UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

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, NY 10281-1010
(Address of principal executive offices) (Zip code)

Thomas F. Doodian, Three World Financial Center, 200 Vesey Street, New York, NY 10281-1010
(Name and address of agent for service)

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

Date of fiscal year end: November 30, 2007

Date of reporting period: February 28, 2007

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, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

 

 

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
February 28, 2007

Item 1. Schedule of Investments

										Principal
		Interest								Amount
		Rate				Maturity				(000s)				Value
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 68.2%
U.S. Government Agency Pass-Through Certificates - 48.8%
Federal Home Loan Mortgage Corporation
Pool A14559			6.50	%			09/01/33			$	1,791			$	1,834,538
Pool C68878			7.00				06/01/32				383				396,687
Pool C69047			7.00				06/01/32				981				1,013,405
Pool G01466			9.50				12/01/22				973				1,054,843
Pool 555559			10.00				03/01/21				996				1,107,594
															5,407,067
Federal National Mortgage Association
TBA			5.50				04/01/33				5,000				4,959,375
TBA			6.00				12/01/35				5,000				5,040,625
Pool 694391			5.50				03/01/33				3,315				3,296,367
Pool 753914			5.50				12/01/33				7,065	@			7,024,454
Pool 754355			6.00				12/01/33				3,006				3,041,341
Pool 761836			6.00				06/01/33				2,431				2,461,983
Pool 763643			6.00				01/01/34				6,079	@			6,143,906
Pool 255413			6.50				10/01/34				6,854	@			7,005,291
Pool 795367			6.50				09/01/34				2,637				2,694,998
Pool 809989			6.50				03/01/35				2,781				2,835,959
Pool 626299			7.00				06/01/32				354				366,054
Pool 635095			7.00				06/01/32				762				786,846
Pool 641575			7.00				04/01/32				117				121,353
Pool 645399			7.00				05/01/32				1,830				1,891,109
Pool 645466			7.00				05/01/32				1,995				2,060,828
Pool 650131			7.00				07/01/32				1,193				1,233,232
Pool 819251			7.50				05/01/35				2,506				2,588,465
Pool 887431			7.50				08/01/36				1,317				1,352,671
Pool 398800			8.00				06/01/12				469				484,674
Pool 827854			8.00				10/01/29				1,979				2,096,838
Pool 636449			8.50				04/01/32				1,754				1,887,123
Pool 823757			8.50				10/01/29				2,778				2,986,982
Pool 458132			9.47				03/15/31				1,344				1,471,778
															63,832,252
Total U.S. Government Agency Pass-Through Certificates
(Cost — $69,955,671)															69,239,319
U.S. Treasury Obligations - 19.4%
United States Treasury Notes			4.50				02/15/16				3,000	@			2,988,633
United States Treasury Notes			4.63				11/15/16				24,500	@			24,608,143
Total U.S. Treasury Obligations
(Cost — $27,666,371)															27,596,776
Total U.S. Government & Agency Obligations
(Cost — $97,622,042)															96,836,095
ASSET-BACKED SECURITIES - 9.9%
Housing Related Asset-Backed Securities - 8.5%
Asset Backed Funding Certificates
Series 2005-AQ1, Class B1* (b)			5.75/6.25				06/25/35				993				863,608
Series 2005-AQ1, Class B2* (b)			5.75/6.25				06/25/35				1,050				905,083
															1,768,691
First Franklin Mortgage Loan Asset Backed Certificates
Series 2004-FFH2C, Class B1* (a)			8.82	†			06/25/34				1,250				875,000
Green Tree Financial Corp.
Series 1997-3, Class M1			7.53				03/15/28				2,000				1,490,000
Series 1995-6, Class M1			8.10				09/15/26				4,325				4,525,031
															6,015,031

