13F-HR 1 efc12-458_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: March 31, 2012 -------------- 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: BlueCrest House, Glategny Esplanade, St Peter Port Guernsey, GY1 1WR 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: Margot Marshall Title: Head of Compliance Phone: + 44 20 3180 3040 Signature, Place and Date of Signing: /s/ Margot Marshall London, UK May 15, 2012 ------------------------------- --------------------- ----------------- [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: 93 ------------------- Form 13F Information Table Value Total: $933,537 ------------------- (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 March 31, 2012 ------------------------------------------------------------------------------------------------------------------------------------ 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 337 1,000,000 PRN OTHER NONE AES CORP COM 00130H105 660 50,474 SH OTHER 50,474 ALCOA INC COM 013817101 4,872 486,200 SH OTHER 486,200 ALCOA INC COM 013817101 10,020 1,000,000 SH PUT OTHER 1,000,000 ALTERA CORP COM 021441100 940 23,600 SH OTHER 23,600 ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 255 6,900 SH OTHER 6,900 APPLE INC COM 037833100 1,199 2,000 SH OTHER 2,000 APPLE INC COM 037833100 136,098 227,000 SH CALL OTHER 227,000 ASSURED GUARANTY LTD COM G0585R106 6,426 389,000 SH OTHER 389,000 BAKER HUGHES INC COM 057224107 4,622 110,200 SH OTHER 110,200 BARCLAYS BK PLC IPATH S&P MT ETN 06740C519 4,746 102,658 SH OTHER 102,658 BARCLAYS BK PLC IPTH S&P VIX NEW 06740C261 8,390 500,000 SH PUT OTHER 500,000 BEAZER HOMES USA INC COM 07556Q105 1,527 469,766 SH OTHER 469,766 BEST BUY INC COM 086516101 969 40,900 SH OTHER 40,900 BRISTOL MYERS SQUIBB CO COM 110122108 645 19,100 SH OTHER 19,100 CISCO SYS INC COM 17275R102 31,725 1,500,000 SH CALL OTHER 1,500,000 CME GROUP INC COM 12572Q105 1,736 6,000 SH OTHER 6,000 CORNING INC COM 219350105 5,632 400,000 SH CALL OTHER 400,000 CUMMINS INC COM 231021106 432 3,600 SH OTHER 3,600 D R HORTON INC COM 23331A109 1,789 117,900 SH OTHER 117,900 EBAY INC COM 278642103 4,629 125,440 SH OTHER 125,440 EBAY INC COM 278642103 9,225 250,000 SH PUT OTHER 250,000 ENERNOC INC COM 292764107 190 26,447 SH OTHER 26,447 FOSTER WHEELER AG COM H27178104 271 11,900 SH OTHER 11,900 GENERAL CABLE CORP DEL NEW COM 369300108 375 12,900 SH OTHER 12,900 GENERAL MTRS CO JR PFD CNV SRB 37045V209 1,758 42,019 PRN OTHER NONE GENWORTH FINL INC COM CL A 37247D106 2,809 337,644 SH OTHER 337,644 GOODYEAR TIRE & RUBR CO PFD CONV 382550309 1,460 35,234 PRN OTHER NONE HALLIBURTON CO COM 406216101 2,303 69,400 SH OTHER 69,400 HEALTH CARE REIT INC NOTE 4.750% 7/1 42217KAQ9 17,417 15,585,000 PRN OTHER NONE HESS CORP COM 42809H107 4,445 75,400 SH OTHER 75,400 HONEYWELL INTL INC COM 438516106 433 7,100 SH OTHER 7,100 HOST HOTELS & RESORTS INC COM 44107P104 485 29,512 SH OTHER 29,512 HOVNANIAN ENTERPRISES INC CL A 442487203 245 100,000 SH OTHER 100,000 INTL PAPER CO COM 460146103 200 5,700 SH OTHER 5,700 ISHARES INC MSCI HONG KONG 464286871 698 40,000 SH PUT OTHER 40,000 ISHARES INC MSCI BRAZIL 464286400 1,293 20,000 SH OTHER 20,000 ISHARES INC MSCI BRAZIL 464286400 1,940 30,000 SH PUT OTHER 30,000 ISHARES TR MSCI EMERG MKT 464287234 2,577 60,000 SH PUT OTHER 60,000 ISHARES TR HIGH YLD CORP 464288513 4,274 47,115 SH OTHER 47,115 ISHARES TR DJ US REAL EST 464287739 15,039 241,398 SH OTHER 241,398 ISHARES TR S&P GLB100INDX 464287572 32,540 511,720 