Basso Capital Management

Basso Capital Management as of March 31, 2014

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 105 positions in its portfolio as reported in the March 2014 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Microchip Technology Inc sdcv 2.125%12/1 7.7 $42M 23M 1.86
Mylan Inc note 3.750% 9/1 7.7 $42M 12M 3.67
Lions Gate Entmt Inc note 3.625% 3/1 7.6 $42M 13M 3.24
Sba Communications Corp note 4.000%10/0 5.4 $30M 10M 2.98
Omnicare Inc 3.75% '42 conv 5.2 $29M 19M 1.51
Teleflex Inc note 3.875% 8/0 4.5 $25M 14M 1.78
D R Horton Inc note 2.000% 5/1 3.8 $21M 13M 1.67
Omnicare Inc note 3.750%12/1 3.3 $18M 8.0M 2.28
Hawaiian Holdings Inc conv 2.9 $16M 8.6M 1.84
Jetblue Airways Corp dbcv 6.750%10/1 2.8 $15M 7.9M 1.93
Micron Technology Inc note 2.5 $14M 5.5M 2.51
Sandisk Corp note 1.500% 8/1 1.9 $11M 6.5M 1.64
Trak 1 1/2 03/15/17 1.8 $9.9M 7.0M 1.42
Uthr 1 09/15/16 1.8 $9.9M 5.0M 1.98
Hercules Tech Growth Cap Inc cnv 1.8 $9.8M 8.0M 1.22
Equinix Inc note 4.750% 6/1 1.8 $9.6M 4.2M 2.26
Mgm Mirage conv 1.7 $9.5M 6.5M 1.46
Spdr S&p 500 Etf (SPY) 1.6 $8.9M 48k 187.02
Novellus Systems, Inc. note 2.625% 5/1 1.6 $8.5M 5.0M 1.70
Horsehead Hldg Corp note 3.800% 7/0 1.5 $8.3M 6.4M 1.30
Cash Amer Intl Inc ote 5.250% 5/1 1.3 $7.2M 4.8M 1.52
GAME Technolog debt 1.3 $7.0M 7.0M 1.00
Jarden Corp note 1.875% 9/1 1.3 $7.0M 5.0M 1.39
Cal Dive Intl Inc Del note 5.000% 7/1 1.1 $6.2M 6.5M 0.96
Encore Cap Group Inc note 3.000%11/2 1.1 $5.8M 3.8M 1.55
Micron Technology Inc note 2.125% 2/1 1.0 $5.6M 2.5M 2.23
Jetblue Airways Corp dbcv 6.750%10/1 1.0 $5.4M 3.0M 1.80
Callaway Golf 0.9 $5.1M 3.6M 1.41
Altra Holdings, Inc note 2.750% 3/0 0.9 $5.0M 3.5M 1.43
Take-two Interactive Sof note 0.9 $4.9M 3.8M 1.31
Jetblue Airways Corp dbcv 5.500%10/1 0.8 $4.5M 2.2M 2.01
Prospect Capital Corporati mtnf 5.375% 0.8 $4.5M 4.3M 1.05
GROUP Affymetrix Inc cnv 0.8 $4.4M 3.1M 1.42
Pdl Biopharma Inc Sr Nt Conv 4.000% 02/01/18 B/e Dtd 02/12/14 0.8 $4.3M 4.1M 1.05
Callidus Software Inc. 4.75% D cvbond 0.7 $3.8M 2.4M 1.63
Ttm Technologies Inc conv 0.7 $3.7M 3.4M 1.10
Vipshop Holdings Ltd - Ads bond 0.7 $3.6M 3.5M 1.02
Annaly Cap Mgmt Inc note 5.000% 5/1 0.6 $3.5M 3.4M 1.02
Rait Financial Trust note 4.000%10/0 0.6 $3.4M 3.5M 0.98
Home Inns & Hotels Mgmt Inc note 2.000%12/1 0.6 $3.4M 3.5M 0.97
Roi Acquisition Corp Ii 0.6 $3.4M 350k 9.69
Bottomline Tech Del Inc note 1.500%12/0 0.6 $3.3M 2.5M 1.31
Hf2 Financial Management 0.6 $3.1M 300k 10.26
PDL BioPharma 0.6 $3.0M 360k 8.31
Ascent Cap Group Inc note 4.000% 7/1 0.6 $3.0M 3.0M 1.00
Dollar Finl Corp note 3.000% 4/0 0.5 $2.9M 3.1M 0.93
Ramco-gershenson Pptys Tr perp pfd-d cv 0.5 $2.8M 47k 59.89
Hyde Pk Acquisition Corp Ii 0.5 $2.6M 250k 10.48
Chart Acquisition 0.5 $2.5M 250k 9.91
