Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments
  January 31, 2024

 

   Principal Amount   Fair Value 

CORPORATE BONDS - 6.78%

        
Communications - 4.85%        
AMC Entertainment Holdings Inc, 7.50%, 02/15/2029  $3,110,000   $2,005,950 
Clear Channel Outdoor Holdings Inc, 7.75%, 04/15/2028   5,000,000    4,337,500 
CommScope Inc, 8.25%, 03/01/2027   1,079,000    512,525 
Level 3 Financing Inc, 10.50%, 05/15/2030   5,000,000    4,975,000 
         11,830,975 
Consumer, Non-cyclical - 1.90%          
Community Health Systems Inc, 5.625%, 03/15/2027   5,000,000    4,625,000 
         4,625,000 
Real Estate - 0.02%          
China Evergrande Group, 8.750%, 06/28/2025(b)(d)   5,000,000    56,250 
         56,250 
           
TOTAL CORPORATE BONDS        16,512,225 
(Cost $16,550,577)          

 

   Principal Amount   Fair Value 
SENIOR LOANS - 3.23%        
Consumer Discretionary - 1.34%        
R.R. Donnelley & Sons Company, First Lien Term B Loan, TSR1M + 7.250%, 03/17/2028(a)   497,491    500,213 
ClubCorp Holdings Inc, Term Loan, 1M SOFR + 5%, 09/18/2026   2,799,000    2,769,610 
         3,269,823 
Consumer, Non-cyclical - 1.28%          
Revlon Intermediate Holdings IV LLC, Term Loan, 1M SOFR + 6.875%, 05/02/2028   3,111,000    3,126,555 
           
Industrials - 0.61%          
Moran Foods 1st Lien A&R 2023 FLSO PIK Term Loan, TSFR3M + 7.250%, 12/31/2026   1,555,000    1,480,251 
         1,480,251 
           
TOTAL SENIOR LOANS        7,876,629 
(Cost $7,879,738)          

 

   Principal Amount   Fair Value 
MORTGAGE-BACKED SECURITIES - 0.54%        
Federal National Mortgage Association (FNMA) - 0.54%        
FNMA, 3.000%, 05/25/2051   6,992,530    1,315,017 
           
TOTAL MORTGAGE-BACKED SECURITIES        1,315,017 
(Cost $1,309,126)          

 

Annual Report | January 31, 2024 19

 

 

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments
  January 31, 2024

 

   Shares   Fair Value 
COMMON STOCK - 1.48%        
Communication Services - 1.23%        
Arbe Robotics, Ltd.(e)   371,004   $3,005,132 
         3,005,132 
Consumer Discretionary - 0.25%          
Polestar Automotive Holding UK PLC   275,437    597,698 
         597,698 
Consumer Staples - 0.00%(c)          
Moran Foods LLC(f)   3,699,885    - 
         - 
           
TOTAL COMMON STOCK        3,602,830 
(Cost $3,717,004)          

 

   Shares   Fair Value 
CLOSED END FUNDS - 12.38%        
Alternative - 1.30%        
Blackrock ESG Capital Allocation Trust   121,074    1,985,614 
Platinum Asia Investments Ltd   2,272,361    1,185,175 
         3,170,789 
           
Equity - 7.68%          
Aberdeen Global Dynamic Dividend Fund   14,535    133,867 
abrdn Standard Global Infrastructure Income Fund   50,927    883,583 
abrdn Standard Global Infrastructure Income Fund   16,258    128,763 
Adams Diversified Equity Fund, Inc.   96,976    1,761,084 
Adams Natural Resources Fund Inc.   37,130    760,051 
BlackRock Enhanced Global Dividend Trust   3,737    37,258 
BlackRock Enhanced International Dividend Trust   23,807    125,701 
BlackRock Resources & Commodities Strategy Trust   17,497    149,074 
BlackRock Science & Technology Trust II   146,440    2,488,016 
Gabelli Dividend & Income Trust   59,672    1,282,948 
Gabelli Healthcare & WellnessRx Trust   23,912    226,447 
GAMCO Natural Resources Gold & Income Trust   3,582    17,731 
iShares Russell 2000 ETF   4,565    880,497 
Lazard Global Total Return and Income Fund Inc   5,169    79,344 
MainStay CBRE Global Infrastructure Megatrends Term Fund   60,263    779,201 
Platinum Capital, Ltd.   80,386    68,295 
Nuveen Real Asset Income and Growth Fund   50,741    594,177 
Tekla Healthcare Investors(e)   68,181    1,167,941 
Tekla Life Sciences Investors(e)   128,601    1,764,406 
Tortoise Energy Infrastructure Fund, Inc.   15,834    458,711 
Tortoise Midstream Energy Fund, Inc.   21,652    753,057 
Tortoise Pipeline & Energy Fund, Inc.   3,607    103,809 
Tortoise Energy Independence Fund, Inc.   17,699    510,908 
WAM Global Ltd   617,825    818,757 
Hearts and Minds Investments, Ltd.   1,524,301    2,630,053 
Pengana International Equities, Ltd.   168,532    123,834 
         18,727,513 

