Rmk Strategic Income Fund Inc - Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
August 28 2008 - 2:49PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF
PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21487
RMK STRATEGIC INCOME FUND,
INC.
(Exact name of registrant as specified in Charter)
THREE WORLD FINANCIAL CENTER
200 VESEY STREET, 10TH FLOOR
NEW YORK, NY 10281
(Address of
principal executive offices) (Zip code)
JOHN J. FEENEY, JR.,
PRESIDENT
THREE WORLD FINANCIAL CENTER
200 VESEY STREET, 10TH FLOOR
NEW YORK, NEW YORK 10281-1010
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-HYPERION
Date of fiscal year end: March 31, 2008
Date of reporting period: June 30, 2008
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Item 1.
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Schedule of Investments.
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RMK STRATEGIC INCOME FUND, INC.
Portfolio of Investments
June 30, 2008 (Unaudited)
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Principal
Amount
Notional
Amount/
Shares
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Description
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Value ‡
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ASSET-BACKED SECURITIES - INVESTMENT GRADE* - 15.7%
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Collateralized Debt Obligations (“CDO”) - 8.2%
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2,000,000
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CDO Repack SPC Ltd. 2006-BRGA, Zero Coupon Bond 12/5/51 #~
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$
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200
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3,610,159
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High Income Trust Securities Inc. 2003-1A B, 3.258% 11/6/37 †#
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153,432
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1,000,000
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Kodiak CDO 2007-2A E, 6.020% 11/7/42 †#
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20,000
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2,981,700
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Millstone III-A CDO Ltd., Zero Coupon Bond 7/5/46 #~
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298
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998,140
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Preferred Term Securities XXVIII, Ltd., 4.526% 3/22/38 †#
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598,884
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6,000,000
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Steers Delaware Business Trust 2007-A, 5.491% 6/20/18 †#
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4,785,000
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5,557,814
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Home Equity Loans - 5.3%
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3,915,000
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Lake Country Mortgage Loan Trust 2006-HE1 M8, 5.233% 7/25/34 †#
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2,169,576
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1,097,697
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Residential Funding Mortgage Securities II 2007-HI1 A1, 2.613% 3/25/37#
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1,004,456
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12,705,552
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United Capital Markets, Inc. 2003-A, 2.300% 11/8/27 interest-only strips †#
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429,448
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3,603,480
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Manufactured Housing Loans- 2.2%
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2,033,935
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Mid-State Trust 2005-1 B, 7.758% 1/15/40
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1,529,151
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Total Asset-Backed Securities - Investment Grade* (cost $21,953,330)
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10,690,445
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ASSET-BACKED SECURITIES - BELOW INVESTMENT GRADE OR UNRATED* - 18.2%
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Certificate-Backed Obligations (“CBO”) - 0.1%
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2,420,547
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Helios Series I Multi-Asset CBO, Ltd. IA C, 5.904% 12/13/36 †#
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24,205
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1,902,416
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MKP CBO I Ltd., 4A CS 2.000% 7/12/40 †#
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9,512
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33,717
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Collateralized Debt Obligations (“CDO”) - 11.9%
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1,000,000
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801 Grand CDO 2006-1 LLC, 8.803% 9/20/16 †#
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470,000
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1,000,000
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Aardvark Asset-Backed Securities CDO 2007-1A, 7/6/47 in default #~
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100
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3,000,000
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Acacia CDO, Ltd. 10A, Zero Coupon Bond 9/7/46 †#~
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300
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4,000,000
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Aladdin CDO I Ltd. 2006-3A, 7.803% 10/31/13 †#
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280,000
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281,500
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Attentus CDO Ltd. 2006-2A E2, 8.395% 10/9/41 #
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28
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2,157,500
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Attentus CDO Ltd. 2006-2A F1, 7.710% 10/9/41 †#
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216
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733,900
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Attentus CDO Ltd. 2006-2A F2, 10.295% 10/9/41 #
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73
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3,144,700
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Attentus CDO Ltd. 2007-3A F2, 9.532% 10/11/42 †#
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314
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2,113,500
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Broderick CDO Ltd. 2007-3A D, 9.422% 12/6/50 †#
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211
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1,000,000
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Cairn Mezzanine Asset-Backed CDO PLC 2007-3A, 8/13/47 #~
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100
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4,000,000
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Dillon Read CDO Ltd. 2006-1A, 11.674% 12/5/46 †#
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840,000
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1,750,000
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Duane Park, 8.803% 6/27/16 †#
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310,625
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4,082,700
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Fiorente Funding Ltd. 2006-1A M1, 4.107% 11/4/56 †#
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408
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1,468,800
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Fort Dequesne CDO Ltd. 2006-1A D, 5.959% 10/26/46 †#