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
February 28, 2007

										Principal
		Interest								Amount
		Rate				Maturity				(000s)				Value
ASSET-BACKED SECURITIES (continued)
Mid-State Trust
Series 2004-1, Class M2			8.11	%			08/15/37			$	1,322			$	1,412,150
Structured Asset Investment Loan Trust
Series 2004-4, Class B* (b)			5.00/5.50				04/25/34				1,500				1,003,650
Series 2004-8, Class B1(a)			7.82	†			09/25/34				1,000				983,800
															1,987,450
Total Housing Related Asset-Backed Securities
(Cost — $12,795,508)															12,058,322
Non-Housing Related Asset-Backed Securities - 1.4%
Airplanes Pass Through Trust
Series 1R, Class A8 (Cost $1,754,064)			5.70	†			03/15/19				2,021				1,965,723
Total Asset-Backed Securities
(Cost — $14,549,572)															14,024,045
COMMERCIAL MORTGAGE BACKED SECURITIES - 28.7%
Banc America Commercial Mortgage, Inc.
Series 2006-1, Class J*			5.78				09/10/45				1,000				976,976
Bear Stearns Commercial Mortgage Securities
Series 2006-PWR13, Class K			5.26				09/11/41				347				295,533
Series 2006-PWR11, Class H*			5.63				03/11/39				1,100				1,061,605
Series 2006-PWR13, Class H			6.03				09/11/41				2,450				2,481,875
Series 1999-C1, Class D			6.53				02/14/31				2,500				2,672,050
Series 2000-WF1, Class E			7.89	†			02/15/32				2,000				2,154,200
															8,665,263
CD 2006 CD2
Series 2006-CD2, Class K*			5.09				01/11/46				1,016				897,887
Series 2006-CD2, Class L*			5.09				01/15/46				991				834,725
Series 2006-CD2, Class J*			5.48				01/11/46				1,000				962,044
															2,694,656
Credit Suisse Mortgage Capital Certificates
Series 2006-C4, Class L*			5.15				09/15/39				513				439,475
Series 2006-C4, Class M*			5.15				09/15/39				565				472,077
Series 2006-C1, Class K*			5.56	†			02/15/16				2,358				2,281,643
Series 2006-C4, Class K*			6.30				09/15/39				2,970				2,972,554
															6,165,749
GE Capital Commercial Mortgage Corp.
Series 2002-2A, Class G*			6.04				08/11/36				3,000				3,115,650
Series 2000-1, Class G*			6.13				01/15/33				1,000				615,000
Series 2002-2A, Class H*			6.31				08/11/36				2,000				2,091,612
															5,822,262
GMAC Commercial Mortgage Securities
Series 2006-C1, Class G*			5.61				11/10/45				2,500				2,464,855
JP Morgan Chase Commercial Mortgage Securities
Series 2003-LN1, Class G*			5.43	†			10/15/37				1,600				1,602,374
Series 2006-CIBC14, Class H*			5.54	†			12/12/44				1,211				1,177,390
															2,779,764
Morgan Stanley Capital I
Series 2004-HQ4, Class G*			5.53				09/14/14				1,000				991,447
Series 1999-FNV1, Class E			7.57	†			03/15/31				2,000				2,082,380
															3,073,827
Nationslink Funding Corp.
Series 1998-2, Class E			7.11				08/20/30				4,000				4,134,004
UBS 400 Atlantic Street Mortgage Trust
Series 2002-C1A, Class B3*			7.19				01/11/22				2,000				2,116,960

