EXCHANGE LISTED FUNDS TRUST

Saba Closed-End Funds ETF (CEFS)

Annual Report

November 30, 2023

 

Exchange Listed Funds Trust
TABLE OF CONTENTS

 

November 30, 2023  

  

Saba Closed-End Funds ETF

   

Management’s Discussion of Fund Performance

 

1

Schedule of Investments

 

3

Summary of Investments

 

7

Statement of Assets and Liabilities

 

8

Statement of Operations

 

9

Statements of Changes in Net Assets

 

10

Statement of Cash Flows

 

11

Financial Highlights

 

12

Notes to Financial Statements

 

13

Report of Independent Registered Public Accounting Firm

 

24

Disclosure of Fund Expenses

 

25

Board Consideration and Approval of Continuance of Advisory and Sub-Advisory Agreements

 

26

Other Information

 

29

Trustees

 

30

Officers

 

31

Before investing you should carefully consider the Fund’s investment objectives, risks, charges and expenses. This and other information is available in the Fund’s prospectus, a copy of which may be obtained by visiting the Fund’s website at www.sabaetf.com. Please read the prospectus carefully before you invest.

There are risks involved with investing, including possible loss of principal, and there is no guarantee the Fund will achieve its investment objective. The Fund is classified as a diversified investment company under the Investment Company Act of 1940 (the “1940 Act”).

Individual shares of the Fund may be purchased or sold in the secondary market throughout the regular trading day on the Cboe BZX Exchange, Inc. (the “Cboe” or the “Exchange”) through a brokerage account. However, shares are not individually redeemable directly from the Fund. The Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares (“Creation Units”).

Distributor: Foreside Fund Services, LLC

i

Saba Closed-End Funds ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE

 

November 30, 2023  

(Unaudited)  

Dear Shareholders,

Thank you for your investment in the Saba Closed-End Funds ETF (“CEFS” or the “Fund”). The information presented in this report relates to the operations of CEFS for the fiscal year ended November 30, 2023.

The Fund is an actively managed ETF that seeks to provide capital appreciation and dividend income by investing in securities issued by closed-end funds (the “Underlying Funds”). The Fund’s sub-adviser, Saba Capital Management, L.P. (the “Sub-Adviser”), uses an investment process that combines fundamental analysis, quantitative analysis and proprietary screening tools to identify and rank closed-end fund investment opportunities. The Fund normally invests in Underlying Funds that primarily pursue high income opportunities and trade at a discount to net asset value. The Fund also seeks to hedge the portfolio’s exposure to rising interest rates.

The Fund’s performance during the fiscal year was primarily driven by the broader increase in prices for both equity and fixed income underlying assets. The Fund’s performance was impacted by marginal discount widening in several Underlying Funds (portfolio discount widened from -13.2% to -13.9%). However, this decline was more than offset by corporate actions that closed discounts in several other Underlying Funds. The Fund deployed short U.S. treasury futures as a hedge to interest rate risk. The use of such derivatives provided a positive impact on performance of the Fund.

For the year ended November 30, 2023, the Fund’s market price increased 11.80%, and the net asset value increased 13.13%, while the broad market high yield index, the iBoxx USD Liquid High Yield Index, returned 7.58% and the broad market equity index, the S&P 500® Index returned 13.84%.

The Fund commenced operations on March 20, 2017, with outstanding shares of 7,850,001 as of November 30, 2023. We appreciate your investment in the Saba Closed-End Funds ETF.

