13F-HR 1 bcm2nd.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for Calendar Year or Quarter ended: June 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, 08/13/2004 Report Type (Check only one): [X] 13F HOLDING REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT List of other Managers Reporting for this Manager: 1. DKR Capital Partners L.P. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 142 Form 13F Information Table Value Total: $668,660.58 (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 ADVANCED MICRO DEVICES INC COM 007903107 1,504.94 94,650 SH Sole Sole AFFILIATED MANAGERS GROUP LYON ZERO 21 008252AC2 2,511.38 2,524,000 PRN Sole Sole ALLERGAN INC NOTE 11/0 018490AE2 18,707.94 23,019,000 PRN Defined Defined ALLIED WASTE INDUSTRIES INC PFD SR C CONV 019589605 7.13 100 SH Sole Sole AMERICAN INTL ZCB 11/09/31 DBCV 11/0 026874AP2 245.38 20,350,000 PRN Defined Defined AMERUS GROUP CO NOTE 2.000% 3/0 03072MAD0 7,613.78 6,165,000 PRN Sole Sole AMGEN INC 03/01/32 ZCB NOTE 3/0 031162AE0 112.50 15,000,000 PRN Defined Defined ANIXTER INTERNATIONAL INC NOTE 7/0 035290AF2 3,014.34 5,925,000 PRN Sole Sole AON CORP DBCV 3.500%11/1 037389AT0 4,761.14 3,413,000 PRN Sole Sole ARROW ELECTRONICS INC COM 042735100 16.09 600 SH Sole Sole ARROW ELECTRONICS ZCB 02/21/21 DBCV 2/2 042735AY6 60.00 4,800,000 PRN Sole Sole AVNET INC COM 053807103 1,206.51 53,150 SH Sole Sole BAM! ENTERTAINMENT COM 059361105 89.77 163,213 SH Defined Defined CBRL GROUP 04/03/32 ZCB NOTE 12489VAB2 1,596.09 4,789,000 PRN Defined Defined CALLON PETR $2.125 12/49 PFD A PFD A CV EXCH 13123X201 -11.84 39,480 PRN Sole Sole CALLON PETROLEUM CORP PFD A CV EXCH 13123X201 6.50 200 SH Sole Sole CARNIVAL CORP NOTE 10/2 143658AS1 16,631.81 24,925,000 PRN Defined Defined CELL THERAPEUTICS INC NOTE 5.750% 6/1 150934AD9 441.65 481,000 PRN Sole Sole CENTERPOINT 7.5% 12/31/49 PFD PFD CV SER B 151895307 657.50 384,500 PRN Sole Sole CENTERPOINT PROPERTIES CORP PFD CV SER B 151895307 105.85 1,200 SH Sole Sole CHARLES RIVER LABORATORIES DBCV 3.500% 2/0 159863AL3 3,438.05 2,660,000 PRN Sole Sole CHESAPEAKE 6.75% 12/31/49 PFD PFD CONV 6.75% 165167503 44.66 62,900 PRN Sole Sole CHESAPEAKE ENERGY CORP PFD CONV 6.75% 165167503 9.68 100 SH Sole Sole CHIRON CORP 0% 06/12/31 LYON ZERO 31 170040AE9 65.60 4,100,000 PRN Sole Sole CHUBB CORP CORP UNIT % 171232309 3,490.93 126,300 SH Sole Sole CITIGROUP INC COM *W EXP 99/99/999 172967127 41.98 48,248 SH Sole Sole CONSTELLATION BRANDS INC CL A CL A 21036P108 894.83 24,100 SH Sole Sole CORTEX PHARMACEUTICALS INC COM NEW 220524300 249.76 94,967 SH Defined Defined COSTCO COMPANIES INC COM NOTE 8/1 22160QAC6 10,183.13 10,862,000 PRN Sole Sole CYPRESS SEMICONDUCTOR CORP