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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number                    811-22216                             

GAMCO Natural Resources, Gold & Income Trust by Gabelli (formerly, The Gabelli Natural

Resources, Gold & Income Trust)

(Exact name of registrant as specified in charter)

One Corporate Center

                    Rye, New York 10580-1422                    

(Address of principal executive offices) (Zip code)

Bruce N. Alpert

Gabelli Funds, LLC

One Corporate Center

                    Rye, New York 10580-1422                    

(Name and address of agent for service)

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

Date of fiscal year end:   December 31

Date of reporting period:   June 30, 2012

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Semiannual Report — June 30, 2012

 

LOGO

To Our Shareholders,

For the six months ended June 30, 2012, the net asset value (“NAV”) total return of the GAMCO Natural Resources, Gold & Income Trust by Gabelli (the “Fund”) was (3.0)%, compared with total returns of 4.8% and (12.8)% 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 15.4%. The Fund’s NAV per share was $13.81, while the price of the publicly traded shares closed at $14.66 on the New York Stock Exchange (“NYSE”). See below for additional performance information.

Enclosed are the schedule of investments and financial statements as of June 30, 2012.

Comparative Results

Average Annual Returns through June 30, 2012 (a) (Unaudited)

      Year to
Date
    1 Year     Since
Inception
(01/27/11)
 

GAMCO Natural Resources, Gold & Income Trust by Gabelli

      

NAV Total Return (b)

     (2.99)     (15.85)     (12.63)

Investment Total Return (c)

     15.44         (10.95)        (11.69)   

CBOE S&P 500 Buy/Write Index

     4.78         8.15         9.60   (d) 

Philadelphia Gold & Silver Index

     (12.79)        (21.67)        (21.20) (d) 

Dow Jones U.S. Basic Materials Index

     1.73         (15.94)        (13.06) (d) 

S&P Global Agribusiness Equity Index

     4.93         (8.13)        (6.18)   
  (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. Performance returns for periods of less than one year are not annualized. 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. 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 returns reflect changes in closing market values on the NYSE and reinvestment of distributions. Since inception return is based on an initial offering price of $20.00.

 
  (d)

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

 


Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of total investments as of June 30, 2012:

GAMCO Natural Resources, Gold & Income Trust by Gabelli

 

              

Long Positions

  

Metals and Mining

     49.5

Energy and Energy Services

     21.6

Specialty Chemicals

     14.1

Agriculture

     5.6

Machinery

     5.5

U.S. Government Obligations

     2.9

Food and Beverage

     0.8
  

 

 

 
     100.0
  

 

 

 
              

Short Positions

  

Call Options Written

     (2.5 )% 
  

 

 

 
     (2.5 )% 
  

 

 

 
 

 

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI (800-422-3554).The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. A description of the Fund’s proxy voting policies, procedures, and how the Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC’s website at www.sec.gov.

Shareholder Meeting – May 14, 2012 – Final Results

The Fund’s Annual Meeting of Shareholders was held on May 14, 2012 at the Greenwich Library in Greenwich, Connecticut. At that meeting, common and preferred shareholders, voting together as a single class, elected Anthony J. Colavita, Frank J. Fahrenkopf, Jr., William F. Heitmann, and Salvatore J. Zizza as Trustees of the Fund. A total of 18,684,869 votes, 18,688,972 votes, 18,756,251 votes, and 17,109,566 votes were cast in favor of these Trustees and a total of 462,320 votes, 458,218 votes, 390,939 votes, and 2,037,624 votes were withheld for these Trustees, respectively.

James P. Conn, Mario d’Urso, Vincent D. Enright, Michael J. Melarkey, Kuni Nakamura, and Anthonie C. van Ekris continue to serve in their capacities as Trustees of the Fund.

We thank you for your participation and appreciate your continued support.

 

2


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Schedule of Investments — June 30, 2012 (Unaudited)

 

 

Shares           Cost      Market Value  
   COMMON STOCKS — 97.1%   
   Agriculture — 5.6%   
  139,600      

Archer-Daniels-Midland Co.

   $     5,021,127       $     4,120,992   
  153,000      

Bunge Ltd.(a)

     10,772,798         9,599,220   
  25,000      

Monsanto Co.

     1,937,215         2,069,500   
  10,600      

Syngenta AG, ADR

     676,492         725,464   
     

 

 

    

 

 

 
        18,407,632         16,515,176   
     

 

 

    

 

 

 
  

Energy and Energy Services — 21.6%

  

  80,000      

Anadarko Petroleum Corp.(a)

     6,620,200         5,296,000   
  35,000      

Apache Corp.(a)

     3,432,534         3,076,150   
  75,000      

Arch Coal Inc.

     1,991,685         516,750   
  30,000      

Baker Hughes Inc.

     1,461,000         1,233,000   
  135,000      

BG Group plc

     3,099,840         2,748,586   
  155,000      

Cameron International Corp.†(a)

     9,027,023         6,620,050   
  30,000      

Chevron Corp.

     3,202,938         3,165,000   
  35,000      

CONSOL Energy Inc.

     1,761,130         1,058,400   
  50,000      

Devon Energy Corp.(a)

     3,204,730         2,899,500   
  120,000      

Halliburton Co.(a)

     4,727,084         3,406,800   
  150,000      

LDK Solar Co Ltd., ADR†

     1,759,695         286,500   
  150,000      

Nabors Industries Ltd.†

     2,574,120         2,160,000   
  40,000      

National Oilwell Varco Inc.

     2,994,868         2,577,600   
  35,000      

Noble Energy Inc.

     3,444,700         2,968,700   
  20,000      

Occidental Petroleum Corp.

     2,039,698         1,715,400   
  170,000      

ReneSola Ltd., ADR†(a)

     1,849,498         214,200   
  95,000      

Schlumberger Ltd.

     7,743,127         6,166,450   
  195,000      

Suncor Energy Inc.(a)

     8,720,226         5,645,250   
  139,500      

Total SA, ADR(a)

     8,339,400         6,270,525   
  25,000      

Transocean Ltd.

