<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: 811-06475
-------------------------------------------------
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)
Mark F. Kemper, 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 LLP
1775 I Street, N.W.
Washington, DC 20006-2401
Registrant's telephone number, including area code: 212-882 5000
Date of fiscal year end: November 30
Date of reporting period: November 30, 2004
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
[UBS GLOBAL ASSET MANAGEMENT LOGO]
STRATEGIC GLOBAL INCOME FUND, INC.
ANNUAL REPORT
NOVEMBER 30, 2004
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
January 14, 2005
DEAR SHAREHOLDER,
We present you with the annual report for Strategic Global Income Fund, Inc. for
the fiscal year ended November 30, 2004.
PERFORMANCE
For the fiscal year ended November 30, 2004, Strategic Global Income Fund, Inc.
(the "Fund") returned 12.10% on a net asset value basis, compared with the
median return of 12.21% generated by the Lipper Global Income Funds closed-end
fund peer group. On a market price basis, the Fund returned 10.89% over the
one-year period, versus the market price return of 11.72% 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.
AN INTERVIEW WITH PORTFOLIO MANAGER UWE SCHILLHORN
Q. CAN YOU DESCRIBE THE GLOBAL ECONOMIC ENVIRONMENT DURING THE FISCAL YEAR?
A. The global economic expansion continued during the reporting period. In the
US, fourth quarter 2003 Gross Domestic Product (GDP) was 4.2%. First quarter
2004 GDP was 4.5%, another strong advance. While the overall economy was on
solid footing, there were concerns of a "jobless recovery," as far fewer new
jobs were created than expected. The employment picture then improved in
March, April and May 2004, as nearly one million new jobs were created.
Sharply rising energy prices, among other things, then caused the US economy
to take a step backward in the second quarter of 2004, with GDP rising only
3.3%. This was followed by a third quarter GDP figure of 4.0%.
Overseas, after a strong start to the year, Japan's economy weakened
significantly during the fiscal year. After rising 1.7% in the fourth quarter
of 2003, and 1.4% in the first quarter of 2004, GDP was only 0.3% in the
second quarter of 2004, and then weakened to 0.1% in the third quarter.
Higher energy prices, a strengthening yen and falling exports were cited as
issues adversely affecting the country's economy. Growth rates in the
Eurozone also fell during
[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
1
<Page>
the fiscal year, with the Organization for Economic Co-operation and
Development projecting that its GDP in 2004 would advance only 1.8%. In
general, emerging market economies performed well during the reporting
period. In particular, many commodity-rich countries excelled on the back of
high energy and materials prices.
Q. HOW DID THE WORLD'S BOND MARKETS PERFORM OVER THE PERIOD?
A. Developed bond markets, as measured by the Citigroup World Government Bond
Index (WGBI), returned 12.81% on an unhedged basis, and 5.02% on a currency
hedged basis measured in US dollars. Emerging markets debt, as measured by
the JP Morgan Emerging Market Bond Index--Global (EMBI--G), returned 12.20%
during the same period. The EMBI--G consists of US dollar-denominated
securities.
Q. HOW DID YOU POSITION THE PORTFOLIO FROM A DURATION STANDPOINT DURING THE
FISCAL YEAR?
A. As the period began, the Fund's modified duration (a measure of price
sensitivity to interest rate movements) was 4.7%. We then lowered
duration slightly in the first quarter of 2004, as global bond yields were
at historically low levels and we felt it was not prudent to take a longer
duration stance. In the second quarter of 2004, we increased the Fund's
duration from approximately 4.0% to 4.8%, and eliminated the portfolio's
position in short duration Japanese bonds. Yields in the short portion of the
Japanese curve did not increase as much as in the US and Europe, and we
used the proceeds to purchase higher-yielding US bonds. Toward the end of
the fiscal year, global bond yields declined, and we reduced duration to
roughly 4.2%. This was accomplished by eliminating our positions in
Denmark. These assets were used to purchase securities in the UK and
higher-yielding bonds in the US and emerging markets.
Q. WHAT OTHER STRATEGIC TRANSACTIONS OCCURRED OVER THE REPORTING PERIOD?
A. In the first half of the fiscal year, we increased the Fund's exposure to
collateralized Brady Bonds, which are issued by the governments of developing
countries. The difference in yields versus US Treasuries, or the "spread,"
and Brady Bonds was higher than those for noncollateralized bonds with
similar durations.
From a credit perspective, toward the end of the reporting period, we reduced
the Fund's exposure to developed market government bonds and increased the
portfolio's exposure to emerging markets, US high yield, US investment grade
corporates and asset-backed securities. Overall, this led to a more cautious
position in duration and a more aggressive position in credit.
2
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Q. WHAT WAS YOUR CURRENCY STRATEGY DURING THE PERIOD?
A. Overall, approximately 53% of the Fund's holdings were in US dollars, roughly
27% in euros, 11% in the yen, and the remainder in other currencies; however,
these allocations may have fluctuated over the period. After trading in a
fairly narrow range, the US dollar fell roughly 10% against other major
currencies in the last three months of the fiscal year. In particular, the
dollar fell to an all-time low versus the five-year euro and a multi-year low
versus the Japanese yen.
Q. WHICH HOLDINGS GENERATED STRONG RESULTS OVER THE PERIOD?
A. The Fund's European fixed income securities and investments in shorter-term,
US collateralized mortgage-backed securities and asset-backed securities
enhanced results in the first half of the reporting period. In the second
half of the period, investments in emerging markets and in BBB-rated
corporate bonds generated strong returns. The portfolio also benefited from
appreciation of the euro and yen during this period.
Q. WERE THERE ANY PARTICULAR STRATEGIES THAT DIDN'T WORK WELL FOR THE FUND?
A. In the first half of the reporting period, investments in emerging markets
and in BBB-rated corporate bonds suffered from substantial spread widening.
However, spreads tightened during the second half. Despite the global
economic expansion, interest rates remained low. This caused our
shorter-duration positioning to detract from results.
Q. WHAT IS YOUR OUTLOOK FOR THE GLOBAL ECONOMY AND THE FIXED INCOME MARKETS IN
THE COMING MONTHS?
A. Looking ahead, our long-term valuation models show that most government bond
markets are somewhat overvalued. Therefore, we maintain the Fund's overall
duration below the usual 4.5% to 5.0% range. We believe the Federal Reserve
Board will continue to increase interest rates, and bonds with lower interest
rate durations and higher credit exposure will outperform long-duration
government bonds. We expect to maintain around an 11% weighting in the
Japanese yen, as an increase in economic activity could signal an end to the
country's deflationary period. We feel this could be supportive for the yen.
3
<Page>
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
JOSEPH A. VARNAS
PRESIDENT
Strategic Global Income Fund, Inc.
MANAGING DIRECTOR
UBS Global Asset Management (US) Inc.
/s/ Uwe Schillhorn
UWE SCHILLHORN
PORTFOLIO MANAGEMENT TEAM MEMBER
Strategic Global Income Fund, Inc.
DIRECTOR
UBS Global Asset Management (US) Inc.
This letter is intended to assist shareholders in understanding how the Fund
performed during the fiscal year ended November 30, 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.
* 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.
4
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PERFORMANCE AT A GLANCE (UNAUDITED)
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 11/30/04
<Table>
<Caption>
6 MONTHS 1 YEAR 5 YEARS 10 YEARS
- -------------------------------------------------------------------------------
NET ASSET VALUE RETURNS*
Strategic Global Income Fund, Inc. 10.38% 12.10% 11.40% 9.83%
Lipper Global Income Funds Median** 10.58 12.21 11.35 9.85
MARKET PRICE RETURNS*
Strategic Global Income Fund, Inc. 21.86% 10.89% 19.41% 13.75%
Lipper Global Income Funds Median** 18.49 11.72 17.17 12.87
</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 payable 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>
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
<Caption>
CHARACTERISTICS* 11/30/04 5/31/04 11/30/03
- ------------------------------------------------------------------------------------------------------------
Net Asset Value $ 13.12 $ 12.49 $ 12.93
Market Price $ 14.60 $ 12.55 $ 14.44
12-Month Dividend/
Distribution $ 1.2859 $ 1.2966 $ 1.2785
Monthly Dividend/
Distribution at Period-End $ 0.1089 $ 0.1027 $ 0.1065
Net Assets (mm) $ 239.5 $ 228.1 $ 236.1
Weighted Average Maturity 6.63 yrs. 7.04 yrs. 8.45 yrs.
