N-Q 1 w36348nvq.txt FORM N-Q 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 811-21466 HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. (FORMERLY HYPERION COLLATERALIZED SECURITIES 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: July 31, 2007 Date of reporting period: April 30, 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. ITEM 1. SCHEDULE OF INVESTMENTS HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. (formerly HYPERION COLLATERALIZED SECURITIES FUND, INC.) PORTFOLIO OF INVESTMENTS (UNAUDITED) April 30, 2007
PRINCIPAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ----------- U.S. GOVERNMENT & AGENCY OBLIGATIONS - 2.0% U.S. GOVERNMENT AGENCY PASS-THROUGH CERTIFICATES - 2.0% Federal National Mortgage Association Pool 865301 (cost $14,564,616) 6.93% 12/01/35 $ 14,194@ $14,628,408 ----------- ASSET-BACKED SECURITIES - 71.7% Ace Securities Corp. Series 2006-NC3, Class M1(a) 5.56+ 12/25/36 7,000 6,975,500 Series 2005-WF1, Class M7(a) 6.45+ 05/25/35 4,550 4,395,016 ----------- 11,370,516 ----------- Aerco Ltd. Series 2A, Class A3* 5.78+ 07/15/25 42,549 35,954,107 Aircraft Finance Trust Series 1999-1A, Class A1* (a) 5.80+ 05/15/24 16,250 11,700,000 Series 1999-1A, Class A2* 5.82+ 05/15/24 9,971 9,671,438 ----------- 21,371,438 ----------- Airplanes Pass Through Trust Series 1R, Class A8 5.70+ 03/15/19 26,692 25,958,439 Ameriquest Finance NIM Trust Series 2002-N4A, Class Note* 10.33 09/25/32 290 43,542 Apidos CDO Series 2005-2A, Class B* 6.16+ 12/21/18 9,000 8,865,000 Asset Backed Funding Certificates Series 2004-FF1, Class M4(a) 7.82+ 07/25/33 3,000 2,963,544 Series 2005-WF1, Class M10(a) 8.57+ 01/25/35 2,934 2,648,448 Series 2004-FF1, Class M6(a) 8.82+ 12/25/32 2,200 2,057,482 Series 2004-FF1, Class M7(a) 8.82+ 07/25/32 3,000 2,843,475 ----------- 10,512,949 ----------- Asset Backed Securities Corp. Home Equity Series 2007-HE1, Class M1(a) 5.54+ 12/25/36 5,000 4,967,620 Series 2004-HE9, Class M2(a) 6.52+ 12/25/34 1,000 987,706 ----------- 5,955,326 ----------- Aviation Capital Group Trust Series 2000-1A, Class A1* 5.80+ 11/15/25 8,498 7,351,036 Bayview Commercial Asset Trust Series 2006-4A, Class B2* (a) 6.57+ 12/25/36 1,675 1,500,461 Series 2006-4A, Class B3* (a) 7.77+ 12/25/36 3,195 2,900,358 Series 2006-2A, Class B3* (a) 8.02+ 07/25/36 2,606 2,356,615 Series 2006-1A, Class B3* (a) 8.27+ 04/25/36 3,281 3,150,312 Series 2005-3A, Class B3* (a) 8.32+ 11/25/35 5,328 4,944,219 Series 2004-3, Class B2* (a) 8.67+ 01/25/35 2,267 2,240,311 Series 2005-1A, Class B3* (a) 9.82+ 04/25/35 4,622 4,522,543 ----------- 21,614,819 ----------- Bayview Financial Acquisition Trust Series 2006-A, Class M1(a) 5.77+ 02/28/41 3,000 2,993,538 Series 2006-A, Class M2(a) 5.81+ 02/28/41 5,000 4,972,470 Series 2005-C, Class B1(a) 6.52+ 06/28/44 1,537 1,486,095 Series 2005-C, Class B2(a) 6.67+ 06/28/44 1,230 1,162,178 Series 2006-A, Class B1(a) 6.67+ 02/28/41 4,798 4,611,454 Series 2006-A, Class B2(a) 6.97+ 02/28/41 5,459 5,114,701 Series 2005-C, Class B3(a) 7.12+ 06/28/44 3,037 2,713,711 ----------- 23,054,147 ----------- Centex Home Equity Series 2005-B, Class M1(a) 5.72+ 03/25/35 6,000 6,001,320
