N-Q 1 dnq.htm HELIO SELECT FUND, INC. Helio Select Fund, Inc.

As filed with the Securities and Exchange Commission on March 11, 2009

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act File number 811-09079

 

 

HELIOS SELECT FUND, INC.

(Exact name of registrant as specified in Charter)

 

 

THREE WORLD FINANCIAL CENTER

200 VESEY STREET, 10TH FLOOR

NEW YORK, NY 10281

(Address of principal executive offices) (Zip code)

 

 

JOHN J. FEENEY, JR., PRESIDENT

THREE WORLD FINANCIAL CENTER

200 VESEY STREET, 10TH FLOOR

NEW YORK, NEW YORK 10281-1010

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-800-HYPERION

Date of fiscal year end: April 30, 2009

Date of reporting period: January 31, 2009

 

 

Form N-Q is to be used by management investment companies to file reports with the Commission not later than 60 days after the close of their first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (“1940 Act”)(17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

Item 1. Schedule of Investments.

HELIOS SELECT HIGH INCOME FUND

(Formerly Regions Morgan Keegan Select High Income Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

ASSET-BACKED SECURITIES - 0.2%

           

Collateralized Debt Obligations - 0.0%

           

Aardvark ABS CDO

           

Series 2007-1A, Class SUB (c)

    0.00 %#   07/06/47    $ 3,500    $ 0

ACA ABS 2006-2 Limited

           

Series 2006-2 ‡ (a) (c)

    0.00     01/10/47      30      0

Acacia CDO Limited

           

Series 10A, Class SUB ‡ (a) (c)

    0.00 #   09/07/46      5,000      1

Aladdin CDO I Limited

           

Series 2006-3A, Class NOTE ‡ (a) (c)

    0.00 #   10/31/13      3,761      0

Ambassador Structured Finance CDO Limited

           

Series 2005-1A, Class IN (c)

    0.00 #   07/03/41      4,500      0

Broderick CDO Limited

           

Series 2007-3A, Class E (c)

    0.00 #   12/06/50      4,534      0

Cairn Mezzanine ABS CDO PLC

           

Series 2007-3A, Class SUB (c)

    0.00 #   08/13/47      6,000      1

Duke Funding Limited

           

Series 2005-HG1A, Class SUB (c)

    0.00 #   01/27/45      2,000      0

Grand Avenue CDO Limited

           

Series 2005-1A, Class E2 ‡ (a) (c)

    0.00 #   04/05/46      4,553      1

Gulf Stream Atlantic CDO Limited

           

Series 2007-1A, Class SUB ‡ (a) (c)

    0.00 #   07/13/47      3,500      0

Ischus CDO III Limited ‡ (a) (c)

    0.00     07/03/46      5      0

IXIS ABS CDO 1 Limited ‡ (a) (c)

    0.00     12/12/46      3,000      30

Kleros Preferred Funding III ‡ (a) (c)

    0.00     10/26/50      53      1

Kleros Preferred Funding

           

Series 2006-5A, Class SUB (c)

    0.00 #   02/02/50      5,500      1

Knollwood CDO Limited

           

Series 2006-2A, Class E‡ (a) (c)

    0.00 #   07/13/46      3,582      0

Series 2006-2A, Class SN(c)

    0.00 #   07/13/46      5,250      1

Montauk Point CDO II Limited ‡ (a) (c)

    0.00     06/07/46      4      0

Palmer Square PLC

           

Series 2A, Class CN ‡ (a) (c)

    0.00 #   11/02/45      5,000      1

Sharps CDO

           

Series 2006-1A, Class E ‡ (a) (c)

    0.00 #   05/08/46      6,901      1

Silver Elms CDO PLC

           

Series 2006-1A, Class E (c)

    0.00 #   12/20/51      7,450      1

Squared CDO Limited

           

Series 2007-1A, Class C ‡ (a) (c)

    0.00 #   05/11/57      2,177      0

Tahoma CDO Limited

           

Series 2007-2A, Class D ‡ (a) (c)

    0.00 #   09/15/47      2,163      0

Webster CDO Limited

           

Series 2006-1, Class PS ‡ (a) (c)

    0.00 #   04/13/47      5      0
              

Total Collateralized Debt Obligations

           

(Cost - $83,521,565)

              39
              

Home Equity Loans - 0.2%

           

Ameriquest Mortgage Securities Inc.

           

Series 2003-8, Class MV6 (b)

    4.14 †   10/25/33      579      14,447

Conseco Finance

           

Series 2001-C, Class B2 (c)

    4.33 †   08/15/33      179      16,568

Fremont NIM Trust

           

Series 2005-2, Class N3 ‡ (a) (b) (c)

    0.00 #   06/25/35      3,621      0

Master Asset Backed Securities NIM Trust

           

Series 2004-CI4, Class N2 ‡ (a) (c)

    0.00 #   04/26/34      1,605      0

Meritage Asset Holdings NIM

           

Series 2005-2, Class N4 ‡ (a) (b) (c)

    0.00 #   11/25/35      5,200      1

Terwin Mortgage Trust

           

Series 2005-7SL, Class B7‡ (a) (b) (c)

    0.00 #   07/25/35      4,196      1

Series 2005-11, Class 1B7‡ (a) (b) (c)

    0.00 #   11/25/36      2,330      0

See notes to financial statements.

 

1

HELIOS SELECT HIGH INCOME FUND

(Formerly Regions Morgan Keegan Select High Income Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

ASSET-BACKED SECURITIES (continued)

           

Terwin Mortgage Trust NIM

           

Series 2006-R2, Class A ‡ (a) (b) (c)

    0.00 %#   12/25/36    $ 12,799    $ 1
              

Total Home Equity Loans

           

(Cost - $26,130,521)

              31,018
              

Total ASSET-BACKED SECURITIES

           

(Cost - $109,652,086)

              31,057
              

MORTGAGE-BACKED SECURITIES - 4.3%

           

Collateralized Mortgage Obligations - 4.3%

           

Asset Securitization Corp.