Weighted Average Duration 4.0% 4.2% 4.9%
<Caption>
CURRENCY EXPOSURE** 11/30/04 5/31/04 11/30/03
- ------------------------------------------------------------------------------------------------------------
US Dollar Denominated 53.2% 59.2% 46.5%
Foreign Denominated 46.8 40.8 53.5
TOTAL 100.0% 100.0% 100.0%
<Caption>
CREDIT QUALITY** 11/30/04 5/31/04 11/30/03
- ------------------------------------------------------------------------------------------------------------
A1/P1 3.3% 1.3% 12.7%
AAA/Aaa 31.6 42.8 50.0
AA/Aa 5.5 7.5 8.1
A/A 11.9 6.4 0.8
BBB/Baa 12.4 8.5 12.1
BB/Ba 11.8 14.3 8.6
B/B 3.6 9.8 4.9
CCC/Caa 9.3 4.9 1.9
Non-Rated 4.6 2.3 --
Cash 3.5 1.4 --
Other assets less liabilities 2.5 0.8 0.9
TOTAL 100.0% 100.0% 100.0%
<Caption>
TOP 10 COUNTRIES** 11/30/04 5/31/04 11/30/03
- ------------------------------------------------------------------------------------------------------------
United States*** 26.8% United States*** 18.5% France 11.0%
Germany 9.6 Germany 11.4 Germany 8.6
Brazil 6.9 France 7.2 Mexico 6.3
Russia*** 6.1 Russia 7.5 Russia 5.2
Argentina 5.2 Brazil 5.6 Denmark 5.0
Italy 5.1 Italy 4.9 Brazil 4.9
France 4.6 Denmark 4.7 United Kingdom 4.9
Mexico 4.3 Mexico 4.7 Italy 4.5
Canada 3.0 Australia 4.1 Canada 4.5
United Kingdom 2.8 Canada 3.7 Netherlands 4.1
TOTAL 74.4% 72.3% 59.0%
</Table>
* Prices and other charateristics will vary over time.
** 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., and/or Moody's
Investors Services, Inc. to individual portfolio holdings. Both are
independent rating agencies.
*** Excludes cash, cash equivalents and other assets in excess of liabilities.
Past Performance is no guarantee of future results. The value of an investment
will fluctuate so that an investor's shares, when sold, may be worth more or
less than their original cost.
6
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STRATEGIC GLOBAL INCOME FUND, INC.
PORTFOLIO OF INVESTMENTS -- NOVEMBER 30, 2004
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- -------------------------------------------------------------------------------------
BONDS--93.91%
U.S. BONDS--26.82%
U.S. CORPORATE BONDS--8.62%
$ 2,000 Bank One Corp. 08/01/10 7.875% $ 2,323,356
1,000 Bombardier Capital, Inc., 144A 06/29/06 6.125 1,010,000
2,000 C.S. First Boston USA, Inc. 01/15/12 6.500 2,219,356
1,000 Citizens Communications Co. 05/15/06 8.500 1,071,250
2,000 General Electric Capital Corp. 06/15/12 6.000 2,166,552
1,000 General Motors Acceptance
Corp. 09/15/11 6.875 1,019,999
1,000 Hertz Corp. 08/15/07 7.625 1,074,820
2,000 Household Finance Corp. 05/15/11 6.750 2,235,588
1,000 Kraft Foods, Inc. 06/01/07 5.250 1,035,404
1,000 Miller Brewing Co., 144A 08/15/13 5.500 1,032,708
1,000 Time Warner Cos., Inc. 01/15/08 7.480 1,096,596
1,000 Transocean, Inc. 04/15/11 6.625 1,102,966
2,000 Viacom, Inc. 05/15/11 6.625 2,228,744
1,000 Washington Mutual, Inc. 01/15/07 5.625 1,041,238
20,658,577
ASSET-BACKED SECURITIES--7.58%
1,012 Conseco Finance Securitizations
Corp., 00-1, Class A4 05/01/31 7.620 1,037,775
2,209 Conseco Finance Securitizations
Corp., 00-2, Class A4 12/01/30 8.480 2,309,967
2,205 Conseco Finance Securitizations
Corp., 00-5, Class A4 02/01/32 7.470 2,268,287
5,000 Conseco Finance Securitizations
Corp., 00-5, Class A5 02/01/32 7.700 4,984,996
3,000 GreenTree Financial
Corp., 99-1, Class A5 09/01/23 6.110 3,079,107
3,558 New York City Tax Lien,
04-AA, Class C, 144A 12/11/17 3.960 3,476,833
1,000 Providian Gateway Master Trust,
04-AA, Class D, 144A 03/15/11 3.950+ 1,002,000
18,158,965
COMMERCIAL MORTGAGE-BACKED SECURITIES--5.27%
1,000 Bear Stearns Commercial Mortgage
Securities, 00-WF2, Class A2 10/15/32 7.320 1,138,734
</Table>
7
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------
BONDS--(CONTINUED)
U.S. BONDS--(CONCLUDED)
COMMERCIAL MORTGAGE-BACKED SECURITIES--(CONCLUDED)
$ 1,000 Commercial Mortgage Trust,
01-FL5A, Class E, 144A 11/15/13 3.600%+ $ 999,962
1,000 Commercial Mortgage Trust,
01-FL5A, Class F, 144A 11/15/13 2.733+ 985,236
1,311 DLJ Commercial Mortgage Corp.,
99-CG1, Class A1A 03/10/32 6.080 1,363,610
- ----------------------------------------------------------------------------------------
964 Four Times Square Trust,
00-4TS, Class A1, 144A 04/15/15 7.690 1,065,583
- ----------------------------------------------------------------------------------------
1,050 Merrill Lynch Mortgage Investors,
Inc., 96-C2, Class A3 11/21/28 6.960 1,099,251
- ----------------------------------------------------------------------------------------
3,137 Morgan Stanley Capital I,
95-GAL1, Class E, 144A 08/15/27 8.250 3,214,038
- ----------------------------------------------------------------------------------------
847 Morgan Stanley Capital I,
96-WF1, Class A3, 144A 11/15/28 7.700+ 875,251
- ----------------------------------------------------------------------------------------
1,000 Morgan Stanley Dean Witter
Capital I, 00-LIF2, Class A2 10/15/33 7.200 1,133,021
- ----------------------------------------------------------------------------------------
729 Nomura Asset Securities Corp.,
- ----------------------------------------------------------------------------------------
98-D6, Class A1A 03/15/30 6.280 756,481
12,631,167
MORTGAGE-BACKED SECURITIES--1.17%
2,601 Federal National Mortgage
Association 11/01/33 4.577+ 2,643,448
139 Federal National Mortgage
Association 11/01/32 7.500 148,411
- ----------------------------------------------------------------------------------------
2,791,859
U.S. GOVERNMENT OBLIGATIONS--4.18%
40 U.S. Treasury Bond 05/15/17 8.750 55,425
4,470 U.S. Treasury Note 07/31/06 2.750 4,457,605
4,565 U.S. Treasury Note 07/15/09 3.625 4,558,582
60 U.S. Treasury Note 02/15/14 4.000 58,500
825 U.S. Treasury Note 02/15/31 5.375 868,312
9,998,424
Total U.S. Bonds 64,238,992
- ----------------------------------------------------------------------------------------
</Table>
8
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------
BONDS--(CONTINUED)
INTERNATIONAL BONDS--67.09%
INTERNATIONAL CORPORATE BONDS--3.91%
ARGENTINA--1.15%
$ 1,360 Banco de Galicia y Buenos Aires 01/01/14 3.000%++ $ 1,017,144
2,000 Banco de Galicia y Buenos Aires 01/01/10 5.440+ 1,740,000
2,757,144
BAHAMAS--0.58%
1,270 Odebrecht Overseas Ltd., 144A 02/25/09 11.500 1,390,650
MALAYSIA--1.34%
2,708 Petroliam Nasional Berhad, 144A 10/15/26 7.625 3,200,497
MEXICO--0.84%
900 Conproca S.A. de C.V. 06/16/10 12.000 1,134,000
833 PEMEX Finance Ltd. 05/15/07 8.020 875,308
2,009,308
Total International Corporate Bonds 9,357,599
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS--63.18%
ARGENTINA--4.00%
10,870 Republic of Argentina(1) 08/03/12 1.980+ 8,668,825
ARS 1,030 Republic of Argentina 01/03/10 2.000 506,159
- ----------------------------------------------------------------------------------------
$ 1,030 Republic of Argentina 01/03/16 2.000 417,150
- ----------------------------------------------------------------------------------------
9,592,134
AUSTRIA--2.54%
EUR 4,550 Republic of Austria, 144A 10/20/13 3.800 6,078,103
BRAZIL--6.85%
$ 1,544 Federal Republic of Brazil 04/15/12 3.125+ 1,445,686
400 Federal Republic of Brazil 10/14/19 8.875 402,400
- ----------------------------------------------------------------------------------------
1,260 Federal Republic of Brazil 08/17/40 11.000 1,450,260
- ----------------------------------------------------------------------------------------
11,074 Federal Republic of Brazil, C 04/15/14 8.000 11,129,839
