As filed with the Securities and Exchange Commission on August 19, 2011
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)
KIM G. REDDING,
PRESIDENT
THREE WORLD FINANCIAL CENTER
200 VESEY STREET, 10TH FLOOR
NEW YORK, NEW YORK 10281-1010
(Name and address of agent for service)
Registrants telephone number, including area code: 1-800-497-3746
Date of fiscal year end:
March 31, 2012
Date of reporting period: June 30, 2011
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.
Portfolio of Investments (Unaudited)
June 30, 2011
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Interest
Rate
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Maturity
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Principal
Amount
(000s)
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Value
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COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.9%
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Bear Stearns Commercial Mortgage Securities
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Series 2006-PW14, Class A4
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5.20
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%
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12/11/38
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$
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625
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$
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672,718
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Series 2007-T28, Class A4
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5.74
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09/11/42
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670
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746,123
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Commercial Mortgage Pass Through Certificates
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Series 2007-C9, Class A4
5
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5.81
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12/10/49
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500
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549,190
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JP Morgan Chase Commercial Mortgage Securities Corp.
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Series 2006-LDP7, Class A4
5
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5.88
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04/15/45
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650
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721,404
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LB-UBS Commercial Mortgage Trust
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Series 2006-C1, Class A4
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5.16
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02/15/31
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670
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724,917
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Series 2006-C6, Class A4
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5.37
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09/15/39
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670
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728,734
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Morgan Stanley Capital I
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Series 2007-T27, Class A4
5
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5.64
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06/11/42
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660
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730,679
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Total COMMERCIAL MORTGAGE-BACKED SECURITIES
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(Cost - $4,892,442)
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4,873,765
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INVESTMENT GRADE CORPORATE BONDS - 27.8%
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Basic Industry - 8.6%
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Alcoa, Inc.
1
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5.55
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02/01/17
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1,000
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1,063,990
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ArcelorMittal
1
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6.13
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06/01/18
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500
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535,539
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Newmont Mining Corp.
1
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5.13
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10/01/19
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500
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537,003
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The Dow Chemical Co.
1
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5.70
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05/15/18
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1,000
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1,108,114
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Total Basic Industry
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(Cost - $2,728,037)
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3,244,646
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Capital Goods - 1.5%
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International Paper Co.
1
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(Cost - $600,539)
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7.50
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08/15/21
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500
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584,422
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Consumer Non-Cyclical - 8.1%
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Altria Group, Inc.
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9.70
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11/10/18
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500
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657,060
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Anheuser-Busch InBev Worldwide, Inc.
1
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7.75
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01/15/19
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1,000
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1,258,044
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Covidien International Finance S.A.
1
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6.00
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10/15/17
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500
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584,348
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CVS Caremark Corp.
1
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5.75
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06/01/17
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500
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561,588
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Total Consumer Non-Cyclical
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(Cost - $2,600,702)
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3,061,040
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Energy - 1.6%
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Williams Partners LP/Williams Partners Finance Corp.
1
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(Cost - $586,966)
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7.25
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02/01/17
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500
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589,491
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Industrials - 1.6%
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Tyco Electronics Group S.A.
1
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(Cost - $466,872)
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6.55
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10/01/17
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500
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589,124
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Services - 0.7%
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International Game Technology
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(Cost - $290,658)
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7.50
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06/15/19
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250
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285,822
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Telecommunications - 5.7%
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AT&T, Inc.
1
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5.50
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02/01/18
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500
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557,664
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Qwest Corp.
1
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6.88
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09/15/33
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1,000
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963,750
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Time Warner Cable, Inc.
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8.25
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04/01/19
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500
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623,600
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Total Telecommunications
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(Cost - $2,032,530)
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2,145,014
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Total INVESTMENT GRADE CORPORATE BONDS
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(Cost - $9,306,304)
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10,499,559
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HIGH YIELD CORPORATE BONDS - 86.3%
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Automotive - 1.3%
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Ford Motor Co.
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6.50
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08/01/18
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450
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472,524
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See Notes to Portfolios of Investments and Notes to Financial Statements.
1
HELIOS STRATEGIC INCOME FUND, INC.
Portfolio of Investments (Unaudited)
June 30, 2011
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Interest
Rate
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Maturity
|
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Principal
Amount
(000s)
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Value
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HIGH YIELD CORPORATE BONDS (continued)
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Motors Liquidation Co.
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7.13
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%
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07/15/13
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$
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250
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|
|
$
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6,250
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Motors Liquidation Co.
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8.38
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07/15/33
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1,250
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|
31,250
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Total Automotive
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(Cost - $406,625)
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510,024
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Basic Industry - 9.8%
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AK Steel Corp.
