N-CSR 1 fp0071413_ncsr.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-05410

 

Saba Capital Income & Opportunities Fund

 

(Exact name of registrant as specified in charter)

 

405 Lexington Avenue, 58th Floor

New York, New York 10174

 

 

 

(Address of principal executive offices) (Zip code)

 

Michael D’Angelo

Saba Capital Income & Opportunities Fund

405 Lexington Avenue

New York, New York 10174

 

 

 

(Name and address of agent for service)

 

Copies to:

John J. Mahon, Esq.

Schulte Roth & Zabel LLP

901 Fifteenth Street, NW, Suite 800

Washington, DC 20005

 

Registrant’s telephone number, including area code: (212) 542-4644

 

Date of fiscal year end: October 31

 

Date of reporting period: March 1, 2021 – October 31, 2021

   

 

Item 1. Reports to Stockholders.

 

(a) 

 

 
 

TABLE OF CONTENTS

 

Shareholder Letter 1
Performance Update 3
Report of Independent Registered Public Accounting Firm 5
Schedule of Investments 6
Statement of Assets and Liabilities 26
Statement of Operations 27
Statements of Changes in Net Assets 28
Statements of Cash Flows 29
Financial Highlights 30
Notes to Financial Statements 32
Additional Information 42
Trustees and Officers 43

 
 

Saba Capital Income & Opportunities Fund (Unaudited) Shareholder Letter
  October 31, 2021

 

December 23, 2021

 

Dear Shareholders,

 

Thank you for your interest in the Saba Capital Income & Opportunities Fund (the “Fund”). We are pleased to provide you with a markets review as well as share our current investment strategy and outlook for the months ahead.

 

At the special meeting held in May, shareholders resoundingly approved Saba Capital Management L.P. (“Saba Capital”) as the Fund’s new investment advisor. Saba Capital is a registered investment advisor managing $3.8 billion across four core strategies: Credit Relative Value, Special Purpose Acquisition Corporations (“SPACs”), Closed-End Funds, and Tail Hedging. We are recognized for our ability to navigate turbulent markets and have a strong track record of identifying asset mis-pricings and special opportunities. This year, Risk.net named Saba Capital “Hedge Fund of the Year”.

 

We are excited to bring our institutional approach to the Fund’s shareholder base. In connection with becoming investment advisor on June 4, 2021, Saba Capital broadened the Fund's investment strategy from solely owning high-yield loans to investing in high-yield and investment grade bonds, SPACs, closed-end funds and other investments.

 

An expanded mandate is valuable not only because of what investments can be added, but also because of what can be reduced. To that end, in our first few months as advisor, Saba Capital slashed the Fund's 75% exposure to high-yield loans rated single B or below because we believed a yield of 3 to 4% was insufficient reward for taking risks to companies with ‘junk’ ratings from Moody’s and S&P. In our view, the sales were also compelling because the Fund simultaneously bought a diversified pool of SPACs yielding 2 to 4%. As SPACs are only permitted to hold AAA rated U.S. Treasury Bills until they consummate a merger, the switch resulted in an increase in credit quality from junk to AAA with no loss of yield, while adding optionality for capital appreciation from successful SPAC acquisitions. Loans have little to no room to rise in price from current levels, so this switch also supports the Fund's new secondary focus on capital appreciation.

 

Performance Summary

The Fund declared $0.17 in dividends from the period from March 1, 2021 to October 31, 2021. Based on the average month-end net asset value ("NAV") per share price of $4.93, the annualized distribution rate was 4.5%. In July, the Fund implemented a managed distribution plan of 8% per annum, which was increased to 12% per annum on December 20, 2021.

 

Since Saba Capital became the Fund’s new investment advisor on June 4th, the Fund’s total return was 2.62% based on NAV and 3.03% based on price, versus a total return of the iBoxx USD Liquid High-Yield Index of 1.23%.

 

Markets Review

High-yield loan and bond prices increased throughout the Fund’s fiscal year and peaked in September. Gains were fueled by the year’s economic recovery, better-than-expected corporate earnings and historically low default rates. These tailwinds and investors' search for yield led HYG - the benchmark ETF for high-yield bonds - to reach its lowest yield in history. Inflation pressures remain a significant risk for the markets with the Consumer Price Index increasing by 6.2% year-over-year in October, the biggest increase in 30 years. The removal of the word “transitory” from the Federal Reserve Open Market Committee's expectation for inflation recently led to a hawkish shift in the posture of a number of members of the committee, including Fed Chairman Powell.

 

In addition to a rise in global inflation, the Omicron variant, continued supply chain headwinds, distress in the Chinese property sector and military tension in Ukraine leave us with a cautious outlook on markets when contrasted with the near record prices for many risk assets. As a consequence, the Fund lowered its leverage ratio from 28% (as of the Fund’s semi-annual report, dated August 31, 2020) to zero as of October 31, 2021. Saba Capital aims to utilize leverage in a more opportunistic manner.

 

Current Portfolio and Strategy

SPACs – The market continues to see robust issuance, with 174 different initial public offerings (“IPOs”) representing $34.8 billion in value issued between June 4 – Saba Capital's inception date as the Fund's advisor – and the Fund's fiscal year end of October 31, 2021. As a result of this large supply, as well as demand for the valuable warrants given to SPAC IPO investors, there are 231 SPACs with an aggregate trust value of $49 billion with yield-to-maturities above 2%, with some topping 5%. Despite the competition among SPACs, their sponsors continue to find some attractive business combinations as demonstrated by SNII/Rigetti Computing, GGPI/Polestar and XPDI/Core Scientific. The positive performance of these SPACs upon deal announcement provided capital gains on top of the ultra-safe yield. As of the end of October, the Fund had 46.5% of its AUM in SPACs with an average maturity of 14 months. All de-SPAC events will shorten the maturity and increase the yield from its current level of approximately 2%.

 

 

Annual Report | October 31, 2021 1

 
 

Saba Capital Income & Opportunities Fund (Unaudited) Shareholder Letter
  October 31, 2021

 

We are continuously looking for ways to improve and modernize the Fund’s investment strategy. In this spirit, a portion of the Fund’s SPAC exposure is devoted to innovative investments, such as, in blockchain, cryptocurrencies, digital finance, electric and autonomous vehicles. Some examples include our investments in Gores Guggenheim Inc. (NASDAQ: GGPI), Blue Safari Acquisition Group (NASDAQ: BSGA), Crypto 1 Acquisition Corp (NASDAQ: DAOOU), and Blockchain Co-investors Acquisition Corp (NASDAQ: BCSAU). We are so excited to be able to have exposure to the evolving economy through the safety of the SPAC product which is invested in AAA U.S. Treasury Bills until the de-SPAC date. It is noteworthy that between announcement date and de-SPAC date, some SPACs have had their largest gains, while investors retained the principal protection of the trust value. We believe this is a unique combination and an opportunity that deserves our vigorous attention. As recently as February 2021, SPACs were trading at a premium to trust value, and therefore there was a negative yield – quite a difference from the current landscape.

 

Closed-End Funds – Though the majority of these exchange listed funds are currently trading at narrow discounts to NAV, Saba Capital continues to find attractive investments for the Fund. For example, in the August 31, 2021 holdings report, the Fund disclosed Guggenheim Enhanced Equity Income Fund (NYSE: GPM) as its largest position. GPM generated a 2021 return of 48.44% as of August 31, 2021 and received shareholder approval during fourth quarter for a NAV merger into GOF, another Guggenheim Closed-End fund trading at a premium of 20%.

 

High-Yield and Investment Grade bonds and loans – Since the transition of the Fund’s investment mandate, Saba Capital has strategically decreased the Fund’s exposure to floating rate loans. While high-yield and investment grade bonds and loans are expected to be a core allocation for the Fund, we will wait for a more attractive entry point to regrow the Fund’s allocation to this asset class.

 

Managed Distribution Plan

In an effort to reduce the discount between the Fund’s share price and its NAV, the Fund’s Board of Trustees recently announced an increase in the managed distribution from an annual fixed rate of 8% to an annual fixed rate of 12%. This significant increase will position the Fund amongst the highest yielding CEFs. Our internal study of premiums/discounts and NAV yields displayed a strong correlation. Of 33 CEFs with NAV yields of 10% or greater, the median premium to NAV was 5% or more, with only two trading at discounts greater than one percent.

 

Conclusion

We are pleased with the results to date and with the pace of transforming the portfolio. In the New Year we look forward to continuing to search for investment opportunities with the goal of creating long-term value for all shareholders. We are grateful for your trust and support.

 

If you have any questions about the Fund, please visit our website at www.sabacef.com.

 

Boaz R Weinstein

Founder & Chief Investment Officer

Saba Capital Management, LP

 

 

2  
 
 

Saba Capital Income & Opportunities Fund Performance Update
  October 31, 2021

 

Average Annual Total Returns (as of October 31, 2021)

 

  1 Year 3 Year 5 Year 10 Year
Returns at NAV 8.65% 0.99% 2.39% 4.73%
Returns at Market Value 16.37% 4.80% 2.99% 4.91%
iShares iBoxx $ High Yield Corporate Bond ETF (HYG)(a) 8.59% 6.07% 5.29% 5.44%
S&P/LSTA Leveraged Loan Index(b) 8.47% 4.25% 4.47% 4.64%

 

Returns for the period since Saba Capital Management began managing the Fund on June 4, 2021 are at NAV 2.62% and at market value 3.03%.

 

Comparison of the Change in Value of a $10,000 Investment

 

 

At the special meeting that occurred on May 21st, shareholders voted to approve a new investment advisor as well as to approve the removal of certain fundamental policies of the Fund, in order to provide greater investment flexibility. Accordingly, the investment adviser also felt it was appropriate to transition the fund's benchmark to a benchmark that serves as better comparison with the funds new mandate.

 

The performance data quoted above represents past performance. Past performance is not a guarantee of future results. Investment return and value of the Fund shares will fluctuate so that a shareholder's shares, when sold, may be worth more or less than their original cost. Performance may be lower or higher than performance data quoted. Fund performance current to the most recent month-end is available by visiting www.sabacef.com.

 

(a)iShares iBoxx High Yield Corporate Bond ETF is an exchange-traded fund incorporated in the USA. The ETF seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds.
(b)S&P Leveraged Loan Indexes (S&P LL indexes) are capitalization-weighted syndicated loan indexes based upon market weightings, spreads and interest payments. The S&P/LSTA Leveraged Loan Index (LLI) covers the U.S. market back to 1997 and currently calculates on a daily basis. The S&P/LSTA Leveraged Loan 100 Index (LL100) dates back to 2002 and is a daily tradable index for the U.S. market that seeks to mirror the market-weighted performance of the largest institutional leveraged loans, as determined by criteria. Its ticker on Bloomberg is SPBDAL. These indexes are run in partnership between S&P and the Loan Syndications & Trading Association, the loan market’s trade group.

 

 

Annual Report | October 31, 2021 3

 
 

Saba Capital Income & Opportunities Fund Performance Update
  October 31, 2021

 

Top Ten Holdings (as a % of Net Assets)(c)

 

Adtalem Global Education, Inc. 1.46%
Peer Holding III B.V. 1.00%
Mudrick Capital Acquisition Corp. II 0.98%
Carnival Corporation TLB 1L 0.83%
Miller/Howard High Dividend Fund 0.82%
Hub International, Ltd. 0.72%
Salient Midstream & MLP Fund 0.71%
Gores Holdings VII, Inc. 0.70%
AssuredPartners, Inc. 0.70%
USI, Inc. 0.68%
Top Ten Holdings 8.60%

 

Portfolio Composition (Unaudited) (as a % of Net Assets)(c)

 

 

(c)Holdings are subject to change, and may not reflect the current or future position of the portfolio. Tables present indicative values only.

 

 

4  

 
 

  Report of Independent Registered
Saba Capital Income & Opportunities Fund Public Accounting Firm

 

To the Shareholders and Board of Trustees of Saba Capital Income & Opportunities Fund

 

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Saba Capital Income & Opportunities Fund (the “Fund”), including the schedule of investments, as of October 31, 2021, and the related statements of operations and cash flows for the period from March 1, 2021 to October 31, 2021, the statements of changes in net assets for the year ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021, the financial highlights for each of the two years ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund at October 31, 2021, and the results of its operations and its cash flows for the period then ended, the changes in its net assets for the year ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021 and its financial highlights for each of the two years ended February 28, 2021 and the period from March 1, 2021 to October 31, 2021 in conformity with U.S. generally accepted accounting principles.

 

The financial highlights for each of the three years in the period ended February 28, 2019 were audited by other auditors whose report dated April 26, 2019, expressed an unqualified opinion on those financial statements and financial highlights.

 

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

 

We have served as the auditor of Saba Capital Income and Opportunities Fund since 2019.

 

New York, New York

December 23, 2021

 

 

Annual Report | October 31, 2021 5

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
CORPORATE BONDS-5.93%          
Banks - 2.03%          
           
Credit Suisse AG, 7.624% (Variable Rate), 07/31/2030  $10,000   $10,003 
Credit Suisse AG, 7.624% (Variable Rate), 10/30/2030   420,000    442,805 
Morgan Stanley, 5.718% (Variable Rate), 04/30/2030   25,000    24,039 
Morgan Stanley, 7.624% (Variable Rate), 07/31/2030   80,000    75,780 
Morgan Stanley, 6.671% (Variable Rate), 10/30/2030   80,000    83,392 
Morgan Stanley, 3.780% (Variable Rate), 09/26/2033   428,000    395,414 
Morgan Stanley, 3.812% (Variable Rate), 10/31/2033   266,000    238,424 
Morgan Stanley, 3.812% (Variable Rate), 02/28/2034   478,000    438,843 
Morgan Stanley, 3.812% (Variable Rate), 03/31/2034   276,000    247,507 
Morgan Stanley, 3.812% (Variable Rate), 03/31/2034   26,000    23,148 
Morgan Stanley, 3.812% (Variable Rate), 04/30/2034   66,000    55,979 
Morgan Stanley, 3.812% (Variable Rate), 05/30/2034   89,000    77,860 
Morgan Stanley, 4.765% (Variable Rate), 06/30/2034   460,000    412,787 
Morgan Stanley, 3.812% (Variable Rate), 07/31/2034   25,000    22,994 
Morgan Stanley, 4.725% (Variable Rate), 08/29/2034   161,000    146,507 
Morgan Stanley, 4.725% (Variable Rate), 08/29/2034   10,000    8,859 
Morgan Stanley, 4.765% (Variable Rate), 09/30/2034   88,000    78,376 
Morgan Stanley, 6.671% (Variable Rate), 09/30/2034   231,000    224,023 
Morgan Stanley, 7.070% (Variable Rate), 10/08/2034   32,000    29,943 
Morgan Stanley, 4.765% (Variable Rate), 10/31/2034   103,000    97,608 
Morgan Stanley, 4.765% (Variable Rate), 10/31/2034   181,000    171,874 
Morgan Stanley, 6.671% (Variable Rate), 10/31/2034   357,000    345,806 
Morgan Stanley, 4.725% (Variable Rate), 11/28/2034   25,000    22,398 
Morgan Stanley, 6.615% (Variable Rate), 11/28/2034   231,000    232,021 
Morgan Stanley, 4.765% (Variable Rate), 01/30/2035   175,000    163,339 
Morgan Stanley, 7.624% (Variable Rate), 01/30/2035   69,000    67,010 
Morgan Stanley, 4.725% (Variable Rate), 02/27/2035   36,000    34,148 
Morgan Stanley, 4.765% (Variable Rate), 03/31/2035   114,000    106,590 
Morgan Stanley, 5.718% (Variable Rate), 03/31/2035   527,000    510,967 
Morgan Stanley, 9.450% (Variable Rate), 02/29/2036   61,000    59,281 
Morgan Stanley, 9.450% (Variable Rate), 04/28/2036   10,000    10,500 
Morgan Stanley, 9.530% (Variable Rate), 06/30/2036   40,000    39,606 
Morgan Stanley, 9.000% (Variable Rate), 08/31/2036   2,289,000    2,334,642 
Morgan Stanley, 9.000% (Variable Rate), 09/30/2036   40,000    41,520 
Morgan Stanley, 9.000% (Variable Rate), 11/29/2036   103,000    106,941 
Morgan Stanley, 9.000% (Variable Rate), 01/31/2037   224,000    215,607 
Morgan Stanley, 9.000% (Variable Rate), 03/31/2037   747,000    789,952 
Morgan Stanley, 9.000% (Variable Rate), 04/28/2037   40,000    40,207 
Morgan Stanley, 9.000% (Variable Rate), 05/31/2037   25,000    26,337 
Morgan Stanley, 9.000% (Variable Rate), 08/31/2037   58,000    58,006 
         8,511,043 
Consumer Services - 1.46%          
           