- ----------------------------------------------------------------------------------------
2,126 Federal Republic of Brazil, DCB 04/15/12 3.125+ 1,985,588
- ----------------------------------------------------------------------------------------
16,413,773
CANADA--2.98%
CAD 8,150 Government of Canada 06/01/14 5.000 7,136,213
ECUADOR--2.13%
$ 5,940 Republic of Ecuador 08/15/30 8.000++ 5,099,490
EL SALVADOR--0.48%
380 Republic of El Salvador 09/21/34 7.625 387,600
</Table>
9
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------
BONDS--(CONTINUED)
INTERNATIONAL BONDS--(CONTINUED)
FOREIGN GOVERNMENT BONDS--(CONTINUED)
EL SALVADOR--(CONCLUDED)
$ 770 Republic of El Salvador 04/10/32 8.250% $ 773,850
1,161,450
FINLAND--1.38%
EUR 2,350 Government of Finland 07/04/07 5.000 3,305,624
FRANCE--4.55%
900 Republic of France 04/25/13 4.000 1,224,806
2,050 Republic of France 04/25/19 4.250 2,769,452
3,770 Republic of France 07/12/05 5.000 5,077,282
1,250 Republic of France 10/25/16 5.000 1,828,513
10,900,053
GERMANY--9.63%
2,600 Bundesrepublik Deutschland 04/17/09 3.250 3,490,163
680 Bundesrepublik Deutschland 07/04/11 5.000 987,566
- ----------------------------------------------------------------------------------------
6,210 Bundesrepublik Deutschland 01/05/06 6.000 8,561,543
- ----------------------------------------------------------------------------------------
390 Bundesrepublik Deutschland 06/20/16 6.000 619,013
- ----------------------------------------------------------------------------------------
1,905 Bundesrepublik Deutschland 01/04/24 6.250 3,186,085
- ----------------------------------------------------------------------------------------
665 Bundesrepublik Deutschland 07/04/27 6.500 1,156,160
- ----------------------------------------------------------------------------------------
3,750 Bundesrepublik Deutschland 05/12/05 6.875 5,069,456
- ----------------------------------------------------------------------------------------
23,069,986
ITALY--5.06%
8,000 Republic of Italy 03/15/06 4.750 10,925,298
700 Republic of Italy 11/01/27 6.500 1,198,458
- ----------------------------------------------------------------------------------------
12,123,756
MEXICO--3.38%
$ 166 United Mexican States 01/15/14 5.875 167,245
1,147 United Mexican States 04/08/33 7.500 1,195,174
5,938 United Mexican States 08/15/31 8.300 6,724,785
8,087,204
NETHERLANDS--1.89%
EUR 3,200 Government of Netherlands 02/15/07 5.750 4,537,446
PANAMA--0.44%
$ 600 Republic of Panama 09/30/27 8.875 630,000
390 Republic of Panama 01/16/23 9.375 430,950
1,060,950
</Table>
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT MATURITY INTEREST
(000) DATES RATES VALUE
- ----------------------------------------------------------------------------------------
BONDS--(CONCLUDED)
INTERNATIONAL BONDS--(CONCLUDED)
FOREIGN GOVERNMENT BONDS--(CONCLUDED)
POLAND--2.44%
PLZ 19,000 Republic of Poland 06/24/08 5.750% $ 5,842,613
RUSSIA--6.08%
$ 4,450 Russian Federation 03/31/30 5.000++ 4,416,625
5,956 Russian Federation, 144A 03/31/30 5.000++ 5,911,788
5,160 Russian Ministry of Finance 05/14/11 3.000 4,244,100
14,572,513
SLOVAKIA--1.14%
SKK 87,500 Government of Slovakia 01/14/07 3.784* 2,720,490
SOUTH AFRICA--1.44%
$ 2,000 Republic of South Africa 04/25/12 7.375 2,275,000
1,000 Republic of South Africa 05/19/09 9.125 1,180,000
3,455,000
TURKEY--2.19%
TRL 8,100,000,000 Republic of Turkey 10/05/05 0.000* 4,692,291
$ 500 Republic of Turkey 10/06/05 5.960 549,826
5,242,117
UKRAINE--0.47%
1,120 Republic of Ukraine 06/11/13 7.650 1,128,400
UNITED KINGDOM--2.78%
GBP 1,570 United Kingdom Gilt 03/07/12 5.000 3,071,799
1,780 United Kingdom Gilt 12/07/09 5.750 3,580,794
6,652,593
URUGUAY--0.01%
$ 14 Republic of Uruguay 01/15/33 7.875 12,312
1 Republic of Uruguay, PIK 01/15/33 7.875 139
12,451
VENEZUELA--1.32%
390 Republic of Venezuela 10/08/14 8.500 405,600
2,390 Republic of Venezuela 09/15/27 9.250 2,485,600
250 Republic of Venezuela 01/13/34 9.375 261,625
3,152,825
Total Foreign Government Bonds 151,345,184
- ----------------------------------------------------------------------------------------
Total International Bonds 160,702,783
- ----------------------------------------------------------------------------------------
Total Bonds (cost--$210,905,860) 224,941,775
- ----------------------------------------------------------------------------------------
</Table>
11
<Page>
<Table>
<Caption>
NUMBER OF
RIGHTS
(000) VALUE
- ----------------------------------------------------------------------------------------
RIGHTS--0.04%
MEXICO--0.04%
1,615 United Mexican States Value Recovery Rights,
Series C, Expiration Date
06/30/05(4) $ 32,462
1,615 United Mexican States Value Recovery Rights,
Series D, Expiration Date
06/30/06(4) 38,275
1,615 United Mexican States Value Recovery Rights,
Series E, Expiration Date
06/30/07(4) 33,592
- ----------------------------------------------------------------------------------------
104,329
VENEZUELA--0.00%
15 Venezuela Oil Indexed Payment Obligations,
Expiration Date 4/15/20(2)(3)(4) 0
Total Rights (cost--$0) 104,329
- ----------------------------------------------------------------------------------------
<Caption>
NUMBER OF
SHARES MATURITY INTEREST
(000) DATE RATES
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS--3.53%
RUSSIA--1.04%
TIME DEPOSIT--1.04%
2,500 Russia, OTC(2) 08/22/05 3.500% 2,500,000
UNITED STATES--2.49%
OTHER--2.49%**
5,960 UBS Supplementary Trust U.S.
Cash Management Prime Fund 2.044@ 5,960,465
Total Short-Term Investments (cost $8,460,465) 8,460,465
- ----------------------------------------------------------------------------------------
Total Investments (cost $219,366,325)--97.48% 233,506,569
- ----------------------------------------------------------------------------------------
Other assets in excess of liabilities--2.52% 6,031,460
- ----------------------------------------------------------------------------------------
Net Assets--100% $ 239,538,029
- ----------------------------------------------------------------------------------------
</Table>
Note: The Portfolio of Investments is listed by the issuer's country of origin.
+ Reflects rate at November 30, 2004 on variable rate instruments.
++ Reflects rate at November 30, 2004 on step coupon rate instruments.
@ Interest rate reflects yield at November 30, 2004.
* Reflects annualized yield at November 30, 2004 on zero coupon bonds.
** Security is issued by a fund that is advised by a related entity of UBS
Global Asset Management (US) Inc., Strategic Global Income Fund, Inc.'s
advisor.
12
<Page>
(1) Bond interest in default.
(2) Securities are being fair valued by a valuation committee under the
direction of the Board of Directors. At November 30, 2004, the value of
these securities amounted to $2,500,000 or 1.04% of net assets.
(3) Illiquid security represents a value of $0 or 0.00% of net assets.
(4) Rights do not currently accrue income. Quarterly income, if any, will vary
based on several factors including oil exports, prices and inflation.
ARS Argentina Peso
C Front-Loaded Interest Reduction with Capitalized Interest Bond
CAD Canadian Dollar
DCB Debt Conversion Bond
EUR Euro
GBP British Pound
OTC Over the Counter
PIK Payment in Kind
PLZ Polish Zloty
SKK Slovakia Koruna
TRL Turkish Lira
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 November 30, 2004, the value of these securities amounted to
$30,242,649 or 12.63% of net assets.
