<Page>
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: 811-6475
----------------------------------------------
Strategic Global Income Fund, Inc.
------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
51 West 52nd Street, New York, New York 10019-6114
------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Keith A. Weller, Esq.
UBS Global Asset Management (US) Inc.
51 West 52nd Street
New York, NY 10019-6114
(Name and address of agent for service)
Copy to:
Jack W. Murphy, Esq.
Dechert 1775 I Street, N.W.
Washington, DC 20006-2401
Registrant's telephone number, including area code: 212-882 5000
Date of fiscal year end: November 30
Date of reporting period: May 31, 2004
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
[UBS GLOBAL ASSET MANAGEMENT LOGO]
STRATEGIC GLOBAL INCOME FUND, INC.
SEMIANNUAL REPORT
MAY 31, 2004
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
July 15, 2004
DEAR SHAREHOLDER,
We present you with the semiannual report for Strategic Global Income Fund, Inc.
for the six months ended May 31, 2004.
PERFORMANCE
Over the six months ended May 31, 2004, Strategic Global Income Fund, Inc. (the
"Fund") returned 1.55% on a net asset value basis, compared wth the median
return of 1.48% generated by the Lipper Global Income Funds closed-end fund peer
group. On a market price basis, the Fund declined 9.01% over the six-month
period, versus a market price decline of 5.88% for the Lipper median. (For more
on the Fund's performance, please refer to "Performance At A Glance" on page 5.)
Over the period, the Fund did not use leverage. Leverage magnifies returns on
the upside and on the downside, creating wider dispersions of returns within the
Fund's peer group.
SGL traded at a discount to NAV at the end of June. This discount was narrower
than the average of the funds in its Lipper peer group.
A Fund trades at a discount when the market price at which its shares trade is
less than its net asset value (NAV). Alternately, a fund trades at a premium
when the market price at which its shares trade is more 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.
AN INTERVIEW WITH PORTFOLIO MANAGER UWE SCHILLHORN
Q. CAN YOU DESCRIBE THE GLOBAL ECONOMIC ENVIRONMENT DURING THE PERIOD?
A. Developed bond markets, as measured by the Citigroup World Government Bond
Index (or WGBI), returned 2.18% on an unhedged basis, and 1.29% on a
currency hedged basis measured in US dollars. Emerging markets debt, as
[SIDENOTE]
STRATEGIC GLOBAL INCOME FUND, INC.
INVESTMENT GOALS:
Primarily, high current income; secondarily, capital appreciation.
PORTFOLIO MANAGER:
Portfolio Management Team, including Uwe Schillhorn
UBS Global Asset Management (US) Inc.
COMMENCEMENT:
February 3, 1992
NYSE SYMBOL:
SGL
DIVIDEND PAYMENTS:
Monthly
1
<Page>
measured by the JP Morgan Emerging Market Bond Index--Global (EMBI--G),
declined 0.86% during the same period. The EMBI--G consists of
dollar-denominated securities.
Overall, the global economy continued to expand during the period. In the
US, fourth quarter 2003 gross domestic product (GDP) was a solid 4.1%, while
first quarter 2004 GDP came in at 3.9%. Strong consumer, business and
government spending continued to propel the economy forward. After several
quarters of disappointing employment data, the labor market posted
higher-than-expected gains in March, April and May 2004, as nearly one
million new jobs were created during that three-month time span.
Overseas, the Asian economies produced impressive gains. China's economy
continued to expand rapidly. As reported in THE ECONOMIST (May 2004), from
2001 through 2003, China accounted for one-third of the world's total
economic growth--twice as much as the US. The Chinese government is now
taking steps to slow the pace of growth to ward off inflation. In Japan, the
economy expanded at a surprisingly high rate in the fourth quarter of 2003,
and advanced at a solid, although more modest pace, during the first quarter
of 2004.
There were a number of other factors that helped the emerging market
economies produce solid growth, especially high commodity and oil prices, as
well as solid export and domestic demand for goods and services. Strong
growth, however, eluded the Eurozone, which lagged the rest of world. Its
economy grew only 0.3% during the fourth quarter 2003, followed by an
estimated 0.4% in the first quarter 2004.
Q. HOW DID YOU POSITION THE PORTFOLIO DURING THE SIX-MONTH PERIOD?
A. As the period began, the Fund's modified duration was 4.74%. Higher quality
government securities were concentrated in Europe, while lower-rated credits
were in US dollar-denominated securities. The Fund's emerging markets debt
exposure was composed primarily of holdings in Russia and Brazil, and in
investment grade credits in Mexico, and Trinidad and Tobago.
During the first quarter of 2004, we adjusted the Fund's duration down
slightly. Overall, with global bond yields at historically low levels, we
believed the risk/reward of taking a longer duration stance was not
appropriate. Following the release of the strong US labor market data, we
took advantage of the sharp selloff in bonds to reduce the Fund's duration
as valuations moved closer to our estimate of fair value.
Throughout much of the reporting period, the emerging markets debt portion
of the Fund's portfolio continued to have a sizable weighting in
higher-rated Mexican and Russian credits, and to lower-rated securities in
countries such as Argentina, Brazil and Colombia.
2
<Page>
Q. WHAT OTHER STRATEGIC TRANSACTIONS OCCURRED OVER THE REPORTING PERIOD?
A. We also built up a position in collateralized Brady bonds, which are issued
by the governments of developing countries. Named after former US Treasury
Secretary Nicholas Brady, these bonds are some of the most liquid emerging
markets securities. The difference in yields versus US Treasuries, or the
"spread," for Brady Bonds was higher than those for noncollateralized bonds
with similar durations. We believed this was a more efficient strategy than
buying US Treasury bonds and non-collateralized emerging markets bonds
separately.
Q. WHAT WAS YOUR CURRENCY STRATEGY DURING THE PERIOD?
A. Overall, approximately 62% of our holdings were in US dollars, roughly 30%
in euros, and 7% in the yen; however, these allocations may have fluctuated
over the period. The euro slightly appreciated against the USD, and the
Japanese yen was flat (although it experienced some fairly high levels of
volatility).
