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:
John J. Mahon, Esq.
Schulte Roth & Zabel LLP
901 Fifteenth Street, NW, Suite 800
Washington, DC 20005
Registrant’s telephone number, including area code: (212) 542-4644
Date of fiscal year end: October 31
Date of reporting period: March 1, 2021 – October 31, 2021
Item 1. Reports to Stockholders.
(a)
TABLE OF CONTENTS
Shareholder Letter | 1 |
Performance Update | 3 |
Report of Independent Registered Public Accounting Firm | 5 |
Schedule of Investments | 6 |
Statement of Assets and Liabilities | 26 |
Statement of Operations | 27 |
Statements of Changes in Net Assets | 28 |
Statements of Cash Flows | 29 |
Financial Highlights | 30 |
Notes to Financial Statements | 32 |
Additional Information | 42 |
Trustees and Officers | 43 |
Saba Capital Income & Opportunities Fund (Unaudited) | Shareholder Letter |
October 31, 2021 |
December 23, 2021
Dear Shareholders,
Thank you for your interest in the Saba Capital Income & Opportunities Fund (the “Fund”). We are pleased to provide you with a markets review as well as share our current investment strategy and outlook for the months ahead.
At the special meeting held in May, shareholders resoundingly approved Saba Capital Management L.P. (“Saba Capital”) as the Fund’s new investment advisor. Saba Capital is a registered investment advisor managing $3.8 billion across four core strategies: Credit Relative Value, Special Purpose Acquisition Corporations (“SPACs”), Closed-End Funds, and Tail Hedging. We are recognized for our ability to navigate turbulent markets and have a strong track record of identifying asset mis-pricings and special opportunities. This year, Risk.net named Saba Capital “Hedge Fund of the Year”.
We are excited to bring our institutional approach to the Fund’s shareholder base. In connection with becoming investment advisor on June 4, 2021, Saba Capital broadened the Fund's investment strategy from solely owning high-yield loans to investing in high-yield and investment grade bonds, SPACs, closed-end funds and other investments.
An expanded mandate is valuable not only because of what investments can be added, but also because of what can be reduced. To that end, in our first few months as advisor, Saba Capital slashed the Fund's 75% exposure to high-yield loans rated single B or below because we believed a yield of 3 to 4% was insufficient reward for taking risks to companies with ‘junk’ ratings from Moody’s and S&P. In our view, the sales were also compelling because the Fund simultaneously bought a diversified pool of SPACs yielding 2 to 4%. As SPACs are only permitted to hold AAA rated U.S. Treasury Bills until they consummate a merger, the switch resulted in an increase in credit quality from junk to AAA with no loss of yield, while adding optionality for capital appreciation from successful SPAC acquisitions. Loans have little to no room to rise in price from current levels, so this switch also supports the Fund's new secondary focus on capital appreciation.
Performance Summary
The Fund declared $0.17 in dividends from the period from March 1, 2021 to October 31, 2021. Based on the average month-end net asset value ("NAV") per share price of $4.93, the annualized distribution rate was 4.5%. In July, the Fund implemented a managed distribution plan of 8% per annum, which was increased to 12% per annum on December 20, 2021.
Since Saba Capital became the Fund’s new investment advisor on June 4th, the Fund’s total return was 2.62% based on NAV and 3.03% based on price, versus a total return of the iBoxx USD Liquid High-Yield Index of 1.23%.
Markets Review
High-yield loan and bond prices increased throughout the Fund’s fiscal year and peaked in September. Gains were fueled by the year’s economic recovery, better-than-expected corporate earnings and historically low default rates. These tailwinds and investors' search for yield led HYG - the benchmark ETF for high-yield bonds - to reach its lowest yield in history. Inflation pressures remain a significant risk for the markets with the Consumer Price Index increasing by 6.2% year-over-year in October, the biggest increase in 30 years. The removal of the word “transitory” from the Federal Reserve Open Market Committee's expectation for inflation recently led to a hawkish shift in the posture of a number of members of the committee, including Fed Chairman Powell.
In addition to a rise in global inflation, the Omicron variant, continued supply chain headwinds, distress in the Chinese property sector and military tension in Ukraine leave us with a cautious outlook on markets when contrasted with the near record prices for many risk assets. As a consequence, the Fund lowered its leverage ratio from 28% (as of the Fund’s semi-annual report, dated August 31, 2020) to zero as of October 31, 2021. Saba Capital aims to utilize leverage in a more opportunistic manner.
Current Portfolio and Strategy
SPACs – The market continues to see robust issuance, with 174 different initial public offerings (“IPOs”) representing $34.8 billion in value issued between June 4 – Saba Capital's inception date as the Fund's advisor – and the Fund's fiscal year end of October 31, 2021. As a result of this large supply, as well as demand for the valuable warrants given to SPAC IPO investors, there are 231 SPACs with an aggregate trust value of $49 billion with yield-to-maturities above 2%, with some topping 5%. Despite the competition among SPACs, their sponsors continue to find some attractive business combinations as demonstrated by SNII/Rigetti Computing, GGPI/Polestar and XPDI/Core Scientific. The positive performance of these SPACs upon deal announcement provided capital gains on top of the ultra-safe yield. As of the end of October, the Fund had 46.5% of its AUM in SPACs with an average maturity of 14 months. All de-SPAC events will shorten the maturity and increase the yield from its current level of approximately 2%.
Annual Report | October 31, 2021 | 1 |
Saba Capital Income & Opportunities Fund (Unaudited) | Shareholder Letter |
October 31, 2021 |
We are continuously looking for ways to improve and modernize the Fund’s investment strategy. In this spirit, a portion of the Fund’s SPAC exposure is devoted to innovative investments, such as, in blockchain, cryptocurrencies, digital finance, electric and autonomous vehicles. Some examples include our investments in Gores Guggenheim Inc. (NASDAQ: GGPI), Blue Safari Acquisition Group (NASDAQ: BSGA), Crypto 1 Acquisition Corp (NASDAQ: DAOOU), and Blockchain Co-investors Acquisition Corp (NASDAQ: BCSAU). We are so excited to be able to have exposure to the evolving economy through the safety of the SPAC product which is invested in AAA U.S. Treasury Bills until the de-SPAC date. It is noteworthy that between announcement date and de-SPAC date, some SPACs have had their largest gains, while investors retained the principal protection of the trust value. We believe this is a unique combination and an opportunity that deserves our vigorous attention. As recently as February 2021, SPACs were trading at a premium to trust value, and therefore there was a negative yield – quite a difference from the current landscape.
Closed-End Funds – Though the majority of these exchange listed funds are currently trading at narrow discounts to NAV, Saba Capital continues to find attractive investments for the Fund. For example, in the August 31, 2021 holdings report, the Fund disclosed Guggenheim Enhanced Equity Income Fund (NYSE: GPM) as its largest position. GPM generated a 2021 return of 48.44% as of August 31, 2021 and received shareholder approval during fourth quarter for a NAV merger into GOF, another Guggenheim Closed-End fund trading at a premium of 20%.
High-Yield and Investment Grade bonds and loans – Since the transition of the Fund’s investment mandate, Saba Capital has strategically decreased the Fund’s exposure to floating rate loans. While high-yield and investment grade bonds and loans are expected to be a core allocation for the Fund, we will wait for a more attractive entry point to regrow the Fund’s allocation to this asset class.
Managed Distribution Plan
In an effort to reduce the discount between the Fund’s share price and its NAV, the Fund’s Board of Trustees recently announced an increase in the managed distribution from an annual fixed rate of 8% to an annual fixed rate of 12%. This significant increase will position the Fund amongst the highest yielding CEFs. Our internal study of premiums/discounts and NAV yields displayed a strong correlation. Of 33 CEFs with NAV yields of 10% or greater, the median premium to NAV was 5% or more, with only two trading at discounts greater than one percent.
Conclusion
We are pleased with the results to date and with the pace of transforming the portfolio. In the New Year we look forward to continuing to search for investment opportunities with the goal of creating long-term value for all shareholders. We are grateful for your trust and support.
If you have any questions about the Fund, please visit our website at www.sabacef.com.
Boaz R Weinstein
Founder & Chief Investment Officer
Saba Capital Management, LP
2 |
Saba Capital Income & Opportunities Fund | Performance Update |
October 31, 2021 |
Average Annual Total Returns (as of October 31, 2021)
1 Year | 3 Year | 5 Year | 10 Year | |
Returns at NAV | 8.65% | 0.99% | 2.39% | 4.73% |
Returns at Market Value | 16.37% | 4.80% | 2.99% | 4.91% |
iShares iBoxx $ High Yield Corporate Bond ETF (HYG)(a) | 8.59% | 6.07% | 5.29% | 5.44% |
S&P/LSTA Leveraged Loan Index(b) | 8.47% | 4.25% | 4.47% | 4.64% |
Returns for the period since Saba Capital Management began managing the Fund on June 4, 2021 are at NAV 2.62% and at market value 3.03%.
Comparison of the Change in Value of a $10,000 Investment
At the special meeting that occurred on May 21st, shareholders voted to approve a new investment advisor as well as to approve the removal of certain fundamental policies of the Fund, in order to provide greater investment flexibility. Accordingly, the investment adviser also felt it was appropriate to transition the fund's benchmark to a benchmark that serves as better comparison with the funds new mandate.
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. |
(b) | S&P Leveraged Loan Indexes (S&P LL indexes) are capitalization-weighted syndicated loan indexes based upon market weightings, spreads and interest payments. The S&P/LSTA Leveraged Loan Index (LLI) covers the U.S. market back to 1997 and currently calculates on a daily basis. The S&P/LSTA Leveraged Loan 100 Index (LL100) dates back to 2002 and is a daily tradable index for the U.S. market that seeks to mirror the market-weighted performance of the largest institutional leveraged loans, as determined by criteria. Its ticker on Bloomberg is SPBDAL. These indexes are run in partnership between S&P and the Loan Syndications & Trading Association, the loan market’s trade group. |
Annual Report | October 31, 2021 | 3 |
Saba Capital Income & Opportunities Fund | Performance Update |
October 31, 2021 |
Top Ten Holdings (as a % of Net Assets)(c)
Adtalem Global Education, Inc. | 1.46% |
Peer Holding III B.V. | 1.00% |
Mudrick Capital Acquisition Corp. II | 0.98% |
Carnival Corporation TLB 1L | 0.83% |
Miller/Howard High Dividend Fund | 0.82% |
Hub International, Ltd. | 0.72% |
Salient Midstream & MLP Fund | 0.71% |
Gores Holdings VII, Inc. | 0.70% |
AssuredPartners, Inc. | 0.70% |
USI, Inc. | 0.68% |
Top Ten Holdings | 8.60% |
Portfolio Composition (Unaudited) (as a % of Net Assets)(c)
(c) | Holdings are subject to change, and may not reflect the current or future position of the portfolio. Tables present indicative values only. |
4 |
Report of Independent Registered | |
Saba Capital Income & Opportunities Fund | Public Accounting Firm |
To the Shareholders and Board of Trustees of Saba Capital Income & Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Saba Capital Income & Opportunities Fund (the “Fund”), including the schedule of investments, as of October 31, 2021, and the related statements of operations and cash flows for the period from March 1, 2021 to October 31, 2021, the statements of changes in net assets for the year ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021, the financial highlights for each of the two years ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund at October 31, 2021, and the results of its operations and its cash flows for the period then ended, the changes in its net assets for the year ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021 and its financial highlights for each of the two years ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021 in conformity with U.S. generally accepted accounting principles.
The financial highlights for each of the three years in the period ended February 28, 2019 were audited by other auditors whose report dated April 26, 2019, expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of Saba Capital Income and Opportunities Fund since 2019.