13
<Page>
FORWARD FOREIGN CURRENCY CONTRACTS
<Table>
<Caption>
UNREALIZED
CONTRACTS TO IN MATURITY APPRECIATION
DELIVER EXCHANGE FOR DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------
Australian Dollar 13,500,000 USD 9,237,645 12/17/04 $ (1,180,032)
British Pound 9,590,000 USD 17,479,756 12/17/04 (791,328)
Canadian Dollar 20,070,000 USD 15,550,073 12/17/04 (1,304,107)
Danish Krone 67,200,000 USD 10,896,002 12/17/04 (1,093,561)
Euro 13,940,000 USD 17,533,914 12/17/04 (945,933)
New Zealand Dollar 10,200,000 USD 7,172,844 12/17/04 (95,931)
United States Dollar 460,660 AUD 620,000 12/17/04 17,781
United States Dollar 17,262,121 AUD 22,070,000 12/17/04 (231,148)
United States Dollar 8,906,875 CAD 11,700,000 12/17/04 918,432
United States Dollar 10,980,094 DKK 67,200,000 12/17/04 1,009,469
United States Dollar 17,752,726 EUR 13,940,000 12/17/04 727,121
United States Dollar 1,523,744 GBP 850,000 12/17/04 95,695
United States Dollar 25,720,101 JPY 2,775,086,200 12/17/04 1,232,693
United States Dollar 9,433,867 SGD 15,800,000 12/17/04 211,015
United States Dollar 9,570,494 THB 385,000,000 12/17/04 191,973
- -------------------------------------------------------------------------------------------
$ (1,237,861)
- -------------------------------------------------------------------------------------------
</Table>
Currency Type Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
DKK - Danish Krone
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
SGD - Singapore Dollar
THB - Thailand Baht
USD - United States Dollar
14
<Page>
INDUSTRY DIVERSIFICATION TABLE (UNAUDITED)
AS A PERCENT OF NET ASSETS
AS OF NOVEMBER 30, 2004
<Table>
BONDS
U.S. BONDS
U.S. Corporate Bonds
Beverages 0.43%
Commercial Banks 0.97
Consumer Finance 1.78
Diversified Financial Services 1.83
Diversified Telecommunication Services 0.45
Energy Equipment & Services 0.46
Food Products 0.43
Media 1.39
Road & Rail 0.45
Thrifts & Mortgage Finance 0.43
Total U.S. Corporate Bonds 8.62
- -------------------------------------------------------
Asset-Backed Securities 7.58
Commercial Mortgage-Backed Securities 5.27
Mortgage-Backed Securities 1.17
U.S. Government Obligations 4.18
Total U.S. Bonds 26.82
- -------------------------------------------------------
INTERNATIONAL BONDS
Capital Markets 0.37
Commercial Banks 1.15
Construction & Engineering 1.05
Oil & Gas 1.34
Total International Corporate Bonds 3.91
- -------------------------------------------------------
Foreign Governments Bonds 63.18
Total International Bonds 67.09
- -------------------------------------------------------
Rights 0.04
- -------------------------------------------------------
Short-Term Investments 3.53
- -------------------------------------------------------
Total Investments 97.48
- -------------------------------------------------------
Other assets in excess of liabilities 2.52
- -------------------------------------------------------
Net Assets 100.00%
- -------------------------------------------------------
</Table>
See accompanying notes to financial statements
15
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES -- NOVEMBER 30, 2004
<Table>
ASSETS:
Investments in securities of unaffiliated issuers, at value (cost--$213,405,860) $ 227,546,104
Investments in securities of a related entity, at value (cost--$5,960,465) 5,960,465
Cash 1,168,339
Foreign currency, at value (cost--$39,558) 41,114
Receivable for investments sold 2,817,224
Interest receivable 3,639,404
Other assets 6,596
Total assets 241,179,246
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Unrealized depreciation on forward foreign currency contracts 1,237,861
Payable to investment advisor and administrator 194,938
Directors fees payable 3,300
Accrued expenses and other liabilities 205,118
Total liabilities 1,641,217
- -------------------------------------------------------------------------------------------------
NET ASSETS:
Capital Stock--$0.001 par value; 100,000,000 shares authorized;
18,258,828 shares issued and outstanding 209,447,866
Undistributed net investment income 5,623,316
Accumulated net realized gain from investment transactions 11,447,773
Net unrealized appreciation of investments, forward foreign currency contracts,
futures, and other assets and liabilities denominated in foreign currencies 13,019,074
Net assets $ 239,538,029
Net asset value per share $ 13.12
- -------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
16
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
Statement of Operations
<Table>
<Caption>
FOR THE YEAR
ENDED
NOVEMBER 30, 2004
- -------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest income, net of foreign withholding taxes of $6,252
(includes $82,197 from a related entity) $ 12,673,135
EXPENSES:
Investment advisory fees 2,350,435
Custody and accounting fees 188,036
Professional fees 71,602
Reports and notices to shareholders 42,324
Transfer agency fees 25,262
Directors' fees 16,921
Other expenses 42,070
2,736,650
Net investment income 9,936,485
REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT ACTIVITIES:
Net realized gains from:
Investment transactions 11,990,912
Foreign currency transactions 18,168,929
Futures 1,281,120
Net change in unrealized appreciation/depreciation of:
Investments (14,265,005)
Other assets, liabilities and forward foreign currency contracts (197,265)
Net realized and unrealized gains from investment activities 16,978,691
- -------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 26,915,176
- -------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
17
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
Statement of Changes in Net Assets
<Table>
<Caption>
FOR THE YEARS ENDED NOVEMBER 30,
---------------------------------
2004 2003
- -----------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 9,936,485 $ 9,714,959
Net realized gains from investment transactions 11,990,912 6,689,013
Net realized gains from futures and foreign
currency transactions 19,450,049 3,825,112
Net change in unrealized appreciation/depreciation of:
Investments (14,265,005) 18,076,432
Other assets, liabilities and forward foreign
currency contracts (197,265) (787,961)
- -----------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 26,915,176 37,517,555
- -----------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income and net realized gains from
foreign currency transactions (23,479,026) (14,140,229)
Net realized gains -- (6,096,034)
Return of capital -- (3,107,648)
Total dividends and distributions to shareholders (23,479,026) (23,343,911)
Net increase in net assets 3,436,150 14,173,644
- -----------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of year 236,101,879 221,928,235
- -----------------------------------------------------------------------------------------------------
End of year $ 239,538,029 $ 236,101,879
- -----------------------------------------------------------------------------------------------------
Undistributed (distributions in excess of)
net investment income $ 5,623,316 $ (827,331)
- -----------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements
18
<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
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 it's 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 U.S. 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 on
the valuation date available 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 the
foreign currency exchange rates prevailing at the time of such valuation.
19
<Page>
Foreign currency exchange rates are generally determined prior to the close of
the 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. For purposes of calculating the U.S. equivalent value of a non-U.S. dollar
denominated obligation, 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
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 forward
contracts or (2) the Fund identifies cash or liquid securities in an amount not
less
20
<Page>
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 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 the U.S. 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 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
21
<Page>
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
ENTITIES
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 November 30, 2004 and for the year
ended November 30, 2004, 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 $ 148,300,090 $ 142,339,625 $ 82,197 $ 5,960,465 2.49%
</Table>
CAPITAL STOCK
There are 100,000,000 shares of $0.001 par value common stock authorized and
18,258,828 shares outstanding at November 30, 2004. For the years ended November
30, 2004 and 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 discount from
net asset value of 12.54%. At November 30, 2004, paid-in-capital has been
reduced by the cost of $34,013,476 of capital stock repurchased.
PURCHASES AND SALES OF SECURITIES
For the year ended November 30, 2004, aggregate purchases and sales of portfolio
securities, excluding short-term securities, were $424,682,253 and $420,025,691,
respectively.
22
<Page>
FEDERAL TAX STATUS
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 years ended November
30, 2004 and November 30, 2003 were as follows:
<Table>
<Caption>
DISTRIBUTIONS PAID FROM: 2004 2003
- --------------------------------------------------------------------------------
Net investment income $ 23,479,026 $ 16,347,710
Net realized gains -- 3,888,553
Return of capital -- 3,107,648
$ 23,479,026 $ 23,343,911
</Table>
At November 30, 2004, the components of accumulated earnings on a tax basis were
as follows:
<Table>
Undistributed ordinary income $ 11,552,421
Undistributed long-term capital gains 5,773,744
Other loss deferrals (532,637)
Net unrealized appreciation 13,296,635
Total accumulated earnings $ 30,090,163
</Table>
During the current fiscal year, the Fund had no capital loss carry-forwards to
offset current year gains.