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147
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1,000,000
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Gulf Stream Atlantic CDO Ltd. 2007-1A, Zero Coupon Bond 7/13/47 †#~
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100
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1,000,000
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IXIS ABS 1 Ltd., Zero Coupon Bond 12/12/46 †#~
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100
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13,000,000
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Kenmore Street Synthetic CDO 2006-1A, 7.803% 4/30/14 †#
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1,040,000
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1,026,600
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Knollwood CDO Ltd. 2006-2A E, 8.710% 7/13/46 †#
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103
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3,000,000
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Knollwood CDO Ltd. 2006-2A SN, Zero Coupon Bond 7/13/46 #~
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300
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4,145,400
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Kodiak CDO 2006-1A, 2.891% 8/7/37 †#
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415
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3,185,300
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Kodiak CDO 2006-1A G, 6.270% 8/7/37 †#
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319
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4,916,800
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Lancer Funding Ltd. 2007-2A A3, 7/15/47 in default †#~
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492
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2,654,100
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Lincoln Avenue Asset-Backed Securities CDO Ltd., 6.023% 7/5/46 †#
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265
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2,000,000
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Lincoln Park Referenced Link Notes 2001-1, 6.319% 7/30/31 †#
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1,165,000
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2,000,000
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Linker Finance PLC 16A E, 5.983% 5/19/45 † #
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30,000
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1,057,300
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Newbury Street CDO Ltd. 2007-1A D, 6.476% 3/4/53 †#
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106
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1,961,800
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Norma CDO Ltd. 2007-1A E, 7.091% 3/11/49 †#
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196
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2,023,400
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Orchid Structured Finance CDO Ltd. 2006-3A E, 6.478% 1/6/46 †#
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202
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3,051,900
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Palmer Square 2A CN, 3.612% 11/2/45 †#
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305
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1,000,000
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Pasa Funding Ltd. 2007-1A D, 4/7/52 in default #~
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100
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1,000,000
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Preferred Term Securities II, Ltd., 10.000% 5/22/33 †#
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260,000
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3,000,000
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Preferred Term Securities XXI, Ltd., 10.000% 3/22/38 †#
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217,500
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999,070
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Preferred Term Securities XXI-2TR, 1.956% 3/22/38 †#
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249,768
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2,400,000
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Preferred Term Securities XXII, Ltd., Zero Coupon Bond 9/22/36 †~
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480,000
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3,200,000
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Preferred Term Securities XXIII, Ltd., Zero Coupon Bond 12/22/36 †~
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1,384,000
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2,000,000
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Preferred Term Securities XXVIII, Ltd., 10.000% 3/22/38 †#
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1,060,000
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1,000,000
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Regional Diversified Funding, Zero Coupon Bond 1/25/36 †#~
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200,000
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2,885,300
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Sharps CDO 2006-1A D, Zero Coupon Bond 5/8/46 †#~
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289
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1,046,400
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Squared CDO Ltd. 2007-1A C, 7.638% 5/11/57 †#
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105
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4,185,600
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Taberna Preferred Funding Ltd. 2006-6A, 6.096% 12/5/36 †#
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419
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3,102,900
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Taberna Preferred Funding Ltd. 2006-7A C1, 1.000% 2/5/37 †#
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310
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1,500,000
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Trapeza CDO I LLC 2006-10A, Zero Coupon Bond 6/6/41 #~
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7,500
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2,043,500
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Trapeza CDO I LLC 2006-10A D2, 8.700% 6/6/41 †#
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51,088
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2,000,000
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Trapeza CDO I LLC 2006-11A, Zero Coupon Bond 10/10/41 #~
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200
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2,051,020
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Trapeza CDO I LLC 2006-11A F, 10.204% 10/10/41 #
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20,510
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2,000
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WEBS CDO 2006-1 PS, 4/13/47 †#~
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20
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8,072,234
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Collateralized Loan Obligations (“CLO”) - 2.2%
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1,000
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Credit Genesis CLO 2005, 6/23/10 †#~
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650,000
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2,000,000
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Eirles Two Ltd. 262, 8.284% 8/3/21 #
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880,000
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1,530,000
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RMK STRATEGIC INCOME FUND, INC.
