13F-HR filed by BASSO CAPITAL MANAGEMENT, L.P.
BASSO CAPITAL MANAGEMENT, L.P. filed this 13F-HR for the quarter ended 2015-09-30, filed 2015-11-16, with 133 holding rows worth $605,650,000.
- Accession
- 0001140361-15-041367
- Filer
- CIK 1287978
- Filed
- 2015-11-16
- Accepted by EDGAR
- acceptance time not in the bulk data set
- Ingested
- Source
- SEC quarterly data set
13F report for Q3 2015
A holdings report, 133 entries on the cover page, a total value of $605,650,000 stated on the cover page (in dollars after the unit check, H1), rows summing to $605,650,000 with VALUE read as thousands by filing date, 13F file number 028-10896. The quarter's positions are built on this report. The resolved quarter.
The information table after summing rows of one CUSIP and put or call (H4), with the CUSIP and issuer name as filed. Values in dollars after the unit check (method).
| Issuer as filed | CUSIP | Class | Amount | Value | Value read as | Type |
|---|---|---|---|---|---|---|
| ELECTRONIC ARTS INC | 285512AA7 | NOTE 0.750% 7/1 | 23,200,000 | $49,344,000 | thousands by filing date | principal |
| JETBLUE AIRWAYS CORP | 477143AG6 | DBCV 6.750%10/1 | 6,895,000 | $36,449,000 | thousands by filing date | principal |
| MICROCHIP TECHNOLOGY INC | 595017AB0 | SDCV 2.125%12/1 | 16,263,000 | $28,460,000 | thousands by filing date | principal |
| iShares Russell 2000 ETF | 464287655 | SHS | 248,800 | $27,169,000 | thousands by filing date | put |
| MOLINA HEALTHCARE INC | 60855RAC4 | NOTE 1.125% 1/1 | 14,650,000 | $25,536,000 | thousands by filing date | principal |
| NOVELLUS SYS INC | 670008AD3 | NOTE 2.625% 5/1 | 12,080,000 | $23,639,000 | thousands by filing date | principal |
| TAKE-TWO INTERACTIVE SOFTWAR | 874054AD1 | NOTE 1.000% 7/0 | 13,178,000 | $18,746,000 | thousands by filing date | principal |
| PALO ALTO NETWORKS INC | 697435AB1 | NOTE 7/0 | 10,203,000 | $16,631,000 | thousands by filing date | principal |
| JARDEN CORP | 471109AH1 | NOTE 1.87 | 9,750,000 | $15,661,000 | thousands by filing date | principal |
| PDLI 4 2/1/18 | 69329YAF1 | Bond 30/360P2 U | 15,000,000 | $13,029,000 | thousands by filing date | principal |
| STWD 3.75 10/17 | 85571BAC9 | Bond 30/360P2 U | 12,800,000 | $12,692,000 | thousands by filing date | principal |
| J2 GLOBAL INC | 48123VAC6 | NOTE 3.250% 6/1 | 10,450,000 | $12,449,000 | thousands by filing date | principal |
| SPIRIT RLTY CAP INC NEW | 84860WAA0 | NOTE 2.875% 5/1 | 13,000,000 | $12,090,000 | thousands by filing date | principal |
| JARDEN CORP | 471109AL2 | NOTE 1.500 6/1 | 8,550,000 | $11,489,000 | thousands by filing date | principal |
| PFPT1.25 12/18 | 743424AB9 | Bond 30/360P2 U | 6,980,000 | $11,334,000 | thousands by filing date | principal |
| SHIP FINANCE INTERNATIONAL L | G81075AE6 | NOTE 3.250% 2/0 | 10,250,000 | $10,827,000 | thousands by filing date | principal |
| CEMEX SAB DE CV | 151290BC6 | NOTE 3.750% 3/1 | 10,295,000 | $10,681,000 | thousands by filing date | principal |
| XILINX INC 2.625 | 983919AF8 | NOTE 2.625% 6/1 | 6,700,000 | $10,017,000 | thousands by filing date | principal |
