Basso Capital Management

Basso Capital Management as of Dec. 31, 2010

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 92 positions in its portfolio as reported in the December 2010 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Microchip Technology Inc sdcv 2.125%12/1 6.7 $32M 27M 1.22
Danaher Corp Del debt 5.6 $27M 20M 1.37
Laboratory Corp Amer Hldgs debt 3.7 $18M 15M 1.18
Cephalon Inc note 2.000% 6/0 3.5 $17M 12M 1.40
Xilinx Inc sdcv 3.125% 3/1 3.2 $16M 15M 1.04
Old Rep Intl Corp note 8.000% 5/1 3.2 $15M 12M 1.27
Sba Communications Corp note 4.000%10/0 3.0 $15M 9.8M 1.49
Unisource Energy Corp note 4.500% 3/0 3.0 $15M 14M 1.05
Cms Energy Corp note 5.500% 6/1 2.8 $14M 9.8M 1.40
Teleflex Inc note 3.875% 8/0 2.7 $13M 12M 1.05
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 2.6 $13M 9.5M 1.33
Netapp Inc note 1.750% 6/0 2.5 $12M 6.7M 1.78
Liberty Global Inc note 4.500% 11/1 2.5 $12M 8.0M 1.49
Annaly Cap Mgmt Inc note 4.000% 2/1 2.4 $12M 10M 1.16
Earthlink Inc note 3.250%11/1 2.3 $11M 9.8M 1.12
Synovus Finl Corp unit 99/99/9999 2.2 $11M 438k 24.56
National Retail Properties I note 5.125% 6/1 2.2 $11M 9.2M 1.15
E M C Corp Mass note 1.750%12/0 1.9 $9.4M 6.2M 1.51
Vale Cap Ii valep 6.75%12 1.7 $8.4M 86k 97.23
General Mtrs Co jr pfd cnv srb 1.7 $8.1M 150k 53.95
Vale Cap Ii gtd cv 6.75%12 1.7 $8.1M 84k 96.20
Fti Consulting Inc bond 1.5 $7.1M 5.6M 1.28
Verisign Inc sdcv 3.250% 8/1 1.5 $7.1M 6.3M 1.12
Great Plains Energy Inc unit 06/15/2042 1.3 $6.4M 101k 63.34
Saks Inc note 2.000% 3/1 1.3 $6.2M 6.0M 1.03
Us Airways Group Inc note 7.250% 5/1 1.2 $6.0M 2.5M 2.39
Theravance Inc note 3.000% 1/1 1.2 $5.7M 5.0M 1.13
note 5.500% 7/1 1.2 $5.7M 5.0M 1.13
Omnicare Inc note 3.750%12/1 1.1 $5.6M 5.0M 1.11
American Med Sys Hldgs Inc note 3.250% 7/0 1.1 $5.4M 5.0M 1.07
Jetblue Airways Corp dbcv 6.750%10/1 1.1 $5.3M 3.3M 1.59
Quicksilver Resources Inc dbcv 1.875%11/0 1.1 $5.2M 4.8M 1.09
Dryships Inc. note 5.000%12/0 1.1 $5.2M 5.0M 1.03
Bunge 1.1 $5.1M 78k 65.53
Protein Design Labs Inc note 2.000% 2/1 1.0 $5.0M 5.0M 1.00
Phh Corp note 4.000% 4/1 1.0 $5.0M 4.0M 1.24
Ford Mtr Co Cap Tr Ii pfd tr cv6.5% 1.0 $4.9M 96k 51.50
Ocwen Finl Corp note 3.250% 8/0 1.0 $4.9M 5.2M 0.94
Citigroup Inc unit 1.0 $4.8M 35k 135.71
Intermune cv 5.0% 0.9 $4.2M 2.0M 2.10
CUBIST PHARM CONVERTIBLE security 0.9 $4.1M 4.3M 0.96
