Item 1.  Schedule of Investments

Face
Amount

Value

Bonds — 97.70%

U.S. Bonds — 90.79%

U.S. Corporate Bonds — 57.35%

Alcoa, Inc.

6.000%, due 01/15/12

$

720,000

$

786,539

Allstate Corp.

6.750%, due 05/15/18

195,000

221,637

Altria Group, Inc.

7.750%, due 01/15/27

310,000

347,936

Amerada Hess Corp.

7.875%, due 10/01/29

450,000

532,443

Anadarko Finance Co., Series B

7.500%, due 05/01/31

745,000

923,014

Apache Corp.

6.250%, due 04/15/12

305,000

341,228

AT&T Corp.

9.750%, due 11/15/31

860,000

1,026,625

AT&T Wireless Services, Inc.

8.750%, due 03/01/31

945,000

1,274,156

Augusta Funding VI, 144A

7.375%, due 04/15/13

2,500,000

2,625,725

Avalonbay Communities, Inc.

7.500%, due 08/01/09

375,000

422,838

Avon Products, Inc.

7.150%, due 11/15/09

1,270,000

1,435,395

Bank of America Corp.

7.400%, due 01/15/11

1,915,000

2,218,294

Bank One Corp.

7.875%, due 08/01/10

815,000

950,640

BellSouth Corp.

6.000%, due 10/15/11

315,000

343,331

Boeing Capital Corp.

7.375%, due 09/27/10

320,000

368,935

Bombardier, Inc., 144A

6.750%, due 05/01/12

1,020,000

935,850

Bristol-Myers Squibb Co.

5.750%, due 10/01/11

395,000

423,036

Burlington Northern Santa Fe Corp.

6.875%, due 12/01/27

120,000

136,893

7.082%, due 05/13/29

740,000

864,997

C.S. First Boston USA, Inc.

6.500%, due 01/15/12

1,105,000

1,229,845

Caterpillar, Inc.

6.550%, due 05/01/11

720,000

808,073

Cendant Corp.

7.375%, due 01/15/13

340,000

393,323

Centex Corp.

7.875%, due 02/01/11

300,000

350,430

CIT Group, Inc.

7.750%, due 04/02/12

140,000

165,719

Citigroup, Inc., 144A

5.000%, due 09/15/14

2,567,000

2,579,383

Citizens Communications Co.

9.000%, due 08/15/31

585,000

668,362

Comcast Corp.

7.050%, due 03/15/33

1,300,000

1,487,496

ConAgra Foods, Inc.

6.750%, due 09/15/11

420,000

472,531

ConocoPhillips

8.750%, due 05/25/10

680,000

829,854

Coors Brewing Co.

6.375%, due 05/15/12

350,000

384,813

DaimlerChrysler N.A. Holding Corp.

8.500%, due 01/18/31

845,000

1,055,787

Delta Air Lines, Inc. (a)

10.500%, due 04/30/16

700,000

459,053

Face
Amount

Value

Devon Financing Corp., ULC

6.875%, due 09/30/11

$

670,000

$

758,813

Dominion Resources, Inc.

5.700%, due 09/17/12

415,000

439,404

Dow Chemical Co.

6.125%, due 02/01/11

330,000

361,454

Duke Energy Field Services LLC

8.125%, due 08/16/30

590,000

757,201

EOP Operating LP

7.250%, due 06/15/28

700,000

793,005

Erac U.S.A. Finance Co., 144A

8.000%, due 01/15/11

1,065,000

1,253,702

Federated Department Stores, Inc.

6.625%, due 04/01/11

300,000

335,432

First Data Corp.

5.625%, due 11/01/11

375,000

402,963

FirstEnergy Corp., Series B

6.450%, due 11/15/11

650,000

706,205

Ford Motor Co.

7.450%, due 07/16/31

2,290,000

2,303,140

General Dynamics Corp.

4.250%, due 05/15/13

730,000

714,879

General Electric Capital Corp.

6.000%, due 06/15/12

1,730,000

1,885,764

6.750%, due 03/15/32

1,150,000

1,346,017

General Motors Acceptance Corp.

6.875%, due 09/15/11

265,000

271,570

8.000%, due 11/01/31

1,550,000

1,593,222

General Motors Corp.

8.375%, due 07/15/33

1,000,000

1,036,083

Goldman Sachs Group, Inc.

6.125%, due 02/15/33

440,000

457,103

6.875%, due 01/15/11

1,685,000

1,900,980

HSBC Finance Corp.

6.750%, due 05/15/11

1,165,000

1,307,389

ICI Wilmington, Inc.

