nvq
 

 
 
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 811-21102
The Hyperion Brookfield 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: August 31, 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 BROOKFIELD STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 2007
Item 1. Schedule of Investments
                                 
                    Principal        
    Interest             Amount        
    Rate     Maturity     (000s)     Value  
 
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 59.2%
                                
U.S. Government Agency Pass-Through Certificates - 45.1%
                                
Federal Home Loan Mortgage Corporation
                                
Pool C69047
     7.00 %     06/01/32     $ 921     $ 949,476  
Pool G01466
     9.50       12/01/22       871       945,071  
Pool 555559
     10.00       03/01/21       806       891,603  
 
                              
 
                             2,786,150  
 
                              
 
                                
Federal National Mortgage Association
                                
TBA
     5.50       04/01/33       10,000       9,765,620  
Pool 694391
     5.50       03/01/33       3,283       3,215,345  
Pool 753914
     5.50       12/01/33       6,428       6,296,039  
Pool 754355
     6.00       12/01/33       2,653       2,659,898  
Pool 761836
     6.00       06/01/33       2,408       2,417,358  
Pool 763643
     6.00       01/01/34       5,587       5,594,174  
Pool 255413
     6.50       10/01/34       6,162       6,276,381  
Pool 795367
     6.50       09/01/34       2,013       2,050,452  
Pool 809989
     6.50       03/01/35       2,642       2,685,893  
Pool 650131
     7.00       07/01/32       1,184       1,227,693  
Pool 819251
     7.50       05/01/35       1,766       1,828,457  
Pool 887431
     7.50       08/01/36       1,098       1,130,816  
Pool 398800
     8.00       06/01/12       399       413,039  
Pool 827854
     8.00       10/01/29       1,689       1,787,466  
Pool 636449
     8.50       04/01/32       1,454       1,561,617  
Pool 823757
     8.50       10/01/29       2,596       2,787,564  
Pool 458132
     9.47       03/15/31       1,198       1,311,432  
 
                              
 
                             53,009,244  
 
                              
Total U.S. Government Agency Pass-Through Certificates
(Cost - $56,607,570)
                             55,795,394  
 
                              
 
                                
U.S. Treasury Obligations - 14.1%
                                
United States Treasury Notes
     4.50       02/15/16       3,000 @     3,001,173  
United States Treasury Notes
     4.50       05/15/17       14,500 @     14,438,824  
 
                              
 
                                
Total U.S. Treasury Obligations
(Cost - $17,127,230)
                             17,439,997  
 
                              
 
                                
Total U.S. Government & Agency Obligations
(Cost - $73,734,800)
                             73,235,391  
 
                              
 
                                
ASSET-BACKED SECURITIES - 8.0%
                                
 
Housing Related Asset-Backed Securities - 6.5%
                                
Asset Backed Funding Certificates
                                
Series 2005-AQ1, Class B1* (b)
     5.75/6.25       06/25/35       993       669,497  
Series 2005-AQ1, Class B2* (b)
     5.75/6.25       06/25/35       1,050       689,409  
 
                              
 
                             1,358,906  
 
                              
 
                                
First Franklin Mortgage Loan Asset Backed Certificates
                                
Series 2004-FFH2C, Class B1* (a)
     8.82 †     06/25/34       525       131,303  
Green Tree Financial Corp.
                                
Series 1995-6, Class M1 (d)
     8.10       09/15/26       4,325       4,283,649  
Mid-State Trust
                                
Series 2004-1, Class M2
     8.11       08/15/37       1,218       1,226,784  
Structured Asset Investment Loan Trust
                                
Series 2004-4, Class B* (b) (d)
     5.00/5.50       04/25/34       496       30,443  
Series 2004-8, Class B1(a) (d)
     7.82 †     09/25/34       1,000       996,386  
 
                              
 
                             1,026,829  
 
                              
 
                                
Total Housing Related Asset-Backed Securities
(Cost - $9,628,399)
                             8,027,471  
 
                              

1

 

THE HYPERION BROOKFIELD STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 2007
                                 
                    Principal        
    Interest             Amount        
    Rate     Maturity     (000s)     Value  
 
ASSET-BACKED SECURITIES (continued)
                                
 
                                
Non-Housing Related Asset-Backed Securities - 1.5%
                                
Airplanes Pass Through Trust
                                
Series 1R, Class A8
(cost $1,684,129)
     5.70% †     03/15/19     $ 1,829     $ 1,791,960  
 
                              
 
                                
Total Asset-Backed Securities
(Cost - $11,312,528)
                             9,819,431  
 
                              
 
                                
COMMERCIAL MORTGAGE BACKED SECURITIES - 25.6%
                                
Banc America Commercial Mortgage, Inc.
                                
