helios-tr_nq.htm
As filed with the Securities and Exchange Commission on October  26, 2012



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY



Investment Company Act file number 811-05820



Helios Total Return 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)



212-549-8400
Registrant's telephone number, including area code



Date of fiscal year end: November 30, 2012


Date of reporting period:  August 31, 2012

 
 
 
 
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, 450 Fifth Street, NW, 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 TOTAL RETURN FUND, INC.
                    
Notes to Schedule of Investments (Unaudited)
                    
August 31, 2012
                    
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
(Note 2)
  
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 12.8%
                    
U.S. Government Agency Collateralized Mortgage Obligations - 0.3%
                    
Federal Home Loan Mortgage Corporation
                    
Series 3617, Class C 8
     4.50 %
12/15/39
   $ 101     $ 101,523  
Federal National Mortgage Association
                          
Series 1997-79, Class PL 8
     6.85  
12/18/27
     361       419,012  
Series 1998-W6, Class B3 1,5,9
     7.09  
10/25/28
     477       281,724  
Total U.S. Government Agency Collateralized Mortgage Obligations
                          
(Cost - $880,595)
                       802,259  
U.S. Government Agency Pass-Through Certificates - 12.5%
                          
Federal Home Loan Mortgage Corporation
                          
Pool Q03049 8
     4.50  
08/01/41
     4,612       5,058,054  
Pool C69047 8
     7.00  
06/01/32
     478       562,528  
Pool H01847 8
     7.00  
09/01/37
     819       929,889  
Pool C53494 8
     7.50  
06/01/31
     46       47,682  
Pool C56878 8
     8.00  
08/01/31
     108       120,494  
Pool C58516 8
     8.00  
09/01/31
     42       42,945  
Pool C59641 8
     8.00  
10/01/31
     331       413,587  
Pool C55166 8
     8.50  
07/01/31
     108       117,708  
Pool C55167 8
     8.50  
07/01/31
     70       72,887  
Pool C55168 8
     8.50  
07/01/31
     76       79,732  
Pool C55169 8
     8.50  
07/01/31
     65       67,667  
Pool G01466 8
     9.50  
12/01/22
     785       912,424  
Pool 555538 8
     10.00  
03/01/21
     278       317,699  
Pool 555559 8
     10.00  
03/01/21
     179       205,612  
Federal National Mortgage Association
                          
    Federal National Mortgage Association TBA
     4.00  
TBA
     4,000       4,288,124  
Pool 753914 8
     5.50  
12/01/33
     2,162       2,389,265  
Pool 761836 8
     6.00  
06/01/33
     1,034       1,165,585  
Pool 948362 8
     6.50  
08/01/37
     961       1,076,179  
Pool 555933 8
     7.00  
06/01/32
     2,833       3,405,677  
Pool 645912 8
     7.00  
06/01/32
     642       754,045  
Pool 645913 8
     7.00  
06/01/32
     841       988,268  
Pool 650131 8
     7.00  
07/01/32
     673       795,665  
Pool 784369 8
     7.50  
07/01/13
     24       23,690  
Pool 789284 8
     7.50  
05/01/17
     87       92,985  
Pool 827853 8
     7.50  
10/01/29
     36       37,052  
Pool 545990 8
     7.50  
04/01/31
     1,066       1,290,126  
Pool 255053 8
     7.50  
12/01/33
     218       268,961  
Pool 735576 8
     7.50  
11/01/34
     1,108       1,355,791  
Pool 896391 8
     7.50  
06/01/36
     426       491,714  
Pool 887431 8
     7.50  
08/01/36
     150       172,983  
Pool 735800 8
     8.00  
01/01/35
     733       907,557  
Pool 636449 8
     8.50  
04/01/32
     661       833,847  
Pool 852865 8
     9.00  
07/01/20
     826       972,746  
Pool 545436 8
     9.00  
10/01/31
     329       419,187  
Pool 458132 8
     9.16  
03/15/31
     1,380       1,636,081  
Total U.S. Government Agency Pass-Through Certificates
                          
(Cost - $29,556,378)
                       32,314,436  
Total U.S. GOVERNMENT & AGENCY OBLIGATIONS
                          
(Cost - $30,436,973)
                       33,116,695  
ASSET-BACKED SECURITIES - 14.7%
                          
Housing Related Asset-Backed Securities - 13.2%
                          
Access Financial Manufactured Housing Contract Trust
                          
Series 1995-1, Class B1 13 (Acquired 01/25/01, Cost $4,339,133, 1.37%)
     7.65  
05/15/21
     4,345       3,540,464  
ACE Securities Corp.
                          
Series 2003-MH1, Class A4 1,5
     6.50  
08/15/30
     2,032       2,153,849  
Asset-Backed Securities Corp. Home Equity
                          
Series 2006-HE3, Class A4 2,4,12
     0.39  
03/25/36
     2,918       2,392,530  
Conseco Finance Securitizations Corp.
                          
Series 2001-4, Class A4
     7.36  
08/01/32
     417       442,428  
Credit Suisse First Boston Mortgage Securities Corp.
                          
Series 2002-MH3, Class A 3
     6.70/7.20  
12/25/31
     320       345,880  
Green Tree Financial Corp.
                          
Series 1998-3, Class A6
     6.76  
03/01/30
     1,531       1,685,412  
Series 1997-7, Class A7
     6.96  
07/15/29
     1,764       1,911,553  
Series 1997-2, Class A6
     7.24  
06/15/28
     212       231,715  
Series 1997-6, Class A9
     7.55  
01/15/29
     1,111       1,204,832  
IXIS Real Estate Capital Trust
                          
Series 2006-HE3, Class A2 2,4,12
     0.32  
01/25/37
     676       258,522  
Lehman ABS Manufactured Housing Contract Trust
                          
Series 2001-B, Class A4
     5.27  
04/15/40
     208       212,372  
Series 2001-B, Class A5
     5.87  
04/15/40
     340       354,853  
Series 2001-B, Class A6
     6.47  
04/15/40
     295       316,389  
 
 
 
 
 
HELIOS TOTAL RETURN FUND, INC.
                          
Notes to Schedule of Investments (Unaudited)
                          
August 31, 2012
                          
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
(Note 2)
  
ASSET-BACKED SECURITIES (continued)
                          
Mid-State Trust
                          
Series 10, Class B 13 (Acquired 01/05/04, Cost $1,078,031, 0.42%)
     7.54 %
02/15/36
   $ 1,180     $ 1,081,275  
Series 2004-1, Class M2 13 (Acquired 07/01/04, Cost $2,562,201, 1.05%)
     8.11  
08/15/37
     2,565       2,708,852  
Option One Mortgage Loan Trust
                          
Series 2005-4, Class M1 2,4,6,12
     0.66  
11/25/35
     6,617       5,194,345  
Origen Manufactured Housing
                          
Series 2005-B, Class A4
     5.91  
01/15/37
     1,668       1,747,230  
Residential Asset Securities Corp.
                          
