HSM Helios Strategic Mortgage Income Fund (The) Common Stock

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 March 30, 2006 to shareholders of record on March 14, 2006. The ex-dividend date is March 10, 2006. Based on the NYSE closing price of $12.88 on March 2, 2006, the Fund's yield was 8.39%. Based on the net asset value per share of $13.93 on March 2, 2006, the yield of the Trust was 7.75%. As of February 28, 2006, the portfolio's average duration, as measured on a net assets basis, was 3.9 years; the average duration of total assets was 2.5 years; and leverage equaled 29.9%. One Hundred Four 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 5.0 years. -0- *T Portfolio of Investments as of February 28, 2006 Sector Allocation as a Percentage of Total Assets Non-Agency Residential Mortgage-Backed Securities ("MBS") 21.2% -------------------------------------------------------------------- Commercial MBS 11.9% -------------------------------------------------------------------- Agency MBS Pass-throughs 41.4% -------------------------------------------------------------------- Asset-Backed Securities 12.2% -------------------------------------------------------------------- U.S. Treasury and Agency Securities 13.3% -------------------------------------------------------------------- Credit Allocation as a Percentage of Total Assets U.S. Government / Agency and AAA Rated 57.4% -------------------------------------------------------------------- AA Rated 1.1% -------------------------------------------------------------------- A Rated 8.7% -------------------------------------------------------------------- BBB Rated 13.5% -------------------------------------------------------------------- Below Investment Grade 19.3% -------------------------------------------------------------------- *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 January 31, 2006, Hyperion Capital managed $17.8 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