GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments — March 31, 2021 (Unaudited)
| | | | | | | | |
Shares | | | | | Market
Value | |
| | | | COMMON STOCKS — 83.2% | | | | |
| | | | Agriculture — 5.4% | | | | |
| | 48,000 | | | Archer-Daniels-Midland Co.(a) | | $ | 2,736,000 | |
| | 20,500 | | | Bunge Ltd.(a) | | | 1,625,035 | |
| | 69,990 | | | Nutrien Ltd.(a) | | | 3,771,761 | |
| | | | | | | | |
| | | | | | | 8,132,796 | |
| | | | | | | | |
| | | | Energy and Energy Services — 19.1% | | | | |
| | 11,700 | | | APA Corp. | | | 209,430 | |
| | 23,000 | | | Baker Hughes Co. | | | 497,030 | |
| | 47,400 | | | BP plc, ADR(a) | | | 1,154,190 | |
| | 21,300 | | | Cabot Oil & Gas Corp. | | | 400,014 | |
| | 37,945 | | | Chevron Corp.(a) | | | 3,976,256 | |
| | 21,200 | | | ConocoPhillips | | | 1,122,964 | |
| | 15,300 | | | Devon Energy Corp. | | | 334,305 | |
| | 6,500 | | | Diamondback Energy Inc. | | | 477,685 | |
| | 61,500 | | | Eni SpA | | | 756,838 | |
| | 16,000 | | | EOG Resources Inc.(a) | | | 1,160,480 | |
| | 69,400 | | | Exxon Mobil Corp.(a) | | | 3,874,602 | |
| | 23,000 | | | Halliburton Co.(a) | | | 493,580 | |
| | 2,500 | | | Helmerich & Payne Inc. | | | 67,400 | |
| | 3,500 | | | Hess Corp. | | | 247,660 | |
| | 6,600 | | | HollyFrontier Corp. | | | 236,148 | |
| | 69,682 | | | Kinder Morgan Inc.(a) | | | 1,160,205 | |
| | 17,695 | | | Marathon Petroleum Corp.(a) | | | 946,506 | |
| | 8,598 | | | Occidental Petroleum Corp.(a) | | | 228,879 | |
| | 12,500 | | | ONEOK Inc. | | | 633,250 | |
| | 11,700 | | | Phillips 66(a) | | | 954,018 | |
| | 6,900 | | | Pioneer Natural Resources Co.(a) | | | 1,095,858 | |
| | 137,500 | | | Royal Dutch Shell plc, Cl. A | | | 2,679,964 | |
| | 41,500 | | | Schlumberger NV(a) | | | 1,128,385 | |
| | 21,000 | | | Suncor Energy Inc.(a) | | | 438,900 | |
| | 15,000 | | | Sunoco LP | | | 477,600 | |
| | 36,200 | | | The Williams Companies Inc.(a) | | | 857,578 | |
| | 45,000 | | | TOTAL SE, ADR(a) | | | 2,094,300 | |
| | 13,300 | | | Valero Energy Corp.(a) | | | 952,280 | |
| | | | | | | | |
| | | | | | | 28,656,305 | |
| | | | | | | | |
| | | | Food and Beverage — 3.0% | | | | |
| | 48,594 | | | Mowi ASA | | | 1,205,596 | |
| | 15,000 | | | Pilgrim’s Pride Corp.† | | | 356,850 | |
| | 39,000 | | | Tyson Foods Inc., Cl. A(a) | | | 2,897,700 | |
| | | | | | | | |
| | | | | | | 4,460,146 | |
| | | | | | | | |
| | | | Health Care — 7.9% | | | | |
| | 9,000 | | | IDEXX Laboratories Inc.†(a) | | | 4,403,790 | |
| | 47,000 | | | Zoetis Inc.(a) | | | 7,401,560 | |
| | | | | | | | |
| | | | | | | 11,805,350 | |
| | | | | | | | |
| | | | Machinery — 3.8% | | | | |
| | 10,000 | | | AGCO Corp. | | | 1,436,500 | |
| | 109,000 | | | CNH Industrial NV†(a) | | | 1,704,760 | |
| | 7,000 | | | Deere & Co.(a) | | | 2,618,980 | |
| | | | | | | | |
| | | | | | | 5,760,240 | |
| | | | | | | | |
| | | | | | | | |
Shares | | | | | Market
Value | |
| | | | Metals and Mining — 41.3% | | | | |
| | 70,100 | | | Agnico Eagle Mines Ltd.(a) | | $ | 4,052,481 | |
| | 361,416 | | | Alamos Gold Inc., Cl. A(a) | | | 2,822,659 | |