Series 2005-KS12, Class A2 2,4,12
     0.47  
01/25/36
     326       313,572  
Soundview Home Equity Loan Trust
                          
Series 2006-EQ1, Class A3 2,4,12
     0.38  
10/25/36
     3,559       2,347,776  
Trip Rail Master Funding LLC
                          
Series 2011-1A, Class A2 1,5
     6.02  
07/15/41
     3,114       3,569,024  
Vanderbilt Mortgage Finance, Inc.
                          
Series 2001-B, Class A5
     6.96  
09/07/31
     2,000       2,094,952  
Total Housing Related Asset-Backed Securities
                          
(Cost - $33,169,624)
                       34,107,825  
Collateralized Debt Obligations - 1.5%
                          
Anthracite CDO I Ltd.
                          
Series 2002-CIBA, Class CFL 1,2,5,6,13 (Acquired 05/14/02, Cost $5,008,935, 1.48%)
                          
(Cost - $5,008,935)
     1.47  
05/24/37
     5,000       3,837,500  
Total ASSET-BACKED SECURITIES
                          
(Cost - $38,178,559)
                       37,945,325  
COMMERCIAL MORTGAGE-BACKED SECURITIES - 40.6%
                          
Banc of America Merrill Lynch Commercial Mortgage, Inc.
                          
Series 2006-6, Class A4 8
     5.36  
10/10/45
     3,080       3,486,295  
Series 2006-6, Class AJ
     5.42  
10/10/45
     5,000       3,600,000  
Series 2006-2, Class J 1,5,11,13 (Acquired 06/12/06, Cost $304,483, 0.00%)
     5.48  
05/10/45
     332       4,663  
Series 2006-1, Class J 1,5,11,13 (Acquired 04/06/06, Cost $988,716, 0.00%)
     5.77  
09/10/45
     1,000       4,000  
Series 2007-2, Class A4 8
     5.80  
04/10/49
     4,850       5,623,527  
Series 2007-2, Class K 1,5,9,11,13 (Acquired 05/24/07, Cost $0, 0.00%)
     5.81  
04/10/49
     625       62  
Bear Stearns Commercial Mortgage Securities
                          
Series 2006-PW11, Class H 1,5,13 (Acquired 03/08/06, Cost $2,698,204, 0.13%)
     5.62  
03/11/39
     2,800       339,472  
Series 2007-PW16, Class B 1,5,13 (Acquired 09/22/10-03/03/11, Cost $3,485,976, 1.04%)
     5.91  
06/11/40
     6,000       2,700,000  
Series 2007-PW16, Class C 1,5,13 (Acquired 09/22/10, Cost $2,124,535, 0.70%)
     5.91  
06/11/40
     5,000       1,815,500  
Series 2007-PW16, Class D 1,5,13 (Acquired 09/22/10, Cost $1,323,882, 0.36%)
     5.91  
06/11/40
     3,500       941,850  
Series 2007-T28, Class F 1,5,13 (Acquired 10/11/07, Cost $230,397, 0.02%)
     6.17  
09/11/42
     250       62,500  
Commercial Mortgage Lease-Backed Certificate
                          
Series 2001-CMLB, Class A1 1,5
     6.75  
06/20/31
     837       889,478  
Commercial Mortgage Pass Through Certificates
                          
Series 2007-C9, Class J 1,5,13 (Acquired 12/17/10-04/12/12, Cost $256,780, 0.09%)
     6.00  
12/10/49
     950       222,395  
Credit Suisse First Boston Mortgage Securities Corp.
                          
Series 2004-C5, Class J 1,5,13 (Acquired 12/16/04, Cost $951,067, 0.10%)
     4.65  
11/15/37
     1,000       252,452  
Credit Suisse Mortgage Capital Certificates
                          
Series 2006-C1, Class K 1,5,13 (Acquired 03/07/06, Cost $6,610,527, 0.27%)
     5.59  
02/15/39
     7,073       708,432  
Series 2007-C2, Class A3 8
     5.54  
01/15/49
     6,024       6,730,615  
Series 2007-C3, Class A4
     5.87  
06/15/39
     410       452,617  
Series 2007-C5, Class A4
     5.70  
09/15/40
     1,040       1,161,614  
Series 2006-C4, Class K 1,5,9,11,13 (Acquired 09/21/06, Cost $5,427,279, 0.00%)
     6.15  
09/15/39
     7,464       1,493  
FREMF Mortgage Trust
                          
Series 2012-K710, Class C 1
     3.95  
06/25/47
     3,245       2,903,951  
GMAC Commercial Mortgage Securities, Inc.
                          
Series 2004-C3, Class B 13 (Acquired 12/07/10, Cost $1,504,861, 0.56%)
     4.97  
12/10/41
     1,750       1,452,500  
Greenwich Capital Commercial Funding Corp.
                          
Series 2007-GG11, Class A4 8
     5.74  
12/10/49
     5,000       5,712,090  
Series 2007-GG11, Class AJ
     6.20  
12/10/49
     5,430       3,909,600  
Series 2007-GG11, Class E 11,13 (Acquired 09/17/10, Cost $4,585,767, 0.61%)
     6.29  
12/10/49
     13,000       1,582,100  
GS Mortgage Securities Trust
                          
Series 2007-GG10, Class A4
     5.98  
08/10/45
     4,670       5,283,110  
JP Morgan Chase Commercial Mortgage Securities Corp.
                          
Series 2003-LN1, Class G 1,5,13 (Acquired 09/24/03, Cost $1,597,746, 0.56%)
     5.65  
10/15/37
     1,600       1,438,470  
Series 2007-CB18, Class G 1,5,9,11,13 (Acquired 10/11/07, Cost $381,450, 0.01%)
     5.91  
06/12/47
     442       13,251  
Series 2007-LD11, Class J 1,5,11,13 (Acquired 06/28/07, Cost $508,548, 0.00%)
     6.00  
06/15/49
     511       1,852  
Series 2007-LD11, Class K 1,5,11,13 (Acquired 06/28/07, Cost $2,929,704, 0.00%)
     6.00  
06/15/49
     2,818       1,057  
Series 2007-CB20, Class AM
     6.09  
02/12/51
     1,180       1,284,388  
Series 2009-IWST, Class D 1,5,9,13 (Acquired 05/17/10, Cost $2,000,729, 0.88%)
     7.69  
12/05/27
     2,000       2,284,308  
LB-UBS Commercial Mortgage Trust
                          
Series 2007-C1, Class AJ
     5.48  
02/15/40
     460       386,400  
Series 2007-C1, Class C 13 (Acquired 02/10/11, Cost $2,745,172, 0.63%)
     5.53  
02/15/40
     3,260       1,633,912  
Series 2007-C1, Class D 13 (Acquired 02/10/11, Cost $460,601, 0.10%)
     5.56  
02/15/40
     600       253,500  
Series 2007-C7, Class AJ
     6.48  
09/15/45
     10,000       7,530,260  
 
 
 
 
 
HELIOS TOTAL RETURN FUND, INC.
                          
Notes to Schedule of Investments (Unaudited)
                          
August 31, 2012
                          
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
(Note 2)
  
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
                    
LNR CDO Ltd.
                          
