Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Principal Amount   Fair Value 
CORPORATE BONDS - 18.88%          
Communications - 5.13%          
           
Altice France Holding SA, 5.500%, 10/15/2029  $2,644,000   $1,867,325 
Charter Communications Operating Capital, 3.500%, 03/01/2042   5,000,000    3,446,388 
Clear Channel Outdoor Ho, 7.500%, 06/01/2029   4,000,000    3,450,000 
CommScope Inc, 8.250%, 03/01/2027   699,000    484,931 
CSC Holdings LLC, 3.375%, 02/15/2031   559,000    374,530 
DISH Network Corp., 11.750%, 11/15/2027   2,570,000    2,574,819 
Gray Television Inc., 7.000%, 05/15/2027   3,338,000    3,242,032 
Level 3 Financing Inc., 10.500%, 05/15/2030   1,556,000    1,608,515 
Level 3 Financing Inc., 3.875%, 10/15/2030   621,600    400,155 
         17,448,695 
Consumer Discretionary - 8.25%          
           
Adtalem Global Education, Inc., 5.500%, 03/01/2028(a)   4,195,000    4,084,881 
RR Donnelley & Sons Company, 9.750%, 07/31/2028(a)   1,397,000    1,498,282 
RR Donnelley & Sons Company, 9.500%, 08/01/2029(a)   13,203,000    13,335,030 
RR Donnelley & Sons Company, 10.975%, 08/01/2029(a)   8,802,000    8,846,010 
Selina Hospitality PLC, 6.000%, 11/01/2029(a)   4,981,328    302,516 
         28,066,719 
Consumer Staples - 2.58%          
           
Altria Group, Inc., 4.250%, 08/09/2042   10,614,000    8,771,330 
         8,771,330 
Financials - 1.57%          
           
Morgan Stanley, 0.000% (Variable Rate), 04/30/2030(h)   25,000    17,165 
Morgan Stanley, 0.000% (Variable Rate), 07/31/2030(h)   80,000    54,234 
Morgan Stanley, 0.000% (Variable Rate), 10/30/2030(h)   80,000    54,183 
Morgan Stanley, 0.000% (Variable Rate), 09/26/2033(h)   428,000    258,251 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2033(h)   266,000    161,211 
Morgan Stanley, 0.000% (Variable Rate), 02/28/2034(h)   478,000    275,963 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(h)   302,000    182,411 
Morgan Stanley, 0.000% (Variable Rate), 04/30/2034(h)   66,000    37,740 
Morgan Stanley, 0.000% (Variable Rate), 05/30/2034(h)   89,000    51,395 
Morgan Stanley, 0.000% (Variable Rate), 06/30/2034(h)   460,000    264,287 
Morgan Stanley, 0.000% (Variable Rate), 07/31/2034(h)   25,000    14,333 
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(h)   171,000    105,584 
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(h)   319,000    196,584 
Morgan Stanley, 0.000% (Variable Rate), 10/08/2034(h)   32,000    18,116 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(h)   641,000    410,882 
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(h)   256,000    149,494 
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(h)   244,000    140,630 
Morgan Stanley, 0.000% (Variable Rate), 02/27/2035(h)   36,000    19,920 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(h)   641,000    380,992 
Morgan Stanley, 0.000% (Variable Rate), 02/29/2036(h)   61,000    34,970 
Morgan Stanley, 0.000% (Variable Rate), 04/28/2036(h)   10,000    6,623 
Morgan Stanley, 0.000% (Variable Rate), 06/30/2036(h)   40,000    26,299 
Morgan Stanley, 0.000% (Variable Rate), 08/31/2036(h)   2,289,000    1,347,006 
Morgan Stanley, 0.000% (Variable Rate), 09/30/2036(h)   40,000    25,064 
Morgan Stanley, 0.000% (Variable Rate), 11/29/2036(h)   103,000    69,481 
Morgan Stanley, 0.000% (Variable Rate), 01/31/2037(h)   224,000    153,384 

 

Quarterly Report  |  July 31, 2024 1

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Principal Amount   Fair Value 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2037(h)  $747,000   $496,444 
Morgan Stanley, 0.000% (Variable Rate), 04/28/2037(h)   40,000    27,133 
Morgan Stanley, 0.000% (Variable Rate), 05/31/2037(h)   25,000    14,988 
Morgan Stanley, 0.000% (Variable Rate), 08/31/2037(h)   58,000    36,055 
UBS Group AG, 0.000% (Variable Rate), 07/31/2030(h)   10,000    7,321 
UBS Group AG, 0.000% (Variable Rate), 10/30/2030(h)   420,000    311,220 
         5,349,363 
Materials - 0.26%          
           
Cleveland-Cliffs Steel Corp., 7.000%, 03/15/2027   880,000    877,800 
           
Real Estate - 0.99%          
           
China Evergrande Group, 8.250%, 03/23/2022(b)(e)   7,985,000    129,756 
China Evergrande Group, 9.500%, 04/11/2022(b)(e)   3,205,000    52,081 
China Evergrande Group, 11.500%, 01/22/2023(b)(e)   6,500,000    105,625 
China Evergrande Group, 10.000%, 04/11/2023(b)(e)   10,409,000    169,146 
China Evergrande Group, 7.500%, 06/28/2023(b)(e)   16,029,000    260,471 
China Evergrande Group, 12.000%, 01/22/2024(b)(e)   8,094,000    131,528 
China Evergrande Group, 9.500%, 03/29/2024(b)(e)   12,165,000    197,681 
China Evergrande Group, 10.500%, 04/11/2024(b)(e)   17,000,000    301,070 
China Evergrande Group, 8.750%, 06/28/2025(b)(e)   109,833,000    2,020,927 
         3,368,285 
Technology - 0.10%          
           
RRD Parent Inc., 10.000%, 10/15/2031(a)   202,641    353,754 
         353,754 
           
TOTAL CORPORATE BONDS        64,235,946 
(Cost $77,889,655)          

 

   Principal Amount    Fair Value  
SENIOR LOANS - 10.73%          
Communication Services - 2.04%          
           
Level 3 Financing Inc., Term B-1 Loan, TSFR1M + 6.560%, 04/15/2029   7,000,000    6,954,990 
         6,954,990 
Consumer Discretionary - 5.74%          
           
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, TSFR3M + 5.000%, 12/29/2025(b)   298,690    126,446 
Chinos Intermediate 2 LLC, Term Loan, TSFR3M + 8.000%, 09/10/2027   8,359,872    8,461,402 
ClubCorp Holdings Inc., Term Loan, TSFR1M + 5.000%, 09/18/2026   6,118,029    3,682,797 
NPC International, Inc., Second Lien Term Loan, 3M US L + 7.500%, 04/18/2025(i)   605,000    - 
The GEO Group, Inc., Term B Loan, TSFR1M + 5.250%, 04/18/2029   217,250    221,867 
Wok Holdings Inc., First Lien Term Loan, TSFR3M + 6.500%, 03/01/2026   7,105,475    7,032,502 
         19,525,014 

 

2  

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Principal Amount   Fair Value 
Consumer Staples - 0.41%          
           
Moran Foods LLC, First Lien Term Loan, TSFR3M + 7.250%, 06/30/2026  $927,417   $718,749 
Moran Foods LLC, First Lien A&R 2023 FLFO PIK Term Loan, TSFR3M +7.250%, 06/30/2026(i)   500,990    - 
Moran Foods LLC, First Lien A&R 2023 FLSO PIK Term Loan, TSFR3M + 7.250%, 12/31/2026   919,177    666,403 
         1,385,152 
Industrials - 0.98%          
           
Multi-Color Corp., Term Loan, TSFR1M + 5.000%, 10/29/2028   3,427,423    3,332,450 
         3,332,450 
Information Technology - 1.53%          
           
Diebold Nixdorf Inc., Term Loan, TSFR1M + 7.550%, 08/11/2028   5,040,000    5,218,517 
           
Materials - 0.03%          
           
CPC Acquisition Corp., Second Lien Term Loan, TSFR3M + 7.750%, 12/29/2028   175,000    105,220 
           
TOTAL SENIOR LOANS        36,521,343 
(Cost $37,497,916)          

 

   Principal Amount   Fair Value 
CONVERTIBLE CORPORATE BOND - 0.05%          
Communications - 0.05%          
           
Altice France Holding SA, 8.000%, 05/15/2027   429,000    158,117 
           
TOTAL CONVERTIBLE CORPORATE BOND        158,117 
(Cost $173,597)          

 

   Principal Amount   Fair Value 
SOVEREIGN DEBT OBLIGATIONS - 3.03%          
Sovereign - 3.03%          
           
Lebanese Republic International Bond, 6.150%, 06/19/2020(b)   21,159,000    1,534,028 
Ukraine Government International Bond, 7.750%, 09/01/2025(b)(e)   6,883,000    2,563,918 
Ukraine Government International Bond, 7.750%, 09/01/2026(b)(e)   369,000    128,228 
Ukraine Government International Bond, 7.750%, 09/01/2027(b)(e)   29,000    9,679 
Ukraine Government International Bond, 6.750%, 06/20/2028(b)(e)   805,000    262,409 
Ukraine Government International Bond, 7.750%, 09/01/2028(b)(e)   3,337,000    1,113,724 
Ukraine Government International Bond, 7.750%, 09/01/2029(b)(e)   10,741,000    3,584,809 
Ukraine Government International Bond, 9.750%, 11/01/2030(b)(e)   3,228,000    1,129,800 
           
TOTAL SOVEREIGN DEBT OBLIGATIONS        10,326,595 
(Cost $10,373,034)          

 

Quarterly Report  |  July 31, 2024 3

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Principal Amount   Fair Value 
MORTGAGE-BACKED SECURITIES - 1.13%          
Federal National Mortgage Association (FNMA) - 1.13%          
           
FNMA, Series 427, Class C20, 2.000%, 02/25/2051  $7,035,962   $932,780 
FNMA, Series 437, Class C8, 2.500%, 06/25/2052   5,866,109    927,183 
FNMA, Series 428, Class C15, 3.000%, 07/25/2052   2,336,262    417,286 
FNMA, Series 429, Class C5, 3.000%, 10/25/2052   8,457,765    1,563,802 
           
