Head of Compliance

0000905148-24-001423.txt : 20240515 0000905148-24-001423.hdr.sgml : 20240515 20240515161253 ACCESSION NUMBER: 0000905148-24-001423 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240515 DATE AS OF CHANGE: 20240515 EFFECTIVENESS DATE: 20240515 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BlueCrest Capital Management Ltd CENTRAL INDEX KEY: 0001610880 ORGANIZATION NAME: 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: 24950821 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 03-31-2024 03-31-2024 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 05-15-2024 0 206 2025370309 INFORMATION TABLE 2 informationtable.xml ABBOTT LABS COM 002824100 3171114 27900 SH Put OTR 0 27900 0 ABBVIE INC COM 00287Y109 4862070 26700 SH Put OTR 0 26700 0 ADOBE INC COM 00724F101 914840 1813 SH OTR 0 1813 0 ADOBE INC COM 00724F101 2523000 5000 SH Call OTR 0 5000 0 ADOBE INC COM 00724F101 1261500 2500 SH Put OTR 0 2500 0 ADVANCED MICRO DEVICES INC COM 007903107 7111306 39400 SH Call OTR 0 39400 0 AIR TRANSPORT SERVICES GRP I COM 00922R105 591680 43000 SH Put OTR 0 43000 0 AKAMAI TECHNOLOGIES INC NOTE 0.375% 9/0 00971TAL5 13034989 12340000 PRN OTR 0 0 12340000 ALBEMARLE CORP 7.25% DEP SHS A 012653200 23769212 402868 SH OTR 0 402868 0 ALBEMARLE CORP COM 012653101 1317400 10000 SH Put OTR 0 10000 0 ALPHABET INC CAP STK CL A 02079K305 226395 1500 SH OTR 0 1500 0 ALPHABET INC CAP STK CL A 02079K305 3924180 26000 SH Call OTR 0 26000 0 ALPHABET INC CAP STK CL A 02079K305 2113020 14000 SH Put OTR 0 14000 0 ALPHABET INC CAP STK CL C 02079K107 2299126 15100 SH Call OTR 0 15100 0 ALPHABET INC CAP STK CL C 02079K107 1872798 12300 SH Put OTR 0 12300 0 ALTAIR ENGR INC NOTE 1.750% 6/1 021369AC7 2569285 1954000 PRN OTR 0 0 1954000 AMAZON COM INC COM 023135106 21537372 119400 SH Call OTR 0 119400 0 AMERICAN TOWER CORP NEW COM 03027X100 461768 2337 SH OTR 0 2337 0 AMERICAN TOWER CORP NEW COM 03027X100 3003368 15200 SH Put OTR 0 15200 0 AMGEN INC COM 031162100 379852 1336 SH OTR 0 1336 0 AMGEN INC COM 031162100 4293232 15100 SH Put OTR 0 15100 0 APOLLO GLOBAL MGMT INC SER A MAND CNV 03769M304 9593738 150490 SH OTR 0 150490 0 APPLE INC COM 037833100 20491860 119500 SH Call OTR 0 119500 0 APPLE INC COM 037833100 497292 2900 SH Put OTR 0 2900 0 APPLIED MATLS INC COM 038222105 4207092 20400 SH Call OTR 0 20400 0 APPLIED MATLS INC COM 038222105 412460 2000 SH Put OTR 0 2000 0 AT&T INC COM 00206R102 315040 17900 SH OTR 0 17900 0 AT&T INC COM 00206R102 4273280 242800 SH Put OTR 0 242800 0 AXON ENTERPRISE INC NOTE 0.500%12/1 05464CAB7 8002363 5500000 PRN OTR 0 0 5500000 BANK AMERICA CORP COM 060505104 7906320 208500 SH Put OTR 0 208500 0 BARINTHUS BIOTHERAPEUTICS PL ADS 91864C107 1291562 542673 SH OTR 0 542673 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 258199 614 SH OTR 0 614 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 8116036 19300 SH Put OTR 0 19300 0 BLACKROCK INC COM 09247X101 833700 1000 SH Put OTR 0 