Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
U.S.
GOVERNMENT & AGENCY OBLIGATIONS 79.4% |
||||||||||||||||
U.S.
Government Agency Pass-Through Certificates 60.2% |
||||||||||||||||
Federal Home Loan Mortgage Corporation |
||||||||||||||||
Pool A14559 |
6.50 | % | 09/01/33 | $ | 2,362 | $ | 2,418,066 | |||||||||
Pool C68878 |
7.00 | 06/01/32 | 463 | 479,320 | ||||||||||||
Pool C69047 |
7.00 | 06/01/32 | 1,055 | 1,090,331 | ||||||||||||
Pool G01466 |
9.50 | 12/01/22 | 1,270 | 1,396,591 | ||||||||||||
Pool 555559 |
10.00 | 03/01/21 | 1,347 | 1,493,576 | ||||||||||||
6,877,884 | ||||||||||||||||
Federal National Mortgage Association |
||||||||||||||||
TBA |
6.00 | 12/01/99 | 5,000 | 5,040,625 | ||||||||||||
Pool 29596 |
5.50 | 12/01/99 | 5,000 | 4,953,125 | ||||||||||||
Pool 694391 |
5.50 | 03/01/33 | 3,816 | 3,788,618 | ||||||||||||
Pool 753914 |
5.50 | 12/01/33 | 8,124 | @ | 8,066,316 | |||||||||||
Pool 754355 |
6.00 | 12/01/33 | 4,765 | @ | 4,813,719 | |||||||||||
Pool 761836 |
6.00 | 06/01/33 | 3,160 | 3,194,890 | ||||||||||||
Pool 763643 |
6.00 | 01/01/34 | 7,220 | @ | 7,289,116 | |||||||||||
Pool 255413 |
6.50 | 10/01/34 | 8,635 | @ | 8,843,976 | |||||||||||
Pool 323982 |
6.50 | 10/01/06 | 170 | 171,007 | ||||||||||||
Pool 795367 |
6.50 | 09/01/34 | 4,143 | @ | 4,242,593 | |||||||||||
Pool 809989 |
6.50 | 03/01/35 | 4,047 | @ | 4,144,464 | |||||||||||
Pool 626299 |
7.00 | 06/01/32 | 477 | 493,937 | ||||||||||||
Pool 635095 |
7.00 | 06/01/32 | 852 | 881,418 | ||||||||||||
Pool 641575 |
7.00 | 04/01/32 | 323 | 334,214 | ||||||||||||
Pool 645399 |
7.00 | 05/01/32 | 2,476 | 2,562,402 | ||||||||||||
Pool 645466 |
7.00 | 05/01/32 | 2,523 | 2,611,299 | ||||||||||||
Pool 650131 |
7.00 | 07/01/32 | 1,524 | 1,577,786 | ||||||||||||
Pool 819251 |
7.50 | 05/01/35 | 3,601 | 3,769,362 | ||||||||||||
Pool 398800 |
8.00 | 06/01/12 | 649 | 684,894 | ||||||||||||
Pool 827854 |
8.00 | 10/01/29 | 2,304 | 2,462,607 | ||||||||||||
Pool 636449 |
8.50 | 04/01/32 | 2,226 | 2,408,077 | ||||||||||||
Pool 823757 |
8.50 | 10/01/29 | 3,750 | 4,052,670 | ||||||||||||
Pool 458132 |
9.44 | 03/15/31 | 1,760 | 1,931,228 | ||||||||||||
78,318,343 | ||||||||||||||||
Total U.S. Government Agency Pass-Through Certificates (Cost $86,389,612) |
85,196,227 | |||||||||||||||
U.S.
