Basso Capital Management

Basso Capital Management as of Dec. 31, 2011

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 130 positions in its portfolio as reported in the December 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Spdr S&p 500 Etf (SPY) 10.1 $50M 400k 125.50
Microchip Technology Inc sdcv 2.125%12/1 6.4 $32M 24M 1.35
Sba Communications Corp note 4.000%10/0 5.2 $26M 17M 1.52
Omnicare Inc note 3.750%12/1 4.8 $24M 17M 1.39
Medicis Pharmaceutical Corp note 2.500% 6/0 4.8 $24M 20M 1.20
Unisource Energy Corp note 4.500% 3/0 3.7 $18M 17M 1.07
Annaly Cap Mgmt Inc note 4.000% 2/1 3.3 $17M 15M 1.13
iShares MSCI Emerging Markets Indx (EEM) 3.2 $16M 428k 37.94
Xilinx Inc sdcv 3.125% 3/1 3.1 $15M 14M 1.14
E M C Corp Mass note 1.750%12/0 2.7 $13M 9.2M 1.44
Vale Cap Ii valep 6.75%12 2.6 $13M 200k 65.45
Alcoa Inc debt 2.3 $11M 7.5M 1.52
Gilead Sciences Inc note 0.625% 5/0 2.1 $11M 9.2M 1.16
Us Airways Group Inc note 7.250% 5/1 2.1 $10M 8.0M 1.30
Western Refng Inc note 5.750% 6/1 1.9 $9.3M 6.5M 1.43
Incyte Corp note 4.750%10/0 1.8 $8.9M 4.7M 1.88
Virgin Media Inc note 6.500%11/1 1.7 $8.3M 6.0M 1.38
Citigroup Inc unit 1.6 $8.0M 100k 80.45
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 1.6 $7.9M 6.0M 1.31
Barclays Bk Plc ipth s^p vix 1.6 $7.8M 220k 35.53
Saks Inc note 2.000% 3/1 1.5 $7.4M 7.3M 1.02
National Retail Properties I note 5.125% 6/1 1.4 $6.9M 6.1M 1.14
Autoliv Inc unit 99/99/9999 1.3 $6.7M 92k 72.64
Omnicare Cap Tr Ii pfd b tr 4.00% 1.3 $6.5M 143k 45.63
Financial Select Sector SPDR (XLF) 1.3 $6.5M 500k 13.00
Alliance Data Systems Corp note 1.750% 8/0 1.2 $6.2M 4.5M 1.37
Regis Corp Minn note 5.000% 7/1 1.2 $6.2M 5.0M 1.24
Metlife Inc 5% 10/0/14 Conv Pr cv prf 1.2 $5.8M 94k 61.31
PowerShares QQQ Trust, Series 1 1.1 $5.6M 100k 55.83
Mylan Inc note 3.750% 9/1 1.1 $5.6M 3.2M 1.74
Synovus Finl Corp unit 99/99/9999 1.0 $5.0M 363k 13.86
Hologic Inc frnt 2.000%12/1 0.9 $4.7M 5.0M 0.95
Ingersoll-rand Global Hldg C debt 0.9 $4.5M 2.6M 1.71
Exterran Hldgs Inc note 4.250% 6/1 0.9 $4.4M 5.0M 0.88
Cms Energy Corp note 2.875%12/0 0.9 $4.4M 2.5M 1.76
Human Genome Sciences Inc note 2.250% 8/1 0.8 $4.0M 4.0M 0.99
ACTUANT CORP CONVERTIBLE security 0.8 $3.8M 3.1M 1.22
Mylan Inc note 1.250% 3/1 0.7 $3.7M 3.7M 1.00
Tata Motors 0.7 $3.6M 215k 16.90
Isis Pharmaceuticals Inc Del note 2.625% 2/1 0.7 $3.6M 4.0M 0.90
SK Tele 0.7 $3.3M 330M 0.01
Textron Inc note 4.500% 5/0 0.6 $3.1M 2.0M 1.53
Lucent Technologies Inc dbcv 2.875% 6/1 0.6 $3.0M 3.4M 0.88
Lions Gate Entmt Inc note 3.625% 3/1 0.6 $2.9M 2.5M 1.14
Health Care REIT 0.6 $2.7M 50k 54.54
Dendreon Corp note 0.6 $2.8M 4.0M 0.69
MetLife (MET) 0.5 $2.5M 80k 31.18
Leucadia Natl Corp debt 0.4 $2.1M 1.9M 1.14
Beazer Homes Usa Inc. unit 99/99/99 0.4 $2.0M 170k 11.61
Nuvasive Inc note 2.250% 3/1 0.4 $1.9M 2.0M 0.96
iShares MSCI EAFE Index Fund (EFA) 0.4 $1.9M 39k 49.54
Prospect Capital Corporation (PSEC) 0.4 $1.9M 200k 9.29
Omnicare 0.3 $1.7M 50k 34.46
Bank of America Corporation (BAC) 0.3 $1.7M 300k 5.56
Regis Corporation 0.3 $1.7M 100k 16.55
PPL Corporation (PPL) 0.3 $1.5M 50k 29.42
Home Inns & Hotels Management 0.3 $1.5M 2.0M 0.72
Covanta Holding Corporation 0.3 $1.4M 100k 13.69
Nash Finch Co frnt 1.631% 3/1 0.3 $1.4M 3.0M 0.46
