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 811-21636
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First Trust/Aberdeen Global Opportunity Income Fund
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: December 31
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Date of reporting period: September 30, 2011
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL VALUE
CURRENCY) DESCRIPTION COUPON STATED MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (c) - 86.4%
ARGENTINA - 2.4%
8,232,276 Republic of Argentina (ARS) (d).......... 5.57% 02/04/18 $ 3,513,232
4,450,000 Republic of Argentina (USD) ............. 7.00% 04/17/17 3,440,117
-------------
6,953,349
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AUSTRALIA - 7.0%
11,000,000 Australian Government (AUD) ............. 6.00% 02/15/17 11,752,576
8,100,000 Queensland Treasury (AUD)................ 6.00% 10/14/15 8,337,108
-------------
20,089,684
-------------
BRAZIL - 5.9%
3,880,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................... 10.00% 01/01/13 2,040,597
11,370,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................... 10.00% 01/01/17 5,663,072
19,180,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................... 10.00% 01/01/21 9,252,231
-------------
16,955,900
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CANADA - 9.8%
3,300,000 Canadian Government Bond (CAD) .......... 8.00% 06/01/23 4,979,854
1,700,000 Canadian Government Bond (CAD) .......... 5.25% 06/01/13 1,738,984
15,000,000 Province of Manitoba (NZD) .............. 6.38% 09/01/15 12,363,973
10,965,000 Province of Ontario (NZD) ............... 6.25% 06/16/15 9,003,107
-------------
28,085,918
-------------
DOMINICAN REPUBLIC - 1.2%
1,300,000 Dominican Republic (USD) ................ 7.50% 05/06/21 1,280,500
2,066,000 Dominican Republic (USD) ................ 8.63% 04/20/27 2,148,640
-------------
3,429,140
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EGYPT - 0.9%
15,900,000 Egypt Treasury Bill (EGP) ............... (e) 11/15/11 2,623,670
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EL SALVADOR - 1.2%
700,000 Republic of El Salvador (USD) ........... 8.25% 04/10/32 745,500
2,330,000 Republic of El Salvador (USD) ........... 7.65% 06/15/35 2,289,225
530,000 Republic of El Salvador (USD) ........... 7.63% 02/01/41 514,100
-------------
3,548,825
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HUNGARY - 3.2%
771,070,000 Hungary Government Bond (HUF) ........... 6.00% 10/24/12 3,515,114
328,000,000 Hungary Government Bond (HUF) ........... 5.50% 02/12/16 1,393,998
305,000,000 Hungary Government Bond (HUF) ........... 6.50% 06/24/19 1,269,875
700,000,000 Hungary Government Bond (HUF) ........... 7.00% 06/24/22 2,953,679
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9,132,666
-------------
INDONESIA - 3.5%
34,100,000,000 Indonesian Government Bond (IDR) ........ 10.00% 07/15/17 4,543,039
34,970,000,000 Indonesian Government Bond (IDR) ........ 10.50% 08/15/30 5,160,554
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL VALUE
CURRENCY) DESCRIPTION COUPON STATED MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (c) - (Continued)
INDONESIA - (CONTINUED)
3,200,000,000 Indonesian Government Bond (IDR) ........ 9.50% 07/15/31 $ 434,912
-------------
10,138,505
-------------
IVORY COAST - 1.9%
10,800,000 Ivory Coast Government Bond (USD) ....... 2.50% 12/31/32 5,454,000
-------------
LITHUANIA - 1.6%
2,390,000 Republic of Lithuania (USD) ............. 6.75% 01/15/15 2,494,563
1,980,000 Republic of Lithuania (USD) ............. 7.38% 02/11/20 2,133,450
-------------
4,628,013
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MALAYSIA - 1.7%
9,000,000 Malaysia Government Bond (MYR) .......... 3.21% 05/31/13 2,825,662
6,200,000 Malaysia Government Bond (MYR) .......... 4.01% 09/15/17 1,991,533
-------------
4,817,195
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MEXICO - 4.9%
13,930,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 9.50% 12/18/14 1,138,571
80,800,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 8.00% 06/11/20 6,480,412
17,900,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 8.00% 12/07/23 1,431,240
28,900,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 7.50% 06/03/27 2,147,858
32,950,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 10.00% 11/20/36 2,967,138
-------------
14,165,219
-------------
