NPORT-EX 2 fp0092814-1_nportex.htm
Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Principal Amount   Fair Value 
CORPORATE BONDS - 17.04%          
Communications - 4.12%          
           
Altice France Holding S.A., 5.500%, 10/15/2029(b)  $1,322,000   $1,059,252 
Charter Communications Operating Capital, 3.500%, 03/01/2042   5,000,000    3,419,338 
Clear Channel Outdoor Holdings, 7.500%, 06/01/2029(b)   4,653,000    4,164,435 
CSC Holdings LLC, 3.375%, 02/15/2031(b)   559,000    409,468 
DISH Network Corp., 11.750%, 11/15/2027(b)   2,780,000    2,938,112 
Gray Television Inc., 7.000%, 05/15/2027(b)   1,391,000    1,366,658 
Level 3 Financing Inc., 10.500%, 05/15/2030(b)   1,111,000    1,219,322 
Level 3 Financing Inc., 3.875%, 10/15/2030(b)   621,600    491,064 
         15,067,649 
Consumer Discretionary - 7.91%          
           
Adtalem Global Education, Inc., 5.500%, 03/01/2028(b)   4,195,000    4,137,319 
RR Donnelley & Sons Co., 9.500%, 08/01/2029(b)   13,203,000    13,615,594 
RR Donnelley & Sons Co., 10.870%, 08/01/2029(b)   8,067,000    8,329,178 
RRD Parent Inc., 10.000%, 10/15/2031(b)   212,773    377,234 
Selina Hospitality, 6.000%, 11/01/2029(a)   4,981,328    179,577 
Staples Inc., 10.750%, 09/01/2029(b)   2,345,000    2,303,962 
         28,942,864 
Consumer Staples - 1.91%          
           
Altria Group, Inc., 4.250%, 08/09/2042   8,720,000    6,972,481 
         6,972,481 
Financials - 1.63%          
           
Morgan Stanley, 0.000% (Variable Rate), 04/30/2030(i)   25,000    17,053 
Morgan Stanley, 0.000% (Variable Rate), 07/31/2030(i)   80,000    54,029 
Morgan Stanley, 0.000% (Variable Rate), 10/30/2030(i)   80,000    53,572 
Morgan Stanley, 0.000% (Variable Rate), 09/26/2033(i)   428,000    265,169 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2033(i)   266,000    168,524 
Morgan Stanley, 0.000% (Variable Rate), 02/28/2034(i)   478,000    297,784 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(i)   302,000    189,220 
Morgan Stanley, 0.000% (Variable Rate), 04/30/2034(i)   66,000    42,511 
Morgan Stanley, 0.000% (Variable Rate), 05/30/2034(I)   89,000    57,764 
Morgan Stanley, 0.000% (Variable Rate), 06/30/2034(I)   460,000    295,920 
Morgan Stanley, 0.000% (Variable Rate), 07/31/2034(I)   25,000    16,422 
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(I)   171,000    112,177 
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(I)   319,000    199,415 
Morgan Stanley, 0.000% (Variable Rate), 10/08/2034(I)   32,000    20,964 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(i)   641,000    411,769 
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(i)   256,000    161,830 
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(i)   244,000    160,265 
Morgan Stanley, 0.000% (Variable Rate), 02/27/2035(i)   36,000    23,019 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(i)   641,000    419,231 
Morgan Stanley, 0.000% (Variable Rate), 02/29/2036(i)   61,000    39,999 
Morgan Stanley, 0.000% (Variable Rate), 04/28/2036(i)   10,000    6,057 
Morgan Stanley, 0.000% (Variable Rate), 06/30/2036(i)   40,000    24,001 
Morgan Stanley, 0.000% (Variable Rate), 08/31/2036(i)   2,289,000    1,735,451 
Morgan Stanley, 0.000% (Variable Rate), 09/30/2036(i)   40,000    30,973 

 

 

Quarterly Report  |  January 31, 2025 1

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Principal Amount   Fair Value 
Morgan Stanley, 0.000% (Variable Rate), 11/29/2036(i)  $103,000   $78,444 
Morgan Stanley, 0.000% (Variable Rate), 01/31/2037(i)   224,000    170,084 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2037(i)   747,000    507,020 
Morgan Stanley, 0.000% (Variable Rate), 04/28/2037(i)   40,000    29,370 
Morgan Stanley, 0.000% (Variable Rate), 05/31/2037(i)   25,000    16,410 
Morgan Stanley, 0.000% (Variable Rate), 08/31/2037(i)   58,000    39,350 
UBS Group AG, 0.000% (Variable Rate), 07/31/2030(i)   10,000    7,831 
UBS Group AG, 0.000% (Variable Rate), 10/30/2030(i)   420,000    309,042 
         5,960,670 
Industrials - 0.25%          
           
LABL Inc., 8.625%, 10/01/2031(b)   1,017,000    919,115 
         919,115 
Real Estate - 1.22%          
           
China Evergrande Group, 8.250%, 03/23/2022(a)(e)   7,985,000    169,682 
China Evergrande Group, 9.500%, 04/11/2022(a)(e)   3,205,000    68,107 
China Evergrande Group, 11.500%, 01/22/2023(a)(e)   6,500,000    138,126 
China Evergrande Group, 10.000%, 04/11/2023(a)(e)   11,180,000    237,576 
China Evergrande Group, 7.500%, 06/28/2023(a)(e)   16,029,000    340,617 
China Evergrande Group, 12.000%, 01/22/2024(a)(e)   8,094,000    171,999 
China Evergrande Group, 9.500%, 03/29/2024(a)(e)   13,321,001    283,072 
China Evergrande Group, 10.500%, 04/11/2024(a)(e)   17,000,001    361,251 
China Evergrande Group, 8.750%, 06/28/2025(a)(e)   127,633,001    2,712,202 
         4,482,632 
           
TOTAL CORPORATE BONDS        62,345,411 
(Cost $77,024,306)          

 

   Principal Amount   Fair Value 
SENIOR LOANS - 10.33%          
Communication Services - 3.13%          
           
Gogo Intermediate Holdings LLC, Initial Term Loan, TSFR6M + 3.750%, 04/30/2028   4,611,000    4,358,617 
Level 3 Financing Inc., Term B-1 Loan, TSFR1M + 6.560%, 04/15/2029   7,000,000    7,105,000 
         11,463,617 
Consumer Discretionary - 5.38%          
           
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, TSFR3M + 5.000%, 12/29/2025(a)   304,895    120,433 
AMC Entertainment, Term Loan, TSFR1M + 9.000%, 01/04/2029(f)   1,860,667    1,893,722 
ClubCorp Holdings Inc., Term Loan, TSFR3M + 5.000%, 09/18/2026   6,118,029    3,674,795 
J Crew Group LLC, Initial Term Loan, TSFR3M + 6.000%, 09/26/2031   8,605,572    8,758,321 
NPC International, Inc., Second Lien Term Loan, 3M US L + 7.500%, 04/18/2025(j)   605,000    - 
The GEO Group, Inc., Term B Loan, TSFR1M + 5.250%, 04/13/2029   1,760,383    1,792,510 
Vortex Opco LLC, Term Loan, TSFR3M + 6.250%, 4/30/2030   3,310,000    3,457,560 
         19,697,341 

 

 

2

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Principal Amount   Fair Value 
Consumer Staples - 0.48%          
           
Moran Foods LLC, First Lien Term Loan, TSFR3M + 7.250%, 06/30/2026  $927,417   $672,378 
Moran Foods LLC, First Lien A&R 2023 FLFO PIK Term Loan, TSFR3M + 11.954%, 06/30/2026(i)   528,067    382,848 
Moran Foods LLC, First Lien A&R 2023 FLSO PIK Term Loan, TSFR3M + 11.954%, 06/30/2026(i)   968,854    702,419 
         1,757,645 
Industrials - 0.88%          
           
Multi-Color Corp., Term Loan, TSFR1M + 5.000%, 10/29/2028   3,409,847    3,203,977 
         3,203,977 
Health Care - 0.42%          
           
ModivCare Inc., Term Loan, TSFR3M + 4.750%, 07/01/2031   1,851,649    1,545,359 
         1,545,359 
           
Materials - 0.04%          
           
CPC Acquisition Corp., Second Lien Term Loan, TSFR3M + 7.750%, 12/29/2028   175,000    115,763 
         115,763 
           
TOTAL SENIOR LOANS        37,783,702 
(Cost $38,914,560)          

 

   Principal Amount   Fair Value 
SOVEREIGN DEBT OBLIGATIONS - 0.00%(d)          
Sovereign - 0.00%(d)          
           
Ukraine Government International Bond, 7.750%, 09/01/2027(e)  $29,000    9,498 
           
TOTAL SOVEREIGN DEBT OBLIGATIONS        9,498 
(Cost $22,342)          

 

   Principal Amount   Fair Value 
MORTGAGE-BACKED SECURITIES - 1.01%          
Federal National Mortgage Association (FNMA) - 1.01%          
           
FNMA, Series 427, Class C20, 2.000%, 02/25/2051   6,813,252    883,169 
FNMA, Series 437, Class C8, 2.500%, 06/25/2052   5,650,848    901,252 
FNMA, Series 428, Class C15, 3.000%, 07/25/2052   2,237,223    409,977 
FNMA, Series 429, Class C5, 3.000%, 10/25/2052   8,141,298    1,514,419 
           
TOTAL MORTGAGE-BACKED SECURITIES        3,708,817 
(Cost $3,339,521)          

 

   Shares   Fair Value 
COMMON STOCK - 13.13%          
Commercial Services - 0.07%          
           
Travelport LLC(f)   69    254,653 
         254,653 
Communication Services - 3.04%          
           
Baidu, Inc.(f)   18,367    1,664,050 
Bumble, Inc.(f)(g)   554,975    4,500,847 
Weibo Corp.(g)   506,837    4,977,139 
         11,142,036 

 

 
Quarterly Report  |  January 31, 2025 3

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Consumer Discretionary - 1.19%          
           