TOTAL MORTGAGE-BACKED SECURITIES        3,841,051 
(Cost $3,493,180)          

 

   Shares   Fair Value 
COMMON STOCK - 8.57%          
Commercial Services - 0.07%          
           
Travel Port Technology Ltd.   69    254,653 
           
Communication Services - 2.92%          
           
Baidu Inc.   19,222    1,702,493 
Bumble Inc.   321,000    2,998,140 
Trump Media & Technology Group(c)(f)   34,903    698,060 
Weibo Corp   586,434    4,527,270 
         9,925,963 
Consumer Discretionary - 0.26%          
           
24 Hour Fitness Worldwide(f)   306,005    1,530 
Arbe Robotics, Ltd.(f)   118,198    250,580 
Everyware Global(c)(i)   43,777    - 
Next.e.GO NV(i)   5,788    - 
Pinduoduo Inc.   4,127    531,930 
Polestar Automotive Holding UK PLC   116,694    85,805 
         869,845 
Consumer Staples - 0.01%          
           
Benson Hill Inc(f)   3,906    25,780 
Moran Foods LLC(c)(i)   3,699,885    - 
         25,780 
Energy - 0.07%          
           
Granite Ridge Resources Inc.   33,264    227,858 
           
Financials - 1.46%          
           
Cannae Holdings Inc.   234,418    4,714,146 
Compass Diversified Holdings   10,111    243,271 
         4,957,417 
Health Care - 0.31%          
           
Arbutus Biopharma Corp   155,610    586,650 
Compass Pathways PLC(f)   61,188    466,864 
         1,053,514 
Industrials - 0.69%          
           
Harvey Gulf Intl. Marine   24,044    769,408 
The GEO Group, Inc.(f)   109,403    1,586,344 
         2,355,752 

 

4  

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Shares   Fair Value 
Information Technology - 0.48%          
           
CommScope Holding Co Inc.   179,822   $465,739 
SCHMID Group NV   4,456    20,097 
Unisys Corp.   91,580    435,921 
Vertex Inc.   18,815    746,015 
         1,667,772 
Materials - 0.73%          
           
Covia Holdings   169,353    2,483,900 
           
Real Estate - 0.75%          
           
Star Holdings(f)   188,549    2,535,984 
           
Technology - 0.60%          
           
Bitcoin Depot Inc.(f)   4,449    7,519 
Pagseguro Digital, Ltd.(f)   160,067    2,045,656 
         2,053,175 
Utilities - 0.22%          
           
Longview Power LLC   61,813    741,756 
           
TOTAL COMMON STOCK        29,153,369 
(Cost $26,959,828)          

 

   Shares   Fair Value 
CLOSED END FUNDS - 27.70%          
Alternative - 3.52%          
           
BlackRock ESG Capital Allocation Trust   410,267    7,159,159 
Destra Multi-Alternative Fund(f)   56,768    476,284 
VGI Partners Global Investments, Ltd.   3,459,204    4,343,318 
         11,978,761 
Equity - 13.76%          
           
Aberdeen Global Dynamic Dividend Fund   634    6,346 
Aberdeen Japan Equity Fund, Inc.   46,838    289,927 
abrdn Emerging Markets Equity Income Fund, Inc.   865    4,584 
abrdn Healthcare Investors(f)   22,254    413,257 
abrdn Life Sciences Investors(f)   37,835    581,524 
abrdn Standard Global Infrastructure Income Fund   9,471    180,423 
Adams Diversified Equity Fund, Inc.   41,702    895,759 
ASA Gold and Precious Metals Ltd.   163,658    3,129,141 
BlackRock Health Services Term Trust   19,805    316,088 
BlackRock Innovation & Growth Trust   330,506    2,435,829 
BlackRock Science & Technology Trust II   9,706    182,861 
ClearBridge Energy Midstream Opportunity Fund, Inc.   11,304    453,856 
ClearBridge Energy MLP Total Return Fund Inc.   1,625    65,422 

 

Quarterly Report  |  July 31, 2024 5

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Shares   Fair Value 
Fidelity Emerging Markets Ltd.   932,297   $8,490,245 
GAMCO Natural Resources Gold & Income Trust   17,606    98,594 
Hearts and Minds Investments, Ltd.   836,372    1,493,160 
Japan Smaller Capitalization Fund, Inc.   7,794    62,820 
Kayne Anderson Energy Infrastructure Fund, Inc.   15,410    161,805 
Korea Fund, Inc.   7,117    178,772 
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund(f)   64    507 
MainStay CBRE Global Infrastructure Megatrends Term Fund   74,080    1,003,043 
MFF Capital Investments, Ltd.   3,069,685    7,748,638 
Miller/Howard High Dividend Fund   293,928    3,424,261 
Neuberger Berman MLP & Energy Income Fund, Inc.   126,422    1,015,169 
Neuberger Berman Next Generation Connectivity Fund, Inc.   165,408    2,027,902 
Nuveen Real Asset Income and Growth Fund   19    239 
Pengana International Equities, Ltd.   4,054,812    2,903,548 
Platinum Capital, Ltd.   484,988    467,808 
Principal Real Estate Income Fund   51,187    536,440 
Taiwan Fund, Inc.   3,223    135,882 
Tortoise Energy Independence Fund, Inc.   16,435    581,432 
Tortoise Energy Infrastructure Fund, Inc.   13,232    464,443 
Tortoise Midstream Energy Fund, Inc.   50,952    2,218,960 
Tortoise Pipeline & Energy Fund, Inc.   7,027    248,475 
Voya Emerging Markets High Dividend Equity Fund   55,342    300,507 
Voya Infrastructure Industrials and Materials Fund   20,690    218,486 
WAM Global Ltd.   2,542,816    3,724,836 
WCM Global Growth, Ltd.   363,186    361,008 
         46,821,997 
Fixed Income - 5.84%          
           
AllianceBernstein National Municipal Income Fund   396    4,459 
BlackRock California Municipal Income Trust   173,997    2,093,184 
BlackRock MuniHoldings California Quality Fund, Inc.   7,592    84,651 
BlackRock MuniHoldings New Jersey Quality Fund, Inc.   2,851    32,986 
BlackRock MuniHoldings New York Quality Fund, Inc.   1,803    19,418 
BlackRock MuniHoldings Quality Fund II   310    3,240 
BlackRock MuniVest Fund II Inc.   141    1,556 
BlackRock MuniYield Michigan Quality Fund, Inc.   3,169    36,792 
BlackRock MuniYield New York Quality Fund, Inc.   344    3,640 
BlackRock MuniYield Pennsylvania Quality Fund, Inc.   4,708    58,144 
BlackRock New York Municipal Income Trust   2,297    24,601 
BlackRock Virginia Municipal Bond Trust   97    1,078 
BNY Mellon Municipal Income, Inc.   6,580    47,639 
BNY Mellon Strategic Municipal Bond Fund, Inc.   200    1,198 
Brookfield Real Assets Income Fund, Inc.   831    10,761 
DWS Municipal Income Trust   4,327    41,972 
DWS Strategic Municipal Income Trust   228    2,271 
Eaton Vance California Municipal Bond Fund   59,833    576,192 
Eaton Vance California Municipal Income Trust   14,728    161,419 
Eaton Vance New York Municipal Bond Fund   144,910    1,427,364 

 

6  

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Shares   Fair Value 
Ellsworth Growth and Income Fund, Ltd.   85,672   $737,636 
Federated Hermes Premier Municipal Income Fund   15,998    184,777 
Invesco California Value Municipal Income Trust   311    3,290 
Invesco Municipal Opportunity Trust   20    202 
Invesco Pennsylvania Value Municipal Income Trust   11,626    126,258 
Invesco Trust for Investment Grade New York Municipals   17,462    195,225 
MFS High Income Municipal Trust   2,068    7,755 
MFS High Yield Municipal Trust   13,452    47,620 
MFS Investment Grade Municipal Trust   10,724    86,435 
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.   309,203    1,490,358 
Neuberger Berman Municipal Fund, Inc.   1,548    17,105 
New America High Income Fund, Inc.   27,003    203,603 
Nuveen AMT-Free Quality Municipal Income Fund   191    2,202 
Nuveen Arizona Quality Municipal Income Fund   1    12 
Nuveen California Quality Municipal Income Fund   28,591    331,370 
Nuveen Core Plus Impact Fund   196,587    2,276,477 
Nuveen Massachusetts Quality Municipal Income Fund   516    5,759 
Nuveen Municipal Credit Income Fund   125    1,579 
Nuveen New Jersey Quality Municipal Income Fund   92,993    1,176,361 
Nuveen New York Quality Municipal Income Fund   492    5,584 
Nuveen Pennsylvania Quality Municipal Income Fund   71,523    894,038 
Nuveen Variable Rate Preferred and Income Fund   20    376 
PIMCO Energy & Tactical Credit Opportunities Fund   239,738    5,499,590 
Pioneer Municipal High Income Advantage Fund, Inc.   961    8,236 
Pioneer Municipal High Income Fund, Inc.   108,304    1,001,812 
Pioneer Municipal High Income Opportunities Fund, Inc.   22,790    272,340 
Tortoise Power and Energy Infrastructure Fund, Inc.   36,023    593,839 
Western Asset Intermediate Muni Fund, Inc.   3,785    30,091 
Western Asset Managed Municipals Fund, Inc.   2,464    25,995 
         19,858,490 
Mixed Allocation - 4.58%          
           
BlackRock Capital Allocation Trust   67,260    1,103,064 
Ecofin Sustainable and Social Impact Term Fund   37,011    455,605 
Nuveen Multi-Asset Income Fund   404,273    5,340,446 
Pershing Square Holdings, Ltd.   175,609    8,701,426 
Voya Global Advantage and Premium Opportunity Fund   98    915 
         15,601,456 
           
TOTAL CLOSED END FUNDS        94,260,704 
(Cost $79,243,611)          

 

   Shares   Fair Value 
INVESTMENT TRUSTS - 6.10%          
Alternative - 3.28%          
           
Bitwise 10 Crypto Index Fund(g)(f)   312,202    11,175,302 

 

