NPORT-EX 2 fp0092813-1_nportex.htm

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Principal Amount				Fair Value
CORPORATE BONDS - 10.26%
Communications - 4.77%
Altice France Holding S.A., 5.500%, 10/15/2029(b)		$	736,000			$	589,720
Clear Channel Outdoor Holdings Inc., 7.750%, 04/15/2028 (b)			2,000,000				1,872,500
Clear Channel Outdoor Holdings Inc., 7.500%, 06/01/2029(b)			2,377,000				2,127,415
CSC Holdings LLC, 3.375%, 02/15/2031(b)			270,000				197,775
DISH Network Corp., 11.750%, 11/15/2027(b)			1,430,000				1,511,331
Gray Television Inc., 7.000%, 05/15/2027(b)			709,000				696,592
Level 3 Financing Inc., 10.500%, 05/15/2030(b)			2,778,000				3,048,855
Level 3 Financing Inc., 3.875%, 10/15/2030(b)			1,556,800				1,229,872
Telegram Group Inc., 7.000%, 03/22/2026(e)			2,123,000				2,083,300
							13,357,360
Consumer Discretionary - 4.31%
Caesars Entertainment Inc., 6.500%, 02/15/2032(b)			2,276,000				2,304,450
RR Donnelley & Sons Co., 9.500%, 08/01/2029(b)			5,166,000				5,327,438
RR Donnelley & Sons Co., 10.870%, 08/01/2029(b)			3,159,000				3,261,668
Staples Inc., 10.750%, 09/01/2029(b)			1,197,000				1,176,052
							12,069,608
Industrials - 0.17%
LABL, INC., 8.625%, 10/01/2031(b)			528,000				477,180
							477,180
Real Estate - 1.01%
China Evergrande Group, 8.250%, 03/23/2022(a)(e)			16,395,000				348,394
China Evergrande Group, 9.500%, 04/11/2022(a)(e)			6,148,000				130,645
China Evergrande Group, 11.500%, 01/22/2023(a)(e)			4,600,000				97,750
China Evergrande Group, 10.000%, 04/11/2023(a)(e)			7,568,000				160,820
China Evergrande Group, 7.500%, 06/28/2023(a)(e)			11,802,000				250,792
China Evergrande Group, 12.000%, 01/22/2024(a)(e)			19,888,000				422,620
China Evergrande Group, 9.500%, 03/29/2024(a)(e)			4,420,000				93,926
China Evergrande Group, 10.500%, 04/11/2024(a)(e)			4,572,000				97,156
China Evergrande Group, 8.750%, 06/28/2025(a)(e)			57,621,000				1,224,447
							2,826,550
TOTAL CORPORATE BONDS							28,730,698
(Cost $26,340,977)

		Principal Amount				Fair Value
SENIOR LOANS - 8.49%
Communications - 2.62%
Gogo Intermediate Holdings LLC, Initial Term Loan, TSFR1M + 3.750%, 04/30/2028			2,389,000				2,258,238
Level 3 Financing Inc., Term B-2 Loan, TSFR1M + 6.560%, 04/15/2030(f)			5,000,000				5,066,075
							7,324,313
Consumer Discretionary - 2.90%
AMC Entertainment, Term Loan, TSFR1M + 9.000%, 01/04/2029(f)			958,015				975,034
J Crew Group LLC, Initial Term Loan, TSFR3M + 6.000%, 09/26/2031			4,394,428				4,472,429
The GEO Group, Inc., Term B Loan, TSFR1M + 5.250%, 04/13/2029			898,195				914,587
Vortex Opco LLC, Term Loan, TSFR3M + 6.250%, 04/30/2030			1,690,000				1,765,340
							8,127,390

Quarterly Report  |  January 31, 2025 1

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Principal Amount				Fair Value
Consumer, Non-cyclical - 2.17%
Revlon Intermediate Holdings IV LLC, Term Loan, TSFR6M + 6.875%, 05/02/2028		$	6,111,000			$	6,085,028
							6,085,028
Health Care - 0.29%
ModivCare Inc., Term Loan, TSFR3M + 4.750%, 07/01/2031			956,802				798,533
							798,533
Industrials - 0.51%
Multi-Color Corp., Term Loan, TSFR1M + 5.000%, 10/29/2028			1,539,132				1,446,208
							1,446,208
TOTAL SENIOR LOANS							23,781,472
(Cost $23,819,601)

		Principal Amount				Fair Value
MORTGAGE-BACKED SECURITIES - 0.44%
Federal National Mortgage Association (FNMA) - 0.44%
FNMA, Series 23-52, Class IO, 3.000%, 05/25/2051			6,589,771				1,223,411
TOTAL MORTGAGE-BACKED SECURITY							1,223,411
(Cost $1,223,654)

