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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Saba Capital Income & Opportunities Fund | NYSE:BRW | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.03 | 0.41% | 7.31 | 7.39 | 7.28 | 7.31 | 84,108 | 01:00:00 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Principal Amount | Fair Value | |||||||
CORPORATE BONDS - 12.32% | ||||||||
Agriculture - 2.80% | ||||||||
Altria Group, Inc., 4.250%, 08/09/2042 | $ | 10,614,000 | $ | 8,192,474 | ||||
BAT Capital Corp., 3.734%, 09/25/2040 | 3,000,000 | 2,134,682 | ||||||
10,327,156 | ||||||||
Banks - 1.32% | ||||||||
Credit Suisse AG, 0.000% (Variable Rate), 07/31/2030(a) | 10,000 | 7,023 | ||||||
Credit Suisse AG, 0.000% (Variable Rate), 10/30/2030(a) | 420,000 | 241,757 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/30/2030(a) | 25,000 | 16,505 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 07/31/2030(a) | 80,000 | 51,978 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/30/2030(a) | 80,000 | 51,510 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/26/2033(a) | 428,000 | 255,714 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2033(a) | 266,000 | 152,044 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 02/28/2034(a) | 478,000 | 278,407 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(a) | 276,000 | 153,824 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(a) | 26,000 | 15,463 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/30/2034(a) | 66,000 | 39,071 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 05/30/2034(a) | 89,000 | 51,022 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 06/30/2034(a) | 460,000 | 258,273 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 07/31/2034(a) | 25,000 | 14,754 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(a) | 161,000 | 88,286 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(a) | 10,000 | 5,478 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(a) | 231,000 | 124,825 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(a) | 88,000 | 47,904 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/08/2034(a) | 32,000 | 16,913 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(a) | 103,000 | 54,742 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(a) | 181,000 | 102,060 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(a) | 357,000 | 188,498 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(a) | 231,000 | 134,028 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(a) | 25,000 | 13,209 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(a) | 69,000 | 40,805 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(a) | 175,000 | 91,855 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 02/27/2035(a) | 36,000 | 19,472 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(a) | 527,000 | 285,482 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(a) | 114,000 | 65,165 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 02/29/2036(a) | 61,000 | 37,751 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/28/2036(a) | 10,000 | 5,777 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 06/30/2036(a) | 40,000 | 24,575 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/31/2036(a) | 2,289,000 | 1,283,468 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/30/2036(a) | 40,000 | 22,487 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 11/29/2036(a) | 103,000 | 56,600 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 01/31/2037(a) | 224,000 | 118,561 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2037(a) | 747,000 | 377,269 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/28/2037(a) | 40,000 | 21,503 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 05/31/2037(a) | 25,000 | 13,196 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/31/2037(a) | 58,000 | 30,964 | ||||||
4,858,218 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Principal Amount | Fair Value | |||||||
Commercial Services - 2.84% | ||||||||
Adtalem Global Education, Inc., 5.500%, 03/01/2028(b) | $ | 6,195,000 | $ | 5,792,325 | ||||
RR Donnelley & Sons Co., 8.250%, 07/01/2027(b) | 935,000 | 955,748 | ||||||
RR Donnelley & Sons Co., 9.750%, 07/31/2028(b) | 3,628,000 | 3,646,140 | ||||||
RR Donnelley & Sons Co., 6.625%, 04/15/2029(b) | 106,000 | 104,410 | ||||||
10,498,623 | ||||||||
Diversified Financial Services - 0.75% | ||||||||
Nationstar Mortgage Holdings, Inc., 5.500%, 08/15/2028(b) | 1,419,000 | 1,291,290 | ||||||
PennyMac Financial Services, Inc., 5.375%, 10/15/2025(b) | 479,000 | 459,241 | ||||||
PennyMac Financial Services, Inc., 5.750%, 09/15/2031(b) | 666,000 | 563,603 | ||||||
PRA Group, Inc., 8.375%, 02/01/2028(b) | 500,000 | 458,750 | ||||||
2,772,884 | ||||||||
Internet - 0.68% | ||||||||
Uber Technologies, Inc., 6.250%, 01/15/2028(b) | 2,500,000 | 2,496,875 | ||||||
2,496,875 | ||||||||
Iron/Steel - 0.24% | ||||||||
Cleveland-Cliffs Steel Corp., 7.000%, 03/15/2027 | 880,000 | 869,000 | ||||||
869,000 | ||||||||
Media - 0.95% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 3.500%, 03/01/2042 | 5,000,000 | 3,312,542 | ||||||
Diamond Sports Group LLC / Diamond Sports Finance Co., 5.375%, 08/15/2026(b)(c) | 4,000,000 | 130,000 | ||||||
Liberty Interactive LLC, 8.250%, 02/01/2030 | 157,000 | 58,875 | ||||||
3,501,417 | ||||||||
Oil & Gas Producers - 0.28% | ||||||||
Earthstone Energy Holdings LLC, 9.875%, 07/15/2031(b) | 1,000,000 | 1,031,875 | ||||||
1,031,875 | ||||||||
Real Estate - 2.38% | ||||||||
China Evergrande Group, 8.250%, 03/23/2022(c) | 13,307,000 | 665,350 | ||||||
China Evergrande Group, 9.500%, 04/11/2022(c) | 2,253,000 | 112,650 | ||||||
China Evergrande Group, 11.500%, 01/22/2023(c) | 6,500,000 | 325,000 | ||||||
China Evergrande Group, 10.000%, 04/11/2023(c) | 7,018,000 | 350,900 | ||||||
China Evergrande Group, 7.500%, 06/28/2023(c) | 15,065,000 | 753,250 | ||||||
China Evergrande Group, 12.000%, 01/22/2024(c) | 1,800,000 | 90,000 | ||||||
China Evergrande Group, 9.500%, 03/29/2024(c) | 10,811,000 | 540,550 | ||||||
China Evergrande Group, 10.500%, 04/11/2024(c) | 17,000,000 | 850,000 | ||||||
China Evergrande Group, 8.750%, 06/28/2025(c) | 102,308,000 | 5,115,400 | ||||||
8,803,100 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Principal Amount | Fair Value | |||||||
Software - 0.08% | ||||||||
RRD Parent, Inc., 10.000%, 10/15/2031(b)(d) | $ | 185,107 | $ | 313,393 | ||||
313,393 | ||||||||
TOTAL CORPORATE BONDS | 45,472,541 | |||||||
(Cost $59,714,020) | ||||||||
Principal Amount | Fair Value | |||||||
SENIOR LOANS - 6.85% | ||||||||
Chemicals - 0.02% | ||||||||
CPC Acquisition Corp., Second Lien Initial Term Loan, 3M SOFR + 7.75%, 12/29/2028 | 175,000 | 79,041 | ||||||
79,041 | ||||||||
Commercial Services - 5.69% | ||||||||
GEO Group, Inc., First Lien Term Loan, 1M SOFR + 7.125%, 03/23/2027 | 9,986,943 | 10,166,109 | ||||||
R.R. Donnelley & Sons Company, TLB, First Lien Term Loan, 1M SOFR + 7.25%, 03/17/2028 | 10,608,351 | 10,603,418 | ||||||
Travel Port Finance (Luxembourg) S.A R.L, TL, First Lien Term Loan, 3M US L + 4.865%, 05/29/2026 | 388,936 | 249,892 | ||||||
21,019,419 | ||||||||
Food - 0.33% | ||||||||
Moran Foods LLC, First Lien Term Loan, 3M SOFR + 7.25%, 06/30/2026 | 462,403 | 374,547 | ||||||
Moran Foods LLC, First Lien Term Loan, 3M SOFR + 7.25%, 06/30/2026 | 927,417 | 857,861 | ||||||
1,232,408 | ||||||||
Leisure Facilities & Services - 0.02% | ||||||||
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, 3M US L + 5.00%, 12/29/2025 | 286,877 | 51,996 | ||||||
51,996 | ||||||||
Pipelines - 0.01% | ||||||||
GMP Borrower LLC, First Lien Term Loan, 1M SOFR + 4.50%, 10/28/2027 | 32,443 | 28,915 | ||||||
28,915 | ||||||||
Retail - 0.00%(e) | ||||||||
NPC International, Inc., Second Lien Initial Term Loan, PRIME + 0.00%, 04/18/2025(f) | 605,000 | – | ||||||
– | ||||||||
Retail - Discretionary - 0.78% | ||||||||
Chinos Intermediate 2 LLC, TL, First Lien Term Loan, 3M SOFR + 8.00%, 09/10/2027 | 3,000,000 | 2,892,495 | ||||||
2,892,495 | ||||||||
TOTAL SENIOR LOANS | 25,304,274 | |||||||
(Cost $26,060,417) |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Principal Amount | Fair Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (CMO) - 0.42% | ||||||||
Agency Collateralized CMO - 0.42% | ||||||||
Fannie Mae Interest Strip, 3.000%, 10/25/2052 | $ | 9,135,460 | $ | 1,539,167 | ||||
1,539,167 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (CMO) | 1,539,167 | |||||||
(Cost $1,586,926) |
Principal Amount | Fair Value | |||||||
CONVERTIBLE CORPORATE BOND - 1.02% | ||||||||
Internet - 0.29% | ||||||||
Delivery Hero SE, 1.000%, 04/30/2026 | 300,000 | 269,977 | ||||||
Delivery Hero SE, 2.125%, 03/10/2029 | 1,100,000 | 810,601 | ||||||
1,080,578 | ||||||||
Lodging - 0.73% | ||||||||
Selina Hospitality PLC, 6.000%, 11/01/2026(b) | 7,539,000 | 2,678,079 | ||||||
2,678,079 | ||||||||
TOTAL CONVERTIBLE CORPORATE BOND | 3,758,657 | |||||||
(Cost $7,293,220) |
Principal Amount | Fair Value | |||||||
SOVEREIGN DEBT OBLIGATIONS - 3.07% | ||||||||
Sovereign - 3.07% | ||||||||
Ukraine Government International Bond, 7.750%, 09/01/2025(g) | 5,592,000 | 1,887,300 | ||||||
Ukraine Government International Bond, 7.750%, 09/01/2026(g) | 635,000 | 209,550 | ||||||
Ukraine Government International Bond, 7.750%, 09/01/2027(g) | 2,820,000 | 902,400 | ||||||
Ukraine Government International Bond, 6.750%, 06/20/2028(g) | 805,000 | 257,697 | ||||||
Ukraine Government International Bond, 7.750%, 09/01/2028(g) | 3,462,000 | 1,073,220 | ||||||
Ukraine Government International Bond, 7.750%, 09/01/2029(g) | 11,534,000 | 3,662,045 | ||||||
Ukraine Government International Bond, 9.750%, 11/01/2030(g) | 4,146,000 | 1,357,815 | ||||||
Ukraine Government International Bond, 6.876%, 05/21/2031(g) | 1,464,000 | 442,860 | ||||||
Ukraine Government International Bond, 7.375%, 09/25/2034(g) | 2,011,000 | 613,355 | ||||||
Ukraine Government International Bond, 7.253%, 03/15/2035(g) | 2,239,000 | 682,895 | ||||||
Ukraine Government International Bond, 7.750%, 08/01/2041(g) | 551,000 | 245,195 | ||||||
11,334,332 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | 11,334,332 | |||||||
(Cost $8,784,012) |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Principal Amount | Fair Value | |||||||
SECURED SECOND LIEN - 0.16% | ||||||||
Food - 0.16% | ||||||||
Moran Foods LLC, 3M SOFR + 9.50%, 12/31/2026 | $ | 817,109 | $ | 592,404 | ||||
592,404 | ||||||||
TOTAL SECURED SECOND LIEN | 592,404 | |||||||
(Cost $574,185) | ||||||||
Shares | Fair Value | |||||||
COMMON STOCK - 6.30% | ||||||||
Agricultural Operations - 0.05% | ||||||||
Benson Hill, Inc.(h) | 136,711 | 190,028 | ||||||
Commercial Services Finance - 0.01% | ||||||||
Bitcoin Depot, Inc.(h) | 7,151 | 26,959 | ||||||
Medical-Drugs - 0.21% | ||||||||
Compass Pathways PLC(h) | 81,444 | 759,058 | ||||||
Oil-Field Services - 0.01% | ||||||||
Drilling Tools International Corp.(h) | 6,997 | 30,437 | ||||||
Oil Companies - Exploration & Production - 2.08% | ||||||||
Earthstone Energy, Inc.(h) | 463,294 | 7,403,438 | ||||||
Granite Ridge Resources, Inc. | 38,251 | 278,850 | ||||||
7,682,288 | ||||||||
Electronics & Appliances Stores - 0.00%(e) | ||||||||
Everyware Global(f)(h) | 43,777 | – | ||||||
Applications Software - 0.00%(e) | ||||||||
Nogin, Inc.(h) | 11,264 | 10,588 | ||||||
Auto-Cars/Light Trucks - 0.01% | ||||||||
Polestar Automotive Holding UK PLC(h) | 10,409 | 46,632 | ||||||
Diagnostic Equipment - 1.72% | ||||||||
Quantalx Neuroscience Ltd.(f)(h) | 3,000 | 3,095,820 | ||||||
Real View Imaging Ltd(f)(h) | 2,000 | 2,175,300 | ||||||
SomaLogic, Inc.(h) | 437,676 | 1,072,306 | ||||||
6,343,426 | ||||||||
Real Estate Operations/Development - 0.14% | ||||||||
Star Holdings(h) | 34,210 | 533,334 | ||||||
Marine Services - 0.23% | ||||||||
Harvey Gulf Intl. Marine(h) | 24,044 | 841,540 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Entertainment Facilities - 0.00%(e) | ||||||||
24 Hour Fitness Worldwide(h) | 306,005 | $ | 1,836 | |||||
Mineral & Precious Stone Mining - 0.58% | ||||||||