24 Hour Fitness Worldwide(f)   306,005   $3,060 
Arbe Robotics, Ltd.(f)   67,276    172,227 
Capri Holdings Ltd.(f)   21,827    540,873 
Evolution AB(f)   31,166    2,399,331 
Everyware Global(c)(f)(j)   43,777    - 
Next.e.GO N.V.(f)(j)   5,788    - 
PDD Holdings Inc.   6,399    716,112 
Polestar Automotive Holding UK PLC   116,694    119,028 
Winnebago Industries, Inc.(f)   8,260    394,828 
         4,345,459 
Consumer Staples - 0.00%(d)          
           
Benson Hill, Inc.(f)   3,906    10,195 
Moran Foods LLC(c)(f)(j)   3,699,885    - 
         10,195 
Energy - 0.06%          
           
Granite Ridge Resources, Inc.   33,264    205,904 
         205,904 
Financials - 4.31%          
           
Allfunds Group Plc(f)   456,625    2,353,351 
Cannae Holdings, Inc.   513,578    10,148,301 
Compass Diversified Holdings   6,949    147,666 
PagSeguro Digital, Ltd.(f)(g)   419,864    3,127,987 
         15,777,305 
Health Care - 0.26%          
           
Arbutus Biopharma Corp.(f)   204,998    682,643 
Compass Pathways PLC(f)   61,188    263,720 
         946,363 
Industrials - 1.84%          
           
Harvey Gulf International Marine LLC   24,044    1,803,300 
Vertical Aerospace Ltd.(f)   968,942    4,922,225 
         6,725,525 
Materials - 0.82%          
           
Covia Energy LLC(f)   43,354    769,540 
Covia Holdings LLC   125,999    2,236,476 
         3,006,016 
Real Estate - 0.61%          
           
Anywhere Real Estate, Inc.(f)   157,678    569,218 
Star Holdings(f)   188,549    1,676,201 
         2,245,419 

 

 

4

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Technology - 0.73%          
           
CommScope Holding Company, Inc.(f)   48,814   $246,512 
GDS Holdings Ltd.(f)   36,001    781,583 
IREN Ltd.(f)   63,045    644,311 
Scantech AI Systems, Inc.(f)   2,051    3,055 
Vertex, Inc.(f)   17,018    982,733 
         2,658,194 
Utilities - 0.20%          
           
Longview Power LLC   61,813    741,756 
         741,756 
           
TOTAL COMMON STOCK        48,058,825 
(Cost $45,066,352)          

 

   Shares   Fair Value 
CLOSED END FUNDS - 18.20%          
Alternative - 5.25%          
           
BlackRock ESG Capital Allocation Term Trust   410,267    6,818,638 
Destra Multi-Alternative Fund(f)   56,768    491,611 
Pershing Square Holdings Ltd.(f)   175,609    9,307,277 
Platinum Asia Investments Ltd.   9,984    6,486 
VGI Partners Global Investments, Ltd.   2,251,585    2,589,654 
         19,213,666 
Equity - 7.78%          
           
abrdn Japan Equity Fund, Inc.   46,838    271,660 
abrdn Emerging Markets Equity Income Fund, Inc.   865    4,619 
abrdn Healthcare Investors   5,563    101,024 
abrdn Life Sciences Investors   37,835    537,635 
Aberdeen Standard Global Infrastructure Income Fund   7,498    133,621 
Adams Diversified Equity Fund, Inc.   20,026    410,533 
ASA Gold and Precious Metals Ltd.   163,658    3,827,961 
BlackRock Health Services Term Trust   19,805    326,584 
BlackRock Innovation and Growth Term Trust   330,506    2,710,149 
BlackRock Science & Technology Trust II   7,928    167,836 
ClearBridge Energy Midstream Opportunity Fund, Inc.   10,051    496,419 
Diversified United Investment Ltd.   22,312    72,825 
GAMCO Natural Resources Gold & Income Trust   17,606    101,234 
Hearts and Minds Investments, Ltd.   1,101,858    2,198,935 
Japan Smaller Capitalization Fund, Inc.   7,794    59,858 
MFF Capital Investments, Ltd.   1,961,961    5,781,631 
Neuberger Berman MLP & Energy Income Fund, Inc.   5,040    45,965 
Neuberger Berman Next Generation Connectivity Fund, Inc.   165,408    2,221,429 
NYLI CBRE Global Infrastructure Megatrends Term Fund   74,080    925,259 
Pengana International Equities, Ltd.   4,054,812    3,088,079 
Platinum Capital, Ltd.   501,228    442,492 
Principal Real Estate Income Fund   19,297    197,408 
Taiwan Fund, Inc.   3,223    124,612 
Tortoise Energy Infrastructure Fund, Inc.   69,166    3,118,025 
Voya Emerging Markets High Dividend Equity Fund   55,342    286,118 
WAM Global Ltd.   440,916    611,283 
WCM Global Growth, Ltd.   196,127    210,943 
         28,474,137 

 

 
Quarterly Report  |  January 31, 2025 5

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Fixed Income - 4.07%          
           
AllianceBernstein National Municipal Income Fund   396   $4,380 
BlackRock California Municipal Income Trust   169,800    1,915,344 
BlackRock MuniHoldings California Quality Fund, Inc.   4,292    46,568 
BlackRock MuniHoldings New York Quality Fund, Inc.   1,704    17,688 
BlackRock MuniYield Michigan Quality Fund, Inc.   731    8,553 
BlackRock MuniYield New York Quality Fund, Inc.   179    1,808 
BlackRock MuniYield Pennsylvania Quality Fund, Inc.   4,708    55,696 
BlackRock New York Municipal Income Trust   2,297    23,797 
BlackRock Virginia Municipal Bond Trust   7    77 
BNY Mellon Strategic Municipal Bond Fund, Inc.   190    1,108 
Eaton Vance California Municipal Bond Fund   59,833    564,824 
Eaton Vance California Municipal Income Trust   9,541    96,698 
Eaton Vance New York Municipal Bond Fund   144,910    1,398,382 
Ellsworth Growth and Income Fund, Ltd.   85,672    860,147 
Federated Hermes Premier Municipal Income Fund   2,156    23,932 
MFS High Income Municipal Trust   1,680    6,300 
Neuberger Berman Municipal Fund Inc.   1,548    16,254 
New America High Income Fund, Inc.   27,003    223,585 
Nuveen Core Plus Impact Fund   119,211    1,280,326 
Nuveen New Jersey Quality Municipal Income Fund   23,533    284,973 
Nuveen Pennsylvania Quality Municipal Income Fund   61,796    713,732 
PIMCO Dynamic Income Strategy Fund   232,207    6,065,221 
Pioneer Municipal High Income Advantage Fund, Inc.   962    8,197 
Pioneer Municipal High Income Fund, Inc.   108,305    1,019,141 
Pioneer Municipal High Income Opportunities Fund, Inc.   22,791    273,708 
         14,910,439 
Mixed Allocation - 1.10%          
           
BlackRock Capital Allocation Term Trust   37,102    573,226 
Nuveen Multi-Asset Income Fund   239,668    2,979,060 
Tortoise Sustainable and Social Impact Term Fund   37,012    450,053 
         4,002,339 
           
TOTAL CLOSED END FUNDS        66,600,581 
(Cost $52,170,149)          

 

   Shares   Fair Value 
INVESTMENT TRUSTS - 10.46%          
Alternative - 6.16%          
           
Bitwise 10 Crypto Index Fund(f)(g)   335,140    22,554,922 
         22,554,922 
Equity - 4.30%          
           
BlackRock Smaller Companies Trust PLC   71,210    1,204,315 
Fidelity Emerging Markets Ltd.(f)   932,297    8,250,017 
Henderson Opportunities Trust   216,511    598,645 
Herald Investment Trust PLC(f)   2,610    76,049 
Schroder British Opportunities Trust PLC(f)   1,453,746    1,270,757 
Schroder UK Mid Cap Fund PLC   570,790    4,331,245 
         15,731,028 

 

 

6

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Mixed Allocation - 0.00%(d)          
           
Aberdeen Diversified Income and Growth Trust PLC   7,080   $3,820 
         3,820 
           
TOTAL INVESTMENT TRUSTS        38,289,770 
(Cost $21,252,391)          

 

   Shares   Fair Value 
PREFERRED STOCK - 1.06%          
Consumer Discretionary - 0.88%          
           
24 Hour Fitness Worldwide, Inc.(f)   407,959    12,239 
G-ILS Transportation Ltd. Preferred B-3(c)(f)   1,332    2,156,815 
HAAT Delivery Ltd. Preferred Seed-1(c)(f)   64,188    1,060,918 
         3,229,972 
Technology - 0.18%          
           
Xtend Reality Expansion Ltd. Preferred B-2(c)(f)   775,774    663,628 
         663,628 
           
TOTAL PREFERRED STOCK        3,893,600 
(Cost $4,373,063)          

 

   Fair Value 
PARTICIPATION AGREEMENTS - 0.31%     
      
Caesars Entertainment, Inc. (Covid Insurance Claim)(c)(f)(g)(j)   - 
PK Funding 2023 LLC(c)(f)   1,124,626 
      
TOTAL PARTICIPATION AGREEMENTS   1,124,626 
(Cost $3,444,626)     

 

   Fair Value 
PRIVATE FUNDS - 20.29%     
      
Alternative Capital Investments Fund III LP, Special Class Interests(f)   5,060,838 
Alternative Capital Investments Fund III LP, Special Class Interests 2(f)   14,405,000 
Alternative Capital Investments Fund III LP, Standard Class Interests(f)   626,812 
New Holland Special Opportunities Aggregator LP Class M Interests(h)   6,368,393 
New Holland Special Opportunities Aggregator LP Class Y Interests(f)(h)   1,452,585 
Stone Ridge Opportunities Fund Feeder LP(f)   46,346,021 
      
TOTAL PRIVATE FUNDS   74,259,649 
(Cost $55,314,768)     

 

   Shares   Fair Value 
UNIT TRUSTS - 5.97%          
Specialty - 5.97%          
           
Grayscale Digital Large Cap Fund(f)(g)   36,482    1,680,951 
Grayscale Ethereum Classic Trust(f)(g)   1,714,838    20,166,459 
           
TOTAL UNIT TRUSTS        21,847,410 
(Cost $16,290,925)          

 

 
Quarterly Report  |  January 31, 2025 7

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
SPECIAL PURPOSE ACQUISITION COMPANIES - 0.09%          
           