1000 0 BOEING CO COM 097023105 1998990 10358 SH OTR 0 10358 0 BOEING CO COM 097023105 3319428 17200 SH Put OTR 0 17200 0 BOOKING HOLDINGS INC COM 09857L108 2902304 800 SH Call OTR 0 800 0 BRIGHTSPRING HEALTH SVCS INC UNIT 02/01/2027 10950A205 2176012 48270 SH OTR 0 48270 0 BRISTOL-MYERS SQUIBB CO COM 110122108 345120 6364 SH OTR 0 6364 0 BRISTOL-MYERS SQUIBB CO COM 110122108 2440350 45000 SH Put OTR 0 45000 0 BROADCOM INC COM 11135F101 5169099 3900 SH Call OTR 0 3900 0 BROADCOM INC COM 11135F101 3313525 2500 SH Put OTR 0 2500 0 BROOGE ENERGY LTD *W EXP 12/20/202 G1611B115 11149777 66899 SH OTR 0 66899 0 BUMBLE INC COM CL A 12047B105 283750 25000 SH OTR 0 25000 0 CATERPILLAR INC COM 149123101 3407799 9300 SH Put OTR 0 9300 0 CENTURY ALUM CO NOTE 2.750% 5/0 156431AQ1 4272436 4187000 PRN OTR 0 0 4187000 CHART INDS INC 6.75DP CNV PFD B 16115Q407 5431973 84597 SH OTR 0 84597 0 CHEVRON CORP NEW COM 166764100 1419660 9000 SH Put OTR 0 9000 0 CISCO SYS INC COM 17275R102 3902962 78200 SH Call OTR 0 78200 0 CLARIVATE PLC 5.25% PFD CONV A G21810208 255354 8592 SH OTR 0 8592 0 COCA COLA CO COM 191216100 253163 4138 SH OTR 0 4138 0 COCA COLA CO COM 191216100 4649680 76000 SH Put OTR 0 76000 0 COLLEGIUM PHARMACEUTICAL INC NOTE 2.875% 2/1 19459JAC8 6858308 5500000 PRN OTR 0 0 5500000 COMCAST CORP NEW CL A 20030N101 4621110 106600 SH Call OTR 0 106600 0 COMCAST CORP NEW CL A 20030N101 888675 20500 SH Put OTR 0 20500 0 CONOCOPHILLIPS COM 20825C104 210394 1653 SH OTR 0 1653 0 CONOCOPHILLIPS COM 20825C104 1756464 13800 SH Put OTR 0 13800 0 COSTCO WHSL CORP NEW COM 22160K105 9011349 12300 SH Put OTR 0 12300 0 CRITEO S A SPONS ADS 226718104 79258200 2260000 SH OTR 0 2260000 0 DANAHER CORPORATION COM 235851102 774132 3100 SH Put OTR 0 3100 0 DBX ETF TR XTRACK HRVST CSI 233051879 8424500 350000 SH Call OTR 0 350000 0 DEERE & CO COM 244199105 246444 600 SH Put OTR 0 600 0 DEXCOM INC COM 252131107 1248300 9000 SH OTR 0 9000 0 DISNEY WALT CO COM 254687106 428382 3501 SH OTR 0 3501 0 DISNEY WALT CO COM 254687106 5591852 45700 SH Put OTR 0 45700 0 ELEVANCE HEALTH INC COM 036752103 2437138 4700 SH Put OTR 0 4700 0 ELI LILLY & CO COM 532457108 15014628 19300 SH Put OTR 0 19300 0 ENCORE CAP GROUP INC NOTE 4.000% 3/1 292554AP7 4170229 4450000 PRN OTR 0 0 4450000 EXACT SCIENCES CORP COM 30063P105 1636722 23700 SH OTR 0 23700 0 EXXON MOBIL CORP COM 30231G102 249335 2145 SH OTR 0 2145 0 EXXON MOBIL CORP COM 30231G102 6927904 59600 SH Put OTR 0 59600 0 FIRST TR EXCHANGE-TRADED FD FST LOW OPPT EFT 33739Q200 1476450 30600 SH OTR 0 30600 0 FORD MTR CO DEL COM 345370860 132800 10000 SH Put OTR 0 10000 0 GENERAL ELECTRIC CO COM NEW 369604301 2369655 13500 SH Put OTR 0 13500 0 GLOBAL X FDS GLOBAL X URANIUM 37954Y871 207576 7200 SH OTR 0 7200 0 GLOBAL X FDS LITHIUM BTRY ETF 37954Y855 1811600 40000 SH Put OTR 0 40000 0 GOLDMAN SACHS GROUP INC COM 38141G104 5555277 13300 SH Put OTR 0 13300 0 HOME DEPOT INC COM 437076102 6981520 18200 SH Put OTR 0 18200 0 HONEYWELL