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
811-21102
Helios Strategic Mortgage Income Fund, Inc.
(Exact name of registrant as specified in charter)
Three World Financial Center, 200 Vesey Street, 24th Floor, New York, NY 10281-1010
(Address of principal executive offices) (Zip code)
Steven M. Pires,
Three World Financial Center, 200 Vesey Street, New York, NY 10281-1010
(Name and address of agent for service)
Registrant’s telephone number, including area code: 212-549-8400
Date of fiscal year end: November 30, 2011
Date of reporting period: August 31, 2011
Form N-Q is to be used by management
investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal
quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (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 the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements
of 44 U.S.C. Section 3507.
Item 1. Schedule of Investments
HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 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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U.S. GOVERNMENT & AGENCY OBLIGATIONS - 23.6%
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U.S. Government Agency Collateralized Mortgage Obligations - 1.3%
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Federal Home Loan Mortgage Corporation
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Series 3617, Class C
8
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(Cost - $794,923)
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4.50
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%
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12/15/39
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$
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797
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$
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807,026
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U.S. Government Agency Pass-Through Certificates - 22.3%
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Federal Home Loan Mortgage Corporation
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Pool C69047
8
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7.00
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06/01/32
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493
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570,399
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Pool H01847
8
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7.00
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09/01/37
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1,178
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1,348,335
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Pool G01466
8
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9.50
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12/01/22
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360
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412,472
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Pool 555559
8
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10.00
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03/01/21
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242
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274,971
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Federal National Mortgage Association
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5.00
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TBA
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2,000
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2,154,376
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Pool 753914
8
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5.50
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12/01/33
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3,086
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3,401,296
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Pool 761836
8
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6.00
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06/01/33
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1,677
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1,879,743
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Pool 948362
8
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6.50
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08/01/37
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1,606
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1,779,823
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Pool 650131
8
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7.00
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07/01/32
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689
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796,327
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Pool 887431
8
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7.50
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08/01/36
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150
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172,799
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Pool 398800
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8.00
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06/01/12
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24
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24,227
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Pool 636449
8
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8.50
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04/01/32
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789
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934,606
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Pool 458132
8
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9.29
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03/15/31
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557
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659,443
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Total U.S. Government Agency Pass-Through Certificates
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(Cost - $13,236,110)
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14,408,817
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Total U.S. GOVERNMENT & AGENCY OBLIGATIONS
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(Cost - $14,031,033)
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15,215,843
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ASSET-BACKED SECURITIES - 22.7%
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Housing Related Asset-Backed Securities - 22.7%
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ACE Securities Corp.
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Series 2003-MH1, Class A4
1, 5, 8
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6.50
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08/15/30
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670
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740,061
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Asset-Backed Securities Corp. Home Equity
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Series 2006-HE3, Class A4
2, 4, 12
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0.39
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03/25/36
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926
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648,253
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Citicorp Residential Mortgage Securities, Inc.
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Series 2007-1, Class A5
3, 12
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6.05/6.55
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03/25/37
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1,289
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992,530
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Conseco Finance Securitizations Corp.
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Series 2001-4, Class A4
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7.36
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09/01/33
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134
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146,358
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Credit Suisse First Boston Mortgage Securities Corp.
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Series 2002-MH3, Class A
3
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6.70/7.20
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12/25/31
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97
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103,969
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Green Tree
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Series 2008-MH1, Class A3
1, 5
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8.97
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04/25/38
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1,003
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1,087,937
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Green Tree Financial Corp.
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Series 1997-7, Class A7
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6.96
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07/15/29
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844
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920,534
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Series 1996-2, Class A4
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7.20
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04/15/26
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4
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3,739
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Series 1997-2, Class A6
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7.24
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06/15/28
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272
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300,415
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IXIS Real Estate Capital Trust
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Series 2006-HE3, Class A2
2, 4, 12
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0.32
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01/25/37
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710
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237,766
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JP Morgan Mortgage Acquisition Corp.
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Series 2006-CW2, Class AF5
3, 11, 12
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6.34/6.84
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08/25/36
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109
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53,001
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Lehman ABS Manufactured Housing Contract Trust
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Series 2001-B, Class A4
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5.27
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09/15/18
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100
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103,669
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Series 2001-B, Class A5
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5.87
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05/15/22
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188
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200,997
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Series 2001-B, Class A6
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6.47
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08/15/28
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163
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177,056
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Mid-State Trust
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Series 2010-1, Class M
1, 5
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5.25
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12/15/45
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858
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872,599
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Series 2005-1, Class A
8
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5.75
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01/15/40
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1,265
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1,273,294
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Series 2004-1, Class A
8
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6.01
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08/15/37
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994
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1,028,098
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Series 2004-1, Class M2
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8.11
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08/15/37
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911
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919,180
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Series 4, Class A
6, 8
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8.33
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04/01/30
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1,446
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1,453,731
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See
Notes to Portfolio of Investments.
1
HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 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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ASSET-BACKED SECURITIES (continued)
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Morgan Stanley ABS Capital, Inc.
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Series 2006-WMC2, Class A2C
2, 4, 12
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0.37
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%
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07/25/36
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$
|
1,755
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$
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542,912
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Series 2006-HE1, Class A3
2, 4, 12
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0.40
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01/25/36
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424
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388,083
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Newcastle Investment Trust
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Series 2010-MH1, Class A
1, 5
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4.50
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07/10/35
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1,004
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1,029,201
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Origen Manufactured Housing
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Series 2005-B, Class A4
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5.91
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01/15/37
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439
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458,453
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Residential Asset Securities Corp.
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Series 2005-KS12, Class A2
2, 4, 11,
12
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0.47
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01/25/36
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496
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459,187
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|
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Soundview Home Equity Loan Trust
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Series 2006-EQ1, Class A3
2, 4, 12
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0.38
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10/25/36
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935
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507,238
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Total Housing Related Asset-Backed Securities
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(Cost - $15,618,619)
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14,648,261
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|
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Total ASSET-BACKED SECURITIES
|
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|
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(Cost - $15,618,619)
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14,648,261
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COMMERCIAL MORTGAGE-BACKED SECURITIES - 70.8%
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Banc of America Commercial Mortgage, Inc.
