N-Q 1 e84709.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number:  811-07540

Global High Income Fund Inc.

(Exact name of registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.
UBS Global Asset Management
1285 Avenue of the Americas
New York, NY 10019-6028
(Name and address of agent for service)
 
Copy to:
Jack W. Murphy, Esq.
Dechert LLP
1775 I Street, N.W.
Washington, DC 20006-2401

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

Date of fiscal year end:  October 31

Date of reporting period:  January 31, 2012


Item 1.  Schedule of Investments

Global High Income Fund Inc.

Industry diversification (unaudited)      
As a percentage of net assets as of January 31, 2012      
Bonds      
Corporate bonds      
Commercial banks   3.11 %
Diversified financial services   2.70  
Electric utilities   1.50  
Metals & mining   0.10  
Oil, gas & consumable fuels   7.49  
Paper & forest products   0.17  
Real estate management & development   2.55  
Road & rail   0.77  
Specialty retail   0.19  
Trading companies & distributors   0.12  
Wireless communications   0.26  
   
 
Total corporate bonds   18.96  
Non-US government obligations   71.21  
Convertible bond   1.25  
Structured notes   5.76  
   
 
Total bonds   97.18  
Common stock   0.00  
Short-term investment   0.16  
Options purchased   0.85  
   
 
Total investments   98.19  
Cash and other assets, less liabilities   1.81  
   
 
Net assets   100.00 %
   
 


Portfolio of investments — January 31, 2012 (unaudited)

    Face        
Security description   amount   Value  
 
 
 
Bonds — 97.18%                
Corporate bonds — 18.96%                
Argentina — 0.10%                
WPE International Cooperatief UA,                

10.375%, due 09/30/201

   $   300,000   $ 282,000  
           
 
Brazil — 2.65%                
Banco Cruzeiro do Sul SA,                

8.250%, due 01/20/161

       250,000     205,000  
Banco do Brasil SA,                

5.875%, due 01/26/222

       2,300,000     2,300,000  
Centrais Eletricas Brasileiras SA,                

5.750%, due 10/27/212

       500,000     527,500  
Minerva Overseas II Ltd.,                

10.875%, due 11/15/191

       350,000     329,000  
Petrobras International Finance Co.,                

5.375%, due 01/27/21

       1,000,000     1,051,930  

5.750%, due 01/20/20

       2,850,000     3,058,449  
Union National FIDC Trust 2006,                

Series 2007-2, due 07/01/102,3,4,5

   BRL   1,832,665     209  

Series 3, due 07/01/102,3,4,5

       2,075,000     238  

Series 4, due 05/01/111,3,4,5

       3,560,082     406  
           
 
              7,472,732  
           
 
Chile — 0.19%                
Inversiones Alsacia SA,                

8.000%, due 08/18/181

   $   600,000     534,000  
           
 
India — 0.49%                
Bank of India,                

6.250%, due 02/16/211

       700,000     712,049  
ICICI Bank Ltd.,                

5.750%, due 11/16/201

       700,000     682,780  
           
 
              1,394,829  
           
 
Indonesia — 0.47%                
Majapahit Holding BV,                

7.250%, due 06/28/172

       100,000     113,250  
Pertamina Persero PT,                

5.250%, due 05/23/211

       260,000     271,050  

5.250%, due 05/23/212

       600,000     625,500  
Perusahaan Listrik Negara PT,                

5.500%, due 11/22/212

       300,000     312,501  
           
 
              1,322,301  
           
 
Kazakhstan — 0.40%                
Alliance Bank JSC,                

10.500%, due 03/25/171

       350,000     252,000  
Development Bank of Kazakhstan JSC,                

5.500%, due 12/20/152

       850,000     867,000  
           
 
              1,119,000  
           
 
Malaysia — 2.55%                
Johor Corp.,                

1.000%, due 07/31/123

   MYR   15,600,000     7,179,487  
           
 
Mexico — 1.04%                
Grupo Papelero Scribe SA,                

8.875%, due 04/07/201

   $   550,000     473,000  
Hipotecaria Su Casita SA,                

7.500%, due 06/29/181,3

       498,200     149,460  
Pemex Project Funding Master Trust,                

6.625%, due 06/15/35

       2,050,000     2,301,125  
           
 
              2,923,585  
           
 
Peru — 0.31%                
Banco de Credito del Peru,                

5.375%, due 09/16/201

       900,000     887,625  
           
 
Philippines — 1.16%                
National Power Corp.,                

9.625%, due 05/15/28

       2,360,000     3,268,600  
           
 

                 
Russia — 3.61%                
RSHB Capital SA for OJSC Russian Agricultural Bank,                

7.125%, due 01/14/142

       300,000     315,375  

7.500%, due 03/25/13

   RUB   80,000,000     2,631,666  

9.000%, due 06/11/142

   $   550,000     606,375  
VEB Finance Ltd.,                

6.800%, due 11/22/251

       900,000     909,000  

6.800%, due 11/22/252

       1,000,000     1,010,000  

6.902%, due 07/09/202

       1,050,000     1,113,000  
VimpelCom Holdings BV,                

7.504%, due 03/01/222

       800,000     751,000  
Vnesheconombank,                

Series 6, 7.900%, due 10/13/206

   RUB   75,000,000     2,348,935  
VTB Bank OJSC GDR,                

6.551%, due 10/13/201

   $   490,000     481,425  
           
 
              10,166,776  
           
 
South Africa — 0.77%                
Edcon Pty Ltd.,                

9.500%, due 03/01/181

       300,000     255,000  

9.500%, due 03/01/182

       350,000     297,500  
Transnet Ltd.,                

Series 2, 10.000%, due 03/30/29

   ZAR   12,000,000     1,633,928  
           
 
              2,186,428  
           
 
Turkey — 0.25%                
Export Credit Bank of Turkey,                

5.375%, due 11/04/162

   $   700,000     693,000  
           
 
Ukraine — 0.49%                
NAK Naftogaz Ukraine,                

9.500%, due 09/30/14

       1,220,000     1,172,725  
UK SPV Credit Finance PLC,                

9.375%, due 09/23/15

       250,000     208,750  
           
 
              1,381,475  
           
 
United Arab Emirates — 2.01%                
IPIC GMTN Ltd.,                

3.750%, due 03/01/172

       1,000,000     1,000,000  

5.500%, due 03/01/222

       3,050,000     3,065,250  

6.875%, due 11/01/412

       1,550,000     1,596,500  
           
 
              5,661,750  
           
 
Venezuela — 2.47%                
Petroleos de Venezuela SA,                

8.500%, due 11/02/171

       3,180,000     2,551,950  

8.500%, due 11/02/172

       5,500,000     4,413,750  
           
 
              6,965,700  
           
 
                 
Total corporate bonds                

(cost $55,095,565)

             53,439,288  
           
 
Non-US government obligations — 71.21%                
Albania — 0.72%                
Republic of Albania,                

