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: November 1, 2021 – April 30, 2022
Item 1. | Report to Stockholders. |
a) |
TABLE OF CONTENTS
Shareholder Letter | 1 |
Performance Update | 2 |
Consolidated Schedule of Investments | 4 |
Consolidated Statement of Assets and Liabilities | 31 |
Consolidated Statement of Operations | 32 |
Statements of Changes in Net Assets | 33 |
Consolidated Statements of Cash Flows | 34 |
Financial Highlights | 35 |
Notes to Consolidated Financial Statements | 37 |
Additional Information | 47 |
Privacy Policy | 48 |
Saba Capital Income & Opportunities Fund | Shareholder Letter |
April 30, 2022
June 29, 2022
Dear Shareholders,
Thank you for your interest in Saba Capital Income & Opportunities Fund (the “Fund”). We are pleased to provide you with a review of the financial markets and of the Fund’s performance.
Over the past few months, financial conditions have tightened substantially, driven by soaring commodity prices, increased borrowing costs, declining stock prices, and turmoil from Russia’s invasion of Ukraine. We believe these conditions serve as a strong predictor for global growth, with a consensus for a recession in the next 18 months beginning to take hold.
The impact of rising rates and quantitative tightening amidst slowing global growth presents serious risks for markets. These challenges didn’t appear suddenly. When inflation worsened in the second half of 2021, we energetically reduced the Fund’s exposure to junk-rated loans, which comprised nearly the entire portfolio when we took over as manager. The loan portfolio was yielding only 3.5%, and had virtually no case for upside. It was an easy decision to sell, as we saw much better risk/reward opportunities in different parts of the market.
During this period, we managed the portfolio with a strong focus on capital preservation. We transitioned a large portion of the capital into our SPAC strategy which involves buying special purpose acquisition companies (“SPACs”) trading at discounts to their trust value, with the aim of selling them above trust value and/or redeeming at trust value (i.e., with no expectation of owning SPACs post-business combination). As every SPAC is mandated to be invested in US Treasury Bills with a maturity of 3-6 months, the risk appeared to be relatively low, and the reward was a return greater than the aforementioned junk-rated loans.
We are proud of the maneuvers we took to transform the portfolio, while other closed-end fund managers stood still. As a result, the Fund outperformed a broad set of benchmarks. The table below shows the NAV performance of the Fund in comparison to other asset classes.
Asset | October 31, 2021 to April 30, 2022 |
Saba Capital Income & Opportunities Fund (NAV) | -0.38% |
iBoxx Liquid High Yield Index | -7.20% |
Bloomberg Municipal Bond Index | -7.90% |
S&P 500 | -9.70% |
S-Network Closed-End Fund Index | -12.40% |
iBoxx Liquid Investment Grade Index | -14.50% |
NASDAQ 100 | -18.60% |
Our tactical approach to asset allocation and leverage will continue to be a valuable differentiating factor versus peer funds that generally remain fully invested and fully levered irrespective of market conditions.
Consistent with the Fund’s goals of delivering a high level of current income and capital appreciation, shareholders should expect to see increased portfolio exposure to high-yield bonds/loans and equities, and decreased exposure to SPACs, now that valuations have become more balanced.
If you have any questions about the Fund, please visit www.sabacef.com.
We are grateful for your trust and support.
Sincerely,
Boaz R. Weinstein
Founder and CIO
Saba Capital Management, LP
Semi-Annual Report | April 30, 2022 | 1 |
Saba Capital Income & Opportunities Fund | Performance Update |
April 30, 2022
Average Annual Total Returns (as of April 30, 2022)
6 Month | 1 Year | 3 Year | 5 Year | 10 Year | |
Returns at NAV | -0.38% | 2.38% | 0.16% | 1.79% | 4.02% |
Returns at Market Value | -2.54% | 2.77% | 2.19% | 1.26% | 3.43% |
iShares iBoxx $ High Yield Corporate Bond ETF (HYG)(a) | -7.72% | -6.44% | 1.28% | 2.61% | 3.89% |
S&P/LSTA Leveraged Loan Index(b) | 0.59% | 2.95% | 3.73% | 3.97% | 4.24% |
Returns for the period since Saba Capital Management began managing the Fund on June 4, 2021 are at NAV 2.22% and at market value 0.41%.
Comparison of the Change in Value of a $10,000 Investment
The performance data quoted above represents past performance. Past performance is not a guarantee of future results. Investment return and value of the Fund shares will fluctuate so that a shareholder’s shares, when sold, may be worth more or less than their original cost. Performance may be lower or higher than performance data quoted. Fund performance current to the most recent month-end is available by visiting www.sabacef.com.
(a) | iShares iBoxx High Yield Corporate Bond ETF is an exchange-traded fund incorporated in the USA. The ETF seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds. |
(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. Its ticker on Bloomberg is SPBDAL. The index is run in partnership between S&P and the Loan Syndications & Trading Association, the loan market’s trade group. |
2
Saba Capital Income & Opportunities Fund | Performance Update |
April 30, 2022
Top Ten Holdings (as a % of Net Assets)(c) | |
RR Donnelley & Sons Co. | 2.09% |
Selina Hospitality PLC 6.00% 06/27 | 1.53% |
Adtalem Global Education, Inc. | 1.45% |
New Energy One Acquisition Corp. PLC | 1.43% |
Salient Midstream & MLP Fund | 1.06% |
Mudrick Capital Acquisition Corp. II | 1.06% |
PIMCO Energy & Tactical Credit Opportunities Fund | 0.92% |
Miller/Howard High Dividend Fund | 0.88% |
Carnival Corporation TLB 1L | 0.87% |
Crystal Peak Acquisition | 0.84% |
Top Ten Holdings | 12.13% |
Portfolio Composition (as a % of Net Assets)(c) | |
Special Purpose Acquisition Companies | 101.61% |
Closed End Funds | 9.53% |
Corporate Bonds | 4.67% |
Senior Loans | 3.60% |
Common Stock | 3.36% |
Sovereign Debt Obligations | 1.40% |
Warrants | 0.62% |
Short Term Investments | 0.30% |
Unit Trust | 0.14% |
Preferred Stock | 0.10% |
Rights | 0.04% |
Total Investments | 125.37% |
Other Liabilities in excess of other Assets | -25.37% |
Net Assets | 100.00% |
(c) | Holdings are subject to change, and may not reflect the current or future position of the portfolio. Tables present indicative values only. |
Semi-Annual Report | April 30, 2022 | 3 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022
Principal Amount | Fair Value | |||||||
CORPORATE BONDS - 4.67% | ||||||||
Banks - 1.51% | ||||||||
Credit Suisse AG, 0.000% (Variable Rate), 07/31/2030 | $ | 10,000 | $ | 7,310 | ||||
Credit Suisse AG, 0.000% (Variable Rate), 10/30/2030 | 420,000 | 299,631 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/30/2030 | 25,000 | 19,173 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 07/31/2030 | 80,000 | 58,587 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/30/2030 | 80,000 | 56,944 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/26/2033 | 428,000 | 273,748 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2033 | 266,000 | 178,455 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 02/28/2034 | 478,000 | 313,863 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034 | 276,000 | 178,228 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2034 | 26,000 | 16,850 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/30/2034 | 66,000 | 43,380 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 05/30/2034 | 89,000 | 55,449 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 06/30/2034 | 460,000 | 289,959 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 07/31/2034 | 25,000 | 18,237 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034 | 161,000 | 103,150 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/29/2034 | 10,000 | 6,577 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034 | 231,000 | 149,583 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/30/2034 | 88,000 | 55,663 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/08/2034 | 32,000 | 21,081 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034 | 103,000 | 63,274 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034 | 181,000 | 115,133 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 10/31/2034 | 357,000 | 241,270 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034 | 231,000 | 149,316 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 11/28/2034 | 25,000 | 15,892 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035 | 69,000 | 44,327 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 01/30/2035 | 175,000 | 124,508 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 02/27/2035 | 36,000 | 23,257 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035 | 527,000 | 361,128 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2035 | 114,000 | 75,433 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 02/29/2036 | 61,000 | 39,955 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/28/2036 | 10,000 | 6,635 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 06/30/2036 | 40,000 | 25,684 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/31/2036 | 2,289,000 | 1,637,292 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 09/30/2036 | 40,000 | 29,335 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 11/29/2036 | 103,000 | 74,719 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 01/31/2037 | 224,000 | 162,278 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 03/31/2037 | 747,000 | 528,889 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 04/28/2037 | 40,000 | 27,465 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 05/31/2037 | 25,000 | 18,014 | ||||||
Morgan Stanley, 0.000% (Variable Rate), 08/31/2037 | 58,000 | 41,012 | ||||||
5,950,684 | ||||||||
Consumer Services - 1.45% | ||||||||
Adtalem Global Education, Inc., 5.500%, 03/01/2028(a) | 6,195,000 | 5,730,375 | ||||||
5,730,375 |
4
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022
Principal Amount | Fair Value | |||||||
E-Commerce/Services - 0.63% | ||||||||
Uber Technologies, Inc., 6.250%, 01/15/2028(a) | $ | 2,500,000 | $ | 2,487,500 | ||||
2,487,500 | ||||||||
Food - 0.17% | ||||||||
Post Holdings, Inc., 5.500%, 12/15/2029(a) | 750,000 | 686,250 | ||||||
686,250 | ||||||||
Real Estate Owners & Developers - 0.17% | ||||||||
China Evergrande Group, 8.250%, 03/23/2022(b) | 4,324,000 | 540,500 | ||||||
China Evergrande Group, 7.500%, 06/28/2023(b) | 1,000,000 | 117,500 | ||||||
658,000 | ||||||||
Specialty Finance - 0.51% | ||||||||
PennyMac Financial Services, Inc., 5.375%, 10/15/2025(a) | 1,250,000 | 1,190,625 | ||||||
PennyMac Financial Services, Inc., 5.750%, 09/15/2031(a) | 1,000,000 | 827,500 | ||||||
2,018,125 | ||||||||
Steel-Producers - 0.23% | ||||||||
Cleveland-Cliffs Steel Corp., 7.000%, 03/15/2027 | 880,000 | 897,600 | ||||||
897,600 | ||||||||
TOTAL CORPORATE BONDS | 18,428,534 | |||||||
(Cost $26,313,599) |
Principal Amount | Fair Value | |||||||
SENIOR LOANS - 3.60% | ||||||||
Chemicals-Specialty - 0.04% | ||||||||
CPC Acquisition Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 12/29/2028 | 175,000 | 169,094 | ||||||
169,094 | ||||||||
Commercial Serv-Finance - 0.08% | ||||||||
Travelport Finance S.a r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026 | 373,859 | 321,565 | ||||||
321,565 | ||||||||
Commercial Services - 2.09% | ||||||||
RR Donnelley & Sons Co., First Lien Term Loan, 1M US L + 5.00%, 11/01/2026 | 8,263,000 | 8,225,816 | ||||||
8,225,816 | ||||||||
Food-Retail - 0.44% | ||||||||
Moran Foods LLC, First Lien Term Loan, 0.000%, 04/01/2024(b)(c) | 117,778 | – | ||||||
Moran Foods LLC, First Lien -2020 Term Loan, 3M US L + 8.00%, 04/01/2024 | 904,762 | 823,334 | ||||||
Moran Foods, LLC TLA, Second Lien Term Loan, 3M US L + 10.75%, 10/01/2024 | 1,250,690 | 906,750 | ||||||
1,730,084 |
Semi-Annual Report | April 30, 2022 | 5 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022
Principal Amount | Fair Value | |||||||
Leisure Facilities & Services - 0.91% | ||||||||
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, 3M US L + 5.00%, 12/29/2025 | $ | 272,744 | $ | 127,099 | ||||
Carnival Corporation TLB 1L, First Lien Term Loan, 3M US L + 3.25%, 10/06/2028 | 3,491,250 | 3,446,160 | ||||||
3,573,259 | ||||||||
Pipelines - 0.04% | ||||||||
GMP Borrower LLC, First Lien Term Loan, 3M US L + 4.50%, 10/28/2027 | 171,445 | 158,873 | ||||||
158,873 | ||||||||
Retail-Restaurants - 0.00%(d) | ||||||||
NPC International, Inc., Second Lien Initial Term Loan, 1M US L + 0.00%, 04/18/2025(b)(c) | 605,000 | – | ||||||
– | ||||||||
Theaters - 0.00%(d) | ||||||||
Crown Finance US, Inc., First Lien Initial B-1 Term Loan, 3M US L + 7.00 (PIK Rate 8.25%, Cash Rate 7.00%)%, 05/23/2024(e) | 11,258 | 13,079 | ||||||
13,079 | ||||||||
TOTAL SENIOR LOANS | 14,191,770 | |||||||
(Cost $14,889,193) |
Principal Amount | Fair Value | |||||||
SOVEREIGN DEBT OBLIGATIONS - 1.40% | ||||||||
Sovereign - 1.40% | ||||||||
Ukraine Government International Bond, 7.750%, 09/01/2024(f) | 829,000 | 281,860 | ||||||
Ukraine Government International Bond, 7.750%, 09/01/2025(f) | 2,820,000 | 958,800 | ||||||
Ukraine Government International Bond, 7.750%, 09/01/2026(f) | 664,000 | 225,760 | ||||||
Ukraine Government International Bond, 7.750%, 09/01/2027(f) | 1,658,000 | 563,720 | ||||||
Ukraine Government International Bond, 9.750%, 11/01/2028(f) | 4,146,000 | 1,409,640 | ||||||
Ukraine Government International Bond, 6.876%, 05/21/2029(f) | 664,000 | 212,480 | ||||||
Ukraine Government International Bond, 7.375%, 09/25/2032(f) | 1,327,000 | 424,640 | ||||||
Ukraine Government International Bond, 7.253%, 03/15/2033(f) | 3,980,000 | 1,273,600 | ||||||
Ukraine Government International Bond, 0.000%, 05/31/2040(f) | 630,000 | 185,850 | ||||||
5,536,350 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | 5,536,350 | |||||||
(Cost $3,564,291) |
Shares | Fair Value | |||||||
COMMON STOCK - 3.36% | ||||||||
REITS-Mortgage - 0.35% | ||||||||
Blackstone Mortgage Trust, Inc.(g) | 46,949 | 1,373,258 | ||||||
Medical-Drugs - 0.31% | ||||||||
Compass Pathways PLC(g) | 135,399 | 1,226,715 |
6
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022
Shares | Fair Value | |||||||
Oil & Gas Producers - 0.74% | ||||||||
Earthstone Energy, Inc.(g) | 217,199 | $ | 2,930,015 | |||||
Aerospace & Defense - 0.14% | ||||||||
Eve Holding Inc(g) | 54,806 | 563,406 | ||||||
Electronics & Appliances Stores - 0.00%(d) | ||||||||
Everyware Global(c)(g) | 43,777 | – | ||||||
Internet Media & Services - 0.63% | ||||||||
Netflix, Inc.(g) | 12,965 | 2,468,017 | ||||||
Renewable Energy - 0.00%(d) | ||||||||
NuScale Power Corp(g) | 1,507 | 14,377 | ||||||
Marine Services - 0.01% | ||||||||
Harvey Gulf Intl. Marine(g) | 7,413 | 58,377 | ||||||
Entertainment Facilities - 0.03% | ||||||||
24 Hour Fitness Worldwide(g) | 306,005 | 124,850 | ||||||
Mineral & Precious Stone Mining - 0.52% | ||||||||
Covia Equity(g) | 169,353 | 2,032,236 | ||||||
IT Services - 0.01% | ||||||||
IQOR(g) | 4,941 | 34,587 | ||||||
Power Generation - 0.17% | ||||||||
Longview Power LLC(g) | 61,813 | 679,943 | ||||||
Food - 0.42% | ||||||||
Benson Hill Inc.(c)(g) | 562,821 | 1,654,694 | ||||||
Automotive - 0.03% | ||||||||
Arbe Robotics, Ltd.(g) | 13,150 | 105,726 | ||||||
TOTAL COMMON STOCK | 13,266,201 | |||||||
(Cost $13,716,590) |
Shares | Fair Value | |||||||
CLOSED END FUNDS - 9.53% | ||||||||
Aberdeen Japan Equity Fund, Inc. | 66,330 | 405,940 | ||||||
Center Coast Brookfield MLP & Energy Infrastructure Fund | 146,912 | 2,613,564 | ||||||
ClearBridge Energy Midstream Opportunity Fund, Inc. | 10,345 | 285,832 | ||||||
Cushing MLP & Infrastructure Total Return Fund | 65,283 | 2,121,698 | ||||||
Cushing NextGen Infrastructure(g) | 23,585 | 963,683 | ||||||
Delaware Investments National Municipal Income Fund | 150,747 | 1,769,770 |
Semi-Annual Report | April 30, 2022 | 7 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022
Shares | Fair Value | |||||||
Delaware Ivy High Income Opportunities Fund | 154,715 | $ | 1,839,561 | |||||
Eaton Vance New York Municipal Bond Fund | 3,043 | 29,213 | ||||||
Ecofin Sustainable and Social | 49,255 | 740,795 | ||||||
Ellsworth Growth and Income Fund, Ltd. | 145,068 | 1,397,005 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 5,745 | 54,405 | ||||||
First Trust High Income Long/Short Fund | 1,343 | 17,231 | ||||||
