Head of Compliance

0000905148-23-000243.txt : 20230214 0000905148-23-000243.hdr.sgml : 20230214 20230214163855 ACCESSION NUMBER: 0000905148-23-000243 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20221231 FILED AS OF DATE: 20230214 DATE AS OF CHANGE: 20230214 EFFECTIVENESS DATE: 20230214 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BlueCrest Capital Management Ltd CENTRAL INDEX KEY: 0001610880 IRS NUMBER: 000000000 STATE OF INCORPORATION: Y9 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-16345 FILM NUMBER: 23630510 BUSINESS ADDRESS: STREET 1: GROUND FLOOR, HARBOUR REACH STREET 2: LA RUE DE CARTERET CITY: ST HELIER STATE: Y9 ZIP: JE2 4HR BUSINESS PHONE: 44 1534 84 3800 MAIL ADDRESS: STREET 1: GROUND FLOOR, HARBOUR REACH STREET 2: LA RUE DE CARTERET CITY: ST HELIER STATE: Y9 ZIP: JE2 4HR 13F-HR 1 primary_doc.xml X0202 13F-HR LIVE 0001610880 XXXXXXXX 12-31-2022 12-31-2022 false BlueCrest Capital Management Ltd

GROUND FLOOR, HARBOUR REACH LA RUE DE CARTERET ST HELIER Y9 JE2 4HR

13F HOLDINGS REPORT 028-16345 000148823 N Margot Marshall Head of Compliance 44-20-3180-3040 /s/ Margot Marshall London X0 02-14-2023 0 159 3740780920 INFORMATION TABLE 2 informationtable.xml 8X8 INC NEW NOTE 4.000% 2/0 282914AE0 5368773 6500000 PRN OTR 0 0 6500000 AECOM COM 00766T100 BBG001SKTTF1 7835982 92264 SH OTR 0 92264 0 AES CORP UNIT 02/15/2024 00130H204 8157638 79969 SH OTR 0 79969 0 AGNC INVT CORP COM 00123Q104 BBG001T074G2 4815451 465261 SH OTR 0 465261 0 ALGONQUIN PWR UTILS CORP UNIT 06/15/2024 015857873 7941477 332697 SH OTR 0 332697 0 ALPHABET INC CAP STK CL A 02079K305 BBG009S39JY5 7584163 85959 SH OTR 0 85959 0 ALTC ACQUISITION CORP COM CL A 02156V109 BBG0112CBMQ8 10912000 1100000 SH OTR 0 1100000 0 AMERICAN AIRLINES GROUP INC NOTE 6.500% 7/0 02376RAF9 16924560 16000000 PRN OTR 0 0 16000000 AMERICAN AIRLS GROUP INC COM 02376R102 BBG005P7Q907 1609080 126500 SH Put OTR 0 126500 0 AMERICAN ELEC PWR CO INC COM 025537101 BBG001S5NFD2 3156328 33242 SH OTR 0 33242 0 AMYRIS INC NOTE 1.500%11/1 03236MAJ0 4149514 12820000 PRN OTR 0 0 12820000 ANNALY CAPITAL MANAGEMENT IN COM NEW 035710839 BBG001S8J4S0 3162000 150000 SH OTR 0 150000 0 ANZU SPECIAL ACQUISITIN CORP *W EXP 01/27/202 03737A119 7600 20000000 SH OTR 0 20000000 0 ANZU SPECIAL ACQUISITIN CORP COM CL A 03737A101 BBG00Z6RQKZ5 3006000 300000 SH OTR 0 300000 0 APPLE INC COM 037833100 BBG001S5N8V8 259860000 2000000 SH Put OTR 0 2000000 0 ARRAY TECHNOLOGIES INC NOTE 1.000%12/0 04271TAB6 11049200 10876000 PRN OTR 0 0 10876000 ARYA SCIENCES ACQUISITN CORP CLASS A ORD SHS G31658100 BBG011LN0WM7 2522500 250000 SH OTR 0 250000 0 AXON ENTERPRISE INC COM 05464C101 BBG001SB2HG5 829650 5000 SH OTR 0 5000 0 B. RILEY FINANCIAL INC COM 05580M108 BBG001SV8TK4 1026000 30000 SH OTR 0 30000 0 BECTON DICKINSON & CO 6% DP CONV PFD B 075887406 