<![CDATA[Gabelli Natural Resources, Gold & Income Trust]]>

The Gabelli Natural Resources, Gold & Income Trust

Third Quarter Report — September 30, 2011

 

LOGO

Caesar Bryan

 

LOGO

Vincent Hugonnard-Roche

 

LOGO

Christopher J. Marangi

 

LOGO

Kevin V. Dreyer

To Our Shareholders,

For the quarter ended September 30, 2011, the net asset value (“NAV”) total return of The Gabelli Natural Resources, Gold & Income Trust (the “Fund”) was (18.0)%, compared with the total returns of (11.1)% and (8.0)% for the Chicago Board Options Exchange (“CBOE”) Standard & Poor’s (“S&P”) 500 Buy/Write Index and the Philadelphia Gold & Silver Index, respectively. The total return for the Fund’s publicly traded shares was (18.8)%. On September 30, 2011, the Fund’s NAV per share was $14.62, while the price of the publicly traded shares closed at $14.56 on the New York Stock Exchange (“NYSE”).

Enclosed is the schedule of investments as of September 30, 2011.

Comparative Results

 

 

Average Annual Returns through September 30, 2011 (a) (Unaudited)

 
   

Quarter

   

Since
Inception
(01/27/11)

 

Gabelli Natural Resources, Gold & Income Trust

   

NAV Total Return (b)

    (17.99 )%      (19.64 )% 

Investment Total Return (c)

    (18.79     (23.67

CBOE S&P 500 Buy/Write Index

    (11.12     (9.93 )(d) 

Philadelphia Gold & Silver Index

    (8.02     (7.46 )(d) 

Dow Jones U.S. Basic Materials Index

    (28.26     (25.80 )(d) 

S&P Global Agribusiness Equity Index

    (18.21     (19.77
  (a) Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Performance returns for periods of less than one year are not annualized. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The CBOE S&P 500 Buy/Write Index is an unmanaged benchmark index designed to reflect the return on a portfolio that consists of a long position in the stocks in the S&P 500 Index and a short position in a S&P 500 (SPX) call option. The Philadelphia Gold & Silver Index is an unmanaged indicator of stock market performance of large North American gold and silver companies. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials sector of the U.S. equity market. The S&P Global Agribusiness Equity Index is designed to provide exposure to twenty-four of the largest publicly traded agribusiness companies, comprised of a mix of Producers, Distributors & Processors, and Equipment & Materials Suppliers companies.  
  (b) Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.  
  (c) Total returns and average annual returns reflect changes in closing market values on the NYSE. Since inception return is based on an initial offering price of $20.00.  
  (d) From January 31, 2011, the date closest to the Fund’s inception for which data is available.  

 

The Fund is an income fund. The Fund intends to generate current income from short-term gains primarily through its strategy of writing (selling) covered call options on the equity securities in its portfolio. Because of its primary strategy the Fund forgoes the opportunity to participate fully in the appreciation of the underlying equity security above the exercise price of the option. It also is subject to the risk of depreciation of the underlying equity security in excess of the premium received.


GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

SCHEDULE OF INVESTMENTS

September 30, 2011 (Unaudited)

 

 

Shares

       

Market

Value

 
   
   
 

COMMON STOCKS — 96.1%

  

 

Agriculture — 6.2%

 
  172,500     

Archer-Daniels-Midland Co.

  $ 4,279,725   
  153,000     

Bunge Ltd. (a)

    8,918,370   
  104,000     

Monsanto Co. (a)

    6,244,160   
   

 

 

 
      19,442,255   
   

 

 

 
 

Energy and Energy Services — 18.2%

  

  100,000     

Anadarko Petroleum Corp. (a)

    6,305,000   
  15,000     

Apache Corp. (a)

    1,203,600   
  75,000     

Arch Coal Inc.

    1,093,500   
  290,000     

BG Group plc

    5,614,407   
  155,000     

Cameron International Corp.†

    6,438,700   
  18,000     

Cheniere Energy Inc.†

    92,700   
  30,000     

Chevron Corp.

    2,775,600   
  35,000     

CONSOL Energy Inc.

    1,187,550   
  40,000     

Halliburton Co. (a)

    1,220,800   
  150,000     

LDK Solar Co Ltd., ADR†

    468,000   
  135,000     

National Oilwell
Varco Inc. (a)

    6,914,700   
  20,000     

Occidental Petroleum Corp.

