13F-HR 1 d1121902_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 June 30, 2010 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 August 16, 2010 ----------------------- -------------------------- ---------------------- [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: 3 Form 13F Information Table Entry Total: 69 Form 13F Information Table Value Total: $1,561,273 (in 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. 028-13397 Cobalt Offshore Master Fund LP 2. 028-10572 Cobalt Partners, L.P. 3. 028-12326 Cobalt Partners II, L.P. ---------------------- ------------------------------------ FORM 13F INFORMATION TABLE

COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COL 7 COLUMN 8 VALUE SHS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MGRS SOLE SHARED NONE ACE LTD COM H0023R105 66,061 1,283,244 SH Shared-defined 1,2,3 1,283,244 ADVANCED MICRO DEVICES INC NOTE 5.750% 8/1 007903AN7 28,336 29,000,000 PRN Shared-defined 1,2,3 29,000,000 ALPHA NATURAL RESOURCES INC COM 02076X102 23,370 690,000 SH Shared-defined 1,2,3 690,000 AMERICAN TOWER CORP CL A 029912201 8,900 200,000 SH Shared-defined 1,2,3 200,000 APOLLO GROUP INC CL A 037604105 425 10,000 SH Shared-defined 1,2,3 10,000 ARVINMERITOR INC COM 043353101 32,290 2,464,889 SH Shared-defined 1,2,3 2,464,889 ATLAS ENERGY INC COM 049298102 116,476 4,302,776 SH Shared-defined 1,2,3 4,302,776 BARRICK GOLD CORP COM 067901108 31,787 700,000 SH Shared-defined 1,2,3 700,000 BMC SOFTWARE INC COM 055921100 20,085 580,000 SH Shared-defined 1,2,3 580,000 CABOT OIL & GAS CORP COM 127097103 1,566 50,000 SH Shared-defined 1,2,3 50,000 CF INDS HLDGS INC COM 125269100 49,750 784,086 SH Shared-defined 1,2,3 784,086 CISCO SYS INC COM 17275R102 4,262 200,000 SH Shared-defined 1,2,3 200,000 CLIFFS NATURAL RESOURCES INC COM 18683K101 19,404 411,450 SH Shared-defined 1,2,3 411,450 CROWN CASTLE INTL CORP COM 228227104 93,665 2,513,824 SH Shared-defined 1,2,3 2,513,824 CROWN HOLDINGS INC COM 228368106 7,512 300,000 SH Shared-defined 1,2,3 300,000 CVS CAREMARK CORPORATION COM 126650100 21,859 745,525 SH Shared-defined 1,2,3 745,525 DANA HOLDING CORP COM 235825205 27,459 2,745,859 SH Shared-defined 1,2,3 2,745,859 DENBURY RES INC COM NEW 247916208 5,856 400,000 SH Shared-defined 1,2,3 400,000 DEVELOPERS DIVERSIFIED RLTY NOTE 3.500% 8/1 251591AQ6 22,942 23,500,000 PRN Shared-defined 1,2,3 23,500,000 DEVELOPERS DIVERSIFIED RLTY NOTE 3.000% 3/1 251591AS2 13,974 14,700,000 PRN Shared-defined 1,2,3 14,700,000 DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 6,208 145,700 SH Shared-defined 1,2,3 145,700 DOMTAR CORP COM NEW 257559203 14,285 290,631 SH Shared-defined 1,2,3 290,631 E TRADE FINANCIAL CORP COM NEW 269246401 3,391 286,900 SH Shared-defined 1,2,3 286,900 ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 7,593 481,160 SH Shared-defined 1,2,3 481,160 EOG RES INC COM 26875P101 1,967 20,000 SH Shared-defined 1,2,3 20,000 EXPRESS SCRIPTS INC COM 302182100 4,702 100,000 SH Shared-defined 1,2,3 100,000 GRAFTECH INTL LTD COM 384313102 10,128 692,772 SH Shared-defined 1,2,3 692,772 HERTZ GLOBAL HOLDINGS INC COM 42805T105 3,453 365,000 SH Shared-defined 1,2,3 365,000 INTEL CORP COM 458140100 36,150 1,858,627 SH Shared-defined 1,2,3 1,858,627 INTERNATIONAL BUSINESS