BlueCrest Capital Management Ltd Q3 2020 Filing

Filed November 16, 2020

Portfolio Value

$2.7B

Holdings

283

Report Date

Q3 2020

Filing Type

13F-HR

All Holdings (283 positions)

#	Stock	Shares	Value	% Portfolio	Type
1	GQ9SPDR GOLD TR	1,901,219	$336.7M	12.31%	Put
2	SPYSPDR S&P 500 ETF TR	452,000	$151.4M	5.53%	Put
3	HYGISHARES TR	1,277,700	$107.2M	3.92%	Put
4	EEMISHARES TR	2,210,000	$97.4M	3.56%	Put
5	EMBISHARES TR	750,000	$83.2M	3.04%	Put
6	—NICE SYS INC	24,024,000	$65.4M	2.39%
7	DNBDUN & BRADSTREET HLDGS INC	2,272,727	$58.3M	2.13%
8	—DANAHER CORPORATION	35,534	$52.4M	1.92%
9	—CHURCHILL CAPITAL CORP IV	5,000,000	$50.1M	1.83%
10	—SOCIAL CAP HDOSPHIA HLDG CO	2,000,000	$41.9M	1.53%
11	TLTISHARES TR	255,000	$41.6M	1.52%	Put
12	—SOCIAL CAP HEDSPIA HLDG CO I	3,000,000	$41.4M	1.51%
13	PCG 5.5 08/16/23PG&E CORP	407,960	$40.1M	1.47%
14	—JAWS ACQUISITION CORP	3,062,000	$33.9M	1.24%
15	—FOLEY TRASIMENE ACQUISTN COR	2,975,228	$33.6M	1.23%
16	Z 1.375 09/01/26ZILLOW GROUP INC	12,450,000	$29.8M	1.09%
17	AAL 6.5 07/01/25AMERICAN AIRLS GROUP INC	32,165,000	$29.6M	1.08%
18	XLFSELECT SECTOR SPDR TR	1,135,011	$27.3M	1.00%	Call
19	—CM LIFE SCIENCES INC	2,500,000	$26.2M	0.96%
20	—CHURCHILL CAP CORP II	2,250,000	$25.9M	0.95%
21	—ARTIUS ACQUISITION INC	2,475,000	$25.7M	0.94%
22	—FOLEY TRASIMENE ACQUISITION	2,500,000	$25.5M	0.93%
23	—GS ACQUISITION HLDGS CORP II	2,250,000	$25.3M	0.92%
24	—SOUTH MTN MERGER CORP	2,227,500	$24.5M	0.90%
25	—CLEVELAND-CLIFFS INC NEW	22,979,000	$23.8M	0.87%
26	—AMERICAN ELEC PWR CO INC	461,483	$22.6M	0.83%
27	—CC NEUBERGER PRIN HLDGS II	2,175,000	$22.5M	0.82%
28	NSIT 0.75 02/15/25INSIGHT ENTERPRISES INC	20,836,000	$21.9M	0.80%
29	—TREBIA ACQUISITION CORP	2,000,000	$21.6M	0.79%
30	—OSPREY TECHNLGY AQUISTION CO	1,953,000	$21.0M	0.77%
31	—FLYING EAGLE ACQUISITION COR	1,578,258	$20.4M	0.75%
32	—VECTOR ACQUISITION CORP	2,000,000	$20.3M	0.74%
33	—CF FINANCE ACQUISITION CORP	2,000,000	$20.0M	0.73%
34	XLFISELECT SECTOR SPDR TR	302,200	$19.4M	0.71%	Call
35	IWMISHARES TR	122,600	$18.4M	0.67%	Put
36	LVLNSPDR SER TR	500,000	$17.8M	0.65%	Put
37	EXAS 0.375 03/01/28EXACT SCIENCES CORP	16,086,000	$17.4M	0.64%
38	—FLYING EAGLE ACQUISITION COR	1,367,442	$16.6M	0.61%
39	—SOCIAL CAP HEDSPIA HLDG CO I	1,324,235	$16.5M	0.60%
40	—CAPSTAR SPL PURP ACQUISITION	1,603,953	$16.4M	0.60%
41	—YUCAIPA ACQUISITION CORP	1,600,000	$16.3M	0.60%
42	—JUNIPER INDL HLDGS INC	1,376,600	$15.7M	0.57%
43	METAFACEBOOK INC	60,000	$15.7M	0.57%	Call
44	—HORIZON ACQUISITION CORP	1,500,000	$15.6M	0.57%
45	—EQUITY DISTR ACQUISITION COR	1,500,000	$15.4M	0.56%
46	—FINTECH ACQUISITION CORP IV	1,500,000	$15.2M	0.56%
47	—SANDBRIDGE ACQUISITION CORP	1,500,000	$15.0M	0.55%