New York, New York
December 23, 2021
Annual Report | October 31, 2021 | 5 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
CORPORATE BONDS-5.93% | ||||||||
Banks - 2.03% | ||||||||
Credit Suisse AG, 7.624% (Variable Rate), 07/31/2030 | $ | 10,000 | $ | 10,003 | ||||
Credit Suisse AG, 7.624% (Variable Rate), 10/30/2030 | 420,000 | 442,805 | ||||||
Morgan Stanley, 5.718% (Variable Rate), 04/30/2030 | 25,000 | 24,039 | ||||||
Morgan Stanley, 7.624% (Variable Rate), 07/31/2030 | 80,000 | 75,780 | ||||||
Morgan Stanley, 6.671% (Variable Rate), 10/30/2030 | 80,000 | 83,392 | ||||||
Morgan Stanley, 3.780% (Variable Rate), 09/26/2033 | 428,000 | 395,414 | ||||||
Morgan Stanley, 3.812% (Variable Rate), 10/31/2033 | 266,000 | 238,424 | ||||||
Morgan Stanley, 3.812% (Variable Rate), 02/28/2034 | 478,000 | 438,843 | ||||||
Morgan Stanley, 3.812% (Variable Rate), 03/31/2034 | 276,000 | 247,507 | ||||||
Morgan Stanley, 3.812% (Variable Rate), 03/31/2034 | 26,000 | 23,148 | ||||||
Morgan Stanley, 3.812% (Variable Rate), 04/30/2034 | 66,000 | 55,979 | ||||||
Morgan Stanley, 3.812% (Variable Rate), 05/30/2034 | 89,000 | 77,860 | ||||||
Morgan Stanley, 4.765% (Variable Rate), 06/30/2034 | 460,000 | 412,787 | ||||||
Morgan Stanley, 3.812% (Variable Rate), 07/31/2034 | 25,000 | 22,994 | ||||||
Morgan Stanley, 4.725% (Variable Rate), 08/29/2034 | 161,000 | 146,507 | ||||||
Morgan Stanley, 4.725% (Variable Rate), 08/29/2034 | 10,000 | 8,859 | ||||||
Morgan Stanley, 4.765% (Variable Rate), 09/30/2034 | 88,000 | 78,376 | ||||||
Morgan Stanley, 6.671% (Variable Rate), 09/30/2034 | 231,000 | 224,023 | ||||||
Morgan Stanley, 7.070% (Variable Rate), 10/08/2034 | 32,000 | 29,943 | ||||||
Morgan Stanley, 4.765% (Variable Rate), 10/31/2034 | 103,000 | 97,608 | ||||||
Morgan Stanley, 4.765% (Variable Rate), 10/31/2034 | 181,000 | 171,874 | ||||||
Morgan Stanley, 6.671% (Variable Rate), 10/31/2034 | 357,000 | 345,806 | ||||||
Morgan Stanley, 4.725% (Variable Rate), 11/28/2034 | 25,000 | 22,398 | ||||||
Morgan Stanley, 6.615% (Variable Rate), 11/28/2034 | 231,000 | 232,021 | ||||||
Morgan Stanley, 4.765% (Variable Rate), 01/30/2035 | 175,000 | 163,339 | ||||||
Morgan Stanley, 7.624% (Variable Rate), 01/30/2035 | 69,000 | 67,010 | ||||||
Morgan Stanley, 4.725% (Variable Rate), 02/27/2035 | 36,000 | 34,148 | ||||||
Morgan Stanley, 4.765% (Variable Rate), 03/31/2035 | 114,000 | 106,590 | ||||||
Morgan Stanley, 5.718% (Variable Rate), 03/31/2035 | 527,000 | 510,967 | ||||||
Morgan Stanley, 9.450% (Variable Rate), 02/29/2036 | 61,000 | 59,281 | ||||||
Morgan Stanley, 9.450% (Variable Rate), 04/28/2036 | 10,000 | 10,500 | ||||||
Morgan Stanley, 9.530% (Variable Rate), 06/30/2036 | 40,000 | 39,606 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 08/31/2036 | 2,289,000 | 2,334,642 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 09/30/2036 | 40,000 | 41,520 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 11/29/2036 | 103,000 | 106,941 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 01/31/2037 | 224,000 | 215,607 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 03/31/2037 | 747,000 | 789,952 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 04/28/2037 | 40,000 | 40,207 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 05/31/2037 | 25,000 | 26,337 | ||||||
Morgan Stanley, 9.000% (Variable Rate), 08/31/2037 | 58,000 | 58,006 | ||||||
8,511,043 | ||||||||
Consumer Services - 1.46% | ||||||||
Adtalem Global Education, Inc., 5.500%, 03/01/2028(a) | 6,050,000 | 6,125,625 | ||||||
6,125,625 |
6 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
Entertainment Content - 0.42% | ||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co., 12.750%, 12/01/2026(a) | $ | 2,750,000 | $ | 1,760,000 | ||||
1,760,000 | ||||||||
Food - 0.19% | ||||||||
Post Holdings, Inc., 5.500%, 12/15/2029(a) | 750,000 | 801,563 | ||||||
801,563 | ||||||||
Internet Media & Services - 0.64% | ||||||||
Uber Technologies, Inc., 6.250%, 01/15/2028(a) | 2,500,000 | 2,693,750 | ||||||
2,693,750 | ||||||||
Real Estate Owners & Developers - 0.44% | ||||||||
China Evergrande Group, 8.250%, 03/23/2022 | 5,000,000 | 1,575,500 | ||||||
China Evergrande Group, 7.500%, 06/28/2023 | 1,000,000 | 252,500 | ||||||
1,828,000 | ||||||||
Specialty Finance - 0.54% | ||||||||
PennyMac Financial Services, Inc., 5.375%, 10/15/2025(a) | 1,250,000 | 1,295,313 | ||||||
PennyMac Financial Services, Inc., 5.750%, 09/15/2031(a) | 1,000,000 | 986,250 | ||||||
2,281,563 | ||||||||
Steel - 0.21% | ||||||||
AK Steel Corp., 7.000%, 03/15/2027 | 880,000 | 902,000 | ||||||
902,000 | ||||||||
TOTAL CORPORATE BONDS | 24,903,544 | |||||||
(Cost $25,808,617) | ||||||||
SENIOR LOANS-35.97% | ||||||||
Advertising & Marketing - 0.50% | ||||||||
Terrier Media Buyer, Inc., First Lien 2021 B Term Loan, 1M US L + 3.50%, 12/17/2026 | 2,109,811 | 2,104,410 | ||||||
2,104,410 | ||||||||
Apparel & Textile Products - 0.09% | ||||||||
New Trojan Parent, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/06/2028 | 359,100 | 358,576 | ||||||
358,576 | ||||||||
Asset Management - 1.57% | ||||||||
Advisor Group Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 4.50%, 07/31/2026 | 476,364 | 477,283 | ||||||
Blucora, Inc., First Lien Term Loan, 3M US L + 4.00%, 05/22/2024 | 504,587 | 505,848 | ||||||
NFP Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 02/15/2027 | 2,770,263 | 2,740,829 | ||||||
USI, Inc., First Lien Term Loan, 3M US L + 3.00%, 05/16/2024 | 2,881,800 | 2,864,034 | ||||||
6,587,994 |
Annual Report | October 31, 2021 | 7 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
Automotive - 0.60% | ||||||||
American Axle & Manufacturing, Inc., First Lien Term Loan, 1M US L + 2.25%, 04/06/2024 | $ | 631,438 | $ | 631,438 | ||||
Holley Purchaser, Inc., First Lien Term Loan, 1M US L + 5.00%, 10/26/2025 | 743,747 | 746,536 | ||||||
Truck Hero, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 01/31/2028 | 1,139,275 | 1,135,715 | ||||||
2,513,689 | ||||||||
Banks - 0.18% | ||||||||
Aretec Group, Inc., First Lien Term Loan, 1M US L + 4.25% (Variable Rate), 10/01/2025 | 482,560 | 482,560 | ||||||
VFH Parent LLC, First Lien Term Loan, 1M US L + 3.00% (Variable Rate), 03/01/2026 | 261,181 | 260,956 | ||||||
743,516 | ||||||||
Business Equipment & Services - 0.39% | ||||||||
Intrado Corp., First Lien Term Loan, 3M US L + 3.50%, 10/10/2024 | 859,311 | 842,485 | ||||||
Intrado Corp., First Lien Initial B Term Loan, 3M US L + 4.00%, 10/10/2024 | 809,446 | 796,503 | ||||||
1,638,988 | ||||||||
Cable & Satellite - 0.55% | ||||||||
Radiate HoldCo LLC, First Lien B Term Loan, 1M US L + 3.50%, 09/25/2026 | 2,330,664 | 2,327,622 | ||||||
2,327,622 | ||||||||
Chemicals - 0.47% | ||||||||
Ascend Performance Materials Operations LLC, First Lien 2021 Refinancing Term Loan, 3M US L + 4.75%, 08/27/2026 | 406,433 | 410,968 | ||||||
CPC Acquisition Corp., First Lien Initial Term Loan, 3M US L + 3.75%, 12/29/2027 | 393,025 | 393,025 | ||||||
CPC Acquisition Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 12/29/2028 | 175,000 | 175,656 | ||||||
HB Fuller Co., First Lien Term Loan, 1M US L + 2.00%, 10/20/2024 | 145,837 | 146,020 | ||||||
Polar US Borrower LLC, First Lien Term Loan, 3M US L + 4.75%, 10/16/2025 | 834,938 | 835,632 | ||||||
1,961,301 | ||||||||
Commercial Support Services - 0.79% | ||||||||
Amentum Government Services Holdings LLC, First Lien Term Loan, 1M US L + 3.50%, 01/31/2027 | 535,088 | 534,197 | ||||||
GFL Environmental, Inc., First Lien Term Loan, 3M US L + 3.00%, 05/31/2025 | 957,420 | 960,412 | ||||||
Northstar Group Services, Inc., First Lien Term Loan, 1M US L + 5.50%, 11/12/2026 | 623,094 | 625,041 | ||||||
RR Donnelley & Sons Co., First Lien Term Loan, 1M US L + 5.00%, 01/15/2024 | 1,201,265 | 1,203,067 | ||||||
3,322,717 | ||||||||
Consumer Services - 0.45% | ||||||||
HGIM Corp., First Lien Term Loan, 3M US L + 6.00%, 07/02/2023 | 1,339,535 | 1,031,442 | ||||||
KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025 | 876,679 | 870,161 | ||||||
1,901,603 | ||||||||
Containers & Packaging - 1.99% | ||||||||
Charter Next Generation, Inc., First Lien Initial (2021) Term Loan, 1M US L + 3.75%, 12/01/2027 | 1,809,321 | 1,816,242 |
8 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
Flex Acquisition Co., Inc., First Lien Term Loan, 3M US L + 3.00%, 06/29/2025 | $ | 2,738,396 | $ | 2,720,500 | ||||
Flex Acquisition Company, Inc., First Lien 2021 Specified Refinancing Term Loan, 3M US L + 3.50%, 03/02/2028 | 945,204 | 943,824 | ||||||
Graham Packaging Co., Inc., First Lien Term Loan, 1M US L + 3.00%, 08/04/2027 | 437,446 | 436,973 | ||||||
Mauser Packaging Solutions Holding Company, First Lien Initial Term Loan, 1M US L + 3.25%, 04/03/2024 | 1,532,412 | 1,494,585 | ||||||
Pactiv Evergreen, Inc., First Lien Tranche B-2 U.S. Term Loan, 1M US L + 3.25%, 02/05/2026 | 937,913 | 933,354 | ||||||
8,345,478 | ||||||||
Electric Utilities - 0.18% | ||||||||
Nautilus Power LLC, First Lien Term Loan, 1M US L + 4.25%, 05/16/2024 | 862,197 | 764,122 | ||||||
764,122 | ||||||||
Electrical Equipment - 0.04% | ||||||||
Energy Acquisition LP, First Lien Initial Term Loan, 3M US L + 4.25%, 06/26/2025 | 157,616 | 156,572 | ||||||
156,572 | ||||||||
Engineering & Construction - 0.51% | ||||||||
Fluidra Finco SL, First Lien Term Loan, 1M EUR L + 2.00%, 07/02/2025 | 560 | 647 | ||||||
MX Holdings US, Inc., First Lien Term Loan, 1M US L + 2.50%, 07/25/2025 | 1,460,372 | 1,458,393 | ||||||
Rockwood Service Corp., First Lien Term Loan, 1M US L + 4.00%, 01/23/2027 | 375,511 | 375,746 | ||||||
Service Logic Acquisition, Inc., First Lien Term Loan, 3M US L + 4.00%, 10/29/2027 | 266,210 | 267,708 | ||||||
Service Logic Acquisition, Inc., First Lien Term Loan, 3M US L + 4.00%, 10/29/2027 | 28,242 | 28,400 | ||||||
2,130,894 | ||||||||
Entertainment Content - 0.34% | ||||||||
Alchemy Copyrights LLC, First Lien Term Loan, 1M US L + 3.00%, 08/14/2027 | 281,905 | 282,610 | ||||||
Univision Communications, Inc., First Lien Term Loan, 1M US L + 2.75%, 03/15/2024 | 1,144,804 | 1,145,640 | ||||||
1,428,250 | ||||||||
Food - 0.54% | ||||||||
Atkins Nutritionals Holdings, Inc., First Lien Term Loan, 1M US L + 3.75%, 07/07/2024 | 423,452 | 426,232 | ||||||
CHG PPC Parent LLC, First Lien Term Loan, 1M US L + 2.75%, 03/30/2025 | 203,209 | 202,193 | ||||||
H-Food Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.6875%, 05/23/2025 | 1,659,903 | 1,653,529 | ||||||
2,281,954 | ||||||||
Food Service - 0.23% | ||||||||
IRB Holding Corp., First Lien Fourth Amendment Incremental Term Loan, 3M US L + 3.25%, 12/15/2027 | 982,575 | 983,720 | ||||||
983,720 | ||||||||
Food/Drug Retailers - 0.47% | ||||||||
Moran Foods LLC, First Lien -2020 Term Loan, 3M US L + 7.00%, 04/01/2024 | 896,115 | 920,890 | ||||||
Moran Foods, LLC TLA, Second Lien Term Loan, 3M US L + 10.75%, 10/01/2024 | 1,195,468 | 1,040,263 | ||||||
1,961,153 |
Annual Report | October 31, 2021 | 9 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
Health Care - 1.89% | ||||||||
Accelerated Health Systems LLC, First Lien Term Loan, 1M US L + 3.50%, 11/01/2025 | $ | 322,098 | $ | 320,890 | ||||
Bausch Health Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/02/2025 | 2,687,851 | 2,684,786 | ||||||
Cano Health LLC, First Lien Initial Term Loan, 3M US L + 4.50%, 11/23/2027 | 82,863 | 82,966 | ||||||
Endo Luxembourg Finance Company I S.a r.l., First Lien 2021 Term Loan, 3M US L + 5.00%, 03/27/2028 | 685,419 | 670,186 | ||||||
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025 | 2,310,099 | 1,920,997 | ||||||
eResearchTechnology, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 02/04/2027 | 268,640 | 270,170 | ||||||
LifeScan Global Corp., First Lien Term Loan, 3M US L + 6.00%, 10/01/2024 | 648,108 | 645,136 | ||||||
Medical Solutions Holdings, Inc., First Lien Term Loan, 1M US L + 4.50%, 06/14/2024 | 396,594 | 397,750 | ||||||
Ortho-Clinical Diagnostics SA, First Lien Term Loan, 1M US L + 3.00%, 06/30/2025 | 491,971 | 492,279 | ||||||
Unified Women’s Healthcare LP, First Lien Initial Term Loan, 1M US L + 4.25%, 12/20/2027 | 436,425 | 437,571 | ||||||
7,922,731 | ||||||||
Home & Office Products - 0.13% | ||||||||
Weber-Stephen Products LLC, First Lien Initial B Term Loan, 1M US L + 3.25%, 10/30/2027 | 534,755 | 536,539 | ||||||
536,539 | ||||||||
Home Construction - 0.05% | ||||||||
CP Atlas Buyer, Inc., First Lien B Term Loan, 3M US L + 3.75%, 11/23/2027 | 228,850 | 227,789 | ||||||
227,789 | ||||||||
Household Products - 0.40% | ||||||||
Parfums Holding Co., Inc., First Lien Term Loan, 1M US L + 4.00%, 06/30/2024 | 1,663,283 | 1,660,164 | ||||||
1,660,164 | ||||||||
Industrial Intermediate Prod - 0.53% | ||||||||
Gates Global LLC, First Lien Term Loan, 1M US L + 2.50%, 03/31/2027 | 1,817,577 | 1,815,396 | ||||||
Werner FinCo LP, First Lien Term Loan, 3M US L + 4.00%, 07/24/2024 | 427,705 | 428,774 | ||||||
2,244,170 | ||||||||
Industrial Support Services - 0.25% | ||||||||
Gloves Buyer, Inc., First Lien Term Loan, 1M US L + 3.75%, 01/06/2028 | 313,425 | 313,916 | ||||||
Yak Access LLC, First Lien Term Loan, 3M US L + 5.00%, 07/11/2025 | 850,974 | 722,264 | ||||||
1,036,180 | ||||||||
Insurance - 2.97% | ||||||||
Acrisure LLC, First Lien 2020 Term Loan, 3M US L + 3.50%, 02/15/2027 | 2,718,986 | 2,687,718 | ||||||
Alliant Holdings Intermediate LLC, First Lien 2018 Initial Term Loan, 1M US L + 3.25%, 05/09/2025 | 2,403,375 | 2,385,974 | ||||||
AssuredPartners, Inc., First Lien 2020 February Refinancing Term Loan, 1M US L + 3.50%, 02/12/2027 | 2,945,286 | 2,929,337 | ||||||
Asurion LLC, Second Lien New B-3 Term Loan, 1M US L + 5.25%, 01/31/2028 | 500,000 | 498,705 |
10 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
