Strategic Global Income Fund (SGL) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

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
1775 I Street, N.W.
Washington, DC 20006-2401

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

Date of fiscal year end: November 30

Date of reporting period: May 31, 2012

Item 1.   Reports to Stockholders.

Closed-end funds

Strategic Global Income
Fund, Inc.

Semiannual Report
May 31, 2012

Strategic Global Income Fund, Inc.:
Managed distribution policy—key points to note
•	The Fund has a managed distribution policy. Since June 2011, the Fund makes regular monthly distributions at an annualized rate equal to 6% of the Fund’s net asset value, as determined as of the last trading day during the first week of a month (usually a Friday, unless the NYSE is closed that day). (From August 2009 through the monthly distribution for May 2011, the annualized rate had been 7%.)
•	To the extent that the Fund’s taxable income in any fiscal year exceeds the aggregate amount distributed based on a fixed percentage of its net asset value, the Fund would make an additional distribution in the amount of that excess near the end of the fiscal year. To the extent that the aggregate amount distributed by the Fund (based on a percentage of its net assets) exceeds its current and accumulated earnings and profits, the amount of that excess would constitute a return of capital or net realized capital gains for tax purposes. A return of capital may occur, for example, when some or all of the money that shareholders invested in the Fund is deemed to be paid back to shareholders. A return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.”
•	You should not draw any conclusions about the Fund’s investment performance from the amount of the monthly distribution or from the terms of the Fund’s managed distribution policy.
•	The Fund periodically issues notices and press releases estimating the source characteristics of its monthly distributions. The amounts and sources reported in these materials are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for accounting and tax reporting purposes will depend upon the Fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV (or your financial intermediary should provide you with similar information) for the calendar year that will tell you how to report these distributions for federal income tax purposes.
•	The Fund’s Board may change or terminate the managed distribution policy at any time without prior notice to Fund shareholders; any such change or termination may have an adverse effect on the market price for the Fund’s shares.
•	Further information regarding the Fund’s managed distribution policy is contained in the section captioned “Distribution policy” towards the end of this report.

Strategic Global Income Fund, Inc.

July 12, 2012

Dear shareholder,

This report provides an overview of the performance of Strategic Global Income Fund, Inc. (the “Fund”) for the six months ended May 31, 2012.

The Fund commenced operations in February 1992, and passed its twentieth anniversary during the review period. In May 2012, we announced the expansion of the portfolio management team as further resources are devoted to helping the Fund seek its investment objectives. After the conclusion of this letter, we provide more information about the expanded portfolio management team.

Performance

Over the six months ended May 31, 2012, the Fund returned 3.63% on a net asset value basis, and generated a 6.20% return on a market price basis. Over the same period, the Fund’s benchmark, the Strategic Global Benchmark¹ (the “Benchmark”), returned 2.46%. Finally, the median returns for the Fund’s peer group, the Lipper Global Income Funds category, were 3.19% and 7.79% on a net asset value and market price basis, respectively. (For more on the Fund’s performance, please refer to “Performance at a glance” on page 10.)

Strategic Global Income Fund, Inc.

Investment goals:

Primarily, high level of current income; secondarily, capital appreciation

Portfolio management:

Portfolio management team,
including Uwe Schillhorn, Scott
Dolan, John Dugenske, Craig
Ellinger and Brian Fehrenbach
UBS Global Asset
Management (Americas) Inc.

Commencement:

February 3, 1992

NYSE symbol:

SGL

Distribution payments:

Monthly

The Fund did not use structural leverage during the reporting period. That is, the Fund did not have preferred stock outstanding, nor did it borrow from banks for investment purposes, as some of its peers may

¹   The Strategic Global Benchmark is an unmanaged index compiled by the advisor, constructed as follows: 67% Citigroup World Government Bond Index and 33% J.P. Morgan Emerging Markets Bond Index Global (EMBI Global). Investors should note that indices do not reflect the deduction of fees and expenses.

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Strategic Global Income Fund, Inc.

have done. Leverage magnifies returns on both the upside and on the downside, and creates a wider range of returns within the Fund’s peer group.

The Fund traded at a discount to its net asset value (“NAV”)² per share during the reporting period. At the close of the preceding reporting period, November 30, 2011, the Fund traded at a discount of 7.4%; at the close of the current reporting period, May 31, 2012, the Fund traded at a discount of 5.5%. As of these same dates, the Lipper peer group medians reported discounts of 5.3% and 1.1%, respectively.

An interview with the Portfolio Managers
Q.	How would you describe the global economic environment during the reporting period?
A.	During the first half of the reporting period, data in the US suggested that its economy was gathering some momentum, as unemployment edged lower, consumer spending improved and the manufacturing sector continued to expand at a solid pace. However, as the reporting period progressed, there were some indications that the US economy may be experiencing a soft patch. In particular, employment gains moderated and manufacturing activity weakened somewhat.
	Economic growth in developed countries outside the US generally weakened and, in some cases, moved into negative territory during the reporting period. The fallout from the ongoing sovereign debt crisis negatively impacted growth in Europe. Several countries, including the UK, fell back into a recession as they experienced two consecutive quarters of negative gross domestic product (“GDP”) growth. In contrast, Japan’s economy expanded at a stronger pace during the reporting period. Elsewhere, while growth rates in many developing countries continued to surpass their developed country

² A fund trades at a premium when the market price at which its shares trade is more than its NAV. Alternatively, a fund trades at a discount when the market price at which its shares trade is less than its NAV. The market price is the price the market is willing to pay for shares of a fund at a given time, and may be influenced by a range of factors, including supply and demand and market conditions. NAV per share is determined by dividing the value of the Fund’s securities, cash and other assets, less all liabilities, by the total number of common shares outstanding.

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Strategic Global Income Fund, Inc.

	counterparts, in many cases they expanded at a less robust pace during the reporting period.
	The US spread sectors3 experienced periods of volatility during the period. The spread sectors were initially supported by improving economic conditions in the US economy and corporate profits that often exceeded expectations. Against this backdrop, demand for lower quality, higher yielding securities was generally strong during the first half of the period. As the period progressed, concerns that the global economy was slowing and fears of contagion from the European sovereign debt crisis then led to several flights to quality. Consequently, US Treasury yields moved sharply lower and the spread sectors generally lagged equal duration Treasuries during the second half of the period.
	The emerging markets debt asset class, despite generating weak results at times, performed well during the six months ended May 31, 2012. The asset class rallied from the end of December 2011 through February 2012. This was driven by positive economic news in the US and expectations for a soft landing4 for China’s economy. In addition, concerns relating to the European sovereign debt crisis moderated, as the European Central Bank’s three-year Long-Term Refinancing Operation (LTRO) soothed the markets. Nevertheless, the asset class weakened somewhat in March, as new issuance increased and investors appeared to capture some of their earlier profits. With demand resuming in April, the asset class again rallied, only to fall sharply in May as numerous macro concerns led to a flight to quality.
Q.	How did you position the portfolio from a duration standpoint?
A.	The Fund’s duration was somewhat shorter than its benchmark during the reporting period, due to our expectations for continued, albeit relatively modest, global growth. The Fund’s duration positioning was a slight negative for results over the period. (Duration measures

3	A spread sector refers to non-government fixed income sectors, such as high yield bonds, commercial mortgage-backed securities (CMBS) and investment grade corporate bonds. The spread measures the difference between the yields paid on non-government securities versus those paid on government securities (in this example, US Treasuries) of comparable duration.
4	A soft landing describes a situation in which a central bank raises interest rates gradually, but steadily, to curb inflation, while still attempting to keep the economy out of a recession.

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Strategic Global Income Fund, Inc.

	a fund’s sensitivity to changes in interest rates and is related to the maturity of the bonds comprising the portfolio.)
Q.	Which currency strategies did you use during the period?
A.	We tactically adjusted the Fund’s currency exposures during the reporting period. Our positions in the Japanese yen and Norwegian krone—where the Fund generally had long positions—benefited performance. This was offset by the Fund’s short positions in the Australian dollar and Swiss franc. In addition, the Fund’s overweight to local emerging markets currencies was a drag on results, as they lagged relative to the US dollar given an increase in risk aversion during the second half of the reporting period. Overall, currency exposure did not meaningfully impact Fund performance during the reporting period.
Q.	Which other strategies impacted the Fund’s results over the period?
A.	Overall, spread management was positive over the period, particularly due to the Fund’s out-of-benchmark exposure to the US spread sectors. In particular, the Fund’s allocations to commercial mortgage-backed securities, investment grade bonds and US high yield bonds posted positive results as their spreads narrowed, especially during the first half of the reporting period. In addition, the Fund’s allocation to US Treasuries, as well as our avoidance of peripheral European bonds, contributed to performance.
	As mentioned, the Fund’s emerging market local currency exposures were a drag on results. Our preference for local currencies was based on our positive long-term outlook for certain currencies, as well as what we viewed to be the superior yields they offered versus US dollar-denominated currencies. However, local currencies performed poorly as investors avoided asset classes that were perceived to be riskier.
Q.	How was the Fund positioned at the end of the reporting period?
A.	Toward the end of the reporting period, we made several adjustments to the Fund’s portfolio. Given increased risk aversion, investors flocked to the relative safety of government debt from countries such as the US and Germany, driving their yields to record low levels. Based on our view that these yields were unsustainably low, and given the

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Strategic Global Income Fund, Inc.

	Fund’s primary objective to achieve a high level of current income, with capital appreciation a secondary objective in the selection of investments, we pared our exposures and added to the Fund’s allocation to high-quality US agency mortgage backed securities (MBS). Not only do we feel this will help reduce the Fund’s interest rate risk, but we also believe agency MBS offer more attractive yields.
Q.	What derivative instruments had the greatest impact on performance during the reporting period?
A.	The Fund utilized various currency derivatives (such as currency forwards, options and swaps) to manage its currency exposures across both developed and emerging markets currencies. These instruments were successful in helping us to adjust the Fund’s currency exposures, although the overall currency strategy had a marginal impact on performance over the period. (Currency forwards are agreements based on the exchange rates between currencies at a future date.)
	As part of its spread management strategy, the Fund utilized various credit derivatives (such as credit default swaps and structured notes) to efficiently gain or hedge risk exposures across markets, sectors and issuers. As noted above, overall spread management strategy was highly beneficial to performance over the period.
	Lastly, while the Fund’s use of several different interest rate derivatives (such as interest rate swaps, futures and swaptions) to adjust its duration and yield curve positioning had a positive impact on performance, the overall duration and yield curve management strategy detracted over the review period.
Q.	What is your outlook on the global economy and fixed income markets?
A.	While recent economic data in the US have triggered concerns of a soft patch, we continue to feel that the US economy has enough momentum to continue expanding, albeit at a modest pace. We also feel that inflation will be relatively benign. Against this backdrop, the Fed should maintain its highly accommodative monetary policy which, in our view, would be supportive for higher yielding securities. The outlook for economic growth outside the US is clouded by the

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Strategic Global Income Fund, Inc.

overhang of the European sovereign debt crisis and uncertainties over the policy response in the region. There are also questions regarding the Chinese government’s response to moderating growth in its economy. Against this backdrop, we expect to see continued periods of heightened market volatility.

We continue to have a positive long-term outlook for emerging markets investments, although volatility may stay elevated in the near-term, due to market uncertainty and investor risk aversion. In our view, demand for emerging market bonds will be supported by investors’ search for higher-yielding securities, and by strong sovereign and corporate balance sheets in emerging markets. Strong fundamental data, stable reserves, a more solid fiscal situation and lower indebtedness are signs of such strengths, especially for emerging market sovereigns, quasi-sovereigns and currencies.

Sincerely,
Mark E. Carver	Scott Dolan
President	Portfolio Manager
Strategic Global Income Fund, Inc.	Strategic Global Income Fund, Inc.
Managing Director	Managing Director
UBS Global Asset Management	UBS Global Asset Management
(Americas) Inc.	(Americas) Inc.
John Dugenske, CFA	Craig Ellinger, CFA
Portfolio Manager	Portfolio Manager
Strategic Global Income Fund, Inc.	Strategic Global Income Fund, Inc.
Managing Director	Managing Director
UBS Global Asset Management	UBS Global Asset Management
(Americas) Inc.	(Americas) Inc.

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Strategic Global Income Fund, Inc.

Brian Fehrenbach, CFA	Uwe Schillhorn, CFA
Portfolio Manager	Portfolio Manager
Strategic Global Income Fund, Inc.	Strategic Global Income Fund, Inc.
Managing Director	Managing Director
UBS Global Asset Management	UBS Global Asset Management
(Americas) Inc.	(Americas) Inc.

This letter is intended to assist shareholders in understanding how the Fund performed during the six months ended May 31, 2012. The views and opinions in the letter were current as of July 12, 2012. They are not guarantees of future performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and we reserve the right to change our views about individual securities, sectors and markets at any time. As a result, the views expressed should not be relied upon as a forecast of the Fund’s future investment intent. We encourage you to consult your financial advisor regarding your personal investment program.

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Strategic Global Income Fund, Inc.

Strategic Global Income Fund, Inc. portfolio management team expansion

During the reporting period, the Fund issued a press release announcing the expansion of its portfolio management team. Information regarding the new team is repeated below.

Effective mid-May 2012, the Fund’s investment team was expanded from a team-based structure with a single lead portfolio manager to one led by multiple portfolio managers. Uwe Schillhorn, Head of Emerging Markets Debt at UBS Global Asset Management (Americas) Inc. (“UBS Global AM”), who had been the lead portfolio manager for the Fund, was joined by the following individuals, each of whom will focus on specific aspects of managing the Fund:

Scott Dolan, Managing Director of UBS Global AM
Years of investment industry experience: 23

Mr. Dolan is a member of the Global Fixed Income Investment Committee. In his current role, he is responsible for overseeing the overall strategy and portfolio management of multi-sector and securitized debt portfolios. Mr. Dolan has been with UBS Global AM since 2008.

John Dugenske, CFA, Managing Director of UBS Global AM
Years of investment industry experience: 23

Mr. Dugenske is a member and the chairman of the Global Fixed Income Investment Committee. As Head of North American Fixed Income, he has overall responsibility across all fixed income investment capabilities at UBS Global AM. Mr. Dugenske has been with the firm since 2009.

Craig Ellinger, CFA, Managing Director of UBS Global AM
Years of investment industry experience: 21

Mr. Ellinger is a member of the Global Fixed Income Investment Committee. In his current role, he is responsible for managing all aspects of UBS Global AM’s global high yield business. Mr. Ellinger joined the firm in 2000.

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Strategic Global Income Fund, Inc.

Brian Fehrenbach,CFA, Managing Director of UBS Global AM
Years of investment industry experience: 25

Mr. Fehrenbach is a member of the Global Fixed Income Investment Committee. In his current role, he is responsible for overseeing the overall strategy and portfolio management of multi-sector funds and unconstrained strategies at UBS Global AM. Mr. Fehrenbach has been with the firm since 2006.

Mr. Schillhorn, who has been involved in the management of the Fund since November 2003, continues to be part of the management team, with a focus on overseeing investment decisions relating to the emerging markets debt sector. Mr. Schillhorn is also a member of the Global Fixed Income Investment Committee.

UBS Global AM believes that this new team structure better aligns the Fund with its multi-sector investment strategy. It furthermore advances an investment approach that has already been employed to a degree with the Fund, as Mr. Schillhorn has historically drawn upon the fuller array of resources of UBS Global AM’s Fixed Income team, benefiting from the insights and opportunities identified by his colleagues to make investment decisions for the Fund.

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Strategic Global Income Fund, Inc.

Performance at a glance (unaudited)

Average annual total returns for periods ended 05/31/12

Net asset value returns	6 months			1 year		5 years		10 years
Strategic Global Income Fund, Inc.		3.63	%	3.09	%	9.24	%	9.78	%
Lipper Global Income Funds median		3.19		2.09		6.60		10.98
Market price returns
Strategic Global Income Fund, Inc.		6.20	%	2.03	%	7.96	%	9.20	%
Lipper Global Income Funds median		7.79		4.17		8.00		12.05
Index returns
Strategic Global Benchmark1		2.46	%	4.65	%	7.65	%	8.55	%
Citigroup World Government Bond Index2		1.21		2.83		7.17		7.30

Past performance does not predict future performance. The return and value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. The Fund’s net asset value (“NAV”) returns assume, for illustration only, that dividends and other distributions, if any, were reinvested at the NAV on the payable dates. The Fund’s market price returns assume that all dividends and other distributions, if any, were reinvested at prices obtained under the Fund’s Dividend Reinvestment Plan. Returns for periods of less than one year have not been annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund dividends and other distributions, if any, or on the sale of Fund shares.

