BlueCrest Capital Management Ltd Q2 2020 Filing

Filed August 14, 2020

Portfolio Value

$1.9B

Holdings

238

Report Date

Q2 2020

Filing Type

13F-HR

All Holdings (238 positions)

#	Stock	Shares	Value	% Portfolio	Type
1	SPYSPDR S&P 500 ETF TR	593,300	$182.9M	9.70%	Put
2	EMBISHARES TR	1,655,000	$180.8M	9.59%	Put
3	LQDISHARES TR	441,040	$59.3M	3.15%	Call
4	WUBAUSD58 COM INC	1,072,000	$57.8M	3.07%
5	—CHURCHILL CAP CORP III	4,893,040	$55.3M	2.94%
6	—NICE SYS INC	24,024,000	$55.1M	2.92%
7	HYGISHARES TR	613,000	$50.0M	2.65%	Put
8	—SOCIAL CAP HEDSPIA HLDG CO I	3,000,000	$35.6M	1.89%
9	AAL 6.5 07/01/25AMERICAN AIRLS GROUP INC	36,450,000	$34.3M	1.82%
10	—NIKOLA CORP	500,000	$33.8M	1.79%
11	IWMISHARES TR	228,470	$32.7M	1.74%	Put
12	—FOLEY TRASIMENE ACQUISTN COR	2,975,228	$31.7M	1.68%
13	—JAWS ACQUISITION CORP	2,812,000	$29.3M	1.56%
14	—CHURCHILL CAP CORP II	2,250,000	$27.4M	1.45%
15	—FAR PT ACQUISITION CORP	2,531,504	$25.9M	1.37%
16	—SOCIAL CAP HDOSPHIA HLDG CO	2,000,000	$25.1M	1.33%
17	—GS ACQUISITION HLDGS CORP II	2,250,000	$23.6M	1.25%
18	—SOUTH MTN MERGER CORP	2,227,500	$23.6M	1.25%
19	EXAS 0.375 03/01/28EXACT SCIENCES CORP	24,350,000	$23.4M	1.24%
20	—FAR PT ACQUISITION CORP	2,231,359	$23.3M	1.24%
21	—TREBIA ACQUISITION CORP	2,000,000	$20.9M	1.11%
22	QTWO 0.75 06/01/26Q2 HLDGS INC	18,257,000	$20.8M	1.10%
23	MTARCELORMITTAL SA LUXEMBOURG	1,925,037	$20.7M	1.10%
24	CNNECANNAE HLDGS INC	500,000	$20.6M	1.09%
25	—QIAGEN NV	18,800,000	$20.4M	1.08%
26	—OSPREY TECHNLGY AQUISTION CO	1,953,000	$20.2M	1.07%
27	—FLYING EAGLE ACQUISITION COR	1,578,258	$18.4M	0.98%
28	BACBK OF AMERICA CORP	760,675	$18.1M	0.96%
29	—CLEVELAND CLIFFS INC	19,920,000	$18.0M	0.96%
30	JPMJPMORGAN CHASE & CO	190,313	$17.9M	0.95%
31	XLFISELECT SECTOR SPDR TR	302,200	$17.7M	0.94%	Call
32	WFCWELLS FARGO CO NEW	679,655	$17.4M	0.92%
33	—LANDCADIA HLDGS II INC	989,206	$16.2M	0.86%
34	NEE 5.279 03/01/23NEXTERA ENERGY INC	360,687	$15.3M	0.81%
35	—DTE ENERGY CO	346,656	$14.7M	0.78%
36	—JUNIPER INDL HLDGS INC	1,376,600	$14.2M	0.75%
37	—SPIRIT AIRLS INC	9,353,000	$14.1M	0.75%
38	—FINTECH ACQUISITION CORP III	1,080,000	$13.6M	0.72%
39	—HEALTHCARE MERGER CORP	1,200,000	$12.4M	0.66%
40	—CHP MERGER CORP	1,201,500	$12.3M	0.65%
41	—CC NEUBERGER PRINCIPAL HLDNG	1,150,000	$11.6M	0.61%
42	GOSS 5 06/01/27GOSSAMER BIO INC	11,482,000	$11.6M	0.61%
43	IQ 2 04/01/25IQIYI INC	11,000,000	$11.0M	0.58%
44	—HAYMAKER ACQUISITION CORP II	1,000,000	$10.9M	0.58%
45	—DOMINION ENERGY INC	100,467	$10.2M	0.54%
46	—LGL SYS ACQUISITION CORP	950,000	$9.7M	0.52%
47	—ESSENTIAL UTILS INC	171,177	$9.7M	0.51%
