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:
Schulte Roth & Zabel LLP
Michael S. Didiuk, Esq.
919 Third Avenue
New York, New York 10022
Registrant’s Telephone Number, including
Area Code: (212) 542-4644
Date of fiscal year end: October 31
Date of reporting period: November 1, 2023 –
April 30, 2024
Item 1. Report to Stockholders.
Managed Distribution Policy:
Beginning with the distributions for which the declaration date is December 29, 2023, the Fund’s Board of Trustees (the “Board”)
has authorized a managed distribution plan (the “Managed Distribution Plan”) pursuant to which the Fund makes monthly distributions
to shareholders at a fixed amount of $0.085 per share. This fixed distribution amount excludes special dividends (which are not paid pursuant
to the Managed Distribution Plan), including the special dividend paid during the current fiscal period in January 2024.
The Fund will generally distribute
amounts necessary to satisfy the Fund’s Managed Distribution Plan and the requirements prescribed by excise tax rules and Subchapter
M of the Internal Revenue Code. The Managed Distribution 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 Managed Distribution Plan will be successful in doing so.
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.
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. A return of capital may occur, for example, when some or all of
the money that was invested in the Fund is paid back to shareholders. A return of capital distribution does not necessarily reflect the
Fund’s investment performance and should not be confused with “yield” or “income”.
The Managed Distribution Plan
provides that the Board may amend the terms of the Managed Distribution Plan or terminate the Managed Distribution Plan at any time without
prior notice to Fund shareholders; however, at this time, there are no reasonably foreseeable circumstances that might cause the Fund
to terminate the Managed Distribution Plan. An amendment or termination of the Managed Distribution Plan could have an adverse effect
on the market price of the Fund’s common shares. The Managed Distribution 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.
Table
of Contents
| Saba Capital Income & Opportunities Fund (Unaudited) |
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Shareholder Letter |
| |
|
April 30, 2024 (Unaudited) |
Dear Shareholders,
Thank you for your continued
interest in the Saba Capital Income & Opportunities Fund (the “Fund”). We are pleased to provide you with a review of
the Fund’s performance and financial markets from November 1, 2023 to April 30, 2024.
Performance Summary1
For the reporting period, the Fund underperformed both the
iBoxx USD Liquid High Yield Index (the Fund’s primary benchmark) and S-Network Closed-End Fund Index, as can be seen in the table
below.
| Reporting Period: | |
| |
Annualized |
| November 1, 2023 –
April 30, 2024 | |
Total Return2 | |
Volatility3 |
| | |
| |
|
| Saba Capital Income & Opportunities Fund | |
3.23% | |
9.26% |
| iBoxx USD Liquid High Yield Index4,6 | |
8.74% | |
5.15% |
| S-Network Composite Closed-End Fund Index5,6 | |
16.11% | |
9.09% |
The primary contributors to the
Fund’s returns7 were closed-end funds, Agency mortgages, loans/bonds, crypto assets, and reinsurance. The main detractors
were equity and credit hedges, which mostly neutralized the beta exposure in the Fund, and volatility index futures. Notably, the Fund’s
underperformance relative to the benchmarks during the period was driven by the cautious (i.e., hedged) posture of the Fund’s portfolio
as a whole. Given such positioning and the potential risks of persistently high interest rates and continued geopolitical tensions across
the globe, Saba expects that the Fund would outperform its benchmarks if such risks manifest themselves.
Closed-end
funds (both U.S. and non-U.S.) continue to be the Fund’s largest single asset exposure. The average portfolio discount to NAV tightened
from -15.7% to -12.8% during the period, contributing significant risk-adjusted returns. We currently view long exposure to closed-end
funds as a highly attractive opportunity for the Fund.
Markets Review
The period from November 1, 2023
through April 30, 2024, witnessed significant macroeconomic events that influenced global markets. Central banks, particularly the Federal
Reserve and the European Central Bank, continued their efforts to curb inflation. The Fed’s decision to maintain interest rates
at elevated levels was driven by persistent inflationary pressures despite signs of economic cooling.
Global equity markets, particularly
in the U.S., experienced one of the strongest rallies over a six-month period since COVID-19 (+20%), buoyed in part by strong corporate
earnings reports, notably in the technology and healthcare sectors. Meanwhile, the bond market experienced notable volatility where the
rally in rates in November and December 2023 has given way to higher rates in 2024 as market expectations of rate cuts were pushed further
back. In the credit markets, a notable trend was the compression of credit spreads between high-yield corporate bonds and BBB- rated investment-grade
bonds. Investment grade corporate credit seems to be priced for perfection with the average spread over the last two months at approximately
the 10th percentile of spreads experienced in the last 10 years.
The Fund has been positioned relatively defensively
from a net exposure perspective. At the same time, the Fund continues to maintain its exposure to asymmetric investments, such as MBS
spreads relative to IG spreads, rate volatility compared to equity/credit volatility or closed-end funds relative to their NAV.
Investment Objective
The Fund’s
investment objective is to seek to provide shareholders with a high level of current income, with a secondary goal of capital appreciation.
The Fund invests globally in debt and equity securities of public and private companies, which includes, among other things, investments
in closed-end funds, special purpose acquisition companies (“SPAC”), reinsurance and public and private debt instruments.
The Fund also may utilize derivatives, including but not limited to, total return swaps, credit default swaps (“CDS”), options
and futures, in seeking to enhance returns and/or to reduce portfolio risk. The Fund may also invest up to 15% of its total assets in
private funds on a discretionary basis.
Semi-Annual Report | April 30, 2024 | 1 |
| Saba Capital Income & Opportunities Fund (Unaudited) |
|
Shareholder Letter |
| |
|
April 30, 2024 (Unaudited) |
Conclusion
We will continue to search for
investment opportunities with the goal of generating income and creating long-term value for shareholders.
If you have any questions about
the Fund, please visit www.sabacef.com. We are grateful for your trust and support.
Boaz R. Weinstein
Founder and Chief Investment
Officer
Saba Capital Management, L.P.
The foregoing reflects the views, analysis, and opinions
of Saba Capital Management, L.P. (“Saba”) as of June 27, 2024.
| 1 | Past performance is no guarantee of future results and shares
of the Fund, when sold, may be worth less than their original cost. |
| 2 | “Total Return” is calculated assuming a purchase
of the referenced security/index at the opening on November 1, 2023 and a sale at April 30, 2024 and includes an assumption that dividends/distributions,
if any, are reinvested. Additional returns of the Fund on a NAV and market value basis for the reporting period can be found on page
3. |
| 3 | “Annualized Volatility” is the standard deviation
of daily returns (trading days) for any reporting period times sqrt (252), where 252 is the expected number of trading days in an annual
period. |
| 4 | iBoxx USD Liquid High Yield Index consists of liquid USD
high yield bonds, selected to provide a balanced representation of the USD high yield corporate bond universe. The index is market-value
weighted with an issuer cap of 3%. |
| 5 | S-Network Composite Closed-End Fund Index is a fund index
designed to serve as a benchmark for closed-end funds listed in the US that principally engage in asset management processes seeking
to produce taxable annual yield. |
| 6 | Indices and other financial benchmarks are provided for illustrative
purposes only and do not imply that the Fund will achieve similar performance, returns or volatility or invest in any specific investments
that compromise any such index. Comparisons to indices have limitations and material characteristics that may differ from the Fund. Any
index information contained herein is included merely to show general trends in the markets in the periods indicated, is not meant to
imply that these indices are the only relevant indices or the Fund’s portfolio was similar to the index either in composition or
element of risk. Indices referenced in the foregoing letter were selected by us in good faith, but there is no guarantee that such indices
are appropriate or suitable for comparison with the Fund’s performance. No assurance is made as to the accuracy of such indices
and all information above is subject to revision. In addition, the composition of each of these indices is not under our control and
may change over time in the discretion of the respective provider of such index, which may affect the results of the performance comparisons. |
| 7 | The returns discussed in this paragraph represent the gains
and losses that the Fund’s portfolio investments generated during the reporting period and are therefore calculated using a different
methodology than the “Total Return” presented in the table to this “Performance Summary” section. |
| Saba Capital Income & Opportunities Fund (Unaudited) |
|
Performance Update |
| |
|
April 30, 2024 (Unaudited) |
| Average Annual Total Returns (as
of April 30,2024) |
1 Year |
3 Year |
5 Year |
10 Year |
| Returns at NAV |
5.27% |
4.83% |
2.48% |
3.49% |
| Returns at Market Value |
2.96% |
4.09% |
3.21% |
2.90% |
| iShares iBoxx $ High Yield Corporate Bond ETF (HYG)1 |
7.45% |
0.63% |
2.50% |
3.13% |
Average annual returns for the period since
Saba Capital Management, L.P. began managing the Fund on June 4, 2021 are at NAV 4.94% and at market value 3.40%2 .
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.
| 1 | iBoxx USD Liquid High Yield Index consists of liquid USD
high yield bonds, selected to provide a balanced representation of the USD high yield corporate bond universe. The index is market-value
weighted with an issuer cap of 3%. |
| 2 | Total investment return is calculated assuming a purchase
at the opening on January 1, 2024 and a sale at April 30, 2024 and includes an assumption that dividends/distributions are reinvested. |
Semi-Annual Report | April 30, 2024 | 3 |
| Saba Capital Income & Opportunities Fund (Unaudited) |
|
Performance Update |
| |
|
April 30, 2024 (Unaudited) |
| Top Ten Holdings by Issuer (as
a % of Net Assets)(a) | |
| |
| | |
| |
| Stone Ridge Opportunities Fund Feeder LP | |
| 12.00 | % |
| Grayscale Ethereum Classic Trust | |
| 4.52 | % |
| Bitwise 10 Crypto Index Fund | |
| 2.73 | % |
| Level 3 Financing Inc. | |
| 2.62 | % |
| Pershing Square Holdings, Ltd. | |
| 2.57 | % |
| Chinos Intermediate 2 LLC | |
| 2.50 | % |
| Altria Group, Inc. | |
| 2.47 | % |
| Fidelity Emerging Markets Ltd. | |
| 2.39 | % |
| MFF Capital Investments, Ltd. | |
| 2.14 | % |
| Wok Holdings Inc. | |
| 2.10 | % |
| Top Ten Holdings | |
| 36.04 | % |
| Portfolio Composition (as a % of Net Assets)(a) | |
| | |
| | |
| | |
| Closed End Funds | |
| 30.69 | % |
| Senior Loans | |
| 14.61 | % |
| Private Fund | |
| 12.00 | % |
| Corporate Bonds | |
| 10.69 | % |
| Common Stock | |
| 5.99 | % |
| Investment Trusts | |
| 5.18 | % |
| Unit Trust | |
| 4.52 | % |
| Sovereign Debt Obligations | |
| 2.52 | % |
| Simple Agreement for Future Equity Contracts | |
| 2.03 | % |
| Mortgage-Backed Securities | |
| 1.14 | % |
| Preferred Stock | |
| 0.96 | % |
| Options | |
| 0.62 | % |
| Futures Contracts | |
| 0.44 | % |
| Money Market Funds | |
| 0.34 | % |
| Forward Foreign Currency Contracts | |
| 0.23 | % |
| Investment in Affiliated Fund | |
| 0.23 | % |
| Total Return Swap Contracts | |
| 0.20 | % |
| Warrants | |
| 0.16 | % |
| Convertible Corporate Bond | |
| 0.04 | % |
| Rights | |
| 0.04 | % |
| Special Purpose Acquisition Companies | |
| 0.01 | % |
| Participation Agreement | |
| 0.00 | % |
| Preferred Stock | |
| -0.01 | % |
| Credit Default Swaptions | |
| -0.23 | % |
| To Be Announced Mortgage-Backed Securities Forward Contracts | |
| -0.40 | % |
| Unit Trust | |
| -4.21 | % |
| Common Stock | |
| -9.19 | % |
| Credit Default Swap Contracts | |
| -11.26 | % |
| Sovereign Debt Obligations | |
| -49.34 | % |
| Total Investment | |
| 18.00 | % |
| Other Assets in Excess of Liabilities | |
| 82.00 | % |
| Net Assets | |
| 100.00 | % |
| (a) | Holdings are subject to change, and may not reflect the current
or future position of the portfolio. Tables present indicative values only. |
| Saba Capital Income & Opportunities Fund (Unaudited) |
|
Material Risk Factors |
| |
|
April 30, 2024 (Unaudited) |
General Risk Factors
Dependence on Key Individuals.
Shareholders have no authority to make decisions on behalf of the Fund. The success of the Fund depends upon the ability of key members
of the Investment Adviser’s investment team to develop and implement investment strategies that achieve the Fund’s investment
objectives. If the Fund were to lose the services of these members, the consequence to the Fund could be material and adverse. In addition,
subjective decisions made by the individual CEF Managers may cause the Fund to incur losses or to miss profit opportunities on which it
may otherwise have capitalized. Although Saba Capital may allocate assets of the Fund to CEF Managers who use different investment strategies,
there can be no assurance that market or other events will not have an adverse impact on the strategies employed by multiple CEF Managers.
Dependence on Service Providers.
The Fund is also dependent upon their counterparties and the businesses that are not controlled by the Investment Adviser that
provide services to the Fund (the “Service Providers”). Examples of Service Providers include the administrator, custodian,
legal counsel, auditors, Principal Financial Officer, and Chief Compliance Officer. Errors are inherent in the business and operations
of any business, and although the Investment Adviser will adopt measures to prevent and detect errors by, and misconduct of, counterparties
and Service Providers, and transact with counterparties and Service Providers it believes to be reliable, such measures may not be effective
in all cases. Errors or misconduct could have a material adverse effect on the Fund and the Investor’s investments therein.
Indemnification.
The Fund will indemnify the Investment Adviser and other Service Providers for liabilities incurred in connection with the affairs of
the Fund. Such liabilities may be material and have an adverse effect on the returns to the investors. The indemnification obligations
of the Fund would be payable from the assets of the Fund.
Third Party Managers.
The Fund has and may in the future invest in public and/ private funds managed by third party managers, or may allocate portions of its
assets to third party managers to manage on a discretionary basis, if the Investment Adviser determines that such an arrangement represents
the best way to access a particular investment opportunity or otherwise expand the investment expertise available to the Fund. The Fund
will be subject to various costs relating to such investments, including performance-based and/or fixed asset-based fees or allocations
payable to such third party managers. Any such fees and allocations will not reduce the Management Fee.
An investor in an advisory client
(any such investor, a “Referring Investor”) of the Investment Adviser may refer to the Investment Adviser one or more third
party managers that manage funds and/or accounts in which the Fund may invest. The Fund may invest in one or more funds and/or accounts
managed by such third party managers directly or indirectly (through a vehicle managed by such Referring Investor). In exchange for any
such referral (or access), a Referring Investor may be compensated through payment or allocation of performance-based or fixed asset-based
fees or allocations. A Referring Investor may also be granted preferential terms with respect to its investment in any other advisory
client of the Investment Adviser in connection with any referral it makes to the Investment Adviser. Additionally, from time to time,
the Fund has in the past invested, and may in the future invest, in funds advised by third party managers where the Investment Adviser
also provides advisory services to advisory clients advised by such third party managers. These investments may create a potential conflict
of interest for the Investment Adviser to make such investments to receive fees from a Referring Investor or the clients advised by the
third party managers. When making an investment of the Fund’s assets with such third party managers, the Investment Adviser will
evaluate the facts and circumstances of the proposed investment to assess the appropriateness of the investment in light of the potential
conflict of interest.
Selection of Brokers. The
Investment Adviser may be subject to conflicts of interest relating to its selection of brokers on behalf of the Fund. Transactions for
the Fund will be allocated to brokers on the basis of, among other things, best execution and in consideration of a broker's ability to
effect the transactions, its facilities, reliability and financial responsibility, as well as the provision or payment by the broker of
the costs of research and research-related services. In addition, brokers may provide other services that are beneficial to the Investment
Adviser, but not necessarily beneficial to the Fund, including, without limitation, capital introduction, marketing assistance, consulting
with respect to technology, operations or equipment, and other services or items. Such services and items may influence the Investment
Adviser's selection of brokers.
Fees
and Expenses Risk. The Fund will pay fees and expenses regardless of whether its experience any profits and will be required to
pay fees and expenses at the level of the CEFs regardless of whether a CEF experiences any profits (including, for the avoidance of doubt,
expenses attributable to trading commissions).
Risks Relating to Market Conditions
Generally
General Economic and Market
Conditions. The success of the Fund’s activities will be affected by general economic and market conditions, such as
interest rates, availability of credit, credit defaults, inflation rates, economic uncertainty, changes in laws (including laws
relating to taxation of the Fund’s investments), trade barriers, currency exchange controls, and national and international
political circumstances (including wars, terrorist acts or security operations). These factors may affect the level and volatility
of the prices and the liquidity of the Fund’s investments. Volatility or illiquidity could impair the Fund’s
profitability or result in losses. The Fund may maintain substantial trading positions that can be adversely affected by the level
of volatility in the financial markets.
Semi-Annual Report | April 30, 2024 | 5 |
| Saba Capital Income & Opportunities Fund (Unaudited) |
|
Material Risk Factors |
| |
|
April 30, 2024 (Unaudited) |
Market Disruption and Geopolitical:
The Fund is subject to the risk that geopolitical events may disrupt securities markets and adversely affect global economies
and markets. Due to the increasing interdependence among global economies and markets, conditions in one country, market, or region might
adversely impact markets, issuers and/or foreign exchange rates in other countries, including the U.S. War, terrorism, global health crises
and pandemics, and other geopolitical events have led, and in the future may lead, to increased market volatility and may have adverse
short- or long-term effects on U.S. and world economies and markets generally. Natural and environmental disasters and systemic market
dislocations are also highly disruptive to economies and markets. Those events as well as other changes in non-U.S. and domestic economic,
social, and political conditions also could adversely affect individual issuers or related groups of issuers, securities markets, interest
rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the investments of the Fund and the Fund.
Any of these occurrences could disrupt the operations of the Fund and of the Service Providers.
Potential Interest Rate
Increases. Uncertainty of the U.S. and global economy, and sensitivity of interest rates to changes in U.S. government and other
nations’ monetary and fiscal policies, including changes in the federal funds rate, create a risk that interest rates will be volatile
in the future. Interest rate volatility is difficult to predict, and may cause the value of any assets sensitive to interest rates, including
fixed-income instruments, held by the Fund and the CEFs to decrease.
Volatile Markets.
The prices of financial instruments in which the Fund may invest can be volatile. Price movements of forward and other derivative contracts
in which the Fund’s assets may be invested are influenced by, among other things, interest rates, changing supply and demand relationships,
trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic
events and policies. The Fund is subject to the risk of failure of any of the exchanges on which its positions trade or of their clearinghouses.
There can
be no assurance that the Fund will not suffer material adverse effects from broad and rapid changes in market conditions. Recent market
conditions have shown that markets can quickly change at times or in ways that are difficult for the Investment Adviser to predict, so
even a well analyzed investment approach may not protect the Fund from significant losses under certain market conditions.
Global Market Investments.
The Fund may invest in the equity, debt or other securities and instruments of issuers located outside the United States. In addition
to business uncertainties, such investments may be affected by political, social and economic uncertainty affecting a country or region.
Many financial markets are not as developed or as efficient as those in the United States, and as a result, liquidity may be reduced and
price volatility may be higher. The legal and regulatory environment may also be different, particularly as to bankruptcy and reorganization.
Financial accounting standards and practices may differ, and there may be less publicly available information in respect of such companies.
The values and relative yields
of investments in the securities markets of different countries, and their associated risks, are expected to change independently of each
other. Income received by the Fund from sources within some countries may be reduced by withholding and other taxes imposed by such countries.
The Fund may be subject to additional
risks which include possible adverse political and economic developments and possible adoption of governmental restrictions which might
adversely affect the payment of principal and interest to investors located outside the country of the issuer, whether from currency blockage
or otherwise. Furthermore, some of the securities may be subject to brokerage taxes levied by governments, which has the effect of increasing
the cost of such investment and reducing the realized gain or increasing the realized loss on such securities at the time of sale. While
the Investment Adviser will take these factors into consideration in making investment decisions for the Fund, no assurance can be given
that the Fund will be able to fully avoid these risks.
In addition, economic problems
in a single country are increasingly affecting other markets and economies. A continuation of this trend could adversely affect global
economic conditions and world markets and, in turn, could adversely affect the Fund’s performance.
Emerging Market Investments.
Certain markets in which the Fund may invest may be regarded as emerging or developing markets. In emerging and developing markets,
there is often less government supervision and regulation of business and industry practices, stock exchanges, over-the- counter
markets, brokers, dealers, counterparties and issuers than in other more established markets. Any regulatory supervision which is in
place may be subject to manipulation or control. Some emerging and developing market countries do not have mature legal systems
comparable to those of more developed countries. Moreover, the process of legal and regulatory reform may not be proceeding at the
same pace as market developments, which could result in investment risk. Legislation to safeguard the rights of private ownership
may not yet be in place in certain areas, and there may be the risk of conflict among local, regional and national requirements. In
certain cases, the laws and regulations governing investments in financial instruments may not exist or may be subject to
inconsistent or arbitrary appreciation or interpretation. Both the independence of judicial systems and their immunity from
economic, political or nationalistic influences remain largely untested in many countries. The Fund may also encounter difficulties
in pursuing legal remedies or in obtaining and enforcing judgments in non-U.S. courts. Due to the foregoing risks and complications,
the costs associated with investments in emerging market securities generally are higher than for securities of issuers based in
developed countries.
| Saba Capital Income & Opportunities Fund (Unaudited) |
|
Material Risk Factors |
| |
|
April 30, 2024 (Unaudited) |
Investment Strategy Risk Factors
An investor should be aware
that it may lose money. All investments involve the risk of loss of capital. The Investment Adviser believes that the Fund’s
investment program and research techniques moderate this risk through a careful selection of investments, the use of short and long positions
and other financial instruments. However, no guarantee or representation is made that the Fund’s investment program will be successful.
The Fund’s investment program is expected to utilize leverage and may utilize such investment techniques as option transactions,
short sales, limited diversification and forward contracts, which can, in certain circumstances, increase the adverse impact to which
the Fund’s portfolio may be subject.
Leverage Risks.
The use of leverage will, in certain instances, enable the Fund to achieve a higher rate of return than would be otherwise possible. Leverage
may take the form of, without limitation, any of the financial instruments described herein, including derivative instruments which are
inherently leveraged and trading in products with embedded leverage such as options, short sales, swaps and forwards. The instruments
and borrowings utilized by the Fund to leverage investments may be collateralized by the Fund’s portfolio, respectively.
The use of leverage will magnify
the volatility of changes in the value of the investments of the Fund. Accordingly, any event which adversely affects the value of an
investment would be magnified to the extent the investment is leveraged. The cumulative effect of the use of leverage by the Fund in a
market that moves adversely to its investments could result in substantial losses to the Fund, which would be greater than if the Fund
was not leveraged.
While leverage increases the
buying power of the Fund and presents opportunities for increasing total returns, it has the effect of potentially increasing losses as
well. For example, funds borrowed for leveraging will be subject to interest, transaction and other costs, and other types of leverage
also involve transaction and other costs. Any such costs may or may not be recovered by the return on the Fund’s portfolio. Leverage
will increase the investment return of the Fund if an investment purchased with or utilizing leverage earns a greater return than the
cost to the Fund of such leverage. The use of leverage will decrease the investment return if the Fund fails to recover the cost of such
leverage.
Short Selling.
General Risk. The success
of the Fund’s short selling investment strategy depends upon the Investment Adviser’s ability to identify and sell short securities
that are overvalued. A short sale creates the risk of a theoretically unlimited loss, in that the price of the underlying security could
theoretically increase without limit, thus increasing the cost to the Fund of buying those securities to cover the short position.
Borrowing and Counterparty
Risk. There can be no assurance that the Fund will be able to maintain the ability to borrow securities sold short. In such cases,
the Fund can be “bought in” (i.e., forced to repurchase securities in the open market to return to the lender). There also
can be no assurance that the securities necessary to cover a short position will be available for purchase at or near prices quoted in
the market. Purchasing securities to close out a short position can itself cause the price of the securities to rise further, thereby
exacerbating the loss.
Even though the Fund secures a
“good borrow” of the security sold short at the time of execution, the lending institution may recall the lent security at
any time, thereby forcing the Fund to purchase the security at the then-prevailing market price, which may be higher than the price at
which such security was originally sold short by the Fund.
In addition, the Fund may be
required to provide additional margin to its counterparties, including its prime brokers, on short notice if the price of a security underlying
a short position suddenly rises. If the Fund is unable to deliver the additional margin required, the Fund may need to prematurely close
out the short position at unattractive prices, thereby resulting in a substantial loss. Depending on the timing and magnitude of a price
increase in respect of an open short position, the Fund may be required to liquidate long positions to meet margin requirements, thereby
further increasing the losses (or decreasing the gains) of the Fund.
The Fund may make “short sales
against-the-box,” in which it will sell short securities it owns or has the right to obtain without payment of additional
consideration. If the Fund makes a short sale against-the-box, it will be required to set aside securities equivalent in kind and
amount to the securities sold short (or securities convertible or exchangeable into those securities) and will be required to hold
those securities while the short sale is outstanding. The Fund will incur transaction costs, including interest expense, in
connection with opening, maintaining and closing short sales against-the-box.
Semi-Annual Report | April 30, 2024 | 7 |
| Saba
Capital Income & Opportunities Fund (Unaudited) |
Material
Risk Factors |
|
April 30,
2024 (Unaudited) |
Further, fees charged to the
Fund for borrowing securities may be substantial, and will decrease any gains (or increase losses) associated with a short position.
Short strategies can also be implemented
synthetically through various instruments and be used with respect to indices or in the OTC market and with respect to futures and other
instruments. In some cases of synthetic short sales, there is no floating supply of an underlying instrument with which to cover or close
out a short position and the Fund may be entirely dependent on the willingness of OTC market makers to quote prices at which the synthetic
short position may be unwound. There can be no assurance that such market makers will be willing to make such quotes. Short strategies
can also be implemented on a leveraged basis.
Short-Squeeze Risk. A
so-called “short squeeze” can occur when the price of securities in which the Fund has an open short position rises sharply
in a short time frame. The rapid rise may be a result of (i) multiple short sellers seeking to cover their short positions in the same
time frame by purchasing the security, resulting a rapid price increase; (ii) market participants collectively purchasing a significant
amount of shares, thereby causing a substantial increase the price of such securities; or (iii) one or more lenders of a security that
was used to facilitate a short position suddenly demanding the return of the security that has been loaned. A “short squeeze”
may result in the Fund having to prematurely close out a short position at relatively unattractive high prices, resulting in a substantial
loss. Further, the risk of a “short squeeze” likely will increase if other short sellers, market participants and/or lenders
become aware of the Fund’s short positions, including, without limitation, as a result of legally- required reporting with respect
to the Fund’s ownership of options to purchase the underlying security being shorted.
Legal Restrictions and Reporting-Related
Risk. Certain jurisdictions have enacted restrictions on short selling (including wholesale bans, at times) as well as public disclosure
requirements. If additional short selling restrictions and disclosure requirements are enacted, the prices of the instruments in which
the Fund invests may be materially affected and the ability of the Investment Adviser to take advantage of opportunities for short selling
may be significantly reduced.
Specifically, on October 13, 2023,
the SEC adopted new rule 13f-2 (“Rule 13f-2”) of the Exchange Act. Rule 13f-2 requires institutional investment managers to
report equity security short positions to the SEC on new Form SHO. While the Form SHO information that the Investment Adviser will file
with the SEC (if any) is treated as confidential, the SEC plans to publish aggregated data derived from Form SHO submissions within a
month of the end of each reporting period. This information published by the SEC will be the aggregated gross short position for each
class of equity security and the aggregate of the net activity reported by all reporting managers for each equity security. In addition,
each month the SEC also plans to publish similar aggregated Form SHO data for the prior 12 months that reflect updated information that
accounts for any changes that result from amendments and restatements to Form SHO filings. Rule 13f-2 went into effect on January 2, 2024.
However, compliance with the Rule 13f-2 reporting requirements will not be required until 12 months later, January 2025, with the SEC
commencing the publication of aggregated short position data collected under Rule 13f-2 three months later. In addition, in December 2023,
several industry groups sued the SEC to invalidate the rule, although it is not clear whether the case will be resolved before market
participants will need to comply with the rule’s requirements.
While the short position information
provided by the Investment Adviser to the SEC will be confidential and not available to the public, market participants will now have
monthly visibility, albeit on an aggregate basis, into the magnitude of open short positions with respect to a particular issuer. The
disclosure that will be provided pursuant to Rule 13f-2 increases the risk that a “short squeeze” could occur in one or more
short positions maintained by the Fund because market participants will now have broad and regularly recurring information regarding the
open short positions.
Equity Securities Generally.
The Fund expects to buy and sell private and public equity securities. The value of equity securities of public and private, listed and
unlisted companies and equity derivatives generally varies with the performance of the issuer and movements in the equity markets. As
a result, the Fund may suffer losses if it invests in equity instruments of issuers whose performance diverges from the Investment Adviser’s
expectations or if equity markets generally move in a single direction and the Fund has not hedged against such a general move. The Fund
also may be exposed to risks that issuers will not fulfill contractual obligations such as, in the case of convertible securities or private
placements, delivering marketable common stock upon conversions of convertible securities and registering restricted securities for public
resale.
Debt Securities
Generally. The Fund expects to buy and sell private and government debt securities and instruments. The Fund may buy or sell
debt instruments that are unrated, and whether or not rated, the debt instruments may have speculative characteristics. The issuers
of such instruments (including sovereign issuers) may face significant ongoing uncertainties and exposure to adverse conditions that
may undermine the issuer’s ability to make timely payment of interest and principal. Such instruments are regarded as
predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal in accordance with the
terms of the obligations and involve major risk exposure to adverse conditions.
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Capital Income & Opportunities Fund (Unaudited) |
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Currency
Risks. The Fund’s investments that are denominated in a foreign currency are subject to the risk that the value of a particular
currency will change in relation to one or more other currencies. Among the factors that may affect currency values are trade balances,
the level of short- term interest rates, differences in relative values of similar assets in different currencies, long-term opportunities
for investment and capital appreciation and political developments. The Investment Adviser may try to hedge these risks by investing directly
in foreign currencies, buying and selling forward foreign currency exchange contracts and buying and selling options on foreign currencies,
but there can be no assurance such strategies will be effective.
Sovereign Debt.
The Fund expects to buy and sell sovereign debt. Several factors may affect (i) the ability of a government, its agencies, instrumentalities
or its central bank to make payments on the debt it has issued (“Sovereign Debt”), including securities that the Investment
Adviser believes are likely to be included in restructurings of the external debt obligations of the issuer in question, (ii) the market
value of such debt and (iii) the inclusion of Sovereign Debt in future restructurings, including such issuer’s (x) balance of trade
and access to international financing, (y) cost of servicing such obligations, which may be affected by changes in international interest
rates, and (z) level of international currency reserves, which may affect the amount of non-U.S. exchange available for external debt
payments. Significant ongoing uncertainties and exposure to adverse conditions may undermine the issuer’s ability to make timely
payment of interest and principal, and issuers may default on their Sovereign Debt.
Distressed Securities.
The Fund expects to invest in “below investment grade” securities and obligations of issuers in weak financial condition,
experiencing poor operating results, having substantial capital needs or negative net worth, facing special competitive or product obsolescence
problems, including companies involved in bankruptcy or other reorganization and liquidation proceedings. It is anticipated that certain
debt instruments purchased by the Investment Adviser for the Fund may be non-performing and possibly in default. Furthermore, the obligor
or relevant guarantor may also be in bankruptcy or liquidation. There can be no assurance as to the amount and timing of payments, if
any, with respect to the loans. These securities are likely to be particularly risky investments although they also may offer the potential
for correspondingly high returns. Among the risks inherent in investments in troubled entities is the fact that it frequently may be difficult
to obtain information as to the true condition of such issuers. Such investments may also be adversely affected by laws relating to, among
other things, fraudulent transfers and other voidable transfers or payments, lender liability and the bankruptcy court’s power to
disallow, reduce, subordinate or disenfranchise particular claims. Such companies’ securities may be considered speculative, and
the ability of such companies to pay their debts on schedule could be affected by adverse interest rate movements, changes in the general
economic climate, economic factors affecting a particular industry or specific developments within such companies. In addition, there
is no minimum credit standard that is a prerequisite to the Fund’s investment in any instrument, and a significant portion of the
obligations and securities in which the Fund invests may be less than investment grade. The level of analytical sophistication, both financial
and legal, necessary for successful investment in companies experiencing significant business and financial difficulties is unusually
high. There is no assurance that the Investment Adviser will correctly evaluate the value of the assets underlying the Fund’s investments
or the prospects for a successful reorganization or similar action. In any reorganization or liquidation proceeding relating to a company
in which the Fund invests, the Fund may lose its entire investment, may be required to accept cash or securities with a value less than
the Fund’s original investment and/or may be required to accept payment over an extended period of time. Under such circumstances,
the returns generated from the Fund’s investments may not compensate the investors adequately for the risks assumed.
In liquidation (both in and out
of bankruptcy) and other forms of corporate reorganization, there exists the risk that the reorganization either will be unsuccessful
(due to, for example, failure to obtain requisite approvals), will be delayed (for example, until various liabilities, actual or contingent,
have been satisfied) or will result in a distribution of cash or a new security the value of which will be less than the purchase price
to the Fund of the security in respect to which such distribution was made.
In certain
transactions, the Fund may not be “hedged” against market fluctuations, or, in liquidation situations, may not accurately
value the assets of the company being liquidated. This can result in losses, even if the proposed transaction is consummated.
High-Yield
Securities. The Fund expects to invest in bonds or other fixed income securities, including, without limitation,
“higher yielding” (including non-investment grade) debt securities, and may take short positions in these securities.
Such securities are generally not exchange traded and, as a result, these financial instruments trade in the over-the-counter
marketplace, which is less transparent and has wider bid/ask spreads than the exchange-traded marketplace. The Fund may invest in
these securities when they offer opportunities for capital appreciation (or capital depreciation in the case of short positions) and
may also invest in these securities for temporary defensive purposes and to maintain liquidity. High-yield securities include, among
other securities: bonds, notes and debentures issued by U.S. and non-U.S. corporations and U.S. Government securities or debt
securities issued or guaranteed by a non-U.S. government. These securities may pay fixed, variable or floating rates of interest,
and may include zero coupon obligations.
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In addition, the Fund may invest
in bonds of issuers that do not have publicly traded equity securities, making it more difficult to hedge the risks associated with such
investments. Also, the market for credit spreads is often inefficient and illiquid, making it difficult to accurately calculate discounting
spreads for valuing financial instruments. High-yield securities face ongoing uncertainties and exposure to adverse business, financial
or economic conditions which could lead to the issuer’s inability to meet timely interest and principal payments. High-yield securities
are subject to the risk of the issuer’s inability to meet principal and interest payments on its obligations (i.e., credit risk)
and are subject to price volatility resulting from, among other things, interest rate sensitivity, market perception of the creditworthiness
of the issuer and general market liquidity (i.e., market risk). High-yield securities may or may not be subordinated to certain other
outstanding securities and obligations of the issuer, which may be secured by substantially all of the issuer’s assets. High-yield
securities may also not be protected by financial covenants or limitations on additional indebtedness.
The market values of certain
of these lower-rated and unrated debt securities tend to reflect individual corporate developments to a greater extent than do higher-rated
securities which react primarily to fluctuations in the general level of interest rates, and tend to be more sensitive to economic conditions
than are higher-rated securities. Companies that issue such securities are often highly leveraged and may not have available to them more
traditional methods of financing. It is possible that a major economic recession could severely disrupt the market for such securities
and may have an adverse impact on the value of such securities. In addition, it is possible that any such economic downturn could adversely
affect the ability of the issuers of such securities to repay principal and pay interest thereon and increase the incidence of default
of such securities.
The Fund may invest in obligations
of issuers that are generally trading at significantly higher yields than had been historically typical of the applicable issuer's obligations.
Such investments may include debt obligations that have a heightened probability of being in covenant or payment default in the future
or that are currently in default and are generally considered speculative. The repayment of defaulted obligations is subject to significant
uncertainties. Defaulted obligations might be repaid only after lengthy workout or bankruptcy proceedings, during which the issuer might
not make any interest or other payments. Typically such workout or bankruptcy proceedings result only in partial recovery of cash payments
or an exchange of the defaulted security for other debt or equity securities of the issuer or its affiliates, which may in turn be illiquid
or speculative.
Bank Loans. The
Fund’s investment program may include investments in significant amounts of bank loans and participations. These obligations are
subject to unique risks, including: (i) the possible invalidation of an investment transaction as a fraudulent conveyance under relevant
creditors’ rights laws; (ii) so-called lender-liability claims by the issuer of the obligations; (iii) environmental liabilities
that may arise with respect to collateral securing the obligations; and (iv) limitations on the ability of the Fund to directly enforce
its rights with respect to participations. In analyzing each bank loan or participation, the Investment Adviser attempts to compare the
relative significance of the risks against the expected benefits of the investment. Successful claims by third parties arising from these
and other risks will be borne by the Fund.
As secondary market trading volumes
increase, new loans are frequently adopting standardized documentation to facilitate loan trading, which may improve market liquidity.
There can be no assurance, however, that future levels of supply and demand in loan trading will provide an adequate degree of liquidity
or that the current level of liquidity will continue. Because of the provision to holders of such loans of confidential information relating
to the borrower, the unique and customized nature of the loan agreement, and the private syndication of the loan, loans are not as easily
purchased or sold as a publicly traded security, and historically the trading volume in the loan market has been small relative to the
high-yield debt market.
Second Lien Loans.
The Fund may invest in loans that are secured by a second lien on assets. Second lien loans have been a developed market for a relatively
short period of time, and there is limited historical data on the performance of second lien loans in adverse economic circumstances.
In addition, second lien loan products are subject to intercreditor arrangements with the holders of first lien indebtedness, pursuant
to which the second lien holders have waived many of the rights of a secured creditor, and some rights of unsecured creditors, including
rights in bankruptcy which can materially affect recoveries. While there is broad market acceptance of some second lien intercreditor
terms, no clear market standard has developed for certain other material intercreditor terms for second lien loan products. This variation
in key intercreditor terms may result in dissimilar recoveries across otherwise similarly situated second lien loans in insolvency or
distressed situations. While uncertainty of recovery in an insolvency or distressed situation is inherent in all debt instruments, second
lien loan products carry more risks than certain other debt products.