		Shares				Fair Value
COMMON STOCK - 9.81%
Communications - 3.22%
Baidu, Inc.(f)			13,235				1,199,091
Bumble, Inc.(f)			276,467				2,242,147
Snap Inc.(f)			159,101				1,796,250
Uber Technologies, Inc.(f)			6,162				411,930
Weibo Corp.			343,192				3,370,145
							9,019,563
Consumer Discretionary - 1.01%
Arbe Robotics, Ltd.(f)			34,404				88,074
Capri Holdings Ltd.(f)			11,238				278,478
Evolution AB(f)			16,104				1,239,775
PDD Holdings Inc.(f)			3,294				368,632
Polestar Automotive Holding UK PLC			275,435				280,944
The RealReal, Inc.(f)			37,318				356,014
Winnebago Industries, Inc.(f)			4,253				203,293
							2,815,210
Energy - 0.40%
Sable Offshore Corp.(f)			44,801				1,116,889
							1,116,889
Financials - 3.01%
Allfunds Group Plc(f)			235,106				1,211,688
Cannae Holdings, Inc.			265,592				5,248,098
Compass Diversified Holdings			15,842				336,642
PagSeguro Digital Ltd.(f)			217,517				1,620,502
							8,416,930

2

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Shares				Fair Value
Health Care - 0.13%
Arbutus Biopharma Corp.(f)			112,040			$	373,093
							373,093
Industrials - 1.02%
The GEO Group, Inc.(f)			10,444				329,090
Vertical Aerospace Ltd.(f)			498,886				2,534,341
							2,863,431
Real Estate - 0.52%
Anywhere Real Estate, Inc.(f)			81,184				293,074
Star Holdings(f)			130,599				1,161,025
							1,454,099
Technology - 0.50%
CommScope Holding Company, Inc.(f)			30,335				153,192
GDS Holdings Ltd.(f)			18,699				405,955
IREN Ltd.(f)			32,460				331,741
Vertex, Inc.(f)			9,206				531,647
							1,422,535
TOTAL COMMON STOCK							27,481,750
(Cost $25,489,415)

		Shares				Fair Value
CLOSED END FUNDS - 13.42%
Alternative - 3.12%
BlackRock ESG Capital Allocation Term Trust			121,074				2,012,250
Destra Multi-Alternative Fund(f)			2,947				25,521
Platinum Asia Investments Ltd.			9,044,071				5,875,731
Tribeca Global Natural Resources Ltd.(f)			1,796				1,641
VGI Partners Global Investments, Ltd.			718,062				825,877
							8,741,020
Equity - 8.07%
Aberdeen Standard Global Infrastructure Income Fund			50,607				901,817
abrdn Healthcare Investors			33,584				609,885
abrdn Life Sciences Investors			128,601				1,827,420
AMCIL Limited(f)			74,584				53,788
Adams Natural Resources Fund, Inc.			37,130				805,721
Allspring Global Dividend Opportunity Fund			3,068				15,340
abrdn Total Dynamic Dividend Fund			15,274				132,578
Argo Global Listed Infrastructure Limited			98,103				142,718
BlackRock Enhanced Global Dividend Trust			2,987				33,693
BlackRock Enhanced International Dividend Trust			20,421				112,928
BlackRock Resources & Commodities Strategy Trust			13,786				123,798
BlackRock Science & Technology Trust II			121,792				2,578,337
Diversified United Investment Ltd.			159,966				522,118
Future Generation Global Ltd.			97,988				86,505
Gabelli Dividend & Income Trust			59,672				1,489,413
Gabelli Healthcare & WellnessRx Trust			23,912				249,163
GAMCO Natural Resources Gold & Income Trust			3,582				20,596
Hearts and Minds Investments, Ltd.			1,760,735				3,513,829

Quarterly Report  |  January 31, 2025 3

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Shares				Fair Value
John Hancock Hedged Equity & Income Fund			137			$	1,428
Lazard Global Total Return and Income Fund, Inc.			11,199				187,247
Middlefield Canadian Income PCC(f)			254,234				373,540
NYLI CBRE Global Infrastructure Megatrends Term Fund			60,263				752,685
Platinum Capital, Ltd.			2,149,942				1,898,002
Pengana International Equities, Ltd.			1,645,794				1,253,410
Tortoise Energy Infrastructure Fund, Inc.			35,581				1,603,977
MFF Capital Investments, Ltd.			847,117				2,496,338
WAM Global Ltd.			360,990				500,474
WCM Global Growth, Ltd.			299,094				321,688
							22,608,436
Fixed Income - 1.88%
AllianceBernstein National Municipal Income Fund			79,712				881,615
BlackRock MuniHoldings New York Quality Fund, Inc.			861				8,937
BlackRock New York Municipal Income Trust			26,865				278,321
BNY Mellon Municipal Bond Infrastructure Fund, Inc.			2,194				22,905
BNY Mellon Strategic Municipals, Inc.			21,897				134,010
Eaton Vance New York Municipal Bond Fund			19,040				183,736
Ellsworth Growth and Income Fund, Ltd.			5,295				53,162
Invesco Pennsylvania Value Municipal Income Trust			7,292				75,399
Invesco Trust for Investment Grade New York Municipals			3,700				38,665
MFS High Income Municipal Trust			29,418				110,318
New America High Income Fund, Inc.			43,258				358,177
Nuveen Core Plus Impact Fund			60,483				649,588
Nuveen New Jersey Quality Municipal Income Fund			41,967				508,221
Nuveen Pennsylvania Quality Municipal Income Fund			115,188				1,330,422
PIMCO California Municipal Income Fund II			3,866				22,115
Pioneer Municipal High Income Advantage Fund, Inc.			39,278				335,042
Pioneer Municipal High Income Fund, Inc.			24,447				230,047
Pioneer Municipal High Income Opportunities Fund, Inc.			4,798				57,625
							5,278,305
Mixed Allocation - 0.35%
Allspring Utilities and High Income Fund			2,107				23,514
Calamos Long/Short Equity & Dynamic Income Trust			45,932				719,295
Virtus Dividend, Interest & Premium Strategy Fund			15,293				199,574
							942,383
TOTAL CLOSED END FUNDS							37,570,144
(Cost $33,729,287)