Q. WHAT HOLDINGS GENERATED STRONG RESULTS OVER THE PERIOD?
A. The Fund's European fixed income securities generated strong results when
yields in Europe rose less than those in the US, and returns were further
enhanced through some currency appreciation. The Fund's investments in
shorter-term collateralized mortgage backed securities and asset-backed
securities also produced strong results.
Q. WERE THERE ANY PARTICULAR STRATEGIES THAT DIDN'T WORK WELL FOR THE FUND?
A. Investments in emerging markets and in BBB-rated corporate bonds suffered
from substantial spread widening. Also, our holdings in Japan didn't work
well, despite their short duration due to low interest rates. In addition,
the yen didn't substantially appreciate against the US dollar.
Q. WHAT IS YOUR OUTLOOK FOR THE GLOBAL ECONOMY AND THE FIXED INCOME MARKETS IN
THE COMING MONTHS?
A. We believe the current market environment requires a disciplined investment
philosophy which will take risks in the market where they will likely be
appropriately rewarded. Volatility in developed markets is being driven by
the latest economic and geopolitical news releases. Until there is further
clarity, yields are likely to remain in a fairly tight range. As such, we
have tried to position the portfolio to capitalize on either a stable or a
rising interest rate environment.
We do not expect spreads to tighten significantly from their current levels
in the emerging debt markets. The improving macroeconomic picture for many
emerging markets appears to have already been factored into the price of
their securities.
3
<Page>
Our ultimate objective in managing your investments is to help you successfully
meet your financial goals. We thank you for your continued support and welcome
any comments or questions you may have. For additional information on UBS
Funds,* please contact your financial advisor or visit us at
www.ubs.com/globalam-us.
Sincerely,
/s/ Joseph A. Varnas /s/ Uwe Schillhorn
JOSEPH A. VARNAS UWE SCHILLHORN
PRESIDENT PORTFOLIO MANAGEMENT TEAM MEMBER
Strategic Global Income Fund, Inc. Strategic Global Income Fund, Inc.
MANAGING DIRECTOR DIRECTOR
UBS Global Asset Management (US) Inc. UBS Global Asset Management (US) Inc.
* Mutual funds are sold by prospectus only. The prospectus for a fund contains
more complete information regarding investment objectives, risks, charges
and expenses, and should be read carefully before investing.
This letter is intended to assist shareholders in understanding how the Fund
performed during the six months ended May 31, 2004, and reflects our views at
the time of its writing. Of course, these views may change in response to
changing circumstances, and they do not guarantee the future performance of the
markets or the Fund. We encourage you to consult your financial advisor
regarding your personal investment program.
4
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
PERFORMANCE AT A GLANCE (UNAUDITED)
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 5/31/04
<Table>
<Caption>
6 MONTHS 1 YEAR 5 YEARS 10 YEARS
- ---------------------------------------------------------------------------------
NET ASSET VALUE RETURNS*
Strategic Global Income Fund, Inc. 1.55% 3.10% 9.62% 8.77%
Lipper Global Income Funds Median** 1.48 3.95 8.36 8.01
MARKET PRICE RETURNS*
Strategic Global Income Fund, Inc. -9.01% -5.58% 13.32% 10.83%
Lipper Global Income Funds Median** -5.88 6.08 12.72 10.04
</Table>
* 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. NAV return assumes, for
illustration only, that distributions were reinvested at the net asset value
on the distribution dates. Market returns assume that distributions are
reinvested at prices according to the dividend reinvestment plan. NAV and
market price returns for periods of one year or less have not been
annualized. Returns do not reflect taxes paid on dividends/distributions or
brokerage commissions and taxes paid on the sale of shares.
** Lipper closed-end fund 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.
5
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
Portfolio of Investments -- May 31, 2004 (unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM DEBT SECURITIES--97.78%
ARGENTINA--2.07%
$ 7,300 Republic of Argentina 08/03/12 1.234%+ $ 4,730,400
- --------------------------------------------------------------------------------------------------
AUSTRALIA--4.13%
AUD 11,800 Government of Australia 08/15/08 8.750 9,429,043
- --------------------------------------------------------------------------------------------------
BAHAMAS--0.53%
$ 1,270 Odebrecht Overseas Ltd., 144A 02/25/09 11.500 1,219,200
- --------------------------------------------------------------------------------------------------
BRAZIL--5.57%
1,170 Braskem S.A., 144A 01/22/14 11.750 1,023,750
170 Braskem S.A., 144A 11/05/08 12.500 161,500
122 Federal Republic of Brazil 04/15/06 2.063 119,016
1,647 Federal Republic of Brazil 04/15/12 2.125 1,354,706
750 Federal Republic of Brazil 07/26/07 11.250 787,500
797 Federal Republic of Brazil, C 04/15/14 8.000 711,755
6,588 Federal Republic of Brazil, DCB 04/15/12 2.125+ 5,410,591
4,100 Federal Republic of Brazil, PAR 04/15/24 6.000++ 3,126,250
- --------------------------------------------------------------------------------------------------
12,695,068
- --------------------------------------------------------------------------------------------------
BULGARIA--1.52%
3,000 Republic of Bulgaria, Series A 07/28/24 2.000+ 2,996,250
420 Republic of Bulgaria 01/15/15 8.250 471,450
- --------------------------------------------------------------------------------------------------
3,467,700
- --------------------------------------------------------------------------------------------------
CANADA--3.69%
CAD 1,000 Government of Canada 12/01/05 3.000 734,144
2,700 Government of Canada 06/01/13 5.250 2,046,796
6,950 Government of Canada 06/01/07 7.250 5,624,884
- --------------------------------------------------------------------------------------------------
8,405,824
- --------------------------------------------------------------------------------------------------