    1,430,000   
  170,000     

Renesola Ltd., ADR† (a)

    292,400   
  60,000     

Schlumberger Ltd.

    3,583,800   
  50,000     

Statoil ASA, ADR

    1,077,500   
  195,000     

Suncor Energy Inc. (a)

    4,960,800   
  142,000     

Total SA, ADR (a)

    6,229,540   
  25,000     

Transocean Ltd.

    1,193,500   
  130,000     

Trina Solar Ltd., ADR†

    790,400   
  670,000     

USEC Inc.†

    1,078,700   
  270,000     

Weatherford International
Ltd.† (a)

    3,296,700   
   

 

 

 
      57,247,897   
   

 

 

 
 

Food and Beverage — 1.0%

 
  80,000     

Corn Products International Inc.

    3,139,200   
   

 

 

 
 

Machinery — 3.6%

 
  120,000     

CNH Global NV†

    3,148,800   
  87,500     

Deere & Co. (a)

    5,649,875   
  40,000     

Joy Global Inc.

    2,495,200   
   

 

 

 
      11,293,875   
   

 

 

 
 

Metals and Mining — 53.5%

 
  195,000     

Agnico-Eagle Mines Ltd. (a)

    11,606,400   
  300,000     

Alderon Resource Corp.†

    724,306   
  216,666     

Allied Gold Mining plc†

    661,639   
  134,000     

Alpha Natural Resources Inc.† (a)

    2,370,460   
  200,000     

AngloGold Ashanti Ltd., ADR

    8,272,000   
  166,000     

Antofagasta plc

    2,398,351   

Shares

       

Market

Value

 
   
  210,000     

Barrick Gold Corp. (a)

  $ 9,796,500   
  20,000     

BHP Billiton Ltd., ADR

    1,328,800   
  150,000     

Compania de Minas Buenaventura SA, ADR (a)

    5,661,000   
  300,000     

Duluth Metals Ltd.†

    661,323   
  200,000     

Eldorado Gold Corp.

    3,444,985   
  110,000     

Franco-Nevada Corp.

    3,979,483   
  153,000     

Freeport-McMoRan Copper & Gold Inc. (a)

    4,658,850   
  263,000     

Globe Specialty Metals Inc.

    3,818,760   
  630,000     

Gold Fields Ltd., ADR

    9,651,600   
  110,000     

Goldcorp Inc. (a)

    5,020,400   
  353,100     

Harmony Gold Mining Co. Ltd., ADR (a)

    4,141,863   
  400,000     

Hochschild Mining plc

    2,551,188   
  100,000     

IAMGOLD Corp.

    1,978,000   
  770,000     

Kinross Gold Corp. (a)

    11,380,600   
  900,000     

Lundin Mining Corp.†

    3,134,841   
  200,000     

Nevada Copper Corp.†

    713,809   
  235,000     

Newcrest Mining Ltd.

    7,722,100   
  205,000     

Newmont Mining Corp. (a)

    12,894,500   
  300,000     

Northam Platinum Ltd.

    1,225,711   
  500,000     

Northgate Minerals Corp.†

    1,650,000   
  740,000     

PanAust Ltd.†

    1,818,885   
  58,000     

Peabody Energy Corp.

    1,965,040   
  600,000     

Perseus Mining Ltd.†

    1,770,887   
  130,000     

Randgold Resources Ltd.,
ADR (a)

    12,573,600   
  27,500     

Rio Tinto plc, ADR (a)

    1,212,200   
  750,000     

Romarco Minerals Inc.†

    851,703   
  120,000     

Royal Gold Inc. (a)

    7,687,200   
  50,000     

Teck Resources Ltd., Cl. B

    1,459,500   
  160,000     

Titanium Metals Corp.

    2,396,800   
  46,000     

Umicore SA

    1,692,622   
  180,000     

Vale SA, ADR (a)

    4,104,000   
  50,000     

Vedanta Resources plc

    858,453   
  80,000     

Xstrata plc

    1,023,968   
  477,500     

Yamana Gold Inc. (a)

    6,522,650   
   

 

 

 
      167,384,977   
   

 

 

 
 

Specialty Chemicals — 13.6%

  

  110,000     

Agrium Inc. (a)

    7,332,600   
  27,500     

Air Liquide SA

    3,241,449   
  26,000     

CF Industries Holdings Inc.