		Shares				Fair Value
INVESTMENT TRUSTS - 4.70%
Alternative - 4.14%
Bitwise 10 Crypto Index Fund(f)(g)			172,556				11,613,019
							11,613,019

4

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Shares				Fair Value
Equity - 0.56%
Herald Investment Trust PLC(f)			36,669			$	1,068,444
Keystone Positive Change Investment Trust PLC(f)			50,992				161,223
The European Smaller Companies Turst PLC			149,999				329,936
							1,559,603
TOTAL INVESTMENT TRUSTS							13,172,622
(Cost $7,801,996)

		Shares				Fair Value
PREFERRED STOCK - 0.18%
Technology - 0.18%
Xtend Reality Expansion Ltd. Preferred B-2(c)(f)			579,633				495,841
TOTAL PREFERRED STOCK							495,841
(Cost $495,840)

		Fair Value
PARTICIPATION AGREEMENT - 0.31%
PK Funding 2023 LLC(C)(f)			868,566
TOTAL PARTICIPATION AGREEMENT			868,566
(Cost $868,566)

		Fair Value
PRIVATE FUNDS - 17.75%
Alternative Capital Investments Fund III LP, Special Class Interests(f)			3,722,289
Alternative Capital Investments Fund III LP, Standard Class Interests(f)			461,026
Alternative Capital Investments Fund III LP, Special Class Interests 2(f)			10,595,000
New Holland Special Opportunities Aggregator LP Class M Interests(h)			4,758,671
New Holland Special Opportunities Aggregator LP Class Y Interests(f)(h)			1,131,747
Stone Ridge Opportunities Fund Feeder LP(f)			29,034,959
TOTAL PRIVATE FUNDS			49,703,692
(Cost $43,105,935)

		Shares				Fair Value
UNIT TRUSTS - 3.93%
Grayscale Digital Large Cap Fund(f)(g)			18,782				865,475
Grayscale Ethereum Classic Trust(f)(g)			861,102				10,126,560
TOTAL UNIT TRUSTS							10,992,035
(Cost $10,523,546)

		Shares				Fair Value
SPECIAL PURPOSE ACQUISITION COMPANIES - 0.06%
GP-Act III Acquisition Corp., Class A(c)(f)			17,094				9,744
Graf Global Sponsor LLC, Class A(c)(f)(g)			15,421				7,556
Hennessy Capital Investment Corp. VII(f)			7,305				73,269
Plum Acquisition Corp. IV(f)			8,350				83,834
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES							174,403
(Cost $156,680)

Quarterly Report  |  January 31, 2025 5

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Contracts				Fair Value
WARRANTS - 0.21%
GP-Act III Acquisition Corp., Expires 12/31/2027, Strike Price $11.50(f)			23,593			$	3,303
GP-Act III Acquisition Corp., Expires 01/25/2029, Strike Price $11.50(c)(f)			21,362				109
Graf Global Sponsor LLC Class B Warrants, Expires 01/25/2029, Strike Price $0.01(c)(f)(g)			19,276				106
Vertical Aerospace, Ltd. Class A Warrants, Expires 01/22/2030, Strike Price $11.50(c)(f)			249,443				187,082
Vertical Aerospace, Ltd. Class B Warrants, Expires 01/22/2030, Strike Price $11.50(c)(f)			249,443				386,637
Israel Acquisitions Corp., Expires 02/28/2028, Strike Price $11.50(f)			18,390				2,209
TOTAL WARRANTS							579,446
(Cost $46,710)

		Contracts				Fair Value
RIGHT - 0.00%(d)
GSR III Acquisition Corp, Expires 12/19/2074(f)			1,649				2,474
TOTAL RIGHT							2,474
(Cost $1,907)