7.500%, due 11/04/15

   EUR   1,800,000     2,024,861  
           
 
Argentina — 3.08%                
Republic of Argentina,                

0.000%, due 12/15/357

   $   13,601,737     1,795,429  

0.000%, due 12/15/357

   EUR   2,200,000     336,692  

0.000%, due 12/15/357

   $   17,490,000     2,326,170  

Series VII, 7.000%, due 09/12/13

       1,175,000     1,203,200  

Series X, 7.000%, due 04/17/17

       650,000     589,225  

Series X, 7.820%, due 12/31/33

   EUR   118,149     103,545  

7.820%, due 12/31/336

       354,446     304,839  

8.280%, due 12/31/33

   $   2,018,368     1,554,143  

Series NY, 8.280%, due 12/31/33

       200,072     158,557  

Series 1, 8.750%, due 06/02/17

       322,897     320,637  
           
 
              8,692,437  
           
 
Belarus — 1.98%                
Republic of Belarus,                

8.750%, due 08/03/151

       4,950,000     4,578,750  

8.950%, due 01/26/181

       1,100,000     1,006,500  
           
 
              5,585,250  
           
 

Brazil — 10.65%                
Federal Republic of Brazil,                

4.875%, due 01/22/21

       1,500,000     1,687,500  

5.625%, due 01/07/41

       1,500,000     1,731,000  

6.000%, due 08/15/508

   BRL   1,340,000     1,796,428  

7.125%, due 01/20/37

   $   330,000     450,450  
Notas do Tesouro Nacional,                

Series B, 6.000%, due 05/15/458

   BRL   12,750,000     16,930,491  

Series F,

                

10.000%, due 01/01/13

       5,625,000     3,257,137  

10.000%, due 01/01/17

       1,280,000     712,377  

10.000%, due 01/01/21

       6,428,000     3,433,478  
           
 
              29,998,861  
           
 
Chile — 0.96%                
Bonos de la Tesoreria de la Republica,                

3.000%, due 07/01/178

   CLP   1,277,522,760     2,714,556  
           
 
China — 1.68%                
China Government Bond,                

1.400%, due 08/18/161

   CNY   22,000,000     3,347,864  

2.480%, due 12/01/20

       9,000,000     1,390,980  
           
 
              4,738,844  
           
 
Colombia — 2.40%                
Republic of Colombia,                

4.375%, due 07/12/21

   $   1,500,000     1,608,750  

6.125%, due 01/18/41

       150,000     181,125  

7.375%, due 09/18/37

       575,000     790,625  

7.750%, due 04/14/21

   COP   1,925,000,000     1,278,633  

8.125%, due 05/21/24

   $   250,000     350,625  

9.850%, due 06/28/27

   COP   3,200,000,000     2,551,692  
           
 
              6,761,450  
           
 
Dominican Republic — 0.20%                
Republic of Dominica,                

7.500%, due 05/06/212

   $   550,000     561,000  
           
 
Egypt — 0.27%                
Arab Republic of Egypt,                

6.875%, due 04/30/401

       100,000     86,000  

6.875%, due 04/30/402

       800,000     688,000  
           
 
              774,000  
           
 
El Salvador — 0.52%                
Republic of El Salvador,                

7.750%, due 01/24/231

       320,000     350,400  

8.250%, due 04/10/321

       1,015,000     1,113,962  
           
 
              1,464,362  
           
 
Hungary — 1.54%                
Hungarian Development Bank,                

5.875%, due 05/31/16

   EUR   1,200,000     1,298,894  
Hungary Government Bond,                

6.500%, due 06/24/19

   HUF   90,000,000     347,419  

6.750%, due 02/24/17

       70,000,000     285,444  

7.500%, due 11/12/20

       80,000,000     323,938  

7.625%, due 03/29/41

   $   2,250,000     2,081,250  
           
 
              4,336,945  
           
 
Indonesia — 6.01%                
Indonesia Treasury Bond,                

9.500%, due 07/15/23

   IDR   29,400,000,000     4,324,972  

11.750%, due 08/15/23

       4,600,000,000     766,241  

12.000%, due 09/15/26

       12,215,000,000     2,133,209  
Republic of Indonesia,                

4.875%, due 05/05/212

   $   3,400,000     3,655,000  

5.875%, due 03/13/201

       320,000     364,400  

6.625%, due 02/17/371

       220,000     268,400  

7.750%, due 01/17/381

       3,775,000     5,152,875  

7.750%, due 01/17/382

       200,000     273,000  
           
 
              16,938,097  
           
 
Jordan — 0.35%                
Kingdom of Jordan,                

3.875%, due 11/12/151

       1,050,000     976,500  
           
 
Lithuania — 0.35%                
Republic of Lithuania,                

6.125%, due 03/09/211

       450,000     443,250  

6.125%, due 03/09/212

       250,000     246,250  

6.625%, due 02/01/222

       300,000     304,776  
           
 
              994,276  
           
 

Malaysia — 1.96%                
Malaysia Government Bond,                

4.160%, due 07/15/21

   MYR   5,300,000     1,824,597  

4.262%, due 09/15/16

       5,100,000     1,753,314  

4.392%, due 04/15/26

       5,600,000     1,949,507  
           
 
              5,527,418  
           
 
Mexico — 6.37%                
Mexican Bonos,                

Series M,

                