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|
|
|
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Series 2006-6, Class A4
8
|
|
|
5.36
|
|
|
|
10/10/45
|
|
|
|
790
|
|
|
|
829,363
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|
|
Series 2005-6, Class AJ
2
|
|
|
5.37
|
|
|
|
09/10/47
|
|
|
|
1,090
|
|
|
|
985,033
|
|
|
Series 2006-1, Class J
1, 2, 5, 11
|
|
|
5.77
|
|
|
|
09/10/45
|
|
|
|
1,000
|
|
|
|
49,962
|
|
|
Series 2007-2, Class A4
2, 8
|
|
|
5.82
|
|
|
|
04/10/49
|
|
|
|
1,170
|
|
|
|
1,235,082
|
|
|
Series 2007-2, Class K
1, 2, 5
|
|
|
5.83
|
|
|
|
04/10/49
|
|
|
|
2,593
|
|
|
|
36,300
|
|
|
Bear Stearns Commercial Mortgage Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-PW11, Class H
1, 2, 5
|
|
|
5.62
|
|
|
|
03/11/39
|
|
|
|
1,100
|
|
|
|
283,571
|
|
|
Series 2007-PW16, Class B
1, 2, 5
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
1,030
|
|
|
|
508,717
|
|
|
Series 2007-PW16, Class C
1, 2, 5
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
1,290
|
|
|
|
504,261
|
|
|
Series 2007-PW16, Class D
1, 2, 5
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
910
|
|
|
|
320,229
|
|
|
Series 2007-PW17, Class AM
8
|
|
|
5.92
|
|
|
|
06/11/50
|
|
|
|
1,400
|
|
|
|
1,221,636
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-C6, Class AM
2, 8
|
|
|
5.89
|
|
|
|
12/10/49
|
|
|
|
1,820
|
|
|
|
1,652,070
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-CD4, Class A4
8
|
|
|
5.32
|
|
|
|
12/11/49
|
|
|
|
1,580
|
|
|
|
1,641,437
|
|
|
Series 2006-CD2, Class J
1, 2, 5, 11
|
|
|
5.63
|
|
|
|
01/15/46
|
|
|
|
1,000
|
|
|
|
33,700
|
|
|
Commercial Mortgage Pass Through Certificates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-C9, Class J
1, 2, 5
|
|
|
6.01
|
|
|
|
12/10/49
|
|
|
|
350
|
|
|
|
103,925
|
|
|
Credit Suisse Mortgage Capital Certificates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-C4, Class L
1, 5, 11
|
|
|
5.15
|
|
|
|
09/15/39
|
|
|
|
513
|
|
|
|
2,052
|
|
|
Series 2006-C4, Class M
1, 5, 11
|
|
|
5.15
|
|
|
|
09/15/39
|
|
|
|
565
|
|
|
|
1,413
|
|
|
Series 2006-C5, Class AM
|
|
|
5.34
|
|
|
|
12/15/39
|
|
|
|
1,860
|
|
|
|
1,635,792
|
|
|
Series 2006-C5, Class E
6
|
|
|
5.54
|
|
|
|
12/15/39
|
|
|
|
4,510
|
|
|
|
1,353,000
|
|
|
Series 2007-C2, Class A3
8
|
|
|
5.54
|
|
|
|
01/15/49
|
|
|
|
1,570
|
|
|
|
1,653,975
|
|
|
Series 2006-C1, Class K
1, 2, 5
|
|
|
5.59
|
|
|
|
02/15/39
|
|
|
|
2,358
|
|
|
|
478,773
|
|
|
Series 2006-C3, Class AJ
2, 6
|
|
|
6.01
|
|
|
|
06/15/38
|
|
|
|
460
|
|
|
|
354,200
|
|
|
Series 2006-C4, Class K
1, 2, 5, 11
|
|
|
6.29
|
|
|
|
09/15/39
|
|
|
|
2,970
|
|
|
|
20,790
|
|
|
CW Capital Cobalt Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-C3, Class AM
2
|
|
|
6.01
|
|
|
|
05/15/46
|
|
|
|
200
|
|
|
|
164,533
|
|
|
GE Capital Commercial Mortgage Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2002-2A, Class G
1, 5
|
|
|
6.04
|
|
|
|
08/11/36
|
|
|
|
3,000
|
|
|
|
3,050,151
|
|
|
Series 2002-2A, Class H
1, 5
|
|
|
6.31
|
|
|
|
08/11/36
|
|
|
|
2,000
|
|
|
|
2,014,588
|
|
|
GMAC Commercial Mortgage Securities, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-C3, Class B
|
|
|
4.97
|
|
|
|
12/10/41
|
|
|
|
450
|
|
|
|
391,174
|
|
|
Greenwich Capital Commercial Funding Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-GG9, Class A4
8
|
|
|
5.44
|
|
|
|
03/10/39
|
|
|
|
1,655
|
|
|
|
1,753,307
|
|
|
Series 2007-GG9, Class AM
|
|
|
5.48
|
|
|
|
03/10/39
|
|
|
|
210
|
|
|
|
180,129
|
|
|
Series 2006-GG7, Class AJ
2
|
|
|
6.07
|
|
|
|
07/10/38
|
|
|
|
165
|
|
|
|
130,360
|
|
|
Series 2006-GG7, Class AM
2, 8
|
|
|
6.07
|
|
|
|
07/10/38
|
|
|
|
1,580
|
|
|
|
1,490,149
|
|
|
Series 2007-GG11, Class AJ
2, 6
|
|
|
6.20
|
|
|
|
12/10/49
|
|
|
|
270
|
|
|
|
143,100
|
|
|
Series 2007-GG11, Class E
2, 11
|
|
|
6.30
|
|
|
|
12/10/49
|
|
|
|
5,560
|
|
|
|
1,223,200
|
|
See Notes to Portfolios of Investments.
2
HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GS Mortgage Securities Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-GG10, Class A4
2
|
|
|
5.98
|
%
|
|
|
08/10/45
|
|
|
$
|
1,270
|
|
|
$
|
1,351,088
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-LN1, Class G
1, 2, 5
|
|
|
5.66
|
|
|
|
10/15/37
|
|
|
|
1,600
|
|
|
|
1,162,789
|
|
|
Series 2007-CB18, Class G
1, 2, 5, 11
|
|
|
5.91
|
|
|
|
06/12/47
|
|
|
|
600
|
|
|
|
26,820
|
|
|
Series 2007-LD11, Class K
1
,
2, 5, 11
|
|
|
6.00
|
|
|
|
06/15/49
|
|
|
|
1,879
|
|
|
|
37,657
|
|
|
Series 2007-CB20, Class AM
2
|
|
|
6.10
|
|
|
|
02/12/51
|
|
|
|
1,180
|
|
|
|
1,074,974
|
|
|
Series 2009-IWST, Class D
1, 2, 5
|
|
|
7.69
|
|
|
|
12/05/27
|
|
|
|
2,000
|
|
|
|
2,035,886
|
|
|
LB-UBS Commercial Mortgage Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-C1, Class A4
8
|
|
|
5.42
|
|
|
|
02/15/40
|
|
|
|
1,510
|
|
|
|
1,609,236
|
|
|
Series 2007-C1, Class C
6
|
|
|
5.53
|
|
|
|
02/15/40
|
|
|
|
1,960
|
|
|
|
1,038,800
|
|
|
Series 2007-C1, Class D
6
|
|
|
5.56
|
|
|
|
02/15/40
|
|
|
|
360
|
|
|
|
162,000
|
|
|
Series 2007-C7, Class A3
8
|
|
|
5.87
|
|
|
|
09/15/45
|
|
|
|
1,130
|
|
|
|
1,208,380
|
|
|
Morgan Stanley Capital I, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-IQ13, Class A4
8
|
|
|
5.36
|
|
|
|
03/15/44
|
|
|
|
950
|
|
|
|
992,674
|
|
|
Series 2004-HQ4, Class G
1, 2, 5
|
|
|
5.48
|
|
|
|
04/14/40
|
|
|
|
1,000
|
|
|
|
533,700
|
|
|
Series 2007-IQ13, Class B
1, 5
|
|
|
5.52
|
|
|
|
03/15/44
|
|
|
|
860
|
|
|
|
395,600
|
|
|
Series 2007-IQ13, Class C
1, 5
|
|
|
5.56
|
|
|
|
03/15/44
|
|
|
|
560
|
|
|
|
212,800
|
|
|
Series 2007-HQ13, Class A3
8
|
|
|
5.57
|
|
|
|
12/15/44
|
|
|
|
1,580
|
|
|
|
1,631,382
|
|
|
Series 2007-IQ14, Class A4
8
|
|
|
5.69
|
|
|
|
04/15/49
|
|
|
|
1,740
|
|
|
|
1,825,695
|
|
|
Morgan Stanley Dean Witter Capital I
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-TOP9, Class F
1, 2, 5
|
|
|
6.12
|
|
|
|
11/13/36
|
|
|
|
729
|
|
|
|
611,940
|
|
|
Series 2003-TOP9, Class G
1, 2, 5
|
|
|
6.39
|
|
|
|
11/13/36
|
|
|
|
1,165
|
|
|
|
954,059
|
|
|
Morgan Stanley Reremic Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2010-GG10, Class A4B
1, 2, 5
|
|
|
5.98
|
|
|
|
08/15/45
|
|
|
|
310
|
|
|
|
294,255
|
|
|
Vornado DP LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2010-VNO, Class D
1, 5
|
|
|
6.36
|
|
|
|
09/13/28
|
|
|
|
240
|
|
|
|
227,280
|
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-C31, Class L
1, 5, 11
|
|
|
5.13
|
|
|
|
04/15/47
|
|
|
|
1,788
|
|
|
|
38,978
|
|
|
Series 2005-C20, Class F
1, 2, 5
|
|
|
5.42
|
|
|
|
07/15/42
|
|
|
|
4,000
|
|
|
|
1,040,000
|
|
|
Series 2005-C16, Class H
1, 2, 5
|
|
|
5.69
|
|
|
|
10/15/41
|
|
|
|
2,000
|
|
|
|
1,081,222
|
|
|
Series 2004-C14, Class G
1, 2, 5
|
|
|
5.84
|
|
|
|
08/15/41
|
|
|
|
800
|
|
|
|
688,000
|
|
|
Total COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $59,791,149)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,681,187
|
|
|
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES - 28.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subordinated Collateralized Mortgage Obligations - 28.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Home Mortgage Investment Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-2, Class 5A3
3, 8
|
|
|
5.08/5.58
|
|
|
|
09/25/35
|
|
|
|
162
|
|
|
|
164,152
|
|
|
Banc of America Alternative Loan Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-3, Class 30B4
11
|
|
|
5.50
|
|
|
|
04/25/34
|
|
|
|
721
|
|
|
|
72
|
|
|
Banc of America Mortgage Securities, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-A, Class B4
2
|
|
|
2.84
|
|
|
|
02/25/34
|
|
|
|
884
|
|
|
|
19,883
|
|
|
Series 2003-10, Class 1B4
6
|
|
|
5.50
|
|
|
|
01/25/34
|
|
|
|
355
|
|
|
|
164,963
|
|
|
Citicorp Mortgage Securities, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-2, Class 1A3
|
|
|
6.00
|
|
|
|
02/25/37
|
|
|
|
1,064
|
|
|
|
1,042,720
|
|
|
Series 2007-8, Class 1A3
11
|
|
|
6.00
|
|
|
|
09/25/37
|
|
|
|
208
|
|
|
|
201,924
|
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-NCM2, Class 1CB2
6
|
|
|
6.75
|
|
|
|
08/25/34
|
|
|
|
171
|
|
|
|
177,592
|
|
|
Countrywide Alternative Loan Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-2CB, Class 1A15
|
|
|
5.75
|
|
|
|
03/25/37
|
|
|
|
416
|
|
|
|
283,193
|
|
|
Series 2006-25CB, Class A2
|
|
|
6.00
|
|
|
|
10/25/36
|
|
|
|
570
|
|
|
|
413,268
|
|
|
Series 2006-41CB, Class 2A14
12
|
|
|
6.00
|
|
|
|
01/25/37
|
|
|
|
265
|
|
|
|
191,842
|
|
|
Countrywide Home Loan Mortgage Pass Through Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-J13, Class B3
6, 11
|
|
|
5.23
|
|
|
|
01/25/34
|
|
|
|
310
|
|
|
|
128,372
|
|
|
Series 2003-J13, Class B5
9, 11
|
|
|
5.23
|
|
|
|
01/25/34
|
|
|
|
187
|
|
|
|
5,624
|
|
|
Series 2005-27, Class 2A1
|
|
|
5.50
|
|
|
|
12/25/35
|
|
|
|
37
|
|
|
|
32,824
|
|
|
Series 2007-5, Class A29
|
|
|
5.50
|
|
|
|
05/25/37
|
|
|
|
538
|
|
|
|
488,900
|
|
|
Series 2006-21, Class A11
|
|
|
5.75
|
|
|
|
02/25/37
|
|
|
|
1,031
|
|
|
|
835,110
|
|
|
Series 2004-18, Class A1
|
|
|
6.00
|
|
|
|
10/25/34
|
|
|
|
144
|
|
|
|
142,427
|
|
See Notes to Portfolios of Investments.
