13F-HR 1 bcm.txt BASSO CAPITAL MANAGEMENT LP 3RD QUARTER 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for Calendar Year or Quarter ended: September 30, 2004 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, list 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, 11/15/2004 Report Type (Check only one): [X] 13F HOLDING 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 Form 13F Information Table Entry Total: 221 Form 13F Information Table Value Total: $1,208,965.98 (x1000) No. Form 13F File Number Name 1 28-5794 DKR Capital Partners L.P. Form 13F Information Table Name Of Issuer Title Of Class Cusip Value (x1000) Quantity Shrs/ Other Invt Vtng PRN Mgr Disc Authy ACT TELECONFERENCING INC COM 000955104 174.11 152,725 SH Sole Sole AMDL INC COM PAR $0.001 00167K401 225.00 250,000 SH 1 Defined Defined ASM INTERNATIONAL N.V. NOTE 5.250% 5/1 00207DAE2 4,220.00 4,000,000 PRN 1 Defined Defined AFFILIATED MANAGERS GROUP NOTE5/0 008252AC2 1,536.98 1,505,000 PRN Sole Sole AFFILIATED MANAGERS GROUP NOTE5/0 008252AC2 7,514.36 7,358,000 PRN 1 Defined Defined ALFACELL CORP COM 015404106 507.95 113,636 SH Sole Sole ALFACELL CORP COM 015404106 1,015.91 227,272 SH 1 Defined Defined ALLERGAN INC NOTE11/0 018490AE2 9,380.73 10,269,000 PRN Sole Sole ALLERGAN INC NOTE11/0 018490AE2 4,781.26 5,234,000 PRN 1 Defined Defined ALLIED WASTE INDUSTRIES INC COM PAR$.01NEW 019589308 584.54 66,050 SH Sole Sole ALLIED WASTE INDUSTRIES INC COM PAR$.01NEW 019589308 768.18 86,800 SH 1 Defined Defined JOHNSON & JOHNSON SDCV7/2 02261WAB5 7,435.35 9,594,000 PRN Sole Sole AMERICAN INTL ZCB 11/09/31 DBCV11/0 026874AP2 240.68 29,350,000 PRN Sole Sole AMERICAN INTL ZCB 11/09/31 DBCV11/0 026874AP2 203.64 24,300,000 PRN 1 Defined Defined AMERUS GROUP CO NOTE2.000% 3/0 03072MAD0 7,521.30 6,165,000 PRN Sole Sole AMERUS GROUP CO NOTE2.000% 3/0 03072MAD0 14,737.60 12,080,000 PRN 1 Defined Defined AMGEN INC 03/01/32 ZCB NOTE3/0 031162AE0 95.00 19,000,000 PRN Sole Sole ANIXTER INTERNATIONAL INC NOTE7/0 035290AF2 4,121.00 7,925,000 PRN Sole Sole AON CORP DBCV 3.500%11/1 037389AT0 726.15 515,000 PRN Sole Sole AON CORP DBCV 3.500%11/1 037389AT0 513.24 364,000 PRN 1 Defined Defined ARROW ELECTRONICS ZCB 02/21/21 DBCV2/2 042735AY6 24.00 4,800,000 PRN Sole Sole ARROW ELECTRONICS ZCB 02/21/21 DBCV2/2 042735AY6 52.00 10,400,000 PRN 1 Defined Defined AVNET INC COM 053807103 738.73 43,150 SH Sole Sole AXCAN PHARMA INC NOTE 4.250% 4/1 054923AB3 1,153.45 