Deezer SA(f)   8,179   $10,649 
GP-Act III Acquisition Corp., Class A(c)(f)   30,730    17,516 
Graf Global Corp.(c)(f)(g)   20,960    10,270 
Hennessy Capital Investment Corp. VII(f)   14,189    142,316 
Nogin, Inc.(f)   11,264    451 
Plum Acquisition Corp. IV(f)   16,218    162,818 
           
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES        344,020 
(Cost $801,861)          

 

   Contracts   Fair Value 
WARRANTS - 0.43%          
           
A SPAC II Acquisition Corp., Expires 05/03/2027, Strike Price $11.50(f)   34,421    671 
Abpro Holdings Inc., Expires 11/12/2029, Strike Price $11.50(f)   80,774    4,846 
AirJoule Technologies Corp., Expires 03/15/2029, Strike Price $11.50(f)   37,175    43,866 
Agrinam Acquisition Corp., Expires 06/30/2027, Strike Price $11.50(f)   19,798    99 
Airship AI Holdings Inc., Expires 12/31/2028, Strike Price $11.50(f)   10,588    15,353 
AleAnna Inc., Expires 12/13/2026, Strike Price $11.50(f)   132    43 
Allurion Technologies Inc., Expires 08/01/2030, Strike Price $8.10(f)   16,492    726 
Alternus Clean Energy Inc., Expires 02/24/2028, Strike Price $11.50(f)   49,587    1,983 
APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50(f)   3,981    239 
Arverne Group SA, Expires 09/20/2028, Strike Price $11.50(f)   33,822    3,509 
Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50(f)(j)   36,968    - 
Aura FAT Projects Acquisition Corp., Expires 06/02/2027, Strike Price $11.50(f)   58,439    1,683 
Baird Medical Investment Holdings Ltd., Expires 10/02/2029, Strike Price $11.50(f)   22,349    3,015 
Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50(f)   36,968    2,534 
Bellevue Life, Sciences Acquisi, Expires 02/10/2028, Strike Price $11.50(f)   14,638    479 
BenevolentAI, Expires 06/30/2026, Strike Price $11.50(f)   7,014    73 
Benson Hill Inc., Expires 09/29/2026, Strike Price $402.50(c)(f)   187,607    9,337 
Bitcoin Depot Inc., Expires 07/03/2028, Strike Price $11.50(f)   116,262    9,301 
BitFuFu Inc., Expires 06/07/2028, Strike Price $11.50(f)   29,951    12,013 
Blaize Holdings Inc., Expires 12/18/2026, Strike Price $11.50(f)   15,003    7,652 
Borealis Foods Inc., Expires 08/26/2026, Strike Price $11.50(f)   20,287    2,161 
Brand Engagement Network Inc., Expires 03/14/2029, Strike Price $11.50(f)   25,249    833 
Cactus Acquisition Corp. 1, Ltd., Expires 10/29/2026, Strike Price $11.50(f)   21,180    7,445 
Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50(f)   154,766    15 
Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50(f)   69,120    691 
Captivision Inc., Expires 11/16/2028, Strike Price $11.50(f)   43,794    810 
Cardio Diagnostics Holdings, Inc., Expires 12/01/2026, Strike Price $11.50(f)   19,933    1,650 
Carmell Therapeutics Corp., Expires 07/12/2028, Strike Price $11.50(f)   3,816    106 
CARTESIAN GROWTH Corp. II, Expires 07/12/2028, Strike Price $11.50(f)   5,984    523 
Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50(f)   74,354    21,563 
CERo Therapeutics Holdings Inc., Expires 02/14/2029, Strike Price $11.50(f)   21,939    393 
Chain Bridge I, Expires 12/31/2028, Strike Price $11.50(f)   33,367    2,087 
Chenghe Acquisition I Co., Expires 04/22/2027, Strike Price $11.50(f)   400    23 
Chenghe Acquisition I Co., Expires 01/25/2028, Strike Price $11.50(f)   37,849    2,649 

 

 

8

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Contracts   Fair Value 
ClimateRock, Expires 06/01/2027, Strike Price $11.50(f)   11,778   $307 
Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50(f)   25,741    3,738 
Conduit Pharmaceuticals Inc., Expires 02/03/2027, Strike Price $11.50(f)   51,468    674 
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027, Strike Price $11.50(f)   38,488    19,640 
Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50(f)   41,045    8,619 
Critical Metals Corp., Expires 06/06/2028, Strike Price $11.50(f)   43,590    21,355 
Currenc Group Inc., Expires 05/19/2027, Strike Price $11.50(f)   55,058    446 
Deezer SA, Expires 06/07/2027, Strike Price $11.50(f)   95,238    49 
Denali Capital Acquisition Corp., Expires 04/07/2027, Strike Price $11.50(f)   27,621    1,456 
DIH Holdings US Inc., Expires 02/07/2028, Strike Price $11.50(f)   63,578    2,092 
Distoken Acquisition Corp., Expires 03/30/2028, Strike Price $11.50(f)   5,841    93 
DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50(f)   5,996    184 
Engene Holdings Inc., Expires 08/28/2028, Strike Price $11.50(f)   5,604    5,324 
EVe Mobility Acquisition Corp., Expires 12/31/2028, Strike Price $11.50(f)   27,110    1,221 
Everest Consolidator Acquisition Corp., Expires 07/19/2028, Strike Price $11.50(f)   50,492    1,015 
Evergreen Corp., Expires 02/15/2027, Strike Price $11.50(f)   70,092    3,855 
Finnovate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50(f)   71,462    2,576 
flyExclusive Inc., Expires 05/28/2028, Strike Price $11.50(f)   27,981    7,835 
Fortune Rise Acquisition Corp., Expires 12/06/2027, Strike Price $11.50(f)   15,616    72 
Four Leaf Acquisition Corp., Expires 05/12/2028, Strike Price $11.50(f)   3,750    169 
FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50(f)   21,266    20,203 
Future Health ESG Corp., Expires 09/09/2026, Strike Price $11.50(f)   37,402    2,104 
FutureTech II Acquisition Corp., Expires 02/16/2027, Strike Price $11.50(f)   48,383    1,205 
GCT Semiconductor Holding Inc., Expires 12/31/2028, Strike Price $11.50(f)   54,452    6,643 
Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50(f)   6,030    167 
Global Blockchain Acquisition Corp., Expires 05/10/2027, Strike Price $11.50(f)   40,470    2,529 
Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50(f)   14,771    159 
GP-Act III Acquisition Corp., Class B Warrants, Expires 01/25/2029, Strike Price $11.50(c)(f)   38,411    196 
GP-Act III Acquisition Corp., Class B Warrants, Expires 01/25/2029, Strike Price $11.50(c)(f)(g)   26,200    144 
GP-Act III Acquisition Corp., Expires 12/31/2027, Strike Price $11.50(f)   42,413    5,938 
Graphjet Technology, Expires 11/16/2026, Strike Price $11.50(f)   45,714    1,509 
Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50(f)   18,681    443 
HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50(f)   17,425    99 
HNR Acquisition Corp., Expires 11/15/2028, Strike Price $11.50(f)   44,874    3,271 
Holdco Nuvo Group DG Ltd., Expires 05/01/2029, Strike Price $11.50(f)   63,179    101 
Hwh International Inc., Expires 02/02/2027, Strike Price $11.50(f)   13,297    641 
iCoreConnect Inc., Expires 05/15/2028, Strike Price $11.50(f)   1,112    212 
Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50(f)   2,402    205 
Integrated Rail and Resources Acquisition Corp., Expires 11/12/2026, Strike Price $11.50(f)   48,874    12,218 
Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50(f)   1,475    39 
Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50(f)   24,645    297 
Investcorp India Acquisition Corp., Expires 06/28/2027, Strike Price $11.50(f)   37,472    603 
Iris Acquisition Corp., Expires 03/05/2026, Strike Price $11.50(f)   27,683    1,799 
Israel Acquisitions Corp., Expires 02/28/2028, Strike Price $11.50(f)   35,717    4,290 
IX Acquisition Corp., Expires 11/24/2026, Strike Price $11.50(f)   112    8 
Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50(f)   19,820    772 
Kairous Acquisition Corp. Ltd, Expires 09/15/2026, Strike Price $11.50(f)   6,746    466 
Klotho Neurosciences, Inc., Expires 06/21/2029, Strike Price $11.50(f)   32,327    1,131 
LeddarTech Holdings Inc., Expires 12/21/2028, Strike Price $11.50(f)   21,521    1,840 

 

