Item 1. Schedule of Investments.
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
|
|
|
|
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|
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|
Schedule of Investments (Unaudited)
|
|
|
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|
|
|
|
|
|
|
December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
Maturity
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
|
INVESTMENT GRADE CORPORATE BONDS - 7.0%
|
|
|
|
|
|
|
|
|
|
|
|
Automotive - 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Co.
2
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $482,960)
|
|
|
6.50
|
%
|
08/01/18
|
|
$
|
525
|
|
|
$
|
607,687
|
|
|
Basic Industry - 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Georgia-Pacific LLC
|
|
|
7.25
|
|
06/01/28
|
|
|
240
|
|
|
|
314,234
|
|
|
Georgia-Pacific LLC
|
|
|
7.38
|
|
12/01/25
|
|
|
285
|
|
|
|
388,335
|
|
|
Total Basic Industry
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $492,785)
|
|
|
|
|
|
|
|
|
|
|
|
702,569
|
|
|
Energy - 1.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pioneer Natural Resources Co.
|
|
|
6.65
|
|
03/15/17
|
|
|
400
|
|
|
|
471,267
|
|
|
SESI LLC
2
|
|
|
6.88
|
|
06/01/14
|
|
|
249
|
|
|
|
249,311
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $600,237)
|
|
|
|
|
|
|
|
|
|
|
|
720,578
|
|
|
Services - 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Legrand France SA
2,6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $668,976)
|
|
|
8.50
|
|
02/15/25
|
|
|
500
|
|
|
|
663,186
|
|
|
Telecommunications - 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CenturyLink, Inc.
2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $674,746)
|
|
|
7.65
|
|
03/15/42
|
|
|
650
|
|
|
|
679,322
|
|
|
Total INVESTMENT GRADE CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $2,919,704)
|
|
|
|
|
|
|
|
|
|
|
|
3,373,342
|
|
|
HIGH YIELD CORPORATE BONDS - 126.0%
|
|
|
|
|
|
|
|
|
|
|
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|
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Automotive - 7.5%
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
American Axle & Manufacturing, Inc.
|
|
|
7.75
|
|
11/15/19
|
|
|
275
|
|
|
|
298,375
|
|
|
American Axle & Manufacturing, Inc.
2
|
|
|
7.88
|
|
03/01/17
|
|
|
550
|
|
|
|
569,250
|
|
|
Chrysler Group LLC/CG Co-Issuer, Inc.
2
|
|
|
8.25
|
|
06/15/21
|
|
|
625
|
|
|
|
687,500
|
|
|
General Motors Financial Company, Inc.
3,4
|
|
|
4.75
|
|
08/15/17
|
|
|
200
|
|
|
|
210,298
|
|
|
Jaguar Land Rover Automotive PLC
3,4,6
|
|
|
8.13
|
|
05/15/21
|
|
|
475
|
|
|
|
522,500
|
|
|
Motors Liquidation Co.
8,9
|
|
|
7.13
|
|
07/15/13
|
|
|
250
|
|
|
|
25
|
|
|
Motors Liquidation Co.
8,9
|
|
|
8.38
|
|
07/15/33
|
|
|
1,500
|
|
|
|
150
|
|
|
Pittsburgh Glass Works LLC
3,4
|
|
|
8.50
|
|
04/15/16
|
|
|
625
|
|
|
|
575,000
|
|
|
Tenneco, Inc.
2
|
|
|
6.88
|
|
12/15/20
|
|
|
625
|
|
|
|
680,469
|
|
|
Visteon Corp.
|
|
|
6.75
|
|
04/15/19
|
|
|
86
|
|
|
|
91,590
|
|
|
Total Automotive
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $3,356,288)
|
|
|
|
|
|
|
|
|
|
|
|
3,635,157
|
|
|
Basic Industry - 22.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AK Steel Corp.
2
|
|
|
7.63
|
|
05/15/20
|
|
|
790
|
|
|
|
687,300
|
|
|
Alpha Natural Resources, Inc.
2
|
|
|
6.25
|
|
06/01/21
|
|
|
750
|
|
|
|
686,250
|
|
|
ArcelorMittal
6
|
|
|
6.13
|
|
06/01/18
|
|
|
500
|
|
|
|
506,750
|
|
|
Arch Coal, Inc.
2
|
|
|
8.75
|
|
08/01/16
|
|
|
675
|
|
|
|
702,000
|
|
|
Associated Materials LLC/AMH New Finance, Inc.
2
|
|
|
9.13
|
|
11/01/17
|
|
|
600
|
|
|
|
609,000
|
|
|
Building Materials Corporation of America
3,4
|
|
|
6.75
|
|
05/01/21
|
|
|
300
|
|
|
|
331,500
|
|
|
Cascades, Inc.
2,6
|
|
|
7.75
|
|
12/15/17
|
|
|
625
|
|
|
|
660,937
|
|
|
FMG Resources August 2006 Property Ltd.
3,4,6
|
|
|
6.88
|
|
04/01/22
|
|
|
400
|
|
|
|
409,000
|
|
|
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC
2
|
|
|
9.00
|
|
11/15/20
|
|
|
850
|
|
|
|
775,625
|
|
|
Huntsman International LLC
2
|
|
|
8.63
|
|
03/15/21
|
|
|
550
|
|
|
|
628,375
|
|
|
Ineos Finance PLC
3,4,6
|
|
|
9.00
|
|
05/15/15
|
|
|
325
|
|
|
|
345,312
|
|
|
Ineos Group Holdings SA
2,3,4,6
|
|
|
8.50
|
|
02/15/16
|
|
|
650
|
|
|
|
646,750
|
|
|
Masonite International Corp.
2,3,4,6
|
|
|
8.25
|
|
04/15/21
|
|
|
625
|
|
|
|
668,750
|
|
|
Ply Gem Industries, Inc.
