0001829126-23-005966.txt : 20230906 0001829126-23-005966.hdr.sgml : 20230906 20230906172752 ACCESSION NUMBER: 0001829126-23-005966 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 18 CONFORMED PERIOD OF REPORT: 20230630 FILED AS OF DATE: 20230906 DATE AS OF CHANGE: 20230906 EFFECTIVENESS DATE: 20230906 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GAMCO Natural Resources, Gold & Income Trust CENTRAL INDEX KEY: 0001438893 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22216 FILM NUMBER: 231240250 BUSINESS ADDRESS: STREET 1: ONE CORPORATE CENTER CITY: RYE STATE: NY ZIP: 10580 BUSINESS PHONE: 914-921-5100 MAIL ADDRESS: STREET 1: ONE CORPORATE CENTER CITY: RYE STATE: NY ZIP: 10580 FORMER COMPANY: FORMER CONFORMED NAME: GAMCO Natural Resources, Gold & Income Trust by Gabelli DATE OF NAME CHANGE: 20120106 FORMER COMPANY: FORMER CONFORMED NAME: Gabelli Natural Resources, Gold & Income Trust DATE OF NAME CHANGE: 20080717 FORMER COMPANY: FORMER CONFORMED NAME: Gabelli Gold & Income Trust DATE OF NAME CHANGE: 20080630 N-CSRS 1 gnt_ncsrs.htm N-CSRS
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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

 

(Exact name of registrant as specified in charter)

 

One Corporate Center
Rye, New York 10580-1422

 

(Address of principal executive offices) (Zip code)

 

John C. Ball
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, 2023

 

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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

 

 

 

Item 1.Reports to Stockholders.

 

(a)The Report to Shareholders is attached herewith.

 

 

GAMCO Natural Resources, Gold & Income Trust

Semiannual Report June 30, 2023

 

(Y)our Portfolio Management Team

 

   
  Caesar M. P. Bryan Vincent Hugonnard-Roche  

 

To Our Shareholders,

 

For the six months ended June 30, 2023, the net asset value (NAV) total return of the GAMCO Natural Resources, Gold & Income Trust (the Fund) was 4.5%, compared with total returns of 10.5% and 0.3% for the Chicago Board Options Exchange (CBOE) Standard & Poor’s (S&P) 500 Buy/Write Index and the Philadelphia Gold & Silver (XAU) Index, respectively. The total return for the Fund’s publicly traded shares was 1.5%. The Fund’s NAV per share was $6.04, while the price of the publicly traded shares closed at $5.02 on the New York Stock Exchange (NYSE). See page 3 for additional performance information.

 

Enclosed are the financial statements, including the schedule of investments, as of June 30, 2023.

 

Investment Objective and Strategy (Unaudited)

 

The GAMCO Natural Resources, Gold & Income Trust is a diversified, closed-end management investment company. The Fund’s investment objective is to provide a high level of current income. The Fund’s secondary investment objective is to seek capital appreciation consistent with the Fund’s strategy and primary objective. Under normal market conditions, the Fund will attempt to achieve its objectives by investing 80% of its assets in equity securities of companies principally engaged in natural resource and gold industries, and by writing covered call options on the underlying equity securities.

 

 

 

 

 

 

 

 

 

 

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.gabelli.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive sharehold-er reports electronically, you will not be affected by this change and you need not take any action. To elect to receive all future reports on paper free of charge, please contact your financial intermediary, or, if you invest directly with the Fund, you may call 800-422-3554 or send an email request to info@gabelli.com.

 

 

 

 

Performance Discussion (Unaudited)

 

During the first quarter of 2023, the price of gold bullion rose by 8.0% in a very volatile intra period pattern. After early indications of slowing inflation from the December CPI release, the gold market rallied 6% in hopes that the Federal Reserve was close to finishing raising rates, and the real 10-year U.S. Treasury rate contracted to 1.15%. However, the January and February CPI numbers surprised to the upside, proving that inflation remained present in a persistently strong labor market despite announced layoffs. These new sets of data sent the bullion price down 7% and real rates back to 1.66%. Whereas the first sign of economic weakness would have been expected in the labor market, it was the regional bank crisis at the end of the quarter that exposed the first damage of quantitative tightening. Following the failure of Silicon Valley Bank and Signature Bank, gold reacted as reserve currency and recouped 9% of performance. The gold mining companies continued their recovery.