Treasury Obligations 19.2% |
||||||||||||||||
United States Treasury Notes |
||||||||||||||||
4.00 | 02/15/15 | 1,173 | 1,122,047 | |||||||||||||
4.25 | 11/15/14 | 26,800 | @ | 26,111,160 | ||||||||||||
Total U.S. Treasury Obligations (Cost $28,018,087) |
27,233,207 | |||||||||||||||
Total U.S. Government & Agency Obligations (Cost $114,407,699) |
112,429,434 | |||||||||||||||
ASSET-BACKED
SECURITIES 23.4% |
||||||||||||||||
Housing
Related Asset-Backed Securities 21.7% |
||||||||||||||||
Asset Backed Funding Certificates |
||||||||||||||||
Series 2005-AQ1, Class B1* (b) |
5.75/6.25 | 06/25/35 | 993 | 843,709 | ||||||||||||
Series 2005-AQ1, Class B2* (b) |
5.75/6.25 | 06/25/35 | 1,050 | 870,396 | ||||||||||||
1,714,105 | ||||||||||||||||
1
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
||||||||||||||||
Bank of America Funding Corp. |
||||||||||||||||
Series 2005-2, Class B4 |
5.66 | % | 04/25/35 | $ | 872 | $ | 744,590 | |||||||||
Series 2005-2, Class B5 |
5.66 | | 04/25/35 | 698 | 461,776 | |||||||||||
Series 2005-2, Class B6 |
5.66 | | 04/25/35 | 524 | 176,856 | |||||||||||
1,383,222 | ||||||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates |
||||||||||||||||
Series 2004-FFH1, Class B* (a) |
8.08 | | 03/25/34 | 1,550 | 1,467,073 | |||||||||||
Series 2004-FF2, Class B* (a) |
8.08 | | 03/25/34 | 900 | 858,933 | |||||||||||
Series 2004-FFH2C, Class B1* (a) |
8.08 | | 06/25/34 | 1,250 | 1,143,496 | |||||||||||
Series 2004-FF8, Class B4* (a) |
8.08 | | 10/25/34 | 1,250 | 1,161,783 | |||||||||||
4,631,285 | ||||||||||||||||
Green Tree Financial Corp. |
||||||||||||||||
Series 1997-3, Class M1 |
7.53 | 03/15/28 | 2,000 | 1,240,000 | ||||||||||||
Series 1995-6, Class M1 |
8.10 | 09/15/26 | 4,325 | 4,472,785 | ||||||||||||
5,712,785 | ||||||||||||||||
Harborview Mortgage Loan Trust |
||||||||||||||||
Series 2005-14, Class B4* |
5.53 | | 12/19/35 | 394 | 328,314 | |||||||||||
Series 2005-1, Class B4* (a) |
6.32 | | 03/19/35 | 629 | 529,826 | |||||||||||
Series 2005-1, Class B5* (a) |
6.32 | | 03/19/35 | 914 | 611,921 | |||||||||||
Series 2005-1, Class B6* (a) |
6.32 | | 03/19/35 | 1,144 | 228,738 | |||||||||||
Series 2005-2, Class B4* (a) |
6.32 | | 05/19/35 | 1,488 | 1,225,284 | |||||||||||
2,924,083 | ||||||||||||||||
Mid-State Trust |
||||||||||||||||
Series 2004-1, Class M2 |
8.11 | 08/15/37 | 1,502 | 1,557,813 | ||||||||||||
Option One Mortgage Loan Trust |
||||||||||||||||
Series 2006-1, Class M7 |
5.73 | 01/25/36 | 3,000 | 2,999,994 | ||||||||||||
Structured Asset Investment Loan Trust |
||||||||||||||||
Series 2004-4, Class B* (b) |
5.00/5.50 | 04/25/34 | 1,500 | 1,314,845 | ||||||||||||
Series 2004-11, Class M9 (b) |
5.00/5.50 | 01/25/35 | 1,900 | 1,787,647 | ||||||||||||
Series 2004-7, Class B (a) |
7.08 | | 08/25/34 | 2,161 | 1,941,502 | |||||||||||
Series 2004-8, Class B1 (a) |
7.08 | | 09/25/34 | 1,000 | 945,857 | |||||||||||
Series 2004-10, Class M7 (a) |
7.08 | | 11/25/34 | 2,000 | 2,021,898 | |||||||||||
Series 2004-2, Class B* (a) |
7.58 | | 03/25/34 | 1,074 | 968,619 | |||||||||||
8,980,368 | ||||||||||||||||
Structured Asset Securities Corporation |
||||||||||||||||
Series 2005-6, Class B5 |
5.34 | | 05/25/35 | 495 | 398,255 | |||||||||||
Series 2005-6, Class B6 |
5.34 | | 05/25/35 | 495 | 311,652 | |||||||||||