1
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7.63
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05/15/20
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200
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205,000
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Arch Coal, Inc.
1
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8.75
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08/01/16
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|
475
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515,375
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Consol Energy, Inc.
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8.25
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04/01/20
|
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|
|
500
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545,000
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Domtar Corp.
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10.75
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06/01/17
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|
250
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|
325,312
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Hexion US Finance Corp./Hexion Nova Scotia Finance ULC
1
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|
|
8.88
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02/01/18
|
|
|
|
500
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520,000
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Momentive Performance
|
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9.00
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01/15/21
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|
|
250
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255,000
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PE Paper Escrow GmbH
2,3
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|
|
12.00
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|
08/01/14
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|
150
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|
|
169,500
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Solutia, Inc.
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8.75
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11/01/17
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250
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|
|
271,250
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Westlake Chemical Corp.
1
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6.63
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01/15/16
|
|
|
|
500
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|
515,000
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Xerium Technologies, Inc.
2,3
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|
|
8.88
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06/15/18
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|
395
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|
|
|
375,744
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Total Basic Industry
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(Cost - $3,479,876)
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3,697,181
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Capital Goods - 7.9%
|
|
|
|
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Associated Materials LLC
2,3
|
|
|
9.13
|
|
|
|
11/01/17
|
|
|
|
500
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|
|
|
498,750
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Berry Plastics Corp.
1
|
|
|
9.50
|
|
|
|
05/15/18
|
|
|
|
500
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|
|
|
496,250
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|
Bombardier, Inc.
2,3
|
|
|
7.75
|
|
|
|
03/15/20
|
|
|
|
200
|
|
|
|
225,000
|
|
Building Materials Corp. of America
2,3
|
|
|
6.75
|
|
|
|
05/01/21
|
|
|
|
250
|
|
|
|
251,250
|
|
Crown Cork & Seal Co., Inc.
1
|
|
|
7.38
|
|
|
|
12/15/26
|
|
|
|
500
|
|
|
|
490,000
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|
Masonite International Corp.
2,3
|
|
|
8.25
|
|
|
|
04/15/21
|
|
|
|
80
|
|
|
|
79,500
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|
Owens-Illinois, Inc.
1
|
|
|
7.80
|
|
|
|
05/15/18
|
|
|
|
400
|
|
|
|
432,000
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|
Ply Gem Industries, Inc.
1,2,3
|
|
|
8.25
|
|
|
|
02/15/18
|
|
|
|
245
|
|
|
|
232,137
|
|
Trimas Corp.
1
|
|
|
9.75
|
|
|
|
12/15/17
|
|
|
|
245
|
|
|
|
268,275
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Capital Goods
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $2,882,960)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,973,162
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Cyclical - 7.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ACE Hardware Corp.
1,2,3
|
|
|
9.13
|
|
|
|
06/01/16
|
|
|
|
500
|
|
|
|
531,250
|
|
American Axle & Manufacturing,
Inc.
1
|
|
|
7.88
|
|
|
|
03/01/17
|
|
|
|
500
|
|
|
|
500,000
|
|
DineEquity, Inc.
2,3
|
|
|
9.50
|
|
|
|
10/30/18
|
|
|
|
85
|
|
|
|
92,225
|
|
Levi Strauss & Co.
1
|
|
|
7.63
|
|
|
|
05/15/20
|
|
|
|
475
|
|
|
|
475,000
|
|
Pittsburgh Glass Works LLC
2,3
|
|
|
8.50
|
|
|
|
04/15/16
|
|
|
|
120
|
|
|
|
123,300
|
|
Reynolds Group Issuer LLC
1,2,3
|
|
|
9.00
|
|
|
|
04/15/19
|
|
|
|
430
|
|
|
|
424,625
|
|
Tenneco, Inc.
|
|
|
6.88
|
|
|
|
12/15/20
|
|
|
|
525
|
|
|
|
534,188
|
|
Visteon Corp.
2,3
|
|
|
6.75
|
|
|
|
04/15/19
|
|
|
|
80
|
|
|
|
77,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Cyclical
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $2,557,958)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,757,788
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Non-Cyclical - 2.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C&S Group Enterprises LLC
2,3
|
|
|
8.38
|
|
|
|
05/01/17
|
|
|
|
500
|
|
|
|
511,875
|
|
Rite Aid Corp.
1
|
|
|
8.63
|
|
|
|
03/01/15
|
|
|
|
250
|
|
|
|
233,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Non-Cyclical
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $679,015)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
745,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy - 14.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
|
|
|
8.63
|
|
|
|
10/15/20
|
|
|
|
500
|
|
|
|
527,500
|
|
Chaparral Energy, Inc.
|
|
|
8.88
|
|
|
|
02/01/17
|
|
|
|
125
|
|
|
|
129,375
|
|
Crosstex Energy LP/Crosstex Energy Finance Corp.
