Basso Capital Management

Basso Capital Management as of June 30, 2015

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 119 positions in its portfolio as reported in the June 2015 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Electronic Arts Note 0.750% 7/1 (Principal) 8.2 $54M 26M 2.09
Novellus Sys Note 2.625% 5/1 (Principal) 5.6 $37M 15M 2.38
Jetblue Airways Corp DBCV 6.750%10/1 (Principal) 4.5 $30M 6.9M 4.27
Microchip Technology SDCV 2.125%12/1 (Principal) 4.5 $29M 15M 1.91
Jarden Corp Note 1.875% 9/1 (Principal) 4.2 $27M 16M 1.68
Hologic FRNT 2.000%12/1 (Principal) 3.7 $24M 14M 1.67
Cemex Sab De Cv Note 3.750% 3/1 (Principal) 3.3 $22M 19M 1.18
Vanguard Intl Equity Index F Ftse Europe Etf Put Option (VGK) 3.3 $22M 400k 53.98
Molina Healthcare Note 1.125% 1/1 (Principal) 3.3 $22M 12M 1.76
Take-two Interactive Softwar Note 1.000% 7/0 (Principal) 2.6 $17M 12M 1.38
Brookdale Sr Living Note 2.750% 6/1 (Principal) 2.2 $14M 11M 1.31
Allergan Pfd Conv Ser A 2.1 $14M 13k 1043.54
Proofpoint Note 1.250%12/1 (Principal) 2.1 $14M 8.0M 1.69
Pdl Biopharma Note 4.000% 2/0 (Principal) 2.0 $13M 14M 0.95
Spirit Rlty Cap Note 2.875% 5/1 (Principal) 1.9 $12M 13M 0.94
Teleflex Note 3.875% 8/0 (Principal) 1.7 $11M 5.0M 2.21
Priceline Grp Inc D Ebt 1.000% 3/1 (Principal) 1.7 $11M 8.3M 1.33
J2 Global Note 3.250% 6/1 (Principal) 1.7 $11M 9.5M 1.17
Jarden Corp Note 1.500% 6/1 (Principal) 1.6 $10M 7.5M 1.39
Vipshop Hldgs Note 1.500% 3/1 (Principal) 1.6 $10M 8.2M 1.27
Vector Group Note 1.750% 4/1 (Principal) 1.6 $10M 9.3M 1.10
Starwood Ppty Tr Note 3.750%10/1 (Principal) 1.6 $10M 10M 1.01
Take-two Interactive Softwar Note 1.750%12/0 (Principal) 1.5 $9.8M 6.6M 1.49
National Health Invs Note 3.250% 4/0 (Principal) 1.5 $9.8M 9.9M 0.99
Seacor Holdings Note 2.500%12/1 (Principal) 1.5 $9.5M 9.3M 1.02
Iconix Brand Group Note 1.500% 3/1 (Principal) 1.4 $9.2M 9.0M 1.02
Xilinx Note 2.625% 6/1 (Principal) 1.3 $8.8M 5.7M 1.55
Ship Finance International L Note 3.250% 2/0 (Principal) 1.3 $8.7M 8.3M 1.05
Nvidia Corp Note 1.000%12/0 (Principal) 1.3 $8.6M 7.5M 1.15
Acorda Therapeutics Note 1.750% 6/1 (Principal) 1.2 $8.1M 8.1M 1.01
Alere Note 3.000% 5/1 (Principal) 1.2 $8.0M 6.5M 1.25
Depomed Note 2.500% 9/0 (Principal) 1.2 $7.5M 5.9M 1.28
51job Ote 3.250% 4/1 (Principal) 1.1 $7.1M 7.0M 1.02
Spirit Rlty Cap Note 3.750% 5/1 (Principal) 1.0 $6.6M 7.1M 0.93
