NPORT-EX 2 fp0079932_nportex.htm

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Principal Amount   Fair Value 
CORPORATE BONDS - 15.90%    
Agriculture - 2.77%
 
Altria Group, Inc., 3.400%, 02/04/2041  $15,531,000   $10,724,466 
         10,724,466 
Banks - 1.50%
 
Credit Suisse AG, 0.000% (Variable Rate), 07/31/2030    10,000    6,986 
Credit Suisse AG, 0.000% (Variable Rate), 10/30/2030   420,000    305,475 
Morgan Stanley, 0.000% (Variable Rate), 04/30/2030   25,000    21,181 
Morgan Stanley, 0.160% (Variable Rate), 07/31/2030   80,000    59,483 
Morgan Stanley, 0.000% (Variable Rate), 10/30/2030   80,000    67,582 
Morgan Stanley, 0.000% (Variable Rate), 09/26/2033   428,000    308,885 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2033   266,000    176,406 
Morgan Stanley, 0.000% (Variable Rate), 02/28/2034   478,000    305,140 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034   276,000    196,610 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034   26,000    17,782 
Morgan Stanley, 0.000% (Variable Rate), 04/30/2034   66,000    44,133 
Morgan Stanley, 0.000% (Variable Rate), 05/30/2034   89,000    64,412 
Morgan Stanley, 0.000% (Variable Rate), 06/30/2034   460,000    284,303 
Morgan Stanley, 0.000% (Variable Rate), 07/31/2034   25,000    15,442 
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034   161,000    107,596 
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034   10,000    6,715 
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034   231,000    169,381 
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034   88,000    62,693 
Morgan Stanley, 0.000% (Variable Rate), 10/08/2034   32,000    19,948 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034   103,000    67,476 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034   181,000    122,464 
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034   357,000    260,506 
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034   231,000    158,074 
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034   25,000    16,649 
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035   69,000    44,244 
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035   175,000    114,655 
Morgan Stanley, 0.000% (Variable Rate), 02/27/2035   36,000    24,445 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035   527,000    422,187 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035   114,000    73,204 
Morgan Stanley, 0.000% (Variable Rate), 02/29/2036   61,000    43,572 
Morgan Stanley, 0.000% (Variable Rate), 04/28/2036   10,000    6,509 
Morgan Stanley, 0.000% (Variable Rate), 06/30/2036   40,000    29,113 
Morgan Stanley, 0.000% (Variable Rate), 08/31/2036   2,289,000    1,415,405 
Morgan Stanley, 0.000% (Variable Rate), 09/30/2036   40,000    26,186 
Morgan Stanley, 2.782% (Variable Rate), 11/29/2036   103,000    54,723 
Morgan Stanley, 0.000% (Variable Rate), 01/31/2037   224,000    166,567 
Morgan Stanley, 0.000% (Variable Rate), 03/31/2037   747,000    446,706 
Morgan Stanley, 0.000% (Variable Rate), 04/28/2037   40,000    28,660 
Morgan Stanley, 0.000% (Variable Rate), 05/31/2037   25,000    18,328 
Morgan Stanley, 0.000% (Variable Rate), 08/31/2037   58,000    34,334 
         5,814,160 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Principal Amount   Fair Value 
Commercial Services - 1.51%
 
Adtalem Global Education, Inc., 5.500%, 03/01/2028(a)  $6,195,000   $5,854,275 
         5,854,275 
E-Commerce/Services - 0.64%
 
Uber Technologies, Inc., 6.250%, 01/15/2028(a)   2,500,000    2,462,500 
         2,462,500 
Electric - 3.84%
 
American Electric Power Co., Inc., 2.300%, 03/01/2030   10,000,000    8,655,655 
Dominion Energy, Inc., 2.250%, 08/15/2031   5,000,000    4,295,682 
Southern Co., 3.700%, 04/30/2030   2,000,000    1,931,167 
         14,882,504 
Food - 0.18%
 
Post Holdings, Inc., 5.500%, 12/15/2029(a)   750,000    714,375 
         714,375 
Media - 1.17%
 
Charter Communications Operating LLC / Charter Communications Operating Capital, 3.500%, 03/01/2042   5,000,000    3,647,043 
Diamond Sports Group LLC / Diamond Sports Finance Co., 5.375%, 08/15/2026(a)   4,000,000    890,000 
         4,537,043 
Real Estate - 0.12%
 
China Evergrande Group, 8.250%, 03/23/2022(b)   4,324,000    362,135 
China Evergrande Group, 7.500%, 06/28/2023   1,000,000    83,750 
         445,885 
Retail - 2.03%
 
Lowe's Cos., Inc., 3.750%, 04/01/2032   8,077,000    7,841,285 
         7,841,285 
Specialty Finance - 1.92%
 
Nationstar Mortgage Holdings, Inc., 5.500%, 08/15/2028(a)   6,125,000    5,412,969 
PennyMac Financial Services, Inc., 5.375%, 10/15/2025(a)   1,250,000    1,175,000 
PennyMac Financial Services, Inc., 5.750%, 09/15/2031(a)   1,000,000    832,500 
         7,420,469 
Steel-Producers - 0.22%
 
Cleveland-Cliffs Steel Corp., 7.000%, 03/15/2027   880,000    853,600 
         853,600 
TOTAL CORPORATE BONDS        61,550,562 
(Cost $70,316,800)          

 

 
 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Principal Amount   Fair Value 
SENIOR LOANS - 3.44%    
Chemicals - 0.04%
 
CPC Acquisition Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 12/29/2028  $175,000   $155,094 
         155,094 
Commercial Services - 2.10%
 
RR Donnelley & Sons Co., First Lien Term Loan, 1M US L + 5.00%, 11/01/2026   8,180,370    7,825,015 
Travelport Finance S.a r.l., First Lien Initial Term Loan, 6M US L + 5.00%, 05/29/2026   372,888    285,026 
         8,110,041 
Food - 0.40%
 
Moran Foods LLC, First Lien Term Loan, 0.000%, 04/01/2024(b)(c)   117,570    – 
Moran Foods LLC, First Lien -2020 Term Loan, 3M US L + 7.00%, 04/01/2024   903,127    791,740 
Moran Foods, LLC TLA, Second Lien Term Loan, 3M US L + 10.75%, 10/01/2024   1,250,690    766,048 
         1,557,788 
Leisure Facilities & Services - 0.86%
 
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, 3M US L + 5.00%, 12/29/2025   275,532    92,647 
Carnival Corporation TLB 1L, First Lien Term Loan, 3M US L + 3.25%, 10/06/2028   3,482,500    3,242,347 
         3,334,994 
Pipelines - 0.04%
 
GMP Borrower LLC, First Lien Term Loan, 3M US L + 4.50%, 10/28/2027   170,584    144,996 
         144,996 
Retail - 0.00%(d)
 
NPC International, Inc., Second Lien Initial Term Loan, 1M US L + 0.00%, 04/18/2025(c)   605,000    – 
         – 
Theaters - 0.00%(d)
 
Crown Finance US, Inc., First Lien Initial B-1 Term Loan, 3M US L + 7.00 (PIK Rate 8.25%, Cash Rate 7.00%)%, 05/23/2024(e)   11,493    12,730 
         12,730 
TOTAL SENIOR LOANS        13,315,643 
(Cost $14,837,402)          

 

   Principal Amount   Fair Value 
CONVERTIBLE CORPORATE BOND - 0.25%    
Internet - 0.25%
 
Delivery Hero SE, 1.000%, 04/30/2026   300,000    228,783 
Delivery Hero SE, 2.125%, 03/10/2029   1,100,000    764,164 
           
TOTAL CONVERTIBLE CORPORATE BOND        992,947 
(Cost $867,429)          

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Principal Amount   Fair Value 
SOVEREIGN DEBT OBLIGATIONS - 0.97%    
Sovereign - 0.97%
 
Ukraine Government International Bond, 7.750%, 09/01/2023(f)  $320,000   $80,000 
Ukraine Government International Bond, 7.750%, 09/01/2024(f)   829,000    178,235 
Ukraine Government International Bond, 7.750%, 09/01/2025(f)   2,820,000    599,250 
Ukraine Government International Bond, 7.750%, 09/01/2026(f)   664,000    139,440 
Ukraine Government International Bond, 7.750%, 09/01/2027(f)   1,658,000    348,180 
Ukraine Government International Bond, 9.750%, 11/01/2028(f)   4,146,000    870,660 
Ukraine Government International Bond, 6.876%, 05/21/2029(f)   1,464,000    300,120 
Ukraine Government International Bond, 7.375%, 09/25/2032(f)   1,332,000    269,730 
Ukraine Government International Bond, 7.253%, 03/15/2033(f)   3,980,000    796,000 
Ukraine Government International Bond, 0.000%, 05/31/2040(f)   630,000    171,675 
         3,753,290 
TOTAL SOVEREIGN DEBT OBLIGATIONS        3,753,290 
(Cost $3,872,216)          

 

   Shares   Fair Value 
COMMON STOCK - 6.80%    
Agricultural Operations - 0.33%
Benson Hill, Inc.(g)   388,702    1,263,282 
           
E-Commerce/Products - 0.13%
Chewy, Inc.(g)   13,195    512,098 
           
REITS-Mortgage - 0.53%
Blackstone Mortgage Trust, Inc.(g)   69,138    2,056,164 
           
Medical-Drugs - 0.20%
Compass Pathways PLC(g)   48,875    761,961 
           
Publishing-Periodicals - 0.01%
Delaware Enhanced Global Dividend & Income Fund   3,115    24,577 
           
Oil Companies - Exploration & Production - 1.22%
Earthstone Energy, Inc.(g)   331,490    4,703,843 
           
Electronics & Appliances Stores - 0.00%(d)
Everyware Global(c)(g)   43,777    – 
           
Internet Content - Entertainment - 1.44%
Meta Platforms, Inc.(g)   16,700    2,656,970 
Netflix, Inc.(g)   12,965    2,915,829 
         5,572,799 

 

 
 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Shares   Fair Value 
Enterprise Software/Services - 0.65%
Palantir Technologies, Inc.(g)   242,795   $2,512,928 
           
Credit & Debit - 0.81%
PayPal Holdings, Inc.(g)   36,232    3,135,155 
           
Online Communities - 0.63%
Snap, Inc.(g)   248,399    2,454,182 
           
Marine Services - 0.03%
Harvey Gulf Intl. Marine(g)   7,413    118,608 
           
Entertainment Facilities - 0.02%
24 Hour Fitness Worldwide(g)   306,005    89,659 
           
Mineral & Precious Stone Mining - 0.58%
Covia Equity(g)   169,353    2,243,927 
           
IT Services - 0.00%(d)
IQOR(g)   4,941    19,764 
           
Power Generation - 0.20%
Longview Power LLC(g)   61,813    772,663 
           
Auto/Truck Parts & Equipment - 0.02%
Arbe Robotics, Ltd.(g)   13,142    70,441 
           
TOTAL COMMON STOCK        26,312,051 
(Cost $22,429,201)          

 

