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Fund Holdings of BASSO CAPITAL MANAGEMENT LP Filed on 2012-02-13

Link to Original SEC 13F filings sorted on filing date: 2012-02-13 | 2011-11-14 | 2011-08-15 | 2011-05-16 | 2011-02-14 | 2010-11-12 | 2010-08-16 | 2010-05-17 | 2010-02-16 | 2009-11-16 | 2009-08-14 | 2009-05-15 | 2009-02-17 | 2008-11-14 | 2008-08-14 | 2008-05-14 |

1. Fund Information

Fund NameBASSO CAPITAL MANAGEMENT LP
Fund Manager
Address1266 E MAIN ST,
STAMFORD, CT, 06902
::Google Map
Phone
13F Asset Last Qtr$490,253,000
13F Asset This Qtr$499,851,000
Asset Change1.96%

2. Comparison of Holdings by Sectors with Last Quarter

3. Top 20 Holdings (Value) of This Quarter

No.SecurityPut/CallStockSharesValue(x$1000)Activity(Shr)% Port.
1.)SPDR S&P 500 ETFPUTSPY400,000$50,200Added 700.00%10.04%
2.)MICROCHIP TECHNOLOGY INC SDCV 2.125%12/123,579,000$31,773Cut -9.59%6.36%
3.)SBA COMMUNICATIONS CORP NOTE 4.000%10/017,006,000$25,892Unchanged5.18%
4.)OMNICARE INC NOTE 3.750%12/117,210,000$23,965Added 43.42%4.79%
5.)MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/019,835,000$23,729Added 2.59%4.75%
6.)UNISOURCE ENERGY CORP NOTE 4.500% 3/017,113,000$18,268Unchanged3.65%
7.)ANNALY CAP MGMT INC NOTE 4.000% 2/114,650,000$16,573Cut -6.39%3.32%
8.)ISHARES TRUST MSCI EMERGING MARKETS INDEXCALLEEM427,700$16,227New3.25%
9.)XILINX INC SDCV 3.125% 3/113,450,000$15,282Cut -18.24%3.06%
10.)E M C CORP MASS NOTE 1.750%12/09,200,000$13,214Added 27.78%2.64%
11.)VALE CAPITAL IICJT199,473$13,056Cut -34.27%2.61%
12.)ALCOA INC NOTE 5.250% 3/17,500,000$11,418Added 7.14%2.28%
13.)GILEAD SCIENCES INC NOTE 0.625% 5/09,200,000$10,707New2.14%
14.)US AIRWAYS GROUP INC NOTE 7.250% 5/18,000,000$10,388Added 60.00%2.08%
15.)WESTERN REFNG INC NOTE 5.750% 6/16,500,000$9,312New1.86%
16.)INCYTE CORP NOTE 4.750%10/04,725,000$8,880Cut -37.00%1.78%
17.)VIRGIN MEDIA INC NOTE 6.500%11/16,000,000$8,258Added 20.00%1.65%
18.)CITIGROUP INC. TANGIBLE DIVIDEND ENHANCED COMMON STOCKC-PH100,000$8,045Added 170.27%1.61%
19.)ENDO PHARMACEUTICALS HLDGS I NOTE 1.750% 4/16,000,000$7,834Cut -40.00%1.57%
20.)BARCLAYS BK PLC SH CTF ON ATMBLE CRPGOALTD 144A23-DEC-13PUTBGOAL220,000$7,817Unchanged1.56%