| VERISIGN INC | 92343EAD4 | CORPORATE OBLIG | 4,500,000 | $9,388,000 | thousands by filing date | principal |
| LIGAND PHARMACEUTICALS INC | 53220KAD0 | NOTE 0.750 8/1 | 7,220,000 | $9,323,000 | thousands by filing date | principal |
| PRICELINE.COM INC 1.000 | 741503AQ9 | DEBT 1.000% 3/1 | 6,600,000 | $9,255,000 | thousands by filing date | principal |
| ELECTRONICS FOR IMAGING INC | 286082AC6 | NOTE 0.750% 9/0 | 8,800,000 | $9,001,000 | thousands by filing date | principal |
| NVDA 1 12/1/18 | 67066GAC8 | Bond 30/360P2 U | 6,400,000 | $8,428,000 | thousands by filing date | principal |
| VECTOR GROUP LTD | 92240MBC1 | FRNT 4/1 | 7,300,000 | $8,169,000 | thousands by filing date | principal |
| NATIONAL HEALTH INVS INC | 63633DAE4 | NOTE 3.250% 4/0 | 8,203,000 | $7,982,000 | thousands by filing date | principal |
| AFFYMETRIX INC | 00826TAH1 | NOTE 4.000% 7/0 | 5,000,000 | $7,813,000 | thousands by filing date | principal |
| SEACOR HOLDINGS INC | 811904AM3 | NOTE 2.500%12/1 | 8,189,000 | $7,800,000 | thousands by filing date | principal |
| CARRIAGE SVCS INC | 143905AM9 | NOTE 2.750% 3/1 | 6,653,000 | $7,364,000 | thousands by filing date | principal |
| SPIRIT RLTY CAP INC NEW | 84860WAB8 | NOTE 3.750% 5/1 | 7,136,000 | $6,515,000 | thousands by filing date | principal |
| QIHOO 360 TECHNOLOGY CO LTD | 74734MAE9 | NOTE 0.500% 8/1 | 7,450,000 | $6,491,000 | thousands by filing date | principal |
| TAKE-TWO INTERACTIVE SOFTWAR | 874054AC3 | NOTE 1.750%12/0 | 4,070,000 | $6,255,000 | thousands by filing date | principal |
| MERCADOLIBRE INC | 58733RAB8 | NOTE 2.250 7/0 | 5,900,000 | $5,778,000 | thousands by filing date | principal |
| INTEL CORP | 458140AF7 | CORPORATE OBLIG | 3,600,000 | $5,436,000 | thousands by filing date | principal |
| WRIGHT MED GROUP INC | 98235TAC1 | NOTE 2.000% 8/1 | 5,000,000 | $5,256,000 | thousands by filing date | principal |
| DHT HOLDINGS INC | 23335SAB2 | DEBT 4.50010/0 | 4,600,000 | $5,141,000 | thousands by filing date | principal |
| CHESAPEAKE ENERGY CORP | 165167BW6 | NOTE 2.750%11/1 | 4,950,000 | $4,913,000 | thousands by filing date | principal |
| ACORDA THERAPEUTICS INC | 00484MAA4 | NOTE 1.750% 6/1 | 5,345,000 | $4,837,000 | thousands by filing date | principal |
| COWEN INC | 223622AB7 | NOTE 3.000 3/1 | 4,500,000 | $4,756,000 | thousands by filing date | principal |
| 51JOB INC | 316827AC8 | NOTE 3.250 4/1 | 5,000,000 | $4,716,000 | thousands by filing date | principal |
| GENERAL CABLE CORP | 369300AL2 | CORPORATE OBLIG | 7,000,000 | $4,121,000 | thousands by filing date | principal |
| MDCO 1.375 6/17 | 584688AC9 | Bond 30/360P2 U | 2,800,000 | $4,050,000 | thousands by filing date | principal |
| ENERNOC INC | 292764AB3 | DBCV 2.250% 8/1 | 5,550,000 | $3,825,000 | thousands by filing date | principal |
| GORES HLDGS INC | 382866200 | UNIT 99/99/9999 | 350,000 | $3,549,000 | thousands by filing date | |
| ROI ACQUISITION CORP II | 74966G101 | COM | 354,768 | $3,548,000 | thousands by filing date | |
| AMRI 2.25 11/18 | 012423AB5 | Bond 30/360P2 U | 2,800,000 | $3,455,000 | thousands by filing date | principal |
