NPORT-EX 2 fp0087740-1_nportex.htm

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

		Principal Amount				Fair Value
CORPORATE BONDS - 12.46%
Communications - 3.89%
AMC Entertainment Holdings Inc, 7.50%, 02/15/2029		$	6,890,000			$	4,444,050
Charter Communications Operating Capital, 3.500%, 03/01/2042			5,000,000				3,453,290
CommScope Inc, 8.25%, 03/01/2027			2,958,000				1,405,050
Diamond Sports Group LLC / Diamond Sports Finance Co., 5.375%, 08/15/2026(a)			2,000,000				145,000
DISH Network Corp, 11.75%, 11/15/2027			2,000,000				2,082,500
Level 3 Financing Inc, 10.50%, 05/15/2030			2,000,000				1,990,000
							13,519,890
Consumer Discretionary - 1.91%
Adtalem Global Education, Inc., 5.500%, 03/01/2028(a)			4,195,000				3,990,494
RR Donnelley & Sons Co., 8.250%, 07/01/2027(a)			935,000				926,557
RR Donnelley & Sons Co., 9.750%, 07/31/2028(a)			1,730,000				1,734,325
							6,651,376
Consumer Staples - 3.14%
Altria Group, Inc., 4.250%, 08/09/2042			10,614,000				8,708,129
BAT Capital Corp., 3.7340%, 09/25/2040			3,000,000				2,224,334
							10,932,463
Energy - 0.95%
Transocean Inc., 7.450%, 04/15/2027			3,573,000				3,322,890
Financials - 1.52%
Credit Suisse AG, 0.000% (Variable Rate), 07/31/2030(h)			10,000				8,052
Credit Suisse AG, 0.000% (Variable Rate), 10/30/2030(h)			420,000				273,147
Morgan Stanley, 0.000% (Variable Rate), 04/30/2030(h)			25,000				16,988
Morgan Stanley, 0.000% (Variable Rate), 07/31/2030(h)			80,000				51,958
Morgan Stanley, 0.000% (Variable Rate), 10/30/2030(h)			80,000				53,857
Morgan Stanley, 0.000% (Variable Rate), 09/26/2033(h)			428,000				254,783
Morgan Stanley, 0.000% (Variable Rate), 10/31/2033(h)			266,000				158,599
Morgan Stanley, 0.000% (Variable Rate), 02/28/2034(h)			478,000				286,114
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(h)			302,000				179,398
Morgan Stanley, 0.000% (Variable Rate), 04/30/2034(h)			66,000				39,140
Morgan Stanley, 0.000% (Variable Rate), 05/30/2034(h)			89,000				54,341
Morgan Stanley, 0.000% (Variable Rate), 06/30/2034(h)			460,000				268,319
Morgan Stanley, 0.000% (Variable Rate), 07/31/2034(h)			25,000				14,536
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(h)			171,000				102,684
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(h)			319,000				191,138
Morgan Stanley, 0.000% (Variable Rate), 10/08/2034(h)			32,000				19,098
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(h)			641,000				376,965
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(h)			256,000				153,927
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(h)			244,000				142,944
Morgan Stanley, 0.000% (Variable Rate), 02/27/2035(h)			36,000				20,850
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(h)			641,000				375,763
Morgan Stanley, 0.000% (Variable Rate), 02/29/2036(h)			61,000				34,764
Morgan Stanley, 0.000% (Variable Rate), 04/28/2036(h)			10,000				6,085
Morgan Stanley, 0.000% (Variable Rate), 06/30/2036(h)			40,000				24,197
Morgan Stanley, 0.000% (Variable Rate), 08/31/2036(h)			2,289,000				1,423,282
Morgan Stanley, 0.000% (Variable Rate), 09/30/2036(h)			40,000				24,323
Morgan Stanley, 0.000% (Variable Rate), 11/29/2036(h)			103,000				61,795
Morgan Stanley, 0.000% (Variable Rate), 01/31/2037(h)			224,000				133,552
Morgan Stanley, 0.000% (Variable Rate), 03/31/2037(h)			747,000				453,239
Morgan Stanley, 0.000% (Variable Rate), 04/28/2037(h)			40,000				23,654

Annual Report | January 31, 2024 19

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

		Principal Amount				Fair Value
Morgan Stanley, 0.000% (Variable Rate), 05/31/2037(h)		$	25,000			$	16,065
Morgan Stanley, 0.000% (Variable Rate), 08/31/2037(h)			58,000				34,715
							5,278,272
Leisure Facilities & Services - 0.03%
Selina Hospitality PLC, 6.000%, 11/01/2026(a)			7,539,000				117,608
Materials - 0.25%
Cleveland-Cliffs Steel Corp., 7.000%, 03/15/2027			880,000				875,600
Real Estate - 0.60%
China Evergrande Group, 8.250%, 03/23/2022(b)(e)			13,307,000				149,704
China Evergrande Group, 9.500%, 04/11/2022(b)(e)			2,253,000				25,346
China Evergrande Group, 11.500%, 01/22/2023(b)(e)			6,500,000				73,125
China Evergrande Group, 10.000%, 04/11/2023(b)(e)			7,018,000				78,953
China Evergrande Group, 7.500%, 06/28/2023(b)(e)			15,065,000				169,481
China Evergrande Group, 12.000%, 01/22/2024(b)(e)			5,701,000				64,136
China Evergrande Group, 9.500%, 03/29/2024(b)(e)			10,811,000				121,624
China Evergrande Group, 10.500%, 04/11/2024(b)(e)			17,000,000				191,250
China Evergrande Group, 8.750%, 06/28/2025(b)(e)			108,930,000				1,225,463
							2,099,082
Technology - 0.16%
RRD Parent Inc., 10.000%, 10/15/2031(a)			192,992				334,353
UNISYS Corp, 6.875%, 11/01/2027(a)			249,000				226,590
							560,943
TOTAL CORPORATE BONDS							43,358,124
(Cost $69,636,207)

		Principal Amount				Fair Value
SENIOR LOANS - 18.74%
Commercial Services - 0.07%
Travel Port Finance (Luxembourg) S.A R.L, TL, First Lien Term Loan, TSFR3M + 7.5%, 05/29/2026			396,348				254,653
							254,653
Consumer Discretionary - 12.07%
NPC International, Inc., Second Lien Term Loan, 3M US L + 7.5%, 04/18/2025(i)			605,000				-
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, TSFR3M + 5.000%, 12/29/2025(b)			292,740				131,733
R.R. Donnelley & Sons Company, First Lien Term B Loan, TSR1M + 7.250%, 03/17/2028(a)			9,435,629				9,487,242
Chinos Intermediate 2 LLC, Term Loan, TSFR3M + 10% + 8%, 09/10/2027			4,981,514				5,062,464
The GEO Group, Inc., Term Loan, TSFR1M + 7.125%, 3/23/2027			9,819,405				10,052,616
Wok Holdings Inc., First Lien Term Loan, TSFR3M + 6.5%, 03/01/2026			7,142,971				7,097,042
Peloton Interactive, First Lien Term Loan, TSFR1M + 7.100%, 05/25/2027			3,969,874				4,016,202
ClubCorp Holdings Inc, Term Loan, 1M SOFR + 5%, 09/18/2026			6,201,000				6,135,889
							41,983,188

20

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

		Principal Amount				Fair Value
Consumer Staples - 0.42%
Moran Foods LLC, First Lien Term Loan, TSFR3M + 7.250%, 06/30/2026		$	927,417			$	833,132
Moran Foods 1st Lien A&R 2023 FLFO PIK Term Loan, TSFR3M +7.250%, 06/30/2026(i)			475,001				-
Moran Foods 1st Lien A&R 2023 FLSO PIK Term Loan, TSFR3M + 7.250%, 12/31/2026			871,493				634,011
							1,467,143
Consumer, Non-cyclical - 1.99%(d)
Revlon Intermediate Holdings IV LLC, Term Loan, 1M SOFR + 6.875%, 05/02/2028			6,889,000				6,923,445
Energy - 0.00%(d)
GMP Borrower LLC, First Lien Term Loan, TSFR3M + 4.500%, 10/28/2027			15,052				14,036
Industrials - 2.38%
American Airlines Group Inc, Term Loan, 1M SOFR + 3.5%, 05/29/2029			5,000,000				5,000,525
Multi-Color Corp, Term Loan, 1M SOFR + 5%, 10/29/2028			3,445,000				3,279,399
							8,279,924
Information Technology - 1.79%(d)
Diebold Nixdorf Inc, Term Loan, 1M SOFR + 7.55%, 08/11/2028			6,000,000				6,212,490
Materials - 0.03%
CPC Acquisition Corp., Second Lien Term Loan, TSFR3M + 7.750%, 12/29/2028			175,000				88,025
TOTAL SENIOR LOANS							65,222,904
(Cost $65,875,195)

		Principal Amount				Fair Value
SOVEREIGN DEBT OBLIGATIONS - 2.62%
Sovereign - 2.62%
Ukraine Government International Bond, 7.750%, 09/01/2025(b)(e)			5,592,000				1,579,740
Ukraine Government International Bond, 7.750%, 09/01/2026(b)(e)			402,000				103,515
Ukraine Government International Bond, 7.750%, 09/01/2027(b)(e)			2,820,000				726,150
Ukraine Government International Bond, 6.750%, 06/20/2028(b)(e)			805,000				213,038
Ukraine Government International Bond, 7.750%, 09/01/2028(b)(e)			3,462,000				891,465
Ukraine Government International Bond, 7.750%, 09/01/2029(b)(e)			11,534,000				2,970,004
Ukraine Government International Bond, 9.750%, 11/01/2030(b)(e)			4,146,000				1,119,420
Ukraine Government International Bond, 6.876%, 05/21/2031(b)(e)			1,464,000				325,740
Ukraine Government International Bond, 7.375%, 09/25/2034(b)(e)			2,011,000				477,613
Ukraine Government International Bond, 7.253%, 03/15/2035(b)(e)			2,239,000				531,763
Ukraine Government International Bond, 0.000%, 08/01/2041(b)(e)			364,000				168,350
TOTAL SOVEREIGN DEBT OBLIGATIONS							9,106,798
(Cost $10,578,207)

