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 811-21791

Name of Fund: Global Income & Currency Fund Inc. (GCF)

Fund Address: 4 World Financial Center, 6 th Floor, New York, New York 10080.

Name and address of agent for service: Justin C. Ferri, Chief Executive Officer, Global Income & Currency Fund

            Inc., 4 World Financial Center, 6 th Floor, New York, New York 10080.

Registrant’s telephone number, including area code: (877) 449-4742

Date of fiscal year end: 12/31/2010

Date of reporting period: 03/31/2010

Item 1 – Schedule of Investments

Global Income & Currency Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

       Short-Term Securities    Face
Amount 		   Value
     Foreign Commercial Paper** - 15.2%            

Turkey - 15.1%

   Turkey Government Bond, 10.65%, 4/14/10    TRY 22,676,000    $ 14,901,692
   Total Short-Term Securities in Turkey         14,901,692
Short-Term Securities    Maturity
Date 		   Discount
Rate 		    Face
Amount 		      

United States - 85.7%

                    

U.S. Government & Agency Obligations** - 82.2%

                    

Fannie Mae Discount Notes

   9/03/10    1.62 %    USD  2,000,000    1,997,934

Fannie Mae Discount Notes

   10/01/10    0.26 %    10,000,000    9,985,770

Fannie Mae Discount Notes

   12/01/10    0.39 %    4,000,000    3,991,052

Federal Home Loan Banks

   4/19/10    0.36 %    2,500,000    2,499,925

Federal Home Loan Banks

   4/23/10    0.13 %    4,000,000    3,999,852

Federal Home Loan Banks

   4/30/10    0.17 %    7,000,000    6,999,664

Federal Home Loan Banks

   5/12/10    0.17 %    4,500,000    4,499,590

Federal Home Loan Banks

   6/02/10    0.18 %    2,000,000    1,999,656

Federal Home Loan Banks

   6/11/10    0.18 %    5,000,000    4,999,015

Federal Home Loan Banks

   6/11/10    5.25 %    3,000,000    3,029,130

Federal Home Loan Banks

   6/18/10    0.15 %    5,000,000    4,998,915

Federal Home Loan Banks

   8/18/10    0.21 %    5,000,000    4,995,945

Federal Home Loan Banks

   9/17/10    0.15 %    7,000,000    6,992,111

Federal Home Loan Banks

   12/01/10    0.32 %    3,270,000    3,262,685

Federal Home Loan Banks

   1/06/11    0.38 %    4,000,000    3,993,756

Freddie Mac

   4/12/10    0.15 %    3,500,000    3,499,937

Freddie Mac

   4/27/10    0.11 %    3,000,000    2,999,871

Freddie Mac

   6/02/10    0.14 %    3,000,000    2,999,484

U.S. Treasury Notes

   2/28/11    0.88 %    3,000,000    3,012,306
Total U.S. Government & Agency Obligations                            80,756,598
              Shares
Held 		        

Mutual Funds - 3.5%

  

AIM Short-Term Investment Trust - Liquid

Assets Portfolio - Institutional Class, 0.11% (a)

   3,431,244      3,431,244   
     Total Short-Term Securities in the United States           84,187,842   
  

Total Investments

(Net Cost - $98,434,828*) - 100.9%

        99,089,534   
   Liabilities in Excess of Other Assets - (0.9%)         (825,974 ) 
              
   Net Assets - 100.0%       $ 98,263,560   
              

 

* The cost and unrealized appreciation (depreciation) of investments as of March 31, 2010, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

   $ 98,434,828   
        

Gross unrealized appreciation

   $ 663,245   

Gross unrealized depreciation

     (8,539 ) 
        

Net unrealized appreciation

   $ 654,706   
        
** Foreign Commercial Paper and certain U.S. Government & Agency Obligations are traded on a discount basis; the interest rates shown reflect the discounts rates paid at the time of purchase. Other securities bear interest at the rates shown payable at fixed dates or upon maturity. The interest rates shown are the rates in effect at March 31, 2010.

 

(a) Represents the current yield as of March 31, 2010.

 

1

Global Income & Currency Fund Inc.