Carriage Svcs Ote 2.750% 3/1 (Principal) 1.0 $6.6M 5.5M 1.19
Iridium Communications Inc Perp PFD CNV B 1.0 $6.5M 20k 332.26
Frontier Communications Corp P Conv Ser-a 1.0 $6.5M 65k 99.45
Wright Med Group Note 2.000% 8/1 (Principal) 0.9 $5.9M 5.0M 1.17
Affymetrix Note 4.000% 7/0 (Principal) 0.9 $5.8M 3.0M 1.93
Trina Solar BCV 3.500% 6/1 (Principal) 0.9 $5.6M 5.5M 1.02
Dht Holdings Inc D Ebt 4.500%10/0 (Principal) 0.8 $5.2M 4.6M 1.14
Infinera Corporation DBCV 1.750% 6/0 (Principal) 0.7 $4.8M 2.8M 1.73
Verisign DCV 3.250% 8/1 (Principal) 0.7 $4.6M 2.5M 1.84
Cowen Group Note 3.000% 3/1 (Principal) 0.7 $4.6M 3.5M 1.31
Roi Acquisition Corp Ii 0.5 $3.6M 350k 10.25
Intel Corp SDCV 3.250% 8/0 (Principal) 0.5 $3.2M 2.1M 1.52
Hawaiian Holdings Note 5.000% 3/1 (Principal) 0.5 $3.0M 1.0M 3.03
Altra Indl Motion Corp Note 2.750% 3/0 (Principal) 0.5 $3.0M 2.6M 1.14
M/i Homes Note 3.250% 9/1 (Principal) 0.4 $2.9M 2.5M 1.17
Gp Invts Acquisition Cor Unit 99/99/9999 0.4 $2.8M 275k 10.11
Horsehead Hldg Corp Note 3.800% 7/0 (Principal) 0.4 $2.5M 2.5M 1.02
On Semiconductor Corp Note 2.625%12/1 (Principal) 0.4 $2.5M 2.0M 1.24
Illumina (ILMN) 0.4 $2.4M 11k 218.39
Southwestern Energy Company (SWN) 0.4 $2.3M 101k 22.86
Cambridge Cap Acquisition 0.4 $2.3M 231k 10.00
General Cable Corp Del FRNT 4.500%11/1 (Principal) 0.3 $2.1M 2.5M 0.84
Starwood Ppty Tr Note 4.000% 1/1 (Principal) 0.3 $2.1M 2.0M 1.05
Ar Cap Acquisition Corp Unit 10/06/2019 0.3 $2.0M 195k 10.14
Hydra Inds Acquisition Corp Unit 10/20/2021 0.3 $1.7M 170k 10.14
Workday Note 0.750% 7/1 (Principal) 0.3 $1.7M 1.5M 1.13
Arowana Unit 99/99/9999 0.2 $1.6M 155k 10.13
Global Defense & Natl Sec Sy 0.2 $1.5M 145k 10.50
Prospect Capital Corporation Note 6.250%12/1 (Principal) 0.2 $1.5M 1.5M 1.01
Electrum Spl Acquisition Cor Unit 99/99/9999 0.2 $1.5M 150k 10.02
Canadian Solar Note 4.250% 2/1 (Principal) 0.2 $1.5M 1.5M 0.98
Ramco-gershenson Pptys Tr Perp Pfd-d Cv 0.2 $1.4M 23k 59.40
Quinpario Acquisition Corp 2 0.2 $1.3M 130k 9.94
Euronet Worldwide (EEFT) 0.2 $1.3M 21k 61.68
Energy Xxi Bermuda Note 3.000%12/1 (Principal) 0.2 $1.2M 5.2M 0.23
Vishay Intertechnology Call Option (VSH) 0.2 $1.2M 100k 11.68
Terrapin 3 Acquisition Corp Unit 06/27/2019 0.2 $1.1M 107k 10.48
Sina Corp Note 1.000%12/0 (Principal) 0.2 $1.1M 1.2M 0.95
Twitter Call Option 0.2 $1.1M 30k 36.23