1	The Strategic Global Benchmark is an unmanaged index compiled by the advisor, constructed as follows: 67% Citigroup World Government Bond Index and 33% J.P. Morgan Emerging Markets Bond Index Global (EMBI Global). Investors should note that indices do not reflect the deduction of fees and expenses.
2	The Citigroup World Government Bond Index is an unmanaged broad-based market capitalization weighted index composed of straight (i.e., not floating rate or index-linked) government bonds with a one-year minimum maturity. The index is designed to track the government bond markets of 23 developed countries. Investors should note that indices do not reflect the deduction of fees and expenses.

Lipper peer group data calculated by Lipper Inc.; used with permission. The Lipper median is the return of the fund that places in the middle of the peer group. Lipper classifies the fund in its “Global Income Funds” category, which includes both leveraged and non-leveraged closed-end funds that invest primarily in US dollar and non-US dollar debt securities of issuers located in at least three countries, one of which may be the United States.

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Strategic Global Income Fund, Inc.

Portfolio statistics (unaudited)

Characteristics1	05/31/12		11/30/11		05/31/11
Net asset value		$11.14		$11.37		$11.77
Market price		$10.53		$10.52		$11.30
12-month dividends/
distributions		$0.9735		$1.7725		$1.8481
Dividend/distribution
at period-end		$0.0567		$0.0574		$0.0688
Net assets (mm)		$203.5		$207.6		$214.9
Weighted average
maturity (yrs.)		6.3		5.6		6.2
Duration (yrs.)2		4.9		4.0		4.3

Currency exposure3	05/31/12				11/30/11				05/31/11
US dollar denominated		57.2	%			67.7	%			47.5	%
Non-US dollar denominated		42.8				32.3				52.5
Total		100.0	%			100.0	%			100.0	%
Top ten countries4
(bond holdings)	05/31/12				11/30/11				05/31/11
United States		42.8	%	United States		46.7	%	United States		37.7	%
Germany		13.6		Germany		15.5		Germany		9.0
Argentina		3.7		Cayman Islands		3.6		United Kingdom		6.1
Cayman Islands		3.5		Argentina		3.2		Argentina		3.9
Netherlands		3.1		Russia		2.7		Malaysia		3.9
France		3.1		United Kingdom		2.4		Venezuela		3.5
United Kingdom		2.6		India		2.3		Cayman Islands		3.4
India		2.2		Venezuela		2.2		Hong Kong		2.2
Mexico		2.1		Malaysia		2.0		South Africa		2.2
Malaysia		2.1		South Africa		2.0		Ireland		2.1
Total		78.8	%			82.6	%			74.0	%

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Strategic Global Income Fund, Inc.

Portfolio statistics (unaudited) (concluded)

Credit quality5	05/31/12			11/30/11			05/31/11
AAA		1.5	%		5.9	%		9.4	%
US Treasury6		16.9			9.1			8.1
US Agency6,7		3.3			—			—
AA		6.2			6.6			4.7
A		7.1			12.5			10.9
BBB		11.3			12.7			14.3
BB		5.0			4.2			6.4
B		4.9			8.0			7.8
CCC		1.1			1.9			2.5
CC		—			—			0.3
D		1.3			0.3			0.1
Non-rated		40.9			28.6			28.1
Cash equivalents		2.6			11.1			4.0
Other assets less liabilities		(2.1	)		(0.9	)		3.4
Total		100.0	%		100.0	%		100.0	%

1	Prices and other characteristics will vary over time.
2	Duration is a measure of price sensitivity of a fixed income investment or portfolio (expressed as % change in price) to a 1 percentage point (i.e., 100 basis points) change in interest rates, accounting for optionality in bonds such as prepayment risk and call/put features.
3	Exposure represents a percentage of market value as of dates indicated.
4	Weightings represent percentage of net assets as of the dates indicated. The Fund’s portfolio is actively managed and its composition will vary over time.
5	Weightings represent percentages of net assets as of the dates indicated. The Fund’s portfolio is actively managed and its composition will vary over time. Credit quality ratings shown are based on those assigned by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc. (“S&P”), to individual portfolio holdings. S&P is an independent ratings agency. Rating reflected represents S&P individual debt issue credit rating. While S&P may provide a credit rating for a bond issuer (e.g., a specific company or country); certain issues, such as some sovereign debt, may not be covered or rated and therefore are reflected as non-rated for the purposes of this table.
6	S&P downgraded long-term US government debt on August 5, 2011 to AA+. Other rating agencies continue to rate long-term US government debt in their highest ratings categories. The Fund’s aggregate exposure to AA rated debt as of May 31, 2012 would include the percentages indicated above for AA, US Treasury and US Agency debt but has been broken out into three separate categories to facilitate understanding.
7	Includes agency debentures and agency mortagage-backed securities.

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Strategic Global Income Fund, Inc.

Industry diversification (unaudited)
As a percentage of net assets
As of May 31, 2012
Bonds
Corporate bonds
Aerospace & defense	0.19	%
Airlines	0.01
Auto components	0.01
Auto parts & equipment	0.02
Automobiles	0.06
Beverages	0.02
Building products	0.11
Capital markets	0.30
Chemicals	0.22
Commercial banks	0.98
Commercial services & supplies	0.38
Computers & peripherals	0.11
Construction materials	0.03
Consumer finance	0.28
Containers & packaging	0.10
Distribution/wholesale	0.03
Diversified financial services	3.89
Diversified telecommunication services	0.44
Electric utilities	0.07
Electrical equipment	0.01
Electronic equipment, instruments & components	0.02
Energy equipment & services	0.32
Entertainment	0.04
Food & staples retailing	0.44
Food products	0.31
Health care providers & services	0.18
Health care technology	0.03
Health services	0.02
Hotels, restaurants & leisure	0.40
Household durables	0.05
Independent power producers & energy traders	0.21
Insurance	0.61
Internet software & services	0.03
Leisure equipment & products	0.01
Machinery	0.11
Media	0.91
Metals & mining	0.42
Multiline retail	0.01
Multi-utilities	0.16

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Strategic Global Income Fund, Inc.

Industry diversification (unaudited) (concluded)
As a percentage of net assets
As of May 31, 2012
Bonds (concluded)
Corporate bonds (concluded)
Non-food & drug retailers	0.04	%
Oil, gas & consumable fuels	4.31
Paper & forest products	0.09
Pharmaceuticals	0.15
Professional services	0.01
Real estate investment trust (REIT)	0.34
Real estate management & development	2.14
Road & rail	0.08
Software	0.05
Specialty retail	0.15
Telecommunications	0.15
Tobacco	0.50
Trading companies & distributors	0.02
Wireless telecommunication services	0.47
Total corporate bonds	20.04	%
Asset-backed securities	0.52
Collateralized debt obligations	4.75
Commercial mortgage-backed securities	9.49
Mortgage & agency debt securities	5.16
Municipal bond	0.19
US government obligations	16.86
Non-US government obligations	35.37
Structured notes	3.92
Total bonds	96.30	%
Common stocks	0.001
Short-term investment	2.55
Options purchased	3.25
Total investments	102.10	%
Liabilities, in excess of cash and other assets	(2.10	)
Net assets	100.00	%

¹ Amount represents less than 0.005%.

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Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—96.30%
Corporate bonds—20.04%
Australia—0.04%
FMG Resources August 2006 Pty Ltd.,
7.000%, due 11/01/151	$	75,000	$	75,000
Austria—0.47%
Oesterreichische Kontrollbank AG,
3.500%, due 04/28/14	EUR	735,000		954,209
Canada—0.17%
Connacher Oil and Gas Ltd.,
8.500%, due 08/01/191	$	35,000		32,550
Inmet Mining Corp.,
8.750%, due 06/01/201		25,000		24,375
Nova Chemicals Corp.,
8.625%, due 11/01/19		115,000		128,513
Novelis, Inc.,
8.375%, due 12/15/17		50,000		52,750
Teck Resources Ltd.,
6.250%, due 07/15/41		65,000		72,266
Videotron Ltee,
5.000%, due 07/15/221		30,000		29,250
				339,704
Cayman Islands—0.44%
Seagate HDD Cayman,
7.750%, due 12/15/18		50,000		53,875
Transocean, Inc.,
6.800%, due 03/15/38		500,000		579,995
Vale Overseas Ltd.,
4.375%, due 01/11/22		200,000		199,915
6.875%, due 11/21/36		50,000		57,214
				890,999
Ireland—0.05%
Vimpel Communications Via VIP
Finance Ireland Ltd. OJSC,
9.125%, due 04/30/181		100,000		103,500
Kazakhstan—1.21%
KazMunayGas National Co.,
8.375%, due 07/02/132		2,350,000		2,464,562

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Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
Luxembourg—0.13%
Intelsat Jackson Holdings SA,
7.250%, due 10/15/20	$	125,000	$	124,375
Intelsat Luxembourg SA,
11.250%, due 02/04/17		100,000		98,250
Wind Acquisition Finance SA,
11.750%, due 07/15/171		50,000		42,500
				265,125
Malaysia—2.13%
Johor Corp.,
1.000%, due 07/31/123	MYR	9,100,000		4,332,309
Marshall Islands—0.01%
Navios Maritime Holdings, Inc.,
8.875%, due 11/01/17	$	20,000		20,500
Mexico—0.27%
America Movil SAB de CV,
5.000%, due 03/30/20		210,000		234,725
Petroleos Mexicanos,
4.875%, due 01/24/221		300,000		315,000
				549,725
Netherlands Antilles—0.06%
Teva Pharmaceutical Finance IV BV,
3.650%, due 11/10/21		125,000		131,000
Norway—0.89%
Eksportfinans ASA,
1.600%, due 03/20/14	JPY	152,000,000		1,781,987
3.000%, due 11/17/14	$	35,000		33,253
				1,815,240
Russia—1.94%
RSHB Capital SA for OJSC Russian Agricultural Bank,
7.750%, due 05/29/182		1,900,000		2,104,250
VEB Finance Ltd.,
6.800%, due 11/22/252		1,800,000		1,845,000
				3,949,250

16

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
South Africa—0.06%
AngloGold Ashanti Holdings PLC,
5.375%, due 04/15/20	$	125,000	$	128,417
Ukraine—0.41%
Naftogaz Ukraine,
9.500%, due 09/30/14		880,000		831,600
United Kingdom—0.75%
Biz Finance PLC,
11.000%, due 02/03/14	UAH	10,800,000		1,001,824
HSBC Holdings PLC,
4.000%, due 03/30/22	$	400,000		407,146
Virgin Media Finance PLC,
8.375%, due 10/15/19		100,000		109,500
				1,518,470
United States—10.62%
AES Corp.,
8.000%, due 10/15/17		75,000		83,250
AK Steel Corp.,
7.625%, due 05/15/20		100,000		92,500
Ally Financial, Inc.,
6.750%, due 12/01/14		100,000		104,000
8.300%, due 02/12/15		55,000		58,850
Alta Mesa Holdings,
9.625%, due 10/15/18		75,000		73,875
Altria Group, Inc.,
9.950%, due 11/10/38		500,000		798,428
AMC Entertainment, Inc.,
9.750%, due 12/01/20		25,000		26,875
American International Group, Inc.,
4.375%, due 04/26/16	EUR	500,000		624,688
AmeriGas Finance LLC,
6.750%, due 05/20/20	$	30,000		29,550
AMGH Merger Sub, Inc.,
9.250%, due 11/01/181		15,000		15,188
Anadarko Petroleum Corp.,
6.450%, due 09/15/36		500,000		584,275

17

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States���(continued)
ARAMARK Corp.,
8.500%, due 02/01/15	$	125,000	$	127,970
Arch Coal, Inc.,
7.250%, due 10/01/20		100,000		85,500
8.750%, due 08/01/16		25,000		24,000
AT&T, Inc.,
1.600%, due 02/15/17		185,000		185,667
6.500%, due 09/01/37		125,000		157,454
Atlas Pipeline Partners LP,
8.750%, due 06/15/18		25,000		26,500
Avis Budget Car Rental LLC,
7.750%, due 05/15/16		50,000		51,375
Bank of America Corp.,
5.650%, due 05/01/18		60,000		62,499
BE Aerospace, Inc.,
6.875%, due 10/01/20		100,000		109,750
Berry Petroleum Co.,
6.750%, due 11/01/20		50,000		51,750
Boyd Gaming Corp.,
9.125%, due 12/01/18		30,000		30,750
BreitBurn Energy Partners LP,
7.875%, due 04/15/221		50,000		49,000
Brunswick Corp.,
11.250%, due 11/01/161		25,000		29,188
Burlington Coat Factory Warehouse Corp.,
10.000%, due 02/15/19		25,000		25,813
Burlington Northern Santa Fe LLC,
6.150%, due 05/01/37		60,000		75,608
Cablevision Systems Corp.,
8.625%, due 09/15/17		60,000		65,550
Caesars Entertainment Operating Co., Inc.,
5.625%, due 06/01/15		75,000		61,875
10.000%, due 12/15/15		50,000		43,750
10.000%, due 12/15/18		15,000		10,125
11.250%, due 06/01/17		50,000		53,125

18

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
Calpine Corp.,
7.875%, due 07/31/201	$	145,000	$	153,700
Capital One Capital III,
7.686%, due 08/15/36		30,000		30,300
Case New Holland, Inc.,
7.875%, due 12/01/17		125,000		142,500
CB Richard Ellis Services, Inc.,
11.625%, due 06/15/17		25,000		28,250
CCO Holdings LLC,
6.500%, due 04/30/21		50,000		51,125
CDW LLC,
12.535%, due 10/12/17		50,000		53,500
Celanese US Holdings LLC,
5.875%, due 06/15/21		50,000		52,125
6.625%, due 10/15/18		25,000		26,437
CF Industries, Inc.,
7.125%, due 05/01/20		125,000		151,250
Chesapeake Energy Corp.,
9.500%, due 02/15/15		100,000		105,500
Chrysler Group LLC,
8.000%, due 06/15/19		55,000		55,137
CIT Group, Inc.,
4.750%, due 02/15/151		170,000		169,150
5.500%, due 02/15/191		75,000		72,937
Citigroup Capital XXI,
8.300%, due 12/21/574		50,000		50,550
CityCenter Holdings LLC,
10.750%, due 01/15/175		50,000		53,500
Clearwire Communications LLC,
12.000%, due 12/01/151		20,000		17,450
Coleman Cable, Inc.,
9.000%, due 02/15/18		15,000		15,562
Comcast Corp.,
6.300%, due 11/15/17		160,000		192,845
6.950%, due 08/15/37		100,000		128,659

19

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
Community Health Systems, Inc.,
8.000%, due 11/15/19	$	25,000	$	25,531
8.875%, due 07/15/15		11,000		11,282
ConocoPhillips,
6.500%, due 02/01/39		90,000		123,598
Constellation Brands, Inc.,
7.250%, due 05/15/17		40,000		45,300
Cricket Communications, Inc.,
7.750%, due 05/15/16		50,000		52,750
10.000%, due 07/15/15		50,000		51,125
Crosstex Energy,
8.875%, due 02/15/18		180,000		189,000
CSX Corp.,
6.220%, due 04/30/40		50,000		62,499
DDR Corp.,
9.625%, due 03/15/16		75,000		91,324
Dell, Inc.,
5.400%, due 09/10/40		95,000		101,960
Delta Air Lines, Inc.,
12.250%, due 03/15/151		20,000		21,600
Denbury Resources, Inc.,
8.250%, due 02/15/20		100,000		108,000
Devon Energy Corp.,
4.750%, due 05/15/42		500,000		523,036
Diamond Resorts Corp.,
12.000%, due 08/15/18		70,000		75,425
DirecTV Holdings LLC,
6.000%, due 08/15/40		160,000		175,359
DISH DBS Corp.,
7.750%, due 05/31/15		25,000		27,187
7.875%, due 09/01/19		130,000		144,625
DPL, Inc.,
7.250%, due 10/15/211		50,000		54,375
DuPont Fabros Technology LP,
8.500%, due 12/15/17		125,000		136,250