NOTE 1.250%6/1 232806AH2 27,364.81 23,165,000 PRN Sole Sole DPAC TECHNOLOGIES CORP COM 233269109 46.20 70,000 SH Sole Sole DELCATH SYSTEMS INC COM 24661P104 197.00 100,000 SH Sole Sole DEVON ENERGY 06/27/20 ZCB SR DB CV ZERO 20 25179MAD5 45.20 11,300,000 PRN Sole Sole WASHINGTON MUTUAL INC WT EXP 000002 25429Q110 10.63 96,600 SH Sole Sole DOMINION RESOURCES INC/VA NOTE 2.125%12/1 25746UAP4 6,632.82 8,588,000 PRN Defined Defined EAGLE SUPPLY GROUP INC WT EXP 050103 269894119 10.72 89,300 SH Sole Sole EDGAR ONLINE INC COM 279765101 28.88 26,740 SH Sole Sole EDGAR ONLINE INC *W EXP 05/25/200 279765135 4.12 19,600 SH Sole Sole 8X8 INC COM 282914100 207.35 92,155 SH Defined Defined ELINEAR INC COM NEW 286590203 171.00 100,000 SH Sole Sole EMAGIN CORPORATION COM 29076N107 219.79 130,829 SH Defined Defined EQUITY RESIDENT 7% 12/49 PFD E PFD CONV E 7% 29476L883 47.80 650,000 PRN Sole Sole EQUITY RESIDENTIAL PROPS PFD CONV E 7% 29476L883 44.00 1,330 SH Sole Sole CABLEVISION SYSTEMS NY GRP A EQTY SEC TR 29477Q204 4,284.90 198,100 SH Sole Sole EVERGREEN RESOURCES INC NOTE 4.750%12/1 299900AB6 2,898.00 1,750,000 PRN Sole Sole FLIGHT SAFETY TECHNOLOGIES *W EXP 01/29/200 33942T116 6.17 15,425 SH Sole Sole FOCUS ENHANCEMENTS INC COM 344159108 186.25 125,000 SH Sole Sole FRANKLIN RE 05/11/31 ZCB SR LYON 31 354613AC5 100.00 5,000,000 PRN Sole Sole GENERAL MILLS 0% 10/28/22 DBCV 10/2 370334AU8 544.92 26,198,000 PRN Defined Defined GENERAL MOTORS CORP DEB SR CV C 33 370442717 9,877.40 340,600 SH Sole Sole GENZYME CORP COM COM GENL DIV 372917104 331.31 7,000 SH Sole Sole GLYCOGENESYS INC COM 37989P101 27.37 42,100 SH Sole Sole GOAMERICA INC COM NEW 38020R205 52.63 61,923 SH Sole Sole GTECH HOLDINGS CORP DBCV 1.750%12/1 400518AB2 47,397.80 27,377,000 PRN Sole Sole HCC INSURANCE HOLDINGS INC NT CONV 2%21 404132AA0 5,202.93 4,574,000 PRN Sole Sole HCC INSURANCE HOLDINGS INC NOTE 1.300%4/0 404132AB8 9,304.59 8,605,000 PRN Sole Sole HI/FN INC COM 428358105 896.25 75,000 SH Defined Defined HOST MARRIOTT CORP COM 44107P104 431.36 34,900 SH Sole Sole IMC GLOBAL 7.5% 07/01/06 PFD PFD CV 7.5% 449669209 -159.30 106,200 PRN Sole Sole IMAGEWARE SYSTEMS INC WT EXP 040505 45245S116 .00 26,400 SH Sole Sole IMMUNE RESPONSE CORP / THE COM NEW 45252T205 76.25 62,500 SH Sole Sole IMPLANT SCIENCES CORP COM 45320R108 408.03 37,956 SH Sole Sole INCO LTD NOTE 3/2 453258AM7 10,248.80 10,697,000 PRN Sole Sole INDUS INTERNATIONAL INC COM 45578L100 104.50 50,000 SH Sole Sole INSMED INC COM NEW 457669208 167.86 74,937 SH Defined Defined INTERDIGITAL COMM CORP COM 45866A105 1.00 53 SH Sole Sole INTL GAME TECHNOLOGY DBCV 1/2 459902AL6 11,796.90 13,838,000 PRN Sole Sole INTL PAPER 06/20/21 ZCB DBCV 6/2 460146BM4 .00 