Basso Capital Management

Basso Capital Management as of June 30, 2012

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 122 positions in its portfolio as reported in the June 2012 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Spdr S&p 500 Etf (SPY) 12.9 $71M 524k 136.25
Sba Communications Corp note 4.000%10/0 5.2 $29M 15M 1.93
Us Airways Group Inc note 7.250% 5/1 5.0 $27M 9.2M 2.99
Microchip Technology Inc sdcv 2.125%12/1 4.2 $23M 19M 1.25
Mylan Inc note 3.750% 9/1 3.4 $19M 11M 1.72
Lions Gate Entmt Inc note 3.625% 3/1 3.1 $17M 9.4M 1.85
Saks Inc note 2.000% 3/1 2.5 $14M 13M 1.05
Equinix Inc note 4.750% 6/1 2.4 $13M 6.0M 2.20
Annaly Cap Mgmt Inc note 4.000% 2/1 2.4 $13M 11M 1.23
Medicis Pharmaceutical Corp note 2.500% 6/0 2.4 $13M 11M 1.25
Novellus Systems, Inc. note 2.625% 5/1 2.4 $13M 11M 1.23
Pdl Biopharma Inc note 3.750% 5/0 2.3 $13M 12M 1.09
Omnicare Inc 3.75% '42 conv 2.3 $13M 14M 0.92
CUBIST PHARM CONVERTIBLE security 2.2 $12M 8.5M 1.44
Biomarin Pharmaceutical Inc note 1.875% 4/2 2.1 $12M 5.8M 2.04
Pdl Biopharma Inc cnv 2.0 $11M 9.7M 1.16
Jetblue Airways Corp dbcv 6.750%10/1 2.0 $11M 8.1M 1.35
Equinix Inc note 3.000%10/1 1.7 $9.3M 5.5M 1.69
Cadence Design Sys Cvt 2.625 6 convert 1.6 $8.6M 5.5M 1.56
PowerShares QQQ Trust, Series 1 1.5 $8.3M 130k 64.16
E M C Corp Mass note 1.750%12/0 1.4 $7.7M 4.7M 1.63
Xilinx Inc sdcv 3.125% 3/1 1.4 $7.6M 6.4M 1.19
Navistar Intl Corp New note 3.000%10/1 1.3 $7.0M 7.5M 0.93
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 1.1 $6.1M 5.1M 1.21
Cemex Sab De Cv conv bnd 1.1 $5.9M 7.0M 0.84
Gilead Sciences Inc note 0.625% 5/0 1.0 $5.7M 4.2M 1.37
Lincare Hldgs Inc note 2.750%11/0 1.0 $5.5M 4.0M 1.38
United States Stl Corp New note 4.000% 5/1 0.9 $5.1M 5.0M 1.01
Time Warner Telecom Inc dbcv 2.375% 4/0 0.9 $5.0M 3.6M 1.40
Textron Inc note 4.500% 5/0 0.9 $4.8M 2.5M 1.92
Coinstar Inc note 4.000% 9/0 0.9 $4.8M 2.7M 1.79
United Microelectronics (UMC) 0.8 $4.6M 4.9M 0.94
Viropharma Inc note 2.000% 3/1 0.8 $4.3M 3.0M 1.42
iShares MSCI EAFE Index Fund (EFA) 0.8 $4.2M 85k 49.96
Salesforce Com Inc note 0.750% 1/1 0.8 $4.3M 2.5M 1.71
Hawaiian Holdings Inc conv 0.8 $4.2M 3.9M 1.09
Sba Communications Corp note 1.875% 5/0 0.8 $4.2M 3.0M 1.39
Alliance Data Systems Corp note 1.750% 8/0 0.7 $3.9M 2.3M 1.73
Synovus Finl Corp unit 99/99/9999 0.7 $3.7M 200k 18.38
Symantec Corp note 1.000% 6/1 0.6 $3.5M 3.4M 1.02
Isis Pharmaceuticals Inc Del note 2.625% 2/1 0.6 $3.5M 3.5M 1.00
Dendreon Corp note 0.6 $3.5M 5.0M 0.70
Alpha Natural Resources Inc note 2.375% 4/1 0.6 $3.4M 4.2M 0.83
Energy Select Sector SPDR (XLE) 0.6 $3.3M 50k 66.38
Bpz Resources Inc bond 0.6 $3.2M 4.0M 0.80
Linear Technology Corp note 3.000% 5/0 0.6 $3.1M 3.0M 1.03
National Finl Partners Corp note 4.000% 6/1 0.6 $3.1M 2.5M 1.24
Thompson Creek Metal unit 99/99/9999 0.6 $3.0M 160k 18.90
Omnicare Cap Tr Ii pfd b tr 4.00% 0.5 $2.9M 67k 43.68
News Corporation 0.5 $2.8M 125k 22.52
Citigroup (C) 0.5 $2.7M 98k 27.41
Anixter Intl Inc note 1.000% 2/1 0.5 $2.7M 2.5M 1.06
Barclays Bk Plc ipth s^p vix 0.5 $2.6M 170k 15.21
Hercules Tech Growth Cap Inc cnv 0.5 $2.6M 2.5M 1.03
Roi Acquisition 0.4 $2.4M 250k 9.59
Covanta Holding Conv conv bnd 0.4 $2.3M 2.0M 1.17
PowerShares DB US Dollar Index Bullish 0.4 $2.2M 100k 22.47