NEW ZEALAND - 5.6%
19,150,000 New Zealand Government Bond (NZD) ....... 6.00% 12/15/17 16,222,892
-------------
PAKISTAN - 0.9%
200,000 Islamic Republic of Pakistan (USD) ...... 7.13% 03/31/16 160,000
3,000,000 Islamic Republic of Pakistan (USD) ...... 6.88% 06/01/17 2,310,000
-------------
2,470,000
-------------
PERU - 1.5%
10,100,000 Peruvian Government Bond (PEN) .......... 7.84% 08/12/20 4,131,404
200,000 Republic of Peru (USD) .................. 5.63% 11/18/50 199,730
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4,331,134
-------------
POLAND - 2.3%
22,000,000 Poland Government Bond (PLN) ............ 5.50% 10/25/19 6,520,699
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QATAR - 1.1%
2,630,000 State of Qatar (USD) .................... 6.40% 01/20/40 3,215,175
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See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL VALUE
CURRENCY) DESCRIPTION COUPON STATED MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (c) - (Continued)
SENEGAL - 0.5%
1,470,000 Republic of Senegal (USD) ............... 8.75% 05/13/21 $ 1,451,625
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SERBIA - 1.6%
2,500,000 Republic of Serbia (USD) ................ 7.25% 09/28/21 2,332,500
219,000,000 Serbia Treasury Bill (RSD) .............. (e) 12/13/12 2,427,181
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4,759,681
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SOUTH AFRICA - 7.4%
2,130,000 Eskom Holdings Ltd. (USD) ............... 5.75% 01/26/21 2,172,600
60,900,000 Republic of South Africa (ZAR) .......... 8.25% 09/15/17 7,707,996
61,000,000 Republic of South Africa (ZAR) .......... 7.25% 01/15/20 7,100,183
29,700,000 Republic of South Africa (ZAR) .......... 10.50% 12/21/26 4,255,584
-------------
21,236,363
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SPAIN - 3.8%
11,500,000 Instituto de Credito Oficial (AUD) ...... 5.50% 10/11/12 11,008,127
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SRI LANKA - 0.5%
1,400,000 Republic of Sri Lanka (USD) ............. 6.25% 07/27/21 1,348,528
-------------
TURKEY - 3.1%
300,000 Republic of Turkey (USD) ................ 7.25% 03/05/38 334,500
1,290,000 Republic of Turkey (USD) ................ 6.75% 05/30/40 1,351,275
8,175,000 Turkey Government Bond (TRY) ............ 16.00% 03/07/12 4,557,307
5,400,000 Turkey Government Bond (TRY) ............ (e) 04/25/12 2,785,815
-------------
9,028,897
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UNITED ARAB EMIRATES - 0.9%
2,500,000 Dubai Government International Bond (USD) 7.75% 10/05/20 2,493,750
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UNITED KINGDOM - 5.6%
1,200,000 United Kingdom Treasury (GBP) ........... 8.00% 12/07/15 2,397,018
4,600,000 United Kingdom Treasury (GBP) ........... 6.00% 12/07/28 9,996,465
2,170,000 United Kingdom Treasury (GBP) ........... 4.25% 12/07/49 3,834,512
-------------
16,227,995
-------------
URUGUAY - 1.4%
38,830,000 Republic Orient Uruguay, Inflation
Adjusted Bond (UYU) (f).............. 5.00% 09/14/18 2,848,154
16,800,000 Republica Orient Uruguay (UYU) .......... 4.25% 04/05/27 1,135,077
-------------
3,983,231
-------------
VENEZUELA - 4.3%
1,170,000 Republic of Venezuela (USD) ............. 8.50% 10/08/14 1,035,450
9,720,000 Republic of Venezuela (USD) ............. 5.75% 02/26/16 6,974,100
400,000 Republic of Venezuela (USD) ............. 7.75% 10/13/19 256,000
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL VALUE
CURRENCY) DESCRIPTION COUPON STATED MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (c) - (Continued)
VENEZUELA - (CONTINUED)
4,000,000 Republic of Venezuela (USD) ............. 7.65% 04/21/25 $ 2,280,000
2,700,000 Republic of Venezuela (USD) ............. 11.95% 08/05/31 1,994,490
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12,540,040
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VIETNAM - 0.7%
1,900,000 Socialist Republic of Vietnam (USD) ..... 6.88% 01/15/16 1,901,068
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TOTAL FOREIGN SOVEREIGN BONDS AND NOTES .................................. 248,761,289
(Cost $239,254,537) -------------
FOREIGN CORPORATE BONDS AND NOTES (c) - 36.9%
BRAZIL - 3.7%
1,950,000 Hypermarcas S.A. (USD) .................. 6.50% 04/20/21 1,784,250
1,150,000 Odebrecht Finance Ltd. (USD) ............ 7.50% 09/14/15 1,128,437
1,650,000 OGX Petroleo e Gas Participacoes S.A.