6.500%, due 06/10/21

   MXN   10,700,000     856,624  

8.500%, due 11/18/38

       25,750,000     2,251,752  

10.000%, due 11/20/36

       7,000,000     702,972  
Mexican Udibonos,                

1.705%, due 11/15/408

       8,800,000     3,522,721  

2.535%, due 12/10/208

       3,200,000     1,195,369  

4.000%, due 06/13/198

       7,000,000     2,925,284  
United Mexican States,                

3.625%, due 03/15/22

   $   900,000     913,500  

5.125%, due 01/15/20

       520,000     590,720  

6.050%, due 01/11/40

       2,430,000     2,946,375  

Series A, 6.750%, due 09/27/34

       590,000     764,050  

Series A, 7.500%, due 04/08/33

       600,000     835,500  

8.300%, due 08/15/31

       290,000     432,100  
           
 
              17,936,967  
           
 
Montenegro — 0.66%                
Republic of Montenegro,                

7.875%, due 09/14/15

   EUR   1,550,000     1,872,943  
           
 
Pakistan — 0.35%                
Islamic Republic of Pakistan,                

6.875%, due 06/01/171

   $   650,000     445,250  

7.875%, due 03/31/361

       930,000     539,400  
           
 
              984,650  
           
 
Peru — 2.94%                
Peru Government Bond, Series 7,                

8.200%, due 08/12/26

   PEN   1,442,000     640,962  
Republic of Peru,                

5.625%, due 11/18/50

   $   2,170,000     2,334,920  

6.900%, due 08/12/371

   PEN   1,750,000     675,074  

6.950%, due 08/12/312

       1,750,000     684,663  

7.350%, due 07/21/25

   $   200,000     265,500  

7.840%, due 08/12/201

   PEN   6,700,000     2,853,842  

8.750%, due 11/21/33

   $   550,000     838,750  
           
 
              8,293,711  
           
 
Philippines — 1.08%                
Republic of Philippines,                

5.000%, due 01/13/37

       500,000     513,125  

5.500%, due 03/30/26

       2,250,000     2,517,187  
           
 
              3,030,312  
           
 
Poland — 3.27%                
Government of Poland,                

5.000%, due 03/23/22

       1,450,000     1,466,313  

5.125%, due 04/21/21

       310,000     327,825  

5.250%, due 10/25/17

   PLN   6,600,000     2,058,256  

5.500%, due 10/25/19

       6,000,000     1,873,838  

5.750%, due 09/23/22

       10,000,000     3,138,558  

6.375%, due 07/15/19

   $   310,000     347,975  
           
 
              9,212,765  
           
 
Qatar — 0.34%                
Qatar Government International Bond,                

5.750%, due 01/20/422

       900,000     951,750  
           
 
Romania — 0.46%                
Romanian Government International Bond,                

5.000%, due 03/18/15

   EUR   1,000,000     1,288,639  
           
 
Russia — 2.36%                
Russian Federation,                

5.000%, due 04/29/201

   $   2,000,000     2,095,000  

5.000%, due 04/29/202

       1,900,000     1,990,250  

7.500%, due 03/31/301,9

       205,410     243,411  

7.500%, due 03/31/302,9

       1,965,247     2,328,817  
           
 
              6,657,478  
           
 

Serbia — 0.75%                
Republic of Serbia,                

6.750%, due 11/01/241

       2,244,667     2,118,405  
           
 
South Africa — 8.32%                
Eskom Holdings Ltd.,                

5.750%, due 01/26/211

       1,100,000     1,149,500  
Republic of South Africa,                

2.500%, due 01/31/178

   ZAR   10,380,647     1,430,695  

2.750%, due 01/31/228

       14,026,644     1,897,097  

5.500%, due 03/09/20

   $   100,000     110,625  

5.500%, due 12/07/238

   ZAR   5,323,872     916,251  

5.875%, due 05/30/22

   $   300,000     338,250  

6.250%, due 03/08/41

       650,000     732,063  

6.500%, due 02/28/41

   ZAR   8,000,000     788,718  

6.750%, due 03/31/21

       50,000,000     5,985,921  

6.875%, due 05/27/19

   $   500,000     597,500  

7.000%, due 02/28/31

   ZAR   32,900,000     3,585,212  

8.000%, due 12/21/18

       45,000,000     5,917,603  
           
 
              23,449,435  
           
 
Sri Lanka — 1.48%                
Republic of Sri Lanka,                

6.250%, due 10/04/201

   $   1,700,000     1,695,750  

6.250%, due 10/04/202

       550,000     548,625  

6.250%, due 07/27/212

       1,300,000     1,283,750  

7.400%, due 01/22/151

       600,000     634,500  
           
 
              4,162,625  
           
 
Thailand — 2.17%                
Thailand Government Bond,                

1.200%, due 07/14/218

   THB   80,800,000     2,707,894  

2.800%, due 10/10/17

       74,900,000     2,381,116  

3.650%, due 12/17/21

       24,590,000     826,884  

3.850%, due 12/12/25

       5,860,000     199,910  
           
 
              6,115,804  
           
 
Turkey — 4.30%                
Government of Turkey,                

10.500%, due 01/15/20

   TRY   12,100,000     7,211,582  
Republic of Turkey,                

5.125%, due 03/25/22

   $   350,000     332,063  

5.625%, due 03/30/21

       1,000,000     1,003,750  

6.000%, due 01/14/41

       1,750,000     1,642,812  

6.750%, due 05/30/40

       750,000     765,000  

6.875%, due 03/17/36

       250,000     260,313  

7.250%, due 03/05/38

       250,000     271,875  

7.500%, due 11/07/19

       200,000     226,750  

8.000%, due 02/14/34

       350,000     411,250  
           
 
              12,125,395  
           
 
Ukraine — 0.34%                
Financing of Infrastructural Projects State Enterprise,                

8.375%, due 11/03/172

       1,150,000     948,750  
           
 
Uruguay — 0.07%                
Oriental Republic of Uruguay,                

6.875%, due 09/28/25

       150,000     193,875  
           
 
Venezuela — 3.11%                
Republic of Venezuela,                

7.000%, due 03/31/381

       1,050,000     648,375  

7.650%, due 04/21/25

       2,850,000     1,938,000  

8.250%, due 10/13/241

       3,400,000     2,414,000  

9.250%, due 05/07/281

       280,000     207,200  

9.375%, due 01/13/34

       3,050,000     2,264,625  

11.950%, due 08/05/311

       700,000     611,450  

13.625%, due 08/15/181

       700,000     679,000  
           
 
              8,762,650  
           
 
Vietnam — 0.17%                
Socialist Republic of Vietnam,                

6.750%, due 01/29/201

       200,000     203,500  

6.875%, due 01/15/161

       250,000     261,875  
           
 
              465,375  
           
 
Total Non-US government obligations                

(cost $184,672,353)

             200,660,386  
           
 

Convertible bond — 1.25%                
China — 1.25%                
China Petroleum & Chemical Corp.,                

4.438%, due 04/24/1410

                

(cost $3,264,360)

   HKD   23,000,000     3,514,371  
           
 
Structured notes — 5.76%                
Ghana — 0.84%                
Citigroup Funding Inc.,                

6.393%, due 03/14/131

                

(linked to Ghana Government Bonds,

                

6.393%, due 03/14/13)

   $   900,000     738,450  

6.427%, due 03/13/131

                

(linked to Ghana Government Bonds,

                

6.427%, due 03/13/13)

       900,000     742,950  

7.148%, due 03/14/131

                

(linked to Ghana Government Bonds,

                

7.148%, due 03/14/13)

       1,100,000     910,140  
           
 
              2,391,540  
           
 
India — 2.34%                
Standard Chartered Bank,                

8.130%, due 09/23/22

                

(linked to Indian Government Bonds,

                

8.130%, due 09/23/22)

       5,918,535     6,584,962  
           
 
Serbia — 1.63%                
Citigroup Funding Inc.,                

12.520%, due 04/09/122,10

                

(linked to Serbian Treasury Bill,

                

12.520%, due 04/09/12)

       300,000     296,070  

12.560%, due 02/25/132,10

                

(linked to Serbian Treasury Bill,

                

12.560%, due 02/25/13)

       2,850,000     2,943,765  
UniCredit Bank AG,                

12.000%, due 06/07/1210

                

(linked to Serbian Treasury Bill,

                

12.000%, due 06/07/12)