Series 2005-6, Class B7 |
5.34 | | 05/25/35 | 347 | 104,022 | |||||||||||
813,929 | ||||||||||||||||
Total Housing Related Asset-Backed Securities (Cost $31,312,444) |
30,717,584 | |||||||||||||||
Non-Housing
Related Asset-Backed Securities 1.7% |
||||||||||||||||
Airplanes Pass Through Trust |
||||||||||||||||
Series 1R, Class A8 (Cost $2,208,028) |
4.95 | | 03/15/19 | 2,573 | 2,431,879 | |||||||||||
Total Asset-Backed Securities (Cost $33,520,472) |
33,149,463 | |||||||||||||||
2
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
COMMERCIAL
MORTGAGE BACKED SECURITIES 17.4% |
||||||||||||||||
Bear Stearns Commercial Mortgage Securities |
||||||||||||||||
Series 1999-C1, Class D |
6.53 | % | 02/14/31 | $ | 2,500 | $ | 2,629,675 | |||||||||
Series 2000-WF1, Class E |
7.89 | | 02/15/32 | 2,000 | 2,168,880 | |||||||||||
4,798,555 | ||||||||||||||||
CD 2006 CD2* |
5.65 | 01/11/46 | 1,000 | 920,959 | ||||||||||||
Chase Commercial Mortgage Securities Corp. |
||||||||||||||||
Series 2000-2, Class I* |
6.65 | 07/15/32 | 1,000 | 628,359 | ||||||||||||
GE Capital Commercial Mortgage Corp. |
||||||||||||||||
Series 2002-2A, Class G* |
6.04 | 08/11/36 | 3,000 | 3,091,986 | ||||||||||||
Series 2000-1, Class G* |
6.13 | 01/15/33 | 1,000 | 508,000 | ||||||||||||
Series 2002-2A, Class H* |
6.31 | 08/11/36 | 2,000 | 2,088,120 | ||||||||||||
5,688,106 | ||||||||||||||||
JP Morgan Chase Commercial Mortgage Securities |
||||||||||||||||
Series 2003-LN1, Class G* |
5.48 | | 10/15/37 | 1,600 | 1,569,962 | |||||||||||
Morgan Stanley Capital I |
||||||||||||||||
Series 1999-FNV1, Class E |
7.19 | | 03/15/31 | 2,000 | 2,099,180 | |||||||||||
Nationslink Funding Corp. |
||||||||||||||||
Series 1998-2, Class E |
7.11 | 08/20/30 | 4,000 | 4,195,080 | ||||||||||||
UBS 400 Atlantic Street Mortgage Trust |
||||||||||||||||
Series 2002-C1A, Class B3* |
7.19 | 01/11/22 | 2,000 | 2,113,020 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust |
||||||||||||||||
Series 2005-C16, Class H* |
5.30 | | 10/15/41 | 2,000 | 1,853,648 | |||||||||||
Series 2004-WL4A, Class H* |
5.42 | | 10/15/15 | 700 | 700,197 | |||||||||||
2,553,845 | ||||||||||||||||
Total Commercial Mortgage Backed Securities (Cost $24,879,201) |
24,567,066 | |||||||||||||||
NON-AGENCY
RESIDENTIAL MORTGAGE BACKED SECURITIES 25.0% |
||||||||||||||||
Subordinated
Collateralized Mortgage Obligations 25.0% |
||||||||||||||||
Bank of America Alternative Loan Trust |
||||||||||||||||
Series 2004-3, Class 30B4* |
5.50 | 04/25/34 | 992 | 827,709 | ||||||||||||
Series 2004-3, Class 30B5 |
5.50 | 04/25/34 | 694 | 446,788 | ||||||||||||
1,274,497 | ||||||||||||||||
Bank of America Mortgage Securities, Inc. |
||||||||||||||||
Series 2004-A, Class B4 |
3.91 | | 02/25/34 | 2,037 | 1,895,460 | |||||||||||
Series 2003-10, Class 1B4 |
5.50 | 01/25/34 | 556 | 503,606 | ||||||||||||
Series 2002-10, Class 1B3 |
6.00 | 11/25/32 | 1,437 | 1,423,634 | ||||||||||||
3,822,700 | ||||||||||||||||
Cendant Mortgage Corp. |
||||||||||||||||
Series 2002-4, Class B1 |
6.50 | 07/25/32 | 2,575 | 2,566,897 | ||||||||||||
Series 2002-4, Class B2 |
6.50 | 07/25/32 | 1,030 | 1,027,133 | ||||||||||||
Series 2002-4, Class B3 |
6.50 | 07/25/32 | 602 | 584,577 | ||||||||||||
Series 2002-4, Class B4 |
6.50 | 07/25/32 | 344 | 322,035 | ||||||||||||