Chiquita Brands Intl Inc note 4.250% 8/1 0.4 $2.2M 3.0M 0.72
Saks Incorporated 0.4 $2.1M 200k 10.65
Tata Motors 0.4 $2.1M 94k 21.96
Global Eagle Acquisition Cor 0.3 $2.0M 200k 9.77
Blue Wolf Mongolia Holdings 0.3 $1.8M 188k 9.66
Bgs Acquisition Corp sh 0.3 $1.8M 189k 9.70
Facebook Inc cl a (META) 0.3 $1.8M 56k 31.20
Trio Merget Corp Com Stk 0.3 $1.7M 175k 9.74
Entertainment Properties Trust 0.3 $1.6M 40k 41.11
USD0.01 Hicks Acquisition Co Ii cmn 0.3 $1.6M 160k 9.93
Prospect Capital Corp note 6.250%12/1 0.3 $1.6M 1.5M 1.06
Nuvasive Inc note 2.250% 3/1 0.3 $1.5M 1.5M 0.99
Virgin Media Inc note 6.500%11/1 0.3 $1.5M 1.0M 1.49
Navistar International Corporation 0.3 $1.4M 50k 28.38
Financial Select Sector SPDR (XLF) 0.3 $1.5M 100k 14.64
Scg Finl Acquisition 0.3 $1.4M 150k 9.66
PDL BioPharma 0.2 $1.3M 193k 6.63
China Growth Equity Inv 0.2 $1.2M 125k 9.80
Nuance Communications 0.2 $1.0M 43k 23.82
Mylan 0.2 $1.1M 50k 21.38
United States Steel Corporation (X) 0.2 $1.0M 50k 20.60
Andina Acquisition 0.2 $1.1M 110k 9.60
Australia Acquisition Corp 0.2 $1.0M 101k 10.00
Nautilus Marine Acquisit Cor shsadded 0.2 $1.0M 104k 9.82
Fidelity National Financial 0.2 $963k 50k 19.26
James River Coal Co note 3.125% 3/1 0.2 $952k 3.4M 0.28
Universal Corporation (UVV) 0.2 $905k 20k 46.31
Alcoa 0.2 $875k 100k 8.75
Cemex SAB de CV (CX) 0.2 $875k 130k 6.73
Home Inns & Hotels Management 0.1 $775k 1.0M 0.76
Symantec Corporation 0.1 $731k 50k 14.62
Lam Research Corporation (LRCX) 0.1 $694k 18k 37.72
Synovus Financial 0.1 $594k 300k 1.98
Micron Technology (MU) 0.1 $631k 100k 6.31
Lions Gate Entertainment 0.1 $590k 40k 14.75
Cazador Acquisition Corporat 0.1 $602k 61k 9.89
Medicis Pharmaceutical Corporation 0.1 $566k 17k 34.17
Hercules Technology Growth Capital (HTGC) 0.1 $567k 50k 11.34
Vishay Intertechnology (VSH) 0.1 $472k 50k 9.44
Ramco-gershenson Pptys Tr perp pfd-d cv 0.1 $507k 10k 50.11
Leucadia Natl Corp debt 0.1 $341k 316k 1.08
Prime Acquisition Corp 0.1 $354k 37k 9.70
JetBlue Airways Corporation (JBLU) 0.1 $265k 50k 5.30
ISIS Pharmaceuticals 0.1 $300k 25k 12.00
Hartford Finl Svcs Wt Exp 0626 wt 0.1 $254k 25k 10.16
Cenveo 0.0 $193k 100k 1.93
Credit Suisse Nassau Brh invrs vix sterm 0.0 $180k 16k 11.25
Ramco-Gershenson Properties Trust 0.0 $106k 8.5k 12.53
Bank Of America Corp w exp 10/201 0.0 $84k 105k 0.80
Retail Opportunity Invts Cor *w exp 10/23/201 0.0 $135k 150k 0.90
Citigroup Inc Com Us cmn 0.0 $109k 350k 0.31
Roi Acquisition Corp *w exp 02/28/201 0.0 $125k 250k 0.50
Golar Lng (GLNG) 0.0 $41k 1.2k 34.28
Ford Mtr Co Del *w exp 01/01/201 0.0 $52k 46k 1.13
Two Hbrs Invt Corp *w exp 07/13/201 0.0 $42k 200k 0.21
Metlife Inc 5% 10/0/14 Conv Pr cv prf 0.0 $54k 883.00 61.16
Global Eagle Acquisition Cor *w exp 05/13/201 0.0 $35k 96k 0.36
China Growth Equity Inv Ltd *w exp 99/99/999 0.0 $58k 114k 0.51
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.0 $75k 125k 0.60
Andina Acquisition Corp *w exp 99/99/999 0.0 $42k 110k 0.38
Bgs Acquisition Corp *w exp 99/99/999 0.0 $34k 189k 0.18
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 $7.5k 150k 0.05
Nautilus Marine Acquisit Cor *w exp 06/17/201 0.0 $11k 100k 0.11
Bgs Acquisition Corp unit 99/99/9999 0.0 $8.0k 800.00 10.00