FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-05459
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TEMPLETON GLOBAL INCOME FUND
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(Exact name of registrant as specified in charter)
500 EAST BROWARD BLVD., SUITE 2100, FORT LAUDERDALE, FL 33394-3091
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(Address of principal executive offices) (Zip code)
CRAIG S. TYLE, ONE FRANKLIN PARKWAY, SAN MATEO, CA 94403-1906
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(Name and address of agent for service)
Registrant's telephone number, including area code: (954) 527-7500
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Date of fiscal year end: 8/31
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Date of reporting period: 11/30/09
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ITEM 1. SCHEDULE OF INVESTMENTS.
Templeton Global Income Fund
STATEMENT OF INVESTMENTS, NOVEMBER 30, 2009 (UNAUDITED)
PRINCIPAL (a)
AMOUNT VALUE
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BONDS 94.5%
ARGENTINA 2.6%
(b, c) Government of Argentina, senior bond, FRN, 0.943%, 8/03/12 98,977,000 $ 31,227,244
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AUSTRALIA 8.7%
New South Wales Treasury Corp.,
6.00%, 5/01/12 10,565,000 AUD 9,891,797
senior note, 5.50%, 3/01/17 36,971,000 AUD 33,241,857
Queensland Treasury Corp.,
13, 6.00%, 8/14/13 41,536,000 AUD 38,914,916
17, 6.00%, 9/14/17 12,395,000 AUD 11,477,477
(d) 144A, 7.125%, 9/18/17 16,480,000 NZD 12,443,245
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105,969,292
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BRAZIL 7.5%
Nota Do Tesouro Nacional,
9.609%, 1/01/12 23,075(e) BRL 12,731,540
9.609%, 1/01/14 15,000(e) BRL 7,821,149
9.609%, 1/01/17 54,900(e) BRL 26,791,413
(f) Index Linked, 6.00%, 5/15/15 20,140(e) BRL 20,573,206
(f) Index Linked, 6.00%, 5/15/45 23,625(e) BRL 23,072,993
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90,990,301
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CANADA 1.4%
Province of Manitoba, 6.375%, 9/01/15 14,800,000 NZD 10,688,603
Province of Ontario, 6.25%, 6/16/15 8,460,000 NZD 6,210,198
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16,898,801
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HUNGARY 2.6%
Government of Hungary,
3.50%, 7/18/16 905,000 EUR 1,265,053
4.375%, 7/04/17 4,435,000 EUR 6,472,433
5.75%, 6/11/18 12,690,000 EUR 19,742,114
senior note, 3.875%, 2/24/20 2,700,000 EUR 3,575,337
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31,054,937
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INDONESIA 10.2%
Government of Indonesia,
FR19, 14.25%, 6/15/13 84,050,000,000 IDR 10,356,238
FR20, 14.275%, 12/15/13 81,836,000,000 IDR 10,191,634
FR26, 11.00%, 10/15/14 3,500,000,000 IDR 397,938
FR27, 9.50%, 6/15/15 34,890,000,000 IDR 3,736,238
FR30, 10.75%, 5/15/16 87,035,000,000 IDR 9,780,506
FR31, 11.00%, 11/15/20 335,739,000,000 IDR 37,018,280
FR34, 12.80%, 6/15/21 59,666,000,000 IDR 7,288,655
FR35, 12.90%, 6/15/22 32,530,000,000 IDR 3,982,388
FR36, 11.50%, 9/15/19 23,000,000,000 IDR 2,633,263
FR42, 10.25%, 7/15/27 25,430,000,000 IDR 2,568,552
FR43, 10.25%, 7/15/22 8,450,000,000 IDR 869,130
FR46, 9.50%, 7/15/23 41,250,000,000 IDR 3,981,029
FR47, 10.00%, 2/15/28 52,895,000,000 IDR 5,216,775
FR48, 9.00%, 9/15/18 18,520,000,000 IDR 1,841,227
(d) senior bond, 144A, 8.50%, 10/12/35 2,952,000 3,487,050
(d) senior bond, 144A, 6.625%, 2/17/37 2,090,000 2,033,570
(d) senior bond, 144A, 7.75%, 1/17/38 7,050,000 7,670,400
(g) senior bond, Reg S, 8.50%, 10/12/35 5,510,000 6,508,687
(g) senior bond, Reg S, 7.75%, 1/17/38 3,310,000 3,601,280
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123,162,840
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Quarterly Statement of Investments See Notes to Statements of Investments
LITHUANIA 1.2%
(d) Government of Lithuania, 144A, 6.75%, 1/15/15 15,000,000 $ 15,168,750
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MEXICO 4.7%
Government of Mexico,
M 20, 8.00%, 12/07/23 2,727,000(h) MXN 20,932,395
M 20, 10.00%, 12/05/24 15,000(h) MXN 135,325
M 20, 7.50%, 6/03/27 3,058,000(h) MXN 21,910,641
senior bond, 5.95%, 3/19/19 13,260,000 14,469,975
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57,448,336
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NEW ZEALAND 1.1%
Government of New Zealand, 6.00%, 11/15/11 18,273,000 NZD 13,565,439
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NORWAY 1.5%
Government of Norway, 6.00%, 5/16/11 96,190,000 NOK 17,822,266
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PERU 3.5%
Government of Peru,
9.91%, 5/05/15 6,500,000 PEN 2,867,474
7.84%, 8/12/20 32,200,000 PEN 12,991,163
Series 7, 8.60%, 8/12/17 61,545,000 PEN 26,268,809
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42,127,446
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PHILIPPINES 0.1%
(g) Government of the Philippines, Reg S, 9.125%, 2/22/10 770,000 EUR 1,179,988
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POLAND 9.1%
Government of Poland,
4.75%, 4/25/12 27,930,000 PLN 10,046,631
5.75%, 4/25/14 147,355,000 PLN 53,359,888
6.25%, 10/24/15 19,335,000 PLN 7,127,005
5.75%, 9/23/22 60,500,000 PLN 20,953,643
senior note, 6.375%, 7/15/19 17,000,000 18,884,841
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110,372,008
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QATAR 1.0%
(d) Government of Qatar, senior note, 144A, 6.55%, 4/09/19 10,450,000 11,540,980
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RUSSIA 4.8%
(d) Government of Russia, 144A, 7.50%, 3/31/30 51,543,020 58,251,344
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SOUTH AFRICA 2.7%
Government of South Africa,
5.25%, 5/16/13 3,330,000 EUR 5,186,804
4.50%, 4/05/16 1,829,000 EUR 2,713,092
6.875%, 5/27/19 18,620,000 20,784,575
senior note, 6.50%, 6/02/14 775,000 855,073
senior note, 5.875%, 5/30/22 3,355,000 3,420,003
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32,959,547
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SOUTH KOREA 16.1%
The Export-Import Bank of Korea,
5.125%, 3/16/15 300,000 317,385
4.625%, 2/20/17 205,000 EUR 306,800
(g) Reg S, 5.25%, 2/10/14 295,000 313,117
senior note, 8.125%, 1/21/14 995,000 1,163,249
Government of Korea, senior bond, 5.625%, 11/03/25 620,000 638,621
Korea Deposit Insurance Corp.,
07-1, 5.57%, 9/14/12 7,200,000,000 KRW 6,333,061
08-1, 5.28%, 2/15/13 1,232,000,000 KRW 1,074,330