1,400,000 PRN Sole Sole INVISION TECHNOLOGIES INC NOTE 3.000%10/0 461851AB3 2,343.27 1,500,000 PRN Sole Sole JDS UNIPHASE CORP COM 46612J101 1,170.73 308,900 SH Sole Sole KV PHARMACEUTICAL CO CL A NOTE 2.500%5/1 482740AC1 6,446.79 5,624,000 PRN Sole Sole LEAR CORPORATION NOTE 2/2 521865AG0 1,905.00 3,750,000 PRN Sole Sole LEGG MASON INC NOTE 6/0 524901AG0 12,107.74 16,786,000 PRN Sole Sole LODGIAN INC COM PAR $.01 54021P403 14.77 1,400 SH Sole Sole LOWES COMPANIES NOTE 2/1 548661CF2 3,358.20 3,860,000 PRN Sole Sole LUCENT TECHNOLOGIES INC COM 549463107 1,443.02 381,750 SH Sole Sole MSC SOFTWARE CORPORATION NOTE 2.500%5/0 553531AE4 1,348.59 1,125,000 PRN Sole Sole MAGNUM HUNTER RESOURCES INC *W EXP 03/21/200 55972F138 .00 25,000 SH Sole Sole MARKEL CORP NOTE 6/0 570535AC8 7,065.07 19,829,000 PRN Sole Sole MASCO CORP SR NT CV ZERO 31 574599AW6 8,249.43 25,633,000 PRN Defined Defined MATRITECH INC COM 576818108 144.44 111,111 SH Sole Sole MEDICALCV INC-UTS UNIT EX 052006 584639207 8.25 5,000 SH Sole Sole MEDIMMUNE INC COM 584699102 44.44 1,900 SH Sole Sole MEDICIS PHARMACEUTICAL CL A NOTE 2.500%6/0 58470KAA2 3,941.88 2,677,000 PRN Sole Sole THE MENS WEARHOUSE INC COM 587118100 556.83 21,100 SH Sole Sole MERIDIAN RESOURCE CORP COM 58977Q109 2,093.22 301,616 SH Defined Defined MISSION RESOURCES CORP COM 605109107 23.94 4,200 SH Sole Sole NABORS INDU 02/05/21 ZCB DBCV 2/0 629568AF3 72.57 31,550,000 PRN Defined Defined NEW YORK COMMUNITY BANCORP BONUSES 64944P307 11,390.13 206,605 SH Sole Sole NEWS CORP LTD ADR PRF NOTE 2/2 652482AZ3 5,623.05 14,115,000 PRN Defined Defined ODYSSEY RE HOLDINGS CORP DBCV 4.375%6/1 67612WAB4 5,548.91 4,567,000 PRN Sole Sole ORBITAL SCIENCES CORP WT EXP 083104 685564130 28.00 2,800 SH Sole Sole PPL CORPORATION NOTE 2.625%5/1 69352JAE7 3,082.09 3,940,000 PRN Defined Defined J.C. PENNY COMPANY INC NOTE 5.000%10/1 708160BV7 1,676.46 1,250,000 PRN Sole Sole PFSWEB INC COM 717098107 83.50 50,000 SH Sole Sole PHOENIX COMPANIES INC CORPORATE UNIT 71902E406 16,262.60 430,000 SH Sole Sole PIXELWORKS INC COM 72581M107 692.46 45,200 SH Sole Sole PRO-PHARMACEUTICALS INC COM 74267T109 122.50 35,000 SH Sole Sole RADIAN GROUP INC DBCV 2.250%1/0 750236AF8 4,874.66 4,773,000 PRN Sole Sole RADYNE COMSTREAM INC COM NEW 750611402 100.25 12,500 SH Sole Sole RAYTHEON COMPANY COM NEW 755111507 3.58 100 SH Sole Sole RECKSON ASSOC REALTY COMMON PFD CV SER A% 75621K205 .08 3 SH Sole Sole ROYAL CARIBBEAN CRUISES SR NT CV ZERO 21 780153AM4 21,072.80 30,104,000 PRN Sole Sole SLM CORP DBCV 7/2 78442PAC0 12,788.50 41,150,000 PRN Defined Defined ST PAUL TRAVELERS COS INC EQUITY UNIT 792860306 30,060.50 407,600 SH Sole Sole SCOTTISH ANNUITY & LIFE HLDG NOTE 4.500%12/0 81013RAC9 