For federal income tax purposes, the tax cost of investments and components of
net unrealized appreciation of investments at November 30, 2004 were as follows:
<Table>
Tax cost of investments $ 220,645,521
Gross appreciation (investments having an excess of value over cost) 13,903,500
Gross depreciation (investments having an excess of cost over value) (1,042,452)
Net unrealized appreciation of investments $ 12,861,048
</Table>
The difference between book-basis and tax-basis net unrealized appreciation of
investments is attributable to premium amortization adjustments and wash sales.
To reflect reclassifications arising from permanent "book/tax" differences for
the year ended November 30, 2004, accumulated undistributed net investment
income was increased by $19,993,188 and accumulated net realized gain from
investment activities was decreased by $19,993,188. These differences were
primarily due to tax treatment of foreign currency transactions, paydown gains
and losses and premium adjustments for certain debt obligations.
23
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
FINANCIAL HIGHLIGHTS
Selected data for a share of common stock outstanding thoughout each year is
presented below:
<Table>
<Caption>
FOR THE YEARS ENDED NOVEMBER 30,
---------------------------------------------------------------------------
2004 2003 2002+ 2001 2000
- ----------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF YEAR $ 12.93 $ 12.15 $ 11.99 $ 11.92 $ 12.56
Net investment income 0.54 0.53 0.52 0.72 0.85@
Net realized and unrealized
gains (losses) from investments,
futures and foreign currency
transactions 0.94 1.53 0.83 0.55 (0.41)@
Net increase from investment
operations 1.48 2.06 1.35 1.27 0.44
Dividends from net investment
income and net realized gains
from foreign currency
transactions (1.29) (0.78) (0.57) (0.55) (0.29)
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)
Distributions in excess of net
investment income -- -- -- -- (0.08)
Total dividends and distributions
to shareholder (1.29) (1.28) (1.19) (1.21) (1.21)
Net increase in net asset value
resulting from repurchase of
common stock -- -- -- 0.01 0.13
NET ASSET VALUE, END OF YEAR $ 13.12 $ 12.93 $ 12.15 $ 11.99 $ 11.92
MARKET PRICE PER SHARE,
END OF YEAR $ 14.60 $ 14.44 $ 12.84 $ 11.40 $ 10.13
TOTAL INVESTMENT RETURN(1) 10.89% 23.18% 24.39% 25.34% 13.75%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 239,538 $ 236,102 $ 221,928 $ 218,962 $ 219,674
Expenses to average net assets 1.16% 1.19% 1.18% 1.19% 1.19%
Net investment income to
average net assets 4.21% 4.15% 4.37% 5.94% 6.89%
Portfolio turnover 189% 49% 51% 29% 53%
</Table>
@ Calculated using average monthly shares outstanding for the year.
(1). Total investment return is calculated assuming a $10,000 purchase of common
stock at the current market price on the first day of each year reported
and a sale at the current market price on the last day of each year
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. Returns do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or sale of Fund shares.
+ 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.
24
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors and Shareholders of
Strategic Global Income Fund, Inc.
We have audited the accompanying statement of assets and liabilities of
Strategic Global Income Fund, Inc. (the "Fund"), including the portfolio of
investments, as of November 30, 2004, and the related statement of operations
for the year then ended, the statement of changes in net assets for each of the
two years in the period then ended and financial highlights for each of the
periods indicated therein. These financial statements and financial highlights
are the responsibility of the Fund's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements and financial
highlights. Our procedures included confirmation of securities owned as of
November 30, 2004 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Strategic Global Income Fund, Inc. at November 30, 2004, and the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for each of
the indicated periods, in conformity with U.S generally accepted accounting
principles.
/s/ Ernst & Young LLP
New York, New York
January 13, 2005
25
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
TAX INFORMATION (UNAUDITED)
Dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be
reported as taxable income. Some retirement trusts (e.g., corporate, Keogh and
403(b)(7) plans) may need this information for their annual reporting.
Since the Fund's fiscal year is not the calendar year, another
notification will be sent in respect of calendar year 2004. The second
notification, which will reflect the amount to be used by calendar year
taxpayers on their federal income tax returns, will be made in conjunction with
Form 1099 DIV and will be mailed in January 2005. Shareholders are advised to
consult their own tax advisors with respect to the tax consequences of their
investment in the Fund.
26
<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 $55.6 billion in assets under management as of November 30, 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.
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
website 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 Forms N-Q from the Fund
upon request by calling 1-800-647-1568.
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
You may obtain a description of the Fund's proxy voting policies and procedures,
and its proxy voting record, without charge, upon request by contacting the Fund
directly at 1-800-647-1568, online on the Fund's Web site:
www.ubs.com/ubsglobalam-proxy, or on the EDGAR Database on the SEC's website
(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
27
<Page>
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
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
28
<Page>
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 Fund's Board
will annually reassess the annualized percentage of net assets at which the
Fund's monthly distributions will be made.
29
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
SUPPLEMENTAL INFORMATION (UNAUDITED)
BOARD OF DIRECTORS & OFFICERS
The Fund is governed by a Board of Directors which oversees the Fund's
operations. Each director serves until the next annual meeting of shareholders
or until his or her successor is elected and qualified, or until he or she
resigns or is otherwise removed. Officers are appointed by the directors and
serve at the pleasure of the Board. The table below shows, for each director and
officer, his or her name, address and age, the position held with the Fund, the
length of time served as a director and officer of the Fund, the director's or
officer's principal occupations during the last five years, the number of funds
in the UBS fund complex overseen by the director or for which a person served as
an officer, and other directorships held by the director.
INTERESTED DIRECTORS
<Table>
<Caption>
TERM OF
OFFICE+ AND
POSITION(S) LENGTH OF
NAME, ADDRESS, HELD WITH TIME PRINCIPAL OCCUPATION(S)
AND AGE FUND SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------
Margo N. Alexander*++; 57 Director Since 1996 Mrs. Alexander is retired. She was an
executive vice president of UBS
Financial Services Inc. (March 1984 to
December 2002). She was chief executive
officer (from January 1995 to October
2000), a director (from January 1995 to
September 2001) and chairman (from March
1999 to September 2001) of UBS Global AM
(formerly known as Mitchell Hutchins
Asset Management Inc.)
</Table>
30
<Page>
<Table>
<Caption>
NUMBER OF
NAME, ADDRESS, PORTFOLIOS IN FUND COMPLEX OTHER DIRECTORSHIPS
AND AGE OVERSEEN BY DIRECTOR HELD BY DIRECTOR
- --------------------------------------------------------------------------------------------------------------------
Margo N. Alexander*++; 57 Mrs. Alexander is a director or trustee None
of 16 investment companies (consisting
of 33 portfolios) for which UBS Global
AM or one of its affiliates serves as
investment advisor, sub-advisor or
manager.
</Table>
31
<Page>
INDEPENDENT DIRECTORS
<Table>
<Caption>
TERM OF
OFFICE+ AND
POSITION(S) LENGTH OF
NAME, ADDRESS, HELD WITH TIME PRINCIPAL OCCUPATION(S)
AND AGE FUND SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------
Richard Q. Armstrong; 69 Director Since 1996 Mr. Armstrong is chairman and principal
c/o Willkie Farr & and of R.Q.A. Enterprises (management
Gallagher LLP Chairman consulting firm) (since April 1991 and
787 Seventh Avenue of the principal occupation since March 1995).
New York, NY 10019-6099 Board of
Directors
David J. Beaubien; 70 Director Since 2001 Mr. Beaubien is retired (since 2003). He
84 Doane Road was chairman of Yankee Environmental
Ware, MA 01082 Systems, Inc., a manufacturer of
meteorological measuring systems (since
1991).
Richard R. Burt; 57 Director Since 1996 Mr. Burt is chairman of Diligence LLC
1275 Pennsylvania Ave., N.W. (international information collection and
Washington, D.C. 20004 risk management) and IEP Advisors (international
investments and consulting firm).
Meyer Feldberg; 62 Director Since 1992 Professor Feldberg is Dean Emeritus and
Columbia Business School Sanford Bernstein Professor of
33 West 60th Street Leadership and Ethics at Columbia
7th Floor Business School. Prior to July 2004, he
New York, New York was Dean and Professor of Management of
10023-7905 the Graduate School of Business at
Columbia University (since 1989).