 

 
20

 

 

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments
  January 31, 2024

 

   Shares   Fair Value 
Fixed Income - 3.08%        
AllianceBernstein National Municipal Income Fund   79,712   $864,078 
BNY Mellon Municipal Income, Inc.   20,133    131,468 
BNY Mellon Strategic Municipals Inc.   40,417    239,673 
BlackRock New York Municipal Income Trust   26,865    283,157 
BlackRock MuniHoldings New York Quality Fund, Inc.   1,007    10,684 
BNY Mellon Strategic Municipal Bond Fund, Inc.   7,596    43,221 
DWS Strategic Municipal Income Trust   15,370    136,639 
Eaton Vance New York Municipal Bond Fund   19,040    186,402 
Ellsworth Growth and Income Fund, Ltd.   5,295    41,883 
Ellsworth Growth and Income Fund, Ltd.   1,643    17,301 
Invesco Trust for Investment Grade New York Municipals   41,156    434,607 
Invesco Pennsylvania Value Municipal Income Trust   28,614    289,574 
Invesco Quality Municipal Income Trust   17    162 
New America High Income Fund, Inc.   43,258    317,081 
Nuveen Massachusetts Quality Municipal Income Fund   15,761    168,012 
Nuveen Missouri Quality Municipal Income Fund   2,044    20,747 
Nuveen Arizona Quality Municipal Income Fund   12,018    130,636 
Nuveen AMT-Free Quality Municipal Income Fund   57,098    629,791 
Nuveen California Quality Municipal Income Fund   41,372    456,747 
Nuveen New Jersey Quality Municipal Income Fund   43,385    518,451 
Nuveen Variable Rate Preferred and Income Fund   78,075    1,346,794 
Nuveen Pennsylvania Quality Municipal Income Fund   83,280    974,376 
Pioneer Municipal High Income Opportunities Fund, Inc.   4,798    51,387 
Pioneer Municipal High Income Advantage Fund, Inc.   326    2,588 
Pioneer Municipal High Income Fund, Inc.   24,447    210,733 
         7,506,192 
Mixed Allocation - 0.32%          
Calamos Long/Short Equity & Dynamic Income Trust   51,283    769,245 
         769,245 
           
TOTAL CLOSED END FUNDS        30,173,739 
(Cost $29,928,644)          

 

   Fair Value 
PRIVATE FUND - 9.85%    
Stone Ridge Opportunities Fund Feeder LP(e)   24,000,000 
      
TOTAL PRIVATE FUND   24,000,000 
(Cost $24,000,000)     

 

   Contracts   Fair Value 
OPTIONS - 1.02%        
Call Option Contracts - 1.02%        
Alibaba Group Holding Ltd, Expires 03/15/24, Strike Pirce $75.00   4,037    1,271,655 
iShares Russell 2000 ETF, Expires 04/19/24, Strike Price $2.02   159    68,688 
iShares Russell 2000 ETF, Expires 04/19/24, Strike Price $2.03   1,180    472,000 
iShares Russell 2000 ETF, Expires 04/19/24, Strike Price $2.04   342    129,276 
iShares Russell 2000 ETF, Expires 04/19/24, Strike Price $2.05   799    264,469 
iShares Russell 2000 ETF, Expires 04/19/24, Strike Price $2.06   300    91,800 
iShares Russell 2000 ETF, Expires 04/19/24, Strike Price $2.08   40    178,160 
           
TOTAL OPTIONS        2,476,048 
(Premiums paid $2,420,930)          

 

Annual Report | January 31, 2024 21

 

 

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments
  January 31, 2024

 

   Shares   Fair Value 
SHORT TERM INVESTMENTS - 61.79%        
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield 5.19%   150,593,502    150,593,502 
           
TOTAL SHORT TERM INVESTMENTS        150,593,502 
(Cost $150,593,502)          
Total Investments in securities - 97.06%        236,549,990 
(Cost $236,399,521)          
Other Assets in Excess of Liabilities - 2.94%        7,155,671 
NET ASSETS - 100.00%       $243,705,661 

 

Amounts above are shown as a percentage of net assets as of January 31, 2024.