Adtalem Global Education, Inc., 5.500%, 03/01/2028(a)   6,050,000    6,125,625 
         6,125,625 

 

 

6  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
Entertainment Content - 0.42%          
           
Diamond Sports Group LLC / Diamond Sports Finance Co., 12.750%, 12/01/2026(a)  $2,750,000   $1,760,000 
         1,760,000 
Food - 0.19%          
           
Post Holdings, Inc., 5.500%, 12/15/2029(a)   750,000    801,563 
         801,563 
Internet Media & Services - 0.64%          
           
Uber Technologies, Inc., 6.250%, 01/15/2028(a)   2,500,000    2,693,750 
         2,693,750 
Real Estate Owners & Developers - 0.44%          
           
China Evergrande Group, 8.250%, 03/23/2022   5,000,000    1,575,500 
China Evergrande Group, 7.500%, 06/28/2023   1,000,000    252,500 
         1,828,000 
Specialty Finance - 0.54%          
           
PennyMac Financial Services, Inc., 5.375%, 10/15/2025(a)   1,250,000    1,295,313 
PennyMac Financial Services, Inc., 5.750%, 09/15/2031(a)   1,000,000    986,250 
         2,281,563 
Steel - 0.21%          
           
AK Steel Corp., 7.000%, 03/15/2027   880,000    902,000 
         902,000 
TOTAL CORPORATE BONDS        24,903,544 
(Cost $25,808,617)          
           
SENIOR LOANS-35.97%          
Advertising & Marketing - 0.50%          
           
Terrier Media Buyer, Inc., First Lien 2021 B Term Loan, 1M US L + 3.50%, 12/17/2026   2,109,811    2,104,410 
         2,104,410 
Apparel & Textile Products - 0.09%          
           
New Trojan Parent, Inc., First Lien Term Loan, 3M US L + 3.25%, 01/06/2028   359,100    358,576 
         358,576 
Asset Management - 1.57%          
           
Advisor Group Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 4.50%, 07/31/2026   476,364    477,283 
Blucora, Inc., First Lien Term Loan, 3M US L + 4.00%, 05/22/2024   504,587    505,848 
NFP Corp., First Lien Closing Date Term Loan, 1M US L + 3.25%, 02/15/2027   2,770,263    2,740,829 
USI, Inc., First Lien Term Loan, 3M US L + 3.00%, 05/16/2024   2,881,800    2,864,034 
         6,587,994 

 

 

Annual Report | October 31, 2021 7

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
Automotive - 0.60%        
         
American Axle & Manufacturing, Inc., First Lien Term Loan, 1M US L + 2.25%, 04/06/2024  $631,438   $631,438 
Holley Purchaser, Inc., First Lien Term Loan, 1M US L + 5.00%, 10/26/2025   743,747    746,536 
Truck Hero, Inc., First Lien Initial Term Loan, 1M US L + 3.25%, 01/31/2028   1,139,275    1,135,715 
         2,513,689 
Banks - 0.18%          
           
Aretec Group, Inc., First Lien Term Loan, 1M US L + 4.25% (Variable Rate), 10/01/2025   482,560    482,560 
VFH Parent LLC, First Lien Term Loan, 1M US L + 3.00% (Variable Rate), 03/01/2026   261,181    260,956 
         743,516 
Business Equipment & Services - 0.39%          
           
Intrado Corp., First Lien Term Loan, 3M US L + 3.50%, 10/10/2024   859,311    842,485 
Intrado Corp., First Lien Initial B Term Loan, 3M US L + 4.00%, 10/10/2024   809,446    796,503 
         1,638,988 
Cable & Satellite - 0.55%          
           
Radiate HoldCo LLC, First Lien B Term Loan, 1M US L + 3.50%, 09/25/2026   2,330,664    2,327,622 
         2,327,622 
Chemicals - 0.47%          
           
Ascend Performance Materials Operations LLC, First Lien 2021 Refinancing Term Loan, 3M US L + 4.75%, 08/27/2026   406,433    410,968 
CPC Acquisition Corp., First Lien Initial Term Loan, 3M US L + 3.75%, 12/29/2027   393,025    393,025 
CPC Acquisition Corp., Second Lien Initial Term Loan, 3M US L + 7.75%, 12/29/2028   175,000    175,656 
HB Fuller Co., First Lien Term Loan, 1M US L + 2.00%, 10/20/2024   145,837    146,020 
Polar US Borrower LLC, First Lien Term Loan, 3M US L + 4.75%, 10/16/2025   834,938    835,632 
         1,961,301 
Commercial Support Services - 0.79%          
           
Amentum Government Services Holdings LLC, First Lien Term Loan, 1M US L + 3.50%, 01/31/2027   535,088    534,197 
GFL Environmental, Inc., First Lien Term Loan, 3M US L + 3.00%, 05/31/2025   957,420    960,412 
Northstar Group Services, Inc., First Lien Term Loan, 1M US L + 5.50%, 11/12/2026   623,094    625,041 
RR Donnelley & Sons Co., First Lien Term Loan, 1M US L + 5.00%, 01/15/2024   1,201,265    1,203,067 
         3,322,717 
Consumer Services - 0.45%          
           
HGIM Corp., First Lien Term Loan, 3M US L + 6.00%, 07/02/2023   1,339,535    1,031,442 
KUEHG Corp, First Lien B-3 Term Loan, 3M US L + 3.75%, 02/21/2025   876,679    870,161 
         1,901,603 
Containers & Packaging - 1.99%          
           
Charter Next Generation, Inc., First Lien Initial (2021) Term Loan, 1M US L + 3.75%, 12/01/2027   1,809,321    1,816,242 

 

 

 

8  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
Flex Acquisition Co., Inc., First Lien Term Loan, 3M US L + 3.00%, 06/29/2025  $2,738,396   $2,720,500 
Flex Acquisition Company, Inc., First Lien 2021 Specified Refinancing Term Loan, 3M US L + 3.50%, 03/02/2028   945,204    943,824 
Graham Packaging Co., Inc., First Lien Term Loan, 1M US L + 3.00%, 08/04/2027   437,446    436,973 
Mauser Packaging Solutions Holding Company, First Lien Initial Term Loan, 1M US L + 3.25%, 04/03/2024   1,532,412    1,494,585 
Pactiv Evergreen, Inc., First Lien Tranche B-2 U.S. Term Loan, 1M US L + 3.25%, 02/05/2026   937,913    933,354 
         8,345,478 
Electric Utilities - 0.18%          
           
Nautilus Power LLC, First Lien Term Loan, 1M US L + 4.25%, 05/16/2024   862,197    764,122 
         764,122 
Electrical Equipment - 0.04%          
           
Energy Acquisition LP, First Lien Initial Term Loan, 3M US L + 4.25%, 06/26/2025   157,616    156,572 
         156,572 
Engineering & Construction - 0.51%          
           
Fluidra Finco SL, First Lien Term Loan, 1M EUR L + 2.00%, 07/02/2025   560    647 
MX Holdings US, Inc., First Lien Term Loan, 1M US L + 2.50%, 07/25/2025   1,460,372    1,458,393 
Rockwood Service Corp., First Lien Term Loan, 1M US L + 4.00%, 01/23/2027   375,511    375,746 
Service Logic Acquisition, Inc., First Lien Term Loan, 3M US L + 4.00%, 10/29/2027   266,210    267,708 
Service Logic Acquisition, Inc., First Lien Term Loan, 3M US L + 4.00%, 10/29/2027   28,242    28,400 
         2,130,894 
Entertainment Content - 0.34%          
           
Alchemy Copyrights LLC, First Lien Term Loan, 1M US L + 3.00%, 08/14/2027   281,905    282,610 
Univision Communications, Inc., First Lien Term Loan, 1M US L + 2.75%, 03/15/2024   1,144,804    1,145,640 
         1,428,250 
Food - 0.54%          
           
Atkins Nutritionals Holdings, Inc., First Lien Term Loan, 1M US L + 3.75%, 07/07/2024   423,452    426,232 
CHG PPC Parent LLC, First Lien Term Loan, 1M US L + 2.75%, 03/30/2025   203,209    202,193 
H-Food Holdings LLC, First Lien Initial Term Loan, 1M US L + 3.6875%, 05/23/2025   1,659,903    1,653,529 
         2,281,954 
Food Service - 0.23%          
           
IRB Holding Corp., First Lien Fourth Amendment Incremental Term Loan, 3M US L + 3.25%, 12/15/2027   982,575    983,720 
         983,720 
Food/Drug Retailers - 0.47%          
           
Moran Foods LLC, First Lien -2020 Term Loan, 3M US L + 7.00%, 04/01/2024   896,115    920,890 
Moran Foods, LLC TLA, Second Lien Term Loan, 3M US L + 10.75%, 10/01/2024   1,195,468    1,040,263 
         1,961,153 

 

 

Annual Report | October 31, 2021 9

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
Health Care - 1.89%        
           
Accelerated Health Systems LLC, First Lien Term Loan, 1M US L + 3.50%, 11/01/2025  $322,098   $320,890 
Bausch Health Companies, Inc., First Lien Initial Term Loan, 1M US L + 3.00%, 06/02/2025   2,687,851    2,684,786 
Cano Health LLC, First Lien Initial Term Loan, 3M US L + 4.50%, 11/23/2027   82,863    82,966 
Endo Luxembourg Finance Company I S.a r.l., First Lien 2021 Term Loan, 3M US L + 5.00%, 03/27/2028   685,419    670,186 
Envision Healthcare Corp., First Lien Initial Term Loan, 1M US L + 3.75%, 10/10/2025   2,310,099    1,920,997 
eResearchTechnology, Inc., First Lien Initial Term Loan, 1M US L + 4.50%, 02/04/2027   268,640    270,170 
LifeScan Global Corp., First Lien Term Loan, 3M US L + 6.00%, 10/01/2024   648,108    645,136 
Medical Solutions Holdings, Inc., First Lien Term Loan, 1M US L + 4.50%, 06/14/2024   396,594    397,750 
Ortho-Clinical Diagnostics SA, First Lien Term Loan, 1M US L + 3.00%, 06/30/2025   491,971    492,279 
Unified Women’s Healthcare LP, First Lien Initial Term Loan, 1M US L + 4.25%, 12/20/2027   436,425    437,571 
         7,922,731 
Home & Office Products - 0.13%          
           
Weber-Stephen Products LLC, First Lien Initial B Term Loan, 1M US L + 3.25%, 10/30/2027   534,755    536,539 
         536,539 
Home Construction - 0.05%          
           
CP Atlas Buyer, Inc., First Lien B Term Loan, 3M US L + 3.75%, 11/23/2027   228,850    227,789 
         227,789 
Household Products - 0.40%          
           
Parfums Holding Co., Inc., First Lien Term Loan, 1M US L + 4.00%, 06/30/2024   1,663,283    1,660,164 
         1,660,164 
Industrial Intermediate Prod - 0.53%          
           
Gates Global LLC, First Lien Term Loan, 1M US L + 2.50%, 03/31/2027   1,817,577    1,815,396 
Werner FinCo LP, First Lien Term Loan, 3M US L + 4.00%, 07/24/2024   427,705    428,774 
         2,244,170 
Industrial Support Services - 0.25%          
           
Gloves Buyer, Inc., First Lien Term Loan, 1M US L + 3.75%, 01/06/2028   313,425    313,916 
Yak Access LLC, First Lien Term Loan, 3M US L + 5.00%, 07/11/2025   850,974    722,264 
         1,036,180 
Insurance - 2.97%          
           
Acrisure LLC, First Lien 2020 Term Loan, 3M US L + 3.50%, 02/15/2027   2,718,986    2,687,718 
Alliant Holdings Intermediate LLC, First Lien 2018 Initial Term Loan, 1M US L + 3.25%, 05/09/2025   2,403,375    2,385,974 
AssuredPartners, Inc., First Lien 2020 February Refinancing Term Loan, 1M US L + 3.50%, 02/12/2027   2,945,286    2,929,337 
Asurion LLC, Second Lien New B-3 Term Loan, 1M US L + 5.25%, 01/31/2028   500,000    498,705 

 

 

10  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
BroadStreet Partners, Inc., First Lien Term Loan, 1M US L + 3.00%, 01/27/2027  $931,404   $921,364 
Hub International, Ltd., First Lien Initial Term Loan, 3M US L + 2.75%, 04/25/2025   3,052,522    3,021,997 
         12,445,095 
Internet Media & Services - 0.32%          
           
Arches Buyer, Inc., First Lien Refinancing Term Loan, 1M US L + 3.25%, 12/06/2027   431,738    430,388 
Research Now Group, Inc., First Lien Initial Term Loan, 3M US L + 5.50%, 12/20/2024   906,950    897,800 
         1,328,188 
Leisure Facilities & Services - 4.48%          
           
24 Hour Fitness Worldwide, Inc., First Lien Term Loan, 3M US L + 5.00%, 12/29/2025   267,340    199,970 
AMC Entertainment Holdings, Inc., First Lien B-1 Term Loan, 1M US L + 3.00%, 04/22/2026   939,964    869,274 
Aristocrat Leisure, Ltd., First Lien Initial Term Loan, 3M US L + 3.75%, 10/19/2024   1,710,810    1,717,046 
Caesars Resort Collection LLC, First Lien B Term Loan, 1M US L + 2.75%, 12/23/2024   2,604,620    2,595,217 
Carnival Corporation TLB 1L, First Lien Term Loan, %, 10/06/2028   3,500,000    3,501,102 
ClubCorp Holdings, Inc., First Lien B Term Loan, 3M US L + 2.75%, 09/18/2024   902,853    854,041 
Crown Finance US, Inc., First Lien Initial B-1 Term Loan, 3M US L + 7.00 (PIK Rate 8.25%, Cash Rate 7.00%)%, 05/23/2024(b)   10,803    13,114 
Fitness International LLC, First Lien Term Loan, 3M US L + 3.25%, 04/18/2025   1,509,884    1,408,065 
Golden Nugget LLC, First Lien Term Loan, 3M US L + 2.50%, 10/04/2023   2,030,988    2,023,463 
Hilton Worldwide Finance LLC, First Lien Term Loan, 1M US L + 1.75%, 06/21/2026   297,475    295,494 
IRB Holding Corp., First Lien 2020 Replacement B Term Loan, 3M US L + 2.75%, 02/05/2025   1,491,197    1,489,408 
NPC International, Inc., Second Lien Initial Term Loan, 1M US L + 0.00%, 04/18/2025   605,000    12,100 
Portillo's Holdings LLC, First Lien Term Loan, 1M US L + 5.50%, 12/06/2024   706,723    708,490 
Scientific Games International, Inc., First Lien Initial B-5 Term Loan, 1M US L + 2.75%, 08/14/2024   2,747,201    2,739,549 
Tacala Investment Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 02/05/2027   370,391    370,161 
         18,796,494 
Machinery - 0.87%          
           
ASP Navigate Acquisition Corp., First Lien Initial Term Loan, 3M US L + 4.50%, 10/06/2027   431,738    432,549 
CPM Holdings, Inc., First Lien Term Loan, 1M US L + 3.50%, 11/15/2025   365,859    364,762 
Granite US Holdings Corp., First Lien Term Loan, 3M US L + 4.00%, 09/30/2026   921,888    921,888 
Star US Bidco LLC, First Lien Initial Term Loan, 1M US L + 4.25%, 03/17/2027   441,523    443,730 
Welbilt, Inc., First Lien Term Loan, 1M US L + 2.50%, 10/23/2025   1,500,000    1,496,250 
         3,659,179 
Metals & Mining - 0.29%          
           
Covia Holdings LLC, First Lien Term Loan, 3M US L + 4.00%, 07/31/2026   856,228    854,893 
NeuStar, Inc., First Lien Term Loan, 1M US L + 3.50%, 08/08/2024   367,355    367,900 
         1,222,793 
Oil & Gas Producers - 0.52%          
           
EG Group, Ltd., First Lien Additional Facility Term Loan, 3M US L + 4.00%, 02/07/2025   1,703,904    1,700,445 

 

 

Annual Report | October 31, 2021 11

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
GMP Borrower LLC Term, First Lien Term Loan, 1M US L + 4.50%, 10/28/2027  $171,873   $156,404 
Lucid Energy Group II Borrower, LLC, First Lien Term Loan, 1M US L + 3.00%, 02/19/2025   310,061    308,382 
         2,165,231 
Oil & Gas Services & Equip - 0.32%          
           
US Silica Co., First Lien Term Loan, 1M US L + 4.00%, 05/01/2025   1,375,396    1,351,326 
         1,351,326 
Publishing & Broadcasting - 1.42%          
           