Covia Equity(h) | 169,353 | 2,145,194 | ||||||
IT Services - 0.00%(e) | ||||||||
IQOR(h) | 4,941 | 3,296 | ||||||
Power Generation - 0.21% | ||||||||
Longview Power LLC(h) | 61,813 | 772,663 | ||||||
Credit & Debit - 0.72% | ||||||||
Pagseguro Digital, Ltd.(h) | 234,874 | 2,668,169 | ||||||
E - Commerce/Services - 0.27% | ||||||||
Haat Delivery Ltd.(f)(h) | 64,188 | 1,000,000 | ||||||
Auto/Truck Parts & Equipment - 0.06% | ||||||||
Arbe Robotics, Ltd.(h) | 68,769 | 202,869 | ||||||
TOTAL COMMON STOCK | 23,258,317 | |||||||
(Cost $20,635,904) |
Shares | Fair Value | |||||||
CLOSED END FUNDS - 31.19% | ||||||||
Abrdn Diversified Income and Growth PLC | 7,080 | 7,814 | ||||||
Abrdn Emerging Markets Equity | 1,818 | 9,981 | ||||||
Abrdn Global Dynamic Dividend | 634 | 6,150 | ||||||
Abrdn Global Infrastructure In | 2,754 | 50,481 | ||||||
Abrdn Japan Equity Fund, Inc. | 46,838 | 283,838 | ||||||
Abrdn Smaller Companies Income | 161,889 | 565,108 | ||||||
Adams Diversified Equity Fund, Inc. | 41,742 | 738,833 | ||||||
Apollo Tactical Income Fund, Inc. | 28,054 | 361,616 | ||||||
Bitwise 10 Crypto Index Fund(h)(i) | 327,836 | 4,134,668 | ||||||
BlackRock California Municipal Income Trust | 173,989 | 2,016,533 | ||||||
BlackRock Capital Allocation Term Trust | 67,144 | 1,032,003 | ||||||
BlackRock ESG Capital Allocation Term Trust | 409,804 | 6,560,962 | ||||||
BlackRock Health Sciences Term Trust | 19,691 | 321,751 | ||||||
BlackRock Innovation and Growth Term Trust | 328,888 | 2,700,171 | ||||||
BlackRock Municipal Income Trust | 927 | 9,372 | ||||||
BlackRock Municipal Income Trust II | 1,418 | 14,818 | ||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 19,672 | 213,441 | ||||||
BlackRock MuniHoldings Fund, Inc. | 2,264 | 26,806 | ||||||
BlackRock MuniHoldings New Jersey Quality Fund, Inc. | 3,842 | 43,030 | ||||||
BlackRock MuniHoldings New York Quality Fund, Inc. | 1,799 | 18,782 | ||||||
BlackRock MuniHoldings Quality Fund II, Inc. | 1,024 | 10,168 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
BlackRock MuniVest Fund, Inc. | 18 | $ | 123 | |||||
BlackRock MuniYield Michigan Quality Fund, Inc. | 3,742 | 41,611 | ||||||
BlackRock MuniYield Pennsylvania Quality Fund | 4,675 | 54,651 | ||||||
BlackRock New York Municipal Income Trust | 2,289 | 23,691 | ||||||
BlackRock Science and Technology Term Trust | 9,706 | 181,211 | ||||||
BlackRock Smaller Cos. Trust PLC | 71,210 | 1,180,726 | ||||||
BlackRock Virginia Municipal Bond Trust | 125 | 1,348 | ||||||
Blackstone Long-Short Credit Income Fund | 1,715 | 19,877 | ||||||
Blackstone Strategic Credit 2027 Term Fund | 1,348 | 15,017 | ||||||
BNY Mellon Municipal Income, Inc. | 1,378 | 8,805 | ||||||
Carlyle Credit Income Fund | 38,522 | 303,553 | ||||||
Center Coast Brookfield MLP & Energy Infrastructure Fund | 146,912 | 3,038,140 | ||||||
Citadel Income Fund | 110,020 | 264,485 | ||||||
ClearBridge Energy Midstream Opportunity Fund, Inc. | 68,686 | 2,206,194 | ||||||
ClearBridge MLP & Midstream Fund, Inc. | 17,796 | 668,596 | ||||||
ClearBridge MLP & Midstream Total Return Fund, Inc. | 69,138 | 2,334,790 | ||||||
Credit Suisse High Yield Bond Fund | 5,819 | 10,940 | ||||||
DWS Municipal Income Trust | 3,827 | 33,486 | ||||||
DWS Strategic Municipal Income Trust | 59 | 502 | ||||||
Eaton Vance California Municipal Bond Fund | 59,833 | 534,309 | ||||||
Eaton Vance California Municipal Income Trust | 7,671 | 78,014 | ||||||
Eaton Vance New York Municipal Bond Fund | 54,699 | 530,580 | ||||||
Ecofin Sustainable and Social | 37,011 | 478,182 | ||||||
Ellsworth Growth and Income Fund, Ltd. | 116,478 | 1,027,336 | ||||||
European Opportunities Trust PLC | 664,443 | 6,906,981 | ||||||
European Smaller Companies | 2,626 | 5,426 | ||||||
Federated Hermes Premier Municipal Income Fund | 1,993 | 21,245 | ||||||
First Trust High Yield Opportunities 2027 Term Fund | 2,599 | 36,386 | ||||||
First Trust/abrdn Global Opportunity Income Fund | 351 | 2,289 | ||||||
FS Credit Opportunities Corp. | 33,159 | 167,121 | ||||||
GAMCO Natural Resources Gold & Income Trust | 17,606 | 93,136 | ||||||
Guggenheim Active Allocation Fund | 846 | 12,005 | ||||||
Hearts and Minds Investments, Ltd. | 836,372 | 1,337,063 | ||||||
Henderson Opportunities Trust PLC | 111,656 | 1,411,444 | ||||||
Herald Investment Trust PLC(h) | 2,610 | 60,493 | ||||||
Invesco Pennsylvania Value Municipal Income Trust | 2,462 | 24,398 | ||||||
Invesco Trust for Investment Grade New York Municipals | 407 | 4,192 | ||||||
Japan Smaller Capitalization Fund, Inc. | 7,794 | 58,065 | ||||||
JPMorgan European Discovery Trust PLC | 14,209 | 72,667 | ||||||
JPMorgan Mid Cap Investment Trust PLC | 3,263 | 38,610 | ||||||
Kayne Anderson NextGen Energy & Infrastructure, Inc. | 103,652 | 781,536 | ||||||
Korea Fund, Inc. | 26,272 | 633,155 | ||||||
Magellan Global Fund/Close Class | 2,640,734 | 3,006,559 | ||||||
MainStay CBRE Global Infrastructure Megatrends Term Fund | 33,785 | 478,058 | ||||||
MFF Capital Investments, Ltd. | 3,142,746 | 6,079,629 | ||||||
MFS High Income Municipal Trust | 2,100 | 7,644 | ||||||
MFS High Yield Municipal Trust | 99,679 | 335,918 | ||||||
MFS Investment Grade Municipal Trust | 57,289 | 435,969 | ||||||
Miller/Howard High Dividend Fund | 333,513 | 3,495,216 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 92,804 | $ | 610,650 | |||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 604,311 | 2,961,124 | ||||||
Naos Small Cap Opportunities Company, Ltd. | 61,487 | 29,943 | ||||||
NB Global Corporate Income Trust | 5,283,248 | 5,092,467 | ||||||
Neuberger Berman Energy Infrastructure and Income Fund, Inc. | 268,634 | 1,915,360 | ||||||
Neuberger Berman New York Municipal Fund, Inc. | 530 | 5,104 | ||||||
Neuberger Berman Next Generation Connectivity Fund, Inc. | 165,408 | 1,827,758 | ||||||
New America High Income Fund, Inc. | 5,107 | 34,728 | ||||||
Nuveen California Quality Municipal Income Fund | 33,042 | 358,506 | ||||||
Nuveen Core Plus Impact Fund | 196,587 | 1,995,358 | ||||||
Nuveen Credit Strategies Income Fund | 70,814 | 359,735 | ||||||
Nuveen Massachusetts Quality Municipal Income Fund | 655 | 6,864 | ||||||
Nuveen Multi-Asset Income Fund | 226,394 | 2,738,235 | ||||||
Nuveen Municipal Credit Income Fund | 19 | 225 | ||||||
Nuveen New Jersey Quality Municipal Income Fund | 12,711 | 147,448 | ||||||
Nuveen New York AMT-Free Quality Municipal Income Fund | 926 | 9,630 | ||||||
Nuveen New York Quality Municipal Income Fund | 1,105 | 11,901 | ||||||
Nuveen Pennsylvania Quality Municipal Income Fund | 3,583 | 40,488 | ||||||
Nuveen Real Asset Income and Growth Fund | 25 | 291 | ||||||
NXG NextGen Infrastructure Income Fund | 23,563 | 933,802 | ||||||
Pengana International Equities, Ltd. | 4,054,812 | 2,900,652 | ||||||
Pershing Square Holdings, Ltd. | 175,609 | 6,760,947 | ||||||
PGIM Short Duration High Yield Opportunities Fund | 1,433 | 21,882 | ||||||
PIMCO Energy & Tactical Credit Opportunities Fund | 254,162 | 4,257,214 | ||||||
Pioneer Municipal High Income Advantage Fund, Inc. | 959 | 7,710 | ||||||
Pioneer Municipal High Income Fund Trust | 701 | 6,085 | ||||||
Pioneer Municipal High Income Opportunities Fund, Inc. | 22,618 | 246,536 | ||||||
Platinum Capital, Ltd. | 505,958 | 448,605 | ||||||
Principal Real Estate Income Fund | 51,780 | 504,337 | ||||||
Schroder British Opportunities Trust PLC(h) | 1,453,746 | 1,296,638 | ||||||
Schroder UK Mid Cap Fund PLC | 570,790 | 4,116,785 | ||||||
Taiwan Fund, Inc. | 3,223 | 107,390 | ||||||
Templeton Emerging Markets Fund/United States | 1,314 | 16,616 | ||||||
Templeton Global Income Fund | 826,356 | 3,545,067 | ||||||
Thornburg Income Builder Opportunities Trust | 502 | 7,831 | ||||||
Tortoise Energy Independence Fund, Inc. | 27,292 | 849,600 | ||||||
Tortoise Energy Infrastructure Fund, Inc. | 14,818 | 455,357 | ||||||
Tortoise Midstream Energy Fund, Inc. | 56,207 | 2,002,655 | ||||||
Tortoise Pipeline & Energy Fund, Inc. | 7,795 | 227,926 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 42,068 | 581,380 | ||||||
VGI Partners Global Investments, Ltd. | 3,653,052 | 4,244,996 | ||||||
Voya Emerging Markets High Dividend Equity Fund | 55,378 | 300,149 | ||||||
Voya Infrastructure Industrials and Materials Fund | 15,769 | 162,263 | ||||||
WAM Global, Ltd. | 3,609,449 | 4,848,933 | ||||||
WCM Global Growth, Ltd. | 392,373 | 334,717 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Western Asset Intermediate Muni Fund | 18,474 | $ | 142,065 | |||||
Western Asset Municipal Partners Fund, Inc. | 2,540 | 29,997 | ||||||
115,171,648 | ||||||||
TOTAL CLOSED END FUNDS | 115,171,648 | |||||||
(Cost $108,260,401) |
Shares | Fair Value | |||||||
PREFERRED STOCK - 0.58% | ||||||||
Entertainment Facilities - 0.00%(e) | ||||||||
24 Hour Fitness Worldwide, Inc.(h) | 407,959 | – | ||||||
Transportation - 0.58% | ||||||||
G-ILS Transportation Ltd. Preferred B-3 Shares(f)(h) | 1,332 | 2,141,510 | ||||||
TOTAL PREFERRED STOCK | 2,141,510 | |||||||
(Cost $2,709,436) |
Shares | Fair Value | |||||
PARTICIPATION AGREEMENT - 0.63% | ||||||
Caesars Entertainment, Inc (BI CLAIM)(f)(h)(i) | N/A | 2,320,000 | ||||
TOTAL PARTICIPATION AGREEMENT | 2,320,000 | |||||
(Cost $2,320,000) |
Shares | Fair Value | |||||||
PRIVATE FUND - 9.10% | ||||||||
Stone Ridge Opportunities Fund LP(h) | 29,527 | 33,604,679 | ||||||
TOTAL PRIVATE FUND | 33,604,679 | |||||||
(Cost $29,527,000) |
Shares | Fair Value | |||||||
UNIT TRUST - 6.79% | ||||||||
Grayscale Bitcoin Trust BTC(h)(i) | 505,971 | 9,679,225 | ||||||
Grayscale Ethereum Classic Trust(h)(i) | 820,032 | 5,641,820 | ||||||
Grayscale Ethereum Trust(h)(i) | 870,483 | 9,331,578 | ||||||
Grayscale Litecoin Trust(h)(i) | 82,456 | 432,070 | ||||||
25,084,693 | ||||||||
TOTAL UNIT TRUST | 25,084,693 | |||||||
(Cost $14,437,402) |
Shares | Fair Value | |||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 9.97% | ||||||||
Agrinam Acquisition Corp.(h) | 19,798 | 209,364 | ||||||
Alpha Partners Technology Merger Corp.(h) | 19,691 | 205,771 | ||||||
AltC Acquisition Corp.(h) | 38,589 | 398,624 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Artemis Strategic Investment Corp.(h) | 142,048 | $ | 1,507,840 | |||||
Artemis Strategic Investment Corp., Class B(f)(h) | 12,038 | 6,862 | ||||||
Battery Future Acquisition Corp.(h) | 23,189 | 248,354 | ||||||
Beard Energy Transition Acquisition Corp.(h) | 120,587 | 1,270,987 | ||||||
Bellevue Life Sciences Acquisition Corp.(h) | 14,638 | 152,235 | ||||||
BioPlus Acquisition Corp.(h) | 78,809 | 843,256 | ||||||
Blue Ocean Acquisition Corp.(h) | 50,459 | 536,379 | ||||||
Blue World Acquisition Corp.(h) | 51,687 | 550,983 | ||||||
CF Acquisition Corp. VII(h) | 21,449 | 227,145 | ||||||
Chenghe Acquisition Co.(h) | 392 | 4,205 | ||||||
Clean Earth Acquisitions Corp.(h) | 99,174 | 1,039,344 | ||||||
Deezer SA(h) | 8,179 | 22,527 | ||||||
Denali Capital Acquisition Corp.(h) | 27,621 | 298,859 | ||||||
Digital World Acquisition Corp., Class B(f)(h) | 25,893 | 251,162 | ||||||
Distoken Acquisition Corp.(h) | 5,419 | 56,493 | ||||||
DUET Acquisition Corp.(h) | 5,996 | 63,438 | ||||||
Eureking SA(h) | 59,955 | 678,985 | ||||||
Everest Consolidator Acquisition Corp.(h) | 100,984 | 1,080,529 | ||||||
Fat Projects Acquisition Corp., Class B(f)(h) | 4,886 | 4,251 | ||||||
FG Merger Corp.(h) | 1,483 | 15,749 | ||||||
Forbion European Acquisition Corp.(h) | 22,181 | 239,333 | ||||||
Fortune Rise Acquisition Corp.(h) | 29,156 | 314,302 | ||||||
Four Leaf Acquisition Corp.(h) | 3,750 | 39,375 | ||||||
FTAC Zeus Acquisition Corp.(h) | 71,310 | 745,903 | ||||||
FutureTech II Acquisition Corp.(h) | 52,279 | 560,692 | ||||||
Global Blockchain Acquisition Corp.(h) | 40,470 | 422,911 | ||||||
Goldenstone Acquisition, Ltd.(h) | 5,405 | 57,617 | ||||||
Gores Holdings IX, Inc.(h) | 121,537 | 1,251,831 | ||||||
Haymaker Acquisition Corp. 4(h) | 7,456 | 75,604 | ||||||
HNR Acquisition Corp.(h) | 44,874 | 476,786 | ||||||
Infinite Acquisition Corp.(h) | 24,755 | 262,651 | ||||||
Integrated Rail and Resources Acquisition Corp.(h) | 153,090 | 1,651,841 | ||||||