Schedule of Investments as of March 31, 2010 (Unaudited)

 

Forward foreign exchange contracts as of March 31, 2010 were as follows:

Foreign

Currency Purchased

   Foreign
Currency Sold 		   Settlement
Date 		   Appreciation
(Depreciation) 		 

EUR

   9,000,000    USD    12,105,000    4/01/10    $ 50,920   

USD

   12,127,500    EUR    9,000,000    4/01/10      (28,420 ) 

BRL

   23,118,750    USD    12,604,269    4/05/10      382,542   

CLP

   6,216,875,000    USD    11,819,154    4/05/10      29,445   

USD

   12,872,355    BRL    23,118,750    4/05/10      (114,456 ) 

USD

   11,739,704    CLP    6,216,875,000    4/05/10      (108,894 ) 

HUF

   2,346,240,000    USD    12,000,000    4/06/10      (67,264 ) 

NZD

   18,000,000    USD    12,444,300    4/06/10      336,912   

USD

   11,909,848    HUF    2,346,240,000    4/06/10      (22,889 ) 

USD

   12,733,200    NZD    18,000,000    4/06/10      (48,012 ) 

GBP

   8,000,000    USD    12,080,320    4/08/10      59,029   

USD

   11,952,000    GBP    8,000,000    4/08/10      (187,349 ) 

USD

   15,003,287    TRY    22,676,000    4/14/10      97,852   

USD

   12,789,469    ZAR    95,655,000    4/23/10      (289,363 ) 

ZAR

   95,655,000    USD    13,043,567    4/23/10      35,265   

USD

   12,500,000    SEK    90,653,250    5/03/10      (55,692 ) 

BRL

   23,118,750    USD    12,796,828    5/04/10      111,223   

MXN

   160,755,000    USD    12,522,005    5/04/10      435,768   

USD

   10,830,400    CLP    6,216,875,000    5/05/10      (25,381 ) 

HUF

   2,346,240,000    USD    11,868,279    5/06/10      18,918   

NZD

   18,000,000    USD    12,708,000    5/06/10      47,202   

USD

   12,500,000    JPY    1,160,943,750    5/06/10      79,704   

USD

   12,105,315    EUR    9,000,000    6/01/10      (51,097 ) 

IDR

   109,680,000,000    USD    12,000,000    7/01/10      (159,841 ) 

Total Unrealized Appreciation on Forward Foreign Exchange Contracts - Net

   $ 526,122   
                    

 

2

Global Income & Currency Fund Inc.

Schedule of Investments as of March 31, 2010 (Unaudited)

 

Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows:

 

  •  

Level 1 - price quotations in active markets/exchanges for identical securities

 

  •  

Level 2 - other observable inputs (including, but not limited to: quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  •  

Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

The following table summarizes the inputs used as of March 31, 2010 in determining the fair valuation of the Fund’s investments:

 

Valuation

Inputs

   Investments
in Securities 		    Other Financial
Instruments 1 		 
     Assets     Assets    Liabilities  
        

Level 1

   $ 3,431,244        -      -   

Level 2

     95,658,290   2     $ 1,684,780    $ (1,158,658 ) 

Level 3

     -        -      -   

Total

   $ 99,089,534      $ 1,684,780    $ (1,158,658 ) 
        

1 Other financial instruments are forward foreign exchange contracts.

2 See above Schedule of Investments for values in each country.

Currency Abbreviations:

 

BRL    Brazilian Real    MXN    Mexican New Peso
CLP    Chilean Peso    NZD    New Zealand Dollar
EUR    Euro    SEK    Swedish Krona
GBP    British Pound    TRY    Turkish Lira
HUF    Hungary Forint    USD    U.S. Dollar
IDR    Indonesian Rupiah    ZAR    South African Rand
JPY    Japanese Yen      

 

3

Item 2 – Controls and Procedures

 

2(a) –    The registrant’s principal executive and principal financial officers or persons performing similar functions 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 (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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 Income & Currency Fund Inc.

 

  By:  

/s/ Justin C. Ferri

    Justin C. Ferri
   

Chief Executive Officer (principal executive officer) of

Global Income & Currency Fund Inc.

Date: May 13, 2010

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/ Justin C. Ferri

    Justin C. Ferri
   

Chief Executive Officer (principal executive officer) of

Global Income & Currency Fund Inc.

Date: May 13, 2010

 

  By:  

/s/ James E. Hillman

    James E. Hillman
   

Chief Financial Officer (principal financial officer) of

Global Income & Currency Fund Inc.

Date: May 13, 2010

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