(USD) ............................. 8.50% 06/01/18 1,497,375
650,000 Petrobras International Finance Co. (USD) 5.38% 01/27/21 657,508
2,600,000 QGOG Atlantic/Alaskan Rigs Ltd. (USD) ... 5.25% 07/30/18 2,366,000
1,330,000 Rearden G Holdings Eins GmbH (USD)....... 7.88% 03/30/20 1,323,350
2,000,000 Virgolino de Oliveira Finance Ltd. (USD) 10.50% 01/28/18 1,850,000
-------------
10,606,920
-------------
CHINA - 2.8%
660,000 China Oriental Group Co. Ltd. (USD)...... 8.00% 08/18/15 521,400
2,650,000 China Overseas Finance Cayman II Ltd.
(USD) ............................... 5.50% 11/10/20 2,398,192
2,600,000 MCC Holding (Hong Kong) Corp. Ltd. (USD) 4.88% 07/29/16 2,524,470
1,600,000 Sinochem Overseas Capital Co. Ltd. (USD) 4.50% 11/12/20 1,489,280
1,750,000 Yanlord Land Group Ltd. (USD) ........... 10.63% 03/29/18 1,053,325
-------------
7,986,667
-------------
COLOMBIA - 0.8%
2,200,000 TGI International Ltd. (USD) ............ 9.50% 10/03/17 2,376,000
-------------
DOMINICAN REPUBLIC - 1.0%
1,350,000 AES Andres Dominicana/Itabo Dominicana
(USD)................................ 9.50% 11/12/20 1,350,000
1,770,000 Cerveceria Nacional Dominicana (USD) (d) 16.00% 03/27/12 1,654,950
-------------
3,004,950
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL VALUE
CURRENCY) DESCRIPTION COUPON STATED MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (c) - (Continued)
EGYPT - 0.9%
2,600,000 African Export-Import Bank (USD) ........ 5.75% 07/27/16 $ 2,492,100
-------------
EL SALVADOR - 0.5%
1,550,000 Telemovil Finance Co. Ltd. (USD) ........ 8.00% 10/01/17 1,519,000
-------------
GERMANY - 1.3%
3,650,000 KfW International Finance (CAD) ......... 4.95% 10/14/14 3,850,563
-------------
GUATEMALA - 0.6%
1,550,000 Industrial Subordinated Trust (USD) ..... 8.25% 07/27/21 1,604,250
-------------
INDONESIA - 1.9%
3,220,000 Majapahit Holding B.V. (USD) ............ 7.75% 10/17/16 3,586,275
700,000 PT Adaro Indonesia (USD) ................ 7.63% 10/22/19 693,000
1,250,000 Star Energy Geothermal (Wayang Windu)
Ltd. (USD) .......................... 11.50% 02/12/15 1,250,000
-------------
5,529,275
-------------
KAZAKHSTAN - 0.7%
2,073,160 BTA Bank JSC (USD) (g)................... 10.75% 07/01/18 932,922
5,501,197 BTA Bank JSC (USD) (d) (h)............... (e) 07/01/20 168,502
394,970 BTA Bank JSC (USD) ...................... 7.20% 07/01/25 89,263
800,000 Development Bank of Kazakhstan (USD) .... 5.50% 12/20/15 766,000
-------------
1,956,687
-------------
MEXICO - 2.9%
1,610,000 Axtel S.A.B. de C.V. (USD) .............. 9.00% 09/22/19 1,368,500
1,120,000 Corp. Geo S.A. de C.V. (USD) ............ 8.88% 09/25/14 1,131,200
2,400,000 Desarrolladora Homex S.A. (USD) ......... 9.50% 12/11/19 2,220,000
2,640,063 GEO Maquinaria S.A. de C.V. (USD) ....... 9.63% 05/02/21 2,270,454
1,672,000 Servicios Corporativos Javer Sapi de C.V.