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Capital Income & Opportunities Fund (Unaudited) |
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Non-Investment
Grade and Unrated Instruments. A portion of the Fund’s assets may be invested in instruments that are unrated or have
a credit quality rating below investment grade by internationally recognized credit rating organizations, such as Moody’s
Investors Service Inc. and S&P Global Ratings. The market prices of those securities may fluctuate more than higher-rated
securities, and may decline significantly in periods of general economic difficulty. Those securities generally are considered to
have extremely poor prospects of ever attaining any real investment grade standing and to have a current identifiable vulnerability
to default. The issuers or guarantors of those securities are considered to be less likely to have the capacity to pay interest and
repay principal when due in the event of adverse business, financial or economic conditions. Alternatively, such issuers may be in
default or not current in the payment of interest or principal. Adverse changes in economic conditions or developments regarding the
individual issuer are more likely to cause price volatility and weaken the capacity of the issuers of non-investment grade debt
securities to make principal and interest payments than issuers of higher grade debt securities. An economic downturn affecting an
issuer of non- investment grade debt securities may result in an increased incidence of default. In addition, the market for lower
grade debt securities may be less liquid and less active than for higher grade debt securities.
Inflation Risks.
The value of assets or income from investments may be less in the future as inflation decreases the value of money. As inflation increases,
the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater
if the Fund invests a significant portion of its assets in fixed-income securities with longer maturities.
Credit Risk. An
issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to
make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default causing a loss
of the full principal amount of a security. The degree of risk for a particular security may be reflected in its credit rating. There
is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the
value of the security.
Interest Rate Risk.
Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. When interest rates rise,
the value of investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new
investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.
Credit Default Swaps.
The Fund expects to invest in credit default swaps. A credit default swap is a contract between two parties which transfers the risk of
loss if a company fails to pay principal or interest on time or files for bankruptcy. In essence, an institution which owns corporate
debt instruments can purchase a limited form of default protection by entering into a credit default swap with another bank, broker-dealer
or financial intermediary. Upon an event of default, the swap may be terminated in one of two ways: (i) by the purchaser of credit protection
delivering the referenced instrument to the swap counterparty and receiving a payment of par value, or (ii) by the parties pairing off
payments, with the purchaser of the protection receiving a payment equal to the par value of the reference security less the price at
which the reference security trades subsequent to default. The first way is the more common form of credit default swap termination.
In the manner described above,
credit default swaps can be used to hedge a portion of the default risk on a single corporate bond or a portfolio of bonds. Credit default
swaps can be used to implement the Investment Adviser’s view that a particular credit, or group of credits, will experience credit
improvement. In the case of expected credit improvement, the Fund may sell credit default protection in which it receives a premium to
take on the risk. In such an instance, the obligation of the Fund to make payments upon the occurrence of a credit event creates leveraged
exposure to the credit risk of the referenced entity. The Fund may also “purchase” credit default protection even in the case
in which it does not own the referenced instrument if, in the judgment of the Investment Adviser, there is a high likelihood of credit
deterioration. In such instance, the Fund will pay a premium regardless of whether there is a credit event.
The credit default swap market
in high-yield securities is comparatively new and rapidly evolving compared to the credit default swap market for more seasoned and liquid
investment grade securities., creating the risk that the newer markets will be less liquid, and making it potentially more difficult to
exit or enter into a particular transaction. Swap transactions dependent upon credit events are priced incorporating many variables including
the pricing and volatility of the common stock, potential loss upon default and the shape of the U.S. Treasury Yield curve, among other
factors. As such, there are many factors upon which market participants may have divergent views. The Investment Adviser may also enter
into credit default swap transactions, even if the credit outlook is positive, if it believes that participants in the marketplace have
incorrectly valued the components which determine the value of a swap.
Widening and Narrowing Credit Spreads.
The Fund will be impacted by the widening or narrowing of credit spreads. If credit spreads were to narrow, it may result in an increase
in the cost to the Fund of buying securities to cover the short position or resulting in the inability of the Fund to cover the short
position.
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Capital Income & Opportunities Fund (Unaudited) |
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Index or Index
Options. The Fund may also purchase and sell indices as well as call and put options on indices, whether or not stock
indices are listed on securities exchanges or traded in the over-the-counter market. An index or index option fluctuates with
changes in the market values of the securities included in the index. Specifically, investments in the ABX, CMBX, CDX and iBoxx
indices will fluctuate based upon the value of the subprime mortgage bonds, commercial mortgage-backed securities
(“CMBS”) and credit default swaps that are part of such index, respectively. The value of subprime mortgage bonds bear
various risks, including credit, market, interest rate, structural and legal risks that can each affect the repayment rate of the
underlying subprime mortgages; the value of CMBS will be influenced by factors affecting the value of the underlying real estate
portfolio, and by the terms and payment histories of such CMBS; and, the value of credit default swaps are subject to the risks
described in “Credit Default Swaps” above. In addition, because the value of an index or index option depends upon
movements in the level of the index rather than the price of a particular asset, whether the Fund will realize gains or losses from
the purchase or writing of options on indices depends upon movements in the level of instrument prices in the assets generally or,
in the case of certain indices, in an industry or market segment, rather than movements in the price of particular assets.
Trading
of Swaps. The Fund expects to enter into swap transactions. A swap transaction is an individually negotiated, non-standardized
derivative agreement between two parties to exchange cash flows (and sometimes principal amounts) measured by different interest rates,
currency exchange rates, securities, commodities or other items, indices, or prices, with payments generally calculated by reference to
a principal (“notional”) amount or quantity. Swap contracts are not traded on exchanges and are not otherwise regulated, and
as a consequence investors in such contracts do not benefit from regulatory protections. Swap trading is similar to the spot and forward
markets in that banks, broker-dealers or their affiliates generally act as principals in the swap markets, and the Fund is subject to
risks similar to those described in the discussion of the spot and forward markets.
Futures. The Fund
may engage in futures transactions. Futures contracts are usually made on a futures exchange which call for the future delivery of a specified
“commodity” at a specified time and place. These contractual obligations, depending on whether one is a buyer or a seller,
may be satisfied by making an offsetting sale or purchase of an equivalent futures contract on the same exchange prior to the end of trading
in the contract month. Futures prices are highly volatile. Financial instrument and foreign currency futures prices are influenced by,
among other things, interest rates, changes in balances of payments and trade, domestic and international rates of inflation, international
trade restrictions and currency devaluations and revaluations. The Fund's profitability may depend on its ability to analyze price movements
in those markets. Because low margin deposits are normally required, an extremely high degree of leverage is obtainable in futures trading.
A relatively small price movement in a futures contract, consequently, may result in large losses. Thus, like other highly leveraged investments,
any purchase or sale of a futures contract may result in losses which exceed the amount invested.
Most U.S. futures exchanges limit
fluctuations during a single day in futures contract prices by regulations referred to as “daily price fluctuation limits”
or “daily limits.” During a single trading day, no trade may be executed at prices beyond the daily limits, and positions
in a particular contract can neither be taken nor liquidated at a price beyond the applicable limit. Futures prices in various commodities
have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the
Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially
committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures
trades at favorable prices if little trading in the contracts the Fund wishes to trade is taking place. It is also possible that an exchange
or regulatory authority may suspend trading in a particular contract or order that trading in a contract be conducted for liquidation
of open positions only.
Securities Futures Products.
The Fund may enter into transactions involving securities futures products for investment, hedging and risk management. Although
securities futures contracts share some characteristics with options on securities (options contracts), these products are also different
in a number of material ways.
If the Fund purchases an options
contract, it has the right, but not the obligation, to buy or sell a security prior to the expiration date. By contrast, if it takes a
position in a security futures contract (either long or short), it has both the right and the obligation to buy or sell a security at
a future date. The only way the Fund can avoid the obligation incurred by the securities futures contract is to liquidate the position
with an offsetting contract.
The purchaser and seller of a
security futures contract each enter into an agreement to buy or sell a specific quantity of shares in the underlying security. Based
on the movement in prices of the underlying security, a person who holds a position in a security futures contract can gain or lose many
times his or her initial margin deposit. In this respect, the benefits of a security futures contract are similar to the benefits of purchasing
an option, while the risks of entering into a security futures contract are similar to the risks of selling an option.
Both the purchaser and seller
of a security futures contract have daily margin obligations. At least once each day, security futures contracts are marked-to-market
and the increase or decrease in the value of the contract is credited or debited to the buyer and seller. As a result, any time the Fund
has an open position in a futures contract including security futures products, it may be called upon to meet additional margin requirements.
As a consequence of the mark-to-market feature, investors generally feel the effects of gains and losses from such investments immediately.
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Capital Income & Opportunities Fund (Unaudited) |
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In addition, the Fund may not
be able to execute futures contract trades at favorable prices if trading volume is low. It is also possible that an exchange or the CFTC
may suspend trading in a particular contract, order immediate liquidation and settlement of a particular contract or order trading in
a particular contract be conducted for liquidation only.
There are other risks of trading security
futures products that differ from the risks of investing in securities. Some, but not all, are:
1.
Under certain market conditions it may be difficult or impossible to liquidate a position. If the Fund cannot liquidate a position,
it may be impossible to realize a gain from its position or prevent losses from mounting. This could occur, for example, in the event
of a trading halt in the underlying security.
2.
Under certain market conditions, the prices of futures interests and security futures products may not maintain their customary
or anticipated relationship to the price of the underlying security. This could occur, for example, when the market for the primary security
is closed, reporting is delayed or the primary market is illiquid.
3.
The brokerage firm that holds a C the Fund’s futures interests may be required to deliver the Fund’s funds into the
accounts of a foreign broker, exchange or clearing organization to satisfy the margin and mark-to-market requirements (if any) of futures
contracts traded on foreign exchanges. In the event of the bankruptcy of a counter party, the Fund’s funds may not receive the same
protections as they would have in the hands of a domestic broker, exchange or clearing organization.
Forward Trading.
Forward contracts and options thereon, unlike futures contracts, are not traded on exchanges and are not standardized; rather, banks and
dealers act as principals in these markets, negotiating each transaction on an individual basis. Forward and “cash” trading
is substantially unregulated. There is no limitation on daily price movements and speculative position limits are not applicable. The
primary risks associated with entering into such transactions include the risk that there will not be a market for such instruments; that
trading will be disrupted because of unusually high trading volume, government intervention or other factors; that there is counterparty
credit risk; and that the counterparty may not be able to perform on its obligation under the contract. The principals who deal in the
forward markets are not required to continue to make markets in the currencies or commodities they trade and these markets can experience
periods of illiquidity, sometimes of significant duration. There have been periods during which certain participants in these markets
have refused to quote prices for certain currencies or commodities or have quoted prices with an unusually wide spread between the price
at which they were prepared to buy and that at which they were prepared to sell. The imposition of controls by governmental authorities
might also limit such forward trading to less than that which the Investment Adviser would otherwise recommend, to the possible detriment
of the Fund. Market illiquidity, trading disruption, or failure of the counterparty to perform could result in major losses to the Fund.
To the extent possible, the Investment Adviser endeavors to deal only with counterparties that are creditworthy and reputable institutions,
but such counterparties need not be rated investment grade.
Convertible Securities.
Convertible securities are bonds, debentures, notes, preferred stocks or other securities that may be converted into or exchanged for
a specified amount of common stock of the same or different issuer within a particular period of time at a specified price or formula.
A convertible security entitles its holder to receive interest that is generally paid or accrued on debt or a dividend that is paid or
accrued on preferred stock until the convertible security matures or is redeemed, converted or exchanged. Convertible securities have
unique investment characteristics in that they generally (i) have higher yields than common stocks, but lower yields than comparable non-convertible
securities, (ii) are less subject to fluctuation in value than the underlying common stock due to their fixed-income characteristics and
(iii) provide the potential for capital appreciation if the market price of the underlying common stock increases.
The value of a convertible security
is a function of its “investment value” (determined by its yield in comparison with the yields of other securities of comparable
maturity and quality that do not have a conversion privilege) and its “conversion value” (the security's worth, at market
value, if converted into the underlying common stock). The investment value of a convertible security is influenced by changes in interest
rates, with investment value declining as interest rates increase and increasing as interest rates decline. The credit standing of the
issuer and other factors may also have an effect on the convertible security's investment value. The conversion value of a convertible
security is determined by the market price of the underlying common stock. If the conversion value is low relative to the investment value,
the price of the convertible security is governed principally by its investment value. To the extent the market price of the underlying
common stock approaches or exceeds the conversion price, the price of the convertible security will be increasingly influenced by its
conversion value. A convertible security generally will sell at a premium over its conversion value by the extent to which investors place
value on the right to acquire the underlying common stock while holding a fixed-income security. Generally, the amount of the premium
decreases as the convertible security approaches maturity.
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A convertible security
may be subject to redemption at the option of the issuer at a price established in the convertible security's governing instrument.
If a convertible security held by the Fund is called for redemption, the Fund will be required to permit the issuer to redeem the
security, convert it into the underlying common stock or sell it to a third-party. Any of these actions could have an adverse effect
on the Fund's ability to achieve their investment objective.
Catastrophe Bonds. The
Fund expects to invest in catastrophe bonds. Event-linked or catastrophe bonds carry material uncertainties and risk exposures to adverse
conditions. If a trigger event, as defined within the terms of the bond, involves losses or other metrics exceeding a specific magnitude
in the geographic region and time period specified therein, the Fund may lose a portion or all of its investment in such security, including
accrued interest and/or principal invested in such security. Because Catastrophe Bonds cover “catastrophic” events that, if
they occur, will result in significant losses, Catastrophe Bonds carry a high degree of risk of loss and are considered “high yield”
or “junk bonds”. The rating, if any, primarily reflects the rating agency’s calculated probability that a predefined
trigger event will occur. Thus, lower-rated bonds have a greater likelihood of a triggering event occurring and loss to the Fund.
Catastrophe Bonds are also subject
to extension risk. The sponsor of such an investment might have the right to extend the maturity of the bond or note to verify that the
trigger event did occur or to process and audit insurance claims. The typical duration of mandatory and optional extensions of maturity
for reinsurance-related securities currently is between three months to two years. In certain circumstances, the extension may exceed
two years. An extension to verify the potential occurrence of a trigger event will reduce the value of the bond or note due to the uncertainty
of the occurrence of the trigger event and will hinder the Fund’s ability to sell the bond or note. Even if it is determined that
the trigger event did not occur, such an extension will delay the Fund’s receipt of the bond’s or note’s principal and
prevent the reinvestment of such proceeds in other, potentially higher yielding securities.
Quota
Share Notes, Excess of Loss Notes and ILW Notes. The Fund may invest, directly or indirectly, in reinsurance contracts through
shares or notes issued in connection with quota shares and / or may gain exposure to reinsurance contracts through excess of loss notes
and/or industry loss warranties (collectively, “Reinsurance Notes”). As Reinsurance Notes represent an interest, either proportional
or non-proportional, in one or more underlying reinsurance contracts, the Fund has limited transparency into the individual underlying
contract(s) and, therefore, must rely upon the risk assessment and sound underwriting practices of the sponsor. Accordingly, it may be
more difficult to fully evaluate the underlying risk profile of Reinsurance Notes, which may place the Fund’s assets at greater
risk of loss than if the Investment Adviser had more complete information. The lack of transparency may also make the valuation of such
investments more difficult and potentially result in mispricing that could result in losses to the Fund. In Reinsurance Notes, the Fund
cannot lose more than the amount invested.
Reinsurance Industry Risk.
The performance of reinsurance-related securities and the reinsurance industry itself are tied to the occurrence of various triggering
events, including weather, natural disasters (hurricanes, earthquakes, etc.), non-natural large catastrophes and other specified events
causing physical and/or economic loss. If the likelihood and severity of natural and other large disasters increase, the risk of significant
losses to reinsurers may also increase. Typically, one significant triggering event (even in a major metropolitan area) will not result
in financial failure to a reinsurer. However, a series of major triggering events could cause the failure of a reinsurer. Similarly, to
the extent the Fund invests in reinsurance-related securities for which a triggering event occurs, losses associated with such event could
result in losses to the Fund’s investment, and a series of major triggering events affecting a large portion of the reinsurance-related
securities held by the Fund could result in substantial losses to the Fund’s investment. In addition, unexpected events such as
natural disasters or terrorist attacks could lead to government intervention. Political, judicial and legal developments affecting the
reinsurance industry could also create new and expanded theories of liability or regulatory or other requirements; such changes could
have a material adverse effect on the Fund’s investment.
Duration of Reinsurance-Related
Securities. The determination of the level of losses under a reinsurance-related security may be a protracted process and the
realizable value of these reinsurance-related securities, particularly those with respect to which a loss event has occurred, will be
delayed until the related collateral, if any, is released to the Fund and any remaining associated liabilities are finally determined.
Modeling Risk. The
Investment Adviser, in selecting certain investments for the Fund, may consider risk models created in-house or by third parties
that are based, in part, on prior transactions, quantitative analysis and industry knowledge. Risk models are designed to assist
investors, governments and businesses to understand the potential impact of a wide variety of events and allow such parties to
analyze the probability of loss. Risk models are created using historical, scientific and other related data and may incorporate
quantitative methods. Because such risk models are based in part upon historical data and averages, there is no guarantee that such
information will accurately predict the future occurrence or severity of any particular event and thus may fail to accurately
calculate the probability of an event and may underestimate the likelihood of an event. Securities or other investments selected
using such methods may perform differently from the market as a whole or from their expected performance for many reasons, including
factors used in building the analytical framework, the weights placed on each factor, and changing sources of market returns, among
others. In addition, any errors or imperfections in a risk model (quantitative or otherwise), analyses, the data on which they are
based or any technical issues with the construction of the models (including, for example, data problems and/or software or other
implementation issues) could adversely affect the ability of the Investment Adviser to use such analyses or models effectively,
which in turn could adversely affect the Fund’s performance. Risk models are used by the Investment Adviser as one input in
its risk analysis process for Fund investments. There can be no assurance that these methodologies will help the Fund to achieve its
investment objective.
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Capital Income & Opportunities Fund (Unaudited) |
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Unrated Securities Risk.
A portion of the Fund’s assets may be invested in instruments that are unrated or have a credit quality rating below investment
grade by internationally recognized credit rating organizations, such as Moody's and S&P Global Ratings. The market prices of those
securities may fluctuate more than higher-rated securities, and may decline significantly in periods of general economic difficulty. Those
securities generally are considered to have extremely poor prospects of ever attaining any real investment grade standing and to have
a current identifiable vulnerability to default. The issuers or guarantors of those securities are considered to be less likely to have
the capacity to pay interest and repay principal when due in the event of adverse business, financial or economic conditions. Alternatively,
such issuers may be in default or not current in the payment of interest or principal. Adverse changes in economic conditions or developments
regarding the individual issuer are more likely to cause price volatility and weaken the capacity of the issuers of non-investment grade
debt securities to make principal and interest payments than issuers of higher-grade debt securities. An economic downturn affecting an
issuer of non-investment grade debt securities may result in an increased incidence of default. In addition, the market for lower grade
debt securities may be less liquid and less active than for higher grade debt securities.
When-Issued and Forward
Commitment Securities. The purchase of securities on a “when-issued” basis involves a commitment by the Fund to purchase
or sell securities at a future date (typically one or two months later). No income accrues on securities that have been purchased on a
when-issued basis prior to delivery to the Fund. When-issued securities may be sold prior to the settlement date. If the Fund disposes
of the right to acquire a when-issued security prior to its acquisition, it may generate a gain or loss. In addition, there is a risk
that securities purchased on a when-issued basis may not be delivered to the Fund. In such cases, the Fund may incur a loss. One type
of security which the Fund is permitted to acquire on a “when-issued” basis is a forward-settling agency MBS where the pool
is “to-be-announced”, known as a “TBA”. Pursuant to these TBAs, the Fund will agree to purchase, for future delivery,
agency MBS with certain principal and interest terms and certain types of underlying collateral, but where the specific agency MBS to
be delivered will not be identified until shortly before the TBA settlement date. In the case of TBAs there is an additional risk that,
when the actual terms of the underlying mortgage pool become known, the Fund may be exposed to greater risk than anticipated.
Illiquid
Investments. The Fund may invest in securities, bank debt, private funds and companies, other assets and/or third-party managers
and other claims, which are subject to legal or other restrictions on transfer or for which no liquid market exists. The market prices,
if any, for such investments tend to be volatile and may not be readily ascertainable, and the Fund may not be able to execute a buy or
sell order on exchanges at the desired price or to liquidate an open position due to market conditions, including the operation of daily
price fluctuation limits. The sale of restricted and illiquid securities often requires more time and results in higher brokerage charges
or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges
or in the over-the-counter markets. The Fund may not be able to readily dispose of such illiquid investments and, in some cases, may be
contractually prohibited from disposing of such investments for a specified period of time. If trading on an exchange is suspended or
restricted, the Fund may not be able to execute trades or close out positions on terms that the Investment Adviser believes are desirable.
Realization of value from such investments may be difficult in the short-term, or may have to be made at a substantial discount compared
to other freely tradable investments. An investment in the Fund is suitable only for certain sophisticated investors who do not require
immediate liquidity for their investments.
Valuation. Securities which
the Investment Adviser believes are fundamentally undervalued or overvalued may not ultimately be valued in the capital markets at prices
and/or within the time frame the Investment Adviser anticipates. In particular, purchasing securities at prices which the Investment Adviser
believes to be distressed or below fair value is no guarantee that the price of such securities will not decline even further.
Derivative Investments.
The prices of derivative instruments, including futures and options, are highly volatile. Payments made pursuant to swap agreements
may also be highly volatile. Price movements of futures and options contracts and payments pursuant to swap agreements are influenced
by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs
and policies of governments, and national and international political and economic events and policies. The value of futures, options
and swap agreements also depends upon the price of the commodities underlying them. In addition, the Fund’s assets are subject to
the risk of the failure of any of the exchanges on which its positions trade or of its clearinghouses or counterparties.
The Fund may buy or
sell (write) both call options and put options, and when it writes options, it may do so on a “covered” or an
“uncovered” basis. A call option is “covered” when the writer owns securities of the same class and amount
as those to which the call option applies. A put option is covered when the writer has an open short position in securities of the
relevant class and amount. The Fund’s option transactions may be part of a hedging strategy (i.e., offsetting the risk
involved in another securities position) or a form of leverage, in which the Fund has the right to benefit from price movements in a
large number of securities with a small commitment of capital. These activities involve risks that can be substantial, depending on
the circumstances.
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Capital Income & Opportunities Fund (Unaudited) |
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In general, without taking into
account other positions or transactions the Fund may enter into, the principal risks involved in options trading can be described as follows:
When the Fund buys an option, a decrease (or inadequate increase) in the price of the underlying security in the case of a call, or an
increase (or inadequate decrease) in the price of the underlying security in the case of a put, could result in a total loss of the Fund’s
investment in the option (including commissions). The Fund could mitigate those losses by selling short, or buying puts on, the securities
for which it holds call options, or by taking a long position (e.g., by buying the securities or buying calls on them) in securities for
which it holds put options.
When the Fund sells (writes) an
option, the risk can be substantially greater than when it buys an option. The seller of an uncovered call option bears the risk of an
increase in the market price of the underlying security above the exercise price. The risk is theoretically unlimited unless the option
is “covered”. If it is covered, the Fund would forego the opportunity for profit on the underlying security should the market
price of the security rise above the exercise price. If the price of the underlying security were to drop below the exercise price, the
premium received on the option (after transaction costs) would provide profit that would reduce or offset any loss the Fund might suffer
as a result of owning the security.
Swaps and certain options and
other customized instruments are subject to the risk of non-performance by the swap counterparty, including risks relating to the creditworthiness
of the swap counterparty, market risk, liquidity risk and operations risk.
Hedging Transactions.
The Fund may utilize financial instruments, both for investment purposes and for risk management purposes in order to (i) protect against
possible changes in the market value of the Fund’s investment portfolio resulting from fluctuations in the securities markets and
changes in interest rates; (ii) protect the Fund’s unrealized gains in the value of the Fund’s investment portfolio; (iii)
facilitate the sale of any such investments; (iv) enhance or preserve returns, spreads or gains on any investment in the Fund’s
portfolio; (v) hedge the interest rate or currency exchange rate on any of the Fund’s liabilities or assets; (vi) protect against
any increase in the price of any securities the Fund anticipates purchasing at a later date or (vii) for any other reason that the Investment
Adviser deems appropriate.
The success of the Fund’s
hedging strategy will depend, in part, upon the Investment Adviser’s ability to correctly assess the degree of correlation between
the performance of the instruments used in the hedging strategy and the performance of the portfolio investments being hedged. Since the
characteristics of many securities change as markets change or time passes, the success of the Fund’s hedging strategy will also
be subject to the Investment Adviser’s ability to continually recalculate, readjust and execute hedges in an efficient and timely
manner. While the Fund may enter into hedging transactions to seek to reduce risk, such transactions may result in a poorer overall performance
for the Fund than if it had not engaged in such hedging transactions. For a variety of reasons, the Investment Adviser may not seek to
establish a perfect correlation between the hedging instruments utilized and the portfolio holdings being hedged. Such an imperfect correlation
may prevent the Fund from achieving the intended hedge or expose the Fund to risk of loss. The Investment Adviser may not hedge against
a particular risk because it does not regard the probability of the risk occurring to be sufficiently high as to justify the cost of the
hedge, or because it does not foresee the occurrence of the risk. The successful utilization of hedging and risk management transactions
requires skills complementary to those needed in the selection of the Fund’s portfolio holdings.
Closed-End
Funds (the “CEFs”). The Fund does invest globally in CEFs that are operated by a diversified group of U.S. and non-U.S.
closed-end fund managers (“CEF Managers”). To the extent that such CEFs invest in financial instruments similar to those invested
in by the Fund, the risk factors that are set forth herein with respect to such instruments will also apply to the CEFs in which the Fund
invests, and thus indirectly apply to the Fund.
Risks Relating to Underlying
CEF Managers. CEF Managers are subject to various risks, including, but not limited to, operational risks such as the ability
to provide the adequate operating environment for a CEF such as back office functions, trade processing, accounting, administration, risk
management, valuation services and reporting. CEF Managers may also face competition from other investment managers, which may be more
established and have larger capital bases and have larger numbers of qualified management and technical personnel. Additionally, certain
CEF Managers may pursue over time different investment strategies which may limit the Fund’s ability to assess a CEF Manager’s
ability to achieve its longterm investment objective. Furthermore, a CEF Manager may face additional risks as the assets of a CEF increase
over time. In such instances, a CEF Manager may not be able to handle properly the operating volumes of a CEF with an increased capital
basis. Also, a CEF Manager may be unable to manage a CEF’s increased assets effectively because it may be unable to maintain such
CEF’s current investment strategy or find the types of investments better suited for a CEF with an increased capital basis.
Independent CEF
Managers. CEF Managers generally invest wholly independently of one another and may at times hold economically offsetting
positions. To the extent that such CEF Managers do, in fact, hold offsetting positions, the Fund, considered as a whole, may not
achieve any gains or losses despite incurring investment expenses, including, without limitation, performance-based compensation. In
addition, there may often be times when a particular CEF Manager may receive performance-based compensation in respect of the
Fund’s investments for a period even though the Fund’s overall portfolio depreciated during such period. Some CEF
Managers also may compete with each other from time to time for the same positions in certain markets. Such competition may
adversely affect the performance of CEFs managed by such CEF Managers. In addition, although the Investment Adviser receives
detailed information from each CEF Manager regarding its investment performance and investment strategy, the Investment Adviser may
have little or no means of independently verifying this information. A CEF Manager may use proprietary investment strategies that
are not fully disclosed to the Investment Adviser, which may involve risks that are not anticipated by the Investment Adviser.
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Misconduct or Bad Judgment
of CEF Managers and Their Service Providers. Misconduct by employees of CEF Managers or by third-party service providers of such
CEFs could cause losses to the Fund. Employee misconduct may include binding a CEF to transactions that exceed authorized limits or present
unacceptable risks and unauthorized trading activities or concealing unsuccessful trading activities (which, in either case, may result
in unknown and unmanaged risks or losses) or other fraud. Losses could also result from actions by third-party service providers, including,
without limitation, failing to recognize trades and misappropriating assets. Although the Investment Adviser will seek to monitor CEF
Managers and their CEFs, such measures may not be effective in all cases in detecting fraud or misconduct.
In addition, the Fund will still
face the risk of CEF Manager misrepresentation, material strategy alteration or poor judgment. Although CEF Managers are required to adhere
to the offering documents for the respective funds, the Investment Adviser cannot control the investments made by a CEF Manager. The Investment
Adviser’s sole remedy in the event of a deviation by a CEF Manager from its offering documents (such as in the case of “style
drift”) may be to cause the Fund to withdraw capital from a CEF Manager’s fund, subject to any applicable withdrawal restrictions.
Style Drift. The
Investment Adviser relies primarily on information provided by CEF Managers in assessing a CEF Manager’s defined investment strategy,
the underlying risks of such a strategy and, ultimately, determining whether, and to what extent, it will allocate the Fund’s assets
to particular CEF Managers. “Style drift” is the risk that a CEF Manager may deviate from his or her stated or expected investment
strategy. Style drift can occur abruptly if a CEF Manager believes it has identified an investment opportunity for higher returns from
a different approach (and the manager disposes of an interest quickly to pursue this approach) or it can occur gradually, such as if,
for instance, a “value”-oriented CEF Manager gradually increases a CEF’s investments in “growth” stocks.
Style drift can also occur if a CEF Manager focuses on factors it had deemed immaterial in its offering documents --such as particular
statistical information or returns relative to certain benchmarks. Additionally, style drift may result in a manager pursuing investment
opportunities in an area in which it has a competitive disadvantage or is outside the manager’s area of expertise (e.g., a large-cap
manager focusing on small-cap investment opportunities). Moreover, style drift poses a particular risk for multiple-manager structures
since, as a consequence, the Fund may be exposed to particular markets or strategies to a greater extent than was anticipated by the Investment
Adviser when it assessed the portfolio’s risk-return characteristics and allocated assets to a CEF Manager (and which may, in turn,
result in overlapping investment strategies among various CEF Managers).
Special Purpose
Acquisition Companies. A SPAC is a publicly traded company formed for the purpose of raising capital through an initial
public offering to fund the acquisition, through a merger, capital stock exchange, asset acquisition or other similar business
combination, of one or more operating businesses that are typically not publicly-listed. Following the acquisition of a target
company, a SPAC’s management team may exercise control over the management of the combined company in an effort to increase
its value. Often now, though, management of the target company will continue to manage the now publicly-traded business subsequent
to completion of its business combination with the SPAC. Capital raised through the initial public offering of securities of a SPAC
is typically placed into a trust account until acquired business combination is completed or a predetermined period of time
(typically 24 months) elapses. Investors in a SPAC would receive a return on their investment in the event that a target company is
acquired and the combined publicly-traded company’s shares trade above the SPAC’s initial public offering
(“IPO”) price, or alternatively, the market price at which an investor acquired a SPAC’s shares subsequent
to its IPO. In the event that a SPAC is unable to locate and acquire a target business by the timeframe established at the time of
its IPO, the SPAC would be forced to liquidate its assets, which may result in losses due to the expenses and liabilities of the
SPAC, to the extent third-parties are permitted to bring claims against IPO proceeds held in the SPAC’s trust account.
Investors in a SPAC are subject to the risk that, among other things, (i) such SPAC may not be able to complete a qualifying
business combination by the deadline established at the time of its IPO, (ii) assets in the trust account may become subject to
third-party claims against such SPAC, which may reduce the per share liquidation value received by the investors in the SPAC in the
event it fails to complete a business combination within the required time period, (iii) such SPAC may be exempt from the rules
promulgated by the SEC to protect investors in “blank check” companies, such as Rule 419 promulgated under the
Securities Act of 1933, as amended (the “Securities Act”), so that investors in such SPAC may not be afforded the
benefits or protections of those rules, (iv) such SPAC will likely only complete one business combination, which will cause its
returns and future prospects to be solely dependent on the performance of a single acquired business, (v) the value of any target
business, including its stock price as a public company, may decrease following its acquisition by such SPAC, (vi) the value of the
funds invested and held in the trust account may decline, (vii) the inability to redeem due to the failure to hold the securities in
the SPAC on the applicable record date to do so, and (viii) if the SPAC is unable to consummate a business combination, public
stockholders will be forced to wait until the deadline before liquidating distributions are made. The Fund may invest in a SPAC
that, at the time of investment, has not selected or approached any prospective target businesses with respect to a business
combination. In such circumstances, there may be limited basis for the Fund to evaluate the possible merits or risks of such
SPAC’s investment in any particular target business. In addition, to the extent that a SPAC completes a business combination,
it may be affected by numerous risks inherent in the business operations of the acquired company or companies. For these and
additional reasons, investments in SPACs are speculative and involve a high degree of risk.
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Capital Income & Opportunities Fund (Unaudited)
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Further, SPACs are structured
as publicly-traded blank check companies. Accordingly, the Fund will also be subject to risks that arise from investments in vehicles
that are managed by independent third parties, as well as the risk that the underlying business combinations being pursued by the SPACs
in which the Fund invests will not be consummated or will not be successful.
Founder’s Equity
and Sponsor Vehicle Investments. The Fund may invest in founder’s equity, consisting of founder’s shares and/or private
placement warrants issued by a SPAC in connection with its formation and IPO, either directly or indirectly through equity interests in
a related sponsor vehicle which holds such founders equity instruments. Founder’s shares are similar to the shares of stock issued
by a SPAC in its IPO, but have no right to receive any proceeds from a SPAC’s trust account pursuant to redemption or liquidation
of the SPAC. Similarly, private placement warrants have terms that mirror those of the warrants issued by a SPAC in connection with its
IPO, but expire worthless if the SPAC fails to consummate a qualifying business combination within the required time period. As a result,
an investment in founder’s equity of a SPAC poses a risk of total loss of investment in the event the SPAC is unsuccessful in completing
a business combination. In addition, the Fund may be required to agree to certain terms, including with respect to the acquisition, holding
and/or voting of its liquid position in a SPAC, in order to receive exposure to a SPAC’s founder’s equity. Any founders shares
distributed to the Fund will also typically be subject to a lock-up period subsequent to completion of a business combination, which will
restrict the Fund’s ability to dispose of such shares for up to one year after a SPAC completes its business combination. Similar
to SPAC PIPE shares, founder’s shares, private placement warrants, and any shares issued upon exercise of such private placement
warrants, will also be restricted securities, which further limit their liquidity absent registration under the Securities Act.
Risks Relating to Investments
In Exchange Traded Funds/Trusts that invest in cryptocurrencies or similar digital assets that utilize blockchain technology.
Consistent with the Fund’s closed-end fund investment approach, where the Fund seeks to capitalize on the difference between a closed-end
fund’s aggregate asset value and its net asset value, the Fund has and may in the future invest in exchange traded investment funds/trusts
that invest in cryptocurrencies or similar assets that utilize blockchain technology (such as, the Grayscale Bitcoin Trust) and the Fund
may hedge such investments through the use of other securities (including other exchange trade funds that own virtual currencies) and
derivatives of virtual currencies, in each case, to the extent permitted by, and in accordance with, any future law, regulation, guidance,
or exemptive relief provided by the SEC or its staff or other regulatory agency or body having jurisdiction. The Fund expects that any
such investments are likely to constitute only a small proportion of its portfolio.
The following Risk Factors relate to
investment held by exchange traded investment funds/trusts that invest in cryptocurrencies or similar assets:
Virtual currencies are relatively
new, evolving products based upon new and evolving technologies. An investment in any virtual currency is subject to a variety of risks,
including technological, security and regulatory risks as well as associated uncertainties over the future existence, support and development
of such virtual currency. Virtual currencies may also experience unusual volatility. Any such investment is highly speculative and subject
to the risk that the entirety or a material portion of such investment or its value may be lost. Virtual currency derivatives, such as
futures or options on futures on a virtual currency, are also a relatively new asset class, and trading in these instruments, like trading
in the virtual currencies themselves, carries a high level of risk. Investments in virtual currency derivatives, like direct investments
in virtual currencies, should be considered speculative and may to result in a total loss of capital. Virtual currencies are not legal
tender, but a type of highly decentralized electronic commodity that is not typically backed by any intermediating authority, such as
a central bank or a national, supra-national or quasi- national organization, or any hard assets, human capital, or other form of credit.
Rather, their value is based on (and fluctuates frequently according to) supply and demand factors, the number of merchants that accept
the currency, and the value that various market participants place on it through their mutual agreement, barter or transactions.
The creation of new units of
the virtual currency, as well recordation of ownership and transactions in the currency, is typically driven by an algorithmic system
distributed over a very large computer network with many participants. Typically, an individual virtual currency unit exists as a record
in a digital file, based upon a mathematical proof, and is comprised of a public key that encrypts a transaction value and a private key
that decrypts it. Virtual currencies allow users to send payments within a decentralized, peer-to-peer network, and do not require a central
clearinghouse or financial institution clearing transactions.
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Capital Income & Opportunities Fund (Unaudited)
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April 30, 2024 (Unaudited)
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Cybersecurity Risk.
Because of the cryptographic characteristics of virtual currency networks and their large number of users, direct attacks on the integrity
of a virtual currency network (such as to change ownership, the number of units of the virtual currency in circulation, or the history
of transactions) are generally considered impractical, but new technological developments or unforeseen technical flaws in a virtual currency’s
algorithm could create opportunities for disruption. If the basic algorithm of a virtual currency were compromised, the value of the virtual
currency itself, and derivatives thereupon, could be severely affected. Note, also, that the electronic exchanges and third-party custodians
that facilitate trading in virtual currencies may experience, and have experienced, cybersecurity incidents of their own. As described
below, depending upon the electronic custody arrangements used by an exchange, a compromise of its systems can result in an irreversible
loss of virtual currency for users even if the algorithm of the virtual currency itself remains technically sound. Hackers or malicious
actors may launch attacks to steal, compromise, or secure virtual currencies, such as by attacking virtual currency network source code,
exchange servers, third-party platforms, cold and hot storage locations or software, or virtual currency transaction history, or by other
means. Depending upon the scale of such an incident, it could have systemic effects upon the value and liquidity of a virtual currency.
Although virtual currency derivatives may not be directly exposed to this latter so-called “wallet risk”, major disruptions
to one or more virtual currency exchanges could have valuation effects on a virtual currency that would negatively impact the value of
its derivatives in turn.
Risks Associated With “Digital
Wallets”. Exchange traded funds and trusts may use digital currency “wallets” (a “virtual currency wallet”
being a programmatic record system that contains virtual currency units) provided by exchanges or other third-parties to hold all or a
portion of such exchange traded fund’s and trust’s virtual currencies. Such funds may be unable to conduct detailed information
technology diligence on such third-party wallet providers and, as a result, may not be aware of all security vulnerabilities and risks.
