UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
FORM
N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment
Company Act file number: 811-05410
Saba
Capital Income & Opportunities Fund
(Exact
name of registrant as specified in charter)
405
Lexington Avenue, 58th Floor
New
York, New York 10174
(Address
of principal executive offices) (Zip code)
Michael
D’Angelo
Saba
Capital Income & Opportunities Fund
405
Lexington Avenue
New
York, New York 10174
(Name
and address of agent for service)
Copies
to:
Kimberly L. Broder, Esq.
Schulte Roth & Zabel LLP
919 Third Avenue
New York, New York 10022
Registrant’s
Telephone Number, including Area Code: (212) 542-4644
Date
of fiscal year end: October 31
Date
of reporting period: November 1, 2022 – April 30, 2023
Item
1. Report to Stockholders.
Table
of Contents
| Shareholder
Letter |
1 |
| Performance
Update |
3 |
| Material
Risk Factors |
5 |
| Consolidated
Schedule of Investments |
17 |
| Consolidated
Statement of Assets and Liabilities |
48 |
| Consolidated
Statement of Operations |
49 |
| Statements
of Changes in Net Assets |
50 |
| Consolidated
Statement of Cash Flows |
51 |
| Financial
Highlights |
52 |
| Notes
to Consolidated Financial Statements |
54 |
| Additional
Information |
67 |
| Consideration
and Approval of the Investment Management Agreement |
68 |
| Privacy
Policy |
69 |
| Saba
Capital Income & Opportunities Fund |
Shareholder
Letter |
April
30, 2023 (Unaudited)
June
29, 2023
Dear
Shareholders,
Thank
you for your continued interest in the Saba Capital Income & Opportunities Fund (the “Fund”). We are pleased to
provide you with a review of the Fund’s performance and financial markets year-to-date.
Performance
Summary1
We
are delighted with the results of the Fund during the reporting period2 as we not only outperformed our fixed income
benchmarks, but we also managed to outperform the S&P 500, as can be seen in the table below.
| Security |
November
1, 2022 – April 30, 2023 Total Return3 |
| Saba
Capital Income & Opportunities Fund |
9.49% |
| iBoxx
Liquid High Yield Index |
5.64% |
| Morningstar
LSTA US Leveraged Loan TR USD |
5.94% |
| S-Network
Closed-End Fund Index |
4.76% |
| S&P
500 |
8.61% |
The
primary contributors to the Fund’s returns were the exposure to closed-end funds, as well as the investment-grade bond portfolio.
Closed-end funds (both U.S. and Non-U.S.) have become the Fund’s largest single asset exposure, with the average portfolio
discount to NAV of -16%. We view exposure to closed-end funds as a highly attractive long opportunity for the Fund at the moment.
Saba has a 10-year track record of investing in closed-end funds seeking to generate alpha from discount capture for our investors.
Markets
Review
With
the debt ceiling resolved, there remain a number of key risks to the U.S. economy. In our view, the impact of the Fed continuing
to hike interest rates beyond what leading forecasters and the bond market were predicting, will present challenges in the second
half of the year as higher rates for longer will take their toll on the economic outlook. It has already led to a rising default
rate in private credit at the same time as lending standards are tightening across the banking sector.
At
the same time, the strength of the most recent jobs report and other economic indicators appear to push back the anticipated start
of a U.S. recession. We believe this positive has overwhelmed the fear the market experienced in early March during the regional
banking crisis and the collapse of Credit Suisse. Despite the wide range of future outcomes, it is notable that the VIX has declined
to pre-pandemic levels during a time with much less uncertainty. This appears to have emboldened investors – who are likely
fatigued from their defensive positioning – to feel the temptation to switch to riskier investments. In the Fund, we have
been positioned relatively defensively and in what is by now a contrarian position, to becoming even more risk averse for the
next few months. At the same time, the Fund has grown its exposure to, what in our opinion are asymmetric investments this fiscal
period through, for example, increased distressed investments, such as: Ukrainian sovereign bonds purchased (at an average weighted
price) below 18 cents on the dollar and China Evergrande offshore bonds purchased (at an average weighted price) at approximately
7 cents on the dollar.
One
of the most fascinating segments of the market is private credit. It has grown from a cottage industry a decade ago of approximately
$250 billion to $1.5 trillion dollars today and has found its way into many institutional portfolios. It's surely the most discussed
topic in the corporate credit market. While secured loans at 13% yields certainly sound like an opportunity for investors, flip
that around for the company that is now borrowing at 13% into an economic slowdown. In our view, it’s evident that borrowing
companies are going to suffer under the weight of higher interest payments, and that recession, or no recession, the default rate
is likely to rise.
Investment
Objective
The
Fund’s investment objective is to seek to provide shareholders with a high level of current income, with a secondary goal
of capital appreciation. We seek to achieve this objective by investing globally in debt and equity securities of public and private
companies, which includes, among other things, investing in registered closed-end funds, special purpose acquisition companies
(“SPAC”), public and private debt instruments, as well as derivatives where we believe the Fund can achieve attractive
risk-adjusted returns and/or as a way to reduce portfolio risk. From time to time, in pursuit of its investment objective, the
Fund may also invest up to 15% of its total assets in private funds on a discretionary basis.
| Semi-Annual
Report | April 30, 2023 |
1 |
| Saba
Capital Income & Opportunities Fund |
Shareholder
Letter |
April
30, 2023 (Unaudited)
Conclusion
We
will continue to search for investment opportunities with the goal of creating long-term value for shareholders.
If
you have any questions about the Fund, please visit www.sabacef.com.
We
are grateful for your trust and support.
Sincerely,
Boaz
R. Weinstein
Founder
and CIO
Saba
Capital Management, LP
The
foregoing reflects our views, analysis and opinions as of June 29, 2023.
| 1 | Past
performance is no guarantee of future results and shares of the Fund, when sold, may be worth less than their original cost. |
| 2 | November
1, 2022 through April 30, 2023. |
| 3 | Total
investment return is calculated assuming a purchase of the referenced security/index at the opening on November 1, 2022 and a
sale at April 30, 2023 and includes an assumption that dividends/distributions, if any, are reinvested. Returns of the Fund on
a NAV basis for the reporting period can be found on page 3. |
| Saba
Capital Income & Opportunities Fund |
Performance Update |
April
30, 2023 (Unaudited)
| Average Annual Total Returns (as of April 30, 2023) |
| |
6
Month |
1
Year |
3
Year |
5
Year |
10
Year |
| Returns
at NAV |
7.62% |
6.88% |
8.26% |
2.31% |
3.57% |
| Returns
at Market Value |
9.49% |
6.59% |
9.47% |
2.62% |
1.80% |
| iShares
iBoxx $ High Yield Corporate Bond ETF (HYG)(a) |
5.61% |
1.34% |
2.64% |
2.43% |
2.84% |
Average
annual returns for the period since Saba Capital Management began managing the Fund on June 4, 2021 are at NAV 4.76% and at market
value 3.63%.
Comparison
of the Change in Value of a $10,000 Investment
The
performance data quoted above represents past performance. Past performance is not a guarantee of future results. Investment return
and value of the Fund shares will fluctuate so that a shareholder's shares, when sold, may be worth more or less than their original
cost. Performance may be lower or higher than performance data quoted. Fund performance current to the most recent month-end is
available by visiting www.sabacef.com.
| (a) | iShares
iBoxx $ High Yield Corporate Bond ETF is an exchange-traded fund incorporated in the
USA. The ETF seeks to track the investment results of an index composed of U.S. dollar-denominated,
high yield corporate bonds. |
| Semi-Annual
Report | April 30, 2023 |
3 |
| Saba
Capital Income & Opportunities Fund |
Performance Update |
April
30, 2023 (Unaudited)
| Top
Ten Holdings by Issuer (as a % of Net Assets)(c) |
|
| |
|
| Stone
Ridge Opportunities Fund Feeder LP |
8.68% |
| Altria
Group Inc |
5.21% |
| Grayscale
Bitcoin Trust Btc |
3.15% |
| Oracle
Corp |
3.14% |
| Grayscale
Ethereum Trust |
3.03% |
| China
Evergrande Group |
2.91% |
| American
Electric Power Co Inc |
2.28% |
| Lowe's
Cos Inc |
2.02% |
| Ukraine
Government |
1.78% |
| Blackrock
ESG Capital Allocation Term Trust |
1.72% |
| Top
Ten Holdings |
33.92% |
| Portfolio
Composition (as a % of Net Assets)(c) |
|
| |
|
| Corporate
Bonds |
25.81% |
| Special
Purpose Acquisition Companies |
24.46% |
| Closed
End Funds |
21.45% |
| Total
Return Swap Contracts |
15.61% |
| Forward
Foreign Currency Contracts |
8.99% |
| Private
Fund |
8.68% |
| Unit
Trust |
6.18% |
| Common
Stock |
4.64% |
| Senior
Loans |
2.36% |
| Convertible
Corporate Bond |
1.71% |
| Credit
Default Swap Contracts |
1.31% |
| Participation
Agreement |
0.62% |
| Preferred
Stock |
0.58% |
| Warrants |
0.35% |
| Short
Term Investments |
0.15% |
| Rights |
0.06% |
| To-be-announced
Mortgage-backed Securities Forward Contracts |
-0.01% |
| Sovereign
Debt Obligations |
-12.02% |
| Exchange
Traded Funds |
-24.49% |
| Total
Investment |
86.44% |
| Other
Assets in Excess of Liabilities |
13.56% |
| Net
Assets |
100.00% |
| (c) | Holdings
are subject to change, and may not reflect the current or future position of the portfolio. Tables present indicative values only. |
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
General
Risk Factors
Dependence
on Key Individuals. Investors have no authority to make decisions on behalf of the Fund. The success of the Fund depends
upon the ability of key members of the investment team to develop and implement investment strategies that achieve the Fund's
investment objectives. If the Fund were to lose the services of these members, the consequence to the Fund could be material and
adverse.
Dependence
on Service Providers. The Fund is also dependent upon their counterparties and the businesses that are not controlled
by the Investment Manager that provide services to the Fund (the "Service Providers"). Examples of Service Providers
include the administrator, custodian, legal counsel and auditors. Errors are inherent in the business and operations of any business,
and although the Investment Manager will adopt measures to prevent and detect errors by, and misconduct of, counterparties and
Service Providers, and transact with counterparties and Service Providers it believes to be reliable, such measures may not be
effective in all cases. Errors or misconduct could have a material adverse effect on the Fund and the Investor’s investments
therein.
Indemnification.
The Fund will indemnify the Investment Manager and other Service Providers for liabilities incurred in connection with
the affairs of the Fund. Such liabilities may be material and have an adverse effect on the returns to the investors. The indemnification
obligations of the Fund would be payable from the assets of the Fund.
Third
Party Managers. The Fund has and may in the future invest in public and/ private funds managed by third party managers,
or may allocate portions of its assets to third party managers to manage on a discretionary basis, if the Investment Manager determines
that such an arrangement represents the best way to access a particular investment opportunity or otherwise expand the investment
expertise available to the Fund. The Fund will be subject to various costs relating to such investments, including performance-based
and/or fixed asset-based fees or allocations payable to such third party managers. Any such fees and allocations will not reduce
the Management Fee.
Risks
Relating to Market Conditions Generally
General
Economic and Market Conditions. The success of the Fund's activities will be affected by general economic and market conditions,
such as interest rates, availability of credit, credit defaults, inflation rates, economic uncertainty, changes in laws (including
laws relating to taxation of the Fund's investments), trade barriers, currency exchange controls, and national and international
political circumstances (including wars, terrorist acts or security operations). These factors may affect the level and volatility
of the prices and the liquidity of the Fund's investments. Volatility or illiquidity could impair the Fund's profitability or
result in losses. The Fund may maintain substantial trading positions that can be adversely affected by the level of volatility
in the financial markets.
Market
Disruption and Geopolitical: The Fund is subject to the risk that geopolitical events may disrupt securities markets and
adversely affect global economies and markets. Due to the increasing interdependence among global economies and markets, conditions
in one country, market, or region might adversely impact markets, issuers and/or foreign exchange rates in other countries, including
the U.S. War, terrorism, global health crises and pandemics, and other geopolitical events have led, and in the future may lead,
to increased market volatility and may have adverse short- or long-term effects on U.S. and world economies and markets generally.
For example, the COVID-19 pandemic has resulted, and may continue to result, in significant market volatility, exchange trading
suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn in economies
throughout the world. Natural and environmental disasters and systemic market dislocations are also highly disruptive to economies
and markets. Those events as well as other changes in non-U.S. and domestic economic, social, and political conditions also could
adversely affect individual issuers or related groups of issuers, securities markets, interest rates, credit ratings, inflation,
investor sentiment, and other factors affecting the value of the investments of the Fund and the Fund. Any of these occurrences
could disrupt the operations of the Fund and of the Fund’s service providers.
Potential
Interest Rate Increases. The United States has experienced a sustained period of historically low interest rate levels.
In recent years, however, short-term and long-term interest rates have risen. The uncertainty of the U.S. and global economy,
changes in U.S. government policy, and changes in the federal funds rate, increase the risk that interest rates will remain volatile
in the future. Sustained future interest rate volatility may cause the value of the fixed-income securities held by the Fund to
decrease.
Volatile
Markets. The prices of financial instruments in which the Fund may invest can be volatile. Price movements of forward
and other derivative contracts in which the Fund's assets may be invested are influenced by, among other things, interest rates,
changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and
national and international political and economic events and policies. The Fund is subject to the risk of failure of any of the
exchanges on which its positions trade or of their clearinghouses.
| Semi-Annual
Report | April 30, 2023 |
5 |
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Investment
Strategy Risk Factors
An
investor should be aware that it may lose money. All investments involve the risk of loss of capital. The Investment Manager
believes that the Fund's investment program and research techniques moderate this risk through a careful selection of investments,
the use of short and long positions and other financial instruments. However, no guarantee or representation is made that the
Fund's investment program will be successful. The Fund's investment program is expected to utilize leverage and may utilize such
investment techniques as option transactions, short sales, limited diversification and forward contracts, which can, in certain
circumstances, increase the adverse impact to which the Fund's portfolio may be subject.
Leverage
Risks. The use of leverage will, in certain instances, enable the Fund to achieve a higher rate of return than would be
otherwise possible. Leverage may take the form of, without limitation, any of the financial instruments described herein, including
derivative instruments which are inherently leveraged and trading in products with embedded leverage such as options, short sales,
swaps and forwards. The instruments and borrowings utilized by the Fund to leverage investments may be collateralized by the Fund's
portfolio, respectively.
The
use of leverage will magnify the volatility of changes in the value of the investments of the Fund. Accordingly, any event which
adversely affects the value of an investment would be magnified to the extent the investment is leveraged. The cumulative effect
of the use of leverage by the Fund in a market that moves adversely to its investments could result in substantial losses to the
Fund, which would be greater than if the Fund was not leveraged.
While
leverage increases the buying power of the Fund and presents opportunities for increasing total returns, it has the effect of
potentially increasing losses as well. For example, funds borrowed for leveraging will be subject to interest, transaction and
other costs, and other types of leverage also involve transaction and other costs. Any such costs may or may not be recovered
by the return on the Fund’s portfolio. Leverage will increase the investment return of the Fund if an investment purchased
with or utilizing leverage earns a greater return than the cost to the Fund of such leverage. The use of leverage will decrease
the investment return if the Fund fails to recover the cost of such leverage.
Equity
Securities Generally. The Fund expects to buy and sell private and public equity securities. The value of equity securities
of public and private, listed and unlisted companies and equity derivatives generally varies with the performance of the issuer
and movements in the equity markets. As a result, the Fund may suffer losses if it invests in equity instruments of issuers whose
performance diverges from the Investment Manager's expectations or if equity markets generally move in a single direction and
the Fund has not hedged against such a general move. The Fund also may be exposed to risks that issuers will not fulfill contractual
obligations such as, in the case of convertible securities or private placements, delivering marketable common stock upon conversions
of convertible securities and registering restricted securities for public resale.
Debt
Securities Generally. The Fund expects to buy and sell private and government debt securities and instruments. The Fund
may buy or sell debt instruments that are unrated, and whether or not rated, the debt instruments may have speculative characteristics.
The issuers of such instruments (including sovereign issuers) may face significant ongoing uncertainties and exposure to adverse
conditions that may undermine the issuer's ability to make timely payment of interest and principal. Such instruments are regarded
as predominantly speculative with respect to the issuer's capacity to pay interest and repay principal in accordance with the
terms of the obligations and involve major risk exposure to adverse conditions.
Sovereign
Debt. The Fund expects to buy and sell sovereign debt. Several factors may affect (i) the ability of a government, its
agencies, instrumentalities or its central bank to make payments on the debt it has issued (“Sovereign Debt”), including
securities that the Investment Manager believes are likely to be included in restructurings of the external debt obligations of
the issuer in question, (ii) the market value of such debt and (iii) the inclusion of Sovereign Debt in future restructurings,
including such issuer’s (x) balance of trade and access to international financing, (y) cost of servicing such obligations,
which may be affected by changes in international interest rates, and (z) level of international currency reserves, which may
affect the amount of non-U.S. exchange available for external debt payments. Significant ongoing uncertainties and exposure to
adverse conditions may undermine the issuer’s ability to make timely payment of interest and principal, and issuers may
default on their Sovereign Debt.
Distressed
Securities. The Fund expects to invest in "below investment grade" securities and obligations of issuers in
weak financial condition, experiencing poor operating results, having substantial capital needs or negative net worth, facing
special competitive or product obsolescence problems, including companies involved in bankruptcy or other reorganization and liquidation
proceedings. Certain debt instruments purchased by the Investment Manager for the Fund may be non-performing and possibly in default.
Furthermore, the obligor or relevant guarantor may also be in bankruptcy or liquidation. There can be no assurance as to the amount
and timing of payments, if any, with respect to the loans. These securities are likely to be particularly risky investments although
they also may offer the potential for correspondingly high returns. Among the risks inherent in investments in troubled entities
is the fact that it frequently may be difficult to obtain information as to the true condition of such issuers. Such investments
may also be adversely affected by laws relating to, among other things, fraudulent transfers and other voidable transfers or payments,
lender liability and the bankruptcy court's power to disallow, reduce, subordinate or disenfranchise particular claims. Such companies'
securities may be considered speculative, and the ability of such companies to pay their debts on schedule could be affected by
adverse interest rate movements, changes in the general economic climate, economic factors affecting a particular industry or
specific developments within such companies. In addition, there is no minimum credit standard that is a prerequisite to the Fund's
investment in any instrument, and a significant portion of the obligations and securities in which the Fund invests may be less
than investment grade. The level of analytical sophistication, both financial and legal, necessary for successful investment in
companies experiencing significant business and financial difficulties is unusually high. There is no assurance that the Investment
Manager will correctly evaluate the value of the assets underlying the Fund's investments or the prospects for a successful reorganization
or similar action. In any reorganization or liquidation proceeding relating to a company in which the Fund invests, the Fund may
lose its entire investment, may be required to accept cash or securities with a value less than the Fund's original investment
and/or may be required to accept payment over an extended period of time. Under such circumstances, the returns generated from
the Fund's investments may not compensate the investors adequately for the risks assumed.
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
In
certain transactions, the Fund may not be "hedged" against market fluctuations, or, in liquidation situations, may not
accurately value the assets of the company being liquidated. This can result in losses, even if the proposed transaction is consummated.
High-Yield
Securities. The Fund expects to invest in bonds or other fixed income securities, including, without limitation, "higher
yielding" (including non-investment grade) debt securities, and may take short positions in these securities. Such securities
are generally not exchange traded and, as a result, these financial instruments trade in the over-the-counter marketplace, which
is less transparent and has wider bid/ask spreads than the exchange-traded marketplace. The Fund may invest in these securities
when they offer opportunities for capital appreciation (or capital depreciation in the case of short positions) and may also invest
in these securities for temporary defensive purposes and to maintain liquidity. High-yield securities include, among other securities:
bonds, notes and debentures issued by U.S. and non-U.S. corporations and U.S. Government securities or debt securities issued
or guaranteed by a non-U.S. government. These securities may pay fixed, variable or floating rates of interest, and may include
zero coupon obligations.
In
addition, the Fund may invest in bonds of issuers that do not have publicly traded equity securities, making it more difficult
to hedge the risks associated with such investments. Also, the market for credit spreads is often inefficient and illiquid, making
it difficult to accurately calculate discounting spreads for valuing financial instruments. High-yield securities face ongoing
uncertainties and exposure to adverse business, financial or economic conditions which could lead to the issuer's inability to
meet timely interest and principal payments. High-yield securities are subject to the risk of the issuer's inability to meet principal
and interest payments on its obligations (i.e., credit risk) and are subject to price volatility resulting from, among
other things, interest rate sensitivity, market perception of the creditworthiness of the issuer and general market liquidity
(i.e., market risk). High-yield securities may or may not be subordinated to certain other outstanding securities and obligations
of the issuer, which may be secured by substantially all of the issuer's assets. High-yield securities may also not be protected
by financial covenants or limitations on additional indebtedness.
The
market values of certain of these lower-rated and unrated debt securities tend to reflect individual corporate developments to
a greater extent than do higher-rated securities which react primarily to fluctuations in the general level of interest rates,
and tend to be more sensitive to economic conditions than are higher-rated securities. Companies that issue such securities are
often highly leveraged and may not have available to them more traditional methods of financing. It is possible that a major economic
recession could severely disrupt the market for such securities and may have an adverse impact on the value of such securities.
In addition, it is possible that any such economic downturn could adversely affect the ability of the issuers of such securities
to repay principal and pay interest thereon and increase the incidence of default of such securities.
Bank
Loans. The Fund's investment program may include investments in significant amounts of bank loans and participations.
These obligations are subject to unique risks, including: (i) the possible invalidation of an investment transaction as a fraudulent
conveyance under relevant creditors' rights laws; (ii) so-called lender-liability claims by the issuer of the obligations; (iii)
environmental liabilities that may arise with respect to collateral securing the obligations; and (iv) limitations on the ability
of the Fund to directly enforce its rights with respect to participations. In analyzing each bank loan or participation, the Investment
Manager attempts to compare the relative significance of the risks against the expected benefits of the investment. Successful
claims by third parties arising from these and other risks will be borne by the Fund.
As
secondary market trading volumes increase, new loans are frequently adopting standardized documentation to facilitate loan trading,
which may improve market liquidity. There can be no assurance, however, that future levels of supply and demand in loan trading
will provide an adequate degree of liquidity or that the current level of liquidity will continue. Because of the provision to
holders of such loans of confidential information relating to the borrower, the unique and customized nature of the loan agreement,
and the private syndication of the loan, loans are not as easily purchased or sold as a publicly traded security, and historically
the trading volume in the loan market has been small relative to the high-yield debt market.
| Semi-Annual
Report | April 30, 2023 |
7 |
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Non-Investment
Grade and Unrated Instruments. A portion of the Fund's assets may be invested in instruments that are unrated or have
a credit quality rating below investment grade by internationally recognized credit rating organizations, such as Moody's Investors
Service Inc. and S&P Global Ratings. The market prices of those securities may fluctuate more than higher-rated securities,
and may decline significantly in periods of general economic difficulty. Those securities generally are considered to have extremely
poor prospects of ever attaining any real investment grade standing and to have a current identifiable vulnerability to default.
The issuers or guarantors of those securities are considered to be less likely to have the capacity to pay interest and repay
principal when due in the event of adverse business, financial or economic conditions. Alternatively, such issuers may be in default
or not current in the payment of interest or principal. Adverse changes in economic conditions or developments regarding the individual
issuer are more likely to cause price volatility and weaken the capacity of the issuers of non-investment grade debt securities
to make principal and interest payments than issuers of higher grade debt securities. An economic downturn affecting an issuer
of non-investment grade debt securities may result in an increased incidence of default. In addition, the market for lower grade
debt securities may be less liquid and less active than for higher grade debt securities.
Inflation
Risks. The value of assets or income from investments may be less in the future as inflation decreases the value of money.
As inflation increases, the value of the Fund's assets can decline as can the value of the Fund's distributions. This risk is
significantly greater if the Fund invests a significant portion of its assets in fixed-income securities with longer maturities.
Credit
Risk. An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be
unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor
may default causing a loss of the full principal amount of a security. The degree of risk for a particular security may be reflected
in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase,
which may adversely affect the value of the security.
Interest
Rate Risk. Changes in interest rates will affect the value of the Fund's investments in fixed-income securities. When
interest rates rise, the value of investments in fixed-income securities tends to fall and this decrease in value may not be offset
by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities
or durations.
Credit
Default Swaps. The Fund expects to invest in credit default swaps. A credit default swap is a contract between two parties
which transfers the risk of loss if a company fails to pay principal or interest on time or files for bankruptcy. In essence,
an institution which owns corporate debt instruments can purchase a limited form of default protection by entering into a credit
default swap with another bank, broker-dealer or financial intermediary. Upon an event of default, the swap may be terminated
in one of two ways: (i) by the purchaser of credit protection delivering the referenced instrument to the swap counterparty and
receiving a payment of par value, or (ii) by the parties pairing off payments, with the purchaser of the protection receiving
a payment equal to the par value of the reference security less the price at which the reference security trades subsequent to
default. The first way is the more common form of credit default swap termination.
In
the manner described above, credit default swaps can be used to hedge a portion of the default risk on a single corporate bond
or a portfolio of bonds. Credit default swaps can be used to implement the Investment Manager's view that a particular credit,
or group of credits, will experience credit improvement. In the case of expected credit improvement, the Fund may sell credit
default protection in which it receives a premium to take on the risk. In such an instance, the obligation of the Fund to make
payments upon the occurrence of a credit event creates leveraged exposure to the credit risk of the referenced entity. The Fund
may also "purchase" credit default protection even in the case in which it does not own the referenced instrument if,
in the judgment of the Investment Manager, there is a high likelihood of credit deterioration.
The
credit default swap market in high-yield securities is evolving compared to the credit default swap market for more seasoned and
liquid investment grade securities. Swap transactions dependent upon credit events are priced incorporating many variables including
the pricing and volatility of the common stock, potential loss upon default and the shape of the U.S. Treasury Yield curve, among
other factors. As such, there are many factors upon which market participants may have divergent views. The Investment Manager
may also enter into credit default swap transactions, even if the credit outlook is positive, if it believes that participants
in the marketplace have incorrectly valued the components which determine the value of a swap.
Widening
and Narrowing Credit Spreads. The Fund will be impacted by the widening or narrowing of credit spreads. If credit spreads
were to narrow, it may result in an increase in the cost to the Fund of buying securities to cover the short position or resulting
in the inability of the Fund to cover the short position.
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Index
or Index Options. The Fund may also purchase and sell indices as well as call and put options on indices, whether or not
stock indices are listed on securities exchanges or traded in the over-the-counter market. An index or index option fluctuates
with changes in the market values of the securities included in the index. Specifically, investments in the CDX and iBoxx indices
will fluctuate based upon the value of the underlying components of the index. In addition, because the value of an index or index
option depends upon movements in the level of the index rather than the price of a particular asset, whether the Fund will realize
gains or losses from the purchase or writing of options on indices depends upon movements in the level of instrument prices in
the assets generally or, in the case of certain indices, in an industry or market segment, rather than movements in the price
of particular assets.
Trading
of Swaps. The Fund expects to enter into swap transactions. A swap transaction is an individually negotiated, non-standardized
derivative agreement between two parties to exchange cash flows (and sometimes principal amounts) measured by different interest
rates, currency exchange rates, securities, commodities or other items, indices, or prices, with payments generally calculated
by reference to a principal ("notional") amount or quantity. Swap contracts are not traded on exchanges and are not
otherwise regulated, and as a consequence investors in such contracts do not benefit from regulatory protections. Swap trading
is similar to the spot and forward markets in that banks, broker-dealers or their affiliates generally act as principals in the
swap markets, and the Fund is subject to risks similar to those described in the discussion of the spot and forward markets.
Catastrophe
Bonds. Event-linked or catastrophe bonds carry material uncertainties and risk exposures to adverse conditions. If a trigger
event, as defined within the terms of the bond, involves losses or other metrics exceeding a specific magnitude in the geographic
region and time period specified therein, the Fund may lose a portion or all of its investment in such security, including accrued
interest and/or principal invested in such security. Because Catastrophe Bonds cover “catastrophic” events that, if
they occur, will result in significant losses, Catastrophe Bonds carry a high degree of risk of loss and are considered “high
yield” or “junk bonds.” The rating, if any, primarily reflects the rating agency’s calculated probability
that a predefined trigger event will occur. Thus, lower-rated bonds have a greater likelihood of a triggering event occurring
and loss to the Fund.
Catastrophe
Bonds are also subject to extension risk. The sponsor of such an investment might have the right to extend the maturity of the
bond or note to verify that the trigger event did occur or to process and audit insurance claims. The typical duration of mandatory
and optional extensions of maturity for reinsurance-related securities currently is between three months to two years. In certain
circumstances, the extension may exceed two years. An extension to verify the potential occurrence of a trigger event will reduce
the value of the bond or note due to the uncertainty of the occurrence of the trigger event and will hinder the Fund’s ability
to sell the bond or note. Even if it is determined that the trigger event did not occur, such an extension will delay the Fund’s
receipt of the bond’s or note’s principal and prevent the reinvestment of such proceeds in other, potentially higher
yielding securities.
Quota
Share Notes, Excess of Loss Notes and ILW Notes. The Fund may invest, directly or indirectly, in reinsurance contracts
through shares or notes issued in connection with quota shares and / or may gain exposure to reinsurance contracts through excess
of loss notes and/or industry loss warranties (collectively, “Reinsurance Notes”). As Reinsurance Notes represent
an interest, either proportional or non-proportional, in one or more underlying reinsurance contracts, the Fund has limited transparency
into the individual underlying contract(s) and, therefore, must rely upon the risk assessment and sound underwriting practices
of the sponsor. Accordingly, it may be more difficult to fully evaluate the underlying risk profile of Reinsurance Notes, which
may place the Fund’s assets at greater risk of loss than if the Investment Manager had more complete information. The lack
of transparency may also make the valuation of such investments more difficult and potentially result in mispricing that could
result in losses to the Fund. In Reinsurance Notes, the Fund cannot lose more than the amount invested.
Reinsurance
Industry Risk. The performance of reinsurance-related securities and the reinsurance industry itself are tied to the occurrence
of various triggering events, including weather, natural disasters (hurricanes, earthquakes, etc.), non-natural large catastrophes
and other specified events causing physical and/or economic loss. If the likelihood and severity of natural and other large disasters
increase, the risk of significant losses to reinsurers may also increase. Typically, one significant triggering event (even in
a major metropolitan area) will not result in financial failure to a reinsurer. However, a series of major triggering events could
cause the failure of a reinsurer. Similarly, to the extent the Fund invests in reinsurance-related securities for which a triggering
event occurs, losses associated with such event could result in losses to the Fund’s investment, and a series of major triggering
events affecting a large portion of the reinsurance-related securities held by the Fund could result in substantial losses to
the Fund’s investment. In addition, unexpected events such as natural disasters or terrorist attacks could lead to government
intervention. Political, judicial and legal developments affecting the reinsurance industry could also create new and expanded
theories of liability or regulatory or other requirements; such changes could have a material adverse effect on the Fund’s
investment.
Duration
of Reinsurance-Related Securities. The determination of the level of losses under a reinsurance-related security may be
a protracted process and the realizable value of these reinsurance-related securities, particularly those with respect to which
a loss event has occurred, will be delayed until the related collateral, if any, is released to the Fund and any remaining associated
liabilities are finally determined.
| Semi-Annual
Report | April 30, 2023 |
9 |
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Modeling
Risk. The Investment Manager, in selecting certain investments for the Fund, may consider risk models created in-house
or by third parties that are based, in part, on prior transactions, quantitative analysis and industry knowledge. Risk models
are designed to assist investors, governments and businesses to understand the potential impact of a wide variety of events and
allow such parties to analyze the probability of loss. Risk models are created using historical, scientific and other related
data and may incorporate quantitative methods. Because such risk models are based in part upon historical data and averages, there
is no guarantee that such information will accurately predict the future occurrence or severity of any particular event and thus
may fail to accurately calculate the probability of an event and may underestimate the likelihood of an event. Securities or other
investments selected using such methods may perform differently from the market as a whole or from their expected performance
for many reasons, including factors used in building the analytical framework, the weights placed on each factor, and changing
sources of market returns, among others. In addition, any errors or imperfections in a risk model (quantitative or otherwise),
analyses, the data on which they are based or any technical issues with the construction of the models (including, for example,
data problems and/or software or other implementation issues) could adversely affect the ability of the Investment Manager to
use such analyses or models effectively, which in turn could adversely affect the Fund’s performance. Risk models are used
by the Investment Manager as one input in its risk analysis process for Fund investments. There can be no assurance that these
methodologies will help the Fund to achieve its investment objective.
Unrated
Securities Risk. The Fund may have exposure to securities that are unrated. Accordingly, the Fund’s unrated investments
could constitute a risky and speculative investment. In addition, such investments may be subject to greater risks than other
investments, including greater levels of risk related to changes in interest rates, credit risk (including a greater risk of default),
and illiquidity risk. Unrated investments may be more susceptible to real or perceived adverse economic and competitive industry
or business conditions than higher-grade investments. Yields on such investments will fluctuate and may, therefore, cause the
Fund’s value to be more volatile.
When-Issued
and Forward Commitment Securities. The purchase of securities on a "when-issued" basis involves a commitment
by the Fund to purchase or sell securities at a future date (typically one or two months later). No income accrues on securities
that have been purchased on a when-issued basis prior to delivery to the Fund. When-issued securities may be sold prior to the
settlement date. If the Fund disposes of the right to acquire a when-issued security prior to its acquisition, it may generate
a gain or loss. In addition, there is a risk that securities purchased on a when-issued basis may not be delivered to the Fund.
In such cases, the Fund may incur a loss. One type of security which the Fund is permitted to acquire on a "when-issued"
basis is a forward-settling agency MBS where the pool is "to-be-announced", known as a "TBA". Pursuant to
these TBAs, the Fund will agree to purchase, for future delivery, agency MBS with certain principal and interest terms and certain
types of underlying collateral, but where the specific agency MBS to be delivered will not be identified until shortly before
the TBA settlement date. In the case of TBAs there is an additional risk that, when the actual terms of the underlying mortgage
pool become known, the Fund may be exposed to greater risk than anticipated.
Illiquid
Investments. The Fund may invest in securities, bank debt, private funds and companies, other assets and/or third-party
managers and other claims, which are subject to legal or other restrictions on transfer or for which no liquid market exists.
The market prices, if any, for such investments tend to be volatile and may not be readily ascertainable, and the Fund may not
be able to execute a buy or sell order on exchanges at the desired price or to liquidate an open position due to market conditions,
including the operation of daily price fluctuation limits. The sale of restricted and illiquid securities often requires more
time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible
for trading on national securities exchanges or in the over-the-counter markets. The Fund may not be able to readily dispose of
such illiquid investments and, in some cases, may be contractually prohibited from disposing of such investments for a specified
period of time. If trading on an exchange is suspended or restricted, the Fund may not be able to execute trades or close out
positions on terms that the Investment Manager believes are desirable. Realization of value from such investments may be difficult
in the short-term, or may have to be made at a substantial discount compared to other freely tradable investments. An investment
in the Fund is suitable only for certain sophisticated investors who do not require immediate liquidity for their investments.
Valuation.
Securities which the Investment Manager believes are fundamentally undervalued or overvalued may not ultimately be valued
in the capital markets at prices and/or within the time frame the Investment Manager anticipates. In particular, purchasing securities
at prices which the Investment Manager believes to be distressed or below fair value is no guarantee that the price of such securities
will not decline even further.
Derivative
Investments. The prices of derivative instruments, including futures and options, are volatile. Payments made pursuant
to swap agreements may also be volatile. Price movements of futures and options contracts and payments pursuant to swap agreements
are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange
control programs and policies of governments, and national and international political and economic events and policies. The value
of futures, options and swap agreements also depends upon the price of the commodities underlying them. In addition, the Fund's
assets are subject to the risk of the failure of any of the exchanges on which its positions trade or of its clearinghouses or
counterparties.
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
The
Fund may buy or sell (write) both call options and put options, and when it writes options, it may do so on a "covered"
or an "uncovered" basis. A call option is "covered" when the writer owns securities of the same class and
amount as those to which the call option applies. A put option is covered when the writer has an open short position in securities
of the relevant class and amount. The Fund's option transactions may be part of a hedging strategy (i.e., offsetting the risk
involved in another securities position) or a form of leverage, in which the Fund has the right to benefit from price movements
in a large number of securities with a small commitment of capital. These activities involve risks that can be substantial, depending
on the circumstances.
In
general, without taking into account other positions or transactions the Fund may enter into, the principal risks involved in
options trading can be described as follows: When the Fund buys an option, a decrease (or inadequate increase) in the price of
the underlying security in the case of a call, or an increase (or inadequate decrease) in the price of the underlying security
in the case of a put, could result in a total loss of the Fund's investment in the option (including commissions). The Fund could
mitigate those losses by selling short, or buying puts on, the securities for which it holds call options, or by taking a long
position (e.g., by buying the securities or buying calls on them) in securities for which it holds put options.
When
the Fund sells (writes) an option, the risk can be substantially greater than when it buys an option. The seller of an uncovered
call option bears the risk of an increase in the market price of the underlying security above the exercise price. The risk is
theoretically unlimited unless the option is "covered". If it is covered, the Fund would forego the opportunity for
profit on the underlying security should the market price of the security rise above the exercise price. If the price of the underlying
security were to drop below the exercise price, the premium received on the option (after transaction costs) would provide profit
that would reduce or offset any loss the Fund might suffer as a result of owning the security.
