SABA Saba Capital Income and Opportunities Fund II

 

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

		Principal Amount				Fair Value
CORPORATE BONDS - 10.41%
Communications - 4.45%
Altice France Holding SA, 5.500%, 10/15/2029		$	1,472,000			$	1,039,600
Clear Channel Outdoor Holdings Inc., 7.750%, 04/15/2028			2,000,000				1,780,000
CommScope Inc., 8.250%, 03/01/2027			348,000				241,425
CSC Holdings LLC, 3.375%, 02/15/2031			270,000				180,900
DISH Network Corp, 11.750%, 11/15/2027			1,430,000				1,432,681
Gray Television Inc., 7.000%, 05/15/2027			1,662,000				1,614,218
Level 3 Financing Inc., 10.500%, 05/15/2030			3,888,000				4,019,220
Level 3 Financing Inc., 3.875%, 10/15/2030			1,556,800				1,002,190
							11,310,234
Consumer Discretionary - 3.41%
R.R. Donnelley & Sons Company, 9.500%, 08/01/2029			5,166,000				5,217,660
R.R. Donnelley & Sons Company, 10.975%, 08/01/2029			3,444,000				3,461,220
							8,678,880
Consumer, Non-cyclical - 1.89%
Community Health Systems Inc., 5.625%, 03/15/2027			5,000,000				4,806,250
							4,806,250
Real Estate - 0.66%
China Evergrande Group, 8.250%, 03/23/2022(a)(b)			4,605,000				115,294
China Evergrande Group, 9.500%, 04/11/2022(a)(b)			4,148,000				67,405
China Evergrande Group, 11.500%, 01/22/2023(a)(b)			4,400,000				71,500
China Evergrande Group, 10.000%, 04/11/2023(a)(b)			7,339,000				119,259
China Evergrande Group, 7.500%, 06/28/2023(a)(b)			8,818,000				143,292
China Evergrande Group, 12.000%, 01/22/2024(a)(b)			1,823,000				29,624
China Evergrande Group, 9.500%, 03/29/2024(a)(b)			3,046,000				49,498
China Evergrande Group, 10.500%, 04/11/2024(a)(b)			3,090,000				54,724
China Evergrande Group, 8.750%, 06/28/2025(a)(b)			55,575,000				1,022,580
							1,673,176
TOTAL CORPORATE BONDS							26,468,540
(Cost $25,312,826)

		Principal Amount				Fair Value
SENIOR LOANS - 5.65%
Consumer Discretionary - 2.66%
Chinos Intermediate 2 LLC, Term Loan, TSFR3M + 8.000%, 09/10/2027			6,558,055				6,637,702
The GEO Group, Inc., Term B Loan, TSFR1M + 5.250%, 04/18/2029			120,475				123,035
							6,760,737
Consumer, Non-cyclical - 2.40%
Revlon Intermediate Holdings IV LLC, Term Loan, TSFR1M + 6.875%, 05/02/2028			6,111,000				6,098,778
							6,098,778
Industrials - 0.59%
Multi-Color Corp, Term Loan, TSFR1M + 5.000%, 10/29/2028			1,547,066				1,504,197
							1,504,197
TOTAL SENIOR LOANS							14,363,712
(Cost $14,414,772)

 

Quarterly Report | July 31, 2024

1

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

		Principal Amount				Fair Value
CONVERTIBLE CORPORATE BOND - 0.03%
Communications - 0.03%
Altice France Holding SA, 8.000%, 05/15/2027		$	237,000			$	87,351
TOTAL CONVERTIBLE CORPORATE BOND							87,351
(Cost $95,903)
		Principal Amount				Fair Value
SOVEREIGN DEBT OBLIGATION - 0.34%
Sovereign - 0.34%
Lebanese Republic International Bond, 6.150%, 06/19/2020(a)			12,024,000				871,740
TOTAL SOVEREIGN DEBT OBLIGATION							871,740
(Cost $766,530)

		Principal Amount				Fair Value
MORTGAGE-BACKED SECURITY - 0.51%
Federal National Mortgage Association (FNMA) - 0.51%
FNMA, Series 23-52, Class IO, 3.000%, 05/25/2051			6,768,459				1,300,412
TOTAL MORTGAGE-BACKED SECURITY							1,300,412
(Cost $1,265,559)

