Basso Capital Management

Basso Capital Management as of Sept. 30, 2015

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 130 positions in its portfolio as reported in the September 2015 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Electronic Arts Note 0.750% 7/1 (Principal) 8.1 $49M 23M 2.13
Jetblue Airways Corp DBCV 6.750%10/1 (Principal) 6.0 $36M 6.9M 5.29
Microchip Technology SDCV 2.125%12/1 (Principal) 4.7 $29M 16M 1.75
Ishares Tr Russell 2000 Etf Put Option (IWM) 4.5 $27M 249k 109.20
Molina Healthcare Note 1.125% 1/1 (Principal) 4.2 $26M 15M 1.74
Novellus Sys Note 2.625% 5/1 (Principal) 3.9 $24M 12M 1.96
Take-two Interactive Softwar Note 1.000% 7/0 (Principal) 3.1 $19M 13M 1.42
Palo Alto Networks Ote 7/0 (Principal) 2.7 $17M 10M 1.63
Jarden Corp Note 1.875% 9/1 (Principal) 2.6 $16M 9.8M 1.61
Pdl Biopharma Note 4.000% 2/0 (Principal) 2.2 $13M 15M 0.87
Starwood Ppty Tr Note 3.750%10/1 (Principal) 2.1 $13M 13M 0.99
J2 Global Note 3.250% 6/1 (Principal) 2.1 $12M 11M 1.19
Spirit Rlty Cap Note 2.875% 5/1 (Principal) 2.0 $12M 13M 0.93
Jarden Corp Note 1.500% 6/1 (Principal) 1.9 $12M 8.6M 1.34
Proofpoint Note 1.250%12/1 (Principal) 1.9 $11M 7.0M 1.62
Ship Finance International L Note 3.250% 2/0 (Principal) 1.8 $11M 10M 1.06
Cemex Sab De Cv Note 3.750% 3/1 (Principal) 1.8 $11M 10M 1.04
Xilinx Note 2.625% 6/1 (Principal) 1.7 $10M 6.7M 1.50
Verisign SDCV 3.250% 8/1 (Principal) 1.6 $9.4M 4.5M 2.09
Ligand Pharmaceuticals Ote 0.750% 8/1 (Principal) 1.5 $9.3M 7.2M 1.29
Priceline Grp Note 1.000% 3/1 (Principal) 1.5 $9.3M 6.6M 1.40
Electronics For Imaging Ote 0.750% 9/0 (Principal) 1.5 $9.0M 8.8M 1.02
Nvidia Corp Note 1.000%12/0 (Principal) 1.4 $8.4M 6.4M 1.32
Vector Group Note 1.750% 4/1 (Principal) 1.3 $8.2M 7.3M 1.12
National Health Invs Note 3.250% 4/0 (Principal) 1.3 $8.0M 8.2M 0.97
Affymetrix Note 4.000% 7/0 (Principal) 1.3 $7.8M 5.0M 1.56
Seacor Holdings Note 2.500%12/1 (Principal) 1.3 $7.8M 8.2M 0.95
Carriage Svcs Note 2.750% 3/1 (Principal) 1.2 $7.4M 6.7M 1.11
Spirit Rlty Cap Note 3.750% 5/1 (Principal) 1.1 $6.5M 7.1M 0.91
Qihoo 360 Technology Ote 0.500% 8/1 (Principal) 1.1 $6.5M 7.5M 0.87
Take-two Interactive Softwar Note 1.750%12/0 (Principal) 1.0 $6.3M 4.1M 1.54
Mercadolibre Ote 2.250% 7/0 (Principal) 1.0 $5.8M 5.9M 0.98
Intel Corp SDCV 3.250% 8/0 (Principal) 0.9 $5.4M 3.6M 1.51
Wright Med Group Note 2.000% 8/1 (Principal) 0.9 $5.3M 5.0M 1.05
Dht Holdings Inc D Ebt 4.500%10/0 (Principal) 0.8 $5.1M 4.6M 1.12
Chesapeake Energy Corp Note 2.750%11/1 (Principal) 0.8 $4.9M 5.0M 0.99
Acorda Therapeutics Note 1.750% 6/1 (Principal) 0.8 $4.8M 5.3M 0.91
