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Fund Holdings of SABA CAPITAL MANAGEMENT LP Filed on 2012-02-14

Link to Original SEC 13F filings sorted on filing date: 2012-02-14 | 2011-11-14 | 2011-08-15 | 2011-05-16 | 2011-02-14 |

1. Fund Information

Fund NameSABA CAPITAL MANAGEMENT LP
Fund Manager
Address405 LEXINGTON AVENUE, 58TH FLOOR
NEW YORK, NY, 10174
::Google Map
Phone(212) 542-3610
13F Asset Last Qtr$576,271,000
13F Asset This Qtr$510,508,000
Asset Change-11.41%

2. Comparison of Holdings by Sectors with Last Quarter

3. Top 20 Holdings (Value) of This Quarter

No.SecurityPut/CallStockSharesValue(x$1000)Activity(Shr)% Port.
1.)CLOROX CO.CALLCLX1,348,100$89,730Unchanged17.58%
2.)COMPUTER SCIENCES CORP.CALLCSC2,084,400$49,400Added 6.89%9.68%
3.)FORD MOTOR CO. (DE)PUTF3,089,100$33,239Unchanged6.51%
4.)CONAGRA FOODS, INC.CALLCAG1,193,000$31,495Cut -47.97%6.17%
5.)GENERAL MOTORS COMPANY COMMON STOCKGM1,258,933$25,519Added 5.63%5.00%
6.)HASBRO, INC.CALLHAS684,200$21,819Unchanged4.27%
7.)CORNING, INC.GLW1,661,426$21,565Cut -25.21%4.22%
8.)ALLIANCE DATA SYSTEMS CORP NOTE 1.750% 8/014,000,000$19,335Added 7.69%3.79%
9.)BOSTON SCIENTIFIC CORP.BSX2,042,217$10,905New2.14%
10.)ALCOA INC NOTE 5.250% 3/17,000,000$10,646New2.09%
11.)HARRIS CORP.HRS291,608$10,510Cut -42.96%2.06%
12.)CYTEC INDUSTRIES, INC.CYT231,021$10,315Cut -18.27%2.02%
13.)HASBRO, INC.HAS317,684$10,131Added 1.82%1.98%
14.)COMMUNITY HEALTH SYSTEMS, INC.CYH576,179$10,054Added 8.21%1.97%
15.)RITE AID CORP.RAD7,972,451$10,045Added 366.98%1.97%
16.)LINCARE HLDGS INC NOTE 2.750%11/08,200,000$8,965Added 32.26%1.76%
17.)DYNEGY INC (DE)DYN2,892,547$8,012New1.57%
18.)UNITED STATES OIL FUND LP UNITSCALLUSO204,800$7,805New1.53%
19.)DOLBY LABORATORIES INCDLB242,001$7,383Cut -8.59%1.45%
20.)CLEARWATER PAPER CORPORATION COMMON STOCKCLW199,548$7,106Cut -35.98%1.39%

4. Top 20 (Value) Holdings BOUGHT NEW in This Quarter

No.SecurityPut/CallStockShares NEWValue(x$1000)% Port.
1.)BOSTON SCIENTIFIC CORP.BSX2,042,217$10,9052.14%
2.)ALCOA INC NOTE 5.250% 3/17,000,000$10,6462.09%
3.)DYNEGY INC (DE)DYN2,892,547$8,0121.57%
4.)UNITED STATES OIL FUND LP UNITSCALLUSO204,800$7,8051.53%
5.)JAKKS PACIFIC, INC.JAKK363,475$5,1291.00%
6.)MERITOR INCCOMMTOR739,219$3,9330.77%
7.)WALGREEN CO.WAG118,900$3,9310.77%
8.)BEAZER HOMES USA, INC.BZH1,497,876$3,7150.73%
9.)ARCH COAL, INC.ACI242,000$3,5110.69%
10.)AMR CORP. (DE)PUTAMR9,363,900$3,2770.64%
11.)BELO CORP.BLC348,214$2,1940.43%
12.)EASTMAN KODAK CO NOTE 7.000% 4/06,000,000$1,7700.35%
13.)CONSOL ENERGY INCCNX46,650$1,7120.34%
14.)ALPHA NATURAL RESOURCES INCANR82,400$1,6830.33%
15.)BRUNSWICK CORP.BC65,600$1,1850.23%
16.)AMR CORP. (DE)AMR501,336$1750.03%

5. Top 20 (Value) Holdings Totally SOLD OUT in This Quarter

No.SecurityPut/CallStockShares SOLDValue(x$1000)% Port. Last Qtr
1.)CISCO SYSTEMS, INC.CSCO833,000$12,9122.24%
2.)MICROSOFT CORPORATIONMSFT462,000$11,4992.00%
3.)SONOCO PRODUCTS CO.SON322,449$9,1031.58%
4.)MERCK & CO., INCMRK277,000$9,0611.57%
5.)GOODRICH CORP.GR69,110$8,3401.45%
6.)PFIZER INCPFE339,474$6,0021.04%
7.)HARBIN ELECTRIC, INC.PUTHRBN260,000$5,3690.93%
8.)GRACE (W.R.) CO. (DE)GRA154,167$5,1340.89%
9.)CHEVRON CORPORATIONCVX48,232$4,4620.77%
10.)YAHOO! INC.YHOO330,000$4,3460.75%
11.)PIONEER NAT RES CO NOTE 2.875% 1/13,500,000$4,2040.73%
12.)DOMTAR CORPUFS60,184$4,1030.71%
13.)HARBIN ELECTRIC, INC.CALLHRBN175,500$3,6240.63%
14.)LAM RESEARCH CORPORATIONLRCX72,300$2,7460.48%
15.)BANCO BILBAO VIZCAYA ARGENTARIA SAPUTBBVA210,000$1,7070.30%
16.)CORE-MARK HOLDING COMPANY, INC.CORE15,214$4650.08%
17.)COMMERCIAL METALS CO.CMC29,232$2780.05%
18.)PMI GROUP, INC.PMI1,305,988$2610.05%
19.)AMERICAN AXLE & MANUFACTURING HOLDINGS INCAXL31,200$2380.04%
20.)USEC, INC.CALLUSU25,000$400.01%