		Shares				Fair Value
COMMON STOCK - 4.52%
Communications - 2.13%
Baidu Inc.			9,425				834,772
Bumble Inc.			160,500				1,499,070
Weibo Corp			397,088				3,065,519
							5,399,361
Consumer Discretionary - 0.24%
Arbe Robotics, Ltd.(c)			58,876				124,817
Pinduoduo Inc.			2,040				262,936
Polestar Automotive Holding UK PLC			275,435				202,527
							590,280
Financials - 0.97%
Cannae Holdings Inc			116,766				2,348,164
Compass Diversified Holdings			5,036				121,166
							2,469,330
Health Care - 0.11%
Arbutus Biopharma Corp			77,511				292,216
							292,216
Industrials - 0.06%
The GEO Group, Inc.(c)			11,259				163,256
							163,256
Real Estate - 0.69%
Star Holdings(c)			130,599				1,756,557
Technology - 0.32%
CommScope Holding Co Inc.			24,103				62,427
Unisys Corp			82,325				391,867
Vertex Inc.			9,206				365,018
							819,312
TOTAL COMMON STOCK							11,490,312
(Cost $11,584,084)

 

2

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

		Shares				Fair Value
CLOSED END FUNDS - 16.63%
Alternative - 3.52%
BlackRock ESG Capital Allocation Trust			121,074			$	2,112,741
Destra Multi-Alternative Fund(c)			2,947				24,725
Platinum Asia Investments Ltd.			8,774,719				5,508,694
VGI Partners Global Investments, Ltd.			1,036,914				1,301,932
							8,948,092
Equity - 9.89%
Aberdeen Global Dynamic Dividend Fund			14,535				145,495
abrdn Healthcare Investors			87,949				1,633,213
abrdn Life Sciences Investors			128,601				1,976,597
abrdn Standard Global Infrastructure Income Fund			50,927				970,159
abrdn Total Dynamic Dividend Fund			25,983				222,934
Adams Natural Resources Fund Inc.			37,130				905,972
Allspring Global Dividend Opporunity Fund			3,068				15,033
Argo Global Listed Infrastructe Limited			155,753				216,950
BlackRock Enhanced Global Dividend Trust			3,737				40,397
BlackRock Enhanced International Dividend Trust			23,807				132,843
BlackRock Resources & Commodities Strategy Trust			17,497				165,347
BlackRock Science & Technology Trust II			146,440				2,758,930
First Trust Specialty Finance and Financial Opportunities Fund			8,968				35,513
Gabelli Dividend & Income Trust			59,672				1,402,292
Gabelli Healthcare & WellnessRx Trust			23,912				251,554
GAMCO Natural Resources Gold & Income Trust			3,582				20,059
Hearts and Minds Investments, Ltd.			1,524,301				2,721,307
John Hancock Hedged Equity & Income Fund			137				1,469
Lazard Global Total Return and Income Fund Inc.			13,893				235,625
MainStay CBRE Global Infrastructure Megatrends Term Fund			60,263				815,961
Platinum Capital, Ltd.			2,177,705				2,100,561
Pengana International Equities, Ltd.			437,719				313,440
Tortoise Energy Independence Fund, Inc.			17,699				626,150
Tortoise Energy Infrastructure Fund, Inc.			15,834				555,773
Tortoise Midstream Energy Fund, Inc.			21,652				942,945
Tortoise Pipeline & Energy Fund, Inc.			3,607				127,544
MFF Capital Investments, Ltd.			1,250,373				3,156,248
WAM Global Ltd.			1,435,844				2,103,292
WCM Global Growth, Ltd.			553,867				550,546
							25,144,149
Fixed Income - 2.83%
AllianceBernstein National Municipal Income Fund			79,712				897,557
BlackRock MuniHoldings New York Quality Fund, Inc.			1,007				10,845
BlackRock New York Municipal Income Trust			26,865				287,724
BNY Mellon Municipal Bond Infrastructure Fund, Inc.			2,194				23,564
BNY Mellon Municipal Income, Inc.			20,133				145,763
BNY Mellon Strategic Municipal Bond Fund, Inc.			7,596				45,500
BNY Mellon Strategic Municipals Inc.			40,417				253,415
DWS Strategic Municipal Income Trust			15,370				153,085
Eaton Vance New York Municipal Bond Fund			19,040				187,544
Ellsworth Growth and Income Fund, Ltd.			5,295				45,590
Invesco Pennsylvania Value Municipal Income Trust			28,614				310,748

