N-Q 1 d797335dnq.htm STRATEGIC GLOBAL INCOME FUND, INC. Strategic Global Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-06475

 

 

Strategic Global Income Fund, Inc.

 

 

(Exact name of registrant as specified in charter)

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

 

 

(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.

UBS Global Asset Management

1285 Avenue of the Americas

New York, NY 10019-6028

(Name and address of agent for service)

Copy to:

Jack W. Murphy, Esq.

Dechert LLP

1900 K Street, NW

Washington, DC 20006

 

 

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2014

Item 1.  Schedule of Investments

Strategic Global Income Fund, Inc.

 

Industry diversification (unaudited)

As a percentage of net assets

As of August 31, 2014

 

 

  

Bonds

   

Corporate bonds

   

Aerospace & defense

      0.06 % 

Automobiles

      0.73  

Banks

      12.21  

Building products

      0.02  

Capital markets

      1.07  

Chemicals

      0.22  

Commercial services & supplies

      0.10  

Construction materials

      2.57  

Consumer finance

      1.30  

Diversified financial services

      4.01  

Diversified telecommunication services

      0.18  

Electric utilities

      1.05  

Electronic equipment, instruments & components

      0.03  

Energy equipment & services

      0.31  

Food & staples retailing

      0.34  

Gas utilities

      0.21  

Health care providers & services

      0.06  

Health care technology

      0.03  

Hotels, restaurants & leisure

      0.07  

Independent power and renewable electricity producers

      0.07  

Insurance

      3.31  

Machinery

      0.93  

Media

      1.29  

Metals & mining

      2.78  

Oil, gas & consumable fuels

      7.94  

Paper & forest products

      0.10  

Pharmaceuticals

      0.05  

Real estate investment trust (REIT)

      0.01  

Road & rail

      0.58  

Specialty retail

      0.02  

Tobacco

      0.14  

Trading companies & distributors

      0.33  

Transportation infrastructure

      1.38  

Wireless telecommunication services

      0.22  
  

 

 

  

Total corporate bonds

      43.72 % 

Asset-backed securities

      1.27  

Collateralized debt obligations

      5.52  

Commercial mortgage-backed securities

      6.49  

Mortgage & agency debt securities

      5.38  

Municipal bonds

      2.70  

US government obligations

      3.98  

Non-US government obligations

      24.34  

Structured note

      0.37  

Supranational bonds

      2.92  
  

 

 

  

Total bonds

      96.69 % 

Common stock

      0.03  

Short-term investment

      2.51  

Options purchased

      0.31  
  

 

 

  

Total investments

      99.54 % 

Cash and other assets, less liabilities

      0.46   
  

 

 

  

Net assets

      100.00 % 
  

 

 

  
 

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds: 96.69%

      

Corporate bonds: 43.72%

  

Australia: 0.50%

  

Sydney Airport Finance Co., Pty Ltd.,

      

8.000%, due 07/06/15

    AUD     1,000,000      $ 968,422  
     

 

 

  

Brazil: 3.67%

      

Banco do Brasil SA,

      

9.000%, due 06/18/241,2,3

    $ 795,000        798,975  

Caixa Economica Federal,

      

2.375%, due 11/06/171

      1,050,000        1,016,925  

Centrais Eletricas Brasileiras SA,

      

5.750%, due 10/27/214

      1,500,000        1,553,250  

Petrobras Global Finance BV,

      

4.375%, due 05/20/23

      1,100,000        1,084,556  

6.250%, due 03/17/24

      600,000        657,403  

Petrobras International Finance Co.,

      

5.375%, due 01/27/21

      1,000,000        1,052,200  

6.750%, due 01/27/41

      800,000        892,909  

Vale Overseas Ltd.,

      

6.875%, due 11/21/36

      50,000        58,943  
     

 

 

  
        7,115,161  
     

 

 

  

Canada: 0.75%

      

Barrick Gold Corp.,

      

3.850%, due 04/01/22

      600,000        608,865  

Teck Resources Ltd.,

      

6.250%, due 07/15/41

      65,000        71,814  

Yamana Gold, Inc.,

      

4.950%, due 07/15/241

      750,000        766,687  
     

 

 

  
        1,447,366  
     

 

 

  

China: 0.36%

      

China Oil & Gas Group Ltd.,

      

5.250%, due 04/25/181

      400,000        412,000  

China Shanshui Cement Group Ltd.,

      

10.500%, due 04/27/174

      260,000        279,500  
     

 

 

  
        691,500  
     

 

 

  

Croatia: 0.34%

      

Agrokor DD,

      

8.875%, due 02/01/201

      600,000        665,472  
     

 

 

  

France: 1.29%

      

Credit Agricole SA,

      

7.875%, due 01/23/241,2,3

      550,000        593,313  

Numericable Group SA,

      

6.250%, due 05/15/241

      200,000        206,250  

Reseau Ferre de France,

      

5.500%, due 12/01/214

    GBP 860,000        1,708,420  
     

 

 

  
        2,507,983  
     

 

 

  

Georgia: 0.20%

      

Georgian Railway JSC,

      

7.750%, due 07/11/224

    $ 350,000        393,750  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Corporate bonds — (continued)

  

Germany: 1.42%

      

HeidelbergCement Finance BV,

      

8.500%, due 10/31/194

    EUR 800,000      $ 1,360,272  

Unitymedia GmbH,

      

9.625%, due 12/01/194

          1,000,000        1,397,938  
     

 

 

  
        2,758,210  
     

 

 

  

Indonesia: 0.70%

      

Pertamina Persero PT,

      

6.000%, due 05/03/424

    $ 1,350,000        1,358,775  
     

 

 

  

Kazakhstan: 0.91%

      

Kazakhstan Temir Zholy Finance BV,

      

6.950%, due 07/10/424

      650,000        732,875  

Kazatomprom Natsionalnaya Atomnaya
Kompaniya AO,

      

6.250%, due 05/20/154

      1,000,000        1,031,250  
     

 

 

  
        1,764,125  
     

 

 

  

Luxembourg: 0.72%

      

Altice SA,

      

7.750%, due 05/15/221

      200,000        212,500  

ArcelorMittal,

      

5.000%, due 02/25/17

      1,000,000        1,046,250  

Intelsat Jackson Holdings SA,

      

7.250%, due 10/15/20

      125,000        133,750  
     

 

 

  
        1,392,500  
     

 

 

  

Malaysia: 0.30%

      

SSG Resources Ltd.,

      

4.250%, due 10/04/224

      560,000        574,846  
     

 

 

  

Mexico: 1.34%

      

Cemex SAB de CV,

      

5.875%, due 03/25/191

      350,000        366,625  

9.000%, due 01/11/181

      2,110,000        2,241,875  
     

 

 

  
        2,608,500  
     

 

 

  

Morocco: 0.22%

      

OCP SA,

      

5.625%, due 04/25/241

      400,000        423,500  
     

 

 

  

Netherlands: 2.22%

      

EDP Finance BV,

      

4.900%, due 10/01/191

      1,400,000        1,466,556  

6.000%, due 02/02/181

      1,000,000        1,086,030  

FBN Finance Co. BV,

      

8.000%, due 07/23/211,2

      1,050,000        1,061,812  

Generali Finance BV,

      

6.214%, due 06/16/162,3

    GBP 400,000         687,302  
     

 

 

  
        4,301,700  
     

 

 

  

Norway: 0.97%

      

Eksportfinans ASA,

      