Integrated Wellness Acquisition Corp.(h) | 58,193 | 631,394 | ||||||
Investcorp Europe Acquisition Corp. I(h) | 55,193 | 593,601 | ||||||
Israel Acquisitions Corp.(h) | 8,683 | 90,737 | ||||||
Kensington Capital Acquisition Corp. V(h) | 58,885 | 627,125 | ||||||
L Catterton Asia Acquisition Corp.(h) | 1,609 | 16,975 | ||||||
LF Capital Acquisition Corp. II, Class A(h) | 166,778 | 1,797,033 | ||||||
LIV Capital Acquisition Corp. II(h) | 2,497 | 26,693 | ||||||
M3-Brigade Acquisition III Corp.(h) | 14,905 | 156,353 | ||||||
Mars Acquisition Corp.(h) | 10,247 | 106,415 | ||||||
Mountain & Co. I Acquisition Corp.(h) | 58,395 | 641,177 | ||||||
Nabors Energy Transition Corp.(h) | 152,733 | 1,640,352 | ||||||
Pegasus Digital Mobility Acquisition Corp., Class B(f)(h) | 4,456 | 4,768 | ||||||
Pono Capital Three, Inc.(h) | 11,690 | 122,277 | ||||||
Pono Capital Two, Inc.(h) | 9,738 | 101,275 | ||||||
Pyrophyte Acquisition Corp.(h) | 59,259 | 636,442 | ||||||
Quadro Acquisition One Corp.(h) | 39,461 | 417,892 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
RCF Acquisition Corp.(h) | 9,504 | $ | 102,406 | |||||
Rigel Resource Acquisition Corp.(h) | 17,835 | 191,905 | ||||||
Screaming Eagle Acquisition Corp.(h) | 67,654 | 701,572 | ||||||
Sculptor Capital Management, Inc. | 708,589 | 7,759,050 | ||||||
SILVERspac, Inc.(h) | 55,349 | 575,353 | ||||||
Slam Corp.(h) | 26,398 | 283,251 | ||||||
Spring Valley Acquisition Corp. II(h) | 26,917 | 285,051 | ||||||
Transition SA(h) | 33,822 | 368,156 | ||||||
UTA Acquisition Corp.(h) | 82,968 | 882,780 | ||||||
Vahanna Tech Edge Acquisition I Corp.(h) | 132,585 | 1,417,334 | ||||||
Valuence Merger Corp. I(h) | 54,174 | 582,912 | ||||||
VAM Investments Spac BV(h) | 25,279 | 265,436 | ||||||
36,797,903 | ||||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES | 36,797,903 | |||||||
(Cost $32,862,334) | ||||||||
WARRANTS - 0.21% | ||||||||
10X Capital Venture Acquisition Corp. III, Expires 12/31/2027, Strike Price $11.50 | 55,754 | 1,673 | ||||||
A SPAC I Acquisition Corp., Expires 05/21/2027, Strike Price $11.50 | 1 | 0 | ||||||
A SPAC II Acquisition Corp., Expires 05/03/2027, Strike Price $11.50 | 34,421 | 842 | ||||||
Achari Ventures Holdings Corp. I, Expires 08/05/2026, Strike Price $11.50 | 38,384 | 1,046 | ||||||
Agrinam Acquisition Corp., Expires 07/21/2027, Strike Price $11.50 | 19,798 | 198 | ||||||
Alset Capital Acquisition Corp., Expires 02/02/2027, Strike Price $11.50 | 13,297 | 544 | ||||||
ALSP Orchid Acquisition Corp. I, Expires 11/30/2028, Strike Price $11.50 | 52,397 | 1,577 | ||||||
Andretti Acquisition Corp., Expires 03/23/2028, Strike Price $11.50 | 24,523 | 5,616 | ||||||
AP Acquisition Corp., Expires 12/07/2026, Strike Price $11.50 | 9,857 | 616 | ||||||
Apeiron Capital Investment Corp., Expires 04/02/2026, Strike Price $11.50 | 49,151 | 762 | ||||||
APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50 | 3,981 | 373 | ||||||
Arisz Acquisition Corp., Expires 11/16/2026, Strike Price $11.50 | 34,348 | 924 | ||||||
Armada Acquisition Corp. I, Expires 08/13/2026, Strike Price $11.50 | 19 | 1 | ||||||
Artemis Strategic Investment Corp., Expires 12/31/2027, Strike Price $11.50 | 52,405 | 2,172 | ||||||
Athena Consumer Acquisition Corp., Expires 07/31/2028, Strike Price $11.50 | 33,717 | 5,058 | ||||||
Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50 | 36,968 | 1,235 | ||||||
Atlantic Coastal Acquisition Corp. II, Expires 06/02/2028, Strike Price $11.50 | 80,774 | 2,601 | ||||||
Ault Disruptive Technologies Corp., Expires 06/20/2028, Strike Price $11.50 | 18,483 | 1,700 | ||||||
Aura FAT Projects Acquisition Corp., Expires 06/02/2027, Strike Price $11.50 | 58,439 | 1,683 | ||||||
Aurora Technology Acquisition Corp., Expires 02/07/2028, Strike Price $11.50 | 63,578 | 1,113 | ||||||
Axios Sustainable Growth Acquisition Corp., Expires 02/16/2027, Strike Price $11.50 | 43,990 | 88 | ||||||
Banyan Acquisition Corp., Expires 09/30/2028, Strike Price $11.50 | 45,560 | 9,249 | ||||||
Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50 | 36,968 | 3,697 | ||||||
Beard Energy Transition Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 60,293 | 4,221 | ||||||
Bellevue Life Sciences Acquisi, Expires 02/10/2028, Strike Price $11.50 | 14,638 | 733 | ||||||
BenevolentAI, Expires 06/30/2026, Strike Price $11.50 | 7,014 | 77 | ||||||
Benson Hill Inc., Expires 03/25/2027, Strike Price $3.90(f) | 187,607 | 34,707 | ||||||
BioPlus Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | 45,412 | 6,585 | ||||||
Bitcoin Depot, Inc., Expires 07/22/2027, Strike Price $11.50 | 116,268 | 30,230 | ||||||
Black Mountain Acquisition Corp., Expires 10/15/2027, Strike Price $11.50 | 46,279 | 2,319 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Black Spade Acquisition Co., Expires 07/16/2026, Strike Price $11.50 | 14,266 | $ | 4,708 | |||||
Bleuacacia, Ltd., Expires 06/21/2024, Strike Price $11.50 | 100,804 | 3,080 | ||||||
Blockchain Coinvestors Acquisition Corp. I, Expires 11/03/2024, Strike Price $11.50 | 93,986 | 3,543 | ||||||
Blue Ocean Acquisition Corp., Expires 10/21/2023, Strike Price $11.50 | 16,257 | 1,029 | ||||||
Blue World Acquisition Corp., Expires 01/10/2029, Strike Price $11.50 | 23,302 | 1,631 | ||||||
Bluescape Opportunities Acquisition Corp., Expires 01/31/2026, Strike Price $11.50 | 49,310 | 1,617 | ||||||
BurTech Acquisition Corp., Expires 08/19/2023, Strike Price $11.50 | 23,368 | 467 | ||||||
BYTE Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 20,143 | 4,452 | ||||||
C5 Acquisition Corp., Expires 05/19/2028, Strike Price $11.50 | 72,059 | 2,882 | ||||||
Cactus Acquisition Corp. 1, Ltd., Expires 10/29/2026, Strike Price $11.50 | 21,180 | 990 | ||||||
Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50 | 154,766 | 4,829 | ||||||
Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50 | 69,120 | 4,838 | ||||||
Cardio Diagnostics Holdings, Inc., Expires 12/01/2026, Strike Price $11.50 | 19,933 | 3,139 | ||||||
Carmell Therapeutics Corp., Expires 04/12/2027, Strike Price $11.50 | 3,816 | 954 | ||||||
Cartesian Growth Corp. II, Expires 07/12/2028, Strike Price $11.50 | 5,984 | 1,077 | ||||||
Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50 | 74,354 | 5,205 | ||||||
CF Acquisition Corp. IV, Expires 12/14/2025, Strike Price $11.50 | 13,333 | 1,132 | ||||||
CF Acquisition Corp. VII, Expires 03/15/2026, Strike Price $11.50 | 4,928 | 493 | ||||||
Chain Bridge I, Expires 12/31/2028, Strike Price $11.50 | 33,367 | 2,219 | ||||||
Chenghe Acquisition Co., Expires 04/28/2027, Strike Price $11.50 | 400 | 48 | ||||||
Churchill Capital Corp. VII, Expires 02/29/2028, Strike Price $11.50 | 26,731 | 3,499 | ||||||
Cineworld, Expires 11/23/2025, Strike Price $0.41 | 88,914 | – | ||||||
Clean Earth Acquisitions Corp., Expires 02/24/2028, Strike Price $11.50 | 49,587 | 3,248 | ||||||
ClimateRock, Expires 06/01/2027, Strike Price $11.50 | 11,778 | 287 | ||||||
Compute Health Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 26,926 | 15,079 | ||||||
Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50 | 25,741 | 893 | ||||||
Concord Acquisition Corp. III, Expires 12/31/2028, Strike Price $11.50 | 54,452 | 2,178 | ||||||
Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 41,045 | 5,336 | ||||||
Crescera Capital Acquisition Corp., Expires 04/20/2028, Strike Price $11.50 | 63,791 | 204 | ||||||
CSLM Acquisition Corp., Expires 06/01/2027, Strike Price $11.50 | 38,488 | 866 | ||||||
Deezer SA, Expires 06/07/2027, Strike Price $11.50 | 95,238 | 1,047 | ||||||
Denali Capital Acquisition Corp., Expires 04/07/2027, Strike Price $11.50 | 27,621 | 1,512 | ||||||
DHC Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 25,249 | 1,545 | ||||||
Digital Health Acquisition Corp., Expires 10/14/2023, Strike Price $11.50 | 17,736 | 576 | ||||||
Distoken Acquisition Corp., Expires 03/30/2028, Strike Price $11.50 | 5,841 | 327 | ||||||
DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | 5,996 | 174 | ||||||
EG Acquisition Corp., Expires 05/28/2028, Strike Price $11.50 | 27,981 | 8,366 | ||||||
Energem Corp., Expires 11/16/2026, Strike Price $11.50 | 45,714 | 2,743 | ||||||
Energy Transition Partners BV, Expires 07/16/2026, Strike Price $11.50 | 16,852 | 4,632 | ||||||
ESGEN Acquisition Corp., Expires 10/20/2026, Strike Price $11.50 | 61,117 | 3,667 | ||||||
Eureking SA, Expires 05/12/2027, Strike Price $11.50 | 59,955 | 3,296 | ||||||
EVe Mobility Acquisition Corp., Expires 05/12/2028, Strike Price $11.50 | 27,110 | 2,048 | ||||||
Everest Consolidator Acquisition Corp., Expires 08/17/2023, Strike Price $11.50 | 50,492 | 12,325 | ||||||
Evergreen Corp., Expires 02/15/2027, Strike Price $11.50 | 70,092 | 2,926 | ||||||
ExcelFin Acquisition Corp., Expires 10/21/2026, Strike Price $11.50 | 22,349 | 1,091 | ||||||
Fat Projects Acquisition Corp., Expires 06/16/2026, Strike Price $11.50 | 37,947 | 1,865 | ||||||
FG Acquisition Corp., Expires 04/05/2030, Strike Price $11.50 | 25,263 | 27,789 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
FG Merger Corp., Expires 06/17/2027, Strike Price $11.50 | 1,112 | $ | 133 | |||||
Financial Strategies Acquisition Corp., Expires 03/31/2028, Strike Price $11.50 | 6,820 | 110 | ||||||
Financials Acquisition Corp., Expires 04/04/2027, Strike Price $11.50 | 28,696 | 1,105 | ||||||
Finnovate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50 | 71,462 | 2,187 | ||||||
FinServ Acquisition Corp. II, Expires 02/17/2026, Strike Price $11.50 | 22,794 | 841 | ||||||
Fintech Ecosystem Development Corp., Expires 12/31/2028, Strike Price $11.50 | 27,352 | 547 | ||||||
Flame Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 5,451 | 1,866 | ||||||
Forbion European Acquisition Corp., Expires 05/23/2028, Strike Price $11.50 | 7,393 | 3,918 | ||||||
Fortune Rise Acquisition Corp., Expires 11/26/2023, Strike Price $11.50 | 15,616 | 859 | ||||||
FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50 | 27,108 | 1,190 | ||||||
FTAC Zeus Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 135,656 | 4,612 | ||||||
Fusion Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50 | 20,782 | 104 | ||||||
Future Health ESG Corp., Expires 09/09/2026, Strike Price $11.50 | 37,402 | 1,014 | ||||||
FutureTech II Acquisition Corp., Expires 02/16/2027, Strike Price $11.50 | 48,383 | 2,893 | ||||||
Gardiner Healthcare Acquisitions Corp., Expires 07/11/2024, Strike Price $11.50 | 14,786 | 887 | ||||||
Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50 | 6,030 | 15 | ||||||
GigCapital5, Inc., Expires 12/31/2028, Strike Price $11.50 | 3,954 | 69 | ||||||
Global Blockchain Acquisition Corp., Expires 05/10/2027, Strike Price $11.50 | 40,470 | 801 | ||||||
Global Technology Acquisition Corp. I, Expires 07/13/2026, Strike Price $11.50 | 23,734 | 2,055 | ||||||
Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50 | 14,771 | 276 | ||||||
Gores Holdings IX, Inc., Expires 01/14/2024, Strike Price $11.50 | 40,512 | 10,533 | ||||||
Growth For Good Acquisition Corp., Expires 11/12/2026, Strike Price $11.50 | 51,285 | 5,346 | ||||||
HCM ACQUISITION Corp., Expires 12/31/2027, Strike Price $11.50 | 10,493 | 236 | ||||||
Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50 | 18,681 | 1,083 | ||||||
HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50 | 17,425 | 373 | ||||||
HNR Acquisition Corp., Expires 07/29/2028, Strike Price $11.50 | 44,874 | 4,537 | ||||||
Home Plate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50 | 4,107 | 85 | ||||||
Iconic Sports Acquisition Corp., Expires 10/12/2026, Strike Price $11.50 | 19,665 | 3,953 | ||||||
Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50 | 2,402 | 75 | ||||||
Industrial Tech Acquisitions II, Inc., Expires 12/31/2028, Strike Price $11.50 | 47,509 | 2,851 | ||||||
Infinite Acquisition Corp., Expires 11/23/2028, Strike Price $11.50 | 46,166 | 6,514 | ||||||
InFinT Acquisition Corp., Expires 05/19/2027, Strike Price $11.50 | 55,058 | 2,059 | ||||||
Innovative International Acquisition Corp., Expires 07/01/2028, Strike Price $11.50 | 71,433 | 4,536 | ||||||