920,000 PRN Sole Sole BAM! ENTERTAINMENT INC COM 059361105 44.69 120,782 SH Sole Sole BIOPURE CORP-CLASS A CL A 09065H105 42.27 103,100 SH Sole Sole CADENCE DESIGN SYS INC NOTE 8/1 127387AB4 1,383.18 1,348,000 PRN Sole Sole CADENCE DESIGN SYS INC NOTE 8/1 127387AB4 2,247.16 2,190,000 PRN 1 Defined Defined CALLON PETROLEUM CO PFD A CV EXCH 13123X201 6.10 200 SH Sole Sole CARNIVAL CORP NOTE10/2 143658AS1 7,063.06 8,708,000 PRN Sole Sole CARNIVAL CORP NOTE10/2 143658AS1 11,806.37 14,556,000 PRN 1 Defined Defined CELL THERAPEUTICS INC NOTE5.750% 6/1 150934AD9 243.10 260,000 PRN Sole Sole CELL THERAPEUTICS INC NOTE5.750% 6/1 150934AD9 523.60 560,000 PRN 1 Defined Defined CENTERPOINT ENERGY INC NOTE 2.875% 1/1 15189TAL1 1,043.60 1,000,000 PRN Sole Sole CHARLES RIVER LABORATORIES DBCV 3.500% 2/0 159863AL3 7,119.90 5,860,000 PRN Sole Sole CHARLES RIVER LABORATORIES DBCV 3.500% 2/0 159863AL3 2,648.70 2,180,000 PRN 1 Defined Defined CHESAPEAKE ENERGY CORP PFD CONV 6.75% 165167503 776.63 7,500 SH Sole Sole CHIRON CORP 0% 06/12/31 NOTE6/1 170040AE9 20.50 4,100,000 PRN Sole Sole CHIRON CORP 0% 06/12/31 NOTE6/1 170040AE9 34.00 6,800,000 PRN 1 Defined Defined CHUBB CORP CORP UNIT % 171232309 665.78 23,778 SH Sole Sole CHUBB CORP CORP UNIT % 171232309 1,305.36 46,620 SH 1 Defined Defined CITIGROUP INC *W EXP 99/99/999 172967127 68.47 48,218 SH Sole Sole CITIZENS COMMUNICATIONS CO PFD EPPICS CV 177351202 7,697.12 131,800 SH Sole Sole CONSECO INC PFD B CV 5.50% 208464867 560.42 22,800 SH Sole Sole CONSECO INC COM NEW 208464883 354.97 20,100 SH Sole Sole CONSECO INC COM NEW 208464883 801.76 45,400 SH 1 Defined Defined CORTEX PHARMACEUTICALS INC COM NEW 220524300 234.95 91,067 SH Sole Sole COSTCO WHOLESALE CORP COM 22160K105 2,465.69 59,400 SH Sole Sole COSTCO WHOLESALE CORP NOTE 8/1 22160QAC6 12,665.84 13,403,000 PRN Sole Sole COSTCO WHOLESALE CORP NOTE 8/1 22160QAC6 2,300.13 2,434,000 PRN 1 Defined Defined CYPRESS SEMICONDUCTOR CORP COM 232806109 99.89 11,300 SH Sole Sole CYPRESS SEMICONDUCTOR CORP COM 232806109 144.98 16,400 SH 1 Defined Defined CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 12,501.91 12,989,000 PRN Sole Sole CYPRESS SEMICONDUCTOR CORP NOTE 1.250% 6/1 232806AH2 17,987.20 18,688,000 PRN 1 Defined Defined DPAC TECHNOLOGIES CORP COM 233269109 31.73 66,105 SH Sole Sole DELCATH SYSTEMS INC COM 24661P104 213.00 100,000 SH Sole Sole DELTA AIR LINES INC NOTE 8.000% 6/0 247361YP7 737.50 2,500,000 PRN 1 