    3,208,140   
  108,000     

E. I. du Pont de Nemours
and Co. (a)

    4,316,760   
  28,000     

FMC Corp.

    1,936,480   
  50,000     

Intrepid Potash Inc.†

    1,243,500   
  170,000     

Potash Corp of
Saskatchewan Inc.

    7,347,400   
  18,000     

Praxair Inc.

    1,682,640   
  59,900     

Rockwood Holdings Inc.†

    2,018,031   
 

 

See accompanying notes to schedule of investments.

 

2


GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011 (Unaudited)

 

Shares

       

Market

Value

 
   
 

COMMON STOCKS (Continued)

 
 

Specialty Chemicals (Continued)

 
  218,000     

The Dow Chemical Co. (a)

  $ 4,896,280   
  106,000     

The Mosaic Co.

    5,190,820   
   

 

 

 
      42,414,100   
   

 

 

 

 

TOTAL COMMON STOCKS

    300,922,304   
   

 

 

 

 

WARRANTS — 0.0%

 
 

Metals and Mining — 0.0%

 
  20,000     

Duluth Metals Ltd., expire 01/18/13† (b)

    0   
   

 

 

 

Principal
Amount

       

  

 
 

U.S. GOVERNMENT OBLIGATIONS — 3.9%

  

$ 12,070,000     

U.S. Treasury Bills,
0.010% to 0.080%††,
12/01/11 to 03/15/12

    12,068,590   
   

 

 

 

 
 

TOTAL INVESTMENTS — 100.0%
(Cost $398,821,196)

  $ 312,990,894   
   

 

 

 
 

Aggregate tax cost

  $ 398,821,196   
   

 

 

 
 

Gross unrealized appreciation

  $ 7,620,871   
 

Gross unrealized depreciation

    (93,451,173
   

 

 

 
 

Net unrealized appreciation/depreciation

  $ (85,830,302
   

 

 

 

 

Number of
Contracts

       

Expiration Date/
Exercise Price

   

Market

Value

 
     
 

OPTIONS CONTRACTS WRITTEN (c)— (3.9)%

  

 

Call Options Written — (3.4)%

  

 
  1,490     

Agnico-Eagle Mines Ltd.

    Jan. 12/80      $ 153,470   
  460     

Agnico-Eagle Mines Ltd.

    Feb. 12/80        59,570   
  300     

Agrium Inc.

    Jan. 12/82.50        56,250   
  800     

Agrium Inc.

    Jan. 12/85        114,000   
  257     

Air Liquide SA (d)

    Dec. 11/92        1,136   
  1,340     

Alpha Natural Resources Inc.

    Jan. 12/31        52,260   
  1,000     

Anadarko Petroleum Corp.

    Nov. 11/75        207,000   
  2,000     

AngloGold Ashanti Ltd., ADR

    Jan. 12/55        130,000   
  158     

Antofagasta plc (e)

    Dec. 11/1200        59,441   
  150     

Apache Corp.

    Jan. 12/100        33,450   
  400     

Arch Coal Inc.

    Oct. 11/30        1,000   
  350     

Arch Coal Inc.

    Nov. 11/20        9,100   
  925     

Archer-Daniels-Midland Co.

    Dec. 11/29        51,800   
  800     

Archer-Daniels-Midland Co.

    Jan. 12/32        22,000   
  1,000     

Barrick Gold Corp.

    Jan. 12/55        185,000   
  1,100     

Barrick Gold Corp.

    Jan. 12/60        108,900   
  290     

BG Group plc(e)

    Mar. 12/1400        345,954   
  200     

BHP Billiton Ltd., ADR

    Jan. 12/70        115,000   
  1,000     

Bunge Ltd.

    Jan. 12/62.50        320,000   
  530     

Bunge Ltd.

    Jan. 12/72.50        46,375   
  1,550     

Cameron International Corp.

    Jan. 12/55        158,875   

Number of
Contracts

       

Expiration Date/
Exercise Price

   

Market

Value

 
     
  260     

CF Industries Holdings Inc.