20

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
El Paso Corp.,
7.750%, due 01/15/32	$	105,000	$	119,841
Energy Transfer Partners LP,
5.200%, due 02/01/22		500,000		528,551
7.500%, due 07/01/38		75,000		85,214
Entravision Communications Corp.,
8.750%, due 08/01/17		71,000		74,195
Epicor Software Corp.,
8.625%, due 05/01/19		30,000		30,075
Equinix, Inc.,
8.125%, due 03/01/18		50,000		54,625
ERP Operating LP,
4.750%, due 07/15/20		50,000		55,235
5.375%, due 08/01/16		275,000		307,743
ExamWorks Group, Inc.,
9.000%, due 07/15/191		80,000		81,200
Felcor Lodging LP,
6.750%, due 06/01/19		25,000		25,063
Ferrellgas Partners-LP,
9.125%, due 10/01/17		35,000		36,225
First Data Corp.,
9.875%, due 09/24/15		75,000		74,438
Ford Motor Co.,
7.450%, due 07/16/31		50,000		65,125
Ford Motor Credit Co. LLC,
6.625%, due 08/15/17		100,000		116,114
8.125%, due 01/15/20		100,000		127,004
12.000%, due 05/15/15		100,000		126,250
Forest Oil Corp.,
7.250%, due 06/15/19		75,000		68,250
Frontier Communications Corp.,
8.250%, due 04/15/17		60,000		61,950
9.000%, due 08/15/31		85,000		77,775
FTI Consulting, Inc.,
6.750%, due 10/01/20		25,000		26,313

21

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
Gannett Co., Inc.,
9.375%, due 11/15/17	$	25,000	$	27,875
General Electric Capital Corp.,
4.650%, due 10/17/21		200,000		219,735
Georgia Gulf Corp.,
9.000%, due 01/15/171		30,000		33,675
Georgia-Pacific LLC,
8.875%, due 05/15/31		100,000		140,640
Goldman Sachs Group, Inc.,
5.750%, due 01/24/22		250,000		256,488
Goodyear Tire & Rubber Co.,
7.000%, due 05/15/22		20,000		19,600
Graphic Packaging International, Inc.,
9.500%, due 06/15/17		50,000		55,250
Hartford Financial Services Group, Inc.,
6.625%, due 04/15/42		60,000		62,377
HCA, Inc.,
5.875%, due 03/15/22		25,000		24,812
7.500%, due 02/15/22		75,000		78,609
8.500%, due 04/15/19		25,000		27,594
Hexion US Finance Corp.,
8.875%, due 02/01/18		45,000		44,775
Host Hotels & Resorts LP,
Series Q, 6.750%, due 06/01/16		75,000		76,875
Inergy LP,
7.000%, due 10/01/18		100,000		102,000
International Lease Finance Corp.,
7.125%, due 09/01/181		75,000		82,500
8.625%, due 09/15/15		90,000		98,100
8.750%, due 03/15/17		60,000		66,600
Iron Mountain, Inc.,
8.375%, due 08/15/21		325,000		346,938
JC Penney Corp., Inc.,
7.125%, due 11/15/23		30,000		28,500

22

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
JMC Steel Group,
8.250%, due 03/15/181	$	20,000	$	20,200
JPMorgan Chase & Co.,
4.350%, due 08/15/21		410,000		427,989
4.500%, due 01/24/22		175,000		186,693
5.400%, due 01/06/42		80,000		86,645
Key Energy Services, Inc.,
6.750%, due 03/01/21		75,000		75,281
Kinder Morgan Energy Partners LP,
3.950%, due 09/01/22		135,000		136,334
6.500%, due 09/01/39		85,000		97,488
Kraft Foods, Inc.,
6.500%, due 02/09/40		400,000		509,560
Level 3 Communications, Inc.,
11.875%, due 02/01/19		25,000		26,812
Level 3 Financing, Inc.,
8.625%, due 07/15/201		25,000		25,500
10.000%, due 02/01/18		30,000		32,325
Liberty Mutual Group, Inc.,
10.750%, due 06/15/581,4		35,000		48,300
Limited Brands, Inc.,
7.600%, due 07/15/37		25,000		24,875
Linn Energy LLC,
7.750%, due 02/01/21		100,000		102,250
Marina District Finance Co., Inc.,
9.500%, due 10/15/15		40,000		37,900
Masco Corp.,
7.125%, due 03/15/20		25,000		27,523
McClatchy Co.,
11.500%, due 02/15/17		30,000		30,300
McJunkin Red Man Corp.,
9.500%, due 12/15/16		60,000		64,200
Mead Products LLC,
6.750%, due 04/30/201		25,000		25,688

23

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
MedAssets, Inc.,
8.000%, due 11/15/18	$	50,000	$	51,625
Mercer International, Inc.,
9.500%, due 12/01/17		25,000		25,937
MetLife, Inc.,
6.400%, due 12/15/364		500,000		475,050
MGM Resorts International,
10.000%, due 11/01/16		105,000		114,975
Michael Foods, Inc.,
9.750%, due 07/15/18		100,000		108,250
Michaels Stores, Inc.,
7.750%, due 11/01/18		50,000		52,125
Momentive Performance Materials, Inc.,
9.000%, due 01/15/21		25,000		18,875
Morgan Stanley,
6.000%, due 04/28/15		225,000		228,857
6.625%, due 04/01/18		125,000		126,879
Multiplan, Inc.,
9.875%, due 09/01/181		100,000		106,000
Murray Energy Corp.,
10.250%, due 10/15/151		85,000		75,650
Mylan, Inc.,
7.625%, due 07/15/171		50,000		54,563
Navistar International Corp.,
8.250%, due 11/01/21		25,000		26,250
News America, Inc.,
6.200%, due 12/15/34		65,000		72,667
Nexstar Broadcasting, Inc.,
8.875%, due 04/15/17		50,000		52,250
Nextel Communications, Inc.,
Series C, 5.950%, due 03/15/14		75,000		74,625
Series D, 7.375%, due 08/01/15		50,000		48,875
Niska Gas Storage US LLC,			��
8.875%, due 03/15/18		40,000		38,100

24

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
NRG Energy, Inc.,
8.500%, due 06/15/19	$	50,000	$	50,000
ONEOK Partners LP,
8.625%, due 03/01/19		250,000		331,073
Owens Corning,
6.500%, due 12/01/16		175,000		196,479
Owens-Brockway Glass Container, Inc.,
7.375%, due 05/15/16		100,000		110,500
PAETEC Holding Corp.,
9.875%, due 12/01/18		55,000		60,363
Peabody Energy Corp.,
7.375%, due 11/01/16		50,000		55,375
Penn Virginia Resource Partners LP,
8.375%, due 06/01/201		25,000		25,000
Petco Animal Supplies, Inc.,
9.250%, due 12/01/181		45,000		48,375
Philip Morris International, Inc.,
2.900%, due 11/15/21		225,000		231,953
Phillips 66,
4.300%, due 04/01/221		100,000		104,143
PPL Energy Supply LLC,
4.600%, due 12/15/21		130,000		135,813
Production Resource Group, Inc.,
8.875%, due 05/01/19		10,000		7,775
QEP Resources, Inc.,
6.875%, due 03/01/21		100,000		108,250
Quicksilver Resources, Inc.,
7.125%, due 04/01/16		50,000		43,750
11.750%, due 01/01/16		15,000		15,375
QVC, Inc.,
7.500%, due 10/01/191		75,000		81,562
Range Resources Corp.,
5.750%, due 06/01/21		25,000		25,750
Regions Financial Corp.,
5.750%, due 06/15/15		50,000		52,500

25

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
Royal Caribbean Cruises Ltd.,
7.500%, due 10/15/27	$	125,000	$	125,625
Ryerson, Inc.,
12.000%, due 11/01/15		75,000		76,500
Samson Investment Co.,
9.750%, due 02/15/201		60,000		59,700
SandRidge Energy, Inc.,
7.500%, due 03/15/21		50,000		48,500
Sanmina-SCI Corp.,
7.000%, due 05/15/191		40,000		38,700
8.125%, due 03/01/16		4,000		4,115
SBA Telecommunications, Inc.,
8.250%, due 08/15/19		33,000		35,805
Sealed Air Corp.,
8.375%, due 09/15/211		30,000		33,000
Sempra Energy,
9.800%, due 02/15/19		225,000		315,818
SESI LLC,
7.125%, due 12/15/211		75,000		81,750
Severstal Columbus LLC,
10.250%, due 02/15/18		25,000		26,000
Sinclair Television Group, Inc.,
9.250%, due 11/01/171		20,000		22,000
Solo Cup Co.,
8.500%, due 02/15/14		30,000		30,000
Southern California Edison Co.,
4.050%, due 03/15/42		80,000		83,295
Sprint Nextel Corp.,
8.375%, due 08/15/17		65,000		62,400
9.000%, due 11/15/181		25,000		27,062
9.125%, due 03/01/171		25,000		24,812
SPX Corp.,
7.625%, due 12/15/14		50,000		55,125
SquareTwo Financial Corp.,
11.625%, due 04/01/17		200,000		185,000

26

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(continued)
United States—(continued)
Standard Pacific Corp.,
10.750%, due 09/15/16	$	25,000	$	29,187
SunTrust Bank,
7.250%, due 03/15/18		235,000		277,085
SUPERVALU, Inc.,
8.000%, due 05/01/16		35,000		34,912
Swift Energy Co.,
7.875%, due 03/01/22		25,000		25,250
Tenet Healthcare Corp.,
6.875%, due 11/15/31		50,000		41,938
Tesoro Corp.,
9.750%, due 06/01/19		40,000		45,000
Time Warner Cable, Inc.,
6.550%, due 05/01/37		145,000		169,738
6.750%, due 07/01/18		260,000		315,036
Tomkins LLC,
9.000%, due 10/01/18		45,000		49,444
Toys R Us Property Co. II LLC,
8.500%, due 12/01/17		40,000		41,150
United Technologies Corp.,
4.500%, due 06/01/42		250,000		267,753
US Foodservice,
8.500%, due 06/30/191		15,000		15,113
USPI Finance Corp.,
9.000%, due 04/01/201		20,000		20,750
Valeant Pharmaceuticals International,
7.000%, due 10/01/201		75,000		72,563
Valero Energy Corp.,
6.625%, due 06/15/37		160,000		177,836
Verizon Communications, Inc.,
6.900%, due 04/15/38		150,000		204,195
Verizon Wireless Capital LLC,
8.500%, due 11/15/18		135,000		184,670
Vulcan Materials Co.,
7.500%, due 06/15/21		50,000		54,000

27

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Corporate bonds—(concluded)
United States—(concluded)
Wal-Mart Stores, Inc.,
3.250%, due 10/25/20	$	805,000	$	862,394
Warner Chilcott Co. LLC,
7.750%, due 09/15/18		30,000		31,650
Whiting Petroleum Corp.,
6.500%, due 10/01/18		15,000		15,675
WMG Acquisition Corp.,
9.500%, due 06/15/16		250,000		266,875
XL Group PLC,
Series E, 6.500%, due 04/15/174,6		40,000		30,800
Yankee Holdings Corp.,
10.250%, due 02/15/165		55,000		55,138
Yonkers Racing Corp.,
11.375%, due 07/15/161		225,000		239,063
				21,607,434
Venezuela—0.39%
Petroleos de Venezuela SA,
8.500%, due 11/02/171		1,000,000		790,000
Total corporate bonds (cost—$38,443,410)				40,767,044
Asset-backed securities—0.52%
United States—0.52%
Ameriquest Mortgage Securities, Inc.,
Series 2005-R6, Class A2,
0.439%, due 08/25/354		67,065		64,457
Bear Stearns Asset Backed Securities Trust,
Series 2006-SD2, Class A2,
0.439%, due 06/25/364		77,704		77,338
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class A2A,
0.389%, due 08/25/364		1,115,852		791,880
Soundview Home Equity Loan Trust,
Series 2005-OPT1, Class 2A4,
0.539%, due 06/25/354		130,058		124,501
Total asset-backed securities (cost—$1,072,723)				1,058,176

28

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Collateralized debt obligations—4.75%
Cayman Islands—3.03%
Atrium CDO Corp.,
Series 5A, Class A2B,
0.787%, due 07/20/201,3,4	$	2,000,000	$	1,742,000
BlueMountain CLO Ltd.,
Series 2005-1A, Class A2,
0.837%, due 11/15/171,3,4		2,000,000		1,815,000
GSC Partners CDO Fund Ltd.,
Series 2003-4A, Class B,
2.400%, due 12/16/151,3,4		492,892		481,802
Mountain View Funding CLO,
Series 2007-3A, Class A2,
0.807%, due 04/16/211,3,4		2,500,000		2,125,000
				6,163,802
Netherlands—1.72%
Boyne Valley CLO BV,
Series 1X, Class F,
2.851%, due 02/12/222,3,4	EUR	1,700,000		525,513
Cadogan Square CLO BV,
Series 2X, Class M,
7.370%, due 08/12/222,3,4		2,000,000		642,980
Jubilee CDO BV,
Series III X, Class A2,
1.841%, due 04/20/172,3,4		700,000		806,020
Series III X, Class B,
2.641%, due 04/20/172,3,4		1,500,000		1,517,521
				3,492,034
Total collateralized debt obligations (cost—$7,951,004)				9,655,836
Commercial mortgage-backed securities—9.49%
United States—9.49%
Banc of America Commercial Mortgage, Inc.,
Series 2007-2, Class AM,
5.644%, due 04/10/494	$	2,950,000		2,860,237
Series 2007-4, Class AM,
5.793%, due 02/10/514		3,963,000		3,805,927

29

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Commercial mortgage-backed securities—(concluded)
United States—(concluded)
Citigroup Commercial Mortgage Trust,
Series 2007-C6, Class AM,
5.699%, due 12/10/494	$	4,950,000	$	5,002,495
Greenwich Capital Commercial Funding Corp.,
Series 2007-GG9, Class AM,
5.475%, due 03/10/39		1,300,000		1,243,299
JP Morgan Chase Commercial Mortgage Securities Corp.,
Series 2006-CB17, Class AM,
5.464%, due 12/12/43		3,025,000		2,835,629
Series 2007-CB18, Class AM,
5.466%, due 06/12/474		400,000		398,123
Series 2007-LD11, Class A4,
5.817%, due 06/15/494		400,000		431,900
Morgan Stanley Re-REMIC Trust,
Series 2009-GG10, Class A4B,
5.786%, due 08/12/451,4		2,725,000		2,736,573
Total commercial mortgage-backed securities (cost—$15,403,716)				19,314,183
Mortgage & agency debt securities—5.16%
United States—5.16%
Credit Suisse Mortgage Capital Certificates,
Series 2006-4, Class CB1,
4.693%, due 05/25/364		222,821		2
Government National Mortgage Association, IO,
Series 2012-26, Class GI,
3.500%, due 02/20/27		6,486,423		810,803
Series 2012-16, Class AI,
3.500%, due 10/20/38		5,375,756		787,548
Government National Mortgage Association Pools,
3.000%, TBA		2,250,000		2,323,087
G2 MA0022, 3.500%, due 04/20/42		1,621,744		1,732,647
G2 MA0023, 4.000%, due 04/20/42		1,047,681		1,146,174
JPMorgan Alternative Loan Trust,
Series 2006-A5, Class 2A6,
5.800%, due 10/25/364		6,411,551		2,705,328

