N-Q 1 e71805.htm

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, NY 10019-6028
______________________________________________________________________________
(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.
UBS Global Asset Management (Americas) Inc.
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
1775 I Street, N.W.
Washington, DC 20006-2401

Registrant’s telephone number, including area code: 212-882 5000

Date of fiscal year end: November 30

Date of reporting period: August 31, 2009


Item 1. Schedule of Investments

Strategic Global Income Fund, Inc.
 
Portfolio of investments — August 31, 2009 (unaudited)

    Face        
Security description   amount   Value  
 
 
 
Bonds — 94.69%                
Corporate bonds — 27.88%                
Australia — 0.09%                
Rio Tinto Finance USA Ltd.,                

9.000%, due 05/01/19

   $   150,000   $ 179,667  
           
 
France — 1.60%                
Compagnie de Financement Foncier,                

4.000%, due 07/21/11

   EUR   2,110,000     3,135,165  
France Telecom SA,                

4.375%, due 07/08/14

   $   105,000     109,727  
           
 
Total France corporate bonds             3,244,892  
           
 
Germany — 2.29%                
DEPFA Deutsche Pfandbriefbank AG,                

5.500%, due 01/15/10

   EUR   1,000,000     1,454,469  
Hypothekenbank in Essen AG,                

3.750%, due 09/28/12

       2,140,000     3,188,362  
           
 
Total Germany corporate bonds             4,642,831  
           
 
Ireland — 0.33%                
GE Capital European Funding,                

4.625%, due 08/23/10

   EUR   460,000     674,686  
           
 
Italy — 0.32%                
Intesa Sanpaolo SpA,                

6.375%, due 04/06/10

   EUR   440,000     644,646  
           
 
Liberia — 0.64%                
Royal Caribbean Cruises Ltd.,                

6.875%, due 12/01/13

   $   1,500,000     1,297,500  
           
 
Malaysia — 3.17%                
Johor Corp.,                

1.000%, due 07/31/12(2)

   MYR   20,240,000     6,437,257  
           
 
Netherlands — 1.16%                
E.ON International Finance BV,                

5.125%, due 10/02/12

   EUR   450,000     691,929  
Rabobank Nederland NV,                

4.125%, due 04/04/12

       1,110,000     1,665,391  
           
 
Total Netherlands corporate bonds             2,357,320  
           
 
Qatar — 0.14%                
Qtel International Finance Ltd.,                

7.875%, due 06/10/19(1)

   $   265,000     293,009  
           
 
Russia — 0.88%                
VTB Capital SA,                

6.250%, due 06/30/35

   $   2,000,000     1,780,000  
           
 
South Korea — 0.93%                
Korea Development Bank,                

8.000%, due 01/23/14

   $   1,700,000     1,889,433  
           
 
United Arab Emirates — 2.59%                
TDIC Finance Ltd.,                

6.500%, due 07/02/14(1)

   $   5,000,000     5,252,305  
           
 
United Kingdom — 1.04%                
Barclays Bank PLC,                

6.750%, due 05/22/19

   $   200,000     219,141  
SABMiller PLC,                

6.500%, due 07/01/16(1)

       700,000     753,128  
Vodafone Group PLC,                

3.625%, due 11/29/12

   EUR   500,000     735,215  

4.150%, due 06/10/14

   $   400,000     409,721  
           
 
Total United Kingdom corporate bonds             2,117,205  
           
 


United States — 12.70%                
Altria Group, Inc.,                

9.700%, due 11/10/18

   $   390,000   $ 477,066  
American General Finance Corp.,                

4.875%, due 05/15/10

       10,000     9,392  

5.375%, due 10/01/12

       5,000     3,512  

5.625%, due 08/17/11

       25,000     19,510  

5.850%, due 06/01/13

       40,000     27,027  

6.900%, due 12/15/17

       55,000     33,961  
Anadarko Petroleum Corp.,                

6.450%, due 09/15/36

       235,000     232,620  
Apria Healthcare Group, Inc.,                

11.250%, due 11/01/14(1)

       500,000     515,000  
AT&T, Inc.,                

6.500%, due 09/01/37

       250,000     269,205  
Bank of America Corp.,                

7.625%, due 06/01/19

       220,000     242,221  
Bank One Corp.,                

7.875%, due 08/01/10

       2,000,000     2,115,082  
Bear Stearns Cos, Inc.,                

0.549%, due 05/18/10(3)

       1,000,000     999,963  
Boeing Co./The,                

4.875%, due 02/15/20

       200,000     202,355  
Browning-Ferris Industries, Inc.,                

7.400%, due 09/15/35

       155,000     152,812  
Capital One Bank USA N.A.,                

8.800%, due 07/15/19

       255,000     273,204  
Caterpillar Financial Services Corp.,                

6.125%, due 02/17/14

       300,000     330,341  
Cellco Partnership / Verizon Wireless Capital LLC,                

5.550%, due 02/01/14(1)

       500,000     540,694  
Centex Corp.,                

7.500%, due 01/15/12

       10,000     10,500  
Citigroup, Inc.,                

5.125%, due 02/14/11

       2,000,000     2,022,656  
Comcast Corp.,                

6.300%, due 11/15/17

       500,000     545,666  
Cricket Communications, Inc.,                

10.000%, due 07/15/15

       250,000     241,875  
CSX Corp.,                

7.450%, due 04/01/38

       100,000     118,457  
Dynegy Holdings, Inc.,                

7.625%, due 10/15/26

       750,000     465,000  
ERAC USA Finance Co.,                

7.000%, due 10/15/37(1)

       200,000     178,874  
First Data Corp.,                

9.875%, due 09/24/15

       750,000     641,250  
FirstEnergy Solutions Corp.,                

4.800%, due 02/15/15(1)

       200,000     204,418  
Ford Motor Credit Co. LLC,                

7.250%, due 10/25/11

       35,000     32,912  

9.750%, due 09/15/10

       25,000     25,242  

9.875%, due 08/10/11

       400,000     395,769  
Fortune Brands, Inc.,                

5.375%, due 01/15/16

       875,000     842,615  
Frontier Communications Corp.,                

9.000%, due 08/15/31

       560,000     515,900  
General Electric Capital Corp.,                

5.875%, due 01/14/38

       2,000,000     1,775,410  


GMAC LLC,                

6.750%, due 12/01/14

   $   170,000   $ 136,685  

6.875%, due 09/15/11(1)

       107,000     98,708  

8.000%, due 11/01/31

       340,000     256,949  
Goldman Sachs Group, Inc.,                

6.150%, due 04/01/18

       250,000     263,895  
Goodyear Tire & Rubber Co.,                

10.500%, due 05/15/16

       225,000     240,188  
HSBC Finance Corp.,                

6.750%, due 05/15/11

       2,000,000     2,110,284  
Interface, Inc.,                

11.375%, due 11/01/13(1)

       15,000     15,919  
Iron Mountain, Inc.,                

8.375%, due 08/15/21

       325,000     322,969  
Liberty Mutual Group, Inc.,                

10.750%, due 06/15/58(1),(3)

       35,000     30,800  
Morgan Stanley,                

6.625%, due 04/01/18

       250,000     267,135  
News America, Inc.,                

6.200%, due 12/15/34

       200,000     194,094  
Nextel Communications, Inc.,                

6.875%, due 10/31/13

       500,000     447,500  
NGPL Pipeco LLC,                

6.514%, due 12/15/12(1)

       500,000     541,063  
Nisource Finance Corp.,                

5.400%, due 07/15/14

       150,000     150,108  
Northrop Grumman Systems Corp.,                

7.875%, due 03/01/26

       70,000     87,832  
NRG Energy, Inc.,                

7.375%, due 01/15/17

       400,000     381,000  
ONEOK Partners LP,                

8.625%, due 03/01/19

       250,000     298,964  
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp.,                

10.625%, due 04/01/17

       5,000     4,700  
PLY Gem Industries, Inc.,                

11.750%, due 06/15/13

       300,000     250,500  
Prologis,                

5.625%, due 11/15/15

       300,000     267,461  
Reynolds American, Inc.,                

7.625%, due 06/01/16

       195,000     205,731  
Sally Holdings LLC/Sally Capital, Inc.,                

10.500%, due 11/15/16

       50,000     51,875  
Sempra Energy,                

8.900%, due 11/15/13

       300,000     351,348  

9.800%, due 02/15/19

       225,000     285,025  
Sprint Capital Corp.,                

7.625%, due 01/30/11

       1,000,000     1,001,250  
Terremark Worldwide, Inc.,                

12.000%, due 06/15/17(1)