		Principal Amount				Fair Value
MORTGAGE-BACKED SECURITIES - 1.10%
Federal National Mortgage Association (FNMA) - 1.10%
FNMA, 3.000%, 06/25/2052			6,059,485				937,335
FNMA, 3.000%, 07/25/2052			7,292,892				936,136

Annual Report | January 31, 2024 21

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

		Principal Amount				Fair Value
FNMA, 3.000%, 10/25/2052		$	2,425,279			$	403,237
FNMA, 3.000%, 10/25/2052			8,779,641				1,564,448
TOTAL MORTGAGE-BACKED SECURITIES							3,841,156
(Cost $3,654,932)

		Shares				Fair Value
COMMON STOCK - 4.74%
Communication Services - 1.28%
Hwh International Inc			2,660				3,139
Weibo Corp			547,913				4,438,095
							4,441,234
Consumer Discretionary - 0.11%
24 Hour Fitness Worldwide(f)			306,005				2,448
Arbe Robotics, Ltd.(f)			68,769				133,412
e.GO Mobile SE			5,900				1,982
Everyware Global(i)			43,777				-
Polestar Automotive Holding UK PLC			116,698				253,235
							391,077
Consumer Staples - 0.01%
Benson Hill, Inc.(f)			136,711				23,542
Moran Foods LLC(i)			3,699,885				-
							23,542
Energy - 0.06%
Drilling Tools International Corp(f)			4,519				13,489
Granite Ridge Resources Inc			33,264				182,287
							195,776
Health Care - 0.20%
Compass Pathways PLC(f)			61,188				689,589
							689,589
Industrials - 0.83%
Harvey Gulf Intl. Marine			24,044				661,210
The GEO Group, Inc.(f)			200,119				2,225,323
							2,886,533
Information Technology - 0.08%
Compass Pathways PLC(f)			121,159				281,089
							281,089
Materials - 0.68%
Covia Holdings			169,353				2,370,942
							2,370,942
Real Estate - 0.63%
Star Holdings(f)			188,549				2,185,283
							2,185,283
Technology - 0.70%
Bitcoin Depot Inc.(f)			6,924				15,094
IQOR(f)			4,941				4,531
Pagseguro Digital, Ltd.(f)			177,852				2,288,956
							2,308,581

22

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

		Shares				Fair Value
Utilities - 0.20%
Alternus Clean Energy Inc			9,912			$	10,209
Longview Power LLC			61,813				695,396
TOTAL COMMON STOCK							16,479,251
(Cost $15,877,573)

		Shares				Fair Value
CLOSED END FUNDS - 28.07%
Alternative - 3.26%
Blackrock ESG Capital Allocation Trust			410,267				6,728,379
Destra Multi-Alternative Fund(f)			56,768				416,109
VGI Partners Global Investments, Ltd.			3,653,052				4,206,017
							11,350,505
Equity - 13.54%
ASA Gold and Precious Metals Ltd			163,658				2,384,497
abrdn Emerging Markets Equity Income Fund, Inc.			1,818				8,745
Aberdeen Global Dynamic Dividend Fund			634				5,839
Aberdeen Japan Equity Fund, Inc.			46,838				278,218
abrdn Standard Global Infrastructure Income Fund			9,471				164,322
Adams Diversified Equity Fund, Inc.			42,645				774,433
BlackRock Health Services Term Trust			19,805				305,195
BlackRock Science & Technology Trust II			9,706				164,905
BlackRock Innovation & Growth Trust			330,506				2,505,235
ClearBridge MLP & Midstream Fund, Inc.			83,316				3,423,454
ClearBridge Energy Midstream Opportunity Fund, Inc.			136,303				4,891,915
ClearBridge Energy MLP Total Return Fund Inc.			69,138				2,583,687
GAMCO Natural Resources Gold & Income Trust			17,606				87,150
Japan Smaller Capitalization Fund, Inc.			7,794				59,079
Kayne Anderson Energy Infrastructure Fund, Inc.			17,515				151,505
Korea Fund, Inc.			26,272				567,212
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund(f)			64				481
MainStay CBRE Global Infrastructure Megatrends Term Fund			74,080				957,854
Miller/Howard High Dividend Fund			293,928				3,100,940
Neuberger Berman MLP & Energy Income Fund, Inc.			162,550				1,087,460
Neuberger Berman Next Generation Connectivity Fund, Inc.			165,408				1,862,494
Platinum Capital, Ltd.			505,958				429,855
Nuveen Real Asset Income and Growth Fund			25				293
Principal Real Estate Income Fund			51,780				511,069
Taiwan Fund, Inc.			3,223				116,544
Tekla Healthcare Investors(f)			22,254				381,211
Tekla Life Sciences Investors(f)			37,835				519,096
Tortoise Energy Infrastructure Fund, Inc.			13,232				383,331
Tortoise Midstream Energy Fund, Inc.			50,952				1,772,111
Tortoise Pipeline & Energy Fund, Inc.			7,027				202,237
Tortoise Energy Independence Fund, Inc.			16,435				474,421
Voya Emerging Markets High Dividend Equity Fund			55,342				278,924
Voya Infrastructure Industrials and Materials Fund			27,597				274,866
MFF Capital Investments, Ltd.			3,139,201				6,878,658
WCM Global Growth, Ltd.			392,373				355,235

Annual Report | January 31, 2024 23

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

		Shares				Fair Value
WAM Global Ltd			3,577,961			$	4,741,602
Hearts and Minds Investments, Ltd.			836,372				1,443,090
Pengana International Equities, Ltd.			4,054,812				2,979,386
							47,106,549
Fixed Income - 7.02%
AllianceBernstein National Municipal Income Fund			396				4,293
BNY Mellon Municipal Income, Inc.			6,580				42,967
BlackRock Virginia Municipal Bond Trust			105				1,132
BlackRock California Municipal Income Trust			173,997				2,053,165
BlackRock New York Municipal Income Trust			2,297				24,210
BlackRock MuniHoldings Fund, Inc.			2,264				26,964
BlackRock MuniVest Fund Inc			5				35
BlackRock MuniVest Fund II Inc			146				1,567
BlackRock MuniHoldings Quality Fund II			310				3,063
BlackRock MuniHoldings California Quality Fund, Inc.			8,425				93,855
BlackRock MuniYield Michigan Quality Fund, Inc.			3,741				42,535
BlackRock MuniHoldings New Jersey Quality Fund, Inc.			3,842				44,414
BlackRock MuniHoldings New York Quality Fund, Inc.			1,803				19,130
BlackRock MuniYield New York Quality Fund, Inc.			401				4,102
BlackRock MuniYield Pennsylvania Quality Fund, Inc.			4,708				55,696
BNY Mellon High Yield Strategies Fund			3,413				7,986
BNY Mellon Strategic Municipal Bond Fund, Inc.			200				1,138
Brookfield Real Assets Income Fund, Inc.			1,657				21,574
DWS Municipal Income Trust			4,456				40,104
DWS Strategic Municipal Income Trust			228				2,027
Eaton Vance California Municipal Income Trust			14,728				158,031
Eaton Vance New York Municipal Bond Fund			144,910				1,418,669
Eaton Vance California Municipal Bond Fund			59,833				559,439
Ellsworth Growth and Income Fund, Ltd.			85,672				677,666
Federated Hermes Premier Municipal Income Fund			15,998				176,618
Invesco Trust for Investment Grade New York Municipals			17,462				184,399
Invesco Municipal Opportunity Trust			20				191
Invesco California Value Municipal Income Trust			311				3,023
Invesco Pennsylvania Value Municipal Income Trust			11,626				117,655
MFS Investment Grade Municipal Trust			16,613				124,764
MFS High Income Municipal Trust			2,068				7,403
MFS High Yield Municipal Trust			17,755				58,592
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.			415,578				1,911,659
Neuberger Berman Municipal Fund, Inc.			1,548				15,844
New America High Income Fund, Inc.			27,003				197,932
Nuveen Massachusetts Quality Municipal Income Fund			788				8,400
Nuveen Arizona Quality Municipal Income Fund			1				11
Nuveen AMT-Free Quality Municipal Income Fund			1,548				17,074
Nuveen New York Quality Municipal Income Fund			1,060				11,660
Nuveen California Quality Municipal Income Fund			39,251				433,331
Nuveen New Jersey Quality Municipal Income Fund			92,993				1,111,266
Nuveen Municipal Credit Income Fund			193				2,295

24

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

		Shares				Fair Value
Nuveen Core Plus Impact Fund			196,587			$	2,052,368
Nuveen Variable Rate Preferred and Income Fund			20				345
Nuveen Pennsylvania Quality Municipal Income Fund			71,523				836,819
PIMCO Energy & Tactical Credit Opportunities Fund			254,162				4,910,410
Pioneer Municipal High Income Opportunities Fund, Inc.			22,790				244,081
Pioneer Municipal High Income Advantage Fund, Inc.			961				7,630
Pioneer Municipal High Income Fund, Inc.			108,304				933,580
Templeton Global Income Fund			201,064				770,075
Tortoise Power and Energy Infrastructure Fund, Inc.			38,110				538,494
Western Asset Managed Municipals Fund, Inc.			2,791				28,217
Western Asset Intermediate Muni Fund, Inc.			18,474				143,728
NB Global Corporate Income Trust			4,322,827				4,282,357
							24,433,983
Mixed Allocation - 4.25%
Blackrock Capital Allocation Trust			67,260				1,029,751
Ecofin Sustainable and Social Impact Term Fund			37,011				420,630
Nuveen Multi-Asset Income Fund			404,273				4,903,831
Tekla Healthcare Opportunities			207				3,759
Pershing Square Holdings, Ltd.			175,609				8,429,232
Voya Global Advantage and Premium Opportunity Fund			260				2,220
							14,789,423
TOTAL CLOSED END FUNDS							97,680,460
(Cost $88,454,594)

		Shares				Fair Value
INVESTMENT TRUST - 8.50%
Alternative - 1.93%
Bitwise 10 Crypto Index Fund(g)(f)			312,202				6,712,343
Equity - 6.56%
European Opportunities Trust PLC			1,328,993				14,585,440
JPMorgan Mid Cap Investment Trust PLC			3,263				38,871
Herald Investment Trust PLC(f)			2,610				65,425
Schroder UK Mid Cap Fund PLC			570,790				4,079,758
BlackRock Smaller Companies Trust PLC			71,210				1,205,664
Henderson Opportunities Trust PLC			111,656				1,410,062
The European Smaller Companies Turst PLC			2,626				5,309
Schroder British Opportunities Trust PLC(f)			1,453,746				1,446,230
							22,836,759
Mixed Allocation - 0.01%
Aberdeen Diversified Income and Growth Trust PLC			7,080				7,187
Citadel Income Fund			10,219				18,622
							25,809
TOTAL INVESTMENT TRUST							29,574,911
(Cost $24,214,356)