Swaps
and certain options and other customized instruments are subject to the risk of non-performance by the swap counterparty, including
risks relating to the creditworthiness of the swap counterparty, market risk, liquidity risk and operations risk.
Hedging
Transactions. The Fund may utilize financial instruments, both for investment purposes and for risk management purposes
in order to (i) protect against possible changes in the market value of the Fund's investment portfolio resulting from fluctuations
in the securities markets and changes in interest rates; (ii) protect the Fund's unrealized gains in the value of the Fund's investment
portfolio; (iii) facilitate the sale of any such investments; (iv) enhance or preserve returns, spreads or gains on any investment
in the Fund's portfolio; (v) hedge the interest rate or currency exchange rate on any of the Fund's liabilities or assets; (vi)
protect against any increase in the price of any securities the Fund anticipates purchasing at a later date or (vii) for any other
reason that the Investment Manager deems appropriate.
The
success of the Fund's hedging strategy will depend, in part, upon the Investment Manager's ability to correctly assess the degree
of correlation between the performance of the instruments used in the hedging strategy and the performance of the portfolio investments
being hedged. Since the characteristics of many securities change as markets change or time passes, the success of the Fund's
hedging strategy will also be subject to the Investment Manager's ability to continually recalculate, readjust and execute hedges
in an efficient and timely manner. While the Fund may enter into hedging transactions to seek to reduce risk, such transactions
may result in a poorer overall performance for the Fund than if it had not engaged in such hedging transactions. For a variety
of reasons, the Investment Manager may not seek to establish a perfect correlation between the hedging instruments utilized and
the portfolio holdings being hedged. Such an imperfect correlation may prevent the Fund from achieving the intended hedge or expose
the Fund to risk of loss. The Investment Manager may not hedge against a particular risk because it does not regard the probability
of the risk occurring to be sufficiently high as to justify the cost of the hedge, or because it does not foresee the occurrence
of the risk. The successful utilization of hedging and risk management transactions requires skills complementary to those needed
in the selection of the Fund's portfolio holdings.
Closed-End
Funds. The Fund does invest in CEFs that are operated by a diversified group of closed-end fund managers (“CEF
Managers”). To the extent that such CEFs invest in financial instruments similar to those invested in by the Fund, the
risk factors that are set forth herein with respect to such instruments will also apply to the CEFs in which the Fund invests,
and thus indirectly apply to the Fund.
Risks
Relating to Underlying CEF Managers. CEF Managers are subject to various risks, including, but not limited to, operational
risks such as the ability to provide the adequate operating environment for a CEF such as back office functions, trade processing,
accounting, administration, risk management, valuation services and reporting. CEF Managers may also face competition from other
investment managers, which may be more established and have larger capital bases and have larger numbers of qualified management
and technical personnel. Additionally, certain CEF Managers may pursue over time different investment strategies which may limit
the Fund's ability to assess a CEF Manager's ability to achieve its longterm investment objective. Furthermore, a CEF Manager
may face additional risks as the assets of a CEF increase over time. In such instances, a CEF Manager may not be able to handle
properly the operating volumes of a CEF with an increased capital basis. Also, a CEF Manager may be unable to manage a CEF's increased
assets effectively because it may be unable to maintain such CEF's current investment strategy or find the types of investments
better suited for a CEF with an increased capital basis.
| Semi-Annual
Report | April 30, 2023 |
11 |
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Independent
CEF Managers. CEF Managers generally invest wholly independently of one another and may at times hold economically offsetting
positions. To the extent that such CEF Managers do, in fact, hold offsetting positions, the Fund, considered as a whole, may not
achieve any gains or losses despite incurring investment expenses, including, without limitation, performance-based compensation.
In addition, there may often be times when a particular CEF Manager may receive performance-based compensation in respect of the
Fund's investments for a period even though the Fund's overall portfolio depreciated during such period. Some CEF Managers also
may compete with each other from time to time for the same positions in certain markets. Such competition may adversely affect
the performance of CEFs managed by such CEF Managers. In addition, although the Investment Manager receives detailed information
from each CEF Manager regarding its investment performance and investment strategy, the Investment Manager may have little or
no means of independently verifying this information. A CEF Manager may use proprietary investment strategies that are not fully
disclosed to the Investment Manager, which may involve risks that are not anticipated by the Investment Manager. In addition,
the Fund will still face the risk of CEF Manager misrepresentation, material strategy alteration or poor judgment. Although CEF
Managers are required to adhere to the offering documents for the respective funds, the Investment Manager cannot control the
investments made by a CEF Manager. The Investment Manager's sole remedy in the event of a deviation by a CEF Manager from its
offering documents (such as in the case of "style drift") may be to cause the Fund to withdraw capital from a CEF Manager's
fund, subject to any applicable withdrawal restrictions.
Style
Drift. The Investment Manager relies primarily on information provided by CEF Managers in assessing a CEF Manager's defined
investment strategy, the underlying risks of such a strategy and, ultimately, determining whether, and to what extent, it will
allocate the Fund's assets to particular CEF Managers. "Style drift" is the risk that a CEF Manager may deviate from
his or her stated or expected investment strategy. Style drift can occur abruptly if a CEF Manager believes it has identified
an investment opportunity for higher returns from a different approach (and the manager disposes of an interest quickly to pursue
this approach) or it can occur gradually, such as if, for instance, a "value"-oriented CEF Manager gradually increases
a CEF's investments in "growth" stocks. Style drift can also occur if a CEF Manager focuses on factors it had deemed
immaterial in its offering documents --such as particular statistical information or returns relative to certain benchmarks. Additionally,
style drift may result in a manager pursuing investment opportunities in an area in which it has a competitive disadvantage or
is outside the manager's area of expertise (e.g., a large-cap manager focusing on small-cap investment opportunities). Moreover,
style drift poses a particular risk for multiple-manager structures since, as a consequence, the Fund may be exposed to particular
markets or strategies to a greater extent than was anticipated by the Investment Manager when it assessed the portfolio's risk-return
characteristics and allocated assets to a CEF Manager (and which may, in turn, result in overlapping investment strategies among
various CEF Managers).
Special
Purpose Acquisition Companies. A SPAC is a publicly traded company formed for the purpose of raising capital through an
initial public offering to fund the acquisition, through a merger, capital stock exchange, asset acquisition or other similar
business combination, of one or more operating businesses that are typically not publicly-listed. Following the acquisition of
a target company, a SPAC's management team may exercise control over the management of the combined company in an effort to increase
its value. Often now, though, management of the target company will continue to manage the now publicly-traded business subsequent
to completion of its business combination with the SPAC. Capital raised through the initial public offering of securities of a
SPAC is typically placed into a trust account until acquired business combination is completed or a predetermined period of time
(typically 24 months) elapses. Investors in a SPAC would receive a return on their investment in the event that a target company
is acquired and the combined publicly-traded company's shares trade above the SPAC's initial public offering ("IPO")
price, or alternatively, the market price at which an investor acquired a SPAC's shares subsequent to its IPO. In the event that
a SPAC is unable to locate and acquire a target business by the timeframe established at the time of its IPO, the SPAC would be
forced to liquidate its assets, which may result in losses due to the expenses and liabilities of the SPAC, to the extent third-parties
are permitted to bring claims against IPO proceeds held in the SPAC's trust account. Investors in a SPAC are subject to the risk
that, among other things, (i) such SPAC may not be able to complete a qualifying business combination by the deadline established
at the time of its IPO, (ii) assets in the trust account may become subject to third-party claims against such SPAC, which may
reduce the per share liquidation value received by the investors in the SPAC in the event it fails to complete a business combination
within the required time period, (iii) such SPAC may be exempt from the rules promulgated by the SEC to protect investors in "blank
check" companies, such as Rule 419 promulgated under the Securities Act of 1933, as amended (the "Securities Act"),
so that investors in such SPAC may not be afforded the benefits or protections of those rules, (iv) such SPAC will likely only
complete one business combination, which will cause its returns and future prospects to be solely dependent on the performance
of a single acquired business, (v) the value of any target business, including its stock price as a public company, may decrease
following its acquisition by such SPAC, (vi) the value of the funds invested and held in the trust account may decline, (vii)
the inability to redeem due to the failure to hold the securities in the SPAC on the applicable record date to do so, and (viii)
if the SPAC is unable to consummate a business combination, public stockholders will be forced to wait until the deadline before
liquidating distributions are made. The Fund may invest in a SPAC that, at the time of investment, has not selected or approached
any prospective target businesses with respect to a business combination. In such circumstances, there may be limited basis for
the Fund to evaluate the possible merits or risks of such SPAC's investment in any particular target business. In addition, to
the extent that a SPAC completes a business combination, it may be affected by numerous risks inherent in the business operations
of the acquired company or companies. For these and additional reasons, investments in SPACs are speculative and involve a high
degree of risk.
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Further,
SPACs are structured as publicly-traded blank check companies. Accordingly, the Fund will also be subject to risks that arise
from investments in vehicles that are managed by independent third parties, as well as the risk that the underlying business combinations
being pursued by the SPACs in which the Fund invests will not be consummated or will not be successful.
Founder’s
Equity and Sponsor Vehicle Investments. The Fund may invest in founder’s equity, consisting of founder’s shares
and/or private placement warrants issued by a SPAC in connection with its formation and IPO, either directly or indirectly through
equity interests in a related sponsor vehicle which holds such founders equity instruments. Founder’s shares are similar
to the shares of stock issued by a SPAC in its IPO, but have no right to receive any proceeds from a SPAC's trust account pursuant
to redemption or liquidation of the SPAC. Similarly, private placement warrants have terms that mirror those of the warrants issued
by a SPAC in connection with its IPO, but expire worthless if the SPAC fails to consummate a qualifying business combination within
the required time period. As a result, an investment in founder’s equity of a SPAC poses a risk of total loss of investment
in the event the SPAC is unsuccessful in completing a business combination. In addition, the Fund may be required to agree to
certain terms, including with respect to the acquisition, holding and/or voting of its liquid position in a SPAC, in order to
receive exposure to a SPAC's founder’s equity. Any founders shares distributed to the Fund will also typically be subject
to a lock-up period subsequent to completion of a business combination, which will restrict the Fund's ability to dispose of such
shares for up to one year after a SPAC completes its business combination. Similar to SPAC PIPE shares, founder’s shares,
private placement warrants, and any shares issued upon exercise of such private placement warrants, will also be restricted securities,
which further limit their liquidity absent registration under the Securities Act.
Risks
Relating to Investments In Exchange Traded Funds/Trusts that invest in cryptocurrencies or similar assets that utilize
blockchain technology. Consistent with the Fund’s closed-end fund investment approach, where the Fund seeks to capitalize
on the difference between a closed-end fund’s aggregate asset value and its net asset value, the Fund has and may in the
future invest in exchange traded investment funds/trusts that invest in cryptocurrencies or similar assets that utilize blockchain
technology (such as, the Grayscale Bitcoin Trust) and the Fund may hedge such investments through the use of other securities
(including other exchange trade funds that own virtual currencies) and derivatives of virtual currencies, in each case, to the
extent permitted by, and in accordance with, any future law, regulation, guidance, or exemptive relief provided by the SEC or
its staff or other regulatory agency or body having jurisdiction. The Fund expects that any such investments are likely to constitute
only a small proportion of its portfolio.
The
following Risk Factors relate to investment held by exchange traded investment funds/trusts that invest in cryptocurrencies or
similar assets:
Virtual
currencies are relatively new, evolving products based upon new and evolving technologies. An investment in any virtual currency
is subject to a variety of risks, including technological, security and regulatory risks as well as associated uncertainties over
the future existence, support and development of such virtual currency. Virtual currencies may also experience unusual volatility.
Any such investment is highly speculative and subject to the risk that the entirety or a material portion of such investment or
its value may be lost. Virtual currency derivatives, such as futures or options on futures on a virtual currency, are also a relatively
new asset class, and trading in these instruments, like trading in the virtual currencies themselves, carries a high level of
risk. Investments in virtual currency derivatives, like direct investments in virtual currencies, should be considered speculative
and may to result in a total loss of capital. Virtual currencies are not legal tender, but a type of highly decentralized electronic
commodity that is not typically backed by any intermediating authority, such as a central bank or a national, supra-national or
quasi-national organization, or any hard assets, human capital, or other form of credit. Rather, their value is based on (and
fluctuates frequently according to) supply and demand factors, the number of merchants that accept the currency, and the value
that various market participants place on it through their mutual agreement, barter or transactions.
The
creation of new units of the virtual currency, as well recordation of ownership and transactions in the currency, is typically
driven by an algorithmic system distributed over a very large computer network with many participants. Typically, an individual
virtual currency unit exists as a record in a digital file, based upon a mathematical proof, and is comprised of a public key
that encrypts a transaction value and a private key that decrypts it. Virtual currencies allow users to send payments within a
decentralized, peer-to-peer network, and do not require a central clearinghouse or financial institution clearing transactions.
Cybersecurity
Risk. Because of the cryptographic characteristics of virtual currency networks and their large number of users,
direct attacks on the integrity of a virtual currency network (such as to change ownership, the number of units of the virtual
currency in circulation, or the history of transactions) are generally considered impractical, but new technological developments
or unforeseen technical flaws in a virtual currency’s algorithm could create opportunities for disruption. If the basic
algorithm of a virtual currency were compromised, the value of the virtual currency itself, and derivatives thereupon, could be
severely affected. Note, also, that the electronic exchanges and third-party custodians that facilitate trading in virtual currencies
may experience, and have experienced, cybersecurity incidents of their own. As described below, depending upon the electronic
custody arrangements used by an exchange, a compromise of its systems can result in an irreversible loss of virtual currency for
users even if the algorithm of the virtual currency itself remains technically sound. Hackers or malicious actors may launch attacks
to steal, compromise, or secure virtual currencies, such as by attacking virtual currency network source code, exchange servers,
third-party platforms, cold and hot storage locations or software, or virtual currency transaction history, or by other means.
Depending upon the scale of such an incident, it could have systemic effects upon the value and liquidity of a virtual currency.
Although virtual currency derivatives may not be directly exposed to this latter so-called “wallet risk”, major disruptions
to one or more virtual currency exchanges could have valuation effects on a virtual currency that would negatively impact the
value of its derivatives in turn.
| Semi-Annual
Report | April 30, 2023 |
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| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Risks
Associated With “Digital Wallets”. Exchange traded funds and trusts may use digital currency “wallets”
(a “virtual currency wallet” being a programmatic record system that contains virtual currency units) provided by
exchanges or other third-parties to hold all or a portion of such exchange traded fund’s and trust’s virtual currencies.
Such funds may be unable to conduct detailed information technology diligence on such third-party wallet providers and, as a result,
may not be aware of all security vulnerabilities and risks. Certain third-party wallet providers might not indemnify the exchange
traded fund or trust against any losses of virtual currencies. Certain virtual currencies are intended to be controllable only
by the possessor of both the unique public and private keys relating to the local or online digital wallet in which such virtual
currencies are held. If private keys relating to such exchange traded fund’s or trust’s virtual currency holdings
are lost, destroyed or otherwise compromised and such private keys are not capable of being restored by a virtual currency network,
such exchange traded fund or trust may be unable to access the related virtual currencies. Further, virtual currencies are typically
transferred digitally, through electronic media not controlled or regulated by any entity. If a virtual currency transfers to
the wrong destination, the exchange traded fund or trust may be unable to recover the virtual currency or its value.
Price
Volatility Risks. A principal risk in trading virtual currencies and virtual currency derivatives is the rapid fluctuation
of their market price. Virtual currencies experience significant price volatility, which may result in substantial changes in
the value of a derivative contract on the underlying virtual commodity. The price of virtual currencies may be affected generally
by a wide variety of complex and difficult to predict factors such as virtual currency supply and demand; rewards and transaction
fees for the recording of transactions; availability and access to virtual currency service providers (such as payment processors),
exchanges or other virtual currency users and market participants; perceived or actual virtual currency network or virtual currency
security vulnerability; inflation levels; fiscal policy; interest rates; and political, natural and economic events. Additionally,
the highly distributed nature of virtual currency trading can complicate efficient price discovery for a virtual currency in the
marketplace, an effect compounded by the fact that the distributed network responsible for processing virtual currency transactions
may have a relatively limited transaction volume.
Fluctuations
in the underlying virtual currency’s value between the time that a trade is placed for a virtual currency futures contract
and the time that an attempt is made to it liquidate it will affect the value of a futures contract and the potential profit and
losses related to it.
Like
futures generally, virtual currency futures are also traded using initial margin, which permits positions to be established in
these instruments whose value exceeds the initial investment. Because the initial margin of a virtual currency derivative may
be set as a percentage of the value of the contract, margin requirements for a long position may significantly increase if price
of the contract rises. Additionally, due to the leverage effect provided by initial margin, unfavorable movements in the price
of a virtual currency future can produce substantial losses compared to the size of the size of the initial investment. These
risks are enhanced in the context of increased price volatility. There is no guarantee that the exchange traded fund or trust
will be able to achieve a better than average market price for virtual currencies in owns through such exchange traded fund or
trust or virtual currency derivatives or will purchase such assets at the most favorable price available.
Virtual
Currencies are Speculative Investments. To date, speculators and investors seeking to profit from either short- or long-term
holding of virtual currencies have driven much of the demand for these products. Virtual currencies typically have a very limited
commercial and retail market application, thus contributing to price volatility that could adversely affect an investment. Virtual
currencies are not yet widely adopted as a means of payment for goods and services, and banks and other established financial
institutions may refuse to process funds for virtual currency transactions, process wire transfers to or from their exchanges,
as well as virtual currency-related companies or service providers, or maintain accounts for persons or entities transacting in
virtual currencies. Accordingly, investments in virtual currencies and virtual currency derivatives should be considered highly
speculative.
Risk
of Competition. As purely algorithmic constructs, virtual currencies present a relatively low barrier to entry for new
financial products, and competitive products for a particular virtual currency may readily develop and vie for market share.
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Fees
Associated With Virtual Currency Networks. Virtual currency network participants may charge a fee for effectuating certain
essential services, such as transaction recording. These fees are sensitive to prevailing market conditions and may increase during
periods of high volume.
Risks
Associated With Virtual Currency Exchanges. The virtual currency exchanges on which virtual currencies trade are relatively
new and largely unregulated and may therefore be more exposed to theft, fraud and failure than established, regulated exchanges
for other products. Liquidity for a virtual currency may be inconsistent or limited, particularly during periods of market stress.
Virtual currency exchanges may impose daily, weekly, monthly or customer-specific transaction or distribution limits or suspend
redemptions entirely, rendering the exchange of virtual currency difficult or impossible. Virtual currency exchanges are appealing
targets for cybercrime, hackers and malware. It is possible that any such exchange may cease operations due to theft, fraud, security
breach, liquidity issues, anti-money laundering issues or government investigation. While the virtual currency spot trading market
is relatively unregulated, investors should note that both U.S.-domestic and foreign regulators have applied serious sanctions,
including trading bans, to virtual currency exchanges that were found derelict under applicable laws. In addition, banks may refuse
to process wire transfers to or from exchanges. Over the past several years, many exchanges have, indeed, closed due to fraud,
theft, government or regulatory involvement, failure or security breaches, or banking issues. The exchange traded fund and trust
may be unable to replace missing virtual currencies or seek reimbursement for any theft of virtual currencies.
While
virtual currencies have been determined to be commodities under the U.S. Commodity Exchange Act, as amended, the CFTC’s
regulatory oversight authority over commodity cash markets is limited. The CFTC maintains general anti-fraud and manipulation
enforcement authority over virtual currency cash markets as a commodity in interstate commerce. However, recourse for recovery
of any fiat currency lost as a result of participating in a virtual currency exchange may be limited in practice due to technological
considerations. The spot and underlying markets for virtual currency are relatively opaque systems in which the ultimate beneficial
owners of units of virtual currency may be difficult or impossible to identify, complicating antitheft and antifraud measures
by virtual currency exchanges or regulators.
Risks
Associated With Virtual Currency Derivatives Exchanges. Futures exchanges subject to U.S. jurisdiction that trade in virtual
currency derivatives are responsible for regulating their activities with CFTC oversight; certain exchanges have also contracted
with the NFA to implement monitoring and rule compliance in furtherance of the CFTC’s rules. Exchange-traded virtual currency
derivatives that are subject to CFTC jurisdiction mitigate some of the risks of direct participation in virtual currency trading
by interposing regulated facilities and contracts between traders and the underlying virtual currency market. Nevertheless, to
the extent that disruptions in the exchanges of an underlying virtual currency affect the value of that commodity, derivatives
in that virtual currency may be negatively impacted as well.
Futures
commission merchants may impose enhanced trading restrictions upon virtual currency derivatives due to their novel and highly
speculative nature. Virtual currency derivatives contracts may be subject to additional margin, dynamic price limits, position
limits, or prohibitions on trading strategies such as certain forms of short selling or give-up/give-in transactions. Designated
contract markets for virtual currency derivatives may impose trading halts that may restrict a market participant’s ability
to exit a position during a period of high volatility. Such features could affect the ability of the Investment Manager to expand
or exit a position in virtual currency derivatives at the most financially opportune moment, potentially resulting in losses to
the Fund.
Additional
Regulatory Considerations. The regulatory schemes affecting virtual currencies may not be fully developed. Government
action or regulation may directly or indirectly affect a virtual currency market or network, influencing virtual currency use
or prices. It is possible that any jurisdiction may, in the near or distant future, adopt laws, regulations, policies or rules
directly or indirectly affecting a virtual currency network, generally, or restricting the right to acquire, own, hold, sell,
convert, trade, use or exchange virtual currencies. Like virtual currencies themselves, virtual currency derivatives exist within
an evolving regulatory landscape and could also become subject to new regulations with valuation consequences for these instruments.
Such changes could be difficult or impossible to predict.
Additional
Tax Considerations. Many significant aspects of the tax treatment of investments in cryptocurrency are uncertain, and
a direct or indirect investment in cryptocurrency may produce income that if directly earned by a regulated investment company
like the Fund, would be treated as non-qualifying income for purposes of the income test applicable to regulated investment companies.
Accordingly, to the extent the Fund invests in cryptocurrencies futures, or investment vehicles that invest in cryptocurrencies,
it will do so through a subsidiary.
In
2014, the IRS released a notice (the “Notice”) discussing certain aspects of “convertible virtual currency”
(that is, digital assets that have an equivalent value in fiat currency or that act as a substitute for fiat currency) for U.S.
federal income tax purposes and, in particular, stating that such a digital asset (i) is “property,” (ii) is not “currency”
for purposes of the rules relating to foreign currency gain or loss and (iii) may be held as a capital asset. In 2019, the IRS
released a revenue ruling and a set of “Frequently Asked Questions” (the “Ruling & FAQs”) that provide
some additional guidance. However, the Notice and the Ruling & FAQs do not address other significant aspects of the U.S. federal
income tax treatment of digital assets.
| Semi-Annual
Report | April 30, 2023 |
15 |
| Saba
Capital Income & Opportunities Fund |
Material Risk Factors |
April
30, 2023 (Unaudited)
Other
tax issues include the income and withholding taxation of incidental rights received through a fork in the blockchain, airdrops
offered to bitcoin holders and other similar events, including situations where such rights are disclaimed, as is expected with
respect to Grayscale Bitcoin Trust’s intended treatment of such events. There is limited guidance from the IRS with respect
to the treatment of bitcoin for tax purposes. In any event, there can be no assurance that the IRS will not alter its positions
or otherwise provide further guidance, potentially retroactive in effect, with respect to digital assets in the future or that
a court would uphold the treatment set forth in the Notice and the Ruling & FAQs or in other guidance.
It
is unclear what additional guidance on the treatment of digital assets for U.S. federal, state and local income tax purposes may