       400,000     420,500  
Tesoro Corp.,                

9.750%, due 06/01/19

       5,000     5,063  
Texas Competitive Electric Holdings Co. LLC,                

10.250%, due 11/01/15

       750,000     496,875  
Time Warner Cable, Inc.,                

6.550%, due 05/01/37

       80,000     84,176  

6.750%, due 07/01/18

       250,000     276,180  
Time Warner, Inc.,                

6.875%, due 05/01/12

       250,000     273,405  


Valero Energy Corp.,                

6.625%, due 06/15/37

   $   125,000   $ 108,650  
Verizon Communications, Inc.,                

8.950%, due 03/01/39

       500,000     680,487  
Virginia Electric and Power Co.,                

8.875%, due 11/15/38

       300,000     416,307  
Wachovia Capital Trust III,                

5.800%, due 03/15/11(3),(4)

       400,000     258,000  
Washington Mutual Preferred Funding LLC,                

9.750%, due 12/15/17(2),(3),(4),(5),(6)

       1,000,000     10,000  
           
 
Total United States corporate bonds             25,752,135  
           
 
Total corporate bonds                
(cost $52,989,878)             56,562,886  
           
 
Asset-backed securities — 6.12%                
United States — 6.12%                
American Express Credit Account Master Trust,                

Series 2006-1, Class C,

                

0.553%, due 12/15/13(1),(3)

   $   2,250,000     2,088,795  
Ameriquest Mortgage Securities, Inc.,                

Series 2005-R6, Class A2,

                

0.466%, due 08/25/35(3)

       150,448     125,847  
Asset Backed Funding Certificates,                

Series 2006-OPT3, Class A3A,

                

0.326%, due 11/25/36(3)

       118,178     115,355  
Bank of America Credit Card Trust,                

Series 2007-B1, Class B1,

                

0.353%, due 06/15/12(3)

       600,000     595,723  
Bear Stearns Asset Backed Securities Trust,                

Series 2006-SD2, Class A2,

                

0.466%, due 06/25/36(3)

       1,203,271     1,122,994  
Chase Issuance Trust,                

Series 2005-C2, Class C2,

                

0.713%, due 01/15/15(3)

       575,000     515,052  
Citibank Credit Card Issuance Trust,                

Series 2006-C4, Class C4,

                

0.496%, due 01/09/12(3)

       1,000,000     987,258  

Series 2006-C2, Class C2,

                

5.700%, due 05/15/13

       350,000     348,408  
Countrywide Asset-Backed Certificates,                

Series 2006-17, Class 2A1,

                

0.316%, due 03/25/47(3)

       53,103     52,157  

Series 2006-20, Class 2A1,

                

0.316%, due 04/25/47(3)

       113,081     107,795  

Series 2005-7, Class 3AV3,

                

0.676%, due 11/25/35(3)

       148,631     143,000  
First Franklin Mortgage Loan Asset Backed Certificates,                

Series 2006-FFB, Class A2,

                

0.396%, due 12/25/26(3)

       400,092     32,828  
GSAMP Trust,                

Series 2006-HE7, Class A2A,

                

0.306%, due 10/25/46(3)

       140,617     134,174  


Harley-Davidson Motorcycle Trust,                

Series 2007-1, Class C,

                

5.540%, due 04/15/15

   $   450,000   $ 342,907  
Home Equity Mortgage Trust,                

Series 2006-3, Class A1,

                

5.472%, due 09/25/36(3)

       1,825,609     171,586  

Series 2006-5, Class A1,

                

5.500%, due 01/25/37(7)

       342,128     32,853  

Series 2006-4, Class A1,

                

5.671%, due 11/25/36(7)

       1,584,287     136,462  
MBNA Credit Card Master Note Trust,                

Series 2002-C1, Class C1,

                

6.800%, due 07/15/14

       3,000,000     3,036,471  
MBNA Master Credit Card Trust,                

Series 2001-B, Class C,

                

7.250%, due 08/15/13(1)

       500,000     508,819  
Merrill Lynch Mortgage Investors, Inc.,                

Series 2006-AHL1, Class A2A,

                

0.316%, due 05/25/37(3)

       51,996     51,341  

Series 2006-FF1, Class A2A,

                

0.336%, due 08/25/36(3)

       24,034     23,986  

Series 2006-SL1, Class A,

                

0.446%, due 09/25/36(3)

       81,980     18,394  
Morgan Stanley ABS Capital I,                

Series 2006-HE6, Class A2A,

                

0.306%, due 09/25/36(3)

       72,041     70,526  
Nomura Asset Acceptance Corp.,                

Series 2006-S4, Class A1,

                

0.436%, due 08/25/36(3)

       645,011     92,773  
Park Place Securities, Inc.,                

Series 2005-WCW2, Class A2C,

                

0.526%, due 07/25/35(3)

       322,774     306,017  
Popular ABS Mortgage Pass-Through Trust,                

Series 2006-D, Class A1,

                

0.326%, due 11/25/46(3)

       30,331     29,044  

Series 2006-E, Class A1,

                

0.356%, due 01/25/37(3)

       46,279     41,510  
Renaissance Home Equity Loan Trust,                

Series 2006-4, Class AV1,

                

0.336%, due 01/25/37(3)

       278,146     262,977  
Residential Asset Mortgage Products, Inc.,                

Series 2006-RZ5, Class A1B,

                

0.366%, due 08/25/46(3)

       151,363     145,197  
Residential Asset Securities Corp.,                

Series 2005-KS11, Class AI3,

                

0.466%, due 12/25/35(3)

       91,426     77,931  
SACO I Trust,                

Series 2006-5, Class 2A1,

                

0.416%, due 05/25/36(3)

       694,405     105,414  
Soundview Home Equity Loan Trust,                

Series 2006-EQ2, Class A1,

                

0.346%, due 01/25/37(3)

       23,775     23,357  

Series 2006-OPT3, Class 2A2,

                

0.376%, due 06/25/36(3)

       38,743     37,152  

Series 2005-OPT1, Class 2A4,

                

0.566%, due 06/25/35(3)

       554,260     484,830  


Structured Asset Investment Loan Trust,                

Series 2005-7, Class A4,

                

0.456%, due 08/25/35(3)

   $   52,867   $ 52,181  
           
 
Total asset-backed securities                
(cost $14,559,559)             12,421,114  
           
 
Collateralized debt obligations — 8.30%                
Cayman Islands — 7.11%                
Apidos CDO,                

Series 2007-CA, Class A2B,

                

0.770%, due 05/14/20(2),(3),(5)

   $   2,000,000     1,120,000  
Atrium CDO Corp.,                

Series 5A, Class A2B,

                

0.745%, due 07/20/20(2),(3),(5)

       2,000,000     1,020,000  
BlueMountain CLO Ltd.,                

Series 2005-1A, Class A2,

                

0.810%, due 11/15/17(2),(3),(5)

       2,000,000     1,240,000  
Carlyle High Yield Partners,                

Series 2006-8A, Class B,

                

0.799%, due 05/21/21(2),(3),(5)

       2,500,000     1,419,000  
Gulf Stream Compass CLO Ltd.,                

Series 2007-1A, Class C,

                

2.502%, due 10/28/19(2),(3),(5)

       1,400,000     322,000  
Halcyon Loan Investors CLO Ltd.,                

Series 2007-2A, Class A1J,

                

0.822%, due 04/24/21(2),(3),(5)

       2,000,000     1,223,800  
ING Investment Management,                

Series 2006-3A, Class A2B,

                