Annual Report | January 31, 2024 25

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

		Shares				Fair Value
PREFERRED STOCK - 0.88%
Consumer Discretionary - 0.28%
HAAT Delivery Ltd. Preferred Seed-1(c)(f)			64,188			$	988,495
Entertainment Facilities - 0.00%(d)
24 Hour Fitness Worldwide, Inc.(f)			407,959				4,080
Transportation - 0.60%
G-ILS Transportation Ltd. Preferred B-3 Shares(c)(f)			1,332				2,079,252
TOTAL PREFERRED STOCK							3,071,827
(Cost $3,709,436)

		Fair Value
PARTICIPATION AGREEMENT - 0.28%
Caesars Entertainment, Inc (Covid Insurance Claim)(c)(f)(g)			959,668
TOTAL PARTICIPATION AGREEMENT			959,668
(Cost $2,320,000)

		Fair Value
PRIVATE FUND - 11.37%
Stone Ridge Opportunities Fund Feeder LP(f)			39,566,180
TOTAL PRIVATE FUND			39,566,180
(Cost $29,527,000)

		Shares				Fair Value
UNIT TRUST - 4.73%
Grayscale Ethereum Classic Trust(g)(f)			1,303,987				16,448,492
TOTAL UNIT TRUST							16,448,492
(Cost $8,581,983)

		Shares				Fair Value
SPECIAL PURPOSE ACQUISITION COMPANIES - 1.86%
Bellevue Life Sciences Acquisition Corp.(f)			14,638				155,095
Blue Ocean Acquisition Corp.(f)			32,372				354,150
Blue World Acquisition Corp.(f)			51,687				574,243
Deezer SA(f)			8,179				18,606
Digital World Acquisition Corp., Class B(c)(f)			25,893				880,880
DUET Acquisition Corp.(f)			5,996				65,806
Fat Projects Acquisition Corp., Class B(c)(f)(i)			4,886				-
Goldenstone Acquisition, Ltd.(f)			5,405				58,698
Integrated Rail and Resources Acquisition Corp.(f)			150,756				1,669,623
Integrated Wellness Acquisition Corp.(f)			56,343				634,140
Investcorp Europe Acquisition Corp. I(f)			25,441				282,268
Israel Acquisitions Corp.(f)			8,683				93,082
Kismet Acquisition Two Corp.(f)			38,662				423,349
Nogin, Inc.(f)			11,264				164
Pegasus Digital Mobility Acquisition Corp., Class B(c)(f)			4,456				5,169

26

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

		Shares				Fair Value
Screaming Eagle Acquisition Corp.(f)			35,534			$	377,371
Slam Corp.(f)			26,398				287,210
Valuence Merger Corp. I(f)			54,174				606,208
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES							6,486,062
(Cost $5,477,035)

		Contracts				Fair Value
WARRANTS - 0.14%
10X Capital Venture Acquisition Corp. III, Expires 12/31/2027, Strike Price $11.50			55,754				3,234
A SPAC I Acquisition Corp., Expires 05/21/2027, Strike Price $11.50(i)			1				-
A SPAC II Acquisition Corp., Expires 05/03/2027, Strike Price $11.50			34,421				396
Achari Ventures Holdings Corp. I, Expires 08/05/2026, Strike Price $11.50			38,384				867
Agrinam Acquisition Corp., Expires 06/30/2027, Strike Price $11.50			19,798				99
Airship AI Holdings Inc, Expires 12/31/2028, Strike Price $11.50			20,143				1,108
Allurion Technologies Inc, Expires 08/02/2030, Strike Price $11.50			16,492				4,949
Alset Capital Acquisition Corp., Expires 02/02/2027, Strike Price $11.50			13,297				641
Andretti Acquisition Corp., Expires 03/23/2028, Strike Price $11.50			24,523				9,807
AP Acquisition Corp., Expires 12/07/2026, Strike Price $11.50			9,857				246
APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50			3,981				229
Arisz Acquisition Corp., Expires 11/16/2026, Strike Price $11.50			34,348				4,249
Armada Acquisition Corp. I, Expires 08/13/2026, Strike Price $11.50(i)			19				-
Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50			36,968				1,146
Atlantic Coastal Acquisition Corp. II, Expires 06/02/2028, Strike Price $11.50			80,774				4,806
Ault Disruptive Technologies Corp., Expires 06/20/2028, Strike Price $11.50			18,483				525
Aura FAT Projects Acquisition Corp., Expires 06/02/2027, Strike Price $11.50			58,439				882
Aurora Technology Acquisition Corp., Expires 02/07/2028, Strike Price $11.50			63,578				642
Banyan Acquisition Corp., Expires 09/30/2028, Strike Price $11.50			45,560				18,452
Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50			36,968				2,211
Bellevue Life, Sciences Acquisi, Expires 02/10/2028, Strike Price $11.50			14,638				189
BenevolentAI, Expires 06/30/2026, Strike Price $11.50			7,014				76
Benson Hill Inc., Expires 03/25/2027, Strike Price $11.50(c)			187,607				403
Bitcoin Depot Inc, Expires 07/03/2028, Strike Price $11.50			116,268				13,266
Bleuacacia, Ltd., Expires 10/30/2026, Strike Price $11.50			100,804				2,515
Blockchain Coinvestors Acquisition Corp. I, Expires 11/01/2028, Strike Price $11.50			93,986				4,774
Blue Ocean Acquisition Corp., Expires 10/21/2028, Strike Price $11.50			16,257				360
Blue World Acquisition Corp., Expires 01/10/2029, Strike Price $11.50			23,302				687
BurTech Acquisition Corp., Expires 12/18/2026, Strike Price $11.50			23,368				2,454
Captivision Inc, Expires 11/16/2028, Strike Price $11.50			43,794				3,394
Cactus Acquisition Corp. 1, Ltd., Expires 02/18/2072, Strike Price $11.50			21,180				911
Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50			154,766				1,973
Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50			69,120				1,389
Cardio Diagnostics Holdings, Inc., Expires 12/01/2026, Strike Price $11.50			19,933				2,591
Carmell Therapeutics Corp, Expires 07/12/2028, Strike Price $11.50			3,816				730
CARTESIAN GROWTH Corp. II, Expires 07/12/2028, Strike Price $11.50			5,984				957
Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50			74,354				4,963
CF Acquisition Corp. VII, Expires 03/15/2026, Strike Price $11.50			4,928				246
Chain Bridge I, Expires 12/31/2028, Strike Price $11.50			33,367				1,335
Chenghe Acquisition Co., Expires 04/28/2027, Strike Price $11.50			400				23
Churchill Capital Corp. VII, Expires 02/29/2028, Strike Price $11.50			26,731				8,821
Cineworld, Expires 11/23/2025, Strike Price $0.04(i)			88,914				-
Clean Earth Acquisitions Corp., Expires 02/24/2028, Strike Price $11.50			49,587				1,983

Annual Report | January 31, 2024 27

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

		Contracts				Fair Value
ClimateRock, Expires 06/01/2027, Strike Price $11.50			11,778			$	406
Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50			25,741				3,604
Concord Acquisition Corp. III, Expires 12/31/2028, Strike Price $11.50			54,452				4,084
Conduit Pharmaceuticals Inc, Expires 02/03/2027, Strike Price $11.50			51,468				3,603
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027, Strike Price $11.50			38,488				2,694
Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50			41,045				4,593
Deezer, SA, Expires 06/07/2027, Strike Price $11.50			95,238				103
Denali Capital Acquisition Corp., Expires 04/07/2027, Strike Price $11.50			27,621				1,533
DHC Acquisition Corp., Expires 12/31/2027, Strike Price $11.50			25,249				706
Digital Health Acquisition Corp., Expires 11/02/2026, Strike Price $11.50			17,736				1,951
Distoken Acquisition Corp., Expires 03/30/2028, Strike Price $11.50			5,841				91
DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50			5,996				180
Engene Holdings Inc, Expires 8/28/2028, Strike Price $11.50			7,393				5,988
Energem Corp., Expires 02/18/2072, Strike Price $11.50			45,714				857
Energy Transition Partners BV, Expires 07/16/2026, Strike Price $11.50			16,852				4,553
ESGEN Acquisition Corp., Expires 03/14/2029, Strike Price $11.50			61,117				5,531
Eureking SA, Expires 05/12/2027, Strike Price $11.50			59,955				3,888
EVe Mobility Acquisition Corp., Expires 05/12/2028, Strike Price $11.50			27,110				952
Everest Consolidator Acquisition Corp., Expires 07/19/2028, Strike Price $11.50			50,492				5,276
Evergreen Corp., Expires 02/15/2027, Strike Price $11.50			70,092				2,313
ExcelFin Acquisition Corp., Expires 10/25/2028, Strike Price $11.50			22,349				670
Fat Projects Acquisition Corp., Expires 08/31/2026, Strike Price $11.50			37,947				417
FG Acquisition Corp., Expires 04/05/2030, Strike Price $11.50			25,263				27,789
FG Merger Corp, Expires 05/15/2028, Strike Price $11.50			1,112				11
Financial Strategies Acquisition Corp., Expires 03/31/2028, Strike Price $11.50(i)			6,820				-
Financials Acquisition Corp., Expires 04/04/2027, Strike Price $11.50			28,696				1,091
Finnovate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50			71,462				715
Fintech Ecosystem Development Corp., Expires 12/31/2028, Strike Price $11.50			27,352				343
Flame Acquisition Corp., Expires 12/31/2028, Strike Price $11.50			2,704				6,760
flyExclusive Inc, Expires 5/28/2028, Strike Price $11.50			27,981				8,031
Fortune Rise Acquisition Corp., Expires 12/06/2027, Strike Price $11.50			15,616				504
Four Leaf Acquisition Corp, Expires 5/12/2028, Strike Price $11.50			3,750				122
FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50			27,108				3,253
Future Health ESG Corp., Expires 09/09/2026, Strike Price $11.50			37,402				1,126
FutureTech II Acquisition Corp., Expires 02/16/2027, Strike Price $11.50			48,383				1,246
Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50			6,030				121
GigCapital5, Inc., Expires 12/31/2028, Strike Price $11.50			3,954				96
Global Blockchain Acquisition Corp., Expires 05/10/2027, Strike Price $11.50			40,470				567
Global Technology Acquisition Corp. I, Expires 07/13/2026, Strike Price $11.50			23,734				1,120
Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50			14,771				99
Gores Holdings IX, Inc., Expires 01/14/2029, Strike Price $11.50			40,512				7,108
HCM ACQUISITION Corp., Expires 12/31/2027, Strike Price $11.50			10,493				409
Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50			18,681				668
HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50			17,425				427
HNR Acquisition Corp., Expires 07/29/2028, Strike Price $11.50			44,874				2,695
Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50			2,402				120
InFinT Acquisition Corp., Expires 05/19/2027, Strike Price $11.50			55,058				446
Integrated Rail and Resources Acquisition Corp., Expires 11/12/2026, Strike Price $11.50			48,874				3,316
Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50			1,475				44
Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50			24,645				4,436
Investcorp India Acquisition Corp., Expires 06/28/2027, Strike Price $11.50			37,472				1,696
Iris Acquisition Corp., Expires 03/05/2026, Strike Price $11.50			27,683				830
Israel Acquisitions Corp., Expires 02/28/2028, Strike Price $11.50			8,683				656
IX Acquisition Corp., Expires 11/24/2026, Strike Price $11.50			112				3
Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50			19,820				813

