Basso Capital Management

Basso Capital Management as of March 31, 2011

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 88 positions in its portfolio as reported in the March 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Microchip Technology Inc sdcv 2.125%12/1 7.0 $41M 30M 1.36
Spdr S&p 500 Etf (SPY) 5.7 $33M 250k 132.59
Danaher Corp Del debt 5.2 $30M 20M 1.51
Liberty Global Inc note 4.500% 11/1 4.5 $26M 15M 1.70
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 4.2 $25M 18M 1.40
Sba Communications Corp note 4.000%10/0 3.5 $20M 14M 1.46
Xilinx Inc sdcv 3.125% 3/1 3.5 $20M 18M 1.16
Unisource Energy Corp note 4.500% 3/0 3.2 $19M 17M 1.06
Cephalon Inc note 2.000% 6/0 3.1 $18M 11M 1.66
Old Rep Intl Corp note 8.000% 5/1 2.7 $16M 13M 1.20
Saks Inc note 2.000% 3/1 2.5 $14M 14M 1.06
Vale Cap Ii gtd cv 6.75%12 2.4 $14M 154k 92.68
Teleflex Inc note 3.875% 8/0 2.3 $13M 12M 1.12
E M C Corp Mass note 1.750%12/0 2.2 $13M 7.7M 1.71
Fti Consulting Inc bond 2.1 $12M 9.6M 1.28
Medicis Pharmaceutical Corp note 2.500% 6/0 2.1 $12M 11M 1.15
Annaly Cap Mgmt Inc note 4.000% 2/1 2.0 $12M 10M 1.16
Earthlink Inc note 3.250%11/1 2.0 $12M 11M 1.07
Netapp Inc note 1.750% 6/0 1.9 $11M 7.2M 1.58
Citigroup Inc unit 1.8 $11M 85k 126.15
Genzyme Corporation 1.8 $10M 134k 76.15
Cms Energy Corp note 5.500% 6/1 1.7 $9.8M 6.8M 1.45
Metlife Inc 5% 10/0/14 Conv Pr cv prf 1.7 $9.7M 115k 84.67
Great Plains Energy Inc unit 06/15/2042 1.5 $8.8M 137k 64.39
Synovus Finl Corp unit 99/99/9999 1.5 $8.8M 383k 22.88
Laboratory Corp Amer Hldgs debt 1.5 $8.8M 7.1M 1.23
Trex Inc note 6.000% 7/0 1.5 $8.6M 5.5M 1.56
Virgin Media Inc note 6.500%11/1 1.4 $8.5M 5.0M 1.69
Phh Corp note 4.000% 4/1 1.4 $8.2M 7.0M 1.17
Verisign Inc sdcv 3.250% 8/1 1.3 $7.5M 6.2M 1.21
Seadrill 1.2 $7.3M 201k 36.07
Vale Cap Ii valep 6.75%12 1.2 $7.1M 75k 94.79
Barclays Bk Plc ipth s^p vix 1.1 $6.5M 220k 29.37
Omnicare Inc note 3.750%12/1 1.1 $6.5M 5.0M 1.29
Stanley Black & Decker Inc unit 99/99/9999 1.1 $6.1M 51k 120.25
Intermune cv 5.0% 0.9 $5.3M 2.0M 2.64
Ocwen Finl Corp note 3.250% 8/0 0.9 $5.2M 5.2M 1.00
Kkr Financial Hldgs Llc note 7.500% 1/1 0.9 $5.0M 3.5M 1.43
Beazer Homes Usa Inc. unit 99/99/99 0.7 $4.1M 195k 20.84
General Motors Company (GM) 0.7 $3.9M 125k 31.04
National Retail Properties I note 5.125% 6/1 0.6 $3.5M 3.0M 1.16
Xilinx 0.6 $3.3M 100k 32.81
Endo Pharmaceuticals 0.5 $3.1M 81k 38.16
D Synnex Corp Ser B Sr Uns Conv convrt bonds 0.5 $3.0M 2.4M 1.28
note 5.500% 7/1 0.5 $2.7M 2.5M 1.07
Health Care REIT 0.5 $2.6M 50k 52.44
Entertainment Properties Trust 0.5 $2.6M 57k 46.81
L-3 Communications Corp debt 3.000% 8/0 0.4 $2.5M 2.5M 1.01
Teleflex Incorporated (TFX) 0.4 $2.5M 44k 57.99
Resolute Energy Corp *w exp 09/25/201 0.4 $2.1M 412k 5.18
Old Republic International Corporation (ORI) 0.4 $2.1M 164k 12.69
Hologic (HOLX) 0.3 $2.0M 91k 22.20
Hartford Finl Svcs Wt Exp 0626 wt 0.3 $2.0M 111k 18.34
iShares MSCI Japan Index 0.3 $2.0M 191k 10.32
Stanley Black & Decker (SWK) 0.3 $1.7M 23k 76.62
Allergan 0.3 $1.8M 25k 71.04
Vale (VALE) 0.3 $1.7M 50k 33.36
Stillwater Mining Company 0.3 $1.7M 75k 22.93
Affiliated Managers (AMG) 0.3 $1.5M 14k 109.43
Clinical Data (CLDA) 0.3 $1.5M 50k 30.30
ATP Oil & Gas Corporation 0.2 $1.4M 80k 18.10
iShares Silver Trust (SLV) 0.2 $1.5M 40k 36.78
Molson Coors Brewing Company (TAP) 0.2 $1.4M 30k 46.90
Accuride Corporation 0.2 $1.4M 100k 13.89
Saks Incorporated 0.2 $1.2M 107k 11.31
L-3 Communications Holdings 0.2 $1.2M 15k 78.33
Entertainment Properties Trust 0.2 $1.1M 23k 46.84
CMS Energy Corporation (CMS) 0.2 $982k 50k 19.64
SPDR Gold Trust (GLD) 0.2 $979k 7.0k 139.86
Verisign (VRSN) 0.1 $905k 25k 36.20
Vishay Intertechnology (VSH) 0.1 $887k 50k 17.74
Cemex SAB de CV (CX) 0.1 $893k 100k 8.93
Great Plains Energy Incorporated 0.1 $801k 40k 20.02
Developers Diversified Realty 0.1 $743k 53k 13.99
Chesapeake Energy Corporation 0.1 $670k 20k 33.50
Omnicare 0.1 $600k 20k 30.00
Citi 0.1 $442k 100k 4.42
Bank Of America Corp w exp 10/201 0.1 $441k 175k 2.52
KKR Financial Holdings 0.1 $294k 30k 9.80
Hawaiian Holdings (HA) 0.1 $301k 50k 6.02
Qimonda Fin Llc Note 6.750% 3/2 0.0 $225k 7.5M 0.03
Synovus Financial 0.0 $180k 75k 2.40
Credit Suisse Nassau Brh invrs vix sterm 0.0 $168k 1.2k 140.00
Heckmann Corp *w exp 11/09/201 0.0 $91k 96k 0.95
Crown Castle International 0.0 $85k 2.0k 42.50
Forest City Enterprises 0.0 $75k 4.0k 18.75
Universal Corporation (UVV) 0.0 $27k 620.00 43.55
Citigroup Inc *w exp 10/28/201 0.0 $29k 150k 0.19