BlueCrest Capital Management Ltd Q1 2022 Filing

Filed May 16, 2022

Portfolio Value

$3.1B

Holdings

246

Report Date

Q1 2022

Filing Type

13F-HR

All Holdings (246 positions)

#	Stock	Shares	Value	% Portfolio	Type
1	NDQINVESCO QQQ TR	1,754,000	$635.9M	20.73%	Put
2	SPYSPDR S&P 500 ETF TR	816,450	$368.7M	12.02%	Put
3	EMBISHARES TR	2,324,000	$227.2M	7.41%	Put
4	LQDISHARES TR	1,625,850	$196.6M	6.41%	Put
5	HYGISHARES TR	2,119,428	$174.4M	5.68%	Put
6	GQ9SPDR GOLD TR	526,000	$95.0M	3.10%	Put
7	CRTOCRITEO S A	2,260,000	$61.6M	2.01%
8	—ARCH RESOURCES INC	15,875,000	$60.1M	1.96%
9	PLUG 3.75 06/01/25PLUG PWR INC	9,925,000	$56.1M	1.83%
10	BLMN 5 05/01/25BLOOMIN BRANDS INC	20,600,000	$41.5M	1.35%
11	EWCISHARES INC	1,000,000	$40.2M	1.31%	Call
12	GFLCN 6 03/15/23GFL ENVIRONMENTAL INC	531,834	$39.4M	1.28%
13	CLVTCLARIVATE PLC	526,225	$35.7M	1.16%
14	NEE 5.279 03/01/23NEXTERA ENERGY INC	679,798	$35.5M	1.16%
15	DHRDANAHER CORPORATION	108,644	$31.9M	1.04%
16	NSIT 0.75 02/15/25INSIGHT ENTERPRISES INC	19,602,000	$31.5M	1.03%
17	—NISOURCE INC	261,760	$31.1M	1.02%
18	PCG 5.5 08/16/23PG&E CORP	260,022	$29.2M	0.95%
19	EWZISHARES INC	725,000	$27.4M	0.89%	Put
20	XRTSPDR SER TR	320,300	$24.2M	0.79%	Put
21	—DOMINION ENERGY INC	232,231	$23.6M	0.77%
22	—ESSENTIAL UTILS INC	322,909	$19.8M	0.64%
23	TSMTAIWAN SEMICONDUCTOR MFG LTD	184,000	$19.2M	0.63%
24	KWEBKRANESHARES TR	640,491	$18.3M	0.60%	Call
25	MIDD 1 09/01/25MIDDLEBY CORP	13,233,000	$18.2M	0.59%
26	EEMISHARES TR	386,200	$17.4M	0.57%	Put
27	—CHANGE HEALTHCARE INC	234,463	$16.6M	0.54%
28	AQNCN 7.75 06/15/24ALGONQUIN PWR UTILS CORP	330,836	$16.4M	0.53%
29	07WAMR COOPER GROUP INC	350,272	$16.0M	0.52%
30	AAL 6.5 07/01/25AMERICAN AIRLINES GROUP INC	11,000,000	$15.0M	0.49%
31	—FTAC ATHENA ACQUISITION CORP	1,500,000	$14.7M	0.48%
32	—HAYMAKER ACQUISITION CORP II	1,364,198	$13.5M	0.44%
33	NEE 4.872 09/01/22NEXTERA ENERGY INC	191,169	$11.8M	0.39%
34	XLFSELECT SECTOR SPDR TR	298,000	$11.4M	0.37%	Put
35	—NORTH MOUNTAIN MERGER CORP	1,138,500	$11.4M	0.37%
36	—VECTOIQ ACQUISITION CORP II	1,118,646	$11.1M	0.36%
37	—FINTECH ACQUISITION CORP VI	1,100,000	$10.9M	0.36%
38	—CORSAIR PARTNERING CORP	1,100,000	$10.9M	0.35%
39	OKLOALTC ACQUISITION CORP	1,100,000	$10.7M	0.35%
40	—SABRE CORP	72,732	$10.6M	0.34%
41	FXIISHARES TR	315,000	$10.1M	0.33%	Put
42	—RXR ACQUISITION CORP	1,022,253	$10.1M	0.33%
43	—INSU ACQUISITION CORP III	1,000,000	$9.9M	0.32%
44	—FAR PEAK ACQUISITION CORP	902,598	$9.0M	0.29%
45	DAY 0.25 03/15/26CERIDIAN HCM HLDG INC	9,765,000	$8.5M	0.28%
46	NRANRG ENERGY INC	219,145	$8.4M	0.27%	Call
47	—NORTH ATLANTIC ACQUISITN COR	825,000	$8.2M	0.27%
48	—AUSTERLITZ ACQUISITION CORP	800,000	$7.9M	0.26%