BroadStreet Partners, Inc., First Lien Term Loan, 1M US L + 3.00%, 01/27/2027 | $ | 931,404 | $ | 921,364 | ||||
Hub International, Ltd., First Lien Initial Term Loan, 3M US L + 2.75%, 04/25/2025 | 3,052,522 | 3,021,997 | ||||||
12,445,095 | ||||||||
Internet Media & Services - 0.32% | ||||||||
Arches Buyer, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/06/2027 | 431,738 | 430,388 | ||||||
Research Now Group, Inc., First Lien Initial Term Loan, 3M US L + 5.50%, 12/20/2024 | 906,950 | 897,800 | ||||||
1,328,188 | ||||||||
Leisure Facilities & Services - 4.48% | ||||||||
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, 3M US L + 5.00%, 12/29/2025 | 267,340 | 199,970 | ||||||
AMC Entertainment Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 3.00%, 04/22/2026 | 939,964 | 869,274 | ||||||
Aristocrat Leisure, Ltd., First Lien Initial Term Loan, 3M US L + 3.75%, 10/19/2024 | 1,710,810 | 1,717,046 | ||||||
Caesars Resort Collection LLC, First Lien B Term Loan, 1M US L + 2.75%, 12/23/2024 | 2,604,620 | 2,595,217 | ||||||
Carnival Corporation TLB 1L, First Lien Term Loan, %, 10/06/2028 | 3,500,000 | 3,501,102 | ||||||
ClubCorp Holdings, Inc., First Lien B Term Loan, 3M US L + 2.75%, 09/18/2024 | 902,853 | 854,041 | ||||||
Crown Finance US, Inc., First Lien Initial B-1 Term Loan, 3M US L + 7.00 (PIK Rate 8.25%, Cash Rate 7.00%)%, 05/23/2024(b) | 10,803 | 13,114 | ||||||
Fitness International LLC, First Lien Term Loan, 3M US L + 3.25%, 04/18/2025 | 1,509,884 | 1,408,065 | ||||||
Golden Nugget LLC, First Lien Term Loan, 3M US L + 2.50%, 10/04/2023 | 2,030,988 | 2,023,463 | ||||||
Hilton Worldwide Finance LLC, First Lien Term Loan, 1M US L + 1.75%, 06/21/2026 | 297,475 | 295,494 | ||||||
IRB Holding Corp., First Lien 2020 Replacement B Term Loan, 3M US L + 2.75%, 02/05/2025 | 1,491,197 | 1,489,408 | ||||||
NPC International, Inc., Second Lien Initial Term Loan, 1M US L + 0.00%, 04/18/2025 | 605,000 | 12,100 | ||||||
Portillo's Holdings LLC, First Lien Term Loan, 1M US L + 5.50%, 12/06/2024 | 706,723 | 708,490 | ||||||
Scientific Games International, Inc., First Lien Initial B-5 Term Loan, 1M US L + 2.75%, 08/14/2024 | 2,747,201 | 2,739,549 | ||||||
Tacala Investment Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 02/05/2027 | 370,391 | 370,161 | ||||||
18,796,494 | ||||||||
Machinery - 0.87% | ||||||||
ASP Navigate Acquisition Corp., First Lien Initial Term Loan, 3M US L + 4.50%, 10/06/2027 | 431,738 | 432,549 | ||||||
CPM Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 11/15/2025 | 365,859 | 364,762 | ||||||
Granite US Holdings Corp., First Lien Term Loan, 3M US L + 4.00%, 09/30/2026 | 921,888 | 921,888 | ||||||
Star US Bidco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 03/17/2027 | 441,523 | 443,730 | ||||||
Welbilt, Inc., First Lien Term Loan, 1M US L + 2.50%, 10/23/2025 | 1,500,000 | 1,496,250 | ||||||
3,659,179 | ||||||||
Metals & Mining - 0.29% | ||||||||
Covia Holdings LLC, First Lien Term Loan, 3M US L + 4.00%, 07/31/2026 | 856,228 | 854,893 | ||||||
NeuStar, Inc., First Lien Term Loan, 1M US L + 3.50%, 08/08/2024 | 367,355 | 367,900 | ||||||
1,222,793 | ||||||||
Oil & Gas Producers - 0.52% | ||||||||
EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025 | 1,703,904 | 1,700,445 |
Annual Report | October 31, 2021 | 11 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
GMP Borrower LLC Term, First Lien Term Loan, 1M US L + 4.50%, 10/28/2027 | $ | 171,873 | $ | 156,404 | ||||
Lucid Energy Group II Borrower, LLC, First Lien Term Loan, 1M US L + 3.00%, 02/19/2025 | 310,061 | 308,382 | ||||||
2,165,231 | ||||||||
Oil & Gas Services & Equip - 0.32% | ||||||||
US Silica Co., First Lien Term Loan, 1M US L + 4.00%, 05/01/2025 | 1,375,396 | 1,351,326 | ||||||
1,351,326 | ||||||||
Publishing & Broadcasting - 1.42% | ||||||||
Clear Channel Outdoor Holdings, Inc., First Lien B Term Loan, 3M US L + 3.50%, 08/21/2026 | 1,936,443 | 1,908,393 | ||||||
Cumulus Media New Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 03/31/2026 | 666,798 | 667,451 | ||||||
Entercom Media Corp., First Lien Term Loan, 1M US L + 2.50%, 11/17/2024 | 1,541,157 | 1,533,212 | ||||||
iHeart Communications, Inc., First Lien Term Loan, 1M US L + 3.00%, 05/01/2026 | 1,420,762 | 1,411,882 | ||||||
Meredith Corp., First Lien Term Loan, 3M US L + 4.25%, 01/31/2025 | 442,019 | 451,918 | ||||||
5,972,856 | ||||||||
Real Estate Services - 0.31% | ||||||||
Cushman & Wakefield US Borrower LLC, First Lien Term Loan, 1M US L + 2.75%, 08/21/2025 | 1,317,781 | 1,310,777 | ||||||
1,310,777 | ||||||||
REIT - 0.14% | ||||||||
Forest City Enterprises LP, First Lien Replacement Term Loan, 1M US L + 3.50%, 12/08/2025 | 583,694 | 577,402 | ||||||
577,402 | ||||||||
Retail - Discretionary - 2.10% | ||||||||
Belkron Finance US LLC, First Lien Term Loan, 3M US L + 2.25%, 11/13/2025 | 326,754 | 325,869 | ||||||
LBM Acquisition LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 12/17/2027 | 833,471 | 823,632 | ||||||
LS Group Opco Acquisition LLC, First Lien Initial Term Loan, 3M US L + 3.25%, 11/02/2027 | 967,688 | 968,597 | ||||||
Park River Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.25%, 12/28/2027 | 462,674 | 461,411 | ||||||
Peer Holding III B.V., First Lien Facility B Term Loan, 3M EUR L + 3.00%, 03/07/2025 | 3,659,551 | 4,199,822 | ||||||
RVR Dealership Holdings LLC, First Lien Term Loan, 3M US L + 4.00%, 02/08/2028 | 368,150 | 368,150 | ||||||
White Cap Buyer LLC, First Lien Initial Closing Date Term Loan, 1M US L + 4.00%, 10/19/2027 | 1,394,783 | 1,399,540 | ||||||
Woof Holdings, Inc., First Lien Term Loan, 3M US L + 3.75%, 12/21/2027 | 268,649 | 269,322 | ||||||
8,816,343 | ||||||||
Retailers (except food & drug) - 0.18% | ||||||||
Men's Wearhouse LLC, First Lien Term Loan, 3M US L + 11.00%, 06/01/2025 | 268,556 | 265,871 | ||||||
Men's Wearhouse LLC, First Lien Term Loan, 3M US L + 8.00%, 12/01/2025 | 599,267 | 505,781 | ||||||
771,652 |
12 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
Semiconductors - 0.08% | ||||||||
Cohu, Inc., First Lien Initial B Term Loan, 3M US L + 3.00%, 10/01/2025 | $ | 333,887 | $ | 333,366 | ||||
333,366 | ||||||||
Software - 4.00% | ||||||||
Ascend Learning LLC, First Lien Term Loan, 1M US L + 3.00%, 07/12/2024 | 395,525 | 395,701 | ||||||
Ascend Learning LLC, First Lien Term Loan, 1M US L + 3.75%, 07/12/2024 | 499,206 | 500,142 | ||||||
Boxer Parent Company, Inc., First Lien 2021 Replacement Dollar Term Loan, 3M US L + 3.75%, 10/02/2025 | 2,346,314 | 2,333,409 | ||||||
Brave Parent Holdings, Inc., First Lien Term Loan, 1M US L + 4.00%, 04/19/2025 | 221,002 | 221,357 | ||||||
Camelot U.S. Acquisition 1 Co., First Lien Amendment No. 2 Incremental Term Loan, 1M US L + 3.00%, 10/30/2026 | 833,700 | 836,305 | ||||||
Castle US Holding Corp., First Lien Initial Dollar Term Loan, 3M US L + 3.75%, 01/29/2027 | 1,044,343 | 1,034,390 | ||||||
CentralSquare Technologies LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 08/29/2025 | 495,065 | 464,279 | ||||||
CommerceHub, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/29/2027 | 218,350 | 218,965 | ||||||
First Advantage Holdings LLC, First Lien Term Loan, 1M US L + 2.75%, 01/31/2027 | 327,792 | 327,465 | ||||||
Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026 | 964,832 | 967,109 | ||||||
Ivanti Software, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 12/01/2027 | 925,350 | 926,215 | ||||||
LogMeIn, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 08/31/2027 | 1,702,138 | 1,701,874 | ||||||
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024 | 1,894,095 | 1,898,006 | ||||||
MedAssets Software Intermediate Holdings, Inc., First Lien Term Loan, 3M US L + 3.75%, 01/28/2028 | 269,325 | 269,957 | ||||||
Momentive, Inc., First Lien Term Loan, 3M US L + 3.75%, 10/10/2025 | 650,601 | 649,381 | ||||||
Panther Purchaser LP, First Lien Term Loan, 3M US L + 4.50%, 01/08/2028 | 668,325 | 671,389 | ||||||
Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 4.75%, 07/05/2024 | 817,360 | 821,594 | ||||||
Riverbed Technology, Inc., First Lien 2020 Extension Term Loan, 1M US L + 6.00%, 12/31/2025 | 981,784 | 899,736 | ||||||
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025 | 1,632,710 | 1,629,648 | ||||||
16,766,922 | ||||||||
Specialty Finance - 0.21% | ||||||||
GreenSky Holdings LLC, First Lien Term Loan, 1M US L + 3.25%, 03/29/2025 | 889,444 | 887,220 | ||||||
887,220 | ||||||||
Technology Hardware - 1.39% | ||||||||
Global Tel*Link Corp., First Lien Term Loan, 1M US L + 4.25%, 11/29/2025 | 2,124,661 | 2,039,483 | ||||||
Global Tel*Link Corp., Second Lien Term Loan, 1M US L + 8.25%, 11/29/2026 | 862,587 | 809,970 | ||||||
TTM Technologies, Inc., First Lien Term Loan, 1M US L + 2.50%, 09/28/2024 | 893,432 | 893,990 | ||||||
VeriFone Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 08/20/2025 | 2,115,962 | 2,075,557 | ||||||
5,819,000 | ||||||||
Technology Services - 0.54% | ||||||||
24-7 Intouch, Inc., First Lien Term Loan, 1M US L + 4.75%, 08/24/2025 | 317,300 | 314,127 | ||||||
Acuris Finance US, Inc., First Lien Initial Dollar Term Loan, 3M US L + 4.00%, 02/16/2028 | 243,750 | 244,931 | ||||||
Flexential Intermediate Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2024 | 835,388 | 810,852 |
Annual Report | October 31, 2021 | 13 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Principal Amount | Fair Value | |||||||
Travelport Finance S.a r.l., First Lien Initial (Priority) Term Loan, 3M US L + 9.00%, 02/28/2025 | $ | 567,876 | $ | 589,246 | ||||
Travelport Finance S.a r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026 | 375,800 | 326,946 | ||||||
2,286,102 | ||||||||
Telecommunications - 1.01% | ||||||||
Northwest Fiber LLC, First Lien B-2 Term Loan, 1M US L + 3.75%, 04/30/2027 | 267,677 | 266,841 | ||||||
Telesat LLC, First Lien Term Loan, 1M US L + 2.75%, 12/06/2026 | 2,474,649 | 2,222,544 | ||||||
Zayo Group Holdings, Inc., First Lien Initial Dollar Term Loan, 1M US L + 3.00%, 03/09/2027 | 1,783,123 | 1,757,794 | ||||||
4,247,179 | ||||||||
Transportation & Logistics - 0.81% | ||||||||
American Airlines, Inc., First Lien 2018 Replacement Term Loan, 1M US L + 1.75%, 06/27/2025 | 1,729,869 | 1,677,653 | ||||||
Mileage Plus Holdings LLC, First Lien Initial Term Loan, 3M US L + 5.25%, 06/21/2027 | 655,000 | 698,436 | ||||||
SkyMiles IP, Ltd., First Lien Initial Term Loan, 3M US L + 3.75%, 10/20/2027 | 970,000 | 1,034,127 | ||||||
3,410,216 | ||||||||
Wholesale - Consumer Staples - 0.21% | ||||||||
United Natural Foods, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 10/22/2025 | 893,133 | 895,008 | ||||||
895,008 | ||||||||
Wholesale - Discretionary - 0.66% | ||||||||
Dealer Tire LLC, First Lien B-1 Term Loan, 1M US L + 4.25%, 12/12/2025 | 183,080 | 183,370 | ||||||
KAR Auction Services, Inc., First Lien Term Loan, 1M US L + 2.25%, 09/19/2026 | 2,662,465 | 2,595,904 | ||||||
2,779,274 | ||||||||
TOTAL SENIOR LOANS | 150,981,755 | |||||||
(Cost $151,106,065) | ||||||||
COMMON STOCK-0.79% | ||||||||
Local TV & Radio Broadcast-0.10% | ||||||||
Cumulus Media, Inc.(c) | 33,909 | 421,150 | ||||||
Electronics & Appliances Stores-0.00% | ||||||||
Everyware Global(c)(d) | 43,777 | – | ||||||
Marine Services-0.01% | ||||||||
Harvey Gulf Intl. Marine(c) | 7,413 | 25,946 | ||||||
Food & Drug Stores-0.00% | ||||||||
Save A Lot / Moran Foods(c)(d) | 56,338 | – | ||||||
Specialty Apparel Stores-0.00% | ||||||||
Mens Wearhouse(c) | 11,155 | 15,060 |
14 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Entertainment Facilities-0.12% | ||||||||
24 Hour Fitness Worldwide(c) | 306,005 | $ | 510,110 | |||||
Mineral & Precious Stone Mining-0.50% | ||||||||
Covia Equity(c) | 169,353 | 2,074,574 | ||||||
IT Services-0.01% | ||||||||
IQOR(c) | 4,941 | 56,822 | ||||||
Power Generation-0.05% | ||||||||
Longview Power LLC(c) | 61,813 | 216,346 | ||||||
TOTAL COMMON STOCK | 3,320,008 | |||||||
(Cost $3,224,966) | ||||||||
CLOSED END FUNDS-6.41% | ||||||||
Aberdeen Japan Equity Fund, Inc. | 105,265 | 975,807 | ||||||
Blackstone Strategic Credit Fund | 90,583 | 1,263,633 | ||||||
Calamos Long/Short Equity & Dynamic Income Trust | 4,489 | 92,833 | ||||||
Center Coast Brookfield MLP & Energy Infrastructure Fund | 57,744 | 869,047 | ||||||
ClearBridge Energy Midstream Opportunity Fund, Inc. | 7,238 | 173,784 | ||||||
Cushing MLP & Infrastructure Total Return Fund | 65,283 | 2,256,180 | ||||||
Delaware Investments Minnesota Municipal Income Fund II, Inc. | 24,197 | 346,259 | ||||||
Delaware Ivy High Income Opportunities Fund | 165,758 | 2,345,476 | ||||||
Ecofin Sustainable and Social | 2,343 | 34,325 | ||||||
Ellsworth Growth and Income Fund, Ltd. | 1,026 | 14,118 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 90 | 1,277 | ||||||
India Fund, Inc. | 87,891 | 1,964,364 | ||||||
Invesco Senior Income Trust | 492,047 | 2,209,291 | ||||||
Japan Smaller Capitalization Fund, Inc. | 7,794 | 68,665 | ||||||
Korea Fund, Inc. | 27,872 | 1,136,899 | ||||||
Miller/Howard High Dividend Fund | 333,513 | 3,435,183 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 103,239 | 940,507 | ||||||
New Ireland Fund, Inc.(c) | 83,100 | 1,042,905 | ||||||
Nuveen Diversified Dividend and Income Fund | 23,714 | 258,720 | ||||||
Nuveen Tax-Advantaged Total Return Strategy Fund | 5,924 | 69,192 | ||||||
PGIM Global High Yield Fund, Inc. | 680 | 10,662 | ||||||
PIMCO Energy & Tactical Credit Opportunities Fund | 11,944 | 156,228 | ||||||
Principal Real Estate Income Fund | 25,895 | 400,855 | ||||||
Salient Midstream & MLP Fund(c) | 440,446 | 2,973,010 | ||||||
Special Opportunities Fund, Inc. | 5,178 | 82,175 | ||||||
Taiwan Fund, Inc. | 645 | 23,027 | ||||||