0.853%, due 12/13/20(2),(3),(5)

       2,000,000     1,160,000  
Limerock CLO,                

Series 2007-1A, Class A4,

                

0.852%, due 04/24/23(2),(3),(5)

       2,000,000     500,000  
Mountain View Funding CLO,                

Series 2007-3A, Class A2,

                

0.853%, due 04/16/21(2),(3),(5)

       2,500,000     1,475,000  

Series 2006-2A, Class B,

                

0.910%, due 01/12/21(2),(3),(5)

       3,000,000     1,500,000  
Rockwall CDO Ltd.,                

Series 2007-1A, Class A1LB,

                

1.033%, due 08/01/24(2),(3),(5)

       4,000,000     826,800  
Sargas CLO Ltd.,                

Series 2006-1A, Class A2,

                

0.760%, due 10/20/18(2),(3),(5)

       1,714,205     1,268,512  
Trimaran CLO Ltd.,                

Series 2007-1A, Class A2L,

                

0.999%, due 06/15/21(2),(3),(5)

       2,000,000     1,060,000  
Wind River CLO Ltd.,                

Series 2004-1A, Class B1,

                

1.710%, due 12/19/16(2),(3),(5)

       1,000,000     280,000  
           
 
Total Cayman Islands collateralized debt obligations             14,415,112  
           
 


Netherlands — 0.65%                
Cadogan Square CLO BV,                

Series 1, Class C,

                

1.799%, due 02/01/22(2),(3),(8)

   EUR   2,000,000   $ 516,096  
Grosvenor Place CLO BV,                

Series II-A, Class B,

                

2.100%, due 03/28/23(2),(3),(5)

       2,000,000     802,816  
           
 
Total Netherlands collateralized debt obligations             1,318,912  
           
 
United States — 0.54%                
Gannett Peak CLO Ltd.,                

Series 2006-1A, Class A2,

                

0.864%, due 10/27/20(2),(3),(5)

   EUR   2,000,000     1,100,000  
           
 
Total collateralized debt obligations                
(cost $15,813,492)             16,834,024  
           
 
Commercial mortgage-backed securities — 11.60%                
United States — 11.60%                
Banc of America Commercial Mortgage, Inc.,                

Series 2006-6, Class A4,

                

5.356%, due 10/10/45

   $   4,000,000     3,320,366  

Series 2007-3, Class A2,

                

5.837%, due 06/10/49(3)

       1,100,000     1,094,913  

Series 2007-4, Class A4,

                

5.935%, due 02/10/51(3)

       3,500,000     2,920,338  
Citigroup Commercial Mortgage Trust,                

Series 2007-C6, Class AM,

                

5.888%, due 12/10/49(3)

       4,950,000     3,243,198  
Greenwich Capital Commercial Funding Corp.,                

Series 2007-GG9, Class A4,

                

5.444%, due 03/10/39

       4,000,000     3,412,994  

Series 2007-GG9, Class AM,

                

5.475%, due 03/10/39

       1,300,000     835,940  
GS Mortgage Securities Corp. II,                

Series 2006-GG8, Class A2,

                

5.479%, due 11/10/39

       500,000     496,715  

Series 2007-GG10, Class A4,

                

5.999%, due 08/10/45(3)

       4,000,000     3,127,022  
Morgan Stanley Dean Witter Capital I,                

Series 2000-LIF2, Class A2,

                

7.200%, due 10/15/33

       696,933     721,035  
Wachovia Bank Commercial Mortgage Trust,                

Series 2006-C23, Class AM,

                

5.466%, due 01/15/45(3)

       5,150,000     3,610,102  

Series 2006-C27, Class A2,

                

5.624%, due 07/15/45

       750,000     749,746  
           
 
Total commercial mortgage-backed securities                
(cost $21,088,329)             23,532,369  
           
 
Mortgage & agency debt securities — 3.71%                
United States — 3.71%                
American Home Mortgage Investment Trust,                

Series 2006-3, Class 4A,

                

0.456%, due 11/25/35(3)

   $   1,129,245     220,180  
Banc of America Alternative Loan Trust,                

Series 2006-9, Class B2,

                

6.250%, due 01/25/37

       1,453,016     34,291  

Series 2006-9, Class B3,

                

6.250%, due 01/25/37

       727,603     39,749  


Banc of America Funding Corp.,                

Series 2006-R2, Class A2,

                

5.995%, due 07/28/46(1),(3)

   $   733,597   $ 181,565  

Series 2007-4, Class NB1,

                

6.101%, due 06/25/37(3)

       2,938,502     69,936  
Citicorp Mortgage Securities, Inc.,                

Series 2006-3, Class B1,

                

5.951%, due 06/25/36(3)

       541,213     32,473  
Citigroup Mortgage Loan Trust, Inc.,                

Series 2005-WF2, Class AV2,

                

0.506%, due 08/25/35(3)

       139,251     125,443  

Series 2006-AR6, Class 1B2,

                

6.053%, due 08/25/36(3)

       4,227,840     64,010  
Countrywide Alternative Loan Trust,                

Series 2006-26CB, Class M1,

                

6.500%, due 09/25/36

       1,216,929     44,578  

Series 2005-J2, Class 2A1,

                

7.500%, due 12/25/34

       168,659     153,163  
Countrywide Home Loan Mortgage Pass-Through Trust,                

Series 2006-16, Class B2,

                

6.241%, due 11/25/36(3)

       1,708,186     27,019  
Credit Suisse Mortgage Capital Certificates,                

Series 2006-4, Class CB1,

                

5.731%, due 05/25/36(3)

       914,161     18,283  

Series 2006-7, Class B1,

                

6.165%, due 08/25/36(3)

       984,518     7,384  

Series 2006-7, Class B3,

                

6.203%, due 08/25/36(3)

       1,291,058     46,882  
Federal Home Loan Mortgage Corp.,†                

5.750%, due 09/15/10

   EUR   1,400,000     2,095,316  
Harborview Mortgage Loan Trust,                

Series 2005-3, Class 2A1A,

                

0.519%, due 06/19/35(3)

   $   230,057     118,933  
IndyMac INDA Mortgage Loan Trust,                

Series 2007-AR1, Class B1,

                

5.746%, due 03/25/37(3)

       447,723     11,193  
IndyMac INDX Mortgage Loan Trust,                

Series 2006-AR25, Class B1,

                

5.611%, due 09/25/36(3)

       1,421,946     11,294  
JPMorgan Alternative Loan Trust,                

Series 2006-A5, Class 2A6,

                

5.800%, due 10/25/36(3)

       6,492,000     1,934,012  
Residential Accredit Loans, Inc.,                

Series 2006-QS5, Class M1,

                

6.000%, due 05/25/36

       967,790     19,798  
Residential Funding Mortgage Securities I,                

Series 2006-S6, Class M1,

                

6.000%, due 07/25/36

       969,782     93,388  
Structured Adjustable Rate Mortgage Loan Trust,                

Series 2006-8, Class 4A3,

                

5.731%, due 09/25/36(3)

       1,500,000     983,132  

Series 2007-1, Class B2II,

                

6.266%, due 02/25/37(3)

       1,456,682     36,519  

Series 2006-8, Class B3I,

                

6.289%, due 09/25/36(3)

       2,241,305     22,301  


WaMu Mortgage Pass-Through Certificates,                

Series 2006-AR18, Class LB3,

                

5.330%, due 01/25/37(3)

   $   1,174,499   $ 47,309  

Series 2007-HY1, Class LB2,

                

5.772%, due 02/25/37(3)

       1,996,854     91,676  

Series 2007-HY7, Class LB1,

                

5.781%, due 07/25/37(3)

       2,491,044     256,449  

Series 2006-AR12, Class LB1,

                

5.961%, due 10/25/36(3)

       997,517     61,602  

Series 2006-AR10, Class LB1,

                

5.985%, due 09/25/36(3)

       998,447     72,315  
Wells Fargo Alternative Loan Trust,                

Series 2007-PA1, Class B1,

                