Korea Development Bank, senior note, 8.00%, 1/23/14 3,325,000 3,872,119
Korea Treasury Bond,
0400-1206, 4.00%, 6/10/12 76,268,710,000 KRW 65,287,518
0475-1112, 4.75%, 12/10/11 69,639,880,000 KRW 60,641,558
0475-1203, 4.75%, 3/10/12 15,946,000,000 KRW 13,878,469
0525-1303, 5.25%, 3/10/13 1,866,530,000 KRW 1,643,971
0525-1509, 5.25%, 9/10/15 4,000,000,000 KRW 3,498,466
0550-1106, 5.50%, 6/10/11 19,068,600,000 KRW $ 16,846,178
senior note, 7.125%, 4/16/19 15,880,000 18,900,424
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194,715,266
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SRI LANKA 2.1%
Government of Sri Lanka, A,
8.50%, 1/15/13 567,300,000 LKR 4,754,022
13.50%, 2/01/13 550,800,000 LKR 5,252,645
11.25%, 7/15/14 585,500,000 LKR 5,242,402
11.00%, 8/01/15 1,103,400,000 LKR 9,760,124
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25,009,193
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(i) SUPRANATIONAL 4.4%
Corporacion Andina De Fomento, 8.125%, 6/04/19 8,640,000 10,275,120
European Investment Bank, senior note, 4.50%, 5/15/13 113,650,000 NOK 20,622,771
Inter-American Development Bank,
7.50%, 4/15/15 8,000,000 NZD 6,226,569
6.00%, 12/15/17 6,000,000 NZD 4,328,414
senior note, 7.50%, 12/05/24 185,000,000 MXN 12,418,772
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53,871,646
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SWEDEN 5.7%
Government of Sweden, 5.25%, 3/15/11 457,575,000 SEK 69,598,910
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UNITED ARAB EMIRATES 0.9%
(d) Emirate of Abu Dhabi, 144A, 6.75%, 4/08/19 10,260,000 11,342,994
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VENEZUELA 2.6%
Government of Venezuela,
10.75%, 9/19/13 6,155,000 5,693,375
(g) senior bond, Reg S, 5.375%, 8/07/10 19,905,000 19,556,662
Petroleos de Venezuela SA, senior bond, zero cpn., 7/10/11 7,600,000 6,089,500
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31,339,537
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TOTAL BONDS (COST $996,039,030) 1,145,617,065
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MUNICIPAL BONDS 3.9%
UNITED STATES AND U.S. TERRITORIES 3.9%
Alabama Public Housing Authorities Capital Program
Revenue, Series B, FSA Insured, 4.45%, 1/01/24 55,000 55,383
Alabama State University Revenue, General Tuition and Fee,
Assured Guaranty,
5.00%, 9/01/29 5,000 5,231
5.75%, 9/01/39 5,000 5,386
Bay Area Toll Authority Toll Bridge Revenue, San Francisco
Bay Area, Refunding, Series F-1,
5.00%, 4/01/39 605,000 602,193
5.50%, 4/01/43 295,000 304,924
Bexar County Hospital District GO, Certificates of
Obligation, 5.00%, 2/15/32 805,000 813,573
Bexar County Revenue, Venue Project, Refunding, Series A,
BHAC Insured, 5.25%, 8/15/47 730,000 741,658
California State GO,
Refunding, 5.125%, 4/01/33 500,000 462,395
Refunding, 5.00%, 4/01/38 205,000 179,795
Various Purpose, 6.00%, 4/01/38 20,130,000 20,444,028
District of Columbia University Revenue, Georgetown
University, Refunding, Series D, BHAC Insured,
5.50%, 4/01/36 1,545,000 1,671,644
Florida State Hurricane Catastrophe Fund Finance Corp.
Revenue, Series A, 4.25%, 7/01/14 2,375,000 2,511,467
Hamilton County Sales Tax Revenue, sub. bond, Refunding,
Series A, FSA Insured, 5.00%, 12/01/32 1,825,000 1,862,759
Illinois Municipal Electricity Agency Power Supply
Revenue, Series A, BHAC Insured, 5.00%, 2/01/35 1,085,000 1,119,177
Kentucky State Municipal Power Agency Power System
Revenue, Prairie State Project, Series A, BHAC Insured,
5.25%, 9/01/42 2,395,000 2,479,496
Las Vegas Valley Water District GO, Refunding, Series A,
NATL Insured, 5.00%, 6/01/26 395,000 406,455
Lewisville ISD, GO, School Building, 5.00%, 8/15/26 545,000 589,625
Los Angeles USD, GO, Series I, 5.00%,
7/01/26 180,000 188,075
7/01/27 195,000 202,511
Minneapolis Health Care System Revenue, Fairview Health
Services, Series B, Assured Guaranty, 6.50%, 11/15/38 1,670,000 1,852,731
MTA Revenue,
Series B, Assured Guaranty, 5.25%, 11/15/20 430,000 $ 485,827
Transportation, Series A, FSA Insured, 5.50%, 11/15/21 410,000 470,483
North Carolina Eastern Municipal Power Agency Power System
Revenue, Refunding, Series A, Assured Guaranty, 5.25%,
1/01/19 250,000 277,942
Palomar Pomerado Health GO, Election of 2004, Series A,
NATL Insured, 5.125%, 8/01/37 2,080,000 1,927,370
Philadelphia GO, Refunding, Series A, Assured Guaranty,
5.00%, 8/01/24 50,000 51,978
Placentia-Yorba Linda USD, GO, 2008 Election, Series A,
5.25%, 8/01/32 2,400,000 2,472,216
Poway USD, GO, Election of 2008, ID 07-1-A, zero cpn.,
8/01/27 705,000 248,167
8/01/30 705,000 196,498
8/01/32 885,000 209,064
8/01/33 470,000 102,756
Puerto Rico Commonwealth GO, Public Improvement,
Refunding, Series A, NATL Insured, 5.50%, 7/01/21 100,000 101,883
Regional Transportation District Sales Tax Revenue,
Fastracks Project, Series A, AMBAC Insured, 5.00%,
11/01/27 590,000 628,598
San Bernardino Community College District GO, Election of
2002, Series A,
6.375%, 8/01/26 400,000 466,704
6.50%, 8/01/27 580,000 682,898
6.50%, 8/01/28 240,000 280,858
San Mateo County Community College District GO, Election
of 2001, Series C, NATL Insured, zero cpn.,
9/01/30 1,115,000 331,913
9/01/30 590,000 175,631
3/01/31 465,000 131,549
Tarrant County Cultural Education Facilities Finance Corp.
Revenue, Christus Health, Refunding, Series A, Assured
Guaranty, 6.25%, 7/01/28 1,400,000 1,564,276
TOTAL MUNICIPAL BONDS (COST $44,888,630) 47,305,117
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TOTAL INVESTMENTS (COST $1,040,927,660) 98.4% 1,192,922,182
OTHER ASSETS, LESS LIABILITIES 1.6% 19,740,024
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NET ASSETS 100.0% $1,212,662,206
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(a) The principal amount is stated in U.S. dollars unless otherwise indicated.
(b) The coupon rate shown represents the rate at period end.
(c) The principal amount is stated in original face, and scheduled paydowns are
reflected in the market price on ex-date.
(d) Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may be sold in transactions exempt from registration only to
qualified institutional buyers or in a public offering registered under the
Securities Act of 1933. These securities have been deemed liquid under
guidelines approved by the Fund's Board of Trustees. At November 30, 2009,
the aggregate value of these securities was $121,938,333, representing
10.06% of net assets.
(e) Principal amount is stated in 1,000 Brazilian Real Units.
