The
Funds Chief Executive Officer has certified to the New York Stock Exchange (NYSE) that, as of June 5, 2020, he was not aware of any violation by the Fund of applicable NYSE corporate governance listing standards. The Fund reports to the
SEC on Form N-CSR which contains certifications by the Funds principal executive officer and principal financial officer that relate to the Funds disclosure in such reports and that are required by
Rule 30a-2(a) under the 1940 Act.
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Shares
|
|
|
|
|
Cost
|
|
|
Market
Value
|
|
|
|
|
|
COMMON STOCKS 84.0%
|
|
|
|
|
|
Agriculture 3.6%
|
|
|
52,000
|
|
|
Archer-Daniels-Midland Co.(a)
|
|
$
|
2,599,640
|
|
|
$
|
2,074,800
|
|
|
30,500
|
|
|
Bunge Ltd.(a)
|
|
|
2,448,709
|
|
|
|
1,254,465
|
|
|
74,990
|
|
|
Nutrien Ltd.(a)
|
|
|
5,008,378
|
|
|
|
2,407,179
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,056,727
|
|
|
|
5,736,444
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Energy and Energy Services 14.0%
|
|
|
11,700
|
|
|
Apache Corp.
|
|
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671,976
|
|
|
|
157,950
|
|
|
13,500
|
|
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Baker Hughes Co.
|
|
|
772,010
|
|
|
|
207,765
|
|
|
52,000
|
|
|
BP plc, ADR(a)
|
|
|
2,169,559
|
|
|
|
1,212,640
|
|
|
21,300
|
|
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Cabot Oil & Gas Corp.
|
|
|
548,426
|
|
|
|
365,934
|
|
|
27,300
|
|
|
Chevron Corp.(a)
|
|
|
3,333,963
|
|
|
|
2,435,979
|
|
|
7,400
|
|
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Concho Resources Inc.(a)
|
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857,885
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|
|
381,100
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|
|
16,800
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|
|
ConocoPhillips
|
|
|
826,828
|
|
|
|
705,936
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|
|
13,000
|
|
|
Devon Energy Corp.
|
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465,616
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147,420
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|
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6,000
|
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Diamondback Energy Inc.
|
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490,740
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250,920
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|
|
61,500
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|
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Eni SpA
|
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1,180,863
|
|
|
|
586,616
|
|
|
18,200
|
|
|
EOG Resources Inc.(a)
|
|
|
1,704,255
|
|
|
|
922,012
|
|
|
62,000
|
|
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Exxon Mobil Corp.(a)
|
|
|
5,489,267
|
|
|
|
2,772,640
|
|
|
26,600
|
|
|
Halliburton Co.(a)
|
|
|
1,212,877
|
|
|
|
345,268
|
|
|
5,000
|
|
|
Helmerich & Payne Inc.
|
|
|
379,730
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|
|
|
97,550
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|
|
4,700
|
|
|
Hess Corp.(a)
|
|
|
322,465
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|
|
|
243,507
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|
|
6,500
|
|
|
HollyFrontier Corp.
|
|
|
464,815
|
|
|
|
189,800
|
|
|
69,682
|
|
|
Kinder Morgan Inc.(a)
|
|
|
1,480,835
|
|
|
|
1,057,076
|
|
|
24,895
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|
|
Marathon Petroleum Corp.(a)
|
|
|
1,518,659
|
|
|
|
930,575
|
|
|
7,100
|
|
|
Noble Energy Inc.
|
|
|
258,099
|
|
|
|
63,616
|
|
|
8,098
|
|
|
Occidental Petroleum Corp.(a)
|
|
|
368,071
|
|
|
|
148,193
|
|
|
14,500
|
|
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ONEOK Inc.
|
|
|
1,040,395
|
|
|
|
481,690
|
|
|
15,200
|
|
|
Phillips 66(a)
|
|
|
1,603,064
|
|
|
|
1,092,880
|
|
|
5,100
|
|
|
Pioneer Natural Resources Co.(a)
|
|
|
992,032
|
|
|
|
498,270
|
|
|
150,500
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|
|
Royal Dutch Shell plc, Cl. A
|
|
|
4,432,379
|
|
|
|
2,400,048
|
|
|
51,970
|
|
|
Schlumberger Ltd.(a)
|
|
|
2,812,427
|
|
|
|
955,728
|
|
|
21,000
|
|
|
Suncor Energy Inc.(a)
|
|
|
841,298
|
|
|
|
354,060
|
|
|
15,000
|
|
|
Sunoco LP
|
|
|
280,701
|
|
|
|
342,450
|
|
|
42,200
|
|
|
The Williams Companies Inc.(a)
|
|
|
1,819,630
|
|
|
|
802,644
|
|
|
41,500
|
|
|
TOTAL SA, ADR(a)
|
|
|
2,450,078
|
|
|
|
1,596,090
|
|
|
16,300
|
|
|
Valero Energy Corp.(a)
|
|
|
1,635,503
|
|
|
|
958,766
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
42,424,446
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|
|
22,705,123
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|
|
|
|
|
|
|
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Food and Beverage 2.6%
|
|
|
88,594
|
|
|
Mowi ASA
|
|
|
2,175,026
|
|
|
|
1,681,171
|
|
|
15,000
|
|
|
Pilgrims Pride Corp.
|
|
|
491,025
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|
|
|
253,350
|
|
|
39,000
|
|
|
Tyson Foods Inc., Cl. A(a)
|
|
|
3,491,940
|
|
|
|
2,328,690
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,157,991
|
|
|
|
4,263,211
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|
|
|
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|
|
|
|
|
|
|
|
|
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|
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Health Care 6.5%
|
|
|
12,900
|
|
|
IDEXX Laboratories Inc.(a)
|
|
|
3,786,073
|
|
|
|
4,259,064
|
|
|
46,000
|
|
|
Zoetis Inc.(a)
|
|
|
6,359,532
|
|
|
|
6,303,840
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,145,605
|
|
|
|
10,562,904
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 4.5%
|
|
|
22,500
|
|
|
AGCO Corp.
|
|
|
1,742,679
|
|
|
|
1,247,850
|
|
|
147,000
|
|
|
CNH Industrial NV(a)
|
|
|
1,994,085
|
|
|
|
1,033,410
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Cost
|
|
|
Market
Value
|
|
|
24,300
|
|
|
Deere & Co.(a)
|
|
$
|
4,095,308
|
|
|
$
|
3,818,745
|
|
|
80,000
|
|
|
Kubota Corp.
|
|
|
1,146,326
|
|
|
|
1,191,387
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,978,398
|
|
|
|
7,291,392
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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Metals and Mining 50.7%
|
|
|
70,000
|
|
|
Agnico Eagle Mines Ltd.(a)
|
|
|
4,002,759
|
|
|
|
4,484,200
|
|
|
468,916
|
|
|
Alamos Gold Inc., Cl. A(a)
|
|
|
3,997,013
|
|
|
|
4,398,432
|
|
|
78,000
|
|
|
AngloGold Ashanti Ltd., ADR(a)
|
|
|
1,907,394
|
|
|
|
2,300,220
|
|
|
483,500
|
|
|
B2Gold Corp.
|
|
|
2,131,820
|
|
|
|
2,751,115
|
|
|
280,694
|
|
|
Barrick Gold Corp.(a)
|
|
|
5,493,867
|
|
|
|
7,561,896
|
|
|
475,000
|
|
|
Belo Sun Mining Corp.
|
|
|
360,402
|
|
|
|
290,402
|
|
|
29,000
|
|
|
BHP Group Ltd., ADR(a)
|
|
|
1,543,840
|
|
|
|
1,442,170
|
|
|
875,000
|
|
|
Centamin plc
|
|
|
1,581,172
|
|
|
|
1,988,439
|
|
|
99,000
|
|
|
Centerra Gold Inc.
|
|
|
823,677
|
|
|
|
1,104,781
|
|
|
75,000
|
|
|
Dundee Precious Metals Inc.
|
|
|
331,462
|
|
|
|
493,886
|
|
|
53,000
|
|
|
Eldorado Gold Corp.
|
|
|
478,701
|
|
|
|
514,100
|
|
|
85,000
|
|
|
Endeavour Mining Corp.
|
|
|
1,686,952
|
|
|
|
2,056,755
|
|
|
145,000
|
|
|
Equinox Gold Corp.
|
|
|
1,073,128
|
|
|
|
1,626,900
|
|
|
451,000
|
|
|
Evolution Mining Ltd.
|
|
|
1,229,133
|
|
|
|
1,764,697
|
|
|
100,000
|
|
|
Fortuna Silver Mines Inc.
|
|
|
524,835
|
|
|
|
509,000
|
|
|
41,600
|
|
|
Franco-Nevada Corp.(a)
|
|
|
4,592,883
|
|
|
|
5,809,024
|
|
|
124,274
|
|
|
Fresnillo plc
|
|
|
2,487,621
|
|
|
|
1,295,650
|
|
|
748,733
|
|
|
Gold Road Resources Ltd.
|
|
|
742,330
|
|
|
|
862,887
|
|
|
221,124
|
|
|
Harmony Gold Mining Co. Ltd., ADR
|
|
|
784,699
|
|
|
|
922,087
|
|
|
481,500
|
|
|
Hochschild Mining plc
|
|
|
1,654,915
|
|
|
|
1,158,645
|
|
|
53,500
|
|
|
Kinross Gold Corp.
|
|
|
371,108
|
|
|
|
386,270
|
|
|
145,126
|
|
|
Kirkland Lake Gold Ltd.(a)
|
|
|
6,017,599
|
|
|
|
5,984,996
|
|
|
10,000
|
|
|
Labrador Iron Ore Royalty Corp.
|
|
|
182,294
|
|
|
|
178,771
|
|
|
68,000
|
|
|
MAG Silver Corp.
|
|
|
805,998
|
|
|
|
958,800
|
|
|
180,952
|
|
|
Newcrest Mining Ltd.
|
|
|
3,798,705
|
|
|
|
3,937,295
|
|
|
75,156
|
|
|
Newmont Corp.(a)
|
|
|
3,431,714
|
|
|
|
4,640,132
|
|
|
67,085
|
|
|
Northern Dynasty Minerals Ltd.
|
|
|
142,578
|
|
|
|
95,932
|
|
|
309,357
|
|
|
Northern Star Resources Ltd.
|
|
|
2,227,879
|
|
|
|
2,852,181
|
|
|
359,975
|
|
|
OceanaGold Corp.
|
|
|
1,294,575
|
|
|
|
837,891
|
|
|
98,700
|
|
|
Osisko Gold Royalties Ltd.
|
|
|
1,300,031
|
|
|
|
985,837
|
|
|
29,100
|
|
|
Pan American Silver Corp.
|
|
|
1,584,272
|
|
|
|
884,349
|
|
|
600,000
|
|
|
Perseus Mining Ltd.
|
|
|
1,878,228
|
|
|
|
542,417
|
|
|
126,000
|
|
|
Pretium Resources Inc.
|
|
|
1,283,427
|
|
|
|
1,058,400
|
|
|
51,000
|
|
|
Rio Tinto plc, ADR(a)
|
|
|
3,061,781
|
|
|
|
2,865,180
|
|
|
13,900
|
|
|
Royal Gold Inc.(a)
|
|
|
1,592,242
|
|
|
|
1,728,048
|
|
|
403,000
|
|
|
Saracen Mineral Holdings Ltd.
|
|
|
864,312
|
|
|
|
1,507,353
|
|
|
116,000
|
|
|
SEMAFO Inc.
|
|
|
342,575
|
|
|
|
395,610
|
|
|
102,000
|
|
|
SSR Mining Inc.
|
|
|
1,601,276
|
|
|
|
2,175,660
|
|
|
66,000
|
|
|
Teranga Gold Corp.
|
|
|
430,354
|
|
|
|
597,967
|
|
|
42,500
|
|
|
Torex Gold Resources Inc.
|
|
|
850,703
|
|
|
|
669,619
|
|
|
10
|
|
|
Westgold Resources Ltd.
|
|
|
14
|
|
|
|
15
|
|
|
120,750
|
|
|
Wheaton Precious Metals Corp.(a)
|
|
|
3,924,633
|
|
|
|
5,319,038
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74,414,901
|
|
|
|
81,937,047
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Chemicals 2.1%
|
|
|
26,000
|
|
|
CF Industries Holdings Inc.(a)
|
|
|
1,396,966
|
|
|
|
731,640
|
|
4
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) June 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Cost
|
|
|
Market
Value
|
|
|
|
|
|
COMMON STOCKS (Continued)
|
|
|
|
|
|
|
|
|
|
Specialty Chemicals (Continued)
|
|
|
|
|
|
|
20,000
|
|
|
FMC Corp.(a)
|
|
$
|
1,970,200
|
|
|
$
|
1,992,400
|
|
|
58,500
|
|
|
The Mosaic Co.(a)
|
|
|
2,896,352
|
|
|
|
731,835
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,263,518
|
|
|
|
3,455,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
|
|
|
158,441,586
|
|
|
|
135,951,996
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RIGHTS 0.1%
|
|
|
|
|
|
Metals and Mining 0.1%
|
|
|
90,000
|
|
|
Pan American Silver Corp., CVR
|
|
|
20,700
|
|
|
|
61,740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE CORPORATE BONDS 0.5%
|
|
|
|
|
|
Metals and Mining 0.5%
|
|
|
|
|
|
|
$ 200,000
|
|
|
Fortuna Silver Mines Inc.