Certain third-party wallet providers might not indemnify the exchange traded fund or trust against any losses of virtual currencies. Certain
virtual currencies are intended to be controllable only by the possessor of both the unique public and private keys relating to the local
or online digital wallet in which such virtual currencies are held. If private keys relating to such exchange traded fund’s or trust’s
virtual currency holdings are lost, destroyed or otherwise compromised and such private keys are not capable of being restored by a virtual
currency network, such exchange traded fund or trust may be unable to access the related virtual currencies. Further, virtual currencies
are typically transferred digitally, through electronic media not controlled or regulated by any entity. If a virtual currency transfers
to the wrong destination, the exchange traded fund or trust may be unable to recover the virtual currency or its value.
Price Volatility Risks.
A principal risk in trading virtual currencies and virtual currency derivatives is the rapid fluctuation of their market price. Virtual
currencies experience significant price volatility, which may result in substantial changes in the value of a derivative contract on the
underlying virtual commodity. The price of virtual currencies may be affected generally by a wide variety of complex and difficult to
predict factors such as virtual currency supply and demand; rewards and transaction fees for the recording of transactions; availability
and access to virtual currency service providers (such as payment processors), exchanges or other virtual currency users and market participants;
perceived or actual virtual currency network or virtual currency security vulnerability; inflation levels; fiscal policy; interest rates;
and political, natural and economic events. Additionally, the highly distributed nature of virtual currency trading can complicate efficient
price discovery for a virtual currency in the marketplace, an effect compounded by the fact that the distributed network responsible for
processing virtual currency transactions may have a relatively limited transaction volume.
Fluctuations in the underlying
virtual currency’s value between the time that a trade is placed for a virtual currency futures contract and the time that an attempt
is made to it liquidate it will affect the value of a futures contract and the potential profit and losses related to it.
Like futures generally, virtual
currency futures are also traded using initial margin, which permits positions to be established in these instruments whose value exceeds
the initial investment. Because the initial margin of a virtual currency derivative may be set as a percentage of the value of the contract,
margin requirements for a long position may significantly increase if price of the contract rises. Additionally, due to the leverage effect
provided by initial margin, unfavorable movements in the price of a virtual currency future can produce substantial losses compared to
the size of the size of the initial investment. These risks are enhanced in the context of increased price volatility. There is no guarantee
that the exchange traded fund or trust will be able to achieve a better than average market price for virtual currencies in owns through
such exchange traded fund or trust or virtual currency derivatives or will purchase such assets at the most favorable price available.
Virtual Currencies are Speculative
Investments. To date, speculators and investors seeking to profit from either short- or long-term holding of virtual
currencies have driven much of the demand for these products. Virtual currencies typically have a very limited commercial and retail
market application, thus contributing to price volatility that could adversely affect an investment. Virtual currencies are not yet
widely adopted as a means of payment for goods and services, and banks and other established financial institutions may refuse to
process funds for virtual currency transactions, process wire transfers to or from their exchanges, as well as virtual
currency-related companies or service providers, or maintain accounts for persons or entities transacting in virtual currencies.
Accordingly, investments in virtual currencies and virtual currency derivatives should be considered highly speculative.
Semi-Annual Report | April 30, 2024 | 19 |
Saba
Capital Income & Opportunities Fund (Unaudited)
|
Material
Risk Factors
|
| |
April 30, 2024 (Unaudited)
|
Risk
of Competition. As purely algorithmic constructs, virtual currencies present a relatively low barrier to entry for new financial
products, and competitive products for a particular virtual currency may readily develop and vie for market share.
Fees Associated With Virtual Currency
Networks. Virtual currency network participants may charge a fee for effectuating certain essential services, such as transaction
recording. These fees are sensitive to prevailing market conditions and may increase during periods of high volume.
Risks Associated With Virtual
Currency Exchanges. The virtual currency exchanges on which virtual currencies trade are relatively new and largely unregulated
and may therefore be more exposed to theft, fraud and failure than established, regulated exchanges for other products. Liquidity for
a virtual currency may be inconsistent or limited, particularly during periods of market stress. Virtual currency exchanges may impose
daily, weekly, monthly or customer-specific transaction or distribution limits or suspend redemptions entirely, rendering the exchange
of virtual currency difficult or impossible. Virtual currency exchanges are appealing targets for cybercrime, hackers and malware. It
is possible that any such exchange may cease operations due to theft, fraud, security breach, liquidity issues, anti-money laundering
issues or government investigation. While the virtual currency spot trading market is relatively unregulated, investors should note that
both U.S.-domestic and foreign regulators have applied serious sanctions, including trading bans, to virtual currency exchanges that were
found derelict under applicable laws. In addition, banks may refuse to process wire transfers to or from exchanges. Over the past several
years, many exchanges have, indeed, closed due to fraud, theft, government or regulatory involvement, failure or security breaches, or
banking issues. The exchange traded fund and trust may be unable to replace missing virtual currencies or seek reimbursement for any theft
of virtual currencies.
While virtual currencies have
been determined to be commodities under the U.S. Commodity Exchange Act, as amended, the CFTC’s regulatory oversight authority over
commodity cash markets is limited. The CFTC maintains general anti-fraud and manipulation enforcement authority over virtual currency
cash markets as a commodity in interstate commerce. However, recourse for recovery of any fiat currency lost as a result of participating
in a virtual currency exchange may be limited in practice due to technological considerations. The spot and underlying markets for virtual
currency are relatively opaque systems in which the ultimate beneficial owners of units of virtual currency may be difficult or impossible
to identify, complicating antitheft and antifraud measures by virtual currency exchanges or regulators.
Risks Associated With Virtual
Currency Derivatives Exchanges. Futures exchanges subject to U.S. jurisdiction that trade in virtual currency derivatives are
responsible for regulating their activities with CFTC oversight; certain exchanges have also contracted with the NFA to implement monitoring
and rule compliance in furtherance of the CFTC’s rules. Exchange-traded virtual currency derivatives that are subject to CFTC jurisdiction
mitigate some of the risks of direct participation in virtual currency trading by interposing regulated facilities and contracts between
traders and the underlying virtual currency market. Nevertheless, to the extent that disruptions in the exchanges of an underlying virtual
currency affect the value of that commodity, derivatives in that virtual currency may be negatively impacted as well.
Futures commission merchants
may impose enhanced trading restrictions upon virtual currency derivatives due to their novel and highly speculative nature. Virtual currency
derivatives contracts may be subject to additional margin, dynamic price limits, position limits, or prohibitions on trading strategies
such as certain forms of short selling or give-up/give-in transactions. Designated contract markets for virtual currency derivatives may
impose trading halts that may restrict a market participant’s ability to exit a position during a period of high volatility. Such
features could affect the ability of the Investment Adviser to expand or exit a position in virtual currency derivatives at the most financially
opportune moment, potentially resulting in losses to the Fund.
Additional Regulatory Considerations.
The regulatory schemes affecting virtual currencies may not be fully developed. Government action or regulation may directly or indirectly
affect a virtual currency market or network, influencing virtual currency use or prices. It is possible that any jurisdiction may, in
the near or distant future, adopt laws, regulations, policies or rules directly or indirectly affecting a virtual currency network, generally,
or restricting the right to acquire, own, hold, sell, convert, trade, use or exchange virtual currencies. Like virtual currencies themselves,
virtual currency derivatives exist within an evolving regulatory landscape and could also become subject to new regulations with valuation
consequences for these instruments. Such changes could be difficult or impossible to predict.
Additional Tax Considerations.
Many significant aspects of the tax treatment of investments in cryptocurrency are uncertain, and a direct or indirect investment in cryptocurrency
may produce income that if directly earned by a regulated investment company like the Fund, would be treated as non-qualifying income
for purposes of the income test applicable to regulated investment companies. Accordingly, to the extent the Fund invests in cryptocurrencies
futures, or investment vehicles that invest in cryptocurrencies, it will do so through a subsidiary.
Saba
Capital Income & Opportunities Fund (Unaudited)
|
Material
Risk Factors
|
| |
April 30, 2024 (Unaudited)
|
In 2014, the IRS released a notice
(the “Notice”) discussing certain aspects of “convertible virtual currency” (that is, digital assets that have
an equivalent value in fiat currency or that act as a substitute for fiat currency) for U.S. federal income tax purposes and, in particular,
stating that such a digital asset (i) is “property,” (ii) is not “currency” for purposes of the rules relating
to foreign currency gain or loss and (iii) may be held as a capital asset. In 2019, the IRS released a revenue ruling and a set of “Frequently
Asked Questions” (the “Ruling & FAQs”) that provide some additional guidance. However, the Notice and the Ruling
& FAQs do not address other significant aspects of the U.S. federal income tax treatment of digital assets.
Other tax issues include the income
and withholding taxation of incidental rights received through a fork in the blockchain, airdrops offered to bitcoin holders and other
similar events, including situations where such rights are disclaimed, as is expected with respect to Grayscale Bitcoin Trust’s
intended treatment of such events. There is limited guidance from the IRS with respect to the treatment of bitcoin for tax purposes. In
any event, there can be no assurance that the IRS will not alter its positions or otherwise provide further guidance, potentially retroactive
in effect, with respect to digital assets in the future or that a court would uphold the treatment set forth in the Notice and the Ruling
& FAQs or in other guidance.
It is unclear what additional
guidance on the treatment of digital assets for U.S. federal, state and local income tax purposes may be issued or when such guidance
may be issued. Because of the evolving nature of digital assets, it is not possible to predict potential future developments that may
arise with respect to digital assets. Any future guidance on the treatment of digital assets for federal, state or local tax purposes
could result in adverse tax consequences for the Fund or the subsidiary and could have an adverse effect on the value of bitcoin, ether
and other cryptocurrencies.
The
foregoing list of material risk factors does not purport to be a complete enumeration or explanation of the risks involved in an investment
in the Fund. The Fund opportunistically implements strategies it believes from time to time will be best suited to prevailing market conditions
and to the Investment Adviser’s investment experience. Such strategies or approaches may involve higher levels of risk than the
ones discussed herein. There can be no assurance that the Investment Adviser will be successful in applying any strategy or discretionary
approach to the Fund’s investments.
Investors and prospective investors
should read this entire risk disclosure as well as the more complete list of Fund Risk Factors and other materials set forth on the Fund’s
website (https://www.sabacef.com), the definitive proxy describing the Fund’s investment program (as amended), and the Fund’s
Prospectus. Investors and prospective investors should consult with their own advisors before deciding whether to invest in the Fund.
In addition, prospective and current investors should note that the Prospectus is and may become outdated and/or inaccurate as the Fund’s
investment program may develop and change over time. An investment in the Fund may be subject to additional and different risk factors
that are not outlined above.
Semi-Annual Report | April 30, 2024 | 21 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| | |
Principal Amount | | |
Fair Value | |
| CORPORATE BONDS - 10.69% | |
| | |
| |
| Communications - 3.02% | |
| | |
| |
| | |
| | |
| |
| Altice France Holding SA, 5.500%, 10/15/2029 | |
$ | 2,644,000 | | |
$ | 1,745,040 | |
| Charter Communications Operating Capital, 3.500%, 03/01/2042 | |
| 5,000,000 | | |
| 3,171,970 | |
| CommScope Inc, 8.250%, 03/01/2027 | |
| 951,000 | | |
| 366,135 | |
| CSC Holdings LLC, 3.375%, 02/15/2031 | |
| 559,000 | | |
| 345,182 | |
| DISH Network Corp., 11.750%, 11/15/2027 | |
| 2,570,000 | | |
| 2,600,520 | |
| Level 3 Financing Inc., 10.500%, 05/15/2030 | |
| 1,556,000 | | |
| 1,563,780 | |
| Level 3 Financing Inc., 3.875%, 10/15/2030 | |
| 666,000 | | |
| 369,630 | |
| | |
| | | |
| 10,162,257 | |
| Consumer Discretionary - 1.82% | |
| | | |
| | |
| | |
| | | |
| | |
| Adtalem Global Education, Inc., 5.500%, 03/01/2028(a) | |
| 4,195,000 | | |
| 3,985,250 | |
| RR Donnelley & Sons Co., 8.250%, 07/01/2027(a) | |
| 333,000 | | |
| 333,083 | |
| RR Donnelley & Sons Co., 9.750%, 07/31/2028(a) | |
| 1,397,000 | | |
| 1,522,730 | |
| Selina Hospitality PLC, 6.000%, 11/01/2029(a) | |
| 4,907,713 | | |
| 276,304 | |
| | |
| | | |
| 6,117,367 | |
| Consumer Staples - 3.11% | |
| | | |
| | |
| | |
| | | |
| | |
| Altria Group, Inc., 4.250%, 08/09/2042 | |
| 10,614,000 | | |
| 8,309,085 | |
| BAT Capital Corp., 3.7340%, 09/25/2040 | |
| 3,000,000 | | |
| 2,157,994 | |
| | |
| | | |
| 10,467,079 | |
| Financials - 1.48% | |
| | | |
| | |
| | |
| | | |
| | |
| Morgan Stanley, 0.000% (Variable Rate), 04/30/2030(h) | |
| 25,000 | | |
| 15,293 | |
| Morgan Stanley, 0.000% (Variable Rate), 07/31/2030(h) | |
| 80,000 | | |
| 53,788 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/30/2030(h) | |
| 80,000 | | |
| 48,229 | |
| Morgan Stanley, 0.000% (Variable Rate), 09/26/2033(h) | |
| 428,000 | | |
| 263,241 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/31/2033(h) | |
| 266,000 | | |
| 141,328 | |
| Morgan Stanley, 0.000% (Variable Rate), 02/28/2034(h) | |
| 478,000 | | |
| 260,407 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2034(h) | |
| 302,000 | | |
| 166,889 | |
| Morgan Stanley, 0.000% (Variable Rate), 04/30/2034(h) | |
| 66,000 | | |
| 35,516 | |
| Morgan Stanley, 0.000% (Variable Rate), 05/30/2034(h) | |
| 89,000 | | |
| 51,223 | |
| Morgan Stanley, 0.000% (Variable Rate), 06/30/2034(h) | |
| 460,000 | | |
| 263,581 | |
| Morgan Stanley, 0.000% (Variable Rate), 07/31/2034(h) | |
| 25,000 | | |
| 14,376 | |
| Morgan Stanley, 0.000% (Variable Rate), 08/29/2034(h) | |
| 171,000 | | |
| 95,909 | |
| Morgan Stanley, 0.000% (Variable Rate), 09/30/2034(h) | |
| 319,000 | | |
| 177,593 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/08/2034(h) | |
| 32,000 | | |
| 17,549 | |
| Morgan Stanley, 0.000% (Variable Rate), 10/31/2034(h) | |
| 641,000 | | |
| 353,537 | |
| Morgan Stanley, 0.000% (Variable Rate), 11/28/2034(h) | |
| 256,000 | | |
| 128,872 | |
| Morgan Stanley, 0.000% (Variable Rate), 01/30/2035(h) | |
| 244,000 | | |
| 132,193 | |
| Morgan Stanley, 0.000% (Variable Rate), 02/27/2035(h) | |
| 36,000 | | |
| 19,191 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2035(h) | |
| 641,000 | | |
| 329,381 | |
| Morgan Stanley, 0.000% (Variable Rate), 02/29/2036(h) | |
| 61,000 | | |
| 32,509 | |
| Morgan Stanley, 0.000% (Variable Rate), 04/28/2036(h) | |
| 10,000 | | |
| 5,260 | |
| Morgan Stanley, 0.000% (Variable Rate), 06/30/2036(h) | |
| 40,000 | | |
| 20,888 | |
| Morgan Stanley, 0.000% (Variable Rate), 08/31/2036(h) | |
| 2,289,000 | | |
| 1,352,753 | |
| Morgan Stanley, 0.000% (Variable Rate), 09/30/2036(h) | |
| 40,000 | | |
| 21,955 | |
| Morgan Stanley, 0.000% (Variable Rate), 11/29/2036(h) | |
| 103,000 | | |
| 56,984 | |
| Morgan Stanley, 0.000% (Variable Rate), 01/31/2037(h) | |
| 224,000 | | |
| 122,949 | |
| Morgan Stanley, 0.000% (Variable Rate), 03/31/2037(h) | |
| 747,000 | | |
| 438,953 | |
| Morgan Stanley, 0.000% (Variable Rate), 04/28/2037(h) | |
| 40,000 | | |
| 24,781 | |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| | |
Principal Amount | | |
Fair Value | |
| Morgan Stanley, 0.000% (Variable Rate), 05/31/2037(h) | |
$ | 25,000 | | |
$ | 13,751 | |
| Morgan Stanley, 0.000% (Variable Rate), 08/31/2037(h) | |
| 58,000 | | |
| 30,222 | |
| UBS Group AG, 0.000% (Variable Rate), 07/31/2030(h) | |
| 10,000 | | |
| 6,572 | |
| UBS Group AG, 0.000% (Variable Rate), 10/30/2030(h) | |
| 420,000 | | |
| 276,616 | |
| | |
| | | |
| 4,972,289 | |
| Materials - 0.26% | |
| | | |
| | |
| | |
| | | |
| | |
| Cleveland-Cliffs Steel Corp., 7.000%, 03/15/2027 | |
| 880,000 | | |
| 877,800 | |
| | |
| | | |
| | |
Real Estate - 0.83% | |
| | | |
| | |
| | |
| | | |
| | |
| China Evergrande Group, 8.250%, 03/23/2022(b)(e) | |
| 13,307,000 | | |
| 199,605 | |
| China Evergrande Group, 9.500%, 04/11/2022(b)(e) | |
| 2,253,000 | | |
| 33,795 | |
| China Evergrande Group, 11.500%, 01/22/2023(b)(e) | |
| 6,500,000 | | |
| 97,500 | |
| China Evergrande Group, 10.000%, 04/11/2023(b)(e) | |
| 7,018,000 | | |
| 105,270 | |
| China Evergrande Group, 7.500%, 06/28/2023(b)(e) | |
| 15,065,000 | | |
| 225,975 | |
| China Evergrande Group, 12.000%, 01/22/2024(b)(e) | |
| 5,701,000 | | |
| 85,515 | |
| China Evergrande Group, 9.500%, 03/29/2024(b)(e) | |
| 10,811,000 | | |
| 162,165 | |
| China Evergrande Group, 10.500%, 04/11/2024(b)(e) | |
| 17,000,000 | | |
| 255,000 | |
| China Evergrande Group, 8.750%, 06/28/2025(b)(e) | |
| 108,930,000 | | |
| 1,633,950 | |
| | |
| | | |
| 2,798,775 | |
| Technology - 0.17% | |
| | | |
| | |
| | |
| | | |
| | |
| RRD Parent Inc., 10.000%, 10/15/2031(a) | |
| 202,641 | | |
| 353,526 | |
| UNISYS Corp., 6.875%, 11/01/2027(a) | |
| 249,000 | | |
| 217,253 | |
| | |
| | | |
| 570,779 | |
| | |
| | | |
| | |
| TOTAL CORPORATE BONDS | |
| | | |
| 35,966,346 | |
| (Cost $56,159,410) | |
| | | |
| | |
| | |
| | | |
| | |
| | |
| Principal Amount | | |
| Fair Value | |
| SENIOR LOANS - 14.61% | |
| | | |
| | |
| Communication Services - 3.60% | |
| | | |
| | |
| | |
| | | |
| | |
| AMC Entertainment Holdings Inc., Term B-1 Loan, TSFR1M + 3.115%, 04/22/2026 | |
| 5,994,751 | | |
| 5,219,539 | |
| Level 3 Financing Inc., Term B-1 Loan, TSFR1M + 6.560%, 04/15/2029 | |
| 7,000,000 | | |
| 6,896,260 | |
| | |
| | | |
| 12,115,799 | |
| Consumer Discretionary - 6.54% | |
| | | |
| | |
| | |
| | | |
| | |
| 24 Hour Fitness Worldwide, Inc., First Lien Term Loan, TSFR3M + 5.000%, 12/29/2025(b) | |
| 295,667 | | |
| 146,848 | |
| Chinos Intermediate 2 LLC, Term Loan, TSFR3M + 8.000%, 09/10/2027 | |
| 8,385,014 | | |
| 8,429,581 | |
| ClubCorp Holdings Inc., Term Loan, TSFR1M + 5.000%, 09/18/2026 | |
| 6,118,029 | | |
| 6,139,441 | |
| NPC International, Inc., Second Lien Term Loan, 3M US L + 7.500%, 04/18/2025(i)(c) | |
| 605,000 | | |
| - | |
| The GEO Group, Inc., Term B Loan, TSFR1M + 5.250%, 04/18/2029 | |
| 220,000 | | |
| 223,323 | |
| Wok Holdings Inc., First Lien Term Loan, TSFR3M + 6.500%, 03/01/2026 | |
| 7,124,223 | | |
| 7,064,130 | |
| | |
| | | |
| 22,003,323 | |
Semi-Annual Report | April 30, 2024 | 23 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| | |
Principal Amount | | |
Fair Value | |
| Consumer Staples - 0.40% | |
| | |
| |
| | |
| | |
| |
| Moran Foods LLC, First Lien Term Loan, TSFR3M + 7.250%, 06/30/2026 | |
$ | 927,417 | | |
$ | 718,749 | |
| Moran Foods LLC Fist Lien A&R 2023 FLFO PIK Term Loan, TSFR3M +7.250%, 06/30/2026(i)(c) | |
| 487,705 | | |
| - | |
| Moran Foods LLC First Lien A&R 2023 FLSO PIK Term Loan, TSFR3M + 7.250%, 12/31/2026 | |
| 894,802 | | |
| 644,257 | |
| | |
| | | |
| 1,363,006 | |
| Energy - 0.00%(d) | |
| | | |
| | |
| | |
| | | |
| | |
| GMP Borrower LLC, First Lien Term Loan, TSFR3M + 4.500%, 10/28/2027 | |
| 15,052 | | |
| 14,073 | |
| | |
| | | |
| | |
Industrials - 2.49% | |
| | | |
| | |
| | |
| | | |
| | |
| American Airlines Group Inc., Term Loan, TSFR1M + 3.5%, 05/29/2029 | |
| 5,000,000 | | |
| 5,023,975 | |
| Multi-Color Corp., Term Loan, TSFR1M + 5%, 10/29/2028 | |
| 3,436,212 | | |
| 3,370,288 | |
| | |
| | | |
| 8,394,263 | |
| Information Technology - 1.54% | |
| | | |
| | |
| | |
| | | |
| | |
| Diebold Nixdorf Inc., Term Loan, TSFR1M + 7.55%, 08/11/2028 | |
| 5,040,000 | | |
| 5,166,000 | |
| | |
| | | |
| | |
Materials - 0.04% | |
| | | |
| | |
| | |
| | | |
| | |
| CPC Acquisition Corp., Second Lien Term Loan, TSFR3M + 7.750%, 12/29/2028 | |
| 175,000 | | |
| 105,044 | |
| | |
| | | |
| | |
| TOTAL SENIOR LOANS | |
| | | |
| 49,161,508 | |
| (Cost $49,957,511) | |
| | | |
| | |
| | |
| | | |
| | |
| | |
| Principal Amount | | |
| Fair Value | |
| CONVERTIBLE CORPORATE BOND - 0.04% | |
| | | |
| | |
| Communications - 0.04% | |
| | | |
| | |
| | |
| | | |
| | |
| Altice France Holding SA, 8.000%, 05/15/2027 | |
| 429,000 | | |
| 137,134 | |
| | |
| | | |
| | |
| TOTAL CONVERTIBLE CORPORATE BOND | |
| | | |
| 137,134 | |
| (Cost $161,832) | |
| | | |
| | |
| | |
| | | |
| | |
| | |
| Principal Amount | | |
| Fair Value | |
| SOVEREIGN DEBT OBLIGATIONS - 2.52% | |
| | | |
| | |
| Sovereign - 2.52% | |
| | | |
| | |
| | |
| | | |
| | |
| Ukraine Government International Bond, 7.750%, 09/01/2025(b)(e) | |
| 5,592,000 | | |
| 1,775,460 | |
| Ukraine Government International Bond, 7.750%, 09/01/2027(b)(e) | |
| 258,000 | | |
| 74,499 | |
| Ukraine Government International Bond, 6.750%, 06/20/2028(b)(e) | |
| 805,000 | | |
| 233,521 | |
| Ukraine Government International Bond, 7.750%, 09/01/2028(b)(e) | |
| 3,462,000 | | |
| 983,763 | |
| Ukraine Government International Bond, 7.750%, 09/01/2029(b)(e) | |
| 10,741,000 | | |
| 3,061,185 | |
| Ukraine Government International Bond, 9.750%, 11/01/2030(b)(e) | |
| 4,146,000 | | |
| 1,285,260 | |
| Ukraine Government International Bond, 6.876%, 05/21/2031(b)(e) | |
| 1,177,000 | | |
| 303,079 | |
| Ukraine Government International Bond, 7.375%, 09/25/2034(b)(e) | |
| 1,679,000 | | |
| 422,604 | |
| Ukraine Government International Bond, 7.253%, 03/15/2035(b)(e) | |
| 516,000 | | |
| 131,580 | |
| Ukraine Government International Bond, 0.000%, 08/01/2041(b)(e) | |
| 364,000 | | |
| 195,650 | |
| | |
| | | |
| | |
| TOTAL SOVEREIGN DEBT OBLIGATIONS | |
| | | |
| 8,466,601 | |
| (Cost $9,015,461) | |
| | | |
| | |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| | |
Principal Amount | | |
Fair Value | |
| MORTGAGE-BACKED SECURITIES - 1.14% | |
| | |
| |
| Federal National Mortgage Association (FNMA) - 1.14% | |
| | |
| |
| | |
| | |
| |
| FNMA, Series 427, Class C20, 2.000%, 02/25/2051 | |
$ | 7,183,866 | | |
$ | 937,887 | |
| FNMA, Series 437, Class C8, 2.500%, 06/25/2052 | |
| 5,973,886 | | |
| 950,364 | |
| FNMA, Series 428, Class C15, 3.000%, 07/25/2052 | |
| 2,383,402 | | |
| 399,246 | |
| FNMA, Series 429, Class C5, 3.000%, 10/25/2052 | |
| 8,641,544 | | |
| 1,566,438 | |
| | |
| | | |
| | |
| TOTAL MORTGAGE-BACKED SECURITIES | |
| | | |
| 3,853,935 | |
| (Cost $3,561,603) | |
| | | |
| | |
| | |
| | | |
| | |
| | |
| Shares | | |
| Fair Value | |
| COMMON STOCK - 5.99% | |
| | | |
| | |
| Commercial Services - 0.08% | |
| | | |
| | |
| Travel Port Technology Ltd. | |
| 69 | | |
| 254,653 | |
| | |
| | | |
| | |
| Communication Services - 1.68% | |
| | | |
| | |
| | |
| | | |
| | |
| Trump Media & Technology Group(c)(f) | |
| 34,903 | | |
| 591,257 | |
| Weibo Corp | |
| 586,434 | | |
| 5,055,061 | |
| | |
| | | |
| 5,646,318 | |
| Consumer Discretionary - 0.08% | |
| | | |
| | |
| | |
| | | |
| | |
| 24 Hour Fitness Worldwide(f) | |
| 306,005 | | |
| 2,448 | |
| Arbe Robotics, Ltd.(f) | |
| 68,769 | | |
| 123,097 | |
| Everyware Global(c)(i) | |
| 43,777 | | |
| - | |
| Next.e.GO NV | |
| 5,788 | | |
| 177 | |
| Polestar Automotive Holding UK PLC | |
| 57,520 | | |
| 79,953 | |
| Volvo Car AB | |
| 276,147 | | |
| 56,380 | |
| | |
| | | |
| 262,055 | |
| Consumer Staples - 0.01% | |
| | | |
| | |
| | |
| | | |
| | |
| Benson Hill, Inc.(f) | |
| 136,711 | | |
| 25,086 | |
| Moran Foods LLC(c)(i) | |
| 3,699,885 | | |
| - | |
| | |
| | | |
| 25,086 | |
| Energy - 0.06% | |
| | | |
| | |
| | |
| | | |
| | |
| Granite Ridge Resources Inc. | |
| 33,264 | | |
| 216,881 | |
| | |
| | | |
| | |
| Health Care - 0.63% | |
| | | |
| | |
| | |
| | | |
| | |
| Arbutus Biopharma Corp | |
| 113,008 | | |
| 308,512 | |
| Community Health Systems Inc. | |
| 391,940 | | |
| 1,293,402 | |
| Compass Pathways PLC(f) | |
| 61,188 | | |
| 524,381 | |
| | |
| | | |
| 2,126,295 | |
| Industrials - 1.00% | |
| | | |
| | |
| | |
| | | |
| | |
| Harvey Gulf Intl. Marine | |
| 24,044 | | |
| 769,408 | |
| The GEO Group, Inc.(f) | |
| 175,119 | | |
| 2,602,268 | |
| Zooz Power Ltd. | |
| 1,648 | | |
| 4,829 | |
| | |
| | | |
| 3,376,505 | |
Semi-Annual Report | April 30, 2024 | 25 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| |
|
Shares |
|
|
Fair Value |
|
| Information Technology - 0.19% |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| CommScope Holding Co Inc. |
|
|
169,320 |
|
|
$ |
151,372 |
|
| Unisys Corp. |
|
|
21,048 |
|
|
|
114,291 |
|
| Vertex Inc. |
|
|
12,386 |
|
|
|
360,804 |
|
| |
|
|
|
|
|
|
626,467 |
|
| Leisure Facilities & Services - 0.25% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Selina Hospitality PLC(f) |
|
|
16,695,548 |
|
|
|
834,777 |
|
| |
|
|
|
|
|
|
|
|
| Materials - 0.70% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Covia Holdings |
|
|
169,353 |
|
|
|
2,370,942 |
|
| |
|
|
|
|
|
|
|
|
| Real Estate - 0.67% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Star Holdings(f) |
|
|
188,549 |
|
|
|
2,241,848 |
|
| |
|
|
|
|
|
|
|
|
| Technology - 0.60% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Bitcoin Depot Inc.(f) |
|
|
4,449 |
|
|
|
8,720 |
|
| IQOR(f) |
|
|
4,941 |
|
|
|
4,531 |
|
| Pagseguro Digital, Ltd.(f) |
|
|
160,067 |
|
|
|
1,992,834 |
|
| |
|
|
|
|
|
|
2,006,085 |
|
| Utilities - 0.04% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Longview Power LLC |
|
|
61,813 |
|
|
|
175,116 |
|
| |
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCK |
|
|
|
|
|
|
20,163,028 |
|
| (Cost $17,904,333) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
|
|
Shares |
|
|
|
Fair Value |
|
| CLOSED END FUNDS - 30.69% |
|
|
|
|
|
|
|
|
| Alternative - 3.35% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| BlackRock ESG Capital Allocation Trust |
|
|
410,267 |
|
|
|
6,605,299 |
|
| Destra Multi-Alternative Fund(f) |
|
|
56,768 |
|
|
|
408,162 |
|
| VGI Partners Global Investments, Ltd. |
|
|
3,653,052 |
|
|
|
4,259,595 |
|
| |
|
|
|
|
|
|
11,273,056 |
|
| Equity - 16.79% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Aberdeen Global Dynamic Dividend Fund |
|
|
634 |
|
|
|
5,903 |
|
| Aberdeen Japan Equity Fund, Inc. |
|
|
46,838 |
|
|
|
274,471 |
|
| abrdn Emerging Markets Equity Income Fund, Inc. |
|
|
865 |
|
|
|
4,342 |
|
| abrdn Healthcare Investors(f) |
|
|
22,254 |
|
|
|
359,402 |
|
| abrdn Life Sciences Investors(f) |
|
|
37,835 |
|
|
|
494,882 |
|
| abrdn Standard Global Infrastructure Income Fund |
|
|
9,471 |
|
|
|
162,806 |
|
| Adams Diversified Equity Fund, Inc. |
|
|
42,645 |
|
|
|
804,711 |
|
| ASA Gold and Precious Metals Ltd. |
|
|
163,658 |
|
|
|
2,832,920 |
|
| BlackRock Health Services Term Trust |
|
|
19,805 |
|
|
|
286,182 |
|
| BlackRock Innovation & Growth Trust |
|
|
330,506 |
|
|
|
2,346,593 |
|
| BlackRock Science & Technology Trust II |
|
|
9,706 |
|
|
|
168,205 |
|
| ClearBridge Energy Midstream Opportunity Fund, Inc. |
|
|
136,303 |
|
|
|
5,532,539 |
|
| ClearBridge Energy MLP Total Return Fund Inc. |
|
|
69,138 |
|
|
|
2,839,498 |
|
| ClearBridge MLP & Midstream Fund, Inc. |
|
|
83,316 |
|
|
|
3,755,877 |
|
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| | |
Shares | | |
Fair Value | |
| Fidelity Emerging Markets Ltd. | |
| 933,107 | | |
$ | 8,045,132 | |
| GAMCO Natural Resources Gold & Income Trust | |
| 17,606 | | |
| 91,331 | |
| Hearts and Minds Investments, Ltd. | |
| 836,372 | | |
| 1,311,157 | |
| Japan Smaller Capitalization Fund, Inc. | |
| 7,794 | | |
| 59,156 | |
| Kayne Anderson Energy Infrastructure Fund, Inc. | |
| 17,515 | | |
| 167,619 | |
| Korea Fund, Inc. | |
| 7,117 | | |
| 168,032 | |
| Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund(f) | |
| 64 | | |
| 464 | |
| MainStay CBRE Global Infrastructure Megatrends Term Fund | |
| 74,080 | | |
| 889,701 | |
| MFF Capital Investments, Ltd. | |
| 3,135,882 | | |
| 7,191,225 | |
| Miller/Howard High Dividend Fund | |
| 293,928 | | |
| 3,215,572 | |
| Neuberger Berman MLP & Energy Income Fund, Inc. | |
| 162,550 | | |
| 1,189,866 | |
| Neuberger Berman Next Generation Connectivity Fund, Inc. | |
| 165,408 | | |
| 1,915,425 | |
| Nuveen Real Asset Income and Growth Fund | |
| 25 | | |
| 283 | |
| Pengana International Equities, Ltd. | |
| 4,054,812 | | |
| 3,007,573 | |
| Platinum Capital, Ltd. | |
| 505,958 | | |
| 447,391 | |
| Principal Real Estate Income Fund | |
| 51,780 | | |
| 508,997 | |
| Taiwan Fund, Inc. | |
| 3,223 | | |
| 124,891 | |
| Tortoise Energy Independence Fund, Inc. | |
| 16,435 | | |
| 551,559 | |
| Tortoise Energy Infrastructure Fund, Inc. | |
| 13,232 | | |
| 409,795 | |
| Tortoise Midstream Energy Fund, Inc. | |
| 50,952 | | |
| 1,950,978 | |
| Tortoise Pipeline & Energy Fund, Inc. | |
| 7,027 | | |
| 225,040 | |
| Voya Emerging Markets High Dividend Equity Fund | |
| 55,342 | | |
| 286,395 | |
| Voya Infrastructure Industrials and Materials Fund | |
| 27,597 | | |
| 278,178 | |
| WAM Global Ltd. | |
| 2,945,191 | | |
| 4,235,516 | |
| WCM Global Growth, Ltd. | |
| 392,373 | | |
| 382,539 | |
| | |
| | | |
| 56,522,146 | |
| Fixed Income - 6.14% | |
| | | |
| | |
| | |
| | | |
| | |
| AllianceBernstein National Municipal Income Fund | |
| 396 | | |
| 4,154 | |
| BlackRock California Municipal Income Trust | |
| 173,997 | | |
| 2,007,925 | |
| BlackRock MuniHoldings California Quality Fund, Inc. | |
| 7,592 | | |
| 80,855 | |
| BlackRock MuniHoldings Fund, Inc. | |
| 1,167 | | |
| 13,362 | |
| BlackRock MuniHoldings New Jersey Quality Fund, Inc. | |
| 2,851 | | |
| 31,646 | |
| BlackRock MuniHoldings New York Quality Fund, Inc. | |
| 1,803 | | |
| 18,481 | |
| BlackRock MuniHoldings Quality Fund II | |
| 310 | | |
| 3,022 | |
| BlackRock MuniVest Fund II Inc. | |
| 146 | | |
| 1,517 | |
| BlackRock MuniVest Fund Inc. | |
| 4 | | |
| 27 | |
| BlackRock MuniYield Michigan Quality Fund, Inc. | |
| 3,169 | | |
| 34,986 | |
| BlackRock MuniYield New York Quality Fund, Inc. | |
| 398 | | |
| 3,996 | |
| BlackRock MuniYield Pennsylvania Quality Fund, Inc. | |
| 4,708 | | |
| 56,355 | |
| BlackRock New York Municipal Income Trust | |
| 2,297 | | |
| 23,728 | |
| BlackRock Virginia Municipal Bond Trust | |
| 97 | | |
| 1,026 | |
| BNY Mellon High Yield Strategies Fund | |
| 1,628 | | |
| 3,761 | |
| BNY Mellon Municipal Income, Inc. | |
| 6,580 | | |
| 43,698 | |
| BNY Mellon Strategic Municipal Bond Fund, Inc. | |
| 200 | | |
| 1,124 | |
| Brookfield Real Assets Income Fund, Inc. | |
| 1,024 | | |
| 12,841 | |
| DWS Municipal Income Trust | |
| 4,456 | | |
| 41,485 | |
| DWS Strategic Municipal Income Trust | |
| 228 | | |
| 2,168 | |
| Eaton Vance California Municipal Bond Fund | |
| 59,833 | | |
| 560,635 | |
| Eaton Vance California Municipal Income Trust | |
| 14,728 | | |
| 152,435 | |
| Eaton Vance New York Municipal Bond Fund | |
| 144,910 | | |
| 1,369,400 | |
Semi-Annual Report | April 30, 2024 | 27 |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Shares | | |