 

Quarterly Report | July 31, 2024

3

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

		Shares				Fair Value
Invesco Trust for Investment Grade New York Municipals			41,156			$	460,124
MFS High Income Municipal Trust			39,461				147,979
New America High Income Fund, Inc.			43,258				326,165
Nuveen Core Plus Impact Fund			68,072				788,274
Nuveen Missouri Quality Municipal Income Fund			2,044				21,482
Nuveen New Jersey Quality Municipal Income Fund			43,385				548,820
Nuveen Pennsylvania Quality Municipal Income Fund			115,188				1,439,850
Nuveen Variable Rate Preferred and Income Fund			23,147				435,164
PIMCO California Municipal Income Fund II			8,091				47,737
Pioneer Municipal High Income Advantage Fund, Inc.			39,278				336,612
Pioneer Municipal High Income Fund, Inc.			24,447				226,135
Pioneer Municipal High Income Opportunities Fund, Inc.			4,798				57,336
							7,197,013
Mixed Allocation - 0.39%
Allspring Utilities and High Income Fund			2,107				21,702
Calamos Long/Short Equity & Dynamic Income Trust			49,884				783,179
Virtus Dividend, Interest & Premium Strategy Fund			15,293				194,374
							999,255
TOTAL CLOSED END FUNDS							42,288,509
(Cost $38,274,256)

		Shares				Fair Value
PREFERRED STOCK - 0.19%
Technology - 0.19%
Xtend Reality Expansion Ltd.(e)			579,633				495,840
TOTAL PREFERRED STOCK							495,840
(Cost $495,840)

		Fair Value
PRIVATE FUNDS - 11.72%
Alternative Capital Investments Fund III LP			2,542,800
Stone Ridge Opportunities Fund Feeder LP(c)			27,264,000
TOTAL PRIVATE FUNDS			29,806,800
(Cost $26,542,800)

		Shares				Fair Value
UNIT TRUST - 0.12%
Grayscale Ethereum Classic Trust(c)(d)			30,300				315,120
TOTAL UNIT TRUST							315,120
(Cost $331,212)
		Shares				Fair Value
SPECIAL PURPOSE ACQUISITION COMPANIES - 0.14%
GP-Act III Acquisition Corp., Class A(e)			17,094				68
Graf Global Corp.(d)(e)			15,421				62
Mercer Park Opportunities Corp			35,024				351,991
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES							352,121
(Cost $350,370)

 

4

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

		Contracts				Fair Value
WARRANTS - 0.02%
GP-Act III Acquisition-A, Expires 05/09/2029, Strike Price $11.50			23,593			$	3,657
GP-Act III Acquisition Corp., Expires 01/25/2029, Strike Price $11.50(e)			21,362				21,362
Graf Global Corp., Expires 01/25/2029, Strike Price $11.50(d)(e)			19,276				19,276
TOTAL WARRANTS							44,295
(Cost $44,503)

		Contracts				Fair Value
OPTIONS(f) - 2.00%
Put Option Contracts - 2.00%
S&P 500 Index, Expires 09/20/2024, Strike Price $5,215			56				173,320
S&P 500 Index, Expires 09/20/2024, Strike Price $5,235			20				72,980
S&P 500 Index, Expires 09/20/2024, Strike Price $5,240			61				211,243
S&P 500 Index, Expires 09/20/2024, Strike Price $5,245			14				54,460
S&P 500 Index, Expires 09/20/2024, Strike Price $5,250			19				65,930
S&P 500 Index, Expires 09/20/2024, Strike Price $5,255			19				67,260
S&P 500 Index, Expires 09/20/2024, Strike Price $5,270			19				70,262
S&P 500 Index, Expires 09/20/2024, Strike Price $5,290			8				31,880
S&P 500 Index, Expires 09/20/2024, Strike Price $5,295			18				71,370
S&P 500 Index, Expires 09/20/2024, Strike Price $5,300			184				754,768
S&P 500 Index, Expires 09/20/2024, Strike Price $5,320			22				95,986
S&P 500 Index, Expires 09/20/2024, Strike Price $5,355			107				542,811
S&P 500 Index, Expires 10/18/2024, Strike Price $5,275			38				195,358
S&P 500 Index, Expires 10/18/2024, Strike Price $5,340			49				330,750
S&P 500 Index, Expires 10/18/2024, Strike Price $5,375			40				298,800
S&P 500 Index, Expires 10/18/2024, Strike Price $5,405			50				388,000
S&P 500 Index, Expires 10/18/2024, Strike Price $5,410			18				142,200
S&P 500 Index, Expires 10/18/2024, Strike Price $5,415			30				293,700
S&P 500 Index, Expires 10/18/2024, Strike Price $5,430			32				280,640
S&P 500 Index, Expires 10/18/2024, Strike Price $5,445			17				148,240
S&P 500 Index, Expires 10/18/2024, Strike Price $5,450			16				154,400
S&P 500 Index, Expires 10/18/2024, Strike Price $5,465			33				299,310
S&P 500 Index, Expires 10/18/2024, Strike Price $5,475			8				80,832
S&P 500 Index, Expires 10/18/2024, Strike Price $5,395			34				257,040
							5,081,540
TOTAL OPTIONS							5,081,540
(Premiums paid $8,358,096)