           

Series 1996-D2, Class ACS2

    1.07 †   02/14/29      973      13,560

Countrywide Alternative Loan Trust

           

Series 2006-6CB, Class B4 (c)

    0.00 #   05/25/36      340      0

Harborview Mortgage Loan Trust

           

Series 2003-2, Class 1X(c)

    0.00 #   10/19/33      6,200      153,759

Series 2004-1, Class X(c)

    0.00 #   04/19/34      4,383      117,283

Harborview NIM Corp.

           

Series 2006-8A, Class N5‡ (a) (c)

    0.00 #   07/21/36      11,679      1

Series 2006-8, Class PS(c)

    0.00     07/22/36      0      0

Series 2006-14, Class N4‡ (a) (c)

    0.00 #   03/19/38      2,000      0

Series 2006-14, Class PS(c)

    0.00     12/19/36      11,000      110

Indymac Index Mortgage Loan NIM Trust

           

Series 2006-AR6, Class PS ‡ (a) (b) (c)

    0.00     06/25/46      127      1

Long Beach Asset Holdings Corp. NIM Trust

           

Series 2005-WL1, Class N4‡ (a) (b) (c)

    0.00 #   06/25/45      12,000      1

Series 2006-2, Class N3‡ (a) (b) (c)

    0.00 #   04/25/46      3,600      0

Sasco NIM Trust

           

Series 2003-S, Class A ‡ (a) (c)

    7.50     12/28/33      1,306      98,599

Sharp SP I LLC NIM Trust

           

Series 2006-AHM3, Class N3 ‡ (a) (c)

    0.00 #   10/25/46      1,964      176,547

Structured Asset Investment Loan Trust

           

Series 2004-1, Class M5 (b)

    4.89 †   02/25/34      914      108,007

Structured Asset Securities Corp.

           

Series 1999-1, Class NOTE ‡ (a) (c)

    0.00 #   08/25/28      7,264      1
              

Total Collateralized Mortgage Obligations

           

(Cost - $40,326,222)

              667,869
              

Total MORTGAGE-BACKED SECURITIES

           

(Cost - $40,326,222)

              667,869
              

HIGH YIELD CORPORATE BONDS - 71.7%

           

Basic Industry - 13.2%

           

ACE Hardware Corp. ‡ (a)

    9.13     06/01/16      250      187,500

AK Steel Corp.

    7.75     06/15/12      250      207,500

Arch Western Finance

    6.75     07/01/13      250      236,875

Crown Americas LLC

    7.75     11/15/15      250      252,500

Freeport McMoRan Copper & Gold

    8.38     04/01/17      250      207,500

Georgia-Pacific Corp.

    8.13     05/15/11      250      241,250

Mueller Water Products Inc.

    7.38     06/01/17      250      193,750

Steel Dynamics Inc.

    6.75     04/01/15      250      198,125

U.S. Steel Corp.

    7.00     02/01/18      250      179,208

Westlake Chemical Corp.

    6.63     01/15/16      250      132,500
              

Total Basic Industry

           

(Cost - $2,166,963)

              2,036,708
              

Capital Goods - 4.1%

           

Alliant Techsystems Inc.

    6.75     04/01/16      250      240,000

Case Corp.

    7.25     01/15/16      250      178,750

See notes to financial statements.

 

2

HELIOS SELECT HIGH INCOME FUND

(Formerly Regions Morgan Keegan Select High Income Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

HIGH YIELD CORPORATE BONDS (continued)

           

Terex Corp.

    7.38     01/15/14    $ 250    $ 217,500
              

Total Capital Goods

           

(Cost - $652,600)

              636,250
              

Consumer Cyclical - 4.8%

           

Collective Brands Inc.

    8.25     08/01/13      250      210,000

Ford Motor Credit Co.

    7.00     10/01/13      125      77,818

General Motors Corp.

    7.13     07/15/13      125      20,000

Levi Strauss & Co.

    9.75     01/15/15      250      205,938

Phillips-Van Heusen Corp.

    7.25     02/15/11      250      234,375
              

Total Consumer Cyclical

           

(Cost - $813,338)

              748,131
              

Consumer Non-Cyclical - 8.8%

           

Constellation Brands Inc.

    7.25     05/15/17      250      240,000

Couche-Tard U.S. LP

    7.50     12/15/13      250      232,500

Jarden Corp.

    7.50     05/01/17      250      180,000

Service Corp. International

    6.75     04/01/16      250      224,375

Stater Brothers Holdings

    8.13     06/15/12      250      247,500

SUPERVALU Inc.

    7.50     05/15/12      250      241,250
              

Total Consumer Non-Cyclical

           

(Cost - $1,410,746)

              1,365,625
              

Consumer Products - 0.0%

           

Home Products International Inc. (c)

           

(Cost $794,668)

    0.00 #   10/01/12      795      0
              

Energy - 12.5%

           

Chesapeake Energy Corp.

    6.88     01/15/16      250      214,375

El Paso Corp.

    6.88     06/15/14      250      230,625

Frontier Oil Corp.

    6.63     10/01/11      250      238,750

National Oilwell Varco Inc. Series B

    6.13     08/15/15      135      114,395

Newfield Exploration Co.

    6.63     09/01/14      250      223,750

Plains Exploration & Production Co.

    7.63     06/01/18      250      213,750

Range Resources Corp.

    7.50     05/15/16      250      235,000

SESI LLC

    6.88     06/01/14      250      201,250

Williams Companies Inc. ‡ (a)

    6.38     10/01/10      265      258,343
              

Total Energy

           

(Cost - $1,966,544)

              1,930,238
              

Industrials - 1.5%

           

Owens-Illinois Inc.