Series 2007-2, Class L
     5.37       04/10/49       1,127       773,765  
Series 2007-2, Class K
     5.70       04/10/49       3,000       2,160,623  
Series 2006-1, Class J*
     5.78       09/10/45       1,000       754,853  
 
                              
 
                             3,689,241  
 
                              
 
                                
Bear Stearns Commercial Mortgage Securities
                                
Series 2006-PWR13, Class K
     5.26       09/11/41       347       225,114  
Series 2006-PWR11, Class H*
     5.63       03/11/39       1,100       825,146  
Series 2006-PWR13, Class H
     6.03       09/11/41       2,450       1,895,528  
Series 1999-C1, Class D
     6.53       02/14/31       2,500       2,495,705  
 
                              
 
                             5,441,493  
 
                              
 
                                
CD 2006 CD2
                                
Series 2006-CD2, Class J*
     5.48       01/11/46       1,000       747,857  
Credit Suisse Mortgage Capital Certificates
                                
Series 2006-C4, Class L*
     5.15       09/15/39       513       362,815  
Series 2006-C4, Class M*
     5.15       09/15/39       565       380,538  
Series 2006-C1, Class K*
     5.55 †     02/15/16       2,358       1,780,566  
Series 2006-C4, Class K*
     6.30       09/15/36       2,970       2,327,332  
 
                              
 
                             4,851,251  
 
                              
 
                                
GE Capital Commercial Mortgage Corp.
                                
Series 2002-2A, Class G*
     6.04       08/11/36       3,000       2,956,161  
Series 2002-2A, Class H*
     6.31       08/11/36       2,000       2,011,765  
 
                              
 
                             4,967,926  
 
                              
 
                                
GMAC Commercial Mortgage Securities
                                
Series 2006-C1, Class G*
     5.61       11/10/45       2,500       2,081,298  
JP Morgan Chase Commercial Mortgage Securities
                                
Series 2003-LN1, Class G*
     5.43 †     10/15/37       1,600       1,460,256  
Series 2006-CIBC14, Class H*
     5.72 †     12/12/44       1,211       921,341  
Series 2007-LD11, Class K
     6.01       06/15/49       1,879       1,388,994  
 
                              
 
                             3,770,591  
 
                              
 
                                
Morgan Stanley Capital I
                                
Series 2004-HQ4, Class G*
     5.53       09/14/14       1,000       933,530  
UBS 400 Atlantic Street Mortgage Trust
                                
Series 2002-C1A, Class B3*
     7.19       01/11/22       2,000       2,145,968  
Wachovia Bank Commercial Mortgage Trust
                                
Series 2007-C31A, Class L*
     5.13       04/15/47       1,788       1,338,441  
Series 2005-C16, Class H*
     5.36 †     10/15/41       2,000       1,655,350  
 
                              
 
                                
 
                             2,993,791  
 
                              
Total Commercial Mortgage Backed Securities
(Cost - $36,014,341)
                             31,622,946  
 
                              
 
                                
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 26.8%
              
 
                                
Subordinated Collateralized Mortgage Obligations - 26.8%
                                
 
                                
Banc of America Funding Corp.
                                
Series 2005-2, Class B4
     5.66 †     04/25/35       853       611,040  
Series 2005-2, Class B5
     5.66 †     04/25/35       682       358,522  
Series 2005-2, Class B6
     5.66 †     04/25/35       513       123,047  

2

 

THE HYPERION BROOKFIELD STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 2007
                                 
                    Principal        
    Interest             Amount        
    Rate     Maturity     (000s)     Value  
 
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued)
                                
 
                              
 
                           $ 1,092,609  
 
                              
 
                                
Bank of America Alternative Loan Trust
                                
Series 2004-3, Class 30B4
     5.50 %     04/25/34     $ 973       426,437  
Series 2004-3, Class 30B5
     5.50       04/25/34       683       170,537  
 
                              
 
                             596,974  
 
                              
 
                                
Bank of America Mortgage Securities, Inc.
                                