Quarterly Report  |  July 31, 2024 7

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
  July 31, 2024

 

   Shares   Fair Value 
Equity - 2.81%        
         
BlackRock Smaller Companies Trust PLC   71,210   $1,464,699 
Henderson Opportunities Trust   558,280    1,614,812 
Herald Investment Trust PLC(f)   2,610    75,997 
Schroder British Opportunities Trust PLC(f)   1,453,746    1,499,757 
Schroder UK Mid Cap Fund PLC   570,790    4,916,302 
The European Smaller Companies Turst PLC   2,626    6,347 
         9,577,914 
           
Mixed Allocation - 0.01%          
           
Aberdeen Diversified Income and Growth Trust PLC   7,080    4,096 
Citadel Income Fund   7,319    13,041 
         17,137 
           
TOTAL INVESTMENT TRUSTS        20,770,353 
(Cost $11,176,450)          

 

   Shares   Fair Value 
PREFERRED STOCK - 1.14%          
Consumer Discretionary - 0.33%          
           
HAAT Delivery Ltd. Preferred Seed-1(c)(f)   64,188    1,138,695 
           
Entertainment Facilities - 0.00%(d)          
           
24 Hour Fitness Worldwide, Inc.(f)   407,959    10,199 
           
Technology - 0.20%          
           
Xtend Reality Expansion Ltd.(c)   775,774    663,627 
           
Transportation - 0.61%          
           
G-ILS Transportation Ltd. Preferred B-3 Shares(c)(f)   1,332    2,076,588 
           
TOTAL PREFERRED STOCK        3,889,109 
(Cost $4,373,063)          

 

   Fair Value  
PARTICIPATION AGREEMENT - 0.00%(d)     
      
Caesars Entertainment, Inc (Covid Insurance Claim)(c)(f)(g)(i)   - 
      
TOTAL PARTICIPATION AGREEMENT   - 
(Cost $2,320,000)     

 

   Fair Value 
PRIVATE FUNDS - 13.43%     
      
Alternative Capital Investments Fund III LP   3,457,200 
Stone Ridge Opportunities Fund Feeder LP(f)   42,253,137 
      
TOTAL PRIVATE FUNDS   45,710,337 
(Cost $32,984,200)     

 

8  

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Shares   Fair Value 
UNIT TRUST - 3.88%          
           
Grayscale Ethereum Classic Trust(g)(f)   1,268,046   $13,187,678 
           
TOTAL UNIT TRUST        13,187,678 
(Cost $8,807,642)          

 

   Shares   Fair Value 
SPECIAL PURPOSE ACQUISITION COMPANIES - 0.21%          
           
Deezer SA(f)   8,179    16,464 
Fat Projects Acquisition Corp., Class B(c)(f)(i)   4,886    - 
GP-Act III Acquisition Corp., Class A(c)   30,730    123 
Graf Global Corp.(c)(g)   20,960    84 
Mercer Park Opportunities Corp   70,314    706,656 
Nogin, Inc.(f)   11,264    451 
           
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES        723,778 
(Cost $1,200,984)          

 

   Contracts    Fair Value 
WARRANTS - 0.16%          
           
10X Capital Venture Acquisition Corp. III, Expires 12/31/2027, Strike Price $11.50   55,754    463 
A SPAC II Acquisition Corp., Expires 05/03/2027, Strike Price $11.50   34,421    964 
Achari Ventures Holdings Corp. I, Expires 08/05/2026, Strike Price $11.50   38,384    942 
Agrinam Acquisition Corp., Expires 06/30/2027, Strike Price $11.50   19,798    99 
Airship AI Holdings Inc., Expires 12/31/2028, Strike Price $11.50   14,696    5,878 
Allurion Technologies Inc., Expires 08/02/2030, Strike Price $11.50   16,492    2,474 
Alternus Clean Energy Inc., Expires 02/24/2028, Strike Price $11.50   49,587    1,983 
Anew Medical Inc., Expires 06/21/2029, Strike Price $11.50   32,327    2,266 
APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50   3,981    657 
Armada Acquisition Corp. I, Expires 08/13/2026, Strike Price $11.50   19    2 
Arverne Group SA, Expires 06/16/2026, Strike Price $11.50   33,822    5,491 
Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50   36,968    1,059 
Atlantic Coastal Acquisition Corp. II, Expires 06/02/2028, Strike Price $11.50   80,774    4,846 
Ault Disruptive Technologies Corp., Expires 06/20/2028, Strike Price $11.50   18,483    1,626 
Aura FAT Projects Acquisition Corp., Expires 06/02/2027, Strike Price $11.50   58,439    1,683 
Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50   36,968    989 
Bellevue Life, Sciences Acquisi, Expires 02/10/2028, Strike Price $11.50   14,638    582 
BenevolentAI, Expires 06/30/2026, Strike Price $11.50   7,014    76 
Benson Hill Inc., Expires 03/25/2027, Strike Price  $11.50(c)   187,607    9,337 
Bitcoin Depot Inc., Expires 07/03/2028, Strike Price $11.50   116,268    5,802 
BitFuFu Inc., Expires 06/07/2028, Strike Price $11.50   30,476    14,324 
Bleuacacia, Ltd., Expires 10/30/2026, Strike Price $11.50   100,804    2,697 
Blockchain Coinvestors Acquisition Corp. I, Expires 11/01/2028, Strike Price $11.50   93,986    7,228 
Blue Ocean Acquisition Corp., Expires 10/21/2028, Strike Price $11.50   16,257    260 
Borealis Foods Inc, Expires 08/26/2026, Strike Price $11.50   20,287    1,219 
Brand Engagement Network Inc., Expires 03/14/2029, Strike Price $11.50   25,249    3,037 
BurTech Acquisition Corp., Expires 12/18/2026, Strike Price $11.50   19,696    5,119 
Cactus Acquisition Corp. 1, Ltd., Expires 02/18/2072, Strike Price $11.50   21,180    1,008 
Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50   154,766    1,408 
Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50   69,120    3,560 
Captivision Inc., Expires 11/16/2028, Strike Price $11.50   43,794    1,496 
Cardio Diagnostics Holdings, Inc., Expires 12/01/2026, Strike Price $11.50   19,933    602 
Carmell Therapeutics Corp., Expires 07/12/2028, Strike Price $11.50   3,816    343 
CARTESIAN GROWTH Corp. II, Expires 07/12/2028, Strike Price $11.50   5,984    419 
Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50   74,354    14,120 

 

 
Quarterly Report | July 31, 2024 9

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Contracts    Fair Value 
CERo Therapeutics Holdings Inc., Expires 02/14/2029, Strike Price $11.50   21,939   $807 
CF Acquisition Corp. VII, Expires 03/15/2026, Strike Price $11.50   4,928    419 
Chain Bridge I, Expires 12/31/2028, Strike Price $11.50   33,367    334 
Churchill Capital Corp. VII, Expires 02/29/2028, Strike Price $11.50   26,731    9,620 
ClimateRock, Expires 06/01/2027, Strike Price $11.50   11,778    356 
Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50   25,741    2,703 
Conduit Pharmaceuticals Inc, Expires 02/03/2027, Strike Price $11.50   51,468    1,392 
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027, Strike Price $11.50   38,488    5,927 
Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   41,045    8,619 
Critical Metals Corp, Expires 06/06/2028, Strike Price $11.50   43,590    14,548 
Deezer, SA, Expires 06/07/2027, Strike Price $11.50   95,238    52 
Denali Capital Acquisition Corp., Expires 04/07/2027, Strike Price $11.50   27,621    1,312 
DIH Holdings US Inc., Expires 02/07/2028, Strike Price $11.50   63,578    3,223 
Distoken Acquisition Corp., Expires 03/30/2028, Strike Price $11.50   5,841    95 
DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50   5,996    149 
Engene Holdings Inc., Expires 08/28/2028, Strike Price $11.50   6,044    8,159 
EVe Mobility Acquisition Corp., Expires 05/12/2028, Strike Price $11.50   27,110    2,277 
Everest Consolidator Acquisition Corp., Expires 07/19/2028, Strike Price $11.50   50,492    4,491 
Evergreen Corp., Expires 02/15/2027, Strike Price $11.50   70,092    3,501 
ExcelFin Acquisition Corp., Expires 10/25/2028, Strike Price $11.50   22,349    894 
FG Acquisition Corp., Expires 04/05/2030, Strike Price $11.50   25,263    25,516 
FG Merger Corp., Expires 05/15/2028, Strike Price $11.50   1,112    557 
Finnovate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50   71,462    936 
Fintech Ecosystem Development Corp., Expires 12/31/2028, Strike Price $11.50   27,352    566 
flyExclusive Inc, Expires 05/28/2028, Strike Price $11.50   27,981    16,509 
Fortune Rise Acquisition Corp., Expires 12/06/2027, Strike Price $11.50   15,616    547 
Four Leaf Acquisition Corp., Expires 05/12/2028, Strike Price $11.50   3,750    178 
FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50   23,822    3,573 
Future Health ESG Corp., Expires 09/09/2026, Strike Price $11.50   37,402    2,104 
FutureTech II Acquisition Corp., Expires 02/16/2027, Strike Price $11.50   48,383    1,749 
GCT Semiconductor Holding Inc., Expires 12/31/2028, Strike Price $11.50   54,452    8,712 
Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50   6,030    60 
Global Blockchain Acquisition Corp., Expires 05/10/2027, Strike Price $11.50   40,470    913 
Global Technology Acquisition Corp. I, Expires 07/13/2026, Strike Price $11.50   23,734    2,670 
Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50   14,771    591 
Gores Holdings IX, Inc., Expires 01/14/2029, Strike Price $11.50   40,512    3,650 
GP-Act III Acquisition Corp., Expires 01/25/2029, Strike Price $11.50(c)   38,411    38,411 
GP-Act III Acquisition-A, Expires 05/09/2029, Strike Price $11.50   42,413    6,574 
Graf Global Corp., Expires 01/25/2029, Strike Price $11.50(c)(g)   26,200    26,200 
Graphjet Technology, Expires 11/16/2026, Strike Price $11.50   45,714    1,509 
Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50   18,681    968 
HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50   17,425    256 
HNR Acquisition Corp., Expires 07/29/2028, Strike Price $11.50   44,874    3,478 
Holdco Nuvo Group DG Ltd., Expires 05/01/2029, Strike Price $11.50   63,179    1,741 
Hwh International Inc., Expires 02/02/2027, Strike Price $11.50   13,297    641 
Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50   2,402    228 
InFinT Acquisition Corp., Expires 05/19/2027, Strike Price $11.50   55,058    446 
Integrated Rail and Resources Acquisition Corp., Expires 11/12/2026, Strike Price $11.50   48,874    2,444 
Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50   1,475    38 
Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50   24,645    1,232 
Investcorp India Acquisition Corp., Expires 06/28/2027, Strike Price $11.50   37,472    1,360 
Iris Acquisition Corp., Expires 03/05/2026, Strike Price $11.50   27,683    1,938 
Israel Acquisitions Corp., Expires 02/28/2028, Strike Price $11.50   8,683    382 
IX Acquisition Corp., Expires 11/24/2026, Strike Price $11.50   112    10 
Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50   19,820    1,070 

