N-Q 1 dnq.htm HELIOS STRATEGIC INCOME FUND, INC. Helios Strategic Income Fund, Inc.

As filed with the Securities and Exchange Commission on February 23, 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 811-21487

 

 

HELIOS STRATEGIC INCOME 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: March 31, 2009

Date of reporting period: December 31, 2008

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 STRATEGIC INCOME FUND, INC.

(Formerly RMK Strategic Income Fund, Inc.)

Portfolio of Investments (Unaudited)

December 31, 2008

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

ASSET-BACKED SECURITIES—9.3%

           

Certificate—Backed Obligations—0.0%

           

Helios Series I Multi-Asset CBO Limited

           

Series 1A, Class C‡ (a) (c)

    0.00 %#   12/13/36    $ 2,421    $ 0

MKP CBO I Limited

           

Series 4A, Class CS‡ (a) (c)

    0.00 #   10/01/12      1,902      0
              

Total Certificate—Backed Obligations

           

(Cost—$2,962,764)

              0
              

Collateralized Debt Obligations—7.0%

           

Aardvark ABS CDO

           

Series 2007-1A, Class SUB(c)

    0.00 #   07/06/47      1,000      0

Acacia CDO Limited

           

Series 10A, Class SUB‡ (a) (c)

    0.00 #   09/07/46      3,000      1

Aladdin CDO I Limited

           

Series 2006-3A, Class NOTE‡ (a) (c)

    0.00 #   10/31/13      4,000      1

Asset Backed Securities Corp. Home Equity

           

Series 2002-HE3, Class M4(b)

    5.70 †   10/15/32      2,307      460,995

Broderick CDO Limited

           

Series 2007-3A, Class D‡ (a) (c)

    0.00 #   12/06/50      2,149      0

Cairn Mezzanine ABS CDO PLC

           

Series 2007-3A, Class SUB(c)

    0.00 #   08/13/47      1,000      0

CDO Repack SPC Limited

           

Series 2006-BRGA, Class COM(c)

    0.00 #   12/05/51      1,997      0

Duane Park I Limited‡ (a) (c)

    0.00 #   06/27/16      1,750      0

Fiorente Funding Limited

           

Series 2006-1A, Class M1‡ (a) (c)

    0.00 #   11/04/56      4,168      1

Fort Duquesne CDO Limited

           

Series 2006-1A, Class D‡ (a) (c)

    0.00 #   10/26/46      1,498      0

Gulf Stream Atlantic CDO Limited

           

Series 2007-1A, Class SUB‡ (a) (c)

    0.00 #   07/13/47      1,000      0

IXIS ABS CDO 1 Limited‡ (a) (c)

    0.00     12/12/46      1,000      10

Knollwood CDO Limited

           

Series 2006-2A, Class E‡ (a) (c)

    0.00 #   07/13/46      1,073      0

Series 2006-2A, Class SN(c)

    0.00 #   07/13/46      3,000      0

Lancer Funding Limited

           

Series 2007-2A, Class A3‡ (a) (c)

    0.00 #   07/15/47      4,917      1

Lincoln Avenue ABS CDO Limited

           

Series 1-A, Class D‡ (a) (c)

    0.00 #   07/05/46      2,737      0

Linker Finance PLC

           

Series 16A, Class E‡ (a) (c)

    0.00 #   05/19/45      2,000      20,000

Millstone CDO Limited

           

Series III-A, Class COMB(c)

    0.00 #   07/05/46      2,982      0

Newbury Street CDO Limited

           

Series 2007-1A, Class D‡ (a) (c)

    0.00 #   03/04/53      1,093      0

Orchid Structured Finance CDO Limited

           

Series 2006-3A, Class E‡ (a) (c)

    0.00 #   01/06/46      2,091      0

Palmer Square PLC

           

Series 2A, Class CN‡ (a) (c)

    0.00 #   11/02/45      3,000      0

Pasa Funding Limited

           

Series 2007-1A, Class D(c)

    0.00 #   04/07/52      1,000      0

Sharps CDO

           

Series 2006-1A, Class D‡ (a) (c)

    0.00 #   05/08/46      2,885      0

Squared CDO Limited

           

Series 2007-1A, Class C‡ (a) (c)

    0.00 #   05/11/57      1,067      0

Steers Series 2007-A‡ (a) (c)

    4.23 †   06/20/18      6,000      1,620,000

See notes to financial statements.

 

1

HELIOS STRATEGIC INCOME FUND, INC.

(Formerly RMK Strategic Income Fund, Inc.)

Portfolio of Investments (Unaudited)

December 31, 2008

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

ASSET-BACKED SECURITIES (continued)

           

Webster CDO Limited

           

Series 2006-1, Class PS‡ (a) (c)

    0.00 %#   04/13/47    $ 2    $ 0
              

Total Collateralized Debt Obligations

           

(Cost—$52,932,532)

              2,101,009
              

Collateralized Loan Obligation—0.0%

           

Credit Genesis CLO 2005‡ (a) (c)

           

(Cost—$1,000,000)

    0.00 †   06/23/10      1      8,000
              

Home Equity Loans—2.3%

           

Amresco Residential Securities Mortgage Loan Trust

           

Series 1999-1, Class B(b)

    4.47 †   11/25/29      699      57,402

Fremont Home Loan Trust

           

Series 2004-4, Class M7(b)

    2.19 †   03/25/35      341      23,926

Lake Country Mortgage Loan Trust

           

Series 2006-HE1, Class M8‡ (a) (b) (c)

    3.22 †   07/25/34      3,915      610,239

Meritage Asset Holdings NIM

           

Series 2005-2, Class N4‡ (a) (b) (c)

    0.00 #   11/25/35      3,000      0

Terwin Mortgage Trust

           

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

    0.00 #   07/25/35      932      0

Series 2005-11, Class1B7‡ (a) (b) (c)

    0.00 #   11/25/36      871      0

Terwin Mortgage Trust NIM

           

Series 2005-R1, Class A‡ (a) (b) (c)

    0.00 #   12/28/36      3,000      0
              

Total Home Equity Loans

           

(Cost—$10,349,484)

              691,567
              

Total ASSET-BACKED SECURITIES

           

(Cost—$67,244,780)

              2,800,576
              

MORTGAGE-BACKED SECURITIES—6.9%

           

Collateralized Mortgage Obligations—6.9%

           

Citigroup Mortgage Loan Trust Inc.