Fair Value | |
| Ellsworth Growth and Income Fund, Ltd. | |
| 85,672 | | |
$ | 660,959 | |
| Federated Hermes Premier Municipal Income Fund | |
| 15,998 | | |
| 176,618 | |
| Invesco California Value Municipal Income Trust | |
| 311 | | |
| 2,986 | |
| Invesco Municipal Opportunity Trust | |
| 20 | | |
| 186 | |
| Invesco Pennsylvania Value Municipal Income Trust | |
| 11,626 | | |
| 115,214 | |
| Invesco Trust for Investment Grade New York Municipals | |
| 17,462 | | |
| 181,077 | |
| MFS High Income Municipal Trust | |
| 2,068 | | |
| 7,300 | |
| MFS High Yield Municipal Trust | |
| 13,995 | | |
| 45,274 | |
| MFS Investment Grade Municipal Trust | |
| 14,511 | | |
| 106,221 | |
| Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | |
| 393,607 | | |
| 1,771,232 | |
| NB Global Corporate Income Trust | |
| 1,380,302 | | |
| 1,332,295 | |
| Neuberger Berman Municipal Fund, Inc. | |
| 1,548 | | |
| 15,619 | |
| New America High Income Fund, Inc. | |
| 27,003 | | |
| 190,911 | |
| Nuveen AMT-Free Quality Municipal Income Fund | |
| 1,548 | | |
| 16,471 | |
| Nuveen Arizona Quality Municipal Income Fund | |
| 1 | | |
| 11 | |
| Nuveen California Quality Municipal Income Fund | |
| 39,251 | | |
| 422,733 | |
| Nuveen Core Plus Impact Fund | |
| 196,587 | | |
| 1,983,563 | |
| Nuveen Massachusetts Quality Municipal Income Fund | |
| 788 | | |
| 8,235 | |
| Nuveen Municipal Credit Income Fund | |
| 184 | | |
| 2,151 | |
| Nuveen New Jersey Quality Municipal Income Fund | |
| 92,993 | | |
| 1,087,088 | |
| Nuveen New York Quality Municipal Income Fund | |
| 973 | | |
| 10,354 | |
| Nuveen Pennsylvania Quality Municipal Income Fund | |
| 71,523 | | |
| 823,588 | |
| Nuveen Variable Rate Preferred and Income Fund | |
| 20 | | |
| 341 | |
| PIMCO Energy & Tactical Credit Opportunities Fund | |
| 254,162 | | |
| 5,395,860 | |
| Pioneer Municipal High Income Advantage Fund, Inc. | |
| 961 | | |
| 7,506 | |
| Pioneer Municipal High Income Fund, Inc. | |
| 108,304 | | |
| 919,502 | |
| Pioneer Municipal High Income Opportunities Fund, Inc. | |
| 22,790 | | |
| 250,691 | |
| Tortoise Power and Energy Infrastructure Fund, Inc. | |
| 37,442 | | |
| 562,380 | |
| Western Asset Intermediate Muni Fund, Inc. | |
| 8,715 | | |
| 66,932 | |
| Western Asset Managed Municipals Fund, Inc. | |
| 2,730 | | |
| 27,055 | |
| | |
| | | |
| 20,658,980 | |
| Mixed Allocation - 4.41% | |
| | | |
| | |
| | |
| | | |
| | |
| BlackRock Capital Allocation Trust | |
| 67,260 | | |
| 1,036,478 | |
| Ecofin Sustainable and Social Impact Term Fund | |
| 37,011 | | |
| 422,297 | |
| Nuveen Multi-Asset Income Fund | |
| 404,273 | | |
| 4,762,337 | |
| Pershing Square Holdings, Ltd. | |
| 175,609 | | |
| 8,639,964 | |
| Voya Global Advantage and Premium Opportunity Fund | |
| 260 | | |
| 2,299 | |
| | |
| | | |
| 14,863,375 | |
| | |
| | | |
| | |
| TOTAL CLOSED END FUNDS | |
| | | |
| 103,317,557 | |
| (Cost $90,914,239) | |
| | | |
| | |
| |
|
Shares |
|
|
Fair Value |
|
INVESTMENT TRUSTS - 5.18%
Alternative - 2.73% |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| Bitwise 10 Crypto Index Fund(g)(f) |
|
|
312,202 |
|
|
|
9,184,983 |
|
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Shares | | |
Fair Value | |
| Equity - 2.44% | |
| | | |
| | |
| | |
| | | |
| | |
| BlackRock Smaller Companies Trust PLC | |
| 71,210 | | |
$ | 1,254,621 | |
| Henderson Opportunities Trust | |
| 558,280 | | |
| 1,482,394 | |
| Herald Investment Trust PLC(f) | |
| 2,610 | | |
| 68,650 | |
| JPMorgan Mid Cap Investment Trust PLC | |
| 5,866 | | |
| 23,382 | |
| Schroder British Opportunities Trust PLC(f) | |
| 1,453,746 | | |
| 1,289,732 | |
| Schroder UK Mid Cap Fund PLC | |
| 570,790 | | |
| 4,108,199 | |
| The European Smaller Companies Turst PLC | |
| 2,626 | | |
| 5,690 | |
| | |
| | | |
| 8,232,668 | |
| Mixed Allocation - 0.01% | |
| | | |
| | |
| | |
| | | |
| | |
| Aberdeen Diversified Income and Growth Trust PLC | |
| 7,080 | | |
| 6,759 | |
| Citadel Income Fund | |
| 7,353 | | |
| 12,231 | |
| | |
| | | |
| 18,990 | |
| | |
| | | |
| | |
| TOTAL INVESTMENT TRUSTS | |
| | | |
| 17,436,641 | |
| (Cost $11,198,428) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| PREFERRED STOCK - 0.96% | |
| | |
| |
| Consumer Discretionary - 0.34% | |
| | | |
| | |
| | |
| | | |
| | |
| HAAT Delivery Ltd. Preferred Seed-1(c)(f) | |
| 64,188 | | |
| 1,138,696 | |
| | |
| | | |
| | |
Entertainment Facilities - 0.00%(d) | |
| | | |
| | |
| | |
| | | |
| | |
| 24 Hour Fitness Worldwide, Inc.(f) | |
| 407,959 | | |
| 4,080 | |
| | |
| | | |
| | |
Transportation - 0.62% | |
| | | |
| | |
| | |
| | | |
| | |
| G-ILS Transportation Ltd. Preferred B-3 Shares(c)(f) | |
| 1,332 | | |
| 2,076,588 | |
| | |
| | | |
| | |
| TOTAL PREFERRED STOCK | |
| | | |
| 3,219,364 | |
| (Cost $3,709,436) | |
| | | |
| | |
| | |
| | | |
| Fair Value | |
| PARTICIPATION AGREEMENT - 0.00%(d) | |
| | | |
| | |
| | |
| | | |
| | |
| Caesars Entertainment, Inc (Covid Insurance Claim)(c)(f)(g)(i) | |
| | | |
| - | |
| | |
| | | |
| | |
| TOTAL PARTICIPATION AGREEMENT | |
| | | |
| - | |
| (Cost $2,320,000) | |
| | | |
| | |
| | |
| | | |
| | |
| | |
| | | |
| Fair Value | |
| PRIVATE FUND - 12.00% | |
| | | |
| | |
| | |
| | | |
| | |
| Stone Ridge Opportunities Fund Feeder LP(f) | |
| | | |
| 40,397,814 | |
| | |
| | | |
| | |
| TOTAL PRIVATE FUND | |
| | | |
| 40,397,814 | |
| (Cost $29,527,000) | |
| | | |
| | |
| | |
| Shares | | |
| Fair Value | |
| UNIT TRUST - 4.52% | |
| | | |
| | |
| | |
| | | |
| | |
| Grayscale Ethereum Classic Trust(g)(f) | |
| 1,268,046 | | |
| 15,229,231 | |
| | |
| | | |
| | |
| TOTAL UNIT TRUST | |
| | | |
| 15,229,231 | |
| (Cost $8,807,647) | |
| | | |
| | |
| Semi-Annual Report | April 30, 2024 | 29 |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Shares | | |
Fair Value | |
| SPECIAL PURPOSE ACQUISITION COMPANIES - 0.01% | |
| | |
| |
| | |
| | |
| |
| Deezer SA(f) | |
| 8,179 | | |
$ | 17,064 | |
| Fat Projects Acquisition Corp., Class B(c)(f)(i) | |
| 4,886 | | |
| - | |
| Nogin, Inc.(f) | |
| 11,264 | | |
| 339 | |
| Pegasus Digital Mobility Acquisition Corp., Class B(c)(f) | |
| 4,456 | | |
| 9,270 | |
| | |
| | | |
| | |
| TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES | |
| | | |
| 26,673 | |
| (Cost $497,656) | |
| | | |
| | |
| | |
Contracts | | |
Fair Value | |
| WARRANTS - 0.16% | |
| | |
| |
| | |
| | |
| |
| 10X Capital Venture Acquisition Corp. III, Expires 12/31/2027, Strike Price $11.50 | |
| 55,754 | | |
| 1,689 | |
| A SPAC II Acquisition Corp., Expires 05/03/2027, Strike Price $11.50 | |
| 34,421 | | |
| 984 | |
| Achari Ventures Holdings Corp. I, Expires 08/05/2026, Strike Price $11.50 | |
| 38,384 | | |
| 4,625 | |
| Agrinam Acquisition Corp., Expires 06/30/2027, Strike Price $11.50 | |
| 19,798 | | |
| 99 | |
| Airship AI Holdings Inc., Expires 12/31/2028, Strike Price $11.50 | |
| 14,696 | | |
| 7,421 | |
| Allurion Technologies Inc., Expires 08/02/2030, Strike Price $11.50 | |
| 16,492 | | |
| 4,451 | |
| Alternus Clean Energy Inc., Expires 02/24/2028, Strike Price $11.50 | |
| 49,587 | | |
| 1,983 | |
| AP Acquisition Corp., Expires 12/07/2026, Strike Price $11.50 | |
| 9,857 | | |
| 483 | |
| APx Acquisition Corp. I, Expires 08/19/2028, Strike Price $11.50 | |
| 3,981 | | |
| 778 | |
| Armada Acquisition Corp. I, Expires 08/13/2026, Strike Price $11.50 | |
| 19 | | |
| 3 | |
| Arverne Group SA, Expires 06/16/2026, Strike Price $11.50 | |
| 33,822 | | |
| 2,707 | |
| Athena Technology Acquisition Corp. II, Expires 10/17/2028, Strike Price $11.50 | |
| 36,968 | | |
| 1,482 | |
| Atlantic Coastal Acquisition Corp. II, Expires 06/02/2028, Strike Price $11.50 | |
| 80,774 | | |
| 5,250 | |
| Ault Disruptive Technologies Corp., Expires 06/20/2028, Strike Price $11.50 | |
| 18,483 | | |
| 543 | |
| Aura FAT Projects Acquisition Corp., Expires 06/02/2027, Strike Price $11.50 | |
| 58,439 | | |
| 877 | |
| Battery Future Acquisition Corp., Expires 05/26/2028, Strike Price $11.50 | |
| 36,968 | | |
| 1,683 | |
| Bellevue Life, Sciences Acquisi, Expires 02/10/2028, Strike Price $11.50 | |
| 14,638 | | |
| 410 | |
| BenevolentAI, Expires 06/30/2026, Strike Price $11.50 | |
| 7,014 | | |
| 75 | |
| Benson Hill Inc., Expires 03/25/2027, Strike Price $11.50(c) | |
| 187,607 | | |
| 6,070 | |
| Bitcoin Depot Inc., Expires 07/03/2028, Strike Price $11.50 | |
| 116,268 | | |
| 10,871 | |
| BitFuFu Inc., Expires 6/7/2028, Strike Price $11.50 | |
| 34,348 | | |
| 5,839 | |
| Bleuacacia, Ltd., Expires 10/30/2026, Strike Price $11.50 | |
| 100,804 | | |
| 4,536 | |
| Blockchain Coinvestors Acquisition Corp. I, Expires 11/01/2028, Strike Price $11.50 | |
| 93,986 | | |
| 10,940 | |
| Blue Ocean Acquisition Corp., Expires 10/21/2028, Strike Price $11.50 | |
| 16,257 | | |
| 330 | |
| Blue World Acquisition Corp., Expires 01/10/2029, Strike Price $11.50 | |
| 23,302 | | |
| 3,146 | |
| Borealis Foods Inc, Expires 8/26/2026, Strike Price $11.50 | |
| 20,287 | | |
| 2,384 | |
| Brand Engagement Network Inc., Expires 3/14/2029, Strike Price $11.50 | |
| 25,249 | | |
| 2,462 | |
| BurTech Acquisition Corp., Expires 12/18/2026, Strike Price $11.50 | |
| 20,396 | | |
| 5,252 | |
| Cactus Acquisition Corp. 1, Ltd., Expires 02/18/2072, Strike Price $11.50 | |
| 21,180 | | |
| 1,606 | |
| Canna-Global Acquisition Corp., Expires 02/09/2028, Strike Price $11.50 | |
| 154,766 | | |
| 3,753 | |
| Capitalworks Emerging Markets Acquisition Corp., Expires 04/27/2028, Strike Price $11.50 | |
| 69,120 | | |
| 4,320 | |
| Captivision Inc., Expires 11/16/2028, Strike Price $11.50 | |
| 43,794 | | |
| 6,022 | |
| Cardio Diagnostics Holdings, Inc., Expires 12/01/2026, Strike Price $11.50 | |
| 19,933 | | |
| 1,395 | |
| Carmell Therapeutics Corp., Expires 07/12/2028, Strike Price $11.50 | |
| 3,816 | | |
| 401 | |
| CARTESIAN GROWTH Corp. II, Expires 07/12/2028, Strike Price $11.50 | |
| 5,984 | | |
| 688 | |
| Cartica Acquisition Corp., Expires 04/30/2028, Strike Price $11.50 | |
| 74,354 | | |
| 5,580 | |
| CERo Therapeutics Holdings Inc., Expires 02/14/2029, Strike Price $11.50 | |
| 21,939 | | |
| 1,536 | |
| CF Acquisition Corp. VII, Expires 03/15/2026, Strike Price $11.50 | |
| 4,928 | | |
| 370 | |
| Chain Bridge I, Expires 12/31/2028, Strike Price $11.50 | |
| 33,367 | | |
| 223 | |
| Churchill Capital Corp. VII, Expires 02/29/2028, Strike Price $11.50 | |
| 26,731 | | |
| 7,686 | |
| ClimateRock, Expires 06/01/2027, Strike Price $11.50 | |
| 11,778 | | |
| 329 | |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Contracts | | |
Fair Value | |
| Concord Acquisition Corp. II, Expires 12/31/2028, Strike Price $11.50 | |
| 25,741 | | |
$ | 3,732 | |
| Conduit Pharmaceuticals Inc, Expires 02/03/2027, Strike Price $11.50 | |
| 51,468 | | |
| 3,603 | |
| Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027, Strike Price $11.50 | |
| 38,488 | | |
| 6,158 | |
| Corner Growth Acquisition Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 41,045 | | |
| 9,030 | |
| Critical Metals Corp, Expires 6/6/2028, Strike Price $11.50 | |
| 43,590 | | |
| 7,410 | |
| Deezer, SA, Expires 06/07/2027, Strike Price $11.50 | |
| 95,238 | | |
| 228 | |
| Denali Capital Acquisition Corp., Expires 04/07/2027, Strike Price $11.50 | |
| 27,621 | | |
| 1,522 | |
| Digital Health Acquisition Corp., Expires 11/02/2026, Strike Price $11.50 | |
| 17,736 | | |
| 2,967 | |
| DIH Holdings US Inc., Expires 2/7/2028, Strike Price $11.50 | |
| 63,578 | | |
| 2,909 | |
| Distoken Acquisition Corp., Expires 03/30/2028, Strike Price $11.50 | |
| 5,841 | | |
| 149 | |
| DUET Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | |
| 5,996 | | |
| 209 | |
| Graphjet Technology, Expires 11/16/2026, Strike Price $11.50 | |
| 45,714 | | |
| 5 | |
| Engene Holdings Inc., Expires 8/28/2028, Strike Price $11.50 | |
| 6,053 | | |
| 24,515 | |
| EVe Mobility Acquisition Corp., Expires 05/12/2028, Strike Price $11.50 | |
| 27,110 | | |
| 3,039 | |
| Everest Consolidator Acquisition Corp., Expires 07/19/2028, Strike Price $11.50 | |
| 50,492 | | |
| 8,455 | |
| Evergreen Corp., Expires 02/15/2027, Strike Price $11.50 | |
| 70,092 | | |
| 4,556 | |
| ExcelFin Acquisition Corp., Expires 10/25/2028, Strike Price $11.50 | |
| 22,349 | | |
| 1,398 | |
| FG Acquisition Corp., Expires 04/05/2030, Strike Price $11.50 | |
| 25,263 | | |
| 27,789 | |
| FG Merger Corp., Expires 05/15/2028, Strike Price $11.50(i) | |
| 1,112 | | |
| - | |
| Financial Strategies Acquisition Corp., Expires 03/31/2028, Strike Price $11.50 | |
| 6,820 | | |
| 7 | |
| Finnovate Acquisition Corp., Expires 09/30/2026, Strike Price $11.50 | |
| 71,462 | | |
| 1,972 | |
| Fintech Ecosystem Development Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 27,352 | | |
| 755 | |
| flyExclusive Inc, Expires 5/28/2028, Strike Price $11.50 | |
| 27,981 | | |
| 11,262 | |
| Fortune Rise Acquisition Corp., Expires 12/06/2027, Strike Price $11.50 | |
| 15,616 | | |
| 654 | |
| Four Leaf Acquisition Corp., Expires 5/12/2028, Strike Price $11.50 | |
| 3,750 | | |
| 179 | |
| FTAC Emerald Acquisition Corp., Expires 08/22/2028, Strike Price $11.50 | |
| 27,108 | | |
| 2,749 | |
| Future Health ESG Corp., Expires 09/09/2026, Strike Price $11.50 | |
| 37,402 | | |
| 1,874 | |
| FutureTech II Acquisition Corp., Expires 02/16/2027, Strike Price $11.50 | |
| 48,383 | | |
| 1,558 | |
| GCT Semiconductor Holding Inc., Expires 12/31/2028, Strike Price $11.50 | |
| 54,452 | | |
| 10,890 | |
| Genesis Growth Tech Acquisition Corp., Expires 05/19/2028, Strike Price $11.50 | |
| 6,030 | | |
| 79 | |
| Global Blockchain Acquisition Corp., Expires 05/10/2027, Strike Price $11.50 | |
| 40,470 | | |
| 818 | |
| Global Technology Acquisition Corp. I, Expires 07/13/2026, Strike Price $11.50 | |
| 23,734 | | |
| 3,916 | |
| Globalink Investment, Inc., Expires 12/03/2026, Strike Price $11.50 | |
| 14,771 | | |
| 406 | |
| Gores Holdings IX, Inc., Expires 01/14/2029, Strike Price $11.50 | |
| 40,512 | | |
| 15,820 | |
| Healthcare AI Acquisition Corp., Expires 12/14/2026, Strike Price $11.50 | |
| 18,681 | | |
| 758 | |
| HHG Capital Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 17,425 | | |
| 524 | |
| HNR Acquisition Corp., Expires 07/29/2028, Strike Price $11.50 | |
| 44,874 | | |
| 5,834 | |
| Hwh International Inc., Expires 02/02/2027, Strike Price $11.50 | |
| 13,297 | | |
| 1 | |
| Inception Growth Acquisition, Ltd., Expires 10/15/2026, Strike Price $11.50 | |
| 2,402 | | |
| 202 | |
| InFinT Acquisition Corp., Expires 05/19/2027, Strike Price $11.50 | |
| 55,058 | | |
| 6 | |
| Integrated Rail and Resources Acquisition Corp., Expires 11/12/2026, Strike Price $11.50 | |
| 48,874 | | |
| 7,084 | |
| Integrated Wellness Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | |
| 1,475 | | |
| 61 | |
| Investcorp Europe Acquisition Corp. I, Expires 11/23/2028, Strike Price $11.50 | |
| 24,645 | | |
| 2,723 | |
| Investcorp India Acquisition Corp., Expires 06/28/2027, Strike Price $11.50 | |
| 37,472 | | |
| 2,406 | |
| Iris Acquisition Corp., Expires 03/05/2026, Strike Price $11.50 | |
| 27,683 | | |
| 1,520 | |
| Israel Acquisitions Corp., Expires 02/28/2028, Strike Price $11.50 | |
| 8,683 | | |
| 682 | |
| IX Acquisition Corp., Expires 11/24/2026, Strike Price $11.50 | |
| 112 | | |
| 10 | |
| Jaws Mustang Acquisition Corp., Expires 01/30/2026, Strike Price $11.50 | |
| 19,820 | | |
| 4,106 | |
| Semi-Annual Report | April 30, 2024 | 31 |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Contracts | | |
Fair Value | |
| Kairous Acquisition Corp. ltd, Expires 09/15/2026, Strike Price $11.50 | |
| 6,746 | | |
$ | 135 | |
| Kernel Group Holdings, Inc., Expires 01/31/2027, Strike Price $11.50 | |
| 1,326 | | |
| 140 | |
| LAMF Global Ventures Corp. I, Expires 11/05/2026, Strike Price $11.50 | |
| 63,179 | | |
| 5,212 | |
| LatAmGrowth SPAC, Expires 01/25/2028, Strike Price $11.50 | |
| 37,849 | | |
| 1,136 | |
| LeddarTech Holdings Inc., Expires 12/21/2028, Strike Price $11.50 | |
| 21,521 | | |
| 2,025 | |
| Liberty Resources Acquisition Corp., Expires 10/31/2028, Strike Price $11.50 | |
| 22,928 | | |
| 736 | |
| Lifezone Metals Ltd., Expires 07/05/2028, Strike Price $11.50 | |
| 52,557 | | |
| 30,220 | |
| Metal Sky Star Acquisition Corp., Expires 04/01/2027, Strike Price $11.50 | |
| 40,420 | | |
| 556 | |
| Metals Acquisition Ltd., Expires 06/16/2028, Strike Price $11.50 | |
| 7,796 | | |
| 18,477 | |
| Montana Technologies Corporation, Expires 3/15/2029, Strike Price $11.50 | |
| 84,387 | | |
| 51,898 | |
| Mountain & Co. I Acquisition Corp., Expires 11/04/2026, Strike Price $11.50 | |
| 62,660 | | |
| 7,297 | |
| Murano Global BV, Expires 6/14/2028, Strike Price $11.50 | |
| 10,493 | | |
| 1,050 | |
| New Horizon Aircraft Ltd., Expires 4/3/2028, Strike Price $11.50 | |
| 11,690 | | |
| 496 | |
| New Providence Acquisition Corp. II, Expires 12/31/2027, Strike Price $11.50 | |
| 21,526 | | |
| 1,179 | |
| NewGenIvf Group Ltd., Expires 05/21/2027, Strike Price $11.50(i) | |
| 1 | | |
| - | |
| Nogin Inc., Expires 08/26/2027 Strike Price $11.50 | |
| 8,372 | | |
| 40 | |
| NorthView Acquisition Corp., Expires 08/02/2027, Strike Price $11.50 | |
| 19,197 | | |
| 1,656 | |
| Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50 | |
| 31,088 | | |
| 1,304 | |
| Nvni Group Ltd., Expires 11/01/2028, Strike Price $11.50 | |
| 15,665 | | |
| 744 | |
| Onyx Acquisition Co. I, Expires 11/30/2028, Strike Price $11.50 | |
| 24,790 | | |
| 859 | |
| Papaya Growth Opportunity Corp. I, Expires 12/31/2028, Strike Price $11.50 | |
| 76,584 | | |
| 4,786 | |
| Patria Latin American Opportunity Acquisition Corp., Expires 03/10/2027, Strike Price $11.50 | |
| 46,145 | | |
| 3,082 | |
| Pearl Holdings Acquisition Corp., Expires 12/15/2026, Strike Price $11.50 | |
| 18,484 | | |
| 1,701 | |
| Perception Capital Corp IV., Expires 11/10/2026, Strike Price $11.50 | |
| 31,463 | | |
| 1,888 | |
| Pinstripes Holdings Inc., Expires 09/30/2028, Strike Price $11.50 | |
| 45,560 | | |
| 7,504 | |
| Pono Capital Two, Inc., Expires 09/23/2027, Strike Price $11.50 | |
| 9,738 | | |
| 730 | |
| PowerUp Acquisition Corp., Expires 02/18/2027, Strike Price $11.50 | |
| 70,545 | | |
| 2,437 | |
| Psyence Biomedical Ltd., Expires 1/25/2029, Strike Price $11.50 | |
| 30,398 | | |
| 2,046 | |
| QT Imaging Holdings Inc., Expires 12/31/2028, Strike Price $11.50 | |
| 3,954 | | |
| 277 | |
| Redwoods Acquisition Corp., Expires 03/15/2027, Strike Price $11.50 | |
| 32,327 | | |
| 1,377 | |
| Relativity Acquisition Corp., Expires 02/11/2027, Strike Price $11.50 | |
| 45,142 | | |
| 4 | |
| RF Acquisition Corp., Expires 05/01/2028, Strike Price $11.50 | |
| 19,704 | | |
| 690 | |
| Rigel Resource Acquisition Corp., Expires 11/05/2026, Strike Price $11.50 | |
| 30,628 | | |
| 6,524 | |
| Roadzen Inc., Expires 11/30/2028, Strike Price $11.50 | |
| 55,430 | | |
| 5,543 | |
| Ross Acquisition Corp. II, Expires 02/12/2026, Strike Price $11.50 | |
| 28,225 | | |
| 2,546 | |
| Screaming Eagle Acquisition Corp., Expires 12/15/2027, Strike Price $11.50 | |
| 22,674 | | |
| 11,138 | |
| Selina Hospitality PLC, Expires 10/25/2027, Strike Price $11.50 | |
| 218,500 | | |
| 1,748 | |
| Semilux Ltd., Expires 04/28/2027, Strike Price $11.50(c)(i) | |
| 400 | | |
| - | |
| ShoulderUp Technology Acquisition Corp., Expires 11/17/2026, Strike Price $11.50 | |
| 94,845 | | |
| 3,215 | |
| SMX Security Matters PLC, Expires 03/07/2028, Strike Price $11.50 | |
| 36,580 | | |
| 269 | |
| Solidion Technology Inc., Expires 11/16/2026, Strike Price $11.50 | |
| 29,262 | | |
| 3 | |
| Southport Acquisition Corp., Expires 05/24/2028, Strike Price $11.50 | |
| 6,161 | | |
| 319 | |
| Spectaire Holdings Inc., Expires 12/31/2028, Strike Price $11.50 | |
| 58,258 | | |
| 3,495 | |
| Spree Acquisition Corp. 1, Ltd., Expires 12/22/2028, Strike Price $11.50 | |
| 20,337 | | |
| 2 | |
| Spring Valley Acquisition Corp. II, Expires 02/25/2026, Strike Price $11.50 | |
| 13,573 | | |
| 1,391 | |
| SpringBig Holdings, Inc., Expires 06/14/2027, Strike Price $11.50 | |
| 24,279 | | |
| 40 | |
| Swiftmerge Acquisition Corp., Expires 06/17/2028, Strike Price $11.50 | |
| 132 | | |
| 7 | |
| Syntec Optics Holdings Inc., Expires 11/8/2026, Strike Price $11.50 | |
| 31,515 | | |
| 6,300 | |
| Target Global Acquisition I Corp., Expires 12/31/2027, Strike Price $11.50 | |
| 18,073 | | |
| 1,808 | |
| Technology & Telecommunication Acquisition Corp., Expires 02/15/2027, Strike Price $11.50 | |
| 52,993 | | |
| 1,712 | |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Contracts | | |
Fair Value | |
| TKB Critical Technologies 1, Expires 10/20/2026, Strike Price $11.50 | |
| 48,884 | | |
$ | 616 | |
| TLGY Acquisition Corp., Expires 01/14/2028, Strike Price $11.50 | |
| 68,311 | | |
| 2,057 | |
| United Homes Group, Inc., Expires 01/28/2028, Strike Price $11.50 | |
| 9,922 | | |
| 9,773 | |
| Valuence Merger Corp. I, Expires 03/01/2027, Strike Price $11.50 | |
| 60,778 | | |
| 2,194 | |
| Vast Solar Pty Ltd., Expires 6/29/2028, Strike Price $11.50 | |
| 87,846 | | |
| 11,429 | |
| Verde Clean Fuels, Inc., Expires 12/31/2027, Strike Price $11.50 | |
| 327 | | |
| 67 | |
| Vision Sensing Acquisition Corp., Expires 10/21/2026, Strike Price $11.50 | |
| 49,182 | | |
| 1,720 | |
| Volato Group Inc., Expires 12/03/2028, Strike Price $11.50 | |
| 20,757 | | |
| 1,407 | |
| Western Acquisition Ventures Corp., Expires 01/12/2027, Strike Price $11.50 | |
| 29,980 | | |
| 1,215 | |
| Yotta Acquisition Corp., Expires 03/15/2027, Strike Price $11.50 | |
| 47,369 | | |
| 1,043 | |
| Zapata Computing Holdings Inc., Expires 3/23/2028, Strike Price $11.50 | |
| 24,523 | | |
| 2,674 | |
| Zapp Electric Vehicles Group L, Expires 03/03/2028, Strike Price $11.50 | |
| 11,642 | | |
| 110 | |
| Zeo Energy Corp., Expires 3/14/2029, Strike Price $11.50 | |
| 61,117 | | |
| 7,317 | |
| Zoomcar Holdings Inc., Expires 7/1/2028, Strike Price $11.50 | |
| 71,433 | | |
| 1,933 | |
| Zooz Power Ltd., Expires 01/24/2027, Strike Price $11.50 | |
| 24,350 | | |
| 1,243 | |
| ZyVersa Therapeutics Inc., Expires 12/20/2026, Strike Price $11.50 | |
| 7,100 | | |
| 2 | |
| | |
| | | |
| | |
| TOTAL WARRANTS | |
| | | |
| 550,354 | |
| (Cost $1,862,917) | |
| | | |
| | |
| | |
Contracts | | |
Fair Value | |
| RIGHTS - 0.04% | |
| | |
| |
| | |
| | |
| |
| A SPAC II Acquisition Corp., Expires 12/31/2049 | |
| 68,843 | | |
| 4,853 | |
| Agrinam Acquisition Corp., Expires 12/31/2049 | |
| 19,798 | | |
| 1,534 | |
| AIB Acquisition Corp., Expires 12/31/2049 | |
| 41,417 | | |
| 4,993 | |
| Bellevue Life Sciences Acquisition Corp., Expires 5/14/2024 | |
| 14,638 | | |
| 2,079 | |
| bleuacacia, Ltd., Expires 12/31/2049 | |
| 201,609 | | |
| 15,121 | |
| Blue World Acquisition Corp., Expires 12/31/2049 | |
| 46,604 | | |
| 12,704 | |
| Broad Capital Acquisition Corp., Expires 03/02/2072 | |
| 53,360 | | |
| 9,573 | |
| ClimateRock, Expires 06/01/2027 | |
| 23,557 | | |
| 2,567 | |
| Consilium Acquisition Corp. I, Ltd., Expires 06/01/2027 | |
| 69,644 | | |
| 13,058 | |
| Distoken Acquisition Corp., Expires 11/18/2024 | |
| 5,841 | | |
| 559 | |
| Financial Strategies Acquisition Corp., Expires 03/31/2028(i) | |
| 9,493 | | |
| - | |
| Fintech Ecosystem Development Corp., Expires 12/31/2028 | |
| 54,704 | | |
| 7,795 | |
| Global Blockchain Acquisition Corp., Expires 12/31/2049 | |
| 40,470 | | |
| 3,238 | |
| Globalink Investment, Inc., Expires 12/23/2071 | |
| 4,837 | | |
| 571 | |
| Inception Growth Acquisition, Ltd., Expires 01/21/2072 | |
| 7,394 | | |
| 1,618 | |
| Kairous Acquisition Corp. ltd, Expires 01/20/2072 | |
| 13,555 | | |
| 1,110 | |
| Mars Acquisition Corp., Expires 03/14/2073 | |
| 10,247 | | |
| 2,213 | |
| Metal Sky Star Acquisition Corp., Expires 12/31/2049 | |
| 40,420 | | |
| 3,040 | |
| Mountain Crest Acquisition Corp. V, Expires 12/31/2049 | |
| 8,917 | | |
| 1,070 | |
| NorthView Acquisition Corp., Expires 12/31/2049 | |
| 38,482 | | |
| 4,631 | |
| Redwoods Acquisition Corp., Expires 12/31/2049 | |
| 29,772 | | |
| 8,187 | |
| RF Acquisition Corp., Expires 12/31/2049 | |
| 19,704 | | |
| 2,552 | |
| Sagaliam Acquisition Corp., Expires 12/31/2049 | |
| 84,310 | | |
| 4,422 | |
| Spring Valley Acquisition Corp. II, Expires 02/25/2026 | |
| 27,147 | | |
| 3,936 | |
| Welsbach Technology Metals Acquisition Corp., Expires 12/31/2049 | |
| 29,572 | | |
| 4,282 | |
| Yotta Acquisition Corp., Expires 12/31/2049 | |
| 29,452 | | |
| 2,964 | |
| | |
| | | |
| | |
| TOTAL RIGHTS | |
| | | |
| 118,670 | |
| (Cost $174,567) | |
| | | |
| | |
| Semi-Annual Report | April 30, 2024 | 33 |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Contracts | |
|
Fair Value | |
| OPTIONS(j) - 0.62% | |
| |
|
| |
| Call Option Contracts - 0.31% | |
| |
|
| |
| | |
| |
|
| |
| Russell 2000 Index, Expires 07/19/2024, Strike Price $2,085 | |
| 248 | |
|
$ | 838,240 | |
| Russell 2000 Index, Expires 07/31/2024, Strike Price $2,150 | |
| 77 | |
|
| 170,555 | |
| Russell 2000 Index, Expires 08/30/2024, Strike Price $2,130 | |
| 11 | |
|
| 41,910 | |
| | |
| | |
|
| 1,050,705 | |
| | |
| | |
|
| | |
| Put Option Contracts - 0.31% | |
| | |
|
| | |
| | |
| | |
|
| | |
| S&P 500 Index, Expires 08/30/2024, Strike Price $4,890 | |
| 46 | |
|
| 420,440 | |
| S&P 500 Index, Expires 09/20/2024, Strike Price $4,830 | |
| 68 | |
|
| 600,780 | |
| | |
| | |
|
| 1,021,220 | |
| | |
| | |
|
| | |
| TOTAL OPTIONS | |
| | |
|
| 2,071,925 | |
| (Premiums paid $2,758,043) | |
| | |
|
| | |
| | |
Shares | | |
Fair Value | |
| MONEY MARKET FUNDS - 0.34% | |
| | |
| |
| | |
| | |
| |
| BNY Mellon U.S. Treasury Fund, 7 Day
Yield 4.94%(g) | |
| 19,082 | | |
| 19,082 | |
| JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield 5.19% | |
| 1,152,842 | | |
| 1,152,842 | |
| | |
| | | |
| | |
| TOTAL MONEY MARKET FUNDS | |
| | | |
| 1,171,924 | |
| (Cost $1,171,924) | |
| | | |
| | |
| | |
| | | |
| | |
| Total Investments in securities - 89.51% | |
| | | |
| 301,288,705 | |
| (Cost $289,702,007) | |
| | | |
| | |
INVESTMENT IN AFFILIATED FUND
|
|
Shares |
|
|
Fair Value |
|
| CLOSED END FUND - 0.23% |
|
|
|
|
|
|
|
|
| Fixed Income - 0.23% |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Saba Capital Income & Opportunities Fund II |
|
|
201,064 |
|
|
|
758,010 |
|
| |
|
|
|
|
|
|
|
|
| Total Investment in affiliated fund - 0.23% |
|
|
|
|
|
|
758,010 |
|
| (Cost $837,677) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Other Assets in Excess of Liabilities - 10.26% |
|
|
|
|
|
|
34,547,482 |
|
| |
|
|
|
|
|
|
|
|
| NET ASSETS - 100.00% |
|
|
|
|
|
$ |
336,594,197 |
|
| Amounts above are shown as a percentage of net assets as of April 30, 2024. |
|
|
|
|
|
|
|
|
SCHEDULE OF SECURITIES SOLD SHORT
| |
Principal Amount | | |
Fair Value | |
SOVEREIGN DEBT OBLIGATIONS - (49.34%) Sovereign - (49.34%) | |
| | |
| |
| | |
| | |
| |
| United States Treasury, 4.250%, 02/28/2029 | |
$ | (116,971,000 | ) | |
| (114,609,855 | ) |
| United States Treasury, 4.500%, 11/15/2033 | |
| (8,258,000 | ) | |
| (8,140,227 | ) |
| United States Treasury, 4.000%, 02/15/2034 | |
| (45,728,000 | ) | |
| (43,311,017 | ) |
| | |
| | | |
| | |
| TOTAL SOVEREIGN DEBT OBLIGATIONS | |
| | | |
| (166,061,099 | ) |
| (Proceeds $170,222,054) | |
| | | |
| | |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Shares | | |
Fair Value | |
| COMMON STOCK - (9.19%) | |
| | |
| |
| Communications - (0.57%) | |
| | |
| |
| | |
| | |
| |
| Airbnb Inc.(f) | |
| (61 | ) | |
$ | (9,673 | ) |
| Alphabet, Inc.(f) | |
| (256 | ) | |
| (41,672 | ) |
| Delivery Hero SE(a)(f) | |
| (2,989 | ) | |
| (83,862 | ) |
| DoorDash Inc.(f) | |
| (2,486 | ) | |
| (321,340 | ) |
| Meta Platforms, Inc.(f) | |
| (562 | ) | |
| (241,756 | ) |
| NetEase Inc. | |
| (2,396 | ) | |
| (223,954 | ) |
| Netflix, Inc.(f) | |
| (85 | ) | |
| (46,804 | ) |
| Pinterest Inc.(f) | |
| (2,480 | ) | |
| (82,956 | ) |
| ROBLOX Corp. | |
| (3,555 | ) | |
| (126,416 | ) |
| Spotify Technology SA.(f) | |
| (361 | ) | |
| (101,239 | ) |
| Uber Technologies Inc.(f) | |
| (602 | ) | |
| (39,895 | ) |
| Upwork Inc.(f) | |
| (19,049 | ) | |
| (222,873 | ) |
| Zillow Group Inc.(f) | |
| (8,516 | ) | |
| (362,526 | ) |
| | |
| | | |
| (1,904,966 | ) |
| Consumer Discretionary - (0.91%) | |
| | | |
| | |
| | |
| | | |
| | |
| Alibaba Group Holding, Ltd.(f) | |
| (37 | ) | |
| (2,769 | ) |
| Amazon.com, Inc.(f) | |
| (3,858 | ) | |
| (675,150 | ) |
| Brembo NV | |
| (5,840 | ) | |
| (74,614 | ) |
| Chegg Inc. | |
| (14,927 | ) | |
| (77,173 | ) |
| Cie Financiere Richemont SA | |
| (776 | ) | |
| (107,969 | ) |
| CTS Eventim AG & Co. KGaA | |
| (378 | ) | |
| (33,603 | ) |
| Ferrari N.V.(f) | |
| (137 | ) | |
| (56,951 | ) |
| JD.com Inc.(f) | |
| (3,742 | ) | |
| (108,106 | ) |
| Lowe's Cos Inc. | |
| (5,483 | ) | |
| (1,167,981 | ) |
| MercadoLibre Inc.(f) | |
| (289 | ) | |
| (421,564 | ) |
| NIO Inc.(f) | |
| (3,787 | ) | |
| (17,875 | ) |
| Pinduoduo Inc. | |
| (1,036 | ) | |
| (129,686 | ) |
| Rivian Automotive, Inc.(f) | |
| (911 | ) | |
| (8,108 | ) |
| Sanlorenzo SpA/Ameglia | |
| (8 | ) | |
| (351 | ) |
| Tesla, Inc.(f) | |
| (331 | ) | |
| (60,666 | ) |
| Wayfair Inc.(f) | |
| (1,942 | ) | |
| (97,391 | ) |
| Zalando SE(a)(f) | |
| (731 | ) | |
| (19,090 | ) |
| | |
| | | |
| (3,059,047 | ) |
| Consumer Staples - (0.12%) | |
| | | |
| | |
| | |
| | | |
| | |
| Heineken Holding NV | |
| (2,528 | ) | |
| (203,825 | ) |
| Heineken NV | |
| (1,749 | ) | |
| (170,415 | ) |
| HelloFresh SE(f) | |
| (2,395 | ) | |
| (16,240 | ) |
| | |
| | | |
| (390,480 | ) |
| Electric-Generation - (0.00%)(d) | |
| | | |
| | |
| | |
| | | |
| | |
| Constellation Energy Corp. | |
| (15 | ) | |
| (2,789 | ) |
| Semi-Annual Report | April 30, 2024 | 35 |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Shares | | |
Fair Value | |
| Electric-Integrated - (0.04%) | |
| | |
| |
| | |
| | |
| |
| AES Corp. | |
| (966 | ) | |
$ | (17,291 | ) |
| Ameren Corp. | |
| (169 | ) | |
| (12,484 | ) |
| DTE Energy Co. | |
| (277 | ) | |
| (30,559 | ) |
| Duke Energy Corp. | |
| (184 | ) | |
| (18,080 | ) |
| NextEra Energy, Inc. | |
| (918 | ) | |
| (61,478 | ) |
| Xcel Energy, Inc. | |
| (43 | ) | |
| (2,310 | ) |
| | |
| | | |
| (142,202 | ) |
| Electricity Networks - (0.02%) | |
| | | |
| | |
| | |
| | | |
| | |
| CenterPoint Energy, Inc. | |
| (1,383 | ) | |
| (40,301 | ) |
| Eversource Energy | |
| (54 | ) | |
| (3,273 | ) |
| PPL Corp. | |
| (922 | ) | |
| (25,318 | ) |
| | |
| | | |
| (68,892 | ) |
| Energy - (3.26%) | |
| | | |
| | |
| | |
| | | |
| | |
| Antero Midstream Corp. | |
| (22,615 | ) | |
| (312,992 | ) |
| Archrock, Inc. | |
| (598 | ) | |
| (11,476 | ) |
| Chesapeake Energy Corp. | |
| (817 | ) | |
| (73,432 | ) |
| Civitas Resources, Inc. | |
| (386 | ) | |
| (27,777 | ) |
| ConocoPhillips | |
| (489 | ) | |
| (61,428 | ) |
| DT Midstream, Inc. | |
| (6,253 | ) | |
| (388,937 | ) |
| Enbridge, Inc. | |
| (9,217 | ) | |
| (327,732 | ) |
| Energy Transfer LP | |
| (104,290 | ) | |
| (1,640,482 | ) |
| EnLink Midstream LLC | |
| (12,763 | ) | |
| (175,108 | ) |
| Enterprise Products Partners LP | |
| (43,801 | ) | |
| (1,229,932 | ) |
| EQT Corp. | |
| (1,158 | ) | |
| (46,424 | ) |
| Exxon Mobil Corp. | |
| (841 | ) | |
| (99,465 | ) |
| Genesis Energy LP | |
| (1,072 | ) | |
| (12,682 | ) |
| Kinder Morgan, Inc. | |
| (9,040 | ) | |
| (165,251 | ) |
| Marathon Oil Corp. | |
| (1,727 | ) | |
| (46,370 | ) |
| MPLX LP | |
| (17,554 | ) | |
| (733,757 | ) |
| Neste Oyj | |
| (1,283 | ) | |
| (29,219 | ) |
| Occidental Petroleum Corp. | |
| (508 | ) | |
| (33,599 | ) |
| ONEOK Inc. | |
| (8,647 | ) | |
| (684,151 | ) |
| Pembina Pipeline Corp. | |
| (3,934 | ) | |
| (138,425 | ) |
| Pioneer Natural Resources Co. | |
| (583 | ) | |
| (157,014 | ) |
| Plains All American Pipeline LP | |
| (23,149 | ) | |
| (398,857 | ) |
| Plains GP Holdings LP | |
| (34,856 | ) | |
| (634,728 | ) |
| Targa Resources Corp. | |
| (6,974 | ) | |
| (795,454 | ) |
| TC Energy Corp. | |
| (13,910 | ) | |
| (498,341 | ) |
| Western Midstream Partners LP | |
| (17,660 | ) | |
| (602,206 | ) |
| Williams Cos., Inc. | |
| (43,155 | ) | |
| (1,655,426 | ) |
| | |
| | | |
| (10,980,665 | ) |
| Financials - (0.11%) | |
| | | |
| | |
| | |
| | | |
| | |
| BFF Bank SpA.(a) | |
| (12,822 | ) | |
| (164,888 | ) |
| Credicorp Ltd.(f) | |
| (961 | ) | |
| (159,151 | ) |
| Deutsche Boerse AG | |
| (301 | ) | |
| (58,030 | ) |
| Van Lanschot Kempen N.V. | |
| (8 | ) | |
| (285 | ) |
| | |
| | | |
| (382,354 | ) |
| Saba Capital Income
& Opportunities Fund |
Consolidated
Schedule of Investments |
| |
April 30,
2024 (Unaudited) |
| | |
Shares | | |
Fair Value | |
| Health Care - (1.02%) | |
| | |
| |
| | |
| | |
| |
| 10X Genomics Inc.(f) | |
| (2,482 | ) | |
$ | (72,673 | ) |
| Alnylam Pharmaceuticals, Inc.(f) | |
| (5,010 | ) | |
| (721,190 | ) |
| Bayer AG | |
| (687 | ) | |
| (20,085 | ) |
| Denali Therapeutics Inc.(f) | |
| (556 | ) | |
| (8,585 | ) |
| DexCom Inc. | |
| (908 | ) | |
| (115,670 | ) |
| Exact Sciences Corp.(f) | |
| (6,763 | ) | |
| (401,384 | ) |
| Genmab A/S | |
| (376 | ) | |
| (105,259 | ) |
| Illumina, Inc. | |
| (121 | ) | |
| (14,889 | ) |
| Merck & Co Inc. | |
| (1,304 | ) | |
| (168,503 | ) |
| Moderna, Inc.(f) | |
| (835 | ) | |
| (92,109 | ) |
| Novocure Ltd.(f) | |
| (8,253 | ) | |
| (101,017 | ) |
| Novo Nordisk A/S | |
| (6,106 | ) | |
| (783,461 | ) |
| PACIRA BIOSCIENCES INC. | |
| (4,237 | ) | |
| (111,221 | ) |