be issued or when such guidance may be issued. Because of the evolving nature of digital assets, it is not possible to predict
potential future developments that may arise with respect to digital assets. Any future guidance on the treatment of digital assets
for federal, state or local tax purposes could result in adverse tax consequences for the Fund or the subsidiary and could have
an adverse effect on the value of bitcoin, ether and other cryptocurrencies.
The
foregoing list of material risk factors does not purport to be a complete enumeration or explanation of the risks involved in
an investment in the Fund. The Fund opportunistically implements strategies it believes from time to time will be best suited
to prevailing market conditions and to the Investment Manager’s investment experience. Such strategies or approaches may
involve higher levels of risk than the ones discussed herein. There can be no assurance that the Investment Manager will be successful
in applying any strategy or discretionary approach to the Fund’s investments.
Investors
and prospective investors should read this entire risk disclosure as well as the more complete list of Fund Risk Factors and other
materials set forth on the Fund’s website (https://www.sabacef.com), the definitive proxy describing the Fund’s current
investment program (as amended), and the Fund’s Prospectus. Investors and prospective investors should consult with their
own advisors before deciding whether to invest in the Fund. In addition, prospective and current investors should note that the
Prospectus is and may become outdated and/or inaccurate as the Fund's investment program may develop and change over time. An
investment in the Fund may be subject to additional and different risk factors that are not outlined above.
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Principal Amount | | |
Fair Value | |
| CORPORATE BONDS - 25.81% | |
| | | |
| | |
| Agriculture - 6.39% | |
| | | |
| | |
| | |
| | | |
| | |
| Altria Group, Inc., 3.400%, 02/04/2041 | |
$ | 15,531,000 | | |
$ | 10,953,929 | |
| Altria Group, Inc., 4.250%, 08/09/2042 | |
| 10,614,000 | | |
| 8,364,267 | |
| BAT Capital Corp., 3.734%, 09/25/2040 | |
| 6,090,000 | | |
| 4,370,607 | |
| | |
| | | |
| 23,688,803 | |
| Banks - 1.37% | |
| | | |
| | |
| | |
| | | |
| | |
| Credit Suisse AG, 0.000% (Variable Rate), 07/31/2030(a) | |
| 10,000 | | |
| 6,823 | |
| Credit Suisse AG, 0.000% (Variable Rate), 10/30/2030(a) | |
| 420,000 | | |
| 251,559 | |
| Morgan Stanley, 0.000% (Variable Rate), 04/30/2030(a) | |
| 25,000 | | |
| 16,481 | |
| Morgan Stanley, 0.000% (Variable Rate), 07/31/2030(a) | |
| 80,000 | | |
| 53,124 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/30/2030(a) | |
| 80,000 | | |
| 51,517 | |
| Morgan Stanley, 0.000% (Variable Rate), 09/26/2033(a) | |
| 428,000 | | |
| 245,827 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/31/2033(a) | |
| 266,000 | | |
| 153,761 | |
| Morgan Stanley, 0.000% (Variable Rate), 02/28/2034(a) | |
| 478,000 | | |
| 269,966 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(a) | |
| 276,000 | | |
| 162,345 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(a) | |
| 26,000 | | |
| 14,937 | |
| Morgan Stanley, 0.000% (Variable Rate), 04/30/2034(a) | |
| 66,000 | | |
| 37,758 | |
| Morgan Stanley, 0.000% (Variable Rate), 05/30/2034(a) | |
| 89,000 | | |
| 51,537 | |
| Morgan Stanley, 0.000% (Variable Rate), 06/30/2034(a) | |
| 460,000 | | |
| 263,973 | |
| Morgan Stanley, 0.000% (Variable Rate), 07/31/2034(a) | |
| 25,000 | | |
| 13,668 | |
| Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(a) | |
| 161,000 | | |
| 90,823 | |
| Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(a) | |
| 10,000 | | |
| 5,634 | |
| Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(a) | |
| 231,000 | | |
| 141,293 | |
| Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(a) | |
| 88,000 | | |
| 49,542 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/08/2034(a) | |
| 32,000 | | |
| 17,814 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(a) | |
| 103,000 | | |
| 56,142 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(a) | |
| 181,000 | | |
| 100,764 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(a) | |
| 357,000 | | |
| 219,990 | |
| Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(a) | |
| 231,000 | | |
| 135,956 | |
| Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(a) | |
| 25,000 | | |
| 13,901 | |
| Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(a) | |
| 69,000 | | |
| 38,652 | |
| Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(a) | |
| 175,000 | | |
| 101,766 | |
| Morgan Stanley, 0.000% (Variable Rate), 02/27/2035(a) | |
| 36,000 | | |
| 20,693 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(a) | |
| 527,000 | | |
| 279,547 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(a) | |
| 114,000 | | |
| 61,096 | |
| Morgan Stanley, 0.000% (Variable Rate), 02/29/2036(a) | |
| 61,000 | | |
| 32,546 | |
| Morgan Stanley, 0.000% (Variable Rate), 04/28/2036(a) | |
| 10,000 | | |
| 5,894 | |
| Morgan Stanley, 0.000% (Variable Rate), 06/30/2036(a) | |
| 40,000 | | |
| 23,497 | |
| Morgan Stanley, 0.000% (Variable Rate), 08/31/2036(a) | |
| 2,289,000 | | |
| 1,369,072 | |
| Morgan Stanley, 0.000% (Variable Rate), 09/30/2036(a) | |
| 40,000 | | |
| 22,268 | |
| Morgan Stanley, 0.000% (Variable Rate), 11/29/2036(a) | |
| 103,000 | | |
| 61,234 | |
| Morgan Stanley, 0.000% (Variable Rate), 01/31/2037(a) | |
| 224,000 | | |
| 128,851 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2037(a) | |
| 747,000 | | |
| 429,256 | |
| Morgan Stanley, 0.000% (Variable Rate), 04/28/2037(a) | |
| 40,000 | | |
| 23,135 | |
| Morgan Stanley, 0.000% (Variable Rate), 05/31/2037(a) | |
| 25,000 | | |
| 15,138 | |
| Semi-Annual
Report | April 30, 2023 |
17 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Principal Amount | | |
Fair Value | |
| Morgan Stanley, 0.000% (Variable Rate), 08/31/2037(a) | |
$ | 58,000 | | |
$ | 34,968 | |
| | |
| | | |
| 5,072,748 | |
| Commercial Services - 1.89% | |
| | | |
| | |
| | |
| | | |
| | |
| Adtalem Global Education, Inc., 5.500%, 03/01/2028(b) | |
| 6,195,000 | | |
| 5,916,225 | |
| RR Donnelley & Sons Co., 6.125%, 11/01/2026(b) | |
| 198,000 | | |
| 197,505 | |
| RR Donnelley & Sons Co., 8.250%, 07/01/2027(b) | |
| 935,000 | | |
| 901,013 | |
| | |
| | | |
| 7,014,743 | |
| Diversified Financial Services - 2.07% | |
| | | |
| | |
| | |
| | | |
| | |
| Nationstar Mortgage Holdings, Inc., 5.500%, 08/15/2028(b) | |
| 6,125,000 | | |
| 5,497,188 | |
| PennyMac Financial Services, Inc., 5.375%, 10/15/2025(b) | |
| 863,000 | | |
| 818,771 | |
| PennyMac Financial Services, Inc., 5.750%, 09/15/2031(b) | |
| 1,000,000 | | |
| 837,500 | |
| PRA Group, Inc., 8.375%, 02/01/2028(b) | |
| 500,000 | | |
| 502,500 | |
| | |
| | | |
| 7,655,959 | |
| Electric - 3.91% | |
| | | |
| | |
| | |
| | | |
| | |
| American Electric Power Co., Inc., 2.300%, 03/01/2030 | |
| 10,000,000 | | |
| 8,478,210 | |
| Dominion Energy, Inc., 2.250%, 08/15/2031 | |
| 5,000,000 | | |
| 4,152,022 | |
| Southern Co., 3.700%, 04/30/2030 | |
| 2,000,000 | | |
| 1,875,956 | |
| | |
| | | |
| 14,506,188 | |
| Food - 0.19% | |
| | | |
| | |
| | |
| | | |
| | |
| Post Holdings, Inc., 5.500%, 12/15/2029(b) | |
| 750,000 | | |
| 717,188 | |
| | |
| | | |
| 717,188 | |
| Internet - 0.68% | |
| | | |
| | |
| | |
| | | |
| | |
| Uber Technologies, Inc., 6.250%, 01/15/2028(b) | |
| 2,500,000 | | |
| 2,534,375 | |
| | |
| | | |
| 2,534,375 | |
| Iron/Steel - 0.23% | |
| | | |
| | |
| | |
| | | |
| | |
| Cleveland-Cliffs Steel Corp., 7.000%, 03/15/2027 | |
| 880,000 | | |
| 862,400 | |
| | |
| | | |
| 862,400 | |
| Media - 1.01% | |
| | | |
| | |
| | |
| | | |
| | |
| Charter Communications Operating LLC / Charter
Communications Operating Capital, 3.500%, 03/01/2042 | |
| 5,000,000 | | |
| 3,393,440 | |
| Diamond Sports Group LLC / Diamond Sports Finance Co., 5.375%, 08/15/2026(b)(c) | |
| 4,000,000 | | |
| 280,000 | |
| Liberty Interactive LLC, 8.250%, 02/01/2030 | |
| 157,000 | | |
| 49,455 | |
| | |
| | | |
| 3,722,895 | |
| Real Estate - 2.91% | |
| | | |
| | |
| | |
| | | |
| | |
| China Evergrande Group, 8.250%, 03/23/2022(c) | |
| 12,287,000 | | |
| 860,090 | |
| China Evergrande Group, 9.500%, 04/11/2022(c) | |
| 249,000 | | |
| 17,430 | |
| China Evergrande Group, 11.500%, 01/22/2023(c) | |
| 6,500,000 | | |
| 455,000 | |
| China Evergrande Group, 10.000%, 04/11/2023(c) | |
| 6,500,000 | | |
| 440,050 | |
| China Evergrande Group, 7.500%, 06/28/2023(c) | |
| 13,745,000 | | |
| 962,150 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Principal Amount | | |
Fair Value | |
| China Evergrande Group, 12.000%, 01/22/2024(c) | |
$ | 1,800,000 | | |
$ | 126,000 | |
| China Evergrande Group, 9.500%, 03/29/2024(c) | |
| 8,010,000 | | |
| 560,700 | |
| China Evergrande Group, 10.500%, 04/11/2024(c) | |
| 17,000,000 | | |
| 1,190,000 | |
| China Evergrande Group, 8.750%, 06/28/2025(c) | |
| 91,200,000 | | |
| 6,168,768 | |
| | |
| | | |
| 10,780,188 | |
| Retail - 2.02% | |
| | | |
| | |
| | |
| | | |
| | |
| Lowe's Cos., Inc., 3.750%, 04/01/2032 | |
| 8,077,000 | | |
| 7,477,610 | |
| | |
| | | |
| 7,477,610 | |
| Software - 3.14% | |
| | | |
| | |
| | |
| | | |
| | |
| Oracle Corp., 3.650%, 03/25/2041 | |
| 14,937,000 | | |
| 11,621,658 | |
| | |
| | | |
| 11,621,658 | |
| TOTAL CORPORATE BONDS | |
| | | |
| 95,654,755 | |
| (Cost $106,089,186) | |
| | | |
| | |
| | |
Principal Amount | | |
Fair Value | |
| SENIOR LOANS - 2.36% | |
| | | |
| | |
| Chemicals - 0.03% | |
| | | |
| | |
| | |
| | | |
| | |
| CPC Acquisition Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 12/29/2028 | |
| 175,000 | | |
| 97,125 | |
| | |
| | | |
| 97,125 | |
| Commercial Services - 0.91% | |
| | | |
| | |
| | |
| | | |
| | |
| R.R. Donnelley & Sons Company, TLB, First Lien Term Loan, 1M SOFR + 7.25%, 03/17/2028 | |
| 3,000,000 | | |
| 2,981,250 | |
| Travel Port Finance (Luxembourg) S.A R.L, TL, First Lien Term Loan, 6M US L + 8.50%, 05/29/2026 | |
| 381,681 | | |
| 381,681 | |
| | |
| | | |
| 3,362,931 | |
| Food - 0.48% | |
| | | |
| | |
| | |
| | | |
| | |
| Moran Foods LLC, First Lien Term Loan, 6M US L + 7.25%, 06/30/2026 | |
| 462,403 | | |
| 374,546 | |
| Moran Foods LLC, First Lien Term Loan, 6M US L + 7.25%, 06/30/2026 | |
| 927,417 | | |
| 843,950 | |
| Moran Foods LLC, Second Lien Term Loan, 6M US L + 9.50%, 12/31/2026 | |
| 788,287 | | |
| 574,137 | |
| | |
| | | |
| 1,792,633 | |
| Leisure Facilities & Services - 0.93% | |
| | | |
| | |
| | |
| | | |
| | |
| 24 Hour Fitness Worldwide, Inc., First Lien Term Loan, 3M US L + 5.00%, 12/29/2025 | |
| 283,974 | | |
| 25,232 | |
| Carnival Corporation TLB 1L, First Lien Term Loan, 1M US L + 3.25%, 10/06/2028 | |
| 3,456,250 | | |
| 3,402,972 | |
| | |
| | | |
| 3,428,204 | |
| Pipelines - 0.01% | |
| | | |
| | |
| | |
| | | |
| | |
| GMP Borrower LLC, First Lien Term Loan, 3M US L + 4.50%, 10/28/2027 | |
| 57,288 | | |
| 52,688 | |
| | |
| | | |
| 52,688 | |
| Semi-Annual
Report | April 30, 2023 |
19 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Principal Amount | | |
Fair Value | |
| Retail - 0.00%(d) | |
| | | |
| | |
| | |
| | | |
| | |
| NPC International, Inc., Second Lien Initial Term Loan, 1M US L + 0.00%, 04/18/2025(e) | |
$ | 605,000 | | |
$ | – | |
| | |
| | | |
| – | |
| TOTAL SENIOR LOANS | |
| | | |
| 8,733,581 | |
| (Cost $9,419,589) | |
| | | |
| | |
| | |
Principal Amount | | |
Fair Value | |
| CONVERTIBLE CORPORATE BOND - 1.71% | |
| | | |
| | |
| Internet - 0.68% | |
| | | |
| | |
| | |
| | | |
| | |
| Delivery Hero SE, 1.000%, 04/30/2026 | |
| 300,000 | | |
| 251,948 | |
| Delivery Hero SE, 2.125%, 03/10/2029 | |
| 1,100,000 | | |
| 753,583 | |
| Delivery Hero SE, 3.250%, 02/21/2030 | |
| 1,500,000 | | |
| 1,533,818 | |
| | |
| | | |
| 2,539,349 | |
| Lodging - 1.03% | |
| | | |
| | |
| | |
| | | |
| | |
| Selina Hospitality PLC, 6.000%, 11/01/2026(b) | |
| 7,539,000 | | |
| 3,804,104 | |
| | |
| | | |
| 3,804,104 | |
| | |
| | | |
| | |
| TOTAL CONVERTIBLE CORPORATE BOND | |
| | | |
| 6,343,453 | |
| (Cost $8,809,166) | |
| | | |
| | |
| | |
Principal Amount | | |
Fair Value | |
| SOVEREIGN DEBT OBLIGATIONS - 1.78% | |
| | | |
| | |
| Sovereign - 1.78% | |
| | | |
| | |
| | |
| | | |
| | |
| Ukraine Government International Bond, 7.750%, 09/01/2025(f) | |
| 5,592,000 | | |
| 1,089,434 | |
| Ukraine Government International Bond, 7.750%, 09/01/2026(f) | |
| 635,000 | | |
| 111,258 | |
| Ukraine Government International Bond, 7.750%, 09/01/2027(f) | |
| 2,820,000 | | |
| 499,366 | |
| Ukraine Government International Bond, 6.750%, 06/20/2028(f) | |
| 805,000 | | |
| 143,256 | |
| Ukraine Government International Bond, 7.750%, 09/01/2028(f) | |
| 3,462,000 | | |
| 613,016 | |
| Ukraine Government International Bond, 7.750%, 09/01/2029(f) | |
| 11,534,000 | | |
| 1,874,275 | |
| Ukraine Government International Bond, 9.750%, 11/01/2030(f) | |
| 4,146,000 | | |
| 758,303 | |
| Ukraine Government International Bond, 6.876%, 05/21/2031(f) | |
| 1,464,000 | | |
| 241,824 | |
| Ukraine Government International Bond, 7.375%, 09/25/2034(f) | |
| 2,660,000 | | |
| 440,496 | |
| Ukraine Government International Bond, 7.253%, 03/15/2035(f) | |
| 3,980,000 | | |
| 657,814 | |
| Ukraine Government International Bond, 7.750%, 08/01/2041(f) | |
| 630,000 | | |
| 165,375 | |
| | |
| | | |
| 6,594,417 | |
| TOTAL SOVEREIGN DEBT OBLIGATIONS | |
| | | |
| 6,594,417 | |
| (Cost $8,575,701) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| COMMON STOCK - 8.16% | |
| | | |
| | |
| Agricultural Operations - 0.04% | |
| | | |
| | |
Benson
Hill, Inc.(g) | |
| 136,711 | | |
| 144,914 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Medical-Drugs - 0.18% | |
| | |
| |
| Compass Pathways PLC(g) | |
| 85,902 | | |
$ | 688,934 | |
| | |
| | | |
| | |
| Oil Companies - Exploration & Production - 1.69% | |
| | | |
| | |
| Earthstone Energy, Inc.(g) | |
| 463,294 | | |
| 6,282,267 | |
| | |
| | | |
| | |
| Electronics & Appliances Stores - 0.00%(d) | |
| | | |
| | |
| Everyware Global(e)(g) | |
| 43,777 | | |
| – | |
| | |
| | | |
| | |
| Applications Software - 0.01% | |
| | | |
| | |
| Nogin, Inc.(g) | |
| 11,264 | | |
| 21,965 | |
| | |
| | | |
| | |
| Enterprise Software/Services - 1.25% | |
| | | |
| | |
| Palantir Technologies, Inc.(g) | |
| 597,262 | | |
| 4,628,780 | |
| | |
| | | |
| | |
| Credit & Debit - 1.38% | |
| | | |
| | |
| Pagseguro Digital, Ltd.(g) | |
| 451,231 | | |
| 4,440,113 | |
| PayPal Holdings, Inc.(g) | |
| 9,058 | | |
| 688,408 | |
| | |
| | | |
| 5,128,521 | |
| | |
| | | |
| | |
| Auto-Cars/Light Trucks - 0.01% | |
| | | |
| | |
| Polestar Automotive Holding UK PLC(g) | |
| 10,409 | | |
| 39,866 | |
| | |
| | | |
| | |
| Online Communities - 0.64% | |
| | | |
| | |
| Snap, Inc.(g) | |
| 271,162 | | |
| 2,361,821 | |
| | |
| | | |
| | |
| Diagnostic Equipment - 1.77% | |
| | | |
| | |
| Quantalx Neuroscience Ltd.(e)(g) | |
| 3,000 | | |
| 3,095,805 | |
| Real View Imaging Ltd.(e)(g) | |
| 2,000 | | |
| 2,175,293 | |
| SomaLogic, Inc.(g) | |
| 456,455 | | |
| 1,278,074 | |
| | |
| | | |
| 6,549,172 | |
| | |
| | | |
| | |
| Real Estate Operations/Development - 0.04% | |
| | | |
| | |
| Star Holdings(g) | |
| 8,856 | | |
| 142,936 | |
| | |
| | | |
| | |
| Marine Services - 0.06% | |
| | | |
| | |
| Harvey Gulf Intl. Marine(g) | |
| 7,413 | | |
| 214,977 | |
| | |
| | | |
| | |
| Entertainment Facilities - 0.00%(d) | |
| | | |
| | |
| 24 Hour Fitness Worldwide(g) | |
| 306,005 | | |
| 1,836 | |
| | |
| | | |
| | |
| Mineral & Precious Stone Mining - 0.58% | |
| | | |
| | |
| Covia Equity(g) | |
| 169,353 | | |
| 2,145,194 | |
| | |
| | | |
| | |
| IT Services - 0.00%(d) | |
| | | |
| | |
| IQOR(g) | |
| 4,941 | | |
| 1,853 | |
| Semi-Annual
Report | April 30, 2023 |
21 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Power Generation - 0.20% | |
| | | |
| | |
| Longview Power LLC(g) | |
| 61,813 | | |
$ | 741,756 | |
| | |
| | | |
| | |
| E - Commerce/Services - 0.27% | |
| | | |
| | |
| HAAT DELIVERY LTD.(e)(g) | |
| 64,188 | | |
| 1,000,000 | |
| | |
| | | |
| | |
| Auto/Truck Parts & Equipment - 0.04% | |
| | | |
| | |
| Arbe Robotics, Ltd.(g) | |
| 68,769 | | |
| 150,604 | |
| | |
| | | |
| | |
| TOTAL COMMON STOCK | |
| | | |
| 30,245,396 | |
| (Cost $28,884,429) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| CLOSED END FUNDS - 21.45% | |
| | | |
| | |
| Abrdn Diversified Income and Growth Trust PLC | |
| 7,080 | | |
| 7,723 | |
| Abrdn Emerging Markets Equity Income Fund, Inc. | |
| 1,818 | | |
| 9,254 | |
| Abrdn Global Dynamic Dividend Fund, Inc. | |
| 634 | | |
| 6,045 | |
| Abrdn Global Infrastructure Income Fund | |
| 2,754 | | |
| 49,357 | |
| Abrdn Japan Equity Fund, Inc. | |
| 47,038 | | |
| 251,183 | |
| Abrdn Smaller Companies Income Trust PLC | |
| 161,889 | | |
| 524,913 | |
| Adams Diversified Equity Fund, Inc. | |
| 41,742 | | |
| 657,019 | |
| Angel Oak Financial Strategies Income Term Trust | |
| 6,147 | | |
| 74,747 | |
| Apollo Tactical Income Fund, Inc. | |
| 28,054 | | |
| 347,028 | |
| Ares Dynamic Credit Allocation Fund, Inc. | |
| 999 | | |
| 12,078 | |
| Barings Global Short Duration High Yield Fund | |
| 361 | | |
| 4,733 | |
| Bitwise 10 Crypto Index Fund(g) | |
| 118,852 | | |
| 1,278,848 | |
| BlackRock California Municipal Income Trust | |
| 173,989 | | |
| 2,054,810 | |
| BlackRock Capital Allocation Term Trust | |
| 67,144 | | |
| 1,015,217 | |
| BlackRock ESG Capital Allocation Term Trust | |
| 409,804 | | |
| 6,360,158 | |
| BlackRock Innovation and Growth Term Trust | |
| 328,888 | | |
| 2,446,927 | |
| BlackRock MuniHoldings New Jersey Quality Fund, Inc. | |
| 3,842 | | |
| 43,030 | |
| BlackRock MuniHoldings New York Quality Fund, Inc. | |
| 241 | | |
| 2,528 | |
| BlackRock MuniYield Michigan Quality Fund, Inc. | |
| 884 | | |
| 9,892 | |
| BlackRock MuniYield New York Quality Fund, Inc. | |
| 2,178 | | |
| 21,780 | |
| BlackRock Science and Technology Term Trust | |
| 9,706 | | |
| 160,634 | |
| Blackstone Long-Short Credit Income Fund | |
| 675 | | |
| 7,371 | |
| Blackstone Strategic Credit 2027 Term Fund | |
| 1,348 | | |
| 14,464 | |
| BNY Mellon Municipal Income, Inc. | |
| 650 | | |
| 4,095 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Center Coast Brookfield MLP & Energy Infrastructure Fund | |
| 146,912 | | |
$ | 2,760,476 | |
| Citadel Income Fund | |
| 110,020 | | |
| 246,050 | |
| ClearBridge Energy Midstream Opportunity Fund, Inc. | |
| 68,686 | | |
| 1,941,753 | |
| ClearBridge MLP & Midstream Fund, Inc. | |
| 17,796 | | |
| 587,446 | |
| ClearBridge MLP & Midstream Total Return Fund, Inc. | |
| 69,138 | | |
| 2,070,683 | |
| Credit Suisse High Yield Bond Fund | |
| 5,819 | | |
| 10,998 | |
| DWS Municipal Income Trust | |
| 155 | | |
| 1,347 | |
| DWS Strategic Municipal Income Trust | |
| 59 | | |
| 498 | |
| Eaton Vance California Municipal Bond Fund | |
| 53,149 | | |
| 476,215 | |
| Eaton Vance California Municipal Income Trust | |
| 7,671 | | |
| 77,554 | |
| Eaton Vance New York Municipal Bond Fund | |
| 53,099 | | |
| 513,998 | |
| Ecofin Sustainable and Social | |
| 37,011 | | |
| 484,844 | |
| Ellsworth Growth and Income Fund, Ltd. | |
| 116,478 | | |
| 936,483 | |
| European Opportunities Trust PLC | |
| 81,426 | | |
| 795,124 | |
| European Smaller Companies | |
| 2,626 | | |
| 5,231 | |
| Federated Hermes Premier Municipal Income Fund | |
| 1,993 | | |
| 21,325 | |
| First Trust High Yield Opportunities 2027 Term Fund | |
| 2,697 | | |
| 38,082 | |
| First Trust/abrdn Global Opportunity Income Fund | |
| 351 | | |
| 2,081 | |
| GAMCO Natural Resources Gold & Income Trust | |
| 17,606 | | |
| 91,727 | |
| Goldman Sachs MLP Energy and Renaissance Fund | |
| 278 | | |
| 3,670 | |
| Hearts and Minds Investments, Ltd. | |
| 115,251 | | |
| 180,740 | |
| Henderson Opportunities Trust PLC | |
| 111,656 | | |
| 1,473,405 | |
| Herald Investment Trust PLC(g) | |
| 2,610 | | |
| 56,418 | |
| Japan Smaller Capitalization Fund, Inc. | |
| 7,794 | | |
| 54,246 | |
| JPMorgan European Discovery Trust PLC | |
| 14,209 | | |
| 74,465 | |
| JPMorgan Mid Cap Investment Trust PLC | |
| 3,263 | | |
| 37,235 | |
| Kayne Anderson NextGen Energy & Infrastructure, Inc. | |
| 103,652 | | |
| 763,915 | |
| Korea Fund, Inc. | |
| 26,272 | | |
| 561,695 | |
| Magellan Global Fund | |
| 1,332,659 | | |
| 1,380,048 | |
| MainStay CBRE Global Infrastructure Megatrends Fund | |
| 33,785 | | |
| 488,193 | |
| MFF Capital Investments, Ltd. | |
| 1,160,528 | | |
| 1,969,717 | |
| MFS High Income Municipal Trust | |
| 2,100 | | |
| 7,413 | |
| MFS High Yield Municipal Trust | |
| 86,805 | | |
| 276,908 | |
| MFS Investment Grade Municipal Trust | |
| 57,289 | | |
| 421,647 | |
| Miller/Howard High Dividend Fund | |
| 333,513 | | |
| 3,388,492 | |
| Morgan Stanley Emerging Markets Debt Fund, Inc. | |
| 103,141 | | |
| 668,354 | |
| Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | |
| 604,311 | | |
| 2,785,874 | |
| NB Global Corporate Income Trust | |
| 1,045,190 | | |
| 947,494 | |
| Neuberger Berman MLP & Energy Income Fund, Inc. | |
| 268,634 | | |
| 1,778,357 | |
| Neuberger Berman New York Municipal Fund, Inc. | |
| 350 | | |
| 3,360 | |
| Neuberger Berman Next Generation Connectivity Fund, Inc. | |
| 165,408 | | |
| 1,606,112 | |
| New America High Income Fund, Inc. | |
| 5,107 | | |
| 34,217 | |
| Nuveen California Quality Municipal Income Fund | |
| 1,069 | | |
| 11,663 | |
| Nuveen Core Plus Impact Fund | |
| 196,587 | | |
| 2,042,539 | |
| Nuveen Credit Strategies Income Fund | |
| 70,814 | | |
| 359,735 | |
| Nuveen Massachusetts Quality Municipal Income Fund | |
| 176 | | |
| 1,853 | |
| Nuveen Multi-Asset Income Fund | |
| 208,785 | | |
| 2,461,575 | |
| Semi-Annual
Report | April 30, 2023 |
23 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Nuveen Municipal Credit Income Fund | |
| 19 | | |
$ | 222 | |
| Nuveen New Jersey Quality Municipal Income Fund | |
| 12,711 | | |
| 147,575 | |
| Nuveen New York Quality Municipal Income Fund | |
| 1,105 | | |
| 11,978 | |
| Nuveen Pennsylvania Quality Municipal Income Fund | |
| 787 | | |
| 8,925 | |
| Nuveen Real Asset Income and Growth Fund | |
| 25 | | |
| 294 | |
| NXG Cushing Midstream Energy Fund | |
| 61,592 | | |
| 2,068,875 | |
| NXG NextGen Infrastructure Income Fund | |
| 23,563 | | |
| 858,400 | |
| Pengana International Equities, Ltd. | |
| 598,177 | | |
| 376,023 | |
| Pershing Square Holdings, Ltd. | |
| 175,609 | | |
| 6,102,413 | |
| PGIM Short Duration High Yield Opportunities Fund | |
| 1,433 | | |
| 21,409 | |
| PIMCO Energy & Tactical Credit Opportunities Fund | |
| 254,162 | | |
| 3,761,598 | |
| Pioneer High Income Fund, Inc. | |
| 272 | | |
| 1,831 | |
| Pioneer Municipal High Income Fund Trust | |
| 489 | | |
| 4,293 | |
| Pioneer Municipal High Income Opportunities Fund, Inc. | |
| 18,014 | | |
| 192,390 | |
| Platinum Capital, Ltd. | |
| 171,522 | | |
| 150,382 | |
| Principal Real Estate Income Fund | |
| 51,780 | | |
| 498,124 | |
| Schroder British Opportunities Trust PLC(g) | |
| 1,453,746 | | |
| 1,260,632 | |
| Schroder UK Mid Cap Fund PLC | |
| 570,791 | | |
| 4,131,904 | |
| Taiwan Fund, Inc. | |
| 3,223 | | |
| 82,767 | |
| Templeton Emerging Markets Fund/United States | |
| 1,314 | | |
| 15,019 | |
| Templeton Global Income Fund | |
| 826,356 | | |
| 3,561,594 | |
| Thornburg Income Builder Opportunities Trust | |
| 502 | | |
| 7,881 | |
| Tortoise Energy Independence Fund, Inc. | |
| 27,292 | | |
| 799,656 | |
| Tortoise Energy Infrastructure Fund, Inc. | |
| 14,818 | | |
| 439,946 | |
| Tortoise Midstream Energy Fund, Inc. | |
| 56,207 | | |
| 1,912,218 | |
| Tortoise Pipeline & Energy Fund, Inc. | |
| 7,795 | | |
| 208,048 | |
| Tortoise Power and Energy Infrastructure Fund, Inc. | |
| 42,068 | | |
| 549,408 | |
| Vertical Capital Income Fund | |
| 38,522 | | |
| 377,516 | |
| VGI Partners Global Investments, Ltd. | |
| 816,684 | | |
| 840,321 | |
| Voya Emerging Markets High Dividend Equity Fund | |
| 55,378 | | |
| 284,089 | |
| Voya Infrastructure Industrials and Materials Fund | |
| 15,769 | | |
| 149,490 | |
| WCM Global Growth, Ltd. | |
| 199,804 | | |
| 155,347 | |
| Western Asset Diversified Income Fund | |
| 6,062 | | |
| 80,867 | |
| Western Asset Intermediate Muni Fund | |
| 18,474 | | |
| 142,619 | |
| Western Asset Municipal Partners Fund, Inc. | |
| 1,938 | | |
| 23,043 | |
| | |
| | | |
| 79,492,186 | |
| | |
| | | |
| | |
| TOTAL CLOSED END FUNDS | |
| | | |
| 79,492,186 | |
| (Cost $79,607,511) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| PREFERRED STOCK - 0.58% | |
| | | |
| | |
| Entertainment Facilities - 0.00%(d) | |
| | | |
| | |
| 24 Hour Fitness Worldwide, Inc.(g) | |
| 407,959 | | |
| 2,040 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Transportation - 0.58% | |
| | |
| |
| G-ILS Transportation Ltd. Preferred B-3 Shares(e)(g) | |
| 1,332 | | |
$ | 2,141,507 | |
| | |
| | | |
| | |
| TOTAL PREFERRED STOCK | |
| | | |
| 2,143,547 | |
| (Cost $2,709,436) | |
| | | |
| | |
| | |
| | | |
| Fair Value | |
| PARTICIPATION AGREEMENT - 0.62% | |
| | | |
| | |
| Caesars Entertainment, Inc (BI CLAIM)(e)(g) | |
| | | |
| 2,320,000 | |
| | |
| | | |
| | |
| TOTAL PARTICIPATION AGREEMENT | |
| | | |
| 2,320,000 | |
| (Cost $2,320,000) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| PRIVATE FUND - 8.68% | |
| | |
| |
| Stone Ridge Opportunities Fund Feeder LP(g) | |
| 29,527 | | |
| 32,182,001 | |
| | |
| | | |
| | |
| TOTAL PRIVATE FUND | |
| | | |
| 32,182,001 | |
| (Cost $29,423,195) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| UNIT TRUST - 6.18% | |
| | | |
| | |
| Grayscale Bitcoin Trust BTC(g)(h) | |
| 711,235 | | |
| 11,678,479 | |
| Grayscale Ethereum Classic Trust(g) | |
| 525,594 | | |
| 3,284,962 | |
| Grayscale Ethereum Trust(g)(h) | |
| 870,483 | | |
| 7,930,100 | |
| | |
| | | |
| 22,893,541 | |
| | |
| | | |
| | |
| TOTAL UNIT TRUST | |
| | | |
| 22,893,541 | |
| (Cost $15,207,384) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| SPECIAL PURPOSE ACQUISITION COMPANIES - 24.46%(g) | |
| | | |
| | |
| 7 Acquisition Corp.(g) | |
| 50,470 | | |
| 528,169 | |
| A SPAC II Acquisition Corp.(g) | |
| 68,843 | | |
| 719,409 | |
| Acropolis Infrastructure Acquisition Corp.(g) | |
| 76,319 | | |
| 773,875 | |
| Agrinam Acquisition Corp.(g) | |
| 19,798 | | |
| 200,653 | |
| Ahren Acquisition Corp.(g) | |
| 19,716 | | |
| 206,427 | |
| Alpha Healthcare Acquisition Corp. III(g) | |
| 22,899 | | |
| 232,997 | |
| Alpha Partners Technology Merger Corp.(g) | |
| 19,691 | | |
| 202,227 | |
| AltC Acquisition Corp.(g) | |
| 61,326 | | |
| 630,431 | |
| Andretti Acquisition Corp.(g) | |
| 50,274 | | |
| 529,385 | |
| AP Acquisition Corp.(g) | |
| 52,489 | | |
| 557,958 | |
| APx Acquisition Corp. I(g) | |
| 46,626 | | |
| 495,168 | |
| Arisz Acquisition Corp.(g) | |
| 34,348 | | |
| 358,078 | |
| Artemis Strategic Investment Corp., Class B(e)(g) | |
| 12,038 | | |
| 5,176 | |
| Artemis Strategic Investment Corp.(g) | |
| 142,048 | | |
| 1,475,879 | |
| Semi-Annual
Report | April 30, 2023 |
25 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| ARYA Sciences Acquisition Corp. V(g) | |
| 12,591 | | |
$ | 129,121 | |
| Ault Disruptive Technologies Corp.(g) | |
| 24,919 | | |
| 261,650 | |
| Aura FAT Projects Acquisition Corp.(g) | |
| 58,439 | | |
| 617,116 | |
| Avalon Acquisition, Inc.(g) | |
| 77,027 | | |
| 809,554 | |
| B Riley Principal 250 Merger Corp.(g) | |
| 52,757 | | |
| 536,011 | |
| Battery Future Acquisition Corp.(g) | |
| 42,855 | | |
| 450,406 | |
| Beard Energy Transition Acquisition Corp.(g) | |
| 120,587 | | |
| 1,252,899 | |
| Bellevue Life Sciences Acquisition Corp.(g) | |
| 14,638 | | |
| 148,429 | |
| BioPlus Acquisition Corp.(g) | |
| 78,809 | | |
| 825,130 | |
| Black Spade Acquisition Co.(g) | |
| 28,533 | | |
| 292,749 | |
| Blue Ocean Acquisition Corp.(g) | |
| 50,462 | | |
| 528,337 | |
| Blue World Acquisition Corp.(g) | |
| 51,687 | | |
| 543,230 | |
| Capitalworks Emerging Markets Acquisition Corp.(g) | |
| 88,187 | | |
| 924,200 | |
| Cartica Acquisition Corp.(g) | |
| 101,942 | | |
| 1,078,037 | |
| CF Acquisition Corp. VII(g) | |
| 21,449 | | |
| 222,212 | |
| Chain Bridge I(g) | |
| 66,734 | | |
| 698,705 | |
| Chenghe Acquisition Co.(g) | |
| 800 | | |
| 8,464 | |
| Clean Earth Acquisitions Corp.(g) | |
| 99,174 | | |
| 1,023,476 | |
| Colombier Acquisition Corp.(g) | |
| 77,686 | | |
| 787,845 | |
| Concord Acquisition Corp. III(g) | |
| 98,562 | | |
| 1,027,016 | |
| Consilium Acquisition Corp. I, Ltd.(g) | |
| 78,255 | | |
| 815,417 | |
| DA32 Life Science Tech Acquisition Corp.(g) | |
| 108,338 | | |
| 1,103,964 | |
| DEE Tech SA(g) | |
| 41,293 | | |
| 464,109 | |
| Deezer SA(g) | |
| 8,179 | | |
| 17,304 | |
| Denali Capital Acquisition Corp.(g) | |
| 27,621 | | |
| 291,678 | |
| Digital World Acquisition Corp., Class B(e)(g) | |
| 25,893 | | |
| 264,368 | |
| Disruptive Capital Acquisition Co., Ltd.(g) | |
| 2,944 | | |
| 27,379 | |
| Distoken Acquisition Corp.(g) | |
| 5,419 | | |
| 55,734 | |
| DP Cap Acquisition Corp. I(g) | |
| 89,472 | | |
| 939,456 | |
| DUET Acquisition Corp.(g) | |
| 5,996 | | |
| 62,418 | |
| EG Acquisition Corp.(g) | |
| 107,079 | | |
| 1,093,277 | |
| Elliott Opportunity II Corp.(g) | |
| 27,348 | | |
| 281,684 | |
| Energy Transition Partners BV(g) | |
| 50,557 | | |
| 557,090 | |
| Eureking SA(g) | |
| 59,955 | | |
| 657,343 | |
| EVe Mobility Acquisition Corp.(g) | |
| 37,099 | | |
| 389,540 | |
| Everest Consolidator Acquisition Corp.(g) | |
| 100,984 | | |
| 1,061,342 | |
| Evergreen Corp.(g) | |
| 70,091 | | |
| 737,708 | |
| ExcelFin Acquisition Corp.(g) | |
| 50,979 | | |
| 530,182 | |
| Fat Projects Acquisition Corp., Class B(e)(g) | |
| 4,886 | | |
| 2,638 | |
| FG Acquisition Corp.(g) | |
| 50,526 | | |
| 515,618 | |
| FG Merger Corp.(g) | |
| 1,483 | | |
| 15,483 | |
| Fifth Wall Acquisition Corp. III(g) | |
| 77,093 | | |
| 790,203 | |
| Finnovate Acquisition Corp.(g) | |
| 100,186 | | |
| 1,049,949 | |
| Forbion European Acquisition Corp.(g) | |
| 22,181 | | |
| 233,566 | |
| Fortune Rise Acquisition Corp.(g) | |
| 33,807 | | |
| 362,580 | |
| Four Leaf Acquisition Corp.(g) | |
| 3,750 | | |
| 38,456 | |
| Freedom Acquisition I Corp.(g) | |
| 18,275 | | |
| 190,608 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| FTAC Zeus Acquisition Corp.(g) | |
| 71,310 | | |
$ | 735,919 | |
| FutureTech II Acquisition Corp.(g) | |
| 52,279 | | |
| 560,431 | |
| G Squared Ascend II, Inc.(g) | |
| 34,568 | | |
| 359,162 | |
| Galata Acquisition Corp.(g) | |
| 53,213 | | |
| 556,076 | |
| Genesis Unicorn Capital Corp.(g) | |
| 6,940 | | |
| 73,703 | |
| Global Blockchain Acquisition Corp.(g) | |
| 40,470 | | |
| 417,650 | |
| GoGreen Investments Corp.(g) | |
| 129,067 | | |
| 1,379,726 | |
| Goldenstone Acquisition, Ltd.(g) | |
| 5,502 | | |
| 57,468 | |
| Gores Holdings IX, Inc.(g) | |
| 121,537 | | |
| 1,232,385 | |
| Green Visor Financial Technology Acquisition Corp. I(g) | |
| 95,725 | | |
| 1,014,685 | |
| GSR II Meteora Acquisition Corp.(g) | |
| 142,731 | | |
| 1,478,693 | |
| Healthwell Acquisition Corp. I(g) | |
| 2,001 | | |
| 20,370 | |
| Heartland Media Acquisition Corp., Class A(g) | |
| 2,998 | | |
| 31,299 | |
| HNR Acquisition Corp.(g) | |
| 44,874 | | |
| 472,523 | |
| Infinite Acquisition Corp.(g) | |
| 24,834 | | |
| 262,992 | |
| Integrated Rail and Resources Acquisition Corp.(g) | |
| 153,090 | | |
| 1,619,708 | |
| Integrated Wellness Acquisition Corp.(g) | |