(USD) ............................... 9.88% 04/06/21 1,521,520
-------------
8,511,674
-------------
MULTINATIONAL - 11.5%
17,600,000 Asian Development Bank (AUD) ............ 5.50% 02/15/16 17,705,540
18,800,000 European Investment Bank (NZD) .......... 6.50% 09/10/14 15,402,734
-------------
33,108,274
-------------
NIGERIA - 0.5%
1,400,000 GTB Finance B.V. (USD) .................. 7.50% 05/19/16 1,345,190
-------------
PERU - 0.8%
2,300,000 Banco de Credito del Peru (USD) ......... 4.75% 03/16/16 2,242,500
-------------
PHILIPPINES - 0.3%
1,000,000 Alliance Global Group, Inc. (USD) ....... 6.50% 08/18/17 940,901
-------------
QATAR - 0.7%
1,950,000 Qatari Diar Finance Q.S.C. (USD) ........ 5.00% 07/21/20 2,091,375
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL VALUE
CURRENCY) DESCRIPTION COUPON STATED MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (c) - (Continued)
RUSSIA - 2.7%
1,750,000 Alfa Bank (USD) ....................... 7.88% 09/25/17 $ 1,592,500
300,000 Alfa Bank OJSC Via Alfa Bond Issuance PLC
(USD) ............................. 7.75% 04/28/21 259,500
1,200,000 LUKOIL International Finance B.V. (USD) 7.25% 11/05/19 1,215,684
1,250,000 Metalloinvest Finance Ltd. (USD) ...... 6.50% 07/21/16 1,075,000
700,000 Russian Railways (USD) ................ 5.74% 04/03/17 698,929
1,220,000 Vimpelcom Ltd. (USD) .................. 6.49% 02/02/16 1,125,450
1,850,000 VTB Bank OJSC Via VTB Capital S.A. (USD) 6.55% 10/13/20 1,721,702
-------------
7,688,765
-------------
TURKEY - 0.6%
1,700,000 Yasar Holdings (USD) .................... 9.63% 10/07/15 1,689,375
-------------
UKRAINE - 0.4%
1,250,000 MHP S.A. (USD) .......................... 10.25% 04/29/15 1,112,500
-------------
UNITED ARAB EMIRATES - 0.9%
2,680,000 Dubai Electricity & Water Authority (USD) 7.38% 10/21/20 2,599,600
-------------
VENEZUELA - 1.4%
6,000,000 Petroleos de Venezuela S.A. (USD) ....... 8.50% 11/02/17 4,005,000
-------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES .................................. 106,261,566
(Cost $104,392,892) -------------
SHARES DESCRIPTION VALUE
--------------- -------------------------------------------------------------------------- -------------
COMMON STOCKS - 0.0%
KAZAKHSTAN - 0.0%
342 BTA Bank JSC (i) (j)...................................................... 4
8,435 BTA Bank JSC, GDR (i)..................................................... 45,549
-------------
TOTAL COMMON STOCKS ...................................................... 45,553
(Cost $0) -------------
TOTAL INVESTMENTS - 123.3% ............................................... 355,068,408
(Cost $343,647,429) (k)
OUTSTANDING LOANS - (30.8%) .............................................. (88,627,108)
NET OTHER ASSETS AND LIABILITIES - 7.5% .................................. 21,429,796
-------------
NET ASSETS - 100.0% ...................................................... $ 287,871,096
=============
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
--------
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) All portfolio securities serve as collateral for the outstanding loans.
(c) Portfolio securities are included in a country based upon their underlying
credit exposure as determined by Aberdeen Asset Management Inc., the
Fund's sub-advisor.
(d) Variable rate security. The interest rate shown reflects the rate in
effect at September 30, 2011.
(e) Zero coupon bond.
(f) Security whose principal value is adjusted in accordance with changes to
the country's Consumer Price Index. Interest is calculated on the basis of
the current adjusted principal value.
(g) Security is a "step-up" bond where the coupon increases or steps up at a
predetermined date. The interest rate shown reflects the rate in effect at
September 30, 2011.
(h) Recovery units issued under BTA Bank's restructuring plan. Recovery
payments are dependent on future performance.
(i) Non-income producing security.
