N-Q 1 d604259dnq.htm STRATEGIC GLOBAL INCOME FUND, INC. Strategic Global Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-06475

 

 

Strategic Global Income Fund, Inc.

 

 

(Exact name of registrant as specified in charter)

1285 Avenue of the Americas, New York, New York 10019-6028

 

 

(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.

UBS Global Asset Management

1285 Avenue of the Americas

New York, NY 10019-6028

(Name and address of agent for service)

Copy to:

Jack W. Murphy, Esq.

Dechert LLP

1900 K Street, NW

Washington, DC 20006

Registrant’s telephone number, including area code: 212-821 3000

Date of fiscal year end: November 30

Date of reporting period: August 31, 2013

Item 1. Schedule of Investments

Strategic Global Income Fund, Inc.

 

Industry diversification (unaudited)

As a percentage of net assets

As of August 31, 2013

 

 

  

Bonds

   

Corporate bonds

   

Aerospace & defense

      0.06 % 

Automobiles

      0.03   

Beverages

      0.02   

Building products

      0.28   

Capital markets

      4.46   

Chemicals

      0.78   

Commercial banks

      6.07   

Computers & peripherals

      0.03   

Construction materials

      0.31   

Consumer finance

      2.31   

Diversified financial services

      5.36   

Diversified telecommunication services

      0.50   

Electrical equipment

      0.01   

Energy equipment & services

      0.32   

Entertainment

      0.04   

Food products

      0.28   

Gas utilities

      0.26   

Health care providers & services

      0.12   

Health care technology

      0.03   

Hotels, restaurants & leisure

      0.27   

Household durables

      0.02   

Independent power producers & energy traders

      0.14   

Insurance

      1.73   

Machinery

      0.62   

Media

      0.42   

Metals & mining

      2.57   

Oil, gas & consumable fuels

      5.67   

Paper & forest products

      0.09   

Real estate investment trust (REIT)

      0.10   

Specialty retail

      0.06   

Telecommunications

      0.01   

Tobacco

      0.39   

Trading companies & distributors

      0.60   

Transportation infrastructure

      0.82   

Wireless telecommunication services

      0.26   
  

 

 

  

Total corporate bonds

      35.04 % 

Asset-backed securities

      0.36   

Collateralized debt obligations

      4.93   

Commercial mortgage-backed securities

      7.38   

Mortgage & agency debt securities

      10.91   

Municipal bonds

      2.25   

US government obligations

      3.49   

Non-US government obligations

      28.10   

Structured notes

      2.68   

Supranational bonds

      1.44   
  

 

 

  

Total bonds

      96.58 % 

Common stock

      0.01   

Short-term investment

      0.81   

Options purchased

      0.90   
  

 

 

  

Total investments

      98.30 % 

Cash and other assets, less liabilities

      1.70   
  

 

 

  

Net assets

      100.00 % 
  

 

 

  
 

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Bonds — 96.58%

      

Corporate bonds — 35.04%

      

Australia — 0.50%

      

Sydney Airport Finance Co., Pty Ltd.,

      

8.000%, due 07/06/15

    AUD  1,000,000       $ 950,004   
     

 

 

  

Brazil — 1.03%

      

Petrobras Global Finance BV,

      

4.375%, due 05/20/23

    $ 1,100,000         969,045   

Petrobras International Finance Co.,

      

5.375%, due 01/27/21

      1,000,000         975,500   
     

 

 

  
        1,944,545   
     

 

 

  

Canada — 0.03%

      

Teck Resources Ltd.,

      

6.250%, due 07/15/41

      65,000         61,834   
     

 

 

  

Cayman Islands — 0.31%

      

Transocean, Inc.,

      

6.800%, due 03/15/38

      500,000         533,935   

Vale Overseas Ltd.,

      

6.875%, due 11/21/36

      50,000         48,419   
     

 

 

  
        582,354   
     

 

 

  

China — 0.57%

      

China Lesso Group Holdings Ltd.,

      

7.875%, due 05/13/161

      400,000         415,000   

China Oil & Gas Group Ltd.,

      

5.250%, due 04/25/182

      400,000         398,000   

China Shanshui Cement Group Ltd.,

      

10.500%, due 04/27/171

      260,000         262,925   
     

 

 

  
        1,075,925   
     

 

 

  

Croatia — 0.22%

      

Agrokor DD,

      

8.875%, due 02/01/202

      400,000         424,040   
     

 

 

  

Czech Republic — 0.12%

      

EP Energy AS,

      

5.875%, due 11/01/192

    EUR 165,000         232,570   
     

 

 

  

France — 0.82%

      

Reseau Ferre de France,

      

5.500%, due 12/01/211

    GBP 860,000         1,550,100   
     

 

 

  

Kazakhstan — 0.89%

      

Kazatomprom Natsionalnaya Atomnaya Kompaniya AO,

      

6.250%, due 05/20/151

    $ 1,616,000         1,696,800   
     

 

 

  

Luxembourg — 0.64%

      

ArcelorMittal,

      

5.000%, due 02/25/17

      1,000,000         1,022,500   

Intelsat Jackson Holdings SA,

      

7.250%, due 10/15/20

      125,000         133,438   

Wind Acquisition Finance SA,

      

11.750%, due 07/15/172

      50,000         52,250   
     

 

 

  
        1,208,188   
     

 

 

  

Mexico — 0.29%

      

America Movil SAB de CV,

      

5.000%, due 03/30/20

      210,000         222,779   

Cemex SAB de CV,

      

5.875%, due 03/25/192

      350,000         331,625   
     

 

 

  
        554,404   
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Netherlands — 1.27%

      

EDP Finance BV,

      

6.000%, due 02/02/182

    $ 1,000,000       $ 1,038,750   

LyondellBasell Industries NV,

      

6.000%, due 11/15/21

      1,200,000         1,360,898   
     

 

 

  
        2,399,648   
     

 

 

  

Norway — 1.76%

      

Eksportfinans ASA,

      

1.600%, due 03/20/14

    JPY  152,000,000         1,533,468   

5.500%, due 06/26/17

    $ 1,750,000         1,813,438   
     

 

 

  
        3,346,906   
     

 

 

  

Russia — 2.38%

      

RSHB Capital SA for OJSC Russian Agricultural Bank,

      

7.750%, due 05/29/181

      1,900,000         2,109,000   

VEB Finance Ltd.,

      

6.800%, due 11/22/251

      900,000         927,000   

VTB Capital SA,

      

6.950%, due 10/17/221

      1,500,000         1,473,750   
     

 

 

  
        4,509,750   
     

 

 

  

South Africa — 0.06%

      

AngloGold Ashanti Holdings PLC,

      

5.375%, due 04/15/20

      125,000         110,510   
     

 

 

  

Spain — 0.72%

      

BBVA US Senior SAU,

      

4.664%, due 10/09/15

      700,000         724,273   

Telefonica Emisiones SAU,

      

3.192%, due 04/27/18

      660,000         643,934   
     

 

 

  
        1,368,207   
     

 

 

  

Turkey — 0.54%

      

Turkiye Halk Bankasi AS,

      

3.875%, due 02/05/201

      1,200,000         1,020,000   
     

 

 

  

Ukraine — 1.09%

      

Biz Finance PLC,

      

11.000%, due 02/03/143

    UAH 10,800,000         1,209,526   

Naftogaz Ukraine,

      

9.500%, due 09/30/14

    $ 880,000         864,600   
     

 

 

  
        2,074,126   
     

 

 

  

United Kingdom — 2.87%

      

Barclays Bank PLC,

      

5.140%, due 10/14/20

      1,000,000         1,037,957   

FCE Bank PLC,

      

5.125%, due 11/16/151

    GBP 500,000         832,111   

Lloyds TSB Bank PLC,

      

6.500%, due 03/24/20

    EUR 1,000,000         1,478,694   

Royal Bank of Scotland Group PLC,

      

6.100%, due 06/10/23

    $ 630,000         606,238   

Wellcome Trust Finance PLC,

      

4.750%, due 05/28/21

    GBP 860,000         1,498,330   
     

 

 

  
        5,453,330   
     

 

 

  

United States — 18.46%

      

AES Corp.,

      

8.000%, due 10/15/17

    $ 75,000         86,250   

Allstate Corp.,

      

5.750%, due 08/15/534

      500,000         492,500   

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Ally Financial, Inc.,

      

8.300%, due 02/12/15

    $ 505,000       $ 545,400   

Altria Group, Inc.,

      

9.950%, due 11/10/38

      500,000         739,485   

AmeriGas Finance LLC,

      

6.750%, due 05/20/20

      30,000         31,800   

Anadarko Petroleum Corp.,

      

6.450%, due 09/15/36

      500,000         583,701   

AT&T, Inc.,

      

6.500%, due 09/01/37

      125,000         142,178   

Barrick North America Finance LLC,

      

5.750%, due 05/01/432

      1,015,000         864,429   

BE Aerospace, Inc.,

      

6.875%, due 10/01/20

      100,000         108,000   

Berry Petroleum Co.,

      

6.750%, due 11/01/20

      50,000         50,750   

Burlington Coat Factory Warehouse Corp.,

      

10.000%, due 02/15/19

      25,000         27,875   

Case New Holland, Inc.,

      