COLOMBIA--2.18%
$ 3,636 Republic of Colombia 04/09/11 9.750 4,036,254
210 Republic of Colombia 01/28/33 10.375 195,825
700 Republic of Colombia 07/09/10 10.500 735,000
- --------------------------------------------------------------------------------------------------
4,967,079
- --------------------------------------------------------------------------------------------------
DENMARK--4.69%
DKK 35,000 Kingdom of Denmark 08/15/05 5.000 5,915,072
26,250 Kingdom of Denmark 11/15/11 6.000 4,791,987
- --------------------------------------------------------------------------------------------------
10,707,059
- --------------------------------------------------------------------------------------------------
</Table>
6
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM DEBT SECURITIES--(CONTINUED)
ECUADOR--1.63%
$ 4,390 Republic of Ecuador 08/15/30 7.000%++ $ 3,073,000
730 Republic of Ecuador 11/15/12 12.000 657,000
- --------------------------------------------------------------------------------------------------
3,730,000
- --------------------------------------------------------------------------------------------------
FINLAND--1.33%
EUR 2,350 Government of Finland 07/04/07 5.000 3,032,727
- --------------------------------------------------------------------------------------------------
FRANCE--7.15%
EUR 2,500 Republic of France 04/25/13 4.000 2,999,392
2,050 Republic of France 04/25/19 4.250 2,380,773
8,700 Republic of France 07/12/05 5.000 10,935,216
- --------------------------------------------------------------------------------------------------
16,315,381
- --------------------------------------------------------------------------------------------------
GERMANY--11.38%
EUR 1,100 Bundesrepublik Deutschland 06/20/16 6.000 1,531,135
1,905 Bundesrepublik Deutschland 01/04/24 6.250 2,728,260
4,000 Bundesrepublik Deutschland 01/05/06 6.000 5,147,129
5,100 Federal Republic of Germany 04/17/09 3.250 6,148,730
3,500 Federal Republic of Germany 07/04/11 5.000 4,537,251
4,600 Federal Republic of Germany 05/12/05 6.875 5,855,787
- --------------------------------------------------------------------------------------------------
25,948,292
- --------------------------------------------------------------------------------------------------
ITALY--4.89%
EUR 8,000 Republic of Italy 03/15/06 4.750 10,122,869
700 Republic of Italy 11/01/27 6.500 1,020,104
- --------------------------------------------------------------------------------------------------
11,142,973
- --------------------------------------------------------------------------------------------------
MALAYSIA--1.25%
$ 2,708 Petroliam Nasional Berhad, 144A 10/15/26 7.625 2,840,834
- --------------------------------------------------------------------------------------------------
MEXICO--4.66%
900 Conproca S.A. de C.V. 06/16/10 12.000 1,116,000
1,000 PEMEX Finance Ltd. 05/15/07 8.020 1,050,000
900 PEMEX Finance Ltd. 08/15/17 10.610 1,185,864
166 United Mexican States 01/15/14 5.875 159,360
147 United Mexican States 04/08/33 7.500 142,590
6,385 United Mexican States 08/15/31 8.300 6,688,288
200 United Mexican States 05/15/26 11.500 278,000
- --------------------------------------------------------------------------------------------------
10,620,102
- --------------------------------------------------------------------------------------------------
</Table>
7
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM DEBT SECURITIES--(CONTINUED)
NETHERLANDS--1.84%
EUR 3,200 Government of Netherlands 02/15/07 5.750% $ 4,192,030
- --------------------------------------------------------------------------------------------------
PHILIPPINES--0.61%
$ 1,415 Republic of Philippines 01/15/19 9.875 1,383,162
- --------------------------------------------------------------------------------------------------
POLAND--1.88%
PLZ 6,000 Republic of Poland 10/24/13 5.000 1,335,593
11,930 Republic of Poland 06/24/08 5.750 2,956,121
- --------------------------------------------------------------------------------------------------
4,291,714
- --------------------------------------------------------------------------------------------------
ROMANIA--0.81%
EUR 1,300 Government of Romania 05/08/12 8.500 1,841,658
- --------------------------------------------------------------------------------------------------
RUSSIA--7.50%
$ 1,520 Gaz Capital S.A., 144A 04/28/34 8.625 1,485,800
6,626 Russian Federation, 144A 03/31/30 5.000++ 6,013,514
5,440 Russian Federation 03/31/10 8.250 5,875,200
2,570 Russian Federation 06/24/28 12.750 3,739,350
- --------------------------------------------------------------------------------------------------
17,113,864
- --------------------------------------------------------------------------------------------------
SOUTH AFRICA--1.45%
2,000 Republic of South Africa 04/25/12 7.375 2,150,000
1,000 Republic of South Africa 05/19/09 9.125 1,162,500
- --------------------------------------------------------------------------------------------------
3,312,500
- --------------------------------------------------------------------------------------------------
SPAIN--2.46%
EUR 4,455 Government of Spain 07/30/05 4.950 5,601,625
- --------------------------------------------------------------------------------------------------
SUPRANATIONAL--2.40%
JPY 569,000 European Investment Bank 09/20/06 3.000 5,480,664
- --------------------------------------------------------------------------------------------------
TURKEY--1.02%
$ 760 Republic of Turkey 01/15/14 9.500 756,200
1,440 Republic of Turkey 11/27/06 11.375 1,569,600
- --------------------------------------------------------------------------------------------------
2,325,800
- --------------------------------------------------------------------------------------------------
UNITED KINGDOM--1.43%
GBP 1,800 United Kingdom Gilt 03/07/12 5.000 3,263,169
- --------------------------------------------------------------------------------------------------
</Table>
8
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM DEBT SECURITIES--(CONTINUED)