28

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

		Contracts				Fair Value
Kairous Acquisition Corp. ltd, Expires 09/15/2026, Strike Price $11.50			6,746			$	57
Kernel Group Holdings, Inc., Expires 01/31/2027, Strike Price $11.50			1,326				53
Keyarch Acquisition Corp., Expires 07/25/2028, Strike Price $11.50			24,350				528
LAMF Global Ventures Corp. I, Expires 11/05/2026, Strike Price $11.50			63,179				1,895
LatAmGrowth SPAC, Expires 01/25/2028, Strike Price $11.50			37,849				757
LeddarTech Holdings Inc, Expires 12/21/2028, Strike Price $11.50			21,521				1,937
Liberty Resources Acquisition Corp., Expires 10/31/2028, Strike Price $11.50			22,928				354
Lifezone Metals Ltd, Expires 07/05/2028, Strike Price $11.50			52,557				25,030
Metal Sky Star Acquisition Corp., Expires 04/01/2027, Strike Price $11.50			40,420				295
Metals Acquisition Ltd, Expires 06/16/2028, Strike Price $11.50			8,612				19,635
Mountain & Co. I Acquisition Corp., Expires 11/04/2026, Strike Price $11.50			62,660				2,538
New Energy One Acquisition Corp. PLC, Expires 03/07/2027, Strike Price $11.50			222,976				63,580
New Horizon Aircraft Ltd, Expires 4/3/2028, Strike Price $11.50			11,690				260
New Providence Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50			21,526				773
Nogin Inc., Expires 08/26/2027 Strike Price $11.50			8,372				26
NorthView Acquisition Corp., Expires 08/02/2027, Strike Price $11.50			19,197				612
Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50			31,088				664
Nubia Brand International Corp., Expires 11/16/2026, Strike Price $11.50			29,262				3,787
Nvni Group Ltd, Expires 11/01/2028, Strike Price $11.50			15,665				396
Onyx Acquisition Co. I, Expires 11/30/2028, Strike Price $11.50			24,790				682
Oxus Acquisition Corp., Expires 08/26/2026, Strike Price $11.50			20,287				1,826
Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50			76,584				4,595
Patria Latin American Opportunity Acquisition Corp., Expires 03/10/2027, Strike Price $11.50			46,145				1,846
Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50			18,484				832
PepperLime Health Acquisition Corp., Expires 01/10/2026, Strike Price $11.50			11,876				375
Phoenix Biotech Acquisition Corp., Expires 09/01/2026, Strike Price $11.50			21,939				1,755
Platinum Capital, Ltd., Expires 03/28/2024, Strike Price $11.50			42,880				197
Pono Capital Two, Inc., Expires 09/23/2027, Strike Price $11.50			9,738				341
Power & Digital Infrastructure Acquisition II Corp., Expires 12/14/2028, Strike Price $11.50			87,961				7,037
PowerUp Acquisition Corp., Expires 02/18/2027, Strike Price $11.50			70,545				3,527
PROOF Acquisition Corp. I, Expires 12/03/2028, Strike Price $11.50			20,757				2,672
Psyence Biomedical Ltd, Expires 1/25/2029, Strike Price $11.50			30,398				1,824
RCF Acquisition Corp., Expires 11/10/2026, Strike Price $11.50			31,463				1,730
Redwoods Acquisition Corp., Expires 03/15/2027, Strike Price $11.50			32,327				1,371
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				1
RF Acquisition Corp., Expires 05/01/2028, Strike Price $11.50			19,704				349
Rigel Resource Acquisition Corp., Expires 11/05/2026, Strike Price $11.50			31,854				2,548
Roadzen Inc, Expires 11/30/2028, Strike Price $11.50			55,430				4,390
Rose Hill Acquisition Corp., Expires 10/07/2026, Strike Price $11.50			41,528				789
Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50			28,225				1,722
Screaming Eagle Acquisition Corp., Expires 12/15/2027, Strike Price $11.50			22,674				10,658
Selina Hospitality PLC, Expires 10/25/2027, Strike Price $11.50			218,500				1,311
ShoulderUp Technology Acquisition Corp., Expires 11/17/2026, Strike Price $11.50			94,845				3,215
Sizzle Acquisition Corp., Expires 03/12/2026, Strike Price $11.50			43,590				5,226
SMX Security Matters PLC, Expires 03/07/2028, Strike Price $11.50			36,580				293
Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50			6,161				131
Spectaire Holdings Inc, Expires 12/31/2028, Strike Price $11.50			58,258				1,748
Spree Acquisition Corp. 1, Ltd., Expires 12/22/2028, Strike Price $11.50			20,337				592
Spring Valley Acquisition Corp. II, Expires 02/25/2026, Strike Price $11.50			13,573				1,425
SpringBig Holdings, Inc., Expires 06/14/2027, Strike Price $11.50			24,279				16
Swiftmerge Acquisition Corp., Expires 06/17/2028, Strike Price $11.50			132				9
Syntec Optics Holdings Inc, Expires 11/8/2026, Strike Price $11.50			31,515				3,025
Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50			18,073				1,582
Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50			52,993				946

Annual Report | January 31, 2024 29

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

		Contracts				Fair Value
TKB Critical Technologies 1, Expires 10/20/2026, Strike Price $11.50			48,884			$	1,833
TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50			68,311				1,879
Transition SA, Expires 06/16/2026, Strike Price $11.50			33,822				5,010
United Homes Group, Inc., Expires 01/28/2028, Strike Price $11.50			10,716				9,155
Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50			60,778				2,188
VAM Investments Spac BV, Expires 07/27/2026, Strike Price $11.50			12,639				4,644
Vast Solar Pty Ltd, Expires 6/29/2028, Strike Price $11.50			87,846				6,149
Verde Clean Fuels, Inc., Expires 12/31/2027, Strike Price $11.50			327				41
Vision Sensing Acquisition Corp., Expires 10/21/2026, Strike Price $11.50			49,182				1,225
Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50			29,980				1,424
Yotta Acquisition Corp., Expires 03/15/2027, Strike Price $11.50			47,369				944
Zapp Electric Vehicles Group L, Expires 03/03/2028, Strike Price $11.50			11,642				89
Zoomcar Holdings Inc, Expires 7/1/2028, Strike Price $11.50			71,433				5,000
ZyVersa Therapeutics Inc, Expires 12/20/2026, Strike Price $11.50			7,100				498
TOTAL WARRANTS							472,334
(Cost $1,917,037)

		Contracts				Fair Value
RIGHTS - 0.03%
A SPAC I Acquisition Corp., Expires 4/17/2024(i)			2				-
A SPAC II Acquisition Corp., Expires 12/31/2049			68,843				4,158
Agrinam Acquisition Corp., Expires 12/31/2049			19,798				792
AIB Acquisition Corp., Expires 12/31/2049			41,417				5,285
Arisz Acquisition Corp., Expires 11/16/2026			34,348				7,265
Aurora Technology Acquisition Corp., Expires 02/07/2028			63,578				5,722
Bellevue Life Sciences Acquisition Corp., Expires 5/14/2024			14,638				2,130
bleuacacia, Ltd., Expires 12/31/2049			201,609				11,855
Blue World Acquisition Corp., Expires 12/31/2049			46,604				8,039
Broad Capital Acquisition Corp., Expires 03/02/2072			53,360				9,605
ClimateRock, Expires 06/01/2027			23,557				2,874
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027			69,644				11,526
Deep Medicine Acquisition Corp., Expires 09/30/2028			15,116				3,779
Distoken Acquisition Corp., Expires 11/18/2024			5,841				643
Financial Strategies Acquisition Corp., Expires 03/31/2028			9,493				95
Fintech Ecosystem Development Corp., Expires 12/31/2028			54,704				6,458
Global Blockchain Acquisition Corp., Expires 12/31/2049			40,470				2,428
Globalink Investment, Inc., Expires 12/23/2071			4,837				460
Inception Growth Acquisition, Ltd., Expires 01/21/2072			7,394				1,108
Kairous Acquisition Corp. ltd, Expires 01/20/2072			13,555				1,377
Keyarch Acquisition Corp., Expires 07/25/2028			16,489				2,144
Mars Acquisition Corp., Expires 2/16/2024			10,247				1,708
Metal Sky Star Acquisition Corp., Expires 12/31/2049			40,420				5,523
Mountain Crest Acquisition Corp. V, Expires 12/31/2049			8,917				910
NorthView Acquisition Corp., Expires 12/31/2049			38,482				3,848
Redwoods Acquisition Corp., Expires 12/31/2049			32,327				3,616
RF Acquisition Corp., Expires 12/31/2049			19,704				1,771
Sagaliam Acquisition Corp., Expires 12/31/2049			84,310				6,006
Spring Valley Acquisition Corp. II, Expires 02/25/2026			27,147				3,800
Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049			29,572				3,253
Yotta Acquisition Corp., Expires 12/31/2049			29,452				2,651
TOTAL RIGHTS							120,829
(Cost $199,556)

30

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

		Contracts				Fair Value
OPTIONS - 0.54%
Call Option Contracts - 0.54%
Alibaba Group Holding Ltd, Expires 03/15/24, Strike Pirce $75.00			5,963			$	1,878,345
TOTAL OPTIONS							1,878,345
(Premiums paid $1,604,207)

		Shares				Fair Value
SHORT TERM INVESTMENTS - 0.82%
BNY Mellon U.S. Treasury Fund, 7 Day Yield 4.94%(g)			22,282				22,282
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield 5.19%			2,825,874				2,825,874
TOTAL SHORT TERM INVESTMENTS							2,848,154
(Cost $2,848,160)
Total Investments in securities - 96.89%							337,115,495
(Cost $334,475,478)
Other Assets in Excess of Liabilities - 3.11%							10,837,513
NET ASSETS - 100.00%						$	347,953,008
Amounts above are shown as a percentage of net assets as of January 31, 2024.