Series 2004-A, Class B4
     4.05 †     02/25/34       1,677       1,441,726  
Series 2003-10, Class 1B4
     5.50       01/25/34       542       408,625  
Series 2002-10, Class 1B3
     6.00       11/25/32       1,401       1,345,051  
 
                              
 
                             3,195,402  
 
                              
 
                                
Cendant Mortgage Corp.
                                
Series 2002-4, Class B1
     6.50       07/25/32       2,492       2,482,622  
Series 2002-4, Class B2
     6.50       07/25/32       997       993,049  
Series 2002-4, Class B3
     6.50       07/25/32       581       559,848  
Series 2002-4, Class B4
     6.50       07/25/32       333       318,805  
Series 2002-4, Class B5
     6.50       07/25/32       250       244,569  
Series 2002-4, Class B6*
     6.50       07/25/32       333       266,198  
 
                              
 
                             4,865,091  
 
                              
 
                                
Countrywide Home Loans
                                
Series 2007-11, Class B2
     6.00       08/25/37       500       396,576  
First Horizon Alternative Mortgage Securities
                                
Series 2005-AA6, Class B4
     5.43 †     08/25/35       845       551,810  
Series 2005-AA6, Class B5
     5.43 †     08/25/35       796       436,160  
Series 2005-AA6, Class B6
     5.43 †     08/25/35       476       52,307  
 
                              
 
                             1,040,277  
 
                              
 
                                
First Horizon Mortgage Pass-Through Trust
                                
Series 2005-4, Class B4*
     5.45 †     07/25/35       413       253,971  
Series 2005-5, Class B4*
     5.46 †     10/25/35       709       432,208  
Series 2005-5, Class B5*
     5.46 †     10/25/35       532       243,774  
Series 2005-5, Class B6*
     5.46 †     10/25/35       533       133,229  
 
                              
 
                             1,063,182  
 
                              
 
                                
G3 Mortgage Reinsurance Ltd.
                                
Series 1, Class E* (d)
     25.32 †     05/25/08       4,068       4,207,047  
Harborview Mortgage Loan Trust
                                
Series 2005-14, Class B4*
     5.64 †     12/19/35       393       272,376  
Series 2005-1, Class B4* (a)
     7.07 †     03/19/35       551       489,821  
Series 2005-1, Class B5* (a)
     7.07 †     03/19/35       801       507,450  
Series 2005-1, Class B6* (a)
     7.07 †     03/19/35       928       176,263  
Series 2005-2, Class B4* (a)
     7.07 †     05/19/35       1,338       989,032  
 
                              
 
                             2,434,942  
 
                              
 
                                
JP Morgan Mortgage Trust
                                
Series 2003-A1, Class B4
     4.47 †     10/25/33       532       436,443  
Series 2006-A6, Class B5
     6.03       10/25/36       914       684,972  
Series 2006-A6, Class B6
     6.03       10/25/36       1,143       365,909  
 
                              
 
                             1,487,324  
 
                              
 
                                
RAAC Series
                                
Series 2005-SP1, Class M3
     5.51       09/25/34       313       245,392  
Residential Funding Mortgage Securities I, Inc.
                                
Series 2004-S1, Class B2
     5.25       02/25/34       439       259,726  
Series 2003-S7, Class B2
     5.50       05/25/33       512       204,606  
Series 2003-S7, Class B3
     5.50       05/25/33       310       195,305  
Series 2006-SA1, Class B2*
     5.67       02/25/36       823       487,374  
Series 2006-SA1, Class B3*
     5.67       02/25/36       685       137,094  
 
                              
 
                             1,284,105  
 
                              

3

 

THE HYPERION BROOKFIELD STRATEGIC MORTGAGE INCOME FUND, INC.
Portfolio of Investments (Unaudited)
August 31, 2007
                                 
                  Principal        
    Interest           Amount        
    Rate     Maturity     (000s)     Value  
 
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued)
                                