Concur Technologies 0.3 $1.4M 27k 50.79
China Growth Equity Inv 0.3 $1.3M 134k 9.54
Entertainment Properties Trust 0.2 $1.3M 29k 43.70
United Microelectronics (UMC) 0.2 $1.2M 566k 2.14
Blue Wolf Mongolia Holdings 0.2 $1.2M 125k 9.51
Universal Corporation (UVV) 0.2 $1.1M 24k 45.95
Ship Finance Intl 0.2 $1.1M 115k 9.41
Trex Inc note 6.000% 7/0 0.2 $999k 900k 1.11
Cheniere Energy Inc note 2.250% 8/0 0.2 $940k 1.0M 0.94
Nautilus Marine Acquisit Cor shsadded 0.2 $958k 100k 9.58
Alcoa 0.2 $889k 101k 8.79
Genco Shipping & Trading Ltd note 5.000% 8/1 0.2 $869k 1.4M 0.61
Affiliated Managers (AMG) 0.1 $672k 7.0k 96.00
Exterran Holdings 0.1 $620k 68k 9.11
PDL BioPharma 0.1 $620k 100k 6.20
Cemex SAB de CV (CX) 0.1 $539k 100k 5.39
Beazer Homes USA 0.1 $496k 200k 2.48
Apache Corporation 0.1 $516k 5.7k 90.54
Saks Incorporated 0.1 $488k 50k 9.76
Resolute Energy Corp *w exp 09/25/201 0.1 $520k 349k 1.49
Australia Acquisition Corp 0.1 $505k 51k 9.86
Vishay Intertechnology (VSH) 0.1 $450k 50k 9.00
Lions Gate Entertainment 0.1 $333k 40k 8.32
Beazer Homes 7.5% 01/15/1 3 nt sub 7.5% 0.1 $350k 27k 12.87
Prime Acquisition Corp 0.1 $354k 37k 9.70
Micron Technology (MU) 0.1 $315k 50k 6.30
US Airways 0.1 $254k 50k 5.08
Ramco-Gershenson Properties Trust 0.1 $246k 25k 9.84
Hartford Finl Svcs Wt Exp 0626 wt 0.1 $229k 25k 9.16
Synovus Financial 0.0 $141k 100k 1.41
Sunrise Senior Living 0.0 $162k 25k 6.48
Credit Suisse Nassau Brh invrs vix sterm 0.0 $163k 25k 6.52
Bank Of America Corp w exp 10/201 0.0 $75k 250k 0.30
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.0 $90k 125k 0.72
Evergreen Solar Inc note 4.000% 7/1 0.0 $40k 4.0M 0.01
Lexington Realty Trust (LXP) 0.0 $70k 9.4k 7.45
Uranium Energy (UEC) 0.0 $37k 12k 3.06
Citigroup Inc Com Us cmn 0.0 $73k 250k 0.29
China Growth Equity Inv Ltd *w exp 99/99/999 0.0 $58k 115k 0.50
Nautilus Marine Acquisit Cor *w exp 06/17/201 0.0 $25k 100k 0.25
Entertainment Pptys Tr pfd c cnv 5.75% 0.0 $2.0k 100.00 20.00
MasterCard Incorporated (MA) 0.0 $22k 58.00 379.31
AutoNation (AN) 0.0 $17k 461.00 36.88
Caterpillar (CAT) 0.0 $15k 161.00 93.17
CBS Corporation 0.0 $17k 617.00 27.55
Cerner Corporation 0.0 $17k 282.00 60.28
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 $14k 1.0k 13.77
Apple (AAPL) 0.0 $19k 46.00 413.04
Baker Hughes Incorporated 0.0 $11k 226.00 48.67
Directv 0.0 $15k 340.00 44.12
Halliburton Company (HAL) 0.0 $11k 318.00 34.59
Agilent Technologies Inc C ommon (A) 0.0 $13k 380.00 34.21
Williams Companies (WMB) 0.0 $19k 578.00 32.87
Freeport-McMoRan Copper & Gold (FCX) 0.0 $12k 319.00 37.62
Harman International Industries 0.0 $15k 393.00 38.17
Whole Foods Market 0.0 $19k 272.00 69.85
Visa (V) 0.0 $20k 200.00 100.00
priceline.com Incorporated 0.0 $16k 34.00 470.59
Amazon (AMZN) 0.0 $14k 83.00 168.67
Wynn Resorts (WYNN) 0.0 $12k 111.00 108.11
Tesoro Corporation 0.0 $17k 745.00 22.82
salesforce (CRM) 0.0 $12k 117.00 102.56
Cliffs Natural Resources 0.0 $11k 178.00 61.80
Chipotle Mexican Grill (CMG) 0.0 $18k 54.00 333.33
F5 Networks (FFIV) 0.0 $18k 169.00 106.51
MetroPCS Communications 0.0 $9.0k 1.1k 8.46
Two Hbrs Invt Corp *w exp 07/13/201 0.0 $12k 100k 0.12
Global X Fds glb x uranium 0.0 $24k 3.0k 8.00
Citigroup Inc *w exp 10/28/201 0.0 $7.5k 150k 0.05