Series 2007-1A, Class F 1,2,5,6,11,13 (Acquired 02/27/07, Cost $3,750,000, 0.00%)
     1.67 %
12/26/49
   $ 3,750     $ 0  
Morgan Stanley Capital I, Inc.
                          
Series 2004-HQ4, Class G 1,5,13 (Acquired 03/01/06, Cost $987,145, 0.21%)
     5.46  
04/14/40
     1,000       550,000  
Series 2006-T21, Class H 1,5,13 (Acquired 04/04/06, Cost $1,411,228, 0.09%)
     5.50  
10/12/52
     1,500       225,000  
Series 2007-IQ13, Class B 1,5,13 (Acquired 01/07/11, Cost $514,850, 0.15%)
     5.52  
03/15/44
     860       386,706  
Series 2006-IQ11, Class J 1,5,11,13 (Acquired 05/24/06, Cost $234,867, 0.00%)
     5.53  
10/15/42
     256       2,400  
Series 2007-IQ13, Class C 1,5,13 (Acquired 01/07/11, Cost $287,305, 0.05%)
     5.56  
03/15/44
     560       129,910  
Series 2007-HQ13, Class A3 8
     5.57  
12/15/44
     6,108       6,859,541  
Series 2007-T25, Class AJ
     5.57  
11/12/49
     10,000       7,606,460  
Series 2007-IQ14, Class A4 8
     5.69  
04/15/49
     6,690       7,549,672  
Series 2007-HQ12, Class AM
     5.76  
04/12/49
     2,876       2,706,732  
Morgan Stanley Dean Witter Capital I
                          
Series 2003-TOP9, Class F 1,5,13 (Acquired 07/08/10, Cost $2,604,492, 1.05%)
     6.10  
11/13/36
     2,877       2,705,009  
Series 2003-TOP9, Class G 1,5,13 (Acquired 07/08/10, Cost $4,026,893, 1.54%)
     6.37  
11/13/36
     4,577       3,991,199  
Vornado DP LLC
                          
Series 2010-VNO, Class D 1,5,9,13 (Acquired 08/08/10, Cost $919,752, 0.42%)
     6.36  
09/13/28
     920       1,078,731  
Wachovia Bank Commercial Mortgage Trust
                          
Series 2007-C31, Class L 1,5,11,13 (Acquired 05/11/07, Cost $1,524,391, 0.00%)
     5.13  
04/15/47
     1,788       358  
Series 2005-C20, Class F 1,5,13 (Acquired 10/15/10, Cost $1,354,502, 0.58%)
     5.44  
07/15/42
     4,000       1,500,000  
Series 2005-C16, Class H 1,5,13 (Acquired 01/19/05, Cost $5,969,321, 1.24%)
     5.70  
10/15/41
     6,000       3,214,554  
Series 2007-C31, Class A4
     5.51  
04/15/47
     1,700       1,926,870  
Total COMMERCIAL MORTGAGE-BACKED SECURITIES
                          
(Cost - $133,602,148)
                       105,100,856  
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES - 45.4%
                    
Subordinated Collateralized Mortgage Obligations - 45.4%
                          
ACE Securities Corp
                          
Series 2006-HE2, Class A2D 4, 12
     0.49  
05/25/36
     2,182       1,036,450  
Banc of America Funding Corp.
                          
Series 2003-3, Class B4 13 (Acquired 01/28/04, Cost $348,155, 0.12%)
     5.48  
10/25/33
     386       299,055  
Series 2003-3, Class B5 13 (Acquired 01/28/04, Cost $305,711, 0.09%)
     5.48  
10/25/33
     387       234,470  
Series 2003-3, Class B6 9,13 (Acquired 01/28/04, Cost $135,033, 0.01%)
     5.48  
10/25/33
     252       17,607  
Banc of America Mortgage Securities, Inc.
                          
Series 2004-A, Class B4 9,13 (Acquired 02/10/04, Cost $343,901, 0.00%)
     2.96  
02/25/34
     388       1,358  
Series 2003-10, Class 1B4 (Acquired 01/23/04, Cost $252,275, 0.38%)
     5.50  
01/25/34
     278       215,024  
Series 2007-1, Class 1A26
     6.00  
03/25/37
     1,050       988,894  
Citicorp Mortgage Securities, Inc.
                          
Series 2007-2, Class 1A3
     6.00  
02/25/37
     3,672       3,772,749  
Series 2006-3, Class 1A4
     6.00  
06/25/36
     2,402       2,493,078  
Series 2007-8, Class 1A3
     6.00  
09/25/37
     4,257       4,400,718  
Citicorp Residential Mortgage Securities, Inc.
                          
Series 2007-1, Class A5 3
     6.05/6.55  
03/25/37
     4,229       3,252,799  
Citigroup Mortgage Loan Trust, Inc.
                          
Series 2007-AR4, Class 1A1A
     5.76  
03/25/37
     330       299,775  
Series 2004-NCM2, Class 1CB2
     6.75  
08/25/34
     210       223,547  
Countrywide Alternative Loan Trust
                          
Series 2006-OA10, Class 3A1 4
     0.41  
08/25/46
     2,413       1,262,770  
Series 2007-2CB, Class 1A15
     5.75  
03/25/37
     1,447       1,061,976  
Series 2006-24CB, Class A1
     6.00  
06/25/36
     424       376,796  
Series 2006-41CB, Class 2A14
     6.00  
01/25/37
     1,079       812,321  
Series 2007-11T1, Class A21
     6.00  
05/25/37
     311       230,271  
Countrywide Home Loan Mortgage Pass-Through Trust
                          
Series 2003-J13, Class B3 6,13 (Acquired 09/13/07, Cost $387,584, 0.11%)
     5.23  
01/25/34
     477       296,187  
Series 2003-J13, Class B4 13 (Acquired 09/13/07, Cost $246,452, 0.02%)
     5.23  
01/25/34
     359       53,785  
Series 2003-J13, Class B5 9,13 (Acquired 09/13/07, Cost $33,249, 0.01%)
     5.23  
01/25/34
     288       17,254  
Series 2003-57, Class B3 13 (Acquired 02/20/04, Cost $284,500, 0.01%)
     5.50  
01/25/34
     353       31,305  
Series 2007-5, Class A29
     5.50  
05/25/37
     1,399       1,250,699  
Series 2006-21, Class A11
     5.75  
02/25/37
     4,506       3,874,037  
Series 2004-18, Class A1
     6.00  
10/25/34
     403       424,008  
Series 2004-21, Class A10
     6.00  
11/25/34
     665       678,804  
Series 2007-10, Class A5
     6.00  
07/25/37
     1,479       1,227,129  
Series 2007-14, Class A6
     6.00  
09/25/37
     490       487,504  
Series 2007-18, Class 1A1
     6.00  
11/25/37
     155       144,423  
Series 2007-14, Class A15
     6.50  
09/25/37
     4,000       3,904,212  
Series 2007-15, Class 2A2
     6.50  
09/25/37
     375       309,563  
First Franklin Mortgage Loan Asset Backed Certificates
                          
Series 2005-FF9, Class A4 4, 12
     0.58  
10/25/35
     2,928       2,152,080  
First Republic Mortgage Loan Trust
                          
Series 2000-FRB1, Class B3 2,13 (Acquired 08/30/01, Cost $108,279, 0.03%)
     0.72  
06/25/30
     113       68,501  
GMAC Mortgage Corporation Loan Trust
                          
Series 2004-J5, Class M1
     5.09  
01/25/35
     1,517       1,134,602  
GSAMP Trust
                          
Series 2007-NC1, Class A2B 4, 12
     0.32  
12/25/46
     3,488       1,487,585  
 
 
 
 
 
HELIOS TOTAL RETURN FUND, INC.
                          
