Basso Capital Management

Basso Capital Management as of March 31, 2012

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 119 positions in its portfolio as reported in the March 2012 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Microchip Technology Inc sdcv 2.125%12/1 5.9 $26M 19M 1.38
Spdr S&p 500 Etf (SPY) 5.1 $23M 160k 140.71
Mylan Inc note 3.750% 9/1 4.8 $21M 11M 1.87
Sba Communications Corp note 4.000%10/0 4.3 $19M 11M 1.76
Medicis Pharmaceutical Corp note 2.500% 6/0 3.6 $16M 12M 1.32
Lions Gate Entmt Inc note 3.625% 3/1 3.0 $14M 7.6M 1.77
ACTUANT CORP CONVERTIBLE security 3.0 $13M 9.1M 1.46
Pdl Biopharma Inc note 3.750% 5/0 2.9 $13M 12M 1.04
Saks Inc note 2.000% 3/1 2.9 $13M 12M 1.07
E M C Corp Mass note 1.750%12/0 2.9 $13M 6.7M 1.88
Annaly Cap Mgmt Inc note 4.000% 2/1 2.8 $13M 11M 1.16
Us Airways Group Inc note 7.250% 5/1 2.8 $12M 6.8M 1.80
Xilinx Inc sdcv 3.125% 3/1 2.5 $11M 8.6M 1.27
Unisource Energy Corp note 4.500% 3/0 2.3 $10M 9.6M 1.06
Cadence Design Sys Cvt 2.625 6 convert 2.1 $9.5M 5.7M 1.66
Coinstar Inc note 4.000% 9/0 1.8 $7.8M 4.6M 1.69
Citigroup Inc unit 1.8 $7.8M 75k 103.35
National Retail Properties I note 5.125% 6/1 1.7 $7.4M 6.6M 1.12
Jetblue Airways Corp dbcv 6.750%10/1 1.6 $7.3M 5.8M 1.27
Alliance Data Systems Corp note 1.750% 8/0 1.6 $6.9M 4.3M 1.62
Gilead Sciences Inc note 0.625% 5/0 1.6 $6.9M 5.2M 1.33
Viropharma Inc note 2.000% 3/1 1.4 $6.4M 3.8M 1.71
Omnicare Cap Tr Ii pfd b tr 4.00% 1.4 $6.1M 129k 47.25
Great Plains Energy Inc unit 06/15/2042 1.4 $6.0M 98k 61.08
Tata Motors 1.3 $5.8M 215k 26.97
Pdl Biopharma Inc cnv 1.3 $5.8M 5.2M 1.11
Home Inns & Hotels Mgmt Inc note 2.000%12/1 1.3 $5.5M 7.3M 0.76
Western Refng Inc note 5.750% 6/1 1.1 $4.7M 2.5M 1.89
Synovus Finl Corp unit 99/99/9999 1.1 $4.6M 243k 19.10
Metlife Inc 5% 10/0/14 Conv Pr cv prf 1.0 $4.4M 62k 70.46
CUBIST PHARM CONVERTIBLE security 0.9 $4.0M 2.5M 1.60
Dendreon Corp note 0.9 $4.0M 5.0M 0.80
Citigroup (C) 0.9 $3.9M 106k 36.55
Equinix Inc note 3.000%10/1 0.9 $3.8M 2.5M 1.51
Time Warner Telecom Inc dbcv 2.375% 4/0 0.8 $3.7M 3.0M 1.24
Bpz Resources Inc bond 0.8 $3.7M 4.0M 0.92
Netapp Inc note 1.750% 6/0 0.8 $3.6M 2.5M 1.45
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 0.8 $3.6M 2.5M 1.42
Prospect Capital Corp note 6.250%12/1 0.8 $3.5M 3.4M 1.04
National Finl Partners Corp note 4.000% 6/1 0.8 $3.4M 2.5M 1.36
Sba Communications Corp note 1.875% 5/0 0.7 $3.2M 2.5M 1.26
Nuance Communications Inc dbcv 2.750% 8/1 0.7 $2.9M 2.0M 1.46
Isis Pharmaceuticals Inc Del note 2.625% 2/1 0.7 $2.9M 3.0M 0.96
National Retail Properties I note 3.950% 9/1 0.7 $2.9M 2.5M 1.14
Health Care REIT 0.6 $2.7M 50k 54.96
Prospect Capital Corporation (PSEC) 0.6 $2.7M 250k 10.98
Bank of America Corporation (BAC) 0.6 $2.6M 275k 9.57
News Corporation 0.6 $2.5M 125k 19.97
Alcoa Inc debt 0.6 $2.5M 1.5M 1.67
ROI ACQUISITION Corp unit 99/99/9999 0.6 $2.5M 250k 10.00
Saks Incorporated 0.5 $2.3M 200k 11.61
Group 1 Automotive Inc frnt 2.250% 6/1 0.5 $2.2M 2.0M 1.10
Hawaiian Holdings Inc conv 0.5 $2.1M 2.1M 0.98
Regis Corp Minn note 5.000% 7/1 0.5 $2.0M 1.5M 1.33
Microchip Technology (MCHP) 0.4 $1.9M 50k 37.20