</Table>
32
<Page>
<Table>
<Caption>
NUMBER OF
NAME, ADDRESS, PORTFOLIOS IN FUND COMPLEX OTHER DIRECTORSHIPS
AND AGE OVERSEEN BY DIRECTOR HELD BY DIRECTOR
- --------------------------------------------------------------------------------------------------------------------
Richard Q. Armstrong; 69 Mr. Armstrong is a director or trustee None
c/o Willkie Farr & of 16 investment companies (consisting
Gallagher LLP of 33 portfolios) for which UBS Global
787 Seventh Avenue AM or one of its affiliates serves as
New York, NY 10019-6099 investment advisor, sub-advisor or
manager.
David J. Beaubien; 70 Mr. Beaubien is a director or trustee of Mr. Beaubien is also a director of IEC
84 Doane Road 16 investment companies (consisting of Electronics, Inc., a manufacturer of
Ware, MA 01082 33 portfolios) for which UBS Global AM electronic assemblies.
or one of its affiliates serves as
investment advisor, sub-advisor or
manager.
Richard R. Burt; 57 Mr. Burt is a director or trustee of 16 Mr. Burt is also a director of Hollinger
1275 Pennsylvania Ave., N.W. investment companies (consisting of 33 International, Inc. (publishing), HCL
Washington, D.C. 20004 portfolios) for which UBS Global AM or Technologies, Ltd. (software and
one of its affiliates serves as information technologies), The Central
investment advisor, sub-advisor or European Fund, Inc., The Germany Fund,
manager. Inc., IGT, Inc. (provides technology to
gaming and wagering industry) and
chairman of Weirton Steel Corp. (makes
and finishes steel products). He is also
a director or trustee of funds in the
Scudder Mutual Funds Family (consisting
of 52 portfolios).
Meyer Feldberg; 62 Professor Feldberg is a director or Professor Feldberg is also a director of
Columbia Business School trustee of 31 investment companies Primedia Inc. (publishing), Federated
33 West 60th Street (consisting of 48 portfolios) for which Department Stores, Inc. (operator of
7th Floor UBS Global AM or one of its affiliates department stores), Revlon, Inc.
New York, New York serves as investment advisor, (cosmetics), Select Medical Inc.
10023-7905 sub-advisor or manager. (healthcare services) and SAPPI, Ltd.
(producer of paper).
</Table>
33
<Page>
<Table>
<Caption>
TERM OF
OFFICE+ AND
POSITION(S) LENGTH OF
NAME, ADDRESS, HELD WITH TIME PRINCIPAL OCCUPATION(S)
AND AGE FUND SERVED DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------
Carl W. Schafer; 69 Director Since 1996 Mr. Schafer is president of the Atlantic
66 Witherspoon Street Foundation (charitable foundation)
#1100 (since 1990).
Princeton, NJ 08542
William D. White; 71 Director Since 2001 Mr. White is retired (since 1994).
P.O. Box 199
Upper Black Eddy, PA 18972
</Table>
34
<Page>
<Table>
<Caption>
NUMBER OF
NAME, ADDRESS, PORTFOLIOS IN FUND COMPLEX OTHER DIRECTORSHIPS
AND AGE OVERSEEN BY DIRECTOR HELD BY DIRECTOR
- --------------------------------------------------------------------------------------------------------------------
Carl W. Schafer; 69 Mr. Schafer is a director or trustee of Mr. Schafer is also a director of Labor
66 Witherspoon Street 16 investment companies (consisting of Ready, Inc. (temporary employment),
#1100 33 portfolios) for which UBS Global AM Guardian Life Insurance Company Mutual
Princeton, NJ 08542 or one of its affiliates serves as Funds (consisting of 25 portfolios), the
investment advisor, sub-advisor or Harding, Loevner Funds (consisting of 3
manager. portfolios), E.I.I. Realty Securities
Trust (consisting of 2 portfolios) and
Frontier Oil Corporation.
William D. White; 71 Mr. White is a director or trustee of 16 None
P.O. Box 199 investment companies (consisting of 33
Upper Black Eddy, PA 18972 portfolios) for which UBS Global AM or
one of its affiliates serves as
investment advisor, sub-advisor or
manager.
</Table>
35
<Page>
OFFICERS
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE THE FUND SERVED SERVES AS OFFICER
- ----------------------------------------------------------------------------------------------------------
W. Douglas Beck*; Vice President Since 2003 Mr. Beck is an executive director and
37 head of product management of UBS Global
AM (since 2002). From March 1998 to
November 2002, he held various positions
at Merrill Lynch, the most recent being
first vice president and co-manager of
the managed solutions group. Mr. Beck is
vice president of 20 investment
companies (consisting of 75 portfolios)
for which UBS Global AM or one of its
affiliates serves as investment advisor,
sub-advisor or manager.
James Capezzuto*; Vice President Since 2004 Mr. Capezzuto is director and associate
41 and Assistant general counsel at UBS Global AM (since
Secretary 2004). Prior to joining UBS Global AM he
was senior vice president, senior
compliance manager at Bank of America
(from 2003-2004) prior to that he was
general counsel at Steinberg Priest &
Sloane and prior to that he was director
and senior counsel at Deutsche Asset
Management (from 1996-2002.)
Mr. Capezzuto is a vice president and
assistant secretary of 20 investment
companies (consisting of 75 portfolios)
for which UBS Global AM or one of its
affiliates serves as investment advisor,
sub-advisor or manager.
Thomas Disbrow*; Vice President Since 2000 Mr. Disbrow is a director and co-head of
38 and Treasurer (Vice President) the mutual fund finance department of
Since 2004 UBS Global AM. Prior to November 1999,
(Treasurer) he was a vice president of Zweig/Glaser
Advisers. Mr. Disbrow is a vice
president and treasurer of 16 investment
companies (consisting of 33 portfolios)
and vice president and assistant
treasurer of four investment companies
(consisting of 42 portfolios) for which
UBS Global AM or one of its affiliates
serves as investment advisor,
sub-advisor or manager.
</Table>
36
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- ----------------------------------------------------------------------------------------------------------
Mark F. Kemper+++; Vice President Since 2004 Mr. Kemper is general counsel of UBS
46 and Secretary Global Asset Management -- Americas
region (since July 2004). Mr. Kemper
also is an executive director of UBS
Global Asset Management (Americas) Inc.
("UBS Global AM (Americas)") and was its
deputy general counsel from July 2001 to
July 2004. He has been secretary of UBS
Global AM (Americas) since 1999 and
assistant secretary of UBS Global Asset
Management Trust Company since 1993.
Mr. Kemper is secretary of UBS Global AM
(since 2004). Mr. Kemper is vice
president and secretary of 20 investment
companies (consisting of 75 portfolios)
for which UBS Global AM (Americas) or
one of its affiliates serves as
investment advisor, sub-advisor or
manager.
Joanne M. Kilkeary*; Vice President Since 2004 Ms. Kilkeary is an associate director
36 and Assistant and a senior manager of the mutual fund
Treasurer finance department of UBS Global AM.
Ms. Kilkeary is a vice president and
assistant treasurer of 16 investment
companies (consisting of 33 portfolios)
for which UBS Global AM or one of its
affiliates serves as investment advisor,
sub-advisor or manager.
Joseph T. Malone*; Vice President Since 2004 Mr. Malone is a director and co-head of
37 and Assistant the mutual fund finance department of
Treasurer UBS Global AM. From August 2000 through
June 2001, he was the controller at AEA
Investors Inc. From March 1998 to August
2000, Mr. Malone was a manager within
the investment management services
practice of PricewaterhouseCoopers LLC.
Mr. Malone is vice president and
assistant treasurer of 16 investment
companies (consisting of 33 portfolios)
and vice president, treasurer and
principal accounting officer of four
investment companies (consisting of 42
portfolios) for which UBS Global AM or
one of its affiliates serves as
investment advisor, sub-advisor or
manager.
</Table>
37
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE TRUST SERVED SERVES AS OFFICER
- ----------------------------------------------------------------------------------------------------------
Joseph McGill*; Vice President Since 2004 Mr. McGill is an executive director and
42 and Chief chief compliance officer at UBS Global
Compliance AM and UBS Global AM (Americas) (since
Officer 2003). Prior to joining UBS Global AM he
was Assistant General Counsel, J.P.
Morgan Investment Management (from
1999-2003). Mr. McGill is a vice
president and chief compliance officer
of 20 investment companies (consisting
of 75 portfolios) for which UBS Global
AM or one of its affiliates serves as
investment advisor, sub-advisor or
manager.