Notes to Schedule of Investments (Unaudited)
                          
August 31, 2012
                          
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
(Note 2)
  
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
                    
GSR Mortgage Loan Trust
                          
Series 2005-6F, Class 1A6
     5.25 %
07/25/35
   $ 1,541     $ 1,578,860  
Harborview Mortgage Loan Trust
                          
Series 2006-12, Class 2A13 2,4
     0.46  
12/19/36
     5,901       3,172,488  
Series 2007-7, Class 2A1A 2,4
     1.22  
11/25/47
     9,306       6,956,087  
Series 2005-9, Class B11 1,2,4,5,9,11,13 (Acquired 10/03/07, Cost $360,078, 0.00%)
     1.97  
06/20/35
     440       4,541  
Indymac Index Mortgage Loan Trust
                          
Series 2006-FLX1, Class A1 4
     0.43  
11/25/36
     7,647       5,475,482  
IXIS Real Estate Capital Trust
                          
Series 2006-HE3, Class A4 12
     0.45  
01/25/37
     876       350,576  
JP Morgan Mortgage Trust
                          
Series 2003-A1, Class B4 13 (Acquired 10/29/04, Cost $358,098, 0.06%)
     3.24  
10/25/33
     395       154,190  
Series 2003-A2, Class B4 13 (Acquired 10/29/04, Cost $197,404, 0.06%)
    3.16  
11/25/33
     232       143,978  
Master Asset Backed Securities Trust
                          
Series 2006-NC2, Class A3 4,12
     0.33  
08/25/36
     4,070       1,727,788  
Series 2006-NC2, Class A4 4,12
     0.37  
08/25/36
     2,006       857,637  
RAAC Series
                          
Series 2005-SP1, Class M3 13 (Acquired 08/02/07, Cost $200,130, 0.01%) 
     5.54  
09/25/34
     224       18,672  
RALI Trust
                          
Series 2006-QO1, Class 2A1 4,12
     0.49  
02/25/46
     1,731       758,418  
RESI Finance L.P.
                          
Series 2004-B, Class B5 1,2,5,13 (Acquired 05/21/04, Cost $1,682,740, 0.34%)
     1.78  
02/10/36
     1,683       875,026  
Residential Accredit Loans, Inc.
                          
Series 2007-QS6, Class A2 2
     53.78  
04/25/37
     451       879,163  
Residential Asset Securitization Trust
                          
Series 2005-A8CB, Class A11
     6.00  
07/25/35
     1,092       964,847  
Residential Funding Mortgage Securities I, Inc.
                          
Series 2004-S1, Class B1 13 (Acquired 02/26/04, Cost $278,929, 0.08%)
     5.25  
02/25/34
     306       196,885  
Series 2004-S1, Class B2 9,13 (Acquired 02/26/04, Cost $170,002, 0.03%)
     5.25  
02/25/34
     231       66,926  
Series 2003-S7, Class A7
     5.50  
05/25/33
     946       981,189  
Series 2003-S7, Class B2 13 (Acquired 05/19/03, Cost $328,499, 0.08%)
     5.50  
05/25/33
     404       199,835  
Series 2003-S7, Class B3 9,13 (Acquired 05/19/03, Cost $192,079, 0.03%)
     5.50  
05/25/33
     447       80,057  
Resix Finance Limited Credit-Linked Notes
                          
Series 2004-C, Class B7 1,2,5,13 (Acquired 09/23/04, Cost $1,397,334, 0.27%) 
     3.73  
09/10/36
     1,397       687,071  
Series 2004-B, Class B8 1,2,5,13 (Acquired 05/21/04, Cost $385,056, 0.06%) 
     4.98  
02/10/36
     385       160,723  
Series 2003-D, Class B7 1,2,5,13 (Acquired 11/19/03, Cost $789,260, 0.16%) 
     5.98  
12/10/35
     789       426,045  
Series 2003-CB1, Class B8 1,2,5,13 (Acquired 12/22/04, Cost $1,511,808, 0.40%)
     6.98  
06/01/35
     1,707       1,024,166  
Series 2004-B, Class B9 1,2,5,13 (Acquired 05/21/04, Cost $589,849, 0.10%) 
     8.48  
02/10/36
     590       255,349  
Series 2004-A, Class B10 1,2,5,13 (Acquired 03/09/04, Cost $644,073, 0.10%)
     11.73  
02/10/36
     644       270,388  
Saxon Asset Securities Trust
                          
Series 2006-2, Class A3C 4,12
     0.37  
09/25/36
     3,223       2,453,612  
Securitized Asset Backed Receivables LLC
                          
Series 2007-BR2, Class A2 4,12
     0.45  
02/25/37
     3,118       1,259,332  
Structured Asset Securities Corp.
                          
Series 2003-10, Class A
     6.00  
04/25/33
     357       375,609  
Thornburg Mortgage Securities Trust
                          
Series 2007-1, Class A2B 2
     5.80  
03/25/37
     7,225       6,722,678  
Washington Mutual Alternative Mortgage Pass-Through Certificates
                    
Series 2007-5, Class A11 2
     38.18  
06/25/37
     166       268,164  
Series 2005-6, Class 2A3 2
     48.77  
08/25/35
     262       625,815  
Washington Mutual Mortgage Pass-Through Certificates
                          
Series 2006-AR13, Class 1A
     1.03  
10/25/46
     2,682       1,817,764  
Series 2005-AR13, Class A1A2 2
     1.60  
10/25/45
     1,610       1,515,907  
Series 2007-OA6, Class 2A
     2.34  
07/25/47
     2,398       1,651,057  
Series 2006-AR12, Class 1A2
     2.55  
10/25/36
     3,210       2,386,695  
Series 2006-AR9, Class 2A
     2.59  
08/25/46
     3,062       2,510,988  
Series 2007-HY3, Class 1A1
     2.61  
03/25/37
     394       267,957  
Series 2005-AR18, Class 3A1
     5.03  
01/25/36
     4,879       4,544,887  
Series 2007-HY5, Class 3A1
     5.23  
05/25/37
     2,435       2,277,055  
Series 2003-S1, Class B4 1,5,13 (Acquired 10/25/07, Cost $121,123, 0.04%)
     5.50  
04/25/33
     138       108,847  
Series 2006-AR12, Class 3A3 2
     6.09  
10/25/36
     2,031       1,711,007  
 
 
 
 
 
HELIOS TOTAL RETURN FUND, INC.
                          