           

Series 2006-AR9, Class 1M1

    0.81 †   11/25/36      1,000      60,000

Countrywide Alternative Loan Trust

           

Series 2005-56, Class M4(c)

    0.00 #   11/25/35      1,912      82,784

Series 2006-6CB, Class B4(c)

    0.00 #   05/25/36      1,622      7,299

Countrywide Alternative Loan Trust NIM

           

Series 2006-OA11, Class N3‡ (a) (c)

    0.00 #   09/25/46      945      51,219

Deutsche Mortgage Securities Inc.

           

Series 2006-RS1, Class N2‡ (a)

    0.00 #   09/27/35      2,877      63,160

Greenwich Structured Adjustable Rate Mortgage Products

           

Series 2005-3A, Class N2‡ (a) (c)

    2.00     06/27/35      2,934      440,038

Series 2005-4A, Class N2‡ (a) (c)

    0.00     07/27/45      5,081      762,196

Harborview Mortgage Loan Trust

           

Series 2004-1, Class X(c)

    0.00 #   04/19/34      4,315      123,627

Harborview NIM Corp.

           

Series 2006-8A, Class N5‡ (a) (c)

    0.00 #   07/21/36      2,000      0

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      1,000      0

Series 2006-14, Class PS(c)

    0.00     12/19/36      5,000      50

Indymac Index Mortgage Loan NIM Trust

           

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

    0.00 †   06/25/46      67      1

Long Beach Asset Holdings Corp. NIM Trust

           

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

    0.00 #   06/25/45      5,000      1

Mellon Residential Funding Corp.

           

Series 2004-TBC1, Class X‡ (a)

    0.00 #   02/26/34      12,545      168,051

See notes to financial statements.

 

2

HELIOS STRATEGIC INCOME FUND, INC.

(Formerly RMK Strategic Income Fund, Inc.)

Portfolio of Investments (Unaudited)

December 31, 2008

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

MORTGAGE-BACKED SECURITIES (continued)

           

Park Place Securities Inc.

           

Series 2005-WCW2, Class M10(b)

    0.00 %#   07/25/35    $ 3,662    $ 16,591

Series 2005-WHQ3, Class M11(b)

    0.00 #   06/25/35      594      1,566

Park Place Securities Inc. NIM Trust

           

Series 2005-WCW1, Class B‡ (a) (b) (c)

    0.00 #   09/25/35      1,022      0

Residential Accredit Loans Inc.

           

Series 2006-QO8, Class M4(c)

    0.00 #   10/25/46      3,001      23,107

Sail Net Interest Margin Notes

           

Series 2004-5A, Class B‡ (a) (b) (c)

    0.00 #   06/27/34      117      0

Sharp SP I LLC NIM Trust

           

Series 2006-AHM3, Class N3‡ (a) (c)

    0.00 #   10/25/46      1,000      39,726

Structured Asset Mortgage Investments Inc.

           

Series 2006-AR3, Class 1B1(c)

    0.00 #   04/25/36      3,000      45,342

Structured Asset Securities Corp.

           

Series 1999-SP1, Class B(c)

    9.00 †   05/25/29      733      73,273

Series 2003-BC1, Class B2(b)

    9.00     05/25/32      1,379      120,518
              

Total Collateralized Mortgage Obligations

           

(Cost—$32,668,241)

              2,078,549
              

Total MORTGAGE-BACKED SECURITIES

           

(Cost—$32,668,241)

              2,078,549
              

HIGH YIELD CORPORATE BONDS—74.4%

           

Basic Industry—14.4%

           

ACE Hardware Corp.‡ (a)

    9.13     06/01/16      500      330,000

Buckeye Technologies Inc.

    8.50     10/01/13      500      425,000

Crown Americas LLC

    7.75     11/15/15      500      497,500

Freeport McMoRan Copper & Gold

    8.38     04/01/17      500      410,000

Georgia-Pacific Corp.

    8.13     05/15/11      500      470,000

Momentive Performance

    9.75     12/01/14      500      212,500

Mueller Water Products Inc.

    7.38     06/01/17      500      340,000

National Oilwell Varco Inc. Series B

    6.13     08/15/15      1,000      868,621

TRW Automotive Inc.‡ (a)

    7.25     03/15/17      625      318,750

Tube City IMS Corp.

    9.75     02/01/15      500      175,000

Westlake Chemical Corp.

    6.63     01/15/16      500      290,000
              

Total Basic Industry

           

(Cost—$5,715,712)

              4,337,371
              

Capital Goods—4.1%

           

Alliant Techsystems Inc.

    6.75     04/01/16      500      450,000

Case Corp.

    7.25     01/15/16      500      347,500

Terex Corp.

    7.38     01/15/14      500      435,000
              

Total Capital Goods

           

(Cost—$1,472,478)

              1,232,500
              

Consumer Cyclical—1.3%

           

Collective Brands Inc.

    8.25     08/01/13      250      188,750

Ford Motor Credit Co.

    7.00     10/01/13      250      172,732

General Motors Corp.

    7.13     07/15/13      250      46,250
              

Total Consumer Cyclical

           

(Cost—$550,120)

              407,732
              

Consumer Non-Cyclical—8.8%

           

Constellation Brands Inc.

    7.25     05/15/17      500      472,500

Couche-Tard U.S. LP

    7.50     12/15/13      625      493,750

Delhaize Group

    6.50     06/15/17      1,000      907,994

Jarden Corp.