Integrated Rail and Resources Acquisition Corp., Expires 11/12/2026, Strike Price $11.50 | 48,874 | 21,211 | ||||||
Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | 1,475 | 1,180 | ||||||
Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50 | 24,645 | 7,147 | ||||||
Investcorp India Acquisition Corp., Expires 06/28/2027, Strike Price $11.50 | 37,472 | 1,949 | ||||||
Iris Acquisition Corp., Expires 03/05/2026, Strike Price $11.50 | 27,683 | 734 | ||||||
Israel Acquisitions Corp., Expires 02/28/2028, Strike Price $11.50 | 8,683 | 1,255 | ||||||
IX Acquisition Corp., Expires 11/24/2026, Strike Price $11.50 | 112 | 3 | ||||||
Jaguar Global Growth Corp. I, Expires 02/11/2027, Strike Price $11.50 | 43,794 | 2,485 | ||||||
Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50 | 19,820 | 868 | ||||||
Juniper II Corp., Expires 12/31/2028, Strike Price $11.50 | 9,381 | 527 | ||||||
Jupiter Acquisition Corp., Expires 08/17/2028, Strike Price $11.50 | 1,531 | 61 | ||||||
Kairous Acquisition Corp. ltd, Expires 11/24/2023, Strike Price $11.50 | 6,746 | 41 | ||||||
Kernel Group Holdings, Inc., Expires 01/31/2027, Strike Price $11.50 | 1,326 | 93 | ||||||
Keyarch Acquisition Corp., Expires 07/25/2028, Strike Price $11.50 | 24,350 | 1,583 | ||||||
KnightSwan Acquisition Corp., Expires 07/21/2028, Strike Price $11.50 | 4,497 | 315 | ||||||
LAMF Global Ventures Corp. I, Expires 11/11/2026, Strike Price $11.50 | 63,179 | 4,467 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
LatAmGrowth SPAC, Expires 01/25/2028, Strike Price $11.50 | 37,849 | $ | 1,527 | |||||
LF Capital Acquisition Corp. II, Expires 01/07/2026, Strike Price $11.50 | 60,499 | 4,447 | ||||||
Liberty Resources Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | 22,928 | 686 | ||||||
Lifezone Metals, Ltd., Expires 07/07/2028, Strike Price $11.50 | 52,557 | 46,776 | ||||||
LIV Capital Acquisition Corp. II, Expires 02/16/2027, Strike Price $11.50 | 43,759 | 1,094 | ||||||
Mercato Partners Acquisition Corp., Expires 12/28/2026, Strike Price $11.50 | 15,665 | 835 | ||||||
Metal Sky Star Acquisition Corp., Expires 04/01/2027, Strike Price $11.50 | 40,420 | 726 | ||||||
Metals Acquisition, Ltd., Expires 06/16/2028, Strike Price $11.50 | 8,891 | 12,892 | ||||||
Monterey Innovation Acquisition Corp., Expires 10/01/2026, Strike Price $11.50 | 24,230 | 579 | ||||||
Mountain & Co. I Acquisition Corp., Expires 08/24/2023, Strike Price $11.50 | 62,660 | 9,408 | ||||||
Murphy Canyon Acquisition Corp., Expires 02/03/2027, Strike Price $11.50 | 51,468 | 1,451 | ||||||
Nabors Energy Transition Corp., Expires 11/17/2026, Strike Price $11.50 | 87,846 | 15,250 | ||||||
New Energy One Acquisition Corp. PLC, Expires 03/07/2027, Strike Price $11.50 | 222,976 | 71,539 | ||||||
New Providence Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50 | 21,526 | 1,292 | ||||||
Newcourt Acquisition Corp., Expires 04/12/2028, Strike Price $11.50 | 30,398 | 462 | ||||||
Nogin, Inc., Expires 08/26/2027, Strike Price $11.50 | 8,372 | 124 | ||||||
NorthView Acquisition Corp., Expires 10/21/2023, Strike Price $11.50 | 19,197 | 600 | ||||||
Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 31,088 | 625 | ||||||
Nubia Brand International Corp., Expires 11/16/2026, Strike Price $11.50 | 29,262 | 2,045 | ||||||
OmniLit Acquisition Corp., Expires 11/08/2026, Strike Price $11.50 | 31,515 | 1,724 | ||||||
Onyx Acquisition Co. I, Expires 11/30/2028, Strike Price $11.50 | 24,790 | 1,016 | ||||||
Oxus Acquisition Corp., Expires 08/26/2026, Strike Price $11.50 | 20,287 | 2,029 | ||||||
Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50 | 76,584 | 5,648 | ||||||
Patria Latin American Opportunity Acquisition Corp., Expires 03/10/2027, Strike Price $11.50 | 46,145 | 3,715 | ||||||
Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50 | 18,484 | 1,386 | ||||||
PepperLime Health Acquisition Corp., Expires 10/01/2026, Strike Price $11.50 | 11,876 | 358 | ||||||
Perception Capital Corp. II, Expires 12/31/2028, Strike Price $11.50 | 58,258 | 5,832 | ||||||
Phoenix Biotech Acquisition Corp., Expires 09/01/2026, Strike Price $11.50 | 21,939 | 1,659 | ||||||
Platinum Capital, Ltd., Expires 03/28/2024, Strike Price $1.37 | 42,880 | 461 | ||||||
Pono Capital Three, Inc., Expires 04/03/2028, Strike Price $11.50 | 11,690 | 468 | ||||||
Pono Capital Two, Inc., Expires 09/23/2027, Strike Price $11.50 | 9,738 | 535 | ||||||
Power & Digital Infrastructure Acquisition II Corp., Expires 12/14/2024, Strike Price $11.50 | 87,961 | 6,166 | ||||||
PowerUp Acquisition Corp., Expires 02/18/2027, Strike Price $11.50 | 70,545 | 4,614 | ||||||
PROOF Acquisition Corp. I, Expires 12/03/2023, Strike Price $11.50 | 20,757 | 2,079 | ||||||
Prospector Capital Corp., Expires 01/01/2025, Strike Price $11.50 | 21,521 | 2,484 | ||||||
RCF Acquisition Corp., Expires 11/10/2026, Strike Price $11.50 | 31,463 | 4,417 | ||||||
Redwoods Acquisition Corp., Expires 03/15/2027, Strike Price $11.50 | 32,327 | 2,219 | ||||||
Relativity Acquisition Corp., Expires 02/11/2027, Strike Price $11.50 | 45,142 | 2,126 | ||||||
Revelstone Capital Acquisition Corp., Expires 05/24/2028, Strike Price $11.50 | 53 | 5 | ||||||
RF Acquisition Corp., Expires 05/01/2028, Strike Price $11.50 | 19,704 | 315 | ||||||
Rigel Resource Acquisition Corp., Expires 11/05/2026, Strike Price $11.50 | 31,854 | 4,460 | ||||||
Rose Hill Acquisition Corp., Expires 10/14/2026, Strike Price $11.50 | 41,528 | 885 | ||||||
Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50 | 28,225 | 1,976 | ||||||
Screaming Eagle Acquisition Corp., Expires 12/15/2027, Strike Price $11.50 | 22,674 | 3,934 | ||||||
Selina Hospitality PLC, Expires 12/31/2049, Strike Price $0.01(f) | 218,500 | 39,330 | ||||||
ShoulderUp Technology Acquisition Corp., Expires 11/17/2026, Strike Price $11.50 | 94,845 | 5,605 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
SHUAA Partners Acquisition Corp. I, Expires 03/02/2027, Strike Price $11.50 | 22,958 | $ | 1,403 | |||||
SILVERspac, Inc., Expires 02/15/2026, Strike Price $11.50 | 18,449 | 521 | ||||||
Sizzle Acquisition Corp., Expires 03/12/2026, Strike Price $11.50 | 43,590 | 6,926 | ||||||
SMX Security Matters PLC, Expires 03/07/2028, Strike Price $11.50 | 36,580 | 735 | ||||||
Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50 | 6,161 | 446 | ||||||
Spree Acquisition Corp. 1, Ltd., Expires 12/22/2028, Strike Price $11.50 | 20,337 | 661 | ||||||
Spring Valley Acquisition Corp. II, Expires 02/15/2026, Strike Price $11.50 | 13,573 | 1,629 | ||||||
SpringBig Holdings, Inc., Expires 12/31/2027, Strike Price $11.50 | 24,279 | 488 | ||||||
ST Energy Transition I, Ltd., Expires 12/02/2026, Strike Price $11.50 | 42,980 | 20,407 | ||||||
Swiftmerge Acquisition Corp., Expires 06/17/2028, Strike Price $11.50 | 132 | 12 | ||||||
Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50 | 18,073 | 859 | ||||||
Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50 | 52,993 | 1,977 | ||||||
TKB Critical Technologies 1, Expires 10/29/2028, Strike Price $11.50 | 48,884 | 3,368 | ||||||
TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50 | 68,311 | 6,271 | ||||||
Transition SA, Expires 06/16/2026, Strike Price $11.50 | 33,822 | 18,594 | ||||||
United Homes Group, Inc., Expires 01/28/2028, Strike Price $11.50 | 11,333 | 7,819 | ||||||
UTA Acquisition Corp., Expires 10/21/2023, Strike Price $11.50 | 44,060 | 1,344 | ||||||
Vahanna Tech Edge Acquisition I Corp., Expires 07/13/2024, Strike Price $11.50 | 55,430 | 3,636 | ||||||
Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50 | 60,778 | 3,896 | ||||||
VAM Investments Spac BV, Expires 07/27/2026, Strike Price $11.50 | 12,639 | 4,725 | ||||||
Verde Clean Fuels, Inc., Expires 12/31/2027, Strike Price $11.50 | 327 | 83 | ||||||
Vision Sensing Acquisition Corp., Expires 11/01/2026, Strike Price $11.50 | 49,182 | 1,195 | ||||||
Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50 | 29,980 | 899 | ||||||
Yotta Acquisition Corp., Expires 03/15/2027, Strike Price $11.50 | 47,369 | 573 | ||||||
Zapp Electric Vehicles Group, Ltd., Expires 03/03/2028, Strike Price $11.50 | 11,642 | 467 | ||||||
ZyVersa Therapeutics, Inc., Expires 12/20/2026, Strike Price $11.50 | 7,100 | 497 | ||||||
TOTAL WARRANTS | 756,309 | |||||||
(Cost $2,432,337) | ||||||||
RIGHTS - 0.05% | ||||||||
A SPAC I Acquisition Corp., Expires 12/31/2049 | 2 | 0 | ||||||
A SPAC II Acquisition Corp., Expires 12/31/2049 | 68,843 | 5,810 | ||||||
Accretion Acquisition Corp., Expires 12/31/2049 | 37,215 | 2,739 | ||||||
Agrinam Acquisition Corp., Expires 12/31/2049 | 19,798 | 792 | ||||||
AIB Acquisition Corp., Expires 12/31/2049 | 41,417 | 5,086 | ||||||
Alset Capital Acquisition Corp., Expires 12/31/2049 | 26,594 | 9,574 | ||||||
Arisz Acquisition Corp., Expires 11/16/2026 | 34,348 | 2,992 | ||||||
Aurora Technology Acquisition Corp., Expires 02/07/2028 | 63,578 | 8,774 | ||||||
Axios Sustainable Growth Acquisition Corp., Expires 12/31/2049 | 43,990 | 26 | ||||||
Bellevue Life Sciences Acquisi, Expires 12/31/2045 | 14,638 | 3,513 | ||||||
Bleuacacia, Ltd., Expires 12/31/2049 | 201,609 | 14,738 | ||||||
Blue World Acquisition Corp., Expires 12/31/2049 | 46,604 | 4,660 | ||||||
Broad Capital Acquisition Corp., Expires 12/31/2049 | 53,360 | 6,521 | ||||||
Clean Earth Acquisitions Corp., Expires 12/31/2049 | 99,120 | 15,849 | ||||||
ClimateRock, Expires 06/01/2027 | 23,557 | 2,296 | ||||||
CSLM Acquisition Corp., Expires 06/01/2027 | 76,977 | 7,809 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Deep Medicine Acquisition Corp., Expires 10/26/2023 | 15,116 | $ | 3,099 | |||||
Distoken Acquisition Corp., Expires 12/31/2049 | 5,841 | 1,489 | ||||||
Financial Strategies Acquisition Corp., Expires 03/31/2028 | 9,493 | 1,139 | ||||||
Fintech Ecosystem Development Corp., Expires 12/31/2028 | 54,704 | 6,017 | ||||||
Global Blockchain Acquisition Corp., Expires 12/31/2049 | 40,470 | 4,249 | ||||||
Globalink Investment, Inc., Expires 08/19/2023 | 4,837 | 652 | ||||||
Growth For Good Acquisition Corp., Expires 11/12/2026 | 75,556 | 12,157 | ||||||
Inception Growth Acquisition, Ltd., Expires 12/31/2049 | 7,394 | 1,553 | ||||||
Jaguar Global Growth Corp. I, Expires 12/31/2049 | 87,589 | 16,204 | ||||||
Kairous Acquisition Corp. ltd, Expires 11/24/2023 | 13,555 | 1,315 | ||||||
Keyarch Acquisition Corp., Expires 07/25/2028 | 16,489 | 2,305 | ||||||
Mars Acquisition Corp., Expires 12/31/2049 | 10,247 | 2,012 | ||||||
Metal Sky Star Acquisition Corp., Expires 12/31/2049 | 40,420 | 5,641 | ||||||
Mountain Crest Acquisition Corp. V, Expires 12/31/2049 | 8,917 | 1,409 | ||||||
NorthView Acquisition Corp., Expires 12/31/2049 | 38,482 | 5,388 | ||||||
Redwoods Acquisition Corp., Expires 12/31/2049 | 32,327 | 4,587 | ||||||
RF Acquisition Corp., Expires 12/31/2049 | 19,704 | 2,169 | ||||||
Sagaliam Acquisition Corp., Expires 12/31/2049 | 84,310 | 17,739 | ||||||
Spring Valley Acquisition Corp. II, Expires 09/10/2026 | 27,147 | 4,369 | ||||||
Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049 | 29,572 | 2,221 | ||||||
Yotta Acquisition Corp., Expires 12/31/2049 | 29,452 | 2,589 | ||||||
TOTAL RIGHTS | 189,482 | |||||||
(Cost $261,507) | ||||||||
OPTIONS - 0.18% | ||||||||
GEO Group, Inc., Expires 01/19/2024, Strike Price $6.00 | 1,680 | 58,800 | ||||||
SPX US 10/20/23 P4515, Expires 10/20/2023, Strike Price $4515.00 | 93 | 603,570 | ||||||
TOTAL PURCHASED OPTIONS | 662,370 | |||||||
(Cost $826,777) | ||||||||
SHORT TERM INVESTMENTS - 0.23% | ||||||||
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield 5.08% | 625,145 | 625,145 | ||||||
BNY Mellon U.S. Treasury Fund, 7 Day Yield 5.08% | 246,741 | 246,741 | ||||||
TOTAL SHORT TERM INVESTMENTS | 871,886 | |||||||
(Cost $871,886) | ||||||||
Total Investments - 89.07% | $ | 328,860,172 | ||||||
(Cost $319,157,764) | ||||||||
Other Assets in Excess of Liabilities - 10.93% | $ | 40,344,891 | ||||||
Net Assets - 100.00% | $ | 369,205,063 |
Amounts above are shown as a percentage of net assets as of July 31, 2023.