 

The agriculture sector performed rather poorly due to the weak fertilizer segment. Volatility levels during the first quarter contracted but remained elevated, with the gold sector at 36%, 34% for the base metals sector, 30% for agriculture, and 32% for energy equities.

 

During the second quarter of 2023, the price of gold bullion fell by 2.5% after hitting a 52-week high at the beginning of the period. A persistent inflation reading continued to shake the 10-year U.S. Treasury rate from 1.15% to 1.62% at the end of the period. While we have not seen any sign of labor market weakness, the yield curve remains extremely inverted, with the 2-10 year U.S. Treasury spread reaching -1.06%. This likely explains why the Federal Reserve opted for the “skip or pause” option at its June meeting to let the tightening slowly sink in and avoid overtightening. The gold mining companies performed in line with bullion, with the Philadelphia Gold and Silver Index (XAU) down 8.3% for the period, leaving the gold mining companies fairly valued, given the gold price. Volatility levels during the second quarter contracted significantly, with the gold sector at 33%, 30% for the base metals sector, 27% for agriculture, and 27% for energy equities. At the end of the quarter, the price of WTI oil was down another 6.65% and seeing the same scenario as in the prior period. Fears that an anticipated recession would lower demand continued to erode pricing. The supply side of the equation is still disciplined, with U.S. production flat at 12.2 million barrels per day. OPEC continued to monitor the demand picture closely and reduced production to 28.6 million barrels per day. In that environment, the Energy Select Sector Index (IXE), declined a modest 1.3% during the quarter. The agriculture sector performed poorly as fertilizer prices continued to contract.

 

We appreciate your confidence and trust.

 

 

 

 

 

 

 

 

 

 

The views expressed reflect the opinions of the Fund’s portfolio managers and Gabelli Funds, LLC, the Adviser, as of the date of this report and are subject to change without notice based on changes in market, economic, or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

2

 

 

Comparative Results

 

 

Average Annual Returns through June 30, 2023 (a) (Unaudited)

 

   Six
Months
  
1 Year
   3 year   5 year   10 year   Since
Inception
(1/27/11)
 
GAMCO Natural Resources, Gold and Income Trust (GNT)                              
NAV Total Return (b)   4.52%   17.70%   8.76%   5.74%   3.11%   0.04%
Investment Total Return (c)   1.54    15.21    8.81    3.95    2.43    (1.24)
CBOE S&P 500 Buy/Write Index   10.47    9.02    10.56    4.42    6.26    6.18 
Philadelphia Gold & Silver Index   0.25    10.28    2.57    9.51    4.09    (2.79)(d)
Dow Jones U.S. Basic Materials Index   7.06    17.36    17.56    8.95    9.66    7.03(d)
S&P Global Agribusiness Equity Index   (9.73)   (7.07)   15.55    6.85    6.33    5.12(d)

 

 
(a)Performance returns for periods of less than one year are not annualized. Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. The Fund’s use of leverage may magnify the volatility of net asset value changes versus funds that do not employ leverage. 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. 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. Dividends are considered reinvested. You cannot invest directly in an index.
(b)Total returns and average annual returns reflect changes in the NAV per share and reinvestment of distributions at NAV on the ex-dividend date and are net of expenses. Since inception return is based on an initial NAV of $19.06.
(c)Total returns and average returns reflect changes in closing market values on the NYSE and reinvestment of distributions. Since inception return is based on an initial offering price of $20.00.
(d)From January 31, 2011, the date closest to the Fund’s inception for which data are available.

 

Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing.

 

 

3

 

 

Summary of Portfolio Holdings (Unaudited)

 

The following table presents portfolio holdings as a percent of total investments as of June 30, 2023:

 

GAMCO Natural Resources, Gold & Income Trust

 

Long Positions     
Metals and Mining   42.5%
U.S. Government Obligations   20.8%
Energy and Energy Services   19.3%
Health Care   5.4%
Agriculture   5.1%
Machinery   3.4%
Specialty Chemicals   2.4%
Food and Beverage   1.0%
Automotive   0.1%
   100.0%
Short Positions     
Call Options Written   (1.5)%
Put Options Written   (0.3)%
   (1.8)%

 

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the SEC) for the first and third quarters of each fiscal year on Form N-PORT. 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-PORT 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 each 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.