Japan Smaller Capitalization Fund, Inc. | 7,794 | 52,298 | ||||||
Kayne Anderson Energy Infrastructure Fund | 85,296 | 767,663 | ||||||
Kayne Anderson NextGen Energy & Infrastructure, Inc. | 77,500 | 623,875 | ||||||
Korea Fund, Inc. | 27,872 | 831,979 | ||||||
Miller/Howard High Dividend Fund | 333,513 | 3,468,535 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 103,239 | 761,904 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 99,389 | 456,196 | ||||||
Neuberger Berman MLP & Energy Income Fund, Inc. | 783 | 5,011 | ||||||
Neuberger Berman Next Generation Connectivity Fund, Inc. | 125,036 | 1,432,913 | ||||||
New America High Income Fund, Inc. | 372 | 2,879 | ||||||
New Ireland Fund, Inc. | 95,326 | 834,245 | ||||||
Nuveen Core Plus Impact Fund | 33,358 | 438,991 | ||||||
Nuveen Multi-Asset Income Fund | 13,985 | 202,363 | ||||||
Pershing Square Holdings Ltd/f | 40,990 | 1,416,205 | ||||||
PGIM Global High Yield Fund, Inc. | 104 | 1,337 | ||||||
PGIM Short Duration High Yield Opportunities Fund | 9 | 146 | ||||||
PIMCO Energy & Tactical Credit Opportunities Fund | 254,162 | 3,614,184 | ||||||
Principal Real Estate Income Fund | 51,780 | 746,150 | ||||||
Salient Midstream & MLP Fund(g) | 528,128 | 4,193,336 | ||||||
Taiwan Fund, Inc. | 3,223 | 89,051 | ||||||
Templeton Emerging Markets Fund/United States | 1,470 | 18,110 | ||||||
Templeton Global Income Fund | 30,991 | 145,348 | ||||||
Tortoise Energy Independence Fund, Inc. | 29,984 | 871,035 | ||||||
Tortoise Energy Infrastructure(g) | 16,733 | 559,384 | ||||||
Tortoise Midstream Energy Fund(g) | 50,903 | 1,859,996 | ||||||
Tortoise Pipeline & Energy Fund, Inc. | 4,587 | 128,619 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 48,513 | 690,340 | ||||||
Vertical Capital Income Fund | 38,522 | 365,959 | ||||||
Virtus AllianzGI Convertible & Income Fund II | 44,847 | 172,661 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 2,509 | 18,341 | ||||||
Voya Emerging Markets High Income Dividend Equity Fund | 93,118 | 568,020 | ||||||
Western Asset Diversified Income Fund | 686 | 10,633 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 428 | 4,139 | ||||||
37,590,543 | ||||||||
TOTAL CLOSED END FUNDS | 37,590,543 | |||||||
(Cost $38,515,758) |
8
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022
Shares | Fair Value | |||||||
EXCHANGE TRADED FUND - 0.00%(d) | ||||||||
Exchange Traded Concepts High Yield ETF | 168 | $ | 4,704 | |||||
TOTAL EXCHANGE TRADED FUND | 4,704 | |||||||
(Cost $4,920) |
Shares | Fair Value | |||||||
PREFERRED STOCK - 0.10% | ||||||||
Entertainment Facilities - 0.10% | ||||||||
24 Hour Fitness Worldwide, Inc.(g) | 407,959 | 407,959 | ||||||
TOTAL PREFERRED STOCK | 407,959 | |||||||
(Cost $489,936) |
Shares | Fair Value | |||||||
UNIT TRUST - 0.14% | ||||||||
Grayscale Bitcoin Trust BTC(g)(h) | 20,400 | 538,152 | ||||||
TOTAL UNIT TRUST | 538,152 | |||||||
(Cost $495,869) |
Shares | Fair Value | |||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 101.61% | ||||||||
Investment Companies - 101.61% | ||||||||
10X Capital Venture Acquisition Corp. II(g) | 834 | 8,232 | ||||||
10X Capital Venture Acquisition Corp. III(g) | 111,508 | 1,113,965 | ||||||
26 Capital Acquisition Corp.(g) | 69,009 | 681,119 | ||||||
2MX Organic SA(g) | 13,079 | 136,597 | ||||||
5:01 Acquisition Corp.(g) | 91,755 | 907,457 | ||||||
7 Acquisition Corp.(g) | 50,470 | 503,438 | ||||||
7GC & Co. Holdings, Inc.(g) | 19,810 | 194,732 | ||||||
8i Acquisition 2 Corp.(g) | 46,160 | 456,061 | ||||||
A SPAC I Acquisition Corp.(g) | 2 | 20 | ||||||
ABG Acquisition Corp. I(g) | 34,184 | 336,029 | ||||||
Abri SPAC I, Inc.(g) | 47,464 | 472,267 | ||||||
Accelerate Acquisition Corp.(g) | 66,589 | 651,240 | ||||||
Accretion Acquisition Corp.(g) | 102,643 | 1,012,060 | ||||||
Achari Ventures Holdings Corp. I(g) | 38,684 | 385,679 | ||||||
Acropolis Infrastructure Acquisition Corp.(g) | 76,319 | 744,110 | ||||||
Adara Acquisition Corp.(g) | 35,768 | 353,746 | ||||||
Adit EdTech Acquisition Corp.(g) | 68,559 | 676,677 | ||||||
Advanced Merger Partners, Inc.(g) | 35,355 | 347,186 | ||||||
AEA-Bridges Impact Corp.(g) | 136,970 | 1,358,742 | ||||||
Aequi Acquisition Corp.(g) | 76,958 | 758,806 | ||||||
Aesther Healthcare Acquisition Corp.(g) | 115,745 | 1,171,339 | ||||||
AF Acquisition Corp.(g) | 97,266 | 951,261 | ||||||
African Gold Acquisition Corp.(g) | 176,315 | 1,728,769 |
Semi-Annual Report | April 30, 2022 | 9 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Agile Growth Corp.(g) | 59,098 | $ | 580,342 | |||||
Agrico Acquisition Corp.(g) | 126,009 | 1,281,512 | ||||||
Ahren Acquisition Corp.(g) | 19,716 | 196,076 | ||||||
AIB Acquisition Corp.(g) | 62,010 | 616,999 | ||||||
Alpha Healthcare Acquisition Corp. III(g) | 22,899 | 222,120 | ||||||
Alpha Partners Technology Merger Corp.(g) | 19,691 | 191,495 | ||||||
Alpine Acquisition Corp.(g) | 119,504 | 1,208,185 | ||||||
Alset Capital Acquisition Corp.(g) | 40,719 | 403,729 | ||||||
ALSP Orchid Acquisition Corp. I(g) | 104,793 | 1,048,978 | ||||||
AltC Acquisition Corp.(g) | 61,326 | 597,315 | ||||||
AltEnergy Acquisition Corp.(g) | 22,461 | 223,487 | ||||||
Altitude Acquisition Corp.(g) | 55,783 | 556,157 | ||||||
Andretti Acquisition Corp.(g) | 50,274 | 504,401 | ||||||
Angel Pond Holdings Corp.(g) | 33,960 | 338,581 | ||||||
Anthemis Digital Acquisitions I Corp.(g) | 99,433 | 992,341 | ||||||
Anzu Special Acquisition Corp. I(g) | 18,438 | 180,692 | ||||||
AP Acquisition Corp.(g) | 52,489 | 525,420 | ||||||
Apeiron Capital Investment Corp.(g) | 112,889 | 1,132,277 | ||||||
Apollo Strategic Growth Capital II(g) | 45,066 | 441,647 | ||||||
APx Acquisition Corp. I(g) | 46,626 | 469,524 | ||||||
Arbor Rapha Capital Bioholdings Corp. I(g) | 91,921 | 923,806 | ||||||
ArcLight Clean Transition Corp. II(g) | 59 | 586 | ||||||
Arctos NorthStar Acquisition Corp.(g) | 39,600 | 389,268 | ||||||
Arena Fortify Acquisition Corp.(g) | 103,357 | 1,033,570 | ||||||
Ares Acquisition Corp.(g) | 103,509 | 1,016,458 | ||||||
Argus Capital Corp.(g) | 56,098 | 577,809 | ||||||
Aries I Acquisition Corp.(g) | 11,338 | 114,287 | ||||||
Arisz Acquisition Corp.(g) | 34,348 | 338,500 | ||||||
Armada Acquisition Corp. I(g) | 102 | 1,012 | ||||||
Arrowroot Acquisition Corp.(g) | 205,758 | 2,014,371 | ||||||
Artemis Strategic Investment Corp., Class B(c)(g) | 12,038 | 19,863 | ||||||
Artemis Strategic Investment Corp.(g) | 142,048 | 1,418,349 | ||||||
ARYA Sciences Acquisition Corp. V(g) | 12,591 | 122,825 | ||||||
Ascendant Digital Acquisition Corp. III(g) | 183,145 | 1,835,113 | ||||||
Astrea Acquisition Corp.(g) | 1,854 | 18,206 | ||||||
Athena Consumer Acquisition Corp.(g) | 93,080 | 932,662 | ||||||
Athena Technology Acquisition Corp. II(g) | 167,962 | 1,651,066 | ||||||
Athlon Acquisition Corp.(g) | 94,859 | 931,515 | ||||||
Atlantic Avenue Acquisition Corp.(g) | 143,984 | 1,424,002 | ||||||
Atlantic Coastal Acquisition Corp.(g) | 51,070 | 500,997 | ||||||
Atlantic Coastal Acquisition Corp. II(g) | 95,202 | 948,688 | ||||||
Atlas Crest Investment Corp. II(g) | 44,310 | 435,124 | ||||||
Ault Disruptive Technologies Corp.(g) | 24,919 | 248,692 | ||||||
Aura FAT Projects Acquisition Corp.(g) | 58,439 | 583,806 | ||||||
Aurora Technology Acquisition Corp.(g) | 63,578 | 631,330 | ||||||
Austerlitz Acquisition Corp. II(g) | 39,641 | 388,482 | ||||||
Authentic Equity Acquisition Corp.(g) | 12,713 | 125,223 | ||||||
Avalon Acquisition, Inc.(g) | 77,027 | 767,959 |
10 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Avanti Acquisition Corp.(g) | 66,245 | $ | 655,825 | |||||
Avista Public Acquisition Corp. II(g) | 2,914 | 29,373 | ||||||
Axios Sustainable Growth Acquisition Corp.(g) | 60,175 | 602,352 | ||||||
B Riley Principal 150 Merger Corp.(g) | 20,367 | 201,430 | ||||||
B Riley Principal 250 Merger Corp.(g) | 52,757 | 514,381 | ||||||
Banner Acquisition Corp.(g) | 104,835 | 1,033,673 | ||||||
Bannix Acquisition Corp.(g) | 57,872 | 575,248 | ||||||
Banyan Acquisition Corp.(g) | 87,049 | 866,138 | ||||||
Battery Future Acquisition Corp.(g) | 92,866 | 920,302 | ||||||
BCLS Acquisition Corp.(g) | 1,935 | 19,147 | ||||||
Beard Energy Transition Acquisition Corp.(g) | 120,587 | 1,202,252 | ||||||
Belong Acquisition Corp.(g) | 60,448 | 592,995 | ||||||
Berenson Acquisition Corp. I(g) | 67,257 | 657,773 | ||||||
BGP Acquisition Corp.(g) | 32,622 | 319,696 | ||||||
BioPlus Acquisition Corp.(g) | 90,836 | 904,727 | ||||||
Biotech Acquisition Co.(g) | 109,702 | 1,081,662 | ||||||
Bite Acquisition Corp.(g) | 82,922 | 812,636 | ||||||
Black Mountain Acquisition Corp.(g) | 80,799 | 804,758 | ||||||
Black Spade Acquisition Co.(g) | 28,533 | 277,911 | ||||||
bleuacacia, Ltd.(g) | 210,684 | 2,058,383 | ||||||
Blockchain Coinvestors Acquisition Corp. I(g) | 211,857 | 2,118,570 | ||||||
Blockchain Moon Acquisition Corp.(g) | 41,209 | 407,145 | ||||||
Blue Ocean Acquisition Corp.(g) | 50,462 | 500,583 | ||||||
Blue Safari Group Acquisition Corp.(g) | 20,853 | 209,990 | ||||||
Blue Whale Acquisition Corp. I(g) | 16,386 | 158,944 | ||||||
Blue World Acquisition Corp.(g) | 51,687 | 524,903 | ||||||
BlueRiver Acquisition Corp.(g) | 23,897 | 234,908 | ||||||
Bluescape Opportunities Acquisition Corp.(g) | 175,838 | 1,739,038 | ||||||
BOA Acquisition Corp.(g) | 74,344 | 735,262 | ||||||
Bridgetown Holdings, Ltd.(g) | 7,835 | 77,488 | ||||||
Broad Capital Acquisition Corp.(g) | 69,924 | 694,345 | ||||||
Broadscale Acquisition Corp.(g) | 10,459 | 103,021 | ||||||
Brookline Capital Acquisition Corp.(g) | 806 | 8,157 | ||||||
Build Acquisition Corp.(g) | 36,073 | 353,515 | ||||||
Bullpen Parlay Acquisition Co.(g) | 115,467 | 1,152,938 | ||||||
BurTech Acquisition Corp.(g) | 163,089 | 1,621,105 | ||||||
BYTE Acquisition Corp.(g) | 163,063 | 1,596,387 | ||||||
C5 Acquisition Corp.(g) | 144,119 | 1,435,425 | ||||||
Cactus Acquisition Corp. 1, Ltd.(g) | 49,956 | 498,561 | ||||||
Canna-Global Acquisition Corp.(g) | 163,278 | 1,632,780 | ||||||
Capitalworks Emerging Markets Acquisition Corp.(g) | 138,241 | 1,381,028 | ||||||
Carney Technology Acquisition Corp. II(g) | 81,138 | 799,209 | ||||||
Cartica Acquisition Corp.(g) | 148,709 | 1,489,321 | ||||||
Cascade Acquisition Corp.(g) | 17,998 | 181,240 | ||||||
Catalyst Partners Acquisition Corp.(g) | 20,382 | 199,540 | ||||||
Catcha Investment Corp.(g) | 120,767 | 1,185,932 | ||||||
CC Neuberger Principal Holdings II(g) | 75,415 | 749,625 | ||||||
CC Neuberger Principal Holdings III(g) | 10,117 | 99,450 |
Semi-Annual Report | April 30, 2022 | 11 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
CENAQ Energy Corp.(g) | 122,480 | $ | 1,228,474 | |||||
CF Acquisition Corp. IV(g) | 120,117 | 1,181,951 | ||||||
CF Acquisition Corp. VII(g) | 21,449 | 213,847 | ||||||
CF Acquisition Corp. VIII(g) | 46,841 | 473,094 | ||||||
Chain Bridge I(g) | 66,734 | 664,003 | ||||||
Chardan NexTech Acquisition 2 Corp.(g) | 30,163 | 303,741 | ||||||
Chavant Capital Acquisition Corp.(g) | 2,703 | 26,895 | ||||||
Churchill Capital Corp. VI(g) | 26,323 | 258,229 | ||||||
Churchill Capital Corp. VII(g) | 94,864 | 929,667 | ||||||
CHW Acquisition Corp.(g) | 19,389 | 191,951 | ||||||
CIIG Capital Partners II, Inc.(g) | 42,062 | 427,771 | ||||||
Clarim Acquisition Corp.(g) | 37,272 | 366,011 | ||||||
Class Acceleration Corp.(g) | 90,133 | 884,205 | ||||||
Clean Earth Acquisitions Corp.(g) | 99,174 | 1,002,649 | ||||||
CleanTech Acquisition Corp.(g) | 32,844 | 330,082 | ||||||
ClimateRock(g) | 23,557 | 236,983 | ||||||
Clover Leaf Capital Corp.(g) | 17,736 | 179,754 | ||||||
Cohn Robbins Holdings Corp.(g) | 17,985 | 178,411 | ||||||
Colicity, Inc.(g) | 46,304 | 453,779 | ||||||
Colombier Acquisition Corp.(g) | 23,210 | 225,833 | ||||||
Compute Health Acquisition Corp.(g) | 21,234 | 208,306 | ||||||
Concord Acquisition Corp. III(g) | 98,362 | 979,686 | ||||||
Consilium Acquisition Corp. I, Ltd.(g) | 78,255 | 769,247 | ||||||
Constellation Acquisition Corp. I(g) | 24,177 | 237,660 | ||||||
Conx Corp.(g) | 30,069 | 296,781 | ||||||
Corner Growth Acquisition Corp.(g) | 65,955 | 650,316 | ||||||
Corner Growth Acquisition Corp. 2(g) | 32,871 | 327,724 | ||||||
Counter Press Acquisition Corp.(g) | 20,213 | 203,343 | ||||||
COVA Acquisition Corp.(g) | 105,029 | 1,032,435 | ||||||
Crescera Capital Acquisition Corp.(g) | 127,583 | 1,270,089 | ||||||
Crixus BH3 Acquisition Co.(g) | 15,539 | 153,758 | ||||||
Crown PropTech Acquisitions(g) | 65,036 | 641,905 | ||||||
Crucible Acquisition Corp.(g) | 125,933 | 1,236,662 | ||||||
Crypto 1 Acquisition Corp.(g) | 20,390 | 202,065 | ||||||
Crystal Peak Acquisition(g) | 334,985 | 3,333,101 | ||||||
D & Z Media Acquisition Corp.(g) | 68,000 | 667,080 | ||||||
DA32 Life Science Tech Acquisition Corp.(g) | 108,727 | 1,060,088 | ||||||
Data Knights Acquisition Corp.(g) | 43,918 | 448,842 | ||||||
Decarbonization Plus Acquisition Corp. IV(g) | 44,370 | 440,150 | ||||||
DEE Tech SA(g) | 41,293 | 431,265 | ||||||
Deep Lake Capital Acquisition Corp.(g) | 55,459 | 545,717 | ||||||
Deep Medicine Acquisition Corp.(g) | 74,268 | 740,452 | ||||||
Delwinds Insurance Acquisition Corp.(g) | 56,351 | 561,819 | ||||||
Denali Capital Acquisition Corp.(g) | 27,621 | 277,591 | ||||||
DHB Capital Corp.(g) | 19,989 | 195,892 | ||||||
DHC Acquisition Corp.(g) | 32,595 | 319,105 | ||||||
DiamondHead Holdings Corp.(g) | 74,868 | 734,455 | ||||||
Digital Health Acquisition Corp.(g) | 35,344 | 354,500 |
12 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Digital Transformation Opportunities Corp.(g) | 141,108 | $ | 1,383,564 | |||||
Digital World Acquisition Corp., Class B(c)(g) | 25,893 | 793,620 | ||||||
DILA Capital Acquisition Corp.(g) | 20,741 | 204,091 | ||||||
Direct Selling Acquisition Corp.(g) | 154,081 | 1,543,892 | ||||||
Disruptive Acquisition Corp. I(g) | 12,124 | 119,300 | ||||||
Disruptive Capital Acquisition Co., Ltd.(g) | 58,870 | 736,560 | ||||||
dMY Technology Group, Inc. VI(g) | 27,831 | 273,022 | ||||||
DP Cap Acquisition Corp. I(g) | 89,472 | 890,246 | ||||||
DPCM Capital, Inc.(g) | 1,927 | 19,058 | ||||||
Dragoneer Growth Opportunities Corp. III(g) | 28,687 | 281,133 | ||||||
DTRT Health Acquisition Corp.(g) | 172,459 | 1,734,938 | ||||||
Duddell Street Acquisition Corp.(g) | 97,559 | 970,712 | ||||||
DUET Acquisition Corp.(g) | 5,996 | 59,360 | ||||||
Dune Acquisition Corp.(g) | 63,725 | 634,701 | ||||||
E.Merge Technology Acquisition Corp.(g) | 188,453 | 1,871,338 | ||||||
Edify Acquisition Corp.(g) | 29,024 | 284,725 | ||||||
EdtechX Holdings Acquisition Corp. II(g) | 2,562 | 25,927 | ||||||
EG Acquisition Corp.(g) | 107,079 | 1,041,879 | ||||||
EJF Acquisition Corp.(g) | 46,408 | 458,047 | ||||||
Elliott Opportunity II Corp.(g) | 27,348 | 267,737 | ||||||
Emerging Markets Horizon Corp.(g) | 112,680 | 1,117,786 | ||||||
Empowerment & Inclusion Capital I Corp.(g) | 145,975 | 1,433,474 | ||||||
Endurance Acquisition Corp.(g) | 30,511 | 302,974 | ||||||
Energem Corp.(g) | 72,341 | 724,133 | ||||||
Energy Transition Partners BV(g) | 50,557 | 533,352 | ||||||
Enterprise 4.0 Technology Acquisition Corp.(g) | 44,710 | 445,535 | ||||||
Epiphany Technology Acquisition Corp.(g) | 188,936 | 1,857,241 | ||||||
EQ Health Acquisition Corp.(g) | 76,034 | 745,133 | ||||||
ESG Core Investments BV(g) | 281,009 | 2,845,931 | ||||||
ESGEN Acquisition Corp.(g) | 158,733 | 1,594,473 | ||||||
ESM Acquisition Corp.(g) | 18,627 | 182,545 | ||||||
Eucrates Biomedical Acquisition Corp.(g) | 22,562 | 222,913 | ||||||
European Biotech Acquisition Corp.(g) | 1,223 | 11,998 | ||||||
EVe Mobility Acquisition Corp.(g) | 83,089 | 823,412 | ||||||
Everest Consolidator Acquisition Corp.(g) | 100,984 | 1,010,850 | ||||||
Evergreen Corp.(g) | 70,092 | 707,929 | ||||||
Evo Acquisition Corp.(g) | 56,878 | 557,404 | ||||||
ExcelFin Acquisition Corp.(g) | 51,002 | 507,980 | ||||||
Executive Network Partnering Corp.(g) | 18,468 | 182,833 | ||||||
Far Peak Acquisition Corp.(g) | 21,242 | 209,659 | ||||||
FAST Acquisition Corp. II(g) | 28,787 | 281,537 | ||||||
Fat Projects Acquisition Corp., Class B(c)(g) | 4,886 | 8,893 | ||||||
Fat Projects Acquisition Corp.(g) | 61,845 | 611,647 | ||||||
FG Acquisition Corp.(g) | 50,526 | 517,891 | ||||||
FG Merger Corp.(g) | 1,483 | 14,934 | ||||||
Fifth Wall Acquisition Corp. III(g) | 77,093 | 750,886 | ||||||
Figure Acquisition Corp. I(g) | 6,245 | 61,170 | ||||||
Financial Strategies Acquisition Corp.(g) | 65,207 | 648,810 |