5.625%, due 12/01/13

850,000

880,338

International Paper Co.

6.750%, due 09/01/11

875,000

980,991

JPMorgan Chase & Co.

6.750%, due 02/01/11

955,000

1,072,854

Kohl’s Corp.

6.300%, due 03/01/11

285,000

312,239

Kraft Foods, Inc.

5.625%, due 11/01/11

760,000

804,796

Kroger Co.

7.500%, due 04/01/31

685,000

818,813

Lincoln National Corp.

6.200%, due 12/15/11

390,000

422,912

Lockheed Martin Corp.

8.500%, due 12/01/29

255,000

348,910

Marathon Oil Corp.

6.125%, due 03/15/12

325,000

354,131

Marsh & McLennan Cos., Inc.

6.250%, due 03/15/12

705,000

737,730

McKesson Corp.

7.750%, due 02/01/12

600,000

690,314

Mellon Funding Corp.

5.000%, due 12/01/14

195,000

197,168

Merck & Co., Inc.

6.400%, due 03/01/28

520,000

566,428

Miller Brewing Co., 144A

5.500%, due 08/15/13

350,000

365,836

Morgan Stanley

6.750%, due 04/15/11

1,675,000

1,878,744

7.250%, due 04/01/32

355,000

426,532

Motorola, Inc.

7.625%, due 11/15/10

625,000

724,977

National City Bank

4.625%, due 05/01/13

360,000

356,348

Face
Amount

Value

Newell Rubbermaid, Inc.

6.750%, due 03/15/12

$

235,000

$

267,767

News America, Inc., 144A

6.200%, due 12/15/34

810,000

820,949

Northrop Grumman Corp.

7.125%, due 02/15/11

425,000

487,736

Occidental Petroleum Corp.

8.450%, due 02/15/29

265,000

358,977

Pacific Gas & Electric Co.

6.050%, due 03/01/34

510,000

529,694

Pitney Bowes, Inc.

4.625%, due 10/01/12

300,000

303,282

Praxair, Inc.

6.375%, due 04/01/12

210,000

234,450

Progress Energy, Inc.

7.000%, due 10/30/31

520,000

575,885

Progressive Corp.

6.250%, due 12/01/32

275,000

294,811

PSEG Power LLC

8.625%, due 04/15/31

290,000

385,056

Qwest Capital Funding, Inc.

7.900%, due 08/15/10

830,000

838,300

Rohm & Haas Co.

7.850%, due 07/15/29

290,000

378,315

Safeway, Inc.

7.250%, due 02/01/31

435,000

498,606

SBC Communications, Inc.

5.875%, due 02/01/12

800,000

861,604

Sempra Energy

7.950%, due 03/01/10

480,000

554,802

SLM Corp.

5.125%, due 08/27/12

115,000

118,239

Sprint Capital Corp.

8.750%, due 03/15/32

665,000

885,985

Target Corp.

7.000%, due 07/15/31

305,000

371,622

Time Warner, Inc.

7.625%, due 04/15/31

1,585,000

1,917,471

Transocean, Inc.

7.500%, due 04/15/31

585,000

720,052

Travelers Property Casualty Corp.

6.375%, due 03/15/33

350,000

359,492

TXU Energy Co. LLC

7.000%, due 03/15/13

1,115,000

1,245,289

Tyson Foods, Inc.

8.250%, due 10/01/11

125,000

148,431

U.S. Bank N.A.

6.375%, due 08/01/11

500,000

555,276

Unilever Capital Corp.

7.125%, due 11/01/10

945,000

1,086,959

Union Oil Co. of California

7.500%, due 02/15/29

300,000

361,302

Union Pacific Corp.

6.650%, due 01/15/11

470,000

525,505

United Technologies Corp.

6.100%, due 05/15/12

430,000

473,136

UST, Inc.

6.625%, due 07/15/12

475,000

530,389

Valero Energy Corp.

7.500%, due 04/15/32

470,000

566,905

Verizon New York, Inc., Series B

7.375%, due 04/01/32

1,085,000

1,244,557

Viacom, Inc.

6.625%, due 05/15/11

825,000

926,357

Wachovia Bank N.A.

7.800%, due 08/18/10

1,620,000

1,902,628

Washington Mutual Bank FA

5.500%, due 01/15/13

680,000

702,239

Face
Amount

Value

Washington Mutual Bank FA

6.875%, due 06/15/11

$

350,000

$

393,872

Wells Fargo Bank N.A.

6.450%, due 02/01/11

1,025,000

1,139,866

Wendy’s International, Inc.

