# EDGAR Filing Document

**Accession Number:** 0001610880
**File Stem:** 0000905148-23-000243
**Filing Date:** 2023-2
**Character Count:** 21965
**Document Hash:** a36dc55cea85bc52f359061dd2efc693
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000905148-23-000243.hdr.sgml**: 20230214

**ACCESSION NUMBER**: 0000905148-23-000243

**CONFORMED SUBMISSION TYPE**: 13F-HR

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230214

**DATE AS OF CHANGE**: 20230214

**EFFECTIVENESS DATE**: 20230214

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlueCrest Capital Management Ltd
- **CENTRAL INDEX KEY:** 0001610880
- **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:** 23630510

**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

### FORM 13F COVER PAGE

**Report for the Calendar Year or Quarter Ended:** 12-31-2022

**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 Ltd<br>**Address:** GROUND FLOOR HARBOUR REACH<br>LA RUE DE CARTERET<br>ST HELIER, Y9 JE2 4HR

**Form 13F File Number:** 028-16345

**CRD Number (if applicable):** 000148823

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 form.

**Person Signing this Report on Behalf of Reporting Manager:**

**Name:** Margot Marshall<br>**Title:** Head of Compliance<br>**Phone:** 44-20-3180-3040

**Signature, Place, and Date of Signing:**

/s/ Margot Marshall  London, X0  02-14-2023<br>[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 are reported 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).)

### Form 13F Summary Page

**Report Summary:**

**Number of Other Included Managers:** 0

**Form 13F Information Table Entry Total:** 159

**Form 13F Information Table Value Total:** $3740780920

      (round to nearest dollar)

**List of Other Included Managers:**

Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report.

[If there are no entries in this list, state “NONE” and omit the column headings and list entries.]