| GARNERO GROUP ACQUISITION CO | G5866L108 | SHS | 323,457 | $3,176,000 | thousands by filing date | |
| HAWAIIAN HOLDINGS INC | 419879AD3 | NOTE 5.000% 3/1 | 1,000,000 | $3,154,000 | thousands by filing date | principal |
| TSL 3.5 06/19 | 89628EAC8 | Bond30E/360P2 U | 3,500,000 | $3,098,000 | thousands by filing date | principal |
| MGIC INVESTMENT CORP | 552848AE3 | CORPORATE OBLIG | 2,140,000 | $3,067,000 | thousands by filing date | principal |
| EASTERLY ACQUISITION CORP | 27616L201 | UNIT 07/29/2020 | 300,000 | $3,015,000 | thousands by filing date | |
| ALTRA HOLDINGS INC | 02208RAE6 | NOTE 2.750% 3/0 | 2,850,000 | $2,955,000 | thousands by filing date | principal |
| HENNESSY CAPITAL ACQUISITION | 42588J209 | UNIT 99/99/9999 | 289,300 | $2,852,000 | thousands by filing date | |
| M/I HOMES INC | 55292PAA3 | NOTE 3.250% 9/1 | 2,500,000 | $2,818,000 | thousands by filing date | principal |
| PROSPECT CAPITAL CORP | 74348TAC6 | NOTE 6.250% | 2,750,000 | $2,767,000 | thousands by filing date | principal |
| BIOMARIN PHARMACEUTICAL INC | 09061GAE1 | NOTE 0.750%10/1 | 1,950,000 | $2,545,000 | thousands by filing date | principal |
| N 0.25 6/1/18 | 64118QAB3 | Bond 30/360P2 U | 2,500,000 | $2,503,000 | thousands by filing date | principal |
| APOLLO COML REAL EST FIN INC | 03762UAA3 | NOTE 5.500% 3/1 | 2,500,000 | $2,464,000 | thousands by filing date | principal |
| CAMBRIDGE CAP ACQUISITION CO | 13215Q106 | COM | 236,731 | $2,374,000 | thousands by filing date | |
| Financial Select Sector SPDR Fund | 81369Y605 | SHS | 100,000 | $2,266,000 | thousands by filing date | call |
| SPDR SER TR | 78464A359 | BBG CONV SEC ETF | 50,000 | $2,236,000 | thousands by filing date | call |
| ALERE INC | 01449JAA3 | CORPORATE OBLIG | 1,950,000 | $2,235,000 | thousands by filing date | principal |
| GP INVTS ACQUISITION COR | G40357116 | UNIT 99/99/9999 | 225,000 | $2,230,000 | thousands by filing date | |
| BARCLAYS IPTH SRS B S&P SHRT TRM ETN | 06742E711 | IPATH S&P500 VIX | 150,000 | $2,217,000 | thousands by filing date | put |
| BROOKDALE SENIOR LIVING | 112463AA2 | NOTE | 1,925,000 | $2,050,000 | thousands by filing date | principal |
| AR CAP ACQUISITION CORP | 00191R208 | UNIT 10/06/2019 | 195,000 | $1,938,000 | thousands by filing date | |
| SPY | 78462F103 | SHS | 10,000 | $1,916,000 | thousands by filing date | |
| SPY | 78462F103 | SHS | 10,000 | $1,916,000 | thousands by filing date | put |
| SPECTRANETICS CORP | 84760CAA5 | MTNF 2.625% 6/0 | 2,500,000 | $1,906,000 | thousands by filing date | principal |
| QUINPARIO ACQUISITION CORP 2 | 74874U101 | COM | 180,100 | $1,767,000 | thousands by filing date | |
| GLOBAL DEFENSE & NATL SEC SY | 37953N108 | COM | 165,000 | $1,736,000 | thousands by filing date | |
| ELECTRUM SPL ACQUISITION COR | G3105C120 | UNIT 99/99/9999 | 170,000 | $1,680,000 | thousands by filing date | |
| EURONET WORLDWIDE INC COM | 298736109 | Stock | 20,800 | $1,541,000 | thousands by filing date | |
| AROWANA INC | G05011138 | UNIT 99/99/9999 | 150,000 | $1,530,000 | thousands by filing date | |
| DOUBLE EAGLE ACQUISITION COR | G28195108 | UNIT 99/99/9999 | 150,000 | $1,521,000 | thousands by filing date | |