Clear Channel Outdoor Holdings, Inc., First Lien B Term Loan, 3M US L + 3.50%, 08/21/2026   1,936,443    1,908,393 
Cumulus Media New Holdings, Inc., First Lien Initial Term Loan, 1M US L + 3.75%, 03/31/2026   666,798    667,451 
Entercom Media Corp., First Lien Term Loan, 1M US L + 2.50%, 11/17/2024   1,541,157    1,533,212 
iHeart Communications, Inc., First Lien Term Loan, 1M US L + 3.00%, 05/01/2026   1,420,762    1,411,882 
Meredith Corp., First Lien Term Loan, 3M US L + 4.25%, 01/31/2025   442,019    451,918 
         5,972,856 
Real Estate Services - 0.31%          
           
Cushman & Wakefield US Borrower LLC, First Lien Term Loan, 1M US L + 2.75%, 08/21/2025   1,317,781    1,310,777 
         1,310,777 
REIT - 0.14%          
           
Forest City Enterprises LP, First Lien Replacement Term Loan, 1M US L + 3.50%, 12/08/2025   583,694    577,402 
         577,402 
Retail - Discretionary - 2.10%          
           
Belkron Finance US LLC, First Lien Term Loan, 3M US L + 2.25%, 11/13/2025   326,754    325,869 
LBM Acquisition LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 12/17/2027   833,471    823,632 
LS Group Opco Acquisition LLC, First Lien Initial Term Loan, 3M US L + 3.25%, 11/02/2027   967,688    968,597 
Park River Holdings, Inc., First Lien Initial Term Loan, 3M US L + 3.25%, 12/28/2027   462,674    461,411 
Peer Holding III B.V., First Lien Facility B Term Loan, 3M EUR L + 3.00%, 03/07/2025   3,659,551    4,199,822 
RVR Dealership Holdings LLC, First Lien Term Loan, 3M US L + 4.00%, 02/08/2028   368,150    368,150 
White Cap Buyer LLC, First Lien Initial Closing Date Term Loan, 1M US L + 4.00%, 10/19/2027   1,394,783    1,399,540 
Woof Holdings, Inc., First Lien Term Loan, 3M US L + 3.75%, 12/21/2027   268,649    269,322 
         8,816,343 
Retailers (except food & drug) - 0.18%          
           
Men's Wearhouse LLC, First Lien Term Loan, 3M US L + 11.00%, 06/01/2025   268,556    265,871 
Men's Wearhouse LLC, First Lien Term Loan, 3M US L + 8.00%, 12/01/2025   599,267    505,781 
         771,652 

 

 

12  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
Semiconductors - 0.08%        
         
Cohu, Inc., First Lien Initial B Term Loan, 3M US L + 3.00%, 10/01/2025  $333,887   $333,366 
         333,366 
Software - 4.00%          
           
Ascend Learning LLC, First Lien Term Loan, 1M US L + 3.00%, 07/12/2024   395,525    395,701 
Ascend Learning LLC, First Lien Term Loan, 1M US L + 3.75%, 07/12/2024   499,206    500,142 
Boxer Parent Company, Inc., First Lien 2021 Replacement Dollar Term Loan, 3M US L + 3.75%, 10/02/2025   2,346,314    2,333,409 
Brave Parent Holdings, Inc., First Lien Term Loan, 1M US L + 4.00%, 04/19/2025   221,002    221,357 
Camelot U.S. Acquisition 1 Co., First Lien Amendment No. 2 Incremental Term Loan, 1M US L + 3.00%, 10/30/2026   833,700    836,305 
Castle US Holding Corp., First Lien Initial Dollar Term Loan, 3M US L + 3.75%, 01/29/2027   1,044,343    1,034,390 
CentralSquare Technologies LLC, First Lien Initial Term Loan, 3M US L + 3.75%, 08/29/2025   495,065    464,279 
CommerceHub, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 12/29/2027   218,350    218,965 
First Advantage Holdings LLC, First Lien Term Loan, 1M US L + 2.75%, 01/31/2027   327,792    327,465 
Imperva, Inc., First Lien Term Loan, 3M US L + 4.00%, 01/12/2026   964,832    967,109 
Ivanti Software, Inc., First Lien Initial Term Loan, 3M US L + 4.75%, 12/01/2027   925,350    926,215 
LogMeIn, Inc., First Lien Initial Term Loan, 1M US L + 4.75%, 08/31/2027   1,702,138    1,701,874 
McAfee LLC, First Lien B USD Term Loan, 1M US L + 3.75%, 09/30/2024   1,894,095    1,898,006 
MedAssets Software Intermediate Holdings, Inc., First Lien Term Loan, 3M US L + 3.75%, 01/28/2028   269,325    269,957 
Momentive, Inc., First Lien Term Loan, 3M US L + 3.75%, 10/10/2025   650,601    649,381 
Panther Purchaser LP, First Lien Term Loan, 3M US L + 4.50%, 01/08/2028   668,325    671,389 
Project Leopard Holdings, Inc., First Lien 2019 Incremental Term Loan, 3M US L + 4.75%, 07/05/2024   817,360    821,594 
Riverbed Technology, Inc., First Lien 2020 Extension Term Loan, 1M US L + 6.00%, 12/31/2025   981,784    899,736 
Rocket Software, Inc., First Lien Initial Term Loan, 1M US L + 4.25%, 11/28/2025   1,632,710    1,629,648 
         16,766,922 
Specialty Finance - 0.21%          
           
GreenSky Holdings LLC, First Lien Term Loan, 1M US L + 3.25%, 03/29/2025   889,444    887,220 
         887,220 
Technology Hardware - 1.39%          
           
Global Tel*Link Corp., First Lien Term Loan, 1M US L + 4.25%, 11/29/2025   2,124,661    2,039,483 
Global Tel*Link Corp., Second Lien Term Loan, 1M US L + 8.25%, 11/29/2026   862,587    809,970 
TTM Technologies, Inc., First Lien Term Loan, 1M US L + 2.50%, 09/28/2024   893,432    893,990 
VeriFone Systems, Inc., First Lien Initial Term Loan, 3M US L + 4.00%, 08/20/2025   2,115,962    2,075,557 
         5,819,000 
Technology Services - 0.54%          
           
24-7 Intouch, Inc., First Lien Term Loan, 1M US L + 4.75%, 08/24/2025   317,300    314,127 
Acuris Finance US, Inc., First Lien Initial Dollar Term Loan, 3M US L + 4.00%, 02/16/2028   243,750    244,931 
Flexential Intermediate Corp., First Lien Initial Term Loan, 1M US L + 3.50%, 08/01/2024   835,388    810,852 

 

 

Annual Report | October 31, 2021 13

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Principal Amount   Fair Value 
Travelport Finance S.a r.l., First Lien Initial (Priority) Term Loan, 3M US L + 9.00%, 02/28/2025  $567,876   $589,246 
Travelport Finance S.a r.l., First Lien Initial Term Loan, 3M US L + 5.00%, 05/29/2026   375,800    326,946 
         2,286,102 
Telecommunications - 1.01%          
           
Northwest Fiber LLC, First Lien B-2 Term Loan, 1M US L + 3.75%, 04/30/2027   267,677    266,841 
Telesat LLC, First Lien Term Loan, 1M US L + 2.75%, 12/06/2026   2,474,649    2,222,544 
Zayo Group Holdings, Inc., First Lien Initial Dollar Term Loan, 1M US L + 3.00%, 03/09/2027   1,783,123    1,757,794 
         4,247,179 
Transportation & Logistics - 0.81%          
           
American Airlines, Inc., First Lien 2018 Replacement Term Loan, 1M US L + 1.75%, 06/27/2025   1,729,869    1,677,653 
Mileage Plus Holdings LLC, First Lien Initial Term Loan, 3M US L + 5.25%, 06/21/2027   655,000    698,436 
SkyMiles IP, Ltd., First Lien Initial Term Loan, 3M US L + 3.75%, 10/20/2027   970,000    1,034,127 
         3,410,216 
Wholesale - Consumer Staples - 0.21%          
           
United Natural Foods, Inc., First Lien Initial Term Loan, 1M US L + 3.50%, 10/22/2025   893,133    895,008 
         895,008 
Wholesale - Discretionary - 0.66%          
           
Dealer Tire LLC, First Lien B-1 Term Loan, 1M US L + 4.25%, 12/12/2025   183,080    183,370 
KAR Auction Services, Inc., First Lien Term Loan, 1M US L + 2.25%, 09/19/2026   2,662,465    2,595,904 
         2,779,274 
TOTAL SENIOR LOANS        150,981,755 
(Cost $151,106,065)          
           
COMMON STOCK-0.79%          
Local TV & Radio Broadcast-0.10%          
Cumulus Media, Inc.(c)   33,909    421,150 
           
Electronics & Appliances Stores-0.00%          
Everyware Global(c)(d)   43,777     
           
Marine Services-0.01%          
Harvey Gulf Intl. Marine(c)   7,413    25,946 
           
Food & Drug Stores-0.00%          
Save A Lot / Moran Foods(c)(d)   56,338     
           
Specialty Apparel Stores-0.00%          
Mens Wearhouse(c)   11,155    15,060 

 

 

14  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Entertainment Facilities-0.12%        
24 Hour Fitness Worldwide(c)   306,005   $510,110 
           
Mineral & Precious Stone Mining-0.50%          
Covia Equity(c)   169,353    2,074,574 
           
IT Services-0.01%          
IQOR(c)   4,941    56,822 
           
Power Generation-0.05%          
Longview Power LLC(c)   61,813    216,346 
           
TOTAL COMMON STOCK        3,320,008 
(Cost $3,224,966)          
           
CLOSED END FUNDS-6.41%          
Aberdeen Japan Equity Fund, Inc.   105,265    975,807 
Blackstone Strategic Credit Fund   90,583    1,263,633 
Calamos Long/Short Equity & Dynamic Income Trust   4,489    92,833 
Center Coast Brookfield MLP & Energy Infrastructure Fund   57,744    869,047 
ClearBridge Energy Midstream Opportunity Fund, Inc.   7,238    173,784 
Cushing MLP & Infrastructure Total Return Fund   65,283    2,256,180 
Delaware Investments Minnesota Municipal Income Fund II, Inc.   24,197    346,259 
Delaware Ivy High Income Opportunities Fund   165,758    2,345,476 
Ecofin Sustainable and Social   2,343    34,325 
Ellsworth Growth and Income Fund, Ltd.   1,026    14,118 
First Trust Aberdeen Emerging Opportunity Fund   90    1,277 
India Fund, Inc.   87,891    1,964,364 
Invesco Senior Income Trust   492,047    2,209,291 
Japan Smaller Capitalization Fund, Inc.   7,794    68,665 
Korea Fund, Inc.   27,872    1,136,899 
Miller/Howard High Dividend Fund   333,513    3,435,183 
Morgan Stanley Emerging Markets Debt Fund, Inc.   103,239    940,507 
New Ireland Fund, Inc.(c)   83,100    1,042,905 
Nuveen Diversified Dividend and Income Fund   23,714    258,720 
Nuveen Tax-Advantaged Total Return Strategy Fund   5,924    69,192 
PGIM Global High Yield Fund, Inc.   680    10,662 
PIMCO Energy & Tactical Credit Opportunities Fund   11,944    156,228 
Principal Real Estate Income Fund   25,895    400,855 
Salient Midstream & MLP Fund(c)   440,446    2,973,010 
Special Opportunities Fund, Inc.   5,178    82,175 
Taiwan Fund, Inc.   645    23,027 
Templeton Emerging Markets Fund/United States   1,461    25,743 
Templeton Global Income Fund   30,991    169,211 
Tortoise Energy Independence Fund, Inc.   21,461    510,772 
Tortoise Energy Infrastructure(c)   13,784    411,452 

 

 

Annual Report | October 31, 2021 15

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Tortoise Midstream Energy Fund(c)   6,643   $213,971 
Tortoise Power and Energy Infrastructure Fund, Inc.   929    12,458 
Vertical Capital Income Fund   24,693    263,968 
Virtus AllianzGI Convertible & Income Fund II   265,220    1,434,840 
Voya Asia Pacific High Dividend Equity Income Fund   2,518    21,579 
Voya Emerging Markets High Income Dividend Equity Fund   97,803    708,094 
         26,916,510 
           
TOTAL CLOSED END FUNDS        26,916,510 
(Cost $25,991,874)          
           
PREFERRED STOCK-0.27%          
Entertainment Facilities-0.27%          
24 Hour Fitness Worldwide, Inc.(c)   407,959    1,121,887 
           
TOTAL PREFERRED STOCK        1,121,887 
(Cost $489,936)          
           
SPECIAL PURPOSE ACQUISITION COMPANIES-46.95%          
Investment Companies-46.95%          
26 Capital Acquisition Corp.(c)   69,009    681,119 
2MX Organic SA(c)   13,079    146,658 
5:01 Acquisition Corp.(c)   91,755    901,952 
890 5th Avenue Partners, Inc.(c)   400    3,988 
Abri SPAC I, Inc.(c)   47,784    469,239 
Accelerate Acquisition Corp.(c)   66,589    648,577 
Accretion Acquisition Corp.(c)   37,212    377,330 
ACE Convergence Acquisition Corp.(c)   1,282    12,756 
Achari Ventures Holdings Corp. I(c)   38,684    391,482 
Acropolis Infrastructure Acquisition Corp.(c)   76,319    740,294 
Adara Acquisition Corp.(c)   35,768    350,884 
Adit EdTech Acquisition Corp.(c)   70,801    689,602 
AEA-Bridges Impact Corp.(c)   148,430    1,456,098 
Aequi Acquisition Corp.(c)   76,958    753,419 
Aesther Healthcare Acquisition Corp.(c)   115,745    1,174,812 
AF Acquisition Corp.(c)   70,129    683,056 
African Gold Acquisition Corp.(c)   176,315    1,717,308 
Agile Growth Corp.(c)   59,098    575,615 
Agrico Acquisition Corp.(c)   126,009    1,262,610 
Alpha Healthcare Acquisition Corp. III(c)   22,899    222,120 
Alpha Partners Technology Merger Corp.(c)   19,691    190,412 
Alpine Acquisition Corp.(c)   119,504    1,193,845 
AltC Acquisition Corp.(c)   61,326    623,072 
AltEnergy Acquisition Corp.(c)   19,755    198,538 
Altitude Acquisition Corp.(c)   55,783    551,694 

 

 

16  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Angel Pond Holdings Corp.(c)   33,960   $329,412 
Anthemis Digital Acquisitions I Corp.(c)   26,136    262,667 
Anzu Special Acquisition Corp. I(c)   17,452    169,982 
Apollo Strategic Growth Capital II(c)   45,066    440,745 
Arbor Rapha Capital Bioholding(c)   71,555    721,274 
Archimedes Tech SPAC Partners Co.(c)   707    6,946 
ArcLight Clean Transition Corp. II(c)   66    644 
Argus Capital Corp.(c)   56,098    570,517 
Aries I Acquisition Corp.(c)   11,338    113,153 
Arrowroot Acquisition Corp.(c)   205,758    2,003,054 
Artemis Strategic Investment Corp., Class B(c)(d)   12,038    20,224 
Artemis Strategic Investment Corp.(c)   142,048    1,434,685 
ARYA Sciences Acquisition Corp. V(c)   12,591    124,651 
Astrea Acquisition Corp.(c)   1,854    18,355 
Athena Consumer Acquisition Corp.(c)   67,435    686,151 
Athlon Acquisition Corp.(c)   94,859    926,772 
Atlantic Avenue Acquisition Corp.(c)   143,984    1,413,923 
Atlantic Coastal Acquisition Corp.(c)   92,750    904,313 
Atlas Crest Investment Corp. II(c)   1,993    19,472 
Austerlitz Acquisition Corp. II(c)   27,662    270,811 
Authentic Equity Acquisition Corp.(c)   12,713    123,952 
Avalon Acquisition, Inc.(c)   64,673    653,197 
Avanti Acquisition Corp.(c)   66,245    651,188 
Avista Public Acquisition Corp. II(c)   2,914    29,111 
B Riley Principal 150 Merger Corp.(c)   20,367    216,094 
B Riley Principal 250 Merger Corp.(c)   52,757    514,908 
Banner Acquisition Corp.(c)   104,835    1,045,205 
Bannix Acquisition Corp.(c)   57,872    603,605 
Belong Acquisition Corp.(c)   46,905    455,917 
Berenson Acquisition Corp. I(c)   14,497    143,665 
Biotech Acquisition Co.(c)   109,702    1,072,886 
Bite Acquisition Corp.(c)   82,922    810,148 
Black Mountain Acquisition Corp.(c)   56,384    569,478 
Black Spade Acquisition Co.(c)   28,585    285,850 
Blockchain Moon Acquisition Corp.(c)   29,061    295,550 
Blue Safari Group Acquisition Corp.(c)   27,659    274,930 
Blue Whale Acquisition Corp. I(c)   16,386    159,272 
BlueRiver Acquisition Corp.(c)   3,329    32,524 
Bluescape Opportunities Acquisition Corp.(c)   125,455    1,231,968 
BOA Acquisition Corp.(c)   74,344    723,367 
Broadscale Acquisition Corp.(c)   10,459    101,975 
Brookline Capital Acquisition Corp.(c)   806    8,020 
Build Acquisition Corp.(c)   136    1,326 
Burgundy Technology Acquisition Corp.(c)   72,089    719,448 
BYTE Acquisition Corp.(c)   163,063    1,594,756 
Cactus Acquisition Corp. 1, Ltd.(c)   42,516    426,861 
Capstar Special Purpose Acquisition Corp.(c)   4,934    49,093 
Carney Technology Acquisition Corp. II(c)   81,138    793,530 