48	XMESPDR SER TR	625,600	$14.5M	0.53%	Call
49	GFLCN 6 03/15/23GFL ENVIRONMENTAL INC	255,904	$13.6M	0.50%
50	—ONE	1,250,000	$13.6M	0.50%
51	—LANDCADIA HLDGS II INC	939,963	$13.5M	0.49%
52	IQ 2 04/01/25IQIYI INC	14,124,000	$13.5M	0.49%
53	—FTAC OLYMPUS ACQUISITION COR	1,300,000	$13.0M	0.48%
54	—CHP MERGER CORP	1,201,500	$12.6M	0.46%
55	—GO ACQUISITION CORP	1,250,000	$12.6M	0.46%
56	—SPIRIT AIRLS INC	8,573,000	$12.5M	0.46%
57	BLBLFBILIBILI INC	7,000,000	$12.4M	0.45%
58	—CC NEUBERGER PRINCIPAL HLDNG	1,150,000	$12.0M	0.44%
59	—NOVUS CAP CORP	826,500	$11.8M	0.43%
60	—APEX TECHNOLOGY ACQUISITION	1,100,000	$11.7M	0.43%
61	—NORTH MOUNTAIN MERGER CORP	1,138,500	$11.6M	0.42%
62	NEE 5.279 03/01/23NEXTERA ENERGY INC	242,961	$11.3M	0.41%
63	NDQINVESCO QQQ TR	40,061	$11.1M	0.41%
64	GOSS 5 06/01/27GOSSAMER BIO INC	10,732,000	$11.1M	0.41%
65	MSFTMICROSOFT CORP	52,000	$10.9M	0.40%	Call
66	—SINA CORP	255,000	$10.9M	0.40%
67	FXIISHARES TR	258,118	$10.8M	0.40%	Put
68	ELAN 5 02/01/23ELANCO ANIMAL HEALTH INC	239,576	$10.6M	0.39%
69	—CHURCHILL CAP CORP III	1,000,000	$10.5M	0.38%
70	—HAYMAKER ACQUISITION CORP II	1,000,000	$10.4M	0.38%
71	—INSU ACQUISITION CORP II	1,000,000	$10.4M	0.38%
72	—GORES HLDGS IV INC	1,000,000	$10.3M	0.38%
73	—DMY TECHNOLOGY GROUP INC	735,000	$10.3M	0.38%
74	—DMY TECHNOLOGY GROUP INC II	1,000,000	$10.2M	0.37%
75	—TORTOISE ACQUISITION CORP	400,000	$10.2M	0.37%
76	—ASPIRATIONAL CONSUMER LIFEST	1,000,000	$10.0M	0.37%
77	—LGL SYS ACQUISITION CORP	950,000	$9.9M	0.36%
78	—OAKTREE ACQUISITION CORP II	950,000	$9.8M	0.36%
79	—CF FIN ACQUISITION CORP	925,386	$9.6M	0.35%
80	—APEX TECHNOLOGY ACQUISITION	800,000	$9.4M	0.35%
81	—DRAGONEER GROWTH OPPORTUN CO	750,000	$9.2M	0.34%
82	—HEALTHCARE MERGER CORP	850,000	$8.6M	0.32%
83	—DOMINION ENERGY INC	81,748	$8.4M	0.31%
84	—FALCON CAPITAL ACQUISITN COR	800,000	$8.2M	0.30%
85	—ESSENTIAL UTILS INC	153,636	$8.2M	0.30%
86	—LF CAP ACQUISITION CORP	4,524,692	$8.1M	0.30%
87	—CC NEUBERGER PRINCIPAL HLDNG	750,000	$8.1M	0.30%
88	—NETFIN ACQUISITION CORP	770,850	$8.0M	0.29%
89	—TUSCAN HLDGS CORP	760,000	$7.7M	0.28%
90	XLISELECT SECTOR SPDR TR	100,000	$7.7M	0.28%	Call
91	LUVSOUTHWEST AIRLS CO	191,754	$7.2M	0.26%
92	—KENSINGTON CAP ACQUISITION C	375,000	$7.1M	0.26%
93	—OAKTREE ACQUISITION CORP	602,306	$7.1M	0.26%
94	—ARYA SCIENCES ACQUISITION CO	653,550	$7.1M	0.26%
95	—INTERNATIONAL FLAVORS&FRAGRA	150,192	$6.7M	0.25%
96	—CRESCENT ACQUISITION CORP	618,177	$6.2M	0.23%
97	—JUNIPER INDL HLDGS INC	551,074	$5.8M	0.21%
98	—PROPTECH ACQUISITION CORP	500,000	$5.6M	0.20%
99	—ARYA SCIENCES ACQUISTION CO	500,000	$5.5M	0.20%
100	—INSURANCE ACQUISITION CORP	399,700	$5.5M	0.20%

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