		Contracts				Fair Value
OPTIONS - 1.92%(i)
Put Option Contracts - 1.92%
S&P 500 Index, Expires 02/21/2025, Strike Price $5,810(f)			11				20,702
S&P 500 Index, Expires 02/21/2025, Strike Price $5,825(f)			7				14,749
S&P 500 Index, Expires 02/21/2025, Strike Price $5,995(f)			295				1,630,170
S&P 500 Index, Expires 03/21/2025, Strike Price $5,815(f)			3				15,399
S&P 500 Index, Expires 03/21/2025, Strike Price $5,850(f)			21				116,760
S&P 500 Index, Expires 03/21/2025, Strike Price $5,855(f)			10				54,300
S&P 500 Index, Expires 03/21/2025, Strike Price $5,865(f)			1				6,104
S&P 500 Index, Expires 04/17/2025, Strike Price $5,825(f)			24				180,672
S&P 500 Index, Expires 04/17/2025, Strike Price $5,830(f)			8				57,360
S&P 500 Index, Expires 04/17/2025, Strike Price $5,845(f)			8				61,960
S&P 500 Index, Expires 04/17/2025, Strike Price $5,850(f)			8				62,312
S&P 500 Index, Expires 04/17/2025, Strike Price $5,860(f)			16				129,360
S&P 500 Index, Expires 04/17/2025, Strike Price $5,895(f)			25				168,825
S&P 500 Index, Expires 04/17/2025, Strike Price $5,910(f)			6				42,960
S&P 500 Index, Expires 04/17/2025, Strike Price $5,915(f)			16				150,784
S&P 500 Index, Expires 04/17/2025, Strike Price $5,920(f)			16				151,664
S&P 500 Index, Expires 04/17/2025, Strike Price $5,950(f)			12				120,012
S&P 500 Index, Expires 04/17/2025, Strike Price $5,955(f)			19				198,930
S&P 500 Index, Expires 04/17/2025, Strike Price $5,955(f)			64				734,720
S&P 500 Index, Expires 04/17/2025, Strike Price $5,965(f)			23				193,890
S&P 500 Index, Expires 04/17/2025, Strike Price $5,970(f)			18				192,690
S&P 500 Index, Expires 04/17/2025, Strike Price $5,975(f)			22				247,060
S&P 500 Index, Expires 04/17/2025, Strike Price $5,980(f)			6				66,000
S&P 500 Index, Expires 04/17/2025, Strike Price $5,985(f)			23				193,200
S&P 500 Index, Expires 04/17/2025, Strike Price $6,000(f)			49				568,400
							5,378,983
TOTAL OPTIONS							5,378,983
(Premiums paid $6,793,812)

6

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Shares				Fair Value
MONEY MARKET FUNDS - 5.70%
BNY Mellon U.S. Treasury Fund, 7 Day Yield, 4.710%(g)(h)			10,529,999			$	10,529,999
JPMorgan US Treasury Plus Money Market Fund, 7 Day Yield, 4.690%			5,469,803				5,469,804
TOTAL MONEY MARKET FUNDS							15,999,803
(Cost $15,999,803)
Total Investments in Securities - 77.18%							216,155,340
(Cost $196,397,729)
Other Assets in Excess of Liabilities - 22.82%							63,895,213
NET ASSETS - 100.00%						$	280,050,553

Amounts above are shown as a percentage of net assets as of January 31, 2025.

SCHEDULE OF SECURITIES SOLD SHORT

		Principal Amount				Fair Value
CORPORATE BONDS - (1.07%)
Industrials - (0.68%)
Icahn Enterprises LP/Icahn Enterprises Finance Corporation, 4.375%, 02/01/2029		$	(355,000	)			(307,963	)
Icahn Enterprises LP/Icahn Enterprises Finance Corporation, 5.250%, 05/15/2027			(1,637,000	)			(1,589,937	)
							(1,897,900	)
Real Estate - (0.39%)
CPI Property Group SA, 1.750%, 01/14/2030(e)			(1,257,000	)			(1,098,869	)
							(1,098,869	)
TOTAL CORPORATE BONDS							(2,996,769	)
(Proceeds $3,026,080)

		Principal Amount				Fair Value
SOVEREIGN DEBT OBLIGATIONS - (70.53%)
Sovereign - (70.53%)
United States Treasury, 4.125%, 01/31/2027(f)			(131,802,000	)			(131,611,507	)
United States Treasury, 4.250%, 11/15/2034(f)			(67,445,001	)			(65,910,363	)
TOTAL SOVEREIGN DEBT OBLIGATIONS							(197,521,870	)
(Proceeds $198,581,854)

		Shares				Fair Value
COMMON STOCK - (2.19%)
Communications - (0.01%)
System1, Inc.(f)			(40,300	)			(26,364	)
							(26,364	)
Financials - (0.05%)
Paysafe Ltd.(f)			(7,165	)			(139,001	)
							(139,001	)