2
|
|
|
8.25
|
|
02/15/18
|
|
|
625
|
|
|
|
675,000
|
|
|
Steel Dynamics, Inc.
2
|
|
|
7.63
|
|
03/15/20
|
|
|
325
|
|
|
|
359,125
|
|
|
Tembec Industries, Inc.
2,6
|
|
|
11.25
|
|
12/15/18
|
|
|
625
|
|
|
|
662,500
|
|
|
USG Corp.
2
|
|
|
9.75
|
|
01/15/18
|
|
|
675
|
|
|
|
764,437
|
|
|
Verso Paper Holdings LLC/Verso Paper, Inc.
|
|
|
11.75
|
|
01/15/19
|
|
|
425
|
|
|
|
446,250
|
|
|
Xerium Technologies, Inc.
|
|
|
8.88
|
|
06/15/18
|
|
|
470
|
|
|
|
423,000
|
|
|
Total Basic Industry
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $10,706,212)
|
|
|
|
|
|
|
|
|
|
|
|
10,987,861
|
|
|
Capital Goods - 12.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AAR Corp.
3,4
|
|
|
7.25
|
|
01/15/22
|
|
|
225
|
|
|
|
238,219
|
|
|
Berry Plastics Corp.
2
|
|
|
9.50
|
|
05/15/18
|
|
|
625
|
|
|
|
687,500
|
|
|
Casella Waste Systems, Inc.
3,4
|
|
|
7.75
|
|
02/15/19
|
|
|
825
|
|
|
|
783,750
|
|
|
Coleman Cable, Inc.
|
|
|
9.00
|
|
02/15/18
|
|
|
300
|
|
|
|
322,500
|
|
|
Crown Cork & Seal Company, Inc.
2
|
|
|
7.38
|
|
12/15/26
|
|
|
775
|
|
|
|
860,250
|
|
|
Mueller Water Products, Inc.
2
|
|
|
7.38
|
|
06/01/17
|
|
|
625
|
|
|
|
645,312
|
|
|
Owens-Illinois, Inc.
|
|
|
7.80
|
|
05/15/18
|
|
|
475
|
|
|
|
547,438
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
2
|
|
|
9.00
|
|
04/15/19
|
|
|
625
|
|
|
|
650,000
|
|
|
Tekni-Plex, Inc.
3,4
|
|
|
9.75
|
|
06/01/19
|
|
|
350
|
|
|
|
381,500
|
|
|
Terex Corp.
|
|
|
6.00
|
|
05/15/21
|
|
|
425
|
|
|
|
447,312
|
|
|
Terex Corp.
|
|
|
6.50
|
|
04/01/20
|
|
|
225
|
|
|
|
238,500
|
|
|
Total Capital Goods
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $5,424,794)
|
|
|
|
|
|
|
|
|
|
|
|
5,802,281
|
|
|
Consumer Cyclical - 8.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DineEquity, Inc.
2
|
|
|
9.50
|
|
10/30/18
|
|
|
600
|
|
|
|
681,750
|
|
|
Levi Strauss & Co.
2
|
|
|
7.63
|
|
05/15/20
|
|
|
675
|
|
|
|
735,750
|
|
|
Limited Brands, Inc.
|
|
|
7.60
|
|
07/15/37
|
|
|
375
|
|
|
|
392,812
|
|
|
Limited Brands, Inc.
|
|
|
8.50
|
|
06/15/19
|
|
|
250
|
|
|
|
305,000
|
|
|
Mead Products LLC/ACCO Brands Corp.
3,4
|
|
|
6.75
|
|
04/30/20
|
|
|
500
|
|
|
|
525,000
|
|
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
Maturity
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
|
HIGH YIELD CORPORATE BONDS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
Michaels Stores, Inc.
|
|
|
7.75
|
%
|
11/01/18
|
|
$
|
475
|
|
|
$
|
521,313
|
|
|
Rite Aid Corp.
2
|
|
|
9.75
|
|
06/12/16
|
|
|
275
|
|
|
|
297,688
|
|
|
Sally Holdings LLC/Sally Capital, Inc.
|
|
|
6.88
|
|
11/15/19
|
|
|
250
|
|
|
|
276,250
|
|
|
YCC Holdings LLC/Yankee Finance, Inc.
7
|
|
|
10.25
|
|
02/15/16
|
|
|
325
|
|
|
|
335,595
|
|
|
Total Consumer Cyclical
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $3,789,595)
|
|
|
|
|
|
|
|
|
|
|
|
4,071,158
|
|
|
Consumer Non-Cyclical - 4.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
B&G Foods, Inc.
|
|
|
7.63
|
|
01/15/18
|
|
|
675
|
|
|
|
725,625
|
|
|
C&S Group Enterprises LLC
3,4
|
|
|
8.38
|
|
05/01/17
|
|
|
600
|
|
|
|
634,500
|
|
|
Easton-Bell Sports, Inc.
2
|
|
|
9.75
|
|
12/01/16
|
|
|
525
|
|
|
|
564,427
|
|
|
Total Consumer Non-Cyclical
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $1,826,608)
|
|
|
|
|
|
|
|
|
|
|
|
1,924,552
|
|
|
Energy - 18.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BreitBurn Energy Partners L.P./BreitBurn Finance Corp.
2
|
|
|
8.63
|
|
10/15/20
|
|
|
625
|
|
|
|
681,250
|
|
|
Calfrac Holdings L.P.
2,3,4
|
|
|
7.50
|
|
12/01/20
|
|
|
650
|
|
|
|
643,500
|
|
|
Crosstex Energy L.P./Crosstex Energy Finance Corp.
2
|
|
|
8.88
|
|
02/15/18
|
|
|
550
|
|
|
|
594,000
|
|
|
EV Energy Partners L.P./EV Energy Finance Corp.
2
|
|
|
8.00
|
|
04/15/19
|
|
|
625
|
|
|
|
663,281
|
|
|
Frac Tech Services LLC/Frac Tech Finance, Inc.