| | 30,000 | | | AngloGold Ashanti Ltd., ADR | | | 659,100 | |
| | 254,500 | | | B2Gold Corp. | | | 1,096,895 | |
| | 241,794 | | | Barrick Gold Corp.(a) | | | 4,787,521 | |
| | 475,000 | | | Belo Sun Mining Corp.† | | | 302,379 | |
| | 30,000 | | | BHP Group Ltd., ADR(a) | | | 2,081,700 | |
| | 175,000 | | | Centamin plc | | | 250,905 | |
| | 99,000 | | | Centerra Gold Inc. | | | 876,009 | |
| | 75,000 | | | Dundee Precious Metals Inc. | | | 457,746 | |
| | 107,400 | | | Eldorado Gold Corp.† | | | 1,158,846 | |
| | 149,685 | | | Endeavour Mining Corp. | | | 3,017,045 | |
| | 97,000 | | | Equinox Gold Corp.† | | | 775,030 | |
| | 451,000 | | | Evolution Mining Ltd. | | | 1,397,633 | |
| | 33,300 | | | Franco-Nevada Corp.(a) | | | 4,172,157 | |
| | 101,000 | | | Freeport-McMoRan Inc.†(a) | | | 3,325,930 | |
| | 62,137 | | | Fresnillo plc | | | 740,292 | |
| | 70,000 | | | Gold Fields Ltd., ADR | | | 664,300 | |
| | 748,733 | | | Gold Road Resources Ltd. | | | 625,570 | |
| | 79,224 | | | Harmony Gold Mining Co. Ltd., ADR† | | | 345,417 | |
| | 481,500 | | | Hochschild Mining plc | | | 1,299,049 | |
| | 153,500 | | | Kinross Gold Corp. | | | 1,023,845 | |
| | 100,126 | | | Kirkland Lake Gold Ltd.(a) | | | 3,384,259 | |
| | 10,000 | | | Labrador Iron Ore Royalty Corp. | | | 294,661 | |
| | 105,952 | | | Newcrest Mining Ltd. | | | 1,965,221 | |
| | 76,200 | | | Newmont Corp.(a) | | | 4,592,574 | |
| | 67,085 | | | Northern Dynasty Minerals Ltd.† | | | 42,532 | |
| | 461,005 | | | Northern Star Resources Ltd. | | | 3,319,482 | |
| | 314,975 | | | OceanaGold Corp.† | | | 468,690 | |
| | 76,700 | | | Osisko Gold Royalties Ltd. | | | 844,695 | |
| | 7,000 | | | Pan American Silver Corp. | | | 210,210 | |
| | 600,000 | | | Perseus Mining Ltd.† | | | 487,631 | |
| | 112,500 | | | Pretium Resources Inc.† | | | 1,166,625 | |
| | 50,000 | | | Rio Tinto plc, ADR(a) | | | 3,882,500 | |
| | 10,000 | | | Royal Gold Inc. | | | 1,076,200 | |
| | 59,000 | | | SSR Mining Inc. | | | 842,520 | |
| | 71,500 | | | Wesdome Gold Mines Ltd.† | | | 474,505 | |
| | 10 | | | Westgold Resources Ltd.† | | | 15 | |
| | 67,850 | | | Wheaton Precious Metals Corp.(a) | | | 2,592,549 | |
| | 80,000 | | | Yamana Gold Inc. | | | 347,200 | |
| | | | | | | | |
| | | | | | | 61,924,578 | |
| | | | | | | | |
| | | | Specialty Chemicals — 2.7% | | | | |
| | 26,000 | | | CF Industries Holdings Inc.(a) | | | 1,179,880 | |
| | 13,500 | | | FMC Corp. | | | 1,493,235 | |
| | 45,000 | | | The Mosaic Co.(a) | | | 1,422,450 | |
| | | | | | | | |
| | | | | | | 4,095,565 | |
| | | | | �� | | | |
| | | | TOTAL COMMON STOCKS | | | 124,834,980 | |
| | | | | | | | |
1
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
| | | | | | | | |
Shares | | | | | Market Value | |
| | | | RIGHTS — 0.1% | | | | |
| | | | Metals and Mining — 0.1% | | | | |
| | 90,000 | | | Pan American Silver Corp., CVR† | | $ | 78,300 | |
| | | | | | | | |
| | |
| | | | WARRANTS — 0.0% | | | | |
| | | | Energy and Energy Services — 0.0% | | | | |
| | 1,012 | | | Occidental Petroleum Corp., expire 08/03/27† | | | 12,053 | |
| | | | | | | | |
