Basso Capital Management

Basso Capital Management as of March 31, 2016

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 157 positions in its portfolio as reported in the March 2016 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Verisign SDCV 3.250% 8/1 (Principal) 9.2 $55M 21M 2.58
Microchip Technology SDCV 2.125%12/1 (Principal) 5.4 $32M 16M 1.99
Take-two Interactive Softwar Note 1.000% 7/0 (Principal) 5.2 $31M 17M 1.78
Jarden Corp Note 1.875% 9/1 (Principal) 4.1 $25M 13M 1.88
Palo Alto Networks Note 7/0 (Principal) 4.0 $24M 16M 1.55
Jarden Corp Note 1.500% 6/1 (Principal) 3.3 $20M 13M 1.53
Nvidia Corp Note 1.000%12/0 (Principal) 2.6 $16M 8.8M 1.78
Starwood Ppty Tr Note 3.750%10/1 (Principal) 2.6 $15M 16M 0.98
Molina Healthcare Note 1.125% 1/1 (Principal) 2.4 $14M 8.7M 1.65
Ligand Pharmaceuticals Note 0.750% 8/1 (Principal) 2.3 $14M 9.1M 1.52
Spirit Rlty Cap Note 2.875% 5/1 (Principal) 2.3 $14M 14M 1.00
Intel Corp SDCV 3.250% 8/0 (Principal) 2.2 $13M 8.4M 1.59
Yahoo Note 12/0 (Principal) 2.0 $12M 12M 0.99
Medicines Note 2.500% 1/1 (Principal) 1.8 $11M 9.4M 1.13
J2 Global Note 3.250% 6/1 (Principal) 1.8 $11M 9.7M 1.09
National Health Invs Note 3.250% 4/0 (Principal) 1.7 $10M 9.9M 1.03
Twitter Note 0.250% 9/1 (Principal) 1.7 $9.9M 11M 0.87
Ship Finance International L Note 3.250% 2/0 (Principal) 1.7 $9.9M 10M 0.97
Mercadolibre Note 2.250% 7/0 (Principal) 1.6 $9.7M 8.7M 1.12
Priceline Grp Note 1.000% 3/1 (Principal) 1.5 $8.9M 6.2M 1.43
Xilinx Note 2.625% 6/1 (Principal) 1.4 $8.4M 5.1M 1.64
Sandisk Corp Note 1.500% 8/1 (Principal) 1.4 $8.2M 5.2M 1.57
Dht Holdings Debt 4.500%10/0 (Principal) 1.3 $7.5M 7.6M 0.98
Ctrip Com Intl Note 1.250%10/1 (Principal) 1.2 $7.1M 5.6M 1.28
Medicines DBCV 1.375% 6/0 (Principal) 1.1 $6.8M 5.4M 1.27
Ares Cap Corp Note 5.125% 6/0 (Principal) 1.1 $6.3M 6.3M 1.00
Molina Healthcare DBCV 1.625% 8/1 (Principal) 1.0 $6.1M 4.9M 1.26
Cemex Sab De Cv Note 3.750% 3/1 (Principal) 1.0 $5.8M 5.6M 1.04
Powershares Qqq Trust Unit Ser 1 Put Option 0.9 $5.5M 50k 109.20
Albany Molecular Resh Note 2.250%11/1 (Principal) 0.9 $5.3M 4.8M 1.11
Corenergy Infrastructure Tr Note 7.000% 6/1 (Principal) 0.9 $5.3M 6.7M 0.78
Colony Cap Note 3.875% 1/1 (Principal) 0.9 $5.3M 5.9M 0.89
Amag Pharmaceuticals Note 2.500% 2/1 (Principal) 0.8 $4.8M 4.4M 1.08
Linkedin Corp Note 0.500%11/0 (Principal) 0.7 $4.4M 4.8M 0.90
Carriage Svcs Note 2.750% 3/1 (Principal) 0.7 $4.3M 3.9M 1.10
Netsuite Note 0.250% 6/0 (Principal) 0.7 $4.2M 4.4M 0.96
M/i Homes Note 3.250% 9/1 (Principal) 0.7 $4.1M 4.1M 1.00
51job Note 3.250% 4/1 (Principal) 0.7 $4.1M 4.0M 1.01
General Cable Corp Del FRNT 4.500%11/1 (Principal) 0.6 $3.9M 7.0M 0.55
Gores Hldgs Unit 99/99/9999 0.6 $3.8M 380k 9.98
Lgi Homes Note 4.250%11/1 (Principal) 0.6 $3.8M 3.0M 1.26
Golar Lng Ltd Bermuda SHS Put Option (GLNG) 0.6 $3.7M 208k 17.97
Affymetrix Note 4.000% 7/0 (Principal) 0.6 $3.6M 1.5M 2.41
Altra Indl Motion Corp Note 2.750% 3/0 (Principal) 0.6 $3.5M 3.0M 1.15
Spdr Series Trust Brc Hgh Yld Bd Call Option 0.6 $3.4M 100k 34.25