   Shares   Fair Value 
CLOSED END FUNDS - 13.88%          
Aberdeen New India Investment Trust PLC   85,681    588,493 
abrdn Japan Equity Fund, Inc.   47,038    282,228 
abrdn Smaller Companies Income Trust PLC   161,889    525,402 
Allianz Technology Trust PLC(g)   209,170    613,895 
Angel Oak Dynamic Financial Strategies Income Term Trust   236    4,095 
Baillie Gifford UK Growth Trust PLC   15,583    33,855 
Baillie Gifford US Growth Trust PLC(g)   814,458    1,735,738 
Blackrock Capital Allocation Trust   18,478    282,529 
Blackrock ESG Capital Allocation Trust   34,838    526,054 
BlackRock Smaller Cos. Trust PLC   53,465    944,094 
Center Coast Brookfield MLP & Energy Infrastructure Fund   146,912    2,565,084 
Citadel Income Fund   127,000    280,668 
ClearBridge Energy Midstream Opportunity Fund, Inc.   10,345    290,901 
ClearBridge MLP & Midstream Fund, Inc.   1,191    39,791 
Cushing MLP & Infrastructure Total Return Fund   65,283    2,043,358 
Cushing NextGen Infrastructure Income Fund   23,585    1,011,089 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Shares   Fair Value 
Deezer SA(g)   8,179   $30,929 
Delaware Investments National Municipal Income Fund   186,240    2,337,312 
Delaware Ivy High Income Opportunities Fund   144,101    1,583,670 
Eaton Vance New York Municipal Bond Fund   9,127    91,361 
Ecofin Sustainable and Social Impact Term Fund   31,254    455,996 
Ellsworth Growth and Income Fund, Ltd.   116,777    1,082,523 
European Opportunities Trust PLC   61,426    561,784 
First Trust/abrdn Emerging Opportunity Fund   13,198    112,579 
Goldman Sachs MLP Energy and Renaissance Fund   278    3,567 
Guggenheim Active Allocation Fund   848    13,169 
Henderson Opportunities Trust PLC   111,656    1,505,925 
Henderson Smaller Companies Investment Trust PLC   33,764    374,173 
Invesco Perpetual UK Smaller Cos. Investment Trust PLC   61,481    352,646 
Japan Smaller Capitalization Fund, Inc.   7,794    51,440 
JPMorgan Mid Cap Investment Trust PLC   3,319    38,519 
JPMorgan UK Smaller Companies Investment Trust PLC   54,113    195,720 
Kayne Anderson NextGen Energy & Infrastructure, Inc.   77,500    649,450 
Korea Fund, Inc.   27,872    709,900 
Mercantile Investment Trust PLC   75,753    189,117 
MFS High Yield Municipal Trust   6,257    22,588 
Miller/Howard High Dividend Fund   333,513    3,355,141 
Morgan Stanley Emerging Markets Debt Fund, Inc.   103,203    714,165 
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.   107,623    475,694 
Neuberger Berman MLP & Energy Income Fund, Inc.   87,199    600,801 
Neuberger Berman New York Municipal Fund, Inc.   360    3,784 
Neuberger Berman Next Generation Connectivity Fund, Inc.   122,261    1,342,426 
New Ireland Fund, Inc.   95,326    724,478 
Nuveen Core Plus Impact Fund   60,933    762,881 
Nuveen Multi-Asset Income Fund   13,985    192,294 
Pershing Square Holdings, Ltd.   50,990    1,652,076 
PGIM Global High Yield Fund, Inc.   79    946 
PGIM Short Duration High Yield Opportunities Fund   9    140 
PIMCO Energy & Tactical Credit Opportunities Fund   254,162    3,743,806 
Pioneer Municipal High Income Opportunities Fund, Inc.   1    13 
Principal Real Estate Income Fund   51,780    681,943 
River & Mercantile UK Micro Cap Investment Co., Ltd.(g)   172,240    346,095 
Salient Midstream & MLP Fund   528,128    4,399,306 
Schroder British Opportunities Trust PLC(g)   1,453,746    1,336,636 
Schroder UK Mid Cap Fund PLC   659,095    4,623,257 
Taiwan Fund, Inc.   3,223    83,754 
Templeton Emerging Markets Fund   1,470    17,807 
Templeton Global Income Fund   261,646    1,200,955 
Tortoise Energy Independence Fund, Inc.   29,984    904,317 
Tortoise Midstream Energy Fund, Inc.   62,654    2,292,510 
Tortoise Pipeline & Energy Fund, Inc.   8,718    256,309 
Tortoise Power and Energy Infrastructure Fund, Inc.   63,685    1,197,127 
Vertical Capital Income Fund   38,522    360,181 
Virtus Convertible & Income Fund II   353    1,207 

 

 
 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Shares   Fair Value 
Voya Emerging Markets High Income Dividend Equity Fund   55,586   $314,061 
Voya Infrastructure Industrials and Materials Fund   1,024    10,353 
Western Asset Diversified Income Fund   686    9,796 
Western Asset Emerging Markets Debt Fund, Inc.   173    1,595 
         53,735,496 
           
TOTAL CLOSED END FUNDS        53,735,496 
(Cost $53,879,581)          

 

   Shares   Fair Value 
PREFERRED STOCK - 0.68%    
Entertainment Facilities - 0.08%
24 Hour Fitness Worldwide, Inc.(g)   407,959    305,969 
           
Transportation - 0.60%
G-ILS Transportation Ltd. Preferred B-3 Shares(c)(g)   1,332    2,219,500 
TERACT SA(g)   13,079    99,720 
         2,319,220 
           
TOTAL PREFERRED STOCK        2,625,189 
(Cost $2,859,327)          

 

   Shares   Fair Value 
UNIT TRUST - 0.44%          
Grayscale Bitcoin Trust(h)   60,400    893,920 
Grayscale Ethereum Trust(g)(h)   64,858    815,265 
         1,709,185 
           
TOTAL UNIT TRUST        1,709,185 
(Cost $1,891,358)          

 

   Shares   Fair Value 
SPECIAL PURPOSE ACQUISITION COMPANIES - 94.18%    
Investment Companies - 94.18%
10X Capital Venture Acquisition Corp. II(g)   834    8,277 
10X Capital Venture Acquisition Corp. III(g)   111,508    1,119,540 
26 Capital Acquisition Corp.(g)   69,009    681,464 
5:01 Acquisition Corp.(g)   91,755    911,586 
7 Acquisition Corp.(g)   50,470    504,448 
7GC & Co. Holdings, Inc.(g)   48,684    481,485 
8i ACQUISITION 2 Corp.(g)   46,160    457,907 
A SPAC I Acquisition Corp.(g)   2    20 
A SPAC II Acquisition Corp.(g)   68,843    680,857 
ABG Acquisition Corp. I(g)   34,184    336,029 
Abri SPAC I, Inc.(g)   47,464    474,165 
Accelerate Acquisition Corp.(g)   66,589    652,572 
Accretion Acquisition Corp.(g)   102,643    1,016,166 
Acropolis Infrastructure Acquisition Corp.(g)   76,319    741,821 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Shares   Fair Value 
Adara Acquisition Corp.(g)   35,768   $355,180 
Adit EdTech Acquisition Corp.(g)   68,464    675,055 
Advanced Merger Partners, Inc.(g)   35,355    347,716 
AEA-Bridges Impact Corp.(g)   136,970    1,366,961 
Aequi Acquisition Corp.(g)   76,958    762,654 
Aesther Healthcare Acquisition Corp.(g)   115,745    1,192,173 
AF Acquisition Corp.(g)   97,266    954,179 
African Gold Acquisition Corp.(g)   176,315    1,734,940 
Agile Growth Corp.(g)   59,098    580,933 
Agrinam Acquisition Corp.(g)   19,798    194,020 
Ahren Acquisition Corp.(g)   19,716    196,569 
AIB Acquisition Corp.(g)   62,010    618,550 
Alpha Healthcare Acquisition Corp. III(g)   22,899    222,807 
Alpha Partners Technology Merger Corp.(g)   19,691    192,184 
Alpine Acquisition Corp.(g)   119,504    1,217,746 
Alset Capital Acquisition Corp.(g)   40,719    401,897 
ALSP Orchid Acquisition Corp. I(g)   104,793    1,050,026 
AltC Acquisition Corp.(g)   61,326    594,862 
AltEnergy Acquisition Corp.(g)   22,461    224,498 
Andretti Acquisition Corp.(g)   50,274    500,729 
Angel Oak Financial Strategies Income Term Trust(g)   469    6,941 
Angel Pond Holdings Corp.(g)   33,960    332,129 
Anthemis Digital Acquisitions I Corp.(g)   99,433    995,324 
Anzu Special Acquisition Corp. I(g)   18,438    181,153 
AP Acquisition Corp.(g)   52,489    528,039 
Apeiron Capital Investment Corp.(g)   112,889    1,133,970 
Apollo Strategic Growth Capital II(g)   45,066    443,900 
APx Acquisition Corp. I(g)   46,626    467,659 
Arbor Rapha Capital Bioholdings Corp. I(g)   91,921    928,862 
Arctos NorthStar Acquisition Corp.(g)   39,600    390,456 
Arena Fortify Acquisition Corp.(g)   103,357    1,038,221 
Ares Acquisition Corp.(g)   74,515    735,463 
Argus Capital Corp.(g)   56,098    562,102 
Aries I Acquisition Corp.(g)   11,338    115,194 
Arisz Acquisition Corp.(g)   34,348    340,732 
Armada Acquisition Corp. I(g)   102    1,015 
Arrowroot Acquisition Corp.(g)   205,758    2,022,601 
Artemis Strategic Investment Corp., Class B(c)(g)   12,038    11,556 
Artemis Strategic Investment Corp.(g)   142,048    1,419,060 
ARYA Sciences Acquisition Corp. V(g)   12,591    122,888 
Ascendant Digital Acquisition Corp. III(g)   183,145    1,844,270 
Astrea Acquisition Corp.(g)   1,854    18,280 
Athena Consumer Acquisition Corp.(g)   93,080    938,246 
Athlon Acquisition Corp.(g)   94,859    935,310 
Atlantic Avenue Acquisition Corp.(g)   143,984    1,432,641 
Atlantic Coastal Acquisition Corp.(g)   51,070    500,997 
Atlantic Coastal Acquisition Corp. II(g)   95,202    951,068 
Atlas Crest Investment Corp. II(g)   74,345    731,555 

 