(j) Security is fair valued in accordance with procedures adopted by the
Fund's Board of Trustees and in accordance with the provisions of the
Investment Company Act of 1940, as amended.
(k) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for fedeincome tax purposes. As of September 30, 2011, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $28,096,490 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $16,675,511.
GDR - Global Depository Receipt
Currency Abbreviations:
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
EGP Egyptian Pound
GBP British Pound Sterling
HUF Hungarian Forint
IDR Indonesian Rupiah
MXN Mexican Peso
MYR Malaysian Ringgit
NZD New Zealand Dollar
PEN Peruvian New Sol
PLN Polish Zloty
RSD Serbian Dinar
TRY Turkish Lira
USD United States Dollar
UYU Uruguayan Peso
ZAR South African Rand
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
PORTFOLIO OF INVESTMENTS - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of September 30,
2011 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
9/30/2011 PRICES INPUTS INPUTS
--------------- ------------- --------------- --------------
Foreign Sovereign Bonds and Notes*............ $ 248,761,289 $ -- $ 248,761,289 $ --
Foreign Corporate Bonds and Notes*............ 106,261,566 -- 106,261,566 --
Common Stocks:
Kazakhstan.............................. 45,553 45,549 4 --
--------------- ------------- --------------- --------------
Total Investments............................. 355,068,408 45,549 355,022,859 --
Forward Foreign Currency Contracts** ......... 9,652,762 -- 9,652,762 --
--------------- ------------- --------------- --------------
Total......................................... $ 364,721,170 $ 45,549 $ 364,675,621 $ --
=============== ============= =============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
9/30/2011 PRICES INPUTS INPUTS
--------------- ------------- --------------- --------------
Forward Foreign Currency Contracts**.......... $ (674,530) $ -- $ (674,530) $ --
=============== ============= =============== ==============
* See the Portfolio of Investments for country breakout.
** See the Schedule of Forward Foreign Currency Contracts for contract and
currency detail.
% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
---------------------------------------------- -------------
Government Bonds and Notes 70.1 %
Supranational Bank 9.3
Oil, Gas & Consumable Fuels 3.0
Commercial Banks 2.4
Household Durables 2.0
Special Purpose Banks 2.0
Electric Utilities 1.7
Real Estate Management & Development 1.6
Metals & Mining 1.2
Diversified Financial Services 1.1
Food Products 0.8
Diversified Telecommunication Services 0.8
Multi-Utilities 0.7
Transportation Infrastructure 0.7
Food & Staples Retailing 0.5
Beverages 0.5
Diversified Operations 0.4
Construction Materials 0.4
Construction & Engineering 0.3
Wireless Telecommunication Services 0.3
Road & Rail 0.2
---------------------------------------------- -------------
Total 100.0%
=============
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
SEPTEMBER 30, 2011 (UNAUDITED)
FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------
PURCHASE SALE
VALUE AS OF VALUE AS OF UNREALIZED
SETTLEMENT AMOUNT AMOUNT SEPTEMBER 30, SEPTEMBER 30, APPRECIATION/
DATE COUNTERPARTY PURCHASED (a) SOLD (a) 2011 2011 (DEPRECIATION)
---------- -------------- -------------------- ------------------ --------------- --------------- --------------
10/21/11 GSI GBP 3,476,000 USD 5,606,266 $ 5,419,311 $ 5,606,266 (186,955)
10/21/11 JPM PLN 2,653,000 USD 939,415 799,153 939,415 (140,262)
10/21/11 CIT ZAR 20,505,000 USD 2,878,703 2,531,390 2,878,703 (347,313)
12/02/11 CIT USD 9,207,884 BRL 14,949,000 9,207,884 7,840,597 1,367,287
10/21/11 CIT USD 11,110,186 CAD 10,676,000 11,110,186 10,182,588 927,598
10/21/11 CIT USD 20,449,730 GBP 12,700,000 20,449,730 19,800,129 649,601
10/21/11 CIT USD 1,507,047 HUF 292,611,000 1,507,047 1,334,845 172,202
10/21/11 JPM USD 3,569,745 HUF 679,251,000 3,569,745 3,098,635 471,110
12/02/11 JPM USD 2,973,136 IDR 25,708,706,000 2,973,136 2,904,364 68,772
10/21/11 CIT USD 56,290,846 NZD 67,142,000 56,290,846 51,107,772 5,183,074
10/21/11 JPM USD 922,323 PLN 2,653,000 922,323 799,153 123,170
10/21/11 JPM USD 2,417,459 TRY 4,056,000 2,417,459 2,175,206 242,253
10/21/11 JPM USD 4,992,221 ZAR 36,812,000 4,992,221 4,544,526 447,695
--------------
Net Unrealized Appreciation (Depreciation)............................................................ $ 8,978,232
==============
(a) Please see page 7 for currency descriptions.
