Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)

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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