General Motors Company (GM) 0.4 $1.9M 73k 25.65
Ship Finance Intl 0.4 $1.8M 116k 15.30
Annaly Capital Management 0.4 $1.6M 100k 15.82
Us Natural Gas Fd Etf 0.4 $1.6M 100k 15.92
Virgin Media Inc note 6.500%11/1 0.3 $1.5M 1.0M 1.54
Entertainment Properties Trust 0.3 $1.5M 33k 46.39
Home Inns & Hotels Management 0.3 $1.5M 2.0M 0.76
Nuvasive Inc note 2.250% 3/1 0.3 $1.5M 1.5M 0.98
Global Eagle Acquisition Cor 0.3 $1.5M 150k 9.72
USD0.01 Hicks Acquisition Co Ii cmn 0.3 $1.5M 150k 9.82
Stone Energy Corporation 0.3 $1.4M 48k 28.59
PowerShares QQQ Trust, Series 1 0.3 $1.4M 20k 67.55
Micron Technology (MU) 0.3 $1.2M 150k 8.10
Blue Wolf Mongolia Holdings 0.3 $1.2M 125k 9.73
EMC Corporation 0.3 $1.2M 40k 29.88
Human Genome Sciences Inc note 2.250% 8/1 0.3 $1.2M 1.2M 1.00
China Growth Equity Inv 0.3 $1.2M 125k 9.62
China Growth Equity Inv 0.3 $1.2M 125k 9.61
Lucent Technologies Inc dbcv 2.875% 6/1 0.3 $1.2M 1.2M 0.98
iShares MSCI EAFE Index Fund (EFA) 0.3 $1.1M 21k 54.88
Nuance Communications 0.2 $1.1M 43k 25.58
Leucadia Natl Corp debt 0.2 $1.1M 866k 1.26
Apache Corporation 0.2 $1.1M 11k 100.40
PDL BioPharma 0.2 $954k 150k 6.36
Nautilus Marine Acquisit Cor shsadded 0.2 $988k 100k 9.88
Regis Corporation 0.2 $922k 50k 18.44
Universal Corporation (UVV) 0.2 $911k 20k 46.62
Brookdale Senior Living (BKD) 0.2 $936k 50k 18.72
Fidelity National Financial 0.2 $902k 50k 18.04
Group 1 Automotive (GPI) 0.2 $843k 15k 56.20
MetLife (MET) 0.2 $859k 23k 37.35
Cemex SAB de CV (CX) 0.2 $807k 104k 7.76
Ford Mtr Co Del *w exp 01/01/201 0.2 $735k 211k 3.48
Hercules Technology Growth Capital (HTGC) 0.1 $554k 50k 11.08
Amarin Corporation (AMRN) 0.1 $566k 50k 11.32
China Uni 0.1 $528k 32k 16.79
James River Coal Company 0.1 $512k 100k 5.12
Australia Acquisition Corp 0.1 $511k 51k 9.98
Alcoa 0.1 $501k 50k 10.02
Western Refining 0.1 $471k 25k 18.84
Barclays Bk Plc ipth s^p vix 0.1 $470k 28k 16.79
Synovus Financial 0.1 $410k 200k 2.05
Lam Research Corporation (LRCX) 0.1 $411k 9.2k 44.67
Cenveo 0.1 $338k 100k 3.38
Ramco-Gershenson Properties Trust 0.1 $331k 27k 12.22
Accuray Incorporated (ARAY) 0.1 $353k 50k 7.06
Hartford Finl Svcs Wt Exp 0626 wt 0.1 $333k 25k 13.32
Prime Acquisition Corp 0.1 $352k 37k 9.64
JetBlue Airways Corporation (JBLU) 0.1 $245k 50k 4.90
Credit Suisse Nassau Brh invrs vix sterm 0.1 $258k 21k 12.29
Retail Opportunity Invts Cor *w exp 10/23/201 0.1 $210k 200k 1.05
Resolute Energy Corp *w exp 09/25/201 0.0 $158k 109k 1.45
Citigroup Inc Com Us cmn 0.0 $151k 350k 0.43
United Microelectronics (UMC) 0.0 $82k 33k 2.46
Bank Of America Corp w exp 10/201 0.0 $110k 105k 1.05
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.0 $90k 125k 0.72
Powerwave Technologies 0.0 $103k 50k 2.06
Golar Lng (GLNG) 0.0 $56k 1.5k 38.17
Two Hbrs Invt Corp *w exp 07/13/201 0.0 $48k 200k 0.24
Global Eagle Acquisition Cor *w exp 05/13/201 0.0 $47k 96k 0.49
China Growth Equity Inv Ltd *w exp 99/99/999 0.0 $56k 114k 0.49
Nautilus Marine Acquisit Cor *w exp 06/17/201 0.0 $30k 100k 0.30
Entertainment Pptys Tr pfd c cnv 5.75% 0.0 $2.0k 100.00 20.00
Citigroup Inc *w exp 10/28/201 0.0 $14k 150k 0.09