Semi-Annual Report | April 30, 2022 | 13 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Financials Acquisition Corp.(g) | 57,393 | $ | 716,276 | |||||
Finnovate Acquisition Corp.(g) | 100,186 | 999,355 | ||||||
FinServ Acquisition Corp. II(g) | 50,815 | 497,479 | ||||||
FinTech Acquisition Corp. VI(g) | 150,553 | 1,481,442 | ||||||
Fintech Ecosystem Development Corp.(g) | 54,704 | 547,040 | ||||||
Fintech Evolution Acquisition Group(g) | 61,069 | 598,476 | ||||||
First Light Acquisition Group, Inc.(g) | 45,338 | 449,526 | ||||||
First Reserve Sustainable Growth Corp.(g) | 17,131 | 167,712 | ||||||
Flame Acquisition Corp.(g) | 177,120 | 1,734,005 | ||||||
Focus Impact Acquisition Corp.(g) | 56,923 | 565,815 | ||||||
Forbion European Acquisition Corp.(g) | 22,181 | 221,366 | ||||||
Forest Road Acquisition Corp. II(g) | 97,924 | 959,655 | ||||||
Fortistar Sustainable Solutions Corp.(g) | 57,176 | 561,468 | ||||||
Fortress Capital Acquisition Corp.(g) | 124,120 | 1,221,341 | ||||||
Fortress Value Acquisition Corp. III(g) | 34,526 | 339,563 | ||||||
Fortress Value Acquisition Corp. IV(g) | 13,870 | 135,857 | ||||||
Fortune Rise Acquisition Corp.(g) | 36,191 | 364,443 | ||||||
Forum Merger IV Corp.(g) | 104,456 | 1,022,624 | ||||||
Founder SPAC(g) | 233,253 | 2,344,193 | ||||||
Frazier Lifesciences Acquisition Corp.(g) | 19,116 | 188,675 | ||||||
Freedom Acquisition I Corp.(g) | 18,275 | 179,369 | ||||||
Frontier Acquisition Corp.(g) | 57,947 | 568,460 | ||||||
FTAC Athena Acquisition Corp.(g) | 5,118 | 50,156 | ||||||
FTAC Emerald Acquisition Corp.(g) | 54,216 | 532,401 | ||||||
FTAC Hera Acquisition Corp.(g) | 227,355 | 2,230,353 | ||||||
FTAC Parnassus Acquisition Corp.(g) | 40,334 | 395,475 | ||||||
FTAC Zeus Acquisition Corp.(g) | 271,313 | 2,680,572 | ||||||
Fusion Acquisition Corp. II(g) | 188,052 | 1,842,910 | ||||||
Future Health ESG Corp.(g) | 77,163 | 763,914 | ||||||
FutureTech II Acquisition Corp.(g) | 52,279 | 527,948 | ||||||
G Squared Ascend II, Inc.(g) | 34,568 | 339,458 | ||||||
G&P Acquisition Corp.(g) | 43,330 | 432,000 | ||||||
G3 VRM Acquisition Corp.(g) | 103,276 | 1,045,153 | ||||||
Galata Acquisition Corp.(g) | 53,213 | 530,534 | ||||||
Games & Esports Experience Acquisition Corp.(g) | 118,761 | 1,191,173 | ||||||
Gaming & Hospitality Acquisition Corp.(g) | 48,459 | 477,321 | ||||||
Gardiner Healthcare Acquisitions Corp.(g) | 19,715 | 195,770 | ||||||
Generation Asia I Acquisition, Ltd.(g) | 31,678 | 310,603 | ||||||
Genesis Growth Tech Acquisition Corp.(g) | 47,855 | 479,029 | ||||||
Genesis Unicorn Capital Corp.(g) | 6,940 | 69,122 | ||||||
GFJ Esg Acquisition I SE(g) | 75,358 | 802,941 | ||||||
GigCapital5, Inc.(g) | 60,253 | 602,530 | ||||||
GigInternational1, Inc.(g) | 47,940 | 480,359 | ||||||
Gladstone Acquisition Corp.(g) | 37,300 | 375,611 | ||||||
Glass Houses Acquisition Corp.(g) | 150,419 | 1,469,594 | ||||||
Global Consumer Acquisition Corp.(g) | 36,026 | 361,341 | ||||||
Global Partner Acquisition Corp. II(g) | 31,433 | 309,301 | ||||||
Global SPAC Partners Co.(g) | 55,273 | 559,639 |
14 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Global Synergy Acquisition Corp.(g) | 109,666 | $ | 1,091,725 | |||||
Global Technology Acquisition Corp. I(g) | 85,831 | 857,452 | ||||||
Globalink Investment, Inc.(g) | 58,520 | 582,859 | ||||||
GO Acquisition Corp.(g) | 133,924 | 1,329,865 | ||||||
Goal Acquisitions Corp.(g) | 88,824 | 870,475 | ||||||
GoGreen Investments Corp.(g) | 130,678 | 1,309,394 | ||||||
Golden Arrow Merger Corp.(g) | 92,834 | 909,773 | ||||||
Golden Falcon Acquisition Corp.(g) | 139,454 | 1,372,227 | ||||||
Goldenstone Acquisition, Ltd.(g) | 2,191 | 21,768 | ||||||
Good Works II Acquisition Corp.(g) | 61,516 | 607,778 | ||||||
Gores Holdings IX, Inc.(g) | 121,537 | 1,182,555 | ||||||
Gores Holdings VII, Inc.(g) | 297,586 | 2,916,343 | ||||||
Gores Holdings VIII, Inc.(g) | 21,559 | 213,865 | ||||||
Gores Technology Partners II, Inc.(g) | 49,313 | 482,774 | ||||||
Gores Technology Partners, Inc.(g) | 1,934 | 18,953 | ||||||
Graf Acquisition Corp. IV(g) | 55,750 | 544,677 | ||||||
Green Visor Financial Technology Acquisition Corp. I(g) | 95,725 | 960,600 | ||||||
Group Nine Acquisition Corp.(g) | 5,277 | 51,899 | ||||||
Growth For Good Acquisition Corp.(g) | 129,444 | 1,261,432 | ||||||
GSR II Meteora Acquisition Corp.(g) | 142,738 | 1,440,207 | ||||||
Hamilton Lane Alliance Holdings I, Inc.(g) | 21,117 | 207,791 | ||||||
Hawks Acquisition Corp.(g) | 117,468 | 1,150,012 | ||||||
Haymaker Acquisition Corp. III, Class A(g) | 47,715 | 473,333 | ||||||
HCM ACQUISITION Corp.(g) | 21,112 | 210,487 | ||||||
Health Assurance Acquisition Corp.(g) | 20,290 | 200,059 | ||||||
Health Sciences Acquisitions Corp. 2(g) | 60,126 | 597,652 | ||||||
Healthcare AI Acquisition Corp.(g) | 103,771 | 1,033,559 | ||||||
Healthcare Services Acquisition Corp.(g) | 13,003 | 128,080 | ||||||
Healthwell Acquisition Corp. I(g) | 2,001 | 19,390 | ||||||
Heartland Media Acquisition Corp., Class A(g) | 2,998 | 29,920 | ||||||
Hennessy Capital Investment Corp. V(g) | 9,468 | 92,976 | ||||||
HH&L Acquisition Co.(g) | 89,355 | 878,360 | ||||||
HHG Capital Corp.(g) | 17,425 | 173,901 | ||||||
HIG Acquisition Corp.(g) | 103,397 | 1,021,562 | ||||||
Highland Transcend Partners I Corp.(g) | 31,494 | 310,531 | ||||||
HNR Acquisition Corp.(g) | 44,874 | 448,740 | ||||||
Home Plate Acquisition Corp.(g) | 46,382 | 453,152 | ||||||
HPX Corp.(g) | 25,649 | 255,210 | ||||||
Hudson Executive Investment Corp. II(g) | 44,517 | 436,712 | ||||||
Hudson Executive Investment Corp. III(g) | 134,382 | 1,319,631 | ||||||
HumanCo Acquisition Corp.(g) | 18,985 | 187,002 | ||||||
Hunt Cos. Acquisition Corp. I(g) | 105,412 | 1,058,336 | ||||||
I2PO SA(g) | 95,238 | 999,692 | ||||||
Ibere Pharmaceuticals(g) | 6,446 | 63,300 | ||||||
Iconic Sports Acquisition Corp.(g) | 85,644 | 862,435 | ||||||
IG Acquisition Corp.(g) | 13,337 | 131,770 | ||||||
Ignyte Acquisition Corp.(g) | 17,138 | 169,152 | ||||||
Inception Growth Acquisition, Ltd.(g) | 33,772 | 334,005 |
Semi-Annual Report | April 30, 2022 | 15 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Independence Holdings Corp.(g) | 3,378 | $ | 33,206 | |||||
Industrial Human Capital, Inc.(g) | 14,916 | 149,533 | ||||||
Industrial Tech Acquisitions II, Inc.(g) | 101,997 | 1,018,950 | ||||||
Infinite Acquisition Corp.(g) | 78,365 | 776,597 | ||||||
InFinT Acquisition Corp.(g) | 110,294 | 1,104,043 | ||||||
Innovative International Acquisition Corp.(g) | 134,343 | 1,346,117 | ||||||
Insight Acquisition Corp.(g) | 36,845 | 362,739 | ||||||
Integral Acquisition Corp. 1(g) | 38,577 | 381,527 | ||||||
Integrated Rail and Resources Acquisition Corp.(g) | 153,090 | 1,526,307 | ||||||
Integrated Wellness Acquisition Corp.(g) | 58,418 | 585,933 | ||||||
Intelligent Medicine Acquisition Corp.(g) | 114,155 | 1,141,550 | ||||||
International Media Acquisition Corp.(g) | 72,534 | 720,988 | ||||||
InterPrivate IV InfraTech Partners, Inc.(g) | 80,861 | 792,438 | ||||||
Investcorp Europe Acquisition Corp. I(g) | 55,193 | 551,930 | ||||||
ION Acquisition Corp. 3, Ltd.(g) | 1,887 | 18,436 | ||||||
Iron Spark I, Inc. | 38,366 | 382,509 | ||||||
Isleworth Healthcare Acquisition Corp.(g) | 50,061 | 497,106 | ||||||
ITHAX Acquisition Corp.(g) | 107,529 | 1,061,311 | ||||||
Itiquira Acquisition Corp.(g) | 119,763 | 1,179,067 | ||||||
IX Acquisition Corp.(g) | 22,361 | 220,170 | ||||||
Jackson Acquisition Co.(g) | 5,642 | 55,743 | ||||||
Jaguar Global Growth Corp. I(g) | 87,589 | 868,445 | ||||||
Jaws Juggernaut Acquisition Corp.(g) | 14,501 | 142,327 | ||||||
Jaws Mustang Acquisition Corp.(g) | 159,559 | 1,570,061 | ||||||
Jiya Acquisition Corp.(g) | 788 | 7,762 | ||||||
JOFF Fintech Acquisition Corp.(g) | 122,924 | 1,204,655 | ||||||
Juniper II Corp.(g) | 40,172 | 399,310 | ||||||
Jupiter Acquisition Corp.(g) | 14,439 | 139,986 | ||||||
Jupiter Wellness Acquisition Corp.(g) | 88,009 | 876,570 | ||||||
Kadem Sustainable Impact Corp.(g) | 75,482 | 738,591 | ||||||
Kairos Acquisition Corp.(g) | 11,597 | 114,230 | ||||||
Kairous Acquisition Corp. ltd(g) | 13,555 | 135,008 | ||||||
Kensington Capital Acquisition Corp. V(g) | 58,918 | 584,467 | ||||||
Kernel Group Holdings, Inc.(g) | 59,893 | 588,149 | ||||||
Keyarch Acquisition Corp.(g) | 20,135 | 197,625 | ||||||
Khosla Ventures Acquisition Co.(g) | 18,131 | 177,321 | ||||||
Kimbell Tiger Acquisition Corp.(g) | 119,582 | 1,201,799 | ||||||
Kingswood Acquisition Corp.(g) | 43,907 | 449,169 | ||||||
KINS Technology Group, Inc.(g) | 128,748 | 1,297,136 | ||||||
Kismet Acquisition Two Corp.(g) | 39,461 | 387,507 | ||||||
KKR Acquisition Holdings I Corp.(g) | 189,166 | 1,853,827 | ||||||
KL Acquisition Corp.(g) | 49,319 | 485,792 | ||||||
KludeIn I Acquisition Corp.(g) | 30,562 | 304,092 | ||||||
KnightSwan Acquisition Corp.(g) | 8,994 | 89,580 | ||||||
L Catterton Asia Acquisition Corp.(g) | 5,761 | 56,458 | ||||||
Lakeshore Acquisition I Corp.(g) | 12,332 | 122,210 | ||||||
LAMF Global Ventures Corp. I(g) | 138,675 | 1,379,816 | ||||||
Landcadia Holdings IV, Inc.(g) | 72,758 | 711,573 |
16 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Larkspur Health Acquisition Corp.(g) | 35,393 | $ | 352,160 | |||||
LatAmGrowth SPAC(g) | 75,699 | 755,098 | ||||||
LAVA Medtech Acquisition Corp.(g) | 37,985 | 381,369 | ||||||
Lazard Growth Acquisition Corp. I(g) | 64,054 | 629,010 | ||||||
LDH Growth Corp. I(g) | 42,328 | 415,238 | ||||||
Lefteris Acquisition Corp.(g) | 43,328 | 428,081 | ||||||
Legato Merger Corp. II(g) | 88,433 | 879,024 | ||||||
Leo Holdings Corp. II(g) | 50,399 | 496,430 | ||||||
Levere Holdings Corp.(g) | 54,573 | 535,361 | ||||||
LF Capital Acquisition Corp. II, Class A(g) | 166,778 | 1,671,116 | ||||||
Liberty Resources Acquisition Corp.(g) | 76,982 | 771,360 | ||||||
LightJump Acquisition Corp.(g) | 59,263 | 589,074 | ||||||
Lionheart III Corp.(g) | 77,022 | 768,680 | ||||||
LIV Capital Acquisition Corp. II(g) | 58,346 | 581,418 | ||||||
LMF Acquisition Opportunities, Inc.(g) | 59,099 | 600,150 | ||||||
Longview Acquisition Corp. II(g) | 31,993 | 312,892 | ||||||
Lux Health Tech Acquisition Corp.(g) | 40,694 | 401,650 | ||||||
M3-Brigade Acquisition II Corp.(g) | 86,250 | 843,525 | ||||||
M3-Brigade Acquisition III Corp.(g) | 14,905 | 148,752 | ||||||
Macondray Capital Acquisition Corp. I(g) | 84,283 | 837,773 | ||||||
Magnum Opus Acquisition, Ltd.(g) | 36,420 | 359,283 | ||||||
Malacca Straits Acquisition Co., Ltd.(g) | 26,253 | 266,205 | ||||||
Mana Capital Acquisition Corp.(g) | 39,874 | 395,151 | ||||||
Marblegate Acquisition Corp.(g) | 121,783 | 1,202,607 | ||||||
Marlin Technology Corp.(g) | 273,988 | 2,698,782 | ||||||
Mason Industrial Technology, Inc.(g) | 4,963 | 48,687 | ||||||
Maxpro Capital Acquisition Corp.(g) | 37,123 | 372,901 | ||||||
McLaren Technology Acquisition Corp.(g) | 122,181 | 1,224,254 | ||||||
MDH Acquisition Corp.(g) | 54,356 | 532,689 | ||||||
Medicus Sciences Acquisition Corp.(g) | 80,321 | 790,359 | ||||||
Mercato Partners Acquisition Corp.(g) | 99,370 | 989,725 | ||||||
Metal Sky Star Acquisition Corp.(g) | 40,420 | 407,029 | ||||||
Metals Acquisition Corp.(g) | 35,266 | 351,955 | ||||||
Minority Equality Opportunities Acquisition, Inc.(g) | 140,593 | 1,418,583 | ||||||
Mission Advancement Corp.(g) | 89,303 | 874,276 | ||||||
Model Performance Acquisition Corp.(g) | 8,645 | 87,833 | ||||||
Monterey Bio Acquisition Corp.(g) | 60,261 | 603,815 | ||||||
Monument Circle Acquisition Corp.(g) | 16,295 | 160,017 | ||||||
Moringa Acquisition Corp.(g) | 35,406 | 348,749 | ||||||
Motive Capital Corp. II(g) | 24,618 | 244,211 | ||||||
Mount Rainier Acquisition Corp.(g) | 13,035 | 130,676 | ||||||
Mountain & Co. I Acquisition Corp.(g) | 125,353 | 1,269,826 | ||||||
Mountain Crest Acquisition Corp. IV(g) | 34,801 | 346,444 | ||||||
Mountain Crest Acquisition Corp. V(g) | 18,152 | 178,979 | ||||||
Mudrick Capital Acquisition Corp. II(g) | 413,808 | 4,162,908 | ||||||
Murphy Canyon Acquisition Corp.(g) | 51,468 | 521,886 | ||||||
Music Acquisition Corp.(g) | 108,303 | 1,061,369 | ||||||
Nabors Energy Transition Corp.(g) | 188,038 | 1,880,380 |
Semi-Annual Report | April 30, 2022 | 17 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Natural Order Acquisition Corp.(g) | 17,483 | $ | 174,131 | |||||
New Energy One Acquisition Corp. PLC(g) | 445,953 | 5,649,695 | ||||||
New Providence Acquisition Corp. II(g) | 77,530 | 771,423 | ||||||
New Vista Acquisition Corp.(g) | 46,189 | 454,038 | ||||||
Newbury Street Acquisition Corp.(g) | 20,019 | 195,986 | ||||||
Newcourt Acquisition Corp.(g) | 126,219 | 1,264,714 | ||||||
Noble Rock Acquisition Corp.(g) | 56,711 | 556,902 | ||||||
North Atlantic Acquisition Corp.(g) | 57,083 | 567,976 | ||||||
North Mountain Merger Corp.(g) | 1,650 | 16,335 | ||||||
Northern Lights Acquisition Corp.(g) | 134,217 | 1,362,303 | ||||||
Northern Star Investment Corp. II(g) | 201,428 | 1,976,009 | ||||||
Northern Star Investment Corp. III(g) | 58,650 | 574,770 | ||||||
Northern Star Investment Corp. IV(g) | 70,002 | 685,320 | ||||||
NorthView Acquisition Corp.(g) | 38,482 | 381,164 | ||||||
Nova Vision Acquisition Corp.(g) | 32,258 | 323,870 | ||||||
Nubia Brand International Corp.(g) | 58,524 | 587,581 | ||||||
OCA Acquisition Corp.(g) | 9,841 | 98,804 | ||||||
OceanTech Acquisitions I Corp.(g) | 55,467 | 560,217 | ||||||
Omega Alpha SPAC(g) | 12,550 | 123,743 | ||||||
Omnichannel Acquisition Corp.(g) | 7,520 | 75,050 | ||||||
OmniLit Acquisition Corp.(g) | 77,702 | 778,574 | ||||||
One Equity Partners Open Water I Corp.(g) | 72,832 | 714,482 | ||||||
Onyx Acquisition Co. I(g) | 137,450 | 1,378,623 | ||||||
OPY Acquisition Corp. I(g) | 5,128 | 50,613 | ||||||
Orion Acquisition Corp.(g) | 23,870 | 233,926 | ||||||
Osiris Acquisition Corp.(g) | 23,661 | 231,168 | ||||||
Oxbridge Acquisition Corp.(g) | 17,547 | 176,260 | ||||||
Oxus Acquisition Corp.(g) | 52,867 | 528,670 | ||||||
Oyster Enterprises Acquisition Corp.(g) | 114,212 | 1,120,420 | ||||||
Pacifico Acquisition Corp.(g) | 7,239 | 72,571 | ||||||
Papaya Growth Opportunity Corp. I(g) | 114,924 | 1,144,643 | ||||||
Parabellum Acquisition Corp.(g) | 66,764 | 657,625 | ||||||
Parsec Capital Acquisitions Corp.(g) | 41,916 | 419,998 | ||||||
Pathfinder Acquisition Corp.(g) | 32,966 | 323,726 | ||||||
Patria Latin American Opportunity Acquisition Corp.(g) | 92,291 | 934,446 | ||||||
Pearl Holdings Acquisition Corp.(g) | 36,968 | 368,016 | ||||||
Pegasus Digital Mobility Acquisition Corp.(g) | 65,953 | 654,913 | ||||||
Pegasus Digital Mobility Acquisition Corp., Class B(c)(g) | 4,456 | 7,620 | ||||||
PepperLime Health Acquisition Corp.(g) | 23,753 | 234,442 | ||||||
Perception Capital Corp. II(g) | 118,089 | 1,183,252 | ||||||
Peridot Acquisition Corp. II(g) | 30,189 | 296,003 | ||||||
Pershing Square Tontine Holdings, Ltd.(g) | 39,835 | 792,318 | ||||||
Phoenix Biotech Acquisition Corp.(g) | 57,685 | 578,004 | ||||||
PHP Ventures Acquisition Corp.(g) | 32,042 | 321,061 | ||||||
Pine Island Acquisition Corp.(g) | 32,688 | 322,565 | ||||||
Pine Technology Acquisition Corp.(g) | 162,272 | 1,587,020 | ||||||
Pioneer Merger Corp.(g) | 17,566 | 172,849 | ||||||
Pivotal Investment Corp. III(g) | 14,002 | 137,220 |
18 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Plum Acquisition Corp. I(g) | 73,302 | $ | 718,360 | |||||
PMV Consumer Acquisition Corp.(g) | 35,259 | 348,888 | ||||||
Pono Capital Corp.(g) | 42,685 | 429,838 | ||||||
Pontem Corp.(g) | 58,443 | 575,079 | ||||||
Population Health Investment Co., Inc.(g) | 5,397 | 53,322 | ||||||
Power & Digital Infrastructure Acquisition II Corp.(g) | 44,362 | 436,966 | ||||||
Powered Brands(g) | 32,988 | 324,932 | ||||||
PowerUp Acquisition Corp.(g) | 141,091 | 1,427,841 | ||||||
Primavera Capital Acquisition Corp.(g) | 176,947 | 1,739,389 | ||||||
Priveterra Acquisition Corp.(g) | 42,674 | 419,059 | ||||||
Progress Acquisition Corp.(g) | 36,214 | 357,794 | ||||||
PROOF Acquisition Corp. I(g) | 61,707 | 613,676 | ||||||
Property Solutions Acquisition Corp. II(g) | 25,701 | 251,356 | ||||||
PropTech Investment Corp. II(g) | 41,944 | 412,729 | ||||||
Prospector Capital Corp.(g) | 18,816 | 185,149 | ||||||
Provident Acquisition Corp.(g) | 46,397 | 457,474 | ||||||
Pyrophyte Acquisition Corp.(g) | 59,361 | 593,610 | ||||||
RCF Acquisition Corp.(g) | 109,504 | 1,091,755 | ||||||
Recharge Acquisition Corp.(g) | 126,426 | 1,262,996 | ||||||
RedBall Acquisition Corp.(g) | 44,601 | 443,334 | ||||||