           

(Cost $253,627)

    7.80     05/15/18      250      230,000
              

Media - 2.7%

           

Charter Communications Operating LLC ‡ (a)

    8.38 %   04/30/14      250      207,500

Mediacom Broadband LLC

    8.50     10/15/15      250      215,000
              

Total Media

           

(Cost - $439,338)

              422,500
              

Services Cyclical - 5.9%

           

AMC Entertainment Inc.

    8.63     08/15/12      250      227,500

Gamestop Corp.

    8.00     10/01/12      250      247,500

Iron Mountain Inc.

    8.75     07/15/18      250      239,688

United Rentals North America Inc.

    6.50     02/15/12      250      205,000
              

Total Services Cyclical

           

(Cost - $897,016)

              919,688
              

See notes to financial statements.

 

3

HELIOS SELECT HIGH INCOME FUND

(Formerly Regions Morgan Keegan Select High Income Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		    Maturity    Principal
Amount
(000s)		    Value

HIGH YIELD CORPORATE BONDS (continued)

            

Services Non-Cyclical - 3.2%

            

ARAMARK Corp.

    8.50    02/01/15    $ 250    $ 243,125

Church & Dwight Company Inc.

    6.00    12/15/12      250      247,500
               

Total Services Non-Cyclical

            

(Cost - $472,101)

               490,625
               

Technology & Electronics - 2.5%

            

Flextronics International Limited

    6.25    11/15/14      250      193,125

Sungard Data Systems Inc.

    4.88    01/15/14      250      185,000
               

Total Technology & Electronics

            

(Cost - $399,379)

               378,125
               

Telecommunications - 12.5%

            

American Tower Corp. ‡ (a)

    7.00    10/15/17      250      240,000

Cincinnati Bell Inc.

    8.38    01/15/14      250      223,750

Comcast Cable Communications Holdings Inc.

    8.38    03/15/13      500      540,559

CSC Holdings Inc. ‡ (a)

    8.50    04/15/14      250      245,625

Frontier Communications Co.

    6.25    01/15/13      250      235,000

L-3 Communications Corp.

    6.13    01/15/14      250      232,500

Windstream Corp.

    7.00    03/15/19      250      221,250

Total Telecommunications

            

(Cost - $1,845,204)

               1,938,684
               

Total HIGH YIELD CORPORATE BONDS

            

(Cost - $12,111,524)

               11,096,574
               

MUNICIPAL SECURITIES - 0.7%

            

Muni-Arizona - 0.7%

            

Pima County Arizona Industrial Development Authority (d)

    10.81    06/01/09      45      43,547

Pima County Arizona Industrial Development Authority (d)

    11.98    06/01/10      64      54,648
               

Total Muni-Arizona

            

(Cost - $105,130)

               98,195
               

Total MUNICIPAL SECURITIES

            

(Cost - $105,130)

               98,195
               
               Shares     

COMMON STOCKS - 5.3%

            

Consumer Products - 0.3%

            

Coca-Cola Co.

            1,000      42,720

Home Products International Inc. * (c)

            31,787      0
               

Total Consumer Products

            

(Cost - $3,080,273)

               42,720
               

Diversified Manufacturing Operations - 0.3%

            

General Electric Co.

            

(Cost $52,162)

            3,750      45,488
               

Finance & Investment - 2.4%

            

FSI Realty Trust (c)

            288,000      3

FSI Realty Trust ‡ (a) (c)

            82,800      1

Mid Country * ‡ (a) (c)

            110,294      369,485
               

Total Finance & Investment

            

(Cost - $5,219,432)

               369,489
               

Gas-Distribution - 0.3%

            

Southern Union Co.

            

(Cost $53,532)

            4,000      51,560
               

See notes to financial statements.

 

4

HELIOS SELECT HIGH INCOME FUND

(Formerly Regions Morgan Keegan Select High Income Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Shares    Value

COMMON STOCKS (continued)

      

Industrials - 0.0%

      

Port Townsend Company Inc. * (c)

      

(Cost $875,847)

    1,575    $ 0
         

Steel-Producers - 0.4%

      

United States Steel Corp.

      

(Cost $57,435)

    1,750      52,552
         

Telecommunications - 1.6%

      

AT&T Inc.

    2,000      49,240

Frontier Communications Corp.

    6,500      52,715

Qwest Communications International Inc.

    15,000      48,300

Verizon Communications Inc.

    1,750      52,272

Windstream Corp.

    6,000      52,080
         

Total Telecommunications

      

(Cost - $260,298)

         254,607
         

Total COMMON STOCKS

      

(Cost - $9,598,979)

         816,416
         

Total Investments - 82.2%

      

(Cost - $171,793,941)

         12,710,111

Other Assets in Excess of Liabilities - 17.8%

         2,761,620
         

NET ASSETS - 100.0%

       $ 15,471,731
         

 

*    —    Non-income producing security.
#    —    Issuer is currently in default on its regularly scheduled interest payment.
†    —    Variable Rate Security - Interest rate shown is the rate in effect as of January 31, 2009.
‡    —    Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2009 the total value of all such investments was $1,783,642 or 11.53% of net assets.
(a)    —    Private Placement.
(b)    —    Investment in sub-prime security. As of January 31, 2009, the total value of all such investments was $122,459 or 0.79% of net assets.
(c)    —    Security is valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of January 31, 2009 the total value of all such securities was $932,401 or 6.03% of net assets.
(d)    —    Zero Coupon Bond - Interest rate represents current yield to maturity.
ABS    —    Asset Backed Securities.
CDO    —    Collateralized Debt Obligation.
NIM    —    Net Interest Margin.

See notes to financial statements.