 

 

Annual Report | October 31, 2021 17

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Cascade Acquisition Corp.(c)   17,998   $179,440 
Catcha Investment Corp.(c)   120,767    1,179,894 
CC Neuberger Principal Holdings II(c)   75,415    744,346 
CC Neuberger Principal Holdings III(c)   3,264    32,052 
CENAQ Energy Corp.(c)   122,480    1,213,777 
CF Acquisition Corp. IV(c)   120,133    1,177,303 
CF Acquisition Corp. VI(c)   21,465    209,069 
CF Acquisition Corp. VIII(c)   46,997    467,150 
Chardan NexTech Acquisition 2 Corp.(c)   30,163    300,423 
Chavant Capital Acquisition Corp.(c)   2,703    26,584 
Churchill Capital Corp. VII(c)   94,864    933,462 
CHW Acquisition Corp.(c)   4,203    40,895 
CIIG Capital Partners II, Inc.(c)   38,582    391,221 
CITIC Capital Acquisition Corp.(c)   167,000    1,676,680 
Clarim Acquisition Corp.(c)   18,438    180,692 
Class Acceleration Corp.(c)   69,349    676,846 
CleanTech Acquisition Corp.(c)   32,844    326,798 
Clover Leaf Capital Corp.(c)   17,737    177,725 
Cohn Robbins Holdings Corp.(c)   17,985    177,872 
Colicity, Inc.(c)   5,465    53,448 
Constellation Acquisition Corp. I(c)   4,700    45,966 
Conx Corp.(c)   30,069    296,180 
Corner Growth Acquisition Corp.(c)   65,755    644,399 
Corner Growth Acquisition Corp. 2(c)   32,871    324,765 
COVA Acquisition Corp.(c)   105,029    1,022,982 
Crown PropTech Acquisitions(c)   65,036    632,800 
Crucible Acquisition Corp.(c)   125,933    1,231,625 
Crystal Peak Acquisition(c)   68,967    666,221 
Cushing NextGen Infrastructure(c)   23,702    1,151,206 
D & Z Media Acquisition Corp.(c)   5,370    52,358 
Data Knights Acquisition Corp.(c)   43,918    443,572 
Decarbonization Plus Acquisition Corp. IV(c)   44,370    439,263 
DEE Tech SA(c)   41,293    463,028 
Deep Lake Capital Acquisition Corp.(c)   300    2,934 
Deep Medicine Acquisition Corp.(c)   54,461    547,878 
Delwinds Insurance Acquisition Corp.(c)   56,351    556,184 
DHB Capital Corp.(c)   5,252    51,181 
DHC Acquisition Corp.(c)   200    1,954 
DiamondHead Holdings Corp.(c)   74,868    729,214 
Digital Transformation Opportunities Corp.(c)   141,108    1,372,981 
Digital World Acquisition Corp., Class B(c)(d)   25,893    947,166 
DILA Capital Acquisition Corp.(c)   20,741    202,432 
Direct Selling Acquisition Corp.(c)   79,664    804,606 
Disruptive Capital Acquisition Co., Ltd.(c)   4,747    64,348 
dMY Technology Group, Inc. VI(c)   18,037    183,977 
DPCM Capital, Inc.(c)   4,918    48,295 
Dragoneer Growth Opportunities Corp. II(c)   8,270    82,783 
DTRT Health Acquisition Corp.(c)   172,460    1,719,426 

 

 

18  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Duddell Street Acquisition Corp.(c)   97,559   $957,054 
Dune Acquisition Corp.(c)   63,725    631,515 
E.Merge Technology Acquisition Corp.(c)   188,453    1,856,262 
Edify Acquisition Corp.(c)   29,024    283,564 
EdtechX Holdings Acquisition Corp. II(c)   2,562    25,646 
EJF Acquisition Corp.(c)   47,658    476,103 
Elliott Opportunity II Corp.(c)   27,348    266,096 
Empowerment & Inclusion Capital I Corp.(c)   47,753    467,502 
Endurance Acquisition Corp.(c)   30,511    304,195 
Energy Transition Partners BV(c)   50,557    572,751 
Enterprise 4.0 Technology Acquisition Corp.(c)   44,710    451,571 
Epiphany Technology Acquisition Corp.(c)   140,733    1,376,369 
EQ Health Acquisition Corp.(c)   23,787    232,399 
ESGEN Acquisition Corp.(c)   58,882    594,708 
ESM Acquisition Corp.(c)   1,937    18,963 
Eucrates Biomedical Acquisition Corp.(c)   4,621    45,193 
European Sustainable Growth Acquisition Corp.(c)   6,732    67,320 
Evo Acquisition Corp.(c)   37,207    362,396 
ExcelFin Acquisition Corp.(c)   42,473    428,128 
Executive Network Partnering Corp.(c)   18,468    180,986 
Far Peak Acquisition Corp.(c)   21,527    235,936 
FAST Acquisition Corp. II(c)   124    1,214 
Fat Projects Acquisition Corp.(c)   61,845    620,305 
Fat Projects Acquisition Corp., Class B(c)(d)   4,886    11,238 
FinServ Acquisition Corp. II(c)   105    1,023 
FinTech Acquisition Corp. VI(c)   137,554    1,355,595 
Fintech Ecosystem Development Corp.(c)   42,096    431,063 
Fintech Evolution Acquisition Group(c)   35,678    346,077 
First Light Acquisition Group, Inc.(c)   20,605    207,698 
FirstMark Horizon Acquisition Corp.(c)   13,369    132,353 
Flame Acquisition Corp.(c)   177,120    1,730,462 
Focus Impact Acquisition Corp.(c)   45,779    460,537 
Forest Road Acquisition Corp. II(c)   9,944    97,053 
Fortistar Sustainable Solutions Corp.(c)   44,226    431,646 
Fortress Value Acquisition Corp. III(c)   34,526    337,146 
Fortress Value Acquisition Corp. IV(c)   27    264 
Founder SPAC(c)   113,245    1,138,112 
Freedom Acquisition I Corp.(c)   18,275    177,999 
FTAC Hera Acquisition Corp.(c)   64,701    633,423 
FTAC Parnassus Acquisition Corp.(c)   40,334    406,970 
Fusion Acquisition Corp. II(c)   126,201    1,232,984 
Future Health ESG Corp.(c)   77,163    770,858 
G Squared Ascend II, Inc.(c)   34,568    339,112 
G&P Acquisition Corp.(c)   43,330    427,234 
G3 VRM Acquisition Corp.(c)   103,276    1,033,276 
Galata Acquisition Corp.(c)   53,213    530,140 
GFJ Esg Acquisition I SE(c)   56,680    648,670 
GigCapital5, Inc.(c)   60,253    618,497 

 

 

Annual Report | October 31, 2021 19

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
GigInternational1, Inc.(c)   47,940   $475,570 
Gladstone Acquisition Corp.(c)   37,300    371,695 
Glass Houses Acquisition Corp.(c)   82,242    800,215 
Global Consumer Acquisition Corp.(c)   36,026    357,378 
Global SPAC Partners Co.(c)   55,273    551,901 
Global Synergy Acquisition Corp.(c)   109,666    1,080,210 
Global Technology Acquisition Corp. I(c)   66,709    672,427 
GO Acquisition Corp.(c)   133,924    1,320,491 
Goal Acquisitions Corp.(c)   88,824    866,034 
GoGreen Investments Corp.(c)   54,411    550,639 
Golden Arrow Merger Corp.(c)   92,834    903,739 
Golden Falcon Acquisition Corp.(c)   139,454    1,365,255 
Good Works II Acquisition Corp.(c)   61,516    605,933 
Gores Guggenheim, Inc.(c)   443    4,749 
Gores Holdings VII, Inc.(c)   297,586    2,940,149 
Gores Holdings VIII, Inc.(c)   24,463    241,694 
Gores Technology Partners II, Inc.(c)   5,877    58,065 
Gores Technology Partners, Inc.(c)   1,934    19,127 
Graf Acquisition Corp. IV(c)   55,750    543,563 
Haymaker Acquisition Corp. III, Class A(c)   22,980    223,825 
Health Assurance Acquisition Corp.(c)   359    3,529 
Healthcare Capital Corp.(c)   55,144    547,580 
Healthcare Services Acquisition Corp.(c)   9,858    96,214 
HH&L Acquisition Co.(c)   30,622    298,565 
HHG Capital Corp.(c)   17,425    180,087 
HIG Acquisition Corp.(c)   103,397    1,016,393 
Highland Transcend Partners I Corp.(c)   31,494    312,735 
Home Plate Acquisition Corp.(c)   8,876    88,094 
HPX Corp.(c)   25,649    253,412 
Hudson Executive Investment Corp. III(c)   46,535    453,716 
HumanCo Acquisition Corp.(c)   14,319    141,901 
I2PO SA(c)   95,238    1,084,439 
Ibere Pharmaceuticals(c)   576    5,604 
Iconic Sports Acquisition Corp.(c)   37,262    377,091 
IG Acquisition Corp.(c)   13,337    131,636 
Ignyte Acquisition Corp.(c)   3,268    32,059 
Industrial Human Capital, Inc.(c)   14,916    151,547 
Innovative International Acquisition Corp.(c)   102,566    1,032,840 
Insight Acquisition Corp.(c)   33,637    327,961 
International Media Acquisition Corp.(c)   72,534    715,185 
InterPrivate IV InfraTech Partners, Inc.(c)   27,199    266,006 
ION Acquisition Corp. 3, Ltd.(c)   1,887    18,436 
Iron Spark I, Inc.   38,366    385,195 
Isleworth Healthcare Acquisition Corp.(c)   33,822    332,470 
ITHAX Acquisition Corp.(c)   107,529    1,048,408 
Itiquira Acquisition Corp.(c)   119,763    1,167,689 
Jaws Juggernaut Acquisition Corp.(c)   14,501    140,950 
JOFF Fintech Acquisition Corp.(c)   38,548    375,843 

 

 

20  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Jupiter Acquisition Corp.(c)   3,063   $30,354 
Kadem Sustainable Impact Corp.(c)   75,482    733,685 
Kairos Acquisition Corp.(c)   11,102    108,467 
Kensington Capital Acquisition Corp. V(c)   58,918    580,931 
Kernel Group Holdings, Inc.(c)   59,893    583,957 
Khosla Ventures Acquisition Co.(c)   18,131    181,129 
Kingswood Acquisition Corp.(c)   43,907    444,339 
KINS Technology Group, Inc.(c)   128,748    1,284,261 
KKR Acquisition Holdings I Corp.(c)   11,582    113,388 
KL Acquisition Corp.(c)   63    615 
KludeIn I Acquisition Corp.(c)   30,562    301,341 
L Catterton Asia Acquisition Corp.(c)   5,761    56,285 
Lakeshore Acquisition I Corp.(c)   12,332    121,100 
LAVA Medtech Acquisition Corp.(c)   31,078    314,199 
Lazard Growth Acquisition Corp. I(c)   64,054    625,808 
Lefteris Acquisition Corp.(c)   43,328    425,481 
Leo Holdings Corp. II(c)   50,399    491,894 
Levere Holdings Corp.(c)   54,573    531,541 
LightJump Acquisition Corp.(c)   59,263    584,926 
Lionheart Acquisition Corp. II(c)   700    6,972 
LMF Acquisition Opportunities, Inc.(c)   59,099    590,104 
M3-Brigade Acquisition III Corp.(c)   14,905    149,050 
Macondray Capital Acquisition Corp. I(c)   84,283    825,973 
Magnum Opus Acquisition, Ltd.(c)   36,420    362,379 
Malacca Straits Acquisition Co., Ltd.(c)   29,663    295,443 
Marblegate Acquisition Corp.(c)   14,380    143,369 
Marlin Technology Corp.(c)   273,988    2,685,082 
Mason Industrial Technology, Inc.(c)   4,963    48,489 
Maxpro Capital Acquisition Corp.(c)   37,123    377,912 
MCAP Acquisition Corp.(c)   72,340    718,336 
MDH Acquisition Corp.(c)   54,356    537,037 
Medicus Sciences Acquisition Corp.(c)   80,321    781,523 
Metals Acquisition Corp.(c)   40,716    424,668 
Minority Equality Opportunities Acquisition, Inc.(c)   140,593    1,398,900 
Mission Advancement Corp.(c)   89,303    870,704 
Monterey Bio Acquisition Corp.(c)   24,230    247,146 
Monument Circle Acquisition Corp.(c)   189    1,845 
Moringa Acquisition Corp.(c)   33,160    321,984 
Mount Rainier Acquisition Corp.(c)   12,935    130,902 
Mountain Crest Acquisition Corp. IV(c)   34,801    342,268 
Mudrick Capital Acquisition Corp. II(c)   413,808    4,125,665 
Music Acquisition Corp.(c)   873    8,512 
New Vista Acquisition Corp.(c)   22,212    216,789 
Newbury Street Acquisition Corp.(c)   20,019    195,185 
Newcourt Acquisition Corp.(c)   70,797    714,342 
Noble Rock Acquisition Corp.(c)   56,711    554,066 
North Atlantic Acquisition Corp.(c)   57,083    557,701 
North Mountain Merger Corp.(c)   1,650    16,203 

 

 

Annual Report | October 31, 2021 21

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Northern Lights Acquisition Corp.(c)   134,409   $1,345,434 
Northern Star Investment Corp. III(c)   9,349    91,340 
Nova Vision Acquisition Corp.(c)   32,258    319,986 
Novus Capital Corp. II(c)   4,792    47,872 
OCA Acquisition Corp.(c)   9,841    97,820 
OceanTech Acquisitions I Corp.(c)   55,467    554,115 
Odyssey Acquisition SA(c)   21,042    238,381 
Omega Alpha SPAC(c)   1,564    15,280 
Omnichannel Acquisition Corp.(c)   11,211    111,548 
One Equity Partners Open Water I Corp.(c)   72,832    712,297 
Osiris Acquisition Corp.(c)   23,175    226,072 
Oxbridge Acquisition Corp.(c)   17,547    174,417 
Oxus Acquisition Corp.(c)   52,867    523,383 
Oyster Enterprises Acquisition Corp.(c)   114,212    1,115,851 
Pacifico Acquisition Corp.(c)   7,239    71,377 
Parabellum Acquisition Corp.(c)   66,764    654,928 
Parsec Capital Acquisitions Corp.(c)   24,451    248,667 
Pegasus Digital Mobility Acquisition Corp.(c)   65,953    662,828 
Pegasus Digital Mobility Acquisition Corp., Class B(c)(d)   4,456    7,531 
PepperLime Health Acquisition Corp.(c)   23,753    236,342 
Perception Capital Corp. II(c)   90,260    908,918 
Peridot Acquisition Corp. II(c)   23,897    233,713 
Phoenix Biotech Acquisition Corp.(c)   17,679    178,735 
PHP Ventures Acquisition Corp.(c)   32,042    318,177 
Pine Island Acquisition Corp.(c)   33,933    332,883 
Pine Technology Acquisition Corp.(c)   162,272    1,577,284 
Pioneer Merger Corp(c)   17,566    175,309 
Pivotal Investment Corp. III(c)   14,002    137,220 
Plum Acquisition Corp. I(c)   3,600    35,064 
PMV Consumer Acquisition Corp.(c)   35,259    345,891 
Poema Global Holdings Corp.(c)   146,749    1,455,750 
Pono Capital Corp.(c)   35,866    356,508 
Pontem Corp.(c)   20,173    197,090 
Population Health Investment Co., Inc.(c)   487    4,773 
Powered Brands(c)   32,988    321,303 
Primavera Capital Acquisition Corp.(c)   176,947    1,728,772 
Priveterra Acquisition Corp.(c)   15,635    152,910 
Progress Acquisition Corp.(c)   8,014    78,537 
Property Solutions Acquisition Corp. II(c)   1,581    15,399 
PropTech Investment Corp. II(c)   41,944    409,793 
Prospector Capital Corp.(c)   16,976    165,686 
Provident Acquisition Corp.(c)   46,397    453,299 
Pyrophyte Acquisition Corp.(c)   59,361    600,140 
Queen's Gambit Growth Capital(c)   2,450    24,378 
Recharge Acquisition Corp.(c)   126,426    1,249,089 
RedBall Acquisition Corp.(c)   44,601    450,470 
Revolution Healthcare Acquisition Corp.(c)   9,057    88,759 
Riverview Acquisition Corp.(c)   347    3,456 