		Shares				Fair Value
MONEY MARKET FUNDS - 22.29%
BNY Mellon U.S. Treasury Fund, 7 Day Yield, 5.150%(d)			48,603				48,603
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield, 5.150%			56,628,118				56,628,118
TOTAL MONEY MARKET FUNDS							56,676,721
(Cost $56,676,721)
Total Investments in securities - 74.57%							189,643,013
(Cost $184,513,472)
Other Assets in Excess of Liabilities - 25.43%							64,681,789
NET ASSETS - 100.00%						$	254,324,802
Amounts above are shown as a percentage of net assets as of July 31, 2024.

 

Quarterly Report | July 31, 2024

5

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

SCHEDULE OF SECURITIES SOLD SHORT
		Principal Amount				Fair Value
SOVEREIGN DEBT OBLIGATION - (44.33%)
Sovereign - (44.33%)
United States Treasury, 4.000%, 02/15/2034		$	(113,000,000	)			(112,732,947	)
TOTAL SOVEREIGN DEBT OBLIGATION							(112,732,947	)
(Proceeds $107,708,828)

		Shares				Fair Value
COMMON STOCK - (2.05%)
Communications - (0.02%)
System1 Inc.			(41,238	)			(56,084	)
							(56,084	)
Financials - (0.05%)
Paysafe Ltd.			(6,217	)			(130,495	)
							(130,495	)
Industrials - (0.9%)
Alight Inc.			(96,420	)			(729,899	)
Dayforce Inc.			(2,762	)			(163,731	)
Dun & Bradstreet Holdings Inc.			(126,973	)			(1,381,466	)
							(2,275,096	)
Technology - (1.08%)
Apple, Inc.			(11,281	)			(2,505,284	)
Super Micro Computer, Inc.(c)			(351	)			(246,279	)
							(2,751,563	)
TOTAL COMMON STOCK							(5,213,238	)
(Proceeds $4,609,563)
Total Securities Sold Short - (46.38%)						$	(117,946,185	)
(Proceeds $112,318,391)

 

	(a)	Security is in default as of year-end and is therefore non-income producing.
	(b)	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 July 31, 2024, the aggregate market value of those securities was $1,673,176, which represents approximately 0.66% of net assets.
	(c)	Non-income producing security.
	(d)	A portion or all of the security is owned by SABA SPV I, a wholly-owned subsidiary of the Fund.
	(e)	Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
	(f)	At July 31, 2024, all options held by the Fund are exchange traded listed options.

 

6

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

Investment Abbreviations:

ESTRON - Euro Short-Term 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 July 31, 2024 was 3.89%

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

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

SOFR - Secured Overnight Financing Rate as of July 31, 2024 was 5.34%

TSFR1M - CME Term SOFR 1 Month as of July 31, 2024 was 5.32%

TSFR3M - CME Term SOFR 3 Month as of July 31, 2024 was 5.33%

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

PRIME - United States Prime Rate as of July 31, 2024 was 8.50%

 

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

 

Quarterly Report | July 31, 2024

7

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

SIMPLE AGREEMENT FOR FUTURE EQUITY (SAFE) CONTRACTS

 

		Cost				Fair Value
BeeHero Ltd.(a)(b)		$	178,159			$	178,159
G-ILS Transportation Ltd.(a)(b)			2,000,000				2,000,000
		$	2,178,159			$	2,178,159

 

	(a)	Level 3 assets valued using significant unobservable inputs as a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs.
	(b)	Non-income producing security.

