13F-HR 1 d717127_13f-hr.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F Cover Page Report for the Calendar Year or Quarter Ended September 30, 2006 Check here if Amendment: | |; Amendment Number: This Amendment (Check only one): | | is a restatement |_| adds new holding entries. Institutional Manager Filing this Report: Name: Cobalt Capital Management, Inc. Address: 237 Park Avenue, Suite 900 New York, New York 10017 13F File Number: 028-04967 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: Wayne Cooperman Title: President Phone: (212) 808-3756 Signature, Place and Date of Signing: /s/ Wayne Cooperman New York, New York November 14, 2006 ----------------------- -------------------------- ---------------------- [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 managers(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: NONE Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 2 Form 13F Information Table Entry Total: 80 Form 13F Information Table Value Total: $1,233,141 (thousands) 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. No. Form 13F File Number Name 1. 028-10571 Cobalt Offshore Fund Limited 2. 028-10572 Cobalt Partners, L.P. ----------------------- ------------------------------------ FORM 13F INFORMATION TABLE

COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8 TITLE VALUE SHRS OR SH/ PUT/ INVSTMT OTHR VOTING AUTHORITY NAME OF ISSUER OF CLASS CUSIP (x1000) PRN AMT PRN CALL DISCRETN MGRS SOLE SHARED NONE -------------- -------- ----- ------- ------- --- ---- -------- ---- ---- ------ ---- AGRIUM INC COM 008916108 2,699 100,000 SHARED 1, 2 100,000 ALLEGHENY TECHNOLOGIES INC COM 01741R102 39,303 631,984 SHARED 1, 2 631,984 AMERICAN TOWER CORP CLA 029912201 93,099 2,550,649 SHARED 1, 2 2,550,649 ARAMARK CORP CLB 038521100 986 30,000 SHARED 1, 2 30,000 ARBITRON INC COM 03875Q108 7,402 200,000 SHARED 1, 2 200,000 ARCH COAL INC COM 039380100 6,709 232,049 SHARED 1, 2 232,049 ATLAS AMER INC COM 049167109 85,954 2,013,909 SHARED 1, 2 2,013,909 AVENTINE RENEWABLE ENERGY COM 05356X403 1,070 50,000 SHARED 1, 2 50,000 BAXTER INTL INC COM 071813109 7,728 170,000 SHARED 1, 2 170,000 BOEING CO COM 097023105 10,881 138,000 SHARED 1, 2 138,000 CHESAPEAKE ENERGY CORP COM 165167107 5,796 200,000 SHARED 1, 2 200,000 CISCO SYSTEMS INC COM 17275R102 5,118 222,700 SHARED 1, 2 222,700 CROWN HOLDINGS INC COM 228368106 35,500 1,908,600 SHARED 1, 2 1,908,600 CVS CORP COM 126650100 38,179 1,188,623 SHARED 1, 2 1,188,623 DIAMOND OFFSHORE DRILLING INC COM 25271C102 21,711 300,000 SHARED 1, 2 300,000 EAGLE MATERIALS INC COM 26969P108 337 10,000 SHARED 1, 2 10,000 EATON CORP COM 278058102 8,951 130,000 SHARED 1, 2 130,000 EMBARQ CORP COM 29078E105 4,837 100,000 SHARED 1, 2 100,000 ENERGY CONVERSION DEVICES IN COM 292659109 947 25,573 SHARED 1, 2 25,573 EVERGREEN SOLAR INC COM 30033R108 469 56,523 SHARED 1, 2 56,523 FOOT LOCKER INC COM 344849104 3,030 120,000 SHARED 1, 2 120,000 FOUNDATION COAL HLDGS INC COM 35039W100 1,619 50,000 SHARED 1, 2 50,000 FRANKLIN RES INC COM 354613101 21,150 200,000 SHARED 1, 2 200,000 FREEPORT-MCMORAN COPPER & GO CLB 35671D857 27,382 514,111 SHARED 1, 2 514,111 FRONTIER OIL CORP COM 35914P105 8,506 320,000 SHARED 1, 2 320,000 GAMESTOP CORP NEW CL B 36467W208 10,396 232,527 SHARED 1, 2 232,527 GARMIN LTD ORD G37260109 6,434 131,893 SHARED 1, 2 131,893 GATX CORP COM 361448103 9,151 221,200 SHARED 1, 2 221,200 GENESCO INC COM 371532102 1,724 50,000 SHARED 1, 2 50,000 