 

 

22  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Rocket Internet Growth Opportunities Corp.(c)   875   $8,549 
Rose Hill Acquisition Corp.(c)   59,597    600,142 
Rosecliff Acquisition Corp. I(c)   77,689    755,137 
Sanaby Health Acquisition Corp. I(c)   47,612    480,405 
Science Strategic Acquisition Corp. Alpha(c)   77,759    761,261 
ScION Tech Growth I(c)   120,004    1,177,239 
ScION Tech Growth II(c)   3,839    37,430 
SCP & Co. Healthcare Acquisition Co(c)   400    3,900 
Seaport Calibre Materials Acquisition Corp.(c)   28,675    287,037 
Senior Connect Acquisition Corp. I(c)   185,610    1,817,122 
Shelter Acquisition Corp. I(c)   36,525    356,849 
Sierra Lake Acquisition Corp.(c)   66,804    667,372 
Silver Crest Acquisition Corp.(c)   154,643    1,535,605 
Silver Spike III Acquisition Corp.(c)   32,200    317,170 
Skydeck Acquisition Corp.(c)   13,316    129,432 
Slam Corp.(c)   33,858    331,131 
Soar Technology Acquisition Corp.(c)   57,784    587,663 
Social Capital Suvretta Holdings Corp. I(c)   67,658    671,167 
Social Capital Suvretta Holdings Corp. II(c)   58,318    578,515 
Social Capital Suvretta Holdings Corp. III(c)   41,385    409,712 
Social Capital Suvretta Holdings Corp. IV(c)   67,409    666,001 
Social Leverage Acquisition Corp. I(c)   4,685    45,819 
Software Acquisition Group, Inc. III(c)   45,702    451,079 
Spartan Acquisition Corp. III(c)   49,945    498,451 
SportsMap Tech Acquisition Corp.(c)   18,629    188,153 
SportsTek Acquisition Corp.(c)   34,022    330,694 
Spring Valley Acquisition Corp.(c)   2,339    23,296 
Springwater Special Situations Corp.(c)   58,969    578,486 
StoneBridge Acquisition Corp.(c)   109,133    1,080,417 
Stratim Cloud Acquisition Corp.(c)   3,298    32,123 
Summit Healthcare Acquisition Corp.(c)   42,915    416,061 
Sustainable Development Acquisition I Corp.(c)   34,708    340,138 
SVF Investment Corp.(c)   203,250    2,022,338 
SVF Investment Corp. 2(c)   221,778    2,213,344 
SVF Investment Corp. 3(c)   69,708    696,383 
Tailwind International Acquisition Corp.(c)   234,566    2,287,019 
Tailwind Two Acquisition Corp.(c)   13,721    135,701 
Tastemaker Acquisition Corp.(c)   74,624    734,300 
TB SA Acquisition Corp.(c)   81,664    795,407 
Tech and Energy Transition Corp.(c)   19,330    188,468 
Tekkorp Digital Acquisition Corp.(c)   1,256    12,321 
Thrive Acquisition Corp.(c)   66,291    669,539 
Tiga Acquisition Corp.(c)   126    1,278 
Tio Tech A(c)   22,150    215,741 
TKB Critical Technologies 1(c)   95,424    960,920 
TLG Acquisition One Corp.(c)   96,180    936,793 
TPG Pace Beneficial II Corp.(c)   150,036    1,476,354 
TPG Pace Solutions Corp.(c)   491    4,993 

 

 

Annual Report | October 31, 2021 23

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
Transition SA(c)   33,822   $382,968 
Trepont Acquisition Corp. I(c)   90,763    904,453 
Tribe Capital Growth Corp. I(c)   72,859    714,018 
Tuatara Capital Acquisition Corp.(c)   15,548    151,438 
Turmeric Acquisition Corp.(c)   262    2,564 
Twelve Seas Investment Co. II(c)   652    6,344 
TZP Strategies Acquisition Corp.(c)   138,058    1,347,446 
Valor Latitude Acquisition Corp.(c)   9,401    92,506 
VAM Investments Spac BV(c)   25,279    280,537 
Vector Acquisition Corp. II(c)   658    6,409 
Velocity Acquisition Corp.(c)   18,000    178,560 
Vy Global Growth(c)   31,512    312,284 
Warburg Pincus Capital Corp. I-A(c)   451    4,446 
Warrior Technologies Acquisition Co.(c)   125,462    1,232,037 
Williams Rowland Acquisition Corp.(c)   93,179    925,267 
WinVest Acquisition Corp.(c)   115,745    1,140,088 
World Quantum Growth Acquisition Corp.(c)   84,860    832,477 
Yunhong International(c)   91    936 
Zanite Acquisition Corp.(c)   54,806    557,925 
Z-Work Acquisition Corp.(c)   1,024    9,994 
         197,045,483 
           
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES        197,045,483 
(Cost $193,803,493)          
           
WARRANTS-0.09%(c)          
Alpha Healthcare Acquisition Corp. III, Expires 04/12/2027, Strike Price $11.50   3,816    3,511 
Alpine Acquisition Corp., Expires 01/21/2023, Strike Price $11.50   59,752    27,378 
Blue Whale Acquisition Corp. I, Expires 07/09/2023, Strike Price $11.50   102    143 
Cineworld, Expires 11/23/2025, Strike Price $0.01   88,914    47,213 
Crystal Peak Acquisition, Expires 06/22/2026, Strike Price $11.50   34,484    15,863 
DEE Tech SA, Expires 06/23/2023, Strike Price $11.50   35,099    10,144 
DTRT Health Acquisition Corp., Expires 11/12/2022, Strike Price $11.50   86,230    43,977 
Energy Transition Partners BV, Expires 07/16/2026, Strike Price $11.50   16,852    6,020 
Harvey Gulf, Expires 12/31/2049, Strike Price $0.01   16,636    58,226 
I2PO SA, Expires 07/20/2023, Strike Price $11.50   95,238    24,771 
Insight Acquisition Corp., Expires 02/11/2023, Strike Price $11.50   16,818    9,586 
Minority Equality Opportunities Acquisition, Inc., Expires 04/29/2023, Strike Price $11.50   140,593    59,050 
Nova Vision Acquisition Corp., Expires 12/31/2028, Strike Price $11.50   31,088    9,326 
Odyssey Acquisition SA, Expires 06/30/2026, Strike Price $11.50   7,014    6,689 
Parabellum Acquisition Corp., Expires 03/26/2023, Strike Price $11.50   50,073    23,534 
Transition SA, Expires 06/16/2026, Strike Price $11.50   33,822    6,856 
VAM Investments Spac BV, Expires 07/27/2026, Strike Price $11.50   12,639    7,305 
           
TOTAL WARRANTS        359,592 
(Cost $919,236)          

 

 

24  

 
 

Saba Capital Income & Opportunities Fund Schedule of Investments
  October 31, 2021

 

   Shares   Fair Value 
RIGHTS-0.01%(c)          
Nova Vision Acquisition Corp., Expires 08/10/2022   31,088   $10,570 
WinVest Acquisition Corp., Expires 12/17/2022   114,745    28,686 
           
TOTAL RIGHTS        39,256 
(Cost $36,320)          
           
SHORT TERM INVESTMENTS-1.40%          
JPMorgan US Treasury Plus Money Market Fund, 7 Day yield 0.01%   5,883,093    5,883,093 
           
TOTAL SHORT TERM INVESTMENTS        5,883,093 
(Cost $5,883,093)          
           
Total Investments - 97.82%       $410,571,128 
(Cost $407,263,600)          
           
Other Assets in Excess of Liabilities - 2.18%       $9,138,762 
           
Net Assets - 100.00%       $419,709,890 

 

Amounts above are shown as a percentage of net assets as of October 31, 2021.

 

(a)Security exempt from registration under Rule 144A of the Securities Act of 1933 (the "Securities Act"). Total market value of Rule 144A securities amounts to $13,662,501, which represented approximately 3.26% of net assets as of October 31, 2021. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(b)Represents a payment-in-kind (“PIK”) security which may pay interest/dividend in additional par/shares.
(c)Non-income producing security.
(d)Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.

 

Investment Abbreviations:

LIBOR - London Interbank Offered Rate PIK - Payment in-kind

 

Reference Rates:

1M US L - 1 Month LIBOR as of October 31, 2021 was 0.09%

3M US L - 3 Month LIBOR as of October 31, 2021 was 0.13%

6M US L - 6 Month LIBOR as of October 31, 2021 was 0.20%

1M EUR L - 1 Month EURIBOR as of October 31, 2021 was (0.56)%

3M EUR L - 3 Month EURIBOR as of October 31, 2021 was (0.55)%

 

 

Annual Report | October 31, 2021 25

 
 

Saba Capital Income & Opportunities Fund Statement of Assets and Liabilities
  October 31, 2021

 

ASSETS:    
Investments, at fair value (Cost $407,263,600, respectively)  $410,571,128 
Receivables:     
Investment securities sold   72,559,233 
Interest   653,451 
Prepaid expenses   249,036 
Other assets   1,657 
Total Assets   484,034,505 
      
LIABILITIES:     
Notes payable   50,000,000 
Cash overdraft   2,335,961 
Payable for investment securities purchased   10,860,015 
Accrued interest payable   61,070 
Payable for investment management fees   388,370 
Payable for trustees fees   64,168 
Other accrued expenses   615,031 
Total Liabilities   64,324,615 
Net Assets  $419,709,890 
      
COMPOSITION OF NET ASSETS ATTRIBUTABLE TO COMMON SHARES:     
NET ASSETS WERE COMPRISED OF:     
Paid-in capital  $584,955,180 
Total distributable loss  $(165,245,290)
NET ASSETS  $419,709,890 
Net assets value per common share outstanding (net assets divided by 85,058,986 shares of beneficial interest authorized and outstanding, no par value)  $4.93 

 

 

26  

 
 

Saba Capital Income & Opportunities Fund Statement of Operations
  For the Period Ended October 31, 2021(a)

 

INVESTMENT INCOME:    
Investment Income  $10,727,542 
Total Investment Income   10,727,542 
      
EXPENSES:     
Investment management fees (Note 4)   3,834,370 
Interest expense   172,028 
Transfer agent fees   56,271 
Custody and accounting expense   234,038 
Professional fees   487,195 
Shareholder reporting expense   133,649 
Trustees fees   92,545 
Miscellaneous expenses   489,034 
Other expenses   130,533 
Total Expenses   5,629,663 
Waived and reimbursed fees   (602,455)
Net expenses   5,027,208 
Net Investment Income   5,700,334 
      
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:     
Net realized gain/(loss) on:     
Investments   3,623,485 
Forward foreign currency contracts   40,129 
Foreign currency transactions   (83,818)
Net realized gain:   3,579,796 
Net change in unrealized appreciation/(depreciation) on:     
Investments   (166,353)
Forward foreign currency contracts   91,000 
Foreign currency related transactions   88,257 
Net change in unrealized appreciation (depreciation):   12,904 
Net realized and unrealized loss   3,592,700 
Net Increase in net assets resulting from operations  $9,293,034 

 

(a)With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31.

 

 

Annual Report | October 31, 2021 27

 
 

Saba Capital Income & Opportunities Fund Statements of Changes in Net Assets

 

   For the Period Ended October 31, 2021(a)   For the Year Ended February 28, 2021 
FROM OPERATIONS:        
Net investment income  $5,700,334   $22,651,755 
Net realized gain/(loss)   3,579,796    (98,682,859)
Net change in unrealized appreciation on Investment securities and unfunded commitments   12,904    48,601,471 
Net Increase/(Decrease) in net assets resulting from Operations   9,293,034    (27,429,633)
           
FROM DISTRIBUTIONS TO COMMON SHAREHOLDERS:          
Total distributions (excluding return of capital)   (6,017,351)   (25,024,961)
Return of Capital   (10,729,227)   (1,234,296)
Decrease in net assets from distributions to common shareholders   (16,746,578)   (26,259,257)
CAPITAL SHARE TRANSACTIONS:          
Cost of shares repurchased (Note 9)   (1,536,542)   (18,727,020)
Cost of shares repurchased in tender offer (Note 9)   (176,835,308)   (104,862,043)
Net decrease in net assets resulting from capital share transactions   (178,371,850)   (123,589,063)
Net Decrease in net assets   (185,825,394)   (177,277,953)
NET ASSETS:          
Beginning of period   605,535,284    782,813,237 
End of period  $419,709,890   $605,535,284 

 

(a)With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31.

 

 

28  

 
 

Saba Capital Income & Opportunities Fund Statements of Cash Flows
  For the Period Ended October 31, 2021(a)

 

INCREASE (DECREASE) IN CASH    
CASH FLOWS FROM OPERATING ACTIVITIES:    
Net increase in net assets from operations:  $9,293,034 
Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities:     
Purchases of securities   (400,422,187)
Proceeds from disposition of investment securities   553,075,103 
Purchases to cover securities sold short transactions   (6,568)
Amortization of premium and accretion of discount on investments   (1,238,429)
Net realized (gain)/loss on:     
Investment securities   (3,623,485)
Forward foreign currency contracts   (40,129)
Net change in unrealized (appreciation)/depreciation on:     
Investment securities   166,353 
Forward foreign currency contracts   (91,000)
(Increase)/Decrease in assets:     
Interest receivable   1,013,189 
Reimbursement due from manager   336,208 
Prepaid expenses   (78,257)
Other assets   12,886 
Increase/(Decrease) in liabilities:     
Accrued interest payable   (316,176)
Unrealized depreciation on forward foreign currency contracts   (91,000)
Bank overdraft   2,335,961 
Accrued investment advisory fees payable   (155,183)
Unfunded loan commitments   (433,490)
Accrued trustees' fees and deferred compensation payable   (214)
Other payables and accrued expense   (77,375)
Net cash provided by operating activities:   159,659,241 
      
CASH FLOWS FROM FINANCING ACTIVITIES:     
Cash provided by loan:   27,400,000 
Cost of shares redeemed:   (178,371,850)
Cash distributions paid:   (16,746,578)
Net cash flows used in financing activities:   (167,718,428)
      
Effects of Exchange Rates on Cash:   6,885 
      
Net Change in Cash & Foreign Rates On Cash & Foreign Currency:   (8,052,302)
Cash & foreign currency, beginning of period:   8,052,302 
Cash & foreign currency, end of period:    
      
Cash paid for interest on loan during the period was:   172,028 

 

(a)With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31.