Genco Shipping & Trading Ltd note 5.000% 8/1 0.8 $4.0M 4.0M 1.01
Beazer Homes Usa Inc. unit 99/99/99 0.8 $3.9M 168k 23.50
Hartford Finl Svcs Wt Exp 0626 wt 0.8 $3.9M 214k 18.05
Stanley Black & Decker Inc unit 99/99/9999 0.8 $3.8M 35k 108.57
Xl Group 0.8 $3.7M 120k 31.11
Bank of America Corporation (BAC) 0.7 $3.3M 250k 13.34
Tata Motors 0.7 $3.2M 108k 29.34
Kendle International Inc note 3.375% 7/1 0.6 $2.8M 3.0M 0.93
SPDR Gold Trust (GLD) 0.6 $2.8M 20k 138.70
Anglogold Ashanti Holdings Fin pfd cv 0.6 $2.8M 50k 55.12
United Therapeutics Corp Del note 0.500%10/1 0.5 $2.5M 1.5M 1.68
Teleflex Incorporated (TFX) 0.5 $2.4M 45k 53.80
Entertainment Properties Trust 0.5 $2.3M 50k 46.26
Xilinx 0.5 $2.2M 75k 28.99
Endo Pharmaceuticals 0.5 $2.1M 60k 35.72
Old Republic International Corporation (ORI) 0.4 $2.1M 153k 13.64
Cephalon 0.4 $2.0M 33k 61.73
Wells Fargo & Company (WFC) 0.3 $1.6M 50k 31.00
Providence Svc Corp note 6.500% 5/1 0.3 $1.5M 1.5M 1.00
Molson Coors Brewing Company (TAP) 0.3 $1.5M 30k 50.20
Seadrill 0.3 $1.5M 43k 33.91
NetApp (NTAP) 0.3 $1.4M 25k 54.96
Energy Xxi 0.3 $1.4M 50k 27.68
Omnicare 0.3 $1.3M 50k 25.40
Archer Daniels Midland Company (ADM) 0.2 $1.2M 40k 30.10
Genco Shipping & Trading 0.2 $1.1M 78k 14.40
Crown Castle International 0.2 $1.1M 25k 43.84
Annaly Capital Management 0.2 $1.0M 58k 17.91
Greatbatch Inc sdcv 2.250% 6/1 0.2 $960k 1.0M 0.96
ATP Oil & Gas Corporation 0.2 $971k 58k 16.74
Liberty Global 0.2 $923k 26k 35.36
Powerwave Technologies Inc note 3.875%10/0 0.2 $890k 1.0M 0.89
Cubist Pharmaceuticals 0.2 $856k 40k 21.40
Cadence Design Systems (CDNS) 0.2 $826k 100k 8.26
Ford Motor Company (F) 0.2 $840k 50k 16.80
Peabody Energy Corporation 0.2 $768k 12k 64.00
Theravance 0.2 $752k 30k 25.07
Quicksilver Resources 0.1 $737k 50k 14.74
Great Plains Energy Incorporated 0.1 $679k 35k 19.40
Stanley Black & Decker (SWK) 0.1 $669k 10k 66.90
Entertainment Pptys Tr pfd c cnv 5.75% 0.1 $622k 33k 19.13
Amarin Corporation (AMRN) 0.1 $615k 75k 8.20
Citi 0.1 $473k 100k 4.73
Ocwen Financial Corporation 0.1 $368k 39k 9.53
Chemtura Corporation 0.1 $400k 25k 16.00
General Motors Company (GM) 0.1 $369k 10k 36.90
Entertainment Properties Trust 0.1 $311k 6.7k 46.27
Dryships/drys 0.1 $275k 50k 5.50
Synovus Financial 0.1 $264k 100k 2.64
Qimonda Fin Llc Note 6.750% 3/2 0.1 $225k 7.5M 0.03
Lkd Barclays Bk Plc Ipath S&p Etn etf 0.0 $79k 1.2k 65.83