1
|
|
|
8.88
|
|
|
|
02/15/18
|
|
|
|
475
|
|
|
|
505,875
|
|
EV Energy Partners LP/EV Energy Finance Corp.
2,3
|
|
|
8.00
|
|
|
|
04/15/19
|
|
|
|
525
|
|
|
|
526,969
|
|
Frac Tech Services LLC/Frac Tech Finance, Inc.
1,2,3
|
|
|
7.13
|
|
|
|
11/15/18
|
|
|
|
325
|
|
|
|
329,875
|
|
GMX Resources, Inc.
1,2,3
|
|
|
11.38
|
|
|
|
02/15/19
|
|
|
|
250
|
|
|
|
232,500
|
|
Hercules Offshore, LLC
1,2,3
|
|
|
10.50
|
|
|
|
10/15/17
|
|
|
|
300
|
|
|
|
313,500
|
|
Hilcorp Energy I LP/Hilcorp Finance Co.
1,2,3
|
|
|
8.00
|
|
|
|
02/15/20
|
|
|
|
475
|
|
|
|
510,625
|
|
Key Energy Services, Inc.
|
|
|
6.75
|
|
|
|
03/01/21
|
|
|
|
125
|
|
|
|
125,000
|
|
See Notes to Portfolios of Investments and Notes to Financial Statements.
2
HELIOS STRATEGIC INCOME FUND, INC.
Portfolio of Investments (Unaudited)
June 30, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
HIGH YIELD CORPORATE BONDS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Linn Energy LLC/Linn Energy Finance Corp.
|
|
|
8.63
|
%
|
|
|
04/15/20
|
|
|
$
|
140
|
|
|
$
|
151,900
|
|
McJunkin Red Man Corp.
1,2,3
|
|
|
9.50
|
|
|
|
12/15/16
|
|
|
|
450
|
|
|
|
457,875
|
|
Niska Gas Storage US LLC/Niska Gas Storage Canada ULC
1
|
|
|
8.88
|
|
|
|
03/15/18
|
|
|
|
250
|
|
|
|
262,500
|
|
SESI LLC
1
|
|
|
6.88
|
|
|
|
06/01/14
|
|
|
|
425
|
|
|
|
430,312
|
|
Trinidad Drilling Limited
1,2,3
|
|
|
7.88
|
|
|
|
01/15/19
|
|
|
|
310
|
|
|
|
320,850
|
|
Venoco, Inc.
2,3
|
|
|
8.88
|
|
|
|
02/15/19
|
|
|
|
500
|
|
|
|
500,000
|
|
W & T Offshore, Inc.
2,3
|
|
|
8.50
|
|
|
|
06/15/19
|
|
|
|
185
|
|
|
|
187,313
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $5,378,288)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,511,969
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 8.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Reprographics
|
|
|
10.50
|
|
|
|
12/15/16
|
|
|
|
500
|
|
|
|
521,250
|
|
Cablevision Systems Corp.
1
|
|
|
8.63
|
|
|
|
09/15/17
|
|
|
|
475
|
|
|
|
514,781
|
|
CCO Holdings LLC/CCO Cap. Corp.
1
|
|
|
8.13
|
|
|
|
04/30/20
|
|
|
|
550
|
|
|
|
594,000
|
|
Clear Channel Communications, Inc.
2,3
|
|
|
9.00
|
|
|
|
03/01/21
|
|
|
|
500
|
|
|
|
478,750
|
|
Insight Communications Co., Inc.
1,2,3
|
|
|
9.38
|
|
|
|
07/15/18
|
|
|
|
475
|
|
|
|
521,313
|
|
Mediacom LLC/Mediacom Cap. Corp.
1
|
|
|
9.13
|
|
|
|
08/15/19
|
|
|
|
500
|
|
|
|
527,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Media
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $3,103,857)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,157,594
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Services - 18.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMC Entertainment, Inc.
1
|
|
|
8.75
|
|
|
|
06/01/19
|
|
|
|
600
|
|
|
|
633,000
|
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
1
|
|
|
9.63
|
|
|
|
03/15/18
|
|
|
|
475
|
|
|
|
507,062
|
|
Beazer Homes USA, Inc.
1
|
|
|
9.13
|
|
|
|
06/15/18
|
|
|
|
250
|
|
|
|
215,625
|
|
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp.
|
|
|
9.13
|
|
|
|
08/01/18
|
|
|
|
100
|
|
|
|
106,750
|
|
FireKeepers Development Authority
1,2,3
|
|
|
13.88
|
|
|
|
05/01/15
|
|
|
|
500
|
|
|
|
577,500
|
|
Harrahs Operating Escrow LLC / Harrahs Escrow Corp.