| Progyny Inc.(f) | |
| (4,555 | ) | |
| (146,033 | ) |
| Recursion Pharmaceuticals Inc.(f) | |
| (6,087 | ) | |
| (47,600 | ) |
| Shockwave Medical Inc.(f) | |
| (591 | ) | |
| (195,142 | ) |
| STAAR Surgical Co. | |
| (7,346 | ) | |
| (337,622 | ) |
| | |
| | | |
| (3,442,443 | ) |
| Industrials - (0.31%) | |
| | | |
| | |
| | |
| | | |
| | |
| Aalberts Industries NV.(f) | |
| (1,110 | ) | |
| (53,212 | ) |
| Aerovironment Inc.(f) | |
| (312 | ) | |
| (49,854 | ) |
| Arcadis NV. | |
| (127 | ) | |
| (7,881 | ) |
| Axon Enterprise, Inc.(f) | |
| (1,884 | ) | |
| (590,935 | ) |
| Bravida Holding AB(a) | |
| (3,360 | ) | |
| (22,912 | ) |
| Deere & Co. | |
| (261 | ) | |
| (102,158 | ) |
| Generac Holdings, Inc. | |
| (46 | ) | |
| (6,254 | ) |
| Hexpol AB.(f) | |
| (4,048 | ) | |
| (46,282 | ) |
| Interpump Group SpA | |
| (248 | ) | |
| (10,872 | ) |
| Prysmian SpA(f) | |
| (338 | ) | |
| (18,461 | ) |
| TKH Group NV | |
| (1,725 | ) | |
| (74,668 | ) |
| Trelleborg AB | |
| (507 | ) | |
| (18,089 | ) |
| Watsco Inc. | |
| (110 | ) | |
| (49,249 | ) |
| | |
| | | |
| (1,050,827 | ) |
| Renewable Energy Generation - (0.02%) | |
| | | |
| | |
| | |
| | | |
| | |
| Atlantica Sustainable Infrastructure PLC | |
| (81 | ) | |
| (1,585 | ) |
| NextEra Energy Partners LP | |
| (1,951 | ) | |
| (55,330 | ) |
| | |
| | | |
| (56,915 | ) |
| Technology - (2.81%) | |
| | | |
| | |
| | |
| | | |
| | |
| Adyen NV(a)(f) | |
| (54 | ) | |
| (65,132 | ) |
| Appian Corp.(f) | |
| (264 | ) | |
| (9,884 | ) |
| Apple, Inc. | |
| (16,104 | ) | |
| (2,742,994 | ) |
| Arista Networks Inc.(f) | |
| (296 | ) | |
| (75,942 | ) |
| ASML Holding NV | |
| (598 | ) | |
| (531,418 | ) |
| BE Semiconductor Industries NV | |
| (1,112 | ) | |
| (148,934 | ) |
| Blackline Inc.(f) | |
| (815 | ) | |
| (47,311 | ) |
| Cloudflare, Inc.(f) | |
| (2,965 | ) | |
| (259,141 | ) |
| CoStar Group Inc.(f) | |
| (2,236 | ) | |
| (204,661 | ) |
| Crowdstrike Holdings Inc.(f) | |
| (112 | ) | |
| (32,764 | ) |
| Semi-Annual Report | April 30, 2024 | 37 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| | |
Shares | | |
Fair Value | |
| Datadog Inc.(f) | |
| (1,033 | ) | |
$ | (129,642 | ) |
| Descartes Systems Group, Inc. | |
| (313 | ) | |
| (29,034 | ) |
| Doximity Inc.(f) | |
| (4,288 | ) | |
| (104,156 | ) |
| Duolingo Inc.(f) | |
| (1,314 | ) | |
| (296,636 | ) |
| Fabrinet.(f) | |
| (51 | ) | |
| (8,827 | ) |
| HashiCorp Inc. | |
| (5,297 | ) | |
| (171,941 | ) |
| HubSpot, Inc. | |
| (16 | ) | |
| (9,678 | ) |
| Infineon Technologies AG | |
| (999 | ) | |
| (34,681 | ) |
| Infosys Ltd. | |
| (8,959 | ) | |
| (149,705 | ) |
| MarketAxess Holdings, Inc. | |
| (1,305 | ) | |
| (261,117 | ) |
| MasterCard Inc. | |
| (1,187 | ) | |
| (535,574 | ) |
| Melexis NV | |
| (2,272 | ) | |
| (191,065 | ) |
| Microsoft Corp. | |
| (55 | ) | |
| (21,413 | ) |
| MongoDB Inc.(f) | |
| (83 | ) | |
| (30,310 | ) |
| Monolithic Power Systems Inc. | |
| (120 | ) | |
| (80,320 | ) |
| NVIDIA Corp. | |
| (244 | ) | |
| (210,821 | ) |
| Palo Alto Networks, Inc. | |
| (43 | ) | |
| (12,508 | ) |
| Pegasystems Inc. | |
| (933 | ) | |
| (55,439 | ) |
| Relx Plc | |
| (1,872 | ) | |
| (77,315 | ) |
| Salesforce Inc.(f) | |
| (239 | ) | |
| (64,277 | ) |
| ServiceNow, Inc.(f) | |
| (9 | ) | |
| (6,240 | ) |
| Shopify Inc.(f) | |
| (4,755 | ) | |
| (336,398 | ) |
| Snowflake Inc. | |
| (1,175 | ) | |
| (182,360 | ) |
| SPS Commerce Inc.(f) | |
| (240 | ) | |
| (41,729 | ) |
| Super Micro Computer, Inc.(f) | |
| (345 | ) | |
| (296,286 | ) |
| Taiwan Semiconductor Manufacturing Co., Ltd. | |
| (8,638 | ) | |
| (1,186,343 | ) |
| Varonis Systems Inc. | |
| (1,416 | ) | |
| (61,950 | ) |
| Visa Inc. | |
| (1,978 | ) | |
| (531,311 | ) |
| Workday, Inc.(f) | |
| (817 | ) | |
| (199,943 | ) |
| | |
| | | |
| (9,435,200 | ) |
| | |
| | | |
| | |
| TOTAL COMMON STOCK | |
| | | |
| (30,916,780 | ) |
| (Proceeds $29,527,665) | |
| | | |
| | |
| | |
Shares | | |
Fair Value | |
| PREFERRED STOCK - (0.01%) | |
| | |
| |
| Materials - (0.01%) | |
| | |
| |
| | |
| | |
| |
| Fuchs Petrolub SE(f) | |
| (1,103 | ) | |
| (51,464 | ) |
| | |
| | | |
| | |
| TOTAL PREFERRED STOCK | |
| | | |
| (51,464 | ) |
| (Proceeds $46,964) | |
| | | |
| | |
| | |
| | | |
| | |
| UNIT TRUST - (4.21%) | |
| | | |
| | |
| | |
| | | |
| | |
| Grayscale Ethereum Classic Trust(g)(f) | |
| (270,301 | ) | |
| (14,193,506 | ) |
| | |
| | | |
| | |
| TOTAL UNIT TRUST | |
| | | |
| (14,193,506 | ) |
| (Proceeds $16,365,772) | |
| | | |
| | |
| | |
| | | |
| | |
| Total Securities Sold Short - (62.75%) | |
| | | |
| (211,222,849 | ) |
| (Proceeds $216,162,455) | |
| | | |
| | |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| (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 $6,332,262, which represented
approximately 1.88% of net assets as of April 30, 2024. Such securities may normally be sold to qualified institutional buyers in transactions
exempt from registration. |
| (b) | Security is in default as of year-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) | 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, 2024, the aggregate market value of those securities was $11,265,376,
which represents approximately 3.35% of net assets. |
| (f) | Non-income producing security. |
| (g) | A portion or all of the security is owned by BRW SPV I,
a wholly-owned subsidiary of the Fund. |
| (h) | The security is a floating rate note which has an annual
interest rate, reset monthly, that is calculated by taking the product of a leverage multiplier and (USISDA30 - USISDA02). At April 30,
2024, the current coupon rate for these notes is 0%. |
| (i) | At April 30, 2024 the value of these investments amounted
to $0, representing 0.0% of the net assets of the Fund. |
| (j) | At April 30, 2024, all options held by the Fund are exchange
traded listed options. |
Investment Abbreviations:
ESTRON - Euro Short-Term Rate
OBFR - United States Overnight
Bank Funding Rate
LIBOR - London Interbank Offered Rate
RBACOR - RBA Interbank Overnight
Cash Rate
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Over Night Index Average
Reference Rates:
ESTRON - Euro Short-Term Rate as of April 30, 2024 was 3.89%
OBFR - United States Overnight
Bank Funding Rate as of April 30, 2024 was 5.32%
SOFR - Secured Overnight Financing Rate as of April 30, 2024 was 5.34%
3M US L - 3 Month LIBOR as of April 30, 2024 was 5.59%
TSFR1M - CME Term SOFR 1 Month
as of April 30, 2024 was 5.32%
TSFR3M - CME Term SOFR 3 Month as of April 30, 2024 was 5.33%
SONIA- Sterling Overnight Index Average as
of April 30, 2024 was 5.20%
PRIME - United States Prime Rate as of April 30, 2024 was 8.50%
Counterparty Abbreviations:
JPM - JPMorgan Chase Bank, N.A.
GSI - Goldman Sachs
International
MSCS - Morgan Stanley Capital
Services
BARC - Barclays Bank PLC
MSCO – Morgan Stanley & Company
Semi-Annual Report | April 30, 2024 | 39 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
| SIMPLE AGREEMENT FOR FUTURE EQUITY (SAFE) CONTRACTS | |
| |
| | |
| |
| | |
Cost | | |
Fair Value | |
| AEYE Health Inc.(a)(b) | |
$ | 1,000,000 | | |
$ | 1,185,469 | |
| BeeHero Ltd.(a)(b) | |
| 321,841 | | |
| 321,841 | |
| Quantalx Neuroscience Ltd.(a)(b) | |
| 3,000,000 | | |
| 3,000,540 | |
| Real View Imaging Ltd.(a)(b) | |
| 2,000,000 | | |
| 2,311,040 | |
| | |
$ | 6,321,841 | | |
$ | 6,818,890 | |
| (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. |
| (b) | Non-income producing security. |
FORWARD FOREIGN CURRENCY CONTRACTS
Counterparty | |
Settlement Date | |
Fund
Receiving | |
Value | |
Fund
Delivering | |
Cost | |
Unrealized
Appreciation
|
|
| JPM | |
05/08/2024 | |
USD | |
$ | 27,202,959 | | |
AUD | |
$ | 26,629,397 | | |
$ | 573,562 | |
| JPM | |
05/08/2024 | |
USD | |
| 109,998 | | |
CAD | |
| 108,970 | | |
| 1,028 | |
| JPM | |
05/08/2024 | |
USD | |
| 1,741,809 | | |
EUR | |
| 1,707,913 | | |
| 33,896 | |
| JPM | |
05/08/2024 | |
USD | |
| 22,821,163 | | |
GBP | |
| 22,555,049 | | |
| 266,114 | |
| JPM | |
06/10/2024 | |
USD | |
| 3,130,907 | | |
GBP | |
| 3,124,527 | | |
| 6,380 | |
| JPM | |
05/08/2024 | |
GBP | |
| 2,499,174 | | |
USD | |
| 2,490,756 | | |
| 8,418 | |
| | |
| |
| |
| | | |
| |
| | | |
$ | 889,398 | |
| Counterparty | |
Settlement
Date | |
Fund
Receiving | |
Value | |
Fund
Delivering | |
Cost | |
Unrealized
Depreciation
|
|
| JPM | |
05/08/2024 | |
GBP | |
$ | 8,122,317 | | |
USD | |
$ | 8,226,428 | | |
$ | (104,111 | ) |
| JPM | |
05/08/2024 | |
EUR | |
| 373,606 | | |
USD | |
| 379,536 | | |
| (5,930 | ) |
| | |
| |
| |
| | | |
| |
| | | |
$ | (110,041 | ) |
| | |
| |
| |
| | | |
| |
| | | |
$ | 779,357 | |
| FUTURES CONTRACTS | |
| | |
| | |
| | |
| |
| | |
| | |
| | |
| | |
| |
| | |
Number of | | |
Maturity | | |
Notional | | |
Unrealized
Appreciation/ | |
| Description | |
Contracts | | |
Date | | |
Amount | | |
(Depreciation) | |
| Long Position Contracts | |
| | |
| | |
| | |
| |
| | |
| | |
| | |
| | |
| |
| E-Mini Russ 2000 Jun24 | |
| 86 | | |
| 06/21/2024 | | |
$ | 8,569,920 | | |
$ | (31,840 | ) |
| | |
| | | |
| | | |
| | | |
$ | (31,840 | ) |
| Short Position Contracts | |
| | | |
| | | |
| | | |
| | |
| | |
| | | |
| | | |
| | | |
| | |
| NASDAQ 100 E-MINI Jun24 | |
| (36 | ) | |
| 06/21/2024 | | |
| 13,114,779 | | |
| 463,479 | |
| S&P500 EMINI FUT Jun24 | |
| (175 | ) | |
| 06/21/2024 | | |
| 45,370,821 | | |
| 1,034,571 | |
| | |
| | | |
| | | |
| | | |
$ | 1,498,050 | |
| | |
| | | |
| | | |
| | | |
$ | 1,466,210 | |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
TO BE ANNOUNCED (TBA) MORTGAGE-BACKED SECURITIES (MBS)
FORWARD CONTRACTS
Counterparty | |
Description | |
Maturity
Date | |
Notional
Amount | |
Net Unrealized
Appreciation/
(Depreciation) |
|
| MSCO | |
FNCL 5.5 6/24 | |
06/11/2024 | |
264,602,000 | |
$ | (925,059 | ) |
| MSCO | |
FNCL 6 6/24 | |
06/11/2024 | |
105,628,000 | |
| (422,922 | ) |
| | |
| |
| |
| |
$ | (1,347,981 | ) |
SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY
CLEARED)
Buy/Sell
Protection(a) | |
Reference Obligations | |
Annual
Payment
Rate
Received
(Paid) | |
Currency | |
Maturity
Date | |
Notional
Amount(b) | | |
Value | | |
Upfront
Premiums
Received/(Paid) | | |
Unrealized
Appreciation/
(Depreciation) | |
| Buy | |
R.R. Donnelley & Sons Company | |
(5.00)% | |
USD | |
06/20/2028 | |
| 2,434,000 | | |
$ | (232,557 | ) | |
$ | 153,219 | | |
$ | (79,338 | ) |
| Buy | |
R.R. Donnelley & Sons Company | |
(5.00)% | |
USD | |
06/20/2029 | |
| 1,265,000 | | |
| (120,531 | ) | |
| 120,610 | | |
| 79 | |
| | |
| |
| |
| |
| |
| | | |
$ | (353,088 | ) | |
$ | 273,829 | | |
$ | (79,259 | ) |
INDEX CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)
Buy/Sell
Protection(a) | |
Reference Obligations | |
Annual
Payment
Rate
Received
(Paid) | |
Currency | |
Maturity
Date | |
Notional
Amount(b) | | |
Value | | |
Upfront
Premiums
Received/(Paid) | | |
Unrealized
Appreciation/
(Depreciation) | |
| Buy | |
Markit CDX High Yield Index, Series 42 | |
(5.00)% | |
USD | |
06/20/2029 | |
| 639,365,000 | | |
$ | (41,101,020 | ) | |
$ | 43,054,950 | | |
$ | 1,953,930 | |
| Buy | |
Markit iTraxx Europe Subordinated Financials Index, Series 39 | |
(1.00)% | |
USD | |
06/20/2028 | |
| 45,000,000 | | |
| (202,550 | ) | |
| (2,626,045 | ) | |
| (2,828,595 | ) |
| | |
| |
| |
| |
| |
| | | |
$ | (41,303,570 | ) | |
$ | 40,428,905 | | |
$ | (874,665 | ) |
SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (OVER THE COUNTER)
Buy/Sell
Protection(a) | |
Counterparty | |
Reference Obligations | |
Annual
Payment
Rate
Received
(Paid) | |
Currency | |
Maturity
Date | |
Notional
Amount(b) | | |
Value | | |
Upfront
Premiums
Received/(Paid) | | |
Unrealized
Appreciation/
(Depreciation) | |
| Sell | |
BARC | |
AT&T Inc. | |
1.00% | |
USD | |
06/20/2025 | |
| 2,249,000 | | |
$ | 18,293 | | |
$ | (11,224 | ) | |
$ | 7,069 | |
| Sell | |
GSI | |
AT&T Inc. | |
1.00% | |
USD | |
12/20/2024 | |
| 7,090,000 | | |
| 38,737 | | |
| (34,619 | ) | |
| 4,118 | |
| Sell | |
GSI | |
Bristol-Myers Squibb Company | |
1.00% | |
USD | |
12/20/2027 | |
| 10,000,000 | | |
| 265,826 | | |
| (268,823 | ) | |
| (2,997 | ) |
| Sell | |
MSCS | |
Bristol-Myers Squibb Company | |
1.00% | |
USD | |
12/20/2027 | |
| 10,000,000 | | |
| 265,826 | | |
| (257,109 | ) | |
| 8,717 | |
| Sell | |
MSCS | |
Bristol-Myers Squibb Company | |
1.00% | |
USD | |
06/20/2029 | |
| 14,307,000 | | |
| 439,657 | | |
| (449,191 | ) | |
| (9,534 | ) |
| Sell | |
GSI | |
British American Tobacco p.l.c. | |
1.00% | |
GBP | |
12/20/2027 | |
| 2,003,287 | | |
| 25,955 | | |
| (8,648 | ) | |
| 17,307 | |
| Buy | |
JPM | |
CommScope, Inc. | |
(5.00)% | |
USD | |
06/20/2027 | |
| 505,000 | | |
| 275,636 | | |
| (212,100 | ) | |
| 63,536 | |
| Sell | |
JPM | |
Danone | |
1.00% | |
EUR | |
06/20/2029 | |
| 5,136,359 | | |
| 164,204 | | |
| (169,230 | ) | |
| (5,026 | ) |
| Sell | |
GSI | |
International Business Machines Corporation | |
1.00% | |
USD | |
12/20/2027 | |
| 20,642,000 | | |
| 514,571 | | |
| (395,100 | ) | |
| 119,471 | |
| Sell | |
BARC | |
International Business Machines Corporation | |
1.00% | |
USD | |
12/20/2027 | |
| 10,000,000 | | |
| 249,284 | | |
| (202,764 | ) | |
| 46,520 | |
| Sell | |
GSI | |
International Business Machines Corporation | |
1.00% | |
USD | |
06/20/2027 | |
| 1,000 | | |
| 23 | | |
| (19 | ) | |
| 4 | |
| Sell | |
BARC | |
International Business Machines Corporation | |
1.00% | |
USD | |
12/20/2028 | |
| 3,675,000 | | |
| 101,722 | | |
| (81,859 | ) | |
| 19,863 | |
| Sell | |
BARC | |
NextEra Energy Capital Holdings, Inc. | |
1.00% | |
USD | |
06/20/2028 | |
| 4,306,000 | | |
| 87,214 | | |
| (22,659 | ) | |
| 64,555 | |
| Sell | |
GSI | |
Pfizer Inc. | |
1.00% | |
USD | |
12/20/2027 | |
| 9,152,000 | | |
| 244,742 | | |
| (228,364 | ) | |
| 16,378 | |
| Sell | |
MSCS | |
Pfizer Inc. | |
1.00% | |
USD | |
12/20/2027 | |
| 7,325,000 | | |
| 195,884 | | |
| (178,314 | ) | |
| 17,570 | |
| Sell | |
GSI | |
Pfizer, Inc. | |
1.00% | |
USD | |
12/20/2028 | |
| 15,802,000 | | |
| 477,193 | | |
| (438,142 | ) | |
| 39,051 | |
| Buy | |
BARC | |
R.R. Donnelley & Sons Company | |
(5.00)% | |
USD | |
06/20/2029 | |
| 5,203,000 | | |
| (495,749 | ) | |
| 508,464 | | |
| 12,715 | |
| Buy | |
GS | |
R.R. Donnelley & Sons Company | |
(5.00)% | |
USD | |
06/20/2029 | |
| 113,000 | | |
| (10,767 | ) | |
| 10,902 | | |
| 135 | |
Semi-Annual Report | April 30, 2024 | 41 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (OVER THE COUNTER)
Buy/Sell
Protection(a) | |
Counterparty | |
Reference Obligations | |
Annual
Payment
Rate
Received
(Paid) | |
Currency | |
Maturity
Date | |
Notional
Amount(b) | | |
Value | | |
Upfront
Premiums
Received/(Paid) | | |
Unrealized
Appreciation/
(Depreciation) | |
| Sell | |
GSI | |
The Procter & Gamble Company | |
1.00% | |
USD | |
12/20/2027 | |
| 9,055,000 | | |
$ | 263,648 | | |
$ | (229,275 | ) | |
$ | 34,373 | |
| Sell | |
MSCS | |
The Sherwin-Williams Company | |
1.00% | |
USD | |
12/20/2027 | |
| 1,912,000 | | |
| 44,287 | | |
| (4,103 | ) | |
| 40,184 | |
| Sell | |
MSCS | |
The Southern Company | |
1.00% | |
USD | |
06/20/2026 | |
| 847,000 | | |
| 14,977 | | |
| (14,141 | ) | |
| 836 | |
| Buy | |
BARC | |
Unisys Corporation | |
(5.00)% | |
USD | |
06/20/2028 | |
| 286,000 | | |
| 4,346 | | |
| (38,292 | ) | |
| (33,946 | ) |
| Sell | |
MSCS | |
UnitedHealth Group Incorporated | |
1.00% | |
USD | |
12/20/2027 | |
| 15,248,000 | | |
| 406,491 | | |
| (335,362 | ) | |
| 71,129 | |
| Sell | |
MSCS | |
Verizon Communications Inc. | |
1.00% | |
USD | |
06/20/2028 | |
| 3,181,000 | | |
| 56,224 | | |
| (2,900 | ) | |
| 53,324 | |
| Sell | |
MSCS | |
Verizon Communications Inc. | |
1.00% | |
USD | |
12/20/2027 | |
| 7,000,000 | | |
| 117,759 | | |
| 4,885 | | |
| 122,644 | |
| | |
| |
| |
| |
| |
| |
| | | |
$ | 3,765,983 | | |
$ | (3,057,987 | ) | |
$ | 707,996 | |
| (a) | If the Fund is a seller of protection and a credit event
occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount
equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced
index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery
value of the referenced obligation or underlying securities comprising the referenced index. |
| (b) | The maximum potential amount the Fund could be required to
pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of
that particular swap agreement. Notional amounts are presented in the currency indicated in the table. |
INDEX CREDIT DEFAULT SWAPTION CONTRACTS (CENTRALLY CLEARED)
Payer/ Receiver(a) | |
Reference Obligations | |
Strike Price | |
Currency | |
Expiry Date | |
Notional Amount | | |
Value | | |
Upfront
Premiums (Received)/Paid | | |
Unrealized
Appreciation/
(Depreciation) | |
| Payer | |
Markit CDX High Yield Index, Series 42, Payer Option | |
103.00 | |
USD | |
08/21/2024 | |
| 37,014,000 | | |
$ | (310,351 | ) | |
$ | (518,196 | ) | |
$ | 207,845 | |
| Payer | |
Markit CDX High Yield Index, Series 42, Payer Option | |
103.00 | |
USD | |
09/18/2024 | |
| 49,352,000 | | |
| (475,473 | ) | |
| (689,077 | ) | |
| 213,604 | |
| | |
| |
| |
| |
| |
| | | |
$ | (785,824 | ) | |
$ | (1,207,273 | ) | |
$ | 421,449 | |
| (a) | If the Fund is a payer in the credit default swaption, the
Fund has the right to enter into the underlying credit default swap where the Fund pays premiums and, if Fund is a receiver in the credit
default swaption, the Fund has the right to enter into the underlying credit default swap where the Fund receives premiums. |
TOTAL RETURN SWAP CONTRACTS(a)
| Counterparty | |
Reference Obligations | |
Currency | |
Notional
Amount(b) | | |
Termination
Date | |
Financing
Rate Index | |
Financing
Rate Spread
Paid/(Received)
by Fund | |
Value | | |
Unrealized
Appreciation/
(Depreciation) | |
| Long
Position Contracts | |
| JPM | |
Aberdeen Diversified Income and Growth Trust | |
GBP | |
| 90,974 | | |
10/31/2024 | |
SONIA | |
40 bps | |
$ | 91,453 | | |
$ | 479 | |
| JPM | |
Aberdeen New India Investment Trust PLC | |
GBP | |
| 777,273 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 802,968 | | |
| 25,695 | |
| JPM | |
Abrdn UK Smaller Cos Growth Trust PLC | |
GBP | |
| 1,850,490 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 1,870,452 | | |
| 19,962 | |
| JPM | |
Baillie Gifford European Growth Trust PLC | |
GBP | |
| 490,200 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 486,622 | | |
| (3,578 | ) |
| JPM | |
Baillie Gifford UK Growth Trust PLC | |
GBP | |
| 4,156,996 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 4,182,578 | | |
| 25,582 | |
| JPM | |
Baillie Gifford US Growth Trust PLC | |
GBP | |
| 9,229,280 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 9,229,280 | | |
| - | |
| JPM | |
Baker Steel Resources Trust, Ltd. | |
GBP | |
| 214,298 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 218,671 | | |
| 4,373 | |
| JPM | |
Barings Emerging EMEA Opportunities PLC | |
GBP | |
| 251,862 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 256,548 | | |
| 4,686 | |
| JPM | |
BlackRock Smaller Companies Trust PLC | |
GBP | |
| 2,056,712 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 2,071,403 | | |
| 14,691 | |
| JPM | |
Brown Advisory US Smaller Companies PLC | |
GBP | |
| 192,915 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 192,173 | | |
| (742 | ) |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
TOTAL RETURN SWAP CONTRACTS(a)
| Counterparty | |
Reference Obligations | |
Currency | |
Notional
Amount(b) | | |
Termination
Date | |
Financing
Rate Index | |
Financing
Rate Spread
Paid/(Received)
by Fund | |
Value | | |
Unrealized
Appreciation/
(Depreciation) | |
| Long Position Contracts |
| JPM | |
CQS Natural Resources Growth and Income PLC | |
GBP | |
| 422,970 | | |
10/31/2024 | |
SONIA | |
40 bps | |
$ | 418,446 | | |
$ | (4,524 | ) |
| JPM | |
Edinburgh Worldwide Investment Trust PLC | |
GBP | |
| 14,623,379 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 14,748,187 | | |
| 124,808 | |
| JPM | |
European Smaller Companies | |
GBP | |
| 5,190,416 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 5,214,474 | | |
| 24,058 | |
| JPM | |
Henderson Opportunities Trust PLC | |
GBP | |
| 218,833 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 220,389 | | |
| 1,556 | |
| JPM | |
Henderson Smaller Companies Inv Trust PLC | |
GBP | |
| 222,576 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 223,986 | | |
| 1,410 | |
| JPM | |
Herald Investment Trust PLC | |
GBP | |
| 5,126,815 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 5,200,938 | | |
| 74,123 | |
| JPM | |
Hipgnosis Songs Fund Ltd | |
GBP | |
| 521,434 | | |
10/31/2024 | |
SONIA | |
35 bps | |
| 522,439 | | |
| 1,005 | |
| JPM | |
Invesco Select Trust PLC | |
GBP | |
| 18,380 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 18,436 | | |
| 56 | |
| JPM | |
JPMorgan European Discovery Trust PLC | |
GBP | |
| 39,332,572 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 39,417,158 | | |
| 84,586 | |
| JPM | |
JPMorgan UK Smaller Companies Inv Trust PLC | |
GBP | |
| 883,783 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 900,725 | | |
| 16,942 | |
| JPM | |
Keystone Positive Change Investment Trust PLC | |
GBP | |
| 2,706,799 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 2,706,799 | | |
| - | |
| JPM | |
Mercantile Investment Trust PLC | |
GBP | |
| 7,032,175 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 7,157,470 | | |
| 125,295 | |
| JPM | |
MFF Capital Investments, Ltd. | |
AUD | |
| 820,469 | | |
10/31/2024 | |
RBACOR | |
45 bps | |
| 837,020 | | |
| 16,551 | |
| JPM | |
Middlefield Canadian Income PC | |
GBP | |
| 1,654 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 1,614 | | |
| (40 | ) |
| JPM | |
NB Global Corporate Income Trust | |
AUD | |
| 408,841 | | |
10/31/2024 | |
RBACOR | |
45 bps | |
| 410,218 | | |
| 1,377 | |
| JPM | |
Pengana International Equities, Ltd. | |
AUD | |
| 214,360 | | |
10/31/2024 | |
RBACOR | |
45 bps | |
| 214,360 | | |
| - | |
| JPM | |
Polar Capital Technology Trust PLC | |
GBP | |
| 2,277,969 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 2,274,075 | | |
| (3,894 | ) |
| JPM | |
River & Mercantile UK Micro Cap Inv Co Ltd | |
GBP | |
| 873,153 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 897,943 | | |
| 24,790 | |
| JPM | |
Schiehallion Fund, Ltd. | |
USD | |
| 55,306 | | |
10/31/2024 | |
OBFR | |
40 bps | |
| 55,306 | | |
| - | |
| JPM | |
Schroder UK Mid Cap Fund PLC | |
GBP | |
| 295,706 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 304,155 | | |
| 8,449 | |
| JPM | |
Schroders Capital Global | |
GBP | |
| 10,512 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 10,088 | | |
| (424 | ) |
| JPM | |
Templeton EM Investment Trust PLC | |
GBP | |
| 2,785,466 | | |
10/31/2024 | |
SONIA | |
40 bps | |
| 2,774,780 | | |
| (10,686 | ) |
| JPM | |
VGI Partners Global Investments, Ltd. | |
AUD | |
| 550,253 | | |
10/31/2024 | |
RBACOR | |
45 bps | |
| 545,705 | | |
| (4,548 | ) |
| JPM | |
WAM Global, Ltd. | |
AUD | |
| 384,533 | | |
10/31/2024 | |
RBACOR | |
45 bps | |
| 381,100 | | |
| (3,433 | ) |
| Total Long Position Contracts | |
| |
| | | |
| |
| |
| |
$ | 104,857,959 | | |
$ | 568,605 | |
| Counterparty | |
Reference Obligations | |
Currency | |
Notional Amount(b) | | |
Termination Date | |
Financing Rate Index | |
Financing Rate Spread Paid/(Received) by Fund | |
Value | | |
Unrealized Appreciation/ (Depreciation) | |
| Short Position Contracts | |
| |
| | |
| |
| |
| |
| | |
| |
| JPM | |
4imprint Group PLC | |
GBP | |
| (535,568 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
$ | (535,568 | ) | |
$ | - | |
| JPM | |
Alpha Financial Markets Consulting PLC | |
GBP | |
| (4,719 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (4,684 | ) | |
| 35 | |
| JPM | |
Alpha Group International PLC | |
GBP | |
| (69,139 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (71,824 | ) | |
| (2,685 | ) |
| JPM | |
Alten SA | |
EUR | |
| (37,171 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (36,032 | ) | |
| 1,139 | |
| JPM | |
Auction Technology Group PLC | |
GBP | |
| (2,218 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (2,270 | ) | |
| (52 | ) |
| JPM | |
Balfour Beatty PLC | |
GBP | |
| (71,826 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (72,343 | ) | |
| (517 | ) |
| JPM | |
Bellway PLC | |
GBP | |
| (5,281 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (5,248 | ) | |
| 33 | |
| JPM | |
Big Technologies PLC | |
GBP | |
| (1,126 | ) | |
10/31/2024 | |
SONIA | |
(75) bps | |
| (1,119 | ) | |
| 7 | |
| JPM | |
BioMerieux | |
EUR | |
| (36,180 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (35,645 | ) | |
| 535 | |
| JPM | |
Bloomsbury Publishing PLC | |
GBP | |
| (41 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (40 | ) | |
| 1 | |
| JPM | |
Bytes Technology Group PLC | |
GBP | |
| (70,435 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (69,580 | ) | |
| 855 | |
Semi-Annual Report | April 30, 2024 | 43 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
TOTAL RETURN SWAP CONTRACTS(a)
| Counterparty | |
Reference Obligations | |
Currency | |
Notional Amount(b) | | |
Termination Date | |
Financing Rate Index | |
Financing Rate Spread Paid/(Received) by Fund | |
Value | | |
Unrealized Appreciation/ (Depreciation) | |
| Short Position Contracts | |
| |
| | |
| |
| |
| |
| | |
| |
| JPM | |
Card Factory PLC | |
GBP | |
| (663 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
$ | (734 | ) | |
$ | (71 | ) |
| JPM | |
Central Asia Metals PLC | |
GBP | |
| (2,930 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (3,009 | ) | |
| (79 | ) |
| JPM | |
Chemring Group PLC | |
GBP | |
| (248,120 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (249,116 | ) | |
| (996 | ) |
| JPM | |
Clarkson PLC | |
GBP | |
| (31,915 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (31,311 | ) | |
| 604 | |
| JPM | |
Computacenter PLC | |
GBP | |
| (72,344 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (72,625 | ) | |
| (281 | ) |
| JPM | |
Conduits Holdings, Ltd. | |
GBP | |
| (2,931 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (2,967 | ) | |
| (36 | ) |
| JPM | |
Crest Nicholson Holdings PLC | |
GBP | |
| (27,687 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (27,687 | ) | |
| - | |
| JPM | |
CVS Group PLC | |
GBP | |
| (28,111 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (28,197 | ) | |
| (86 | ) |
| JPM | |
Dassault Systemes SE | |
EUR | |
| (46,435 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (45,525 | ) | |
| 910 | |
| JPM | |
Diploma PLC | |
GBP | |
| (426,669 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (428,085 | ) | |
| (1,416 | ) |
| JPM | |
DiscoverIE Group PLC | |
GBP | |
| (4,634 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (4,537 | ) | |
| 97 | |
| JPM | |
Dunelm Group PLC | |
GBP | |
| (238,809 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (243,854 | ) | |
| (5,045 | ) |
| JPM | |
Edenred | |
EUR | |
| (26,672 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (26,381 | ) | |
| 291 | |
| JPM | |
Elis SA | |
EUR | |
| (84,224 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (82,967 | ) | |
| 1,257 | |
| JPM | |
Esker SA | |
EUR | |
| (5,811 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (5,596 | ) | |
| 215 | |
| JPM | |
Experian PLC | |
GBP | |
| (115,950 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (114,958 | ) | |
| 992 | |
| JPM | |
Future PLC | |
GBP | |
| (37,714 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (41,058 | ) | |
| (3,344 | ) |
| JPM | |
Games Workshop Group PLC | |
GBP | |
| (111,800 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (115,410 | ) | |
| (3,610 | ) |
| JPM | |
Gamma Communications PLC | |
GBP | |
| (3,863 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (3,857 | ) | |
| 6 | |
| JPM | |
Genus PLC | |
GBP | |
| (152,366 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (158,334 | ) | |
| (5,968 | ) |
| JPM | |
Grafton Group PLC | |
GBP | |
| (137,110 | ) | |
10/31/2024 | |
SONIA | |
(75) bps | |
| (136,332 | ) | |
| 778 | |
| JPM | |
Grifols SA | |
EUR | |
| (26,518 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (27,340 | ) | |
| (822 | ) |
| JPM | |
Hollywood Bowl Group PLC | |
GBP | |
| (343 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (341 | ) | |
| 2 | |
| JPM | |
Hunting PLC | |
GBP | |
| (16,905 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (16,811 | ) | |
| 94 | |
| JPM | |
IMI PLC | |
GBP | |
| (117,725 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (118,130 | ) | |
| (405 | ) |
| JPM | |
Impax Asset Management Group PLC | |
GBP | |
| (3,916 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (3,925 | ) | |
| (9 | ) |
| JPM | |
Inchcape PLC | |
GBP | |
| (109,095 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (109,850 | ) | |
| (755 | ) |
| JPM | |
Intermediate Capital Group PLC | |
GBP | |
| (299,872 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (307,486 | ) | |
| (7,614 | ) |
| JPM | |
IPSOS | |
EUR | |
| (69,801 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (69,141 | ) | |
| 660 | |
| JPM | |
Kainos Group PLC | |
GBP | |
| (13,438 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (13,876 | ) | |
| (438 | ) |
| JPM | |
Kering SA | |
EUR | |
| (73,935 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (72,196 | ) | |
| 1,739 | |
| JPM | |
Man Group PLC | |
GBP | |
| (158,559 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (165,364 | ) | |
| (6,805 | ) |
| JPM | |
Morgan Advanced Materials PLC | |
GBP | |
| (1,262 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (1,295 | ) | |
| (33 | ) |
| JPM | |
Morgan Sindall Group PLC | |
GBP | |
| (15,198 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (15,198 | ) | |
| - | |
| JPM | |
Next Fifteen Communications | |
GBP | |
| (243 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (247 | ) | |
| (4 | ) |
| JPM | |
Ocado Group PLC | |
GBP | |
| (117,769 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (117,769 | ) | |
| - | |
| JPM | |
Oxford Instruments PLC | |
GBP | |
| (325,655 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (337,606 | ) | |
| (11,951 | ) |
| JPM | |
Oxford Nanopore Technologies PLC | |
GBP | |
| (81,859 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (83,084 | ) | |
| (1,225 | ) |
| JPM | |
Pagegroup PLC | |
GBP | |
| (397 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (396 | ) | |
| 1 | |
| JPM | |
Polestar Automotive Holding UK PLC | |
USD | |
| (968,830 | ) | |
10/31/2024 | |
OBFR | |
(700) bps | |
| (822,460 | ) | |
| 146,370 | |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Schedule of Investments
|
| |
April 30, 2024 (Unaudited)
|
TOTAL RETURN SWAP CONTRACTS(a)
| | |
| |
| | |
| |
| |
Financing | |
| | |
| |
| | |
| |
| | |
| |
| |
Rate Spread | |
| | |
Unrealized | |
Counterparty | |
Reference Obligations | |
Currency | |
Notional Amount(b) | | |
Termination Date | |
Financing Rate Index | |
Paid/(Received) by Fund | |
Value | | |
Appreciation/ (Depreciation) | |
| Short Position Contracts | |
| |
| | |
| |
| |
| |
| | |
| |
| JPM | |
QinetiQ Group PLC | |
GBP | |
| (227,545 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
$ | (228,209 | ) | |
$ | (664 | ) |
| JPM | |
Reach PLC | |
GBP | |
| (73 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (75 | ) | |
| (2 | ) |
| JPM | |
Redrow PLC | |
GBP | |
| (5,493 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (5,480 | ) | |
| 13 | |
| JPM | |
Samsung Electronics Co., Ltd. | |
USD | |
| (85,024 | ) | |
10/31/2024 | |
OBFR | |
(40) bps | |
| (85,949 | ) | |
| (925 | ) |
| JPM | |
Sartorius AG | |
EUR | |
| (42,738 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (41,575 | ) | |
| 1,163 | |
| JPM | |
Scout24 SE | |
EUR | |
| (52,356 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (52,432 | ) | |
| (76 | ) |
| JPM | |
SEB SA | |
EUR | |
| (3,778 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (3,679 | ) | |
| 99 | |
| JPM | |
Senior PLC | |
GBP | |
| (1,532 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (1,534 | ) | |
| (2 | ) |
| JPM | |
Soitec | |
EUR | |
| (17,346 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (17,393 | ) | |
| (47 | ) |
| JPM | |
Spie SA | |
EUR | |
| (84,432 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (84,481 | ) | |
| (49 | ) |
| JPM | |
SSP Group PLC | |
GBP | |
| (116 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (116 | ) | |
| - | |
| JPM | |
Telecom Plus PLC | |
GBP | |
| (52,114 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (53,406 | ) | |
| (1,292 | ) |
| JPM | |
Verallia SA | |
EUR | |
| (63,624 | ) | |
10/31/2024 | |
ESTRON | |
(40) bps | |
| (63,589 | ) | |
| 35 | |
| JPM | |
Vesuvius PLC | |
GBP | |
| (26,373 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (26,622 | ) | |
| (249 | ) |
| JPM | |
Watches of Switzerland Group PLC | |
GBP | |
| (76,478 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (75,322 | ) | |
| 1,156 | |
| JPM | |
WH Smith PLC | |
GBP | |
| (7,263 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (7,114 | ) | |
| 149 | |
| JPM | |
Wise PLC | |
GBP | |
| (22,241 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (21,889 | ) | |
| 352 | |
| JPM | |
Workspace Group PLC | |
GBP | |
| (116 | ) | |
10/31/2024 | |
SONIA | |
(40) bps | |
| (118 | ) | |
| (2 | ) |
| Total Short Position Contracts | |
| |
| | | |
| |
| |
| |
$ | (5,708,391 | ) | |
$ | 102,033 | |
All Reference Obligations shown above for Total Return
Swap Contracts are closed end funds and common stock.