 

 

10

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Contracts    Fair Value 
Kairous Acquisition Corp. Ltd, Expires 09/15/2026, Strike Price $11.50   6,746   $41 
Kernel Group Holdings, Inc., Expires 01/31/2027, Strike Price $11.50   1,326    199 
LatAmGrowth SPAC, Expires 01/25/2028, Strike Price $11.50   37,849    19,492 
LeddarTech Holdings Inc., Expires 12/21/2028, Strike Price $11.50   21,521    549 
Liberty Resources Acquisition Corp., Expires 10/31/2028, Strike Price $11.50   22,928    736 
Lifezone Metals Ltd., Expires 07/05/2028, Strike Price $11.50   49,986    39,864 
Metal Sky Star Acquisition Corp., Expires 04/01/2027, Strike Price $11.50   40,420    461 
Montana Technologies Corporation, Expires 03/15/2029, Strike Price $11.50   43,480    43,480 
Mountain & Co. I Acquisition Corp., Expires 11/04/2026, Strike Price $11.50   62,660    4,198 
Murano Global BV, Expires 06/14/2028, Strike Price $11.50   10,493    1,442 
New Horizon Aircraft Ltd., Expires 04/03/2028, Strike Price $11.50   11,690    327 
New Providence Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50   21,526    861 
NewGenIvf Group Ltd., Expires 05/21/2027, Strike Price $11.50(i)   1    - 
Nogin Inc., Expires 08/26/2027, Strike Price $11.50   8,372    72 
NorthView Acquisition Corp., Expires 08/02/2027, Strike Price $11.50   19,197    959 
Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   31,088    622 
Nvni Group Ltd., Expires 11/01/2028, Strike Price $11.50   15,665    744 
Onyx Acquisition Co. I, Expires 11/30/2028, Strike Price $11.50   24,790    496 
Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50   76,584    1,930 
Patria Latin American Opportunity Acquisition Corp., Expires 03/10/2027, Strike Price $11.50   46,145    1,957 
Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50   18,484    974 
Perception Capital Corp IV., Expires 11/10/2026, Strike Price $11.50   31,463    2,751 
Pinstripes Holdings Inc., Expires 09/30/2028, Strike Price $11.50   45,560    5,069 
Pono Capital Two, Inc., Expires 09/23/2027, Strike Price $11.50   9,738    915 
PowerUp Acquisition Corp., Expires 02/18/2027, Strike Price $11.50   70,545    4,233 
Psyence Biomedical Ltd., Expires 01/25/2029, Strike Price $11.50   30,398    450 
QT Imaging Holdings Inc., Expires 12/31/2028, Strike Price $11.50   3,954    135 
Relativity Acquisition Corp., Expires 02/11/2027, Strike Price $11.50   45,142    2,126 
RF Acquisition Corp., Expires 05/01/2028, Strike Price $11.50   19,704    590 
Rigel Resource Acquisition Corp., Expires 11/05/2026, Strike Price $11.50   22,493    7,985 
Roadzen Inc., Expires 11/30/2028, Strike Price $11.50   55,430    4,642 
Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50   28,225    2,546 
Selina Hospitality PLC, Expires 10/25/2027, Strike Price $11.50   218,500    1,311 
Semilux Ltd., Expires 04/28/2027, Strike Price $11.50(c)   400    23 
ShoulderUp Technology Acquisition Corp., Expires 11/17/2026, Strike Price $11.50   94,845    3,215 
SMX Security Matters PLC, Expires 03/07/2028, Strike Price $11.50   36,580    391 
Solidion Technology Inc., Expires 11/16/2026, Strike Price $11.50   29,262    3,804 
Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50   6,161    270 
Spectaire Holdings Inc., Expires 12/31/2028, Strike Price $11.50   58,258    1,998 
Spree Acquisition Corp. 1, Ltd., Expires 12/22/2028, Strike Price $11.50   20,337    584 
Spring Valley Acquisition Corp. II, Expires 02/25/2026, Strike Price $11.50   13,573    543 
SpringBig Holdings, Inc., Expires 06/14/2027, Strike Price $11.50   24,279    126 
Swiftmerge Acquisition Corp., Expires 06/17/2028, Strike Price $11.50   132    10 
Syntec Optics Holdings Inc., Expires 11/08/2026, Strike Price $11.50   31,515    4,688 
Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50   18,073    2,756 
Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50   52,993    1,855 

 

 
Quarterly Report | July 31, 2024 11

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Contracts    Fair Value 
TKB Critical Technologies 1, Expires 10/20/2026, Strike Price $11.50   48,884   $271 
TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50   68,311    3,416 
Toyo Co LTD., Expires 01/10/2029, Strike Price $11.50   23,302    1,864 
United Homes Group, Inc., Expires 01/28/2028, Strike Price $11.50   9,922    6,715 
Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50   60,778    2,662 
Vast Solar Pty Ltd., Expires 06/29/2028, Strike Price $11.50   87,846    6,852 
Verde Clean Fuels, Inc., Expires 12/31/2027, Strike Price $11.50   327    72 
Vision Sensing Acquisition Corp., Expires 10/21/2026, Strike Price $11.50   49,182    1,662 
Volato Group Inc., Expires 12/03/2028, Strike Price $11.50   20,757    270 
VSee Health Inc., Expires 11/02/2026, Strike Price $11.50   17,198    1,723 
Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50   29,980    956 
Yotta Acquisition Corp., Expires 03/15/2027, Strike Price $11.50   47,369    1,184 
Zapata Computing Holdings Inc., Expires 03/23/2028, Strike Price $11.50   24,523    1,469 
Zapp Electric Vehicles Group L, Expires 03/03/2028, Strike Price $11.50   11,642    302 
Zeo Energy Corp., Expires 03/14/2029, Strike Price $11.50   61,117    4,202 
Zoomcar Holdings Inc., Expires 07/01/2028, Strike Price $11.50   71,433    936 
Zooz Power Ltd., Expires 01/24/2027, Strike Price $11.50   24,350    1,461 
ZyVersa Therapeutics Inc., Expires 12/20/2026, Strike Price $11.50   7,100    497 
           
TOTAL WARRANTS        539,628 
(Cost $1,879,177)          

 

   Contracts    Fair Value 
RIGHTS - 0.02%          
           
A SPAC II Acquisition Corp., Expires 12/31/2049   68,843    5,163 
Agrinam Acquisition Corp., Expires 12/31/2049   19,798    99 
Bellevue Life Sciences Acquisition Corp., Expires 03/16/2073   14,638    1,848 
bleuacacia, Ltd., Expires 12/31/2049   201,609    10,625 
Broad Capital Acquisition Corp., Expires 03/02/2072   53,360    8,004 
ClimateRock, Expires 06/01/2027   23,557    2,356 
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027   69,644    9,663 
Distoken Acquisition Corp., Expires 11/18/2024   5,841    693 
Fintech Ecosystem Development Corp., Expires 12/31/2028   54,704    6,745 
Global Blockchain Acquisition Corp., Expires 12/31/2049   40,470    2,975 
Globalink Investment, Inc., Expires 12/23/2071   4,837    855 
Inception Growth Acquisition, Ltd., Expires 01/21/2072   7,394    994 
Kairous Acquisition Corp. ltd, Expires 01/20/2072   13,555    1,688 
Mars Acquisition Corp., Expires 03/14/2073   10,247    2,562 
Metal Sky Star Acquisition Corp., Expires 12/31/2049   40,420    3,638 
Mountain Crest Acquisition Corp. V, Expires 12/31/2049   8,917    1,129 
NorthView Acquisition Corp., Expires 12/31/2049   38,482    3,944 
RF Acquisition Corp., Expires 12/31/2049   19,704    2,158 
Sagaliam Acquisition Corp., Expires 12/31/2049   84,310    4,422 
Spring Valley Acquisition Corp. II, Expires 02/25/2026   27,147    3,258 
Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049   29,572    3,552 
Yotta Acquisition Corp., Expires 12/31/2049   29,452    4,126 
           
TOTAL RIGHTS        80,497 
(Cost $155,360)          

 

 

12

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Contracts    Fair Value 
OPTIONS(j) - 1.92%          
Put Option Contracts - 1.92%          
           
S&P 500 Index, Expires 09/20/2024, Strike Price $5,215   63   $194,985 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,235   62    226,238 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,240   69    238,947 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,245   43    167,270 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,250   21    72,870 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,255   21    74,340 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,270   21    77,658 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,290   9    35,865 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,295   21    83,265 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,300   207    849,114 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,320   25    109,075 
S&P 500 Index, Expires 09/20/2024, Strike Price $5,355   121    613,833 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,275   41    210,781 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,340   57    384,750 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,375   58    433,260 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,405   72    558,720 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,410   25    197,500 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,415   40    391,600 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,430   43    377,110 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,445   22    191,840 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,450   21    202,650 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,465   44    399,080 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,475   11    111,144 
S&P 500 Index, Expires 10/18/2024, Strike Price $5,395   45    340,200 
         6,542,095 
           
TOTAL OPTIONS        6,542,095 
(Premiums paid $10,681,208)          

 

   Shares   Fair Value 
MONEY MARKET FUNDS - 2.26%          
           
BNY Mellon U.S. Treasury Fund, 7 Day Yield, 4.940%(g)   108    108 
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield, 5.190%   7,653,428    7,653,428 
           
TOTAL MONEY MARKET FUNDS        7,653,536 
(Cost $7,653,536)          
           
Total Investments in securities - 99.21%        337,594,136 
(Cost $316,862,441)          

 

INVESTMENT IN AFFILIATED FUND

 

   Shares   Fair Value 
CLOSED END FUND - 0.25%          
Fixed Income - 0.25%          
           
Saba Capital Income & Opportunities Fund II   100,532    843,463 
           
Total Investment in affiliated fund - 0.25%        843,463 
(Cost $837,677)          
           
Other Assets in Excess of Liabilities - 0.54%        1,835,090 
           
NET ASSETS - 100.00%       $340,272,689 
Amounts above are shown as a percentage of net assets as of July 31, 2024.          