2,3,4
|
|
|
8.13
|
|
11/15/18
|
|
|
284
|
|
|
|
293,230
|
|
|
GMX Resources, Inc.
2,7
|
|
|
11.00
|
|
12/01/17
|
|
|
234
|
|
|
|
233,046
|
|
|
Hercules Offshore, Inc.
2,3,4
|
|
|
10.50
|
|
10/15/17
|
|
|
375
|
|
|
|
404,062
|
|
|
Hilcorp Energy I LP/Hilcorp Finance Co.
2,3,4
|
|
|
8.00
|
|
02/15/20
|
|
|
675
|
|
|
|
739,125
|
|
|
Key Energy Services, Inc.
|
|
|
6.75
|
|
03/01/21
|
|
|
375
|
|
|
|
375,000
|
|
|
Linn Energy LLC/Linn Energy Finance Corp.
2
|
|
|
8.63
|
|
04/15/20
|
|
|
660
|
|
|
|
719,400
|
|
|
Niska Gas Storage US LLC/Niska Gas Storage Canada ULC
2
|
|
|
8.88
|
|
03/15/18
|
|
|
600
|
|
|
|
616,500
|
|
|
Petroleum Geo-Services ASA
3,4,6
|
|
|
7.38
|
|
12/15/18
|
|
|
275
|
|
|
|
297,000
|
|
|
Plains Exploration & Production Co.
2
|
|
|
7.63
|
|
06/01/18
|
|
|
675
|
|
|
|
710,437
|
|
|
Precision Drilling Corp.
6
|
|
|
6.63
|
|
11/15/20
|
|
|
225
|
|
|
|
241,875
|
|
|
Quicksilver Resources, Inc.
2
|
|
|
11.75
|
|
01/01/16
|
|
|
375
|
|
|
|
370,312
|
|
|
Trinidad Drilling Ltd.
2,3,4,6
|
|
|
7.88
|
|
01/15/19
|
|
|
625
|
|
|
|
664,062
|
|
|
Venoco, Inc.
|
|
|
8.88
|
|
02/15/19
|
|
|
600
|
|
|
|
562,500
|
|
|
W&T Offshore, Inc.
|
|
|
8.50
|
|
06/15/19
|
|
|
220
|
|
|
|
236,500
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $8,728,689)
|
|
|
|
|
|
|
|
|
|
|
|
9,045,080
|
|
|
Healthcare - 10.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHS/Community Health Systems, Inc.
|
|
|
7.13
|
|
07/15/20
|
|
|
350
|
|
|
|
373,625
|
|
|
DJO Finance LLC/DJO Finance Corp.
3,4
|
|
|
9.88
|
|
04/15/18
|
|
|
325
|
|
|
|
335,563
|
|
|
HCA, Inc.
2
|
|
|
8.00
|
|
10/01/18
|
|
|
625
|
|
|
|
723,438
|
|
|
Health Management Associates, Inc.
2
|
|
|
7.38
|
|
01/15/20
|
|
|
625
|
|
|
|
675,000
|
|
|
inVentiv Health, Inc.
3,4
|
|
|
9.00
|
|
01/15/18
|
|
|
425
|
|
|
|
429,250
|
|
|
inVentiv Health, Inc.
3,4
|
|
|
10.25
|
|
08/15/18
|
|
|
245
|
|
|
|
211,313
|
|
|
Kindred Healthcare, Inc.
|
|
|
8.25
|
|
06/01/19
|
|
|
325
|
|
|
|
316,063
|
|
|
Jaguar Holding Company II/Jaguar Merger Sub, Inc.
2,3,4
|
|
|
9.50
|
|
12/01/19
|
|
|
625
|
|
|
|
709,375
|
|
|
Polymer Group, Inc.
2
|
|
|
7.75
|
|
02/01/19
|
|
|
600
|
|
|
|
643,500
|
|
|
Service Corporation International
2
|
|
|
6.75
|
|
04/01/16
|
|
|
750
|
|
|
|
840,000
|
|
|
Total Healthcare
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $4,924,620)
|
|
|
|
|
|
|
|
|
|
|
|
5,257,127
|
|
|
Media - 9.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ARC Document Solutions, Inc.
2
|
|
|
10.50
|
|
12/15/16
|
|
|
600
|
|
|
|
589,500
|
|
|
Cablevision Systems Corp.
2
|
|
|
8.63
|
|
09/15/17
|
|
|
750
|
|
|
|
874,688
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.
2
|
|
|
8.13
|
|
04/30/20
|
|
|
675
|
|
|
|
756,000
|
|
|
Cenveo Corp.
|
|
|
8.88
|
|
02/01/18
|
|
|
275
|
|
|
|
261,250
|
|
|
Clear Channel Communications, Inc.
2
|
|
|
9.00
|
|
03/01/21
|
|
|
650
|
|
|
|
580,125
|
|
|
Cumulus Media Holdings, Inc.
|
|
|
7.75
|
|
05/01/19
|
|
|
625
|
|
|
|
614,062
|
|
|
Mediacom LLC/Mediacom Capital Corp.
2
|
|
|
9.13
|
|
08/15/19
|
|
|
625
|
|
|
|
692,188
|
|
|
National CineMedia LLC
|
|
|
6.00
|
|
04/15/22
|
|
|
225
|
|
|
|
238,500
|
|
|
Total Media
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $4,499,331)
|
|
|
|
|
|
|
|
|
|
|
|
4,606,313
|
|
|
Real Estate - 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realogy Group LLC
2,3,4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $567,035)
|
|
|
7.88
|
|
02/15/19
|
|
|
625
|
|
|
|
681,250
|
|
|
Services - 17.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMC Entertainment, Inc.