778944 15554 SH OTR 0 15554 0 BIOMX INC *W EXP 10/28/202 09090D111 1612 8060500 SH OTR 0 8060500 0 BIOTE CORP *W EXP 05/26/202 090683111 76424 25474500 SH OTR 0 25474500 0 BOOKING HOLDINGS INC COM 09857L108 BBG001S89N72 1406665 698 SH OTR 0 698 0 BOSTON SCIENTIFIC CORP 5.50% CNV PFD A 101137206 7924302 69015 SH OTR 0 69015 0 BROADMARK RLTY CAP INC *W EXP 11/15/202 11135B118 18363 1530282300 SH OTR 0 1530282300 0 BROOGE ENERGY LTD *W EXP 12/20/202 G1611B115 2288081 1144040300 SH OTR 0 1144040300 0 BROOGE ENERGY LTD SHS G1611B107 BBG00P35N4N0 1203750 225000 SH OTR 0 225000 0 BROOKDALE SR LIVING INC UNIT 11/15/2023 112463302 2128259 48118 SH OTR 0 48118 0 CARNIVAL CORP COMMON STOCK 143658300 BBG001S5PL01 403000 50000 SH Call OTR 0 50000 0 CC NEUBERGER PRINCIPAL HOLDN *W EXP 02/05/202 G1992N126 7560 15000000 SH OTR 0 15000000 0 CENTURY ALUM CO NOTE 2.750% 5/0 156431AQ1 3952847 5473000 PRN OTR 0 0 5473000 CERIDIAN HCM HLDG INC NOTE 0.250% 3/1 15677JAD0 1806602 2055000 PRN OTR 0 0 2055000 CHART INDS INC 6.75DP CNV PFD B 16115Q407 1254100 24765 SH OTR 0 24765 0 CHURCHILL CAPITAL CORP VII *W EXP 02/29/202 17144M110 5681 11500000 SH OTR 0 11500000 0 COHERENT CORP 6% CONV PFD A 19247G206 6791912 42476 SH OTR 0 42476 0 COMPutE HEALTH ACQUISITIN CO *W EXP 01/25/202 204833115 1930 1716700 SH OTR 0 1716700 0 CORSAIR PARTNERING CORP UNIT 99/99/9999 G2540H124 BBG00ZKY2N66 10868000 1100000 SH OTR 0 1100000 0 CRITEO S A SPONS ADS 226718104 BBG005938P71 58895600 2260000 SH OTR 0 2260000 0 CROWN PROPTECH ACQUISITIONS SHS CL A G25741102 BBG00Z17K8Q7 8309530 821912 SH OTR 0 821912 0 DANAHER CORPORATION COM 235851102 BBG001S5QGT0 5340516 20121 SH OTR 0 20121 0 DBX ETF TR XTRACK HRVST CSI 233051879 BBG005HJL932 30822000 1100000 SH OTR 0 1100000 0 DBX ETF TR XTRACK HRVST CSI 233051879 BBG005HJL932 16812000 600000 SH Call OTR 0 600000 0 DBX ETF TR XTRACK USD HIGH 233051432 BBG00FGWY4G5 10180589 302005 SH OTR 0 302005 0 DIGITAL MEDIA SOLUTIONS INC *W EXP 07/15/202 25401G114 162722 154092700 SH OTR 0 154092700 0 DISNEY WALT CO COM 254687106 BBG001S5QHF3 1157242 13320 SH OTR 0 13320 0 DMY TECHNOLOGY GROUP INC VI *W EXP 99/99/999 233247113 7663 7298000 SH OTR 0 7298000 0 DMY TECHNOLOGY GROUP INC VI CL A COM 233247105 BBG01252TR03 2112510 210200 SH OTR 0 210200 0 DRAGONEER GROWTH OPT CORP II CL A SHS G28315102 BBG00ZHSJQL1 7888000 800000 SH OTR 0 800000 0 ELANCO ANIMAL HEALTH INC UNIT 02/01/2023 28414H202 782762 40080 SH OTR 0 40080 0 EPR PPTYS PFD C CV 5.75% 26884U208 853305 47485 SH OTR 0 47485 0 ESPERION THERAPEUTICS INC NE NOTE 4.000%11/1 29664WAB1 1844962 3350000 PRN OTR 0 0 3350000 FIRST TR EXCHANGE-TRADED FD FST LOW OPPT EFT 33739Q200 BBG007GFNV45 2116430 44641 SH OTR 0 44641 0 FLEXSHARES TR MORNSTAR UPSTR 33939L407 BBG00243P8S9 24984817 574760 SH OTR 0 574760 0 FOXO TECHNOLOGIES INC *W EXP 