 

4

 

 

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments — June 30, 2023 (Unaudited)

 

 

Shares      Cost   Market
Value
 
     COMMON STOCKS — 74.7%          
     Agriculture — 5.1%          
 25,500‌   Archer-Daniels-Midland Co. (a)  $2,179,130‌   $1,926,780‌ 
 10,000‌   Bunge Ltd. (a)   1,028,100‌    943,500‌ 
 35,500‌   Corteva Inc. (a)   2,179,420‌    2,034,150‌ 
 33,090‌   Nutrien Ltd. (a)   3,068,058‌    1,953,964‌ 
         8,454,708‌    6,858,394‌ 
     Automotive — 0.1%          
 19,000‌   Iveco Group NV†   216,993‌    171,087‌ 
                
     Energy and Energy Services — 19.3%          
 7,300‌   APA Corp.   505,469‌    249,441‌ 
 19,500‌   Baker Hughes Co.   860,139‌    616,395‌ 
 27,000‌   BP plc, ADR (a)   1,095,714‌    952,830‌ 
 17,345‌   Chevron Corp. (a)   3,103,378‌    2,729,236‌ 
 11,700‌   ConocoPhillips (a)   1,386,720‌    1,212,237‌ 
 15,089‌   Coterra Energy Inc.   432,100‌    381,752‌ 
 13,000‌   Devon Energy Corp.   879,085‌    628,420‌ 
 3,800‌   Diamondback Energy Inc.   554,357‌    499,168‌ 
 40,000‌   Eni SpA   746,351‌    575,368‌ 
 9,200‌   EOG Resources Inc. (a)   1,234,162‌    1,052,848‌ 
 37,600‌   Exxon Mobil Corp. (a)   4,293,123‌    4,032,600‌ 
 17,000‌   Halliburton Co. (a)   659,518‌    560,830‌ 
 3,200‌   Hess Corp.   482,832‌    435,040‌ 
 35,282‌   Kinder Morgan Inc. (a)   636,151‌    607,556‌ 
 15,000‌   Marathon Oil Corp. (a)   329,628‌    345,300‌ 
 9,500‌   Marathon Petroleum Corp.   1,080,245‌    1,107,700‌ 
 6,000‌   NextEra Energy Partners LP   390,735‌    351,840‌ 
 9,649   Occidental Petroleum Corp. (a)   665,014‌    567,361‌ 
 8,700‌   ONEOK Inc.   605,972‌    536,964‌ 
 8,500‌   Phillips 66   956,958‌    810,730‌ 
 5,100   Pioneer Natural Resources Co. (a)   1,230,791‌    1,056,618‌ 
 24,000‌   Schlumberger NV (a)   1,564,200‌    1,178,880‌ 
 32,500‌   Shell plc, ADR (a)   1,956,391‌    1,962,350‌ 
 15,500‌   Suncor Energy Inc. (a)   636,185‌    454,460‌ 
 21,000   The Williams Companies Inc. (a)   907,155‌    685,230‌ 
 25,200‌   TotalEnergies SE, ADR (a)   1,588,833‌    1,452,528‌ 
 6,600‌   Valero Energy Corp. (a)   861,871‌    774,180‌ 
         29,643,077‌    25,817,862‌ 
     Food and Beverage — 1.0%          
 5,000‌   Mowi ASA   112,370‌    79,284‌ 
 25,000‌   Tyson Foods Inc., Cl. A (a)   2,264,150‌    1,276,000‌ 
         2,376,520‌    1,355,284‌ 
     Health Care — 5.4%          
 60,000‌   Bayer AG   3,733,988‌    3,317,466‌ 
 27,000‌   Elanco Animal Health Inc.†   947,070‌    271,620‌ 
Shares      Cost   Market
Value
 
