION STREET ACQ CORP COM ADDED 908536105 883 120000 SH SOLE 120000 UNION STREET ACQ CORP W EXP 02/05/201 ADDED 908536113 55 90000 SH SOLE 90000 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 4497 4000000 PRN SOLE 4000000 UNITED MICROELECTRONICS CORP SPONSORED ADR 910873207 72 22788 SH SOLE 22788 UNITEDHEALTH GROUP INC COM 91324P102 1589 30000 SH SOLE 30000 URBAN OUTFITTERS INC COM 917047102 2518 95000 SH SOLE 95000 US BANCORP DEL DBCV 9/2 ADDED 902973AQ9 29995 30000000 PRN SOLE 30000000 USI HLDGS CORP COM 90333H101 4256 252568 SH SOLE 252568 V F CORP COM 918204108 2396 29000 SH SOLE 29000 VA SOFTWARE CORP COM 91819B105 522 129600 SH SOLE 129600 VIACOM INC NEW CL B 92553P201 3700 90000 SH SOLE 90000 WAL MART STORES INC COM 931142103 8686 185000 SH SOLE 185000 WAL MART STORES INC COM 931142103 70 500 SH CALL SOLE 500 WEBMETHODS INC COM 94768C108 913 127000 SH SOLE 127000 WELLPOINT INC COM 94973V107 1217 15000 SH SOLE 15000 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