(f) Redemption price at maturity is adjusted for inflation.
(g) Security was purchased pursuant to Regulation S under the Securities Act of
1933, which exempts from registration securities offered and sold outside
of the United States. Such a security cannot be sold in the United States
without either an effective registration statement filed pursuant to the
Securities Act of 1933, or pursuant to an exemption from registration.
These securities have been deemed liquid under guidelines approved by the
Fund's Board of Trustees. At November 30, 2009, the aggregate value of
these securities was $31,159,734, representing 2.57% of net assets.
(h) Principal amount is stated in 100 Mexican Peso Units.
(i) A supranational organization is an entity formed by two or more central
governments through international treaties.
At November 30, 2009, the Fund had the following forward exchange contracts
outstanding. See Note 3.
CONTRACT SETTLEMENT UNREALIZED UNREALIZED
CURRENCY COUNTERPARTY TYPE QUANTITY AMOUNT(a) DATE APPRECIATION DEPRECIATION
-------- ------------ ---- -------------- ----------- ---------- ------------ -------------
Mexican Peso CITI Sell 39,049,000 2,882,377 12/01/09 $ -- $ (136,306)
Mexican Peso CITI Buy 39,049,000 3,027,289 12/01/09 8,595 --
New Zealand Dollar BZWS Sell 17,712,736 10,946,471 12/02/09 -- (1,736,540)
New Zealand Dollar DBAB Sell 4,580,779 2,786,350 12/02/09 -- (493,666)
New Zealand Dollar FBCO Sell 1,511,663 934,918 12/02/09 -- (147,492)
New Zealand Dollar FBCO Buy 1,511,663 1,080,839 12/02/09 18,135 --
New Zealand Dollar BZWS Buy 17,712,736 12,646,893 12/02/09 230,208 --
New Zealand Dollar DBAB Buy 4,580,779 3,277,547 12/02/09 52,664 --
Chinese Yuan HSBC Buy 31,071,000 3,373,564 EUR 12/04/09 -- (513,438)
Chinese Yuan HSBC Buy 24,661,000 3,373,598 12/04/09 238,703 --
Indonesian Rupiah JPHQ Buy 20,258,000,000 1,447,000 12/07/09 692,534 --
Euro UBSW Sell 1,325,806 1,676,415 12/08/09 -- (313,964)
Chinese Yuan JPHQ Buy 16,342,344 2,318,063 12/14/09 76,086 --
Chinese Yuan HSBC Buy 32,777,418 4,636,127 12/14/09 165,757 --
Chinese Yuan HSBC Buy 32,904,211 4,651,232 12/15/09 169,297 --
Chinese Yuan JPHQ Buy 32,791,186 4,651,232 12/15/09 152,739 --
Chinese Yuan HSBC Buy 32,996,252 4,688,633 12/16/09 145,452 --
Malaysian Ringgit JPHQ Buy 16,656,368 4,688,633 12/16/09 211,024 --
Chinese Yuan HSBC Buy 10,145,784 1,435,047 12/17/09 51,373 --
Malaysian Ringgit JPHQ Buy 5,137,469 1,435,047 12/17/09 76,121 --
Mexican Peso DBAB Sell 287,285,013 20,814,889 12/17/09 -- (1,345,026)
Chinese Yuan HSBC Buy 30,514,414 4,305,142 12/18/09 165,474 --
Chinese Yuan HSBC Buy 8,294,486 1,183,236 12/21/09 32,029 --
Malaysian Ringgit JPHQ Buy 6,147,742 1,722,057 12/21/09 85,914 --
Malaysian Ringgit HSBC Buy 3,153,623 887,427 12/21/09 40,012 --
Chinese Yuan HSBC Buy 9,755,745 1,401,688 12/22/09 27,694 --
Malaysian Ringgit HSBC Buy 5,021,942 1,435,579 12/22/09 41,234 --
Mexican Peso DBAB Sell 208,565,232 15,381,824 12/22/09 -- (694,984)
Mexican Peso DBAB Buy 208,565,232 14,731,784 12/22/09 1,345,024 --
Malaysian Ringgit HSBC Buy 3,991,727 1,148,038 12/23/09 25,759 --
Mexican Peso DBAB Sell 86,616,747 6,393,276 12/23/09 -- (282,478)
Mexican Peso DBAB Buy 86,616,747 6,138,243 12/23/09 537,512 --
Mexican Peso DBAB Sell 138,880,454 10,214,051 12/24/09 -- (488,325)
Mexican Peso HSBC Sell 106,280,000 7,762,650 12/24/09 -- (427,476)
Mexican Peso DBAB Buy 138,880,454 9,821,189 12/24/09 881,187 --
Malaysian Ringgit HSBC Buy 4,516,266 1,291,543 12/28/09 36,163 --
Euro DBAB Sell 12,240,000 16,976,880 1/11/10 -- (1,396,435)
Euro UBSW Sell 6,354,000 8,783,643 1/11/10 -- (754,270)
Euro CITI Sell 3,597,000 4,999,075 1/11/10 -- (400,338)
Euro UBSW Sell 2,459,575 3,456,170 1/13/10 -- (235,842)
Euro CITI Sell 2,459,575 3,457,818 1/13/10 -- (234,194)
Euro JPHQ Sell 2,090,000 2,907,399 1/13/10 -- (229,853)
Mexican Peso DBAB Sell 92,844,000 6,676,302 1/13/10 -- (460,054)
Philippine Peso JPHQ Buy 325,450,000 6,978,322 1/13/10 -- (117,060)
Euro BZWS Sell 3,027,169 4,253,172 1/14/10 -- (290,826)
Euro UBSW Sell 3,216,367 4,494,551 1/15/10 -- (333,430)
Euro JPHQ Sell 1,702,783 2,374,548 1/15/10 -- (181,443)
Philippine Peso HSBC Buy 88,621,000 1,903,781 1/15/10 -- (35,816)
Philippine Peso DBAB Buy 50,543,000 1,087,882 1/15/10 -- (22,530)
Euro BZWS Sell 2,459,575 3,464,311 1/19/10 -- (227,623)
Philippine Peso JPHQ Buy 126,210,000 2,719,691 1/19/10 -- (60,493)
Philippine Peso DBAB Buy 31,623,000 679,918 1/19/10 -- (13,633)
Mexican Peso DBAB Sell 15,947,491 1,170,673 1/20/10 -- (54,044)
Mexican Peso DBAB Buy 15,947,491 1,074,991 1/20/10 149,725 --
Mexican Peso HSBC Sell 237,185,960 17,406,483 1/21/10 -- (806,368)
Mexican Peso HSBC Buy 237,185,960 16,124,865 1/21/10 2,087,986 --
Euro UBSW Sell 4,351,556 6,189,566 1/25/10 -- (342,181)
Mexican Peso DBAB Sell 14,600,000 1,079,187 1/27/10 -- (41,068)
Chilean Peso DBAB Buy 1,968,980,000 3,117,448 1/28/10 855,193 --
Malaysian Ringgit JPHQ Buy 48,000,000 13,111,172 1/28/10 981,771 --