Sincerely,

J. Garrett Stevens

Chief Executive Officer

Exchange Traded Concepts, Advisor to the Fund

1

Saba Closed-End Funds ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Concluded)

 

November 30, 2023  

(Unaudited)  

Growth of a $10,000 Investment

(at net asset value)

 

Average Annual Return
As of 11
/30/2023

   
 

Inception Date
of the Fund

One Year

Five Year

Since
Inception

Expense Ratio*

Gross

Net

Saba Closed-End Funds ETF (Net Asset Value)

3/20/2017

13.13%

10.12%

8.63%

2.42%

2.42%

Saba Closed-End Funds ETF (Market Price)

 

11.80%

10.05%

8.65%

   

S&P 500® Index

 

13.84%

12.51%

12.24%

   

*   The expense ratios in this table reflect the total annual fund operating expenses as presented in the Fund’s Prospectus dated April 1, 2023. The 2.42% is inclusive of the Management Fee of 1.10%, Other Expenses (including interest expense) of 0.20% and Acquired Fund Fees and Expenses of 1.12%. In addition to this timing difference, the expense ratios in this table do not correlate to the Fund’s expense ratio as presented in the Fund’s financial highlights because 1) interest expense is variable and 2) the operating expenses of the Fund do not include Acquired Fund Fees and Expenses, which are fees and expenses incurred indirectly by the Fund through its investments in certain underlying investment companies.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains.

Current performance may be lower or higher than performance data quoted. For the Fund’s most recent month end performance, please visit www.sabaetf.com.

There are no assurances that the Fund will meet its stated objectives.

The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities. The information provided herein represents the opinion of Exchange Traded Concepts, LLC for the period stated and is subject to change at any time.

The S&P 500® Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

The Fund’s shares are listed on an exchange. The price of the Fund’s shares is based on market price, and because exchange-traded fund shares trade at market prices rather than net asset value, shares may trade at a price greater than net asset value (premium) or less than net asset value (discount).

NAV — The dollar value of a single share is calculated by taking the value of the underlying assets of the fund minus its liabilities, divided by the number of shares outstanding. NAV is calculated at the end of each business day.

2

Saba Closed-End Funds ETF

SCHEDULE OF INVESTMENTS

 

November 30, 2023  

  

 

Number of
Shares

 

Value

CLOSED-END FUNDS — 115.7%

       

EQUITY — 46.5%

     

 

 

abrdn Emerging Markets Equity Income Fund Inc.

 

12,467

 

$

61,525

abrdn Global Dynamic Dividend Fund

 

4,591

 

 

41,732

abrdn Global Infrastructure Income Fund(a)

 

222,107

 

 

3,877,988

abrdn Healthcare Investors

 

23,082

 

 

344,153

abrdn Life Sciences Investors

 

34,853

 

 

416,493

Adams Diversified Equity Fund, Inc.(a)

 

372,185

 

 

6,312,258

Adams Natural Resources Fund, Inc.

 

201

 

 

4,123

Allspring Global Dividend Oppo

 

1,048

 

 

4,402

ASA Gold and Precious Metals Ltd.

 

220,788

 

 

3,380,264

BlackRock Enhanced Global Dividend Trust

 

2,606

 

 

25,799

BlackRock Enhanced International Dividend Trust

 

1,547

 

 

7,967

BlackRock Health Sciences Term Trust(a)

 

191,057

 

 

2,657,603

BlackRock Innovation and Growth Term Trust(a)

 

838,090

 

 

6,059,391

BlackRock Science and Technology Term Trust

 

10,824

 

 

183,575

ClearBridge Energy Midstream Opportunity Fund, Inc.(a)

 

346,640

 

 

11,959,080

ClearBridge MLP & Midstream Total Return Fund, Inc.(a)

 

194,411

 

 

6,681,906

Clough Global Equity Fund

 

11

 

 

64

First Trust MLP and Energy Income Fund

 

7,428

 

 

65,441

First Trust New Opportunities MLP & Energy Fund

 

151

 

 

1,059

First Trust Specialty Finance and Financial Opportunities Fund

 

1,473

 

 

4,935

Gabelli Healthcare & WellnessRx Trust (The)

 

3,581

 

 

31,477

GAMCO Natural Resources Gold & Income Trust

 

42,277

 

 

213,499

General American Investors Co., Inc.