    7.50     05/01/17      500      341,250

See notes to financial statements.

 

3

HELIOS STRATEGIC INCOME FUND, INC.

(Formerly RMK Strategic Income Fund, Inc.)

Portfolio of Investments (Unaudited)

December 31, 2008

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

HIGH YIELD CORPORATE BONDS (continued)

           

Stater Brothers Holdings

    8.13 %   06/15/12    $ 500    $ 452,500
              

Total Consumer Non-Cyclical

           

(Cost—$2,946,259)

              2,667,994
              

Consumer Products—0.0%

           

Home Products International Inc.(c)

           

(Cost—$341,566)

    0.00 #   10/01/12      342      0
              

Energy—14.7%

           

Chesapeake Energy Corp.

    6.88     01/15/16      500      400,000

El Paso Corp.

    6.88     06/15/14      500      403,658

MarkWest Energy Partners LP

    8.75     04/15/18      500      310,000

Newfield Exploration Co.

    6.63     09/01/14      500      410,000

Range Resources Corp.

    7.50     05/15/16      500      433,750

SeaMetric International AS(c)

    11.63     05/25/12      1,500      600,000

SESI LLC

    6.88     06/01/14      625      481,250

Whiting Petroleum Corp.

    7.25     05/01/13      625      443,750

Williams Companies Inc.‡ (a)

    6.38     10/01/10      1,035      964,860
              

Total Energy

           

(Cost—$6,035,098)

              4,447,268
              

Finance & Investment—1.0%

           

AssuranceAmerica Capital Trust I(c)

    0.00 #   12/31/35      1,000      250,000

Catlin Insurance Company Limited‡ (a)

    7.25 †   12/31/49      115      45,739
              

Total Finance & Investment

           

(Cost—$999,795)

              295,739
              

Health Care—0.8%

           

McKesson Corp.

           

(Cost—$232,712)

    5.25     03/01/13      250      231,981
              

Industrials—2.1%

           

Crown Cork & Seal Company Inc.

    8.00     04/15/23      125      98,125

Jefferson Smurfit Corp.

    8.25     10/01/12      500      85,000

Owens-Illinois Inc.

    7.80     05/15/18      500      445,000
              

Total Industrials

           

(Cost—$1,066,050)

              628,125
              

Media—2.5%

           

CCH I LLC / CCH I Capital Corp.

    11.00     10/01/15      250      43,750

Charter Communications Operating LLC‡ (a)

    8.38     04/30/14      500      382,500

Mediacom Broadband LLC

    8.50     10/15/15      500      325,625
              

Total Media

           

(Cost—$1,137,119)

              751,875
              

Retail-Drug Store—1.5%

           

CVS Caremark Corp.

           

(Cost—$444,070)

    5.75     06/01/17      500      470,734
              

Services Cyclical—8.5%

           

AMC Entertainment Inc.

    8.63     08/15/12      500      400,000

FireKeepers Development Authority‡ (a)

    13.88     05/01/15      500      310,000

Gamestop Corp.

    8.00     10/01/12      625      581,250

Iron Mountain Inc.

    8.75     07/15/18      500      431,250

Pokagon Gaming Authority‡ (a)

    10.38     06/15/14      500      430,000

Seneca Gaming Corp.

    7.25     05/01/12      500      402,500
              

Total Services Cyclical

           

(Cost—$3,075,577)

              2,555,000
              

See notes to financial statements.

 

4

HELIOS STRATEGIC INCOME FUND, INC.

(Formerly RMK Strategic Income Fund, Inc.)

Portfolio of Investments (Unaudited)

December 31, 2008

 

 

     Interest
Rate		     Maturity    Principal
Amount
(000s)		    Value

HIGH YIELD CORPORATE BONDS (continued)

           

Services Non-Cyclical—3.4%

           

ARAMARK Corp.

    8.50 %   02/01/15    $ 500    $ 452,500

HCA Inc.

    9.25     11/15/16      625      573,437
              

Total Services Non-Cyclical

           

(Cost—$1,151,388)

              1,025,937
              

Special Purpose Entities—0.2%

           

Fixed Income Pass-Through Trust 2007

           

Series 2007-C JPM, Class B‡ (a) (c)

           

(Cost—$1,708,383)

    0.00 #   05/15/77      1,675      56,950
              

Technology & Electronics—4.1%

           

Flextronics International Limited

    6.25     11/15/14      500      372,500

L-3 Communications Corp.

    6.13     01/15/14      500      453,750

Sungard Data Systems Inc.

    10.25     08/15/15      625      412,500
              

Total Technology & Electronics

           

(Cost—$1,582,556)

              1,238,750
              

Telecommunications—7.0%

           

American Tower Corp.‡ (a)

    7.00     10/15/17      500      445,000

Cincinnati Bell Inc.

    8.38     01/15/14      500      385,000

Frontier Communications Corp.

    6.25     01/15/13      500      425,000

Rogers Wireless Inc.

    6.38     03/01/14      500      475,298

Windstream Corp.

    7.00     03/15/19      500      385,000
              

Total Telecommunications

           

(Cost—$2,383,896)

              2,115,298
              

Total HIGH YIELD CORPORATE BONDS

           

(Cost—$30,842,779)

              22,463,254
              

MUNICIPAL SECURITIES—0.2%

           

Muni-Arizona—0.2%

           

Pima County Arizona Industrial Development Authority(d)

    11.49     06/01/09      25      23,738

Pima County Arizona Industrial Development Authority(d)

    12.66     06/01/10      35      29,571
              

Total Muni-Arizona

           

(Cost—$57,712)

              53,309
              

Total MUNICIPAL SECURITIES

           

(Cost—$57,712)

              53,309
              
                Shares     

COMMON STOCKS—3.9%

           

Consumer Products—0.0%

           

Home Products International Inc.* (c)

           

(Cost—$1,251,710)

           13,663      0
              

Diversified Manufacturing Operations—0.4%

           

General Electric Co.