3
HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
|
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-21, Class A10
11
|
|
|
6.00
|
%
|
|
|
11/25/34
|
|
|
$
|
244
|
|
|
$
|
246,892
|
|
|
Series 2006-1, Class A2
6
|
|
|
6.00
|
|
|
|
03/25/36
|
|
|
|
64
|
|
|
|
53,634
|
|
|
Series 2008-2R, Class A1
|
|
|
6.00
|
|
|
|
12/25/36
|
|
|
|
123
|
|
|
|
118,127
|
|
|
Series 2007-18, Class 1A1
|
|
|
6.00
|
|
|
|
11/25/37
|
|
|
|
189
|
|
|
|
170,969
|
|
|
First Horizon Asset Securities, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-2, Class 1A3
6
|
|
|
6.00
|
|
|
|
08/25/36
|
|
|
|
798
|
|
|
|
778,944
|
|
|
GSR Mortgage Loan Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-6F, Class 1A6
8
|
|
|
5.25
|
|
|
|
07/25/35
|
|
|
|
468
|
|
|
|
444,815
|
|
|
Series 2005-AR4, Class 6A1
2
|
|
|
5.25
|
|
|
|
07/25/35
|
|
|
|
1,237
|
|
|
|
1,198,399
|
|
|
Harborview Mortgage Loan Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-9, Class B11
1, 2, 4, 5,
11
|
|
|
1.96
|
|
|
|
06/20/35
|
|
|
|
434
|
|
|
|
10,838
|
|
|
JP Morgan Mortgage Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-A1, Class B4
2
|
|
|
3.11
|
|
|
|
10/25/33
|
|
|
|
464
|
|
|
|
188,939
|
|
|
Series 2006-S3, Class 1A10
|
|
|
6.50
|
|
|
|
08/25/36
|
|
|
|
526
|
|
|
|
463,410
|
|
|
RAAC Series
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-SP1, Class M3
2, 11
|
|
|
5.52
|
|
|
|
09/25/34
|
|
|
|
252
|
|
|
|
20,803
|
|
|
Residential Accredit Loans, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-QS17, Class A10
12
|
|
|
6.00
|
|
|
|
12/25/35
|
|
|
|
285
|
|
|
|
197,522
|
|
|
Residential Asset Securitization Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-A8CB, Class A11
|
|
|
6.00
|
|
|
|
07/25/35
|
|
|
|
1,204
|
|
|
|
1,030,854
|
|
|
Residential Funding Mortgage Securities I, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-S1, Class B2
|
|
|
5.25
|
|
|
|
02/25/34
|
|
|
|
312
|
|
|
|
104,363
|
|
|
Series 2003-S7, Class A7
|
|
|
5.50
|
|
|
|
05/25/33
|
|
|
|
325
|
|
|
|
334,990
|
|
|
Series 2003-S7, Class B2
|
|
|
5.50
|
|
|
|
05/25/33
|
|
|
|
170
|
|
|
|
93,294
|
|
|
Series 2003-S7, Class B3
9
|
|
|
5.50
|
|
|
|
05/25/33
|
|
|
|
264
|
|
|
|
36,945
|
|
|
Resix Finance Limited Credit-Linked Notes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-C, Class B7
1, 2, 5
|
|
|
3.31
|
|
|
|
09/10/37
|
|
|
|
1,808
|
|
|
|
63,286
|
|
|
Series 2004-C, Class B7
1, 2, 5
|
|
|
3.71
|
|
|
|
09/10/36
|
|
|
|
690
|
|
|
|
327,980
|
|
|
Series 2004-B, Class B8
1, 2, 5
|
|
|
4.96
|
|
|
|
02/10/36
|
|
|
|
503
|
|
|
|
217,684
|
|
|
Series 2003-CB1, Class B8
1, 2, 5
|
|
|
6.96
|
|
|
|
06/10/35
|
|
|
|
463
|
|
|
|
309,324
|
|
|
Series 2004-B, Class B9
1, 2, 5
|
|
|
8.46
|
|
|
|
02/10/36
|
|
|
|
770
|
|
|
|
354,091
|
|
|
Series 2004-A, Class B10
1, 2, 5, 6
|
|
|
11.71
|
|
|
|
02/10/36
|
|
|
|
305
|
|
|
|
142,604
|
|
|
Structured Asset Securities Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2003-10, Class A
|
|
|
6.00
|
|
|
|
04/25/33
|
|
|
|
115
|
|
|
|
120,465
|
|
|
WaMu Mortgage Pass-Through Certificates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2002-AR12, Class B4
2
|
|
|
2.41
|
|
|
|
10/25/32
|
|
|
|
62
|
|
|
|
5,775
|
|
|
Series 2002-AR12, Class B5
2
|
|
|
2.41
|
|
|
|
10/25/32
|
|
|
|
47
|
|
|
|
1,301
|
|
|
Series 2002-AR12, Class B6
2, 9
|
|
|
2.41
|
|
|
|
10/25/32
|
|
|
|
78
|
|
|
|
849
|
|
|
Series 2007-HY3, Class 1A1
2
|
|
|
5.23
|
|
|
|
03/25/37
|
|
|
|
118
|
|
|
|
83,963
|
|
|
Series 2007-HY1, Class 1A1
2
|
|
|
5.32
|
|
|
|
02/25/37
|
|
|
|
422
|
|
|
|
282,504
|
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-5, Class 3A3
3, 11
|
|
|
6.22/6.72
|
|
|
|
07/25/36
|
|
|
|
325
|
|
|
|
171,186
|
|
|
Wells Fargo Mortgage-Backed Securities Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-EE, Class 2A1
2
|
|
|
2.75
|
|
|
|
12/25/34
|
|
|
|
116
|
|
|
|
110,740
|
|
|
Series 2003-N, Class 1A1
2
|
|
|
4.56
|
|
|
|
12/25/33
|
|
|
|
293
|
|
|
|
300,777
|
|
|
Series 2004-K, Class 2A1
2
|
|
|
4.71
|
|
|
|
07/25/34
|
|
|
|
186
|
|
|
|
188,411
|
|
|
Series 2005-AR16, Class 7A1
2
|
|
|
5.20
|
|
|
|
10/25/35
|
|
|
|
423
|
|
|
|
398,585
|
|
|
Series 2006-AR1, Class 2A2
2
|
|
|
5.39
|
|
|
|
03/25/36
|
|
|
|
123
|
|
|
|
122,480
|
|
|
Series 2006-3, Class A11
|
|
|
5.50
|
|
|
|
03/25/36
|
|
|
|
1,256
|
|
|
|
1,229,141
|
|
|
Series 2007-4, Class A21
|
|
|
5.50
|
|
|
|
04/25/37
|
|
|
|
771
|
|
|
|
698,479
|
|
|
Series 2007-5, Class 1A1
|
|
|
5.50
|
|
|
|
05/25/37
|
|
|
|
113
|
|
|
|
112,033
|
|
|
Series 2007-9, Class 1A3
|
|
|
5.50
|
|
|
|
07/25/37
|
|
|
|
78
|
|
|
|
76,555
|
|
|
Series 2007-9, Class 1A5
|
|
|
5.50
|
|
|
|
07/25/37
|
|
|
|
688
|
|
|
|
657,470
|
|
|
Series 2007-12, Class A6
|
|
|
5.50
|
|
|
|
09/25/37
|
|
|
|
835
|
|
|
|
775,097
|
|
|
Series 2006-2, Class 3A1
|
|
|
5.75
|
|
|
|
03/25/36
|
|
|
|
225
|
|
|
|
218,781
|
|
|
Series 2006-AR4, Class 1A1
2
|
|
|
5.77
|
|
|
|
04/25/36
|
|
|
|
293
|
|
|
|
244,860
|
|
|
Series 2006-8, Class A15
|
|
|
6.00
|
|
|
|
07/25/36
|
|
|
|
297
|
|
|
|
281,715
|
|
|
Series 2006-11, Class A8
|
|
|
6.00
|
|
|
|
09/25/36
|
|
|
|
404
|
|
|
|
374,677
|
|
|
Series 2007-6, Class A6
|
|
|
6.00
|
|
|
|
05/25/37
|
|
|
|
163
|
|
|
|
148,231
|
|
See Notes to Portfolios of Investments.
