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


                                    FORM N-PX

                     ANNUAL REPORT OF PROXY VOTING RECORD OF
                    REGISTERED MANAGEMENT INVESTMENT COMPANY

                  Investment Company Act file number 811-21102

                THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
               (Exact name of registrant as specified in charter)

           THREE WORLD FINANCIAL CENTER, 200 VESEY STREET, 10TH FLOOR
                          NEW YORK, NEW YORK 10281-1010
               (Address of principal executive offices) (Zip code)

                           CLIFFORD E. LAI, PRESIDENT
                THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
           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: November 30


Date of reporting period:  July 1, 2005 through June 30, 2006






Item 1.  Proxy Voting Record.

     During the period  covered by this report,  the  Registrant  held no voting
securities.


                                    SIGNATURES


     Pursuant to the  requirements  of 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.

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.


By:  /s/ Clifford E. Lai
     ------------------------------
        Clifford E. Lai
        Principal Executive Officer

Date:  August 30, 2006