Defined Defined DEVON ENERGY CORPORATION DBCV6/2 25179MAD5 5,804.90 21,600,000 PRN Sole Sole DEVON ENERGY CORPORATION DBCV6/2 25179MAD5 10,910.20 36,800,000 PRN 1 Defined Defined WASHINGTON MUTUAL INC *W EXP 99/99/999 25429Q110 13.52 96,600 SH Sole Sole WASHINGTON MUTUAL INC *W EXP 99/99/999 25429Q110 11.59 82,800 SH 1 Defined Defined DOMINION RESOURCES INC/VA NOTE 2.125%12/1 25746UAP4 6,711.53 6,588,000 PRN Sole Sole DOMINION RESOURCES INC/VA NOTE 2.125%12/1 25746UAP4 6,255.13 6,140,000 PRN 1 Defined Defined EDGAR ONLINE INC COM 279765101 13.92 14,056 SH Sole Sole EDGAR ONLINE INC *W EXP 05/25/200 279765135 5.88 19,600 SH Sole Sole 8X8 INC COM 282914100 99.11 26,429 SH Sole Sole ELINEAR INC COM NEW 286590203 117.78 113,250 SH Sole Sole EMAGIN CORPORATION COM 29076N107 148.37 148,365 SH Sole Sole EQUITY RESIDENTIAL PROPS PFD CONV E 7% 29476L883 45.87 1,330 SH Sole Sole PIONEER NATURAL RESOURCES CO NOTE 4.750%12/1 299900AB6 2,864.75 1,750,000 PRN Sole Sole FLIGHT SAFETY TECHNOLOGIES I *W EXP 01/29/200 33942T116 7.71 15,425 SH Sole Sole FOCUS ENHANCEMENTS INC COM 344159108 185.51 121,250 SH Sole Sole FRANKLIN RE 05/11/31 ZCB NOTE5/1 354613AC5 168.00 5,000,000 PRN Sole Sole GENERAL CABLE CORP COM 369300108 159.33 18,600 SH 1 Defined Defined GENERAL MILLS 0% 10/28/22 DBCV10/2 370334AU8 5,460.35 27,798,000 PRN Sole Sole GENERAL MILLS INC DBCV10/2 370334AU8 6,164.57 37,972,000 PRN 1 Defined Defined GENERAL MOTORS CORP DEBSR CV C 33 370442717 8,933.06 317,000 SH Sole Sole GENERAL MOTORS CORP DEBSR CV C 33 370442717 8,222.92 291,800 SH 1 Defined Defined GENZYME CORP COM GENL DIV 372917104 206.76 3,800 SH Sole Sole GENZYME CORP COM GENL DIV 372917104 326.46 6,000 SH 1 Defined Defined GENZYME CORP NOTE 1.250%12/0 372917AN4 578.19 550,000 PRN Sole Sole GENZYME CORP NOTE 1.250%12/0 372917AN4 946.13 900,000 PRN 1 Defined Defined GILEAD SCIENCES INC NOTE 2.000%12/1 375558AD5 3,235.00 2,000,000 PRN Sole Sole GLOBECOMM SYSTEMS INC COM 37956X103 153.92 23,216 SH 1 Defined Defined GOAMERICA INC COM NEW 38020R205 13.36 40,500 SH Sole Sole GOLDEN STAR RESOURCES LTD COM 38119T104 94.02 21,875 SH Sole Sole GOLDEN STAR RESOURCES LTD COM 38119T104 429.78 100,000 SH 1 Defined Defined GTECH HOLDINGS CORP DBCV 1.750%12/1 400518AB2 37,023.30 19,905,000 PRN Sole Sole GTECH HOLDINGS CORP DBCV 1.750%12/1 400518AB2 46,101.96 24,786,000 PRN 1 Defined Defined HCC INSURANCE HOLDINGS INC NOTE 2.000% 9/0 404132AA0 4,928.49 4,574,000 PRN Sole Sole