HSM Helios Strategic Mortgage Income Fund (The) Common Stock

On December 23, 2005, the Board of Directors of the Hyperion Strategic Mortgage Income Fund, Inc. (the "Fund") (NYSE: HSM) declared a monthly dividend of $0.090 per share, payable on January 27, 2006 to shareholders of record on December 30, 2005. The ex-dividend date is December 28, 2005. Based on the NYSE closing price of $12.82 on January 5, 2006, the Fund's yield was 8.42%. Based on the net asset value per share of $14.01 on January 5, 2006, the yield of the Trust was 7.71%. As of December 31, 2005, the portfolio's average duration, as measured on a net assets basis, was 3.7 years; the average duration of total assets was 2.3 years; and leverage equaled 31.6%. One Hundred Eleven percent of interest rate risk due to leverage is hedged using interest rate swaps and floating rate securities that have a weighted average life of 4.7 years. -0- *T Portfolio of Investments as of December 31, 2005 Sector Allocation as a Percentage of Total Assets Non-Agency Residential Mortgage-Backed Securities ("MBS") 20.1% ---------------------------------------------------------------------- Commercial MBS 11.5% ---------------------------------------------------------------------- Agency MBS Pass-throughs 39.1% ---------------------------------------------------------------------- Asset-Backed Securities 15.8% ---------------------------------------------------------------------- U.S. Treasury and Agency Securities 13.5% ---------------------------------------------------------------------- Credit Allocation as a Percentage of Total Assets U. S. Government / Agency and AAA Rated 55.3% ---------------------------------------------------------------------- AA Rated 1.1% ---------------------------------------------------------------------- A Rated 7.4% ---------------------------------------------------------------------- BBB Rated 16.7% ---------------------------------------------------------------------- Below Investment Grade 19.5% ---------------------------------------------------------------------- *T The Fund's investment advisor, Hyperion Capital Management, Inc. ("Hyperion Capital"), is a wholly owned subsidiary of Brookfield Asset Management, Inc. ("Brookfield") (NYSE: BAM). Brookfield is a specialty asset manager primarily focused on real estate, power, timber, fixed income and equity. Brookfield and its affiliates manage assets totaling approximately $40 billion for institutional and retail clients, as well as its own principal investments. As of November 30, 2005, Hyperion Capital managed $17.9 billion in fixed income client assets. Additional information on the Fund's assets and performance is available by contacting Hyperion Capital Shareholder Services at the following: -0- *T The Hyperion Strategic Mortgage Income Fund, Inc. One Liberty Plaza 165 Broadway, 36th Floor New York, NY 10006-1404 Telephone: 1-800 HYPERION *T