Notes to Schedule of Investments (Unaudited)
                          
August 31, 2012
                          
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
(Note 2)
  
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
                    
Wells Fargo Mortgage Backed Securities Trust
                          
Series 2006-AR2, Class 2A1
     2.62 %
03/25/36
   $ 2,531     $ 2,383,631  
Series 2005-AR16, Class 7A1
     5.17  
10/25/35
     1,248       1,247,110  
Series 2004-6, Class B4 9,13 (Acquired 04/13/05, Cost $1,033,600, 0.03%)
     5.50  
06/25/34
     1,120       72,818  
Series 2006-3, Class A11
     5.50  
03/25/36
     3,262       3,349,764  
Series 2007-4, Class A21
     5.50  
04/25/37
     2,200       1,987,195  
Series 2007-5, Class 1A1
     5.50  
05/25/37
     83       86,340  
Series 2007-9, Class 1A5
     5.50  
07/25/37
     674       704,288  
Series 2007-12, Class A6
     5.50  
09/25/37
     1,130       1,157,748  
Series 2006-AR4, Class 1A1
     5.78  
04/25/36
     262       225,891  
Series 2006-AR12, Class 2A1
     5.81  
09/25/36
     106       99,023  
Series 2006-8, Class A15
     6.00  
07/25/36
     1,618       1,589,938  
Series 2007-6, Class A6
     6.00  
05/25/37
     499       451,907  
Series 2007-7, Class A6
     6.00  
06/25/37
     426       425,485  
Series 2007-7, Class A7
     6.00  
06/25/37
     350       345,826  
Series 2007-7, Class A38
     6.00  
06/25/37
     344       333,064  
Series 2007-8, Class 1A22
     6.00  
07/25/37
     922       911,686  
Series 2007-8, Class 2A2
     6.00  
07/25/37
     2,015       2,044,769  
Series 2007-10, Class 1A5
     6.00  
07/25/37
     266       268,680  
Series 2007-11, Class A14
     6.00  
08/25/37
     959       958,162  
Series 2007-13, Class A7
     6.00  
09/25/37
     715       694,679  
Series 2007-AR5, Class A1
     6.00  
10/25/37
     350       327,136  
Series 2005-18, Class 2A10 2
     21.94  
01/25/36
     351       462,398  
Total Subordinated Collateralized Mortgage Obligations
                          
(Cost - $119,709,509)
                       117,412,635  
Total NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES
                    
(Cost - $119,709,509)
                       117,412,635  
INTEREST-ONLY SECURITIES - 4.0%
                          
Commercial Mortgage Pass-Through Certificates
                          
Series 2001-J2A, Class EIO 1,2,5,10
     3.94  
07/16/34
     10,000       1,436,170  
Federal National Mortgage Association
                          
Seies 2011-46, Class BI 10
     4.50  
04/25/37
     7,521       1,241,407  
GMAC Commercial Mortgage Securities, Inc.
                          
Series 2003-C1, Class X1 1,2,5,10
     1.82  
05/10/36
     49,084       369,501  
Government National Mortgage Association
                          
Series 2012-100, Class IO 2,10
     0.88  
08/16/52
     35,600       2,643,905  
Series 2012-70, Class IO 2,10
     0.96  
08/16/52
     47,929       3,338,491  
Series 2012-95, Class IO 2,10
     1.05  
02/16/53
     11,700       1,056,089  
Vendee Mortgage Trust
                          
Series 1997-2, Class IO 2,10
     0.04  
06/15/27
     17,371       22,687  
Wachovia Bank Commercial Mortgage Trust
                          
Series 2002-C2, Class IO1 1,2,5,10
     1.35  
11/15/34
     21,398       139,088  
Total INTEREST-ONLY SECURITIES
                          
(Cost - $10,194,501)
                       10,247,338  
INVESTMENT GRADE CORPORATE BONDS - 0.5%
                          
Basic Industry - 0.1%
                          
Georgia-Pacific LLC. 8
                          
(Cost - $282,659)
     7.25  
06/01/28
     300       377,552  
Energy - 0.2%
                          
Pioneer Natural Resources Co. 8
     6.65  
03/15/17
     300       355,124  
SESI LLC 8
     6.88  
06/01/14
     200       200,000  
Total Energy
                          
(Cost - $477,841)
                       555,124  
Telecommunications - 0.2%
                          
CenturyLink, Inc. 8
     6.45  
06/15/21
     200       223,206  
Qwest Capital Funding, Inc. 8
     6.88  
07/15/28
     300       306,017  
Total Telecommunications
                          
(Cost - $455,884)
                       529,223  
Total INVESTMENT GRADE CORPORATE BONDS
                          
(Cost - $1,216,384)
                       1,461,899  
HIGH YIELD CORPORATE BONDS - 15.2%
                          
Automotive - 1.1%
                          
American Axle & Manufacturing, Inc. 8
     7.75  
11/15/19
     350       382,813  
American Axle & Manufacturing, Inc. 8
     7.88  
03/01/17
     150       155,813  
Chrysler Group LLC/CG Co-Issuer, Inc. 8
     8.25  
06/15/21
     350       369,250  
General Motors Financial Company, Inc. 1,5
     4.75  
08/15/17
     500       503,392  
Jaguar Land Rover PLC 1,5,8
     8.13  
05/15/21
     400       425,000  
Pittsburgh Glass Works LLC. 1,5
     8.50  
04/15/16
     500       457,500  
Tenneco, Inc. 8
     6.88  
12/15/20
     130       141,700  
Visteon Corp. 8
     6.75  
04/15/19
     500       508,125  
Total Automotive
                          
(Cost - $2,909,790)
                       2,943,593  
 
 
 
 
 
HELIOS TOTAL RETURN FUND, INC.
                          
Notes to Schedule of Investments (Unaudited)
                          
August 31, 2012
                          
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
(Note 2)
  
HIGH YIELD CORPORATE BONDS (continued)
                          
Basic Industry - 2.5%
                          
AK Steel Corp. 8
     7.63 %
05/15/20
   $ 500     $ 442,500  
Alpha Natural Resources, Inc. 8
     6.25  
06/01/21
     125       111,875  
Arch Coal, Inc. 8
     7.25  
06/15/21
     200       180,500  
Arch Coal, Inc. 8
     8.75  
08/01/16
     300       300,000  
Associated Materials LLC 8
     9.13  
11/01/17
     500       482,500  
Cascades, Inc. 8
     7.88  
01/15/20
     500       518,750  
CONSOL Energy, Inc.
     8.25  
04/01/20
     375       404,062  
FMG Resources August 2006 Property Ltd. 1,5,8
     6.88  
04/01/22
     350       322,000  
Hexion US Finance Corp. 8
     6.63  
04/15/20
     500       505,000  
Huntsman International LLC 8
     5.50  
06/30/16
     300       300,375  
Ineos Finance PLC 1,5,8
     7.50  
05/01/20
     200       204,000  
Ineos Finance PLC 1,5,8
     9.00  
05/15/15
     175       185,500  
Masonite International Corp. 1,5,8
     8.25  
04/15/21
     500       523,750  
Steel Dynamics, Inc. 8
     7.63  
03/15/20
     300       326,250  
Tembec Industries, Inc.
     11.25  
12/15/18
     500       520,000  
United States Steel Corp. 8
     7.00  
02/01/18
     500       508,750  
Verso Paper Holdings LLC/Verso Paper, Inc. 1,5,8
     11.75  
01/15/19
     350       360,500  
Xerium Technologies, Inc.
     8.88  
06/15/18
     350       303,625  
Total Basic Industry
                          
