UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: 3/31/2013
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 submission.
Persons 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 5/15/2013
--------------------------------- --------------------------------- ----------
[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).)
List of Other Managers Reporting for this Manager:
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 107
Form 13F Information Table Value Total: $ 1,118,444
--------------
(In Thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and 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
FORM 13F INFORMATION TABLE
COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8
---------------------------- ---------------- --------- -------- ------------------- ---------- -------- --------------------
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
---------------------------- ---------------- --------- -------- ---------- --- ---- ---------- -------- ---- ---------- ----
ACCENTURE PLC IRELAND SHS CLASS A G1151C101 1,033 13,600 SH OTHER 0 13,600 0
ACCURAY INC NOTE 3.500% 2/0 004397AC9 6,461 6,000,000 PRN OTHER 0 0 NONE
ACCURAY INC COM 004397105 186 40,000 SH CALL OTHER 0 40,000 0
AFFYMETRIX INC NOTE 4.000% 7/0 00826TAH1 1,064 1,000,000 PRN OTHER 0 0 NONE
AK STL CORP NOTE 5.000%11/1 001546AP5 2,863 3,000,000 PRN OTHER 0 0 NONE
ALEXION PHARMACEUTICALS INC COM 015351109 2,764 30,000 SH CALL OTHER 0 30,000 0
ALLERGAN INC COM 018490102 1,175 10,528 SH OTHER 0 10,528 0
AMERICAN EXPRESS CO COM 025816109 992 14,700 SH PUT OTHER 0 14,700 0
AMERISOURCEBERGEN CORP COM 03073E105 1,270 24,685 SH OTHER 0 24,685 0
AMETEK INC NEW COM 031100100 1,041 24,000 SH OTHER 0 24,000 0
AMTRUST FINANCIAL SERVICES I NOTE 5.500%12/1 032359AC5 2,881 2,000,000 PRN OTHER 0 0 NONE
ANADARKO PETE CORP COM 032511107 1,312 15,000 SH OTHER 0 15,000 0
APPLE INC COM 037833100 5,622 12,700 SH CALL OTHER 0 12,700 0
ARCH COAL INC COM 039380100 4,344 800,000 SH CALL OTHER 0 800,000 0
ASSURED GUARANTY LTD COM G0585R106 36,793 1,785,180 SH OTHER 0 1,785,180 0
AXIALL CORP COM 05463D100 1,989 32,000 SH OTHER 0 32,000 0
BAKER HUGHES INC COM 057224107 2,321 50,000 SH PUT OTHER 0 50,000 0
BANK OF AMERICA CORPORATION COM 060505104 6,090 500,000 SH CALL OTHER 0 500,000 0
BARCLAYS BK PLC IPATH S&P500 VIX 06740C188 60,750 3,000,000 SH PUT OTHER 0 3,000,000 0
BEAZER HOMES USA INC COM NEW 07556Q881 4,223 266,599 SH OTHER 0 266,599 0
BLOCK H & R INC COM 093671105 4,413 150,000 SH PUT OTHER 0 150,000 0
CANADIAN NATL RY CO COM 136375102 1,021 10,000 SH OTHER 0 10,000 0
CARDINAL HEALTH INC COM 14149Y108 916 22,000 SH OTHER 0 22,000 0
CATERPILLAR INC DEL COM 149123101 17,394 200,000 SH OTHER 0 200,000 0
CEMEX SAB DE CV NOTE 3.750% 3/1 151290BC6 12,229 9,000,000 PRN OTHER 0 0 NONE
CHESAPEAKE ENERGY CORP COM 165167107 4,082 200,000 SH CALL OTHER 0 200,000 0
CME GROUP INC COM 12572Q105 1,842 30,000 SH OTHER 0 30,000 0
COBALT INTL ENERGY INC NOTE 2.625%12/0 19075FAA4 2,251 2,000,000 PRN OTHER 0 0 NONE