 
 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Shares   Fair Value 
Ault Disruptive Technologies Corp.(g)   24,919   $249,688 
Aura FAT Projects Acquisition Corp.(g)   58,439    583,806 
Aurora Technology Acquisition Corp.(g)   63,578    632,601 
Austerlitz Acquisition Corp. II(g)   61,850    605,511 
Authentic Equity Acquisition Corp.(g)   12,713    125,732 
Avalon Acquisition, Inc.(g)   77,027    771,040 
Avanti Acquisition Corp.(g)   187,777    1,870,259 
Avista Public Acquisition Corp. II(g)   2,914    29,504 
Axios Sustainable Growth Acquisition Corp.(g)   60,175    605,360 
B Riley Principal 250 Merger Corp.(g)   52,757    514,381 
Bannix Acquisition Corp.(g)   57,872    577,852 
Banyan Acquisition Corp.(g)   87,049    868,749 
Battery Future Acquisition Corp.(g)   92,866    922,159 
BCLS Acquisition Corp.(g)   15,905    158,096 
Beard Energy Transition Acquisition Corp.(g)   120,587    1,201,047 
Belong Acquisition Corp.(g)   60,448    596,320 
Berenson Acquisition Corp. I(g)   67,257    659,119 
BGP Acquisition Corp.(g)   32,622    316,597 
BioPlus Acquisition Corp.(g)   99,655    993,560 
Biotech Acquisition Co.(g)   109,702    1,080,565 
Bite Acquisition Corp.(g)   82,922    816,782 
Black Mountain Acquisition Corp.(g)   103,581    1,034,774 
Black Spade Acquisition Co.(g)   28,533    277,769 
Blockchain Coinvestors Acquisition Corp. I(g)   211,857    2,114,333 
Blockchain Moon Acquisition Corp.(g)   41,209    409,617 
Blue Ocean Acquisition Corp.(g)   50,462    503,106 
Blue Safari Group Acquisition Corp.(g)   20,853    211,866 
Blue Whale Acquisition Corp. I(g)   16,386    159,518 
Blue World Acquisition Corp.(g)   51,687    514,286 
BlueRiver Acquisition Corp.(g)   23,897    235,863 
Bluescape Opportunities Acquisition Corp.(g)   175,838    1,749,588 
BOA Acquisition Corp.(g)   74,344    730,802 
Bridgetown Holdings, Ltd.(g)   7,835    78,037 
Broad Capital Acquisition Corp.(g)   69,924    696,443 
Broadscale Acquisition Corp.(g)   10,459    103,335 
Build Acquisition Corp.(g)   36,073    354,237 
BurTech Acquisition Corp.(g)   163,595    1,631,042 
BYTE Acquisition Corp.(g)   163,063    1,602,909 
C5 Acquisition Corp.(g)   144,119    1,441,190 
Cactus Acquisition Corp. 1, Ltd.(g)   49,956    499,060 
Canna-Global Acquisition Corp.(g)   163,278    1,645,842 
Capitalworks Emerging Markets Acquisition Corp.(g)   138,241    1,386,557 
Carney Technology Acquisition Corp. II(g)   81,138    802,861 
Cartica Acquisition Corp.(g)   148,709    1,496,756 
Catalyst Partners Acquisition Corp.(g)   20,382    199,947 
Catcha Investment Corp.(g)   120,767    1,190,763 
CC Neuberger Principal Holdings III(g)   47,093    466,221 
CENAQ Energy Corp.(g)   122,480    1,241,335 
CF Acquisition Corp. IV(g)   120,117    1,186,756 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments
 

July 31, 2022

 

   Shares   Fair Value 
CF Acquisition Corp. VII(g)   21,449   $213,632 
CF Acquisition Corp. VIII(g)   46,841    474,968 
Chain Bridge I(g)   66,734    666,005 
Chardan NexTech Acquisition 2 Corp.(g)   30,163    306,456 
Chenghe Acquisition Co.(g)   800    8,016 
Churchill Capital Corp. VI(g)   26,323    259,018 
Churchill Capital Corp. VII(g)   50,077    491,255 
CIIG Capital Partners II, Inc.(g)   42,062    419,358 
Clarim Acquisition Corp.(g)   43,321    428,011 
Clean Earth Acquisitions Corp.(g)   99,174    978,352 
ClimateRock(g)   23,557    234,157 
Clover Leaf Capital Corp.(g)   17,736    180,819 
Cohn Robbins Holdings Corp.(g)   17,985    179,490 
Colicity, Inc.(g)   46,304    455,631 
Colombier Acquisition Corp.(g)   77,686    756,662 
Compute Health Acquisition Corp.(g)   83,083    818,368 
Concord Acquisition Corp. III(g)   98,857    989,064 
Consilium Acquisition Corp. I, Ltd.(g)   78,255    771,203 
Constellation Acquisition Corp. I(g)   24,177    238,385 
Conx Corp.(g)   30,069    298,886 
Corazon Capital V838 Monoceros Corp.(g)   12,882    126,501 
Corner Growth Acquisition Corp.(g)   65,955    653,284 
Counter Press Acquisition Corp.(g)   20,213    202,332 
COVA Acquisition Corp.(g)   105,029    1,035,061 
Crixus BH3 Acquisition Co.(g)   15,539    154,069 
Crown PropTech Acquisitions(g)   65,036    639,954 
Crucible Acquisition Corp.(g)   125,933    1,242,971 
Crypto 1 Acquisition Corp.(g)   20,390    203,288 
Crystal Peak Acquisition(g)   334,985    3,349,850 
D & Z Media Acquisition Corp.(g)   68,000    670,480 
DA32 Life Science Tech Acquisition Corp.(g)   108,727    1,059,001 
Data Knights Acquisition Corp.(g)   43,918    452,355 
Decarbonization Plus Acquisition Corp. IV(g)   44,370    442,147 
DEE Tech SA(g)   41,293    415,703 
Deep Lake Capital Acquisition Corp.(g)   55,459    547,935 
Deep Medicine Acquisition Corp.(g)   74,268    745,651 
Denali Capital Acquisition Corp.(g)   27,621    276,210 
DHB Capital Corp.(g)   19,989    196,392 
DHC Acquisition Corp.(g)   44,994    442,741 
DiamondHead Holdings Corp.(g)   74,868    738,198 
Digital Health Acquisition Corp.(g)   62,890    633,302 
Digital Transformation Opportunities Corp.(g)   141,108    1,387,092 
Digital World Acquisition Corp., Class B(c)(g)   25,893    276,019 
DILA Capital Acquisition Corp.(g)   20,741    205,336 
Direct Selling Acquisition Corp.(g)   154,081    1,553,136 
Disruptive Acquisition Corp. I(g)   12,124    119,179 
Disruptive Capital Acquisition Co., Ltd.(g)   58,870    718,714 
dMY Technology Group, Inc. VI(g)   27,831    272,744 

 

 
 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
DP Cap Acquisition Corp. I(g)   89,472   $894,273 
Dragoneer Growth Opportunities Corp. III(g)   28,687    281,133 
DTRT Health Acquisition Corp.(g)   172,359    1,740,826 
DUET Acquisition Corp.(g)   5,996    59,570 
Edify Acquisition Corp.(g)   52,112    514,085 
EG Acquisition Corp.(g)   107,079    1,046,162 
Elliott Opportunity II Corp.(g)   27,348    267,463 
Emerging Markets Horizon Corp.(g)   112,680    1,126,237 
Empowerment & Inclusion Capital I Corp.(g)   145,975    1,440,773 
Endurance Acquisition Corp.(g)   30,511    301,296 
Energem Corp.(g)   72,341    729,197 
Energy Transition Partners BV(g)   50,557    508,965 
Enterprise 4.0 Technology Acquisition Corp.(g)   44,710    447,324 
Epiphany Technology Acquisition Corp.(g)   188,936    1,864,798 
EQ Health Acquisition Corp.(g)   76,034    748,935 
ESG Core Investments BV(g)   281,009    2,745,670 
ESGEN Acquisition Corp.(g)   158,733    1,603,203 
ESM Acquisition Corp.(g)   18,627    183,290 
Eucrates Biomedical Acquisition Corp.(g)   22,562    224,266 
Eureking SA(g)   59,955    605,108 
European Biotech Acquisition Corp.(g)   1,223    12,059 
EVe Mobility Acquisition Corp.(g)   83,089    828,397 
Everest Consolidator Acquisition Corp.(g)   100,984    1,013,879 
Evergreen Corp.(g)   70,091    702,312 
Evo Acquisition Corp.(g)   56,878    559,680 
ExcelFin Acquisition Corp.(g)   51,002    509,765 
Executive Network Partnering Corp.(g)   83,964    834,602 
Far Peak Acquisition Corp.(g)   21,242    209,234 
FAST Acquisition Corp. II(g)   28,787    282,400 
Fat Projects Acquisition Corp., Class B(c)(g)   4,886    5,081 
Fat Projects Acquisition Corp.(g)   61,845    614,739 
FG Acquisition Corp.(g)   50,526    497,681 
FG Merger Corp.(g)   1,483    14,815 
Fifth Wall Acquisition Corp. III(g)   77,093    753,199 
Figure Acquisition Corp. I(g)   6,245    61,451 
Financial Strategies Acquisition Corp.(g)   65,207    651,744 
Financials Acquisition Corp.(g)   57,393    691,945 
Finnovate Acquisition Corp.(g)   100,186    999,856 
FinServ Acquisition Corp. II(g)   50,815    500,020 
FinTech Acquisition Corp. VI(g)   150,553    1,487,464 
Fintech Ecosystem Development Corp.(g)   54,704    550,322 
Fintech Evolution Acquisition Group(g)   61,069    599,698 
First Light Acquisition Group, Inc.(g)   45,338    451,566 
First Reserve Sustainable Growth Corp.(g)   17,131    168,055 
Flame Acquisition Corp.(g)   177,120    1,741,090 
Focus Impact Acquisition Corp.(g)   56,923    568,945 
Forbion European Acquisition Corp.(g)   22,181    222,365 
Forest Road Acquisition Corp. II(g)   108,352    1,062,933 
Fortistar Sustainable Solutions Corp.(g)   27,088    266,817 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

