EXCHANGE LISTED FUNDS TRUST

Saba Closed-End Funds ETF (CEFS)

Annual Report

November 30, 2021

 

Exchange Listed Funds Trust
TABLE OF CONTENTS

 

November 30, 2021  

Saba Closed-End Funds ETF

   

Management’s Discussion of Fund Performance

 

1

Schedule of Investments

 

3

Summary of Investments

 

5

Statement of Assets and Liabilities

 

6

Statement of Operations

 

7

Statements of Changes in Net Assets

 

8

Financial Highlights

 

9

Notes to Financial Statements

 

10

Report of Independent Registered Public Accounting Firm

 

21

Disclosure of Fund Expenses

 

22

Other Information

 

23

Trustees

 

24

Officers

 

25

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, 2021  

(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 Fund for the fiscal year ended November 30, 2021.

The Fund is an actively managed exchange-traded fund (“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 and high yield opportunities and trade at a discount to net asset value. The Fund also seeks to hedge the portfolio’s exposure to rising interest rates by engaging in short sales of U.S. Treasury securities and ETFs that seek to track the performance of bond indices or by entering into various types of derivatives transactions including futures contracts, swaps (including total return swaps), and options (including swaptions).

The Fund’s performance during the fiscal year was positively impacted by substantial discount tightening (i.e., the narrowing of the discount between the market price and net asset value) in several Underlying Funds. The Fund also benefited from market conditions as risk assets such as equities and high-yield bonds performed well over the period, resulting in net asset value appreciation across many closed-end funds. Furthermore, the Fund’s short position in 5-Year U.S. Treasury Note futures had a positive impact on the Fund as interest rates rose, accounting for 4.6% of the Fund’s net realized and unrealized capital gains.

For the fiscal year ended November 30, 2021, the Fund’s market price increased 17.47%, and the net asset value increased 17.09%, while two broad market high yield indices, the iBoxx USD Liquid High Yield Index and the Bloomberg U.S. Corporate High Yield Index, returned 4.03% and 5.29%, respectively. The S&P 500® Index, a broad equity market index, returned 27.92% over the same period.

The Fund began operations on March 20, 2017, and had 4,100,001 shares outstanding as of November 30, 2021. We appreciate your investment in the Saba Closed-End Funds ETF.

Sincerely,

J. Garrett Stevens,
Chief Executive Officer
Exchange Traded Concepts, LLC, Advisor to the Fund

1

Saba Closed-End Funds ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Concluded)

 

November 30, 2021  

(Unaudited)  

Growth of a $10,000 Investment

(at net asset value)

 

 

Average Annual Return
as of 11/30/2021

 

Inception Date
of the Fund

One Year

Three Year

Since
Inception

Expense Ratio*

Gross

Net

Saba Closed-End Funds ETF (Net Asset Value)

3/20/2017

17.09%

13.36%

10.03%

3.80%

3.80%

Saba Closed-End Funds ETF (Market Price)

 

17.47%

13.58%

10.25%

   

S&P 500® Index

 

27.92%

20.38%

17.08%

   

*    The expense ratios in this table reflect the total annual fund operating expenses as presented in the Fund’s Prospectus dated April 1, 2021. The 3.80% is inclusive of the Management Fee of 1.10%, Other Expenses (including interest expense) of 0.15% and Acquired Fund Fees and Expenses of 2.55%. 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 Underlying Funds.

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).

Net asset value (“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. Calculated at the end of each business day.

2

Saba Closed-End Funds ETF

SCHEDULE OF INVESTMENTS

 

November 30, 2021  

 

Number of
Shares

 

Value

CLOSED-END FUNDS — 83.6%

       

EQUITY — 25.5%

     

 

 

Center Coast Brookfield MLP & Energy Infrastructure Fund

 

146,840

 

$

2,108,622

ClearBridge Energy Midstream Opportunity Fund, Inc.

