0000905148-11-001528.txt : 20110815 0000905148-11-001528.hdr.sgml : 20110815 20110815170403 ACCESSION NUMBER: 0000905148-11-001528 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110630 FILED AS OF DATE: 20110815 DATE AS OF CHANGE: 20110815 EFFECTIVENESS DATE: 20110815 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BlueCrest Capital Management LLP CENTRAL INDEX KEY: 0001363542 IRS NUMBER: 000000000 STATE OF INCORPORATION: X0 FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11935 FILM NUMBER: 111037530 BUSINESS ADDRESS: STREET 1: 40 GROSVENOR PLACE CITY: LONDON STATE: X0 ZIP: SW1X 7AW BUSINESS PHONE: 0044 207 664 1950 MAIL ADDRESS: STREET 1: 40 GROSVENOR PLACE CITY: LONDON STATE: X0 ZIP: SW1X 7AW FORMER COMPANY: FORMER CONFORMED NAME: BlueCrest Capital Management LTD DATE OF NAME CHANGE: 20060519 13F-HR 1 efc11-457_fm13fhr.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2011 ------------- Check here if Amendment [ ]: Amendment Number: ----------------------- This Amendment (Check only one): | | is a restatement | | adds new holdings entries Institutional Investment Manager Filing this Report: Name: BLUECREST CAPITAL MANAGEMENT LLP Address: Level 6, 29 The High Street St Peter Port GYI 2JX, Guernsey Form 13F File Number: 028-11935 --------- The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Charles Olver Title: Group Head of Compliance Phone: + 44 20 3180 3040 Signature, Place and Date of Signing: /s/ Charles Olver London, UK August 15, 2011 ------------------------------- ---------------------- ----------------- [Signature] [City, State] [Date] Report Type (Check only one): |X| 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) | | 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) | | 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 ------------------- Form 13F Information Table Entry Total: 96 ------------------- Form 13F Information Table Value Total: $957,793 ------------------- (in thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. None
BLUECREST CAPITAL MANAGEMENT LLP FORM 13F INFORMATION TABLE Quarter Ended June 30, 2011 ------------------------------------------------------------------------------------------------------------------------------ VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE ------------------------------------------------------------------------------------------------------------------------------- A123 SYS INC NOTE 3.750% 4/1 03739TAA6 920 1,000,000 PRN SOLE NONE AES CORP COM 00130H105 501 39,293 SH SOLE 39,293 AETNA INC NEW COM 00817Y108 2,205 50,000 SH PUT SOLE 50,000 AETNA INC NEW COM 00817Y108 4,167 94,500 SH SOLE 94,500 ALCOA INC COM 013817101 436 27,500 SH CALL SOLE 27,500 ALTERA CORP COM 021441100 3,118 67,277 SH SOLE 67,277 AMERICAN INTL GROUP INC COM NEW 026874784 21,143 721,100 SH CALL SOLE 721,100 AMERIPRISE FINL INC COM 03076C106 1,829 31,704 SH SOLE 31,704 ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 290 6,900 SH SOLE 6,900 APPLE INC COM 037833100 1,007 3,000 SH SOLE 3,000 BAKER HUGHES INC COM 057224107 4,451 61,343 SH SOLE 61,343 BANK OF NEW YORK MELLON CORP COM 064058100 3,250 126,841 SH SOLE 126,841 BARCLAYS BK PLC IPATH S&P MT ETN 06740C519 6,790 134,800 SH SOLE 134,800 BARCLAYS BK PLC IPTH S&P VIX NEW 06740C261 882 41,710 SH SOLE 41,710 BB&T CORP COM 054937107 405 15,100 SH SOLE 15,100 BED BATH & BEYOND INC COM 075896100 513 8,797 SH SOLE 8,797 BEST BUY INC COM 086516101 1,973 62,819 SH SOLE 62,819 BRISTOL MYERS SQUIBB CO COM 110122108 3,060 105,665 SH SOLE 105,665 CAMECO CORP COM 13321L108 31,620 1,200,000 SH CALL SOLE 1,200,000 CB RICHARD ELLIS GROUP INC CL A 12497T101 982 39,094 SH SOLE 39,094 CISCO SYS INC COM 17275R102 16,859 1,080,000 SH CALL SOLE 1,080,000 CLOROX CO DEL COM 189054109 568 8,427 SH SOLE 8,427 CME GROUP INC COM 12572Q105 1,750 6,000 SH SOLE 6,000 COMCAST CORP NEW CL A 20030N101 5,068 200,000 SH PUT SOLE 200,000 COOPER INDUSTRIES PLC SHS G24140108 2,283 38,261 SH SOLE 38,261 CSX CORP COM 126408103 703 26,800 SH SOLE 26,800 CUMMINS INC COM 231021106 636 6,143 SH SOLE 6,143 D R HORTON INC COM 23331A109 1,096 95,099 SH SOLE 95,099 DELL INC COM 24702R101 8,335 500,000 SH PUT SOLE 500,000 DENDREON CORP NOTE 2.875% 1/1 24823QAC1 4,480 4,000,000 PRN SOLE NONE DISNEY WALT CO