Chilean Peso DBAB Buy 4,531,910,000 7,223,361 1/29/10 1,920,929 --
Chilean Peso JPHQ Buy 596,880,000 950,446 1/29/10 253,912 --
Euro UBSW Sell 338,000 474,299 1/29/10 -- (33,037)
Mexican Peso CITI Sell 39,424,000 2,892,019 1/29/10 -- (132,222)
New Zealand Dollar UBSW Sell 7,150,005 4,653,938 1/29/10 -- (444,051)
Singapore Dollar HSBC Sell 46,921,000 31,290,281 1/29/10 -- (2,584,016)
Singapore Dollar BZWS Sell 11,732,000 7,796,411 1/29/10 -- (673,427)
Singapore Dollar UBSW Sell 11,738,000 7,801,461 1/29/10 -- (672,709)
Singapore Dollar HSBC Buy 46,921,000 33,841,913 1/29/10 32,385 --
Singapore Dollar BZWS Buy 11,732,000 8,417,880 1/29/10 51,957 --
Singapore Dollar UBSW Buy 11,738,000 8,415,181 1/29/10 58,988 --
Swedish Krona DBAB Buy 89,650,000 8,549,902 EUR 1/29/10 26,488 --
Chilean Peso DBAB Buy 950,440,000 1,520,704 2/02/10 398,291 --
New Zealand Dollar DBAB Sell 10,258,681 5,186,174 2/02/10 -- (2,126,304)
Singapore Dollar HSBC Sell 11,752,000 7,820,746 2/02/10 -- (663,245)
Singapore Dollar BZWS Sell 4,702,000 3,128,410 2/02/10 -- (266,053)
Singapore Dollar BZWS Buy 4,702,000 3,373,753 2/02/10 20,709 --
Singapore Dollar HSBC Buy 11,752,000 8,458,632 2/02/10 25,359 --
Chilean Peso DBAB Buy 1,783,500,000 2,851,319 2/03/10 750,256 --
Chinese Yuan DBAB Buy 135,288,000 19,180,966 2/03/10 653,270 --
Mexican Peso CITI Sell 173,615,100 12,784,146 2/03/10 -- (525,600)
Mexican Peso CITI Buy 173,615,100 11,571,817 2/03/10 1,737,929 --
Singapore Dollar HSBC Sell 14,723,000 9,776,293 2/03/10 -- (852,429)
Singapore Dollar HSBC Buy 14,723,000 10,597,042 2/03/10 31,681 --
Mexican Peso HSBC Sell 146,040,000 10,715,229 2/04/10 -- (479,135)
Mexican Peso UBSW Sell 116,660,000 8,558,929 2/04/10 -- (383,378)
Mexican Peso UBSW Buy 116,660,000 7,714,333 2/04/10 1,227,974 --
Mexican Peso HSBC Buy 146,040,000 9,643,423 2/04/10 1,550,941 --
Singapore Dollar HSBC Sell 14,805,000 9,776,407 2/04/10 -- (911,422)
Singapore Dollar HSBC Buy 14,805,000 10,608,569 2/04/10 79,261 --
Singapore Dollar HSBC Sell 11,809,000 7,821,307 2/05/10 -- (703,618)
Singapore Dollar HSBC Buy 11,809,000 8,461,775 2/05/10 63,149 --
Euro HSBC Sell 675,000 972,446 2/08/10 -- (40,669)
Singapore Dollar JPHQ Sell 9,302,000 6,178,678 2/08/10 -- (536,272)
Singapore Dollar JPHQ Buy 9,302,000 6,670,013 2/08/10 44,937 --
Singapore Dollar JPHQ Sell 11,787,000 7,827,733 2/09/10 -- (681,024)
Singapore Dollar JPHQ Buy 11,787,000 8,474,369 2/09/10 34,387 --
Singapore Dollar BZWS Sell 4,670,600 3,131,205 2/11/10 -- (240,333)
Singapore Dollar BZWS Buy 4,670,600 3,345,522 2/11/10 26,017 --
Chilean Peso DBAB Buy 935,230,000 1,520,699 2/12/10 370,641 --
Malaysian Ringgit DBAB Buy 24,260,103 6,683,224 2/12/10 435,420 --
New Zealand Dollar HSBC Sell 1,456,071 756,283 2/12/10 -- (280,903)
South Korean Won HSBC Buy 7,084,000,000 5,208,824 2/12/10 858,773 --
Chilean Peso DBAB Buy 2,301,970,000 3,801,767 2/16/10 856,582 --
Chilean Peso DBAB Buy 2,298,030,000 3,823,677 2/17/10 827,452 --
Malaysian Ringgit HSBC Buy 6,108,000 1,675,031 2/17/10 116,890 --
New Zealand Dollar HSBC Sell 1,943,304 972,041 2/22/10 -- (411,260)
Chilean Peso DBAB Buy 1,158,950,000 1,911,828 2/26/10 437,268 --
Chilean Peso CITI Buy 3,938,380,000 6,500,233 2/26/10 1,482,539 --
New Zealand Dollar DBAB Sell 26,988,728 13,534,847 2/26/10 -- (5,671,242)
Chilean Peso DBAB Buy 1,153,220,000 1,911,837 3/03/10 426,348 --
Chilean Peso DBAB Buy 1,873,290,000 3,058,932 3/04/10 739,184 --
Chilean Peso DBAB Buy 1,173,870,000 1,911,840 3/05/10 468,175 --
Chilean Peso DBAB Buy 1,107,150,000 1,799,571 3/08/10 445,117 --
Chilean Peso DBAB Buy 1,176,260,000 1,911,841 3/09/10 472,945 --
Mexican Peso CITI Sell 395,410,000 29,204,612 3/16/10 -- (944,261)
Mexican Peso CITI Buy 395,410,000 24,590,174 3/16/10 5,558,698 --
Singapore Dollar JPHQ Sell 7,659,000 4,977,255 3/17/10 -- (550,184)
Singapore Dollar JPHQ Buy 7,659,000 5,506,111 3/17/10 21,328 --
Singapore Dollar DBAB Sell 9,714,000 6,316,405 3/18/10 -- (694,071)
Singapore Dollar DBAB Buy 9,714,000 6,993,369 3/18/10 17,107 --
Singapore Dollar DBAB Sell 14,546,000 9,475,193 3/19/10 -- (1,022,421)
Singapore Dollar DBAB Buy 14,546,000 10,373,698 3/19/10 123,915 --
Singapore Dollar DBAB Sell 19,370,000 12,633,089 3/22/10 -- (1,345,692)
Singapore Dollar DBAB Buy 19,370,000 13,944,682 3/22/10 34,099 --
Singapore Dollar UBSW Sell 17,593,000 11,583,106 3/23/10 -- (1,113,193)
Singapore Dollar UBSW Buy 17,593,000 12,676,899 3/23/10 19,400 --
Australian Dollar BZWS Sell 4,102,790 2,790,513 3/24/10 -- (921,521)
Singapore Dollar JPHQ Sell 4,766,000 3,158,592 3/31/10 -- (280,721)
Singapore Dollar JPHQ Buy 4,766,000 3,416,977 3/31/10 22,336 --
Indian Rupee DBAB Buy 110,524,000 2,135,977 4/09/10 224,078 --
Indian Rupee DBAB Buy 237,003,000 4,577,115 4/12/10 482,625 --
Indian Rupee JPHQ Buy 159,192,000 3,051,409 4/13/10 346,918 --
Indian Rupee JPHQ Buy 156,262,000 3,051,396 4/15/10 283,917 --
Indian Rupee JPHQ Buy 78,058,000 1,529,949 4/19/10 135,683 --