08/01/202 351471115 85860 319180900 SH OTR 0 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464287184 BBG001SMDNB1 5473220 193400 SH OTR 0 193400 0 ISHARES TR CHINA LG-CAP ETF 464287184 BBG001SMDNB1 55468000 1960000 SH Call OTR 0 1960000 0 ISHARES TR CHINA LG-CAP ETF 464287184 BBG001SMDNB1 990500 35000 SH Put OTR 0 35000 0 ISHARES TR FLTG RATE NT ETF 46429B655 BBG001V1QYX1 46109326 916140 SH OTR 0 916140 0 ISHARES TR IBOXX HI YD ETF 464288513 BBG001ST0ZQ7 11780800 160000 SH Call OTR 0 160000 0 ISHARES TR IBOXX HI YD ETF 464288513 BBG001ST0ZQ7 5139374 69800 SH OTR 0 69800 0 ISHARES TR IBOXX HI YD ETF 464288513 BBG001ST0ZQ7 70316650 955000 SH Put OTR 0 955000 0 ISHARES TR IBOXX INV CP ETF 464287242 BBG001S60QR6 11394874 108080 SH OTR 0 108080 0 ISHARES TR IBOXX INV CP ETF 464287242 BBG001S60QR6 100685650 955000 SH Put OTR 0 955000 0 ISHARES TR JPMORGAN USD EMG 464288281 BBG001SQS9Y2 35950750 425000 SH Put OTR 0 425000 0 ISHARES TR JPMORGAN USD EMG 464288281 BBG001SQS9Y2 21147500 250000 SH Call OTR 0 250000 0 ISHARES TR JPMORGAN USD EMG 464288281 BBG001SQS9Y2 27854134 329284 SH OTR 0 329284 0 ISHARES TR MSCI EAFE ETF 464287465 BBG001SG09V7 8224692 125300 SH OTR 0 125300 0 ISHARES TR MSCI EAFE ETF 464287465 BBG001SG09V7 33804600 515000 SH Put OTR 0 515000 0 ISHARES TR MSCI EMG MKT ETF 464287234 BBG001SK77D5 49270000 1300000 SH Call OTR 0 1300000 0 ISHARES TR MSCI EMG MKT ETF 464287234 BBG001SK77D5 1125630 29700 SH OTR 0 29700 0 ISHARES TR MSCI UK ETF NEW 46435G334 BBG001S8SYX8 613200 20000 SH OTR 0 20000 0 ISHARES TR NATIONAL MUN ETF 464288414 BBG001SZV978 10010577 94869 SH OTR 0 94869 0 ISHARES TR RUSSELL 2000 ETF 464287655 BBG001SFC7Y7 17436000 100000 SH Put OTR 0 100000 0 ISHARES TR RUSSELL 2000 ETF 464287655 BBG001SFC7Y7 523080 3000 SH OTR 0 3000 0 JACK CREEK INVESTMENT CORP CL A SHS G4989X115 BBG00ZMHN718 7597500 750000 SH OTR 0 750000 0 KAIROS ACQUISITION CORP *W EXP 11/30/202 G52110106 30 30000000 SH OTR 0 30000000 0 KAIROS ACQUISITION CORP CL A SHS G52110114 BBG00YZ69S57 4936750 490000 SH OTR 0 490000 0 KHOSLA VENTURES ACQUISITION CL A 482504107 BBG00Z8MS335 2740508 274600 SH OTR 0 274600 0 KHOSLA VENTURES ACQUT CO III COM CL A 482506102 BBG00Z8MT2C6 4977500 500000 SH OTR 0 500000 0 KKR & CO INC 6% MCONV PFD C 48251W401 803618 14037 SH OTR 0 14037 0 KRANESHARES TR CSI CHI INTERNET 500767306 BBG004XB9HZ5 35229327 1166534 SH OTR 0 1166534 0 LANNETT CO INC NOTE 4.500%10/0 51602UAC2 436150 2975000 PRN OTR 0 0 2975000 LDH GROWTH CORP I UNIT 03/17/2026 G54094118 BBG00Z3K3X08 2014000 200000 SH OTR 0 200000 0 LEAD EDGE GROWTH OPRTUNTS LT *W EXP 04/01/202 G54085116 1875 3750000 SH OTR 0 3750000 0 LOCKHEED MARTIN CORP COM 539830109 BBG001S7PS57 6810860 14000 SH Put OTR 0 14000 0 MFA FINL INC COM 55272X607 BBG001S86YS8 1646526 167160 SH OTR 0 167160 0 MR COOPER GROUP INC COM 