BASSO CAPITAL MANAGEMENT, L.P.

Portfolio Overview

BASSO CAPITAL MANAGEMENT, L.P. disclosed 138 positions worth $468.8M in its Form 13F-HR for Q2 2026 — $405.9M in common stock plus $62.9M of put/call option positions (reported at underlying notional value, not premium at risk), led by $SPY (SPDR S&P 500 ETF TRUST) puts. During the quarter the fund opened 78 new positions and exited 82 — including a new stake in $SPY and a full exit from $MPLX. The portfolio is most concentrated in Other (80.5% of disclosed assets). All figures are sourced directly from BASSO CAPITAL MANAGEMENT, L.P.’s Form 13F-HR filing with the SEC under CIK 1287978.

• 

  SPDR S&P 500 ETF TRUST

  $SPY PUT

  —

  Quality

  $56.0M75,000 sh

• VANGUARD INDEX FDS - S&P 500 ETF SHS

  —

  Quality

  $47.8M69,593 sh

• VANGUARD INDEX FDS - TOTAL STK MKT

  —

  Quality

  $25.7M69,521 sh

• PGIM ETF TR - AAA CLO ETF

  —

  Quality

  $25.3M493,638 sh
• 

  SPDR S&P 500 ETF TRUST

  $SPY

  —

  Quality

  $19.7M26,424 sh

• ISHARES TR - RUSSELL 2000 ETF

  —

  Quality

  $14.4M47,770 sh
• 

  Invesco Ltd.

  $IVZ

  —

  Quality

  $14.3M67,361 sh

• ISHARES TR - MSCI USA VALUE

  —

  Quality

  $13.8M68,959 sh
• 

  Invesco Ltd.

  $IVZ

  —

  Quality

  $11.5M71,185 sh

• VANECK ETF TRUST - SEMICONDUCTR ETF

  —

  Quality

  $10.9M16,651 sh

Company	Quality	Value	Shares
SPDR S&P 500 ETF TRUST$SPYPUT	—	$56.0M	75,000
VANGUARD INDEX FDS - S&P 500 ETF SHS	—	$47.8M	69,593
VANGUARD INDEX FDS - TOTAL STK MKT	—	$25.7M	69,521
PGIM ETF TR - AAA CLO ETF	—	$25.3M	493,638
SPDR S&P 500 ETF TRUST$SPY	—	$19.7M	26,424
ISHARES TR - RUSSELL 2000 ETF	—	$14.4M	47,770
Invesco Ltd.$IVZ	—	$14.3M	67,361
ISHARES TR - MSCI USA VALUE	—	$13.8M	68,959
Invesco Ltd.$IVZ	—	$11.5M	71,185
VANECK ETF TRUST - SEMICONDUCTR ETF	—	$10.9M	16,651

Showing top 10 of 138 holdings.

Full Holdings — BASSO CAPITAL MANAGEMENT, L.P. (Q2 2026)

All 138 disclosed positions from the latest Form 13F-HR, with quarter-over-quarter share changes and 13F Pro quality scores. Sourced from SEC EDGAR.