SCHEDULE OF SECURITIES SOLD SHORT

		Principal Amount				Fair Value
SOVEREIGN DEBT OBLIGATIONS - (49.94%)
Sovereign - (49.94%)
U.S. Treasury Bond, 3.880%, 08/15/2033			(47,979,000	)			(47,848,747	)
United States Treasury, 4.500%, 11/15/2033			(8,258,000	)			(8,647,513	)
United States Treasury, 4.375%, 11/30/2028			(114,569,000	)			(117,256,444	)
TOTAL SOVEREIGN DEBT OBLIGATIONS							(173,752,704	)
(Proceeds $168,944,934)

		Shares				Fair Value
COMMON STOCK - (7.71%)
Communications - (0.54%)
Airbnb Inc.(f)			(567	)			(81,727	)
Alphabet, Inc.(f)			(256	)			(35,866	)
Delivery Hero SE(a)(f)			(5,530	)			(126,248	)
DoorDash Inc.(f)			(2,486	)			(259,041	)
Meta Platforms, Inc.(f)			(562	)			(219,259	)

Annual Report | January 31, 2024 31

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

		Shares				Fair Value
NetEase Inc.			(2,396	)		$	(233,945	)
Netflix, Inc.(f)			(85	)			(47,949	)
Pinterest Inc.(f)			(2,480	)			(92,926	)
ROBLOX Corp.			(5,900	)			(228,979	)
Spotify Technology SA.(f)			(1,488	)			(320,441	)
Uber Technologies Inc.(f)			(1,375	)			(89,746	)
Upwork Inc.(f)			(19,049	)			(261,162	)
Zillow Group Inc.(f)			(8,516	)			(484,049	)
							(2,481,338	)
Consumer Discretionary - (0.8%)
Alibaba Group Holding, Ltd.(f)			(37	)			(2,670	)
Amazon.com, Inc.(f)			(618	)			(95,914	)
Brembo SpA.(f)			(5,840	)			(72,201	)
Chegg Inc.			(14,927	)			(147,031	)
Cie Financiere Richemont SA			(776	)			(116,002	)
CTS Eventim AG & Co. KGaA			(378	)			(25,511	)
Ferrari N.V.(f)			(687	)			(237,647	)
JD.com Inc.(f)			(3,742	)			(84,382	)
MercadoLibre Inc.(f)			(639	)			(1,093,846	)
NIO Inc.(f)			(18,935	)			(106,415	)
Pinduoduo Inc.			(3,852	)			(488,703	)
Rivian Automotive, Inc.(f)			(911	)			(13,947	)
Sanlorenzo SpA/Ameglia			(8	)			(382	)
Tesla, Inc.(f)			(428	)			(80,160	)
Wayfair Inc.(f)			(3,110	)			(156,277	)
Zalando SE(a)(f)			(2,334	)			(46,487	)
							(2,767,575	)
Consumer Staples - (0.12%)
Heineken Holding NV			(2,528	)			(212,686	)
Heineken NV			(1,749	)			(176,349	)
HelloFresh SE(f)			(2,395	)			(31,757	)
							(420,792	)
Electric-Generation - (0.00%)(d)
Constellation Energy Corp.			(15	)			(1,830	)
Electric-Integrated - (0.08%)
AES Corp.			(1,507	)			(25,137	)
Ameren Corp.			(169	)			(11,757	)
American Electric Power Co., Inc.			(298	)			(23,286	)
DTE Energy Co.			(649	)			(68,418	)
Duke Energy Corp.			(608	)			(58,265	)
NextEra Energy, Inc.			(918	)			(53,822	)
Xcel Energy, Inc.			(429	)			(25,683	)
							(266,368	)
Electricity Networks - (0.03%)
CenterPoint Energy, Inc.			(1,383	)			(38,641	)
Eversource Energy			(194	)			(10,519	)
PPL Corp.			(2,068	)			(54,182	)
							(103,342	)

32

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

		Shares				Fair Value
Energy - (2.38%)
Antero Midstream Corp.			(22,615	)		$	(276,808	)
Archrock, Inc.			(2,988	)			(48,824	)
Chesapeake Energy Corp.			(817	)			(62,999	)
Civitas Resources, Inc.			(386	)			(25,017	)
ConocoPhillips			(489	)			(54,704	)
DT Midstream, Inc.			(8,833	)			(474,244	)
Enbridge, Inc.			(9,217	)			(327,286	)
Energy Transfer LP			(67,115	)			(959,745	)
EnLink Midstream LLC			(15,453	)			(186,363	)
Enterprise Products Partners LP			(43,801	)			(1,172,115	)
Enviva, Inc.(f)			(1,138	)			(499	)
EQT Corp.			(1,158	)			(40,993	)
Exxon Mobil Corp.			(841	)			(86,463	)
Genesis Energy LP			(1,072	)			(12,360	)
Kinder Morgan, Inc.			(9,040	)			(152,957	)
Marathon Oil Corp.			(1,727	)			(39,462	)
MPLX LP			(17,554	)			(676,707	)
Neste Oyj			(2,333	)			(80,806	)
Occidental Petroleum Corp.			(508	)			(29,246	)
Pembina Pipeline Corp.			(3,934	)			(135,508	)
Pioneer Natural Resources Co.			(583	)			(133,991	)
Plains All American Pipeline LP			(23,149	)			(357,421	)
Plains GP Holdings LP			(34,856	)			(563,970	)
TC Energy Corp.			(14,786	)			(583,324	)
Western Midstream Partners LP			(8,228	)			(236,390	)
Williams Cos., Inc.			(45,217	)			(1,567,221	)
							(8,285,423	)
Financials - (0.14%)
BFF Bank SpA.(a)			(12,822	)			(138,844	)
Credicorp Ltd.(f)			(961	)			(142,641	)
Deutsche Boerse AG			(1,083	)			(215,235	)
Van Lanschot Kempen N.V.			(8	)			(242	)
							(496,962	)
Health Care - (1.09%)
10X Genomics Inc.(f)			(3,367	)			(140,303	)
Alnylam Pharmaceuticals, Inc.(f)			(5,010	)			(866,279	)
Bayer AG			(2,132	)			(66,794	)
Denali Therapeutics Inc.(f)			(556	)			(8,902	)
DexCom Inc.			(908	)			(110,186	)
Exact Sciences Corp.(f)			(6,763	)			(442,300	)
Genmab A/S			(376	)			(104,718	)
Illumina, Inc.			(121	)			(17,304	)
Merck & Co Inc.			(2,789	)			(336,855	)
Moderna, Inc.(f)			(835	)			(84,377	)
Novocure Ltd.(f)			(8,253	)			(114,882	)
Novo Nordisk A/S			(6,106	)			(700,602	)
PACIRA BIOSCIENCES INC.			(4,237	)			(138,084	)

Annual Report | January 31, 2024 33

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

		Shares				Fair Value
Progyny Inc.(f)			(4,555	)		$	(173,500	)
Recursion Pharmaceuticals Inc.(f)			(16,329	)			(153,656	)
Shockwave Medical Inc.(f)			(591	)			(133,714	)
STAAR Surgical Co.			(7,346	)			(205,761	)
							(3,798,217	)
Industrials - (0.30%)
Aalberts Industries NV.(f)			(5,551	)			(221,841	)
Aerovironment Inc.(f)			(312	)			(37,640	)
Arcadis NV.			(127	)			(6,993	)
Axon Enterprise, Inc.(f)			(1,884	)			(469,229	)
Bravida Holding AB(a)			(3,360	)			(25,587	)
Deere & Co.			(261	)			(102,724	)
Generac Holdings, Inc.			(109	)			(12,390	)
Hexpol AB.(f)			(4,048	)			(46,522	)
Interpump Group SpA			(1,239	)			(61,647	)
Prysmian SpA(f)			(1,992	)			(88,241	)
TKH Group NV			(1,725	)			(69,758	)
Trelleborg AB			(2,535	)			(77,390	)
Watsco Inc.			(110	)			(43,008	)
							(1,262,970	)
Renewable Energy Generation - (0.02%)
Atlantica Sustainable Infrastructure PLC			(81	)			(1,554	)
NextEra Energy Partners LP			(1,951	)			(58,237	)
							(59,791	)
Technology - (1.98%)
Advanced Micro Devices, Inc.(f)			(84	)			(14,086	)
Adyen NV(a)(f)			(75	)			(94,928	)
Analog Devices Inc.			(313	)			(60,209	)
Appian Corp.(f)			(264	)			(8,614	)
Apple, Inc.			(97	)			(17,887	)
Arista Networks Inc.(f)			(402	)			(103,989	)
ASML Holding NV			(970	)			(836,733	)
BE Semiconductor Industries NV			(1,112	)			(168,002	)
Blackline Inc.(f)			(815	)			(47,824	)
Cloudflare, Inc.(f)			(4,206	)			(332,484	)
CoStar Group Inc.(f)			(2,236	)			(186,661	)
Crowdstrike Holdings Inc.(f)			(473	)			(138,353	)
Datadog Inc.(f)			(1,033	)			(128,547	)
Descartes Systems Group, Inc.			(313	)			(27,406	)
Doximity Inc.(f)			(4,288	)			(115,562	)
Duolingo Inc.(f)			(1,314	)			(235,061	)
Fabrinet.(f)			(51	)			(10,889	)
HashiCorp Inc.			(5,297	)			(115,792	)
HubSpot, Inc.			(16	)			(9,776	)
Infineon Technologies AG			(3,491	)			(126,650	)
Infosys Ltd.			(8,959	)			(177,926	)
KLA CORP.			(151	)			(89,700	)
MarketAxess Holdings, Inc.			(1,305	)			(294,291	)