INTL INC COM 438516106 985200 4800 SH Put OTR 0 4800 0 INNOVATE CORP NOTE 7.500% 8/0 404139AG2 484050 1383000 PRN OTR 0 0 1383000 INSIGHT ENTERPRISES INC NOTE 0.750% 2/1 45765UAB9 47659577 17522000 PRN OTR 0 0 17522000 INTEGER HLDGS CORP NOTE 2.125% 2/1 45826HAB5 7467040 5166000 PRN OTR 0 0 5166000 INTEL CORP COM 458140100 3007977 68100 SH Call OTR 0 68100 0 INTEL CORP COM 458140100 684635 15500 SH Put OTR 0 15500 0 INTERDIGITAL INC NOTE 3.500% 6/0 45867GAD3 9366435 6500000 PRN OTR 0 0 6500000 INTERNATIONAL BUSINESS MACHS COM 459200101 5900664 30900 SH Put OTR 0 30900 0 INTUIT COM 461202103 4290000 6600 SH Call OTR 0 6600 0 INTUITIVE SURGICAL INC COM NEW 46120E602 3312447 8300 SH Put OTR 0 8300 0 INVESCO EXCH TRADED FD TR II SR LN ETF 46138G508 888300 42000 SH OTR 0 42000 0 INVESCO QQQ TR UNIT SER 1 46090E103 88802000 200000 SH Call OTR 0 200000 0 ISHARES BITCOIN TR SHS 46438F101 578559 14296 SH OTR 0 14296 0 ISHARES INC MSCI BRAZIL ETF 464286400 16210000 500000 SH Call OTR 0 500000 0 ISHARES TR CHINA LG-CAP ETF 464287184 15645500 650000 SH Call OTR 0 650000 0 ISHARES TR IBOXX HI YD ETF 464288513 6315329 81247 SH OTR 0 81247 0 ISHARES TR IBOXX HI YD ETF 464288513 38865000 500000 SH Call OTR 0 500000 0 ISHARES TR IBOXX HI YD ETF 464288513 87446250 1125000 SH Put OTR 0 1125000 0 ISHARES TR IBOXX INV CP ETF 464287242 176995000 1625000 SH Put OTR 0 1625000 0 ISHARES TR JPMORGAN USD EMG 464288281 11208750 125000 SH OTR 0 125000 0 ISHARES TR JPMORGAN USD EMG 464288281 40351500 450000 SH Put OTR 0 450000 0 ISHARES TR MSCI EMG MKT ETF 464287234 205400000 5000000 SH Put OTR 0 5000000 0 ISHARES TR MSCI INDIA ETF 46429B598 2373140 46000 SH OTR 0 46000 0 ISHARES TR MSCI USA MIN VOL 46429B697 217308 2600 SH OTR 0 2600 0 ISHARES TR RUSSELL 2000 ETF 464287655 10515000 50000 SH Call OTR 0 50000 0 ISHARES TR RUSSELL 2000 ETF 464287655 18927000 90000 SH Put OTR 0 90000 0 ISHARES TR U.S. REAL ES ETF 464287739 3146500 35000 SH Put OTR 0 35000 0 JETBLUE AIRWAYS CORP NOTE 0.500% 4/0 477143AP6 4373400 5000000 PRN OTR 0 0 5000000 JETBLUE AWYS CORP COM 477143101 222600 30000 SH Put OTR 0 30000 0 JOHNSON & JOHNSON COM 478160104 1639798 10366 SH OTR 0 10366 0 JOHNSON & JOHNSON COM 478160104 11579508 73200 SH Put OTR 0 73200 0 JPMORGAN CHASE & CO COM 46625H100 257386 1285 SH OTR 0 1285 0 JPMORGAN CHASE & CO COM 46625H100 18547780 92600 SH Put OTR 0 92600 0 LOWES COS INC COM 548661107 3820950 15000 SH Put OTR 0 15000 0 MASTERCARD INCORPORATED CL A 57636Q104 9390615 19500 SH Put OTR 0 19500 0 MCDONALDS CORP COM 580135101 588430 2087 SH OTR 0 2087 0 MCDONALDS CORP COM 580135101 1550725 5500 SH Put OTR 0 5500 0 MERCK & CO INC COM 58933Y105 8352435 63300 SH Put OTR 0 63300 0 META PLATFORMS INC CL A 30303M102 5487054 11300 SH Call OTR 0 11300 0 META PLATFORMS INC CL A 30303M102 1942320 4000 SH Put OTR 0 4000 0 MFA FINL INC COM 55272X607 1907296 167160 SH OTR 0 167160 0 MICROSOFT CORP COM 594918104 252432 600 SH OTR 0 600 0 MICROSOFT CORP COM 594918104 