    Feb. 12/145      $ 356,200   
  180     

Cheniere Energy Inc.

    Mar. 12/12        4,950   
  300     

Chevron Corp.

    Dec. 11/100        89,400   
  800     

CNH Global NV

    Dec. 11/35        62,000   
  400     

CNH Global NV

    Dec. 11/40        10,000   
  1,500     

Compania de Minas Buenaventura SA, ADR

    Dec. 11/45        225,000   
  350     

CONSOL Energy Inc.

    Dec. 11/45        35,885   
  800     

Corn Products
International Inc.

    Jan. 12/47.50        77,752   
  650     

Deere & Co.

    Dec. 11/87.50        23,400   
  225     

Deere & Co.

    Dec. 11/90        4,950   
  780     

E.I. du Pont de Nemours
& Co.

    Jan. 12/46        103,740   
  300     

E.I. du Pont de Nemours
& Co.

    Jan. 12/55        6,000   
  2,000     

Eldorado Gold Corp. (f)

    Jan. 12/23        121,195   
  280     

FMC Corp.

    Nov. 11/80        46,900   
  600     

Franco-Nevada Corp. (f)

    Oct. 11/36        147,438   
  500     

Franco-Nevada Corp. (f)

    Oct. 11/40        29,822   
  1,530     

Freeport-McMoRan Copper & Gold Inc.

    Jan. 12/39.50        208,080   
  2,630     

Globe Specialty Metals Inc.

    Dec. 11/22.50        65,750   
  6,300     

Gold Fields Ltd., ADR

    Jan. 12/20        211,050   
  200     

Goldcorp Inc.

    Oct. 11/49        22,400   
  900     

Goldcorp Inc.

    Jan. 12/60        100,800   
  400     

Halliburton Co.

    Jan. 12/50        8,800   
  2,000     

Harmony Gold Mining Co.
Ltd., ADR

    Nov. 11/15        40,000   
  1,531     

Harmony Gold Mining Co.
Ltd., ADR

    Feb. 12/15        76,550   
  500     

IAMGOLD Corp.

    Dec. 11/20        96,250   
  500     

IAMGOLD Corp.

    Jan. 12/20        113,750   
  500     

Intrepid Potash Inc.

    Dec. 11/33        30,000   
  400     

Joy Global Inc.

    Jan. 12/100        29,200   
  1,200     

Kinross Gold Corp.

    Nov. 11/17        54,000   
  1,800     

Kinross Gold Corp.

    Jan. 12/20        70,200   
  4,700     

Kinross Gold Corp.

    Feb. 12/21        176,250   
  1,500     

LDK Solar Co. Ltd., ADR

    Dec. 11/13        5,250   
  9,000     

Lundin Mining Corp.(f)

    Jan. 12/7        73,003   
  400     

Monsanto Co.

    Nov. 11/72.50        22,000   
  640     

Monsanto Co.

    Jan. 12/72.50        115,840   
  350     

National Oilwell Varco Inc.

    Nov. 11/70        11,200   
  1,000     

National Oilwell Varco Inc.

    Jan. 12/67.50        169,000   
  1,000     

National Oilwell Varco Inc.

    Feb. 12/77.50        80,500   
  1,449     

Newcrest Mining Ltd. (g)

    Dec. 11/41        70,110   
  900     

Newcrest Mining Ltd. (g)

    Jan. 12/42.50        36,483   
  700     

Newmont Mining Corp.

    Jan. 12/65        367,500   
  750     

Newmont Mining Corp.

    Jan. 12/67.50        333,750   
  600     

Newmont Mining Corp.

    Jan. 12/70        190,500   
  200     

Occidental Petroleum Corp.

    Jan. 12/75        133,000   
 

 

See accompanying notes to schedule of investments.

 

3


GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011 (Unaudited)

 

Number of
Contracts

       

Expiration Date/
Exercise Price

   

Market

Value

 
 

OPTIONS CONTRACTS WRITTEN (Continued)

  

 

Call Options Written (Continued)

  

 
     
  280     

Peabody Energy Corp.

    Dec. 11/50      $ 8,680   
  300     

Peabody Energy Corp.

    Mar. 12/46        51,900   
  1,700     

Potash Corp of
Saskatchewan Inc.