| | |
Principal
Amount | | | | | | |
| | | | CONVERTIBLE CORPORATE BONDS — 0.6% | | | | |
| | | | Metals and Mining — 0.6% | | | | |
| | $200,000 | | | Fortuna Silver Mines Inc.4.650%, 10/31/24 | | | 322,120 | |
| | 350,000 | | | Osisko Gold Royalties Ltd.4.000%, 12/31/22 | | | 280,735 | |
| | 350,000 | | | Pretium Resources Inc.2.250%, 03/15/22 | | | 360,937 | |
| | | | | | | | |
| | | | | | | 963,792 | |
| | | | | | | | |
| | | | TOTAL CONVERTIBLE CORPORATE BONDS | | | 963,792 | |
| | | | | | | | |
| | |
| | | | CORPORATE BONDS — 0.3% | | | | |
| | | | Metals and Mining — 0.3% | | | | |
| | 500,000 | | | IAMGOLD Corp., 5.750%, 10/15/28(b) | | | 507,025 | |
| | | | | | | | |
| | |
| | | | U.S. GOVERNMENT OBLIGATIONS — 15.8% | | | | |
| | |
| | | | U.S. Cash Management Bill — 0.3% | | | | |
| | 490,000 | | | 0.005%††, 04/20/2021 | | | 489,996 | |
| | | | | | | | |
| | | | U.S. Treasury Bills — 15.5% | | | | |
| | 23,252,000 | | | 0.005% to 0.107%†††, 04/08/21 to 09/23/21(c) | | | 23,251,669 | |
| | | | | | | | |
| | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | 23,741,665 | |
| | | | | | | | |
| | |
| | | | TOTAL INVESTMENTS BEFORE OPTIONS WRITTEN — 100.0% | | | | |
| | | | (Cost $174,159,994) | | $ | 150,137,815 | |
| | | | | | | | |
| (a) | Securities, or a portion thereof, with a value of $59,620,398 were deposited with the broker as collateral for options written. |
| (b) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (c) | At March 31, 2021, $18,639,000 of the principal amount was pledged as collateral for options written. |
| † | Non-income producing security. |
| †† | Represents annualized yield at date of purchase. |
| ††† | Represents annualized yields at dates of purchase. |
| ADR | American Depositary Receipt |
| CVR | Contingent Value Right |
| | | | | | | | |
Geographic Diversification | | % of Total
Investments* | | | Market Value | |
Long Positions | | | | | | | | |
North America | | | 79.5 | % | | $ | 119,337,617 | |
Europe | | | 9.1 | | | | 13,729,054 | |
Asia/Pacific | | | 6.9 | | | | 10,345,942 | |
Latin America | | | 3.4 | | | | 5,056,386 | |
South Africa | | | 1.1 | | | | 1,668,816 | |
| | | | | | | | |
Total Investments — Long Positions | | | 100.0 | % | | $ | 150,137,815 | |
| | | | | | | | |
| | |
Short Positions | | | | | | | | |
North America | | | (5.8 | )% | | $ | (8,755,465 | ) |
Europe | | | (0.2 | ) | | | (225,486 | ) |
Asia/Pacific | | | (0.0 | )** | | | (42,763 | ) |
| | | | | | | | |
Total Investments — Short Positions | | | (6.0 | )% | | $ | (9,023,714 | ) |
| | | | | | | | |
| * | Total investments exclude options written. |
| ** | Amount represents greater than (0.05)%. |
2
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
As of March 31, 2021, options written outstanding were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | Notional
Amount | | | Exercise Price | | | Expiration
Date | | | Market
Value | |
OTC Call Options | | | | | | | | | | | | | | | | | | | | | | | | | | |
Written — (4.6)% | | | | | | | | | | | | | | | | | | | | | | | | | | |