4.650%, 10/31/24
|
|
|
200,000
|
|
|
|
223,620
|
|
|
350,000
|
|
|
Osisko Gold Royalties Ltd.
4.000%, 12/31/22
|
|
|
273,022
|
|
|
|
261,456
|
|
|
350,000
|
|
|
Pretium Resources Inc.
2.250%, 03/15/22
|
|
|
350,000
|
|
|
|
325,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
823,022
|
|
|
|
810,401
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE CORPORATE BONDS
|
|
|
823,022
|
|
|
|
810,401
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT OBLIGATIONS 15.4%
|
|
|
24,960,000
|
|
|
U.S. Treasury Bills,
0.050% to 1.429%, 07/23/20 to 11/19/20(b)
|
|
|
24,939,470
|
|
|
|
24,952,018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS BEFORE
OPTIONS WRITTEN 100.0%
|
|
$
|
184,224,778
|
|
|
|
161,776,155
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OPTIONS WRITTEN (8.8)%
(Premiums received $9,779,777)
|
|
|
|
(14,282,198
|
)
|
|
|
|
|
Other Assets and Liabilities (Net)
|
|
|
|
|
|
|
(1,035,440
|
)
|
|
|
|
PREFERRED SHARES
(1,170,102 preferred shares outstanding)
|
|
|
|
(29,252,550
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS COMMON SHARES
(20,801,934 common shares
outstanding)
|
|
|
$
|
117,205,967
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSET VALUE PER COMMON SHARE
($117,205,967 ÷ 20,801,934 shares
outstanding)
|
|
|
$
|
5.63
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Securities, or a portion thereof, with a value of $68,188,050 were deposited with the broker as collateral for options
written.
|
(b)
|
At June 30, 2020, $17,200,000 of the principal amount was pledged as collateral for options written.
|
|
Non-income producing security.
|
|
Represents annualized yields at dates of purchase.
|
ADR
|
American Depositary Receipt
|
CVR
|
Contingent Value Right
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Geographic Diversification
|
|
% of Total
Investments*
|
|
|
Market
Value
|
|
Long Positions
|
|
|
|
|
|
|
|
|
|
|
|
|
North America
|
|
|
|
|
|
|
77.7
|
%
|
|
$
|
125,740,911
|
|
Asia/Pacific
|
|
|
|
|
|
|
8.5
|
|
|
|
13,746,906
|
|
Europe
|
|
|
|
|
|
|
8.3
|
|
|
|
13,363,594
|
|
Latin America
|
|
|
|
|
|
|
2.8
|
|
|
|
4,511,050
|
|
South Africa
|
|
|
|
|
|
|
2.0
|
|
|
|
3,222,307
|
|
Japan
|
|
|
|
|
|
|
0.7
|
|
|
|
1,191,387
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Long Positions
|
|
|
|
|
|
|
100.0
|
%
|
|
$
|
161,776,155
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Positions
|
|
|
|
|
|
|
|
|
|
|
|
|
North America
|
|
|
|
|
|
|
(8.6
|
)%
|
|
$
|
(13,850,650
|
)
|
Europe
|
|
|
|
|
|
|
(0.1
|
)
|
|
|
(169,970
|
)
|
Japan
|
|
|
|
|
|
|
(0.1
|
)
|
|
|
(143,409
|
)
|
Asia/Pacific
|
|
|
|
|
|
|
(0.0
|
)**
|
|
|
(118,169
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Short Positions
|
|
|
|
|
|
|
(8.8
|
)%
|
|
$
|
(14,282,198
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Total investments exclude options written.
|
**
|
Amount represents greater than (0.05)%.
|
5
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) June 30, 2020 (Unaudited)
As of June 30, 2020, options written outstanding were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Market
Value
|
|
|
|
OTC Call Options Written (5.6)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AGCO Corp.
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
554,600
|
|
|
|
USD
|
|
|
|
55.00
|
|
|
|
08/21/20
|
|
|
$
|
45,864
|
|
AGCO Corp.
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
277,300
|
|
|
|
USD
|
|
|
|
65.00
|
|
|
|
12/18/20
|
|
|
|
16,635
|
|
Agnico Eagle Mines Ltd.
|
|
Pershing LLC
|
|
|
162
|
|
|
|
USD
|
|
|
|
1,037,772
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
10/16/20
|
|
|
|
66,349
|
|
Agnico Eagle Mines Ltd.
|
|
Pershing LLC
|
|
|
215
|
|
|
|
USD
|
|
|
|
1,377,290
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
01/15/21
|
|
|
|
128,010
|
|
Alamos Gold Inc., Cl. A
|
|
Pershing LLC
|
|
|
1,500
|
|
|
|
USD
|
|
|
|
1,407,000
|
|
|
|
USD
|
|
|
|
7.00
|
|
|
|
10/16/20
|
|
|
|
398,353
|
|
Alamos Gold Inc., Cl. A
|
|
Pershing LLC
|
|
|
1,600
|
|
|
|
USD
|
|
|
|
1,500,800
|
|
|
|
USD
|
|
|
|
10.00
|
|
|
|
12/18/20
|
|
|
|
200,592
|
|
AngloGold Ashanti Ltd., ADR
|
|
Pershing LLC
|
|
|
200
|
|
|
|
USD
|
|
|
|
589,800
|
|
|
|
USD
|
|
|
|
32.00
|
|
|
|
12/18/20
|
|
|
|
75,133
|
|
Apache Corp.
|
|
Pershing LLC
|
|
|
60
|
|
|
|
USD
|
|
|
|
81,000
|
|
|
|
USD
|
|
|
|
27.50
|
|
|
|
10/16/20
|
|
|
|
1,726
|
|
Apache Corp.
|
|
Pershing LLC
|
|
|
39
|
|
|
|
USD
|
|
|
|
52,650
|
|
|
|
USD
|
|
|
|
12.50
|
|
|
|
01/15/21
|
|
|
|
15,942
|
|
Archer-Daniels-Midland Co.
|
|
Pershing LLC
|
|
|
270
|
|
|
|
USD
|
|
|
|
1,077,300
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
10/16/20
|
|
|
|
68,746
|
|
Archer-Daniels-Midland Co.
|
|
Pershing LLC
|
|
|
250
|
|
|
|
USD
|
|
|
|
997,500
|
|
|
|
USD
|
|
|
|
42.00
|
|
|
|
12/18/20
|
|
|
|
55,874
|
|
B2Gold Corp.
|
|
Pershing LLC
|
|
|
1,700
|
|
|
|
USD
|
|
|
|
967,300
|
|
|
|
USD
|
|
|
|
5.00
|
|
|
|
07/17/20
|
|
|
|
132,453
|
|
B2Gold Corp.
|
|
Pershing LLC
|
|
|
2,500
|
|
|
|
USD
|
|
|
|
1,422,500
|
|
|
|
USD
|
|
|
|
4.50
|
|
|
|
11/20/20
|
|
|
|
379,769
|
|
B2Gold Corp.
|
|
Pershing LLC
|
|
|
400
|
|
|
|
USD
|
|
|
|
227,600
|
|
|
|
USD
|
|
|
|
5.50
|
|
|
|
04/16/21
|
|
|
|
55,817
|
|
Baker Hughes Co.
|
|
Pershing LLC
|
|
|
70
|
|
|
|
USD
|
|
|
|
107,730
|
|
|
|
USD
|
|
|
|
21.00
|
|
|
|
07/17/20
|
|
|
|
136
|
|
Baker Hughes Co.
|
|
Pershing LLC
|
|
|
65
|
|
|
|
USD
|
|
|
|
100,035
|
|
|
|
USD
|
|
|
|
15.00
|
|
|
|
12/18/20
|
|
|
|
16,241
|
|
Barrick Gold Corp.
|
|
Pershing LLC
|
|
|
505
|
|
|
|
USD
|
|
|
|
1,360,470
|
|
|
|
USD
|
|
|
|
21.00
|
|
|
|
10/16/20
|
|
|
|
324,346
|
|
Barrick Gold Corp.
|
|
Pershing LLC
|
|
|
504
|
|
|
|
USD
|
|
|
|
1,357,776
|
|
|
|
USD
|
|
|
|
22.00
|
|
|
|
10/16/20
|
|
|
|
283,874
|
|
Barrick Gold Corp.
|
|
Pershing LLC
|
|
|
560
|
|
|
|
USD
|
|
|
|
1,508,640
|
|
|
|
USD
|
|
|
|
24.00
|
|
|
|
11/20/20
|
|
|
|
255,833
|
|
Barrick Gold Corp.
|
|
Pershing LLC
|
|
|
550
|
|
|
|
USD
|
|
|
|
1,481,700
|
|
|
|
USD
|
|
|
|
26.00
|
|
|
|
12/18/20
|
|
|
|
206,653
|
|
Barrick Gold Corp.
|
|
Pershing LLC
|
|
|
550
|
|
|
|
USD
|
|
|
|
1,481,700
|
|
|
|
USD
|
|
|
|
28.00
|
|
|
|
12/18/20
|
|
|
|
163,261
|
|
BHP Group Ltd., ADR
|
|
Pershing LLC
|
|
|
90
|
|
|
|
USD
|
|
|
|
447,570
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
11/20/20
|
|
|
|
58,606
|
|
BHP Group Ltd., ADR
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
497,300
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
12/18/20
|
|
|
|
68,783
|
|
BHP Group Ltd., ADR
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
497,300
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
01/15/21
|
|
|
|
72,008
|
|
BP plc, ADR
|
|
Pershing LLC
|
|
|
140
|
|
|
|
USD
|
|
|
|
326,480
|
|
|
|
USD
|
|
|
|
24.00
|
|
|
|
07/17/20
|
|
|
|
7,411
|
|
BP plc, ADR
|
|
Pershing LLC
|
|
|
140
|
|
|
|
USD
|
|
|
|
326,480
|
|
|
|
USD
|
|
|
|
27.00
|
|
|
|
11/20/20
|
|
|
|
12,753
|
|
BP plc, ADR
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
233,200
|
|
|
|
USD
|
|
|
|
26.50
|
|
|
|
12/18/20
|
|
|
|
11,803
|
|
BP plc, ADR
|
|
Pershing LLC
|
|
|
140
|
|
|
|
USD
|
|
|
|
326,480
|
|
|
|
USD
|
|
|
|
30.00
|
|
|
|
12/18/20
|
|
|
|
7,620
|
|
Bunge Ltd.
|
|
Pershing LLC
|
|
|
150
|
|
|
|
USD
|
|
|
|
616,950
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
10/16/20
|
|
|
|
32,495
|
|
Bunge Ltd.
|
|
Pershing LLC
|
|
|
150
|
|
|
|
USD
|
|
|
|
616,950
|
|
|
|
USD
|
|
|
|
47.50
|
|
|
|
12/18/20
|
|
|
|
33,646
|
|
Cabot Oil & Gas Corp.
|
|
Pershing LLC
|
|
|
80
|
|
|
|
USD
|
|
|
|
137,440
|
|
|
|
USD
|
|
|
|
16.00
|
|
|
|
08/21/20
|
|
|
|
15,456
|
|
Cabot Oil & Gas Corp.
|
|
Pershing LLC
|
|
|
80
|
|
|
|
USD
|
|
|
|
137,440
|
|
|
|
USD
|
|
|
|
21.00
|
|
|
|
10/16/20
|
|
|
|
3,724
|
|
CF Industries Holdings Inc.
