HSM Helios Strategic Mortgage Income Fund (The) Common Stock

000 A000000 05/31/2012
000 C000000 0001173788
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000 H000000 N
000 I000000 6.1
000 J000000 A
001 A000000 HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
001 B000000 811-21102
001 C000000 8004973746
002 A000000 200 VESEY STREET, 24TH FLOOR
002 B000000 NEW YORK
002 C000000 NY
002 D010000 10281
002 D020000 1010
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007 C011000 10
008 A000001 BROOKFIELD INVESTMENT MANAGEMENT INC.
008 B000001 A
008 C000001 801-34605
008 D010001 NEW YORK
008 D020001 NY
008 D030001 10281
008 D040001 1010
010 A000001 BROOKFIELD INVESTMENT MANAGEMENT INC.
010 B000001 801-34605
010 C010001 NEW YORK
010 C020001 NY
010 C030001 10281
010 C040001 1010
012 A000001 AMERICAN STOCK TRANSFER & TRUST CO.
012 B000001 85-19250
012 C010001 NEW YORK
012 C020001 NY
012 C030001 10038

013 A000001 BBD, LLP
013 B010001 PHILADELPHIA
013 B020001 PA
013 B030001 19103
015 A000001 U.S. BANK NATIONAL ASSOCIATION
015 B000001 C
015 C010001 MILWAUKEE
015 C020001 WI
015 C030001 53212
015 E010001 X
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022 A000001 CREDIT SUISSE SECURITIES, INC.
022 B000001 13-5659485
022 C000001 1617
022 D000001 16273
022 A000002 GOLDMAN SACHS & CO.
022 B000002 13-5108880
022 C000002 0
022 D000002 17265
022 A000003 JPMORGAN CHASE BANK, N.A.
022 B000003 13-4994650
022 C000003 2944
022 D000003 11661
022 A000004 WACHOVIA BANK N.A.
022 B000004 56-0927594
022 C000004 0
022 D000004 6855
022 A000005 RBS CAPITAL MARKETS CORP.
022 B000005 13-5033225
022 C000005 4222
022 D000005 544
022 A000006 BARCLAYS CAPITAL, INC.
022 B000006 06-1031656
022 C000006 0
022 D000006 2943
022 A000007 CITIGROUP GLOBAL MARKETS, INC.
022 B000007 11-2418191

022 C000007 2791
022 D000007 0
022 A000008 DEUTSCHE BANK SECURITIES, INC.
022 B000008 13-6124068
022 C000008 2108
022 D000008 0
022 A000009 BNP PARIBAS BROKERAGE SERVICES, INC.
022 B000009 13-3661436
022 C000009 0
022 D000009 2007
022 A000010 NOMURA SECURITIES
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022 D000010 1178
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087 A010000 HELIOS STRATEGIC MORTGAGE INCOME FUND, INC.
087 A020000 42327M109
087 A030000 HSM
088 A000000 N
088 B000000 N
088 C000000 N
088 D000000 N
SIGNATURE STEVEN PIRES
TITLE TREASURER