2
|
|
|
8.75
|
|
06/01/19
|
|
|
600
|
|
|
|
664,500
|
|
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
2
|
|
|
8.25
|
|
01/15/19
|
|
|
625
|
|
|
|
690,625
|
|
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
|
|
|
9.75
|
|
03/15/20
|
|
|
175
|
|
|
|
202,125
|
|
|
Beazer Homes USA, Inc.
2
|
|
|
9.13
|
|
06/15/18
|
|
|
275
|
|
|
|
286,688
|
|
|
Boyd Gaming Corp.
2,3,4
|
|
|
9.00
|
|
07/01/20
|
|
|
650
|
|
|
|
640,250
|
|
|
Caesars Entertainment Operating Company, Inc.
|
|
|
8.50
|
|
02/15/20
|
|
|
225
|
|
|
|
223,312
|
|
|
Caesars Entertainment Operating Company, Inc.
2
|
|
|
11.25
|
|
06/01/17
|
|
|
500
|
|
|
|
535,625
|
|
|
CityCenter Holdings LLC/CityCenter Finance Corp.
2
|
|
|
7.63
|
|
01/15/16
|
|
|
600
|
|
|
|
642,000
|
|
|
Iron Mountain, Inc.
2
|
|
|
8.38
|
|
08/15/21
|
|
|
275
|
|
|
|
305,250
|
|
|
MGM Resorts International
2
|
|
|
7.63
|
|
01/15/17
|
|
|
625
|
|
|
|
668,750
|
|
|
MGM Resorts International
|
|
|
8.63
|
|
02/01/19
|
|
|
200
|
|
|
|
223,000
|
|
|
MTR Gaming Group, Inc.
7
|
|
|
11.50
|
|
08/01/19
|
|
|
478
|
|
|
|
507,030
|
|
|
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp.
2,3,4
|
|
|
8.88
|
|
04/15/17
|
|
|
600
|
|
|
|
631,500
|
|
|
PulteGroup, Inc.
2
|
|
|
6.38
|
|
05/15/33
|
|
|
600
|
|
|
|
598,500
|
|
|
Standard Pacific Corp.
2
|
|
|
8.38
|
|
05/15/18
|
|
|
675
|
|
|
|
783,000
|
|
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
Maturity
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
|
HIGH YIELD CORPORATE BONDS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
United Rentals North America, Inc.
|
|
|
8.25
|
%
|
02/01/21
|
|
$
|
350
|
|
|
$
|
394,625
|
|
|
United Rentals North America, Inc.
2
|
|
|
10.25
|
|
11/15/19
|
|
|
275
|
|
|
|
319,000
|
|
|
Total Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $7,582,429)
|
|
|
|
|
|
|
|
|
|
|
|
8,315,780
|
|
|
Technology & Electronics - 2.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Data Corp.
2,3,4
|
|
|
8.25
|
|
01/15/21
|
|
|
600
|
|
|
|
600,000
|
|
|
First Data Corp.
|
|
|
9.88
|
|
09/24/15
|
|
|
61
|
|
|
|
62,220
|
|
|
Freescale Semiconductor, Inc.
|
|
|
8.05
|
|
02/01/20
|
|
|
625
|
|
|
|
621,875
|
|
|
Total Technology & Electronics
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $1,270,871)
|
|
|
|
|
|
|
|
|
|
|
|
1,284,095
|
|
|
Telecommunications - 8.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cincinnati Bell, Inc.
2
|
|
|
8.25
|
|
10/15/17
|
|
|
265
|
|
|
|
285,538
|
|
|
Cincinnati Bell, Inc.
|
|
|
8.75
|
|
03/15/18
|
|
|
550
|
|
|
|
567,875
|
|
|
Frontier Communications Corp.
2
|
|
|
7.13
|
|
03/15/19
|
|
|
1,050
|
|
|
|
1,141,875
|
|
|
Level 3 Communications, Inc.
2,3,4
|
|
|
8.88
|
|
06/01/19
|
|
|
650
|
|
|
|
692,250
|
|
|
PAETEC Holding Corp.
|
|
|
9.88
|
|
12/01/18
|
|
|
375
|
|
|
|
429,375
|
|
|
Windstream Corp.
2
|
|
|
7.00
|
|
03/15/19
|
|
|
1,000
|
|
|
|
1,022,500
|
|
|
Total Telecommunications
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $3,800,696)
|
|
|
|
|
|
|
|
|
|
|
|
4,139,413
|
|
|
Utility - 2.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calpine Corp.
2,3,4
|
|
|
7.25
|
|
10/15/17
|
|
|
495
|
|
|
|
527,175
|
|
|
NRG Energy, Inc.
2
|
|
|
8.50
|
|
06/15/19
|
|
|
675
|
|
|
|
742,500
|
|
|
Total Utility
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $1,162,874)
|
|
|
|
|
|
|
|
|
|
|
|
1,269,675
|
|
|
Total HIGH YIELD CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $57,640,042)
|
|
|
|
|
|
|
|
|
|
|
|
61,019,742
|
|
|
TERM LOANS - 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Company LLC
1,4
|
|
|
4.71
|
|
10/10/17
|
|
|
189
|
|
|
|
125,759
|
|
|
Texas Competitive Electric Holdings Company LLC
1,4
|
|
|
4.81
|
|
10/10/17
|
|
|
40
|
|
|
|
26,320
|
|
|
Texas Competitive Electric Holdings Company LLC
1,4
|
|
|
4.81
|
|
10/10/17
|
|
|
57
|
|
|
|
38,040
|
|
|
Total TERM LOANS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $238,761)
|
|
|
|
|
|
|
|
|
|
|
|
190,119
|
|
|
COMMON STOCKS - 1.3%
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
|
Basic Industry - 1.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Huntsman Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $309,392)
|
|
|
|
|
|
|
|
30,900
|
|
|
|
491,310
|
|
|
Telecommunications - 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Frontier Communications Corp.
|
|
|
|
|
|
|
|
17,743
|
|
|
|
75,940
|
|
|
Windstream Corp.
|
|
|
|
|
|
|
|
9,200
|
|
|
|
76,176
|
|
|
Total Telecommunications
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $285,725)
|
|
|
|
|
|
|
|
|
|
|
|
152,116
|
|
|
Total COMMON STOCKS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $595,117)
|
|
|
|
|
|
|
|
|
|
|
|
643,426
|
|
|
WARRANTS - 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auotmotive - 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Motors Co.