6.200%, due 06/15/14

310,000

337,228

Weyerhaeuser Co.

7.375%, due 03/15/32

665,000

788,588

Wyeth

5.500%, due 03/15/13

700,000

727,526

83,047,716

Asset-Backed Securities — 7.51%

CenterPoint Energy Transition Bond Co. LLC, 01-1, Class A4

5.630%, due 09/15/15

3,200,000

3,423,192

Conseco Finance Securitizations Corp., 00-2, Class A4

8.480%, due 12/01/30

1,107,774

1,155,329

Conseco Finance Securitizations Corp., 00-5, Class A4

7.470%, due 02/01/32

669,301

686,773

Conseco Finance Securitizations Corp., 00-5, Class A5

7.700%, due 02/01/32

1,500,000

1,494,955

CPL Transition Funding LLC, 02-1, Class A5

6.250%, due 01/15/17

3,000,000

3,359,068

Small Business Administration, 04-P10B, Class 1

4.754%, due 08/10/14

750,000

751,288

10,870,605

Commercial Mortgage-Backed Securities — 2.30%

C.S. First Boston Mortgage Securities Corp., 03-8, Class 5A1

6.500%, due 04/25/33

403,471

410,838

Morgan Stanley Capital I, 95-GAL1, Class E, 144A

8.250%, due 08/15/27

1,202,669

1,227,004

Wells Fargo Mortgage Backed Securities Trust, 03-18, Class A2

5.250%, due 12/25/33

1,710,147

1,696,466

3,334,308

Mortgage & Agency Debt Securities — 10.60%

Federal Home Loan Mortgage Corp.

3.875%, due 01/12/09

1,825,000

1,817,470

5.000%, due 01/30/14

30,000

30,008

5.125%, due 07/15/12

1,300,000

1,366,721

Federal Home Loan Mortgage Corp., Gold

5.500%, due 10/01/19

963,999

996,321

6.000%, due 10/01/34

954,267

986,252

6.500%, due 02/01/17

330,445

349,922

Federal National Mortgage Association

4.375%, due 03/15/13

785,000

782,852

5.000%, due 03/01/34

1,355,147

1,347,198

5.500%, due 03/01/33

613,802

624,075

5.500%, due 09/01/34

2,903,788

2,949,687

5.500%, due 11/01/34

497,320

505,181

6.000%, due 06/01/23

320,968

333,943

6.000%, due 11/01/28

456,655

474,084

6.250%, due 02/01/11

1,300,000

1,425,210

7.000%, due 03/01/31

276,228

294,186

Federal National Mortgage Association Grantor Trust

6.500%, due 07/25/42

771,353

806,546

Federal National Mortgage Association, REMIC

7.000%, due 06/25/13

56,812

59,285

Government National Mortgage Association

6.500%, due 05/15/29

184,119

194,059

15,343,000

Municipal Notes and Bonds — 3.28%

Illinois State General Obligation Bonds

5.100%, 06/01/33

2,350,000

2,268,902

New Jersey Economic Development Authority Revenue Bonds*

2.742%, 02/15/18

5,000,000

2,482,050

4,750,952

Face
Amount

Value

U.S. Government Obligations — 9.75%

U.S. Treasury Bonds

6.250%, due 05/15/30

$

1,360,000

$

1,625,997

6.625%, due 02/15/27

1,100,000

1,355,879

8.750%, due 05/15/17

465,000

651,563

U.S. Treasury Notes

2.500%, due 09/30/06

1,505,000

1,492,007

2.750%, due 07/31/06

705,000

702,714

3.375%, due 09/15/09

235,000

232,852

4.000%, due 02/15/14

1,925,000

1,898,456

5.375%, due 02/15/31

4,615,000

4,990,329

U.S. Treasury Strips *

1.601%, due 02/15/27

3,620,000

1,175,722

14,125,519

Total U.S. Bonds

131,472,100

International Bonds — 6.91%

International Corporate Bonds — 4.51%

Canada —0.99%

Burlington Resources Finance Co.

6.680%, due 02/15/11

CAD

370,000

413,530

Canadian National Railway Co.

6.900%, due 07/15/28

285,000

328,026

Conoco Funding Co.

7.250%, due 10/15/31

275,000

335,322

Telus Corp.

8.000%, due 06/01/11

305,000

361,450

1,438,328

France —0.31%

France Telecom S.A.