COM DISNEY 254687106 2,261 57,919 SH SOLE 57,919 EASTMAN KODAK CO COM 277461109 132 37,000 SH PUT SOLE 37,000 EASTMAN KODAK CO COM 277461109 1,137 317,475 SH SOLE 317,475 EASTMAN KODAK CO NOTE 7.000% 4/0 277461BJ7 2,688 2,795,000 PRN SOLE NONE EBAY INC COM 278642103 2,956 91,614 SH SOLE 91,614 ENERNOC INC COM 292764107 416 26,447 SH SOLE 26,447 EQUITY RESIDENTIAL SH BEN INT 29476L107 1,010 16,830 SH SOLE 16,830 FOSTER WHEELER AG COM H27178104 1,337 44,000 SH SOLE 44,000 GENERAL MTRS CO JR PFD CNV SRB 37045V209 2,716 55,719 SH SOLE 55,719 GENWORTH FINL INC COM CL A 37247D106 1,741 169,403 SH SOLE 169,403 GLOBAL X FDS SILVER MNR ETF 37950E853 19,424 820,271 SH SOLE 820,271 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 2,225 40,000 SH SOLE 40,000 GOOGLE INC CL A 38259P508 15,191 30,000 SH CALL SOLE 30,000 HALLIBURTON CO COM 406216101 248 4,854 SH SOLE 4,854 HEALTH CARE REIT INC DEBT 4.750% 7/1 42217KAQ9 17,884 15,585,000 PRN SOLE NONE HESS CORP COM 42809H107 1,460 19,527 SH SOLE 19,527 INTL PAPER CO COM 460146103 627 21,029 SH SOLE 21,029 ISHARES SILVER TRUST ISHARES 46428Q109 20,304 600,000 SH CALL SOLE 600,000 ISHARES SILVER TRUST ISHARES 46428Q109 40,608 1,200,000 SH PUT SOLE 1,200,000 ISHARES SILVER TRUST ISHARES 46428Q109 11,648 344,200 SH SOLE 344,200 ISHARES TR S&P GLB100INDX 464287572 23,098 355,299 SH SOLE 355,299 ISTAR FINL INC COM 45031U101 1,825 225,000 SH SOLE 225,000 JUNIPER NETWORKS INC COM 48203R104 630 20,000 SH CALL SOLE 20,000 KEYCORP NEW COM 493267108 195 23,375 SH SOLE 23,375 KOHLS CORP COM 500255104 1,446 28,917 SH SOLE 28,917 LOUISIANA PAC CORP COM 546347105 5,556 682,500 SH SOLE 682,500 MARKET VECTORS ETF TR GOLD MINER ETF 57060U100 218 4,000 SH SOLE 4,000 MARKET VECTORS ETF TR GOLD MINER ETF 57060U100 38,213 700,000 SH CALL SOLE 700,000 MARKET VECTORS ETF TR GOLD MINER ETF 57060U100 27,295 500,000 SH PUT SOLE 500,000 MASCO CORP COM 574599106 2,261 187,929 SH SOLE 187,929 MCKESSON CORP COM 58155Q103 837 10,000 SH SOLE 10,000 MEDTRONIC INC COM 585055106 1,394 36,176 SH SOLE 36,176 MONSANTO CO NEW COM 61166W101 2,907 40,071 SH SOLE 40,071 MORGAN STANLEY COM NEW 617446448 2,991 130,000 SH SOLE 130,000 MORGAN STANLEY COM NEW 617446448 2,991 130,000 SH PUT SOLE 130,000 NAUTILUS INC COM 63910B102 2,559 1,279,663 SH SOLE 1,279,663 NUCOR CORP COM 670346105 2,679 65,000 SH PUT SOLE 65,000 NUCOR CORP COM 670346105 2,366 57,400 SH SOLE 57,400 NVIDIA CORP COM 67066G104 4,888 306,715 SH SOLE 306,715 NXP SEMICONDUCTORS N V COM N6596X109 12,664 473,776 SH SOLE 473,776 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 2,510 2,500,000 PRN SOLE NONE PENNEY J C INC COM 708160106 611 17,700 SH SOLE 17,700 PG&E CORP COM 69331C108 1,470 34,965 SH SOLE 34,965 PPL CORP COM 69351T106 475 17,051 SH SOLE 17,051 QUALCOMM INC COM 747525103 48,272 850,000 SH CALL SOLE 850,000 QUALCOMM INC COM 747525103 27,259 480,000 SH SOLE 480,000 REYNOLDS AMERICAN INC COM 761713106 330 8,900 SH SOLE 8,900 SELECT SECTOR SPDR TR SBI INT-TECH 81369Y803 20,560 800,000 SH CALL SOLE 800,000 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 307,000 20,000,000 SH PUT SOLE 20,000,000 SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 4,222 105,000 SH SOLE 105,000 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 26,373 350,000 SH CALL SOLE 350,000 SEMICONDUCTOR HLDRS TR DEP RCPT 816636203 1,789 52,500 SH PUT SOLE 52,500 SOLAZYME INC COM 83415T101 6,443 280,480 SH SOLE 280,480 SPDR GOLD TRUST GOLD SHS 78463V107 35,040 240,000 SH PUT SOLE 240,000 SPDR GOLD TRUST GOLD SHS 78463V107 14,308 98,000 SH SOLE 98,000 SPRINT NEXTEL CORP COM SER 1 852061100 377 70,000 SH PUT SOLE 70,000 STRYKER CORP COM 863667101 1,734 29,550 SH SOLE 29,550 TJX COS INC NEW COM 872540109 1,797 34,200 SH SOLE 34,200 UNISYS CORP PFD SER A 6.25% 909214405 393 5,000 SH SOLE 5,000 UNITED STATES OIL FUND LP UNITS 91232N108 29,792 800,000 SH CALL SOLE 800,000 VALERO ENERGY CORP NEW COM 91913Y100 1,907 74,570 SH SOLE 74,570 VERISIGN INC COM 92343E102 2,095 62,607 SH SOLE 62,607 VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 2,927 2,250,000 PRN SOLE NONE VULCAN MATLS CO COM 929160109 520 13,491 SH SOLE 13,491 WISDOMTREE TRUST INDIA ERNGS FD 97717W422 1,058 44,192 SH SOLE 44,192 YAHOO INC COM 984332106 4,185 278,242 SH SOLE 278,242