#	Ticker	Company	Value	Weight	QoQ	Quality
1	$SPYPUT	SPDR S&P 500 ETF TRUST	$56.0M	—	NEW	—
2	—	VANGUARD INDEX FDS - S&P 500 ETF SHS	$47.8M	11.8%	+27%	—
3	—	VANGUARD INDEX FDS - TOTAL STK MKT	$25.7M	6.3%	+38%	—
4	—	PGIM ETF TR - AAA CLO ETF	$25.3M	6.2%	+190%	—
5	$SPY	SPDR S&P 500 ETF TRUST	$19.7M	4.9%	-1%	—
6	—	ISHARES TR - RUSSELL 2000 ETF	$14.4M	3.5%	+18%	—
7	$IVZ	Invesco Ltd.	$14.3M	3.5%	+39%	—
8	—	ISHARES TR - MSCI USA VALUE	$13.8M	3.4%	NEW	—
9	$IVZ	Invesco Ltd.	$11.5M	2.8%	NEW	—
10	—	VANECK ETF TRUST - SEMICONDUCTR ETF	$10.9M	2.7%	NEW	—
11	—	ISHARES TR - INTL SEL DIV ETF	$10.7M	2.6%	NEW	—
12	$GLD	SPDR GOLD TRUST	$9.8M	2.4%	+11%	—
13	—	ISHARES TR - CORE S&P500 ETF	$9.5M	2.4%	NEW	—
14	—	ISHARES TR - RUS TP200 GR ETF	$8.6M	2.1%	NEW	—
15	—	ISHARES TR - S&P 100 ETF	$8.6M	2.1%	+7701%	—
16	$IVZ	Invesco Ltd.	$8.4M	2.1%	+861%	—
17	—	AMERICAN CENTY ETF TR - INTL SMCP VLU	$8.3M	2.0%	NEW	—
18	$QQQ	INVESCO QQQ TRUST, SERIES 1	$6.8M	1.7%	+645%	—
19	—	SPDR SERIES TRUST - ST STR P500ETF	$6.8M	1.7%	NEW	—
20	—	ISHARES TR - RUSSELL 2000 ETF	$6.6M	—	NEW	—
21	—	ISHARES INC - MSCI EMRG CHN	$6.4M	1.6%	+48%	—
22	—	FUNDX INVT TR - FUNDX ETF	$5.9M	1.4%	NEW	—
23	$IVZ	Invesco Ltd.	$5.3M	1.3%	NEW	—
24	$GOOG	Alphabet Inc.	$4.7M	1.2%	+17%	78.2
25	—	ISHARES INC - MSCI STH KOR ETF	$4.3M	1.1%	+112%	—
26	—	ISHARES TR - MSCI USA MMENTM	$4.3M	1.1%	NEW	—
27	—	DBX ETF TR - XTRACKRS S&P 500	$3.7M	0.9%	NEW	—
28	—	ISHARES TR - CORE 60 BALA ETF	$3.7M	0.9%	NEW	—
29	—	SCHWAB STRATEGIC TR - US BRD MKT ETF	$3.5M	0.9%	+7344%	—
30	—	VANGUARD WORLD FD - MEGA GRWTH IND	$3.3M	0.8%	NEW	—
31	—	FUNDX INVT TR - CONSERVATIVE ETF	$3.2M	0.8%	NEW	—
32	—	ISHARES TR - CORE 40 MODE ETF	$3.1M	0.8%	NEW	—
33	—	SERIES PORTFOLIOS TR - ELDRIDGE BBB B	$3.1M	0.8%	+164%	—
34	—	JANUS DETROIT STR TR - HENDRSON AAA CL	$3.1M	0.8%	+1838%	—
35	$AAPL	Apple Inc.	$3.0M	0.8%	+1552%	76.4
36	—	SCHWAB STRATEGIC TR - FUNDAMENTAL INTL	$3.0M	0.7%	NEW	—
37	—	ISHARES TR - ESG MSCI KLD ETF	$2.9M	0.7%	NEW	—
38	—	ISHARES TR - CORE S&P MCP ETF	$2.8M	0.7%	+194%	—
39	—	ISHARES TR - ISHS 5-10YR INVT	$2.8M	0.7%	NEW	—
40	—	ISHARES TR - MORNINGSTAR GRWT	$2.8M	0.7%	NEW	—
41	—	SCHWAB STRATEGIC TR - US LCAP GR ETF	$2.7M	0.7%	NEW	—
42	—	ISHARES TR - JPMORGAN USD EMG	$2.4M	0.6%	NEW	—
43	—	VANGUARD INDEX FDS - GROWTH ETF	$2.3M	0.6%	NEW	—
44	$IVZ	Invesco Ltd.	$2.2M	0.6%	NEW	—
45	—	ISHARES TR - ESG OPTIMIZED	$2.2M	0.5%	NEW	—
46	—	BLACKROCK ETF TRUST II - ISHARES AAA CLO	$2.2M	0.5%	NEW	—
47	—	SCHWAB STRATEGIC TR - US LRG CAP ETF	$2.1M	0.5%	NEW	—
48	—	ISHARES TR - CORE US AGGBD ET	$1.9M	0.5%	NEW	—