    Mar. 12/55        329,800   
  180     

Praxair Inc.

    Jan. 12/110        26,550   
  900     

Randgold Resources
Ltd., ADR

    Dec. 11/92.50        981,000   
  400     

Randgold Resources
Ltd., ADR

    Jan. 12/120        110,000   
  700     

Renesola Ltd., ADR

    Oct. 11/6        7,000   
  1,000     

Renesola Ltd., ADR

    Oct. 11/11        5,000   
  275     

Rio Tinto plc, ADR

    Jan. 12/50        99,000   
  299     

Rockwood Holdings Inc.

    Feb. 12/55        20,930   
  300     

Rockwood Holdings Inc.

    May 12/45        84,000   
  500     

Royal Gold Inc.

    Oct. 11/55        530,000   
  700     

Royal Gold Inc.

    Oct. 11/60        413,000   
  300     

Schlumberger Ltd.

    Jan. 12/75        51,300   
  300     

Schlumberger Ltd.

    Feb. 12/90        14,400   
  500     

Statoil ASA, ADR

    Jan. 12/25        38,000   
  1,919     

Suncor Energy Inc.

    Dec. 11/40        16,312   
  200     

Teck Resources Ltd.,
Cl. B

    Jan. 12/52.50        1,800   
  300     

Teck Resources Ltd.,
Cl. B

    Feb. 12/35        71,100   
  2,180     

The Dow Chemical Co.

    Dec. 11/37        6,540   
  660     

The Mosaic Co.

    Jan. 12/67.50        87,780   
  400     

The Mosaic Co.

    Jan. 12/72.50        23,200   
  800     

Titanium Metals Corp.

    Dec. 11/21        12,000   
  800     

Titanium Metals Corp.

    Jan. 12/19        44,000   
  1,420     

Total SA, ADR

    Jan. 12/50        198,800   
  250     

Transocean Ltd.

    Feb. 12/62.50        37,375   
  1,300     

Trina Solar Ltd.

    Dec. 11/26        6,500   
  460     

Umicore SA(d)

    Dec. 11/40        8,320   
  6,700     

USEC Inc.

    Oct. 11/4        33,500   
  1,800     

Vale SA, ADR

    Jan. 12/25        251,100   
  50     

Vedanta Resources plc (e)

    Dec. 11/2400        0   
  2,700     

Weatherford International Ltd.

    Jan. 12/19        56,700   
  15     

Xstrata plc (e)

    Dec. 11/920        11,578   
  65     

Xstrata plc (e)

    Dec. 11/1100        15,204   
  775     

Yamana Gold Inc.

    Oct. 11/13        89,900   
  4,000     

Yamana Gold Inc.

    Apr. 12/20        242,000   
     

 

 

 
 

TOTAL CALL OPTIONS WRITTEN (Premiums received $14,837,735)

   

    10,470,698   
     

 

 

 
 

Put Options Written — (0.5)%

  

 
  1,300     

ArcelorMittal

    Dec. 11/28        1,621,750   
     

 

 

 
 

TOTAL PUT OPTIONS WRITTEN
(Premiums received $162,988)

   

    1,621,750   
     

 

 

 
 

TOTAL OPTION CONTRACTS WRITTEN
(Premiums received $15,000,723)

    

  $ 12,092,448   
     

 

 

 
 

Aggregate premiums

    $ 15,000,723   
   

 

 

 

 

 
 

Gross unrealized appreciation

      6,372,584   
 

Gross unrealized depreciation

      (3,464,309
   

 

 

 

 

 
 

Net unrealized appreciation/depreciation

      2,908,275   
   

 

 

 

 

 

 

(a) Securities, or a portion thereof, with a value of $147,400,951 were pledged as collateral for options written.
(b) Security fair valued under procedures established by the Board of Directors. The procedures may include reviewing available financial information about the company and reviewing the valuation of comparable securities and other factors on a regular basis. At September 30, 2011, the fair valued security had no market value.
(c) At September 30, 2011, the Fund has entered into over-the-counter Option Contracts Written with Pershing LLC and Morgan Stanley.
(d) Exercise price denoted in Euros.
(e) Exercise price denoted in British Pounds.
(f) Exercise price denoted in Canadian dollars.
(g) Exercise price denoted in Australian dollars.
Non-income producing security.
†† Represents annualized yield at date of purchase.
ADR American Depositary Receipt