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
281,400
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
11/20/20
|
|
|
|
10,061
|
|
CF Industries Holdings Inc.
|
|
Pershing LLC
|
|
|
130
|
|
|
|
USD
|
|
|
|
365,820
|
|
|
|
USD
|
|
|
|
30.00
|
|
|
|
12/18/20
|
|
|
|
35,687
|
|
Chevron Corp.
|
|
Pershing LLC
|
|
|
80
|
|
|
|
USD
|
|
|
|
713,840
|
|
|
|
USD
|
|
|
|
75.00
|
|
|
|
10/16/20
|
|
|
|
129,692
|
|
6
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) June 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Market
Value
|
|
|
|
Chevron Corp.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
356,920
|
|
|
|
USD
|
|
|
|
92.50
|
|
|
|
01/15/21
|
|
|
$
|
30,027
|
|
Chevron Corp.
|
|
Pershing LLC
|
|
|
73
|
|
|
|
USD
|
|
|
|
651,379
|
|
|
|
USD
|
|
|
|
105.00
|
|
|
|
01/15/21
|
|
|
|
25,629
|
|
Cimarex Energy Co.
|
|
Pershing LLC
|
|
|
15
|
|
|
|
USD
|
|
|
|
41,235
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
09/18/20
|
|
|
|
837
|
|
CNH Industrial NV
|
|
Pershing LLC
|
|
|
490
|
|
|
|
USD
|
|
|
|
344,470
|
|
|
|
USD
|
|
|
|
7.50
|
|
|
|
11/20/20
|
|
|
|
40,351
|
|
CNH Industrial NV
|
|
Pershing LLC
|
|
|
490
|
|
|
|
USD
|
|
|
|
344,470
|
|
|
|
USD
|
|
|
|
8.50
|
|
|
|
12/18/20
|
|
|
|
29,749
|
|
Concho Resources Inc.
|
|
Pershing LLC
|
|
|
20
|
|
|
|
USD
|
|
|
|
103,000
|
|
|
|
USD
|
|
|
|
65.00
|
|
|
|
11/20/20
|
|
|
|
5,759
|
|
Concho Resources Inc.
|
|
Pershing LLC
|
|
|
20
|
|
|
|
USD
|
|
|
|
103,000
|
|
|
|
USD
|
|
|
|
65.00
|
|
|
|
01/15/21
|
|
|
|
7,889
|
|
ConocoPhillips
|
|
Pershing LLC
|
|
|
45
|
|
|
|
USD
|
|
|
|
189,090
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
10/16/20
|
|
|
|
38,560
|
|
ConocoPhillips
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
210,100
|
|
|
|
USD
|
|
|
|
37.50
|
|
|
|
11/20/20
|
|
|
|
37,645
|
|
ConocoPhillips
|
|
Pershing LLC
|
|
|
18
|
|
|
|
USD
|
|
|
|
75,636
|
|
|
|
USD
|
|
|
|
48.00
|
|
|
|
12/18/20
|
|
|
|
5,447
|
|
Deere & Co.
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
785,750
|
|
|
|
USD
|
|
|
|
155.00
|
|
|
|
09/18/20
|
|
|
|
62,190
|
|
Deere & Co.
|
|
Pershing LLC
|
|
|
85
|
|
|
|
USD
|
|
|
|
1,335,775
|
|
|
|
USD
|
|
|
|
150.00
|
|
|
|
12/18/20
|
|
|
|
173,878
|
|
Devon Energy Corp.
|
|
Pershing LLC
|
|
|
60
|
|
|
|
USD
|
|
|
|
68,040
|
|
|
|
USD
|
|
|
|
26.00
|
|
|
|
07/17/20
|
|
|
|
1
|
|
Diamondback Energy Inc.
|
|
Pershing LLC
|
|
|
20
|
|
|
|
USD
|
|
|
|
83,640
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
12/18/20
|
|
|
|
18,293
|
|
Diamondback Energy Inc.
|
|
Pershing LLC
|
|
|
20
|
|
|
|
USD
|
|
|
|
83,640
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
01/15/21
|
|
|
|
4,483
|
|
Eni SpA
|
|
Morgan Stanley
|
|
|
40
|
|
|
|
EUR
|
|
|
|
169,800
|
|
|
|
EUR
|
|
|
|
9.00
|
|
|
|
10/16/20
|
|
|
|
5,446
|
|
EOG Resources Inc.
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
253,300
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
10/16/20
|
|
|
|
43,871
|
|
EOG Resources Inc.
|
|
Pershing LLC
|
|
|
60
|
|
|
|
USD
|
|
|
|
303,960
|
|
|
|
USD
|
|
|
|
60.00
|
|
|
|
11/20/20
|
|
|
|
18,737
|
|
EOG Resources Inc.
|
|
Pershing LLC
|
|
|
55
|
|
|
|
USD
|
|
|
|
278,630
|
|
|
|
USD
|
|
|
|
57.50
|
|
|
|
12/18/20
|
|
|
|
24,517
|
|
Equinox Gold Corp.
|
|
Pershing LLC
|
|
|
480
|
|
|
|
USD
|
|
|
|
538,560
|
|
|
|
USD
|
|
|
|
12.50
|
|
|
|
11/20/20
|
|
|
|
54,952
|
|
Equinox Gold Corp.
|
|
Pershing LLC
|
|
|
485
|
|
|
|
USD
|
|
|
|
544,170
|
|
|
|
USD
|
|
|
|
12.00
|
|
|
|
12/18/20
|
|
|
|
70,724
|
|
Exxon Mobil Corp.
|
|
Pershing LLC
|
|
|
196
|
|
|
|
USD
|
|
|
|
876,512
|
|
|
|
USD
|
|
|
|
46.50
|
|
|
|
09/18/20
|
|
|
|
45,856
|
|
Exxon Mobil Corp.
|
|
Pershing LLC
|
|
|
202
|
|
|
|
USD
|
|
|
|
903,344
|
|
|
|
USD
|
|
|
|
50.00
|
|
|
|
10/16/20
|
|
|
|
34,404
|
|
Exxon Mobil Corp.
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
447,200
|
|
|
|
USD
|
|
|
|
48.00
|
|
|
|
11/20/20
|
|
|
|
24,341
|
|
Exxon Mobil Corp.
|
|
Pershing LLC
|
|
|
107
|
|
|
|
USD
|
|
|
|
478,504
|
|
|
|
USD
|
|
|
|
55.00
|
|
|
|
12/18/20
|
|
|
|
12,559
|
|
Exxon Mobil Corp.
|
|
Pershing LLC
|
|
|
15
|
|
|
|
USD
|
|
|
|
67,080
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
05/21/21
|
|
|
|
6,793
|
|
FMC Corp.
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
996,200
|
|
|
|
USD
|
|
|
|
92.50
|
|
|
|
10/16/20
|
|
|
|
124,896
|
|
FMC Corp.
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
996,200
|
|
|
|
USD
|
|
|
|
95.00
|
|
|
|
12/18/20
|
|
|
|
130,558
|
|
Franco-Nevada Corp.
|
|
Pershing LLC
|
|
|
132
|
|
|
|
USD
|
|
|
|
1,843,248
|
|
|
|
USD
|
|
|
|
150.00
|
|
|
|
11/20/20
|
|
|
|
142,630
|
|
Franco-Nevada Corp.
|
|
Pershing LLC
|
|
|
180
|
|
|
|
USD
|
|
|
|
2,513,520
|
|
|
|
USD
|
|
|
|
145.00
|
|
|
|
12/18/20
|
|
|
|
247,942
|
|
Halliburton Co.
|
|
Pershing LLC
|
|
|
75
|
|
|
|
USD
|
|
|
|
97,350
|
|
|
|
USD
|
|
|
|
10.00
|
|
|
|
10/16/20
|
|
|
|
28,589
|
|
Halliburton Co.
|
|
Pershing LLC
|
|
|
101
|
|
|
|
USD
|
|
|
|
131,098
|
|
|
|
USD
|
|
|
|
12.00
|
|
|
|
12/18/20
|
|
|
|
29,392
|
|
Halliburton Co.
|
|
Pershing LLC
|
|
|
90
|
|
|
|
USD
|
|
|
|
116,820
|
|
|
|
USD
|
|
|
|
15.00
|
|
|
|
01/15/21
|
|
|
|
15,620
|
|
Helmerich & Payne Inc.
|
|
Pershing LLC
|
|
|
23
|
|
|
|
USD
|
|
|
|
44,873
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
12/18/20
|
|
|
|
1,037
|
|
Hess Corp.
|
|
Pershing LLC
|
|
|
23
|
|
|
|
USD
|
|
|
|
119,163
|
|
|
|
USD
|
|
|
|
65.00
|
|
|
|
12/18/20
|
|
|
|
7,920
|
|
Hess Corp.
|
|
Pershing LLC
|
|
|
24
|
|
|
|
USD
|
|
|
|
124,344
|
|
|
|
USD
|
|
|
|
60.00
|
|
|
|
01/15/21
|
|
|
|
13,142
|
|
HollyFrontier Corp.
|
|
Pershing LLC
|
|
|
22
|
|
|
|
USD
|
|
|
|
64,240
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
11/20/20
|
|
|
|
4,717
|
|
HollyFrontier Corp.
|
|
Pershing LLC
|
|
|
22
|
|
|
|
USD
|
|
|
|
64,240
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
12/18/20
|
|
|
|
2,534
|
|
IDEXX Laboratories Inc.
|
|
Pershing LLC
|
|
|
45
|
|
|
|
USD
|
|
|
|
1,485,720
|
|
|
|
USD
|
|
|
|
280.00
|
|
|
|
12/18/20
|
|
|
|
288,093
|
|
Kinder Morgan Inc.
|
|
Pershing LLC
|
|
|
190
|
|
|
|
USD
|
|
|
|
288,230
|
|
|
|
USD
|
|
|
|
17.00
|
|
|
|
11/20/20
|
|
|
|
10,113
|
|
Kinder Morgan Inc.
|
|
Pershing LLC
|
|
|
235
|
|
|
|
USD
|
|
|
|
356,495
|
|
|
|
USD
|
|
|
|
19.00
|
|
|
|
12/18/20
|
|
|
|
5,878
|
|
Kinder Morgan Inc.
|
|
Pershing LLC
|
|
|
180
|
|
|
|
USD
|
|
|
|
273,060
|
|
|
|
USD
|
|
|
|
17.00
|
|
|
|
01/15/21
|
|
|
|
14,189
|
|
Kirkland Lake Gold Ltd.
|
|
Pershing LLC
|
|
|
247
|
|
|
|
USD
|
|
|
|
1,018,628
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
09/18/20
|
|
|
|
65,314
|
|
7
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) June 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Market
Value
|
|
|
|
Kirkland Lake Gold Ltd.
|
|
Pershing LLC
|
|
|
432
|
|
|
|
USD
|
|
|
|
1,781,568
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
11/20/20
|
|
|
$
|
171,901
|
|
Kirkland Lake Gold Ltd.
|
|
Pershing LLC
|
|
|
247
|
|
|
|
USD
|
|
|
|
1,018,628
|
|
|
|
USD
|
|
|
|
47.00
|
|
|
|
03/19/21
|
|
|
|
132,147
|
|
Kubota Corp.
|
|
Pershing LLC
|
|
|
800
|
|
|
|
JPY
|
|
|
|
128,640,000
|
|
|
|
JPY
|
|
|
|
1,525.00
|
|
|
|
12/18/20
|
|
|
|
143,409
|
|
Marathon Oil Corp.
|
|
Pershing LLC
|
|
|
132
|
|
|
|
USD
|
|
|
|
80,784
|
|
|
|
USD
|
|
|
|
8.00
|
|
|
|
12/18/20
|
|
|
|
10,789
|
|
Marathon Petroleum Corp.
|
|
Pershing LLC
|
|
|
62
|
|
|
|
USD
|
|
|
|
231,756
|
|
|
|
USD
|
|
|
|
42.50
|
|
|
|
11/20/20
|
|
|
|
19,618
|
|
Marathon Petroleum Corp.
|
|
Pershing LLC
|
|
|
67
|
|
|
|
USD
|
|
|
|
250,446
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
12/18/20
|
|
|
|
29,831
|
|
Marathon Petroleum Corp.
|
|
Pershing LLC
|
|
|
60
|
|
|
|
USD
|
|
|
|
224,280
|
|
|
|
USD
|
|
|
|
52.50
|
|
|
|
01/15/21
|
|
|
|
9,211
|
|
Mowi ASA
|
|
Morgan Stanley
|
|
|
30,000
|
|
|
|
NOK
|
|
|
|
5,479,500
|
|
|
|
NOK
|
|
|
|
167.50
|
|
|
|
07/17/20
|
|
|
|
49,892
|
|
Mowi ASA
|
|
Morgan Stanley
|
|
|
50,000
|
|
|
|
NOK
|
|
|
|
9,132,500
|
|
|
|
NOK
|
|
|
|
200.00
|
|
|
|
12/18/20
|
|
|
|
36,435
|
|
Newcrest Mining Ltd.
|
|
Morgan Stanley
|
|
|
550
|
|
|
|
AUD
|
|
|
|
1,734,150
|
|
|
|
AUD
|
|
|
|
33.00
|
|
|
|
08/21/20
|
|
|
|
48,981
|
|
Newcrest Mining Ltd.
|
|
Morgan Stanley
|
|
|
600
|
|
|
|
AUD
|
|
|
|
1,891,800
|
|
|
|
AUD
|
|
|
|
34.00
|
|
|
|
10/16/20
|
|
|
|
69,188
|
|
Newmont Corp.
|
|
Pershing LLC
|
|
|
30
|
|
|
|
USD
|
|
|
|
185,220
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
09/18/20
|
|
|
|
6,524
|
|
Newmont Corp.
|
|
Pershing LLC
|
|
|
225
|
|
|
|
USD
|
|
|
|
1,389,150
|
|
|
|
USD
|
|
|
|
50.00
|
|
|
|
10/16/20
|
|
|
|
291,125
|
|
Newmont Corp.
|
|
Pershing LLC
|
|
|
225
|
|
|
|
USD
|
|
|
|
1,389,150
|
|
|
|
USD
|
|
|
|
65.00
|
|
|
|
11/20/20
|
|
|
|
119,000
|
|
Noble Energy Inc.
|
|
Pershing LLC
|
|
|
30
|
|
|
|
USD
|
|
|
|
26,880
|
|
|
|
USD
|
|
|
|
20.00
|
|
|
|
08/21/20
|
|
|
|
204
|
|
Nutrien Ltd.