 

FORWARD FOREIGN CURRENCY CONTRACTS

 

Settlement

Fund

Fund

Unrealized

Counterparty

Date

Receiving

Value

Delivering

Cost

Appreciation

JPM

09/05/2024

USD

$

18,017,061

AUD

$

17,499,676

$

517,385

JPM

08/12/2024

USD

271,333

EUR

270,689

644

JPM

09/05/2024

USD

1,036,914

GBP

1,028,795

8,119

JPM

09/05/2024

GBP

1,285,994

USD

1,274,736

11,258

$

537,406

 

		Settlement		Fund						Fund						Unrealized
Counterparty		Date		Receiving		Value				Delivering		Cost				Depreciation
JPM		09/05/2024		USD		$	2,074,310			GBP		$	2,089,740			$	(15,430	)
																$	(15,430	)
																$	521,976

 

FUTURES CONTRACTS

 

													Unrealized
		Number of				Maturity			Notional				Appreciation/
Description		Contracts				Date			Amount				(Depreciation)
Short Position Contracts
NASDAQ 100 E-MINI Sep24			(28)			09/30/2024			$	11,171,640			$	248,700
US 5YR NOTE (CBT) Sep24			(36)			09/30/2024				3,875,160				(8,903	)
													$	239,797

 

TO BE ANNOUNCED (TBA) MORTGAGE-BACKED SECURITIES (MBS) FORWARD CONTRACTS

 

Counterparty			Description			Maturity Date		Notional Amount				Net Unrealized Appreciation/ (Depreciation)
MSCO			FNCL 6 8/24			09/12/2024		$	250,000,000			$	1,020,508
												$	1,020,508

 

8

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

SINGLE NAME 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)
Sell		CSC Holdings Ltd.			5.00	%		USD		06/20/2028		$	242,000			$	(94,835	)		$	90,145			$	(4,690	)
Sell		DISH DBS Corp.			5.00	%		USD		12/20/2026			790,000				(300,636	)			319,950				19,314
Buy		R.R. Donnelley & Sons Company			(5.00	)%		USD		06/20/2029			4,595,000				(69,210	)			431,255				362,045
																$	(464,681	)		$	841,350			$	376,669

 

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 42			(5.00	)%		USD		06/20/2028		$	22,542,600			$	(1,887,259	)		$	1,516,476			$	(370,783	)
																$	(1,887,259	)		$	1,516,476			$	(370,783	)

 

SINGLE NAME CREDIT DEFAULT SWAP CONTRACTS (OVER THE COUNTER)

 

Buy/Sell Protection(a)		Counterparty		Reference Obligations		Annual Payment Rate Received (Paid)				Currency		Maturity Date		Notional Amount(b)				Value				Upfront Premiums Received/(Paid)				Unrealized Appreciation/ (Depreciation)
Sell		JPM		AT&T, Inc.			1.00	%		USD		06/20/2025		$	1,697,000			$	12,344			$	(11,768	)		$	576
Buy		JPM		CommScope, Inc.			(5.00	)%		USD		06/20/2027			293,000				64,230				(103,215	)			(38,985	)
Buy		GSI		R.R. Donnelley & Sons Company			(5.00	)%		USD		06/20/2029			1,373,000				(20,680	)			126,886				106,206
Buy		JPM		R.R. Donnelley & Sons Company			(5.00	)%		USD		06/20/2029			146,000				(2,199	)			15,322				13,123
																		$	53,695			$	27,225			$	80,920

 

(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.

 

INDEX CREDIT DEFAULT SWAPTION CONTRACTS (CENTRALLY CLEARED)

 

Payer/ Receiver(a)		Reference Obligations		Currency			Strike Price			Expiry Date		Notional Amount				Value				Upfront Premiums (Received)/Paid				Unrealized Appreciation/ (Depreciation)
Payer		Markit CDX High Yield Index, Series 42, Payer Option		USD			105.00			10/16/2024		$	32,224,000			$	(185,246	)		$	(350,044	)		$	164,798
Payer		Markit CDX High Yield Index, Series 42, Payer Option		USD			104.50			10/16/2024			40,266,000				(188,587	)			(488,225	)			299,638
																$	(373,833	)		$	(838,269	)		$	464,436

 

(a)

If the Fund is a payer in the credit default swaption, the Fund has the right to enter into underlying credit default swap where the Fund pays premiums and, if the Fund is a receiver in the credit default swaption, the Fund has the right to enter into the underlying credit default swap where the Fund receives premiums.

