BRW Saba Capital Income & Opportunities Fund

 

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.

 

---