       1,500,000     1,351,890  
           
 
              4,591,725  
           
 
Sri Lanka — 0.95%                
Citigroup Funding Inc,                

6.750%, due 09/11/12

                

(linked to Sri Lanka Treasury Bill,

                

6.750%, due 09/11/12)

       2,750,000     2,666,262  
           
 
Total structured notes                

(cost $16,226,035)

             16,234,489  
           
 
Total bonds                

(cost $259,258,313)

             273,848,534  
           
 
                 
    Shares        
   
       
Common stock — 0.00%                
Mexico — 0.00%                
Hipotecaria Su Casita SA ADR*2,3,11                

(cost $0)

       60,217     0  
           
 
Short-term investment — 0.16%                
Investment company — 0.16%                
UBS Cash Management Prime                

Relationship Fund12

                

(cost $439,790)

       439,790     439,790  
           
 
               
    Face amount        
    covered by        
    contracts        
   
       
Options Purchased* — 0.85%                
Call Options — 0.48%                
Foreign Exchange Option, Buy EUR/BRL,                

strike @ BRL 2.44,

                

expires March 2012

   EUR   5,970,000     31,278  
Foreign Exchange Option, Buy EUR/BRL,                

strike @ BRL 2.43,

                

expires March 2012

       6,110,000     35,100  
Foreign Exchange Option, Buy EUR/KRW,                

strike @ KRW 1,510.00,

                

expires April 2012

       4,310,000     63,693  
Foreign Exchange Option, Buy EUR/MXN,                

strike @ MXN 18.00,

                

expires February 2012

       4,070,000     82  
Foreign Exchange Option, Buy EUR/PLN,                

strike @ PLN 4.50,

                

expires February 2012

       4,390,000     0  
Foreign Exchange Option, Buy EUR/PLN,                

strike @ PLN 4.52,

                

expires February 2012

       4,570,000     94  

Foreign Exchange Option, Buy EUR/RUB,                

strike @ RUB 40.20,

                

expires March 2012

       1,730,000     27,886  
Foreign Exchange Option, Buy EUR/RUB,                

strike @ RUB 40.30,

                

expires March 2012

       5,350,000     79,943  
Foreign Exchange Option, Buy USD/BRL,                

strike @ BRL 1.79,

                

expires February 2012

   $   4,140,000     2,127  
Foreign Exchange Option, Buy USD/CLP,                

strike @ CLP 520.00,

                

expires March 2012

       2,590,000     11,921  
Foreign Exchange Option, Buy USD/CLP,                

strike @ CLP 520.00,

                

expires March 2012

       2,810,000     15,579  
Foreign Exchange Option, Buy USD/CZK,                

strike @ CZK 19.50,

                

expires March 2012

       5,090,000     93,480  
Foreign Exchange Option, Buy USD/CZK,                

strike @ CZK 20.30,

                

expires July 2012

       15,270,000     429,199  
Foreign Exchange Option, Buy USD/CZK,                

strike @ CZK 20.15,

                

expires July 2012

       10,200,000     312,419  
Foreign Exchange Option, Buy USD/ILS,                

strike @ ILS 3.98,

                

expires April 2012

       10,180,000     29,071  
Foreign Exchange Option, Buy USD/ILS,                

strike @ ILS 3.87,

                

expires April 2012

       10,180,000     69,395  
Foreign Exchange Option, Buy USD/ILS,                

strike @ ILS 3.89,

                

expires April 2012

       5,090,000     30,281  
Foreign Exchange Option, Buy USD/ILS,                

strike @ ILS 3.95,

                

expires April 2012

       5,090,000     19,761  
Foreign Exchange Option, Buy USD/KRW,                

strike @ KRW 1,220.00,

                

expires March 2012

       5,070,000     14,103  
Foreign Exchange Option, Buy USD/MXN,                

strike @ MXN 13.10,

                

expires February 2012

       4,530,000     11,323  
Foreign Exchange Option, Buy USD/RUB,                

strike @ RUB 30.70,

                

expires February 2012

       5,140,000     16,294  
Foreign Exchange Option, Buy USD/SAR,                

strike @ SAR 3.75,

                

expires July 2013

       10,587,500     59,489  
           
 
              1,352,518  
           
 
Put Options — 0.37%                
Foreign Exchange Option, Buy EUR/KRW,                

strike @ KRW 1,450.00,

                

expires April 2012

   EUR   4,310,000     56,260  
Foreign Exchange Option, Buy EUR/RUB,                

strike @ RUB 39.90,

                

expires March 2012

       1,730,000     32,686  
Foreign Exchange Option, Buy EUR/RUB,                

strike @ RUB 40.30,

                

expires March 2012

       5,350,000     143,046  
Foreign Exchange Option, Buy EUR/TRY,                

strike @ TRY 2.20,

                

expires March 2012

       3,720,000     7,413  
Foreign Exchange Option, Buy USD/CLP,                

strike @ CLP 490.00,

                

expires March 2012

   $   2,590,000     35,120  
Foreign Exchange Option, Buy USD/CLP,                

strike @ CLP 485.00,

                

expires March 2012

       2,810,000     28,961  
Foreign Exchange Option, Buy USD/CNY,                

strike @ CNY 6.22,

                

expires January 2013

       10,180,000     99,740  
Foreign Exchange Option, Buy USD/CNY,                

strike @ CNY 6.29,

                

expires January 2013

       10,180,000     149,652  
Foreign Exchange Option, Buy USD/HUF,                

strike @ HUF 219.00,

                

expires March 2012

       5,430,000     60,420  
Foreign Exchange Option, Buy USD/HUF,                

strike @ HUF 219.00,

                

expires March 2012

       3,620,000     40,280  
Foreign Exchange Option, Buy USD/MYR,                

strike @ MYR 3.05,

                

expires April 2012

       3,620,000     51,146  

Foreign Exchange Option, Buy USD/RUB,                

strike @ RUB 29.90,

                

expires March 2012

       4,970,000     33,554  
Foreign Exchange Option, Buy USD/RUB,                

strike @ RUB 29.90,

                

expires March 2012

       3,100,000     20,929  
Foreign Exchange Option, Buy USD/RUB,                

strike @ RUB 30.15,

                

expires March 2012

       3,690,000     36,014  
Foreign Exchange Option, Buy USD/RUB,                

strike @ RUB 29.60,

                

expires March 2012

       5,200,000     31,369  
Foreign Exchange Option, Buy USD/RUB,                

strike @ RUB 30.25,

                

expires April 2012

       8,950,000     154,991  
Foreign Exchange Option, Buy USD/SAR,                

strike @ SAR 3.75,

                

expires July 2013

       10,587,500     57,441  
Foreign Exchange Option, Buy USD/ZAR,                

strike @ ZAR 7.65,

                

expires February 2012

       4,940,000     2,584  
Foreign Exchange Option, Buy USD/ZAR,                

strike @ ZAR 7.70,

                

expires February 2012

       6,100,000     7,837  
Foreign Exchange Option, Buy USD/ZAR,                

strike @ ZAR 7.70,

                

expires February 2012

       4,460,000     5,730  
           
 
              1,055,173  
           
 
Total options purchased                

(cost $4,166,021)

