Basso Capital Management

Basso Capital Management as of Sept. 30, 2011

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 144 positions in its portfolio as reported in the September 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 6.2 $30M 26M 1.16
Medicis Pharmaceutical Corp note 2.500% 6/0 5.1 $25M 19M 1.30
Sba Communications Corp note 4.000%10/0 4.5 $22M 17M 1.29
Cephalon Inc note 2.000% 6/0 4.3 $21M 12M 1.75
Vale Cap Ii valep 6.75%12 4.2 $20M 304k 67.35
Unisource Energy Corp note 4.500% 3/0 3.7 $18M 17M 1.06
Annaly Cap Mgmt Inc note 4.000% 2/1 3.6 $18M 16M 1.14
Xilinx Inc sdcv 3.125% 3/1 3.4 $17M 17M 1.00
Borgwarner Inc note 3.500% 4/1 2.8 $14M 7.4M 1.85
Omnicare Inc note 3.750%12/1 2.7 $13M 12M 1.11
Incyte Corp note 4.750%10/0 2.7 $13M 7.5M 1.77
Barclays Bk Plc ipth s^p vix 2.4 $12M 220k 53.37
Pdl Biopharma Inc note 3.750% 5/0 2.4 $12M 12M 0.95
Alcoa Inc debt 2.3 $12M 7.0M 1.64
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 2.3 $11M 10M 1.13
Saks Inc note 2.000% 3/1 2.1 $10M 11M 0.99
E M C Corp Mass note 1.750%12/0 2.1 $10M 7.2M 1.41
Teleflex Inc note 3.875% 8/0 2.0 $9.8M 9.0M 1.09
Pdl Biopharma Inc note 2.875% 2/1 1.7 $8.4M 8.5M 0.99
National Retail Properties I note 5.125% 6/1 1.7 $8.1M 7.1M 1.15
Metlife Inc 5% 10/0/14 Conv Pr cv prf 1.6 $7.9M 140k 56.76
Virgin Media Inc note 6.500%11/1 1.5 $7.5M 5.0M 1.50
Earthlink Inc note 3.250%11/1 1.4 $7.1M 7.1M 1.00
Us Airways Group Inc note 7.250% 5/1 1.4 $7.1M 5.0M 1.41
Phh Corp note 4.000% 4/1 1.4 $6.9M 7.0M 0.99
Financial Select Sector SPDR (XLF) 1.3 $6.5M 550k 11.81
Old Rep Intl Corp note 8.000% 5/1 1.2 $6.1M 6.0M 1.02
iShares FTSE/Xinhua China 25 Index (FXI) 1.2 $6.0M 196k 30.83
iShares Barclays 20+ Yr Treas.Bond (TLT) 1.2 $6.0M 50k 120.80
Ocwen Finl Corp note 3.250% 8/0 1.2 $5.8M 5.2M 1.11
Spdr S&p 500 Etf (SPY) 1.1 $5.7M 50k 113.16
ACTUANT CORP CONVERTIBLE security 1.1 $5.5M 5.1M 1.09
Great Plains Energy Inc unit 06/15/2042 0.9 $4.7M 78k 59.71
Synovus Finl Corp unit 99/99/9999 0.9 $4.5M 398k 11.29
Hologic Inc frnt 2.000%12/1 0.9 $4.2M 4.5M 0.94
Cms Energy Corp note 2.875%12/0 0.8 $3.9M 2.5M 1.56
Autoliv Inc unit 99/99/9999 0.8 $3.7M 56k 65.64
Nash Finch Co frnt 1.631% 3/1 0.7 $3.3M 7.6M 0.44
Tata Motors 0.7 $3.3M 215k 15.38
Covanta Holding Conv conv bnd 0.7 $3.3M 3.0M 1.09
Alliance Data Systems Corp note 1.750% 8/0 0.7 $3.2M 2.5M 1.27
Exterran Hldgs Inc note 4.250% 6/1 0.7 $3.2M 3.5M 0.91