     1,982,750         1,118,250   
  130,000      

Trina Solar Ltd., ADR†

     3,954,177         826,800   
  270,000      

Weatherford International Ltd.†(a)

     5,759,784         3,410,100   
     

 

 

    

 

 

 
        89,690,207         63,380,011   
     

 

 

    

 

 

 
  

Food and Beverage — 0.8%

  

  50,000      

Ingredion Inc.

     2,803,000         2,476,000   
     

 

 

    

 

 

 
  

Machinery — 5.5%

  

  120,000      

CNH Global NV†

     5,723,200         4,663,200   
  87,500      

Deere & Co.(a)

     7,570,279         7,076,125   
  80,000      

Joy Global Inc.

     6,885,940         4,538,400   
     

 

 

    

 

 

 
        20,179,419         16,277,725   
     

 

 

    

 

 

 
  

Metals and Mining — 49.5%

  

  195,000      

Agnico-Eagle Mines Ltd.(a)

     13,327,637         7,889,700   
  300,000      

Alderon Iron Ore Corp.†

     1,222,321         665,947   
  216,666      

Allied Gold Mining plc, CDI†

     903,239         510,043   
  134,000      

Alpha Natural Resources Inc.†(a)

     7,180,900         1,167,140   
  200,000      

AngloGold Ashanti Ltd., ADR

     9,370,970         6,868,000   
  168,490      

Antofagasta plc

     3,770,878         2,871,014   
  130,000      

ArcelorMittal

     3,477,057         1,985,100   
  182,500      

AuRico Gold Inc.†

     1,801,275         1,461,825   
  230,000      

Barrick Gold Corp.(a)

     10,966,283         8,641,100   
  19,500      

BHP Billiton Ltd., ADR

     1,767,086         1,273,350   
Shares           Cost     

Market

Value

 
  150,000      

Compania de Minas Buenaventura SA, ADR(a)

   $ 6,265,500       $ 5,697,000   
  300,000      

Duluth Metals Ltd.†

     879,876         439,053   
  630,000      

Eldorado Gold Corp.

     9,535,604         7,759,748   
  80,000      

Franco-Nevada Corp.

     3,221,783         3,617,719   
  153,000      

Freeport-McMoRan Copper & Gold Inc.(a)

     8,159,025         5,212,710   
  263,000      

Globe Specialty Metals Inc.

     5,790,428         3,532,090   
  630,000      

Gold Fields Ltd., ADR

     10,205,502         8,070,300   
  180,000      

Goldcorp Inc.(a)

     7,748,117         6,764,400   
  353,100      

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

     4,114,481         3,319,140   
  400,000      

Hochschild Mining plc

     3,481,157         2,944,981   
  100,000      

IAMGOLD Corp.

     2,190,490         1,180,000   
  770,000      

Kinross Gold Corp.(a)

     12,880,699         6,275,500   
  900,000      

Lundin Mining Corp.†

     6,606,974         3,730,478   
  200,000      

Nevada Copper Corp.†

     1,102,200         371,280   
  235,000      

Newcrest Mining Ltd.(b)

     9,095,713         5,531,900   
  205,000      

Newmont Mining Corp.(a)

     11,106,702         9,944,550   
  300,000      

Northam Platinum Ltd.

     2,051,994         853,216   
  740,000      

PanAust Ltd.†.

     3,142,873         2,067,675   
  58,000      

Peabody Energy Corp.

     3,610,146         1,422,160   
  600,000      

Perseus Mining Ltd.†

     1,878,228         1,522,968   
  77,000      

Randgold Resources Ltd., ADR(a)

     6,750,346         6,930,770   
  27,500      

Rio Tinto plc, ADR(a)

     1,839,239         1,314,775   
  750,000      

Romarco Minerals Inc.†

     846,418         390,433   
  92,700      

Royal Gold Inc.(a)

     6,118,467         7,267,680   
  135,000      

Silver Lake Resources Ltd.†

     461,502         388,265   
  50,000      

Teck Resources Ltd., Cl. B

     2,749,720         1,547,000   
  160,000      

Titanium Metals Corp.

     3,079,632         1,809,600   
  670,000      

USEC Inc.†

     3,006,558         663,300   
  180,000      

Vale SA, ADR(a)

     6,138,950         3,573,000   
  50,000      

Vedanta Resources plc

     1,901,612         714,163   
  80,000      

Xstrata plc

     1,835,925         1,000,579   
  400,000      

Yamana Gold Inc.(a)

     5,144,046         6,160,000   
     

 

 

    

 

 

 
        206,727,553         145,349,652   
     

 

 

    

 

 

 
  

Specialty Chemicals — 14.1%

  

  75,000      

Agrium Inc.(a)

     6,659,753         6,635,250   
  33,000      

Air Liquide SA

     3,871,988         3,760,630   
  8,000      

CF Industries Holdings Inc.

     1,403,268         1,549,920   
  108,000      

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

     5,507,009         5,461,560   
  50,000      

Intrepid Potash Inc.†

     1,857,840         1,138,000   
  190,000      

Potash Corp of Saskatchewan Inc.

     10,257,119         8,301,100   
  18,000      

Praxair Inc.

     1,704,801         1,957,140   
  59,900      

Rockwood Holdings Inc.

     2,743,923         2,656,565   
  128,000      

The Dow Chemical Co.(a)

     4,855,692         4,032,000   
 

 

See accompanying notes to financial statements.