7.875%, due 12/01/17

      1,025,000         1,178,750   

CDW LLC,

      

8.500%, due 04/01/19

      50,000         54,937   

Celanese US Holdings LLC,

      

6.625%, due 10/15/18

      25,000         26,687   

Chrysler Group LLC,

      

8.000%, due 06/15/19

      55,000         59,744   

CIT Group, Inc.,

      

4.250%, due 08/15/17

      1,750,000         1,771,875   

5.500%, due 02/15/192

      75,000         76,875   

Citigroup, Inc.,

      

0.868%, due 05/31/174

    EUR  1,900,000         2,391,856   

Series D,

      

5.350%, due 05/15/234,5

    $ 1,170,000         1,038,375   

Clearwire Communications LLC,

      

12.000%, due 12/01/152

      20,000         21,100   

Coleman Cable, Inc.,

      

9.000%, due 02/15/18

      15,000         15,937   

Comcast Corp.,

      

6.950%, due 08/15/37

      100,000         125,814   

Constellation Brands, Inc.,

      

7.250%, due 05/15/17

      40,000         45,700   

Crosstex Energy,

      

8.875%, due 02/15/18

      180,000         191,250   

Denbury Resources, Inc.,

      

8.250%, due 02/15/20

      100,000         110,000   

Diamond Resorts Corp.,

      

12.000%, due 08/15/18

      65,000         72,150   

DirecTV Holdings LLC,

      

6.000%, due 08/15/40

      160,000         152,712   

DISH DBS Corp.,

      

7.875%, due 09/01/19

      200,000         225,500   

DuPont Fabros Technology LP,

      

8.500%, due 12/15/17

      125,000         131,875   

Eagle Spinco, Inc.,

      

4.625%, due 02/15/212

      100,000         94,000   

El Paso LLC,

      

7.000%, due 06/15/17

      1,500,000         1,671,373   

7.250%, due 06/01/18

      1,000,000         1,128,479   

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Energy Transfer Partners LP,

      

7.500%, due 07/01/38

    $ 1,000,000       $ 1,171,292   

ExamWorks Group, Inc.,

      

9.000%, due 07/15/19

      80,000         86,200   

Felcor Lodging LP,

      

6.750%, due 06/01/19

      25,000         26,187   

Ferrellgas Partners-LP,

      

9.125%, due 10/01/17

      35,000         36,662   

Fidelity National Financial, Inc.,

      

5.500%, due 09/01/22

      340,000         353,456   

Ford Motor Credit Co. LLC,

      

8.125%, due 01/15/20

      1,000,000         1,215,846   

Frontier Communications Corp.,

      

8.500%, due 04/15/20

      100,000         109,250   

9.000%, due 08/15/31

      60,000         58,200   

General Electric Capital Corp.,

      

Series C,

      

5.250%, due 06/15/234,5

      850,000         779,875   

General Motors Financial Co., Inc.,

      

4.750%, due 08/15/172

      1,740,000         1,794,375   

Georgia-Pacific LLC,

      

8.875%, due 05/15/31

      100,000         137,504   

Glencore Funding LLC,

      

2.500%, due 01/15/192

      1,190,000         1,081,562   

HCA, Inc.,

      

5.875%, due 03/15/22

      25,000         25,812   

Host Hotels & Resorts LP,

      

Series Q,

      

6.750%, due 06/01/16

      33,000         33,463   

International Lease Finance Corp.,

      

3.875%, due 04/15/18

      1,000,000         955,000   

7.125%, due 09/01/182

      75,000         83,250   

8.750%, due 03/15/17

      60,000         68,025   

Key Energy Services, Inc.,

      

6.750%, due 03/01/21

      75,000         74,062   

Kinder Morgan Energy Partners LP,

      

6.500%, due 09/01/39

      85,000         94,719   

Level 3 Financing, Inc.,

      

8.625%, due 07/15/20

      25,000         26,750   

Liberty Mutual Group, Inc.,

      

10.750%, due 06/15/582,4

      35,000         51,800   

Linn Energy LLC,

      

7.750%, due 02/01/21

      100,000         97,000   

8.625%, due 04/15/20

      100,000         100,500   

Masco Corp.,

      

7.125%, due 03/15/20

      25,000         28,125   

McClatchy Co.,

      

9.000%, due 12/15/22

      25,000         26,375   

MedAssets, Inc.,

      

8.000%, due 11/15/18

      50,000         53,750   

Mercer International, Inc.,

      

9.500%, due 12/01/17

      25,000         26,688   

Merrill Lynch & Co., Inc.,

      

6.875%, due 04/25/18

      2,500,000         2,907,370   

MetLife, Inc.,

      

6.400%, due 12/15/36

      900,000         904,500   

MGM Resorts International,

      

10.000%, due 11/01/16

      105,000         123,375   

Michael Foods, Inc.,

      

9.750%, due 07/15/18

      100,000         109,750   

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Morgan Stanley,

      

6.375%, due 07/24/42

    $ 525,000       $ 583,286   

6.625%, due 04/01/18

      1,750,000         2,005,614   

MultiPlan, Inc.,

      

9.875%, due 09/01/182

      100,000         110,750   

News America, Inc.,

      

6.200%, due 12/15/34

      65,000         69,765   

Nexstar Broadcasting, Inc.,

      

8.875%, due 04/15/17

      50,000         53,875   

Niska Gas Storage US LLC,

      

8.875%, due 03/15/18

      40,000         41,700   

NRG Energy, Inc.,

      

8.250%, due 09/01/20

      125,000         137,188   

8.500%, due 06/15/19

      50,000         53,875   

Owens Corning,

      

6.500%, due 12/01/16

      36,000         40,182   

Petco Animal Supplies, Inc.,

      

9.250%, due 12/01/182

      45,000         48,488   

Plains Exploration & Production Co.,

      

6.875%, due 02/15/23

      400,000         425,702   

Ply Gem Industries, Inc.,

      

8.250%, due 02/15/18

      45,000         48,150   

Prudential Financial, Inc.,

      

5.200%, due 03/15/444

      520,000         468,000   

Quicksilver Resources, Inc.,

      

7.125%, due 04/01/16

      50,000         45,375   

Range Resources Corp.,

      

5.750%, due 06/01/21

      25,000         26,188   

Regions Bank,

      

7.500%, due 05/15/18

      500,000         583,966   

Regions Financial Corp.,

      

2.000%, due 05/15/18

      410,000         392,205   

Royal Caribbean Cruises Ltd.,

      

7.250%, due 06/15/16

      225,000         252,000   

7.500%, due 10/15/27

      125,000         133,125   

Sprint Communications, Inc.,

      

9.000%, due 11/15/182

      25,000         29,188   

9.125%, due 03/01/17

      25,000         28,688   

SquareTwo Financial Corp.,

      

11.625%, due 04/01/17

      200,000         206,000   

Standard Pacific Corp.,

      

10.750%, due 09/15/16

      25,000         29,688   

Suburban Propane Partners LP,

      

7.500%, due 10/01/18

      84,000         90,090   

Swift Energy Co.,

      

7.875%, due 03/01/22

      25,000         24,250   

Time Warner Cable, Inc.,

      

6.550%, due 05/01/37

      145,000         139,841   

Valero Energy Corp.,

      

6.625%, due 06/15/37

      160,000         175,035   

7.500%, due 04/15/32

      750,000         886,765   

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

XL Group PLC,

      

Series E,

      

6.500%, due 04/15/174,5

    $ 1,040,000       $ 1,006,200   
     

 

 

  
        35,033,259   
     

 

 

  

Venezuela — 0.47%

      

Petroleos de Venezuela SA,

      

8.500%, due 11/02/172

      1,000,000         896,500   
     

 

 

  

Total corporate bonds
(cost $66,561,603)

         66,493,000   
     

 

 

  

Asset-backed securities — 0.36%

      

United States — 0.36%

      

Capital Auto Receivables Asset Trust,

      

Series 2013-3, Class 3C,

      

2.790%, due 10/22/18

      650,000         646,433   

Soundview Home Equity Loan Trust,

      

Series 2005-OPT1, Class 2A4,

      

0.484%, due 06/25/354

      29,511         29,278   
     

 

 

  

Total asset-backed securities
(cost $675,752)

         675,711   
     

 

 

  

Collateralized debt obligations — 4.93%

      

Cayman Islands — 2.86%

      

Apidos XIV CLO,

      

Series 2013-14A, Class C1,

      

3.118%, due 04/15/252,4

      700,000         672,000   

Ares XXVII CLO Ltd.,

      

Series 2013-2A, Class C,

      

3.024%, due 07/28/252,4

      500,000         480,000   

BlueMountain CLO Ltd.,

      

Series 2013-1A, Class B,

      

2.928%, due 05/15/252,4

      1,100,000         1,058,310   

Denali Capital CLO X,

      

Series 2013-1A, Class A3L,

      

3.164%, due 04/28/252,4

      900,000         864,000   

Galaxy CLO Ltd.,

      

Series 2013-15A, Class C,

      

2.881%, due 04/15/252,4

      700,000         666,750   

KKR Financial CLO Trust,

      

Series 2013-1A, Class B,

      