 

5

HELIOS SELECT INTERMEDIATE BOND FUND

(Formerly Regions Morgan Keegan Select Intermediate Bond Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

ASSET-BACKED SECURITIES - 0.8%

           

Certificate - Backed Obligations - 0.0%

           

MKP CBO I Limited

           

Series 4A, Class CS‡ (a) (c)

    0.00 %#   10/01/12    $ 5,073    $ 1
              

(Cost $5,116,687)

           

Collateralized Debt Obligations - 0.6%

           

Acacia CDO Limited

           

Series 10A, Class D‡ (a) (c)

    0.00 #   09/07/46      9,408      1

Aladdin CDO I Limited

           

Series 2006-3A, Class NOTE‡ (a) (c)

    0.00 #   10/31/13      2,508      0

Charles River CDO

           

Series 1X, Class BV(c)

    0.00 #   12/09/37      5,348      1

Curzon Funding Limited

           

Series HZ05-1, Class D(c)

    0.00 #   02/01/95      5,000      1

Fiorente Funding Limited

           

Series 2006-1A, Class M1‡ (a) (c)

    0.00 #   11/04/56      6,252      1

G Square Finance

           

Series 2006-1A, Class C1‡ (a) (c)

    0.00 #   04/05/51      15,004      1

Inman Square Funding Limited

           

Series 2005-2X, Class IV(c)

    0.00 #   10/06/40      5,104      1

Kleros Preferred Funding

           

Series 2006-5A, Class E‡ (a) (c)

    0.00 #   02/02/50      10,386      1

Lincoln Avenue ABS CDO Limited

           

Series 1-A, Class D‡ (a) (c)

    0.00 #   07/05/46      3,284      0

Linker Finance PLC

           

Series 16A, Class E‡ (a) (c)

    0.00 #   05/19/45      6,000      60,000

Newbury Street CDO Limited

           

Series 2007-1A, Class D‡ (a) (c)

    0.00 #   03/04/53      2,186      0

Orchid Structured Finance CDO Limited

           

Series 2006-3A, Class E‡ (a) (c)

    0.00 #   01/06/46      3,200      0

Palmer Square PLC

           

Series 2A, Class CN‡ (a) (c)

    0.00 #   11/02/45      8,000      1

Pasa Funding Limited

           

Series 2007-1A, Class D (c)

    0.00 #   04/07/52      3,000      0

Sharps CDO

           

Series 2006-1A, Class D‡ (a) (c)

    0.00 #   05/08/46      4,472      0

Tahoma CDO Limited

           

Series 2007-2A, Class D‡ (a) (c)

    0.00 #   09/15/47      7,031      1
              

Total Collateralized Debt Obligations

           

(Cost - $91,152,265)

              60,009
              

Collateralized Loan Obligation - 0.0%

           

Galleria Limited

           

Series 5A, Class B‡ (a) (c)

           

(Cost $3,310,705)

    2.48 †   09/19/37      4,140      0
              

Home Equity Loans - 0.2%

           

ACE Securities Corp.

           

Series 2005-HE2, Class M10

    0.00 #   04/25/35      2,992      20,208

Morgan Stanley Dean Witter Capital I

           

Series 2002-NC3, Class B1

    0.00 #   08/25/32      437      4,874

SB Finance NIM Trust

           

Series 2005-KS6N, Class A1A‡ (a) (c)

    0.00 #   07/25/35      304      0
              

Total Home Equity Loans

           

(Cost - $3,472,590)

              25,082
              

Total ASSET-BACKED SECURITIES

           

(Cost - $103,052,247)

              85,092
              

See notes to financial statements.

 

6

HELIOS SELECT INTERMEDIATE BOND FUND

(Formerly Regions Morgan Keegan Select Intermediate Bond Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

MORTGAGE-BACKED SECURITIES - 8.3%

           

Collateralized Mortgage Obligations - 8.3%

           

Deutsche ALT-A Securities NIM Trust

           

Series 2007-OA1, Class N2‡ (a) (c)

    0.00 %#   02/25/47    $ 3,000    $ 10,440

Fannie Mae-Aces

           

Series 1999-M3, Class N

    0.71 †   06/25/38      14,376      56,151

Series 1997-M6, Class IO

    0.81 †   03/17/37      791      792

Harborview Mortgage Loan Trust

           

Series 2003-2, Class 1X(c)

    0.00 #   10/19/33      3,606      89,419

Series 2004-1, Class X(c)

    0.00 #   04/19/34      2,191      58,642

Series 2006-4, Class B10(c)

    0.00 #   05/19/47      4,111      9,702

Mellon Residential Funding Corp.

           

Series 2004-TBC1, Class X‡ (a)

    0.00 #   02/26/34      15,527      595,164

Park Place Securities Inc.

           

Series 2005-WHQ2, Class M11(b)

    0.00 #   05/25/35      5,529      24,124

Sail Net Interest Margin Notes

           

Series 2004-5A, Class B‡ (a) (b) (c)

    0.00 #   06/27/34      175      0

Sasco NIM Trust

           

Series 2003-BC2, Class N3‡ (a) (c)

    0.00 #   02/27/33      3,725      0

Sharp SP I LLC NIM Trust

           

Series 2005-HE1N, Class NB‡ (a) (c)

    0.00 #   02/25/35      999      0

Structured Asset Securities Corp.

           

Series 1999-SP1, Class B (c)

    9.00 †   05/25/29      357      31,259
              

Total Collateralized Mortgage Obligations

           

(Cost - $20,366,159)

              875,693
              

Total MORTGAGE-BACKED SECURITIES

           

(Cost - $20,366,159)

              875,693
              

HIGH YIELD CORPORATE BONDS - 33.8%

           

Basic Industry - 3.0%

           

Freeport McMoRan Copper & Gold

    8.38     04/01/17      125      103,750

Georgia-Pacific Corp.

    8.13     05/15/11      125      120,625

U.S. Steel Corp.