 

Geographic Diversification

  

% of
Market
Value

   

Market
Value

 

Long Positions

    

North America

     70.0   $ 218,969,330   

Europe

     14.7        46,112,279   

South Africa

     7.4        23,291,174   

Asia/Pacific

     4.6        14,385,111   

Latin America

     3.3        10,233,000   
  

 

 

   

 

 

 

Total Investments

     100.0   $ 312,990,894   
  

 

 

   

 

 

 

Short Positions

    

North America

     (2.7 )%    $ (8,432,646

Europe

     (1.0     (3,115,159

Latin America

     (0.1     (231,500

South Africa

     (0.1     (206,550

Asia/Pacific

     (0.0     (106,593
  

 

 

   

 

 

 

Total Investments

     (3.9 )%    $ (12,092,448
  

 

 

   

 

 

 
 

 

See accompanying notes to schedule of investments.

 

4


THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

The Fund’s schedule of investments is prepared in accordance with U.S. Generally Accepted Accounting Principles (“GAAP”), which may require the use of management estimates and assumptions. Actual results could differ from those estimates. The following is a summary of significant accounting policies to be followed by the Fund in the preparation of its schedule of investments.

Organization.  The Gabelli 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 Act of 1940, as amended (the “1940 Act”). Investment operations commenced operations on January 31, 2011.

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

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt instruments with remaining maturities of sixty days or less that are not credit impaired are valued at amortized cost, 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. Debt instruments having a maturity greater than sixty days for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price. U.S. government obligations with maturities greater than sixty days are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations.

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 ADR securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

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

 

   

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

 

   

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

 

5


THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

 

 

   

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

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of September 30, 2011 is as follows:

 

    Valuation Inputs        
    Level 1
Quoted
Prices
    Level 2
Other Significant
Observable Inputs
    Level 3 Other
Significant
Unobservable
Inputs
    Total
Market Value
at 9/30/11
 

INVESTMENTS IN SECURITIES:

       

ASSETS (Market Value):

       

Common Stocks:

       

Metals and Mining

  $ 160,741,577      $ 7,722,100             $ 168,463,677   

Other Industries (a)

    132,458,627                      132,458,627   

Total Common Stocks

    293,200,204        7,722,100               300,922,304   

Warrants:

       

Metals and Mining

                $                      0        0   

U.S. Government Obligations

           12,068,590               12,068,590   

TOTAL INVESTMENTS IN SECURITIES – ASSETS

  $ 293,200,204      $ 19,790,690      $ 0      $ 312,990,894   

INVESTMENTS IN SECURITIES:

       

LIABILITIES (Market Value):

       

EQUITY CONTRACTS:

       

Call Options Written

  $ (6,057,223   $ (4,413,475   $                     —      $ (10,470,698

Put Options Written

    (1,621,750                   (1,621,750

TOTAL INVESTMENTS IN SECURITIES – LIABILITIES

  $ (7,678,973   $ (4,413,475   $                      —      $ (12,092,448

 

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

The Fund did not have significant transfers between Level 1 and Level 2 during the period ended September 30, 2011.

In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”).” ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers into and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

 

6


THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

 

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

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

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

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

The Fund’s derivative contracts held at September 30, 2011, if any, are not accounted for as hedging instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.

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

 

7


THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

 

as favorable as on the expiring transaction. At September 30, 2011, the Fund held no investments in equity contract for difference swap agreements.

Options. The Fund may purchase or write call or put options on securities or indices for the purpose of achieving additional return. 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. 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.

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.

In the case of call options, these 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 September 30, 2011 are reflected within the Schedule of Investments.

The following table summarizes the market value of derivatives held at September 30, 2011 by primary risk exposure:

 

Liability Derivatives:

   Market Value  

Equity Contracts

   $ (12,092,448

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

Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. In addition, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

 

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. The financial statements and investment portfolio are mailed separately from the commentary. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabelli.com.