2.903%, due 07/15/252,4

      700,000         679,175   

Marathon CLO Ltd.,

      

Series 2013-5A, Class A2A,

      

2.613%, due 02/21/252,4

      1,000,000         1,002,292   
     

 

 

  
        5,422,527   
     

 

 

  

Netherlands — 2.07%

      

Boyne Valley CLO BV,

      

Series 1X, Class F,

      

2.851%, due 02/12/221,4

    EUR  1,700,000         629,105   

Cadogan Square CLO BV,

      

Series 2X, Class M,

      

6.341%, due 08/12/221,4

      2,000,000         1,057,320   

Jubilee CDO BV,

      

Series III X, Class A2,

      

1.320%, due 04/20/171,4

      236,652         311,778   

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Series III X, Class B,

      

2.120%, due 04/20/171,4

    EUR     1,500,000       $ 1,927,027   
     

 

 

  
        3,925,230   
     

 

 

  

Total collateralized debt obligations
(cost $8,875,604)

         9,347,757   
     

 

 

  

Commercial mortgage-backed securities — 7.38%

      

United States — 7.38%

      

Banc of America Commercial Mortgage, Inc.,

      

Series 2007-2, Class AM,

      

5.802%, due 04/10/494

    $ 2,950,000         3,224,197   

Series 2007-4, Class AM,

      

6.001%, due 02/10/514

      3,963,000         4,287,899   

Citigroup Commercial Mortgage Trust,

      

Series 2007-C6, Class AM,

      

5.885%, due 12/10/494

      4,950,000         5,460,652   

Morgan Stanley Bank of America Merrill Lynch Trust,

      

Series 2013-C7, Class B,

      

3.769%, due 02/15/46

      350,000         325,782   

Morgan Stanley Re-REMIC Trust,

      

Series 2009-GG10, Class A4B,

      

5.995%, due 08/12/452,4

      650,000         708,044   
     

 

 

  

Total commercial mortgage-backed securities
(cost $9,723,875)

         14,006,574   
     

 

 

  

Mortgage & agency debt securities — 10.91%

      

United States — 10.91%

      

Federal Home Loan Mortgage Corp. REMIC, IO,6

      

3.000%, due 05/15/27

      5,537,838         694,124   

3.500%, due 10/15/42

      2,945,615         686,049   

Federal National Mortgage Association REMIC, IO,6

      

Series 2013-15, Class IO,

      

2.500%, due 03/25/28

      6,634,035         751,143   

Series 2013-64, Class LI,

      

3.000%, due 06/25/33

      5,486,957         922,865   

Series 2012-146, Class IO,

      

3.500%, due 01/25/43

      1,824,032         440,508   

Series 2012-146, Class LI,

      

4.500%, due 10/25/41

      1,984,194         407,685   

Government National Mortgage Association Pools,

      

G2 MA0022,

      

3.500%, due 04/20/42

      8,842,663         8,948,164   

Government National Mortgage Association, IO,

      

Series 2013-22, Class IO,

      

3.000%, due 02/20/43

      6,569,689         1,332,195   

Series 2012-26, Class GI,

      

3.500%, due 02/20/27

      4,591,906         620,826   

Series 2012-16, Class AI,

      

3.500%, due 10/20/38

      4,191,642         540,722   

Series 2013-53, Class OI,

      

3.500%, due 04/20/43

      4,850,779         994,370   

JP Morgan Alternative Loan Trust,

      

Series 2006-A5, Class 2A6,

      

5.000%, due 10/25/364

      5,784,722         3,165,897   

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Structured Adjustable Rate Mortgage Loan Trust,

      

Series 2006-8, Class 4A3,

      

5.332%, due 09/25/364

    $ 1,460,680       $ 1,188,490   
     

 

 

  

Total mortgage & agency debt securities
(cost $23,512,981)

         20,693,038   
     

 

 

  

Municipal bonds — 2.25%

      

State of California, General Obligation Bonds,

      

7.300%, due 10/01/39

      300,000         376,278   

7.550%, due 04/01/39

      1,625,000         2,106,374   

State of Illinois, General Obligation Bonds,

      

5.877%, due 03/01/19

      1,650,000         1,778,535   

Total municipal bonds
(cost $4,327,968)

         4,261,187   
     

 

 

  

US government obligations — 3.49%

      

US Treasury Inflation Indexed Notes (TIPS),

      

0.125%, due 01/15/22

      2,063,360         1,996,462   

US Treasury Notes,

      

1.625%, due 11/15/227

      5,065,000         4,624,583   
     

 

 

  

Total US government obligations
(cost $7,212,039)

         6,621,045   
     

 

 

  

Non-US government obligations — 28.10%

      

Argentina — 4.40%

      

Republic of Argentina,

      

6.266%, due 12/15/354

      11,700,000         320,836   

6.266%, due 12/15/354,8

      3,200,825         82,971   

7.000%, due 09/12/13

      6,620,000         6,603,818   

7.000%, due 10/03/15

      1,410,000         1,253,255   

7.000%, due 04/17/17

      100,000         80,256   
     

 

 

  
        8,341,136   
     

 

 

  

Australia — 1.29%

      

Queensland Treasury Corp.,

      

6.000%, due 02/21/18

    AUD     2,500,000         2,440,655   
     

 

 

  

Austria — 0.68%

      

Republic of Austria,

      

3.400%, due 11/22/221,2

    EUR 885,000         1,290,779   
     

 

 

  

Belarus — 1.18%

      

Republic of Belarus,

      

8.750%, due 08/03/151

    $ 2,325,000         2,243,625   
     

 

 

  

Belgium — 1.41%

      

Kingdom of Belgium,

      

4.000%, due 03/28/22

    EUR 1,650,000         2,439,880   

4.000%, due 03/28/32

      165,000         232,842   
     

 

 

  
        2,672,722   
     

 

 

  

Brazil — 2.33%

      

Federative Republic of Brazil,

      

6.000%, due 08/15/50

    BRL 1,500,000         1,486,649   

Letras do Tesouro Nacional,

      

6.063%, due 04/01/149

      990,000         392,263   

Notas do Tesouro Nacional,

      

Series B, 6.000%, due 05/15/4510

      2,530,000         2,535,981   
     

 

 

  
        4,414,893   
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

China — 0.29%

      

China Government Bond,

      

2.480%, due 12/01/20

    CNY     3,500,000       $ 543,191   
     

 

 

  

France — 2.05%

      

Government of France,

      

1.000%, due 05/25/18

    EUR 730,000         955,961   

3.500%, due 04/25/26

      720,000         1,017,080   

3.750%, due 10/25/19

      700,000         1,044,158   

3.750%, due 04/25/21

      590,000         878,993   
     

 

 

  
        3,896,192   
     

 

 

  

Germany — 2.94%

      

Bundesrepublik Deutschland,

      

1.500%, due 09/04/22

      2,170,000         2,818,112   

2.250%, due 09/04/20

      560,000         788,602   

4.750%, due 07/04/28

      320,000         549,214   

Kreditanstalt fuer Wiederaufbau,

      

5.050%, due 02/04/25

    CAD 1,350,000         1,414,379   
     

 

 

  
        5,570,307   
     

 

 

  

Ghana — 0.40%

      

Republic of Ghana,

      

7.875%, due 08/07/232

    $ 232,364         224,231   

8.500%, due 10/04/171

      496,000         535,680   
     

 

 

  
        759,911   
     

 

 

  

Greece — 0.25%

      

Hellenic Republic,

      

2.000%, due 02/24/2411

    EUR 230,000         158,796   

2.000%, due 02/24/2611

      520,000         325,641   
     

 

 

  
        484,437   
     

 

 

  

Hungary — 0.11%

      

Government of Hungary,

      

7.625%, due 03/29/41

    $ 200,000         205,250   
     

 

 

  

Italy — 2.40%

      

Buoni Poliennali Del Tesoro,

      

2.100%, due 09/15/1710

    EUR 771,254         1,024,322   

2.100%, due 09/15/2110

      1,021,668         1,278,487   

3.750%, due 08/01/15

      1,150,000         1,569,750   

4.250%, due 09/01/19

      500,000         686,664   
     

 

 

  
        4,559,223   
     

 

 

  

Mexico — 1.29%

      

Mexican Udibonos,

      

4.000%, due 11/15/4010

    MXN 18,924,941         1,483,854   

Mexico Cetes,

      

4.215%, due 01/09/149

      132,000,000         974,020   
     

 

 

  
        2,457,874   
     

 

 

  

Netherlands — 0.40%

      

Government of the Netherlands,

      

1.250%, due 01/15/181,2

    EUR 565,000         752,997   
     

 

 

  

Nigeria — 1.24%

      

Nigeria Treasury Bills,

      

10.635%, due 09/26/139

    NGN 307,500,000         1,868,514   

12.675%, due 04/10/149

      85,000,000         483,274   
     

 

 

  
        2,351,788   
     

 

 

  

Poland — 0.48%

      

Republic of Poland,

      

5.750%, due 04/25/14

    PLN 2,900,000         914,087   
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face
amount		      Value  

Russia — 0.76%

      

Russian Federation,

      

7.000%, due 01/25/23

    RUB 49,900,000       $ 1,438,536   
     

 

 

  