HCC INSURANCE HOLDINGS INC NOTE 2.000% 9/0 404132AA0 8,066.17 7,486,000 PRN 1 Defined Defined HCC INSURANCE HOLDINGS INC NOTE 1.300% 4/0 404132AB8 5,129.46 4,968,000 PRN Sole Sole HCC INSURANCE HOLDINGS INC NOTE 1.300% 4/0 404132AB8 11,006.45 10,660,000 PRN 1 Defined Defined HI/FN INC COM 428358105 562.16 64,100 SH Sole Sole HI/FN INC COM 428358105 387.63 44,200 SH 1 Defined Defined HOST MARRIOTT CORP COM 44107P104 489.65 34,900 SH Sole Sole HOST MARRIOTT CORP COM 44107P104 752.01 53,600 SH 1 Defined Defined HUMAN GENOME SCIENCES INC NOTE 5.000% 2/0 444903AF5 1,995.00 2,000,000 PRN 1 Defined Defined MOSIAC CO/THE PFD CV 7.5% 449669209 1,562.75 13,300 SH Sole Sole IMAGEWARE SYSTEMS INC *W EXP 04/05/200 45245S116 .00 26,400 SH Sole Sole IMMUNE RESPONSE CORP/THE COM NEW 45252T205 59.72 49,770 SH Sole Sole IMPLANT SCIENCES CORP COM 45320R108 409.92 37,956 SH Sole Sole INCO LTD NOTE3/2 453258AM7 16,846.58 15,893,000 PRN Sole Sole INCO LTD NOTE3/2 453258AM7 12,944.72 12,212,000 PRN 1 Defined Defined INDUS INTERNATIONAL INC COM 45578L100 79.00 50,000 SH Sole Sole INDUS INTERNATIONAL INC COM 45578L100 158.00 100,000 SH 1 Defined Defined INSMED INC COM NEW 457669208 125.89 74,937 SH Sole Sole INTERPUBLIC GROUP OF COS INC PFD CONV SER A 460690308 3,415.51 82,600 SH Sole Sole INVISION TECHNOLOGIES INC NOTE 3.000%10/0 461851AB3 4,371.90 3,000,000 PRN Sole Sole JDS UNIPHASE CORP COM 46612J101 591.94 175,650 SH Sole Sole JDS UNIPHASE CORP COM 46612J101 946.97 281,000 SH 1 Defined Defined KV PHARMACEUTICAL CO-CL A NOTE 2.500% 5/1 482740AC1 1,473.31 1,477,000 PRN Sole Sole KV PHARMACEUTICAL CO-CL A NOTE 2.500% 5/1 482740AC1 2,330.16 2,336,000 PRN 1 Defined Defined KINDRED HEALTHCARE INC *W EXP 04/20/200 494580111 405.02 20,001 SH Sole Sole L-3 COMMUNICATIONS HOLDINGS DEBT4.000% 9/1 502424AD6 1,400.00 1,120,000 PRN Sole Sole LEAR CORP NOTE2/2 521865AG0 1,725.00 3,450,000 PRN Sole Sole LEGG MASON INC NOTE6/0 524901AG0 3,793.62 5,893,000 PRN Sole Sole LEGG MASON INC NOTE6/0 524901AG0 5,824.65 9,048,000 PRN 1 Defined Defined LENNAR CORP-CL A NOTE4/0 526057AF1 2,502.00 3,600,000 PRN Sole Sole LUCENT TECHNOLOGIES INC COM 549463107 1,210.15 381,750 SH Sole Sole MSC.SOFTWARE CORPORATION NOTE 2.500% 5/0 553531AE4 1,255.50 1,125,000 PRN Sole Sole MAGNUM HUNTER RESOURCES INC *W EXP 03/21/200 55972F138 10.25 25,000 SH Sole Sole MARKEL CORP NOTE6/0 570535AC8 7,929.63 20,704,000 PRN Sole Sole MARKEL CORP NOTE6/0 570535AC8 12,442.14 32,486,000 