GCF Global Income & Currency Fund Inc.

Global Income & Currency Fund Inc.

(Exact name of registrant as specified in charter)

Nuveen Investments
   333 West Wacker Drive, Chicago, Illinois 60606   

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy
Vice President and Secretary
    333 West Wacker Drive, Chicago, Illinois 60606   

(Name and address of agent for service)

Registrant’s telephone number, including area code:

312-917-7700

Date of fiscal year end:

12/31

Date of reporting period:

3/31/2012

Portfolio of Investments (Unaudited)

Global Income & Currency Fund Inc. (GCF)

March 31, 2012

Principal

Amount (000) (3)

Description (1)

Coupon

Maturity

Ratings (2)

Value

Short-Term Investments – 101.9%

Sovereign Debt – 47.2%

Australia – 4.4%

3,400 AUD

Australian Government

5.750%

4/15/12

AAA 

$    3,524,178

Mexico – 6.1%

64,650 MXN

Mexican Treasury Bills

0.000%

2/07/13

A-2 

4,859,539

Poland – 11.5%

29,000 PLD

Republic of Poland

0.000%

7/25/12

A 

9,198,821

South Africa – 12.5%

81,000 ZAR

Republic of South Africa Treasury Bill

0.000%

3/14/12

A-2 

9,989,573

Turkey – 12.7%

18,300 TRY

Republic of Turkey, Government Bond

0.000%

4/25/12

BB+ 

10,198,633

Total Sovereign Debt

37,770,744

U.S. Government and Agency Obligations – 52.6%

3,000        

Federal Home Loan Bank Bonds

0.875%

8/22/12

Aaa 

3,008,451

5,000        

Federal Home Loan Bank Bonds

0.140%

9/25/12

Aaa 

4,999,545

5,000        

Federal Home Loan Bank Bonds

0.240%

9/26/12

Aaa 

5,001,955

6,000        

Federal Home Loan Bank Bonds

0.200%

11/29/12

Aaa 

5,999,994

5,000        

Federal Home Loan Mortgage Corporation, Notes

5.500%

8/20/12

Aaa 

5,102,465

5,000        

Federal Home Loan Mortgage Corporation, Notes

4.625%

10/25/12

Aaa 

5,125,890

5,000        

Federal Home Loan Mortgage Corporation, Notes

0.750%

12/28/12

Aaa 

5,019,935

3,000        

Federal National Mortgage Association

1.000%

12/27/12

Aaa 

3,017,436

4,750        

U.S. Treasury Notes, (4)

1.875%

6/15/12

Aaa 

4,766,886

41,750        

Total U.S. Government and Agency Obligations

42,042,557

Repurchase Agreements – 2.1%

$      1,695        

Repurchase Agreement with State Street Bank, dated 3/30/12, repurchase price $1,694,972, collateralized by $1,550,000 U.S. Treasury Notes, 3.125%, due 5/15/21, value $1,731,508

0.010%

4/02/12

N/A

1,694,971

Total Short-Term Investments (cost $82,390,773)

81,508,272

Total Investments (cost $82,390,773) – 101.9%

81,508,272

Other Assets Less Liabilities – (1.9)% (5)

(1,499,564

)

Net Assets – 100%

$   80,008,708

Put

Call

Number of

Notional

Notional

Expiration

Strike

Contracts

Counterparty

Type

Amount (6)

Amount

Date

Price

Value (5)

1

Citibank N.A.

Currency Option

6,000,000 USD

10,620,000 BRL

6/11/12

1.770 BRL

$           23,706

Total Call Options Purchased (premiums paid $84,300)

$         23,706

Put

Call

Number of

Notional

Notional

Expiration

Strike

Contracts

Counterparty

Type

Amount

Amount (7)

Date

Price

Value (5)

1

Citibank N.A.

Currency Option

(10,260,000) BRL

(6,000,000) USD

6/11/12

1.710 BRL

$           (3,888

)

Total Call Options Written (premiums received $24,600)

$         (3,888

)

Unrealized

Appreciation

Amount

In Exchange For

Amount

Settlement

(Depreciation)

Counterparty

Currency Contracts to Deliver

(Local Currency)

Currency

(Local Currency)

Date

(U.S. Dollars) (5)

Bank of America

Japanese Yen

859,000,000

U.S. Dollar

11,075,582

4/23/12

$    695,718

Bank of America

U.S. Dollar

3,059,810

Mexican Peso

39,500,000

5/31/12

10,724

Citibank N.A.

Australian Dollar

3,400,000

U.S. Dollar

3,532,192

4/23/12

18,268

Citibank N.A.

Brazilian Real

3,400,000

U.S. Dollar

1,894,150

4/03/12

31,596

Citibank N.A.

Chilean Peso

1,900,000,000

U.S. Dollar

3,881,512

4/09/12

(4,191

)

Citibank N.A.

Czech Koruna

74,000,000

U.S. Dollar

3,852,762

4/23/12

(128,469

)

Citibank N.A.

Swiss Franc

8,500,000

U.S. Dollar

9,250,009

5/23/12

(171,731

)

Citibank N.A.

U.S. Dollar

5,237,247

Chilean Peso

2,500,000,000

4/09/12

(124,480

)

Citibank N.A.

U.S. Dollar

3,694,202

Chilean Peso

1,800,000,000

4/27/12

(21,392

)

Citibank N.A.

