13F-HR 1 basso13fhr-021610.txt FEBRUARY 16, 2010 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, 2009 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 16, 2010 ---------------------- --------------------- ----------------- [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: 85 Form 13F Information Table Value Total: $463,548 (thousands) List of Other Included Managers: None. Name of Reporting Manager: Basso Capital Management, L.P. 13F Report For Quarter Ended 12/31/09
VALUE SHARES SH/ PUT/ INVSTMT OTHER NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETN MANAGERS SOLE SHARED NONE AIRTRAN HLDGS INC NOTE 5.250%11/0 00949PAD0 3528 3250000 PRN SOLE 3250000 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 5136 79900 SH PUT SOLE 79900 ALLEGHENY TECHNOLOGIES INC COM 01741R102 3000 67000 SH SOLE 67000 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 2527 2500000 PRN SOLE 2500000 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 5678 5000000 PRN SOLE 5000000 ALPHA NATURAL RESOURCES INC COM 02076X102 1154 26600 SH SOLE 26600 AMERICAN MED SYS HLDGS INC COM 02744M108 965 50000 SH PUT SOLE 50000 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 7311 6500000 PRN SOLE 6500000 AUTOLIV INC PFD 8% CONV 052800208 19965 335203 SH SOLE 335203 BLACKROCK INC DBCV 2.625% 2/1 09247XAB7 17474 7500000 PRN SOLE 7500000 CACI INTL INC NOTE 2.125% 5/0 127190AD8 5764 5400000 PRN SOLE 5400000 CALLAWAY GOLF CO COM 131193104 566 75000 SH PUT SOLE 75000 CASH AMER INTL INC COM 14754D100 874 25000 SH PUT SOLE 25000 CELANESE CORP DEL PFD 4.25% CONV 150870202 13306 327100 SH SOLE 327100 CEPHALON INC NOTE 2.000% 6/0 156708AP4 14152 10000000 PRN SOLE 10000000 CIT GROUP INC COM NEW 125581801 258 9327 SH SOLE 9327 CITIGROUP INC COM 172967101 662 200000 SH CALL SOLE 200000 CMS ENERGY CORP NOTE 2.875%12/0 125896AW0 10444 8500000 PRN SOLE 8500000 COMBIMATRIX CORPORATION W EXP 99/99/99 20009T113 250 15152 SH SOLE 15152 CONTINENTAL AIRLS INC CL B 210795308 1792 100000 SH PUT SOLE 100000 CONTINENTAL AIRLS INC NOTE 4.500% 1/1 210795PU8 5500 5000000 PRN SOLE 5000000 DANAHER CORP DEL NOTE 1/2 235851AF9 15649 14250000 PRN SOLE 14250000 EARTHLINK INC NOTE 3.250%11/1 270321AA0 2190 2000000 PRN SOLE 2000000 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 455 12900 SH CALL SOLE 12900 ENTERTAINMENT PPTYS TR PFD C CNV 5.75% PFD C CNV 5.75% 29380T402 1154 72335 SH SOLE 72335 ENZON PHARMACEUTICALS INC NOTE 4.000% 6/0 293904AE8 7058 6000000 PRN SOLE 6000000 FEDERAL NATL MTG ASSN CONV PFD SR 08-1 313586745 37 22569 SH SOLE 22569 FORD MTR CO DEL COM PAR $0.01 345370860 2000 200000 SH PUT SOLE 200000 FORD MTR CO DEL NOTE 4.250%11/1 345370CN8 18933 15000000 PRN SOLE 15000000 FOREST CITY ENTERPRISES INC CL A 345550107 630 53500 SH PUT SOLE 53500 GILEAD SCIENCES INC NOTE 0.500% 5/0 375558AG8 11525 9700000 PRN SOLE 9700000 GILEAD SCIENCES INC NOTE 0.625% 5/0 375558AH6 11037 8990000 PRN SOLE 8990000 GLG PARTNERS INC W EXP 12/28/201 37929X115 170 1000000 SH SOLE 1000000 GOLDCORP INC NEW COM 380956409 1149 29200 SH SOLE 29200 GREATBATCH INC COM 39153L106 962 50000 SH PUT SOLE 50000 GREATBATCH INC SDCV 2.250% 6/1 39153LAB2 6365 7500000 PRN SOLE 7500000 HCC INS HLDGS INC NOTE 1.300% 4/0 404132AB8 3704 3000000 PRN SOLE 3000000 HRPT PPTYS TR COM SH BEN INT 40426W101 324 50000 SH PUT SOLE 50000 HRPT