**NONE**

### FORM 13F INFORMATION TABLE

---

|  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| NAME OF ISSUER | TITLE OF CLASS | CUSIP | FIGI | VALUE (x$1000) | SHRS OR PRN AMT | SH/PRN | PUT/CALL | INVESTMENT DISCRETION | OTHER MANAGER | VOTING AUTHORITY | VOTING AUTHORITY | VOTING AUTHORITY |
| NAME OF ISSUER | TITLE OF CLASS | CUSIP | FIGI | VALUE (x$1000) | SHRS OR PRN AMT | SH/PRN | PUT/CALL | INVESTMENT DISCRETION | OTHER MANAGER | SOLE | SHARED | NONE |
| 8X8 INC NEW | NOTE 4.000% 2/0 | 282914AE0 |  | 5368773 | 6500000 | PRN |  | OTR |  | 0 | 0 | 6500000 |
| AECOM | COM | 00766T100 | BBG001SKTTF1 | 7835982 | 92264 | SH |  | OTR |  | 0 | 92264 | 0 |
| AES CORP | UNIT 02/15/2024 | 00130H204 |  | 8157638 | 79969 | SH |  | OTR |  | 0 | 79969 | 0 |
| AGNC INVT CORP | COM | 00123Q104 | BBG001T074G2 | 4815451 | 465261 | SH |  | OTR |  | 0 | 465261 | 0 |
| ALGONQUIN PWR UTILS CORP | UNIT 06/15/2024 | 015857873 |  | 7941477 | 332697 | SH |  | OTR |  | 0 | 332697 | 0 |
| ALPHABET INC | CAP STK CL A | 02079K305 | BBG009S39JY5 | 7584163 | 85959 | SH |  | OTR |  | 0 | 85959 | 0 |
| ALTC ACQUISITION CORP | COM CL A | 02156V109 | BBG0112CBMQ8 | 10912000 | 1100000 | SH |  | OTR |  | 0 | 1100000 | 0 |
| AMERICAN AIRLINES GROUP INC | NOTE 6.500% 7/0 | 02376RAF9 |  | 16924560 | 16000000 | PRN |  | OTR |  | 0 | 0 | 16000000 |
| AMERICAN AIRLS GROUP INC | COM | 02376R102 | BBG005P7Q907 | 1609080 | 126500 | SH | Put | OTR |  | 0 | 126500 | 0 |
| AMERICAN ELEC PWR CO INC | COM | 025537101 | BBG001S5NFD2 | 3156328 | 33242 | SH |  | OTR |  | 0 | 33242 | 0 |
| AMYRIS INC | NOTE 1.500%11/1 | 03236MAJ0 |  | 4149514 | 12820000 | PRN |  | OTR |  | 0 | 0 | 12820000 |
| ANNALY CAPITAL MANAGEMENT IN | COM NEW | 035710839 | BBG001S8J4S0 | 3162000 | 150000 | SH |  | OTR |  | 0 | 150000 | 0 |
| ANZU SPECIAL ACQUISITIN CORP | *W EXP 01/27/202 | 03737A119 |  | 7600 | 20000000 | SH |  | OTR |  | 0 | 20000000 | 0 |
| ANZU SPECIAL ACQUISITIN CORP | COM CL A | 03737A101 | BBG00Z6RQKZ5 | 3006000 | 300000 | SH |  | OTR |  | 0 | 300000 | 0 |
| APPLE INC | COM | 037833100 | BBG001S5N8V8 | 259860000 | 2000000 | SH | Put | OTR |  | 0 | 2000000 | 0 |
| ARRAY TECHNOLOGIES INC | NOTE 1.000%12/0 | 04271TAB6 |  | 11049200 | 10876000 | PRN |  | OTR |  | 0 | 0 | 10876000 |
| ARYA SCIENCES ACQUISITN CORP | CLASS A ORD SHS | G31658100 | BBG011LN0WM7 | 2522500 | 250000 | SH |  | OTR |  | 0 | 250000 | 0 |
| AXON ENTERPRISE INC | COM | 05464C101 | BBG001SB2HG5 | 829650 | 5000 | SH |  | OTR |  | 0 | 5000 | 0 |
| B. RILEY FINANCIAL INC | COM | 05580M108 | BBG001SV8TK4 | 1026000 | 30000 | SH |  | OTR |  | 0 | 30000 | 0 |