    Shares   Fair Value  
Fortress Capital Acquisition Corp.(g)   124,120   $1,227,547 
Fortress Value Acquisition Corp. III(g)   34,526    340,772 
Fortress Value Acquisition Corp. IV(g)   13,870    136,203 
Fortune Rise Acquisition Corp.(g)   36,191    366,615 
Forum Merger IV Corp.(g)   104,456    1,025,758 
Frazier Lifesciences Acquisition Corp.(g)   19,116    189,822 
Freedom Acquisition I Corp.(g)   18,275    180,191 
Frontier Acquisition Corp.(g)   57,947    569,040 
FTAC Athena Acquisition Corp.(g)   5,118    50,336 
FTAC Hera Acquisition Corp.(g)   227,355    2,234,900 
FTAC Parnassus Acquisition Corp.(g)   39,792    391,951 
FTAC Zeus Acquisition Corp.(g)   121,313    1,202,212 
Fusion Acquisition Corp. II(g)   188,052    1,848,551 
Future Health ESG Corp.(g)   77,163    769,315 
FutureTech II Acquisition Corp.(g)   52,279    525,404 
G Squared Ascend II, Inc.(g)   34,568    341,013 
Galata Acquisition Corp.(g)   53,213    527,341 
Games & Esports Experience Acquisition Corp.(g)   118,761    1,197,111 
Gaming & Hospitality Acquisition Corp.(g)   48,459    477,563 
Gardiner Healthcare Acquisitions Corp.(g)   19,715    196,953 
Genesis Growth Tech Acquisition Corp.(g)   47,855    480,943 
Genesis Unicorn Capital Corp.(g)   6,940    69,400 
GFJ Esg Acquisition I SE(g)   75,358    770,193 
GigCapital5, Inc.(g)   60,253    605,543 
GigInternational1, Inc.(g)   47,940    483,715 
Gladstone Acquisition Corp.(g)   37,300    378,222 
Glass Houses Acquisition Corp.(g)   150,419    1,477,115 
Global Blockchain Acquisition Corp.(g)   40,470    398,427 
Global Consumer Acquisition Corp.(g)   36,026    364,583 
Global Partner Acquisition Corp. II(g)   31,433    310,872 
Global Technology Acquisition Corp. I(g)   85,831    858,310 
Globalink Investment, Inc.(g)   58,520    584,030 
GO Acquisition Corp.(g)   133,924    1,340,579 
Goal Acquisitions Corp.(g)   88,824    874,028 
GoGreen Investments Corp.(g)   130,678    1,313,314 
Golden Arrow Merger Corp.(g)   92,834    912,558 
Golden Falcon Acquisition Corp.(g)   139,454    1,379,200 
Goldenstone Acquisition, Ltd.(g)   5,502    54,745 
Good Works II Acquisition Corp.(g)   61,516    612,699 
Gores Holdings IX, Inc.(g)   121,537    1,169,186 
Gores Holdings VII, Inc.(g)   297,586    2,925,270 
Gores Holdings VIII, Inc.(g)   21,559    212,141 
Gores Technology Partners II, Inc.(g)   49,313    484,254 
Gores Technology Partners, Inc.(g)   1,934    18,992 
Graf Acquisition Corp. IV(g)   55,750    545,235 
Green Visor Financial Technology Acquisition Corp. I(g)   95,725    962,994 
Group Nine Acquisition Corp.(g)   12,236    120,769 
GSR II Meteora Acquisition Corp.(g)   142,738    1,413,106 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value  
Hamilton Lane Alliance Holdings I, Inc.(g)   21,117   $208,425 
Hawks Acquisition Corp.(g)   117,468    1,150,012 
Health Assurance Acquisition Corp.(g)   20,290    201,277 
Healthcare Services Acquisition Corp.(g)   51,077    504,130 
Healthwell Acquisition Corp. I(g)   2,001    19,470 
Heartland Media Acquisition Corp., Class A(g)   2,998    29,860 
Hennessy Capital Investment Corp. V(g)   16,611    163,951 
HH&L Acquisition Co.(g)   89,355    879,253 
HHG Capital Corp.(g)   17,425    174,773 
HIG Acquisition Corp.(g)   103,397    1,027,766 
Highland Transcend Partners I Corp.(g)   31,494    312,420 
HNR Acquisition Corp.(g)   44,874    450,086 
Home Plate Acquisition Corp.(g)   46,382    455,471 
Hudson Executive Investment Corp. II(g)   44,517    438,492 
Hudson Executive Investment Corp. III(g)   134,382    1,323,663 
HumanCo Acquisition Corp.(g)   24,511    242,659 
Hunt Cos. Acquisition Corp. I(g)   128,300    1,294,547 
Ibere Pharmaceuticals(g)   6,446    63,429 
Iconic Sports Acquisition Corp.(g)   85,644    861,579 
IG Acquisition Corp.(g)   13,337    132,703 
Ignyte Acquisition Corp.(g)   17,138    170,095 
Inception Growth Acquisition, Ltd.(g)   33,772    335,525 
Independence Holdings Corp.(g)   3,378    33,172 
Industrial Human Capital, Inc.(g)   14,916    150,502 
Industrial Tech Acquisitions II, Inc.(g)   101,997    1,017,930 
Infinite Acquisition Corp.(g)   28,365    280,530 
InFinT Acquisition Corp.(g)   110,294    1,111,212 
Innovative International Acquisition Corp.(g)   134,343    1,352,834 
Insight Acquisition Corp.(g)   36,845    364,029 
INSU Acquisition Corp. III(g)   14,981    148,012 
Integral Acquisition Corp. 1(g)   38,577    382,298 
Integrated Rail and Resources Acquisition Corp.(g)   153,090    1,532,431 
Integrated Wellness Acquisition Corp.(g)   58,418    587,685 
Intelligent Medicine Acquisition Corp.(g)   128,628    1,291,425 
InterPrivate IV InfraTech Partners, Inc.(g)   80,861    793,246 
Investcorp Europe Acquisition Corp. I(g)   55,193    554,138 
Investcorp India Acquisition Corp.(g)   74,944    752,438 
ION Acquisition Corp. 3, Ltd.(g)   1,887    18,530 
Iron Spark I, Inc.(g)   38,366    379,440 
Isleworth Healthcare Acquisition Corp.(g)   50,061    499,358 
Itiquira Acquisition Corp.(g)   119,763    1,183,857 
IX Acquisition Corp.(g)   22,361    220,708 
Jack Creek Investment Corp.(g)   24,302    239,861 
Jackson Acquisition Co.(g)   5,642    55,856 
Jaws Juggernaut Acquisition Corp.(g)   14,501    141,892 
Jaws Mustang Acquisition Corp.(g)   159,559    1,578,039 
Jiya Acquisition Corp.(g)   788    7,809 
JOFF Fintech Acquisition Corp.(g)   122,924    1,209,572 
Juniper II Corp.(g)   40,172    400,113 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Jupiter Acquisition Corp.(g)   14,439   $140,491 
Jupiter Wellness Acquisition Corp.(g)   88,009    879,650 
Kadem Sustainable Impact Corp.(g)   75,482    741,233 
Kairos Acquisition Corp.(g)   11,597    114,694 
Kairous Acquisition Corp. ltd(g)   13,555    135,753 
Kensington Capital Acquisition Corp. V(g)   58,918    585,645 
Kernel Group Holdings, Inc.(g)   59,893    591,144 
Keyarch Acquisition Corp.(g)   20,135    197,726 
Khosla Ventures Acquisition Co.(g)   18,131    177,502 
Kimbell Tiger Acquisition Corp.(g)   119,582    1,206,582 
Kismet Acquisition Two Corp.(g)   39,461    388,099 
KKR Acquisition Holdings I Corp.(g)   168,511    1,658,148 
KL Acquisition Corp.(g)   92,996    916,941 
KnightSwan Acquisition Corp.(g)   8,994    89,760 
L Catterton Asia Acquisition Corp.(g)   5,761    56,717 
Lakeshore Acquisition I Corp.(g)   12,332    123,258 
LAMF Global Ventures Corp. I(g)   138,675    1,381,203 
Landcadia Holdings IV, Inc.(g)   72,758    712,301 
Larkspur Health Acquisition Corp.(g)   35,393    353,753 
LAVA Medtech Acquisition Corp.(g)   37,985    380,610 
Lazard Growth Acquisition Corp. I(g)   64,054    631,572 
LDH Growth Corp. I(g)   42,328    416,508 
Lefteris Acquisition Corp.(g)   43,328    430,247 
Legato Merger Corp. II(g)   25,933    258,033 
Leo Holdings Corp. II(g)   50,399    498,446 
Levere Holdings Corp.(g)   54,573    537,817 
LF Capital Acquisition Corp. II, Class A(g)   166,778    1,676,119 
Liberty Resources Acquisition Corp.(g)   76,982    773,669 
Lionheart III Corp.(g)   77,022    772,531 
LIV Capital Acquisition Corp. II(g)   58,346    584,043 
LMF Acquisition Opportunities, Inc.(g)   59,099    603,992 
Logistics Innovation Technologies Corp.(g)   30,319    295,610 
Longview Acquisition Corp. II(g)   40,650    399,996 
Lux Health Tech Acquisition Corp.(g)   40,694    403,888 
M3-Brigade Acquisition II Corp.(g)   86,250    846,975 
M3-Brigade Acquisition III Corp.(g)   14,905    149,497 
Macondray Capital Acquisition Corp. I(g)   84,283    839,459 
Magnum Opus Acquisition, Ltd.(g)   36,420    357,644 
Malacca Straits Acquisition Co., Ltd.(g)   26,253    268,043 
Mana Capital Acquisition Corp.(g)   39,874    398,341 
Marblegate Acquisition Corp.(g)   153,146    1,520,740 
Marlin Technology Corp.(g)   269,133    2,664,417 
Maxpro Capital Acquisition Corp.(g)   37,123    374,942 
McLaren Technology Acquisition Corp.(g)   122,181    1,227,919 
MDH Acquisition Corp.(g)   54,356    534,863 
Medicus Sciences Acquisition Corp.(g)   80,321    791,162 
Mercato Partners Acquisition Corp.(g)   99,370    995,191 
Metal Sky Star Acquisition Corp.(g)   40,420    398,945 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Metals Acquisition Corp.(g)   35,266   $344,901 
Minority Equality Opportunities Acquisition, Inc.(g)   140,593    1,424,207 
Mission Advancement Corp.(g)   89,303    876,955 
Model Performance Acquisition Corp.(g)   8,645    88,438 
Monterey Bio Acquisition Corp.(g)   60,261    606,226 
Monument Circle Acquisition Corp.(g)   32,069    316,200 
Moringa Acquisition Corp.(g)   35,406    348,395 
Motive Capital Corp. II(g)   12,857    127,606 
Mount Rainier Acquisition Corp.(g)   13,035    131,262 
Mountain & Co. I Acquisition Corp.(g)   125,353    1,271,079 
Mountain Crest Acquisition Corp. IV(g)   34,801    344,008 
Mountain Crest Acquisition Corp. V(g)   18,152    179,705 
Mudrick Capital Acquisition Corp. II(g)   413,808    4,183,599 
Murphy Canyon Acquisition Corp.(g)   51,468    517,768 
Music Acquisition Corp.(g)   108,303    1,065,702 
Nabors Energy Transition Corp.(g)   188,038    1,888,842 
Natural Order Acquisition Corp.(g)   17,524    173,838 
New Energy One Acquisition Corp. PLC(g)   445,953    5,376,526 
New Providence Acquisition Corp. II(g)   77,530    773,749 
New Vista Acquisition Corp.(g)   46,189    455,885 
Newbury Street Acquisition Corp.(g)   20,019    196,386 
Newcourt Acquisition Corp.(g)   126,219    1,271,025 
Noble Rock Acquisition Corp.(g)   56,711    561,439 
North Mountain Merger Corp.(g)   1,650    16,426 