1 HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. (formerly HYPERION COLLATERALIZED SECURITIES FUND, INC.) PORTFOLIO OF INVESTMENTS (UNAUDITED) April 30, 2007
PRINCIPAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ----------- ASSET-BACKED SECURITIES (CONTINUED) Countrywide Asset-Backed Certificates Series 2006-22, Class M1(a) 5.55%+ 05/25/37 $15,200 $15,174,418 Series 2006-23, Class M1(a) 5.57+ 05/25/37 16,592 16,495,982 Series 2006-17, Class M7(a) 6.14+ 03/25/47 3,500 3,039,124 ----------- 34,709,524 ----------- Fieldstone Mortgage Investment Corp. Series 2005-1, Class M1(a) 5.78+ 03/25/35 5,000 5,002,710 Series 2005-1, Class M8(a) 6.67+ 03/25/35 2,800 2,619,688 ----------- 7,622,398 ----------- First Franklin Mortgage Loan Asset Backed Certification Trust Series 2005-FF3, Class M1(a) 5.72+ 04/25/35 15,000 15,003,750 Series 2006-FFH1, Class M7(a) 6.57+ 01/25/36 2,500 2,273,248 Series 2005-FFH3, Class M7(a) 6.82+ 09/25/35 6,450 5,837,947 Series 2004-FF5, Class M7(a) 7.82+ 08/25/34 5,000 4,707,935 Series 2004-FF11, Class M8(a) 7.82+ 01/25/35 7,805 7,111,385 Series 2004-FF3, Class B2(a) 8.27+ 05/25/34 1,505 903,113 Series 2004-FF5, Class M9(a) 8.32+ 08/25/34 2,750 2,475,000 Series 2005-FF4, Class M9(a) 8.32+ 05/25/35 4,000 3,201,536 Series 2004-FF11, Class M9(a) 8.42+ 01/25/35 8,555 7,564,305 Series 2004-FF6, Class B3(a) 8.82+ 07/25/34 2,500 2,225,000 ----------- 51,303,219 ----------- Fremont Home Loan Trust Series 2005-1, Class B2(a) 8.57+ 06/25/35 3,000 2,100,000 Series 2005-1, Class B3(a) 8.57+ 06/25/35 2,000 1,000,000 ----------- 3,100,000 ----------- Green Tree Financial Corp. Series 1998-8, Class M2 7.08 09/01/30 9,000 1,719,108 Series 1997-3, Class M1 7.53 03/15/28 4,000 2,880,000 ----------- 4,599,108 ----------- HSI Asset Securitization Corp. Series 2006-OPT2, Class M6(a) 5.93+ 01/25/36 1,666 1,622,108 JP Morgan Mortgage Acquisition Corp. Series 2006-CH2, Class MV1(a) 5.53+ 10/25/36 10,000 9,944,470 Lehman ABS Manufactured Housing Contract Series 2002-A, Class A(a) 5.77+ 06/15/33 7,509 7,505,657 Series 2002-A, Class M1 6.57+ 06/15/33 3,402 3,409,749 ----------- 10,915,406 ----------- Lehman Brothers Small Balance Commercial Series 2005-1A, Class M1* 5.67+ 02/25/30 2,343 2,353,700 Series 2005-1A, Class B* 6.27+ 02/25/30 1,443 1,397,315 ----------- 3,751,015 ----------- Morgan Stanley ABS Capital I Series 2007-HE5, Class M6(a) 7.22+ 03/25/37 3,500 3,500,000 Morgan Stanley Home Equity Loans Series 2005-1, Class M2(a) 5.79+ 12/25/34 5,000 5,009,095 Option One Mortgage Loan Trust Series 2007-5, Class M4(a) 6.57+ 05/25/37 2,500 2,500,000 Series 2007-5, Class M5(a) 6.82+ 05/25/37 1,000 1,000,000 Series 2007-4, Class M6(a) 6.92+ 04/25/37 1,500 1,500,000 Series 2007-5, Class M6(a) 7.32+ 05/25/37 1,600 1,600,000 Series 2006-1, Class M10* (a) 7.82+ 01/25/36 900 676,847 Series 2005-1, Class M9(a) 8.32+ 02/25/35 3,000 2,662,395 Series 2005-1, Class M8(a) 8.57+ 02/25/35 2,000 1,841,844 Series 2005-2, Class M8(a) 8.57+ 05/25/35 6,000 5,703,258
2 HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. (formerly HYPERION COLLATERALIZED SECURITIES FUND, INC.) PORTFOLIO OF INVESTMENTS (UNAUDITED) April 30, 2007
PRINCIPAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ----------- ASSET-BACKED SECURITIES (CONTINUED) Series 2004-1, Class M7* (a) 8.82%+ 01/25/34 $ 1,561 $ 1,092,560 ----------- 18,576,904 ----------- Park Place Securities Inc Series 2005-WHQ2, Class M10(a) 7.82+ 05/25/35 4,750 4,093,906 People's Financial Realty Mortgage Securities Trust Series 2006-1, Class B2(a) 7.22+ 09/25/36 2,126 2,108,859 Porter Square CDO Series 1A, Class C* 9.17+ 08/15/38 2,000 2,040,000 Quest Mortgage Securities Trust Series 2005-X1, Class M7* (a) 7.62+ 03/25/35 5,130 4,546,887 Quest Trust Series 2006-X2, Class M3* (a) 6.02+ 08/25/36 3,360 3,360,000 Series 2006-X2, Class M4* (a) 6.22+ 08/25/36 4,421 4,366,710 Series 2006-X2, Class M5* (a) 6.27+ 08/25/36 3,714 3,661,447 Series 2006-X2, Class M6* (a) 6.32+ 08/25/36 2,360 2,299,301 Series 2005-X2, Class M1* (a) 6.82+ 12/25/35 5,761 5,486,943 ----------- 19,174,401 ----------- Renaissance Home Equity Loan Trust Series 2006-3, Class AF1(a) 5.92 11/25/36 8,544@ 8,517,741 Residential Asset Mortgage Products, Inc. Series 2006-RZ1, Class M6(a) 6.02+ 03/25/36 4,250 4,095,640 Sail Net Interest Margin Notes Series 2004-BNCA, Class B* 6.75 09/27/34 646 18,348 Series 2004-BN2A, Class B* 7.00 12/27/34 302 31,782 ----------- 50,130 ----------- Securitized Asset Backed Receivables Trust Series 2005-OP1, Class M1(a) 5.73+ 01/25/35 10,214@ 10,194,614 Series 2005-FR1, Class M1(a) 5.77+ 12/25/34 6,551 6,561,695 ----------- 16,756,309 ----------- Soundview Home Equity Loan Trust Series 2006-WF2, Class M1(a) 5.54+ 12/25/36 5,000 4,987,820 Series 2006-3, Class M4(a) 5.70+ 11/25/36 13,002 12,784,945 Series 2006-3, Class M5(a) 5.72+ 11/25/36 877 856,854 Series 2005-DO1, Class M1(a) 5.74+ 05/25/35 3,500 3,501,043 Series 2006-3, Class M6(a) 5.77+ 11/25/36 1,377 1,328,954 Series 2005-OPT1, Class M7(a) 6.32+ 06/25/35 3,250 3,071,276 Series 2006-OPT2, Class M6(a) 6.32+ 05/25/36 10,000 9,608,930 Series 2006-OPT3, Class M6(a) 6.32+ 06/25/36 6,000 5,712,150 Series 2006-OPT1, Class M6(a) 6.42+ 03/25/36 3,000 2,871,684 Series 2005-OPT1, Class M8(a) 7.07+ 06/25/35 7,500 6,940,747 Series 2006-OPT3, Class M8(a) 7.32+ 06/25/36 11,000 9,493,451 Series 2005-OPT4, Class M11* (a) 7.82+ 12/25/35 3,575 1,859,000 Series 2005-4, Class M10* (a) 7.82+ 03/25/36 1,500 1,141,016 Series 2005-A, Class M11* (a) 8.32+ 04/25/35 3,396 2,207,238 Series 2005-OPT1, Class M9(a) 8.57+ 06/25/35 2,500 2,186,425 Series 2005-DO1, Class M10(a) 8.57+ 05/25/35 1,100 917,038 Series 2005-DO1, Class M11(a) 8.57+ 05/25/35 3,078 2,463,908 ----------- 71,932,479 ----------- Structured Asset Investment Loan Trust Series 2005-9, Class M7(a) 6.57+ 11/25/35 7,464 7,233,683 Series 2004-8, Class B1(a) 7.82+ 09/25/34 4,803 4,707,651 ----------- 11,941,334 ----------- Structured Asset Securities Corp. Series 2005-S4, Class A(b) 4.50/4.50 08/25/35 3,890 3,681,768 Series 2005-WF1, Class M2(a) 5.79+ 02/25/35 6,100 6,110,950
3 HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. (formerly HYPERION COLLATERALIZED SECURITIES FUND, INC.) PORTFOLIO OF INVESTMENTS (UNAUDITED) April 30, 2007
PRINCIPAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ------------ ASSET-BACKED SECURITIES (CONTINUED) Series 2006-WF1, Class M7(a) 6.27%+ 02/25/36 $ 3,438 $ 2,964,192 Series 2004-GEL3, Class M1(a) 6.37+ 08/25/34 8,534 8,571,336 Series 2002-HF1, Class B* 9.47+ 01/25/33 2,160 1,197,832 ------------ 22,526,078 ------------ UCFC Home Equity Loan Series 1998-D, Class BF1 8.97 04/15/30 37 36,586 Vanderbilt Mortgage Finance Series 1998-A, Class 2B2(a) 6.32+ 08/07/13 829 827,496 Series 1998-D, Class 2B2(a) 8.07+ 07/07/15 2,109 2,107,073 ------------ 2,934,569 ------------ Wells Fargo Home Equity Trust Series 2005-2, Class M8(a) 6.50+ 10/25/35 2,576 2,457,665 Series 2005-2, Class M10(a) 7.82+ 10/25/35 8,737 7,557,767 ------------ 10,015,432 ------------ TOTAL ASSET-BACKED SECURITIES 513,476,237 (Cost - $535,387,616) ------------ NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 29.4% SUBORDINATED COLLATERALIZED MORTGAGE OBLIGATIONS - 29.4% Amoritizing Residential Collateral Trust Series 2001-BC5, Class M1(a) 6.15+ 08/25/31 1,466 1,201,854 Bella Vista Mortgage Trust Series 2005-1, Class B1(a) 5.82+ 01/22/45 6,707 6,730,289 Countrywide Home Loans Series 2004-29, Class 1A2(a) 5.77+ 02/25/35 1,140 1,142,254 Series 2004-29, Class 1B1(a) 6.17+ 02/25/35 2,955 2,954,382 Series 2005-7, Class IB2(a) 6.82+ 03/25/35 712 711,194 Series 2005-9, Class B1(a) 7.27+ 05/25/35 2,805 2,728,301 ------------ 7,536,131 ------------ G3 Mortgage Reinsurance Ltd. Series 1, Class E* 25.32+ 05/25/08 2,067 2,201,844 Harborview Mortgage Loan Trust Series 2005-9, Class 2X* 1.46 06/20/35 503,933 9,291,257 Series 2005-2, Class B1(a) 5.79+ 05/19/35 9,679 9,686,818 Series 2005-1, Class B1(a) 5.82+ 03/19/35 9,274 9,295,888 Series 2004-11, Class B2(a) 6.47+ 01/19/35 13,562 13,500,084 Series 2004-8, Class B4(a) 6.57+ 11/19/34 2,465 2,211,825 Series 2004-10, Class B4(a) 6.82+ 01/19/35 1,574 1,437,528 Series 2005-1, Class B4* (a) 7.07+ 03/19/35 8,138 7,256,380 Series 2005-2, Class B4* (a) 7.07+ 05/19/35 1,319 1,156,929 ------------ 53,836,709 ------------ JP Morgan Mortgage Trust Series 2006-A7, Class B4* 5.91 01/25/37 999 912,043 Series 2006-A7, Class B5* 5.91 01/25/37 1,301 999,050 Series 2006-A7, Class B6* 5.91 01/25/37 1,305 482,792 ------------ 2,393,885 ------------ Merrill Lynch Mortgage Investors Trust Series 2006-AF2, Class BF2* 6.25 10/25/36 567 345,655 Series 2006-AF2, Class BF3* 6.25 10/25/36 461 93,556 ------------ 439,211 ------------ RESI Finance LP Series 2005-C, Class B4* 5.97+ 09/10/37 5,490 5,517,399 Series 2005-D, Class B6* 7.57+ 12/15/37 2,036 2,041,415 Series 2004-B, Class B3* 6.22+ 02/10/36 5,985 6,089,732
4 HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. (formerly HYPERION COLLATERALIZED SECURITIES FUND, INC.) PORTFOLIO OF INVESTMENTS (UNAUDITED) April 30, 2007
PRINCIPAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ------------ NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (CONTINUED) ------------ $ 13,648,546 ------------ Residential Funding Mortgage Security I Series 2006-S1, B2 5.75% 01/25/36 $ 545 330,316 Series 2006-S1, Class B1 5.75 01/25/36 710 573,551 Series 2006-S1, Class B3 5.75 01/25/36 380 106,474 ------------ 1,010,341 ------------ Resix Financial Ltd. Credit-Linked Note Series 2005-B, Class B7* 8.42+ 06/10/37 5,689 5,688,784 Series 2005-C, Class B7* 8.42+ 09/10/37 4,889 4,888,646 Series 2006-1, Class B7* 8.57+ 12/25/37 875 874,668 Series 