Quarterly Report  |  January 31, 2025 7

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

		Shares				Fair Value
Industrials - (1.17%)
Alight, Inc.(f)			(117,786	)		$	(806,834	)
Dun & Bradstreet Holdings, Inc.			(201,014	)			(2,472,472	)
							(3,279,306	)
Technology - (0.96%)
Apple, Inc.			(11,281	)			(2,662,317	)
Rapid7, Inc.(f)			(1,020	)			(39,291	)
							(2,701,608	)
TOTAL COMMON STOCK							(6,146,279	)
(Proceeds $5,267,118)

		Shares				Fair Value
EXCHANGE TRADED FUND - (3.44%)
Alternative - (3.44%)
Grayscale Bitcoin Trust BTC(g)			(119,490	)			(9,608,191	)
TOTAL EXCHANGE TRADED FUND							(9,608,191	)
(Proceeds $9,683,470)
Total Securities Sold Short - (77.23%)						$	(216,273,109	)
(Proceeds $216,558,522)

8

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

(a)	Security is in default as of year-end and is therefore non-income producing.
(b)	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 $23,820,848, which represented approximately 8.51% of net assets as of January 31, 2025. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration.
(c)	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.
(d)	Amount represents less than 0.005% of net assets.
(e)	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, 2025, the aggregate market value of those securities was $3,810,981, which represents approximately 1.36% of net assets.
(f)	Non-income producing security.
(g)	A portion or all of the security is owned by SABA SPV I, a wholly-owned subsidiary of the Fund.
(h)	A portion or all of the security is owned by SABA SPV II, a wholly-owned subsidiary of the Fund.
(i)	At January 31, 2025, all options held by the Fund are exchange traded listed options.

Investment Abbreviations:

ESTRON - Euro Short-Term Rate

OBFR - United States Overnight Bank Funding Rate

SONIA - Sterling Over Night Index Average

Reference Rates:

ESTRON - Euro Short-Term Rate as of January 31, 2025 was 3.034%

OBFR - United States Overnight Bank Funding Rate as of January 31, 2025 was 4.330%

TSFR1M - CME Term SOFR 1 Month as of January 31, 2025 was 4.313%

TSFR3M - CME Term SOFR 3 Month as of January 31, 2025was 4.302%

TSFR6M - CME Term SOFR 6 Month as of January 31, 2025 was 4.248%

SONIA - Sterling Overnight Index Average as of January 31, 2025 was 4.704%

Counterparty Abbreviations:

JPM - JPMorgan Chase Bank, N.A.

GSI - Goldman Sachs International

MSCO - Morgan Stanley & Company

Currency Abbreviations:

USD - United States Dollar

AUD - Australian Dollar

EUR - Eurozone Currency

GBP - Great British Pound

Quarterly Report  |  January 31, 2025 9

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

SIMPLE AGREEMENT FOR FUTURE EQUITY (SAFE) CONTRACTS

		Cost				Fair Value
BeeHero Ltd.(a)		$	178,159			$	180,310
G-ILS Transportation Ltd.(a)			2,000,000				2,023,331
		$	2,178,159			$	2,203,641

^(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.

FORWARD FOREIGN CURRENCY CONTRACTS

Counterparty		Settlement Date		Fund Receiving		Value				Fund Delivering		Cost				Unrealized Appreciation
JPM		04/07/2025		GBP		$	2,355,321			USD		$	2,323,957			$	31,364
JPM		04/07/2025		USD			208,616			EUR			208,092				524
JPM		04/07/2025		USD			4,818,201			GBP			4,778,823				39,378
																$	71,266

Counterparty		Settlement Date		Fund Receiving		Value				Fund Delivering		Cost				Unrealized Depreciation
JPM		02/25/2025		GBP		$	30,068,045			EUR		$	30,076,174			$	(8,129	)
JPM		02/25/2025		GBP			41,906,142			USD			42,695,416				(789,274	)
JPM		04/07/2025		GBP			619,821			USD			621,543				(1,722	)
JPM		02/10/2025		USD			16,840,818			AUD			16,848,190				(7,372	)
JPM		04/07/2025		USD			1,347,585			GBP			1,363,607				(16,022	)
JPM		02/10/2025		USD			1,256,353			SEK			1,263,096				(6,743	)
																$	(829,262	)
																$	(757,996	)

FUTURES CONTRACTS

Description		Number of Contracts		Maturity Date		Notional         Amount				Unrealized Appreciation/ (Depreciation)
Short Position Contracts
NASDAQ 100 E-MINI Mar25		(28)		03/31/2025		$	12,551,008			$	461,028
S&P500 E-MINI Mar25		(156)		03/31/2025			46,813,504				(511,046	)
US 5YR NOTE (CBT) Mar25		(36)		03/31/2025			3,857,868				27,805
										$	(22,213	)
										$	(22,213	)

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

Counterparty		Description		Maturity Date		Notional  Amount				Net Unrealized Appreciation/ (Depreciation)
MSCO		FNCL 5.5 3/24 TBA MSFTA		03/11/2025		$	175,000,000			$	2,457,524
MSCO		FNCL 6 3/24 TBA MSFTA		3/11/2025			75,000,000				45,411
										$	2,502,935

