Basso Capital Management

Basso Capital Management as of June 30, 2011

Portfolio Holdings for Basso Capital Management

Basso Capital Management holds 91 positions in its portfolio as reported in the June 2011 quarterly 13F filing

Company (Ticker) Portfolio Weight Valued At Change in Shares Share Count Share Price
Microchip Technology Inc sdcv 2.125%12/1 8.1 $41M 30M 1.37
Xilinx Inc sdcv 3.125% 3/1 4.6 $23M 19M 1.27
Sba Communications Corp note 4.000%10/0 4.1 $21M 15M 1.41
Medicis Pharmaceutical Corp note 2.500% 6/0 4.1 $21M 16M 1.34
Spdr S&p 500 Etf (SPY) 3.5 $18M 138k 131.97
Vale Cap Ii valep 6.75%12 3.5 $18M 194k 92.15
Annaly Cap Mgmt Inc note 4.000% 2/1 3.4 $17M 15M 1.19
Unisource Energy Corp note 4.500% 3/0 3.4 $17M 16M 1.08
Saks Inc note 2.000% 3/1 3.0 $15M 15M 1.05
Endo Pharmaceuticals Hldgs I note 1.750% 4/1 3.0 $15M 11M 1.45
Old Rep Intl Corp note 8.000% 5/1 3.0 $15M 13M 1.13
Borgwarner Inc note 3.500% 4/1 2.9 $15M 5.9M 2.47
Teleflex Inc note 3.875% 8/0 2.7 $14M 12M 1.15
Holdings Inc Note 5.25 2.4 $12M 6.0M 2.04
Vale Cap Ii gtd cv 6.75%12 2.4 $12M 138k 88.01
Mercer Intl Inc note 8.500% 1/1 2.3 $12M 3.9M 3.05
E M C Corp Mass note 1.750%12/0 2.3 $12M 6.7M 1.75
Autoliv Inc unit 99/99/9999 2.1 $11M 101k 106.34
United Microelectronics (UMC) 1.9 $9.9M 10M 0.99
Virgin Media Inc note 6.500%11/1 1.8 $9.0M 5.0M 1.79
Earthlink Inc note 3.250%11/1 1.7 $8.8M 8.6M 1.03
Metlife Inc 5% 10/0/14 Conv Pr cv prf 1.6 $8.2M 100k 82.18
Phh Corp note 4.000% 4/1 1.5 $7.8M 7.0M 1.11
Great Plains Energy Inc unit 06/15/2042 1.4 $7.3M 112k 65.26
United Therapeutics Corp Del note 0.500%10/1 1.4 $7.3M 5.0M 1.46
Pdl Biopharma Inc note 3.750% 5/0 1.4 $7.3M 7.5M 0.97
Netapp Inc note 1.750% 6/0 1.4 $7.2M 4.2M 1.70
Pdl Biopharma Inc note 2.875% 2/1 1.4 $7.1M 7.0M 1.02
Synovus Finl Corp unit 99/99/9999 1.4 $7.1M 353k 20.16
Incyte Corp note 4.750%10/0 1.4 $6.9M 3.0M 2.30
Omnicare Inc note 3.750%12/1 1.3 $6.7M 5.0M 1.34
Cephalon Inc note 2.000% 6/0 1.2 $6.1M 3.5M 1.73
Ocwen Finl Corp note 3.250% 8/0 1.1 $5.6M 5.2M 1.07
Kkr Financial Hldgs Llc note 7.500% 1/1 1.0 $5.0M 3.5M 1.44
Health Care REIT 0.9 $4.8M 91k 52.43
Barclays Bk Plc ipth s^p vix 0.9 $4.7M 220k 21.14
Fti Consulting Inc bond 0.8 $3.9M 3.1M 1.27
PPL Corporation (PPL) 0.7 $3.5M 125k 27.83
National Retail Properties I note 5.125% 6/1 0.7 $3.3M 3.0M 1.11
Endo Pharmaceuticals 0.6 $3.3M 81k 40.17
Vale (VALE) 0.6 $3.2M 100k 31.95