 

95

 

 

2,057

Cushing MLP & Infrastructure Total Return Fund (The)

 

65,283

 

 

2,067,513

Cushing NextGen Infrastructure Income Fund (The)

 

60,013

 

 

2,701,785

India Fund, Inc. (The)

 

222,245

 

 

4,898,280

New Ireland Fund, Inc. (The)*

 

25,666

 

 

316,205

Principal Real Estate Income Fund

 

64,511

 

 

977,342

Salient Midstream & MLP Fund

 

529,901

 

 

3,375,469

Taiwan Fund, Inc. (The)

 

7,209

 

 

270,482

Templeton Emerging Markets Fund

 

3,479

 

 

57,995

Tortoise Energy Independence Fund, Inc.

 

18,737

 

 

416,711

Tortoise Energy Infrastructure Corp.

 

3,805

 

 

103,762

Tortoise Midstream Energy Fund, Inc.

 

4,736

 

 

143,548

Voya Asia Pacific High Dividend Equity Income Fund

 

6,323

 

 

51,153

Voya Emerging Markets High Income Dividend Equity Fund

 

273,872

 

 

1,969,140

Voya Global Advantage and Premium Opportunity Fund

 

49,534

 

 

498,807

Voya Global Equity Dividend and Premium Opportunity Fund

 

312,271

 

 

1,873,626

       

 

21,832,497

FIXED INCOME — 48.2%

     

 

 

Apollo Tactical Income Fund, Inc.

 

62,649

 

 

972,939

Blackstone Strategic Credit Fund

 

466,450

 

 

6,390,365

BrandywineGLOBAL Global Income Opportunities Fund, Inc.

 

76,142

 

 

893,907

Delaware Investments Minnesota Municipal Income Fund II, Inc.

 

60,112

 

 

822,332

Delaware Ivy High Income Opportunities Fund

 

495,355

 

 

6,766,549

Eaton Vance Floating-Rate Income Plus Fund*(a)

 

47,490

 

 

3,761

Invesco Pennsylvania Value Municipal Income Trust

 

50,114

 

 

681,049

Invesco Senior Income Trust(b)

 

3,331,344

 

 

14,891,108

 

Number of
Shares

 

Value

CLOSED-END FUNDS (Continued)

       

Morgan Stanley Emerging Markets Debt Fund, Inc.(c)

 

309,270

 

$

2,777,245

Nuveen New York AMT-Free Quality Municipal Income Fund

 

78,142

 

 

1,079,923

Nuveen Ohio Quality Municipal Income Fund

 

31,776

 

 

508,416

PGIM Global High Yield Fund, Inc.(c)

 

116,593

 

 

1,751,227

PIMCO Energy & Tactical Credit Opportunities Fund

 

5,372

 

 

69,997

Templeton Global Income Fund

 

92,994

 

 

499,378

Tortoise Power and Energy Infrastructure Fund, Inc.

 

199

 

 

2,571

Vertical Capital Income Fund

 

68,829

 

 

711,692

Virtus AllianzGI Convertible & Income Fund II

 

482,190

 

 

2,459,169

       

 

41,281,628

HYBRID — 9.9%

     

 

 

Calamos Long/Short Equity & Dynamic Income Trust

 

175,981

 

 

3,377,075

Ecofin Sustainable and Social

 

37,931

 

 

555,310

First Trust Aberdeen Emerging Opportunity Fund

 

765

 

 

10,725

Nuveen Multi-Asset Income Fund*

 

92,963

 

 

1,656,601

Special Opportunities Fund, Inc.

 

158,441

 

 

2,481,186

Virtus Dividend Interest & Premium Strategy Fund

 

28,451

 

 

445,258

       

 

8,526,155

TOTAL INVESTMENTS — 83.6%
(Cost $67,644,177)

     

 

71,640,280

Other Assets in Excess of Liabilities — 16.4%

     

 

14,098,277

TOTAL NET ASSETS — 100.0%

     

$

85,738,557

*     Non-income producing security.

(a)      Security valued at fair value by the Trust’s Valuation Committee in accordance with procedures approved by, and under the general supervision of, the Trust’s Board of Trustees. The total value of the security is $3,761 which represents approximately 0.0% of net assets as of November 30, 2021.

(b)      All or a portion of this security is pledged as collateral for any outstanding borrowings. As of November 30, 2021, the aggregate value of those securities was $5,555,607, representing 6.5% of net assets.