 

 

Annual Report | October 31, 2021 29

 
 

Saba Capital Income & Opportunities Fund Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   For the Period Ended October 31, 2021(a)   For the Year Ended February 28, 2021   For the Year Ended February 29, 2020   For the Year Ended February 28, 2019   For the Year Ended February 28, 2018   For the Year Ended February 28, 2017 
PER COMMON SHARE OPERATING PERFORMANCE:                    
Net asset value - beginning of period  $4.97   $5.30   $5.54   $5.69   $5.80   $5.36 
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:                          
Net investment income(b)   0.05   0.16    0.30    0.29    0.30    0.31 
Net realized and unrealized gain/(loss) on investments and unfunded loan commitments(b)  
 
 
 

0.08
 
 
 
 
 
 
 
(0.32
 
)
 
 
 
 
 
(0.23
 
)
 
 
 
 
 
(0.14
 
)
 
 
 
 
 
(0.12
 
)
 
 
 
 
 
0.45
 
 
Total Income/(Loss) from Investment Operations   0.13    (0.16)   0.07    0.15    0.18    0.76 
                               
DISTRIBUTIONS TO COMMON SHAREHOLDERS:                          
From net investment income(b)   (0.06)   (0.17)   (0.31)   (0.30)   (0.25)   (0.32)
From tax return of capital(b)   (0.11)   (0.01)           (0.04)    
Total Distributions to Common Shareholders   (0.17)   (0.18)   (0.31)   (0.30)   (0.29)   (0.32)
                               
Accretion to net asset value resulting from share repurchases and tender offer(b)(c)       0.01                 
Total Capital Share Transactions       0.01                 
Net asset value per common share - end of period  $4.93   $4.97   $5.30   $5.54   $5.69   $5.80 
Market price per common share - end of period  $4.67   $4.63   $4.91   $4.82   $5.17   $5.59 
                               
Total Investment Return - Net Asset Value(d)   2.84%   (2.14%)   1.88%   3.37%   3.62%   14.93%
Total Investment Return - Market Price(d)   4.57%   (1.59%)   8.48%   (1.02%)   (2.31%)   28.24%
                               
RATIOS AND SUPPLEMENTAL DATA:                              
Net assets attributable to common shares, end of period (000s)  $419,710   $605,535   $782,813   $818,100   $840,774   $857,138 
Ratio of expenses including waivers to average net assets   1.43%(e)   2.26%   2.85%   2.90%   2.54%   2.24%
Ratio of expenses excluding waivers to average net assets(f)   1.60%(e)   2.68%   2.86%   2.92%   2.55%   2.24%
Ratio of expenses excluding interest expense and other fees related to revolving credit facility to average net assets   1.38%(e)   2.13%   1.62%   1.64%   1.64%   1.62%
Ratio of net investment income including waivers to average net assets   1.62%(e)   3.37%   5.29%   5.16%   4.58%   5.44%
Ratios to average net assets plus borrowings                              
Ratio of expenses excluding waivers to average net assets   1.54%(e)   2.04%   2.06%   2.08%   1.81%   1.60%
Ratio of expenses including waivers to average net assets   1.37%(e)   1.72%   2.05%   2.07%   1.80%   1.60%
Ratio of expenses excluding interest expense and other fees related to revolving credit facility to average net assets   1.32%(e)   1.30%   1.16%   1.16%   1.16%   1.16%

 

 

30  

 
 

Saba Capital Income & Opportunities Fund Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   For the Period Ended October 31, 2021(a)   For the Year Ended February 28, 2021   For the Year Ended February 29, 2020   For the Year Ended February 28, 2019   For the Year Ended February 28, 2018   For the Year Ended February 28, 2017 
Ratio of net investment income  including waivers to average net assets   1.56%(e)   2.56%   3.81%   3.68%   3.25%   3.88%
Portfolio turnover rate   94%   56%   53%   60%   89%   67%
                               
SUPPLEMENTAL DATA                              
Total shares outstanding (000s)   85,059    121,841    147,788    147,788    147,788    147,788 
Asset coverage, end of period per $1,000(g)  $9,394   $27,794   $3,478   $3,534   $3,610   $3,589 
                               
Aggregate principal amount, end of period (000s)  $50,000   $22,600   $315,900   $322,800   $322,100   $331,100 
Average borrowings outstanding during the period (000s)  $20,559   $211,066   $312,939   $332,698   $343,074   $337,209 

 

(a)With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31.
(b)Calculated using average common shares outstanding.
(c)Please see Note 9 in the accompanying Notes to Financial Statements for additional information.
(d)Total investment return is calculated assuming a purchase of common share at the opening on the first day and a sale at closing on the last day of each period reported. Dividends and distributions are assumed for purposes of this calculation to be reinvested at prices obtained under the Fund's dividend reinvestment plan. Total investment returns does not reflect sales load or brokerage commissions, if any, and are not annualized.
(e)Annualized.
(f)The Investment Adviser (See Note 1 and Note 5) has entered into a written expense limitation agreement with the Fund under which it will limit the expenses of the Fund (excluding interest, taxes, investor relations services, other investment-related costs, leverage expenses, extraordinary expenses, other expenses not incurred in the ordinary course of such Fund’s business, and expenses of any counsel or other persons or services retained by such Fund’s trustees who are not interested persons) subject to possible recoupment by the Investment Adviser within three years of being incurred.
(g)Asset coverage ratios, is presented to represent the coverage available to each $1,000 of borrowings. The Asset coverage ratio per $1,000 of debt is presented to represent the coverage available to each $1,000 of borrowings. Calculated by subtracting the Fund's total liabilities from the Fund's total assets and dividing by the principal amount of the Leverage Facility and then multiplying by $1,000.

 

 

Annual Report | October 31, 2021 31

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

NOTE 1 — ORGANIZATION

 

 

Saba Capital Income & Opportunities Fund (the “Fund”), a Massachusetts business trust, is registered under the 1940 Act, as a closed-end, management investment company. The Fund seeks to provide investors with a high level of current income, with a secondary goal of capital appreciation. The Fund’s investment objective is to invest in High Yield credit on a non-diversified basis. The Fund will also opportunistically invest in other products, such as, closed-end funds and special purpose acquisition companies. The Fund may also use derivatives where it believes it can achieve attractive risk-adjusted returns seeking to reduce portfolio risk.

 

Saba Capital Management, L.P. (the “Investment Adviser”), a Delaware limited partnership, serves as the investment adviser to the Fund.

 

A Special Meeting of Shareholders was held on May 24, 2021. The results, which have been certified by the independent Inspector of Election, show that all proposals presented at the Special Meeting passed. The following changes were effective as of close of business on June 4, 2021.

 

The approval of a new investment management agreement between the Fund and Saba Capital Management, which received support from approximately 95% of all votes cast.

 

The removal of the Fund’s fundamental investment restriction relating to investing in warrants.

 

The removal of the Fund’s fundamental investment restriction relating to purchasing or selling equity securities, engaging in short-selling and the use of certain option arrangements.

 

The removal of the Fund’s fundamental investment restriction relating to investing in other investment companies.

 

Changing the Fund’s sub-classification under the Investment Company Act of 1940 from “diversified” to “non-diversified”; and

 

A change of the Fund’s investment objective and to make the investment objective non-fundamental.

 

The approval of the new management agreement was preceded by the selection of Saba Capital Management by the Fund’s Board of Trustees to serve as the new investment manager to the Fund. Saba Capital Management has assumed responsibility for providing investment management services to the Fund effective as of close of business on June 4, 2021.

 

With the approval of the Board effective October 31, 2021, the Fund's fiscal year end was changed from February 28 to October 31. Therefore, the Statement of Operations and Financial Highlights do not represent a full year of activity.

 

In connection with the transition to Saba Capital Management, the Fund’s name was changed from Voya Prime Rate Trust (New York Stock Exchange (the “NYSE”) ticker symbol PPR) to Saba Capital Income & Opportunities Fund. The common shares of the Fund continue to be listed on the NYSE under the new ticker symbol “BRW”.

 

Shareholder Meeting

 

On September 24, 2021, the Funds held their annual meeting of Shareholders for the purpose of voting on a proposal to elect Trustees of the Funds. 93,269,842 of the 121,512,358 shares outstanding voted (76.76%).

 

The results of the proposal for each were as follows:

 

Trustees/Directors Vote Shares Voted % Voted % of Total Outstanding
Aditya Bindal For 74,623,231 80% 61%
Withheld 18,646,611 20% 15%
Karen Caldwell For 88,574,651 95% 73%
Withheld 4,695,191 5% 4%
Ketu Desai For 88,808,460 95% 73%
Withheld 4,461,382 5% 4%
Kieran Goodwin For 87,098,602 93% 72%
Withheld 6,171,240 7% 5%
Thomas Bumbolow For 88,798,144 95% 73%
Withheld 4,471,698 5% 4%
Andrew Kellerman For 74,676,754 80% 61%
Withheld 18,593,088 20% 15%

 

 

32  

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES

 

 

These financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) and are stated in U.S. dollars. The Fund is considered an investment company under Accounting Standard Codification (“ASC”) 946, “Financial Services – Investment Companies”, and follows the accounting and reporting guidance therein. The preparation of financial statements requires management to make estimates and assumptions that affect the amounts in the financial statements and accompanying notes. Actual results could differ from these estimates and the differences may be material.

 

The Fund is open for business every day the NYSE opens for regular trading (each such day, a “Business Day”). The net asset value (“NAV”) per Common Share of the Fund is determined each Business Day as of the close of the regular trading session (“Market Close”), as determined by the Consolidated Tape Association (“CTA”), the central distributor of transaction prices for exchange-traded securities (normally 4:00 p.m. Eastern time unless otherwise designated by the CTA). The data reflected on the consolidated tape provided by the CTA is generated by various market centers, including all securities exchanges, electronic communications networks, and third-market broker-dealers. The NAV per Common Share of the Fund is calculated by dividing the value of the Fund's assets plus all cash and other assets (including accrued expenses but excluding capital and surplus) attributable to the Common Shares by the number of Common Shares outstanding. The NAV per Common Share is made available for publication. On days when the Fund is closed for business, Fund shares will not be priced and the Fund does not transact purchase and redemption orders. To the extent the Fund’s assets are traded in other markets on days when the Fund does not price its shares, the value of the Fund’s assets will likely change and you will not be able to purchase or redeem shares of the Fund.

 

A. Senior Loan and Other Security Valuation. Assets for which market quotations are readily available are valued at market value. A security listed or traded on an exchange is valued at its last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded or, if such price is not available, at the last sale price as of the Market Close for such security provided by the CTA. Bank loans are valued at the average of the averages of the bid and ask prices provided to an independent loan pricing service by brokers. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.

 

B. Fair Value Measurement. Investments held by the Fund are recorded at fair value in accordance with ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Investment Adviser has established and documented procedures (the “Valuation Policy”) that provide for fair value measurements that are fair, consistent, and verifiable. The Investment Adviser has designated a Valuation Committee (the “Committee”) to oversee the valuation of the Fund’s investment portfolio. The Committee is led by the Chief Financial Officer and is comprised of the Chief Operating Officer/ Chief Compliance Officer, the Fund Accounting team, the Chief Risk Officer (Fund Trustee), the President (Fund Trustee) and the Director of Operations, all of whom are independent of the Fund’s portfolio investment decisions. Additionally, Portfolio Managers, whose roles are limited to providing insight into recent trade activity and overall market performance, are also members of the Committee. The majority of Committee members are independent of the Fund’s portfolio investment decisions. The Committee meets on a monthly basis and is responsible for compliance and consistent application of the Valuation Policy.

 

ASC 820 establishes a hierarchical disclosure framework which prioritizes and ranks the level of market price observability of inputs used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and disclosed in one of the following categories:

 

Level 1 – Quoted prices available in active markets for identical financial instruments as of the reporting date. An active market for the financial instrument is a market in which transactions for the financial instrument occur with sufficient frequency and volume to provide pricing information on an ongoing basis, as well as at the reporting date. Investments classified within Level 1 primarily include money market funds, common stocks, closed end funds, and special purpose acquisition companies. The Investment Adviser does not adjust the quoted price for such instruments, even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

 

 

Annual Report | October 31, 2021 33

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

Level 2 – Consists of financial instruments fair valued using inputs other than quoted prices included within Level 1 that are observable for the financial instrument, either directly or indirectly. This category includes pricing inputs that are quoted prices for similar financial instruments in active markets or quoted prices for similar or identical financial instruments in markets that at times may not meet the definition of active. Derivatives are valued using observable inputs, such as quotations received from third party service providers, counterparties, dealers or brokers, whenever available and considered reliable. In instances where models are used, the value of a derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. If inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.

 

Level 3 – Pricing inputs that are unobservable for the financial instrument and includes situations where there may be little, if any, market activity for the financial instrument. The inputs into the determination of fair value could require significant management judgment or estimation. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires significant judgment by the Investment Adviser. The Investment Adviser considers observable data to be market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Investment Adviser’s perceived risk of that instrument.

 

The following table summarizes the valuation of the Fund’s financial instruments in accordance with the above fair value hierarchy levels as of October 31, 2021. Refer to the portfolio of investments for additional details.

 

Saba Capital Income & Opportunities Fund

 

Investments in Securities at Value*  Level 1 - Quoted Prices   Level 2 - Significant Observable Inputs   Level 3 - Significant Unobservable Inputs(a)   Total 
Corporate Bonds  $   $24,903,544   $   $24,903,544 
Senior Loans       150,981,755        150,981,755 
Common Stock   421,150    2,898,858        3,320,008 
Closed End Funds   26,916,510            26,916,510 
Special Purpose Acquisition Companies   196,059,324        986,159    197,045,483 
Preferred Stock       1,121,887        1,121,887 
Warrants   240,608    118,984        359,592 
Rights   39,256            39,256 
Short Term Investments   5,883,093            5,883,093 
Total  $229,559,941   $180,025,028   $986,159   $410,571,128 

 

*For detailed sector descriptions, see the accompanying Schedule of Investments.

 

(a)All Level 3 investments were valued using unadjusted prices provided by independent third party valuation specialists. The following is a reconciliation of Level 3 investments.

 

   Special Purpose Acquisition Companies   Total 
Balance as of February 28, 2021  $   $ 
Accrued discount/ premium        
Realized Gain/(Loss)        
Change in Unrealized Appreciation/(Depreciation)   985,950    985,950 
Purchases   209    209 
Sales Proceeds        
Transfer into Level 3        
Transfer out of Level 3        
Balance as of October 31, 2021  $986,159   $986,159 
Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at October 31, 2021  $985,950   $985,950 

 

 

34

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

C. Security Transactions and Revenue Recognition. Investment transactions are recorded on a trade-date basis. Dividend income and expense are recorded on the ex-dividend date. Interest income and expense are recorded on the accrual basis and include the amortization/accretion of premiums and discounts on fixed income securities using the effective interest method. Dividend and interest income are recorded net of applicable withholding taxes. Realized gains and losses from security transactions are computed on the basis of the identified cost of the securities sold or covered. Unrealized gains and losses are recognized in net change in unrealized appreciation (depreciation) on securities and foreign currency translation on the statement of operations. Expenses are recorded on the accrual basis as incurred.

 

D. Foreign Currency Translation. Assets and liabilities, including investments, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the closing rates of exchange on the following basis:

 

(1)Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at Market Close.
 (2)Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

 

Purchases and sales of investments and income and expense items denominated in foreign currencies are translated into U.S. dollars at the rates of exchange prevailing on the dates of such transactions. Net realized currency translation gains or losses include the effects of currency movements between trade and settlement dates on investment transactions and the difference between amounts actually received or paid upon settlement. The Fund does not isolate that portion of the results of operations arising from the changes in foreign exchange rates from changes in market prices of investments held. Such fluctuations are included in either net realized gains (losses) on securities and derivative transactions or net change in unrealized appreciation (depreciation) on securities and derivative transactions in the statement of operations. Foreign currency translation gains and losses on assets and liabilities (excluding investments) are included in either net realized gains (losses) on securities transactions or net change in unrealized appreciation (depreciation) on securities transactions.

 

E. Forward Foreign Currency Contracts. The Fund has entered into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a currency forward foreign contract, the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statement of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented within the respective Portfolio of Investments.

 

For the period ended October 31, 2021, the Fund had an average quarterly contract amount on forward foreign currency contracts to buy and sell of $610,000 and $5,923,250 respectively. As of October 31, 2021 there were no open forward currency contract positions.

 

F. Federal Income Taxes. It is the policy of the Fund to comply with the requirements of subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized capital gains to its shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Fund’s tax positions taken on federal income tax returns for all open tax periods in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized.

 

The Fund may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.

 

G. Distributions to Common Shareholders. The Fund will make monthly distributions to shareholders at an initial annual minimum fixed rate of 8.00%, based on the average monthly net asset value of the Fund’s common shares. The Fund will calculate the average net asset value from the previous month based on the number of Business Days in that month on which the net asset value is calculated. The distribution will be calculated as 8.00% of the previous month’s average net asset value, divided by twelve. The Fund will generally distribute amounts necessary to satisfy the Fund’s plan and the requirements prescribed by excise tax rules and Subchapter M of the Internal Revenue Code. The plan is intended to provide shareholders with a constant, but not guaranteed, fixed minimum rate of distribution each month and is intended to narrow the discount between the market price and the net asset value of the Fund’s common shares, but there is no assurance that the plan will be successful in doing so.

 

Under the managed distribution plan, to the extent that sufficient investment income is not available on a monthly basis, the Fund will distribute capital gains and/or return of capital in order to maintain its managed distribution rate. No conclusions should be drawn about the Fund’s investment performance from the amount of the Fund’s distributions or from the terms of the Fund’s managed distribution plan. The Board may amend the terms of the plan or terminate the plan at any time. The amendment or termination of the plan could have an adverse effect on the market price of the Fund’s common shares. The plan will be subject to the periodic review by the Board, including a yearly review of the annual minimum fixed rate to determine if an adjustment should be made.

 

 

 

Annual Report | October 31, 2021 35

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

H. Dividend Reinvestments. Pursuant to the Fund’s Shareholder Reinvestment Program (the “Program”), ALPS Fund Services, Inc. (“ALPS”), the Program administrator, purchases, from time to time, shares of beneficial interest of the Fund on the open market to satisfy dividend reinvestments. Such shares are purchased on the open market only when the closing sale or bid price plus commission is less than the NAV per share of the Fund’s Common Shares on the valuation date. If the market price plus commissions is equal to or exceeds NAV, new shares are issued by the Fund at the greater of (i) NAV or (ii) the market price of the shares during the pricing period, minus a discount of 5%.