| BECTON DICKINSON  CO | 6% DP CONV PFD B | 075887406 |  | 778944 | 15554 | SH |  | OTR |  | 0 | 15554 | 0 |
| BIOMX INC | *W EXP 10/28/202 | 09090D111 |  | 1612 | 8060500 | SH |  | OTR |  | 0 | 8060500 | 0 |
| BIOTE CORP | *W EXP 05/26/202 | 090683111 |  | 76424 | 25474500 | SH |  | OTR |  | 0 | 25474500 | 0 |
| BOOKING HOLDINGS INC | COM | 09857L108 | BBG001S89N72 | 1406665 | 698 | SH |  | OTR |  | 0 | 698 | 0 |
| BOSTON SCIENTIFIC CORP | 5.50% CNV PFD A | 101137206 |  | 7924302 | 69015 | SH |  | OTR |  | 0 | 69015 | 0 |
| BROADMARK RLTY CAP INC | *W EXP 11/15/202 | 11135B118 |  | 18363 | 1530282300 | SH |  | OTR |  | 0 | 1530282300 | 0 |
| BROOGE ENERGY LTD | *W EXP 12/20/202 | G1611B115 |  | 2288081 | 1144040300 | SH |  | OTR |  | 0 | 1144040300 | 0 |
| BROOGE ENERGY LTD | SHS | G1611B107 | BBG00P35N4N0 | 1203750 | 225000 | SH |  | OTR |  | 0 | 225000 | 0 |
| BROOKDALE SR LIVING INC | UNIT 11/15/2023 | 112463302 |  | 2128259 | 48118 | SH |  | OTR |  | 0 | 48118 | 0 |
| CARNIVAL CORP | COMMON STOCK | 143658300 | BBG001S5PL01 | 403000 | 50000 | SH | Call | OTR |  | 0 | 50000 | 0 |
| CC NEUBERGER PRINCIPAL HOLDN | *W EXP 02/05/202 | G1992N126 |  | 7560 | 15000000 | SH |  | OTR |  | 0 | 15000000 | 0 |
| CENTURY ALUM CO | NOTE 2.750% 5/0 | 156431AQ1 |  | 3952847 | 5473000 | PRN |  | OTR |  | 0 | 0 | 5473000 |
| CERIDIAN HCM HLDG INC | NOTE 0.250% 3/1 | 15677JAD0 |  | 1806602 | 2055000 | PRN |  | OTR |  | 0 | 0 | 2055000 |
| CHART INDS INC | 6.75DP CNV PFD B | 16115Q407 |  | 1254100 | 24765 | SH |  | OTR |  | 0 | 24765 | 0 |
| CHURCHILL CAPITAL CORP VII | *W EXP 02/29/202 | 17144M110 |  | 5681 | 11500000 | SH |  | OTR |  | 0 | 11500000 | 0 |
| COHERENT CORP | 6% CONV PFD A | 19247G206 |  | 6791912 | 42476 | SH |  | OTR |  | 0 | 42476 | 0 |
| COMPutE HEALTH ACQUISITIN CO | *W EXP 01/25/202 | 204833115 |  | 1930 | 1716700 | SH |  | OTR |  | 0 | 1716700 | 0 |
| CORSAIR PARTNERING CORP | UNIT 99/99/9999 | G2540H124 | BBG00ZKY2N66 | 10868000 | 1100000 | SH |  | OTR |  | 0 | 1100000 | 0 |
| CRITEO S A | SPONS ADS | 226718104 | BBG005938P71 | 58895600 | 2260000 | SH |  | OTR |  | 0 | 2260000 | 0 |
| CROWN PROPTECH ACQUISITIONS | SHS CL A | G25741102 | BBG00Z17K8Q7 | 8309530 | 821912 | SH |  | OTR |  | 0 | 821912 | 0 |
| DANAHER CORPORATION | COM | 235851102 | BBG001S5QGT0 | 5340516 | 20121 | SH |  | OTR |  | 0 | 20121 | 0 |
| DBX ETF TR | XTRACK HRVST CSI | 233051879 | BBG005HJL932 | 30822000 | 1100000 | SH |  | OTR |  | 0 | 1100000 | 0 |
| DBX ETF TR | XTRACK HRVST CSI | 233051879 | BBG005HJL932 | 16812000 | 600000 | SH | Call | OTR |  | 0 | 600000 | 0 |
| DBX ETF TR | XTRACK USD HIGH | 233051432 | BBG00FGWY4G5 | 10180589 | 302005 | SH |  | OTR |  | 0 | 302005 | 0 |
