13F-HR/A 1 cqsa1_1q2011.txt CQS CAYMAN LIMITED PARTNERSHIP UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2011 Check here if Amendment [ X ]; Amendment Number: 1 This Amendment (Check only one.): [ X ] 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 February 06, 2012 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 Form 13F Information Table Entry Total: 140 Form 13F Information Table Value Total: $1,545,413 (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 01 028-13136 CQS (UK) LLP 02 028-13133 CQS (Hong Kong) Limited 03 028-13134 CQS Asset Management Limited 04 028-13237 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 4592 4796000 PRN DEFINED 01 02 03 04 0 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 6411 220000 SH DEFINED 01 02 03 04 0 220000 0 AMERICAN EXPRESS CO COM 025816109 9040 200000 SH DEFINED 01 02 03 04 0 200000 0 AMERICAN MED SYS HLDGS INC NOTE 4.000% 9/1 02744MAB4 26816 20000000 PRN DEFINED 01 02 03 04 0 0 0 AMGEN INC COM 031162100 502 9400 SH DEFINED 01 02 03 04 0 9400 0 AMGEN INC NOTE 0.375% 2/0 031162AQ3 48558 48800000 PRN DEFINED 01 02 03 04 0 0 0 ANNALY CAP MGMT INC COM 035710409 12215 700000 SH 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