5.500%, due 06/26/17

    $ 1,750,000        1,881,250  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Corporate bonds — (continued)

  

Russia: 2.31%

      

RSHB Capital SA for OJSC Russian
Agricultural Bank,

      

7.750%, due 05/29/184

    $ 1,900,000      $ 1,949,875  

VEB Finance Ltd.,

      

6.800%, due 11/22/254

      900,000        840,375  

6.902%, due 07/09/204

      300,000        293,250  

VTB Capital SA,

      

6.950%, due 10/17/224

      1,500,000        1,393,125  
     

 

 

  
        4,476,625  
     

 

 

  

South Africa: 0.25%

  

Eskom Holdings SOC Ltd.,

      

6.750%, due 08/06/234

      450,000        479,250  
     

 

 

  

Sri Lanka: 0.76%

  

National Savings Bank,

      

8.875%, due 09/18/184

      1,300,000        1,480,375  
     

 

 

  

Switzerland: 0.24%

  

Credit Suisse Group AG,

      

6.250%, due 12/18/241,2,3

      465,000        462,675  
     

 

 

  

Turkey: 1.14%

  

Turkiye Halk Bankasi AS,

      

3.875%, due 02/05/204

      1,800,000        1,712,250  

Turkiye Vakiflar Bankasi Tao,

      

5.000%, due 10/31/184

      500,000        509,375  
     

 

 

  
        2,221,625  
     

 

 

  

Ukraine: 0.44%

  

Naftogaz Ukraine,

      

9.500%, due 09/30/14

      880,000        848,100  
     

 

 

  

United Kingdom: 4.46%

  

Barclays Bank PLC,

      

5.140%, due 10/14/20

      1,000,000        1,091,603  

Lloyds Bank PLC,

      

6.500%, due 03/24/204

    EUR 900,000         1,454,384  

11.875%, due 12/16/212,4

      1,000,000        1,615,458  

Royal Bank of Scotland Group PLC,

      

5.125%, due 05/28/24

    $ 650,000        662,938  

6.100%, due 06/10/23

      2,010,000        2,194,289  

Wellcome Trust Finance PLC,

      

4.750%, due 05/28/21

    GBP     860,000         1,619,710  
     

 

 

  
        8,638,382  
     

 

 

  

United States: 17.33%

  

21st Century Fox America, Inc.,

      

6.200%, due 12/15/34

    $ 65,000        80,472  

Allstate Corp.,

      

5.750%, due 08/15/532

      1,330,000        1,423,100  

Ally Financial, Inc.,

      

6.250%, due 12/01/17

      450,000        495,562  

Altria Group, Inc.,

      

9.950%, due 11/10/38

      161,000        273,486  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Corporate bonds — (continued)

  

Anadarko Petroleum Corp.,

      

6.450%, due 09/15/36

    $ 500,000      $ 641,307  

Barrick North America Finance LLC,

      

5.750%, due 05/01/43

          1,015,000        1,094,747  

BE Aerospace, Inc.,

      

6.875%, due 10/01/20

      100,000        107,625  

Berry Petroleum Co., LLC,

      

6.750%, due 11/01/20

      50,000        52,375  

Boise Cascade Co.,

      

6.375%, due 11/01/20

      150,000        159,000  

Case New Holland Industrial, Inc.,

      

7.875%, due 12/01/17

      1,025,000        1,171,062  

Caterpillar, Inc.,

      

4.300%, due 05/15/44

      600,000        625,719  

CDW LLC,

      

8.500%, due 04/01/19

      50,000        53,750  

Cemex Finance LLC,

      

6.000%, due 04/01/241

      700,000        728,000  

Chrysler Group LLC,

      

8.000%, due 06/15/19

      55,000        59,161  

CIT Group, Inc.,

      

5.000%, due 08/15/22

      1,825,000        1,925,375  

Citigroup, Inc.,

      

Series D,

      

5.350%, due 05/15/232,3

      1,170,000        1,117,197  

5.500%, due 09/13/25

      1,000,000        1,120,354  

Series M,

      

6.300%, due 05/15/242,3

      650,000        661,375  

DIRECTV Holdings LLC,

      

6.000%, due 08/15/40

      160,000        190,235  

DISH DBS Corp.,

      

7.875%, due 09/01/19

      200,000        232,000  

El Paso LLC,

      

7.000%, due 06/15/17

      1,500,000        1,695,000  

7.250%, due 06/01/18

      1,000,000        1,155,000  

Endo Finance LLC & Endo Finco, Inc.,

      

5.375%, due 01/15/231

      100,000        99,750  

Energy Transfer Partners LP,

      

7.500%, due 07/01/38

      1,000,000        1,310,682  

ExamWorks Group, Inc.,

      

9.000%, due 07/15/19

      80,000        86,400  

Felcor Lodging LP,

      

6.750%, due 06/01/19

      25,000        26,375  

Fidelity National Financial, Inc.,

      

5.500%, due 09/01/22

      340,000        373,011  

Ford Motor Co.,

      

7.450%, due 07/16/31

      1,000,000        1,362,150  

Frontier Communications Corp.,

      

8.500%, due 04/15/20

      100,000        116,250  

9.000%, due 08/15/31

      60,000        64,800  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Corporate bonds — (continued)

  

General Electric Capital Corp.,

      

Series C,

      

5.250%, due 06/15/232,3

    $ 850,000      $ 868,062  

General Motors Financial Co., Inc.,

      

4.750%, due 08/15/17

          1,740,000        1,829,610  

Glencore Funding LLC,

      

4.625%, due 04/29/241

      675,000        707,332  

HCA, Inc.,

      

5.875%, due 03/15/22

      25,000        27,187  

Hiland Partners LP,

      

7.250%, due 10/01/201

      200,000        215,500  

International Lease Finance Corp.,

      

7.125%, due 09/01/181

      75,000        86,062  

Jefferies Finance LLC,

      

6.875%, due 04/15/221

      200,000        200,500  

Key Energy Services, Inc.,

      

6.750%, due 03/01/21

      50,000        50,750  

Kinder Morgan Energy Partners LP,

      

6.500%, due 09/01/39

      85,000        99,589  

Level 3 Financing, Inc.,

      

8.625%, due 07/15/20

      25,000        27,687  

Liberty Mutual Group, Inc.,

      

10.750%, due 06/15/581,2

      35,000        54,425  

Linn Energy LLC,

      

8.625%, due 04/15/20

      100,000        106,750  

MedAssets, Inc.,

      

8.000%, due 11/15/18

      50,000        52,437  

Mercer International, Inc.,

      

9.500%, due 12/01/17

      25,000        26,531  

MetLife, Inc.,

      

6.400%, due 12/15/36

      1,340,000        1,510,850  

Midstates Petroleum Co., Inc.,

      

10.750%, due 10/01/20

      650,000        719,063  

NRG Energy, Inc.,

      

6.250%, due 07/15/221

      125,000        130,938  

Owens Corning,

      

6.500%, due 12/01/16

      36,000        39,842  

Petco Animal Supplies, Inc.,

      

9.250%, due 12/01/181

      45,000        47,869  

Plains Exploration & Production Co.,

      

6.875%, due 02/15/23

      259,000        300,764  

PNC Preferred Funding Trust I,

      

1.881%, due 03/15/171,2,3

      800,000        772,000  

Prudential Financial, Inc.,

      

5.200%, due 03/15/442

      520,000        526,500  

5.875%, due 09/15/422

      400,000        428,760  

Royal Caribbean Cruises Ltd.,

      