Northern Star Investment Corp. II(g)   201,428    1,984,066 
Northern Star Investment Corp. III(g)   58,650    577,263 
Northern Star Investment Corp. IV(g)   70,002    688,120 
NorthView Acquisition Corp.(g)   38,482    382,896 
Nova Vision Acquisition Corp.(g)   32,258    328,225 
Nubia Brand International Corp.(g)   58,524    586,996 
OCA Acquisition Corp.(g)   9,841    99,000 
OceanTech Acquisitions I Corp.(g)   55,467    562,435 
Omega Alpha SPAC(g)   12,550    123,994 
OmniLit Acquisition Corp.(g)   77,702    779,351 
One Equity Partners Open Water I Corp.(g)   72,832    718,124 
Onyx Acquisition Co. I(g)   137,450    1,381,373 
OPY Acquisition Corp. I(g)   11,708    115,734 
Orion Acquisition Corp.(g)   23,870    234,403 
Osiris Acquisition Corp.(g)   23,661    231,168 
Oxbridge Acquisition Corp.(g)   17,547    176,698 
Oxus Acquisition Corp.(g)   52,867    529,992 
Oyster Enterprises Acquisition Corp.(g)   114,212    1,126,701 
Pacifico Acquisition Corp.(g)   7,239    72,933 
Papaya Growth Opportunity Corp. I(g)   114,924    1,152,688 
Parabellum Acquisition Corp.(g)   66,764    660,296 
Parsec Capital Acquisitions Corp.(g)   41,916    423,561 
Pathfinder Acquisition Corp.(g)   32,966    324,385 
Patria Latin American Opportunity Acquisition Corp.(g)   92,291    928,909 
Pearl Holdings Acquisition Corp.(g)   36,968    367,832 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Pegasus Digital Mobility Acquisition Corp.(g)   65,953   $658,211 
Pegasus Digital Mobility Acquisition Corp., Class B(c)(g)   4,456    4,679 
PepperLime Health Acquisition Corp.(g)   23,753    235,155 
Perception Capital Corp. II(g)   118,089    1,191,518 
Peridot Acquisition Corp. II(g)   30,189    297,060 
Phoenix Biotech Acquisition Corp.(g)   57,685    581,465 
PHP Ventures Acquisition Corp.(g)   32,042    323,304 
Pine Island Acquisition Corp.(g)   32,688    323,938 
Pine Technology Acquisition Corp.(g)   162,272    1,593,511 
Pioneer Merger Corp.(g)   32,375    319,865 
Pivotal Investment Corp. III(g)   14,002    137,920 
Plum Acquisition Corp. I(g)   73,302    722,758 
PMV Consumer Acquisition Corp.(g)   35,259    351,180 
Pono Capital Corp.(g)   42,685    433,466 
Pontem Corp.(g)   70,672    700,360 
Population Health Investment Co., Inc.(g)   5,397    53,700 
Power & Digital Infrastructure Acquisition II Corp.(g)   44,362    438,075 
Powered Brands(g)   32,988    326,086 
PowerUp Acquisition Corp.(g)   141,091    1,414,437 
Primavera Capital Acquisition Corp.(g)   176,947    1,746,467 
Priveterra Acquisition Corp.(g)   42,674    420,339 
Progress Acquisition Corp.(g)   36,214    359,967 
PROOF Acquisition Corp. I(g)   61,707    613,374 
Property Solutions Acquisition Corp. II(g)   25,701    252,384 
PropTech Investment Corp. II(g)   41,944    415,455 
Prospector Capital Corp.(g)   18,816    185,996 
Provident Acquisition Corp.(g)   46,397    459,330 
Pyrophyte Acquisition Corp.(g)   59,361    596,578 
RCF Acquisition Corp.(g)   109,504    1,094,492 
Recharge Acquisition Corp.(g)   126,426    1,271,213 
Redwoods Acquisition Corp.(g)   32,327    319,714 
Relativity Acquisition Corp.(g)   52,087    523,474 
Revelstone Capital Acquisition Corp.(g)   77,115    761,511 
Revolution Healthcare Acquisition Corp.(g)   13,086    128,505 
RF Acquisition Corp.(g)   23,928    237,605 
Ribbit LEAP, Ltd.(g)   12,229    121,801 
Rigel Resource Acquisition Corp.(g)   64,290    643,221 
Riverview Acquisition Corp.(g)   53,597    534,586 
ROC Energy Acquisition Corp.(g)   74,024    740,240 
Rocket Internet Growth Opportunities Corp.(g)   33,430    328,283 
Rose Hill Acquisition Corp.(g)   83,056    836,374 
Rosecliff Acquisition Corp. I(g)   91,784    902,237 
Ross Acquisition Corp. II(g)   2,870    28,183 
Roth CH Acquisition IV Co.(g)   17,880    179,158 
Roth CH Acquisition V Co.(g)   62,531    619,057 
RXR Acquisition Corp.(g)   12,933    127,261 
Sagaliam Acquisition Corp.(g)   100,069    997,688 
Sanaby Health Acquisition Corp. I(g)   90,010    908,651 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Sandbridge X2 Corp.(g)   67,694   $664,078 
Sarissa Capital Acquisition Corp.(g)   712    7,084 
Science Strategic Acquisition Corp. Alpha(g)   107,999    1,064,870 
ScION Tech Growth I(g)   174,243    1,725,877 
ScION Tech Growth II(g)   60,966    601,125 
SCP & Co. Healthcare Acquisition Co(g)   32,688    322,140 
Screaming Eagle Acquisition Corp.(g)   67,654    650,155 
Sculptor Acquisition Corp. I(g)   36,931    367,094 
Sculptor Capital Management, Inc.(g)   78,255    767,682 
Seaport Calibre Materials Acquisition Corp.(g)   39,743    398,026 
Seaport Global Acquisition II Corp.(g)   91,410    913,186 
Semper Paratus Acquisition Corp.(g)   196,100    1,975,708 
Senior Connect Acquisition Corp. I(g)   185,610    1,833,827 
Shelter Acquisition Corp. I(g)   39,147    386,772 
ShoulderUp Technology Acquisition Corp.(g)   151,540    1,511,611 
SHUAA Partners Acquisition Corp. I(g)   45,916    459,160 
Sierra Lake Acquisition Corp.(g)   66,804    664,700 
Signal Hill Acquisition Corp.(g)   26,924    269,240 
Silver Crest Acquisition Corp.(g)   154,643    1,541,791 
Silver Spike III Acquisition Corp.(g)   55,043    571,346 
SILVERspac, Inc.(g)   55,349    537,439 
Simon Property Group Acquisition Holdings, Inc.(g)   10,510    103,523 
Sizzle Acquisition Corp.(g)   87,181    875,297 
Skydeck Acquisition Corp.(g)   13,316    130,230 
Slam Corp.(g)   58,910    580,264 
Soar Technology Acquisition Corp.(g)   57,771    589,264 
Social Capital Hedosophia Holdings Corp. VI(g)   19,215    191,381 
Social Capital Suvretta Holdings Corp. I(g)   67,140    668,714 
Social Capital Suvretta Holdings Corp. II(g)   58,318    568,601 
Social Capital Suvretta Holdings Corp. IV(g)   86,410    842,498 
Social Leverage Acquisition Corp. I(g)   47,446    468,292 
Software Acquisition Group, Inc. III(g)   45,702    462,504 
Sound Point Acquisition Corp. I, Ltd.(g)   99,902    1,007,012 
Southport Acquisition Corp.(g)   49,077    489,298 
Spear Investments I BV(g)   20,690    210,404 
Spindletop Health Acquisition Corp.(g)   122,357    1,232,135 
SportsMap Tech Acquisition Corp.(g)   30,800    308,000 
SportsTek Acquisition Corp.(g)   34,022    335,287 
Spree Acquisition Corp. 1, Ltd.(g)   75,747    760,500 
Springwater Special Situations Corp.(g)   58,969    584,972 
ST Energy Transition I, Ltd.(g)   93,266    927,997 
StoneBridge Acquisition Corp.(g)   109,133    1,094,604 
Stratim Cloud Acquisition Corp.(g)   51,586    507,090 
Summit Healthcare Acquisition Corp.(g)   42,915    419,280 
Supernova Partners Acquisition Co. III, Ltd.(g)   25,440    249,821 
Sustainable Development Acquisition I Corp.(g)   178,237    1,755,634 
SVF Investment Corp.(g)   180,495    1,786,901 
SVF Investment Corp. 2(g)   218,988    2,157,032 
Swiftmerge Acquisition Corp.(g)   72,847    720,093 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Tailwind Acquisition Corp.(g)   97,632   $973,391 
Talon 1 Acquisition Corp.(g)   143,866    1,453,766 
Tastemaker Acquisition Corp.(g)   74,624    744,001 
TB SA Acquisition Corp.(g)   81,664    801,940 
Tech and Energy Transition Corp.(g)   64,240    630,194 
Technology & Telecommunication Acquisition Corp.(g)   52,993    530,990 
Tekkorp Digital Acquisition Corp.(g)   1,256    12,485 
Thrive Acquisition Corp.(g)   95,562    964,698 
Thunder Bridge Capital Partners III, Inc.(g)   71,331    701,897 
Tiga Acquisition Corp.(g)   641    6,615 
Tio Tech A(g)   22,150    217,513 
Tishman Speyer Innovation Corp. II(g)   85,092    837,305 
TLG Acquisition One Corp.(g)   96,180    949,297 
TLGY Acquisition Corp.(g)   136,622    1,367,586 
TPG Pace Beneficial II Corp.(g)   150,036    1,470,353 
Transition SA(g)   33,822    343,948 
Tribe Capital Growth Corp. I(g)   72,859    714,747 
Trine II Acquisition Corp.(g)   125,769    1,257,690 
Turmeric Acquisition Corp.(g)   606    6,024 
Twelve Seas Investment Co. II(g)   85,682    842,682 
Twin Ridge Capital Acquisition Corp.(g)   8,071    79,338 
TZP Strategies Acquisition Corp.(g)   138,058    1,362,632 
UTA Acquisition Corp.(g)   88,121    878,566 
Vahanna Tech Edge Acquisition I Corp.(g)   132,585    1,336,457 
Valor Latitude Acquisition Corp.(g)   22,158    217,038 
Valuence Merger Corp. I(g)   121,556    1,228,931 
VAM Investments Spac BV(g)   25,279    253,196 
Vector Acquisition Corp. II(g)   14,215    139,876 
Velocity Acquisition Corp.(g)   77,596    761,993 
Viscogliosi Brothers Acquisition Corp.(g)   41,703    414,111 
Vision Sensing Acquisition Corp.(g)   26,576    267,886 
VMG Consumer Acquisition Corp.(g)   124,658    1,244,087 
VPC Impact Acquisition Holdings II(g)   7,231    71,008 
Vy Global Growth(g)   14,174    140,890 
Warburg Pincus Capital Corp. I-A(g)   52,113    512,792 
Warburg Pincus Capital Corp. I-B(g)   61,234    601,318 
Warrior Technologies Acquisition Co.(g)   125,462    1,250,856 
Welsbach Technology Metals Acquisition Corp.(g)   29,572    294,389 
Western Acquisition Ventures Corp.(g)   29,980    298,601 
Williams Rowland Acquisition Corp.(g)   143,801    1,446,638 
WinVest Acquisition Corp.(g)   115,745    1,156,293 
World Quantum Growth Acquisition Corp.(g)   84,860    845,206 
Worldwide Webb Acquisition Corp.(g)   2,153    21,379 
XPAC Acquisition Corp.(g)   11,711    114,651 
Yotta Acquisition Corp.(g)   47,369    467,769 
Zimmer Energy Transition Acquisition Corp.(g)   12,320    119,997 
Z-Work Acquisition Corp.(g)   43,015    423,698 
         364,566,000 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
           