| (a) | The Fund receives monthly payments based on any positive
monthly return of the Reference Obligation. The Fund makes payments on any negative monthly return of such Reference Obligation. |
| (b) | Notional amounts are presented in U.S. dollar equivalent. |
Semi-Annual Report | April 30, 2024 | 45 |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Statement of Assets and Liabilities
|
| |
April 30, 2024 (Unaudited)
|
| ASSETS: | |
| |
| Investments in securities, at fair value (cost $289,702,007) | |
$ | 301,288,705 | |
| Investment in affiliated fund, at fair value (cost $837,677) | |
| 758,010 | |
| Cash | |
| 820,462 | |
| Restricted cash | |
| 208,892,021 | |
| Foreign currency, at fair value (cost $4,388,588) | |
| 4,320,622 | |
| Receivables: | |
| | |
| Investment securities sold | |
| 4,464,460 | |
| Collateral posted to clearing house for futures | |
| 2,187,607 | |
| Collateral posted to clearing house for centrally cleared derivatives | |
| 78,879,123 | |
| Collateral posted to secured party under tri-party arrangement for over-the-counter derivatives | |
| 61,454,866 | |
| Collateral posted to secured party under tri-party arrangement for loan facility | |
| 1,841,087 | |
| Dividend | |
| 644,192 | |
| Interest | |
| 2,475,727 | |
| Simple agreement for future equity contracts, at fair value (cost $6,321,841) | |
| 6,818,890 | |
| Unrealized appreciation on forward foreign currency contracts | |
| 889,398 | |
| Unrealized appreciation on futures contracts | |
| 1,498,050 | |
| Over-the-counter credit default swaps, at fair value (net upfront fees paid of $3,577,353) | |
| 4,272,499 | |
| Unrealized appreciation on total return swap contracts | |
| 760,062 | |
| Prepaid expenses | |
| 323,069 | |
| Total Assets | |
| 682,588,850 | |
| | |
| | |
| LIABILITIES: | |
| | |
| Securities sold short, at fair value (proceeds $216,162,455) | |
| 211,222,849 | |
| Unrealized depreciation on TBA MBS forward contracts | |
| 1,347,981 | |
| Payables: | |
| | |
| Notes payable (Note 7) | |
| 60,000,000 | |
| Payable for investment securities purchased | |
| 26,990,126 | |
| Accrued interest payable | |
| 2,255,690 | |
| Payable for investment management fees | |
| 351,622 | |
| Payable for trustees fees | |
| 4,930 | |
| Unrealized depreciation on forward foreign currency contracts | |
| 110,041 | |
| Unrealized depreciation on futures contracts | |
| 31,840 | |
| Centrally cleared credit default swaps, at fair value (net upfront fees received of $40,702,734) | |
| 41,656,658 | |
| Over-the-counter credit default swaps, at fair value (net upfront fees received of $519,366) | |
| 506,516 | |
| Centrally cleared credit default swaptions, at fair value (net upfront premiums received of $1,207,273) | |
| 785,824 | |
| Unrealized depreciation on total return swap contracts | |
| 89,424 | |
| Other accrued expenses | |
| 641,152 | |
| Total Liabilities | |
| 345,994,653 | |
| Net Assets | |
$ | 336,594,197 | |
| | |
| | |
| COMPOSITION OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES: | |
| | |
| Paid-in capital | |
| 526,384,074 | |
| Total distributable loss | |
| (189,789,877 | ) |
| NET ASSETS | |
$ | 336,594,197 | |
| Net assets value per common share outstanding (net assets divided by 42,529,493 shares of beneficial interest authorized and outstanding, no par value) | |
$ | 7.91 | |
Saba
Capital Income & Opportunities Fund
|
Consolidated
Statement of Operations
|
| |
For the Six Months Ended April 30, 2024 (Unaudited)
|
| INVESTMENT INCOME: | |
| |
| Interest | |
$ | 16,118,608 | |
| Dividend (net of withholding taxes of $4,720) | |
| 6,217,816 | |
| Total Investment Income | |
| 22,336,424 | |
| | |
| | |
| EXPENSES: | |
| | |
| Interest expense | |
| 6,486,704 | |
| Investment management fees (Note 4) | |
| 2,216,360 | |
| Dividend expense | |
| 1,480,240 | |
| Professional fees | |
| 214,783 | |
| Fund administration fees | |
| 143,972 | |
| Registration and filing fees | |
| 91,689 | |
| Transfer agent fees | |
| 57,851 | |
| Custodian fees | |
| 50,103 | |
| Insurance expense | |
| 44,547 | |
| Trustees fees | |
| 33,421 | |
| Miscellaneous expenses | |
| 162,751 | |
| Total Expenses | |
| 10,982,421 | |
| Waived and reimbursed fees (Note 5) | |
| (271,268 | ) |
| Net expenses | |
| 10,711,153 | |
| Net Investment Income | |
| 11,625,271 | |
| | |
| | |
| NET REALIZED AND UNREALIZED GAIN/(LOSS): | |
| | |
| Net realized gain/(loss) on: | |
| | |
| Investments in securities | |
| 1,089,747 | |
| Investment in affiliated fund | |
| (198,932 | ) |
| Securities sold short | |
| (10,894,266 | ) |
| Forward foreign currency contracts | |
| (2,523,659 | ) |
| Futures contracts | |
| (10,097,790 | ) |
| TBA MBS forward contracts | |
| 6,557,881 | |
| Credit default swaps | |
| (44,053,288 | ) |
| Credit default swaptions | |
| 172,732 | |
| Total return swaps | |
| 26,341,187 | |
| Foreign currency transactions | |
| 480,441 | |
| Net realized loss | |
| (33,125,947 | ) |
| Net change in unrealized appreciation/(depreciation) on: | |
| | |
| Investments in securities | |
| 28,201,803 | |
| Investment in affiliated fund | |
| (79,667 | ) |
| Securities sold short | |
| 232,995 | |
| Simple agreement for future equity contracts | |
| 67,734 | |
| Forward foreign currency contracts | |
| 797,177 | |
| Futures contracts | |
| 437,020 | |
| TBA MBS forward contracts | |
| 1,282,663 | |
| Credit default swaps | |
| 1,759,644 | |
| Credit default swaptions | |
| 421,449 | |
| Total return swaps | |
| (406,744 | ) |
| Foreign currency translation | |
| (1,935,726 | ) |
| Net change in unrealized appreciation | |
| 30,778,348 | |
| Net realized and unrealized loss | |
| (2,347,599 | ) |
| Net increase in net assets resulting from operations | |
$ | 9,277,672 | |
Semi-Annual Report | April 30, 2024 | 47 |
Saba Capital Income &
Opportunities Fund
|
Consolidated Statements of Changes in Net Assets
|
| |
|
| | |
For the Period Ended | |
For the |
| | |
April 30,
2024 | |
Year Ended
October 31, |
| | |
(Unaudited) | |
2023 |
| FROM OPERATIONS: | |
| |
|
| Net investment income | |
$ | 11,625,271 | | |
$ | 7,694,970 | |
| Net realized gain/(loss) | |
| (33,125,947 | ) | |
| 21,617,627 | |
| Net change in unrealized appreciation | |
| 30,778,348 | | |
| 1,283,599 | |
| Net increase in net assets resulting from operations | |
| 9,277,672 | | |
| 30,596,196 | |
| | |
| | | |
| | |
| FROM DISTRIBUTIONS TO COMMON SHAREHOLDERS: | |
| | | |
| | |
| Total distributions (excluding return of capital) | |
| (8,841,396 | ) | |
| (8,594,037 | ) |
| Tax return of capital | |
| (17,709,342 | ) | |
| (35,594,107 | ) |
| Decrease in net assets from distributions to common shareholders | |
| (26,550,738 | ) | |
| (44,188,144 | ) |
| Net decrease in net assets | |
| (17,273,066 | ) | |
| (13,591,948 | ) |
| NET ASSETS: | |
| | | |
| | |
| Net assets, beginning of period/year | |
| 353,867,263 | | |
| 367,459,211 | |
| Net assets, end of period/year | |
$ | 336,594,197 | | |
$ | 353,867,263 | |
Saba Capital Income & Opportunities Fund
|
Consolidated
Statement of Cash Flows
|
| |
For the Six Months Ended April 30, 2024 (Unaudited)
|
| INCREASE (DECREASE) IN CASH | |
|
| CASH FLOWS PROVIDED BY (USED IN) OPERATING ACTIVITIES: | |
|
| Net increase in net assets resulting from operations | |
$ | 9,277,672 | |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash flows used in operating activities: | |
| | |
| Purchases of investment securities | |
| (294,831,882 | ) |
| Proceeds from disposition of investment securities | |
| 329,792,060 | |
| Proceeds from disposition of investment in affiliated fund | |
| 2,492,379 | |
| Proceeds from securities sold short | |
| (7,184,290 | ) |
| Net payments on derivative contracts | |
| 24,185,668 | |
| Amortization of premium and accretion of discount on investments | |
| (2,680,265 | ) |
| Net realized (gain)/loss on investments in securities | |
| (1,089,747 | ) |
| Net realized (gain)/loss on investments in in affiliated fund | |
| 198,932 | |
| Net realized (gain)/loss on securities sold short | |
| 10,894,266 | |
| Net realized (gain)/loss on forward foreign currency contracts | |
| 2,523,659 | |
| Net realized (gain)/loss on futures contracts | |
| 10,097,790 | |
| Net realized (gain)/loss on credit default swaps | |
| 44,053,288 | |
| Net realized (gain)/loss on credit default swaptions | |
| (172,732 | ) |
| Net realized (gain)/loss on total return swaps | |
| (26,341,187 | ) |
| Net realized (gain)/loss on TBA MBS forward contracts | |
| (6,557,881 | ) |
| Net realized (gain)/loss on foreign currency transactions | |
| (480,441 | ) |
| Change in unrealized (appreciation)/depreciation on investments in securities | |
| (28,201,803 | ) |
| Change in unrealized (appreciation)/depreciation on investments in affiliated fund | |
| 79,667 | |
| Change in unrealized (appreciation)/depreciation on securities sold short | |
| (232,995 | ) |
| Change in unrealized (appreciation)/depreciation on simple agreement for future equity contracts | |
| (67,734 | ) |
| Change in unrealized (appreciation)/depreciation on forward foreign currency contracts | |
| (797,177 | ) |
| Change in unrealized (appreciation)/depreciation on futures contracts | |
| (437,020 | ) |
| Change in unrealized (appreciation)/depreciation on credit default swaps | |
| (1,759,644 | ) |
| Change in unrealized (appreciation)/depreciation on credit default swaptions | |
| (421,449 | ) |
| Change in unrealized (appreciation)/depreciation on total return swaps | |
| 406,744 | |
| Change in unrealized (appreciation)/depreciation on TBA MBS forward contracts | |
| (1,282,663 | ) |
| Change in unrealized (appreciation)/depreciation on foreign currency translation | |
| 1,935,726 | |
| (Increase)/decrease in assets: | |
| | |
| Collateral posted to clearing house for futures | |
| (2,187,607 | ) |
| Collateral posted to clearing house for centrally cleared derivatives | |
| (66,717,756 | ) |
| Collateral posted to secured party under tri-party arrangement for over-the-counter derivatives | |
| 7,035,736 | |
| Collateral posted to secured party under tri-party arrangement for loan facility | |
| (1,175,053 | ) |
| Dividend receivable | |
| (508,436 | ) |
| Interest receivable | |
| (1,292,677 | ) |
| Prepaid expenses | |
| (42,222 | ) |
| Increase/(decrease) in liabilities: | |
| | |
| Accrued interest payable | |
| 436,872 | |
| Payable for investment management fees | |
| (10,417 | ) |
| Payable for trustees fees | |
| 1,310 | |
| Other accrued expenses | |
| (244,008 | ) |
| Net cash flows used in operating activities | |
| (1,305,317 | ) |
| | |
| | |
| CASH FLOWS FROM FINANCING ACTIVITIES: | |
| | |
| Repayments of long-term debt | |
| (45,500,000 | ) |
| Proceeds from long-term debt | |
| 52,600,000 | |
| Cash distributions paid | |
| (26,550,738 | ) |
| Foreign currency overdraft | |
| (6,571,524 | ) |
| Net cash used in financing activities | |
| (26,022,262 | ) |
| | |
| | |
| Effect of exchange rates on cash | |
| (1,455,285 | ) |
| | |
| | |
| Net change in cash & foreign currency | |
| (28,782,864 | ) |
| Cash, restricted cash & foreign currency, beginning of period | |
$ | 242,815,969 | |
| Cash, restricted cash & foreign currency, end of period | |
$ | 214,033,105 | |
| | |
| | |
| Cash paid for interest on loan during the period | |
| 6,049,832 | |
| Semi-Annual Report | April 30, 2024 | 49 |
Saba Capital Income & Opportunities Fund
|
Financial
Highlights
|
| |
For a Share Outstanding Throughout
the Periods Presented
|
| | |
For the
Period Ended
April 30, 2024(a)(k) | |
For the
Year Ended
October 31, 2023(a) | |
For the
Year Ended
October 31, 2022(a) | |
For the
Period Ended
October 31, 2021(b)(c) | |
For the
Year Ended
February 28, 2021(c) | |
For the
Year Ended
February 28, 2020(c) |
| PER COMMON SHARE OPERATING PERFORMANCE | |
| |
| |
| |
| |
| |
|
| Net asset value - beginning of period/year | |
$ | 8.32 | | |
$ | 8.64 | | |
$ | 9.86 | | |
$ | 9.94 | | |
$ | 10.60 | | |
$ | 11.08 | |
| INCOME/(LOSS) FROM INVESTMENT OPERATIONS | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Net investment income(d) | |
| 0.27 | | |
| 0.18 | | |
| 0.05 | | |
| 0.10 | | |
| 0.32 | | |
| 0.60 | |
| Net realized and change in unrealized gain/(loss) on investments and unfunded loan commitments(d) | |
| (0.06 | ) | |
| 0.54 | | |
| (0.21 | ) | |
| 0.16 | | |
| (0.64 | ) | |
| (0.46 | ) |
| Total Income/(Loss) from Investment Operations | |
| 0.21 | | |
| 0.72 | | |
| (0.16 | ) | |
| 0.26 | | |
| (0.32 | ) | |
| 0.14 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| DISTRIBUTIONS TO COMMON SHAREHOLDERS | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| From net investment income(d) | |
| (0.21 | ) | |
| (0.20 | ) | |
| (0.31 | ) | |
| (0.12 | ) | |
| (0.34 | ) | |
| (0.62 | ) |
| From tax return of capital(d) | |
| (0.41 | ) | |
| (0.84 | ) | |
| (0.75 | ) | |
| (0.22 | ) | |
| (0.02 | ) | |
| - | |
| Total Distributions to Common Shareholders | |
| (0.62 | ) | |
| (1.04 | ) | |
| (1.06 | ) | |
| (0.34 | ) | |
| (0.36 | ) | |
| (0.62 | ) |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Accretion to net asset value resulting from share repurchases and tender offer(d)(e) | |
| - | | |
| - | | |
| - | | |
| - | | |
| 0.02 | | |
| - | |
| Total Capital Share Transactions | |
| - | | |
| - | | |
| - | | |
| - | | |
| 0.02 | | |
| - | |
| Net asset value per common share - end of period/year | |
$ | 7.91 | | |
$ | 8.32 | | |
$ | 8.64 | | |
$ | 9.86 | | |
$ | 9.94 | | |
$ | 10.60 | |
| Market price per common share - end of period/year | |
$ | 7.15 | | |
$ | 7.39 | | |
$ | 7.84 | | |
$ | 9.34 | | |
$ | 9.26 | | |
$ | 9.82 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Total Investment Return - Net Asset Value(f) | |
| 3.23 | % | |
| 9.63 | % | |
| (0.95 | )% | |
| 2.84 | % | |
| (2.14 | )% | |
| 1.88 | % |
| Total Investment Return - Market Price(f) | |
| 5.05 | % | |
| 7.31 | % | |
| (5.12 | )% | |
| 4.57 | % | |
| (1.59 | )% | |
| 8.48 | % |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Ratios to average net assets | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Ratio of expenses including waivers to average net assets(h)(j) | |
| 6.10 | %(g) | |
| 4.61 | % | |
| 2.36 | % | |
| 1.43 | %(g) | |
| 2.26 | % | |
| 2.85 | % |
| Ratio of expenses excluding waivers to average net assets(j) | |
| 6.25 | %(g) | |
| 4.73 | % | |
| 2.75 | % | |
| 1.60 | %(g) | |
| 2.68 | % | |
| 2.86 | % |
| Ratio of net investment income including waivers to average net assets | |
| 6.62 | %(g) | |
| 2.09 | % | |
| 0.49 | % | |
| 1.62 | %(g) | |
| 3.37 | % | |
| 5.29 | % |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| SUPPLEMENTAL DATA | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Portfolio turnover rate | |
| 51.00 | % | |
| 76.16 | % | |
| 99.00 | % | |
| 94.00 | % | |
| 56.00 | % | |
| 53.00 | % |
| Net assets attributable to common shares, end of period (000s) | |
$ | 336,594 | | |
$ | 353,867 | | |
$ | 367,459 | | |
$ | 419,710 | | |
$ | 605,535 | | |
$ | 782,813 | |
| Total shares outstanding (000s)(c) | |
| 42,529 | | |
| 42,529 | | |
| 42,529 | | |
| 42,529 | | |
| 60,920 | | |
| 73,894 | |
| Asset coverage, end of period per $1,000(i) | |
| 5,610 | | |
$ | 6,689 | | |
$ | 3,904 | | |
$ | 9,394 | | |
$ | 27,794 | | |
$ | 3,478 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Aggregate principal amount of borrowings, end of period (000s) | |
| 60,000 | | |
$ | 52,900 | | |
$ | 175,500 | | |
$ | 50,000 | | |
$ | 22,600 | | |
$ | 315,900 | |
| Average borrowings outstanding during the period (000s) | |
| 77,500 | | |
$ | 88,961 | | |
$ | 124,674 | | |
$ | 20,559 | | |
$ | 211,066 | | |
$ | 312,939 | |
Saba Capital Income & Opportunities Fund
|
Financial
Highlights
|
| |
For a Share Outstanding Throughout
the Periods Presented
|
| | |
For
the
Period Ended | | |
For
the
Year Ended | | |
For
the
Year Ended | | |
For
the
Period Ended | | |
For
the
Year Ended | | |
For
the
Year Ended | |
| | |
April
30,
2024(a)(k) | | |
October
31,
2023(a) | | |
October
31,
2022(a) | | |
October
31,
2021(b)(c) | | |
February
28,
2021(c) | | |
February
28,
2020(c) | |
| SUPPLEMENTAL
RATIOS | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Ratios
to average net assets | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Ratio
of expenses excluding dividend expense on securities sold short, interest expense and other fees related to revolving credit facility
to average net assets(j) | |
| 1.56 | %(g) | |
| 1.58 | % | |
| 1.67 | % | |
| 1.38 | %(g) | |
| 2.13 | % | |
| 1.62 | % |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
Ratios
to average net assets plus borrowings | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Ratio
of expenses including waivers to average net assets(h)(j) | |
| 4.99 | %(g) | |
| 3.71 | % | |
| 1.79 | % | |
| 1.37 | %(g) | |
| 1.72 | % | |
| 2.05 | % |
| Ratio
of expenses excluding waivers to average net assets(j) | |
| 5.11 | %(g) | |
| 3.81 | % | |
| 2.09 | % | |
| 1.54 | %(g) | |
| 2.04 | % | |
| 2.06 | % |
| Ratio
of expenses excluding dividend expense on securities sold short, interest expense and other fees related to revolving credit facility
to average net assets(j) | |
| 1.28 | %(g) | |
| 1.27 | % | |
| 1.27 | % | |
| 1.32 | %(g) | |
| 1.30 | % | |
| 1.16 | % |
| Ratio
of net investment income including waivers to average net assets | |
| 5.41 | %(g) | |
| 1.69 | % | |
| 0.38 | % | |
| 1.56 | %(g) | |
| 2.56 | % | |
| 3.81 | % |
| (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) | Reflects a 1 for 2 reverse stock split effective May 20,
2022, see Note 8 in the accompanying Notes to Consolidated Financial Statements. |
| (d) | Calculated using average common shares outstanding. |
| (e) | Please see Note 8 in the accompanying Notes to Consolidated
Financial Statements for additional information. |
| (f) | 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. |
| (h) | 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. |
| (i) | Asset coverage ratio 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 (excluding the principal amount of the Leverage
Facility) from the Fund’s total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000. |
| (j) | Expense ratios do not include any acquired fund fees. |
| Semi-Annual Report | April 30, 2024 | 51 |
Saba Capital Income &
Opportunities Fund
|
Notes to Consolidated Financial Statements
|
| |
April 30, 2024 (Unaudited)
|
NOTE 1 — ORGANIZATION
Saba Capital Income & Opportunities
Fund (the “Fund”), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended (the
“1940 Act”), as a closed-end, management investment company. The common shares of the Fund are listed on the New York Stock
Exchange (the “NYSE”) under the symbol “BRW”. The Fund’s investment objective is to seek to provide shareholders
with a high level of current income, with a secondary goal of capital appreciation. The Fund invests globally in debt and equity securities
of public and private companies, which includes, among other things, investments in closed-end funds, special purpose acquisition companies
(“SPAC”), reinsurance and public and private debt instruments. The Fund also may utilize derivatives, including but not limited
to, total return swaps, credit default swaps (“CDS”), options and futures, in seeking to enhance returns and/or to reduce
portfolio risk. The Fund may also invest up to 15% of its total assets in private funds on a discretionary basis.
Saba Capital Management, L.P. (the
“Investment Adviser”), a Delaware limited partnership, serves as the investment adviser to the Fund.
NOTE 2 —
SIGNIFICANT ACCOUNTING POLICIES
These consolidated
financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”)
and are stated in United States dollars (“U.S. dollars”). The Fund is considered an investment company under Accounting Standards
Codification (“ASC”) 946, “Financial Services – Investment Companies”, and follows the accounting
and reporting guidance therein. The preparation of the consolidated financial statements requires management to make estimates and assumptions
that affect the amounts in the consolidated financial statements and accompanying notes. Actual results could differ from these estimates
and the differences may be material.
The Fund is open for business
every day the NYSE opens for regular trading (each such day, a “Business Day”). The net asset value (“NAV”) per
common share of the Fund is determined each Business Day as of the close of the regular trading session (“Market Close”),
as determined by the Consolidated Tape Association (“CTA”), the central distributor of transaction prices for exchange-traded
securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA). The data reflected on the consolidated tape provided
by the CTA is generated by various market centers, including all securities exchanges, electronic communications networks, and third-market
broker-dealers. The NAV per common share of the Fund is calculated by dividing the value of the Fund’s assets plus all cash and
other assets (including accrued expenses but excluding capital and surplus) attributable to the common shares by the number of common
shares outstanding. The NAV per common share is made available for publication. On days when the Fund is closed for business, Fund shares
will not be priced and the Fund does not transact purchase and redemption orders. To the extent the Fund’s assets are traded in
other markets on days when the Fund does not price its shares, the value of the Fund’s assets will likely change and you will not
be able to purchase or sell shares of the Fund.
A. Financial Instrument
Valuation. Investments for which market quotations are readily available are valued at fair market value. Securities (including
common stock, closed end funds, investment trusts, preferred stock, unit trusts and SPACs) listed or traded on an exchange are valued
at their last sales price or official closing price as of the close of the regular trading session on the exchange where the particular
security at the last sale price as of the Market Close for such security provided by the CTA. Investments in money market funds are valued
at NAV, which approximates fair market value. The private fund investment is valued at the NAV reported by the private fund’s general
partner or Investment Adviser. This is commonly referred to as using NAV as the practical expedient which allows for estimation of the
fair value of an investment in an investment entity based on NAV or its equivalent if the NAV of the investment entity is calculated
in a manner consistent with ASC 946. Because of the inherent uncertainty of valuations of the investments in the private fund, their
estimated values may differ significantly from the values that would have been used had a ready market for the private fund existed,
and the differences could be material. Corporate bonds, convertible corporate bonds, mortgage-backed securities, sovereign debt obligations
and senior loans are valued at mid-level prices provided by independent pricing services. Exchange traded derivatives such as warrants,
rights, options and futures contracts 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 (the “mid-price”) from the exchange on which they are principally traded. Non-exchange
traded derivatives whose underlying reference assets are exchanged traded products (such as total return swaps) are fair valued using
the last sales price or mid-price of the underlying reference asset. Other 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. Investments for which market quotations are not readily available (including common stock, preferred
stock, participation agreements, SPACs, warrants and simple agreement for future equity contracts) are valued by third-party valuation
specialists or at cost, which approximates fair market value.
Saba
Capital Income & Opportunities Fund
|
Notes
to Consolidated Financial Statements
|
| |
April 30, 2024 (Unaudited) |
B. Fair
Value Measurement. Investments held by the Fund are recorded at fair value in accordance with ASC 820, “Fair Value Measurements
and Disclosures” (“ASC 820”). As defined in ASC 820, fair value is the price that would be received to sell an asset
or paid to transfer a liability in an orderly transaction between market participants at the measurement date. In accordance with Rule
2a-5 promulgated under the 1940 Act, the Board has appointed the Investment Adviser as the Fund’s valuation designee. In that role,
it has established a Valuation Committee (the “Committee”) that oversees the valuation of the Fund’s investments pursuant
to procedures adopted by the Investment Adviser (the “Valuation Policy”). Under Rule 2a-5, the Board has assigned to the
Investment Adviser general responsibility for determining, in accordance with the Valuation Policy, the value of its investments. The
Committee is led by the Investment Adviser’s Chief Financial Officer and is comprised of the Investment Adviser’s Chief Operating
Officer/Chief Compliance Officer, Fund Accounting team, Chief Risk Officer (Trustee of the Fund) and Director of Operations, all of whom
are independent of the Fund’s portfolio investment decisions. Additionally, Investment Adviser’s Portfolio Managers, whose
roles are limited to providing insight into recent trade activity and overall market performance, are also members of the Committee. The
majority of Committee members are independent of the Fund’s portfolio investment decisions. The Committee meets on a monthly basis
and is responsible for compliance and consistent application of the Valuation Policy.
ASC 820 establishes a hierarchical
disclosure framework which prioritizes and ranks the level of market price observability of inputs used in measuring investments at fair
value. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific
to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted
prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Investments measured and reported at fair value are classified and disclosed in one of the following categories:
Level 1 – Quoted prices
available in active markets for identical financial instruments as of the reporting date. An active market for the financial instrument
is a market in which transactions for the financial instrument occur with sufficient frequency and volume to provide pricing information
on an ongoing basis, as well as at the reporting date. Investments classified within Level 1 primarily include money market funds, common
stock, closed end funds, exchange traded funds, investment trusts, preferred stock, SPACs, exchange traded unit trusts, derivatives (including
warrants, rights, options and futures contracts), and certain government bonds. The Investment Adviser does not adjust the quoted price
for such instruments, even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.
Level 2 – Consists of financial
instruments fair valued using inputs other than quoted prices included within Level 1 that are observable for the financial instrument,
either directly or indirectly. This category includes pricing inputs that are quoted prices for similar financial instruments in active
markets or quoted prices for similar or identical financial instruments in markets that at times may not meet the definition of active.
Derivatives are valued using observable inputs, such as quotations received from third party service providers, counterparties, dealers
or brokers, whenever available and considered reliable. In instances where models are used, the value of a derivative depends upon the
contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs.
Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and
correlations of such inputs. If inputs are unobservable and significant to the fair value, these investments will be classified as Level
3.
Level 3 – Pricing inputs
that are unobservable for the financial instrument and includes situations where there may be little, if any, market activity for the
financial instrument. The inputs into the determination of fair value could require significant management judgment or estimation. A financial
instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value
measurement. However, the determination of what constitutes “observable” requires significant judgment by the Investment Adviser.
The Investment Adviser considers observable data to be market data, which is readily available, regularly distributed or updated, reliable
and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization
of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond
to the Investment Adviser’s perceived risk of that instrument.
Semi-Annual Report | April 30, 2024 | 53 |
Saba
Capital Income & Opportunities Fund
|
Notes
to Consolidated Financial Statements
|
| |
April 30, 2024 (Unaudited) |
The following table summarizes
the valuation of the Fund’s financial instruments in accordance with the above fair value hierarchy levels as of April 30, 2024.