|
|
Pershing LLC
|
|
|
250
|
|
|
|
USD
|
|
|
|
802,500
|
|
|
|
USD
|
|
|
|
37.00
|
|
|
|
10/16/20
|
|
|
|
26,830
|
|
Nutrien Ltd.
|
|
Pershing LLC
|
|
|
250
|
|
|
|
USD
|
|
|
|
802,500
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
11/20/20
|
|
|
|
48,739
|
|
Nutrien Ltd.
|
|
Pershing LLC
|
|
|
250
|
|
|
|
USD
|
|
|
|
802,500
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
12/18/20
|
|
|
|
18,321
|
|
Occidental Petroleum Corp.
|
|
Pershing LLC
|
|
|
41
|
|
|
|
USD
|
|
|
|
75,030
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
07/17/20
|
|
|
|
1
|
|
Occidental Petroleum Corp.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
73,200
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
09/18/20
|
|
|
|
729
|
|
ONEOK Inc.
|
|
Pershing LLC
|
|
|
65
|
|
|
|
USD
|
|
|
|
215,930
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
07/17/20
|
|
|
|
0
|
|
ONEOK Inc.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
132,880
|
|
|
|
USD
|
|
|
|
27.50
|
|
|
|
10/16/20
|
|
|
|
28,498
|
|
ONEOK Inc.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
132,880
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
12/18/20
|
|
|
|
9,117
|
|
Pan American Silver Corp.
|
|
Pershing LLC
|
|
|
146
|
|
|
|
USD
|
|
|
|
443,694
|
|
|
|
USD
|
|
|
|
28.00
|
|
|
|
03/19/21
|
|
|
|
100,539
|
|
Phillips 66
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
287,600
|
|
|
|
USD
|
|
|
|
67.50
|
|
|
|
08/21/20
|
|
|
|
28,412
|
|
Phillips 66
|
|
Pershing LLC
|
|
|
42
|
|
|
|
USD
|
|
|
|
301,980
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
11/20/20
|
|
|
|
35,360
|
|
Phillips 66
|
|
Pershing LLC
|
|
|
35
|
|
|
|
USD
|
|
|
|
251,650
|
|
|
|
USD
|
|
|
|
85.00
|
|
|
|
12/18/20
|
|
|
|
12,280
|
|
Phillips 66
|
|
Pershing LLC
|
|
|
35
|
|
|
|
USD
|
|
|
|
251,650
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
01/15/21
|
|
|
|
33,691
|
|
Pilgrims Pride Corp.
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
84,450
|
|
|
|
USD
|
|
|
|
22.00
|
|
|
|
11/20/20
|
|
|
|
2,682
|
|
Pioneer Natural Resources Co.
|
|
Pershing LLC
|
|
|
18
|
|
|
|
USD
|
|
|
|
175,860
|
|
|
|
USD
|
|
|
|
144.00
|
|
|
|
07/17/20
|
|
|
|
5
|
|
Rio Tinto plc, ADR
|
|
Pershing LLC
|
|
|
170
|
|
|
|
USD
|
|
|
|
955,060
|
|
|
|
USD
|
|
|
|
50.00
|
|
|
|
10/16/20
|
|
|
|
119,506
|
|
Rio Tinto plc, ADR
|
|
Pershing LLC
|
|
|
170
|
|
|
|
USD
|
|
|
|
955,060
|
|
|
|
USD
|
|
|
|
50.00
|
|
|
|
12/18/20
|
|
|
|
134,042
|
|
Rio Tinto plc, ADR
|
|
Pershing LLC
|
|
|
170
|
|
|
|
USD
|
|
|
|
955,060
|
|
|
|
USD
|
|
|
|
58.00
|
|
|
|
01/15/21
|
|
|
|
71,285
|
|
Royal Dutch Shell plc, Cl. A
|
|
The Goldman Sachs Group Inc.
|
|
|
37
|
|
|
|
GBP
|
|
|
|
476,190
|
|
|
|
GBp
|
|
|
|
1,300.00
|
|
|
|
09/18/20
|
|
|
|
38,974
|
|
8
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) June 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Market
Value
|
|
|
|
Royal Dutch Shell plc, Cl. A
|
|
Morgan Stanley
|
|
|
30
|
|
|
|
GBP
|
|
|
|
386,100
|
|
|
|
GBp
|
|
|
|
1,500.00
|
|
|
|
12/18/20
|
|
|
$
|
18,207
|
|
Royal Dutch Shell plc, Cl. A
|
|
The Goldman Sachs Group Inc.
|
|
|
10
|
|
|
|
GBP
|
|
|
|
128,700
|
|
|
|
GBp
|
|
|
|
1,600.00
|
|
|
|
12/18/20
|
|
|
|
3,664
|
|
Royal Dutch Shell plc, Cl. A
|
|
Morgan Stanley
|
|
|
40
|
|
|
|
GBP
|
|
|
|
514,800
|
|
|
|
GBp
|
|
|
|
1,600.00
|
|
|
|
01/15/21
|
|
|
|
17,352
|
|
Royal Gold Inc.
|
|
Pershing LLC
|
|
|
30
|
|
|
|
USD
|
|
|
|
372,960
|
|
|
|
USD
|
|
|
|
105.00
|
|
|
|
07/17/20
|
|
|
|
56,155
|
|
Royal Gold Inc.
|
|
Pershing LLC
|
|
|
54
|
|
|
|
USD
|
|
|
|
671,328
|
|
|
|
USD
|
|
|
|
115.00
|
|
|
|
09/18/20
|
|
|
|
80,535
|
|
Royal Gold Inc.
|
|
Pershing LLC
|
|
|
55
|
|
|
|
USD
|
|
|
|
683,760
|
|
|
|
USD
|
|
|
|
115.00
|
|
|
|
12/18/20
|
|
|
|
105,884
|
|
Schlumberger Ltd.
|
|
Pershing LLC
|
|
|
100
|
|
|
|
USD
|
|
|
|
183,900
|
|
|
|
USD
|
|
|
|
20.00
|
|
|
|
10/16/20
|
|
|
|
19,025
|
|
Schlumberger Ltd.
|
|
Pershing LLC
|
|
|
130
|
|
|
|
USD
|
|
|
|
239,070
|
|
|
|
USD
|
|
|
|
30.00
|
|
|
|
11/20/20
|
|
|
|
4,545
|
|
Schlumberger Ltd.
|
|
Pershing LLC
|
|
|
90
|
|
|
|
USD
|
|
|
|
165,510
|
|
|
|
USD
|
|
|
|
18.00
|
|
|
|
12/18/20
|
|
|
|
29,382
|
|
Schlumberger Ltd.
|
|
Pershing LLC
|
|
|
200
|
|
|
|
USD
|
|
|
|
367,800
|
|
|
|
USD
|
|
|
|
20.00
|
|
|
|
01/15/21
|
|
|
|
52,016
|
|
SSR Mining Inc.
|
|
Pershing LLC
|
|
|
340
|
|
|
|
USD
|
|
|
|
725,220
|
|
|
|
USD
|
|
|
|
23.00
|
|
|
|
10/16/20
|
|
|
|
70,050
|
|
Suncor Energy Inc.
|
|
Pershing LLC
|
|
|
75
|
|
|
|
USD
|
|
|
|
126,450
|
|
|
|
USD
|
|
|
|
25.00
|
|
|
|
12/18/20
|
|
|
|
1,883
|
|
Sunoco LP
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
114,150
|
|
|
|
USD
|
|
|
|
22.50
|
|
|
|
09/18/20
|
|
|
|
9,639
|
|
Sunoco LP
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
114,150
|
|
|
|
USD
|
|
|
|
30.00
|
|
|
|
10/16/20
|
|
|
|
1,507
|
|
TechnipFMC plc
|
|
Pershing LLC
|
|
|
85
|
|
|
|
USD
|
|
|
|
58,140
|
|
|
|
USD
|
|
|
|
19.00
|
|
|
|
07/17/20
|
|
|
|
0
|
|
The Mosaic Co.
|
|
Pershing LLC
|
|
|
200
|
|
|
|
USD
|
|
|
|
250,200
|
|
|
|
USD
|
|
|
|
16.00
|
|
|
|
08/21/20
|
|
|
|
5,587
|
|
The Mosaic Co.
|
|
Pershing LLC
|
|
|
200
|
|
|
|
USD
|
|
|
|
250,200
|
|
|
|
USD
|
|
|
|
15.00
|
|
|
|
09/18/20
|
|
|
|
13,297
|
|
The Mosaic Co.
|
|
Pershing LLC
|
|
|
185
|
|
|
|
USD
|
|
|
|
231,435
|
|
|
|
USD
|
|
|
|
17.00
|
|
|
|
12/18/20
|
|
|
|
13,890
|
|
The Williams Companies Inc.
|
|
Pershing LLC
|
|
|
110
|
|
|
|
USD
|
|
|
|
209,220
|
|
|
|
USD
|
|
|
|
21.00
|
|
|
|
09/18/20
|
|
|
|
5,928
|
|
The Williams Companies Inc.
|
|
Pershing LLC
|
|
|
175
|
|
|
|
USD
|
|
|
|
332,850
|
|
|
|
USD
|
|
|
|
24.00
|
|
|
|
10/16/20
|
|
|
|
3,261
|
|
The Williams Companies Inc.
|
|
Pershing LLC
|
|
|
110
|
|
|
|
USD
|
|
|
|
209,220
|
|
|
|
USD
|
|
|
|
19.00
|
|
|
|
11/20/20
|
|
|
|
19,455
|
|
The Williams Companies Inc.
|
|
Pershing LLC
|
|
|
27
|
|
|
|
USD
|
|
|
|
51,354
|
|
|
|
USD
|
|
|
|
22.00
|
|
|
|
12/18/20
|
|
|
|
1,770
|
|
TOTAL SA, ADR
|
|
Pershing LLC
|
|
|
125
|
|
|
|
USD
|
|
|
|
480,750
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
10/16/20
|
|
|
|
61,332
|
|
TOTAL SA, ADR
|
|
Pershing LLC
|
|
|
75
|
|
|
|
USD
|
|
|
|
288,450
|
|
|
|
USD
|
|
|
|
37.50
|
|
|
|
11/20/20
|
|
|
|
29,306
|
|
TOTAL SA, ADR
|
|
Pershing LLC
|
|
|
50
|
|
|
|
USD
|
|
|
|
192,300
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
11/20/20
|
|
|
|
13,760
|
|
TOTAL SA, ADR
|
|
Pershing LLC
|
|
|
125
|
|
|
|
USD
|
|
|
|
480,750
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
12/18/20
|
|
|
|
17,466
|
|
Tyson Foods Inc., Cl. A
|
|
Pershing LLC
|
|
|
150
|
|
|
|
USD
|
|
|
|
895,650
|
|
|
|
USD
|
|
|
|
80.00
|
|
|
|
07/17/20
|
|
|
|
94
|
|
Tyson Foods Inc., Cl. A
|
|
Pershing LLC
|
|
|
120
|
|
|
|
USD
|
|
|
|
716,520
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
10/16/20
|
|
|
|
18,062
|
|
Tyson Foods Inc., Cl. A
|
|
Pershing LLC
|
|
|
120
|
|
|
|
USD
|
|
|
|
716,520
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
12/18/20
|
|
|
|
29,415
|
|
Valero Energy Corp.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
235,280
|
|
|
|
USD
|
|
|
|
55.00
|
|
|
|
10/16/20
|
|
|
|
32,524
|
|
Valero Energy Corp.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
235,280
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
11/20/20
|
|
|
|
12,186
|
|
Valero Energy Corp.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
235,280
|
|
|
|
USD
|
|
|
|
85.00
|
|
|
|
12/18/20
|
|
|
|
5,035
|
|
Valero Energy Corp.
|
|
Pershing LLC
|
|
|
40
|
|
|
|
USD
|
|
|
|
235,280
|
|
|
|
USD
|
|
|
|
60.00
|
|
|
|
01/15/21
|
|
|
|
29,850
|
|
VanEck Vectors Gold Miners ETF
|
|
Pershing LLC
|
|
|
595
|
|
|
|
USD
|
|
|
|
2,182,460
|
|
|
|
USD
|
|
|
|
30.00
|
|
|
|
10/16/20
|
|
|
|
445,116
|
|
9
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) June 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Market
Value
|
|
|
|
Wheaton Precious Metals Corp.
|
|
Pershing LLC
|
|
|
415
|
|
|
|
USD
|
|
|
|
1,828,075
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
07/17/20
|
|
|
$
|
369,653
|
|
Wheaton Precious Metals Corp.
|
|
Pershing LLC
|
|
|
649
|
|
|
|
USD
|
|
|
|
2,858,845
|
|
|
|
USD
|
|
|
|
45.00
|
|
|
|
10/16/20
|
|
|
|
256,387
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OTC CALL OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,047,338
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Put Options Written (0.1)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Select Sector SPDR ETF
|
|
Pershing LLC
|
|
|
452
|
|
|
|
USD
|
|
|
|
1,710,820
|
|
|
|
USD
|
|
|
|
32.50
|
|
|
|
01/15/21
|
|
|
$
|
129,286
|
|
VanEck Vectors Gold Miners ETF
|
|
Pershing LLC
|
|
|
1,700
|
|
|
|
USD
|
|
|
|
6,235,600
|
|
|
|
USD
|
|
|
|
28.00
|
|
|
|
11/20/20
|
|
|
|
139,906
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OTC PUT OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
269,192
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Market
Value
|
|
|
|
Exchange Traded Call Options Written (2.9)%
|
|
AGCO Corp.
