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)

51 West 52nd Street, New York, New York 10019-6114

(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.
UBS Global Asset Management
51 West 52nd Street
New York, NY 10019-6114
(Name and address of agent for service)

Copy to:
Jack W. Murphy, Esq.
Dechert LLP
1775 I Street, N.W.
Washington, DC 20006-2401

Registrant’s telephone number, including area code: 212-882 5000

Date of fiscal year end: October 31

Date of reporting period: July 31, 2009


Item 1. Schedule of Investments

Global High Income Fund Inc.
Portfolio of investments — July 31, 2009 (unaudited)

             
      Face      
Security description     amount   Value
   
 
Bonds — 84.44%            
Corporate bonds — 15.48%            
Bermuda — 1.04%            
Qtel International Finance Ltd.,            

7.875%, due 06/10/19(1)

   $ 2,550,000   $ 2,776,392
         
Brazil — 1.23%            
Centrais Eletricas Brasileiras SA,            

6.875%, due 07/30/19(1)

   $ 1,190,000     1,216,775
Globo Comunicacao e Participacoes SA,            

9.375%, due 10/20/09(2)

     563,000     550,333
Union National FIDC Trust 2006,            

due 07/01/10(3),(4),(5),(6)

   BRL 1,832,665     366,047

due 07/01/10(4),(5),(6)

     2,075,000     416,191

due 05/01/11(4),(5),(6)

     3,560,082     732,354
         
Total Brazil corporate bonds           3,281,700
         
Cayman Islands — 1.16%            
TDIC Finance Ltd.,            

6.500%, due 07/02/14

   $ 3,000,000     3,096,258
         
Indonesia — 1.35%            
Majapahit Holding BV,            

7.250%, due 10/17/11

   $ 500,000     511,250

7.250%, due 06/28/17(1)

     1,050,000     1,008,000

7.250%, due 06/28/17

     350,000     336,000

7.875%, due 06/29/37

     2,000,000     1,740,000
         
Total Indonesia corporate bonds           3,595,250
         
Kazakhstan — 0.33%            
CenterCredit International BV,            

8.250%, due 09/30/11

   KZT 220,000,000     875,593
         
Malaysia — 3.24%            
Johor Corp.,            

1.000%, due 07/31/12(5)

   MYR 26,970,000     8,651,838
         
Mexico — 0.93%            
Desarrolladora Homex SAB de CV,            

7.500%, due 09/28/15

   $ 1,850,000     1,683,500
Hipotecaria Su Casita SA,            

8.500%, due 10/04/16

     1,145,000     801,500
         
Total Mexico corporate bonds           2,485,000
         
Philippines — 0.64%            
National Power Corp.,            

9.625%, due 05/15/28

   $ 1,160,000     1,241,200
Power Sector Assets & Liabilities Management Corp.,            

7.250%, due 05/27/19(1)

     450,000     460,125
         
Total Philippines corporate bonds           1,701,325
         
Russia — 4.31%            
Dali Capital PLC for Bank of Moscow,            

7.250%, due 11/25/09

   RUB 75,800,000     2,312,371
RSHB Capital SA for OJSC Russian Agricultural Bank,            

7.125%, due 01/14/14(1)

   $ 300,000     300,000

7.750%, due 05/29/18

     2,450,000     2,425,499

9.000%, due 06/11/14(1)

     1,000,000     1,065,700
TransCapitalInvest Ltd.,            

8.700%, due 08/07/18(1)

     1,400,000     1,393,000
VTB Capital SA,            

6.250%, due 06/30/35

     2,000,000     1,715,000

6.315%, due 02/04/15(7)

     1,400,000     1,302,000

6.875%, due 05/29/18(1)

     1,100,000     1,020,250
         
Total Russia corporate bonds           11,533,820
         

South Korea — 0.34%            
Export-Import Bank of Korea,            

5.500%, due 10/17/12

   $ 200,000   $ 203,500

5.875%, due 01/14/15

     500,000     503,815
Hana Bank,            

6.500%, due 04/09/12

     200,000     210,500
         
Total South Korea corporate bonds           917,815
         
Ukraine — 0.18%            
NJSC Naftogaz of Ukraine,            

8.125%, due 09/30/09

   $ 600,000     492,000
         
United States — 0.73%            
Pemex Project Funding Master Trust,            

5.750%, due 03/01/18

   $ 1,700,000     1,672,460

6.625%, due 06/15/35

     300,000     277,500
         
Total United States corporate bonds           1,949,960
         
Total corporate bonds            

(cost $42,421,081)