Templeton Emerging Markets Fund/United States | 1,461 | 25,743 | ||||||
Templeton Global Income Fund | 30,991 | 169,211 | ||||||
Tortoise Energy Independence Fund, Inc. | 21,461 | 510,772 | ||||||
Tortoise Energy Infrastructure(c) | 13,784 | 411,452 |
Annual Report | October 31, 2021 | 15 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Tortoise Midstream Energy Fund(c) | 6,643 | $ | 213,971 | |||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 929 | 12,458 | ||||||
Vertical Capital Income Fund | 24,693 | 263,968 | ||||||
Virtus AllianzGI Convertible & Income Fund II | 265,220 | 1,434,840 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 2,518 | 21,579 | ||||||
Voya Emerging Markets High Income Dividend Equity Fund | 97,803 | 708,094 | ||||||
26,916,510 | ||||||||
TOTAL CLOSED END FUNDS | 26,916,510 | |||||||
(Cost $25,991,874) | ||||||||
PREFERRED STOCK-0.27% | ||||||||
Entertainment Facilities-0.27% | ||||||||
24 Hour Fitness Worldwide, Inc.(c) | 407,959 | 1,121,887 | ||||||
TOTAL PREFERRED STOCK | 1,121,887 | |||||||
(Cost $489,936) | ||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES-46.95% | ||||||||
Investment Companies-46.95% | ||||||||
26 Capital Acquisition Corp.(c) | 69,009 | 681,119 | ||||||
2MX Organic SA(c) | 13,079 | 146,658 | ||||||
5:01 Acquisition Corp.(c) | 91,755 | 901,952 | ||||||
890 5th Avenue Partners, Inc.(c) | 400 | 3,988 | ||||||
Abri SPAC I, Inc.(c) | 47,784 | 469,239 | ||||||
Accelerate Acquisition Corp.(c) | 66,589 | 648,577 | ||||||
Accretion Acquisition Corp.(c) | 37,212 | 377,330 | ||||||
ACE Convergence Acquisition Corp.(c) | 1,282 | 12,756 | ||||||
Achari Ventures Holdings Corp. I(c) | 38,684 | 391,482 | ||||||
Acropolis Infrastructure Acquisition Corp.(c) | 76,319 | 740,294 | ||||||
Adara Acquisition Corp.(c) | 35,768 | 350,884 | ||||||
Adit EdTech Acquisition Corp.(c) | 70,801 | 689,602 | ||||||
AEA-Bridges Impact Corp.(c) | 148,430 | 1,456,098 | ||||||
Aequi Acquisition Corp.(c) | 76,958 | 753,419 | ||||||
Aesther Healthcare Acquisition Corp.(c) | 115,745 | 1,174,812 | ||||||
AF Acquisition Corp.(c) | 70,129 | 683,056 | ||||||
African Gold Acquisition Corp.(c) | 176,315 | 1,717,308 | ||||||
Agile Growth Corp.(c) | 59,098 | 575,615 | ||||||
Agrico Acquisition Corp.(c) | 126,009 | 1,262,610 | ||||||
Alpha Healthcare Acquisition Corp. III(c) | 22,899 | 222,120 | ||||||
Alpha Partners Technology Merger Corp.(c) | 19,691 | 190,412 | ||||||
Alpine Acquisition Corp.(c) | 119,504 | 1,193,845 | ||||||
AltC Acquisition Corp.(c) | 61,326 | 623,072 | ||||||
AltEnergy Acquisition Corp.(c) | 19,755 | 198,538 | ||||||
Altitude Acquisition Corp.(c) | 55,783 | 551,694 |
16 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Angel Pond Holdings Corp.(c) | 33,960 | $ | 329,412 | |||||
Anthemis Digital Acquisitions I Corp.(c) | 26,136 | 262,667 | ||||||
Anzu Special Acquisition Corp. I(c) | 17,452 | 169,982 | ||||||
Apollo Strategic Growth Capital II(c) | 45,066 | 440,745 | ||||||
Arbor Rapha Capital Bioholding(c) | 71,555 | 721,274 | ||||||
Archimedes Tech SPAC Partners Co.(c) | 707 | 6,946 | ||||||
ArcLight Clean Transition Corp. II(c) | 66 | 644 | ||||||
Argus Capital Corp.(c) | 56,098 | 570,517 | ||||||
Aries I Acquisition Corp.(c) | 11,338 | 113,153 | ||||||
Arrowroot Acquisition Corp.(c) | 205,758 | 2,003,054 | ||||||
Artemis Strategic Investment Corp., Class B(c)(d) | 12,038 | 20,224 | ||||||
Artemis Strategic Investment Corp.(c) | 142,048 | 1,434,685 | ||||||
ARYA Sciences Acquisition Corp. V(c) | 12,591 | 124,651 | ||||||
Astrea Acquisition Corp.(c) | 1,854 | 18,355 | ||||||
Athena Consumer Acquisition Corp.(c) | 67,435 | 686,151 | ||||||
Athlon Acquisition Corp.(c) | 94,859 | 926,772 | ||||||
Atlantic Avenue Acquisition Corp.(c) | 143,984 | 1,413,923 | ||||||
Atlantic Coastal Acquisition Corp.(c) | 92,750 | 904,313 | ||||||
Atlas Crest Investment Corp. II(c) | 1,993 | 19,472 | ||||||
Austerlitz Acquisition Corp. II(c) | 27,662 | 270,811 | ||||||
Authentic Equity Acquisition Corp.(c) | 12,713 | 123,952 | ||||||
Avalon Acquisition, Inc.(c) | 64,673 | 653,197 | ||||||
Avanti Acquisition Corp.(c) | 66,245 | 651,188 | ||||||
Avista Public Acquisition Corp. II(c) | 2,914 | 29,111 | ||||||
B Riley Principal 150 Merger Corp.(c) | 20,367 | 216,094 | ||||||
B Riley Principal 250 Merger Corp.(c) | 52,757 | 514,908 | ||||||
Banner Acquisition Corp.(c) | 104,835 | 1,045,205 | ||||||
Bannix Acquisition Corp.(c) | 57,872 | 603,605 | ||||||
Belong Acquisition Corp.(c) | 46,905 | 455,917 | ||||||
Berenson Acquisition Corp. I(c) | 14,497 | 143,665 | ||||||
Biotech Acquisition Co.(c) | 109,702 | 1,072,886 | ||||||
Bite Acquisition Corp.(c) | 82,922 | 810,148 | ||||||
Black Mountain Acquisition Corp.(c) | 56,384 | 569,478 | ||||||
Black Spade Acquisition Co.(c) | 28,585 | 285,850 | ||||||
Blockchain Moon Acquisition Corp.(c) | 29,061 | 295,550 | ||||||
Blue Safari Group Acquisition Corp.(c) | 27,659 | 274,930 | ||||||
Blue Whale Acquisition Corp. I(c) | 16,386 | 159,272 | ||||||
BlueRiver Acquisition Corp.(c) | 3,329 | 32,524 | ||||||
Bluescape Opportunities Acquisition Corp.(c) | 125,455 | 1,231,968 | ||||||
BOA Acquisition Corp.(c) | 74,344 | 723,367 | ||||||
Broadscale Acquisition Corp.(c) | 10,459 | 101,975 | ||||||
Brookline Capital Acquisition Corp.(c) | 806 | 8,020 | ||||||
Build Acquisition Corp.(c) | 136 | 1,326 | ||||||
Burgundy Technology Acquisition Corp.(c) | 72,089 | 719,448 | ||||||
BYTE Acquisition Corp.(c) | 163,063 | 1,594,756 | ||||||
Cactus Acquisition Corp. 1, Ltd.(c) | 42,516 | 426,861 | ||||||
Capstar Special Purpose Acquisition Corp.(c) | 4,934 | 49,093 | ||||||
Carney Technology Acquisition Corp. II(c) | 81,138 | 793,530 |
Annual Report | October 31, 2021 | 17 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Cascade Acquisition Corp.(c) | 17,998 | $ | 179,440 | |||||
Catcha Investment Corp.(c) | 120,767 | 1,179,894 | ||||||
CC Neuberger Principal Holdings II(c) | 75,415 | 744,346 | ||||||
CC Neuberger Principal Holdings III(c) | 3,264 | 32,052 | ||||||
CENAQ Energy Corp.(c) | 122,480 | 1,213,777 | ||||||
CF Acquisition Corp. IV(c) | 120,133 | 1,177,303 | ||||||
CF Acquisition Corp. VI(c) | 21,465 | 209,069 | ||||||
CF Acquisition Corp. VIII(c) | 46,997 | 467,150 | ||||||
Chardan NexTech Acquisition 2 Corp.(c) | 30,163 | 300,423 | ||||||
Chavant Capital Acquisition Corp.(c) | 2,703 | 26,584 | ||||||
Churchill Capital Corp. VII(c) | 94,864 | 933,462 | ||||||
CHW Acquisition Corp.(c) | 4,203 | 40,895 | ||||||
CIIG Capital Partners II, Inc.(c) | 38,582 | 391,221 | ||||||
CITIC Capital Acquisition Corp.(c) | 167,000 | 1,676,680 | ||||||
Clarim Acquisition Corp.(c) | 18,438 | 180,692 | ||||||
Class Acceleration Corp.(c) | 69,349 | 676,846 | ||||||
CleanTech Acquisition Corp.(c) | 32,844 | 326,798 | ||||||
Clover Leaf Capital Corp.(c) | 17,737 | 177,725 | ||||||
Cohn Robbins Holdings Corp.(c) | 17,985 | 177,872 | ||||||
Colicity, Inc.(c) | 5,465 | 53,448 | ||||||
Constellation Acquisition Corp. I(c) | 4,700 | 45,966 | ||||||
Conx Corp.(c) | 30,069 | 296,180 | ||||||
Corner Growth Acquisition Corp.(c) | 65,755 | 644,399 | ||||||
Corner Growth Acquisition Corp. 2(c) | 32,871 | 324,765 | ||||||
COVA Acquisition Corp.(c) | 105,029 | 1,022,982 | ||||||
Crown PropTech Acquisitions(c) | 65,036 | 632,800 | ||||||
Crucible Acquisition Corp.(c) | 125,933 | 1,231,625 | ||||||
Crystal Peak Acquisition(c) | 68,967 | 666,221 | ||||||
Cushing NextGen Infrastructure(c) | 23,702 | 1,151,206 | ||||||
D & Z Media Acquisition Corp.(c) | 5,370 | 52,358 | ||||||
Data Knights Acquisition Corp.(c) | 43,918 | 443,572 | ||||||
Decarbonization Plus Acquisition Corp. IV(c) | 44,370 | 439,263 | ||||||
DEE Tech SA(c) | 41,293 | 463,028 | ||||||
Deep Lake Capital Acquisition Corp.(c) | 300 | 2,934 | ||||||
Deep Medicine Acquisition Corp.(c) | 54,461 | 547,878 | ||||||
Delwinds Insurance Acquisition Corp.(c) | 56,351 | 556,184 | ||||||
DHB Capital Corp.(c) | 5,252 | 51,181 | ||||||
DHC Acquisition Corp.(c) | 200 | 1,954 | ||||||
DiamondHead Holdings Corp.(c) | 74,868 | 729,214 | ||||||
Digital Transformation Opportunities Corp.(c) | 141,108 | 1,372,981 | ||||||
Digital World Acquisition Corp., Class B(c)(d) | 25,893 | 947,166 | ||||||
DILA Capital Acquisition Corp.(c) | 20,741 | 202,432 | ||||||
Direct Selling Acquisition Corp.(c) | 79,664 | 804,606 | ||||||
Disruptive Capital Acquisition Co., Ltd.(c) | 4,747 | 64,348 | ||||||
dMY Technology Group, Inc. VI(c) | 18,037 | 183,977 | ||||||
DPCM Capital, Inc.(c) | 4,918 | 48,295 | ||||||
Dragoneer Growth Opportunities Corp. II(c) | 8,270 | 82,783 | ||||||
DTRT Health Acquisition Corp.(c) | 172,460 | 1,719,426 |
18 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Duddell Street Acquisition Corp.(c) | 97,559 | $ | 957,054 | |||||
Dune Acquisition Corp.(c) | 63,725 | 631,515 | ||||||
E.Merge Technology Acquisition Corp.(c) | 188,453 | 1,856,262 | ||||||
Edify Acquisition Corp.(c) | 29,024 | 283,564 | ||||||
EdtechX Holdings Acquisition Corp. II(c) | 2,562 | 25,646 | ||||||
EJF Acquisition Corp.(c) | 47,658 | 476,103 | ||||||
Elliott Opportunity II Corp.(c) | 27,348 | 266,096 | ||||||
Empowerment & Inclusion Capital I Corp.(c) | 47,753 | 467,502 | ||||||
Endurance Acquisition Corp.(c) | 30,511 | 304,195 | ||||||
Energy Transition Partners BV(c) | 50,557 | 572,751 | ||||||
Enterprise 4.0 Technology Acquisition Corp.(c) | 44,710 | 451,571 | ||||||
Epiphany Technology Acquisition Corp.(c) | 140,733 | 1,376,369 | ||||||
EQ Health Acquisition Corp.(c) | 23,787 | 232,399 | ||||||
ESGEN Acquisition Corp.(c) | 58,882 | 594,708 | ||||||
ESM Acquisition Corp.(c) | 1,937 | 18,963 | ||||||
Eucrates Biomedical Acquisition Corp.(c) | 4,621 | 45,193 | ||||||
European Sustainable Growth Acquisition Corp.(c) | 6,732 | 67,320 | ||||||
Evo Acquisition Corp.(c) | 37,207 | 362,396 | ||||||
ExcelFin Acquisition Corp.(c) | 42,473 | 428,128 | ||||||
Executive Network Partnering Corp.(c) | 18,468 | 180,986 | ||||||
Far Peak Acquisition Corp.(c) | 21,527 | 235,936 | ||||||
FAST Acquisition Corp. II(c) | 124 | 1,214 | ||||||
Fat Projects Acquisition Corp.(c) | 61,845 | 620,305 | ||||||
Fat Projects Acquisition Corp., Class B(c)(d) | 4,886 | 11,238 | ||||||
FinServ Acquisition Corp. II(c) | 105 | 1,023 | ||||||
FinTech Acquisition Corp. VI(c) | 137,554 | 1,355,595 | ||||||
Fintech Ecosystem Development Corp.(c) | 42,096 | 431,063 | ||||||
Fintech Evolution Acquisition Group(c) | 35,678 | 346,077 | ||||||
First Light Acquisition Group, Inc.(c) | 20,605 | 207,698 | ||||||
FirstMark Horizon Acquisition Corp.(c) | 13,369 | 132,353 | ||||||
Flame Acquisition Corp.(c) | 177,120 | 1,730,462 | ||||||
Focus Impact Acquisition Corp.(c) | 45,779 | 460,537 | ||||||
Forest Road Acquisition Corp. II(c) | 9,944 | 97,053 | ||||||
Fortistar Sustainable Solutions Corp.(c) | 44,226 | 431,646 | ||||||
Fortress Value Acquisition Corp. III(c) | 34,526 | 337,146 | ||||||
Fortress Value Acquisition Corp. IV(c) | 27 | 264 | ||||||
Founder SPAC(c) | 113,245 | 1,138,112 | ||||||
Freedom Acquisition I Corp.(c) | 18,275 | 177,999 | ||||||
FTAC Hera Acquisition Corp.(c) | 64,701 | 633,423 | ||||||
FTAC Parnassus Acquisition Corp.(c) | 40,334 | 406,970 | ||||||
Fusion Acquisition Corp. II(c) | 126,201 | 1,232,984 | ||||||
Future Health ESG Corp.(c) | 77,163 | 770,858 | ||||||
G Squared Ascend II, Inc.(c) | 34,568 | 339,112 | ||||||
G&P Acquisition Corp.(c) | 43,330 | 427,234 | ||||||
G3 VRM Acquisition Corp.(c) | 103,276 | 1,033,276 | ||||||
Galata Acquisition Corp.(c) | 53,213 | 530,140 | ||||||
GFJ Esg Acquisition I SE(c) | 56,680 | 648,670 | ||||||
GigCapital5, Inc.(c) | 60,253 | 618,497 |
Annual Report | October 31, 2021 | 19 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
GigInternational1, Inc.(c) | 47,940 | $ | 475,570 | |||||
Gladstone Acquisition Corp.(c) | 37,300 | 371,695 | ||||||
Glass Houses Acquisition Corp.(c) | 82,242 | 800,215 | ||||||
Global Consumer Acquisition Corp.(c) | 36,026 | 357,378 | ||||||
Global SPAC Partners Co.(c) | 55,273 | 551,901 | ||||||
Global Synergy Acquisition Corp.(c) | 109,666 | 1,080,210 | ||||||
Global Technology Acquisition Corp. I(c) | 66,709 | 672,427 | ||||||
GO Acquisition Corp.(c) | 133,924 | 1,320,491 | ||||||
Goal Acquisitions Corp.(c) | 88,824 | 866,034 | ||||||
GoGreen Investments Corp.(c) | 54,411 | 550,639 | ||||||
Golden Arrow Merger Corp.(c) | 92,834 | 903,739 | ||||||
Golden Falcon Acquisition Corp.(c) | 139,454 | 1,365,255 | ||||||
Good Works II Acquisition Corp.(c) | 61,516 | 605,933 | ||||||
Gores Guggenheim, Inc.(c) | 443 | 4,749 | ||||||
Gores Holdings VII, Inc.(c) | 297,586 | 2,940,149 | ||||||
Gores Holdings VIII, Inc.(c) | 24,463 | 241,694 | ||||||
Gores Technology Partners II, Inc.(c) | 5,877 | 58,065 | ||||||
Gores Technology Partners, Inc.(c) | 1,934 | 19,127 | ||||||
Graf Acquisition Corp. IV(c) | 55,750 | 543,563 | ||||||
Haymaker Acquisition Corp. III, Class A(c) | 22,980 | 223,825 | ||||||
Health Assurance Acquisition Corp.(c) | 359 | 3,529 | ||||||
Healthcare Capital Corp.(c) | 55,144 | 547,580 | ||||||
Healthcare Services Acquisition Corp.(c) | 9,858 | 96,214 | ||||||
HH&L Acquisition Co.(c) | 30,622 | 298,565 | ||||||
HHG Capital Corp.(c) | 17,425 | 180,087 | ||||||
HIG Acquisition Corp.(c) | 103,397 | 1,016,393 | ||||||
Highland Transcend Partners I Corp.(c) | 31,494 | 312,735 | ||||||
Home Plate Acquisition Corp.(c) | 8,876 | 88,094 | ||||||
HPX Corp.(c) | 25,649 | 253,412 | ||||||
Hudson Executive Investment Corp. III(c) | 46,535 | 453,716 | ||||||
HumanCo Acquisition Corp.(c) | 14,319 | 141,901 | ||||||
I2PO SA(c) | 95,238 | 1,084,439 | ||||||
Ibere Pharmaceuticals(c) | 576 | 5,604 | ||||||
Iconic Sports Acquisition Corp.(c) | 37,262 | 377,091 | ||||||