(c)       All or a portion of this security is segregated as collateral for any securities sold short. As of November 30, 2021, the aggregate value of those securities was $3,528,245, representing 4.1% of net assets.

3

Saba Closed-End Funds ETF

SCHEDULE OF INVESTMENTS (Concluded)

 

November 30, 2021  
  

FUTURES CONTRACTS

 

Expiration
Date

 

Number of
Contracts

 

Notional
Value

 

Value

 

Unrealized
Appreciation
(Depreciation)

Bond Futures (Short Position)

         

 

   

 

   

 

 

CBOT 5-Year U.S. Treasury Note

 

March 2022

 

(150)

 

$

(18,184,869)

 

$

(18,209,766)

 

$

(24,897)

TOTAL FUTURES CONTRACTS

         

$

(18,184,869)

 

$

(18,209,766)

 

$

(24,897)

4

Saba Closed-End Funds ETF

SUMMARY OF INVESTMENTS

 

November 30, 2021  
  

Security Type/Sector

 

Percent of
Total Net
Assets

Closed-End Funds

   

 

Equity

 

25.5

%

Fixed Income

 

48.2

%

Hybrid

 

9.9

%

Total Closed-End Funds

 

83.6

%

Total Investments

 

83.6

%

Other Assets in Excess of Liabilities

 

16.4

%

Total Net Assets

 

100.0

%

5

EXCHANGE LISTED FUNDS TRUST

STATEMENT OF ASSETS AND LIABILITIES

 

November 30, 2021  

 

 

Saba Closed-End
Funds ETF

Assets:

Investments, at value

 

$

71,640,280

Cash

 

 

10,784,294

Due from broker on short positions

 

 

1,126,304

Capital shares receivable

 

 

1,048,198

Investment securities sold

 

 

735,958

Cash held at lending agent

 

 

396,651

Deposit at broker for futures contracts

 

 

152,625

Dividends receivable

 

 

29,840

Total Assets

 

 

85,914,150

   

 

 

Liabilities:

 

 

 

Advisory fee payable

 

 

78,291

Investment securities purchased

 

 

72,117

Variation margin on futures contracts

 

 

25,185

Total Liabilities

 

 

175,593

Net Assets

 

$

85,738,557

Net Assets Consist of:

 

 

 

Paid-in capital

 

$

79,436,518

Distributable earnings (loss)

 

 

6,302,039

Net Assets

 

$

85,738,557

Net Assets

 

$

85,738,557

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

 

 

4,100,001

Net Asset Value, Offering and Redemption Price Per Share

 

$

20.91

Investments, at cost

 

$

67,644,177

6

EXCHANGE LISTED FUNDS TRUST

STATEMENT OF OPERATIONS

 

  

 

 

Saba Closed-End
Funds ETF

   

Year Ended
November 30,
2021

Investment Income:

 

 

 

 

Dividends

 

$

2,666,102

 

Total Investment Income

 

 

2,666,102

 

Expenses:

 

 

 

 

Advisory fees

 

 

787,595

 

Interest expense:

 

 

 

 

Securities sold short

 

 

59,891

 

Other accounts

 

 

292

 

Total Expenses

 

 

847,778

 

Net Investment Income (Loss)

 

 

1,818,324

 

Realized and Unrealized Gain (Loss)

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

Investments

 

 

5,966,965

 

Securities sold short

 

 

115,782

 

Futures

 

 

395,284

 

Capital gain distributions from underlying funds

 

 

332,881

 

Net realized gain (loss)

 

 

6,810,912

 

Net change in unrealized appreciation (depreciation) on:

 

 

 

 

Investments

 

 

1,719,336

 

Futures

 

 

(3,765

)

Net change in unrealized appreciation (depreciation)

 

 

1,715,571

 

Net realized and unrealized gain (loss)

 

 

8,526,483

 

Net Increase (Decrease) in Net Assets Resulting from Operations

 

$

10,344,807

 

7

EXCHANGE LISTED FUNDS TRUST

STATEMENTS OF CHANGES IN NET ASSETS

 


 

 

 

Saba Closed-End Funds ETF

 

 

Year Ended
November 30,
2021

 

Year Ended
November 30,
2020

From Investment Activities:

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

Net investment income (loss)

 

$

1,818,324

 