48	SWK 5.25 11/15/22STANLEY BLACK & DECKER INC	106,519	$9.5M	0.51%
49	—APEX TECHNOLOGY ACQUISITION	800,000	$9.2M	0.49%
50	GQ9SPDR GOLD TR	53,000	$8.9M	0.47%	Call
51	—SOUTHERN CO	198,070	$8.7M	0.46%
52	GDYNGRID DYNAMICS HLDGS INC	1,264,581	$8.7M	0.46%
53	—NETFIN ACQUISITION CORP	5,251,595	$8.7M	0.46%
54	NEE 4.872 09/01/22NEXTERA ENERGY INC	171,317	$8.3M	0.44%
55	—NETFIN ACQUISITION CORP	770,850	$8.3M	0.44%
56	—NIO INC	8,500,000	$8.3M	0.44%
57	—CC NEUBERGER PRINCIPAL HLDNG	750,000	$8.0M	0.42%
58	—GORES METROPOULOS INC	700,100	$7.9M	0.42%
59	—SCHULTZE SPL PURP ACQUSTN CO	765,000	$7.8M	0.42%
60	—DMY TECHNOLOGY GROUP INC	735,000	$7.8M	0.41%
61	—TUSCAN HOLDINGS CORP	760,000	$7.8M	0.41%
62	—INTERNATIONAL FLAVORS&FRAGRA	167,890	$7.4M	0.39%
63	—REALPAGE INC	6,800,000	$7.3M	0.39%
64	XLFSELECT SECTOR SPDR TR	316,000	$7.3M	0.39%	Call
65	BABOEING CO	36,000	$6.6M	0.35%	Put
66	—CRESCENT ACQUISITION CORP	593,177	$6.2M	0.33%
67	—CITIC CAPITAL ACQUISITION CO	600,000	$6.0M	0.32%
68	—INSURANCE ACQUISITION CORP	399,700	$6.0M	0.32%
69	—ARYA SCIENCES ACQUISTION CO	500,000	$5.8M	0.31%
70	—KENSINGTON CAP ACQUISITION C	575,000	$5.8M	0.31%
71	—NUANCE COMMUNICATIONS INC	4,051,000	$5.7M	0.30%
72	—BROADMARK RLTY CAP INC	17,770,417	$5.6M	0.30%
73	—HUDSON EXECUTIVE INVT CORP	550,000	$5.6M	0.30%
74	—CF FIN ACQUISITION CORP	501,100	$5.4M	0.29%
75	GES 2 04/15/24GUESS INC	7,700,000	$5.2M	0.28%
76	—COLLIER CREEK HOLDINGS	378,609	$5.2M	0.28%
77	—SCVX CORP	500,000	$5.2M	0.27%
78	—TORTOISE ACQUISITION CORP	475,107	$5.1M	0.27%
79	—CRESCENT ACQUISITION CORP	3,398,223	$5.1M	0.27%
80	LUVSOUTHWEST AIRLS CO	147,954	$5.1M	0.27%
81	—GRAF INDL CORP	2,158,920	$4.9M	0.26%
82	DDOGDATADOG INC	56,285	$4.9M	0.26%
83	ZEN1EURZENDESK INC	55,200	$4.9M	0.26%
84	EEMISHARES TR	121,010	$4.8M	0.26%	Put
85	CMECME GROUP INC	28,750	$4.7M	0.25%
86	—BROOGE ENERGY LTD	9,404,370	$4.6M	0.24%
87	PENN 2.75 05/15/26PENN NATL GAMING INC	3,052,000	$4.6M	0.24%
88	—NOVUS CAP CORP	426,000	$4.5M	0.24%
89	W 1.125 11/01/24WAYFAIR INC	2,500,000	$4.5M	0.24%
90	—LEGACY ACQUISITION CORP	8,962,726	$4.4M	0.23%
91	—GRID DYNAMICS HLDGS INC	2,704,887	$4.3M	0.23%
92	—SPARTAN ENERGY ACQUISITION C	2,367,909	$4.3M	0.23%
93	—LF CAP ACQUISITION CORP	4,613,014	$4.2M	0.22%
94	—CROWN CASTLE INTL CORP NEW	2,721	$4.0M	0.21%
95	RCLROYAL CARIBBEAN CRUISES LTD	80,000	$4.0M	0.21%	Put
96	—TUSCAN HOLDINGS CORP	6,618,890	$3.9M	0.21%
97	—MONOCLE ACQUISITION CORP	5,803,849	$3.8M	0.20%
98	UBSUBS GROUP AG	300,000	$3.5M	0.18%	Call
99	—CF FIN ACQUISITION CORP	2,549,484	$3.4M	0.18%
100	SRESEMPRA ENERGY	26,775	$3.1M	0.17%

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