IG Acquisition Corp.(c) | 13,337 | 131,636 | ||||||
Ignyte Acquisition Corp.(c) | 3,268 | 32,059 | ||||||
Industrial Human Capital, Inc.(c) | 14,916 | 151,547 | ||||||
Innovative International Acquisition Corp.(c) | 102,566 | 1,032,840 | ||||||
Insight Acquisition Corp.(c) | 33,637 | 327,961 | ||||||
International Media Acquisition Corp.(c) | 72,534 | 715,185 | ||||||
InterPrivate IV InfraTech Partners, Inc.(c) | 27,199 | 266,006 | ||||||
ION Acquisition Corp. 3, Ltd.(c) | 1,887 | 18,436 | ||||||
Iron Spark I, Inc. | 38,366 | 385,195 | ||||||
Isleworth Healthcare Acquisition Corp.(c) | 33,822 | 332,470 | ||||||
ITHAX Acquisition Corp.(c) | 107,529 | 1,048,408 | ||||||
Itiquira Acquisition Corp.(c) | 119,763 | 1,167,689 | ||||||
Jaws Juggernaut Acquisition Corp.(c) | 14,501 | 140,950 | ||||||
JOFF Fintech Acquisition Corp.(c) | 38,548 | 375,843 |
20 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Jupiter Acquisition Corp.(c) | 3,063 | $ | 30,354 | |||||
Kadem Sustainable Impact Corp.(c) | 75,482 | 733,685 | ||||||
Kairos Acquisition Corp.(c) | 11,102 | 108,467 | ||||||
Kensington Capital Acquisition Corp. V(c) | 58,918 | 580,931 | ||||||
Kernel Group Holdings, Inc.(c) | 59,893 | 583,957 | ||||||
Khosla Ventures Acquisition Co.(c) | 18,131 | 181,129 | ||||||
Kingswood Acquisition Corp.(c) | 43,907 | 444,339 | ||||||
KINS Technology Group, Inc.(c) | 128,748 | 1,284,261 | ||||||
KKR Acquisition Holdings I Corp.(c) | 11,582 | 113,388 | ||||||
KL Acquisition Corp.(c) | 63 | 615 | ||||||
KludeIn I Acquisition Corp.(c) | 30,562 | 301,341 | ||||||
L Catterton Asia Acquisition Corp.(c) | 5,761 | 56,285 | ||||||
Lakeshore Acquisition I Corp.(c) | 12,332 | 121,100 | ||||||
LAVA Medtech Acquisition Corp.(c) | 31,078 | 314,199 | ||||||
Lazard Growth Acquisition Corp. I(c) | 64,054 | 625,808 | ||||||
Lefteris Acquisition Corp.(c) | 43,328 | 425,481 | ||||||
Leo Holdings Corp. II(c) | 50,399 | 491,894 | ||||||
Levere Holdings Corp.(c) | 54,573 | 531,541 | ||||||
LightJump Acquisition Corp.(c) | 59,263 | 584,926 | ||||||
Lionheart Acquisition Corp. II(c) | 700 | 6,972 | ||||||
LMF Acquisition Opportunities, Inc.(c) | 59,099 | 590,104 | ||||||
M3-Brigade Acquisition III Corp.(c) | 14,905 | 149,050 | ||||||
Macondray Capital Acquisition Corp. I(c) | 84,283 | 825,973 | ||||||
Magnum Opus Acquisition, Ltd.(c) | 36,420 | 362,379 | ||||||
Malacca Straits Acquisition Co., Ltd.(c) | 29,663 | 295,443 | ||||||
Marblegate Acquisition Corp.(c) | 14,380 | 143,369 | ||||||
Marlin Technology Corp.(c) | 273,988 | 2,685,082 | ||||||
Mason Industrial Technology, Inc.(c) | 4,963 | 48,489 | ||||||
Maxpro Capital Acquisition Corp.(c) | 37,123 | 377,912 | ||||||
MCAP Acquisition Corp.(c) | 72,340 | 718,336 | ||||||
MDH Acquisition Corp.(c) | 54,356 | 537,037 | ||||||
Medicus Sciences Acquisition Corp.(c) | 80,321 | 781,523 | ||||||
Metals Acquisition Corp.(c) | 40,716 | 424,668 | ||||||
Minority Equality Opportunities Acquisition, Inc.(c) | 140,593 | 1,398,900 | ||||||
Mission Advancement Corp.(c) | 89,303 | 870,704 | ||||||
Monterey Bio Acquisition Corp.(c) | 24,230 | 247,146 | ||||||
Monument Circle Acquisition Corp.(c) | 189 | 1,845 | ||||||
Moringa Acquisition Corp.(c) | 33,160 | 321,984 | ||||||
Mount Rainier Acquisition Corp.(c) | 12,935 | 130,902 | ||||||
Mountain Crest Acquisition Corp. IV(c) | 34,801 | 342,268 | ||||||
Mudrick Capital Acquisition Corp. II(c) | 413,808 | 4,125,665 | ||||||
Music Acquisition Corp.(c) | 873 | 8,512 | ||||||
New Vista Acquisition Corp.(c) | 22,212 | 216,789 | ||||||
Newbury Street Acquisition Corp.(c) | 20,019 | 195,185 | ||||||
Newcourt Acquisition Corp.(c) | 70,797 | 714,342 | ||||||
Noble Rock Acquisition Corp.(c) | 56,711 | 554,066 | ||||||
North Atlantic Acquisition Corp.(c) | 57,083 | 557,701 | ||||||
North Mountain Merger Corp.(c) | 1,650 | 16,203 |
Annual Report | October 31, 2021 | 21 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Northern Lights Acquisition Corp.(c) | 134,409 | $ | 1,345,434 | |||||
Northern Star Investment Corp. III(c) | 9,349 | 91,340 | ||||||
Nova Vision Acquisition Corp.(c) | 32,258 | 319,986 | ||||||
Novus Capital Corp. II(c) | 4,792 | 47,872 | ||||||
OCA Acquisition Corp.(c) | 9,841 | 97,820 | ||||||
OceanTech Acquisitions I Corp.(c) | 55,467 | 554,115 | ||||||
Odyssey Acquisition SA(c) | 21,042 | 238,381 | ||||||
Omega Alpha SPAC(c) | 1,564 | 15,280 | ||||||
Omnichannel Acquisition Corp.(c) | 11,211 | 111,548 | ||||||
One Equity Partners Open Water I Corp.(c) | 72,832 | 712,297 | ||||||
Osiris Acquisition Corp.(c) | 23,175 | 226,072 | ||||||
Oxbridge Acquisition Corp.(c) | 17,547 | 174,417 | ||||||
Oxus Acquisition Corp.(c) | 52,867 | 523,383 | ||||||
Oyster Enterprises Acquisition Corp.(c) | 114,212 | 1,115,851 | ||||||
Pacifico Acquisition Corp.(c) | 7,239 | 71,377 | ||||||
Parabellum Acquisition Corp.(c) | 66,764 | 654,928 | ||||||
Parsec Capital Acquisitions Corp.(c) | 24,451 | 248,667 | ||||||
Pegasus Digital Mobility Acquisition Corp.(c) | 65,953 | 662,828 | ||||||
Pegasus Digital Mobility Acquisition Corp., Class B(c)(d) | 4,456 | 7,531 | ||||||
PepperLime Health Acquisition Corp.(c) | 23,753 | 236,342 | ||||||
Perception Capital Corp. II(c) | 90,260 | 908,918 | ||||||
Peridot Acquisition Corp. II(c) | 23,897 | 233,713 | ||||||
Phoenix Biotech Acquisition Corp.(c) | 17,679 | 178,735 | ||||||
PHP Ventures Acquisition Corp.(c) | 32,042 | 318,177 | ||||||
Pine Island Acquisition Corp.(c) | 33,933 | 332,883 | ||||||
Pine Technology Acquisition Corp.(c) | 162,272 | 1,577,284 | ||||||
Pioneer Merger Corp(c) | 17,566 | 175,309 | ||||||
Pivotal Investment Corp. III(c) | 14,002 | 137,220 | ||||||
Plum Acquisition Corp. I(c) | 3,600 | 35,064 | ||||||
PMV Consumer Acquisition Corp.(c) | 35,259 | 345,891 | ||||||
Poema Global Holdings Corp.(c) | 146,749 | 1,455,750 | ||||||
Pono Capital Corp.(c) | 35,866 | 356,508 | ||||||
Pontem Corp.(c) | 20,173 | 197,090 | ||||||
Population Health Investment Co., Inc.(c) | 487 | 4,773 | ||||||
Powered Brands(c) | 32,988 | 321,303 | ||||||
Primavera Capital Acquisition Corp.(c) | 176,947 | 1,728,772 | ||||||
Priveterra Acquisition Corp.(c) | 15,635 | 152,910 | ||||||
Progress Acquisition Corp.(c) | 8,014 | 78,537 | ||||||
Property Solutions Acquisition Corp. II(c) | 1,581 | 15,399 | ||||||
PropTech Investment Corp. II(c) | 41,944 | 409,793 | ||||||
Prospector Capital Corp.(c) | 16,976 | 165,686 | ||||||
Provident Acquisition Corp.(c) | 46,397 | 453,299 | ||||||
Pyrophyte Acquisition Corp.(c) | 59,361 | 600,140 | ||||||
Queen's Gambit Growth Capital(c) | 2,450 | 24,378 | ||||||
Recharge Acquisition Corp.(c) | 126,426 | 1,249,089 | ||||||
RedBall Acquisition Corp.(c) | 44,601 | 450,470 | ||||||
Revolution Healthcare Acquisition Corp.(c) | 9,057 | 88,759 | ||||||
Riverview Acquisition Corp.(c) | 347 | 3,456 |
22 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Rocket Internet Growth Opportunities Corp.(c) | 875 | $ | 8,549 | |||||
Rose Hill Acquisition Corp.(c) | 59,597 | 600,142 | ||||||
Rosecliff Acquisition Corp. I(c) | 77,689 | 755,137 | ||||||
Sanaby Health Acquisition Corp. I(c) | 47,612 | 480,405 | ||||||
Science Strategic Acquisition Corp. Alpha(c) | 77,759 | 761,261 | ||||||
ScION Tech Growth I(c) | 120,004 | 1,177,239 | ||||||
ScION Tech Growth II(c) | 3,839 | 37,430 | ||||||
SCP & Co. Healthcare Acquisition Co(c) | 400 | 3,900 | ||||||
Seaport Calibre Materials Acquisition Corp.(c) | 28,675 | 287,037 | ||||||
Senior Connect Acquisition Corp. I(c) | 185,610 | 1,817,122 | ||||||
Shelter Acquisition Corp. I(c) | 36,525 | 356,849 | ||||||
Sierra Lake Acquisition Corp.(c) | 66,804 | 667,372 | ||||||
Silver Crest Acquisition Corp.(c) | 154,643 | 1,535,605 | ||||||
Silver Spike III Acquisition Corp.(c) | 32,200 | 317,170 | ||||||
Skydeck Acquisition Corp.(c) | 13,316 | 129,432 | ||||||
Slam Corp.(c) | 33,858 | 331,131 | ||||||
Soar Technology Acquisition Corp.(c) | 57,784 | 587,663 | ||||||
Social Capital Suvretta Holdings Corp. I(c) | 67,658 | 671,167 | ||||||
Social Capital Suvretta Holdings Corp. II(c) | 58,318 | 578,515 | ||||||
Social Capital Suvretta Holdings Corp. III(c) | 41,385 | 409,712 | ||||||
Social Capital Suvretta Holdings Corp. IV(c) | 67,409 | 666,001 | ||||||
Social Leverage Acquisition Corp. I(c) | 4,685 | 45,819 | ||||||
Software Acquisition Group, Inc. III(c) | 45,702 | 451,079 | ||||||
Spartan Acquisition Corp. III(c) | 49,945 | 498,451 | ||||||
SportsMap Tech Acquisition Corp.(c) | 18,629 | 188,153 | ||||||
SportsTek Acquisition Corp.(c) | 34,022 | 330,694 | ||||||
Spring Valley Acquisition Corp.(c) | 2,339 | 23,296 | ||||||
Springwater Special Situations Corp.(c) | 58,969 | 578,486 | ||||||
StoneBridge Acquisition Corp.(c) | 109,133 | 1,080,417 | ||||||
Stratim Cloud Acquisition Corp.(c) | 3,298 | 32,123 | ||||||
Summit Healthcare Acquisition Corp.(c) | 42,915 | 416,061 | ||||||
Sustainable Development Acquisition I Corp.(c) | 34,708 | 340,138 | ||||||
SVF Investment Corp.(c) | 203,250 | 2,022,338 | ||||||
SVF Investment Corp. 2(c) | 221,778 | 2,213,344 | ||||||
SVF Investment Corp. 3(c) | 69,708 | 696,383 | ||||||
Tailwind International Acquisition Corp.(c) | 234,566 | 2,287,019 | ||||||
Tailwind Two Acquisition Corp.(c) | 13,721 | 135,701 | ||||||
Tastemaker Acquisition Corp.(c) | 74,624 | 734,300 | ||||||
TB SA Acquisition Corp.(c) | 81,664 | 795,407 | ||||||
Tech and Energy Transition Corp.(c) | 19,330 | 188,468 | ||||||
Tekkorp Digital Acquisition Corp.(c) | 1,256 | 12,321 | ||||||
Thrive Acquisition Corp.(c) | 66,291 | 669,539 | ||||||
Tiga Acquisition Corp.(c) | 126 | 1,278 | ||||||
Tio Tech A(c) | 22,150 | 215,741 | ||||||
TKB Critical Technologies 1(c) | 95,424 | 960,920 | ||||||
TLG Acquisition One Corp.(c) | 96,180 | 936,793 | ||||||
TPG Pace Beneficial II Corp.(c) | 150,036 | 1,476,354 | ||||||
TPG Pace Solutions Corp.(c) | 491 | 4,993 |
Annual Report | October 31, 2021 | 23 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
Transition SA(c) | 33,822 | $ | 382,968 | |||||
Trepont Acquisition Corp. I(c) | 90,763 | 904,453 | ||||||
Tribe Capital Growth Corp. I(c) | 72,859 | 714,018 | ||||||
Tuatara Capital Acquisition Corp.(c) | 15,548 | 151,438 | ||||||
Turmeric Acquisition Corp.(c) | 262 | 2,564 | ||||||
Twelve Seas Investment Co. II(c) | 652 | 6,344 | ||||||
TZP Strategies Acquisition Corp.(c) | 138,058 | 1,347,446 | ||||||
Valor Latitude Acquisition Corp.(c) | 9,401 | 92,506 | ||||||
VAM Investments Spac BV(c) | 25,279 | 280,537 | ||||||
Vector Acquisition Corp. II(c) | 658 | 6,409 | ||||||
Velocity Acquisition Corp.(c) | 18,000 | 178,560 | ||||||
Vy Global Growth(c) | 31,512 | 312,284 | ||||||
Warburg Pincus Capital Corp. I-A(c) | 451 | 4,446 | ||||||
Warrior Technologies Acquisition Co.(c) | 125,462 | 1,232,037 | ||||||
Williams Rowland Acquisition Corp.(c) | 93,179 | 925,267 | ||||||
WinVest Acquisition Corp.(c) | 115,745 | 1,140,088 | ||||||
World Quantum Growth Acquisition Corp.(c) | 84,860 | 832,477 | ||||||
Yunhong International(c) | 91 | 936 | ||||||
Zanite Acquisition Corp.(c) | 54,806 | 557,925 | ||||||
Z-Work Acquisition Corp.(c) | 1,024 | 9,994 | ||||||
197,045,483 | ||||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES | 197,045,483 | |||||||
(Cost $193,803,493) | ||||||||
WARRANTS-0.09%(c) | ||||||||
Alpha Healthcare Acquisition Corp. III, Expires 04/12/2027, Strike Price $11.50 | 3,816 | 3,511 | ||||||
Alpine Acquisition Corp., Expires 01/21/2023, Strike Price $11.50 | 59,752 | 27,378 | ||||||
Blue Whale Acquisition Corp. I, Expires 07/09/2023, Strike Price $11.50 | 102 | 143 | ||||||
Cineworld, Expires 11/23/2025, Strike Price $0.01 | 88,914 | 47,213 | ||||||
Crystal Peak Acquisition, Expires 06/22/2026, Strike Price $11.50 | 34,484 | 15,863 | ||||||
DEE Tech SA, Expires 06/23/2023, Strike Price $11.50 | 35,099 | 10,144 | ||||||
DTRT Health Acquisition Corp., Expires 11/12/2022, Strike Price $11.50 | 86,230 | 43,977 | ||||||
Energy Transition Partners BV, Expires 07/16/2026, Strike Price $11.50 | 16,852 | 6,020 | ||||||
Harvey Gulf, Expires 12/31/2049, Strike Price $0.01 | 16,636 | 58,226 | ||||||
I2PO SA, Expires 07/20/2023, Strike Price $11.50 | 95,238 | 24,771 | ||||||
Insight Acquisition Corp., Expires 02/11/2023, Strike Price $11.50 | 16,818 | 9,586 | ||||||
Minority Equality Opportunities Acquisition, Inc., Expires 04/29/2023, Strike Price $11.50 | 140,593 | 59,050 | ||||||
Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 31,088 | 9,326 | ||||||
Odyssey Acquisition SA, Expires 06/30/2026, Strike Price $11.50 | 7,014 | 6,689 | ||||||
Parabellum Acquisition Corp., Expires 03/26/2023, Strike Price $11.50 | 50,073 | 23,534 | ||||||
Transition SA, Expires 06/16/2026, Strike Price $11.50 | 33,822 | 6,856 | ||||||
VAM Investments Spac BV, Expires 07/27/2026, Strike Price $11.50 | 12,639 | 7,305 | ||||||
TOTAL WARRANTS | 359,592 | |||||||
(Cost $919,236) |
24 |
Saba Capital Income & Opportunities Fund | Schedule of Investments |
October 31, 2021 |
Shares | Fair Value | |||||||
RIGHTS-0.01%(c) | ||||||||
Nova Vision Acquisition Corp., Expires 08/10/2022 | 31,088 | $ | 10,570 | |||||
WinVest Acquisition Corp., Expires 12/17/2022 | 114,745 | 28,686 | ||||||
TOTAL RIGHTS | 39,256 | |||||||
(Cost $36,320) | ||||||||
SHORT TERM INVESTMENTS-1.40% | ||||||||
JPMorgan US Treasury Plus Money Market Fund, 7 Day yield 0.01% | 5,883,093 | 5,883,093 | ||||||
TOTAL SHORT TERM INVESTMENTS | 5,883,093 | |||||||
(Cost $5,883,093) | ||||||||
Total Investments - 97.82% | $ | 410,571,128 | ||||||
(Cost $407,263,600) | ||||||||
Other Assets in Excess of Liabilities - 2.18% | $ | 9,138,762 | ||||||
Net Assets - 100.00% | $ | 419,709,890 |
Amounts above are shown as a percentage of net assets as of October 31, 2021.