           41,356,951
         
Non US-government obligations — 66.92%            
Argentina — 1.49%            
Argentina Prestamos Garantizadad,            

4.000%, due 04/15/10(7)

   ARS 500,000     49,628
Republic of Argentina,            

1.683%, due 08/03/09(7)

   $ 6,562,000     841,248

1.683%, due 08/03/12(7)

     6,562,000     1,706,120

7.000%, due 03/28/11

     1,775,000     1,382,725
         
            3,979,721
         
Brazil — 11.66%            
Banco Nacional de Desenvolvimento Economico e Social,            

6.500%, due 06/10/19(1)

   $ 1,200,000     1,219,500
Federal Republic of Brazil,            

5.875%, due 01/15/19

     1,750,000     1,789,375

6.000%, due 01/17/17

     4,980,000     5,179,200

7.875%, due 03/07/15

     2,000,000     2,300,000

8.875%, due 10/14/19

     950,000     1,175,625

10.500%, due 07/14/14

     1,250,000     1,581,250
Letras Tesouro Nacional,            

8.411%, due 01/01/10(8)

   BRL 5,300,000     2,743,322
Notas do Tesouro Nacional,            

Series B,

            

6.000%, due 05/15/45

     12,750,000     11,711,140

Series F,

            

10.000%, due 01/01/17

     7,280,000     3,425,246
         
            31,124,658
         
Colombia — 2.95%            
Republic of Colombia,            

7.375%, due 09/18/37

   $ 2,020,000     2,065,450

8.125%, due 05/21/24

     250,000     276,250

9.850%, due 06/28/27

   COP 6,020,000,000     3,065,890

10.375%, due 01/28/33

   $ 270,000     357,750

12.000%, due 10/22/15

   COP 3,685,000,000     2,107,515
         
            7,872,855
         
Dominican Republic — 1.27%            
Republic of Dominica,            

9.040%, due 01/23/18

   $ 355,218     316,144

9.500%, due 09/27/11

     3,115,141     3,083,989
         
            3,400,133
         
El Salvador — 0.36%            
Republic of El Salvador,            

8.250%, due 04/10/32

   $ 1,015,000     954,100
         
Gabon — 0.46%            
Gabonese Republic,            

8.200%, due 12/12/17(1)

   $ 1,270,000     1,216,025
         

Hungary — 5.71%            
Hungary Government Bond,            

5.500%, due 02/12/14

   HUF 1,410,000,000   $ 6,652,640

6.000%, due 10/24/12

     610,000,000     3,036,096

6.750%, due 04/22/11

     170,000,000     882,917

6.750%, due 02/24/17

     991,000,000     4,687,126
         
            15,258,779
         
Indonesia — 5.11%            
Indonesia Treasury Bond,            

9.500%, due 06/15/15

   IDR 5,650,000,000     573,254

9.750%, due 05/15/37

     6,960,000,000     585,908

10.000%, due 02/15/28

     8,800,000,000     797,985

10.250%, due 07/15/27

     8,800,000,000     815,718

10.750%, due 05/15/16

     27,050,000,000     2,902,594

11.000%, due 09/15/25

     8,000,000,000     789,924

12.000%, due 09/15/26

     32,715,000,000     3,469,274
Republic of Indonesia,            

8.500%, due 10/12/35

   $ 1,050,000     1,149,750

11.625%, due 03/04/19(1)

     1,900,000     2,555,500
         
            13,639,907
         
Malaysia — 0.75%            
Malaysia Government Bond,            

3.869%, due 04/13/10

   MYR 3,000,000     862,578

4.378%, due 11/29/19

     2,900,000     829,865

5.734%, due 07/30/19

     1,000,000     316,504
         
            2,008,947
         
Mexico — 2.12%            
Mexican Bonos,            

7.500%, due 06/03/27

   MXN 59,080,000     4,021,017
United Mexican States,            

6.750%, due 09/27/34

   $ 590,000     613,600

7.500%, due 04/08/33

     600,000     673,500

8.300%, due 08/15/31

     290,000     350,900
         
            5,659,017
         
Pakistan — 1.09%            
Islamic Republic of Pakistan,            

6.875%, due 06/01/17(1)

