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:

9/30/11

Portfolio of Investments (Unaudited)

Global Income & Currency Fund Inc. (GCF)

September 30, 2011

Principal

Amount (000) (3)

Description (1)

Coupon

Maturity

Ratings (2)

Value

Short-Term Investments – 103.9%

Sovereign Debt – 46.4%

Australia – 4.4%

3,400 AUD

Australian Government

5.750%

4/15/12

AAA

$

3,318,443

Mexico – 5.7%

62,000 MXN

Mexican Treasury Bills

0.000%

3/08/12

Baa1

4,383,894

Poland – 11.1%

29,000 PLD

Republic of Poland

0.000%

7/25/12

A

8,444,747

South Africa – 12.8%

81,000 ZAR

Republic of South Africa

0.000%

3/14/12

A-2

9,782,898

Turkey – 12.4%

18,300 TRY

Republic of Turkey, Government Bond

0.000%

4/25/12

N/R

9,426,046

Total Sovereign Debt

35,356,028

U.S. Government and Agency Obligations – 52.6%

2,000        

Federal Home Loan Banks, Discount Notes

0.000%

1/09/12

Aaa

1,999,892

7,000        

Federal Home Loan Banks, Discount Notes

0.135%

2/13/12

Aaa

6,999,482

5,000        

Federal Home Loan Mortgage Corporation, Notes

5.500%

8/20/12

Aaa

5,229,365

6,000        

Federal National Mortgage Association

0.095%

11/09/11

Aaa

5,999,874

6,000        

Federal National Mortgage Association

0.135%

12/14/11

Aaa

5,999,760

4,000        

Federal National Mortgage Association

0.000%

12/19/11

Aaa

3,999,828

5,000        

United States of America Treasury Notes, (4)

1.750%

11/15/11

Aaa

5,009,960

4,750        

United States of America Treasury Notes, (4)

1.875%

6/15/12

Aaa

4,807,147

39,750        

Total U.S. Government and Agency Obligations

40,045,308

Repurchase Agreements – 4.9%

$      3,723        

Repurchase Agreement with State Street Bank, dated 9/30/11, repurchase price $3,722,871, collateralized by $3,825,000 U.S. Treasury Notes, 1.375%, due 9/30/18, value $3,801,094

0.010%

10/03/11

N/A

3,722,868

Total Short-Term Investments (cost $81,624,837)

79,124,204

Total Investments (cost $81,624,837) – 103.9%

79,124,204

Other Assets Less Liabilities – (3.9)% (5)

(3,001,050

)

Net Assets – 100%

$    76,123,154

Put

Call

Notional

Notional

Expiration

Strike

Type

Counterparty

Amount

Amount (6)

Date

Price

Value

Currency Option

JPMorgan Chase

6,000,000 USD

71,040,000 MXN

11/10/11

11.8400 MXN

$           1,236

Total Call Options Purchased (premiums paid $98,400)

$             1,236

Put

Call

Notional

Notional

Expiration

Strike

Type

Counterparty

Amount

Amount (6)

Date

Price

Value

Currency Option

JPMorgan Chase

4,000,000 USD

6,292,000 TRY

10/04/11

1.5730 TRY

$                   —

Total Put Options Purchased (premiums paid $34,300)

$                   —

Put

Call

Notional

Notional

Expiration

Strike

Type

Counterparty

Amount

Amount (6)

Date

Price

Value

Currency Option

JPMorgan Chase

(4,000,000) USD

(6,878,000) TRY

10/04/11

1.7195 TRY

$         (323,700

)

Total Call Options Written (premiums received $44,300)

$       (323,700

)

Put

Call

Notional

Notional

Expiration

Strike

Type

Counterparty

Amount

Amount (6)

Date

Price

Value

Currency Option

JPMorgan Chase

(6,000,000) USD

(83,700,000) MXN

11/10/11

13.9500 MXN

$       (201,564

)

Total Put Options Written (premiums received $98,400)

$       (201,564

)

Unrealized

Appreciation

Amount

In Exchange For

Amount

Settlement

Depreciation)

Counterparty

Currency Contracts to Deliver

(Local Currency)

Currency

(Local Currency)

Date

(U.S. Dollars)

Citibank N.A.

Australian Dollar

4,000,000

U.S. Dollar

4,228,800

11/07/11

$       373,960

Morgan Stanley

Brazilian Real

14,400,000

U.S. Dollar

8,006,672

10/04/11

348,116

Citibank N.A.

Czech Koruna

74,000,000

U.S. Dollar

4,413,563

10/31/11

396,463

Deutsche Bank AG

Danish Krone

14,300,000

U.S. Dollar

2,593,305

11/29/11

18,823

Bank of America

Euro

3,000,000

U.S. Dollar

4,196,160

10/12/11

177,151

Morgan Stanley

Indian Rupee

180,000,000

U.S. Dollar

3,655,564

10/07/11

(14,957

)

Bank of America

Japanese Yen

680,000,000

U.S. Dollar

8,758,034

10/21/11

(60,282

)

Morgan Stanley

Malaysian Ringgit

14,000,000

U.S. Dollar

4,403,901

10/03/11

18,623

Morgan Stanley

Malaysian Ringgit

13,000,000

U.S. Dollar

4,088,050

10/06/11

18,268

Morgan Stanley

New Zealand Dollar

5,000,000

U.S. Dollar

3,885,000

10/05/11

73,517

Citibank N.A.