Counterparty Abbreviations:
CIT Citibank, NA
GSI Goldman Sachs International
JPM JPMorgan Chase
See Notes to Quarterly Portfolio of Investments
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
SEPTEMBER 30, 2011 (UNAUDITED)
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of First Trust/Aberdeen Global
Opportunity Income Fund (the "Fund") is determined daily as of the close of
regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. If the NYSE closes early
on a valuation day, the NAV is determined as of that time. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.
The Fund's investments are valued daily in accordance with valuation procedures
adopted by the Fund's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended (the "1940 Act"). The Fund's
securities will be valued as follows:
Bonds, notes and other debt securities are valued on the basis of
valuations provided by dealers who make markets in such securities or by
an independent pricing service approved by the Fund's Board of Trustees,
which may use the following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Common stocks and other securities listed on any national or foreign
exchange (excluding the NASDAQ National Market ("NASDAQ") and the London
Stock Exchange Alternative Investment Market ("AIM")) are valued at the
last sale price on the exchange on which they are principally traded. If
there are no transactions on the valuation day, the securities are valued
at the mean between the most recent bid and asked prices.
Securities listed on the NASDAQ or the AIM are valued at the official
closing price. If there is no official closing price on the valuation day,
the securities are valued at the mean between the most recent bid and
asked prices.
Currency linked notes, credit linked notes, interest rate swaps and credit
default swaps, if any, are valued using a pricing service or, if the
pricing service does not provide a value, by quotes provided by the
selling dealer or financial institution.
Forward foreign currency contracts are valued at the current day's
interpolated foreign exchange rate, as calculated using the current day's
spot rate, and the thirty, sixty, ninety, and one-hundred eighty day
forward rates provided by an independent pricing service.
Debt securities having a remaining maturity of sixty days or less when
purchased or valued at cost adjusted for amortization of premiums and
accretion of discounts.
In the event that market quotations are not readily available, the pricing
service does not provide a valuation for a particular asset, or the valuations
are deemed unreliable, the Fund's Board of Trustees has designated First Trust
Advisors L.P. ("First Trust") to use a fair value method to value the Fund's
securities and other investments. Additionally, if events occur after the close
of the principal market for particular securities (e.g., domestic debt and
foreign securities), but before the Fund values its assets, that could
materially affect NAV, First Trust may use a fair value method to value the
Fund's securities and other investments. The use of fair value pricing by the
Fund is governed by valuation procedures adopted by the Fund's Board of
Trustees, and in accordance with the provisions of the 1940 Act. As a general
principle, the fair value of a security is the amount which the Fund might
reasonably expect to receive for the security upon its current sale. However, in
light of the judgment involved in fair valuations, there can be no assurance
that a fair value assigned to a particular security will be the amount which the
Fund might be able to receive upon its current sale. Fair valuation of a
security will be based on the consideration of all available information,
including, but not limited to, the following:
1) the fundamental business data relating to the issuer, or economic
data relating to the country of issue;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of security;
4) the financial statements of the issuer, or the financial
condition of the country of issue;
5) the credit quality and cash flow of the issuer, or country of
issue, based on the Sub-Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the issuer/borrower, or comparable
companies;
8) the coupon payments;
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
SEPTEMBER 30, 2011 (UNAUDITED)
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt only);
11) the economic, political and social prospects/developments of the
country of issue and the assessment of the country's governmental
leaders/officials (for sovereign debt only);
12) the prospects for the issuer's industry, and multiples (of
earnings and/or cash flows) being paid for similar businesses in
that industry (for corporate debt only); and
13) other relevant factors.
The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical securities. An active market is a market in which
transactions for the security occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar securities in active markets.
o Quoted prices for identical or similar securities in markets
that are non-active. A non-active market is a market where
there are few transactions for the security, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
security (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
security.