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration: July 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exercise Price: $10.00
|
|
|
|
|
|
|
|
6,469
|
|
|
|
126,146
|
|
|
General Motors Co.
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration: July 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exercise Price: $18.33
|
|
|
|
|
|
|
|
6,469
|
|
|
|
80,798
|
|
|
Total Automotive
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $384,117)
|
|
|
|
|
|
|
|
|
|
|
|
206,944
|
|
|
Total WARRANTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $384,117)
|
|
|
|
|
|
|
|
|
|
|
|
206,944
|
|
|
Total Investments - 135.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost $61,777,741)
|
|
|
|
|
|
|
|
|
|
|
|
65,433,573
|
|
|
Liabilities in Excess of Other Assets - (35.1)%
|
|
|
|
|
|
|
|
|
|
|
|
(16,997,752
|
)
|
|
TOTAL NET ASSETS - 100.0%
|
|
|
|
|
|
|
|
|
|
|
$
|
48,435,821
|
|
|
|
|
|
The following notes should be read in conjunction with the accompanying Schedule of Investments.
|
|
|
|
|
1 -
|
Variable rate security - Interest rate shown in the rate in effect as of December 31, 2012.
|
|
2 -
|
Portion of entire principal amount pledged as collateral for credit facility.
|
|
3 -
|
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, 2012, the total value of all such investments was $14,770,984 or 30.5% of net assets.
|
|
4 -
|
Private Placement.
|
|
5 -
|
Non-Income producing security.
|
|
6 -
|
Foreign security or a U.S. security of a foreign company.
|
|
7 -
|
Payment in kind security.
|
|
8 -
|
Security is valued in good faith pursuant to the fair value procedures adopted by the Board of Directors.
|
|
|
As of December 31, 2012, the total value of all such securities was $175 or less than 0.0% of net assets.
|
|
9 -
|
Issuer is currently in default on its regularly scheduled interest payment.
|
HELIOS FUNDS
Notes to Financial Statements
December 31, 2012 (Unaudited)
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 bid prices furnished by an independent pricing service or, if not valued by an independent pricing service, using bid prices obtained from at least two active and reliable market makers in any such security 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 traded 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 adopted 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 each Fund. 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 an 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 qualit
y.
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 Boards have adopted procedures for the valuation of the Funds’ securities and has delegated the day to day responsibilities for valuation determinations under these procedures to the Adviser. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. If a market value or price cannot be determined for a security or a significant event has occurred that would materially affect the value of the security, the security is fair valued by the Adviser’s Valuation Committee. The Valuation Committee is comprised of senior members of the Adviser’s management team.
The Funds have established methods of fair value measurements in accordance with GAAP. Fair value denotes the price that a 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. A three-tier hierarchy has been established 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 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
-
|
quoted prices in markets that are not active or other significant observable inputs (including, but not limited to: quoted prices for similar investments, quoted prices based on recently executed transactions, interest rates, credit risk, etc.)
|
|
• Level 3
-
|
significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments)
|
The Adviser’s valuation policy, as previously stated, establishes parameters for the sources and types of valuation analysis, as well as, the methodologies and inputs the Adviser uses in determining fair value, including the use of the Adviser’s Valuation Committee. If the Valuation Committee determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work will be undertaken.
Significant increases or decreases in the any of the unobservable inputs in isolation may result in a lower or higher fair value measurement.
To assess the continuing appropriateness of security valuations, the Adviser (or its third party service provider who is subject to oversight by the Adviser), regularly compares one of its prior day prices, prices on comparable securities and sale prices to the current day prices and challenges those prices that exceeds certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
|
Helios Advantage Income Fund, Inc.
|
The following is a summary of the inputs used as of December 31, 2012 in valuing the Fund’s investments carried at fair value:
|
Valuation Inputs
|
|
Investment
Grade
Corporate
Bonds
|
|
|
High Yield Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 - Quoted Prices
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
786,820
|
|
|
$
|
236,503
|
|
|
$
|
1,023,323
|
|
|
Level 2 - Quoted Prices in Inactive
Markets or Other Significant
Observable Inputs
|
|
|
3,941,782
|
|
|
|
75,758,893
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
79,700,675
|
|
|
Level 3 - Significant Unobservable
I
nputs
|
|
|
-
|
|
|
|
200
|
|
|
|
221,805
|
|
|
|
-
|
|
|
|
-
|
|
|
|
222,005
|
|
|
Total
|
|
$
|
3,941,782
|
|
|
$
|
75,759,093
|
|
|
$
|
221,805
|
|
|
$
|
786,820
|
|
|
$
|
236,503
|
|
|
$
|
80,946,003
|
|
The following tables provide quantitative information about the Fund’s Level 3 values, as well as its inputs, as of December 31, 2012. The tables are not all-inclusive, but provide information on the significant Level 3 inputs. The range below is the range of prices denoted as a percentage of par.
|
|
|
Quantitative Information about Level 3 Fair Value Measurements
|
|
|
|
|
|
|
|
|
|
|
Significant
|
|
|
|
|
|
Assets
|
|
Fair Value as of
December 31, 2012
|
|
|
Valuation
Methodology
|
|
|
Unobservable
Input
|
|
|
Range
|
|
|
High Yield Corporate Bonds
|
|
$
|
200
|
|
|
Unadjusted quoted market prices
|
|
|
NBIB
(1)
|
|
|
0.01
|
|
|
Term Loans
|
|
|
221,805
|
|
|
Unadjusted quoted market prices
|
|
|
NBIB
(1)
|
|
|
66.43
|
|
|
Total Fair Value for Level 3 Investments
|
|
$
|
222,005
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Fund generally uses prices provided by an independent pricing service, or broker non-binding indicative bid prices (NBIB) on or near the valuation date as the primary basis for the fair value determinations for high yield corporate debt. These bid prices are non-binding, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by the Adviser.