4
HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Principal
Amount
(000s)
|
|
|
Value
|
|
|
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2007-7, Class A6
|
|
|
6.00
|
%
|
|
|
06/25/37
|
|
|
$
|
142
|
|
|
$
|
136,945
|
|
|
Series 2007-8, Class 2A2
|
|
|
6.00
|
|
|
|
07/25/37
|
|
|
|
427
|
|
|
|
407,999
|
|
|
Total Subordinated Collateralized Mortgage Obligations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $24,141,564)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,350,592
|
|
|
Total NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $24,141,564)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,350,592
|
|
|
SHORT-TERM INVESTMENTS - 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States Treasury Bill
7, 13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $199,994)
|
|
|
0.03
|
|
|
|
10/13/11
|
|
|
|
200
|
|
|
|
199,994
|
|
|
Total Investments - 145.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Cost - $113,782,359)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
94,095,877
|
|
|
Liabilities in Excess of Other Assets - (45.8)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(29,572,456
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS - 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
64,523,421
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Portfolios of Investments.
5
HELIOS FUNDS
Notes to Portfolios of Investments (Unaudited)
August 31, 2011
The following notes should be read in conjunction with the accompanying Portfolios of Investments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
—
|
|
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 August 31, 2011, the total values of all such investments were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Value
|
|
|
% of Net Assets
|
|
|
|
|
|
|
Helios Strategic Mortgage Income Fund, Inc.
|
|
$
|
21,905,023
|
|
|
|
33.95
|
%
|
|
|
|
|
|
Helios Total Return Fund, Inc.
|
|
|
49,734,382
|
|
|
|
27.45
|
|
|
|
|
|
|
|
|
2
|
|
—
|
|
Variable Rate Security - Interest rate shown is the rate in effect as of August 31, 2011.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3
|
|
—
|
|
Security is a “step up” bond where the coupon increases or steps up at a predetermined date. Rates shown are current coupon and next coupon rate when security steps
up.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
|
—
|
|
Security is a “step up” bond where the coupon increases or steps up at a predetermined date. At that date, the coupon increases to LIBOR plus a predetermined
margin.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
|
|
—
|
|
Private Placement.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
|
—
|
|
Security is valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of August 31, 2011, the total values of all such securities
were:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Value
|
|
|
% of Net Assets
|
|
|
|
|
|
|
Helios Strategic Mortgage Income Fund, Inc.
|
|
$
|
5,950,940
|
|
|
|
9.22
|
%
|
|
|
|
|
|
Helios Total Return Fund, Inc.
|
|
|
6,713,918
|
|
|
|
3.71
|
|
|
|
|
|
|
|
|
7
|
|
—
|
|
Zero-Coupon Note - Interest rate represents current yield to maturity.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
|
|
—
|
|
Portion or entire principal amount delivered as collateral for reverse repurchase agreements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
|
|
—
|
|
Represents the most subordinate class in a trust of mortgage-backed securities that is the next to receive credit loss on the underlying mortgage pools and will continue to
receive the credit loss until the subordinated class is paid off.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10
|
|
—
|
|
Interest rate is based on the notional amount of the underlying mortgage pools.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
|
|
—
|
|
The bond is currently in default on its regularly scheduled interest payment.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
|
|
—
|
|
Investment in subprime security. As of August 31, 2011, the total values of all such investments were:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Value
|
|
|
% of Net Assets
|
|
|
|
|
|
|
Helios Strategic Mortgage Income Fund, Inc.
|
|
$
|
4,218,334
|
|
|
|
6.54
|
%
|
|
|
|
|
|
Helios Total Return Fund, Inc.
|
|
|
10,229,912
|
|
|
|
5.65
|
|
|
|
|
|
|
|
|
13
|
|
—
|
|
Portion or entire principal amount delivered as collateral for open futures contracts.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA
|
|
—
|
|
To Be Announced.
|
|
|
|
|
|
|
|
|
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
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
Advisor’s Valuation Committee, does not represent market value.
Investments in equity securities listed or traded on any securities
exchange or traded in the over-the-counter market are valued at the last quoted price as of the close of business on the valuation date. Equity securities for which no sales were reported for that date are valued at “fair value” as
determined in good faith by the Advisor’s Valuation Committee. Investments in open-end registered investment companies, if any, are valued at the net asset value (“NAV”) as reported by those investment companies.
When price quotations for certain securities are not readily available, or if the available quotations are not believed to be reflective of market value
by the Advisor, those securities will be valued at “fair value” as determined in good faith by the Advisor’s Valuation Committee using procedures 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 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
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
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 quoted prices for similar investments, interest rates, prepayment speeds, credit
risk, etc.)
|
|
|
|
|
• Level 3 –
|
|
significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments)
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with
investing in those securities.
The following is a summary of the inputs used as of August 31, 2011 in valuing the Funds’
investments carried at fair value:
Helios Strategic Mortgage Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
U.S.
Government
& Agency
Obligations
|
|
|
Asset-Backed
Securities
|
|
|
Commercial
Mortgage-
Backed
Securities
|
|
|
Non-Agency
Residential
Mortgage-
Backed
Securities
|
|
|
Short Term
Investments
|
|
|
Total
|
|
|
Description:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 – Quoted Prices
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Level 2 – Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
15,215,843
|
|
|
|
4,650,429
|
|
|
|
—
|
|
|
|
—
|
|
|
|
199,994
|
|
|
|
20,066,266
|
|
|
Level 3 – Significant Unobservable Inputs
|
|
|
—
|
|
|
|
9,997,832
|
|
|
|
45,681,187
|
|
|
|
18,350,592
|
|
|
|
—
|
|
|
|
74,029,611
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
15,215,843
|
|
|
$
|
14,648,261
|
|
|
$
|
45,681,187
|
|
|
$
|
18,350,592
|
|
|
$
|
199,994
|
|
|
$
|
94,095,877
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Other
Financial
Instruments*
|
|
|
Description:
|
|
|
|
|
|
Level 1 – Quoted Prices
|
|
$
|
—
|
|
|
Level 2 – Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
2,742
|
|
|
Level 3 – Significant Unobservable Inputs
|
|
|
—
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
2,742
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
Other
Financial
Instruments*
|
|
|
Description:
|
|
|
|
|
|
Level 1 – Quoted Prices
|
|
$
|
—
|
|
|
Level 2 – Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
(1,062
|
)
|
|
Level 3 – Significant Unobservable Inputs
|
|
|
—
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(1,062
|
)
|
|
|
|
|
|
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining
fair value:
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
Asset-Backed
Securities
|
|
|
Commercial
Mortgage-
Backed
Securities
|
|
|
Non-Agency
Residential
Mortgage-
Backed
Securities
|
|
|
Total
|
|
|
Balance as of November 30, 2010
|
|
$
|
10,945,811
|
|
|
$
|
46,277,362
|
|
|
$
|
12,980,059
|
|
|
$
|
70,203,232
|
|
|
Accrued Discounts (Premiums)
|
|
|
(26,892
|
)
|
|
|
(1,137,108
|
)
|
|
|
(935,478
|
)
|
|
|
(2,099,478
|
)
|
|
Realized Gain (Loss)
|
|
|
(1,150,164
|
)
|
|
|
1,365,534
|
|
|
|
182,520
|
|
|
|
397,890
|
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
523,536
|
|
|
|
907,235
|
|
|
|
1,829,662
|
|
|
|
3,260,433
|
|
|
Net Purchases (Sales)
|
|
|
(1,669,189
|
)
|
|
|
(1,731,836
|
)
|
|
|
4,293,829
|
|
|
|
892,804
|
|
|
Transfers into Level 3
|
|
|
2,213,311
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,213,311
|
|
|
Transfers out of Level 3
|
|
|
(838,581
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(838,581
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of August 31, 2011
|
|
$
|
9,997,832
|
|
|
$
|
45,681,187
|
|
|
$
|
18,350,592
|
|
|
$
|
74,029,611
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains or losses relating to assets still held at reporting date:
|
|
$
|
(445,079
|
)
|
|
$
|
(875,358
|
)
|
|
$
|
1,028,172
|
|
|
$
|
(292,265
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Other financial instruments include futures which are valued at the unrealized appreciation (depreciation) on the instrument.