6.250%, due 03/25/37

       1,468,799     32,534  
Wells Fargo Mortgage Backed Securities Trust,                

Series 2006-18, Class B1,

                

6.000%, due 12/26/36

       3,908,272     565,847  

Series 2006-AR12, Class 2B1,

                

6.098%, due 09/25/36(3)

       497,245     14,917  
           
 
Total mortgage & agency debt securities                
(cost $17,804,625)             7,533,491  
           
 
US government obligations — 7.87%                
US Treasury Bonds,                

4.295%, due 02/15/38

   $   14,000,000     4,177,992  

4.250%, due 05/15/39

       3,305,000     3,341,666  

8.750%, due 08/15/20

       5,000,000     7,240,625  
US Treasury Inflation Indexed Bonds (TIPS),                

1.781%, due 01/15/28

       1,285,563     1,198,386  
           
 
Total US government obligations                
(cost $15,503,196)             15,958,669  
           
 
Non US-government obligations — 27.23%                
Argentina — 1.90%                
Argentina Prestamos Garantizadad,                

4.000%, due 04/15/10(3),(6)

   ARS   2,000,000     210,362  
Republic of Argentina,                

0.943%, due 08/03/12(3)

   $   13,170,000     3,476,880  

7.000%, due 03/28/11

       210,000     174,090  
           
 
              3,861,332  
           
 
Brazil — 1.18%                
Notas do Tesouro Nacional, Series B                

6.000%, due 05/15/45

   BRL   2,530,000     2,386,726  
           
 
Dominican Republic — 1.43%                
Republic of Dominica,                

9.000%, due 09/30/10

   DOP   120,000,000     2,897,988  
           
 
France — 0.71%                
Government of France,                

3.750%, due 04/25/21

   EUR   10,000     14,446  

4.000%, due 04/25/55

       1,015,000     1,426,133  
           
 
              1,440,579  
           
 
Germany — 8.43%                
Bundesrepublik Deutschland,                

4.000%, due 01/04/37

   EUR   1,740,000     2,492,419  

6.250%, due 01/04/24

       180,000     329,837  
Bundesschatzanweisungen,                

4.000%, due 09/10/10

       7,430,000     10,998,359  
Kreditanstalt fuer Wiederaufbau,                

4.625%, due 10/12/12

       640,000     985,401  

5.000%, due 07/04/11

       1,500,000     2,287,946  
           
 
              17,093,962  
           
 


Hungary — 1.61%                
Hungary Government Bond,                

5.500%, due 02/12/14

   HUF   270,000,000   $ 1,279,896  

6.500%, due 06/24/19

       425,000,000     1,980,082  
           
 
              3,259,978  
           
 
Indonesia — 1.75%                
Indonesia Treasury Bond,                

10.750%, due 05/15/16

   IDR   34,800,000,000     3,547,322  
           
 
Italy — 3.20%                
Buoni Poliennali Del Tesoro,                

4.000%, due 02/01/37

   EUR   3,430,000     4,279,481  

6.500%, due 11/01/27

       1,275,000     2,213,642  
           
 
              6,493,123  
           
 
Poland — 1.99%                
Government of Poland,                

5.750%, due 04/25/14

   PLN   11,500,000     4,039,676  
           
 
Russia — 0.71%                
Russian Federation,                

7.500%, due 03/31/30(7)

   $   1,008,000     1,029,420  

7.500%, due 03/31/30(1),(7)

       399,804     408,299  
           
 
              1,437,719  
           
 
Spain — 2.52%                
Government of Spain,                

5.750%, due 07/30/32

   EUR   2,160,000     3,666,656  

6.150%, due 01/31/13

       900,000     1,453,842  
           
 
              5,120,498  
           
 
Turkey — 1.38%                
Republic of Turkey,                

12.000%, due 08/14/13

   TRY   3,483,724     2,806,533  
           
 
Venezuela — 0.42%                
Republic of Venezuela,                

5.375%, due 08/07/10

   $   870,000     843,900  
           
 
Total non US-government obligations                
(cost $54,157,304)             55,229,336  
           
 
Sovereign/supranational bonds — 1.98%                
European Investment Bank,                

5.375%, due 10/15/12

   EUR   1,600,000     2,512,075  

5.625%, due 10/15/10

       1,000,000     1,504,787  
           
 
Total sovereign/supranational bonds                
(cost $3,849,131)             4,016,862  
           
 
Total bonds                
(cost $195,765,514)             192,088,751  
           
 
                 
    Shares        
   
       
Preferred stock — 0.00%(9)                
United States — 0.00%(9)                
Preferred Blocker, Inc.                
     7.000%(1),(10)                
     (cost $23,809)       22     10,235  
           
 
                 
    Units        
   
       
Short-term investment — 1.22%                
Investment company — 1.22%                
UBS Cash Management Prime Relationship Fund, 0.247%(11),(12)

                

(cost $2,473,229)

       2,473,229     2,473,229  
           
 


    Number of
contracts		        
   
       
Options Purchased — 0.68%                
Call Options — 0.60%                
10 Year US Treasury Notes,                

strike @ USD 120.00,

                

expires November 2009*

       400   $ 268,750  
30 Day Fed Fund Futures,                

strike @ USD 99.63,

                

expires November 2009*

       363     294,961  
30 Day Fed Fund Futures,                

strike @ USD 99.88,

                

expires November 2009*

       363     11,345  
90 Day Euro-Dollar Futures,                

strike @ USD 99.50,

                

expires March 2009*

       500     112,500  
90 Day Euro-Dollar Futures,                

strike @ USD 99.50,

                

expires December 2009*

       1,000     331,250  
90 Day Euro-Dollar Futures,                

strike @ USD 99.75,

                

expires December 2009*

       1,000     12,500  
Euro Bund Futures,                

strike @ EUR 121.50,

                

expires November 2009

       97     184,949  
           
 
              1,216,255  
           
 
Put Options — 0.08%                
90 Day Euro-Dollar Interest Rate Futures,                

strike @ USD 96.00, expires March 2011*

       226     155,375  
           
 
Total options purchased                

(cost $844,442)

             1,371,630  
           
 
Total investments(13) — 96.59%                

(cost $199,106,994)

             195,943,845  
Cash and other assets, less liabilities — 3.41%             6,914,047  
           
 
Net assets — 100.00%           $ 202,857,892  
           
 


Notes to portfolio of investments
Aggregate cost for federal income tax purposes, which was the same for book purposes, was $199,106,994; and net unrealized depreciation consisted of:

       
Gross unrealized appreciation $ 16,367,408  
Gross unrealized depreciation   (19,530,557 )
 
 
Net unrealized depreciation $ (3,163,149 )
 
 

*   Non-income producing security.
†   On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship, and the US Treasury guaranteed the debt issued by those organizations.
(1)   Security exempt from registration under Rule 144A of 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, 2009, the value of these securities amounted to $12,042,131 or 5.94% of net assets.
(2)   Security is illiquid. At August 31, 2009, the value of these securities amounted to $23,281,281 or 11.48% of net assets.
(3)   Floating rate security — The interest rates shown are the current rates as of August 31, 2009.
(4)   Perpetual bond security. The maturity date reflects the next call date.
(5)   Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 8.05% of net assets as of August 31, 2009, are considered illiquid and restricted. (See restricted securities table for more information.
     