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES       $364,566,000 
(Cost $359,008,011)          
           
WARRANTS - 0.47%(g)          
10X Capital Venture Acquisition Corp. III, Expires 12/31/2027, Strike Price $11.50   55,754    5,575 
7 Acquisition Corp., Expires 11/05/2026, Strike Price $11.50   25,051    3,758 
A SPAC II Acquisition Corp., Expires 05/03/2027, Strike Price $11.50   34,421    3,101 
Achari Ventures Holdings Corp. I, Expires 08/05/2026, Strike Price $11.50   38,384    2,790 
Agrinam Acquisition Corp, Expires 07/21/2027, Strike Price $11.50   19,798    3,861 
Ahren Acquisition Corp., Expires 06/17/2028, Strike Price $11.50   47,850    7,177 
Alpha Healthcare Acquisition Corp. III, Expires 04/12/2027, Strike Price $11.50   3,816    1,221 
Alset Capital Acquisition Corp., Expires 02/02/2027, Strike Price $11.50   13,297    565 
ALSP Orchid Acquisition Corp. I, Expires 11/30/2028, Strike Price $11.50   52,397    6,550 
Andretti Acquisition Corp., Expires 03/23/2028, Strike Price $11.50   24,523    2,207 
AP Acquisition Corp., Expires 12/07/2026, Strike Price $11.50   9,857    1,971 
Apeiron Capital Investment Corp., Expires 06/24/2023, Strike Price $11.50   49,159    6,022 
APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50   3,981    606 
Arbor Rapha Capital Bioholdings Corp. I, Expires 03/14/2023, Strike Price $11.50   23,851    2,467 
Arctos NorthStar Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   28,596    3,317 
Arena Fortify Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   51,232    8,817 
Arisz Acquisition Corp., Expires 11/16/2026, Strike Price $11.50   34,348    2,231 
Artemis Strategic Investment Corp., Expires 02/12/2023, Strike Price $11.50   52,405    5,736 
Ascendant Digital Acquisition Corp. III, Expires 04/19/2023, Strike Price $11.50   78,866    9,196 
Athena Consumer Acquisition Corp., Expires 07/20/2023, Strike Price $11.50   33,717    5,054 
Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50   36,968    5,878 
Athlon Acquisition Corp., Expires 03/05/2026, Strike Price $11.50   10,917    764 
Atlantic Coastal Acquisition Corp. II, Expires 06/02/2028, Strike Price $11.50   80,774    7,391 
Ault Disruptive Technologies Corp., Expires 06/20/2028, Strike Price $11.50   18,483    958 
Aura FAT Projects Acquisition Corp., Expires 06/02/2027, Strike Price $11.50   58,439    5,479 
Aurora Technology Acquisition Corp., Expires 02/07/2028, Strike Price $11.50   63,578    2,225 
Axios Sustainable Growth Acquisition Corp., Expires 02/16/2027, Strike Price $11.50   43,990    2,622 
Banyan Acquisition Corp., Expires 09/30/2028, Strike Price $11.50   45,560    5,556 
Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50   36,968    7,390 
Beard Energy Transition Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   60,293    12,360 
BenevolentAI, Expires 06/30/2026, Strike Price $11.50   7,014    2,867 
Benson Hill Inc., Expires 03/25/2027, Strike Price $3.90(c)   187,607    58,158 
BioPlus Acquisition Corp., Expires 07/19/2028, Strike Price $11.50   45,412    6,812 
Black Mountain Acquisition Corp., Expires 10/15/2027, Strike Price $11.50   46,279    7,405 
Black Spade Acquisition Co., Expires 06/29/2023, Strike Price $11.50   14,266    1,890 
bleuacacia, Ltd., Expires 10/30/2026, Strike Price $11.50   100,804    10,564 
Blockchain Coinvestors Acquisition Corp. I, Expires 11/01/2028, Strike Price $11.50   93,986    8,482 
Blue Ocean Acquisition Corp., Expires 10/21/2028, Strike Price $11.50   16,257    1,706 
Blue World Acquisition Corp., Expires 01/10/2029, Strike Price $11.50   23,302    1,050 
Bluescape Opportunities Acquisition Corp., Expires 01/31/2026, Strike Price $11.50   49,310    5,232 
Bullpen Parlay Acquisition Co., Expires 12/03/2026, Strike Price $11.50   57,733    10,455 
BurTech Acquisition Corp., Expires 12/18/2026, Strike Price $11.50   23,368    1,881 
BYTE Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   20,143    2,315 
C5 Acquisition Corp., Expires 05/19/2028, Strike Price $11.50   72,059    11,529 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Cactus Acquisition Corp. 1, Ltd., Expires 07/20/2023, Strike Price $11.50   21,180   $2,858 
Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50   154,766    6,562 
Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50   69,120    6,909 
Carney Technology Acquisition Corp. II, Expires 11/30/2027, Strike Price $11.50   46,429    7,426 
CARTESIAN GROWTH Corp. II, Expires 07/12/2028, Strike Price $11.50   5,984    1,556 
Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50   74,354    13,012 
Catalyst Partners Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   4,076    765 
CENAQ Energy Corp., Expires 12/31/2027, Strike Price $11.50   327    29 
CF Acquisition Corp. IV, Expires 12/14/2025, Strike Price $11.50   13,333    993 
CF Acquisition Corp. VII, Expires 03/15/2026, Strike Price $11.50   4,928    702 
Chain Bridge I, Expires 12/31/2028, Strike Price $11.50   33,367    6,340 
Chenghe Acquisition Co., Expires 04/28/2027, Strike Price $11.50   400    57 
Churchill Capital Corp. VII, Expires 02/29/2028, Strike Price $11.50   26,731    5,881 
CIIG Capital Partners II, Inc., Expires 02/28/2028, Strike Price $11.50   11,642    1,860 
Cineworld, Expires 11/23/2025, Strike Price $0.04   88,914    11,153 
Clarim Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   27,552    3,167 
Clean Earth Acquisitions Corp., Expires 02/24/2028, Strike Price $11.50   49,587    4,488 
Climate Real Impact Solutions II Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   24    3 
ClimateRock, Expires 06/01/2027, Strike Price $11.50   11,778    1,187 
Compute Health Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   26,926    5,116 
Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50   25,741    6,178 
Concord Acquisition Corp. III, Expires 12/31/2028, Strike Price $11.50   54,452    9,513 
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027, Strike Price $11.50   38,488    2,973 
Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   41,045    2,467 
Counter Press Acquisition Corp., Expires 02/09/2027, Strike Price $11.50   10,106    1,011 
Crescera Capital Acquisition Corp., Expires 04/20/2028, Strike Price $11.50   63,791    6,902 
Crypto 1 Acquisition Corp., Expires 01/11/2027, Strike Price $11.50   98,684    9,839 
Crystal Peak Acquisition, Expires 06/22/2026, Strike Price $11.50   34,484    15,690 
D & Z Media Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   1,601    105 
DEE Tech SA, Expires 06/23/2023, Strike Price $11.50   35,099    5,203 
Deep Lake Capital Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   27,192    1,474 
Deezer SA, Expires 06/07/2027, Strike Price $11.50   95,238    14,601 
Denali Capital Acquisition Corp., Expires 04/07/2027, Strike Price $11.50   27,621    2,507 
DHC Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   25,249    5,052 
DiamondHead Holdings Corp., Expires 01/28/2028, Strike Price $11.50   11,333    1,656 
Digital Health Acquisition Corp., Expires 10/14/2023, Strike Price $11.50   17,736    1,419 
dMY Technology Group, Inc. VI, Expires 06/25/2023, Strike Price $11.50   3,783    946 
DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50   5,996    775 
EG Acquisition Corp., Expires 05/28/2028, Strike Price $11.50   27,981    4,477 
Emerging Markets Horizon Corp., Expires 02/08/2028, Strike Price $11.50   73,685    9,579 
Empowerment & Inclusion Capital I Corp., Expires 12/31/2027, Strike Price $11.50   16,634    998 
Energem Corp., Expires 03/10/2023, Strike Price $11.50   45,714    3,433 
Energy Transition Partners BV, Expires 07/16/2026, Strike Price $11.50   16,852    4,220 
Epiphany Technology Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   36,039    4,685 
EQ Health Acquisition Corp., Expires 02/02/2028, Strike Price $11.50   20,194    2,038 
ESGEN Acquisition Corp., Expires 06/28/2023, Strike Price $11.50   61,117    10,084 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Eureking SA, Expires 05/12/2027, Strike Price $11.50   59,955   $21,447 
EVe Mobility Acquisition Corp., Expires 05/12/2028, Strike Price $11.50   27,110    3,401 
Everest Consolidator Acquisition Corp., Expires 07/19/2028, Strike Price $11.50   50,492    5,254 
Evergreen Corp., Expires 02/15/2027, Strike Price $11.50   70,092    5,418 
ExcelFin Acquisition Corp., Expires 07/05/2023, Strike Price $11.50   22,366    3,688 
Executive Network Partnering Corp., Expires 09/25/2028, Strike Price $11.50   229,908    211,515 
Fat Projects Acquisition Corp., Expires 12/16/2022, Strike Price $11.50   37,947    2,463 
FG Acquisition Corp., Expires 04/05/2030, Strike Price $11.50   25,263    27,537 
FG Merger Corp., Expires 06/17/2027, Strike Price $11.50   1,112    131 
Financial Strategies Acquisition Corp., Expires 03/31/2028, Strike Price $11.50   6,820    406 
Financials Acquisition Corp., Expires 04/04/2027, Strike Price $1150.00   28,696    4,543 
Finnovate Acquisition Corp., Expires 04/15/2023, Strike Price $11.50   71,462    7,882 
FinServ Acquisition Corp. II, Expires 02/17/2026, Strike Price $11.50   22,794    3,739 
FinTech Acquisition Corp. VI, Expires 12/31/2027, Strike Price $11.50   512    67 
Fintech Ecosystem Development Corp., Expires 12/31/2028, Strike Price $11.50   27,352    2,222 
Fintech Evolution Acquisition Group, Expires 03/31/2028, Strike Price $11.50   17,608    1,914 
Flame Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   5,451    1,063 
Forbion European Acquisition Corp., Expires 05/23/2028, Strike Price $11.50   7,393    1,109 
Fortistar Sustainable Solutions Corp., Expires 12/31/2027, Strike Price $11.50   39,098    3,519 
Fortune Rise Acquisition Corp., Expires 11/26/2023, Strike Price $11.50   15,616    1,285 
FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50   27,108    4,473 
FTAC Parnassus Acquisition Corp., Expires 03/10/2026, Strike Price $11.50   10,083    2,522 
FTAC Zeus Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   135,656    20,348 
Fusion Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50   20,782    2,099 
Future Health ESG Corp., Expires 02/19/2023, Strike Price $11.50   37,402    12,728 
FutureTech II Acquisition Corp., Expires 02/16/2027, Strike Price $11.50   48,383    2,901 
Games & Esports Experience Acquisition Corp., Expires 10/21/2028, Strike Price $11.50   59,290    8,615 
Gardiner Healthcare Acquisitions Corp., Expires 07/30/2028, Strike Price $11.50   14,786    1,406 
Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50   9,241    2,451 
GigCapital5, Inc., Expires 12/31/2028, Strike Price $11.50   3,954    237 
GigInternational1, Inc., Expires 12/31/2028, Strike Price $11.50   31,595    1,738 
Glass Houses Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   33,299    7,614 
Global Blockchain Acquisition Corp., Expires 05/10/2027, Strike Price $11.50   40,470    2,084 
Global Technology Acquisition Corp. I, Expires 07/13/2023, Strike Price $11.50   23,734    3,797 
Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50   14,771    687 
GoGreen Investments Corp., Expires 06/04/2023, Strike Price $11.50   65,339    18,295 
Gores Holdings IX, Inc., Expires 01/14/2029, Strike Price $11.50   40,512    17,623 
Green Visor Financial Technology Acquisition Corp. I, Expires 05/08/2023, Strike Price $11.50   47,750    9,607 
Growth For Good Acquisition Corp., Expires 11/12/2026, Strike Price $11.50   51,285    5,641 
GSR II Meteora Acquisition Corp., Expires 07/22/2023, Strike Price $11.50   119,353    11,816 
Harvey Gulf, Expires 12/31/2049, Strike Price $0.01   16,636    266,176 
HCM ACQUISITION Corp., Expires 12/31/2027, Strike Price $11.50   10,493    1,878 
Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50   18,681    3,549 
Heartland Media Acquisition Corp., Expires 10/21/2027, Strike Price $11.50   1,499    195 
HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50   17,425    784 
HNR Acquisition Corp., Expires 07/29/2028, Strike Price $11.50   44,874    5,486 
Home Plate Acquisition Corp., Expires 03/03/2023, Strike Price $11.50   4,107    534 
Hunt Cos. Acquisition Corp. I, Expires 12/31/2028, Strike Price $11.50   52,706    5,271 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Iconic Sports Acquisition Corp., Expires 04/06/2023, Strike Price $11.50   19,665   $2,950 
Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50   2,402    198 
Industrial Human Capital, Inc., Expires 12/31/2028, Strike Price $11.50   14,916    373 
Industrial Tech Acquisitions II, Inc., Expires 12/31/2028, Strike Price $11.50   47,509    6,098 
Infinite Acquisition Corp., Expires 11/23/2028, Strike Price $11.50   46,166    8,915 
InFinT Acquisition Corp., Expires 05/19/2027, Strike Price $11.50   55,058    3,854 
Innovative International Acquisition Corp., Expires 04/03/2023, Strike Price $11.50   71,433    5,036 
Integrated Rail and Resources Acquisition Corp., Expires 05/21/2023, Strike Price $11.50   48,874    11,730 
Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50   1,869    374 
Intelligent Medicine Acquisition Corp., Expires 01/13/2023, Strike Price $11.50   89,138    10,456 
Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50   24,645    2,464 
Investcorp India Acquisition Corp., Expires 06/28/2027, Strike Price $11.50   37,472    7,120 
Jackson Acquisition Co., Expires 12/31/2028, Strike Price $11.50   11,842    1,776 
Jaguar Global Growth Corp. I, Expires 02/11/2027, Strike Price $11.50   43,794    4,817 
Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50   19,820    2,777 
Juniper II Corp., Expires 12/31/2028, Strike Price $11.50   9,381    2,099 
Jupiter Acquisition Corp., Expires 08/25/2022, Strike Price $11.50   1,531    222 
Kairous Acquisition Corp. ltd, Expires 09/15/2026, Strike Price $11.50   6,765    440 
Kernel Group Holdings, Inc., Expires 01/31/2027, Strike Price $11.50   1,326    93 
Keyarch Acquisition Corp., Expires 07/25/2028, Strike Price $11.50   24,350    2,495 
Kimbell Tiger Acquisition Corp., Expires 09/15/2028, Strike Price $11.50   59,791    11,656 
KnightSwan Acquisition Corp., Expires 07/21/2028, Strike Price $11.50   4,497    731 
LAMF Global Ventures Corp. I, Expires 04/04/2023, Strike Price $11.50   63,179    20,211 
Larkspur Health Acquisition Corp., Expires 05/17/2028, Strike Price $11.50   7,100    852 
LatAmGrowth SPAC, Expires 01/25/2028, Strike Price $11.50   37,849    5,677 
LAVA Medtech Acquisition Corp., Expires 04/01/2023, Strike Price $11.50   57,923    9,847 
Lazard Growth Acquisition Corp. I, Expires 12/31/2027, Strike Price $11.50   4,497    724 
LDH Growth Corp. I, Expires 12/31/2028, Strike Price $11.50   1,613    245 
Lefteris Acquisition Corp., Expires 10/23/2025, Strike Price $11.50   26,999    1,793 
Levere Holdings Corp., Expires 12/31/2028, Strike Price $11.50   13,463    2,490 
LF Capital Acquisition Corp. II, Expires 01/07/2026, Strike Price $11.50   60,499    6,195 
Liberty Resources Acquisition Corp., Expires 10/31/2028, Strike Price $11.50   22,928    2,270 
Lionheart III Corp., Expires 03/19/2023, Strike Price $11.50   36,580    4,223 
LIV Capital Acquisition Corp. II, Expires 02/16/2027, Strike Price $11.50   43,759    3,063 
Mana Capital Acquisition Corp., Expires 12/01/2026, Strike Price $11.50   19,933    2,591 
McLaren Technology Acquisition Corp., Expires 03/03/2023, Strike Price $11.50   61,067    6,870 
Mercato Partners Acquisition Corp., Expires 12/28/2026, Strike Price $11.50   15,665    2,114 
Metal Sky Star Acquisition Corp., Expires 04/01/2027, Strike Price $11.50   40,420    1,764 
Metals Acquisition Corp., Expires 07/12/2026, Strike Price $11.50   8,891    3,734 
Monterey Bio Acquisition Corp., Expires 06/07/2023, Strike Price $11.50   24,230    1,342 
Monument Circle Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   29,822    3,079 
Motive Capital Corp. II, Expires 05/15/2028, Strike Price $11.50   8,206    2,257 
Mount Rainier Acquisition Corp., Expires 12/04/2022, Strike Price $11.50   12,935    1,552 
Mountain & Co. I Acquisition Corp., Expires 08/24/2023, Strike Price $11.50   62,660    5,877 
Murphy Canyon Acquisition Corp., Expires 02/03/2027, Strike Price $11.50   51,468    4,761 
Music Acquisition Corp., Expires 02/05/2028, Strike Price $11.50   15,545    1,943 
Nabors Energy Transition Corp., Expires 11/17/2026, Strike Price $11.50   87,846    16,691 
Natural Order Acquisition Corp., Expires 09/15/2025, Strike Price $11.50   17,483    872 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
New Energy One Acquisition Corp. PLC, Expires 03/07/2027, Strike Price $11.50   222,976   $67,885 
New Providence Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50   21,526    3,875 
New Vista Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   14,117    1,412 
Newcourt Acquisition Corp., Expires 04/12/2028, Strike Price $11.50   30,398    3,040 
NightDragon Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   11,378    2,048 
NorthView Acquisition Corp., Expires 08/02/2027, Strike Price $11.50   19,197    1,723 
Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   31,088    622 
Nubia Brand International Corp., Expires 11/16/2026, Strike Price $11.50   29,262    2,872 
OmniLit Acquisition Corp., Expires 11/08/2026, Strike Price $11.50   31,515    2,890 
Onyx Acquisition Co. I, Expires 01/07/2023, Strike Price $11.50   24,790    3,345 
Orion Acquisition Corp., Expires 02/19/2026, Strike Price $11.50   5,956    624 
Oxus Acquisition Corp., Expires 01/27/2023, Strike Price $11.50   20,287    1,945 
Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50   76,584    9,190 
Parsec Capital Acquisitions Corp., Expires 01/08/2023, Strike Price $11.50   9,369    562 
Patria Latin American Opportunity Acquisition Corp., Expires 03/10/2027, Strike Price $11.50   46,145    7,559 
Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50   18,484    3,142 
PepperLime Health Acquisition Corp., Expires 03/28/2023, Strike Price $11.50   11,876    2,422 
Perception Capital Corp. II, Expires 12/31/2028, Strike Price $11.50   58,258    6,324 
Phoenix Biotech Acquisition Corp., Expires 09/01/2026, Strike Price $11.50   21,939    2,413 
Pine Island Acquisition Corp., Expires 10/29/2027, Strike Price $11.50   2,271    448 
Pontem Corp., Expires 12/31/2027, Strike Price $11.50   60,453    7,242 
Power & Digital Infrastructure Acquisition II Corp., Expires 12/14/2028, Strike Price $11.50   87,961    16,713 
Powered Brands, Expires 12/31/2027, Strike Price $11.50   12,449    967 
PowerUp Acquisition Corp., Expires 02/18/2027, Strike Price $11.50   70,545    14,109 
PROOF Acquisition Corp. I, Expires 12/03/2028, Strike Price $11.50   20,757    3,114 
Prospector Capital Corp., Expires 01/01/2025, Strike Price $11.50   21,521    1,506 
RCF Acquisition Corp., Expires 04/25/2023, Strike Price $11.50   31,463    8,495 
Redwoods Acquisition Corp., Expires 03/15/2027, Strike Price $11.50   32,327    1,940 
Relativity Acquisition Corp., Expires 02/11/2027, Strike Price $11.50   45,142    3,304 
Revelstone Capital Acquisition Corp., Expires 05/24/2028, Strike Price $11.50   53    6 
RF Acquisition Corp., Expires 05/01/2028, Strike Price $11.50   19,704    1,379 
Rigel Resource Acquisition Corp., Expires 04/19/2023, Strike Price $11.50   31,854    8,242 
Rose Hill Acquisition Corp., Expires 03/03/2023, Strike Price $11.50   41,528    7,874 
Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50   28,225    3,951 
Science Strategic Acquisition Corp. Alpha, Expires 12/31/2027, Strike Price $11.50   79,319    5,600 
Screaming Eagle Acquisition Corp., Expires 12/15/2027, Strike Price $11.50   22,674    6,802 
Sculptor Acquisition Corp. I, Expires 04/15/2028, Strike Price $11.50   9,858    1,873 
Seaport Calibre Materials Acquisition Corp., Expires 01/19/2023, Strike Price $11.50   14,252    2,280 
ShoulderUp Technology Acquisition Corp., Expires 07/26/2023, Strike Price $11.50   94,845    13,857 
SHUAA Partners Acquisition Corp. I, Expires 03/02/2027, Strike Price $11.50   22,958    4,020 
Signal Hill Acquisition Corp., Expires 02/11/2027, Strike Price $11.50   13,462    1,885 
SILVERspac, Inc., Expires 02/16/2023, Strike Price $11.50   18,449    4,427 
Sizzle Acquisition Corp., Expires 03/12/2026, Strike Price $11.50   43,590    5,087 
Sound Point Acquisition Corp. I, Ltd., Expires 03/02/2027, Strike Price $11.50   49,951    7,992 
Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50   6,161    877 
Spindletop Health Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   47,277    6,940 
Spree Acquisition Corp. 1, Ltd., Expires 12/22/2028, Strike Price $11.50   20,337    1,973 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
SpringBig Holdings, Inc., Expires 06/14/2027, Strike Price $11.50   24,279   $3,399 
ST Energy Transition I, Ltd., Expires 12/02/2026, Strike Price $11.50   42,980    11,931 
Sustainable Development Acquisition I Corp., Expires 12/31/2028, Strike Price $11.50   28,327    2,548 
SVF Investment Corp., Expires 12/31/2027, Strike Price $11.50   28,720    4,072 
Swiftmerge Acquisition Corp., Expires 06/17/2028, Strike Price $11.50   132    14 
Tailwind International Acquisition Corp., Expires 03/01/2028, Strike Price $11.50   17,317    1,610 
Talon 1 Acquisition Corp., Expires 04/18/2023, Strike Price $11.50   71,933    9,711 
Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50   18,073    4,236 
TCW Special Purpose Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   31,655    4,432 
Tech and Energy Transition Corp., Expires 12/31/2027, Strike Price $11.50   59,992    8,999 
Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50   52,993    4,571 
Thrive Acquisition Corp., Expires 03/09/2023, Strike Price $11.50   47,781    4,998 
Tishman Speyer Innovation Corp, Expires 12/31/2027, Strike Price $11.50   4,082    551 
TKB Critical Technologies 1, Expires 01/08/2023, Strike Price $11.50   48,884    5,353 
TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50   68,311    6,418 
Transition SA, Expires 06/16/2026, Strike Price $11.50   33,822    8,651 
Tribe Capital Growth Corp. I, Expires 03/05/2026, Strike Price $11.50   27,683    3,984 
Trine II Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   78,462    10,781 
TZP Strategies Acquisition Corp., Expires 12/31/2027, Strike Price $11.50   40,990    3,755 
UTA Acquisition Corp., Expires 10/30/2026, Strike Price $11.50   44,060    15,465 
Vahanna Tech Edge Acquisition I Corp., Expires 11/30/2028, Strike Price $11.50   55,430    7,206 
Valor Latitude Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   3,725    410 
Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50   60,778    7,445 
VAM Investments Spac BV, Expires 07/27/2026, Strike Price $11.50   12,639    4,392 
VEW AG, Expires 02/28/2026, Strike Price $11.50   19,185    2,503 
Viscogliosi Brothers Acquisition Corp., Expires 03/18/2027, Strike Price $11.50   20,851    2,345 
Vision Sensing Acquisition Corp., Expires 03/24/2023, Strike Price $11.50   49,182    2,459 
VMG Consumer Acquisition Corp., Expires 07/03/2023, Strike Price $11.50   60,937    6,703 
Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50   29,980    1,574 
Yotta Acquisition Corp., Expires 03/15/2027, Strike Price $11.50   47,369    2,605 
Zimmer Energy Transition Acquisition Corp., Expires 05/14/2023, Strike Price $11.50   1,716    592 
           