30

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Mortage & agency debt securities—(concluded)
United States—(concluded)
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-8, Class 4A3,
5.401%, due 09/25/364	$	1,500,000	$	989,694
Wells Fargo Mortgage Backed Securities Trust,
Series 2006-18, Class B1,
6.000%, due 12/26/36		437,096		4
Total mortgage & agency debt securities (cost—$14,794,037)				10,495,287
Municipal bond—0.19%
State of California, General Obligation Bonds,
7.300%, due 10/01/39 (cost—$302,469)		300,000		379,395
US government obligations—16.86%
US Treasury Bonds,
3.125%, due 11/15/41		150,000		164,016
3.125%, due 02/15/42		1,000,000		1,093,438
8.000%, due 11/15/21		725,000		1,148,219
US Treasury Inflation Indexed Notes (TIPS),
0.125%, due 01/15/227		3,040,530		3,237,927
US Treasury Notes,
0.250%, due 04/30/148		9,960,000		9,957,281
0.250%, due 02/15/15		300,000		299,250
0.500%, due 08/15/14		100,000		100,446
0.625%, due 05/31/17		3,350,000		3,342,670
0.875%, due 01/31/17		1,240,000		1,254,240
0.875%, due 04/30/17		5,965,000		6,028,378
1.000%, due 03/31/17		1,070,000		1,088,056
1.750%, due 05/15/22		605,000		614,453
2.000%, due 02/15/22		970,000		1,009,179
US Treasury STRIP Principal Bonds,
2.969%, due 08/15/408,9		11,000,000		4,955,038
Total US government obligations (cost—$33,835,902)				34,292,591

31

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Non-US government obligations—35.37%
Argentina—3.69%
Republic of Argentina,
0.000%, due 12/15/3510	$	3,200,825	$	297,677
1.337%, due 12/15/354		11,700,000		1,099,800
7.000%, due 09/12/13		6,620,000		6,001,030
7.000%, due 04/17/17		100,000		66,150
8.280%, due 12/31/33		45,320		25,606
Series 1, 8.750%, due 06/02/17		9,432		7,404
				7,497,667
Austria—1.08%
Republic of Austria,
3.500%, due 09/15/211	EUR	1,000,000		1,387,106
3.800%, due 10/20/131		630,000		816,651
				2,203,757
Belarus—1.03%
Republic of Belarus,
8.750%, due 08/03/152	$	2,225,000		2,085,937
Brazil—1.66%
Notas do Tesouro Nacional,
Series B, 6.000%, due 05/15/457	BRL	2,530,000		3,383,651
Chile—1.99%
Bonos de la Tesoreria de la Republica,
3.000%, due 07/01/177	CLP	2,013,316,170		4,051,757
China—0.93%
China Government Bond,
1.400%, due 08/18/162	CNY	9,000,000		1,361,856
2.480%, due 12/01/20		3,500,000		526,066
				1,887,922
France—3.09%
French Treasury Note,
2.500%, due 07/25/16	EUR	1,680,000		2,201,128
Government of France,
1.000%, due 07/25/177		1,687,406		2,184,751
3.500%, due 04/25/26		840,000		1,121,146
4.000%, due 04/25/55		515,000		771,951
				6,278,976

32

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount		Value
Bonds—(continued)
Non-US government obligations—(continued)
Germany—13.62%
Bundesobligation,
1.250%, due 10/14/16	$	3,355,000	$	4,327,484
4.000%, due 10/11/13		2,670,000		3,478,819
Bundesrepublik Deutschland,
1.500%, due 04/15/167		4,882,176		6,547,283
2.000%, due 01/04/22		3,000,000		4,001,809
2.250%, due 09/04/20		3,105,000		4,232,830
3.750%, due 01/04/19		840,000		1,245,247
4.750%, due 07/04/28		930,000		1,626,604
Kreditanstalt fuer Wiederaufbau,
3.875%, due 07/04/13		1,000,000		1,284,130
Landwirtschaftliche Rentenbank,
3.250%, due 03/12/14		750,000		973,276
				27,717,482
Mexico—1.87%
Mexican Udibonos,
4.000%, due 06/13/197	MXN	5,000,000		1,909,918
4.000%, due 11/15/407		4,920,000		1,794,982
United Mexican States,
4.750%, due 03/08/44	$	100,000		101,000
				3,805,900
Netherlands—1.39%
Netherlands Government Bond,
3.250%, due 07/15/15	EUR	470,000		630,774
4.000%, due 07/15/19		1,500,000		2,194,169
				2,824,943
South Africa—2.01%
Republic of South Africa,
5.500%, due 12/07/237	ZAR	25,676,365		4,096,224
United Kingdom—1.84%
UK Gilts,
4.250%, due 12/07/27	GBP	600,000		1,167,894
4.250%, due 12/07/49		275,000		538,654
4.750%, due 03/07/20		1,045,000		2,032,519
				3,739,067

33

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face
Security description	amount			Value
Bonds—(concluded)
Non-US government obligations—(concluded)
Venezuela—1.17%
Republic of Venezuela,
8.250%, due 10/13/242	$	3,500,000	$	2,388,750
Total Non-US government obligations (cost—$72,267,315)				71,962,033
Structured notes—3.92%
Belarus—0.96%
VTB Capital PLC, 22.000%, due 06/18/121
(linked to Republic of Belarus,
22.000%, due 06/18/12)	BYR	16,000,000,000		1,950,674
India—2.21%
Standard Chartered Bank,
8.130%, due 09/23/221,9
(linked to Indian Government Bonds,
8.130%, due 09/23/22)	$	4,828,773		4,505,728
Nigeria—0.75%
HSBC Bank PLC,16.146%, due 03/30/131,9
(linked to Nigeria Treasury Bill,
16.146%, due 03/30/13)		1,740,507		1,531,646
Total structured notes (cost—$8,351,142)				7,988,048
Total bonds (cost—$192,421,718)				195,912,593
	Shares
Common stocks—0.00%11
United States—0.00%11
Washington Mutual Funding Tranche III*1,3,12		1,000		10
WMI Holdings Corp.*		19,801		8,514
Total common stocks (cost—$10,890)				8,524
Short-term investment—2.55%
Investment company—2.55%
UBS Cash Management Prime Relationship Fund13
(cost—$5,195,175)		5,195,175		5,195,175

34

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Number of
Security description	contracts		Value
Options purchased*—3.25%
Call options—0.55%
10 Year US Treasury Notes,
strike @ USD 131.50, expires July 2012		105	$	269,063
15 Year US Treasury Bonds,
strike @ USD 144.00, expires June 2012		35		208,906
15 Year US Treasury Bonds,
strike @ USD 146.00, expires June 2012		140		599,375
5 Year US Treasury Notes,
strike @ USD 125.00, expires August 2012		185		40,469
				1,117,813
Put options—0.09%
15 Year US Treasury Bonds,
strike @ USD 143.00, expires July 2012		62		9,687
15 Year US Treasury Bonds,
strike @ USD 146.00, expires July 2012		140		78,750
2 Year Euro-Dollar Midcurve,
strike @ USD 98.88, expires December 2012		105		25,594
3 Year Euro-Dollar Midcurve,
strike @ USD 98.13, expires December 2012		105		28,875
90 Day Euro-Dollar Time Deposit,
strike @ USD 99.50, expires June 2012		1,242		31,050
90 Day Euro-Dollar Time Deposit,
strike @ USD 98.00, expires December 2012		200		7,500
				181,456
	Face amount
	covered by
	contracts
Call options—0.44%
Foreign Exchange Option, Buy EUR/MXN,
strike @ MXN 18.15, expires June 2012	EUR	1,020,000		7,770
Foreign Exchange Option, Buy EUR/MXN,
strike @ MXN 18.15, expires June 2012		1,640,000		12,493
Foreign Exchange Option, Buy USD/ARS,
strike @ ARS 4.62, expires June 2012	$	880,000		11,264

35

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face amount
	covered by
Security description	contracts		Value
Options purchased*—(continued)
Call options—(concluded)
Foreign Exchange Option, Buy USD/CZK,
strike @ CZK 20.30, expires July 2012	$	10,790,000	$	411,682
Foreign Exchange Option, Buy USD/CZK,
strike @ CZK 20.15, expires July 2012		7,210,000		315,402
Foreign Exchange Option, Buy USD/SAR,
strike @ SAR 3.75, expires July 2013		7,487,500		13,877
Foreign Exchange Option, Buy USD/SGD,
strike @ SGD 1.28, expires June 2012		240,000		1,749
Foreign Exchange Option, Buy USD/SGD,
strike @ SGD 1.29, expires June 2012		1,780,000		9,787
Foreign Exchange Option, Buy USD/TRY,
strike @ TRY 1.87, expires February 2013		1,640,000		119,538
				903,562
Put options—0.05%
Foreign Exchange Option, Buy EUR/BRL,
strike @ BRL 2.34, expires June 2012	EUR	3,160,000		185
Foreign Exchange Option, Buy EUR/BRL,
strike @ BRL 2.34, expires June 2012		1,730,000		353
Foreign Exchange Option, Buy EUR/BRL,
strike @ BRL 2.34, expires June 2012		1,020,000		208
Foreign Exchange Option, Buy EUR/MXN,
strike @ MXN 17.10, expires June 2012		1,020,000		2,381
Foreign Exchange Option, Buy EUR/MXN,
strike @ MXN 17.10, expires June 2012		1,640,000		3,828
Foreign Exchange Option, Buy EUR/TRY,
strike @ TRY 2.29, expires June 2012		4,740,000		21,958
Foreign Exchange Option, Buy USD/ARS,
strike @ ARS 4.71, expires June 2012	$	800,000		13,062
Foreign Exchange Option, Buy USD/ARS,
strike @ ARS 4.58, expires June 2012		800,000		588
Foreign Exchange Option, Buy USD/BRL,
strike @ BRL 1.81, expires June 2012		2,560,000		4

36

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Face amount
	covered by
Security description	contracts		Value
Options purchased*—(continued)
Put options—(concluded)
Foreign Exchange Option, Buy USD/BRL,
strike @ BRL 1.81, expires June 2012	$	1,280,000	$	2
Foreign Exchange Option, Buy USD/CNY,
strike @ CNY 6.22, expires January 2013		7,200,000		5,096
Foreign Exchange Option, Buy USD/CNY,
strike @ CNY 6.29, expires January 2013		7,200,000		13,301
Foreign Exchange Option, Buy USD/MXN,
strike @ MXN 13.40, expires June 2012		1,610,000		61
Foreign Exchange Option, Buy USD/SAR,
strike @ SAR 3.75, expires July 2013		7,487,500		15,423
Foreign Exchange Option, Buy USD/TRY,
strike @ TRY 1.87, expires February 2013		1,640,000		33,636
				110,086
	Notional
	amount
Options purchased on interest rate swaps3—2.12%
Expiring 06/22/12. If option exercised
the Fund pays quarterly floating 3 month
USD LIBOR and receives semi-annually
2.030%. Underlying interest rate swap
terminating 06/26/27. European style.
Counterparty: MSC	$	7,750,000		54,591
Expiring 10/15/12. If option exercised the Fund
pays quarterly floating 3 month USD LIBOR
and receives semi-annually 2.650%. Underlying
interest rate swap terminating 10/17/42.
European style. Counterparty: MLI		10,500,000		901,642
Expiring 01/06/14. If option exercised the Fund
pays semi-annually 2.765% and receives		��
semi-annually floating 6 month GBP LIBOR.
Underlying interest rate swap terminating
01/06/24. European style. Counterparty: DB	GBP	7,720,000		294,070

37

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

	Notional
Security description	amount		Value
Options purchased*—(concluded)
Options purchased on interest rate swaps3—(concluded)
Expiring 01/06/14. If option exercised the Fund
pays semi-annually floating 6 month GBP
LIBOR and receives semi-annually 2.765%.
Underlying interest rate swap terminating
01/06/24. European style. Counterparty: DB	GBP	7,720,000	$	700,960
Expiring 06/14/13. If option exercised the Fund
pays quarterly floating 3 month USD LIBOR
and receives semi-annually 3.410%. Underlying
interest rate swap terminating 06/18/18.
European style. Counterparty: DB	$	8,560,000		870,210
Expiring 06/14/21. If option exercised the Fund
pays quarterly floating 3 month USD LIBOR
and receives semi-annually 5.080%. Underlying
interest rate swap terminating 6/16/26.
European style. Counterparty: DB		4,210,000		429,644
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		100,191
Expiring 12/08/14. If option exercised the Fund
pays quarterly floating 3 month EUR EURIBOR
and receives annually 2.325%. Underlying
interest rate swap terminating 12/10/15.
European style. Counterparty: BB	EUR	48,000,000		860,407
Expiring 12/24/13. If option exercised the Fund
pays semi-annually 2.140% and receives
semi-annually floating 6 month JPY LIBOR.
Underlying interest rate swap terminating
12/30/33. European style. Counterparty: JPMCB	JPY	350,000,000		92,076
				4,303,791
Total options purchased (cost—$5,731,293)				6,616,708
Total investments—102.10% (cost—$203,359,076)				207,733,000
Liabilities, in excess of cash and other assets—(2.10%)				(4,276,954	)
Net assets—100.00%			$	203,456,046

38

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Notes to portfolio of investments

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

Gross unrealized appreciation	$16,141,768
Gross unrealized depreciation	(11,767,844	)
Net unrealized appreciation of investments	$4,373,924

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 pages 54–55. Portfolio footnotes begin on page 52.

Forward foreign currency contracts

						Unrealized
	Contracts				Maturity	appreciation/
Counterparty	to deliver		In exchange for		date	(depreciation)
BB	BRL	943,000	USD	512,083	06/12/12		$45,211
BB	EUR	767,000	USD	1,007,455	06/08/12		59,050
BB	EUR	1,196,000	USD	1,528,489	06/12/12		49,603
BB	EUR	315,000	USD	394,538	06/13/12		5,030
BB	EUR	248,000	USD	326,616	06/21/12		19,943
BB	EUR	6,300,000	USD	7,921,040	08/02/12		127,827
BB	MXN	364,000	USD	27,458	06/21/12		2,141
BB	NOK	49,352,980	EUR	6,427,500	08/02/12		(100,912	)
BB	RUB	36,930,000	USD	1,239,262	06/22/12		136,559
BB	TRY	3,922,000	USD	2,128,549	06/13/12		30,184
BB	USD	223,176	ARS	1,040,000	06/22/12		618
BB	USD	1,007,571	BRL	1,818,000	06/08/12		(106,803	)
BB	USD	898,597	BRL	1,640,000	06/12/12		(86,647	)
BB	USD	1,000,356	BRL	1,955,000	06/20/12		(34,285	)
BB	USD	2,049,521	CNY	12,830,000	01/25/13		(41,115	)
BB	USD	2,128,235	EUR	1,706,000	06/13/12		(18,710	)
BB	USD	8,003,243	EUR	6,300,000	08/02/12		(210,030	)
BB	USD	394,465	MXN	5,493,000	06/13/12		(12,071	)
BB	USD	325,993	MXN	4,204,000	06/21/12		(33,605	)

39

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Forward foreign currency contracts (continued)

						Unrealized
	Contracts				Maturity	appreciation/
Counterparty	to deliver		In exchange for		date	(depreciation)
BB	USD	1,238,223	RUB	36,930,000	06/22/12		$(135,520	)
BB	USD	347,194	RUB	10,671,000	07/12/12		(29,808	)
CSI	BRL	8,582,850	USD	4,752,672	06/22/12		513,431
CSI	CLP	2,083,610,000	USD	4,244,037	06/22/12		222,439
CSI	CNY	9,090,000	USD	1,440,057	01/10/13		16,934
CSI	EUR	2,609,000	USD	3,423,399	06/08/12		197,341
CSI	EUR	10,745,000	USD	14,210,252	08/02/12		918,494
CSI	GBP	5,125,000	JPY	656,500,200	08/02/12		487,332
CSI	INR	25,740,000	USD	506,195	06/22/12		49,552
CSI	MXN	5,493,000	USD	394,877	06/13/12		12,484
CSI	RUB	42,242,000	USD	1,374,618	07/12/12		118,222
CSI	USD	3,394,007	BRL	6,116,000	06/08/12		(363,700	)
CSI	USD	1,450,802	CNY	9,090,000	01/10/13		(27,679	)
CSI	USD	1,005,792	EUR	800,000	06/12/12		(16,571	)
CSI	USD	394,853	EUR	315,000	06/13/12		(5,345	)
CSI	USD	1,042,808	RUB	31,571,000	07/12/12		(103,798	)
DB	BRL	7,934,000	USD	4,439,843	06/08/12		508,769
DB	BRL	1,230,000	USD	669,716	06/12/12		60,753
DB	BRL	4,366,000	USD	2,210,633	06/20/12		53,155
DB	EUR	644,000	USD	844,831	06/21/12		48,471
DB	MXN	5,017,000	USD	392,200	06/21/12		43,269
DB	MXN	51,107,890	USD	3,953,118	06/22/12		398,989
DB	MYR	5,900,000	USD	1,952,026	06/22/12		94,122
DB	USD	1,280,064	BRL	2,411,000	06/20/12		(88,658	)
DB	USD	4,439,609	EUR	3,376,000	06/08/12		(265,146	)
DB	USD	670,450	EUR	506,000	06/12/12		(44,768	)
DB	USD	392,233	EUR	297,000	06/21/12		(24,967	)
DB	USD	841,479	MXN	11,028,000	06/21/12		(74,483	)
DB	USD	2,177,856	RUB	64,715,000	06/22/12		(245,513	)
DB	USD	2,009,320	TRY	3,650,130	06/22/12		(60,904	)
DB	ZAR	24,543,860	USD	3,195,649	06/22/12		312,707