 

Quarterly Report | July 31, 2024

9

Saba Capital Income & Opportunities Fund II

Consolidated Schedule of Investments

July 31, 2024

 

TOTAL RETURN SWAP CONTRACTS^(a)

 

Counterparty

Reference Obligations

Currency

Notional Amount(b)

Termination Date

Financing Rate Index

Financing Rate Spread Paid by Fund

Value

Unrealized Appreciation/ (Depreciation)

Long Position Contracts

JPM

Aberdeen Diversified Income and Growth Trust

GBP

1,212,266

10/31/2024

SONIA

40 bps

$

1,204,239

$

(8,027

)

JPM

Abrdn UK Smaller Cos Growth Trust PLC

GBP

720,309

10/31/2024

SONIA

40 bps

734,109

13,800

JPM

Baillie Gifford European Growth Trust PLC

GBP

561,411

10/31/2024

SONIA

40 bps

573,967

12,556

JPM

Baillie Gifford Japan Trust PLC

GBP

193,390

05/30/2025

SONIA

35 bps

197,572

4,182

JPM

Baillie Gifford UK Growth Trust PLC

GBP

53,450

10/31/2024

SONIA

40 bps

54,346

896

JPM

Baillie Gifford US Growth Trust PLC

GBP

11,077,217

10/31/2024

SONIA

40 bps

11,179,154

101,937

JPM

Bellevue Healthcare Trust PLC

GBP

7,076,259

10/31/2024

SONIA

35 bps

7,260,436

184,177

JPM

BlackRock Smaller Companies Trust PLC

GBP

1,780,143

10/31/2024

SONIA

40 bps

1,789,088

8,945

JPM

Brown Advisory US Smaller Companies PLC

GBP

1,563,502

10/31/2024

SONIA

40 bps

1,574,710

11,208

JPM

CQS Natural Resources Growth and Income PLC

GBP

2,079,146

10/31/2024

SONIA

40 bps

2,062,378

(16,768

)

JPM

Ecofin Global Utilities/Infrastructure Trust

GBP

2,004,908

03/31/2025

SONIA

35 bps

2,021,386

16,478

JPM

Edinburgh Worldwide Investment Trust PLC

GBP

6,140,454

10/31/2024

SONIA

40 bps

6,209,020

68,566

JPM

European Smaller Companies

GBP

9,794,470

10/31/2024

SONIA

40 bps

9,899,787

105,317

JPM

Henderson International Income Trust PLC

GBP

1,010,685

03/31/2025

SONIA

35 bps

1,016,811

6,126

JPM

Henderson Opportunities Trust PLC

GBP

964,999

10/31/2024

SONIA

40 bps

978,039

13,040

JPM

Henderson Smaller Companies Inv Trust PLC

GBP

2,065,911

10/31/2024

SONIA

40 bps

2,089,533

23,622

JPM

Herald Investment Trust PLC

GBP

7,475,305

10/31/2024

SONIA

40 bps

7,626,832

151,527

JPM

Keystone Positive Change Investment Trust PLC

GBP

1,576,872

10/31/2024

SONIA

40 bps

1,598,472

21,600

JPM

Lowland Investment Company PLC

GBP

3,254,512

03/31/2025

SONIA

35 bps

3,279,355

24,843

JPM

Mercantile Investment Trust PLC

GBP

1,372,086

10/31/2024

SONIA

40 bps

1,393,236

21,150

JPM

Middlefield Canadian Income PC

GBP

1,235,268

10/31/2024

SONIA

40 bps

1,247,088

11,820

JPM

Monks Investment Trust PLC

GBP

2,162,789

03/31/2025

SONIA

35 bps

2,192,569

29,780

JPM

Montanaro European Smaller Companies Trust PLC

GBP

2,067,702

10/31/2024

SONIA

35 bps

2,111,386

43,684

JPM

North America Income Trust PLC

GBP

2,134,315

04/30/2025

SONIA

35 bps

2,148,357

14,042

JPM

Polar Capital Global Financials Trust PLC

GBP

2,169,708

03/31/2025

SONIA

35 bps

2,199,635

29,927

JPM

River & Mercantile UK Micro Cap Inv Co Ltd

GBP

61,675

10/31/2024

SONIA

40 bps

60,839

(836

)