 
Quarterly Report  |  January 31, 2025 9

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Contracts   Fair Value 
Lifezone Metals Ltd., Expires 07/05/2028, Strike Price $11.50(f)   46,340   $31,048 
Metal Sky Star Acquisition Corp., Expires 04/01/2027, Strike Price $11.50(f)   40,420    1,411 
Mountain & Co. I Acquisition Corp., Expires 09/30/2026, Strike Price $11.50(f)   62,660    811 
Murano Global BV, Expires 03/30/2029, Strike Price $11.50(f)   10,493    2,622 
New Horizon Aircraft Ltd., Expires 04/03/2028, Strike Price $11.50(f)   11,690    614 
NewGenIvf Group Ltd., Expires 06/26/2028, Strike Price $11.50(f)(j)   1    - 
Nogin, Inc., Expires 08/26/2027 Strike Price $11.50(f)   8,372    72 
NorthView Acquisition Corp., Expires 08/02/2027, Strike Price $11.50(f)   19,197    1,325 
Nvni Group Ltd., Expires 11/01/2028, Strike Price $11.50(f)   15,665    3,128 
Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50(f)   76,584    4,293 
Patria Latin American Opportunity Acquisition Corp., Expires 03/10/2027, Strike Price $11.50(f)   46,145    1,740 
Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50(f)   18,484    637 
Perception Capital Corp IV., Expires 11/10/2026, Strike Price $11.50(f)   31,463    3,187 
Pinstripes Holdings Inc., Expires 09/30/2028, Strike Price $11.50(f)   45,560    364 
Pono Capital Two, Inc., Expires 10/17/2029, Strike Price $11.50(f)   9,738    2,824 
PowerUp Acquisition Corp., Expires 02/18/2027, Strike Price $11.50(f)   70,545    2,469 
Psyence Biomedical Ltd., Expires 01/25/2029, Strike Price $11.50(f)   30,398    599 
QT Imaging Holdings Inc., Expires 12/31/2028, Strike Price $11.50(f)   3,954    124 
Real Messenger Corp., Expires 11/19/2029, Strike Price $11.50(f)   31,088    1,299 
Relativity Acquisition Corp., Expires 02/11/2027, Strike Price $11.50(f)   45,142    2,126 
RF Acquisition Corp., Expires 05/01/2028, Strike Price $11.50(f)   19,704    1,330 
Rigel Resource Acquisition Corp., Expires 11/05/2026, Strike Price $11.50(f)   17,070    5,635 
Roadzen Inc., Expires 11/30/2028, Strike Price $11.50(f)   55,430    4,451 
Roth CH Acquisition Co., Expires 10/29/2028, Strike Price $11.50(f)   48,884    3,427 
Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50(f)   28,225    2,546 
Selina Hospitality PLC, Expires 10/25/2027, Strike Price $11.50(f)   218,500    1,311 
ShoulderUp Technology Acquisition Corp., Expires 11/17/2026, Strike Price $11.50(f)   94,845    3,215 
SMX Security Matters PLC, Expires 03/07/2028, Strike Price $18,975.00(f)   36,580    1,064 
Solidion Technology Inc., Expires 11/16/2026, Strike Price $11.50(f)   29,262    3,804 
Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50(f)   6,161    1,217 
Spectaire Holdings Inc., Expires 10/17/2028, Strike Price $11.50(f)   58,258    251 
Spree Acquisition Corp. 1 Ltd., Expires 12/22/2028, Strike Price $11.50(f)   20,337    205 
Spring Valley Acquisition Corp. II, Expires 02/25/2026, Strike Price $11.50(f)   13,573    814 
SpringBig Holdings, Inc., Expires 06/14/2027, Strike Price $11.50(f)   24,279    25 
Syntec Optics Holdings Inc., Expires 11/08/2026, Strike Price $11.50(f)   27,378    2,053 
Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50(f)   18,073    1,130 
Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50(f)   52,993    9,677 
TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50(f)   68,311    3,757 
TNL Mediagene, Expires 06/14/2028, Strike Price $11.50(f)   16,257    488 
Toyo Co Ltd., Expires 01/10/2029, Strike Price $11.50(f)   23,302    1,864 
United Homes Group, Inc., Expires 01/28/2028, Strike Price $11.50(f)   7,827    6,024 
Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50(f)   60,778    4,613 
Vast Solar Pty Ltd., Expires 07/01/2028, Strike Price $11.50(f)   87,846    5,174 
Verde Clean Fuels, Inc., Expires 12/31/2027, Strike Price $11.50(f)   327    101 
Vertical Aerospace, Ltd. Class A Warrants, Expires 01/22/2030, Strike Price $11.50(c)(f)   484,471    363,353 
Vertical Aerospace, Ltd. Class B Warrants, Expires 01/22/2030, Strike Price $11.50(c)(f)   484,471    750,930 
Volato Group Inc., Expires 12/03/2028, Strike Price $11.50(f)   20,757    745 
VSee Health, Inc., Expires 11/04/2028, Strike Price $11.50(f)   17,198    1,063 
Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50(f)   29,980    1,502 

 

 

10

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Contracts   Fair Value 
Yotta Acquisition Corp., Expires 03/15/2027, Strike Price $11.50(f)   47,369   $2,293 
Zapata Computing Holdings Inc., Expires 03/23/2028, Strike Price $11.50(f)(j)   24,523    - 
Zapp Electric Vehicles Group L, Expires 03/03/2028, Strike Price $230.00(f)   11,642    125 
Zeo Energy Corp., Expires 03/14/2029, Strike Price $11.50(f)   61,116    7,258 
Zoomcar Holdings Inc., Expires 07/01/2028, Strike Price $11.50(f)   71,432    1,428 
Zooz Power Ltd., Expires 04/04/2029, Strike Price $11.50(f)   24,349    1,703 
ZyVersa Therapeutics Inc., Expires 12/12/2027, Strike Price $4,025.00(f)   7,099    496 
           
TOTAL WARRANTS        1,564,088 
(Cost $1,499,652)          

 

   Contracts   Fair Value 
RIGHTS - 0.02%          
           
A SPAC II Acquisition Corp., Expires 12/31/2049(f)   68,843    17,011 
Agrinam Acquisition Corp., Expires 12/31/2049(f)   19,798    99 
Bellevue Life Sciences Acquisition Corp., Expires 02/14/2025(f)   14,638    2,928 
Broad Capital Acquisition Corp., Expires 01/13/2025(f)   53,360    10,138 
ClimateRock, Expires 06/01/2027(f)   23,557    2,316 
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027(f)   69,644    10,725 
Distoken Acquisition Corp., Expires 11/18/2025(f)   5,841    678 
Global Blockchain Acquisition Corp., Expires 12/31/2049(f)   40,470    3,845 
Globalink Investment, Inc., Expires 12/23/2071(f)   4,837    216 
GSR III Acquisition Corp., Expires 12/19/2074(f)   3,183    4,774 
Inception Growth Acquisition, Ltd., Expires 01/21/2072(f)   7,394    1,035 
Kairous Acquisition Corp. Ltd., Expires 01/20/2072(f)   13,555    2,793 
Metal Sky Star Acquisition Corp., Expires 12/31/2049(f)   40,420    2,399 
Mountain Crest Acquisition Corp. V, Expires 12/31/2049(f)   8,917    331 
NorthView Acquisition Corp., Expires 12/31/2049(f)   38,482    2,665 
RF Acquisition Corp., Expires 12/31/2049(f)   19,704    4,731 
Sagaliam Acquisition Corp., Expires 12/31/2049(f)   84,310    4,422 
Spring Valley Acquisition Corp. II, Expires 10/17/2025(f)   27,147    2,444 
Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049(f)   29,573    3,993 
Yotta Acquisition Corp., Expires 12/31/2049(f)   29,453    2,827 
           
TOTAL RIGHTS        80,370 
(Cost $107,158)          

 

   Contracts   Fair Value 
OPTIONS - 1.43%(k)          
           
Put Option Contracts - 1.43%          
           
S&P 500 Index, Expires 02/21/2025, Strike Price $5,810(f)   14    26,348 
S&P 500 Index, Expires 02/21/2025, Strike Price $5,825(f)   9    18,963 
S&P 500 Index, Expires 02/21/2025, Strike Price $5,995(f)   272    1,503,072 
S&P 500 Index, Expires 03/21/2025, Strike Price $5,815(f)   4    20,532 
S&P 500 Index, Expires 03/21/2025, Strike Price $5,850(f)   26    144,560 
S&P 500 Index, Expires 03/21/2025, Strike Price $5,855(f)   12    65,160 
S&P 500 Index, Expires 03/21/2025, Strike Price $5,865(f)   1    6,104 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,825(f)   31    233,368 

 

 
Quarterly Report  |  January 31, 2025 11

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Contracts   Fair Value 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,830(f)   10   $71,700 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,845(f)   11    85,195 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,850(f)   10    77,890 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,860(f)   21    169,785 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,895(f)   33    222,849 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,910(f)   8    57,280 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,915(f)   20    188,480 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,920(f)   20    189,580 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,950(f)   11    110,011 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,955(f)   55    631,400 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,955(f)   21    219,870 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,965(f)   15    126,450 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,970(f)   23    246,215 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,975(f)   21    235,830 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,980(f)   6    66,000 
S&P 500 Index, Expires 04/17/2025, Strike Price $5,985(f)   19    159,600 
S&P 500 Index, Expires 04/17/2025, Strike Price $6,000(f)   31    359,600 
         5,235,842 
           
TOTAL OPTIONS        5,235,842 
(Premiums paid $6,799,431)          

 

   Shares   Fair Value 
MONEY MARKET FUNDS - 1.87%          
           
BNY Mellon U.S. Treasury Fund, 7 Day Yield, 4.020%(g)(h)   937,874    937,874 
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield, 4.770%   5,864,893    5,864,893 
           
TOTAL MONEY MARKET FUNDS        6,802,767 
(Cost $6,802,767)          
           
Total Investments in Securities - 101.64%        371,948,976 
(Cost $333,223,872)          

 

INVESTMENT IN AFFILIATED FUND

 

   Shares   Fair Value 
CLOSED END FUNDS - 0.24%          
Fixed Income - 0.24%          
           
Saba Capital Income & Opportunities Fund II   93,150    870,952 
           
Total Investment in Affiliated Fund - 0.24%        870,952 
(Cost $712,074)          
           
Other Liabilities in Excess of Assets - (1.88%)        (6,887,678)
           
NET ASSETS - 100.00%       $365,932,250 

 

Amounts above are shown as a percentage of net assets as of January 31, 2025.

 

 

12

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

SCHEDULE OF SECURITIES SOLD SHORT

 

   Principal Amount   Fair Value 
CORPORATE BONDS - (1.59%)          
Industrials - (1.01%)          
           
Icahn Enterprises LP/Icahn Enterprises Finance Corporation, 4.375%, 02/01/2029  $(696,000)  $(603,780)
Icahn Enterprises LP/Icahn Enterprises Finance Corporation, 5.250%, 05/15/2027   (3,169,000)   (3,077,891)
         (3,681,671)
Real Estate - (0.58%)          
           
CPI Property Group SA, 1.750%, 01/14/2030(e)   (2,462,000)   (2,152,281)
         (2,152,281)
           
TOTAL CORPORATE BONDS        (5,833,952)
(Proceeds $5,892,314)          

 

   Principal Amount   Fair Value 
SOVEREIGN DEBT OBLIGATIONS - (60.88%)          
Sovereign - (60.88%)          
           
United States Treasury, 4.125%, 01/31/2027(f)   (51,385,300)   (51,311,033)
United States Treasury, 4.125%, 10/31/2029   (39,602,000)   (39,253,162)
United States Treasury, 4.375%, 12/31/2029(f)   (55,309,000)   (55,417,023)
United States Treasury, 4.250%, 11/15/2034(f)   (78,572,001)   (76,784,180)
           
TOTAL SOVEREIGN DEBT OBLIGATIONS        (222,765,398)
(Proceeds $223,831,291)          

 

   Shares   Fair Value 
COMMON STOCK - (13.15%)          
Communications - (1.54%)          
           
