13F-HR 1 d1238968_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, 2011 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 10, 2011 ----------------------- -------------------------- ---------------------- [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: 51 Form 13F Information Table Value Total: $ 1,200,405 (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 COLUMN 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 -------------- --------------- --------- -------- --------- --- ---- ----------- -------- -------- ------ ---- AMDOCS LTD ORD G02602103 8,136 300,000 SH SHARED-DEFINED 1,2,3 300,000 AMERICAN TOWER CORP CL A 029912201 37,660 700,000 SH SHARED-DEFINED 1,2,3 700,000 AON CORP COM 037389103 23,453 558,659 SH SHARED-DEFINED 1,2,3 558,659 APPLE INC COM 037833100 15,253 40,000 SH SHARED-DEFINED 1,2,3 40,000 ATLAS ENERGY LP COM UNITS LP 04930A104 32,320 1,740,452 SH SHARED-DEFINED 1,2,3 1,740,452 BE AEROSPACE INC COM 073302101 44,144 1,333,244 SH SHARED-DEFINED 1,2,3 1,333,244 CABOT OIL & GAS CORP COM 127097103 15,478 250,000 SH SHARED-DEFINED 1,2,3 250,000 CF INDS HLDGS INC COM 125269100 9,971 80,810 SH SHARED-DEFINED 1,2,3 80,810 CHEVRON CORP NEW COM 166764100 40,740 440,000 SH SHARED-DEFINED 1,2,3 440,000 CME GROUP INC COM 12572Q105 9,856 40,000 SH SHARED-DEFINED 1,2,3 40,000 CROWN CASTLE INTL CORP COM 228227104 12,201 300,000 SH SHARED-DEFINED 1,2,3 300,000 CSX CORP COM 126408103 29,697 1,590,640 SH SHARED-DEFINED 1,2,3 1,590,640 CUMMINS INC COM 231021106 14,963 183,230 SH SHARED-DEFINED 1,2,3 183,230 DANA HLDG CORP COM 235825205 21,332 2,031,610 SH SHARED-DEFINED 1,2,3 2,031,610 DENBURY RES INC COM NEW 247916208 5,750 500,000 SH SHARED-DEFINED 1,2,3 500,000 DEVELOPERS DIVERSIFIED RLTY NOTE 3.000% 3/1 251591AS2 9,675 9,700,000 PRN SHARED-DEFINED 1,2,3 9,700,000 DIGITAL RIV INC COM 25388B104 2,073 100,000 SH SHARED-DEFINED 1,2,3 100,000 DOMTAR CORP COM NEW 257559203 30,957 454,110 SH SHARED-DEFINED 1,2,3 454,110 EBAY INC COM 278642103 11,796 400,000 SH SHARED-DEFINED 1,2,3 400,000 ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 30,609 1,425,000 SH SHARED-DEFINED 1,2,3 1,425,000 FREEPORT-MCMORAN COPPER & GO COM 35671D857 6,090 200,000 SH SHARED-DEFINED 1,2,3 200,000 GRAFTECH INTL LTD COM 384313102 19,051 1,500,100 SH SHARED-DEFINED 1,2,3 1,500,100 HARVEST NATURAL RESOURCES IN COM 41754V103 2,777 324,025 SH SHARED-DEFINED 1,2,3 324,025 HERTZ GLOBAL HOLDINGS INC COM 42805T105 4,588 515,496 SH SHARED-DEFINED 1,2,3 515,496 HOLLYFRONTIER CORP COM 436106108 75,597 2,883,190 SH SHARED-DEFINED 1,2,3 2,883,190 JPMORGAN CHASE & CO COM 46625H100 5,660 187,922 SH SHARED-DEFINED 1,2,3 187,922 KKR FINANCIAL HLDGS LLC COM 48248A306 36,360 4,893,641 SH SHARED-DEFINED 1,2,3 4,893,641 KKR FINANCIAL HLDGS LLC NOTE 7.000% 7/1 48248AAB4 21,807 21,275,000 PRN SHARED-DEFINED 1,2,3 21,275,000 KKR FINANCIAL HLDGS LLC NOTE 7.500% 1/1 48248AAD0 41,871 34,285,000 PRN SHARED-DEFINED 1,2,3 34,285,000 LEAR CORP COM NEW 521865204 60,288 1,405,312 SH SHARED-DEFINED 1,2,3 1,405,312 LENNAR CORP CL A 526057104 1,354 100,000 SH SHARED-DEFINED 1,2,3 100,000 LYONDELLBASELL INDUSTRIES N SHS - A - N53745100 12,401 507,605 SH SHARED-DEFINED 1,2,3 507,605 MARATHON PETE CORP COM 56585A102 33,862 1,251,375 SH SHARED-DEFINED 1,2,3 1,251,375 MERITOR INC COM 59001K100 15,791 2,236,712 SH SHARED-DEFINED 1,2,3 2,236,712 MICRON TECHNOLOGY INC COM 595112103 3,317 658,198 SH SHARED-DEFINED 1,2,3 658,198 ORACLE CORP COM 68389X105 11,783 410,000 SH SHARED-DEFINED 1,2,3 410,000 PIONEER NAT RES CO COM 723787107 63,172 960,500 SH SHARED-DEFINED 1,2,3 960,500 PROSHARES TR PSHS ULTSH 20YRS 74347R297 34,202 1,759,349 SH SHARED-DEFINED 1,2,3 1,759,349 RANGE RES CORP COM 75281A109 11,692 200,000 SH SHARED-DEFINED 1,2,3 200,000 SLM CORP COM 78442P106 31,168 2,503,477 SH SHARED-DEFINED 1,2,3 2,503,477 SM ENERGY CO COM 78454L100 17,940 295,791 SH SHARED-DEFINED 1,2,3 295,791 SPDR GOLD TRUST GOLD SHS 78463V107 49,022 310,150 SH SHARED-DEFINED 1,2,3 310,150 SWIFT TRANSN CO CL A 87074U101 2,849 442,392 SH SHARED-DEFINED 1,2,3 442,392 TE CONNECTIVITY LTD REG SHS H84989104 5,628 200,000 SH SHARED-DEFINED 1,2,3 200,000 TYCO INTERNATIONAL LTD SHS H89128104 31,536 773,900 SH SHARED-DEFINED 1,2,3 773,900 TYSON FOODS INC CL A 902494103 34,813 2,005,363 SH SHARED-DEFINED 1,2,3 2,005,363 UNION PAC CORP COM 907818108 24,501 300,000 SH SHARED-DEFINED 1,2,3 300,000 UNITED CONTL HLDGS INC COM 910047109 43,311 2,234,805 SH SHARED-DEFINED 1,2,3 2,234,805 WHITING PETE CORP NEW COM 966387102 7,016 200,000 SH SHARED-DEFINED 1,2,3 200,000 WILLIAMS COS INC DEL COM 969457100 43,467 1,785,819 SH SHARED-DEFINED 1,2,3 1,785,819 XL GROUP PLC SHS G98290102 41,427 2,203,549 SH SHARED-DEFINED 1,2,3 2,203,549

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