John Penicook+++; Vice President Since 2002 Mr. Penicook is a managing director and
46 global head of fixed income of UBS
Global AM (Americas) Inc. and UBS Global
AM. Mr. Penicook is a vice president of
three investment companies (consisting
of three portfolios) for which UBS
Global AM or one of its affiliates
serves as investment advisor,
sub-advisor or manager.
Uwe Schillhorn+++; Vice President Since 2004 Mr. Schillhorn is a director (since
40 1995), and head of emerging markets debt
(since 2004) of UBS Global AM (Americas)
and UBS Global AM. Mr. Schillhorn is a
vice president of two investment
companies (consisting of two portfolios)
for which UBS Global AM or one of its
affiliates serves as investment advisor,
sub-advisor or manager.
</Table>
38
<Page>
<Table>
<Caption>
TERM OF PRINCIPAL OCCUPATION(S)
OFFICE+ AND DURING PAST 5 YEARS;
POSITION(S) LENGTH OF NUMBER OF PORTFOLIOS IN
NAME, ADDRESS, HELD WITH TIME FUND COMPLEX FOR WHICH PERSON
AND AGE THE FUND SERVED SERVES AS OFFICER
- ----------------------------------------------------------------------------------------------------------
Joseph A. Varnas*; President Since 2003 Mr. Varnas is a managing director (since
37 March 2003), global head of information
technology and operations (since March
2004) and head of product
management--Americas (since November
2002) of UBS Global AM. He was head of
technology of UBS Global AM from
November 2002 to March 2004. From 2000
to 2001, he was manager of product
development in Investment Consulting
Services at UBS Financial Services Inc.
Mr. Varnas was a senior analyst in the
Global Securities Research and Economics
Group at Merrill Lynch from 1995 to
1999. Mr. Varnas is president of 20
investment companies (consisting of 75
portfolios) for which UBS Global AM or
one of its affiliates serves as
investment advisor, sub-advisor or
manager.
Keith A. Weller*; Vice President Since 1995 Mr. Weller is a director and associate
43 and Assistant general counsel of UBS Global AM. Mr.
Secretary Weller is a vice president and assistant
secretary of 20 investment companies
(consisting of 75 portfolios) for which
UBS Global AM or one of its affiliates
serves as investment advisor,
sub-advisor or manager.
</Table>
- -------------
* This person's business address is 51 West 52nd Street, New York, New York
10019-6114.
+ Each Director serves until the next annual meeting of shareholders or until
his or her successor is elected and qualified, or until he or she resigns
or is otherwise removed. Each Director who has attained the age of
seventy-two (72) years will be subject to retirement on the last day of the
month in which he or she attains such age. Officers of the Fund are
appointed by the Directors and serve at the pleasure of the Board.
++ Mrs. Alexander is an "interested person" of the Fund as defined in the 1940
Act by virtue of her former positions with UBS Global AM and/or its
affiliates.
+++ This person's business address is One North Wacker Drive, Chicago, IL
60606.
39
<Page>
STRATEGIC GLOBAL INCOME FUND, INC.
NEW YORK STOCK EXCHANGE CERTIFICATIONS (UNAUDITED)
Strategic Global Income Fund, Inc. (the "Fund") is listed on the New York Stock
Exchange ("NYSE"). As a result, it is subject to certain corporate governance
rules and related interpretations issued by the exchange. Pursuant to those
requirements, the Fund must include information in this report regarding certain
certifications. The Fund's president and treasurer have filed certifications
with the SEC regarding the quality of the Fund's public disclosure. Those
certifications were made pursuant to Section 302 of the Sarbanes-Oxley Act
("Section 302 Certifications"). The Section 302 Certifications were filed as
exhibits to the Fund's annual report on Form N-CSR, which included a copy of
this annual report along with other information about the Fund. After the Fund's
2004 annual meeting of shareholders, it filed a certification with the NYSE on
April 13, 2004, stating that its president was unaware of any violation of the
NYSE's Corporate Governance listing standards.
40
<Page>
DIRECTORS
Richard Q. Armstrong
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 Disbrow
VICE PRESIDENT AND TREASURER
W. Douglas Beck
VICE PRESIDENT
John Penicook
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.
(C) 2004 UBS GLOBAL ASSET MANAGEMENT (US) INC. ALL RIGHTS RESERVED.
<Page>
[UBS LOGO] Presorted
Standard
US Postage
PAID
Smithtown, NY
Permit 700
UBS GLOBAL ASSET MANAGEMENT (US) INC.
51 West 52nd Street
New York, New York 10019
<Page>
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to its principal
executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions pursuant to Section 406 of
the Sarbanes-Oxley Act of 2002. (The registrant has designated the code of
ethics adopted pursuant to Sarbanes-Oxley as a "Code of Conduct" to lessen the
risk of confusion with its separate code of ethics adopted pursuant to Rule
17j-1 under the Investment Company Act of 1940, as amended.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board has determined that the following person serving on the
registrant's Audit Committee is an "audit committee financial expert" as defined
in item 3 of Form N-CSR: Richard Q. Armstrong. Mr. Armstrong is independent as
defined in item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES:
For the fiscal years ended November 30, 2004 and November 30,
2003, the aggregate Ernst & Young LLP (E&Y) audit fees for
professional services rendered to the registrant were
approximately $47,300 and $43,000, respectively.
Fees included in the audit fees category are those associated with
the annual audits of financial statements and services that are
normally provided in connection with statutory and regulatory
filings.
(b) AUDIT-RELATED FEES:
In each of the fiscal years ended November 30, 2004 and November
30, 2003, the aggregate audit-related fees billed by E&Y for
services rendered to the registrant that are reasonably related to
the performance of the audits of the financial statements, but not
reported as audit fees, were approximately $3,500 and $4,618,
respectively, which includes amounts related to non-audit services
prior to May 6, 2003 that would have been subject to pre-approval
if the SEC rules relating to the pre-approval of non-audit
services had been in effect at that time.
Fees included in the audit-related category are those associated
with (1) the reading and providing of comments on the 2004 and
2003 semiannual financial statements, (2) review of portions of
the registrant's semiannual 2003 Form N-SAR filing and (3) review
of the consolidated 2003 and 2002 report on UBS Funds'
profitability of UBS Global Asset Management (US) Inc. ("UBS
Global AM") and UBS Financial Services, Inc. to assist the board
members in their annual advisory/administration contract reviews.
There were no audit-related fees required to be approved pursuant
to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the
fiscal years indicated above.
<Page>
(c) TAX FEES:
In each of the fiscal years ended November 30, 2004 and November
30, 2003, the aggregate tax fees billed by E&Y for professional
services rendered to the registrant were approximately $11,300 and
$12,750, respectively, which includes amounts related to tax
services prior to May 6, 2003 that would have been subject to
pre-approval if the SEC rules relating to the pre-approval of
non-audit services had been in effect at that time.
Fees included in the tax fees category comprise all services
performed by professional staff in the independent accountant's
tax division except those services related to the audits. This
category comprises fees for tax return preparation and review of
excise tax calculations.
There were no tax fees required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the
fiscal years indicated above.
(d) ALL OTHER FEES:
In each of the fiscal years ended November 30, 2004 and November
30, 2003, there were no fees billed by E&Y for products and
services, other than the services reported in Item 4(a)-(c) above,
rendered to the registrant.
Fees included in the all other fees category would consist of
services related to internal control reviews, strategy and other
consulting, financial information systems design and
implementation, consulting on other information systems, and other
tax services unrelated to the registrant.
There were no "all other fees" required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the
fiscal years indicated above.
(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES:
The registrant's Audit Committee ("audit committee") has
adopted an "Audit Committee Charter (Amended and Restated as
of May 12, 2004)" (the "charter"). The charter contains the
audit committee's pre-approval policies and procedures.
Reproduced below is an excerpt from the charter regarding
pre-approval policies and procedures:
The [audit ]Committee shall:
...