             2,407,691  
           
 
Total investments13 — 98.19%                

(cost $263,864,124)

             276,696,015  
Cash and other assets, less liabilities — 1.81%             5,094,778  
           
 
Net assets — 100.00%           $ 281,790,793  
           
 

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   $ 25,979,441  
Gross unrealized depreciation     (13,147,550 )
   
 
Net unrealized appreciation of investments   $ 12,831,891  
   
 

For a listing of portfolio footnotes, 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

                          Unrealized
        Contracts to           Maturity     appreciation/
Counterparty       deliver   In exchange for   date     (depreciation)
 
 
 
   
BB   PLN   3,033,000   USD   914,050   02/24/12     $ (23,746 )
BB   RUB   32,560,000   USD   1,014,014   02/24/12       (57,980 )
BB   USD   6,059,105   CNY   37,930,000   01/25/13       (44,331 )
BB   ZAR   4,248,000   USD   526,055   02/24/12       (15,345 )
CITI   HUF   615,667,000   USD   2,715,000   03/09/12       (10,060 )
CITI   RUB   32,001,000   USD   1,040,007   03/26/12       (8,760 )
CSI   BRL   23,658,994   USD   13,105,298   03/15/12       (297,849 )
CSI   CLP   1,295,799,000   USD   2,506,866   03/15/12       (116,545 )
CSI   CLP   412,360,000   USD   842,999   03/19/12       8,525  
CSI   CLP   531,318,000   USD   1,053,749   03/19/12       (21,453 )
CSI   CNY   12,852,000   USD   2,036,041   01/10/13       (1,637 )
CSI   COP   13,786,789,000   USD   7,161,521   03/15/12       (434,186 )
CSI   EUR   2,028,000   USD   2,598,051   02/03/12       (54,676 )
CSI   EUR   11,248,000   USD   14,482,796   02/06/12       (230,183 )
CSI   EUR   3,955,000   USD   5,198,997   02/24/12       25,472  
CSI   INR   202,357,000   USD   3,679,440   03/15/12       (371,924 )
CSI   KRW   3,120,790,000   USD   2,735,615   03/15/12       (33,599 )
CSI   MXN   27,990,000   USD   2,036,007   02/07/12       (110,555 )
CSI   MXN   65,737,000   USD   5,047,161   02/24/12       12,888  
CSI   MYR   5,575,000   USD   1,810,065   05/02/12       (12,456 )
CSI   PLN   14,837,000   USD   4,281,801   02/06/12       (314,304 )
CSI   RUB   40,490,000   USD   1,342,507   02/24/12       9,427  
CSI   RUB   219,624,000   USD   7,053,013   02/24/12       (177,815 )
CSI   TRY   4,751,000   USD   2,534,407   02/06/12       (136,632 )
CSI   TRY   6,453,000   USD   3,604,625   02/24/12       (8,148 )
CSI   TRY   4,900,000   USD   2,540,176   03/15/12       (190,353 )
CSI   TWD   699,128   USD   23,211   03/15/12       (433 )
CSI   USD   5,684,947   CLP   2,927,360,000   03/15/12       241,643  
CSI   USD   2,051,233   CNY   12,852,000   01/10/13       (13,555 )
CSI   USD   11,682,846   EUR   9,072,000   02/06/12       183,809  
CSI   USD   5,710,251   EUR   4,362,000   02/24/12       (4,330 )
CSI   USD   584,742   EUR   457,000   02/24/12       13,059  
CSI   USD   2,597,869   HUF   651,995,000   02/03/12       299,857  
CSI   USD   6,862,123   IDR   64,572,576,958   03/15/12       292,583  
CSI   USD   2,715,541   KRW   3,131,290,000   03/15/12       62,991  
CSI   USD   2,108,904   MXN   27,990,000   02/07/12       37,658  
CSI   USD   5,896,616   MXN   77,084,000   02/24/12       6,633  
CSI   USD   4,482,251   MYR   13,920,687   03/15/12       80,715  
CSI   USD   2,797,543   PLN   9,718,000   02/06/12       212,833  
CSI   USD   12,297,333   PLN   41,485,000   03/15/12       502,552  
CSI   USD   2,615,181   TRY   4,751,000   02/06/12       55,858  
CSI   USD   2,535,323   TRY   4,608,000   02/24/12       44,510  
CSI   USD   507,206   ZAR   4,100,000   03/15/12       13,776  
CSI   ZAR   7,717,000   USD   988,042   02/24/12       4,524  
CSI   ZAR   7,795,000   USD   988,060   02/24/12       (5,398 )
CSI   ZAR   61,800,000   USD   7,277,523   03/15/12       (575,321 )
DB   BRL   5,506,000   EUR   2,388,202   03/12/12       2,904  
DB   BRL   5,885,000   EUR   2,545,966   03/13/12       (4,828 )
DB   CNY   4,886,000   USD   766,732   09/26/12       (7,537 )
DB   EUR   2,387,816   BRL   5,566,000   03/12/12       31,613  
DB   EUR   1,018,000   USD   1,294,927   02/06/12       (36,671 )
DB   HUF   478,379,000   USD   2,111,666   03/09/12       (5,731 )
DB   HUF   67,492,000   USD   301,667   03/09/12       2,935  
DB   HUF   162,634,500   USD   698,902   03/14/12       (20,549 )
DB   PLN   3,086,000   USD   877,969   02/06/12       (77,991 )
DB   PLN   8,010,000   USD   2,304,194   03/15/12       (167,231 )
DB   RUB   84,094,000   USD   2,719,992   02/24/12       (48,691 )
DB   USD   1,670,077   BRL   3,020,000   03/15/12       40,795  
DB   USD   409,402   CNY   2,630,000   09/26/12       7,365  