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
February 28, 2007

										Principal
		Interest								Amount
		Rate				Maturity				(000s)				Value
COMMERCIAL MORTGAGE BACKED SECURITIES (continued)
Wachovia Bank Commercial Mortgage Trust
Series 2005-C16, Class H*			5.30	%†			10/15/41			$	2,000			$	1,941,686
Total Commercial Mortgage Backed Securities
(Cost — $40,311,948)															40,836,002
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 28.6%
Subordinated Collateralized Mortgage Obligations - 28.6%
Banc of America Funding Corp.
Series 2005-2, Class B4			5.66	†			04/25/35				859				719,282
Series 2005-2, Class B5			5.66	†			04/25/35				688				446,062
Series 2005-2, Class B6			5.66	†			04/25/35				517				169,196
															1,334,540
Bank of America Alternative Loan Trust
Series 2004-3, Class 30B4			5.50				04/25/34				981				775,726
Series 2004-3, Class 30B5			5.50				04/25/34				688				356,158
															1,131,884
Bank of America Mortgage Securities, Inc.
Series 2004-A, Class B4			4.09	†			02/25/34				1,889				1,810,030
Series 2003-10, Class 1B4			5.50				01/25/34				547				453,612
Series 2002-10, Class 1B3			6.00				11/25/32				1,413				1,407,761
															3,671,403
Cendant Mortgage Corp.
Series 2002-4, Class B1			6.50				07/25/32				2,533				2,522,847
Series 2002-4, Class B2			6.50				07/25/32				1,013				1,009,139
Series 2002-4, Class B3			6.50				07/25/32				591				600,880
Series 2002-4, Class B4			6.50				07/25/32				338				341,533
Series 2002-4, Class B5			6.50				07/25/32				253				248,229
Series 2002-4, Class B6*			6.50				07/25/32				338				287,068
															5,009,696
First Horizon Alternative Mortgage Securities
Series 2005-AA6, Class B4			5.45	†			08/25/35				846				774,262
Series 2005-AA6, Class B5			5.45	†			08/25/35				796				635,254
Series 2005-AA6, Class B6			5.45	†			08/25/35				497				141,505
															1,551,021
First Horizon Mortgage Pass-Through Trust
Series 2005-4, Class B4*			5.45	†			07/25/35				417				350,106
Series 2005-5, Class B4*			5.46	†			10/25/35				715				597,905
Series 2005-5, Class B5*			5.46	†			10/25/35				536				339,643
Series 2005-5, Class B6*			5.46	†			10/25/35				537				158,481
															1,446,135
G3 Mortgage Reinsurance Ltd.
Series 1, Class E*			25.32	†			05/25/08				4,097				4,363,535
Harborview Mortgage Loan Trust
Series 2005-14, Class B4*			5.58	†			12/19/35				394				340,272
Series 2005-1, Class B4* (a)			7.07	†			03/19/35				615				564,014
Series 2005-1, Class B5* (a)			7.07	†			03/19/35				894				734,677
Series 2005-1, Class B6* (a)			7.07	†			03/19/35				1,118				279,600
Series 2005-2, Class B4* (a)			7.07	†			05/19/35				1,488				1,344,741
															3,263,304
JP Morgan Mortgage Trust
Series 2003-A1, Class B4			4.47	†			10/25/33				533				480,975
Series 2006-A6, Class B5			6.03				10/25/36				915				681,872
Series 2006-A6, Class B6			6.03				10/25/36				1,145				423,501
															1,586,348