           

(Cost—$134,183)

           7,500      121,500
              

Finance & Investment—0.8%

           

FSI Realty Trust(c)

           92,000      18,400

FSI Realty Trust‡ (a) (c)

           26,200      5,240

Mid Country‡ (a) (c)

           42,647      220,912
              

Total Finance & Investment

           

(Cost—$1,795,486)

              244,552
              

See notes to financial statements.

 

5

HELIOS STRATEGIC INCOME FUND, INC.

(Formerly RMK Strategic Income Fund, Inc.)

Portfolio of Investments (Unaudited)

December 31, 2008

 

 

                Shares    Value

COMMON STOCKS (continued)

           

Gas-Distribution—0.4%

           

Southern Union Co.

           

(Cost—$94,229)

           7,500    $ 97,800
              

Industrials—0.0%

           

Port Townsend Company Inc. * ‡ (a) (c)

           

(Cost—$583,898)

           1,050      0
              

Steel-Producers—0.5%

           

United States Steel Corp.

           

(Cost—$140,055)

           4,000      148,800
              

Telecommunications—1.8%

           

AT&T Inc.

           5,000      142,500

Frontier Communications Corp.

           10,000      87,400

Qwest Communications International Inc.

           25,000      91,000

Verizon Communications Inc.

           4,000      135,600

Windstream Corp.

           10,000      92,000
              

Total Telecommunications

           

(Cost—$631,277)

              548,500
              

Total COMMON STOCKS

           

(Cost—$4,630,838)

              1,161,152
              
     Interest
Rate		     Maturity    Principal
Amount
(000s)		     

SHORT TERM INVESTMENTS—4.1%

           

State Street Euro Dollar Time Deposit

           

(Cost $1,250,361)

    0.01 %   01/02/09    $ 1,250      1,250,361

Total Investments—98.8%

           

(Cost—$136,694,711)

              29,807,201

Other Assets in Excess of Liabilities—1.2%

              369,085
              

NET ASSETS—100.0%

            $ 30,176,286
              

 

*    —    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 December 31, 2008.
‡    —    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 December 31, 2008, the total value of all such investments was $7,292,596 or 24.17% of net assets.
(a)    —    Private Placement.
(b)    —    Investment in sub-prime security. As of December 31, 2008, the total value of all such investments was $1,291,239 or 4.28% of net assets.
(c)    —    Security valued in good faith pursuant to fair value procedures adopted by the Board of Directors. As of December 31, 2008, the total value of all such securities was $5,058,418 or 16.76% of net assets.
(d)    —    Zero Coupon Bond – Interest rate represents current yield to maturity.
ABS    —    Asset Backed Securities.
CBO    —    Certificate-Backed Obligations.
CDO    —    Collateralized Debt Obligation.
CLO    —    Collateralized Loan Obligation.
NIM    —    Net Interest Margin.

See notes to financial statements.

 

6

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

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 Adviser’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 Adviser’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 Adviser, those securities will be valued at “fair value” as determined in good faith by the Adviser’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 Adviser 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 April 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

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the 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 speeds, 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 December 31, 2008 in valuing the Funds’ investments carried at fair value:

 

     Investments in Securities

Valuation Inputs

    Helios
Advantage
Income Fund,
Inc.		    Helios High
Income Fund,
Inc.		    Helios Multi-
Sector High
Income Fund,
Inc.		    Helios
Strategic
Income Fund,
Inc.

Level 1—Quoted Prices

    $ 916,600    $ 916,600    $ 916,600    $ 916,600

Level 2—Other Significant Observable Inputs

      6,456,873      3,309,197      3,563,424      5,268,898

Level 3—Significant Unobservable Inputs

      33,068,664      25,630,696      27,854,613      23,621,703
                           

Total

    $ 40,442,137    $ 29,856,493    $ 32,334,637    $ 29,807,201
                           

 

     Other Financial Instruments*

Valuation Inputs

    Helios
Advantage
Income Fund,
Inc.		    Helios High
Income Fund,
Inc.		    Helios Multi-
Sector High
Income Fund,
Inc.		    Helios
Strategic
Income Fund,
Inc.

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.

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

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

 

     Investments in Securities  
      Helios
Advantage
Income Fund,
Inc.		     Helios High
Income Fund,
Inc.		     Helios Multi-
Sector High
Income Fund,
Inc.		     Helios
Strategic
Income Fund,
Inc.		  

Balance as of April 1, 2008

    $ 64,930,271     $ 42,248,380     $ 69,393,904     $ 55,312,805  

Net purchases/(sales) at cost

      (4,467,260 )     8,516,926       (6,168,667 )     (6,829,935 )

Realized gain/(loss)

      (105,349,466 )     (87,394,877 )     (122,300,742 )     (90,591,789 )

Change in unrealized appreciation/(depreciation)

      76,675,104       60,571,188       86,002,068       63,546,029  

Accretion/(amortization)

      62,813       29,927       56,908       4,755  

Transfers in and/or out of Level 3

      1,217,202       1,659,152       871,142       2,179,838  
                                

Balance as of December 31, 2008

    $ 33,068,664     $ 25,630,696     $ 27,854,613     $ 23,621,703  
                                

Reverse Repurchase agreements: Under reverse repurchase agreements, the Funds sell securities and agree to repurchase them at a mutually agreed upon date and price. Under the 1940 Act, reverse repurchase agreements will be regarded as a form of borrowing by the Funds unless, at the time it enters into a reverse repurchase agreement, it establishes and maintains a segregated account with its custodian containing securities from its portfolio having a value not less than the repurchase price (including accrued interest). The Funds have established and maintained such an account for each of its reverse repurchase agreements.

Reverse repurchase agreements involve the risk that the market value of the securities retained in lieu of sale by the Funds may decline below the price of the securities a Fund has sold but is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its Trustee or receiver may receive an extension of time to determine whether to enforce the Funds’ obligation to repurchase the securities, and the Funds’ use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision. Also, the Fund would bear the risk of loss to the extent that the proceeds of the reverse repurchase agreement are less than the value of the securities subject to such agreement.