Capitol Acquisition Corp Ii 0.5 $2.5M 250k 9.85
Silver Eagle Acquisition Cor 0.4 $2.4M 250k 9.73
Cambridge Cap Acquisition 0.4 $2.4M 250k 9.62
Developers Diversified Rlty note 1.750%11/1 0.4 $2.3M 2.0M 1.16
Qiagen 0.4 $2.2M 105k 21.09
Ship Finance International sr cv nt 0.4 $2.2M 2.0M 1.10
Cenveo Corp conv bnd 0.4 $2.1M 2.0M 1.03
Hennessy Capital Acquisition 0.4 $2.0M 200k 10.06
Levy Acquisition 0.4 $2.0M 211k 9.65
Quartet Merger 0.3 $1.8M 180k 9.77
Beazer Homes Pfd 7.5% 2015 pfd cv 0.3 $1.7M 54k 31.38
Mergeworthrx 0.3 $1.6M 201k 8.08
Global Defense & Natl Sec Sy 0.3 $1.5M 150k 10.12
Rait Financial Trust - Putable At 100 conv bond 0.2 $1.4M 1.0M 1.38
Epr Properties (EPR) 0.2 $1.3M 25k 53.37
Infinity Cross Bo 0.2 $1.3M 163k 8.00
priceline.com Incorporated 0.2 $1.3M 1.1k 1191.43
Quinpario Acquisition 0.2 $1.0M 101k 10.29
Dominion Resources Inc 6% 07/01/2016 conbnp 0.2 $981k 17k 57.71
Epr Properties Pfd C 5.75% (EPR.PC) 0.2 $928k 44k 21.16
Universal Corporation (UVV) 0.1 $797k 14k 55.86
ON Semiconductor (ON) 0.1 $779k 83k 9.40
Boulevard Acquis Corp Ut1com & 0.1 $788k 78k 10.07
Cepheid 0.1 $562k 11k 51.56
Apollo Investment 0.1 $501k 60k 8.31
Brandywine Realty Trust (BDN) 0.1 $477k 33k 14.45
Ddr Corp 0.1 $494k 30k 16.47
Nextera Energy Inc unit 0.1 $491k 8.0k 61.38
EXACT Sciences Corporation (EXAS) 0.1 $425k 30k 14.17
Proshares Trust Ultrapro Short S&p500 etf 0.1 $421k 7.5k 56.13
United Microelectronics (UMC) 0.1 $357k 172k 2.08
Health Care Reit Pfd I 6.5% 0.1 $388k 7.0k 55.43
Emerald Oil 0.1 $336k 50k 6.72
Washington Real Estate Investment Trust (ELME) 0.1 $249k 10k 23.92
Amarin Corporation (AMRN) 0.1 $274k 151k 1.81
Credit Suisse Nassau Brh invrs vix sterm 0.0 $221k 7.0k 31.57
11/14/2018 W Exp 11/14/2018 0.0 $205k 50k 4.10
Chart Acquisition Co *w exp 12/1 0.0 $164k 238k 0.69
Ipath S&p 500 Vix S/t Fu Etn 0.0 $157k 10k 15.70
Silver Eagle Acquisition Cor w exp 07/26/202 0.0 $169k 235k 0.72
Bank Of America Corp w exp 10/201 0.0 $83k 92k 0.91
Citigroup Inc Com Us cmn 0.0 $107k 167k 0.64
Sanofi Aventis Wi Conval Rt 0.0 $88k 275k 0.32
Roi Acquisition Corp Ii *w exp 99/99/999 0.0 $128k 290k 0.44
Cambridge Cap Acquisition Co w exp 12/23/201 0.0 $105k 250k 0.42
Movado (MOV) 0.0 $41k 897.00 45.71
First Potomac Realty Trust 0.0 $71k 5.5k 12.99
Infinity Cross Bo 0.0 $45k 59k 0.77
Aquasition Corp *w exp 99/99/999 0.0 $52k 200k 0.26
Capitol Acquisition Corp Ii *w exp 05/15/201 0.0 $61k 125k 0.49
Quinpario Acquisition Corp *w exp 09/27/201 0.0 $52k 83k 0.63
Quartet Merger Corp right 99/99/9999 0.0 $77k 180k 0.43
Levy Acquisition Corp w exp 11/19/201 0.0 $61k 94k 0.65
Citigroup Inc *w exp 10/28/201 0.0 $4.6k 116k 0.04
Collabrium Japan Acquisitn C *w exp 99/99/999 0.0 $8.8k 63k 0.14
Roi Acquisition Corp Ii 0.0 $20k 2.0k 10.00