0000902664-11-001612.txt : 20111114 0000902664-11-001612.hdr.sgml : 20111111 20111114160927 ACCESSION NUMBER: 0000902664-11-001612 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110930 FILED AS OF DATE: 20111114 DATE AS OF CHANGE: 20111114 EFFECTIVENESS DATE: 20111114 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Saba Capital Management, L.P. CENTRAL INDEX KEY: 0001510281 IRS NUMBER: 800361690 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-14282 FILM NUMBER: 111202518 BUSINESS ADDRESS: STREET 1: 405 LEXINGTON AVENUE STREET 2: 58TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10174 BUSINESS PHONE: 212-542-3610 MAIL ADDRESS: STREET 1: 405 LEXINGTON AVENUE STREET 2: 58TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10174 13F-HR 1 p11-1758form13fhr.txt SABA CAPITAL MANAGEMENT, L.P. UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: 9/30/2011 Check here if Amendment []; Amendment Number: ------- This Amendment (Check only one.): [] is a restatement. [] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Saba Capital Management, L.P. -------------------------------------- Address: 405 Lexington Avenue -------------------------------------- 58th Floor -------------------------------------- New York, New York 10174 -------------------------------------- Form 13F File Number: 028-14282 -------------- The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this submission. Persons Signing this Report on Behalf of Reporting Manager: Name: Carl Casler ----------------------------------------- Title: Chief Financial Officer ----------------------------------------- Phone: 212-543-3610 ----------------------------------------- Signature, Place, and Date of Signing: /s/ Carl Casler New York, New York 11/14/2011 --------------------------------- --------------------------------- ---------- [Signature] [City, State] [Date] Report Type (Check only one): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 62 Form 13F Information Table Value Total: $ 576,271 -------------- (In Thousands) List of Other Included Managers: Provide a numbered list of the name(s) and 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. NONE
FORM 13F INFORMATION TABLE COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COLUMN 6 COLUMN 7 COLUMN 8 ---------------------------- ---------------- --------- -------- ------------------- ---------- -------- ---------------------- VALUE SHRS OR SH/ PUT/ INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DISCRETION MANAGERS SOLE SHARED NONE ---------------------------- ---------------- --------- -------- ---------- --- ---- ---------- -------- ---------- ------ ---- A123 SYS INC NOTE 3.750% 4/1 03739TAA6 3,003 4,620,000 PRN SOLE 4,620,000 0 0 A123 SYS INC COM 03739T108 883 256,600 SH SOLE 256,600 0 0 ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/0 018581AD0 16,626 13,000,000 PRN SOLE 13,000,000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 238 31,200 SH SOLE 31,200 0 0 BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 1,707 210,000 SH PUT SOLE 210,000 0 0 BOYD GAMING CORP COM 103304101 6,635 1,354,012 SH SOLE 1,354,012 0 0 CEMEX SAB DE CV SPON ADR NEW 151290889 675 213,616 SH PUT SOLE 213,616 0 0 CHEVRON CORP NEW COM 166764100 4,462 48,232 SH SOLE 48,232 0 0 CHINA HYDROELECTRIC CORPORAT *W EXP 01/25/201 G2112E145 15 121,900 SH SOLE 121,900 0 0 CISCO SYS INC COM 17275R102 12,912 833,000 SH SOLE 833,000 0 0 CLEARWATER PAPER CORP COM 