At December 31, 2008, the Helios Multi-Sector Fund had the following reverse repurchase agreements outstanding:

 

Face Value

   

Description

    Maturity
Amount		  
$137,000    Goldman Sachs, 6.50%, dated 12/05/08, maturity date 01/12/09    $ 137,940  
   Maturity Amount, Including Interest Payable    $ 137,940  
           
   Market Value of Assets Sold Under Agreements    $ 341,250  
           
   Weighted Average Interest Rate      6.50 %
           

The Helios Multi-Sector Funds average daily balance of reverse repurchase agreements outstanding during the three months ended December 31, 2008, was $68,373 at a weighted average interest rate of 6.01%. The maximum amount of reverse repurchase agreements outstanding at any time during the six month period was $178,500 as of October 5, 2008, which was 0.45% of total assets.

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Federal Income Tax Basis: The federal income tax basis of the Funds’ investments at December 31, 2008 was as follows:

 

Fund

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

Helios Advantage Income Fund, Inc.

    $ 168,164,685    $ 109,300    $ (127,831,848 )   $ (127,722,548 )

Helios High Income Fund, Inc.

      117,741,599      35,830      (87,920,936 )     (87,885,106 )

Helios Multi-Sector High Income Fund, Inc.

      170,266,303      83,678      (138,015,344 )     (137,931,666 )

Helios Strategic Income Fund, Inc.

      137,404,798      79,089      (107,676,686 )     (107,597,597 )

Designation of Restricted Illiquid Securities

Helios Advantage Income Fund, Inc.

 

Restricted Securities

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

Acacia CDO Limited Series 10A, Class SUB

    0.00 %   09/07/46    07/21/06    $ 1,914,575    $ 1    0.0 %

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

    0.00     10/31/13    09/01/06 -
06/27/07		      2,284,447      0    0.0  

Broderick CDO Limited Series 2007-3A, Class D

    0.00     12/06/50    03/05/07 -
06/30/08		      3,112,119      0    0.0  

Catlin Insurance Company Limited

    7.25     12/31/49    11/01/07      1,937,361      914,384    2.3  

Countrywide Alternative Loan Trust NIM Series 2006-OA11, Class N3

    0.00     09/25/46    10/04/06      883,299      47,173    0.1  

Credit Genesis CLO 2005

    0.00     06/23/10    06/17/05      3,000,000      24,000    0.1  

Deutsche Mortgage Securities Inc. Series 2006-RS1, Class N2

    0.00     09/27/35    01/31/07      4,818,055      105,266    0.3  

Duane Park I Limited

    0.00     06/27/16    12/11/07      1,777,006      1    0.0  

Equifirst Mortgage Loan Trust NIM Notes Series 2004-3, Class B2

    0.00     12/25/34    11/17/04      1,062,552      11,764    0.0  

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

    0.00     05/15/77    05/31/07      1,708,752      56,950    0.1  

FSI Realty Trust

    —       —      04/26/07      283,100      5,960    0.0  

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-3A, Class N2

    2.00     06/27/35    07/21/05      1,917,627      440,038    1.1  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios Advantage Income Fund, Inc. (continued)

 

Restricted Securities

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

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-4A, Class N2

    0.00 %   07/27/45    09/22/05    $ 3,696,176    $ 1,016,261    2.5 %

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

    0.00     07/13/47    02/01/07      1,688,637      0    0.0  

Harborview NIM Corp. Series 2006-14, Class N4

    0.00     03/19/38    02/21/07      847,352      0    0.0  

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

    0.00     07/21/36    10/05/06      885,501      0    0.0  

Helios Series I Multi-Asset CBO Limited Series 1A, Class C

    0.00     12/13/36    10/25/06      1,044,007      0    0.0  

Indymac Index Mortgage Loan NIM Trust Series 2006-AR6, Class PS

    0.00     06/25/46    07/17/06      1,820,859      1    0.0  

IXIS ABS CDO 1 Limited

    0.00     12/12/46    11/09/06      1,575,120      20    0.0  

Knollwood CDO Limited Series 2006-2A, Class E

    0.00     07/13/46    08/01/06 -
07/13/08		      1,049,231      0    0.0  

Lancer Funding Limited Series 2007-2A, Class A3

    0.00     07/15/47    04/25/07      4,491,518      1    0.0  

Linker Finance PLC Series 16A, Class E

    0.00     05/19/45    05/05/06      2,914,316      30,000    0.1  

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

    0.00     06/25/45    10/28/05 -
01/24/06		      4,608,640      1    0.0  

Meritage Asset Holdings NIM Series 2005-2, Class N4

    0.00     11/25/35    10/21/05      3,115,314      1    0.0  

Mid Country

    —       —      05/22/07      850,000      259,000    0.6  

MKP CBO I Limited Series 4A, Class CS

    0.00     10/01/12    02/24/05      3,837,516      0    0.0  

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

    0.00     03/04/53    2/22/07 -
06/01/08		      3,128,277      0    0.0  

Palmer Square PLC Series 2A, Class CN

    0.00     11/02/45    10/21/05      6,075,547      1    0.0  

Park Place Securities Inc. NIM Trust Series 2005-WCW1, Class B

    0.00     09/25/35    08/01/05      1,901,613      0    0.0  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios Advantage Income Fund, Inc. (continued)

 

Restricted Securities

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

Port Townsend Company Inc.