| 58,397 | | |
| 617,834 | |
| Investcorp Europe Acquisition Corp. I(g) | |
| 55,193 | | |
| 583,390 | |
| Investcorp India Acquisition Corp.(g) | |
| 71,658 | | |
| 756,708 | |
| Israel Acquisitions Corp.(g) | |
| 8,683 | | |
| 89,391 | |
| Jackson Acquisition Co.(g) | |
| 5,642 | | |
| 58,536 | |
| Jaws Juggernaut Acquisition Corp.(g) | |
| 14,501 | | |
| 148,925 | |
| Kensington Capital Acquisition Corp. V(g) | |
| 58,918 | | |
| 618,050 | |
| Keyarch Acquisition Corp.(g) | |
| 20,135 | | |
| 209,001 | |
| Khosla Ventures Acquisition Co.(g) | |
| 18,131 | | |
| 184,936 | |
| Kimbell Tiger Acquisition Corp.(g) | |
| 119,582 | | |
| 1,263,982 | |
| KnightSwan Acquisition Corp.(g) | |
| 8,994 | | |
| 93,807 | |
| L Catterton Asia Acquisition Corp.(g) | |
| 1,609 | | |
| 16,573 | |
| LAMF Global Ventures Corp. I(g) | |
| 138,675 | | |
| 1,453,314 | |
| LF Capital Acquisition Corp. II, Class A(g) | |
| 166,778 | | |
| 1,757,840 | |
| LIV Capital Acquisition Corp. II(g) | |
| 44,365 | | |
| 464,058 | |
| Logistics Innovation Technologies Corp.(g) | |
| 30,319 | | |
| 310,163 | |
| M3-Brigade Acquisition III Corp.(g) | |
| 14,905 | | |
| 154,863 | |
| Magnum Opus Acquisition, Ltd.(g) | |
| 36,420 | | |
| 373,669 | |
| Mars Acquisition Corp.(g) | |
| 10,247 | | |
| 104,622 | |
| Metals Acquisition Corp.(g) | |
| 35,266 | | |
| 362,182 | |
| Motive Capital Corp. II(g) | |
| 12,857 | | |
| 134,613 | |
| Mountain & Co. I Acquisition Corp.(g) | |
| 58,754 | | |
| 633,074 | |
| Nabors Energy Transition Corp.(g) | |
| 152,733 | | |
| 1,608,279 | |
| New Energy One Acquisition Corp. PLC(g) | |
| 445,953 | | |
| 5,716,628 | |
| New Providence Acquisition Corp. II(g) | |
| 77,530 | | |
| 806,312 | |
| Nubia Brand International Corp.(g) | |
| 58,524 | | |
| 614,209 | |
| Patria Latin American Opportunity Acquisition Corp.(g) | |
| 89,407 | | |
| 946,820 | |
| Pearl Holdings Acquisition Corp.(g) | |
| 36,968 | | |
| 387,794 | |
| Pegasus Digital Mobility Acquisition Corp., Class B(e)(g) | |
| 4,456 | | |
| 4,010 | |
| Pono Capital Three, Inc.(g) | |
| 11,690 | | |
| 120,432 | |
| Pono Capital Two, Inc.(g) | |
| 9,738 | | |
| 101,470 | |
| Power & Digital Infrastructure Acquisition II Corp.(g) | |
| 44,362 | | |
| 457,372 | |
| Semi-Annual
Report | April 30, 2023 |
27 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| PowerUp Acquisition Corp.(g) | |
| 141,091 | | |
$ | 1,483,572 | |
| PROOF Acquisition Corp. I(g) | |
| 61,707 | | |
| 644,221 | |
| Pyrophyte Acquisition Corp.(g) | |
| 59,259 | | |
| 625,775 | |
| Quadro Acquisition One Corp.(g) | |
| 39,461 | | |
| 405,067 | |
| RCF Acquisition Corp.(g) | |
| 9,504 | | |
| 99,697 | |
| Revelstone Capital Acquisition Corp.(g) | |
| 77,115 | | |
| 794,285 | |
| Rigel Resource Acquisition Corp.(g) | |
| 60,067 | | |
| 630,103 | |
| ROC Energy Acquisition Corp.(g) | |
| 74,024 | | |
| 777,992 | |
| Roth CH Acquisition V Co.(g) | |
| 62,531 | | |
| 647,821 | |
| Screaming Eagle Acquisition Corp.(g) | |
| 67,654 | | |
| 689,394 | |
| Sculptor Acquisition Corp. I(g) | |
| 36,931 | | |
| 387,037 | |
| Sculptor Capital Management, Inc.(g) | |
| 708,589 | | |
| 5,902,546 | |
| SHUAA Partners Acquisition Corp. I(g) | |
| 45,916 | | |
| 484,414 | |
| Signal Hill Acquisition Corp.(g) | |
| 26,924 | | |
| 280,952 | |
| SILVERspac, Inc.(g) | |
| 55,349 | | |
| 568,988 | |
| Skydeck Acquisition Corp.(g) | |
| 13,316 | | |
| 136,356 | |
| Slam Corp.(g) | |
| 26,398 | | |
| 275,067 | |
| Social Capital Suvretta Holdings Corp. II(g) | |
| 58,318 | | |
| 598,926 | |
| Social Capital Suvretta Holdings Corp. IV(g) | |
| 86,410 | | |
| 887,431 | |
| Sound Point Acquisition Corp. I, Ltd.(g) | |
| 99,902 | | |
| 1,057,962 | |
| Southport Acquisition Corp.(g) | |
| 49,077 | | |
| 510,401 | |
| Spree Acquisition Corp. 1, Ltd.(g) | |
| 75,747 | | |
| 792,692 | |
| Spring Valley Acquisition Corp. II(g) | |
| 26,964 | | |
| 280,965 | |
| ST Energy Transition I, Ltd.(g) | |
| 93,266 | | |
| 973,231 | |
| Swiftmerge Acquisition Corp.(g) | |
| 72,847 | | |
| 754,695 | |
| Transition SA(g) | |
| 33,822 | | |
| 370,823 | |
| Trine II Acquisition Corp.(g) | |
| 50,769 | | |
| 531,551 | |
| UTA Acquisition Corp.(g) | |
| 84,472 | | |
| 884,422 | |
| Vahanna Tech Edge Acquisition I Corp.(g) | |
| 132,585 | | |
| 1,390,817 | |
| Valor Latitude Acquisition Corp.(g) | |
| 22,158 | | |
| 227,452 | |
| Valuence Merger Corp. I(g) | |
| 71,556 | | |
| 757,778 | |
| VAM Investments Spac BV(g) | |
| 25,279 | | |
| 281,336 | |
| Viscogliosi Brothers Acquisition Corp.(g) | |
| 41,703 | | |
| 432,877 | |
| VMG Consumer Acquisition Corp.(g) | |
| 124,493 | | |
| 1,295,972 | |
| XPAC Acquisition Corp.(g) | |
| 11,711 | | |
| 120,038 | |
| Yotta Acquisition Corp.(g) | |
| 47,369 | | |
| 488,374 | |
| Zimmer Energy Transition Acquisition Corp.(g) | |
| 12,320 | | |
| 125,479 | |
| | |
| | | |
| 90,651,669 | |
| TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES | |
| | | |
| 90,651,669 | |
| (Cost $86,235,283) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| WARRANTS - 0.35%(g) | |
| | | |
| | |
| 10X Capital Venture Acquisition Corp. III, Expires 06/30/2028, Strike Price $11.50 | |
| 55,754 | | |
| 2,453 | |
| 7 Acquisition Corp., Expires 11/05/2026, Strike Price $11.50 | |
| 25,051 | | |
| 139 | |
| A SPAC I Acquisition Corp., Expires 05/21/2027, Strike Price $11.50 | |
| 1 | | |
| 0 | |
| A SPAC II Acquisition Corp., Expires 05/03/2027, Strike Price $11.50 | |
| 34,421 | | |
| 1,119 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Achari Ventures Holdings Corp. I, Expires 10/15/2026, Strike Price $11.50 | |
| 38,384 | | |
$ | 1,639 | |
| Agrinam Acquisition Corp., Expires 06/30/2027, Strike Price $11.50 | |
| 19,798 | | |
| 198 | |
| Ahren Acquisition Corp., Expires 06/17/2028, Strike Price $11.50 | |
| 47,850 | | |
| 6,579 | |
| Alpha Healthcare Acquisition Corp. III, Expires 04/12/2027, Strike Price $11.50 | |
| 3,816 | | |
| 697 | |
| Alset Capital Acquisition Corp., Expires 02/02/2027, Strike Price $11.50 | |
| 13,297 | | |
| 582 | |
| ALSP Orchid Acquisition Corp. I, Expires 11/30/2028, Strike Price $11.50 | |
| 52,397 | | |
| 2,486 | |
| Andretti Acquisition Corp., Expires 03/23/2028, Strike Price $11.50 | |
| 24,523 | | |
| 1,214 | |
| AP Acquisition Corp., Expires 12/07/2026, Strike Price $11.50 | |
| 9,857 | | |
| 514 | |
| Apeiron Capital Investment Corp., Expires 06/24/2023, Strike Price $11.50 | |
| 49,151 | | |
| 2,458 | |
| APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50 | |
| 3,981 | | |
| 198 | |
| Arisz Acquisition Corp., Expires 11/16/2026, Strike Price $11.50 | |
| 34,348 | | |
| 929 | |
| Armada Acquisition Corp. I, Expires 08/13/2026, Strike Price $11.50 | |
| 19 | | |
| 2 | |
| Artemis Strategic Investment Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 52,405 | | |
| 1,970 | |
| Athena Consumer Acquisition Corp., Expires 07/31/2028, Strike Price $11.50 | |
| 33,717 | | |
| 2,384 | |
| Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50 | |
| 36,968 | | |
| 3,523 | |
| Atlantic Coastal Acquisition Corp. II, Expires 06/02/2028, Strike Price $11.50 | |
| 80,774 | | |
| 5,234 | |
| Ault Disruptive Technologies Corp., Expires 06/20/2028, Strike Price $11.50 | |
| 18,483 | | |
| 4,530 | |
| Aura FAT Projects Acquisition Corp., Expires 06/02/2027, Strike Price $11.50 | |
| 58,439 | | |
| 2,121 | |
| Aurora Technology Acquisition Corp., Expires 02/07/2028, Strike Price $11.50 | |
| 63,578 | | |
| 1,459 | |
| Axios Sustainable Growth Acquisition Corp., Expires 02/16/2027, Strike Price $11.50 | |
| 43,990 | | |
| 1,601 | |
| Banyan Acquisition Corp., Expires 09/30/2028, Strike Price $11.50 | |
| 45,560 | | |
| 2,870 | |
| Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50 | |
| 36,968 | | |
| 3,327 | |
| Beard Energy Transition Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 60,293 | | |
| 2,261 | |
| Bellevue Life Sciences Acquisi, Expires 02/10/2028, Strike Price $11.50 | |
| 14,638 | | |
| 1,015 | |
| BenevolentAI, Expires 06/30/2026, Strike Price $11.50 | |
| 7,014 | | |
| 386 | |
| Benson Hill Inc., Expires 03/25/2027, Strike Price $3.90(e) | |
| 187,607 | | |
| 16,885 | |
| BioPlus Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | |
| 45,412 | | |
| 3,638 | |
| Black Mountain Acquisition Corp., Expires 10/15/2027, Strike Price $11.50 | |
| 46,279 | | |
| 2,314 | |
| Black Spade Acquisition Co., Expires 06/29/2023, Strike Price $11.50 | |
| 14,266 | | |
| 1,531 | |
| bleuacacia, Ltd., Expires 10/30/2026, Strike Price $11.50 | |
| 100,804 | | |
| 3,014 | |
| Blockchain Coinvestors Acquisition Corp. I, Expires 11/01/2028, Strike Price $11.50 | |
| 93,986 | | |
| 4,915 | |
| Blue Ocean Acquisition Corp., Expires 10/21/2028, Strike Price $11.50 | |
| 16,257 | | |
| 1,707 | |
| Blue World Acquisition Corp., Expires 01/10/2029, Strike Price $11.50 | |
| 23,302 | | |
| 1,195 | |
| Bluescape Opportunities Acquisition Corp., Expires 01/31/2026, Strike Price $11.50 | |
| 49,310 | | |
| 5,180 | |
| Bullpen Parlay Acquisition Co., Expires 12/03/2026, Strike Price $11.50 | |
| 57,733 | | |
| 2,156 | |
| BurTech Acquisition Corp., Expires 12/18/2026, Strike Price $11.50 | |
| 23,368 | | |
| 929 | |
| BYTE Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 20,143 | | |
| 1,319 | |
| C5 Acquisition Corp., Expires 05/19/2028, Strike Price $11.50 | |
| 72,059 | | |
| 2,803 | |
| Cactus Acquisition Corp. 1, Ltd., Expires 07/20/2023, Strike Price $11.50 | |
| 21,180 | | |
| 1,218 | |
| Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50 | |
| 154,766 | | |
| 5,440 | |
| Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50 | |
| 69,120 | | |
| 2,419 | |
| Cardio Diagnostics Holdings, Inc., Expires 12/01/2026, Strike Price $11.50 | |
| 19,933 | | |
| 4,112 | |
| Cartesian Growth Corp. II, Expires 07/12/2028, Strike Price $11.50 | |
| 5,984 | | |
| 1,005 | |
| Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50 | |
| 74,354 | | |
| 3,673 | |
| CF Acquisition Corp. IV, Expires 12/14/2025, Strike Price $11.50 | |
| 13,333 | | |
| 740 | |
| CF Acquisition Corp. VII, Expires 03/15/2026, Strike Price $11.50 | |
| 4,928 | | |
| 529 | |
| Chain Bridge I, Expires 12/31/2028, Strike Price $11.50 | |
| 33,367 | | |
| 1,750 | |
| Semi-Annual
Report | April 30, 2023 |
29 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Chenghe Acquisition Co., Expires 04/28/2027, Strike Price $11.50 | |
| 400 | | |
$ | 12 | |
| Churchill Capital Corp. VII, Expires 02/29/2028, Strike Price $11.50 | |
| 26,731 | | |
| 2,721 | |
| CIIG Capital Partners II, Inc., Expires 02/28/2028, Strike Price $11.50 | |
| 11,642 | | |
| 1,237 | |
| Cineworld, Expires 11/23/2025, Strike Price $0.41 | |
| 88,914 | | |
| – | |
| Clean Earth Acquisitions Corp., Expires 02/24/2028, Strike Price $11.50 | |
| 49,587 | | |
| 2,913 | |
| ClimateRock, Expires 06/01/2027, Strike Price $11.50 | |
| 11,778 | | |
| 380 | |
| Compute Health Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 26,926 | | |
| 7,677 | |
| Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50 | |
| 25,741 | | |
| 1,442 | |
| Concord Acquisition Corp. III, Expires 12/31/2028, Strike Price $11.50 | |
| 54,452 | | |
| 4,356 | |
| Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027, Strike Price $11.50 | |
| 38,488 | | |
| 1,107 | |
| Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 41,045 | | |
| 1,336 | |
| Crescera Capital Acquisition Corp., Expires 04/20/2028, Strike Price $11.50 | |
| 63,791 | | |
| 3,607 | |
| DEE Tech SA, Expires 06/23/2023, Strike Price $11.50 | |
| 35,099 | | |
| 967 | |
| Deezer SA, Expires 06/07/2027, Strike Price $11.50 | |
| 95,238 | | |
| 2,099 | |
| Denali Capital Acquisition Corp., Expires 04/07/2027, Strike Price $11.50 | |
| 27,621 | | |
| 1,797 | |
| DHC Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 25,249 | | |
| 1,363 | |
| Digital Health Acquisition Corp., Expires 10/14/2023, Strike Price $11.50 | |
| 17,736 | | |
| 1,774 | |
| Distoken Acquisition Corp., Expires 03/30/2028, Strike Price $11.50 | |
| 5,841 | | |
| 219 | |
| DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | |
| 5,996 | | |
| 181 | |
| EG Acquisition Corp., Expires 05/28/2028, Strike Price $11.50 | |
| 27,981 | | |
| 5,260 | |
| Energem Corp., Expires 11/16/2026, Strike Price $11.50 | |
| 45,714 | | |
| 3,771 | |
| Energy Transition Partners BV, Expires 07/16/2026, Strike Price $11.50 | |
| 16,852 | | |
| 3,008 | |
| ESGEN Acquisition Corp., Expires 06/28/2023, Strike Price $11.50 | |
| 61,117 | | |
| 4,590 | |
| Eureking SA, Expires 05/12/2027, Strike Price $11.50 | |
| 59,955 | | |
| 3,303 | |
| EVe Mobility Acquisition Corp., Expires 05/12/2028, Strike Price $11.50 | |
| 27,110 | | |
| 1,609 | |
| Everest Consolidator Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | |
| 50,492 | | |
| 3,004 | |
| Evergreen Corp., Expires 02/15/2027, Strike Price $11.50 | |
| 70,092 | | |
| 3,908 | |
| ExcelFin Acquisition Corp., Expires 07/05/2023, Strike Price $11.50 | |
| 22,349 | | |
| 1,453 | |
| Fat Projects Acquisition Corp., Expires 06/16/2026, Strike Price $11.50 | |
| 37,947 | | |
| 2,154 | |
| FG Acquisition Corp., Expires 04/05/2030, Strike Price $11.50 | |
| 25,263 | | |
| 33,474 | |
| FG Merger Corp., Expires 06/17/2027, Strike Price $11.50 | |
| 1,112 | | |
| 99 | |
| Financial Strategies Acquisition Corp., Expires 03/31/2028, Strike Price $11.50 | |
| 6,820 | | |
| 154 | |
| Financials Acquisition Corp., Expires 04/04/2027, Strike Price $1150.00 | |
| 28,696 | | |
| 1,082 | |
| Finnovate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50 | |
| 71,462 | | |
| 3,037 | |
| FinServ Acquisition Corp. II, Expires 02/17/2026, Strike Price $11.50 | |
| 22,794 | | |
| 685 | |
| Fintech Ecosystem Development Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 27,352 | | |
| 1,060 | |
| Flame Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 5,451 | | |
| 2,371 | |
| Forbion European Acquisition Corp., Expires 05/23/2028, Strike Price $11.50 | |
| 7,393 | | |
| 1,108 | |
| Fortune Rise Acquisition Corp., Expires 12/06/2027, Strike Price $11.50 | |
| 15,616 | | |
| 1,093 | |
| FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50 | |
| 27,108 | | |
| 2,714 | |
| FTAC Zeus Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 135,656 | | |
| 3,012 | |
| Fusion Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50 | |
| 20,782 | | |
| 208 | |
| Future Health ESG Corp., Expires 09/09/2026, Strike Price $11.50 | |
| 37,402 | | |
| 2,096 | |
| FutureTech II Acquisition Corp., Expires 02/16/2027, Strike Price $11.50 | |
| 48,383 | | |
| 1,456 | |
| Gardiner Healthcare Acquisitions Corp., Expires 07/30/2028, Strike Price $11.50 | |
| 14,786 | | |
| 1,405 | |
| Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50 | |
| 6,030 | | |
| 139 | |
| GigCapital5, Inc., Expires 12/31/2028, Strike Price $11.50 | |
| 3,954 | | |
| 84 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Global Blockchain Acquisition Corp., Expires 05/10/2027, Strike Price $11.50 | |
| 40,470 | | |
$ | 813 | |
| Global Technology Acquisition Corp. I, Expires 07/13/2023, Strike Price $11.50 | |
| 23,734 | | |
| 1,163 | |
| Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50 | |
| 14,771 | | |
| 334 | |
| GoGreen Investments Corp., Expires 06/04/2023, Strike Price $11.50 | |
| 61,462 | | |
| 47,940 | |
| Gores Holdings IX, Inc., Expires 01/14/2029, Strike Price $11.50 | |
| 40,512 | | |
| 9,478 | |
| Granite Ridge Resources, Inc., Expires 09/25/2028, Strike Price $11.50 | |
| 228,188 | | |
| 138,453 | |
| Green Visor Financial Technology Acquisition Corp. I, Expires 05/08/2023, Strike Price $11.50 | |
| 47,750 | | |
| 2,626 | |
| Growth For Good Acquisition Corp., Expires 11/12/2026, Strike Price $11.50 | |
| 51,285 | | |
| 1,580 | |
| GSR II Meteora Acquisition Corp., Expires 07/22/2023, Strike Price $11.50 | |
| 119,353 | | |
| 8,080 | |
| Harvey Gulf, Expires 12/31/2049, Strike Price $0.01 | |
| 16,636 | | |
| 482,444 | |
| HCM ACQUISITION Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 10,493 | | |
| 577 | |
| Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50 | |
| 18,681 | | |
| 910 | |
| Heartland Media Acquisition Corp., Expires 10/21/2027, Strike Price $11.50 | |
| 1,499 | | |
| 149 | |
| HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 17,425 | | |
| 642 | |
| HNR Acquisition Corp., Expires 07/29/2028, Strike Price $11.50 | |
| 44,874 | | |
| 3,413 | |
| Home Plate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50 | |
| 4,107 | | |
| 485 | |
| Iconic Sports Acquisition Corp., Expires 10/12/2026, Strike Price $11.50 | |
| 19,665 | | |
| 3,003 | |
| Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50 | |
| 2,402 | | |
| 54 | |
| Industrial Tech Acquisitions II, Inc., Expires 12/31/2028, Strike Price $11.50 | |
| 47,509 | | |
| 4,395 | |
| Infinite Acquisition Corp., Expires 11/23/2028, Strike Price $11.50 | |
| 46,166 | | |
| 6,579 | |
| InFinT Acquisition Corp., Expires 05/19/2027, Strike Price $11.50 | |
| 55,058 | | |
| 4,231 | |
| Innovative International Acquisition Corp., Expires 07/01/2028, Strike Price $11.50 | |
| 71,433 | | |
| 6,322 | |
| Integrated Rail and Resources Acquisition Corp., Expires 05/21/2023, Strike Price $11.50 | |
| 48,874 | | |
| 11,974 | |
| Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | |
| 1,763 | | |
| 1,444 | |
| Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50 | |
| 24,645 | | |
| 4,251 | |
| Investcorp India Acquisition Corp., Expires 06/28/2027, Strike Price $11.50 | |
| 37,472 | | |
| 2,305 | |
| Iris Acquisition Corp., Expires 03/05/2026, Strike Price $11.50 | |
| 27,683 | | |
| 2,021 | |
| Israel Acquisitions Corp., Expires 02/28/2028, Strike Price $11.50 | |
| 8,683 | | |
| 1,216 | |
| IX Acquisition Corp., Expires 11/24/2026, Strike Price $11.50 | |
| 112 | | |
| 4 | |
| Jackson Acquisition Co., Expires 12/31/2028, Strike Price $11.50 | |
| 11,842 | | |
| 1,238 | |
| Jaguar Global Growth Corp. I, Expires 02/11/2027, Strike Price $11.50 | |
| 43,794 | | |
| 1,739 | |
| Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50 | |
| 19,820 | | |
| 995 | |
| Juniper II Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 9,381 | | |
| 1,126 | |
| Jupiter Acquisition Corp., Expires 08/17/2028, Strike Price $11.50 | |
| 1,531 | | |
| 45 | |
| Kairous Acquisition Corp. ltd, Expires 09/15/2026, Strike Price $11.50 | |
| 6,746 | | |
| 287 | |
| Kernel Group Holdings, Inc., Expires 01/31/2027, Strike Price $11.50 | |
| 1,326 | | |
| 142 | |
| Keyarch Acquisition Corp., Expires 07/25/2028, Strike Price $11.50 | |
| 24,350 | | |
| 1,032 | |
| Kimbell Tiger Acquisition Corp., Expires 09/15/2028, Strike Price $11.50 | |
| 59,791 | | |
| 1,794 | |
| KnightSwan Acquisition Corp., Expires 07/21/2028, Strike Price $11.50 | |
| 4,497 | | |
| 337 | |
| LAMF Global Ventures Corp. I, Expires 11/11/2026, Strike Price $11.50 | |
| 63,179 | | |
| 4,107 | |
| LatAmGrowth SPAC, Expires 01/25/2028, Strike Price $11.50 | |
| 37,849 | | |
| 2,176 | |
| LAVA Medtech Acquisition Corp., Expires 10/27/2026, Strike Price $11.50 | |
| 57,923 | | |
| 1,807 | |
| LF Capital Acquisition Corp. II, Expires 01/07/2026, Strike Price $11.50 | |
| 60,499 | | |
| 2,426 | |
| Liberty Resources Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | |
| 22,928 | | |
| 1,146 | |
| LIV Capital Acquisition Corp. II, Expires 02/16/2027, Strike Price $11.50 | |
| 43,759 | | |
| 2,297 | |
| Mercato Partners Acquisition Corp., Expires 12/28/2026, Strike Price $11.50 | |
| 15,665 | | |
| 1,527 | |
| Metal Sky Star Acquisition Corp., Expires 04/01/2027, Strike Price $11.50 | |
| 40,420 | | |
| 932 | |
| Semi-Annual
Report | April 30, 2023 |
31 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Metals Acquisition Corp., Expires 07/12/2026, Strike Price $11.50 | |
| 8,891 | | |
$ | 7,729 | |
| Monterey Bio Acquisition Corp., Expires 06/07/2023, Strike Price $11.50 | |
| 24,230 | | |
| 668 | |
| Motive Capital Corp. II, Expires 05/15/2028, Strike Price $11.50 | |
| 8,206 | | |
| 985 | |
| Mountain & Co. I Acquisition Corp., Expires 08/24/2023, Strike Price $11.50 | |
| 62,660 | | |
| 4,540 | |
| Murphy Canyon Acquisition Corp., Expires 02/03/2027, Strike Price $11.50 | |
| 51,468 | | |
| 4,117 | |
| Nabors Energy Transition Corp., Expires 11/17/2026, Strike Price $11.50 | |
| 87,846 | | |
| 14,055 | |
| New Energy One Acquisition Corp. PLC, Expires 03/07/2027, Strike Price $11.50 | |
| 222,976 | | |
| 70,057 | |
| New Providence Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50 | |
| 21,526 | | |
| 829 | |
| Newcourt Acquisition Corp., Expires 04/12/2028, Strike Price $11.50 | |
| 30,398 | | |
| 1,116 | |
| Nogin, Inc., Expires 08/26/2027, Strike Price $11.50 | |
| 8,372 | | |
| 147 | |
| NorthView Acquisition Corp., Expires 08/02/2027, Strike Price $11.50 | |
| 19,197 | | |
| 1,824 | |
| Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 31,088 | | |
| 1,027 | |
| Nubia Brand International Corp., Expires 11/16/2026, Strike Price $11.50 | |
| 29,262 | | |
| 2,795 | |
| OmniLit Acquisition Corp., Expires 11/08/2026, Strike Price $11.50 | |
| 31,515 | | |
| 2,143 | |
| Onyx Acquisition Co. I, Expires 11/30/2028, Strike Price $11.50 | |
| 24,790 | | |
| 1,242 | |
| Oxus Acquisition Corp., Expires 08/26/2026, Strike Price $11.50 | |
| 20,287 | | |
| 763 | |
| Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50 | |
| 76,584 | | |
| 4,461 | |
| Patria Latin American Opportunity Acquisition Corp., Expires 03/10/2027, Strike Price $11.50 | |
| 46,145 | | |
| 2,914 | |
| Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50 | |
| 18,484 | | |
| 1,793 | |
| PepperLime Health Acquisition Corp., Expires 10/01/2026, Strike Price $11.50 | |
| 11,876 | | |
| 660 | |
| Perception Capital Corp. II, Expires 12/31/2028, Strike Price $11.50 | |
| 58,258 | | |
| 6,082 | |
| Phoenix Biotech Acquisition Corp., Expires 09/01/2026, Strike Price $11.50 | |
| 21,939 | | |
| 823 | |
| Platinum Capital, Ltd., Expires 03/28/2024, Strike Price $1.37 | |
| 42,880 | | |
| 1,149 | |
| Pono Capital Two, Inc., Expires 09/23/2027, Strike Price $11.50 | |
| 9,738 | | |
| 373 | |
| Pontem Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 60,453 | | |
| 1,874 | |
| Power & Digital Infrastructure Acquisition II Corp., Expires 12/14/2028, Strike Price $11.50 | |
| 87,961 | | |
| 10,749 | |
| PowerUp Acquisition Corp., Expires 02/18/2027, Strike Price $11.50 | |
| 70,545 | | |
| 2,469 | |
| PROOF Acquisition Corp. I, Expires 12/03/2028, Strike Price $11.50 | |
| 20,757 | | |
| 2,231 | |
| Prospector Capital Corp., Expires 01/01/2025, Strike Price $11.50 | |
| 21,521 | | |
| 1,447 | |
| RCF Acquisition Corp., Expires 11/10/2026, Strike Price $11.50 | |
| 31,463 | | |
| 3,145 | |
| Redwoods Acquisition Corp., Expires 03/15/2027, Strike Price $11.50 | |
| 32,327 | | |
| 2,302 | |
| Relativity Acquisition Corp., Expires 02/11/2027, Strike Price $11.50 | |
| 45,142 | | |
| 2,126 | |
| Revelstone Capital Acquisition Corp., Expires 05/24/2028, Strike Price $11.50 | |
| 53 | | |
| 6 | |
| RF Acquisition Corp., Expires 05/01/2028, Strike Price $11.50 | |
| 19,704 | | |
| 446 | |
| Rigel Resource Acquisition Corp., Expires 11/05/2026, Strike Price $11.50 | |
| 31,854 | | |
| 2,453 | |
| Rose Hill Acquisition Corp., Expires 10/14/2026, Strike Price $11.50 | |
| 41,528 | | |
| 1,323 | |
| Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50 | |
| 28,225 | | |
| 9,032 | |
| Screaming Eagle Acquisition Corp., Expires 12/15/2027, Strike Price $11.50 | |
| 22,674 | | |
| 4,832 | |
| Sculptor Acquisition Corp. I, Expires 04/15/2028, Strike Price $11.50 | |
| 9,858 | | |
| 401 | |
| Selina Hospitality PLC, Expires 12/31/2049, Strike Price $0.01(e) | |
| 218,500 | | |
| 24,581 | |
| ShoulderUp Technology Acquisition Corp., Expires 07/26/2023, Strike Price $11.50 | |
| 94,845 | | |
| 2,855 | |
| SHUAA Partners Acquisition Corp. I, Expires 03/02/2027, Strike Price $11.50 | |
| 22,958 | | |
| 1,841 | |
| Signal Hill Acquisition Corp., Expires 02/11/2027, Strike Price $11.50 | |
| 13,462 | | |
| 404 | |
| SILVERspac, Inc., Expires 09/10/2026, Strike Price $11.50 | |
| 18,449 | | |
| 3,192 | |
| Sizzle Acquisition Corp., Expires 03/12/2026, Strike Price $11.50 | |
| 43,590 | | |
| 15,908 | |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| SMX Security Matters PLC, Expires 03/07/2028, Strike Price $11.50 | |
| 36,580 | | |
$ | 1,975 | |
| Sound Point Acquisition Corp. I, Ltd., Expires 03/02/2027, Strike Price $11.50 | |
| 49,951 | | |
| 2,028 | |
| Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50 | |
| 6,161 | | |
| 185 | |
| Spree Acquisition Corp. 1, Ltd., Expires 12/22/2028, Strike Price $11.50 | |
| 20,337 | | |
| 1,031 | |
| Spring Valley Acquisition Corp. II, Expires 02/25/2026, Strike Price $11.50 | |
| 13,573 | | |
| 2,172 | |
| SpringBig Holdings, Inc., Expires 06/14/2027, Strike Price $11.50 | |
| 24,279 | | |
| 898 | |
| ST Energy Transition I, Ltd., Expires 12/02/2026, Strike Price $11.50 | |
| 42,980 | | |
| 3,675 | |
| Sustainable Development Acquisition I Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 28,327 | | |
| 1,653 | |
| Swiftmerge Acquisition Corp., Expires 06/17/2028, Strike Price $11.50 | |
| 132 | | |
| 16 | |
| Tailwind International Acquisition Corp., Expires 03/01/2028, Strike Price $11.50 | |
| 17,317 | | |
| 29 | |
| Talon 1 Acquisition Corp., Expires 07/30/2026, Strike Price $11.50 | |
| 71,933 | | |
| 4,629 | |
| Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 18,073 | | |
| 2,351 | |
| Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50 | |
| 52,993 | | |
| 1,150 | |
| TKB Critical Technologies 1, Expires 10/29/2028, Strike Price $11.50 | |
| 48,884 | | |
| 7,100 | |
| TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50 | |
| 68,311 | | |
| 5,854 | |
| Transition SA, Expires 06/16/2026, Strike Price $11.50 | |
| 33,822 | | |
| 1,137 | |
| Trine II Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 78,462 | | |
| 133 | |
| United Homes Group, Inc., Expires 01/28/2028, Strike Price $11.50 | |
| 11,333 | | |
| 6,254 | |
| UTA Acquisition Corp., Expires 10/30/2026, Strike Price $11.50 | |
| 44,060 | | |
| 5,728 | |
| Vahanna Tech Edge Acquisition I Corp., Expires 11/30/2028, Strike Price $11.50 | |
| 55,430 | | |
| 1,375 | |
| Valor Latitude Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 3,725 | | |
| 11 | |
| Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50 | |
| 60,778 | | |
| 2,656 | |
| VAM Investments Spac BV, Expires 07/27/2026, Strike Price $11.50 | |
| 12,639 | | |
| 2,089 | |
| Verde Clean Fuels, Inc., Expires 12/31/2027, Strike Price $11.50 | |
| 327 | | |
| 59 | |
| Viscogliosi Brothers Acquisition Corp., Expires 03/18/2027, Strike Price $11.50 | |
| 20,851 | | |
| 959 | |
| Vision Sensing Acquisition Corp., Expires 11/01/2026, Strike Price $11.50 | |
| 49,182 | | |
| 2,459 | |
| VMG Consumer Acquisition Corp., Expires 07/03/2023, Strike Price $11.50 | |
| 60,937 | | |
| 2,151 | |
| Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50 | |
| 29,980 | | |
| 2,398 | |
| Yotta Acquisition Corp., Expires 03/15/2027, Strike Price $11.50 | |
| 47,369 | | |
| 2,013 | |
| Zimmer Energy Transition Acquisition Corp., Expires 05/14/2023, Strike Price $11.50 | |
| 1,716 | | |
| 140 | |
| ZyVersa Therapeutics, Inc., Expires 12/20/2026, Strike Price $11.50 | |
| 7,100 | | |
| 497 | |
| | |
| | | |
| | |
| TOTAL WARRANTS | |
| | | |
| 1,307,638 | |
| (Cost $3,647,002) | |
| | | |
| | |
| | |
Shares | | |
Fair
Value | |
| RIGHTS - 0.06%(g) | |
| | |
| |
| A SPAC I Acquisition Corp., Expires 12/31/2049 | |
| 2 | | |
| 0 | |
| A SPAC II Acquisition Corp., Expires 12/31/2049 | |
| 68,843 | | |
| 6,024 | |
| Accretion Acquisition Corp., Expires 12/31/2049 | |
| 37,215 | | |
| 3,930 | |
| Agrinam Acquisition Corp., Expires 12/31/2049 | |
| 19,798 | | |
| 792 | |
| AIB Acquisition Corp., Expires 12/31/2049 | |
| 41,417 | | |
| 5,546 | |
| Alset Capital Acquisition Corp., Expires 12/31/2049 | |
| 26,594 | | |
| 7,287 | |
| Arisz Acquisition Corp., Expires 05/01/2023 | |
| 34,348 | | |
| 3,780 | |
| Aurora Technology Acquisition Corp., Expires 02/07/2028 | |
| 63,578 | | |
| 8,265 | |
| Axios Sustainable Growth Acquisition Corp., Expires 12/31/2049 | |
| 43,990 | | |
| 6,884 | |
| Bellevue Life Sciences Acquisi, Expires 12/31/2045 | |
| 14,638 | | |
| 2,269 | |
| Semi-Annual
Report | April 30, 2023 |
33 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| bleuacacia, Ltd., Expires 12/31/2049 | |
| 201,609 | | |
$ | 10,826 | |
| Blue World Acquisition Corp., Expires 12/31/2049 | |
| 46,604 | | |
| 5,243 | |
| Broad Capital Acquisition Corp., Expires 12/31/2049 | |
| 53,360 | | |
| 6,128 | |
| Clean Earth Acquisitions Corp., Expires 12/31/2049 | |
| 99,120 | | |
| 18,793 | |
| ClimateRock, Expires 06/01/2027 | |
| 23,557 | | |
| 2,650 | |
| Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027 | |
| 76,977 | | |
| 6,928 | |
| Deep Medicine Acquisition Corp., Expires 10/26/2023 | |
| 15,116 | | |
| 1,738 | |
| Distoken Acquisition Corp., Expires 12/31/2049 | |
| 5,841 | | |
| 702 | |
| Financial Strategies Acquisition Corp., Expires 03/31/2028 | |
| 9,858 | | |
| 1,036 | |
| Fintech Ecosystem Development Corp., Expires 12/31/2028 | |
| 54,704 | | |
| 7,612 | |
| Global Blockchain Acquisition Corp., Expires 12/31/2049 | |
| 40,470 | | |
| 5,059 | |
| Globalink Investment, Inc., Expires 08/19/2023 | |
| 4,837 | | |
| 388 | |
| Growth For Good Acquisition Corp., Expires 06/14/2023 | |
| 75,556 | | |
| 11,379 | |
| GSR II Meteora Acquisition Corp., Expires 12/31/2049 | |
| 7,459 | | |
| 8,018 | |
| Inception Growth Acquisition, Ltd., Expires 05/08/2023 | |
| 7,394 | | |
| 959 | |
| Jaguar Global Growth Corp. I, Expires 12/31/2049 | |
| 87,589 | | |
| 12,744 | |
| Jupiter Wellness Acquisition Corp., Expires 12/31/2049 | |
| 18,463 | | |
| 7,261 | |
| Kairous Acquisition Corp. ltd, Expires 11/24/2023 | |
| 13,555 | | |
| 1,914 | |
| Keyarch Acquisition Corp., Expires 07/25/2028 | |
| 16,489 | | |
| 1,979 | |
| Mars Acquisition Corp., Expires 12/31/2049 | |
| 10,247 | | |
| 2,049 | |
| Metal Sky Star Acquisition Corp., Expires 12/31/2049 | |
| 40,420 | | |
| 7,074 | |
| Mountain Crest Acquisition Corp. V, Expires 12/31/2049 | |
| 8,917 | | |
| 2,685 | |
| NorthView Acquisition Corp., Expires 12/31/2049 | |
| 38,482 | | |
| 6,013 | |
| QualTek Services, Inc., Expires 12/31/2049 | |
| 73,592 | | |
| 19,134 | |
| Redwoods Acquisition Corp., Expires 12/31/2049 | |
| 32,327 | | |
| 3,540 | |
| RF Acquisition Corp., Expires 12/31/2049 | |
| 19,704 | | |
| 2,069 | |
| Sagaliam Acquisition Corp., Expires 12/31/2049 | |
| 84,310 | | |
| 12,604 | |
| Spring Valley Acquisition Corp. II, Expires 02/16/2023 | |
| 27,147 | | |
| 5,158 | |
| Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049 | |
| 29,572 | | |
| 4,517 | |
| Yotta Acquisition Corp., Expires 12/31/2049 | |
| 29,606 | | |
| 5,551 | |
| | |
| | | |
| | |
| TOTAL RIGHTS | |
| | | |
| 226,528 | |
| (Cost $302,209) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| SHORT TERM INVESTMENTS - 0.15% | |
| | | |
| | |
| BNY Mellon U.S. Treasury Fund, 7 Day Yield 4.65% | |
| 568,949 | | |
| 568,949 | |
| | |
| | | |
| | |
| TOTAL SHORT TERM INVESTMENTS | |
| | | |
| 568,949 | |
| (Cost $568,949) | |
| | | |
| | |
| | |
| | | |
| | |
| Total Investments - 102.35% | |
| | | |
$ | 379,357,661 | |
| (Cost $381,799,040) | |
| | | |
| | |
| Liabilities in Excess of Other Assets - (2.35)% | |
| | | |
$ | (8,694,308 | ) |
| | |
| | | |
| | |
| Net Assets - 100.00% | |
| | | |
$ | 370,663,353 | |
Amounts
above are shown as a percentage of net assets as of April 30, 2023.