PRN 1 Defined Defined MASCO CORP NOTE7/2 574599AW6 7,458.92 15,411,000 PRN Sole Sole MASCO CORP NOTE7/2 574599AW6 11,219.12 23,180,000 PRN 1 Defined Defined MATRITECH INC COM 576818108 98.18 83,911 SH Sole Sole MCLEODUSA INC CL A CL A 582266706 964.45 2,242,914 SH Sole Sole MCLEODUSA INC CL A CL A 582266706 2,154.78 5,011,114 SH 1 Defined Defined MEDICIS PHARMACEUTICAL-CL A NOTE 2.500% 6/0 58470KAA2 3,891.69 2,677,000 PRN Sole Sole MEDICIS PHARMACEUTICAL-CL A NOTE 2.500% 6/0 58470KAA2 6,381.96 4,390,000 PRN 1 Defined Defined MERIDIAN RESOURCE CORP COM 58977Q109 2,663.27 301,616 SH Sole Sole MERIDIAN RESOURCE CORP COM 58977Q109 1,779.83 201,566 SH 1 Defined Defined MISSION RESOURCES CORP COM 605109107 26.42 4,200 SH Sole Sole MISSION RESOURCES CORP COM 605109107 41.51 6,600 SH 1 Defined Defined NABORS INDU 02/05/21 ZCB DBCV2/0 629568AF3 6,115.16 46,750,000 PRN Sole Sole NABORS INDU 02/05/21 ZCB DBCV2/0 629568AF3 5,261.87 44,800,000 PRN 1 Defined Defined NEW YORK COMMUNITY BANCORP BONUSES 64944P307 10,743.36 188,480 SH Sole Sole NEW YORK COMMUNITY BANCORP BONUSES 64944P307 13,489.05 236,650 SH 1 Defined Defined NEWS CORP INC-CL B WHEN ISS NOTE 2/2 652482AZ3 3,657.66 6,375,000 PRN Sole Sole NEWS CORP INC-CL B WHEN ISS NOTE 2/2 652482AZ3 6,253.88 10,900,000 PRN 1 Defined Defined NEXTEL COMMUNICATIONS INC-A CL A 65332V103 252.70 10,600 SH 1 Defined Defined ODYSSEY RE HOLDINGS CORP DBCV 4.375% 6/1 67612WAB4 3,619.13 3,217,000 PRN Sole Sole ODYSSEY RE HOLDINGS CORP DBCV 4.375% 6/1 67612WAB4 5,188.50 4,612,000 PRN 1 Defined Defined OMNICOM GROUP COM 681919106 248.40 3,400 SH 1 Defined Defined OMNICOM GROUP NOTE7/3 681919AM8 4,921.88 5,000,000 PRN Sole Sole OMNICOM GROUP NOTE7/3 681919AM8 14,332.50 14,560,000 PRN 1 Defined Defined P G & E CORP NOTE 9.500% 6/3 69331CAD0 9,914.72 4,000,000 PRN Sole Sole PMA CAPITAL CORPORATION-CL A CL A 693419202 324.65 43,000 SH 1 Defined Defined PPL CORPORATION COM 69351T106 146.26 3,100 SH Sole Sole PPL CORPORATION COM 69351T106 122.67 2,600 SH 1 Defined Defined PPL CORPORATION NOTE 2.625% 5/1 69352JAE7 2,106.86 1,995,000 PRN Sole Sole PPL CORPORATION NOTE 2.625% 5/1 69352JAE7 1,727.73 1,636,000 PRN 1 Defined Defined PATHMARK STORES INC *W EXP 09/10/201 70322A119 30.50 122,000 SH 1 Defined Defined J.C. PENNEY CO INC (HLDG CO) NOTE 5.000%10/1 708160BV7 2,266.78 1,831,000 PRN Sole Sole PFSWEB INC COM 717098107 36.60 24,400 SH Sole Sole PHOENIX COMPANIES INC CORPORATE UNIT 71902E406 