 

$

2,786,318

 

Net realized gain (loss)

 

 

6,810,912

 

 

 

1,388,798

 

Change in net unrealized appreciation (depreciation)

 

 

1,715,571

 

 

 

(422,488

)

Net increase (decrease) in net assets resulting from operations

 

 

10,344,807

 

 

 

3,752,628

 

Distributions to Shareholders:

 

 

 

 

 

 

 

 

Distributions

 

 

(5,831,002

)

 

 

(3,221,172

)

Return of capital

 

 

 

 

 

(1,272,830

)

Total Distributions to Shareholders

 

 

(5,831,002

)

 

 

(4,494,002

)

Capital Transactions:

 

 

 

 

 

 

 

 

Proceeds from shares issued

 

 

26,011,238

 

 

 

15,713,009

 

Cost of shares redeemed

 

 

 

 

 

(5,881,921

)

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

 

 

26,011,238

 

 

 

9,831,088

 

Total Increase (Decrease) in Net Assets

 

 

30,525,043

 

 

 

9,089,714

 

Net Assets:

 

 

 

 

 

 

 

 

Beginning of year

 

 

55,213,514

 

 

 

46,123,800

 

End of year

 

$

85,738,557

 

 

$

55,213,514

 

Change in Shares Outstanding:

 

 

 

 

 

 

 

 

Shares outstanding, beginning of year

 

 

2,850,001

 

 

 

2,300,001

 

Shares issued

 

 

1,250,000

 

 

 

900,000

 

Shares redeemed

 

 

 

 

 

(350,000

)

Shares outstanding, end of year

 

 

4,100,001

 

 

 

2,850,001

 

8

EXCHANGE LISTED FUNDS TRUST

FINANCIAL HIGHLIGHTS

   

Saba Closed-End Funds ETF
Selected Per Share Data

 





Years Ended November 30

 

For the period
March 20,
2017
(1)
through
November 30,
2017

2021

 

2020

 

2019

 

2018

 

Net Asset Value, beginning of period

 

$

19.37

 

 

$

20.05

 

 

$

18.68

 

 

$

21.18

 

 

$

19.97

 

Investment Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)(2)

 

 

0.53

 

 

 

1.05

 

 

 

1.59

 

 

 

1.21

 

 

 

0.56

 

Net realized and unrealized gain (loss)

 

 

2.69

 

 

 

(0.05

)(3)

 

 

1.51

 

 

 

(1.94

)

 

 

1.76

 

Total from investment activities

 

 

3.22

 

 

 

1.00

 

 

 

3.10

 

 

 

(0.73

)

 

 

2.32

 

Distributions to shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.59

)

 

 

(1.21

)

 

 

(1.59

)

 

 

(1.19

)

 

 

(0.66

)

Net realized gain

 

 

(0.09

)

 

 

 

 

 

 

 

 

(0.49

)

 

 

(0.45

)

Return of Capital

 

 

 

 

 

(0.47

)

 

 

(0.14

)

 

 

(0.09

)

 

 

 

Total distributions

 

 

(1.68

)

 

 

(1.68

)

 

 

(1.73

)

 

 

(1.77

)

 

 

(1.11

)

Net Asset Value, end of period

 

$

20.91

 

 

$

19.37

 

 

$

20.05

 

 

$

18.68

 

 

$

21.18

 

Total Return (%)

 

 

17.09

 

 

 

6.07

 

 

 

17.30

 

 

 

(3.83

)

 

 

11.84

 

Total Return at Market Price (%)

 

 

17.47

 

 

 

6.41

 

 

 

17.21

 

 

 

(3.74

)

 

 

12.15

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (%)(4)

 

 

1.18

 

 

 

1.25

 

 

 

2.21

 

 

 

1.20

 

 

 

1.60

(5)

Interest expense (%)

 

 

0.08

 

 

 

0.15

 

 

 

1.11

 

 

 

0.10

 

 

 

0.50

(5)

Expenses excluding interest expense (%)(4)

 

 

1.10

 

 

 

1.10

 

 

 

1.10

 

 

 

1.10

 

 

 

1.10

(5)

Net investment income (loss) (%)

 

 

2.54

 

 

 

5.71

 

 

 

8.02

 

 

 

5.96

 

 

 

3.77

(5)

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets at end of period (000’s)

 

$

85,739

 

 

$

55,214

 

 

$

46,124

 

 

$

26,152

 

 

$

21,185

 

Portfolio turnover (%)(6)

 

 

85

 

 

 

76

 

 

 

52

 

 

 

44

 

 

 

83

 

(1)   Commencement of operations.