Shutterfly Note 0.250% 5/1 (Principal) 0.6 $3.4M 3.5M 0.99
Salesforce Note 0.250% 4/0 (Principal) 0.6 $3.3M 2.7M 1.24
Vector Group Note 1.750% 4/1 (Principal) 0.6 $3.3M 3.0M 1.11
Garnero Group Acquisition SHS 0.5 $3.3M 330k 9.94
Cowen Group Note 3.000% 3/1 (Principal) 0.5 $3.1M 3.4M 0.93
Easterly Acquisition Corp Unit 99/99/9999 0.5 $3.0M 306k 9.91
Gp Invts Acquisition Cor SHS 0.5 $3.0M 317k 9.55
Boulevard Acquisition Unit 99/99/9999 0.5 $2.9M 294k 9.95
Electronics For Imaging Note 0.750% 9/0 (Principal) 0.5 $2.9M 2.8M 1.04
Quinpario Acquisition Corp 2 0.5 $2.8M 285k 9.78
Trina Solar Note 4.000%10/1 (Principal) 0.5 $2.7M 3.0M 0.91
Gp Invts Acquisition Cor Unit 99/99/9999 0.5 $2.7M 275k 9.88
Vodafone Group Spnsr Adr No Par Call Option (VOD) 0.5 $2.7M 84k 32.05
Wellpoint Note 2.750%10/1 (Principal) 0.4 $2.7M 1.4M 1.91
Electrum Spl Acquisition Cor SHS 0.4 $2.6M 272k 9.65
Seacor Holdings Note 2.500%12/1 (Principal) 0.4 $2.6M 2.7M 0.95
Hennessy Cap Acquisition Cor Unit 99/99/9999 0.4 $2.6M 260k 9.82
Cemex Sab De Cv Spon Adr New Call Option (CX) 0.4 $2.5M 350k 7.28
Boulevard Acquisition Cl A 0.4 $2.4M 249k 9.75
Double Eagle Acquisition Cor 0.4 $2.3M 233k 9.72
Ar Cap Acquisition 0.4 $2.2M 227k 9.85
Seacor Holdings Note 3.000%11/1 (Principal) 0.4 $2.1M 2.8M 0.76
Electrum Spl Acquisition Cor Unit 99/99/9999 0.3 $2.0M 205k 9.78
Starwood Property Trust Call Option (STWD) 0.3 $1.9M 101k 18.93
Pace Hldgs Corp Cl A 0.3 $1.9M 199k 9.45
Trina Solar DBCV 3.500% 6/1 (Principal) 0.3 $1.8M 2.0M 0.92
Easterly Acquisition 0.3 $1.8M 186k 9.70
Hornbeck Offshore Svcs Inc N Note 1.500% 9/0 (Principal) 0.3 $1.8M 3.0M 0.60
Dt Asia Invts SHS 0.3 $1.7M 164k 10.15
Spectranetics Corp MTNF 2.625% 6/0 (Principal) 0.3 $1.6M 2.0M 0.79
Hydra Inds Acquisition 0.3 $1.5M 156k 9.90
Arowana Unit 99/99/9999 0.3 $1.5M 150k 10.25
Ar Cap Acquisition Corp Unit 10/06/2019 0.3 $1.5M 156k 9.89
Amsurg Corp Pfd Cnv Sr A-1 % 0.3 $1.5M 11k 140.56
Hydra Inds Acquisition Corp Unit 10/20/2021 0.3 $1.5M 145k 10.45
Atlas Air Worldwide Hldgs In Note 2.250% 6/0 (Principal) 0.2 $1.4M 1.7M 0.85
Gores Hldgs Cl A 0.2 $1.3M 135k 9.75
Quinpario Acquisition Corp 2 Unit 01/01/2023 0.2 $1.2M 125k 9.93
Global Partner Acquisition C 0.2 $1.2M 121k 9.82
Southwestern Energy Company Call Option (SWN) 0.2 $1.2M 145k 8.08
Hennessy Cap Acquisition Cor 0.2 $1.2M 119k 9.68
Spdr S&p 500 Etf Tr Tr Unit (SPY) 0.2 $1.0M 5.0k 205.60
Terrapin 3 Acquisition Corp Com Cl A 0.2 $1.0M 101k 9.90
Sina Corp Note 1.000%12/0 (Principal) 0.2 $980k 1.0M 0.98
New Mtn Fin Corp Note 5.000% 6/1 (Principal) 0.2 $954k 1.0M 0.95
Kindred Healthcare Call Option 0.2 $926k 75k 12.35
Double Eagle Acquisition Cor Unit 99/99/9999 0.2 $900k 90k 10.00
1347 Cap Corp Unit 07/18/2016 0.1 $871k 85k 10.25
Arowana SHS 0.1 $847k 85k 9.95
Wl Ross Hldg Corp Unit 06/11/2019 0.1 $795k 76k 10.49
Universal Corporation (UVV) 0.1 $765k 14k 56.84
Harmony Merger 0.1 $693k 70k 9.91
Dht Holdings Shs New Put Option (DHT) 0.1 $691k 120k 5.76
Forestar Call Option 0.1 $652k 50k 13.04
Ship Finance International L SHS Put Option 0.1 $631k 45k 13.90