 

SCHEDULE OF SECURITIES SOLD SHORT

 

   Contracts   Fair Value 
OPTIONS - (0.08%)        
Call Option Contracts - (0.08%)          
Alibaba Group Holding Ltd, Expires 03/15/24, Strike Pirce $90.00   (4,037)   (201,850)
           
TOTAL OPTIONS        (201,850)
(Premiumns paid $213,851)          
Total Securities Sold Short - (0.08%)        (201,850)
(Premiumns paid $213,851)          

 

(a)Security exempt from registration under Rule 144A of the Securities Act of 1933 (the "Securities Act"). Total market value of Rule 144A securities amounts to $500,213, which represented approximately 0.21% of net assets as of January 31, 2024. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(b)Security is in default as of year-end and is therefore non-income producing.
(c)Amount represents less than 0.005% of net assets.
(d)Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of January 31, 2024, the aggregate market value of those securities was $56,250, which represents approximately 0.02% of net assets.
(e)Non-income producing security.
(f)On January 31, 2024 the value of these investments amounted to $0, representing 0.0% of the net assets of the Fund.

 

Investment Abbreviations:

ESTRON - Euro Short-Term Rate

LIBOR - London Interbank Offered Rate

OBFR - United States Overnight Bank Funding Rate

RBACOR - RBA Interbank Overnight Cash Rate

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Over Night Index Average

 

Reference Rates:

ESTRON - Euro Short-Term Rate as of January 31, 2024 was 3.89%

OBFR - United States Overnight Bank Funding Rate as of January 31, 2024 was 5.32%

RBACOR - RBA Interbank Overnight Cash Rate as of January 31, 2024 was 4.32%

SOFR - Secured Overnight Financing Rate as of January 31, 2024 was 5.32%

 

22

 

 

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments
  January 31, 2024

 

TSFR1M - CME Term SOFR 1 Month as of January 31, 2024 was 5.33%.

TSFR3M - CME Term SOFR 3 Month as of January 31, 2024 was 5.32%

SONIA- Sterling Overnight Index Average as of January 31, 2024 was 5.20%

PRIME - US Prime Rate as of January 31, 2024 was 8.5%

 

Counterparty Abbreviations:

JPM - JPMorgan Chase Bank, N.A.

GSI - Goldman Sachs International

MSCS - Morgan Stanley Capital Services

BARC - Barclays Bank PLC

MSCO – Morgan Stanley & Company

 

FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty 

Settlement

Date

 

Fund

Receiving

  Value  

Fund

Delivering

  Cost  

Unrealized

Appreciation

JPM  2/8/2024  USD  $5,312,109   AUD  $5,282,227 $ 29,883
                    $ 29,883

 

FORWARD FOREIGN CURRENCY CONTRACTS

 

Counterparty 

Settlement

Date

 

Fund

Receiving

  Value  

Fund

Delivering

   Cost  

Unrealized

Depreciation

 
JPM  2/8/2024   AUD  $1,968,155    USD   $1,978,710   $(10,555)
                         $(10,555)
                          $19,327 

 

FUTURES CONTRACTS

 

Description 

Number of

Contracts

 

Maturity

Date

 

Notional

Amount

 

Unrealized

Appreciation/

(Depreciation)

 
Short Position Contracts              
E-Mini Russ 2000 Mar24  (18)  3/15/2024  1,763,922   (3,612)
            $(3,612)
            $(3,612)

 

INDEX CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)

 

Buy/Sell
Protection(a)		  Reference Obligations 

Annual

Payment

Rate

Received (Paid)

   Currency   Maturity
Date		 

Notional

Amount(b)

   Value  

Upfront

Premiums

Received/(Paid)

  

Unrealized

Appreciation/

(Depreciation)

 
Buy  Markit CDX High Yield Index, Series 41   (5.00)%   USD   12/20/2028   83,569,860   $(5,210,346)  $4,870,980   $(339,366)
                        $(5,210,346)  $4,870,980   $(339,366)

 

Annual Report | January 31, 2024 23

 

 

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments
  January 31, 2024

  

SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (OVER THE COUNTER)

 

Buy/Sell

Protection(a)

  Reference Obligations 

Annual

Payment

Rate

Received

(Paid)

  Currency 

Maturity

Date

 

Notional

Amount(b)

  Value 

Upfront

Premiums

Received/(Paid)

 

Unrealized

Appreciation/

(Depreciation)

Sell  British American Tobacco p.l.c.  1.00%  EUR  12/20/2028  5,000,000  $84,097  $(29,940)  $54,157
Buy  CommScope, Inc.   5.00%  USD  6/20/2027   1,079,000   475,549   (453,180)   22,369
                    $559,646  $(483,120)  $76,526

 

(a)If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(b)The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. Notional amounts are presented in the currency indicated in the table.