11,876.28 366,100 SH Sole Sole PHOENIX COMPANIES INC CORPORATE UNIT 71902E406 26,626.75 820,800 SH 1 Defined Defined PRO-PHARMACEUTICALS INC COM 74267T109 133.52 62,100 SH Sole Sole RADIAN GROUP INC DBCV 2.250% 1/0 750236AF8 4,808.80 4,773,000 PRN Sole Sole RADIAN GROUP INC DBCV 2.250% 1/0 750236AF8 12,547.41 12,454,000 PRN 1 Defined Defined ROYAL CARIBBEAN CRUISES LTD NOTE5/1 780153AM4 22,580.36 32,120,000 PRN Sole Sole ROYAL CARIBBEAN CRUISES LTD NOTE5/1 780153AM4 27,156.89 38,630,000 PRN 1 Defined Defined SLM CORP DBCV7/2 78442PAC0 10,345.18 25,800,000 PRN Sole Sole SLM CORP DBCV7/2 78442PAC0 14,500.44 23,100,000 PRN 1 Defined Defined SAFEGUARD SCIENTIFICS INC COM 786449108 37.40 20,000 SH 1 Defined Defined ST PAUL TRAVELERS COS INC/TH EQUITY UNIT 792860306 24,444.12 399,675 SH Sole Sole ST PAUL TRAVELERS COS INC/TH EQUITY UNIT 792860306 35,873.40 586,550 SH 1 Defined Defined FINANCIAL SELECT SECTOR SPDR SBI INT-FINL 81369Y605 1,337.62 47,000 SH Sole Sole FINANCIAL SELECT SECTOR SPDR SBI INT-FINL 81369Y605 1,832.82 64,400 SH 1 Defined Defined SELECTIVE INSURANCE GROUP NOTE 1.616% 9/2 816300AB3 7,463.99 14,083,000 PRN Sole Sole SELECTIVE INSURANCE GROUP NOTE 1.616% 9/2 816300AB3 11,231.76 21,192,000 PRN 1 Defined Defined SEMPRA ENERGY COM 816851109 253.33 7,000 SH Sole Sole SEMPRA ENERGY INCOMEEQTY UT 816851208 6,980.19 225,750 SH Sole Sole SIERRA HEALTH SERVICES DBCV 2.250% 3/1 826322AB5 9,167.52 3,408,000 PRN Sole Sole SIERRA PACIFIC RESOURCES NOTE 7.250% 2/1 826428AF1 2,181.25 1,000,000 PRN Sole Sole SILICON GRAPHICS INC NOTE6.500% 6/0 827056AE2 5,703.98 4,545,000 PRN Sole Sole SILICON GRAPHICS INC NOTE6.500% 6/0 827056AE2 13,609.22 10,844,000 PRN 1 Defined Defined SILICON VALLEY BANCSHARES NOTE6/1 827064AC0 7,148.23 5,942,000 PRN Sole Sole SILICON VALLEY BANCSHARES NOTE6/1 827064AC0 11,452.56 9,520,000 PRN 1 Defined Defined SIRIUS SATELLITE RADIO INC COM 82966U103 128.00 40,000 SH 1 Defined Defined SOVEREIGN BANCORP INC COM 845905108 258.02 11,825 SH Sole Sole SOVEREIGN BANCORP INC COM 845905108 163.65 7,500 SH 1 Defined Defined SPRINT CORP COM FON 852061100 258.59 12,846 SH 1 Defined Defined STAGE STORES INC *W EXP 08/23/200 85254C123 676.20 34,500 SH Sole Sole STAGE STORES INC *W EXP 08/23/200 85254C131 373.89 24,200 SH Sole Sole STEMCELLS INC COM 85857R105 478.04 310,413 SH Sole Sole STRATEX NETWORKS INC COM 86279T109 230.49 102,896 SH Sole Sole SUPERGEN INC COM 868059106 621.41 100,551 SH Sole