 

3


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Schedule of Investments (Continued) — June 30, 2012 (Unaudited)

 

 

Shares           Cost     

Market

Value

 
   COMMON STOCKS (Continued)   
   Specialty Chemicals (Continued)   
  106,000       The Mosaic Co.(a)    $ 8,251,355       $ 5,804,560   
     

 

 

    

 

 

 
        47,112,748         41,296,725   
     

 

 

    

 

 

 
   TOTAL COMMON STOCKS      384,920,559         285,295,289   
     

 

 

    

 

 

 
   WARRANTS — 0.0%      
   Metals and Mining — 0.0%      
  20,000       Duluth Metals Ltd., expire
    01/18/13†(b)(c)(d)
     0         0   
     

 

 

    

 

 

 

 

Principal
Amount
                  
   U.S. GOVERNMENT OBLIGATIONS — 2.9%   

$8,440,000

   U.S. Treasury Bills,
    0.070% to 0.150%††,
    07/19/12 to 12/27/12(e)
     8,436,152         8,436,445   
     

 

 

    

 

 

 
TOTAL INVESTMENTS — 100.0%    $ 393,356,711         293,731,734   
     

 

 

    

CALL OPTIONS WRITTEN

     

(Premiums received $10,303,790)

        (7,271,503

Other Assets and Liabilities (Net)

        532,615   
        

 

 

 

NET ASSETS — COMMON STOCK

     

(20,782,380 common shares outstanding)

      $ 286,992,846   
        

 

 

 

NET ASSET VALUE PER COMMON SHARE

     

($286,992,846 ÷ 20,782,380 shares outstanding)

      $ 13.81   
        

 

 

 
Number of
Contracts
        Expiration
Date/ Exercise
Price
    

Market

Value

 
   OPTIONS CONTRACTS WRITTEN (f) — (2.5)%   
   Call Options Written — (2.5)%   

770

  

Agnico-Eagle Mines Ltd.

     Aug. 12/40       $ 224,840   

1,180

  

Agnico-Eagle Mines Ltd.

     Aug. 12/42.50         187,620   

250

  

Agrium Inc.

     Jul. 12/77.50         280,000   

500

  

Agrium Inc.

     Jul. 12/85         220,000   

200

  

Air Liquide SA(g)

     Sep. 12/90.91         90,344   

75

  

Air Liquide SA(g)

     Sep. 12/96         14,251   

670

  

Alpha Natural Resources Inc.

     Sep. 12/14         9,715   

800

  

Anadarko Petroleum Corp.

     Aug. 12/75         80,000   

1,000

  

AngloGold Ashanti Ltd., ADR

     Jul. 12/48         10,000   

1,000

  

AngloGold Ashanti Ltd., ADR

     Oct. 12/40         65,000   

166

  

Antofagasta plc(h)

     Dec. 12/1280         145,134   

100

  

Apache Corp.

     Jul. 12/95         2,700   

50

  

Apache Corp.

     Jul. 12/100         300   

200

  

Apache Corp.

     Oct. 12/82.50         181,200   
Number of
Contracts
        Expiration
Date/
Exercise
Price
     Market
Value
 

50

  

Apache Corp.

     Oct. 12/92.50       $ 17,750   

650

  

ArcelorMittal

     Sep. 12/26         3,900   

650

  

ArcelorMittal

     Dec. 12/18         56,550   

400

  

Arch Coal Inc.

     Jul. 12/13         400   

350

  

Arch Coal Inc.

     Jul. 12/15         700   

1,396

  

Archer-Daniels-Midland Co.

     Sep. 12/35         9,772   

1,825

  

AuRico Gold Inc.

     Sep. 12/10         27,375   

150

  

Baker Hughes Inc.

     Jul. 12/48         900   

75

  

Baker Hughes Inc.

     Aug. 12/44         6,300   

75

  

Baker Hughes Inc.

     Oct. 12/44         13,875   

1,150

  

Barrick Gold Corp.

     Jul. 12/43         8,050   

1,150

  

Barrick Gold Corp.

     Oct. 12/46         40,250   

135

  

BG Group plc(h)

     Sep. 12/1400         79,286   

195

  

BHP Billiton Ltd., ADR

     Aug. 12/70         18,525   

630

  

Bunge Ltd.

     Jul. 12/62.50         75,600   

500

  

Bunge Ltd.

     Jul. 12/65         20,000   

200

  

Bunge Ltd.

     Oct. 12/62.50         68,000   

200

  

Bunge Ltd.

     Oct. 12/65         45,000   

1,000

  

Cameron International Corp.

     Aug. 12/50         25,000   

550

  

Cameron International Corp.

     Aug. 12/55         4,125   

80

  

CF Industries Holdings Inc.

     Aug. 12/175         182,400   

300

  

Chevron Corp.

     Sep. 12/105         111,000   

800

  

CNH Global NV

     Sep. 12/42.50         107,880   

400

  

CNH Global NV

     Sep. 12/45         40,000   

1,500

  

Compania de Minas Buenaventura SA, ADR

     Aug. 12/40         165,000   

200

  

CONSOL Energy Inc.

     Oct. 12/38         6,900   

150

  

CONSOL Energy Inc.

     Oct. 12/40         2,400   

445

  

Deere & Co.

     Sep. 12/77.50         235,850   

430

  

Deere & Co.

     Sep. 12/80         184,900   

500

  

Devon Energy Corp.

     Jul. 12/65         2,500   

930

  

EI du Pont de Nemours & Co.

     Jul. 12/52.50         16,740   

150

  

EI du Pont de Nemours & Co.

     Oct. 12/55         8,100   

4,100

  

Eldorado Gold Corp.(i)

     Aug. 12/15         60,407   

2,200

  

Eldorado Gold Corp.(i)

     Aug. 12/18         62,666   

400

  

Franco-Nevada Corp.(i)

     Jul. 12/42         163,049   

400

  

Franco-Nevada Corp.(i)

     Jul. 12/44         98,222   

400

  

Freeport-McMoRan Copper & Gold Inc.

     Aug. 12/39         9,600   

330

  

Freeport-McMoRan Copper & Gold Inc.

     Aug. 12/40         5,280   

1,300

  

Globe Specialty Metals Inc.

     Sep. 12/15         61,750   

1,330

  

Globe Specialty Metals Inc.

     Sep. 12/20         23,275   

6,300

  

Gold Fields Ltd., ADR

     Oct. 12/15         141,750   

140

  

Goldcorp Inc.