Indian Rupee DBAB Buy 54,789,000 1,068,012 4/19/10 101,097 --
Malaysian Ringgit JPHQ Buy 5,072,841 1,401,221 4/19/10 83,554 --
Malaysian Ringgit JPHQ Buy 14,535,000 4,047,957 4/20/10 206,146 --
Indian Rupee DBAB Buy 110,998,000 2,141,934 4/26/10 225,426 --
Indian Rupee JPHQ Buy 15,835,000 305,990 4/27/10 31,714 --
Indian Rupee DBAB Buy 507,510,181 9,912,308 4/28/10 910,330 --
Indian Rupee JPHQ Buy 78,563,000 1,529,951 4/28/10 145,402 --
New Zealand Dollar DBAB Sell 16,563,648 9,065,285 4/28/10 -- (2,664,985)
Swedish Krona BOFA Buy 29,978,900 2,820,747 EUR 4/29/10 70,451 --
Indian Rupee JPHQ Buy 78,640,000 1,529,961 4/30/10 146,800 --
Chilean Peso DBAB Buy 2,278,980,000 3,974,919 5/18/10 643,007 --
Chilean Peso CITI Buy 103,407,000 185,317 5/26/10 24,205 --
Chilean Peso DBAB Buy 362,056,000 648,613 5/26/10 84,979 --
Chilean Peso CITI Buy 466,580,000 825,513 5/28/10 119,849 --
Chilean Peso DBAB Buy 466,410,000 825,504 5/28/10 119,514 --
Chilean Peso CITI Buy 186,070,000 330,204 6/01/10 46,859 --
Indian Rupee DBAB Buy 150,389,000 3,064,223 6/01/10 135,271 --
New Zealand Dollar DBAB Sell 10,620,020 7,417,978 6/01/10 -- (82,556)
New Zealand Dollar UBSW Sell 10,684,383 7,463,896 6/01/10 -- (82,094)
New Zealand Dollar CITI Sell 6,044,416 4,215,255 6/01/10 -- (53,696)
Indian Rupee HSBC Buy 4,458,000 91,918 6/02/10 2,919 --
New Zealand Dollar BZWS Sell 8,856,368 6,237,363 6/02/10 -- (113,781)
New Zealand Dollar DBAB Sell 4,580,779 3,232,427 6/02/10 -- (52,575)
New Zealand Dollar FBCO Sell 1,511,663 1,065,722 6/02/10 -- (18,332)
Indian Rupee HSBC Buy 22,062,000 459,625 6/03/10 9,679 --
Indian Rupee HSBC Buy 147,266,000 3,064,211 6/04/10 68,241 --
Poland Zloty DBAB Buy 13,705,000 3,012,684 EUR 6/04/10 366,942 --
Indian Rupee DBAB Buy 73,633,000 1,532,106 6/07/10 33,821 --
Poland Zloty DBAB Buy 12,965,000 2,824,434 EUR 6/07/10 384,708 --
Indian Rupee HSBC Buy 29,570,000 612,850 6/08/10 15,965 --
Indian Rupee DBAB Buy 37,141,000 770,560 6/08/10 19,254 --
Poland Zloty CITI Buy 5,203,000 1,129,672 EUR 6/08/10 159,988 --
New Zealand Dollar BZWS Sell 8,856,368 6,233,643 6/09/10 -- (113,317)
Indian Rupee DBAB Buy 29,990,000 616,444 6/10/10 21,221 --
Indian Rupee BZWS Buy 44,847,000 924,680 6/11/10 28,821 --
Indian Rupee HSBC Buy 30,052,000 616,451 6/11/10 22,491 --
Indian Rupee DBAB Buy 75,068,000 1,541,121 6/16/10 54,407 --
Indian Rupee DBAB Buy 68,380,000 1,387,018 6/21/10 65,897 --
Swedish Krona UBSW Buy 50,589,000 4,548,225 EUR 6/28/10 440,774 --
Swedish Krona UBSW Buy 36,736,000 3,315,224 EUR 6/29/10 301,447 --
Swedish Krona UBSW Buy 45,098,000 4,100,526 EUR 7/15/10 325,038 --
Malaysian Ringgit DBAB Buy 9,759,000 1,943,056 EUR 7/16/10 -- (63,985)
Malaysian Ringgit DBAB Buy 61,396,000 17,063,924 7/16/10 853,806 --
Indian Rupee CITI Buy 16,598,000 331,960 7/19/10 20,080 --
Indian Rupee JPHQ Buy 16,598,000 331,960 7/20/10 20,058 --
Malaysian Ringgit DBAB Buy 11,019,000 2,189,655 EUR 7/20/10 -- (66,045)
Malaysian Ringgit DBAB Buy 96,842,000 27,120,533 7/20/10 1,138,414 --
Malaysian Ringgit DBAB Buy 14,167,000 2,815,158 EUR 7/23/10 -- (85,025)
Malaysian Ringgit DBAB Buy 117,760,000 33,256,142 7/23/10 1,103,767 --
Malaysian Ringgit JPHQ Buy 14,167,000 2,806,402 EUR 7/27/10 -- (72,165)
Malaysian Ringgit JPHQ Buy 123,816,000 34,877,746 7/27/10 1,244,962 --
Swedish Krona DBAB Buy 45,098,000 4,230,780 EUR 7/27/10 130,575 --
Malaysian Ringgit HSBC Buy 1,687,000 478,405 7/30/10 13,726 --
New Zealand Dollar DBAB Sell 17,733,735 11,411,658 7/30/10 -- (1,048,362)
New Zealand Dollar DBAB Sell 17,666,270 11,347,929 8/03/10 -- (1,060,349)
New Zealand Dollar BZWS Sell 6,915,607 4,439,820 8/03/10 -- (417,503)
New Zealand Dollar DBAB Sell 6,999,201 4,471,789 8/04/10 -- (443,817)
New Zealand Dollar BZWS Sell 3,484,510 2,237,056 8/04/10 -- (210,150)
New Zealand Dollar CITI Sell 17,544,053 11,456,705 8/05/10 -- (863,575)
New Zealand Dollar DBAB Sell 5,204,459 3,392,267 8/05/10 -- (262,556)
Malaysian Ringgit HSBC Buy 3,400,000 971,984 8/06/10 19,660 --
New Zealand Dollar CITI Sell 6,870,623 4,490,055 8/06/10 -- (334,406)
New Zealand Dollar FBCO Sell 3,428,957 2,233,108 8/06/10 -- (174,660)
New Zealand Dollar FBCO Sell 15,302,017 10,059,786 8/09/10 -- (682,270)
New Zealand Dollar CITI Sell 6,779,343 4,457,147 8/09/10 -- (301,970)
New Zealand Dollar DBAB Sell 6,809,934 4,479,575 8/09/10 -- (301,017)
New Zealand Dollar FBCO Sell 6,713,771 4,458,817 8/11/10 -- (253,444)
New Zealand Dollar DBAB Sell 15,333,885 9,990,809 8/12/10 -- (770,796)
New Zealand Dollar DBAB Sell 4,178,000 2,711,940 8/13/10 -- (220,002)
New Zealand Dollar DBAB Sell 4,407,000 2,909,061 8/16/10 -- (182,772)
Brazilian Real DBAB Buy 4,460,000 216,608,820 JPY 8/17/10 -- (98,952)
Israeli Shekel CITI Buy 12,073,000 3,185,993 8/17/10 2,487 --
Japanese Yen UBSW Sell 619,237,000 6,528,180 8/17/10 -- (652,427)
Brazilian Real DBAB Buy 3,295,000 158,654,250 JPY 8/18/10 -- (57,604)
Japanese Yen JPHQ Sell 307,706,000 3,264,093 8/18/10 -- (304,075)
Brazilian Real DBAB Buy 4,942,000 232,303,652 JPY 8/19/10 -- (21,485)