D Synnex Corp Ser B Sr Uns Conv convrt bonds 0.6 $2.9M 2.4M 1.23
Beazer Homes Usa Inc. unit 99/99/99 0.6 $2.8M 170k 16.48
Verisign Inc sdcv 3.250% 8/1 0.5 $2.5M 2.2M 1.15
Genco Shipping & Trading Ltd note 5.000% 8/1 0.5 $2.5M 3.0M 0.83
Providence Svc Corp note 6.500% 5/1 0.4 $2.2M 2.3M 0.99
Stillwater Mining Company 0.4 $2.2M 100k 22.01
Cemex SAB de CV (CX) 0.4 $2.2M 250k 8.60
Us Airways Group Inc note 7.250% 5/1 0.4 $2.1M 1.0M 2.13
Hartford Finl Svcs Wt Exp 0626 wt 0.4 $2.0M 111k 17.89
Resolute Energy Corp *w exp 09/25/201 0.4 $2.0M 562k 3.58
Ramco-gershenson Pptys Tr perp pfd-d cv 0.4 $2.0M 40k 49.70
Teleflex Incorporated (TFX) 0.4 $1.8M 30k 61.07
TAKE-TWO INTER CONVERTIBLE security 0.3 $1.6M 1.0M 1.58
Vishay Intertechnology (VSH) 0.3 $1.5M 100k 15.04
Entertainment Properties Trust 0.3 $1.5M 32k 46.69
Stanley Black & Decker (SWK) 0.3 $1.4M 20k 72.05
Global Eagle Acquisition Cor 0.3 $1.4M 150k 9.50
Universal Corporation (UVV) 0.3 $1.4M 36k 37.69
China Growth Equity Inv Ltd unit 05/14/2016 0.2 $1.3M 125k 10.00
Old Republic International Corporation (ORI) 0.2 $1.2M 100k 11.75
Saks Incorporated 0.2 $1.2M 107k 11.17
Leucadia Natl Corp debt 0.2 $1.2M 743k 1.58
Xilinx 0.2 $1.1M 30k 36.46
Entertainment Properties Trust 0.2 $1.1M 23k 46.70
Frontline Limited Usd2.5 0.2 $1.1M 73k 14.75
Goodyear Tire & Rubber Company (GT) 0.2 $966k 58k 16.80
KKR Financial Holdings 0.2 $883k 90k 9.81
MetLife (MET) 0.2 $877k 20k 43.85
Great Plains Energy Incorporated 0.2 $829k 40k 20.72
Genco Shipping & Trading 0.1 $752k 100k 7.52
Home Inns & Hotels Management 0.1 $761k 20k 38.05
Affiliated Managers (AMG) 0.1 $710k 7.0k 101.43
Sanofi Aventis Wi Conval Rt 0.1 $678k 282k 2.41
Hologic (HOLX) 0.1 $633k 31k 20.16
Omnicare 0.1 $638k 20k 31.90
Dryships/drys 0.1 $629k 150k 4.19
Ocwen Financial Corporation 0.1 $638k 50k 12.76
Virgin Media 0.1 $599k 20k 29.95
Accuride Corporation 0.1 $632k 50k 12.64
Industries N shs - a - (LYB) 0.1 $578k 15k 38.53
Credit Suisse Nassau Brh invrs vix sterm 0.1 $457k 25k 18.28
Trinity Industries (TRN) 0.1 $408k 12k 34.87
Bank Of America Corp w exp 10/201 0.1 $305k 175k 1.74
Sunrise Senior Living 0.1 $260k 26k 10.00
EarthLink 0.1 $231k 30k 7.70
ATP Oil & Gas Corporation 0.0 $153k 10k 15.30
Crown Castle International 0.0 $82k 2.0k 41.00
Global Eagle Acquisition Cor *w exp 05/13/201 0.0 $80k 94k 0.85
Heckmann Corp *w exp 11/09/201 0.0 $43k 96k 0.45
Citigroup Inc *w exp 10/28/201 0.0 $17k 150k 0.11