                Acquisition         08/31/09
                cost as a   08/31/09   Market value
    Acquisition   Acquisition   percentage of   Market   as a percentage
Restricted Securities   dates   cost   net assets   value   of net assets
 
 
 
 
 
Apidos CDO,                              

Series 2007-CA, Class A2B,

                              

0.770%, due 05/14/20

   11/06/08     $1,020,000     0.50 %   $1,120,000     0.55 %
Atrium CDO Corp.,                              

Series 5A, Class A2B,

                              

0.745%, due 07/20/20

   11/17/08     1,040,200     0.51     1,020,000     0.50  
BlueMountain CLO Ltd.,                              

Series 2005-1A, Class A2,

                              

0.810%, due 11/15/17

   11/12/08     1,130,000     0.56     1,240,000     0.61  
Cadogan Square CLO BV,                              

Series 1, Class C,

                              

1.799%, due 02/01/22

   05/22/09     240,000     0.12     516,096     0.25  
Carlyle High Yield Partners,                              

Series 2006-8A, Class B,

                              

0.799%, due 05/21/21

   11/20/08     1,003,125     0.50     1,419,000     0.70  
Gannett Peak CLO Ltd,                              

Series 2006-IA, Class A2,

                              

0.864%, due 10/27/20

   11/20/08     988,500     0.49     1,100,000     0.54  
Grosvenor Place CLO BV,                              

Series II-A, Class B,

                              

2.100%, due 03/28/23

   06/12/09     814,500     0.40     802,816     0.40  
Gulf Stream Compass CLO Ltd.,                              

Series 2007-1A, Class C,

                              

2.502%, due 10/28/19

   04/02/09     129,500     0.06     322,000     0.16  
Halcyon Loan Investors CLO Ltd.,                              

Series 2007-2A, Class A1J,

                              

0.822%, due 04/24/21

   11/06/08     1,020,000     0.50     1,223,800     0.60  
ING Investment Management,                              

Series 2006-3A, Class A2B,

                              

0.853%, due 12/13/20

   11/20/08     942,500     0.47     1,160,000     0.57  
Limerock CLO,                              

Series 2007-1A, Class A4,

                              

0.852%, due 04/24/23

   11/06/08     900,000     0.44     500,000     0.25  
Mountain View Funding CLO,                              

Series 2007-3A, Class A2,

                              

0.853%, due 04/16/21

   10/30/08     1,362,500     0.67     1,475,000     0.73  


Mountain View Funding CLO,                              

Series 2006-2A, Class B,

                              

0.910%, due 01/12/21

   10/30/08     1,350,000     0.67     1,500,000     0.74  
Rockwall CDO Ltd.,                              

Series 2007-1A, Class A1LB,

                              

1.033%, due 08/01/24

   10/21/08     1,240,000     0.61     826,800     0.41  
Sargas CLO Ltd.,                              

Series 2006-1A, Class A2,

                              

0.760%, due 10/20/18

   06/17/09     1,221,371     0.60     1,268,512     0.63  
Trimaran CLO Ltd.,                              

Series 2007-1A, Class A2L,

                              

0.999%, due 06/15/21

   11/12/08     880,000     0.43     1,060,000     0.52  
Washington Mutual Preferred Funding LLC,                              

9.750%, due 12/15/17

   10/19/07     1,025,000     0.51     10,000     0.00 (a)
Wind River CLO Ltd.,                              

Series 2004-1A, Class B1,

                              

1.710%, due 12/19/16

   03/09/09     104,000     0.05     280,000     0.14  
   
   
   
 
   
          $16,411,196     8.09 %   $16,844,024     8.30 %
         
   
 
   

    (a)          Amount represents 0.005%.
 
(6)   Security is in default.
(7)   Step bond — Coupon rate increases in increments to maturity. Rate disclosed is as of August 31, 2009. Maturity date disclosed is the ultimate maturity date.
(8)   Security exempt from registration under Regulation S of 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. This security, which represents 0.25% of net assets as of August 31, 2009, is considered illiquid and restricted. (See restricted securities table for more information.)
(9)   Amount represents 0.005% of net assets.
(10)   Security is a multi-coupon preferred stock that had a coupon reset date of January 16, 2009 of 7.000% fixed until its end date of December 31, 2049. This security is subject to a perpetual call and may be called in full or partially on or anytime after December 31, 2011.
(11)   The table below details the Fund’s investments in securities issued by funds that are advised by the same advisor as the Fund. The advisor does not earn a management fee from either UBS Supplementary Trust — U.S. Cash Management Prime Fund or UBS Cash Management Prime Relationship Fund.

                            Income
                            earned from
          Purchases   Sales during         affiliate for
          during the   the nine         the nine
          nine months   months         months
    Value   ended   ended   Value   ended
Security description   11/30/08   08/31/09   08/31/09   08/31/09   08/31/09
UBS Cash Management Prime                              

Relationship Fund

   $ —   $ 77,451,743   $ 74,978,514   $ 2,473,229   $ 26,664
UBS Supplementary Trust — U.S. Cash                              

Management Prime Fund

     14,250,718     46,942,733     61,193,451     —     85,683
                               
(12)              The rate shown reflects the yield at August 31, 2009.


(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 from independent pricing sources and broker-dealers. Independent pricing sources may use reported last sale prices, current market quotations or valuations from computerized “matrix” systems that derive values based on comparable securities. A matrix 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. Securities 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 which are listed on US and foreign stock exchanges normally are valued at 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 are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc., the investment advisor of the Fund. If a market value is not available from an independent pricing source for a particular security, that security is valued at fair value as determined in good faith by or under the direction of the Fund’s Board of Directors (the “Board”). Various factors may be reviewed in order to make a good faith determination of a security’s fair value. These factors include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; and changes in overall market conditions. Foreign currency exchange rates are generally determined as of the close of the NYSE. Occasionally, events affecting the value of foreign investments occur between the time at which they are determined and the close of the NYSE, which will not be reflected in the computation of the Fund’s net asset value. If events materially affecting the value of such securities occur during such time periods, the securities will be valued at their fair value as determined in good faith by or under the direction of the Board. The amortized cost method of valuation, which approximates market value, generally is used to value short-term debt instruments with sixty days or less remaining to maturity, unless the Board determines that this does not represent fair value. All investments quoted in foreign currencies will be valued daily in US dollars on the basis of the foreign currency exchange rates prevailing at the time such valuation is determined by the Fund’s custodian.
     
     
     
CDO   Collateralized debt obligations
CLO   Collateralized loan obligations
GMAC   General Motors Acceptance Corp.
GS   Goldman Sachs
GSAMP   Goldman Sachs Mortgage Securities Corp.
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.
     
     
Currency type abbreviations:
ARS   Argentine Peso
BRL   Brazilian Real
DOP   Dominican Peso
EUR   Euro
HUF   Hungarian Forint
IDR   Indonesian Rupiah
MYR   Malaysian Ringgit
PLN   Polish Zloty
TRY   New Turkish Lira
USD   United States Dollar


Forward foreign currency contracts
Strategic Global Income Fund, Inc. had the following open forward foreign currency contracts as of August 31, 2009:

                      Unrealized
    Contracts to             Maturity   appreciation/
    deliver   In exchange for     dates   (depreciation)
   
 
   