|
|
|
|
|
75
|
|
|
|
USD
|
|
|
|
415,950
|
|
|
|
USD
|
|
|
|
55.00
|
|
|
|
11/20/20
|
|
|
$
|
50,100
|
|
Agnico Eagle Mines Ltd.
|
|
|
|
|
252
|
|
|
|
USD
|
|
|
|
1,614,312
|
|
|
|
USD
|
|
|
|
70.00
|
|
|
|
11/20/20
|
|
|
|
128,772
|
|
Alamos Gold Inc., Cl. A
|
|
|
|
|
580
|
|
|
|
USD
|
|
|
|
544,040
|
|
|
|
USD
|
|
|
|
10.00
|
|
|
|
01/15/21
|
|
|
|
78,880
|
|
AngloGold Ashanti Ltd., ADR
|
|
|
|
|
280
|
|
|
|
USD
|
|
|
|
825,720
|
|
|
|
USD
|
|
|
|
24.00
|
|
|
|
10/16/20
|
|
|
|
196,280
|
|
AngloGold Ashanti Ltd., ADR
|
|
|
|
|
300
|
|
|
|
USD
|
|
|
|
884,700
|
|
|
|
USD
|
|
|
|
28.00
|
|
|
|
01/15/21
|
|
|
|
173,400
|
|
B2Gold Corp.
|
|
|
|
|
335
|
|
|
|
USD
|
|
|
|
190,615
|
|
|
|
USD
|
|
|
|
5.00
|
|
|
|
01/15/21
|
|
|
|
49,915
|
|
Centerra Gold Inc.
|
|
|
|
|
250
|
|
|
|
CAD
|
|
|
|
378,750
|
|
|
|
CAD
|
|
|
|
15.00
|
|
|
|
10/16/20
|
|
|
|
28,083
|
|
Centerra Gold Inc.
|
|
|
|
|
250
|
|
|
|
CAD
|
|
|
|
378,750
|
|
|
|
CAD
|
|
|
|
16.00
|
|
|
|
12/18/20
|
|
|
|
221,899
|
|
Chevron Corp.
|
|
|
|
|
80
|
|
|
|
USD
|
|
|
|
713,840
|
|
|
|
USD
|
|
|
|
97.50
|
|
|
|
12/18/20
|
|
|
|
42,600
|
|
CNH Industrial NV
|
|
|
|
|
490
|
|
|
|
USD
|
|
|
|
344,470
|
|
|
|
USD
|
|
|
|
7.50
|
|
|
|
09/18/20
|
|
|
|
24,500
|
|
Concho Resources Inc.
|
|
|
|
|
20
|
|
|
|
USD
|
|
|
|
103,000
|
|
|
|
USD
|
|
|
|
75.00
|
|
|
|
12/18/20
|
|
|
|
3,050
|
|
Deere & Co.
|
|
|
|
|
35
|
|
|
|
USD
|
|
|
|
550,025
|
|
|
|
USD
|
|
|
|
155.00
|
|
|
|
09/18/20
|
|
|
|
43,400
|
|
Deere & Co.
|
|
|
|
|
73
|
|
|
|
USD
|
|
|
|
1,147,195
|
|
|
|
USD
|
|
|
|
150.00
|
|
|
|
01/15/21
|
|
|
|
155,855
|
|
Devon Energy Corp.
|
|
|
|
|
63
|
|
|
|
USD
|
|
|
|
71,442
|
|
|
|
USD
|
|
|
|
15.00
|
|
|
|
01/15/21
|
|
|
|
7,245
|
|
Eldorado Gold Corp.
|
|
|
|
|
265
|
|
|
|
USD
|
|
|
|
257,050
|
|
|
|
USD
|
|
|
|
11.00
|
|
|
|
10/16/20
|
|
|
|
27,825
|
|
Eldorado Gold Corp.
|
|
|
|
|
265
|
|
|
|
USD
|
|
|
|
257,050
|
|
|
|
USD
|
|
|
|
11.00
|
|
|
|
01/15/21
|
|
|
|
42,400
|
|
Endeavour Mining Corp.
|
|
|
|
|
220
|
|
|
|
CAD
|
|
|
|
722,700
|
|
|
|
CAD
|
|
|
|
30.00
|
|
|
|
10/16/20
|
|
|
|
76,974
|
|
Endeavour Mining Corp.
|
|
|
|
|
90
|
|
|
|
CAD
|
|
|
|
295,650
|
|
|
|
CAD
|
|
|
|
28.50
|
|
|
|
11/20/20
|
|
|
|
40,936
|
|
Endeavour Mining Corp.
|
|
|
|
|
90
|
|
|
|
CAD
|
|
|
|
295,650
|
|
|
|
CAD
|
|
|
|
28.00
|
|
|
|
12/18/20
|
|
|
|
44,748
|
|
Endeavour Mining Corp.
|
|
|
|
|
280
|
|
|
|
CAD
|
|
|
|
919,800
|
|
|
|
CAD
|
|
|
|
34.00
|
|
|
|
01/15/21
|
|
|
|
76,827
|
|
Energy Select Sector SPDR ETF
|
|
|
|
|
340
|
|
|
|
USD
|
|
|
|
1,286,900
|
|
|
|
USD
|
|
|
|
36.00
|
|
|
|
08/21/20
|
|
|
|
117,300
|
|
Energy Select Sector SPDR ETF
|
|
|
|
|
300
|
|
|
|
USD
|
|
|
|
1,135,500
|
|
|
|
USD
|
|
|
|
35.00
|
|
|
|
09/18/20
|
|
|
|
139,200
|
|
Energy Select Sector SPDR ETF
|
|
|
|
|
85
|
|
|
|
USD
|
|
|
|
321,725
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
12/18/20
|
|
|
|
27,200
|
|
Franco-Nevada Corp.
|
|
|
|
|
104
|
|
|
|
USD
|
|
|
|
1,452,256
|
|
|
|
USD
|
|
|
|
120.00
|
|
|
|
10/16/20
|
|
|
|
256,360
|
|
Harmony Gold Mining Co. Ltd., ADR
|
|
|
|
|
690
|
|
|
|
USD
|
|
|
|
287,730
|
|
|
|
USD
|
|
|
|
5.00
|
|
|
|
08/21/20
|
|
|
|
14,490
|
|
Harmony Gold Mining Co. Ltd., ADR
|
|
|
|
|
1,845
|
|
|
|
USD
|
|
|
|
769,365
|
|
|
|
USD
|
|
|
|
4.00
|
|
|
|
01/15/21
|
|
|
|
175,275
|
|
IDEXX Laboratories Inc.
|
|
|
|
|
45
|
|
|
|
USD
|
|
|
|
1,485,720
|
|
|
|
USD
|
|
|
|
250.00
|
|
|
|
11/20/20
|
|
|
|
396,225
|
|
10
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) June 30, 2020 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
Market
Value
|
|
IDEXX Laboratories Inc.
|
|
|
40
|
|
|
|
USD
|
|
|
|
1,320,640
|
|
|
|
USD
|
|
|
|
300.00
|
|
|
|
01/15/21
|
|
|
$
|
213,200
|
|
Kinross Gold Corp.
|
|
|
535
|
|
|
|
USD
|
|
|
|
386,270
|
|
|
|
USD
|
|
|
|
10.00
|
|
|
|
11/20/20
|
|
|
|
21,935
|
|
Kirkland Lake Gold Ltd.
|
|
|
75
|
|
|
|
USD
|
|
|
|
309,300
|
|
|
|
USD
|
|
|
|
50.00
|
|
|
|
07/17/20
|
|
|
|
750
|
|
Kirkland Lake Gold Ltd.
|
|
|
450
|
|
|
|
USD
|
|
|
|
1,855,800
|
|
|
|
USD
|
|
|
|
40.00
|
|
|
|
10/16/20
|
|
|
|
238,500
|
|
MAG Silver Corp.
|
|
|
230
|
|
|
|
USD
|
|
|
|
324,300
|
|
|
|
USD
|
|
|
|
12.50
|
|
|
|
11/20/20
|
|
|
|
70,150
|
|
MAG Silver Corp.
|
|
|
225
|
|
|
|
USD
|
|
|
|
317,250
|
|
|
|
USD
|
|
|
|
10.00
|
|
|
|
12/18/20
|
|
|
|
112,500
|
|
Marathon Petroleum Corp.
|
|
|
60
|
|
|
|
USD
|
|
|
|
224,280
|
|
|
|
USD
|
|
|
|
42.50
|
|
|
|
10/16/20
|
|
|
|
17,700
|
|
Newmont Corp.
|
|
|
225
|
|
|
|
USD
|
|
|
|
1,389,150
|
|
|
|
USD
|
|
|
|
75.00
|
|
|
|
12/18/20
|
|
|
|
71,325
|
|
Noble Energy Inc.
|
|
|
41
|
|
|
|
USD
|
|
|
|
36,736
|
|
|
|
USD
|
|
|
|
12.50
|
|
|
|
11/20/20
|
|
|
|
3,485
|
|
OceanaGold Corp.
|
|
|
1,800
|
|
|
|
CAD
|
|
|
|
568,800
|
|
|
|
CAD
|
|
|
|
2.50
|
|
|
|
10/16/20
|
|
|
|
114,025
|
|
Osisko Gold Royalties Ltd.
|
|
|
220
|
|
|
|
CAD
|
|
|
|
298,320
|
|
|
|
CAD
|
|
|
|
14.00
|
|
|
|
07/17/20
|
|
|
|
5,672
|
|
Pan American Silver Corp.
|
|
|
75
|
|
|
|
USD
|
|
|
|
227,925
|
|
|
|
USD
|
|
|
|
23.00
|
|
|
|
01/15/21
|
|
|
|
67,500
|
|
Pilgrims Pride Corp.
|
|
|
50
|
|
|
|
USD
|
|
|
|
84,450
|
|
|
|
USD
|
|
|
|
27.00
|
|
|
|
09/18/20
|
|
|
|
1,000
|
|
Pioneer Natural Resources Co.
|
|
|
18
|
|
|
|
USD
|
|
|
|
175,860
|
|
|
|
USD
|
|
|
|
130.00
|
|
|
|
09/18/20
|
|
|
|
2,556
|
|
Pioneer Natural Resources Co.
|
|
|
16
|
|
|
|
USD
|
|
|
|
156,320
|
|
|
|
USD
|
|
|
|
130.00
|
|
|
|
12/18/20
|
|
|
|
6,560
|
|
Pretium Resources Inc.
|
|
|
310
|
|
|
|
USD
|
|
|
|
260,400
|
|
|
|
USD
|
|
|
|
10.00
|
|
|
|
09/18/20
|
|
|
|
12,400
|
|
Pretium Resources Inc.
|
|
|
400
|
|
|
|
USD
|
|
|
|
336,000
|
|
|
|
USD
|
|
|
|
13.00
|
|
|
|
01/15/21
|
|
|
|
14,000
|
|
SEMAFO Inc.
|
|
|
660
|
|
|
|
CAD
|
|
|
|
305,580
|
|
|
|
CAD
|
|
|
|
4.00
|
|
|
|
12/18/20
|
|
|
|
52,261
|
|
SSR Mining Inc.
|
|
|
260
|
|
|
|
USD
|
|
|
|
554,580
|
|
|
|
USD
|
|
|
|
20.00
|
|
|
|
12/18/20
|
|
|
|
104,000
|
|
Torex Gold Resources Inc.
|
|
|
250
|
|
|
|
CAD
|
|
|
|
534,750
|
|
|
|
CAD
|
|
|
|
18.00
|
|
|
|
12/18/20
|
|
|
|
92,074
|
|
Torex Gold Resources Inc.
|
|
|
175
|
|
|
|
CAD
|
|
|
|
374,325
|
|
|
|
CAD
|
|
|
|
20.00
|
|
|
|
01/15/21
|
|
|
|
51,884
|
|
VanEck Vectors Gold Miners ETF
|
|
|
255
|
|
|
|
USD
|
|
|
|
935,340
|
|
|
|
USD
|
|
|
|
29.00
|
|
|
|
09/18/20
|
|
|
|
201,960
|
|
VanEck Vectors Gold Miners ETF
|
|
|
365
|
|
|
|
USD
|
|
|
|
1,338,820
|
|
|
|
USD
|
|
|
|
44.00
|
|
|
|
09/18/20
|
|
|
|
30,660
|
|
Zoetis Inc.
|
|
|
100
|
|
|
|
USD
|
|
|
|
1,370,400
|
|
|
|
USD
|
|
|
|
135.00
|
|
|
|
07/17/20
|
|
|
|
39,000
|
|
Zoetis Inc.
