Basso Capital Management

Basso Capital Management as of Sept. 30, 2012

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 123 positions in its portfolio as reported in the September 2012 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Lions Gate Entmt Inc note 3.625% 3/1 5.7 $31M 16M 1.90
Sba Communications Corp note 4.000%10/0 5.4 $29M 14M 2.12
Gilead Sciences conv 4.8 $25M 17M 1.51
Us Airways Group Inc note 7.250% 5/1 4.1 $22M 9.2M 2.38
CUBIST PHARM CONVERTIBLE security 3.9 $21M 12M 1.74
Equinix Inc note 4.750% 6/1 3.8 $20M 8.0M 2.54
Equinix Inc note 3.000%10/1 3.5 $19M 9.5M 1.97
Microchip Technology Inc sdcv 2.125%12/1 3.3 $18M 14M 1.26
Medicis Pharmaceutical Corp note 2.500% 6/0 3.2 $17M 12M 1.49
Pdl Biopharma Inc cnv 2.5 $13M 9.9M 1.33
Omnicare Inc 3.75% '42 conv 2.4 $13M 13M 0.98
Pdl Biopharma Inc note 3.750% 5/0 2.4 $13M 10M 1.23
Saks Inc note 2.000% 3/1 2.3 $12M 12M 1.04
Annaly Cap Mgmt Inc note 4.000% 2/1 2.3 $12M 9.7M 1.27
National Finl Partners Corp note 4.000% 6/1 2.1 $11M 7.6M 1.48
Cadence Design Sys Cvt 2.625 6 convert 1.8 $9.7M 5.5M 1.77
Mylan Inc note 3.750% 9/1 1.8 $9.7M 5.1M 1.91
Jetblue Airways Corp dbcv 6.750%10/1 1.8 $9.6M 7.5M 1.28
Novellus Systems, Inc. note 2.625% 5/1 1.8 $9.5M 8.6M 1.11
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 1.7 $9.2M 7.5M 1.22
Annaly Cap Mgmt Inc note 5.000% 5/1 1.6 $8.7M 8.5M 1.02
Health Care REIT 1.6 $8.4M 146k 57.74
Verisign Inc sdcv 3.250% 8/1 1.4 $7.7M 5.0M 1.53
Wesco Intl Inc dbcv 6.000% 9/1 1.4 $7.5M 3.5M 2.14
Micron Technology Inc. conv 1.2 $6.7M 7.5M 0.89
Spdr S&p 500 Etf (SPY) 1.2 $6.6M 46k 143.95
Covanta Holding Conv conv bnd 1.2 $6.4M 5.5M 1.17
E M C Corp Mass note 1.750%12/0 1.2 $6.4M 3.7M 1.72
Coinstar Inc note 4.000% 9/0 1.2 $6.2M 4.8M 1.30
AngloGold Ashanti 1.0 $5.3M 5.0M 1.06
GROUP Affymetrix Inc cnv 1.0 $5.3M 5.5M 0.96
Biomarin Pharmaceutical Inc note 1.875% 4/2 1.0 $5.2M 2.5M 2.08
Navistar Intl Corp New note 3.000%10/1 1.0 $5.1M 5.8M 0.89
Cemex Sab De Cv conv bnd 0.8 $4.5M 4.5M 0.99
Beazer Homes Pfd 7.5% 2015 pfd cv 0.8 $4.2M 144k 29.46
iShares Russell 2000 Index (IWM) 0.8 $4.2M 50k 83.44
Symantec Corp note 1.000% 6/1 0.7 $3.8M 3.5M 1.09
Alliance Data Systems Corp note 1.750% 8/0 0.7 $3.7M 2.1M 1.81
Salesforce Com Inc note 0.750% 1/1 0.7 $3.7M 2.0M 1.86
Sba Communications Corp note 1.875% 5/0 0.7 $3.6M 2.4M 1.52
Dendreon Corp note 0.7 $3.6M 5.5M 0.66
Virgin Media Inc note 6.500%11/1 0.7 $3.4M 2.0M 1.72
PowerShares QQQ Trust, Series 1 0.6 $3.2M 46k 68.57
On Semiconductor Corporation note 1.875%12/ 0.6 $3.2M 3.0M 1.05
Synovus Finl Corp unit 99/99/9999 0.6 $3.1M 145k 21.25
Omnicare Cap Tr Ii pfd b tr 4.00% 0.6 $3.1M 67k 46.44
Hercules Tech Growth Cap Inc cnv 0.6 $3.1M 3.0M 1.02
Kohlberg Capital Corp note 8.750% 3/1 0.6 $3.0M 2.6M 1.14
Scg Finl Acquisition 0.6 $2.9M 300k 9.83
Saks Incorporated 0.5 $2.6M 250k 10.31
Hyde Pk Acquisition Corp Ii 0.5 $2.5M 250k 10.05
Hawaiian Holdings Inc conv 0.5 $2.4M 2.4M 1.03
Tata Motors 0.5 $2.4M 94k 25.68
Roi Acquisition 0.5 $2.4M 250k 9.65
Bpz Resources Inc bond 0.4 $2.3M 3.0M 0.77
Anixter Intl Inc note 1.000% 2/1 0.4 $2.2M 2.0M 1.08