| DIGITAL MEDIA SOLUTIONS INC | *W EXP 07/15/202 | 25401G114 |  | 162722 | 154092700 | SH |  | OTR |  | 0 | 154092700 | 0 |
| DISNEY WALT CO | COM | 254687106 | BBG001S5QHF3 | 1157242 | 13320 | SH |  | OTR |  | 0 | 13320 | 0 |
| DMY TECHNOLOGY GROUP INC VI | *W EXP 99/99/999 | 233247113 |  | 7663 | 7298000 | SH |  | OTR |  | 0 | 7298000 | 0 |
| DMY TECHNOLOGY GROUP INC VI | CL A COM | 233247105 | BBG01252TR03 | 2112510 | 210200 | SH |  | OTR |  | 0 | 210200 | 0 |
| DRAGONEER GROWTH OPT CORP II | CL A SHS | G28315102 | BBG00ZHSJQL1 | 7888000 | 800000 | SH |  | OTR |  | 0 | 800000 | 0 |
| ELANCO ANIMAL HEALTH INC | UNIT 02/01/2023 | 28414H202 |  | 782762 | 40080 | SH |  | OTR |  | 0 | 40080 | 0 |
| EPR PPTYS | PFD C CV 5.75% | 26884U208 |  | 853305 | 47485 | SH |  | OTR |  | 0 | 47485 | 0 |
| ESPERION THERAPEUTICS INC NE | NOTE 4.000%11/1 | 29664WAB1 |  | 1844962 | 3350000 | PRN |  | OTR |  | 0 | 0 | 3350000 |
| FIRST TR EXCHANGE-TRADED FD | FST LOW OPPT EFT | 33739Q200 | BBG007GFNV45 | 2116430 | 44641 | SH |  | OTR |  | 0 | 44641 | 0 |
| FLEXSHARES TR | MORNSTAR UPSTR | 33939L407 | BBG00243P8S9 | 24984817 | 574760 | SH |  | OTR |  | 0 | 574760 | 0 |
| FOXO TECHNOLOGIES INC | *W EXP 08/01/202 | 351471115 |  | 85860 | 319180900 | SH |  | OTR |  | 0 | 319180900 | 0 |
| FTAC HERA ACQUISITION CORP | *W EXP 02/28/202 | G3728Y111 |  | 4125 | 15000000 | SH |  | OTR |  | 0 | 15000000 | 0 |
| GELESIS HLDGS INC | *W EXP 01/13/202 | 36850R113 |  | 5118 | 57500000 | SH |  | OTR |  | 0 | 57500000 | 0 |
| GETAROUND INC | *W EXP 03/09/202 | 37427G119 |  | 3656 | 8000000 | SH |  | OTR |  | 0 | 8000000 | 0 |
| GFL ENVIRONMENTAL INC | UNIT 03/15/2023 | 36168Q120 |  | 26364992 | 407559 | SH |  | OTR |  | 0 | 407559 | 0 |
| GLOBAL CORD BLOOD CORPORATIO | SHS | G39342103 | BBG001SSQLY3 | 2237381 | 748889 | SH |  | OTR |  | 0 | 748889 | 0 |
| GLOBAL PARTNER ACQISTN CORP | *W EXP 01/14/202 | G3934P128 |  | 2500 | 8333400 | SH |  | OTR |  | 0 | 8333400 | 0 |
| GOSSAMER BIO INC | NOTE 5.000% 6/0 | 38341PAA0 |  | 693470 | 2122000 | PRN |  | OTR |  | 0 | 0 | 2122000 |
| GRACO INC | COM | 384109104 | BBG001S5RK56 | 7193793 | 106955 | SH |  | OTR |  | 0 | 106955 | 0 |
| HALOZYME THERAPEUTICS INC | NOTE 0.250% 3/0 | 40637HAD1 |  | 1949690 | 2000000 | PRN |  | OTR |  | 0 | 0 | 2000000 |
| HERBALIFE NUTRITION LTD | COM SHS | G4412G101 | BBG001SKFKY4 | 1078800 | 72500 | SH | Call | OTR |  | 0 | 72500 | 0 |
| HORIZON ACQUISITION CORPORAT | *W EXP 10/19/202 | G46044114 |  | 246000 | 60000000 | SH |  | OTR |  | 0 | 60000000 | 0 |
| INFINERA CORP | DEBT 3.750% 8/0 | 45667GAF0 |  | 13139015 | 10575000 | PRN |  | OTR |  | 0 | 0 | 10575000 |