1
|
|
|
11.25
|
|
|
|
06/01/17
|
|
|
|
225
|
|
|
|
248,344
|
|
Iron Mountain, Inc.
|
|
|
8.38
|
|
|
|
08/15/21
|
|
|
|
225
|
|
|
|
236,250
|
|
Iron Mountain, Inc.
1
|
|
|
8.75
|
|
|
|
07/15/18
|
|
|
|
500
|
|
|
|
519,375
|
|
K Hovnanian Enterprises, Inc.
|
|
|
10.63
|
|
|
|
10/15/16
|
|
|
|
500
|
|
|
|
498,750
|
|
Marina District Finance Co., Inc.
|
|
|
9.88
|
|
|
|
08/15/18
|
|
|
|
500
|
|
|
|
518,750
|
|
Maxim Crane Works LP
1,2,3
|
|
|
12.25
|
|
|
|
04/15/15
|
|
|
|
500
|
|
|
|
500,000
|
|
MGM Mirage, Inc.
1
|
|
|
5.88
|
|
|
|
02/27/14
|
|
|
|
500
|
|
|
|
480,625
|
|
MGM Mirage, Inc.
1
|
|
|
10.38
|
|
|
|
05/15/14
|
|
|
|
225
|
|
|
|
255,375
|
|
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp.
2,3
|
|
|
8.88
|
|
|
|
04/15/17
|
|
|
|
500
|
|
|
|
501,250
|
|
Pokagon Gaming Authority
2,3
|
|
|
10.38
|
|
|
|
06/15/14
|
|
|
|
500
|
|
|
|
515,625
|
|
RSC Equipment Rental, Inc./RSC Holdings III LLC
1
|
|
|
10.25
|
|
|
|
11/15/19
|
|
|
|
250
|
|
|
|
273,750
|
|
United Rentals North America, Inc.
1
|
|
|
8.38
|
|
|
|
09/15/20
|
|
|
|
250
|
|
|
|
253,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $6,670,793)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,841,156
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology & Electronics - 2.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Data Corp.
1,2,3
|
|
|
8.25
|
|
|
|
01/15/21
|
|
|
|
500
|
|
|
|
490,000
|
|
First Data Corp.
|
|
|
9.88
|
|
|
|
09/24/15
|
|
|
|
51
|
|
|
|
52,403
|
|
Freescale Semiconductor, Inc.
1,2,3
|
|
|
9.25
|
|
|
|
04/15/18
|
|
|
|
475
|
|
|
|
511,812
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Technology & Electronics
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $1,001,212)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,054,215
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications - 11.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cincinnati Bell, Inc.
|
|
|
8.25
|
|
|
|
10/15/17
|
|
|
|
240
|
|
|
|
241,200
|
|
Cincinnati Bell, Inc.
|
|
|
8.38
|
|
|
|
10/15/20
|
|
|
|
235
|
|
|
|
234,413
|
|
Citizens Communications Corp.
1
|
|
|
7.13
|
|
|
|
03/15/19
|
|
|
|
900
|
|
|
|
922,500
|
|
Global Crossing Limited
1,4
|
|
|
12.00
|
|
|
|
09/15/15
|
|
|
|
600
|
|
|
|
699,000
|
|
Nextel Communications, Inc.
|
|
|
7.38
|
|
|
|
08/01/15
|
|
|
|
475
|
|
|
|
475,000
|
|
PAETEC Holding Corp.
1,4
|
|
|
9.50
|
|
|
|
07/15/15
|
|
|
|
250
|
|
|
|
259,375
|
|
PAETEC Holding Corp
2,3,4
|
|
|
9.88
|
|
|
|
12/01/18
|
|
|
|
250
|
|
|
|
259,062
|
|
Sprint Capital Corp.
|
|
|
8.75
|
|
|
|
03/15/32
|
|
|
|
500
|
|
|
|
541,250
|
|
See Notes to Portfolios of Investments and Notes to Financial Statements.
3
HELIOS STRATEGIC INCOME FUND, INC.
Portfolio of Investments (Unaudited)
June 30, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
HIGH YIELD CORPORATE BONDS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Windstream Corp.
|
|
|
7.00
|
%
|
|
|
03/15/19
|
|
|
$
|
500 $
|
|
|
|
505,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunications
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $3,962,410)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,136,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utility - 3.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Calpine Corp.
1,2,3
|
|
|
7.25
|
|
|
|
10/15/17
|
|
|
|
475
|
|
|
|
482,125
|
|
Edison Mission Energy
|
|
|
7.00
|
|
|
|
05/15/17
|
|
|
|
250
|
|
|
|
202,500
|
|
NRG Energy, Inc.