Thompson Creek Metal unit 99/99/9999 0.4 $2.1M 125k 17.00
Arris Group Inc note 2.000%11/1 0.4 $2.1M 2.0M 1.04
Linear Technology Corp note 3.000% 5/0 0.4 $2.1M 2.0M 1.04
SK Tele 0.4 $2.0M 200M 0.01
Global Eagle Acquisition Cor 0.4 $2.0M 200k 9.95
Entertainment Properties Trust 0.4 $1.9M 44k 44.44
Blue Wolf Mongolia Holdings 0.3 $1.8M 187k 9.82
Bgs Acquisition Corp sh 0.3 $1.8M 189k 9.80
Xilinx Inc sdcv 3.125% 3/1 0.3 $1.8M 1.5M 1.20
Trio Merget Corp Com Stk 0.3 $1.7M 175k 9.95
Citigroup (C) 0.3 $1.7M 51k 32.73
Annaly Capital Management 0.3 $1.6M 95k 16.84
Prospect Capital Corp note 6.250%12/1 0.3 $1.6M 1.5M 1.07
Chiquita Brands Intl Inc note 4.250% 8/1 0.3 $1.5M 1.8M 0.87
Medtronic Inc note 1.625% 4/1 0.3 $1.5M 1.5M 1.01
Chart Industries (GTLS) 0.2 $1.3M 17k 73.87
China Growth Equity Inv 0.2 $1.3M 125k 10.05
Medivation 0.2 $1.2M 22k 56.33
PDL BioPharma 0.2 $1.2M 150k 7.70
Prospect Capital Corporation (PSEC) 0.2 $1.2M 103k 11.52
Nuance Communications 0.2 $1.1M 43k 24.88
Andina Acquisition 0.2 $1.1M 110k 9.72
Australia Acquisition Corp 0.2 $1.0M 101k 10.12
Nautilus Marine Acquisit Cor shsadded 0.2 $1.0M 104k 9.96
Covanta Holding Corporation 0.2 $858k 50k 17.16
Universal Corporation (UVV) 0.2 $845k 17k 50.94
Cemex SAB de CV (CX) 0.1 $797k 96k 8.33
Toll Brothers (TOL) 0.1 $678k 20k 33.24
Sunrise Senior Living 0.1 $714k 50k 14.28
Micron Technology (MU) 0.1 $598k 100k 5.98
Lam Research Corporation 0.1 $585k 18k 31.79
Moly 0.1 $575k 50k 11.50
Cazador Acquisition Corp 0.1 $607k 61k 9.98
Vishay Intertechnology (VSH) 0.1 $492k 50k 9.84
Horsehead Holding 0.1 $468k 50k 9.36
Brookdale Senior Living (BKD) 0.1 $485k 21k 23.21
United Microelectronics (UMC) 0.1 $429k 209k 2.05
Synovus Financial 0.1 $382k 161k 2.37
Prime Acquisition Corp 0.1 $360k 37k 9.86
Powerwave Technologies 0.1 $370k 1.0M 0.37
James River Coal Co note 3.125% 3/1 0.1 $310k 1.0M 0.31
JetBlue Airways Corporation (JBLU) 0.1 $240k 50k 4.80
BPZ Resources 0.1 $286k 100k 2.86
Sequenom 0.1 $249k 70k 3.55
Thompson Creek Metals 0.1 $262k 92k 2.85
Hartford Finl Svcs Wt Exp 0626 wt 0.1 $279k 25k 11.16
Cal Dive International (CDVIQ) 0.0 $211k 138k 1.53
Credit Suisse Nassau Brh vix sht trm ft 0.0 $208k 137k 1.52
Ramco-Gershenson Properties Trust 0.0 $185k 15k 12.52
Credit Suisse Nassau Brh invrs vix sterm 0.0 $170k 10k 17.00
Retail Opportunity Invts Cor *w exp 10/23/201 0.0 $89k 85k 1.05
Citigroup Inc Com Us cmn 0.0 $130k 350k 0.37
Sanofi Aventis Wi Conval Rt 0.0 $81k 49k 1.67
Zynga 0.0 $130k 46k 2.83
Roi Acquisition Corp *w exp 02/28/201 0.0 $93k 250k 0.37
Nextera Energy (NEE) 0.0 $49k 700.00 70.00
Golar Lng (GLNG) 0.0 $33k 860.00 38.37
Bank Of America Corp w exp 10/201 0.0 $75k 105k 0.71
Ford Mtr Co Del *w exp 01/01/201 0.0 $78k 76k 1.03
Metlife Inc 5% 10/0/14 Conv Pr cv prf 0.0 $61k 883.00 69.08
Global Eagle Acquisition Cor *w exp 05/13/201 0.0 $30k 96k 0.31
China Growth Equity Inv Ltd *w exp 99/99/999 0.0 $27k 114k 0.24
Blue Wolf Mongolia Holdings *w exp 07/20/201 0.0 $53k 125k 0.42
Andina Acquisition Corp *w exp 99/99/999 0.0 $27k 110k 0.25
Bgs Acquisition Corp *w exp 99/99/999 0.0 $32k 189k 0.17
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 $20k 100k 0.20