GAMCO Natural Resources, Gold & Income

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        811-22216          

              GAMCO Natural Resources, Gold & Income Trust              

(Exact name of registrant as specified in charter)

One Corporate Center

                           Rye, New York 10580-1422                          

(Address of principal executive offices) (Zip code)

Bruce N. Alpert

Gabelli Funds, LLC

One Corporate Center

                               Rye, New York 10580-1422                              

(Name and address of agent for service)

Registrant’s telephone number, including area code:  1-800-422-3554

Date of fiscal year end: December 31

Date of reporting period: March 31, 2018

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

GAMCO Natural Resources, Gold & Income Trust

First Quarter Report — March 31, 2018

(Y)our Portfolio Management Team

 

 

LOGO

To Our Shareholders,

For the quarter ended March 31, 2018, the net asset value (“NAV”) total return of the GAMCO Natural Resources, Gold & Income Trust (the “Fund”) was (4.3)%, compared with total returns of (1.6)% and (4.6)% for the Chicago Board Options Exchange (“CBOE”) Standard & Poor’s (“S&P”) 500 Buy/Write Index and the Philadelphia Gold & Silver (“XAU”) Index, respectively. The total return for the Fund’s publicly traded shares was (2.9)%. The Fund’s NAV per share was $6.66, while the price of the publicly traded shares closed at $6.37 on the New York Stock Exchange (“NYSE”). See below for additional performance information.

Enclosed is the schedule of investments as of March 31, 2018.

Comparative Results

Average Annual Returns through March 31, 2018 (a) (Unaudited)     Since  
     Quarter     1 Year     3 Year     5 Year     Inception
(01/27/11)		  

GAMCO Natural Resources, Gold & Income Trust

           

NAV Total Return (b)

      (4.26 )%      0.17 %      1.52 %      (2.59 )%      (4.20 )% 

Investment Total Return (c)

      (2.89 )      0.11       3.38       (4.43 )      (5.01 ) 

CBOE S&P 500 Buy/Write Index

      (1.56 )      6.95       7.22       7.42       7.15  

XAU Index

      (4.64 )      (2.56 )      8.14       (8.78 )      (10.71 )(d) 

Dow Jones U.S. Basic Materials Index

      (5.53 )      9.87       7.65       8.75       5.45 (d) 

S&P Global Agribusiness Equity Index

      (4.86 )      10.70       5.46       5.18       4.41 (d) 

 

  (a)

Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Performance returns for periods of less than one year are not annualized. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The CBOE S&P 500 Buy/Write Index is an unmanaged benchmark index designed to reflect the return on a portfolio that consists of a long position in the stocks in the S&P 500 Index and a short position in a S&P 500 (SPX) call option. The XAU Index is an unmanaged indicator of stock market performance of large North American gold and silver companies. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials sector of the U.S. equity market. The S&P Global Agribusiness Equity Index is designed to provide exposure to twenty-four of the largest publicly traded agribusiness companies, comprised of a mix of Producers, Distributors & Processors, and Equipment & Materials Suppliers companies. Dividends are considered reinvested. You cannot invest directly in an index.

 
  (b)

Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.

 
  (c)

Total returns and average returns reflect changes in closing market values on the NYSE and reinvestment of distributions. Since inception return is based on an initial offering price of $20.00.

 
  (d)

From January 31, 2011, the date closest to the Fund’s inception for which data are available.

 

 

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments — March 31, 2018 (Unaudited)

 

 

 

Shares

          

Market

Value

  
   COMMON STOCKS — 81.7%   
   Agriculture — 7.5%   
  49,000      Archer-Daniels-Midland Co.(a)    $ 2,125,130  
  22,500      Bunge Ltd.(a)      1,663,650  
  38,900      Monsanto Co.(a)      4,539,241  
  102,490      Nutrien Ltd.(a)      4,843,677  
     

 

 

  
          13,171,698  
     

 

 

  
   Energy and Energy Services — 23.0%   
  17,500      Anadarko Petroleum Corp.(a)      1,057,175  
  5,100      Andeavor      512,856  
  17,000      Apache Corp.(a)      654,160  
  15,500      Baker Hughes, a GE Company(a)      430,435  
  48,000      BP plc, ADR(a)      1,945,920  
  15,800      Cabot Oil & Gas Corp.(a)      378,884  
  28,000      Chevron Corp.(a)      3,193,120  
  3,100      Cimarex Energy Co.      289,850  
  4,800      Concho Resources Inc.†(a)      721,584  
  18,000      ConocoPhillips      1,067,220  
  17,800      Devon Energy Corp.(a)      565,862  
  17,616      Enbridge Inc.(a)      554,375  
  61,500      Eni SpA      1,081,212  
  17,800      EOG Resources Inc.(a)      1,873,806  
  5,000      EQT Corp.      237,550  
  66,500      Exxon Mobil Corp.(a)      4,961,565  
  27,000      Halliburton Co.(a)      1,267,380  
  4,000      Helmerich & Payne Inc.      266,240  
  5,000      Hess Corp.      253,100  
  53,500      Kinder Morgan Inc.(a)      805,710  
  18,000      Marathon Oil Corp.      290,340  
  15,600      Marathon Petroleum Corp.(a)      1,140,516  
  7,300      Newfield Exploration Co.†      178,266  
  15,500      Noble Energy Inc.(a)      469,650  
  11,600      Occidental Petroleum Corp.(a)      753,536  
  13,500      ONEOK Inc.      768,420  
  13,600      Phillips 66(a)      1,304,512  
  5,700      Pioneer Natural Resources Co.(a)      979,146  
  10,000      Range Resources Corp.      145,400  
  122,000      Royal Dutch Shell plc, Cl. A      3,822,984  
  42,970      Schlumberger Ltd.(a)      2,783,597  
  24,000      Suncor Energy Inc.(a)      828,960  
  15,000      Sunoco LP      382,650  
  14,500      TechnipFMC plc      427,025  
  26,500      The Williams Companies Inc.(a)      658,790  
  37,500      TOTAL SA, ADR(a)      2,163,375  
  14,300      Valero Energy Corp.(a)      1,326,611  
     

 

 

  
        40,541,782  
     

 

 

  
   Food and Beverage — 2.1%   
  15,000      Pilgrim’s Pride Corp.†      369,150  
  45,000      Tyson Foods Inc., Cl. A(a)      3,293,550  
     

 

 

  
        3,662,700  
     

 

 

  

Shares

          