|
For the period ended August 31, 2011, there was no significant security transfer activity between Level 1 and Level 2.
Helios Total Return Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
U.S.
Government
& Agency
Obligations
|
|
|
Asset-Backed
Securities
|
|
|
Commercial
Mortgage-
Backed
Securities
|
|
|
Non-Agency
Residential
Mortgage-Backed
Securities
|
|
|
Interest-
Only
Securities
|
|
|
High Yield
Corporate
Bonds
|
|
|
Short Term
Investments
|
|
|
Total
|
|
|
Description:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 – Quoted Prices
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Level 2 – Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
26,012,432
|
|
|
|
17,571,910
|
|
|
|
—
|
|
|
|
—
|
|
|
|
39,745
|
|
|
|
21,213,442
|
|
|
|
599,983
|
|
|
|
65,437,512
|
|
|
Level 3 – Significant Unobservable Inputs
|
|
|
—
|
|
|
|
21,045,130
|
|
|
|
118,027,543
|
|
|
|
44,726,826
|
|
|
|
3,961,879
|
|
|
|
7,570,412
|
|
|
|
—
|
|
|
|
195,331,790
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
26,012,432
|
|
|
$
|
38,617,040
|
|
|
$
|
118,027,543
|
|
|
$
|
44,726,826
|
|
|
$
|
4,001,624
|
|
|
$
|
28,783,854
|
|
|
$
|
599,983
|
|
|
$
|
260,769,302
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Other
Financial
Instruments*
|
|
|
Description:
|
|
|
|
|
|
Level 1 – Quoted Prices
|
|
$
|
—
|
|
|
Level 2 – Quoted Prices in Inactive Markets or Other Significant Observable Inputs
|
|
|
41,195
|
|
|
Level 3 – Significant Unobservable Inputs
|
|
|
—
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
41,195
|
|
|
|
|
|
|
|
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used
in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
Asset-Backed
Securities
|
|
|
Commercial
Mortgage-
Backed
Securities
|
|
|
Non-Agency
Residential
Mortgage-
Backed
Securities
|
|
|
Interest
Only
Securities
|
|
|
High Yield
Corporate
Bonds
|
|
|
Total
|
|
|
Balance as of November 30, 2010
|
|
$
|
17,299,132
|
|
|
$
|
125,341,550
|
|
|
$
|
35,271,080
|
|
|
$
|
5,944,974
|
|
|
$
|
8,732,050
|
|
|
$
|
192,588,786
|
|
|
Accrued Discounts (Premiums)
|
|
|
(146,549
|
)
|
|
|
277,586
|
|
|
|
(1,450,954
|
)
|
|
|
(1,767,427
|
)
|
|
|
(14,406
|
)
|
|
|
(3,101,750
|
)
|
|
Realized Gain (Loss)
|
|
|
(2,298,507
|
)
|
|
|
(804,178
|
)
|
|
|
(413,772
|
)
|
|
|
3,378
|
|
|
|
72,668
|
|
|
|
(3,440,411
|
)
|
|
Change in Unrealized Appreciation (Depreciation)
|
|
|
2,375,482
|
|
|
|
(655,893
|
)
|
|
|
3,426,705
|
|
|
|
(66,132
|
)
|
|
|
(266,787
|
)
|
|
|
4,813,375
|
|
|
Net Purchases (Sales)
|
|
|
(1,312,732
|
)
|
|
|
(6,131,522
|
)
|
|
|
7,893,767
|
|
|
|
(118,851
|
)
|
|
|
(1,256,113
|
)
|
|
|
(925,451
|
)
|
|
Transfers into Level 3
|
|
|
5,128,304
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
303,000
|
|
|
|
5,431,304
|
|
|
Transfers out of Level 3
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(34,063
|
)
|
|
|
—
|
|
|
|
(34,063
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of August 31, 2011
|
|
$
|
21,045,130
|
|
|
$
|
118,027,543
|
|
|
$
|
44,726,826
|
|
|
$
|
3,961,879
|
|
|
$
|
7,570,412
|
|
|
$
|
195,331,790
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains or losses relating to assets still held at reporting date:
|
|
$
|
459,551
|
|
|
$
|
(2,971,729
|
)
|
|
$
|
2,240,611
|
|
|
$
|
(66,977
|
)
|
|
$
|
(185,315
|
)
|
|
$
|
(523,859
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Other financial instruments include futures contracts, which are valued at the unrealized appreciation on the instrument.
|
For the period ended August 31, 2011, there was no significant security transfer activity between Level 1 and Level 2.
Federal Income Tax Basis:
The federal income tax basis of each Fund’s investments at August 31, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Cost of
Investments
|
|
|
Gross
Unrealized
Appreciation
|
|
|
Gross
Unrealized
Depreciation
|
|
|
Net Unrealized
Depreciation
|
|
|
Helios Strategic Mortgage Income Fund, Inc.
|
|
$
|
113,782,359
|
|
|
$
|
4,624,583
|
|
|
$
|
(24,311,065
|
)
|
|
$
|
(19,686,482
|
)
|
|
Helios Total Return Fund, Inc.
|
|
|
290,846,145
|
|
|
|
13,022,441
|
|
|
|
(43,099,284
|
)
|
|
|
(30,076,843
|
)
|
Reverse Repurchase Agreements:
Each Fund may enter into reverse repurchase agreements. Under a reverse repurchase
agreement, a Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. Under the 1940 Act, reverse repurchase agreements will be regarded as a form of borrowing by the Funds unless, at the time they enter into a
reverse repurchase agreement, they establish and maintain a segregated account with their custodian containing securities from their portfolios having a value not less than the repurchase price (including accrued interest). Each Fund has established
and maintained such accounts for each of its reverse repurchase agreements.
Reverse repurchase agreements involve the risk that the market
value of the securities retained in lieu of sale by a Fund may decline below the price of the securities the Fund has sold but is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy
or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase
agreement may effectively be restricted pending such decision. Also, the Funds would bear the risk of loss to the extent that the proceeds of the reverse repurchase agreement are less than the value of the securities subject to such agreements.