1
|
|
|
8.50
|
|
|
|
06/15/19
|
|
|
|
475
|
|
|
|
491,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Utility
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $1,139,856)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,176,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total HIGH YIELD CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $31,262,850)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,561,764
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TERM LOANS - 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co. LLC
|
|
|
4.69
|
|
|
|
10/10/17
|
|
|
|
116
|
|
|
|
90,417
|
|
Texas Competitive Electric Holdings Co. LLC
|
|
|
4.77
|
|
|
|
10/10/17
|
|
|
|
123
|
|
|
|
95,943
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total TERM LOANS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $190,795)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
186,360
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
COMMON STOCKS - 7.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary - 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DR Horton, Inc.
|
|
|
|
|
|
|
|
|
|
|
5,200
|
|
|
|
59,904
|
|
General Motors Co.
|
|
|
|
|
|
|
|
|
|
|
5,823
|
|
|
|
176,786
|
|
Hovnanian Enterprises, Inc.
4
|
|
|
|
|
|
|
|
|
|
|
5,400
|
|
|
|
13,014
|
|
M.D.C. Holdings, Inc.
|
|
|
|
|
|
|
|
|
|
|
1,900
|
|
|
|
46,816
|
|
The Ryland Group, Inc.
|
|
|
|
|
|
|
|
|
|
|
2,900
|
|
|
|
47,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $546,611)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
344,457
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples - 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
B&G Foods, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $247,294)
|
|
|
|
|
|
|
|
|
|
|
20,000
|
|
|
|
412,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy - 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BreitBurn Energy Partners LP
|
|
|
|
|
|
|
|
|
|
|
6,075
|
|
|
|
118,220
|
|
Niska Gas Storage Partners LLC
|
|
|
|
|
|
|
|
|
|
|
12,500
|
|
|
|
214,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $376,580)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
332,970
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services - 4.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AT&T, Inc.
|
|
|
|
|
|
|
|
|
|
|
8,500
|
|
|
|
266,985
|
|
CenturyLink, Inc.
|
|
|
|
|
|
|
|
|
|
|
9,500
|
|
|
|
384,085
|
|
Frontier Communications Corp.
|
|
|
|
|
|
|
|
|
|
|
41,180
|
|
|
|
332,323
|
|
PAETEC Holding Corp.
4
|
|
|
|
|
|
|
|
|
|
|
15,000
|
|
|
|
71,850
|
|
Verizon Communications, Inc.
|
|
|
|
|
|
|
|
|
|
|
7,500
|
|
|
|
279,225
|
|
Windstream Corp.
|
|
|
|
|
|
|
|
|
|
|
19,450
|
|
|
|
252,072
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $1,529,133)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,586,540
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total COMMON STOCKS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $2,699,618)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,676,367
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Portfolios of Investments and Notes to Financial Statements.
4
HELIOS STRATEGIC INCOME FUND, INC.
Portfolio of Investments (Unaudited)
June 30, 2011
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
WARRANTS - 0.5%
|
|
|
|
|
|
|
|
|
Consumer Discretionary - 0.5%
|
|
|
|
|
|
|
|
|
General Motors Co.,
4
|
|
|
|
|
|
|
|
|
Expiration: July 2016
|
|
|
|
|
|
|
|
|
Exercise Price: $10.00
|
|
|
5,294
|
|
|
$
|
113,292
|
|
General Motors Co.,
4
|
|
|
|
|
|
|
|
|
Expiration: July 2019
|
|
|
|
|
|
|
|
|
Exercise Price: $18.33
|
|
|
5,294
|
|
|
|
84,333
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
|
|
(Cost - $336,207)
|
|
|
|
|
|
|
197,625
|
|
|
|
|
|
|
|
|
|
|
Total WARRANTS
|
|
|
|
|
|
|
|
|
(Cost - $336,207)
|
|
|
|
|
|
|
197,625
|
|
|
|
|
|
|
|
|
|
|
Total Investments - 135.1%
|
|
|
|
|
|
|
|
|
(Cost - $48,688,216)
|
|
|
|
|
|
|
50,995,440
|
|
Liabilities in Excess of Other Assets - (35.1)%
|
|
|
|
|
|
|
(13,253,443
|
)
|
|
|
|
|
|
|
|
|
|
NET ASSETS - 100.0%
|
|
|
|
|
|
$
|
37,741,997
|
|
|
|
|
|
|
|
|
|
|
See Notes to Portfolios of Investments and Notes to Financial Statements.
5
HELIOS FUNDS
Notes to Portfolios of Investments (Unaudited)
June 30, 2011
The following notes should be read in conjunction with the accompanying Portfolios of Investments.