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
High Yield
Corporate
Bonds
|
|
|
Term Loans
|
|
|
Total
|
|
|
|
Balance as of March 31, 2012
|
|
$
|
18,920,655
|
|
|
$
|
185,210
|
|
|
$
|
19,105,865
|
|
|
|
Accrued Discounts (Premiums)
|
|
|
13,950
|
|
|
|
4,737
|
|
|
|
18,687
|
|
|
|
Realized Gain/(Loss)
|
|
|
115,924
|
|
|
|
-
|
|
|
|
115,924
|
|
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
271,033
|
|
|
|
31,858
|
|
|
|
302,891
|
|
|
|
Purchases at cost
|
|
|
3,199,036
|
|
|
|
93,622
|
|
|
|
3,292,658
|
|
|
|
Sales proceeds
|
|
|
(6,359,189
|
)
|
|
|
(93,622
|
)
|
|
|
(6,452,811
|
)
|
|
|
Transfers out of Level 3
|
|
|
(16,161,209
|
)
|
|
|
-
|
|
|
|
(16,161,209
|
)
|
(a)
|
|
Balance as of December 31, 2012
|
|
$
|
200
|
|
|
$
|
221,805
|
|
|
$
|
222,005
|
|
|
|
Change in unrealized gains or losses relating to assets still held at
reporting date
|
|
$
|
(29,800
|
)
|
|
$
|
31,858
|
|
|
$
|
2,058
|
|
|
(a)
Transferred due to an increase/decrease of observable market data for these securities primarily an increase (decrease) in trade basis information versus dealer quotes.
Helios High Income Fund, Inc.
The following is a summary of the inputs used as of December 31, 2012 in valuing the Fund’s investments carried at fair value:
|
Valuation Inputs
|
|
Investment
Grade
Corporate
Bonds
|
|
|
High Yield Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
|
Level 1 - Quoted Prices
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
570,281
|
|
|
$
|
177,417
|
|
|
$
|
747,698
|
|
|
Level 2 - Quoted Prices in Inactive
Markets or Other Significant
Observable Inputs
|
|
|
3,112,210
|
|
|
|
53,608,523
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
56,720,733
|
|
|
Level 3 - Significant Unobservable
Inputs
|
|
|
-
|
|
|
|
150
|
|
|
|
174,275
|
|
|
|
-
|
|
|
|
-
|
|
|
|
174,425
|
|
|
Total
|
|
$
|
3,112,210
|
|
|
$
|
53,608,673
|
|
|
$
|
174,275
|
|
|
$
|
570,281
|
|
|
$
|
177,417
|
|
|
$
|
57,642,856
|
|
The following tables provide quantitative information about the Fund’s Level 3 values, as well as its inputs, as of December 31, 2012. The tables are not all-inclusive, but provide information on the significant Level 3 inputs. The range below is the range of prices denoted as a percentage of par.
|
|
|
Quantitative Information about Level 3 Fair Value Measurements
|
|
|
|
|
|
|
|
|
|
|
Significant
|
|
|
|
|
|
Assets
|
|
Fair Value as of
December 31, 2012
|
|
|
Valuation
Methodology
|
|
|
Unobservable
Input
|
|
|
Range
|
|
|
High Yield Corporate Bonds
|
|
$
|
150
|
|
|
Unadjusted quoted market prices
|
|
|
NBIB
(1)
|
|
|
0.01
|
|
|
Term Loans
|
|
|
174,275
|
|
|
Unadjusted quoted market prices
|
|
|
NBIB
(1)
|
|
|
66.43
|
|
|
Total Fair Value for Level 3
Investments
|
|
$
|
174,425
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Fund generally uses prices provided by an independent pricing service, or broker non-binding indicative bid prices (NBIB) on or near the valuation date as the primary basis for the fair value determinations for high yield corporate debt. These bid prices are non-binding, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by the Adviser.
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
|
Investments in Securities
|
|
High Yield
Corporate
Bonds
|
|
|
Term Loans
|
|
|
Total
|
|
|
|
Balance as of March 31, 2012
|
|
$
|
13,709,679
|
|
|
$
|
145,522
|
|
|
$
|
13,855,201
|
|
|
|
Accrued Discounts (Premiums)
|
|
|
6,858
|
|
|
|
3,722
|
|
|
|
10,580
|
|
|
|
Realized Gain/(Loss)
|
|
|
130,278
|
|
|
|
-
|
|
|
|
130,278
|
|
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
159,973
|
|
|
|
25,031
|
|
|
|
185,004
|
|
|
|
Purchases at cost
|
|
|
2,052,929
|
|
|
|
73,559
|
|
|
|
2,126,488
|
|
|
|
Sales proceeds
|
|
|
(4,441,252
|
)
|
|
|
(73,559
|
)
|
|
|
(4,514,811
|
)
|
|
|
Transfers out of Level 3
|
|
|
(11,618,315
|
)
|
|
|
-
|
|
|
|
(11,618,315
|
)
|
(a)
|
|
Balance as of December 31, 2012
|
|
$
|
150
|
|
|
$
|
174,275
|
|
|
$
|
174,425
|
|
|
|
Change in unrealized gains or losses relating to assets still held at reporting date
|
|
$
|
(22,350
|
)
|
|
$
|
25,031
|
|
|
$
|
2,681
|
|
|
(a)
Transferred due to an increase/decrease of observable market data for these securities primarily an increase (decrease) in trade basis information versus dealer quotes.