34

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

		Shares				Fair Value
MasterCard Inc.			(152	)		$	(68,283	)
Melexis NV			(2,272	)			(196,673	)
Microsoft Corp.			(55	)			(21,867	)
MongoDB Inc.(f)			(83	)			(33,243	)
Monolithic Power Systems Inc.			(120	)			(72,326	)
NVIDIA Corp.			(244	)			(150,126	)
ON Semiconductor Corp.			(464	)			(33,004	)
Palo Alto Networks, Inc.			(43	)			(14,556	)
Pegasystems Inc.			(933	)			(45,474	)
QUALCOMM Inc.			(468	)			(69,503	)
Relx Plc			(9,362	)			(386,690	)
Salesforce Inc.(f)			(239	)			(67,181	)
ServiceNow, Inc.(f)			(9	)			(6,889	)
Shopify Inc.(f)			(5,268	)			(421,492	)
Snowflake Inc.			(1,913	)			(374,259	)
SPS Commerce Inc.(f)			(318	)			(58,448	)
Super Micro Computer, Inc.(f)			(1,124	)			(595,282	)
Taiwan Semiconductor Manufacturing Co., Ltd.			(4,546	)			(513,516	)
Varonis Systems Inc.			(1,416	)			(63,551	)
Visa Inc.			(236	)			(64,490	)
Workday, Inc.(f)			(985	)			(286,704	)
							(6,884,927	)
TOTAL COMMON STOCK							(26,829,535	)
(Proceeds $25,534,757)

		Shares				Fair Value
EXCHANGE TRADED FUNDS - (3.28%)
ProShares Bitcoin Strategy ETF(f)			(555,648	)			(11,401,897	)
TOTAL EXCHANGE TRADED FUNDS							(11,401,897	)
(Proceeds $9,730,072)

		Contracts				Fair Value
OPTIONS - (0.09%)
Call Option Contracts - (0.09%)
Alibaba Group Holding Ltd, Expires 03/15/24, Strike Pirce $90.00			(5,963	)		$	(298,150	)
TOTAL OPTIONS							(298,150	)
(Premiums paid $-315,876)

		Shares				Fair Value
PREFERRED STOCK - (0.01%)
Materials - (0.01%)
Fuchs Petrolub SE(f)			(1,103	)			(48,348	)
TOTAL PREFERRED STOCK							(48,348	)
(Proceeds $46,965)
Total Securities Sold Short - (61.02%)							(212,330,634	)
(Proceeds $204,572,604)

Annual Report | January 31, 2024 35

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

(a)	Security exempt from registration under Rule 144A of the Securities Act of 1933 (the "Securities Act"). Total market value of Rule 144A securities amounts to $16,530,075, which represented approximately 4.75% of net assets as of January 31, 2024. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(b)	Security is in default as of year-end and is therefore non-income producing.
(c)	Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
(d)	Amount represents less than 0.005% of net assets.
(e)	Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of January 31, 2024, the aggregate market value of those securities was $11,205,879, which represents approximately 3.22% of net assets.
(f)	Non-income producing security.
(g)	A portion or all of the security is owned by BRW SPV I, a wholly-owned subsidiary of the Fund.
(h)	The security is a floating rate note which has an annual interest rate, reset monthly, that is calculated by taking the product of a leverage multiplier and (USISDA30 - USISDA02). At January 31, 2024, the current coupon rate for these notes is 0%.
(i)	On January 31, 2024 the value of these investments amounted to $0, representing 0.0% of the net assets of the Fund.

Investment Abbreviations:

ESTRON - Euro Short-Term Rate

LIBOR - London Interbank Offered Rate

OBFR - United States Overnight Bank Funding Rate

RBACOR - RBA Interbank Overnight Cash Rate

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Over Night Index Average

Reference Rates:

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

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

RBACOR - RBA Interbank Overnight Cash Rate as of January 31, 2024 was 4.32%

SOFR - Secured Overnight Financing Rate as of January 31, 2024 was 5.32%

TSFR1M - CME Term SOFR 1 Month as of January 31, 2024 was 5.33%.

TSFR3M - CME Term SOFR 3 Month as of January 31, 2024 was 5.32%

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

PRIME - US Prime Rate as of January 31, 2024 was 8.5%

Counterparty Abbreviations:

JPM - JPMorgan Chase Bank, N.A.

GSI - Goldman Sachs International

MSCS - Morgan Stanley Capital Services

BARC - Barclays Bank PLC

MSCO – Morgan Stanley & Company

SIMPLE AGREEMENT FOR FUTURE EQUITY (SAFE) CONTRACTS

		Cost				Fair Value
AEYE Health Inc.(a)(b)		$	1,000,000			$	1,062,330
Quantalx Neuroscience Ltd.(a)(b)			3,000,000				3,046,410
Real View Imaging Ltd.(a)(b)			2,000,000				2,320,560
		$	6,000,000			$	6,429,300

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

36

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

FORWARD FOREIGN CURRENCY CONTRACTS

Counterparty		Settlement Date		Fund Receiving		Value				Fund Delivering		Cost				Unrealized Appreciation
JPM		2/8/2024		USD		$	25,810,504			AUD		$	25,246,418			$	564,086
JPM		2/8/2024		USD			374,668			CAD			372,556				2,112
JPM		2/8/2024		USD			3,558,117			EUR			3,513,140				44,977
JPM		2/8/2024		USD			1,656,861			GBP			1,647,560				9,301
JPM		2/8/2024		GBP			2,534,707			USD			2,533,809				898
JPM		2/8/2024		CAD			223,157			USD			222,595				562
																$	621,936

FORWARD FOREIGN CURRENCY CONTRACTS

Counterparty		Settlement Date		Fund Receiving		Value				Fund Delivering		Cost				Unrealized Depreciation
JPM		2/8/2024		USD		$	31,419,239			GBP		$	31,430,372			$	(11,133	)
JPM		2/8/2024		GBP			9,821,991			USD			9,877,551				(55,560	)
																$	(66,693	)
																$	555,243

FUTURES CONTRACTS

Description		Number of Contracts		Maturity Date		Notional Amount				Unrealized Appreciation/ (Depreciation)
Short Position Contracts
S&P500 EMINI FUT Mar24		(175)		3/15/2024			42,151,233				(465,642	)
NASDAQ 100 E-MINI Mar24		(40)		3/15/2024			13,158,203				(635,597	)
										$	(1,101,239	)
										$	(1,101,239	)

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

Counterparty		Description		Maturity Date		Notional Amount				Net Unrealized Appreciation/ (Depreciation)
MSCO		FNCL 6 3/24 TBA MSFTA		3/11/2024			105,628,000			$	63,955
MSCO		FNCL 5.5 3/24 TBA MSFTA		3/11/2024			264,602,000				(233,889	)
										$	(169,934	)

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		R.R. Donnelley & Sons Company			(5.00	)%		USD		12/20/2026			7,494,000			$	(554,786	)		$	591,764			$	36,978
Buy		R.R. Donnelley & Sons Company			(5.00	)%		USD		6/20/2028			2,434,000				(180,466	)			153,219				(27,247	)
Buy		Transocean Inc.			(1.00	)%		USD		6/20/2027			1,632,000				140,997				(135,500	)			5,497
																$	(594,255	)		$	609,483			$	15,228

Annual Report | January 31, 2024 37

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

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 41			(5.00	)%		USD		12/20/2028			631,450,710			$	(38,775,003	)		$	13,011,302			$	(25,763,701	)
Buy		Markit iTraxx Europe Subordinated Financials Index, Series 39			(5.00	)%		USD		6/20/2028			45,000,000				269,056				(2,626,045	)			(2,356,989	)
																$	(38,505,947	)		$	10,385,257			$	(28,120,690	)

SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (OVER THE COUNTER)