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933 (the "Securities Act"). Total market value of Rule 144A securities amounts to $13,662,501, which represented approximately 3.26% of net assets as of October 31, 2021. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
(b) | Represents a payment-in-kind (“PIK”) security which may pay interest/dividend in additional par/shares. |
(c) | Non-income producing security. |
(d) | 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. |
Investment Abbreviations:
LIBOR - London Interbank Offered Rate PIK - Payment in-kind
Reference Rates:
1M US L - 1 Month LIBOR as of October 31, 2021 was 0.09%
3M US L - 3 Month LIBOR as of October 31, 2021 was 0.13%
6M US L - 6 Month LIBOR as of October 31, 2021 was 0.20%
1M EUR L - 1 Month EURIBOR as of October 31, 2021 was (0.56)%
3M EUR L - 3 Month EURIBOR as of October 31, 2021 was (0.55)%
Annual Report | October 31, 2021 | 25 |
Saba Capital Income & Opportunities Fund | Statement of Assets and Liabilities |
October 31, 2021 |
ASSETS: | ||||
Investments, at fair value (Cost $407,263,600, respectively) | $ | 410,571,128 | ||
Receivables: | ||||
Investment securities sold | 72,559,233 | |||
Interest | 653,451 | |||
Prepaid expenses | 249,036 | |||
Other assets | 1,657 | |||
Total Assets | 484,034,505 | |||
LIABILITIES: | ||||
Notes payable | 50,000,000 | |||
Cash overdraft | 2,335,961 | |||
Payable for investment securities purchased | 10,860,015 | |||
Accrued interest payable | 61,070 | |||
Payable for investment management fees | 388,370 | |||
Payable for trustees fees | 64,168 | |||
Other accrued expenses | 615,031 | |||
Total Liabilities | 64,324,615 | |||
Net Assets | $ | 419,709,890 | ||
COMPOSITION OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES: | ||||
NET ASSETS WERE COMPRISED OF: | ||||
Paid-in capital | $ | 584,955,180 | ||
Total distributable loss | $ | (165,245,290 | ) | |
NET ASSETS | $ | 419,709,890 | ||
Net assets value per common share outstanding (net assets divided by 85,058,986 shares of beneficial interest authorized and outstanding, no par value) | $ | 4.93 |
26 |
Saba Capital Income & Opportunities Fund | Statement of Operations |
For the Period Ended October 31, 2021(a) |
INVESTMENT INCOME: | ||||
Investment Income | $ | 10,727,542 | ||
Total Investment Income | 10,727,542 | |||
EXPENSES: | ||||
Investment management fees (Note 4) | 3,834,370 | |||
Interest expense | 172,028 | |||
Transfer agent fees | 56,271 | |||
Custody and accounting expense | 234,038 | |||
Professional fees | 487,195 | |||
Shareholder reporting expense | 133,649 | |||
Trustees fees | 92,545 | |||
Miscellaneous expenses | 489,034 | |||
Other expenses | 130,533 | |||
Total Expenses | 5,629,663 | |||
Waived and reimbursed fees | (602,455 | ) | ||
Net expenses | 5,027,208 | |||
Net Investment Income | 5,700,334 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: | ||||
Net realized gain/(loss) on: | ||||
Investments | 3,623,485 | |||
Forward foreign currency contracts | 40,129 | |||
Foreign currency transactions | (83,818 | ) | ||
Net realized gain: | 3,579,796 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (166,353 | ) | ||
Forward foreign currency contracts | 91,000 | |||
Foreign currency related transactions | 88,257 | |||
Net change in unrealized appreciation (depreciation): | 12,904 | |||
Net realized and unrealized loss | 3,592,700 | |||
Net Increase in net assets resulting from operations | $ | 9,293,034 |
(a) | With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. |
Annual Report | October 31, 2021 | 27 |
Saba Capital Income & Opportunities Fund | Statements of Changes in Net Assets |
For the Period Ended October 31, 2021(a) | For the Year Ended February 28, 2021 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income | $ | 5,700,334 | $ | 22,651,755 | ||||
Net realized gain/(loss) | 3,579,796 | (98,682,859 | ) | |||||
Net change in unrealized appreciation on Investment securities and unfunded commitments | 12,904 | 48,601,471 | ||||||
Net Increase/(Decrease) in net assets resulting from Operations | 9,293,034 | (27,429,633 | ) | |||||
FROM DISTRIBUTIONS TO COMMON SHAREHOLDERS: | ||||||||
Total distributions (excluding return of capital) | (6,017,351 | ) | (25,024,961 | ) | ||||
Return of Capital | (10,729,227 | ) | (1,234,296 | ) | ||||
Decrease in net assets from distributions to common shareholders | (16,746,578 | ) | (26,259,257 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Cost of shares repurchased (Note 9) | (1,536,542 | ) | (18,727,020 | ) | ||||
Cost of shares repurchased in tender offer (Note 9) | (176,835,308 | ) | (104,862,043 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (178,371,850 | ) | (123,589,063 | ) | ||||
Net Decrease in net assets | (185,825,394 | ) | (177,277,953 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 605,535,284 | 782,813,237 | ||||||
End of period | $ | 419,709,890 | $ | 605,535,284 |
(a) | With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. |
28 |
Saba Capital Income & Opportunities Fund | Statements of Cash Flows |
For the Period Ended October 31, 2021(a) |
INCREASE (DECREASE) IN CASH | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net increase in net assets from operations: | $ | 9,293,034 | ||
Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities: | ||||
Purchases of securities | (400,422,187 | ) | ||
Proceeds from disposition of investment securities | 553,075,103 | |||
Purchases to cover securities sold short transactions | (6,568 | ) | ||
Amortization of premium and accretion of discount on investments | (1,238,429 | ) | ||
Net realized (gain)/loss on: | ||||
Investment securities | (3,623,485 | ) | ||
Forward foreign currency contracts | (40,129 | ) | ||
Net change in unrealized (appreciation)/depreciation on: | ||||
Investment securities | 166,353 | |||
Forward foreign currency contracts | (91,000 | ) | ||
(Increase)/Decrease in assets: | ||||
Interest receivable | 1,013,189 | |||
Reimbursement due from manager | 336,208 | |||
Prepaid expenses | (78,257 | ) | ||
Other assets | 12,886 | |||
Increase/(Decrease) in liabilities: | ||||
Accrued interest payable | (316,176 | ) | ||
Unrealized depreciation on forward foreign currency contracts | (91,000 | ) | ||
Bank overdraft | 2,335,961 | |||
Accrued investment advisory fees payable | (155,183 | ) | ||
Unfunded loan commitments | (433,490 | ) | ||
Accrued trustees' fees and deferred compensation payable | (214 | ) | ||
Other payables and accrued expense | (77,375 | ) | ||
Net cash provided by operating activities: | 159,659,241 | |||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||
Cash provided by loan: | 27,400,000 | |||
Cost of shares redeemed: | (178,371,850 | ) | ||
Cash distributions paid: | (16,746,578 | ) | ||
Net cash flows used in financing activities: | (167,718,428 | ) | ||
Effects of Exchange Rates on Cash: | 6,885 | |||
Net Change in Cash & Foreign Rates On Cash & Foreign Currency: | (8,052,302 | ) | ||
Cash & foreign currency, beginning of period: | 8,052,302 | |||
Cash & foreign currency, end of period: | – | |||
Cash paid for interest on loan during the period was: | 172,028 |
(a) | With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. |
Annual Report | October 31, 2021 | 29 |
Saba Capital Income & Opportunities Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Presented |
For the Period Ended October 31, 2021(a) | For the Year Ended February 28, 2021 | For the Year Ended February 29, 2020 | For the Year Ended February 28, 2019 | For the Year Ended February 28, 2018 | For the Year Ended February 28, 2017 | |||||||||||||||||||
PER COMMON SHARE OPERATING PERFORMANCE: | ||||||||||||||||||||||||
Net asset value - beginning of period | $ | 4.97 | $ | 5.30 | $ | 5.54 | $ | 5.69 | $ | 5.80 | $ | 5.36 | ||||||||||||
INCOME/(LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income(b) | 0.05 | 0.16 | 0.30 | 0.29 | 0.30 | 0.31 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments and unfunded loan commitments(b) | | | 0.08 | | | | (0.32 | ) | | | (0.23 | ) | | | (0.14 | ) | | | (0.12 | ) | | | 0.45 | |
Total Income/(Loss) from Investment Operations | 0.13 | (0.16 | ) | 0.07 | 0.15 | 0.18 | 0.76 | |||||||||||||||||
DISTRIBUTIONS TO COMMON SHAREHOLDERS: | ||||||||||||||||||||||||
From net investment income(b) | (0.06 | ) | (0.17 | ) | (0.31 | ) | (0.30 | ) | (0.25 | ) | (0.32 | ) | ||||||||||||
From tax return of capital(b) | (0.11 | ) | (0.01 | ) | – | – | (0.04 | ) | – | |||||||||||||||
Total Distributions to Common Shareholders | (0.17 | ) | (0.18 | ) | (0.31 | ) | (0.30 | ) | (0.29 | ) | (0.32 | ) | ||||||||||||
Accretion to net asset value resulting from share repurchases and tender offer(b)(c) | – | 0.01 | – | – | – | – | ||||||||||||||||||
Total Capital Share Transactions | – | 0.01 | – | – | – | – | ||||||||||||||||||
Net asset value per common share - end of period | $ | 4.93 | $ | 4.97 | $ | 5.30 | $ | 5.54 | $ | 5.69 | $ | 5.80 | ||||||||||||
Market price per common share - end of period | $ | 4.67 | $ | 4.63 | $ | 4.91 | $ | 4.82 | $ | 5.17 | $ | 5.59 | ||||||||||||
Total Investment Return - Net Asset Value(d) | 2.84 | % | (2.14 | %) | 1.88 | % | 3.37 | % | 3.62 | % | 14.93 | % | ||||||||||||
Total Investment Return - Market Price(d) | 4.57 | % | (1.59 | %) | 8.48 | % | (1.02 | %) | (2.31 | %) | 28.24 | % | ||||||||||||
RATIOS AND SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets attributable to common shares, end of period (000s) | $ | 419,710 | $ | 605,535 | $ | 782,813 | $ | 818,100 | $ | 840,774 | $ | 857,138 | ||||||||||||
Ratio of expenses including waivers to average net assets | 1.43 | %(e) | 2.26 | % | 2.85 | % | 2.90 | % | 2.54 | % | 2.24 | % | ||||||||||||
Ratio of expenses excluding waivers to average net assets(f) | 1.60 | %(e) | 2.68 | % | 2.86 | % | 2.92 | % | 2.55 | % | 2.24 | % | ||||||||||||
Ratio of expenses excluding interest expense and other fees related to revolving credit facility to average net assets | 1.38 | %(e) | 2.13 | % | 1.62 | % | 1.64 | % | 1.64 | % | 1.62 | % | ||||||||||||
Ratio of net investment income including waivers to average net assets | 1.62 | %(e) | 3.37 | % | 5.29 | % | 5.16 | % | 4.58 | % | 5.44 | % | ||||||||||||
Ratios to average net assets plus borrowings | ||||||||||||||||||||||||
Ratio of expenses excluding waivers to average net assets | 1.54 | %(e) | 2.04 | % | 2.06 | % | 2.08 | % | 1.81 | % | 1.60 | % | ||||||||||||
Ratio of expenses including waivers to average net assets | 1.37 | %(e) | 1.72 | % | 2.05 | % | 2.07 | % | 1.80 | % | 1.60 | % | ||||||||||||
Ratio of expenses excluding interest expense and other fees related to revolving credit facility to average net assets | 1.32 | %(e) | 1.30 | % | 1.16 | % | 1.16 | % | 1.16 | % | 1.16 | % |
30 |
Saba Capital Income & Opportunities Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Presented |
For the Period Ended October 31, 2021(a) | For the Year Ended February 28, 2021 | For the Year Ended February 29, 2020 | For the Year Ended February 28, 2019 | For the Year Ended February 28, 2018 | For the Year Ended February 28, 2017 | |||||||||||||||||||
Ratio of net investment income including waivers to average net assets | 1.56 | %(e) | 2.56 | % | 3.81 | % | 3.68 | % | 3.25 | % | 3.88 | % | ||||||||||||
Portfolio turnover rate | 94 | % | 56 | % | 53 | % | 60 | % | 89 | % | 67 | % | ||||||||||||
SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Total shares outstanding (000s) | 85,059 | 121,841 | 147,788 | 147,788 | 147,788 | 147,788 | ||||||||||||||||||
Asset coverage, end of period per $1,000(g) | $ | 9,394 | $ | 27,794 | $ | 3,478 | $ | 3,534 | $ | 3,610 | $ | 3,589 | ||||||||||||
Aggregate principal amount, end of period (000s) | $ | 50,000 | $ | 22,600 | $ | 315,900 | $ | 322,800 | $ | 322,100 | $ | 331,100 | ||||||||||||
Average borrowings outstanding during the period (000s) | $ | 20,559 | $ | 211,066 | $ | 312,939 | $ | 332,698 | $ | 343,074 | $ | 337,209 |
(a) | With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. |
(b) | Calculated using average common shares outstanding. |
(c) | Please see Note 9 in the accompanying Notes to Financial Statements for additional information. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
(g) | 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. |
Annual Report | October 31, 2021 | 31 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
NOTE 1 — ORGANIZATION
Saba Capital Income & Opportunities Fund (the “Fund”), a Massachusetts business trust, is registered under the 1940 Act, as a closed-end, management investment company. The Fund seeks to provide investors with a high level of current income, with a secondary goal of capital appreciation. The Fund’s investment objective is to invest in High Yield credit on a non-diversified basis. The Fund will also opportunistically invest in other products, such as, closed-end funds and special purpose acquisition companies. The Fund may also use derivatives where it believes it can achieve attractive risk-adjusted returns seeking to reduce portfolio risk.