Portfolio of Investments
June 30, 2008 (Unaudited)
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Principal
Amount
Notional
Amount/
Shares
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Description
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Value ‡
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Equipment Leases - 3.0%
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8,438,000
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Aerco Limited 1X C1, Zero Coupon Bond 7/15/23 #~
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$
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84,380
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7,123,631
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Aerco Limited 2A B2, Zero Coupon Bond 7/15/25 †#~
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212,284
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9,511,900
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Aerco Limited 2A C2, Zero Coupon Bond 7/15/25 †#~
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951
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622,017
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DVI Receivables Corp. 2001-2 A3, 3.519% 11/8/31 #
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115,720
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872,912
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DVI Receivables Corp. 2001-2 A4, 4.613% 11/11/09 #
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178,240
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2,735,092
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Guggenheim Equipment Trust 2007-1A, 11.193% 7/15/31 †#
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1,441,448
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2,033,023
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Home Equity Loans - 1.0%
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157,265
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Aames Mortgage Trust 2001-3 B, 7.130% 11/25/31 #
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2,941
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838,702
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Amresco Residential Securities Mortgage Loan Trust 1999-1 B, Zero Coupon Bond 11/25/29 ~
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94,711
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2,325,700
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Asset-Backed Securities Corp. Home Equity 2002-HE3 M4, 6.971% 10/15/32
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478,689
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340,712
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Fremont Home Loan Trust 2004-4 M7, 4.203% 3/25/35
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|
97,707
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3,000,000
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Meritage Asset Holdings 2005-2 N4, 7.500% 11/25/35 †#
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|
300
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932,500
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Terwin Mortgage Trust 2005-7SL, Zero Coupon Bond 7/25/35 †#~
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|
93
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|
870,600
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Terwin Mortgage Trust 2005-11SL B7, Zero Coupon Bond 11/25/36 †#~
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522
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|
3,000,000
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Terwin Mortgage Trust 2005-R1, Zero Coupon Bond 12/28/36 †#~
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3,750
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678,713
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Total Asset-Backed Securities - Below Investment Grade or Unrated* (cost $125,908,361)
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12,347,687
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CORPORATE BONDS - INVESTMENT GRADE* - 1.1%
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Finance - 0.2%
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150,000
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Catlin Insurance Company Ltd., 7.249% 12/31/49 †
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|
109,490
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Special Purpose Entities - 0.9%
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2,000,000
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Fixed Income Pass-Through Trust 2007-C JPM Class B, Zero Coupon Bond 5/15/77 †#~
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660,000
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Total Corporate Bonds - Investment Grade* (cost $2,181,784)
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|
769,490
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CORPORATE BONDS - BELOW INVESTMENT GRADE OR UNRATED* - 34.2%