   $ 1,690,000     1,183,000

6.875%, due 06/01/17

     1,000,000     700,000

7.125%, due 03/31/16

     1,400,000     1,036,000
         
            2,919,000
         
Panama — 0.33%            
Republic of Panama,            

7.125%, due 01/29/26

   $ 420,000     445,200

7.250%, due 03/15/15

     400,000     440,000
         
            885,200
         
Peru — 1.11%            
Republic of Peru,            

6.550%, due 03/14/37

   $ 300,000     294,000

7.125%, due 03/30/19

     500,000     540,000

7.350%, due 07/21/25

     1,510,000     1,627,025

8.375%, due 05/03/16

     100,000     117,350

8.750%, due 11/21/33

     320,000     391,200
         
            2,969,575
         
Philippines — 1.24%            
Republic of Philippines,            

7.750%, due 01/14/31

   $ 1,700,000     1,806,250

9.000%, due 02/15/13

     700,000     803,250

9.500%, due 02/02/30

     570,000     713,925
         
            3,323,425
         
Poland — 7.26%            
Government of Poland,            

4.250%, due 05/24/11

   PLN 11,200,000     3,809,498

4.750%, due 04/25/12

     7,500,000     2,551,658

5.250%, due 04/25/13

     9,000,000     3,086,353

5.250%, due 10/25/17

     6,600,000     2,182,859

5.750%, due 09/23/22

     6,100,000     2,013,280

6.000%, due 11/24/10

     14,000,000     4,901,652
Republic of Poland,            

6.375%, due 07/15/19

   $ 800,000     840,944
         
            19,386,244
         

Russia — 2.19%            
Russian Federation,            

7.500%, due 03/31/30(9)

   $ 2,841,600   $ 2,852,256

7.500%, due 03/31/30(1),(9)

     2,259,445     2,267,918

12.750%, due 06/24/28

     495,000     720,844
         
            5,841,018
         
Serbia — 0.92%            
Republic of Serbia,            

3.750%, due 11/01/24(9)

   $ 2,790,000     2,455,200
         
South Africa — 4.66%            
Republic of South Africa,            

5.875%, due 05/30/22

   $ 300,000     301,125

6.500%, due 06/02/14

     600,000     654,000

6.750%, due 03/31/21

   ZAR 50,000,000     5,400,129

7.375%, due 04/25/12

   $ 350,000     385,438

8.000%, due 12/21/18

   ZAR 47,100,000     5,717,915
         
            12,458,607
         
South Korea — 0.56%            
Republic of Korea,            

7.125%, due 04/16/19

   $ 1,350,000     1,491,008
         
Turkey — 9.59%            
Government of Turkey,            

10.000%, due 02/15/12

   TRY 4,490,686     3,236,091

14.000%, due 01/19/11

     12,900,000     9,186,411

15.000%, due 02/10/10

     6,400,000     4,474,931
Republic of Turkey,            

6.750%, due 04/03/18

   $ 2,000,000     2,025,000

6.875%, due 03/17/36

     550,000     525,250

7.000%, due 09/26/16

     2,250,000     2,356,875

7.250%, due 03/15/15

     600,000     640,500

7.500%, due 11/07/19

     800,000     840,000

11.000%, due 01/14/13

     1,950,000     2,315,625
         
            25,600,683
         
Ukraine — 0.46%            
Republic of Ukraine,            

7.650%, due 06/11/13

   $ 1,500,000     1,222,500
         
United Arab Emirates — 0.82%            
Emirate of Abu Dhabi,            

5.500%, due 04/08/14(1)

   $ 2,100,000     2,194,500
         
Venezuela — 4.02%            
Republic of Venezuela,            

5.375%, due 08/07/10

   $ 2,000,000     1,920,000

5.750%, due 02/26/16

     2,065,000     1,249,325

7.000%, due 12/01/18

     4,100,000     2,470,250

7.000%, due 03/31/38

     1,700,000     871,250

7.650%, due 04/21/25

     1,200,000     690,000

9.250%, due 05/07/28

     5,170,000     3,321,725

9.375%, due 01/13/34

     350,000     226,625
         
            10,749,175
         
Vietnam — 0.79%            
Socialist Republic of Vietnam,            

6.875%, due 01/15/16(1)

   $ 1,000,000     1,030,000

6.875%, due 01/15/16

     1,050,000     1,081,500
         
            2,111,500
         
Total non US-government obligations            

(cost $174,814,315)

           178,721,777
         
Sovereign/supranational bond — 2.04%            
Corporacion Andina de Fomento,            

8.125%, due 06/04/19

            

(cost $4,941,428)

   $ 4,950,000     5,458,400
         
Total bonds            

(cost $222,176,824)

           225,537,128
         

      Units      
     
     
Short-term investment — 11.96%            
Investment company — 11.96%            
UBS Cash Management Prime Relationship Fund,            

0.342%(10),(11)

            

(cost $31,959,867)

     31,959,867   $ 31,959,867
         
             
Total investments(12) — 96.40%            

(cost $254,136,691)