At August 31, 2011, the Funds had the following reverse repurchase agreements outstanding:
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
Helios Strategic Mortgage Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
Face Value
|
|
|
Description
|
|
Maturity
Amount
|
|
|
$
|
736,000
|
|
|
BNP Paribas, 0.35%, dated 08/11/11, maturity date 09/12/11
|
|
$
|
736,222
|
|
|
|
1,232,000
|
|
|
Credit Suisse, 0.26%, dated 07/13/11, maturity date 10/13/11
|
|
|
1,232,819
|
|
|
|
1,071,000
|
|
|
Credit Suisse, 1.50%, dated 07/13/11, maturity date 10/13/11
|
|
|
1,075,105
|
|
|
|
4,834,000
|
|
|
Credit Suisse, 1.50%, dated 07/19/11, maturity date 10/18/11
|
|
|
4,852,329
|
|
|
|
991,000
|
|
|
Credit Suisse, 1.50%, dated 08/16/11, maturity date 10/13/11
|
|
|
993,395
|
|
|
|
844,600
|
|
|
Credit Suisse, 1.75%, dated 08/15/11, maturity date 11/14/11
|
|
|
848,336
|
|
|
|
800,779
|
|
|
Credit Suisse, 1.75%, dated 08/23/11, maturity date 09/06/11
|
|
|
801,324
|
|
|
|
796,500
|
|
|
Credit Suisse, 1.75%, dated 08/23/11, maturity date 11/22/11
|
|
|
800,023
|
|
|
|
10,354,000
|
|
|
Goldman Sachs, 0.26%, dated 07/08/11, maturity date 09/08/11
|
|
|
10,358,636
|
|
|
|
4,749,847
|
|
|
JP Morgan Chase, 1.25%, dated 07/19/11, maturity date 10/18/11
|
|
|
4,764,855
|
|
|
|
1,405,182
|
|
|
JP Morgan Chase, 1.29%, dated 08/15/11, maturity date 11/14/11
|
|
|
1,409,766
|
|
|
|
2,890,525
|
|
|
JP Morgan Chase, 1.61%, dated 08/15/11, maturity date 09/14/11
|
|
|
2,894,400
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
30,705,433
|
|
|
Maturity Amount, Including Interest Payable
|
|
$
|
30,767,210
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market Value of Assets Sold Under Agreements
|
|
$
|
36,088,233
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted Average Interest Rate
|
|
|
0.99
|
%
|
|
|
|
|
|
|
|
|
|
|
Helios Total Return Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
Face Value
|
|
|
Description
|
|
Maturity
Amount
|
|
|
$
|
206,850
|
|
|
Barclays, -0.25%, dated 08/19/11, maturity date 09/20/11
|
|
$
|
206,804
|
|
|
|
3,165,907
|
|
|
Barclays, 1.00%, dated 08/19/11, maturity date 09/20/11
|
|
|
3,168,722
|
|
|
|
3,065,188
|
|
|
Barclays, 1.00%, dated 08/24/11, maturity date 09/23/11
|
|
|
3,067,742
|
|
|
|
3,733,600
|
|
|
Barclays, 1.29%, dated 08/15/11, maturity date 11/14/11
|
|
|
3,745,775
|
|
|
|
7,860,645
|
|
|
Barclays, 1.79%, dated 08/15/11, maturity date 11/14/11
|
|
|
7,896,246
|
|
|
|
6,458,000
|
|
|
Credit Suisse, 0.26%, dated 07/13/11, maturity date 10/13/11
|
|
|
6,462,291
|
|
|
|
13,483,000
|
|
|
Credit Suisse, 1.50%, dated 07/19/11, maturity date 10/18/11
|
|
|
13,534,123
|
|
|
|
1,295,600
|
|
|
Credit Suisse, 1.75%, dated 08/15/11, maturity date 11/14/11
|
|
|
1,301,331
|
|
|
|
598,927
|
|
|
Credit Suisse, 1.75%, dated 08/23/11, maturity date 09/06/11
|
|
|
599,335
|
|
|
|
729,019
|
|
|
Credit Suisse, 1.75%, dated 08/23/11, maturity date 11/22/11
|
|
|
732,244
|
|
|
|
8,390,000
|
|
|
Goldman Sachs, 0.26%, dated 07/08/11, maturity date 09/08/11
|
|
|
8,393,757
|
|
|
|
481,000
|
|
|
Goldman Sachs, 0.29%, dated 07/08/11, maturity date 09/08/11
|
|
|
481,240
|
|
|
|
1,286,210
|
|
|
JP Morgan Chase, 0.96%, dated 08/19/11, maturity date 09/20/11
|
|
|
1,287,311
|
|
|
|
23,515,132
|
|
|
JP Morgan Chase, 1.25%, dated 07/19/11, maturity date 10/18/11
|
|
|
23,589,433
|
|
|
|
8,209,172
|
|
|
JP Morgan Chase, 1.61%, dated 08/15/11, maturity date 09/14/11
|
|
|
8,220,175
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
82,478,250
|
|
|
Maturity Amount, Including Interest Payable
|
|
$
|
82,686,529
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market Value of Assets Sold Under Agreements
|
|
$
|
98,700,954
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted Average Interest Rate
|
|
|
1.18
|
%
|
|
|
|
|
|
|
|
|
|
|
The average daily balances of reverse repurchase agreements outstanding during the period ended August 31, 2011, was
approximately $31,351,496 at a weighted average interest rate of 0.98% for Helios Strategic Mortgage Income Fund and approximately $84,783,968 at a weighted average interest rate of 1.19% for Helios Total Return Fund.
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
The maximum amount of reverse repurchase agreements outstanding at any time during the period was
$31,946,895, which was 30.35% of total assets for Helios Strategic Mortgage Income Fund and $85,735,673, which was 29.70% of total assets for Helios Total Return Fund.
Financial Futures Contracts:
A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon
entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis
to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Fund records a realized
gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract.
Each Fund invests in financial futures contracts to hedge against fluctuations in the value of portfolio securities caused by changes in prevailing market interest rates. Should interest rates move
unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts,
interest rates and the underlying hedged assets. A Fund is at risk that it may not be able to close out a transaction because of an illiquid market.
As of August 31, 2011, the following futures contracts were outstanding:
Helios Strategic Mortgage Income Fund, Inc.
Short:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
|
|
|
Type
|
|
Expiration
Date
|
|
|
Cost at
Trade Date
|
|
|
Value at
August 31, 2011
|
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
|
$
|
1,700,000
|
|
|
5 Year U.S. Treasury Note
|
|
|
December 2011
|
|
|
$
|
2,082,235
|
|
|
$
|
2,083,297
|
|
|
$
|
(1,062
|
)
|
|
|
2,700,000
|
|
|
10 Year U.S. Treasury Note
|
|
|
December 2011
|
|
|
|
3,486,586
|
|
|
|
3,483,844
|
|
|
|
2,742
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,400,000
|
|
|
|
|
|
|
|
|
$
|
5,568,821
|
|
|
$
|
5,567,141
|
|
|
$
|
1,680
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Helios Total Return Fund, Inc.
Short:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
|
|
|
Type
|
|
Expiration
Date
|
|
|
Cost at Trade
Date
|
|
|
Value at
August 31, 2011
|
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
|
$
|
20,700,000
|
|
|
10 Year U.S. Treasury Note
|
|
|
December 2011
|
|
|
$
|
26,733,727
|
|
|
$
|
26,709,469
|
|
|
$
|
24,258
|
|
|
|
2,900,000
|
|
|
30 Year U.S. Treasury Bond
|
|
|
December 2011
|
|
|
|
3,961,218
|
|
|
|
3,944,906
|
|
|
|
16,312
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
23,600,000
|
|
|
|
|
|
|
|
|
$
|
30,694,945
|
|
|
$
|
30,654,375
|
|
|
$
|
40,570
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount
|
|
|
Type
|
|
Expiration
Date
|
|
|
Cost at
Trade Date
|
|
|
Value at
August 31,
2011
|
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
|
$
|
1,000,000
|
|
|
5 Year U.S. Treasury Note
|
|
|
December 2011
|
|
|
$
|
1,224,844
|
|
|
$
|
1,225,469
|
|
|
$
|
625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Transactions:
Each Fund may enter into to-be-announced (“TBA”) transactions to hedge its
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. A TBA transaction is a purchase or sale of a U.S. government agency mortgage pass-through
security for future settlement at an agreed upon date. The term “U.S. government agency mortgage pass-through security” refers to a category of pass-through securities backed by pools of mortgages and issued by one of several U.S.
government-sponsored enterprises: the Government National Mortgage Association (Ginnie Mae), Federal National Mortgage Association (Fannie Mae), or Federal Home Loan Mortgage Corporation (Freddie Mac). In the basic pass-through structure, mortgages
with similar issuer, term and coupon characteristics are collected and aggregated into a pool. The pool is assigned a CUSIP number and undivided interests in the pool are traded and sold as pass-through securities. The holder of the security is
entitled to a pro rata share of principal and interest payments (including unscheduled prepayments) from the pool of mortgage loans. TBA transactions increase the liquidity and pricing efficiency of transactions in such mortgage-backed securities
since they permit similar mortgage-backed securities to be traded interchangeably pursuant to commonly observed settlement and delivery requirements. Proceeds of TBA transactions are not received until the contractual settlement date. Each Fund may
use TBA transactions to acquire and maintain exposure to mortgage-backed securities in either of two ways. Typically, a Fund will enter into TBA agreements and “roll over” such agreements prior to the settlement date stipulated in such
agreements. This type of TBA transaction is commonly known as a “TBA roll.” In a “TBA roll,” the Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the stipulated settlement
date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. Alternatively, a Fund will enter into TBA agreements and settle such transactions on the stipulated settlement date by actual receipt or
delivery of the pools of mortgage pass-through securities stipulated in the TBA agreement. Unsettled TBA agreements are valued at the current market value of the underlying securities, according to the procedures described above under
“Valuation of Investments.” Each TBA position is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss.