7.500%, due 10/15/27

      125,000        144,063  

Sabine Pass Liquefaction LLC,

      

6.250%, due 03/15/221

      280,000        303,800  

Sprint Communications, Inc.,

      

9.000%, due 11/15/181

      100,000        118,875  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Corporate bonds — (concluded)

  

United States — (concluded)

  

Sprint Corp.,

      

7.250%, due 09/15/211

    $ 300,000      $ 318,000  

SquareTwo Financial Corp.,

      

11.625%, due 04/01/17

      200,000        196,500  

Time Warner Cable, Inc.,

      

6.550%, due 05/01/37

      145,000        185,775  

Transocean, Inc.,

      

6.800%, due 03/15/38

      500,000        543,537  

Valero Energy Corp.,

      

6.625%, due 06/15/37

      160,000        201,257  

7.500%, due 04/15/32

      750,000        996,587  

Wells Fargo Capital X,

      

5.950%, due 12/15/36

      600,000        612,000  

WESCO Distribution, Inc.,

      

5.375%, due 12/15/21

      550,000        556,875  

XL Group PLC,

      

Series E,

      

6.500%, due 04/15/172,3

          2,165,000        2,091,931  
     

 

 

  
        33,599,528  
     

 

 

  

Venezuela: 0.88%

  

Petroleos de Venezuela SA,

      

5.250%, due 04/12/174

      1,000,000        802,500  

8.500%, due 11/02/171

      1,000,000        896,000  
     

 

 

  
        1,698,500  
     

 

 

  

Total corporate bonds
(cost $81,720,182)

         84,758,120  
     

 

 

  

Asset-backed securities: 1.27%

      

Cayman Islands: 0.66%

      

CIFC Funding Ltd.,

      

Series 2014-1A, Class C,

      

3.034%, due 04/18/251,2

      525,000        514,500  

Fortress Credit BSL II Ltd.,

      

Series 2013-2A, Class C,

      

3.134%, due 10/19/251,2

      800,000        760,400  
     

 

 

  
        1,274,900  
     

 

 

  

United States: 0.61%

      

Capital Auto Receivables Asset Trust,

      

Series 2013-3, Class C,

      

2.790%, due 10/22/18

      650,000        662,282  

Series 2014-1, Class D,

      

3.390%, due 07/22/19

      525,000        534,667  
     

 

 

  
        1,196,949  
     

 

 

  

Total asset-backed securities
(cost $2,476,019)

         2,471,849  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Collateralized debt obligations: 5.52%

      

United Kingdom: 1.18%

      

Boyne Valley CLO BV,

      

Series 1X, Class F,

      

2.851%, due 02/12/222,4

   EUR     1,700,000       $ 770,632  

Cadogan Square CLO BV,

      

Series 2X, Class M,

      

6.302%, due 08/12/222,4

      2,000,000        1,524,182  
     

 

 

  
        2,294,814  
     

 

 

  

United States: 4.34%

      

Apidos XIV CLO,

      

Series 2013-14A, Class C1,

      

3.084%, due 04/15/251,2

    $ 700,000        687,750  

Ares XXVII CLO Ltd.,

      

Series 2013-2A, Class C,

      

2.985%, due 07/28/251,2

      500,000        485,000  

Avery Point IV CLO Ltd.,

      

Series 2014-1A, Class C,

      

3.334%, due 04/25/261,2

      550,000        546,772  

BlueMountain CLO Ltd.,

      

Series 2013-1A, Class B,

      

2.884%, due 05/15/251,2

      1,100,000        1,060,389  

Series 2013-4A, Class C,

      

2.884%, due 04/15/251,2

      1,150,000        1,119,410  

Denali Capital CLO X Ltd.,

      

Series 2013-1A, Class A3L,

      

3.135%, due 04/28/251,2

      900,000        877,500  

Galaxy CLO XV Ltd.,

      

Series 2013-15A, Class C,

      

2.834%, due 04/15/251,2

      700,000        673,750  

Galaxy CLO XVI Ltd.,

      

Series 2013-16A, Class C,

      

2.831%, due 11/16/251,2

      500,000        478,750  

KKR Financial CLO Trust,

      

Series 2013-1A, Class B,

      

2.834%, due 07/15/251,2

      700,000        668,829  

Marathon CLO V Ltd.,

      

Series 2013-5A, Class A2A,

      

2.584%, due 02/21/251,2

      1,000,000        999,660  

Octagon Investment Partners XIX Ltd.,

      

Series 2014-1A, Class C,

      

3.084%, due 04/15/261,2

      580,000        572,506  

Octagon Investment Partners XVIII CLO Ltd.,

      

Series 2013-1A, Class B,

      

2.981%, due 12/16/241,2

      250,000        242,883  
     

 

 

  
        8,413,199  
     

 

 

  

Total collateralized debt obligations
(cost $9,996,404)

         10,708,013  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Commercial mortgage-backed securities: 6.49%

      

United States: 6.49%

      

Americold 2010 LLC Trust,

      

Series 2010-ARTA, Class C,

      

6.811%, due 01/14/291

    $ 975,000      $ 1,139,823  

BAMLL Commercial Mortgage Securities Trust,

      

Series 2013-DSNY, Class E,

      

2.755%, due 09/15/261,2

      600,000        602,695  

Boca Hotel Portfolio Trust,

      

Series 2013-BOCA, Class D,

      

3.205%, due 08/15/261,2

      500,000        500,263  

COBALT Commercial Mortgage Trust,

      

Series 2007-C3, Class AM,

      

5.969%, due 05/15/462

      500,000        545,377  

Commercial Mortgage Loan Trust,

      

Series 2014-CR14, Class C,

      

4.759%, due 02/10/472

      750,000        779,309  

Series 2014-CR17, Class C,

      

4.896%, due 05/10/472

      500,000        519,373  

Series 2008-LS1, Class A4B,

      

6.212%, due 12/10/492

      375,082        407,971  

Commercial Mortgage Pass Through Certificates,

      

Series 2013-FL3, Class MMHP,

      

3.755%, due 10/13/281,2

      900,000        909,836  

Extended Stay America Trust,

      

Series 2013-ESH7, Class B7,

      

3.604%, due 12/05/311

      1,000,000        1,021,656  

FREMF Mortgage Trust,

      

Series 2013-KF02, Class B,

      

2.821%, due 12/25/451,2

      793,048        819,711  

GS Mortgage Securities Trust,

      

Series 2014-GSFL, Class D,

      

4.055%, due 07/15/311,2

      500,000        499,506  

Hilton USA Trust,

      

Series 2013-HLT, Class DFX,

      

4.407%, due 11/05/301

          1,000,000        1,023,904  

Irvine Core Office Trust,

      

Series 2013-IRV, Class C,

      

3.279%, due 05/15/481,2

      250,000        241,184  

JP Morgan Chase Commercial Mortgage Securities Trust,

      

Series 2013-JWRZ, Class D,

      

3.145%, due 04/15/301,2

      500,000        501,543  

Madison Avenue Trust,

      

Series 2013-650M, Class D,

      

4.169%, due 10/12/321,2

      350,000        357,688  

Morgan Stanley Bank of America Merrill Lynch Trust,

      

Series 2013-C7, Class B,

      

3.769%, due 02/15/46

      350,000        352,029  

Series 2014-C17, Class B,

      

4.464%, due 08/15/472

      500,000        516,652  

Series 2013-C13, Class C,

      