South Africa — 0.61%

      

Republic of South Africa,

      

13.500%, due 09/15/15

    ZAR 10,550,000         1,160,466   
     

 

 

  

Spain — 1.05%

      

Kingdom of Spain,

      

4.200%, due 01/31/37

    EUR 840,000         973,744   

5.850%, due 01/31/22

      695,000         1,014,856   
     

 

 

  
        1,988,600   
     

 

 

  

Sweden — 0.84%

      

Kommuninvest I Sverige AB,

      

4.000%, due 08/12/17

    SEK     10,000,000         1,602,945   
     

 

 

  

United Kingdom — 0.34%

      

United Kingdom Gilt,

      

1.250%, due 07/22/18

    GBP 425,000         649,144   
     

 

 

  

Venezuela — 1.36%

      

Republic of Venezuela,

      

8.250%, due 10/13/241

    $ 3,500,000         2,581,250   
     

 

 

  

Total Non-US government obligations
(cost $55,895,485)

         53,320,008   
     

 

 

  

Structured notes — 2.68%

      

Ghana — 0.71%

      

Standard Chartered Bank, 23.000%, due 08/21/172 (linked to Ghana Government Bonds, 23.000%, due 08/21/17)

      2,800,000         1,358,071   
     

 

 

  

India — 1.97%

      

Standard Chartered Bank, 8.130%, due 09/23/222 (linked to Indian Government Bonds, 8.130%, due 09/23/22)

      4,828,773         3,736,934   
     

 

 

  

Total structured notes
(cost $6,588,033)

         5,095,005   
     

 

 

  

Supranational bonds — 1.44%

      

EUROFIMA,

      

6.250%, due 12/28/181

    AUD 1,405,000         1,350,647   

European Investment Bank,

      

6.500%, due 08/07/19

      1,425,000         1,392,164   

Total supranational bonds
(cost $3,262,963)

         2,742,811   
     

 

 

  

Total bonds
(cost $186,636,303)

         183,256,136   
     

 

 

  
     Shares         

Common stock — 0.01%

      

United States — 0.01%

      

WMI Holdings Corp.*
(cost $10,890)

      19,801         20,197   
     

 

 

  

Short-term investment — 0.81%

      

Investment company — 0.81%

      

UBS Cash Management Prime Relationship Fund12
(cost $1,540,777)

      1,540,777         1,540,777   
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Face amount
covered by
contracts		      Value  

Options Purchased* — 0.90%

      

Call Options — 0.01%

      

Foreign Exchange Option, Buy USD/TRY, strike @ TRY 2.0000, expires September 2013

    $ 410,000       $ 12,554   

Foreign Exchange Option, Buy USD/TRY, strike @ TRY 2.1500, expires October 2013

      680,000         8,777   
     

 

 

  
        21,331   

Put Options — 0.28%

      

90 Day Euro-Dollar Time Deposit, strike @ USD 99.2500, expires March 2015

      550         508,750   

Foreign Exchange Option, Buy AUD/BRL, strike @ BRL 2.0000, expires November 2013

    AUD     340,000         1,841   

Foreign Exchange Option, Buy EUR/BRL, strike @ BRL 2.5000, expires September 2013

    EUR 310,000         0   

Foreign Exchange Option, Buy EUR/BRL, strike @ BRL 2.5000, expires September 2013

      310,000         0   

Foreign Exchange Option, Buy EUR/BRL, strike @ BRL 2.5000, expires September 2013

      310,000         0   

Foreign Exchange Option, Buy EUR/BRL, strike @ BRL 2.8000, expires June 2014

      950,000         4,808   

Foreign Exchange Option, Buy EUR/PLN, strike @ PLN 4.0000, expires October 2013

      620,000         43   

Foreign Exchange Option, Buy EUR/PLN, strike @ PLN 4.0000, expires January 2014

      550,000         1,187   

Foreign Exchange Option, Buy EUR/ZAR, strike @ ZAR 11.5000, expires October 2013

      350,000         2   

Foreign Exchange Option, Buy GBP/BRL, strike @ BRL 2.9000, expires September 2013

    GBP 440,000         0   

Foreign Exchange Option, Buy GBP/RUB, strike @ RUB 45.9000, expires September 2013

      680,000         0   

Foreign Exchange Option, Buy GBP/ZAR, strike @ ZAR 13.2000, expires September 2013

      320,000         0   

Foreign Exchange Option, Buy GBP/ZAR, strike @ ZAR 13.2000, expires September 2013

      510,000         0   

Foreign Exchange Option, Buy USD/BRL, strike @ BRL 1.9000, expires April 2014

    $ 1,830,000         310   

Foreign Exchange Option, Buy USD/BRL, strike @ BRL 2.0300, expires June 2014

      750,000         961   

Foreign Exchange Option, Buy USD/BRL, strike @ BRL 2.0300, expires June 2014

      500,000         644   

Foreign Exchange Option, Buy USD/MXN, strike @ MXN 12.0000, expires October 2013

      620,000         115   

Foreign Exchange Option, Buy USD/TRY, strike @ TRY 1.9200, expires June 2014

      1,360,000         7,874   

Foreign Exchange Option, Buy USD/ZAR, strike @ ZAR 9.0000, expires September 2013

      340,000         0   
     

 

 

  
        526,535   
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

 

    Notional
Amount		      Value  

Options purchased on interest rate swaps — 0.61%3

      

Expiring 11/02/15. If option exercised the Fund pays semi-annually 6.000% and receives quarterly floating 3 month USD LIBOR.
Underlying interest rate swap terminating 11/04/25. European style. Counterparty: DB

    $ 14,000,000       $ 137,270   

Expiring 12/08/14. If option exercised the Fund pays quarterly floating 3 month EURIBOR and receives annually 2.325%.
Underlying interest rate swap terminating 12/10/15. European style. Counterparty: BB

    EUR     48,000,000         1,022,542   
     

 

 

  
        1,159,812   
     

 

 

  

Total options purchased
(cost $1,444,412)

         1,707,678   
     

 

 

  

Total investments13 — 98.30%
(cost $189,632,382)

         186,524,788   

Cash and other assets, less liabilities — 1.70%

         3,216,486   
     

 

 

  

Net assets — 100.00%

       $ 189,741,274   
     

 

 

  

Notes to portfolio of investments

Aggregate cost for federal income tax purposes was substantially the same as for book purposes; and net unrealized depreciation consisted of:

 

Gross unrealized appreciation

    $ 10,074,323   

Gross unrealized depreciation

      (13,181,917 ) 
  

 

 

  

Net unrealized depreciation of investments

    $ (3,107,594 ) 
  

 

 

  

For a listing of defined portfolio acronyms, counterparty abbreviations and currency abbreviations that are used throughout the Portfolio of investments as well as the tables that follow, please refer to the end of this report.

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Forward foreign currency contracts

 

Counterparty

    Contracts to deliver      In exchange for      Maturity
date		      Unrealized
appreciation/
(depreciation)		  

BB

    AUD      4,165,000       CAD      3,955,381         10/25/13       $ 56,088   

BB

    AUD      4,190,000       NZD      4,718,832         10/25/13         (82,841 ) 

BB

    CAD      4,008,798       USD      3,870,000         10/25/13         68,902   

BB

    CHF      3,645,000       JPY      389,739,219         10/25/13         51,356   

BB

    EUR      5,830,000       CHF      7,231,474         10/25/13         68,597   

BB

    JPY      388,196,145       CHF      3,645,000         10/25/13         (35,636 ) 

BB

    PLN      3,420,000       USD      1,060,301         09/18/13         3,045   

BB

    TRY      4,650,000       USD      2,356,578         09/18/13         81,795   

BB

    USD      6,164,955       AUD      6,775,000         10/25/13         (155,520 ) 

BB

    USD      892,765       BRL      2,043,000         06/10/14         (87,149 ) 

BB

    USD      3,870,000       CAD      4,059,901         10/25/13         (20,446 ) 

BB

    USD      131,239       MXN      1,671,000         09/10/13         (6,239 ) 

BB

    USD      18,066       TWD      540,000         09/18/13         (17 ) 

CSI

    BRL      5,832,850       USD      2,697,895         09/18/13         261,274   

CSI

    CLP      1,340,355,000       USD      2,619,160         09/23/13         1,564   

CSI

    GBP      422,000       USD      656,125         10/22/13         2,397   

CSI

    GBP      2,530,000       USD      3,859,242         10/25/13         (59,937 ) 

CSI

    IDR      9,991,930,000       USD      991,460         09/18/13         78,317   

CSI

    MXN      517,000       USD      39,980         09/18/13         1,334   

CSI

    PLN      2,650,000       USD      790,247         09/18/13         (28,972 ) 

CSI

    USD      1,672,449       INR      97,370,000         09/18/13         (204,423 ) 

CSI

    USD      469,404       MXN      6,066,000         09/10/13         (15,633 ) 

CSI

    USD      1,665,294       TRY      3,234,000         09/18/13         (83,218 ) 

CSI

    ZAR      12,170,000       USD      1,194,801         09/18/13         13,593   

DB

    BRL      3,350,000       USD      1,450,216         09/18/13         50,783   

DB

    CLP      155,000,000       USD      303,060         09/23/13         359   

DB

    MXN      15,050,000       USD      1,113,310         09/10/13         (12,515 ) 