Market

Value

  
   Health Care — 4.4%   
  11,900      IDEXX Laboratories Inc.†    $ 2,277,541  
  66,000      Zoetis Inc.(a)      5,511,660  
     

 

 

  
        7,789,201  
     

 

 

  
   Machinery — 6.5%   
  15,000      AGCO Corp.      972,750  
  160,000      CNH Industrial NV(a)      1,984,000  
  34,800      Deere & Co.(a)      5,405,136  
  184,000      Kubota Corp.      3,190,452  
     

 

 

  
          11,552,338  
     

 

 

  
   Metals and Mining — 35.9%   
  192,000      Agnico Eagle Mines Ltd.(a)      8,077,440  
  295,000      Alacer Gold Corp.†      469,399  
  464,418      Alamos Gold Inc., New York, Cl. A(a)      2,419,618  
  158,998      Alamos Gold Inc., Toronto, Cl. A      826,861  
  55,500      AngloGold Ashanti Ltd., ADR(a)      526,695  
  50,000      Antofagasta plc      646,080  
  100,000      Asanko Gold Inc.†      100,904  
  627,000      B2Gold Corp.†      1,711,710  
  124,500      Barrick Gold Corp.(a)      1,550,025  
  475,000      Belo Sun Mining Corp.†      129,041  
  500,000      Centamin plc      1,082,763  
  50,000      Centerra Gold Inc.†      286,801  
  355,000      Continental Gold Inc.†      975,434  
  207,500      Detour Gold Corp.†      2,100,206  
  235,000      Eldorado Gold Corp., New York†(a)      197,400  
  105,809      Eldorado Gold Corp., Toronto†      88,698  
  32,500      Endeavour Mining Corp.†      599,624  
  150,000      Fortuna Silver Mines Inc.†      781,500  
  57,000      Franco-Nevada Corp.(a)      3,898,230  
  292,548      Fresnillo plc      5,206,481  
  69,000      Gold Fields Ltd., ADR      277,380  
  131,400      Goldcorp Inc.(a)      1,815,948  
  608,500      Hochschild Mining plc      1,700,190  
  25,000      Kirkland Lake Gold Ltd.      387,511  
  10,000      Labrador Iron Ore Royalty Corp.      163,775  
  30,000      MAG Silver Corp., New York†(b)(c)      292,500  
  90,000      MAG Silver Corp., Toronto†(a)      881,593  
  230,000      Newcrest Mining Ltd.      3,456,900  
  68,700      Newmont Mining Corp.(a)      2,684,109  
  97,100      Northern Dynasty Minerals Ltd.†      90,441  
  429,950      OceanaGold Corp.      1,158,013  
  119,000      Osisko Gold Royalties Ltd.      1,149,036  
  600,000      Perseus Mining Ltd.†      214,286  
  29,500      Polyus PJSC, GDR      1,147,550  
  16,400      Pretium Resources Inc., New York†      109,224  
  29,000      Pretium Resources Inc., Toronto†      192,680  
  69,500      Randgold Resources Ltd., ADR(a)      5,785,180  
  51,000      Rio Tinto plc, ADR(a)      2,628,030  
  52,500      Royal Gold Inc.(a)      4,508,175  
  70,000      SEMAFO Inc.†      201,576  
 

 

See accompanying notes to schedule of investments.

 

2

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Shares

        

Market

Value

  
  COMMON STOCKS (Continued)  
  Metals and Mining (Continued)  
  178,000     Tahoe Resources Inc.(a)   $ 834,820  
  91,000     Torex Gold Resources Inc.†     558,707  
  62,000     Wheaton Precious Metals Corp.(a)     1,262,940  
   

 

 

  
      63,175,474  
   

 

 

  
 

Specialty Chemicals — 2.3%

  
  24,000     CF Industries Holdings Inc.(a)     905,520  
  24,000     FMC Corp.(a)     1,837,680  
  52,400     The Mosaic Co.(a)     1,272,272  
   

 

 

  
      4,015,472  
   

 

 

  
 

TOTAL COMMON STOCKS

     143,908,665  
   

 

 

  
 

CONVERTIBLE PREFERRED STOCKS — 0.3%

 

 

Energy and Energy Services — 0.3%

  
  15,700    

Kinder Morgan Inc.,
9.750%, Series A

     488,113  
   

 

 

  
 

WARRANTS — 0.0%

  
 

Metals and Mining — 0.0%

  
  25,000    

Osisko Mining Inc., expire
08/28/18†(b)(c)

     304  
   

 

 

  

Principal

Amount

            
 

CONVERTIBLE CORPORATE BONDS — 0.2%

 

 

Metals and Mining — 0.2%

  
  $    350,000    

Osisko Gold Royalties Ltd.
4.000%, 12/31/22

     271,665  
   

 

 

  
 

CORPORATE BONDS — 0.2%

  
 

Metals and Mining — 0.2%

  
  400,000    

Eldorado Gold Corp.,
6.125%, 12/15/20(c)

     381,000  
   

 

 

  
 

U.S. GOVERNMENT OBLIGATIONS — 17.6%

 

  31,102,000    

U.S. Treasury Bills,
1.377% to 1.742%††, 04/19/18 to 06/21/18(d)

     31,045,236  
   

 

 

  
 

TOTAL INVESTMENTS BEFORE OPTIONS WRITTEN — 100.0%
(Cost $209,325,571)

     $176,094,983  
   

 

 

  

 

 

(a)

Securities, or a portion thereof, with a value of $66,501,562 were deposited with the broker as collateral for options written.

(b)

At March 31, 2018, the Fund held investments in restricted and illiquid securities amounting to $292,804 or 0.17% of total investments before options written, which were valued under methods approved by the Board of Trustees as follows:

 

Acquisition
        Shares    		   Issuer   Acquisition
Date		   Acquisition
Cost		     03/31/18
Carrying
Value
Per Share		  

30,000

  

MAG Silver Corp., New York

   11/17/17     $314,100       $9.75  

25,000

  

Osisko Mining Inc., expire 08/28/18

   02/17/17     11,451       0.0122  
(c)

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2018, the market value of Rule 144A securities amounted to $673,804 or 0.38% of total investments before options written.

(d)

At March 31, 2018, $7,835,000 of the principal amount was pledged as collateral for options written.

†

Non-income producing security.

††

Represents annualized yield at date of purchase.

ADR American Depositary Receipt
GDR Global Depositary Receipt
 

 

See accompanying notes to schedule of investments.