24864552 59100 SH Call OTR 0 59100 0 MICROSOFT CORP COM 594918104 1767024 4200 SH Put OTR 0 4200 0 MORGAN STANLEY COM NEW 617446448 3813480 40500 SH Put OTR 0 40500 0 MR COOPER GROUP INC COM 62482R107 2802147 35948 SH OTR 0 35948 0 NETFLIX INC COM 64110L106 607330 1000 SH Put OTR 0 1000 0 NEXTERA ENERGY INC COM 65339F101 568799 8900 SH Put OTR 0 8900 0 NEXTERA ENERGY INC UNIT 09/01/2025 65339F713 287887 7395 SH OTR 0 7395 0 NIKE INC CL B 654106103 1645966 17514 SH OTR 0 17514 0 NIKE INC CL B 654106103 3392678 36100 SH Put OTR 0 36100 0 NVIDIA CORPORATION COM 67066G104 29094632 32200 SH Call OTR 0 32200 0 NVIDIA CORPORATION COM 67066G104 7770616 8600 SH Put OTR 0 8600 0 ON SEMICONDUCTOR CORP COM 682189105 478075 6500 SH OTR 0 6500 0 ORACLE CORP COM 68389X105 207005 1648 SH OTR 0 1648 0 ORACLE CORP COM 68389X105 1519881 12100 SH Put OTR 0 12100 0 ORMAT TECHNOLOGIES INC NOTE 2.500% 7/1 686688AB8 9080087 9382000 PRN OTR 0 0 9382000 PATRICK INDS INC NOTE 1.750%12/0 703343AG8 5375423 4139000 PRN OTR 0 0 4139000 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 9977579 11087000 PRN OTR 0 0 11087000 PEPSICO INC COM 713448108 662063 3783 SH OTR 0 3783 0 PEPSICO INC COM 713448108 7385422 42200 SH Put OTR 0 42200 0 PFIZER INC COM 717081103 2415249 87036 SH OTR 0 87036 0 PFIZER INC COM 717081103 3391050 122200 SH Put OTR 0 122200 0 PHILIP MORRIS INTL INC COM 718172109 696312 7600 SH Put OTR 0 7600 0 PROCTER AND GAMBLE CO COM 742718109 456085 2811 SH OTR 0 2811 0 PROCTER AND GAMBLE CO COM 742718109 8729050 53800 SH Put OTR 0 53800 0 PROLOGIS INC. COM 74340W103 1770992 13600 SH Put OTR 0 13600 0 QUALCOMM INC COM 747525103 3318280 19600 SH Call OTR 0 19600 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 455274 3729 SH OTR 0 3729 0 REDDIT INC CL A 75734B100 1479600 30000 SH OTR 0 30000 0 RITHM CAPITAL CORP COM NEW 64828T201 23822817 2134661 SH OTR 0 2134661 0 RTX CORPORATION COM 75513E101 1775046 18200 SH Put OTR 0 18200 0 S&P GLOBAL INC COM 78409V104 216980 510 SH OTR 0 510 0 S&P GLOBAL INC COM 78409V104 2978150 7000 SH Put OTR 0 7000 0 SALESFORCE INC COM 79466L302 279194 927 SH OTR 0 927 0 SALESFORCE INC COM 79466L302 7649972 25400 SH Put OTR 0 25400 0 SCHLUMBERGER LTD COM STK 806857108 424394 7743 SH OTR 0 7743 0 SCHLUMBERGER LTD COM STK 806857108 1189377 21700 SH Put OTR 0 21700 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 1932762 20472 SH OTR 0 20472 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 18882000 200000 SH Put OTR 0 200000 0 SELECT SECTOR SPDR TR FINANCIAL 81369Y605 7582063 180011 SH OTR 0 180011 0 SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 3748046 20382 SH OTR 0 20382 0 SELECT SECTOR SPDR TR SBI HEALTHCARE 81369Y209 3808627 25781 SH OTR 0 25781 0 SELECT SECTOR SPDR TR TECHNOLOGY 81369Y803 3713662 17831 SH OTR 0 17831 0 SERVICENOW INC COM 81762P102 221858 291 SH OTR 0 291 0 SERVICENOW INC COM 81762P102 2058480 2700 SH Put OTR 0 2700 0 SHOPIFY INC NOTE 0.125%11/0 82509LAA5 7981526 