UNITED STATES--18.51%
COMMUNICATIONS--0.47%
$ 1,000 Citizens Communications Co. 05/15/06 8.500% $ 1,067,478
- --------------------------------------------------------------------------------------------------
ENERGY--0.48%
1,000 Transocean Sedco Forex, Inc. 04/15/11 6.625 1,089,968
- --------------------------------------------------------------------------------------------------
FINANCE--12.26%
1,000 Bear Stearns Commercial
Mortgage Securities, 00-WF2,
Class A2 10/15/32 7.320 1,129,292
2,000 C.S. First Boston USA, Inc. 01/15/09 3.875 1,945,786
1,000 Commercial Mortgage Trust,
01-FL5A, Class F, 144A 11/15/13 2.197+ 1,000,162
1,000 Commercial Mortgage Trust,
01-FL5A, Class E, 144A 11/15/13 2.600+ 1,000,614
3,014 Conseco Finance Securitizations
Corp., 00-5, Class A4 02/01/32 7.470 3,136,483
1,374 Conseco Finance Securitizations
Corp., 00-1, Class A4 05/01/31 7.620 1,401,599
2,500 Conseco Finance Securitizations
Corp., 00-2, Class A4 12/01/30 8.480 2,588,723
1,416 DLJ Commercial Mortgage
Corp., 99-CG1, Class A1A 03/10/32 6.080 1,490,567
1,028 Four Times Square Trust, 144A 04/15/15 7.690 1,140,614
2,000 General Electric Capital Corp. 06/15/12 6.000 2,105,822
1,000 General Motors Acceptance Corp. 09/15/11 6.875 1,018,799
1,348 Merrill Lynch Mortgage
Investors, Inc., 96-C2, Class A3 11/21/28 6.960 1,431,891
1,151 Morgan Stanley Capital I, 96-WF1,
Class A3, 144A 11/15/28 7.702 1,198,338
3,137 Morgan Stanley Capital I, 95-GAL1,
Class E, 144A 08/15/27 8.250 3,302,510
1,000 Morgan Stanley Dean Witter
Capital I, 00-LIF2, Class A2 10/15/33 7.200 1,124,210
850 Nomura Asset Securities Corp.,
98-D6, Class A1A 03/15/30 6.280 893,035
1,000 Providian Gateway Master
Trust, 144A 03/15/11 2.950+ 1,000,600
1,000 Washington Mutual, Inc. 01/15/07 5.625 1,051,584
- --------------------------------------------------------------------------------------------------
27,960,629
- --------------------------------------------------------------------------------------------------
</Table>
9
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- --------------------------------------------------------------------------------------------------
LONG-TERM DEBT SECURITIES--(CONCLUDED)
FOOD & BEVERAGES--0.89%
$ 1,000 Kraft Foods, Inc. 06/01/07 5.250% $ 1,039,141
1,000 Miller Brewing Co., 144A (1) 08/15/13 5.500 999,196
- --------------------------------------------------------------------------------------------------
2,038,337
- --------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--1.52%
3,156 Fannie Mae 11/01/33 4.588+ 3,186,991
262 Federal National Mortgage
Association 11/01/32 7.500 280,117
- --------------------------------------------------------------------------------------------------
3,467,108
- --------------------------------------------------------------------------------------------------
MEDIA--0.48%
1,000 Time Warner Entertainment, Inc. 01/15/08 7.480 1,088,975
- --------------------------------------------------------------------------------------------------
TRANSPORTATION--0.47%
1,000 Hertz Corp. 08/15/07 7.625 1,069,879
- --------------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES--1.94%
3,500 U.S. Treasury Bond 05/15/30 6.250 3,896,893
540 U.S. Treasury Note 08/15/13 4.250 524,982
4,421,875
- --------------------------------------------------------------------------------------------------
42,204,249
- --------------------------------------------------------------------------------------------------
VENEZUELA--1.20%
3,140 Republic of Venezuela 03/31/20 6.750 2,731,800
- --------------------------------------------------------------------------------------------------
Total Long-Term Debt Securities (cost--$217,614,242) 222,993,917
- --------------------------------------------------------------------------------------------------
<Caption>
NUMBER OF
RIGHTS
(000)
- --------------------------------------------------------------------------------------------------
RIGHTS--0.04%
MEXICO--0.04%
1,615 United Mexican States Value Recovery
Rights, Series B, Expiration Date
06/30/04 (1) 8,075
1,615 United Mexican States Value Recovery
Rights, Series C, Expiration Date
06/30/05 (1) 32,300
1,615 United Mexican States Value Recovery
Rights, Series D, Expiration Date
06/30/06 (1) 32,300
</Table>
10
<Page>
<Table>
<Caption>
NUMBER OF
RIGHTS INTEREST
(000) RATE VALUE
- --------------------------------------------------------------------------------------------------
RIGHTS--(CONCLUDED)
MEXICO--(CONCLUDED)
1,615 United Mexican States Value Recovery
Rights, Series E, Expiration Date
06/30/07 (1) $ 26,648
- --------------------------------------------------------------------------------------------------
99,323
- --------------------------------------------------------------------------------------------------
VENEZUELA--0.00%
15 Venezuela Oil Indexed
Payment Obligations,
Expiration Date 04/15/20 (1) --
- --------------------------------------------------------------------------------------------------
Total Rights (cost--$0) 99,323
- --------------------------------------------------------------------------------------------------
<Caption>
NUMBER OF
SHARES
(000)
- --------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT--1.35%*
UNITED STATES--1.35%
3,073 UBS Supplementary Trust
U.S. Cash Management
Prime Fund (cost--$3,073,003) 1.100%# 3,073,003
Total Investments (cost--$220,687,245)--99.17% 226,166,243
Other assets in excess of liabilities--0.83% 1,890,498
- --------------------------------------------------------------------------------------------------
Net Assets--100.00% $ 228,056,741
- --------------------------------------------------------------------------------------------------
</Table>
Note: The Portfolio of Investments is listed by the issuer's country of origin.
* Security is issued by a fund that is advised by an affiliate of UBS
Global Asset Management (US) Inc., the Strategic Global Income Fund,
Inc.'s advisor.
+ Reflects rate at May 31, 2004 on variable coupon rate instruments.
++ Reflects rate at May 31, 2004 on step coupon rate instruments.