|
|
|
180
|
|
|
|
USD
|
|
|
|
2,466,720
|
|
|
|
USD
|
|
|
|
140.00
|
|
|
|
10/16/20
|
|
|
|
118,800
|
|
Zoetis Inc.
|
|
|
180
|
|
|
|
USD
|
|
|
|
2,466,720
|
|
|
|
USD
|
|
|
|
125.00
|
|
|
|
01/15/21
|
|
|
|
342,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED CALL OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,645,636
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange Traded Put Options Written (0.2)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Select Sector SPDR ETF
|
|
|
640
|
|
|
|
USD
|
|
|
|
2,422,400
|
|
|
|
USD
|
|
|
|
28.00
|
|
|
|
12/18/20
|
|
|
$
|
82,880
|
|
Energy Select Sector SPDR ETF
|
|
|
188
|
|
|
|
USD
|
|
|
|
711,580
|
|
|
|
USD
|
|
|
|
27.00
|
|
|
|
01/15/21
|
|
|
|
28,576
|
|
SPDR Gold Shares
|
|
|
40
|
|
|
|
USD
|
|
|
|
669,480
|
|
|
|
USD
|
|
|
|
150.00
|
|
|
|
11/20/20
|
|
|
|
7,520
|
|
SPDR Gold Shares
|
|
|
82
|
|
|
|
USD
|
|
|
|
1,372,434
|
|
|
|
USD
|
|
|
|
151.00
|
|
|
|
01/15/21
|
|
|
|
24,436
|
|
SPDR S&P Oil & Gas Exploration & Production ETF
|
|
|
280
|
|
|
|
USD
|
|
|
|
1,461,040
|
|
|
|
USD
|
|
|
|
43.00
|
|
|
|
10/16/20
|
|
|
|
78,680
|
|
VanEck Vectors Gold Miners ETF
|
|
|
1,850
|
|
|
|
USD
|
|
|
|
6,785,800
|
|
|
|
USD
|
|
|
|
26.00
|
|
|
|
07/17/20
|
|
|
|
1,850
|
|
VanEck Vectors Gold Miners ETF
|
|
|
1,630
|
|
|
|
USD
|
|
|
|
5,978,840
|
|
|
|
USD
|
|
|
|
25.00
|
|
|
|
12/18/20
|
|
|
|
89,650
|
|
VanEck Vectors Gold Miners ETF
|
|
|
460
|
|
|
|
USD
|
|
|
|
1,687,280
|
|
|
|
USD
|
|
|
|
18.00
|
|
|
|
01/15/21
|
|
|
|
6,440
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED PUT OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
320,032
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
14,282,198
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
GAMCO Natural Resources, Gold & Income Trust
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
|
|
|
|
|
Assets:
|
|
|
|
|
Investments, at value (cost $184,224,778)
|
|
$
|
161,776,155
|
|
Foreign currency, at value (cost $5,391)
|
|
|
5,420
|
|
Deposit at brokers
|
|
|
437,089
|
|
Receivable for investments sold
|
|
|
1,642,334
|
|
Dividends and interest receivable
|
|
|
242,440
|
|
Deferred offering expense
|
|
|
154,060
|
|
Prepaid expenses
|
|
|
2,029
|
|
|
|
|
|
|
Total Assets
|
|
|
164,259,527
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
Options written, at value
(premiums received $9,779,777)
|
|
|
14,282,198
|
|
Payable to brokers
|
|
|
1,720,432
|
|
Payable to custodian
|
|
|
30,382
|
|
Distributions payable
|
|
|
21,127
|
|
Payable for investments purchased
|
|
|
1,363,315
|
|
Payable for investment advisory fees
|
|
|
117,630
|
|
Payable for payroll expenses
|
|
|
34,083
|
|
Payable for accounting fees
|
|
|
11,250
|
|
Other accrued expenses
|
|
|
220,593
|
|
|
|
|
|
|
Total Liabilities
|
|
|
17,801,010
|
|
|
|
|
|
|
Preferred Shares, $0.001 par value, unlimited number of shares authorized:
|
|
|
|
|
Series A Cumulative Preferred Shares (5.200%, $25 liquidation value, 1,170,102 shares outstanding)
|
|
|
29,252,550
|
|
|
|
|
|
|
Net Assets Attributable to Common Shareholders
|
|
|
|
|
|
|
$
|
117,205,967
|
|
|
|
|
|
|
Net Assets Attributable to Common Shareholders Consist of:
|
|
|
|
|
Paid-in capital
|
|
$
|
255,581,611
|
|
Total accumulated loss
|
|
|
(138,375,644
|
)
|
|
|
|
|
|
Net Assets
|
|
$
|
117,205,967
|
|
|
|
|
|
|
Net Asset Value per Common Share:
|
|
|
|
|
($117,205,967 ÷ 20,801,934 shares outstanding at $0.001 par value; unlimited number of shares
authorized)
|
|
|
$5.63
|
|
Statement of Operations
For
the Six Months Ended June 30, 2020 (Unaudited)
|
|
|
|
|
Investment Income:
|
|
|
|
|
Dividends (net of foreign withholding taxes of $85,995)
|
|
$
|
1,374,434
|
|
Interest
|
|
|
144,248
|
|
|
|
|
|
|
Total Investment Income
|
|
|
1,518,682
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Investment advisory fees
|
|
|
700,688
|
|
Dividend expense on securities sold short
|
|
|
67,041
|
|
Payroll expenses
|
|
|
64,570
|
|
Legal and audit fees
|
|
|
49,768
|
|
Shareholder communications expenses
|
|
|
48,760
|
|
Trustees fees
|
|
|
37,543
|
|
Accounting fees
|
|
|
22,500
|
|
Shareholder services fees
|
|
|
17,672
|
|
Custodian fees
|
|
|
12,319
|
|
Interest expense
|
|
|
95
|
|
Service fees for securities sold short
(See Note 2)
|
|
|
1,098
|
|
Miscellaneous expenses
|
|
|
56,278
|
|
|
|
|
|
|
Total Expenses
|
|
|
1,078,332
|
|
|
|
|
|
|
Less:
|
|
|
|
|
Expenses paid indirectly by broker
(See Note 3)
|
|
|
(1,062
|
)
|
|
|
|
|
|
Net Expenses
|
|
|
1,077,270
|
|
|
|
|
|
|
Net Investment Income
|
|
|
441,412
|
|
|
|
|
|
|
Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Written Options, and
Foreign Currency:
|
|
|
|
|
Net realized gain on investments
|
|
|
4,222,839
|
|
Net realized gain on securities sold short
|
|
|
1,773,731
|
|
Net realized gain on written options
|
|
|
1,705,596
|
|
Net realized loss on foreign currency transactions
|
|
|
(17,706
|
)
|
|
|
|
|
|
Net realized gain on investments, securities sold short, written options, and foreign currency
transactions
|
|
|
7,684,460
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation:
|
|
|
|
|
on investments
|
|
|
(9,120,475
|
)
|
on written options
|
|
|
(3,002,974
|
)
|
on foreign currency translations
|
|
|
956
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation on investments, written options, and foreign currency
translations
|
|
|
(12,122,493
|
)
|
|
|
|
|
|
Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Written Options, and
Foreign Currency
|
|
|
(4,438,033
|
)
|
|
|
|
|
|
Net Increase in Net Assets Resulting from Operations
|
|
|
(3,996,621
|
)
|
|
|
|
|
|
Total Distributions to Preferred Shareholders
|
|
|
(761,548
|
)
|
|
|
|
|
|
Net Decrease in Net Assets Attributable to Common Shareholders Resulting from Operations
|
|
$
|
(4,758,169
|
)
|
|
|
|
|
|
See accompanying notes to financial
statements.
12
GAMCO Natural Resources, Gold & Income Trust
Statement of Changes in Net Assets Attributable to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30, 2020
(Unaudited)
|
|
Year Ended
December 31, 2019
|
Operations:
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
$
|
441,412
|
|
|
|
$
|
563,986
|
|
Net realized gain/(loss) on investments, securities sold short, written options, and foreign currency
transactions
|
|
|
|
7,684,460
|
|
|
|
|
(8,131,531
|
)
|
Net change in unrealized appreciation/depreciation on investments, written options, and foreign currency
translations
|
|
|
|
(12,122,493
|
)
|
|
|
|
30,780,378
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase/(Decrease) in Net Assets Resulting from Operations
|
|
|
|
(3,996,621
|
)
|
|
|
|
23,212,833
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Preferred Shareholders:
|
|
|
|
|
|
|
|
|
|
|
Accumulated earnings
|
|
|
|
(761,548
|
)*
|
|
|
|
(979,208
|
)
|
Return of capital
|
|
|
|
|
|
|
|
|
(545,902
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Total Distributions to Preferred Shareholders
|
|
|
|
(761,548
|
)
|
|
|
|
(1,525,110
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase/(Decrease) in Net Asset Attributable to Common Shareholders Resulting from
Operations
|
|
|
|
(4,758,169
|
)
|
|
|
|
21,687,723
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders:
|
|
|
|
|
|
|
|
|
|
|
Accumulated earnings
|
|
|
|
(6,142,211
|
)*
|
|
|
|
|
|
Return of capital
|
|
|
|
(125,351
|
)*
|
|
|
|
(12,537,566
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Total Distributions to Common Shareholders
|
|
|
|
(6,267,562
|
)
|
|
|
|
(12,537,566
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Share Transactions:
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets from common shares issued upon reinvestment of distributions
|
|
|
|
82,569
|
|
|
|
|
43,666
|
|
Net increase in net assets from repurchase of preferred shares
|
|
|
|
8,667
|
|
|
|
|
24,115
|
|
Net decrease from repurchase of common shares
|
|
|
|
(528,974
|
)
|
|
|
|
(14,314
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase/(Decrease) in Net Assets from Fund Share Transactions
|
|
|
|
(437,738
|
)
|
|
|
|
53,467
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase/(Decrease) in Net Assets Attributable to Common Shareholders
|
|
|
|
(11,463,469
|
)
|
|
|
|
9,203,624
|
|
|
|
|
Net Assets Attributable to Common Shareholders:
|
|
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
|
128,669,436
|
|
|
|
|
119,465,812
|
|
|
|
|
|
|
|
|
|
|
|
|
End of period
|
|
|
$
|
117,205,967
|
|
|
|
$
|
128,669,436
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Based on year to date book income. Amounts are subject to change and recharacterization at year end.
|
See accompanying notes to financial
statements.