40

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Forward foreign currency contracts (concluded)

						Unrealized
	Contracts				Maturity	appreciation/
Counterparty	to deliver		In exchange for		date	(depreciation)
GSI	BRL	1,328,000	USD	765,992	06/22/12		$110,066
GSI	CNY	9,663,000	USD	1,525,335	01/10/13		12,504
GSI	EUR	296,000	USD	388,530	06/21/12		22,500
GSI	MXN	14,966,000	USD	1,173,086	06/21/12		132,204
GSI	USD	790,006	BRL	1,328,000	06/22/12		(134,080	)
GSI	USD	1,173,091	EUR	891,000	06/21/12		(71,293	)
GSI	USD	389,854	MXN	5,115,000	06/21/12		(34,107	)
HSBC	AUD	8,215,000	NZD	10,572,656	08/02/12		(22,066	)
HSBC	AUD	16,330,000	USD	16,723,880	08/02/12		903,902
HSBC	EUR	16,014,865	CHF	19,220,000	08/02/12		(970	)
HSBC	JPY	1,573,179,782	AUD	20,120,000	08/02/12		(598,394	)
HSBC	USD	6,659,037	GBP	4,115,000	08/02/12		(318,820	)
HSBC	USD	35,895,753	JPY	2,876,000,000	08/02/12		831,673
JPMCB	CHF	19,220,000	USD	21,176,217	08/02/12		1,366,511
JPMCB	EUR	1,990,000	USD	2,541,123	08/02/12		79,457
JPMCB	JPY	717,804,874	USD	9,039,315	08/02/12		(127,279	)
JPMCB	USD	3,599,943	CNY	22,554,000	01/25/13		(69,344	)
MLI	EUR	506,000	USD	670,450	06/12/12		44,768
MLI	USD	257,732	ARS	1,250,000	07/05/12		4,087
MLI	USD	669,714	BRL	1,230,000	06/12/12		(60,752	)
MSCI	SEK	56,748,228	EUR	6,280,000	08/02/12		(24,992	)
MSCI	USD	8,398,794	SEK	56,600,000	08/02/12		(625,686	)
RBS	GBP	5,160,000	JPY	646,931,130	08/02/12		311,205
RBS	USD	10,219,512	CAD	10,110,000	08/02/12		(443,961	)
SSB	USD	16,414,935	NOK	94,280,000	08/02/12		(1,033,331	)
Net unrealized appreciation on forward foreign currency contracts							$2,655,394

41

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Futures contracts

									Unrealized
	Expiration		Cost/						appreciation/
	date		(proceeds)			Value			(depreciation)
US Treasury futures
buy contracts:
US Ultra Bond Futures,
89 contracts (USD)		June 2012		$13,795,737			$15,166,156			$1,370,419
US Ultra Bond Futures,
101 contracts (USD)		September 2012		16,909,319			17,069,000			159,681
5 Year US Treasury Notes,
175 contracts (USD)		September 2012		21,748,706			21,732,813			(15,893	)
US Treasury futures
sell contracts:
US Long Bond,
73 contracts (USD)		June 2012		(10,832,533	)		(10,970,531	)		(137,998	)
US Long Bond,
39 contracts (USD)		September 2012		(5,848,757	)		(5,839,031	)		9,726
US Ultra Bond Futures,
10 contracts (USD)		September 2012		(1,642,677	)		(1,690,000	)		(47,323	)
10 Year US Treasury Notes,
42 contracts (USD)		September 2012		(5,577,030	)		(5,625,375	)		(48,345	)
Interest rate futures
buy contracts:
Long Gilt,
27 contracts (GBP)		September 2012		4,978,534			5,018,455			39,921
Interest rate futures
sell contracts:
90 Day Bank Bill,
204 contracts (AUD)		December 2012		(197,198,475	)		(197,416,688	)		(218,213	)
Euro-Bobl,
37 contracts (EUR)		June 2012		(5,729,629	)		(5,808,026	)		(78,397	)
Euro-Bund,
35 contracts (EUR)		September 2012		(6,227,156	)		(6,278,267	)		(51,111	)
Net unrealized appreciation
on futures contracts										$982,467

42

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Options written
	Expiration		Premiums
	date		received		Value
Call options
15 Year US Treasury Bonds, 62 contracts,
strike @ USD 151.00		July 2012		$57,050	$(79,438	)
Foreign Exchange Option, Sell EUR/MXN,
EUR 1,640,000 face amount covered
by contracts, strike @ MXN 17.60		June 2012		30,719	(35,314	)
Foreign Exchange Option, Sell EUR/MXN,
EUR 1,020,000 face amount covered
by contracts, strike @ MXN 17.60		June 2012		23,129	(21,963	)
Foreign Exchange Option, Sell USD/ARS,
USD 880,000 face amount covered by
contracts, strike @ ARS 4.47		June 2012		25,960	(25,960	)
Put options
90 Day Euro-Dollar Time Deposit,
200 contracts, strike @ USD 96.00		December 2012		89,300	(1,250	)
Foreign Exchange Option, Sell EUR/MXN,
EUR 1,640,000 face amount covered by
contracts, strike @ MXN 17.60		June 2012		34,475	(18,760	)
Foreign Exchange Option, Sell EUR/MXN,
EUR 1,020,000 face amount covered
by contracts, strike @ MXN 17.60		June 2012		18,726	(11,669	)
Options written on interest rate swaps3
If option exercised the Fund receives
quarterly floating 3 month USD LIBOR
and pays semi-annually 2.000%.
Underlying interest rate swap
terminating 10/17/22. European style.
Counterparty: DB,
Notional Amount USD 22,575,000		October 2012		284,445	(664,686	)
If option exercised the Fund receives
semi-annually 2.530% and pays
quarterly floating 3 month USD LIBOR.
Underlying interest rate swap
terminating 06/26/27. European style.
Counterparty: MSC,
Notional Amount USD 7,750,000		June 2012		19,375	(8,441	)

43

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Options written (continued)
	Expiration		Premiums
	date		received		Value
Options written on interest rate swaps3 (continued)
If option exercised the Fund receives
annually 3.325% and pays quarterly
floating 3 month EUR EURIBOR. Underlying
interest rate swap terminating 12/10/15.
European style. Counterparty: BB,
Notional Amount EUR 48,000,000		December 2014		233,238	$(76,706	)
If option exercised the Fund receives
quarterly floating 3 month EUR 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	(611,910	)
If option exercised the Fund receives
quarterly floating 3 month USD LIBOR
and pays semi-annually 4.700%.
Underlying interest rate swap
terminating 06/16/21. European style.
Counterparty: DB,
Notional Amount USD 10,600,000		June 2016		417,885	(1,263,860	)
If option exercised the Fund receives
semi-annually 1.620% and pays
semi-annually floating 6 month GBP LIBOR.
Underlying interest rate swap
terminating 01/06/16. European style.
Counterparty: BB,
Notional Amount GBP 35,000,000		January 2014		461,170	(286,791	)
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	(49,892	)
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	(22,537	)

44

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Options written (concluded)
	Expiration		Premiums
	date		received		Value
Options written on interest rate swaps3 (concluded)
If option exercised the Fund receives
semi-annually floating 6 month GBP LIBOR
and pays semi-annually 1.620%.
Underlying interest rate swap terminating
01/06/16. European style.
Counterparty: BB,
Notional Amount GBP 35,000,000		January 2014		$461,170	$(667,570	)
If option exercised the Fund receives
semi-annually floating 6 month JPY LIBOR
and pays semi-annually 1.600%.
Underlying interest rate swap terminating
12/30/33. European style.
Counterparty: MSC,
Notional Amount JPY 350,000,000		December 2013		129,978	(166,084	)
Total options written				$2,981,055	$(4,012,831	)

Written option activity for the period ended May 31, 2012 was as follows:

	Number of			Premiums
	contracts			received
Options outstanding at November 30, 2011		2,711			$633,392
Options written		2,126			399,298
Options terminated in closing purchase transactions		(3,006	)		(596,821	)
Options expired prior to exercise		(1,569	)		(289,519	)
Options outstanding at May 31, 2012		262			$146,350

Swaption and foreign exchange written option activity for the period ended May 31, 2012 was as follows:

	Premiums
	received
Swaptions & foreign exchange options outstanding at November 30, 2011		$1,439,384
Swaptions & foreign exchange options written		2,971,030
Swaptions & foreign exchange options terminated in closing
purchase transactions		(1,575,709	)
Swaptions & foreign exchange options expired prior to exercise		—
Swaptions & foreign exchange options outstanding at May 31, 2012		$2,834,705

45

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Currency swap agreements³

Counterparty—BB

Pay	Receive				Upfront
contracts	contracts	Termination	Pay	Receive	payments				Unrealized
(000)	(000s)	date	rate14	rate14	made		Value		appreciation
				6 month
INR 249,400	USD 4,831	12/05/16	4.500%	USD LIBOR		$—	$	461,260	$	461,260

Counterparty—DB

Pay

Receive

Upfront

Unrealized

contracts

contracts

Termination

Pay

Receive

payments

appreciation/

(000)

(000s)

date

rate14

rate14

made

Value

(depreciation)

3 month

3 month

EUR 15,642

USD 21,500

03/16/20

EURIBOR

USD LIBOR

$—

$1,636,032

$1,636,032

3 month

3 month

USD 21,500

EUR 15,642

03/16/40

USD LIBOR

EURIBOR

—

(1,231,545

)

(1,231,545

)

$—

$404,487

$404,487

Counterparty—MLI

Upfront

Pay

Receive

payments

Unrealized

contracts

contracts

Termination

Pay

Receive

(made)/

appreciation/

(000)

(000s)

date

rate14

rate14

received

Value

(depreciation)

3 month

3 month

CAD 21,866

USD 22,053

03/16/40

BA

USD LIBOR

$

(1,162,605

)

$719,908

$

(442,697

)

3 month

3 month

USD 22,053

CAD 21,866

03/16/20

USD LIBOR

BA

1,162,605

(910,127

)

252,478

$0

$(190,219

)

$

(190,219

)

Interest rate swap agreements

Payments

Payments

Notional

made

received

Upfront

Unrealized

Counter-

amount

Termination

by the

by the

payments

appreciation/

party

(000s)

date

Fund14

Fund14

made

Value

(depreciation)

3 month

1 month

LIBOR

LIBOR

BB

USD 84,700

11/24/12

(USD BBA)

(USD BBA)

$—

$31,211

$31,211

3 month

LIBOR

BB

USD 1,530

06/16/26

3.624%

(USD BBA)

—

(37,360

)

(37,360

)

46

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Interest rate swap agreements (continued)

				Payments	Payments
	Notional			made	received	Upfront					Unrealized
Counter-	amount		Termination	by the	by the	payments					appreciation/
party	(000s)		date	Fund14	Fund14	made		Value			(depreciation)
					3 month
CITI	KRW	4,800,000	08/26/16	3.410%	CD KSDA		$—		$(19,118	)		$(19,118	)
				1 month	3 month
				LIBOR	LIBOR
CITI	USD	42,400	11/24/18	(USD BBA)	(USD BBA)		—		294,404			294,404
					3 month
					LIBOR
CITI	USD	13,768	02/15/36	4.668	(USD BBA)		—		(6,220,681	)		(6,220,681	)
				3 month
DB	CAD	13,100	10/03/13	BA	1.875%		—		114,596			114,596
					3 month
DB	CAD	11,700	10/03/16	2.485	BA		—		(499,992	)		(499,992	)
				3 month
DB	CAD	3,250	10/03/21	BA	3.260		—		349,506			349,506
					3 month
					LIBOR
DB	USD	8,958	02/15/36	4.545	(USD BBA)		—		(3,837,832	)		(3,837,832	)
					3 month
GSI	TWD	140,000	08/26/16	1.280	TWCPBA		—		(38,284	)		(38,284	)
				3 month
JPMCB	AUD	54,500	11/10/14	BBSW	3.315		—		338,612			338,612
					6 month
JPMCB	AUD	12,655	11/10/22	4.225	BBSW		—		(297,611	)		(297,611	)
				3 month
JPMCB	CAD	36,375	02/11/14	BA	2.775		—		1,040,100			1,040,100
					3 month
JPMCB	CAD	32,620	02/11/17	3.500	BA		—		(3,062,390	)		(3,062,390	)
				3 month
JPMCB	CAD	9,200	02/11/22	BA	4.145		—		1,744,919			1,744,919
				6 month
JPMCB	EUR	8,200	05/04/22	EURIBOR	2.130		—		438,842			438,842
					6 month
JPMCB	EUR	3,650	05/04/42	2.460	EURIBOR		—		(633,298	)		(633,298	)
				1 month	3 month
				LIBOR	LIBOR
JPMCB	USD	42,300	11/24/18	(USD BBA)	(USD BBA)		—		280,157			280,157
				3 month
MLI	CAD	22,140	04/08/17	BA	1.978		—		478,721			478,721

47

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Interest rate swap agreements (concluded)

				Payments	Payments
	Notional			made	received	Upfront					Unrealized
Counter-	amount		Termination	by the	by the	payments					appreciation/
party	(000s)		date	Fund14	Fund14	made		Value			(depreciation)
					3 month
MLI	CAD	5,930	02/04/21	3.725%	BA		$—		$(868,781	)		$(868,781	)
				3 month
MLI	CAD	7,410	02/04/31	BA	4.310%		—		2,032,499			2,032,499
					3 month
MLI	CAD	3,000	02/04/41	4.208	BA		—		(1,106,952	)		(1,106,952	)
				6 month
				LIBOR
MLI	JPY	4,364,000	04/26/13	(USD BBA)	0.451		—		46,207			46,207
					6 month
					LIBOR
MLI	JPY	3,505,000	04/26/16	0.706	(USD BBA)		—		(581,050	)		(581,050	)
				6 month
				LIBOR
MLI	JPY	911,000	04/26/21	(USD BBA)	1.334		—		608,668			608,668
					3 month
					LIBOR
MLI	USD	4,180	06/18/18	2.090	(USD BBA)		—		(155,570	)		(155,570	)
				3 month
				LIBOR
MLI	USD	3,770	06/16/21	(USD BBA)	3.171		—		146,206			146,206
					3 month
MSCI	CAD	21,160	04/08/17	3.600	BA		—		(2,061,873	)		(2,061,873	)
					3 month
					LIBOR
MSCI	USD	2,558	06/26/27	2.280	(USD BBA)		—		(50,448	)		(50,448	)
							$—	$	(11,526,592	)	$	(11,526,592	)

Credit default swaps on credit indices—buy protection¹⁵

				Payments
		Notional		made	Upfront
Counter-	Referenced	amount	Termination	by the	payments					Unrealized
party	Index16	(000s)	date	Fund14	made			Value		appreciation
	CDX.NA.HY.
BB	Series 17 Index	USD 1,700	12/20/16	5.000%		$(53,122	)		$78,287		$25,165
	CDX.NA.HY.
DB	Series 17 Index	USD 2,000	12/20/16	5.000		(40,551	)		92,102		51,551
	CDX.NA.HY.
JPMCB	Series 17 Index	USD 4,100	12/20/16	5.000		(133,096	)		188,810		55,714
					$	(226,769	)	$	359,199	$	132,430

48

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Credit default swaps on sovereign issues—buy protection¹⁵ (concluded)

Payments

Notional

received

Upfront

Unrealized

Counter-

Referenced

amount

Termination

by the

payments

appreciation/

party

obligation16

(000s)

date

Fund14

made

Value

depreciation

Republic of

Venezuela

Bond, 9.250%,

JPMCB

due 09/15/27

USD   950

03/20/17

5.000%

$

(155,800

)