2. Pre-approve (a) all audit and permissible
non-audit services(1) to be provided to the Fund
and (b) all permissible non-audit services to be
provided by the Fund's independent auditors to UBS
Global [AM] and any Covered Service Providers, if
the engagement relates directly to the operations
and financial reporting of the Fund. In carrying
out this responsibility, the Committee shall seek
periodically from UBS Global [AM] and from the
independent auditors a list of such audit and
permissible non-audit services that can be
expected to be rendered to the Fund, UBS Global
[AM] or any Covered Service Providers by the
Fund's independent auditors, and an estimate of
the fees sought to be paid in connection with such
services. The Committee may delegate its
responsibility to pre-approve any such audit and
permissible non-audit services to a sub-committee
consisting of the Chairperson of the
<Page>
Committee and two other members of the Committee
as the Chairperson, from time to time, may
determine and appoint, and such sub-committee
shall report to the Committee, at its next
regularly scheduled meeting after the
sub-committee's meeting, its decision(s). From
year to year, the Committee shall report to the
Board whether this system of pre-approval has been
effective and efficient or whether this Charter
should be amended to allow for pre-approval
pursuant to such policies and procedures as the
Committee shall approve, including the delegation
of some or all of the Committee's pre-approval
responsibilities to other persons (other than UBS
Global [AM] or the Fund's officers).
- ----------
(1) The Committee will not approve non-audit
services that the Committee believes may taint
the independence of the auditors. Currently,
permissible non-audit services include any
professional services (including tax services)
that are not prohibited services as described
below, provided to the Fund by the independent
auditors, other than those provided to the
Fund in connection with an audit or a review
of the financial statements of the Fund.
Permissible non-audit services may NOT
include: (i) bookkeeping or other services
related to the accounting records or financial
statements of the Fund; (ii) financial
information systems design and implementation;
(iii) appraisal or valuation services,
fairness opinions or contribution-in-kind
reports; (iv) actuarial services; (v) internal
audit outsourcing services; (vi) management
functions or human resources; (vii) broker or
dealer, investment adviser or investment
banking services; (viii) legal services and
expert services unrelated to the audit; and
(ix) any other service the Public Company
Accounting Oversight Board determines, by
regulation, is impermissible.
Pre-approval by the Committee of any
permissible non-audit services is not required
so long as: (i) the aggregate amount of all
such permissible non-audit services provided
to the Fund, UBS Global [AM] and any service
providers controlling, controlled by or under
common control with UBS Global [AM] that
provide ongoing services to the Fund ("Covered
Service Providers") constitutes not more than
5% of the total amount of revenues paid to the
independent auditors (during the fiscal year
in which the permissible non-audit services
are provided) by (a) the Fund, (b) its
investment adviser and (c) any entity
controlling, controlled by, or under common
control with the investment adviser that
provides ongoing services to the Fund during
the fiscal year in which the services are
provided that would have to be approved by the
Committee; (ii) the permissible non-audit
services were not recognized by the Fund at
the time of the engagement to be non-audit
services; and (iii) such services are promptly
brought to the attention of the Committee and
approved by the Committee (or its delegate(s))
prior to the completion of the audit.
<Page>
(e) (2) Services approved pursuant to paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X:
AUDIT-RELATED FEES:
There were no amounts that were approved by the audit
committee pursuant to the de minimis exception for the
fiscal years ended November 30, 2004 and November 30,
2003 on behalf of the registrant.
There were no amounts that were required to be approved
by the audit committee pursuant to the de minimis
exception for the fiscal years ended November 30, 2004
and November 30, 2003 on behalf of the registrant's
service providers that relate directly to the
operations and financial reporting of the registrant.
TAX FEES:
There were no amounts that were approved by the audit
committee pursuant to the de minimis exception for the
fiscal years ended November 30, 2004 and November 30,
2003 on behalf of the registrant.
There were no amounts that were required to be approved
by the audit committee pursuant to the de minimis
exception for the fiscal years ended November 30, 2004
and November 30, 2003 on behalf of the registrant's
service providers that relate directly to the
operations and financial reporting of the registrant.
ALL OTHER FEES:
There were no amounts that were approved by the audit
committee pursuant to the de minimis exception for the
fiscal years ended November 30, 2004 and November 30,
2003 on behalf of the registrant.
There were no amounts that were required to be approved
by the audit committee pursuant to the de minimis
exception for the fiscal years ended November 30, 2004
and November 30, 2003 on behalf of the registrant's
service providers that relate directly to the
operations and financial reporting of the registrant.
(f) According to E&Y, for the fiscal year ended November 30, 2004, the
percentage of hours spent on the audit of the registrant's
financial statements for the most recent fiscal year that were
attributed to work performed by persons who are not full-time,
permanent employees of E&Y was 0%.
(g) For the fiscal years ended November 30, 2004 and November 30,
2003, the aggregate fees billed by E&Y of $3,372,641 and
$3,299,487, respectively, for non-audit services rendered on
behalf of the registrant ("covered"), its investment adviser (not
including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another
investment adviser) and any entity controlling, controlled by, or
under common control with the adviser ("non-covered") that
provides ongoing services to the registrant for each of the last
two fiscal years of the registrant is shown in the table below:
<Table>
<Caption>
2004 2003
----------- -----------
Covered Services $ 14,800 $ 17,368
Non-Covered Services 3,357,841 3,282,119
</Table>
(h) The registrant's audit committee was not required to consider
whether the provision of non-audit services that were rendered to
the registrant's investment adviser (not including any
<Page>
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and
any entity controlling, controlled by, or under common control
with the investment adviser that provides ongoing services to the
registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately designated standing audit committee (the "Audit
Committee") established in accordance with Section 3(a)(58)(A) of the Securities
Exchange Act of 1934, as amended. The Audit Committee is comprised of the
following board members: Mr. Armstrong, Mr. Beaubien, Mr. Burt, Mr. Feldberg and
Mr. White.
ITEM 6. SCHEDULE OF INVESTMENTS
Included as part of the report to shareholders filed under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant's Board of Directors believes that the voting of proxies on
securities held by the registrant is an important element of the overall
investment process. As such, the Board has delegated the responsibility to vote
such proxies to the registrant's advisor. Following is a summary of the proxy
voting policy of the advisor.
CORPORATE GOVERNANCE PHILOSOPHY, VOTING GUIDELINES AND POLICY SUMMARY
The proxy voting policy of UBS Global AM is based on its belief that voting
rights have economic value and must be treated accordingly. Generally, UBS
Global AM expects the boards of directors of companies issuing securities held
by its clients to act as stewards of the financial assets of the company, to
exercise good judgment and practice diligent oversight with the management of
the company. While there is no absolute set of rules that determines appropriate
corporate governance under all circumstances and no set of rules will guarantee
ethical behavior, there are certain benchmarks, which, if substantial progress
is made toward, give evidence of good corporate governance. UBS Global AM may
delegate to an independent proxy voting and research service the authority to
exercise the voting rights associated with certain client holdings. Any such
delegation shall be made with the direction that the votes be exercised in
accordance with UBS Global AM's proxy voting policy.
When UBS Global AM's view of a company's management is favorable, UBS Global AM
generally supports current management initiatives. When UBS Global AM's view is
that changes to the management structure would probably increase shareholder
value, UBS Global AM may not support existing management proposals. In general,
UBS Global AM (1) opposes proposals which act to entrench management; (2)
believes that boards should be independent of company management and composed of
persons with requisite skills, knowledge and experience; (3) opposes structures
which impose financial constraints on changes in control; (4) believes
remuneration should be commensurate with responsibilities and performance; and
(5) believes that appropriate steps should be taken to ensure the independence
of auditors.
<Page>
UBS Global AM has implemented procedures designed to identify whether it has a
conflict of interest in voting a particular proxy proposal, which may arise as a
result of its or its affiliates' client relationships, marketing efforts or
banking and broker/dealer activities. To address such conflicts, UBS Global AM
has imposed information barriers between it and its affiliates who conduct
banking, investment banking and broker/dealer activities and has implemented
procedures to prevent business, sales and marketing issues from influencing our
proxy votes. Whenever UBS Global AM is aware of a conflict with respect to a
particular proxy, its appropriate local corporate governance committee is
required to review and agree to the manner in which such proxy is voted.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Form N-CSR disclosure requirement not yet effective with respect to the
registrant.
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 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, Professor 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 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 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.
<Page>
ITEM 12. EXHIBITS.
(a) (1) Code of Ethics as required pursuant to Section 406 of the
Sarbanes-Oxley Act of 2002 (and designated by registrant as a "Code of
Conduct") is incorporated by reference herein from Exhibit EX-99 CODE
ETH to the registrant's Report on Form N-CSR filed February 05, 2004
(Accession Number: 0001206774-04-000032)(SEC File No. 811-06475).
(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.
(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 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: January 28, 2005
----------------
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: January 28, 2005
----------------
By: /s/ Thomas Disbrow
------------------
Thomas Disbrow
Treasurer
Date: January 28, 2005
----------------