Textron Inc note 4.500% 5/0 0.6 $3.0M 2.0M 1.51
Providence Svc Corp note 6.500% 5/1 0.6 $3.0M 3.0M 0.99
Citigroup Inc unit 0.6 $2.9M 37k 79.35
iShares MSCI Hong Kong Index Fund (EWH) 0.6 $2.9M 200k 14.33
Netapp Inc note 1.750% 6/0 0.6 $2.7M 2.2M 1.22
World Accep Corporation note 3.000%10/0 0.5 $2.5M 2.5M 1.00
Sunpower Corp conv 0.5 $2.5M 3.0M 0.84
Health Care REIT 0.5 $2.3M 50k 46.80
Lucent Technologies Inc dbcv 2.875% 6/1 0.5 $2.3M 2.5M 0.93
Apache Corporation 0.4 $2.1M 26k 80.23
D Synnex Corp Ser B Sr Uns Conv convrt bonds 0.4 $2.0M 1.9M 1.09
iShares MSCI EAFE Index Fund (EFA) 0.4 $1.9M 39k 47.78
Leucadia Natl Corp debt 0.4 $1.9M 1.6M 1.15
Isis Pharmaceuticals Inc Del note 2.625% 2/1 0.4 $1.8M 2.0M 0.90
United Microelectronics (UMC) 0.3 $1.7M 2.0M 0.86
Brookdale Senior Living note 0.3 $1.5M 2.0M 0.76
Global Eagle Acquisition Cor 0.3 $1.5M 160k 9.50
Beazer Homes Usa Inc. unit 99/99/99 0.3 $1.5M 170k 8.62
Genco Shipping & Trading Ltd note 5.000% 8/1 0.3 $1.5M 2.3M 0.66
Cemex SAB de CV (CX) 0.3 $1.4M 450k 3.16
PPL Corporation (PPL) 0.3 $1.4M 50k 28.54
Trina Solar Limited note 4.000% 7/1 0.2 $1.2M 2.0M 0.62
Saks Incorporated 0.2 $1.2M 135k 8.75
Blue Wolf Mongolia Holdings 0.2 $1.2M 125k 9.58
China Growth Equity Inv 0.2 $1.2M 125k 9.49
Lincare Holdings 0.2 $1.1M 50k 22.50
Entertainment Properties Trust 0.2 $1.1M 29k 38.99
United Microelectronics (UMC) 0.2 $1.1M 566k 1.91
Ramco-gershenson Pptys Tr perp pfd-d cv 0.2 $1.1M 29k 37.26
SK Tele 0.2 $1.0M 100M 0.01
Nautilus Marine Acquisit Cor shsadded 0.2 $956k 100k 9.56
Covanta Holding Corporation 0.2 $760k 50k 15.20
Genco Shipping & Trading 0.2 $781k 100k 7.81
Great Plains Energy Incorporated 0.2 $772k 40k 19.30
EMC Corporation 0.1 $735k 35k 21.00
Vishay Intertechnology (VSH) 0.1 $661k 79k 8.36
Kinetic Concepts 0.1 $659k 10k 65.90
Ocwen Financial Corporation 0.1 $661k 50k 13.22
Micron Technology (MU) 0.1 $604k 120k 5.03
Resolute Energy Corp *w exp 09/25/201 0.1 $573k 382k 1.50
Affiliated Managers (AMG) 0.1 $546k 7.0k 78.00
Entertainment Properties Trust 0.1 $534k 14k 38.98
Home Inns & Hotels Management 0.1 $515k 20k 25.75
Alcoa 0.1 $495k 51k 9.67
Australia Acquisition Corp 0.1 $501k 51k 9.79
Old Republic International Corporation (ORI) 0.1 $446k 50k 8.92
KKR Financial Holdings 0.1 $409k 55k 7.44
Universal Corporation (UVV) 0.1 $400k 11k 35.90
Horsehead Holding 0.1 $371k 50k 7.42
BioMed Realty Trust 0.1 $414k 25k 16.56