1347 Cap Corp Unit 07/18/2016 0.2 $1.0M 100k 10.36
Wl Ross Hldg Corp Unit 06/11/2019 0.1 $976k 86k 11.38
Spirit Realty reit Put Option 0.1 $967k 100k 9.67
Healthways Note 1.500% 7/0 (Principal) 0.1 $911k 1.0M 0.91
Amsurg Corp P Cnv Sr A-1 % 0.1 $810k 5.9k 136.25
Quinpario Acquisition Corp 2 Unit 01/01/2023 0.1 $784k 75k 10.45
PDL BioPharma 0.1 $739k 115k 6.42
Cemex Sab De Cv Adr New Put Option (CX) 0.1 $687k 75k 9.16
Forestar Put Option 0.1 $658k 50k 13.16
Red Hat 0.1 $630k 8.3k 75.90
Penn Virginia Corporation Call Option 0.1 $613k 140k 4.38
Harmony Merger Corp Unit 99/99/9999 0.1 $559k 55k 10.16
Scorpio Tankers SHS Put Option 0.1 $558k 55k 10.15
Universal Corporation (UVV) 0.1 $537k 9.4k 57.37
Ofg Ban Call Option (OFG) 0.1 $534k 50k 10.68
Hydra Inds Acquisition 0.1 $532k 55k 9.67
Ar Cap Acquisition 0.1 $419k 42k 9.97
Akamai Technologies (AKAM) 0.1 $377k 5.4k 69.81
Accuray Incorporated Call Option (ARAY) 0.1 $337k 50k 6.74
Dt Asia Invts SHS 0.0 $239k 24k 9.91
Trina Solar Adr 0.0 $203k 17k 11.67
Credit Suisse Nassau Brh Invrs Vix Sterm 0.0 $203k 5.0k 40.60
Harmony Merger 0.0 $201k 20k 9.85
Zions Bancorporation W Exp 11/14/201 0.0 $175k 50k 3.50
Atlantic Alliance Partner SHS 0.0 $156k 15k 10.19
Sanofi Right 12/31/2020 0.0 $154k 220k 0.70
Terrapin 3 Acquisition Corp Cl A 0.0 $151k 15k 10.07
Boulevard Acquisition Corp W Exp 02/19/201 0.0 $136k 37k 3.64
Wl Ross Hldg Corp SHS 0.0 $96k 9.2k 10.43
Roi Acquisition Corp Ii W Exp 09/17/201 0.0 $75k 270k 0.28
Citigroup W Exp 01/04/201 0.0 $60k 82k 0.74
Qiagen Nv Reg Shs 0.0 $57k 2.5k 22.80
Boulevard Acquisition 0.0 $53k 4.3k 12.45
Bank Amer Corp W Exp 10/28/201 0.0 $47k 92k 0.51
Garnero Group Acquisition Right 06/25/2016 0.0 $36k 200k 0.18
Garnero Group Acquisition *w Exp 06/24/201 0.0 $22k 180k 0.12
Roi Acquisition Corp Ii Unit 09/17/2018 0.0 $21k 2.0k 10.50
Cambridge Cap Acquisition W Exp 12/17/201 0.0 $21k 143k 0.15
Quinpario Acquisition Corp 2 W Exp 01/01/202 0.0 $15k 25k 0.60
Hydra Inds Acquisition Corp Right 99/99/9999 0.0 $10k 30k 0.33
Harmony Merger Corp W Exp 01/01/202 0.0 $4.0k 10k 0.40
Citigroup W Exp 10/28/201 0.0 $3.0k 116k 0.03
Jason Inds W Exp 06/30/201 0.0 $3.0k 5.0k 0.60
Wl Ross Hldg Corp W Exp 06/11/201 0.0 $3.0k 2.7k 1.11
Hydra Inds Acquisition Corp W Exp 10/20/202 0.0 $999.900000 3.0k 0.33
Ar Cap Acquisition Corp W Exp 10/06/201 0.0 $0 400.00 0.00