(Cost - $6,560,180)
                       6,499,937  
Capital Goods - 1.3%
                          
AAR Corp. 1,5,8
     7.25  
01/15/22
     500       501,875  
Coleman Cable, Inc. 8
     9.00  
02/15/18
     500       530,000  
Crown Cork & Seal Company, Inc. 8
     7.38  
12/15/26
     350       376,250  
Mueller Water Products, Inc. 8
     8.75  
09/01/20
     315       351,225  
Owens-Illinois, Inc. 8
     7.80  
05/15/18
     400       456,000  
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
     7.88  
08/15/19
     500       556,250  
Terex Corp. 8
     6.50  
04/01/20
     500       523,750  
Total Capital Goods
                          
(Cost - $3,112,837)
                       3,295,350  
Consumer Cyclical - 0.6%
                          
Levi Strauss & Co. 8
     7.63  
05/15/20
     500       533,125  
Limited Brands, Inc. 8
     7.60  
07/15/37
     300       307,500  
Phillips-Van Heusen Corp. 8
     7.38  
05/15/20
     300       336,000  
Rite Aid Corp. 8
     9.75  
06/12/16
     300       329,250  
Total Consumer Cyclical
                          
(Cost - $1,398,512)
                       1,505,875  
Consumer Non-Cyclical - 0.4%
                          
C&S Group Enterprises LLC. 1,5,8
     8.38  
05/01/17
     270       280,125  
Cott Beverages, Inc. 8
     8.13  
09/01/18
     350       385,437  
Jarden Corp. 8
     7.50  
05/01/17
     300       341,625  
Total Consumer Non-Cyclical
                          
(Cost - $935,722)
                       1,007,187  
Energy - 2.8%
                          
BreitBurn Energy Partners L.P./BreitBurn Finance Corp. 1,5,8
     7.88  
04/15/22
     500       510,000  
Calfrac Holdings L.P. 1,5,8
     7.50  
12/01/20
     500       490,000  
Crosstex Energy LP/Crosstex Energy Finance Corp. 8
     8.88  
02/15/18
     300       320,250  
EV Energy Partners LP/EV Energy Finance Corp. 8
     8.00  
04/15/19
     500       516,250  
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. 8
     8.63  
06/15/20
     195       190,125  
FracTech Services LLC/Frac Tech Finance Inc. 1,5,8
     8.13  
11/15/18
     500       516,250  
Frontier Oil Corp. 8
     8.50  
09/15/16
     300       313,140  
Hercules Offshore, Inc. 1,5,8
     10.50  
10/15/17
     250       258,750  
Hilcorp Energy I LP/Hilcorp Finance Co. 1,5,8
     8.00  
02/15/20
     300       332,250  
Key Energy Services, Inc. 8
     6.75  
03/01/21
     500       508,750  
Linn Energy LLC/Linn Energy Finance Corp. 8
     7.75  
02/01/21
     200       208,500  
Linn Energy LLC/Linn Energy Finance Corp. 8
     8.63  
04/15/20
     300       324,000  
McJunkin Red Man Corp. 8
     9.50  
12/15/16
     500       545,000  
Niska Gas Storage US LLC/Niska Gas Storage Canada ULC  8
     8.88  
03/15/18
     435       443,700  
Petroleum Geo-Services ASA 1,5,8
     7.38  
12/15/18
     150       160,125  
Plains Exploration & Production Co. 8
     7.63  
06/01/18
     400       430,000  
Precision Drilling Corp. 8
     6.63  
11/15/20
     300       315,000  
Quicksilver Resources, Inc. 8
     11.75  
01/01/16
     400       392,000  
Trinidad Drilling Ltd. 1,5,8
     7.88  
01/15/19
     500       537,500  
Total Energy
                          
(Cost - $7,169,694)
                       7,311,590  
 
 
 
 
 
HELIOS TOTAL RETURN FUND, INC.
                          
Notes to Schedule of Investments (Unaudited)
                          
August 31, 2012
                          
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
(Note 2)
  
HIGH YIELD CORPORATE BONDS (continued)
                          
Healthcare - 1.2%
                          
Fresenius Medical Care U.S. Finance II, Inc. 1,5,8
     5.88 %
01/31/22
   $ 300     $ 318,750  
HCA, Inc. 8
     8.00  
10/01/18
     600       682,500  
Health Management Associates, Inc. 1,5,8
     7.38  
01/15/20
     500       535,000  
Pharmaceutical Product Development, Inc. 1,5,8
     9.50  
12/01/19
     500       557,500  
Polymer Group, Inc. 8
     7.75  
02/01/19
     500       536,250  
Service Corporation International 8
     6.75  
04/01/16
     400       444,000  
Total Healthcare
                          
(Cost - $2,891,516)
                       3,074,000  
Media - 1.1%
                          
American Reprographics Co.
     10.50  
12/15/16
     350       362,250  
Cablevision Systems Corp. 8
     8.63  
09/15/17
     500       572,500  
CCO Holdings LLC/CCO Holdings Capital Corp. 8
     6.63  
01/31/22
     200       216,500  
CCO Holdings LLC/CCO Holdings Capital Corp. 8
     8.13  
04/30/20
     300       337,500  
Cenveo Corp. 8
     8.88  
02/01/18
     225       204,750  
Deluxe Corp. 8
     7.38  
06/01/15
     400       406,000  
Mediacom LLC/Mediacom Capital Corp. 8
     9.13  
08/15/19
     500       556,250  
National CineMedia LLC. 1,5
     6.00  
04/15/22
     175       182,000  
Total Media
                          
(Cost - $2,721,412)
                       2,837,750  
Real Estate - 0.2%
                          
Realogy Corp. 1,5,8
                          
(Cost - $507,642)
     7.63  
01/15/20
     500       545,000  
Services - 2.8%
                          
AMC Entertainment, Inc. 8
     8.75  
06/01/19
     500       547,500  
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 8
     8.25  
01/15/19
     350       378,000  
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 8
     9.75  
03/15/20
     200       225,250  
Boyd Gaming Corp. 1,5
     9.00  
07/01/20
     250       247,813  
Caesars Entertainment Operating Company, Inc. 1,5,8
     8.50  
02/15/20
     500       493,125  
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp. 8
     9.13  
08/01/18
     350       397,250  
CityCenter Holdings LLC./CityCenter Finance Corp. 8
     7.63  
01/15/16
     500       531,250  
FTI Consulting, Inc. 8
     7.75  
10/01/16
     300       308,625  
Iron Mountain, Inc. 8
     8.38  
08/15/21
     500       552,500  
Marina District Finance Company, Inc. 8
     9.88  
08/15/18
     250       240,938  
MGM Resorts International 8
     7.63  
01/15/17
     350       361,813  
MGM Resorts International 1,5,8
     8.63  
02/01/19
     275       292,875  
MTR Gaming Group, Inc. 8
     11.50  
08/01/19
     96       98,591  
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp. 1,5,8
     8.88  
04/15/17
     350       366,625  
PulteGroup, Inc. 8
     6.38  
05/15/33
     300       261,000  
Scientific Games Corp.
     8.13  
09/15/18
     450       489,375  
Standard Pacific Corp. 8
     8.38  
05/15/18
     300       336,000  
The Hertz Corp. 8
     7.50  
10/15/18
     300       323,625  
UR Merger Sub Corp. 1,5,8
     7.63  
04/15/22
     300       324,000  
UR Merger Sub Corp. 8
     9.25  
12/15/19
     300       337,500  
Total Services
                          