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Apparel - 3.3%
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3,817,000
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Rafaella Apparel Group Inc., 11.250% 6/15/11
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2,232,945
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Automotives - 2.3%
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950,000
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General Motors, 8.375% 7/15/33
|
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562,875
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3,575,000
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Metaldyne Corp., 11.000% 6/15/12
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|
965,250
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1,528,125
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Basic Materials - 1.5%
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|
1,075,000
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AmeriCast Technologies Inc., 11.000% 12/1/14 †
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|
997,063
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Communications - 3.0%
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|
|
|
3,450,000
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CCH I Holdings LLC, 11.750% 5/15/14
|
|
|
2,104,500
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|
Consulting Services - 3.2%
|
|
|
|
|
2,800,000
|
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MSX International Inc., 12.500% 4/1/12 †
|
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|
2,156,000
|
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|
|
Finance - 3.7%
|
|
|
|
|
2,450,000
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|
Advanta Capital Trust I, 8.990% 12/17/26
|
|
|
1,531,250
|
|
1,000,000
|
|
Assurance America, 10.500% 12/31/35 †#
|
|
|
980,000
|
|
500,000
|
|
Security Capital Assurance Ltd., 6/17/49 in default ~
|
|
|
2,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,513,750
|
|
|
|
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|
|
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|
Industrials - 2.2%
|
|
|
|
|
341,566
|
|
Home Products Inc., pays-in-kind 3/20/17 #~
|
|
|
33,439
|
|
175,000
|
|
Momentive Performance, 11.500% 12/1/16
|
|
|
130,375
|
|
2,240,000
|
|
Terphane Holding Corp., 12.500% 6/15/09 †
|
|
|
1,338,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,502,214
|
|
|
|
|
|
|
|
|
|
|
Manufacturing - 4.1%
|
|
|
|
|
1,000,000
|
|
JB Poindexter & Co. Inc., 8.750% 3/15/14
|
|
|
720,000
|
|
3,400,000
|
|
MAAX Corp., 6/15/12 in default ~
|
|
|
68,000
|
|
2,125,000
|
|
Wolverine Tube, Inc., 10.500% 4/1/09
|
|
|
1,976,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,764,250
|
|
|
|
|
|
|
|
|
|
|
Oil & Natural Gas - 1.9%
|
|
|
|
|
1,500,000
|
|
Seametric International, 11.625% 5/25/12 †#
|
|
|
1,320,000
|
|
|
|
Real Estate Managemet - 1.1%
|
|
|
|
|
1,550,000
|
|
Realogy Corp., 12.375% 4/15/15
|
|
|
759,500
|
|
|
|
Retail - 1.3%
|
|
|
|
|
1,284,000
|
|
Lazydays RV Center Inc., 11.750% 5/15/12
|
|
|
885,960
|
|
|
|
Special Purpose Entities - 0.4%
|
|
|
|
|
681,000
|
|
Interactive Health LLC, 7.250% 4/1/11 †
|
|
|
272,400
|
|
|
|
Telecommunications - 3.8%
|
|
|
|
|
3,260,000
|
|
Primus Telecommunications GP, 8.000% 1/15/14
|
|
|
1,043,200
|
|
2,075,000
|
|
Securus Technologies Inc., 11.000% 9/1/11
|
|
|
1,556,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,599,450
|
|
|
|
|
|
|
|
|
|
|
Tobacco - 2.4%
|
|
|
|
|
2,625,000
|
|
North Atlantic Trading Co., 9.250% 3/1/12
|
|
|
1,594,688
|
|
|
|
|
|
|
|
|
Total Corporate Bonds - Below Investment Grade or Unrated* (cost $38,286,132)
|
|
|
23,230,845
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES - INVESTMENT GRADE* - 6.9%
|
|
|
|
|
|
|
Collateralized Mortgage Obligations - 6.9%
|
|
|
|
|
581,443
|
|
Countrywide Alternative Loan Trust 2005-49CB A5, 5.500% 11/25/35
|
|
|
468,739
|
|
1,961,682
|
|
Countrywide Alternative Loan Trust 2005-56 M4, 3.403% 11/25/35 #
|
|
|
213,647
|
|
99,991,974
|
|
Countrywide Alternative Loan Trust 2006-HY12 A4X, 3.394% 8/25/36 interest-only strips
|
|
|
1,880,949
|
|
599,708
|
|
Deutsche Alt-A Securities Inc. Mortgage Loan 2006-AF1 A5, 2.763% 4/25/36
|
|
|
226,502
|
|
3,000,000
|
|
Deutsche Mortgage Securities, Inc. 2006-RS1 N2, 4.241% 9/27/35 †#
|
|
|
858,600
|
|
4,599,689
|
|
Harborview Mortgage Loan Trust 2004-1 X, 3.071% 4/19/34 interest-only strips #
|
|
|
144,522
|
|
13,147,829
|
|
Mellon Residential Funding Corp. 2004-TBC1 X, 0.535% 2/26/34 interest-only strips †#
|
|
|
72,839
|
|
116,579
|
|
Structured Asset Investment Loan Trust 2004-5A B, Zero Coupon Bond 6/27/34 †#~
|
|
|
1,562
|
|
3,000,000
|
|
Structured Asset Mortgage Investments Inc. 2006-AR3 1B1, 2.883% 4/25/36
|
|
|
511,023
|
|
733,464
|
|
Structured Asset Securities Corp. 1999-SP1, 9.000% 5/25/29
|
|
|
301,909
|
|
|
|
|
|
|
|
|
Total Mortgage-Backed Securities - Investment Grade* (cost $14,698,203)
|
|
|
4,680,292
|
|
|
|
|
|
|
|
RMK STRATEGIC INCOME FUND, INC.