 

3

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Geographic Diversification

   

% of Total 

Investments*

     

Market

Value

  

Long Positions

      

North America

      76.0%        $133,761,610  

Europe

      16.8           29,620,790  

Latin America

      2.9           5,046,870  

Asia/Pacific

      2.1           3,671,186  

Japan

      1.8           3,190,452  

South Africa

          0.4                    804,075  

Total Investments — Long Positions

      100.0%        $176,094,983  

Geographic Diversification

   

% of Total 

Investments*

     

Market

Value

  

Short Positions

      

North America

      (2.8)%        $(4,909,749 ) 

Europe

      (0.1)           (92,425 ) 

Japan

      (0.0)**        (35,391 ) 

Asia/Pacific

      (0.0)**               (12,406 ) 

Total Investments — Short Positions

      (2.9)%        $(5,049,971 ) 

 

*

Total investments exclude options written.

**

Amount represents greater than (0.05)%.

 

 

As of March 31, 2018, options written outstanding were as follows:

 

Description    Counterparty    Number of
Contracts		     

Notional    

Amount    

    

Exercise

Price

     

Expiration

Date

     

Market

Value

  

OTC Call Options Written — (1.6)%

                    

AGCO Corp.

    Pershing LLC      50            324,250       USD        72.00        04/20/18      $ 453  

Agnico Eagle Mines Ltd.

    Pershing LLC      1,150            4,838,050       USD        47.50        04/20/18        6,672  

Agnico Eagle Mines Ltd.

    Pershing LLC      350            1,472,450       USD        40.00        06/15/18          126,702  

Alamos Gold Inc.

    Pershing LLC      2,100            1,094,100       USD        7.00        04/20/18        22,965  

Alamos Gold Inc.

    Pershing LLC      2,100            1,094,100       USD        7.00        05/18/18        25,947  

Anadarko Petroleum Corp.

    Pershing LLC      55            332,255       USD        60.00        04/20/18        11,598  

Anadarko Petroleum Corp.

    Pershing LLC      60            362,460       USD        60.00        05/18/18        20,047  

Anadarko Petroleum Corp.

    Pershing LLC      60            362,460       USD        60.00        06/15/18        23,491  

Andeavor

    Pershing LLC      20            201,120       USD        97.50        05/18/18        12,819  

Andeavor

    Pershing LLC      16            160,896       USD        100.00        06/15/18        8,994  

Antofagasta plc

    Morgan Stanley      50            460,500       GBp        940.00        05/18/18        15,276  

Apache Corp.

    Pershing LLC      65            250,120       USD        40.00        05/18/18        9,624  

Archer-Daniels-Midland Co.

    Pershing LLC      250            1,084,250       USD        41.00        04/20/18        66,251  

Archer-Daniels-Midland Co.

    Pershing LLC      240            1,040,880       USD        42.00        05/18/18        52,712  

B2Gold Corp.

    Pershing LLC      2,120            578,760       USD        3.00        04/20/18        21,136  

B2Gold Corp.

    Pershing LLC      2,150            586,950       USD        3.00        05/18/18        39,933  

B2Gold Corp.

    Pershing LLC      2,000            546,000       USD        3.00        06/15/18        50,676  

Baker Hughes, a GE Company

    Pershing LLC      45            124,965       USD        35.00        04/20/18        178  

Baker Hughes, a GE Company

    Pershing LLC      55            152,735       USD        28.00        05/18/18        8,001  

 

See accompanying notes to schedule of investments.

 

4

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Description    Counterparty    Number of
Contracts		      Notional    
Amount    		    

Exercise

Price

      Expiration
Date		    Market
Value		  

Baker Hughes, a GE Company

    Pershing LLC      55            152,735       USD        31.00      06/15/18    $ 4,215  

Barrick Gold Corp.

    Pershing LLC      425            529,125       USD        13.50      05/18/18      9,653  

Barrick Gold Corp.

    Pershing LLC      370            460,650       USD        12.50      06/15/18          24,621  

BP plc, ADR

    Pershing LLC      160            648,640       USD        43.00      04/20/18      1,423  

BP plc, ADR

    Pershing LLC      170            689,180       USD        40.00      05/18/18      22,872  

BP plc, ADR

    Pershing LLC      150            608,100       USD        40.00      06/15/18      24,912  

Bunge Ltd.

    Pershing LLC      75            554,550       USD        70.00      04/20/18      36,305  

Bunge Ltd.

    Pershing LLC      75            554,550       USD        80.00      05/18/18      11,432  

Cabot Oil & Gas Corp.

    Pershing LLC      55            131,890       USD        24.00      05/18/18      6,364  

CF Industries Holdings Inc.

    Pershing LLC      120            452,760       USD        40.00      05/18/18      13,707  

CF Industries Holdings Inc.

    Pershing LLC      120            452,760       USD        42.50      05/18/18      1,627  

Chevron Corp.

    Pershing LLC      90            1,026,360       USD        115.00      05/18/18      26,609  

CNH Industrial NV

    Pershing LLC      500            620,000       USD        15.00      04/20/18      38  

CNH Industrial NV

    Pershing LLC      600            744,000       USD        14.00      05/18/18      4,578  

CNH Industrial NV

    Pershing LLC      500            620,000       USD        13.80      06/15/18      8,890  

Concho Resources Inc.

    Pershing LLC      15            225,495       USD        157.50      04/20/18      1,815  

Concho Resources Inc.

    Pershing LLC      60            901,980       USD        55.00      05/18/18      31,281  

Concho Resources Inc.

    Pershing LLC      17            255,561       USD        150.00      05/18/18      11,660  

Concho Resources Inc.

    Pershing LLC      16            240,528       USD        150.00      08/17/18      18,576  

ConocoPhillips

    Pershing LLC      60            355,740       USD        60.00      04/20/18      7,283  

Deere & Co.

    Pershing LLC      108            1,677,456       USD        170.00      04/20/18      6,532  

Deere & Co.

    Pershing LLC      120            1,863,840       USD        160.00      05/18/18      69,879  

Devon Energy Corp.

    Pershing LLC      70            858,410       USD        37.00      05/18/18      2,728  

Enbridge Inc.

    Pershing LLC      96            472,800       USD        40.00      04/20/18      —  

Eni SpA

    Morgan Stanley      40            285,760       EUR        15.00      04/20/18      697  

Eni SpA

    Morgan Stanley      40            285,760       EUR        14.00      05/18/18      12,576  

Eni SpA

    Morgan Stanley      43            307,192       EUR        14.00      06/15/18      9,621  

EOG Resources Inc.