     Jul. 12/48         560   

1,660

  

Goldcorp Inc.

     Aug. 12/44         28,220   

400

  

Halliburton Co.

     Jul. 12/34         1,600   

400

  

Halliburton Co.

     Jul. 12/40         400   

400

  

Halliburton Co.

     Oct. 12/35         10,000   
 

 

See accompanying notes to financial statements.

 

4


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Schedule of Investments (Continued) — June 30, 2012 (Unaudited)

 

 

Number of
Contracts
          Expiration
Date/
Exercise
Price
     Market
Value
 
   OPTIONS CONTRACTS WRITTEN (f) (Continued)      
   Call Options Written (Continued)      
  1,177      

Harmony Gold Mining Co. Ltd., ADR

     Aug. 12/12       $         11,770   
  2,354      

Harmony Gold Mining Co. Ltd., ADR

     Aug. 12/15         11,770   
  1,000      

IAMGOLD Corp.

     Sep. 12/14         30,000   
  500      

Ingredion Inc.

     Aug. 12/52.50         31,025   
  500      

Intrepid Potash Inc.

     Sep. 12/28         11,250   
  700      

Joy Global Inc.

     Oct. 12/70         81,200   
  100      

Joy Global Inc.

     Oct. 12/85         1,500   
  525      

Kinross Gold Corp.

     Aug. 12/10         4,725   
  1,100      

Kinross Gold Corp.

     Nov. 12/10         36,850   
  8,100      

Lundin Mining Corp.(i)

     Oct. 12/5         159,120   
  3,000      

Lundin Mining Corp.(i)

     Oct. 12/6         17,680   
  250      

Monsanto Co.

     Oct. 12/77.50         178,250   
  1,500      

Nabors Industries Ltd.

     Sep. 12/20         12,000   
  400      

National Oilwell Varco Inc.

     Aug. 12/75         13,200   
  1,025      

Newmont Mining Corp.

     Sep. 12/55         72,775   
  1,025      

Newmont Mining Corp.

     Sep. 12/60         24,600   
  85      

Noble Energy Inc.

     Aug. 12/92.50         8,288   
  175      

Noble Energy Inc.

     Aug. 12/105         1,750   
  90      

Noble Energy Inc.

     Nov. 12/97.50         14,850   
  100      

Occidental Petroleum Corp.

     Aug. 12/105         750   
  100      

Occidental Petroleum Corp.

     Aug. 12/110         400   
  740,000      

PanAust Ltd.(j)

     Aug. 12/4.10         76   
  250      

Peabody Energy Corp.

     Sep. 12/30         12,500   
  330      

Peabody Energy Corp.

     Sep. 12/36         2,640   
  1,900      

Potash Corp. of Saskatchewan Inc.

     Sep. 12/45         421,800   
  180      

Praxair Inc.

     Jul. 12/110         21,150   
  300      

Randgold Resources Ltd., ADR

     Sep. 12/95         141,000   
  300      

Randgold Resources Ltd., ADR

     Sep. 12/97.50         103,500   
  170      

Randgold Resources Ltd., ADR

     Sep. 12/100         46,750   
  1,700      

ReneSola Ltd., ADR

     Jul. 12/3         8,500   
  175      

Rio Tinto plc, ADR

     Jul. 12/62.50         875   
  100      

Rio Tinto plc, ADR

     Oct. 12/50         28,000   
  300      

Rockwood Holdings Inc.

     Aug. 12/45         70,500   
  299      

Rockwood Holdings Inc.

     Aug. 12/50         20,930   
  427      

Royal Gold Inc.

     Jul. 12/67.50         469,700   
  350      

Royal Gold Inc.

     Jul. 12/70         304,500   
  150      

Royal Gold Inc.

     Oct. 12/70         163,500   
  300      

Schlumberger Ltd.

     Aug. 12/70         30,000   
  300      

Schlumberger Ltd.

     Aug. 12/72.50         15,000   
  350      

Schlumberger Ltd.

     Aug. 12/75         8,400   
  950      

Suncor Energy Inc.

     Sep. 12/30         122,550   
  1,000      

Suncor Energy Inc.

     Sep. 12/33         45,000   
  106      

Syngenta AG, ADR

     Sep. 12/65         52,470   
  300      

Teck Resources Ltd., Cl. B

     Aug. 12/30         73,800   
  200      

Teck Resources Ltd., Cl. B

     Aug. 12/36         5,400   
Number of
Contracts
          Expiration
Date/
Exercise
Price
    

Market

Value

 
  700      

The Dow Chemical Co.

     Sep. 12/34       $ 39,900   
  580      

The Dow Chemical Co.

     Sep. 12/35         21,460   
  400      

The Mosaic Co.

     Sep. 12/55         144,000   
  660      

The Mosaic Co.

     Sep. 12/65         25,080   
  400      

Titanium Metals Corp.

     Sep. 12/16         2,000   
  1,395      

Total SA, ADR

     Aug. 12/50         15,345   
  250      

Transocean Ltd.

     Aug. 12/55         3,750   
  1,300      

Trina Solar Ltd., ADR

     Sep. 12/12         5,850   
  6,700      

USEC Inc.

     Jul. 12/2.50         33,500   
  1,800      

Vale SA

     Sep. 12/22         79,200   
  625      

Weatherford International Ltd.

     Aug. 12/14         18,750   
  1,350      

Weatherford International Ltd.

     Aug. 12/16         8,775   
  725      

Weatherford International Ltd.

     Aug. 12/17         3,263   
  60      

Xstrata plc(h)

     Jul. 12/1200         4,697   
  80      

Xstrata plc(h)

     Dec. 12/1100         17,228   
  2,700      

Yamana Gold Inc.

     Jul. 12/16         64,800   
  1,300      

Yamana Gold Inc.

