CQS Cayman LP Last Quarter Change: USA Bonds: Convertible Notes, New

CQS Cayman LP quarter change: USA Bonds: Convertible Notes, New

In convertible notes that pay a coupon (listed in the US), from the quarter ended 2016-06-30 to 2016-09-30, CQS Cayman LP opened 10 positions, added to 11, reduced 5, sold out of 6 and left 13 unchanged. The largest increase in value was CEPHEID (+$26,004,000); the largest decrease was CTRIP COM INTL LTD (-$29,773,000).

CEPHEID: Country of operation —; Class DBCV 1.250% 2/0; Principal 2016-06-30 $0; Principal 2016-09-30 $25,000,000.
PATTERN ENERGY GROUP INC: Country of operation —; Class NOTE 4.000% 7/1; Principal 2016-06-30 $0; Principal 2016-09-30 $21,500,000.
LIGAND PHARMACEUTICALS INC: Country of operation —; Class NOTE 0.750% 8/1; Principal 2016-06-30 $0; Principal 2016-09-30 $12,000,000.
LAM RESEARCH CORP: Country of operation —; Class NOTE 1.250% 5/1; Principal 2016-06-30 $0; Principal 2016-09-30 $8,200,000.

Two Form 13F-HR filings compared (SEC CIK 1431256): 2016-06-30 (filed 2016-08-09) and 2016-09-30 (filed 2016-11-14). Rows for the same security, class and put/call are added together. Value change is the filed value at each quarter end, so it includes the price move; share change is the position change.

Stock	Class	Principal 2016-06-30	Principal 2016-09-30	Share change	Value 2016-06-30	Value 2016-09-30	Value change
CEPHEID CUSIP 15670RAC1	DBCV 1.250% 2/0	$0	$25,000,000	+25,000,000	$0	$26,004,000	+$26,004,000
PATTERN ENERGY GROUP INC CUSIP 70338PAB6	NOTE 4.000% 7/1	$0	$21,500,000	+21,500,000	$0	$21,962,000	+$21,962,000
LIGAND PHARMACEUTICALS INC CUSIP 53220KAD0	NOTE 0.750% 8/1	$0	$12,000,000	+12,000,000	$0	$17,562,000	+$17,562,000
LAM RESEARCH CORP CUSIP 512807AL2	NOTE 1.250% 5/1	$0	$8,200,000	+8,200,000	$0	$13,127,000	+$13,127,000
NAVISTAR INTL CORP NEW CUSIP 63934EAS7	NOTE 4.750% 4/1	$0	$5,000,000	+5,000,000	$0	$4,840,000	+$4,840,000
COBALT INTL ENERGY INC CUSIP 19075FAA4	NOTE 2.625%12/0	$0	$7,500,000	+7,500,000	$0	$3,900,000	+$3,900,000
HSBC HLDGS PLC CUSIP 404280AT6	NOTE 6.375%12/3	$0	$3,000,000	+3,000,000	$0	$3,000,000	+$3,000,000
COBALT INTL ENERGY INC CUSIP 19075FAB2	NOTE 3.125% 5/1	$0	$7,500,000	+7,500,000	$0	$2,977,000	+$2,977,000
BARCLAYS PLC CUSIP 06738EAA3	NOTE 8.250%12/3	$0	$1,000,000	+1,000,000	$0	$1,008,000	+$1,008,000
NAVISTAR INTL CORP NEW CUSIP 63934EAQ1	NOTE 4.500%10/1	$0	$1,000,000	+1,000,000	$0	$973,000	+$973,000

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