 

 
Quarterly Report | July 31, 2024 13

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

SCHEDULE OF SECURITIES SOLD SHORT          
   Principal Amount   Fair Value 
SOVEREIGN DEBT OBLIGATIONS - (45.13%)          
Sovereign - (45.13%)          
           
United States Treasury, 4.500%, 05/31/2029  $(40,859,000)  $(41,905,215)
United States Treasury, 4.250%, 06/30/2029   (56,897,000)   (57,712,670)
United States Treasury, 4.000%, 02/15/2034   (45,728,000)   (45,619,931)
United States Treasury, 4.000%, 02/15/2034   (8,090,000)   (8,313,265)
           
TOTAL SOVEREIGN DEBT OBLIGATIONS        (153,551,081)
(Proceeds $151,017,720)          

 

   Shares    Fair Value 
COMMON STOCK - (11.2%)          
Communications - (0.61%)          
           
Airbnb Inc.(f)   (61)   (8,513)
Alphabet, Inc.(f)   (256)   (43,914)
Delivery Hero SE(a)(f)   (2,989)   (66,282)
DoorDash Inc.(f)   (2,486)   (275,250)
Meta Platforms, Inc.(f)   (562)   (266,854)
NetEase Inc.   (2,396)   (220,696)
Netflix, Inc.(f)   (85)   (53,410)
Pinterest Inc.(f)   (2,480)   (79,236)
ROBLOX Corp.   (3,555)   (147,604)
Spotify Technology SA.(f)   (361)   (124,162)
System1 Inc   (82,786)   (112,589)
Uber Technologies Inc.(f)   (602)   (38,811)
Upwork Inc.(f)   (19,049)   (230,874)
Zillow Group Inc.(f)   (8,516)   (414,729)
         (2,082,924)
Consumer Discretionary - (0.96%)          
           
Alibaba Group Holding, Ltd.(f)   (37)   (2,917)
Amazon.com, Inc.(f)   (3,858)   (721,369)
Brembo NV   (5,840)   (65,479)
Chegg Inc.   (14,927)   (50,901)
Cie Financiere Richemont SA   (776)   (118,467)
CTS Eventim AG & Co. KGaA   (378)   (33,300)
Ferrari N.V.(f)   (137)   (56,582)
JD.com Inc.(f)   (3,742)   (98,751)
Lowe's Cos Inc.   (5,483)   (1,263,696)
MercadoLibre Inc.(f)   (289)   (482,312)
NIO Inc.(f)   (3,787)   (16,814)
Pinduoduo Inc.   (1,036)   (133,530)
Rivian Automotive, Inc.(f)   (911)   (14,950)
Sanlorenzo SpA/Ameglia   (8)   (326)
Tesla, Inc.(f)   (331)   (76,815)
Wayfair Inc.(f)   (1,942)   (105,703)
Zalando SE(a)(f)   (731)   (18,789)
         (3,260,701)

 

 

14

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Shares    Fair Value 
Consumer Staples - (0.1%)          
           
Heineken Holding NV   (2,528)  $(186,317)
Heineken NV   (1,749)   (155,252)
HelloFresh SE(f)   (2,395)   (15,044)
         (356,613)
Electric-Generation - (0.00%)(d)          
           
Constellation Energy Corp.   (15)   (2,847)
           
Electric-Integrated - (0.05%)          
AES Corp.   (966)   (17,185)
Ameren Corp.   (169)   (13,397)
DTE Energy Co.   (277)   (33,387)
Duke Energy Corp.   (184)   (20,106)
NextEra Energy, Inc.   (918)   (70,126)
Xcel Energy, Inc.   (43)   (2,506)
         (156,707)
Electricity Networks - (0.02%)          
           
CenterPoint Energy, Inc.   (1,383)   (38,378)
Eversource Energy   (54)   (3,505)
PPL Corp.   (922)   (27,402)
         (69,285)
Energy - (3.49%)          
           
Antero Midstream Corp.   (22,615)   (324,751)
Archrock, Inc.   (598)   (12,397)
Chesapeake Energy Corp.   (817)   (62,362)
Civitas Resources, Inc.   (386)   (26,927)
ConocoPhillips   (489)   (54,377)
DT Midstream, Inc.   (6,253)   (471,226)
Enbridge, Inc.   (9,217)   (344,941)
Energy Transfer LP   (104,290)   (1,696,798)
EnLink Midstream LLC   (12,763)   (174,470)
Enterprise Products Partners LP   (43,801)   (1,264,097)
EQT Corp.   (1,158)   (39,963)
Exxon Mobil Corp.   (2,195)   (260,305)
Genesis Energy LP   (1,072)   (14,944)
Kinder Morgan, Inc.   (9,040)   (191,015)
Marathon Oil Corp.   (1,727)   (48,442)
MPLX LP   (17,554)   (751,662)
Neste Oyj   (1,283)   (25,910)
Occidental Petroleum Corp.   (508)   (30,897)
ONEOK Inc.   (8,647)   (720,555)
Pembina Pipeline Corp.   (3,934)   (152,470)
Plains All American Pipeline LP   (23,149)   (421,080)
Plains GP Holdings LP   (34,856)   (665,750)
Targa Resources Corp.   (6,974)   (943,443)
TC Energy Corp.   (13,910)   (590,594)
Western Midstream Partners LP   (17,660)   (722,647)
Williams Cos., Inc.   (43,155)   (1,853,076)
         (11,865,099)

 

 
Quarterly Report | July 31, 2024 15

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Shares    Fair Value 
Financials - (0.19%)          
           
BFF Bank SpA.(a)   (12,822)  $(145,011)
Credicorp Ltd.(f)   (961)   (163,985)
Deutsche Boerse AG   (301)   (61,503)
Paysafe Ltd   (12,479)   (261,934)
Van Lanschot Kempen N.V.   (8)   (346)
         (632,779)
Health Care - (1.05%)          
           
10X Genomics Inc.(f)   (2,482)   (51,303)
Alnylam Pharmaceuticals, Inc.(f)   (5,010)   (1,189,675)
Bayer AG   (687)   (20,357)
Denali Therapeutics Inc.(f)   (556)   (13,550)
DexCom Inc.   (908)   (61,581)
Exact Sciences Corp.(f)   (6,763)   (308,934)
Genmab A/S   (376)   (106,604)
GRAIL Inc   (20)   (308)
Illumina, Inc.   (121)   (14,835)
Merck & Co Inc.   (1,304)   (147,522)
Moderna, Inc.(f)   (835)   (99,549)
Novocure Ltd.(f)   (8,253)   (187,921)
Novo Nordisk A/S   (6,106)   (809,839)
PACIRA BIOSCIENCES INC.   (4,237)   (87,494)
Progyny Inc.(f)   (4,555)   (128,451)
Recursion Pharmaceuticals Inc.(f)   (6,087)   (49,913)
STAAR Surgical Co.   (7,346)   (303,022)
         (3,580,858)
Industrials - (1.65%)          
           
Aalberts Industries NV.(f)   (1,110)   (42,406)
Aerovironment Inc.(f)   (312)   (55,704)
Alight Inc   (193,568)   (1,465,310)
Arcadis NV.   (127)   (9,065)
Axon Enterprise, Inc.(f)   (1,884)   (565,219)
Bravida Holding AB(a)   (3,360)   (27,155)
Dayforce Inc   (5,544)   (328,648)
Deere & Co.   (261)   (97,087)
Dun & Bradstreet Holdings Inc   (254,908)   (2,773,399)
Generac Holdings, Inc.   (46)   (7,161)
Hexpol AB.(f)   (4,048)   (45,246)
Interpump Group SpA   (248)   (10,763)
Prysmian SpA(f)   (338)   (23,243)
TKH Group NV   (1,725)   (75,422)
Trelleborg AB   (507)   (18,833)
Watsco Inc.   (110)   (53,844)
         (5,598,505)
Renewable Energy Generation - (0.02%)          
           
Atlantica Sustainable Infrastructure PLC   (81)   (1,790)
NextEra Energy Partners LP   (1,951)   (49,848)
         (51,638)

 

 

16

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Shares    Fair Value 
Technology - (3.06%)          
           
Adyen NV(a)(f)   (54)  $(66,074)
Appian Corp.(f)   (264)   (9,752)
Apple, Inc.   (16,104)   (3,576,376)
Arista Networks Inc.(f)   (296)   (102,579)
ASML Holding NV   (598)   (550,432)
BE Semiconductor Industries NV   (1,112)   (143,393)
Blackline Inc.(f)   (815)   (38,729)
Cloudflare, Inc.(f)   (2,965)   (229,788)
CoStar Group Inc.(f)   (2,236)   (174,453)
Crowdstrike Holdings Inc.(f)   (112)   (25,980)
Datadog Inc.(f)   (1,033)   (120,283)
Descartes Systems Group, Inc.   (313)   (31,834)
Doximity Inc.(f)   (4,288)   (120,064)
Duolingo Inc.(f)   (1,314)   (225,929)
Fabrinet.(f)   (51)   (11,249)
HashiCorp Inc.   (5,297)   (178,774)
HubSpot, Inc.   (16)   (7,952)
Infineon Technologies AG   (999)   (34,797)
Infosys Ltd.   (8,959)   (198,263)
MarketAxess Holdings, Inc.   (1,305)   (291,707)
MasterCard Inc.   (1,187)   (550,424)
Melexis NV   (2,272)   (198,062)
Microsoft Corp.   (55)   (23,009)
MongoDB Inc.(f)   (83)   (20,946)
Monolithic Power Systems Inc.   (120)   (103,571)
NVIDIA Corp.   (2,440)   (285,529)
Palo Alto Networks, Inc.   (43)   (13,963)
Pegasystems Inc.   (933)   (65,049)
Relx Plc   (1,872)   (88,211)
Salesforce Inc.(f)   (239)   (61,853)
ServiceNow, Inc.(f)   (9)   (7,330)
Shopify Inc.(f)   (4,755)   (291,204)
Snowflake Inc.   (1,175)   (153,196)
SPS Commerce Inc.(f)   (240)   (51,701)
Super Micro Computer, Inc.(f)   (236)   (165,589)
Taiwan Semiconductor Manufacturing Co., Ltd.   (8,638)   (1,432,180)
Varonis Systems Inc.   (1,416)   (78,064)
Visa Inc.   (1,978)   (525,495)
Workday, Inc.(f)   (817)   (185,557)
         (10,439,341)
           