 
Australian Dollar   36,397,489   USD   25,548,424     09/02/09   $ (5,214,734 )
Brazilian Real   15,950,000   USD   7,893,890     09/04/09     (565,987 )
Brazilian Real   18,710,000   USD   9,947,486     09/04/09     23,704  
Brazilian Real   15,950,000   USD   8,334,422     12/04/09     12,300  
Canadian Dollar   8,600,000   JPY   767,016,800     09/02/09     387,386  
Canadian Dollar   35,762,820   USD   30,302,852     09/02/09     (2,364,716 )
Canadian Dollar   21,480,000   USD   19,911,474     12/02/09     290,576  
Chile Peso   2,100,000,000   USD   3,770,874     09/04/09     (21,908 )
Chile Peso   2,100,000,000   USD   3,861,359     12/04/09     48,269  
Czech Koruna   28,500,000   EUR   1,058,889     09/04/09     (86,030 )
Czech Koruna   28,500,000   EUR   1,120,063     09/04/09     1,668  
Czech Koruna   28,500,000   EUR   1,117,297     12/04/09     1,741  
Euro   1,087,579   CZK   28,500,000     09/04/09     44,901  
Euro   1,120,063   CZK   28,500,000     09/04/09     (1,668 )
Euro   1,117,297   CZK   28,500,000     12/04/09     (1,741 )
Euro   1,957,343   HUF   565,000,000     09/04/09     167,412  
Euro   2,082,565   HUF   565,000,000     09/04/09     (12,106 )
Euro   2,051,710   HUF   565,000,000     12/04/09     (16,588 )
Euro   7,370,000   JPY   950,314,926     09/02/09     (352,683 )
Euro   27,065,000   SEK   299,075,862     09/02/09     3,213,799  
Euro   30,153,066   USD   40,952,638     09/02/09     (2,274,797 )
Euro   1,145,000   USD   1,648,857     09/02/09     7,385  
Great Britain Pound   2,670,000   USD   3,878,909     09/02/09     (467,717 )
Great Britain Pound   4,791,716   USD   7,843,423     09/02/09     42,749  
Hungary Forint   565,000,000   EUR   1,947,961     09/04/09     (180,863 )
Hungary Forint   565,000,000   EUR   2,082,565     09/04/09     12,106  
Hungary Forint   565,000,000   EUR   2,051,710     12/04/09     16,588  
Hungary Forint   536,710,000   USD   2,821,078     09/04/09     (3,499 )
Hungary Forint   163,000,000   USD   842,290     12/04/09     (1,482 )
Japanese Yen   589,835,200   AUD   9,357,489     09/02/09     1,570,044  
Japanese Yen   33,095,400   CHF   390,000     09/02/09     12,633  
Japanese Yen   625,298,260   EUR   4,870,000     09/02/09     261,608  
Japanese Yen   249,000,000   GBP   1,841,716     09/02/09     322,241  
Japanese Yen   520,915,564   SEK   40,780,000     09/02/09     130,542  
Japanese Yen   2,078,147,352   USD   21,972,238     09/02/09     (361,424 )
Malaysian Ringgit   43,200,000   USD   12,341,094     09/04/09     74,661  
Malaysian Ringgit   27,580,000   USD   7,807,988     09/04/09     (23,221 )
Malaysian Ringgit   22,220,000   USD   6,316,987     12/04/09     31,567  
Norwegian Krone   73,221,158   CHF   12,400,000     09/02/09     (457,569 )
Norwegian Krone   167,648,656   USD   27,398,762     09/02/09     (460,959 )
Swedish Krona   325,223,629   EUR   29,783,066     09/02/09     (2,990,419 )
Swedish Krona   40,780,000   JPY   525,960,050     09/02/09     (76,330 )
Swedish Krona   247,828,737   USD   32,494,568     09/02/09     (2,320,418 )
Swiss Franc   2,906,257   GBP   1,660,000     09/02/09     (42,203 )
Swiss Franc   30,558,291   USD   26,631,766     09/02/09     (2,226,759 )
Swiss Franc   17,765,000   USD   16,739,221     12/02/09     (52,054 )
Turkish Lira   7,150,000   USD   4,603,585     09/04/09     (160,701 )
Turkish Lira   5,700,000   USD   3,728,902     12/04/09     42  
United States Dollar   4,197,948   ARS   15,323,500     11/16/09     (333,146 )
United States Dollar   18,974,978   AUD   27,040,000     09/02/09     3,879,230  
United States Dollar   424,018   AUD   510,000     12/02/09     3,779  
United States Dollar   9,501,581   BRL   18,710,000     09/04/09     422,201  
United States Dollar   8,484,043   BRL   15,950,000     09/04/09     (24,164 )
United States Dollar   7,629,001   BRL   14,600,000     12/04/09     (11,259 )
United States Dollar   2,139,845   BRL   4,110,000     12/04/09     4,602  
United States Dollar   18,165,413   CAD   22,885,000     09/02/09     2,738,902  
United States Dollar   19,907,146   CAD   21,477,820     09/02/09     (288,219 )
United States Dollar   19,410,560   CHF   20,674,548     09/02/09     113,992  
United States Dollar   3,833,516   CLP   2,100,000,000     09/04/09     (40,733 )
United States Dollar   42,573,475   EUR   31,080,000     09/02/09     1,982,813  
United States Dollar   1,971,934   EUR   1,380,000     12/02/09     6,431  
United States Dollar   5,613,730   GBP   3,960,000     09/02/09     832,952  
United States Dollar   5,162,681   GBP   3,155,000     12/02/09     (26,821 )
United States Dollar   1,915,893   HUF   360,920,000     09/04/09     (16,456 )
United States Dollar   922,022   HUF   175,790,000     09/04/09     3,119  
United States Dollar   2,773,408   HUF   536,710,000     12/04/09     4,878  
United States Dollar   19,701,337   JPY   1,853,000,000     09/02/09     212,688  
United States Dollar   14,507,030   JPY   1,366,700,000     12/02/09     189,716  
United States Dollar   19,281,400   MYR   67,480,000     09/04/09     (120,777 )
United States Dollar   936,037   MYR   3,300,000     09/04/09     982  
United States Dollar   36,161,123   NOK   240,869,814     09/02/09     3,866,432  
United States Dollar   20,452,407   NOK   123,870,000     12/02/09     70,625  
United States Dollar   34,654,130   SEK   273,976,504     09/02/09     3,834,094  
United States Dollar   4,708,272   TRY   7,150,000     09/04/09     56,014  
United States Dollar   948,580   TRY   1,450,000     12/04/09     (11 )
                     
 
Net unrealized appreciation on forward foreign currency contracts     $ 3,297,210  
                     
 



Currency type abbreviations:
ARS   Argentine Peso
AUD   Australian Dollar
BRL   Brazilian Real
CAD   Canadian Dollar
CHF   Swiss Franc
CLP   Chilean Peso
CZK   Czech Koruna
EUR   Euro
GBP   Great Britain Pound
HUF   Hungary Forint
JPY   Japanese Yen
MYR   Malaysian Ringgit
NOK   Norwegian Krone
SEK   Swedish Krona
TRY   Turkish Lira
USD   United States Dollar

Futures contracts
Strategic Global Income Fund, Inc. had the following open futures contracts as of August 31, 2009:

                        Unrealized
    Expiration   Cost/           appreciation/
    dates   (proceeds)   Value   (depreciation)
   
 
 
 
US treasury futures buy contracts:                            
US Long Bond, 150 contracts (USD)   December 2009   $ 17,874,852     $ 17,962,500     $ 87,648  
2 Year US Treasury Notes, 458 contracts (USD)   December 2009     98,828,513       99,085,437       256,924  
5 Year US Treasury Notes, 353 contracts (USD)   September 2009     40,934,579       41,130,016       195,437  
10 Year US Treasury Notes, 249 contracts (USD)   December 2009     29,020,572       29,187,469       166,897  
US treasury futures sell contracts:                            
3 Year US Treasury Notes, 303 contracts (USD)   December 2009     (67,488,123 )     (67,673,156 )     (185,033 )
5 Year US Treasury Notes, 361 contracts (USD)   September 2009     (41,475,117 )     (42,062,141 )     (587,024 )
5 Year US Treasury Notes, 353 contracts (USD)   December 2009     (40,470,327 )     (40,683,250 )     (212,923 )
10 Year US Treasury Notes, 160 contracts (USD)   December 2009     (18,559,747 )     (18,755,000 )     (195,253 )
Interest rate futures buy contracts:                            
90 Day Euro-Dollar Futures, 500 contracts (USD)   March 2010     123,801,750       124,106,250       304,500  
90 Day Euro-Dollar Interest Rate Futures, 740                            
    contracts (USD)   September 2009     184,076,169       184,384,875       308,706  
90 Day Euro-Dollar Interest Rate Futures, 800                            
    contracts (USD)   March 2014     190,406,000       191,090,000       684,000  
Interest rate futures sell contracts:                            
90 Day Euro-Dollar Futures, 1,000 contracts (USD)   March 2012     (240,472,550 )     (241,462,500 )     (989,950 )
                       
 
Net unrealized depreciation on futures contracts                       $ (166,071 )
                       
 

     
Currency type abbreviation:
USD   United States Dollar


Swap agreements
Strategic Global Income Fund, Inc. had outstanding interest rate swap agreements with the following terms as of August 31, 2009:

Counterparty — Citigroup Global Markets Limited:
                                           
                  Payments   Upfront           Unrealized
        Termination   Payments made   received by the   payments           appreciation/
Notional amount       dates   by the Fund   Fund     (made)/received Value   (depreciation)
 