49	—	ISHARES TR - CORE 30 70 ETF	$1.7M	0.4%	NEW	—
50	$JPM	JPMORGAN CHASE & CO	$1.5M	0.4%	+670%	70.7
51	—	VANECK ETF TRUST - AA BB CLO ETF	$1.5M	0.4%	NEW	—
52	$IVZ	Invesco Ltd.	$1.5M	0.4%	NEW	—
53	—	ISHARES TR - ISHS 1-5YR INVS	$1.3M	0.3%	NEW	—
54	—	SPDR SERIES TRUST - SPDR S&P 500 ESG	$1.3M	0.3%	NEW	—
55	—	VANGUARD SCOTTSDALE FDS - VNG RUS1000GRW	$1.3M	0.3%	NEW	—
56	$UNP	UNION PACIFIC CORP	$1.2M	0.3%	NEW	69.7
57	—	SELECT SECTOR SPDR TR - ST STR UTIL ETF	$1.2M	0.3%	+1226%	—
58	—	SPDR SERIES TRUST - ST STR SP BIOT	$1.2M	0.3%	NEW	—
59	—	INVESCO EXCHANGE TRADED FD T - WILDERHIL CLAN	$1.1M	0.3%	NEW	—
60	$MSFT	MICROSOFT CORP	$1.1M	0.3%	+336%	79.8
61	$SLV	iShares Silver Trust	$1.1M	0.3%	-64%	—
62	—	ISHARES TR - MICRO-CAP ETF	$1.1M	0.3%	+289%	—
63	—	FIDELITY COMWLTH TR - NASDAQ COMPSIT	$1.0M	0.3%	NEW	—
64	$IBM	INTERNATIONAL BUSINESS MACHINES CORP	$998,577	0.3%	-9%	70
65	—	VANGUARD WORLD FD - ESG INTL STK ETF	$957,285	0.2%	NEW	—
66	—	FUNDX INVT TR - AGGRESSIVE ETF	$951,709	0.2%	NEW	—
67	$BRK.B	BERKSHIRE HATHAWAY INC	$946,738	0.2%	+445%	73.8
68	—	ISHARES TR - CORE S&P TTL STK	$932,725	0.2%	+71%	—
69	—	PACER FDS TR - US CASH COWS 100	$923,235	0.2%	NEW	—
70	$HD	HOME DEPOT, INC.	$787,182	0.2%	+2526%	60.3
71	$OWL	BLUE OWL CAPITAL INC.	$743,750	0.2%	+750%	48.8
72	—	ISHARES TR - ISHARES SEMICDTR	$725,320	0.2%	+77%	—
73	$CPER	United States Commodity Index Funds Trust	$721,209	0.2%	+28%	—
74	—	INVESCO EXCH TRADED FD TR II - ESG NASDAQ 100	$703,849	0.2%	NEW	—
75	—	MORGAN STANLEY ETF TRUST - CALVE INDEX ETF	$694,384	0.2%	NEW	—
76	—	DIMENSIONAL ETF TRUST - US MKTWIDE VALUE	$649,118	0.2%	+0%	—
77	$RTX	RTX Corp	$647,169	0.2%	NEW	73.2
78	—	ETF SER SOLUTIONS - DEFIA QUANT ETF	$647,013	0.2%	NEW	—
79	$PG	PROCTER & GAMBLE Co	$637,884	0.2%	+4250%	64.6
80	—	J P MORGAN EXCHANGE TRADED F - JPMORGAN DIVER	$634,960	0.2%	NEW	—
81	$BXSL	Blackstone Secured Lending Fund	$615,037	0.1%	+28%	—
82	—	ISHARES TR - RUS 1000 GRW ETF	$614,890	0.1%	NEW	—
83	$IBIT	iShares Bitcoin Trust ETF	$609,973	0.1%	-4%	—
84	—	NUSHARES ETF TR - NUVEEN ESG LRGCP	$578,628	0.1%	NEW	—
85	—	SCHWAB STRATEGIC TR - US DIVIDEND EQ	$556,003	0.1%	+0%	—
86	—	NEW YORK LIFE INVESTMENTS ET - HEDGE MULTI STRA	$524,734	0.1%	NEW	—
87	—	PRINCIPAL EXCHANGE TRADED FD - US MEGA CP ETF	$490,496	0.1%	NEW	—
88	$CVBF	CVB FINANCIAL CORP	$477,632	0.1%	NEW	55.3
89	—	ISHARES TR - CORE DIV GRWTH	$467,624	0.1%	+37%	—
90	—	ISHARES TR - EAFE VALUE ETF	$464,429	0.1%	NEW	—
91	—	ISHARES TR - CALIF MUN BD ETF	$463,137	0.1%	NEW	—
92	—	FIRST TR EXCHANGE-TRADED FD - NAS CLNEDG GREEN	$457,533	0.1%	NEW	—