Prime Acquisition Corp 0.1 $349k 37k 9.56
Beazer Homes USA 0.1 $302k 200k 1.51
PDL BioPharma 0.1 $278k 50k 5.56
SunPower Corporation 0.1 $243k 30k 8.10
Sunrise Senior Living 0.1 $262k 56k 4.67
Beazer Homes 7.5% 01/15/1 3 nt sub 7.5% 0.1 $250k 27k 9.19
Hartford Finl Svcs Wt Exp 0626 wt 0.1 $241k 25k 9.64
EarthLink 0.0 $196k 30k 6.53
Unisys Corp 6.25% Cv Pfd A cvp 0.0 $173k 3.2k 54.06
Bank Of America Corp w exp 10/201 0.0 $145k 175k 0.83
Credit Suisse Nassau Brh invrs vix sterm 0.0 $137k 25k 5.48
Digital Realty Trust (DLR) 0.0 $80k 1.5k 55.02
Synovus Financial 0.0 $107k 100k 1.07
Frontline Limited Usd2.5 0.0 $110k 23k 4.84
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.0 $100k 125k 0.80
Heckmann Corp *w exp 11/09/201 0.0 $26k 258k 0.10
Uranium Energy (UEC) 0.0 $33k 12k 2.73
Global Eagle Acquisition Cor *w exp 05/13/201 0.0 $70k 93k 0.75
China Growth Equity Inv Ltd *w exp 99/99/999 0.0 $62k 125k 0.50
Nautilus Marine Acquisit Cor *w exp 06/17/201 0.0 $40k 100k 0.40
Entertainment Pptys Tr pfd c cnv 5.75% 0.0 $2.0k 100.00 20.00
MasterCard Incorporated (MA) 0.0 $18k 58.00 310.34
AutoNation (AN) 0.0 $15k 461.00 32.54
Caterpillar (CAT) 0.0 $12k 161.00 74.53
CBS Corporation 0.0 $13k 617.00 21.07
Cerner Corporation 0.0 $19k 282.00 67.38
Edwards Lifesciences (EW) 0.0 $15k 207.00 72.46
Red Hat 0.0 $17k 406.00 41.87
Goodyear Tire & Rubber Company (GT) 0.0 $10k 1.0k 9.83
Apple (AAPL) 0.0 $18k 46.00 391.30
Baker Hughes Incorporated 0.0 $10k 226.00 44.25
Directv 0.0 $14k 340.00 41.18
Halliburton Company (HAL) 0.0 $10k 318.00 31.45
Agilent Technologies Inc C ommon (A) 0.0 $12k 380.00 31.58
Williams Companies (WMB) 0.0 $14k 578.00 24.22
Freeport-McMoRan Copper & Gold (FCX) 0.0 $10k 319.00 31.35
Harman International Industries 0.0 $11k 393.00 27.99
Whole Foods Market 0.0 $18k 272.00 66.18
Visa (V) 0.0 $17k 200.00 85.00
First Solar (FSLR) 0.0 $9.0k 144.00 62.50
priceline.com Incorporated 0.0 $15k 34.00 441.18
Amazon (AMZN) 0.0 $18k 83.00 216.87
Wynn Resorts (WYNN) 0.0 $13k 111.00 117.12
Tesoro Corporation 0.0 $15k 745.00 20.13
salesforce (CRM) 0.0 $13k 117.00 111.11
Cliffs Natural Resources 0.0 $9.0k 178.00 50.56
Chipotle Mexican Grill (CMG) 0.0 $16k 54.00 296.30
Ramco-Gershenson Properties Trust 0.0 $16k 2.0k 8.00
F5 Networks (FFIV) 0.0 $12k 169.00 71.01
MetroPCS Communications 0.0 $9.0k 1.1k 8.46
Global X Fds glb x uranium 0.0 $24k 3.0k 8.00
Citigroup Inc *w exp 10/28/201 0.0 $12k 150k 0.08