Redwoods Acquisition Corp.(g) | 32,327 | 326,826 | ||||||
Relativity Acquisition Corp.(g) | 48,410 | 484,342 | ||||||
Revelstone Capital Acquisition Corp.(g) | 2,736 | 27,032 | ||||||
Revolution Healthcare Acquisition Corp.(g) | 13,086 | 128,374 | ||||||
RF Acquisition Corp.(g) | 23,928 | 241,651 | ||||||
Ribbit LEAP, Ltd.(g) | 12,229 | 121,067 | ||||||
Rigel Resource Acquisition Corp.(g) | 64,290 | 642,900 | ||||||
Riverview Acquisition Corp.(g) | 53,597 | 533,521 | ||||||
ROC Energy Acquisition Corp.(g) | 74,024 | 736,539 | ||||||
Rocket Internet Growth Opportunities Corp.(g) | 33,430 | 327,614 | ||||||
Rose Hill Acquisition Corp.(g) | 83,056 | 833,052 | ||||||
Rosecliff Acquisition Corp. I(g) | 91,784 | 899,483 | ||||||
Ross Acquisition Corp. II(g) | 2,870 | 28,183 | ||||||
Roth Ch Acquisition IV Co.(g) | 10,035 | 99,949 | ||||||
Roth CH Acquisition V Co.(g) | 62,531 | 617,181 | ||||||
RXR Acquisition Corp.(g) | 12,933 | 126,873 | ||||||
Sagaliam Acquisition Corp.(g) | 100,069 | 994,686 | ||||||
Sanaby Health Acquisition Corp. I(g) | 90,010 | 903,700 | ||||||
Sandbridge X2 Corp.(g) | 15,181 | 148,774 | ||||||
Sarissa Capital Acquisition Corp.(g) | 712 | 7,049 | ||||||
Science Strategic Acquisition Corp. Alpha(g) | 107,999 | 1,060,550 | ||||||
ScION Tech Growth I(g) | 174,243 | 1,716,294 | ||||||
ScION Tech Growth II(g) | 60,966 | 599,296 | ||||||
SCP & Co. Healthcare Acquisition Co(g) | 32,688 | 321,160 | ||||||
Screaming Eagle Acquisition Corp.(g) | 67,654 | 663,686 | ||||||
Sculptor Acquisition Corp. I(g) | 36,931 | 367,463 | ||||||
Seaport Calibre Materials Acquisition Corp.(g) | 39,743 | 395,840 | ||||||
Seaport Global Acquisition II Corp.(g) | 91,410 | 910,901 |
Semi-Annual Report | April 30, 2022 | 19 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Semper Paratus Acquisition Corp.(g) | 196,100 | $ | 1,964,922 | |||||
Senior Connect Acquisition Corp. I(g) | 185,610 | 1,826,402 | ||||||
Shelter Acquisition Corp. I(g) | 39,147 | 385,206 | ||||||
ShoulderUp Technology Acquisition Corp.(g) | 201,607 | 2,001,958 | ||||||
SHUAA Partners Acquisition Corp. I(g) | 45,916 | 461,685 | ||||||
Sierra Lake Acquisition Corp.(g) | 66,804 | 660,358 | ||||||
Signal Hill Acquisition Corp.(g) | 26,924 | 267,625 | ||||||
Silver Crest Acquisition Corp.(g) | 154,643 | 1,521,687 | ||||||
Silver Spike III Acquisition Corp.(g) | 55,043 | 550,430 | ||||||
SILVERspac, Inc.(g) | 55,349 | 537,439 | ||||||
Simon Property Group Acquisition Holdings, Inc.(g) | 10,510 | 102,998 | ||||||
Sizzle Acquisition Corp.(g) | 87,181 | 873,118 | ||||||
Skydeck Acquisition Corp.(g) | 13,316 | 130,497 | ||||||
Slam Corp.(g) | 75,509 | 740,743 | ||||||
Soar Technology Acquisition Corp.(g) | 57,771 | 586,953 | ||||||
Social Capital Hedosophia Holdings Corp. VI(g) | 19,215 | 196,762 | ||||||
Social Capital Suvretta Holdings Corp. I(g) | 67,140 | 663,343 | ||||||
Social Capital Suvretta Holdings Corp. II(g) | 58,318 | 566,851 | ||||||
Social Capital Suvretta Holdings Corp. III(g) | 35,640 | 352,123 | ||||||
Social Capital Suvretta Holdings Corp. IV(g) | 86,410 | 840,769 | ||||||
Social Leverage Acquisition Corp. I(g) | 47,446 | 464,976 | ||||||
Software Acquisition Group, Inc. III(g) | 45,702 | 458,848 | ||||||
Sound Point Acquisition Corp. I, Ltd.(g) | 99,902 | 1,013,006 | ||||||
SoundHound AI, Inc.(g) | 707 | 5,783 | ||||||
Southport Acquisition Corp.(g) | 49,077 | 486,844 | ||||||
Spear Investments I BV(g) | 20,690 | 218,815 | ||||||
Spindletop Health Acquisition Corp.(g) | 122,357 | 1,223,570 | ||||||
SportsMap Tech Acquisition Corp.(g) | 30,800 | 306,460 | ||||||
SportsTek Acquisition Corp.(g) | 34,022 | 333,075 | ||||||
Spree Acquisition Corp. 1, Ltd.(g) | 75,747 | 757,470 | ||||||
Springwater Special Situations Corp.(g) | 58,969 | 583,203 | ||||||
ST Energy Transition I, Ltd.(g) | 91,169 | 901,661 | ||||||
StoneBridge Acquisition Corp.(g) | 109,133 | 1,088,602 | ||||||
Stratim Cloud Acquisition Corp.(g) | 51,586 | 506,575 | ||||||
Summit Healthcare Acquisition Corp.(g) | 42,915 | 417,563 | ||||||
Supernova Partners Acquisition Co. III, Ltd.(g) | 25,440 | 249,312 | ||||||
Sustainable Development Acquisition I Corp.(g) | 142,964 | 1,402,477 | ||||||
SVF Investment Corp.(g) | 180,495 | 1,779,681 | ||||||
SVF Investment Corp. 2(g) | 218,988 | 2,152,652 | ||||||
SVF Investment Corp. 3(g) | 68,743 | 681,931 | ||||||
Swiftmerge Acquisition Corp.(g) | 72,847 | 717,179 | ||||||
Tailwind Acquisition Corp.(g) | 97,632 | 967,533 | ||||||
Tailwind International Acquisition Corp.(g) | 234,566 | 2,305,784 | ||||||
Talon 1 Acquisition Corp.(g) | 143,866 | 1,448,731 | ||||||
Target Global Acquisition I Corp.(g) | 102,140 | 1,012,207 | ||||||
Tastemaker Acquisition Corp.(g) | 74,624 | 740,270 | ||||||
TB SA Acquisition Corp.(g) | 81,664 | 801,124 | ||||||
Tech and Energy Transition Corp.(g) | 64,240 | 629,552 |
20 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Technology & Telecommunication Acquisition Corp.(g) | 52,993 | $ | 529,400 | |||||
Tekkorp Digital Acquisition Corp.(g) | 1,256 | 12,397 | ||||||
Thrive Acquisition Corp.(g) | 95,562 | 960,398 | ||||||
Thunder Bridge Capital Partners III, Inc.(g) | 43,566 | 427,382 | ||||||
Tiga Acquisition Corp.(g) | 641 | 6,577 | ||||||
Tio Tech A(g) | 22,150 | 217,291 | ||||||
Tishman Speyer Innovation Corp. II(g) | 85,092 | 835,603 | ||||||
TKB Critical Technologies 1(g) | 113,531 | 1,138,716 | ||||||
TLG Acquisition One Corp.(g) | 96,180 | 943,526 | ||||||
TLGY Acquisition Corp.(g) | 136,622 | 1,365,537 | ||||||
TPG Pace Beneficial Finance Corp.(g) | 113,576 | 1,124,402 | ||||||
TPG Pace Beneficial II Corp.(g) | 150,036 | 1,471,853 | ||||||
Transition SA(g) | 33,822 | 348,778 | ||||||
Trepont Acquisition Corp. I(g) | 90,763 | 914,891 | ||||||
Tribe Capital Growth Corp. I(g) | 72,859 | 714,382 | ||||||
Trine II Acquisition Corp.(g) | 125,836 | 1,250,810 | ||||||
Tuatara Capital Acquisition Corp.(g) | 15,548 | 154,392 | ||||||
Turmeric Acquisition Corp.(g) | 606 | 5,999 | ||||||
Twelve Seas Investment Co. II(g) | 85,682 | 839,684 | ||||||
Twin Ridge Capital Acquisition Corp.(g) | 8,071 | 79,177 | ||||||
TZP Strategies Acquisition Corp.(g) | 138,058 | 1,357,110 | ||||||
UTA Acquisition Corp.(g) | 88,121 | 886,497 | ||||||
Vahanna Tech Edge Acquisition I Corp.(g) | 132,585 | 1,324,524 | ||||||
Valor Latitude Acquisition Corp.(g) | 20,577 | 201,655 | ||||||
Valuence Merger Corp. I(g) | 121,556 | 1,222,853 | ||||||
VAM Investments Spac BV(g) | 25,279 | 262,681 | ||||||
Vector Acquisition Corp. II(g) | 14,215 | 139,733 | ||||||
Velocity Acquisition Corp.(g) | 77,596 | 759,665 | ||||||
Viscogliosi Brothers Acquisition Corp.(g) | 41,703 | 413,277 | ||||||
Vision Sensing Acquisition Corp.(g) | 65,576 | 657,399 | ||||||
VMG Consumer Acquisition Corp.(g) | 124,658 | 1,241,594 | ||||||
VPC Impact Acquisition Holdings II(g) | 7,231 | 71,081 | ||||||
Vy Global Growth(g) | 31,512 | 313,544 | ||||||
Warburg Pincus Capital Corp. I-A(g) | 52,113 | 512,271 | ||||||
Warburg Pincus Capital Corp. I-B(g) | 61,234 | 601,930 | ||||||
Warrior Technologies Acquisition Co.(g) | 125,462 | 1,244,583 | ||||||
Welsbach Technology Metals Acquisition Corp.(g) | 29,572 | 293,059 | ||||||
Western Acquisition Ventures Corp.(g) | 29,980 | 297,851 | ||||||
Williams Rowland Acquisition Corp.(g) | 143,801 | 1,438,010 | ||||||
WinVest Acquisition Corp.(g) | 115,745 | 1,151,084 | ||||||
World Quantum Growth Acquisition Corp.(g) | 84,860 | 841,811 | ||||||
Worldwide Webb Acquisition Corp.(g) | 2,153 | 21,272 | ||||||
XPAC Acquisition Corp.(g) | 11,711 | 114,065 | ||||||
Yotta Acquisition Corp.(g) | 47,369 | 475,585 | ||||||
Z-Work Acquisition Corp.(g) | 43,015 | 422,837 | ||||||
400,890,624 |
Semi-Annual Report | April 30, 2022 | 21 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES | $ | 400,890,624 | ||||||
(Cost $394,836,232) | ||||||||
WARRANTS - 0.62%(g) | ||||||||
10X Capital Venture Acquisition Corp. III, Expires 12/31/2027, Strike Price $11.50 | 55,754 | 11,145 | ||||||
7 Acquisition Corp., Expires 11/05/2026, Strike Price $11.50 | 25,051 | 7,791 | ||||||
Achari Ventures Holdings Corp. I, Expires 08/05/2026, Strike Price $11.50 | 38,384 | 7,677 | ||||||
Ahren Acquisition Corp., Expires 06/17/2028, Strike Price $11.50 | 47,850 | 13,424 | ||||||
Alpha Healthcare Acquisition Corp. III, Expires 04/12/2027, Strike Price $11.50 | 3,816 | 2,557 | ||||||
Alset Capital Acquisition Corp., Expires 02/02/2027, Strike Price $11.50 | 13,297 | 1,795 | ||||||
ALSP Orchid Acquisition Corp. I, Expires 05/03/2023, Strike Price $11.50 | 52,397 | 13,361 | ||||||
AP Acquisition Corp., Expires 12/07/2026, Strike Price $11.50 | 9,857 | 2,834 | ||||||
Apeiron Capital Investment Corp., Expires 06/24/2023, Strike Price $11.50 | 49,159 | 7,860 | ||||||
APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50 | 3,981 | 916 | ||||||
Arbor Rapha Capital Bioholdings Corp. I, Expires 03/14/2023, Strike Price $11.50 | 23,851 | 5,250 | ||||||
Arctos NorthStar Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 28,596 | 9,883 | ||||||
Arena Fortify Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 51,232 | 9,222 | ||||||
Arisz Acquisition Corp., Expires 05/01/2023, Strike Price $11.50 | 34,348 | 8,243 | ||||||
Artemis Strategic Investment Corp., Expires 02/12/2023, Strike Price $11.50 | 52,405 | 8,909 | ||||||
Ascendant Digital Acquisition Corp. III, Expires 04/19/2023, Strike Price $11.50 | 78,866 | 31,893 | ||||||
Athena Consumer Acquisition Corp., Expires 07/20/2023, Strike Price $11.50 | 33,717 | 6,406 | ||||||
Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50 | 36,968 | 8,682 | ||||||
Athlon Acquisition Corp., Expires 03/05/2026, Strike Price $11.50 | 10,917 | 1,747 | ||||||
Atlantic Coastal Acquisition Corp. II, Expires 06/02/2028, Strike Price $11.50 | 80,774 | 15,929 | ||||||
Ault Disruptive Technologies Corp., Expires 06/20/2028, Strike Price $11.50 | 18,483 | 2,588 | ||||||
Aurora Technology Acquisition Corp., Expires 02/07/2028, Strike Price $11.50 | 63,578 | 3,262 | ||||||
Axios Sustainable Growth Acquisition Corp., Expires 02/16/2027, Strike Price $11.50 | 43,990 | 5,279 | ||||||
Banyan Acquisition Corp., Expires 09/30/2028, Strike Price $11.50 | 45,560 | 9,568 | ||||||
Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50 | 36,968 | 10,351 | ||||||
Beard Energy Transition Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 60,293 | 18,088 | ||||||
BenevolentAI, Expires 06/30/2026, Strike Price $11.50 | 7,014 | 3,959 | ||||||
Benson Hill Inc., Expires 03/25/2027, Strike Price $3.90(c) | 187,607 | 296,419 | ||||||
BioPlus Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | 45,412 | 9,160 | ||||||
Black Mountain Acquisition Corp., Expires 10/15/2027, Strike Price $11.50 | 46,279 | 9,719 | ||||||
Black Spade Acquisition Co., Expires 06/29/2023, Strike Price $11.50 | 14,266 | 2,609 | ||||||
bleuacacia, Ltd., Expires 10/30/2026, Strike Price $11.50 | 100,804 | 29,233 | ||||||
Blockchain Coinvestors Acquisition Corp. I, Expires 11/01/2028, Strike Price $11.50 | 93,986 | 27,265 | ||||||
Blue Ocean Acquisition Corp., Expires 10/21/2028, Strike Price $11.50 | 16,257 | 4,471 | ||||||
Bluescape Opportunities Acquisition Corp., Expires 01/31/2026, Strike Price $11.50 | 49,310 | 16,768 | ||||||
Bullpen Parlay Acquisition Co., Expires 12/03/2026, Strike Price $11.50 | 57,733 | 14,999 | ||||||
BurTech Acquisition Corp., Expires 12/18/2026, Strike Price $11.50 | 23,368 | 2,512 | ||||||
BYTE Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 20,143 | 3,968 | ||||||
C5 Acquisition Corp., Expires 05/19/2028, Strike Price $11.50 | 72,059 | 20,176 | ||||||
Cactus Acquisition Corp. 1, Ltd., Expires 07/20/2023, Strike Price $11.50 | 21,180 | 3,548 | ||||||
Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50 | 154,766 | 19,346 | ||||||
Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50 | 69,120 | 16,630 |
22 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Carney Technology Acquisition Corp. II, Expires 11/30/2027, Strike Price $11.50 | 46,429 | $ | 14,393 | |||||
Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50 | 74,354 | 19,336 | ||||||
Catalyst Partners Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 4,076 | 1,930 | ||||||
CENAQ Energy Corp., Expires 12/31/2027, Strike Price $11.50 | 327 | 62 | ||||||
CF Acquisition Corp. IV, Expires 12/14/2025, Strike Price $11.50 | 13,333 | 4,400 | ||||||
CF Acquisition Corp. VII, Expires 03/15/2026, Strike Price $11.50 | 4,928 | 2,144 | ||||||
Chain Bridge I, Expires 12/31/2028, Strike Price $11.50 | 33,367 | 10,010 | ||||||
Churchill Capital Corp. VII, Expires 02/29/2028, Strike Price $11.50 | 26,731 | 14,705 | ||||||
CIIG Capital Partners II, Inc., Expires 02/28/2028, Strike Price $11.50 | 11,642 | 3,904 | ||||||
Cineworld, Expires 11/23/2025, Strike Price $0.01 | 88,914 | 12,299 | ||||||
Clarim Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 27,552 | 5,373 | ||||||
Climate Real Impact Solutions II Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 24 | 11 | ||||||
Compute Health Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 26,926 | 12,930 | ||||||
Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50 | 25,741 | 12,360 | ||||||
Concord Acquisition Corp. III, Expires 12/31/2028, Strike Price $11.50 | 54,452 | 17,425 | ||||||
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027, Strike Price $11.50 | 38,488 | 7,313 | ||||||
Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 41,045 | 6,362 | ||||||
Crescera Capital Acquisition Corp., Expires 04/20/2023, Strike Price $11.50 | 63,791 | 19,026 | ||||||
Crypto 1 Acquisition Corp., Expires 01/11/2027, Strike Price $11.50 | 98,684 | 24,163 | ||||||
Crystal Peak Acquisition, Expires 06/22/2026, Strike Price $11.50 | 34,484 | 15,690 | ||||||
D & Z Media Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 1,601 | 320 | ||||||
DEE Tech SA, Expires 06/23/2023, Strike Price $11.50 | 35,099 | 5,371 | ||||||
Deep Lake Capital Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 27,192 | 5,033 | ||||||
DHC Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 25,249 | 5,552 | ||||||
DiamondHead Holdings Corp., Expires 01/28/2028, Strike Price $11.50 | 11,333 | 3,400 | ||||||
Digital Health Acquisition Corp., Expires 10/14/2023, Strike Price $11.50 | 17,736 | 2,659 | ||||||
dMY Technology Group, Inc. VI, Expires 06/25/2023, Strike Price $11.50 | 3,783 | 2,278 | ||||||
DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | 5,996 | 959 | ||||||
EG Acquisition Corp., Expires 05/28/2028, Strike Price $11.50 | 27,981 | 6,156 | ||||||
Emerging Markets Horizon Corp., Expires 02/08/2028, Strike Price $11.50 | 73,685 | 13,256 | ||||||
Empowerment & Inclusion Capital I Corp., Expires 12/31/2027, Strike Price $11.50 | 16,634 | 2,661 | ||||||
Energem Corp., Expires 03/10/2023, Strike Price $11.50 | 45,714 | 7,319 | ||||||
Energy Transition Partners BV, Expires 07/16/2026, Strike Price $11.50 | 16,852 | 5,333 | ||||||
Epiphany Technology Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 36,039 | 10,451 | ||||||
EQ Health Acquisition Corp., Expires 02/02/2028, Strike Price $11.50 | 20,194 | 5,048 | ||||||
ESGEN Acquisition Corp., Expires 06/28/2023, Strike Price $11.50 | 61,117 | 17,110 | ||||||
EVe Mobility Acquisition Corp., Expires 05/12/2028, Strike Price $11.50 | 27,110 | 6,235 | ||||||
Everest Consolidator Acquisition Corp., Expires 07/19/2023, Strike Price $11.50 | 50,492 | 14,640 | ||||||
ExcelFin Acquisition Corp., Expires 07/05/2023, Strike Price $11.50 | 22,366 | 3,802 | ||||||
Fat Projects Acquisition Corp., Expires 12/16/2022, Strike Price $11.50 | 37,947 | 6,827 | ||||||
Financial Strategies Acquisition Corp., Expires 03/31/2028, Strike Price $11.50 | 6,820 | 1,018 | ||||||
Financials Acquisition Corp., Expires 04/04/2027, Strike Price $1150.00 | 28,696 | 9,201 | ||||||
Finnovate Acquisition Corp., Expires 04/15/2023, Strike Price $11.50 | 71,462 | 13,592 | ||||||
FinServ Acquisition Corp. II, Expires 02/17/2026, Strike Price $11.50 | 22,794 | 8,566 | ||||||
FinTech Acquisition Corp. VI, Expires 12/31/2027, Strike Price $11.50 | 512 | 301 | ||||||
Fintech Ecosystem Development Corp., Expires 12/31/2028, Strike Price $11.50 | 27,352 | 4,296 | ||||||
Fintech Evolution Acquisition Group, Expires 03/31/2028, Strike Price $11.50 | 17,608 | 4,391 |
Semi-Annual Report | April 30, 2022 | 23 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Flame Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 5,451 | $ | 1,308 | |||||