    7.00     02/01/18      125      89,604
              

Total Basic Industry

           

(Cost - $302,219)

              313,979
              

Capital Goods - 2.0%

           

Case Corp.

    7.25     01/15/16      125      89,375

Owens-Brockway Glass Container Inc.

    6.75     12/01/14      125      117,500
              

Total Capital Goods

           

(Cost - $209,060)

              206,875
              

Consumer Cyclical - 5.9%

           

CVS Caremark Corp.

    5.75     06/01/17      500      500,281

Phillips-Van Heusen Corp.

    7.25     02/15/11      125      117,187
              

Total Consumer Cyclical

           

(Cost - $555,118)

              617,468
              

Consumer Non-Cyclical - 5.4%

           

Constellation Brands Inc.

    7.25     05/15/17      125      120,000

McKesson Corp.

    5.70     03/01/17      500      449,262
              

Total Consumer Non-Cyclical

           

(Cost - $571,493)

              569,262
              

Energy - 2.2%

           

El Paso Corp.

    6.88     06/15/14      125      115,313

Range Resources Corp.

    7.50     05/15/16      125      117,500
              

Total Energy

           

(Cost - $211,904)

              232,813
              

See notes to financial statements.

 

7

HELIOS SELECT INTERMEDIATE BOND FUND

(Formerly Regions Morgan Keegan Select Intermediate Bond Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		    Maturity    Principal
Amount
(000s)		    Value

HIGH YIELD CORPORATE BONDS (continued)

            

Services Cyclical - 2.1%

            

Gamestop Corp.

    8.00    10/01/12    $ 125    $ 123,750

United Rentals North America Inc.

    6.50    02/15/12      125      102,500
               

Total Services Cyclical

            

(Cost - $216,266)

               226,250
               

Services Non-Cyclical - 1.2%

            

Church & Dwight Company Inc.

            

(Cost $116,667)

    6.00    12/15/12      125      123,750
               

Technology & Electronics - 3.0%

            

Flextronics International Limited

    6.25    11/15/14      125      96,563

Iron Mountain Inc.

    8.63    04/01/13      125      124,531

Sungard Data Systems Inc.

    4.88    01/15/14      125      92,500
               

Total Technology & Electronics

            

(Cost - $318,101)

               313,594
               

Telecommunications – 9.0%

            

American Tower Corp.‡ (a)

    7.00    10/15/17      125      120,000

Frontier Communications Co.

    6.25    01/15/13      125      117,500

L-3 Communications Corp.

    6.13    01/15/14      125      116,250

Rogers Wireless Inc.

    6.38    03/01/14      500      486,558

Windstream Corp.

    7.00    03/15/19      125      110,625
               

Total Telecommunications

            

(Cost - $862,909)

               950,933
               

Total HIGH YIELD CORPORATE BONDS

            

(Cost - $3,363,737)

               3,554,924
               
               Shares     

PREFERRED SECURITIES - 31.4%

            

Fixed Income Pass-Through Trust 2007

            

Series 2007-C JPM, Class B* ‡ (a) (c)

            1,850      62,900

Preferred Pass-Through Trust

            

Series 2006-C MER, Class B‡ (a) (c)

            13,000      2,470,000

Series 2006-B BAC, Class B* ‡ (a) (c)

            285      356,250

RAM Holdings Limited

            

Series A(c)

            13      130,000

XL Capital Limited

            

Class C* ‡ (a) (c)

            80,000      283,200
               

Total PREFERRED SECURITIES

            

(Cost - $37,794,019)

               3,302,350
               

Total Investments - 74.3%

            

(Cost - $164,576,162)

               7,818,059

Other Assets in Excess of Liabilities - 25.7%

               2,701,975
               

NET ASSETS - 100.0%

             $ 10,520,034
               

 

*   —     Non-income producing security.
#   —     Issuer is currently in default on its regularly scheduled interest payment.
†   —     Variable Rate Security - Interest rate shown is the rate in effect as of January 31, 2009.
‡   —     Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2009, the total value of all such investments was $3,957,961 or 37.62% of net assets.
(a)   —     Private Placement.
(b)   —     Investment in sub-prime security. As of January 31, 2009, the total value of all such investments was $24,124 or 0.23% of net assets.
(c)   —     Security is valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of January 31, 2009 the total value of all such securities was $3,561,822 or 33.86% of net assets.

See notes to financial statements.

 

8

HELIOS SELECT INTERMEDIATE BOND FUND

(Formerly Regions Morgan Keegan Select Intermediate Bond Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

ABS   —     Asset Backed Securities.
CBO   —     Certificate-Backed Obligations.
CDO   —     Collateralized Debt Obligation.
NIM   —     Net Interest Margin.

See notes to financial statements.

 

9

HELIOS SELECT SHORT TERM BOND FUND

(Formerly Regions Morgan Keegan Select Short Term Bond Fund)

Portfolio of Investments (Unaudited)

January 31, 2009

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value
(Note 2)

ASSET-BACKED SECURITIES - 0.0%

           

Collateralized Debt Obligations - 0.0%

           

Acacia CDO Limited

           

Series 10A, Class D ‡ (a) (b)

    0.00 %#   09/07/46    $ 1,568    $ 0

Fort Duquesne CDO Limited

           

Series 2006-1A, Class D ‡ (a) (b)

    0.00 #   10/26/46      1,015      0

Fulton Street CDO Limited

           

Series 1A, Class A2 ‡ (a) (b)

    0.00 #   04/20/37      2,018      1

Pasa Funding Limited

           

Series 2007-1A, Class D (b)

    0.00 #   04/07/52      750      0
              

Total Collateralized Debt Obligations

           

(Cost - $4,911,531)

              1
              

Home Equity Loans - 0.0%

           

SB Finance NIM Trust

           

Series 2005-KS6N, Class A1A ‡ (a) (b)

           

(Cost $33,555)