(Cost - $6,765,812)
                       7,113,655  
Technology & Electronics - 0.4%
                          
First Data Corp. 1,5,8
     7.38  
06/15/19
     500       516,250  
Freescale Semiconductor, Inc. 1,5,8
     9.25  
04/15/18
     500       541,250  
Total Technology & Electronics
                          
(Cost - $1,028,804)
                       1,057,500  
Telecommunications - 0.7%
                          
Cincinnati Bell, Inc. 8
     8.25  
10/15/17
     260       278,200  
Cincinnati Bell, Inc. 8
     8.38  
10/15/20
     140       148,400  
Frontier Communications Corp. 8
     7.13  
03/15/19
     500       527,500  
PAETEC Holding Corp. 8
     8.88  
06/30/17
     300       324,750  
TW Telecom Holdings, Inc. 8
     8.00  
03/01/18
     190       210,900  
Windstream Corp. 8
     7.00  
03/15/19
     400       405,000  
Total Telecommunications
                          
(Cost - $1,781,095)
                       1,894,750  
Utility - 0.1%
                          
NRG Energy, Inc. 8
                          
(Cost - $296,005)
     8.50  
06/15/19
     300       321,000  
Total HIGH YIELD CORPORATE BONDS
                          
(Cost - $38,079,021)
                       39,407,187  
Total Investments - 133.2%
                          
(Cost - $371,417,095)
                       344,691,935  
Liabilities in Excess of Other Assets - (33.2)%
                       (85,934,347 )
NET ASSETS - 100.0%
                     $ 258,757,588  
 
 
 
 
 
HELIOS TOTAL RETURN FUND, INC.
              
Notes to Schedule of Investments (Unaudited)
              
August 31, 2012
              
                 
The following notes should be read in conjunction with the accompanying Schedule 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, 2012, the total value of all such investments was $55,456,770 which amounted to 21.43% of the net assets.
2
Variable Rate Security - Interest rate shown is the rate in effect as of August 31, 2012.
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 the 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, 2012, the total values of all such securities was $9,328,032 which amounted to 3.60% of net assets.
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 subordinated class in a trust of mortgage-backed securities that is the next to receive allocation of principal loss. Such  classes will continue to receive all principal loss until its balance is zero.
10
Interest rate is based on the notional amount of the underlying mortgage pools.
    
11
Issuer is currently in default on its regularly scheduled interest payment.
    
12
Investment in subprime security. As of August 31, 2012, the total values of all such investments was $22,590,223 which amounted to 8.73% of the net assets.
13
Restricted Illiquid Securities - Securities that the Advisor has deemed illiquid pursuant to procedures adopted by the Fund's Board of Directors.  Although recent instability in the markets has resulted in periods of increased overall market illiqudity, liquidity for each security is determined based on security specific factors.  The values in the parenthesis represent the acquistion date, cost and the percentage of net assets, respectively. As of August 31, 2012, the total value of these securities was $46,645,790 which  amounted to 18.02% of the net assets.
TBA
To Be Announced
              
 
 
 
 
 
 
 
 

HELIOS TOTAL RETURN FUND, INC.
Notes to Financial Statements
August 31, 2012 (Unaudited) 
Valuation of Investments: Debt securities, including U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities, are generally valued at the 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, the Fund’s Board of Directors. There can be no assurance that a Fund could purchase or sell a portfolio security at the price used to calculate a Fund’s NAV.
 
Fair valuation procedures may be used to value a substantial portion of the assets of the 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 Board has adopted procedures for the valuation of the Funds’ securities and has delegated the day to day responsibilities for valuation determinations under these procedures to the Advisor.  Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.  If a market value or price cannot be determined for a security or a significant event has occurred that would materially affect the value of the security, the security is fair valued by the Advisor’s Valuation Committee.  The Valuation Committee is comprised of senior members of the Advisor’s management team.

The Fund has established methods of fair value measurement in accordance with GAAP. Fair value denotes the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

•
Level 1 -
quoted prices in active markets for identical investments
•
Level 2 -
quoted prices in markets that are not active or other significant observable inputs (including, but not limited to: quoted prices for similar investments, quoted prices based on recently executed transactions, interest rates, prepayment speeds, credit risk, etc.)
•
Level 3 -
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The Advisor’s valuation policy, as previously stated, establishes parameters for the sources and types of valuation analysis, as well as, the methodologies and inputs that the Adviser uses in determining fair value, including the use of the Adviser’s Valuation Committee. If the Valuation Committee determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work will be undertaken.

The following table provides quantitative information about the Fund’s Level 3 values, as well as their inputs, as of August 31, 2012. The table is not all-inclusive, but provides information on the significant Level 3 inputs.
 
 
 
 
 
   
Quantitative Information about Level 3 Fair Value Measurements
         
Significant 
    
Assets
  
Fair Value as of
August 31, 2012
  
Valuation
Methodology
Unobservable
Input
  
Range (Weighted Average)
Asset-Backed Securities
  
$
22,697,962
  
Broker quotes
         NBIB(1)
  
38.25%-107.25%   87.93%
Commercial Mortgage-Backed
Securities
    
105,100,856
  
Broker quotes
         NBIB(1)
  
0%-117.25%          63.46%
Non-Agency Residential Mortgage-
Backed Securities
    
117,412,635
  
Broker quotes
         NBIB(1)
  
1.03%-239.11%     76.56%
Interest Only Securities
    
8,983,244
  
Broker quotes
         NBIB(1)
  
0.65%-14.36%       5.11%
High Yield Corporate Bonds
    
11,488,706
  
Broker quotes
         NBIB(1)
 
91.5%-111.5%       103.54%
Total Fair Value for Level 3 Investments
  
$
265,683,403
          
  
(1)
The Company generally uses prices provided by an independent pricing service, or broker non-binding indicative bid prices (NBIB) on or near the valuation date as the primary basis for the fair value determinations. These bid prices are non-binding, and may not be determinative of fair value. Each bid price is evaluated by the Valuation Committee in conjunction with additional information compiled by the Adviser, including performance and covenant compliance information as provided by the independent trustee.
 
Significant increases or decreases in the any of the unobservable inputs in isolation may result in a lower or higher fair value measurement.
 