PPTYS TR PFD CONV D 40426W507 1340 75268 SH SOLE 75268 INFORMATICA CORP NOTE 3.000% 3/1 45666QAB8 4071 3000000 PRN SOLE 3000000 INTEL CORP COM 458140100 818 40100 SH SOLE 40100 INVACARE CORP COM 461203101 434 17400 SH PUT SOLE 17400 INVACARE CORP SDCV 4.125% 2/0 461203AD3 10640 9350000 PRN SOLE 9350000 INVITROGEN CORP NOTE 2.000% 8/0 46185RAJ9 7705 5000000 PRN SOLE 5000000 ISHARES TR INDEX MSCI EMERG MKT 464287234 10375 250000 SH PUT SOLE 250000 ITRON INC COM 465741106 1689 25000 SH SOLE 25000 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAG7 21078 20948000 PRN SOLE 20948000 MACROVISION CORP NOTE 2.625% 8/1 555904AB7 4079 3289000 PRN SOLE 3289000 MCMORAN EXPLORATION CO COM 582411104 80 10000 SH SOLE 10000 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 3089 3000000 PRN SOLE 3000000 MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 15807 15600000 PRN SOLE 15600000 MICRON TECHNOLOGY INC COM 595112103 262 30000 SH PUT SOLE 30000 MYLAN INC COM 628530107 645 35000 SH PUT SOLE 35000 MYLAN INC PFD CONV 628530206 17162 15000 SH SOLE 15000 NATIONAL RETAIL PROPERTIES I NOTE 3.950% 9/1 637417AA4 2628 2500000 PRN SOLE 2500000 NATIONAL RETAIL PROPERTIES I NOTE 5.125% 6/1 637417AC0 2641 2500000 PRN SOLE 2500000 NAVIOS MARITIME ACQUIS CORP W EXP 06/25/201 Y62159119 1104 184000 SH SOLE 184000 OCWEN FINL CORP NOTE 3.250% 8/0 675746AD3 2473 2700000 PRN SOLE 2700000 OMNICARE CAP TR II PFD B TR 4.00% 68214Q200 6879 190331 SH SOLE 190331 OMNICARE INC COM 681904108 1209 50000 SH PUT SOLE 50000 ON SEMICONDUCTOR CORP COM 682189105 1228 139200 SH SOLE 139200 ON SEMICONDUCTOR CORP COM 682189105 882 100000 SH PUT SOLE 100000 ON SEMICONDUCTOR CORP NOTE 1.875%12/1 682189AD7 8286 6000000 PRN SOLE 6000000 PG&E CORP NOTE 9.500% 6/3 69331CAD0 8910 3000000 PRN SOLE 3000000 POWERWAVE TECHNOLOGIES INC NOTE 3.875%10/0 739363AF6 1086 1700000 PRN SOLE 1700000 PROTEIN DESIGN LABS INC NOTE 2.750% 8/1 74369LAD5 10931 9500000 PRN SOLE 9500000 QWEST COMMUNICATIONS INTL IN NOTE 3.500%11/1 749121BY4 5175 5000000 PRN SOLE 5000000 REGIONS FINANCIAL CORP NEW COM 7591EP100 529 100000 SH PUT SOLE 100000 SANDRIDGE ENERGY INC COM 80007P307 472 50000 SH PUT SOLE 50000 SIMON PPTY GROUP INC NEW PFD CONV I 6% 828806802 6093 90330 SH SOLE 90330 SPDR TR UNIT SER 1 78462F103 22288 200000 SH PUT SOLE 200000 SYBASE INC COM 871130100 1519 35000 SH SOLE 35000 SYBASE INC NOTE 1.750% 2/2 871130AB6 9553 5500000 PRN SOLE 5500000 TERADYNE INC NOTE 4.500% 3/1 880770AE2 5157 2453000 PRN SOLE 2453000 TRIAN ACQUISITION I CORP W EXP 01/23/201 89582E116 0 129800 SH SOLE 129800 TRICO MARINE SERVICES INC BCV 8.125% 2/0 896106AW1 1256 1500000 PRN SOLE 1500000 TRICO MARINE SERVICES INC NOTE 3.000% 1/1 896106AQ4 1593 2800000 PRN SOLE 2800000 UNISOURCE ENERGY CORP NOTE 4.500% 3/0 909205AB2 9817 10000000 PRN SOLE 10000000 UNITED RENTALS INC NOTE 4.000%11/1 911363AL3 5597 5000000 PRN SOLE 5000000 UNITED THERAPEUTICS CORP DEL NOTE 0.500%10/1 91307CAD4 13656 9500000 PRN SOLE 9500000 VALE CAP II GTD PFD CV 6.75%12 91912F201 7253 86670 SH SOLE 86670 VALE CAP II PFD 6.75%12 91912F300 15758 189805 SH SOLE 189805 VALEANT PHARMACEUTICALS INTL NOTE 3.000% 8/1 91911XAB0 1650 1500000 PRN SOLE 1500000 WYNDHAM WORLDWIDE CORP COM 98310W108 807 40000 SH PUT SOLE 40000 WYNDHAM WORLDWIDE CORP NOTE 3.500% 5/0 98310WAC2 4203 2500000 PRN SOLE 2500000