2004-C, Class B7* 8.82+ 09/10/36 3,754 3,810,398 Series 2005-C, Class B8* 9.07+ 09/10/37 3,422 3,422,052 Series 2005-B, Class B8* 9.22+ 06/10/37 1,699 1,698,922 Series 2004-B, Class B7* 9.32+ 02/10/36 1,701 1,726,656 Series 2006-C, Class B9* 9.47+ 07/15/38 2,996 2,996,258 Series 2004-A, Class B7* 9.57+ 02/10/36 1,642 1,690,852 Series 2005-D, Class B7* 9.57+ 12/15/37 2,613 2,665,102 Series 2007-A, Class B10* 10.07+ 02/15/39 2,997 2,981,828 Series 2006-1, Class B9* 10.32+ 12/25/37 831 831,155 Series 2003-D, Class B7* 11.07+ 12/10/35 4,498 4,678,344 Series 2005-D, Class B8* 11.07+ 12/15/37 2,435 2,477,236 Series 2003-C, Class B7* 11.32+ 09/10/35 4,732 4,921,262 Series 2003-CB1, Class B7* 11.32+ 06/10/35 2,814 2,926,510 Series 2006-1, Class B10* 12.57+ 12/25/37 416 415,577 Series 2006-C, Class B11* 12.57+ 07/15/38 2,497 2,484,397 Series 2007-A, Class B12* 13.32+ 02/15/39 1,498 1,490,914 Series 2006-C, Class B12* 14.57+ 07/15/38 3,657 3,657,433 ------------ 56,326,994 ------------ Sequoia Mortgage Trust Series 2005-3, Class B1(a) 5.69+ 05/20/35 5,055 5,057,954 Series 2004-10, Class B1(a) 5.82+ 11/20/34 3,016 3,024,481 Series 2004-3, Class M1(a) 5.82+ 05/20/34 6,318@ 6,316,620 Series 2004-9, Class B1(a) 5.83+ 10/20/34 5,357@ 5,372,591 Series 2004-3, Class M2(a) 6.22+ 05/20/34 187 187,187 ------------ 19,958,833 ------------ Specialty Underwriting & Residential Finance Series 2006-BC5, Class M1(a) 5.56+ 11/25/37 10,032 9,949,326 Stuctured Adjustable Rate Mortgage Loa n Trust Series 2005-5, Class A3 5.55+ 05/25/35 1,258 1,258,020 Series 2005-7, Class B42 6.62+ 03/25/35 887 864,790 Series 2005-7, Class B52 6.62+ 03/25/35 633 598,201 ------------ 2,721,011 ------------ Washington Mutual Series 2005-AR1, Class B2(a) 6.27+ 01/25/45 4,453 4,414,645 Series 2005-AR2, Class B10(a) 6.52+ 01/25/45 8,259 7,178,945 ------------ 11,593,590 ------------ Wells Fargo Mortgage Backed Securities Trust Series 2006-AR6, ClassV A1 5.11 03/25/36 9,129@ 9,077,705 Series 2006-AR13, Class B1 5.76 09/25/36 6,871 6,844,453 Series 2006-AR13, Class B5* 5.76 09/25/36 1,159 893,067 Series 2006-AR13, Class B6* 5.76 09/25/36 1,509 500,448 Series 2006-14, Class B4* 6.00 11/25/36 1,669 1,385,647 Series 2006-15, Class B5* 6.00 11/25/36 2,391 1,639,991 Series 2006-15, Class B6* 6.00 11/25/36 2,550 765,093 ------------ 21,106,404 ------------
5 HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. (FORMERLY HYPERION COLLATERALIZED SECURITIES FUND, INC.) PORTFOLIO OF INVESTMENTS (UNAUDITED) April 30, 2007
PRINCIPAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ------------ NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (CONTINUED) TOTAL SUBORDINATED COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $211,718,344) $210,654,968 ------------ TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost - $211,718,344) 210,654,968 ------------
NOTIONAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ------------ INTEREST ONLY SECURITIES - 2.2% Countrywide Alternative Loan Trust Series 2005-56, Class 1X 1.16% 11/25/35 $184,274 5,787,362 Residential Accredit Loans, Inc. Series 2006-Q01, Class X3 1.03 02/25/46 173,474 9,622,396 ----------- TOTAL INTEREST ONLY SECURITIES (Cost - $18,851,896) 15,409,758 -----------