10

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

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)				Fair Value				Upfront Premiums Received/(Paid)				Unrealized Appreciation/ (Depreciation)
Sell		CSC Holdings Ltd.			5.00	%		USD		06/20/2028		$	242,000			$	(37,986	)		$	90,145			$	52,159
Buy		Caesars Entertainment Inc.			(5.00	)%		USD		12/20/2029			1,069,000				(151,951	)			153,314				1,363
Buy		RR Donnelley & Sons Co.			(5.00	)%		USD		06/20/2029			4,595,000				(101,971	)			431,255				329,284
																$	(291,908	)		$	674,714			$	382,806

INDEX CREDIT DEFAULT SWAP CONTRACTS (CENTRALLY CLEARED)

Buy/Sell Protection(a)		Reference Obligations		Annual Payment Rate Received (Paid)				Currency		Maturity Date		Notional Amount(b)				Fair Value				Upfront Premiums Received/(Paid)				Unrealized Appreciation/ (Depreciation)
Buy		Markit CDX High Yield Index, Series 42			(5.00	)%		USD		06/20/2028		$	2,395,600			$	213,563			$	(107,802	)		$	105,761
Buy		Markit CDX High Yield Index, Series 43			(5.00	)%		USD		06/20/2028			76,778,000				6,658,338				(6,374,375	)			283,963
																$	6,871,901			$	(6,482,177	)		$	389,724

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)				Fair Value				Upfront Premiums Received/(Paid)				Unrealized Appreciation/ (Depreciation)
Sell		JPM		AT&T, Inc.			1.00	%		USD		06/20/2025		$	1,697,000			$	6,825			$	(11,768	)		$	(4,943	)
Buy		GSI		Caesars Entertainment Inc.			(5.00	)%		USD		12/20/2029			643,000				(91,398	)			89,041				(2,357	)
Buy		GSI		Caesars Entertainment Inc.			(5.00	)%		USD		12/20/2029			257,000				(36,531	)			35,589				(942	)
Buy		GSI		RR Donnelley & Sons Co.			(5.00	)%		USD		06/20/2029			1,234,000				(27,385	)			113,476				86,091
																		$	(148,489	)		$	226,338			$	77,849

(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 by  Fund

Value

Unrealized Appreciation/ (Depreciation)

Long Position Contracts

JPM

Aberdeen Diversified Income and Growth Trust

GBP

1,169,219

02/28/2025

SONIA

35 bps

$

1,122,760

$

(46,459

)