TOTAL COMMON STOCK        (38,097,297)
(Proceeds $33,780,206)          

 

   Shares    Fair Value 
EXCHANGE TRADED FUNDS - (4.59%)          
           
Grayscale Bitcoin Mini Trust(f)   (270,301)   (1,564,962)
Grayscale Bitcoin Trust(f)   (270,301)   (14,074,573)
           
TOTAL EXCHANGE TRADED FUNDS        (15,639,535)
(Proceeds $16,365,772)          

 

 
Quarterly Report | July 31, 2024 17

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

   Shares    Fair Value 
PREFERRED STOCK - (0.01%)          
Materials - (0.01%)          
           
Fuchs Petrolub SE(f)   (1,103)  $(47,940)
           
TOTAL PREFERRED STOCK        (47,940)
(Proceeds $46,964)          
           
Total Securities Sold Short - (60.93%)        (207,335,853)
(Proceeds $201,210,662)          

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933 (the “Securities Act”). Total market value of Rule 144A securities amounts to $28,097,162, which represented approximately 8.26% of net assets as of July 31, 2024. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(b) Security is in default as of year-end and is therefore non-income producing.
(c) Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(d) Amount represents less than 0.005% of net assets.
(e) Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of July 31, 2024, the aggregate market value of those securities was $12,160,852, which represents approximately 3.57% of net assets.
(f) Non-income producing security.
(g) A portion or all of the security is owned by BRW SPV I, a wholly-owned subsidiary of the Fund.
(h) The security is a floating rate note which has an annual interest rate, reset monthly, that is calculated by taking the product of a leverage multiplier and (USISDA30 - USISDA02). At July 31, 2024, the current coupon rate for these notes is 0.0%.
(i) At July 31, 2024, the value of these investments amounted to $0, representing 0.0% of the net assets of the Fund.
(j) At July 31, 2024, all options held by the Fund are exchange traded listed options.

 

Investment Abbreviations:

ESTRON - Euro Short-Term Rate

OBFR - United States Overnight Bank Funding Rate

LIBOR - London Interbank Offered Rate

RBACOR - RBA Interbank Overnight Cash Rate

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Over Night Index Average

 

Reference Rates:

ESTRON - Euro Short-Term Rate as of July 31, 2024 was 3.89%

OBFR - United States Overnight Bank Funding Rate as of July 31, 2024 was 5.32%

SOFR - Secured Overnight Financing Rate as of July 31, 2024 was 5.34%

3M US L - 3 Month LIBOR as of July 31, 2024 was 5.59%

TSFR1M - CME Term SOFR 1 Month as of July 31, 2024 was 5.32%

TSFR3M - CME Term SOFR 3 Month as of July 31, 2024 was 5.33%

SONIA- Sterling Overnight Index Average as of July 31, 2024 was 5.20%

PRIME - United States Prime Rate as of July 31, 2024 was 8.50%

 

Counterparty Abbreviations:

JPM - JPMorgan Chase Bank, N.A.

GSI - Goldman Sachs International

MSCS - Morgan Stanley Capital Services

BARC - Barclays Bank PLC

MSCO – Morgan Stanley & Company

 

 

18

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

SIMPLE AGREEMENT FOR FUTURE EQUITY (SAFE) CONTRACTS

 

   Cost   Fair Value 
AEYE Health Inc.(a)(b)  $1,000,000   $1,185,470 
BeeHero Ltd.(a)(b)   321,841    321,841 
Quantalx Neuroscience Ltd.(a)(b)   3,000,000    3,000,540 
Real View Imaging Ltd.(a)(b)   2,250,000    2,599,920 
   $6,571,841   $7,107,771 

 

(a) Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(b) Non-income producing security.

 

FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty   Settlement
Date		  Fund
Receiving		   Value   Fund
Delivering		   Cost   Unrealized
Appreciation		 
JPM   09/05/2024   USD   $22,508,691    AUD   $21,862,322   $646,369 
JPM   08/12/2024   USD    1,526,055    EUR    1,515,859    10,196 
JPM   09/05/2024   USD    1,620,765    GBP    1,607,492    13,273 
JPM   09/05/2024   GBP    5,143,976    USD    5,086,150    57,826 
                           $727,664 

 

Counterparty   Settlement
Date		  Fund
Receiving		   Value   Fund
Delivering		   Cost   Unrealized
Depreciation		 
JPM   09/05/2024   USD   $23,408,361    GBP   $23,688,007   $(279,646)
                           $(279,646)
                           $448,018 

 

FUTURES CONTRACTS

 

Description  Number of
Contracts		   Maturity
Date		  Notional
Amount		   Unrealized
Appreciation/
(Depreciation)		 
Short Position Contracts                  
                   
US 5YR NOTE (CBT) Sep24   (174)  09/30/2024  $18,672,596   $(100,372)
NASDAQ 100 E-MINI Sep24   (36)  09/30/2024   14,363,537    319,757 
S&P500 EMINI FUT Sep24   (175)  09/30/2024   48,148,207    (484,293)
                $(264,908)

 

TO BE ANNOUNCED (TBA) MORTGAGE-BACKED SECURITIES (MBS) FORWARD CONTRACTS

 

Counterparty   Description   Maturity
Date		  Notional
 Amount		   Net Unrealized
Appreciation/
(Depreciation)		 
 MSCO     FNCL 5.5 9/23    09/12/2024  $264,602,000   $2,113,715 
 MSCO     FNCL 6 9/23    09/12/2024   105,628,000    431,176 
                $2,544,891 

 

 
Quarterly Report | July 31, 2024 19

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)

 

Buy/Sell Protection(a)  Reference Obligations  Annual
Payment
Rate
Received
(Paid)		   Currency   Maturity
Date		  Notional
Amount(b)		   Value   Upfront
Premiums
Received/(Paid)		   Unrealized
Appreciation/
(Depreciation)		 
Sell  CSC Holdings, LLC   5.00%  USD   06/20/2028  $800,000   $(313,505)  $298,000   $(15,505)
Buy  R.R. Donnelley & Sons Company   (5.00)%  USD   06/20/2028   2,434,000    (87,515)   153,219    65,704 
Buy  R.R. Donnelley & Sons Company   (5.00)%  USD   06/20/2029   6,468,000    (97,421)   629,074    531,653 
                       $(498,441)  $1,080,293   $581,852 

 

INDEX CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)

 

Buy/Sell Protection(a)  Reference Obligations  Annual
Payment
Rate
Received
(Paid)		   Currency   Maturity
Date		  Notional
Amount(b)		   Value   Upfront
Premiums
Received/(Paid)		   Unrealized
Appreciation/
(Depreciation)		 
Buy  Markit CDX High Yield Index, Series 42   (5.00)%  USD   06/20/2029  $17,392,600   $(1,582,171)  $1,160,816   $(421,355)
Buy  Markit iTraxx Europe Subordinated Financials Index, Series 39   (1.00)%  USD   06/20/2028   45,000,000    (297,500)   (2,626,045)   (2,923,545)
                       $(1,879,671)  $(1,465,229)  $(3,344,900)

 

SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (OVER–THE–COUNTER)

 

Buy/Sell Protection(a)  Counterparty   Reference Obligations  Annual
Payment
Rate
Received
(Paid)		   Currency   Maturity
Date		  Notional
Amount(b)		   Value   Upfront
Premiums
Received/(Paid)		   Unrealized
Appreciation/
(Depreciation)		 
Sell  BARC   AT&T Inc.   1.00%  USD   06/20/2025  $2,249,000   $16,359   $(11,224)  $5,135 
Sell  GSI   AT&T Inc.   1.00%  USD   12/20/2024   7,090,000    28,520    (34,619)   (6,099)
Sell  GSI   Bristol-Myers Squibb Company   1.00%  USD   12/20/2027   10,000,000    246,314    (268,823)   (22,509)
Sell  MSCS   Bristol-Myers Squibb Company   1.00%  USD   12/20/2027   10,000,000    246,314    (257,109)   (10,795)
Sell  MSCS   Bristol-Myers Squibb Company   1.00%  USD   06/20/2029   14,307,000    413,622    (449,191)   (35,569)
Sell  GSI   British American Tobacco p.l.c.   1.00%  EUR   12/20/2027   1,541,000    19,122    (7,104)   12,018 
Buy  JPM   CommScope, Inc.   (5.00)%  USD   06/20/2027   589,000    129,118    (212,888)   (83,770)
Sell  BARC   Dish DBS Corp.   5.00%  USD   12/20/2026   1,156,000    (439,919)   468,180    28,261 
Sell  GSI   International Business Machines Corporation   1.00%  USD   12/20/2027   20,642,000    493,822    (395,100)   98,722 
Sell  BARC   International Business Machines Corporation   1.00%  USD   12/20/2027   10,000,000    239,232    (202,764)   36,468 
Sell  GSI   International Business Machines Corporation   1.00%  USD   06/20/2027   1,000    22    (19)   3 
Sell  BARC   International Business Machines Corporation   1.00%  USD   12/20/2028   3,675,000    100,016    (81,859)   18,157 
Sell  BARC   NextEra Energy Capital Holdings, Inc.   1.00%  USD   06/20/2028   4,306,000    73,222    (22,659)   50,563 
Sell  GSI   Pfizer Inc.   1.00%  USD   12/20/2027   9,152,000    232,596    (228,364)   4,232 
Sell  MSCS   Pfizer Inc.   1.00%  USD   12/20/2027   7,325,000    186,163    (178,314)   7,849 
Sell  GSI   Pfizer, Inc.   1.00%  USD   12/20/2028   15,802,000    462,739    (438,142)   24,597 
Buy  BARC   R.R. Donnelley & Sons Company   (5.00)%  USD   06/20/2029   6,755,000    (101,743)   687,973    586,230 
Buy  GS   R.R. Donnelley & Sons Company   (5.00)%  USD   06/20/2029   113,000    (1,702)   10,902    9,200 
Sell  GSI   The Procter & Gamble Company   1.00%  USD   12/20/2027   6,951,000    185,645    (176,001)   9,644 
Sell  MSCS   The Sherwin-Williams Company   1.00%  USD   12/20/2027   1,436,000    33,120    (3,082)   30,038 
Sell  MSCS   The Southern Company   1.00%  USD   06/20/2026   847,000    12,913    (14,141)   (1,228)
Buy  BARC   Unisys Corporation   (5.00)%  USD   06/20/2028   286,000    (1,070)   (38,292)   (39,362)
Sell  MSCS   UnitedHealth Group Incorporated   1.00%  USD   12/20/2027   15,248,000    386,085    (335,362)   50,723 
Sell  MSCS   Verizon Communications Inc.   1.00%  USD   06/20/2028   3,181,000    61,137    (2,900)   58,237 
Sell  MSCS   Verizon Communications Inc.   1.00%  USD   12/20/2027   7,000,000    126,292    4,885    131,177 
                                        