 

15,613

 

 

653,872

John Hancock Hedged Equity & Income Fund

 

1,508

 

 

15,155

 

Number of
Shares

 

Value

CLOSED-END FUNDS (Continued)

       

EQUITY (Continued)

     

 

 

Lazard Global Total Return and Income Fund, Inc.

 

14

 

$

204

Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund

 

6,547

 

 

50,608

MainStay CBRE Global Infrastructure Megatrends Term Fund(a)

 

510,491

 

 

6,503,655

Mexico Equity and Income Fund, Inc. (The)*

 

1,943

 

 

19,721

Neuberger Berman Energy Infrastructure and Income Fund, Inc.

 

22,066

 

 

152,476

Neuberger Berman Next Generation Connectivity Fund, Inc.(a)

 

644,541

 

 

6,864,362

Nuveen Real Asset Income and Growth Fund

 

280,100

 

 

3,100,707

NXG NextGen Infrastructure Income Fund(a)

 

59,957

 

 

1,916,825

Principal Real Estate Income Fund(a)

 

125,444

 

 

1,169,138

Royce Global Value Trust, Inc.

 

13

 

 

120

Taiwan Fund, Inc. (The)*

 

7,184

 

 

236,497

Templeton Emerging Markets Fund

 

300

 

 

3,552

Tortoise Energy Independence Fund, Inc.(a)

 

12,440

 

 

360,138

Tortoise Energy Infrastructure Corp.

 

2,344

 

 

65,890

Tortoise Midstream Energy Fund, Inc.(a)

 

33,037

 

 

1,130,526

Tortoise Pipeline & Energy Fund, Inc.

 

4,994

 

 

139,932

Voya Emerging Markets High Dividend Equity Fund(a)

 

176,414

 

 

878,542

Voya Global Advantage and Premium Opportunity Fund

 

100,823

 

 

849,938

Voya Global Equity Dividend and Premium Opportunity Fund

 

10,661

 

 

52,772

Voya Infrastructure Industrials and Materials Fund(a)

 

112,402

 

 

1,086,927

       

 

67,586,291

3

Saba Closed-End Funds ETF

SCHEDULE OF INVESTMENTS (Continued)

 

November 30, 2023  

  

 

Number of
Shares

 

Value

CLOSED-END FUNDS (Continued)

       

FIXED INCOME — 55.1%

     

 

 

AllianceBernstein National Municipal Income Fund, Inc.

 

640

 

$

6,650

Apollo Tactical Income Fund, Inc.

 

23,142

 

 

296,912

BlackRock California Municipal Income Trust(a)

 

585,715

 

 

6,601,008

BlackRock ESG Capital Allocation Term Trust(a)

 

1,449,677

 

 

22,629,458

BlackRock MuniHoldings California Quality Fund, Inc.

 

2,716

 

 

28,871

BlackRock MuniHoldings Fund, Inc.

 

65

 

 

744

BlackRock MuniHoldings New Jersey Quality Fund, Inc.

 

332

 

 

3,675

BlackRock MuniHoldings New York Quality Fund, Inc.

 

516

 

 

5,240

BlackRock MuniVest Fund II, Inc.

 

158

 

 

1,640

BlackRock MuniYield Michigan Quality Fund, Inc.

 

396

 

 

4,364

BlackRock MuniYield New York Quality Fund, Inc.

 

1,627

 

 

16,010

BlackRock MuniYield Pennsylvania Quality Fund

 

12,106

 

 

136,435

BlackRock New York Municipal Income Trust

 

167

 

 

1,683

BlackRock Virginia Municipal Bond Trust

 

222

 

 

2,308

BNY Mellon High Yield Strategies Fund

 

88,123

 

 

197,396

BNY Mellon Municipal Income, Inc.

 

125,236

 

 

787,734

BNY Mellon Strategic Municipal Bond Fund, Inc.

 

461

 

 

2,494

BrandywineGLOBAL Global Income Opportunities Fund, Inc.