MACHS COM 459200101 30,673 248,406 SH Shared-defined 1,2,3 248,406 INTL PAPER CO COM 460146103 49,644 2,193,736 SH Shared-defined 1,2,3 2,193,736 JO-ANN STORES INC COM 47758P307 16,620 443,072 SH Shared-defined 1,2,3 443,072 JPMORGAN CHASE & CO COM 46625H100 39,495 1,078,800 SH Shared-defined 1,2,3 1,078,800 KKR FINANCIAL HLDGS LLC COM 48248A306 58,218 7,804,076 SH Shared-defined 1,2,3 7,804,076 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 26,123 22,940,000 PRN Shared-defined 1,2,3 22,940,000 KKR FINANCIAL HLDGS LLC NOTE 7.000% 7/1 48248AAB4 21,169 21,275,000 PRN Shared-defined 1,2,3 21,275,000 LEAR CORP COM NEW 521865204 46,536 702,963 SH Shared-defined 1,2,3 702,963 LENNAR CORP CL A 526057104 8,975 645,200 SH Shared-defined 1,2,3 645,200 LINCOLN NATL CORP IND COM 534187109 22,092 909,528 SH Shared-defined 1,2,3 909,528 LOUISIANA PAC CORP COM 546347105 1,338 200,000 SH Shared-defined 1,2,3 200,000 LOWES COS INC COM 548661107 26,736 1,309,300 SH Shared-defined 1,2,3 1,309,300 MASTERCARD INC CL A 57636Q104 39,626 198,596 SH Shared-defined 1,2,3 198,596 MCKESSON CORP COM 58155Q103 10,074 150,000 SH Shared-defined 1,2,3 150,000 MFA FINANCIAL INC COM 55272X102 4,977 672,554 SH Shared-defined 1,2,3 672,554 MGIC INVT CORP WIS COM 552848103 179 26,000 SH Shared-defined 1,2,3 26,000 MICROSOFT CORP COM 594918104 13,806 600,000 SH Shared-defined 1,2,3 600,000 NAVISTAR INTL CORP NEW COM 63934E108 29,943 608,598 SH Shared-defined 1,2,3 608,598 ORACLE CORP COM 68389X105 17,168 800,000 SH Shared-defined 1,2,3 800,000 OWENS ILL INC COM NEW 690768403 37,452 1,415,946 SH Shared-defined 1,2,3 1,415,946 PALL CORP COM 696429307 9,967 290,000 SH Shared-defined 1,2,3 290,000 PENN VA CORP NOTE 4.500%11/1 707882AA4 15,754 17,000,000 PRN Shared-defined 1,2,3 17,000,000 PEOPLES UNITED FINANCIAL INC COM 712704105 5,948 440,588 SH Shared-defined 1,2,3 440,588 PETROHAWK ENERGY CORP COM 716495106 36,441 2,147,400 SH Shared-defined 1,2,3 2,147,400 PMI GROUP INC COM 69344M101 2,890 1,000,000 SH Shared-defined 1,2,3 1,000,000 PNC FINL SVCS GROUP INC COM 693475105 20,058 355,000 SH Shared-defined 1,2,3 355,000 PROLOGIS NOTE 2.250% 4/0 743410AQ5 12,120 13,000,000 PRN Shared-defined 1,2,3 13,000,000 PROSHARES TR PSHS ULTSH 20YRS 74347R297 27,320 770,000 SH Shared-defined 1,2,3 770,000 RANGE RES CORP COM 75281A109 2,680 66,759 SH Shared-defined 1,2,3 66,759 SLM CORP COM 78442P106 4,156 400,000 SH Shared-defined 1,2,3 400,000 SMUCKER J M CO COM NEW 832696405 3,011 50,000 SH Shared-defined 1,2,3 50,000 SPDR GOLD TRUST GOLD SHS 78463V107 52,202 429,013 SH Shared-defined 1,2,3 429,013 STEEL DYNAMICS INC COM 858119100 1,675 126,968 SH Shared-defined 1,2,3 126,968 TYCO INTERNATIONAL LTD SHS H89128104 31,137 883,807 SH Shared-defined 1,2,3 883,807 UAL CORP NOTE 4.500% 6/3 902549AH7 11,654 12,000,000 PRN Shared-defined 1,2,3 12,000,000 UAL CORP COM NEW 902549807 28,246 1,373,838 SH Shared-defined 1,2,3 1,373,838 UNION PAC CORP COM 907818108 25,468 366,400 SH Shared-defined 1,2,3 366,400 VALE S A ADR REPSTG PFD 91912E204 36,310 1,727,414 SH Shared-defined 1,2,3 1,727,414 WALTER ENERGY INC COM 93317Q105 34,571 568,132 SH Shared-defined 1,2,3 568,132 WYNDHAM WORLDWIDE CORP COM 98310W108 14,965 743,059 SH Shared-defined 1,2,3 743,059

SK 01181 0007 1121902