# Interest rate shown reflects yield at May 31, 2004.
144A Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities are considered liquid and may be resold in
transactions exempt from registration, normally to qualified
institutional buyers. At May 31, 2004, the value of these securities
amounted to $22,386,632 or 9.82% of net assets.
(1) Rights do not currently accrue income. Quarterly income, if any, will
vary based on several factors including oil exports, prices and
inflation.
C Front-load interest reduction with capitalized interest bond.
AUD Australian Dollar
CAD Canadian Dollar
DCB Debt Conversion Bond
DKK Danish Krone
EUR Euro
GBP British Pound
JPY Japanese Yen
PAR Par Bond
PLZ Poland Zloty
11
<Page>
FUTURES CONTRACTS
<Table>
<Caption>
NUMBER OF IN EXPIRATION UNREALIZED
CONTRACTS CONTRACTS TO RECEIVE EXCHANGE FOR DATE APPRECIATION
- --------------------------------------------------------------------------------------------------------------
113 U.S. Treasury Bond 30 Year Futures $ 11,889,719 September 2004 $ 102,639
- --------------------------------------------------------------------------------------------------------------
</Table>
FORWARD FOREIGN CURRENCY CONTRACTS
<Table>
<Caption>
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION/
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
Australian Dollar 13,650,000 USD 9,921,930 6/17/04 $ 193,985
British Pound 5,480,000 USD 9,427,956 6/17/04 (602,252)
Canadian Dollar 13,400,000 USD 10,104,057 6/17/04 296,241
Danish Krone 72,500,000 USD 11,916,894 6/17/04 18,724
Euro 12,700,000 USD 15,835,110 6/17/04 332,213
Thai Baht 205,881,860 USD 5,021,509 7/29/04 (55,059)
United States Dollar 1,086,484 CAD 1,450,000 6/17/04 (25,191)
United States Dollar 839,631 DKK 5,300,000 6/17/04 30,167
United States Dollar 12,473,370 EUR 10,100,000 6/17/04 (144,295)
United States Dollar 4,204,909 GBP 2,410,000 6/17/04 206,186
United States Dollar 10,918,543 JPY 1,157,000,000 6/17/04 (410,680)
United States Dollar 4,524,283 SGD 7,800,000 6/17/04 69,559
United States Dollar 5,552,758 THB 205,881,860 7/29/04 (176,191)
- ------------------------------------------------------------------------------------------------------------
$ (266,593)
- ------------------------------------------------------------------------------------------------------------
</Table>
Currency Type Abbreviations:
CAD - Canadian Dollar
DKK - Danish Krone
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
SGD - Singapore Dollar
THB - Thailand Baht
USD - United States Dollars
12
<Page>
INVESTMENTS BY TYPE OF ISSUER
<Table>
<Caption>
PERCENTAGE OF NET ASSETS
------------------------------
LONG-TERM OTHER INVESTMENTS
- -------------------------------------------------------------------------------
Government and other public issuers 75.91% --
Financial Services 15.64 --
Oil 2.89 --
Industrial 1.49 --
Food & Beverages 0.90 --
Media 0.48 --
Telecommunications 0.47 --
Rights -- 0.04%
Mutual Fund -- 1.35
- -------------------------------------------------------------------------------
97.78% 1.39%
- -------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
13
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
Statement of Assets and Liabilities -- May 31, 2004 (unaudited)
<Table>
ASSETS:
Investments in securities of unaffiliated issuers, at value (cost--$217,614,242) $ 223,093,240
Investments in securities in a related entity, at value (cost--$3,073,003) 3,073,003
Cash 14,400
Foreign currency, at value (cost--$55,260) 55,330
Interest receivable 4,171,458
Unrealized appreciation on forward foreign currency contracts 1,147,075
Cash collateral for futures contracts 310,333
Other assets 22,580
- -------------------------------------------------------------------------------------------------
Total assets 231,887,419
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investment purchased 1,936,732
Unrealized depreciation on forward foreign currency contracts 1,413,668
Payable to investment advisor and administrator 191,274
Variation margin payable 67,094
Accrued expenses and other liabilities 221,910
- -------------------------------------------------------------------------------------------------
Total liabilities 3,830,678
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Capital Stock--$0.001 par value; 100,000,000 shares authorized;
18,258,828 shares issued and outstanding 209,447,866
Distributions in excess of net investment income (7,071,447)
Accumulated net realized gain from investment transactions 20,353,341
Net unrealized appreciation of investments, forward foreign currency
contracts, futures, and other assets and liabilities denominated in
foreign currencies 5,326,981
- -------------------------------------------------------------------------------------------------
Net assets $ 228,056,741
- -------------------------------------------------------------------------------------------------
Net asset value per share $ 12.49
- -------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
14
<Page>
Statement of Operations
<Table>
<Caption>
FOR THE
SIX MONTHS
ENDED
MAY 31, 2004
(UNAUDITED)
- -------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest income net of foreign withholding taxes of $7,389 (includes
$31,964 from a related entity) $ 7,037,046
- -------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory and administration fees 1,188,579
Custody and accounting fees 95,087
Reports and notices to shareholders 37,156
Professional fees 32,998
Directors' fees 9,720
Transfer agency fees 7,577
Other expenses 23,548
1,394,665
- -------------------------------------------------------------------------------------------------
Net investment income 5,642,381
- -------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT ACTIVITIES:
NET REALIZED GAINS FROM:
Investment transactions 8,199,684
Foreign currency transactions 11,898,132
Futures 255,525
Net change in unrealized appreciation/depreciation of:
Investments (22,926,251)
Futures 102,639
Other assets, liabilities and forward foreign currency contracts 669,249
Net realized and unrealized losses from investment activities (1,801,022)
- -------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 3,841,359
- -------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
15
<Page>
Statement of Changes in Net Asset
<Table>
<Caption>
FOR THE
SIX MONTHS
ENDED FOR THE
MAY 31, 2004 YEAR ENDED
(UNAUDITED) NOVEMBER 30, 2003
- -------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 5,642,381 $ 9,714,959
Net realized gains from investment transactions 8,199,684 6,689,013
Net realized gains from futures
and foreign currency transactions 12,153,657 3,825,112
Net change in unrealized
appreciation/depreciation of:
Investments (22,926,251) 18,076,432
Futures 102,639 --
Other assets, liabilities and forward foreign
currency contracts 669,249 (787,961)
- -------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 3,841,359 37,517,555
- -------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (11,886,497)(1) (14,140,229)
Net realized gains -- (6,096,034)
Return of capital -- (3,107,648)
Total dividends and distributions to shareholders (11,886,497) (23,343,911)
Net increase (decrease) in net assets (8,045,138) 14,173,644
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 236,101,879 221,928,235
- -------------------------------------------------------------------------------------------------
End of period $ 228,056,741 $ 236,101,879
- -------------------------------------------------------------------------------------------------
</Table>
(1) The actual sources of the Fund's fiscal year 2004 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 2004 fiscal year.