Helios Multi-Sector High Income Fund, Inc.
The following is a summary of the inputs used as of December 31, 2012 in valuing the Fund’s investments carried at fair value:
|
Valuation Inputs
|
|
Investment
Grade
Corporate
Bonds
|
|
|
High Yield Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
|
Level 1 - Quoted Prices
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
643,426
|
|
|
$
|
206,944
|
|
|
$
|
850,370
|
|
|
Level 2 - Quoted Prices in Inactive
Markets or Other Significant
Observable Inputs
|
|
|
3,373,342
|
|
|
|
61,019,567
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
64,392,909
|
|
|
Level 3 - Significant Unobservable
Inputs
|
|
|
-
|
|
|
|
175
|
|
|
|
190,119
|
|
|
|
-
|
|
|
|
-
|
|
|
|
190,294
|
|
|
Total
|
|
$
|
3,373,342
|
|
|
$
|
61,019,742
|
|
|
$
|
190,119
|
|
|
$
|
643,426
|
|
|
$
|
206,944
|
|
|
$
|
65,433,573
|
|
The following tables provide quantitative information about the Fund’s Level 3 values, as well as its inputs, as of December 31, 2012. The tables are not all-inclusive, but provide information on the significant Level 3 inputs. The range below is the range of prices denoted as a percentage of par.
|
|
|
Quantitative Information about Level 3 Fair Value Measurements
|
|
|
|
|
|
|
|
|
|
|
Significant
|
|
|
|
|
|
Assets
|
|
Fair Value as of
December 31, 2012
|
|
|
Valuation
Methodology
|
|
|
Unobservable
Input
|
|
|
Range
|
|
|
High Yield Corporate Bonds
|
|
$
|
175
|
|
|
Unadjusted quoted market prices
|
|
|
NBIB
(1)
|
|
|
0.01
|
|
|
Term Loans
|
|
|
190,119
|
|
|
Unadjusted quoted market prices
|
|
|
NBIB
(1)
|
|
|
66.43
|
|
|
Total Fair Value for Level 3
Investments
|
|
$
|
190,294
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Fund generally uses prices provided by an independent pricing service, or broker non-binding indicative bid prices (NBIB) on or near the valuation date as the primary basis for the fair value determinations for high yield corporate debt. These bid prices are non-binding, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by the Adviser.
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
|
Investments in Securities
|
|
High Yield
Corporate
Bonds
|
|
|
Term Loans
|
|
|
Total
|
|
|
|
Balance as of March 31, 2012
|
|
$
|
15,840,232
|
|
|
$
|
158,751
|
|
|
$
|
15,998,983
|
|
|
|
Accrued Discounts (Premiums)
|
|
|
9,534
|
|
|
|
4,063
|
|
|
|
13,597
|
|
|
|
Realized Gain/(Loss)
|
|
|
132,812
|
|
|
|
-
|
|
|
|
132,812
|
|
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
211,534
|
|
|
|
27,305
|
|
|
|
238,839
|
|
|
|
Purchases at cost
|
|
|
2,899,782
|
|
|
|
80,239
|
|
|
|
2,980,021
|
|
|
|
Sales proceeds
|
|
|
(5,122,346
|
)
|
|
|
(80,239
|
)
|
|
|
(5,202,585
|
)
|
|
|
Transfers out of Level 3
|
|
|
(13,971,373
|
)
|
|
|
-
|
|
|
|
(13,971,373
|
)
|
(a)
|
|
Balance as of December 31, 2012
|
|
$
|
175
|
|
|
$
|
190,119
|
|
|
$
|
190,294
|
|
|
|
Change in unrealized gains or losses relating to assets still held at
reporting date
|
|
$
|
(26,075
|
)
|
|
$
|
27,305
|
|
|
$
|
1,230
|
|
|
(a)
Transferred due to an increase/decrease of observable market data for these securities primarily an increase (decrease) in trade basis information versus dealer quotes.
Helios Strategic Income Fund, Inc.
The following is a summary of the inputs used as of December 31, 2012 in valuing the Fund’s investments carried at fair value:
|
Valuation Inputs
|
|
Commercial Mortgage-
Backed Securities
|
|
|
Investment Grade
Corporate
Bonds
|
|
|
High Yield Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
|
Level 1 - Quoted Prices
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
2,956,789
|
|
|
$
|
177,417
|
|
|
$
|
3,134,206
|
|
|
Level 2 — Quoted Prices in Inactive
Markets or Other Significant
Observable Inputs
|
|
|
8,475,746
|
|
|
|
8,425,746
|
|
|
|
34,923,866
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
51,645,245
|
|
|
Level 3 - Significant Unobservable
Inputs
|
|
|
-
|
|
|
|
-
|
|
|
|
150
|
|
|
|
158,432
|
|
|
|
-
|
|
|
|
-
|
|
|
|
158,582
|
|
|
Total
|
|
$
|
8,475,746
|
|
|
$
|
8,425,746
|
|
|
$
|
34,924,016
|
|
|
$
|
158,432
|
|
|
$
|
2,956,789
|
|
|
$
|
177,417
|
|
|
$
|
54,938,033
|
|
The following tables provide quantitative information about the Fund’s Level 3 values, as well as its inputs, as of December 31, 2012. The tables are not all-inclusive, but provide information on the significant Level 3 inputs. The range below is the range of prices denoted as a percentage of par.
|
|
|
Quantitative Information about Level 3 Fair Value Measurements
|
|
|
Assets
|
|
Fair Value as of
December 31,
2012
|
|
|
Valuation
Methodology
|
|
|
Significant
Unobservable
Input
|
|
|
Range
|
|
|
High Yield Corporate Bonds
|
|
$
|
150
|
|
|
Unadjusted
quoted market
prices
|
|
|
NBIB
(1)
|
|
|
0.01
|
|
|
Term Loans
|
|
|
158,432
|
|
|
Unadjusted
quoted market
prices
|
|
|
NBIB
(1)
|
|
|
66.43
|
|
|
Total Fair Value for Level 3
Investments
|
|
$
|
158,582
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Funds generally use prices provided by an independent pricing service, or broker non-binding indicative bid prices (NBIB) on or near the valuation date as the primary basis for the fair value determinations for high yield corporate debt. These bid prices are non-binding, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by the Adviser.