Saba Capital Management, L.P. (the “Investment Adviser”), a Delaware limited partnership, serves as the investment adviser to the Fund.
A Special Meeting of Shareholders was held on May 24, 2021. The results, which have been certified by the independent Inspector of Election, show that all proposals presented at the Special Meeting passed. The following changes were effective as of close of business on June 4, 2021.
The approval of a new investment management agreement between the Fund and Saba Capital Management, which received support from approximately 95% of all votes cast.
The removal of the Fund’s fundamental investment restriction relating to investing in warrants.
The removal of the Fund’s fundamental investment restriction relating to purchasing or selling equity securities, engaging in short-selling and the use of certain option arrangements.
The removal of the Fund’s fundamental investment restriction relating to investing in other investment companies.
Changing the Fund’s sub-classification under the Investment Company Act of 1940 from “diversified” to “non-diversified”; and
A change of the Fund’s investment objective and to make the investment objective non-fundamental.
The approval of the new management agreement was preceded by the selection of Saba Capital Management by the Fund’s Board of Trustees to serve as the new investment manager to the Fund. Saba Capital Management has assumed responsibility for providing investment management services to the Fund effective as of close of business on June 4, 2021.
With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. Therefore, the Statement of Operations and Financial Highlights do not represent a full year of activity.
In connection with the transition to Saba Capital Management, the Fund’s name was changed from Voya Prime Rate Trust (New York Stock Exchange (the “NYSE”) ticker symbol PPR) to Saba Capital Income & Opportunities Fund. The common shares of the Fund continue to be listed on the NYSE under the new ticker symbol “BRW”.
Shareholder Meeting
On September 24, 2021, the Funds held their annual meeting of Shareholders for the purpose of voting on a proposal to elect Trustees of the Funds. 93,269,842 of the 121,512,358 shares outstanding voted (76.76%).
The results of the proposal for each were as follows:
Trustees/Directors | Vote | Shares Voted | % Voted | % of Total Outstanding |
Aditya Bindal | For | 74,623,231 | 80% | 61% |
Withheld | 18,646,611 | 20% | 15% | |
Karen Caldwell | For | 88,574,651 | 95% | 73% |
Withheld | 4,695,191 | 5% | 4% | |
Ketu Desai | For | 88,808,460 | 95% | 73% |
Withheld | 4,461,382 | 5% | 4% | |
Kieran Goodwin | For | 87,098,602 | 93% | 72% |
Withheld | 6,171,240 | 7% | 5% | |
Thomas Bumbolow | For | 88,798,144 | 95% | 73% |
Withheld | 4,471,698 | 5% | 4% | |
Andrew Kellerman | For | 74,676,754 | 80% | 61% |
Withheld | 18,593,088 | 20% | 15% |
32 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
These 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 financial statements requires management to make estimates and assumptions that affect the amounts in the 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 redeem shares of the Fund.
A. Senior Loan and Other Security Valuation. Assets for which market quotations are readily available are valued at market value. A security listed or traded on an exchange is valued at its last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded or, if such price is not available, at the last sale price as of the Market Close for such security provided by the CTA. Bank loans are valued at the average of the averages of the bid and ask prices provided to an independent loan pricing service by brokers. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
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. The Investment Adviser has established and documented procedures (the “Valuation Policy”) that provide for fair value measurements that are fair, consistent, and verifiable. The Investment Adviser has designated a Valuation Committee (the “Committee”) to oversee the valuation of the Fund’s investment portfolio. 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), the President (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.
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, and special purpose acquisition companies. 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.
Annual Report | October 31, 2021 | 33 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
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.
The following table summarizes the valuation of the Fund’s financial instruments in accordance with the above fair value hierarchy levels as of October 31, 2021. Refer to the portfolio of investments for additional details.
Saba Capital Income & Opportunities Fund
Investments in Securities at Value* | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs(a) | Total | ||||||||||||
Corporate Bonds | $ | – | $ | 24,903,544 | $ | – | $ | 24,903,544 | ||||||||
Senior Loans | – | 150,981,755 | – | 150,981,755 | ||||||||||||
Common Stock | 421,150 | 2,898,858 | – | 3,320,008 | ||||||||||||
Closed End Funds | 26,916,510 | – | – | 26,916,510 | ||||||||||||
Special Purpose Acquisition Companies | 196,059,324 | – | 986,159 | 197,045,483 | ||||||||||||
Preferred Stock | – | 1,121,887 | – | 1,121,887 | ||||||||||||
Warrants | 240,608 | 118,984 | – | 359,592 | ||||||||||||
Rights | 39,256 | – | – | 39,256 | ||||||||||||
Short Term Investments | 5,883,093 | – | – | 5,883,093 | ||||||||||||
Total | $ | 229,559,941 | $ | 180,025,028 | $ | 986,159 | $ | 410,571,128 |
* | For detailed sector descriptions, see the accompanying Schedule of Investments. |
(a) | All Level 3 investments were valued using unadjusted prices provided by independent third party valuation specialists. The following is a reconciliation of Level 3 investments. |
Special Purpose Acquisition Companies | Total | |||||||
Balance as of February 28, 2021 | $ | – | $ | – | ||||
Accrued discount/ premium | – | – | ||||||
Realized Gain/(Loss) | – | – | ||||||
Change in Unrealized Appreciation/(Depreciation) | 985,950 | 985,950 | ||||||
Purchases | 209 | 209 | ||||||
Sales Proceeds | – | – | ||||||
Transfer into Level 3 | – | – | ||||||
Transfer out of Level 3 | – | – | ||||||
Balance as of October 31, 2021 | $ | 986,159 | $ | 986,159 | ||||
Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at October 31, 2021 | $ | 985,950 | $ | 985,950 |
34 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
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 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 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. 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 Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the 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 Portfolio of Investments.
For the period ended October 31, 2021, the Fund had an average quarterly contract amount on forward foreign currency contracts to buy and sell of $610,000 and $5,923,250 respectively. As of October 31, 2021 there were no open forward currency contract positions.
F. 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.
G. Distributions to Common Shareholders. The Fund will make monthly distributions to shareholders at an initial annual minimum fixed rate of 8.00%, 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 8.00% 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.
Annual Report | October 31, 2021 | 35 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
H. Dividend Reinvestments. Pursuant to the Fund’s Shareholder Reinvestment Program (the “Program”), ALPS Fund Services, Inc. (“ALPS”), the Program administrator, purchases, from time to time, shares of beneficial interest of the Fund on the open market to satisfy dividend reinvestments. Such 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 shares are issued by the Fund at the greater of (i) NAV or (ii) the market price of the shares during the pricing period, minus a discount of 5%.
I. 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.
J. 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.
NOTE 3 — INVESTMENTS
For the period ended October 31, 2021, the cost of purchases and the proceeds from principal repayment and sales of investments, excluding short-term notes, totaled $391,020,954 and $578,585,999, respectively. The fair value of these assets is established as set forth in Note 2.
At October 31, 2021, the Fund held senior loans valued at $150,981,755 representing 35.97% 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 October 31, 2021 the Fund held corporate bonds valued at $24,903,544 representing 5.93% 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 October 31, 2021, the Fund held SPACs valued at $197,045,483 representing 46.95% 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.
36 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
At October 31, 2021, the Fund held Closed End Mutual Funds valued at $26,916,510 representing 6.41% 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.
The Fund may invest in warrants. 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. As of October 31, 2021, the Fund held warrants totaling $359,592.
The Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of the short sale.
The Fund's obligation to replace the borrowed security will be secured by collateral deposited with the broker-dealer, usually cash, U.S. government securities or other liquid securities. The Fund will also be required to designate on its books and records similar collateral with its custodian to the extent, if any, necessary so that the aggregate collateral value is at all times at least equal to the current value of the security sold short. The cash amount is reported on the Statement of Assets and Liabilities as Deposit with broker for securities sold short which is held with one counterparty. The Fund is obligated to pay interest to the broker for any debit balance of the margin account relating to short sales. The interest incurred by the Fund, if any, is reported on the Statement of Operations as Interest expense – margin account. Interest amounts payable, if any, are reported on the Statement of Assets and Liabilities as Interest payable – margin account.
The Fund may also sell a security short if it owns at least an equal amount of the security sold short or another security convertible or exchangeable for an equal amount of the security sold short without payment of further compensation (a short sale against-the-box). In a short sale against-the-box, the short seller is exposed to the risk of being forced to deliver stock that it holds to close the position if the borrowed stock is called in by the lender, which would cause gain or loss to be recognized on the delivered stock. The Fund expects normally to close its short sales against-the-box by delivering newly acquired stock. Since the Fund intends to hold securities sold short for the short term, these securities are excluded from the purchases and sales of investment securities in Note 4 and the Fund’s Portfolio Turnover in the Financial Highlights.
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).
Annual Report | October 31, 2021 | 37 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
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 Statement of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statement of Assets and Liabilities.
Fees and expenses waived by the previous advisor (Voya Investments, LLC) prior to June 4, 2021 are no longer recoupable. As of October 31, 2021, 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:
October 31, 2022 | October 31, 2023 | October 31, 2024 | Total | |||||||||||
$ | – | $ | – | $ | 258,145 | $ | 258,145 |
The expense limitation agreement is contractual through July 1, 2022 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 October 31, 2021, entities advised by Saba Capital Management owned approximately 12.94% of the Fund.
The previous advisor (Voya Investments, LLC) engaged in purchase and sale transactions with funds that have a common investment adviser (or affiliated investment adviser) and/or have a common sub-adviser. These interfund transactions are made pursuant to Rule 17a-7 under the 1940 Act. For the period ended October 31, 2021, the Fund engaged in such purchase and sale transactions totaling $400,000 and $400,000, respectively.
NOTE 7 — 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 million maturing July 19, 2022. Borrowing rates under this agreement are based on a fixed spread over LIBOR, and a commitment fee is charged on the unused portion. The amount of borrowings outstanding at October 31, 2021, was $50,000,000. The weighted average interest rate on outstanding borrowings at October 31, 2021 was 0.83%, excluding fees related to the unused portion of the facilities, and other fees. The amount of borrowings represented 10.31% of total assets at October 31, 2021. Average borrowings for the period ended October 31, 2021 were $20,559,449 and the average annualized interest rate was 0.86% excluding other fees related to the unused portion of the facility, and other fees.
NOTE 8 — TENDER OFFER
On June 21, 2021, the Fund announced that it would purchase for cash up to 30% of the Fund's shares, at a price equal to 99% of the Trust's NAV per share as determined as of the close of the regular trading session of the NYSE on July 19, 2021 (the "Tender Offer"). On July 19, 2021, 36,453,372 shares were accepted for repurchase by the Fund in accordance with the terms of the Tender Offer. The shares were repurchased at a price of $4.851 per share, or 99% of the Fund's NAV. The Tender Offer was oversubscribed and all tenders of shares were subject to pro ration (at a ratio of approximately 48.43%) in accordance with the terms of the Tender Offer.
38 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
NOTE 9 — CAPITAL SHARES
As of October 31, 2021 there were 85,058,986 shares issued and outstanding. Transactions in capital shares and dollars were as follows:
Year or period ended | Shares repurchased | Shares repurchased in tender offer | Net increase (decrease) in shares outstanding | Shares repurchased | Shares repurchased in tender offer | Net increase (decrease) | ||||||||||||||||||
# | # | # | ($) | ($) | ($) | |||||||||||||||||||
10/31/2021 | (329,217 | ) | (36,453,372 | ) | (36,782,589 | ) | (1,536,542 | ) | (176,835,308 | ) | (178,371,850 | ) | ||||||||||||
2/28/2021 | (4,369,649 | ) | (21,576,552 | ) | (25,946,201 | ) | (18,727,020 | ) | (104,862,043 | ) | (123,589,063 | ) |
Share Repurchase Program
Prior to June 4th, 2021 the previous advisor (Voya Investments, LLC) had a repurchase plan, pursuant to an open-market share repurchase program, the Fund could purchase up to 10% of its stock in open-market transactions. The amount and timing of any repurchases under the prior repurchase program were at the discretion of the Fund’s management, subject to market conditions and investment considerations. The Fund may in the future elect to implement a new share repurchase program, the terms and conditions of which would be subject to approval by its Board of Trustees. To the extent it implements such a plan, there can be no assurance that the Fund would purchase shares at any particular discount level or in any particular amounts. In addition, any repurchases made under a new share repurchase program would be made on a national securities exchange at the prevailing market price, subject to exchange requirements and volume, timing and other limitations under federal securities laws. There can be no assurance when or if such a new repurchase program may be implemented.
The share repurchase program sought to enhance shareholder value by purchasing shares trading at a discount from their NAV per share. The open-market share repurchase program did not obligate the Fund to repurchase any dollar amount or number of shares of its stock.
For the period ended October 31, 2021, the Fund repurchased 36,782,589 shares, representing approximately 30% of the Fund’s outstanding shares for a net purchase price of $178,371,850.
NOTE 10 — 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 tax periods ended February 28, 2021 and October 31, 2021, were as follows:
October 31, 2021 | February 28, 2021 | |||||||
Distributions Paid From: | ||||||||
Ordinary Income | $ | 6,017,351 | $ | 25,024,961 | ||||
Net Long-Term Capital Gain | – | – | ||||||
Return of Capital | 10,729,227 | 1,234,296 | ||||||
Total Distributions Paid | $ | 16,746,578 | $ | 26,259,257 |
Annual Report | October 31, 2021 | 39 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
As of the period ended October 31, 2021, 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 | (165,080,682 | ) | ||
Unrealized Appreciation (Depreciation) | (164,608 | ) | ||
Distributable Earnings (Loss) | – | |||
Total | $ | (165,245,290 | ) |
At October 31, 2021, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost on investments for federal income tax purposes were as follows:
Saba Capital Income & Opportunities Fund | ||||
Cost of investments for income tax purposes | $ | 410,693,720 | ||
Gross appreciation (excess of value over tax cost) | $ | 6,386,181 | ||
Gross depreciation (excess of tax cost over value) | (6,508,773 | ) | ||
Net depreciation of foreign currency and derivatives | (42,016 | ) | ||
Net unrealized depreciation | $ | (164,608 | ) |
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 period ended October 31, 2021, 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 | $ | 22,417,272 | $ | 142,663,410 | $ | 165,080,682 |
During the period ended October 31, 2021, the Fund utilized $970,460 of capital loss carryovers.
The Fund’s major tax jurisdictions are U.S. federal and New York State.
As of October 31, 2021, no provision for income tax is required in the Fund’s 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 11 — LIBOR
Certain Senior Loans may be based on floating rates, such as LIBOR. On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (“FCA”), which regulates LIBOR, announced that the FCA will no longer persuade nor require banks to submit rates for the calculation of LIBOR after 2021. Such announcement indicates that the continuation of LIBOR on the current basis cannot and will not be guaranteed after 2021. Prior to 2021, it is expected that market participants will focus on the transition mechanisms by which references to LIBOR in existing contracts or instruments may be amended. Nonetheless, the termination of LIBOR presents risks to an Underlying Fund. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. The risks associated with the above factors, including decreased liquidity, are heightened with respect to investments in LIBOR-based products that do not include a fallback provision that addresses how interest rates will be determined if LIBOR stops being published. Even with some LIBOR-based instruments with fallback provisions providing for an alternative rate-setting methodology and/or increased costs for certain LIBOR-related instruments or financing transactions, there may be significant uncertainty regarding the effectiveness of any such alternative methodologies, resulting in prolonged adverse market conditions for the affected securities or payments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. In addition, when LIBOR is discontinued, the successor reference rate may be lower than market expectations, which could have an adverse impact on the value of preferred and debt-securities with floating or fixed-to-floating rate coupons. All of the aforementioned may adversely affect the Fund’s performance or NAV.