    0.00 #   07/25/35      34      0
              

Total ASSET-BACKED SECURITIES

           

(Cost - $4,945,086)

              1
              
                Shares     

PREFERRED SECURITIES - 2.0%

           

Special Purpose Equity - 2.0%

           

Preferred Pass-Through Trust

           

Series 2006-B BAC, Class B * ‡ (a) (b)

           

(Cost $484,200)

           18,000      22,500
              

Total Investments - 2.0%

           

(Cost - $5,429,286)

              22,501

Other Assets in Excess of Liabilities - 98.0%

              1,093,288
              

NET ASSETS - 100.0%

            $ 1,115,789
              

 

*    —    Non-income producing security.
#    —    Issuer is currently in default on its regularly scheduled interest payment.
‡    —    Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2009 the total value of all such investments was $22,501 or 2.02% of net assets.
(a)    —    Private Placement.
(b)    —    Security is valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of January 31, 2009 the total value of all such securities was $22,501 or 2.02% of net assets.
CDO    —    Collateralized Debt Obligation.
NIM    —    Net Interest Margin.

See notes to financial statements.

 

10

HELIOS SELECT FUNDS, INC.

(Formerly Regions Morgan Keegan Select Funds, Inc.)

Notes to Financial Statements

January 31, 2009

 

 

Valuation of Investments: Debt securities, including U. S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities, are generally valued at the latest price furnished by an independent pricing service or a broker-dealer. Short-term debt securities with remaining maturities of sixty days or less are valued at cost with interest accrued or discount accreted to the date of maturity, unless such valuation, in the judgment of the Advisor’s Valuation Committee, does not represent market value.

Investments in equity securities listed or traded on any securities exchange or traded in the over-the-counter market are valued at the last quoted price as of the close of business on the valuation date. Equity securities for which no sales were reported for that date are valued at “fair value” as determined in good faith by the Advisor’s Valuation Committee. Investments in open-end registered investment companies, if any, are valued at the net asset value (“NAV”) as reported by those investment companies.

When price quotations for certain securities are not readily available, or if the available quotations are not believed to be reflective of market value by the Advisor, those securities will be valued at “fair value” as determined in good faith by the Advisor’s Valuation Committee using procedures established by and under the supervision of each Fund’s Board of Directors. There can be no assurance that a Fund could purchase or sell a portfolio security at the price used to calculate a Fund’s NAV.

Fair valuation procedures may be used to value a substantial portion of the assets of the Funds. A Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the Advisor determines that the quotation or price for a portfolio security provided by a broker-dealer or independent pricing service is inaccurate.

The “fair value” of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality.

The values assigned to fair valued investments are based on available information and do not necessarily represent amounts that might ultimately be realized, since such amounts depend on future developments inherent in long-term investments. Changes in the fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material.

The Funds have adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”), effective May 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the

 

11

HELIOS SELECT FUNDS, INC.

(Formerly Regions Morgan Keegan Select Funds, Inc.)

Notes to Financial Statements

January 31, 2009

 

 

 

assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

• Level 1  -   quoted prices in active markets for identical investments
• Level 2  -   other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment spreads, credit risk, etc.
• Level 3  -   significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

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

The following is a summary of the inputs used as of January 31, 2009 in valuing the Funds’ investments carried at fair value:

 

     Investments in Securities

Valuation Inputs

    Helios Select
High Income
Fund		    Helios Select
Intermediate
Bond Fund		    Helios Select
Short Term
Bond Fund

Level 1 - Quoted Prices

    $ 446,927    $ —      $ —  

Level 2 - Other Significant Observable Inputs

      1,238,802      1,436,102      —  

Level 3 - Significant Unobservable Inputs

      11,024,382      6,381,957      22,501
                    

Total

    $ 12,710,111    $ 7,818,059    $ 22,501
                    
     Other Financial Instruments*

Valuation Inputs

    Helios Select
High Income
Fund		    Helios Select
Intermediate
Bond Fund		    Helios Select
Short Term
Bond Fund

Level 1 - Quoted Prices

    $ —      $ —      $ —  

Level 2 - Other Significant Observable Inputs

      —        —        —  

Level 3 - Significant Unobservable Inputs

      —        —        —  
                    

Total

    $ —      $ —      $ —  
                    

 

* Other financial instruments include options, futures, forwards and swap contracts.

 

12

HELIOS SELECT FUNDS, INC.

(Formerly Regions Morgan Keegan Select Funds, Inc.)

Notes to Financial Statements

January 31, 2009

 

 

 

The following is a reconciliation of assets of which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Investments in Securities  
     Helios Select
High Income
Fund		     Helios Select
Intermediate
Bond Fund		     Helios Select
Short Term
Bond Fund		  

Balance as of May 1, 2008

    $ 52,507,228     $ 32,904,114     $ 3,246,660  

Net sales at cost

      (50,650,033 )     (26,901,274 )     (1,562,646 )

Realized loss

      (154,225,438 )     (132,540,948 )     (9,534,500 )

Change in unrealized depreciation

      162,840,583       129,451,885       6,525,901  

Accretion/(amortization)

      11,451       (63,576 )     —    

Transfers in and/or out of Level 3

      540,591       3,531,756       1,347,086  
                        

Balance as of January 31, 2009

    $ 11,024,382     $ 6,381,957     $ 22,501  
                        

Federal Income Tax Basis: The federal income tax basis of the Funds’ investments at January 31, 2009 was as follows:

 

Fund

    Cost of
Investments		    Gross
Unrealized
Appreciation		    Gross
Unrealized
Depreciation		     Net
Unrealized
Depreciation		  

Helios Select High Income Fund

    $ 172,529,100    $ 304,913    $ (160,123,902 )   $ (159,818,989 )

Helios Select Intermediate Bond Fund

      164,617,357      221,231      (157,020,529 )     (156,799,298 )

Helios Short Term Bond Fund

      5,429,286      0      (5,406,785 )     (5,406,785 )

Designation of Restricted Illiquid Securities

Helios Select High Income Fund

 

Restricted Securities

    Interest
Rate		     Maturity    Acquisition
Date		    Cost    Market
Value		    Percentage
of Net
Assets		  

ACA ABS 2006-2 Limited Series 2006-2

    0.00 %   01/10/47    02/01/07    $ 2,340,000    $ 0    0.0 %

Acacia CDO Limited Series 10A, Class SUB

    0.00     09/07/46    07/21/06      2,398,786      1    0.0  

Ace Hardware Corp.