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
February 28, 2007

										Principal
		Interest								Amount
		Rate				Maturity				(000s)				Value
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued)
Residential Funding Mortgage Securities I, Inc.
Series 2004-S1, Class B2			5.25	%			02/25/34			$	443			$	299,408
Series 2003-S7, Class B2			5.50				05/25/33				516				216,749
Series 2003-S7, Class B3			5.50				05/25/33				313				213,469
Series 2006-SA1, Class B2*			5.67				02/25/36				823				647,320
Series 2006-SA1, Class B3*			5.67				02/25/36				686				250,412
															1,627,358
Resix Finance Limited Credit-Linked Note
Series 2005-C, Class B7*			8.42	†			09/10/37				1,960				1,960,395
Series 2004-C, Class B7*			8.82	†			09/10/36				965				984,558
Series 2006-C, Class B9*			9.47	†			07/15/38				1,499				1,509,890
Series 2004-B, Class B8*			10.07	†			02/10/36				781				804,348
Series 2003-CB1, Class B8*			12.07	†			06/10/35				936				978,289
Series 2004-B, Class B9*			13.57	†			02/10/36				1,196				1,256,076
Series 2004-A, Class B10*			16.82	†			02/10/36				478				508,883
															8,002,439
Structured Asset Mortgage Investments, Inc.
Series 2002-AR1, Class B4			7.16	†			03/25/32				288				287,310
Structured Asset Securities Corporation
Series 2005-6, Class B5			5.34	†			05/25/35				488				400,405
Series 2005-6, Class B6			5.34	†			05/25/35				488				316,040
Series 2005-6, Class B7			5.34	†			05/25/35				340				101,956
															818,401
Washington Mutual Mortgage Securities Corp.
Series 2002-AR12, Class B4			4.65	†			10/25/32				715				709,492
Series 2002-AR12, Class B5			4.65	†			10/25/32				536				532,903
Series 2002-AR12, Class B6			4.65	†			10/25/32				894				697,499
Series 2002-AR10, Class B4*			4.92	†			10/25/32				658				652,340
Series 2002-AR10, Class B5*			4.92	†			10/25/32				493				485,870
Series 2002-AR10, Class B6*			4.92	†			10/25/32				823				699,452
Series 2002-AR11, Class B5			5.11	†			10/25/32				409				407,952
Series 2002-AR11, Class B6			5.11	†			10/25/32				549				467,067
Series 2005-AR2, Class B10* (a)			6.55	†			01/25/45				1,750				1,585,041
															6,237,616
Wells Fargo Mortgage Backed Securities Trust
Series 2002, Class B5			6.00				06/25/32				352				349,286
Total Subordinated Collateralized Mortgage Obligations
(Cost — $39,883,470)															40,680,276
Total Non-Agency Residential Mortgage Backed Securities
(Cost — $39,883,470)															40,680,276
SHORT TERM INVESTMENT - 0.1%
United States Treasury Bill (cost $99,813)			4.63				03/15/07				100	#			99,800
Total Investments - 135.5%
(Cost — $192,466,845)															192,476,218
Liabilities in Excess of Other Assets — (35.5)%															(50,437,857	)
NET ASSETS - 100.0%														$	142,038,361

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
February 28, 2007

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 (approximately 24% of the investments in securities held by the Fund at February 28, 2007) 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.

Reverse Repurchase Agreements: The Fund may enter into reverse repurchase agreements with the same parties with whom it may enter into repurchase agreements. Under a reverse repurchase agreement, the 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 Fund unless, at the time it enters into a reverse repurchase agreement, it establishes and maintains a segregated account with its custodian containing securities from its portfolio having a value not less than the repurchase price (including accrued interest). The Fund has established and maintained such an account 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 the 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.

At February 28, 2007, the Fund had the following reverse repurchase agreements outstanding:

Face Value				Description		Maturity Amount
$	2,238,000			CS First Boston 5.30%, dated 02/27/07, maturity date 03/27/07			$   2,247,226
	24,592,000			Greenwich Capital 5.13%, dated 02/22/07, maturity date 03/01/07			24,616,507
	2,970,000			Greenwich Capital 4.75%, dated 02/26/07, maturity date 03/01/07			2,971,176
	6,789,000			Lehman Brothers 5.30%, dated 02/20/07, maturity date 03/20/07			6,816,986
	5,959,000			Morgan Stanley 5.30%, dated 02/20/07, maturity date 03/20/07			5,983,564
$	42,548,000
				Maturity Amount, Including Interest Payable			$ 42,635,459
				Market Value of Assets Sold Under Agreements			$ 43,076,969
				Weighted Average Interest Rate			5.16	%

The average daily balance of reverse repurchase agreements outstanding during the three months ended February 28, 2007, was approximately $46,065,319 at a weighted average interest rate of 4.78%. The maximum amount of reverse repurchase

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
February 28, 2007

agreements outstanding at any time during the period was $47,989,470 as of December 11, 2006, which was 28.14% of total assets.

