13F-HR 1 cqs3q09.txt CQS CAYMAN LP 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, 2009 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: CQS Cayman Limited Partnership Address: PO Box 309 Ugland House George Town, Grand Cayman KY1-1104 13F File Number: 028-13132 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: Kevin Jones as general partner for and on behalf of CQS Cayman Limited Partnership Title: Director - CQS Cayman General Partner Phone: +44 15 3451 3006 Signature, Place, and Date of Signing: /s/ Kevin Jones Jersey, Channel Islands, UK November 12, 2009 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 4 Form13F Information Table Entry Total: 103 Form13F Information Table Value Total: $1,352,201 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. No. 13F File Number Name 01 28-13136 CQS (UK) LLP 02 28-13133 CQS (Hong Kong) Limited 03 28-13134 New City Investment Managers Limited 04 28-13237 CQS (US) LLC FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO NOTE 11/2 88579YAB7 987 1146000 PRN DEFINED 01 02 03 04 0 0 0 ALLIED NEVADA GOLD CORP COM 019344100 1958 200000 SH DEFINED 01 02 03 04 0 200000 0 ALUMINUM CORP CHINA LTD SPON ADR H SHS 022276109 742 27100 PRN DEFINED 01 02 03 04 0 0 0 AMERICAN EXPRESS CO COM 025816109 10170 300000 SH DEFINED 01 02 03 04 0 300000 0 AMGEN INC NOTE 0.125% 2/0 031162AN0 65837 65700000 PRN DEFINED 01 02 03 04 0 0 0 APOLLO GOLD CORP COM 03761E102 1134 2100000 SH DEFINED 01 02 03 04 0 2100000 0 AU OPTRONICS CORP SPONSORED ADR 002255107 1452 150000 PRN DEFINED 01 02 03 04 0 0 0 AURIZON MINES LTD COM 05155P106 658 140000 SH DEFINED 01 02 03 04 0 140000 0 BARRICK GOLD CORP COM 067901108 853 22500 SH DEFINED 01 02 03 04 0 22500 0 BAYTEX ENERGY TR TRUST UNIT 073176109 484 20500 SH DEFINED 01 02 03 04 0 20500 0 BEST BUY INC SDCV 2.250% 1/1 086516AF8 5878 5450000 PRN DEFINED 01 02 03 04 0 0 0 BHP BILLITON PLC SPONSORED ADR 05545E209 21464 391892 PRN DEFINED 01 02 03 04 0 0 0 BOSTON PPTYS LTD PARTNERSHIP NOTE 2.875% 2/1 10112RAK0 48516 49895000 PRN DEFINED 01 02 03 04 0 0 0 BRIGHAM EXPLORATION CO COM 109178103 545 60000 SH DEFINED 01 02 03 04 0 60000 0 CAMECO CORP COM 13321L108 1040 35000 SH DEFINED 01 02 03 04 0 35000 0 CAMERON INTERNATIONAL CORP COM 13342B105 9512 251500 SH DEFINED 01 02 03 04 0 251500 0 CARNIVAL CORP PAIRED CTF 143658300 17474 532440 SH DEFINED 01 02 03 04 0 532440 0 CHARLES RIV LABS INTL INC NOTE 2.250% 6/1 159864AB3 679 600000 PRN DEFINED 01 02 03 04 0 0 0 CHINA MOBILE LIMITED SPONSORED ADR 16941M109 491 10000 PRN DEFINED 01 02 03 04 0 0 0 CHINA UNICOM (HONG KONG) LTD SPONSORED ADR 16945R104 172 12092 PRN DEFINED 01 02 03 04 0 0 0 CMS ENERGY CORP NOTE 2.875%12/0 125896AW0 23499 21013000 PRN DEFINED 01 02 03 04 0 0 0 CMS ENERGY CORP NOTE 5.500% 6/1 125896BD1 16451 14550000 PRN DEFINED 01 02 03 04 0 0 0 COMCAST CORP NEW CL A SPL 20030N200 2492 154962 SH DEFINED 01 02 03 04 0 154962 0 COVANTA HLDG CORP DBCV 1.000% 2/0 22282EAA0 2596 2800000 PRN DEFINED 01 02 03 04 0 0 0 CURAGEN CORP COM 23126R101 3383 2301383 SH DEFINED 01 02 03 04 0 2301383 0 D R HORTON INC NOTE 2.000% 5/1 23331ABB4 65781 57500000 PRN DEFINED 01 02 03 04 0 0 0 DEVELOPERS DIVERSIFIED RLTY COM 251591103 462 50000 SH DEFINED 01 02 03 04 0 50000 0 DISCOVERY COMMUNICATNS NEW COM SER C 25470F302 5140 197477 SH DEFINED 01 02 03 04 0 197477 0 DST SYS INC DEL DBCV 8/1 233326AD9 3892 3650000 PRN DEFINED 01 02 03 04 0 0 0 E M C CORP MASS NOTE 1.750%12/0 268648AM4 1786 1400000 PRN DEFINED 01 02 03 04 0 0 0 ELDORADO GOLD CORP NEW COM 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1311 43000 PRN DEFINED 01 02 03 04 0 0 0 IAMGOLD CORP COM 450913108 4993 330000 SH DEFINED 01 02 03 04 0 330000 0 INTERNATIONAL TOWER HILL MIN COM 46051L104 216 50000 SH DEFINED 01 02 03 04 0 50000 0 ISHARES INC MSCI BRAZIL 464286400 32551 481241 SH DEFINED 01 02 03 04 0 481241 0 ISHARES TR INDEX MSCI EMERG MKT 464287234 3147 80880 SH DEFINED 01 02 03 04 0 80880 0 JAGUAR MNG INC COM 47009M103 742 77500 SH DEFINED 01 02 03 04 0 77500 0 KEY ENERGY SVCS INC COM 492914106 1044 120000 SH DEFINED 01 02 03 04 0 120000 0 KINROSS GOLD CORP COM NO PAR 496902404 2858 122500 SH DEFINED 01 02 03 04 0 122500 0 L-3 COMMUNICATIONS CORP DEBT 3.000% 8/0 502413AW7 2677 2500000 PRN DEFINED 01 02 03 04 0 0 0 LIBERTY GLOBAL INC COM SER A 530555101 11638 515657 SH DEFINED 01 02 03 04 0 515657 0 LIBERTY MEDIA CORP NEW DEB 3.125% 3/3 530718AF2 10023 10000000 PRN DEFINED 01 02 03 04 0 0 0 LOEWS CORP COM 540424108 27837 812771 SH DEFINED 01 02 03 04 0 812771 0 LUCENT TECHNOLOGIES INC DBCV 2.875% 6/1 549463AG2 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