CONTINENTAL RESOURCES INC COM 212015101 869 10,000 SH OTHER 0 10,000 0
CVS CAREMARK CORPORATION COM 126650100 1,087 19,766 SH OTHER 0 19,766 0
DEVON ENERGY CORP NEW COM 25179M103 16,926 300,000 SH CALL OTHER 0 300,000 0
DOVER CORP COM 260003108 1,253 17,193 SH OTHER 0 17,193 0
E M C CORP MASS NOTE 1.750%12/0 268648AM4 4,497 3,000,000 PRN OTHER 0 0 NONE
ENCORE CAP GROUP INC NOTE 3.000%11/2 292554AC6 4,549 3,964,000 PRN OTHER 0 0 NONE
ENERNOC INC COM 292764107 459 26,447 SH OTHER 0 26,447 0
ENPRO INDS INC DBCV 3.938%10/1 29355XAB3 9,205 5,695,000 SH OTHER 0 5,695,000 0
EOG RES INC COM 26875P101 1,281 10,000 SH OTHER 0 10,000 0
FASTENAL CO COM 311900104 1,012 19,700 SH OTHER 0 19,700 0
FORD MTR CO DEL COM PAR $0.01 345370860 11,835 900,000 SH CALL OTHER 0 900,000 0
FORESTAR GROUP INC NOTE 3.750% 3/0 346232AB7 3,518 3,000,000 PRN OTHER 0 0 NONE
FREEPORT-MCMORAN COPPER & GO COM 35671D857 8,440 255,000 SH OTHER 0 255,000 0
FREEPORT-MCMORAN COPPER & GO COM 35671D857 9,930 300,000 SH CALL OTHER 0 300,000 0
GAMESTOP CORP NEW CL A 36467W109 8,391 300,000 SH CALL OTHER 0 300,000 0
GENERAL ELECTRIC CO COM 369604103 5,780 250,000 SH PUT OTHER 0 250,000 0
GENUINE PARTS CO COM 372460105 1,115 14,300 SH OTHER 0 14,300 0
HALLIBURTON CO COM 406216101 2,425 60,000 SH PUT OTHER 0 60,000 0
HEWLETT PACKARD CO COM 428236103 4,663 195,600 SH PUT OTHER 0 195,600 0
HONEYWELL INTL INC COM 438516106 3,768 50,000 SH PUT OTHER 0 50,000 0
ISHARES TR FTSE CHINA25 IDX 464287184 9,594 260,000 SH OTHER 0 260,000 0
ISHARES TR RUSSELL 2000 464287655 2,598 27,560 SH OTHER 0 27,560 0
ISHARES TR S&P GLB100INDX 464287572 18,047 266,220 SH OTHER 0 266,220 0
ISHARES TR RUSSELL 2000 464287655 28,962 306,700 SH PUT OTHER 0 306,700 0
JUNIPER NETWORKS INC COM 48203R104 5,562 300,000 SH PUT OTHER 0 300,000 0
LORILLARD INC COM 544147101 1,009 25,000 SH OTHER 0 25,000 0
LOWES COS INC COM 548661107 7,584 200,000 SH CALL OTHER 0 200,000 0
LOWES COS INC COM 548661107 7,584 200,000 SH PUT OTHER 0 200,000 0
LYONDELLBASELL INDUSTRIES N SHS - A - N53745100 633 10,000 SH OTHER 0 10,000 0
M/I HOMES INC NOTE 3.000% 3/0 55292PAB1 6,181 6,000,000 PRN OTHER 0 0 NONE
MAGNA INTL INC COM 559222401 1,145 19,500 SH OTHER 0 19,500 0
MARATHON PETE CORP COM 56585A102 1,344 15,000 SH OTHER 0 15,000 0
FORM 13F INFORMATION TABLE
COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8
---------------------------- ---------------- --------- -------- ------------------- ---------- -------- --------------------
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
---------------------------- ---------------- --------- -------- ---------- --- ---- ---------- -------- ---- ---------- ----
MARKET VECTORS ETF TR JR GOLD MINERS E 57060U589 2,526 150,915 SH OTHER 0 150,915 0
MCKESSON CORP COM 58155Q103 1,179 10,924 SH OTHER 0 10,924 0
MICROCHIP TECHNOLOGY INC SDCV 2.125%12/1 595017AB0 7,136 5,000,000 SH OTHER 0 5,000,000 0
MICRON TECHNOLOGY INC NOTE 1.875% 8/0 595112AR4 2,349 2,000,000 PRN OTHER 0 0 NONE
MICRON TECHNOLOGY INC COM 595112103 7,980 800,000 SH CALL OTHER 0 800,000 0