DB   USD   2,659,418   EUR   2,028,000   02/24/12       (6,596 )
DB   USD   297,860   HUF   67,492,000   03/09/12       873  
DB   USD   871,899   PLN   3,086,000   02/06/12       84,061  
DB   USD   2,102,186   RUB   65,078,000   02/24/12       40,421  
DB   USD   5,837,549   THB   181,518,590   03/15/12       14,515  
GSI   BRL   1,876,000   USD   1,082,079   06/22/12       39,378  
GSI   CNY   8,295,000   USD   1,302,198   09/26/12       (12,284 )
GSI   CNY   13,662,000   USD   2,156,590   01/10/13       (9,513 )
GSI   EUR   1,521,000   USD   1,966,083   02/03/12       (23,462 )
GSI   EUR   2,155,000   USD   2,786,441   02/06/12       (32,413 )
GSI   EUR   2,892,000   USD   3,752,471   02/24/12       (30,546 )
GSI   HUF   1,139,780,000   USD   4,539,229   02/03/12       (526,409 )
GSI   PLN   1,607,000   USD   456,911   02/06/12       (40,895 )
GSI   RUB   45,900,000   USD   1,491,010   02/24/12       (20,186 )
GSI   USD   1,116,002   BRL   1,876,000   06/22/12       (73,301 )
GSI   USD   815,765   CNY   5,247,000   09/26/12       15,710  
GSI   USD   4,551,593   EUR   3,549,000   02/03/12       90,679  
GSI   USD   5,495,213   EUR   4,263,000   02/06/12       81,017  
GSI   USD   1,959,842   HUF   487,785,000   02/03/12       208,070  
GSI   USD   1,777,386   MXN   24,200,000   03/15/12       72,725  
GSI   USD   579,394   PHP   25,250,000   03/15/12       7,341  
GSI   USD   1,944,701   PLN   6,726,000   02/06/12       138,834  
GSI   USD   7,121,719   RUB   223,329,999   03/15/12       209,892  
GSI   USD   1,014,015   TRY   1,845,000   02/24/12       18,926  
GSI   USD   2,796,255   ZAR   21,801,000   02/06/12       (10,480 )
GSI   USD   1,789,917   ZAR   14,450,000   03/15/12       46,225  
GSI   ZAR   52,602,000   USD   6,740,593   02/24/12       36,567  
HSBC   EUR   7,700,000   USD   9,871,631   04/20/12       (203,003 )
JPMCB   PEN   4,000,000   USD   1,467,890   03/15/12       (16,120 )
JPMCB   USD   1,421,009   BRL   2,550,000   03/15/12       23,602  
JPMCB   USD   5,090,028   CNY   32,029,000   02/29/12       (14,881 )
JPMCB   USD   824,638   CNY   5,304,000   09/26/12       15,870  
JPMCB   USD   5,089,943   CNY   31,889,000   01/25/13       (33,124 )
JPMCB   USD   3,940,804   HUF   923,881,999   03/14/12       146,202  
JPMCB   USD   6,058,401   INR   316,107,000   03/15/12       270,338  
JPMCB   USD   5,617,305   MXN   77,384,000   03/15/12       298,767  
JPMCB   USD   11,955,383   TRY   22,629,324   03/15/12       654,827  
MLI   EUR   2,546,002   BRL   5,922,000   03/13/12       25,751  
MLI   EUR   1,018,000   USD   1,295,466   02/06/12       (36,132 )
RBS   USD   2,667,872   EUR   2,104,000   02/06/12       84,271  
RBS   ZAR   21,801,000   USD   2,667,931   02/06/12       (117,844 )
                         
 
Net unrealized depreciation on forward foreign currency contracts       $ (28,205 )
                         
 

Futures contracts

                        Unrealized
    Expiration     Cost/             appreciation/
    date     (proceeds)       Value     (depreciation)
   
 
   
 
US Treasury futures buy contracts:                            
5 Year US Treasury Notes, 50 contracts (USD)   March 2012   $ 6,193,734     $ 6,202,344     $ 8,610  
US Treasury futures sell contracts:                            
US Long Bond, 58 contracts (USD)   March 2012     (8,286,901 )     (8,435,375 )     (148,474 )
                       
 
Net unrealized depreciation on futures contracts                       $ (139,864 )
                       
 

Options written

                   
    Expiration   Premiums        
    date   received     Value  
   
 
   
Call options                  
Foreign Exchange Option, Sell USD/CZK 07/09/12,                  
USD 8,140,000 face amount covered by contracts, strike @ CZK 22.60   July 2012   $ 222,466     $(124,751 )
Foreign Exchange Option, Sell USD/CZK 07/12/12,                  
USD 7,650,000 face amount covered by contracts, strike @ CZK 22.40   July 2012     222,539     (87,584 )
       
   
 
Total options written       $ 445,005     $(212,335 )
       
   
 

Foreign exchange option activity for the period ended January 31, 2012 was as follows:

    Amount of
premiums
received
   
Foreign exchange options outstanding at October 31, 2011   $ 438,879  
Foreign exchange options written     1,089,389  
Foreign exchange options terminated in closing purchase transactions     (1,083,263 )
Foreign exchange options expired prior to exercise     —  
   
 
Foreign exchange options outstanding at January 31, 2012   $ 445,005  
   
 


Swaption and foreign exchange option activity for the period ended January 31, 2012 for UBS Global High Income Fund, Inc. was as follows:

Currency swap agreement

Counterparty — BB

                            Upfront        
    Pay       Receive               payments        
    contracts       contracts   Termination   Pay   Receive   (made)/       Unrealized
    (000)       (000)   date   rate14   rate14   received   Value   appreciation
 
 
 
 
 
 
 
INR     308,000     USD     5,967     05/12/16     4.500 %   6 month USD LIBOR   $ —     $ 1,2833     $ 1,283  
                                       
 
 

Counterparty — CITI

                            Upfront        
    Pay       Receive               payments        
    contracts       contracts   Termination   Pay   Receive   (made)/       Unrealized
    (000)       (000)   date   rate14   rate14   received   Value   appreciation
 
 
 
 
 
 
 
USD     3,206     COP     6,300,000     06/11/13     0.760 %2   6 month USD LIBOR   $ —     $ 380,6073     $ 380,607  
                                       
 
 

Interest rate swap agreements
                                 
                  Payments     Upfront       Unrealized
    Notional amount   Termination   Payments made     received by the     payments       appreciation/
Counterparty   (000)   date   by the Fund15     Fund15     made   Value   (depreciation)
 
 
 
 
 
 
 
BB   KRW     3,250,000     08/19/16   3.530%     3 month CD KSDA     $ —     $ (8,187 )   $ (8,187 )
CITI   KRW     2,900,000     08/26/16   3.410     3 month CD KSDA       —       1,116       1,116  
CITI   MYR     1,950     08/24/15   3 month KLIBOR     3.505%       —       6,899       6,899  
DB   MYR     7,650     08/24/15   3 month KLIBOR     3.500       —       26,622       26,622  
DB   THB     88,150     08/22/16   3.680     6 month THBFIX       —       (31,656 )     (31,656 )
DB   TWD     85,000     08/22/16   1.325     3 month TWCPBA       —       (18,678 )     (18,678 )
GSI   THB     81,000     08/26/16   3.470     6 month THBFIX       —       (14,003 )     (14,003 )
GSI   TWD     85,500     08/26/16   1.280     3 month TWCPBA       —       (14,770 )     (14,770 )
MLI   MXN     7,200     11/16/28   28 day MXIBTIIE     8.830       —       93,634       93,634  
MLI   MXN     7,000     11/21/28   28 day MXIBTIIE     8.610       —       78,584       78,584  
MLI   MYR     8,720     01/18/13   3 month KLIBOR     3.470       —       3,259       3,259  
                               