HALLIBURTON CO COM 406216101 11,380 400,000 SHARED 1, 2 400,000 HOME DEPOT INC COM 437076102 4,969 137,000 SHARED 1, 2 137,000 HOVNANIAN ENTERPRISES INC CLA 442487203 6,073 207,000 SHARED 1, 2 207,000 INCO LTD COM 453258402 8,390 110,000 SHARED 1, 2 110,000 IPSCO INC COM 462622101 34,710 400,479 SHARED 1, 2 400,479 LAMAR ADVERTISING CO CLA 512815101 10,372 194,188 SHARED 1, 2 194,188 LENNAR CORP CLA 526057104 3,113 68,800 SHARED 1, 2 68,800 LEVEL 3 COMMUNICATIONS COM 52729N100 539 100,000 SHARED 1, 2 100,000 MARTIN MARIETTA MATLS INC COM 573284106 22,247 262,900 SHARED 1, 2 262,900 MEDCO HEALTH SOLUTIONS INC COM 58405U102 12,022 200,000 SHARED 1, 2 200,000 MOHAWK INDS INC COM 608190104 7,095 95,300 SHARED 1, 2 95,300 MOVIE GALLERY INC COM 624581104 1,143 582,976 SHARED 1, 2 582,976 NATIONAL OILWELL VARCO INC COM 637071101 14,070 240,300 SHARED 1, 2 240,300 NEWS CORP CLA 65248E104 20,507 1,043,600 SHARED 1, 2 1,043,600 NOBLE CORPORATION SHS G65422100 128,849 2,007,620 SHARED 1, 2 2,007,620 NS GROUP INC COM 628916108 646 10,000 SHARED 1, 2 10,000 NTL INC DEL COM 62941W101 14,559 572,500 SHARED 1, 2 572,500 ORACLE CORP COM 68389X105 10,022 564,920 SHARED 1, 2 564,920 PEABODY ENERGY CORP COM 704549104 9,195 250,000 SHARED 1, 2 250,000 PENTAIR INC COM 709631105 1,388 53,000 SHARED 1, 2 53,000 PHELPS DODGE CORP COM 717265102 16,576 195,700 SHARED 1, 2 195,700 PHILLIPS VAN HEUSEN CORP COM 718592108 4,177 100,000 SHARED 1, 2 100,000 PLAINS EXPL & PRODTN CO COM 726505100 4,291 100,000 SHARED 1, 2 100,000 RAIT INVT TR COM 749227104 7,158 248,100 SHARED 1, 2 248,100 RESOURCE AMERICA INC CLA 761195205 21,230 1,020,696 SHARED 1, 2 1,020,696 RESOURCE CAP CORP COM 76120W302 15,891 361,900 SHARED 1, 2 361,900 RINKER GROUP LTD SPONSORED ADR 76687M101 561 10,900 SHARED 1, 2 10,900 SBA COMMUNICATIONS CORP COM 78388J106 17,496 719,132 SHARED 1, 2 719,132 SCHLUMBERGER LTD COM 806857108 3,102 50,000 SHARED 1, 2 50,000 SHIP FINANCE INTERNATIONAL L SHS G81075106 10,587 532,000 SHARED 1, 2 532,000 SPDR TR UNIT SER 1 78462F103 40,074 300,000 SHARED 1, 2 300,000 STANDARD PAC CORP NEW COM 85375C101 4,700 200,000 SHARED 1, 2 200,000 STEEL DYNAMICS INC COM 858119100 23,091 457,700 SHARED 1, 2 457,700 STREETTRACKS GOLD TR GOLD SHS 863307104 8,138 136,850 SHARED 1, 2 136,850 TARGET CORP COM 87612E106 5,525 100,000 SHARED 1, 2 100,000 TD AMERITRADE HLDG CORP COM 87236Y108 10,288 545,781 SHARED 1, 2 545,781 TEEKAY SHIPPING MARSHALL ISL COM Y8564W103 18,261 444,195 SHARED 1, 2 444,195 TENET HEALTHCARE CORP COM 88033G100 1,965 241,423 SHARED 1, 2 241,423 TIME WARNER INC COM 887317105 1,823 100,000 SHARED 1, 2 100,000 TITANIUM METALS CORP COM NEW 888339207 11,376 450,000 SHARED 1, 2 450,000 TRANSOCEAN INC ORD G90078109 87,141 1,189,964 SHARED 1, 2 1,189,964 TRINITY INDS COM 896522109 6,209 193,000 SHARED 1, 2 193,000 TYSON FOODS INC CLA 902494103 4,596 289,400 SHARED 1, 2 289,400 UAL CORP COM NEW 902549807 10,628 400,000 SHARED 1, 2 400,000 UNITED STATES STL CORP NEW COM 912909108 13,468 233,500 SHARED 1, 2 233,500 UNITED TECHNOLOGIES CORP COM 913017109 12,670 200,000 SHARED 1, 2 200,000 US AIRWAYS GROUP INC COM 90341W108 12,044 271,700 SHARED 1, 2 271,700 VULCAN MATLS CO COM 929160109 35,029 447,651 SHARED 1, 2 447,651 WAL MART STORES INC COM 931142103 4,932 100,000 SHARED 1, 2 100,000 WCI CMNTYS INC COM 92923C104 4,881 279,900 SHARED 1, 2 279,900 WELLPOINT INC COM 94973V107 26,883 348,900 SHARED 1, 2 348,900 TOTAL 1,233,141

SK 01181 0005 717127