Agnico Eagle Mines Ltd. | | Pershing LLC | | | 100 | | | USD | | | 578,100 | | | USD | | | 70.00 | | | | 06/18/21 | | | $ | 9,264 | |
Agnico Eagle Mines Ltd. | | Pershing LLC | | | 80 | | | USD | | | 462,480 | | | USD | | | 77.00 | | | | 06/18/21 | | | | 3,289 | |
Agnico Eagle Mines Ltd. | | Pershing LLC | | | 215 | | | USD | | | 1,242,915 | | | USD | | | 77.00 | | | | 08/20/21 | | | | 20,344 | |
Agnico Eagle Mines Ltd. | | Pershing LLC | | | 200 | | | USD | | | 1,156,200 | | | USD | | | 60.00 | | | | 10/15/21 | | | | 108,663 | |
Agnico Eagle Mines Ltd. | | Pershing LLC | | | 60 | | | USD | | | 346,860 | | | USD | | | 66.00 | | | | 10/15/21 | | | | 20,918 | |
Alamos Gold Inc., Cl. A | | Pershing LLC | | | 389 | | | USD | | | 303,809 | | | USD | | | 9.00 | | | | 05/21/21 | | | | 10,895 | |
Alamos Gold Inc., Cl. A | | Pershing LLC | | | 525 | | | USD | | | 410,025 | | | USD | | | 11.25 | | | | 05/21/21 | | | | 3,145 | |
Alamos Gold Inc., Cl. A | | Pershing LLC | | | 1,200 | | | USD | | | 937,200 | | | USD | | | 11.25 | | | | 07/16/21 | | | | 24,785 | |
Alamos Gold Inc., Cl. A | | Pershing LLC | | | 525 | | | USD | | | 410,025 | | | USD | | | 9.50 | | | | 11/19/21 | | | | 45,995 | |
Apache Corp. | | Pershing LLC | | | 39 | | | USD | | | 69,810 | | | USD | | | 20.00 | | | | 09/17/21 | | | | 0 | |
Archer-Daniels-Midland Co. | | Pershing LLC | | | 230 | | | USD | | | 1,311,000 | | | USD | | | 51.00 | | | | 04/16/21 | | | | 145,535 | |
Archer-Daniels-Midland Co. | | Pershing LLC | | | 250 | | | USD | | | 1,425,000 | | | USD | | | 54.00 | | | | 06/18/21 | | | | 104,039 | |
B2Gold Corp. | | Pershing LLC | | | 400 | | | USD | | | 172,400 | | | USD | | | 5.50 | | | | 04/16/21 | | | | 194 | |
B2Gold Corp. | | Pershing LLC | | | 835 | | | USD | | | 359,885 | | | USD | | | 7.00 | | | | 04/16/21 | | | | 0 | |
B2Gold Corp. | | Pershing LLC | | | 1,300 | | | USD | | | 560,300 | | | USD | | | 6.00 | | | | 06/18/21 | | | | 12,381 | |
B2Gold Corp. | | Pershing LLC | | | 835 | | | USD | | | 359,885 | | | USD | | | 6.50 | | | | 08/20/21 | | | | 14,553 | |
B2Gold Corp. | | Pershing LLC | | | 835 | | | USD | | | 359,885 | | | USD | | | 5.50 | | | | 10/15/21 | | | | 31,605 | |
Baker Hughes Co. | | Pershing LLC | | | 95 | | | USD | | | 205,295 | | | USD | | | 21.00 | | | | 04/16/21 | | | | 10,694 | |
Baker Hughes Co. | | Pershing LLC | | | 65 | | | USD | | | 140,465 | | | USD | | | 22.00 | | | | 06/18/21 | | | | 9,284 | |
Baker Hughes Co. | | Pershing LLC | | | 70 | | | USD | | | 151,270 | | | USD | | | 24.00 | | | | 08/20/21 | | | | 8,388 | |
Barrick Gold Corp. | | Pershing LLC | | | 750 | | | USD | | | 1,485,000 | | | USD | | | 27.50 | | | | 04/16/21 | | | | 573 | |
Barrick Gold Corp. | | Pershing LLC | | | 180 | | | USD | | | 356,400 | | | USD | | | 21.00 | | | | 06/18/21 | | | | 14,699 | |
Barrick Gold Corp. | | Pershing LLC | | | 688 | | | USD | | | 1,362,240 | | | USD | | | 28.00 | | | | 06/18/21 | | | | 7,271 | |
Barrick Gold Corp. | | Pershing LLC | | | 675 | | | USD | | | 1,336,500 | | | USD | | | 23.00 | | | | 08/20/21 | | | | 47,499 | |
Barrick Gold Corp. | | Pershing LLC | | | 125 | | | USD | | | 247,500 | | | USD | | | 26.00 | | | | 08/20/21 | | | | 4,046 | |