 
 
                                $ —     $ 122,820     $ 122,820  
                               
 
 

Credit default swaps on sovereign issues — buy protection16

        Notional         Payments   Upfront              
        amount     Termination   made by the   payments         Unrealized
Counterparty   Referenced Obligation18   (000)     date   Fund17   made   Value   depreciation
 
 
 
 
 
 
 
CSI   Republic of Venezuela                                      
    Bond, 9.250%, due                                      
    09/15/27   USD 400   03/20/16   5.000%     $ (78,344 )   $ 40,582   $ (37,762 )
DB   Republic of Venezuela                                      
    Bond, 9.250%, due                                      
    09/15/27   USD 2,600   03/20/16   5.000       (487,929 )     263,786     (224,143 )
MLI   Republic of Venezuela                                      
    Bond, 9.250%, due                                      
    09/15/27   USD 2,700   03/20/17   5.000       (441,450 )     366,013     (75,437 )
                       
 
 
                        $ (1,007,723 )   $ 670,381   $ (337,342 )
                       
 
 

Credit default swaps on sovereign issues — sell protection19

                        Upfront                      
                  Payments     payments           Unrealized      
        Notional amount   Termination   received by     (made)/           appreciation/   Credit
Counterparty   Referenced obligation   (000)     date   the Fund20     received   Value   (depreciation)   spread21
 
 
 
 
   
 
 
 
BB   Republic of Argentina bond,                                              
    8.280%, due 12/31/33   USD 2,900   09/20/15   5.000%     $ 360,003     $ (191,614 )   $ 168,389     7.257 %
CITI   Republic of Turkey bond,                                              
    11.875%, due 01/15/30   USD 650   03/20/17   1.000       71,876       (53,733 )     18,143     2.782  
CSI   Republic of Argentina bond,                                              
    8.280%, due 12/31/33   USD 750   03/20/12   5.000       17,917       7,088       25,005     2.437  
CSI   Development Bank of                                              
    Kazakhstan bond, 7.375%,                                              
    due 11/12/13   USD 4,500   05/20/12   3.300       —       46,215       46,215     2.091  
CSI   United Mexican States                                              
    bond, 7.500%, due                                              
    04/08/33   USD 1,000   02/20/14   4.170       —       87,320       87,320     0.840  
CSI   Russian Federation bond,                                              
    2.250%, due 03/31/30   USD 800   03/20/17   1.000       66,124       (46,876 )     19,248     2.248  
CSI   Republic of Turkey bond,                                              
    11.875%, due 01/15/30   USD 1,550   03/20/17   1.000       170,746       (128,134 )     42,612     2.782  
DB   Republic of Argentina bond,                                              
    8.280%, due 12/31/33   USD 1,200   09/20/15   5.000       128,500       (79,289 )     49,211     7.257  
DB   Ukraine Government bond,                                              
    6.750%, due 11/14/17   USD 1,050   12/20/15   5.000       (9,204 )     (105,547 )     (114,751 )   8.371  
DB   Development Bank of                                              
    Kazakhstan bond, 7.375%,                                              
    due 11/12/13   USD 1,100   03/20/17   1.000       106,686       (83,641 )     23,045     2.630  
JPMCB   Russian Federation bond,                                              
    2.250%, due 03/31/30   USD 600   03/20/17   1.000       49,856       (35,157 )     14,699     2.248  
MLI   Russian Federation bond,                                              
    2.250%, due 03/31/30   USD 2,200   03/20/17   1.000       181,841       (128,910 )     52,931     2.248  
MSCI   Development Bank of                                              
    Kazakhstan bond, 7.375%,                                              
    due 11/12/13   USD 1,200   03/20/17   1.000       115,869       (91,245 )     24,624     2.630  
                       
 
 
       
                        $ 1,260,214     $ (803,523 )   $ 456,691        
                       
 
 
       

US Generally accepted accounting principles (“GAAP”) requires disclosure surrounding 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 value of investments.

In January 2010, FASB issued Accounting Standards Update (“ASU”) No. 2010-06, “Improving Disclosures about Fair Value Measurements” (“ASU 2010-06”). ASU 2010-06 requires reporting entities to make new disclosures about amounts and reasons for significant transfer in and out of Level 1and Level 2 fair value measurements as well as inputs and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, including information on purchases, sales, issuances and settlements on a gross basis in the reconciliation of activity in Level 3 fair value measurements. The new and revised disclosures have been implemented for annual and interim periods beginning after December 15, 2009. The disclosures surrounding purchases, sales, issuances and settlements on a gross basis in the reconciliation of Level 3 fair value measurements have been implemented for annual and interim periods beginning after December 15, 2010.

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

The following is a summary of the inputs used as of January 31, 2012 in valuing the Fund’s investments:

    Unadjusted quoted                      
    prices in active                      
    markets for   Other significant   Unobservable        
    identical investments   observable inputs   inputs        
Description   (Level 1)   (Level 2)   (Level 3)   Total
Corporate bonds   $ —     $ 46,258,948     $ 7,180,340   $ 53,439,288  
Non-US government obligations     —       200,660,386       —     200,660,386  
Convertible bonds     —       3,514,371       —     3,514,371  
Structured notes     —       14,882,599       1,351,890     16,234,489  
Common stock     —       —       0     0  
Short-term investment     —       439,790       —     439,790  
Options purchased     —       2,407,691       —     2,407,691  
Forward foreign currency contracts     —       (28,205 )     —     (28,205 )
Futures contracts     (139,864 )     —       —     (139,864 )
Options written     —       (212,335 )     —     (212,335 )
Swap agreements     —       371,568       —     371,568  
Total   $ (139,864 )   $ 268,294,813     $ 8,532,230   $ 276,687,179  

Level 3 rollforward disclosure
 The following is a rollforward of the Fund’s investments that were valued using unobservable inputs for the period:

    Corporate bonds   Common Stock   Structured notes   Total
Assets                                
Beginning balance   $ 8,037,895     $ 0     $ 1,460,445     $ 9,498,340  
Purchases     –       –       –       –  
Issuances     –       –       –       –  
Sales     (1,237,292 )     –       –       (1,237,292 )
Settlements     –       –       –       –  
Accrued discounts (premiums)     –       –       –       –  
Total realized gain (loss)     447,235       –       –       447,235  
Change in net unrealized appreciation/depreciation     (67,498 )     –       (108,555 )     (176,053 )
Transfers into Level 3     –       –       –       –  
Transfers out of Level 3     –       –       –       –  
Ending balance   $ 7,180,340     $ 0     $ 1,351,890     $ 8,532,230  

The change in net unrealized appreciation/depreciation relating to the Level 3 investments held at January 31, 2012 was $120,440.


