|
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
|
Saba Capital Income & Opportunities Fund
|
Performance Update
|
|
|
October 31, 2021
|
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%.
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
|
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%
|
|
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
|
|
|
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.
|
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 $4.851 per share, or 99% of the Fund's NAV. The Tender Offer was oversubscribed and all tenders of shares were subject
to pro ration (at a ratio of approximately 48.43%) in accordance with the terms of the Tender Offer.
|
Saba Capital Income & Opportunities Fund
|
Notes to Financial Statements
|
|
|
October 31, 2021
|
NOTE 9 — CAPITAL SHARES
As of October 31, 2021 there were 85,058,986 shares issued and
outstanding. Transactions in capital shares and dollars were as follows:
|
Year or period ended
|
|
Shares repurchased
|
|
|
Shares repurchased in tender offer
|
|
|
Net increase (decrease) in shares outstanding
|
|
|
Shares repurchased
|
|
|
Shares repurchased in tender offer
|
|
|
Net increase (decrease)
|
|
|
|
|
#
|
|
|
#
|
|
|
#
|
|
|
($)
|
|
|
($)
|
|
|
($)
|
|
|
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.
|
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.