    Pershing LLC      62            652,674       USD        107.00      05/18/18      20,449  

Exxon Mobil Corp.

    Pershing LLC      200            1,492,200       USD        87.50      04/20/18      87  

Exxon Mobil Corp.

    Pershing LLC      250            1,865,250       USD        79.00      05/18/18      12,657  

Franco-Nevada Corp.

    Pershing LLC      190            1,299,410       USD        80.00      04/20/18      273  

Franco-Nevada Corp.

    Pershing LLC      190            1,299,410       USD        76.00      05/18/18      11,173  

Franco-Nevada Corp.

    Pershing LLC      190            1,299,410       USD        70.00      06/15/18      51,498  

Goldcorp Inc.

    Pershing LLC      350            483,700       USD        14.00      05/18/18      21,638  

Goldcorp Inc.

    Pershing LLC      440            608,080       USD        14.00      06/15/18      34,180  

Halliburton Co.

    Pershing LLC      85            398,990       USD        55.00      04/20/18      308  

Halliburton Co.

    Pershing LLC      95            445,930       USD        47.50      05/18/18      18,797  

Helmerich & Payne Inc.

    Pershing LLC      20            133,120       USD        70.00      06/15/18      4,861  

Hess Corp.

    Pershing LLC      25            126,550       USD        55.00      04/20/18      1,029  

Hess Corp.

    Pershing LLC      25            126,550       USD        47.50      05/18/18      12,368  

 

See accompanying notes to schedule of investments.

 

5

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Description    Counterparty    Number of
Contracts		      Notional
Amount		    

Exercise

Price

      Expiration
Date		    Market
Value		  

IDEXX Laboratories Inc.

    Pershing LLC      40            765,560       USD        180.00      05/18/18    $ 71,796  

Kinder Morgan Inc.

    Pershing LLC      175            263,550       USD        18.00      05/18/18      385  

Kinder Morgan Inc.

    Pershing LLC      180            271,080       USD        17.00      06/15/18      2,663  

Kubota Corp.

    The Goldman Sachs Group, Inc.      620            114,390,000       JPY        2,300.00      04/20/18      198  

Kubota Corp.

    The Goldman Sachs Group, Inc.      620            114,390,000       JPY        1,900.00      05/18/18      35,194  

Marathon Oil Corp.

    Pershing LLC      90            145,170       USD        19.00      04/20/18      323  

Marathon Oil Corp.

    Pershing LLC      90            145,170       USD        16.00      05/18/18      9,395  

Marathon Petroleum Corp.

    Pershing LLC      55            402,105       USD        67.50      05/18/18      36,624  

Marathon Petroleum Corp.

    Pershing LLC      50            365,550       USD        67.50      06/15/18      36,261  

Newcrest Mining Ltd.

    Morgan Stanley      900            1,761,215       AUD        22.50      06/15/18      12,406  

Newfield Exploration Co.

    Pershing LLC      23            56,166       USD        34.00      04/20/18      1  

Newfield Exploration Co.

    Pershing LLC      25            61,050       USD        27.50      05/18/18      1,320  

Newmont Mining Corp.

    Pershing LLC      190            742,330       USD        39.00      05/18/18      33,280  

Newmont Mining Corp.

    Pershing LLC      252            984,564       USD        37.00      06/15/18      81,054  

Noble Energy Inc.

    Pershing LLC      50            151,500       USD        32.50      04/20/18      1,353  

Noble Energy Inc.

    Pershing LLC      50            151,500       USD        27.50      05/18/18      17,106  

Nutrien Ltd.

    Pershing LLC      350            1,654,100       USD        52.50      04/20/18      4,036  

Nutrien Ltd.

    Pershing LLC      350            1,654,100       USD        46.00      05/18/18        101,060  

Occidental Petroleum Corp.

    Pershing LLC      36            233,856       USD        77.50      04/20/18      28  

Occidental Petroleum Corp.

    Pershing LLC      40            259,840       USD        70.00      05/18/18      2,816  

ONEOK Inc.

    Pershing LLC      45            256,140       USD        57.50      04/20/18      4,965  

ONEOK Inc.

    Pershing LLC      45            256,140       USD        57.50      05/18/18      6,984  

ONEOK Inc.

    Pershing LLC      45            256,140       USD        57.50      06/15/18      8,994  

Phillips 66

    Pershing LLC      45            431,640       USD        92.50      05/18/18      23,182  

Phillips 66

    Pershing LLC      46            441,232       USD        95.00      06/15/18      20,424  

Pioneer Natural Resources Co.

    Pershing LLC      17            292,026       USD        190.00      04/20/18      464  

Pioneer Natural Resources Co.

    Pershing LLC      20            343,560       USD        180.00      05/18/18      9,235  

Randgold Resources Ltd., ADR

    Pershing LLC      245            2,039,380       USD        100.00      04/20/18      604  

Randgold Resources Ltd., ADR

    Pershing LLC      115            957,260       USD        85.00      05/18/18      34,672  

Randgold Resources Ltd., ADR

    Pershing LLC      115            957,260       USD        90.00      05/18/18      16,318  

Rio Tinto plc, ADR

    Pershing LLC      170            876,010       USD        55.00      04/20/18      5,614  

Rio Tinto plc, ADR

    Pershing LLC      170            876,010       USD        55.00      05/18/18      14,662  

Rio Tinto plc, ADR

    Pershing LLC      170            876,010       USD        52.50      06/15/18      39,649  

Royal Dutch Shell plc

    Morgan Stanley      40            893,400       GBp        2,600.00      04/18/18      13  

 

See accompanying notes to schedule of investments.

 

6

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Description    Counterparty        Number of
    Contracts		     

Notional    

Amount    

     

Exercise

Price

      Expiration
Date		     

Market

Value

  

Royal Dutch Shell plc

    Morgan Stanley      42          938,070        GBp        2,300.00        05/18/18      $ 12,099  

Royal Dutch Shell plc

    Morgan Stanley      42          938,070        GBp        2,200.00        06/15/18        42,142  

Royal Gold Inc.

    Pershing LLC      170          1,459,790        USD        87.50        04/20/18        19,503  

Royal Gold Inc.

    Pershing LLC      135          1,159,245        USD        87.50        05/18/18        32,749  

Royal Gold Inc.

    Pershing LLC      180          1,545,660        USD        85.00        06/15/18        79,847  

Schlumberger Ltd.

    Pershing LLC      150          971,700        USD        67.50        05/18/18        25,004  

Schlumberger Ltd.

    Pershing LLC      145          939,310        USD        67.50        06/15/18        29,271  

Suncor Energy Inc.