Sole SUPERVALU INC NOTE11/0 868536AP8 6,220.64 19,035,000 PRN Sole Sole SUPERVALU INC NOTE11/0 868536AP8 7,191.56 22,006,000 PRN 1 Defined Defined SYMANTEC CORP NOTE 3.000%11/0 871503AB4 107,886.11 33,540,000 PRN Sole Sole SYMANTEC CORP NOTE 3.000%11/0 871503AB4 116,506.70 36,220,000 PRN 1 Defined Defined TJX COMPANIES INC NOTE 2/1 872540AL3 1,819.42 2,229,000 PRN Sole Sole TAIWAN SEMICONDUCTOR MANUFAC SPONSOREDADR 874039100 818.39 114,620 SH 1 Defined Defined TEVA PHARMACEUTICALS INDUS ADR 881624209 6,684.72 257,600 SH Sole Sole TEVA PHARMACEUTICALS INDUS ADR 881624209 10,748.49 414,200 SH 1 Defined Defined TEVA PHARMACEUTICAL-SP ADR DBCV 0.375%11/1 88164MAB4 18,645.91 14,443,000 PRN Sole Sole TEVA PHARMACEUTICAL-SP ADR DBCV 0.375%11/1 88164MAB4 36,506.90 28,278,000 PRN 1 Defined Defined TEXAS PETROCHEMICALS INC NOTE 7.250% 4/3 882651AB8 325.68 276,000 PRN 1 Defined Defined TRANSOCEAN INC DBCV 1.500%5/1 893830AD1 2,320.35 10,750,000 PRN Sole Sole TRANSOCEAN INC DBCV 1.500%5/1 893830AD1 5,397.24 18,500,000 PRN 1 Defined Defined TRIARC COMPANIES-A NOTE 5.000% 5/1 895927AD3 1,015.98 984,000 PRN Sole Sole TRIARC COMPANIES-A NOTE 5.000% 5/1 895927AD3 2,098.04 2,032,000 PRN 1 Defined Defined TYCO INTERNATIONAL LTD DBCV2.750% 1/1 902118BF4 5,610.00 4,000,000 PRN Sole Sole UNITED MICROELECTRONICS CORP SPONSORED ADR 910873207 94.64 28,000 SH 1 Defined Defined UNITED STATES STEEL CORP PFDCV B 7% 912909207 4,940.00 40,000 SH Sole Sole V.I. TECHNOLOGIES INC COM 917920100 271.39 304,934 SH Sole Sole VERIZON 0% 05/15/21 NOTE5/1 92344GAN6 40.16 8,925,000 PRN Sole Sole VERIZON 0% 05/15/21 NOTE5/1 92344GAN6 65.93 14,650,000 PRN 1 Defined Defined VIISAGE TECHNOLOGY INC COM 92675K106 100.79 17,529 SH Sole Sole VISHAY INTERTECHNOLOGY INC COM 928298108 485.04 37,600 SH Sole Sole VISHAY INTERTECHNOLOGY INC COM 928298108 668.22 51,800 SH 1 Defined Defined WHX CORPORATION PFD CV SER A 929248201 347.50 71,650 SH Sole Sole WHX CORPORATION PFD CV SER A 929248201 521.38 107,500 SH 1 Defined Defined WEATHERFORD INTL LTD DBCV6/3 947074AB6 6,419.84 21,000,000 PRN Sole Sole WEATHERFORD INTL LTD DBCV6/3 947074AB6 3,048.32 22,000,000 PRN 1 Defined Defined WHOLE FOODS MARKET INC SDCV3/0 966837AC0 12,002.73 13,140,000 PRN Sole Sole WHOLE FOODS MARKET INC SDCV3/0 966837AC0 14,659.05 16,048,000 PRN 1 Defined Defined WYNN RESORTS LTD DBCV 6.000%7/1 983134AB3 1,928.00 800,000 PRN Sole Sole XEROX CORP COM 984121103 999.68 71,000 SH 1 Defined Defined