           257,496,995
Cash and other assets, less Liabilities — 3.60%           9,623,738
         
Net assets — 100.00%         $ 267,120,733
         

Notes to portfolio of investments        
Aggregate cost for federal income tax purposes, which was the same for book purposes, was $254,136,691; and net unrealized appreciation consisted of:
         
Gross unrealized appreciation   $ 16,008,225  
Gross unrealized depreciation     (12,647,921 )
   
 
Net unrealized appreciation of investments   $ 3,360,304  
   
 

(1)   Security exempt from registration under Rule 144A of 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 July 31, 2009, the value of these securities amounted to $20,906,685 or 7.83% of net assets.
(2)   Perpetual bond security. The maturity date reflects the next call date.
(3)   Security exempt from registration under Rule 144A of the Securities Act of 1933. This security, which represents 0.14% of net assets as of July 31, 2009, is considered illiquid and restricted. (See restricted security table below for more information.)

                          07/31/09
              Acquisition         Market value
              cost as a         as a
    Acquisition   Acquisition   percentage of   07/31/09     percentage of
Restricted security   date   cost   net assets   Market value   net assets
 
 
 
 
 
Union National FIDC Trust 2006,                            

due 07/01/10

      06/28/07    $954,222         0.36%       $366,047          0.14%  
       
   
   
   
 

(4)   Security linked to closed-end fund.
(5)   Security is illiquid. At July 31, 2009, these securities amounted to $10,166,430 or 3.81% of net assets.
(6)   Security is in default.
(7)   Floating rate security — The interest rates shown are the current rates as of July 31, 2009.
(8)   Rate shown reflects annualized yield at July 31, 2009 on zero coupon bond.
(9)   Step bond — Coupon rate increases in increments to maturity. Rate disclosed is as of July 31, 2009. Maturity date disclosed is the ultimate maturity date.
(10)   The table below details the Fund’s investments in securities issued by funds that are advised by the same advisor as the Fund. The advisor does not earn a management fee from either UBS Supplementary Trust—U.S. Cash Management Prime Fund or UBS Cash Management Prime Relationship Fund.

                            Income
                            earned from
          Purchases   Sales during         affiliate for
          during the   the nine         the nine
          nine months   months         months
    Value   ended   ended   Value   ended
Security description   10/31/08   07/31/09   07/31/09   07/31/09   07/31/09
UBS Cash Management Prime                              

Relationship Fund

    $ —      $ 107,949,580      $ 75,989,713      $ 31,959,867      $   66,062
UBS Supplementary Trust—U.S. Cash                              

Management Prime Fund

     14,609,763     53,728,448     68,338,211     —     138,693

(11)   The rate shown reflects the yield at July 31, 2009.
(12)   The Fund calculates its net asset value based on the current market value, where available, for its portfolio securities. The Fund normally obtains market values for its securities from independent pricing sources and broker-dealers. Independent pricing sources may use reported last sale prices, current market quotations or valuations from computerized “matrix” systems that derive values based on comparable securities or instruments. A matrix system incorporates parameters such as security quality, maturity and coupon, and/or research and evaluations by its staff, including review of broker-dealer market price quotations, if available, in determining the valuation of the portfolio securities. Securities traded in the over-the-counter (“OTC”) market and listed on The NASDAQ Stock Market, Inc. (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price. Other OTC securities are valued at the last bid price on the valuation date available prior to valuation. Securities which are listed on US and foreign stock exchanges normally are valued at the last sale price on the day the securities are valued or, lacking any sales on such day, at the last available bid price. In cases where securities are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc., the investment advisor of the Fund. If a market value is not available from an independent pricing source for a particular security, that security is valued at fair value as determined in good faith by or under the direction of the Fund’s Board of Directors (the “Board”). Various factors may be reviewed in order to make a good faith determination of a security’s fair value. These factors include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; and changes in overall market conditions. Foreign currency exchange rates are generally determined as of the close of the New York Stock Exchange ("NYSE"). Occasionally, events affecting the value of foreign investments occur between the time at which they are determined and the close of the NYSE, which will not be reflected in the computation of the Fund’s net asset value. If events materially affecting the value of such securities occur during such time periods, the securities will be valued at their fair value as determined in good faith by or under the direction of the Board. The amortized cost method of valuation, which approximates market value, generally is used to value short term debt instruments with sixty days or less remaining to maturity, unless the Board 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 as provided by such other entity. All investments quoted in foreign currencies will be valued 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.