Israeli Shekel CITI Buy 12,079,000 3,182,248 8/19/10 7,806 --
Israeli Shekel DBAB Buy 1,209,000 318,493 8/19/10 803 --
Japanese Yen HSBC Sell 306,279,000 3,255,517 8/19/10 -- (296,144)
Indian Rupee DBAB Buy 115,936,000 2,321,506 8/20/10 132,483 --
Israeli Shekel CITI Buy 4,634,100 1,212,449 8/20/10 11,412 --
Japanese Yen DBAB Sell 307,444,000 3,255,512 8/20/10 -- (309,700)
Japanese Yen BZWS Sell 307,053,000 3,260,347 8/20/10 -- (300,330)
Norwegian Krone UBSW Buy 44,332,000 5,049,318 EUR 8/20/10 144,653 --
Indian Rupee DBAB Buy 100,473,000 2,011,967 8/23/10 114,310 --
Israeli Shekel CITI Buy 7,908,300 2,073,927 8/23/10 14,636 --
Japanese Yen CITI Sell 613,483,000 6,520,692 8/23/10 -- (593,683)
Japanese Yen FBCO Sell 608,984,000 6,520,695 8/23/10 -- (541,507)
Norwegian Krone UBSW Buy 44,332,000 5,054,557 EUR 8/23/10 135,819 --
Japanese Yen JPHQ Sell 612,179,000 6,520,693 8/24/10 -- (578,641)
Japanese Yen BZWS Sell 610,141,000 6,520,690 8/24/10 -- (555,010)
New Zealand Dollar FBCO Sell 6,159,450 4,061,418 8/24/10 -- (256,868)
Japanese Yen DBAB Sell 303,441,000 3,260,352 8/25/10 -- (258,641)
New Zealand Dollar DBAB Sell 6,130,000 4,097,905 8/27/10 -- (198,609)
Brazilian Real DBAB Buy 3,300,000 154,185,900 JPY 8/31/10 -- (8,707)
Indian Rupee DBAB Buy 71,050,000 1,423,848 9/01/10 78,902 --
Japanese Yen JPHQ Sell 304,127,000 3,260,349 9/01/10 -- (266,988)
Brazilian Real DBAB Buy 4,949,000 228,826,913 JPY 9/02/10 13,537 --
Japanese Yen HSBC Sell 300,940,000 3,260,349 9/02/10 -- (230,085)
Norwegian Krone BZWS Buy 44,332,000 5,045,123 EUR 9/07/10 144,736 --
Israeli Shekel DBAB Buy 35,742,000 9,430,607 9/08/10 8,385 --
Japanese Yen HSBC Sell 453,244,000 4,890,524 9/09/10 -- (367,039)
Japanese Yen HSBC Sell 451,689,000 4,890,526 9/10/10 -- (349,090)
Japanese Yen DBAB Sell 383,650,000 4,179,376 9/10/10 -- (270,984)
Japanese Yen UBSW Sell 318,692,000 3,482,820 9/13/10 -- (214,217)
Brazilian Real DBAB Buy 7,424,000 346,161,075 JPY 9/15/10 -- (25,951)
Japanese Yen UBSW Sell 377,653,000 4,179,380 9/15/10 -- (201,796)
Japanese Yen HSBC Sell 253,555,000 2,786,257 9/15/10 -- (155,250)
Japanese Yen BZWS Sell 250,749,000 2,786,255 9/15/10 -- (122,700)
Japanese Yen HSBC Sell 376,102,000 4,179,375 9/16/10 -- (183,883)
Japanese Yen DBAB Sell 126,078,000 1,393,127 9/16/10 -- (69,537)
Euro BZWS Sell 1,331,300 1,960,140 9/20/10 -- (33,290)
Japanese Yen JPHQ Sell 252,156,000 2,786,254 9/21/10 -- (139,329)
Japanese Yen HSBC Sell 125,019,000 1,393,125 9/21/10 -- (57,380)
Euro UBSW Sell 8,685,912 12,735,545 9/23/10 -- (269,807)
Swedish Krona UBSW Buy 91,000,000 8,950,438 EUR 9/23/10 -- (349,426)
Swedish Krona DBAB Buy 28,384,373 2,799,248 EUR 9/23/10 -- (120,163)
Euro JPHQ Sell 3,821,732 5,658,456 9/24/10 -- (63,714)
Japanese Yen JPHQ Sell 109,322,000 1,208,045 9/24/10 -- (60,405)
Indian Rupee DBAB Buy 225,000,000 6,533,101 NZD 9/27/10 186,520 --
Japanese Yen JPHQ Sell 10,871,000 120,802 9/27/10 -- (5,339)
Japanese Yen JPHQ Sell 78,559,000 872,975 9/28/10 -- (38,599)
Japanese Yen JPHQ Sell 130,931,000 1,454,951 9/29/10 -- (64,358)
Philippine Peso DBAB Buy 150,587,000 3,121,233 10/04/10 -- (16,902)
Philippine Peso HSBC Buy 120,792,000 2,496,992 10/04/10 -- (6,882)
Israeli Shekel DBAB Buy 35,422,000 9,408,234 10/05/10 -- (54,491)
Philippine Peso DBAB Buy 180,042,000 3,745,491 10/05/10 -- (34,125)
Philippine Peso HSBC Buy 180,085,000 3,745,477 10/05/10 -- (33,225)
Philippine Peso JPHQ Buy 47,563,000 998,803 10/06/10 -- (18,391)
Philippine Peso DBAB Buy 147,797,000 3,121,241 10/07/10 -- (74,858)
Philippine Peso DBAB Buy 118,267,000 2,496,981 10/08/10 -- (59,384)
Philippine Peso HSBC Buy 118,491,000 2,496,992 10/08/10 -- (54,778)
Philippine Peso JPHQ Buy 59,005,000 1,248,492 10/08/10 -- (32,342)
Philippine Peso CITI Buy 59,159,000 1,248,502 10/08/10 -- (29,178)
Philippine Peso DBAB Buy 35,215,000 749,096 10/12/10 -- (23,418)
Philippine Peso JPHQ Buy 145,824,000 3,114,592 10/13/10 -- (109,729)
Philippine Peso HSBC Buy 58,717,000 1,248,501 10/13/10 -- (38,573)
Chinese Yuan HSBC Buy 32,663,916 3,316,969 EUR 10/15/10 -- (131,840)
Philippine Peso JPHQ Buy 19,133,000 407,953 10/15/10 -- (13,734)
Chinese Yuan HSBC Buy 32,823,215 3,323,035 EUR 10/18/10 -- (116,482)
Philippine Peso JPHQ Buy 63,534,000 1,359,860 10/18/10 -- (50,982)
Chinese Yuan HSBC Buy 43,995,179 4,441,373 EUR 10/19/10 -- (136,707)
Philippine Peso DBAB Buy 32,011,000 679,928 10/19/10 -- (20,493)
Chinese Yuan HSBC Buy 27,185,000 4,119,876 10/21/10 -- (96,369)
Philippine Peso DBAB Buy 127,962,000 2,719,702 10/21/10 -- (83,903)
Philippine Peso JPHQ Buy 64,253,000 1,359,852 10/21/10 -- (36,349)
Philippine Peso HSBC Buy 185,677,000 3,896,684 10/25/10 -- (72,776)
Philippine Peso DBAB Buy 123,655,000 2,597,794 10/25/10 -- (51,193)
Philippine Peso JPHQ Buy 61,866,000 1,298,887 10/25/10 -- (24,794)
Chilean Peso CITI Buy 219,208,545 415,364 10/26/10 30,094 --
Indian Rupee HSBC Buy 159,768,000 3,360,707 10/26/10 6,729 --