Cowen Group Note 3.000% 3/1 (Principal) 0.8 $4.8M 4.5M 1.06
51job Note 3.250% 4/1 (Principal) 0.8 $4.7M 5.0M 0.94
General Cable Corp Del FRNT 4.500%11/1 (Principal) 0.7 $4.1M 7.0M 0.59
Medicines DBCV 1.375% 6/0 (Principal) 0.7 $4.0M 2.8M 1.45
Spdr S&p 500 Etf Tr Tr Unit (SPY) 0.6 $3.8M 20k 191.60
Enernoc BCV 2.250% 8/1 (Principal) 0.6 $3.8M 5.6M 0.69
Gores Hldgs Unit 99/99/9999 0.6 $3.5M 350k 10.14
Roi Acquisition Corp Ii 0.6 $3.5M 355k 10.00
Albany Molecular Resh Note 2.250%11/1 (Principal) 0.6 $3.5M 2.8M 1.23
Garnero Group Acquisition SHS 0.5 $3.2M 324k 9.82
Hawaiian Holdings Note 5.000% 3/1 (Principal) 0.5 $3.2M 1.0M 3.15
Trina Solar DBCV 3.500% 6/1 (Principal) 0.5 $3.1M 3.5M 0.89
Mgic Invt Corp Wis Note 2.000% 4/0 (Principal) 0.5 $3.1M 2.1M 1.43
Easterly Acquisition Corp Unit 99/99/9999 0.5 $3.0M 300k 10.05
Altra Indl Motion Corp Note 2.750% 3/0 (Principal) 0.5 $3.0M 2.9M 1.04
Hennessy Cap Acquisition Cor Unit 99/99/9999 0.5 $2.9M 289k 9.86
M/i Homes Note 3.250% 9/1 (Principal) 0.5 $2.8M 2.5M 1.13
Prospect Capital Corporation Note 6.250%12/1 (Principal) 0.5 $2.8M 2.8M 1.01
Biomarin Pharmaceutical Note 0.750%10/1 (Principal) 0.4 $2.5M 2.0M 1.31
Netsuite Note 0.250% 6/0 (Principal) 0.4 $2.5M 2.5M 1.00
Apollo Coml Real Est Fin Note 5.500% 3/1 (Principal) 0.4 $2.5M 2.5M 0.99
Cambridge Cap Acquisition 0.4 $2.4M 237k 10.03
Barclays Bk Ipath S&p500 Vix Put Option 0.4 $2.4M 160k 14.78
Select Sector Spdr Tr Sbi Int-finl Call Option (XLF) 0.4 $2.3M 100k 22.66
Spdr Series Trust Brc Cnv Secs Etf Call Option (CWB) 0.4 $2.2M 50k 44.72
Alere Note 3.000% 5/1 (Principal) 0.4 $2.2M 2.0M 1.15
Gp Invts Acquisition Cor Unit 99/99/9999 0.4 $2.2M 225k 9.91
Brookdale Sr Living Note 2.750% 6/1 (Principal) 0.3 $2.0M 1.9M 1.06
Ar Cap Acquisition Corp Unit 10/06/2019 0.3 $1.9M 195k 9.94
Spectranetics Corp MTNF 2.625% 6/0 (Principal) 0.3 $1.9M 2.5M 0.76
Quinpario Acquisition Corp 2 0.3 $1.8M 180k 9.81
Global Defense & Natl Sec Sy 0.3 $1.7M 165k 10.52
Electrum Spl Acquisition Cor Unit 99/99/9999 0.3 $1.7M 170k 9.88
Euronet Worldwide (EEFT) 0.3 $1.5M 21k 74.09
Arowana Unit 99/99/9999 0.3 $1.5M 150k 10.20
Double Eagle Acquisition Cor Unit 99/99/9999 0.3 $1.5M 150k 10.14
Hydra Inds Acquisition Corp Unit 10/20/2021 0.2 $1.5M 145k 10.20
Illumina (ILMN) 0.2 $1.4M 7.9k 175.82
Hydra Inds Acquisition 0.2 $1.3M 130k 9.70
Sina Corp Note 1.000%12/0 (Principal) 0.2 $1.1M 1.2M 0.95
Gp Invts Acquisition Cor SHS 0.2 $1.0M 108k 9.61
Southwestern Energy Company 0.2 $961k 76k 12.66
Amsurg Corp Pfd Cnv Sr A-1 % 0.2 $955k 6.4k 148.18
Pattern Energy Group Cl A Put Option 0.2 $955k 50k 19.10