Forbion European Acquisition Corp., Expires 05/23/2028, Strike Price $11.50 | 7,393 | 2,978 | ||||||
Fortistar Sustainable Solutions Corp., Expires 12/31/2027, Strike Price $11.50 | 39,098 | 10,754 | ||||||
Fortune Rise Acquisition Corp., Expires 11/26/2023, Strike Price $11.50 | 15,616 | 4,060 | ||||||
FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50 | 27,108 | 9,757 | ||||||
FTAC Parnassus Acquisition Corp., Expires 03/10/2026, Strike Price $11.50 | 10,083 | 4,535 | ||||||
FTAC Zeus Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 135,656 | 48,165 | ||||||
Fusion Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50 | 20,782 | 3,949 | ||||||
Future Health ESG Corp., Expires 02/19/2023, Strike Price $11.50 | 37,402 | 7,480 | ||||||
Games & Esports Experience Acquisition Corp., Expires 10/21/2028, Strike Price $11.50 | 59,290 | 11,858 | ||||||
Gardiner Healthcare Acquisitions Corp., Expires 07/30/2028, Strike Price $11.50 | 14,786 | 2,957 | ||||||
Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50 | 10,074 | 2,015 | ||||||
GigCapital5, Inc., Expires 12/31/2028, Strike Price $11.50 | 3,954 | 712 | ||||||
GigInternational1, Inc., Expires 12/31/2028, Strike Price $11.50 | 31,595 | 5,719 | ||||||
Glass Houses Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 33,299 | 9,990 | ||||||
Global Technology Acquisition Corp. I, Expires 07/13/2023, Strike Price $11.50 | 23,734 | 5,936 | ||||||
Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50 | 14,771 | 1,112 | ||||||
GoGreen Investments Corp., Expires 06/04/2023, Strike Price $11.50 | 65,339 | 16,335 | ||||||
Gores Holdings IX, Inc., Expires 01/14/2029, Strike Price $11.50 | 40,512 | 27,350 | ||||||
Green Visor Financial Technology Acquisition Corp. I, Expires 05/08/2023, Strike Price $11.50 | 47,750 | 11,937 | ||||||
Growth For Good Acquisition Corp., Expires 11/12/2026, Strike Price $11.50 | 51,285 | 10,770 | ||||||
Harvey Gulf, Expires 12/31/2049, Strike Price $0.01 | 16,636 | 131,008 | ||||||
HCM ACQUISITION Corp., Expires 12/31/2027, Strike Price $11.50 | 10,493 | 1,787 | ||||||
Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50 | 18,681 | 7,659 | ||||||
Heartland Media Acquisition Corp., Expires 10/21/2027, Strike Price $11.50 | 1,499 | 318 | ||||||
HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50 | 17,425 | 2,788 | ||||||
HNR Acquisition Corp., Expires 07/29/2028, Strike Price $11.50 | 44,874 | 6,731 | ||||||
Home Plate Acquisition Corp., Expires 03/03/2023, Strike Price $11.50 | 4,107 | 1,150 | ||||||
Hunt Cos. Acquisition Corp. I, Expires 12/31/2028, Strike Price $11.50 | 52,706 | 10,014 | ||||||
I2PO SA, Expires 07/21/2026, Strike Price $11.50 | 95,238 | 22,606 | ||||||
Iconic Sports Acquisition Corp., Expires 04/06/2023, Strike Price $11.50 | 19,665 | 5,748 | ||||||
Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50 | 2,402 | 609 | ||||||
Industrial Human Capital, Inc., Expires 12/31/2028, Strike Price $11.50 | 14,916 | 1,790 | ||||||
Industrial Tech Acquisitions II, Inc., Expires 12/31/2028, Strike Price $11.50 | 47,509 | 12,115 | ||||||
Infinite Acquisition Corp., Expires 11/23/2028, Strike Price $11.50 | 46,166 | 18,236 | ||||||
InFinT Acquisition Corp., Expires 05/19/2027, Strike Price $11.50 | 55,058 | 8,259 | ||||||
Innovative International Acquisition Corp., Expires 04/03/2023, Strike Price $11.50 | 71,433 | 13,579 | ||||||
Integrated Rail and Resources Acquisition Corp., Expires 05/21/2023, Strike Price $11.50 | 48,874 | 14,169 | ||||||
Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | 1,869 | 449 | ||||||
Intelligent Medicine Acquisition Corp., Expires 01/13/2023, Strike Price $11.50 | 89,138 | 20,930 | ||||||
Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50 | 24,645 | 5,175 | ||||||
Jackson Acquisition Co., Expires 12/31/2028, Strike Price $11.50 | 11,842 | 2,664 | ||||||
Jaguar Global Growth Corp. I, Expires 02/11/2027, Strike Price $11.50 | 43,794 | 8,980 | ||||||
Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50 | 19,820 | 10,903 | ||||||
Juniper II Corp., Expires 12/31/2028, Strike Price $11.50 | 9,381 | 4,204 | ||||||
Jupiter Acquisition Corp., Expires 08/25/2022, Strike Price $11.50 | 1,531 | 452 | ||||||
Kairous Acquisition Corp. ltd, Expires 09/15/2026, Strike Price $11.50 | 6,765 | 1,116 |
24 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Kernel Group Holdings, Inc., Expires 01/31/2027, Strike Price $11.50 | 1,326 | $ | 212 | |||||
Keyarch Acquisition Corp., Expires 07/25/2028, Strike Price $11.50 | 24,350 | 4,321 | ||||||
Kimbell Tiger Acquisition Corp., Expires 09/15/2028, Strike Price $11.50 | 59,791 | 16,155 | ||||||
KnightSwan Acquisition Corp., Expires 07/21/2028, Strike Price $11.50 | 4,497 | 848 | ||||||
LAMF Global Ventures Corp. I, Expires 04/04/2023, Strike Price $11.50 | 63,179 | 18,951 | ||||||
Larkspur Health Acquisition Corp., Expires 05/17/2028, Strike Price $11.50 | 7,100 | 1,419 | ||||||
LatAmGrowth SPAC, Expires 01/25/2028, Strike Price $11.50 | 37,849 | 7,948 | ||||||
LAVA Medtech Acquisition Corp., Expires 04/01/2023, Strike Price $11.50 | 57,923 | 12,853 | ||||||
Lazard Growth Acquisition Corp. I, Expires 12/31/2027, Strike Price $11.50 | 4,497 | 2,248 | ||||||
LDH Growth Corp. I, Expires 12/31/2028, Strike Price $11.50 | 1,613 | 613 | ||||||
Lefteris Acquisition Corp., Expires 10/23/2025, Strike Price $11.50 | 26,999 | 5,867 | ||||||
Levere Holdings Corp., Expires 12/31/2028, Strike Price $11.50 | 13,463 | 3,659 | ||||||
LF Capital Acquisition Corp. II, Expires 01/07/2026, Strike Price $11.50 | 60,499 | 18,755 | ||||||
Liberty Resources Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | 22,928 | 5,503 | ||||||
Lionheart III Corp., Expires 03/19/2023, Strike Price $11.50 | 36,580 | 9,149 | ||||||
LIV Capital Acquisition Corp. II, Expires 02/16/2027, Strike Price $11.50 | 43,759 | 7,004 | ||||||
Mana Capital Acquisition Corp., Expires 12/01/2026, Strike Price $11.50 | 19,933 | 4,485 | ||||||
McLaren Technology Acquisition Corp., Expires 03/03/2023, Strike Price $11.50 | 61,067 | 17,401 | ||||||
Mercato Partners Acquisition Corp., Expires 12/28/2026, Strike Price $11.50 | 15,665 | 4,526 | ||||||
Metals Acquisition Corp., Expires 07/12/2026, Strike Price $11.50 | 8,891 | 8,891 | ||||||
Monterey Bio Acquisition Corp., Expires 06/07/2023, Strike Price $11.50 | 24,230 | 3,264 | ||||||
Monument Circle Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 29,822 | 5,964 | ||||||
Motive Capital Corp. II, Expires 05/15/2028, Strike Price $11.50 | 8,206 | 3,251 | ||||||
Mount Rainier Acquisition Corp., Expires 12/04/2022, Strike Price $11.50 | 12,935 | 2,552 | ||||||
Mountain & Co. I Acquisition Corp., Expires 08/24/2023, Strike Price $11.50 | 62,660 | 12,902 | ||||||
Music Acquisition Corp., Expires 02/05/2028, Strike Price $11.50 | 15,545 | 3,289 | ||||||
Nabors Energy Transition Corp., Expires 11/17/2026, Strike Price $11.50 | 87,846 | 30,746 | ||||||
New Energy One Acquisition Corp. PLC, Expires 03/07/2027, Strike Price $11.50 | 222,976 | 36,450 | ||||||
New Providence Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50 | 21,526 | 5,702 | ||||||
New Vista Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 14,117 | 4,482 | ||||||
Newcourt Acquisition Corp., Expires 04/12/2028, Strike Price $11.50 | 30,398 | 6,153 | ||||||
NightDragon Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 11,378 | 5,461 | ||||||
NorthView Acquisition Corp., Expires 10/21/2023, Strike Price $11.50 | 19,197 | 3,609 | ||||||
Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 31,088 | 2,130 | ||||||
OmniLit Acquisition Corp., Expires 11/08/2026, Strike Price $11.50 | 31,515 | 7,501 | ||||||
Onyx Acquisition Co. I, Expires 01/07/2023, Strike Price $11.50 | 24,790 | 4,958 | ||||||
Orion Acquisition Corp., Expires 02/19/2026, Strike Price $11.50 | 5,956 | 1,906 | ||||||
Oxus Acquisition Corp., Expires 01/27/2023, Strike Price $11.50 | 20,287 | 3,690 | ||||||
Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50 | 76,584 | 16,121 | ||||||
Parsec Capital Acquisitions Corp., Expires 01/08/2023, Strike Price $11.50 | 9,369 | 1,639 | ||||||
Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50 | 18,484 | 4,713 | ||||||
PepperLime Health Acquisition Corp., Expires 03/28/2023, Strike Price $11.50 | 11,876 | 5,394 | ||||||
Perception Capital Corp. II, Expires 12/31/2028, Strike Price $11.50 | 58,258 | 7,574 | ||||||
Phoenix Biotech Acquisition Corp., Expires 09/01/2026, Strike Price $11.50 | 21,939 | 4,168 | ||||||
Pine Island Acquisition Corp., Expires 10/29/2027, Strike Price $11.50 | 2,271 | 911 | ||||||
Pontem Corp., Expires 12/31/2027, Strike Price $11.50 | 60,453 | 14,509 | ||||||
Power & Digital Infrastructure Acquisition II Corp., Expires 12/14/2028, Strike Price $11.50 | 87,961 | 39,591 |
Semi-Annual Report | April 30, 2022 | 25 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Powered Brands, Expires 12/31/2027, Strike Price $11.50 | 12,449 | $ | 2,635 | |||||
PROOF Acquisition Corp. I, Expires 12/03/2028, Strike Price $11.50 | 20,757 | 5,953 | ||||||
Prospector Capital Corp., Expires 01/01/2025, Strike Price $11.50 | 21,521 | 4,461 | ||||||
RCF Acquisition Corp., Expires 04/25/2023, Strike Price $11.50 | 31,463 | 13,370 | ||||||
Relativity Acquisition Corp., Expires 02/11/2027, Strike Price $11.50 | 45,142 | 6,324 | ||||||
Revelstone Capital Acquisition Corp., Expires 05/24/2028, Strike Price $11.50 | 53 | 15 | ||||||
Rigel Resource Acquisition Corp., Expires 04/19/2023, Strike Price $11.50 | 31,854 | 12,764 | ||||||
Rose Hill Acquisition Corp., Expires 03/03/2023, Strike Price $11.50 | 41,528 | 10,801 | ||||||
Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50 | 28,225 | 14,112 | ||||||
Science Strategic Acquisition Corp. Alpha, Expires 12/31/2027, Strike Price $11.50 | 79,319 | 14,285 | ||||||
Screaming Eagle Acquisition Corp., Expires 12/15/2027, Strike Price $11.50 | 22,674 | 12,924 | ||||||
Sculptor Acquisition Corp. I, Expires 04/15/2028, Strike Price $11.50 | 9,858 | 3,116 | ||||||
Seaport Calibre Materials Acquisition Corp., Expires 01/19/2023, Strike Price $11.50 | 14,252 | 3,386 | ||||||
ShoulderUp Technology Acquisition Corp., Expires 07/26/2023, Strike Price $11.50 | 94,845 | 20,230 | ||||||
Signal Hill Acquisition Corp., Expires 02/11/2027, Strike Price $11.50 | 13,462 | 2,828 | ||||||
SILVERspac, Inc., Expires 02/16/2023, Strike Price $11.50 | 18,449 | 8,156 | ||||||
Sizzle Acquisition Corp., Expires 03/12/2026, Strike Price $11.50 | 43,590 | 8,062 | ||||||
Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50 | 6,161 | 1,190 | ||||||
Spindletop Health Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 47,277 | 9,928 | ||||||
Spree Acquisition Corp. 1, Ltd., Expires 12/22/2028, Strike Price $11.50 | 20,337 | 4,635 | ||||||
ST Energy Transition I, Ltd., Expires 12/02/2026, Strike Price $11.50 | 42,980 | 13,539 | ||||||
Sustainable Development Acquisition I Corp., Expires 12/31/2028, Strike Price $11.50 | 28,327 | 8,555 | ||||||
SVF Investment Corp., Expires 12/31/2027, Strike Price $11.50 | 28,720 | 15,368 | ||||||
Swiftmerge Acquisition Corp., Expires 06/17/2028, Strike Price $11.50 | 132 | 35 | ||||||
Tailwind International Acquisition Corp., Expires 03/01/2028, Strike Price $11.50 | 17,317 | 3,117 | ||||||
Talon 1 Acquisition Corp., Expires 04/18/2023, Strike Price $11.50 | 71,933 | 15,106 | ||||||
Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50 | 18,073 | 4,880 | ||||||
TCW Special Purpose Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 31,655 | 8,439 | ||||||
Tech and Energy Transition Corp., Expires 12/31/2027, Strike Price $11.50 | 59,992 | 17,152 | ||||||
Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50 | 52,993 | 8,733 | ||||||
Thrive Acquisition Corp., Expires 03/09/2023, Strike Price $11.50 | 47,781 | 7,406 | ||||||
Tishman Speyer Innovation Corp, Expires 12/31/2027, Strike Price $11.50 | 4,082 | 1,671 | ||||||
TKB Critical Technologies 1, Expires 01/08/2023, Strike Price $11.50 | 48,884 | 10,754 | ||||||
TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50 | 68,311 | 13,669 | ||||||
Transition SA, Expires 06/16/2026, Strike Price $11.50 | 33,822 | 10,704 | ||||||
Tribe Capital Growth Corp. I, Expires 03/05/2026, Strike Price $11.50 | 27,683 | 14,379 | ||||||
Trine II Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 78,462 | 23,546 | ||||||
Tuatara Capital Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 24,279 | 9,347 | ||||||
TZP Strategies Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | 40,990 | 8,391 | ||||||
UTA Acquisition Corp., Expires 10/30/2026, Strike Price $11.50 | 44,060 | 29,961 | ||||||
Vahanna Tech Edge Acquisition I Corp., Expires 11/30/2028, Strike Price $11.50 | 55,430 | 17,300 | ||||||
Valor Latitude Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | 3,725 | 857 | ||||||
Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50 | 60,778 | 10,639 | ||||||
VAM Investments Spac BV, Expires 07/27/2026, Strike Price $11.50 | 12,639 | 4,533 | ||||||
VEW AG, Expires 02/28/2026, Strike Price $11.50 | 19,185 | 6,331 | ||||||
Viscogliosi Brothers Acquisition Corp., Expires 03/18/2027, Strike Price $11.50 | 20,851 | 3,755 | ||||||
Vision Sensing Acquisition Corp., Expires 03/24/2023, Strike Price $11.50 | 49,182 | 7,377 |
26 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
VMG Consumer Acquisition Corp., Expires 07/03/2023, Strike Price $11.50 | 60,937 | $ | 18,284 | |||||
Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50 | 29,980 | 4,197 | ||||||
Zimmer Energy Transition Acquisition Corp., Expires 05/14/2023, Strike Price $11.50 | 1,716 | 772 | ||||||
TOTAL WARRANTS | 2,435,579 | |||||||
(Cost $3,919,264) | ||||||||
RIGHTS - 0.04%(g) | ||||||||
Accretion Acquisition Corp., Expires 12/31/2049 | 37,215 | 5,954 | ||||||
AIB Acquisition Corp., Expires 12/31/2049 | 41,417 | 5,212 | ||||||
Alset Capital Acquisition Corp., Expires 12/31/2049 | 26,594 | 3,457 | ||||||
Arisz Acquisition Corp., Expires 05/01/2023 | 34,348 | 4,070 | ||||||
Aurora Technology Acquisition Corp., Expires 02/07/2028 | 63,578 | 9,537 | ||||||
Axios Sustainable Growth Acquisition Corp., Expires 12/31/2049 | 43,990 | 4,835 | ||||||
bleuacacia, Ltd., Expires 12/31/2049 | 201,609 | 27,399 | ||||||
Broad Capital Acquisition Corp., Expires 10/25/2022 | 53,360 | 9,071 | ||||||
Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027 | 76,977 | 13,856 | ||||||
Deep Medicine Acquisition Corp., Expires 12/09/2022 | 15,116 | 2,550 | ||||||
Financial Strategies Acquisition Corp., Expires 03/31/2028 | 9,858 | 1,429 | ||||||
Fintech Ecosystem Development Corp., Expires 12/31/2028 | 54,704 | 9,267 | ||||||
Globalink Investment, Inc., Expires 08/19/2023 | 4,837 | 906 | ||||||
Growth For Good Acquisition Corp., Expires 06/14/2023 | 75,556 | 9,890 | ||||||
Inception Growth Acquisition, Ltd., Expires 05/08/2023 | 7,394 | 1,331 | ||||||
Jaguar Global Growth Corp. I, Expires 12/31/2049 | 87,589 | 14,014 | ||||||
Jupiter Wellness Acquisition Corp., Expires 12/31/2049 | 18,463 | 3,503 | ||||||
Kairous Acquisition Corp. ltd, Expires 11/24/2023 | 13,555 | 2,253 | ||||||
Keyarch Acquisition Corp., Expires 07/25/2028 | 16,489 | 2,407 | ||||||
Mountain Crest Acquisition Corp. V, Expires 12/31/2049 | 8,917 | 1,706 | ||||||
NorthView Acquisition Corp., Expires 12/31/2049 | 38,482 | 6,636 | ||||||
QualTek Services, Inc., Expires 12/31/2049 | 73,592 | 15,454 | ||||||
Sagaliam Acquisition Corp., Expires 12/31/2049 | 84,310 | 14,729 | ||||||
Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049 | 29,572 | 5,702 | ||||||
TOTAL RIGHTS | 175,168 | |||||||
(Cost $234,566) | ||||||||
SHORT TERM INVESTMENTS - 0.30% | ||||||||
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield 0.24% | 659,025 | 659,025 | ||||||
BNY Mellon US Treasury Fund, 7 Day Yield 0.17% | 504,143 | 504,143 | ||||||
TOTAL SHORT TERM INVESTMENTS | 1,163,168 | |||||||
(Cost $1,163,168) |
Semi-Annual Report | April 30, 2022 | 27 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Shares | Fair Value | |||||||
Total Investments - 125.37% | $ | 494,628,752 | ||||||
(Cost $498,143,386) | ||||||||
Liabilities in Excess of Other Assets - (25.37)% | $ | (100,107,248 | ) | |||||
Net Assets - 100.00% | $ | 394,521,504 |
Amounts above are shown as a percentage of net assets as of April 30, 2022.