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
SCHEDULE OF SECURITIES SOLD SHORT
Principal Amount | Fair Value | |||||||
SOVEREIGN DEBT OBLIGATIONS - (48.30%) | ||||||||
Sovereign - (48.30%) | ||||||||
U.S. Treasury Bond, 3.500%, 02/15/2033 | $ | (50,838,000 | ) | $ | (48,947,462 | ) | ||
U.S. Treasury Bond, 3.375%, 05/15/2033 | (9,087,000 | ) | (8,658,207 | ) | ||||
U.S. Treasury Note, 3.500%, 04/30/2028 | (124,498,000 | ) | (120,714,431 | ) | ||||
(178,320,100 | ) | |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | (178,320,100 | ) | ||||||
(Proceeds $183,110,801) |
Shares | Fair Value | |||||||
COMMON STOCK - (7.29%) | ||||||||
Electric-Integrated - (0.08%) | ||||||||
AES Corp. | (1,507 | ) | (32,596 | ) | ||||
Ameren Corp. | (169 | ) | (14,478 | ) | ||||
American Electric Power Co., Inc. | (298 | ) | (25,253 | ) | ||||
DTE Energy Co. | (649 | ) | (74,181 | ) | ||||
Duke Energy Corp. | (608 | ) | (56,921 | ) | ||||
NextEra Energy, Inc. | (918 | ) | (67,289 | ) | ||||
Xcel Energy, Inc. | (429 | ) | (26,911 | ) | ||||
(297,629 | ) | |||||||
Logic, Processors & Application Specific - (0.05%) | ||||||||
Advanced Micro Devices, Inc. | (84 | ) | (9,610 | ) | ||||
NVIDIA Corp. | (244 | ) | (114,019 | ) | ||||
QUALCOMM, Inc. | (468 | ) | (61,855 | ) | ||||
(185,484 | ) | |||||||
Military Aircraft Manufacturing - (0.01%) | ||||||||
AeroVironment, Inc. | (312 | ) | (29,721 | ) | ||||
E-Commerce/Services - (0.35%) | ||||||||
Airbnb, Inc. | (567 | ) | (86,292 | ) | ||||
Delivery Hero SE(b) | (5,530 | ) | (250,902 | ) | ||||
DoorDash, Inc. | (2,486 | ) | (225,704 | ) | ||||
Uber Technologies, Inc. | (1,375 | ) | (68,007 | ) |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Upwork, Inc. | (19,049 | ) | $ | (198,681 | ) | |||
Zillow Group, Inc. | (8,516 | ) | (461,227 | ) | ||||
(1,290,813 | ) | |||||||
Electronic Shopping - (0.07%) | ||||||||
Alibaba Group Holding, Ltd. | (37 | ) | (3,780 | ) | ||||
Amazon.com, Inc. | (618 | ) | (82,614 | ) | ||||
JD.com, Inc. | (3,742 | ) | (154,582 | ) | ||||
(240,976 | ) | |||||||
Development Stage Biotechnology - (0.26%) | ||||||||
Alnylam Pharmaceuticals, Inc. | (5,010 | ) | (978,954 | ) | ||||
Internet Advertising Portals - (0.01%) | ||||||||
Alphabet, Inc. | (256 | ) | (33,976 | ) | ||||
Analog Integrated Circuits - (0.16%) | ||||||||
Analog Devices, Inc. | (313 | ) | (62,453 | ) | ||||
Infineon Technologies AG | (3,491 | ) | (153,209 | ) | ||||
Melexis NV | (2,272 | ) | (244,561 | ) | ||||
Monolithic Power Systems, Inc. | (120 | ) | (67,139 | ) | ||||
ON Semiconductor Corp. | (464 | ) | (49,996 | ) | ||||
(577,358 | ) | |||||||
Oil & Liquids Rich Gas Pipelines - (0.14%) | ||||||||
Antero Midstream Corp. | (22,615 | ) | (270,023 | ) | ||||
Genesis Energy LP | (1,072 | ) | (10,495 | ) | ||||
Western Midstream Partners LP | (8,228 | ) | (232,606 | ) | ||||
(513,124 | ) | |||||||
Enterprise Software/Services - (0.02%) | ||||||||
Appian Corp. | (264 | ) | (13,601 | ) | ||||
Pegasystems, Inc. | (933 | ) | (49,216 | ) | ||||
(62,817 | ) | |||||||
Mobile Phones - (0.01%) | ||||||||
Apple, Inc. | (97 | ) | (19,056 | ) | ||||
Oilfield Services & Equipment Manufacturing - (0.01%) | ||||||||
Archrock, Inc. | (2,988 | ) | (34,840 | ) | ||||
Data Networking Equipment - (0.02%) | ||||||||
Arista Networks, Inc. | (402 | ) | (62,346 | ) | ||||
Firearms & Ammunition - (0.09%) | ||||||||
Axon Enterprise, Inc. | (1,884 | ) | (350,292 | ) |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Enterprise Software - (0.13%) | ||||||||
BlackLine, Inc. | (815 | ) | $ | (47,335 | ) | |||
Descartes Systems Group, Inc. | (313 | ) | (24,413 | ) | ||||
HubSpot, Inc. | (16 | ) | (9,289 | ) | ||||
Salesforce, Inc. | (239 | ) | (53,778 | ) | ||||
SPS Commerce, Inc. | (318 | ) | (57,364 | ) | ||||
Varonis Systems, Inc. | (1,416 | ) | (40,639 | ) | ||||
Workday, Inc. | (985 | ) | (233,573 | ) | ||||
(466,391 | ) | |||||||
Electricity Networks - (0.03%) | ||||||||
CenterPoint Energy, Inc. | (1,383 | ) | (41,615 | ) | ||||
Eversource Energy | (194 | ) | (14,032 | ) | ||||
PPL Corp. | (2,068 | ) | (56,932 | ) | ||||
(112,579 | ) | |||||||
Other Specialty Retail - Online - (0.04%) | ||||||||
Chegg, Inc. | (14,927 | ) | (151,210 | ) | ||||
Crude Oil & Natural Gas Exploration & Production - (0.10%) | ||||||||
Chesapeake Energy Corp. | (817 | ) | (68,906 | ) | ||||
ConocoPhillips | (489 | ) | (57,565 | ) | ||||
EQT Corp. | (1,158 | ) | (48,844 | ) | ||||
Marathon Oil Corp. | (1,727 | ) | (45,368 | ) | ||||
Occidental Petroleum Corp. | (508 | ) | (32,070 | ) | ||||
Pioneer Natural Resources Co. | (583 | ) | (131,566 | ) | ||||
(384,319 | ) | |||||||
Outpatient Health Services - (0.01%) | ||||||||
Civitas Resources, Inc. | (386 | ) | (28,896 | ) | ||||
Computer Software - (0.11%) | ||||||||
Cloudflare, Inc. | (4,206 | ) | (289,246 | ) | ||||
Datadog, Inc. | (1,033 | ) | (120,572 | ) | ||||
(409,818 | ) | |||||||
Electric-Generation - 0.00%(e) | ||||||||
Constellation Energy Corp. | (15 | ) | (1,450 | ) | ||||
Non-Financial Information Services - (0.05%) | ||||||||
CoStar Group, Inc. | (2,236 | ) | (187,757 | ) | ||||
Computer Data Security - (0.02%) | ||||||||
Crowdstrike Holdings, Inc. | (473 | ) | (76,465 | ) | ||||
Pipelines - (1.69%) | ||||||||
DT Midstream, Inc. | (8,833 | ) | (472,742 | ) | ||||
Enbridge, Inc. | (9,217 | ) | (339,071 | ) |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Energy Transfer LP | (67,115 | ) | $ | (891,958 | ) | |||
EnLink Midstream LLC | (15,453 | ) | (179,255 | ) | ||||
Enterprise Products Partners LP | (43,801 | ) | (1,161,164 | ) | ||||
MPLX LP | (17,554 | ) | (623,343 | ) | ||||
Pembina Pipeline Corp. | (3,934 | ) | (124,555 | ) | ||||
Plains All American Pipeline LP | (23,149 | ) | (344,457 | ) | ||||
Plains GP Holdings LP | (34,856 | ) | (546,891 | ) | ||||
Williams Cos., Inc. | (45,217 | ) | (1,557,726 | ) | ||||
(6,241,162 | ) | |||||||
Farm Machinery & Equipment Manufacturing - (0.03%) | ||||||||
Deere & Co. | (261 | ) | (112,126 | ) | ||||
Oil Companies - Exploration & Production - (0.02%) | ||||||||
Denbury, Inc. | (706 | ) | (62,064 | ) | ||||
Medical-Biomedical/Gene - (0.14%) | ||||||||
Denali Therapeutics, Inc. | (556 | ) | (15,807 | ) | ||||
Genmab A/S | (376 | ) | (154,619 | ) | ||||
Moderna, Inc. | (835 | ) | (98,246 | ) | ||||
Recursion Pharmaceuticals, Inc. | (16,329 | ) | (230,565 | ) | ||||
(499,237 | ) | |||||||
Medication Monitor & Delivery Equipment Manufacturing - (0.03%) | ||||||||
Dexcom, Inc. | (908 | ) | (113,100 | ) | ||||
Educational Software - (0.06%) | ||||||||
Duolingo, Inc. | (1,314 | ) | (203,920 | ) | ||||
Medical Information Systems - (0.04%) | ||||||||
Doximity, Inc. | (4,288 | ) | (153,210 | ) | ||||
Energy-Alternate Sources - 0.00%(e) | ||||||||
Enviva, Inc. | (1,138 | ) | (15,329 | ) | ||||
In Vitro Diagnostics Manufacturing - (0.18%) | ||||||||
Exact Sciences Corp. | (6,763 | ) | (659,663 | ) | ||||
Oil Comp-Integrated - (0.01%) | ||||||||
Exxon Mobil Corp. | (248 | ) | (26,595 | ) | ||||
Internet Content-Entertainment - (0.14%) | ||||||||
Meta Platforms, Inc. | (562 | ) | (179,053 | ) | ||||
Netflix, Inc. | (85 | ) | (37,313 | ) | ||||
Pinterest, Inc. | (2,480 | ) | (71,895 | ) |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Spotify Technology SA | (1,488 | ) | $ | (222,322 | ) | |||
(510,583 | ) | |||||||
Power Generation Equipment Manufacturing - 0.00%(e) | ||||||||
Generac Holdings, Inc. | (109 | ) | (16,753 | ) | ||||
Health Care REIT - (0.04%) | ||||||||
HashiCorp, Inc. | (5,297 | ) | (156,844 | ) | ||||
Analytical Lab Equipment Manufacturing - (0.01%) | ||||||||
Illumina, Inc. | (121 | ) | (23,250 | ) | ||||
Information Technology (IT) Services - Commercial - (0.04%) | ||||||||
Infosys, Ltd. | (8,959 | ) | (149,257 | ) | ||||
Front End Capital Equipment - (0.21%) | ||||||||
ASML Holding NV | (970 | ) | (695,584 | ) | ||||
KLA Corp. | (151 | ) | (77,607 | ) | ||||
(773,191 | ) | |||||||
Diversified Manufacturing Operations - (0.09%) | ||||||||
Aalberts NV | (5,551 | ) | (250,420 | ) | ||||
Fabrinet | (51 | ) | (6,306 | ) | ||||
Trelleborg AB | (2,535 | ) | (67,503 | ) | ||||
(324,229 | ) | |||||||
Dry Natural Gas Pipelines - (0.19%) | ||||||||
Kinder Morgan, Inc. | (9,040 | ) | (160,098 | ) | ||||
TC Energy Corp. | (14,786 | ) | (529,926 | ) | ||||
(690,024 | ) | |||||||
Medical-Drugs - (0.25%) | ||||||||
Bayer AG | (2,132 | ) | (124,568 | ) | ||||
Merck & Co., Inc. | (2,789 | ) | (297,447 | ) | ||||
Novo Nordisk A/S | (3,053 | ) | (492,001 | ) | ||||
(914,016 | ) | |||||||
Fluid Power Pump & Motor Manufacturing - (0.02%) | ||||||||
Interpump Group SpA | (1,239 | ) | (67,406 | ) | ||||
BDCs (Business Development Companies) - (0.05%) | ||||||||
Main Street Capital Corp. | (4,043 | ) | (170,898 | ) | ||||
Financial Information Services - (0.09%) | ||||||||
MarketAxess Holdings, Inc. | (1,305 | ) | (351,332 | ) |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Investment Management/Advisory Services - 0.00%(e) | ||||||||
Van Lanschot Kempen NV | (8 | ) | $ | (262 | ) | |||
Credit & Debit - (0.03%) | ||||||||
Mastercard, Inc. | (152 | ) | (59,931 | ) | ||||
Visa, Inc. | (236 | ) | (56,104 | ) | ||||
(116,035 | ) | |||||||
Engineering/R&D Services - 0.00%(e) | ||||||||
Arcadis NV | (127 | ) | (5,571 | ) | ||||
Electronic Auctions - (0.21%) | ||||||||
MercadoLibre, Inc. | (639 | ) | (791,114 | ) | ||||
Theaters - (0.01%) | ||||||||
CTS Eventim AG & Co. KGaA | (378 | ) | (25,789 | ) | ||||
Applications Software - 0.00%(e) | ||||||||
Microsoft Corp. | (55 | ) | (18,476 | ) | ||||
Database Software - (0.01%) | ||||||||
MongoDB, Inc. | (83 | ) | (35,142 | ) | ||||
Auto-Cars/Light Trucks - (0.18%) | ||||||||
Ferrari NV | (1,087 | ) | (348,264 | ) | ||||
NIO, Inc. | (18,935 | ) | (289,705 | ) | ||||
Rivian Automotive, Inc. | (911 | ) | (25,180 | ) | ||||
(663,149 | ) | |||||||
Internet Media & Services - (0.03%) | ||||||||
Naspers, Ltd. | (3,083 | ) | (120,669 | ) | ||||
Video Game Software - (0.07%) | ||||||||
NetEase, Inc. | (2,396 | ) | (260,541 | ) | ||||