    Pershing LLC      80          276,320        USD        35.00        04/20/18        4,516  

Suncor Energy Inc.

    Pershing LLC      80          276,320        USD        36.00        05/18/18        5,101  

Suncor Energy Inc.

    Pershing LLC      80          276,320        USD        33.50        06/15/18        16,384  

TechnipFMC plc

    Pershing LLC      50          147,250        USD        30.00        05/18/18        6,776  

The Mosaic Co.

    Pershing LLC      175          424,900        USD        26.00        04/20/18        5,908  

The Mosaic Co.

    Pershing LLC      174          422,472        USD        27.00        05/18/18        9,200  

The Williams Companies Inc.

    Pershing LLC      85          211,310        USD        32.00        04/20/18        14  

The Williams Companies Inc.

    Pershing LLC      90          1,015,875        USD        30.00        05/18/18        387  

The Williams Companies Inc.

    Pershing LLC      90          223,740        USD        28.00        06/15/18        2,279  

TOTAL SA, ADR

    Pershing LLC      125          721,125        USD        57.50        04/20/18        13,683  

TOTAL SA, ADR

    Pershing LLC      130          749,970        USD        57.50        05/18/18        22,029  

TOTAL SA, ADR

    Pershing LLC      120          692,280        USD        57.50        06/15/18        20,083  

Tyson Foods Inc.

    Pershing LLC      150          1,097,850        USD        80.00        04/20/18        1,149  

Tyson Foods Inc.

    Pershing LLC      150          1,097,850        USD        77.50        05/18/18        18,410  

Valero Energy Corp.

    Pershing LLC      48          445,296        USD        92.50        05/18/18        16,562  

Valero Energy Corp.

    Pershing LLC      50          463,850        USD        92.50        06/15/18        21,784  

VanEck Vectors Gold Miners ETF

    Pershing LLC      1,000          2,198,000        USD        23.00        04/20/18        15,612  

VanEck Vectors Gold Miners ETF

    Pershing LLC      1,200          2,637,600        USD        24.00        04/20/18        5,652  

VanEck Vectors Gold Miners ETF

    Pershing LLC      760          1,670,480        USD        22.50        05/18/18        43,351  

VanEck Vectors Gold Miners ETF

    Pershing LLC      1,600          3,516,800        USD        23.00        05/18/18        65,194  

VanEck Vectors Gold Miners ETF

    Pershing LLC      2,300          5,055,400        USD        21.50        06/15/18        296,894  

Wheaton Precious Metals Corp.

    Pershing LLC      255          519,435        USD        22.50        04/20/18        884  

Wheaton Precious Metals Corp.

    Pershing LLC      120          244,440        USD        20.50        05/18/18        9,014  

Zoetis Inc.

    Pershing LLC      220          1,837,220        USD        75.00        05/18/18        195,441  
                    

 

 

  

TOTAL OTC CALL OPTIONS WRITTEN

 

             $ 2,752,688  
                    

 

 

  

 

See accompanying notes to schedule of investments.

 

7

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Description    Counterparty    Number of
Contracts		     

Notional    

Amount    

      Exercise
Price		      Expiration
Date		      Market
Value		  

OTC Put Options Written — (0.2)%

                     

Energy Select Sector SPDR ETF

    Pershing LLC      330          2,224,530        USD        73.50        04/20/18      $ 197,966  

Energy Select Sector SPDR ETF

    Pershing LLC      365          2,460,465        USD        64.50        05/18/18        35,538  

VanEck Vectors Gold Miners ETF

    Pershing LLC      2,100          4,615,800        USD        22.30        04/20/18        140,487  

VanEck Vectors Gold Miners ETF

    Pershing LLC      2,200          4,835,600        USD        21.00        05/18/18        82,111  
                    

 

 

  

TOTAL OTC PUT OPTIONS WRITTEN

                   $   456,102  
                    

 

 

  

 

Description    Number of
Contracts		     

Notional    

Amount    

     

Exercise

Price

      Expiration
Date		      Market
Value		  

Exchange Traded Call Options Written — (1.0)%

                  

AGCO Corp.

      50          324,250        USD        70.00        05/18/18      $ 5,000  

AGCO Corp.

      50          324,250        USD        70.00        08/17/18        12,500  

Agnico Eagle Mines Ltd.

      420          1,766,940        USD        46.00        05/18/18        26,880  

Alacer Gold Corp.

      1,500          307,500        CAD        2.50        05/18/18        4,657  

Alacer Gold Corp.

      1,450          297,250        CAD        2.50        07/20/18        14,631  

Andeavor

      15          150,840        USD        100.00        04/20/18        4,950  

AngloGold Ashanti Ltd., ADR

      290          275,210        USD        9.00        04/20/18        18,850  

AngloGold Ashanti Ltd., ADR

      265          251,485        USD        10.00        04/20/18        3,975  

Apache Corp.

      40          153,920        USD        40.00        04/20/18        2,760  

Apache Corp.

      65          250,120        USD        37.50        06/15/18        20,475  

Barrick Gold Corp.

      450          560,250        USD        15.00        04/20/18        1,350  

Bunge Ltd.

      75          554,550        USD        77.50        07/20/18        28,125  

Cabot Oil & Gas Corp.

      50          119,900        USD        28.00        04/20/18        200  

Cabot Oil & Gas Corp.

      53          127,094        USD        25.00        07/20/18        6,360  

Centerra Gold Inc.

      250          184,750        CAD        8.00        05/18/18        2,426  

Centerra Gold Inc.

      250          184,750        CAD        8.00        07/20/18        5,821  

Chevron Corp.

      90          1,026,360        USD        115.00        04/20/18        18,000  

Chevron Corp.

      100          1,140,400        USD        120.00        06/15/18        20,300  

Cimarex Energy Co.

      15          140,250        USD        95.00        06/15/18        7,680  

Cimarex Energy Co.

      15          140,250        USD        125.00        06/15/18        262  

ConocoPhillips

      60          355,740        USD        55.00        06/15/18        35,100  

Deere & Co.

      120          1,863,840        USD        160.00        06/15/18        90,000  

Detour Gold Corp.

      575          749,800        CAD        15.00        04/20/18        2,008  

Detour Gold Corp.

      700          912,800        CAD        13.00        05/18/18        42,923  

Detour Gold Corp.

      800          1,043,200        CAD        13.00        06/15/18        56,817  

Devon Energy Corp.

      53          168,487        USD        44.00        04/20/18        106  

Devon Energy Corp.