DB

    THB      40,260,000       USD      1,266,994         09/18/13         17,312   

DB

    UAH      7,137,000       USD      771,564         02/03/14         (76,875 ) 

DB

    USD      2,990,407       CLP      1,527,500,000         09/23/13         (7,334 ) 

DB

    USD      883,460       IDR      9,991,930,000         09/18/13         29,683   

DB

    USD      84,765       KRW      96,486,600         09/23/13         2,045   

DB

    USD      125,181       MXN      1,602,000         09/10/13         (5,342 ) 

DB

    USD      1,057,732       MYR      3,340,000         09/18/13         (41,844 ) 

DB

    USD      1,088,794       PHP      47,074,000         09/18/13         (33,417 ) 

DB

    USD      1,291,505       THB      39,830,000         09/18/13         (55,170 ) 

DB

    USD      730,909       TRY      1,400,130         09/18/13         (45,965 ) 

GSI

    BRL      2,043,000       USD      847,191         06/10/14         41,574   

GSI

    EUR      3,157,500       USD      4,177,796         10/25/13         3,926   

GSI

    MXN      20,350,000       USD      1,554,183         09/18/13         33,012   

GSI

    UAH      1,611,000       USD      162,892         02/03/14         (28,622 ) 

GSI

    USD      4,205,313       EUR      3,150,000         10/25/13         (41,358 ) 

GSI

    USD      15,327       HUF      3,510,000         09/18/13         56   

HSBC

    CHF      12,665,000       USD      13,402,967         10/25/13         (214,331 ) 

HSBC

    GBP      5,285,000       USD      8,023,671         10/25/13         (163,230 ) 

HSBC

    USD      6,844,198       EUR      5,230,000         10/25/13         69,290   

JPMCB

    AUD      4,325,000       JPY      379,034,783         10/25/13         25,097   

JPMCB

    CAD      1,745,000       USD      1,670,889         10/25/13         16,299   

JPMCB

    EUR      730,000       USD      971,452         10/25/13         6,472   

JPMCB

    GBP      2,515,000       JPY      373,931,709         10/25/13         (86,551 ) 

JPMCB

    JPY      377,446,210       AUD      4,325,000         10/25/13         (8,914 ) 

JPMCB

    JPY      378,070,645       GBP      2,515,000         10/25/13         44,386   

JPMCB

    NZD      4,950,000       USD      3,874,226         10/25/13         62,522   

JPMCB

    USD      1,061,710       DKK      6,050,000         10/25/13         10,705   

JPMCB

    USD      1,180,703       GBP      770,000         10/25/13         12,090   

JPMCB

    USD      11,689,726       NOK      70,390,000         10/25/13         (210,154 ) 

JPMCB

    USD      1,761,399       SEK      11,640,000         10/25/13         (7,116 ) 

MLI

    INR      66,500,000       USD      1,020,486         09/18/13         17,881   

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Counterparty

    Contracts to
deliver		      In exchange for      Maturity
date		      Unrealized
appreciation/
(depreciation)		  

MLI

    USD      438,279       MXN      5,711,000         09/10/13       $ (11,065 ) 

RBS

    USD      13,800,940       JPY      1,383,300,000         10/25/13         291,289   

Net unrealized depreciation on forward foreign currency contracts

  

       $ (406,791 ) 
                 

 

 

  

Futures contracts

 

      Expiration
date		    Cost/
(proceeds)		     Value     Unrealized
appreciation/
(depreciation)		  

US Treasury futures buy contracts:

          

US Long Bond, 9 contracts (USD)

    December 2013    $ 1,175,025      $ 1,187,156      $ 12,131   

US Ultra Bond Futures, 75 contracts (USD)

    December 2013          10,501,946            10,640,625        138,679   

5 Year US Treasury Notes, 69 contracts (USD)

    December 2013      8,245,049        8,257,898        12,849   

US Treasury futures sell contracts:

          

US Long Bond, 8 contracts (USD)

    December 2013      (1,045,241 )      (1,055,250 )      (10,009 ) 

5 Year US Treasury Notes, 60 contracts (USD)

    December 2013      (7,171,329 )      (7,180,781 )      (9,452 ) 

10 Year US Treasury Notes, 236 contracts (USD)

    December 2013      (29,254,138 )      (29,330,375 )      (76,237 ) 

Interest rate futures buy contracts:

          

3 Month EURIBOR, 110 contracts (EUR)

    March 2015      36,092,307        36,090,957        (1,350 ) 
         

 

 

  

Net unrealized appreciation on futures contracts

  

     $ 66,611   
         

 

 

  

Options written

 

Call options

    Expiration
date		    Premiums
received		      Value  

Foreign Exchange Option, Sell USD/TRY, USD 410,000 face amount covered by contracts, strike @ TRY 2.1000

    September 2013    $ 1,660       $ (4,039 ) 

Foreign Exchange Option, Sell USD/TRY, USD 680,000 face amount covered by contracts, strike @ TRY 2.2000

    October 2013      3,414         (6,204 ) 

Put options

         

90 Day Euro-Dollar Time Deposit, USD 550 face amount covered by contracts, strike @ USD 98.2500

    March 2015      142,450         (195,938 ) 

Foreign Exchange Option, Sell AUD/BRL, AUD 340,000 face amount covered by contracts, strike @ BRL 1.9000

    November 2013      2,386         (1,019 ) 

Foreign Exchange Option, Sell EUR/BRL, EUR 310,000 face amount covered by contracts, strike @ BRL 2.4000

    September 2013      1,797         0   

Foreign Exchange Option, Sell EUR/BRL, EUR 310,000 face amount covered by contracts, strike @ BRL 2.4000

    September 2013      1,486         0   

Foreign Exchange Option, Sell EUR/BRL, EUR 310,000 face amount covered by contracts, strike @ BRL 2.4000

    September 2013      1,053         0   

Foreign Exchange Option, Sell EUR/BRL, EUR 950,000 face amount covered by contracts, strike @ BRL 2.6000

    June 2014      8,086         (1,039 ) 

Foreign Exchange Option, Sell EUR/PLN, EUR 620,000 face amount covered by contracts, strike @ PLN 3.9000

    October 2013      1,037         (2 ) 

Foreign Exchange Option, Sell EUR/PLN, EUR 550,000 face amount covered by contracts, strike @ PLN 3.9000

    January 2014      2,293         (385 ) 

Foreign Exchange Option, Sell EUR/ZAR, EUR 350,000 face amount covered by contracts, strike @ ZAR 11.0000

    October 2013      3,622         0   

Foreign Exchange Option, Sell GBP/BRL, GBP 440,000 face amount covered by contracts, strike @ BRL 2.7500

    September 2013      4,379         0   

Foreign Exchange Option, Sell GBP/RUB, GBP 680,000 face amount covered by contracts, strike @ RUB 44.2000

    September 2013      5,485         0   

Foreign Exchange Option, Sell GBP/ZAR, GBP 830,000 face amount covered by contracts, strike @ ZAR 12.7500

    September 2013      10,204         0   

Foreign Exchange Option, Sell USD/BRL, USD 1,830,000 face amount covered by contracts, strike @ BRL 1.8000

    April 2014      4,850         (57 ) 

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Put options

    Expiration
date		    Premiums
received		      Value  

Foreign Exchange Option, Sell USD/BRL, USD 1,500,000 face amount covered by contracts, strike @ BRL 1.9600

    June 2014    $ 6,757       $ (849 ) 

Foreign Exchange Option, Sell USD/BRL, USD 1,000,000 face amount covered by contracts, strike @ BRL 1.9600

    June 2014      4,952         (572 ) 

Foreign Exchange Option, Sell USD/MXN, USD 620,000 face amount covered by contracts, strike @ MXN 11.5000

    October 2013      2,884         (6 ) 

Foreign Exchange Option, Sell USD/TRY, USD 680,000 face amount covered by contracts, strike @ TRY 1.9800

    June 2014      21,488         (8,284 ) 

Foreign Exchange Option, Sell USD/ZAR, USD 680,000 face amount covered by contracts, strike @ ZAR 8.4000

    September 2013      3,407         0   

Options written on interest rate swaps3

         

If option exercised the Fund receives annually 3.325% and pays quarterly floating 3 month EURIBOR.Underlying interest rate swap terminating 12/10/15. European style. Counterparty: BB, Notional Amount EUR 48,000,000

    December 2014      233,238         (25,802 ) 

If option exercised the Fund receives quarterly floating 3 month EURIBOR and pays annually 1.825%. Underlying interest rate swap terminating 12/10/15. European style. Counterparty: BB, Notional Amount EUR 48,000,000

    December 2014      270,235         (725,349 ) 

If option exercised the Fund receives semi-annually 7.250% and pays quarterly floating 3 month USD LIBOR. Underlying interest rate swap terminating 11/04/25. European style. Counterparty: DB, Notional Amount USD 14,000,000

    November 2015      257,600         (62,061 ) 

If option exercised the Fund receives semi-annually 8.760% and pays quarterly floating 3 month USD LIBOR. Underlying interest rate swap terminating 11/04/25. European style. Counterparty: DB, Notional Amount USD 14,000,000

