Basso Capital Management

Basso Capital Management as of Dec. 31, 2013

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 84 positions in its portfolio as reported in the December 2013 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 9.8 $49M 13M 3.83
Microchip Technology Inc sdcv 2.125%12/1 6.8 $34M 20M 1.74
Pdl Biopharma Inc cnv 6.2 $31M 20M 1.54
Uthr 1 09/15/16 6.1 $31M 13M 2.37
Western Refng Inc note 5.750% 6/1 5.6 $28M 6.4M 4.44
Omnicare Inc 3.75% '42 conv 4.2 $21M 14M 1.52
Spdr S&p 500 Etf (SPY) 4.0 $20M 110k 184.70
Teleflex Inc note 3.875% 8/0 3.8 $19M 12M 1.58
Jetblue Airways Corp dbcv 6.750%10/1 3.0 $15M 7.9M 1.91
Micron Technology Inc note 2.5 $13M 5.5M 2.30
Priceline Com Inc note 1.250% 3/1 2.5 $13M 3.3M 3.82
Novellus Systems, Inc. note 2.625% 5/1 2.5 $13M 7.5M 1.67
Equinix Inc note 4.750% 6/1 2.3 $12M 5.2M 2.19
Hercules Tech Growth Cap Inc cnv 2.2 $11M 8.0M 1.40
Omnicare Cap Tr Ii pfd b tr 4.00% 1.9 $9.8M 133k 73.88
Mylan Inc note 3.750% 9/1 1.9 $9.8M 3.0M 3.28
Hawaiian Holdings Inc conv 1.5 $7.6M 5.6M 1.35
Omnicare Inc note 3.750%12/1 1.4 $7.1M 3.1M 2.30
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 1.4 $6.9M 3.0M 2.32
Developers Diversified Rlty note 1.750%11/1 1.4 $6.9M 6.2M 1.11
Ascent Cap Group Inc note 4.000% 7/1 1.2 $5.9M 5.5M 1.07
Annaly Cap Mgmt Inc note 5.000% 5/1 1.1 $5.5M 5.4M 1.01
Jetblue Airways Corp dbcv 6.750%10/1 1.1 $5.3M 3.0M 1.78
Jinkosolar Hldg Co Ltd...... note 4.000% 5/1 1.1 $5.4M 5.1M 1.05
Enpro Industries Inc note 1.1 $5.3M 3.0M 1.76
Home Inns & Hotels Mgmt Inc note 2.000%12/1 1.0 $5.2M 5.0M 1.04
Merrimack Pharmaceuticals In note 4.500% 7/1 1.0 $5.2M 5.0M 1.04
Salesforce Com Inc note 0.750% 1/1 1.0 $5.2M 2.0M 2.58
Horsehead Hldg Corp note 3.800% 7/0 1.0 $5.0M 4.0M 1.26
Beazer Homes Pfd 7.5% 2015 pfd cv 1.0 $4.9M 133k 37.00
Callaway Golf 1.0 $4.9M 4.0M 1.23
Albany Molecular Resh Inc note 2.250%11/1 1.0 $4.9M 5.3M 0.93
Xilinx Inc sdcv 3.125% 3/1 0.9 $4.7M 3.0M 1.58
Prospect Capital Corporati mtnf 5.375% 0.9 $4.5M 4.3M 1.05
Jetblue Airways Corp dbcv 5.500%10/1 0.9 $4.5M 2.2M 1.99
Starwood Ppty note 4.0% 1/15/ 0.9 $4.4M 4.0M 1.11
Bpz Resources Inc note 8.500%10/0 0.9 $4.4M 4.9M 0.89
Callidus Software Inc. 4.75% D cvbond 0.8 $4.2M 2.4M 1.77
Gain Cap Hldgs Inc note 4.125%12/0 0.8 $4.2M 4.5M 0.93
Epr Properties Pfd C 5.75% (EPR.PC) 0.8 $4.0M 200k 20.14
Ramco-gershenson Pptys Tr perp pfd-d cv 0.7 $3.5M 60k 58.37
Hf2 Financial Management 0.6 $3.1M 300k 10.18
Roi Acquisition Corp Ii 0.6 $2.8M 290k 9.52
Cenveo Corp conv bnd 0.5 $2.7M 2.5M 1.09
Hyde Pk Acquisition Corp Ii 0.5 $2.7M 250k 10.60
Alpha Natural Resources Inc note 4.875%12/1 0.5 $2.7M 2.5M 1.07
Resource Cap Corp Note 6.000%12/0 note 0.5 $2.5M 2.5M 1.00
Chart Acquisition 0.5 $2.4M 250k 9.75
Capitol Acquisition Corp Ii 0.5 $2.4M 250k 9.62
Silver Eagle Acquisition Cor 0.5 $2.4M 250k 9.68
Levy Acquisition Corp Unit 1 0 0.4 $2.0M 200k 10.01
Dollar Finl Corp note 3.000% 4/0 0.4 $1.9M 2.0M 0.96
Quartet Merger 0.3 $1.7M 175k 9.62
Mergeworthrx 0.3 $1.6M 201k 8.13
Global Defense & Natl Sec Sy 0.3 $1.5M 150k 10.05
Sandisk Corp note 1.500% 8/1 0.3 $1.5M 1.0M 1.47
Rait Financial Trust - Putable At 100 conv bond 0.3 $1.4M 1.0M 1.42
Ddr Corp 0.2 $1.2M 80k 15.38
Quinpario Acquisition 0.2 $1.0M 100k 10.10
Callaway Golf Company (MODG) 0.2 $843k 100k 8.43
SouFun Holdings 0.2 $824k 10k 82.40
Silver Standard Res 0.1 $696k 100k 6.96
Collabrium Japan 0.1 $644k 63k 10.29
Annaly Capital Management 0.1 $499k 50k 9.98
Apollo Investment 0.1 $511k 60k 8.47
Nextera Energy Inc unit 0.1 $452k 8.0k 56.50
United Microelectronics (UMC) 0.1 $350k 172k 2.04
Health Care Reit Pfd I 6.5% 0.1 $360k 7.0k 51.43
Health Care REIT 0.1 $320k 6.0k 53.59
11/14/2018 W Exp 11/14/2018 0.0 $207k 50k 4.14
Chart Acquisition Co *w exp 12/1 0.0 $186k 238k 0.78
Silver Eagle Acquisition Cor w exp 07/26/202 0.0 $141k 235k 0.60
Roi Acquisition Corp Ii *w exp 99/99/999 0.0 $145k 290k 0.50
Gevo 0.0 $100k 70k 1.43
Citigroup Inc Com Us cmn 0.0 $108k 167k 0.65
Quartet Merger Corp right 99/99/9999 0.0 $91k 175k 0.52
Bank Of America Corp w exp 10/201 0.0 $71k 92k 0.77
Sanofi Aventis Wi Conval Rt 0.0 $75k 220k 0.34
Aquasition Corp *w exp 99/99/999 0.0 $50k 210k 0.24
Capitol Acquisition Corp Ii *w exp 05/15/201 0.0 $75k 125k 0.60
Quartet Merger Corp unit 99/99/9999t 0.0 $50k 5.0k 10.00
Quinpario Acquisition Corp *w exp 09/27/201 0.0 $36k 100k 0.36
Citigroup Inc *w exp 10/28/201 0.0 $6.9k 116k 0.06
Collabrium Japan Acquisitn C *w exp 99/99/999 0.0 $6.9k 63k 0.11