Portfolio footnotes

*   Non-income producing security.
1   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 January 31, 2012, the value of these securities amounted to $46,531,718 or 16.51% of net assets.
2   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 January 31, 2012, the value of these securities amounted to $37,312,414 or 13.24% of net assets.
3   Holding is illiquid. At January 31, 2012, the value of these securities and other derivative instruments amounted to $7,711,690 or 2.74% of net assets.
4   Security held past stated maturity date due to defaulted status. Bond is being traded based on potential future claim.
5   Security linked to closed-end fund or structured investment vehicle.
6   Variable or floating rate security — The interest rate shown is the current rate as of January 31, 2012 and changes periodically.
7   Security has yet to make its first payment. 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 issuers’ 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 January 31, 2012. Maturity date disclosed is the ultimate maturity date.
10   Rate shown reflects annualized yield at January 31, 2012 on zero coupon bond.
11   Security is being fair valued by a valuation committee under the direction of the Board of Directors. At January 31, 2012, the value of this security amounted to $0 or 0.00% of net assets.
12   The table below details the Fund’s investment in a fund that is advised by the same advisor as the Fund. The advisor does not earn a management fee from the affiliated UBS Relationship Fund.

                    Income
        Purchases   Sales       earned from
        during the   during the       affiliate for the
        three months   three months       three months
    Value   ended   ended   Value   ended
Security description   10/31/11   01/31/12   01/31/12   01/31/12   01/31/12
 
 
 
 
 
UBS Cash Management Prime Relationship Fund   $ 16,615,794     $ 14,442,597     $ 30,618,601     $ 439,790     $ 2,706  
   
   
   
   
   
 

13   The Fund calculates its net asset value based on the current market value, where available, for its portfolio securities. The Fund normally obtains market values for its securities and other instruments from independent pricing sources and broker-dealers. Independent pricing sources may use reported last sale prices, official market closing prices, current market quotations or valuations from computerized evaluation systems that derive values based on comparable securities or instruments. An evaluation system incorporates parameters such as security quality, maturity and coupon, and/or research and evaluations by its staff, including review of broker-dealer market price quotations, if available, in determining the valuation of the portfolio securities or instruments. Securities and other instruments also may be valued based on appraisals derived from information concerning the security or instrument or similar securities or instruments received from recognized dealers in those holdings. Securities and instruments traded in the over-the-counter (“OTC”) market and listed on The NASDAQ Stock Market, Inc. (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price. Other OTC securities are valued at the last bid price on the valuation date available prior to valuation. Securities and instruments which are listed on US and foreign stock exchanges normally are valued at the market closing price, the last sale price on the day the securities are valued or, lacking any sales on such day, at the last available bid price. In cases where securities or instruments are traded on more than one exchange, the securities or instruments are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc. (“UBS Global AM” or the “Advisor”), the investment advisor of the Fund. If a market value is not readily available from an independent pricing source for a particular security or instrument, that security or instrument is valued at fair value as determined in good faith by or under the direction of the Fund’s Board of Directors (the “Board”). Various factors may be reviewed in order to make a good faith determination of a security’s or instrument’s fair value. These factors include, but are not limited to, fundamental analytical data relating to the investment; the nature and duration of restrictions on disposition of the securities or instruments; and the evaluation of forces which influence the market in which the securities or instruments are purchased and sold. Foreign currency exchange rates are generally determined as of the close of the New York Stock Exchange (“NYSE”). Certain securities or instruments in which the Fund invests are traded in markets that close before 4:00 p.m. Eastern Time. Normally, developments that occur between the close of the foreign markets and 4:00 p.m. Eastern Time will not be reflected in the Fund’s net asset value. However, if the Fund determines that such developments are so significant that they will materially affect the value of the Fund’s securities or instruments, the Fund may adjust the previous closing prices to reflect what the Board believes to be the fair value of these securities or instruments as of 4:00 p.m. Eastern Time. The amortized cost method of valuation, which approximates market value, generally is used to value short-term debt instruments with 60 days or less remaining to maturity, unless the Board determines that this does not represent fair value. Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. 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. All investments quoted in foreign currencies will be valued daily in US dollars on the basis of the foreign currency exchange rates prevailing at the time such valuation is determined by the Fund’s custodian.
14   Payments made by the Fund or received by the Fund are based on the notional amount.
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 made are based on the notional amount.
18   Payment from the counterparty will be received upon the occurrence of bankruptcy and/or by a restructuring event with respect to the above referenced obligation.
19   If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.
20   Payments received are based on the notional amount.
21   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
ADR   American depositary receipt
CD KSDA   Korean Securities Dealer Association 91-day Certificate of Deposit Rate
GDP   Gross domestic product
GDR   Global depositary receipt
JSC   Joint stock company
KLIBOR   Korea Interbank Offered Rate
LIBOR   London Interbank Offered Rate
MXIBTIIE   Mexico Interbank TIIE 28 Day Rate
OJSC   Open joint stock company
THBFIX   Thailand Interbank Offered Rate (BIBOR)
TWCPBA   Taiwan Secondary Markets Bills Rate

Counterparty abbreviations
BB   Barclays Bank PLC
CITI   Citibank NA
CSI   Credit Suisse International
DB   Deutsche Bank AG
GSI   Goldman Sachs International
HSBC   HSBC Bank PLC
JPMCB   JP Morgan Chase Bank
MLI   Merrill Lynch International
MSCI   Morgan Stanley & Co. International PLC
RBS   Royal Bank of Scotland PLC
     
Currency abbreviations
BRL   Brazilian Real
CLP   Chilean Peso
CNY   Chinese Yuan
COP   Colombian Peso
CZK   Czech Koruna
EUR   Euro
HKD   Hong Kong Dollar
HUF   Hungarian Forint
IDR   Indonesian Rupiah
ILS   Israel New Shekel
INR   Indian Rupee
KRW   Korean Won
MXN   Mexican Peso
MYR   Malaysian Ringgit
PEN   Peru Nuevo Sol
PHP   Philippine Peso
PLN   Polish Zloty
RUB   Russian Ruble
SAR   Saudi Arabia Riyal
THB   Thai Baht
TRY   Turkish Lira
TWD   New Taiwan Dollar
USD   United States Dollar
ZAR   South African Rand

For more information regarding the Fund’s other significant accounting policies, please refer to the Fund’s annual report to shareholders dated October 31, 2011.


Item 2.  Controls and Procedures.

      (a)  
The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“Investment Company Act”)) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
           
      (b)  
The registrant’s principal executive officer and principal financial officer are aware of no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3.  Exhibits.

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

     SIGNATURES

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

Global High Income Fund Inc.

By:   /s/ Mark E. Carver
    Mark E. Carver
    President
     
Date:   April 2, 2012

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

By:   /s/ Mark E. Carver
    Mark E. Carver
    President
     
Date:   April 2, 2012
     
By:   /s/ Thomas Disbrow
    Thomas Disbrow
    Vice President and Treasurer
     
Date:   April 2, 2012