     Oct. 12/16         128,700   
        

 

 

 
  

TOTAL OPTIONS CONTRACTS WRITTEN

  

  
       (Premiums received $10,303,790)       $     7,271,503   
        

 

 

 

 

(a)

Securities, or a portion thereof, with a value of $131,320,700 were pledged as collateral for options written.

(b)

Security fair valued under procedures established by the Board of Trustees. 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 June 30, 2012, the market value of fair valued securities amounted to $ 5,531,900 or 1.88% of total investments.

(c)

At June 30, 2012, the Fund held an investment in a restricted security amounting to $0 or 0.00% of total investments, which was valued under methods approved by the Board of Trustees as follows:

Acquisition
Shares

  

Issuer

   Acquisition
Date
   Acquisition
Cost
   06/30/12
Carrying
Value
Per Unit
 
20,000   

Duluth Metals Ltd.,
expire 01/18/13

   08/19/11    $0      $0.00   

 

(d)

Illiquid security.

(e)

At June 30, 2012, $1,640,000 of the principal amount was pledged as collateral for options written.

(f)

At June 30, 2012, the Fund had entered into over-the-counter Option Contracts Written with Pershing LLC and Morgan Stanley.

(g)

Exercise price denoted in Euros.

(h)

Exercise price denoted in British pence.

(i)

Exercise price denoted in Canadian dollars.

(j)

Exercise price denoted in Australian dollars.

Non-income producing security.

††

Represents annualized yield at date of purchase.

ADR

American Depositary Receipt

 

 

See accompanying notes to financial statements.

 

5


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Schedule of Investments (Continued) — June 30, 2012 (Unaudited)

 

 

Geographic Diversification    % of
Market
Value
   

Market

Value

 

Long Positions

    

North America

     71.5   $ 210,111,241   

Europe

     13.8        40,458,137   

South Africa

     6.5        19,110,656   

Asia/Pacific

     4.3        12,621,700   

Latin America

     3.9        11,430,000   
  

 

 

   

 

 

 

Total Investments

     100.0   $ 293,731,734   
  

 

 

   

 

 

 

Short Positions

    

North America

     (2.3 )%    $ (6,533,390

Europe

     (0.1     (366,287

Latin America

     (0.1     (306,750

Asia/Pacific

     (0.0     (65,076
  

 

 

   

 

 

 

Total Investments

     (2.5 )%    $ (7,271,503
  

 

 

   

 

 

 
 

 

See accompanying notes to financial statements.

 

6


GAMCO Natural Resources, Gold & Income Trust by Gabelli

 

Statement of Assets and Liabilities

June 30, 2012 (Unaudited)

 

 

Assets:

  

Investments, at value (cost $393,356,711)

   $ 293,731,734   

Cash

     118,822   

Deposit at brokers

     410,577   

Receivable for investments sold

     97,521   

Dividends and interest receivable

     326,260   

Prepaid expenses

     4,088   
  

 

 

 

Total Assets

     294,689,002   
  

 

 

 

Liabilities:

  

Call options written (premiums received $10,303,790)

     7,271,503   

Foreign currency, at value (cost $3,095)

     3,096   

Payable for investments purchased

     1,298   

Payable for investment advisory fees

     232,593   

Payable for payroll expenses

     53,919   

Payable for accounting fees

     3,750   

Other accrued expenses

     129,997   
  

 

 

 

Total Liabilities

     7,696,156   
  

 

 

 

Net Assets

  

(applicable to 20,782,380 shares outstanding)

   $ 286,992,846   
  

 

 

 

Net Assets Consist of:

  

Paid-in capital

   $ 382,410,548   

Accumulated net investment loss

     (88,116

Accumulated net realized gain on investments, written options, and foreign currency transactions

     1,263,763   

Net unrealized depreciation on investments

     (99,624,977

Net unrealized appreciation on written options

     3,032,287   

Net unrealized depreciation on foreign currency translations

     (659
  

 

 

 

Net Assets

   $ 286,992,846   
  

 

 

 

Net Asset Value per Common Share:

  

($286,992,846 ÷ 20,782,380 shares outstanding at $0.001 par value; unlimited number of shares authorized)

   $ 13.81   
  

 

 

 

Statement of Operations

For the Six Months Ended June 30, 2012 (Unaudited)

 

 

Investment Income:

  

Dividends (net of foreign withholding taxes of $171,682)

   $ 2,436,317   

Interest

     3,039   
  

 

 

 

Total Investment Income

     2,439,356   
  

 

 

 

Expenses:

  

Investment advisory fees

     1,545,060   

Shareholder communications expenses

     64,256   

Legal and audit fees

     55,688   

Payroll expenses

     52,884   

Trustees’ fees

     41,026   

Accounting fees

     22,500   

Custodian fees

     14,697   

Shareholder services fees

     3,871   

Miscellaneous expenses

     27,694   
  

 

 

 

Total Expenses

     1,827,676   
  

 

 

 

Net Investment Income

     611,680   
  

 

 

 

Net Realized and Unrealized Gain/(Loss) on Investments, Written Options, and Foreign Currency:

  

Net realized gain on investments

     597,686   

Net realized gain on written options

     11,736,770   

Net realized loss on foreign currency transactions

     (124,542
  

 

 

 

Net realized gain on investments, written options, and foreign currency transactions

     12,209,914   
  

 

 

 

Net change in unrealized appreciation/depreciation:

  

on investments

     (19,456,140

on written options

     (1,968,929

on foreign currency translations

     (420
  

 

 

 

Net change in unrealized appreciation/depreciation on investments, written options, and foreign currency translations

     (21,425,489
  

 

 

 

Net Realized and Unrealized Gain/(Loss) on Investments, Written Options, and Foreign Currency

     (9,215,575
  

 

 

 

Net Decrease in Net Assets Resulting from Operations

   $ (8,603,895
  

 

 

 
 

See accompanying notes to financial statements.