JPM

Aberdeen New India Investment Trust PLC

GBP

364,336

01/30/2026

SONIA

35 bps

375,820

11,484

JPM

Aberforth Smaller Companies Trust PLC

GBP

6,534

01/30/2026

SONIA

35 bps

6,589

55

JPM

Abrdn Asia Focus PLC

GBP

196,713

01/30/2026

SONIA

35 bps

198,042

1,329

JPM

Abrdn UK Smaller Cos Growth Trust PLC

GBP

2,679,663

03/31/2025

SONIA

35 bps

2,735,992

56,329

JPM

Allianz Technology Trust PLC

EUR

2,165,345

10/31/2025

ESTRON

35 bps

2,212,797

47,452

JPM

Aurora UK Alpha PLC

GBP

2,716

01/30/2026

SONIA

35 bps

2,739

23

JPM

Baillie Gifford European Growth Trust PLC

GBP

929,032

04/30/2025

SONIA

35 bps

936,897

7,865

JPM

Baillie Gifford Japan Trust PLC

GBP

561,931

05/30/2025

SONIA

35 bps

570,746

8,815

JPM

Baillie Gifford UK Growth Trust PLC

GBP

55,297

04/30/2025

SONIA

35 bps

56,593

1,296

JPM

Baillie Gifford US Growth Trust PLC

GBP

11,950,793

02/28/2025

SONIA

35 bps

12,107,745

156,952

Quarterly Report  |  January 31, 2025 11

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

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

Bankers Investment Trust PLC

GBP

4,445,482

11/28/2025

SONIA

35 bps

$

4,532,223

$

86,741

JPM

BB Biotech AG

EUR

1,439,476

11/28/2025

ESTRON

35 bps

1,483,262

43,786

JPM

Bellevue Healthcare Trust PLC

GBP

1,585,352

01/30/2026

SONIA

35 bps

1,607,755

22,403

JPM

BlackRock Smaller Companies Trust PLC

GBP

2,582,954

03/31/2025

SONIA

35 bps

2,617,496

34,542

JPM

BlackRock Throgmorton Trust PLC

GBP

1,071,827

11/28/2025

SONIA

35 bps

1,095,444

23,617

JPM

Brown Advisory US Smaller Companies PLC

GBP

884,107

02/28/2025

SONIA

35 bps

890,225

6,118

JPM

CQS Natural Resources Growth and Income PLC

GBP

1,909,481

02/28/2025

SONIA

35 bps

1,938,214

28,733

JPM

Diverse Income Trust PLC

GBP

760,846

10/31/2025

SONIA

35 bps

772,374

11,528

JPM

Dunedin Income Growth Investment Trust PLC

GBP

10,071

12/31/2025

SONIA

35 bps

10,251

180

JPM

Ecofin Global Utilities/Infrastructure Trust

GBP

1,985,321

03/31/2025

SONIA

35 bps

2,001,289

15,968

JPM

Edinburgh Worldwide Investment Trust PLC

GBP

6,007,181

02/28/2025

SONIA

35 bps

6,143,006

135,825

JPM

European Assets Trust PLC

GBP

209,444

02/27/2026

SONIA

35 bps

212,951

3,507

JPM

European Opportunities Trust PLC

GBP

187,614

11/28/2025

SONIA

35 bps

192,054

4,440

JPM

Geiger Counter, Ltd.

GBP

379,379

09/30/2025

SONIA

35 bps

389,243

9,864

JPM

HBM Healthcare Investments AG

EUR

791,332

01/30/2026

ESTRON

35 bps

792,126

794

JPM

Henderson International Income Trust PLC

GBP

1,257,891

03/31/2025

SONIA

35 bps

1,257,891

-

JPM

Henderson Smaller Companies Inv Trust PLC

GBP

1,792,180

04/30/2025

SONIA

35 bps

1,818,731

26,551

JPM

Herald Investment Trust PLC

GBP

10,939,567

02/28/2025

SONIA

35 bps

11,057,197

117,630

JPM

Impax Environmental Markets PLC

GBP

2,833,329

10/31/2025

SONIA

35 bps

2,868,570

35,241

JPM

India Capital Growth Fund, Ltd.

GBP

6,638

02/27/2026

SONIA

35 bps

6,717

79

JPM

International Biotechnology Trust PLC

GBP

292,250

11/28/2025

SONIA

35 bps

293,057

807

JPM

Invesco Perpetual UK Smaller Companies Investment Trust PLC

USD

274,521

09/30/2025

OBFR

35 bps

276,363

1,842

JPM

JPMorgan China Growth & Income PLC

GBP

80,952

02/27/2026

SONIA

35 bps

81,478

526

JPM

JPMorgan Emerging Markets Investment Trust PLC

GBP

304

01/30/2026

SONIA

35 bps

311

7

JPM

JPMorgan European Discovery Trust PLC

GBP

940,822

10/31/2025

SONIA

35 bps

1,006,510

65,688

JPM

JPMorgan European Growth & Income PLC

GBP

5,774

01/30/2026

SONIA

35 bps

5,855

81

JPM

JPM Global Emerging Markets Income Trust PLC

GBP

62,312

01/30/2026

SONIA

35 bps

63,239

927

JPM

JPMorgan Indian Investment Trust PLC

GBP

76,043

01/30/2026

SONIA

35 bps

77,868

1,825

JPM

JPMorgan UK Small CAP Growth & Income PLC

GBP

4,591

01/30/2026

SONIA

35 bps

4,636

45

JPM

Keystone Positive Change Investment Trust PLC

GBP

1,147,594

03/31/2025

SONIA

35 bps

1,163,565

15,971

JPM

Lowland Investment Company PLC

GBP

3,151,112

03/31/2025

SONIA

35 bps

3,187,471

36,359

JPM

Mercantile Investment Trust PLC

GBP

2,825,520

03/31/2025

SONIA

35 bps

2,908,276

82,756

JPM

Middlefield Canadian Income PC

GBP

1,519,192

02/28/2025

SONIA

35 bps

1,525,629

6,437

JPM

Monks Investment Trust PLC

GBP

1,981,115

03/31/2025

SONIA

35 bps

2,002,095

20,980

JPM

Montanaro European Smaller Companies Trust PLC

GBP

2,243,615

02/28/2025

SONIA

35 bps

2,272,943

29,328

JPM

Montanaro UK Smaller Cos Investment Trust PLC

GBP

1,094,041

09/30/2025

SONIA

35 bps

1,104,510

10,469

JPM

Murray Income Trust PLC

GBP

324,176

01/30/2026

SONIA

35 bps

331,090

6,914

JPM

North America Income Trust PLC

GBP

1,029,459

04/30/2025

SONIA

35 bps

1,041,465

12,006

JPM

Pacific Assets Trust PLC

GBP

417,794

01/30/2026

SONIA

35 bps

422,398

4,604

JPM

Pacific Horizon Investment Trust PLC

GBP

95,235

01/30/2026

SONIA

35 bps

94,911

(324

)