$

146,406

$(9,394

)

Republic of

Venezuela

Bond, 9.250%,

JPMCB

due 09/15/27

USD 1,230

03/20/17

5.000

(127,305

)

189,557

62,252

Deutsche

Bank AG

Bond, 5.125%,

MSCI

due 8/31/17

EUR 1,750

06/20/17

1.000

(94,482

)

95,214

732

$

(377,587

)

$

431,177

$53,590

Credit default swaps on sovereign issues—sell protection¹⁷

Payments

Notional

received

Upfront

Counter-

Referenced

amount

Termination

by the

payments

Unrealized

Credit

party

obligation16

(000s)

date

Fund14

made

Value

depreciation

spread18

Republic of

Argentina

bond,

8.280%, due

CITI

12/31/33

USD 1,500

09/20/13

5.000%

$

(8,726

)

$

(126,038

)

$

(134,764

)

12.874

%

Total return swap agreement³

Counterparty—MLI

		Payments	Payments
Notional		made	received	Upfront
amount	Termination	by the	by the	payments					Unrealized
(000s)	date	Fund	Fund	made19			Value		depreciation
BRL 3,627	08/15/12	—	—20	$	(4,666,144	)	$	3,951,419	$	(714,725	)

49

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

The following is a summary of the fair valuations according to the inputs used as of May 31, 2012 in valuing the Fund’s investments:

	Unadjusted
	quoted prices in			Other
	active markets			significant
	for identical			observable			Unobservable
	investments			inputs			inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Corporate bonds	$	—		$	36,434,735		$	4,332,309	$	40,767,044
Asset-backed securities		—			1,058,176			—		1,058,176
Collateralized debt obligations		—			8,487,343			1,168,493		9,655,836
Commercial mortgage-backed securities		—			19,314,183			—		19,314,183
Mortgage & agency debt securities		—			10,495,287			—		10,495,287
Municipal bond		—			379,395			—		379,395
US government obligations		—			34,292,591			—		34,292,591
Non-US government obligations		—			71,962,033			—		71,962,033
Structured notes		—			6,037,374			1,950,674		7,988,048
Common stocks		8,514			—			10		8,524
Short-term investment		—			5,195,175			—		5,195,175
Options purchased		1,299,269			5,317,439			—		6,616,708
Forward foreign currency contracts, net		—			2,655,394			—		2,655,394
Futures contracts, net		982,467			—			—		982,467
Options written		(80,688	)		(3,932,143	)		—		(4,012,831	)
Swap agreements, net		—			(6,235,307	)		—		(6,235,307	)
Total	$	2,209,562		$	191,461,675		$	7,451,486	$	201,122,723

50

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Level 3 rollforward disclosure

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

				Collateralized
	Corporate			debt			Structured			Common
	bonds			obligations			note			stock		Total
Assets
Beginning balance	$	4,235,825		$	6,391,400		$	—		$	—	$	10,627,225
Purchases		—			1,597,416			1,987,577			—		3,584,993
Issuances		—			—			—			0		0
Sales		(408,591	)		(610,361	)		—			—		(1,018,952	)
Settlements		—			—			—			—		—
Accrued discounts (premiums)		—			—			—			—		—
Total realized gain (loss)		(845,356	)		54,589			—			—		(790,767	)
Change in net unrealized appreciation/depreciation		1,350,431			(100,749	)		(36,903	)		10		1,212,789
Transfers into Level 3		—			—			—			—		—
Transfers out of Level 321		—			(6,163,802	)		—			—		(6,163,802	)
Ending balance	$	4,332,309		$	1,168,493		$	1,950,674		$	10	$	7,451,486

The change in net unrealized appreciation/depreciation relating to the Level 3 investments held at May 31, 2012 was $120,793.

51

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

Portfolio footnotes
*	Non-income producing security.
1	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 May 31, 2012, the value of these securities amounted to $22,533,822 or 11.08% of net assets.
2	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 May 31, 2012, the value of these securities amounted to $15,742,389 or 7.74% of net assets.
3	Security is illiquid. At May 31, 2012, the value of these securities and other derivative instruments amounted to $31,020,714 or 15.25% of net assets.
4	Variable or floating rate security—The interest rate shown is the current rate as of May 31, 2012 and changes periodically.
5	PIK—Payment-in kind security. Income may be paid in cash or additional notes, at the discretion of the issuer.
6	Perpetual bond security. The maturity date reflects the next call date.
7	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 issuers’ country. Only if inflation occurs will securities offer a higher real yield than a conventional security of the same maturity.
8	All or a portion of these securities have been designated as collateral for open swap agreements.
9	Rate shown reflects annualized yield at May 31, 2012 on zero coupon bond.
10	Security has yet to make its first payment. Security pays, when required, a floating rate that is determined annually based on the Argentina GDP.
11	Amount represents less than 0.005%.
12	Security is being fair valued by a valuation committee under the direction of the Board of Directors. At May 31, 2012, the value of this security amounted to $10 or 0.00% of net assets.

52

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

¹³ 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.

		Purchases	Sales		Income earned
		during the	during the		from affiliate for
		six months	six months		the six months
Security	Value	ended	ended	Value	ended
description	11/30/11	05/31/12	05/31/12	05/31/12	05/31/12
UBS Cash Management Prime Relationship Fund	$22,901,010	$44,935,380	$62,641,215	$5,195,175	$5,326

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, 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 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.
19	Payment made to fully fund swap.
20	Payment is based on the interest payment of the underlying Brazilian Government bond, 6.000%, due 08/15/12.
21	Transfers out of Level 3 represent the value at the end of the period. At May 31, 2012, securities were transfered from Level 3 to Level 2 as the valuation is based on observable inputs from an established pricing source.

53

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

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 payments would result in a greater amount of interest being received and cause the yield to increase.
LIBOR	London Interbank Offered Rate
OJSC	Open joint stock company
REIT	Real estate investment trust
Re-REMIC	Combined Real Estate Mortgage Investment Conduit
STRIP	Separate Trading of Registered Interest and Principal of Securities
TBA	(To be announced) Security is purchased on a forward commitment basis with an approximate principal amount (generally +/–1.0%) and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement, when the specific mortgage pools are assigned.
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

54

Strategic Global Income Fund, Inc.
Portfolio of investments—May 31, 2012 (unaudited)

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
MSC	Morgan Stanley & Co., Inc.
MSCI	Morgan Stanley & Co. International PLC
RBS	Royal Bank of Scotland PLC
SSB	State Street Bank & Trust
Currency abbreviations
ARS	Argentine Peso
AUD	Australian Dollar
BRL	Brazilian Real
BYR	Belarus Ruble
CAD	Canadian Dollar
CHF	Swiss Franc
CLP	Chilean Peso
CNY	Chinese Yuan
CZK	Czech Koruna
EUR	Euro
GBP	Great Britain Pound
INR	Indian Rupee
JPY	Japanese Yen
KRW	Korean Won
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
RUB	Russian Ruble
SAR	Saudi Arabian Riyal
SEK	Swedish Krona
SGD	Singapore Dollar
TRY	Turkish Lira
TWD	Taiwan Dollar
UAH	Ukrainian Hryvnia
USD	United States Dollar
ZAR	South African Rand

See accompanying notes to financial statements 55

Strategic Global Income Fund, Inc.
Statement of assets and liabilities
May 31, 2012 (unaudited)

Assets:
Investments in securities of unaffiliated issuers, at value (cost—$198,163,901)	$	202,537,825
Investments in affiliated issuers, at value (cost—$5,195,175)		5,195,175
Total investments, at value (cost—$203,359,076)		207,733,000
Foreign currency, at value (cost—$706,752)		687,835
Interest receivable		1,849,937
Receivable for investments sold		12,830,639
Cash collateral for futures contracts		1,464,835
Receivable for foreign tax reclaims		5,388
Outstanding swap agreements, at value1		15,503,643
Unrealized appreciation on forward foreign currency contracts		8,351,507
Other assets		44,996
Total assets		248,471,780
Liabilities:
Outstanding swap agreements, at value1		21,738,950
Payable for investments purchased		12,835,547
Unrealized depreciation on forward foreign currency contracts		5,696,113
Options written, at value (premiums received—$2,981,055)		4,012,831
Due to broker		435,527
Payable for investment advisory and administration fees		165,698
Due to custodian		14,229
Directors’ fees payable		4,004
Accrued expenses and other liabilities		112,835
Total liabilities		45,015,734
Net assets:
Capital stock—$0.001 par value; 100,000,000 shares authorized; 18,258,828 shares issued and outstanding	$	206,099,090
Distributions in excess of net investment income		(3,079,965	)2
Accumulated net realized gain		5,048,286	2
Net unrealized depreciation		(4,611,365	)
Net assets	$	203,456,046
Net asset value per share	$	11.14

1

Net upfront payments made by the Fund on outstanding swap agreements amounted to $5,279,226.

2

The actual sources of the Fund’s fiscal year 2012 dividends/distributions may be net investment income, net realized capital gains, return of capital or a combination of the foregoing and may be subject to retroactive recharacterization at the end of the Fund’s fiscal year based on tax regulations. Shareholders will be informed of the tax characteristics of dividends/distributions after the close of the 2012 fiscal year.

56 See accompanying notes to financial statements

Strategic Global Income Fund, Inc.
Statement of operations

	For the six
	months ended
	May 31, 2012
	(unaudited)
Investment income:
Interest income, net of foreign withholding taxes of $2,444 (includes $5,326 earned from an affiliated entity)	$	4,639,989
Expenses:
Investment advisory and administration fees		1,028,603
Custody and accounting fees		71,474
Professional fees		60,640
Reports and notices to shareholders		37,041
Listing fees		11,880
Transfer agency fees		8,199
Directors’ fees		7,989
Insurance expense		2,164
Other expenses		19,208
Total expenses		1,247,198
Less: Fee waivers by investment advisor and administrator		(51,430	)
Net expenses		1,195,768
Net investment income		3,444,221
Realized and unrealized gains (losses) from investment activities:
Net realized gain (loss) on:
Investments		1,386,694
Futures contracts		99,888
Options written		1,498,186
Swap agreements		4,124,888
Forward foreign currency contracts		(131,003	)
Foreign currency transactions		(762,360	)
Net realized gain		6,216,293
Change in net unrealized appreciation/depreciation on:
Investments		3,647,558
Futures contracts		(815,338	)
Options written		(1,466,671	)
Swap agreements		(4,051,358	)
Forward foreign currency contracts		389,827
Translation of other assets and liabilities denominated in foreign currency		(36,606	)
Net change in unrealized appreciation/depreciation		(2,332,588	)
Net realized and unrealized gain from investment activities		3,883,705
Net increase in net assets resulting from operations	$	7,327,926

See accompanying notes to financial statements 57

Strategic Global Income Fund, Inc.
Statement of changes in net assets

	For the six			For the
	months ended			year ended
	May 31, 2012			November 30,
	(unaudited)			2011
From operations:
Net investment income	$	3,444,221		$	8,349,641
Net realized gain		6,216,293			13,519,935
Change in net unrealized appreciation/depreciation		(2,332,588	)		(3,161,198	)
Net increase in net assets resulting from operations		7,327,926			18,708,378
Dividends and distributions to shareholders from:
Net investment income		(2,163,672	)1		(22,976,909	)
Net realized gains		(9,270,007	)1		(9,386,864	)
Total dividends and distributions		(11,433,679	)		(32,363,773	)
Net decrease in net assets		(4,105,753	)		(13,655,395	)
Net assets:
Beginning of period		207,561,799			221,217,194
End of period	$	203,456,046		$	207,561,799
Distributions in excess of net investment income	$	(3,079,965	)1	$	(4,360,514	)

¹ The actual sources of the Fund’s fiscal year 2012 dividends/distributions may be net investment income, net realized capital gains, return of capital or a combination of the foregoing and may be subject to retroactive recharacterization at the end of the Fund’s fiscal year based on tax regulations. Shareholders will be informed of the tax characteristics of dividends/distributions after the close of the 2012 fiscal year.

58 See accompanying notes to financial statements

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59

Strategic Global Income Fund, Inc.
Financial highlights

Selected data for a share of common stock outstanding throughout each period is presented below:

	For the six
	months ended
	May 31, 2012
	(unaudited)
Net asset value, beginning of period		$11.37
Net investment income1		0.19
Net realized and unrealized gains (losses)		0.21
Net increase (decrease) from operations		0.40
Dividends from net investment income		(0.12	)2
Distributions from net realized gains		(0.51	)2
Total dividends and distributions		(0.63	)
Net asset value, end of period		$11.14
Market price, end of period		$10.53
Total net asset value return3		3.63	%
Total market price return4		6.20	%
Ratios to average net assets:
Expenses before fee waivers by advisor and administrator		1.21	%5
Expenses after fee waivers by advisor and administrator		1.16	%5
Net investment income		3.35	%5
Supplemental data:
Net assets, end of period (000s)		$203,456
Portfolio turnover rate		74	%

1	Calculated using the average shares method.
2	The actual sources of the Fund’s fiscal year 2012 dividends/distributions may be net investment income, net realized capital gains, return of capital or a combination of the foregoing and may be subject to retroactive recharacterization at the end of the Fund’s fiscal year based on tax regulations. Shareholders will be informed of the tax characteristics of dividends/distributions after the close of the 2012 fiscal year.
3	Total net asset value return is calculated assuming a $10,000 purchase of common stock at the current net asset value on the first day of each period reported and a sale at the current net asset value on the last day of each period reported, and assuming reinvestment of dividends and other distributions at the net asset value on the payable dates. Total net asset value return does not reflect the deduction of taxes that a shareholder would pay on Fund dividends/distributions or a sale of Fund shares. Total return based on net asset value is hypothetical as investors cannot purchase or sell Fund shares at the net asset value but only at market prices. Total net asset value return for the period of less than one year has not been annualized.

60 See accompanying notes to financial statements

Strategic Global Income Fund, Inc.
Financial highlights

For the years ended November 30,
2011		2010			2009			2008			2007
$12.12			$11.94			$9.34			$11.40			$11.85
0.46			0.51			0.55			0.68			0.45
0.56			0.55			2.83			(1.76	)		0.03
1.02			1.06			3.38			(1.08	)		0.48
(1.26	)		(0.84	)		(0.78	)		(0.90	)		(0.61	)
(0.51	)		(0.04	)		—			(0.08	)		(0.32	)
(1.77	)		(0.88	)		(0.78	)		(0.98	)		(0.93	)
$11.37			$12.12			$11.94			$9.34			$11.40
$10.52			$11.74			$10.63			$7.53			$10.38
8.93	%		9.23	%		37.82	%		(10.52	)%		4.22	%
4.54	%		19.42	%		53.96	%		(20.13	)%		(3.45	)%
1.22	%		1.23	%		1.25	%		1.21	%		1.22	%
1.17	%		1.18	%		1.23	%		1.21	%		1.22	%
3.95	%		4.22	%		5.30	%		6.14	%		3.86	%
$207,562			$221,217			$218,009			$170,468			$208,066
121	%		59	%		128	%		102	%		103	%

4

Total market price return is calculated assuming a $10,000 purchase of common stock at the current market price on the first day of each period reported and a sale at the current market price on the last day of each period reported, and assuming reinvestment of dividends and other distributions at prices obtained under the Fund’s Dividend Reinvestment Plan. Total market price return does not reflect brokerage commissions or the deduction of taxes that a shareholder would pay on Fund dividends/distributions or a sale of Fund shares. Market price return for the period of less than one year has not been annualized.

5

Annualized.

See accompanying notes to financial statements 61

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

Organization and significant accounting policies

Strategic Global Income Fund, Inc. (the “Fund”) was incorporated in Maryland on November 15, 1991 and is registered with the Securities and Exchange Commission (“SEC”) as a closed-end, non-diversified management investment company. The Fund’s primary investment objective is to achieve a high level of current income. As a secondary objective the Fund seeks capital appreciation, to the extent consistent with its primary objective.

In the normal course of business, the Fund may enter into contracts that contain a variety of representations that provide indemnification for certain liabilities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had any prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative US generally accepted accounting principles (“US GAAP”) recognized by the FASB to be applied by non-governmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative US GAAP for SEC registrants. The Fund’s financial statements are prepared in accordance with US GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates. The following is a summary of significant accounting policies:

Valuation of investments

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.