 

7


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Statement of Changes in Net Assets

 

 

     Six Months Ended
June 30, 2012
(Unaudited)
  Year Ended
December 31, 2011(a)

Operations:

        

Net investment income

     $ 611,680       $ 340,447  

Net realized gain on investments, written options, and foreign currency transactions

       12,209,914         18,308,515  

Net change in unrealized depreciation on investments, written options, and foreign currency translations

       (21,425,489 )       (75,167,860 )
    

 

 

     

 

 

 

Net Decrease in Net Assets Resulting from Operations

       (8,603,895 )       (56,518,898 )
    

 

 

     

 

 

 

Distributions to Common Shareholders:

        

Net investment Income

       (521,245 )*       (990,584 )

Net realized short-term gain

       (10,946,151 )*       (17,836,929 )

Return of capital

       (5,907,446 )*       (7,129,203 )
    

 

 

     

 

 

 

Total Distributions to Common Shareholders

       (17,374,842 )       (25,956,716 )
    

 

 

     

 

 

 

Fund Share Transactions:

        

Net increase in net assets from common shares issued in offering

               391,818,298  

Net increase in net assets from common shares issued upon reinvestment of distributions

       2,194,963         2,254,289  

Offering costs for common shares charged to paid-in capital

               (820,353 )
    

 

 

     

 

 

 

Net Increase in Net Assets from Fund Share Transactions

       2,194,963         393,252,234  
    

 

 

     

 

 

 

Net Increase/(Decrease) in Net Assets Attributable to Common Shareholders

       (23,783,774 )       310,776,620  

Net Assets Attributable to Common Shareholders:

        

Beginning of period

       310,776,620          
    

 

 

     

 

 

 

End of period (including undistributed net investment income of $0 and $0, respectively)

     $ 286,992,846       $ 310,776,620  
    

 

 

     

 

 

 

 

(a)

The Fund commenced investment operations on January 27, 2011.

*

Based on year to date book income. Amounts are subject to change and recharacterization at year end.

See accompanying notes to financial statements.

 

8


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Financial Highlights

 

Selected data for a share of beneficial interest outstanding throughout each period:

 

     Six Months Ended
June 30, 2012
(Unaudited)
    Period Ended
December 31, 2011(a)
 

Operating Performance:

    

Net asset value, beginning of period

     $    15.06        $19.06(b

Net investment income

     0.03                0.02   

Net realized and unrealized loss on investments, written options, and foreign currency transactions

           (0.44            (2.76

Total from investment operations

           (0.41            (2.74

Distributions to Common Shareholders:

    

Net investment income

     (0.03 )*      (0.05

Net realized short-term gains

     (0.53 )*      (0.86

Return of capital

           (0.28 )*             (0.35

Total distributions to common shareholders

           (0.84            (1.26

Fund Share Transactions:

    

Increase in net asset value from common share transactions

             0.00 (c)               0.00 (c) 

Net Asset Value, End of Period

     $    13.81        $    15.06   

NAV total return†

           (2.99 )%           (15.00 )%** 

Market value, end of period

     $    14.66        $    13.44   

Investment total return††

           15.44          (27.46 )%*** 

Ratios to Average Net Assets and Supplemental Data:

    

Net assets, end of period (in 000’s)

     $286,993        $310,777   

Ratio of net investment income to average net assets

     0.40 %(d)      0.10 %(d) 

Ratio of operating expenses to average net assets(e)

     1.18 %(d)      1.17 %(d) 

Portfolio turnover rate

     16.7 %†††      37.5 %††† 

 

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 determined under the Fund’s dividend reinvestment plan. Total return for a period of less than one year is not annualized.

†††

Not Annualized.

*

Based on year to date book income. Amounts are subject to change and recharacterization at year end.

**

Based on net asset value per share at commencement of operations of $19.06 per share, adjusted for reinvestment of distributions at the net asset value per share on the ex-dividend dates.

***

Based on market value per share at initial public offering of $20.00 per share, adjusted for reinvestment of distributions at prices determined under the Fund’s dividend reinvestment plan.

(a)

The Fund commenced investment operations on January 27, 2011.

(b)

The beginning of period NAV reflects a $0.04 reduction of costs associated with the initial public offering.

(c)

Amount represents less than $0.005 per share.

(d)

Annualized.

(e)

The Fund incurred interest expense during the period ended December 31, 2011. The effect of interest expense was minimal.

See accompanying notes to financial statements.

 

9


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited)

 

1. Organization. Effective December 1, 2011, The Gabelli Natural Resources, Gold & Income Trust changed its name to GAMCO Natural Resources, Gold & Income Trust by Gabelli (the “Fund”). 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 Fund’s primary investment objective is to provide a high level of current income from interest, dividends, and option premiums. The Fund’s secondary investment objective is to seek capital appreciation consistent with the Fund’s 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.

2. Significant Accounting Policies. The Fund’s financial statements are 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 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 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.

 

10


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

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 inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and

   

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 June 30, 2012 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 06/30/12

INVESTMENTS IN SECURITIES:

                 

ASSETS (Market Value):

                 

Common Stocks:

                 

Metals and Mining

     $ 139,817,752       $ 5,531,900                $ 145,349,652  

Other Industries (a)

       139,945,637                          139,945,637  

Total Common Stocks

       279,763,389         5,531,900                  285,295,289  

Warrants:

                 

Metals and Mining

                     $ 0          0  

U.S. Government Obligations

               8,436,445                  8,436,445  

TOTAL INVESTMENTS IN SECURITIES – ASSETS

     $ 279,763,389       $ 13,968,345       $ 0        $ 293,731,734  

INVESTMENT IN SECURITIES:

                 

LIABILITIES (Market Value):

                 

EQUITY CONTRACTS:

                 

Call Options Written

     $ (4,137,798 )     $ (3,133,705 )     $  —        $ (7,271,503 )

 

(a)

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

The Fund did not have transfers between Level 1 and Level 2 during the six months ended June 30, 2012. The Fund’s policy is to recognize transfers among Levels as of the beginning of the reporting period.