Alphabet Inc., Class A Common Shares   (1,896)   (386,822)
Alphabet Inc., Class C Common Shares(f)   (3,963)   (814,793)
Delivery Hero SE(b)   (2,989)   (77,241)
DoorDash, Inc.   (2,092)   (395,032)
Freenet AG(f)   (7,046)   (215,923)
Meta Platforms, Inc.   (879)   (605,789)
NetEase, Inc.   (2,396)   (246,429)
Netflix, Inc.   (85)   (83,025)
Pinterest, Inc.   (2,480)   (81,741)
ROBLOX Corp.   (3,555)   (252,654)
Scout24 SE(b)(f)   (2,525)   (244,917)
Spotify Technology SA.   (361)   (198,027)
System1, Inc.(f)   (78,907)   (51,621)
The Trade Desk, Inc.(f)   (2,118)   (251,364)
Uber Technologies, Inc.   (78)   (5,214)
Universal Music Group NV(f)   (25,914)   (724,232)
Upwork Inc.   (19,049)   (300,212)
Zillow Group, Inc.   (8,516)   (700,186)
         (5,635,222)

 

 
Quarterly Report  |  January 31, 2025 13

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Consumer Discretionary - (1.49%)          
           
Alibaba Group Holding, Ltd.   (37)  $(3,657)
Amazon.com, Inc.   (5,996)   (1,425,129)
Chegg, Inc.   (14,927)   (22,988)
Chipotle Mexican Grill, Inc.(f)   (11,810)   (689,114)
Cie Financiere Richemont SA   (776)   (150,897)
CTS Eventim AG & Co. KGaA   (4,089)   (399,801)
Hilton Worldwide Holdings Inc.   (4,312)   (1,104,174)
JD.com Inc.   (3,742)   (152,374)
Lowe's Cos Inc.   (242)   (62,930)
MercadoLibre, Inc.   (196)   (376,749)
PDD Holdings Inc.   (1,036)   (115,939)
Restaurant Brands International Inc.(f)   (6,762)   (416,133)
Rivian Automotive, Inc.   (911)   (11,442)
Sanlorenzo SpA/Ameglia   (8)   (296)
Sweetgreen, Inc.(f)   (4,933)   (162,394)
Tesla, Inc.   (55)   (22,253)
The Home Depot, Inc.(f)   (551)   (227,001)
Wayfair Inc.   (1,942)   (93,935)
Zalando SE(b)   (731)   (27,240)
         (5,464,446)
Consumer Staples - (0.08%)          
           
Heineken Holding NV   (2,528)   (152,763)
Heineken NV   (1,749)   (121,747)
HelloFresh SE   (2,395)   (26,411)
         (300,921)
Energy - (2.46%)          
           
Antero Midstream Corp.   (15,233)   (244,337)
Archrock, Inc.   (598)   (16,798)
Civitas Resources, Inc.   (386)   (19,593)
ConocoPhillips   (929)   (91,813)
DT Midstream, Inc.   (2,764)   (279,385)
Enbridge, Inc.   (8,338)   (360,576)
Energy Transfer LP   (62,519)   (1,280,389)
Enterprise Products Partners LP   (26,230)   (856,410)
EQT Corp.   (1,158)   (59,197)
Exxon Mobil Corp.   (896)   (95,720)
Genesis Energy LP   (1,072)   (11,277)
Kinder Morgan, Inc.   (9,040)   (248,419)
Koninklijke Vopak NV(f)   (6,454)   (296,605)
MPLX LP   (17,554)   (912,984)
Neste Oyj   (1,283)   (16,285)
Occidental Petroleum Corp.   (508)   (23,698)
ONEOK Inc   (5,773)   (560,930)
Pembina Pipeline Corp.   (3,934)   (142,001)
Plains All American Pipeline LP   (8,137)   (161,113)

 

 

14

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Plains GP Holdings LP   (23,067)  $(487,867)
Targa Resources Corp.   (5,455)   (1,073,544)
TC Energy Corp.   (6,603)   (297,540)
Western Midstream Partners LP   (13,942)   (573,713)
Williams Cos., Inc.   (15,785)   (874,963)
         (8,985,157)
Financials - (1.06%)          
           
Adyen NV(b)   (54)   (87,951)
Allfunds Group Plc(f)   (28,484)   (146,801)
American Express Co.(f)   (1,091)   (346,338)
Bank of America Corp.(f)   (5,681)   (263,030)
BFF Bank SpA.(b)   (12,822)   (110,270)
CME Group Inc.(f)   (826)   (195,366)
Credicorp Ltd.   (961)   (175,959)
Intercontinental Exchange, Inc.(f)   (1,139)   (182,046)
MarketAxess Holdings, Inc.   (1,305)   (287,922)
MasterCard Inc.   (1,615)   (897,019)
Paysafe Ltd.(f)   (14,028)   (272,143)
Van Lanschot Kempen N.V.   (8)   (396)
Visa Inc.   (2,642)   (903,036)
         (3,868,277)
Health Care - (0.88%)          
           
10X Genomics Inc.   (2,482)   (37,230)
Alnylam Pharmaceuticals, Inc.   (5,010)   (1,359,263)
Bayer AG   (687)   (15,326)
Denali Therapeutics Inc.   (556)   (12,955)
DexCom Inc.   (908)   (78,842)
Exact Sciences Corp.   (6,763)   (379,066)
Genmab A/S   (376)   (74,460)
Grail, Inc.(f)   (20)   (606)
Illumina, Inc.   (121)   (16,062)
Merck & Co Inc.   (964)   (95,262)
Moderna, Inc.   (835)   (32,916)
Novo Nordisk A/S   (6,106)   (515,652)
Novocure Ltd.   (8,253)   (202,364)
PACIRA BIOSCIENCES INC.   (4,237)   (111,560)
Progyny Inc.   (4,555)   (105,539)
STAAR Surgical Co.   (7,346)   (177,700)
         (3,214,803)
Industrials - (2.58%)          
           
Accelleron Industries AG(f)   (4,671)   (234,589)
Aerovironment Inc.   (1,735)   (312,560)
Alight, Inc.(f)   (230,625)   (1,579,781)
American Superconductor Corp.(f)   (4,827)   (126,805)
Arcadis NV.   (1,981)   (113,543)
Axon Enterprise, Inc.   (1,884)   (1,228,707)
Bilfinger SE(f)   (5,118)   (263,877)
Bravida Holding AB(b)   (3,360)   (26,864)

 

 
Quarterly Report  |  January 31, 2025 15

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Canadian Pacific Kansas City Ltd.(f)   (4,332)  $(344,827)
Deere & Co.   (261)   (124,382)
Dun & Bradstreet Holdings, Inc.   (393,589)   (4,841,145)
Fugro NV(f)   (2,364)   (37,890)
Generac Holdings, Inc.   (46)   (6,869)
Hexpol AB.   (4,048)   (37,932)
Interpump Group SpA   (248)   (11,763)
Prysmian SpA   (338)   (23,612)
TKH Group NV   (1,725)   (63,671)
Trelleborg AB   (507)   (19,159)
Watsco Inc.   (110)   (52,645)
         (9,450,621)
Real Estate - (0.23%)          
           
CoStar Group Inc.   (2,236)   (171,278)
TAG Immobilien AG(f)   (18,785)   (278,087)
The Howard Hughes Corporation(f)   (5,042)   (385,058)
         (834,423)
Technology - (2.76%)          
           
Appian Corp.   (264)   (9,264)
Apple, Inc.   (16,104)   (3,800,544)
Arista Networks Inc.(f)   (60)   (6,914)
ASML Holding NV   (543)   (407,102)
Atoss Software AG(f)   (313)   (37,406)
BE Semiconductor Industries NV   (1,112)   (143,852)
Blackline Inc.   (815)   (52,038)
Cloudflare, Inc.   (2,965)   (410,356)
Datadog Inc.   (1,033)   (147,419)
Descartes Systems Group, Inc.   (313)   (36,231)
Doximity Inc.   (4,288)   (253,421)
Duolingo Inc.   (1,314)   (478,283)
Fabrinet.   (51)   (11,027)
HashiCorp Inc.   (1,974)   (67,511)
HubSpot, Inc.   (16)   (12,472)
Inficon Holding AG(f)   (135)   (174,911)
Infineon Technologies AG   (999)   (32,656)
Infosys Ltd.   (8,959)   (196,650)
Microsoft Corp.   (55)   (22,828)
MongoDB Inc.   (83)   (22,686)
Monolithic Power Systems Inc.   (120)   (76,484)
NVIDIA Corp.   (138)   (16,570)
Pegasystems Inc.   (933)   (101,035)
Rapid7, Inc.(f)   (1,973)   (76,000)
Salesforce Inc.   (239)   (81,666)
ServiceNow, Inc.   (9)   (9,165)
Shopify Inc.   (4,260)   (496,421)
Snowflake Inc.   (652)   (118,345)
SPS Commerce Inc.   (240)   (44,323)
Taiwan Semiconductor Manufacturing Co., Ltd.   (11,855)   (2,481,489)
Varonis Systems Inc.   (1,416)   (64,230)
Workday, Inc.   (817)   (214,103)
         (10,103,402)

 

 

16

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

   Shares   Fair Value 
Utilities - (0.07%)          
           
AES Corp.   (966)  $(10,626)
Ameren Corp.   (169)   (15,920)
CenterPoint Energy, Inc.   (1,383)   (45,044)
Constellation Energy Corp.   (15)   (4,500)
DTE Energy Co.   (277)   (33,207)
Duke Energy Corp.   (184)   (20,606)
Eversource Energy   (54)   (3,115)
NextEra Energy, Inc.   (918)   (65,693)
NextEra Energy Partners LP   (1,950)   (20,565)
PPL Corp.   (921)   (30,980)
Xcel Energy, Inc.   (42)   (2,891)
         (253,147)
           
TOTAL COMMON STOCK        (48,110,419)
(Proceeds $40,167,571)          

 

   Shares   Fair Value 
EXCHANGE TRADED FUNDS - (4.74%)          
Alternative - (4.74%)          
           
Grayscale Bitcoin Mini Trust B(f)   (54,060)   (2,433,241)
Grayscale Bitcoin Trust(f)(g)   (185,552)   (14,920,236)
         (17,353,477)
           
TOTAL EXCHANGE TRADED FUNDS        (17,353,477)
(Proceeds $17,488,214)          

 

   Shares   Fair Value 
PREFERRED STOCK - (0.05%)          
Materials - (0.05%)          
           
Fuchs Petrolub SE   (3,635)   (164,790)
           
TOTAL PREFERRED STOCK        (164,790)
(Proceeds $161,014)          
           
Total Securities Sold Short - (80.41%)        (294,228,036)
(Proceeds $287,540,404)          

 

 
Quarterly Report  |  January 31, 2025 17

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

(a) Security is in default as of year-end and is therefore non-income producing.
(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 $40,756,230, which represented approximately 11.14% of net assets as of January 31, 2025. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(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, 2025, the aggregate market value of those securities was $4,482,632, which represents approximately 1.22% 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) A portion or all of the security is owned by BRW SPV II, a wholly-owned subsidiary of the Fund.
(i) 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, 2025, the current coupon rate for these notes is 0%.
(j) At January 31, 2025, the value of these investments amounted to $0, representing 0.0% of the net assets of the Fund.
(k) At January 31, 2025, all options held by the Fund are exchange traded listed options.