5.059%, due 11/15/462

      325,000        340,690  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Commercial mortgage-backed securities — (concluded)

  

   

United States — (concluded)

  

Wachovia Bank Commercial Mortgage Trust,

      

Series 2007-C33, Class A4,

      

6.140%, due 02/15/512

    $ 400,000      $ 433,819  

Wells Fargo Commercial Mortgage Trust,

      

Series 2013-120B, Class C,

      

2.800%, due 03/18/281,2

          1,100,000        1,063,147  
     

 

 

  

Total commercial mortgage-backed securities
(cost $12,458,184)

         12,576,176  
     

 

 

  

Mortgage & agency debt securities: 5.38%

      

United States: 5.38%

      

Federal Home Loan Mortgage Corp. REMIC, IO,5

      

3.000%, due 05/15/27

      4,783,683        547,090  

3.500%, due 10/15/42

      2,771,456        677,420  

Federal National Mortgage Association REMIC, IO,5

      

Series 2013-15, Class IO,

      

2.500%, due 03/25/28

      5,760,515        606,727  

Series 2013-64, Class LI,

      

3.000%, due 06/25/33

      5,090,111        817,219  

Series 2011-91, Class EI,

      

3.500%, due 08/25/26

      4,248,785        460,595  

Series 2012-146, Class IO,

      

3.500%, due 01/25/43

      1,699,826        376,476  

Series 2012-146, Class LI,

      

4.500%, due 10/25/41

      1,764,552        298,219  

Government National Mortgage Association, IO,

      

Series 2013-22, Class IO,

      

3.000%, due 02/20/43

      6,168,739        1,267,208  

Series 2012-26, Class GI,

      

3.500%, due 02/20/27

      3,653,907        486,451  

Series 2012-16, Class AI,

      

3.500%, due 10/20/38

      3,497,441        387,898  

JP Morgan Alternative Loan Trust,

      

Series 2006-A5, Class 2A6,

      

3.498%, due 10/25/362

      5,498,565        3,235,339  

Structured Adjustable Rate Mortgage Loan Trust,

      

Series 2006-8, Class 4A3,

      

5.116%, due 09/25/362

      1,447,777        1,258,998  
     

 

 

  

Total mortgage & agency debt securities
(cost $12,249,286)

         10,419,640  
     

 

 

  

Municipal bonds: 2.70%

      

State of California, General Obligation Bonds,

      

7.300%, due 10/01/39

      300,000        433,725  

7.550%, due 04/01/39

      1,625,000        2,454,611  

State of Illinois, General Obligation Bonds,

      

5.877%, due 03/01/19

      2,100,000        2,346,372  
     

 

 

  

Total municipal bonds
(cost $4,806,823)

         5,234,708  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

US government obligations: 3.98%

      

US Treasury Bonds,

      

3.625%, due 08/15/436

    $ 1,000,000      $ 1,106,562  

US Treasury Inflation Indexed Notes (TIPS),

      

0.125%, due 01/15/226

      1,579,590        1,581,811  

0.625%, due 01/15/246

      1,021,480        1,057,072  

US Treasury Notes,

      

1.625%, due 11/15/226

      3,665,000        3,508,094  

2.500%, due 05/15/24

      450,000        456,434  
     

 

 

  

Total US government obligations
(cost $7,769,204)

         7,709,973  
     

 

 

  

Non-US government obligations: 24.34%

      

Argentina: 0.64%

      

Republic of Argentina,

      

0.000%, due 12/15/357

      1,800,000        126,900  

0.000%, due 12/15/357

      1,700,825        113,955  

7.000%, due 10/03/15

      1,100,000        1,006,103  
     

 

 

  
        1,246,958  
     

 

 

  

Australia: 1.32%

      

Queensland Treasury Corp.,

      

6.000%, due 02/21/18

    AUD     2,500,000         2,568,404  
     

 

 

  

Belarus: 1.23%

      

Republic of Belarus,

      

8.750%, due 08/03/154

    $ 2,325,000        2,377,313  
     

 

 

  

Belgium: 2.25%

      

Kingdom of Belgium,

      

4.000%, due 03/28/22

    EUR 1,650,000         2,679,063  

4.000%, due 03/28/324

      165,000         283,601  

4.500%, due 03/28/261,4

      800,000         1,391,526  
     

 

 

  
        4,354,190  
     

 

 

  

Brazil: 2.45%

      

Federative Republic of Brazil,

      

6.000%, due 08/15/508

    BRL 4,000,000         4,746,653  
     

 

 

  

Canada: 0.74%

      

Province of Alberta Canada,

      

3.400%, due 12/01/23

    CAD 1,460,000         1,435,937  
     

 

 

  

China: 0.28%

      

China Government Bond,

      

2.480%, due 12/01/20

    CNY 3,500,000         540,861  
     

 

 

  

Costa Rica: 0.90%

      

Banco Nacional de Costa Rica,

      

4.875%, due 11/01/181

    $ 1,700,000         1,746,750  
     

 

 

  

Ecuador: 0.14%

      

Republic of Ecuador,

      

7.950%, due 06/20/241

      250,000         276,250  
     

 

 

  

France: 1.00%

      

Government of France,

      

3.500%, due 04/25/26

    EUR 720,000         1,153,843  

4.500%, due 04/25/41

      400,000         775,310  
     

 

 

  
        1,929,153  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (continued)

      

Non-US government obligations — (continued)

  

   

Gabon: 0.17%

      

Gabonese Republic,

      

6.375%, due 12/12/241

    $ 300,000       $ 329,250  
     

 

 

  

Germany: 1.13%

      

Bundesrepublik Deutschland,

      

4.750%, due 07/04/40

    EUR 340,000         729,772  

Kreditanstalt fuer Wiederaufbau,

      

5.050%, due 02/04/25

    CAD 1,350,000         1,463,446  
     

 

 

  
        2,193,218  
     

 

 

  

Ghana: 0.66%

      

Republic of Ghana,

      

7.875%, due 08/07/231

    $ 432,364         423,068  

8.500%, due 10/04/174

      796,000         849,730  
     

 

 

  
        1,272,798  
     

 

 

  

Greece: 1.18%

      

Hellenic Republic,

      

2.000%, due 02/24/244,9

    EUR 230,000         247,929  

2.000%, due 02/24/264,9

      870,000         883,164  

2.000%, due 02/24/314,9

      1,230,000         1,152,224  
     

 

 

  
        2,283,317  
     

 

 

  

Hungary: 0.57%

      

MFB Magyar Fejlesztesi Bank Zrt,

      

6.250%, due 10/21/204

    $ 1,000,000         1,105,933  
     

 

 

  

Ireland: 0.84%

      

Government of Ireland,

      

3.900%, due 03/20/23

    EUR 1,050,000         1,632,526  
     

 

 

  

Italy: 1.95%

      

Buoni Poliennali Del Tesoro,

      

2.100%, due 09/15/214,8

      1,026,176         1,474,548  

3.750%, due 08/01/15

      1,150,000         1,558,287  

4.250%, due 09/01/19

      500,000         755,854  
     

 

 

  
        3,788,689  
     

 

 

  

Mexico: 0.88%

  

Mexican Udibonos,

      

Series S, 4.000%, due 11/15/408

    MXN 19,699,091         1,714,450  
     

 

 

  

New Zealand: 0.92%

      

New Zealand Local Government
Funding Agency,

      

6.000%, due 05/15/21

    NZD 2,000,000         1,788,464  
     

 