 

11


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

Additional Information to Evaluate Quantitative 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 is 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 and preferred equities, warrants, options, rights, and fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. 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. 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 include back testing 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 a number of derivative financial instruments for the purposes of increasing the income of the Fund, hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase, or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or 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 June 30, 2012, 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

 

12


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time an equity contract for difference swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

Unrealized gains related to swaps are reported as an asset and unrealized losses are reported as a liability in the Statement of Assets and Liabilities. The change in value of swaps, including the accrual of periodic amounts of interest to be received or paid on swaps, is reported as unrealized gain or loss in the Statement of Operations. A realized gain or loss is recorded upon receipt or payment of a periodic payment or termination of swap agreements. During the six months ended June 30, 2012, 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 increasing the income of the Fund. The Fund primarily writes covered call or put options. 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 June 30, 2012 are reflected within the Schedule of Investments.

 

13


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

The Fund’s volume of activity in equity options contracts during the six months ended June 30, 2012 had an average monthly premium amount of approximately $11,055,746. Please refer to Note 4 for option activity during the six months ended June 30, 2012.

As of June 30, 2012, the value of equity option positions can be found in the Statement of Assets and Liabilities under Liabilities, Call options written. For the six months ended June 30, 2012, the effect of equity option positions can be found in the Statement of Operations under Net Realized and Unrealized Gain/(Loss) on Investments, Written Options, and Foreign Currency, Net realized gain on written options and Net change in unrealized appreciation/depreciation on written options.

Securities Sold Short. The Fund may enter into short sale transactions. Short selling involves selling securities that may or may not be owned and, at times, borrowing the same securities for delivery to the purchaser, with an obligation to replace such borrowed securities at a later date. The proceeds received from short sales are recorded as liabilities and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of an open short position on the day of determination. The Fund records a realized gain or loss when the short position is closed out. By entering into a short sale, the Fund bears the market risk of an unfavorable change in the price of the security sold short. Dividends on short sales are recorded as an expense by the Fund on the ex-dividend date and interest expense is recorded on the accrual basis. The broker retains collateral for the value of the open positions, which is adjusted periodically as the value of the position fluctuates. At June 30, 2012, there were no short sales outstanding.

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.

 

14


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized gain or loss on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on the 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 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.

The tax character of distributions paid during the period ended December 31, 2011 was as follows:

 

Distributions paid from:

  

Ordinary income (inclusive of short-term capital gains)

   $ 18,827,513   

Return of capital

     7,129,203   
  

 

 

 

Total distributions paid

   $ 25,956,716   
  

 

 

 

Provision for Income Taxes. The Fund intends 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.

As of December 31, 2011, the components of accumulated earnings/losses on a tax basis were as follows:

 

Net unrealized depreciation on investments, written options, and foreign currency translations

   $ (75,167,860

Qualified late year loss deferral*

     (178,551
  

 

 

 

Total

   $ (75,346,411
  

 

 

 

 

*

Under the current law, qualified late year losses realized after October 31 and prior to the Fund’s year end may be elected as occurring on the first day of the following year. For the year ended June 30, 2012, the Fund elected to defer $178,551 of late year ordinary losses.

Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward for an unlimited period capital losses incurred. As a result of the rule, post-enactment capital losses that are

 

15


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

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.

The following summarizes the tax cost of investments, written options, and the related net unrealized appreciation/depreciation at June 30, 2012:

 

   

Cost/

Premiums

 

Gross
Unrealized
Appreciation

 

Gross
Unrealized
Depreciation

 

Net

Unrealized
Appreciation/
Depreciation

Investments

    $ 393,356,711       $ 3,322,120       $ (102,947,097 )     $ (99,624,977 )

Written options

      (10,303,790 )       4,779,828         (1,747,541 )       3,032,287  
       

 

 

     

 

 

     

 

 

 
        $ 8,101,948       $ (104,694,638 )     $ (96,592,690 )
       

 

 

     

 

 

     

 

 

 

The Fund is required to evaluate tax positions expected to be taken in the course of preparing the Fund’s 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. For the six months ended June 30, 2012, the Fund did not incur any income tax, interest, or penalties. As of June 30, 2012, there were no open tax years. The tax year ended December 31, 2011 remains subject to examination by the Internal Revenue Service and state taxing authorities. On an ongoing basis, the Adviser will monitor the Fund’s tax positions to determine if adjustments to this conclusion are necessary.

3. Agreements and Transactions with Affiliates. 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 Fund’s average weekly net assets. In accordance with the Advisory Agreement, the Adviser provides a continuous investment program for the Fund’s portfolio and oversees the administration of all aspects of the Fund’s business and affairs.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Advisory Agreement between the Fund and the Adviser. During the six months ended June 30, 2012, the Fund paid or accrued $22,500 to the Adviser in connection with the cost of computing the Fund’s NAV.

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). For the six months ended June 30, 2012, the Fund paid or accrued $52,884 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 receive 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.

 

16


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

4. Portfolio Securities. Purchases and sales of securities during the six months ended June 30, 2012, other than short-term securities and U.S. Government obligations, aggregated $54,743,896 and $51,733,077, respectively.

Written options activity for the Fund for the six months ended June 30, 2012 was as follows:

 

     Number of
Contracts
  Premiums

Options outstanding at December 31, 2011

       77,605       $ 10,458,567  

Options written

       908,057         19,829,969  

Options repurchased

       (55,294 )       (8,041,225 )

Options expired

       (85,000 )       (9,462,985 )

Options exercised

       (6,163 )       (2,480,536 )
    

 

 

     

 

 

 

Options outstanding at June 30, 2012

       839,205       $ 10,303,790  
    

 

 

     

 

 

 

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 10.0% or more (or such other percentage as the Board may determine from time to time) from the NAV of the shares. During the period ended June 30, 2012, the Fund did not repurchase any shares of beneficial interest.