93	—	ISHARES TR - CORE HIGH DV ETF	$454,101	0.1%	NEW	—
94	—	VANGUARD SPECIALIZED FUNDS - DIV APP ETF	$450,761	0.1%	+982%	—
95	$IVZ	Invesco Ltd.	$443,031	0.1%	NEW	—
96	$FBTC	Fidelity Wise Origin Bitcoin Fund	$426,268	0.1%	-23%	—
97	—	GOLDMAN SACHS ETF TR - ACTIVEBETA US LG	$419,711	0.1%	+0%	—
98	—	VANGUARD INDEX FDS - SMALL CP ETF	$408,474	0.1%	NEW	—
99	$LIN	LINDE PLC	$400,622	0.1%	+30%	—
100	$NVO	NOVO NORDISK A S	$383,520	0.1%	+0%	—
101	$AMZN	AMAZON COM INC	$382,536	0.1%	+17%	68.7
102	$JCI	Johnson Controls International plc	$366,152	0.1%	NEW	—
103	$STUB	StubHub Holdings, Inc.	$364,157	0.1%	+0%	49.3
104	$WHF	WhiteHorse Finance, Inc.	$351,750	0.1%	-13%	—
105	—	PIMCO ETF TR - 0-5 HIGH YIELD	$350,700	0.1%	NEW	—
106	—	BLACKROCK ETF TRUST II - ISHA SH TERM ETF	$345,154	0.1%	NEW	—
107	$BBN	BlackRock Taxable Municipal Bond Trust	$344,519	0.1%	NEW	—
108	$AXP	AMERICAN EXPRESS CO	$338,588	0.1%	NEW	69.4
109	$FSK	FS KKR Capital Corp	$315,000	0.1%	+0%	—
110	$NVDA	NVIDIA CORP	$314,141	0.1%	+533%	85.9
111	$CRMPUT	Salesforce, Inc.	$313,320	—	NEW	77
112	$SPGI	S&P Global Inc.	$305,445	0.1%	NEW	76.1
113	—	DOUBLELINE ETF TRUST - ASSE BA SECS ETF	$304,491	0.1%	+9%	—
114	—	VANGUARD INDEX FDS - VALUE ETF	$297,692	0.1%	+0%	—
115	—	ISHARES TR - CORE 80 20 ETF	$280,913	0.1%	NEW	—
116	—	ISHARES TR - MSCI INTL QUALTY	$279,125	0.1%	NEW	—
117	—	VANGUARD BD INDEX FDS - INTERMED TERM	$278,651	0.1%	NEW	—
118	$FGDL	Franklin Templeton Holdings Trust	$277,364	0.1%	NEW	—
119	$GE	GENERAL ELECTRIC CO	$277,308	0.1%	NEW	73.8
120	$WELL	WELLTOWER INC.	$270,768	0.1%	NEW	59.8
121	$IVZ	Invesco Ltd.	$266,561	0.1%	NEW	—
122	$SCHW	SCHWAB CHARLES CORP	$262,970	0.1%	NEW	79.4
123	—	PIMCO ETF TR - ENHAN SHRT MA AC	$260,291	0.1%	NEW	—
124	$MCD	MCDONALDS CORP	$257,335	0.1%	NEW	69
125	$BAC	BANK OF AMERICA CORP /DE/	$239,316	0.1%	NEW	67.6
126	$TSLA	Tesla, Inc.	$235,536	0.1%	NEW	53.9
127	—	EA SERIES TRUST - FREEDOM 100 EM	$234,446	0.1%	NEW	—
128	—	ISHARES TR - MSCI EAFE MIN VL	$232,081	0.1%	NEW	—
129	—	ISHARES TR - MSCI GBL SUS DEV	$223,577	0.1%	NEW	—
130	$JNJ	JOHNSON & JOHNSON	$222,224	0.1%	+169%	69
131	$CAT	CATERPILLAR INC	$221,499	0.1%	NEW	66.5
132	$GEV	GE Vernova Inc.	$217,349	0.1%	NEW	81.1
133	$CARR	CARRIER GLOBAL Corp	$215,136	0.1%	NEW	56.6
134	—	KRANESHARES TRUST - CSI CHI INTERNET	$211,953	0.1%	NEW	—
135	$BMY	BRISTOL MYERS SQUIBB CO	$210,659	0.1%	+131%	70.4
136	—	ISHARES TR - TRUST ISHARE 0-1	$209,665	0.1%	NEW	—
137	—	ISHARES TR - S&P 500 GRWT ETF	$209,321	0.1%	+0%	—
138	—	ISHARES INC - MSCI MEXICO ETF	$208,573	0.1%	-55%	—