 
 
 
 
USD   115,200,000   09/30/11   1.7500 %(1)   — %(2)   $ —   $ (348,955 )   $ (348,955 )
USD   67,000,000   07/29/12   0.4963 (3)   2.1050 (1)     —     473,685       473,685  
USD   74,680,000   09/30/12   — (2)   2.3950 (1)     —     401,397       401,397  
USD   42,900,000   02/28/14   — (2)   2.9050 (1)     —     204,752       204,752  
USD   11,200,000   08/15/16   4.3400 (1)   0.4400 (3)     198,737     (796,399 )     (597,662 )
USD   42,400,000   11/24/18   0.2725 (4)   0.4069 (3)     —     125,864       125,864  
                       
 
 
                        $ 198,737   $ 60,344     $ 259,081  
                       
 
 

Counterparty — Deutsche Bank AG:
                                           
                  Payments   Upfront           Unrealized
        Termination   Payments made   received by the   payments           appreciation/
Notional amount       dates   by the Fund   Fund     (made)/received Value   (depreciation)
 
 
 
 
 
GBP   64,300,000   08/15/13   — %(5)   4.7000 %(1)     —   $ 943,135     $ 943,135  
GBP   55,000,000   08/15/16   4.8225 (1)   — (5)     —     (1,513,767 )     (1,513,767 )
USD   14,930,000   10/27/16   3.7090 (1)   — (2)     —     (346,188 )     (346,188 )
AUD   4,400,000   01/20/19   3.2567 (6)   4.2700 (1)     —     (447,921 )     (447,921 )
GBP   15,400,000   08/15/21   — (5)   4.8900 (1)     —     623,858       623,858  
USD   16,000,000   02/15/25   4.0750 (1)   — (2)     —     (77,405 )     (77,405 )
AUD   2,300,000   01/20/39   3.1000 (1)   3.2567 (6)     —     698,021       698,021  
                       
 
 
                        $ —   $ (120,267 )   $ (120,267 )
                       
 
 

Counterparty — Goldman Sachs International:
                                     
                  Payments     Upfront            
        Termination   Payments made     received by the     payments         Unrealized
Notional amount       date   by the Fund     Fund     (made)/received   Value   appreciation
USD   84,700,000   11/24/09   0.4069%(3)     0.5500%(4)     $ —   $ 26,416   $ 26,416


Counterparty — JPMorgan Chase Bank:
                                           
                  Payments   Upfront           Unrealized
        Termination   Payments made   received by the   payments           appreciation/
Notional amount       dates   by the Fund   Fund     (made)/received Value   (depreciation)
 
 
 
 
 
USD   124,100,000   01/09/10   0.5375 %(3)   0.6956 %(4)     —   $ 153,074     $ 153,074  
USD   42,300,000   11/24/18   0.2775 (4)   0.4069 (3)     —     108,161       108,161  
USD   124,100,000   01/09/19   0.2869 (4)   0.5375 (3)     —     349,487       349,487  
                       
 
 
                        $ —   $ 610,722     $ 610,722  
                       
 
 

Counterparty — Merrill Lynch International:
                                           
                  Payments   Upfront           Unrealized
        Termination   Payments made   received by the   payments           appreciation/
Notional amount       dates   by the Fund   Fund     (made)/received Value   (depreciation)
 
 
 
 
 
USD   84,700,000   11/24/10   — %(2)   0.1150 %(4)     —   $ 28,453     $ 28,453  
USD   15,430,000   08/15/16   4.3300 (1)   0.4400 (3)     —     (1,087,354 )     (1,087,354 )
USD   14,930,000   10/27/16   3.7090 (1)   — (2)     —     (346,188 )     (346,188 )
CAD   11,350,000   03/09/19   2.6300 (1)   0.4329 (7)     —     598,306       598,306  
USD   9,400,000   03/11/19   0.6475 (3)   3.1100 (1)     —     (240,202 )     (240,202 )
CAD   7,050,000   03/09/29   0.4329 (7)   3.7575 (1)     —     (404,983 )     (404,983 )
USD   5,500,000   03/12/29   3.2775 (1)   0.6475 (3)     —     477,219       477,219  
                       
 
 
                        $ —   $ (974,749 )   $ (974,749 )
                       
 
 

(1)   Payments made or received are based on the notional amount.
(2)   Rate based on 3 month LIBOR (USD BBA). This is a forward starting trade and, as such, a floating rate has not been assigned as of August 31, 2009.
(3)   Rate based on 3 month LIBOR (USD BBA).
(4)   Rate based on 1 month LIBOR (USD BBA).
(5)   Rate based on 6 month LIBOR (GBP BBA). This is a forward starting trade and, as such, a floating rate has not been assigned as of August 31, 2009.
(6)   Rate based on 6 month BBSW.
(7)   Rate based on 3 month Canada Bankers’ Acceptance rate.
     
BBA   British Banking Association
BBSW   Bank Bill Swap Reference Rate (Australian Financial Market)
LIBOR   London Interbank Offered Rate
     
Currency type abbreviations:
AUD   Australian Dollar
CAD   Canadian Dollar
GBP   Great Britain Pound
USD   United States Dollar


Strategic Global Income Fund, Inc. had outstanding a credit default swap agreement with the following terms as of August 31, 2009:

    Credit default swaps on corporate and sovereign issues - sell protection(1)
     
    Counterparty - Credit Suisse International:
   
                                             
                Payments   Payments                        
            Termination   made by the   received by the     Upfront payments         Unrealized   Credit
    Notional amount       date   Fund   Fund     (made)/received   Value   depreciation   Spread(2)
   
 
 
 
   
 
 
 
    USD   4,000,000   05/20/12   —%(3)   3.3000%(4)     $—     $ (440,519)   $ (440,519)   8.456%
                               
 
   

(1)   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 (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.
(2)   Credit spreads, where available, 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 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 entitiy’s credit soundness and a greater likelihood of 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 reference entity.
(3)   Payment of notional amount to the counterparty will be made upon the occurrence of a credit event with respect to the Development Bank of Kazakhstan 7.375% bond, due 11/12/13.
(4)   Payments received are based on the notional amount.

Currency type abbreviation:
USD   United States Dollar

Options written
Strategic Global Income Fund, Inc. had the following open options written as of August 31, 2009:

    Expiration     Premiums        
    dates     received     Value
   
   
   
Call options                    
10 Year US Treasury Notes, 137 contracts, strike @ USD 117.50   November 2009     $ 179,514     $ 220,484
30 Day Fed Fund Futures, 726 contracts, strike @ USD 99.75   November 2009       100,780       234,456
90 Day Euro-Dollar Futures, 740 contracts, strike @ USD 99.50   September 2009       145,410       309,875
90 Day Euro-Dollar Futures, 2,000 contracts, strike @ USD 99.63   December 2009       93,000       237,500
           
     
Total call options written           518,704       1,002,315
           
     
Put options                    
10 Year US Treasury Notes, 400 contracts, strike @ USD 112.00   November 2009       255,368       137,500
3 Month Sterling Interest Rate Futures, 453 contracts, strike @ GBP 97.50   March 2010       224,106       36,873
90 Day Euro-Dollar Futures, 390 contracts, strike @ USD 98.63   December 2009       57,135       17,063
90 Day Euro-Dollar Futures, 400 contracts, strike @ USD 98.50   March 2010       206,241       77,500
         
   
Total put options written           742,850       268,936
         
   
Total options written         $ 1,261,554     $ 1,271,251
         
   
                     
                     

Currency type abbreviations:
GBP   Great Britain Pound
USD   United States Dollar
     
     


Written option activity for the nine months ended August 31, 2009 for Strategic Global Income Fund, Inc. was as follows:

          Amount of
          premiums
    Number of contracts   received
   
 
Options outstanding at November 30, 2008   365     $ 141,698  
Options written   9,094       4,109,819  
Options terminated in closing purchase transactions   (4,213 )     (2,989,963 )
Options expired prior to exercise   —       —  
   
 
 
Options outstanding at August 31, 2009   5,246     $ 1,261,554  
   
 
 