| HYDRA INDS ACQUISITION CORP | 448740209 | UNIT 10/20/2021 | 145,000 | $1,479,000 | thousands by filing date | |
| ILLUMINA INC | 452327109 | COM | 7,900 | $1,389,000 | thousands by filing date | |
| HYDRA INDS ACQUISITION CORP | 448740100 | COM | 130,000 | $1,261,000 | thousands by filing date | |
| SINA CORP | 82922RAD5 | NOTE 1.000%12/0 | 1,150,000 | $1,087,000 | thousands by filing date | principal |
| GP INVTS ACQUISITION COR | G40357124 | SHS | 107,726 | $1,035,000 | thousands by filing date | |
| PATTERN ENERGY GROUP INC | 70338P100 | CL A | 50,000 | $955,000 | thousands by filing date | put |
| AMSURG CORP | 03232P504 | PFD CNV SR A-1 % | 6,445 | $955,000 | thousands by filing date | |
| SOUTHWESTERN ENERGY CO | 845467109 | COM | 75,000 | $952,000 | thousands by filing date | put |
| WL ROSS HLDG CORP | 92939D203 | UNIT 06/11/2019 | 80,800 | $907,000 | thousands by filing date | |
| DYCOM INDS INC COM | 267475101 | Stock | 12,400 | $897,000 | thousands by filing date | |
| CORENERGY INFRASTRUCTURE TR | 21870UAA4 | NOTE 7.000% 6/1 | 1,000,000 | $888,000 | thousands by filing date | principal |
| 1347 CAP CORP | 68245V202 | UNIT 07/18/2016 | 85,000 | $875,000 | thousands by filing date | |
| ELECTRUM SPL ACQUISITION COR | G3105C104 | SHS | 87,500 | $849,000 | thousands by filing date | |
| TERRAPIN 3 ACQUISITION CORP | 88104P203 | UNIT 06/27/2019 | 76,801 | $783,000 | thousands by filing date | |
| QUINPARIO ACQUISITION CORP 2 | 74874U200 | UNIT 01/01/2023X | 75,000 | $771,000 | thousands by filing date | |
| UNIVERSAL CORP VA MTNS BK ENT COM | 913456109 | Stock | 15,308 | $759,000 | thousands by filing date | |
| CEMEX SAB DE CV SPON ADR NEW | 151290889 | ADR | 100,000 | $699,000 | thousands by filing date | put |
| AR CAPITAL ACQUISITION CORP | 00191R109 | COM | 70,000 | $675,000 | thousands by filing date | |
| FORESTAR GROUP, INC. | 346233109 | COMMON STOCK | 50,000 | $658,000 | thousands by filing date | put |
| OFG BANCORP | 67103X102 | COM | 75,000 | $655,000 | thousands by filing date | call |
| EXXI 3 12/18 | 29274UAB7 | Bond 30/360P2 U | 5,944,000 | $594,000 | thousands by filing date | principal |
| HARMONY MERGER CORP | 413247206 | UNIT 99/99/9999 | 55,000 | $561,000 | thousands by filing date | |
| SCORPIO TANKERS INC | Y7542C106 | COMMON STOCK-FO | 55,000 | $505,000 | thousands by filing date | put |
| PDL BIOPHARMA INC | 69329Y104 | COM | 100,000 | $503,000 | thousands by filing date | put |
| GENERAL CABLE CORP DEL NEW | 369300108 | COM | 40,000 | $476,000 | thousands by filing date | put |
| Terrapin 3 Acquisition Corporation | 88104P104 | Common | 47,853 | $473,000 | thousands by filing date | |
| ENERNOC INC | 292764107 | COMMON STOCK | 50,000 | $395,000 | thousands by filing date | put |
| AKAMAI TECHNOLOGIES INC COM | 00971T101 | Stock | 5,400 | $373,000 | thousands by filing date | |
| SONY GROUP CORP SPONSORED ADR | 835699307 | ADR | 12,000 | $289,000 | thousands by filing date | |
| ATLANTIC ALLIANCE PARTNER CO | G04897107 | SHS | 27,334 | $277,000 | thousands by filing date | |