 

19,032

 

 

149,877

Brookfield Real Assets Income Fund, Inc.

 

40,878

 

 

522,012

Destra Multi-Alternative Fund

 

267,238

 

 

1,619,462

DWS Municipal Income Trust

 

1,653

 

 

14,034

DWS Strategic Municipal Income Trust(a)

 

151,798

 

 

1,256,887

 

Number of
Shares

 

Value

CLOSED-END FUNDS (Continued)

       

FIXED INCOME (Continued)

     

 

 

Eaton Vance California Municipal Bond Fund(a)

 

323,048

 

$

2,846,053

Eaton Vance California Municipal Income Trust

 

84,545

 

 

839,532

Eaton Vance New York Municipal Bond Fund(a)

 

535,515

 

 

4,964,224

Ellsworth Growth and Income Fund Ltd.(a)

 

186,807

 

 

1,419,733

Federated Hermes Premier Municipal Income Fund

 

34,977

 

 

363,761

Flaherty & Crumrine Preferred and Income Opportunity Fund, Inc.

 

986

 

 

7,612

Invesco California Value Municipal Income Trust

 

701

 

 

6,568

Invesco Pennsylvania Value Municipal Income Trust

 

49,579

 

 

479,925

Invesco Trust for Investment Grade New York Municipals

 

194,439

 

 

1,938,557

MFS High Income Municipal Trust

 

836

 

 

2,834

MFS High Yield Municipal Trust(a)

 

352,397

 

 

1,115,337

MFS Investment Grade Municipal Trust(a)

 

65,885

 

 

478,984

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.(a)

 

883,866

 

 

4,127,654

Neuberger Berman Municipal Fund, Inc.

 

51,718

 

 

512,008

New America High Income Fund, Inc. (The)

 

64,381

 

 

439,078

Nuveen AMT-Free Municipal Credit Income Fund

 

117

 

 

1,321

Nuveen Arizona Quality Municipal Income Fund

 

215

 

 

2,251

Nuveen California Quality Municipal Income Fund

 

492

 

 

5,215

Nuveen Core Plus Impact Fund(a)

 

478,485

 

 

4,626,950

Nuveen Credit Strategies Income Fund

 

250,537

 

 

1,260,201

Nuveen Massachusetts Quality Municipal Income Fund

 

170

 

 

1,742

4

Saba Closed-End Funds ETF

SCHEDULE OF INVESTMENTS (Continued)

 

November 30, 2023  

  

 

Number of
Shares

 

Value

CLOSED-END FUNDS (Continued)

       

FIXED INCOME (Continued)

     

 

 

Nuveen Missouri Quality Municipal Income Fund

 

4

 

$

39

Nuveen Mortgage and Income Fund

 

1,104

 

 

18,084

Nuveen Municipal Credit Income Fund

 

52,074

 

 

596,247

Nuveen New Jersey Quality Municipal Income Fund(a)

 

319,280

 

 

3,674,913

Nuveen New York Quality Municipal Income Fund

 

406

 

 

4,214

Nuveen Pennsylvania Quality Municipal Income Fund(a)

 

339,900

 

 

3,752,496

Nuveen Preferred & Income Opportunities Fund

 

12,983

 

 

83,481

Nuveen Quality Municipal Income Fund

 

432

 

 

4,726

Nuveen Variable Rate Preferred & Income Fund

 

16,380

 

 

262,080

PGIM Short Duration High Yield Opportunities Fund

 

6,053

 

 

89,100

PIMCO Energy & Tactical Credit Opportunities Fund

 

219,208

 

 

4,441,154

Pioneer Municipal High Income Advantage Fund, Inc.

 

83,434

 

 

632,430

Pioneer Municipal High Income Fund Trust

 

233,453

 

 

1,902,642

Pioneer Municipal High Income Opportunities Fund, Inc.(a)

 

96,182

 

 

981,056

Putnam Managed Municipal Income Trust

 

694

 

 

3,970

Templeton Global Income Fund(a)

 

923,917

 

 

3,612,515

Western Asset Intermediate Muni Fund, Inc.