 20,600   Zoetis Inc. (a)  $3,991,369   $3,547,526 
         8,672,427    7,136,612 
     Machinery — 3.4%          
 4,000   AGCO Corp.   576,323    525,680 
 94,700   CNH Industrial NV   1,515,349    1,363,680 
 6,400   Deere & Co. (a)   2,717,664    2,593,216 
         4,809,336    4,482,576 
     Metals and Mining — 38.0%          
 41,718   Agnico Eagle Mines Ltd. (a)   2,719,304    2,085,066 
 180,000   Alamos Gold Inc., Cl. A (a)   1,936,431    2,145,600 
 91,500   Artemis Gold Inc.†   511,400    328,772 
 389,000   B2Gold Corp.   1,747,100    1,388,730 
 175,294   Barrick Gold Corp. (a)   4,057,635    2,967,727 
 50,000   BHP Group Ltd., ADR (a)   3,214,833    2,983,500 
 511,802   De Grey Mining Ltd.†   504,324    458,560 
 67,500   Dundee Precious Metals Inc.   483,525    445,839 
 117,300   Eldorado Gold Corp.†   1,197,902    1,184,730 
 96,185   Endeavour Mining plc   2,443,509    2,305,245 
 508,853   Evolution Mining Ltd.   1,358,559    1,091,491 
 25,900   Franco-Nevada Corp. (a)   4,068,793    3,693,340 
 79,500   Freeport-McMoRan Inc. (a)   3,557,785    3,180,000 
 62,137   Fresnillo plc   1,279,735    481,533 
 80,000   Glencore plc   461,693    451,612 
 16,500   Gold Fields Ltd., ADR   223,740    228,195 
 193,500   K92 Mining Inc.†   1,230,874    839,876 
 90,000   Karora Resources Inc.†   436,669    275,146 
 258,400   Kinross Gold Corp.   1,720,650    1,232,568 
 19,500   Lundin Gold Inc.   164,848    233,308 
 36,500   MAG Silver Corp.†   571,178    406,610 
 115,272   Newcrest Mining Ltd.   2,319,037    2,028,751 
 70,900   Newmont Corp. (a)   5,130,848    3,024,594 
 398,005   Northern Star Resources Ltd.   2,700,046    3,202,783 
 116,200   Osisko Gold Royalties Ltd.   1,680,147    1,785,994 
 226,100   Osisko Mining Inc.†   738,580    549,569 
 920,671   Perseus Mining Ltd.   2,322,586    1,011,953 
 49,000   Rio Tinto plc, ADR (a)   4,026,750    3,128,160 
 7,300   Royal Gold Inc.   839,353    837,894 
 142,000   SSR Mining Inc.   2,312,581    2,013,560 
 112,700   Victoria Gold Corp.†   1,110,720    656,761 
 102,700   Wesdome Gold Mines Ltd.†   1,026,315    534,916 
 198,783   Westgold Resources Ltd.†   296,002    190,684 
 76,750   Wheaton Precious Metals Corp. (a)   3,783,244    3,317,135 
         62,176,696    50,690,202 
     Specialty Chemicals — 2.4%          
 10,000   CF Industries Holdings Inc.   948,450    694,200 
 12,000   FMC Corp.   1,519,280    1,252,080 
 25,500   The Mosaic Co.   1,804,936    892,500 

 

See accompanying notes to financial statements.

 

5

 

 

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — June 30, 2023 (Unaudited)

 

 

Shares      Cost   Market
Value
 
     COMMON STOCKS (Continued)          
     Specialty Chemicals (Continued)          
 8,900‌   Yara International ASA  $494,707‌   $314,256 
         4,767,373‌    3,153,036‌ 
     TOTAL COMMON STOCKS   121,117,130‌    99,665,053‌ 
                
Principal
Amount
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
     CONVERTIBLE CORPORATE BONDS — 0.1%          
     Metals and Mining — 0.1%          
$200,000‌   Fortuna Silver Mines Inc., 4.650%, 10/31/24   200,000‌    191,000 
                
    CORPORATE BONDS — 4.4%        
     Metals and Mining — 4.4%          
 750,000‌   AngloGold Ashanti Holdings plc, 3.750%, 10/01/30   641,969‌    644,157 
 750,000   Freeport-McMoRan Inc., 4.125%, 03/01/28   699,940‌    705,577 
 675,000   Hecla Mining Co., 7.250%, 02/15/28   673,407‌    669,580 
 500,000   IAMGOLD Corp., 5.750%, 10/15/28 (b)   500,000‌    374,762 
 1,300,000   Kinross Gold Corp., 6.250%, 07/15/33 (b)   1,283,334‌    1,286,145‌ 
 500,000   New Gold Inc., 7.500%, 07/15/27 (b)   421,987‌    467,530 
 1,750,000   Northern Star Resources Ltd., 6.125%, 04/11/33 (b)   1,727,841‌    1,699,116‌ 
         5,948,478‌    5,846,867‌ 
     TOTAL CORPORATE BONDS   5,948,478‌    5,846,867‌ 
Principal
Amount
      Cost    Market
Value
 
       U.S. GOVERNMENT OBLIGATIONS — 20.8%             
$ 28,128,000    U.S. Treasury Bills, 4.900% to 5.321%††, 07/11/23 to 12/14/23 (c)  $27,811,560    $ 27,814,441  
                     