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933 (the "Securities Act"). Total market value of Rule 144A securities amounts to $10,922,250, which represented approximately 2.77% of net assets as of April 30, 2022. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
(b) | Security is in default as of period end and is therefore non-income producing. |
(c) | Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
(d) | Amount represents less than 0.005% of net assets. |
(e) | Represents a payment-in-kind (“PIK”) security which may pay interest/dividend in additional par/shares. |
(f) | Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of April 30, 2022, the aggregate market value of those securities was $5,536,350, which represents approximately 1.40% of net assets. |
(g) | Non-income producing security. |
(h) | A portion or all of the security is owned by BRW SPV I, a wholly-owned subsidiary of the Fund. See Note 2(L). |
All securities held as of April 30, 2022 are pledged as collateral for the Trust’s credit facility. See Note 7 of the Notes to Consolidated Financial
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
PIK - Payment in-kind
Reference Rates:
1M US L - 1 Month LIBOR as of April 30, 2022 was 0.80%
3M US L - 3 Month LIBOR as of April 30, 2022 was 1.33%
1D FEDEF - 1 Day FEDEF as of April 30, 2022 was 0.25%
28 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
CREDIT DEFAULT SWAP CONTRACTS - CENTRALLY CLEARED
Buy/Sell Protection(a) | Single Name/ Index | Reference Obligations | Annual Payment Rate Received (Paid) | Currency | Maturity Date | Notional Amount(b) | Value | Upfront Premiums Received/(Paid) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Buy | Single Name | RR Donnelley & Sons | (5.00)% | USD | 12/20/26 | 4,681,000 | $ | (437,130 | ) | $ | 615,275 | $ | 178,145 | |||||||||||||||
Sell | Index | Markit CDX North America High Yield Index, Series 37 | 5.00% | USD | 12/20/26 | 50,000,000 | 1,605,678 | (2,812,500 | ) | (1,206,822 | ) | |||||||||||||||||
$ | 1,168,548 | $ | (2,197,225 | ) | $ | (1,028,677 | ) |
(a) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(b) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
FORWARD FOREIGN CURRENCY CONTRACTS
Counterparty | Settlement Date | Fund Receiving | Value | Fund Delivering | Cost | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
JP Morgan Chase | 05/31/22 | EUR | 285,917 | USD | 284,378 | $ | 1,539 | |||||||||||||||
JP Morgan Chase | 05/31/22 | USD | 711,363 | GBP | 685,806 | $ | 25,557 | |||||||||||||||
$ | 27,096 |
Semi-Annual Report | April 30, 2022 | 29 |
Saba Capital Income & Opportunities Fund | Consolidated Schedule of Investments |
April 30, 2022 |
Financial instruments, at fair value(a) | Principal Amount / Quantity | Fair Value | ||||||
CONTINGENT FORWARD PURCHASE CONTRACTS | ||||||||
Corporate Bonds | ||||||||
Leisure Facilities & Services | ||||||||
Selina Hospitality PLC, 6.000%, 06/27/2022 | $ | 7,539,000 | $ | 6,031,200 | ||||
Total Corporate Bonds (Commitment $6,031,200) | 6,031,200 | |||||||
Warrants | ||||||||
Leisure Facilities & Services | ||||||||
Selina Hospitality PLC, Strike $11.50 | 218,500 | 2,185 | ||||||
Total Warrants (Commitment $-) | 2,185 | |||||||
Special Purpose Acquisition Company | ||||||||
Leisure Facilities & Services | ||||||||
BOA Acquisition Corp, Class B | 56,543 | 565 | ||||||
Total Special Purpose Acquisition Companies (Commitment $-) | 565 | |||||||
TOTAL CONTINGENT FORWARD PURCHASE CONTRACTS (Commitment $6,031,200) | 6,033,950 | |||||||
TOTAL FINANCIAL INSTRUMENTS, AT FAIR VALUE (Commitment $6,031,200) | $ | 6,033,950 |
(a) | Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
30
Saba Capital Income & Opportunities Fund | Consolidated Statement of Assets and Liabilities |
April 30, 2022 |
ASSETS: | ||||
Investments, at fair value (Cost $498,143,386 , respectively) | $ | 494,628,752 | ||
Cash | 863,166 | |||
Financial instruments, at fair value (Commitments $6,031,200, respectively) | 6,033,950 | |||
Receivables: | ||||
Investment securities sold | 11,716,298 | |||
Collateral posted to Secured Party under Tri-Party Arrangements for OTC derivatives | 770,000 | |||
Collateral posted to Clearing House for centrally cleared derivatives | 2,342,046 | |||
Interest | 847,423 | |||
Credit default swaps, at fair value (net upfront fees paid $2,197,225) | 1,168,548 | |||
Unrealized appreciation on forward foreign currency contracts | 27,096 | |||
Prepaid expenses | 19,127 | |||
Total Assets | 518,416,406 | |||
LIABILITIES: | ||||
Foreign currency (Cost $399,889) | 399,889 | |||
Payables: | ||||
Notes payable | 112,500,000 | |||
Payable for investment securities purchased | 9,794,500 | |||
Accrued interest payable | 96,657 | |||
Payable for investment management fees | 349,023 | |||
Payable for trustees fees | 7,374 | |||
Other accrued expenses | 747,459 | |||
Total Liabilities | 123,894,902 | |||
Net Assets | $ | 394,521,504 | ||
COMPOSITION OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES: | ||||
NET ASSETS WERE COMPRISED OF: | ||||
Paid-in capital | $ | 567,971,162 | ||
Total distributable loss | $ | (173,449,658 | ) | |
NET ASSETS | $ | 394,521,504 | ||
Net assets value per common share outstanding (net assets divided by 85,058,986 shares of beneficial interest authorized and outstanding, no par value) | $ | 4.64 |
Semi-Annual Report | April 30, 2022 | 31 |
Saba Capital Income & Opportunities Fund | Consolidated Statement of Operations |
For the Period Ended April 30, 2022 |
INVESTMENT INCOME: | ||||
Investment income | $ | 5,805,826 | ||
Dividend income | 1,754,175 | |||
Total Investment Income | 7,560,001 | |||
EXPENSES: | ||||
Investment management fees (Note 4) | 2,558,034 | |||
Interest expense | 466,128 | |||
Transfer agent fees | 98,676 | |||
Custody and accounting expense | 215,863 | |||
Professional fees | 160,487 | |||
Shareholder reporting expense | 74,617 | |||
Trustees fees | 88,753 | |||
Miscellaneous expenses | 553,714 | |||
Total Expenses | 4,216,272 | |||
Waived and reimbursed fees (Note 4) | (548,849 | ) | ||
Net expenses | 3,667,423 | |||
Net Investment Income | 3,892,578 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS): | ||||
Net realized gain/(loss) on: | ||||
Investments | (15,165 | ) | ||
Credit default swaps | 208,925 | |||
Forward foreign currency contracts | 611,869 | |||
Foreign currency transactions | (247,456 | ) | ||
Net realized gain: | 558,173 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (6,822,162 | ) | ||
Financial instruments | 2,750 | |||
Credit default swaps | (1,028,677 | ) | ||
Forward foreign currency contracts | 27,096 | |||
Foreign currency related transactions | 42,016 | |||
Net change in unrealized appreciation (depreciation): | (7,778,977 | ) | ||
Net realized and unrealized loss | (7,220,804 | ) | ||
Net Decrease in net assets resulting from operations | $ | (3,328,226 | ) |
32
Saba Capital Income & Opportunities Fund | Statements of Changes in Net Assets |
For the Period Ended April 30, 2022 (unaudited)(a) | For the Period Ended October 31, 2021(b) | For the Year Ended February 28, 2021 | ||||||||||
FROM OPERATIONS: | ||||||||||||
Net investment income | $ | 3,892,578 | $ | 5,700,334 | $ | 22,651,755 | ||||||
Net realized gain/(loss) | 558,173 | 3,579,796 | (98,682,859 | ) | ||||||||
Net change in unrealized appreciation/depreciation on Investment securities and unfunded commitments | (7,778,977 | ) | 12,904 | 48,601,471 | ||||||||
Net Increase/(Decrease) in net assets resulting from Operations | (3,328,226 | ) | 9,293,034 | (27,429,633 | ) | |||||||
FROM DISTRIBUTIONS TO COMMON SHAREHOLDERS: | ||||||||||||
Total distributions (excluding return of capital) | (4,876,142 | ) | (6,017,351 | ) | (25,024,961 | ) | ||||||
Return of Capital | (16,984,018 | ) | (10,729,227 | ) | (1,234,296 | ) | ||||||
Decrease in net assets from distributions to common shareholders | (21,860,160 | ) | (16,746,578 | ) | (26,259,257 | ) | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||
Cost of shares repurchased (Note 8) | – | (1,536,542 | ) | (18,727,020 | ) | |||||||
Cost of shares repurchased in tender offer (Note 8) | – | (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 | (25,188,386 | ) | (185,825,394 | ) | (177,277,953 | ) | ||||||
NET ASSETS: | ||||||||||||
Beginning of period | 419,709,890 | 605,535,284 | 782,813,237 | |||||||||
End of period | $ | 394,521,504 | $ | 419,709,890 | $ | 605,535,284 |
(a) | Consolidated financials. |
(b) | With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. |
Semi-Annual Report | April 30, 2022 | 33 |
Saba Capital Income & Opportunities Fund | Consolidated Statements of Cash Flows |
For the Period Ended April 30, 2022 |
INCREASE (DECREASE) IN CASH | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net decrease in net assets from operations: | $ | (3,328,226 | ) | |
Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities: | – | |||
Purchases of securities | (429,292,414 | ) | ||
Proceeds from disposition of investment securities | 389,282,968 | |||
Proceeds from short term investment securities | 11,861,385 | |||
Amortization of premium and accretion of discount on investments | (3,410,624 | ) | ||
Net realized (gain)/loss on: | ||||
Investment securities | 15,165 | |||
Forward foreign currency contracts | (611,869 | ) | ||
Net change in unrealized (appreciation)/depreciation on: | ||||
Investment securities | 6,822,162 | |||
Financial instruments | (2,750 | ) | ||
Credit default swap contracts | 1,028,677 | |||
Forward foreign currency contracts | (27,096 | ) | ||
(Increase)/Decrease in assets: | ||||
Interest receivable | (193,972 | ) | ||
Financial instruments, at fair value | (6,033,950 | ) | ||
Collateral posted to Clearing House for centrally cleared derivatives | (2,342,046 | ) | ||
Collateral posted to Secured Party under Tri-Party Arrangements for OTC derivatives | (770,000 | ) | ||
Credit default swaps, at fair value | (1,168,548 | ) | ||
Unrealized appreciation on forward foreign currency contracts | 27,096 | |||
Prepaid expenses | 229,909 | |||
Other assets | 1,657 | |||
Increase/(Decrease) in liabilities: | ||||
Accrued interest payable | 35,587 | |||
Bank overdraft | (2,335,961 | ) | ||
Accrued investment advisory fees payable | (39,347 | ) | ||
Accrued trustees' fees and deferred compensation payable | (56,794 | ) | ||
Other payables and accrued expense | 132,428 | |||
Net cash used in operating activities: | (40,176,563 | ) | ||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||
Cash provided by loan: | 62,500,000 | |||
Cash distributions paid: | (21,860,160 | ) | ||
Net cash flows provided by financing activities: | 40,639,840 | |||
Effects of Exchange Rates on Cash: | – | |||
Net Change in Cash & Foreign Rates On Cash & Foreign Currency: | 463,277 | |||
Cash & foreign currency, beginning of period: | – | |||
Cash & foreign currency, end of period: | 463,277 | |||
Cash paid for interest on loan during the period was: | 430,541 |
34
Saba Capital Income & Opportunities Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Presented |
For the Period Ended April 30, 2022(a) (Unaudited) | For the Period Ended October 31, 2021(b) | 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 | $ | 4.93 | $ | 4.97 | $ | 5.30 | $ | 5.54 | $ | 5.69 | $ | 5.80 | $ | 5.36 | ||||||||||||||
INCOME/(LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(c) | 0.05 | 0.05 | 0.16 | 0.30 | 0.29 | 0.30 | 0.31 | |||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments and unfunded loan commitments(c) | (0.08 | ) | 0.08 | (0.32 | ) | (0.23 | ) | (0.14 | ) | (0.12 | ) | 0.45 | ||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.03 | ) | 0.13 | (0.16 | ) | 0.07 | 0.15 | 0.18 | 0.76 | |||||||||||||||||||
DISTRIBUTIONS TO COMMON SHAREHOLDERS: | ||||||||||||||||||||||||||||
From net investment income(c) | (0.06 | ) | (0.06 | ) | (0.17 | ) | (0.31 | ) | (0.30 | ) | (0.25 | ) | (0.32 | ) | ||||||||||||||
From tax return of capital(c) | (0.20 | ) | (0.11 | ) | (0.01 | ) | – | – | (0.04 | ) | – | |||||||||||||||||
Total Distributions to Common Shareholders | (0.26 | ) | (0.17 | ) | (0.18 | ) | (0.31 | ) | (0.30 | ) | (0.29 | ) | (0.32 | ) | ||||||||||||||
Accretion to net asset value resulting from share repurchases and tender offer(c)(d) | – | – | 0.01 | – | – | – | – | |||||||||||||||||||||
Total Capital Share Transactions | – | – | 0.01 | – | – | – | – | |||||||||||||||||||||
Net asset value per common share - end of period | $ | 4.64 | $ | 4.93 | $ | 4.97 | $ | 5.30 | $ | 5.54 | $ | 5.69 | $ | 5.80 | ||||||||||||||
Market price per common share - end of period | $ | 4.30 | $ | 4.67 | $ | 4.63 | $ | 4.91 | $ | 4.82 | $ | 5.17 | $ | 5.59 | ||||||||||||||
Total Investment Return - Net Asset Value(e) | (0.38 | %) | 2.84 | % | (2.14 | %) | 1.88 | % | 3.37 | % | 3.62 | % | 14.93 | % | ||||||||||||||
Total Investment Return - Market Price(e) | (2.54 | %) | 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) | $ | 394,522 | $ | 419,710 | $ | 605,535 | $ | 782,813 | $ | 818,100 | $ | 840,774 | $ | 857,138 | ||||||||||||||
Ratio of expenses including waivers to average net assets | 1.82 | %(f) | 1.43 | %(f) | 2.26 | % | 2.85 | % | 2.90 | % | 2.54 | % | 2.24 | % | ||||||||||||||
Ratio of expenses excluding waivers to average net assets(g) | 2.09 | %(f) | 1.60 | %(f) | 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 | 1.59 | %(f) | 1.38 | %(f) | 2.13 | % | 1.62 | % | 1.64 | % | 1.64 | % | 1.62 | % | ||||||||||||||
Ratio of net investment income including waivers to average net assets | 1.93 | %(f) | 1.62 | %(f) | 3.37 | % | 5.29 | % | 5.16 | % | 4.58 | % | 5.44 | % | ||||||||||||||
Ratios to average net assets plus borrowings | ||||||||||||||||||||||||||||
Ratio of expenses including waivers to average net assets | 1.50 | %(f) | 1.37 | %(f) | 1.72 | % | 2.05 | % | 2.07 | % | 1.80 | % | 1.60 | % |
Semi-Annual Report | April 30, 2022 | 35 |
Saba Capital Income & Opportunities Fund | Financial Highlights |
For a Share Outstanding Throughout the Periods Presented |
For the Period Ended April 30, 2022(a) (Unaudited) | For the Period Ended October 31, 2021(b) | 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 expenses excluding waivers to average net assets | 1.73 | %(f) | 1.54 | %(f) | 2.04 | % | 2.06 | % | 2.08 | % | 1.81 | % | 1.60 | % | ||||||||||||||
Ratio of expenses excluding interest expense and other fees related to revolving credit facility to average net assets | 1.31 | %(f) | 1.32 | %(f) | 1.30 | % | 1.16 | % | 1.16 | % | 1.16 | % | 1.16 | % | ||||||||||||||
Ratio of net investment income including waivers to average net assets | 1.60 | %(f) | 1.56 | %(f) | 2.56 | % | 3.81 | % | 3.68 | % | 3.25 | % | 3.88 | % | ||||||||||||||
Portfolio turnover rate | 73 | % | 94 | % | 56 | % | 53 | % | 60 | % | 89 | % | 67 | % | ||||||||||||||
SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||
Total shares outstanding (000s) | 85,059 | 85,059 | 121,841 | 147,788 | 147,788 | 147,788 | 147,788 | |||||||||||||||||||||
Asset coverage, end of period per $1,000(h) | $ | 4,507 | $ | 9,394 | $ | 27,794 | $ | 3,478 | $ | 3,534 | $ | 3,610 | $ | 3,589 | ||||||||||||||
Aggregate principal amount, end of period (000s) | $ | 112,500 | $ | 50,000 | $ | 22,600 | $ | 315,900 | $ | 322,800 | $ | 322,100 | $ | 331,100 | ||||||||||||||
Average borrowings outstanding during the period (000s) | $ | 84,505 | $ | 20,559 | $ | 211,066 | $ | 312,939 | $ | 332,698 | $ | 343,074 | $ | 337,209 |
(a) | Consolidated financials. |
(b) | With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. |
(c) | Calculated using average common shares outstanding. |
(d) | Please see Note 8 in the accompanying Notes to Financial Statements for additional information. |
(e) | 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. |
(f) | Annualized. |
(g) | 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. |
(h) | 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. |
36
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
NOTE 1 — ORGANIZATION
Saba Capital Income & Opportunities Fund (the “Fund”), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as a closed-end, management investment company. The common shares of the Fund are listed on the New York Stock Exchange (the “NYSE”) under the symbol “BRW”. The Fund seeks to provide investors with a high level of current income, with a secondary goal of capital appreciation. The Fund will opportunistically invest in products, such as, high yield credit, 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.