Buy/Sell Protection(a)		Counterparty		Reference Obligations		Annual Payment Rate Received (Paid)				Currency		Maturity Date		Notional Amount(b)				Value				Upfront Premiums Received/(Paid)				Unrealized Appreciation/ (Depreciation)
Sell		BARC		AT&T Inc.			1.00	%		USD		6/20/2025			2,249,000			$	17,536			$	(11,224	)		$	6,312
Buy		GSI		AT&T Inc.			(1.00	)%		USD		12/20/2024			7,090,000			$	42,440			$	(34,619	)		$	7,821
Sell		GSI		Bristol-Myers Squibb Company			1.00	%		USD		12/20/2027			10,000,000				268,658				(268,823	)			(165	)
Sell		MSCS		Bristol-Myers Squibb Company			1.00	%		USD		12/20/2027			10,000,000				268,658				(257,109	)			11,549
Sell		MSCS		Bristol-Myers Squibb Company			1.00	%		USD		6/20/2028			17,365,000				488,025				(510,546	)			(22,521	)
Sell		GSI		British American Tobacco p.l.c.			1.00	%		GBP		12/20/2027			2,381,000				35,335				(10,976	)			24,359
Buy		GSI		CommScope, Inc.			(5.00	)%		USD		12/20/2028			1,650,000				727,207				(523,215	)			203,992
Buy		JPM		CommScope, Inc.			5.00	%		USD		6/20/2027			741,000				326,582				(311,220	)			15,362
Sell		GSI		Danone			1.00	%		EUR		12/20/2027			5,739,000				172,669				(107,323	)			65,346
Sell		MSCS		Danone			1.00	%		EUR		12/20/2027			1,264,000				38,031				(28,008	)			10,023
Sell		JPM		Danone			1.00	%		EUR		12/20/2027			5,795,000				174,355				(134,086	)			40,269
Sell		GSI		International Business Machines Corporation			1.00	%		USD		12/20/2027			20,642,000				529,930				(395,100	)			134,830
Sell		GSI		International Business Machines Corporation			1.00	%		USD		6/20/2027			1,000				24				(19	)			5
Sell		BARC		International Business Machines Corporation			1.00	%		USD		12/20/2027			10,000,000				256,724				(202,764	)			53,960
Sell		BARC		International Business Machines Corporation			1.00	%		USD		12/20/2028			3,675,000				103,840				(81,859	)			21,981
Sell		BARC		NextEra Energy Capital Holdings, Inc.			1.00	%		USD		6/20/2028			4,306,000				56,274				(22,659	)			33,615
Sell		GSI		Pfizer Inc.			1.00	%		USD		12/20/2027			9,152,000				250,548				(228,364	)			22,184
Sell		MSCS		Pfizer Inc.			1.00	%		USD		12/20/2027			7,325,000				200,531				(178,314	)			22,217
Sell		GSI		Pfizer, Inc.			1.00	%		USD		12/20/2028			15,802,000				478,934				(438,142	)			40,792
Buy		BARC		R.R. Donnelley & Sons Company			(5.00	)%		USD		12/20/2027			1,628,000				(122,342	)			222,929				100,587
Sell		GSI		Target Corporation			1.00	%		USD		12/20/2027			7,957,000				215,296				(154,905	)			60,391
Sell		GSI		The Procter & Gamble Company			1.00	%		USD		12/20/2027			10,061,000				290,569				(254,747	)			35,822
Sell		MSCS		The Sherwin-Williams Company			1.00	%		USD		12/20/2027			1,912,000				41,620				(4,103	)			37,517
Sell		MSCS		The Southern Company			1.00	%		USD		6/20/2026			847,000				15,139				(14,141	)			998
Buy		GSI		Transocean Inc.			(1.00	)%		USD		6/20/2027			1,487,000				128,470				(122,678	)			5,792
Buy		BARC		Transocean Inc.			(1.00	)%		USD		6/20/2027			453,000				39,137				(47,565	)			(8,428	)
Buy		BARC		Unisys Corporation			(5.00	)%		USD		6/20/2028			286,000				2,165				(38,292	)			(36,127	)
Sell		MSCS		UnitedHealth Group Incorporated			1.00	%		USD		12/20/2027			15,248,000				396,668				(335,362	)			61,306
Sell		MSCS		Verizon Communications Inc.			1.00	%		USD		6/20/2028			3,181,000				49,562				(2,900	)			46,662
Sell		MSCS		Verizon Communications Inc.			1.00	%		USD		12/20/2027			7,000,000				109,888				4,885				114,773
																		$	5,602,473			$	(4,491,249	)		$	1,111,224

(a)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(b)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. Notional amounts are presented in the currency indicated in the table.

38

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

TOTAL RETURN SWAP CONTRACTS^(a)

Counterparty		Reference Obligations		Currency		Notional Amount(b)				Termination Date		Financing Rate Index		Financing Rate Spread Paid/(Received) by Fund		Value				Unrealized Appreciation/ (Depreciation)
JPM		4imprint Group PLC		GBP			(476,576	)		10/31/2024		SONIA		(40) bps		$	(473,117	)		$	3,459
JPM		Aberdeen Diversified Income and Growth Trust		GBP			96,638			10/31/2024		SONIA		40 bps			97,244				606
JPM		Aberdeen New India Investment Trust PLC		GBP			714,480			10/31/2024		SONIA		40 bps			718,822				4,342
JPM		Abrdn UK Smaller Cos Growth Trust PLC		GBP			1,769,478			10/31/2024		SONIA		40 bps			1,765,428				(4,050	)
JPM		Alpha Financial Markets Consulting PLC		GBP			(4,927	)		10/31/2024		SONIA		(40) bps			(5,134	)			(207	)
JPM		Alten SA		EUR			(47,135	)		10/31/2024		ESTRON		(40) bps			(47,398	)			(263	)
JPM		Auction Technology Group PLC		GBP			(2,106	)		10/31/2024		SONIA		(40) bps			(2,514	)			(408	)
JPM		Baillie Gifford European Growth Trust PLC		GBP			474,872			10/31/2024		SONIA		40 bps			480,574				5,702
JPM		Baillie Gifford UK Growth Trust PLC		GBP			4,286,103			10/31/2024		SONIA		40 bps			4,312,048				25,945
JPM		Baillie Gifford US Growth Trust PLC		GBP			8,601,963			10/31/2024		SONIA		40 bps			8,630,765				28,802
JPM		Baker Steel Resources Trust, Ltd.		GBP			193,833			10/31/2024		SONIA		40 bps			193,833				-
JPM		Balfour Beatty PLC		GBP			(68,409	)		10/31/2024		SONIA		(40) bps			(66,957	)			1,452
JPM		Barings Emerging EMEA Opportunities PLC		GBP			253,064			10/31/2024		SONIA		40 bps			253,064				-
JPM		Bellway PLC		GBP			(5,638	)		10/31/2024		SONIA		(40) bps			(5,806	)			(168	)
JPM		Big Technologies PLC		GBP			(950	)		10/31/2024		SONIA		(40) bps			(946	)			4
JPM		BioMerieux		EUR			(183,112	)		10/31/2024		ESTRON		(40) bps			(180,584	)			2,528
JPM		BlackRock Smaller Companies Trust PLC		GBP			2,145,888			10/31/2024		SONIA		40 bps			2,139,483				(6,405	)
JPM		Bloomsbury Publishing PLC		GBP			(36	)		10/31/2024		SONIA		(40) bps			(36	)			-
JPM		Brown Advisory US Smaller Companies PLC		GBP			193,190			10/31/2024		SONIA		40 bps			196,300				3,110
JPM		Bytes Technology Group PLC		GBP			(94,101	)		10/31/2024		SONIA		(40) bps			(94,896	)			(795	)
JPM		Card Factory PLC		GBP			(643	)		10/31/2024		SONIA		(40) bps			(636	)			7
JPM		Central Asia Metals PLC		GBP			(2,421	)		10/31/2024		SONIA		(40) bps			(2,410	)			11
JPM		Chemring Group PLC		GBP			(237,833	)		10/31/2024		SONIA		(40) bps			(237,159	)			674
JPM		Clarkson PLC		GBP			(28,936	)		10/31/2024		SONIA		(40) bps			(29,018	)			(82	)
JPM		Computacenter PLC		GBP			(81,188	)		10/31/2024		SONIA		(40) bps			(82,842	)			(1,654	)
JPM		Conduit Holdings, Ltd.		GBP			(14,435	)		10/31/2024		SONIA		(40) bps			(14,285	)			150
JPM		CQS Natural Resources Growth and Income PLC		GBP			365,893			10/31/2024		SONIA		40 bps			362,452				(3,441	)
JPM		Crest Nicholson Holdings PLC		GBP			(50,813	)		10/31/2024		SONIA		(40) bps			(51,105	)			(292	)
JPM		CVS Group PLC		GBP			(48,520	)		10/31/2024		SONIA		(40) bps			(49,309	)			(789	)
JPM		Dassault Systemes SE		EUR			(241,252	)		10/31/2024		ESTRON		(40) bps			(242,913	)			(1,661	)
JPM		Diploma PLC		GBP			(393,718	)		10/31/2024		SONIA		(40) bps			(390,127	)			3,591
JPM		DiscoverIE Group PLC		GBP			(5,104	)		10/31/2024		SONIA		(40) bps			(5,117	)			(13	)
JPM		Dunelm Group PLC		GBP			(269,005	)		10/31/2024		SONIA		(40) bps			(266,081	)			2,924

Annual Report | January 31, 2024 39

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

TOTAL RETURN SWAP CONTRACTS^(a)