2,207.17 1,845,000 PRN Sole Sole SELECTIVE INSURANCE GROUP NOTE 1.616%9/2 816300AB3 7,166.17 12,883,000 PRN Sole Sole SEMPRA ENERGY INCOME EQTY UT 816851208 2,013.77 67,350 SH Sole Sole SIERRA HEALTH SERVICES DBCV 2.250%3/1 826322AB5 12,147.50 4,859,000 PRN Sole Sole SIGMA DESIGNS INC COM 826565103 2.68 336 SH Defined Defined SILICON GRAPHICS INC NOTE 6.500%6/0 827056AE2 7,670.96 4,169,000 PRN Sole Sole SILICON VALLEY BANCSHARES NOTE 6/1 827064AC0 7,501.78 5,942,000 PRN Sole Sole SONTRA MEDICAL COM 83568W109 66.74 34,758 SH Defined Defined SOVEREIGN BANCORP INC COM 845905108 1,044.23 47,250 SH Sole Sole STAGE STORES INC *W EXP 08/23/200 85254C123 770.44 34,000 SH Sole Sole STAGE STORES INC *W EXP 08/23/200 85254C131 671.09 37,200 SH Sole Sole STEMCELLS INC COM 85857R105 675.00 444,080 SH Sole Sole SUPERGEN INC COM 868059106 645.00 100,000 SH Sole Sole SUPERVALU 0% 11/02/31 NOTE 11/0 868536AP8 6,407.98 21,347,000 PRN Defined Defined SYMANTEC CORP NOTE 3.000%11/0 871503AB4 86,142.98 33,490,000 PRN Sole Sole TJX COMPANIES INC NOTE 2/1 872540AL3 11,946.06 16,472,000 PRN Defined Defined TEVA PHARMACEUTICAL-SP ADR NOTE 0.750% 8/1 88163XAB1 17,398.37 11,086,000 PRN Sole Sole TEVA PHARMACEUTICAL-SP ADR DBCV 0.375%11/1 88164MAB4 38,319.14 24,014,000 PRN Sole Sole TRANSOCEAN SEDCO 1.5% 5/15/21 DBCV 1.500% 5/1 893830AD1 26.88 10,750,000 PRN Defined Defined TRANSWITCH CORP NOTE 5.450% 9/3 894065AC5 3,215.30 3,476,000 PRN Sole Sole TRIARC COMPANIES 5% 05/15/23 NOTE 5.000%5/1 895927AD3 960.68 984,000 PRN Sole Sole TYCO INTERNATIONAL LTD COM DBCV 2.750%1/1 902118BF4 15,034.00 10,000,000 PRN Sole Sole USX - U.S. STEEL GROUP COM 912909108 13,401.79 381,600 SH Sole Sole USX - US STEEL 7% 06/15/06 PFD PFD CV B 7% 912909207 593.79 363,800 PRN Sole Sole V.I. TECHNOLOGIES INC COM 917920100 563.07 511,884 SH Defined Defined UTSTARCOM INC COM 918076100 1,119.25 37,000 SH Sole Sole VERIZON 0% 05/15/21 NOTE 5/1 92344GAN6 49.09 8,925,000 PRN Sole Sole VIISAGE TECHNOLOGY INC COM 92675K106 152.50 17,529 SH Sole Sole VISHAY INTERTECHNOLOGY INC COM 928298108 462.64 24,900 SH Sole Sole WHX CORP COM PFD CV SER A 929248201 325.29 71,650 SH Sole Sole WEATHERFORD INTL 06/30/20 ZCB SR DB CV ZERO 20 947074AB6 153.90 19,000,000 PRN Defined Defined WHOLE FOODS MARKET INC SB DB CV ZRO 18 966837AC0 26,104.15 25,688,000 PRN Sole Sole XL CAPITAL LTD 0% 05/23/21 DBCV 5/2 98372PAB4 1.58 2,250,000 PRN Sole Sole XL CAPITAL LTD -CLASS A NOTE 9/0 98372PAD0 1,494.00 2,400,000 PRN Sole Sole XM SATELLITE RADIO HOLD CL A CL A 983759101 68.23 2,500 SH Sole Sole XEROX CORP COM PFD CONV SER C 984121509 9,871.88 75,000 SH Sole Sole ZENITH NATIONAL INSURANCE CP NOTE 5.750% 3/3 989390AH2 9,604.00 4,802,000 PRN Sole Sole