 

I. Share Offerings. The Fund issues shares under various shelf registration statements, whereby the net proceeds received by the Fund from share sales may not be less than the greater of (i) the NAV per share or (ii) 94% of the average daily market price over the relevant pricing period.

 

J. Indemnifications. In the normal course of business, the Fund may enter into contracts that provide certain indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.

 

NOTE 3 — INVESTMENTS

 

 

For the period ended October 31, 2021, the cost of purchases and the proceeds from principal repayment and sales of investments, excluding short-term notes, totaled $391,020,954 and $578,585,999, respectively. The fair value of these assets is established as set forth in Note 2.

 

At October 31, 2021, the Fund held senior loans valued at $150,981,755 representing 35.97% of its total net assets. The senior loans acquired by the Fund typically take the form of a direct lending relationship with the borrower, and are typically acquired through an assignment of another lender’s interest in a loan. The lead lender in a typical corporate loan syndicate administers the loan and monitors the collateral securing the loan. In the event that the lead lender becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain costs and delays in realizing payment, or may suffer a loss of principal and/or interest.

 

At October 31, 2021 the Fund held corporate bonds valued at $24,903,544 representing 5.93% of its total net assets. Changes in short-term market interest rates will directly affect the yield on variable rate notes. If short-term market interest rates fall, the yield on variable rate notes will also fall. To the extent that the interest rate spreads on loans in the Fund's portfolio experience a general decline, the yield on the Common Shares will fall and the value of the Fund’s assets may decrease, which will cause the Fund’s NAV to decrease. Conversely, when short-term market interest rates rise, because of the lag between changes in such short-term rates and the resetting of the floating rates on assets in the Fund’s portfolio, the impact of rising rates will be delayed to the extent of such lag. In the case of inverse securities, the interest rate paid by such securities generally will decrease when the market rate of interest to which the inverse security is indexed increases. With respect to investments in fixed rate instruments, a rise in market interest rates generally causes values of such instruments to fall. The values of fixed rate instruments with longer maturities or duration are more sensitive to changes in market interest rates.

 

Certain common and preferred stock, and stock purchase warrants held in the portfolio were acquired in conjunction with loans held by the Fund. Certain stocks and warrants are restricted and may not be publicly sold without registration under the 1933 Act, or without an exemption under the 1933 Act. In some cases, these restrictions expire after a designated period of time after issuance of the shares or warrants.

 

At October 31, 2021, the Fund held SPACs valued at $197,045,483 representing 46.95% of its total net assets. A SPAC is a publicly traded company formed for the purpose of raising capital through an initial public offering to fund the acquisition, through a merger, capital stock exchange, asset acquisition or other similar business combination, of one or more operating businesses that are typically not publicly-listed. Following the acquisition of a target company, a SPAC's management team may exercise control over the management of the combined company in an effort to increase its value. Often now, though, management of the target company will continue to manage the now publicly-traded business subsequent to completion of its business combination with the SPAC. Capital raised through the initial public offering of securities of a SPAC is typically placed into a trust account until acquired business combination is completed or a predetermined period of time (typically 24 months) elapses. Shareholders in a SPAC would receive a return on their investment in the event that a target company is acquired and the combined publicly-traded company's shares trade above the SPAC's initial public offering ("IPO") price, or alternatively, the market price at which an investor acquired a SPAC's shares subsequent to its IPO. In the event that a SPAC is unable to locate and acquire a target business by the timeframe established at the time of its IPO, the SPAC would be forced to liquidate its assets, which may result in losses due to the expenses and liabilities of the SPAC, to the extent third-parties are permitted to bring claims against IPO proceeds held in the SPAC's trust account.

 

 

36  

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

At October 31, 2021, the Fund held Closed End Mutual Funds valued at $26,916,510 representing 6.41% of its total net assets. A closed-end fund (“CEF”) or closed-ended fund is a collective investment issuing a fixed number of shares which are not redeemable from the fund. Shares can be purchased and sold in the market and are subject to market fluctuations.

 

The Fund may invest in warrants. The Fund may purchase warrants issued by domestic and foreign companies to purchase newly created equity securities consisting of common and preferred stock. Warrants are securities that give the holder the right, but not the obligation, to purchase equity issues of the company issuing the warrants, or a related company, at a fixed price either on a certain date or during a set period. The equity security underlying a warrant is authorized at the time the warrant is issued or is issued together with the warrant. Investing in warrants can provide a greater potential for profit or loss than an equivalent investment in the underlying security and, thus, can be a speculative investment. At the time of issue, the cost of a warrant is substantially less than the cost of the underlying security itself, and price movements in the underlying security are generally magnified in the price movements of the warrant. The leveraging effect enables the investor to gain exposure to the underlying security with a relatively low capital investment.

 

This leveraging increases an investor’s risk, as a complete loss of the amount invested in the warrant may result in the event of a decline in the value of the underlying security. In addition, the price of a warrant tends to be more volatile than, and may not correlate exactly to, the price of the underlying security. If the market price of the underlying security is below the exercise price of the warrant on its expiration date, the warrant will generally expire without value. The value of a warrant may decline because of a decline in the value of the underlying security, the passage of time, changes in interest rates or in the dividend or other policies of the company whose equity underlies the warrant, a change in the perception as to the future price of the underlying security, or any combination thereof. Warrants generally pay no dividends and confer no voting or other rights other than to purchase the underlying security. As of October 31, 2021, the Fund held warrants totaling $359,592.

 

The Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of the short sale.

 

The Fund's obligation to replace the borrowed security will be secured by collateral deposited with the broker-dealer, usually cash, U.S. government securities or other liquid securities. The Fund will also be required to designate on its books and records similar collateral with its custodian to the extent, if any, necessary so that the aggregate collateral value is at all times at least equal to the current value of the security sold short. The cash amount is reported on the Statement of Assets and Liabilities as Deposit with broker for securities sold short which is held with one counterparty. The Fund is obligated to pay interest to the broker for any debit balance of the margin account relating to short sales. The interest incurred by the Fund, if any, is reported on the Statement of Operations as Interest expense – margin account. Interest amounts payable, if any, are reported on the Statement of Assets and Liabilities as Interest payable – margin account.

 

The Fund may also sell a security short if it owns at least an equal amount of the security sold short or another security convertible or exchangeable for an equal amount of the security sold short without payment of further compensation (a short sale against-the-box). In a short sale against-the-box, the short seller is exposed to the risk of being forced to deliver stock that it holds to close the position if the borrowed stock is called in by the lender, which would cause gain or loss to be recognized on the delivered stock. The Fund expects normally to close its short sales against-the-box by delivering newly acquired stock. Since the Fund intends to hold securities sold short for the short term, these securities are excluded from the purchases and sales of investment securities in Note 4 and the Fund’s Portfolio Turnover in the Financial Highlights.

 

NOTE 4 — INVESTMENT MANAGEMENT FEES

 

 

The Fund has entered into an investment management agreement (“Management Agreement”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Fund. The Investment Adviser oversees all investment advisory and portfolio management services for the Fund and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Fund, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. This Management Agreement compensates the Investment Adviser with a fee, computed daily and payable monthly, at an annual rate of 1.05% of the Fund’s managed assets. For purposes of the Management Agreement, managed assets (“Managed Assets”) are defined as the Fund’s average daily gross asset value, minus the sum of the Fund’s accrued and unpaid dividends on any outstanding Preferred Shares and accrued liabilities (other than liabilities for the principal amount of any borrowings incurred, commercial paper or notes issued by the Fund and the liquidation preference of any outstanding Preferred Shares).

 

 

Annual Report | October 31, 2021 37

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

NOTE 5 — EXPENSE LIMITATION AGREEMENT

 

 

The Investment Adviser has agreed to limit expenses, excluding interest, taxes, investor relations services, other investment-related costs, leverage expenses, extraordinary expenses, other expenses not incurred in the ordinary course of such Fund’s business, and expenses of any counsel or other persons or services retained by such Fund’s trustees who are not interested persons, to 1.05% of Managed Assets plus 0.15% of average daily net assets.

 

The Investment Adviser may at a later date recoup from the Fund for fees waived and/or other expenses reimbursed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, the Fund’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statement of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statement of Assets and Liabilities.

 

Fees and expenses waived by the previous advisor (Voya Investments, LLC) prior to June 4, 2021 are no longer recoupable. As of October 31, 2021, the amount of waived and/or reimbursed fees that are subject to recoupment by the Investment Adviser and the related expiration dates are as follows:

 

October 31, 2022   October 31, 2023   October 31, 2024   Total 
$   $   $258,145   $258,145 

 

The expense limitation agreement is contractual through July 1, 2022 and shall renew automatically for one-year terms. Termination or modification of this obligation requires approval by the Board.

 

NOTE 6 — TRANSACTIONS WITH AFFILIATES AND OTHER PARTIES

 

 

At October 31, 2021, entities advised by Saba Capital Management owned approximately 12.94% of the Fund.

 

The previous advisor (Voya Investments, LLC) engaged in purchase and sale transactions with funds that have a common investment adviser (or affiliated investment adviser) and/or have a common sub-adviser. These interfund transactions are made pursuant to Rule 17a-7 under the 1940 Act. For the period ended October 31, 2021, the Fund engaged in such purchase and sale transactions totaling $400,000 and $400,000, respectively.

 

NOTE 7 — COMMITMENTS

 

 

Effective July 20, 2021, the Fund has entered into a revolving credit agreement, collateralized by assets of the Fund, to borrow up to $200,000,000 million maturing July 19, 2022. Borrowing rates under this agreement are based on a fixed spread over LIBOR, and a commitment fee is charged on the unused portion. The amount of borrowings outstanding at October 31, 2021, was $50,000,000. The weighted average interest rate on outstanding borrowings at October 31, 2021 was 0.83%, excluding fees related to the unused portion of the facilities, and other fees. The amount of borrowings represented 10.31% of total assets at October 31, 2021. Average borrowings for the period ended October 31, 2021 were $20,559,449 and the average annualized interest rate was 0.86% excluding other fees related to the unused portion of the facility, and other fees.

 

NOTE 8 — TENDER OFFER

 

 

On June 21, 2021, the Fund announced that it would purchase for cash up to 30% of the Fund's shares, at a price equal to 99% of the Trust's NAV per share as determined as of the close of the regular trading session of the NYSE on July 19, 2021 (the "Tender Offer"). On July 19, 2021, 36,453,372 shares were accepted for repurchase by the Fund in accordance with the terms of the Tender Offer. The shares were repurchased at a price of $4.851 per share, or 99% of the Fund's NAV. The Tender Offer was oversubscribed and all tenders of shares were subject to pro ration (at a ratio of approximately 48.43%) in accordance with the terms of the Tender Offer.

 

 

38  

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

NOTE 9 — CAPITAL SHARES

 

 

As of October 31, 2021 there were 85,058,986 shares issued and outstanding. Transactions in capital shares and dollars were as follows:

 

Year or period ended  Shares repurchased   Shares repurchased in tender offer   Net increase (decrease) in shares outstanding   Shares repurchased   Shares repurchased in tender offer   Net increase (decrease) 
   #   #   #   ($)   ($)   ($) 
10/31/2021   (329,217)   (36,453,372)   (36,782,589)   (1,536,542)   (176,835,308)   (178,371,850)
2/28/2021   (4,369,649)   (21,576,552)   (25,946,201)   (18,727,020)   (104,862,043)   (123,589,063)

 

Share Repurchase Program

 

Prior to June 4th, 2021 the previous advisor (Voya Investments, LLC) had a repurchase plan, pursuant to an open-market share repurchase program, the Fund could purchase up to 10% of its stock in open-market transactions. The amount and timing of any repurchases under the prior repurchase program were at the discretion of the Fund’s management, subject to market conditions and investment considerations. The Fund may in the future elect to implement a new share repurchase program, the terms and conditions of which would be subject to approval by its Board of Trustees. To the extent it implements such a plan, there can be no assurance that the Fund would purchase shares at any particular discount level or in any particular amounts. In addition, any repurchases made under a new share repurchase program would be made on a national securities exchange at the prevailing market price, subject to exchange requirements and volume, timing and other limitations under federal securities laws. There can be no assurance when or if such a new repurchase program may be implemented.

 

The share repurchase program sought to enhance shareholder value by purchasing shares trading at a discount from their NAV per share. The open-market share repurchase program did not obligate the Fund to repurchase any dollar amount or number of shares of its stock.

 

For the period ended October 31, 2021, the Fund repurchased 36,782,589 shares, representing approximately 30% of the Fund’s outstanding shares for a net purchase price of $178,371,850.

 

NOTE 10 — FEDERAL INCOME TAXES

 

 

The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of foreign currency transactions, capital loss carryforwards, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.

 

Dividends paid by the Fund from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.

 

The tax character of the distributions paid during the tax periods ended February 28, 2021 and October 31, 2021, were as follows:

 

   October 31, 2021   February 28, 2021 
Distributions Paid From:        
Ordinary Income  $6,017,351   $25,024,961 
Net Long-Term Capital Gain        
Return of Capital   10,729,227    1,234,296 
Total Distributions Paid  $16,746,578   $26,259,257 

 

 

Annual Report | October 31, 2021 39

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

As of the period ended October 31, 2021, the components of distributable earnings (loss) on a tax basis were as follows:

 

   Saba Capital Income & Opportunities Fund 
Undistributed ordinary income  $ 
Accumulated capital and other losses   (165,080,682)
Unrealized Appreciation (Depreciation)   (164,608)
Distributable Earnings (Loss)    
Total  $(165,245,290)

 

At October 31, 2021, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost on investments for federal income tax purposes were as follows:

 

   Saba Capital Income & Opportunities Fund 
Cost of investments for income tax purposes  $410,693,720 
Gross appreciation (excess of value over tax cost)  $6,386,181 
Gross depreciation (excess of tax cost over value)   (6,508,773)
Net depreciation of foreign currency and derivatives   (42,016)
Net unrealized depreciation  $(164,608)

 

The differences between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.

 

As of the period ended October 31, 2021, the Fund had non-expiring accumulated capital loss carryforwards as follows:

 

To the extent that a fund may realize future net capital gains, those gains will be offset by any of its unused capital loss carryforward. Future capital loss carryover utilization in any given year may be subject to Internal Revenue Code limitations.

 

Fund  Short Term   Long Term   Total 
Saba Capital Income & Opportunities Fund  $22,417,272   $142,663,410   $165,080,682 

 

During the period ended October 31, 2021, the Fund utilized $970,460 of capital loss carryovers.

 

The Fund’s major tax jurisdictions are U.S. federal and New York State.

 

As of October 31, 2021, no provision for income tax is required in the Fund’s financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. Generally, the preceding four tax years remain subject to examination by these jurisdictions.

 

NOTE 11 — LIBOR

 

 

Certain Senior Loans may be based on floating rates, such as LIBOR. On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (“FCA”), which regulates LIBOR, announced that the FCA will no longer persuade nor require banks to submit rates for the calculation of LIBOR after 2021. Such announcement indicates that the continuation of LIBOR on the current basis cannot and will not be guaranteed after 2021. Prior to 2021, it is expected that market participants will focus on the transition mechanisms by which references to LIBOR in existing contracts or instruments may be amended. Nonetheless, the termination of LIBOR presents risks to an Underlying Fund. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. The risks associated with the above factors, including decreased liquidity, are heightened with respect to investments in LIBOR-based products that do not include a fallback provision that addresses how interest rates will be determined if LIBOR stops being published. Even with some LIBOR-based instruments with fallback provisions providing for an alternative rate-setting methodology and/or increased costs for certain LIBOR-related instruments or financing transactions, there may be significant uncertainty regarding the effectiveness of any such alternative methodologies, resulting in prolonged adverse market conditions for the affected securities or payments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. In addition, when LIBOR is discontinued, the successor reference rate may be lower than market expectations, which could have an adverse impact on the value of preferred and debt-securities with floating or fixed-to-floating rate coupons. All of the aforementioned may adversely affect the Fund’s performance or NAV.

 

 

40  

 
 

Saba Capital Income & Opportunities Fund Notes to Financial Statements
  October 31, 2021

 

NOTE 12 — MARKET DISRUPTION

 

 

The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Due to the increasing interdependence among global economies and markets, conditions in one country, market, or region might adversely impact markets, issuers and/or foreign exchange rates in other countries, including the United States. War, terrorism, global health crises and pandemics, and other geopolitical events have led, and in the future may lead, to increased market volatility and may have adverse short- or long-term effects on U.S. and world economies and markets generally. For example, the COVID-19 pandemic has resulted, and may continue to result, in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn in economies throughout the world. Natural and environmental disasters and systemic market dislocations are also highly disruptive to economies and markets. Those events as well as other changes in non-U.S. and domestic economic, social, and political conditions also could adversely affect individual issuers or related groups of issuers, securities markets, interest rates, credit ratings, inflation, investor sentiment, and other factors affecting the value of the investments of the portfolio and of the Fund. Any of these occurrences could disrupt the operations of the Fund and of the Fund’s service providers.