| INNOVATE CORP | NOTE 7.500% 8/0 | 404139AG2 |  | 932434 | 1333000 | PRN |  | OTR |  | 0 | 0 | 1333000 |
| INSIGHT ENTERPRISES INC | NOTE 0.750% 2/1 | 45765UAB9 |  | 31115025 | 20680000 | PRN |  | OTR |  | 0 | 0 | 20680000 |
| INTERPRIVATE IV INFRATECH PR | *W EXP 03/05/202 | 46064T110 |  | 3208 | 8000000 | SH |  | OTR |  | 0 | 8000000 | 0 |
| INVESCO EXCH TRADED FD TR II | SR LN ETF | 46138G508 | BBG001V0MBC0 | 8949725 | 435934 | SH |  | OTR |  | 0 | 435934 | 0 |
| INVESCO EXCHANGE TRADED FD T | FINL PFD ETF | 46137V621 | BBG001SQ8PW0 | 290189 | 20152 | SH |  | OTR |  | 0 | 20152 | 0 |
| INVESCO QQQ TR | UNIT SER 1 | 46090E103 | BBG001S9GN63 | 306248628 | 1150100 | SH | Call | OTR |  | 0 | 1150100 | 0 |
| INVESCO QQQ TR | UNIT SER 1 | 46090E103 | BBG001S9GN63 | 40373107 | 151619 | SH |  | OTR |  | 0 | 151619 | 0 |
| INVESCO QQQ TR | UNIT SER 1 | 46090E103 | BBG001S9GN63 | 304890600 | 1145000 | SH | Put | OTR |  | 0 | 1145000 | 0 |
| ISHARES INC | MSCI BRAZIL ETF | 464286400 | BBG001SFN5N1 | 4195500 | 150000 | SH | Put | OTR |  | 0 | 150000 | 0 |
| ISHARES TR | 0-5YR HI YL CP | 46434V407 | BBG005DW06B7 | 1503771 | 36776 | SH |  | OTR |  | 0 | 36776 | 0 |
| ISHARES TR | BROAD USD HIGH | 46435U853 | BBG00J2DS0J6 | 15768712 | 456667 | SH |  | OTR |  | 0 | 456667 | 0 |
| ISHARES TR | CHINA LG-CAP ETF | 464287184 | BBG001SMDNB1 | 5473220 | 193400 | SH |  | OTR |  | 0 | 193400 | 0 |
| ISHARES TR | CHINA LG-CAP ETF | 464287184 | BBG001SMDNB1 | 55468000 | 1960000 | SH | Call | OTR |  | 0 | 1960000 | 0 |
| ISHARES TR | CHINA LG-CAP ETF | 464287184 | BBG001SMDNB1 | 990500 | 35000 | SH | Put | OTR |  | 0 | 35000 | 0 |
| ISHARES TR | FLTG RATE NT ETF | 46429B655 | BBG001V1QYX1 | 46109326 | 916140 | SH |  | OTR |  | 0 | 916140 | 0 |
| ISHARES TR | IBOXX HI YD ETF | 464288513 | BBG001ST0ZQ7 | 11780800 | 160000 | SH | Call | OTR |  | 0 | 160000 | 0 |
| ISHARES TR | IBOXX HI YD ETF | 464288513 | BBG001ST0ZQ7 | 5139374 | 69800 | SH |  | OTR |  | 0 | 69800 | 0 |
| ISHARES TR | IBOXX HI YD ETF | 464288513 | BBG001ST0ZQ7 | 70316650 | 955000 | SH | Put | OTR |  | 0 | 955000 | 0 |
| ISHARES TR | IBOXX INV CP ETF | 464287242 | BBG001S60QR6 | 11394874 | 108080 | SH |  | OTR |  | 0 | 108080 | 0 |
| ISHARES TR | IBOXX INV CP ETF | 464287242 | BBG001S60QR6 | 100685650 | 955000 | SH | Put | OTR |  | 0 | 955000 | 0 |
| ISHARES TR | JPMORGAN USD EMG | 464288281 | BBG001SQS9Y2 | 35950750 | 425000 | SH | Put | OTR |  | 0 | 425000 | 0 |
| ISHARES TR | JPMORGAN USD EMG | 464288281 | BBG001SQS9Y2 | 21147500 | 250000 | SH | Call | OTR |  | 0 | 250000 | 0 |
| ISHARES TR | JPMORGAN USD EMG | 464288281 | BBG001SQS9Y2 | 27854134 | 329284 | SH |  | OTR |  | 0 | 329284 | 0 |