Barrick Gold Corp. | | Pershing LLC | | | 375 | | | USD | | | 742,500 | | | USD | | | 23.00 | | | | 10/15/21 | | | | 35,127 | |
BHP Group Ltd., ADR | | Pershing LLC | | | 100 | | | USD | | | 693,900 | | | USD | | | 52.50 | | | | 05/21/21 | | | | 173,853 | |
BHP Group Ltd., ADR | | Pershing LLC | | | 100 | | | USD | | | 693,900 | | | USD | | | 65.00 | | | | 08/20/21 | | | | 76,747 | |
BHP Group Ltd., ADR | | Pershing LLC | | | 100 | | | USD | | | 693,900 | | | USD | | | 72.00 | | | | 09/17/21 | | | | 36,140 | |
BP plc, ADR | | Pershing LLC | | | 139 | | | USD | | | 338,465 | | | USD | | | 25.00 | | | | 05/21/21 | | | | 12,967 | |
BP plc, ADR | | Pershing LLC | | | 170 | | | USD | | | 413,950 | | | USD | | | 26.00 | | | | 07/16/21 | | | | 19,183 | |
BP plc, ADR | | Pershing LLC | | | 165 | | | USD | | | 401,775 | | | USD | | | 25.00 | | | | 09/17/21 | | | | 31,117 | |
Bunge Ltd. | | Pershing LLC | | | 100 | | | USD | | | 792,700 | | | USD | | | 72.50 | | | | 04/16/21 | | | | 75,326 | |
Bunge Ltd. | | Pershing LLC | | | 100 | | | USD | | | 792,700 | | | USD | | | 80.00 | | | | 06/18/21 | | | | 44,963 | |
Cabot Oil & Gas Corp. | | Pershing LLC | | | 80 | | | USD | | | 150,240 | | | USD | | | 20.00 | | | | 04/16/21 | | | | 1,378 | |
Cabot Oil & Gas Corp. | | Pershing LLC | | | 75 | | | USD | | | 140,850 | | | USD | | | 21.00 | | | | 06/18/21 | | | | 3,437 | |
Cabot Oil & Gas Corp. | | Pershing LLC | | | 75 | | | USD | | | 140,850 | | | USD | | | 20.00 | | | | 08/20/21 | | | | 8,232 | |
3
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | Notional Amount | | | Exercise Price | | | Expiration
Date | | | Market
Value | |
CF Industries Holdings Inc. | | Pershing LLC | | | 130 | | | USD | | | 589,940 | | | USD | | | 37.50 | | | | 05/21/21 | | | $ | 106,821 | |
CF Industries Holdings Inc. | | Pershing LLC | | | 130 | | | USD | | | 589,940 | | | USD | | | 42.50 | | | | 07/16/21 | | | | 67,902 | |
Chevron Corp. | | Pershing LLC | | | 88 | | | USD | | | 922,152 | | | USD | | | 80.00 | | | | 04/16/21 | | | | 219,827 | |
Chevron Corp. | | Pershing LLC | | | 128 | | | USD | | | 1,341,312 | | | USD | | | 100.00 | | | | 05/21/21 | | | | 85,515 | |
Chevron Corp. | | Pershing LLC | | | 93 | | | USD | | | 974,547 | | | USD | | | 100.00 | | | | 07/16/21 | | | | 80,124 | |
Chevron Corp. | | Pershing LLC | | | 70 | | | USD | | | 733,530 | | | USD | | | 105.00 | | | | 09/17/21 | | | | 49,737 | |
CNH Industrial NV | | Pershing LLC | | | 400 | | | USD | | | 625,600 | | | USD | | | 14.00 | | | | 05/21/21 | | | | 73,419 | |
CNH Industrial NV | | Pershing LLC | | | 340 | | | USD | | | 531,760 | | | USD | | | 12.00 | | | | 06/18/21 | | | | 126,874 | |
CNH Industrial NV | | Pershing LLC | | | 350 | | | USD | | | 547,400 | | | USD | | | 16.50 | | | | 09/17/21 | | | | 41,149 | |
ConocoPhillips | | Pershing LLC | | | 100 | | | USD | | | 529,700 | | | USD | | | 40.00 | | | | 05/21/21 | | | | 131,210 | |
ConocoPhillips | | Pershing LLC | | | 45 | | | USD | | | 238,365 | | | USD | | | 50.00 | | | | 07/16/21 | | | | 25,951 | |