The following is a summary of the inputs used as of August 31, 2009 in valuing the Fund’s investments:

Measurements at 08/31/09
      Quoted prices in                        
      active markets for   Significant other   Unobservable        
      identical investments   observable inputs   inputs        
Description     (Level 1)   (Level 2)   (Level 3)   Total
Corporate bonds     $ —     $ 50,115,629     $ 6,447,257     $ 56,562,886  
Asset-backed securities       —       12,421,114               12,421,114  
Collateralized debt obligations       —       —       16,834,024       16,834,024  
Commercial mortgage-backed securities       —       23,532,369       —       23,532,369  
Mortgage & agency debt securities       —       7,533,491       —       7,533,491  
US government obligations       —       15,958,669       —       15,958,669  
Non-US government obligations       —       55,229,336       —       55,229,336  
Sovereign/supranational bonds       —       4,016,862       —       4,016,862  
Preferred stock       —       10,235       —       10,235  
Short-term investment       —       2,473,229       —       2,473,229  
Other financial instruments(1)       351,420       2,657,894       —       3,009,314  
Total     $ 351,420     $ 173,948,828     $ 23,281,281     $ 197,581,529  

(1) Other financial instruments may include open futures contracts, swap agreements, options, and forward foreign currency contracts.

Level 3 Rollforward Disclosure
 The following is a rollforward of the Funds’ investments that were valued using unobservable inputs for the period:

  Measurements using
  unobservable inputs (Level 3)
 
          Collateralized   Non US-        
          debt   government        
  Corporate bonds   obligations   obligations     Total  
 
                       
Assets                      
Beginning balance $ 13,161,198     $ 11,014,365   $ 1,537,366     $25,712,929  
Total gains or losses (realized/unrealized) included in earnings(a)   1,404,832     1,530,235   —     2,935,067  
Purchases, sales, issuances, and settlements (net)   (8,128,773 )   —   —     (8,128,773 )
Transfers in and/or out of Level 3   10,000     4,289,424   (1,537,366 )   2,762,058  
 
Ending balance $ 6,447,257     $ 16,834,024   $             —     $23,281,281  
 
                       
The amount of total gains or losses for the period included in                      
earnings attributable to the change in unrealized gains or losses                      
relating to investments still held at 08/31/09. $ (728,376 )   $   1,894,492   $             —     $  1,166,116  
 
                       
(a) Does not include unrealized losses of $650,743 related to transferred assets presented at their end of period values.


Industry diversification (unaudited)
As a percentage of net assets as of August 31, 2009
Bonds      
Corporate bonds      
Aerospace & defense   0.14 %
Agriculture   0.10  
Auto loans   0.22  
Auto parts & equipment   0.12  
Banking   0.20  
Beverages   0.37  
Building & construction   0.01  
Building materials   0.01  
Capital markets   0.26  
Commercial banks   8.12  
Commercial services   0.33  
Computer hardware   0.21  
Construction materials   0.12  
Diversified financial services   7.12  
Diversified telecommunication services   0.91  
Electric utilities   0.62  
Food - wholesale   0.00 (1)
Health services   0.25  
Hotels, restaurants & leisure   0.64  
Household durables   0.42  
Independent power producers & energy traders   0.19  
Insurance   0.02  
IT services   0.32  
Media   0.68  
Metals & mining   0.09  
Multi-utilities   0.31  
Oil, gas & consumable fuels   0.81  
Real estate investment trusts (REITs)   3.30  
Retail   0.03  
Road & rail   0.06  
Telecommunications   0.32  
Tobacco   0.24  
Wireless telecommunication services   1.34  
   
 
Total corporate bonds   27.88  
Asset-backed securities   6.12  
Collateralized debt obligations   8.30  
Commercial mortgage-backed securities   11.60  
Mortgage & agency debt securities   3.71  
US government obligations   7.87  
Non US-government obligations   27.23  
Sovereign/supranational bonds   1.98  
   
 
Total bonds   94.69  
Preferred stock   0.00 (1)
Short-term investment   1.22  
Options purchased   0.68  
   
 
Total investments   96.59  
Cash and other assets, less liabilities   3.41  
   
 
Net assets   100.00 %
   
 
       
(1) Amount represents 0.005% of net assets.      


1) Swap agreements
The Fund may engage in swap agreements, including but not limited to interest rate, currency, total return and credit default swap agreements. The Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.

The Fund may enter into interest rate swap agreements with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect itself from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.

Credit default swap agreements involve commitments to make or receive payments in the event of a default or a credit event of a referenced security. As a buyer, the Fund would make periodic payments to the counterparty, and the Fund would receive payments only upon the occurrence of a credit event. If no credit event occurs, the Fund will lose its periodic stream of payments over the term of the contract. However, if a credit event does occur, the Fund typically would receive full notional value for a reference obligation that may have little or no value. As a seller, the Fund would receive periodic payments from the counterparty, and the Fund would make payments only upon the occurrence of a credit event. If no credit event occurs, the Fund will gain the periodic stream of payments it received over the term of the contract. However, if a credit event occurs, the Fund will pay full notional value for a reference obligation that may have little or no value.

Credit default swaps may involve greater risks than if the Fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of referenced credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. The Fund may use credit default swaps on credit indices to hedge its portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swaps to achieve a similar effect.

Credit default swap on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.

Credit default swap agreements on corporate issues or sovereign issues of an emerging market country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). The Fund may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.


The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of August 31, 2009 for which the Fund is the seller of protection are disclosed under the section “Credit default swaps on corporate and sovereign issues — sell protection” in the notes to portfolio of investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into, if any, by the Fund for the same referenced entity or entities.

Total return swap agreements involve commitments to pay or receive interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Total return swaps are marked-to-market daily, and the change, if any, is recorded as unrealized appreciation or depreciation. Total return swap agreements are subject to general market risk, liquidity risk, counterparty risk and that there may be unfavorable changes in the underlying investments or instruments.

The use of swaps involves investment techniques and risks different from those associated with ordinary portfolio security transactions. If UBS Global AM is incorrect in its forecast of market values, interest rates and other applicable factors, the investment performance of the Fund will be less favorable than it would have been if this investment technique was never used. Swaps do not involve the delivery of securities and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, the Fund’s risk of loss will consist of the net amount of interest or other payments that the Fund is contractually entitled to receive. Therefore, the Fund would consider the creditworthiness of the counterparty to a swap agreement in evaluating potential credit risk.

2) Option writing
The Fund may write (sell) put and call options on foreign or US securities indices in order to gain exposure to or protect against changes in the markets. When the Fund writes a call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of assets and liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. If an option which the Fund has written either expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security or derivative instrument, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund recognizes a realized gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security or derivative instrument and the proceeds from the sale are increased by the premium originally received. If a put option which the Fund has written is exercised, the amount of the premium originally received reduces the cost of the security or derivative instrument which the Fund purchases upon exercise of the option.

In writing an option, the Fund bears the market risk (specifically interest rate risk) of an unfavorable change in the price of the derivative instrument, security or currency underlying the written option.


Exercise of an option written by the Fund could result in the Fund selling or buying a derivative instrument, security or currency at a price different from current market value.

3) Restricted securities
The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included in the Fund’s “Notes to portfolio of investments”.

4) Securities lending
The Fund may lend securities up to 33 1/2% of its total assets to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or US government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The Fund will regain ownership of loaned securities to exercise certain beneficial rights; however, the Fund may bear the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower fail financially. The Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or US government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. The Fund did not lend any securities during the nine month period ended August 31, 2009.

For more information regarding the Fund’s other significant accounting policies, please refer to the Fund’s semiannual report to shareholders dated May 31, 2009.


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 is 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/ Kai R. Sotorp
    Kai R. Sotorp
    President
     
Date:   October 30, 2009

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/ Kai R. Sotorp
    Kai R. Sotorp
    President
     
Date:   October 30, 2009
     
By:   /s/ Thomas Disbrow
    Thomas Disbrow
    Vice President and Treasurer
     
Date:   October 30, 2009