Resix Finance Limited Credit-Linked Note
                                
Series 2005-C, Class B7*
     8.45% †     09/10/37     $ 1,945     $ 1,835,007  
Series 2004-C, Class B7*
     8.85 †     09/10/36       958       910,961  
Series 2006-C, Class B9*
     9.76 †     07/15/38       1,497       1,403,929  
Series 2004-B, Class B8*
     10.10 †     02/10/36       774       729,154  
Series 2003-CB1, Class B8*
     12.10 †     06/10/35       925       936,104  
Series 2004-B, Class B9*
     13.60 †     02/10/36       1,185       1,175,598  
Series 2004-A, Class B10*
     16.85 †     02/10/36       473       470,009  
 
                              
 
                             7,460,762  
 
                              
 
                                
Structured Asset Securities Corporation
                                
Series 2005-6, Class B5
     5.34 †     05/25/35       485       326,150  
Series 2005-6, Class B6
     5.34 †     05/25/35       485       226,937  
Series 2005-6, Class B7
     5.34 †     05/25/35       337       45,551  
 
                              
 
                             598,638  
 
                              
 
                                
Washington Mutual Mortgage Securities Corp.
                                
Series 2002-AR12, Class B4
     4.65 †     10/25/32       595       594,681  
Series 2002-AR12, Class B5
     4.65 †     10/25/32       447       436,908  
Series 2002-AR12, Class B6
     4.65 †     10/25/32       610       426,962  
Series 2005-AR2, Class B10* (a)
     6.52 †     01/25/45       1,548       1,365,935  
 
                              
 
                             2,824,486  
 
                              
 
                                
Wells Fargo Mortgage Backed Securities Trust
                                
Series 2002, Class B5
     6.00       06/25/32       345       331,944  
 
                              
 
                                
Total Subordinated Collateralized Mortgage Obligations
(Cost - $36,820,354)
                             33,124,751  
 
                              
 
                                
Total Non-Agency Residential Mortgage Backed Securities
(Cost - $36,820,354)
                             33,124,751  
 
                              
 
                                
SHORT TERM INVESTMENTS - 2.5%
                                
Federal Home Loan Bank Discount Notes(c)
     0.00       09/04/07       3,000       2,998,950  
United States Treasury Bill
     4.75       09/20/07       100 #     99,821  
 
                              
 
                                
Total Short Term Investments
(Cost - $3,098,711)
                             3,098,771  
 
                              
 
                                
Total Investments - 122.1%
(Cost - $160,980,734)
                             150,901,290  
Liabilities in Excess of Other Assets - (22.1)%
                             (27,278,047 )
 
                              
 
                                
NET ASSETS - 100.0%
                           $ 123,623,243  
 
                              
 
@ —   
Portion or entire principal amount delivered as collateral for reverse repurchase agreements.
 
† — Variable Rate Security: Interest rate is the rate in effect as of August 31, 2007.
 
* —  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.
 
(a) —  Security is a “step up” bond where coupon increases or steps up at a predetermined date. At that date these coupons increase to LIBOR plus a predetermined margin.
 
(b) —  Security is a “step up” bond where coupon increases or steps up at a predetermined date. Rates shown are current coupon and next coupon rate when security steps up.
 
(c) —  Zero Coupon Note - Interest rate represents current yield to maturity.
 
(d) —  Security valued in good faith pursuant to fair value procedures adopted by the Board of Directors. As of August 31, 2007, the total value of all such securities was $9,517,525 or 7.7% of net assets.
 
# —  Portion or entire principal amount held as collateral for open future contracts.
 
TBA —  Settlement is on a delayed delivery or when-issued basis with a final maturity To Be Announced.
 
^ —  At August 31, 2007, the aggregate cost of investments for income tax purposes was $160,980,734. Net unrealized depreciation aggregated $10,079,444 of which $1,117,359 related to appreciated investment securities and $11,196,803 related to depreciated investment securities.

4

 

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 BROOKFIELD STRATEGIC MORTGAGE INCOME FUND, INC.
         
By:
  /s/ Clifford E. Lai    
 
       
 
  Clifford E. Lai    
 
  Principal Executive Officer    
Date: October 24, 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.
         
By:
  /s/ Clifford E. Lai    
 
       
 
  Clifford E. Lai    
 
  Principal Executive Officer    
Date: October 24, 2007
         
By:
  /s/ Thomas F. Doodian    
 
       
 
  Thomas F. Doodian
Treasurer and Principal Financial Officer		    
Date: October 24, 2007