 

8


AUTOMATIC DIVIDEND REINVESTMENT

AND VOLUNTARY CASH PURCHASE PLANS

Enrollment in the Plan

It is the policy of The Gabelli Natural Resources, Gold & Income Trust (the “Fund”) to automatically reinvest dividends payable to common shareholders. As a “registered” shareholder you automatically become a participant in the Fund’s Automatic Dividend Reinvestment Plan (the “Plan”). The Plan authorizes the Fund to credit shares of common stock to participants upon an income dividend or a capital gains distribution regardless of whether the shares are trading at a discount or a premium to net asset value. All distributions to shareholders whose shares are registered in their own names will be automatically reinvested pursuant to the Plan in additional shares of the Fund. Plan participants may send their stock certificates to American Stock Transfer (“AST”) to be held in their dividend reinvestment account. Registered shareholders wishing to receive their distribution in cash must submit this request in writing to:

The Gabelli Natural Resources, Gold & Income Trust

c/o American Stock Transfer

6201 15th Avenue

Brooklyn, NY 11219

Shareholders requesting this cash election must include the shareholder’s name and address as they appear on the share certificate. Shareholders with additional questions regarding the Plan or requesting a copy of the terms of the Plan, may contact AST at (888) 422-3262.

If your shares are held in the name of a broker, bank, or nominee, you should contact such institution. If such institution is not participating in the Plan, your account will be credited with a cash dividend. In order to participate in the Plan through such institution, it may be necessary for you to have your shares taken out of “street name” and re-registered in your own name. Once registered in your own name your dividends will be automatically reinvested. Certain brokers participate in the Plan. Shareholders holding shares in “street name” at participating institutions will have dividends automatically reinvested. Shareholders wishing a cash dividend at such institution must contact their broker to make this change.

The number of shares of common stock distributed to participants in the Plan in lieu of cash dividends is determined in the following manner. Under the Plan, whenever the market price of the Fund’s common stock is equal to or exceeds net asset value at the time shares are valued for purposes of determining the number of shares equivalent to the cash dividends or capital gains distribution, participants are issued shares of common stock valued at the greater of (i) the net asset value as most recently determined or (ii) 95% of the then current market price of the Fund’s common stock. The valuation date is the dividend or distribution payment date or, if that date is not a New York Stock Exchange (“NYSE”) trading day, the next trading day. If the net asset value of the common stock at the time of valuation exceeds the market price of the common stock, participants will receive shares from the Fund valued at market price. If the Fund should declare a dividend or capital gains distribution payable only in cash, AST will buy common stock in the open market, or on the NYSE or elsewhere, for the participants’ accounts, except that AST will endeavor to terminate purchases in the open market and cause the Fund to issue shares at net asset value if, following the commencement of such purchases, the market value of the common stock exceeds the then current net asset value.

The automatic reinvestment of dividends and capital gains distributions will not relieve participants of any income tax which may be payable on such distributions. A participant in the Plan will be treated for federal income tax purposes as having received, on a dividend payment date, a dividend or distribution in an amount equal to the cash the participant could have received instead of shares.

Voluntary Cash Purchase Plan

The Voluntary Cash Purchase Plan is yet another vehicle for our shareholders to increase their investment in the Fund. In order to participate in the Voluntary Cash Purchase Plan, shareholders must have their shares registered in their own name.

Participants in the Voluntary Cash Purchase Plan have the option of making additional cash payments to AST for investments in the Fund’s shares at the then current market price. Shareholders may send an amount from $250 to $10,000. AST will use these funds to purchase shares in the open market on or about the 1st and 15th of each month. AST will charge each shareholder who participates $0.75, plus a pro rata share of the brokerage commissions. Brokerage charges for such purchases are expected to be less than the usual brokerage charge for such transactions. It is suggested that any voluntary cash payments be sent to American Stock Transfer, 6201 15th Avenue, Brooklyn, NY 11219 such that AST receives such payments approximately 10 days before the 1st and 15th of the month. Funds not received at least five days before the investment date shall be held for investment until the next purchase date. A payment may be withdrawn without charge if notice is received by AST at least 48 hours before such payment is to be invested.

Shareholders wishing to liquidate shares held at AST must do so in writing or by telephone. Please submit your request to the above mentioned address or telephone number. Include in your request your name, address, and account number. The cost to liquidate shares is $2.50 per transaction as well as the brokerage commission incurred. Brokerage charges are expected to be less than the usual brokerage charge for such transactions.