13
GAMCO Natural Resources, Gold & Income Trust
Financial Highlights
Selected data for a common share of beneficial interest outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30,
2020
(Unaudited)
|
|
|
Year Ended December 31,
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
Operating Performance:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of year
|
|
|
|
|
|
|
|
$
|
6.16
|
|
|
|
|
|
|
$
|
5.72
|
|
|
|
|
|
|
$
|
7.11
|
|
|
|
|
|
|
$
|
7.14
|
|
|
|
|
|
|
$
|
6.49
|
|
|
|
|
|
|
$
|
8.75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
|
|
0.02
|
|
|
|
|
|
|
|
0.03
|
|
|
|
|
|
|
|
0.06
|
|
|
|
|
|
|
|
0.05
|
|
|
|
|
|
|
|
0.01
|
|
|
|
|
|
|
|
0.02
|
|
Net realized and unrealized gain/(loss) on investments, securities sold short, written options, and foreign
currency transactions
|
|
|
|
|
|
|
|
|
(0.21
|
)
|
|
|
|
|
|
|
1.08
|
|
|
|
|
|
|
|
(0.78
|
)
|
|
|
|
|
|
|
0.59
|
|
|
|
|
|
|
|
1.47
|
|
|
|
|
|
|
|
(1.44
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations
|
|
|
|
|
|
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
1.11
|
|
|
|
|
|
|
|
(0.72
|
)
|
|
|
|
|
|
|
0.64
|
|
|
|
|
|
|
|
1.48
|
|
|
|
|
|
|
|
(1.42
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Preferred Shareholders: (a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.05
|
)
|
|
|
|
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return of capital
|
|
|
|
|
|
|
|
|
(0.04
|
)*
|
|
|
|
|
|
|
(0.02
|
)
|
|
|
|
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total distributions to preferred shareholders
|
|
|
|
|
|
|
|
|
(0.04
|
)
|
|
|
|
|
|
|
(0.07
|
)
|
|
|
|
|
|
|
(0.07
|
)
|
|
|
|
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
|
|
(0.02
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
(0.03
|
)
|
|
|
|
|
|
|
(0.01
|
)
|
Net realized gain
|
|
|
|
|
|
|
|
|
(0.27
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return of capital
|
|
|
|
|
|
|
|
|
(0.01
|
)*
|
|
|
|
|
|
|
(0.60
|
)
|
|
|
|
|
|
|
(0.60
|
)
|
|
|
|
|
|
|
(0.54
|
)
|
|
|
|
|
|
|
(0.81
|
)
|
|
|
|
|
|
|
(0.83
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total distributions to common shareholders
|
|
|
|
|
|
|
|
|
(0.30
|
)
|
|
|
|
|
|
|
(0.60
|
)
|
|
|
|
|
|
|
(0.60
|
)
|
|
|
|
|
|
|
(0.60
|
)
|
|
|
|
|
|
|
(0.84
|
)
|
|
|
|
|
|
|
(0.84
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Share Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase in net asset value from common share transactions
|
|
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
0.01
|
|
|
|
|
|
|
|
0.00
|
(b)
|
Increase in net asset value from repurchase of common shares
|
|
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase in net asset value from repurchase of preferred shares
|
|
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offering costs for preferred shares charged to paid-in
capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fund share transactions
|
|
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
0.01
|
|
|
|
|
|
|
|
0.00
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value, End of Period
|
|
|
|
|
|
|
|
$
|
5.63
|
|
|
|
|
|
|
$
|
6.16
|
|
|
|
|
|
|
$
|
5.72
|
|
|
|
|
|
|
$
|
7.11
|
|
|
|
|
|
|
$
|
7.14
|
|
|
|
|
|
|
$
|
6.49
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NAV total return
|
|
|
|
|
|
|
|
|
(3.10
|
)%
|
|
|
|
|
|
|
19.04
|
%
|
|
|
|
|
|
|
(11.75
|
)%
|
|
|
|
|
|
|
8.29
|
%
|
|
|
|
|
|
|
23.53
|
%
|
|
|
|
|
|
|
(17.57
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value, end of period
|
|
|
|
|
|
|
|
$
|
4.81
|
|
|
|
|
|
|
$
|
5.96
|
|
|
|
|
|
|
$
|
4.95
|
|
|
|
|
|
|
$
|
6.71
|
|
|
|
|
|
|
$
|
6.67
|
|
|
|
|
|
|
$
|
5.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment total return
|
|
|
|
|
|
|
|
|
(14.21
|
)%
|
|
|
|
|
|
|
33.64
|
%
|
|
|
|
|
|
|
(18.56
|
)%
|
|
|
|
|
|
|
9.59
|
%
|
|
|
|
|
|
|
31.52
|
%
|
|
|
|
|
|
|
(19.98
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets and Supplemental Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets including liquidation value of preferred shares, end of period (in 000s)
|
|
|
|
|
|
|
|
$
|
146,459
|
|
|
|
|
|
|
$
|
158,002
|
|
|
|
|
|
|
$
|
149,051
|
|
|
|
|
|
|
$
|
178,668
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets attributable to common shares, end of period (in 000s)
|
|
|
|
|
|
|
|
$
|
117,206
|
|
|
|
|
|
|
$
|
128,669
|
|
|
|
|
|
|
$
|
119,466
|
|
|
|
|
|
|
$
|
148,668
|
|
|
|
|
|
|
$
|
149,032
|
|
|
|
|
|
|
$
|
135,914
|
|
Ratio of net investment income to average net assets attributable to common shares before preferred
distributions
|
|
|
|
|
|
|
|
|
0.79
|
%(c)
|
|
|
|
|
|
|
0.45
|
%
|
|
|
|
|
|
|
0.93
|
%
|
|
|
|
|
|
|
0.74
|
%
|
|
|
|
|
|
|
0.20
|
%
|
|
|
|
|
|
|
0.21
|
%
|
Ratio of operating expenses to average net assets attributable to common shares(d)(e)(f)
|
|
|
|
|
|
|
|
|
1.93
|
%(c)
|
|
|
|
|
|
|
1.72
|
%
|
|
|
|
|
|
|
1.68
|
%
|
|
|
|
|
|
|
1.38
|
%
|
|
|
|
|
|
|
1.37
|
%(g)
|
|
|
|
|
|
|
1.36
|
%
|
Portfolio turnover rate
|
|
|
|
|
|
|
|
|
57.8
|
%
|
|
|
|
|
|
|
108.6
|
%
|
|
|
|
|
|
|
166.9
|
%
|
|
|
|
|
|
|
237.9
|
%
|
|
|
|
|
|
|
183.0
|
%
|
|
|
|
|
|
|
58.0
|
%
|
See accompanying notes to financial
statements.
14
GAMCO Natural Resources, Gold & Income Trust
Financial Highlights (Continued)
Selected data for a common share of beneficial interest outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30, 2020
(Unaudited)
|
|
|
Year Ended December 31,
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
Cumulative Preferred Shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5.200% Series A Preferred(h)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liquidation value, end of period (in 000s)
|
|
|
|
|
|
|
$29,253
|
|
|
|
|
|
|
|
$29,333
|
|
|
|
|
|
|
|
$29,585
|
|
|
|
|
|
|
|
$30,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total shares outstanding (in 000s)
|
|
|
|
|
|
|
1,170
|
|
|
|
|
|
|
|
1,173
|
|
|
|
|
|
|
|
1,183
|
|
|
|
|
|
|
|
1,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liquidation preference per share
|
|
|
|
|
|
|
$ 25.00
|
|
|
|
|
|
|
|
$ 25.00
|
|
|
|
|
|
|
|
$ 25.00
|
|
|
|
|
|
|
|
$ 25.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average market value(i)
|
|
|
|
|
|
|
$ 25.06
|
|
|
|
|
|
|
|
$ 24.66
|
|
|
|
|
|
|
|
$ 23.56
|
|
|
|
|
|
|
|
$ 24.92
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per share
|
|
|
|
|
|
|
$125.17
|
|
|
|
|
|
|
|
$134.66
|
|
|
|
|
|
|
|
$125.95
|
|
|
|
|
|
|
|
$148.89
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Coverage
|
|
|
|
|
|
|
501
|
%
|
|
|
|
|
|
|
539
|
%
|
|
|
|
|
|
|
504
|
%
|
|
|
|
|
|
|
596
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value per share, adjusted for reinvestment of distributions at the net asset value per share on the ex-dividend dates. Total return for a period of less than one year is not annualized.
|
|
Based on market value per share, adjusted for reinvestment of distributions at prices obtained under the Funds
dividend reinvestment plan. Total return for a period of less than one year is not annualized.
|
*
|
Based on year to date book income. Amounts are subject to change and recharacterization at year end.
|
(a)
|
Calculated based on average common shares outstanding on record dates throughout the periods.
|
(b)
|
Amount represents less than $0.005 per share.
|
(d)
|
The Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. For all periods
presented, there was no impact on the expense ratios.
|
(e)
|
Ratio of operating expenses to average net assets including liquidation value of preferred shares for the six months
ended June 30, 2020 and the years ended December 31, 2019, 2018 and 2017, would have been 1.53%, 1.39%, 1.38% and 1.33%, respectively.
|
(f)
|
Ratio of operating expenses to average net assets attributable to common shares excluding interest and dividend expense
and service fees on securities sold short for the six months ended June 30, 2020 and the years ended December 31, 2019, 2018, 2017, and 2016 was 1.81%, 1.69%, 1.67%, 1.36%, and 1.36%, respectively, and 1.43%, 1.36%, 1.37%, and 1.31%
including liquidation value of preferred shares for the six months ended June 30, 2020 and the years ended December 31, 2019, 2018 and 2017. For the year ended December 31, 2015, the effect on the expense ratios was minimal.
|
(g)
|
For the year ended December 31, 2016, the ratio of operating expenses to average net assets excluded dividend
expense and service fees on securities sold short. Including dividend expense and service fees on securities sold short, for the year ended December 31, 2016, the ratio of operating expenses to average net assets would have been 1.39%.
|
(h)
|
The 5.200% Series A was issued October 26, 2017.
|
(i)
|
Based on weekly prices.
|
See accompanying notes to financial
statements.
15
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited)
1. Organization. The GAMCO Natural Resources, Gold & Income Trust (the Fund) is a non-diversified
closed-end management investment company organized as a Delaware statutory trust on June 26, 2008 and registered under the Investment Company Act of 1940, as amended (the 1940 Act). Investment operations
commenced on January 27, 2011.
The Funds primary investment objective is to provide a high level of current income from interest,
dividends, and option premiums. The Funds secondary investment objective is to seek capital appreciation consistent with the Funds strategy and its primary objective. The Fund will attempt to achieve its objectives, under normal market
conditions, by investing at least 80% of its assets in equity securities of companies principally engaged in the natural resources and gold industries. As part of its investment strategy, the Fund intends to generate current income from short term
gains through an option strategy of writing (selling) covered call options of the equity securities in its portfolio. The Fund may invest in the securities of companies located anywhere in the world.
The Fund may invest a high percentage of its assets in specific sectors of the market in order to achieve a potentially greater investment return. As a
result, the Fund may be more susceptible to economic, political, and regulatory developments in a particular sector of the market, positive or negative, and may experience increased volatility to the Funds NAV and a magnified effect in its
total return.
2. Significant Accounting Policies. 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 financial statements. 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 financial statements.
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 markets 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 securities are 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
16
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
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 Funds 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 Boards determinations as to the fair value of
investments).
|
A financial instruments 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 Funds investments in securities and other financial instruments by inputs used to value the Funds investments as of June 30, 2020 is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
|
Level 1
Quoted Prices
|
|
Level 2 Other Significant
Observable Inputs
|
|
Total Market Value
at 6/30/20
|
INVESTMENTS IN SECURITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSETS (Market Value):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks(a)
|
|
|
$
|
135,951,996
|
|
|
|
|
|
|
|
|
$
|
135,951,996
|
|
Rights (a)
|
|
|
|
|
|
|
|
$
|
61,740
|
|
|
|
|
61,740
|
|
Convertible Corporate Bonds (a)
|
|
|
|
|
|
|
|
|
810,401
|
|
|
|
|
810,401
|
|
U.S. Government Obligations
|
|
|
|
|
|
|
|
|
24,952,018
|
|
|
|
|
24,952,018
|
|
TOTAL INVESTMENTS IN SECURITIES
|
|
|
$
|
135,951,996
|
|
|
|
$
|
25,824,159
|
|
|
|
$
|
161,776,155
|
|
INVESTMENTS IN SECURITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES (Market Value):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EQUITY CONTRACTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written
|
|
|
$
|
(3,221,346
|
)
|
|
|
$
|
(10,471,628
|
)
|
|
|
$
|
(13,692,974)
|
|
Put Options Written
|
|
|
|
(147,502
|
)
|
|
|
|
(441,722
|
)
|
|
|
|
(589,224)
|
|
TOTAL INVESTMENTS IN SECURITIES LIABILITIES
|
|
|
$
|
(3,368,848
|
)
|
|
|
$
|
(10,913,350
|
)
|
|
|
$
|
(14,282,198)
|
|
(a)
|
Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.
|
There were no Level 3 investments held at June 30, 2020 or December 31, 2019.
17
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
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 ids are not available, or which
are restricted as to transfer. Among the factors to be considered to fair value a security are 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 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 Advisers 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 Funds ability to pay distributions.
Collateral requirements differ by type of derivative. Collateral requirements are set by the broker or exchange clearing house for exchange traded
derivatives, while collateral terms are contract specific for derivatives traded over-the-counter. Securities pledged to cover obligations of the Fund under derivative
contracts are noted in
18
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
the Schedule of Investments. Cash collateral, if any, pledged for the same purpose will be reported separately in the Statement of Assets and Liabilities.
The Funds policy with respect to offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master
agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right
to offset may vary by jurisdiction.
The Funds derivative contracts held at June 30, 2020, if any, are not accounted for as hedging
instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.
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.
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 June 30, 2020 are reflected within the Schedule of Investments.
The Funds volume of activity in equity
options contracts during the six months ended June 30, 2020 had an average monthly market value of approximately $9,019,750.
19
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
At June 30, 2020, the Funds derivative liabilities (by type) were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts of
|
|
|
Gross Amounts
|
|
|
|
|
|
|
Recognized Liabilities
|
|
|
Available for
|
|
|
Net Amounts of
|
|
|
|
Presented in the
|
|
|
Offset in the
|
|
|
Liabilities Presented in
|
|
|
|
Statement of
|
|
|
Statement of Assets
|
|
|
the Statement of
|
|
|
|
Assets and Liabilities
|
|
|
and Liabilities
|
|
|
Assets and Liabilities
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Equity Written Options
|
|
|
$9,316,530
|
|
|
|
|
|
|
|
$9,316,530
|
|
The following table presents the Funds derivative liabilities by counterparty net of the related collateral
segregated by the Fund as of June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Amounts Not Offset in the Statement of
|
|
|
|
|
|
|
Assets and Liabilities
|
|
|
|
|
Net Amounts of
|
|
|
|
|
|
|
|
|
Liabilities Presented in
|
|
|
|
|
|
|
|
|
the Statement of Assets
|
|
Securities Pledged
|
|
Cash Collateral
|
|
|
|
|
and Liabilities
|
|
as Collateral
|
|
Pledged
|
|
Net Amount
|
Counterparty
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pershing LLC
|
|
|
|
$(9,028,391)
|
|
|
|
|
$9,028,391
|
|
|
|
|
|
|
|
|
|
|
|
Morgan Stanley
|
|
|
|
(245,501)
|
|
|
|
|
245,501
|
|
|
|
|
|
|
|
|
|
|
|
The Goldman Sachs Group, Inc.
|
|
|
|
(42,638)
|
|
|
|
|
42,638
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
$(9,316,530)
|
|
|
|
|
$9,316,530
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2020, the value of options purchased that were held with equity risk exposure can be found in the
Statement of Assets and Liabilities under Assets, within investments at value. The value of equity options written can be found in the Statement of Assets and Liabilities, under Liabilities, Options written, at value. For the six months ended
June 30, 2020, the effect of options purchased with equity risk exposure can be found in the Statement of Operations, under Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, Written Options, and Foreign Currency,
within Net realized gain on investments and Net change in unrealized appreciation/depreciation on investments. The effect of equity options written can be found in the Statement of Operations under Net Realized and Unrealized Gain/Loss) on
Investments, Securities Sold Short, Written Options, and Foreign Currency, within Net realized gain on written options, and Net change in unrealized appreciation/depreciation on written options.