Renewable Energy Generation - (0.03%) | ||||||||
Atlantica Sustainable Infrastructure PLC | (81 | ) | (1,954 | ) | ||||
NextEra Energy Partners LP | (1,951 | ) | (106,232 | ) | ||||
(108,186 | ) | |||||||
Commercial Non-Profitable Specialty Pharmaceuticals - (0.04%) | ||||||||
Pacira BioSciences, Inc. | (4,237 | ) | (154,015 | ) | ||||
Security - 0.00%(e) | ||||||||
Palo Alto Networks, Inc. | (43 | ) | (10,748 | ) |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Finance-Other Services - (0.10%) | ||||||||
BFF Bank SpA(b) | (12,822 | ) | $ | (144,644 | ) | |||
Deutsche Boerse AG | (1,083 | ) | (207,252 | ) | ||||
(351,896 | ) | |||||||
E-Commerce/Products - (0.09%) | ||||||||
PDD Holdings, Inc. | (3,852 | ) | (345,987 | ) | ||||
Commercial Services - (0.14%) | ||||||||
Progyny, Inc. | (4,555 | ) | (190,217 | ) | ||||
RELX PLC | (9,362 | ) | (314,262 | ) | ||||
(504,479 | ) | |||||||
Entertainment Software - (0.06%) | ||||||||
ROBLOX Corp. | (5,900 | ) | (231,575 | ) | ||||
Alcoholic Beverages Manufacturing - (0.10%) | ||||||||
Heineken Holding NV | (2,528 | ) | (207,216 | ) | ||||
Heineken NV | (1,749 | ) | (171,419 | ) | ||||
(378,635 | ) | |||||||
Other Infrastructure Software - 0.00%(e) | ||||||||
ServiceNow, Inc. | (9 | ) | (5,247 | ) | ||||
Medical Products - (0.11%) | ||||||||
Novocure, Ltd. | (8,253 | ) | (269,378 | ) | ||||
Shockwave Medical, Inc. | (591 | ) | (154,015 | ) | ||||
(423,393 | ) | |||||||
Internet Application Software - (0.10%) | ||||||||
Shopify, Inc. | (5,268 | ) | (354,576 | ) | ||||
(354,576 | ) | |||||||
Skiing Facilities - (0.09%) | ||||||||
Snowflake, Inc. | (1,913 | ) | (339,959 | ) | ||||
Ophthalmic Goods Manufacturing - (0.11%) | ||||||||
STAAR Surgical Co. | (7,346 | ) | (402,340 | ) | ||||
Servers - (0.10%) | ||||||||
Super Micro Computer, Inc. | (1,124 | ) | (371,223 | ) | ||||
Foundry Services - (0.12%) | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | (4,546 | ) | (450,736 | ) | ||||
Diagnostic Equipment - (0.06%) | ||||||||
10X Genomics, Inc. | (3,367 | ) | (212,054 | ) |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Passenger Vehicles Manufacturing - (0.03%) | ||||||||
Tesla, Inc. | (428 | ) | $ | (114,460 | ) | |||
Industrial Supplies Distributors - (0.01%) | ||||||||
Watsco, Inc. | (110 | ) | (41,601 | ) | ||||
Home & Office Products - Online - (0.07%) | ||||||||
Wayfair, Inc. | (3,110 | ) | (242,176 | ) | ||||
Oil Refining & Marketing - (0.02%) | ||||||||
Neste Oyj | (2,333 | ) | (85,830 | ) | ||||
Wire & Cable Manufacturing - (0.02%) | ||||||||
Prysmian SpA | (1,992 | ) | (79,395 | ) | ||||
Electrical Equipment - (0.02%) | ||||||||
TKH Group NV | (1,725 | ) | (90,015 | ) | ||||
Web Hosting/Design - 0.00%(e) | ||||||||
CentralNic Group PLC | (9 | ) | (15 | ) | ||||
Retail-Jewelry - (0.03%) | ||||||||
Cie Financiere Richemont SA | (776 | ) | (124,847 | ) | ||||
Brake Systems Manufacturing - (0.02%) | ||||||||
Brembo SpA | (5,840 | ) | (82,640 | ) | ||||
Back End Capital Equipment - (0.04%) | ||||||||
BE Semiconductor Industries NV | (1,112 | ) | (132,841 | ) | ||||
Recreational Vehicles - 0.00%(e) | ||||||||
Sanlorenzo SpA/Ameglia | (8 | ) | (310 | ) | ||||
Retail-Apparel/Shoe - (0.02%) | ||||||||
Zalando SE(b) | (2,334 | ) | (80,580 | ) | ||||
Rubber/Plastic Products - (0.01%) | ||||||||
Hexpol AB | (4,048 | ) | (43,955 | ) | ||||
Food-Retail - (0.02%) | ||||||||
HelloFresh SE | (2,395 | ) | (68,335 | ) | ||||
Building-Maintenance & Service - (0.01%) | ||||||||
Bravida Holding AB(b) | (3,360 | ) | (27,004 | ) |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Shares | Fair Value | |||||||
Commercial Services Finance - (0.04%) | ||||||||
Adyen NV(b) | (75 | ) | $ | (139,346 | ) | |||
Commercial Banks Non-US - (0.04%) | ||||||||
Credicorp, Ltd. | (961 | ) | (150,925 | ) | ||||
TOTAL COMMON STOCK | (26,916,532 | ) | ||||||
(Proceeds $25,832,858) |
Shares | Fair Value | |||||||
EXCHANGE TRADED FUNDS - (2.64%) | ||||||||
ProShares Bitcoin Strategy ETF | (630,000 | ) | (9,752,400 | ) | ||||
TOTAL EXCHANGE TRADED FUNDS | (9,752,400 | ) | ||||||
(Proceeds $10,897,865) |
Shares | Fair Value | |||||||
PREFERRED STOCK - (0.01%) | ||||||||
Chemicals-Specialty - (0.01%) | ||||||||
FUCHS SE | (1,103 | ) | (45,600 | ) | ||||
TOTAL PREFERRED STOCK | (45,600 | ) | ||||||
(Proceeds $46,964) | ||||||||
Total Securities Sold Short - (58.24%) | $ | (215,034,632 | ) | |||||
(Proceeds $219,888,488) |
(a) | 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, 2023, the current coupon rate for these notes is 0%. |
(b) | 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 $19,279,253, which represented approximately 5.22% of net assets as of July 31, 2023. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
(c) | Security is in default as of year end and is therefore non-income producing. |
(d) | Represents a payment-in-kind (“PIK”) security which may pay interest/dividend in additional par/shares. |
(e) | Amount represents less than 0.005% of net assets. |
(f) | 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. |
(g) | 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, 2023, the aggregate market value of those securities was $11,334,333, which represents approximately 3.07% of net assets. |
(h) | Non-income producing security. |
(i) | A portion or all of the security is owned by BRW SPV I, a wholly-owned subsidiary of the Fund. |
Investment Abbreviations: |
LIBOR - London Interbank Offered Rate |
SONIA - Sterling Over Night Index Average |
SOFR - Secured Overnight Financing Rate |
ESTRON - Euro Short-Term Rate |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
Reference Rates: |
3M US L - 3 Month LIBOR as of July 31, 2023 was 5.63% |
1M SOFR - 1 Month SOFR as of July 31, 2023 was 5.32% |
3M SOFR - 3 Month SOFR as of July 31, 2023 was 5.37% |
PRIME - US Prime Rate as of July 31, 2023 was 8.50% |
Counterparty Abbreviations: |
JPM - JPMorgan Chase Bank, N.A.
GSI - Goldman Sachs International
MSCS - Morgan Stanley Capital Services
BARC - Barclays Bank PLC
FUTURES CONTRACTS | ||||||||||||||
Expiration | Value | Unrealized | ||||||||||||
Description | Position | Contracts | Date | (Note 2) | Depreciation | |||||||||
CBOE VIX FUTURE Aug23 | Long | 546 | 08/16/2023 | $ | 8,115,416 | $ | (1,241,584 | ) | ||||||
CBOE VIX FUTURE Nov23 | Long | 43 | 11/15/2023 | 764,940 | (12,867 | ) | ||||||||
CBOE VIX FUTURE Oct23 | Long | 10 | 10/18/2023 | 172,769 | (6,467 | ) | ||||||||
Total Futures Contracts | $ | 9,053,125 | $ | (1,260,918 | ) | |||||||||
Expiration | Value | Unrealized | ||||||||||||
Description | Position | Contracts | Date | (Note 2) | Depreciation | |||||||||
NASDAQ 100 E-MINI Sep23 | Short | (40) | 09/15/2023 | $ | (12,686,000) | $ | (699,124) | |||||||
S&P 500 Emini Future | Short | (382) | 09/15/2023 | (88,136,950 | ) | (3,778,404 | ) | |||||||
Total Futures Contracts | $ | (100,822,950 | ) | $ | (4,477,528 | ) | ||||||||
Net Unrealized Depreciation | $ | (5,738,446 | ) |
FORWARD FOREIGN CURRENCY CONTRACTS | ||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | Value | Fund Delivering | Cost | Unrealized Appreciation/ (Depreciation) | ||||||||||||
J.P. Morgan Chase & Co. | 08/07/23 | GBP | 3,850,159 | USD | 3,811,803 | $ | 38,356 | |||||||||||
J.P. Morgan Chase & Co. | 08/08/23 | USD | 846,590 | AUD | 839,799 | 6,791 | ||||||||||||
J.P. Morgan Chase & Co. | 08/07/23 | USD | 9,099,081 | GBP | 8,983,705 | 115,376 | ||||||||||||
$ | 160,523 | |||||||||||||||||
J.P. Morgan Chase & Co. | 08/08/23 | AUD | 1,007,759 | USD | 1,012,337 | $ | (4,578 | ) | ||||||||||
J.P. Morgan Chase & Co. | 08/07/23 | EUR | 1,099,764 | USD | 1,112,216 | (12,452 | ) | |||||||||||
J.P. Morgan Chase & Co. | 08/07/23 | GBP | 3,721,821 | USD | 3,723,435 | (1,614 | ) | |||||||||||
J.P. Morgan Chase & Co. | 08/08/23 | USD | 29,137,827 | AUD | 29,426,557 | (288,730 | ) | |||||||||||
J.P. Morgan Chase & Co. | 08/07/23 | USD | 7,317,337 | EUR | 7,368,421 | (51,084 | ) | |||||||||||
J.P. Morgan Chase & Co. | 08/07/23 | USD | 17,134,505 | GBP | 17,325,716 | (191,211 | ) | |||||||||||
$ | (549,669 | ) | ||||||||||||||||
$ | (389,146 | ) |
TO-BE-ANNOUNCED (TBA) MORTGAGE-BACKED SECURITIES (MBS) FORWARD CONTRACTS
Notional | Net Unrealized | |||||||||||
Counterparty | Description | Maturity Date | Amount | Appreciation | ||||||||
Morgan Stanley | FNMA TBA 5.5 8/23 | August 15, 2023 | $ | 260,493,435 | $ | 2,475,468 | ||||||
Morgan Stanley | FNMA TBA 6 8/23 | August 15, 2023 | 105,720,837 | 550,839 | ||||||||
TOTAL | $ | 366,214,272 | $ | 3,026,307 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
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) | ||||||||||||||||||
Buy | RR Donnelley & Sons | (5.00 | )% | USD | 6/20/28 | 2,434,000 | $ | (106,852 | ) | $ | 153,219 | $ | 46,367 | |||||||||||||
Buy | RR Donnelley & Sons | (5.00 | )% | USD | 12/20/26 | 8,244,000 | (382,103 | ) | 689,317 | 307,214 | ||||||||||||||||
$ | (488,955 | ) | $ | 842,536 | $ | 353,581 |
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 40 | (5.00 | )% | USD | 6/20/28 | 130,750,000 | $ | (5,275,403 | ) | $ | 3,981,438 | $ | (1,293,965 | ) | ||||||||||||
Buy | Markit iTraxx Europe Subordinated Financials Series 39 | (1.00 | )% | EUR | 6/20/28 | 45,000,000 | 869,022 | (2,626,045 | ) | (1,757,023 | ) | |||||||||||||||
$ | (4,406,381 | ) | $ | 1,355,393 | $ | (3,050,988 | ) |
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 | GSI | AT&T, Inc. | 1.00 | % | USD | 6/20/24 | 15,847,000 | $ | 65,119 | $ | 61,802 | $ | 3,317 | |||||||||||||||
Sell | BARC | AT&T, Inc. CDS USD SR 2Y 06/25 | 1.00 | % | USD | 6/20/25 | 2,249,000 | 11,398 | 11,224 | 174 | ||||||||||||||||||
Sell | GSI | British American Tobacco PLC | 1.00 | % | EUR | 12/20/25 | 2,381,000 | 30,513 | 10,976 | 19,537 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (OVER THE COUNTER) (continued)
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 | GSI | Britol-Myers Squibb | 1.00 | % | USD | 12/20/27 | 10,000,000 | $ | 295,786 | $ | 268,823 | $ | 26,963 | |||||||||||||||