Wl Ross Hldg Corp Unit 06/11/2019 0.1 $907k 81k 11.23
Dycom Industries (DY) 0.1 $897k 12k 72.34
Corenergy Infrastructure Tr Ote 7.000% 6/1 (Principal) 0.1 $888k 1.0M 0.89
1347 Cap Corp Unit 07/18/2016 0.1 $875k 85k 10.29
Electrum Spl Acquisition Cor SHS 0.1 $849k 88k 9.70
Terrapin 3 Acquisition Corp Unit 06/27/2019 0.1 $783k 77k 10.20
Quinpario Acquisition Corp 2 Unit 01/01/2023 0.1 $771k 75k 10.28
Universal Corporation (UVV) 0.1 $759k 15k 49.58
Cemex Sab De Cv Adr New Put Option (CX) 0.1 $699k 100k 6.99
Ar Cap Acquisition 0.1 $675k 70k 9.64
Forestar Put Option 0.1 $658k 50k 13.16
Ofg Ban Call Option (OFG) 0.1 $655k 75k 8.73
Energy Xxi Bermuda Note 3.000%12/1 (Principal) 0.1 $594k 5.9M 0.10
Harmony Merger Corp Unit 99/99/9999 0.1 $561k 55k 10.20
Scorpio Tankers SHS Put Option 0.1 $505k 55k 9.18
PDL BioPharma Put Option 0.1 $503k 100k 5.03
General Cable Corporation Put Option 0.1 $476k 40k 11.90
Terrapin 3 Acquisition Corp Cl A 0.1 $473k 48k 9.88
EnerNOC Put Option 0.1 $395k 50k 7.90
Akamai Technologies (AKAM) 0.1 $373k 5.4k 69.07
Sony Corp Adr New (SONY) 0.0 $289k 12k 24.08
Atlantic Alliance Partner SHS 0.0 $277k 27k 10.13
Dt Asia Invts SHS 0.0 $241k 24k 9.96
1347 Cap 0.0 $239k 24k 9.83
Harmony Merger 0.0 $209k 21k 9.88
Credit Suisse Nassau Brh Invrs Vix Sterm 0.0 $207k 8.5k 24.35
Wl Ross Hldg Corp SHS 0.0 $147k 14k 10.35
Zions Bancorporation W Exp 11/14/201 0.0 $98k 50k 1.96
Roi Acquisition Corp Ii W Exp 09/17/201 0.0 $94k 262k 0.36
Penn Virginia Corporation Call Option 0.0 $53k 100k 0.53
Vanguard Intl Equity Index F Ftse Europe Etf (VGK) 0.0 $49k 1.0k 49.00
Arowana SHS 0.0 $49k 5.0k 9.80
Garnero Group Acquisition Right 06/25/2016 0.0 $44k 200k 0.22
Sanofi Right 12/31/2020 0.0 $42k 220k 0.19
Citigroup W Exp 01/04/201 0.0 $38k 82k 0.47
Cambridge Cap Acquisition W Exp 12/17/201 0.0 $31k 123k 0.25
Bank Amer Corp W Exp 10/28/201 0.0 $26k 92k 0.28
Hydra Inds Acquisition Corp Right 99/99/9999 0.0 $21k 55k 0.38
Garnero Group Acquisition *w Exp 06/24/201 0.0 $20k 165k 0.12
Terrapin 3 Acquisition Corp W Exp 06/27/201 0.0 $6.0k 10k 0.60
Quinpario Acquisition Corp 2 W Exp 01/01/202 0.0 $6.0k 25k 0.24
1347 Cap Corp Right 07/21/2016 0.0 $5.0k 15k 0.33
Hydra Inds Acquisition Corp W Exp 10/20/202 0.0 $4.0k 13k 0.31
Harmony Merger Corp W Exp 01/01/202 0.0 $2.0k 5.0k 0.40
Citigroup W Exp 10/28/201 0.0 $1.0k 116k 0.01
Gp Invts Acquisition Cor *w Exp 99/99/999 0.0 $1.0k 1.5k 0.67
Arowana Right 01/01/2017 0.0 $1.0k 5.0k 0.20
Wl Ross Hldg Corp W Exp 06/11/201 0.0 $0 200.00 0.00
Ar Cap Acquisition Corp W Exp 10/06/201 0.0 $0 400.00 0.00