To assess the continuing appropriateness of security valuations, the Advisor (or its third party service provider who is subject to oversight by the Advisor), regularly compares one of its prior day prices, prices on comparable securities and sale prices to the current day prices and challenges those prices that exceeds certain tolerance levels with the third party pricing service or broker source.  For those securities valued by fair valuations, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
 
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
 
The following is a summary of the inputs used as of August 31, 2012 in valuing the Fund’s investments carried at fair value:
 

Assets
U.S.
Government
& Agency
Obligations
Asset-
Backed
Securities
Commercial
Mortgage-
Backed
Securities
Non-Agency
Residential
Mortgage-
Backed
Securities
Interest-
Only
Securities
Investment
Grade
Corporate
Bonds
High Yield
Corporate
Bonds
Total
Description:
                
Level 1 - Quoted Prices
  $              -
  $          -
  $    -
$    -
$    -
$    -
$    -
$    -
Level 2 - Quoted Prices in Inactive Markets or Other Significant Observable Inputs
33,116,695
15,247,363
-
-
1,264,094
1,461,899
27,918,481
79,008,532
Level 3 - Significant Unobservable Inputs
-
22,697,962
105,100,856
117,412,635
8,983,244
-
11,488,706
265,683,403
Total
$33,116,695
$37,945,325
$105,100,856
$117,412,635
$10,247,338
$1,461,899
$39,407,187
$344,691,935
 

 
 
 
 
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, 2011
$15,037,895
$114,402,067
$44,449,937
$3,435,739
$7,993,287
$185,318,925
  
Accrued Discounts
(Premiums)
175,864
574,629
(65,968)
(1,009,842)
(8,663)
(333,980)
  
Realized Gain (Loss)
(2,402,627)
12,669,375
2,119,286
61,439,804
114,196
73,940,034
  
Change in Unrealized
Appreciation
(Depreciation)
3,766,139
(9,699,382)
8,131,649
(33,024)
265,510
2,430,892
  
Purchases at cost
13,321,321
79,722,606
90,334,351
7,034,129
7,301,390
197,713,797
  
Sales proceeds
(8,148,467)
(92,568,439)
(27,556,620)
(61,860,875)
(3,467,014)
(193,601,415)
  
Transfers into Level 3
2,153,849
          -
          -
          -
          -
2,153,849
(a)
Transfers out of Level 3
(1,206,012)
          -
          -
(22,687)
(710,000)
(1,938,699)
(a)
Balance as of August 31,
2012
$22,697,962
$105,100,856
$117,412,635
$8,983,244
 $11,488,706
$265,683,403
  
Change in unrealized
gains or losses relating to
assets still held at
reporting date
        $1,753,792
      $(7,547,396)
         $4,786,549
            $(26,002)
        $258,128
     $ (774,929)
  
 
 
 (a) Transferred due to an increase/decrease of observable market data for these securities.
 
For the nine months ended August 31, 2012, there was no security transfer activity between Level 1 and Level 2 for the Fund.
 
 
Federal Income Tax Basis: The federal income tax basis of the Fund’s investments at August 31, 2012 was as follows.
 
Cost of Investments
Gross Unrealized Appreciation
Gross Unrealized Depreciation
Net Unrealized Appreciation
$ 371,417,095
     $ 19,477,708
   $ (46,202,868)
$ (26,725,160)
 
Reverse Repurchase Agreements: The 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). The 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, 2012, the Fund had the following reverse repurchase agreements outstanding:

Face Value
  
Description
  
Maturity Amount
  
$ 2,371,501  
 Barclays, 0.95%, dated 08/17/12, maturity date 09/17/12
   $ 2,373,441  
  177,656  
 Barclays, 0.25%, dated 08/23/12, maturity date 09/21/12
     177,692  
  608,175  
 Barclays, 0.75%, dated 08/23/12, maturity date 09/21/12
     608,542  
  6,463,547  
 Barclays, 1.00%, dated 08/23/12, maturity date 09/21/12
     6,468,753  
  92,500  
 BNP Paribas, 0.50%, dated 08/13/12, maturity date 09/13/12
     92,540  
  1,041,500  
 Credit Suisse, 0.45%, dated 08/27/12, maturity date 09/28/12
     1,041,917  
  14,881,000  
 Goldman Sachs 0.39%, dated 06/08/12, maturity date 09/07/12
     14,895,670  
  2,760,000  
 JP Morgan Chase, 1.32%, dated 06/07/12, maturity date 09/07/12
     2,769,296  
  27,210,000  
 JP Morgan Chase, 1.24%, dated 08/17/12, maturity date 09/17/12
     27,238,984  
  16,825,000  
 JP Morgan Chase, 1.03%, dated 08/17/12, maturity date 09/17/12
     16,839,976  
  5,114,000  
 JP Morgan Chase, 0.46%, dated 06/18/12, maturity date 09/18/12
     5,120,012  
  1,834,900  
 JP Morgan Chase, 1.03%, dated 08/23/12, maturity date 09/24/12
     1,836,580  
  6,085,000  
 JP Morgan Chase, 0.43%, dated 07/12/12, maturity date 10/12/12
     6,091,687  
$ 85,464,779  
Maturity Amount, Including Interest Payable
   $ 85,555,090  
     
Market Value of Assets Sold Under Agreements
   $ 92,282,659  
     
Weighted Average Interest Rate
     0.90 %
               
 
The average daily balances of reverse repurchase agreements outstanding during the period ended August 31, 2012, was approximately $90,166,254 at a weighted average interest rate of 1.11% of the Fund.
 
The maximum amount of reverse repurchase agreements outstanding at any time during the period was $110,524,771, which was 30.33% of total assets of the 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.
 
The 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, 2012, there were no outstanding futures positions.
 
 
 
 

TBA Transactions: The Fund may enter into to-be-announced (“TBA”) transactions to hedge its 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. The 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.
 
A TBA transaction outstanding at August 31, 2012 was as follows:
 
    Purchases:

Security Name
  
Interest Rate
  
Principal
Amount
  
Current
Payable
Federal National Mortgage Association
  
       4.00%
  
 $4,000,000
  
$4,279,709


 
 
 

Item 2. Controls and Procedures.
 
(a) The Registrant's principal executive officer and principal financial officer have concluded that the Registrant's Disclosure Controls and Procedures are effective, based on their evaluation of such Disclosure Controls and Procedures as of a date within 90 days of the filing of this report on Form N-Q.
 
(b) As of the date of filing this Form N-Q, the Registrant's principal executive officer and principal financial officer are aware of no changes in the Registrant's internal control over financial reporting that occurred during the Registrant's last fiscal quarter that has materially affected or is reasonably likely to materially affect the Registrant's internal control over financial reporting.
 
Item 3. Exhibits
 
(a) Certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act. Filed herewith.


 
 
 
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)  Helios Total Return Fund, Inc.                                                             

 
By (Signature and Title)                  /s/ Kim G. Redding                                            
Kim G. Redding
Principal Executive Officer

Date             10/26/2012                                                                                                 



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 

By (Signature and Title)*               /s/ Kim G. Redding                                            
Kim G. Redding
Principal Executive Officer

Date             10/26/2012                                                                                                  

 
By (Signature and Title)*                /s/ Steven M. Pires                                           
Steven M. Pires
Treasurer and Principal Financial Officer

Date            10/26/2012                                                                                                  

* Print the name and title of each signing officer under his or her signature.