Sell | MSCS | Britol-Myers Squibb | 1.00 | % | USD | 12/20/27 | 10,000,000 | 295,786 | 257,109 | 38,677 | ||||||||||||||||||
Sell | MSCS | Britol-Myers Squibb | 1.00 | % | USD | 6/20/28 | 18,119,000 | 565,294 | 532,715 | 32,579 | ||||||||||||||||||
Sell | JPM | Danone SA | 1.00 | % | EUR | 12/20/27 | 10,000,000 | 282,882 | 231,382 | 51,500 | ||||||||||||||||||
Sell | GSI | Danone SA | 1.00 | % | EUR | 12/20/27 | 5,739,000 | 162,346 | 107,323 | 55,023 | ||||||||||||||||||
Sell | MSCS | Danone SA | 1.00 | % | EUR | 12/20/27 | 1,264,000 | 35,756 | 28,008 | 7,748 | ||||||||||||||||||
Sell | GSI | Home Depot | 1.00 | % | USD | 12/20/27 | 7,604,000 | 231,115 | 199,799 | 31,316 | ||||||||||||||||||
Sell | BARC | IBM Corp. | 1.00 | % | USD | 12/20/27 | 20,642,000 | 240,969 | 202,764 | 38,205 | ||||||||||||||||||
Sell | GSI | International Business Machines | 1.00 | % | USD | 12/20/27 | 5,750,000 | 497,408 | 395,100 | 102,308 | ||||||||||||||||||
Sell | GSI | International Business Machines | 1.00 | % | USD | 6/20/27 | 5,750,000 | 133,743 | 111,480 | 22,263 | ||||||||||||||||||
Sell | BARC | NextEra Energy Capital Holdings, Inc. | 1.00 | % | USD | 6/20/28 | 5,393,000 | 64,244 | 28,380 | 35,864 | ||||||||||||||||||
Sell | GSI | Pfizer, Inc. | 1.00 | % | USD | 12/20/27 | 29,774,000 | 846,781 | 755,898 | 90,883 | ||||||||||||||||||
Sell | MSCS | Pfizer, Inc. | 1.00 | % | USD | 12/20/27 | 7,325,000 | 208,325 | 178,314 | 30,011 | ||||||||||||||||||
Sell | GSI | Proctor & Gamble | 1.00 | % | USD | 12/20/27 | 22,172,000 | 657,377 | 561,400 | 95,977 | ||||||||||||||||||
Buy | BARC | RR Donnelley & Sons | (5.00 | )% | USD | 12/20/27 | 1,628,000 | (73,892 | ) | (222,928 | ) | 149,036 | ||||||||||||||||
Sell | MSCS | Sherwin-Williams Co. | 1.00 | % | USD | 12/20/27 | 2,039,000 | 32,244 | 4,376 | 27,868 | ||||||||||||||||||
Sell | MSCS | Southern Co. | 1.00 | % | USD | 6/20/26 | 847,000 | 15,133 | 14,141 | 992 | ||||||||||||||||||
Sell | MSCS | Target Corp | 1.00 | % | USD | 12/20/27 | 6,078,000 | 153,814 | 127,883 | 25,931 | ||||||||||||||||||
Sell | JPM | Target Corp | 1.00 | % | USD | 12/20/27 | 5,000,000 | 126,533 | 95,150 | 31,383 | ||||||||||||||||||
Sell | GSI | Target Corp | 1.00 | % | USD | 12/20/27 | 10,000,000 | 253,066 | 194,677 | 58,389 | ||||||||||||||||||
Sell | BARC | Unilever PLC | 1.00 | % | EUR | 12/20/27 | 5,747,000 | 193,691 | 152,846 | 40,845 | ||||||||||||||||||
Buy | BARC | Unisys Corp. CDS USD 5Y 6/28 | (5.00 | )% | USD | 6/20/28 | 286,000 | 32,427 | 38,292 | (5,865 | ) | |||||||||||||||||
Sell | MSCS | UnitedHealth Group, Inc. | 1.00 | % | USD | 12/20/27 | 19,068,000 | 495,213 | 419,378 | 75,835 | ||||||||||||||||||
Sell | MSCS | Verizon CDS USD 4Y 12/27 | 1.00 | % | USD | 12/20/27 | 7,000,000 | 22,873 | (4,885 | ) | 27,758 | |||||||||||||||||
Sell | MSCS | Verizon Wireless | 1.00 | % | USD | 6/20/28 | 3,181,000 | 4,332 | 2,900 | 1,432 | ||||||||||||||||||
$ | 5,880,276 | $ | (4,764,327 | ) | $ | 1,115,949 |
(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. |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
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) | ||||||||||||||
JPM | 4imprint Group PLC | GBP | $ | (388,894 | ) | 4/29/24 | SONIA | (40) bps | $ | (388,456 | ) | $ | 438 | |||||||||
JPM | Aberdeen Diversified Income and Growth Trust PLC | GBP | 102,533 | 10/2/23 | SONIA | 40 bps | 105,729 | 3,196 | ||||||||||||||
JPM | Aberdeen New India Investment | GBP | 615,769 | 12/18/23 | SONIA | 40 bps | 622,367 | 6,598 | ||||||||||||||
JPM | Aberforth Smaller Companies Trust PLC | GBP | 2,580,870 | 10/2/23 | SONIA | 40 bps | 2,560,769 | (20,101 | ) | |||||||||||||
JPM | Abrdn UK Smaller Cos Growth Trust PLC | GBP | 2,249,154 | 5/28/24 | SONIA | 40 bps | 2,246,533 | (2,621 | ) | |||||||||||||
JPM | Alpha Financial Markets Consulting PLC | GBP | (5,744 | ) | 5/28/24 | SONIA | (40) bps | (5,486 | ) | 258 | ||||||||||||
JPM | Alten SA | EUR | (48,391 | ) | 5/28/24 | ESTRON | (40) bps | (43,931 | ) | 4,460 | ||||||||||||
JPM | Auction Technology Group PLC | GBP | (3,363 | ) | 8/27/24 | SONIA | (40) bps | (3,312 | ) | 51 | ||||||||||||
JPM | Baillie Gifford European Growth Trust PLC | GBP | 508,186 | 10/2/23 | SONIA | 40 bps | 509,761 | 1,575 | ||||||||||||||
JPM | Baillie Gifford UK Growth Trust PLC | GBP | 4,557,037 | 10/5/23 | SONIA | 40 bps | 4,562,305 | 5,268 | ||||||||||||||
JPM | Baillie Gifford US Growth Trus | GBP | 7,952,605 | 12/18/23 | SONIA | 40 bps | 8,020,659 | 68,054 | ||||||||||||||
JPM | Baker Steel Resources Trust, Ltd. TRS | GBP | 184,161 | 6/3/24 | SONIA | 40 bps | 181,915 | (2,246 | ) | |||||||||||||
JPM | Balfour Beatty PLC | GBP | (72,543 | ) | 5/28/24 | SONIA | (40) bps | (71,359 | ) | 1,184 | ||||||||||||
JPM | Barings Emerging Ord | GBP | 240,628 | 6/10/24 | SONIA | 40 bps | 247,847 | 7,219 | ||||||||||||||
JPM | Bellway PLC | GBP | (4,772 | ) | 8/27/24 | SONIA | (40) bps | (4,721 | ) | 51 | ||||||||||||
JPM | Big Technologies plc | GBP | (2,122 | ) | 8/27/24 | SONIA | (40) bps | (2,015 | ) | 107 | ||||||||||||
JPM | BioMerieux NPV | EUR | (181,008 | ) | 4/29/24 | ESTRON | (80) bps | (179,244 | ) | 1,764 | ||||||||||||
JPM | BlackRock Smaller Cos Trust PLC | GBP | 2,739,408 | 12/18/23 | SONIA | 40 bps | 2,722,550 | (16,858 | ) | |||||||||||||
JPM | Bloomsbury Pub | GBP | (34 | ) | 4/30/24 | SONIA | (40) bps | (33 | ) | 1 | ||||||||||||
JPM | Brown Advisory US Smaller Companies PLC | GBP | 179,023 | 5/28/24 | SONIA | 40 bps | 177,902 | (1,121 | ) | |||||||||||||
JPM | Bytes Technology Group PLC | GBP | (75,312 | ) | 5/28/24 | SONIA | (40) bps | (75,532 | ) | (220 | ) | |||||||||||
JPM | Card Factory PLC | GBP | (637 | ) | 8/27/24 | SONIA | (40) bps | (620 | ) | 17 | ||||||||||||
JPM | Central Asia Metals PLC | GBP | (2,675 | ) | 8/27/24 | SONIA | (40) bps | (2,696 | ) | (21 | ) | |||||||||||
JPM | Chemring Group PLC | GBP | (198,203 | ) | 4/30/24 | SONIA | (40) bps | (193,427 | ) | 4,776 | ||||||||||||
JPM | Clarkson PLC | GBP | (23,591 | ) | 5/28/24 | SONIA | (40) bps | (23,095 | ) | 496 | ||||||||||||
JPM | Computacenter PLC | GBP | (65,287 | ) | 5/24/24 | SONIA | (40) bps | (63,381 | ) | 1,906 | ||||||||||||
JPM | Conduit Holdings Ltd | GBP | (14,921 | ) | 8/27/24 | SONIA | (40) bps | (14,754 | ) | 167 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
TOTAL RETURN SWAP CONTRACTS(a) (continued)
Counterparty | Reference Obligations | Currency | Notional Amount(b) | Termination Date | Financing Rate Index | Financing Rate Spread Paid/(Received) by Fund | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
JPM | CQS Natural Resources Growth and Income PLC | GBP | $ | 413,504 | 6/17/24 | SONIA | 40 bps | $ | 420,473 | $ | 6,969 | |||||||||||
JPM | Crest Nicholson Holdings plc | GBP | (54,274 | ) | 8/27/24 | SONIA | (40) bps | (52,741 | ) | 1,533 | ||||||||||||
JPM | CVS Group PLC | GBP | (61,056 | ) | 5/28/24 | SONIA | (40) bps | (60,997 | ) | 59 | ||||||||||||
JPM | Dassault Systemes SE | EUR | (199,107 | ) | 4/29/24 | ESTRON | (40) bps | (199,235 | ) | (128 | ) | |||||||||||
JPM | Diploma PLC | GBP | (389,010 | ) | 4/29/24 | SONIA | (40) bps | (392,403 | ) | (3,393 | ) | |||||||||||
JPM | DiscoverIE Group PLC | GBP | (5,380 | ) | 4/30/24 | SONIA | (40) bps | (5,294 | ) | 86 | ||||||||||||
JPM | Dunelm Group PLC | GBP | (281,048 | ) | 4/29/24 | SONIA | (40) bps | (283,762 | ) | (2,714 | ) | |||||||||||
JPM | Edenred | EUR | (177,220 | ) | 4/29/24 | ESTRON | (40) bps | (180,520 | ) | (3,300 | ) | |||||||||||
JPM | Edinburgh Worldwide Investment Trust PLC | GBP | 16,697,442 | 10/2/23 | SONIA | 40 bps | 16,653,959 | (43,483 | ) | |||||||||||||
JPM | Elis SA | EUR | (75,603 | ) | 5/28/24 | ESTRON | (40) bps | (76,048 | ) | (445 | ) | |||||||||||
JPM | Ergomed PLC | GBP | (37,650 | ) | 5/28/24 | SONIA | (40) bps | (36,836 | ) | 814 | ||||||||||||
JPM | Esker SA | EUR | (4,984 | ) | 8/26/24 | ESTRON | (40) bps | (4,984 | ) | – | ||||||||||||
JPM | European Opportunities Trust PLC | GBP | 6,959,264 | 5/7/24 | SONIA | 40 bps | 6,908,093 | (51,171 | ) | |||||||||||||
JPM | European Smaller Companies Trust PLC | GBP | 5,018,889 | 10/2/23 | SONIA | 40 bps | 4,972,561 | (46,328 | ) | |||||||||||||
JPM | Experian PLC | GBP | (111,408 | ) | 4/29/24 | SONIA | (40) bps | (109,515 | ) | 1,893 | ||||||||||||
JPM | Fidelity Emerging Markets, Ltd. | GBP | 9,060,679 | 4/30/24 | SONIA | 40 bps | 9,074,201 | 13,522 | ||||||||||||||
JPM | Future PLC | GBP | (50,946 | ) | 4/30/24 | SONIA | (40) bps | (53,331 | ) | (2,385 | ) | |||||||||||
JPM | Games Workshop Group PLC | GBP | (139,822 | ) | 4/29/24 | SONIA | (40) bps | (139,344 | ) | 478 | ||||||||||||
JPM | Gamma Communications PLC | GBP | (3,368 | ) | 4/30/24 | SONIA | (40) bps | (3,356 | ) | 12 | ||||||||||||
JPM | Genus PLC | GBP | (223,554 | ) | 4/29/24 | SONIA | (40) bps | (221,751 | ) | 1,803 | ||||||||||||
JPM | Grafton Group PLC | GBP | (131,249 | ) | 4/30/24 | SONIA | (75) bps | (129,562 | ) | 1,687 | ||||||||||||
JPM | Grifols SA | EUR | (173,697 | ) | 5/28/24 | ESTRON | (40) bps | (175,671 | ) | (1,974 | ) | |||||||||||
JPM | Henderson EuroTrust PLC | GBP | 1,307,717 | 4/30/24 | SONIA | 40 bps | 1,326,739 | 19,022 | ||||||||||||||
JPM | Henderson Opportunities Trust PLC | GBP | 208,563 | 6/3/24 | SONIA | 40 bps | 209,841 | 1,278 | ||||||||||||||
JPM | Henderson Smaller Companies Investment Trust PLC | GBP | 271,341 | 12/18/23 | SONIA | 40 bps | 268,157 | (3,184 | ) | |||||||||||||
JPM | Herald Investment Trust PLC | GBP | 4,643,580 | 10/2/23 | SONIA | 40 bps | 4,659,059 | 15,479 | ||||||||||||||
JPM | Hollywood Bowl Group PLC | GBP | (240 | ) | 5/28/24 | SONIA | (100) bps | (231 | ) | 9 | ||||||||||||
JPM | Hunting PLC | GBP | (12,322 | ) | 5/28/24 | SONIA | (40) bps | (12,732 | ) | (410 | ) | |||||||||||
JPM | IMI PLC | GBP | (113,916 | ) | 5/24/24 | SONIA | (40) bps | (112,808 | ) | 1,108 | ||||||||||||
JPM | Impax Asset Management Group PLC | GBP | (5,112 | ) | 4/30/24 | SONIA | (40) bps | (4,967 | ) | 145 | ||||||||||||