Indian Rupee DBAB Buy 478,778,000 10,082,084 10/26/10 9,138 --
Norwegian Krone BZWS Buy 68,284,000 8,076,168 EUR 10/26/10 -- (260,518)
Philippine Peso HSBC Buy 160,559,000 3,377,125 10/26/10 -- (70,664)
Indian Rupee HSBC Buy 237,998,000 5,041,049 10/27/10 -- (25,074)
Chilean Peso JPHQ Buy 142,245,000 270,814 10/28/10 18,227 --
Philippine Peso DBAB Buy 49,630,000 1,039,154 10/28/10 -- (17,199)
Japanese Yen CITI Sell 104,080,747 1,150,288 11/08/10 -- (58,294)
Japanese Yen BZWS Sell 102,242,000 1,141,635 11/10/10 -- (45,638)
Japanese Yen BZWS Sell 183,499,000 2,047,866 11/12/10 -- (83,069)
Japanese Yen UBSW Sell 103,657,300 1,157,807 11/12/10 -- (45,943)
Japanese Yen DBAB Sell 592,373,000 6,613,151 11/15/10 -- (266,308)
Japanese Yen JPHQ Sell 295,806,000 3,306,573 11/16/10 -- (128,798)
Japanese Yen BZWS Sell 142,600,000 1,587,178 11/16/10 -- (68,920)
Japanese Yen BZWS Sell 590,640,000 6,613,147 11/17/10 -- (246,425)
Japanese Yen UBSW Sell 236,300,000 2,645,248 11/17/10 -- (99,092)
Japanese Yen HSBC Sell 154,574,000 1,719,418 11/17/10 -- (75,772)
Euro UBSW Sell 4,666,969 6,971,519 11/18/10 -- (10,813)
Euro DBAB Sell 913,279 1,357,133 11/18/10 -- (9,240)
Japanese Yen BZWS Sell 823,639,000 9,258,407 11/18/10 -- (307,334)
Malaysian Ringgit JPHQ Buy 26,285,176 7,818,315 11/18/10 -- (171,064)
Euro DBAB Sell 1,274,797 1,910,284 11/29/10 3,332 --
Japanese Yen BZWS Sell 930,663,000 10,581,037 11/29/10 -- (229,753)
Japanese Yen BOFA Sell 638,748,000 7,208,328 11/29/10 -- (211,511)
Japanese Yen CITI Sell 230,997,000 2,645,256 11/29/10 -- (38,056)
Norwegian Krone UBSW Buy 51,846,000 6,063,647 EUR 11/29/10 -- (109,352)
Swedish Krona BZWS Buy 150,288,486 14,529,752 EUR 11/30/10 -- (189,687)
Australian Dollar DBAB Buy 13,946,000 12,160,927 12/01/10 79,155 --
Japanese Yen DBAB Sell 572,745,000 6,613,149 12/01/10 -- (40,217)
Norwegian Krone UBSW Buy 16,770,000 1,944,348 EUR 12/01/10 -- (10,224)
Mexican Peso CITI Sell 39,049,000 2,875,267 12/02/10 -- (11,595)
------------ -------------
Unrealized appreciation (depreciation) 44,882,052 (62,941,985)
------------ -------------
Net unrealized appreciation (depreciation) $ (18,059,933)
=============
At November 30, 2009, the Fund had the following interest rate swap contracts
outstanding. See Note 3.
PAY/RECEIVE
FLOATING FIXED NOTIONAL UNREALIZED UNREALIZED
COUNTERPARTY RATE RATE FLOATING RATE AMOUNT DATE APPRECIATION DEPRECIATION
------------ ----------- ------ ------------------------- ------------------ -------- ------------ ------------
JPHQ Pay 7.16% NZD Bank Bill Rate $ 5,740,000 NZD 7/31/13 $ 359,730 $ --
JPHQ Pay 7.12% NZD Bank Bill Rate 5,750,000 NZD 8/01/13 353,193 --
JPHQ Pay 7.055% NZD Bank Bill Rate 5,750,000 NZD 8/04/13 343,428 --
JPHQ Pay 7.035% NZD Bank Bill Rate 11,500,000 NZD 8/05/13 680,179 --
JPHQ Pay 7.05% NZD Bank Bill Rate 2,875,000 NZD 8/06/13 170,990 --
JPHQ Pay 7.05% NZD Bank Bill Rate 2,875,000 NZD 8/07/13 171,033 --
JPHQ Pay 7.00% NZD Bank Bill Rate 3,045,600 NZD 8/14/13 176,124 --
JPHQ Pay 5.23% NZD Bank Bill Rate 7,000,000 NZD 12/05/13 82,507 --
MLCO Pay 7.094% Tasa Nominal Annual Rate 8,650,000,000 CLP 6/16/18 2,452,772 --
MXN Interbank Equilibrium
MLCO Pay 9.03% Interest Rate 723,000,000 MXN 8/17/18 3,771,901 --
MXN Interbank Equilibrium
JPHQ Pay 8.6748% InterestRate 37,800,000 MXN 11/29/18 128,461 --
JPHQ Pay 5.59% NZD Bank Bill Rate 8,500,000 NZD 12/05/18 -- (29,381)
MXN Interbank Equilibrium
CITI Pay 7.6973% Interest Rate 51,400,000 MXN 1/11/19 -- (94,165)
MXN Interbank Equilibrium
CITI Pay 7.666% Interest Rate 67,000,000 MXN 1/12/19 -- (133,656)
MXN Interbank Equilibrium
CITI Pay 7.835% Interest Rate 44,700,000 MXN 1/15/19 -- (43,116)
MXN Interbank Equilibrium
CITI Pay 7.869% Interest Rate 58,100,000 MXN 1/16/19 -- (46,239)
MXN Interbank Equilibrium
CITI Pay 8.00% Interest Rate 35,060,000 MXN 1/18/19 -- (4,570)
MXN Interbank Equilibrium
CITI Pay 8.07% Interest Rate 175,300,000 MXN 1/22/19 34,803 --
MXN Interbank Equilibrium
JPHQ Pay 8.06% Interest Rate 55,780,000 MXN 1/22/19 8,177 --
MXN Interbank Equilibrium
MLCO Pay 9.10% Interest Rate 240,000,000 MXN 8/04/28 883,484 --
MXN Interbank Equilibrium
JPHQ Pay 8.3167% Interest Rate 83,670,000 MXN 1/09/29 -- (182,315)
---------- --------
Unrealized appreciation (depreciation) 9,616,782 (533,442)
---------- --------
Net unrealized appreciation (depreciation) $9,083,340
==========
(a) In U.S. dollars unless otherwise indicated.
CURRENCY
AUD Australian Dollar
BRL Brazilian Real
CLP Chilean Peso
EUR Euro
IDR Indonesian Rupiah
JPY Japanese Yen
KRW South Korean Won
LKR Sri Lankan Rupee
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peruvian Nuevo Sol
PLN Polish Zloty
SEK Swedish Krona
SELECTED PORTFOLIO
AMBAC American Municipal Bond Assurance Corp.
BHAC Berkshire Hathaway Assurance Corp.
FRN Floating Rate Note
FSA Financial Security Assurance Inc.
GO General Obligation
ID Improvement District
ISD Independent School District
MTA Metropolitan Transit Authority
NATL National Public Financial Guarantee Corp.