TOTAL INVESTMENTS BEFORE OPTIONS WRITTEN — 100.0%  $155,077,168     133,517,361  
                
OPTIONS WRITTEN — (1.8)%
(Premiums received $5,457,835)
         (2,427,938)  
              
Other Assets and Liabilities (Net)          1,677,777  
               
PREFERRED SHARES
(1,167,338 preferred shares outstanding)
         (29,183,450)  
              
NET ASSETS — COMMON SHARES
(17,156,274 common shares outstanding)
        $ 103,583,750  
              
NET ASSET VALUE PER COMMON SHARE
($103,583,750 ÷ 17,156,274 shares outstanding)
        $ 6.04  

 

 
(a)Securities, or a portion thereof, with a value of $40,605,559 were deposited with the broker as collateral for options written.
(b)Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(c)At June 30, 2023, $15,005,000 of the principal amount was pledged as collateral for options written.
Non-income producing security.
Represents annualized yields at dates of purchase. ADR American Depositary Receipt

 

Geographic Diversification  % of Total
Investments*
   Market
Value
 
Long Positions          
North America   77.5%  $103,422,772 
Europe   12.5    16,718,023 
Asia/Pacific   9.4    12,666,838 
Latin America   0.4    481,533 
South Africa   0.2    228,195 
Total Investments — Long Positions  100.0%  $133,517,361 
           
Short Positions          
North America   (1.8)%  $(2,344,360)
Europe   (0.0)**   (83,578)
Total Investments — Short Positions  (1.8)%  $(2,427,938)

 

 
*Total investments exclude options written.
**Amount represents greater than (0.05)%.

 

See accompanying notes to financial statements.

 

6

 

 

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — June 30, 2023 (Unaudited)

 

 

As of June 30, 2023, options written outstanding were as follows:

 


Description
  Counterparty    Number of
Contracts
   Notional
Amount
   Exercise
Price
   Expiration
Date
    Market
Value
 