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| SCHEDULE OF SECURITIES SOLD SHORT | |
| |
| | |
Principal Amount | | |
Fair Value | |
| SOVEREIGN DEBT OBLIGATIONS - (13.80%) | |
| | | |
| | |
| Sovereign - (13.80%) | |
| | | |
| | |
| | |
| | | |
| | |
| U.S. Treasury Bond, 3.500%, 02/15/2033 | |
$ | (50,838,000 | ) | |
$ | (51,147,797 | ) |
| | |
| | | |
| (51,147,797 | ) |
| TOTAL SOVEREIGN DEBT OBLIGATIONS | |
| | | |
| (51,147,797 | ) |
| (Proceeds $51,202,482) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| COMMON STOCK - (3.52%) | |
| | | |
| | |
| Electric-Integrated - (0.09%) | |
| | | |
| | |
| AES Corp. | |
| (1,507 | ) | |
| (35,656 | ) |
| Ameren Corp. | |
| (169 | ) | |
| (15,036 | ) |
| American Electric Power Co., Inc. | |
| (298 | ) | |
| (27,541 | ) |
| DTE Energy Co. | |
| (649 | ) | |
| (72,954 | ) |
| Duke Energy Corp. | |
| (608 | ) | |
| (60,119 | ) |
| NextEra Energy, Inc. | |
| (918 | ) | |
| (70,346 | ) |
| Xcel Energy, Inc. | |
| (429 | ) | |
| (29,991 | ) |
| | |
| | | |
| (311,643 | ) |
Logic,
Processors & Application Specific - (0.02%) | |
| | | |
| | |
| Advanced Micro Devices, Inc.(g) | |
| (84 | ) | |
| (7,507 | ) |
| NVIDIA Corp. | |
| (244 | ) | |
| (67,708 | ) |
| | |
| | | |
| (75,215 | ) |
Electronic
Shopping - (0.02%) | |
| | | |
| | |
| Alibaba Group Holding, Ltd.(g) | |
| (37 | ) | |
| (3,134 | ) |
| Amazon.com, Inc.(g) | |
| (618 | ) | |
| (65,168 | ) |
| | |
| | | |
| (68,302 | ) |
Development
Stage Biotechnology - (0.01%) | |
| | | |
| | |
| Alnylam Pharmaceuticals, Inc.(g) | |
| (256 | ) | |
| (50,995 | ) |
| | |
| | | |
| | |
Internet
Advertising Portals - (0.01%) | |
| | | |
| | |
Alphabet,
Inc.(g) | |
| (256 | ) | |
| (27,479 | ) |
| Semi-Annual
Report | April 30, 2023 |
35 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Oil & Liquids Rich Gas Pipelines - (0.13%) | |
| | | |
| | |
| Antero Midstream Corp. | |
| (22,615 | ) | |
$ | (243,337 | ) |
| Genesis Energy LP | |
| (1,072 | ) | |
| (11,964 | ) |
| Western Midstream Partners LP | |
| (8,228 | ) | |
| (217,795 | ) |
| | |
| | | |
| (473,096 | ) |
| Mobile Phones - 0.00%(d) | |
| | | |
| | |
| Apple, Inc. | |
| (97 | ) | |
| (16,459 | ) |
| | |
| | | |
| | |
Oilfield Services & Equipment Manufacturing - (0.01%) | |
| | | |
| | |
| Archrock, Inc. | |
| (2,988 | ) | |
| (30,747 | ) |
| | |
| | | |
| | |
Firearms
& Ammunition - 0.00%(d) | |
| | | |
| | |
Axon
Enterprise, Inc.(g) | |
| (5 | ) | |
| (1,054 | ) |
| | |
| | | |
| | |
Electricity Networks - (0.03%) | |
| | | |
| | |
| CenterPoint Energy, Inc. | |
| (1,383 | ) | |
| (42,140 | ) |
| Eversource Energy | |
| (194 | ) | |
| (15,056 | ) |
| PPL Corp. | |
| (2,068 | ) | |
| (59,393 | ) |
| | |
| | | |
| (116,589 | ) |
| Crude Oil & Natural Gas Exploration & Production - (0.09%) | |
| | | |
| | |
| Chesapeake Energy Corp. | |
| (817 | ) | |
| (67,550 | ) |
| ConocoPhillips | |
| (489 | ) | |
| (50,313 | ) |
| EQT Corp. | |
| (1,158 | ) | |
| (40,345 | ) |
| Marathon Oil Corp. | |
| (1,727 | ) | |
| (41,724 | ) |
| Occidental Petroleum Corp. | |
| (508 | ) | |
| (31,257 | ) |
| Pioneer Natural Resources Co. | |
| (583 | ) | |
| (126,832 | ) |
| | |
| | | |
| (358,021 | ) |
| Outpatient Health Services - (0.01%) | |
| | | |
| | |
| Civitas Resources, Inc. | |
| (386 | ) | |
| (26,653 | ) |
| | |
| | | |
| | |
Computer
Software - 0.00%(d) | |
| | | |
| | |
Cloudflare,
Inc.(g) | |
| (300 | ) | |
| (14,115 | ) |
| | |
| | | |
| | |
Electric-Generation
- 0.00%(d) | |
| | | |
| | |
| Constellation Energy Corp. | |
| (15 | ) | |
| (1,161 | ) |
| | |
| | | |
| | |
Enterprise
Software - (0.02%) | |
| | | |
| | |
Descartes
Systems Group, Inc.(g) | |
| (313 | ) | |
| (24,803 | ) |
| HubSpot, Inc.(g) | |
| (16 | ) | |
| (6,735 | ) |
| Workday, Inc.(g) | |
| (123 | ) | |
| (22,895 | ) |
| | |
| | | |
| (54,433 | ) |
| Pipelines - (1.58%) | |
| | | |
| | |
| DT Midstream, Inc. | |
| (8,833 | ) | |
| (435,202 | ) |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Enbridge, Inc. | |
| (9,217 | ) | |
$ | (366,476 | ) |
| Energy Transfer LP | |
| (67,115 | ) | |
| (864,441 | ) |
| EnLink Midstream LLC | |
| (15,453 | ) | |
| (151,594 | ) |
| Enterprise Products Partners LP | |
| (43,801 | ) | |
| (1,152,404 | ) |
| MPLX LP | |
| (17,554 | ) | |
| (614,215 | ) |
| Pembina Pipeline Corp. | |
| (3,934 | ) | |
| (129,503 | ) |
| Plains All American Pipeline LP | |
| (23,149 | ) | |
| (298,622 | ) |
| Plains GP Holdings LP | |
| (34,856 | ) | |
| (467,070 | ) |
| Williams Cos., Inc. | |
| (45,217 | ) | |
| (1,368,267 | ) |
| | |
| | | |
| (5,847,794 | ) |
| | |
| | | |
| | |
| Oil Companies - Exploration & Production - (0.02%) | |
| | | |
| | |
| Denbury, Inc.(g) | |
| (706 | ) | |
| (65,926 | ) |
| | |
| | | |
| | |
| Energy-Alternate Sources - (0.01%) | |
| | | |
| | |
| Enviva, Inc. | |
| (1,138 | ) | |
| (24,467 | ) |
| | |
| | | |
| | |
| In Vitro Diagnostics Manufacturing - 0.00%(d) | |
| | | |
| | |
| Exact Sciences Corp.(g) | |
| (39 | ) | |
| (2,499 | ) |
| | |
| | | |
| | |
| Oil Companies-Integrated - (0.01%) | |
| | | |
| | |
| Exxon Mobil Corp. | |
| (248 | ) | |
| (29,348 | ) |
| | |
| | | |
| | |
| Internet Content-Entertainment - (0.01%) | |
| | | |
| | |
| Meta Platforms, Inc.(g) | |
| (65 | ) | |
| (15,621 | ) |
| Netflix, Inc.(g) | |
| (85 | ) | |
| (28,044 | ) |
| | |
| | | |
| (43,665 | ) |
| | |
| | | |
| | |
| Power Generation Equipment Manufacturing - 0.00%(d) | |
| | | |
| | |
| Generac Holdings, Inc.(g) | |
| (109 | ) | |
| (11,142 | ) |
| | |
| | | |
| | |
| Analytical Lab Equipment Manufacturing - (0.01%) | |
| | | |
| | |
| Illumina, Inc.(g) | |
| (121 | ) | |
| (24,873 | ) |
| | |
| | | |
| | |
| Medical-Biomedical/Genetics - (0.07%) | |
| | | |
| | |
| Genmab A/S(g) | |
| (376 | ) | |
| (154,524 | ) |
| Moderna, Inc.(g) | |
| (835 | ) | |
| (110,963 | ) |
| | |
| | | |
| (265,487 | ) |
| | |
| | | |
| | |
| Diversified Manufacturing Operations - (0.02%) | |
| | | |
| | |
| Trelleborg AB | |
| (2,535 | ) | |
| (63,628 | ) |
| | |
| | | |
| | |
| Dry Natural Gas Pipelines - (0.21%) | |
| | | |
| | |
| Kinder Morgan, Inc. | |
| (9,040 | ) | |
| (155,036 | ) |
| Semi-Annual
Report | April 30, 2023 |
37 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| TC Energy Corp. | |
| (14,786 | ) | |
$ | (614,533 | ) |
| | |
| | | |
| (769,569 | ) |
| | |
| | | |
| | |
| Medical-Drugs - (0.18%) | |
| | | |
| | |
| Bayer AG | |
| (2,132 | ) | |
| (139,922 | ) |
| Novo Nordisk A/S | |
| (3,053 | ) | |
| (507,562 | ) |
| | |
| | | |
| (647,484 | ) |
| | |
| | | |
| | |
| Fluid Power Pump & Motor Manufacturing - (0.02%) | |
| | | |
| | |
| Interpump Group SpA | |
| (1,239 | ) | |
| (68,918 | ) |
| | |
| | | |
| | |
| Financial Information Services - (0.01%) | |
| | | |
| | |
| MarketAxess Holdings, Inc. | |
| (79 | ) | |
| (25,151 | ) |
| | |
| | | |
| | |
| Theaters - (0.01%) | |
| | | |
| | |
| CTS Eventim AG & Co. KGaA | |
| (378 | ) | |
| (24,804 | ) |
| | |
| | | |
| | |
| Analog Integrated Circuits - (0.04%) | |
| | | |
| | |
| Infineon Technologies AG | |
| (3,491 | ) | |
| (126,654 | ) |
| Melexis NV | |
| (339 | ) | |
| (32,256 | ) |
| | |
| | | |
| (158,910 | ) |
| | |
| | | |
| | |
| Applications Software - 0.00%(d) | |
| | | |
| | |
| Microsoft Corp. | |
| (55 | ) | |
| (16,899 | ) |
| | |
| | | |
| | |
| Internet Media & Services - (0.03%) | |
| | | |
| | |
| Naspers, Ltd. | |
| (3,083 | ) | |
| (109,292 | ) |
| | |
| | | |
| | |
| | |
| | | |
| | |
| Renewable Energy Generation - (0.03%) | |
| | | |
| | |
| Atlantica Sustainable Infrastructure PLC | |
| (81 | ) | |
| (2,156 | ) |
| NextEra Energy Partners LP | |
| (1,951 | ) | |
| (112,202 | ) |
| | |
| | | |
| (114,358 | ) |
| | |
| | | |
| | |
| Security - 0.00%(d) | |
| | | |
| | |
| Palo Alto Networks, Inc.(g) | |
| (43 | ) | |
| (7,846 | ) |
| | |
| | | |
| | |
| Finance-Other Services - (0.06%) | |
| | | |
| | |
| Deutsche Boerse AG | |
| (1,083 | ) | |
| (206,690 | ) |
| | |
| | | |
| | |
| Auto-Cars/Light Trucks - 0.00%(d) | |
| | | |
| | |
| Rivian Automotive, Inc.(g) | |
| (911 | ) | |
| (11,679 | ) |
| | |
| | | |
| | |
| Alcoholic Beverages Manufacturing - (0.11%) | |
| | | |
| | |
| Heineken Holding NV | |
| (2,528 | ) | |
| (242,209 | ) |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Heineken NV | |
| (1,749 | ) | |
$ | (200,528 | ) |
| | |
| | | |
| (442,737 | ) |
| | |
| | | |
| | |
| Other Infrastructure Software - 0.00%(d) | |
| | | |
| | |
| ServiceNow, Inc.(g) | |
| (9 | ) | |
| (4,135 | ) |
| | |
| | | |
| | |
| Servers - 0.00%(d) | |
| | | |
| | |
| Super Micro Computer, Inc.(g) | |
| (143 | ) | |
| (15,077 | ) |
| | |
| | | |
| | |
| Foundry Services - (0.07%) | |
| | | |
| | |
| Taiwan Semiconductor Manufacturing Co., Ltd. | |
| (3,318 | ) | |
| (279,707 | ) |
| | |
| | | |
| | |
| Passenger Vehicles Manufacturing - (0.02%) | |
| | | |
| | |
| Tesla, Inc.(g) | |
| (428 | ) | |
| (70,325 | ) |
| | |
| | | |
| | |
| Oil Refining & Marketing - (0.03%) | |
| | | |
| | |
| Neste Oyj | |
| (2,333 | ) | |
| (112,958 | ) |
| | |
| | | |
| | |
| Wire & Cable Manufacturing - (0.02%) | |
| | | |
| | |
| Prysmian SpA | |
| (1,992 | ) | |
| (81,368 | ) |
| | |
| | | |
| | |
| Electrical Equipment - (0.02%) | |
| | | |
| | |
| TKH Group NV | |
| (1,187 | ) | |
| (57,315 | ) |
| | |
| | | |
| | |
| Front End Capital Equipment - (0.16%) | |
| | | |
| | |
| ASML Holding NV | |
| (970 | ) | |
| (612,984 | ) |
| | |
| | | |
| | |
| Retail-Jewelry - (0.03%) | |
| | | |
| | |
| Cie Financiere Richemont SA | |
| (776 | ) | |
| (127,575 | ) |
| | |
| | | |
| | |
| Back End Capital Equipment - (0.01%) | |
| | | |
| | |
| BE Semiconductor Industries NV | |
| (369 | ) | |
| (33,073 | ) |
| | |
| | | |
| | |
| Recreational Vehicles - 0.00%(d) | |
| | | |
| | |
| Sanlorenzo SpA/Ameglia | |
| (8 | ) | |
| (358 | ) |
| | |
| | | |
| | |
| Retail-Apparel/Shoe - (0.03%) | |
| | | |
| | |
| Zalando SE(b)(g) | |
| (2,334 | ) | |
| (95,390 | ) |
| Semi-Annual
Report | April 30, 2023 |
39 |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| | |
Shares | | |
Fair Value | |
| Internet Application Software - (0.06%) | |
| | | |
| | |
| Shopify, Inc.(g) | |
| (4,260 | ) | |
$ | (206,389 | ) |
| | |
| | | |
| | |
| Food-Retail - (0.02%) | |
| | | |
| | |
| HelloFresh SE(g) | |
| (2,395 | ) | |
| (63,918 | ) |
| | |
| | | |
| | |
| Commercial Services - (0.08%) | |
| | | |
| | |
| Relx Plc | |
| (9,362 | ) | |
| (310,719 | ) |
| | |
| | | |
| | |
| Building-Maintenance & Service - (0.01%) | |
| | | |
| | |
| Bravida Holding AB(b) | |
| (3,360 | ) | |
| (40,792 | ) |
| | |
| | | |
| | |
| Commercial Services-Finance - (0.03%) | |
| | | |
| | |
| Adyen NV(b)(g) | |
| (75 | ) | |
| (119,997 | ) |
| | |
| | | |
| | |
| E-Commerce/Services - (0.06%) | |
| | | |
| | |
| Delivery Hero SE(b)(g) | |
| (5,530 | ) | |
| (219,611 | ) |
| | |
| | | |
| | |
| TOTAL COMMON STOCK | |
| | | |
| (13,060,819 | ) |
| (Proceeds $12,884,980) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| EXCHANGE TRADED FUNDS - (24.49%) | |
| | | |
| | |
| ProShares Bitcoin Strategy ETF | |
| (630,000 | ) | |
| (10,968,300 | ) |
| SPDR S&P 500 ETF Trust | |
| (191,843 | ) | |
| (79,793,259 | ) |
| | |
| | | |
| (90,761,559 | ) |
| | |
| | | |
| | |
| TOTAL EXCHANGE TRADED FUNDS | |
| | | |
| (90,761,559 | ) |
| (Proceeds $86,068,482) | |
| | | |
| | |
| | |
| | | |
| | |
| Total Securities Sold Short - (41.81%) | |
| | | |
$ | (154,970,175 | ) |
| (Proceeds $150,155,944) | |
| | | |
| | |
| (a) | The
security is a floating rate note which has an annual interest rate, reset monthly, that
is calculated by taking the product of a leverage multiplier and (USISDA30 - USISDA02).
At January 31, 2023, the current coupon rate for these notes is 0%. |
| (b) | Security
exempt from registration under Rule 144A of the Securities Act of 1933 (the "Securities
Act"). Total market value of Rule 144A securities amounts to $21,530,579, which
represented approximately 5.81% of net assets as of April 30, 2023. Such securities may
normally be sold to qualified institutional buyers in transactions exempt from registration. |
| (c) | Security
is in default as of April 30, 2023 and is therefore non-income producing. |
| (d) | Amount
represents less than 0.005% of net assets. |
| (e) | 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. |
| Saba Capital
Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023
(Unaudited)
| (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 April 30, 2023, the aggregate market value of those securities was
$6,594,417, which represents approximately 1.78% 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. |
| Semi-Annual
Report | April 30, 2023 |
41 |
| Saba
Capital Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023 (Unaudited)
Investment
Abbreviations:
LIBOR
- London Interbank Offered Rate
SONIA
- Sterling Over Night Index Average
SOFR
- Secured Overnight Financing Rate
ESTRON
- Euro Short-Term Rate
Reference
Rates:
1M
US L - 1 Month LIBOR as of April 30, 2023 was 5.06%
3M
US L - 3 Month LIBOR as of April 30, 2023 was 5.30%
6M
US L - 6 Month LIBOR as of April 30, 2023 was 5.41%
SONIA-
Sterling Overnight Index Average as of April 30, 2023 was 4.18%
PRIME
- US Prime Rate as of April 30, 2023 was 8.00%
Counterparty
Abbreviations:
JPM
- JPMorgan Chase Bank, N.A.
GSI
- Goldman Sachs International
MSCS
- Morgan Stanley Capital Services
BARC
- Barclays Bank PLC
MSCO
– Morgan Stanley & Company
FORWARD
FOREIGN CURRENCY CONTRACTS
| Counterparty | | |
Settlement Date | |
Fund Receiving | | |
Value | | |
Fund Delivering | | |
Cost | | |
Unrealized Appreciation/ (Depreciation) | |
| JPM | | |
05/03/23 | |
GBP | | |
| 2,513,573 | | |
USD | | |
| 2,477,633 | | |
$ | 35,940 | |
| JPM | | |
05/03/23 | |
USD | | |
| 5,697,226 | | |
AUD | | |
| 5,624,675 | | |
$ | 72,551 | |
| | | |
| |
| | |
| | | |
| | |
| | | |
$ | 108,491 | |
| | | |
| |
| | |
| | | |
| | |
| | | |
| | |
| JPM | | |
05/03/23 | |
USD | | |
| 10,602,912 | | |
EUR | | |
| 10,689,143 | | |
$ | (86,231 | ) |
| JPM | | |
05/03/23 | |
USD | | |
| 14,494,156 | | |
GBP | | |
| 14,704,404 | | |
| (210,248 | ) |
| | | |
| |
| | |
| | | |
| | |
| | | |
$ | (296,479 | ) |
| | | |
| |
| | |
| | | |
| | |
| | | |
$ | (187,988 | ) |
TO-BE-ANNOUNCED
(TBA) MORTGAGE-BACKED SECURITIES (MBS) FORWARD CONTRACTS
| Counterparty | | |
Description | |
Maturity Date | |
Notional Amount | | |
Net Unrealized Depreciation | |
| MSCO | | |
FNMA TBA 5/23 | |
May 11, 2023 | |
$ | 118,781,000 | | |
$ | (25,054 | ) |
| TOTAL | | |
| |
| |
$ | 118,781,000 | | |
$ | (25,054 | ) |
42
| Saba
Capital Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023 (Unaudited)
SINGLE
NAME CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)
| Buy/Sell Protection(a) | |
Reference Obligations | |
Annual Payment Rate Received (Paid) | | |
Currency | | |
Maturity Date | |
Notional Amount(b) | | |
Value | | |
Upfront Premiums Received/(Paid) | | |
Unrealized Appreciation/ (Depreciation) | |
| Sell | |
AT&T, Inc. | |
| 1.00 | % | |
USD | | |
6/20/24 | |
| 8,307,000 | | |
$ | 47,496 | | |
$ | (32,813 | ) | |
$ | 14,683 | |
| Buy | |
RR Donnelley & Sons | |
| (5.00 | )% | |
USD | | |
12/20/26 | |
| 8,244,000 | | |
| (675,981 | ) | |
| 689,317 | | |
| 13,336 | |
| Buy | |
Verizon Communications Inc. | |
| (1.00 | )% | |
USD | | |
6/20/23 | |
| 19,000,000 | | |
| (36,521 | ) | |
| 41,350 | | |
| 4,829 | |
| Sell | |
Verizon Communications Inc. | |
| 1.00 | % | |
USD | | |
6/20/24 | |
| 6,743,000 | | |
| 37,090 | | |
| (20,736 | ) | |
| 16,354 | |
| Sell | |
Verizon Communications Inc. | |
| 1.00 | % | |
USD | | |
6/20/28 | |
| 6,362,000 | | |
| (2,053 | ) | |
| (5,799 | ) | |
| (7,852 | ) |
| | |
| |
| | | |
| | |
| |
| | | |
$ | (629,969 | ) | |
$ | 671,319 | | |
$ | 41,350 | |
INDEX
CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)
| Buy/Sell Protection(a) | |
Reference Obligations | |
Annual Payment Rate Received (Paid) | | |
Currency | | |
Maturity Date | |
Notional Amount(b) | | |
Value | | |
Upfront Premiums Received/(Paid) | | |
Unrealized Appreciation/ (Depreciation) | |
| Buy | |
Markit CDX High Yield Index Series 40 | |
| (5.00 | )% | |
USD | | |
6/20/28 | | |
116,000,000 | | |
$ | (2,282,919 | ) | |
$ | 1,723,600 | | |
$ | (559,319 | ) |
| Buy | |
Markit iTraxx Europe Subordinated Financials Series 39 | |
| (1.00 | )% | |
EUR | | |
6/20/28 | | |
45,000,000 | | |
| 1,906,586 | | |
| (2,626,045 | ) | |
| (719,459 | ) |
| | |
| |
| | | |
| | |
| | |
| | |
$ | (376,333 | ) | |
$ | (902,445 | ) | |
$ | (1,278,778 | ) |
| Semi-Annual Report | April
30, 2023 |
43 |
| Saba
Capital Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023 (Unaudited)
SINGLE
NAME CREDIT DEFAULT SWAP CONTRACTS (OVER THE COUNTER)
Buy/Sell
Protection(a) | |
Counterparty | | |
Reference
Obligations | |
Annual
Payment Rate Received (Paid) | | |
Currency | | |
Maturity
Date | |
Notional
Amount(b) | | |
Value | | |
Upfront
Premiums Received/(Paid) | | |
Unrealized
Appreciation/(Depreciation) | |
| Sell | |
GSI | | |
AT&T,
Inc. | |
| 1.00 | % | |
USD | | |
6/20/24 | |
| 15,847,000 | | |
$ | 90,607 | | |
$ | (61,802 | ) | |
$ | 28,805 | |
| Sell | |
GSI | | |
British American
Tobacco PLC | |
| 1.00 | % | |
EUR | | |
12/20/25 | |
| 2,381,000 | | |
| 24,976 | | |
| (10,976 | ) | |
| 14,000 | |
| Sell | |
GSI | | |
Britol-Myers Squibb | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 10,000,000 | | |
| 299,349 | | |
| (268,823 | ) | |
| 30,526 | |
| Sell | |
MSCS | | |
Britol-Myers Squibb | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 10,000,000 | | |
| 299,349 | | |
| (257,109 | ) | |
| 42,240 | |
| Sell | |
MSCS | | |
Britol-Myers Squibb | |
| 1.00 | % | |
USD | | |
6/20/28 | |
| 18,119,000 | | |
| 564,965 | | |
| (532,715 | ) | |
| 32,250 | |
| Sell | |
GSI | | |
Danone SA | |
| 1.00 | % | |
EUR | | |
12/20/27 | |
| 5,739,000 | | |
| 155,468 | | |
| (107,323 | ) | |
| 48,145 | |
| Sell | |
JPM | | |
Danone SA | |
| 1.00 | % | |
EUR | | |
12/20/27 | |
| 10,000,000 | | |
| 270,897 | | |
| (231,382 | ) | |
| 39,515 | |
| Sell | |
MSCS | | |
Danone SA | |
| 1.00 | % | |
EUR | | |
12/20/27 | |
| 1,264,000 | | |
| 34,241 | | |
| (28,008 | ) | |
| 6,233 | |
| Sell | |
GSI | | |
Home Depot | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 8,763,000 | | |
| 277,718 | | |
| (230,252 | ) | |
| 47,466 | |
| Sell | |
GSI | | |
International Business
Machines | |
| 1.00 | % | |
USD | | |
6/20/27 | |
| 5,750,000 | | |
| 123,440 | | |
| (111,480 | ) | |
| 11,960 | |
| Sell | |
GSI | | |
International Business
Machines | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 20,642,000 | | |
| 442,929 | | |
| (395,100 | ) | |
| 47,829 | |
| Sell | |
BARC | | |
International Business
Machines | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 10,000,000 | | |
| 214,576 | | |
| (202,764 | ) | |
| 11,812 | |
| Sell | |
BARC | | |
NextEra Energy Capital
Holdings, Inc. | |
| 1.00 | % | |
USD | | |
6/20/28 | |
| 5,393,000 | | |
| 41,794 | | |
| (28,380 | ) | |
| 13,414 | |
| Sell | |
MSCS | | |
Pfizer, Inc. | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 7,325,000 | | |
| 203,394 | | |
| (178,314 | ) | |
| 25,080 | |
| Sell | |
GSI | | |
Pfizer, Inc. | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 29,774,000 | | |
| 826,737 | | |
| (755,898 | ) | |
| 70,839 | |
| Sell | |
GSI | | |
Proctor & Gamble | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 22,802,000 | | |
| 682,235 | | |
| (577,352 | ) | |
| 104,883 | |
| Buy | |
BARC | | |
RR Donnelley &
Sons | |
| (1.00 | %) | |
USD | | |
12/20/27 | |
| 1,628,000 | | |
| (146,806 | ) | |
| 222,929 | | |
| 76,123 | |
| Sell | |
MSCS | | |
Sherwin-Williams
Co. | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 2,039,000 | | |
| 22,707 | | |
| (4,375 | ) | |
| 18,332 | |
| Sell | |
MSCS | | |
Southern Co. | |
| 1.00 | % | |
USD | | |
6/20/26 | |
| 847,000 | | |
| 15,392 | | |
| (14,141 | ) | |
| 1,251 | |
| Sell | |
JPM | | |
Target Corp | |
| 5.00 | % | |
USD | | |
12/20/27 | |
| 5,000,000 | | |
| 130,292 | | |
| (95,150 | ) | |
| 35,142 | |
| Sell | |
GSI | | |
Target Corp | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 10,000,000 | | |
| 260,584 | | |
| (194,677 | ) | |
| 65,907 | |
| Sell | |
MSCS | | |
Target Corp | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 6,078,000 | | |
| 158,383 | | |
| (127,883 | ) | |
| 30,500 | |
| Sell | |
BARC | | |
Unilever PLC | |
| 1.00 | % | |
EUR | | |
12/20/27 | |
| 10,000,000 | | |
| 340,340 | | |
| (265,958 | ) | |
| 74,382 | |
| Sell | |
MSCS | | |
UnitedHealth Group,
Inc. | |
| 1.00 | % | |
USD | | |
12/20/27 | |
| 19,470,000 | | |
| 498,129 | | |
| (414,991 | ) | |
| 83,138 | |
| Sell | |
MSCS | | |
Verizon Communications
Inc. | |
| 1.00 | % | |
USD | | |
6/20/28 | |
| 3,181,000 | | |
| (1,026 | ) | |
| (2,900 | ) | |
| (3,926 | ) |
| Sell | |
GSI | | |
Verizon Communications
Inc. | |
| 1.00 | % | |
USD | | |
6/20/23 | |
| 19,000,000 | | |
| 36,521 | | |
| (28,509 | ) | |
| 8,012 | |
| | |
| | |
| |
| | | |
| | |
| |
| | | |
$ | 5,867,191 | | |
$ | (4,903,333 | ) | |
$ | 963,858 | |
| (a) | If
the Fund is a seller of protection and a credit event occurs, as defined under the terms
of that particular swap agreement, the Fund will either (i) pay to the buyer of protection
an amount equal to the notional amount of the swap and take delivery of the referenced
obligation or underlying securities comprising the referenced index or (ii) pay a net
settlement amount in the form of cash or securities equal to the notional amount of the
swap less the recovery value of the referenced obligation or underlying securities comprising
the referenced index. |
| (b) | The
maximum potential amount the Fund could be required to pay as a seller of credit protection
or receive as a buyer of credit protection if a credit event occurs as defined under
the terms of that particular swap agreement. Notional amounts are presented in the currency
indicated in the table. |
44
| Saba
Capital Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023 (Unaudited)
TOTAL
RETURN SWAP CONTRACTS(a)
| Counterparty | |
Reference
Obligations | |
Currency | | |
Notional
Amount(b) | | |
Termination
Date | |
Financing
Rate Index | |
Financing
Rate Spread Paid/(Received) by Fund | |
Value | | |
Unrealized
Appreciation/(Depreciation) | |
| JPM | |
4imprint
Group PLC | |
GBP | | |
$ | (390,270 | ) | |
3/15/24 | |
SONIA | |
(40) bps | |
$ | (386,839 | ) | |
$ | 3,431 | |
| JPM | |
Aberdeen
Diversified Income and Growth Trust PLC | |
GBP | | |
| 103,538 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 104,501 | | |
| 963 | |
| JPM | |
Aberdeen
New India Investment | |
GBP | | |
| 556,706 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 566,397 | | |
| 9,691 | |
| JPM | |
Aberforth
Smaller Companies Trust PLC | |
GBP | | |
| 1,498,048 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 1,536,645 | | |
| 38,597 | |
| JPM | |
Abrdn
UK Smaller Cos Growth Trust PLC | |
GBP | | |
| 647,769 | | |
5/28/24 | |
SONIA | |
40 bps | |
| 657,259 | | |
| 9,490 | |
| JPM | |
Allianz
Technology Trust PLC | |
GBP | | |
| 442,511 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 450,520 | | |
| 8,009 | |
| JPM | |
Alpha
Financial Markets Consulting PLC | |
GBP | | |
| (6,397 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (6,539 | ) | |
| (142 | ) |
| JPM | |
Alten
SA | |
EUR | | |
| (49,908 | ) | |
5/28/24 | |
ESTRON | |
(40) bps | |
| (51,756 | ) | |
| (1,848 | ) |
| JPM | |
Baillie
Gifford European Growth Trust PLC | |
GBP | | |
| 154,001 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 156,177 | | |
| 2,176 | |
| JPM | |
Baillie
Gifford UK Growth Trust PLC | |
GBP | | |
| 1,082,178 | | |
10/5/23 | |
SONIA | |
40 bps | |
| 1,090,881 | | |
| 8,703 | |
| JPM | |
Baillie
Gifford US Growth Trust PLC | |
GBP | | |
| 4,307,891 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 4,329,222 | | |
| 21,331 | |
| JPM | |
Baker
Steel Resources Trust, Ltd. | |
GBP | | |
| (58,188 | ) | |
6/3/24 | |
SONIA | |
40 bps | |
| (59,127 | ) | |
| (939 | ) |
| JPM | |
Balfour
Beatty PLC | |
GBP | | |
| (77,480 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (76,600 | ) | |
| 880 | |
| JPM | |
BioMerieux
NPV | |
EUR | | |
| (173,670 | ) | |
3/15/24 | |
ESTRON | |
(40) bps | |
| (174,738 | ) | |
| (1,068 | ) |
| JPM | |
BlackRock
Smaller Cos Trust PLC | |
GBP | | |
| 2,703,272 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 2,752,798 | | |
| 49,526 | |
| JPM | |
Bloomsbury
Publishing PLC | |
GBP | | |
| (34 | ) | |
3/15/24 | |
SONIA | |
(40) bps | |
| (34 | ) | |
| – | |
| JPM | |
Brown
Advisory US Smaller Companies PLC | |
GBP | | |
| 173,483 | | |
5/28/24 | |
SONIA | |
40 bps | |
| 173,849 | | |
| 366 | |
| JPM | |
Bytes
Technology Group PLC | |
GBP | | |
| (59,173 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (59,603 | ) | |
| (430 | ) |
| JPM | |
Chemring
Group PLC | |
GBP | | |
| (189,752 | ) | |
4/30/24 | |
SONIA | |
(40) bps | |
| (189,752 | ) | |
| – | |
| JPM | |
Clarkson
PLC | |
GBP | | |
| (24,759 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (25,129 | ) | |
| (370 | ) |
| JPM | |
Computacenter
PLC | |
GBP | | |
| (41,191 | ) | |
5/24/24 | |
SONIA | |
(40) bps | |
| (41,263 | ) | |
| (72 | ) |
| JPM | |
CVS
Group PLC | |
GBP | | |
| (61,007 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (61,413 | ) | |
| (406 | ) |
| JPM | |
Dassault
Systemes SE | |
EUR | | |
| (179,130 | ) | |
3/15/24 | |
ESTRON | |
(40) bps | |
| (188,296 | ) | |
| (9,166 | ) |
| JPM | |
Diploma
PLC | |
GBP | | |
| (291,975 | ) | |
3/15/24 | |
SONIA | |
(40) bps | |
| (294,829 | ) | |
| (2,854 | ) |
| JPM | |
DiscoverIE
Group PLC | |
GBP | | |
| (4,987 | ) | |
3/15/24 | |
SONIA | |
(40) bps | |
| (5,108 | ) | |
| (121 | ) |
| JPM | |
Dunelm
Group PLC | |
GBP | | |
| (283,198 | ) | |
3/15/24 | |
SONIA | |
(40) bps | |
| (276,915 | ) | |
| 6,283 | |
| JPM | |
Edenred | |
EUR | | |
| (178,158 | ) | |
3/15/24 | |
SONIA | |
(40) bps | |
| (180,424 | ) | |
| (2,266 | ) |
| JPM | |
Edinburgh
Worldwide Investment Trust PLC | |
GBP | | |
| 5,510,453 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 5,489,649 | | |
| (20,804 | ) |
| JPM | |
Elis
SA | |
EUR | | |
| (69,226 | ) | |
5/28/24 | |
ESTRON | |
(40) bps | |
| (71,245 | ) | |
| (2,019 | ) |
| JPM | |
Ergomed
PLC | |
GBP | | |
| (34,611 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (35,541 | ) | |
| (930 | ) |
| Semi-Annual Report | April
30, 2023 |
45 |
| Saba
Capital Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023 (Unaudited)
TOTAL
RETURN SWAP CONTRACTS(a) (continued)
| Counterparty | |
Reference
Obligations | |
Currency | | |
Notional
Amount(b) | | |
Termination
Date | |
Financing
Rate Index | |
Financing
Rate Spread Paid/(Received) by Fund | |
Value | | |
Unrealized
Appreciation/(Depreciation) | |
| JPM | |
European
Opportunities Trust PLC | |
GBP | | |
$ | 4,431,036 | | |
5/7/24 | |
SONIA | |
40 bps | |
$ | 4,428,607 | | |
$ | (2,429 | ) |
| JPM | |
European
Smaller Companies Trust PLC | |
GBP | | |
| 2,912,104 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 2,879,103 | | |
| (33,001 | ) |
| JPM | |
Experian
PLC | |
GBP | | |
| (97,943 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (100,153 | ) | |
| (2,210 | ) |
| JPM | |
Fidelity
Emerging Markets, Ltd. | |
GBP | | |
| 8,487,382 | | |
4/30/24 | |
SONIA | |
40 bps | |
| 8,542,521 | | |
| 55,139 | |
| JPM | |
Future
PLC | |
GBP | | |
| (68,389 | ) | |
4/30/24 | |
SONIA | |
(40) bps | |
| (70,257 | ) | |
| (1,868 | ) |
| JPM | |
Games
Workshop Group PLC | |
GBP | | |
| (114,610 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (116,192 | ) | |
| (1,582 | ) |
| JPM | |
Gamma
Communications PLC | |
GBP | | |
| (3,429 | ) | |
4/30/24 | |
SONIA | |
(40) bps | |
| (3,446 | ) | |
| (17 | ) |
| JPM | |
Genus
PLC | |
GBP | | |
| (239,577 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (237,282 | ) | |
| 2,295 | |
| JPM | |
Grafton
Group PLC | |
GBP | | |
| (122,778 | ) | |
4/30/24 | |
SONIA | |
(75) bps | |
| (125,559 | ) | |
| (2,781 | ) |
| JPM | |
Grifols
SA | |
EUR | | |
| (118,820 | ) | |
5/28/24 | |
ESTRON | |
(40) bps | |
| (122,908 | ) | |
| (4,088 | ) |
| JPM | |
Henderson
EuroTrust PLC | |
GBP | | |
| 577,370 | | |
4/30/24 | |
SONIA | |
40 bps | |
| 580,912 | | |
| 3,542 | |
| JPM | |
Henderson
Opportunities Trust PLC | |
GBP | | |
| 220,316 | | |
6/3/24 | |
SONIA | |
40 bps | |
| 219,052 | | |
| (1,264 | ) |
| JPM | |
Henderson
Smaller Companies Investment Trust PLC | |
GBP | | |
| 279,575 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 285,118 | | |
| 5,543 | |
| JPM | |
Herald
Investment Trust PLC | |
GBP | | |
| 1,772,949 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 1,783,768 | | |
| 10,819 | |
| JPM | |
Hollywood
Bowl Group PLC | |
GBP | | |
| (242 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (242 | ) | |
| – | |
| JPM | |
Hunting
PLC | |
GBP | | |
| (10,863 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (11,052 | ) | |
| (189 | ) |
| JPM | |
IMI
PLC | |
GBP | | |
| (105,112 | ) | |
5/24/24 | |
SONIA | |
(40) bps | |
| (108,164 | ) | |
| (3,052 | ) |
| JPM | |
Impax
Asset Management Group PLC | |
GBP | | |
| (6,716 | ) | |
4/30/24 | |
SONIA | |
(40) bps | |
| (6,946 | ) | |
| (230 | ) |
| JPM | |
Inchcape
PLC | |
GBP | | |
| (105,581 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (111,658 | ) | |
| (6,077 | ) |
| JPM | |
Intermediate
Capital Group PLC | |
GBP | | |
| (188,207 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (191,667 | ) | |
| (3,460 | ) |
| JPM | |
Invesco
Perpetual UK Smaller Companies Investment Trust PLC | |
GBP | | |
| 354,608 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 356,301 | | |
| 1,693 | |
| JPM | |
Invesco
Select Trust PLC | |
GBP | | |
| (33,178 | ) | |
6/3/24 | |
SONIA | |
40 bps | |
| (29,985 | ) | |
| 3,193 | |
| JPM | |
Ipsos | |
EUR | | |
| (55,772 | ) | |
5/28/24 | |
ESTRON | |
(40) bps | |
| (55,795 | ) | |
| (23 | ) |
| JPM | |
JPMorgan
European Discovery Trust PLC | |
GBP | | |
| 8,932,582 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 8,821,586 | | |
| (110,996 | ) |
| JPM | |
JPMorgan
Mid Cap Investment Trust PLC | |
GBP | | |
| 665,618 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 673,292 | | |
| 7,674 | |
| JPM | |
JPMorgan
UK Smaller Companies Investment Trust PLC | |
GBP | | |
| 438,133 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 447,141 | | |
| 9,008 | |
| JPM | |
Kering
SA | |
EUR | | |
| (231,235 | ) | |
4/30/24 | |
ESTRON | |
(55) bps | |
| (234,430 | ) | |
| (3,195 | ) |
| JPM | |
Keystone
Positive Change Investment Trust PLC | |
GBP | | |
| 906,947 | | |
4/30/24 | |
SONIA | |
40 bps | |
| 906,947 | | |
| – | |
| JPM | |
Man
Group PLC | |
GBP | | |
| (144,625 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (146,691 | ) | |
| (2,066 | ) |
| JPM | |
Mercantile
Investment Trust PLC | |
GBP | | |
| 5,675,366 | | |
10/2/23 | |
SONIA | |
40 bps | |
| 5,722,481 | | |
| 47,115 | |
46
| Saba
Capital Income & Opportunities Fund |
Consolidated
Schedule of Investments |
April 30, 2023 (Unaudited)
TOTAL
RETURN SWAP CONTRACTS(a) (continued)
| Counterparty | |
Reference
Obligations | |
Currency | | |
Notional
Amount(b) | | |
Termination
Date | |
Financing
Rate Index | |
Financing
Rate Spread Paid/(Received) by Fund | |
Value | | |
Unrealized
Appreciation/(Depreciation) | |
| JPM | |
Middlefield
Canadian Income PLC | |
GBP | | |
$ | 1,786 | | |
5/3/24 | |
SONIA | |
40 bps | |
$ | 1,835 | | |
$ | 49 | |
| JPM | |
Morgan
Advanced Materials PLC | |
GBP | | |
| (1,215 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (1,271 | ) | |
| (56 | ) |
| JPM | |
Morgan
Sindall Group PLC | |
GBP | | |
| (11,916 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (11,432 | ) | |
| 484 | |
| JPM | |
Next
Fifteen Communications Group PLC | |
GBP | | |
| (226 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (233 | ) | |
| (7 | ) |
| JPM | |
Ocado
Group PLC | |
GBP | | |
| (173,429 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (169,471 | ) | |
| 3,958 | |
| JPM | |
Oxford
Instruments PLC | |
GBP | | |
| (386,301 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (391,263 | ) | |
| (4,962 | ) |
| JPM | |
Oxford
Nanopore Technologies PLC | |
GBP | | |
| (92,940 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (96,206 | ) | |
| (3,266 | ) |
| JPM | |
Polar
Capital Technology Trust PLC | |
GBP | | |
| 989,216 | | |
4/30/24 | |
SONIA | |
40 bps | |
| 991,260 | | |
| 2,044 | |
| JPM | |
Polestar
Automotive Holding UK PLC | |
USD | | |
| 2,369,800 | | |
12/26/23 | |
OBFR | |
(800) bps | |
| 2,669,510 | | |
| 299,710 | |
| JPM | |
QinetiQ
Group PLC | |
GBP | | |
| (249,299 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (248,096 | ) | |
| 1,203 | |
| JPM | |
River
& Mercantile UK Micro Cap Investment Company Ltd. | |
GBP | | |
| 346,135 | | |
12/18/23 | |
SONIA | |
40 bps | |
| 346,135 | | |
| – | |
| JPM | |
Samsung
Electronics Co., Ltd. | |
USD | | |
| (72,989 | ) | |
5/24/24 | |
OBFR | |
(40) bps | |
| (75,274 | ) | |
| (2,285 | ) |
| JPM | |
Schiehallion
Fund, Ltd. | |
USD | | |
| 55,215 | | |
5/7/24 | |
OBFR | |
40 bps | |
| 52,788 | | |
| (2,427 | ) |
| JPM | |
Schroder
UK Mid Cap Fund PLC | |
GBP | | |
| 323,627 | | |
3/15/24 | |
SONIA | |
80 bps | |
| 332,874 | | |
| 9,247 | |
| JPM | |
Schroders
Capital Global Innovation Trust | |
GBP | | |
| 12,534 | | |
4/30/24 | |
SONIA | |
40 bps | |
| 13,046 | | |
| 512 | |
| JPM | |
Scottish
Mortgage Investment Trust PLC | |
GBP | | |
| 5,725,859 | | |
4/30/24 | |
SONIA | |
40 bps | |
| 5,867,699 | | |
| 141,840 | |
| JPM | |
Soitec | |
EUR | | |
| (113,055 | ) | |
5/24/24 | |
ESTRON | |
(40) bps | |
| (99,444 | ) | |
| 13,611 | |
| JPM | |
Spie
SA | |
EUR | | |
| (69,670 | ) | |
5/28/24 | |
ESTRON | |
(40) bps | |
| (72,171 | ) | |
| (2,501 | ) |
| JPM | |
Telecom
Plus PLC | |
GBP | | |
| (60,026 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (55,880 | ) | |
| 4,146 | |
| JPM | |
Verallia
SA | |
EUR | | |
| (67,217 | ) | |
5/28/24 | |
ESTRON | |
(40) bps | |
| (66,782 | ) | |
| 435 | |
| JPM | |
Vesuvius
PLC | |
GBP | | |
| (21,721 | ) | |
4/30/24 | |
SONIA | |
(40) bps | |
| (22,591 | ) | |
| (870 | ) |
| JPM | |
Watches
of Switzerland Group PLC | |
GBP | | |
| (180,223 | ) | |
4/29/24 | |
SONIA | |
(40) bps | |
| (185,925 | ) | |
| (5,702 | ) |
| JPM | |
Wise
PLC | |
GBP | | |
| (15,625 | ) | |
5/28/24 | |
SONIA | |
(40) bps | |
| (15,594 | ) | |
| 31 | |
| | |
| |
| | |
| | | |
| |
| |
| |
$ | 57,860,663 | | |
$ | 538,698 | |
All
Reference Obligations shown above for Total Return Swap Contracts are closed end funds and common stock.