18538R103 10,591 311,689 SH SOLE 311,689 0 0 CLOROX CO DEL COM 189054109 89,419 1,348,100 SH CALL SOLE 1,348,100 0 0 COMMERCIAL METALS CO COM 201723103 278 29,232 SH SOLE 29,232 0 0 COMMUNITY HEALTH SYS INC NEW COM 203668108 8,860 532,448 SH SOLE 532,448 0 0 COMPUTER SCIENCES CORP COM 205363104 52,358 1,950,000 SH CALL SOLE 1,950,000 0 0 COMPUTER SCIENCES CORP COM 205363104 2,382 88,715 SH SOLE 88,715 0 0 CONAGRA FOODS INC COM 205887102 55,536 2,293,000 SH CALL SOLE 2,293,000 0 0 CORE MARK HOLDING CO INC COM 218681104 465 15,214 SH SOLE 15,214 0 0 CORNING INC COM 219350105 27,455 2,221,316 SH SOLE 2,221,316 0 0 COTT CORP QUE COM 22163N106 6,419 942,534 SH SOLE 942,534 0 0 CYTEC INDS INC COM 232820100 9,933 282,663 SH SOLE 282,663 0 0 DOLBY LABORATORIES INC COM 25659T107 7,264 264,737 SH SOLE 264,737 0 0 DOMTAR CORP COM NEW 257559203 4,103 60,184 SH SOLE 60,184 0 0 FELCOR LODGING TR INC COM 31430F101 1,598 685,852 SH SOLE 685,852 0 0 FERRO CORP COM 315405100 6,125 995,889 SH SOLE 995,889 0 0 FORD MTR CO DEL COM PAR $0.01 345370860 29,872 3,089,100 SH PUT SOLE 3,089,100 0 0 GENERAL MTRS CO COM 37045V100 24,052 1,191,868 SH SOLE 1,191,868 0 0 GOODRICH CORP COM 382388106 8,340 69,110 SH SOLE 69,110 0 0 GRACE W R & CO DEL NEW COM 38388F108 5,134 154,167 SH SOLE 154,167 0 0 HARBIN ELECTRIC INC COM 41145W109 3,624 175,500 SH CALL SOLE 175,500 0 0 HARBIN ELECTRIC INC COM 41145W109 5,369 260,000 SH PUT SOLE 260,000 0 0 HARRIS CORP DEL COM 413875105 17,468 511,200 SH SOLE 511,200 0 0 HASBRO INC COM 418056107 22,312 684,200 SH CALL SOLE 684,200 0 0 HASBRO INC COM 418056107 10,175 312,014 SH SOLE 312,014 0 0 HEALTHCARE RLTY TR COM 421946104 910 54,018 SH SOLE 54,018 0 0 HOST HOTELS & RESORTS INC COM 44107P104 597 54,600 SH SOLE 54,600 0 0 INTERNATIONAL GAME TECHNOLOG COM 459902102 2,729 187,800 SH SOLE 187,800 0 0 LAM RESEARCH CORP COM 512807108 2,746 72,300 SH SOLE 72,300 0 0 LINCARE HLDGS INC NOTE 2.750%11/0 532791AF7 6,374 6,200,000 PRN SOLE 6,200,000 0 0 MBIA INC COM 55262C100 230 31,600 SH PUT SOLE 31,600 0 0 MCCLATCHY CO CL A 579489105 2,560 1,910,340 SH SOLE 1,910,340 0 0 MERCK & CO INC NEW COM 58933Y105 9,061 277,000 SH SOLE 277,000 0 0 MICROSOFT CORP COM 594918104 11,499 462,000 SH SOLE 462,000 0 0 MORGAN STANLEY COM NEW 617446448 13,510 1,000,000 SH PUT SOLE 1,000,000 0 0 NORDION INC COM 65563C105 1,721 195,106 SH SOLE 195,106 0 0 OFFICE DEPOT INC COM 676220106 5,844 2,837,077 SH SOLE 2,837,077 0 0 OSHKOSH CORP COM 688239201 6,365 404,386 SH SOLE 404,386 0 0 PFIZER INC COM 717081103 6,002 339,474 SH SOLE 339,474 0 0 PIONEER NAT RES CO NOTE 2.875% 1/1 723787AH0 4,204 3,500,000 PRN SOLE 3,500,000 0 0 PMI GROUP INC COM 69344M101 261 1,305,988 SH SOLE 1,305,988 0 0 RITE AID CORP COM 767754104 1,673 1,707,248 SH SOLE 1,707,248 0 0 SAUER-DANFOSS INC COM 804137107 2,657 91,942 SH SOLE 91,942 0 0 SONOCO PRODS CO COM 835495102 9,103 322,449 SH SOLE 322,449 0 0 SYNOVUS FINL CORP COM 87161C105 5,083 4,750,702 SH SOLE 4,750,702 0 0 TUDOU HLDGS LTD SPONSORED ADS 89903T107 2,730 200,000 SH SOLE 200,000 0 0 URS CORP NEW COM 903236107 6,525 220,000 SH SOLE 220,000 0 0 USEC INC COM 90333E108 40 25,000 SH CALL SOLE 25,000 0 0 USEC INC COM 90333E108 394 244,500 SH PUT SOLE 244,500 0 0 USEC INC COM 90333E108 170 105,874 SH SOLE 105,874 0 0 WALTER ENERGY INC COM 93317Q105 7,693 128,200 SH SOLE 128,200 0 0 WENDYS CO COM 95058W100 4,956 1,079,739 SH SOLE 1,079,739 0 0 YAHOO INC COM 984332106 4,346 330,000 SH SOLE 330,000 0 0