TBA transactions outstanding at August 31, 2011 were as follows:
Purchases:
Helios Strategic Mortgage Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Name
|
|
Interest Rate
|
|
|
Principal Amount
|
|
|
Current Payable
|
|
|
Federal National Mortgage Association
|
|
|
5.00
|
%
|
|
$
|
2,000,000
|
|
|
$
|
2,145,833
|
|
Helios Total Return Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Name
|
|
Interest Rate
|
|
|
Principal Amount
|
|
|
Current Payable
|
|
|
Federal National Mortgage Association
|
|
|
5.00
|
%
|
|
$
|
7,200,000
|
|
|
$
|
7,725,000
|
|
Designation of Restricted Illiquid Securities
The Funds invest in restricted securities, which are securities that may be offered for public sale without first being registered under the Securities Act of 1933, as amended (the “1933 Act”).
Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of August 31, 2011, the Funds held restricted securities
as shown in the tables below that the Advisor has deemed illiquid pursuant to procedures adopted by the Funds’ Boards of Directors. Although recent instability in the markets has resulted in periods of increased overall market illiquidity,
liquidity for each security is determined based on security specific factors. The Funds do not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the valuation
of investments and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
unrestricted securities with the same maturity dates and yields for these issuers.
Helios Strategic Mortgage Income Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restricted Securities
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Acquisition
Date
|
|
|
Cost
|
|
|
Value
|
|
|
Percentage of
Net Assets
|
|
|
Banc of America Commercial Mortgage, Inc. Series 2006-1, Class J
|
|
|
5.77
|
%
|
|
|
09/10/45
|
|
|
|
04/06/06
|
|
|
$
|
964,550
|
|
|
$
|
49,962
|
|
|
|
0.08
|
%
|
|
Banc of America Commercial Mortgage, Inc. Series 2007-2, Class K
|
|
|
5.83
|
|
|
|
04/10/49
|
|
|
|
05/24/07
|
|
|
|
1,654,873
|
|
|
|
36,300
|
|
|
|
0.06
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2006-PW11, Class H
|
|
|
5.62
|
|
|
|
03/11/39
|
|
|
|
03/08/06
|
|
|
|
1,049,898
|
|
|
|
283,571
|
|
|
|
0.44
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2007-PW16, Class B
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
09/22/10
|
|
|
|
427,623
|
|
|
|
508,717
|
|
|
|
0.79
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2007-PW16, Class C
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
09/22/10
|
|
|
|
482,455
|
|
|
|
504,261
|
|
|
|
0.78
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2007-PW16, Class D
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
09/22/10
|
|
|
|
299,111
|
|
|
|
320,229
|
|
|
|
0.50
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD2, Class J
|
|
|
5.63
|
|
|
|
01/15/46
|
|
|
|
02/27/06
|
|
|
|
996,545
|
|
|
|
33,700
|
|
|
|
0.05
|
|
|
Commercial Mortgage Pass Through Certificates Series 2007-C9, Class J
|
|
|
6.01
|
|
|
|
12/10/49
|
|
|
|
12/17/10
|
|
|
|
93,626
|
|
|
|
103,925
|
|
|
|
0.16
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C4, Class L
|
|
|
5.15
|
|
|
|
09/15/39
|
|
|
|
09/21/06
|
|
|
|
444,678
|
|
|
|
2,052
|
|
|
|
0.00
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C4, Class M
|
|
|
5.15
|
|
|
|
09/15/39
|
|
|
|
09/21/06
|
|
|
|
141,148
|
|
|
|
1,413
|
|
|
|
0.00
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C1, Class K
|
|
|
5.59
|
|
|
|
02/15/39
|
|
|
|
03/07/06
|
|
|
|
2,178,334
|
|
|
|
478,773
|
|
|
|
0.74
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C4, Class K
|
|
|
6.29
|
|
|
|
09/15/39
|
|
|
|
09/21/06
|
|
|
|
2,994,443
|
|
|
|
20,790
|
|
|
|
0.03
|
|
|
Harborview Mortgage Loan Trust Series 2005-9, Class B11
|
|
|
1.96
|
|
|
|
06/20/35
|
|
|
|
10/03/07
|
|
|
|
372,436
|
|
|
|
10,838
|
|
|
|
0.02
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp.
Series 2007-CB18, Class G
|
|
|
5.91
|
|
|
|
06/12/47
|
|
|
|
10/11/07
|
|
|
|
524,307
|
|
|
|
26,820
|
|
|
|
0.04
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2007-LD11, Class K
|
|
|
6.00
|
|
|
|
06/15/49
|
|
|
|
06/28/07
|
|
|
|
1,839,273
|
|
|
|
37,657
|
|
|
|
0.06
|
|
|
Morgan Stanley Capital I, Inc.
Series 2004-HQ4, Class G
|
|
|
5.48
|
|
|
|
04/14/40
|
|
|
|
03/01/06
|
|
|
|
983,094
|
|
|
|
533,700
|
|
|
|
0.83
|
|
|
Morgan Stanley Capital I, Inc.
Series 2007-IQ13, Class B
|
|
|
5.52
|
|
|
|
03/15/44
|
|
|
|
01/07/11
|
|
|
|
471,651
|
|
|
|
395,600
|
|
|
|
0.61
|
|
|
Morgan Stanley Capital I, Inc.
Series 2007-IQ13, Class C
|
|
|
5.56
|
|
|
|
03/15/44
|
|
|
|
01/07/11
|
|
|
|
257,265
|
|
|
|
212,800
|
|
|
|
0.33
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2005-C, Class B7
|
|
|
3.31
|
|
|
|
09/10/37
|
|
|
|
09/09/05
|
|
|
|
1,808,179
|
|
|
|
63,286
|
|
|
|
0.10
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2004-C, Class B7
|
|
|
3.71
|
|
|
|
09/10/36
|
|
|
|
09/23/04
|
|
|
|
689,759
|
|
|
|
327,980
|
|
|
|
0.51
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2003-CB1, Class B8
|
|
|
6.96
|
|
|
|
06/10/35
|
|
|
|
12/22/04
|
|
|
|
463,337
|
|
|
|
309,324
|
|
|
|
0.48
|
|
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
Helios Strategic Mortgage Income Fund, Inc. (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restricted Securities
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Acquisition
Date
|
|
|
Cost
|
|
|
Value
|
|
|
Percentage of
Net Assets
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2004-B, Class B9
|
|
|
8.46
|
%
|
|
|
02/10/36
|
|
|
|
05/21/04
|
|
|
$
|
769,763
|
|
|
$
|
354,091
|
|
|
|
0.55
|
%
|
|
Resix Finance Limited Credit-Linked Notes Series 2004-A, Class B10
|
|
|
11.71
|
|
|
|
02/10/36
|
|
|
|
03/09/04
|
|
|
|
305,374
|
|
|
|
142,604
|
|
|
|
0.22
|
|
|
Wachovia Bank Commercial Mortgage Trust Series 2007-C31, Class L
|
|
|
5.13
|
|
|
|
04/15/47
|
|
|
|
05/11/07
|
|
|
|
1,609,278
|
|
|
|
38,978
|
|
|
|
0.06
|
|
|
Wachovia Bank Commercial Mortgage Trust Series 2005-C20, Class F
|
|
|
5.42
|
|
|
|
07/15/42
|
|
|
|
10/15/10
|
|
|
|
1,109,860
|
|
|
|
1,040,000
|
|
|
|
1.61
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,837,371
|
|
|
|
9.05
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Helios Total Return Fund, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restricted Securities
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Acquisition Date
