0000905148-11-001946.txt : 20111114
0000905148-11-001946.hdr.sgml : 20111111
20111114122937
ACCESSION NUMBER: 0000905148-11-001946
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20110930
FILED AS OF DATE: 20111114
DATE AS OF CHANGE: 20111114
EFFECTIVENESS DATE: 20111114
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: 111199905
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
efc11-634_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: September 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 November 14, 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: 94
-------------------
Form 13F Information Table Value Total: $715,227
-------------------
(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 September 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 756 1,000,000 PRN SOLE NONE
AES CORP COM 00130H105 310 31,800 SH SOLE 31,800
AGILENT TECHNOLOGIES INC COM 00846U101 2,556 81,800 SH SOLE 81,800
ALTERA CORP COM 021441100 2,794 88,600 SH SOLE 88,600
AMERICAN INTL GROUP INC COM NEW 026874784 463 21,100 SH CALL SOLE 21,100
ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 285 6,900 SH SOLE 6,900
APPLE INC COM 037833100 763 2,000 SH SOLE 2,000
APPLIED MATLS INC COM 038222105 186 18,000 SH SOLE 18,000
BAKER HUGHES INC COM 057224107 3,941 85,400 SH SOLE 85,400
BANK OF AMERICA CORPORATION COM 060505104 3,672 600,000 SH PUT SOLE 600,000
BANK OF AMERICA CORPORATION COM 060505104 27,540 4,500,000 SH CALL SOLE 4,500,000
BANK OF NEW YORK MELLON CORP COM 064058100 1,798 96,700 SH SOLE 96,700
BARCLAYS BK PLC IPATH S&P MT ETN 06740C519 6,193 84,600 SH SOLE 84,600
BB&T CORP COM 054937107 1,088 51,000 SH SOLE 51,000
BEST BUY INC COM 086516101 471 20,200 SH SOLE 20,200
BIOGEN IDEC INC COM 09062X103 885 9,500 SH SOLE 9,500
CAMECO CORP COM 13321L108 21,984 1,200,000 SH CALL SOLE 1,200,000
CAPITAL ONE FINL CORP COM 14040H105 935 23,600 SH SOLE 23,600
CATERPILLAR INC DEL COM 149123101 33,228 450,000 SH CALL SOLE 450,000
CELGENE CORP COM 151020104 1,319 21,300 SH SOLE 21,300
CIGNA CORP COM 125509109 596 14,200 SH SOLE 14,200
CISCO SYS INC COM 17275R102 310 20,000 SH SOLE 20,000
CISCO SYS INC COM 17275R102 15,500 1,000,000 SH CALL SOLE 1,000,000
CITIGROUP INC COM NEW 172967424 7,941 310,000 SH CALL SOLE 310,000
CLIFFS NATURAL RESOURCES INC COM 18683K101 9,804 191,600 SH SOLE 191,600
CME GROUP INC COM 12572Q105 1,478 6,000 SH SOLE 6,000
CORNING INC COM 219350105 6,798 550,000 SH CALL SOLE 550,000
CUMMINS INC COM 231021106 5,512 67,500 SH SOLE 67,500
D R HORTON INC COM 23331A109 243 26,900 SH SOLE 26,900
DELL INC COM 24702R101 4,242 300,000 SH PUT SOLE 300,000
DENDREON CORP NOTE 2.875% 1/1 24823QAC1 3,034 4,000,000 PRN SOLE NONE
DISCOVER FINL SVCS COM 254709108 491 21,400 SH SOLE 21,400
DISNEY WALT CO COM DISNEY 254687106 410 13,600 SH SOLE 13,600
DU PONT E I DE NEMOURS & CO COM 263534109 2,174 54,400 SH SOLE 54,400
EASTMAN KODAK CO COM 277461109 16 20,600 SH PUT SOLE 20,600
EASTMAN KODAK CO NOTE 7.000% 4/0 277461BJ7 410 1,000,000 PRN SOLE NONE
ENERNOC INC COM 292764107 238 26,447 SH SOLE 26,447
EQUITY RESIDENTIAL SH BEN INT 29476L107 534 10,300 SH SOLE 10,300
GENERAL MTRS CO JR PFD CNV SRB 37045V209 1,955 55,719 SH SOLE 55,719
GLOBAL X FDS SILVER MNR ETF 37950E853 13,743 660,093 SH SOLE 660,093
GOODYEAR TIRE & RUBR CO PFD CONV 382550309 1,558 40,000 SH SOLE 40,000
HALLIBURTON CO COM 406216101 8,167 267,600 SH SOLE 267,600
HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 16,842 15,585,000 PRN SOLE NONE