    9.13     06/01/16    01/28/09      188,804      187,500    1.2  

Aladdin CDO I Limited Series 2006-3A, Class NOTE

    0.00     10/31/13    07/31/06-
09/01/06		      2,222,732      0    0.0  

American Tower Corp.

    7.00     10/15/17    11/07/08      221,735      240,000    1.5  

CSC Holdings Inc.

    8.50     04/15/14    01/16/09      233,750      245,625    1.6  

Fremont NIM Trust Series 2005-2, Class N3

    0.00     06/25/35    12/13/05      3,300,047      0    0.0  

FSI Realty Trust

         04/26/07      828,000      1    0.0  

 

13

HELIOS SELECT FUNDS, INC.

(Formerly Regions Morgan Keegan Select Funds, Inc.)

Notes to Financial Statements

January 31, 2009

 

 

 

Helios Select High Income Fund (continued)

 

Restricted Securities

    Interest
Rate		     Maturity    Acquisition
Date		    Cost    Market
Value		    Percentage
of Net
Assets		  

Grand Avenue CDO Limited Series 2005-1A, Class E2

    0.00 %   04/05/46    12/19/05-
07/01/08		    $ 4,325,799    $ 1    0.0 %

Gulf Stream Atlantic CDO Limited Series 2007-1A, Class SUB

    0.00     07/13/47    02/01/07      2,956,255      0    0.0  

Harborview NIM Corp. Series 2006-8A, Class N5

    0.00     07/21/36    10/06/05      5,189,760      1    0.0  

Harborview NIM Corp.

Series 2006-14, Class N4

    0.00     03/19/38    02/21/07      1,696,014      0    0.0  

Indymac Index Mortgage Loan NIM Trust

Series 2006-AR6, Class PS

    0.00     06/25/46    07/17/06      3,455,094      1    0.0  

Ischus CDO III Limited

    0.00     07/03/46    02/07/07      3,550,000      0    0.0  

IXIS ABS CDO 1 Limited

    0.00     12/12/46    11/09/06      2,364,033      30    0.0  

Kleros Preferred Funding III

    0.00     10/26/50    01/31/07      4,830,000      1    0.0  

Knollwood CDO Limited Series 2006-2A, Class E

    0.00     07/13/46    08/01/06-
07/01/08		      3,409,975      0    0.0  

Long Beach Asset Holdings Corp. NIM Trust Series 2005-WL1, Class N4

    0.00     06/25/45    10/28/05-
01/24/06		      11,070,054      1    0.0  

Long Beach Asset Holdings Corp. NIM Trust Series 2006-2, Class N3

    0.00     04/25/46    03/24/06      3,330,214      0    0.0  

Master Asset Backed Securities Trust Series 2004-CI4, Class N2

    0.00     04/26/34    06/03/05      1,541,604      0    0.0  

Meritage Asset Holdings NIM Series 2005-2, Class N4

    0.00     11/25/35    10/21/05      4,053,365      1    0.0  

Mid Country

         05/22/07      1,874,998      369,485    2.4  

Montauk Point CDO III Limited

    0.00     06/07/46    02/28/07      2,180,000      0    0.0  

Palmer Square PLC Series 2A, Class CN

    0.00     11/02/45    10/21/05      5,063,008      1    0.0  

Sasco NIM Trust Series 2003-S, Class A

    7.50     12/28/33    12/18/03      1,294,482      98,599    0.6  

Sharp SP I LLC NIM Trust Series 2006-AHM3, Class N3

    0.00     10/25/46    10/12/06      1,963,547      176,547    1.2  

 

14

HELIOS SELECT FUNDS, INC.

(Formerly Regions Morgan Keegan Select Funds, Inc.)

Notes to Financial Statements

January 31, 2009

 

 

 

Helios Select High Income Fund (continued)

 

Restricted Securities

    Interest
Rate		     Maturity    Acquisition
Date		    Cost    Market
Value		    Percentage
of Net
Assets		  

Sharps CDO Series 2006-1A, Class E

    0.00 %   05/08/46    01/22/07    $ 5,815,332    $ 1    0.0 %

Squared CDO Limited Series 2007-1A, Class C

    0.00     05/11/57    04/19/07      2,084,624      0    0.0  

Structured Asset Securities Corp. Series 1999-1, Class NOTE

    0.00     08/25/28    03/09/04      6,811,658      1    0.0  

Tahoma CDO Limited Series 2007-2A, Class D

    0.00     09/15/47    02/27/07      1,949,552      0    0.0  

Terwin Mortgage Trust NIM Series 2006-R2, Class A

    0.00     12/25/36    03/07/06      10,975,501      1    0.0  

Terwin Mortgage Trust Series 2005-11, Class 1B7

    0.00     11/25/36    10/04/05      1,944,501      0    0.0  

Terwin Mortgage Trust Series 2005-7SL, Class B7

    0.00     07/25/35    07/01/05      3,663,645      1    0.0  

Webster CDO Limited

Series 2006-1, Class PS

    0.00     04/13/47    11/28/06      4,500,000      0    0.0  
                        
              $ 1,317,799    8.5 %

Helios Select Intermediate Bond Fund

Restricted Securities

    Interest
Rate		     Maturity    Acquisition
Date		    Cost    Market
Value		    Percentage
of Net
Assets		  

Acacia CDO Limited Series 10A, Class D

    0.00 %   09/07/46    07/21/06    $ 9,141,000    $ 1    0.0 %

Aladdin CDO I Limited Series 2006-3A, Class NOTE

    0.00     10/31/13    06/27/07      1,364,088      0    0.0  

American Tower Corp.