 

Investment Abbreviations:

ESTRON - Euro Short-Term Rate

OBFR - United States Overnight Bank Funding Rate

LIBOR - London Interbank Offered Rate

RBACOR - RBA Interbank Overnight Cash Rate

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Over Night Index Average

 

Reference Rates:

ESTRON - Euro Short-Term Rate as of January 31, 2025 was 3.034%

OBFR - United States Overnight Bank Funding Rate as of January 31, 2025 was 4.330%

SOFR - Secured Overnight Financing Rate as of January 31, 2025 was 4.380%

3M US L - 3 Month LIBOR as of September 30, 2024 was 4.853%

TSFR1M - CME Term SOFR 1 Month as of January 31, 2025 was 4.313%

TSFR3M - CME Term SOFR 3 Month as of January 31, 2025was 4.302%

TSFR6M - CME Term SOFR 6 Month as of January 31, 2025 was 4.248%

SONIA - Sterling Overnight Index Average as of January 31, 2025 was 4.704%

 

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

 

Currency Abbreviations:

USD - United States Dollar

AUD - Australian Dollar

EUR - Eurozone Currency

GBP - Great British Pound

 

 

18

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

SIMPLE AGREEMENT FOR FUTURE EQUITY (SAFE) CONTRACTS

 

   Cost   Fair Value 
AEYE Health Inc.(a)  $1,000,000   $1,236,109 
BeeHero Ltd.(a)   321,841    325,728 
Quantalx Neuroscience Ltd.(a)   3,000,000    3,324,094 
Real View Imaging Ltd.(a)   2,250,000    2,284,432 
   $6,571,841   $7,170,363 

 

(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.

 

FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty  Settlement
Date		  Fund
Receiving		  Value   Fund
Delivering		  Cost   Unrealized
Appreciation		 
JPM  04/07/2025  GBP  $4,834,607   USD  $4,789,398   $45,209 
JPM  04/07/2025  USD   678,000   EUR   676,298    1,702 
JPM  04/07/2025  USD   20,399,618   GBP   20,230,970    168,648 
                      $215,559 

 

Counterparty  Settlement
Date		  Fund
Receiving		  Value   Fund
Delivering		  Cost   Unrealized
Depreciation		 
JPM  02/13/2025  CAD  $550,648   USD  $555,277   $(4,629)
JPM  02/25/2025  GBP   71,161,042   EUR   71,180,282    (19,240)
JPM  02/25/2025  GBP   23,680,690   USD   24,126,700    (446,010)
JPM  04/07/2025  GBP   3,718,928   USD   3,742,947    (24,019)
JPM  02/10/2025  USD   17,543,037   AUD   17,550,716    (7,679)
JPM  04/07/2025  USD   3,252,650   GBP   3,285,054    (32,404)
JPM  02/10/2025  USD   2,422,967   SEK   2,435,971    (13,004)
                      $(546,985)
                      $(331,426)

 

FUTURES CONTRACTS

 

Description  Number of
Contracts		  Maturity
Date		  Notional
Amount		   Unrealized
Appreciation/
(Depreciation)		 
Short Position Contracts                
                 
NASDAQ 100 E-Mini Mar25  (12)  03/31/2025  $5,379,003   $197,583 
S&P500 E-Mini Mar25  (346)  03/31/2025   103,407,746    (1,555,679)
US 5YR NOTE (CBT) Mar25  (174)  03/31/2025   18,654,024    142,056 
              $(1,216,040)
              $(1,216,040)

 

 
Quarterly Report  |  January 31, 2025 19

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

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

 

Counterparty  Description  Maturity
Date		  Notional
Amount		   Net Unrealized
Appreciation/
(Depreciation)		 
MSCO  FNCL 5.5 3/24 TBA MSFTA  03/11/2025  $264,602,000   $3,715,806 
MSCO  FNCL 6 3/24 TBA MSFTA  03/11/2025   105,628,000    63,955 
              $3,779,761 

 

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)		   Fair Value   Upfront
Premiums
Received/(Paid)		   Unrealized
Appreciation/
(Depreciation)		 
Sell  CSC Holdings Ltd.   5.00%  USD  06/20/2028  $800,000   $(125,574)  $298,000   $172,426 
Buy  RR Donnelley & Sons Co.   (5.00)%  USD  06/20/2028   2,434,000    (79,615)   153,219    73,604 
Buy  RR Donnelley & Sons Co.   (5.00)%  USD  06/20/2029   6,468,000    (143,536)   629,074    485,538 
                      $(348,725)  $1,080,293   $731,568 

 

INDEX CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)

 

Buy/Sell Protection(a)  Reference Obligations  Annual
Payment
Rate
Received
(Paid)		   Currency  Maturity
Date		  Notional
Amount(b)		   Fair Value   Upfront
Premiums
Received/(Paid)		   Unrealized
Appreciation/
(Depreciation)		 
Buy  Markit CDX High Yield Index, Series 42   (5.00)%  USD  06/20/2029  $994,600   $88,667   $(44,757)  $43,910 
Buy  Markit CDX High Yield Index, Series 43   (5.00)%  USD  12/20/2029   54,005,000    4,619,807    (4,501,147)   118,660 
Buy  Markit iTraxx Europe Subordinated Financials Index, Series 39   (1.00)%  USD  06/20/2028   45,000,000    (493,459)   (2,626,045)   (3,119,504)
                      $4,215,015   $(7,171,949)  $(2,956,934)

 

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)		   Fair Value   Upfront
Premiums
Received/(Paid)		   Unrealized
Appreciation/
(Depreciation)		 
Sell  BARC  AT&T Inc.   1.00%  USD  06/20/2025  $2,249,000   $9,045   $(11,224)  $(2,179)
Sell  GSI  Bristol-Myers Squibb Company   1.00%  USD  12/20/2027   10,000,000    229,407    (268,823)   (39,416)
Sell  MSCS  Bristol-Myers Squibb Company   1.00%  USD  12/20/2027   10,000,000    229,407    (257,109)   (27,702)
Sell  MSCS  Bristol-Myers Squibb Company   1.00%  USD  06/20/2029   14,307,000    412,526    (449,191)   (36,665)
Sell  GSI  International Business Machines Corporation   1.00%  USD  12/20/2027   20,642,000    471,976    (395,100)   76,876 
Sell  GSI  International Business Machines Corporation   1.00%  USD  06/20/2027   1,000    19    (19)   - 
Sell  BARC  International Business Machines Corporation   1.00%  USD  12/20/2028   3,675,000    101,092    (81,859)   19,233 
Sell  BARC  NextEra Energy Capital Holdings, Inc.   1.00%  USD  06/20/2028   4,306,000    80,779    (22,659)   58,120 
Sell  GSI  Pfizer, Inc.   1.00%  USD  12/20/2027   9,152,000    202,687    (228,364)   (25,677)
Sell  MSCS  Pfizer, Inc.   1.00%  USD  12/20/2027   7,325,000    162,225    (178,314)   (16,089)
Sell  GSI  Pfizer, Inc.   1.00%  USD  12/20/2028   15,802,000    413,132    (438,142)   (25,010)
Buy  GSI  RR Donnelley & Sons Co.   (5.00)%  USD  06/20/2029   113,000    (2,508)   10,902    8,394 
Buy  BARC  RR Donnelley & Sons Co.   (5.00)%  USD  06/20/2029   6,020,000    (133,594)   610,990    477,396 
Sell  GSI  The Procter & Gamble Company   1.00%  USD  12/20/2027   5,692,000    138,340    (144,123)   (5,783)
Buy  BARC  Unisys Corporation   (5.00)%  USD  06/20/2028   286,000    (24,408)   (38,292)   (62,700)
Sell  MSCS  UnitedHealth Group Incorporated   1.00%  USD  12/20/2027   14,654,000    313,303    (322,298)   (8,995)
Sell  MSCS  Verizon Communications Inc.   1.00%  USD  06/20/2028   3,181,000    54,300    (2,900)   51,400 
Sell  MSCS  Verizon Communications Inc.   1.00%  USD  12/20/2027   7,000,000    113,208    4,885    118,093 
                         $2,770,936   $(2,211,640)  $559,296 

 

(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.