 

  

Nigeria: 0.87%

      

Federal Republic of Nigeria,

      

5.125%, due 07/12/184

    $ 700,000         729,400  

Nigeria Treasury Bills,

      

11.509%, due 04/23/1510

    NGN 16,000,000         92,138  

12.924%, due 04/09/1510

          148,300,000         858,099  
     

 

 

  
        1,679,637  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Face
amount		      Value  

Bonds — (concluded)

      

Non-US government obligations — (concluded)

  

Pakistan: 0.07%

      

Islamic Republic of Pakistan,

      

7.125%, due 03/31/164

    $ 125,000       $ 127,813  
     

 

 

  

Russia: 0.59%

      

Russian Federation,

      

7.000%, due 01/25/23

    RUB     49,900,000         1,151,105  
     

 

 

  

Spain: 1.86%

      

Kingdom of Spain,

      

4.200%, due 01/31/37

    EUR 840,000         1,281,824  

4.400%, due 10/31/231,4

      720,000         1,132,926  

5.850%, due 01/31/22

      695,000         1,182,770  
     

 

 

  
        3,597,520  
     

 

 

  

Venezuela: 1.31%

      

Republic of Venezuela,

      

8.250%, due 10/13/244

    $ 3,500,000         2,546,250  
     

 

 

  

Zambia: 0.39%

      

Republic of Zambia,

      

8.500%, due 04/14/241

      650,000         751,725  
     

 

 

  

Total Non-US government obligations
(cost $46,015,108)

         47,185,164  
     

 

 

  

Structured note : 0.37%

      

Ghana: 0.37%

      

Standard Chartered Bank,

      

23.000%, due 08/21/171
(linked to Ghana
Government Bonds, 23.000%,
due 08/21/17)
(cost $1,759,260)

    GHS 2,800,000         713,582  
     

 

 

  

Supranational bonds: 2.92%

      

EUROFIMA,

      

6.250%, due 12/28/184

    AUD 1,405,000         1,460,745  

European Financial Stability Facility,

      

3.875%, due 03/30/324

    EUR 850,000         1,496,908  

European Investment Bank,

      

5.375%, due 06/07/21

    GBP 600,000         1,194,182  

6.500%, due 08/07/19

    AUD 1,425,000         1,514,494  
     

 

 

  

Total supranational bonds
(cost $5,879,465)

         5,666,329  
     

 

 

  

Total bonds
(cost $185,129,935)

         187,443,554  
     

 

 

  
     Shares         

Common stock: 0.03%

      

United States : 0.03%

      

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

      19,801        54,453  
     

 

 

  

Short-term investment: 2.51%

      

Investment company: 2.51%

      

UBS Cash Management Prime
Relationship Fund11
(cost $4,859,634)

      4,859,634         4,859,634  
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

     Number of
contracts		        Value  

Options purchased: 0.31%

        

Call Options: 0.18%

        

2 Year Euro-Dollar Midcurve, strike @ USD 97.8750,
expires September 2014

      384        $ 338,400  
       

 

 

  

Put Options: 0.13%

        

2 Year Euro-Dollar Midcurve, strike @ USD 97.8750,
expires September 2014

      384          2,400  

2 Year Euro-Dollar Midcurve, strike @ USD 98.2500,
expires September 2014

      390          70,688  

2 Year Euro-Dollar Midcurve, strike @ USD 97.7500,
expires December 2014

      387          96,750  

3 Year Euro-Dollar Midcurve, strike @ USD 97.7500,
expires June 2016

      155          71,687  

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

      550          10,312  
       

 

 

  
          251,837  
       

 

 

  
     Notional
Amount		           

Options purchased on interest rate swaps: 0.00%12,13

        

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

    $ 14,000,000          3,461  
       

 

 

  

Total options purchased
(cost $2,052,075)

           593,698  
       

 

 

  

Total investments: 99.54%
(cost $192,052,534)14

           192,951,339  

Cash and other assets, less liabilities — 0.46%

           893,442  
       

 

 

  

Net assets — 100.00%

         $ 193,844,781  
       

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Notes to portfolio of investments

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

 

Gross unrealized appreciation

    $ 9,389,439   

Gross unrealized depreciation

      (8,490,634 ) 
  

 

 

  

Net unrealized appreciation of investments

    $ 898,805   
  

 

 

  

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

Forward foreign currency contracts

 

Counterparty

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

BB

    BRL      500,000      USD      219,250        09/17/14       $ (3,210 ) 

BB

    INR      40,452,000      USD      669,551        09/17/14         5,275  

BB

    MXN      4,500,000      USD      345,238        09/17/14         1,435  

BB

    RUB      63,930,000      USD      1,822,114        09/17/14         100,376  

BB

    USD      173,800      BRL      400,000        09/17/14         4,169  

BB

    USD      346,621      IDR      4,112,660,000        09/17/14         4,119  

BB

    USD      688,005      INR      41,700,000        09/17/14         (3,236 ) 

BB

    USD      531,218      PEN      1,500,000        09/17/14         (4,973 ) 

BB

    USD      1,428,495      RUB      50,300,000        09/17/14         (73,835 ) 

BB

    USD      376,182      TRY      809,130        09/17/14         (2,979 ) 

BB

    USD      769,983      ZAR      8,350,000        09/17/14         11,119  

BB

    ZAR      7,650,000      USD      710,584        09/17/14         (5,037 ) 

CSI

    BRL      3,710,500      USD      1,621,864        09/17/14         (29,016 ) 

CSI

    INR      13,484,000      USD      223,467        09/17/14         2,042  

CSI

    KRW      300,917,100      USD      290,601        09/17/14         (5,953 ) 

CSI

    USD      707,770      MYR      2,250,000        09/17/14         5,235  

DB

    BRL      4,248,775      USD      1,855,770        09/17/14         (34,600 ) 

DB

    HUF      125,380,000      USD      547,597        09/17/14         24,592  

DB

    INR      13,484,000      USD      223,430        09/17/14         2,005  

DB

    MXN      13,354,000      USD      1,019,039        09/17/14         (1,215 ) 

DB

    THB      23,500,000      USD      719,975        09/17/14         (15,284 ) 

DB

    USD      1,125,167      INR      67,420,000        09/17/14         (18,041 ) 

DB

    USD      354,736      KRW      362,611,600        09/17/14         2,618  

DB

    USD      732,404      PHP      32,050,000        09/17/14         2,361  

GSI

    MXN      4,500,000      USD      345,288        09/17/14         1,485  

GSI

    USD      553,151      HUF      125,380,000        09/17/14         (30,147 ) 

JPMCB

    AUD      5,335,000      USD      4,961,555        10/22/14         (3,680 ) 

JPMCB

    CHF      5,250,000      USD      5,882,023        10/22/14         160,670  

JPMCB

    NOK      2,320,000      USD      373,018        10/22/14         (637 ) 

JPMCB

    NZD      5,490,000      USD      4,784,864        10/22/14         214,966  

JPMCB

    SEK      13,290,000      USD      1,953,737        10/22/14         52,490  

JPMCB

    USD      2,615,850      CAD      2,815,000        10/22/14         (29,872 ) 

JPMCB

    USD      1,103,679      DKK      6,050,000        10/22/14         (36,099 ) 

JPMCB

    USD      4,620,329      EUR      3,485,000        10/22/14         (39,807 ) 

JPMCB

    USD      1,857,984      GBP      1,085,000        10/22/14         (57,442 ) 