USD Unified/Union School District
COUNTERPARTY
BOFA Bank of America Corp.
BZWS Barclays Bank PLC
CITI Citigroup Inc.
DBAB Deutsche Bank AG
FBCO Credit Suisse Group AG
HSBC HSBC Bank USA, N.A.
JPHQ JPMorgan Chase Bank & Co.
MLCO Merrill Lynch & Co., Inc.
UBSW UBS AG
Templeton Global Income Fund
NOTES TO STATEMENT OF INVESTMENTS (UNAUDITED)
1. ORGANIZATION
Templeton Global Income Fund (Fund) is registered under the Investment Company
Act of 1940, as amended, as a closed-end investment company.
2. SECURITY VALUATION
Corporate debt securities, government securities and municipal securities
generally trade in the over-the-counter market rather than on a securities
exchange. The Fund may utilize independent pricing services, quotations from
bond dealers, and information with respect to bond and note transactions, to
assist in determining a current market value for each security. The Fund's
pricing services may use valuation models or matrix pricing which considers
information with respect to comparable bond and note transactions, quotations
from bond dealers, or by reference to other securities that are considered
comparable in such characteristics as rating, interest rate and maturity date,
option adjusted spread models, prepayment projections, interest rate spreads and
yield curves, to determine current value. Debt securities denominated in a
foreign currency are converted into their U.S. dollar equivalent at the foreign
exchange rate in effect at the close of the NYSE on the date that the values of
the foreign debt securities are determined.
The Fund has procedures to determine the fair value of individual securities and
other assets for which market prices are not readily available or which may not
be reliably priced. Methods for valuing these securities may include:
fundamental analysis based upon the underlying investment book value,
anticipated future cash flows, market changes in comparable or similar
securities, matrix pricing, discounts from market prices of similar securities,
or discounts applied due to the nature and duration of restrictions on the
disposition of the securities. Due to the inherent uncertainty of valuations of
such securities, the fair values may differ significantly from the values that
would have been used had a ready market for such investments existed.
Occasionally, events occur between the time at which trading in a security is
completed and the close of the NYSE that might call into question the
availability (including the reliability) of the value of a portfolio security
held by the Fund. If such an event occurs, the securities may be valued using
fair value procedures, which may include the use of independent pricing
services. All security valuation procedures are approved by the Fund's Board of
Trustees.
3. DERIVATIVE FINANCIAL INSTRUMENTS
The Fund may invest in derivative financial instruments (derivatives) in order
to manage risk or gain exposure to various other investments or markets.
Derivatives are financial contracts based on an underlying or notional amount,
require no initial investment or an initial net investment that is smaller than
would normally be required to have a similar response to changes in market
factors, and require or permit net settlement. Derivatives may contain various
risks including the potential inability of the counterparty to fulfill their
obligations under the terms of the contract, the potential for an illiquid
secondary market, and the potential for market movements.
Derivatives are marked to market daily based upon quotations from market makers
or the Fund's independent pricing services and the Fund's net benefit or
obligation under the contract, as measured by the fair market value of the
contract, is included in net assets.
The Fund enters into forward exchange contracts in order to hedge against
fluctuations in foreign exchange rates or to gain exposure to certain foreign
currencies. A forward exchange contract is an agreement between the Fund and a
counterparty to buy or sell a foreign currency for a specific exchange rate on a
future date. Pursuant to the terms of the forward exchange contract, cash or
securities may be required to be deposited as collateral. Any cash received may
be invested according to the Fund's investment objectives.
The Fund enters into interest rate swap contracts generally in order to manage
interest rate risk. An interest rate swap is an agreement between the Fund and a
counterparty to exchange cash flows based on the difference between two interest
rates, applied to a notional principal amount. Over the term of the contract,
contractually required payments to be paid and to be received are accrued daily
and recorded as unrealized depreciation and appreciation until the payments are
made, at which time they are realized. Pursuant to the terms of the interest
rate swap contract, cash or securities may be required to be deposited as
collateral. Any cash received may be invested according to the Fund's investment
objectives.
4. INCOME TAXES
At November 30, 2009, the cost of investments and net unrealized appreciation
(depreciation) for income tax purposes were as follows:
Cost of investments $1,047,041,750
--------------
Unrealized appreciation $ 155,543,444
Unrealized depreciation (9,663,012)
--------------
Net unrealized appreciation
(depreciation) $ 145,880,432
==============
5. FAIR VALUE MEASUREMENTS
The Fund follows a fair value hierarchy that distinguishes between market data
obtained from independent sources (observable inputs) and the Fund's own market
assumptions (unobservable inputs). These inputs are used in determining the
value of the Fund's investments and are summarized in the following fair value
hierarchy:
- 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 speed, credit risk,
etc.)
- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
At November 30, 2009, all of the Fund's investments in securities carried at
fair value were in Level 2 inputs. For detailed country descriptions, see the
accompanying Statement of Investments.
6. SUBSEQUENT EVENTS
The Fund has evaluated subsequent events through January 22, 2010, the issuance
date of the financial statements and determined that no events have occurred
that require disclosure.
For information on the Fund's policy regarding other significant accounting
policies, please refer to the Fund's most recent semiannual or annual
shareholder report.
ITEM 2. CONTROLS AND PROCEDURES.
(a) EVALUATION OF DISCLOSURE CONTROLS AND PROCEDURES. The Registrant maintains
disclosure controls and procedures that are designed to ensure that information
required to be disclosed in the Registrant's filings under the Securities
Exchange Act of 1934 and the Investment Company Act of 1940 is recorded,
processed, summarized and reported within the periods specified in the rules and
forms of the Securities and Exchange Commission. Such information is accumulated
and communicated to the Registrant's management, including its principal
executive officer and principal financial officer, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's management,
including the principal executive officer and the principal financial officer,
recognizes that any set of controls and procedures, no matter how well designed
and operated, can provide only reasonable assurance of achieving the desired
control objectives.
Within 90 days prior to the filing date of this Quarterly Schedule of Portfolio
Holdings on Form N-Q, the Registrant had carried out an evaluation, under the
supervision and with the participation of the Registrant's management, including
the Registrant's principal executive officer and the Registrant's principal
financial officer, of the effectiveness of the design and operation of the
Registrant's disclosure controls and procedures. Based on such evaluation, the
Registrant's principal executive officer and principal financial officer
concluded that the Registrant's disclosure controls and procedures are
effective.
(b) CHANGES IN INTERNAL CONTROLS. There have been no significant changes in the
Registrant's internal controls or in other factors that could significantly
affect the internal controls subsequent to the date of their evaluation in
connection with the preparation of this Quarterly Schedule of Portfolio Holdings
on Form N-Q.
ITEM 3. EXHIBITS.
(a) Certification pursuant to Section 30a-2 under the Investment Company Act of
1940 of Laura F. Fergerson, Chief Executive Officer - Finance and
Administration, and Mark H. Otani, Chief Financial Officer and Chief Accounting
Officer.
SIGNATURES
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.
TEMPLETON GLOBAL INCOME FUND
By /s/LAURA F. FERGERSON
--------------------------------
Laura F. Fergerson
Chief Executive Officer -
Finance and Administration
Date January 27, 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/LAURA F. FERGERSON
--------------------------------
Laura F. Fergerson
Chief Executive Officer -
Finance and Administration
Date January 27, 2010
By /s/MARK H. OTANI
----------------------------------
Mark H. Otani
Chief Financial Officer and
Chief Accounting Officer
Date January 27, 2010