 

 

20

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Reference Obligations  Currency  Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Long Position Contracts                           
Aberdeen Diversified Income and Growth Trust  GBP   53,600   11/28/2025  SONIA  35 bps  $51,471   $(2,129)
Aberdeen New India Investment Trust PLC  GBP   780,862   11/28/2025  SONIA  35 bps   812,690    31,828 
Abrdn UK Smaller Cos Growth Trust PLC  GBP   2,079,243   11/28/2025  SONIA  35 bps   2,122,951    43,708 
Allianz Technology Trust PLC  EUR   665,176   11/28/2025  ESTRON  35 bps   679,753    14,577 
Anywhere Real Estate, Inc.  USD   514,934   12/31/2025  OBFR  35 bps   506,515    (8,419)
Arbutus Biopharma Corp.  USD   70,056   12/31/2025  OBFR  35 bps   70,693    637 
Baidu, Inc.  USD   680,543   12/31/2025  OBFR  35 bps   650,599    (29,944)
Baillie Gifford European Growth Trust PLC  GBP   479,312   11/28/2025  SONIA  35 bps   483,370    4,058 
Baillie Gifford UK Growth Trust PLC  GBP   4,873,710   11/28/2025  SONIA  35 bps   4,987,938    114,228 
Baillie Gifford US Growth Trust PLC  GBP   10,275,493   11/28/2025  SONIA  35 bps   10,410,443    134,950 
Baker Steel Resources Trust, Ltd.  GBP   247,359   11/28/2025  SONIA  35 bps   245,189    (2,170)
Bankers Investment Trust PLC  GBP   2,485,373   11/28/2025  SONIA  35 bps   2,533,868    48,495 
BB Biotech AG  CHF   15,291   12/31/2025  ESTRON  35 bps   15,756    465 
Bellevue Healthcare Trust PLC  GBP   164,007   02/27/2026  SONIA  35 bps   166,495    2,488 
BlackRock Smaller Companies Trust PLC  GBP   1,330,396   11/28/2025  SONIA  35 bps   1,348,187    17,791 
Blackrock Throgmorton Trust PLC  GBP   333,779   11/28/2025  SONIA  35 bps   341,133    7,354 
Brown Advisory US Smaller Companies PLC  GBP   225,568   11/28/2025  SONIA  35 bps   227,130    1,562 
Cannae Holdings, Inc.  USD   127,665   12/31/2025  OBFR  35 bps   127,472    (193)
Compass Diversified Holdings  USD   512,606   12/31/2025  OBFR  35 bps   506,175    (6,431)
CQS Natural Resources Growth and Income PLC  GBP   410,721   11/28/2025  SONIA  35 bps   416,901    6,180 
Diverse Income Trust PLC  GBP   479,486   11/28/2025  SONIA  35 bps   486,751    7,265 
Ecofin Global Utilities/Infrastructure Trust  GBP   251,488   11/28/2025  SONIA  35 bps   253,510    2,022 
Edinburgh Worldwide Investment Trust PLC  GBP   15,771,404   11/28/2025  SONIA  35 bps   16,128,004    356,600 
Geiger Counter, Ltd.  GBP   42,181   11/28/2025  SONIA  35 bps   43,278    1,097 
GEO Group, Inc.  USD   992,815   12/31/2025  OBFR  35 bps   994,393    1,578 
Henderson International Income Trust PLC  GBP   360,258   11/28/2025  SONIA  35 bps   360,258    - 
Henderson Smaller Companies Inv Trust PLC  GBP   1,051,427   11/28/2025  SONIA  35 bps   1,067,004    15,577 
Herald Investment Trust PLC  GBP   8,316,346   11/28/2025  SONIA  35 bps   8,405,769    89,423 
Impax Environmental Markets PLC  GBP   996,875   11/28/2025  SONIA  35 bps   1,009,274    12,399 
JPMorgan European Discovery Trust PLC  GBP   28,623,593   11/28/2025  SONIA  35 bps   30,622,087    1,998,494 
Keystone Positive Change Investment Trust PLC  GBP   1,856,551   11/28/2025  SONIA  35 bps   1,882,388    25,837 
Lowland Investment Company PLC  GBP   161,947   11/28/2025  SONIA  35 bps   163,816    1,869 

 

 
Quarterly Report  |  January 31, 2025 21

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Reference Obligations  Currency  Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Long Position Contracts                           
Mercantile Investment Trust PLC  GBP   4,926,644   11/28/2025  SONIA  35 bps  $5,070,939   $144,295 
MFF Capital Investments, Ltd.  AUD   1,075,605   11/28/2025  RBACOR  45 bps   1,075,605    - 
Middlefield Canadian Income PC  GBP   62,055   11/28/2025  SONIA  35 bps   62,318    263 
Monks Investment Trust PLC  GBP   77,908   11/28/2025  SONIA  35 bps   78,733    825 
Montanaro European Smaller Companies Trust PLC  GBP   298,055   11/28/2025  SONIA  35 bps   301,951    3,896 
Montanaro UK Smaller Cos Investment Trust PLC  GBP   109,299   11/28/2025  SONIA  35 bps   110,345    1,046 
Pacific Assets Trust PLC  GBP   16,956   02/27/2026  SONIA  35 bps   17,147    191 
Pengana International Equities, Ltd.  AUD   219,199   11/28/2025  RBACOR  45 bps   220,098    899 
Polar Capital Global Financials Trust PLC  GBP   237,693   11/28/2025  SONIA  35 bps   241,180    3,487 
Polar Capital Technology Trust PLC  GBP   3,642,224   11/28/2025  SONIA  35 bps   3,762,628    120,404 
RealReal, Inc.  USD   669,187   12/31/2025  OBFR  35 bps   687,195    18,008 
RIT Capital Partners PLC  GBP   881,676   11/28/2025  SONIA  35 bps   900,863    19,187 
River & Mercantile UK Micro Cap Inv Co Ltd  GBP   964,802   11/28/2025  SONIA  35 bps   964,802    - 
Sable Offshore Corp.  USD   1,463,192   12/31/2025  OBFR  35 bps   1,460,848    (2,344)
Schroder UK Mid Cap Fund PLC  GBP   98,002   11/28/2025  SONIA  35 bps   97,682    (320)
Schroders Capital Global  GBP   9,190   11/28/2025  SONIA  35 bps   9,085    (105)
Scottish Mortgage Investment Trust PLC  GBP   4,429,408   11/28/2025  SONIA  35 bps   4,553,146    123,738 
Snap, Inc.  USD   3,624,974   12/31/2025  OBFR  35 bps   3,605,811    (19,163)
Templeton EM Investment Trust PLC  GBP   2,976,017   11/28/2025  SONIA  35 bps   3,018,430    42,413 
Uber Technologies, Inc.  USD   789,891   12/31/2025  OBFR  35 bps   792,975    3,084 
Vertex, Inc.  USD   102,846   12/31/2025  OBFR  35 bps   103,835    989 
VGI Partners Global Investments, Ltd.  AUD   538,269   11/28/2025  RBACOR  45 bps   538,269    - 
WAM Global, Ltd.  AUD   370,689   11/28/2025  RBACOR  45 bps   367,394    (3,295)
Weibo Corp.  USD   163,875   12/31/2025  OBFR  35 bps   155,784    (8,091)
Worldwide Healthcare Trust PLC  GBP   417,225   11/28/2025  SONIA  35 bps   425,284    8,059 
Total Long Position Contracts                   $116,743,608   $3,348,662 
                            
Short Position Contracts                           
4imprint Group PLC  GBP   (489,120)  11/28/2025  SONIA  (30) bps   (510,276)   (21,156)
A2A SpA  EUR   (195,657)  11/28/2025  ESTRON  (30) bps   (197,037)   (1,380)
Alpha Group International PLC  GBP   (81,927)  04/30/2025  SONIA  (30) bps   (86,256)   (4,329)
Alten SA  EUR   (28,239)  11/28/2025  ESTRON  (30) bps   (28,239)   - 
ANDRITZ AG  EUR   (144,082)  11/28/2025  ESTRON  (30) bps   (146,217)   (2,135)
Auction Technology Group PLC  GBP   (2,731)  11/28/2025  SONIA  (30) bps   (2,789)   (58)
Auto Trader Group PLC  GBP   (137,917)  11/28/2025  SONIA  (30) bps   (139,221)   (1,304)
Balfour Beatty PLC  GBP   (89,227)  11/28/2025  SONIA  (30) bps   (91,792)   (2,565)
Barratt Redrow PLC  GBP   (5,491)  09/30/2025  SONIA  (30) bps   (5,546)   (55)
BAWAG Group AG  EUR   (260,480)  11/28/2025  ESTRON  (30) bps   (268,295)   (7,815)
Bellway PLC  GBP   (5,302)  11/28/2025  SONIA  (30) bps   (5,397)   (95)
BFF Bank SpA  EUR   (151,880)  11/28/2025  ESTRON  (30) bps   (155,635)   (3,755)
Big Technologies PLC  GBP   (873)  11/28/2025  SONIA  (105) bps   (873)   - 
Bloomsbury Publishing PLC  GBP   (48)  11/28/2025  SONIA  (30) bps   (50)   (2)

 

 