| (a) | The
Fund receives monthly payments based on any positive monthly return of the Reference Obligation. The Fund makes payments on any
negative monthly return of such Reference Obligation |
| (b) | Notional
amounts are presented in USD equivalent. |
| Semi-Annual Report | April
30, 2023 |
47 |
| Saba
Capital Income & Opportunities Fund |
Consolidated Statement of Assets and Liabilities |
April 30, 2023 (Unaudited)
| ASSETS: | |
| |
| Investments,
at fair value (Cost $381,799,040) | |
$ | 379,357,661 | |
| Cash | |
| 144,588,415 | |
| Foreign
currency, at value (Cost $8,992,225) | |
| 9,015,005 | |
| Receivables: | |
| | |
| Investment
securities sold | |
| 792,129 | |
| Collateral
posted to Clearing House for centrally cleared derivatives | |
| 15,826,312 | |
| Collateral
posted to Secured Party under Tri-Party Arrangements for OTC derivatives | |
| 27,618,695 | |
| Collateral
posted to Secured Party under Tri-Party Arrangements for Loan Facility | |
| 4,499,652 | |
| Collateral
posted to Secured Party under Tri-Party Arrangements for securities sold short | |
| 11,948,341 | |
| Interest | |
| 1,940,465 | |
| Over
the counter credit default swaps, at fair value (net upfront fees paid of $5,123,362) | |
| 6,015,023 | |
| Variation
margin receivable on centrally cleared swaps | |
| 4,096 | |
| Unrealized
appreciation on total return swap contracts | |
| 782,737 | |
| Unrealized
appreciation on forward foreign currency contracts | |
| 108,491 | |
| Prepaid
expenses | |
| 203,194 | |
| Total
Assets | |
| 602,700,216 | |
| | |
| | |
| LIABILITIES: | |
| | |
| Payable
to custodian | |
| 1,646,347 | |
| Securities
sold short, at fair value (Proceeds $150,155,944) | |
| 154,970,175 | |
| Unrealized
depreciation on TBA MBS forward contracts | |
| 25,054 | |
| Payables: | |
| | |
| Notes
payable (Note 7) | |
| 68,000,000 | |
| Payable
for investment securities purchased | |
| 4,416,045 | |
| Accrued
interest payable | |
| 267,186 | |
| Payable
for investment management fees | |
| 304,084 | |
| Payable
for trustees fees | |
| 10,394 | |
| Variation
margin payable on centrally cleared swaps | |
| 447,247 | |
| Over
the counter credit default swaps, at fair value (net upfront fees received of $220,029) | |
| 147,832 | |
| Unrealized
depreciation on total return swap contracts | |
| 244,039 | |
| Unrealized
depreciation on forward foreign currency contracts | |
| 296,479 | |
| Other
accrued expenses | |
| 1,261,981 | |
| Total
Liabilities | |
| 232,036,863 | |
| Net
Assets | |
$ | 370,663,353 | |
| | |
| | |
| COMPOSITION
OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES: | |
| | |
| NET
ASSETS WERE COMPRISED OF: | |
| | |
| Paid-in
capital | |
$ | 553,011,804 | |
| Total
distributable loss | |
$ | (182,348,451 | ) |
| NET
ASSETS | |
$ | 370,663,353 | |
| Net
assets value per common share outstanding (net assets divided by 42,529,493 shares of beneficial interest authorized and outstanding,
no par value) | |
$ | 8.72 | |
48
| Saba
Capital Income & Opportunities Fund |
Consolidated Statement of Operations |
For the Six Months Ended April 30, 2023 (Unaudited)
| INVESTMENT INCOME: | |
| |
| Interest income | |
$ | 5,914,201 | |
| Dividend income (net of withholding taxes of $4,365) | |
| 3,313,032 | |
| Total Investment Income | |
| 9,227,233 | |
| | |
| | |
EXPENSES: | |
| | |
| Investment management fees (Note 4) | |
| 2,636,502 | |
| Interest expense | |
| 2,801,439 | |
| Dividend expense | |
| 560,254 | |
| Transfer agent fees | |
| 81,196 | |
| Custody and accounting expense | |
| 228,205 | |
| Professional fees | |
| 120,435 | |
| Shareholder reporting expense | |
| 62,940 | |
| Trustees fees | |
| 76,665 | |
| Insurance expense | |
| 43,639 | |
| Miscellaneous expenses | |
| 333,629 | |
| Total Expenses | |
| 6,944,904 | |
| Waived and reimbursed fees (Note 5) | |
| (433,660 | ) |
| Net expenses | |
| 6,511,244 | |
| Net Investment Income | |
| 2,715,989 | |
| | |
| | |
NET REALIZED AND UNREALIZED GAIN/(LOSS): | |
| | |
| Net realized gain/(loss) on: | |
| | |
Investments | |
| 15,797,964 | |
| Total return swaps | |
| (2,876,574 | ) |
| Credit default swaps | |
| 3,547,285 | |
| Forward foreign currency contracts | |
| (1,262,886 | ) |
| Foreign currency transactions | |
| (270,775 | ) |
| Net realized gain: | |
| 14,935,014 | |
| Net change in unrealized appreciation/(depreciation) on: | |
| | |
Investments | |
| 15,115,704 | |
| Financial instruments | |
| 145,633 | |
| Securities sold short | |
| (4,814,232 | ) |
| Total return swaps | |
| 562,421 | |
| Credit default swaps | |
| (2,658,660 | ) |
| Forward foreign currency contracts | |
| (466,280 | ) |
| TBA MBS forward contracts | |
| (25,054 | ) |
| Foreign currency transactions | |
| 21,591 | |
| Net change in unrealized appreciation/(depreciation): | |
| 7,881,123 | |
| Net realized and unrealized loss | |
| 22,816,137 | |
| Net Increase in Net Assets Resulting from Operations | |
$ | 25,532,126 | |
| Semi-Annual Report | April
30, 2023 |
49 |
| Saba
Capital Income & Opportunities Fund |
Statements of Changes in Net Assets |
| | |
For
the Six Months Ended April 30, 2023 (unaudited) (a) | | |
For
the Year Ended October 31, 2022 (a) | |
| FROM
OPERATIONS: | |
| | | |
| | |
Net
investment income | |
$ | 2,715,989 | | |
$ | 1,944,996 | |
| Net realized gain | |
| 14,935,014 | | |
| 9,130,329 | |
| Net
change in unrealized appreciation/(depreciation) on Investments | |
| 7,881,123 | | |
| (18,329,380 | ) |
| Net
Increase/(Decrease) in Net Assets Resulting from Operations | |
| 25,532,126 | | |
| (7,254,055 | ) |
| | |
| | | |
| | |
FROM
DISTRIBUTIONS TO COMMON SHAREHOLDERS: | |
| | | |
| | |
| Total distributions
(excluding return of capital) | |
| (22,327,984 | ) | |
| (13,029,565 | ) |
| Return
of capital | |
| — | | |
| (31,967,059 | ) |
| Decrease
in net assets from distributions to common shareholders | |
| (22,327,984 | ) | |
| (44,996,624 | ) |
| Net
increase/(decrease) in net assets | |
| 3,204,142 | | |
| (52,250,679 | ) |
| NET
ASSETS: | |
| | | |
| | |
| Beginning of year/period | |
| 367,459,211 | | |
| 419,709,890 | |
| End of year/period | |
$ | 370,663,353 | | |
$ | 367,459,211 | |
| (a) | Consolidated
financials. |
50
| Saba
Capital Income & Opportunities Fund |
Consolidated Statement of Cash Flows |
For
the Six Months Ended April 30, 2023 (Unaudited)
| INCREASE (DECREASE)
IN CASH | |
| |
| CASH FLOWS PROVIDED
(USED) BY OPERATING ACTIVITIES | |
| |
| Net increase
in net assets resulting from operations | |
$ | 25,532,126 | |
| Adjustments to reconcile
net increase in net assets from operations to net cash provided (used) by operating activities: | |
| | |
| Purchases of investment
securities | |
| (118,307,024 | ) |
| Proceeds from disposition
of investment securities | |
| 301,687,615 | |
| Proceeds from disposition
of financial instruments | |
| 1,413,910 | |
| Proceeds from securities
sold short | |
| 150,155,944 | |
| Net payments on derivative
contracts | |
| (6,171,443 | ) |
| Amortization of premium
and accretion of discount on investments | |
| (1,963,980 | ) |
| Net realized (gain)/loss
on investments | |
| (15,943,598 | ) |
| Net realized (gain)/loss
on total return swaps | |
| 2,876,574 | |
| Net realized (gain)/loss
on credit default swaps | |
| (3,547,285 | ) |
| Net realized (gain)/loss
on forward foreign currency contracts | |
| 1,262,886 | |
| Net realized (gain)/loss
on foreign currency transactions | |
| 270,775 | |
| Change in unrealized
(appreciation)/depreciation on investments | |
| (15,115,703 | ) |
| Change in unrealized
(appreciation)/depreciation on securities sold short | |
| 4,814,232 | |
| Change in unrealized
(appreciation)/depreciation on financial instruments | |
| (145,633 | ) |
| Change in unrealized
(appreciation)/depreciation on credit default swaps | |
| 2,658,660 | |
| Change in unrealized
(appreciation)/depreciation on total return swaps | |
| (562,421 | ) |
| Change in unrealized
(appreciation)/depreciation on forward foreign currency contracts | |
| 466,280 | |
| Change in unrealized
(appreciation)/depreciation on master forward contracts | |
| 25,054 | |
| Change in unrealized
(appreciation)/depreciation on foreign currency transactions | |
| (21,591 | ) |
| (Increase)/Decrease
in assets: | |
| | |
| Interest receivable | |
| (983,174 | ) |
| Collateral posted to
Secured Party under Tri-Party Arrangements for OTC derivatives | |
| (23,508,695 | ) |
| Collateral posted to
Clearing House for centrally cleared derivatives | |
| (11,788,137 | ) |
| Collateral posted to
Secured Party under Tri-Party Arrangements for Loan Facility | |
| (4,499,652 | ) |
| Collateral posted to
Secured Party under Tri-Party Arrangements for securities sold short | |
| (11,948,341 | ) |
| Prepaid expenses | |
| (142,899 | ) |
| Increase/(Decrease)
in liabilities: | |
| | |
| Payable to custodian | |
| 1,646,347 | |
| Unrealized depreciation
on TBA MBS forward contracts | |
| 25,054 | |
| Accrued interest payable | |
| (235,154 | ) |
| Payable for investment
management fees | |
| 55,772 | |
| Accrued trustees' fees | |
| (7,836 | ) |
| Other accrued expense | |
| 42,910 | |
| Net cash used in operating
activities | |
$ | 278,041,573 | |
| | |
| | |
| CASH
FLOWS FROM FINANCING ACTIVITIES: | |
| | |
| Repayments of long-term
debt | |
$ | (147,500,000 | ) |
| Proceeds from long-term
debt | |
| 40,000,000 | |
| Cash distributions
paid | |
| (22,327,984 | ) |
| Net cash flows provided
by financing activities | |
$ | (129,827,984 | ) |
| | |
| | |
| Effect
of exchange rates on cash | |
| (249,184 | ) |
| | |
| | |
| Net
change in cash & foreign currency | |
$ | 147,964,405 | |
| Cash
& foreign currency, beginning of period | |
$ | 5,639,015 | |
| Cash
& foreign currency, end of period | |
$ | 153,603,420 | |
| | |
| | |
| Cash paid for interest
on loan during the period was | |
$ | 3,036,593 | |
| Semi-Annual Report | April
30, 2023 |
51 |
| Saba
Capital Income & Opportunities Fund |
Financial Highlights |
For
a Share Outstanding Throughout the Periods Presented
| | |
For
the Six Months Ended April 30, 2023(a),(b) | | |
For
the Year Ended October 31, 2022(a) | | |
For
the Period Ended October 31, 2021(c) | | |
For the
Year Ended February 28, 2021 | | |
For the
Year Ended February 29, 2020 | | |
For the
Year Ended February 28, 2019 | |
| PER COMMON SHARE
OPERATING PERFORMANCE:(d) | |
| | |
| | |
| | |
| | |
| | |
| |
| Net asset value - beginning
of period | |
$ | 8.64 | | |
$ | 9.86 | | |
$ | 9.94 | | |
$ | 10.60 | | |
$ | 11.08 | | |
$ | 11.38 | |
| INCOME/(LOSS)
FROM INVESTMENT OPERATIONS: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net investment income(e) | |
| 0.06 | | |
| 0.05 | | |
| 0.10 | | |
| 0.32 | | |
| 0.60 | | |
| 0.58 | |
| Net realized and unrealized
gain/(loss) on investments and unfunded loan commitments(e) | |
| 0.55 | | |
| (0.21 | ) | |
| 0.16 | | |
| (0.64 | ) | |
| (0.46 | ) | |
| (0.28 | ) |
| Total
Income/(Loss) from Investment Operations | |
| 0.61 | | |
| (0.16 | ) | |
| 0.26 | | |
| (0.32 | ) | |
| 0.14 | | |
| 0.30 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| DISTRIBUTIONS
TO COMMON SHAREHOLDERS: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| From net investment
income(e) | |
| (0.53 | ) | |
| (0.31 | ) | |
| (0.12 | ) | |
| (0.34 | ) | |
| (0.62 | ) | |
| (0.60 | ) |
| From tax return of
capital(e) | |
| – | | |
| (0.75 | ) | |
| (0.22 | ) | |
| (0.02 | ) | |
| – | | |
| – | |
| Total
Distributions to Common Shareholders | |
| (0.53 | ) | |
| (1.06 | ) | |
| (0.34 | ) | |
| (0.36 | ) | |
| (0.62 | ) | |
| (0.60 | ) |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Accretion to net asset
value resulting from share repurchases and tender offer(e)(f) | |
| – | | |
| – | | |
| – | | |
| 0.02 | | |
| – | | |
| – | |
| Total
Capital Share Transactions | |
| – | | |
| – | | |
| – | | |
| 0.02 | | |
| – | | |
| – | |
| Net asset value per common share - end of period | |
$ | 8.72 | | |
$ | 8.64 | | |
$ | 9.86 | | |
$ | 9.94 | | |
$ | 10.60 | | |
$ | 11.08 | |
| Market price per common share - end of period | |
$ | 8.05 | | |
$ | 7.84 | | |
$ | 9.34 | | |
$ | 9.26 | | |
$ | 9.82 | | |
$ | 9.64 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Total
Investment Return - Net Asset Value(g) | |
| 7.62 | % | |
| (0.95 | %) | |
| 2.84 | % | |
| (2.14 | %) | |
| 1.88 | % | |
| 3.37 | % |
| Total
Investment Return - Market Price(g) | |
| 9.49 | % | |
| (5.12 | %) | |
| 4.57 | % | |
| (1.59 | %) | |
| 8.48 | % | |
| (1.02 | %) |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| RATIOS
AND SUPPLEMENTAL DATA: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net assets attributable
to common shares, end of period (000s) | |
$ | 370,663 | | |
$ | 367,459 | | |
$ | 419,710 | | |
$ | 605,535 | | |
$ | 782,813 | | |
$ | 818,100 | |
| Ratio of expenses including
waivers to average net assets | |
| 3.52 | %(h) | |
| 2.36 | % | |
| 1.43 | %(h) | |
| 2.26 | % | |
| 2.85 | % | |
| 2.90 | % |
| Ratio of expenses excluding
waivers to average net assets(i) | |
| 3.75 | %(h) | |
| 2.75 | % | |
| 1.60 | %(h) | |
| 2.68 | % | |
| 2.86 | % | |
| 2.92 | % |
| Ratio of expenses excluding
dividend expense on securities sold short, interest expense and other fees related to revolving credit facility to average
net assets | |
| 1.71 | %(h) | |
| 1.67 | % | |
| 1.38 | %(h) | |
| 2.13 | % | |
| 1.62 | % | |
| 1.64 | % |
| Ratio of net investment
income including waivers to average net assets | |
| 1.47 | %(h) | |
| 0.49 | % | |
| 1.62 | %(h) | |
| 3.37 | % | |
| 5.29 | % | |
| 5.16 | % |
| Ratios
to average net assets plus borrowings | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Ratio of expenses including
waivers to average net assets | |
| 2.71 | %(h) | |
| 1.79 | % | |
| 1.37 | %(h) | |
| 1.72 | % | |
| 2.05 | % | |
| 2.07 | % |
52
| Saba
Capital Income & Opportunities Fund |
Financial Highlights |
For
a Share Outstanding Throughout the Periods Presented
| | |
For
the Six Months Ended April 30, 2023(a),(b) | | |
For
the Year Ended October 31, 2022(a) | | |
For
the Period Ended October 31, 2021(c) | | |
For
the Year Ended February 28, 2021 | | |
For
the Year Ended February 29, 2020 | | |
For
the Year Ended February 28, 2019 | |
| Ratio of
expenses excluding waivers to average net assets | |
| 2.89 | %(h) | |
| 2.09 | % | |
| 1.54 | %(h) | |
| 2.04 | % | |
| 2.06 | % | |
| 2.08 | % |
| Ratio of expenses excluding
dividend expense on securities sold short, interest expense and other fees related to revolving credit facility to average
net assets | |
| 1.31 | %(h) | |
| 1.27 | % | |
| 1.32 | %(h) | |
| 1.30 | % | |
| 1.16 | % | |
| 1.16 | % |
| Ratio of net investment
income including waivers to average net assets | |
| 1.13 | %(h) | |
| 0.38 | % | |
| 1.56 | %(h) | |
| 2.56 | % | |
| 3.81 | % | |
| 3.68 | % |
| Portfolio turnover
rate | |
| 30 | % | |
| 99 | % | |
| 94 | % | |
| 56 | % | |
| 53 | % | |
| 60 | % |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| SUPPLEMENTAL
DATA | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Total shares outstanding (000s) | |
| 42,529 | | |
| 42,529 | | |
| 42,529 | | |
| 60,920 | | |
| 73,894 | | |
| 73,894 | |
| Asset coverage, end of period per $1,000(j) | |
$ | 6,451 | | |
$ | 3,904 | | |
$ | 9,394 | | |
$ | 27,794 | | |
$ | 3,478 | | |
$ | 3,534 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Aggregate principal
amount, end of period (000s) | |
$ | 68,000 | | |
$ | 175,500 | | |
$ | 50,000 | | |
$ | 22,600 | | |
$ | 315,900 | | |
$ | 322,800 | |
| Average borrowings
outstanding during the period (000s) | |
$ | 111,409 | | |
$ | 124,674 | | |
$ | 20,559 | | |
$ | 211,066 | | |
$ | 312,939 | | |
$ | 332,698 | |
| (a) | Consolidated
financials. |
| (c) | With
the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. |
| (d) | Total
shares outstanding (000s) (a) Reflects a 1 for 2 reverse stock split effective May 20, 2022, see Notes to Consolidated Financial
Statements |
| (e) | Calculated
using average common shares outstanding. |
| (f) | Please
see Note 8 in the accompanying Notes to Financial Statements for additional information. |
| (g) | Total
investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the
last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at
prices obtained under the Fund's dividend reinvestment plan. Total investment returns does not reflect sales load or brokerage
commissions, if any, and are not annualized. |
| (i) | The
Investment Adviser (See Note 1 and Note 5) has entered into a written expense limitation
agreement with the Fund under which it will limit the expenses of the Fund (excluding
interest, taxes, investor relations services, other investment-related costs, leverage
expenses, extraordinary expenses, other expenses not incurred in the ordinary course
of such Fund’s business, and expenses of any counsel or other persons or services
retained by such Fund’s trustees who are not interested persons) subject to possible
recoupment by the Investment Adviser within three years of being incurred. |
| (j) | Asset
coverage ratios, is presented to represent the coverage available to each $1,000 of borrowings.
The Asset coverage ratio per $1,000 of debt is presented to represent the coverage available
to each $1,000 of borrowings. Calculated by subtracting the Fund's total liabilities
from the Fund's total assets and dividing by the principal amount of the Leverage Facility
and then multiplying by $1,000. |
| Semi-Annual Report | April
30, 2023 |
53 |
| Saba Capital
Income & Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
NOTE
1 — ORGANIZATION
Saba
Capital Income & Opportunities Fund (the “Fund”), a Massachusetts business trust, is registered under the Investment
Company Act of 1940, as amended (the “1940 Act”), as a closed-end, management investment company. The common shares
of the Fund are listed on the New York Stock Exchange (the “NYSE”) under the symbol “BRW”. The Fund’s
investment objective is to seek to provide shareholders with a high level of current income, with a secondary goal of capital
appreciation. We seek to achieve this objective by investing globally in debt and equity securities of public and private companies,
which includes, among other things, investing in registered closed-end funds, special purpose acquisition companies (“SPAC”),
public and private debt instruments, as well as derivatives where we believe the Fund can achieve attractive risk-adjusted returns
and/or as a way to reduce portfolio risk.
From
time to time, in pursuit of its investment objective, the Fund may also invest up to 15% of its total assets in private funds
on a discretionary basis.
Saba
Capital Management, L.P. (the “Investment Adviser”), a Delaware limited partnership, serves as the investment adviser
to the Fund.
NOTE 2
— SIGNIFICANT ACCOUNTING POLICIES
These
consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United
States of America (“GAAP”) and are stated in U.S. dollars. The Fund is considered an investment company under Accounting
Standard Codification (“ASC”) 946, “Financial Services – Investment Companies”, and follows the
accounting and reporting guidance therein. The preparation of the consolidated financial statements requires management to make
estimates and assumptions that affect the amounts in the consolidated financial statements and accompanying notes. Actual results
could differ from these estimates and the differences may be material.
The
Fund is open for business every day the NYSE opens for regular trading (each such day, a “Business Day”). The net
asset value (“NAV”) per Common Share of the Fund is determined each Business Day as of the close of the regular trading
session (“Market Close”), as determined by the Consolidated Tape Association (“CTA”), the central distributor
of transaction prices for exchange-traded securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA).
The data reflected on the consolidated tape provided by the CTA is generated by various market centers, including all securities
exchanges, electronic communications networks, and third-market broker-dealers. The NAV per Common Share of the Fund is calculated
by dividing the value of the Fund's assets plus all cash and other assets (including accrued expenses but excluding capital and
surplus) attributable to the Common Shares by the number of Common Shares outstanding. The NAV per Common Share is made available
for publication. On days when the Fund is closed for business, Fund shares will not be priced and the Fund does not transact purchase
and redemption orders. To the extent the Fund’s assets are traded in other markets on days when the Fund does not price
its shares, the value of the Fund’s assets will likely change and you will not be able to purchase or sell shares of the
Fund.
A.
Financial Instrument Valuation. Assets for which market quotations are readily available are valued at fair market
value. Securities (including Common Stock, Special Purpose Acquisition Companies, Closed End Funds, Unit Trusts, and
Preferred Stock) listed or traded on an exchange are valued at their last sales price or official closing price as of the
close of the regular trading session on the exchange where the particular security at the last sale price as of the Market
Close for such security provided by the CTA. Investments in Money Market Funds are valued at NAV, which approximates fair
market value. The Private Fund investment is valued at the NAV reported by the Private Fund’s general partner or
investment manager. This is commonly referred to as using NAV as the practical expedient which allows for estimation of the
fair value of an investment in an investment entity based on NAV or its equivalent if the NAV of the investment entity is
calculated in a manner consistent with ASC 946. Because of the inherent uncertainty of valuations of the investments in the
Private Fund, their estimated values may differ significantly from the values that would have been used had a ready market
for the Private Fund existed, and the differences could be material. Corporate Bonds, Sovereign Debt Obligations and Bank
Loans are valued at mid-level prices provided by independent pricing services. Exchange traded derivatives such as listed
options, warrants, and rights are valued at last sales price on the valuation date or, if such price is not available, the
mean between the last bid and ask prices from the exchange on which they are principally traded. Non-exchange traded
derivatives (such as credit default swaps) are valued by independent pricing services, which use various techniques including
industry standard pricing models, to determine the fair value of those instruments. Financial instruments (including
contingent forward purchase contracts) are valued by third-party valuation specialists or at cost, which approximates fair
market value.
B.
Fair Value Measurement. Investments held by the Fund are recorded at fair value in accordance with ASC 820,
“Fair Value Measurements and Disclosures” (“ASC 820”). As defined in ASC 820, fair value is the price
that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants
at the measurement date. In accordance with Rule 2a-5 promulgated under the 1940 Act, the Board of Trustees (the
“Board”) has appointed the Investment Adviser as the Fund's valuation designee. In that role, it has established
a Valuation Committee (the “Committee”) that oversees the valuation of the Fund's investments pursuant to
procedures adopted by the Investment Adviser (the "Valuation Policy"). Under that Rule, the Board has assigned to
the Investment Adviser general responsibility for determining, in accordance with the Valuation Policy, the value of its
investments. The Committee is led by the Chief Financial Officer and is comprised of the Chief Operating Officer/Chief
Compliance Officer, the Fund Accounting team, the Chief Risk Officer (Fund Trustee), and the Director of Operations, all of
whom are independent of the Fund’s portfolio investment decisions. Additionally, Portfolio Managers, whose roles are
limited to providing insight into recent trade activity and overall market performance, are also members of the Committee.
The majority of Committee members are independent of the Fund’s portfolio investment decisions. The Committee meets on
a monthly basis and is responsible for compliance and consistent application of the Valuation Policy.
54
| Saba Capital
Income & Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
ASC
820 establishes a hierarchical disclosure framework which prioritizes and ranks the level of market price observability of inputs
used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type
of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for
which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability
and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and
disclosed in one of the following categories:
Level
1 – Quoted prices available in active markets for identical financial instruments as of the reporting date. An active market
for the financial instrument is a market in which transactions for the financial instrument occur with sufficient frequency and
volume to provide pricing information on an ongoing basis, as well as at the reporting date. Investments classified within Level
1 primarily include money market funds, common stocks, closed end funds, special purpose acquisition companies, exchange traded
derivatives (ex. warrants and rights), and certain government bonds. The Investment Adviser does not adjust the quoted price for
such instruments, even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.
Level
2 – Consists of financial instruments fair valued using inputs other than quoted prices included within Level 1 that are
observable for the financial instrument, either directly or indirectly. This category includes pricing inputs that are quoted
prices for similar financial instruments in active markets or quoted prices for similar or identical financial instruments in
markets that at times may not meet the definition of active. Derivatives are valued using observable inputs, such as quotations
received from third party service providers, counterparties, dealers or brokers, whenever available and considered reliable. In
instances where models are used, the value of a derivative depends upon the contractual terms of, and specific risks inherent
in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference
securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. If inputs are
unobservable and significant to the fair value, these investments will be classified as Level 3.
Level
3 – Pricing inputs that are unobservable for the financial instrument and includes situations where there may be little,
if any, market activity for the financial instrument. The inputs into the determination of fair value could require significant
management judgment or estimation. A financial instrument’s level within the fair value hierarchy is based on the lowest
level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable”
requires significant judgment by the Investment Adviser. The Investment Adviser considers observable data to be market data, which
is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent
sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is
based upon the pricing transparency of the instrument and does not necessarily correspond to the Investment Adviser’s perceived
risk of that instrument.
| Semi-Annual
Report | April 30, 2023 |
55 |
| Saba Capital
Income & Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
The
following table summarizes the valuation of the Fund’s financial instruments in accordance with the above fair value hierarchy
levels as of April 30, 2023. Refer to the portfolio of investments for additional details.
| Investments
in Securities at fair value | |
Level
1 -
Quoted
Prices | | |
Level
2 -
Significant Observable
Inputs | | |
Level
3 -
Significant Unobservable
Inputs | | |
Total | |
| Corporate
Bonds | |
$ | – | | |
$ | 95,654,755 | | |
$ | – | | |
$ | 95,654,755 | |
| Senior Loans | |
| – | | |
| 8,733,581 | | |
| – | | |
| 8,733,581 | |
| Common Stock | |
| 20,868,682 | | |
| 3,105,616 | | |
| 6,271,098 | | |
| 30,245,396 | |
| Convertible Corporate
Bond | |
| – | | |
| 6,343,453 | | |
| – | | |
| 6,343,453 | |
| Closed End Funds | |
| 79,492,186 | | |
| – | | |
| – | | |
| 79,492,186 | |
| Special Purpose Acquisition
Companies | |
| 90,375,477 | | |
| – | | |
| 276,192 | | |
| 90,651,669 | |
| Preferred Stock | |
| – | | |
| 2,040 | | |
| 2,141,507 | | |
| 2,143,547 | |
| Sovereign Debt Obligations | |
| – | | |
| 6,594,417 | | |
| – | | |
| 6,594,417 | |
| Participation Agreement | |
| – | | |
| – | | |
| 2,320,000 | | |
| 2,320,000 | |
| Private Fund | |
| – | | |
| – | | |
| – | | |
| 32,182,001 | * |
| Unit Trust | |
| 22,893,541 | | |
| – | | |
| – | | |
| 22,893,541 | |
| Warrants | |
| 730,543 | | |
| 535,629 | | |
| 41,466 | | |
| 1,307,638 | |
| Rights | |
| 226,528 | | |
| – | | |
| – | | |
| 226,528 | |
| Short Term Security | |
| 568,949 | | |
| – | | |
| – | | |
| 568,949 | |
| Total | |
$ | 215,155,906 | | |
$ | 120,969,491 | | |
$ | 11,050,263 | | |
$ | 379,357,661 | |
| | |
| | | |
| | | |
| | | |
| | |
| Securities
sold short, at fair value | |
Level 1 -
Quoted Prices | | |
Level 2 -
Significant
Observable Inputs
| | |
Level 3 -
Significant
Unobservable Inputs
| | |
Total | |
| Common Stock | |
$ | (13,060,819 | ) | |
$ | – | | |
$ | – | | |
$ | (13,060,819 | ) |
| Exchange Traded | |
| (90,761,559 | ) | |
| – | | |
| – | | |
| (90,761,559 | ) |
| Sovereign Debt Obligation** | |
| (51,147,797 | ) | |
| – | | |
| – | | |
| (51,147,797 | ) |
| Total | |
$ | (154,970,175 | ) | |
$ | – | | |
$ | – | | |
$ | (154,970,175 | ) |
| | |
| | | |
| | | |
| | | |
| | |
| Derivative
contracts, at fair value | |
Level 1 -
Quoted Prices | | |
Level 2 -
Significant
Observable Inputs
| | |
Level 3 -
Significant
Unobservable Inputs
| | |
Total | |
| Assets | |
| | | |
| | | |
| | | |
| | |
| Total Return Swaps | |
$ | – | | |
$ | 782,737 | | |
$ | – | | |
$ | 782,737 | |
| Over the Counter Credit
Default Swaps | |
| – | | |
| 6,015,023 | | |
| – | | |
| 6,015,023 | |
| Centrally Cleared Credit
Default Swaps | |
| – | | |
| 1,991,172 | | |
| – | | |
| 1,991,172 | |
| Forward Foreign Currency
Contracts | |
| – | | |
| 108,491 | | |
| – | | |
| 108,491 | |
| Total Assets | |
$ | – | | |
$ | 8,897,423 | | |
$ | – | | |
$ | 8,897,423 | |
| Liabilities | |
| | | |
| | | |
| | | |
| | |
| Centrally Cleared Credit
Default Swaps | |
$ | – | | |
$ | (2,997,474 | ) | |
$ | – | | |
$ | (2,997,474 | ) |
| Forward foreign currency
contracts | |
| – | | |
| (296,479 | ) | |
| – | | |
| (296,479 | ) |
| Total Return Swaps | |
| – | | |
| (244,039 | ) | |
| – | | |
| (244,039 | ) |
| TBA MBS forward contracts | |
| – | | |
| (25,054 | ) | |
| – | | |
| (25,054 | ) |
| Over the Counter Credit
Default Swaps | |
| – | | |
| (147,832 | ) | |
| – | | |
| (147,832 | ) |
| Total Liabilities | |
$ | – | | |
$ | (3,710,878 | ) | |
$ | – | | |
$ | (3,710,878 | ) |
| * | In
accordance with ASC 820-10, investments that are measured at fair value using the NAV per share (or its equivalent) practical
expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to
permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Schedule of Investments and Consolidated
Statement of Assets and Liabilities. |
| ** | Investments
classified in Level 1 include sovereign debt obligations issued by G10 countries. All other sovereign debt obligations are classified
as Level 2. |
56
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
The
following is a reconciliation of the fair value of investments for which the Fund has used Level 3 unobservable inputs in determining
fair value as of April 30, 2023:
| | |
Preferred
Stock | | |
Participation Agreement | | |
Warrants | | |
Contingent Forward Purchase Agreements | | |
Common
Stock | | |
Special
Purpose Acquisition Companies | | |
Total | |
| Balance
as of October 31, 2022 | |
$ | 2,099,232 | | |
$ | – | | |
$ | 130,286 | | |
$ | 1,268,277 | | |
$ | 706,222 | | |
$ | 286,710 | | |
$ | 4,490,727 | |
| Accrued
discount/ premium | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | |
| Realized
Gain/(Loss) | |
| – | | |
| – | | |
| – | | |
| – | | |
| (11,818 | ) | |
| – | | |
| (11,818 | ) |
| Change
in Unrealized Appreciation/(Depreciation) | |
| 42,275 | | |
| – | | |
| (88,820 | ) | |
| 145,633 | | |
| (236,658 | ) | |
| (10,518 | ) | |
| (148,088 | ) |
| Purchases | |
| – | | |
| 2,320,000 | | |
| – | | |
| – | | |
| 6,000,000 | | |
| – | | |
| 8,320,000 | |
| Sales
Proceeds | |
| – | | |
| – | | |
| – | | |
| (1,413,910 | ) | |
| (186,648 | ) | |
| – | | |
| (1,600,558 | ) |
| Transfer
into Level 3 | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | |
| Transfer
out of Level 3 | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | | |
| – | |
| Balance
as of April 30, 2023 | |
$ | 2,141,507 | | |
$ | 2,320,000 | | |
$ | 41,466 | | |
$ | – | | |
$ | 6,271,098 | | |
$ | 276,192 | | |
$ | 11,050,263 | |
| Net
change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments
held at April 30, 2023 | |
$ | 42,275 | | |
$ | – | | |
$ | (88,820 | ) | |
$ | 145,633 | | |
$ | (236,658 | ) | |
$ | (10,518 | ) | |
$ | (148,088 | ) |
The
Participation Agreement totaling $2,320,000 and Common Stock totaling $1,000,000 were valued at cost. All other Level 3 investments
were valued at April 30, 2023 using unadjusted prices provided by third-party valuation specialists.
C.
Security Transactions and Revenue Recognition. Investment transactions are recorded on a trade-date basis. Dividend
income and expense are recorded on the ex-dividend date. Interest income and expense are recorded on the accrual basis and
include the amortization/accretion of premiums and discounts on fixed income securities using the effective interest method.
Dividend and interest income are recorded net of applicable withholding taxes. Realized gains and losses from security
transactions are computed on the basis of the identified cost of the securities sold or covered. Unrealized gains and losses
are recognized in net change in unrealized appreciation (depreciation) on securities and foreign currency translation on the
Consolidated Statement of Operations. Expenses are recorded on the accrual basis as incurred.
D.
Foreign Currency Translation. Assets and liabilities, including investments, denominated in currencies other than U.S.
dollars are translated into U.S. dollars at the closing rates of exchange on the following basis:
| (1) | Market
value of investment securities, other assets and liabilities — at the exchange rates prevailing at Market Close. |
| (2) | Purchases
and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of
such transactions. |
Purchases
and sales of investments and income and expense items denominated in foreign currencies are translated into U.S. dollars at the
rates of exchange prevailing on the dates of such transactions. Net realized currency translation gains or losses include the
effects of currency movements between trade and settlement dates on investment transactions and the difference between amounts
actually received or paid upon settlement. The Fund does not isolate that portion of the results of operations arising from the
changes in foreign exchange rates from changes in market prices of investments held. Such fluctuations are included in either
net realized gains (losses) on securities and derivative transactions or net change in unrealized appreciation (depreciation)
on securities and derivative transactions in the Consolidated Statement of Operations. Foreign currency translation gains and
losses on assets and liabilities (excluding investments) are included in either net realized gains (losses) on securities transactions
or net change in unrealized appreciation (depreciation) on securities transactions.