Swap agreements: The Fund may enter into swap agreements to manage its exposure to various risks. An interest rate swap agreement involves the exchange by the Fund with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. A total rate of return swap agreement is a derivative contract in which one party (the receiver) receives the total return of a specific index on a notional amount of principal from a second party (the seller) in return for paying a funding cost, which is usually quoted in relation to the London Inter-Bank Offer Rate (“LIBOR”). During the life of the agreement, there are periodic exchanges of cash flows in which the index receiver pays the LIBOR based interest on the notional principal amount and receives (or pays if the total return is negative or spreads widen) the index total return on the notional principal amount. A credit default swap is an agreement between a protection buyer and a protection seller whereby the buyer agrees to periodically pay the seller a premium, generally expressed in terms of interest on a notional principal amount, over a specified period in exchange for receiving compensation from the seller when an underlying reference debt obligation is subject to one or more specified adverse credit events (such as bankruptcy, failure to pay, acceleration of indebtedness, restructuring, or repudiation/moratorium). The Fund will usually enter into swaps on a net basis, i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Swaps are marked to market based upon quotations from market makers and the change, if any, along with an accrual for periodic payments due or owed is recorded as unrealized gain or loss in the Statement of Operations. Net payments on swap agreements are included as part of realized gain/loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks include the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, that there may be unfavorable changes in the fluctuation of interest rates or the occurrence of adverse credit events on reference debt obligations.

As of February 28, 2007, the following swap agreements were outstanding:

										Net
										Unrealized
						Expiration				Appreciation/
		Notional Amount				Date		Description		Depreciation
		$	5,000,000			10/15/48		Agreement with Bear Stearns and Co., dated 11/28/06 to receive monthly the notional amount multiplied by 0.750% and pay in the event of a write down or failure to pay a principal payment or Wachovia Bank Commercial Mortgage Trust 5.977%, 10/15/48.		$	35,180
			5,000,000			10/12/41		Agreement with Greenwich Capital, Inc., dated 12/1/06 to receive monthly the notional amount multiplied by 0.750% and pay in the event of a write down, failure to pay a principal payment or an interest shortfall on BSCMS 2006-T24 H.			(123,251	)
			5,000,000			8/12/41		Agreement with Greenwich Capital, Inc., dated 12/1/06 to receive monthly the notional amount multiplied by 0.750% and pay in the event of a write down, failure to pay a principal payment or an interest shortfall on MSC 2006-T23 H.			(110,151	)
			20,000,000			10/11/10		Agreement with Morgan Stanley Capital Services, Inc., dated 10/07/05 to pay semi-annually the notional amount multiplied by 4.716% and to receive quarterly the notional amount multiplied by 3 month USD-LIBOR-BBA.			(63,981	)
			11,000,000			12/15/14		Agreement with Morgan Stanley Capital Services, Inc., dated 12/13/04 to pay semi-annually the notional amount multiplied by 4.555% and to receive quarterly the notional amount multiplied by 3 month USD-LIBOR-BBA.			365,338

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.
February 28, 2007

Net

Unrealized

Expiration

Appreciation/

Notional Amount

Date

Description

Depreciation

5,000,000

3/15/49

Agreement with Royal Bank of Scotland, dated 2/28/07 to receive monthly the notional amount multiplied by 0.870% and pay in the event of a write down, failure to pay a principal payment or an interest shortfall on CMBX-2006.02.

$ (210,678

)

$ (107,543

)

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, the 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, the 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. The Fund is at risk that it may not be able to close out a transaction because of an illiquid market.

As of February 28, 2007, the following futures contracts were outstanding:

Long:

Notional

Cost at

Value at

Unrealized

Amount

Type

Expiration Date

Trade Date

February 28, 2007

Appreciation

$16,000,000

5 Yr. U.S. Treasury Note

June 2007

$

16,818,704

$

16,952,500

$

133,796

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.

THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC.

Date: April 18, 2007

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.