JPM | Inchcape PLC | GBP | (119,450 | ) | 4/29/24 | SONIA | (40) bps | (115,431 | ) | 4,019 | ||||||||||||
JPM | Intermediate Capital Group PLC | GBP | (215,273 | ) | 4/29/24 | SONIA | (40) bps | (211,288 | ) | 3,985 | ||||||||||||
JPM | Invesco Select Trust PLC TRS | GBP | 30,897 | 6/3/24 | SONIA | 40 bps | 30,800 | (97 | ) | |||||||||||||
JPM | Ipsos | EUR | (50,441 | ) | 5/28/24 | ESTRON | (40) bps | (51,483 | ) | (1,042 | ) |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
TOTAL RETURN SWAP CONTRACTS(a) (continued)
Counterparty | Reference Obligations | Currency | Notional Amount(b) | Termination Date | Financing Rate Index | Financing Rate Spread Paid/(Received) by Fund | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
JPM | JPMorgan European Discovery Trust PLC | GBP | $ | 34,619,484 | 10/2/23 | SONIA | 40 bps | $ | 34,619,484 | $ | – | |||||||||||
JPM | JPMorgan Mid Cap Investment Trust PLC | GBP | 2,828,850 | 10/2/23 | SONIA | 40 bps | 2,792,505 | (36,345 | ) | |||||||||||||
JPM | JPMorgan UK Smaller Companies Investment Trust PLC | GBP | 279,669 | 12/18/23 | SONIA | 40 bps | 281,703 | 2,034 | ||||||||||||||
JPM | Kainos Group PLC | GBP | (18,871 | ) | 8/27/24 | SONIA | (40) bps | (19,031 | ) | (160 | ) | |||||||||||
JPM | Kering SA | EUR | (216,851 | ) | 4/30/24 | ESTRON | (40) bps | (211,282 | ) | 5,569 | ||||||||||||
JPM | Keystone Positive Change Investment Trust PLC | GBP | 2,844,082 | 4/30/24 | SONIA | 40 bps | 2,831,271 | (12,811 | ) | |||||||||||||
JPM | Lookers PLC | GBP | (65,245 | ) | 8/27/24 | SONIA | (40) bps | (66,304 | ) | (1,059 | ) | |||||||||||
JPM | Magellan Global Fund NPV | AUD | 2,243,478 | 7/15/24 | RBACOR | 45 bps | 2,277,063 | 33,585 | ||||||||||||||
JPM | Man Group PLC | GBP | (154,872 | ) | 4/29/24 | SONIA | (40) bps | (157,443 | ) | (2,571 | ) | |||||||||||
JPM | Mercantile Investment Trust PLC | GBP | 9,955,652 | 10/2/23 | SONIA | 40 bps | 9,906,609 | (49,043 | ) | |||||||||||||
JPM | MFF Capital Investments, Ltd. | AUD | 691,381 | 7/15/24 | RBACOR | 45 bps | 706,091 | 14,710 | ||||||||||||||
JPM | Middlefield Canadian Income PLC | GBP | 1,741 | 5/3/24 | SONIA | 40 bps | 1,733 | (8 | ) | |||||||||||||
JPM | Morgan Advanced Materials PLC | GBP | (1,165 | ) | 5/28/24 | SONIA | (40) bps | (1,156 | ) | 9 | ||||||||||||
JPM | Morgan Sindall Group PLC | GBP | (13,383 | ) | 5/28/24 | SONIA | (40) bps | (13,149 | ) | 234 | ||||||||||||
JPM | NB Global Corporate NPV | AUD | 411,080 | 7/15/24 | RBACOR | 45 bps | 409,653 | (1,427 | ) | |||||||||||||
JPM | Next Fifteen Communications Group PLC | GBP | (183 | ) | 4/29/24 | SONIA | (40) bps | (179 | ) | 4 | ||||||||||||
JPM | Ocado Group PLC | GBP | (326,315 | ) | 5/28/24 | SONIA | (40) bps | (321,451 | ) | 4,864 | ||||||||||||
JPM | Oxford Instruments PLC | GBP | (381,260 | ) | 4/29/24 | SONIA | (40) bps | (368,219 | ) | 13,041 | ||||||||||||
JPM | Oxford Nanopore Technologies PLC | GBP | (229,229 | ) | 5/28/24 | SONIA | (40) bps | (228,882 | ) | 347 | ||||||||||||
JPM | Pagegroup PLC | GBP | (411 | ) | 8/27/24 | SONIA | (40) bps | (406 | ) | 5 | ||||||||||||
JPM | Pengana Intrnational Equities NPV | AUD | 205,769 | 7/15/24 | RBACOR | 45 bps | 206,739 | 970 | ||||||||||||||
JPM | Polar Capital Technology Trust PLC | GBP | 5,465,015 | 4/30/24 | SONIA | 40 bps | 5,536,766 | 71,751 | ||||||||||||||
JPM | Polestar Automotive Holding UK PLC | USD | 2,941,340 | 12/26/23 | OBFR | (700) bps | 3,122,560 | 181,220 | ||||||||||||||
JPM | QinetiQ Group PLC | GBP | (234,792 | ) | 4/29/24 | SONIA | (40) bps | (219,922 | ) | 14,870 | ||||||||||||
JPM | Reach PLC | GBP | (88 | ) | 8/27/24 | SONIA | (40) bps | (88 | ) | – | ||||||||||||
JPM | Redrow PLC | GBP | (4,578 | ) | 8/27/24 | SONIA | (40) bps | (4,525 | ) | 53 | ||||||||||||
JPM | River & Mercantile UK Micro Cap Investment Company Ltd. | GBP | 860,175 | 12/18/23 | SONIA | 40 bps | 863,182 | 3,007 | ||||||||||||||
JPM | Samsung Electronics Co., Ltd. | USD | (85,287 | ) | 5/24/24 | OBFR | (40) bps | (83,021 | ) | 2,266 | ||||||||||||
JPM | Schiehallion Fund, Ltd. | USD | 46,720 | 5/7/24 | OBFR | 40 bps | 47,934 | 1,214 |
Saba Capital Income & Opportunities Fund |
Consolidated Schedule of Investments |
July 31, 2023
TOTAL RETURN SWAP CONTRACTS(a) (continued)
Counterparty | Reference Obligations | Currency | Notional Amount(b) | Termination Date | Financing Rate Index | Financing Rate Spread Paid/(Received) by Fund | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
JPM | Schroder UK Mid Cap Fund PLC | GBP | $ | 329,296 | 3/15/24 | SONIA | 40 bps | $ | 331,656 | $ | 2,360 | |||||||||||
JPM | Schroders Capital Global Innovation Trust | GBP | 11,754 | 4/30/24 | SONIA | 40 bps | 12,103 | 349 | ||||||||||||||
JPM | Scottish Mortgage Investment Trust PLC | GBP | 13,225,358 | 4/30/24 | SONIA | 40 bps | 13,648,273 | 422,915 | ||||||||||||||
JPM | SEB SA | EUR | (3,371 | ) | 8/26/24 | ESTRON | (40) bps | (3,473 | ) | (102 | ) | |||||||||||
JPM | Senior PLC | GBP | (1,637 | ) | 8/27/24 | SONIA | (40) bps | (1,595 | ) | 42 | ||||||||||||
JPM | Soitec | EUR | (133,107 | ) | 5/24/24 | ESTRON | (40) bps | (132,811 | ) | 296 | ||||||||||||
JPM | Spie SA | EUR | (70,893 | ) | 5/28/24 | ESTRON | (40) bps | (69,467 | ) | 1,426 | ||||||||||||
JPM | SSP Group Plc | GBP | (155 | ) | 8/27/24 | SONIA | (40) bps | (152 | ) | 3 | ||||||||||||
JPM | Telecom Plus PLC | GBP | (52,450 | ) | 4/29/24 | SONIA | (40) bps | (52,576 | ) | (126 | ) | |||||||||||
JPM | Templeton EM Investment Trust PLC TRS | GBP | 3,096,470 | 6/19/24 | SONIA | 40 bps | 3,153,964 | 57,494 | ||||||||||||||
JPM | Verallia SA | EUR | (69,641 | ) | 5/28/24 | ESTRON | (70) bps | (72,971 | ) | (3,330 | ) | |||||||||||
JPM | Vesuvius PLC | GBP | (25,846 | ) | 4/30/24 | SONIA | (40) bps | (25,151 | ) | 695 | ||||||||||||
JPM | VGI Partners Global Investment NPV | AUD | 534,404 | 7/15/24 | RBACOR | 45 bps | 543,835 | 9,431 | ||||||||||||||
JPM | WAM Global, Ltd NPV | AUD | 353,331 | 7/15/24 | RBACOR | 45 bps | 356,001 | 2,670 | ||||||||||||||
JPM | Watches of Switzerland Group PLC | GBP | (166,684 | ) | 4/29/24 | SONIA | (40) bps | (172,050 | ) | (5,366 | ) | |||||||||||
JPM | WH Smith PLC | GBP | (10,037 | ) | 8/27/24 | SONIA | (40) bps | (9,944 | ) | 93 | ||||||||||||
JPM | Wise PLC | GBP | (22,206 | ) | 5/28/24 | SONIA | (40) bps | (22,502 | ) | (296 | ) | |||||||||||
JPM | Workspace Group PLC | GBP | (125 | ) | 8/27/24 | SONIA | (40) bps | (121 | ) | 4 | ||||||||||||
$ | 142,167,122 | $ | 713,132 |
All Reference Obligations shown above for Total Return Swap Contracts are closed end funds.
(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 USD equivalent. |
Investments in Securities at fair value | Level 1 - Quoted Prices | Level 2 – Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Corporate Bonds | $ | – | $ | 45,472,541 | $ | – | $ | 45,472,541 | ||||||||
Senior Loans | – | 25,304,274 | – | 25,304,274 | ||||||||||||
Common Stock | 13,222,668 | 3,764,529 | 6,271,120 | 23,258,317 | ||||||||||||
Collateralized Mortgage Obligations | – | 1,539,167 | – | 1,539,167 | ||||||||||||
Convertible Corporate Bond | – | 3,758,657 | – | 3,758,657 | ||||||||||||
Closed End Funds | 115,171,648 | – | – | 115,171,648 | ||||||||||||
Special Purpose Acquisition Companies | 36,530,860 | – | 267,043 | 36,797,903 | ||||||||||||
Preferred Stock | – | – | 2,141,510 | 2,141,510 | ||||||||||||
Sovereign Debt Obligations | – | 11,334,332 | – | 11,334,332 | ||||||||||||
Participation Agreement | – | – | 2,320,000 | 2,320,000 | ||||||||||||
Private Fund | – | – | – | 33,604,679 | * | |||||||||||
Options | 662,370 | – | – | 662,370 | ||||||||||||
Secured Second Lien | – | 592,404 | – | 592,404 | ||||||||||||
Unit Trust | 25,084,693 | – | – | 25,084,693 | ||||||||||||
Warrants | 647,192 | 35,080 | 74,037 | 756,309 | ||||||||||||
Rights | 188,317 | 1,165 | – | 189,482 | ||||||||||||
Short Term Investments | 871,886 | – | – | 871,886 | ||||||||||||
Total | $ | 192,379,634 | $ | 91,802,149 | $ | 11,073,710 | $ | 328,860,172 | ||||||||
Securities sold short, at fair value | Level 1 - Quoted Prices | Level 2 – Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Common Stock | $ | (26,916,532 | ) | $ | – | $ | – | $ | (26,916,532 | ) | ||||||
Exchange Traded Funds | (9,752,400 | ) | – | – | (9,752,400 | ) | ||||||||||
Sovereign Debt Obligations** | (178,320,100 | ) | – | – | (178,320,100 | ) | ||||||||||
Preferred Stock | (45,600 | ) | – | – | (45,600 | ) | ||||||||||
Total | $ | (215,034,632 | ) | $ | – | $ | – | $ | (215,034,632 | ) | ||||||
Derivative contracts, at fair value | Level 1 - Quoted Prices | Level 2 – Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets | ||||||||||||||||
Total Return Swaps | $ | – | $ | 1,029,018 | $ | – | $ | 1,029,018 | ||||||||
Over the Counter Credit Default Swaps | – | 5,954,168 | – | 5,954,168 | ||||||||||||
Centrally Cleared Credit Default Swaps | – | 869,022 | – | 869,022 | ||||||||||||
Forward Foreign Currency Contracts | – | 160,523 | – | 160,523 | ||||||||||||
TBA MBS forward contracts | – | 3,026,307 | – | 3,026,307 | ||||||||||||
Total Assets | $ | – | $ | 11,039,038 | $ | – | $ | 11,039,038 | ||||||||
Liabilities | ||||||||||||||||
Over the Counter Credit Default Swaps | $ | – | $ | (73,892 | ) | $ | – | $ | (73,892 | ) | ||||||
Centrally Cleared Credit Default Swaps | – | (5,764,358 | ) | – | (5,764,358 | ) | ||||||||||
Total Return Swaps | – | (315,886 | ) | – | (315,886 | ) | ||||||||||
Futures Contracts | (5,738,446 | ) | – | – | (5,738,446 | ) | ||||||||||
Forward foreign currency contracts | – | (549,669 | ) | – | (549,669 | ) | ||||||||||
Total Liabilities | $ | (5,738,446 | ) | $ | (6,703,805 | ) | $ | – | $ | (12,442,251 | ) |
* | In accordance with ASC 820-10, investments that are measured at fair value using the NAV per share (or its equivalent) 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. |
1 Year Saba Capital Income & Op... Chart |
1 Month Saba Capital Income & Op... Chart |
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