PRINCIPAL INTEREST AMOUNT RATE MATURITY (000S) VALUE -------- -------- --------- ------------ SHORT TERM INVESTMENT - 1.5% Lehman Brothers Repo (cost $10,500,000) 5.18 05/02/07 10,500 10,500,000 ------------ TOTAL INVESTMENTS - 106.8% (Cost - $791,022,472) 764,669,371 LIABILITIES IN EXCESS OF OTHER ASSETS - (6.8)% (48,851,976) ------------ NET ASSETS - 100.0% $715,817,395 ============
@ -- PORTION OR ENTIRE PRINCIPAL AMOUNT DELIVERED AS COLLATERAL FOR REVERSE REPURCHASE AGREEMENTS. * -- SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITIES ACT OF 1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM REGISTRATION, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS. + -- VARIABLE RATE SECURITY - INTEREST RATE IS IN EFFECT AS OF APRIL 30, 2007. (A) -- SECURITY IS A "STEP-UP" BOND WHERE COUPON INCREASES OR STEPS UP AT A PREDETERMINED DATE. AT THAT DATE THE COUPON INCREASES 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. CDO -- COLLATERALIZED DEBT OBLIGATION ## -- AT APRIL 30, 2007, THE AGGREGATE COST OF INVESTMENTS FOR INCOME TAX PURPOSES WAS $791,022.442. NET UNREALIZED DEPRECIATION AGGREGATED $26,353,071 OF WHICH $3,575,776 RELATED TO APPRECIATED INVESTMENT SECURITIES AND $29,928,847 RELATED TO DEPRECIATED INVESTMENT SECURITIES. 6 HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC.(formerly HYPERION COLLATERALIZED SECURITIES FUND, INC.) April 30, 2007 Valuation of Investments: Securities held by the Fund are valued based upon the current bid price where market quotations are readily available. Securities for which quotations are not readily available are valued at their fair value as determined in good faith under consistently applied procedures approved by the Fund's Board of Directors. As a general rule, the current fair value of a security would appear to be the amount which the Fund could expect to receive upon its current sale. Some of the general factors that are 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 value of mortgage-backed securities can be significantly affected by changes in interest rates or in the financial conditions of an issuer or market. Repurchase Agreements: The Fund may invest in repurchase agreements. A repurchase agreement is an agreement by which the Fund purchases securities from a third party with the commitment that they will be repurchased by the seller at a fixed price on an agreed future date. The Fund, through its custodian, receives delivery of the underlying collateral, the market value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Hyperion Brookfield Asset Management is responsible for determining that the value of these underlying securities is sufficient at all times. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. 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 April 30, 2007, the Fund had the following reverse repurchase agreements outstanding:
MATURITY FACE VALUE DESCRIPTION AMOUNT ----------- --------------------------------------------------------------------- ----------- $ 9,380,000 Bank of America, 5.39%, dated 03/20/07, maturity date 05/22/07 $ 9,468,477 5,256,000 Bank of America, 5.39%, dated 03/20/07, maturity date 05/22/07 5,305,577 8,719,000 Bear Stearns, 5.38%, dated 04/10/07, maturity date 05/24/07 8,776,332 8,497,000 Lehman Brothers, Inc., 5.31%, dated 03/20/07, maturity date 05/17/07 8,569,692 9,430,000 Lehman Brothers, Inc., 5.39%, dated 03/20/07, maturity date 05/17/07 9,511,889 9,754,000 Lehman Brothers, Inc., 5.395%, dated 04/10/07, maturity date 05/17/07 9,808,085 ----------- ----------- $51,036,000 =========== Maturity Amount, Including Interest Payable $51,440,052 ----------- Market Value of Assets Sold Under Agreements. $48,108,064 ----------- Weighted Average Interest Rate 5.38% -----------
HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC.(formerly HYPERION COLLATERALIZED SECURITIES FUND, INC.) April 30, 2007 The average daily balance of reverse repurchase agreements outstanding during the period ended April 30, 2007, was approximately $48,148,356 at a weighted average interest rate of 6.06%. The maximum amount of reverse repurchase agreements outstanding at any time during the period was $65,726,780 as of February 14, 2007 which was 10.39% 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 April 30, 2007, the following swap agreements were outstanding:
NET NOTIONAL EXPIRATION UNREALIZED AMOUNT DATE DESCRIPTION APPRECIATION -------- ---------- ----------- ------------ 20,000,000 08/25/37 Agreement with Goldman Sachs, dated 03/13/07 to pay $ 6,296,039 monthly the notional amount multiplied by 3.89% and to receive monthly the notional amount multiplied by 1month ABX-HE-BBB-07-1. 10,000,000 05/25/46 Agreement with Lehman Brothers, dated 03/01/07 to pay (2,633,128) monthly the notional amount multiplied by 0.44% and to receive monthly the notional amount multiplied by 1month ABX-HE-A-06-2. 10,000,000 05/25/46 Agreement with Lehman Brothers, dated 03/01/07 to pay (2,633,128) monthly the notional amount multiplied by 2.42% and to receive monthly the notional amount multiplied by 1month ABX-HE-BBB-06-2. 10,000,000 05/25/46 Agreement with Lehman Brothers, dated 02/27/07 to pay (495,477) monthly the notional amount multiplied by 2.42% and to receive monthly the notional amount multiplied by 1month ABX-HE-BBB-06-2. 10,000,000 03/15/49 Agreement with Lehman Brothers, dated 04/18/07 to pay 755,695 monthly the notional amount multiplied by 0.87% and to receive monthly the notional amount multiplied by 1month CMBX-NA-BBB-2. 10,000,000 05/25/46 Agreement with Royal Bank of Scotland, dated 02/23/07 $(2,633,128) to pay monthly the notional amount multiplied by 2.42% and to receive monthly the notional amount multiplied by 1month ABX-HE-BBB-06-2. ------------ $(1,343,127) ------------
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. HYPERION BROOKFIELD COLLATERALIZED SECURITIES FUND, INC. By: /s/ Clifford E. Lai ---------------------------------------------------- Clifford E. Lai Principal Executive Officer Date: June 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. By: /s/ Clifford E. Lai ---------------------------------------------------- Clifford E. Lai Principal Executive Officer Date: June 18, 2007 By: /s/ Thomas F. Doodian ---------------------------------------------------- Thomas F. Doodian Treasurer and Principal Financial Officer Date: June 18, 2007