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 Funds 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
20
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
sum of the amount of initial margin deposits on the Funds existing futures positions or swaps
positions and option or swaption premiums would exceed 5% of the market value of the Funds liquidating value, after taking into account unrealized profits and unrealized losses on any such transactions, or (b) the aggregate net notional
value of the Funds commodity interest transactions would not exceed 100% of the market value of the Funds 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 Funds performance.
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. For the six months ended June 30, 2020, the Fund
incurred $1,098 in service fees related to its investment positions sold short and held by the broker. These amounts are included in the Statement of Operations under Expenses, Service fees for securities sold short.
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 Funds expenses. For the six months ended June 30, 2020, the Funds pro rata portion of the periodic expenses charged by the Acquired Funds was less than
one 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.
21
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
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 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. As of June 30, 2020, the Fund did not hold restricted
securities.
Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized
gain/(loss) on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on an accrual basis. Premiums and discounts on debt securities are amortized using
the effective yield to maturity method. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the Fund becomes aware of such dividends.
Custodian Fee Credits and Interest Expense.
When cash balances are maintained in the custody account, the Fund receives credits which are used to offset custodian fees. The gross expenses paid under the custody arrangement are included in custodian fees in the Statement of Operations
with the corresponding expense offset, if any, shown as Custodian fee credits. When cash balances are overdrawn, the Fund is charged an overdraft fee equal to 110% of the 90 day U.S. Treasury Bill rate on outstanding balances. This
amount, if any, would be included in the Statement of Operations.
Distributions to Shareholders. Distributions to common shareholders
are recorded on the ex-dividend date. Distributions to shareholders are based on income and capital gains as determined in accordance with federal income tax regulations, which may differ from income and
capital gains as determined under GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions held by the Fund, timing differences, and differing
characterizations of distributions made by the Fund. Distributions from net investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax differences are either temporary or permanent
in nature. To the extent these differences are permanent, adjustments are made to the appropriate capital accounts in the period when the differences arise. These reclassifications have no impact on the NAV of the Fund.
22
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
The Fund declares and pays monthly distributions from net investment income, capital gains, and paid-in capital. The actual source of the distribution is determined after the end of the year. Distributions during the year may be made in excess of required distributions. Distributions sourced from paid-in capital should not be considered as dividend yield or the total return from an investment in the Fund. The Board will continue to monitor the Funds distribution level, taking into consideration the
Funds NAV and the financial market environment. The Funds distribution policy is subject to modification by the Board at any time.
Distributions to shareholders of the Funds 5.200% Series A Cumulative Preferred Shares (Series A Preferred) are accrued on a daily basis and are
determined as described in Note 5.
The tax character of distributions paid during the year ended December 31, 2019 was as follows:
|
|
|
|
|
|
|
|
|
|
|
Common
|
|
|
Preferred
|
|
Distributions paid from:
|
|
|
|
|
|
|
|
|
|
|
|
Ordinary income
|
|
|
|
|
|
$
|
979,208
|
|
Return of capital
|
|
$
|
12,537,566
|
|
|
|
545,902
|
|
|
|
|
|
|
|
|
|
|
Total distributions paid
|
|
$
|
12,537,566
|
|
|
$
|
1,525,110
|
|
|
|
|
|
|
|
|
|
|
Provision for Income Taxes. The Fund intends to continue to qualify as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). It is the policy of the Fund to comply with the requirements of the Code applicable to regulated investment companies and to distribute substantially all of its net
investment company taxable income and net capital gains. Therefore, no provision for federal income taxes is required.
The following summarizes the
tax cost of investments, written options, and the related net unrealized depreciation at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross
|
|
Gross
|
|
|
|
|
Cost/
|
|
Unrealized
|
|
Unrealized
|
|
Net Unrealized
|
|
|
Premiums
|
|
Appreciation
|
|
Depreciation
|
|
Depreciation
|
Investments and derivative instruments
|
|
$183,271,837
|
|
$15,342,630
|
|
$(51,120,510)
|
|
$(35,777,880)
|
The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Funds
tax returns to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. Income tax and related interest and penalties would be recognized by
the Fund as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold. During the six months ended June 30, 2020, the Fund did not incur
any income tax, interest, or penalties. As of June 30, 2020, the Adviser has reviewed all open tax years and concluded that there was no impact to the Funds net assets or results of operations. The Funds federal and state tax
returns for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Funds tax positions to determine if adjustments to this conclusion are necessary.
3. Investment Advisory Agreement and Other Transactions. The Fund has entered into an investment advisory agreement (the Advisory Agreement) with
the Adviser which provides that the Fund will pay the Adviser a fee, computed weekly and paid monthly, equal on an annual basis to 1.00% of the value of the Funds average weekly net assets including the liquidation value of preferred shares.
In accordance with the Advisory
23
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
Agreement, the Adviser provides a continuous investment program for the Funds portfolio and
oversees the administration of all aspects of the Funds business and affairs.
During the six months ended June 30, 2020, the Fund paid
$18,634 in brokerage commissions on security trades to G.research, LLC, an affiliate of the Adviser.
During the six months ended June 30, 2020,
the Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. The amount of such expenses paid through this directed brokerage arrangement during this period was $1,062.
The cost of calculating the Funds NAV per share is a Fund expense pursuant to the Advisory Agreement between the Fund and the Adviser. Under the sub-administration agreement with Bank of New York Mellon, the fees paid include the cost of calculating the Funds NAV. The Fund reimburses the Adviser for this service. During the six months ended
June 30, 2020, the Fund accrued $22,500 in accounting fees in the Statement of Operations.
As per the approval of the Board, the Fund
compensates officers of the Fund, who are employed by the Fund and are not employed by the Adviser (although the officers may receive incentive based variable compensation from affiliates of the Adviser). During the six months ended June 30,
2020, the Fund accrued $64,570 in Payroll expenses in the Statement of Operations.
The Fund pays each Trustee who is not considered an affiliated
person an annual retainer of $3,000 plus $1,000 for each Board meeting attended. Each Trustee is reimbursed by the Fund for any out of pocket expenses incurred in attending meetings. All Board committee members receive $500 per meeting attended, the
Audit Committee Chairman receives an annual fee of $3,000, the Nominating Committee Chairman and the Lead Trustee each receives an annual fee of $2,000. A Trustee may receive a single meeting fee, allocated among the participating funds, for
participation in certain meetings held on behalf of multiple funds. Trustees who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.
4. Portfolio Securities. Purchases and sales of securities during the six months ended June 30, 2020, other than short term securities and
U.S. Government obligations, aggregated $74,864,980 and $76,343,164, respectively.
5. Capital. The Fund is authorized to issue an unlimited
number of common shares of beneficial interest (par value $0.001). The Board has authorized the repurchase of its shares in the open market when the shares are trading at a discount of 10% or more (or such other percentage as the Board may determine
from time to time) from the NAV of the shares. During the six months ended June 30, 2020 and the year ended December 31, 2019, the Fund repurchased and retired 113,998 and 2,800 of its common shares at an investment of $528,974 and $14,314
and an average discount of approximately 14.71% and 13.96% from its NAV.
24
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
Transactions in common shares of beneficial interest for the six months ended June 30, 2020 and
year ended December 31, 2019 were as follows:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Six Months Ended
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|
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Year Ended
|
|
|
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June 30, 2020
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|
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December 31, 2019
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|
|
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Shares
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|
|
Amount
|
|
|
Shares
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|
|
Amount
|
|
Net increase in net assets from common shares issued upon reinvestment of distributions
|
|
|
13,820
|
|
|
$
|
82,569
|
|
|
|
7,402
|
|
|
$
|
43,666
|
|
Net decrease from repurchase of common shares
|
|
|
(113,998
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)
|
|
|
(528,974
|
)
|
|
|
(2,800
|
)
|
|
|
(14,314
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease)
|
|
|
(100,178
|
)
|
|
$
|
(446,405
|
)
|
|
|
4,602
|
|
|
$
|
29,352
|
|
|
|
|
|
|
|
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|
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|
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As of June 30, 2020, after considering the Series A Preferred offering, the Fund has approximately
$170 million available for issuance of common or preferred shares under the current shelf registration.
The Funds Declaration of Trust,
as amended, authorizes the issuance of an unlimited number of $0.001 par value Preferred Shares. On October 26, 2017, the Fund issued 1,200,000 shares of 5.200% Series A Cumulative Preferred Shares (Series A Preferred), receiving $28,851,132,
after the deduction of offering expenses of $203,868 and underwriting fees of $945,000. The liquidation value of the Series A Preferred is $25 per share. The Series A Preferred has an annual dividend rate of 5.200%. The Series A Preferred is non
callable before October 26, 2022. The Board has authorized the repurchase of the Series A Preferred in the open market at prices less than $25 liquidation value per share. During the six months ended June 30, 2020 and year ended
December 31, 2019, the Fund repurchased and retired 3,200 and 10,098 of the Series A Preferred shares in the open market at an investment of $70,733 and $228,335 and an average discount of approximately 11.95% and 9.59% from its liquidation
preference, respectively. At June 30, 2020, 1,170,102 shares were outstanding and accrued dividends amounted to $21,127.
The Series A Preferred
is senior to the common shares and results in the financial leveraging of the common shares. Such leveraging tends to magnify both the risks and opportunities to common shareholders. Dividends on the Series A Preferred are cumulative. The Fund is
required by the 1940 Act and by the Statement of Preferences to meet certain asset coverage tests with respect to the Series A Preferred. If the Fund fails to meet these requirements and does not correct such failure, the Fund may be required to
redeem, in part or in full, the Series A Preferred at the redemption price of $25 per share plus an amount equal to the accumulated and unpaid dividends whether or not declared on such shares in order to meet the requirements. Additionally, failure
to meet the foregoing asset coverage requirements could restrict the Funds ability to pay dividends to common shareholders and could lead to sales of portfolio securities at inopportune times. The income received on the Funds assets may
vary in a manner unrelated to the fixed rate, which could have either a beneficial or detrimental impact on net investment income and gains available to common shareholders.
The holders of Preferred Shares generally are entitled to one vote per share held on each matter submitted to a vote of shareholders of the Fund and will
vote together with holders of common shares as a single class. The holders of Preferred Shares voting together as a single class also have the right currently to elect two Trustees and, under certain circumstances, are entitled to elect a majority
of the Board of Trustees. In addition, the affirmative vote of a majority of the votes entitled to be cast by holders of all outstanding shares of the Preferred Shares, voting as a single class, will be required to approve any plan of reorganization
adversely affecting the Preferred Shares, and the approval of two-thirds of each class, voting separately, of the Funds outstanding voting shares must approve the conversion of the Fund from a closed-end to an open-end investment
25
GAMCO Natural Resources, Gold & Income Trust
Notes to Financial Statements (Unaudited) (Continued)
company. The approval of a majority (as defined in the 1940 Act) of the outstanding Preferred Shares
and a majority (as defined in the 1940 Act) of the Funds outstanding voting securities are required to approve certain other actions, including changes in the Funds investment objectives or fundamental investment policies.
6. Indemnifications. The Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these
arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds existing contracts and expects the risk of loss to be remote.
7. Subsequent Events. Management has evaluated the impact on the Fund of all subsequent events occurring through the date the financial statements
were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
Shareholder Meeting May 11, 2020 Final Results
The Funds Annual Meeting of Shareholders was held virtually on May 11, 2020. At that meeting, common and preferred shareholders, voting
together as a single class, re-elected Michael J. Melarkey and Anthonie C. van Ekris as Trustees of the Fund, with a total 16,169,236 votes, 16,143,842 votes in favor of these Trustees, and a total of 573,692
votes, 599,086 votes withheld for these Trustees, respectively.
James P. Conn, Anthony S. Colavita, Vincent D. Enright, Frank J. Fahrenkopf, Jr.,
William F. Heitmann, Kuni Nakamura and Salvatore J. Zizza continue to serve in their capacities as Trustees of the Fund.
We thank you for your
participation and appreciate your continued support.
26
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 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 Fund Complex. He received a Masters degree
in Mathematics of Decision Making from EISITI, France and an MS in Finance from ESSEC, France.
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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.
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The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading Specialized Equity
Funds, in Mondays The Wall Street Journal. It is also listed in Barrons 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.
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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 Funds 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)
|
TRUSTEES
Anthony S. Colavita
Attorney,
Anthony S. 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
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 Q2/2020