JPMCB

    USD      5,322,445      JPY      540,300,000        10/22/14         (127,551 ) 

JPMCB

    USD      1,940,028      SEK      13,290,000        10/22/14         (38,781 ) 

MSCI

    EUR      8,355,000      USD      11,362,132        10/22/14         380,707  

MSCI

    USD      2,910,838      EUR      2,205,000        10/22/14         (12,688 ) 

RBS

    JPY      149,109,362      USD      1,460,000        10/22/14         26,338  

SSB

    NZD      3,435,000      USD      2,957,569        10/22/14         98,261  

Net unrealized appreciation on forward foreign currency contracts

  

       $ 526,180   
                 

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Futures contracts

 

     

Expiration

date

     

Cost/

(proceeds)

     Value    

Unrealized

appreciation/

(depreciation)

  

US Treasury futures buy contracts:

          

US Long Bond, 49 contracts (USD)

      December 2014       $ 6,819,130     $ 6,864,594     $ 45,464  

5 Year US Treasury Notes, 38 contracts (USD)

      December 2014         4,505,332       4,515,766       10,434  

US Treasury futures sell contracts:

          

US Long Bond, 47 contracts (USD)

      December 2014         (6,731,425 )      (6,784,688 )      (53,263 ) 

10 Year US Treasury Notes, 168 contracts (USD)

      December 2014         (21,058,823 )      (21,131,249 )      (72,426 ) 

Interest rate futures buy contracts:

          

90 Day Euro-Dollar Time Deposit, 205 contracts (USD)

      September 2016         50,309,669       50,340,312       30,643  

Interest rate futures sell contracts:

          

Canadian Government 10 Year Bond, 13 contracts (CAD)

      December 2014         (1,635,933 )      (1,641,948 )      (6,015 ) 

Euro-Bund, 13 contracts (EUR)

      September 2014         (2,476,966 )      (2,588,508 )      (111,542 ) 

Long Gilt, 4 contracts (GBP)

      December 2014         (753,903 )      (753,974 )      (71 ) 
         

 

 

  

Net unrealized depreciation on futures contracts

  

     $ (156,776 ) 
         

 

 

  

Options written

 

Call options

    Expiration
date		    Premiums
received		      Value  

2 Year Euro-Dollar Midcurve, 274 contracts, strike @ USD 98.5000

    September 2014    $ 29,866      $ (1,713 ) 

2 Year Euro-Dollar Midcurve, 387 contracts, strike @ USD 98.2500

    December 2014      129,258        (72,563 ) 

3 Year Euro-Dollar Midcurve, 155 contracts, strike @ USD 98.7500

    June 2016      125,995        (111,406 ) 

4 Year Euro-Dollar Midcurve, 384 contracts, strike @ USD 96.3750

    September 2014      267,456        (643,200 ) 

Put options

         

2 Year Euro-Dollar Midcurve, 387 contracts, strike @ USD 97.2500

    December 2014      134,096        (19,350 ) 

3 Year Euro-Dollar Midcurve, 155 contracts, strike @ USD 96.7500

    June 2016      124,307        (21,312 ) 

90 Day Euro-Dollar Time Deposit, 550 contracts, strike @ USD 98.2500

    March 2015      142,450        (3,438 ) 

Options written on interest rate swaps13

         

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

    December 2014      270,235        (1,070,474 ) 

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

    November 2015      257,600        (711 ) 

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

    November 2015      166,600        (137 ) 

Options written on credit default swaps on credit indices13

         

If option exercised payment from the counterparty will be received upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the CDX.NA.HY Series 22 Index and Fund pays quarterly fixed rate of 5.000%. Underlying credit default swap terminating 06/20/19. European style. Counterparty: JPMCB, Notional Amount USD 10,000,000

    September 2014      99,000        (20,654 ) 

If option exercised payment from the counterparty will be received upon the occurrence of a failure to pay, obligation acceleration, repudiation or restructuring of the referenced obligation specified in the CDX.NA.HY Series 22 Index and Fund pays quarterly fixed rate of 5.000%. Underlying credit default swap terminating 06/20/19. European style. Counterparty: MLI, Notional Amount USD 30,000,000

    October 2014      75,000         (75,000 ) 
     

 

 

  

Total options written

       $   1,821,863      $   (2,039,958 ) 
     

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Written options activity for the period ended August 31, 2014 was as follows:

 

     Number of
contracts		     Premiums
received		  

Options outstanding at November 30, 2013

      2,230      $ 776,064   

Options written

      7,413        1,405,214   

Options terminated in closing purchase transactions

      (7,351 )      (1,227,850 ) 

Options expired prior to exercise

      —        —   
  

 

 

    

 

 

  

Options outstanding at August 31, 2014

      2,292      $ 953,428   
  

 

 

    

 

 

  

Swaptions and foreign exchange written options activity for the period ended August 31, 2014 was as follows:

 

     Premiums
received		  

Swaptions & foreign exchange options outstanding at November 30, 2013

    $ 1,694,361   

Swaptions & foreign exchange options written

      1,033,814   

Swaptions & foreign exchange options terminated in closing purchase transactions

      (1,859,740 ) 

Swaptions & foreign exchange options expired prior to exercise

      —   
  

 

 

  

Swaptions & foreign exchange options outstanding at August 31, 2014

    $ 868,435   
  

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Currency swap agreements12

 

    Notional Amount                                

Counterparty

   Pay contracts     Receive contracts     Termination
date		  

Pay

rate15

  

Receive

rate15

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

BB

   USD 20,982,967      AUD 22,328,244      12/24/22   3 month USD LIBOR   3 month BBSW   $ —      $ 96,780      $ 96,780   

CITI

   AUD 22,328,244      USD 20,982,967      12/24/14   3 month BBSW   3 month USD LIBOR     —        (2,478 )      (2,478 ) 

CITI

   JPY 1,896,000,000      USD 18,546,415      03/20/19   3 month JPY LIBOR   3 month USD LIBOR     —        306,827        306,827   

CITI

   USD 18,546,415      JPY 1,896,000,000      03/20/15   3 month USD LIBOR   3 month JPY LIBOR     —        (293,151 )      (293,151 ) 
           

 

 

    

 

 

    

 

 

  
            $ —      $ 107,978      $ 107,978   
           

 

 

    

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Interest rate swap agreements

 

Counterparty

   Notional
amount		     Termination
date		     Payments
made by
the Fund15		   Payments received by
the Fund15		   Upfront
payments
(made)/
received		     Value     Unrealized
appreciation/
(depreciation)		  

CITI

   KRW     4,800,000,000        08/26/16      3.410%   3 month CD KSDA   $ —      $ (90,956 )    $ (90,956 ) 

CSI

   CAD     32,620,000        02/11/17      3 month BA   3.500%     (293,326 )      1,475,890        1,182,564   

CSI

   CAD     9,200,000        02/11/22      4.145   3 month BA     —        (1,155,006 )      (1,155,006 ) 

DB

   EUR     8,200,000        05/04/22      2.130   6 month EURIBOR     467,871        (1,112,017 )      (644,146 ) 

DB

   EUR     3,650,000        05/04/42      6 month EURIBOR   2.460     —        804,350        804,350   

DB

   ZAR     7,400,000        05/31/23      3 month JIBAR   7.480     —        (12,738 )      (12,738 ) 

GSI

   TWD     140,000,000        08/26/16      1.280   3 month TWCPBA     —        (26,073 )      (26,073 ) 