4. Top 20 (Value) Holdings BOUGHT NEW in This Quarter

No.SecurityPut/CallStockShares NEWValue(x$1000)% Port.
1.)ISHARES TRUST MSCI EMERGING MARKETS INDEXCALLEEM427,700$16,2273.25%
2.)GILEAD SCIENCES INC NOTE 0.625% 5/09,200,000$10,7072.14%
3.)WESTERN REFNG INC NOTE 5.750% 6/16,500,000$9,3121.86%
4.)OMNICARE CAP TR IIOCR-PB143,422$6,5441.31%
5.)REGIS CORP MINN NOTE 5.000% 7/15,000,000$6,2221.24%
6.)POWERSHARES EXCHANGE-TRADED FUND TRUST - POWERSHARES QQQ TRUST, SERIES 1CALLQQQ100,000$5,5831.12%
7.)MYLAN INC NOTE 3.750% 9/13,200,000$5,5711.11%
8.)INGERSOLLRAND GLOBAL HLDG C NOTE 4.500% 4/12,605,000$4,4650.89%
9.)HUMAN GENOME SCIENCES INC NOTE 2.250% 8/14,000,000$3,9480.79%
10.)MYLAN INC. - 1.25% SENIOR CONVERTIBLE NOTES DUE 3/15/2012MYLNG3,700,000$3,7140.74%
11.)LIONS GATE ENTMT INC NOTE 3.625% 3/12,500,000$2,8560.57%
12.)DENDREON CORP NOTE 2.875% 1/14,000,000$2,7700.55%
13.)METLIFE INCCALLMET80,000$2,4940.50%
14.)NUVASIVE INC NOTE 2.250% 3/12,000,000$1,9200.38%
15.)PROSPECT CAPITAL CORPORATIONPUTPSEC200,000$1,8580.37%
16.)OMNICARE INC.PUTOCR50,000$1,7230.34%
17.)BANK OF AMERICA CORP.CALLBAC300,000$1,6680.33%
18.)REGIS CORP.PUTRGS100,000$1,6550.33%
19.)HOME INNS & HOTELS MANAGEMENT INC. - AMERICAN DEPOSITORY SHARESHMIN2,000,000$1,4300.29%
20.)COVANTA HOLDING CORPCALLCVA100,000$1,3690.27%

5. Top 20 (Value) Holdings Totally SOLD OUT in This Quarter

No.SecurityPut/CallStockShares SOLDValue(x$1000)% Port. Last Qtr
1.)CEPHALON INC NOTE 2.000% 6/012,000,000$20,9624.28%
2.)BORGWARNER INC NOTE 3.500% 4/17,440,000$13,7712.81%
3.)PDL BIOPHARMA INC NOTE 3.750% 5/012,350,000$11,7122.39%
4.)TELEFLEX INC NOTE 3.875% 8/09,000,000$9,7771.99%
5.)PDL BIOPHARMA INC NOTE 2.875% 2/18,500,000$8,4191.72%
6.)EARTHLINK INC FRNT 3.250%11/17,050,000$7,0591.44%
7.)PHH CORP NOTE 4.000% 4/17,000,000$6,9581.42%
8.)OLD REP INTL CORP NOTE 8.000% 5/16,000,000$6,1461.25%
9.)ISHARES TRUST BARCLAYS 20 PLUS YR TRSRPUTTLT50,000$6,0401.23%
10.)ISHARES TR FTSE INDXCALLFXI195,500$6,0271.23%
11.)OCWEN FINL CORP NOTE 3.250% 8/05,200,000$5,7921.18%
12.)GREAT PLAINS ENERGY, INC. PRFD F GXP-PF78,062$4,6610.95%
13.)COVANTA HLDG CORP NOTE 3.250% 6/03,000,000$3,2610.67%
14.)PROVIDENCE SVC CORP NOTE 6.500% 5/13,000,000$2,9600.60%
15.)ISHARES INC.-MSCI HONG KONG I. REGISTERED SHARESCALLEWH200,000$2,8660.59%
16.)NETAPP INC NOTE 1.750% 6/02,224,000$2,7050.55%
17.)SUNPOWER CORP DBCV 4.500% 3/13,000,000$2,5050.51%
18.)WORLD ACCEP CORPORATION NOTE 3.000%10/02,500,000$2,5000.51%
19.)SYNNEX CORP NOTE 4.000% 5/11,860,000$2,0230.41%
20.)GLOBAL EAGLE ACQUISITION COR159,900$1,5190.31%