NJSC   National Joint Stock Company
OJSC   Open Joint Stock Company
     
Currency type abbreviations:
ARS   Argentine Peso
BRL   Brazilian Real
COP   Colombian Peso
HUF   Hungarian Forint
IDR   Indonesian Rupiah
KZT   Kazakhstan Tenge
MXN   Mexican Peso
MYR   Malaysian Ringgit
PLN   Polish Zloty
RUB   Russian Rouble
TRY   Turkish Lira
ZAR   South African Rand

Forward foreign currency contracts
Global High Income Fund Inc. had the following open forward foreign currency contracts as of July 31, 2009:

                    Unrealized
    Contracts to           Maturity   appreciation/
    deliver   In exchange for   dates   (depreciation)
   
 
 
 
Brazilian Real   16,580,000   USD   8,244,984   09/04/09   $ (585,462 )  
Chinese Yuan   15,300,000   USD   2,250,000   09/04/09     10,265    
Colombian Peso   2,160,000,000   USD   1,029,552   09/04/09     (25,820 )  
Czech Koruna   120,900,000   EUR   4,491,919   09/04/09     (333,324 )  
Czech Koruna   24,400,000   USD   1,295,461   09/04/09     (64,015 )  
Euro   4,613,623   CZK   120,900,000   09/04/09     159,847    
Euro   2,870,482   HUF   830,000,000   09/04/09     323,381    
Hungarian Forint   862,990,000   USD   4,246,159   09/04/09     (344,280 )  
Korean Won   6,220,000,000   USD   5,018,152   09/04/09     (44,921 )  
Malaysian Ringgit   23,650,000   USD   6,756,178   09/04/09     51,015    
Malaysian Ringgit   4,000,000   USD   1,127,714   09/04/09     (6,352 )  
Mexican Peso   25,100,000   USD   1,847,626   09/04/09     (44,630 )  
Polish Zloty   15,200,000   USD   4,574,868   09/04/09     (638,944 )  
Russian Rouble   43,350,000   USD   1,368,371   09/04/09     939    
South African Rand   24,584,200   USD   3,039,214   09/04/09     (108,716 )  
Swiss Franc   960,000   USD   904,227   08/27/09     5,704    
Turkish Lira   9,362,745   USD   5,971,900   09/04/09     (349,675 )  
United States Dollar   3,502,052   ARS   12,800,000   11/16/09     (335,877 )  
United States Dollar   4,863,613   BRL   9,450,000   09/04/09     169,422    
United States Dollar   3,070,156   CLP   1,709,770,000   09/04/09     94,489    
United States Dollar   2,250,000   CNY   15,300,000   09/04/09     (10,265 )  
United States Dollar   1,865,189   COP   4,040,000,000   09/04/09     108,747    
United States Dollar   1,276,151   CZK   24,400,000   09/04/09     83,325    
United States Dollar   2,826,840   HUF   538,250,000   09/04/09     36,234    
United States Dollar   7,313,361   IDR   75,760,000,000   09/04/09     270,594    
United States Dollar   2,383,598   MXN   31,100,000   09/04/09     (39,011 )  
United States Dollar   7,897,697   MXN   105,473,740   09/04/09     53,829    
United States Dollar   11,030,679   MYR   38,400,000   09/04/09     (143,650 )  
United States Dollar   2,117,395   PEN   6,402,580   09/04/09     24,939    
United States Dollar   2,890,479   PLN   9,290,000   09/04/09     296,121    
United States Dollar   8,876,601   THB   305,000,000   09/04/09     80,657    
United States Dollar   7,389,815   TRY   11,650,000   09/04/09     476,078    
                   
   
Net unrealized depreciation on forward foreign currency contracts           $ (829,356 )  
                   
   

Currency type abbreviations:
ARS   Argentine Peso
BRL   Brazilian Real
CLP   Chilean Peso
CNY   Chinese Yuan
COP   Colombian Peso
CZK   Czech Koruna
EUR   Euro
HUF   Hungarian Forint
IDR   Indonesian Rupiah
MXN   Mexican Peso
MYR   Malaysian Ringgit
PEN   Peruvian Nuevo Sol
PLN   Polish Zloty
THB   Thai Baht
TRY   Turkish Lira
USD   United States Dollar
     

Futures contracts
Global High Income Fund Inc. had the following open futures contracts as of July 31, 2009:

      Expiration                 Unrealized
      date     Cost     Value     appreciation
     
   
   
   
US treasury futures buy contracts:                            
US Long Bond, 193 contracts (USD)     September 2009     $22,323,512     $22,967,000     $ 643,488  
5 Year US Treasury Notes, 90 contracts (USD)     September 2009     10,359,214     10,384,453       25,239  
10 Year US Treasury Notes, 40 contracts (USD)     September 2009     4,640,063     4,691,250       51,187  
                       