Counterparty		Reference Obligations		Currency		Notional Amount(b)				Termination Date		Financing Rate Index		Financing Rate Spread Paid/(Received) by Fund		Value				Unrealized Appreciation/ (Depreciation)
JPM		Edenred		EUR			(169,263	)		10/31/2024		ESTRON		(40) bps		$	(166,440	)		$	2,823
JPM		Edinburgh Worldwide Investment Trust PLC		GBP			15,991,454			10/31/2024		SONIA		40 bps			15,717,194				(274,260	)
JPM		Elis SA		EUR			(80,356	)		10/31/2024		ESTRON		(40) bps			(81,232	)			(876	)
JPM		Esker SA		EUR			(5,025	)		10/31/2024		ESTRON		(40) bps			(5,058	)			(33	)
JPM		European Smaller Companies		GBP			4,849,365			10/31/2024		SONIA		40 bps			4,864,615				15,250
JPM		Experian PLC		GBP			(117,059	)		10/31/2024		SONIA		(40) bps			(118,460	)			(1,401	)
JPM		Fidelity Emerging Markets, Ltd.		GBP			8,732,902			10/31/2024		SONIA		40 bps			8,718,725				(14,177	)
JPM		Future PLC		GBP			(45,473	)		10/31/2024		SONIA		(40) bps			(44,907	)			566
JPM		Games Workshop Group PLC		GBP			(117,994	)		10/31/2024		SONIA		(40) bps			(116,990	)			1,004
JPM		Gamma Communications PLC		GBP			(3,439	)		10/31/2024		SONIA		(40) bps			(3,571	)			(132	)
JPM		Genus PLC		GBP			(203,844	)		10/31/2024		SONIA		(40) bps			(204,201	)			(357	)
JPM		Grafton Group PLC		GBP			(142,636	)		10/31/2024		SONIA		(75) bps			(141,964	)			672
JPM		Grifols SA		EUR			(128,924	)		10/31/2024		ESTRON		(40) bps			(131,213	)			(2,289	)
JPM		Henderson EuroTrust PLC		GBP			1,309,338			10/31/2024		SONIA		40 bps			1,325,646				16,308
JPM		Henderson Opportunities Trust PLC		GBP			210,266			10/31/2024		SONIA		40 bps			209,635				(631	)
JPM		Henderson Smaller Companies Inv Trust PLC		GBP			225,165			10/31/2024		SONIA		40 bps			224,593				(572	)
JPM		Herald Investment Trust PLC		GBP			4,985,992			10/31/2024		SONIA		40 bps			5,036,921				50,929
JPM		Hipgnosis Songs Fund Ltd		GBP			1,027,922			10/31/2024		SONIA		40 bps			1,008,914				(19,008	)
JPM		Hollywood Bowl Group PLC		GBP			(296	)		10/31/2024		SONIA		(40) bps			(303	)			(7	)
JPM		Hunting PLC		GBP			(15,121	)		10/31/2024		SONIA		(40) bps			(15,645	)			(524	)
JPM		IMI PLC		GBP			(113,585	)		10/31/2024		SONIA		(40) bps			(115,226	)			(1,641	)
JPM		Impax Asset Management Group PLC		GBP			(4,771	)		10/31/2024		SONIA		(40) bps			(4,869	)			(98	)
JPM		Inchcape PLC		GBP			(95,813	)		10/31/2024		SONIA		(40) bps			(95,395	)			418
JPM		Intermediate Capital Group PLC		GBP			(260,324	)		10/31/2024		SONIA		(40) bps			(265,225	)			(4,901	)
JPM		Invesco Select Trust PLC		GBP			31,651			10/31/2024		SONIA		40 bps			32,791				1,140
JPM		IPSOS		EUR			(67,399	)		10/31/2024		ESTRON		(40) bps			(67,733	)			(334	)
JPM		JPMorgan European Discovery Trust PLC		GBP			36,030,893			10/31/2024		SONIA		40 bps			36,288,257				257,364
JPM		JPMorgan Mid Cap Investment Trust PLC		GBP			2,734,653			10/31/2024		SONIA		40 bps			2,758,126				23,473
JPM		JPMorgan UK Smaller Companies Inv Trust PLC		GBP			229,380			10/31/2024		SONIA		40 bps			230,973				1,593
JPM		Kainos Group PLC		GBP			(15,651	)		10/31/2024		SONIA		(40) bps			(16,455	)			(804	)
JPM		Kering SA		EUR			(152,637	)		10/31/2024		ESTRON		(40) bps			(152,003	)			634
JPM		Keystone Positive Change Investment Trust PLC		GBP			2,770,555			10/31/2024		SONIA		40 bps			2,738,927				(31,628	)
JPM		Man Group PLC		GBP			(149,354	)		10/31/2024		SONIA		(40) bps			(154,367	)			(5,013	)
JPM		Mercantile Investment Trust PLC		GBP			7,562,014			10/31/2024		SONIA		40 bps			7,615,393				53,379
JPM		MFF Capital Investments, Ltd.		AUD			783,031			10/31/2024		RBACOR		45 bps			799,793				16,762
JPM		Middlefield Canadian Income PC		GBP			1,637			10/31/2024		SONIA		40 bps			1,650				13
JPM		Morgan Advanced Materials PLC		GBP			(1,148	)		10/31/2024		SONIA		(40) bps			(1,133	)			15
JPM		Morgan Sindall Group PLC		GBP			(15,278	)		10/31/2024		SONIA		(40) bps			(15,414	)			(136	)
JPM		NB Global Corporate Income Trust		AUD			418,233			10/31/2024		RBACOR		45 bps			421,021				2,788
JPM		Next Fifteen Communications		GBP			(252	)		10/31/2024		SONIA		(40) bps			(255	)			(3	)
JPM		Ocado Group PLC		GBP			(191,324	)		10/31/2024		SONIA		(40) bps			(184,897	)			6,427
JPM		Oxford Instruments PLC		GBP			(333,312	)		10/31/2024		SONIA		(40) bps			(336,342	)			(3,030	)

40

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

TOTAL RETURN SWAP CONTRACTS^(a)

Counterparty		Reference Obligations		Currency		Notional Amount(b)				Termination Date		Financing Rate Index		Financing Rate Spread Paid/(Received) by Fund		Value				Unrealized Appreciation/ (Depreciation)
JPM		Oxford Nanopore Technologies PLC		GBP			(121,663	)		10/31/2024		SONIA		(40) bps		$	(137,342	)		$	(15,679	)
JPM		Pagegroup PLC		GBP			(414	)		10/31/2024		SONIA		(40) bps			(413	)			1
JPM		Pengana International Equities, Ltd.		AUD			208,559			10/31/2024		RBACOR		45 bps			212,351				3,792
JPM		Polar Capital Technology Trust PLC		GBP			5,301,797			10/31/2024		SONIA		40 bps			5,272,343				(29,454	)
JPM		Polestar Automotive Holding UK PLC		USD			(1,512,490	)		10/31/2024		OBFR		(700) bps			(1,610,070	)			(97,580	)
JPM		QinetiQ Group PLC		GBP			(243,307	)		10/31/2024		SONIA		(40) bps			(241,286	)			2,021
JPM		Reach PLC		GBP			(64	)		10/31/2024		SONIA		(40) bps			(63	)			1
JPM		Redrow PLC		GBP			(5,199	)		10/31/2024		SONIA		(40) bps			(5,207	)			(8	)
JPM		River & Mercantile UK Micro Cap Inv Co Ltd		GBP			944,455			10/31/2024		SONIA		40 bps			931,090				(13,365	)
JPM		Samsung Electronics Co., Ltd.		USD			(84,942	)		10/31/2024		OBFR		(40) bps			(83,448	)			1,494
JPM		Schiehallion Fund, Ltd.		USD			66,411			10/31/2024		OBFR		40 bps			65,950				(461	)
JPM		Schroder UK Mid Cap Fund PLC		GBP			299,907			10/31/2024		SONIA		40 bps			302,049				2,142
JPM		Schroders Capital Global		GBP			11,951			10/31/2024		SONIA		40 bps			11,457				(494	)
JPM		Scottish Mortgage Investment Trust PLC		GBP			4,829,233			10/31/2024		SONIA		40 bps			4,790,847				(38,386	)
JPM		SEB SA		EUR			(3,692	)		10/31/2024		ESTRON		(40) bps			(3,802	)			(110	)
JPM		Senior PLC		GBP			(1,494	)		10/31/2024		SONIA		(40) bps			(1,492	)			2
JPM		Soitec		EUR			(98,515	)		10/31/2024		ESTRON		(40) bps			(98,770	)			(255	)
JPM		Spie SA		EUR			(75,788	)		10/31/2024		ESTRON		(40) bps			(76,839	)			(1,051	)
JPM		SSP Group PLC		GBP			(134	)		10/31/2024		SONIA		(40) bps			(135	)			(1	)
JPM		Telecom Plus PLC		GBP			(44,929	)		10/31/2024		SONIA		(40) bps			(45,366	)			(437	)
JPM		Templeton EM Investment Trust PLC		GBP			2,648,021			10/31/2024		SONIA		40 bps			2,629,958				(18,063	)
JPM		Verallia SA		EUR			(59,164	)		10/31/2024		ESTRON		(40) bps			(58,345	)			819
JPM		Vesuvius PLC		GBP			(26,916	)		10/31/2024		SONIA		(40) bps			(26,871	)			45
JPM		VGI Partners Global Investments, Ltd.		AUD			538,842			10/31/2024		RBACOR		45 bps			538,842				-
JPM		WAM Global, Ltd.		AUD			344,230			10/31/2024		RBACOR		45 bps			351,185				6,955
JPM		Watches of Switzerland Group PLC		GBP			(84,780	)		10/31/2024		SONIA		(40) bps			(84,329	)			451
JPM		WH Smith PLC		GBP			(7,932	)		10/31/2024		SONIA		(40) bps			(7,965	)			(33	)
JPM		Wise PLC		GBP			(23,438	)		10/31/2024		SONIA		(40) bps			(23,152	)			286
JPM		Workspace Group PLC		GBP			(125	)		10/31/2024		SONIA		(40) bps			(126	)			(1	)
																$	115,056,550			$	(44,587	)

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

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

Annual Report | January 31, 2024 41

Saba Capital Income & Opportunities Fund	Notes to Consolidated Financial Statements
	January 31, 2024

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

Investments in Securities at fair value		Level 1 - Quoted Prices				Level 2 - Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Corporate Bonds		$	-			$	43,358,124			$	-			$	43,358,124
Senior Loans***			-				65,222,904				-				65,222,904
Sovereign Debt Obligations**			-				9,106,798				-				9,106,798
Mortgage-Backed Securities			-				3,841,156				-				3,841,156
Common Stock***			12,744,724				3,734,527				-				16,479,251
Closed End Funds			97,680,460				-				-				97,680,460
Investment Trust			29,574,911				-				-				29,574,911
Preferred Stock			-				4,080				3,067,747				3,071,827
Participation Agreement			-				-				959,668				959,668
Private Fund*			-				-				-				39,566,180
Unit Trust			16,448,492				-				-				16,448,492
Special Purpose Acquisition Companies***			5,600,013				-				886,049				6,486,062
Warrants***			428,639				43,292				403				472,334
Rights***			120,829				-				-				120,829
Options			1,878,345				-				-				1,878,345
Short Term Investments			2,848,154				-				-				2,848,154
Total		$	167,324,567			$	125,310,881			$	4,913,867			$	337,115,495

Securities sold short, at fair value		Level 1 - Quoted Prices				Level 2 - Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Sovereign Debt Obligations**		$	173,752,704			$	-			$	-			$	173,752,704
Common Stock			26,829,535				-				-				26,829,535
Exchange Traded Funds			11,401,897				-				-				11,401,897
Preferred Stock			48,348				-				-				48,348
Options			298,150				-				-				298,150
Total		$	212,330,634			$	-			$	-			$	212,330,634

Derivative contracts, at fair value		Level 1 - Quoted Prices				Level 2 - Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Assets
Simple Agreement for Future Equity Contracts		$	-			$	-			$	6,429,300			$	6,429,300
Forward Foreign Currency Contracts			-				621,936				-				621,936
TBA MBS forward contracts			-				63,955				-				63,955
Centrally Cleared Credit Default Swaps			-				410,053				-				410,053
Over the Counter Credit Default Swaps			-				5,724,815				-				5,724,815
Total Return Swaps			-				552,874				-				552,874
Total Assets		$	-			$	7,373,633			$	6,429,300			$	13,802,933
Liabilities
Forward foreign currency contracts		$	-			$	66,693			$	-			$	66,693
Futures Contracts			1,101,239				-				-				1,101,239
TBA MBS forward contracts			-				233,889				-				233,889
Centrally Cleared Credit Default Swaps			-				39,510,255				-				39,510,255
Over the Counter Credit Default Swaps			-				122,342				-				122,342
Total Return Swaps			-				597,461				-				597,461
Total Assets		$	1,101,239			$	40,530,640			$	-			$	41,631,879

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