E.
Derivatives. In seeking to limit the credit risk associated with transactions in the OTC market, the Fund conducts
business only with recognized financial institutions, the financial condition of which is monitored by the Investment
Manager.
In
compliance with the 1940 Act, the Fund has entered into third party custodial arrangements with all OTC counterparties whereby
initial and variation margin is held in segregated accounts at the U.S. custodial banks. Such amounts may only be accessed by
the counterparties after certain Fund defaults (including bankruptcy) or following any applicable remedies under the Fund’s
International Swaps and Derivative Association (“ISDA”) Master Agreements.
| Semi-Annual Report | April
30, 2023 |
57 |
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
With
cleared swaps, the central counterparty clearinghouses (“CCPs” or “clearinghouses”), as counterparty to
such instruments, guarantees against a possible default. The clearinghouses stand between the buyer and the seller of the contract;
therefore, credit risk is limited to failure of the clearinghouses. While offset rights may exist under applicable law, the Fund
does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the
bankruptcy or insolvency). Additionally, credit risk exists in cleared swaps with respect to initial and variation margin that
is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from
their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall
in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated
on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
In
addition, the Fund's OTC derivative contracts subject to ISDA Master Agreements which contain provisions that may require the
Fund to comply with certain covenants (including minimum NAV and performance based thresholds) and other provisions (occurrence
of a credit event) that may call for early termination and settlement of the derivative at its then fair value. At April 30, 2023,
there are no derivative instruments subject to those covenants and provisions that are in a net liability position. During the
period ended April 30, 2023, the Fund did not trigger covenants related to minimum NAV and performance based thresholds.
Forward
Foreign Currency Contracts: The Fund has entered into forward foreign currency contracts primarily to hedge against foreign
currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a currency forward foreign
contract, the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future
date. These contracts are valued daily and the Fund’s net equity therein, representing unrealized gain or loss on the contracts
as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward
rates at the reporting date, is included in the Consolidated Statement of Assets and Liabilities. Realized and unrealized gains
and losses are included in the Consolidated Statement of Operations. These instruments involve market and/or credit risk in excess
of the amount recognized in the Consolidated Statement of Assets and Liabilities. Risks arise from the possible inability of counterparties
to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign
currency contracts are presented within the respective Consolidated Schedule of Investments.
For
the period ended April 30, 2023, the Fund had an average quarterly contract amount on forward foreign currency contracts to buy
and sell of $25,383,333 and $2,500,000 respectively.
Credit
Default Swaps: The Fund expects to enter into various swap agreements including, but not limited to credit default swaps
(“CDS”), as a part of its investment strategy. Generally, a swap contract is an agreement that obligates two parties
to exchange a series of cash flows at specified intervals based on or calculated by reference to changes in specified prices or
rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with
the difference paid by one party to the other.
The
fair value of open swaps reported in the Consolidated Statement of Assets and Liabilities may differ from that which would be
realized if the Fund terminated its position in the contract. Risks may arise as a result of the failure of the counterparty to
the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally
limited to the aggregate fair value of swap contracts in an unrealized gain position and collateral posted with the counterparty.
The risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the counterparty posting
collateral to the Fund to cover the Fund’s exposure to the counterparty. The Fund considers the creditworthiness of each
counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements
in the fair value of the underlying investments.
Swap
agreements may also be centrally cleared through a clearing house (“cleared swaps”), where immediately following execution
of the swap contract, the swap contract is novated to the CCP and the Fund’s counterparty on the swap agreement becomes
the CCP. The Fund is required to interface with the CCP through the broker. Upon entering into a cleared swap, the Fund is required
to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and
risk profile of the particular swap. Pursuant to the contract, the Fund agrees to receive from or pay to the broker. Cleared swaps
mitigate the Fund’s exposure to counterparty risk since the CCP, as the counterparty to all cleared swaps, guarantees the
swap contracts against default.
CDS
contracts involve an arrangement between the Fund and a counterparty which allows the Fund to protect against losses (when the
Fund purchases a CDS) incurred as a result of default by a specified reference entity. Generally, the Fund pays or receives a
premium upfront and continues to pay periodic interest payments while the counterparty agrees to make a payment to compensate
the Fund for losses upon the occurrence of a specified credit event. Alternatively, when the Fund sells a CDS, it receives premium
payments in exchange for assuming the credit risk of the specified reference entity. Generally, the counterparty pays or receives
a premium upfront and continues to pay periodic interest payments while the Fund agrees to make a payment to compensate the counterparty
for losses upon the occurrence of a specified credit event. Although contract-specific, credit events generally include bankruptcy,
failure to pay, and restructuring. Upon the occurrence of a defined credit event, the difference between the value of the reference
obligation and the swap’s notional amount is recorded as realized gain or loss in the Consolidated Statement of Operations.
When the contract is terminated prior to the occurrence of a credit event, the Fund records a realized gain or loss equal to the
difference between the close-out price of the CDS contract and the original contract price. Upfront fees are recorded as components
of the costs or proceeds to the CDS contract and amortized over the life of the contract on a straight line basis. During the
period ended April 30, 2023, the Fund had been both a purchaser and a seller of CDS contracts. For the period ended April 30,
2023, the average quarter-end USD equivalent notional amount of credit default swaps - protection purchased and protection sold
was $110,963,375 and $230,563,422, respectively.
58
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
Total
Return Swaps: Total return swap contracts involve the exchange by the Fund and a counterparty of their respective commitments
to pay or receive a net amount based on the change in the fair value of a particular security or index, specified interest rates
for fixed rate payments, and the notional amount of the swap contract. For the period ended April 30, 2023, the average quarterly
USD equivalent notional amount of total return swaps where the Fund was either long or short the underlying asset was $37,466,293
and $2,621,850, respectively.
Offsetting
Assets and Liabilities and Counterparty Risk: In connection with its derivative activities, the Fund generally enters
into master netting agreements and collateral agreements with its counterparties. These agreements provide the Fund with the right,
in the event of a default by the counterparty (such as bankruptcy or a failure to pay or perform), to net a counterparty’s
rights and obligations under the agreement and to liquidate and setoff collateral against any net amount owed by the counterparty.
The Fund’s policy is generally to receive cash posted as collateral (with rights of re-hypothecation), irrespective of the
enforceability determination regarding the master netting and collateral agreement.
The
following tables present information about the offsetting of OTC derivatives and related collateral amounts.
Offsetting
of Financial Assets and Derivative Assets as of April 30, 2023
| Counterparty | |
Gross Amounts of Recognized Assets | | |
Offsetting
Liability(a) | | |
Collateral
Received(b) | | |
Net Amount | |
| Goldman Sachs International | |
$ | 3,220,564 | | |
$ | – | | |
$ | (1,590,000 | ) | |
$ | 1,630,564 | |
| Morgan Stanley Capital Services | |
| 1,796,560 | | |
| (1,026 | ) | |
| (1,192,850 | ) | |
| 602,684 | |
| JPMorgan Chase Bank, N.A. | |
| 1,292,417 | | |
| (540,518 | ) | |
| (751,899 | ) | |
| – | |
| Barclays Bank PLC | |
| 596,710 | | |
| (146,806 | ) | |
| (280,408 | ) | |
| 169,496 | |
| | |
$ | 6,906,251 | | |
$ | (688,350 | ) | |
$ | (3,815,157 | ) | |
$ | 2,402,744 | |
Offsetting
of Financial Liabilities and Derivative Liabilities as of April 30, 2023
| Counterparty | |
Gross Amounts of Recognized Liabilities | | |
Offsetting
Asset(a) | | |
Collateral
Pledged(b) | | |
Net Amount | |
| Morgan Stanley & Company | |
$ | (25,054 | ) | |
$ | – | | |
$ | 25,054 | | |
$ | – | |
| Morgan Stanley Capital Services | |
| (1,026 | ) | |
| 1,026 | | |
| – | | |
| – | |
| JPMorgan Chase Bank, N.A. | |
| (540,518 | ) | |
| 540,518 | | |
| – | | |
| – | |
| Barclays Bank PLC | |
| (146,806 | ) | |
| 146,806 | | |
| | | |
| – | |
| | |
$ | (713,404 | ) | |
$ | 688,350 | | |
$ | 25,054 | | |
$ | – | |
| (a) | Represents
the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements
that management elects not to offset on the Consolidated Statement of Assets and Liabilities. |
| (b) | Collateral
pledged/received is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts
pledged/received may exceed these amounts and may fluctuate in value. |
| Semi-Annual Report | April
30, 2023 |
59 |
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
The
following table, grouped by risk exposure, provides information about the fair value and location of derivatives within the Consolidated
Statement of Assets and Liabilities as of April 30, 2023.
| Risk Exposure | |
Statement of Assets and Liabilities Location | |
Asset Derivatives Gross Unrealized Appreciation | | |
Liability Derivatives Gross Unrealized Depreciation | |
Credit Risk
(Credit Default Swaps) | |
Credit default swaps, at fair value | |
$ | 6,015,023 | | |
$ | 147,832 | |
| | |
Variation margin receivable/payable on centrally cleared swaps | |
| 4,096 | | |
| 447,247 | |
Equity/Market Risk
(Total Return Swaps) | |
Unrealized appreciation/depreciation on total return swap contracts | |
| 782,737 | | |
| 244,039 | |
Interest Rate Risk
(TBA MBS Forward Contracts) | |
Unrealized appreciation/depreciation on TBA MBS forward contracts | |
| - | | |
| 25,054 | |
Foreign Exchange Risk
(Foreign Currency Contracts) | |
Unrealized appreciation/depreciation on foreign currency contracts | |
| 108,491 | | |
| 296,479 | |
| Total | |
| |
$ | 6,910,347 | | |
$ | 1,160,651 | |
| Risk Exposure | |
Statement of Operations Location | |
Net Realized Gain/(Loss) | | |
Net Change in Unrealized Appreciation/ (Depreciation) | |
Credit Risk
(Credit Default Swap Contracts) | |
Net realized gain/(loss) on credit default swap contracts/Net change in unrealized appreciation/(depreciation) on credit default swap contracts | |
$ | 3,547,285 | | |
$ | (2,658,660 | ) |
Equity/Market
(Total Return Swaps) | |
Net realized gain/(loss) on total return contracts/Net change in unrealized appreciation/(deprecation) on total return swaps | |
| (2,876,574 | ) | |
| 562,421 | |
Interest Rate Risk
(TBA MBS forward contracts) | |
Net realized gain/(loss) on TBA MBS Forward Contracts/Net change in unrealized appreciation/(deprecation) on TBA MBS Forward Contracts | |
| - | | |
| (25,054 | ) |
Foreign Exchange Risk
(Foreign Currency Contracts) | |
Net realized gain/(loss) on forward currency contracts/Net change in unrealized appreciation/(deprecation) on forward foreign currency contracts | |
| (1,262,886 | ) | |
| (466,280 | ) |
| Total | |
| |
$ | (592,175 | ) | |
$ | (2,587,573 | ) |
F.
Financial Instruments. Financial instruments, at fair value include contingent forward purchase contracts. Such
financial instruments represent future commitments to purchase certain securities to be issued, generally by SPACs or their
target companies, at specified terms subject to certain contingencies. These contingencies allow the Fund and/or
counterparties not to settle such contracts if those contingencies do not occur. Contingent forward purchase contracts may be
illiquid and are reflected on the Consolidated Statement of Assets and Liabilities at fair value. The net change in
unrealized gains and losses on contingent forward purchase contracts is reflected in net change in unrealized gain/(loss) on
financial instruments on the Consolidated Statement of Operations.
60
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
G.
Federal Income Taxes. It is the policy of the Fund to comply with the requirements of subchapter M of the Internal
Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its net investment
income and any net realized capital gains to its shareholders. Therefore, a federal income tax or excise tax provision is not
required. Management has considered the sustainability of the Fund’s tax positions taken on federal income tax returns
for all open tax periods in making this determination. No capital gain distributions shall be made until the capital loss
carryforwards have been fully utilized.
The
Fund may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions
of income or gain.
H.
Distributions to Common Shareholders. The Fund will make monthly distributions to shareholders at an initial annual
minimum fixed rate of 12.00% (8.00% for distributions declared prior to January 2022), based on the average monthly net asset
value of the Fund’s common shares. The Fund will calculate the average net asset value from the previous month based on
the number of Business Days in that month on which the net asset value is calculated. The distribution will be calculated as
12.00% of the previous month’s average net asset value, divided by twelve. The Fund will generally distribute amounts
necessary to satisfy the Fund’s plan and the requirements prescribed by excise tax rules and Subchapter M of the
Internal Revenue Code. The plan is intended to provide shareholders with a constant, but not guaranteed, fixed minimum rate
of distribution each month and is intended to narrow the discount between the market price and the net asset value of the
Fund’s common shares, but there is no assurance that the plan will be successful in doing so.
Under
the managed distribution plan, to the extent that sufficient investment income is not available on a monthly basis, the Fund will
distribute capital gains and/or return of capital in order to maintain its managed distribution rate. No conclusions should be
drawn about the Fund’s investment performance from the amount of the Fund’s distributions or from the terms of the
Fund’s managed distribution plan. The Board may amend the terms of the plan or terminate the plan at any time. The amendment
or termination of the plan could have an adverse effect on the market price of the Fund’s common shares. The plan will be
subject to the periodic review by the Board, including a yearly review of the annual minimum fixed rate to determine if an adjustment
should be made.
I.
Dividend Reinvestments. The Fund maintains a Shareholder Reinvestment Program (the “Program”) that
allows participating shareholders to reinvest all dividends ("Dividends") in additional Common Shares of the Fund.
Pursuant to the Program, ALPS Fund Services, Inc. (“ALPS”), the Program administrator, purchases, from time to
time, Common Shares on the open market to satisfy Dividend reinvestments. Such Common Shares are purchased on the open market
only when the closing sale or bid price plus commission is less than the NAV per share of the Fund's Common Shares on the
valuation date. If the market price plus commissions is equal to or exceeds NAV, new Common Shares are issued by the Fund at
the greater of (i) NAV or (ii) the market price of the Common Shares during the pricing period, minus a discount of 5%.
Common Shares issued by the Fund under the Program will be issued without a fee or a commission.
Shareholders
may elect to participate in the Program by submitting a completed participation form to ALPS, the Program administrator. The Program
administrator will credit to each participant's account funds it receives from Dividends paid on Common Shares of the Fund registered
in the participant's name. Shareholders may elect to close their account at any time by giving the Transfer Agent written notice.
When a participant closes their account, the participant, upon request, will receive a certificate for full Common Shares in the
account. Fractional Common Shares will be held and aggregated with other fractional Common Shares being liquidated by the Transfer
Agent as agent of the Program and paid for by check when actually sold.
Participants
will pay a pro rata share of brokerage commissions with respect to the Program administrator's open market purchases in connection
with the reinvestment of Dividends.
The
automatic reinvestment of Dividends does not affect the tax characterization of the Dividends (i.e., capital gain distributions
and income distributions are realized and subject to tax even though cash is not received). A shareholder whose Dividends are
reinvested in Common Shares under the Program will be treated as having received a Dividend equal to either (i) if Common Shares
are issued under the Program directly by the Trust, generally the fair market value of the Common Shares issued to the shareholder
or (ii) if reinvestment is made through open market purchases, the amount of cash allocated to the shareholder for the purchase
of Common Shares on its behalf in the open market.
Additional
information about the Program may be obtained by contacting the Program administrator at 844-460-9411 or BRWSabaCapital@dstsystems.com.
J.
Share Offerings. The Fund issues shares under various shelf registration statements, whereby the net proceeds
received by the Fund from share sales may not be less than the greater of (i) the NAV per share or (ii) 94% of the average
daily market price over the relevant pricing period.
K.
Indemnifications. In the normal course of business, the Fund may enter into contracts that provide certain
indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made
against the Fund and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss
from such claims remote.
| Semi-Annual Report | April
30, 2023 |
61 |
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
L.
Basis of Consolidation. The Fund invests in certain investments through its investment in BRW SPV I. The BRW SPV I
is a Cayman Islands Exempted Company with Limited Liability and is a wholly-owned subsidiary of the Fund. The accompanying
consolidated financial statements include all assets, liabilities, and results of operations of the Fund and its wholly owned
subsidiary. All material intercompany accounts and transactions have been eliminated upon consolidation. For tax purposes,
the Fund is required to increase its net taxable income by its share of the BRW SPV I’s income. Net taxable losses
incurred by the BRW SPV I cannot offset income earned by the Fund and cannot be carried back or forward by the BRW SPV I to
offset income from prior or future years.
NOTE 3
— INVESTMENTS
For
the period ended April 30, 2023, the cost of purchases and the proceeds from principal repayment and sales of investments, excluding
short-term notes, totaled $133,629,415 and $295,859,162, respectively. The fair value of these assets is established as set forth
in Note 2.
At
April 30, 2023, the Fund held senior loans valued at $8,733,581 representing 2.36% of its total net assets. The senior loans acquired
by the Fund typically take the form of a direct lending relationship with the borrower, and are typically acquired through an
assignment of another lender’s interest in a loan. The lead lender in a typical corporate loan syndicate administers the
loan and monitors the collateral securing the loan. In the event that the lead lender becomes insolvent, enters Federal Deposit
Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain
costs and delays in realizing payment, or may suffer a loss of principal and/or interest.
At
April 30, 2023, the Fund held corporate bonds and sovereign debt obligations valued at $95,654,755 and $6,594,417, respectively,
which represent 25.81% and 1.78% of its total net assets. Changes in short-term market interest rates will directly affect the
yield on variable rate notes. If short-term market interest rates fall, the yield on variable rate notes will also fall. To the
extent that the interest rate spreads on loans in the Fund's portfolio experience a general decline, the yield on the Common Shares
will fall and the value of the Fund’s assets may decrease, which will cause the Fund’s NAV to decrease. Conversely,
when short-term market interest rates rise, because of the lag between changes in such short-term rates and the resetting of the
floating rates on assets in the Fund’s portfolio, the impact of rising rates will be delayed to the extent of such lag.
In the case of inverse securities, the interest rate paid by such securities generally will decrease when the market rate of interest
to which the inverse security is indexed increases. With respect to investments in fixed rate instruments, a rise in market interest
rates generally causes values of such instruments to fall. The values of fixed rate instruments with longer maturities or duration
are more sensitive to changes in market interest rates.
Certain
common and preferred stock, and stock purchase warrants held in the portfolio were acquired in conjunction with loans held by
the Fund. Certain stocks and warrants are restricted and may not be publicly sold without registration under the 1933 Act, or
without an exemption under the 1933 Act. In some cases, these restrictions expire after a designated period of time after issuance
of the shares or warrants.
At
April 30, 2023, the Fund held SPACs valued at $90,651,669 representing 24.46% of its total net assets. A SPAC is a publicly traded
company formed for the purpose of raising capital through an initial public offering to fund the acquisition, through a merger,
capital stock exchange, asset acquisition or other similar business combination, of one or more operating businesses that are
typically not publicly-listed. Following the acquisition of a target company, a SPAC's management team may exercise control over
the management of the combined company in an effort to increase its value. Often now, though, management of the target company
will continue to manage the now publicly-traded business subsequent to completion of its business combination with the SPAC. Capital
raised through the initial public offering of securities of a SPAC is typically placed into a trust account until acquired business
combination is completed or a predetermined period of time (typically 24 months) elapses. Shareholders in a SPAC would receive
a return on their investment in the event that a target company is acquired and the combined publicly-traded company's shares
trade above the SPAC's initial public offering ("IPO") price, or alternatively, the market price at which an investor
acquired a SPAC's shares subsequent to its IPO. In the event that a SPAC is unable to locate and acquire a target business by
the timeframe established at the time of its IPO, the SPAC would be forced to liquidate its assets, which may result in losses
due to the expenses and liabilities of the SPAC, to the extent third-parties are permitted to bring claims against IPO proceeds
held in the SPAC's trust account.
At
April 30, 2023, the Fund held Closed End Mutual Funds (Globally) valued at $79,492,186 representing 21.45% of its total net assets.
A closed-end fund (“CEF”) or closed-ended fund is a collective investment issuing a fixed number of shares which are
not redeemable from the fund. Shares can be purchased and sold in the market and are subject to market fluctuations.
At
April 30, 2023, the Fund held an investment in an unaffiliated private fund, Stone Ridge Opportunities Fund Feeder LP (“Stone
Ridge Feeder Fund”), valued at $32,182,000, representing 8.68% of its net assets. The Stone Ridge Feeder Fund is a Cayman
Islands exempted limited partnership which invests substantially all of its investable assets in Stone Ridge Reinsurance Opportunities
Fund LP (“Stone Ridge Master Fund”). Stone Ridge Master Fund’s investment objective is to achieve long-term
capital appreciation by investing primarily in shares or notes issued in connection with quota shares and, to a lesser extent,
other reinsurance related securities, including shares or notes issued in connection with excess-of-loss, stop-loss or other non-proportional
reinsurance shares or notes issued in connection with industry loss warranties, event-linked or catastrophe bond, event-linked
swaps and/or derivatives linked to any of the foregoing (collectively, “reinsurance-related securities”). At April
30, 2023, the Fund does not have any outstanding capital commitments to the Stone Ridge Feeder Fund. The Fund may only make withdrawals
from the Stone Ridge Feeder Fund on an annual basis at December 31, subject to notice by October 15 of the year immediately prior
to the year in which the withdrawal request date occurs.
62
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
At
April 30, 2023, the Fund held warrants valued at $1,307,638 representing 0.35% of its net assets. The Fund may purchase warrants
issued by domestic and foreign companies to purchase newly created equity securities consisting of common and preferred stock.
Warrants are securities that give the holder the right, but not the obligation, to purchase equity issues of the company issuing
the warrants, or a related company, at a fixed price either on a certain date or during a set period. The equity security underlying
a warrant is authorized at the time the warrant is issued or is issued together with the warrant. Investing in warrants can provide
a greater potential for profit or loss than an equivalent investment in the underlying security and, thus, can be a speculative
investment. At the time of issue, the cost of a warrant is substantially less than the cost of the underlying security itself,
and price movements in the underlying security are generally magnified in the price movements of the warrant. The leveraging effect
enables the investor to gain exposure to the underlying security with a relatively low capital investment. This leveraging increases
an investor’s risk, as a complete loss of the amount invested in the warrant may result in the event of a decline in the
value of the underlying security. In addition, the price of a warrant tends to be more volatile than, and may not correlate exactly
to, the price of the underlying security. If the market price of the underlying security is below the exercise price of the warrant
on its expiration date, the warrant will generally expire without value. The value of a warrant may decline because of a decline
in the value of the underlying security, the passage of time, changes in interest rates or in the dividend or other policies of
the company whose equity underlies the warrant, a change in the perception as to the future price of the underlying security,
or any combination thereof. Warrants generally pay no dividends and confer no voting or other rights other than to purchase the
underlying security.
NOTE 4
— INVESTMENT MANAGEMENT FEES
The
Fund has entered into an investment management agreement (“Management Agreement”) with the Investment Adviser. The
Investment Adviser has overall responsibility for the management of the Fund. The Investment Adviser oversees all investment advisory
and portfolio management services for the Fund and assists in managing and supervising all aspects of the general day-to-day business
activities and operations of the Fund, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance
and related services. This Management Agreement compensates the Investment Adviser with a fee, computed daily and payable monthly,
at an annual rate of 1.05% of the Fund’s managed assets. For purposes of the Management Agreement, managed assets (“Managed
Assets”) are defined as the Fund’s average daily gross asset value, minus the sum of the Fund’s accrued and
unpaid dividends on any outstanding Preferred Shares and accrued liabilities (other than liabilities for the principal amount
of any borrowings incurred, commercial paper or notes issued by the Fund and the liquidation preference of any outstanding Preferred
Shares).
NOTE 5
— EXPENSE LIMITATION AGREEMENT
The
Investment Adviser has agreed to limit expenses, excluding interest, taxes, investor relations services, other investment-related
costs, leverage expenses, extraordinary expenses, other expenses not incurred in the ordinary course of such Fund’s business,
and expenses of any counsel or other persons or services retained by such Fund’s trustees who are not interested persons,
to 1.05% of Managed Assets plus 0.15% of average daily net assets.
The
Investment Adviser may at a later date recoup from the Fund for fees waived and/or other expenses reimbursed by the Investment
Adviser during the previous 36 months, but only if, after such recoupment, the Fund’s expense ratio does not exceed the
percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed
fees are reflected on the accompanying Consolidated Statement of Operations. Amounts payable by the Investment Adviser are reflected
on the accompanying Consolidated Statement of Assets and Liabilities.
As
of April 30, 2023, the amount of waived and/or reimbursed fees that are subject to recoupment by the Investment Adviser and the
related expiration dates are as follows:
April 30, 2023 | | |
April 30, 2024 | | |
April 30, 2025 | | |
April 30, 2026 | | |
Total | |
| $ | – | | |
$ | – | | |
$ | 882,589 | | |
$ | 1,560,283 | | |
$ | 2,442,872 | |
The
expense limitation agreement is contractual through July 1, 2023 and shall renew automatically for one-year terms. Termination
or modification of this obligation requires approval by the Board.
NOTE 6
— TRANSACTIONS WITH AFFILIATES AND OTHER PARTIES
At
April 30, 2023, entities advised by Saba Capital Management owned approximately 8.19% of the Fund.
| Semi-Annual Report | April
30, 2023 |
63 |
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
NOTE 7
— GUARANTEES AND COMMITMENTS
Effective
July 20, 2021, the Fund has entered into a revolving credit agreement, collateralized by assets of the Fund, to borrow up to $200,000,000
maturing July 19, 2023. Borrowing rates under this agreement are based on a fixed spread over OBFR, and a commitment fee is charged
on the unused portion. The amount of borrowings outstanding at April 30, 2023, was $68,000,000. The weighted average interest
rate on outstanding borrowings at April 30, 2023 was 5.60%, excluding fees related to the unused portion of the facilities, and
other fees. The amount of borrowings represented 11.16% of total assets at April 30, 2023. Average borrowings for the period ended
April 30, 2023 were $111,408,537 and the average annualized interest rate was 5.00% excluding other fees related to the unused
portion of the facility, and other fees.
In
the normal course of trading activities, the Fund trades and holds certain derivatives which constitute guarantees under ASC 460-10, “Guarantees”. Such contracts include credit default swaps (index and single name) where the Fund is a provider
of credit protection on an underlying instrument The maximum payouts for such credit default swaps (index and single name) is
limited to the notional amounts of each contract and would be offset by recovery amounts on the underlying reference obligations
or if the Fund holds offsetting contracts for the same underlying reference obligations.
NOTE 8
— CAPITAL SHARES
As
of April 30, 2023, there were 42,529,493 shares issued and outstanding. Transactions in capital shares and dollars were as follows:
| Year
or |
Shares
repurchased
|
Shares
repurchased
in
tender
offer
|
Net
increase
(decrease)
in
shares
outstanding
|
Shares
repurchased
|
Shares
repurchased
in
tender
offer
|
Net
increase
(decrease)
|
| period ended |
# |
# |
# |
($) |
($) |
($) |
| 4/30/2023 |
– |
– |
– |
– |
– |
– |
| 10/31/2022 |
– |
– |
– |
– |
– |
– |
| 10/31/2021 |
(164,609) |
(18,226,686) |
(18,391,295) |
(1,536,542) |
(176,835,308) |
(178,371,850) |
Effective
May 20, 2022, the Fund completed a reverse stock split (the "Reverse Split") of the Fund's common shares at a ratio
of 1-for-2. The Reverse Split reduced the number of the Fund's authorized common shares from 85,058,986 shares to 42,529,493 shares.
NOTE 9
— FEDERAL INCOME TAXES
The
amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income
tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent.
Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences
are not reclassified. Key differences include the treatment of foreign currency transactions, capital loss carryforwards, and
wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported
as return of capital.
Dividends
paid by the Fund from net investment income and distributions of net realized short-term capital gains are, for federal income
tax purposes, taxable as ordinary income to shareholders.
The
tax character of the distributions paid during the years ended October 31, 2022 and October 31, 2021 were as follows:
| | |
October 31,
2022 | | |
October 31,
2021 | |
| Distributions Paid From: | |
| | | |
| | |
| Ordinary Income | |
$ | 13,029,565 | | |
$ | 6,547,360 | |
| Net Long-Term Capital Gain | |
| – | | |
| – | |
| Return of Capital | |
| 31,967,059 | | |
| 10,199,218 | |
| Total Distributions Paid | |
$ | 44,996,624 | | |
$ | 16,746,578 | |
64
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
As
of the year ended October 31, 2022, the components of distributable earnings (loss) on a tax basis were as follows:
| | |
Saba Capital Income & Opportunities Fund | |
| Undistributed ordinary income | |
$ | – | |
| Accumulated capital and other losses | |
| (162,974,473 | ) |
| Unrealized Appreciation (Depreciation) | |
| (22,206,281 | ) |
| Distributable Earnings (Loss) | |
| (371,839 | ) |
| Total | |
$ | (185,552,593 | ) |
At
April 30, 2023, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost of investments
for federal income tax purposes were as follows:
| | |
Saba Capital Income & Opportunities Fund | |
| Cost of investments for income tax purposes | |
$ | 382,007,702 | |
| Gross appreciation (excess of value over tax cost) | |
$ | 25,522,951 | |
| Gross depreciation (excess of tax cost over value) | |
| (28,172,992 | ) |
| Net appreciation of foreign currency and derivatives | |
| 10,343,784 | |
| Net unrealized depreciation | |
$ | 7,693,743 | |
The
differences between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences
in recognizing certain gains and losses in security transactions.
As
of the year ended October 31, 2022, the Fund had non-expiring accumulated capital loss carryforwards as follows:
To
the extent that a fund may realize future net capital gains, those gains will be offset by any of its unused capital loss carryforward.
Future capital loss carryover utilization in any given year may be subject to Internal Revenue Code limitations.
| Fund | |
Short Term | | |
Long Term | | |
Total | |
| Saba Capital
Income & Opportunities Fund | |
$ | 18,689,049 | | |
$ | 144,285,424 | | |
| 162,974,473 | |
| Fund | |
Increase/(Decrease) Paid-in capital | | |
Increase/(Decrease) Total
Distributable Earnings | |
| Saba Capital Income & Opportunities Fund | |
$ | 23,683 | | |
$ | (23,683 | ) |
Capital
loss carryovers used during the year ended October 31, 2022, were $1,822,120.
The Fund’s major tax jurisdictions are U.S.
federal and New York State.
As
of April 30, 2023, no provision for income tax is required in the Fund’s consolidated financial statements as a result of
tax positions taken on federal and state income tax returns for open tax years. The Fund’s federal and state income and
federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination
by the Internal Revenue Service and state department of revenue. Generally, the preceding four tax years remain subject to examination
by these jurisdictions.
NOTE 10
— OTHER ACCOUNTING PRONOUNCEMENTS
In
March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU
2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting.
The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract
modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021.
ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020
through December 31, 2022. FASB has deferred the sunset date to December 31, 2024. Management is currently evaluating the impact,
if any, of the ASU 2020-04's adoption to the Fund’s consolidated financial statements.
| Semi-Annual Report | April
30, 2023 |
65 |
| Saba Capital Income &
Opportunities Fund |
Notes
to Consolidated Financial Statements |
April
30, 2023 (Unaudited)
NOTE 11
— SUBSEQUENT EVENTS
Subsequent
to April 30, 2023 and through the date of issuance of the Fund’s consolidated financial statements, the Fund paid the following
dividends:
| Per
Share Amount |
Declaration
Date |
Record
Date |
Payable
Date |
| $0.088 |
04/28/2023 |
05/09/2023 |
05/31/2023 |
| $0.086 |
05/31/2023 |
06/09/2023 |
06/30/2023 |
Beginning
with the distributions for which the declaration date is June 30, 2023, the Fund will (a) for the distributions for which the
declaration dates fall within the months of December, January, February, March, April, and May (each, a “First Half Distribution”),
calculate the average net asset value of the month equal to (i) in the case of the First Half Distribution for which the declaration
date falls within December, such month of December (the “Current December NAV Month”) and (ii) in the case of the
First Half Distributions for which the declaration dates fall within January, February, March, April, and May, the month of December
from the previous calendar year (the “Previous December NAV Month” and together with the Current December NAV Month,
the “First Half NAV Month”), and each First Half Distribution shall be calculated based on the average net asset value
of the First Half NAV Month, and (b) for the distributions for which the declaration dates fall within the months of June, July,
August, September, October, and November (each, a “Second Half Distribution”), calculate the average net asset value
of the month of June from the current calendar year (the “Second Half NAV Month” and together with the First Half
NAV Month, each a “NAV Month”), and each Second Half Distribution shall be calculated based on the average net asset
value of the Second Half NAV Month. Such average net asset value calculations for a NAV Month will be based on the number of business
days in such applicable NAV Month. The distribution will be calculated as 12.00% of the applicable NAV Month's average net asset
value, divided by twelve. The Fund will generally distribute amounts necessary to satisfy the Fund's plan and the requirements
prescribed by excise tax rules and Subchapter M of the Internal Revenue Code. The plan is intended to provide shareholders with
a constant, but not guaranteed, fixed minimum rate of distribution each month and is intended to narrow the discount between the
market price and the net asset value of the Fund's common shares, but there is no assurance that the plan will be successful in
doing so.
66
| Saba Capital Income &
Opportunities Fund |
Additional
Information |
April
30, 2023 (Unaudited)
PROXY VOTING
INFORMATION
The
Board has delegated the responsibility to vote proxies for securities held in the Fund’s portfolio to the Investment Manager.
Proxies for the portfolio securities are voted in accordance with the Investment Manager’s proxy voting policies and procedures.
To the extent the Fund invests in investment companies, it will generally either seek instruction from the Fund’s shareholders
and vote in accordance with such instructions or vote the shares held by the Fund in the same proportion as the vote of all other
holders of the securities of the investment company. Information regarding how the Fund voted proxies relating to its portfolio
securities during the most recent 12-month period ended June 30 is available without charge on the Fund’s website at www.sabacef.com
and (2) on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The
Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form
NPORT-P. The Fund’s Forms NPORT-P are available on the SEC’s website at www.sec.gov. The Fund’s complete schedule
of portfolio holdings is available at www.sabacef.com.
| Semi-Annual Report | April
30, 2023 |
67 |
| Saba Capital Income &
Opportunities Fund |
Consideration
and Approval of the Investment Management Agreement |
April
30, 2023 (Unaudited)
At
a meeting held on March 24, 2023, the Board of Trustees (the “Board” or the “Trustees”) of Saba Capital
Income & Opportunities Fund (the “Fund”), including all of the Non-interested Trustees, considered and unanimously
approved the renewal of the Investment Management Agreement (the “Management Agreement”) between Saba Capital Management,
LP (“Saba”) and the Fund. In determining to approve the renewal of the Management Agreement the Board discussed and
considered materials which had been distributed to them in advance of the meeting and prepared by Saba, including responses to
a questionnaire provided by the Fund’s independent counsel with respect to certain matters that counsel believed relevant
to the approval of the renewal of the Management Agreement under Section 15 of the Investment Company Act of 1940. In addition,
the Board met with representatives from Saba and had the opportunity to ask them questions.
In
its deliberations, the Board did not identify any single factor as being determinative. Rather, the Board’s approval was
based on each Trustee’s business judgment after consideration of the information as a whole. Individual Trustees may have
weighed certain factors differently and assigned varying degrees of materiality to information considered by the Board.
The
principal factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the Management
Agreement are discussed below
Nature,
Extent and Quality of Services. The Board considered the nature, extent and quality of services provided to the Fund under
the Management Agreement. The Board discussed the services provided by Saba to the Fund as well as the key personnel of the Adviser
providing these services. The Board concluded that, overall, they were satisfied with the nature, extent and quality of services
provided to the Fund by Saba under the Management Agreement.
Performance.
In considering whether to approve the renewal of the Management Agreement, the Board reviewed the investment performance of
the Fund over the past year and since Saba was approved as the Fund’s investment adviser (June 4, 2021) and compared it
to the Fund’s benchmark and selected peer group. It was noted that the one-year annualized return as of 1/31/2023 for the
Fund was 6.10% while HYG was -5.21% during the same period. The Board also noted the long-term experience of the principals of
Saba in managing securities portfolios, as well as their longstanding experience in seeking out opportunities in the market that
have attractive risk reward characteristics. The Board noted satisfaction with the current performance of the Fund and for the
period since Saba became the Fund’s investment adviser.
Fees
and Expenses. In reviewing the fees and expenses for the Fund, the Board considered that the advisory fee charged by Saba
was comparable to advisory fees paid by other funds in the Fund’s peer group. The Board also noted that Saba has entered
into an expense limitation agreement with the Fund to keep expenses low and that they were being asked to agree to the terms of
a new expense limitation agreement in conjunction with the approval of the renewal of the Management Agreement. The Board separately
determined that the advisory fee payable to Saba was not unreasonable in light of the nature, extent and quality of the services
that Saba provides. Based on the factors above, the Board concluded that the advisory fee was not unreasonable.
Profitability.
Saba provided the Board with a summary and analysis of Saba’s costs and pre-tax profitability with respect to the management
of the Fund. The Board concluded that Saba’s profitability from its relationship with the Fund, after taking into account
a reasonable allocation of costs, was not excessive.