      55          174,845        USD        33.00        07/20/18        12,265  

Endeavour Mining Corp.

      165          392,205        CAD        25.00        04/20/18        3,522  

 

See accompanying notes to schedule of investments.

 

8

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Description    Number of
Contracts		      Notional
Amount		     

Exercise

Price

      Expiration
Date		    Market
Value		  

Endeavour Mining Corp.

      160          380,320        CAD        25.00      07/20/18    $ 13,661  

EOG Resources Inc.

      56          589,512        USD        115.00      04/20/18      812  

EOG Resources Inc.

      60          631,620        USD        100.00      07/20/18      53,099  

EQT Corp.

      25          118,775        USD        55.00      06/15/18      1,563  

EQT Corp.

      25          118,775        USD        60.00      06/15/18      438  

Exxon Mobil Corp.

      215          1,604,115        USD        75.00      06/15/18      49,880  

FMC Corp.

      60          459,420        USD        82.50      04/20/18      2,700  

FMC Corp.

      60          459,420        USD        100.00      04/20/18      450  

FMC Corp.

      60          459,420        USD        85.00      05/18/18      5,550  

FMC Corp.

      60          459,420        USD        82.50      07/20/18      17,100  

Fortuna Silver Mines Inc.

      750          390,750        USD        5.00      06/15/18      39,000  

Fortuna Silver Mines Inc.

      750          390,750        USD        5.00      09/21/18      54,375  

Gold Fields Ltd.

      300          120,600        USD        4.50      04/20/18      900  

Gold Fields Ltd.

      300          120,600        USD        4.00      07/20/18      10,800  

Goldcorp Inc.

      120          165,840        USD        13.00      04/20/18      11,280  

Goldcorp Inc.

      407          562,474        USD        15.00      04/20/18      3,663  

Halliburton Co.

      45          211,230        USD        45.00      06/15/18      16,988  

Halliburton Co.

      45          211,230        USD        47.50      06/15/18      11,160  

Helmerich & Payne Inc.

      20          133,120        USD        65.00      06/15/18      9,400  

IDEXX Laboratories Inc.

      40          765,560        USD        160.00      04/20/18      129,600  

IDEXX Laboratories Inc.

      40          765,560        USD        180.00      04/20/18      58,600  

Kinder Morgan Inc.

      180          271,080        USD        18.00      04/20/18      360  

Kirkland Lake Gold Ltd.

      250          499,250        CAD        19.00      04/20/18      25,226  

MAG Silver Corp.

      400          504,800        CAD        16.00      04/20/18      621  

MAG Silver Corp.

      400          504,800        CAD        15.00      05/18/18      776  

MAG Silver Corp.

      400          504,800        CAD        15.00      07/20/18      11,643  

Marathon Petroleum Corp.

      50          365,550        USD        70.00      04/20/18      21,100  

Newfield Exploration Co.

      25          61,050        USD        24.00      06/15/18      5,500  

Newmont Mining Corp.

      245          957,215        USD        39.00      04/20/18      27,195  

Noble Energy Inc.

      55          166,650        USD        30.00      08/17/18      15,675  

Nutrien Ltd.

      325          1,535,950        USD        50.00      06/15/18      53,625  

Occidental Petroleum Corp.

      40          259,840        USD        65.00      06/15/18      11,760  

OceanaGold Corp.

      1,500          520,500        CAD        3.50      04/20/18      16,882  

OceanaGold Corp.

      1,300          451,100        CAD        4.00      04/20/18      2,523  

OceanaGold Corp.

      1,500          520,500        CAD        4.00      06/15/18      12,225  

Osisko Gold Royalties Ltd.

      400          497,600        CAD        15.00      04/20/18      1,552  

Phillips 66

      45          431,640        USD        95.00      04/20/18      9,809  

Pilgrim’s Pride Corp.

      150          369,150        USD        26.00      06/15/18      16,875  

Pioneer Natural Resources Co.

      20          343,560        USD        170.00      06/15/18      20,600  

Pretium Resources Inc.

      230          153,180        USD        8.00      06/15/18      6,900  

Pretium Resources Inc.

      224          149,184        USD        11.00      06/15/18      1,120  

Randgold Resources Ltd., ADR

      220          1,831,280        USD        85.00      06/15/18      85,800  

Range Resources Corp.

      50          72,700        USD        17.00      06/15/18      2,375  

 

 

See accompanying notes to schedule of investments.

 

9

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2018 (Unaudited)

 

 

 

Description    Number of
Contracts		     

Notional    

Amount    

     

Exercise

Price

      Expiration
Date		      Market
Value		  

Range Resources Corp.

      50          72,700        USD        16.00        08/17/18      $ 6,125  

Schlumberger Ltd.

      135          874,530        USD        70.00        04/20/18        5,130  

SEMAFO Inc.

      700          259,700        CAD        4.00        07/20/18        10,867  

TechnipFMC plc

      45          132,525        USD        34.00        04/20/18        450  

TechnipFMC plc

      50          147,250        USD        30.00        07/20/18        8,249  

The Mosaic Co.

      175          424,900        USD        27.00        06/15/18        13,475  

Torex Gold Resources Inc.

      455          359,905        CAD        15.00        04/20/18        883  

Torex Gold Resources Inc.

      455          359,905        CAD        11.00        07/20/18        10,595  

Tyson Foods Inc.

      150          1,097,850        USD        75.00        07/20/18        51,150  

Valero Energy Corp.

      45          417,465        USD        95.00        04/20/18        5,760  

VanEck Vectors Gold Miners ETF

      100          219,800        USD        22.00        06/15/18        10,600  

Wheaton Precious Metals Corp.

      245          499,065        USD        20.00        06/15/18        29,645  

Zoetis Inc.

      220          1,837,220        USD        75.00        04/20/18        184,800  

Zoetis Inc.

      220          1,837,220        USD        85.00        07/20/18        72,600  
                 

 

 

  

TOTAL EXCHANGE TRADED CALL OPTIONS WRITTEN

                   $ 1,699,433  
                 

 

 

  

Exchange Traded Put Options Written — (0.1)%

                  

Energy Select Sector SPDR ETF

      375        2,527,875        USD        64.00        06/15/18      $ 64,500  

VanEck Vectors Gold Miners ETF

      2,414        5,305,972        USD        20.00        06/15/18        77,248  
                 

 

 

  

TOTAL EXCHANGE TRADED PUT OPTIONS WRITTEN

                   $ 141,748  
                 

 

 

  

TOTAL OPTIONS WRITTEN

                   $ 5,049,971  
                 

 

 

  

 

See accompanying notes to schedule of investments.