40 |
Saba Capital Income & Opportunities Fund | Notes to Financial Statements |
October 31, 2021 |
NOTE 12 — MARKET DISRUPTION
The Fund is subject to the risk that geopolitical events will 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 United States. 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 portfolio and of the Fund. Any of these occurrences could disrupt the operations of the Fund and of the Fund’s service providers.
NOTE 13 — OTHER ACCOUNTING PRONOUNCEMENTS
In March 2020, the Financial Accounting Standards Board 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.
NOTE 14 — SUBSEQUENT EVENTS
Subsequent to October 31, 2021, the fund paid the following dividends:
Per Share Amount | Declaration Date | Record Date | Payable Date |
$0.033 | 10/29/21 | 10/10/21 | 10/23/21 |
$0.033 | 11/30/21 | 12/10/21 | 12/23/21 |
On December 17, 2021 the Board of Trustees approved an increase in the annual targeted distribution yield under the Fund's managed distribution plan from 8% to 12%. Accordingly, beginning with the first distribution declared in January 2022, the Fund will make monthly distributions to shareholders at an annual minimum fixed rate of 12%.
Annual Report | October 31, 2021 | 41 |
Saba Capital Income & Opportunities Fund | Additional Information |
October 31, 2021 |
PROXY VOTING INFORMATION
A description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio securities is available: (1) on the Fund’s website at www.sabacef.com and (2) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies related to portfolio securities during the most recent 12-month period ended October 31 is available without charge on the Fund’s website at www.sabacef.com and 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.
42 |
Saba Capital Income & Opportunities Fund | Trustees and Officers |
October 31, 2021 |
INDEPENDENT TRUSTEES
Name, Address1 and Date of Birth | Position(s) Held with the Fund | Term of Office and Length of Time Served1 | Principal Occupation(s) During the Past 5 Years | Number of Funds in the Fund Complex Overseen by Trustees2 | Other Board Positions Held by Trustees |
Independent Nominees | |||||
Thomas Bumbolow DOB: 05/17/1976 | Trustee | Since January 2021 | Mr. Bumbolow currently serves as the head of business development at Midwest Holding (MWDT), an insurance company which blends innovative reinsurance capabilities with an elite asset management business. Mr. Bumbolow also serves as advisor to Capital2markets, a tech-based broker/dealer, Limitless Ventures, a venture impact capital fund, and Vchromatix, a private technology company. Mr. Bumbolow is the co-Founder of protoCapital, a merchant bank that operated from 2017-2020. Mr. Bumbolow has 20 years of experience at JPMorgan Chase, where he held various roles in fixed-income sales and trading from 1997-2017. He has been a board member of Stepping Stones Museum for Children since 2018. | 1 | Stepping Stones Museum |
Karen Caldwell DOB: 01/22/1959 | Trustee | Since July 2020 | Karen Caldwell has served as the Chief Financial Officer of Reform Alliance since 2019. Previously, Ms. Caldwell served as the Chief Financial Officer and Treasurer of the NHP Foundation, a non for profit dedicated to increasing housing affordability, from 2018 to 2019. From 2016 to 2018, Ms. Caldwell served as the Chief Financial Officer and Executive Vice President of the New York City Housing Authority. Prior to such position, she served as the president of Hanseatic Management Services, Inc., an asset management company, from 2015 to 2016. | 1 | None |
Ketu Desai DOB: 07/02/1982 | Trustee | Since July 2020 | Ketu Desai has served as the founding partner and Principal of i-squared Wealth Management, Inc., a private wealth investment management firm, since 2016. | 1 | None |
Kieran Goodwin DOB: 07/30/1969 | Trustee | Since July 2020 | Kieran Goodwin is the founder of Hidden Truth, a mobile application game. Previously, he served as the co-founder and Portfolio Manager of Panning Capital Management, LLC, a hedge fund with $2.5 billion AUM at its peak, from 2012 to 2019. | 1 | None |
1 | The mailing address for each Independent Trustee is 405 Lexington Avenue, 58th Floor, New York, NY 10174. |
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Annual Report | October 31, 2021 | 43 |
Saba Capital Income & Opportunities Fund | Trustees and Officers |
October 31, 2021 |
INTERESTED TRUSTEES
Name, Address1 and Date of Birth | Position(s) Held with the Fund | Term of Office and Length of Time Served1 | Principal Occupation(s) During the Past 5 Years | Number of Funds in the Fund Complex Overseen by Trustees2 | Other Board Positions Held by Trustees |
Nominee who is an “Interested Person”3 | |||||
Aditya Bindal DOB: 03/10/1976 | Trustee | Since July 2020 | Aditya Bindal has served as Chief Risk Officer of Saba Capital Management, L.P. since 2018, prior to which he served as Chief Risk Officer at Water Island Capital (“Water Island”), an event-driven investment firm with over $2.5 billion in AUM, from 2015 to 2018. | 1 | GIM |
Andrew Kellerman DOB: 09/22/1965 | Trustee | Since July 2020 | Andrew Kellerman has served as Partner, President and Head of Business Development of Saba Capital Management, L.P. since 2018. Prior to joining Saba, Mr. Kellerman served as a Managing Director and Head of Distribution for the Private Institutional Client group within Alex. Brown & Sons where he was responsible for placement of boutique funds and private direct investments from 2017 to 2018. Prior to Alex. Brown, Mr. Kellerman served as a Managing Partner of Measure 8 Venture Partners, a diversified private capital fund focused on opportunities in emerging industries, from January 2017 to November 2017. Previously, Mr. Kellerman served as a Managing Director and Head of Business Development with Vertical Knowledge supplying open source data and analytics for the defense, financial services, and commercial markets from 2014-2016. | 1 | None |
1 | The mailing address for each Interested Trustee is 405 Lexington Avenue, 58th Floor, New York, NY 10174. |
OFFICERS
Name, Address1 and Date of Birth | Position(s) Held with the Fund | Term of Office and Length of Time Served1 | Principal Occupation(s) During the Past 5 Years |
Boaz Weinstein DOB: 06/06/1973 | President | Since May 2021 | CIO of Saba Capital |
Pierre Weinstein DOB: 04/07/1975 | Chief Executive Officer | Since May 2021 | Portfolio Manager at Saba Capital |
Michael D’Angelo DOB: 09/08/1978 | Secretary | Since May 2021 | COO and General Counsel at Saba Capital |
Patrick Keniston2 DOB: 01/18/1964 | CCO | Since June 2021 | Managing Director, Foreside Fund Services, LLC (since 2008) |
Troy Statczar2 DOB: 08/31/1971 | PFO, Treasurer | Since June 2021 | Senior Director, Foreside Treasurer Services since 2020 - Foreside Financial Group; Director of Fund Administration (2017-2019) - Thornburg Investment Management, Inc.; Director of U.S. Operations (2008-2017) - Henderson Global Investors N.A., Inc. |
Nitin Sapru DOB: 12/07/1980 | VP | Since May 2021 | CFO at Saba Capital |
1 | Unless otherwise indicated, the mailing address for each officer is 405 Lexington Avenue, 58th Floor, New York, NY 10174. |
2 | Patrick Keniston's and Troy Statczar’s address is Foreside Fund Officer Services, LLC, 3 Canal Plaza, Suite 100, Portland, ME 04101. |
44 |
This material must be accompanied or preceded by a prospectus.
(b) | Not applicable |
Item 2. Code of Ethics.
As of the end of the period covered by this report, Registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the Code during the period covered by the report. The code of ethics is filed herewith pursuant to Item 10(a)(1), Ex-99.CODE ETH.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that Karen Caldwell is the sole Audit Committee Financial Expert, as defined in Item 3 of Form N-CSR. Ms. Caldwell, is “independent” for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Below are the amount of fees that Ernst & Young LLP (“EY”), the Fund’s current Independent Registered Public Accounting Firm, billed to the Fund during the Fund’s fiscal period ended October 31, 2021 and fiscal year ending February 28, 2021 and the amount of fees that the previous independent public accounting firm billed to the Fund during the Fund’s fiscal period ended October 31, 2021 and fiscal year ending February 28, 2021.
(a) | Audit Fees (1): The aggregate fees billed for each of the last two fiscal years for professional services rendered by EY, the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $62,300 for the period ended October 31, 2021 and $62,300 for the year ended February 28, 2021. |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by EY that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the period ended October 31, 2021 and $0 for the year ended February 28, 2021. |
(c) | Tax Fees (2): The aggregate fees billed in each of the last two fiscal years for professional services rendered by EY for tax compliance, tax advice, and tax planning were $12,500 for the period ended October 31, 2021 and $7,800 for the year ended February 28, 2021. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state, and excise tax returns, tax services related to mergers and routine consulting. |
(d) | All Other Fees (3): The aggregate fees billed in each of the last two fiscal years for products and services provided by EY, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the period ended October 31, 2021 and $0 for the year ended February 28, 2021. |
(1) For the fiscal year ended February 28, 2021 the previous independent public accounting firm billed $0 for Audit Fees.
(2) For the fiscal year ended February 28, 2021 the previous independent public accounting firm billed $136 for Tax Fees.
(3) For the fiscal year ended February 28, 2021 the previous independent public accounting firm billed $0 for All Other Fees.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
(e)(2) | Percentage of services referred to in 4(b) – (4)(d) that were approved by the audit committee |
100% of the services were approved by the audit committee..
(f) | Percentage of hours expended attributable to work performed by other than full time employees of EY if greater than 50% |
Not applicable.
(g) | Non-Audit Fees: The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to each Registrant by the independent registered public accounting firm for each Registrant’s fiscal period ending October 31, 2021 and fiscal year ending February 28, 2021; and (ii) the aggregate non-audit fees billed to the investment adviser, or any of its affiliates that provide ongoing services to the registrant, by the independent registered public accounting firm for the same time periods. |
Registrant/Investment Adviser | 10/31/2021 | 02 /28/2021(1) | ||||||
Saba Capital Income & Opportunities Fund | $ | 12,500 | $ | 7,800 | ||||
Saba Capital Management/Voya Investments, LLC | $ | 0 | $ | 16,501,954 |
(1) | For the year ended February 28, 2021, the previous independent public accounting firm billed the Registrant $136 for Non-Audit Fees |
(h) | Principal Accountants Independence: The Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining EY’s independence. |
Item 5. Audit Committee of Listed Registrants
a. | The registrant has a separately-designated standing audit committee. The members of the Committee are Thomas Bumbolow, Karen L. Caldwell, and Ketu Desai. |
Item 6. Investments.
Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
The SEC adopted Rule 206(4)-6 under the Advisers Act, requiring registered investment advisers that exercise voting authority over client securities to implement proxy voting policies. Saba Capital has adopted proxy voting policies and procedures to ensure compliance with the Advisers Act. Saba Capital’s policy is to vote in a manner that serves the best interests of the clients. Except as set forth below, the firm has engaged BroadRidge Financial Solutions, Inc. to compile and vote all proxy ballots on behalf of the Saba Capital, using specific guidelines and recommendations provided by Glass, Lewis & Co., LLC (“Glass Lewis”).
Saba Capital may, from time to time, determine that it is in the best interests of its clients to either depart from specific Glass Lewis recommendations and/or vote shares held in the same proportion as the vote of all other holders of the securities.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1) Portfolio Management. The following individuals share responsibility for the day-to-day management of the Trust’s portfolio:
Boaz Weinstein, Founder & CIO, employed by Saba Capital Management since 2009
Paul Kazarian, Portfolio Manager, employed by Saba Capital Management since 2013
Pierre Weinstein, Portfolio Manager, employed by Saba Capital Management since 2009
Other Accounts Managed
The following table show the number of accounts and total assets in the accounts with respect to which the advisory fee is based on the performance of the account managed by the portfolio managers of the Fund as of November 1, 2021, unless otherwise indicated.
Portfolio Managers Name | Registered Investment Companies | Other Pooled Investment Vehicles (1) | Other Accounts(1) |
Boaz Weinstein | 2 Accounts $0 Total Assets | 11 Accounts $ 2,870,503,796 Total Assets | 5 Accounts $284,205,534 Total Assets |
Paul Kazarian | 2 Accounts $ 0 Total Assets | 10 Accounts $ 431,405,196 Total Assets | 4 Accounts $ 66,017,450 Total Assets |
Pierre Weinstein | 2 Accounts $ 0 Total Assets | 11 Accounts $ 943,490,948 Total Assets | 5 Accounts $ 93,144,609 Total Assets |
(1) | The advisory fees are based in part on the performance for each account. |
(a)(2)(iv) Conflicts of Interest
Saba Capital and its affiliates accept performance-based fees from certain Clients. In addition, Saba Capital manages another Client account that is only charged sub-advisory fees and is not charged performance fees. Clients should be aware that performance fee arrangements may create a conflict of interest for Saba Capital, as they could create an incentive for Saba Capital to make investments that are riskier or more speculative than it would otherwise make absent a performance fee.
In the allocation of investment opportunities, performance-based compensation arrangements may also create an incentive to favor accounts from which Saba Capital may receive greater performance-based compensation over accounts from which Saba Capital may receive less performance-based compensation. Consistent with its fiduciary obligations, Saba Capital has a policy of allocating investment opportunities on a fair and equitable basis measured over time.
(a)(3) Compensation
The firm pays a base salary (fixed) and discretionary bonus (variable) measured by the contributions of the particular employee as well as the success of the firm. The firm also provides sick days, short term disability, bereavement, jury duty/voting, military leave and medical leave, as well as paid parental (maternity and paternity) leave. The firm also provides employees with a robust benefits package which includes 100% employer covered health, dental & vision insurance in addition to other ancillary benefits. Partners of the firm receive compensation based on their level of equity ownership in the firm which can be increased on a discretionary basis.
(a)(4) Ownership of Securities
The following table shows the dollar range of shares of the Trust owned by each team member as of October 31, 2021, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans.
Ownership:
Portfolio Managers | Dollar Range of the Registrant’s Securities Owned by the Portfolio Managers |
Boaz Weinstein | None |
Paul Kazarian | None |
Pierre Weinstein | None |
(b) None.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Period | (a) Total Number of Shares (or Units) Purchased | (b) Average Price Paid per Share (or Unit) | (c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet be Purchased Under the Plans or Programs |
March 1 – March 31, 2021* | 329,217 | $4.667 | 329,217 | 10,079,903 |
April 1 – April 30, 2021 | N/A | N/A | N/A | N/A |
May 1 – May 31, 2021 | N/A | N/A | N/A | N/A |
June 1 – June 30, 2021 | N/A | N/A | N/A | N/A |
July 1 – July 31, 2021** | 36,453,372 | $4.851 | 36,453,372 | N/A |
August 1 – August 31, 2021 | N/A | N/A | N/A | N/A |
September 1, 2021 – September 30, 2021 | N/A | N/A | N/A | N/A |
October 1, 2021 – October 31, 2021 | N/A | N/A | N/A | N/A |
Total | 36,782,589 | 36,782,589 | N/A |
* | For the fiscal period ended October 31, 2021, the Fund repurchased 329,217 shares, representing approximately 3.9% of the Fund’s outstanding shares for a net purchase price of $1,536,542. The repurchase program of the Fund ended March 31, 2021. |
** | As reflected in the notes to the financial statements in the Registrant’s Certified Shareholder Report on Form N-CSR for the period ended August 31, 2021, and in the press release issued by the Registrant on July 22, 2021, the Registrant conducted a tender offer for up to 30% of its outstanding common stock at a price equal to 99% of its net asset value per share (“NAV”) as determined on the date the tender offer expired. Under the terms of the tender officer, the Registrant accepted 36,453,372 shares for payment at a price equal to $4.851 per share, which represents 99% of the Fund’s NAV as of July 19, 2021, the date the tender offer expired. |
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) Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR.
(b) There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of 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.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 13. Exhibits.
(a)(1) | The Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a)(2) | The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, are attached hereto as Exhibit 99.Cert. |
(a)(3) | Not applicable to this report. |
(a)(4) | Not applicable to this report. |
(a) | The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.906Cert. |
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: | January 3, 2022 |
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: | January 3, 2022 |
By: | /s/ Troy Statczar | |
Troy Statczar (Principal Financial Officer) | ||
Treasurer and Chief Financial Officer | ||
Date: | January 3, 2022 |