Portfolio of Investments
June 30, 2008 (Unaudited)
|
|
|
|
|
|
|
|
Principal
Amount
Notional
Amount/
Shares
|
|
Description
|
|
Value ‡
|
|
MORTGAGE-BACKED SECURITIES - BELOW INVESTMENT GRADE OR UNRATED* - 13.5%
|
|
|
|
|
|
|
Collateralized Mortgage Obligations - 13.4%
|
|
|
|
|
1,115,570
|
|
Countrywide Alternative Loan Trust 2006-OA11 N3, 12.500% 9/25/46 † #
|
|
$
|
992,523
|
|
2,505,024
|
|
Countrywide Alternative Loan Trust 2006-6CB B4, 5.573% 5/25/36 #
|
|
|
83,918
|
|
3,000,000
|
|
Greenwich Structured Adjustable Rate Mortgage Products 2005-3A N2, 2.000% 6/27/35 †#
|
|
|
1,254,300
|
|
5,459,730
|
|
Greenwich Structured Adjustable Rate Mortgage Products 2005-4A N-2, Zero Coupon Bond 7/27/45 †#~
|
|
|
2,061,594
|
|
2,000,000
|
|
Harborview Corp. 2006-8A N5, Zero Coupon Bond 7/21/36 †#~
|
|
|
29,000
|
|
1,000,000
|
|
Harborview Corp. 2006-14 N4, 8.350% 3/19/38 †#
|
|
|
98,130
|
|
5,000,000
|
|
Harborview Corp. 2006-14 PS, Zero Coupon Bond 12/19/36 †#~
|
|
|
500
|
|
2,959,561
|
|
Harborview Mortgage Loan Trust 2006-4 B11, 4.233% 5/19/47 †#
|
|
|
71,266
|
|
4,979,597
|
|
Harborview Mortgage Loan Trust 2006-5 B1, 3.071% 7/19/47 #
|
|
|
68,469
|
|
5,000,000
|
|
Long Beach Asset Holdings Corp. 2005-WL1 N4, 7.500% 6/25/45 †#
|
|
|
500
|
|
933,110
|
|
Long Beach Mortgage Loan Trust 2005-WL2 B3, 4.983% 8/25/35 †#
|
|
|
5,365
|
|
7,332,303
|
|
Long Beach Mortgage Loan Trust 2006-A A1, 2.573% 5/25/36
|
|
|
1,264,800
|
|
7,934,645
|
|
Long Beach Mortgage Loan Trust 2006-A A2, 5.548% 5/25/36
|
|
|
1,568,608
|
|
1,021,600
|
|
Park Place Securities Inc. 2005-WCW1 B, Zero Coupon Bond 9/25/35 †#~
|
|
|
102
|
|
5,000,000
|
|
Park Place Securities Inc. 2005-WCW2 M10, 4.983% 7/25/35 #
|
|
|
265,500
|
|
3,000,000
|
|
Park Place Securities Inc. 2005-WHQ3 M11, 4.983% 6/25/35 #
|
|
|
147,000
|
|
1,000,000
|
|
Park Place Securities Inc. 2005-WHQ4, 4.983% 9/25/35 †#
|
|
|
27,800
|
|
3,000,939
|
|
Residential Accredit Loans Inc. 2006-Q08 M4, 3.013% 10/25/46 #
|
|
|
227,441
|
|
1,000,000
|
|
Sharp SP I LLC Trust 2006-A HM3 N3, 12.500% 10/25/46 †#
|
|
|
869,220
|
|
1,423,000
|
|
Structured Asset Investment Loan Trust 2003-BC1 B2, 9.000% 5/25/32
|
|
|
123,007
|
|
202,135
|
|
Structured Asset Securities Corp. 2004-S3 M9, 6.500% 11/25/34 †#
|
|
|
2,284
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,161,327
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities- 0.1%
|
|
|
|
|
9
|
|
Harborview 2006-8, 7/22/36 †#~
|
|
|
1
|
|
67,000
|
|
Indymac Indx CI-1 Corp., 6/25/46 †#~
|
|
|
669
|
|
|
|
|
|
|
|
|
|
|
|
|
|
670
|
|
|
|
|
|
|
|
|
Total Mortgage-Backed Securities - Below Investment Grade or Unrated* (cost $38,289,656)
|
|
|
9,161,997
|
|
|
|
|
|
|
|
|
MUNICIPAL SECURITIES - 0.1%
|
|
|
|
|
24,836
|
|
Pima County Arizona Health Care Facilities, Revenue Bonds, 6.274% 6/1/09
|
|
|
22,918
|
|
35,126
|
|
Pima County Arizona Health Care Facilities, Revenue Bonds, 6.455% 6/1/10
|
|
|
29,189
|
|
|
|
|
|
|
|
|
Total Municipal Securities (cost $56,472)
|
|
|
52,107
|
|
|
|
|
|
|
|
|
COMMON STOCKS - 2.1%
|
|
|
|
|
|
|
Consumer Products - 0.1%
|
|
|
|
|
13,663
|
|
Home Products #~
|
|
|
410
|
|
182,412
|
|
Insight Health Services Holdings Corp ~
|
|
|
72,965
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,375
|
|
|
|
|
|
|
|
|
|
|
Energy - 0.6%