OTC Call Options Written — (1.3)%                              
AGCO Corp.  Pershing LLC     20   USD262,840   USD135.00   10/20/23    $17,955 
Agnico Eagle Mines Ltd.  Pershing LLC     95   USD474,810   USD63.50   08/18/23     1,495 
Agnico Eagle Mines Ltd.  Pershing LLC     127   USD634,746   USD60.00   10/20/23     12,512 
Agnico Eagle Mines Ltd.  Pershing LLC     35   USD174,930   USD53.00   12/15/23     11,781 
Agnico Eagle Mines Ltd.  Pershing LLC     160   USD799,680   USD60.00   12/15/23     24,760 
Alamos Gold Inc., Cl. A  Pershing LLC     640   USD762,880   USD11.00   08/18/23     79,069 
Alamos Gold Inc., Cl. A  Pershing LLC     360   USD429,120   USD11.75   10/20/23     40,036 
Alamos Gold Inc., Cl. A  Pershing LLC     150   USD178,800   USD12.50   10/20/23     11,523 
Archer-Daniels-Midland Co.  Pershing LLC     135   USD1,020,060   USD86.00   07/21/23     98 
Archer-Daniels-Midland Co.  Pershing LLC     85   USD642,260   USD75.00   08/18/23     24,004 
Archer-Daniels-Midland Co.  Pershing LLC     85   USD642,260   USD77.50   09/15/23     18,754 
B2Gold Corp.  Pershing LLC     1,300   USD464,100   USD4.50   07/21/23     1,450 
B2Gold Corp.  Pershing LLC     1,290   USD460,530   USD5.00   10/20/23     10,897 
B2Gold Corp.  Pershing LLC     1,300   USD464,100   USD4.70   12/15/23     23,695 
Baker Hughes Co.  Pershing LLC     65   USD205,465   USD35.00   08/18/23     2,316 
Baker Hughes Co.  Pershing LLC     65   USD205,465   USD33.00   10/20/23     10,507 
Baker Hughes Co.  Pershing LLC     65   USD205,465   USD33.00   12/15/23     14,042 
Barrick Gold Corp.  Pershing LLC     283   USD479,119   USD17.00   07/21/23     11,247 
Barrick Gold Corp.  Pershing LLC     301   USD509,593   USD21.00   07/21/23     173 
Barrick Gold Corp.  Pershing LLC     254   USD430,022   USD17.50   08/18/23     13,227 
Barrick Gold Corp.  Pershing LLC     200   USD338,600   USD19.00   08/18/23     3,457 
Barrick Gold Corp.  Pershing LLC     130   USD220,090   USD22.00   08/18/23     546 
Barrick Gold Corp.  Pershing LLC     95   USD160,835   USD17.50   09/15/23     6,313 
Barrick Gold Corp.  Pershing LLC     130   USD220,090   USD22.00   09/15/23     771 
Barrick Gold Corp.  Pershing LLC     360   USD609,480   USD24.00   09/15/23     1,186 
Bayer AG  Morgan Stanley     300   EUR1,520,100   EUR60.00   08/18/23     3,830 
Bayer AG  Morgan Stanley     300   EUR1,520,100   EUR58.00   09/15/23     10,706 
BHP Group Ltd., ADR  Pershing LLC     160   USD954,720   USD72.50   07/21/23     37 
BHP Group Ltd., ADR  Pershing LLC     160   USD954,720   USD65.00   09/15/23     10,343 
BHP Group Ltd., ADR  Pershing LLC     180   USD1,074,060   USD65.00   11/17/23     27,531 
BP plc, ADR  Pershing LLC     90   USD317,610   USD36.00   07/21/23     3,618 
BP plc, ADR  Pershing LLC     90   USD317,610   USD38.00   10/20/23     6,827 
BP plc, ADR  Pershing LLC     90   USD317,610   USD37.00   12/15/23     13,433 
Bunge Ltd.  Pershing LLC     50   USD471,750   USD105.00   07/21/23     1,129 
Bunge Ltd.  Pershing LLC     50   USD471,750   USD105.00   10/20/23     10,897 
CF Industries Holdings Inc.  Pershing LLC     50   USD347,100   USD95.00   08/18/23     620 
CF Industries Holdings Inc.  Pershing LLC     50   USD347,100   USD80.00   10/20/23     10,029 
Chevron Corp.  Pershing LLC     58   USD912,630   USD180.00   08/18/23     857 
Chevron Corp.  Pershing LLC     55   USD865,425   USD170.00   09/15/23     8,374 
Chevron Corp.  Pershing LLC     60   USD944,100   USD180.00   10/20/23     5,829 
CNH Industrial NV  Pershing LLC     300   USD432,000   USD16.00   08/18/23     5,418 
CNH Industrial NV  Pershing LLC     347   USD499,680   USD16.00   10/20/23     13,943 
CNH Industrial NV  Pershing LLC     300   USD432,000   USD16.00   12/15/23     20,173 
ConocoPhillips  Pershing LLC     40   USD414,440   USD110.00   09/15/23     10,987 
Corteva Inc.  Pershing LLC     120   USD687,600   USD65.00   08/18/23     2,382 
Corteva Inc.  Pershing LLC     120   USD687,600   USD62.00   09/15/23     9,555 
Corteva Inc.  Pershing LLC     115   USD658,950   USD65.00   10/20/23     8,502 
Coterra Energy Inc.  Pershing LLC     45   USD113,850   USD31.00   07/21/23     6 
Coterra Energy Inc.  Pershing LLC     50   USD126,500   USD29.00   08/18/23     641 

 

See accompanying notes to financial statements.

 

7

 

 

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — June 30, 2023 (Unaudited)

 

 

Description  Counterparty    Number of
Contracts
   Notional
Amount
   Exercise
Price
   Expiration
Date
    Market
Value
 