 

10

GAMCO Natural Resources, Gold & Income Trust

Notes to Schedule of Investments (Unaudited)

 

 

As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles (“GAAP”) that may require the use of management estimates and assumptions in the preparation of its schedule of investments. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its schedule of investments.

Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the “Board”) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the “Adviser”).

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt obligations for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Certain securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded. OTC futures and options on futures for which market quotations are readily available will be valued by quotations received from a pricing service or, if no quotations are available from a pricing service, by quotations obtained from one or more dealers in the instrument in question by the Adviser.

Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value American Depositary Receipt securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

  ●  

Level 1 — quoted prices in active markets for identical securities;

  ●  

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and

  ●  

Level 3 — significant unobservable inputs (including the Board’s determinations as to the fair value of investments).

 

11

GAMCO Natural Resources, Gold & Income Trust

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

 

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of March 31, 2018 is as follows:

 

     Valuation Inputs    
     Level 1
Quoted Prices		   Level 2 Other Significant
Observable Inputs		   Total Market Value
at 3/31/18

INVESTMENTS IN SECURITIES:

             

ASSETS (Market Value):

             

Common Stocks

             

Metals and Mining

        $ 59,426,074         $  3,749,400           $  63,175,474  

Other Industries (a)

        80,733,191       —       80,733,191

Total Common Stocks

        140,159,265       3,749,400       143,908,665

Convertible Preferred Stocks (a)

        488,113       —       488,113

Warrants (a)

        —       304       304

Convertible Corporate Bonds (a)

        —       271,665       271,665

Corporate Bonds (a)

        —       381,000       381,000

U.S. Government Obligations

        —       31,045,236       31,045,236

TOTAL INVESTMENTS IN SECURITIES – ASSETS

        $ 140,647,378         $35,447,605           $176,094,983  

INVESTMENTS IN SECURITIES:

             

LIABILITIES (Market Value):

             

EQUITY CONTRACTS:

             

Call Options Written

        $ (1,034,635 )         $(3,417,486 )          $  (4,452,121 ) 

Put Options Written

        (141,748 )       (456,102 )       (597,850 )

TOTAL INVESTMENTS IN SECURITIES – LIABILITIES

        $ (1,176,383 )         $(3,873,588 )          $  (5,049,971 ) 

 

(a)

Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

At March 31, 2018, the Fund held no Level 3 investments.

Additional Information to Evaluate Qualitative Information.

    General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds are ultimately sourced from major stock exchanges and trading systems where these securities trade. The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a broker/dealer that trades that security or similar securities.

    Fair Valuation. Fair valued securities may be common or preferred equities, warrants, options, rights, or fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. When fair valuing a security, factors to consider include recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not

 

12

GAMCO Natural Resources, Gold & Income Trust

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

 

apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These may include backtesting the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in derivative financial instruments for the purposes of increasing the income of the Fund, hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase, or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund’s ability to pay distributions.

The Fund’s derivative contracts held at March 31, 2018, if any, are not accounted for as hedging instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.

Swap Agreements. The Fund may enter into equity contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an equity contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short term interest rates and the returns on the Fund’s portfolio securities at the time an equity contract for difference swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

Options. The Fund may purchase or write call or put options on securities or indices for the purpose of increasing the income of the Fund. As a writer of put options, the Fund receives a premium at the outset and then bears the risk of unfavorable changes in the price of the financial instrument underlying the option. The Fund would incur a loss if the price of the underlying financial instrument decreases between the date the option is written and the date on which the option is terminated. The Fund would realize a gain, to the extent of the premium, if the price of the financial instrument increases between those dates.

 

13

GAMCO Natural Resources, Gold & Income Trust

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

 

As a purchaser of put options, the Fund pays a premium for the right to sell to the seller of the put option the underlying security at a specified price. The seller of the put has the obligation to purchase the underlying security upon exercise at the exercise price. If the price of the underlying security declines, the Fund would realize a gain upon sale or exercise. If the price of the underlying security increases or stays the same, the Fund would realize a loss upon sale or at the expiration date, but only to the extent of the premium paid.

If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the security. In the case of call options, the exercise prices are referred to as “in-the-money,” “at-the-money,” and “out-of-the-money,” respectively. The Fund may write (a) in-the-money call options when the Adviser expects that the price of the underlying security will remain stable or decline during the option period, (b) at-the-money call options when the Adviser expects that the price of the underlying security will remain stable, decline, or advance moderately during the option period, and (c) out-of-the-money call options when the Adviser expects that the premiums received from writing the call option will be greater than the appreciation in the price of the underlying security above the exercise price. By writing a call option, the Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. Out-of-the-money, at-the-money, and in-the-money put options (the reverse of call options as to the relation of exercise price to market price) may be utilized in the same market environments that such call options are used in equivalent transactions. Option positions at March 31, 2018 are reflected within the Schedule of Investments.

Limitations on the Purchase and Sale of Futures Contracts, Certain Options, and Swaps. Subject to the guidelines of the Board, the Fund may engage in “commodity interest” transactions (generally, transactions in futures, certain options, certain currency transactions, and certain types of swaps) only for bona fide hedging or other permissible transactions in accordance with the rules and regulations of the Commodity Futures Trading Commission (“CFTC”). Pursuant to amendments by the CFTC to Rule 4.5 under the Commodity Exchange Act (“CEA”), the Adviser has filed a notice of exemption from registration as a “commodity pool operator” with respect to the Fund. The Fund and the Adviser are therefore not subject to registration or regulation as a commodity pool operator under the CEA. In addition, certain trading restrictions are now applicable to the Fund which permit the Fund to engage in commodity interest transactions that include (i) “bona fide hedging” transactions, as that term is defined and interpreted by the CFTC and its staff, without regard to the percentage of the Fund’s assets committed to margin and options premiums and (ii) non-bona fide hedging transactions, provided that the Fund does not enter into such non-bona fide hedging transactions if, immediately thereafter, either (a) the sum of the amount of initial margin deposits on the Fund’s existing futures positions or swaps positions and option or swaption premiums would exceed 5% of the market value of the Fund’s liquidating value, after taking into account unrealized profits and unrealized losses on any such transactions, or (b) the aggregate net notional value of the Fund’s commodity interest transactions would not exceed 100% of the market value of the Fund’s liquidating value, after taking into account unrealized profits and unrealized losses on any such transactions. Therefore, in order to claim the Rule 4.5 exemption, the Fund is limited in its ability to invest in commodity futures, options, and certain types of swaps (including securities futures, broad based stock index futures, and financial futures contracts). As a result, in the future, the Fund will be more limited in its ability to use these instruments than in the past, and these limitations may have a negative impact on the ability of the Adviser to manage the Fund, and on the Fund’s performance.