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
|
Investments in Securities
|
|
Commercial Mortgage-
Backed
Securities
|
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Total
|
|
|
|
Balance as of March 31, 2012
|
|
$
|
8,205,705
|
|
|
$
|
11,827,302
|
|
|
$
|
132,293
|
|
|
$
|
20,165,300
|
|
|
|
Accrued Discounts (Premiums)
|
|
|
(47,038
|
)
|
|
|
8,109
|
|
|
|
3,386
|
|
|
|
(35,543
|
)
|
|
|
Realized Gain/(Loss)
|
|
|
-
|
|
|
|
140,071
|
|
|
|
-
|
|
|
|
140,071
|
|
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
317,079
|
|
|
|
113,056
|
|
|
|
22,753
|
|
|
|
452,888
|
|
|
|
Purchases at cost
|
|
|
-
|
|
|
|
1,478,928
|
|
|
|
66,866
|
|
|
|
1,545,794
|
|
|
|
Sales proceeds
|
|
|
-
|
|
|
|
(4,326,518
|
)
|
|
|
(66,866
|
)
|
|
|
(4,393,384
|
)
|
|
|
Transfers out of Level 3
|
|
|
(8,475,746
|
)
|
|
|
(9,420,798
|
)
|
|
|
-
|
|
|
|
(17,716,544
|
)
|
(a)
|
|
Balance as of December 31, 2012
|
|
$
|
8,456,911
|
|
|
$
|
150
|
|
|
$
|
158,432
|
|
|
$
|
158,582
|
|
|
|
Change in unrealized gains or losses relating to assets still
held at
reporting date
|
|
$
|
286,122
|
|
|
$
|
(22,350
|
)
|
|
$
|
22,753
|
|
|
$
|
403
|
|
|
(a)
Transferred due to an increase/decrease of observable market data for these securities primarily an increase (decrease) in trade basis information versus dealer quotes.
Credit facility:
The Funds established a line of credit with BNP Paribas for investment purposes subject to the limitations of the 1940 Act for borrowings by registered investment companies. Each Fund pays interest in the amount of 0.80% plus the 3-month London Interbank Offered Rate on the amount outstanding and 0.80% on the line of credit that is unused. For the period ended December 31, 2012, the average interest rate paid on the amounts outstanding under the line of credit was 1.17% for each of the Funds.
|
|
|
Helios
Advantage
Income Fund,
Inc.
|
|
|
Helios High
Income Fund,
Inc.
|
|
|
Helios Multi-
Sector High
Income Fund, Inc.
|
|
|
Helios Strategic
Income Fund,
Inc.
|
|
|
Total line of credit amount available
|
|
$
|
27,000,000
|
|
|
$
|
19,000,000
|
|
|
$
|
22,000,000
|
|
|
$
|
18,000,000
|
|
|
Line of credit outstanding at December 31, 2012
|
|
|
23,700,000
|
|
|
|
17,425,000
|
|
|
|
19,800,000
|
|
|
|
15,950,000
|
|
|
Line of credit amount unused at
December 31, 2012
|
|
|
3,300,000
|
|
|
|
1,575,000
|
|
|
|
2,200,000
|
|
|
|
2,050,000
|
|
|
Average balance outstanding during the period
|
|
|
23,700,000
|
|
|
|
17,425,000
|
|
|
|
19,800,000
|
|
|
|
15,950,000
|
|
|
Interest expense incurred on line of credit during
the period
|
|
|
237,030
|
|
|
|
169,089
|
|
|
|
194,635
|
|
|
|
158,481
|
|
Federal Income Tax Basis
: The federal income tax basis of the Funds’ investments at December 31, 2012.
|
Fund
|
|
Cost of
Investments
|
|
|
Gross Unrealized
Appreciation
|
|
|
Gross Unrealized
Depreciation
|
|
|
Net Unrealized Appreciation
|
|
|
Helios Advantage Income Fund, Inc.
|
|
$
|
76,151,577
|
|
|
$
|
5,803,219
|
|
|
$
|
(1,008,793
|
)
|
|
$
|
4,794,426
|
|
|
Helios High Income Fund, Inc.
|
|
|
54,353,436
|
|
|
|
4,115,662
|
|
|
|
(826,242
|
)
|
|
|
3,289,420
|
|
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
61,777,741
|
|
|
|
4,581,734
|
|
|
|
(925,902
|
)
|
|
|
3,655,832
|
|
|
Helios Strategic Income Fund, Inc.
|
|
|
51,173,549
|
|
|
|
4,724,894
|
|
|
|
(960,410
|
)
|
|
|
3,764,484
|
|
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
(a) Certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act. Filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
|
|
|
|
|
|
(Registrant)
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
By (Signature and Title)
|
/s/
Kim G. Redding
|
|
|
|
|
Kim G. Redding
|
|
|
|
Principal Executive Officer
|
|
|
|
|
|
|
Date: February 26, 2013
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
|
|
|
By (Signature and Title)*
|
/s/
Kim G. Redding
|
|
|
|
|
Kim G. Redding
|
|
|
|
Principal Executive Officer
|
|
|
|
|
|
|
Date: February 26, 2013
|
|
|
|
|
|
|
|
|
|
|
|
By (Signature and Title)*
|
/s/ Steven M. Pires
|
|
|
|
|
Steven M. Pires
|
|
|
|
Treasurer and Principal Financial Officer
|
|
|
|
|
|
|
Date: February 26, 2013
|
* Print the name and title of each signing officer under his or her signature.
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