Philippine Peso

130,000,000

U.S. Dollar

3,064,737

10/31/11

103,407

Morgan Stanley

Polish Zloty

15,800,000

U.S. Dollar

5,453,918

10/31/11

697,174

Morgan Stanley

Pound Sterling

7,000,000

U.S. Dollar

11,058,180

11/21/11

147,463

JPMorgan Chase

South African Rand

44,800,000

U.S. Dollar

6,235,820

10/21/11

701,340

JPMorgan Chase

South Korean Won

4,200,000,000

U.S. Dollar

3,598,972

10/06/11

35,312

JPMorgan Chase

Swedish Krona

26,000,000

U.S. Dollar

4,071,725

10/05/11

282,580

Deutsche Bank AG

Swedish Krona

27,000,000

U.S. Dollar

4,227,006

10/12/11

293,556

Bank of America

Swiss Franc

7,000,000

U.S. Dollar

8,231,614

10/05/11

508,609

Citibank N.A.

Swiss Franc

8,500,000

U.S. Dollar

9,720,396

11/21/11

333,912

Morgan Stanley

Turkish Lira

8,300,000

U.S. Dollar

4,892,714

10/11/11

432,038

Morgan Stanley

U.S. Dollar

4,700,353

Malaysian Ringgit

14,000,000

10/03/11

(315,075

)

Morgan Stanley

U.S. Dollar

3,944,530

Brazilian Real

6,400,000

10/04/11

(540,727

)

Citibank N.A.

U.S. Dollar

4,804,805

Brazilian Real

8,000,000

10/04/11

(550,051

)

Bank of America

U.S. Dollar

8,637,497

Swiss Franc

7,000,000

10/05/11

(914,491

)

Morgan Stanley

U.S. Dollar

4,116,100

New Zealand Dollar

5,000,000

10/05/11

(304,617

)

JPMorgan Chase

U.S. Dollar

4,104,021

Swedish Krona

26,000,000

10/05/11

(314,876

)

JPMorgan Chase

U.S. Dollar

3,947,368

South Korean Won

4,200,000,000

10/06/11

(383,708

)

Morgan Stanley

U.S. Dollar

4,374,306

Malaysian Ringgit

13,000,000

10/06/11

(304,524

)

Morgan Stanley

U.S. Dollar

3,920,714

Indian Rupee

180,000,000

10/07/11

(250,193

)

Morgan Stanley

U.S. Dollar

2,381,486

Turkish Lira

4,250,000

10/11/11

(97,405

)

Deutsche Bank AG

U.S. Dollar

4,159,157

Swedish Krona

27,000,000

10/12/11

(225,708

)

Citibank N.A.

U.S. Dollar

5,838,740

South Korean Won

6,300,000,000

10/14/11

(511,822

)

Morgan Stanley

U.S. Dollar

7,959,759

Brazilian Real

14,400,000

11/03/11

(358,324

)

Morgan Stanley

U.S. Dollar

8,476,705

Malaysian Ringgit

27,000,000

11/03/11

(89,301

)

Citibank N.A.

U.S. Dollar

4,769,280

Australian Dollar

4,500,000

11/07/11

(432,585

)

JPMorgan Chase

U.S. Dollar

3,591,739

South Korean Won

4,200,000,000

11/07/11

(77,095

)

HSBC

U.S. Dollar

5,359,057

Chilean Peso

2,500,000,000

11/09/11

(572,190

)

Morgan Stanley

U.S. Dollar

3,633,611

Indian Rupee

180,000,000

11/14/11

(12,915

)

Bank of America

U.S. Dollar

3,493,721

Chilean Peso

1,800,000,000

11/30/11

(56,361

)

Morgan Stanley

U.S. Dollar

3,869,100

New Zealand Dollar

5,000,000

12/05/11

(73,949

)

$   (1,500,844

)

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 September 30, 2011:

Level 1

Level 2

Level 3

Total

Investments:

Short-Term Investments

$

                –

$

79,124,204

$

                –

$

79,124,204

Derivatives:

Call Options Purchased

1,236

–

–

1,236

Put Options Purchased

–

–

–

–

Call Options Written

(323,700

)

–

–

(323,700

)

Put Options Written

(201,564

)

–

–

(201,564

)

Forward Foreign Currency Exchange Contracts*

–

(1,500,844

)

–

(1,500,844

)

Total

$

(524,028

)

$

77,623,360

$

                –

$

77,099,332

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

During the period ended September 30, 2011, the Fund recognized no significant transfers to or from Level 1, Level 2 or Level 3.

Derivative Instruments and Hedging Activities

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

The following tables presents the fair value of all derivative instruments held by the Funds as of September 31, 2011, 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

Forward Foreign Currency

Unrealized appreciation on forward

Unrealized depreciation on forward

Exchange Rate

Exchange Contracts

foreign currency exchange contracts

$ 4,960,312

foreign currency exchange contracts

$      6,461,156

Foreign Currency

Exchange Rate

Options

Options purchased, at value

1,236

Options written, at value

525,264

Total

$ 4,961,548

$    6,986,420

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 September 30, 2011, the cost of investments was $81,385,927.

Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2011, were as follows:

Gross unrealized:

Appreciation

$     230,875

Depreciation

(2,492,598

)

Net unrealized appreciation (depreciation) of investments

$ (2,261,723

)

(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 Investor 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. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. 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 Liabliltites includes the Value and/or Net Unrealized Appreciation (Depreciation) of derivative instruments as noted in Investments in Derivatives at September 30, 2011.

(6)

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

N/A

Not applicable.

N/R

Not rated.

AUD

Australian Dollar

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)