 

TOTAL RETURN SWAP CONTRACTS(a)

 

Counterparty  Reference Obligations  Currency 

Notional

Amount(b)

 

Termination

Date

 

Financing

Rate Index

 

Financing

Rate Spread

Paid/(Received)

by Fund

  Value 

Unrealized

Appreciation/

(Depreciation)

JPM  Aberdeen Diversified Income and Growth Trust  GBP   1,625,997   10/31/2024  SONIA  40 bps  $1,633,999   $8,002 
JPM  Abrdn UK Smaller Cos Growth Trust PLC  GBP   74,218   10/31/2024  SONIA  40 bps   74,002    (216)
JPM  Baillie Gifford US Growth Trust PLC  GBP   8,560,691   10/31/2024  SONIA  40 bps   8,581,497    20,806 
JPM  Bellevue Healthcare Trust PLC  GBP   3,341,026   10/31/2024  SONIA  35 bps   3,363,300    22,274 
JPM  Brown Advisory US Smaller Companies PLC  GBP   691,210   10/31/2024  SONIA  40 bps   696,593    5,383 
JPM  CQS Natural Resources Growth and Income PLC  GBP   599,537   10/31/2024  SONIA  40 bps   599,456    (81)
JPM  Edinburgh Worldwide Investment Trust PLC  GBP   780,140   10/31/2024  SONIA  40 bps   766,760    (13,380)
JPM  European Opportunities Trust PLC  GBP   2,863,158   10/31/2024  SONIA  35 bps   2,824,026    (39,132)
JPM  European Smaller Companies  GBP   4,265,398   10/31/2024  SONIA  40 bps   4,278,812    13,414 
JPM  The Global Smaller Companies Trust PLC  GBP   17,115   10/31/2024  SONIA  35 bps  $17,161   $46 
JPM  Henderson Opportunities Trust PLC  GBP   277,159   10/31/2024  SONIA  40 bps   276,327    (832)
JPM  Herald Investment Trust PLC  GBP   2,363,853   10/31/2024  SONIA  40 bps   2,387,999    24,146 
JPM  Hipgnosis Songs Fund Ltd  GBP   1,941,944   10/31/2024  SONIA  40 bps   1,906,034    (35,910)
JPM  Middlefield Canadian Income PC  GBP   403,844   10/31/2024  SONIA  40 bps   406,873    3,029 
JPM  Montanaro European Smaller Companies Trust PLC  GBP   14,224   10/31/2024  SONIA  35 bps   14,355    131 
JPM  River & Mercantile UK Micro Cap Inv Co Ltd  GBP   55,707   10/31/2024  SONIA  40 bps   54,919    (788)
JPM  Smithson Investment Trust PLC  GBP   526,888   10/31/2024  SONIA  35 bps   528,775    1,887 
                       $28,410,888   $8,779 

 

All Reference Obligations shown above for Total Return Swap Contracts are closed end funds and common stock.

 

(a)The Fund receives monthly payments based on any positive monthly return of the Reference Obligation. The Fund makes payments on any negative monthly return of such Reference Obligation
(b)Notional amounts are presented in USD equivalent.

 

24

 

 

Saba Capital Income & Opportunities Fund

 Notes to Consolidated Financial Statements
  January 31, 2024

 

The following table summarizes the valuation of the Fund’s financial instruments in accordance with the above fair value hierarchy levels as of January 31, 2024. Refer to the portfolio of investments for additional details.

 

Investments in Securities at fair value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Corporate Bonds  $-   $16,512,225   $-   $16,512,225 
Senior Loans   -    7,876,629    -    7,876,629 
Mortgage-Backed Securities   -    1,315,017    -    1,315,017 
Common Stock   3,602,830    -    -    3,602,830 
Closed End Funds   30,173,739    -    -    30,173,739 
Private Fund*   -    -    -    24,000,000 
Options   2,476,048    -    -    2,476,048 
Short Term Investments   150,593,502    -    -    150,593,502 
Total  $186,846,119   $25,703,871   $-   $236,549,990 

 

Securities sold short, at fair value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Options   201,850    -    -    201,850 
Total  $-   $-   $-   $- 

  

Derivative contracts, at fair value  Level 1 - Quoted Prices   Level 2 - Significant
Observable Inputs		   Level 3 - Significant
Unobservable Inputs		   Total 
Assets                    
Forward Foreign Currency Contracts  $-   $29,883   $-   $29,883 
Over the Counter Credit Default Swaps   -    559,646    -    559,646 
Total Return Swaps   -    99,118    -    99,118 
Total Assets  $-   $688,647   $-   $688,647 
                     
Liabilities                    
Forward foreign currency contracts  $-   $10,555   $-   $10,555 
Futures Contracts   3,612    -    -    3,612 
Centrally Cleared Credit Default Swaps   -    5,210,346    -    5,210,346 
Total Return Swaps   -    90,339    -    90,339 
Total Assets  $3,612   $5,311,240   $-   $5,314,852 

 

*In accordance with ASC 820-10, investments that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Schedule of Investments and Consolidated Statement of Assets and Liabilities.

 

 

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