MOLINA HEALTHCARE INC COM 60855R100 469 15,200 SH CALL OTHER 0 15,200 0
MORGAN STANLEY COM NEW 617446448 8,792 400,000 SH PUT OTHER 0 400,000 0
NATIONAL OILWELL VARCO INC COM 637071101 42,450 600,000 SH CALL OTHER 0 600,000 0
NAVISTAR INTL CORP NEW NOTE 3.000%10/1 63934EAL2 1,034 1,000,000 PRN OTHER 0 0 NONE
NOBLE ENERGY INC COM 655044105 1,376 11,895 SH OTHER 0 11,895 0
NORFOLK SOUTHERN CORP COM 655844108 9,897 128,400 SH PUT OTHER 0 128,400 0
NUCOR CORP COM 670346105 36,920 800,000 SH PUT OTHER 0 800,000 0
OMNICARE INC NOTE 3.750% 4/0 681904AP3 1,701 1,500,000 PRN OTHER 0 0 NONE
PARKER HANNIFIN CORP COM 701094104 999 10,912 SH OTHER 0 10,912 0
PBF ENERGY INC CL A 69318G106 372 10,000 SH OTHER 0 10,000 0
PENNEY J C INC COM 708160106 6,044 400,000 SH CALL OTHER 0 400,000 0
PHILLIPS 66 COM 718546104 560 8,000 SH OTHER 0 8,000 0
PIONEER NAT RES CO COM 723787107 1,864 15,000 SH OTHER 0 15,000 0
PROSHARES TR PSHS ULTSH 20YRS 74347B201 26,284 400,000 SH CALL OTHER 0 400,000 0
RADIAN GROUP INC NOTE 2.250% 3/0 750236AN1 6,067 5,000,000 PRN OTHER 0 0 NONE
ROYAL GOLD INC COM 780287108 710 10,000 SH PUT OTHER 0 10,000 0
SCHLUMBERGER LTD COM 806857108 749 10,000 SH OTHER 0 10,000 0
SCHLUMBERGER LTD COM 806857108 3,745 50,000 SH PUT OTHER 0 50,000 0
SELECT SECTOR SPDR TR SBI INT-ENERGY 81369Y506 10,113 127,500 SH OTHER 0 127,500 0
SELECT SECTOR SPDR TR SBI CONS DISCR 81369Y407 9,741 183,800 SH PUT OTHER 0 183,800 0
SELECT SECTOR SPDR TR SBI INT-FINL 81369Y605 5,463 300,000 SH PUT OTHER 0 300,000 0
SINA CORP ORD G81477104 7,289 150,000 SH CALL OTHER 0 150,000 0
SOLAZYME INC COM 83415T101 2,191 280,481 SH OTHER 0 280,481 0
SPDR GOLD TRUST GOLD SHS 78463V107 7,724 50,000 SH CALL OTHER 0 50,000 0
SPDR GOLD TRUST GOLD SHS 78463V107 12,219 79,100 SH PUT OTHER 0 79,100 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 3,533 22,568 SH OTHER 0 22,568 0
SPDR S&P 500 ETF TR TR UNIT 78462F103 7,834 50,000 SH PUT OTHER 0 50,000 0
TELEFLEX INC NOTE 3.875% 8/0 879369AA4 4,384 3,000,000 PRN OTHER 0 0 NONE
THERAVANCE INC NOTE 2.125% 1/1 88338TAB0 1,102 1,000,000 PRN OTHER 0 0 NONE
TOWER GROUP INTL LTD COM G8988C105 3,690 200,000 SH OTHER 0 200,000 0
U S AIRWAYS GROUP INC COM 90341W108 424,250 25,000,000 SH CALL OTHER 0 25,000,000 0
U S AIRWAYS GROUP INC COM 90341W108 3,946 232,500 SH PUT OTHER 0 232,500 0
U S G CORP COM NEW 903293405 793 30,000 SH OTHER 0 30,000 0
UNITED PARCEL SERVICE INC CL B 911312106 7,731 90,000 SH PUT OTHER 0 90,000 0
UNITED STATES OIL FUND LP UNITS 91232N108 1,738 50,000 SH CALL OTHER 0 50,000 0
UNITED STATES OIL FUND LP UNITS 91232N108 29,534 849,900 SH PUT OTHER 0 849,900 0
UNITED THERAPEUTICS CORP DEL NOTE 1.000% 9/1 91307CAF9 6,879 5,000,000 PRN OTHER 0 0 NONE
VERISIGN INC SDCV 3.250% 8/1 92343EAD4 11,942 8,040,000 SH OTHER 0 8,040,000 0
VERIZON COMMUNICATIONS INC COM 92343V104 1,302 26,500 SH PUT OTHER 0 26,500 0
WESTERN UN CO COM 959802109 825 54,854 SH OTHER 0 54,854 0
WESTLAKE CHEM CORP COM 960413102 1,590 17,000 SH OTHER 0 17,000 0
XEROX CORP COM 984121103 860 100,000 SH CALL OTHER 0 100,000 0