Refer to the Consolidated Schedule 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 | |
$ | - | | |
$ | 35,966,346 | | |
$ | - | | |
$ | 35,966,346 | |
| Senior Loans*** | |
| - | | |
| 49,161,508 | | |
| - | | |
| 49,161,508 | |
| Convertible Corporate Bond | |
| - | | |
| 137,134 | | |
| - | | |
| 137,134 | |
| Sovereign Debt Obligations** | |
| - | | |
| 8,466,601 | | |
| - | | |
| 8,466,601 | |
| Mortgage-Backed Securities | |
| - | | |
| 3,853,935 | | |
| - | | |
| 3,853,935 | |
| Common Stock | |
| 16,249,326 | | |
| 3,322,445 | | |
| 591,257 | | |
| 20,163,028 | |
| Closed End Funds | |
| 103,317,557 | | |
| - | | |
| - | | |
| 103,317,557 | |
| Investment Trusts | |
| 17,436,641 | | |
| - | | |
| - | | |
| 17,436,641 | |
| Preferred Stock | |
| - | | |
| 4,080 | | |
| 3,215,284 | | |
| 3,219,364 | |
| Participation Agreement*** | |
| - | | |
| - | | |
| - | | |
| - | |
| Private Fund* | |
| - | | |
| - | | |
| - | | |
| 40,397,814 | |
| Unit Trust | |
| 15,229,231 | | |
| - | | |
| - | | |
| 15,229,231 | |
| Special Purpose Acquisition Companies*** | |
| 17,402 | | |
| - | | |
| 9,270 | | |
| 26,673 | |
| Warrants*** | |
| 511,732 | | |
| 32,552 | | |
| 6,070 | | |
| 550,354 | |
| Rights | |
| 118,670 | | |
| - | | |
| - | | |
| 118,670 | |
| Options**** | |
| 2,071,925 | | |
| - | | |
| - | | |
| 2,071,925 | |
| Money Market Funds | |
| 1,171,924 | | |
| - | | |
| - | | |
| 1,171,924 | |
| Total | |
$ | 156,124,408 | | |
$ | 100,944,601 | | |
$ | 3,821,881 | | |
$ | 301,288,705 | |
| Investment in Affiliated Fund, at Fair Value | |
Level 1 - Quoted Prices | | |
Level 2 - Significant
Observable Inputs | | |
Level 3 - Significant
Unobservable Inputs | | |
Total | |
| Closed End Fund | |
$ | 758,010 | | |
$ | - | | |
$ | - | | |
$ | 758,010 | |
| Total | |
$ | 758,010 | | |
$ | - | | |
$ | - | | |
$ | 758,010 | |
| Securities Sold Short, at Fair Value | |
Level 1 - Quoted Prices | | |
Level 2 - Significant
Observable Inputs | | |
Level 3 - Significant
Unobservable Inputs | | |
Total | |
| Sovereign Debt Obligations** | |
$ | 166,061,099 | | |
$ | - | | |
$ | - | | |
$ | 166,061,099 | |
| Common Stock | |
| 30,916,780 | | |
| - | | |
| - | | |
| 30,916,780 | |
| Preferred Stock | |
| 51,464 | | |
| - | | |
| - | | |
| 51,464 | |
| Unit Trust | |
| 14,193,506 | | |
| - | | |
| - | | |
| 14,193,506 | |
| Total | |
$ | 211,222,849 | | |
$ | - | | |
$ | - | | |
$ | 211,222,849 | |
| Derivative Contracts, at Fair Value | |
Level 1 - Quoted Prices | | |
Level 2 - Significant
Observable Inputs | | |
Level 3 - Significant
Unobservable Inputs | | |
Total | |
| Assets | |
| | |
| | |
| | |
| |
| Simple Agreement for Future Equity Contracts | |
$ | - | | |
$ | - | | |
$ | 6,818,890 | | |
$ | 6,818,890 | |
| Forward Foreign Currency Contracts | |
| - | | |
| 889,398 | | |
| - | | |
| 889,398 | |
| Futures Contracts | |
| 1,498,050 | | |
| - | | |
| - | | |
| 1,498,050 | |
| Over-the-Counter Credit Default Swaps | |
| - | | |
| 4,272,499 | | |
| - | | |
| 4,272,499 | |
| Total Return Swaps | |
| - | | |
| 760,062 | | |
| - | | |
| 760,062 | |
| Total Assets | |
$ | 1,498,050 | | |
$ | 5,921,959 | | |
$ | 6,818,890 | | |
$ | 14,238,899 | |
| | |
| | | |
| | | |
| | | |
| | |
| Liabilities | |
| | | |
| | | |
| | | |
| | |
Forward Foreign Currency Contracts | |
$ | - | | |
$ | 110,041 | | |
$ | - | | |
$ | 110,041 | |
| Futures Contracts | |
| 31,840 | | |
| - | | |
| - | | |
| 31,840 | |
| TBA MBS Forward Contracts | |
| - | | |
| 1,347,981 | | |
| - | | |
| 1,347,981 | |
| Centrally Cleared Credit Default Swaps | |
| - | | |
| 41,656,658 | | |
| - | | |
| 41,656,658 | |
| Over-the-Counter Credit Default Swaps | |
| - | | |
| 506,516 | | |
| - | | |
| 506,516 | |
| Centrally Cleared Credit Default Swaptions | |
| - | | |
| 785,824 | | |
| - | | |
| 785,824 | |
| Total Return Swaps | |
| - | | |
| 89,424 | | |
| - | | |
| 89,424 | |
| Total Liabilities | |
$ | 31,840 | | |
$ | 44,496,444 | | |
$ | - | | |
$ | 44,528,284 | |
| * | In accordance with ASC 820-10, investments that are measured
at fair value using the NAV per share (or its equivalent) as practical expedient have not been classified in the fair value hierarchy.
The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented
in the Consolidated Schedule of Investments and Consolidated Statement of Assets and Liabilities. |
| ** | Investments classified in Level 1 include sovereign debt
obligations issued by G10 countries. All other sovereign debt obligations are classified as Level 2. |
| *** | The Fund held Level 3 investments that are priced at $0. |
| **** | All options held by the Fund are exchange traded listed
options. |
Saba
Capital Income & Opportunities Fund
|
Notes
to Consolidated Financial Statements
|
| |
April 30, 2024 (Unaudited) |
The following is a reconciliation of the fair value
of investments for which the Fund has used Level 3 unobservable inputs in determining fair value as of April 30, 2024:
| | |
Common Stock | | |
Preferred
Stock | | |
Participation
Agreement | | |
Special
Purpose Acquisition
Companies | | |
Warrants | | |
Simple
Agreement for
Future Equity
Contracts | | |
Total | |
| Balance as of October 31, 2023 | |
$ | - | | |
$ | 3,067,747 | | |
$ | 959,660 | | |
$ | 292,435 | | |
$ | 5,628 | | |
$ | 6,429,315 | | |
$ | 10,754,785 | |
| Realized gain/(loss) | |
| - | | |
| - | | |
| - | | |
| (72 | ) | |
| - | | |
| - | | |
| (72 | ) |
Change in unrealized
appreciation/(depreciation) | |
| 591,182 | | |
| 147,537 | | |
| (959,660 | ) | |
| (283,018 | ) | |
| 442 | | |
| 67,734 | | |
| (435,783 | ) |
| Purchases/commitments | |
| - | | |
| - | | |
| - | | |
| - | | |
| - | | |
| 321,841 | | |
| 321,841 | |
| Conversion | |
| 75 | | |
| - | | |
| - | | |
| (75 | ) | |
| - | | |
| - | | |
| - | |
| Balance as of April 30, 2024 | |
$ | 591,257 | | |
$ | 3,215,284 | | |
$ | - | | |
$ | 9,270 | | |
$ | 6,070 | | |
$ | 6,818,890 | | |
$ | 10,640,771 | |
| Net change in unrealized appreciation/(depreciation) included in Consolidated Statement of Operations attributable to Level 3 investments held at April 30, 2024 | |
$ | 591,182 | | |
$ | 147,537 | | |
$ | (959,660 | ) | |
$ | (283,018 | ) | |
$ | 442 | | |
$ | 67,734 | | |
$ | (435,783 | ) |
The following table summarizes the valuation techniques
and significant unobservable inputs used for the Fund’s investments that are categorized in Level 3 of the fair value hierarchy
as of April 30, 2024:
| | |
| | |
| |
| |
Inputs | |
Asset Category: | |
Fair
value at
April 30, 2024 | | |
Valuation Technique | |
Unobservable Inputs | |
Range | | |
Weighted Average | |
| Common Stock | |
$ | 591,257 | | |
Market Approach | |
Discount for lack of marketability | |
| 21% | | |
| 21% | | |
| 21% | |
| | |
| | | |
| |
| |
| | | |
| | | |
| | |
| Preferred Stock | |
$ | 3,215,284 | | |
Market Comparable Technique | |
Comparable Multiple | |
| 0.7x | | |
| 9.52x | | |
| 4.7x | |
| | |
| | | |
Backsolve Method | |
Volatility | |
| 70% | | |
| 70% | | |
| 70% | |
| | |
| | | |
| |
| |
| | | |
| | | |
| | |
| Special Purpose Acquisition Companies | |
$ | 9,270 | | |
Market Approach | |
Discount for Lack of Marketability | |
| 16.6% | | |
| 23.0% | | |
| 19.8% | |
| | |
| | | |
| |
| |
| | | |
| | | |
| | |
Simple Agreement for
Future Equity Contracts | |
$ | 6,818,890 | | |
Market Comparable Technique | |
Comparable Multiple | |
| 3.8x | | |
| 6.3x | | |
| 5.0x | |
| | |
| | | |
Monte Carlo Analysis | |
Volatility | |
| 60% | | |
| 70% | | |
| 68% | |
| | |
| | | |
Monte Carlo Analysis | |
Discount Rate | |
| 75% | | |
| 80% | | |
| 78% | |
| | |
| | | |
Transaction Price | |
Transaction Price | |
| N/A | | |
| N/A | | |
| N/A | |
All Level 3 investments were valued at April 30, 2024 either
using unadjusted prices provided by third-party valuation specialists or at cost.
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, derivatives and foreign currency translation on the Consolidated Statement of Operations. Expenses are recorded on the
accrual basis as incurred.
Semi-Annual Report | April 30, 2024 | 55 |
Saba
Capital Income & Opportunities Fund
|
Notes
to Consolidated Financial Statements
|
| |
April 30, 2024 (Unaudited) |
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. |
Net realized currency translation
gains or losses include the effects of currency movements between trade and settlement dates on investment transactions and the difference
between amounts actually received or paid upon settlement. The Fund does not isolate that portion of the results of operations arising
from the changes in foreign exchange rates from changes in market prices of investments held. Such fluctuations are included in either
net realized gains (losses) on securities and derivative transactions or net change in unrealized appreciation (depreciation) on securities
and derivative transactions in the Consolidated Statement of Operations. Foreign currency translation gains and losses on assets and liabilities
(excluding investments) are included in either net realized gains (losses) on foreign currency transaction or net change in unrealized
appreciation (depreciation) on foreign currency translation.
E. Cash
and Foreign Currency. Cash and foreign currency balances are held in custodial accounts at the Bank of New York Mellon and are
reflected on the Consolidated Statement of Assets and Liabilities.
F. Restricted Cash. At April 30, 2024, the Fund held restricted cash in connection with certain securities sold short. Restricted cash is held in a segregated account with the Fund’s counterparty broker and is reflected in the Consolidated Statement of Assets and Liabilities.
G. Derivatives.
Derivatives may be traded on regulated exchanges or in the over-the-counter (“OTC”) markets. In seeking to limit the
credit risk associated with transactions in the OTC market, the Fund conducts business only with recognized financial institutions, the
financial condition of which is monitored by the Investment Adviser.
In addition, the Fund’s
OTC derivative contracts subject to International Swaps and Derivative Association (“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.
The aggregate fair value of all derivative instruments subject to those covenants and provisions that are in a net liability position
at April 30, 2024 is $1,382,871. During the period ended April 30, 2024, the Fund did not trigger covenants related to minimum NAV and
performance based thresholds.
With futures and cleared swaps,
the central counterparty clearinghouses (“CCPs” or “clearinghouses”), as counterparty to such instruments, guarantees
against a possible default. The clearinghouses stand between the buyer and the seller of the contract; therefore, credit risk is limited
to failure of the clearinghouses. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset
against a clearing broker or clearinghouse in the event of a default (including bankruptcy or insolvency). Additionally, credit risk exists
in futures and 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. Cash that is posted to the clearinghouses for initial margin and variation margin is reflected on the
Consolidated Statement of Assets and Liabilities under collateral posted to clearing house for centrally cleared derivatives and collateral
posted to clearing house for futures.
1. Option
Contracts: The Fund may buy or write put and call options through listed exchanges and the OTC market, as a part of its investment
strategy. An option contract provides its owner the right, but not the obligation, to buy or sell specified amounts of a financial instrument,
commodity, or currency, at a contracted price during a specified period or a specified date. The Fund has elected to classify listed options
as investments in securities.
A credit default swaption is
a contract that provides the holder with the right, but not the obligation, to enter into a credit default swap (“CDS”) in
the future. Credit default swaptions can either be payer swaptions or receiver swaptions. If a payer swaption, the option holder has the
right to enter into a CDS where they pay premiums; and, if a receiver swaptions, the option holder receives premiums.
2. Simple
Agreement for Future Equity (“SAFE”) Contracts: The Fund has entered into SAFEs with various companies, as a part
of its investment strategy. A SAFE is an agreement between the Fund and a company that grants the Fund the right to certain shares of
the company’s stock subject to certain negotiated terms unique to each contract. The aggregate cost and fair value are included
in the Consolidated Statement of Assets and Liabilities. Unrealized gains and losses are included in the Consolidated Statement of Operations.
Saba
Capital Income & Opportunities Fund
|
Notes
to Consolidated Financial Statements
|
| |
April 30, 2024 (Unaudited) |
3. 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 forward foreign currency 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 Schedule of Investments. 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.
4. TBA
MBS Forward Contracts: The Fund has entered into To Be Announced (“TBA”) MBS Forward Contracts, as a part of its investment
strategy. TBA forwards are agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery
on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered
securities must be specified terms, including issuer, rate, and mortgage terms. When entering into TBA forwards, the Fund may take possession
of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transactions. TBA forwards involve a
risk of loss if the value of the security to be purchased or sold decline or increase, respectively, prior to settlement date, if there
are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
5. Futures
Contracts: The Fund may enter into futures contracts to gain exposure to, or hedge against, changes in the value of equities and
commodities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset
or index at a specified price on a specified date. The purchase and sale of futures requires margin deposits with a futures commission
merchant (“FCM”) equal to a certain percentage of the contract amount. Subsequent payments of variation margin are made or
received by the Fund each day, depending on the daily fluctuations in the value of the contract. Futures contracts mitigate the Fund’s
exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s FCM, as the counterparty to all exchange-traded
futures, guarantees the futures contracts against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions
and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered
commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency,
recovery may be limited to the Fund’s pro-rata share of segregated customer funds available. It is possible that the recovery amount
could be less than the total of cash and other equity deposited.
6. Swap
Contracts: The Fund expects to enter into various swap agreements including, but not limited to CDS and total return 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 Schedule of Investments 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.
a. 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, 2024, the Fund had been both a purchaser and a seller of CDS contracts.
Semi-Annual Report | April 30, 2024 | 57 |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
b. Total
Return Swaps: Total return swap contracts involve the exchange by the Fund and a counterparty of their respective commitments
to pay or receive a net amount based on the change in the fair value of a particular security or index, specified interest rates for fixed
rate payments, and the notional amount of the swap contract.
7. Offsetting
Assets and Liabilities and Counterparty Risk: In connection with its derivative activities, the Fund generally enters into master
netting agreements and collateral agreements with its counterparties. These agreements provide the Fund with the right, in the event of
a default by the counterparty (such as bankruptcy or a failure to pay or perform), to net a counterparty’s rights and obligations
under the agreement and to liquidate and setoff collateral against any net amount owed by the counterparty. The Fund’s policy is
generally to receive cash posted as collateral (with rights of re-hypothecation), irrespective of the enforceability determination regarding
the master netting and collateral agreement.
The following tables present information about the offsetting
of OTC derivatives and related collateral amounts.
Offsetting of Derivative Assets as of April
30, 2024
| |
Gross
Amounts of | | |
Amounts
not Offset in the Consolidated
Statement of Assets and Liabilities | | |
| |
Counterparty | |
Recognized
Assets | | |
Offsetting
Liability(a) | | |
Collateral
Received(b) | | |
Net
Exposure | |
| Barclays
Bank PLC | |
$ | 460,859 | | |
$ | (460,859 | ) | |
$ | - | | |
$ | - | |
| Goldman
Sachs International | |
| 1,830,696 | | |
| (10,767 | ) | |
| (900,000 | ) | |
| 919,929 | |
| JPMorgan
Chase Bank, N.A. | |
| 2,089,299 | | |
| (199,465 | ) | |
| - | | |
| 1,889,834 | |
| Morgan
Stanley Capital Services | |
| 1,541,105 | | |
| - | | |
| (1,460,000 | ) | |
| 81,105 | |
| | |
$ | 5,921,959 | | |
$ | (671,091 | ) | |
$ | (2,360,000 | ) | |
$ | 2,890,868 | |
Offsetting
of Derivative Liabilities as of April 30, 2024
| |
Gross
Amounts of | | |
Amounts
not Offset in the Consolidated
Statement of Assets and Liabilities | | |
| |
Counterparty | |
Recognized
Liabilities | | |
Offsetting
Asset(a) | | |
Collateral
Pledged(b) | | |
Net
Exposure | |
| Barclays
Bank PLC | |
$ | (495,749 | ) | |
$ | 460,859 | | |
$ | 34,890 | | |
$ | - | |
| Goldman
Sachs International | |
| (10,767 | ) | |
| 10,767 | | |
| - | | |
| - | |
| JPMorgan
Chase Bank, N.A. | |
| (199,465 | ) | |
| 199,465 | | |
| - | | |
| - | |
| Morgan
Stanley & Company | |
| (1,347,981 | ) | |
| - | | |
| 1,347,981 | | |
| - | |
| | |
$ | (2,053,962 | ) | |
$ | 671,091 | | |
$ | 1,382,871 | | |
$ | - | |
| (a) | Represents the amount of assets or liabilities that could
be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Consolidated
Statement of Assets and Liabilities. . |
| (b) | Collateral pledged/received is limited to the net outstanding
amount due to/from an individual counterparty. The actual collateral amounts pledged/received may exceed these amounts and may fluctuate
in value. |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
8. Collateral
posted to Secured Party under Tri-Party Arrangements for OTC Derivatives: In compliance with the 1940 Act, the Fund has entered
into third party custodial arrangements with all OTC counterparties whereby initial and variation margin is held in segregated accounts
at the Bank of New York Mellon. Such amounts may only be accessed by the counterparties after certain Fund defaults (including bankruptcy)
or following any applicable remedies under the Fund’s ISDA Master Agreements. These accounts are separately disclosed on the Consolidated
Statement of Assets and Liabilities.
The following table, grouped by risk exposure, provides
information about the fair value and location of derivatives within the Consolidated Statement of Assets and Liabilities as of April 30,
2024.
| Risk
Exposure | |
Consolidated
Statement of Assets and Liabilities Location | |
Asset
Derivatives
Gross Unrealized
Appreciation | | |
Liability Derivatives
Gross Unrealized
Depreciation | |
| Credit
Risk | |
| |
| | | |
| | |
| Credit
Default Swaps | |
Credit default swaps, at fair
value | |
$ | 4
,272,499 | | |
$ | 42,163,174 | |
| Credit
Default Swaptions | |
Credit default swaptions,
at fair value | |
| - | | |
| 785,824 | |
| | |
| |
| | | |
| | |
| Equity/Market
Risk | |
| |
| | | |
| | |
| Options | |
Investments in
securities at fair value | |
| 2,071,925 | | |
| - | |
| Simple
Agreement for Future Equity Contracts | |
Unrealized appreciation/depreciation
on simple agreement for future equity contracts | |
| 6,818,890 | | |
| - | |
| Futures
Contracts | |
Unrealized appreciation/depreciation
on futures | |
| 1,498,050 | | |
| 31,840 | |
| Total
Return Swaps | |
Unrealized appreciation/depreciation
on total return swap contracts | |
| 760,062 | | |
| 89,424 | |
| | |
| |
| | | |
| | |
| Foreign
Exchange Risk | |
| |
| | | |
| | |
| Forward
Foreign Currency Contracts | |
Unrealized appreciation/depreciation
on forward foreign currency contracts | |
| 889,398 | | |
| 110,041 | |
| | |
| |
| | | |
| | |
| Interest
Rate Risk | |
| |
| | | |
| | |
| TBA
MBS Forward Contracts | |
Unrealized
appreciation/depreciation on TBA MBS forward contracts | |
| - | | |
| 1,347,981 | |
| Total | |
| |
$ | 16,310,824 | | |
$ | 44,528,284 | |
| Semi-Annual Report | April 30, 2024 | 59 |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
The following table provides
information about the effect of derivatives on the Fund’s Consolidated Statement of Operations for the period ended April 30, 2024.
| Risk
Exposure | |
Consolidated
Statement of Operations Location | |
Net
Realized
Gain/(Loss) | | |
Net
Change in
Unrealized
Appreciation/
(Depreciation) | |
| Credit Risk | |
| |
| | |
| |
| Credit Default
Swaps | |
Net realized gain/(loss)
on credit default swaps/ Net change in unrealized appreciation/(depreciation) on credit default swaps | |
$ | (44,053,288 | ) | |
$ | 1,759,644 | |
| Credit Default Swaptions | |
Net realized gain/(loss) on
credit default swaptions/ Net change in unrealized appreciation/(depreciation) on credit default swaptions | |
| 172,732 | | |
| 421,449 | |
| | |
| |
| | | |
| | |
| Equity/Market
Risk | |
| |
| | | |
| | |
| Options | |
Net realized gain/(loss) on
investments in securities/ Net change in unrealized appreciation/(depreciation) on investments in securities | |
| (2,838,084 | ) | |
| (413,115 | ) |
| Simple Agreement for Future
Equity Contracts | |
Net realized gain/(loss) on
simple agreement for future equity contracts/Net change in unrealized appreciation/(depreciation) on simple agreement for future
equity contracts | |
| - | | |
| 67,734 | |
| Futures Contracts | |
Net
realized gain/(loss) on futures contracts/ Net change in unrealized appreciation/(depreciation) on futures contracts | |
| (10,097,790 | ) | |
| 437,020 | |
| Total Return Swaps | |
Net realized gain/(loss) on
total return swaps/ Net change in unrealized appreciation/(depreciation) on total return swaps | |
| 26,341,187 | | |
| (406,744 | ) |
| | |
| |
| | | |
| | |
| Foreign
Exchange Risk | |
| |
| | | |
| | |
| Forward Foreign Currency Contracts | |
Net realized gain/(loss) on
forward foreign currency contracts/Net change in unrealized appreciation/(deprecation) on forward foreign currency contracts | |
| (2,523,659 | ) | |
| 797,177 | |
| | |
| |
| | | |
| | |
| Interest
Rate Risk | |
| |
| | | |
| | |
| TBA MBS
Forward Contracts | |
Net realized
gain/(loss) on TBA MBS forward contracts/Net change in unrealized appreciation/(deprecation) on TBA MBS forward contracts | |
| 6,557,881 | | |
| 1,282,663 | |
| Total | |
| |
$ | (26,441,021 | ) | |
| $
3,945,828 | |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
The following
table provides information related to the Fund’s use of derivative contracts based on a quarterly average of outstanding notional
amounts for the period ended April 30, 2024. These notional amounts are based on notional quantity which may be different from the notional
in risk terms.
| | |
Notional Amounts | |
| Risk Exposure | |
Long | | |
Short | |
| Credit Risk | |
| | |
| |
| Credit Default Swaps(1) | |
$ | 818,766,605 | | |
$ | 290,735,220 | |
Credit Default Swaptions | |
| - | | |
| 43,183,000 | |
| | |
| | | |
| | |
| Equity/Market Risk | |
| | | |
| | |
| Options(2) | |
| 62,972,000 | | |
| - | |
| Simple Agreement for Future Equity Contracts | |
| 6,409,445 | | |
| - | |
| Futures Contracts | |
| 4,284,716 | | |
| 56,897,906 | |
| Total Return Swaps | |
| 114,680,928 | | |
| 5,216,138 | |
| | |
| | | |
| | |
| Foreign Exchange Risk | |
| | | |
| | |
| Forward Foreign Currency Contracts | |
| 67,333,519 | | |
| 8,333,670 | |
| | |
| | | |
| | |
| Interest Rate Risk | |
| | | |
| | |
| TBA MBS Forward Contracts | |
| 370,230,000 | | |
| - | |
| (1) | Long notional value represents sell protection and short
notional value represents purchase protection. |
| (2) | Long notional value represents purchased call and written
put options and short notional value represents purchased put and written call options. |
H. Federal
Income Taxes. It is the policy of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code that are
applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized capital
gains to its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability
of the Fund’s tax positions taken on federal income tax returns for all open tax periods in making this determination. No capital
gain distributions shall be made until the capital loss carryforwards have been fully utilized.
The Fund may utilize equalization
accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
I. Distributions
to Common Shareholders. For the period November 1, 2023 through December 31, 2023, the Board authorized a managed
distribution plan pursuant to which the Fund made monthly distributions to shareholders at an initial annual minimum fixed rate of
12.00%, based on the average NAV of the Fund’s common shares for the month ending June 30, 2023. The Fund calculated the
average net asset value for the month ending June 30, 2023 based on the number of Business Days in that month on which the net asset
value was calculated. The distribution was calculated as 12.00% of the average net asset value for the month ending June 30, 2023,
divided by twelve.
On December 22, 2023, the Board
authorized the current Managed Distribution Plan pursuant to which the Fund makes monthly distributions to shareholders at a fixed amount
of $0.085 per share. This fixed distribution amount excludes special dividends (which are not paid pursuant to the Managed Distribution
Plan), including the special dividend paid during the current fiscal period in January 2024.
The Fund
will generally distribute amounts necessary to satisfy the Fund’s Managed Distribution Plan and the requirements prescribed by excise
tax rules and Subchapter M of the Internal Revenue Code. The Managed Distribution 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 Managed Distribution Plan will be successful
in doing so.
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.
| Semi-Annual Report | April 30, 2024 | 61 |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
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. A return of capital may occur, for example, when some or all of
the money that was invested in the Fund is paid back to shareholders. A return of capital distribution does not necessarily reflect the
Fund’s investment performance and should not be confused with “yield” or “income.”
The Managed Distribution Plan
provides that the Board may amend the terms of the Managed Distribution Plan or terminate the Managed Distribution Plan at any time without
prior notice to Fund shareholders; however, at this time, there are no reasonably foreseeable circumstances that might cause the Fund
to terminate the Managed Distribution Plan. An amendment or termination of the Managed Distribution Plan could have an adverse effect
on the market price of the Fund’s common shares. The Managed Distribution 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.
J. Dividend
Reinvestments. The Fund maintains a Shareholder Reinvestment Program (the “Program”) that allows participating
shareholders to reinvest all dividends (“Dividends”) in additional common shares of the Fund. Pursuant to the Program,
ALPS Fund Services, Inc. (“ALPS”), the Program administrator, purchases, from time to time, common shares on the open
market to satisfy Dividend reinvestments. Such common shares are purchased on the open market only when the closing sale or bid
price plus commission is less than the NAV per share of the Fund’s common shares on the valuation date. If the market price
plus commissions is equal to or exceeds NAV, new common shares are issued by the Fund at the greater of (i) NAV or (ii) the market
price of the common shares during the pricing period, minus a discount of 5%. Common shares issued by the Fund under the Program
will be issued without a fee or a commission.
Shareholders may elect to participate
in the Program by submitting a completed participation form to ALPS, the Program administrator. The Program administrator will credit
to each participant’s account funds it receives from Dividends paid on common shares of the Fund registered in the participant’s
name. Shareholders may elect to close their account at any time by giving the Transfer Agent written notice. When a participant closes
their account, the participant, upon request, will receive a certificate for full common shares in the account. Fractional common shares
will be held and aggregated with other fractional common shares being liquidated by the Transfer Agent as agent of the Program and paid
for by check when actually sold.
Participants will pay
a pro rata share of brokerage commissions with respect to the Program administrator’s open market purchases in connection with the
reinvestment of Dividends.
The automatic reinvestment of
Dividends does not affect the tax characterization of the Dividends (i.e., capital gain distributions and income distributions are realized
and subject to tax even though cash is not received). A shareholder whose Dividends are reinvested in common shares under the Program
will be treated as having received a Dividend equal to either (i) if common shares are issued under the Program directly by the Trust,
generally the fair market value of the common shares issued to the shareholder or (ii) if reinvestment is made through open market purchases,
the amount of cash allocated to the shareholder for the purchase of common shares on its behalf in the open market.
Additional information about the Program
may be obtained by contacting the Program administrator at 844-460-9411 or BRWSabaCapital@dstsystems.com.
K. 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.
L.
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 to be
remote.
M. Basis
of Consolidation. The Fund invests in certain investments through its investment in BRW SPV I. 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 BRW SPV I. 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.
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
NOTE 3 —
INVESTMENTS
For the period ended April
30, 2024, the cost of purchases and the proceeds from principal repayment and sales of investments, excluding short-term notes, totaled
$294,831,882 and $329,792,060, respectively. The fair value of these assets is established as set forth in Note 2.
At April 30, 2024, the Fund held
senior loans valued at $49,161,508, which represent 14.61% 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, 2024, the Fund held
corporate bonds and sovereign debt obligations valued at $35,966,346 and $8,466,601, respectively, which represent 10.69% and 2.52% of
its total net assets, respectively. 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.
At April 30, 2024, the Fund held
mortgage-backed securities (“MBS”) valued at $3,853,935, which represent 1.14% of its total net assets. MBS are created from
pools of residential loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others.
These securities provide a monthly payment which consists of both interest and principal. Some MBS may come in the form of interest-only
or principal only strips (stripped MBS or “SMBS”) SMBS are usually structured with two classes that receive different proportions
of the interest and principal distributions on a pool of mortgage assets. A SMBS will have one class that will receive all of the interest
(the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO”
class). Interest may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price
and volatility of a mortgage-related security and may have the effect of shortening or extending the effective duration of the security
relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities
is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed by non-governmental issuers, including
government sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private
insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. At April 30, 2024, all MBS held
by the Fund were IO strips.
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, 2024, the Fund held
SPACs valued at $26,673, which represent 0.01% 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, 2024, the Fund held
closed end mutual funds and investment trusts (globally) valued at $103,317,557 and $17,436,641, respectively, representing 30.69% and
5.18% of its total net assets, respectively. Closed-end mutual funds and investment trusts are collective investment vehicles 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. Additionally, the Fund held an investment in an affiliated closed-end mutual fund, Saba Capital Income & Opportunities
Fund II valued at $758,010, representing 0.23% of its total net assets (see Note 6).
At April 30, 2024, the
Fund held an investment in an unaffiliated private fund, Stone Ridge Opportunities Fund Feeder LP (“Stone Ridge Feeder
Fund”), valued at $40,397,814, which represent 12.00% of its net assets. Stone Ridge Feeder Fund is a Cayman Islands exempted
limited partnership which invests substantially all of its investable assets in Stone Ridge Reinsurance Opportunities Fund LP
(“Stone Ridge Master Fund”). Stone Ridge Master Fund’s investment objective is to achieve long-term capital
appreciation by investing primarily in shares or notes issued in connection with quota shares and, to a lesser extent, other
reinsurance related securities, including shares or notes issued in connection with excess-of-loss, stop-loss or other
non-proportional reinsurance shares or notes issued in connection with industry loss warranties, event-linked or catastrophe bond,
event-linked swaps and/or derivatives linked to any of the foregoing (collectively, “reinsurance-related securities”).
At April 30, 2024, the Fund does not have any outstanding capital commitments to Stone Ridge Feeder Fund. The Fund may only make
withdrawals from Stone Ridge Feeder Fund on an annual basis at December 31, subject to notice by October 15 of the year immediately
prior to the year in which the withdrawal request date occurs.
| Semi-Annual Report | April 30, 2024 | 63 |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
At April 30, 2024, the Fund held
warrants valued at $550,354, which represent 0.16% 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 0.30% of average daily
net assets. For the period ended April 30, 2024, $269,284 of fees were waived and reimbursed.
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.
For the period ended April 30, 2024, none of the fees waived were recouped.
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 totaling $269,284. Amounts payable by the Investment Adviser are reflected on the accompanying Consolidated Statement of
Assets and Liabilities.
As of April
30, 2024, the amount of waived and/or reimbursed fees that are subject to recoupment by the Investment Adviser and the related expiration
dates are as follows:
April
30,
2024 | | |
April
30,
2025 | | |
April
30,
2026 | | |
April
30,
2027 | | |
Total | |
| $ | - | | |
$ | 735,614 | | |
$ | 1,409,995 | | |
$ | 433,496 | | |
$ | 2,579,105 | |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
The expense limitation agreement is contractual through
July 1, 2024 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, 2024, entities advised
by Saba Capital Management, L.P. owned approximately 3.17% of the Fund.
Effective on January 1, 2024,
Saba Capital Management, L.P. replaced Franklin Templeton Advisers, Inc. as the investment adviser to Saba Capital Income & Opportunities
Fund II (formerly known as the Templeton Global Income Fund). As a result, the Fund’s previously held unaffiliated investment in
an investment company became an investment in an affiliated investment company. As defined in the 1940 Act, an investment is deemed to
be a “Controlled Affiliate” of a fund when a fund owns, either directly or indirectly, 25% or more of the affiliated fund’s
outstanding shares or has the power to exercise control over management or policies of such fund. The Fund does not invest in SABA for
the purpose of exercising a controlling influence over the management or policies and owns less than 25% of SABA’s outstanding shares.
As such it is deemed a non-controlled affiliate. Effective January 1, 2024, management fees borne by the Fund in connection with its investment
in SABA are waived are included in the Waived and reimbursed fees in the Consolidated Statement of Operations. There were no other investments
in affiliated entities for the period November 1, 2024 through April 30, 2024.
The following table summarizes the
transactions with affiliates for the period January 1, 2024, through April 30, 2024:
| | |
| Value at
January
1,
2024 | | |
| Purchases | | |
| Sales | | |
| Net Realized
Gain/(Loss) | | |
| Net Change in
Unrealized
Appreciation/
(Depreciation) | | |
| Value at
April
30,
2024 | | |
| Number of
Shares
Held at
April 30, 2024 | | |
| Investment
Income | |
| Non‐Controlled Affiliates | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Saba Capital Income
& Opportunities Fund II | |
$ | 3,528,988 | | |
$ | - | | |
$ | (2,492,379 | ) | |
$ | (198,932 | ) | |
$ | (79,667 | ) | |
$ | 758,010 | | |
| 201,064 | | |
$ | 51,636 | |
| Total Affiliated Securities | |
$ | 3,528,988 | | |
$ | - | | |
$ | 2,492,379 | | |
$ | 198,932 | | |
$ | 79,667 | | |
$ | 758,010 | | |
| | | |
$ | 51,636 | |
NOTE 7 —
GUARANTEES AND COMMITMENTS
Effective July 20, 2021, the Fund
has entered into a revolving credit agreement, collateralized by assets of the Fund. As of April 30, 2024, the credit agreement, as subsequently
amended, enables the Fund to borrow up to $125,000,000 and has a final maturity date of January 20, 2025. Borrowing rates under this agreement
are based on a fixed spread over the SOFR, and a commitment fee is charged on the unused portion. The amount of borrowings outstanding
at April 30, 2024, was $60,000,000. The weighted average interest rate on outstanding borrowings at April 30, 2024 was 6.19%, excluding
fees related to the unused portion of the facilities, and other fees. The amount of borrowings represented 8.78% of total assets at April
30, 2024. Average borrowings for the period ended April 30, 2024 were $77,500,000 and the average annualized interest rate was 6.16% excluding
other fees related to the unused portion of the facility, and other fees.
In the normal course of trading
activities, the Fund trades and holds certain derivatives which constitute guarantees under ASC 460-10, “Guarantees”.
Such contracts include credit default swaps (index and single name) where the Fund is a provider of credit protection on an underlying
instrument The maximum payouts for such credit default swaps (index and single name) is limited to the notional amounts of each contract
and would be offset by recovery amounts on the underlying reference obligations or if the Fund holds offsetting contracts for the same
underlying reference obligations.
As a part of the Fund’s
investment strategy, the Fund is both a provider and purchaser of credit protection of multiple reference obligations. During periods
of market stress, credit protection that has been purchased may act as a hedge for credit protection that has been provided on different
reference obligations. Similarly, as a part of the Fund’s investment strategy, the Fund may be a provider of credit protection and
be short the underlying reference obligation, which also may reduce the Fund’s exposure. At April 30, 2024, there were no offsetting
purchase credit protection contracts that offset the sell credit protection contracts.
| Semi-Annual Report | April 30, 2024 | 65 |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
NOTE 8 —
CAPITAL SHARES
As of April 30, 2024, there were 42,529,493 shares issued
and outstanding. Transactions in capital shares and U.S. dollars were as follows:
|
Year or |
Shares
repurchased |
Shares
repurchased in
tender offer |
Net increase
(decrease) in
shares
outstanding |
Shares
repurchased |
Shares
repurchased in
tender offer |
Net increase
(decrease) |
| period ended |
# |
# |
# |
($) |
($) |
($) |
| 04/30/2024 |
– |
– |
– |
– |
– |
– |
| 10/31/2023 |
– |
– |
– |
– |
– |
– |
| 10/31/2022 |
– |
– |
– |
– |
– |
– |
| 10/31/2021 |
(164,609) |
(18,226,686) |
(18,391,295) |
(1,536,542) |
(176,835,308) |
(178,371,850) |
Effective May 20, 2022, the Fund completed a reverse
stock split (the “Reverse Split”) of the Fund’s common shares at a ratio of 1-for-2. The Reverse Split reduced the number
of the Fund’s authorized common shares from 85,058,986 shares to 42,529,493 shares.
NOTE 9 —
FEDERAL INCOME TAXES
The amount of distributions from
net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ
from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified
within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include
the treatment of foreign currency transactions, capital loss carryforwards, and wash sale deferrals. Distributions in excess of net investment
income and/or net realized capital gains for tax purposes are reported as return of capital.
Dividends
paid by the Fund from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes,
taxable as ordinary income to shareholders.
The tax character of the distributions
paid during the years ended October 31, 2023 and October 31, 2022, respectively, were as follows:
| | |
October 31,
2023 | | |
October 31,
2022 | |
| Distributions Paid From: | |
| | |
| |
| Ordinary Income | |
$ | 8,594,037 | | |
$ | 13,029,565 | |
| Net Long-Term Capital Gain | |
| | | |
| - | |
| Return of Capital | |
| 35,594,107 | | |
| 31,967,059 | |
| Total Distributions Paid | |
$ | 44,188,144 | | |
$ | 44,996,624 | |
Components of Distributable Earnings on a Tax Basis: At
October 31, 2023, permanent differences in book and tax accounting were reclassified.