| ISHARES TR | MSCI EAFE ETF | 464287465 | BBG001SG09V7 | 8224692 | 125300 | SH |  | OTR |  | 0 | 125300 | 0 |
| ISHARES TR | MSCI EAFE ETF | 464287465 | BBG001SG09V7 | 33804600 | 515000 | SH | Put | OTR |  | 0 | 515000 | 0 |
| ISHARES TR | MSCI EMG MKT ETF | 464287234 | BBG001SK77D5 | 49270000 | 1300000 | SH | Call | OTR |  | 0 | 1300000 | 0 |
| ISHARES TR | MSCI EMG MKT ETF | 464287234 | BBG001SK77D5 | 1125630 | 29700 | SH |  | OTR |  | 0 | 29700 | 0 |
| ISHARES TR | MSCI UK ETF NEW | 46435G334 | BBG001S8SYX8 | 613200 | 20000 | SH |  | OTR |  | 0 | 20000 | 0 |
| ISHARES TR | NATIONAL MUN ETF | 464288414 | BBG001SZV978 | 10010577 | 94869 | SH |  | OTR |  | 0 | 94869 | 0 |
| ISHARES TR | RUSSELL 2000 ETF | 464287655 | BBG001SFC7Y7 | 17436000 | 100000 | SH | Put | OTR |  | 0 | 100000 | 0 |
| ISHARES TR | RUSSELL 2000 ETF | 464287655 | BBG001SFC7Y7 | 523080 | 3000 | SH |  | OTR |  | 0 | 3000 | 0 |
| JACK CREEK INVESTMENT CORP | CL A SHS | G4989X115 | BBG00ZMHN718 | 7597500 | 750000 | SH |  | OTR |  | 0 | 750000 | 0 |
| KAIROS ACQUISITION CORP | *W EXP 11/30/202 | G52110106 |  | 30 | 30000000 | SH |  | OTR |  | 0 | 30000000 | 0 |
| KAIROS ACQUISITION CORP | CL A SHS | G52110114 | BBG00YZ69S57 | 4936750 | 490000 | SH |  | OTR |  | 0 | 490000 | 0 |
| KHOSLA VENTURES ACQUISITION | CL A | 482504107 | BBG00Z8MS335 | 2740508 | 274600 | SH |  | OTR |  | 0 | 274600 | 0 |
| KHOSLA VENTURES ACQUT CO III | COM CL A | 482506102 | BBG00Z8MT2C6 | 4977500 | 500000 | SH |  | OTR |  | 0 | 500000 | 0 |
| KKR  CO INC | 6% MCONV PFD C | 48251W401 |  | 803618 | 14037 | SH |  | OTR |  | 0 | 14037 | 0 |
| KRANESHARES TR | CSI CHI INTERNET | 500767306 | BBG004XB9HZ5 | 35229327 | 1166534 | SH |  | OTR |  | 0 | 1166534 | 0 |
| LANNETT CO INC | NOTE 4.500%10/0 | 51602UAC2 |  | 436150 | 2975000 | PRN |  | OTR |  | 0 | 0 | 2975000 |
| LDH GROWTH CORP I | UNIT 03/17/2026 | G54094118 | BBG00Z3K3X08 | 2014000 | 200000 | SH |  | OTR |  | 0 | 200000 | 0 |
| LEAD EDGE GROWTH OPRTUNTS LT | *W EXP 04/01/202 | G54085116 |  | 1875 | 3750000 | SH |  | OTR |  | 0 | 3750000 | 0 |
| LOCKHEED MARTIN CORP | COM | 539830109 | BBG001S7PS57 | 6810860 | 14000 | SH | Put | OTR |  | 0 | 14000 | 0 |
| MFA FINL INC | COM | 55272X607 | BBG001S86YS8 | 1646526 | 167160 | SH |  | OTR |  | 0 | 167160 | 0 |
| MR COOPER GROUP INC | COM | 62482R107 | BBG002V09956 | 20964313 | 522410 | SH |  | OTR |  | 0 | 522410 | 0 |
| NEXTERA ENERGY INC | UNIT 03/01/2023 | 65339F770 |  | 23128326 | 456180 | SH |  | OTR |  | 0 | 456180 | 0 |
| NEXTERA ENERGY INC | UNIT 09/01/2023 | 65339F739 |  | 1267198 | 25098 | SH |  | OTR |  | 0 | 25098 | 0 |
| NEXTERA ENERGY INC | UNIT 09/01/2025 | 65339F713 |  | 314194 | 6445 | SH |  | OTR |  | 0 | 6445 | 0 |