Economies
of Scale. The Board considered whether Saba would realize economies of scale with respect to the management services provided
to the Fund. The Board noted that the Fund, as a closed-end fund, generally does not issue new shares and is less likely to realize
economies of scale from additional share purchases. The Board considered that Saba believed that there could be economies of scale
realized if the Fund did grow in size and there was an opportunity for Saba to continue to attempt to reduce certain third-party
service provider fees down and negotiate for certain lower fees in the service contracts with these third parties. The Board also
considered the extent to which economies of scale realized by Saba could be shared with the Fund through fee waivers and expense
reimbursements.
Other
Benefits. The Board considered the character and amount of other direct and incidental benefits received by Saba and its
affiliates from their association with the Fund. The Board considered that Saba anticipated no other sources of income or benefit
in connection with managing the Fund and did not expect to market the Fund to its existing private clients or use soft dollars
to any notable extent.
Conclusion.
The Board, having requested and received such information from Saba as it believed reasonably necessary to evaluate the terms
of the renewal of the Management Agreement, and having been advised by its Independent Counsel that the Board had appropriately
considered and weighed all relevant factors, determined that approval of the Management Agreement was in the best interests of
the Fund and its shareholders. In considering the approval of the renewal of the Management Agreement, the Board considered a
variety of factors, including those discussed above, and also considered other factors (including conditions and trends prevailing
generally in the economy, the securities markets, and the closed-end fund industry). None of the factors weighed against the approval
of the renewal of the Management Agreement. The Board did not identify any one factor as determinative, and different Board members
may have given different weight to different individual factors and related conclusions.
68
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
Introduction
Your
privacy is very important to us. This notice (this “Privacy Notice”) is provided by Saba Capital Management, L.P.
(the “Investment Manager”) and any of the investment funds and accounts managed by the Investment Manager (collectively,
the “Clients”, and together with the Investment Manager, “we,” “us,” or “our”),
and sets forth the policies of the Investment Manager and the Clients for the collection, use, storage, sharing, disclosure (collectively,
“processing”) and protection of personal data relating to current, prospective and former investors in or holders
of one or more Clients. Capitalized terms used herein but not defined herein shall have the meanings assigned to them in the applicable
offering memorandum or the advisory agreement of the applicable Client as such may be supplemented, updated or modified from time
to time (each, a “Client Document”). References to “you” or an “investor” in this Privacy
Notice mean any investor who is an individual, or any individual connected with an investor who is a legal person, as applicable.
Who
to Contact About This Privacy Notice
This
Privacy Notice is being provided in accordance with the applicable requirements under the privacy and data protection laws that
apply in the jurisdictions where we operate (collectively, the “Data Protection Laws”). The Clients and the Investment
Manager are considered to be data controllers in respect of any personal information we hold about you for the purposes of certain
Data Protection Laws. This means that each of the Clients and the Investment Manager (alone or jointly, as applicable) determines
the purposes and the means of the processing of your personal information.
Please
contact us at (212) 542-4635 or dataprotection@sabacapital.com for any questions about this Privacy Notice or requests with regards
to the personal data we hold.
Please
note that certain service providers (collectively, the “Service Providers”) of the Investment Manager and/or Clients
including, without limitation, the administrator, prime broker(s), custodian(s), transfer agent(s), and legal adviser(s) work
under a range of professional and legal obligations that require them to process personal data (e.g., anti-money laundering legislation).
In order to meet the requirements of such obligations, such Service Providers, from time to time, would not be acting on our instructions
but instead in accordance with their own respective professional or legal obligations and, therefore, would be acting as data
controllers in their own right with respect to such processing. For more specific information or requests in relation to the processing
of personal information by any such Service Providers, you may also contact the relevant service provider directly at the address
specified in the relevant Client Document or by visiting their websites.
The
Types of Personal Data We May Collect and Use
The
categories of personal data we may collect include, but are not limited to, names; residential or business addresses, or other
contact details; signature; nationality; tax identification, passport, or social security number or similar identification number;
date of birth; place of birth; jurisdiction of tax residence(s); photographs; copies of identification documents; bank account
details, information about assets or net worth; credit history; information on investment activities; financial information, for
example, interest, dividends, income from certain insurance contracts or products and other income generated with respect to assets
held in the account or payments made with respect to the account; account balances; proceeds from the sale or redemption of property
paid or credited to the account;, or other personal information, such as certain special categories of personal data (including,
where relevant, information on political affiliations, ethnic origin, or criminal convictions), as specified under the applicable
Data Protection Laws, that may be contained in the relevant materials, documents, or obtained through background searches, together
with any other information required by applicable law or regulation.
How
We Collect Personal Data
We
may collect personal data about you through: (i) information provided directly to us by you, or another person on your behalf
or (ii) information that we obtain in relation to any transactions between you and us.
We
also may receive your personal information from third parties or other sources, such as, but not limited to, our affiliates, Service
Providers, publicly accessible databases or registers, tax authorities, governmental and non-governmental agencies and supervisory
authorities, credit agencies, fraud prevention and detection agencies, or other publicly accessible sources, such as the internet.
| Semi-Annual Report | April
30, 2023 |
69 |
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
How
We May Use Personal Information
We
may process your personal data in the course of business tasks, including but not limited to, in connection with:
| (i) | entering
into an advisory agreement or accepting subscription documentation; |
| (ii) | administering
the relationship between you and us; |
| (iii) | processing
subscriptions, redemptions and transfers; |
| (iv) | executing
discretionary transactions; |
| (v) | providing
communications and reporting; |
| (vi) | maintaining
the registers of investors of Clients; |
| (vii) | marketing
of our products and services; |
| (viii) | monitoring
and analysing our activities; |
| (ix) | processing
investments, withdrawals and payments of dividends to investors; |
| (x) | maintaining
global client and investor records and providing centralized administrative, marketing and client services; |
| (xi) | investigating
and resolving complaints; managing litigation; and monitoring electronic communications for fraud or crime detection or for regulatory
reasons; and |
| (xii) | complying
with applicable legal or regulatory requirements (including anti-money laundering, fraud prevention, tax reporting, sanctions
compliance, or responding to requests for information from supervisory authorities, or law enforcement agencies). |
We
will use one of the permitted grounds under the applicable Data Protection Laws to process your personal information. Such grounds
include, for example, circumstances where:
| (i) | processing
is necessary to perform our obligations under the applicable Client Documents; |
| (ii) | we
are required to comply with a legal or regulatory obligation applicable to us; or |
| (iii) | we,
or a third party on our behalf, have determined that it is necessary for our legitimate interests to collect and use your personal
information, such as if we believe that you have a reasonable expectation for us or a third party to collect or use your personal
information for such purpose. |
What
Are the Consequences of Failing to Provide Personal Information
Where
personal data is required to satisfy a statutory obligation (including compliance with applicable anti-money laundering or sanctions
requirements) or a contractual requirement, failure to provide such information may result in your subscription in the applicable
Client being rejected or your shares or interests becoming subject to a compulsory redemption or withdrawal, as applicable. Where
there is suspicion of unlawful activity, failure to provide personal data may result in the submission of a report to the relevant
law enforcement agency or supervisory authority.
How
We May Share Personal Data
We
may disclose information about you to our affiliates, Service Providers, or other third parties to accept your subscription, administer
and maintain your account(s), or otherwise perform our contractual obligations. We may also need to share your personal information
(i) with courts, ombudsmen, or regulatory, tax or law enforcement authorities to comply with applicable legal or regulatory requirements;
(ii) to respond to court orders, or in the context of regulatory requests for information, administrative proceedings, or investigations;
or (iii) when we believe in good faith that disclosure is legally required or we or a Client have a legitimate interest in making
a disclosure, such as where necessary to protect our or a Client’s rights and property. We will also release information
about you if you direct us to do so.
70
| Saba Capital Income &
Opportunities Fund |
Privacy Policy |
April
30, 2023 (Unaudited)
It
may also be necessary, under anti-money laundering and similar laws, to disclose information about you to facilitate the establishment
of trading relationships for the Clients with the prime broker(s), the custodian(s), executing brokers or other trading counterparties.
We
may also disclose information about you, or your transactions and experiences with us, to our affiliates or service providers
for our everyday business purposes, such as administration of our business, record-keeping, maintaining security of our information
technology systems, reporting and monitoring of our activities, investor relations activities, and compliance with applicable
legal and regulatory requirements.
Retention
Periods and Security Measures
We
will not retain personal data for longer than is necessary in relation to the purpose for which it is collected, subject to the
applicable Data Protection Laws. Personal data will be retained for the duration of your investment in the applicable Client and
for a minimum of five years after a redemption or withdrawal, as applicable, of your investment, or liquidation of the applicable
Client. We may retain personal data for a longer period for the purpose of marketing our products and services or compliance with
applicable law. From time to time, we will review the purpose for which personal data has been collected and decide whether to
retain it or to delete if it no longer serves any purpose to us.
To
protect your personal information from unauthorized access and use, we apply organizational and technical security measures in
accordance with applicable Data Protection Laws. These measures include computer safeguards and secured files and buildings.
We
will notify you of any material personal data breaches affecting you in accordance with the requirements of applicable Data Protection
Laws.
Additional
Information under the U.S. Gramm-Leach-Bliley Act 1999 (Reg S-P) and Fair Credit Reporting Act (Reg S-AM)
For
purposes of U.S. federal law, this Privacy Notice applies to current and former investors who are individuals or Individual Retirement
Accounts. We are providing this additional information under U.S. federal law.
We
may disclose information about our investors, prospective investors or former investors to affiliates (i.e., financial and non-financial
companies related by common ownership or control) or non-affiliates (i.e., financial or non-financial companies not related by
common ownership or control) for our everyday business purposes, such as to process your transactions, maintain your account(s)
or respond to court orders and legal investigations. Thus, it may be necessary or appropriate, under anti-money laundering and
similar laws, to disclose information about a Client's investors in order to accept subscriptions from them. We will also release
information about you if you direct us to do so.
We
may share your information with our affiliates for direct marketing purposes, such as offers of products and services to you by
us or our affiliates. You may prevent this type of sharing by contacting us at (212) 542-4635 or dataprotection@sabacapital.com.
If you are a new investor, we can begin sharing your information with our affiliates for direct marketing purposes 30 days from
the date we sent this Privacy Notice. When you are no longer our investor, we may continue to share your information with our
affiliates for such purposes.
You
may contact us at any time to limit our sharing of your personal information at (212) 542-4635 or dataprotection@sabacapital.com.
If you limit sharing for an account you hold jointly with someone else, your choices will apply to everyone on your account. U.S.
state laws may give you additional rights to limit sharing.
We
do not share your information with non-affiliates for them to market their own services to you. We may disclose information you
provide to us to companies that perform marketing services on our behalf, such as any placement agent retained by the applicable
Client.
Additional
Information for California Residents
If
you are a California resident, California law may provide you with additional rights regarding our collection and use of your
personal information. To learn more about your privacy rights, please see the California Consumer Privacy Notice as Addendum I
to this Privacy Notice.
Additional
Information under the Cayman Islands Data Protection Act (2021 Revision) (“DPA”)
With
respect to investors in Clients organized under the laws of the Cayman Islands, the applicable Client may share your personal
information with its Service Providers, including the Investment Manager, the administrator, the custodian(s), the prime broker(s),
or others who are located outside the Cayman Islands. It may also be necessary to share your information with the Cayman Islands
Monetary Authority or the Tax Information Authority, which may, in turn, exchange this information with foreign tax authorities,
regulatory or law enforcement agencies. By submitting your personal data to us, you consent to the transfer of your personal data
to the Investment Manager and the other recipients described in this notice that are located in countries outside of the Cayman
Islands. Any transfer of your personal data by us, our affiliates or service providers outside the Cayman Islands will be carried
out in accordance with the DPA. Investors may withdraw their consent at any time. The withdrawal of consent shall not affect the
lawfulness of processing based on consent before its withdrawal.
| Semi-Annual Report | April
30, 2023 |
71 |
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
You
may have certain rights under the DPA, including: (i) the right to be informed; (ii) the right of access; (iii) the right to rectification;
(iv) the right to stop or restrict processing; (v) the right to stop direct marketing; (vi) rights in relation to automated decision
making; (vii) the right to seek compensation; and (viii) the right to complain to the supervisory authority. If you wish to exercise
these rights, please contact (212) 542-4635 or dataprotection@sabacapital.com. A complaint in respect of a Client may be lodged
with the Office of the Ombudsman in the Cayman Islands; although, we ask that you contact dataprotection@sabacapital.com in the
first instance to give us the opportunity to address any concerns you may have.
Additional
Information under the EU General Data Protection Regulation
You
may have certain rights under EU General Data Protection Regulation and equivalent regulation in effect in the United Kingdom
(collectively, “GDPR”) in relation to our processing of your personal data and any processing carried out on your
behalf. These include rights to:
| (i) | Access:
confirm with us whether your personal data is processed, and if it is, to request access to your personal data. This enables you
to receive a copy of the personal data we hold about you and to receive confirmation regarding how and why we process your personal
data; |
| (ii) | Rectification:
request correction/rectification of the personal data that we hold about you. This enables you to have incomplete or inaccurate
information we hold about you corrected. |
| (iii) | Erasure:
request erasure of your personal data in certain circumstances (the “right to be forgotten”). |
| (iv) | Objection:
object to processing of your personal data, on grounds relating to your particular situation, where we are relying on a legitimate
interest (or those of a third party). However, we may be permitted to continue to process your personal data where we have a compelling
legitimate grounds for the processing. You also have the right to object where we are processing your personal data for direct
marketing purposes. |
| (v) | Restriction:
request the restriction of processing of your personal data in certain circumstances. This enables you to ask us to suspend the
processing of personal data about you, for example if you want us to establish its accuracy or the reason for processing it. |
| (vi) | Portability:
in certain circumstances, request to receive personal data concerning you, which you have provided to us, in a structured, commonly
used and machine-readable format. |
Please
note that the right to be forgotten that applies in certain circumstances under GDPR is not likely to be available in respect
of the personal data we hold, given the purpose for which we collect such data, as described above. If we have relied upon your
consent to process your personal data for a particular purpose, you have the right to withdraw your consent. Please contact (212)
542-4635 or dataprotection@sabacapital.com if you wish to exercise these rights.
You
also have the right to lodge a complaint about the processing of your personal data with the competent data protection supervisory
authority although, we ask that you contact (212) 542-4635 or dataprotection@sabacapital.com in the first instance to give us
the opportunity to address any concerns you may have.
Due
to the international nature of our business, your personal data may be transferred to jurisdictions that do not offer equivalent
protection to personal data as under the GDPR (“Third Countries”). In such cases, we will process personal data (or
procure that it be processed) in the Third Countries in accordance with the requirements of GDPR, which may include having appropriate
contractual undertakings in legal agreements with service providers who process personal data on our behalf in such Third Countries.
We may also be required to transfer your personal information to our regulators or government agencies in Third Countries in cases
where such transfers are necessary in the context of administrative proceedings, such as requests for information, examinations
or investigations, or to other relevant parties in Third Countries where it is necessary for the purposes of establishing, bringing,
or defending legal claims, or for another legitimate business purpose, such as compliance with our legal or regulatory obligations
under foreign law.
72
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
Revisions
to Our Privacy Policies
The
Investment Manager evaluates its privacy policies and procedures to implement improvements and refinements from time-to-time.
The Investment Manager reserves the right to amend the terms contained herein in whole or in part for any reason. We therefore
suggest that you review this Privacy Notice periodically, which is available at https://www.sabacapital.com/privacy-policy/.
IF
YOU HAVE ANY QUESTIONS ABOUT THIS PRIVACY NOTICE, CALL (212) 542-4635 OR E-MAIL DATAPROTECTION@SABACAPITAL.COM.
| Semi-Annual
Report | April 30, 2023 |
73 |
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
ADDENDUM
I
PRIVACY
NOTICE FOR CALIFORNIA CONSUMERS
| Effective Date: |
June 2023 |
| Last Updated: |
June 2023 |
Introduction
This
notice (the “California Consumers Privacy Notice”) is provided by Saba Capital Management, L.P. (the “Investment
Manager,” “we,” “us,” or “our”).
This
California Consumer Privacy Notice contains disclosures required by the California Consumer Privacy Act“” as amended
by the California Privacy Rights Act (collectively, the “CPRA”) and only applies to California residents (“consumers”
or “you”). Terms defined in the CPRA have the same meaning when used in this California Consumer Privacy Notice. This
California Consumer Privacy Notice applies to the collection or other use of “personal information” that is subject
to the CCPA.
“”“”“”“”“”“”“”
Consumers with disabilities may access this California Consumer Privacy Notice by (a) visiting to download or (b) contacting (212)
542-4635 or dataprotection@sabacapital.com and requesting a copy of this California Consumers Privacy Notice in a .pdf format
that is compatible with character recognition software and that can be printed.
Personal
Information We Collect
In
the past 12 months, we may have collected and disclosed for a business purpose the following categories of personal information
(“Personal Information”):
| Category |
Examples |
Collected |
Disclosed
for
Business
Purpose |
| Identifiers |
A real name, alias, email address, postal address,
Internet Protocol (IP) address, account name, Social Security number, driver’s license number, passport number, or other
similar personal identifiers. |
Yes |
Yes |
| Other personal information categories, as listed
in the California Customer Records Statute |
A signature, physical characteristics or description,
telephone number, insurance policy number, education, employment, employment history, bank account number, credit card number,
debit card number, or any other financial information, medical information, or health insurance information. |
Yes |
Yes |
| Protected classification characteristics under
California or federal law |
Age (40 years or older), race, citizenship,
marital status, sex, veteran or military status. |
Yes |
Yes |
| Commercial information |
Account activity, records of personal property,
products or services purchased, obtained, or considered, or other purchasing or consuming histories or tendencies. |
Yes |
Yes |
| Biometric information |
Fingerprints, faceprints, voiceprints, and iris
or retina scans. |
No |
N/A |
| Internet or other similar network activity |
Browsing history, search history, information
on a consumer’s interaction with a website, application, or advertisement. |
Yes |
Yes |
| Geolocation data |
Physical location or movements. |
Yes |
No |
| Sensory data |
Audio, electronic, visual, thermal, olfactory,
or similar information. |
Yes |
Yes |
| Professional or employment-related information |
Current or past job history or performance evaluations. |
Yes |
Yes |
| Non-public education information (per the Family
Educational Rights and Privacy Act) |
Education records directly related to a student
maintained by an educational institution or party acting on its behalf. |
Yes |
Yes |
| Inferences drawn from other personal information |
Profile reflecting a person’s preferences,
characteristics, psychological trends, predispositions, behavior, attitudes, intelligence, abilities, and aptitudes. |
No |
N/A |
74
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
| Category |
Examples |
Collected |
Disclosed
for
Business
Purpose |
| Sensitive personal information |
A consumer's SS, driver’s license, state
ID card, or passport number; account log-in or debit/credit card number in combination with any access code, password, or
account credentials; precise geolocation; racial/ethnic origin, religious/philosophical beliefs, or union membership; contents
of mail, email, and text messages; genetic data; biometric information; PHI; or sex life or sexual orientation. |
Yes |
Yes |
Personal
Information does not include information that is publicly available, de-identified/ aggregated, or subject to HIPAA or GLBA.
Sources
of Personal Information We Collect
We
primarily collect Personal Information from the following categories of sources:
| (i) | Your
communications with us; |
| (ii) | By
observing your actions on our website; |
| (iii) | Service
providers, including, but not limited to: administrators, lenders, banks, trading counterparties, brokers, investor data sites,
auditors, law firms, consultants, placement agents, employment agencies and recruiters, credit bureaus, and background check providers; |
| (iv) | Affiliates
not under the Investment Manager brand; |
| (v) | Nonprofit
organizations; and |
We
do not knowingly collect, solicit or sell Personal Information from anyone under the age of 16.
Purpose
for Collection and Use of Personal Information
We
may collect or use Personal Information for one or more of the following purposes
| (i) | Providing
you with information about our products and services; |
| (ii) | Providing
you with performance and other updates; |
| (iii) | One
or more of the following business purposes: |
| a. | Performing
services (for us or our service provider or contractor) such as account servicing, processing orders and payments, and analytics; |
| c. | Detecting
and protecting against security incidents, fraud, and illegal activity; |
| d. | Internal
research for technological improvement; |
| f. | Activities
to maintain and improve our services; |
| g. | Short-term,
transient use, such that the personal information is not disclosed to another third party and is not used to build a profile about
you; and |
| Semi-Annual Report | April
30, 2023 |
75 |
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
| (iv) | Other
commercial purposes, including, but not limited to, activities that are directed to advancing commercial or economic interests,
such as inducing a person to buy, rent, lease, join, subscribe to, provide or exchange products or services, or enabling or effecting
a commercial transaction. |
The
use of sensitive Personal Information is limited to only those purposes authorized under the CPRA.
Disclosing
Personal Information
We
may disclose Personal Information to:
| (i) | Service
providers, including, but not limited to: administrators, lenders, banks, trading counterparties, brokers, auditors, law firms,
consultants, placement agents, employment agencies and recruiters, credit bureaus, and background check providers; |
| (iv) | Legal
or government regulatory authorities as required by applicable law; |
| (v) | In
connection with a potential business transfer or merger; and |
| (vi) | Third
parties to whom you or your agents authorize us to disclose such information in connection with services we provide to you. |
In
the past 12 months, we have not sold or shared (for cross context behavioral advertising) Personal Information to third parties.
Retention
of Personal Information
We
retain Personal Information for as long as necessary to provide the services and fulfill the transactions you have requested,
or for other business purposes such as complying with our legal or regulatory obligations, resolving disputes, and enforcing our
agreements. We decide how long we need Personal Information on a case-by-case basis. We may consider the following factors when
making retention decisions:
| (i) | Whether
we need to keep some of your Personal Information to maintain your account; |
| (ii) | Whether
we are required by law to keep some types of Personal Information for certain periods of time to comply with our legal obligations;
and |
| (iii) | Whether
we need some of your Personal Information for other business purposes, such as to prevent harm and ensure safety and security
of our website and services; investigate possible violations of our terms and conditions of use; or otherwise protect ourselves. |
If
we determine your Personal Information is no longer necessary using the factors above, we will generally destroy or anonymize
that information.
Rights
of California Consumers
The
CPRA provides a California consumer the following rights, subject to certain exceptions and limitations:
| (i) | The
right to request: (a) the categories and specific pieces of Personal Information we collect about you; (b) the categories of sources
from which we collect your Personal Information; (c) our business or commercial purposes for collecting, selling or sharing your
Personal Information; (d) the categories of Personal Information disclosed for a business purpose or shared with third parties
(for cross-context behavioral advertising) and the categories of persons to whom it was disclosed or shared; (e) the categories
of your Personal Information (if any) that we have either sold, shared, or disclosed. |
| (ii) | The
right to request that we delete your Personal Information, subject to certain exceptions. |
| (iii) | The
right to opt out of our sale(s) (if any) of your Personal Information to third parties or sharing with such third parties for
the purpose of cross-context behavioral advertising. |
76
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
April
30, 2023 (Unaudited)
| (iv) | The
right to request we correct any inaccurate Personal Information maintained about you. |
| (v) | The
right to limit our use of your sensitive personal information to only use that is necessary to perform the services expected or
provide the goods reasonably expected. |
| (vi) | The
right not to receive discriminatory treatment for exercising your CCPA rights. |
You
may submit requests relating to your exercise of CPRA rights to us via:
Phone: (212)
542-4635;
or
Email: dataprotection@sabacapital.com.
You
may only make a verifiable request for access or data portability twice within a 12-month period. All verifiable requests must
provide (1) enough information that allows us to reasonably verify you are the person about whom we collected Personal Information
or an authorized agent and (2) sufficient detail that allows us to properly evaluate and respond to it. We may need to request
additional information from you to verify your identity or understand the scope of your request. In verifying requests, we will
require you to provide, at a minimum your mailing address and telephone number to verify your identity. If we are unable to verify
your identity, we will need to deny your request.
You
may designate an authorized agent to make a CPRA request on your behalf. In such case, we will ask the agent to provide proof
that you have given the agent signed permission to act on your behalf.
We
endeavor to respond to a verifiable request within 45 days of its receipt. If we require more time, we will inform you of the
reason and extension period in writing. We will deliver our written response by mail or electronically, at your option.
Questions
If
you have questions regarding this California Consumers Privacy Notice, please contact us at (212) 542-4635 or dataprotection@sabacapital.com.
| Semi-Annual
Report | April 30, 2023 |
77 |
Item
2. Code of Ethics.
Not
applicable in this report.
Item
3. Audit Committee Financial Expert.
Not
applicable in this report.
Item
4. Principal Accountant Fees and Services.
Not
applicable in this report.
Item
5. Audit Committee of Listed Registrants.
Not
applicable in this report.
Item
6. Investments.
| a) | Schedule
of Investments in securities of unaffiliated issuers as of the close of the reporting
period is included as part of the Reports to Stockholders filed under Item 1(a) of this
Form N-CSR. |
Item
7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not
applicable in this report.
Item
8. Portfolio Managers of Closed-End Management Investment Companies.
Not
applicable in this report.
Item
9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item
10. Submission of Matters to a Vote of Security Holders.
There
have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of
Trustees, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of
Item 407(c)(2)(iv) of Regulation S-K, or this Item.
Item
11. Controls and Procedures.
| (a) | The
Registrant’s principal executive officer and principal financial officer have concluded
that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940, as amended) are effective based on their evaluation
of these controls and procedures as of a date within 90 days of the filing date of this
report. |
| (b) | There
was no change in the Registrant’s internal control over financial reporting (as
defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred
during the Registrant’s last fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the Registrant’s internal control over
financial reporting. |
Item
12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not
applicable.
Item
13. Exhibits.
| (a)(1) | Not
applicable to this report. |
| |
(a)(3) |
Not applicable to this report. |
| |
(a)(4) |
Not applicable to this report. |
SIGNATURES
Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SABA
CAPITAL INCOME & OPPORTUNITIES FUND
| By: |
/s/
Pierre Weinstein |
|
| |
Pierre Weinstein (Principal Executive Officer) |
|
| |
Chief
Executive Officer |
|
| |
|
|
| Date: |
July 7, 2023 |
|
Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
SABA
CAPITAL INCOME & OPPORTUNITIES FUND
| By: |
/s/
Pierre Weinstein |
|
| |
Pierre Weinstein (Principal Executive Officer) |
|
| |
Chief Executive Officer |
|
| |
|
|
| Date: |
July 7, 2023 |
|
| |
|
|
| By: |
/s/ Troy Statczar |
|
| |
Troy Statczar (Principal Financial Officer) |
|
| |
Treasurer and Chief Financial Officer |
|
| |
|
|
| Date: |
July 7, 2023 |
|
Exhibit
99.Cert.
I,
Pierre Weinstein, Chief Executive Officer and Principal Executive Officer of the Saba Capital Income & Opportunities Fund
(the “Registrant”), certify that:
| 1. | I
have reviewed this report on Form N-CSR of the Registrant; |
| 2. | Based
on my knowledge, this report does not contain any untrue statement of a material fact
or omit to state a material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading with respect to the
period covered by this report; |
| 3. | Based
on my knowledge, the financial statements, and other financial information included in
this report, fairly present in all material respects the financial condition, results
of operations, changes in net assets, and cash flows (if the financial statements are
required to include a statement of cash flows) of the Registrant as of, and for, the
periods presented in this report; |
| 4. | The
Registrant’s other certifying officer(s) and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under
the Investment Company Act of 1940) and internal control over financial reporting (as
defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant
and have: |
| (a) | Designed
such disclosure controls and procedures, or caused such disclosure controls and procedures
to be designed under our supervision, to ensure that material information relating to
the Registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed
such internal control over financial reporting, or caused such internal control over
financial reporting to be designed under our supervision, to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated
the effectiveness of the Registrant’s disclosure controls and procedures and presented
in this report our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing date of this report based
on such evaluation; and |
| (d) | Disclosed
in this report any change in the Registrant’s internal control over financial reporting
that occurred during the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the Registrant’s internal control
over financial reporting; and |
| 5. | The
Registrant’s other certifying officer(s) and I have disclosed to the registrant’s
auditors and the audit committee of the Registrant’s board of directors (or persons
performing the equivalent functions): |
| (a) | All
significant deficiencies and material weaknesses in the design or operation of internal
control over financial reporting which are reasonably likely to adversely affect the
Registrant’s ability to record, process, summarize, and report financial information;
and |
| (b) | Any
fraud, whether or not material, that involves management or other employees who have
a significant role in the Registrant’s internal control over financial reporting. |
| By: |
/s/ Pierre Weinstein |
|
| |
Pierre Weinstein (Principal Executive Officer) |
|
| |
Chief Executive Officer |
|
| |
|
|
| Date: |
July 7, 2023 |
|
I,
Troy Statczar, Treasurer and Principal Financial Officer of the Saba Capital Income & Opportunities Fund (the “Registrant”),
certify that:
| 1. | I
have reviewed this report on Form N-CSR of the Registrant; |
| 2. | Based
on my knowledge, this report does not contain any untrue statement of a material fact
or omit to state a material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading with respect to the
period covered by this report; |
| 3. | Based
on my knowledge, the financial statements, and other financial information included in
this report, fairly present in all material respects the financial condition, results
of operations, changes in net assets, and cash flows (if the financial statements are
required to include a statement of cash flows) of the Registrant as of, and for, the
periods presented in this report; |
| 4. | The
Registrant’s other certifying officer(s) and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under
the Investment Company Act of 1940) and internal control over financial reporting (as
defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant
and have: |
| (a) | Designed
such disclosure controls and procedures, or caused such disclosure controls and procedures
to be designed under our supervision, to ensure that material information relating to
the Registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed
such internal control over financial reporting, or caused such internal control over
financial reporting to be designed under our supervision, to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated
the effectiveness of the Registrant’s disclosure controls and procedures and presented
in this report our conclusions about the effectiveness of the disclosure controls and
procedures, as of a date within 90 days prior to the filing date of this report based
on such evaluation; and |
| (d) | Disclosed
in this report any change in the Registrant’s internal control over financial reporting
that occurred during the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the Registrant’s internal control
over financial reporting; and |
| 5. | The
Registrant’s other certifying officer(s) and I have disclosed to the registrant’s
auditors and the audit committee of the Registrant’s board of directors (or persons
performing the equivalent functions): |
| (a) | All
significant deficiencies and material weaknesses in the design or operation of internal
control over financial reporting which are reasonably likely to adversely affect the
Registrant’s ability to record, process, summarize, and report financial information;
and |
| (b) | Any
fraud, whether or not material, that involves management or other employees who have
a significant role in the Registrant’s internal control over financial reporting. |
| By: |
/s/ Troy Statczar |
|
| |
Troy Statczar (Principal Financial Officer) |
|
| |
Treasurer and Chief Financial Officer |
|
| |
|
|
| Date: |
July 7, 2023 |
|
-6-
Exhibit
99.906Cert
This
certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies
the report on Form N-CSR (the “Report”) for the period ended April 30, 2023 of the Saba Capital Income & Opportunities
Fund (the “Fund”).
I,
Pierre Weinstein, the Chief Executive Officer and Principal Executive Officer of the Fund, certify that:
| (i) | the
Report fully complies with the requirements of Section 13(a) or Section 15(d), as
applicable, of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
| (ii) | the
information contained in the Report fairly presents, in all material respects, the financial
condition and results of operations of the Fund. |
| Dated: |
July 7, 2023 |
|
| |
|
|
| By: |
/s/ Pierre
Weinstein |
|
| |
Pierre Weinstein (Principal Executive Officer) |
|
| |
Chief Executive Officer |
|
This
certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies
the report on Form N-CSR (the “Report”) for the period ended April 30, 2023 of the Saba Capital Income & Opportunities
Fund (the “Fund”).
I,
Troy Statczar, the Treasurer and Principal Financial Officer of the Fund, certify that:
| (i) | the
Report fully complies with the requirements of Section 13(a) or Section 15(d), as
applicable, of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
| (ii) | the
information contained in the Report fairly presents, in all material respects, the financial
condition and results of operations of the Fund. |
| Dated: |
July 7, 2023 |
|
| |
|
|
| By: |
/s/ Troy
Statczar |
|
| |
Troy Statczar (Principal Financial Officer) |
|
| |
Treasurer and Chief Financial Officer |
|
-8-
November
28, 2022
IMPORTANT
INFORMATION REGARDING MONTHLY DISTRIBUTION
Saba
Capital Income & Opportunities Fund
DISTRIBUTION
NOTICE - We are providing shareholders of Saba Capital Income & Opportunities Fund (the "Fund") with an estimate
of the source of the Fund's monthly distribution as required by current securities laws. THIS NOTICE IS FOR INFORMATIONAL PURPOSES
ONLY. NO ACTION IS REQUIRED ON YOUR PART. These estimates may, and likely will, vary over time based on the investment activities
of the Fund and changes in the value of its portfolio investments. The final determination of the source and tax characteristics
of all distributions will be made after December 31, 2022 and reported to you on Form 1099-DIV early in 2023.
The
Fund estimates that the distribution payable on November 30, 2022 is comprised of approximately 100% return of capital.
www.sabacef.com
SEC-19-BRW-10252021
December
28, 2022
IMPORTANT
INFORMATION REGARDING MONTHLY DISTRIBUTION
Saba
Capital Income & Opportunities Fund
DISTRIBUTION
NOTICE - We are providing shareholders of Saba Capital Income & Opportunities Fund (the "Fund") with an estimate
of the source of the Fund's monthly distribution as required by current securities laws. THIS NOTICE IS FOR INFORMATIONAL PURPOSES
ONLY. NO ACTION IS REQUIRED ON YOUR PART. These estimates may, and likely will, vary over time based on the investment activities
of the Fund and changes in the value of its portfolio investments. The final determination of the source and tax characteristics
of all distributions will be made after December 31, 2022 and reported to you on Form 1099-DIV early in 2023.
The
Fund estimates that the distribution payable on December 30, 2022 is comprised of approximately 11% net income and 89% return
of capital.
www.sabacef.com
SEC-19-BRW-10252021
January
27, 2023
IMPORTANT
INFORMATION REGARDING MONTHLY DISTRIBUTION
Saba
Capital Income & Opportunities Fund
DISTRIBUTION
NOTICE - We are providing shareholders of Saba Capital Income & Opportunities Fund (the "Fund") with an estimate
of the source of the Fund's monthly distribution as required by current securities laws. THIS NOTICE IS FOR INFORMATIONAL PURPOSES
ONLY. NO ACTION IS REQUIRED ON YOUR PART. These estimates may, and likely will, vary over time based on the investment activities
of the Fund and changes in the value of its portfolio investments. The final determination of the source and tax characteristics
of all distributions will be made after December 31, 2023 and reported to you on Form 1099-DIV early in 2024.
The
Fund estimates that the distribution payable on January 31, 2023 is comprised of approximately 9% net income and 91% return of
capital.
www.sabacef.com
SEC-19-BRW-10252021
February
24, 2023
IMPORTANT
INFORMATION REGARDING MONTHLY DISTRIBUTION
Saba
Capital Income & Opportunities Fund
DISTRIBUTION
NOTICE - We are providing shareholders of Saba Capital Income & Opportunities Fund (the "Fund") with an estimate
of the source of the Fund's monthly distribution as required by current securities laws. THIS NOTICE IS FOR INFORMATIONAL PURPOSES
ONLY. NO ACTION IS REQUIRED ON YOUR PART. These estimates may, and likely will, vary over time based on the investment activities
of the Fund and changes in the value of its portfolio investments. The final determination of the source and tax characteristics
of all distributions will be made after December 31, 2023 and reported to you on Form 1099-DIV early in 2024.
The
Fund estimates that the distribution payable on February 28, 2023 is comprised of approximately 33% net income and 67% return
of capital.
www.sabacef.com
SEC-19-BRW-10252021
March
29, 2023
IMPORTANT
INFORMATION REGARDING MONTHLY DISTRIBUTION
Saba
Capital Income & Opportunities Fund
DISTRIBUTION
NOTICE - We are providing shareholders of Saba Capital Income & Opportunities Fund (the "Fund") with an estimate
of the source of the Fund's monthly distribution as required by current securities laws. THIS NOTICE IS FOR INFORMATIONAL PURPOSES
ONLY. NO ACTION IS REQUIRED ON YOUR PART. These estimates may, and likely will, vary over time based on the investment activities
of the Fund and changes in the value of its portfolio investments. The final determination of the source and tax characteristics
of all distributions will be made after December 31, 2023 and reported to you on Form 1099-DIV early in 2024.
The
Fund estimates that the distribution payable on March 31, 2023 is comprised of approximately 19% net income and 81% return of
capital.
www.sabacef.com
SEC-19-BRW-10252021
April
26, 2023
IMPORTANT
INFORMATION REGARDING MONTHLY DISTRIBUTION
Saba
Capital Income & Opportunities Fund
DISTRIBUTION
NOTICE - We are providing shareholders of Saba Capital Income & Opportunities Fund (the "Fund") with an estimate
of the source of the Fund's monthly distribution as required by current securities laws. THIS NOTICE IS FOR INFORMATIONAL PURPOSES
ONLY. NO ACTION IS REQUIRED ON YOUR PART. These estimates may, and likely will, vary over time based on the investment activities
of the Fund and changes in the value of its portfolio investments. The final determination of the source and tax characteristics
of all distributions will be made after December 31, 2023 and reported to you on Form 1099-DIV early in 2024.
The
Fund estimates that the distribution payable on April 28, 2023 is comprised of approximately 4% net income and 96% return of capital.
www.sabacef.com
SEC-19-BRW-10252021
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