These differences had no effect
on net assets and were primarily attributed to differences in the treatment of a wholly owned controlled foreign corporation.
| Fund | |
Increase/(Decrease)
Paid-in Capital | | |
Increase/(Decrease)
Total Distributable
Earnings | |
| Saba Capital Income
& Opportunities Fund | |
$ | 8,966,377 | | |
$ | (8,966,377 | ) |
As of the year ended October 31, 2023, the components of
distributable earnings (loss) on a tax basis were as follows:
| (Over)/Undistributed Ordinary Income | |
$ | – | |
| Accumulated Capital Gains/(Losses) | |
| (140,775,258 | ) |
| Unrealized Appreciation/(Depreciation) | |
| (19,993,878 | ) |
| Other Cumulative Effect of Timing Differences | |
| (11,747,675 | ) |
| Total | |
$ | (172,516,811 | ) |
| Saba
Capital Income & Opportunities Fund |
Notes to Consolidated Financial Statements |
| |
April 30, 2024 (Unaudited) |
At October 31, 2023, gross unrealized appreciation
and depreciation of investments owned by the Fund, based on cost of investments for federal income tax purposes were as follows:
| Cost of investments for income tax purposes | |
$ | 322,628,536 | |
| Gross appreciation (excess of value over tax cost) | |
| 505,479,579 | |
| Gross depreciation (excess of tax cost over value) | |
| (524,883,365 | ) |
| Net depreciation of foreign currency and derivatives | |
| (590,092 | ) |
| Net unrealized depreciation | |
$ | (19,993,878 | ) |
The differences between cost amounts for financial
statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
As of the year ended October 31, 2023, 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 | |
$ | 616,812 | | |
$ | 140,158,446 | | |
| 140,775,258 | |
Capital
loss carryovers used during the year ended October 31, 2023, were $21,911,226.
The Fund’s major tax jurisdictions are U.S. federal
and New York State.
As of April 30, 2024, no provision
for income tax is required in the Fund’s consolidated financial statements as a result of tax positions taken on federal and state
income tax returns for open tax years. The Fund’s federal and state income and federal excise tax returns for tax years for which
the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department
of revenue. Generally, the preceding four tax years remain subject to examination by these jurisdictions.
NOTE 10 —
SUBSEQUENT EVENTS
Subsequent to April 30, 2024
and through the date of issuance of the Fund’s consolidated financial statements, the Fund paid the following dividends:
| Per Share Amount |
Declaration Date |
Record Date |
Payable Date |
| $0.085 |
04/30/2024 |
05/09/2024 |
05/31/2024 |
| $0.085 |
05/31/2024 |
06/11/2024 |
06/28/2024 |
| Semi-Annual Report | April 30, 2024 | 67 |
| Saba Capital Income
& Opportunities Fund |
Additional
Information |
| |
April 30,
2024 (Unaudited) |
PROXY VOTING INFORMATION
The Board has delegated the
responsibility to vote proxies for securities held in the Fund’s portfolio to the Investment Adviser. Proxies for the
portfolio securities are voted in accordance with the Investment Adviser’s proxy voting guidelines. To the extent the Fund
invests in investment companies, it will generally (i) seek instruction from the Fund’s shareholders with regard to the voting
of all proxies and vote in accordance with such instructions, (ii) vote the shares held by the Fund in the same proportion as the
vote of all other holders of the securities of the investment company (the “Mirror Vote”) or (iii) elect to not submit
a proxy vote.
In the event the Investment Adviser
believes that it may have a conflict of interest relative to a specific proxy vote for a portfolio holding, the Investment Adviser shall
vote such proxies, on behalf of its various funds or clients in accordance with any of the following, in the Investment Adviser’s
good faith discretion: (i) the recommendation of Glass, Lewis & Co., LLC; (ii) the recommendation adopted by an Independent Board
(even if such Board made its determination only on behalf of the fund which it serves and not on behalf of the other funds or clients
invested in the holding with the proxy at issue); or (iii) in the case of the Fund, the Mirror Vote.
Information
regarding how the Fund voted proxies relating to its 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 (2) on the SEC’s website at www.sec.gov..
QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. The Fund’s Forms NPORT-P
are available on the SEC’s website at www.sec.gov. The Fund’s complete schedule of portfolio holdings is available at www.sabacef.com
TAX INFORMATION
Of the distributions paid by the Fund from ordinary income
for the calendar year ended December 31, 2023, the following percentages met the requirements to be treated as qualifying for the corporate
dividends received deduction and qualified dividend income:
| Fund |
Dividend Received
Deduction |
Qualified Dividend
Income |
| Saba Capital Income & Opportunities Fund |
9.29% |
12.63% |
| |
Consideration
and Approval of the |
| Saba Capital Income &
Opportunities Fund |
Investment Management Agreement |
| |
April 30, 2024 (Unaudited) |
At a meeting held on March 22,
2024 (“Meeting”), the Board of Trustees (the “Board”) of Saba Capital Income & Opportunities Fund (the “Fund”),
including all of the trustees who are not “interested persons” as defined in the as defined in Section 2(a)(19) Investment
Company Act of 1940 (“Independent Trustees”), reviewed, considered and unanimously approved the renewal of the Investment
Management Agreement (the “Management Agreement”) between Saba Capital Management, L.P. (“Saba Capital”) and the
Fund for an additional one year period. The Independent Trustees met in executive session with counsel to the Independent Trustees to
review, discuss, and consider materials which had been distributed to them in advance of the meeting and prepared by Saba Capital, including
responses to a questionnaire provided by counsel to the Independent Trustees with respect to certain matters that counsel believed relevant
to the approval of the renewal of the Management Agreement under Section 15 of the Investment Company Act of 1940. In addition, the Board
met with representatives from Saba Capital and had the opportunity to ask them questions.
In its deliberations, the Board
did not identify any single factor as being determinative. Rather, the Board’s approval was based on each Independent Trustee’s
business judgment after consideration of the information as a whole. Each independent Trustee may have weighed certain factors differently
and assigned varying degrees of materiality to information considered by the Board.
The principal
factors and conclusions that formed the basis for the Board, including a majority of Independent Trustees, determinations to approve the
renewal of the Management Agreement are discussed below.
Nature, Extent and Quality
of Services. The Board considered the nature, extent and quality of services provided to the Fund under the Management Agreement.
The Board discussed the services provided by Saba Capital to the Fund as well as Saba Capital’s key personnel providing these services.
The Board concluded that, overall, it was satisfied with the nature, extent and quality of services provided to the Fund by Saba Capital
under the Management Agreement.
Performance. In
considering whether to approve the renewal of the Management Agreement, the Board reviewed the investment performance of the Fund over
the past year and since Saba Capital was approved as the Fund’s investment adviser (June 4, 2021) and compared it to the Fund’s
benchmark and selected peer group. The Board noted that from June 4, 2021, to March 6, 2024, the Fund had a positive return of 11.9%.
The Board further noted that the Fund, for the period ending on December 31, 2023, had outperformed all other funds in its peer group
over the two and three year periods. The Board also considered factors that contributed to the Fund lagging behind its peer group for
the one-year period and Saba Capital’s explanation that the lag was largely related to the Fund’s defensive positioning, with
approximately 50% average high yield equivalent long exposure.
The Board also noted the long-term
experience of the principals of Saba Capital in managing securities portfolios, as well as their longstanding experience in seeking out
opportunities in the market that have attractive risk reward characteristics. The Board noted satisfaction with the current performance
of the Fund and for the period since Saba Capital became the Fund’s investment adviser.
Fees and Expenses.
In reviewing the fees and expenses for the Fund, the Board considered that Saba Capital’s net management expense was slightly above
the average for its peer group and Saba Capital’s net total expense ratio was above average compared to its peer group. The Board
then considered the fact that the advisory fee charged by Saba Capital to the Fund was among the lowest total fees charged by Saba Capital
and that Saba Capital was still subject to an expense limitation agreement to keep fees lower. The Board separately determined that the
advisory fee payable to Saba Capital was not unreasonable in light of the nature, extent and quality of the services that Saba Capital
provides to the Fund. Based on the factors above, the Board concluded that the advisory fee is not unreasonable.
Profitability. The
Board considered information regarding the profits realized by Saba Capital in connection with the operation of the Fund. Saba Capital
provided the Board with a summary and analysis of its costs and pre-tax profitability with respect to the management of the Fund. The
Board concluded that Saba Capital’s profitability from its relationship with the Fund, after taking into account a reasonable allocation
of costs and nature of services, was not excessive.
Economies of Scale.
The Board considered whether Saba Capital would realize economies of scale with respect to the management services provided to the Fund.
The Board noted that the Fund, as a closed-end fund, generally does not issue new shares and is less likely to realize economies of scale
from additional share purchases. The Board considered that Saba Capital believed that there could be economies of scale realized if the
Fund did grow in size. The Board also noted that Saba Capital had recently become the investment adviser for Saba Capital Income &
Opportunities Fund II (formerly Templeton Global Income Fund) and further considered that there was an opportunity for Saba Capital to
continue to attempt to reduce certain third-party service provider fees and negotiate for certain lower fees in the service contracts
through Saba Capital’s continued acquisition of additional registered funds. The Board also considered the extent to which economies
of scale realized by Saba Capital could be shared with the Fund through fee waivers and expense reimbursements.
| Semi-Annual Report | April 30, 2024 | 69 |
| |
Consideration
and Approval of the |
| Saba Capital Income &
Opportunities Fund |
Investment Management Agreement |
| |
April 30, 2024 (Unaudited) |
Other Benefits.
The Board considered the character and amount of other direct and incidental benefits received by Saba Capital and its affiliates from
their association with the Fund. The Board considered that Saba Capital anticipated no other sources of income or benefit in connection
with managing the Fund and did not expect to market the Fund to its existing private clients or use soft dollars to any notable extent.
Conclusion. The
Board, having requested and received such information from Saba Capital as it believed reasonably necessary to evaluate the terms of the
renewal of the Management Agreement, and having been advised by counsel to the Independent Trustees that the Board had appropriately considered
and weighed all relevant factors, determined that approval of the Management Agreement was in the best interests of the Fund and its shareholders.
[The Board including all of the Independent Trustees, unanimously approved the continuation of the Management Agreement for an additional
one year period.] In considering the approval of the renewal of the Management Agreement, the Board considered a variety of factors, including
those discussed above, and also considered other factors (including conditions and trends prevailing generally in the economy, the securities
markets, and the closed-end fund industry).
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
| |
April 30, 2024 (Unaudited) |
Introduction
Your privacy is very important
to us. This notice (this “Privacy Notice”) is provided the “Investment Adviser” and any of the Investment Adviser’s
affiliates, investment funds and accounts managed by the Investment Adviser (collectively, the “Clients”, and together with
the Investment Adviser, “we,” “us,” or “our”), and sets forth the policies of the Investment Adviser
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 Adviser 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 Adviser (alone or jointly, as applicable) determines the purposes and the means of the processing of your personal
information.
Please contact us at
(212) 542-4635 or dataprotection@sabacapital.com for any questions about this Privacy Notice or requests with regards to the personal
data we hold.
Please note that certain service
providers (collectively, the “Service Providers”) of the Investment Adviser and/or Clients including, without limitation,
the administrator, prime broker(s), custodian(s), transfer agent(s), and legal adviser(s) work under a range of professional and legal
obligations that require them to process personal data (e.g., anti-money laundering legislation). In order to meet the requirements of
such obligations, such Service Providers, from time to time, would not be acting on our instructions but instead in accordance with their
own respective professional or legal obligations and, therefore, would be acting as data controllers in their own right with respect to
such processing. For more specific information or requests in relation to the processing of personal information by any such Service Providers,
you may also contact the relevant service provider directly at the address specified in the relevant Client Document or by visiting their
websites.
The Types of Personal Data We
May Collect and Use
The categories of personal data
we may collect include, names, residential or business addresses, or other contact details; signature; nationality; tax identification,
passport, or social security number or similar identification number; date of birth; place of birth; jurisdiction of tax residence(s);
photographs; copies of identification documents; bank account details, information about assets or net worth; credit history; information
on investment activities; financial information, for example, interest, dividends, income from certain insurance contracts or products
and other income generated with respect to assets held in the account or payments made with respect to the account; account balances;
proceeds from the sale or redemption of property paid or credited to the account;, or other personal information, such as certain special
categories of personal data (including, where relevant, information on political affiliations, ethnic origin, or criminal convictions),
as specified under the applicable Data Protection Laws, that may be contained in the relevant materials, documents, or obtained through
background searches, together with any other information required by applicable law or regulation.
How We Collect Personal Data
We may collect personal data
about you through: (i) information provided directly to us by you, or another person on your behalf or (ii) information that we obtain
in relation to any transactions between you and us.
We also
may receive your personal information from third parties or other sources, such as, but not limited to, our affiliates, Service Providers,
publicly accessible databases or registers, tax authorities, governmental and non-governmental agencies and supervisory authorities, credit
agencies, fraud prevention and detection agencies, or other publicly accessible sources, such as the internet.
| Semi-Annual Report | April 30, 2024 | 71 |
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
| |
April 30, 2024 (Unaudited) |
How We May Use Personal Information
We may process your personal data in the course of business
tasks, including but not limited to, in connection with:
| (i) | entering into an advisory agreement or accepting subscription documentation; |
| (ii) | administering the relationship between you and us; |
| (iii) | processing subscriptions, redemptions and transfers; |
| (iv) | executing discretionary transactions; |
| | | |
| (v) | providing communications and reporting; |
| (vi) | maintaining the registers of investors of Clients; |
| | | |
| (vii) | marketing of our products and services; |
| (viii) | monitoring and analysing our activities; |
| (ix) | processing investments, withdrawals and payments of dividends to investors; |
| (x) | maintaining global client and investor records and providing centralized administrative, marketing and client services; |
| | | |
| (xi) | investigating and resolving complaints; managing litigation; and monitoring electronic
communications for fraud or crime detection or for regulatory reasons; and |
| (xii) | complying with applicable legal or regulatory requirements (including anti-money
laundering, fraud prevention, tax reporting, sanctions compliance, or responding to requests for information from supervisory authorities,
or law enforcement agencies). |
We will use one of the permitted
grounds under the applicable Data Protection Laws to process your personal information. Such grounds include, for example, circumstances
where:
| (i) | processing is necessary to perform our obligations under the applicable Client Documents; |
| (ii) | we are required to comply with a legal or regulatory obligation applicable to us; or |
| | | |
| (iii) | we, or a third party on our behalf, have determined that it is necessary for our
legitimate interests to collect and use your personal information, such as if we believe that you have a reasonable expectation for us
or a third party to collect or use your personal information for such purpose. |
What Are the Consequences of Failing
to Provide Personal Information
Where personal data is required
to satisfy a statutory obligation (including compliance with applicable anti-money laundering or sanctions requirements) or a contractual
requirement, failure to provide such information may result in your subscription in the applicable Client being rejected or your shares
or interests becoming subject to a compulsory redemption or withdrawal, as applicable. Where there is suspicion of unlawful activity,
failure to provide personal data may result in the submission of a report to the relevant law enforcement agency or supervisory authority.
How We May Share Personal Data
We may disclose information about
you to our affiliates, Service Providers, or other third parties to accept your subscription, administer and maintain your account(s),
or otherwise perform our contractual obligations. We may also need to share your personal information (i) with courts, ombudsmen, or regulatory,
tax or law enforcement authorities to comply with applicable legal or regulatory requirements; (ii) to respond to court orders, or in
the context of regulatory requests for information, administrative proceedings, or investigations; or (iii) when we believe in good faith
that disclosure is legally required or we or a Client have a legitimate interest in making a disclosure, such as where necessary to protect
our or a Client’s rights and property. We will also release information about you if you direct us to do so.
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
| |
April 30, 2024 (Unaudited) |
It may
also be necessary, under anti-money laundering and similar laws, to disclose information about you to facilitate the establishment of
trading relationships for the Clients with the prime broker(s), the custodian(s), executing brokers or other trading counterparties.
We may also disclose information about you,
or your transactions and experiences with us, to our affiliates or service providers for our everyday business purposes, such as administration
of our business, record-keeping, maintaining security of our information technology systems, reporting and monitoring of our activities,
investor relations activities, and compliance with applicable legal and regulatory requirements.
Retention Periods and Security
Measures
We will not retain
personal data for longer than is necessary in relation to the purpose for which it is collected, subject to the applicable Data Protection
Laws. Personal data will be retained for the duration of your investment in the applicable Client and for a minimum of five years after
a redemption or withdrawal, as applicable, of your investment, or liquidation of the applicable Client. We may retain personal data for
a longer period for the purpose of marketing our products and services or compliance with applicable law. From time to time, we will review
the purpose for which personal data has been collected and decide whether to retain it or to delete if it no longer serves any purpose
to us.
To protect your personal
information from unauthorized access and use, we apply organizational and technical security measures in accordance with applicable Data
Protection Laws. These measures include computer safeguards and secured files and buildings.
We will notify you of any material
personal data breaches affecting you in accordance with the requirements of applicable Data Protection Laws.
Additional Information under the
U.S. Gramm-Leach-Bliley Act 1999 (Reg S-P) and Fair Credit Reporting Act (Reg S-AM)
For purposes of U.S. federal
law, this Privacy Notice applies to current and former investors who are individuals or Individual Retirement Accounts. We are providing
this additional information under U.S. federal law.
We may disclose information about
our investors, prospective investors or former investors to affiliates (i.e., financial and non-financial companies related by common
ownership or control) or non-affiliates (i.e., financial or non-financial companies not related by common ownership or control) for our
everyday business purposes, such as to process your transactions, maintain your account(s) or respond to court orders and legal investigations.
Thus, it may be necessary or appropriate, under anti-money laundering and similar laws, to disclose information about a Client's investors
in order to accept subscriptions from them. We will also release information about you if you direct us to do so.
We may share your information
with our affiliates for direct marketing purposes, such as offers of products and services to you by us or our affiliates. You may prevent
this type of sharing by contacting us at (212) 542-4635 or dataprotection@sabacapital.com. If you are a new investor, we can begin sharing
your information with our affiliates for direct marketing purposes 30 days from the date we sent this Privacy Notice. When you are no
longer our investor, we may continue to share your information with our affiliates for such purposes.
You may contact us at any time
to limit our sharing of your personal information at (212) 542-4635 or dataprotection@sabacapital.com. If you limit sharing for an account
you hold jointly with someone else, your choices will apply to everyone on your account. U.S. state laws may give you additional rights
to limit sharing.
We do not share your information
with non-affiliates for them to market their own services to you. We may disclose information you provide to us to companies that perform
marketing services on our behalf, such as any placement agent retained by the applicable Client.
Additional Information for California
Residents
If you are
a California resident, California law may provide you with additional rights regarding our collection and use of your personal information.
To learn more about your privacy rights, please see the California Consumer Privacy Notice as Addendum I to this Privacy Notice.
| Semi-Annual Report | April 30, 2024 | 73 |
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
| |
April 30, 2024 (Unaudited) |
Additional Information under the
Cayman Islands Data Protection Act (2021 Revision) (“DPA”)
With respect to
investors in Clients organized under the laws of the Cayman Islands, the applicable Client may share your personal information with
its Service Providers, including the Investment Adviser, the administrator, the custodian(s), the prime broker(s), or others who are
located outside the Cayman Islands. It may also be necessary to share your information with the Cayman Islands Monetary Authority or
the Tax Information Authority, which may, in turn, exchange this information with foreign tax authorities, regulatory or law
enforcement agencies. By submitting your personal data to us, you consent to the transfer of your personal data to the Investment
Adviser and the other recipients described in this notice that are located in countries outside of the Cayman Islands. Any transfer
of your personal data by us, our affiliates or service providers outside the Cayman Islands will be carried out in accordance with
the DPA. Investors may withdraw their consent at any time. The withdrawal of consent shall not affect the lawfulness of processing
based on consent before its withdrawal.
You may have certain rights under
the DPA, including: (i) the right to be informed; (ii) the right of access; (iii) the right to rectification; (iv) the right to stop or
restrict processing; (v) the right to stop direct marketing; (vi) rights in relation to automated decision making; (vii) the right to
seek compensation; and (viii) the right to complain to the supervisory authority. If you wish to exercise these rights, please contact
(212) 542-4635 or dataprotection@sabacapital.com. A complaint in respect of a Client may be lodged with the Office of the Ombudsman in
the Cayman Islands; although, we ask that you contact dataprotection@sabacapital.com in the first instance to give us the opportunity
to address any concerns you may have.
Additional Information under the
General Data Protection Regulation
You may
have certain rights under EU General Data Protection Regulation and equivalent regulation in effect in the United Kingdom (collectively,
“GDPR”) in relation to our processing of your personal data and any processing carried out on your behalf. These include rights
to:
| (i) | Access: confirm with us whether your personal data is processed, and if it is,
to request access to your personal data. This enables you to receive a copy of the personal data we hold about you and to receive confirmation
regarding how and why we process your personal data; |
| (ii) | Rectification: request correction/rectification of the personal data that we hold
about you. This enables you to have incomplete or inaccurate information we hold about you corrected. |
| | | |
| (iii) | Erasure: request erasure of your personal data in certain circumstances (the “right to be forgotten”). |
| (iv) | Objection: object to processing of your personal data, on grounds relating to your
particular situation, where we are relying on a legitimate interest (or those of a third party). However, we may be permitted to continue
to process your personal data where we have a compelling legitimate grounds for the processing. You also have the right to object where
we are processing your personal data for direct marketing purposes. |
| (v) | Restriction: request the restriction of processing of your personal data in certain
circumstances. This enables you to ask us to suspend the processing of personal data about you, for example if you want us to establish
its accuracy or the reason for processing it. |
| (vi) | Portability: in certain circumstances, request to receive personal data concerning
you, which you have provided to us, in a structured, commonly used and machine-readable format. |
Please note that the right to
be forgotten that applies in certain circumstances under GDPR is not likely to be available in respect of the personal data we hold, given
the purpose for which we collect such data, as described above. If we have relied upon your consent to process your personal data for
a particular purpose, you have the right to withdraw your consent. Please contact (212) 542-4635 or dataprotection@sabacapital.com if
you wish to exercise these rights.
You also have the right to lodge
a complaint about the processing of your personal data with the competent data protection supervisory authority. A complaint in respect
of Saba Capital Management (UK) Limited, an affiliate of the Investment Adviser, may be made to the Information Commissioner’s Office
in the United Kingdom. Prior to lodging any complaint, we ask that you contact (212) 542-4635 or dataprotection@sabacapital.com to give
us the opportunity to address any concerns you may have.
Due to the international nature
of our business, your personal data may be transferred to jurisdictions that do not offer equivalent protection to personal data as under
the GDPR (“Third Countries”). In such cases, we will process personal data (or procure that it be processed) in the Third
Countries in accordance with the requirements of GDPR, which may include having appropriate contractual undertakings in legal agreements
with service providers who process personal data on our behalf in such Third Countries. We may also be required to transfer your personal
information to our regulators or government agencies in Third Countries in cases where such transfers are necessary in the context of
administrative proceedings, such as requests for information, examinations or investigations, or to other relevant parties in Third Countries
where it is necessary for the purposes of establishing, bringing, or defending legal claims, or for another legitimate business purpose,
such as compliance with our legal or regulatory obligations under foreign law.
| Saba
Capital Income & Opportunities Fund |
Privacy
Policy |
| |
April 30, 2024 (Unaudited) |
Revisions to Our Privacy Policies
The Investment Adviser evaluates
its privacy policies and procedures to implement improvements and refinements from time-to-time. The Investment Adviser reserves the right
to amend the terms contained herein in whole or in part for any reason. We therefore suggest that you review this Privacy Notice periodically,
which is available at https://www.sabacapital.com/privacy-policy/.
IF YOU HAVE ANY QUESTIONS ABOUT THIS PRIVACY NOTICE,
CALL (212) 542-4635 OR E-MAIL DATAPROTECTION@SABACAPITAL.COM.
| Semi-Annual Report | April 30, 2024 | 75 |
| Saba Capital Income & Opportunities
Fund |
Privacy Policy |
| |
April 30, 2024 (Unaudited) |
ADDENDUM I
PRIVACY NOTICE FOR CALIFORNIA CONSUMERS
Introduction
This notice (the “California Consumers Privacy Notice”)
is provided by the Investment Adviser (“we,” “us,” or “our”).
This California Consumer Privacy
Notice contains disclosures required by the California Consumer Privacy Act, as amended by the California Privacy Rights Act (collectively,
the “CPRA”). Terms defined in the CPRA have the same meaning when used in this California Consumer Privacy Notice. This California
Consumer Privacy Notice is only relevant to California residents (“consumers” or “you”), and applies only to the
collection or other use of “personal information” that is subject to the CPRA.
Consumers with
disabilities may access this California Consumer Privacy Notice by (a) visiting our website to download or (b) contacting (212) 542-
4635 or dataprotection@sabacapital.com and requesting a copy of this California Consumers Privacy Notice in a .pdf format that is
compatible with character recognition software and that can be printed.
Personal Information We Collect
In the past 12 months, we have collected
and disclosed for a business purpose the following categories of personal information (“Personal Information”):
| Category |
|
Examples |
|
Collected |
|
Disclosed for
Business Purpose |
| Identifiers |
|
A real name, alias, email address, postal address, Internet
Protocol (IP) address, account name, Social Security number, driver’s license number, passport number, or other similar
personal identifiers. |
|
Yes |
|
Yes |
|
Other personal information categories, as listed in
the California Customer Records Statute |
|
A signature, physical characteristics or description, telephone
number, insurance policy number, education, employment, employment history, bank account number, credit card number, debit card number,
or any other financial information, medical information, or health insurance information. |
|
Yes |
|
Yes |
|
Protected classification
characteristics under
California or federal law |
|
Age (40 years or older), race, citizenship, marital status, sex,
veteran or military status. |
|
Yes |
|
Yes |
| Commercial information |
|
Account activity, records of personal property, products or services
purchased, obtained, or considered, or other purchasing or consuming histories or tendencies. |
|
Yes |
|
Yes |
| Biometric information |
|
Fingerprints, faceprints, voiceprints, and iris or retina scans. |
|
No |
|
No |
| Internet or other similar network activity |
|
Browsing history, search history, information on a consumer’s interaction with a website, application, or advertisement. |
|
Yes |
|
Yes |
| Geolocation data |
|
Physical location or movements. |
|
Yes |
|
No |
| Sensory data |
|
Audio, electronic, visual, thermal, olfactory, or similar information. |
|
Yes |
|
Yes |
| Professional or employment-related information |
|
Current or past job history or performance evaluations. |
|
Yes |
|
Yes |
|
Non-public education
information (per the Family
Educational Rights and
Privacy Act) |
|
Education records directly related to a student maintained by
an educational institution or party acting on its behalf. |
|
Yes |
|
Yes |
|
Inferences drawn from
other personal information |
|
Profile reflecting a person’s preferences, characteristics,
psychological trends, predispositions, behavior, attitudes, intelligence, abilities, and aptitudes. |
|
No |
|
No |
| Saba Capital Income & Opportunities
Fund |
Privacy Policy |
| |
April 30, 2024 (Unaudited) |
| Category |
|
Examples |
|
Collected |
|
Disclosed for
Business Purpose |
|
Sensitive personal
information |
|
A consumer's SS, driver’s license, state ID card, or
passport number; account login or debit/credit card number in combination with any access code, password, or account credentials;
precise geolocation; racial/ethnic origin, religious/philosophical beliefs, or union membership; contents of mail, email, and text
messages; genetic data; biometric information; PHI; or sex life or sexual orientation. |
|
Yes |
|
Yes |
Personal Information does not include information that is
publicly available, de-identified/ aggregated, or subject to Health Insurance Portability and Accountability Act (HIPAA) or the Gramm-Leach
Bliley Act (GLBA).
Sources of Personal Information We
Collect
We collect Personal Information from the following categories
of sources:
| (i) | Your communications with us; |
| (ii) | By observing your actions on our website; |
| (iii) | Service providers, including, but not limited to: administrators,
lenders, banks, trading counterparties, brokers, investor data sites, auditors, law firms, consultants, placement agents, employment
agencies and recruiters, credit bureaus, and background check providers; |
| (iv) | Affiliates not under the Investment Adviser brand; |
| (v) | Nonprofit organizations; and |
We do not knowingly sell or share with
third parties (for cross-context behavioral advertising) Personal Information from anyone under the age of 16.
Purpose for Collection and Use of
Personal Information
We may collect or use Personal Information for one or more
of the following purposes
| (i) | Providing you with information about our products and services; |
| (ii) | Providing you with performance and other updates; |
| (iii) | One or more of the following business purposes: |
| a. | Performing services (for us or our service provider or contractor) such as account servicing, processing
orders and payments, and analytics; |
| c. | Detecting and protecting against security incidents, fraud, and illegal activity; |
| d. | Internal research for technological improvement; |
| f. | Activities to maintain and improve our services; and |
| g. | Short-term, transient use, such that the Personal Information is not disclosed to another third party
and is not used to build a profile about you; and |
| Semi-Annual Report | April 30, 2024 | 77 |
| Saba Capital Income & Opportunities
Fund |
Privacy Policy |
| |
April 30, 2024 (Unaudited) |
| (iv) | Other commercial purposes, including, but not limited to, activities that are
directed to advancing commercial or economic interests, such as inducing a person to buy, rent, lease, join, subscribe to, provide or
exchange products or services, or enabling or effecting a commercial transaction. |
The use of sensitive personal information is limited to
only those purposes authorized under the CPRA.
Disclosing Personal Information
We may disclose Personal Information to:
| (i) | Service providers, including, but not limited to: administrators, lenders, banks,
trading counterparties, brokers, auditors, law firms, consultants, placement agents, employment agencies and recruiters, credit bureaus,
and background check providers; |
| (iv) | Legal or government regulatory authorities as required by applicable law; |
| (v) | In connection with a potential business transfer or merger; and |
| (vi) | Third parties to whom you or your agents authorize us to disclose such information in connection with services we provide to you. |
In the past 12 months, we have not sold or shared (for cross
context behavioral advertising) Personal Information to third parties.
Retention of Personal Information
We retain Personal Information
for as long as necessary to provide the services and fulfill the transactions you have requested, or for other business purposes such
as complying with our legal or regulatory obligations, resolving disputes, and enforcing our agreements. We decide how long we need Personal
Information on a case-by-case basis. We may consider the following factors when making retention decisions:
| (i) | Whether we need to keep some of your Personal Information to maintain your account; |
| (ii) | Whether we are required by law to keep some types of Personal Information for certain
periods of time to comply with our legal obligations; and |
| (iii) | Whether we need some of your Personal Information for other business purposes,
such as to prevent harm and ensure safety and security of our website and services; investigate possible violations of our terms and conditions
of use; or otherwise protect ourselves. |
If we determine your Personal Information
is no longer necessary using the factors above, we will generally destroy or anonymize that information.
Rights of California Consumers
The CPRA provides a California consumer
the following rights, subject to certain exceptions and limitations:
| (i) | The right to request: (a) the categories and specific pieces of Personal Information
we collect about you; (b) the categories of sources from which we collect your Personal Information; (c) our business or commercial purposes
for collecting, selling or sharing your Personal Information; and (d) the categories of Personal Information disclosed for a business
purpose, sold, or shared with third parties (for cross-context behavioral advertising) and the categories of persons to whom it was disclosed,
sold, or shared (and with respect to Personal Information that is sold or shared, organized by category or categories of Personal Information
for each category of third parties to whom the Personal Information was sold or shared). |
| Saba Capital Income & Opportunities
Fund |
Privacy Policy |
| |
April 30, 2024 (Unaudited) |
| (ii) | The right to request that we delete your Personal Information, subject to certain exceptions. |
| (iii) | The right to opt out of our sale(s) (if any) of your Personal Information to third parties or sharing
with such third parties for the purpose of cross-context behavioral advertising. |
| (iv) | The right to request we correct any inaccurate Personal Information maintained about you. |
| (v) | The right to limit our use of your sensitive personal information to only use that is necessary to
perform the services expected or provide the goods reasonably expected. |
| (vi) | The right not to receive discriminatory treatment for exercising your CPRA rights. |
You may submit requests relating to your exercise of CPRA
rights to us via:
Phone: (212) 542-4635;
or
Email: dataprotection@sabacapital.com.
You may only make a verifiable
request for access or data portability twice within a 12-month period. All verifiable requests must provide (1) enough information that
allows us to reasonably verify you are the person about whom we collected Personal Information or an authorized agent and (2) sufficient
detail that allows us to properly evaluate and respond to it. We may need to request additional information from you to verify your identity
or understand the scope of your request. In verifying requests, we will require you to provide, at a minimum your mailing address and
telephone number to verify your identity. If we are unable to verify your identity, we will need to deny your request.
You may designate an authorized
agent to make a CPRA request on your behalf and we reserve the right to seek proof that you have given the authorized agent signed permission
to act on your behalf.
We endeavor
to respond to a verifiable request within 45 days of its receipt. If we require more time, we will inform you of the reason and extension
period in writing. We will deliver our written response by mail or electronically, at your option.
Questions
If you have questions regarding this
California Consumers Privacy Notice, please contact us at (212) 542-4635 or dataprotection@sabacapital.com.
| Semi-Annual Report | April 30, 2024 | 79 |
Item 2. Code of Ethics.
Not applicable for semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual 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 Shareholders filed under Item 1of this Form. |
Item 7. Financial Statements and Financial Highlights for Open-End
Management Investment Companies.
Not applicable.
Item 8. Changes in and Disagreements with Accountants for Open-End
Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of
Open-End Management Investment Companies.
Not applicable.
Item 11. Statement Regarding Basis for Approval of Investment Advisory
Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for
Closed-End Management Investment Companies.
Not applicable for semi-annual report.
Item 13. Portfolio Managers of Closed-End Management Investment
Companies.
(a)(1) Not applicable for semi-annual report.
(a)(2) Not applicable for semi-annual report.
(a)(3) Not applicable for semi-annual report.
(a)(4) Not applicable for semi-annual report.
(b) As of the date of this filing, there have been no changes in any
of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 14. Purchases of Equity Securities by Closed-End Management
Investment Company and Affiliated Purchasers.
No purchases were made during the Reporting Period by or on behalf
of the Registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)),
of shares or other units of any class of the Registrant’s equity securities that is registered by the Registrant pursuant to Section
12 of the Exchange Act (15 U.S.C. 781).
Item 15. 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, since the Registrant last
provided disclosure in response to this item.
Item 16. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded that
the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended)
are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. |
| (b) | There was no change in the Registrant’s internal control over financial reporting (as defined in
Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the Registrant’s last fiscal quarter that
has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End
Management Investment Companies.
The Registrant did not engage in securities lending
activities during the period reported on this Form N-CSR.
Item 18. Recovery of Erroneously Awarded Compensation.
Item 19. Exhibits.
| (a)(2) | Not applicable for semi-annual 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 8, 2024 |
|
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 8, 2024 |
|
| |
|
|
| By: |
/s/ Troy Statczar |
|
| |
Troy Statczar (Principal Financial Officer) |
|
| |
Treasurer and Chief Financial Officer |
|
| |
|
|
| Date: |
July 8, 2024 |
|
Exhibit 99.CERT
I, Pierre Weinstein, Chief Executive Officer
and Principal Executive Officer of the Saba Capital Income & Opportunities Fund (the “Registrant”), certify that:
| 1. | I have reviewed this report on Form N-CSR of the Registrant; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to
state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this
report; |
| 4. | The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have: |
| (a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to
be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries,
is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the
preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented
in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report based on such evaluation; and |
| (d) | Disclosed in this report any change in the Registrant’s internal control over financial reporting
that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
Registrant’s internal control over financial reporting; and |
| 5. | The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors
and the audit committee of the Registrant’s board of trustees (or persons performing the equivalent functions): |
| (a) | All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and
report financial information; and |
| (b) | Any fraud, whether or not material, that involves management or other employees who have a significant
role in the Registrant’s internal control over financial reporting. |
| By: |
/s/ Pierre Weinstein |
|
| |
Pierre Weinstein (Principal Executive Officer) |
|
| |
Chief Executive Officer |
|
| |
|
|
| Date: |
July 8, 2024 |
|
I, Troy Statczar, Treasurer and Principal
Financial Officer of the Saba Capital Income & Opportunities Fund (the “Registrant”), certify that:
| 1. | I have reviewed this report on Form N-CSR of the Registrant; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to
state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the
financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this
report; |
| 4. | The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have: |
| (a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to
be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries,
is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the
preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented
in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to
the filing date of this report based on such evaluation; and |
| (d) | Disclosed in this report any change in the Registrant’s internal control over financial reporting
that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the
Registrant’s internal control over financial reporting; and |
| 5. | The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors
and the audit committee of the Registrant’s board of trustees (or persons performing the equivalent functions): |
| (a) | All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and
report financial information; and |
| (b) | Any fraud, whether or not material, that involves management or other employees who have a significant
role in the Registrant’s internal control over financial reporting. |
| By: |
/s/ Troy Statczar |
|
| |
Troy Statczar (Principal Financial Officer) |
|
| |
Treasurer and Chief Financial Officer |
|
| |
|
|
| Date: |
July 8, 2024 |
|
Exhibit 99.906CERT
This certification is furnished pursuant to Section
906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR (the “Report”)
for the period ended April 30, 2024 of the Saba Capital Income & Opportunities Fund (the “Fund”).
I, Pierre Weinstein, the Chief Executive Officer
and Principal Executive Officer of the Fund, certify that:
| (i) | the Report fully complies with the requirements of Section 13(a) or Section 15(d), as applicable,
of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
| (ii) | the information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Fund. |
| Dated: |
July 8, 2024 |
|
| |
|
|
| By: |
/s/ Pierre Weinstein |
|
| |
Pierre Weinstein (Principal Executive Officer) |
|
| |
Chief Executive Officer |
|
This certification is furnished pursuant to Section
906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR (the “Report”)
for the period ended April 30, 2024 of the Saba Capital Income & Opportunities Fund (the “Fund”).
I, Troy Statczar, the Treasurer and Principal
Financial Officer of the Fund, certify that:
| (i) | the Report fully complies with the requirements of Section 13(a) or Section 15(d), as applicable,
of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
| (ii) | the information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Fund. |
| Dated: |
July 8, 2024 |
|
| |
|
|
| By: |
/s/ Troy Statczar |
|
| |
Troy Statczar (Principal Financial Officer) |
|
| |
Treasurer and Chief Financial Officer |
|
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