 
Net unrealized appreciation on futures contracts                       $ 719,914  
                       
 

Currency type abbreviation:
USD   United States Dollar

Swap agreements
Global High Income Fund Inc. had outstanding interest rate swap agreements with the following terms as of July 31, 2009:

                                    Upfront                  
                          Payments       payments             Unrealized
            Termination   Payments made     received by     (made)/             appreciation/
Counterparty   Notional amount   dates   by the Fund     the Fund     received   Value       (depreciation)
Credit Suisse International   BRL   17,000,000   01/02/12   — (1)       13.4300 %(2)       $—     $ 456,872       $ 456,872  
JPMorgan Chase Bank   THB   255,000,000   12/05/11   1.5000 %(3)       3.0900 (2)       —       104,228         104,228  
JPMorgan Chase Bank   THB   170,000,000   07/22/13   1.5000 (3)       5.9500 (2)       —       523,990         523,990  
Merrill Lynch International   MXN   7,200,000   11/16/28   4.8890 (4)       8.8300 (2)       —       (695 )       (695 )
Merrill Lynch International   MXN   7,000,000   11/21/28   4.9000 (4)       8.6100 (2)       —       (12,065 )       (12,065 )
                                   
   
     
 
                                    $—     $ 1,072,330       $ 1,072,330  
                                   
   
     
 

(1)   Zero coupon inflation swap. Cash is exchanged at the end of the swap. The dollar amount to be made by the Fund is based on the Brazil CETIP Interbank Offered Rate.
(2)   Payments received are based on the notional amount.
(3)   Rate based on 6 month BIBOR.
(4)   Rate based on 28-day TIIE.
 
BIBOR   Bangkok Interbank Offered Rate
TIIE   Interbank Equilibrium Interest Rate
 
Currency type abbreviations:
BRL   Brazilian Real
MXN   Mexican Peso
THB   Thai Baht

Global High Income Fund Inc. had outstanding credit default swap agreements with the following terms as of July 31, 2009:

Credit default swaps on corporate and sovereign issues — buy protection(1)
                                    Upfront                  
                Payments     Payments     payments             Unrealized
            Termination   made by the     received by     (made)/         appreciation/
Counterparty   Notional amount   dates   Fund       the Fund     received   Value     (depreciation)
JPMorgan Chase Bank   USD   4,500,000   06/20/14   2.5500 %(2)       — (3)       $—     $ (173,372 )     $ (173,372 )
Merrill Lynch International   USD   3,050,000   05/20/13   0.9600 (2)       — (4)       —       146,784         146,784  
Merrill Lynch International   USD   1,100,000   12/20/13   4.8500 (2)       — (5)       —       (154,053 )       (154,053 )
                                   
   
     
 
                                    $—     $ (180,641 )     $ (180,641 )
                                   
   
     
 

(1)   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.
(2)   Payments made are based on the notional amount.
(3)   Payment from the counterparty will be received upon the occurrence of bankruptcy and/or restructuring event with respect to the Republic of Philippines 10.625% bond, due 03/16/25.
(4)   Payment from the counterparty will be received upon the occurrence of bankruptcy and/or restructuring event with respect to the Republic of Croatia 5.000% bond, due 04/15/14.
(5)   Payment from the counterparty will be received upon the occurrence of bankruptcy and/or restructuring event with respect to the Republic of South Africa 6.500% bond, due 06/02/14.

Currency type abbreviation:
USD   United States Dollar


Credit default swaps on corporate and sovereign issues — sell protection(1)

                              Upfront                        
                Payments   Payments   payments             Unrealized      
            Termination   made by   received by   (made)/             appreciation/   Credit  
Counterparty   Notional amount   dates   the Fund   the Fund   received     Value     (depreciation)   spread(2)
Citigroup Global Markets Limited   USD    1,000,000     01/20/13     — (3)        1.1500 %(4)    $ —       $ (48,006 )    $ (48,006 )    2.637 %
Credit Suisse International   USD   1,300,000   08/20/09   — (5)     3.3000 (4)     —       208,354       208,354     13.287  
Credit Suisse International   USD   2,050,000   02/20/10   — (5)     4.1500 (4)     —       679,978       679,978     13.287  
Credit Suisse International   USD   1,500,000   12/20/11   — (6)     5.0000 (4)     (1,500,000 )(7)     839,031       (660,969 )   40.717  
Credit Suisse International   USD   4,500,000   05/20/12   — (8)     3.3000 (4)     —       (545,646 )     (545,646 )   8.700  
Credit Suisse International   USD   1,000,000   02/20/14   — (9)     4.1700 (4)     —       126,876       126,876     1.531  
Deutsche Bank AG   USD   1,500,000   08/20/09   — (5)     7.0500 (4)     —       42,371       42,371     13.287  
Deutsche Bank AG   USD   2,000,000   08/20/09   — (5)     5.5000 (4)     —       40,833       40,833     13.287  
Merrill Lynch International   USD   2,300,000   03/20/10   — (10)     9.5000 (4)     —       216,812       216,812     1.263  
                             
