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:

9/30/2012

Portfolio of Investments (Unaudited)

Global Income & Currency Fund Inc.  (GCF)

September 30, 2012

Principal

Amount (000) (3)

Description (1)

Coupon

Maturity

Ratings (2)

Value

Short-Term Investments – 100.3%

Sovereign Debt – 48.2%

Mexico – 14.8%

105,650 MXN

Mexican Treasury Bills

0.000%

2/07/13

N/R

$    8,077,556

40,000 MXN

Mexican Treasury Bills

0.000%

4/04/13

N/R

3,036,696

145,650 MXN

Total Mexico

11,114,252

South Africa – 12.6%

81,000 ZAR

Republic of South Africa Treasury Bill

0.000%

3/20/13

N/R

9,488,330

Turkey – 20.8%

19,600 TRY

Republic of Turkey, Government Bond

0.000%

2/20/13

BBB

10,624,078

9,500 TRY

Republic of Turkey, Government Bond

0.000%

5/15/13

BBB

5,060,412

29,100 TRY

Total Turkey

15,684,490

Total Sovereign Debt

36,287,072

U.S. Government and Agency Obligations – 49.1%

$     6,000        

Federal Home Loan Bank Bonds

0.200%

11/29/12

Aaa

6,000,192

6,000        

Federal Home Loan Bank Bonds

0.170%

2/06/13

Aaa

5,999,790

4,000        

Federal Home Loan Bank Bonds

0.200%

3/01/13

Aaa

4,000,344

6,500        

Federal Home Loan Bank Bonds

0.230%

4/29/13

AA+

6,501,124

5,000        

Federal Home Loan Mortgage Corporation, Notes, (4)

4.625%

10/25/12

Aaa

5,014,975

3,500        

Federal Home Loan Mortgage Corporation, Notes

0.750%

12/28/12

Aaa

3,504,988

3,000        

Federal Home Loan Mortgage Corporation, Notes

0.850%

12/28/12

Aaa

3,004,998

3,000        

Federal National Mortgage Association

1.000%

12/27/12

Aaa

3,006,015

37,000        

Total U.S. Government and Agency Obligations

37,032,426

Repurchase Agreements – 3.0%

$     2,251        

Repurchase Agreement with State Street Bank, dated 9/28/12, repurchase price $2,251,213, collateralized by $2,120,000 U.S. Treasury Bonds, 3.125%, due 11/15/41, value $2,297,520

0.010%

10/01/12

N/A

2,251,211

Total Short-Term Investments (cost $2,251,211)

2,251,211

Total Investments (cost $76,325,391) – 100.3%

75,570,709

Other Assets Less Liabilities – (0.3)% (5)

(256,875

)

Net Assets – 100%

$   75,313,834

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

10,968,525

10/19/12

$

(40,187

)

Bank of America

U.S. Dollar

3,960,719

New Zealand Dollar

4,900,000

10/17/12

96,436

Bank of America

U.S. Dollar

3,958,688

Australian Dollar

3,800,000

11/16/12

(32,116

)

Barclays

U.S. Dollar

8,825,837

Malaysian Ringgit

27,000,000

11/26/12

(50,688

)

BNP Paribas

Chilean Peso

600,000,000

U.S. Dollar

1,267,695

10/05/12

3,394

BNP Paribas

New Taiwan Dollar

90,000,000

U.S. Dollar

3,076,923

11/19/12

7,768

BNP Paribas

Polish Zloty

24,500,000

U.S. Dollar

7,699,560

10/05/12

54,867

BNP Paribas

Singapore Dollar

4,670,000

U.S. Dollar

3,753,718

10/02/12

(51,693

)

BNP Paribas

Singapore Dollar

4,670,000

U.S. Dollar

3,808,638

12/03/12

3,538

BNP Paribas

U.S. Dollar

3,809,135

Singapore Dollar

4,670,000

10/02/12

(3,725

)

BNP Paribas

U.S. Dollar

1,244,039

Chilean Peso

600,000,000

10/05/12

20,262

BNP Paribas

U.S. Dollar

3,601,278

Polish Zloty

12,000,000

10/05/12

143,061

BNP Paribas

U.S. Dollar

3,746,441

Polish Zloty

12,500,000

10/05/12

153,913

BNP Paribas

U.S. Dollar

3,777,148

Chilean Peso

1,800,000,000

11/09/12

(4,637

)

BNP Paribas

U.S. Dollar

1,257,203

Chilean Peso

600,000,000

12/03/12

(4,201

)

BNP Paribas

U.S. Dollar

7,645,976

Polish Zloty

24,500,000

12/03/12

(54,608

)

Citibank N.A.

Czech Koruna

74,000,000

U.S. Dollar

3,888,086

11/30/12

105,455

Citibank N.A.

Swiss Franc

8,500,000

U.S. Dollar

8,700,993

10/23/12

(340,204

)

Citibank N.A.

U.S. Dollar

9,540,215

South Korean Won

10,800,000,000

10/15/12

163,984

Deutsche Bank AG

Danish Krone

14,300,000

U.S. Dollar

2,494,355

11/28/12

26,796

JPMorgan Chase

South African Rand

44,800,000

U.S. Dollar

5,404,979

11/19/12

57,652

JPMorgan Chase

South Korean Won

1,700,000,000

U.S. Dollar

1,523,297

10/02/12

(6,270

)

JPMorgan Chase

Turkish Lira

11,672,000

U.S. Dollar

6,495,306

10/12/12

10,708

JPMorgan Chase

U.S. Dollar

1,490,313

South Korean Won

1,700,000,000

10/02/12

39,255

JPMorgan Chase

U.S. Dollar

4,732,988

Indian Rupee

265,000,000

10/10/12

283,921

JPMorgan Chase

U.S. Dollar

2,992,795

Indian Rupee

162,000,000

10/18/12

69,087

JPMorgan Chase

U.S. Dollar

1,518,874

South Korean Won

1,700,000,000

12/03/12

2,755

Morgan Stanley

Euro

6,200,000

U.S. Dollar

7,652,989

10/19/12

(315,645

)

Morgan Stanley

U.S. Dollar

3,639,915

Euro

2,900,000

10/19/12

87,350

$   426,228

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 following is a summary of the three-tiered hierarchy of valuation input levels.

Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 – Prices are determined using 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 risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

Level 1

Level 2

Level 3

Total

Short-Term Investments:

Sovereign Debt

$                –

$   36,287,072

$          –

$  36,287,072

U.S. Government & Agency Obligations

–

37,032,426

–

37,032,426

Repurchase Agreements

–

2,251,211

–

2,251,211

Derivatives:

Forward Foreign Currency Exchange Contracts*

–

426,228

–

426,228

Total

$                –

$   75,996,937

$          –

$  75,996,937

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

The Nuveen funds’ Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds’ pricing policies, and reporting to the Board of Directors/Trustees.  The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee.  When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees.

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 September 30, 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

$  1,330,202

Unrealized depreciation on forward foreign currency exchange contracts

$  (903,974

)

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, 2012, the cost of investments (excluding investments in derivatives) was $76,325,671.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at September 30, 2012, were as follows:

Gross unrealized:

Appreciation

$    171,146

Depreciation

(926,108

)

Net unrealized appreciation (depreciation) of investments

$   (754,962

)

(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. Certain bonds backed by U.S. Government or agency securities are regarded as having 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 Liabilities includes the net Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives at September 30, 2012.

N/A

Not applicable.

N/R

Not rated.

MXN

Mexican Peso

TRY

Turkish Lira

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)