JPM

Schroder UK Mid Cap Fund PLC

GBP

734,965

10/31/2024

SONIA

40 bps

749,508

14,543

JPM

Shires Income PLC

GBP

231,001

05/30/2025

SONIA

35 bps

233,372

2,371

JPM

Smithson Investment Trust PLC

GBP

6,557,844

10/31/2024

SONIA

35 bps

6,684,479

126,635

JPM

Templeton EM Investment Trust PLC

GBP

511,916

10/31/2024

SONIA

40 bps

518,197

6,281

JPM

The Global Smaller Companies Trust PLC

GBP

962,267

10/31/2024

SONIA

35 bps

981,788

19,521

JPM

Third Point Investors, Ltd.

USD

400,918

03/31/2025

OBFR

40 bps

399,996

(922

)

JPM

Utilico Emerging Markets Trust PLC

GBP

215,816

04/30/2025

SONIA

35 bps

216,788

972

Total Long Position Contracts

$

82,486,472

$

1,062,993

 

 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 U.S dollar equivalent.

 

10

Saba Capital Income & Opportunities Fund II

Notes to Consolidated Financial Statements

July 31, 2024

 

The following table summarizes the valuation of the Fund’s financial instruments in accordance with the fair value hierarchy levels as of July 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		$	-			$	26,468,540			$	-			$	26,468,540
Senior Loans			-				14,363,712				-				14,363,712
Convertible Corporate Bond			-				87,351				-				87,351
Sovereign Debt Obligation*			-				871,740				-				871,740
Mortgage-Backed Securities			-				1,300,412				-				1,300,412
Common Stock			11,490,312				-				-				11,490,312
Closed End Funds			42,288,509				-				-				42,288,509
Preferred Stock			-				-				495,840				495,840
Private Funds**			-				-				-				29,806,800
Unit Trust			315,120				-				-				315,120
Special Purpose Acquisition Companies			351,991				-				130				352,121
Warrants			3,657				-				40,638				44,295
Options***			5,081,540				-				-				5,081,540
Money Market Funds			56,676,721				-				-				56,676,721
Total		$	116,207,850			$	43,091,755			$	536,608			$	189,643,013

Securities Sold Short, at Fair Value		Level 1 - Quoted Prices				Level 2 - Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Sovereign Debt Obligation*		$	112,732,947			$	-			$	-			$	112,732,947
Common Stock			5,213,238				-				-				5,213,238
Total		$	117,946,185			$	-			$	-			$	117,946,185

Derivative Contracts, at Fair Value		Level 1 - Quoted Prices				Level 2 - Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Assets
Simple Agreement for Future Equity Contracts		$	-			$	-			$	2,178,159			$	2,178,159
Forward Foreign Currency Contracts			-				537,406				-				537,406
Futures Contracts			248,700				-				-				248,700
Over the Counter Credit Default Swaps			-				76,574				-				76,574
TBA MBS forward contracts			-				1,020,508				-				1,020,508
Total Return Swaps			-				1,089,546				-				1,089,546
Total Assets		$	248,700			$	2,724,034			$	2,178,159			$	5,150,893
Liabilities
Forward foreign currency contracts		$	-			$	15,430			$	-			$	15,430
Futures Contracts			8,903				-				-				8,903
Centrally Cleared Credit Default Swaps			-				2,351,940				-				2,351,940
Over the Counter Credit Default Swaps			-				22,879				-				22,879
Centrally Cleared Credit Default Swaptions			-				373,833				-				373,833
Total Return Swaps			-				26,553				-				26,553
Total Liabilities		$	8,903			$	2,790,635			$	-			$	2,799,538

*

Investments classified in Level 1 include sovereign debt obligations issued by G10 countries. All other sovereign debt obligations are classified as Level 2.

**

In accordance with ASC 820-10, investments that are measured at fair value using the NAV per share (or its equivalent) as a 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.

***

All options held by the Fund are exchange traded listed options.

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