8384000 PRN OTR 0 0 8384000 SIBANYE STILLWATER LTD SPONSORED ADR 82575P107 568968 120800 SH OTR 0 120800 0 SPDR GOLD TR GOLD SHS 78463V107 205720000 1000000 SH Call OTR 0 1000000 0 SPDR GOLD TR GOLD SHS 78463V107 195434000 950000 SH Put OTR 0 950000 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 11017423 21063 SH OTR 0 21063 0 SPDR S&P 500 ETF TR TR UNIT 78462F103 26153500 50000 SH Put OTR 0 50000 0 SPDR SER TR BBG CONV SEC ETF 78464A359 4323238 59190 SH OTR 0 59190 0 SPDR SER TR PORTFLI HIGH YLD 78468R606 1664862 70966 SH OTR 0 70966 0 SPDR SER TR S&P REGL BKG 78464A698 5028000 100000 SH Call OTR 0 100000 0 SPDR SER TR S&P REGL BKG 78464A698 1538568 30600 SH Put OTR 0 30600 0 STARBUCKS CORP COM 855244109 496979 5438 SH OTR 0 5438 0 STARBUCKS CORP COM 855244109 1718132 18800 SH Call OTR 0 18800 0 STARBUCKS CORP COM 855244109 950456 10400 SH Put OTR 0 10400 0 STARWOOD PPTY TR INC NOTE 6.750% 7/1 85571BBA2 12208918 11500000 PRN OTR 0 0 11500000 SUNNOVA ENERGY INTL INC. COM 86745K104 698820 114000 SH Put OTR 0 114000 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 2086000 4000000 PRN OTR 0 0 4000000 SUNNOVA ENERGY INTL INC. NOTE 2.625% 2/1 86745KAH7 599053 1450000 PRN OTR 0 0 1450000 SUNRUN INC COM 86771W105 263600 20000 SH Put OTR 0 20000 0 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADS 874039100 544200 4000 SH OTR 0 4000 0 TESLA INC COM 88160R101 9369607 53300 SH Call OTR 0 53300 0 TESLA INC COM 88160R101 351580 2000 SH Put OTR 0 2000 0 TEXAS INSTRS INC COM 882508104 5069511 29100 SH Call OTR 0 29100 0 THERMO FISHER SCIENTIFIC INC COM 883556102 406847 700 SH Put OTR 0 700 0 TJX COS INC NEW COM 872540109 1886412 18600 SH Put OTR 0 18600 0 TPI COMPOSITES INC NOTE 5.250% 3/1 87266JAB0 1927759 4100000 PRN OTR 0 0 4100000 UNION PAC CORP COM 907818108 2779009 11300 SH Put OTR 0 11300 0 UNITED PARCEL SERVICE INC CL B 911312106 1345845 9055 SH OTR 0 9055 0 UNITED PARCEL SERVICE INC CL B 911312106 2764518 18600 SH Put OTR 0 18600 0 UNITEDHEALTH GROUP INC COM 91324P102 1675549 3387 SH OTR 0 3387 0 UNITEDHEALTH GROUP INC COM 91324P102 2077740 4200 SH Put OTR 0 4200 0 VANECK ETF TRUST GOLD MINERS ETF 92189F106 2593567 82023 SH OTR 0 82023 0 VERIZON COMMUNICATIONS INC COM 92343V104 239508 5708 SH OTR 0 5708 0 VERIZON COMMUNICATIONS INC COM 92343V104 5354096 127600 SH Put OTR 0 127600 0 VIAVI SOLUTIONS INC NOTE 1.625% 3/1 925550AH8 1958160 2000000 PRN OTR 0 0 2000000 VINTAGE WINE ESTATES INC *W EXP 06/08/202 92747V114 4509552 41037 SH OTR 0 41037 0 VISA INC COM CL A 92826C839 1897744 6800 SH Put OTR 0 6800 0 WALMART INC COM 931142103 244050 4056 SH OTR 0 4056 0 WALMART INC COM 931142103 2491038 41400 SH Put OTR 0 41400 0 WARNER BROS DISCOVERY INC COM SER A 934423104 785700 90000 SH OTR 0 90000 0 WAYFAIR INC NOTE 1.000% 8/1 94419LAF8 1389765 1500000 PRN OTR 0 0 1500000 WELLS FARGO CO NEW COM 949746101 6479928 111800 SH Put OTR 0 111800 0 WOLFSPEED INC NOTE 1.875%12/0 977852AD4 5107950 9000000 PRN OTR 0 0 9000000