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
Portion or entire principal amount pledged as collateral for margin loans.
|
|
|
|
|
2
|
|
|
|
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 June 30, 2011, the total values of all such investments were as follows:
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Value
|
|
|
% of Net Assets
|
|
|
|
|
|
Helios Advantage Income Fund, Inc.
|
|
$
|
21,165,457
|
|
|
|
37.08
|
%
|
|
|
|
|
Helios High Income Fund, Inc.
|
|
|
14,361,519
|
|
|
|
35.93
|
|
|
|
|
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
16,880,964
|
|
|
|
37.38
|
|
|
|
|
|
Helios Strategic Income Fund, Inc.
|
|
|
11,809,300
|
|
|
|
31.29
|
|
|
|
|
|
|
3
|
|
|
|
Private Placement.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
Non-Income producing security.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
|
|
|
|
Variable rate security Interest rate shown is the rate in effect as of June 30, 2011.
|
|
|
|
|
|
|
|
|
HELIOS FUNDS
Notes to Financial Statements
June 30, 2011 (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 latest price furnished by an independent pricing service or, if not valued by an independent pricing service, using 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 Advisors 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 Advisors Valuation Committee. Investments in open-end registered investment companies, if any, are valued at the net asset value (NAV) as reported by those investment
companies.
When price quotations for certain securities are not readily available, or if the available quotations are not believed to be
reflective of market value by the Advisor, those securities will be valued at fair value as determined in good faith by the Advisors Valuation Committee using procedures adopted by, and under the supervision of each Funds
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 Funds 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 Advisor determines that the quotation or price for a portfolio security provided by a broker-dealer or independent pricing service is inaccurate.
The fair value of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair
valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security;
(2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would
include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality.
The values
assigned to fair valued investments are based on available information and do not necessarily represent amounts that might ultimately be realized, since such amounts depend on future developments inherent in long-term investments. Changes in the
fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations. Imprecision in
estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those
differences could be material.
The Funds have 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 entitys 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.
HELIOS FUNDS
Notes to Financial Statements
June 30, 2011 (Unaudited)
|
|
|
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 quoted prices for similar investments, interest rates, prepayment speeds, credit
risk, etc.)
|
|
|
Level 3
|
|
significant unobservable inputs (including each Funds own assumptions in determining the fair value of investments)
|
The inputs or methodology used for valuing investments 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 June 30, 2011 in valuing the Funds investments
carried at fair value:
Helios Advantage Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Investment
Grade
Corporate
Bonds
|
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
Level 1 Quoted Prices
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
788,379
|
|
|
$
|
263,475
|
|
|
$
|
1,051,854
|
|
Level 2 Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
1,180,594
|
|
|
|
42,987,815
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,168,409
|
|
Level 3 Significant Unobservable Inputs
|
|
|
|
|
|
|
30,907,809
|
|
|
|
260,904
|
|
|
|
|
|
|
|
|
|
|
|
31,168,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,180,594
|
|
|
$
|
73,895,624
|
|
|
$
|
260,904
|
|
|
$
|
788,379
|
|
|
$
|
263,475
|
|
|
$
|
76,388,976
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Helios High Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Investment
Grade
Corporate
Bonds
|
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
Level 1 Quoted Prices
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
587,124
|
|
|
$
|
197,625
|
|
|
$
|
784,749
|
|
Level 2 Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
1,180,594
|
|
|
|
31,414,815
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,595,409
|
|
Level 3 Significant Unobservable Inputs
|
|
|
|
|
|
|
21,286,614
|
|
|
|
204,996
|
|
|
|
|
|
|
|
|
|
|
|
21,491,610
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,180,594
|
|
|
$
|
52,701,429
|
|
|
$
|
204,996
|
|
|
$
|
587,124
|
|
|
$
|
197,625
|
|
|
$
|
54,871,768
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HELIOS FUNDS
Notes to Financial Statements
June 30, 2011 (Unaudited)
Helios Multi-Sector High Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Investment
Grade
Corporate
Bonds
|
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
Level 1 Quoted Prices
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
664,519
|
|
|
$
|
230,550
|
|
|
$
|
895,069
|
|
Level 2 Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
963,750
|
|
|
|
34,433,668
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,397,418