62

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

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. UBS Global AM is an indirect wholly owned asset management subsidiary of UBS AG, an internationally diversified organization with headquarters in Zurich and Basel, Switzerland and operations in many areas of the financial services industry. 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 of Directors (the “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. Foreign currency exchange rates are generally determined as of the close of the New York Stock Exchange (”NYSE”).

63

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

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.

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 (or a committee designated by it) determines that this does not represent fair value. Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. The Fund values investments in non-registered US open-end investment companies at the daily net asset value, pursuant to the practical expedient within ASC Topic 820. 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.

Futures contracts are generally valued at the settlement price established each day on the exchange on which they are traded. Forward foreign currency contracts are valued daily using forward exchange rates quoted by independent pricing services.

Swaps are marked-to-market daily based upon values from third party vendors or quotations from market makers to the extent available, and the change in value, if any, is recorded as an unrealized gain or loss on the Statement of assets and liabilities. In the event that market quotations are not readily available or deemed unreliable, the swap is valued at fair value as determined in good faith by or under the direction of the Board (or by a committee designated by it).

64

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

US 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 May 2011, FASB issued Accounting Standards Update No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in US GAAP and International Financial Reporting Standards (“IFRS”)” (“ASU 2011-04”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between US GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

65

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

In December 2011, FASB issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition, ASU 2011-11 facilitates comparison between those entities that prepare their financial statements on the basis of US GAAP and those entities that prepare their financial statements on the basis of IFRS. ASU 2011-11 requires entities to: disclose both gross and net information about both instruments and transactions eligible for offset in the financial statements; and disclose instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods. At this time, management is evaluating the implications of ASU 2011-11 and its impact on the Fund’s financial statement disclosures.

The provisions of ASC Topic 815 “Derivatives and Hedging” (“ASC Topic 815”) require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk related contingent features in derivative agreements. Since investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of operations, they do not qualify for hedge accounting under ASC Topic 815. Accordingly, even though the Fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for purposes of disclosure under ASC Topic 815. ASC Topic 815 requires that (1) objectives for using derivative instruments be disclosed in terms of underlying risk and accounting designation, (2) the fair values of derivative instruments and their gains and losses be disclosed in a tabular format, and (3) information be disclosed about credit-risk contingent features of derivatives contracts. Details of this disclosure can be found below as well as in the Portfolio of investments. Certain derivative contracts entered into by the Fund may contain credit-risk

66

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

related contingent features that could be triggered subject to certain circumstances. Such circumstances include agreed upon net asset value thresholds. If triggered, the derivative counterparty could request additional cash margin and/or terminate the derivative contract. The aggregate fair value of the derivative contracts that are in a net liability position that contain these triggers can be found in the Portfolio of investments. The aggregate fair value of assets that are already posted as collateral as of May 31, 2012 is reflected in the Statement of assets and liabilities. If the applicable credit-risk related contingent features were triggered as of May 31, 2012, the Fund would be required to post additional collateral or may be required to terminate the contracts and settle any amounts outstanding. The volume of derivatives that is presented in the Portfolio of investments of the Fund is representative of the volume of derivatives outstanding during the period ended May 31, 2012. The Fund may be a seller of protection through credit default swap agreements which are by nature credit-risk contingent (the terms of these agreements can be found within the Portfolio of investments, with further discussion in the Notes to financial statements).

Disclosure of derivatives by underlying risk for the Fund as of and for the period ended May 31, 2012 is as follows:

Asset derivatives
					Foreign
	Interest		Credit		exchange
	rate risk		risk		risk		Total
Forward contracts1	$	—	$	—	$	8,351,507	$	8,351,507
Futures contracts2		1,579,747		—		—		1,579,747
Options purchased1		5,603,060		—		1,013,648		6,616,708
Swap agreements1		11,896,067		790,376		2,817,200		15,503,643
Total value	$	19,078,874	$	790,376	$	12,182,355	$	32,051,605

1	Statement of assets and liabilities location: Options purchased are shown within investments in securities of unaffiliated issuers, at value, unrealized appreciation on forward foreign currency contracts and outstanding swap agreements, at value.
2	Includes cumulative appreciation of futures contracts as reported in the futures contracts table in the Portfolio of investments, but only the unpaid variation margin is reported within the Statement of assets and liabilities within Due from broker.

67

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

Liability derivatives
							Foreign
	Interest			Credit			exchange
	rate risk			risk			risk			Total
Forward contracts1	$	—		$	—		$	(5,696,113	)	$	(5,696,113	)
Futures contracts2		(597,280	)		—			—			(597,280	)
Options written1		(3,899,165	)		—			(113,666	)		(4,012,831	)
Swap agreements1		(19,471,240	)		(126,038	)		(2,141,672	)		(21,738,950	)
Total value	$	(23,967,685	)	$	(126,038	)	$	(7,951,451	)	$	(32,045,174	)

1	Statement of assets and liabilities location: Unrealized depreciation on forward foreign currency contracts, outstanding swap agreements, at value and options written, at value.
2	Includes cumulative depreciation of futures contracts as reported in the futures contracts table in the Portfolio of investments, but only the unpaid variation margin is reported within the Statement of assets and liabilities within Due to broker.

Activities in derivative instruments during the period ended May 31, 2012 were as follows:

						Foreign
	Interest			Credit		exchange
	rate risk			risk		risk			Total
Net realized gain (loss)1
Forward contracts	$	—		$	—	$	(131,003	)	$	(131,003	)
Futures contracts		99,888			—		—			99,888
Options purchased3		34,591			—		(2,042,592	)		(2,008,001	)
Options written		1,032,624			—		465,562			1,498,186
Swap agreements		3,900,356			187,384		37,148			4,124,888
Total net realized gain (loss)	$	5,067,459		$	187,384	$	(1,670,885	)	$	3,583,958
Change in net unrealized appreciation/depreciation2
Forward contracts	$	—		$	—	$	389,827		$	389,827
Futures contracts		(815,338	)		—		—			(815,338	)
Options purchased3		2,510,610			—		(130,235	)		2,380,375
Options written		(1,432,284	)		—		(34,387	)		(1,466,671	)
Swap agreements		(4,541,305	)		111,556		378,391			(4,051,358	)
Total change in net unrealized appreciation/depreciation	$	(4,278,317	)	$	111,556	$	603,596		$	(3,563,165	)

¹ Statement of operations location: Net realized gain (loss) on futures contracts, options written, swap agreements and forward foreign currency contracts.

68

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

2	Statement of operations location: Change in net unrealized appreciation/depreciation on futures contracts, options written, swap agreements and forward foreign currency contracts.
3	Realized and unrealized gain (loss) is included in net realized gain (loss) from investments and net change in unrealized appreciation/depreciation from investments.

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, if any, is included in the Fund’s Notes to portfolio of investments.

Investment transactions and investment income

Investment transactions are recorded on the trade date. Realized gains and losses from investment and foreign exchange transactions are calculated using the identified cost method. Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments.

Foreign currency translation

The Fund uses the foreign currency exchange rates determined as of the close of regular trading on the NYSE. For purposes of calculating the US dollar equivalent value of a non-US dollar denominated obligation, foreign currency amounts are translated into US dollars on the following basis: (1) market value of investment securities and other assets and liabilities—at the exchange rates prevailing at the end of the Fund’s fiscal period; and (2) purchases and sales of investment securities and income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets and the market value of the Fund’s portfolio are presented at the foreign exchange rates at the end of the Fund’s fiscal period, the Fund does not generally isolate the effect of fluctuations

69

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

in foreign exchange rates from the effect of the changes in market prices of securities. However, the Fund does isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon the sale or maturity of foreign currency-denominated securities pursuant to US federal income tax regulations. Certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in or are a reduction of ordinary income in accordance with US federal income tax regulations.

Forward foreign currency contracts

The Fund may enter into forward foreign currency contracts (“forward contracts“) in connection with planned purchases or sales of securities or to hedge the US dollar value of portfolio securities denominated in a particular currency. The Fund may also use forward contracts in an attempt to enhance income or gains.

The Fund has no specific limitation on the percentage of assets which may be committed to such contracts. The Fund may enter into forward contracts or maintain a net exposure to forward contracts only if (1) the consummation of the contracts would not obligate the Fund to deliver an amount of foreign currency in excess of the value of the position being hedged by such contracts or (2) the Fund identifies cash or liquid securities in an amount not less than the value of its assets committed to the consummation of the forward contracts and not covered as provided in (1) above, as marked-to-market daily.

Risks may arise upon entering into forward contracts from the potential inability of counterparties to meet the terms of their forward contracts and from unanticipated movements in the value of foreign currencies relative to the US dollar.

Fluctuations in the value of forward contracts are recorded for book purposes as unrealized gains or losses by the Fund. Realized gains and losses include net gains and losses recognized by the Fund on contracts which have been sold or matured.

70

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

Futures contracts

The Fund may use financial futures contracts for hedging purposes and to adjust exposure to US and foreign fixed income markets in connection with a reallocation of the Fund’s assets or to manage the average duration of the Fund. The Fund may also use futures contracts in an attempt to enhance income or gains. However, imperfect correlations between futures contracts and the related securities or markets, or market disruptions, do not normally permit full control of these risks at all times. Using financial futures contracts involves various market risks, including interest rate risk. Risks of entering into futures contracts include the possibility that there may be an illiquid market or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. To the extent that market prices move in an unexpected direction, there is a risk that the Fund will not achieve the anticipated benefits of the futures contract or may realize a loss.

Upon entering into a financial futures contract, the Fund is required to deliver to a broker an amount of cash and/or liquid securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Fund each day, depending on the daily fluctuations in the value of the underlying financial futures contracts. Such variation margin is recorded as part of Due to or Due from broker for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed or expires, at which time the net gain or loss is reclassified to realized gain or loss on futures.

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 to hedge a portion of the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, to gain exposure to certain markets in the most economical way possible or in an attempt to enhance income or gains.

71

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

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.

The Fund may enter into currency swap agreements with another party to receive or pay amounts based on changes in currency exchange rates in order to protect itself from or take advantage of exchange rate fluctuations. The Fund utilizes currency swaps to earn income and enhance returns as well as to manage the risk profile of the Fund. 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 currency exchange rate(s)for a specified amount. Currency swap agreements are subject to general market risk, liquidity risk, counterparty risk, foreign exchange risk and interest rate risk.

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 the risk that there may be unfavorable changes in the underlying investments or instruments.

Credit default swap agreements involve commitments to make or receive payments in the event of a default or other 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

72

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

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 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 obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in delivery of a security with a value other than had been anticipated (such as a party’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 a 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 May 31, 2012 for which the Fund is the seller of protection are disclosed under the section “Credit default swaps on 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

73

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

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.

The use of swap agreements 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. Swap agreements do not involve the delivery of securities and are subject to counterparty risk. If the other party to a swap agreement 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.

The Fund accrues for interim payments on swap agreements on a daily basis, with the net amount recorded within unrealized appreciation/ depreciation of swap agreements on the Statement of assets and liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap agreements, in addition to realized gain/loss recorded upon the termination of swap agreements on the Statement of operations. Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation of swap agreements.

Structured notes

The Fund may invest in structured notes whose values are based on the price movements of a referenced security or index. The value of these structured notes will rise and fall in response to changes in the referenced security or index. On the maturity date of each structured note, the Fund will receive a payment from a counterparty based on the value of the referenced security or index (notional amount multiplied by the price of the referenced security or index) and record a realized gain or loss.

Structured notes may present a greater degree of market risk than many types of securities and may be more volatile and less liquid than less

74

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

complex securities. Structured notes are also subject to the risk that the issuer of the structured notes may fail to perform its contractual obligations.

Option writing

The Fund may write (sell) put and call options on foreign or US securities, indices, foreign currencies and interest rate swaps (commonly referred to as swaptions), 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 of an unfavorable change in the price of the derivative instrument, security, index 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.

Purchased options

The Fund may purchase put and call options on foreign or US securities, indices, foreign currencies and interest rate swaps (commonly referred to as swaptions), as well as exchange listed call options on particular market segment indices to achieve temporary exposure to a specific security,

75

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

currency, industry or geographic region. Purchasing call options tends to increase exposure to the underlying instrument. Purchasing put options tends to decrease exposure to the underlying instrument. The Fund pays a premium which is included in the Statement of assets and liabilities as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying futures, security or currency transaction to determine the realized gain or loss.

Dividends and distributions

Dividends and distributions to shareholders are recorded on the ex-distribution date. The amount of dividends from net investment income and distributions from net realized capital gains and/or return of capital is determined in accordance with US federal income tax regulations, which may differ from US GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification.

Concentration of risk

Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investments in the United States. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region, which could cause the securities and their markets to be less liquid and prices more volatile than those of comparable US companies and US government securities. These risks are greater with respect to securities of issuers located in emerging market countries in which the Fund invests. The ability of the issuers of debt securities held by the Fund to meet their obligations may be affected by economic and political developments particular to a specific industry, country, state or region.

76

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

Investment advisor and administrator and other transactions with related entities

The Fund’s Board has approved an investment advisory and administration contract (“Advisory Contract”) with UBS Global AM. In accordance with the Advisory Contract, the Fund pays UBS Global AM investment advisory and administration fees, which are accrued weekly and paid monthly, at the annual rate of 1.00% of the Fund’s average weekly net assets. UBS Global AM has agreed voluntarily to waive 0.05% of its fees through July 31, 2013, thereby reducing the fees to 0.95% for such period. At May 31, 2012, the Fund owed UBS Global AM $165,698 which is composed of $191,523 of investment advisory and administration fees less fees waived of $25,825. For the period ended May 31, 2012, UBS Global AM waived $51,430 of investment advisory and administration fees from the Fund.

Additional information regarding compensation to affiliate of a board member

Professor Meyer Feldberg serves as a senior advisor to Morgan Stanley, a financial services firm with which the Fund may conduct transactions, resulting in him being an interested director of the Fund. The Fund has been informed that Professor Feldberg’s role at Morgan Stanley does not involve matters directly affecting any UBS funds. Fund transactions are executed through Morgan Stanley based on that firm’s ability to provide best execution of the transactions. During the period ended May 31, 2012, the Fund purchased and sold certain securities (e.g., fixed income securities) in principal trades with Morgan Stanley having an aggregate value of $29,233,646. Morgan Stanley received compensation in connection with these trades, which may have been in the form of a “mark-up” or “mark-down” of the price of the securities, a fee from the issuer for maintaining a commercial paper program, or some other form of compensation. Although the precise amount of this compensation is not generally known by UBS Global AM, UBS Global AM believes that under normal circumstances it represents a small portion of the total value of the transactions.

77

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

Securities lending

The Fund may lend securities up to 33¹/₃% 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 102% of the market value of the securities loaned with respect to domestic securities and 105% of the market value of the securities loaned with respect to foreign securities, 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 period ended May 31, 2012.

Capital stock

There are 100,000,000 shares of $0.001 par value common stock authorized and 18,258,828 shares outstanding at May 31, 2012. For the period ended May 31, 2012 and for the year ended November 30, 2011, there were no transactions involving common stock.

Purchases and sales of securities

For the period ended May 31, 2012, aggregate purchases and sales (including maturities) of portfolio securities, excluding short-term securities and US government and agency securities, were as follows: $75,113,876 and $82,625,853, respectively. For the same period, aggregate purchases and sales (including maturities) of US government and agency securities, excluding short-term securities, were as follows: $74,206,392, and $59,843,928, respectively.

Federal tax status

It is the Fund’s policy to comply with all requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. In

78

Strategic Global Income Fund, Inc.
Notes to financial statements (unaudited)

addition, by distributing during each calendar year substantially all of its net investment income, net realized capital gains and certain other amounts, if any, the Fund intends not to be subject to a federal excise tax. Accordingly, no federal income tax provision was required.

The tax character of distributions paid during the fiscal year ended November 30, 2011 were as follows:

Distributions paid from:	2011
Ordinary income	$	29,208,647
Net long-term capital gains		3,155,126
Total distributions paid	$	32,363,773

The tax character of distributions paid and components of accumulated earnings (deficit) on a tax basis for the current fiscal year will be determined after the Fund’s fiscal year ending November 30, 2012.