SH OTHER 511,720 ISHARES TR DJ US REAL EST 464287739 65,415 1,050,000 SH PUT OTHER 1,050,000 LILLY ELI & CO COM 532457108 310 7,700 SH OTHER 7,700 LINEAR TECHNOLOGY CORP COM 535678106 290 8,600 SH OTHER 8,600 LOUISIANA PAC CORP COM 546347105 4,628 495,000 SH OTHER 495,000 MARATHON OIL CORP COM 565849106 1,753 55,300 SH OTHER 55,300 MARKET VECTORS ETF TR JR GOLD MINERS E 57060U589 3,705 150,915 SH OTHER 150,915 MARKET VECTORS ETF TR GOLD MINER ETF 57060U100 6,193 125,000 SH OTHER 125,000 MARKET VECTORS ETF TR GOLD MINER ETF 57060U100 74,310 1,500,000 SH CALL OTHER 1,500,000 METLIFE INC COM 59156R108 437 11,700 SH OTHER 11,700 MICROSOFT CORP COM 594918104 4,360 135,200 SH OTHER 135,200 MICROSOFT CORP COM 594918104 32,255 1,000,000 SH CALL OTHER 1,000,000 MICROSOFT CORP COM 594918104 58,059 1,800,000 SH PUT OTHER 1,800,000 MOSAIC CO NEW COM 61945C103 22,116 400,000 SH CALL OTHER 400,000 NATIONAL OILWELL VARCO INC COM 637071101 1,581 19,900 SH OTHER 19,900 NORFOLK SOUTHERN CORP COM 655844108 4,476 68,000 SH OTHER 68,000 NVIDIA CORP COM 67066G104 2,309 150,000 SH OTHER 150,000 OLD REP INTL CORP NOTE 3.750% 3/1 680223AH7 2,471 2,500,000 PRN OTHER NONE PENNEY J C INC COM 708160106 5,052 142,600 SH OTHER 142,600 POWERSHS DB MULTI SECT COMM DB AGRICULT FD 73936B408 8,992 320,000 SH PUT OTHER 320,000 PUBLIC SVC ENTERPRISE GROUP COM 744573106 248 8,100 SH OTHER 8,100 RALPH LAUREN CORP CL A 751212101 244 1,400 SH OTHER 1,400 RESEARCH IN MOTION LTD COM 760975102 2,065 140,500 SH PUT OTHER 140,500 ROCKWELL AUTOMATION INC COM 773903109 1,498 18,800 SH OTHER 18,800 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 8,330 116,100 SH OTHER 116,100 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 15,795 1,000,000 SH CALL OTHER 1,000,000 SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 21,525 300,000 SH CALL OTHER 300,000 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 21,923 1,388,000 SH OTHER 1,388,000 SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 22,545 500,000 SH PUT OTHER 500,000 SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 78,975 5,000,000 SH PUT OTHER 5,000,000 SOLAZYME INC COM 83415T101 4,103 280,481 SH OTHER 280,481 SONY CORP ADR NEW 835699307 206 9,903 SH OTHER 9,903 SPDR GOLD TRUST GOLD SHS 78463V107 8,847 54,571 SH OTHER 54,571 SPDR GOLD TRUST GOLD SHS 78463V107 32,424 200,000 SH CALL OTHER 200,000 SPDR GOLD TRUST GOLD SHS 78463V107 32,424 200,000 SH PUT OTHER 200,000 SPDR SERIES TRUST S&P HOMEBUILD 78464A888 4,676 219,000 SH OTHER 219,000 SPDR SERIES TRUST S&P HOMEBUILD 78464A888 10,675 500,000 SH PUT OTHER 500,000 STRYKER CORP COM 863667101 813 14,645 SH OTHER 14,645 SUNOCO INC COM 86764P109 256 6,700 SH OTHER 6,700 TEXAS INSTRS INC COM 882508104 820 24,400 SH OTHER 24,400 TIDEWATER INC COM 886423102 363 6,716 SH OTHER 6,716 TIFFANY & CO NEW COM 886547108 2,807 40,600 SH OTHER 40,600 TIME WARNER INC COM NEW 887317303 1,080 28,600 SH OTHER 28,600 UNISYS CORP PFD SER A 6.25% 909214405 308 5,000 PRN OTHER NONE US BANCORP DEL COM NEW 902973304 295 9,300 SH OTHER 9,300 VALERO ENERGY CORP NEW COM 91913Y100 3,386 131,400 SH OTHER 131,400 VIACOM INC NEW CL B 92553P201 1,334 28,100 SH OTHER 28,100 VOLCANO CORPORATION NOTE 2.875% 9/0 928645AA8 2,688 2,250,000 PRN OTHER NONE WHIRLPOOL CORP COM 963320106 223 2,900 SH OTHER 2,900 WYNN RESORTS LTD COM 983134107 4,146 33,200 SH OTHER 33,200 ZIMMER HLDGS INC COM 98956P102 5,400 84,000 SH CALL OTHER 84,000 ZIMMER HLDGS INC COM 98956P102 16,777 261,000 SH PUT OTHER 261,000