22

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Reference Obligations  Currency  Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Short Position Contracts                           
BPER Banca SPA  EUR   (354,642)  11/28/2025  ESTRON  (30) bps  $(349,240)  $5,402 
Bytes Technology Group PLC  GBP   (63,782)  11/28/2025  SONIA  (30) bps   (65,365)   (1,583)
Card Factory PLC  GBP   (623)  11/28/2025  SONIA  (30) bps   (633)   (10)
Central Asia Metals PLC  GBP   (2,145)  11/28/2025  SONIA  (30) bps   (2,136)   9 
Chemring Group PLC  GBP   (209,948)  11/28/2025  SONIA  (30) bps   (210,278)   (330)
Clarkson PLC  GBP   (33,829)  11/28/2025  SONIA  (30) bps   (34,229)   (400)
Computacenter PLC  GBP   (63,467)  11/28/2025  SONIA  (30) bps   (65,142)   (1,675)
Conduit Holdings, Ltd.  GBP   (2,615)  11/28/2025  SONIA  (30) bps   (2,674)   (59)
Covivio SA  EUR   (209,925)  11/28/2025  ESTRON  (30) bps   (214,098)   (4,173)
Cranswick PLC  GBP   (184,191)  11/28/2025  SONIA  (30) bps   (186,597)   (2,406)
Crest Nicholson Holdings PLC  GBP   (25,980)  11/28/2025  SONIA  (30) bps   (26,571)   (591)
CVS Group PLC  GBP   (29,437)  11/28/2025  SONIA  (30) bps   (28,008)   1,429 
Dassault Systemes SE  EUR   (45,031)  11/28/2025  ESTRON  (30) bps   (45,174)   (143)
De' Longhi SpA  EUR   (166,235)  11/28/2025  ESTRON  (30) bps   (166,626)   (391)
Diploma PLC  GBP   (386,791)  11/28/2025  SONIA  (30) bps   (396,548)   (9,757)
DiscoverIE Group PLC  GBP   (4,029)  11/28/2025  SONIA  (30) bps   (4,112)   (83)
Dunelm Group PLC  GBP   (230,528)  11/28/2025  SONIA  (30) bps   (235,534)   (5,006)
Edenred  EUR   (18,844)  11/28/2025  ESTRON  (30) bps   (19,173)   (329)
Elis SA  EUR   (259,560)  11/28/2025  ESTRON  (30) bps   (257,473)   2,087 
Esker SA  EUR   (8,092)  11/28/2025  ESTRON  (30) bps   (8,191)   (99)
Experian PLC  GBP   (139,317)  11/28/2025  SONIA  (30) bps   (140,900)   (1,583)
Fagron  EUR   (41,806)  11/28/2025  ESTRON  (30) bps   (42,070)   (264)
Fluidra SA  EUR   (194,631)  11/28/2025  ESTRON  (30) bps   (190,197)   4,434 
Future PLC  GBP   (55,028)  11/28/2025  SONIA  (30) bps   (56,503)   (1,475)
Games Workshop Group PLC  GBP   (428,100)  11/28/2025  SONIA  (30) bps   (428,395)   (295)
Gamma Communications PLC  GBP   (3,863)  11/28/2025  SONIA  (90) bps   (3,915)   (52)
Gaztransport Et Technigaz SA  EUR   (143,998)  11/28/2025  ESTRON  (30) bps   (146,373)   (2,375)
Genus PLC  GBP   (162,336)  11/28/2025  SONIA  (30) bps   (169,303)   (6,967)
Grafton Group PLC  GBP   (130,449)  11/28/2025  SONIA  (30) bps   (132,864)   (2,415)
Hollywood Bowl Group PLC  GBP   (286)  11/28/2025  SONIA  (30) bps   (279)   7 
Hunting PLC  GBP   (16,192)  11/28/2025  SONIA  (30) bps   (16,355)   (163)
IMI PLC  GBP   (131,267)  11/28/2025  SONIA  (30) bps   (134,612)   (3,345)
Impax Asset Management Group PLC  GBP   (1,871)  11/28/2025  SONIA  (30) bps   (1,932)   (61)
Inchcape PLC  GBP   (88,632)  11/28/2025  SONIA  (30) bps   (91,970)   (3,338)
Intermediate Capital Group PLC  GBP   (236,311)  11/28/2025  SONIA  (30) bps   (246,721)   (10,410)
IPSOS  EUR   (68,780)  11/28/2025  ESTRON  (30) bps   (69,447)   (667)
Kainos Group PLC  GBP   (11,355)  11/28/2025  SONIA  (30) bps   (11,481)   (126)
Kering SA  EUR   (52,369)  11/28/2025  ESTRON  (30) bps   (53,900)   (1,531)
Lottomatica Group Spa  EUR   (152,599)  11/28/2025  ESTRON  (30) bps   (158,832)   (6,233)
Man Group PLC  GBP   (133,639)  11/28/2025  SONIA  (30) bps   (136,824)   (3,185)

 

 
Quarterly Report  |  January 31, 2025 23

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

January 31, 2025

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Reference Obligations  Currency  Notional
Amount(b)		   Termination
Date		  Financing
Rate Index		  Financing
Rate Spread
Paid/(Received)
by Fund		  Value   Unrealized
Appreciation/
(Depreciation)		 
Short Position Contracts                           
Merlin Properties Socimi SA  EUR   (151,899)  11/28/2025  ESTRON  (30) bps  $(160,970)  $(9,071)
Morgan Advanced Materials PLC  GBP   (1,088)  11/28/2025  SONIA  (30) bps   (1,121)   (33)
Morgan Sindall Group PLC  GBP   (24,136)  11/28/2025  SONIA  (30) bps   (24,536)   (400)
Nexans SA  EUR   (192,471)  11/28/2025  ESTRON  (30) bps   (190,849)   1,622 
Next Fifteen Communications  GBP   (93)  11/28/2025  SONIA  (30) bps   (92)   1 
Ocado Group PLC  GBP   (99,418)  11/28/2025  SONIA  (30) bps   (100,047)   (629)
Oxford Instruments PLC  GBP   (245,167)  11/28/2025  SONIA  (30) bps   (250,536)   (5,369)
Oxford Nanopore Technologies PLC  GBP   (193,323)  11/28/2025  SONIA  (30) bps   (198,496)   (5,173)
Pagegroup PLC  GBP   (285)  11/28/2025  SONIA  (30) bps   (288)   (3)
Polestar Automotive Holding UK PLC  USD   (710,940)  11/28/2025  OBFR  (1400) bps   (724,880)   (13,940)
QinetiQ Group PLC  GBP   (241,868)  11/28/2025  SONIA  (30) bps   (245,691)   (3,823)
Reach PLC  GBP   (87)  11/28/2025  SONIA  (30) bps   (89)   (2)
Saipem SpA  EUR   (210,581)  11/28/2025  ESTRON  (30) bps   (211,474)   (893)
Samsung Electronics Co., Ltd.  USD   (54,778)  11/28/2025  OBFR  (40) bps   (55,327)   (549)
Sanlorenzo SpA/Ameglia  EUR   (50,070)  11/28/2025  ESTRON  (30) bps   (51,071)   (1,001)
Sartorius AG  EUR   (39,684)  04/30/2025  ESTRON  (30) bps   (40,085)   (401)
Scout24 SE  EUR   (68,448)  04/30/2025  ESTRON  (30) bps   (69,149)   (701)
SEB SA  EUR   (54,150)  11/28/2025  ESTRON  (30) bps   (53,741)   409 
Senior PLC  GBP   (1,508)  11/28/2025  SONIA  (30) bps   (1,528)   (20)
Soitec  EUR   (15,300)  11/28/2025  ESTRON  (30) bps   (15,483)   (183)
Sopra Steria Group  EUR   (148,430)  11/28/2025  ESTRON  (30) bps   (152,593)   (4,163)
Spie SA  EUR   (353,509)  11/28/2025  ESTRON  (30) bps   (365,542)   (12,033)
SSP Group PLC  GBP   (104)  11/28/2025  SONIA  (30) bps   (107)   (3)
Telecom Plus PLC  GBP   (50,185)  11/28/2025  SONIA  (30) bps   (51,040)   (855)
Unipol Gruppo SpA  EUR   (354,576)  11/28/2025  ESTRON  (30) bps   (356,205)   (1,629)
Verallia SA  EUR   (44,875)  11/28/2025  ESTRON  (30) bps   (50,885)   (6,010)
Vesuvius PLC  GBP   (22,458)  11/28/2025  SONIA  (30) bps   (22,568)   (110)
Virbac SACA  EUR   (73,059)  11/28/2025  ESTRON  (30) bps   (75,626)   (2,567)
Watches of Switzerland Group PLC  GBP   (115,816)  11/28/2025  SONIA  (30) bps   (126,846)   (11,030)
WH Smith PLC  GBP   (8,185)  11/28/2025  SONIA  (30) bps   (8,411)   (226)
Wise PLC  GBP   (30,853)  11/28/2025  SONIA  (30) bps   (31,161)   (308)
Workspace Group PLC  GBP   (105)  11/28/2025  SONIA  (30) bps   (111)   (6)
Total Short Position Contracts                   $(9,824,846)  $(181,900)

 

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

 

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

 

 

24

 

 

Saba Capital Income & Opportunities Fund Notes to Consolidated Financial Statements

 

January 31, 2025

 

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, 2025. Refer to the Consolidated Schedule 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  $-   $62,345,411   $-   $62,345,411 
Senior Loans   -    37,783,702    -    37,783,702 
Sovereign Debt Obligations**   -    9,498    -    9,498 
Mortgage-Backed Securities   -    3,708,817    -    3,708,817 
Common Stock***   42,504,693    5,554,132    -    48,058,825 
Closed End Funds   66,600,581    -    -    66,600,581 
Investment Trusts   38,289,770    -    -    38,289,770 
Preferred Stock   -    12,239    3,881,361    3,893,600 
Participation Agreements***   -    -    1,124,626    1,124,626 
Private Funds*   -    -    -    74,259,649 
Unit Trusts   21,847,410    -    -    21,847,410 
Special Purpose Acquisition Companies   316,234    -    27,786    344,020 
Warrants   445,482    3,983    1,114,623    1,564,088 
Rights   80,370    -    -    80,370 
Options****   5,235,842    -    -    5,235,842 
Money Market Funds   6,802,767    -    -    6,802,767 
Total  $182,123,149   $109,417,782   $6,148,396   $371,948,976 

 

Investment in Affiliated Fund, at Fair Value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Closed End Fund  $870,952   $-   $-   $870,952 
Total  $870,952   $-   $-   $870,952 

 

Securities Sold Short, at Fair Value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Corporate Bonds  $-   $5,833,952   $-   $5,833,952 
Sovereign Debt Obligations**   222,765,398    -    -    222,765,398 
Common Stock   48,110,419    -    -    48,110,419 
Exchange Traded Funds   17,353,477    -    -    17,353,477 
Preferred Stock   164,790    -    -    164,790 
Total  $288,394,084   $5,833,952   $-   $294,228,036 

 

Derivative Contracts, at Fair Value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Assets                    
Simple Agreement For Future Equity Contracts  $-   $-   $7,170,363   $7,170,363 
Forward Foreign Currency Contracts   -    215,559    -    215,559 
Futures Contracts   339,639    -    -    339,639 
Centrally Cleared Credit Default Swaps   -    4,708,474    -    4,708,474 
Over-the-Counter Credit Default Swaps   -    2,931,446    -    2,931,446 
TBA MBS forward contracts   -    3,779,761    -    3,779,761 
Total Return Swaps   -    3,446,666    -    3,446,666 
Total Assets  $339,639   $15,081,906   $7,170,363   $22,591,908 
                     
Liabilities                    
Forward Foreign Currency Contracts  $-   $546,985   $-   $546,985 
Futures Contracts   1,555,679    -    -    1,555,679 
Centrally Cleared Credit Default Swaps   -    842,184    -    842,184 
Over-the-Counter Credit Default Swaps   -    160,510    -    160,510 
Total Return Swaps   -    279,904    -    279,904 
Total Liabilities  $1,555,679   $1,829,583   $-   $3,385,262 

 

*In accordance with ASC 820-10, investments that are measured at fair value using the NAV per share (or its equivalent) as 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.
****All options held by the Fund are exchange traded listed options.

 

 

Quarterly Report  |  January 31, 2025 25