See accompanying notes to financial statements
16
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
Notes to Financial Statements
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
as a closed-end, non-diversified management investment company. The Fund's
primary 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 enters into contracts that contain a
variety of representations that provide general indemnification. 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 prior claims or losses pursuant to these contracts
and expects the risk of losses to be remote.
The preparation of financial statements in accordance with US generally accepted
accounting principles requires the Fund's management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. 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 from independent pricing
sources and broker-dealers. Independent pricing sources may use reported last
sale prices, current market quotations or valuations from computerized "matrix"
systems that derive values based on comparable securities. A matrix system
incorporates parameters such as security quality, maturity and coupon, and/or
research and evaluations by its staff, including review of broker-dealer market
price quotations, if available, in determining the valuation of the portfolio
securities. Securities traded in the over-the-counter ("OTC") market and listed
on The Nasdaq Stock Market, Inc. ("Nasdaq") normally are valued at the NASDAQ
Official Closing Price. Other OTC securities are valued at the last bid price
available on the valuation date prior to valuation. Securities which are listed
on U.S. and foreign stock exchanges normally are valued at the last sale price
on the day the securities are valued or, lacking any sales on such day, at the
last available bid price. In cases where securities are traded on more than one
exchange, the securities are valued on the exchange designated as the primary
market by UBS Global Asset Management (US) Inc. ("UBS Global AM"), the
investment advisor and administrator 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, Switzerland and operations
in many areas of the financial services industry. If a market value is not
available from an independent pricing source for a particular security, that
security is valued at fair value as determined in good faith by or under the
direction of the Fund's board of directors (the "Board"). All investments quoted
in foreign currencies will be valued weekly in U.S. dollars on the basis of
17
<Page>
the foreign currency exchange rates prevailing at the time of such valuation as
described below.
Foreign currency exchange rates are generally determined prior to the close of
the New York Stock Exchange ("NYSE"). Occasionally, events affecting the value
of foreign investments and such exchange rates occur between the time at which
they are determined and the close of the NYSE, which will not be reflected in
the computation of the Fund's net asset value. If events materially affecting
the value of such securities or currency exchange rates occur during such time
periods, the securities will be valued at their fair value as determined in good
faith by or under the direction of the Board.
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 books and records of the Fund are maintained
in U.S. dollars using the WM/Reuters closing spot rates as of 4:00 pm London
time. Foreign currency amounts are translated into U.S. 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 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 U.S. 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 U.S. federal income tax regulations.
FORWARD FOREIGN CURRENCY CONTRACTS--The Fund may enter into forward foreign
currency exchange contracts ("forward contracts") in connection with planned
purchases or sales of securities or to hedge the U.S. dollar value of portfolio
securities denominated in a particular currency. The Fund may also use forward
contracts to enhance income.
The Fund has no specific limitation on the percentage of assets which may be
committed to such forward contracts. The Fund may enter into forward contracts
or maintain a net exposure to forward contracts only if (1) the consummation of
18
<Page>
the forward 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 total 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
U.S. 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 forward contracts which have been
sold or matured.
FUTURES CONTRACTS--The Fund may use financial futures contracts for hedging
purposes and to adjust exposure to U.S. and foreign fixed income markets in
connection with a reallocation of the Fund's assets or to manage the average
duration of the Fund. 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. The maximum amount at risk from the
purchase of a futures contract is the contract value.
Upon entering into a financial futures contract, the Fund is required to pledge
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 for
financial statement purposes on a daily basis as an unrealized gain or loss on
futures until the financial futures contract is closed, at which time the net
gain or loss is reclassified to realized gain or loss on futures.
DIVIDENDS AND DISTRIBUTIONS--Dividends and distributions to shareholders are
recorded on the ex-dividend 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 U.S. federal income tax regulations,
which may differ from US generally accepted accounting principles. 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
19
<Page>
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 U.S. companies and U.S.
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 or region.
INVESTMENT ADVISOR AND ADMINISTRATOR AND OTHER TRANSACTIONS WITH RELATED ENTITY
The Board has approved an Investment Advisory and Administration Contract
("Advisory Contract") with UBS Global AM, under which UBS Global AM serves as
investment advisor and administrator of the Fund. In accordance with the
Advisory Contract, the Fund pays UBS Global AM an investment advisory and
administration fee, which is accrued weekly and paid monthly, at the annual rate
of 1.00% of the Fund's average weekly net assets.
The Fund invests in shares of the UBS Supplementary Trust U.S. Cash Management
Prime Fund ("Supplementary Trust"). Supplementary Trust is a business trust
managed by UBS Global Asset Management (Americas) Inc., an affiliate of UBS
Global AM.
The Fund pays no management fees to Supplementary Trust. Distributions from the
Supplementary Trust are reflected as interest income on the statement of
operations.