(2)   Per share numbers have been calculated using the average shares method.

(3)   Per share net realized and unrealized gains or losses on investments is a balancing amount and may not correspond with the realized and change in aggregate unrealized gains and losses in the Fund’s securities because of the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values for the Fund.

(4)   The Fund invests in other funds and indirectly bears its proportionate shares of fees and expenses incurred by the underlying funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.

(5)   Annualized for periods less than one year.

(6)   Excludes the impact of in-kind transactions and short sales related to the processing of capital share transactions in Creation Units.

9

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS

 

November 30, 2021  

Note 1 – Organization

Exchange Listed Funds Trust (the “Trust”) was organized on April 4, 2012 as a Delaware statutory trust and is registered with the Securities and Exchange Commission (“SEC”) under the 1940 Act as an open-end management investment company. The Agreement and Declaration of Trust permits the Trust to issue an unlimited number of shares of beneficial interest (”Shares”) in one or more series representing interests in separate portfolios of securities. The Trust has registered its Shares in multiple separate series. The assets of each series in the Trust are segregated and a shareholder’s interest is limited to the fund in which Shares are held. The financial statements herein are for the Saba Closed-End Funds ETF (the “Fund”).

The Fund is an actively managed exchange-traded fund (“ETF”). Unlike index ETFs, actively managed ETFs do not seek to track the performance of a specified index. Instead, it uses an active investment strategy in seeking to meet its investment objective.

The investment objective of the Fund is to provide capital appreciation and dividend income. The Fund commenced investment operations on March 20, 2017.

Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust.

Note 2 – Basis of Presentation and Significant Accounting Policies

The following is a summary of the significant accounting policies followed by the Trust in the preparation of the financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services-Investment Companies. The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and income and expenses during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Fund ultimately realizes upon sale of the securities.

(a) Valuation of Investments

The Fund records investments at fair value using procedures approved by the Board and are generally valued using market valuations (Market Approach). A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer) or (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer). A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. Futures contracts traded on an exchange are valued based on the last sale price on an exchange on the valuation date. If there are no sales on that day, the futures contracts will be valued at the mean between the last reported bid and ask quotation. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at the current market rates on the date of valuation as quoted by one or more sources.

In the event that current market valuations are not readily available or such valuations do not reflect current fair market value, the Trust’s procedures require the Trust’s Valuation Committee, in accordance with the Trust’s Board-approved valuation guidelines, to determine a security’s fair value. In determining such value, the Valuation Committee may consider, among other things, (i) price comparisons among multiple sources, (ii) a review of corporate actions and news events, and (iii) a review of relevant financial indicators (e.g., movement in interest rates or market indices). Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be realized upon the sale of the security. With respect to securities that are primarily listed on foreign exchanges, the value of the Fund’s portfolio securities may change on days when the investors will not be able to purchase or sell their Shares.

10

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

November 30, 2021  

The Fund discloses the fair value of its investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Fund (observable inputs) and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:

•   Level 1 – Quoted prices in active markets for identical assets

•   Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•   Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Pursuant to the valuation procedures noted previously, equity securities, exchange traded futures contracts, and short-term investments are generally categorized as Level 1 in the fair value hierarchy (unless there is a fair valuation event, in which case affected securities are generally categorized as Level 2 or Level 3).

The following is a summary of the valuations as of November 30, 2021 for the Fund based upon the three levels defined above:

Saba Closed-End Funds ETF

 

Level 1

 

Level 2

 

Level 3

 

Total

Investments

 

 

   

 

   

 

   

 

 

Closed-End Funds(a)

 

$

71,636,519

 

$

3,761

 

$

 

$

71,640,280

Total Investments

 

 

71,636,519

 

 

3,761

 

 

 

 

71,640,280

Other Financial Instruments(b)