| NISOURCE INC | UNIT 12/01/2023 | 65473P121 |  | 21206506 | 205370 | SH |  | OTR |  | 0 | 205370 | 0 |
| NOBLE CORP PLC | ORD SHS A | G65431127 | BBG018KBK3H7 | 1142726 | 30303 | SH |  | OTR |  | 0 | 30303 | 0 |
| NORTH ATLANTIC ACQUISITN COR | *W EXP 10/20/202 | G66139125 |  | 29623 | 144500000 | SH |  | OTR |  | 0 | 144500000 | 0 |
| PARAMOUNT GLOBAL | 5.75% CONV PFD A | 92556H305 |  | 533546 | 21540 | SH |  | OTR |  | 0 | 21540 | 0 |
| PENNYMAC FINL SVCS INC NEW | COM | 70932M107 | BBG00LMYX132 | 4951631 | 87392 | SH |  | OTR |  | 0 | 87392 | 0 |
| PETROLEO BRASILEIRO SA PETRO | SP ADR NON VTG | 71654V101 | BBG001SFJFD5 | 1781655 | 191782 | SH |  | OTR |  | 0 | 191782 | 0 |
| PG CORP | UNIT 08/16/2023 | 69331C140 |  | 13060355 | 90546 | SH |  | OTR |  | 0 | 90546 | 0 |
| RBC BEARINGS INC | 5% CNV PFD SR A | 75524B203 |  | 603581 | 5884 | SH |  | OTR |  | 0 | 5884 | 0 |
| RELIANCE STEEL  ALUMINUM CO | COM | 759509102 | BBG001S81M27 | 6603998 | 32622 | SH |  | OTR |  | 0 | 32622 | 0 |
| RITHM CAPITAL CORP | COM NEW | 64828T201 | BBG003T1GM12 | 13123561 | 1606311 | SH |  | OTR |  | 0 | 1606311 | 0 |
| RMG ACQUISITION CORP III | *W EXP 02/08/202 | G76088122 |  | 185 | 615500 | SH |  | OTR |  | 0 | 615500 | 0 |
| SELECT SECTOR SPDR TR | ENERGY | 81369Y506 | BBG001S7T1S7 | 267658200 | 3060000 | SH | Call | OTR |  | 0 | 3060000 | 0 |
| SELECT SECTOR SPDR TR | ENERGY | 81369Y506 | BBG001S7T1S7 | 442108368 | 5054400 | SH | Put | OTR |  | 0 | 5054400 | 0 |
| SELECT SECTOR SPDR TR | FINANCIAL | 81369Y605 | BBG001S7T223 | 3009600 | 88000 | SH |  | OTR |  | 0 | 88000 | 0 |
| SELECT SECTOR SPDR TR | SBI INT-INDS | 81369Y704 | BBG001S7T232 | 19642000 | 200000 | SH | Put | OTR |  | 0 | 200000 | 0 |
| SERVICE CORP INTL | COM | 817565104 | BBG001S5WBJ5 | 5762335 | 83343 | SH |  | OTR |  | 0 | 83343 | 0 |
| SHAW COMMUNICATIONS INC | CL B CONV | 82028K200 | BBG001S5W3K1 | 10835670 | 376500 | SH |  | OTR |  | 0 | 376500 | 0 |
| SITIO ROYALTIES CORP | *W EXP 08/23/202 | 82983N116 |  | 353667 | 307336400 | SH |  | OTR |  | 0 | 307336400 | 0 |
| SOUTH JERSEY INDS INC | UNIT 04/01/2024 | 838518306 |  | 4856109 | 70358 | SH |  | OTR |  | 0 | 70358 | 0 |
| SPDR GOLD TR | GOLD SHS | 78463V107 | BBG001SCPX28 | 331137280 | 1952000 | SH | Call | OTR |  | 0 | 1952000 | 0 |
| SPDR GOLD TR | GOLD SHS | 78463V107 | BBG001SCPX28 | 155220600 | 915000 | SH | Put | OTR |  | 0 | 915000 | 0 |
| SPDR INDEX SHS FDS | EURO STOXX 50 | 78463X202 | BBG001SLBK12 | 5563125 | 143750 | SH |  | OTR |  | 0 | 143750 | 0 |
| SPDR INDEX SHS FDS | EURO STOXX 50 | 78463X202 | BBG001SLBK12 | 34056000 | 880000 | SH | Put | OTR |  | 0 | 880000 | 0 |