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. A summary
of the inputs used to value the Fund's investments as of September 30, 2011, is
included with the Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased on a when-issued, delayed-delivery or forward purchase
commitment basis may have extended settlement periods. The value of the security
so purchased is subject to market fluctuations during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of its
when-issued, delayed-delivery or forward purchase commitments until payment is
made. At September 30, 2011, the Fund had no when-issued, delayed-delivery or
forward purchase commitments.
C. CREDIT LINKED NOTES:
The Fund invests in credit linked notes. Credit linked notes are securities that
are collateralized by one or more designated securities that are referred to as
"reference securities." Through the purchase of a credit linked note, the buyer
assumes the risk of the default or, in some cases, other declines in credit
quality of the reference securities. The buyer also takes on exposure to the
issuer of the credit linked note in the full amount of the purchase price of the
note. The issuer of a credit linked note normally will have hedged its risk on
the reference securities without acquiring any additional credit exposure. The
Fund has the right to receive periodic interest payments from the issuer of the
credit linked note at an agreed-upon interest rate, and, if there has been no
default or, if applicable, other declines in credit quality, a return of
principal at the maturity date.
Credit linked notes are subject to credit risk of the reference securities
underlying the credit linked notes. If one of the underlying reference
securities defaults, or suffers certain other declines in credit quality, the
Fund may, instead of receiving repayment of principal in whole or in part,
receive the security that has defaulted.
Credit linked notes typically are privately negotiated transactions between two
or more parties. The Fund bears the risk that the issuer of the credit linked
note will default or become bankrupt. The Fund bears the risk of loss of the
principal amount it invested, and the periodic interest payments expected to be
received for the duration of its investment in the credit linked note.
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST/ABERDEEN GLOBAL OPPORTUNITY INCOME FUND
SEPTEMBER 30, 2011 (UNAUDITED)
The market for credit linked notes may suddenly become illiquid. The other
parties to the transaction may be the only investors with sufficient
understanding of the derivative to be interested in bidding for it. Changes in
liquidity may result in significant, rapid and unpredictable changes in the
prices for credit linked notes. In certain cases, a market price for a credit
linked note may not be available. At September 30, 2011, the Fund had no credit
linked notes.
D. FORWARD FOREIGN CURRENCY CONTRACTS:
The Fund is subject to foreign currency risk in the normal course of pursuing
its investment objectives. Forward foreign currency contracts are agreements to
exchange one currency for another at a future date and at a specified price. The
Fund may use forward foreign currency contracts to facilitate transactions in
foreign securities and to manage the Fund's foreign currency exposure. These
contracts are valued daily, and the Fund's net equity therein, representing
unrealized gain or loss on the contracts as measured by the difference between
the forward foreign exchange rates at the dates of entry into the contracts and
the forward rates at the reporting date, is included on the Schedule of Forward
Foreign Currency Contracts. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from movement in
currency and securities values and interest rates. Due to the risks, the Fund
could incur losses in excess of the net unrealized value shown on the Schedule
of Forward Foreign Currency Contracts.
During the period ended September 30, 2011, the open and close notional values
of forward foreign currency contracts were $701,375,735 and $586,297,124
respectively.
E. FOREIGN CURRENCY:
The books and records of the Fund are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities and items of income and expense are
translated on the respective dates of such transactions. Net realized foreign
currency gains and losses include the effect of changes in exchange rates
between trade date and settlement date on investment security transactions,
foreign currency transactions and interest and dividends received.
ITEM 2. CONTROLS AND PROCEDURES.
(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") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days
of the filing date of the report that includes the disclosure required by
this paragraph, based on their evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(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 (17 CFR
270.30a-3(d)) 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 pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
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.
(Registrant) First Trust/Aberdeen Global Opportunity Income Fund
----------------------------------------------------------
By (Signature and Title)* /s/ James A. Bowen
---------------------------------------
James A. Bowen, Chairman of the Board,
President and Chief Executive Officer
(principal executive officer)
Date: November 21, 2011
---------------------
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 (Signature and Title)* /s/ James A. Bowen
---------------------------------------
James A. Bowen, Chairman of the Board,
President and Chief Executive Officer
(principal executive officer)
Date: November 21, 2011
---------------------
By (Signature and Title)* /s/ Mark R. Bradley
---------------------------------------
Mark R. Bradley, Treasurer, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)
Date: November 21, 2011
---------------------
* Print the name and title of each signing officer under his or her signature.