As of and during the six months ended May 31, 2012, the Fund did not have any liabilities for any uncertain tax positions. The Fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of operations. During the period, the Fund did not incur any interest or penalties.

Each of the tax years in the four year period ended November 30, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Fund after November 30, 2011, may be carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Fund were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At November 30, 2011, the Fund had no pre-enactment net capital loss carryforward.

79

Strategic Global Income Fund, Inc.
General information (unaudited)

The Fund

Strategic Global Income Fund, Inc. (the “Fund”) is a non-diversified, closed-end management investment company whose shares trade on the New York Stock Exchange (“NYSE”). The Fund’s primary investment objective is to achieve a high level of current income. As a secondary objective, the Fund seeks capital appreciation, to the extent consistent with its primary objective. There can be no assurance that the Fund’s investment objective will be achieved. The Fund’s investment advisor and administrator is UBS Global Asset Management (Americas) Inc. (“UBS Global AM”).

Shareholder information

The Fund’s NYSE trading symbol is “SGL.” Net asset value and market price information as well as other information about the Fund is updated each business day on UBS’s web site at the following internet address:
http://globalam-us.ubs.com/corpweb/closedendedfunds.do.

Shareholder meeting information

An annual meeting of shareholders of the Fund was held on March 15, 2012. At the meeting, the two nominees as Class II directors, namely Bernard H. Garil and Heather R. Higgins, were elected to serve as board members for three year terms and until their successors are duly elected and qualified or until they retire, resign or are earlier removed. The shares were voted as indicated below:

		Shares
	Shares	withhold
To vote for or withhold authority in the election of:	voted for	authority
Bernard H. Garil	12,361,567	370,894
Heather R. Higgins	12,423,589	308,872

The following persons’ terms of office as directors also continued after the annual meeting given that they are in other director classes: Richard Q. Armstrong, Richard R. Burt, Meyer Feldberg, Alan S. Bernikow and Barry M. Mandinach.

The Fund is not aware of any broker non-votes. (Broker non-votes are shares held in street name for which the broker indicates that instructions

80

Strategic Global Income Fund, Inc.
General information (unaudited)

have not been received from the beneficial owners or other persons entitled to vote and for which the broker does not have discretionary voting authority.)

Quarterly Form N-Q portfolio schedule

The Fund will file its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s Web site at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC 0330. Additionally, you may obtain copies of Form N-Q from the Fund upon request by calling 1 888-793 8637.

Proxy voting policies, procedures and record

You may obtain a description of the Fund’s (1) proxy voting policies (2) proxy voting procedures, and (3) information regarding how the Fund voted any proxies related to portfolio securities during the most recent 12-month period ended June 30 for which an SEC filing has been made, without charge, upon request by contacting the Fund directly at 1-888-793 8637, online on UBS’s Web site: http://www.ubs.com/us/en/ asset_management/individual_investors/closed_end_funds.html or on the EDGAR Database on the SEC’s Web site (http://www.sec.gov.)

Dividend reinvestment plan

The Fund’s Board has established a Dividend Reinvestment Plan (the “Plan”) under which all shareholders whose shares are registered in their own names, or in the name of UBS Financial Services Inc. or its nominee, will have all dividends and other distributions on their shares of common stock automatically reinvested in additional shares, unless such shareholders elect to receive cash. Shareholders who elect to hold their shares in the name of another broker or nominee should contact such broker or nominee to determine whether, or how, they may participate in the Plan.

81

Strategic Global Income Fund, Inc.
General information (unaudited)

The ability of such shareholders to participate in the Plan may change if their shares are transferred into the name of another broker or nominee.

A shareholder may elect not to participate in the Plan or may terminate participation in the Plan at any time without penalty, and shareholders who have previously terminated participation in the Plan may rejoin it at any time. Changes in elections must be made in writing to the Fund’s transfer agent and should include the shareholder’s name and address as they appear on that share certificate or in the transfer agent’s records.

An election to terminate participation in the Plan, until such election is changed, will be deemed an election by a shareholder to take all subsequent distributions in cash. An election will be effective only for distributions declared and having a record date at least ten days after the date on which the election is received.

Additional shares of common stock acquired under the Plan will be purchased in the open market, on the NYSE or otherwise, at prices that may be higher or lower than the net asset value per share at the time of the purchase. Investors should consider whether continued participation in the dividend reinvestment plan is appropriate for them when the Fund’s market price exceeds its net asset value; a portion of a dividend/ distribution may represent a return of capital, which would be reinvested in the Fund at a premium to net asset value. The number of shares of common stock purchased with each dividend/distribution will be equal to the result obtained by dividing the amount of the dividend/distribution payable to a particular shareholder by the average price per share (including applicable brokerage commissions) that the transfer agent was able to obtain in the open market. The Fund will not issue any new shares in connection with the Plan. There currently is no charge to participants for reinvesting dividends or other distributions. The transfer agent’s fees for handling the reinvestment of distributions are paid by the Fund. However, each participant pays a pro rata share of brokerage commissions incurred with respect to the transfer agent’s open market purchases of common stock in connection with the reinvestment of distributions. The automatic reinvestment of dividends and other

82

Strategic Global Income Fund, Inc.
General information (unaudited)

distributions in shares of common stock does not relieve participants of any income tax that may be payable on such distributions.

Experience under the Plan may indicate that changes are desirable. Accordingly, the Fund reserves the right to amend or terminate the Plan with respect to any dividend or other distribution if notice of the change is sent to Plan participants at least 30 days before the record date for such distribution. The Plan also may be amended or terminated by the transfer agent by at least 30 days’ written notice to all Plan participants. Additional information regarding the Plan may be obtained from, and all correspondence concerning the Plan should be directed to, the transfer agent at BNY Mellon Shareowner Services, P.O.Box 358035, Pittsburgh, PA 15252-8035. For further information regarding the Plan, you may also contact the transfer agent directly at 1-866-352 5528.

Distribution policy

The Fund’s Board adopted a managed distribution policy in May 1998, which was revised (1) effective January 2000, (2) in May 2005, (3) effective August 2009 and (4) effective June 2011. Pursuant to the policy as in effect from January 2000 through early May 2005, the Fund made regular monthly distributions at an annualized rate equal to 10% of the Fund’s net asset value, as determined as of the last trading day during the first week of that month (usually a Friday unless the NYSE is closed that Friday). The Board approved reducing the annualized rate for distribution pursuant to the policy from 10% to 8% effective beginning with the June 2005 monthly distribution. The Board approved a further reduction in the annualized rate for distributions pursuant to the policy from 8% to 7% in July 2009, effective beginning with the August 2009 monthly distribution. The Board again approved a further reduction in the annualized rate of distribution pursuant to the policy from 7% to 6% in May 2011, effective beginning with the June 2011 monthly distribution. From May 31, 1998 through January 2000, the Fund’s managed distribution was 8% of the Fund’s net asset value as determined as of the last trading day during the first week of the month. Prior to May 31, 1998, the Fund’s distributions varied based on the Fund’s net investment income and realized capital gains or losses.

83

Strategic Global Income Fund, Inc.
General information (unaudited)

Monthly distributions based on a fixed percentage of the Fund’s net asset value may require the Fund to make multiple distributions of long-term capital gains during a single fiscal year. The Fund has received exemptive relief from the Securities and Exchange Commission that enables it to do so. The Fund’s Board receives recommendations from UBS Global AM, the Fund’s investment advisor, periodically and no less frequently than annually will reassess the annualized percentage of net assets at which the Fund’s monthly distributions will be made.

The above information supplements that contained on the inside front cover of this report.

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Directors
Richard Q. Armstrong	Meyer Feldberg
Chairman
	Bernard H. Garil
Alan S. Bernikow
	Heather R. Higgins
Richard R. Burt
	Barry M. Mandinach
Principal Officers
Mark E. Carver	John Dugenske
President	Vice President
Mark F. Kemper	Craig Ellinger
Vice President and Secretary	Vice President
Thomas Disbrow	Brian Fehrenbach
Vice President and Treasurer	Vice President
Scott Dolan	Uwe Schillhorn
Vice President	Vice President

Investment Advisor and Administrator

UBS Global Asset Management (Americas) Inc.
1285 Avenue of the Americas
New York, New York 10019-6028

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940 that from time to time the Fund may purchase shares of its common stock in the open market at market prices.

This report is sent to the shareholders of the Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report.

The financial information included herein is taken from the records of the Fund without examination by independent registered public accountants who do not express an opinion thereon.

©UBS 2012. All rights reserved.

PRESORTED
STANDARD
U.S. POSTAGE
PAID
COMPUTERSHARE

UBS Global Asset Management (Americas) Inc.
1285 Avenue of the Americas
New York, New York 10019-6028

S145

Item 2.   Code of Ethics.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 3.   Audit Committee Financial Expert.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 4.   Principal Accountant Fees and Services.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 5.   Audit Committee of Listed Registrants.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 6.   Investments.

(a)	Included as part of the report to shareholders filed under Item 1 of this form.
(b)	Not applicable.

Item 7.   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.

Item 8.   Portfolio Managers of Closed-End Management Investment Companies.

(a) (1)        Names – Uwe Schillhorn, Craig Ellinger, Scott Dolan, John Dugenske and Brian Fehrenbach provide day-to-day portfolio management for the registrant as a team.

Title – Mr. Schillhorn, Mr. Ellinger, Mr. Dolan, Mr. Dugenske and Mr. Fehrenbach are each a Vice President of the registrant.

             Length of Service – Mr. Schillhorn began serving as a portfolio manager for the registrant in 2007 and became a Vice President in May 2004. Mr. Ellinger began serving as a portfolio manager for the registrant in May 2012 and became a Vice President in May 2012. Mr. Dolan began serving as a portfolio manager for the registrant in May 2012 and became a Vice President in May 2012. Mr. Dugenske began serving as a portfolio manager for the registrant in May 2012 and became a Vice President in May 2012. Mr. Fehrenbach began serving as a portfolio manager for the registrant in May 2012 and became a Vice President in May 2012.

             Business Experience Last 5 Years (for Mr. Schillhorn ) – Mr. Schillhorn is a managing director and head of emerging markets debt (since 2004) at UBS Global Asset Management (Americas) Inc. (“UBS Global AM”). As head of emerging markets debt, he oversees the management of all emerging market portfolios, including research, formulation and implementation of investment strategy and trading. He is responsible for analysis and management of fixed income investments in Latin American countries as well as for emerging market currencies. He is a member of the Global Fixed Income Investment Committee.

             Business Experience Last 5 Years (for Mr. Ellinger) – Mr. Ellinger is a managing director and the head of Global High Yield Fixed Income (since 2008) and US Investment Grade Credit (since 2012) at UBS Global AM. He is a member of the Global Fixed Income Management Committee and several global fixed income strategy subcommittees and has been with the firm since 2000.

             Business Experience Last 5 Years (for Mr. Dolan) – Mr. Dolan is a managing director and the co-head of Multi-Sector Strategies at UBS Global AM. He is a member of the Global Fixed Income Investment Committee. Prior to joining UBS Global AM in 2008, Mr. Dolan was a managing director and head of securitized assets for Citigroup Alternative Investments.

             Business Experience Last 5 Years (for Mr. Dugenske) – Mr. Dugenske is a managing director and the head of North American Fixed Income at UBS Global AM. He is a member (and chairman) of the Global Fixed Income Investment Committee. Prior to joining UBS Global AM in 2009, he spent over four years at the former asset management business of Lehman Brothers, which encompassed Lehman Brothers Asset Management and Neuberger Berman, where he most recently held the position of head of European and middle east fixed income, based in London.

             Business Experience Last 5 Years (for Mr. Fehrenbach ) – Mr. Fehrenbach is a managing director and co-head of Multi-Sector Strategies at UBS Global AM. He has been with UBS Global AM since 2006. He is a member of the Global Fixed Income Investment Committee.

Information in 8(a)(1) is as of August 9, 2012.

(a) (2) (i) Messrs. Schillhorn, Ellinger, Dolan, Dugenske and Fehrenbach are primarily responsible for the day-to-day management of other accounts. Further information is provided below.

(a) (2) (ii) (A) Registered Investment Companies

             Mr. Schillhorn is responsible for 4 additional Registered Investment Companies and manages $487 million in total assets within this category.

             Mr. Ellinger is responsible for 5 additional Registered Investment Companies and manages $604 million in total assets within this category.

             Messrs. Dolan and Fehrenbach are each responsible for 1 additional Registered Investment Companies and manage $77 million in total assets within this category.

             Mr. Dugenske is responsible for 0 additional Registered Investment Companies and manages $0 million in total assets within this category

(a) (2) (ii) (B) Other Pooled Investment Vehicles

             Mr. Schillhorn is responsible for 11 Other Pooled Investment Vehicles having approximately $4.7 billion in total assets.

             Mr. Ellinger is responsible for 8 Other Pooled Investment Vehicles having approximately $2.3 billion in total assets.

             Mr. Dolan is responsible for 2 Other Pooled Investment Vehicles having approximately $6.1 billion in total assets.

             Mr. Fehrenbach is responsible for 3 Other Pooled Investment Vehicles having approximately $200 million in total assets.

             Mr. Dugenske is responsible for 0 Other Pooled Investment Vehicles having approximately $0 in total assets.

(a) (2) (ii) (C) Other accounts

             Mr. Schillhorn is responsible for 11 other accounts totaling approximately $8 billion in total assets.

             Mr. Ellinger is responsible for 4 other accounts totaling approximately less than $1 million in total assets.

             Mr. Dolan is responsible for 4 other accounts totaling approximately less than $1 million in total assets.

             Mr. Fehrenbach is responsible for 8 other accounts totaling approximately $4 million in total assets.

             Mr. Dugenske is responsible for 0 other accounts totaling approximately $0 in total assets.

(a) (2) (iii) Accounts with respect to which an advisory fee is based on the performance of the account.

             None

(a) (2) (iv) Dollar range of securities of registrant beneficially owned by portfolio managers identified above.

             None

             Information in 8(a)(2)(i)–(iii) is as of December 31, 2011. Information for item 8(a)(2)(iv) is as of August 9, 2012.

(b) At a meeting of the Registrant’s Board of Directors held on May 16, 2012 the Board approved the addition of Messrs. Dolan, Dugenske, Ellinger and Fehrenbach as additional portfolio managers of the

Fund, effective May 17, 2012. Mr. Schillhorn continues as a portfolio manager. Please see responses to items 8a(1) through items 8(a)(2)(iv), above.

Item 9.   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

There were no purchases made by or on behalf of the Registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Securities Exchange Act of 1934, as amended, of shares of the Registrant’s equity securities that are registered by the Registrant pursuant to Section 12 of the Exchange Act made in the period covered by this report.

Item 10.   Submission of Matters to a Vote of Security Holders.

The registrant’s Board has established a Nominating and Corporate Governance Committee. The Nominating and Corporate Governance Committee will consider nominees recommended by shareholders if a vacancy occurs among those board members who are not “interested persons” as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended. In order to recommend a nominee, a shareholder should send a letter to the chairperson of the Nominating and Corporate Governance Committee, Richard R. Burt, care of the Secretary of the registrant at UBS Global Asset Management, UBS Building, One North Wacker Drive, Chicago, IL 60606, and indicate on the envelope “Nominating and Corporate Governance Committee.” The shareholder’s letter should state the nominee’s name and should include the nominee’s resume or curriculum vitae, and must be accompanied by a written consent of the individual to stand for election if nominated for the Board and to serve if elected by shareholders.

Item 11.   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) 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 of 1940, as amended) 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 12.   Exhibits.

(a)	(1) Code of Ethics – Form N-CSR disclosure requirement not applicable to this filing of a semi-annual report.
(a)	(2) Certifications of principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit EX-99.CERT.
(a)	(3) Written solicitation to purchase securities under Rule 23c-1 under the Investment Company Act of 1940 sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons – The registrant has not engaged in such a solicitation during the period covered by this report.
(b)	Certifications of principal executive officer and principal financial officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit EX-99.906CERT.

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:	August 9, 2012

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:	August 9, 2012
By:	/s/ Thomas Disbrow
	Thomas Disbrow
	Vice President and Treasurer
Date:	August 9, 2012