|
|
|
|
|
120,700
|
|
Pinnacle Gas Resources, Inc. ~
|
|
|
434,520
|
|
|
|
Financials - 1.0%
|
|
|
|
|
26,200
|
|
FSI Realty Trust †~
|
|
|
32,750
|
|
92,000
|
|
FSI Realty Trust Regulation D †~
|
|
|
115,000
|
|
42,647
|
|
Mid Country †#~
|
|
|
554,411
|
|
|
|
|
|
|
|
|
|
|
|
|
|
702,161
|
|
|
|
|
|
|
|
|
|
|
Industrial - 0.3%
|
|
|
|
|
91,386
|
|
Intermet Corporation #~
|
|
|
10,966
|
|
1,050
|
|
Port Townsend Paper Corp. ~
|
|
|
164,588
|
|
|
|
|
|
|
|
|
|
|
|
|
|
175,554
|
|
|
|
|
|
|
|
|
|
|
Technology - 0.1%
|
|
|
|
|
5,193
|
|
Taiwan Semiconductor Manufacturing Company Ltd.
|
|
|
56,656
|
|
|
|
|
|
|
|
|
Total Common Stocks (cost $9,963,754)
|
|
|
1,442,266
|
|
|
|
|
|
|
|
|
EURODOLLAR TIME DEPOSITS - 6.0%
|
|
|
|
|
4,100,000
|
|
State Street Bank & Trust Company Eurodollar time deposits dated June 30, 2008, 0.850% maturing at $4,100,097 on July 1,
2008.
|
|
|
4,100,000
|
|
|
|
|
|
|
|
|
Total Investments - 97.8% (cost $255,437,692)
|
|
|
66,475,129
|
|
|
|
|
|
|
|
|
Other Assets and Liabilities, net - 2.2%
|
|
|
1,409,839
|
|
|
|
|
|
|
|
|
Net Assets
|
|
$
|
67,884,968
|
|
|
|
|
|
|
|
|
†
|
Securities sold within the terms of a private placement memorandum, exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be resold in
transactions exempt from registration, normally to qualified institutional buyers.
|
|
‡
|
See Note 2 of the accompanying Notes to the Financial Statements regarding investment valuations.
|
|
~
|
Non-income producing security.
|
|
#
|
Security valued at fair value – See Note 2 of the accompaning Notes to the Financial Statements regarding investment valuations.
|
The Notes to the Financial
Statements are an integral part of, and should be read in conjunction with, the Financial Statements.
Valuation of Investments:
Where market quotations are readily available, securities held by the Fund are valued
based upon the current bid price, except preferred stocks, which are valued based upon the closing price. Securities may be valued by independent pricing services that have been approved by the Board of Directors. The prices provided by a pricing
service take into account broker dealer market price quotations for institutional size trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific
securities. The Fund values mortgage-backed securities (“MBS”) and other debt securities for which market quotations are not readily available at their fair value as determined in good faith, utilizing procedures approved by the Board of
Directors of the Fund, on the basis of information provided by dealers in such securities. Some of the general factors which may be considered in determining fair value include the fundamental analytic data relating to the investment and an
evaluation of the forces which influence the market in which these securities are purchased and sold. Determination of fair value involves subjective judgment, as the actual market value of a particular security can be established only by
negotiations between the parties in a sales transaction. Debt securities having a remaining maturity of sixty days or less when purchased and debt securities originally purchased with maturities in excess of sixty days but which currently have
maturities of sixty days or less are valued at amortized cost.