8.500%, due 03/01/31

EUR

330,000

447,345

Luxembourg —0.31%

Telecom Italia Capital

6.375%, due 11/15/33

430,000

442,125

Netherlands —0.57%

Deutsche Telekom International Finance BV

8.750%, due 06/15/30

625,000

825,286

United Kingdom —2.33%

Abbey National PLC

7.950%, due 10/26/29

GBP

750,000

967,258

Barclays Bank PLC, 144A †

8.550%, due 09/29/49

290,000

353,128

British Telecommunications PLC

8.125%, due 12/15/10

340,000

408,292

HSBC Holdings PLC

5.250%, due 12/12/12

260,000

269,533

Royal Bank of Scotland Group PLC

9.118%, due 03/31/49

385,000

468,941

Vodafone Group PLC

7.875%, due 02/15/30

700,000

902,587

3,369,739

Total International Corporate Bonds

6,522,823

Face
Amount

Value

Foreign Government Bonds — 2.05%

Mexico — 2.05%

United Mexican States

8.125%, due 12/30/19

$

2,520,000

$

2,967,300

Sovereign/Supranational Bonds — 0.35%

Pemex Project Funding Master Trust

8.000%, due 11/15/11

440,000

507,100

Total International Bonds

9,997,223

Total Bonds (Cost $132,831,054)

141,469,323

Shares

Short-Term Investment *— 1.05%

UBS Supplementary Trust U.S. Cash Management Prime Fund**

yield of 2.28%

(Cost $1,526,914)

1,526,914

1,526,914

Total Investments (Cost $134,357,968) — 98.75% @

142,996,237

Cash and other assets, less liabilities — 1.25%

1,810,417

Net Assets — 100.00%

144,806,654

Gross unrealized appreciation

9,346,828

Gross unrealized depreciation

(708,559

)

Net unrealized appreciation

8,638,269

*

Security is issued by a fund that is advised by UBS Global Asset Management (Americas) Inc., Fort Dearborn Income Securities, Inc.’s advisor.

**

Interest rate reflects yield at December 31, 2004.

†

Reflects rate at December 31, 2004 on variable rate instruments.

%

Represents a percentage of net assets.

(a)

Security is illiquid. This security amounted to $459,053 or 0.32% of net assets.

144A

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2004 the value of these securities amounted to $10,161,577 or 7.02% of net assets.

CAD

Canadian Dollar

EUR

Euro

GBP

British Pound

REMIC

Real Estate Mortgage Investment Conduit

Strips

Bonds that can be subdivided into a series of zero-coupon bonds.

@

The Fund calculates its net asset value based on the current market value, where available, for its portfolio securities. The Fund normally obtains market values for its securities from independent pricing sources and broker-dealers. Independent pricing sources may use reported last sale prices, current market quotations or valuations from computerized “matrix” systems that derive values based on comparable securities. A matrix system incorporates parameters such as security quality, maturity and coupon, and/or research and evaluations by its staff, including review of broker-dealer market price quotations, if available, in determining the valuation of the portfolio securities. Securities traded in the over-the-counter (“OTC”) market and listed on The Nasdaq Stock Market, Inc. (“Nasdaq”) normally are valued at the NASDAQ Official Closing Price. Other OTC securities are valued at the last bid price on the valuation date available prior to valuation. Securities which are listed on U.S. and foreign stock exchanges normally are valued at the last sale price on the day the securities are valued or, lacking any sales on such day, at the last available bid price. In cases where securities are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc. (“UBS Global AM” or the “Advisor”), the investment advisor of the Fund. UBS Global AM is an indirect wholly owned asset management subsidiary of UBS AG, an internationally diversified organization with headquarters in Zurich, Switzerland and operations in many areas of the financial services industry. If a market value is not available from an independent pricing source for a particular security, that security is valued at fair value as determined in good faith by or under the direction of the Fund’s Board of Directors (the “Board”). 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.

BONDS

U.S. BONDS

U.S. CORPORATE BONDS

Aerospace & Defense

2.04

%

Airlines

0.32

Automobiles

3.03

Beverages

0.52

Capital Markets

4.10

Chemicals

1.28

Commercial Banks

4.92

Commercial Services & Supplies

0.96

Communication Equipment

0.50

Consumer Finance

2.53

Diversified Financial Services

6.79

Diversified Telecommunication Services

4.05

Electric Utilities

2.41

Energy Equipment & Services

0.50

Food & Staples Retailing

0.91

Food Products

1.73

Gas Utilities

0.38

Hotels, Restaurants & Leisure

0.23

Household Durables

0.43

Insurance

1.41

IT Services

0.28

Machinery

0.56

Media

3.56

Metals & Mining

0.54

Multi-Utilities & Unregulated Power

0.79

Multiline Retail

0.70

Oil & Gas

3.47

Paper & Forest Products

1.22

Personal Products