Basso Capital Management

Basso Capital Management as of Sept. 30, 2013

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 94 positions in its portfolio as reported in the September 2013 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Lions Gate Entmt Inc note 3.625% 3/1 10.2 $59M 14M 4.25
Western Refng Inc note 5.750% 6/1 5.8 $34M 11M 3.13
Pdl Biopharma Inc cnv 5.8 $33M 23M 1.43
Microchip Technology Inc sdcv 2.125%12/1 5.1 $29M 19M 1.57
Spdr S&p 500 Etf (SPY) 4.2 $24M 145k 168.12
Gilead Sciences conv 3.6 $21M 7.5M 2.77
Wesco Intl Inc dbcv 6.000% 9/1 3.5 $20M 7.2M 2.74
Mylan Inc note 3.750% 9/1 3.3 $19M 6.5M 2.90
Viropharma Inc note 2.000% 3/1 3.3 $19M 8.8M 2.14
Uthr 1 09/15/16 3.0 $17M 10M 1.70
Omnicare Cap Tr Ii pfd b tr 4.00% 2.9 $17M 244k 68.09
Jetblue Airways Corp dbcv 6.750%10/1 2.4 $14M 8.9M 1.56
Omnicare Inc 3.75% '42 conv 2.2 $13M 9.0M 1.41
Developers Diversified Rlty note 1.750%11/1 2.2 $13M 11M 1.13
Verisign Inc sdcv 3.250% 8/1 2.1 $12M 7.6M 1.57
Equinix Inc note 4.750% 6/1 2.0 $12M 5.2M 2.25
Hercules Tech Growth Cap Inc cnv 2.0 $12M 9.0M 1.29
Micron Technology Inc. conv 2.0 $12M 6.2M 1.86
Priceline Com Inc note 1.250% 3/1 1.9 $11M 3.3M 3.33
Covanta Holding Conv conv bnd 1.7 $9.7M 7.1M 1.38
Novellus Systems, Inc. note 2.625% 5/1 1.7 $9.5M 6.0M 1.59
Micron Technology Inc note 1.6 $9.4M 5.0M 1.87
Enpro Industries Inc note 1.6 $9.1M 5.0M 1.84
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 1.4 $8.0M 5.0M 1.59
Omnicare Inc note 3.750%12/1 1.1 $6.6M 3.1M 2.13
Annaly Cap Mgmt Inc note 5.000% 5/1 1.1 $6.1M 6.0M 1.02
Starwood Ppty note 4.0% 1/15/ 0.9 $5.2M 5.0M 1.04
Ascent Cap Group Inc note 4.000% 7/1 0.9 $5.2M 5.0M 1.04
Cenveo Corp conv bnd 0.9 $5.0M 5.0M 1.00
Teleflex Inc note 3.875% 8/0 0.9 $4.9M 3.5M 1.41
Beazer Homes Pfd 7.5% 2015 pfd cv 0.9 $4.9M 170k 29.06
Xilinx Inc sdcv 3.125% 3/1 0.8 $4.9M 3.0M 1.62
Salesforce Com Inc note 0.750% 1/1 0.8 $4.9M 2.0M 2.43
Micron Technology Inc Mu Cvt 1 convert 0.8 $4.7M 2.9M 1.61
CUBIST PHARM CONVERTIBLE security 0.8 $4.5M 2.0M 2.25
Merrimack Pharmaceuticals In note 4.500% 7/1 0.8 $4.6M 5.0M 0.91
Prospect Capital Corporati mtnf 5.375% 0.8 $4.5M 4.3M 1.04
American Rlty Cap Pptys Inc note 3.000% 8/0 0.8 $4.3M 4.5M 0.95
Jetblue Airways Corp dbcv 5.500%10/1 0.6 $3.6M 2.2M 1.61
Kohlberg Capital Corp note 8.750% 3/1 0.6 $3.5M 3.0M 1.17
Dollar Finl Corp note 3.000% 4/0 0.6 $3.4M 3.5M 0.96
GROUP Affymetrix Inc cnv 0.6 $3.3M 2.6M 1.25