 

24,862

 

 

185,968

       

 

79,969,549

HYBRID — 14.1%

     

 

 

abrdn Healthcare Opportunities Fund

 

9,221

 

 

158,324

Allspring Utilities and High Income Fund

 

302

 

 

2,763

BlackRock Capital Allocation Term Trust(a)

 

493,473

 

 

7,298,466

Calamos Long/Short Equity & Dynamic Income Trust

 

2,790

 

 

40,678

 

Number of
Shares

 

Value

CLOSED-END FUNDS (Continued)

       

HYBRID (Continued)

     

 

 

 

Ecofin Sustainable and Social(a)

 

181,675

 

$

2,182,716

 

Guggenheim Active Allocation Fund

 

41,573

 

 

571,213

 

Nuveen Multi-Asset Income Fund(a)

 

807,570

 

 

9,424,342

 

Thornburg Income Builder Opportunities Trust

 

8

 

 

122

 

Virtus Dividend Interest & Premium Strategy Fund

 

68,201

 

 

798,634

 

Virtus Total Return Fund, Inc.

 

97

 

 

522

 

       

 

20,477,780

 

TOTAL INVESTMENTS — 115.7%
(Cost $161,655,888)

     

 

168,033,620

 

Liabilities in Excess of Other Assets — (15.7%)

     

 

(22,742,872

)

TOTAL NET ASSETS — 100.0%

     

$

145,290,748

 

*    Non-income producing security.

(a)      All or a portion of this security is pledged as collateral for borrowings. As of November 30, 2023, the aggregate value of those securities was $77,120,228, representing 53.1% of net assets.

5

Saba Closed-End Funds ETF

SCHEDULE OF INVESTMENTS (Concluded)

 

November 30, 2023  

  

FUTURES CONTRACTS

 

Expiration
Date

 

Number of
Contracts

 

Notional
Value

 

Value

 

Unrealized
Appreciation
(Depreciation)

Bond Futures (Short Position)

         

 

   

 

   

 

 

CBOT 10-Year U.S. Treasury Note

 

March 2024

 

(44)

 

$

(4,786,307)

 

$

(4,831,063)

 

$

(44,756)

CBOT 5-Year U.S. Treasury Note

 

March 2024

 

(414)

 

 

(43,911,673)

 

 

(44,236,547)

 

 

(324,874)

TOTAL FUTURES CONTRACTS

         

$

(48,697,980)

 

$

(49,067,610)

 

$

(369,630)

6

Saba Closed-End Funds ETF

SUMMARY OF INVESTMENTS

 

November 30, 2023  

  

Security Type/Sector

 

Percent of
Total Net
Assets

Closed-End Funds

   

 

Equity

 

46.5

%

Fixed Income

 

55.1

%

Hybrid

 

14.1

%

Total Closed-End Funds

 

115.7

%

Total Investments

 

115.7

%

Liabilities in Excess of Other Assets

 

(15.7

)%

Total Net Assets

 

100.0

%

7

EXCHANGE LISTED FUNDS TRUST

STATEMENT OF ASSETS AND LIABILITIES

 

November 30, 2023  

  

 

 

Saba Closed-End
Funds ETF

Assets:

 

 

 

Investments, at value

 

$

168,033,620

Deposit at broker for futures contracts

 

 

700,205

Dividends receivable

 

 

500,602

Investment securities sold receivable

 

 

488,445

Variation margin on futures contracts

 

 

168,234

Due from broker

 

 

6,997

Total Assets

 

 

169,898,103

Liabilities:

 

 

 

Due to custodian

 

 

5,001

Advisory fee payable

 

 

121,790

Credit Facility payable

 

 

22,405,446

Investment securities purchased payable

 

 