   
   
       
                              $ (1,500,000 )   $ 1,560,603     $ 60,603        
                             
   
   
       

(1) 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.
(2) Credit spreads, where available, represented in absolute terms, utilized in determining the market value as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default 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 of 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.
(3) Payment to the counterparty will be made upon the occurrence of bankruptcy and/or restructuring event with respect to the Republic of Bulgaria 8.250% bond, due 01/15/15.
(4) Payments received are based on the notional amount.
(5) Payment to the counterparty will be made upon the occurrence of bankruptcy and/or restructuring event with respect to the Argentine Government 8.280% bond, due 12/31/33.
(6) Payment to the counterparty will be made upon the occurrence of bankruptcy and/or restructuring event with respect to the NJSC Naftogaz Ukraine 8.125% bond, due 09/30/09.
(7) Payment made on 01/30/07 to fully fund swap, which reflects the cost basis of the agreement.
(8) Payment to the counterparty will be made upon the occurrence of bankruptcy and/or restructuring event with respect to the Development Bank of Kazakhstan 7.375% bond, due 11/12/13.
(9) Payment to the counterparty will be made upon the occurrence of bankruptcy and/or restructuring event with respect to the United Mexican States 7.500% bond, due 04/08/33.
(10) Payment to the counterparty will be made upon the occurrence of bankruptcy and/or restructuring event with respect to the Russian Federation 7.500% bond, due 03/31/30.

Currency type abbreviation:
USD   United States Dollar

Options written
Written option activity for the nine months ended July 31, 2009 for the Fund was as follows:

              Amount of
      Number of       premiums
      contracts       received
     
     
 
                   
Options outstanding at October 31, 2008     —       $ —  
Options written     448         75,639  
Options terminated in closing purchase transactions     (448 )       (75,639 )
Options expired prior to exercise     —         —  
     
     
 
Options outstanding at July 31, 2009     —       $ —  
     
     
 

The following is a summary of the inputs used as of July 31, 2009 in valuing the Fund’s investments:

Measurements at 07/31/09
                                       
      Quoted prices in                            
      active markets for     Significant other     Unobservable        
      identical investments     observable inputs     inputs        
Description     (Level 1)     (Level 2)       (Level 3)     Total
   
   
   
   
Corporate bonds     $ —       $ 31,190,521       $ 10,166,430       $ 41,356,951
Non US-government obligations       —         178,721,777         —         178,721,777
Sovereign/supranational bond       —         5,458,400         —         5,458,400
Short-term investment       —         31,959,867         —         31,959,867
Other financial instruments(1)       719,914         122,936         —         842,850
     
Total     $ 719,914       $ 247,453,501       $ 10,166,430       $ 258,339,845
     
     
(1)   Other financial instruments may include open futures contracts, swap agreements, options, and forward foreign currency contracts.

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

      Measurements using
      unobservable inputs (Level 3)
     
      Corporate bonds     Total
     
Assets                    
Beginning balance     $ 13,756,350       $ 13,756,350  
Total gains or losses (realized/unrealized) included in earnings(a)       1,147,926         1,147,926  
Purchases, sales, issuances, and settlements (net)       (6,252,438 )       (6,252,438 )
Transfers in and/or out of Level 3       1,514,592         1,514,592  
     
Ending balance     $ 10,166,430       $ 10,166,430  
     
                     
The amount of total gains or losses for the period included in                    
earnings attributable to the change in unrealized gains or losses                    
relating to investments still held at 07/31/09.       ($1,536,812 )       ($1,536,812 )
     

(a) Does not include unrealized losses of $1,698,592 related to transferred assets, presented at their end of period values.