| DT ASIA INVTS LTD | G2615J104 | SHS | 24,208 | $241,000 | thousands by filing date | |
| 1347 CAP CORP | 68245V103 | COM | 24,318 | $239,000 | thousands by filing date | |
| HARMONY MERGER CORP | 413247107 | COM | 21,154 | $209,000 | thousands by filing date | |
| VELOCITYSHARES INV VIX SH-TM | 22542D795 | INVR | 8,500 | $207,000 | thousands by filing date | |
| BARCLAYS IPTH SRS B S&P SHRT TRM ETN | 06742E711 | IPATH S&P500 VIX | 10,000 | $148,000 | thousands by filing date | call |
| WL ROSS HLDG CORP | 92939D104 | COM SHS | 14,200 | $147,000 | thousands by filing date | |
| Call - ZION $36.27 Exp 11/14/2018 | 989701131 | Warrants | 50,000 | $98,000 | thousands by filing date | |
| ROI ACQUISITION CORP II | 74966G119 | *W EXP 09/17/201 | 261,538 | $94,000 | thousands by filing date | |
| PENN VIRGINIA CORP | 707882106 | COMMON STOCK | 100,000 | $53,000 | thousands by filing date | call |
| Vanguard FTSE Europe ETF | 922042874 | SHS | 1,000 | $49,000 | thousands by filing date | |
| AROWANA INC | G05011104 | SHS | 5,000 | $49,000 | thousands by filing date | |
| GARNERO GROUP ACQUISITION CO | G5866L132 | RIGHT 06/25/2016 | 200,000 | $44,000 | thousands by filing date | |
| SANOFI | 80105N113 | COMMON STOCK-FO | 220,000 | $42,000 | thousands by filing date | |
| CITIGROUP INC | 172967226 | WARRANT | 81,500 | $38,000 | thousands by filing date | |
| CAMBRIDGE CAP ACQUISITION CO | 13215Q114 | *W EXP 12/17/201 | 122,655 | $31,000 | thousands by filing date | |
| BANK OF AMERICA CORP | 060505153 | CMN | 91,600 | $26,000 | thousands by filing date | |
| HYDRA INDS ACQUISITION CORP | 448740126 | RIGHT 99/99/9999 | 55,000 | $21,000 | thousands by filing date | |
| GARNERO GROUP ACQUISITION CO | G5866L116 | *W EXP 06/24/201 | 164,800 | $20,000 | thousands by filing date | |
| SOUTHWESTERN ENERGY CO | 845467109 | COM | 948 | $12,000 | thousands by filing date | |
| QUINPARIO ACQUISITION CORP 2 | 74874U119 | *W EXP 01/01/202 | 24,997 | $6,000 | thousands by filing date | |
| TERRAPIN 3 ACQUISITION CORP | 88104P112 | *W EXP 06/27/201 | 10,000 | $6,000 | thousands by filing date | |
| 1347 CAP CORP | 68245V111 | RIGHT 07/21/2016 | 15,000 | $5,000 | thousands by filing date | |
| HYDRA INDS ACQUISITION CORP | 448740118 | *W EXP 10/20/202 | 13,000 | $4,000 | thousands by filing date | |
| HARMONY MERGER CORP | 413247123 | *W EXP 01/01/202 | 5,000 | $2,000 | thousands by filing date | |
| CITIGROUP INC | 172967234 | *W EXP 10/28/201 | 115,500 | $1,000 | thousands by filing date | |
| GP INVTS ACQUISITION COR | G40357108 | *W EXP 05/19/202 | 1,500 | $1,000 | thousands by filing date | |
| AROWANA INC | G05011120 | RIGHT 01/01/2017 | 5,000 | $1,000 | thousands by filing date | |
| AR CAP ACQUISITION CORP | 00191R117 | *W EXP 10/06/201 | 400 | $0 | thousands by filing date | Value filed as zero, left out of ratios. |
| WL ROSS HLDG CORP | 92939D112 | WARRANT | 200 | $0 | thousands by filing date | Value filed as zero, left out of ratios. |
Amendment chain
| Filing | Role | Filed | Accepted | Ingested |
|---|---|---|---|---|
| 13F-HR 0001140361-15-041367 | this filing | 2015-11-16 | acceptance time not in the bulk data set |