JPM

Polar Capital Global Financials Trust PLC

GBP

2,586,256

03/31/2025

SONIA

35 bps

2,624,196

37,940

JPM

Polar Capital Technology Trust PLC

GBP

6,712,475

10/31/2025

SONIA

35 bps

6,934,375

221,900

JPM

PRS REIT PLC

GBP

71,943

12/31/2025

SONIA

35 bps

74,643

2,700

JPM

RIT Capital Partners PLC

GBP

1,169,314

11/28/2025

SONIA

35 bps

1,194,760

25,446

JPM

River & Mercantile UK Micro Cap Inv Co Ltd

GBP

372,720

02/28/2025

SONIA

35 bps

372,720

-

JPM

Schroder AsiaPacific Fund PLC

GBP

4,612

01/30/2026

SONIA

35 bps

4,672

60

JPM

Schroder UK Mid Cap Fund PLC

GBP

1,198,644

03/31/2025

SONIA

35 bps

1,194,740

(3,904

)

JPM

Scottish American Investment Co. PLC

GBP

109,319

02/27/2026

SONIA

35 bps

110,372

1,053

JPM

Scottish Mortgage Investment Trust PLC

GBP

11,603,653

10/31/2025

SONIA

35 bps

11,927,808

324,155

JPM

Smithson Investment Trust PLC

GBP

7,662,697

02/28/2025

SONIA

35 bps

7,802,747

140,050

12

Saba Capital Income & Opportunities Fund II Consolidated Schedule of Investments

January 31, 2025

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

Templeton EM Investment Trust PLC

GBP

510,094

04/30/2025

SONIA

35 bps

$

517,364

$

7,270

JPM

The Biotech Growth Trust PLC

GBP

74,902

02/27/2026

SONIA

35 bps

76,348

1,446

JPM

The Global Smaller Companies Trust PLC

GBP

460,075

02/28/2025

SONIA

35 bps

465,156

5,081

JPM

Third Point Investors, Ltd.

USD

462,668

03/31/2025

OBFR

40 bps

471,885

9,217

JPM

Utilico Emerging Markets Trust PLC

GBP

285,095

04/30/2025

SONIA

35 bps

283,762

(1,333

)

JPM

VinaCapital Vietnam Opportunity Fund, Ltd.

GBP

426,283

01/30/2026

SONIA

35 bps

424,922

(1,361

)

JPM

Worldwide Healthcare Trust PLC

GBP

1,547,779

11/28/2025

SONIA

35 bps

1,577,676

29,897

Total Long Position Contracts

$

115,935,555

$

1,949,553

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.

Quarterly Report  |  January 31, 2025 13

Saba Capital Income & Opportunities Fund II Notes to Consolidated Financial Statements

January 31, 2025

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, 2025. Refer to the Consolidated Schedule 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		$	-			$	28,730,698			$	-			$	28,730,698
Senior Loans			-				23,781,472				-				23,781,472
Mortgage-Backed Security			-				1,223,411				-				1,223,411
Common Stock			27,481,750				-				-				27,481,750
Closed End Funds			37,570,144				-				-				37,570,144
Investment Trusts			13,172,622				-				-				13,172,622
Preferred Stock			-				-				495,841				495,841
Participation Agreement			-				-				868,566				868,566
Private Funds*			-				-				-				49,703,692
Unit Trusts			10,992,035				-				-				10,992,035
Special Purpose Acquisition Companies			157,103				-				17,300				174,403
Warrants			5,512				-				573,934				579,446
Right			2,474				-				-				2,474
Options**			5,378,983				-				-				5,378,983
Money Market Funds			15,999,803				-				-				15,999,803
Total		$	110,760,426			$	53,735,581			$	1,955,641			$	216,155,340

Securities Sold Short, at Fair Value		Level 1 - Quoted Prices				Level 2 - Significant Observable Inputs				Level 3 - Significant Unobservable Inputs				Total
Corporate Bonds		$	-			$	2,996,769			$	-			$	2,996,769
Sovereign Debt Obligations***			197,521,870				-				-				197,521,870
Common Stock			6,146,279				-				-				6,146,279
Exchange Traded Fund			9,608,191				-				-				9,608,191
Total		$	213,276,340			$	2,996,769			$	-			$	216,273,109

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		$	-			$	-			$	2,203,641			$	2,203,641
Forward Foreign Currency Contracts			-				71,266				-				71,266
Futures Contracts			488,833				-				-				488,833
Centrally Cleared Credit Default Swaps			-				6,871,901				-				6,871,901
Over the Counter Credit Default Swaps			-				6,825				-				6,825
TBA MBS forward contracts			-				2,502,935				-				2,502,935
Total Return Swaps			-				2,002,934				-				2,002,934
Total Assets		$	488,833			$	11,455,861			$	2,203,641			$	14,148,335
Liabilities
Forward Foreign Currency Contracts		$	-				829,262			$	-			$	829,262
Futures Contracts			511,046				-				-				511,046
Centrally Cleared Credit Default Swaps			-				291,908				-				291,908
Over the Counter Credit Default Swaps			-				155,314				-				155,314
Total Return Swaps			-				53,381				-				53,381
Total Liabilities		$	511,046			$	1,329,865			$	-			$	1,840,911

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

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

14