|
|
Level 3 Significant Unobservable Inputs
|
|
|
|
|
|
|
24,355,903
|
|
|
|
223,632
|
|
|
|
|
|
|
|
|
|
|
|
24,579,535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
963,750
|
|
|
$
|
58,789,571
|
|
|
$
|
223,632
|
|
|
$
|
664,519
|
|
|
$
|
230,550
|
|
|
$
|
60,872,022
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Helios Strategic Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Commercial
Mortgage-
Backed
Securities
|
|
|
Investment
Grade
Corporate
Bonds
|
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Common
Stocks
|
|
|
Warrants
|
|
|
Total
|
|
Level 1 Quoted Prices
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
2,676,367
|
|
|
$
|
197,625
|
|
|
$
|
2,873,992
|
|
Level 2 Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
|
|
|
|
10,499,559
|
|
|
|
16,279,286
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,778,845
|
|
Level 3 Significant Unobservable Inputs
|
|
|
4,873,765
|
|
|
|
|
|
|
|
16,282,478
|
|
|
|
186,360
|
|
|
|
|
|
|
|
|
|
|
|
21,342,603
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
4,873,765
|
|
|
$
|
10,499,559
|
|
|
$
|
32,561,764
|
|
|
$
|
186,360
|
|
|
$
|
2,676,367
|
|
|
$
|
197,625
|
|
|
$
|
50,995,440
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining
fair value:
Helios Advantage Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Total
|
|
Balance as of March 31, 2011
|
|
$
|
31,193,500
|
|
|
$
|
291,584
|
|
|
$
|
31,485,084
|
|
Accrued Discounts (Premiums)
|
|
|
10,734
|
|
|
|
1,791
|
|
|
|
12,525
|
|
Realized Gain / (Loss)
|
|
|
(1,395,773
|
)
|
|
|
2,356
|
|
|
|
(1,393,417
|
)
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
749,042
|
|
|
|
(5,116
|
)
|
|
|
743,926
|
|
Net Purchases (Sales)
|
|
|
1,365,306
|
|
|
|
(29,711
|
)
|
|
|
1,335,595
|
|
Transfers into Level 3
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3
|
|
|
(1,015,000
|
)
|
|
|
|
|
|
|
(1,015,000
|
)
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of June 30, 2011
|
|
$
|
30,907,809
|
|
|
$
|
260,904
|
|
|
$
|
31,168,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains or losses relating to assets still held at reporting date
|
|
$
|
(518,645
|
)
|
|
$
|
(6,209
|
)
|
|
$
|
(524,854
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HELIOS FUNDS
Notes to Financial Statements
June 30, 2011 (Unaudited)
Helios High Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Total
|
|
Balance as of March 31, 2011
|
|
$
|
20,909,956
|
|
|
$
|
229,102
|
|
|
$
|
21,139,058
|
|
Accrued Discounts (Premiums)
|
|
|
11,177
|
|
|
|
1,407
|
|
|
|
12,584
|
|
Realized Gain / (Loss)
|
|
|
79,639
|
|
|
|
1,851
|
|
|
|
81,490
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
(444,152
|
)
|
|
|
(4,019
|
)
|
|
|
(448,171
|
)
|
Net Purchases (Sales)
|
|
|
1,288,244
|
|
|
|
(23,345
|
)
|
|
|
1,264,899
|
|
Transfers into Level 3
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3
|
|
|
(558,250
|
)
|
|
|
|
|
|
|
(558,250
|
)
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of June 30, 2011
|
|
$
|
21,286,614
|
|
|
$
|
204,996
|
|
|
$
|
21,491,610
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains or losses relating to assets still held at reporting date
|
|
$
|
(352,020
|
)
|
|
$
|
(4,878
|
)
|
|
$
|
(356,898
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Total
|
|
Balance as of March 31, 2011
|
|
$
|
23,513,374
|
|
|
$
|
249,929
|
|
|
$
|
23,763,303
|
|
Accrued Discounts (Premiums)
|
|
|
11,278
|
|
|
|
1,535
|
|
|
|
12,813
|
|
Realized Gain / (Loss)
|
|
|
(614,327
|
)
|
|
|
2,020
|
|
|
|
(612,307
|
)
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
172,120
|
|
|
|
(4,385
|
)
|
|
|
167,735
|
|
Net Purchases (Sales)
|
|
|
1,831,708
|
|
|
|
(25,467
|
)
|
|
|
1,806,241
|
|
Transfers into Level 3
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3
|
|
|
(558,250
|
)
|
|
|
|
|
|
|
(558,250
|
)
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of June 30, 2011
|
|
$
|
24,355,903
|
|
|
$
|
223,632
|
|
|
$
|
24,579,535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains or losses relating to assets still held at reporting date
|
|
$
|
(391,118
|
)
|
|
$
|
(5,321
|
)
|
|
$
|
(396,439
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Helios Strategic Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
Commercial
Mortgage-
Backed
Securities
|
|
|
High Yield
Corporate
Bonds
|
|
|
Term
Loans
|
|
|
Total
|
|
Balance as of March 31, 2011
|
|
$
|
4,799,663
|
|
|
$
|
14,795,090
|
|
|
$
|
208,275
|
|
|
$
|
19,803,028
|
|
Accrued Discounts (Premiums)
|
|
|
(3,856
|
)
|
|
|
13,530
|
|
|
|
1,279
|
|
|
|
10,953
|
|
Realized Gain / (Loss)
|
|
|
|
|
|
|
(1,263,176
|
)
|
|
|
1,683
|
|
|
|
(1,261,493
|
)
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
77,958
|
|
|
|
1,114,786
|
|
|
|
(3,654
|
)
|
|
|
1,189,090
|
|
Net Purchases (Sales)
|
|
|
|
|
|
|
2,129,748
|
|
|
|
(21,223
|
)
|
|
|
2,108,525
|
|
Transfers into Level 3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3
|
|
|
|
|
|
|
(507,500
|
)
|
|
|
|
|
|
|
(507,500
|
)
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of June 30, 2011
|
|
$
|
4,873,765
|
|
|
$
|
16,282,478
|
|
|
$
|
186,360
|
|
|
$
|
21,342,603
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains or losses relating to assets still held at reporting date
|
|
$
|
77,958
|
|
|
$
|
(289,413
|
)
|
|
$
|
(4,434
|
)
|
|
$
|
(215,889
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Transferred from Level 3 to Level 2 because of an increase of observable market data for these securities.