 

14

GAMCO Natural Resources, Gold & Income Trust

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

 

Securities Sold Short. The Fund may enter into short sale transactions. Short selling involves selling securities that may or may not be owned and, at times, borrowing the same securities for delivery to the purchaser, with an obligation to replace such borrowed securities at a later date. The proceeds received from short sales are recorded as liabilities and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of an open short position on the day of determination. The Fund records a realized gain or loss when the short position is closed out. By entering into a short sale, the Fund bears the market risk of an unfavorable change in the price of the security sold short. Dividends on short sales are recorded as an expense by the Fund on the ex-dividend date and interest expense is recorded on the accrual basis. The broker retains collateral for the value of the open positions, which is adjusted periodically as the value of the position fluctuates. At March 31, 2018, there were no short sales outstanding.

Investments in Other Investment Companies. The Fund may invest, from time to time, in shares of other investment companies (or entities that would be considered investment companies but are excluded from the definition pursuant to certain exceptions under the 1940 Act) (the “Acquired Funds”) in accordance with the 1940 Act and related rules. Shareholders in the Fund would bear the pro rata portion of the periodic expenses of the Acquired Funds in addition to the Fund’s expenses. At March 31, 2018, the Fund’s pro rata portion of the periodic expenses charged by the Acquired Funds was approximately 1 basis point.

Foreign Currency Translations. 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 current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/(loss) on investments.

Foreign Securities. The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Restricted Securities. The Fund may invest up to 15% of its net assets in securities for which the markets are restricted. Restricted securities include securities whose disposition is subject to substantial legal or contractual restrictions. The sale of restricted securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than the sale of securities eligible for trading on national securities

 

15

GAMCO Natural Resources, Gold & Income Trust

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

 

exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. For the restricted securities the Fund held as of March 31, 2018, refer to the Schedule of Investments.

Tax Information. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.

At December 31, 2017, the Fund had net long term capital loss carryforwards for federal income tax purposes of $95,464,335 which are available to reduce future required distributions of net capital gains to shareholders for an unlimited period. These capital losses will retain their character as long term capital losses.

 

16

GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST

One Corporate Center

Rye, NY 10580-1422

Portfolio Management Team Biographies

Caesar M. P. Bryan joined GAMCO Asset Management in 1994. He is a member of the global investment team of Gabelli Funds, LLC and portfolio manager of several funds within the Gabelli/GAMCO Fund Complex. Prior to joining Gabelli, Mr. Bryan was a portfolio manager at Lexington Management. He began his investment career at Samuel Montagu Company, the London based merchant bank. Mr. Bryan graduated from the University of Southampton in England with a Bachelor of Law and is a member of the English Bar.

Vincent Hugonnard-Roche joined GAMCO Investors, Inc. in 2000. He is Director of Quantitative Strategies, head of the Gabelli Risk Management Group, serves as a portfolio manager of Gabelli Funds, LLC, and manages several funds within the Gabelli/GAMCO Fund Complex. He received a Master’s degree in Mathematics of Decision Making from EISITI, France and an MS in Finance from ESSEC, France.

 

 

 

We have separated the portfolio managers’ commentary from the financial statements and investment portfolio due to corporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that the content of the portfolio managers’ commentary is unrestricted. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabeli.com.

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “Specialized Equity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds section under the heading “Specialized Equity Funds.”

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.

The NASDAQ symbol for the Net Asset Value is “XGNTX.”

 

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may from time to time purchase its common shares in the open market when the Fund’s shares are trading at a discount of 10% or more from the net asset value of the shares. The Fund may also, from time to time, purchase its preferred shares in the open market when the preferred shares are trading at a discount to the liquidation value.

GAMCO NATURAL RESOURCES, GOLD

& INCOME TRUST

One Corporate Center

Rye, NY 10580-1422

 

t

  

800-GABELLI (800-422-3554)

f

  

914-921-5118

e

  

info@gabelli.com

 

GABELLI.COM

 

 

 

TRUSTEES

Anthony J. Colavita

President,

Anthony J. Colavita, P.C.

James P. Conn

Former Managing Director &

Chief Investment Officer,

Financial Security Assurance

Holdings Ltd.

Vincent D. Enright

Former Senior Vice President &

Chief Financial Officer,

KeySpan Corp.

Frank J. Fahrenkopf, Jr.

Former President &

Chief Executive Officer,

American Gaming Association

William F. Heitmann

Former Senior Vice President

of Finance,

Verizon Communications, Inc.

Michael J. Melarkey

Of Counsel,

McDonald Carano Wilson LLP

Kuni Nakamura

President,

Advanced Polymer, Inc.

Anthonie C. van Ekris

Chairman,

BALMAC International, Inc.

Salvatore J. Zizza

Chairman,

Zizza & Associates Corp.

OFFICERS

Bruce N. Alpert

President

John C. Ball

Treasurer

Agnes Mullady

Vice President

Andrea R. Mango

Secretary & Vice President

Richard J. Walz

Chief Compliance Officer

Molly A.F. Marion

Vice President & Ombudsman

David I. Schachter

Vice President & Ombudsman

Carter W. Austin

Vice President

INVESTMENT ADVISER

Gabelli Funds, LLC

One Corporate Center

Rye, New York 10580-1422

CUSTODIAN

The Bank of New York Mellon

COUNSEL

Skadden, Arps, Slate, Meagher &

Flom LLP

TRANSFER AGENT AND

REGISTRAR

American Stock Transfer and

Trust Company

 

 

 

 

 

 

 

GNT Q1/2018

LOGO

 

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)

  

      GAMCO Natural Resources, Gold & Income Trust

   

By (Signature and Title)*

  

      /s/ Bruce N. Alpert

   
 

      Bruce N. Alpert, Principal Executive Officer

   

Date

  

5/24/18

   

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/ Bruce N. Alpert

   
 

      Bruce N. Alpert, Principal Executive Officer

   

Date

  

5/24/18

   

By (Signature and Title)*

  

      /s/ John C. Ball

   
 

      John C. Ball, Principal Financial Officer and Treasurer

   

Date

  

5/24/18

   

* Print the name and title of each signing officer under his or her signature.