    —       —      10/18/07    $ 667,311    $ 0    0.0 %

Sail Net Interest Margin Notes Series 2004-7A, Class B

    0.00 %   08/27/34    01/24/06      2,359,925      0    0.0  

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

    0.00     10/25/46    10/12/06      1,000,000      39,726    0.1  

Sharps CDO Series 2006-1A, Class D

    0.00     05/08/46    01/22/07      1,825,560      0    0.0  

Soundview Home Equity Loan Trust Series 2005-2, Class B3

    0.00     07/25/35    08/02/05      117,395      0    0.0  

Squared CDO Limited Series 2007-1A, Class C

    0.00     05/11/57    04/19/07      1,021,840      0    0.0  

Steers Series 2007-A

    4.23     06/20/18    02/05/07 -
08/23/07		      7,740,411      2,160,000    5.3  

Tahoma CDO Limited Series 2007-2A, Class D

    0.00     09/15/47    02/27/07 -
06/30/08		      974,639      0    0.0  

Terwin Mortgage Trust Series 2005-11, Class 1B7

    0.00     11/25/36    10/04/05      1,210,036      0    0.0  

Terwin Mortgage Trust Series 2005-7SL, Class B7

    0.00     07/25/35    07/01/05      935,845      0    0.0  

Terwin Mortgage Trust Series 2006-2HGS, Class A2

    0.00     03/25/37    12/14/07      617,505      63,424    0.1  

Terwin Mortgage Trust NIM Series 2005-R1, Class A

    0.00     12/28/36    12/20/06      2,962,244      1    0.0  

Tricadia CDO Limited Series 2006-5A, Class SUB

    0.00     06/19/46    02/28/07      1,928,589      0    0.0  

Webster CDO Limited Series 2006-1, Class PS

    0.00     04/13/47    11/28/06      1,800,000      0    0.0  
                        
              $ 5,173,974    12.8 %

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios High Income Fund, Inc.

 

Restricted Securities

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

Acacia CDO Limited Series 10A, Class SUB

    0.00 %   09/07/46    07/21/06    $ 957,287    $ 0    0.0 %

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

    0.00     10/31/13    07/31/06 -
06/27/07		      2,303,854      1    0.0  

Broderick CDO Limited Series 2007-3A, Class D

    0.00     12/06/50    03/05/07      2,074,746      0    0.0  

Catlin Insurance Company Limited

    7.25     12/31/49    11/01/07      1,291,889      609,722    2.1  

Countrywide Alternative Loan Trust NIM Series 2006-OA11, Class N3

    0.00     09/25/46    10/04/06      479,532      25,610    0.1  

Credit Genesis CLO 2005

    0.00     06/23/10    06/17/05      1,000,000      8,000    0.0  

Deutsche Mortgage Securities Inc. Series 2006-RS1, Class N2

    0.00     09/27/35    01/31/07      2,890,834      63,160    0.2  

Duane Park I Limited

    0.00     06/27/16    12/11/07      500,675      0    0.0  

FSI Realty Trust

    —       —      04/26/07      248,900      5,240    0.0  

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

    0.00     05/15/77    05/31/07      1,708,752      56,950    0.2  

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-3A, Class N2

    2.00     06/27/35    07/21/05      1,917,627      440,038    1.5  

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-4A, Class N2

    0.00     07/27/45    09/22/05      2,772,177      762,196    2.6  

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

    0.00     07/13/47    02/01/07      844,318      0    0.0  

Harborview NIM Corp. Series 2006-14, Class N4

    0.00     03/19/38    02/21/07      847,378      0    0.0  

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

    0.00     07/21/36    10/05/06      885,501      0    0.0  

Helios Series I Multi-Asset CBO Limited Series 1A, Class C

    0.00     12/13/36    10/25/06      696,004      0    0.0  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios High Income Fund, Inc. (continued)

 

Restricted Securities

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

Indymac Index Mortgage Loan NIM Trust Series 2006-AR6, Class PS

    0.00 %   06/25/46    07/17/06    $ 1,820,859    $ 1    0.0 %

IXIS ABS CDO 1 Limited

    0.00     12/12/46    11/09/06      787,560      10    0.0  

Knollwood CDO Limited Series 2006-2A, Class E

    0.00     07/13/46    08/01/06 -
07/14/08		      1,049,231      0    0.0  

Lancer Funding Limited Series 2007-2A, Class A3

    0.00     07/15/47    05/24/07      3,593,214      1    0.0  

Linker Finance PLC Series 16A, Class E

    0.00     05/19/45    05/05/06      1,942,876      20,000    0.1  

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

    0.00     06/25/45    10/28/05 -
01/24/06		      4,610,552      1    0.0  

Meritage Asset Holdings NIM Series 2005-2, Class N4

    0.00     11/25/35    10/21/05      2,336,490      0    0.0  

Mid Country

    —       —      05/22/07      649,995      198,057    0.7  

MKP CBO I Limited Series 4A, Class CS

    0.00     10/01/12    02/24/05      1,918,758      0    0.0  

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

    0.00     03/04/53    02/22/07      1,042,782      0    0.0  

Palmer Square PLC Series 2A, Class CN

    0.00     11/02/45    10/21/05      3,037,777      1    0.0  

Park Place Securities Inc. NIM Trust Series 2005-WCW1, Class B

    0.00     09/25/35    08/01/05      950,806      0    0.0  

Port Townsend Company Inc.

    —       —      10/18/07      486,581      0    0.0  

Sail Net Interest Margin Notes Series 2004-5A, Class B

    0.00     06/27/34    07/02/04      114,058      0    0.0  

Sail Net Interest Margin Notes Series 2004-7A, Class B

    0.00     08/27/34    01/24/06      1,769,935      0    0.0  

Sasco NIM Trust Series 2003-S, Class A

    7.50     12/28/33    12/18/03      1,294,447      99,132    0.3  

Sharps CDO Series 2006-1A, Class D

    0.00     05/08/46    01/22/07      1,825,560      0    0.0  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios High Income Fund, Inc. (continued)

 