TOTAL WARRANTS        1,820,458 
(Cost $4,285,301)          
           
RIGHTS - 0.05%(g)          
A SPAC II Acquisition Corp., Expires 12/31/2049   68,843    7,229 
Accretion Acquisition Corp., Expires 12/31/2049   37,215    4,641 
Agrinam Acquisition Corp., Expires 12/31/2049   19,798    6,335 
AIB Acquisition Corp., Expires 12/31/2049   41,417    4,562 
Alset Capital Acquisition Corp., Expires 12/31/2049   26,594    2,127 
Arisz Acquisition Corp., Expires 05/01/2023   34,348    2,748 
Aurora Technology Acquisition Corp., Expires 02/07/2028   63,578    5,086 
Axios Sustainable Growth Acquisition Corp., Expires 12/31/2049   43,990    2,006 
bleuacacia, Ltd., Expires 12/31/2049   201,609    24,072 
Blue World Acquisition Corp., Expires 12/31/2049   46,604    5,255 

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

   Shares   Fair Value 
Broad Capital Acquisition Corp., Expires 10/25/2022   53,360   $5,843 
Clean Earth Acquisitions Corp., Expires 12/31/2049   99,174    14,410 
ClimateRock, Expires 06/01/2027   23,557    1,946 
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027   76,977    9,195 
Deep Medicine Acquisition Corp., Expires 12/09/2022   15,116    2,378 
Financial Strategies Acquisition Corp., Expires 03/31/2028   9,858    879 
Fintech Ecosystem Development Corp., Expires 12/31/2028   54,704    5,470 
Global Blockchain Acquisition Corp., Expires 12/31/2049   40,470    3,035 
Globalink Investment, Inc., Expires 08/19/2023   4,837    485 
Growth For Good Acquisition Corp., Expires 06/14/2023   75,556    9,422 
GSR II Meteora Acquisition Corp., Expires 12/31/2049   7,459    11,077 
Inception Growth Acquisition, Ltd., Expires 05/08/2023   7,394    682 
Jaguar Global Growth Corp. I, Expires 12/31/2049   87,589    12,262 
Jupiter Wellness Acquisition Corp., Expires 12/31/2049   18,463    1,702 
Kairous Acquisition Corp. ltd, Expires 11/24/2023   13,555    1,152 
Keyarch Acquisition Corp., Expires 07/25/2028   16,489    2,556 
Metal Sky Star Acquisition Corp., Expires 12/31/2049   40,420    3,761 
Mountain Crest Acquisition Corp. V, Expires 12/31/2049   8,917    714 
NorthView Acquisition Corp., Expires 12/31/2049   38,482    4,185 
QualTek Services, Inc., Expires 12/31/2049   73,592    9,567 
Redwoods Acquisition Corp., Expires 12/31/2049   32,327    4,041 
RF Acquisition Corp., Expires 12/31/2049   19,704    2,020 
Sagaliam Acquisition Corp., Expires 12/31/2049   84,310    5,902 
Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049   29,572    2,403 
Yotta Acquisition Corp., Expires 12/31/2049   47,369    3,790 
           
TOTAL RIGHTS        182,938 
(Cost $295,070)          
           
SHORT TERM INVESTMENTS - 1.01%          
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield 1.58%   3,821,220    3,821,220 
BNY Mellon U.S. Treasury Fund, 7 Day Yield 1.31%(h)   81,000    81,000 
           
TOTAL SHORT TERM INVESTMENTS        3,902,220 
(Cost $3,902,220)          
           
Total Investments -  138.07%       $534,465,979 
(Cost $538,443,916)          
Liabilities in Excess of Other Assets - (38.07)%       $(147,376,186)
           
Net Assets - 100.00%       $387,089,793 
Amounts above are shown as a percentage of net assets as of July 31, 2022.

 

(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 $17,341,619, which represented approximately 4.48% of net assets as of July 31, 2022. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(b) Security is in default as of period end and is therefore non-income producing.

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

(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) Represents a payment-in-kind (“PIK”) security which may pay interest/dividend in additional par/shares.
(f) Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of July 31, 2022, the aggregate market value of those securities was $3,753,290, which represents approximately 0.97% of net assets.
(g) Non-income producing security.
(h) A portion or all of the security is owned by BRW SPV I, a wholly-owned subsidiary of the Fund.

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate

PIK - Payment in-kind

 

Reference Rates:

1M US L - 1 Month LIBOR as of July 31, 2022 was 2.36%

3M US L - 3 Month LIBOR as of July 31, 2022 was 2.79%

6M US L - 6 Month LIBOR as of July 31, 2022 was 3.33%

 

CREDIT DEFAULT SWAP CONTRACTS - CENTRALLY CLEARED(a)    

 

Buy/Sell Protection(a) Single Name/ Index   Reference Obligations   Annual
Payment
Rate
Received
(Paid)		   Currency   Maturity
Date		   Notional Amount(b)   Value   Upfront Premiums Received/(Paid)   Unrealized Appreciation/ (Depreciation)
Buy Single Name   RR Donnelley & Sons   (5.00)% USD   12/20/26   3,845,000   $ (191,728 ) $ 506,536   $ 314,808  
Sell Index   Markit CDX North America High Yield Index, Series 37   5.00% USD   12/20/26   49,500,000     1,168,002     (2,784,375 )   (1,616,373 )
Sell Index   Markit CDX High Yield Index, Series 38   5.00% USD   6/20/27   495,000     5,703     14,132     19,835  
Sell Single Name   Verizon Wireless   1.00% USD   6/20/23   19,000,000     46,299     (28,509 )   17,790  
                          $ 1,028,276   $ (2,292,216 ) $ (1,263,940 )

 

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

 

 

 

Saba Capital Income & Opportunities Fund Consolidated Schedule of Investments

 

July 31, 2022

 

FORWARD FOREIGN CURRENCY CONTRACTS    

 

Counterparty Settlement
Date		   Fund
Receiving		   Value   Fund
Delivering		   Cost   Unrealized
Appreciation/
(Depreciation)		  
JP Morgan Chase 05/31/22   EUR   1,195,874   USD   1,195,874   $ (57,597 )
JP Morgan Chase 05/31/22   USD   36,639   GBP   36,639   $ (197,776 )
                      $ (255,373 )

 

Financial instruments, at fair value(a)

  Principal Amount / Quantity   Fair Value 
CONTINGENT FORWARD PURCHASE CONTRACTS          
Corporate Bonds          
Leisure Facilities & Services          
Selina Hospitality PLC, 6.000%, 06/27/2022  $7,539,000   $6,037,231 
Total Corporate Bonds (Commitment $6,031,200)        6,037,231 
           
Warrants          
Leisure Facilities & Services          
Selina Hospitality PLC, Strike $11.50   218,500    4,370 
Total Warrants (Commitment $-)        4,370 
           
Special Purpose Acquisition Company          
Leisure Facilities & Services          
BOA Acquisition Corp, Class B   56,543    44,104 
Total Special Purpose Acquisition Companies (Commitment $-)        44,104 
TOTAL CONTINGENT FORWARD PURCHASE CONTRACTS (Commitment $6,031,200)        6,085,705 
TOTAL FINANCIAL INSTRUMENTS, AT FAIR VALUE (Commitment $6,031,200)       $6,085,705 

 

(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.

 

 

 

Investments in Securities at fair value 

Level 1 -

Quoted Prices

 

 

 

Level 2 -

Significant

Observable
Inputs

  

Level 3 -

Significant

Unobservable
Inputs

   Total 
Corporate Bonds  $–   $61,550,562   $–   $61,550,562 
Senior Loans   –    13,315,643    –    13,315,643 
Common Stock   23,067,430    3,244,621    –    26,312,051 
Convertible Corporate Bond   –    992,947    –    992,947 
Closed End Funds   53,735,496    –    –    53,735,496 
Special Purpose Acquisition Companies   364,268,665    –    297,335    364,566,000 
Preferred Stock   99,720    305,969    2,219,500    2,625,189 
Sovereign Debt Obligations   –    3,753,290    –    3,753,290 
Unit Trust   1,709,185    –    –    1,709,185 
Warrants   1,448,168    314,132    58,158    1,820,458 
Rights   182,938    –    –    182,938 
Short Term Investments   3,902,220    –    –    3,902,220 
Total  $448,413,822   $83,477,164   $2,574,993   $534,465,979 

 

Financial Instruments, at fair value 

Level 1 -

Quoted Prices

  

Level 2 -

Significant

Observable
Inputs

  

Level 3 -

Significant

Unobservable
Inputs

   Total 
Contingent Forward Purchase Contracts  $     –   $       –   $6,085,705   $6,085,705 
Total   –    –    6,085,705    6,085,705 

 

Derivative contracts, at fair value 

Level 1 -

Quoted Prices

  

Level 2 -

Significant

Observable
Inputs

  

Level 3 -

Significant

Unobservable
Inputs

   Total 
Assets
Forward Foreign Currency Contracts        –    (255,373)          –    (255,373)
Credit Default Swaps  $–   $1,028,276   $–   $1,028,276 
Total  $–   $772,903   $–   $772,903