Welltower 6.50% Pfd Prepet 0.1 $616k 10k 61.60
Scorpio Tankers SHS Put Option 0.1 $583k 100k 5.83
Terrapin 3 Acquisition Corp Unit 06/27/2019 0.1 $574k 57k 10.11
Atlantic Alliance Partner SHS 0.1 $547k 52k 10.43
Full Circle Cap Corp 0.1 $516k 200k 2.58
Harmony Merger Corp Unit 99/99/9999 0.1 $513k 50k 10.26
Capitol Acquisition Corp Iii Unit 99/99/9999 0.1 $493k 50k 9.86
News Corp Cl A (NWSA) 0.1 $493k 39k 12.77
NuVasive 0.1 $487k 10k 48.70
Seadrill SHS Put Option 0.1 $396k 120k 3.30
Invacare Corporation Put Option 0.1 $395k 30k 13.17
Wpx Energy Put Option 0.1 $350k 50k 7.00
Liberty Global Shs Cl A 0.1 $331k 8.6k 38.49
1347 Cap 0.0 $291k 29k 9.93
Heico Corp Cl A (HEI.A) 0.0 $286k 6.0k 47.67
Viacom CL B 0.0 $285k 6.9k 41.30
Petroleo Brasileiro Sa Petro Sponsored Adr (PBR) 0.0 $274k 47k 5.84
Silver Run Acquisition Corp Unit 99/99/9999t 0.0 $259k 25k 10.36
Bhp Billiton Sponsored Adr 0.0 $230k 10k 22.77
Central Garden & Pet Cl A Non-vtg (CENTA) 0.0 $212k 13k 16.31
Klr Energy Acquisition Corp Unit 12/31/2020 0.0 $201k 20k 10.05
Jensyn Acquisition Corp Unit 99/99/9999 0.0 $200k 20k 10.00
Discovery Communicatns Com Ser C 0.0 $197k 7.3k 26.99
Credit Suisse Nassau Brh Invrs Vix Sterm 0.0 $194k 7.5k 25.87
Andina Acquisition Corp Ii SHS 0.0 $194k 20k 9.70
51job Sp Adr Rep Com 0.0 $175k 5.7k 30.97
Wl Ross Hldg Corp Com Shs 0.0 $175k 17k 10.06
Array BioPharma Call Option 0.0 $148k 50k 2.96
General Cable Corporation Call Option 0.0 $105k 8.6k 12.21
Zions Bancorporation *w Exp 11/14/201 0.0 $68k 50k 1.36
Sanofi Right 12/31/2020 0.0 $42k 370k 0.11
Garnero Group Acquisition Right 06/25/2016 0.0 $34k 200k 0.17
Dt Asia Invts Right 03/30/2016 0.0 $24k 140k 0.17
Bank Amer Corp *w Exp 10/28/201 0.0 $18k 92k 0.20
Ofg Ban Call Option (OFG) 0.0 $17k 2.5k 6.80
Garnero Group Acquisition *w Exp 06/24/201 0.0 $14k 165k 0.09
Hydra Inds Acquisition Corp Right 99/99/9999 0.0 $14k 55k 0.25
Easterly Acquisition Corp *w Exp 07/29/202 0.0 $10k 25k 0.40
Kinder Morgan Inc Del *w Exp 05/25/201 0.0 $9.0k 250k 0.04
Citigroup *w Exp 01/04/201 0.0 $8.0k 82k 0.10
Capitol Acquisition Corp Iii *w Exp 10/13/202 0.0 $8.0k 26k 0.31
Boulevard Acquisition *w Exp 09/25/202 0.0 $8.0k 26k 0.30
Gores Hldgs *w Exp 08/13/202 0.0 $7.0k 29k 0.24
Dt Asia Invts *w Exp 03/29/202 0.0 $6.0k 140k 0.04
Pace Hldgs Corp *w Exp 99/99/999 0.0 $5.0k 14k 0.35
1347 Cap Corp Right 07/21/2016 0.0 $5.0k 15k 0.33
Gp Invts Acquisition Cor *w Exp 05/19/202 0.0 $4.0k 15k 0.27
Ar Cap Acquisition Corp *w Exp 10/06/201 0.0 $4.0k 35k 0.11
Quinpario Acquisition Corp 2 *w Exp 01/01/202 0.0 $4.0k 23k 0.18
Hennessy Cap Acquisition Cor *w Exp 07/28/202 0.0 $3.0k 20k 0.15
Terrapin 3 Acquisition Corp *w Exp 06/27/201 0.0 $3.0k 10k 0.30
Hydra Inds Acquisition Corp *w Exp 10/20/202 0.0 $2.0k 12k 0.16
Double Eagle Acquisition Cor *w Exp 09/16/202 0.0 $2.0k 6.2k 0.32
Electrum Spl Acquisition Cor *w Exp 99/99/999 0.0 $2.0k 9.0k 0.22
Arowana Right 01/01/2017 0.0 $1.0k 5.0k 0.20
Wl Ross Hldg Corp *w Exp 06/11/201 0.0 $0 200.00 0.00
Pacific Spl Acquisition Corp *w Exp 10/20/202 0.0 $0 5.0k 0.00