Stewart Enterprises Inc note 3.125% 7/1 0.5 $3.1M 2.5M 1.23
Health Care REIT 0.5 $3.1M 50k 62.38
Accuray Inc Del note 3.750% 8/0 0.5 $3.1M 3.0M 1.04
Hf2 Financial Management 0.5 $3.0M 300k 10.12
Mastec note 4% 06/14 0.5 $2.9M 1.5M 1.94
Convergys Corp sdcv 5.750% 9/1 0.5 $2.7M 1.5M 1.79
Exelixis Inc cnv 0.5 $2.7M 2.3M 1.18
Hyde Pk Acquisition Corp Ii 0.5 $2.6M 250k 10.25
Chart Acquisition 0.4 $2.5M 250k 9.95
Capitol Acquisition Corp Ii 0.4 $2.4M 250k 9.69
Psec Us conv 0.4 $2.2M 2.2M 1.02
Epr Properties Pfd C 5.75% (EPR.PC) 0.4 $2.1M 100k 21.06
Market Vectors-Coal ETF 0.3 $1.9M 100k 19.00
Ramco-gershenson Pptys Tr perp pfd-d cv 0.3 $1.8M 31k 58.15
Web Com Group Inc note 1.000% 8/1 0.3 $1.7M 1.5M 1.13
Medworth Acquisition 0.3 $1.6M 201k 8.08
Apple (AAPL) 0.2 $1.2M 2.5k 476.73
Vector Group Ltd debt 0.2 $1.1M 1.0M 1.14
Verisign (VRSN) 0.2 $1.0M 20k 50.90
Health Care Reit Pfd I 6.5% 0.2 $1.0M 18k 57.46
Quinpario Acquisition Corp unit 99/99/9999 0.2 $1.0M 100k 10.17
Conn's (CONN) 0.2 $1.0M 20k 50.05
BioMed Realty Trust 0.2 $930k 50k 18.60
Ddr Corp 0.1 $786k 50k 15.72
Lam Research Corporation (LRCX) 0.1 $732k 14k 51.19
Invesco Mortgage Capital 0.1 $770k 50k 15.40
Epr Properties (EPR) 0.1 $739k 15k 48.72
Callaway Golf Company (MODG) 0.1 $712k 100k 7.12
Annaly Capital Management 0.1 $579k 50k 11.58
Volcano Corporation 0.1 $599k 25k 23.96
Accuray Incorporated (ARAY) 0.1 $554k 75k 7.39
Nextera Energy Inc unit 0.1 $545k 10k 54.50
Apollo Investment 0.1 $491k 60k 8.14
United Microelectronics (UMC) 0.1 $354k 172k 2.06
Credit Suisse Nassau Brh invrs vix sterm 0.1 $268k 10k 26.80
Cenveo 0.0 $207k 70k 2.96
Sanofi Aventis Wi Conval Rt 0.0 $222k 110k 2.02
Amc Networks Inc Cl A (AMCX) 0.0 $218k 3.2k 68.45
Exelixis (EXEL) 0.0 $146k 25k 5.84
AK Steel Holding Corporation 0.0 $188k 50k 3.76
11/14/2018 W Exp 11/14/2018 0.0 $156k 50k 3.12
Citigroup Inc Com Us cmn 0.0 $125k 167k 0.75
Chart Acquisition Co *w exp 12/1 0.0 $143k 250k 0.57
Bank Of America Corp w exp 10/201 0.0 $73k 92k 0.79
Hemisphere Media 0.0 $39k 3.3k 11.80
Velocity Shares Daily 2x Vix Short Term 0.0 $76k 5.0k 15.20
Capitol Acquisition Corp Ii *w exp 05/15/201 0.0 $75k 125k 0.60
Owens-Illinois 0.0 $12k 397.00 30.23
Brink's Company (BCO) 0.0 $26k 918.00 28.32
Citigroup Inc *w exp 10/28/201 0.0 $9.2k 116k 0.08
Collabrium Japan Acquisitn C *w exp 99/99/999 0.0 $18k 63k 0.29
Charter Fin. 0.0 $4.0k 400.00 10.00