62482R107 BBG002V09956 20964313 522410 SH OTR 0 522410 0 NEXTERA ENERGY INC UNIT 03/01/2023 65339F770 23128326 456180 SH OTR 0 456180 0 NEXTERA ENERGY INC UNIT 09/01/2023 65339F739 1267198 25098 SH OTR 0 25098 0 NEXTERA ENERGY INC UNIT 09/01/2025 65339F713 314194 6445 SH OTR 0 6445 0 NISOURCE INC UNIT 12/01/2023 65473P121 21206506 205370 SH OTR 0 205370 0 NOBLE CORP PLC ORD SHS A G65431127 BBG018KBK3H7 1142726 30303 SH OTR 0 30303 0 NORTH ATLANTIC ACQUISITN COR *W EXP 10/20/202 G66139125 29623 144500000 SH OTR 0 144500000 0 PARAMOUNT GLOBAL 5.75% CONV PFD A 92556H305 533546 21540 SH OTR 0 21540 0 PENNYMAC FINL SVCS INC NEW COM 70932M107 BBG00LMYX132 4951631 87392 SH OTR 0 87392 0 PETROLEO BRASILEIRO SA PETRO SP ADR NON VTG 71654V101 BBG001SFJFD5 1781655 191782 SH OTR 0 191782 0 PG&E CORP UNIT 08/16/2023 69331C140 13060355 90546 SH OTR 0 90546 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 603581 5884 SH OTR 0 5884 0 RELIANCE STEEL & ALUMINUM CO COM 759509102 BBG001S81M27 6603998 32622 SH OTR 0 32622 0 RITHM CAPITAL CORP COM NEW 64828T201 BBG003T1GM12 13123561 1606311 SH OTR 0 1606311 0 RMG ACQUISITION CORP III *W EXP 02/08/202 G76088122 185 615500 SH OTR 0 615500 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 BBG001S7T1S7 267658200 3060000 SH Call OTR 0 3060000 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 BBG001S7T1S7 442108368 5054400 SH Put OTR 0 5054400 0 SELECT SECTOR SPDR TR FINANCIAL 81369Y605 BBG001S7T223 3009600 88000 SH OTR 0 88000 0 SELECT SECTOR SPDR TR SBI INT-INDS 81369Y704 BBG001S7T232 19642000 200000 SH Put OTR 0 200000 0 SERVICE CORP INTL COM 817565104 BBG001S5WBJ5 5762335 83343 SH OTR 0 83343 0 SHAW COMMUNICATIONS INC CL B CONV 82028K200 BBG001S5W3K1 10835670 376500 SH OTR 0 376500 0 SITIO ROYALTIES CORP *W EXP 08/23/202 82983N116 353667 307336400 SH OTR 0 307336400 0 SOUTH JERSEY INDS INC UNIT 04/01/2024 838518306 4856109 70358 SH OTR 0 70358 0 SPDR GOLD TR GOLD SHS 78463V107 BBG001SCPX28 331137280 1952000 SH Call OTR 0 1952000 0 SPDR GOLD TR GOLD SHS 78463V107 BBG001SCPX28 155220600 915000 SH Put OTR 0 915000 0 SPDR INDEX SHS FDS EURO STOXX 50 78463X202 BBG001SLBK12 5563125 143750 SH OTR 0 143750 0 SPDR INDEX SHS FDS EURO STOXX 50 78463X202 BBG001SLBK12 34056000 880000 SH Put OTR 0 880000 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 BBG001S72SM3 2275459 5950 SH OTR 0 5950 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 BBG001S72SM3 63483380 166000 SH Put OTR 0 166000 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 BBG001S72SM3 272749076 713200 SH Call OTR 0 713200 0 SPDR SER TR NUVEEN BLMBRG MU 78468R721 BBG001SRSPW6 7994449 175240 SH OTR 0 175240 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 2126075 2500000 PRN OTR 0 0 2500000 SUNNOVA ENERGY INTL INC. 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