JPMCB

   CAD     32,620,000        02/11/17      3.500   3 month BA     —        (1,475,890 )      (1,475,890 ) 

JPMCB

   EUR     8,200,000        05/04/22      6 month EURIBOR   2.130     —        1,112,017        1,112,017   

JPMCB

   EUR     3,650,000        05/04/42      2.460   6 month EURIBOR     —        (804,350 )      (804,350 ) 

JPMCB

   USD     105,000,000        07/03/42      1 month LIBOR (USD BBA)   3 month LIBOR (USD BBA)     —        548,763        548,763   

MLI

   CAD     22,140,000        04/09/17      3 month BA   1.978     —        288,874        288,874   

MLI

   CAD     7,480,000        02/04/21      3.725   3 month BA     194,693        (699,089 )      (504,396 ) 

MLI

   CAD     7,410,000        02/04/31      3 month BA   3.475     —        513,892        513,892   

MLI

   CAD     2,620,000        02/04/41      4.208   3 month BA     —        (524,260 )      (524,260 ) 

MLI

   ZAR     12,000,000        06/04/18      3 month JIBAR   6.400     —        (20,969 )      (20,969 ) 

MSCI

   CAD     21,160,000        04/08/17      3.600   3 month BA     —        (1,208,210 )      (1,208,210 ) 
           

 

 

    

 

 

    

 

 

  
            $ 369,238      $ (2,385,772 )    $ (2,016,534 ) 
           

 

 

    

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Credit default swaps on corporate and sovereign issues — buy protection16

 

Counterparty

   

Referenced obligation17

    Notional amount      Termination
date		    Payments
made by
the Fund15		   Upfront
payments
(made)/
received		     Value     Unrealized
depreciation		  

JPMCB

   

Government of Japan bond,

2.000%, due 03/21/22

    USD      4,000,000       12/20/17    1.000%   $ 20,131      $ (110,753 )    $ (90,622 ) 

MLI

   

XLIT Ltd. bond,

6.250%, due 05/15/27

    USD      3,000,000       09/20/17    1.000     (32,170 )      (76,939 )      (109,109 ) 

MLI

   

American International Group, Inc., bond,

6.250%, due 05/01/36

    USD      2,000,000       06/20/19    1.000     43,209        (47,422 )      (4,213 ) 

MSCI

   

Deutsche Bank AG bond,

5.125%, due 08/31/17

    EUR      1,750,000       06/20/17    1.000     (94,483 )      (42,995 )      (137,478 ) 
                

 

 

    

 

 

    

 

 

  
                 $   (63,313 )    $   (278,109 )    $   (341,422 ) 
                

 

 

    

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Credit default swaps on credit indices — sell protection18

 

Counterparty

  

Referenced Index17

   Notional amount     Termination
date		   Payments
received by
the Fund15		   Upfront
payments
(made)/
received		     Value     Unrealized
appreciation/
(depreciation)		     Credit
spread19

CITI

   CMBX.NA.BB. Series 6 Index   USD     3,800,000      05/11/63   5.000%   $ (116,180 )    $ 44,350      $ (71,830 )    3.660%

CSI

   CMBX.NA.BBB. Series 6 Index   USD     9,550,000      05/11/63   3.000     201,015        92,898        293,913      2.993

MLI

   CDX.NA.HY. Series 15 Index   USD     4,000,000      12/20/15   5.000     295,000        290,633        585,633      1.634

MSCI

   CMBX.NA.A. Series 6 Index   USD     7,500,000      05/11/63   2.000     18,965        79,996        98,961      1.952

MSCI

   CMBX.NA.BB. Series 6 Index   USD     2,000,000      05/11/63   5.000     (63,774 )      23,342        (40,432 )    3.660
           

 

 

    

 

 

    

 

 

    
            $    335,026      $     531,219      $    866,245     
           

 

 

    

 

 

    

 

 

    

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Credit default swaps on corporate and sovereign issues — sell protection18

 

Counterparty

  

Referenced obligation17

   Notional amount     Termination
date		   Payments
received by
the Fund15		   Upfront
payments
(made)/
received		     Value     Unrealized
appreciation		     Credit
spread19

CITI

  

State of Illinois bond,

5.000% due 06/01/29

   USD     3,000,000      12/20/23   1.000%   $ 222,252      $   (195,747 )    $ 26,505      1.920%

JPMCB

  

Republic of China bond,

4.250%, due 10/28/14

   USD     4,000,000      12/20/17   1.000     (16,042 )      88,219        72,177      0.390

MLI

  

JPMorgan Chase & Co. bond,

4.750%, due 03/01/15

   USD     3,000,000      09/20/17   1.000     45,158        67,041        112,199      0.350

MLI

  

General Electric Capital Corp. bond,

5.625%, due 09/15/17

   USD     2,000,000      06/20/19   1.000     (48,222 )      53,659        5,437      0.470
           

 

 

    

 

 

    

 

 

    
            $   203,146      $ 13,172      $   216,318     
           

 

 

    

 

 

    

 

 

    

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Centrally cleared interest rate swap agreements

 

Notional amount      Termination
date		   

Payments made by the Fund15

   

Payments received by the Fund15

    Value     Unrealized
appreciation/
(depreciation)		  
CAD      9,200,000       02/11/22    3 month BA    2.626%    $ 266,524      $ 266,524   
GBP      29,250,000       06/11/16    6 month GBP LIBOR    1.166      82,963        82,963   
USD      24,550,000       08/22/18    3 month USD LIBOR    1.472      (15,153 )      (15,153 ) 
USD      14,500,000       08/22/21    2.176%    3 month USD LIBOR      (44,137 )      (44,137 ) 
              

 

 

    

 

 

  
               $     290,197      $     290,197   
              

 

 

    

 

 

  

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

The following is a summary of the fair valuations according to the inputs used as of August 31, 2014 in valuing the Fund’s investments:

 

Description:   

Unadjusted quoted

prices in active

markets for

identical investments

Level 1

    

Other significant

observable inputs

Level 2

    

Unobservable

inputs

Level 3

      Total  

Assets

          

Corporate bonds

    $ —     $ 84,758,120     $  —      $ 84,758,120  

Asset-backed securities

      —       1,957,349       514,500        2,471,849  

Collateralized debt obligations

      —       8,413,199        2,294,814         10,708,013  

Commercial mortgage-backed securities

      —       12,576,176       —        12,576,176  

Mortgage & agency debt securities

      —       9,545,291       874,349        10,419,640  

Municipal bonds

      —       5,234,708       —        5,234,708  

US government obligations

      —       7,709,973       —        7,709,973  

Non-US government obligations

      —       47,185,164       —        47,185,164  

Structured note

      —       713,582       —        713,582  

Supranational bonds

      —       5,666,329       —        5,666,329  

Common stock

      54,453       —       —        54,453  

Short-term investment

      —       4,859,634       —        4,859,634  

Options purchased

      590,237       3,461       —        593,698  

Forward foreign currency contracts

      —       1,100,263       —        1,100,263  

Futures contracts

      86,541       —       —        86,541  

Swap agreements

      —       6,237,018       —        6,237,018  

Total

    $ 731,231     $ 195,960,267     $     3,683,663      $     200,375,161  

Liabilities

          

Forward foreign currency contracts

    $  —     $ (574,083 )    $  —      $ (574,083 ) 

Futures contracts

      (243,317 )      —       —        (243,317 ) 

Swap agreements

      —       (7,958,333 )      —        (7,958,333 ) 