    November 2015      166,600         (28,531 ) 

Options written on credit default swaps on credit indices3

         

If option exercised payment from the counterparty will be received upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the CDX.NA.HY Series 20 Index and Fund pays quarterly fixed rate of 5.000%. Underlying credit default swap terminating 10/16/13. European style. Counterparty: MLI, Notional Amount USD 15,000,000

    October 2013      78,000         (72,755 ) 

If option exercised payment from the counterparty will be received upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the CDX.NA.HY Series 20 Index and Fund pays quarterly fixed rate of 5.000%. Underlying credit default swap terminating 12/18/13. European style. Counterparty: JPMCB, Notional Amount USD 30,000,000

    December 2013      375,000         (428,800 ) 

If option exercised payment from the counterparty will be received upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the CDX.NA.HY Series 20 Index and Fund pays quarterly fixed rate of 5.000%. Underlying credit default swap terminating 12/18/13. European style. Counterparty: MLI, Notional Amount USD 13,750,000

    December 2013      126,500         (107,618 ) 

If option exercised payment from the counterparty will be received upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the CDX.NA.HY Series 20 Index and Fund pays quarterly fixed rate of 5.000%. Underlying credit default swap terminating 12/18/13. European style. Counterparty: MLI, Notional Amount USD 15,000,000

    December 2013      60,000         (35,309 ) 
     

 

 

  

Total options written

       $   1,800,863       $   (1,704,619 ) 
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Written option activity for the period ended August 31, 2013 was as follows:

 

     Number of
contracts		     Premiums
received		  

Options outstanding at November 30, 2012

      200      $ 89,300   

Options written

      1,723        227,519   

Options terminated in closing purchase transactions

      (1,373 )      (174,369 ) 

Options expired prior to exercise

      —        —   
  

 

 

    

 

 

  

Options outstanding at August 31, 2013

      550      $ 142,450   
  

 

 

    

 

 

  

Swaptions and foreign exchange written options activity for the period ended August 31, 2013 was as follows:

 

     Premiums
received		  

Swaptions & foreign exchange options outstanding at November 30, 2012

    $ 2,423,732   

Swaptions & foreign exchange options written

      1,828,149   

Swaptions & foreign exchange options terminated in closing purchase transactions

        (2,592,698 ) 

Swaptions & foreign exchange options expired prior to exercise

      (770 ) 
  

 

 

  

Swaptions & foreign exchange options outstanding at August 31, 2013

    $ 1,658,413   
  

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Currency swap agreement3

 

Counterparty

   Pay
contracts		     Receive
contracts		     Termination
date		   Pay
rate14		  

Receive
rate14

   Upfront
payments
(made)/
received		     Value     Unrealized
appreciation/
(depreciation)		  

BB

   AUD     22,328,244      USD     20,720,610      12/24/13   3 month
BBSW		   3 month USD LIBOR   $ —      $ 3,406,581      $ 3,406,581   

BB

   INR     249,400,000      USD     4,831,453      12/05/16   4.500%   6 month USD LIBOR     —        1,326,966        1,326,966   

BB

   USD     20,720,610      AUD     22,328,244      12/24/22   3 month
USD LIBOR		   3 month BBSW     —        (3,389,069 )      (3,389,069 ) 

MLI

   CAD     21,865,500      USD     21,500,000      03/16/40   3 month BA   3 month USD LIBOR     (1,162,605 )      762,278        (400,327 ) 

MLI

   USD     21,500,000      CAD     21,865,500      03/16/20   3 month
USD LIBOR		   3 month BA     1,162,605        (542,425 )      620,180   
               

 

 

    

 

 

    

 

 

  
                $ —      $ 1,564,331      $ 1,564,331   
               

 

 

    

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Interest rate swap agreements

 

Counterparty

   Notional
amount		     Termination
date		  

Payments made by
the Fund14

  

Payments received
by the Fund14

   Upfront
payments
(made)/
received		     Value     Unrealized
appreciation/
(depreciation)		  

CITI

   KRW     4,800,000,000      08/26/16   3.410%   3 month CD KSDA   $ —      $ (56,518 )    $ (56,518 ) 

CITI

   USD     42,400,000      11/24/18   1 month LIBOR (USD BBA)   3 month LIBOR (USD BBA)     —        182,395        182,395   

CSI

   CAD     36,375,000      02/11/14   2.775   3 month BA     —        (256,238 )      (256,238 ) 

CSI

   CAD     32,620,000      02/11/17   3 month BA   3.500     (293,326 )      1,618,660        1,325,334   

CSI

   CAD     9,200,000      02/11/22   4.145   3 month BA     —        (841,678 )      (841,678 ) 

DB

   EUR     8,200,000      05/04/22   2.130   6 month EURIBOR     467,871        (171,911 )      295,960   

DB

   EUR     3,650,000      05/04/42   6 month EURIBOR   2.460     —        (203,150 )      (203,150 ) 

DB

   ZAR     7,400,000      05/31/23   3 month JIBAR   7.480     —        (43,222 )      (43,222 ) 

GSI

   TWD     140,000,000      08/26/16   1.280   3 month TWCPBA     —        (9,423 )      (9,423 ) 

JPMCB

   CAD     36,375,000      02/11/14   3 month BA   2.775     —        256,238        256,238   

JPMCB

   CAD     32,620,000      02/11/17   3.500   3 month BA     —        (1,618,660 )      (1,618,660 ) 

JPMCB

   CAD     9,200,000      02/11/22   3 month BA   4.145     —        841,678        841,678   

JPMCB

   EUR     8,200,000      05/04/22   6 month EURIBOR   2.130     —        171,911        171,911   

JPMCB

   EUR     3,650,000      05/04/42   2.460   6 month EURIBOR     —        203,150        203,150   

JPMCB

   USD     84,700,000      11/24/13   3 month LIBOR (USD BBA)   1 month LIBOR (USD BBA)     —        14,799        14,799   

JPMCB

   USD     105,000,000      02/12/16   0.825   3 month LIBOR (USD BBA)     —        342,405        342,405   

JPMCB

   USD     42,300,000      11/24/18   1 month LIBOR (USD BBA)   3 month LIBOR (USD BBA)     —        171,052        171,052   

JPMCB

   USD     105,000,000      07/03/42   1 month LIBOR (USD BBA)   3 month LIBOR (USD BBA)     —        153,091        153,091   

MLI

   CAD     105,000,000      02/08/16   3 month BA   1.785     —        (321,155 )      (321,155 ) 

MLI

   CAD     22,140,000      04/09/17   3 month BA   1.978     —        30,480        30,480   

MLI

   CAD     7,480,000      02/04/21   3.725   3 month BA     194,693        (476,178 )      (281,485 ) 

MLI

   CAD     7,410,000      02/04/31   3 month BA   4.310     —        706,019        706,019   

MLI

   CAD     2,620,000      02/04/41   4.208   3 month BA     —        (293,609 )      (293,609 ) 

MLI

   ZAR     12,000,000      06/04/18   3 month JIBAR   6.400     —        (48,612 )      (48,612 ) 

MSCI

   CAD     21,160,000      04/08/17   3.600   3 month BA     —        (1,295,223 )      (1,295,223 ) 
           

 

 

    

 

 

    

 

 

  
            $ 369,238      $ (943,699 )    $ (574,461 ) 
           

 

 

    

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Credit default swaps on corporate and sovereign issues — buy protection15

 

Counterparty

   

Referenced obligation16

   Notional amount     Termination
date		   Payments
made by the
Fund14		   Upfront
payments
(made)/
received		     Value     Unrealized
depreciation		  

BB

    Aetna, Inc. Bond,
6.625%, due 06/15/36		   USD     3,000,000      09/20/17   1.000%   $ 40,342      $ (88,057 )    $ (47,715 ) 

CITI

    Commerzbank AG Bond,
4.000%, due 09/16/20		   EUR     1,600,000      06/20/18   1.000     (57,445 )      55,842        (1,603 ) 

CITI

    Weyerhaeuser Co. Bond,
7.125%, due 07/15/23		   USD     3,000,000      09/20/17   1.000     (96,189 )      (28,570 )      (124,759 ) 

JPMCB

    Government of Japan Bond,
2.000%, due 03/21/22		   USD     4,000,000      12/20/17   1.000           20,131        (73,332 )      (53,201 ) 

MLI

    XLIT Ltd. Bond,
6.250%, due 05/15/27		   USD     3,000,000      09/20/17   1.000     (32,170 )      (66,090 )      (98,260 ) 

MLI

    Nucor Corp. Bond,
5.750%, due 12/01/17		   USD     3,025,000      03/20/18   1.000     40,282        (42,283 )      (2,001 ) 

MLI

    Allstate Corp. Bond,
6.750%, due 05/15/18		   USD     3,025,000      03/20/18   1.000     58,482        (78,997 )      (20,515 ) 

MSCI

    Deutsche Bank AG Bond,
5.125%, due 08/31/17		   EUR     1,750,000      06/20/17   1.000     (94,483 )      (14,480 )      (108,963 ) 
            

 

 

    

 

 

    

 

 

  
             $ (121,050 )      $    (335,967)      $ (457,017 ) 
            

 

 

    