    7.00     10/15/17    11/07/08      110,867      120,000    1.1  

Deutsche ALT-A Securities NIM Trust Series 2007-1OA1, Class N2

    0.00     02/25/47    03/29/07      2,934,325      10,440    0.1  

Fiorente Funding Limited Series 2006-1A, Class M1

    0.00     11/04/56    12/01/06      5,452,807      1    0.0  

Fixed Income Pass-Through Trust 2007 Series 2007-C JPM, Class B

         05/31/07      1,887,235      62,900    0.6  

G Square Finance Series 2006-1A, Class C1

    0.00     04/05/51    03/17/06-
07/06/08		      14,393,991      1    0.0  

 

15

HELIOS SELECT FUNDS, INC.

(Formerly Regions Morgan Keegan Select Funds, Inc.)

Notes to Financial Statements

January 31, 2009

 

 

 

Helios Select Intermediate Bond Fund (continued)

 

Restricted Securities

    Interest
Rate		     Maturity    Acquisition
Date		    Cost    Market
Value		    Percentage
of Net
Assets		  

Galleria Limited Series 5A, Class B

    2.48 %   09/19/37    11/21/06-
11/30/06		    $ 3,310,705    $ 0    0.0 %

Kleros Preferred Funding Series 2006-5A, Class E

    0.00     02/02/50    12/28/06      10,185,683      1    0.0  

Lincoln Avenue ABS CDO Limited Series 1-A, Class D

    0.00     07/05/46    07/05/06      3,170,549      0    0.0  

Linker Finance PLC Series 16A, Class E

    0.00     05/19/45    05/05/06      5,829,011      60,000    0.6  

MKP CBO I Limited Series 4A, Class CS

    0.00     10/01/12    02/24/05      5,116,687      1    0.0  

Newbury Street CDO Limited Series 2007-1A, Class D

    0.00     03/04/53    02/22/07      2,085,588      0    0.0  

Orchid Structured Finance CDO Limited Series 2006-3A, Class E

    0.00     01/06/46    03/07/06-
07/06/08		      3,084,835      0    0.0  

Palmer Square PLC Series 2A, Class CN

    0.00     11/02/45    10/21/05      8,100,814      1    0.0  

Preferred Pass-Through Trust Series 2006-B BAC, Class B

         11/06/06-
11/08/06		      7,666,500      356,250    3.4  

Preferred Pass-Through Trust Series 2006-C MER, Class B

         11/20/06-
11/21/06		      13,061,035      2,470,000    23.5  

Sail Net Interest Margin Notes

Series 2004-5A, Class B

    0.00     06/27/34    07/02/04      171,098      0    0.0  

Sasco NIM Trust

Series 2003-BC2, Class N3

    0.00     02/27/33    05/16/03      3,620,170      0    0.0  

SB Finance NIM Trust

Series 2005-KS6N, Class A1A

    0.00     07/25/35    03/01/06      301,990      0    0.0  

Sharp SP I LLC NIM Trust

Series 2005-HE1N, Class NB

    0.00     02/25/35    04/05/05      954,498      0    0.0  

Sharps CDO Series 2006-1A, Class D

    0.00     05/08/46    01/22/07      4,244,917      0    0.0  

Tahoma CDO Limited Series 2007-2A, Class D

    0.00     09/15/47    02/27/07      6,336,047      1    0.0  
                        
              $ 3,079,597    29.3 %

 

16

HELIOS SELECT FUNDS, INC.

(Formerly Regions Morgan Keegan Select Funds, Inc.)

Notes to Financial Statements

January 31, 2009

 

 

 

Helios Select Short Term Bond Fund

 

Restricted Securities

    Interest
Rate		     Maturity    Acquisition
Date		    Cost    Market
Value		    Percentage
of Net
Assets		  

Acacia CDO Limited Series 10A, Class D

    0.00 %   09/07/46    07/21/06    $ 1,523,500    $ 0    0.0 %

Fort Duquesne CDO Limited Series 2006-1A, Class D

    0.00     10/26/46    03/05/07      790,090      0    0.0  

Fulton Street CDO Limited Series 1A, Class A2

    0.00     04/20/37    06/15/06      1,915,441      1    0.0  

Preferred Pass-Through Trust Series 2006,B BAC, Class A1A

         11/08/06      484,200      22,500    2.0  

SB Finance NIM Trust Series 2005-KS6N, Class A1A

    0.00     07/25/35    03/01/6      33,555      0    0.0  
                        
              $ 22,501    2.0 %

 

17

Item 2. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s Disclosure Controls and Procedures are effective, based on their evaluation of such Disclosure Controls and Procedures as of a date within 90 days of the filing of this report on Form N-Q.

(b) As of the date of filing this Form N-Q, the Registrant’s principal executive officer and principal financial officer are aware of no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the Registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

The certifications required by Rule 30a-2(a) of the 1940 Act are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Fund has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant): Helios Select Fund, Inc.

by (Signature and Title):  

/s/ John J. Feeney, Jr.

  John J. Feeney, Jr.
  President

Date: March 11, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Fund and in the capacities and on the dates indicated.

 

by (Signature and Title):  

/s/ John J. Feeney, Jr.

  John J. Feeney, Jr.
  President

Date: March 11, 2009

 

by (Signature and Title):  

/s/ Thomas F. Doodian

  Thomas F. Doodian,
  Treasurer

Date: March 11, 2009