Amounts relating to those investments at May 31, 2004 and for the period ended
are summarized as follows:
<Table>
<Caption>
SALES INTEREST % OF
FUND PURCHASES PROCEEDS INCOME VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------
UBS Supplementary
Trust U.S. Cash
Management Prime Fund $ 53,323,315 $ 50,250,312 $ 31,964 $ 3,073,003 1.35%
- ---------------------------------------------------------------------------------------------
</Table>
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, 2004. For the six months ended May 31,
2004 and for the year ended November 30, 2003, the Fund did not repurchase any
shares of common stock.
For the period September 17, 1998 (commencement of repurchase program) through
November 30, 2001, the Fund repurchased 3,148,300 shares of common stock at an
average market price per share of $10.74 and a weighted average
20
<Page>
discount from net asset value of 12.54%. As of May 31, 2004, paid-in-capital has
been reduced by the cost of $34,013,476 of capital stock repurchased.
FEDERAL TAX STATUS
For federal income tax purposes, the cost of securities owned at May 31, 2004
was substantially the same as the cost of securities for financial statement
purposes. At May 31, 2004 the components of net unrealized appreciation of
investments were as follows:
<Table>
Gross appreciation (investments having an excess of value over cost) $ 11,901,333
Gross depreciation (investments having an excess of cost over value) (6,422,335)
- -------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments $ 5,478,998
- -------------------------------------------------------------------------------------------------
</Table>
For the six months ended May 31, 2004, aggregate purchases and sales of
portfolio securities, excluding short-term securities, were $254,073,607 and
$233,663,643, respectively.
The Fund intends to distribute substantially all of its taxable income and to
comply with the other requirements of the Internal Revenue Code applicable to
regulated investment companies. Accordingly, no provision for federal income
taxes is required. In addition, by distributing during each calendar year
substantially all of its net investment income, realized capital gains and
certain other amounts, if any, the Fund intends not to be subject to a federal
excise tax.
The tax character of distributions paid during the fiscal year ended November
30, 2003, were as follows:
<Table>
<Caption>
DISTRIBUTIONS PAID FROM: 2003
- -------------------------------------------------------------------------------------------------
Ordinary income $ 16,347,710
Net realized gains 3,888,553
Return of capital 3,107,648
- -------------------------------------------------------------------------------------------------
$ 23,343,911
- -------------------------------------------------------------------------------------------------
</Table>
The tax character of distributions paid and the components of accumulated
earnings (deficit) on a tax basis for the current fiscal year will be calculated
after the Fund's fiscal year ending November 30, 2004.
21
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
Financial Highlights
Selected data for a share of common stock outstanding thoughout each period is
presented below:
<Table>
<Caption>
FOR THE
SIX MONTHS
ENDED FOR THE YEARS ENDED NOVEMBER 30,
MAY 31, 2004 ----------------------------------------------------------------------
(UNAUDITED) 2003 2002+ 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD $ 12.93 $ 12.15 $ 11.99 $ 11.92 $ 12.56 $ 13.55
Net investment income 0.31 0.53 0.52 0.72 0.85@ 0.81@
Net realized and unrealized
gains (losses) from
investments, futures and
foreign currency transactions (0.10) 1.53 0.83 0.55 (0.41)@ (0.89)@
Net increase (decrease) from
investment operations 0.21 2.06 1.35 1.27 0.44 (0.08)
Dividends from net
investment income (0.65)(2) (0.78) (0.57) (0.55) (0.29) (0.48)
Distributions from net
realized gains from
investment transactions -- (0.33) (0.22) -- -- --
Distributions from
paid-in-capital -- (0.17) (0.40) (0.66) (0.84) (0.56)
Distributions in excess of
net investment income -- -- -- -- (0.08) --
- ------------------------------------------------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (0.65) (1.28) (1.19) (1.21) (1.21) (1.04)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net asset
value resulting from
repurchase of common stock -- -- -- 0.01 0.13 0.13
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
END OF PERIOD $ 12.49 $ 12.93 $ 12.15 $ 11.99 $ 11.92 $ 12.56
- ------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE, END OF PERIOD $ 12.55 $ 14.44 $ 12.84 $ 11.40 $ 10.13 $ 10.00
TOTAL INVESTMENT RETURN(1) (9.01)% 23.18% 24.39% 25.34% 13.75% (6.41)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end
of period (000's) $ 228,057 $ 236,102 $ 221,928 $ 218,962 $ 219,674 $ 247,915
Expenses to average
net assets 1.17%* 1.19% 1.18% 1.19% 1.19% 1.17%
Net investment income
to average net assets 4.73%* 4.15% 4.37% 5.94% 6.89% 6.21%
Portfolio turnover 105% 49% 51% 29% 53% 58%
</Table>
@ Calculated using average monthly shares outstanding for the year.
(1) Total investment return is calculated assuming a 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 investment
return does not reflect brokerage commissions or the deduction of taxes that
a shareholder would pay on Fund dividends/distributions. Total investment
return for the period of less than one year has not been annualized.
(2) The actual sources of the Fund's fiscal year 2004 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 2004 fiscal year.
+ As required, effective as of December 1, 2001, the Fund has adopted the
provisions of the AICPA Audit and Accounting Guide, Audits of Investment
Companies, and began amortizing premiums on debt securities for financial
statement reporting purposes only. The effect of this change for the year
ended November 30, 2002 was to decrease net investment income per share by
$0.06, increase net realized and unrealized gains from investment and
foreign currency activities per share by $0.06, and decrease the ratio of
net investment income to average net assets from 4.82% to 4.37%. Per share
ratios and supplemental data for periods prior to December 1, 2001 have not
been restated to reflect this change in presentation.
* Annualized.
22
<Page>
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. The Fund's investment
advisor and administrator is UBS Global Asset Management (US) Inc. ("UBS Global
AM"), an indirect wholly owned asset management subsidiary of UBS AG, which had
over $55.9 billion in assets under management as of March 31, 2004.
SHAREHOLDER INFORMATION
The Fund's NYSE trading symbol is "SGL." Comparative net asset value and market
price information about the Fund is published weekly in THE WALL STREET JOURNAL,
THE NEW YORK TIMES and BARRON'S, as well as in numerous other publications.