 

NOTE 13 — OTHER ACCOUNTING PRONOUNCEMENTS

 

 

In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022.

 

NOTE 14 — SUBSEQUENT EVENTS

 

 

Subsequent to October 31, 2021, the fund paid the following dividends:

 

Per Share Amount Declaration Date Record Date Payable Date
$0.033 10/29/21 10/10/21 10/23/21
$0.033 11/30/21 12/10/21 12/23/21

 

On December 17, 2021 the Board of Trustees approved an increase in the annual targeted distribution yield under the Fund's managed distribution plan from 8% to 12%. Accordingly, beginning with the first distribution declared in January 2022, the Fund will make monthly distributions to shareholders at an annual minimum fixed rate of 12%.

 

 

Annual Report | October 31, 2021 41

 
 

Saba Capital Income & Opportunities Fund Additional Information
  October 31, 2021

 

PROXY VOTING INFORMATION

 

 

A description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio securities is available: (1) on the Fund’s website at www.sabacef.com and (2) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies related to portfolio securities during the most recent 12-month period ended October 31 is available without charge on the Fund’s website at www.sabacef.com and on the SEC’s website at www.sec.gov.

 

QUARTERLY PORTFOLIO HOLDINGS

 

 

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. The Fund’s Forms NPORT-P are available on the SEC’s website at www.sec.gov. The Fund’s complete schedule of portfolio holdings is available at: www.sabacef.com.

 

 

42  

 
 

Saba Capital Income & Opportunities Fund Trustees and Officers
  October 31, 2021

 

INDEPENDENT TRUSTEES

 

Name, Address1
and Date of Birth
Position(s) Held with the Fund Term of Office and Length of Time Served1 Principal Occupation(s) During the Past 5 Years Number of Funds in the Fund Complex Overseen by Trustees2 Other Board Positions Held by Trustees
Independent Nominees  
Thomas Bumbolow DOB: 05/17/1976 Trustee Since January 2021 Mr. Bumbolow currently serves as the head of business development at Midwest Holding (MWDT), an insurance company which blends innovative reinsurance capabilities with an elite asset management business. Mr. Bumbolow also serves as advisor to Capital2markets, a tech-based broker/dealer, Limitless Ventures, a venture impact capital fund, and Vchromatix, a private technology company. Mr. Bumbolow is the co-Founder of protoCapital, a merchant bank that operated from 2017-2020. Mr. Bumbolow has 20 years of experience at JPMorgan Chase, where he held various roles in fixed-income sales and trading from 1997-2017. He has been a board member of Stepping Stones Museum for Children since 2018. 1 Stepping Stones Museum
Karen Caldwell DOB: 01/22/1959 Trustee Since July 2020 Karen Caldwell has served as the Chief Financial Officer of Reform Alliance since 2019. Previously, Ms. Caldwell served as the Chief Financial Officer and Treasurer of the NHP Foundation, a non for profit dedicated to increasing housing affordability, from 2018 to 2019. From 2016 to 2018, Ms. Caldwell served as the Chief Financial Officer and Executive Vice President of the New York City Housing Authority. Prior to such position, she served as the president of Hanseatic Management Services, Inc., an asset management company, from 2015 to 2016. 1 None
Ketu Desai DOB: 07/02/1982 Trustee Since July 2020 Ketu Desai has served as the founding partner and Principal of i-squared Wealth Management, Inc., a private wealth investment management firm, since 2016. 1 None
Kieran Goodwin DOB: 07/30/1969 Trustee Since July 2020 Kieran Goodwin is the founder of Hidden Truth, a mobile application game. Previously, he served as the co-founder and Portfolio Manager of Panning Capital Management, LLC, a hedge fund with $2.5 billion AUM at its peak, from 2012 to 2019. 1 None

 

1The mailing address for each Independent Trustee is 405 Lexington Avenue, 58th Floor, New York, NY 10174.

 

 

Annual Report | October 31, 2021 43

 
 

Saba Capital Income & Opportunities Fund Trustees and Officers
  October 31, 2021

 

INTERESTED TRUSTEES

 

Name, Address1
and Date of Birth
Position(s) Held with the Fund Term of Office and Length of Time Served1 Principal Occupation(s) During the Past 5 Years Number of Funds in the Fund Complex Overseen by Trustees2 Other Board Positions Held by Trustees
Nominee who is an “Interested Person”3
Aditya Bindal DOB: 03/10/1976 Trustee Since July 2020 Aditya Bindal has served as Chief Risk Officer of Saba Capital Management, L.P. since 2018, prior to which he served as Chief Risk Officer at Water Island Capital (“Water Island”), an event-driven investment firm with over $2.5 billion in AUM, from 2015 to 2018. 1 GIM

Andrew Kellerman

DOB: 09/22/1965

Trustee Since July 2020 Andrew Kellerman has served as Partner, President and Head of Business Development of Saba Capital Management, L.P. since 2018. Prior to joining Saba, Mr. Kellerman served as a Managing Director and Head of Distribution for the Private Institutional Client group within Alex. Brown & Sons where he was responsible for placement of boutique funds and private direct investments from 2017 to 2018. Prior to Alex. Brown, Mr. Kellerman served as a Managing Partner of Measure 8 Venture Partners, a diversified private capital fund focused on opportunities in emerging industries, from January 2017 to November 2017. Previously, Mr. Kellerman served as a Managing Director and Head of Business Development with Vertical Knowledge supplying open source data and analytics for the defense, financial services, and commercial markets from 2014-2016. 1 None

 

1The mailing address for each Interested Trustee is 405 Lexington Avenue, 58th Floor, New York, NY 10174.

 

OFFICERS

 

Name, Address1 and Date of Birth Position(s) Held with the Fund Term of Office and Length of Time Served1 Principal Occupation(s) During the Past 5 Years
Boaz Weinstein DOB: 06/06/1973 President Since May 2021 CIO of Saba Capital
Pierre Weinstein DOB: 04/07/1975 Chief Executive Officer Since May 2021 Portfolio Manager at Saba Capital
Michael D’Angelo DOB: 09/08/1978 Secretary Since May 2021 COO and General Counsel at Saba Capital
Patrick Keniston2 DOB: 01/18/1964 CCO Since June 2021 Managing Director, Foreside Fund Services, LLC (since 2008)
Troy Statczar2 DOB: 08/31/1971 PFO, Treasurer Since June 2021 Senior Director, Foreside Treasurer Services since 2020 - Foreside Financial Group; Director of Fund Administration (2017-2019) - Thornburg Investment Management, Inc.; Director of U.S. Operations (2008-2017) - Henderson Global Investors N.A., Inc.
Nitin Sapru DOB: 12/07/1980 VP Since May 2021 CFO at Saba Capital

 

1Unless otherwise indicated, the mailing address for each officer is 405 Lexington Avenue, 58th Floor, New York, NY 10174.
2Patrick Keniston's and Troy Statczar’s address is Foreside Fund Officer Services, LLC, 3 Canal Plaza, Suite 100, Portland, ME 04101.

 

 

44  

 
 

 

This material must be accompanied or preceded by a prospectus.

 
 

 

(b)Not applicable

 

Item 2. Code of Ethics.

 

As of the end of the period covered by this report, Registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the Code during the period covered by the report. The code of ethics is filed herewith pursuant to Item 10(a)(1), Ex-99.CODE ETH.

 

Item 3. Audit Committee Financial Expert.

 

The Board of Trustees has determined that Karen Caldwell is the sole Audit Committee Financial Expert, as defined in Item 3 of Form N-CSR. Ms. Caldwell, is “independent” for purposes of Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

Below are the amount of fees that Ernst & Young LLP (“EY”), the Fund’s current Independent Registered Public Accounting Firm, billed to the Fund during the Fund’s fiscal period ended October 31, 2021 and fiscal year ending February 28, 2021 and the amount of fees that the previous independent public accounting firm billed to the Fund during the Fund’s fiscal period ended October 31, 2021 and fiscal year ending February 28, 2021.

 

(a)Audit Fees (1): The aggregate fees billed for each of the last two fiscal years for professional services rendered by EY, the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $62,300 for the period ended October 31, 2021 and $62,300 for the year ended February 28, 2021.

 

(b)Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by EY that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the period ended October 31, 2021 and $0 for the year ended February 28, 2021.

 

(c)Tax Fees (2): The aggregate fees billed in each of the last two fiscal years for professional services rendered by EY for tax compliance, tax advice, and tax planning were $12,500 for the period ended October 31, 2021 and $7,800 for the year ended February 28, 2021. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state, and excise tax returns, tax services related to mergers and routine consulting.

 

(d)All Other Fees (3): The aggregate fees billed in each of the last two fiscal years for products and services provided by EY, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the period ended October 31, 2021 and $0 for the year ended February 28, 2021.

 

(1) For the fiscal year ended February 28, 2021 the previous independent public accounting firm billed $0 for Audit Fees.

 

(2) For the fiscal year ended February 28, 2021 the previous independent public accounting firm billed $136 for Tax Fees.

 

(3) For the fiscal year ended February 28, 2021 the previous independent public accounting firm billed $0 for All Other Fees.

 
 

(e)(1)Audit Committee Pre-Approval Policies and Procedures

 

(e)(2)Percentage of services referred to in 4(b) – (4)(d) that were approved by the audit committee

 

100% of the services were approved by the audit committee..

 

(f)Percentage of hours expended attributable to work performed by other than full time employees of EY if greater than 50%

 

Not applicable.

 

(g)Non-Audit Fees: The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to each Registrant by the independent registered public accounting firm for each Registrant’s fiscal period ending October 31, 2021 and fiscal year ending February 28, 2021; and (ii) the aggregate non-audit fees billed to the investment adviser, or any of its affiliates that provide ongoing services to the registrant, by the independent registered public accounting firm for the same time periods.

 

Registrant/Investment Adviser   10/31/2021    02 /28/2021(1)
Saba Capital Income & Opportunities Fund  $12,500   $7,800 
Saba Capital Management/Voya Investments, LLC  $0   $16,501,954 

 

(1)For the year ended February 28, 2021, the previous independent public accounting firm billed the Registrant $136 for Non-Audit Fees

 

(h)Principal Accountants Independence: The Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining EY’s independence.

 

Item 5. Audit Committee of Listed Registrants

 

a.The registrant has a separately-designated standing audit committee. The members of the Committee are Thomas Bumbolow, Karen L. Caldwell, and Ketu Desai.

 

Item 6. Investments.

 

Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

The SEC adopted Rule 206(4)-6 under the Advisers Act, requiring registered investment advisers that exercise voting authority over client securities to implement proxy voting policies. Saba Capital has adopted proxy voting policies and procedures to ensure compliance with the Advisers Act. Saba Capital’s policy is to vote in a manner that serves the best interests of the clients. Except as set forth below, the firm has engaged BroadRidge Financial Solutions, Inc. to compile and vote all proxy ballots on behalf of the Saba Capital, using specific guidelines and recommendations provided by Glass, Lewis & Co., LLC (“Glass Lewis”).

 

Saba Capital may, from time to time, determine that it is in the best interests of its clients to either depart from specific Glass Lewis recommendations and/or vote shares held in the same proportion as the vote of all other holders of the securities.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

(a)(1) Portfolio Management. The following individuals share responsibility for the day-to-day management of the Trust’s portfolio:

 

Boaz Weinstein, Founder & CIO, employed by Saba Capital Management since 2009

 

Paul Kazarian, Portfolio Manager, employed by Saba Capital Management since 2013

 

Pierre Weinstein, Portfolio Manager, employed by Saba Capital Management since 2009

 

Other Accounts Managed

 

The following table show the number of accounts and total assets in the accounts with respect to which the advisory fee is based on the performance of the account managed by the portfolio managers of the Fund as of November 1, 2021, unless otherwise indicated.

 
 

Portfolio Managers Name Registered Investment Companies Other Pooled Investment Vehicles (1) Other Accounts(1)
Boaz Weinstein

2 Accounts

$0 Total Assets

11 Accounts

$ 2,870,503,796 Total Assets

5 Accounts

$284,205,534 Total Assets

Paul Kazarian

2 Accounts

$ 0 Total Assets

10 Accounts

$ 431,405,196 Total Assets

4 Accounts

$ 66,017,450 Total Assets

Pierre Weinstein

2 Accounts

$ 0 Total Assets

11 Accounts

$ 943,490,948 Total Assets

5 Accounts

$ 93,144,609 Total Assets

 

(1)The advisory fees are based in part on the performance for each account.

 

(a)(2)(iv) Conflicts of Interest

 

Saba Capital and its affiliates accept performance-based fees from certain Clients. In addition, Saba Capital manages another Client account that is only charged sub-advisory fees and is not charged performance fees. Clients should be aware that performance fee arrangements may create a conflict of interest for Saba Capital, as they could create an incentive for Saba Capital to make investments that are riskier or more speculative than it would otherwise make absent a performance fee.

 

In the allocation of investment opportunities, performance-based compensation arrangements may also create an incentive to favor accounts from which Saba Capital may receive greater performance-based compensation over accounts from which Saba Capital may receive less performance-based compensation. Consistent with its fiduciary obligations, Saba Capital has a policy of allocating investment opportunities on a fair and equitable basis measured over time.

 

(a)(3) Compensation

 

The firm pays a base salary (fixed) and discretionary bonus (variable) measured by the contributions of the particular employee as well as the success of the firm. The firm also provides sick days, short term disability, bereavement, jury duty/voting, military leave and medical leave, as well as paid parental (maternity and paternity) leave. The firm also provides employees with a robust benefits package which includes 100% employer covered health, dental & vision insurance in addition to other ancillary benefits. Partners of the firm receive compensation based on their level of equity ownership in the firm which can be increased on a discretionary basis.

 

(a)(4) Ownership of Securities

 

The following table shows the dollar range of shares of the Trust owned by each team member as of October 31, 2021, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans.

 
 

Ownership:

 

Portfolio Managers Dollar Range of the Registrant’s Securities Owned by the Portfolio Managers
Boaz Weinstein None
Paul Kazarian None
Pierre Weinstein None

 

(b) None.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Period (a) Total Number of Shares (or Units) Purchased (b) Average Price Paid per Share (or Unit) (c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs (d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet be Purchased Under the Plans or Programs

March 1 –

March 31, 2021*

329,217 $4.667 329,217 10,079,903

April 1 –

April 30, 2021

N/A N/A N/A N/A

May 1 –

May 31, 2021

N/A N/A N/A N/A

June 1 –

June 30, 2021

N/A N/A N/A N/A

July 1 –

July 31, 2021**

36,453,372 $4.851 36,453,372 N/A

August 1 –

August 31, 2021

N/A N/A N/A N/A
September 1, 2021 – September 30, 2021 N/A N/A N/A N/A
October 1, 2021 – October 31, 2021 N/A N/A N/A N/A
Total 36,782,589   36,782,589 N/A

 

*For the fiscal period ended October 31, 2021, the Fund repurchased 329,217 shares, representing approximately 3.9% of the Fund’s outstanding shares for a net purchase price of $1,536,542. The repurchase program of the Fund ended March 31, 2021.

 

**As reflected in the notes to the financial statements in the Registrant’s Certified Shareholder Report on Form N-CSR for the period ended August 31, 2021, and in the press release issued by the Registrant on July 22, 2021, the Registrant conducted a tender offer for up to 30% of its outstanding common stock at a price equal to 99% of its net asset value per share (“NAV”) as determined on the date the tender offer expired. Under the terms of the tender officer, the Registrant accepted 36,453,372 shares for payment at a price equal to $4.851 per share, which represents 99% of the Fund’s NAV as of July 19, 2021, the date the tender offer expired.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K, or this Item.

 
 

Item 11. Controls and Procedures.

 

(a)      Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR.

 

(b)      There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not Applicable.

 

Item 13. Exhibits.

 

(a)(1)The Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

 

(a)(2)The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, are attached hereto as Exhibit 99.Cert.

 

(a)(3)Not applicable to this report.

 

(a)(4)Not applicable to this report.

 

(a)The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.906Cert.
 
 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

SABA CAPITAL INCOME & OPPORTUNITIES FUND

 

By: /s/ Pierre Weinstein  
  Pierre Weinstein (Principal Executive Officer)  
  Chief Executive Officer  
     
Date: January 3, 2022  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

SABA CAPITAL INCOME & OPPORTUNITIES FUND

 

By: /s/ Pierre Weinstein  
  Pierre Weinstein (Principal Executive Officer)  
  Chief Executive Officer  
     
Date: January 3, 2022  

 

By: /s/ Troy Statczar  
  Troy Statczar (Principal Financial Officer)  
  Treasurer and Chief Financial Officer  
     
Date: January 3, 2022