Coterra Energy Inc.  Pershing LLC     55   USD139,150   USD29.00   10/20/23    $2,786 
Deere & Co.  Pershing LLC     24   USD972,456   USD410.00   08/18/23     34,035 
Deere & Co.  Pershing LLC     20   USD810,380   USD430.00   09/15/23     19,245 
Deere & Co.  Pershing LLC     20   USD810,380   USD425.00   10/20/23     29,841 
Devon Energy Corp.  Pershing LLC     65   USD314,210   USD65.00   07/21/23     5 
Devon Energy Corp.  Pershing LLC     65   USD314,210   USD57.50   09/15/23     3,073 
Diamondback Energy Inc.  Pershing LLC     10   USD131,360   USD147.85   09/15/23     1,956 
Diamondback Energy Inc.  Pershing LLC     10   USD131,360   USD150.00   11/17/23     3,746 
Diamondback Energy Inc.  Pershing LLC     11   USD144,496   USD147.00   01/19/24     7,640 
Eldorado Gold Corp.  Pershing LLC     410   USD414,100   USD11.00   09/15/23     20,466 
Eldorado Gold Corp.  Pershing LLC     353   USD356,530   USD11.50   11/17/23     23,300 
Eni SpA  Morgan Stanley     20   EUR131,820   EUR15.00   07/21/23     17 
Eni SpA  Morgan Stanley     40   EUR263,640   EUR15.00   09/15/23     1,086 
Eni SpA  Morgan Stanley     20   EUR131,820   EUR15.00   11/17/23     1,293 
EOG Resources Inc.  Pershing LLC     30   USD343,320   USD139.00   07/21/23     23 
EOG Resources Inc.  Pershing LLC     32   USD366,208   USD139.00   09/15/23     1,408 
EOG Resources Inc.  Pershing LLC     30   USD343,320   USD127.50   11/17/23     11,340 
Exxon Mobil Corp.  Pershing LLC     125   USD1,340,625   USD110.00   08/18/23     27,927 
Exxon Mobil Corp.  Pershing LLC     116   USD1,244,100   USD120.00   10/20/23     15,688 
Exxon Mobil Corp.  Pershing LLC     135   USD1,447,875   USD114.00   12/15/23     56,264 
FMC Corp.  Pershing LLC     40   USD417,360   USD127.50   08/18/23     172 
FMC Corp.  Pershing LLC     40   USD417,360   USD125.00   10/20/23     2,364 
FMC Corp.  Pershing LLC     40   USD417,360   USD125.00   12/15/23     4,773 
Franco-Nevada Corp.  Pershing LLC     43   USD613,180   USD160.00   12/15/23     20,438 
Freeport-McMoRan Inc.  Pershing LLC     250   USD1,000,000   USD43.00   07/21/23     10,228 
Freeport-McMoRan Inc.  Pershing LLC     295   USD1,180,000   USD45.00   08/18/23     16,132 
Freeport-McMoRan Inc.  Pershing LLC     250   USD1,000,000   USD44.00   09/15/23     29,192 
Glencore plc  Morgan Stanley     80   GBP355,600   GBP528.00   11/17/23     5,456 
Gold Fields Ltd., ADR  Pershing LLC     165   USD228,195   USD15.00   10/20/23     12,693 
Halliburton Co.  Pershing LLC     60   USD197,940   USD43.00   07/21/23     96 
Halliburton Co.  Pershing LLC     50   USD164,950   USD38.00   09/15/23     3,167 
Halliburton Co.  Pershing LLC     60   USD197,940   USD38.00   11/17/23     8,348 
Hess Corp.  Pershing LLC     10   USD135,950   USD155.00   09/15/23     1,764 
Hess Corp.  Pershing LLC     12   USD163,140   USD150.00   11/17/23     7,131 
Kinder Morgan Inc.  Pershing LLC     122   USD210,084   USD20.00   07/21/23     8 
Kinder Morgan Inc.  Pershing LLC     115   USD198,030   USD19.00   08/18/23     207 
Kinder Morgan Inc.  Pershing LLC     115   USD198,030   USD18.00   09/15/23     2,007 
Kinross Gold Corp.  Pershing LLC     500   USD238,500   USD5.50   08/18/23     4,813 
Kinross Gold Corp.  Pershing LLC     960   USD457,920   USD6.00   11/17/23     16,576 
Kinross Gold Corp.  Pershing LLC     1,124   USD536,148   USD5.00   01/19/24     57,185 
Marathon Oil Corp.  Pershing LLC     100   USD230,200   USD27.50   07/21/23     254 
Marathon Oil Corp.  Pershing LLC     50   USD115,100   USD26.00   09/15/23     2,650 
Marathon Oil Corp.  Pershing LLC     50   USD115,100   USD30.00   10/20/23     1,150 
Marathon Petroleum Corp.  Pershing LLC     30   USD349,800   USD125.00   08/18/23     4,944 
Marathon Petroleum Corp.  Pershing LLC     30   USD349,800   USD125.00   10/20/23     11,923 
Marathon Petroleum Corp.  Pershing LLC     35   USD408,100   USD125.00   12/15/23     20,428 
Newmont Corp.  Pershing LLC     180   USD767,880   USD55.00   08/18/23     928 
Newmont Corp.  Pershing LLC     110   USD469,260   USD47.50   09/15/23     8,651 
Newmont Corp.  Pershing LLC     314   USD1,339,524   USD55.00   09/15/23     4,934 
Newmont Corp.  Pershing LLC     215   USD917,190   USD47.00   10/20/23     29,139 
NextEra Energy Partners LP  Pershing LLC     60   USD351,840   USD67.50   09/15/23     4,756 
Nutrien Ltd.  Pershing LLC     50   USD295,250   USD90.00   09/15/23     456 

 

See accompanying notes to financial statements.