U.S. Dollar

5,571,277

South Korean Won

6,300,000,000

5/14/12

(22,213

)

Deutsche Bank AG

Danish Krone

14,300,000

U.S. Dollar

2,546,076

5/31/12

(18,010

)

HSBC

Philippine Peso

130,000,000

U.S. Dollar

3,050,927

5/21/12

24,570

JPMorgan Chase

Australian Dollar

3,700,000

U.S. Dollar

3,908,070

4/17/12

81,497

JPMorgan Chase

South African Rand

44,800,000

U.S. Dollar

5,756,135

4/23/12

(67,013

)

JPMorgan Chase

South Korean Won

4,200,000,000

U.S. Dollar

3,725,055

4/13/12

20,372

JPMorgan Chase

Turkish Lira

2,672,000

U.S. Dollar

1,498,507

4/13/12

3,126

JPMorgan Chase

U.S. Dollar

5,344,897

Indian Rupee

265,000,000

4/09/12

(147,970

)

JPMorgan Chase

U.S. Dollar

3,717,472

South Korean Won

4,200,000,000

4/13/12

(12,788

)

JPMorgan Chase

U.S. Dollar

3,950,768

Australian Dollar

3,700,000

4/17/12

(124,195

)

Morgan Stanley

Brazilian Real

3,500,000

U.S. Dollar

2,028,986

4/03/12

111,650

Morgan Stanley

Brazilian Real

7,500,000

U.S. Dollar

4,181,185

4/03/12

72,609

Morgan Stanley

Euro

3,100,000

U.S. Dollar

4,069,922

4/23/12

(64,899

)

Morgan Stanley

Euro

3,100,000

U.S. Dollar

4,037,781

4/23/12

(97,039

)

Morgan Stanley

Japanese Yen

62,000,000

U.S. Dollar

810,498

4/09/12

61,397

Morgan Stanley

New Zealand Dollar

5,000,000

U.S. Dollar

4,067,350

5/10/12

(16,393

)

Morgan Stanley

Polish Zloty

15,800,000

U.S. Dollar

4,906,575

4/23/12

(164,997

)

Morgan Stanley

Polish Zloty

12,500,000

U.S. Dollar

3,923,784

4/23/12

(88,535

)

Morgan Stanley

Pound Sterling

3,000,000

U.S. Dollar

4,754,835

5/23/12

(42,085

)

Morgan Stanley

Swedish Krona

16,000,000

U.S. Dollar

2,356,406

4/03/12

(62,046

)

Morgan Stanley

U.S. Dollar

8,399,930

Brazilian Real

14,400,000

4/03/12

(511,464

)

Morgan Stanley

U.S. Dollar

2,366,549

Swedish Krona

16,000,000

4/03/12

51,904

Morgan Stanley

U.S. Dollar

8,791,924

Malaysian Ringgit

27,000,000

4/23/12

15,774

Morgan Stanley

U.S. Dollar

4,143,060

New Zealand Dollar

5,000,000

5/10/12

(59,317

)

$   (750,022

)

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 – Quoted prices in active markets for identical securities.

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of March 31, 2012:

Level 1

Level 2

Level 3

Total

Short-Term Investments:

Sovereign Debt

$                –

$   37,770,744

$          –

$  37,770,744

U.S. Government and Agency Obligations

–

42,042,557

–

42,042,557

Repurchase Agreements

–

1,694,971

–

1,694,971

Derivatives:

Call Options Purchased

23,706

–

–

23,706

Call Options Written

(3,888

)

–

–

(3,888

)

Forward Foreign Currency Exchange Contracts*

–

(750,022

)

–

(750,022

)

Total

$       19,818

$   80,758,250

$          –

$  80,778,068

* Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

During the period ended March 31, 2012, the Fund recognized no transfers to or from Level 1, Level 2 or Level 3.

Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

The following table presents the fair value of all derivative instruments held by the Fund as of March 31, 2012, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

Location on the Statement of Assets and Liabilities

Underlying

Derivative

Asset Derivatives

Liability Derivatives

Risk Exposure

Instrument

Location

Value

Location

Value

Foreign Currency

Exchange Rate

Forward Foreign Currency

Exchange Contracts

Unrealized appreciation on forward foreign currency exchange contracts

$ 1,199,205

Unrealized depreciation on forward foreign currency exchange contracts

$  1,949,227

Foreign Currency

Exchange Rate

Options

Options purchased, at value

23,706

Options written, at value

3,888

Total

$ 1,222,911

$  1,953,115

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the amortization of premium, recognition of unrealized gain or loss for tax (mark-to-market) for certain foreign currency contracts, and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At March 31, 2012, the cost of investments (excluding investments in derivatives), was $81,730,447.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives), at March 31, 2012, were as follows:

Gross unrealized:

Appreciation

$    466,640

Depreciation

(688,815

)

Net unrealized appreciation (depreciation) of investments

$   (222,175

)

(1)

All percentages shown in the Portfolio of Investments are based on net assets.

(2)

Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

(3)

Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted.

(4)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(5)

Other Assets Less Liabilities includes the Value and/or the Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at March 31, 2012.

(6)

Put Notional Amount is calculated by dividing the Call Notional Amount by the Strike Price.

(7)

Call Notional Amount is calculated by dividing the Put Notional Amount by the Strike Price.

N/A

Not applicable.

AUD

Australian Dollar

BRL

Brazilian Real

MXN

Mexican Peso

PLD

Polish Zloty

TRY

Turkish Lira

USD

United States Dollar

ZAR

South African Rand

By (Signature and Title)

/s/ Kevin J. McCarthy

Kevin J. McCarthy

Vice President and Secretary

By (Signature and Title)

/s/ Gifford R. Zimmerman

Gifford R. Zimmerman

Chief Administrative Officer (principal executive officer)

By (Signature and Title)

/s/ Stephen D. Foy

Stephen D. Foy

Vice President and Controller (principal financial officer)