Options written

      (872,982 )      (1,166,976 )      —        (2,039,958 ) 

Total

    $ (1,116,299 )    $ (9,699,392 )    $  —      $ (10,815,691 ) 

At August 31, 2014, there were no transfers between Level 1 and Level 2

Level 3 rollforward disclosure

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

 

     

Asset-backed

securities

    

Collateralized

debt obligations

    

Commercial

mortgagebacked

securities

    

Mortgage &

agency

debt

securities

     Total  

Assets

           

Beginning balance

    $ 782,960      $ 7,582,124      $ 1,500,844      $ 1,150,837      $ 11,016,765   

Purchases

      518,228        —        —        —        518,228   

Issuances

      —        —        —        —        —   

Sales

      —        —        —        —        —   

Accrued discounts (premiums)

      —        —        —        (199,558 )      (199,558 ) 

Total realized gain (loss)

      —        —        —        —        —   

Change in net unrealized appreciation (depreciation)

      (26,288 )      (112,459 )      11,687        (76,930 )      (203,990 ) 

Transfers into Level 3

      —        —        —        —        —   

Transfers out of Level 3

      (760,400 )      (5,174,851 )      (1,512,531 )      —        (7,447,782 ) 

Ending balance

    $ 514,500      $ 2,294,814      $ —      $ 874,349      $ 3,683,663   

The change in net unrealized appreciation/depreciation relating to the Level 3 investments held at August 31, 2014 was $(193,599). Transfers out of Level 3 represent the value at the end of the period. At August 31, 2014, securities were transferred from Level 3 to Level 2 as the valuation is based on observable inputs from an established pricing source.

Strategic Global Income Fund, Inc.

Portfolio of investments — August 31, 2014 (unaudited)

 

Portfolio footnotes

  * 

Non-income producing security.

  1 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities are considered liquid, unless noted otherwise, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2014, the value of these securities amounted to $41,594,378 or 21.46% of net assets.

  2 

Variable or floating rate security — The interest rate shown is the current rate as of August 31, 2014 and changes periodically.

  3 

Perpetual investment. Date shown reflects the next call date.

  4 

Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At August 31, 2014, the value of these securities amounted to $42,475,917 or 21.91% of net assets.

  5 

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

  6 

All or a portion of these securities have been designated as collateral for open swap agreements.

  7 

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

  8 

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

  9 

Step bond — Coupon rate increases in increments to maturity. Rate disclosed is as of August 31, 2014. Maturity date disclosed is the ultimate maturity date.

  10 

Rate shown reflects annualized yield at August 31, 2014 on zero coupon bond.

  11 

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

 

Security description

    Value
11/30/13		      Purchases
during the
nine months
ended
08/31/14		      Sales
during the
nine months
ended
08/31/14		      Value
08/31/14		      Net income
earned from
affiliate for the
nine months
ended
08/31/14		  

UBS Cash Management Prime Relationship Fund

    $ 1,047,245       $ 50,487,616       $ 46,675,227       $ 4,859,634       $ 1,670   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  12 

Illiquid investment as of August 31, 2014.

  13 

Amount is less than 0.005%

  14 

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 investments from independent pricing sources and broker-dealers. Independent pricing sources may use last reported sale prices, official market closing prices, current market quotations or valuations from computerized evaluation systems that derive values based on comparable investments. An evaluation investments 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 investments. Investments also may be valued based on appraisals derived from information concerning the investments or similar investments received from recognized dealers in those holdings. Investments 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. Investments which are listed on US and foreign stock exchanges normally are valued at the market closing price, the last sale price on the day the securities are valued or, lacking any sales on such day, at the last available bid price. In cases where investments are traded on more than one exchange, the investments are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc. (“UBS Global AM”), the investment advisor of the Fund. If a market value is not available from an independent pricing source for a particular investment, that investment is valued at fair value as determined in good faith by or under the direction of the Fund’s Board of Directors (the “Board”). Various factors may be reviewed in order to make a good faith determination of an investment’s

  fair value. These factors include, but are not limited to, fundamental analytical data relating to the investment; the nature and duration of restrictions on disposition of the investments; and the evaluation of forces which influence the market in which the securities or instruments are purchased and sold. Certain investments in which the Fund invests are traded in markets that close before 4:00 p.m., Eastern time. Normally, developments that occur between the close of the foreign markets and 4:00 p.m. Eastern Time will not be reflected in the Fund’s net asset value. However, if the Fund determines that such developments are so significant that they will materially affect the value of the Fund’s investments, the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these investments as of 4:00 p.m. Eastern Time. Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Pursuant to the Fund’s use of the practical expedient within ASC Topic 820, investments in non-registered investment companies are also valued at the daily net asset value.
  15 

Payments made or received are based on the notional amount.

  16 

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

  17 

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

  18 

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

  19 

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

 

Portfolio acronyms
BA    Canadian Bankers’ Acceptance Rate
BBA    British Banking Association
BBSW    Bank Bill Swap Reference Rate (Australian Financial Market)
CD KSDA    Korean Securities Dealer Association 91-day Certificate of Deposit Rate
CLO    Collateralized Loan Obligations
EURIBOR    Euro Interbank Offered Rate
GDP    Gross Domestic Product
GS    Goldman Sachs
IO    Interest only — This security entitles the holder to receive interest payments from an underlying pool of mortgages. The risk associated with this security is related to the speed of the principal paydowns. High prepayments would result in a smaller amount of interest being received and cause the yield to decrease. Low prepayments would result in a greater amount of interest being received and cause the yield to increase.
JIBAR    Johannesburg Interbank Agreed Rate
LIBOR    London Interbank Offered Rate
OJSC    Open Joint Stock Company
REMIC    Real Estate Mortgage Investment Conduit
TIPS    Treasury inflation protected securities (“TIPS”) are debt securities issued by the US Treasury whose principal and/or interest payments are adjusted for inflation, unlike debt securities that make fixed principal and interest payments. The interest rate paid by the TIPS is fixed, while the principal value rises or falls based on changes in a published Consumer Price Index (“CPI”). Thus, if inflation occurs, the principal and interest payments on the TIPS are adjusted accordingly to protect investors from inflationary loss. During a deflationary period, the principal and interest payments decrease, although the TIPS principal amounts will not drop below their face amounts at maturity. In exchange for the inflation protection, the TIPS generally pay lower interest rates than typical US Treasury securities. Only if inflation occurs will TIPS offer a higher real yield than a conventional Treasury security of the same maturity.
TWCPBA    Taiwan Secondary Market Bills Rate

Counterparty abbreviations

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

Currency abbreviations

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

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

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

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

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

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

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

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

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

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

For more information regarding the Fund’s other significant accounting policies, please refer to the Fund’s semi-annual report to shareholders dated May 31, 2014.

Item 2. Controls and Procedures.

 

  (a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“Investment Company Act”)) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

 

  (b) The registrant’s principal executive officer and principal financial officer are aware of no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

 

  (a) Certifications of principal executive officer and principal financial officer of registrant pursuant to Rule 30a-2(a) under the Investment Company Act are attached hereto as Exhibit EX-99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Strategic Global Income Fund, Inc.
By:  

/s/ Mark E. Carver

  Mark E. Carver
  President

Date: October 30, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Mark E. Carver

  Mark E. Carver
  President
Date:   October 30, 2014
By:  

/s/ Thomas Disbrow

  Thomas Disbrow
  Vice President and Treasurer

Date: October 30, 2014