For more information regarding the Dividend Reinvestment Plan and Voluntary Cash Purchase Plan, brochures are available by calling (914) 921-5070 or by writing directly to the Fund.

The Fund reserves the right to amend or terminate the Plan as applied to any voluntary cash payments made and any dividend or distribution paid subsequent to written notice of the change sent to the members of the Plan at least 90 days before the record date for such dividend or distribution. The Plan also may be amended or terminated by AST on at least 90 days written notice to participants in the Plan.


THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

AND YOUR PERSONAL PRIVACY

Who are we?

The Gabelli Natural Resources, Gold & Income Trust (the “Fund”) is a closed-end management investment company registered with the Securities and Exchange Commission under the Investment Company Act of 1940. We are managed by Gabelli Funds, LLC, which is affiliated with GAMCO Investors, Inc. GAMCO Investors, Inc. is a publicly held company that has subsidiaries that provide investment advisory or brokerage services for a variety of clients.

What kind of non-public information do we collect about you if you become a Fund shareholder?

When you purchase shares of the Fund on the New York Stock Exchange, you have the option of registering directly with our transfer agent in order, for example, to participate in our dividend reinvestment plan.

 

 

Information you give us on your application form.  This could include your name, address, telephone number, social security number, bank account number, and other information.

 

 

Information about your transactions with us.  This would include information about the shares that you buy or sell; it may also include information about whether you sell or exercise rights that we have issued from time to time. If we hire someone else to provide services—like a transfer agent—we will also have information about the transactions that you conduct through them.

What information do we disclose and to whom do we disclose it?

We do not disclose any non-public personal information about our customers or former customers to anyone other than our affiliates, our service providers who need to know such information, and as otherwise permitted by law. If you want to find out what the law permits, you can read the privacy rules adopted by the Securities and Exchange Commission. They are in volume 17 of the Code of Federal Regulations, Part 248. The Commission often posts information about its regulations on its website, www.sec.gov.

What do we do to protect your personal information?

We restrict access to non-public personal information about you to the people who need to know that information in order to provide services to you or the Fund and to ensure that we are complying with the laws governing the securities business. We maintain physical, electronic, and procedural safeguards to keep your personal information confidential.


LOGO

TRUSTEES AND OFFICERS

THE GABELLI NATURAL RESOURCES, GOLD & INCOME TRUST

One Corporate Center, Rye, NY 10580-1422

 

Trustees

Anthony J. Colavita

President,

Anthony J. Colavita, P.C.

James P. Conn

Former Managing Director &

Chief Investment Officer,

Financial Security Assurance Holdings Ltd.

Mario d’Urso

Former Italian Senator

Vincent D. Enright

Former Senior Vice President &

Chief Financial Officer,

KeySpan Corp.

Frank J. Fahrenkopf, Jr.

President & Chief Executive Officer,

American Gaming Association

William F. Heitmann

Former Senior Vice President of Finance

Verizon Communications, Inc.

Michael J. Melarkey

Attorney-at-Law,

Avansino, Melarkey, Knobel & Mulligan

Kuni Nakamura

President,

Advanced Polymer, Inc.

Anthonie C. van Ekris

Chairman, BALMAC International, Inc.

Salvatore J. Zizza

Chairman, Zizza & Co., Ltd.

Officers

Bruce N. Alpert

President

Carter W. Austin

Vice President

Peter D. Goldstein

Chief Compliance Officer

Molly A.F. Marion

Vice President & Ombudsman

Agnes Mullady

Treasurer & Secretary

David I. Schachter

Vice President & Ombudsman

Investment Adviser

Gabelli Funds, LLC

Custodian

The Bank of New York Mellon

Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Transfer Agent and Registrar

American Stock Transfer and Trust Company

 

Stock Exchange Listing     

Common

NYSE Symbol:

     GNT

Shares Outstanding:

     20,633,894
 

 

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

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

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

 

For general information about the Gabelli Funds, call 800-GABELLI (800-422-3554), fax us at 914-921-5118, visit Gabelli Funds’ Internet homepage at: www.gabelli.com, or e-mail us at: closedend@gabelli.com

 

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may, from time to time, purchase its common shares in the open market when the Fund’s shares are trading at a discount of 10.0% or more from the net asset value of the shares.


LOGO