Series 2002-4, Class B5 |
6.50 | 07/25/32 | 258 | 239,016 | ||||||||||||
Series 2002-4, Class B6* |
6.50 | 07/25/32 | 344 | 274,985 | ||||||||||||
5,014,643 | ||||||||||||||||
First Horizon Alternative Mortgage Securities |
||||||||||||||||
Series 2005-AA6, Class B4 |
5.47 | | 08/25/35 | 849 | 688,616 | |||||||||||
Series 2005-AA6, Class B5 |
5.47 | | 08/25/35 | 799 | 514,575 |
3
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued) |
||||||||||||||||
Series 2005-AA6, Class B6 |
5.47 | % | 08/25/35 | $ | 499 | $ | 129,841 | |||||||||
1,333,032 | ||||||||||||||||
First Horizon Mortgage Pass-Through Trust |
||||||||||||||||
Series 2005-4, Class B4* |
5.45 | | 07/25/35 | 424 | 344,665 | |||||||||||
Series 2005-5, Class B4* |
5.46 | | 10/25/35 | 726 | 586,909 | |||||||||||
Series 2005-5, Class B5* |
5.46 | | 10/25/35 | 544 | 327,242 | |||||||||||
Series 2005-5, Class B6* |
5.46 | | 10/25/35 | 545 | 160,892 | |||||||||||
Series 2005-3, Class B4 |
5.50 | 06/25/35 | 455 | 369,148 | ||||||||||||
1,788,856 | ||||||||||||||||
G3 Mortgage Reinsurance Ltd. |
||||||||||||||||
Series 1, Class E* |
24.58 | | 05/25/08 | 4,186 | 4,603,656 | |||||||||||
JP Morgan Mortgage Trust |
||||||||||||||||
Series 2003-A1, Class B4 |
4.49 | | 10/25/33 | 535 | 468,464 | |||||||||||
Residential Finance Limited Partnership |
||||||||||||||||
Series 2002-A, Class B7 |
10.27 | | 10/10/34 | 1,910 | 1,955,848 | |||||||||||
Residential Funding Mortgage Securities I, Inc. |
||||||||||||||||
Series 2004-S1, Class B2 |
5.25 | 02/25/34 | 450 | 295,594 | ||||||||||||
Series 2003-S7, Class B2 |
5.50 | 05/25/33 | 525 | 188,880 | ||||||||||||
Series 2003-S7, Class B3 |
5.50 | 05/25/33 | 318 | 220,771 | ||||||||||||
705,245 | ||||||||||||||||
Resix Finance Limited Credit-Linked Note |
||||||||||||||||
Series 2005-C, Class B7* |
7.67 | | 09/10/37 | 1,989 | 1,949,019 | |||||||||||
Series 2004-C, Class B7* |
8.07 | | 09/10/36 | 981 | 980,513 | |||||||||||
Series 2004-B, Class B8* |
9.32 | | 02/10/36 | 795 | 806,532 | |||||||||||
Series 2003-CB1, Class B8* |
11.32 | | 06/10/35 | 957 | 995,153 | |||||||||||
Series 2004-B, Class B9* |
12.82 | | 02/10/36 | 1,217 | 1,253,755 | |||||||||||
Series 2004-A, Class B10* |
16.07 | | 02/10/36 | 486 | 503,153 | |||||||||||
6,488,125 | ||||||||||||||||
Structured Asset Mortgage Investments, Inc. |
||||||||||||||||
Series 2002-AR1, Class B4 |
5.73 | | 03/25/32 | 564 | 555,546 | |||||||||||
Washington Mutual Mortgage Securities Corp. |
||||||||||||||||
Series 2002-AR12, Class B4 |
4.66 | | 10/25/32 | 851 | 822,467 | |||||||||||
Series 2002-AR12, Class B5 |
4.66 | | 10/25/32 | 638 | 602,483 | |||||||||||
Series 2002-AR12, Class B6 |
4.66 | | 10/25/32 | 1,065 | 787,815 | |||||||||||
Series 2002-AR10, Class B4* |
4.95 | | 10/25/32 | 850 | 825,954 | |||||||||||
Series 2002-AR10, Class B5* |
4.95 | | 10/25/32 | 637 | 601,636 | |||||||||||
Series 2002-AR10, Class B6* |
4.95 | | 10/25/32 | 1,064 | 787,205 | |||||||||||
Series 2002-AR11, Class B5 |
5.13 | | 10/25/32 | 558 | 547,899 | |||||||||||
Series 2002-AR11, Class B6 |
5.13 | | 10/25/32 | 748 | 577,466 | |||||||||||
Series 2005-AR2, Class B10(a) |
5.64 | | 01/25/45 | 1,790 | 1,475,129 | |||||||||||
7,028,054 | ||||||||||||||||
Wells Fargo Mortgage Backed Securities Trust |
||||||||||||||||