The ability of issuers of debt securities held by the Fund to meet their obligations may be
affected by economic developments in a specific industry or region. The values of MBS can be significantly affected by changes in interest rates or in the financial condition of an issuer or market.
FAS 157
: Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
|
|
•
|
|
Level 1 — quoted prices in active markets for identical securities
|
|
|
•
|
|
Level 2 — other significant observable inputs (including quoted prices for similar securities, 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 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 June 30, 2008, in valuing the Fund’s assets carried at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Investments in Securities
|
|
|
RMK
Advantage Income
Fund
|
|
RMK
High Income
Fund
|
|
RMK
Multi-Sector
High Income
Fund
|
|
RMK
Strategic Income
Fund
|
|
Level 1 - Quoted Prices
|
|
$
|
30,573,345
|
|
$
|
24,176,440
|
|
$
|
21,365,879
|
|
$
|
20,797,683
|
|
Level 2 - Other Significant Observable Inputs
|
|
|
18,922,583
|
|
|
13,673,810
|
|
|
14,534,344
|
|
|
16,999,711
|
|
Level 3 - Significant Unobservable Inputs
|
|
|
36,620,936
|
|
|
23,865,398
|
|
|
42,646,653
|
|
|
28,677,735
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
86,116,864
|
|
$
|
61,715,648
|
|
$
|
78,546,876
|
|
$
|
66,475,129
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Reconciliation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
RMK
Advantage Income
Fund
|
|
|
RMK
High Income
Fund
|
|
|
RMK
Multi-Sector
High Income
Fund
|
|
|
RMK
Strategic Income
Fund
|
|
|
Balance as of March 31, 2008
|
|
$
|
64,930,271
|
|
|
$
|
42,248,380
|
|
|
$
|
69,393,904
|
|
|
$
|
55,312,805
|
|
|
Net purchases/(sales) at cost
|
|
|
(8,798,339
|
)
|
|
|
(3,834,035
|
)
|
|
|
(4,401,763
|
)
|
|
|
(9,099,336
|
)
|
|
Realized gain/(loss)
|
|
|
(31,206,464
|
)
|
|
|
(25,506,501
|
)
|
|
|
(35,237,192
|
)
|
|
|
(25,428,591
|
)
|
|
Change in unrealized appreciation/(depreciation)
|
|
|
12,374,999
|
|
|
|
11,467,578
|
|
|
|
13,894,304
|
|
|
|
8,425,479
|
|
|
Accretion/(amortization)
|
|
|
(19,531
|
)
|
|
|
(2,244
|
)
|
|
|
(12,600
|
)
|
|
|
(17,144
|
)
|
|
Transfers in and/or out of Level 3
|
|
|
(660,000
|
)
|
|
|
(507,780
|
)
|
|
|
(990,000
|
)
|
|
|
(515,478
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of June 30, 2008
|
|
$
|
36,620,936
|
|
|
$
|
23,865,398
|
|
|
$
|
42,646,653
|
|
|
$
|
28,677,735
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
The certifications required by Rule 30a-2(a) of the 1940
Act are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Fund has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized.
(Fund): RMK Strategic Income Fund, Inc.
|
|
|
|
|
|
|
by (Signature and Title):
|
|
/s/ John J. Feeney, Jr.
|
|
|
|
|
|
John J. Feeney, Jr.
|
|
|
|
|
|
President and Principal Executive Officer
|
|
|
Date: August 27, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Fund and
in the capacities and on the dates indicated.
|
|
|
|
|
|
|
by (Signature and Title):
|
|
/s/ John J. Feeney, Jr.
|
|
|
|
|
|
John J. Feeney, Jr.
|
|
|
|
|
|
President and Principal Executive Officer
|
|
|
Date: August 27, 2008
|
|
|
|
|
|
|
by (Signature and Title):
|
|
/s/ Thomas F. Doodian
|
|
|
|
|
|
Thomas F. Doodian,
|
|
|
|
|
|
Treasurer and Principal Financial Officers
|
|
|
Date: August 27, 2008
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