Restricted Securities

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

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

    0.00 %   10/25/46    10/12/06    $ 1,000,000    $ 39,726    0.1 %

Squared CDO Limited Series 2007-1A, Class C

    0.00     05/11/57    04/19/07      1,021,840      0    0.0  

Steers Series 2007-A

    4.23     06/20/18    02/05/07 -
08/23/07		      5,826,684      1,620,000    5.5  

Tahoma CDO Limited Series 2007-2A, Class D

    0.00     09/15/47    02/27/07      974,639      0    0.0  

Terwin Mortgage Trust Series 2005-11, Class 1B7

    0.00     11/25/36    10/04/05      641,587      0    0.0  

Terwin Mortgage Trust Series 2005-7SL, Class B7

    0.00     07/25/35    07/01/05      813,787      0    0.0  

Terwin Mortgage Trust NIM Series 2005-R1, Class A

    0.00     12/28/36    12/20/05      2,221,685      0    0.0  

Webster CDO Limited Series 2006-1, Class PS

    0.00     04/13/47    11/28/06      1,800,000      0    0.0  
                        
              $ 3,947,846    13.4 %

Helios Multi-Sector High Income Fund, Inc.

 

Restricted Securities

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

Acacia CDO Limited Series 10A, Class SUB

    0.00 %   09/07/46    07/21/06    $ 1,914,575    $ 1    0.0 %

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

    0.00     10/31/13    07/31/06 -
06/27/07		      3,470,236      1    0.0  

Broderick CDO Limited Series 2007-3A, Class D

    0.00     12/06/50    03/05/07      3,112,119      0    0.0  

Catlin Insurance Company Limited

    7.25     12/31/49    11/01/07      125,195      60,853    0.2  

Credit Genesis CLO 2005

    0.00     06/23/10    07/20/06      2,970,000      24,000    0.1  

Deutsche Mortgage Securities Inc. Series 2006-RS1, Class N2

    0.00     09/27/35    01/31/07      6,745,276      147,373    0.5  

Duane Park I Limited

    0.00     06/27/16    12/11/07      1,001,350      0    0.0  

Equifirst Mortgage Loan Trust NIM Notes Series 2004-3, Class N3

    0.00     12/25/34    01/24/06      2,543,224      0    0.0  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios Multi-Sector High Income Fund, Inc. (continued)

 

Restricted Securities

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

FSI Realty Trust

    —       —      04/26/07    $ 332,500    $ 7,000    0.0 %

First Franklin Mortgage Loan NIM Series 2004-FFH4, Class N4

    0.00 %   01/21/35    01/24/06      3,037,282      0    0.0  

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

    0.00     05/15/77    05/31/07      2,575,882      85,850    0.3  

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-3A, Class N2

    2.00     06/27/35    02/10/06      4,025,394      946,081    2.9  

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-4A, Class N2

    0.00     07/27/45    02/10/06      6,359,652      1,778,457    5.5  

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

    0.00     07/13/47    02/01/07      1,688,637      0    0.0  

Harborview NIM Corp. Series 2006-14, Class N4

    0.00     03/19/38    02/21/07      847,352      0    0.0  

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

    0.00     07/21/36    10/05/06      2,213,751      1    0.0  

Indymac Index Mortgage Loan NIM Trust Series 2006-AR6, Class PS

    0.00     06/25/46    07/17/06      1,820,859      1    0.0  

Ischus CDO III Limited

    0.00     07/03/46    06/13/07      610,000      0    0.0  

IXIS ABS CDO 1 Limited

    0.00     12/12/46    11/09/06      1,575,120      20    0.0  

Knollwood CDO Limited Series 2006-2A, Class E

    0.00     07/13/46    08/01/06      2,098,462      0    0.0  

Lancer Funding Limited Series 2007-2A, Class A3

    0.00     07/15/47    04/25/07      3,593,214      1    0.0  

Linker Finance PLC Series 16A, Class E

    0.00     05/19/45    05/05/06      4,857,192      50,000    0.2  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios Multi-Sector High Income Fund, Inc. (continued)

 

Restricted Securities

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

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

    0.00 %   06/25/45    01/24/06    $ 5,523,482    $ 1    0.0 %

Meritage Asset Holdings NIM Series 2004-2, Class N6

    0.00     01/25/35    01/24/06      195,647      0    0.0  

Mid Country

    —       —      05/22/07      899,997      274,235    0.8  

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

    0.00     03/04/53    02/22/07      3,128,278      1    0.0  

Port Townsend Company Inc.

    —       —      10/18/07      672,750      0    0.0  

Sail Net Interest Margin Notes Series 2004-7A, Class B

    0.00     08/27/34    01/24/06      4,719,829      0    0.0  

Sharps CDO Series 2006-1A, Class D

    0.00     05/08/46    01/22/07      1,825,560      0    0.0  

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

    0.00     10/25/46    10/12/06      2,000,000      79,452    0.2  

Soundview NIM Trust Series 2005-1N, Class N2

    0.00     04/25/35    01/24/06      1,555,324      0    0.0  

Soundview NIM Trust Series 2005-1N, Class N3

    0.00     04/25/35    01/24/06      1,477,656      0    0.0 %

Squared CDO Limited Series 2007-1A, Class C

    0.00     05/11/57    04/19/07      1,021,840      0    0.0  

Steers Series 2007-A

    4.23     06/20/18    02/05/07 -
08/23/07		      8,740,026      2,430,000    7.5  

Tahoma CDO Limited Series 2007-2A, Class D

    0.00     09/15/47    02/27/07      974,639      0    0.0  

Terwin Mortgage Trust NIM Series 2006-R2, Class A

    0.00     12/25/36    03/07/06      10,969,418      1    0.0  

Tricadia CDO Limited Series 2006-5A, Class SUB

    0.00     06/19/46    02/28/07      1,542,871      0    0.0  

Webster CDO Limited Series 2006-1, Class PS

    0.00     04/13/47    11/28/06      3,150,000      0    0.0  
                        
              $ 5,883,329    18.2 %

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios Strategic Income Fund, Inc.