| SPDR S 500 ETF TR | TR UNIT | 78462F103 | BBG001S72SM3 | 2275459 | 5950 | SH |  | OTR |  | 0 | 5950 | 0 |
| SPDR S 500 ETF TR | TR UNIT | 78462F103 | BBG001S72SM3 | 63483380 | 166000 | SH | Put | OTR |  | 0 | 166000 | 0 |
| SPDR S 500 ETF TR | TR UNIT | 78462F103 | BBG001S72SM3 | 272749076 | 713200 | SH | Call | OTR |  | 0 | 713200 | 0 |
| SPDR SER TR | NUVEEN BLMBRG MU | 78468R721 | BBG001SRSPW6 | 7994449 | 175240 | SH |  | OTR |  | 0 | 175240 | 0 |
| SPLUNK INC | NOTE 1.125% 6/1 | 848637AF1 |  | 2126075 | 2500000 | PRN |  | OTR |  | 0 | 0 | 2500000 |
| SUNNOVA ENERGY INTL INC. | NOTE 0.250%12/0 | 86745KAF1 |  | 9728535 | 12515000 | PRN |  | OTR |  | 0 | 0 | 12515000 |
| SUPERNOVA PARTN ACQ CO III L | *W EXP 99/99/999 | G8T90F128 |  | 3072 | 13355900 | SH |  | OTR |  | 0 | 13355900 | 0 |
| SVF INVESTMENT CORP | *W EXP 01/12/202 | G8601L128 |  | 1102 | 4255300 | SH |  | OTR |  | 0 | 4255300 | 0 |
| SVF INVESTMENT CORP | CL A SHS | G8601L102 | BBG00YNK2P34 | 1095358 | 108344 | SH |  | OTR |  | 0 | 108344 | 0 |
| SVF INVESTMENT CORP 2 | CL A SHS | G8601M100 | BBG00Z72FCM3 | 2018000 | 200000 | SH |  | OTR |  | 0 | 200000 | 0 |
| TAILWIND ACQUISITION CORP | *W EXP 09/07/202 | 87403Q110 |  | 22525 | 32178000 | SH |  | OTR |  | 0 | 32178000 | 0 |
| TAIWAN SEMICONDUCTOR MFG LTD | SPONSORED ADS | 874039100 | BBG001S5WWW4 | 9907915 | 133010 | SH |  | OTR |  | 0 | 133010 | 0 |
| TORO CO | COM | 891092108 | BBG001S5WX98 | 6943009 | 61334 | SH |  | OTR |  | 0 | 61334 | 0 |
| TRICIDA INC | NOTE 3.500% 5/1 | 89610FAB7 |  | 626244 | 6779000 | PRN |  | OTR |  | 0 | 0 | 6779000 |
| UGI CORP NEW | UNIT 06/01/2024 | 902681113 |  | 2228037 | 25780 | SH |  | OTR |  | 0 | 25780 | 0 |
| UNITED THERAPEUTICS CORP DEL | COM | 91307C102 | BBG001S8RV10 | 6476716 | 23290 | SH |  | OTR |  | 0 | 23290 | 0 |
| UNITI GROUP INC | COM | 91325V108 | BBG002B67HC1 | 171983 | 31100 | SH | Call | OTR |  | 0 | 31100 | 0 |
| VACCITECH PLC | ADS | 91864C107 | BBG00ZZPCPV5 | 1275282 | 542673 | SH |  | OTR |  | 0 | 542673 | 0 |
| VANECK ETF TRUST | GOLD MINERS ETF | 92189F106 | BBG001SR42Z0 | 30379600 | 1060000 | SH | Call | OTR |  | 0 | 1060000 | 0 |
| VANECK ETF TRUST | PREFERRED SECURT | 92189F429 | BBG0034VZPF0 | 199885 | 11962 | SH |  | OTR |  | 0 | 11962 | 0 |
| VANGUARD MUN BD FDS | TAX EXEMPT BD | 922907746 | BBG009THVRX1 | 3385561 | 68409 | SH |  | OTR |  | 0 | 68409 | 0 |
| VANGUARD SCOTTSDALE FDS | SHRT TRM CORP BD | 92206C409 | BBG001T62KZ7 | 6137985 | 81633 | SH |  | OTR |  | 0 | 81633 | 0 |
| VINTAGE WINE ESTATES INC | *W EXP 06/08/202 | 92747V114 |  | 1742224 | 580741400 | SH |  | OTR |  | 0 | 580741400 | 0 |

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