                           $3,147,939   $(2,186,017)  $961,922 

 

 

20

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

(a) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(b) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. Notional amounts are presented in the currency indicated in the table.

 

INDEX CREDIT DEFAULT SWAPTION CONTRACTS (CENTRALLY CLEARED)

 

Payer/
Receiver(a)		  Reference Obligations  Strike Price   Currency   Expiry
Date		  Notional
Amount		   Value   Upfront
Premiums
(Received)/Paid		   Unrealized
Appreciation/
(Depreciation)		 
Payer  Markit CDX High Yield Index, Series 42, Payer Option   105.00    USD   10/16/2024  $35,559,000   $(204,418)  $(384,495)  $180,077 
Payer  Markit CDX High Yield Index, Series 42, Payer Option   104.50    USD   10/16/2024   46,802,000    (219,199)   (567,474)   348,275 
                        $(423,617)  $(951,969)  $528,352 

 

(a) If the Fund is a payer in the credit default swaption, the Fund has the right to enter into the underlying credit default swap where the Fund pays premiums and, if the Fund is a receiver in the credit default swaption, the Fund has the right to enter into the underlying credit default swap where the Fund receives premiums.

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Counterparty  Reference Obligations  Currency   Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Long Position Contracts                       
 JPM  Aberdeen Diversified Income and Growth Trust    GBP     55,574   10/31/2024   SONIA   40 bps  $55,206   $(368)
 JPM  Aberdeen New India Investment Trust PLC    GBP     882,212   10/31/2024   SONIA   40 bps   897,613    15,401 
 JPM  Abrdn UK Smaller Cos Growth Trust PLC    GBP     2,144,087   10/31/2024   SONIA   40 bps   2,185,161    41,074 
 JPM  Baillie Gifford European Growth Trust PLC    GBP     493,804   10/31/2024   SONIA   40 bps   504,848    11,044 
 JPM  Baillie Gifford UK Growth Trust PLC    GBP     4,711,010   10/31/2024   SONIA   40 bps   4,789,966    78,956 
 JPM  Baillie Gifford US Growth Trust PLC    GBP     9,524,383   10/31/2024   SONIA   40 bps   9,612,031    87,648 
 JPM  Baker Steel Resources Trust, Ltd.    GBP     242,968   10/31/2024   SONIA   40 bps   242,968    - 
 JPM  BlackRock Smaller Companies Trust PLC    GBP     1,633,464   10/31/2024   SONIA   40 bps   1,641,672    8,208 
 JPM  Brown Advisory US Smaller Companies PLC    GBP     206,664   10/31/2024   SONIA   40 bps   208,145    1,481 
 JPM  CQS Natural Resources Growth and Income PLC    GBP     431,412   10/31/2024   SONIA   40 bps   427,933    (3,479)
 JPM  Edinburgh Worldwide Investment Trust PLC    GBP     17,147,672   10/31/2024   SONIA   40 bps   17,339,147    191,475 
 JPM  European Smaller Companies    GBP     5,673,672   10/31/2024   SONIA   40 bps   5,734,679    61,007 
 JPM  Henderson Opportunities Trust PLC    GBP     200,056   10/31/2024   SONIA   40 bps   202,760    2,704 
 JPM  Henderson Smaller Companies Inv Trust PLC    GBP     270,799   10/31/2024   SONIA   40 bps   273,895    3,096 
 JPM  Herald Investment Trust PLC    GBP     5,640,383   10/31/2024   SONIA   40 bps   5,754,715    114,332 
 JPM  JPMorgan European Discovery Trust PLC    GBP     39,889,744   10/31/2024   SONIA   40 bps   40,354,069    464,325 
 JPM  Keystone Positive Change Investment Trust PLC    GBP     2,810,446   10/31/2024   SONIA   40 bps   2,848,945    38,499 
 JPM  Mercantile Investment Trust PLC    GBP     5,769,608   10/31/2024   SONIA   40 bps   5,858,543    88,935 
 JPM  MFF Capital Investments, Ltd.    AUD     907,028   10/31/2024   RBACOR   45 bps   921,349    14,321 
 JPM  Middlefield Canadian Income PC    GBP     1,736   10/31/2024   SONIA   40 bps   1,752    16 
 JPM  Pengana International Equities, Ltd.    AUD     207,891   10/31/2024   RBACOR   45 bps   206,946    (945)
 JPM  River & Mercantile UK Micro Cap Inv Co Ltd    GBP     1,045,664   10/31/2024   SONIA   40 bps   1,031,496    (14,168)
 JPM  Schroder UK Mid Cap Fund PLC    GBP     158,279   10/31/2024   SONIA   40 bps   161,411    3,132 
 JPM  Schroders Capital Global    GBP     9,769   10/31/2024   SONIA   40 bps   9,769    - 
 JPM  Templeton EM Investment Trust PLC    GBP     2,986,644   10/31/2024   SONIA   40 bps   3,023,290    36,646 

 

 
Quarterly Report | July 31, 2024 21

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Counterparty  Reference Obligations  Currency   Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Long Position Contracts                       
 JPM   VGI Partners Global Investments, Ltd.    AUD     595,264   10/31/2024   RBACOR   45 bps  $587,613   $(7,651)
 JPM   WAM Global, Ltd.    AUD     386,451   10/31/2024   RBACOR   45 bps   388,184    1,733 
Total Long Position Contracts               $105,264,106   $1,237,422 

 

Counterparty  Reference Obligations  Currency   Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Short Position Contracts                       
 JPM  4imprint Group PLC    GBP     (523,799)  10/31/2024   SONIA   (40) bps  $(536,082)  $(12,283)
 JPM  Alpha Financial Markets Consulting PLC    GBP     (7,178)  10/31/2024   SONIA   (40) bps   (7,164)   14 
 JPM  Alpha Group International PLC    GBP     (89,087)  10/31/2024   SONIA   (40) bps   (89,432)   (345)
 JPM  Alten SA    EUR     (33,009)  10/31/2024   ESTRON   (40) bps   (33,603)   (594)
 JPM  Auction Technology Group PLC    GBP     (2,298)  10/31/2024   SONIA   (40) bps   (2,372)   (74)
 JPM  Balfour Beatty PLC    GBP     (85,106)  10/31/2024   SONIA   (40) bps   (86,170)   (1,064)
 JPM  Bellway PLC    GBP     (6,078)  10/31/2024   SONIA   (40) bps   (6,116)   (38)
 JPM  Big Technologies PLC    GBP     (1,028)  10/31/2024   SONIA   (75) bps   (1,044)   (16)
 JPM  BioMerieux    EUR     (35,388)  10/31/2024   ESTRON   (40) bps   (35,316)   72 
 JPM  Bloomsbury Publishing PLC    GBP     (53)  10/31/2024   SONIA   (40) bps   (57)   (4)
 JPM  Bytes Technology Group PLC    GBP     (71,320)  10/31/2024   SONIA   (40) bps   (74,488)   (3,168)
 JPM  Card Factory PLC    GBP     (834)  10/31/2024   SONIA   (40) bps   (826)   8 
 JPM  Central Asia Metals PLC    GBP     (2,821)  10/31/2024   SONIA   (40) bps   (2,909)   (88)
 JPM  Chemring Group PLC    GBP     (269,962)  10/31/2024   SONIA   (40) bps   (282,947)   (12,985)
 JPM  Clarkson PLC    GBP     (36,940)  10/31/2024   SONIA   (40) bps   (37,603)   (663)
 JPM  Computacenter PLC    GBP     (76,453)  10/31/2024   SONIA   (40) bps   (77,900)   (1,447)
 JPM  Conduit Holdings, Ltd.    GBP     (3,102)  10/31/2024   SONIA   (40) bps   (3,187)   (85)
 JPM  Crest Nicholson Holdings PLC    GBP     (40,298)  10/31/2024   SONIA   (40) bps   (40,819)   (521)
 JPM  CVS Group PLC    GBP     (32,417)  10/31/2024   SONIA   (40) bps   (33,780)   (1,363)
 JPM  Dassault Systemes SE    EUR     (42,951)  10/31/2024   ESTRON   (40) bps   (43,686)   (735)
 JPM  Diploma PLC    GBP     (529,035)  10/31/2024   SONIA   (40) bps   (539,961)   (10,926)
 JPM  DiscoverIE Group PLC    GBP     (4,462)  10/31/2024   SONIA   (40) bps   (4,482)   (20)
 JPM  Dunelm Group PLC    GBP     (300,067)  10/31/2024   SONIA   (40) bps   (304,763)   (4,696)
 JPM  Edenred    EUR     (22,697)  10/31/2024   ESTRON   (40) bps   (23,173)   (476)
 JPM  Elis SA    EUR     (84,934)  10/31/2024   ESTRON   (40) bps   (85,173)   (239)
 JPM  Esker SA    EUR     (6,591)  10/31/2024   ESTRON   (40) bps   (6,591)   - 
 JPM  Experian PLC    GBP     (130,848)  10/31/2024   SONIA   (40) bps   (133,874)   (3,026)
 JPM  Future PLC    GBP     (69,446)  10/31/2024   SONIA   (40) bps   (71,357)   (1,911)
 JPM  Games Workshop Group PLC    GBP     (122,209)  10/31/2024   SONIA   (40) bps   (123,407)   (1,198)
 JPM  Gamma Communications PLC    GBP     (4,429)  10/31/2024   SONIA   (40) bps   (4,508)   (79)
 JPM  Genus PLC    GBP     (160,186)  10/31/2024   SONIA   (40) bps   (164,882)   (4,696)
 JPM  Grafton Group PLC    GBP     (155,847)  10/31/2024   SONIA   (75) bps   (160,026)   (4,179)
 JPM  Grifols SA    EUR     (29,162)  10/31/2024   ESTRON   (40) bps   (29,816)   (654)
 JPM  Hollywood Bowl Group PLC    GBP     (330)  10/31/2024   SONIA   (40) bps   (342)   (12)