Series 2002, Class B5 |
6.00 | 06/25/32 | 358 | 350,182 | ||||||||||||
Total Subordinated Collateralized Mortgage Obligations (Cost $34,453,141) |
35,388,848 | |||||||||||||||
Total Non-Agency Residential Mortgage Backed Securities (Cost $34, 453,141) |
35,388,848 | |||||||||||||||
SHORT
TERM INVESTMENTS 0.0% |
||||||||||||||||
United States Treasury Bills |
||||||||||||||||
(Cost $49,188) |
0 | 06/15/06 | 50 | # | 49,344 | |||||||||||
4
Total
Investments 145.2% (Cost $207,309,701) |
205,584,155 | |||
Liabilities in Excess of Other Assets (45.2)% |
(63,953,893 | ) | ||
NET
ASSETS 100.0% |
$ | 141,630,262 | ||
@
|
| Portion or entire principal amount delivered as collateral for reverse repurchase agreements. | ||
|
| Variable Rate Security: Interest rate is the rate in effect February 28, 2006. | ||
*
|
| 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. | ||
#
|
| Portion or entire principal amount is held as collateral for open futures contracts. | ||
TBA
|
| Settlement is on a delayed delivery or when-issued basis with a final maturity To Be Announced. | ||
/\
|
| At February 28, 2006, the aggregate cost of investments for income tax purposes was $207,309,701. Net unrealized depreciation aggregated $1,725,546 of which $2,381,063 related to appreciated investment securities and $4,106,609 related to depreciated investment securities. |
5
Maturity | ||||||||
Face Value | Description | Amount | ||||||
$ | 4,691,000 | CS First Boston 4.61%, dated 02/27/06, maturity date 03/28/06 |
$ | 4,708,421 | ||||
8,600,000 | Goldman Sachs 4.61%, dated 02/07/06, maturity date 04/05/06 |
8,662,773 | ||||||
24,667,500 | Lehman Brothers 4.40%, dated 02/22/06, maturity date 03/07/06 |
24,706,694 | ||||||
7,771,000 | Lehman Brothers 4.57%, dated 02/16/06, maturity date 03/16/06 |
7,798,622 | ||||||
8,748,000 | Morgan Stanley 4.60%, dated 02/14/06, maturity date 03/21/06 |
8,787,123 | ||||||
3,966,000 | Morgan Stanley 4.60%, dated 02/14/06, maturity date 03/21/06 |
3,983,737 | ||||||
$ | 58,443,500 | |||||||
Maturity Amount, Including Interest Payable |
$ | 58,647,370 | ||||||
Market Value of Assets Sold Under Agreements |
$ | 59,268,751 | ||||||
Weighted Average Interest Rate |
4.51 | % | ||||||
6
Net | ||||||||||||
Expiration | Unrealized | |||||||||||
Notional Amount | Date | Description | Appreciation | |||||||||
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. |
$ | 393,924 | ||||||||
20,000,000 | 10/11/10 | Agreement with Morgan Stanley Capital Services, Inc., dated 10/7/05 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. |
31,099 | |||||||||
$ | 425,023 | |||||||||||
Notional | Cost at | Value at | Unrealized | |||||||||||||||||
Amount | Type | Expiration Date | Trade Date | February 28, 2006 | Appreciation | |||||||||||||||
$ | 9,400,000 | 5 Yr. U.S. Treasury Note |
June 2006 | $ | 9,863,362 | $ | 9,887,625 | $ | 24,263 |
7
8
THE HYPERION STRATEGIC MORTGAGE INCOME FUND, INC. | ||||
By:
|
/s/ Clifford E. Lai | |||
Clifford E. Lai | ||||
Principal Executive Officer | ||||
Date: April 20, 2006 |
By:
|
/s/ Clifford E. Lai | |||
Clifford E. Lai | ||||
Principal Executive Officer | ||||
Date:
|
April 20, 2006 | |||
By:
|
/s/ Thomas F. Doodian | |||
Thomas F. Doodian | ||||
Treasurer and Principal Financial Officer | ||||
Date:
|
April 19, 2006 |
9