49	—DRAGONEER GROWTH OPT CORP II	800,000	$7.8M	0.26%
50	XLESELECT SECTOR SPDR TR	101,960	$7.8M	0.25%	Put
51	BDXBECTON DICKINSON & CO	28,716	$7.6M	0.25%
52	VGKVANGUARD INTL EQUITY INDEX F	121,900	$7.6M	0.25%	Put
53	—VIRGIN GROUP ACQUISIT CORP I	750,000	$7.4M	0.24%
54	—CC NEUBERGER PRINCIPAL HOLDN	750,000	$7.4M	0.24%
55	—VECTOR ACQUISITION CORP II	750,000	$7.3M	0.24%
56	VREX 4 06/01/25VAREX IMAGING CORP	5,500,000	$6.9M	0.23%
57	—TISHMAN SPEYER INNOVATION CO	700,000	$6.9M	0.23%
58	MOALTRIA GROUP INC	132,000	$6.9M	0.22%	Call
59	—APOLLO STRATEGIC GROWTH CAPT	688,339	$6.8M	0.22%
60	DISH 0 12/15/25DISH NETWORK CORPORATION	6,500,000	$6.3M	0.21%
61	FEZSPDR INDEX SHS FDS	151,800	$6.2M	0.20%	Put
62	—VINTAGE WINE ESTATES INC	3,193,100	$6.2M	0.20%
63	PFSIPENNYMAC FINL SVCS INC NEW	111,428	$5.9M	0.19%
64	BXMT 5.5 03/15/27BLACKSTONE MORTGAGE TRUST IN	6,000,000	$5.9M	0.19%
65	—FTAC HERA ACQUISITION CORP	600,000	$5.9M	0.19%
66	—5 01 ACQUISITION CORP	600,000	$5.9M	0.19%
67	GPACGLOBAL PARTNER ACQISTN CORP	600,000	$5.9M	0.19%
68	AORT 4.25 07/01/25ARTIVION INC	5,000,000	$5.8M	0.19%
69	—FIFTH WALL ACQUISITN CORP II	600,000	$5.8M	0.19%
70	CCIXCHURCHILL CAPITAL CORP VII	575,000	$5.6M	0.18%
71	—GLOBAL CORD BLOOD CORPORATIO	1,452,603	$5.6M	0.18%
72	—SANDBRIDGE X2 CORP	573,448	$5.6M	0.18%
73	—ANGEL POND HOLDINGS CORP	551,935	$5.4M	0.18%
74	—GORES HLDGS VIII INC	540,296	$5.4M	0.18%
75	—ALTIMETER GROWTH CORP 2	545,000	$5.4M	0.17%
76	—HUMANCO ACQUISITION CORP	500,000	$5.0M	0.16%
77	—GROUP NINE ACQUISITION CORP	500,000	$4.9M	0.16%
78	CCIXCHURCHILL CAPITAL CORP V	500,000	$4.9M	0.16%
79	—PROPERTY SOLUTIONS ACQUISITI	500,000	$4.9M	0.16%
80	—PIVOTAL INVESTMENT CORP III	500,000	$4.9M	0.16%
81	—KHOSLA VENTURES ACQUT CO III	500,000	$4.9M	0.16%
82	—LONGVIEW ACQUISITION CORP II	500,000	$4.9M	0.16%
83	—KAIROS ACQUISITION CORP	490,000	$4.8M	0.16%
84	EFAISHARES TR	64,400	$4.7M	0.15%	Put
85	—AVISTA PUB ACQUISITION CORP	470,000	$4.7M	0.15%
86	CABO 0 03/15/26CABLE ONE INC	5,195,000	$4.6M	0.15%
87	—ARGUS CAPITAL CORP	450,000	$4.6M	0.15%
88	SLVISHARES SILVER TR	200,000	$4.6M	0.15%	Call
89	—BTRS HOLDINGS INC	600,000	$4.5M	0.15%
90	—PIONEER MERGER CORP	452,629	$4.4M	0.14%
91	TWO 6.25 01/15/26TWO HARBORS INVENTMENT CORPO	4,425,000	$4.3M	0.14%
92	—INTERPRIVATE III FINANCIAL P	400,000	$4.0M	0.13%
93	—INTERPRIVATE II ACQUISITION	400,000	$3.9M	0.13%
94	—INTERPRIVATE IV INFRATECH PR	400,000	$3.9M	0.13%
95	—OMEGA ALPHA SPAC	400,000	$3.9M	0.13%
96	BSX 5.5 06/01/23 ABOSTON SCIENTIFIC CORP	33,302	$3.9M	0.13%
97	TCDA 3.5 05/15/27TRICIDA INC	7,779,000	$3.9M	0.13%
98	—RMG ACQUISITION CORP III	391,427	$3.8M	0.13%
99	—DTE ENERGY CO	71,500	$3.8M	0.12%
100	XLUSELECT SECTOR SPDR TR	50,000	$3.7M	0.12%	Put

Page 1 of 3Next