|
|
|
Cost
|
|
|
Value
|
|
|
Percentage of
Net Assets
|
|
|
Banc of America Commercial Mortgage, Inc. Series 2006-2, Class J
|
|
|
5.48
|
%
|
|
|
05/10/45
|
|
|
|
06/12/06
|
|
|
$
|
299,360
|
|
|
$
|
13,779
|
|
|
|
0.01
|
%
|
|
Banc of America Commercial Mortgage, Inc. Series 2007-2, Class K
|
|
|
5.83
|
|
|
|
04/10/49
|
|
|
|
05/24/07
|
|
|
|
2,758,122
|
|
|
|
60,500
|
|
|
|
0.03
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2006-PW11, Class H
|
|
|
5.62
|
|
|
|
03/11/39
|
|
|
|
03/08/06
|
|
|
|
1,623,840
|
|
|
|
438,246
|
|
|
|
0.24
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2007-PW16, Class B
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
09/22/10-03/03/11
|
|
|
|
2,797,211
|
|
|
|
2,454,683
|
|
|
|
1.35
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2007-PW16, Class C
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
09/22/10
|
|
|
|
1,387,525
|
|
|
|
1,450,239
|
|
|
|
0.80
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2007-PW16, Class D
|
|
|
5.91
|
|
|
|
06/11/40
|
|
|
|
09/22/10
|
|
|
|
851,315
|
|
|
|
911,421
|
|
|
|
0.50
|
|
|
Bear Stearns Commercial Mortgage Securities Series 2007-T28, Class F
|
|
|
6.16
|
|
|
|
09/11/42
|
|
|
|
10/11/07
|
|
|
|
227,619
|
|
|
|
112,576
|
|
|
|
0.06
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD2, Class J
|
|
|
5.63
|
|
|
|
01/15/46
|
|
|
|
02/27/06
|
|
|
|
996,545
|
|
|
|
33,700
|
|
|
|
0.02
|
|
|
Commercial Mortgage Pass Through Certificates Series 2001-J2A, Class EIO
|
|
|
3.94
|
|
|
|
07/16/34
|
|
|
|
09/26/01
|
|
|
|
1,643,170
|
|
|
|
1,799,030
|
|
|
|
0.99
|
|
|
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-C5, Class J
|
|
|
4.65
|
|
|
|
11/15/37
|
|
|
|
12/16/04
|
|
|
|
933,554
|
|
|
|
301,270
|
|
|
|
0.17
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C4, Class L
|
|
|
5.15
|
|
|
|
09/15/39
|
|
|
|
09/21/06
|
|
|
|
592,905
|
|
|
|
2,736
|
|
|
|
0.00
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C4, Class M
|
|
|
5.15
|
|
|
|
09/15/39
|
|
|
|
09/21/06
|
|
|
|
188,363
|
|
|
|
1,885
|
|
|
|
0.00
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C1, Class K
|
|
|
5.59
|
|
|
|
02/15/39
|
|
|
|
03/07/06
|
|
|
|
4,355,745
|
|
|
|
957,343
|
|
|
|
0.53
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2006-C4, Class K
|
|
|
6.29
|
|
|
|
09/15/39
|
|
|
|
09/21/06
|
|
|
|
4,990,739
|
|
|
|
34,650
|
|
|
|
0.02
|
|
|
Federal National Mortgage Association Series 1998-W6, Class B3
|
|
|
7.09
|
|
|
|
10/25/28
|
|
|
|
12/22/98
|
|
|
|
533,841
|
|
|
|
363,749
|
|
|
|
0.20
|
|
|
Franchisee Loan Receivable Trust Series 1995-B, Class A
|
|
|
10.25
|
|
|
|
10/01/15
|
|
|
|
12/20/95
|
|
|
|
677,198
|
|
|
|
42,269
|
|
|
|
0.02
|
|
HELIOS FUNDS
Notes to Financial Statements (Unaudited)
August 31, 2011
Helios Total Return Fund, Inc. (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restricted Securities
|
|
Interest
Rate
|
|
|
Maturity
|
|
|
Acquisition
Date
|
|
|
Cost
|
|
|
Value
|
|
|
Percentage of
Net Assets
|
|
|
GMAC Commercial Mortgage Securities, Inc. Series 2003-C1, Class X1
|
|
|
1.91
|
%
|
|
|
05/10/36
|
|
|
|
05/22/03
|
|
|
$
|
1,361,815
|
|
|
$
|
1,352,446
|
|
|
|
0.75
|
%
|
|
Harborview Mortgage Loan Trust Series 2005-9, Class B11
|
|
|
1.96
|
|
|
|
06/20/35
|
|
|
|
10/03/07
|
|
|
|
622,282
|
|
|
|
18,109
|
|
|
|
0.01
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2007-CB18, Class G
|
|
|
5.91
|
|
|
|
06/12/47
|
|
|
|
10/11/07
|
|
|
|
1,048,615
|
|
|
|
53,640
|
|
|
|
0.03
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2007-LD11, Class J
|
|
|
6.00
|
|
|
|
06/15/49
|
|
|
|
06/28/07
|
|
|
|
488,699
|
|
|
|
12,773
|
|
|
|
0.01
|
|
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2007-LD11, Class K
|
|
|
6.00
|
|
|
|
06/15/49
|
|
|
|
06/28/07
|
|
|
|
919,147
|
|
|
|
18,819
|
|
|
|
0.01
|
|
|
LB-UBS Commercial Mortgage Trust Series 2002-C2, Class L
|
|
|
5.68
|
|
|
|
07/15/35
|
|
|
|
06/26/02
|
|
|
|
5,156,216
|
|
|
|
4,937,427
|
|
|
|
2.73
|
|
|
LNR CDO V Limited Series 2007-1A, Class F
|
|
|
1.67
|
|
|
|
12/26/49
|
|
|
|
02/27/07
|
|
|
|
3,750,000
|
|
|
|
—
|
|
|
|
0.00
|
|
|
Morgan Stanley Capital I, Inc. Series 2006-T21, Class H
|
|
|
5.49
|
|
|
|
10/12/52
|
|
|
|
04/06/06
|
|
|
|
1,406,370
|
|
|
|
330,000
|
|
|
|
0.18
|
|
|
Morgan Stanley Capital I, Inc. Series 2006-IQ11, Class J
|
|
|
5.53
|
|
|
|
10/15/42
|
|
|
|
05/24/06
|
|
|
|
240,442
|
|
|
|
15,360
|
|
|
|
0.01
|
|
|
RESI Finance LP Series 2004-B, Class B5
|
|
|
1.76
|
|
|
|
02/10/36
|
|
|
|
05/21/04
|
|
|
|
2,195,981
|
|
|
|
1,185,830
|
|
|
|
0.65
|
|
|
Residential Funding Mortgage Securities I, Inc. Series 2003-S2, Class B1
|
|
|
5.75
|
|
|
|
02/25/33
|
|
|
|
10/25/07
|
|
|
|
152,752
|
|
|
|
89,681
|
|
|
|
0.05
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2005-C, Class B7
|
|
|
3.31
|
|
|
|
09/10/37
|
|
|
|
09/09/05
|
|
|
|
3,616,357
|
|
|
|
126,572
|
|
|
|
0.07
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2004-C, Class B7
|
|
|
3.71
|
|
|
|
09/10/36
|
|
|
|
09/23/04
|
|
|
|
1,034,638
|
|
|
|
491,971
|
|
|
|
0.27
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2003-D, Class B7
|
|
|
5.96
|
|
|
|
12/10/35
|
|
|
|
11/19/03
|
|
|
|
1,072,306
|
|
|
|
534,115
|
|
|
|
0.30
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2003-CB1, Class B8
|
|
|
6.96
|
|
|
|
06/10/35
|
|
|
|
12/22/04
|
|
|
|
931,307
|
|
|
|
618,647
|
|
|
|
0.34
|
|
|
Resix Finance Limited Credit-Linked Notes Series 2004-A, Class B10
|
|
|
11.71
|
|
|
|
02/10/36
|
|
|
|
03/09/04
|
|
|
|
534,405
|
|
|
|
249,556
|
|
|
|
0.14
|
|
|
Wachovia Bank Commercial Mortgage Trust Series 2002-C2, Class IO1
|
|
|
1.73
|
|
|
|
11/15/34
|
|
|
|
10/30/02
|
|
|
|
851,608
|
|
|
|
810,403
|
|
|
|
0.45
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,823,425
|
|
|
|
10.94
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
|
|
|
|
|
|
|
HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
|
|
|
|
|
|
|
|
By:
|
|
/s/ Kim G. Redding
|
|
|
|
|
|
Kim G. Redding
|
|
|
|
|
|
Principal Executive Officer
|
|
|
Date: October 21, 2011
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:
|
|
/s/ Kim G. Redding
|
|
|
|
Kim G. Redding
|
|
|
|
Principal Executive Officer
|
Date: October 21, 2011
|
|
|
|
|
By:
|
|
/s/ Steven M. Pires
|
|
|
|
Steven M. Pires
|
|
|
|
Treasurer and Principal Financial Officer
|
Date: October 21, 2011
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