 

Restricted Securities

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

Acacia CDO Limited Series 10A, Class SUB

    0.00 %   09/07/46    07/21/06    $ 1,435,931    $ 1    0.0 %

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

    0.00     10/31/13    07/31/06 -
06/27/07		      2,291,306      1    0.0  

Broderick CDO Limited Series 2007-3A, Class D

    0.00     12/06/50    03/05/07      2,074,746      0    0.0  

Catlin Insurance Company Limited

    7.25     12/31/49    11/01/07      19,954      45,739    0.2  

Countrywide Alternative Loan Trust NIM Series 2006-OA11, Class N3

    0.00     09/25/46    10/04/06      959,064      51,219    0.2  

Credit Genesis CLO 2005

    0.00     06/23/10    06/17/05      1,000,000      8,000    0.0  

Deutsche Mortgage Securities Inc. Series 2006-RS1, Class N2

    0.00     09/27/35    01/31/07      2,890,709      63,160    0.2  

Duane Park I Limited

    0.00     06/27/16    12/11/07      700,945      0    0.0  

FSI Realty Trust

    —       —      04/26/07      248,900      5,240    0.0  

Fiorente Funding Limited Series 2006-1A, Class M1

    0.00     11/04/56    12/01/06      3,634,446      1    0.0  

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

    0.00     05/15/77    05/31/07      1,708,383      56,950    0.2  

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

    0.00     10/26/46    03/05/07      1,177,139      0    0.0  

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-3A, Class N2

    2.00     06/27/35    07/21/05      1,917,627      440,038    1.5  

Greenwich Structured Adjustable Rate Mortgage Products Series 2005-4A, Class N2

    0.00     07/27/45    09/22/05      2,772,131      762,196    2.5  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios Strategic Income Fund, Inc. (continued)

 

Restricted Securities

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

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

    0.00 %   07/13/47    02/01/07    $ 844,318    $ 0    0.0 %

Harborview NIM Corp. Series 2006-14, Class N4

    0.00     03/19/38    02/21/07      848,621      0    0.0  

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

    0.00     07/21/36    10/05/06      885,501      0    0.0  

Helios Series I Multi-Asset CBO Limited Series 1A, Class C

    0.00     12/13/36    10/25/06      1,044,006      0    0.0  

Indymac Index Mortgage Loan NIM Trust Series 2006-AR6, Class PS

    0.00     06/25/46    07/17/06      1,820,859      1    0.0  

IXIS ABS CDO 1 Limited

    0.00     12/12/46    11/09/06      787,560      10    0.0  

Knollwood CDO Limited Series 2006-2A, Class E

    0.00     07/13/46    08/01/06      1,049,231      0    0.0  

Lake Country Mortgage Loan Trust Series 2006-HE1, Class M8

    3.22     07/25/34    10/31/06      3,295,072      610,239    2.0  

Lancer Funding Limited Series 2007-2A, Class A3

    0.00     07/15/47    04/25/07      4,491,518      1    0.0  

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

    0.00     07/05/46    07/05/06      2,642,103      0    0.0  

Linker Finance PLC Series 16A, Class E

    0.00     05/19/45    05/05/06      1,942,876      20,000    0.1  

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

    0.00     06/25/45    10/28/05 -
01/24/06		      4,610,552      1    0.0  

Mellon Residential Funding Corp. Series 2004-TBC1, Class X

    0.00     02/26/34    07/19/04      841,760      168,051    0.6  

Meritage Asset Holdings NIM Series 2005-2, Class N4

    0.00     11/25/35    10/21/05      2,336,485      0    0.0  

Mid Country

    —       —      05/22/07      724,999      220,912    0.7  

HELIOS FUNDS

(Formerly RMK Funds)

Notes to Financial Statements

December 31, 2008

 

 

Helios Strategic Income Fund, Inc. (continued)

 

Restricted Securities

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

MKP CBO I Limited Series 4A, Class CS

    0.00 %   10/01/12    02/24/05    $ 1,918,758    $ 0    0.0 %

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

    0.00     03/04/53    02/22/05      1,042,759      0    0.0  

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

    0.00     01/06/46    03/07/06      2,056,557      0    0.0  

Palmer Square PLC Series 2A, Class CN

    0.00     11/02/45    10/21/05      3,037,776      0    0.0  

Park Place Securities Inc. NIM Trust Series 2005-WCW1, Class B

    0.00     09/25/35    08/01/05      950,807      0    0.0  

Port Townsend Company Inc.

    —       —      10/18/07      583,898      0    0.0  

Sail Net Interest Margin Notes Series 2004-5A, Class B

    0.00     06/27/34    07/02/04 -
07/06/04		      114,057      0    0.0  

Sharps CDO Series 2006-1A, Class D

    0.00     05/08/46    01/22/07      2,738,340      0    0.0  

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

    0.00     10/25/46    10/12/06      1,000,000      39,726    0.1  

Squared CDO Limited Series 2007-1A, Class C

    0.00     05/11/57    04/19/07      1,021,840      0    0.0  

Steers Series 2007-A

    4.23     06/20/18    02/05/07      5,826,684      1,620,000    5.4  

Terwin Mortgage Trust Series 2005-11, Class 1B7

    0.00     11/25/36    10/04/05      694,353      0    0.0  

Terwin Mortgage Trust Series 2005-7SL, Class B7

    0.00     07/25/35    07/01/05      813,787      0    0.0  

Terwin Mortgage Trust NIM Series 2005-R1, Class A

    0.00     12/28/36    12/20/05      2,221,685      0    0.0  

Webster CDO Limited Series 2006-1, Class PS

    0.00     04/13/47    11/28/06      1,800,000      0    0.0  
                        
              $ 4,111,486    13.7 %

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 Strategic Income Fund, Inc.
by (Signature and Title):  

/s/ John J. Feeney, Jr.

  John J. Feeney, Jr.
  President
Date: February 20, 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: February 20, 2009
by (Signature and Title):  

/s/ Thomas F. Doodian

  Thomas F. Doodian,
  Treasurer
Date: February 20, 2009