 

 

22

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2024

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Counterparty  Reference Obligations  Currency   Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Short Position Contracts                       
 JPM  Hunting PLC    GBP     (21,643)  10/31/2024   SONIA   (40) bps  $(22,175)  $(532)
 JPM  IMI PLC    GBP     (128,747)  10/31/2024   SONIA   (40) bps   (131,383)   (2,636)
 JPM  Impax Asset Management Group PLC    GBP     (3,625)  10/31/2024   SONIA   (40) bps   (3,684)   (59)
 JPM  Inchcape PLC    GBP     (118,807)  10/31/2024   SONIA   (40) bps   (119,089)   (282)
 JPM  Intermediate Capital Group PLC    GBP     (317,248)  10/31/2024   SONIA   (40) bps   (330,806)   (13,558)
 JPM  IPSOS    EUR     (64,096)  10/31/2024   ESTRON   (40) bps   (63,706)   390 
 JPM  Kainos Group PLC    GBP     (16,386)  10/31/2024   SONIA   (40) bps   (15,979)   407 
 JPM  Kering SA    EUR     (62,787)  10/31/2024   ESTRON   (40) bps   (63,120)   (333)
 JPM  Man Group PLC    GBP     (162,731)  10/31/2024   SONIA   (40) bps   (161,411)   1,320 
 JPM  Morgan Advanced Materials PLC    GBP     (1,421)  10/31/2024   SONIA   (40) bps   (1,449)   (28)
 JPM  Morgan Sindall Group PLC    GBP     (19,053)  10/31/2024   SONIA   (40) bps   (19,744)   (691)
 JPM  Next Fifteen Communications    GBP     (228)  10/31/2024   SONIA   (40) bps   (241)   (13)
 JPM  Ocado Group PLC    GBP     (148,441)  10/31/2024   SONIA   (40) bps   (139,177)   9,264 
 JPM  Oxford Instruments PLC    GBP     (372,691)  10/31/2024   SONIA   (40) bps   (385,754)   (13,063)
 JPM  Oxford Nanopore Technologies PLC    GBP     (110,117)  10/31/2024   SONIA   (40) bps   (104,990)   5,127 
 JPM  Pagegroup PLC    GBP     (378)  10/31/2024   SONIA   (40) bps   (389)   (11)
 JPM  Polestar Automotive Holding UK PLC    USD     (512,504)  10/31/2024   OBFR   (700) bps   (502,955)   9,549 
 JPM  QinetiQ Group PLC    GBP     (318,557)  10/31/2024   SONIA   (40) bps   (330,173)   (11,616)
 JPM  Reach PLC    GBP     (106)  10/31/2024   SONIA   (40) bps   (110)   (4)
 JPM  Redrow PLC    GBP     (6,514)  10/31/2024   SONIA   (40) bps   (6,540)   (26)
 JPM  Samsung Electronics Co., Ltd.    USD     (89,121)  10/31/2024   OBFR   (40) bps   (93,879)   (4,758)
 JPM  Sartorius AG    EUR     (36,397)  10/31/2024   ESTRON   (40) bps   (39,234)   (2,837)
 JPM  Scout24 SE    EUR     (55,364)  10/31/2024   ESTRON   (40) bps   (56,326)   (962)
 JPM  SEB SA    EUR     (3,129)  10/31/2024   ESTRON   (40) bps   (3,105)   24 
 JPM  Senior PLC    GBP     (1,550)  10/31/2024   SONIA   (40) bps   (1,569)   (19)
 JPM  Soitec    EUR     (22,057)  10/31/2024   ESTRON   (40) bps   (22,724)   (667)
 JPM  Spie SA    EUR     (87,326)  10/31/2024   ESTRON   (40) bps   (89,632)   (2,306)
 JPM  SSP Group PLC    GBP     (105)  10/31/2024   SONIA   (40) bps   (111)   (6)
 JPM  Telecom Plus PLC    GBP     (58,426)  10/31/2024   SONIA   (40) bps   (60,135)   (1,709)
 JPM  Verallia SA    EUR     (47,242)  10/31/2024   ESTRON   (40) bps   (48,454)   (1,212)
 JPM  Vesuvius PLC    GBP     (26,620)  10/31/2024   SONIA   (40) bps   (27,560)   (940)
 JPM  Watches of Switzerland Group PLC    GBP     (91,810)  10/31/2024   SONIA   (40) bps   (93,045)   (1,235)
 JPM  WH Smith PLC    GBP     (8,620)  10/31/2024   SONIA   (40) bps   (8,807)   (187)
 JPM  Wise PLC    GBP     (20,780)  10/31/2024   SONIA   (40) bps   (20,780)   - 
 JPM  Workspace Group PLC    GBP     (152)  10/31/2024   SONIA   (40) bps   (149)   3 
Total Short Position Contracts               $(6,016,241)  $(101,097)

 

All Reference Obligations shown above for Total Return Swap Contracts are closed end funds and common stock.

 

(a) The Fund receives monthly payments based on any positive monthly return of the Reference Obligation. The Fund makes payments on any negative monthly return of such Reference Obligation.
(b) Notional amounts are presented in U.S. dollar equivalent.

 

 
Quarterly Report | July 31, 2024 23

 

 

Saba Capital Income & Opportunities Fund Notes to Consolidated Financial Statements
 

July 31, 2024

 

The following table summarizes the valuation of the Fund’s financial instruments in accordance with the fair value hierarchy levels as of July 31, 2024. Refer to the portfolio of investments for additional details.

 

Investments in Securities at Fair Value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Corporate Bonds  $-   $64,235,946   $-   $64,235,946 
Senior Loans***   -    36,521,343    -    36,521,343 
Convertible Corporate Bond   -    158,117    -    158,117 
Sovereign Debt Obligations**   -    10,326,595    -    10,326,595 
Mortgage-Backed Securities   -    3,841,051    -    3,841,051 
Common Stock***   24,458,715    3,996,594    698,060    29,153,369 
Closed End Funds   94,260,704    -    -    94,260,704 
Investment Trusts   20,770,353    -    -    20,770,353 
Preferred Stock   -    10,199    3,878,910    3,889,109 
Private Funds*   -    -    -    45,710,337 
Unit Trust   13,187,678    -    -    13,187,678 
Special Purpose Acquisition Companies***   723,571    -    207    723,778 
Warrants   430,588    35,069    73,971    539,628 
Rights   80,497    -    -    80,497 
Options   6,542,095    -    -    6,542,095 
Money Market Funds   7,653,536    -    -    7,653,536 
Total  $168,107,737   $119,124,914   $4,651,148   $337,594,136 

 

Investment in Affiliated Fund, at Fair Value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Closed End Fund  $843,463   $-   $-   $843,463 
Total  $843,463   $-   $-   $843,463 

 

Securities Sold Short, at Fair Value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Sovereign Debt Obligations**  $153,551,081   $-   $-   $153,551,081 
Common Stock   38,097,297    -    -    38,097,297 
Exchange Traded Funds   15,639,535    -    -    15,639,535 
Preferred Stock   47,940    -    -    47,940 
Total  $207,335,853   $-   $-   $207,335,853 

 

Derivative Contracts, at Fair Value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Assets                    
Simple Agreement for Future Equity Contracts  $-   $-   $7,107,771   $7,107,771 
Forward Foreign Currency Contracts   -    727,664    -    727,664 
Futures Contracts   319,757    -    -    319,757 
Over-the-Counter Credit Default Swaps   -    3,692,373    -    3,692,373 
TBA MBS forward contracts   -    2,544,891    -    2,544,891 
Total Return Swaps   -    1,290,209    -    1,290,209 
Total Assets  $319,757   $8,255,137   $7,107,771   $15,682,665 
                     
Liabilities                    
Forward Foreign Currency Contracts  $-   $279,646   $-   $279,646 
Futures Contracts   584,665    -    -    584,665 
Centrally Cleared Credit Default Swaps   -    2,378,112    -    2,378,112 
Over-the-Counter Credit Default Swaps   -    544,434    -    544,434 
Centrally Cleared Credit Default Swaptions   -    423,617    -    423,617 
Total Return Swaps   -    153,884    -    153,884 
Total Liabilities  $584,665   $3,779,693   $-   $4,364,358 

 

*In accordance with ASC 820-10, investments that are measured at fair value using the NAV per share (or its equivalent) as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Schedule of Investments and Consolidated Statement of Assets and Liabilities.

**Investments classified in Level 1 include sovereign debt obligations issued by G10 countries. All other sovereign debt obligations are classified as Level 2.

***The Fund held Level 3 investments that are priced at $0.

 

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