|
HELIOS FUNDS
Notes to Financial Statements
June 30, 2011 (Unaudited)
For the three months ended June 30, 2011, there was no significant security transfer activity
between Level 1 and Level 2.
Credit Facility:
Effective March 21, 2011, the Funds established a line of credit with BNP Paribas
for investment purposes subject to the limitations of the 1940 Act for borrowings by mutual funds. Each Fund pays interest in the amount of 0.80% on the total line of credit amount available plus the 3-month London Interbank Offered Rate on the
amount outstanding. For the three month period ended June 30, 2011, the average interest rate paid under the line of credit was 1.06% 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 June 30, 2011
|
|
|
22,200,000
|
|
|
|
16,900,000
|
|
|
|
19,150,000
|
|
|
|
14,950,000
|
|
Line of credit amount unused at June 30, 2011
|
|
|
4,800,000
|
|
|
|
2,100,000
|
|
|
|
2,850,000
|
|
|
|
3,050,000
|
|
Average balance outstanding during the year
|
|
|
22,200,000
|
|
|
|
16,900,000
|
|
|
|
19,150,000
|
|
|
|
14,950,000
|
|
Interest expense incurred on line of credit during the year
|
|
|
59,668
|
|
|
|
45,423
|
|
|
|
51,470
|
|
|
|
40,182
|
|
Federal Income Tax Basis:
The federal income tax basis of the Funds investments at June 30, 2011 was as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Cost of
Investments
|
|
|
Gross
Unrealized
Appreciation
|
|
|
Gross
Unrealized
Depreciation
|
|
|
Net
Unrealized
Appreciation
|
|
Helios Advantage Income Fund, Inc.
|
|
$
|
73,074,577
|
|
|
$
|
4,208,138
|
|
|
$
|
(893,739
|
)
|
|
$
|
3,314,399
|
|
Helios High Income Fund, Inc.
|
|
|
52,409,293
|
|
|
|
3,137,136
|
|
|
|
(674,661
|
)
|
|
|
2,462,475
|
|
Helios Multi-Sector High Income Fund, Inc.
|
|
|
58,422,120
|
|
|
|
3,205,427
|
|
|
|
(755,525
|
)
|
|
|
2,449,902
|
|
Helios Strategic Income Fund, Inc
|
|
|
48,688,216
|
|
|
|
3,049,942
|
|
|
|
(742,718
|
)
|
|
|
2,307,224
|
|
Item 2. Controls and Procedures.
(a) The Registrants principal executive officer and principal financial officer have concluded that the Registrants 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 Registrants principal executive officer and principal financial officer are aware of no changes in the Registrants internal control over financial reporting that occurred during the
Registrants last fiscal quarter that has materially affected or is reasonably likely to materially affect the Registrants 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 Registrant 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/ Kim G. Redding.
|
|
|
|
|
Kim G. Redding
|
|
|
|
|
President
|
|
|
Date: August 19, 2011
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 Registrant and in the capacities and on the dates indicated.
|
|
|
by (Signature and Title):
|
|
/s/ Kim G. Redding.
|
|
|
Kim G. Redding
|
|
|
President
|
Date: August 19, 2011
|
|
|
by (Signature and Title):
|
|
/s/ Steven M. Pires
|
|
|
Steven M. Pires
|
|
|
Treasurer
|
Date: August 19, 2011
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