 

8

 

 

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — June 30, 2023 (Unaudited)

 

 

Description  Counterparty    Number of
Contracts
   Notional
Amount
   Exercise
Price
   Expiration
Date
    Market
Value
 
Nutrien Ltd.  Pershing LLC     110   USD649,550   USD67.50   10/20/23    $17,083 
Occidental Petroleum Corp.  Pershing LLC     45   USD264,600   USD65.00   10/20/23     6,953 
Occidental Petroleum Corp.  Pershing LLC     40   USD235,200   USD72.50   11/17/23     3,101 
ONEOK Inc.  Pershing LLC     30   USD185,160   USD67.50   08/18/23     666 
ONEOK Inc.  Pershing LLC     27   USD166,644   USD71.00   10/20/23     1,051 
ONEOK Inc.  Pershing LLC     30   USD185,160   USD65.00   12/15/23     6,464 
Osisko Gold Royalties Ltd.  Pershing LLC     224   USD344,288   USD14.50   07/21/23     23,716 
Osisko Gold Royalties Ltd.  Pershing LLC     340   USD522,580   USD14.00   09/15/23     64,030 
Phillips 66  Pershing LLC     30   USD286,140   USD115.00   07/21/23     9 
Phillips 66  Pershing LLC     30   USD286,140   USD105.00   09/15/23     4,361 
Phillips 66  Pershing LLC     25   USD238,450   USD105.00   11/17/23     6,814 
Pioneer Natural Resources Co.  Pershing LLC     16   USD331,488   USD242.50   09/15/23     3,057 
Pioneer Natural Resources Co.  Pershing LLC     16   USD331,488   USD240.00   11/17/23     7,947 
Pioneer Natural Resources Co.  Pershing LLC     19   USD393,642   USD240.00   01/19/24     12,686 
Rio Tinto plc, ADR  Pershing LLC     170   USD1,085,280   USD80.00   07/21/23     304 
Rio Tinto plc, ADR  Pershing LLC     85   USD542,640   USD75.00   08/18/23     724 
Rio Tinto plc, ADR  Pershing LLC     85   USD542,640   USD65.00   10/20/23     23,146 
Rio Tinto plc, ADR  Pershing LLC     150   USD957,600   USD70.00   12/15/23     31,430 
Royal Gold Inc.  Pershing LLC     33   USD378,774   USD130.00   07/21/23     269 
Royal Gold Inc.  Pershing LLC     40   USD459,120   USD132.00   09/15/23     5,328 
Schlumberger NV  Pershing LLC     80   USD392,960   USD60.00   08/18/23     1,285 
Schlumberger NV  Pershing LLC     80   USD392,960   USD52.00   09/15/23     14,804 
Schlumberger NV  Pershing LLC     80   USD392,960   USD55.00   11/17/23     16,051 
Shell plc, ADR  Pershing LLC     100   USD603,800   USD58.00   07/21/23     28,841 
Shell plc, ADR  Pershing LLC     105   USD633,990   USD60.00   10/20/23     34,222 
Shell plc, ADR  Pershing LLC     60   USD362,280   USD62.50   01/19/24     19,642 
Shell plc, ADR  Pershing LLC     60   USD362,280   USD65.00   01/19/24     13,444 
SSR Mining Inc.  Pershing LLC     475   USD673,550   USD18.00   09/15/23     7,718 
SSR Mining Inc.  Pershing LLC     470   USD666,460   USD18.00   10/20/23     13,346 
SSR Mining Inc.  Pershing LLC     475   USD673,550   USD17.00   12/15/23     29,141 
Suncor Energy Inc.  Pershing LLC     55   USD161,260   USD40.00   08/18/23     47 
Suncor Energy Inc.  Pershing LLC     55   USD161,260   USD37.00   09/15/23     398 
Suncor Energy Inc.  Pershing LLC     50   USD146,600   USD32.00   11/17/23     5,446 
The Mosaic Co.  Pershing LLC