Industry diversification (unaudited)      
As a percentage of net assets as of July 31, 2009      
       
Bonds      
Corporate bonds      
Commercial banks   3.26 %
Diversified financial services   3.74  
Diversified telecommunication services   1.25  
Electric utilities   2.28  
Household durables   0.63  
Oil, gas & consumable fuels   1.08  
Real estate investment trusts (REITs)   3.24  
   
 
Total corporate bonds   15.48  
Non US-government obligations   66.92  
Sovereign/supranational bond   2.04  
   
 
Total bonds   84.44  
Short-term investment   11.96  
   
 
Total investments   96.40  
Cash and other assets, less liabilities   3.60  
   
 
Net assets   100.00 %
   
 
       

1) Swap agreements
The Fund may engage in swap agreements, including but not limited to interest rate, currency, total return and credit default swap agreements. The Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.

The Fund may enter into interest rate swap agreements with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect itself from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.

Credit default swap agreements involve commitments to make or receive payments in the event of a default or a credit event of a referenced security. As a buyer, the Fund would make periodic payments to the counterparty, and the Fund would receive payments only upon the occurrence of a credit event. If no credit event occurs, the Fund will lose its periodic stream of payments over the term of the contract. However, if a credit event does occur, the Fund typically would receive full notional value for a reference obligation that may have little or no value. As a seller, the Fund would receive periodic payments from the counterparty, and the Fund would make payments only upon the occurrence of a credit event. If no credit event occurs, the Fund will gain the periodic stream of payments it received over the term of the contract. However, if a credit event occurs, the Fund will pay full notional value for a reference obligation that may have little or no value. Credit default swaps may involve greater risks than if the Fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of referenced credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. The Fund may use credit default swaps on credit indices to hedge its portfolio of credit default swaps or bonds with a credit default swap on indices which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swap on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.

Credit default swap on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality. Credit default swap agreements on corporate issues or sovereign issues of an emerging country involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). The Fund may use credit default swaps on corporate issues or sovereign issues of an emerging country to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.

The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement, which may exceed the amount of unrealized appreciation or depreciation reflected on the Statement of assets and liabilities. Notional amounts of all credit default swap agreements outstanding as of July 31, 2009 for which the Fund is the seller of protection are disclosed under the section “Credit default swaps on corporate and sovereign issues – sell protection” in the Notes to portfolio of investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into, if any, by the Fund for the same referenced entity or entities.

Total return swap agreements involve commitments to pay or receive interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Total return swaps are marked-to-market daily, and the change, if any, is recorded as unrealized appreciation or depreciation. Total return swap agreements are subject to general market risk, liquidity risk, counterparty risk and that there may be unfavorable changes in the underlying investments or instruments.

The use of swaps involves investment techniques and risks different from those associated with ordinary portfolio security transactions. If UBS Global Asset Management (Americas) Inc. is incorrect in its forecast of market values, interest rates and other applicable factors, the investment performance of the Fund will be less favorable than it would have been if this investment technique was never used. Swaps do not involve the delivery of securities and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, the Fund’s risk of loss will consist of the net amount of interest or other payments that the Fund is contractually entitled to receive. Therefore, the Fund would consider the creditworthiness of the counterparty to a swap agreement in evaluating potential credit risk.


2) Option writing
The Fund may write (sell) put and call options on foreign or US securities indices in order to gain exposure to or protect against changes in the markets. When the Fund writes a call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of assets and liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. If an option which the Fund has written either expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security or derivative instrument, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund recognizes a realized gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security or derivative instrument and the proceeds from the sale are increased by the premium originally received. If a put option which the Fund has written is exercised, the amount of the premium originally received reduces the cost of the security or derivative instrument which the Fund purchases upon exercise of the option.

In writing an option, the Fund bears the market risk (specifically interest rate risk) of an unfavorable change in the price of the derivative instrument, security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a derivative instrument, security or currency at a price different from current market value.

3) Restricted securities
The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if any, is included in the Fund’s “Notes to portfolio of investments”.

4) Securities lending
The Fund may lend securities up to 331/3% of its total assets to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or US government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The Fund will regain ownership of loaned securities to exercise certain beneficial rights; however, the Fund may bear the risk of delay in recovery of, or even loss of rights in, the securities loaned should the borrower fail financially. The Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or US government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. The Fund did not lend any securities during the nine month period ended July 31, 2009.

For more information regarding the Fund’s other significant accounting policies, please refer to the Fund’s semiannual report to shareholders dated April 30, 2009.


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/ Kai R. Sotorp
    Kai R. Sotorp
    President
     
Date:   September 29, 2009
     
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/ Kai R. Sotorp
    Kai R. Sotorp
    President
     
Date:   September 29, 2009
     
By:   /s/ Thomas Disbrow
    Thomas Disbrow
    Vice President and Treasurer
     
Date:   September 29, 2009