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 sell shares of the Fund.
A. Financial Instrument Valuation. Assets for which market quotations are readily available are valued at fair market value. Securities (including Common Stock, Special Purpose Acquisition Companies, Closed End Funds, Unit Trusts, and Preferred Stock) listed or traded on an exchange are valued at their last sales price or official closing price as of the close of the regular trading session on the exchange where the particular security at the last sale price as of the Market Close for such security provided by the CTA. Investments in Money Market Funds are valued at NAV, which approximates fair market value. Corporate Bonds, Sovereign Debt Obligations and Bank Loans are valued at mid-level prices provided by independent pricing services. Exchange traded derivatives such as listed options, warrants, and rights are valued at last sales price on the valuation date or, if such price is not available, the mean between the last bid and ask prices from the exchange on which they are principally traded. Non-exchange traded derivatives (such as credit default swaps) are valued by independent pricing services, which use various techniques including industry standard pricing models, to determine the fair value of those instruments. Financial instruments (including contingent forward purchase contracts) are valued by third-party valuation specialists or at cost, which approximates fair market value.
B. Fair Value Measurement. Investments held by the Fund are recorded at fair value in accordance with ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. 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), 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.
Semi-Annual Report | April 30, 2022 | 37 |
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
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.
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 April 30, 2022. Refer to the portfolio of investments for additional details.
Investments in Securities at fair value | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
Corporate Bonds | $ | – | $ | 18,428,534 | $ | – | $ | 18,428,534 | ||||||||
Senior Loans | – | 14,191,770 | – | 14,191,770 | ||||||||||||
Common Stock | 8,681,514 | 2,929,993 | 1,654,694 | 13,266,201 | ||||||||||||
Closed End Funds | 37,590,543 | – | – | 37,590,543 | ||||||||||||
Special Purpose Acquisition Companies | 400,054,845 | 5,783 | 829,996 | 400,890,624 | ||||||||||||
Exchange Traded Fund | 4,704 | – | – | 4,704 | ||||||||||||
Preferred Stock | – | 407,959 | – | 407,959 | ||||||||||||
Government Bond | – | 5,536,350 | – | 5,536,350 | ||||||||||||
Unit Trust | 538,152 | – | – | 538,152 | ||||||||||||
Warrants | 1,970,259 | 168,901 | 296,419 | 2,435,579 | ||||||||||||
Rights | 175,168 | – | – | 175,168 | ||||||||||||
Short Term Investments | 1,163,168 | – | – | 1,163,168 | ||||||||||||
Total | $ | 450,178,353 | $ | 41,669,290 | $ | 2,781,109 | $ | 494,628,752 |
Financial Instruments, at fair value | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
Contingent Forward Purchase Contracts | $ | – | $ | – | $ | 6,033,950 | $ | 6,033,950 | ||||||||
Total | $ | – | $ | – | $ | 6,033,950 | $ | 6,033,950 |
38
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
Derivative contracts, at fair value(a) | Level 1 - Quoted Prices | Level 2 - Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
Assets | ||||||||||||||||
Credit Default Swaps | $ | – | $ | 1,168,548 | $ | – | $ | 1,168,548 | ||||||||
Forward foreign currency contracts | – | 27,096 | – | 27,096 | ||||||||||||
Total | $ | – | $ | 1,195,644 | $ | – | $ | 1,195,644 |
(a) | Derivative assets and liabilities include the effect of counterparty netting and are shown on a net basis above. |
The following is a reconciliation of the fair value of investments for which the Fund has used Level 3 unobservable inputs in determining fair value as of April 30, 2022:
Common Stocks | Special Purpose Acquisition Companies | Warrants | Contingent Forward Purchase Agreements | Total | ||||||||||||||||
Balance as of October 31, 2021 | $ | – | $ | 986,159 | $ | – | $ | – | $ | 986,159 | ||||||||||
Accrued discount/ premium | – | – | – | – | – | |||||||||||||||
Realized Gain/(Loss) | – | – | – | – | – | |||||||||||||||
Change in Unrealized | ||||||||||||||||||||
Appreciation/(Depreciation) | (33,769 | ) | (156,163 | ) | 155,714 | 2,750 | (31,468 | ) | ||||||||||||
Purchases /commitments | 1,688,463 | – | 140,705 | 6,031,200 | 7,860,368 | |||||||||||||||
Sales Proceeds | – | – | – | – | – | |||||||||||||||
Transfer into Level 3 | – | – | – | – | – | |||||||||||||||
Transfer out of Level 3 | – | – | – | – | – | |||||||||||||||
Balance as of April 30, 2022 | $ | 1,654,694 | $ | 829,996 | $ | 296,419 | $ | 6,033,950 | $ | 8,815,059 | ||||||||||
Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at April 30, 2022 | $ | (33,769 | ) | $ | (156,163 | ) | $ | 155,714 | $ | 2,750 | $ | (31,468 | ) |
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.
Semi-Annual Report | April 30, 2022 | 39 |
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
E. Derivatives. To limit the credit risk associated with transactions in the OTC market, the Fund conducts business only with recognized financial institutions, the financial condition of which is monitored by the Investment Manager.
In compliance with the Investment Company Act of 1940 the Fund has entered into third party custodial arrangements with all OTC counterparties (“Tri-Party Arrangement”) whereby initial and variation margin is held in segregated accounts at the U.S. custodial banks (“Secured Parties”). Such amounts may only be accessed by the counterparties after certain Fund defaults (including bankruptcy) or following any applicable remedies under the Fund’s International Swaps and Derivative Association (“ISDA”) Master Agreements.
With cleared swaps, the central counterparty clearing houses (“CCPs” or “clearinghouses”), as counterparty to such instruments, guarantees against a possible default. The clearinghouses stand between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouses. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouses in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
In addition, the Fund's OTC derivative contracts subject to ISDA Master Agreements which contain provisions that may require the Fund to comply with certain covenants (including minimum NAV and performance based thresholds) and other provisions (occurrence of a credit event) that may call for early termination and settlement of the derivative at its then fair value. At April 30, 2022, there are no derivative instruments subject to those covenants and provisions that are in a net liability position. During the period ended April 30, 2022, the Fund did not trigger covenants related to minimum NAV and performance based thresholds.
Forward Foreign Currency Contracts: The Fund has entered into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a currency forward foreign contract, the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Consolidated Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Consolidated Statement of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented within the respective Consolidated Schedule of Investments.
For the period ended April 30, 2022, the Fund had an average quarterly contract amount on forward foreign currency contracts to buy and sell of $0 and $5,750,000 respectively.
Credit Default Swaps: The Fund may enter into various swap agreements including, but not limited to credit default swaps, as a part of its investment strategy. Generally, a swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based on or calculated by reference to changes in specified prices or rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference paid by one party to the other.
The fair value of open swaps reported in the Consolidated Statement of Assets and Liabilities may differ from that which would be realized if the Fund terminated its position in the contract. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the aggregate fair value of swap contracts in an unrealized gain position and collateral posted with the counterparty. The risk is mitigated by having a master netting arrangement between the Fund and the counterparty and by the counterparty posting collateral to the Fund to cover the Fund’s exposure to the counterparty. The Fund considers the creditworthiness of each counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in the fair value of the underlying investments.
Swap agreements may also be centrally cleared through a clearing house (“cleared swaps”), where immediately following execution of the swap contract, the swap contract is novated to the CCP and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through the broker. Upon entering into a cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Pursuant to the contract, the Fund agrees to receive from or pay to the broker. Cleared swaps mitigate the Fund’s exposure to counterparty risk since the CCP, as the counterparty to all cleared swaps, guarantees the swap contracts against default. During the period ending April 30, 2022, all credit default swap transactions were centrally cleared.
40
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
Credit Default Swaps (“CDS”) contracts involve an arrangement between the Fund and a counterparty which allows the Fund to protect against losses (when the Fund purchases a CDS) incurred as a result of default by a specified reference entity. Generally, the Fund pays or receives a premium upfront and continues to pay periodic interest payments while the counterparty agrees to make a payment to compensate the Fund for losses upon the occurrence of a specified credit event. Alternatively, when the Fund sells a CDS, it receives premium payments in exchange for assuming the credit risk of the specified reference entity. Generally, the counterparty pays or receives a premium upfront and continues to pay periodic interest payments while the Fund agrees to make a payment to compensate the counterparty for losses upon the occurrence of a specified credit event. Although contract-specific, credit events generally include bankruptcy, failure to pay, and restructuring. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss in the Consolidated Statement of Operations. When the contract is terminated prior to the occurrence of a credit event, the Fund records a realized gain or loss equal to the difference between the close-out price of the CDS contract and the original contract price. Upfront fees are recorded as components of the costs or proceeds to the CDS contract and amortized over the life of the contract on a straight line basis. During the period ended April 30, 2022, the Fund had been both a purchaser and a seller of CDS contracts. For the period ended April 30, 2022, the average quarter-end notional amount of credit default swaps - protection purchased and protection sold was $1,560,333 and $16,666,666, respectively.
Risk Exposure | Consolidated Statement of Assets and Liabilities Location | Asset Derivatives Net Unrealized Appreciation | Liabilities Derivatives Net Unrealized Depreciation | |||||||
Credit Risk: (Credit Default Swap Contracts) | Unrealized appreciation/(depreciation) on credit default swap contracts | $ | 1,168,548 | $ | – | |||||
Foreign Exchange Risk: (Foreign Currency Contracts) | Unrealized appreciation/(depreciation) on foreign currency contracts | 27,096 | – | |||||||
Total | $ | 1,195,644 | $ | – |
Risk Exposure | Consolidated Statement of Operations Location | Net Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||
Credit Risk: (Credit Default Swap Contracts) | Net realized gain/(loss) on credit default swap contracts/Net change in unrealized appreciation/(depreciation) on credit default swap contracts | $ | 208,925 | $ | (1,028,677 | ) | ||||
Foreign Exchange Risk: (Foreign Currency Contracts) | Net realized gain/(loss) on foreign currency contracts contracts/Net change in unrealized appreciation/(depreciation) on foreign currency contracts | 611,869 | 27,096 | |||||||
Total | $ | 820,794 | $ | (1,001,581 | ) |
F. Financial Instruments. Financial instruments, at fair value include contingent forward purchase contracts. Such financial instruments represent future commitments to purchase certain securities to be issued, generally by SPACs or their target companies, at specified terms subject to certain contingencies. These contingencies allow the Fund and/or counterparties not to settle such contracts if those contingencies do not occur. Contingent forward purchase contracts may be illiquid and are reflected on the consolidated statement of assets and liabilities at fair value. The net change in unrealized gains and losses on contingent forward purchase contracts is reflected in net change in unrealized gain/(loss) on financial instruments on the consolidated statement of operations.
G. Federal Income Taxes. It is the policy of the Fund to comply with the requirements of subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized capital gains to its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Fund’s tax positions taken on federal income tax returns for all open tax periods in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized.
Semi-Annual Report | April 30, 2022 | 41 |
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
The Fund may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
H. Distributions to Common Shareholders. The Fund will make monthly distributions to shareholders at an initial annual minimum fixed rate of 12.00% (8.00% for distributions declared prior to January 2022), based on the average monthly net asset value of the Fund’s common shares. The Fund will calculate the average net asset value from the previous month based on the number of Business Days in that month on which the net asset value is calculated. The distribution will be calculated as 12.00% of the previous month’s average net asset value, divided by twelve. The Fund will generally distribute amounts necessary to satisfy the Fund’s plan and the requirements prescribed by excise tax rules and Subchapter M of the Internal Revenue Code. The plan is intended to provide shareholders with a constant, but not guaranteed, fixed minimum rate of distribution each month and is intended to narrow the discount between the market price and the net asset value of the Fund’s common shares, but there is no assurance that the plan will be successful in doing so.
Under the managed distribution plan, to the extent that sufficient investment income is not available on a monthly basis, the Fund will distribute capital gains and/or return of capital in order to maintain its managed distribution rate. No conclusions should be drawn about the Fund’s investment performance from the amount of the Fund’s distributions or from the terms of the Fund’s managed distribution plan. The Board may amend the terms of the plan or terminate the plan at any time. The amendment or termination of the plan could have an adverse effect on the market price of the Fund’s common shares. The plan will be subject to the periodic review by the Board, including a yearly review of the annual minimum fixed rate to determine if an adjustment should be made.
I. Dividend Reinvestments. 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%.
J. Share Offerings. The Fund issues shares under various shelf registration statements, whereby the net proceeds received by the Fund from share sales may not be less than the greater of (i) the NAV per share or (ii) 94% of the average daily market price over the relevant pricing period.
K. Indemnifications. In the normal course of business, the Fund may enter into contracts that provide certain indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
L. Basis of Consolidation. The Fund invests in certain investments through its investment in BRW SPV I. The BRW SPV I is a Cayman Islands Exempted Company with Limited Liability and is a wholly-owned subsidiary of the Fund. The accompanying consolidated financial statements include all assets, liabilities, and results of operations of the Fund and its wholly owned subsidiary. All material intercompany accounts and transactions have been eliminated upon consolidation. For tax purposes, the Fund is required to increase its net taxable income by its share of the BRW SPV I’s income. Net taxable losses incurred by the BRW SPV I cannot offset income earned by the Fund and cannot be carried back or forward by the BRW SPV I to offset income from prior or future years.
NOTE 3 — INVESTMENTS
For the period ended April 30, 2022, the cost of purchases and the proceeds from principal repayment and sales of investments, excluding short-term notes, totaled $428,226,899 and 328,687,273, respectively. The fair value of these assets is established as set forth in Note 2.
At April 30, 2022, the Fund held senior loans valued at $14,191,770 representing 3.60% of its total net assets. The senior loans acquired by the Fund typically take the form of a direct lending relationship with the borrower, and are typically acquired through an assignment of another lender’s interest in a loan. The lead lender in a typical corporate loan syndicate administers the loan and monitors the collateral securing the loan. In the event that the lead lender becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain costs and delays in realizing payment, or may suffer a loss of principal and/or interest.
At April 30, 2022, the Fund held corporate bonds and sovereign debt obligations valued at $18,428,534 and $5,536,350, respectively, which represent 4.67% and 1.40% 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.
42
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
Certain common and preferred stock, and stock purchase warrants held in the portfolio were acquired in conjunction with loans held by the Fund. Certain stocks and warrants are restricted and may not be publicly sold without registration under the 1933 Act, or without an exemption under the 1933 Act. In some cases, these restrictions expire after a designated period of time after issuance of the shares or warrants.