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Credit default swap on credit indices — sell protection17

 

Counterparty

  

Referenced Index16

   Notional amount     Termination
date		   Payments
received by
the  Fund14		   Upfront
payments
received		     Value     Unrealized
appreciation		     Credit
spread18

MLI

   CDX.NA.HY.
Series 15 Index		   USD     4,000,000      12/20/15   5.000%   $     295,000      $     324,260      $     619,260      1.908%
           

 

 

    

 

 

    

 

 

    

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Credit default swaps on corporate and sovereign issues — sell protection17

 

Counterparty

  

Referenced obligation16

   Notional amount     Termination
date		   Payments
received by
the  Fund14		   Upfront payments
(made)/
received		     Value     Unrealized
appreciation/
(depreciation)		     Credit
spread18

BB

   Lloyds TSB Bank PLC Bond,
3.375%, due 04/20/15		   EUR     1,600,000      06/20/18   1.000%   $ 62,351      $ (29,998 )    $ 32,353      1.353%

BB

   UnitedHealth Group, Inc. Bond,
6.000%, due 02/15/18		   USD     3,000,000      09/20/17   1.000     11,776        83,513        95,289      0.355

CITI

   Georgia-Pacific LLC Bond,
7.750%, due 11/15/29		   USD     3,000,000      09/20/17   1.000     75,129        48,160            123,289      0.647

CITI

   Republic of Korea Bond,
4.875%, due 09/22/14		   USD     800,000      06/20/18   1.000     (7,198 )      8,951        1,753      0.802

JPMCB

   Republic of China Bond,
4.250%, due 10/28/14		   USD     4,000,000      12/20/17   1.000     (16,042 )      22,501        6,459      0.913

MLI

   JPMorgan Chase & Co. Bond,
4.750%, due 03/01/15		   USD     3,000,000      09/20/17   1.000     45,158            40,700        85,858      0.708

MLI

   Barrick Gold Corp. Bond,
5.800%, due 11/15/34		   USD     3,025,000      03/20/18   1.000     59,443        (147,218 )      (87,775 )    2.186

MLI

   Hartford Financial Services Group, Inc. Bond,
6.000%, due 01/15/19		   USD     3,025,000      03/20/18   1.000     33,599        12,000        45,599      0.955
           

 

 

    

 

 

    

 

 

    
            $ 264,216      $ 38,609      $ 302,825     
           

 

 

    

 

 

    

 

 

    

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Total return swap agreements3

 

Counterparty

    Notional amount      Termination
date		   

Payments made by the Fund14

    Payments
received by
the Fund		     Upfront
payments		      Value     Unrealized
depreciation		  

JPMCB

    GBP      6,710,000       12/20/13    3 month USD LIBOR      — 19    $  —       $ (428,883 )    $ (428,883 ) 
                

 

 

     

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Centrally cleared credit default swap on credit indices — buy protection15

 

Counterparty

   

Referenced Index16

    Notional amount      Termination
date		    Payments
made by
the Fund14		   Upfront
payments
received		      Value      Unrealized
depreciation		  

CITI

    CDX.NA.IG.Series 20 Index    USD      50,000,000       06/20/18    1.000%   $     148,643       $     (472,389)       $     (323,746)   
                

 

 

     

 

 

     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

Centrally cleared credit default swap on credit indices — sell protection17

 

Counterparty

  

Referenced Index16

   Notional amount     Termination
date		   Payments
received by
the  Fund14		   Upfront
payments
made		     Value     Unrealized
depreciation		     Credit
spread18

CITI

   CDX.NA.HY.
Series 20 Index		   USD     15,000,000      06/20/18   5.000%   $     (765,000 )    $     735,403      $     (29,597 )    4.060
           

 

 

    

 

 

    

 

 

    

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of August 31, 2013 in valuing the Fund’s investments:

 

Description    Unadjusted quoted
prices in active
markets for
identical investments
(Level 1)		     Other significant
observable inputs
(Level 2)		     Unobservable
inputs
(Level 3)		      Total  

Corporate bonds

    $ —      $ 66,493,000      $ —       $ 66,493,000   

Asset-backed securities

      —        675,711        —         675,711   

Collateralized debt obligations

      —        4,400,272        4,947,485         9,347,757   

Commercial mortgage-backed securities

      —        14,006,574        —         14,006,574   

Mortgage & agency debt securities

      —        19,531,490        1,161,548         20,693,038   

Municipal bonds

      —        4,261,187        —         4,261,187   

US government obligations

      —        6,621,045        —         6,621,045   

Non-US government obligations

      —        53,320,008        —         53,320,008   

Structured notes

      —        5,095,005        —         5,095,005   

Supranational bonds

      —        2,742,811        —         2,742,811   

Common stocks

      20,197        —        —         20,197   

Short-term investments

      —        1,540,777        —         1,540,777   

Options purchased

      508,750        1,198,928        —         1,707,678   

Forward foreign currency contracts, net

      —        (406,791 )      —         (406,791 ) 

Futures contracts, net

      66,611        —        —         66,611   

Options written

      (195,938 )      (1,508,681 )      —         (1,704,619 ) 

Swap agreements, net20

      —        134,692        —         134,692   

Total

    $ 399,620      $ 178,106,028      $     6,109,033       $     184,614,681   

At August 31, 2013, there were no transfers between Level 1 and Level 2.

Level 3 rollforward disclosure

The following is a rollforward of the Fund’s investments that were valued using unobservable inputs for the period:

 

      Collateralized
debt obligations		     Mortgage &
agency
debt
securities		     Preferred
stock		     Total  

Assets

         

Beginning balance

    $ 4,798,347      $ 608,192      $ 10      $ 5,406,549   

Purchases

      3,364,239        —        —        3,364,239   

Issuances

      —        —        —        —   

Sales

      (4,280,625 )      —        0        (4,280,625 ) 

Accrued discounts (premiums)

      —        (119,481 )      —        (119,481 ) 

Total realized gain

      1,877,925        —        —        1,877,925   

Change in net unrealized appreciation (depreciation)

      (1,869,721 )      52,011        (10 )      (1,817,720 ) 

Transfers into Level 3

      1,057,320        620,826        —        1,678,146   

Transfers out of Level 3

      —        —        —        —   

Ending balance

    $ 4,947,485      $ 1,161,548      $ —      $ 6,109,033   

The change in net unrealized appreciation relating to the Level 3 investments held at August 31, 2013 was $125,145. Transfers into Level 3 represent the value at the end of the period. At August 31, 2013, securities were transferred from Level 2 to Level 3 as the valuations are based primarily on unobservable inputs.

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2013 (unaudited)

 

  * 

Non-income producing security.

  1 

Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At August 31, 2013, the value of these securities amounted to $22,966,894 or 12.10% of net assets.

  2 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities are considered liquid, unless noted otherwise, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2013, the value of these securities amounted to $21,123,135 or 11.13% of net assets.

  3 

Security is illiquid. At August 31, 2013, the value of these securities and other illiquid derivative instruments amounted to $13,711,765 or 7.23% of net assets.

  4 

Variable or floating rate security — The interest rate shown is the current rate as of August 31, 2013 and changes periodically.

  5 

Perpetual bond security. The maturity date reflects the next call date.

  6 

On September 7, 2008, the Federal Housing Finance Agency placed the Federal Home Loan Mortgage Corporation and the Federal National Mortgage Association into conservatorship, and the US Treasury guaranteed the debt issued by those organizations.

  7 

All or a portion of this security has been designated as collateral for open swap agreements.

  8 

Security pays, when required, a floating rate that is determined annually based on the Argentina GDP.

  9

Rate shown reflects annualized yield at August 31, 2013 on zero coupon bond.

  10 

Debt security whose principal and/or interest payments are adjusted for inflation, unlike debt securities that make fixed principal and interest payments. The interest rate paid by the securities is fixed, while the principal value rises or falls based on changes in an index. Thus, if inflation occurs, the principal and interest payments on the securities are adjusted accordingly to protect investors from inflationary loss. During a deflationary period, the principal and interest payments decrease, although the securities’ principal amounts will not drop below their face amounts at maturity. In exchange for the inflation protection, the securities generally pay lower interest rates than typical government securities from the issuer’s country. Only if inflation occurs will securities offer a higher real yield than a conventional security of the same maturity.

  11 

Step bond — Coupon rate increases in increments to maturity. Rate disclosed is as of August 31, 2013. Maturity date disclosed is the ultimate maturity date.

  12 

The table below details the Fund’s investments in a fund advised by the same advisor as the Fund. The advisor does not earn a management fee from the affiliated UBS Relationship Fund.

