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