ISHARES SILVER TRUST ISHARES 46428Q109 2,333 80,700 SH SOLE 80,700
ISHARES SILVER TRUST ISHARES 46428Q109 20,228 699,700 SH CALL SOLE 699,700
ISHARES SILVER TRUST ISHARES 46428Q109 23,128 800,000 SH PUT SOLE 800,000
ISHARES TR S&P GLB100INDX 464287572 14,838 276,720 SH SOLE 276,720
KEYCORP NEW COM 493267108 1,912 322,400 SH SOLE 322,400
L-3 COMMUNICATIONS HLDGS INC COM 502424104 242 3,900 SH SOLE 3,900
LABORATORY CORP AMER HLDGS COM NEW 50540R409 7,905 100,000 SH CALL SOLE 100,000
LOCKHEED MARTIN CORP COM 539830109 1,257 17,300 SH SOLE 17,300
LOUISIANA PAC CORP COM 546347105 3,672 720,000 SH SOLE 720,000
MARATHON OIL CORP COM 565849106 3,805 176,300 SH SOLE 176,300
MARKET VECTORS ETF TR JR GOLD MINERS E 57060U589 4,248 150,915 SH SOLE 150,915
MARKET VECTORS ETF TR GOLD MINER ETF 57060U100 22,017 398,931 SH SOLE 398,931
MARKET VECTORS ETF TR GOLD MINER ETF 57060U100 27,612 500,300 SH PUT SOLE 500,300
MASCO CORP COM 574599106 105 14,700 SH SOLE 14,700
METLIFE INC COM 59156R108 4,073 145,400 SH SOLE 145,400
MONSANTO CO NEW COM 61166W101 1,225 20,400 SH SOLE 20,400
NAUTILUS INC COM 63910B102 1,919 1,279,663 SH SOLE 1,279,663
NVIDIA CORP COM 67066G104 9,399 751,300 SH SOLE 751,300
NXP SEMICONDUCTORS N V COM N6596X109 6,690 473,776 SH SOLE 473,776
OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 2,342 2,500,000 PRN SOLE NONE
PPL CORP COM 69351T106 300 10,500 SH SOLE 10,500
PROSHARES TR PSHS ULSHT 7-10Y 74347R313 213 6,760 SH SOLE 6,760
RAMBUS INC DEL COM 750917106 3,080 220,000 SH CALL SOLE 220,000
ROCKWELL AUTOMATION INC COM 773903109 706 12,600 SH SOLE 12,600
SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 1,903 54,600 SH SOLE 54,600
SELECT SECTOR SPDR TR TECHNOLOGY 81369Y803 1,645 69,700 SH SOLE 69,700
SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 5,851 100,000 SH PUT SOLE 100,000
SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 10,458 300,000 SH PUT SOLE 300,000
SELECT SECTOR SPDR TR SBI MATERIALS 81369Y100 8,807 300,000 SH CALL SOLE 300,000
SELECT SECTOR SPDR TR TECHNOLOGY 81369Y803 9,440 400,000 SH PUT SOLE 400,000
SOLAZYME INC COM 83415T101 2,695 280,480 SH SOLE 280,480
SONY CORP ADR NEW 835699307 283 14,903 SH SOLE 14,903
SONY CORP ADR NEW 835699307 19,000 1,000,000 SH CALL SOLE 1,000,000
SOUTHERN CO COM 842587107 648 15,300 SH SOLE 15,300
SPDR GOLD TRUST GOLD SHS 78463V107 107,844 682,300 SH SOLE 682,300
SPDR GOLD TRUST GOLD SHS 78463V107 117,375 742,600 SH PUT SOLE 742,600
SPDR SERIES TRUST S&P RETAIL ETF 78464A714 1,063 23,000 SH SOLE 23,000
SPDR SERIES TRUST S&P RETAIL ETF 78464A714 9,244 200,000 SH PUT SOLE 200,000
SPDR SERIES TRUST S&P RETAIL ETF 78464A714 13,866 300,000 SH PUT SOLE 300,000
SPRINT NEXTEL CORP COM SER 1 852061100 213 70,000 SH PUT SOLE 70,000
ST JUDE MED INC COM 790849103 3,377 93,300 SH SOLE 93,300
SUNOCO INC COM 86764P109 3,600 116,100 SH SOLE 116,100
TIDEWATER INC COM 886423102 627 14,900 SH SOLE 14,900
TIFFANY & CO NEW COM 886547108 2,402 39,500 SH SOLE 39,500
TOTAL S A SPONSORED ADR 89151E109 658 15,000 SH SOLE 15,000
UNISYS CORP PFD SER A 6.25% 909214405 266 5,000 SH SOLE 5,000
VALERO ENERGY CORP NEW COM 91913Y100 3,366 189,300 SH SOLE 189,300
VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 2,689 2,250,000 PRN SOLE NONE
WHIRLPOOL CORP COM 963320106 1,198 24,000 SH SOLE 24,000
WYNN RESORTS LTD COM 983134107 5,443 47,300 SH SOLE 47,300
YAHOO INC COM 984332106 4,854 368,600 SH SOLE 368,600