 

Security description

    Value
11/30/12		      Purchases
during the
nine months ended
08/31/13		      Sales
during the
nine months ended
08/31/13		      Value
08/31/13		      Income
earned from
affiliate for the
nine months ended
08/31/13		  
UBS Cash Management Prime Relationship Fund    $ 10,963,080       $ 61,340,353       $ 70,762,656       $ 1,540,777       $ 5,240   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  13 

The Fund calculates its net asset value based on the current market value, where available, for its portfolio securities. The Fund normally obtains market values for its securities and other instruments from independent pricing sources and broker-dealers. Independent pricing sources may use reported last sale prices, official market closing prices, current market quotations or valuations from computerized “evaluation” systems that derive values based on comparable securities or instruments. An evaluation system incorporates parameters such as security quality, maturity and coupon, and/or research and evaluations by its staff, including review of broker-dealer market price quotations, if available, in determining the valuation of the portfolio securities or instruments. Securities and other instruments also may be valued based on appraisals derived from information concerning the security or instrument or similar securities or instruments received from recognized dealers in those holdings. Securities and instruments traded in the over-the-counter (“OTC”) market and listed on The NASDAQ Stock Market, Inc. (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price. Other OTC securities are valued at the last bid price on the valuation date available prior to valuation. Securities and instruments which are listed on US and foreign stock exchanges normally are valued at the market closing price, the last sale price on the day the securities are valued or, lacking any sales on such day, at the last available bid price. In cases where securities or instruments are traded on more than one exchange, the securities or instruments are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc. (“UBS Global AM” or the “Advisor”), the investment advisor of the Fund. If a market value is not readily available from an independent pricing source for a particular security or instrument, that security or instrument is valued at fair value as determined in good faith by or under the direction of the Fund’s Board. Various factors may be reviewed in order to make a good faith determination of a security’s or instrument’s fair value. These factors include, but are not limited to, fundamental analytical data relating to the investment; the nature and duration of restrictions on disposition of the securities or

  instruments; and the evaluation of forces which influence the market in which the securities or instruments are purchased and sold. Certain securities or instruments in which the Fund invests are traded in markets that close before 4:00 p.m., Eastern time. Normally, developments that occur between the close of the foreign markets and 4:00 p.m. Eastern Time will not be reflected in the Fund’s net asset value. However, if the Fund determines that such developments are so significant that they will materially affect the value of the Fund’s securities or instruments, the Fund may adjust the previous closing prices to reflect what is believed to be the fair value of these securities or instruments as of 4:00 p.m. Eastern Time. Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Pursuant to the Fund’s use of the practical expedient within ASC Topic 820, investments in nonregistered investment companies are also valued at the daily net asset value.
  14

Payments made or received are based on the notional amount.

  15 

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  16 

Payments from/to the counterparty will be received/made upon the occurrence of bankruptcy and/or restructuring event with respect to the referenced index/obligation.

  17 

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  18 

Credit spreads, represented in absolute terms, utilized in determining the market value as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default or other credit event occurring for the credit derivative. The credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity. Credit spreads are unaudited.

  19

Payment is based on the performance of the underlying iBoxx GBP Corporates Total Return Index.

  20 

Swap agreements are included in the table, at value, with the exception of centrally cleared swap agreements which are included in the table at unrealized appreciation/(depreciation).

 

Portfolio acronyms
BA    Canadian Bankers’ Acceptance Rate
BBA    British Banking Association
BBSW    Bank Bill Swap Reference Rate (Australian Financial Market)
CD KSDA    Korean Securities Dealer Association 91-day Certificate
   of Deposit Rate
CDO    Collateralized debt obligations
CLO    Collateralized loan obligations
EURIBOR    Euro Interbank Offered Rate
GDP    Gross Domestic Product
IO    Interest only — This security entitles the holder to receive interest payments from an underlying pool of mortgages. The risk associated with this security is related to the speed of the principal paydowns. High prepayments would result in a smaller amount of interest being received and cause the yield to decrease. Low prepayments would result in a greater amount of interest being received and cause the yield to increase.
JIBAR    Johannesburg Interbank Agreed Rate
LIBOR    London Interbank Offered Rate
OJSC    Open joint stock company
REMIC    Real Estate Mortgage Investment Conduit

TIPS    Treasury inflation protected securities (“TIPS”) are debt securities issued by the US Treasury whose principal and/or interest payments are adjusted for inflation, unlike debt securities that make fixed principal and interest payments. The interest rate paid by the TIPS is fixed, while the principal value rises or falls based on changes in a published Consumer Price Index (“CPI”). Thus, if inflation occurs, the principal and interest payments on the TIPS are adjusted accordingly to protect investors from inflationary loss. During a deflationary period, the principal and interest payments decrease, although the TIPS principal amounts will not drop below their face amounts at maturity. In exchange for the inflation protection, the TIPS generally pay lower interest rates than typical US Treasury securities. Only if inflation occurs will TIPS offer a higher real yield than a conventional Treasury security of the same maturity.
TWCPBA    Taiwan Secondary Markets Bills Rate

Counterparty abbreviations

BB    Barclays Bank PLC
CITI    Citibank NA
CSI    Credit Suisse International
DB    Deutsche Bank AG
GSI    Goldman Sachs International
HSBC    HSBC Bank PLC
JPMCB    JPMorgan Chase Bank
MLI    Merrill Lynch International
MSCI    Morgan Stanley & Co. International PLC
RBS    Royal Bank of Scotland PLC

Currency abbreviations

AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
CHF    Swiss Franc
CLP    Chilean Peso
CNY    Chinese Yuan
DKK    Danish Krone
EUR    Euro
GBP    Great Britain Pound
HUF    Hungarian Forint
IDR    Indonesian Rupiah
INR    Indian Rupee
JPY    Japanese Yen
KRW    Korean Won
MXN    Mexican Peso
MYR    Malaysian Ringgit
NGN    Nigerian Naira
NOK    Norwegian Krone
NZD    New Zealand Dollar
PHP    Philippine Peso
PLN    Polish Zloty
RUB    Russian Ruble
SEK    Swedish Krona
THB    Thai Baht
TRY    Turkish Lira
UAH    Ukrainian Hryvnia
USD    United States Dollar
ZAR    South African Rand

The Fund’s Board of Directors (the “Board”) has delegated to the UBS Global Asset Management Global Valuation Committee (“GVC”) the responsibility for making fair value determinations with respect to the Fund’s portfolio holdings. The GVC is comprised of representatives of management, including members of the investment team.

The GVC provides reports to the Board at each quarterly meeting regarding any securities or instruments that have been fair valued, valued pursuant to standing instructions approved by the GVC, or where non-vendor pricing sources had been used to make fair value determinations when sufficient information exists during the prior quarter. Fair valuation determinations are subject to review at least monthly by the GVC during scheduled meetings. Pricing decisions, processes, and controls over fair value determinations are subject to internal and external reviews, including annual internal compliance reviews and periodic internal audit reviews of securities valuations.

The types of investments for which such fair value pricing may be necessary include, but are not limited to: foreign investments under some circumstances, as discussed below, securities of an issuer that has entered into a restructuring; investments whose trading has been halted or suspended; fixed income securities that are in default and for which there is no current market value quotation; and investments that are restricted as to transfer or resale. The need to fair value a Fund’s investments may also result from low trading volume in foreign markets or thinly traded domestic investments, and when a security is subject to a trading limit or collar on the exchange or market on which it is primarily traded reaches the “limit up” or “limit down” price and no trading has taken place at that price. Various factors may be reviewed in order to make a good faith determination of an investment’s fair value. These factors include, but are not limited to, fundamental analytical data relating to the investment; the nature and duration of restrictions on disposition of the investment; and the evaluation of forces which influence the market in which the investments are purchased and sold. Valuing investments at fair value involves greater reliance on judgment than valuing investments that have readily available market quotations. Fair value determinations can also involve reliance on quantitative models employed by a fair value pricing service.

US Generally Accepted Accounting Principles (“GAAP”) requires disclosure regarding the various inputs that are used in determining the value of the Fund’s investments. These inputs are summarized into the three broad levels listed below:

Level 1 — Unadjusted quoted prices in active markets for identical investments.

Level 2 — Other significant observable inputs, including but not limited to, quoted prices for similar investments, interest rates, prepayment speeds and credit risk.

Level 3 — Unobservable inputs inclusive of the Fund’s own assumptions in determining the fair value of investments.

A fair value hierarchy has been included near the end of the Fund’s Portfolio of investments.

In January 2013, Accounting Standards Update 2013-01 (“ASU 2013-01”), “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities”, replaced Accounting Standards Update 2011-11 (“ASU 2011-11”), “Disclosures about Offsetting Assets and Liabilities”. ASU 2013-01 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. ASU 2011-11 was intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. ASU 2013-01 limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements, and securities lending transactions to the extent that they are (1) offset in the financial statements or (2) subject to an enforceable master netting arrangement or similar agreement. Management is currently evaluating the application of ASU 2013-01 and its impact, if any, on the Fund’s financial statements.

For more information regarding the Fund’s other significant accounting policies, please refer to the Fund’s semi-annual report to shareholders dated May 31, 2013.

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 (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“Investment Company Act”)) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

  (b) The registrant’s principal executive officer and principal financial officer are aware of no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) 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 of principal executive officer and principal financial officer of registrant pursuant to Rule 30a-2(a) under the Investment Company Act are attached hereto as Exhibit EX-99.CERT.

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.

Strategic Global Income Fund, Inc.

 

By:  

/s/ Mark E. Carver

  Mark E. Carver
  President

Date: October 30, 2013

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/ Mark E. Carver

  Mark E. Carver
  President
Date:   October 30, 2013
By:  

/s/ Thomas Disbrow

  Thomas Disbrow
  Vice President and Treasurer

Date: October 30, 2013