An annual meeting of shareholders of the Fund was held on March 18, 2004. At the
meeting, Margo N. Alexander, Richard Q. Armstrong, David J. Beaubien, Richard R.
Burt, Meyer Feldberg, Carl W. Schafer, Brian M. Storms and William D. White were
elected to serve as directors until the next annual meeting of shareholders, or
until their successors are elected and qualified or until they resign or are
otherwise removed. The shares were voted as indicated below:
<Table>
<Caption>
SHARES FOR AS A SHARES
TO VOTE FOR OR WITHHOLD SHARES FOR % OF TOTAL WITHHOLD
AUTHORITY IN THE ELECTION OF: VOTED SHARES VOTED AUTHORITY
- -----------------------------------------------------------------------------------------
Margo N. Alexander 16,586,543.7055 98.98 171,469.1563
- -----------------------------------------------------------------------------------------
Richard Q. Armstrong 16,582,273.4340 98.95 175,739.4278
- -----------------------------------------------------------------------------------------
David J. Beaubien 16,583,870.4340 98.96 174,142.4278
- -----------------------------------------------------------------------------------------
Richard R. Burt 16,561,895.7055 98.83 196,117.1563
- -----------------------------------------------------------------------------------------
Meyer Feldberg 16,571,165.4340 98.89 186,847.4278
- -----------------------------------------------------------------------------------------
Carl W. Schafer 16,563,875.4340 98.84 194,137.4278
- -----------------------------------------------------------------------------------------
Brian M. Storms 16,594,721.7055 99.03 163,291.1563
- -----------------------------------------------------------------------------------------
William D. White 16,582,192.7055 98.95 175,820.1563
- -----------------------------------------------------------------------------------------
</Table>
Mr. Storms has since resigned from the Fund's Board.
To the best of the Fund's knowledge, there were no "broker non-votes." ( Broker
non-votes are shares held in street name for which the broker indicates that
instructions 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.)
PROXY VOTING POLICIES AND PROCEDURES
You may obtain a description of the Fund's proxy voting policies and procedures,
without charge, upon request by contacting the Fund directly at 1-800-647-1568,
23
<Page>
online on the Fund's Web site: www.ubs.com/ubsglobalam-proxy, 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. 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 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 will be equal to the result obtained
by dividing the amount of the dividend 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 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
24
<Page>
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 may also 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 PFPC Inc., P.O. Box 43027, Providence,
Rhode Island 02940-3027. For further information regarding the Plan, you may
also contact the transfer agent directly at 1-800-331-1710.
DISTRIBUTION POLICY
The Fund's Board adopted a managed distribution policy in May 1998, which was
revised effective January 2000. Pursuant to the policy as currently in effect,
the Fund makes regularly 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). Prior to January 2000, the Fund's managed distribution was 8% of
the Fund's net asset value as determined as of 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. The
Board may terminate the managed distribution policy at any time, after taking
into account relevant factors, including the expected tax treatment of
distributions; any such termination may have an adverse effect on the market
price for the Fund's shares.
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 distribute the excess near the end of the fiscal year. If the
aggregate amount distributed by the Fund (based on a fixed percentage of its net
asset value) 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. From time to time, the Fund may project that a
portion of a monthly distribution may consist of a return of capital based on
information available at that time. Such an estimate is subject to change based
on the Fund's investment experience during the remainder of its fiscal year. The
actual sources of the Fund's 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. The actual amounts attributable to each of the
sources will be reported to each shareholder in January of a year on Form
1099-Div.
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 Board will
annually reassess the annualized percentage of net assets at which the Fund's
monthly distributions will be made.
25
<Page>
DIRECTORS
Richard Q. Armstrong
INTERIM CHAIRMAN
Margo N. Alexander
David J. Beaubien
Richard R. Burt
Meyer Feldberg
Carl W. Schafer
William D. White
PRINCIPAL OFFICERS
Joseph A. Varnas
PRESIDENT
Mark F. Kemper
VICE PRESIDENT AND SECRETARY
Thomas G. Disbrow
VICE PRESIDENT AND TREASURER
W. Douglas Beck
VICE PRESIDENT
INVESTMENT ADVISOR AND ADMINISTRATOR
UBS Global Asset Management (US) Inc.
51 West 52nd Street
New York, New York 10019-6114
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 THE 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 AUDITORS WHO DO NOT EXPRESS AN OPINION
THEREON.
(C)2004 UBS GLOBAL ASSET MANAGEMENT (US) INC. ALL RIGHTS RESERVED.
<Page>
[UBS LOGO] Presorted
Standard
UBS GLOBAL ASSET MANAGEMENT (US) INC. U.S. Postage
51 West 52nd Street PAID
New York, New York 10019 Smithtown, NY
Permit 700
<Page>
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. SCHEDULE OF INVESTMENTS
Form N-CSR disclosure requirement not yet effective with respect to the
registrant.
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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Form N-CSR disclosure requirement not yet effective with respect to the
registrant.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant's Board has established a Nominating Committee. The Nominating
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 Committee, Mr. Meyer Feldberg, care of the Secretary of the
registrant at UBS Global Asset Management (US) Inc., 51 West 52nd Street, New
York, New York 10019-6114, and indicate on the envelope "Nominating 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 10. 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 that occurred during the registrant's most
recent fiscal half-year that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 11. 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 is attached hereto as Exhibit EX-99.CERT.
(b) Certifications of principal executive officer and principal financial
officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 is
attached hereto as Exhibit EX-99.906CERT.
<Page>
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/ Joseph A. Varnas
--------------------
Joseph A. Varnas
President
Date: August 9, 2004
--------------
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/ Joseph A. Varnas
--------------------
Joseph A. Varnas
President
Date: August 9, 2004
--------------
By: /s/ Thomas Disbrow
------------------
Thomas Disbrow
Treasurer
Date: August 9, 2004
--------------