2,075,118

Total Liabilities

 

 

24,607,355

Net Assets

 

$

145,290,748

Net Assets Consist of:

 

 

 

Paid-in capital

 

$

139,424,650

Distributable earnings (loss)

 

 

5,866,098

Net Assets

 

$

145,290,748

Shares of Beneficial Interest Outstanding
(unlimited number of shares authorized, no par value)

 

 

7,850,001

Net Asset Value, Offering and Redemption Price Per Share

 

$

18.51

Investments, at cost

 

$

161,655,888

8

EXCHANGE LISTED FUNDS TRUST

STATEMENT OF OPERATIONS

 

  

 

Saba Closed-End
Funds ETF

 

 

Year Ended
November 30,
2023

Investment Income:

 

 

 

 

Dividends

 

$

5,637,547

 

Total Investment Income

 

 

5,637,547

 

Expenses:

 

 

 

 

Advisory fees

 

 

1,199,849

 

Interest expense:

 

 

 

 

Line of credit

 

 

1,510,853

 

Total Expenses

 

 

2,710,702

 

Net Investment Income (Loss)

 

 

2,926,845

 

Realized and Unrealized Gain (Loss)

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

Investments

 

 

(2,339,810

)

Futures

 

 

2,218,526

 

Capital gain distributions from underlying funds

 

 

1,424,786

 

Net realized gain (loss)

 

 

1,303,502

 

Net change in unrealized appreciation (depreciation) on:

 

 

 

 

Investments

 

 

10,445,043

 

Futures

 

 

(289,694

)

Net change in unrealized appreciation (depreciation)

 

 

10,155,349

 

Net realized and unrealized gain (loss)

 

 

11,458,851

 

Net Increase (Decrease) in Net Assets Resulting from Operations

 

$

14,385,696

 

9

EXCHANGE LISTED FUNDS TRUST

STATEMENTS OF CHANGES IN NET ASSETS

   
 

Saba Closed-End Funds ETF

 

 

Year Ended
November 30,
2023

 

Year Ended
November 30,
2022

From Investment Activities:

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

Net investment income (loss)

 

$

2,926,845

 

 

$

3,108,271

 

Net realized gain (loss)

 

 

1,303,502

 

 

 

3,618,847

 

Change in net unrealized appreciation (depreciation)

 

 

10,155,349

 

 

 

(8,118,453

)

Net Increase (Decrease) in Net Assets Resulting from Operations

 

 

14,385,696

 

 

 

(1,391,335

)

Distributions to Shareholders:

 

 

 

 

 

 

 

 

Distributions

 

 

(4,325,763

)

 

 

(9,532,754

)

Return of capital

 

 

(7,391,723

)

 

 

(596,570

)

Total Distributions to Shareholders

 

 

(11,717,486

)

 

 

(10,129,324

)

Capital Share Transactions:

 

 

 

 

 

 

 

 

Proceeds from shares issued

 

 

49,483,528

 

 

 

27,047,662

 

Cost of shares redeemed

 

 

 

 

 

(8,126,550

)

Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions

 

 

49,483,528

 

 

 

18,921,112

 

Total Increase (Decrease) in Net Assets

 

 

52,151,738

 

 

 

7,400,453

 

Net Assets:

 

 

 

 

 

 

 

 

Beginning of period

 

 

93,139,010

 

 

 

85,738,557

 

End of period

 

$

145,290,748

 

 

$

93,139,010

 

Change in Shares Outstanding:

 

 

 

 

 

 

 

 

Shares outstanding, beginning of period

 

 

5,100,001

 

 

 

4,100,001

 

Shares issued

 

 

2,750,000

 

 

 

1,450,000

 

Shares redeemed

 

 

 

 

 

(450,000

)

Shares outstanding, end of period

 

 

7,850,001

 

 

 

5,100,001

 

10

EXCHANGE LISTED FUNDS TRUST

Statement of Cash Flows

 

November 30, 2023