At April 30, 2022, the Fund held SPACs valued at $400,890,624 representing 101.61% of its total net assets. A SPAC is a publicly traded company formed for the purpose of raising capital through an initial public offering to fund the acquisition, through a merger, capital stock exchange, asset acquisition or other similar business combination, of one or more operating businesses that are typically not publicly-listed. Following the acquisition of a target company, a SPAC's management team may exercise control over the management of the combined company in an effort to increase its value. Often now, though, management of the target company will continue to manage the now publicly-traded business subsequent to completion of its business combination with the SPAC. Capital raised through the initial public offering of securities of a SPAC is typically placed into a trust account until acquired business combination is completed or a predetermined period of time (typically 24 months) elapses. Shareholders in a SPAC would receive a return on their investment in the event that a target company is acquired and the combined publicly-traded company's shares trade above the SPAC's initial public offering ("IPO") price, or alternatively, the market price at which an investor acquired a SPAC's shares subsequent to its IPO. In the event that a SPAC is unable to locate and acquire a target business by the timeframe established at the time of its IPO, the SPAC would be forced to liquidate its assets, which may result in losses due to the expenses and liabilities of the SPAC, to the extent third-parties are permitted to bring claims against IPO proceeds held in the SPAC's trust account.
At April 30, 2022, the Fund held Closed End Mutual Funds valued at $37,590,543 representing 9.53% of its total net assets. A closed-end fund (“CEF”) or closed-ended fund is a collective investment issuing a fixed number of shares which are not redeemable from the fund. Shares can be purchased and sold in the market and are subject to market fluctuations.
At April 30, 2022, the Fund held warrants valued at $2,435,579 representing 0.62% of its net assets. The Fund may purchase warrants issued by domestic and foreign companies to purchase newly created equity securities consisting of common and preferred stock. Warrants are securities that give the holder the right, but not the obligation, to purchase equity issues of the company issuing the warrants, or a related company, at a fixed price either on a certain date or during a set period. The equity security underlying a warrant is authorized at the time the warrant is issued or is issued together with the warrant. Investing in warrants can provide a greater potential for profit or loss than an equivalent investment in the underlying security and, thus, can be a speculative investment. At the time of issue, the cost of a warrant is substantially less than the cost of the underlying security itself, and price movements in the underlying security are generally magnified in the price movements of the warrant. The leveraging effect enables the investor to gain exposure to the underlying security with a relatively low capital investment. This leveraging increases an investor’s risk, as a complete loss of the amount invested in the warrant may result in the event of a decline in the value of the underlying security. In addition, the price of a warrant tends to be more volatile than, and may not correlate exactly to, the price of the underlying security. If the market price of the underlying security is below the exercise price of the warrant on its expiration date, the warrant will generally expire without value. The value of a warrant may decline because of a decline in the value of the underlying security, the passage of time, changes in interest rates or in the dividend or other policies of the company whose equity underlies the warrant, a change in the perception as to the future price of the underlying security, or any combination thereof. Warrants generally pay no dividends and confer no voting or other rights other than to purchase the underlying security.
NOTE 4 — INVESTMENT MANAGEMENT FEES
The Fund has entered into an investment management agreement (“Management Agreement”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Fund. The Investment Adviser oversees all investment advisory and portfolio management services for the Fund and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Fund, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. This Management Agreement compensates the Investment Adviser with a fee, computed daily and payable monthly, at an annual rate of 1.05% of the Fund’s managed assets. For purposes of the Management Agreement, managed assets (“Managed Assets”) are defined as the Fund’s average daily gross asset value, minus the sum of the Fund’s accrued and unpaid dividends on any outstanding Preferred Shares and accrued liabilities (other than liabilities for the principal amount of any borrowings incurred, commercial paper or notes issued by the Fund and the liquidation preference of any outstanding Preferred Shares).
NOTE 5 — EXPENSE LIMITATION AGREEMENT
The Investment Adviser has agreed to limit expenses, excluding interest, taxes, investor relations services, other investment-related costs, leverage expenses, extraordinary expenses, other expenses not incurred in the ordinary course of such Fund’s business, and expenses of any counsel or other persons or services retained by such Fund’s trustees who are not interested persons, to 1.05% of Managed Assets plus 0.15% of average daily net assets.
Semi-Annual Report | April 30, 2022 | 43 |
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
The Investment Adviser may at a later date recoup from the Fund for fees waived and/or other expenses reimbursed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, the Fund’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Consolidated Statement of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Consolidated Statement of Assets and Liabilities.
Fees and expenses waived by the previous advisor (Voya Investments, LLC) prior to June 4, 2021 are no longer recoupable. As of April 30, 2022, 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, | October 31, | October 31, | October 31, | |||||||||||||||
2022 | 2023 | 2024 | 2025 | Total | ||||||||||||||
$ | – | $ | – | $ | 258,145 | $ | 548,849 | $ | 806,994 |
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 April 30, 2022, entities advised by Saba Capital Management owned approximately 11.62% of the Fund.
NOTE 7 — GUARANTEES AND COMMITMENTS
Effective July 20, 2021, the Fund has entered into a revolving credit agreement, collateralized by assets of the Fund, to borrow up to $200,000,000 maturing July 19, 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 April 30, 2022, was $112,500,000. The weighted average interest rate on outstanding borrowings at April 30, 2022 was 1.2%, excluding fees related to the unused portion of the facilities, and other fees. The amount of borrowings represented 21.70% of total assets at April 30, 2022. Average borrowings for the period ended April 30, 2022 were $84,505,000 and the average annualized interest rate was 1% excluding other fees related to the unused portion of the facility, and other fees.
As of April 30, 2022, the Fund had entered into certain contingent forward purchase contracts with certain issuers to purchase such securities of the issuer at an aggregate amount of $6,031,200, contingent upon the closing of an initial business combination. The commitment amount is included within the payable for investment securities purchased. The aggregate fair value of such contingent forward purchase contracts is $6,033,950 and is included in financial instruments on the Consolidated Statement of Assets and Liabilities.
In the normal course of trading activities, the Fund trades and holds certain derivatives which constitute guarantees under ASC 460-10, “Guarantees”. Such contracts include credit default swaps (index and single name) where the Fund is a provider of credit protection on an underlying instrument The maximum payouts for such credit default swaps (index and single name) is limited to the notional amounts of each contract and would be offset by recovery amounts on the underlying reference obligations or if Fund holds offsetting contracts for the same underlying reference obligations.
NOTE 8 — CAPITAL SHARES
As of April 30, 2022 there were 85,058,986 shares issued and outstanding. Transactions in capital shares and dollars were as follows:
Year or | Shares repurchased | Shares repurchased in tender offer | Net increase (decrease) in shares outstanding | Shares repurchased | Shares repurchased in tender offer | Net increase | ||||||||||||||||||
period ended | # | # | # | ($) | ($) | ($) | ||||||||||||||||||
4/30/2022 | – | – | – | – | – | – | ||||||||||||||||||
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 | ) |
44
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
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 April 30, 2022, the Fund did not repurchase any shares.
NOTE 9 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of foreign currency transactions, capital loss carryforwards, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
Dividends paid by the Fund from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.
The tax character of the distributions paid during the tax periods ended October 31, 2021 and February 28, 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 |
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 | ) |
Semi-Annual Report | April 30, 2022 | 45 |
Saba Capital Income & Opportunities Fund | Notes to Consolidated Financial Statements |
April 30, 2022
At April 30, 2022, 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 | $ | 502,727,793 | ||
Gross appreciation (excess of value over tax cost) | $ | 11,492,191 | ||
Gross depreciation (excess of tax cost over value) | (18,680,087 | ) | ||
Net unrealized appreciation | $ | (7,187,896 | ) |
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 April 30, 2022, 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 10 — 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 11 — SUBSEQUENT EVENTS
Subsequent to April 30, 2022, the Fund completed a reverse stock split (the "Reverse Split") of the Fund's common shares at a ratio of 1-for-2. The Reverse Split's effective date, May 20, 2022, was the first date when the Fund's common shares began trading on a split-adjusted basis. The Reverse Split reduced the number of the Fund's authorized common shares from 85,058,986 shares to 42,529,493 shares.
The Fund paid the following dividends:
Per Share Amount* | Declaration Date | Record Date | Payable Date |
$0.094 | 04/29/2022 | 05/24/2022 | 05/31/2022 |
$0.092 | 05/31/2022 | 06/08/2022 | 06/30/2022 |
* | Please note amounts shown above for dividends with a payable date prior to 5/20/2022 have been adjusted to reflect the 2 to 1 reverse stock split which occurred on 5/20/2022. |
46
Saba Capital Income & Opportunities Fund | Additional Information |
April 30, 2022
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.
Semi-Annual Report | April 30, 2022 | 47 |
Saba Capital Income & Opportunities Fund | Privacy Policy |
April 30, 2022
Introduction
Your privacy is very important to us. This notice (this "Privacy Notice") is provided by Saba Capital Management, L.P. (the "Investment Manager") and any of the investment funds and accounts managed by the Investment Manager (collectively, the "Clients", and together with the Investment Manager, "we" or "us"), and sets forth the policies of the Investment Manager and the Clients for the collection, use, storage, sharing, disclosure (collectively, "processing") and protection of personal data relating to current, prospective and former investors in or holders of one or more Clients. Capitalized terms used herein but not defined herein shall have the meanings assigned to them in the applicable offering memorandum or the advisory agreement of the applicable Client as such may be supplemented, updated or modified from time to time (each, a "Client Document").
References to "you" or an "investor" in this Privacy Notice mean any investor who is an individual, or any individual connected with an investor who is a legal person, as applicable.
Who to Contact About This Privacy Notice
This Privacy Notice is being provided in accordance with the applicable requirements under the privacy and data protection laws that apply in the jurisdictions where we operate (collectively, the "Data Protection Laws"). The Clients and the Investment Manager are considered to be data controllers in respect of any personal information we hold about you for the purposes of certain Data Protection Laws. This means that each of the Clients and the Investment Manager (alone or jointly, as applicable) determines the purposes and the means of the processing of your personal information.
Please contact us at (844) 460-9411 for any questions about this Privacy Notice or requests with regards to the personal data we hold.
Please note that the administrator, the prime broker(s) and the custodian(s) work under a range of professional and legal obligations that require them to process personal data (e.g., anti-money laundering legislation). In order to meet the requirements of such obligations, they, from time to time, would not be acting on our instructions but instead in accordance with their own respective professional or legal obligations and therefore as data controllers in their own right with respect to such processing. For more specific information or requests in relation to the processing of personal data by the administrator, the prime broker(s), the custodian(s) or any other service provider of the applicable Client, you may also contact the relevant service provider directly at the address specified in the relevant Client Document or by visiting their websites.
The Types of Personal Data We May Collect and Use
The categories of personal data we may collect include names, residential or business addresses, or other contact details, signature, nationality, tax identification or passport number, date of birth, place of birth, photographs, copies of identification documents, bank account details, information about assets or net worth, credit history, information on investment activities, or other personal information, such as certain special categories of personal data (including, where relevant, information on political affiliations, ethnic origin, or criminal convictions), as specified under the applicable Data Protection Laws, that may be contained in the relevant materials, documents, or obtained through background searches.
How We Collect Personal Data
We may collect personal data about you through: (i) information provided directly to us by you, or another person on your behalf; or (ii) information that we obtain in relation to any transactions between you and us.
We also may receive your personal information from third parties or other sources, such as our affiliates, the Administrator, publicly accessible databases or registers, tax authorities, governmental agencies and supervisory authorities, credit agencies, fraud prevention and detection agencies, or other publicly accessible sources, such as the Internet.
How We May Use Personal Information
We may process your personal data for the purposes of administering the relationship between you and us (including subscription acceptance, communications and reporting), marketing of our products and services, monitoring and analysing our activities, and complying with applicable legal or regulatory requirements (including anti-money laundering, fraud prevention, tax reporting, sanctions compliance, or responding to requests for information from supervisory authorities, or law enforcement agencies).
48
Saba Capital Income & Opportunities Fund | Privacy Policy |
April 30, 2022
We will use one of the permitted grounds under the applicable Data Protection Laws to process your personal information. Such grounds include, for example, circumstances where:
i. | processing is necessary to perform our obligations under the applicable Client Documents; |
ii. | we are required to comply with a legal or regulatory obligation applicable to us; or |
iii. | we, or a third party on our behalf, have determined that it is necessary for our legitimate interests to collect and use your personal information, such as if we believe that you have a reasonable expectation for us or a third party to collect or use your personal information for such purpose. |
What Are The Consequences Of Failing To Provide Personal Information
Where personal data is required to satisfy a statutory obligation (including compliance with applicable anti-money laundering or sanctions requirements) or a contractual requirement, failure to provide such information may result in your subscription in the applicable Client being rejected or your shares or interests becoming subject to a compulsory redemption or withdrawal, as applicable. Where there is suspicion of unlawful activity, failure to provide personal data may result in the submission of a report to the relevant law enforcement agency or supervisory authority.
How We May Share Personal Data
We may disclose information about you to our affiliates, service providers (including the administrator of a Client), or other third parties to accept your subscription, administer and maintain your account(s), or otherwise perform our contractual obligations. We may also need to share your personal information with regulatory, tax or law enforcement authorities to comply with applicable legal or regulatory requirements, respond to court orders, or in the context of regulatory requests for information, administrative proceedings, or investigations. We will also release information about you if you direct us to do so.
It may also be necessary, under anti-money laundering and similar laws, to disclose information about you to facilitate the establishment of trading relationships for the Clients with the prime broker(s), the custodian(s), executing brokers or other trading counterparties.
We may also disclose information about you, or your transactions and experiences with us, to our affiliates or service providers for our everyday business purposes, such as administration of our business, record-keeping, maintaining security of our information technology systems, reporting and monitoring of our activities, investor relations activities, and compliance with applicable legal and regulatory requirements.
Retention Periods and Security Measures
We will not retain personal data for longer than is necessary in relation to the purpose for which it is collected, subject to the applicable Data Protection Laws. Personal data will be retained for the duration of your investment in the applicable Client and for a minimum of five years after a redemption or withdrawal, as applicable, of your investment, or liquidation of the applicable Client. We may retain personal data for a longer period for the purpose of marketing our products and services or compliance with applicable law. From time to time, we will review the purpose for which personal data has been collected and decide whether to retain it or to delete if it no longer serves any purpose to us.
To protect your personal information from unauthorized access and use, we apply organizational and technical security measures in accordance with applicable Data Protection Laws. These measures include computer safeguards and secured files and buildings.
We will notify you of any material personal data breaches affecting you in accordance with the requirements of applicable Data Protection Laws.
Additional Information under the U.S. Gramm-Leach-Bliley Act 1999 (Reg S-P) and Fair Credit Reporting Act (Reg S-AM)
For purposes of U.S. federal law, this Privacy Notice applies to current and former investors who are individuals or Individual Retirement Accounts. We are providing this additional information under U.S. federal law.
We may disclose information about our investors, prospective investors or former investors to affiliates (i.e., financial and non-financial companies related by common ownership or control) or non-affiliates (i.e., financial or non-financial companies not related by common ownership or control) for our everyday business purposes, such as to process your transactions, maintain your account(s) or respond to court orders and legal investigations. Thus, it may be necessary or appropriate, under anti-money laundering and similar laws, to disclose information about a Client's investors in order to accept subscriptions from them. We will also release information about you if you direct us to do so.
Semi-Annual Report | April 30, 2022 | 49 |
Saba Capital Income & Opportunities Fund | Privacy Policy |
April 30, 2022
We may share your information with our affiliates for direct marketing purposes, such as offers of products and services to you by us or our affiliates. You may prevent this type of sharing by contacting us at (844) 460-9411. If you are a new investor, we can begin sharing your information with our affiliates for direct marketing purposes 30 days from the date we sent this Privacy Notice. When you are no longer our investor, we may continue to share your information with our affiliates for such purposes.
You may contact us at any time to limit our sharing of your personal information. If you limit sharing for an account you hold jointly with someone else, your choices will apply to everyone on your account. U.S. state laws may give you additional rights to limit sharing.
We do not share your information with non-affiliates for them to market their own services to you. We may disclose information you provide to us to companies that perform marketing services on our behalf, such as any placement agent retained by the applicable Client.
Additional Information under the Cayman Islands Data Protection Act 2017 ("DPA")
The applicable Client may share your personal information with its services providers, including the Investment Manager, the administrator, the custodian(s), the prime broker(s), or others who are located outside the Cayman Islands. It may also be necessary to share your information with the Cayman Islands Monetary Authority or the Tax Information Authority, which may, in turn, exchange this information with foreign tax authorities, regulatory or law enforcement agencies. Any transfer of your personal data by us, our affiliates or service providers outside the Cayman Islands will be carried out in accordance with the DPA.
You may have certain rights under the DPA, including: (i) the right to be informed; (ii) the right of access; (iii) the right to rectification; (iv) the right to stop or restrict processing; (v) the right to stop direct marketing; (vi) rights in relation to automated decision making; (vii) the right to seek compensation; and (viii) the right to complain to the supervisory authority. A complaint in respect of a Client may be lodged with the Office of the Ombudsman in the Cayman Islands. Please use the contact details under Who to Contact About This Privacy Notice if you wish to exercise these rights.
Additional Information under the EU General Data Protection Regulation ("GDPR")
You may have certain rights under GDPR in relation to our processing of your personal data and any processing carried out on your behalf. These rights include: (i) the right to request access to your personal data; (ii) the right to request rectification of your personal data; (iii) the right to request erasure of your personal data (the "right to be forgotten"); (iv) the right to restrict our processing or use of your personal data; (v) the right to object to our processing or use where we have considered this to be necessary for our legitimate interests (such as in the case of our marketing activities); (vi) where relevant, the right to request the portability of the data; (vii) if your consent to processing has been obtained, the right to withdraw your consent at any time; and (viii) the right to lodge a complaint with a supervisory authority. Please note that the right to be forgotten that applies in certain circumstances under GDPR is not likely to be available in respect of the personal data we hold, given the purpose for which we collect such data, as described above.
Due to the international nature of our business, your personal data may be transferred to jurisdictions that do not offer equivalent protection to personal data as under the GDPR ("Third Countries"). In such cases, we will process personal data (or procure that it be processed) in the Third Countries in accordance with the requirements of GDPR, which may include having appropriate contractual undertakings in legal agreements with service providers who process personal data on our behalf in such Third Countries. We may also be required to transfer your personal information to our regulators or government agencies in Third Countries in cases where such transfers are necessary in the context of administrative proceedings, such as requests for information, examinations or investigations, or to other relevant parties in Third Countries where it is necessary for the purposes of establishing, bringing, or defending legal claims, or for another legitimate business purpose, such as compliance with our legal or regulatory obligations under foreign law.
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This material must be accompanied or preceded by a prospectus.
b) | Not applicable. |
Item 2. | Code of Ethics. |
Not applicable in this report. |
Item 3. | Audit Committee Financial Expert. |
Not applicable in this report. |
Item 4. | Principal Accountant Fees and Services. |
Not applicable in this report. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable in this report. |
Item 6. | Investments. |
a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the Reports to Stockholders filed under Item 1(a) of this Form N-CSR. |
b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable in this report. |
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable in this report. |
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K, or this Item. |
Item 11. | Controls and Procedures. |
(a) | The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. |
(b) | There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the 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) | Not applicable to this report. |
(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. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SABA CAPITAL INCOME & OPPORTUNITIES FUND
By: | /s/ Pierre Weinstein | |
Pierre Weinstein (Principal Executive Officer) | ||
Chief Executive Officer |
Date: | July 6, 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: | July 6, 2022 |
By: | /s/ Troy Statczar | |
Troy Statczar (Principal Financial Officer) | ||
Treasurer and Chief Financial Officer |
Date: | July 5, 2022 |