Transactions in shares of beneficial interest were as follows:

 

     Six Months Ended
June 30, 2012
(Unaudited)
     Period Ended
December 31, 2011
 
     Shares      Amount      Shares      Amount  

Shares issued in offering

                     20,514,047       $ 391,818,298   

Shares issued upon reinvestment of distributions

     148,486       $ 2,194,963         119,847         2,254,289   
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase

     148,486       $ 2,194,963         20,633,894       $ 394,072,587   
  

 

 

    

 

 

    

 

 

    

 

 

 

6. Indemnifications. The Fund enters into contracts that contain a variety of indemnifications. The Fund’s 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 Fund’s existing contracts and expects the risk of loss to be remote.

 

17


GAMCO Natural Resources, Gold & Income Trust by Gabelli

Notes to Financial Statements (Unaudited) (Continued)

 

 

7. Other Matters. On April 24, 2008, the Adviser entered into a settlement with the SEC to resolve an inquiry regarding prior frequent trading in shares of the GAMCO Global Growth Fund (the “Global Growth Fund”) by one investor who was banned from the Global Growth Fund in August 2002. Under the terms of the settlement, the Adviser, without admitting or denying the SEC’s findings and allegations, paid $16 million (which included a $5 million civil monetary penalty). On the same day, the SEC filed a civil action in the U.S. District Court for the Southern District of New York against the Executive Vice President and Chief Operating Officer of the Adviser, alleging violations of certain federal securities laws arising from the same matter. The officer, who also is an officer of the Global Growth Fund and other funds in the Gabelli/GAMCO complex, including this Fund, denies the allegations and is continuing in his positions with the Adviser and the funds. The settlement by the Adviser did not have, and the resolution of the action against the officer is not expected to have, a material adverse impact on the Adviser or its ability to fulfill its obligations under the Advisory Agreement.

8. 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.

 

Certifications

The Fund’s Chief Executive Officer has certified to the New York Stock Exchange (“NYSE”) that, as of June 11, 2012, 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 Fund’s principal executive officer and principal financial officer that relate to the Fund’s disclosure in such reports and that are required by Rule 30a-2(a) under the 1940 Act.

 

We have separated the portfolio managers’ commentary from the financial statements and investment portfolios 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 portfolios are mailed separately from the commentary. Both the commentary and the financial statements, including the portfolios of investments, will be available on our website at www.gabelli.com.

 

18


TRUSTEES AND OFFICERS

GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST by Gabelli

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 & Associates Corp.

Officers

Bruce N. Alpert

President &

Acting Chief Compliance Officer

Agnes Mullady

Treasurer & Secretary

Carter W. Austin

Vice President

Molly A.F. Marion

Vice President & Ombudsman

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:

   20,782,380
 

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

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com. The NASDAQ symbol for the Net Asset Value is “XGNTX.”

 

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% or more from the net asset value of the shares.


 

LOGO

GAMCO NATURAL RESOURCES, GOLD & INCOME TRUST by Gabelli One Corporate Center Rye, NY 10580-1422 (914) 921-5070 www.gabelli.com

Semiannual Report June 30, 2012


Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Investments.

 

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

 

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment

             Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.


There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated

             Purchasers.

REGISTRANT PURCHASES OF EQUITY SECURITIES

 

 

    Period    

 

 

(a) Total Number of Shares (or Units) Purchased

 

 

(b) Average Price Paid

per Share (or Unit)

 

 

(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced

Plans or Programs

 

 

(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs

 

 

Month #1 01/01/12 through 01/31/12  

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – 20,633,894

 

Preferred – N/A

 

Month #2 02/01/12 through 02/29/12  

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – 20,662,998

 

Preferred – N/A

 

Month #3 03/01/12 through 03/31/12  

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – 20,694,008

 

Preferred – N/A

 

Month #4 04/01/12 through 04/30/12  

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common - 20,726,302

 

Preferred – N/A

 

Month #5 05/01/12 through 05/31/12  

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – 20,754,918

 

Preferred – N/A

 

Month #6 06/01/12 through 06/30/12  

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – N/A

 

Preferred – N/A

 

Common – 20,782,380

 

Preferred – N/A

 

Total  

Common – N/A

 

Preferred – N/A

 

 

Common – N/A

 

Preferred – N/A

 

 

Common – N/A

 

Preferred – N/A

 

  N/A

 


Footnote columns (c) and (d) of the table, by disclosing the following information in the aggregate for all plans or programs publicly announced:

 

a. The date each plan or program was announced – The notice of the potential repurchase of common and preferred shares occurs quarterly in the Fund’s quarterly report in accordance with Section 23(c) of the Investment Company Act of 1940, as amended.
b. The dollar amount (or share or unit amount) approved – Any or all common shares outstanding may be repurchased when the Fund’s common shares are trading at a discount of 10% or more from the net asset value of the shares.

Any or all preferred shares outstanding may be repurchased when the Fund’s preferred shares are trading at a discount to the liquidation value of $25.00.

c. The expiration date (if any) of each plan or program – The Fund’s repurchase plans are ongoing.
d. Each plan or program that has expired during the period covered by the table – The Fund’s repurchase plans are ongoing.
e. Each plan or program the registrant has determined to terminate prior to expiration, or under which the registrant does not intend to make further purchases. – The Fund’s repurchase plans are ongoing.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

  (a)(1)   Not applicable.


  (a)(2)  

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

  (a)(3)   Not applicable.
  (b)  

Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(registrant)GAMCO Natural Resources, Gold & Income Trust by Gabelli (formerly, The Gabelli Natural Resources, Gold & Income Trust)

 

By (Signature and Title)*        /s/ Bruce N. Alpert                                                                       
                  Bruce N. Alpert, Principal Executive Officer  

Date        9/7/12                                                                                                                             

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*        /s/ Bruce N. Alpert                                                                        
                      Bruce N. Alpert, Principal Executive Officer   

Date        9/7/12                                                                                                                             

 

By (Signature and Title)*        /s/ Agnes Mullady                                                                       
                  Agnes Mullady, Principal Financial Officer and Treasurer  

Date        9/7/12                                                                                                                             

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