ConocoPhillips | | Pershing LLC | | | 67 | | | USD | | | 354,899 | | | USD | | | 50.00 | | | | 09/17/21 | | | | 46,119 | |
Deere & Co. | | Pershing LLC | | | 30 | | | USD | | | 1,122,420 | | | USD | | | 250.00 | | | | 06/18/21 | | | | 379,905 | |
Deere & Co. | | Pershing LLC | | | 40 | | | USD | | | 1,496,560 | | | USD | | | 350.00 | | | | 08/20/21 | | | | 167,743 | |
Devon Energy Corp. | | Pershing LLC | | | 50 | | | USD | | | 109,250 | | | USD | | | 17.00 | | | | 04/16/21 | | | | 24,910 | |
Devon Energy Corp. | | Pershing LLC | | | 23 | | | USD | | | 50,255 | | | USD | | | 19.00 | | | | 04/16/21 | | | | 7,058 | |
Devon Energy Corp. | | Pershing LLC | | | 80 | | | USD | | | 174,800 | | | USD | | | 20.00 | | | | 07/16/21 | | | | 28,828 | |
Diamondback Energy Inc. | | Pershing LLC | | | 20 | | | USD | | | 146,980 | | | USD | | | 70.00 | | | | 06/18/21 | | | | 21,216 | |
Diamondback Energy Inc. | | Pershing LLC | | | 20 | | | USD | | | 146,980 | | | USD | | | 75.00 | | | | 08/20/21 | | | | 21,501 | |
Diamondback Energy Inc. | | Pershing LLC | | | 25 | | | USD | | | 183,725 | | | USD | | | 80.00 | | | | 10/15/21 | | | | 26,885 | |
Eldorado Gold Corp. | | Pershing LLC | | | 243 | | | USD | | | 262,197 | | | USD | | | 13.00 | | | | 09/17/21 | | | | 22,604 | |
Endeavour Mining Corp. | | Pershing LLC | | | 315 | | | CAD | | | 797,895 | | | CAD | | | 15.00 | | | | 04/16/21 | | | | 49 | |
Endeavour Mining Corp. | | Pershing LLC | | | 315 | | | CAD | | | 797,895 | | | CAD | | | 16.00 | | | | 04/16/21 | | | | 4 | |
Endeavour Mining Corp. | | Pershing LLC | | | 563 | | | CAD | | | 1,426,079 | | | CAD | | | 17.00 | | | | 07/16/21 | | | | 5,541 | |
Eni SpA | | Morgan Stanley | | | 40 | | | EUR | | | 209,880 | | | EUR | | | 9.50 | | | | 05/21/21 | | | | 25,362 | |
Eni SpA | | Morgan Stanley | | | 40 | | | EUR | | | 209,880 | | | EUR | | | 9.50 | | | | 07/16/21 | | | | 23,513 | |
Eni SpA | | Morgan Stanley | | | 40 | | | EUR | | | 209,880 | | | EUR | | | 10.00 | | | | 09/17/21 | | | | 18,171 | |
EOG Resources Inc. | | Pershing LLC | | | 55 | | | USD | | | 398,915 | | | USD | | | 57.50 | | | | 05/21/21 | | | | 85,499 | |
EOG Resources Inc. | | Pershing LLC | | | 50 | | | USD | | | 362,650 | | | USD | | | 60.00 | | | | 07/16/21 | | | | 73,210 | |
EOG Resources Inc. | | Pershing LLC | | | 55 | | | USD | | | 398,915 | | | USD | | | 75.00 | | | | 09/17/21 | | | | 46,366 | |
Equinox Gold Corp. | | Pershing LLC | | | 485 | | | USD | | | 387,515 | | | USD | | | 13.00 | | | | 07/16/21 | | | | 4,640 | |
Exxon Mobil Corp. | | Pershing LLC | | | 65 | | | USD | | | 362,895 | | | USD | | | 42.00 | | | | 04/16/21 | | | | 91,373 | |
Exxon Mobil Corp. | | Pershing LLC | | | 100 | | | USD | | | 558,300 | | | USD | | | 43.00 | | | | 05/21/21 | | | | 124,223 | |
Exxon Mobil Corp. | | Pershing LLC | | | 15 | | | USD | | | 83,745 | | | USD | | | 45.00 | | | | 05/21/21 | | | | 15,790 | |
Exxon Mobil Corp. | | Pershing LLC | | | 107 | | | USD | | | 597,381 | | | USD | | | 50.00 | | | | 05/21/21 | | | | 65,401 | |
Exxon Mobil Corp. | | Pershing LLC | | | 205 | | | USD | | | 1,144,515 | | | USD | | | 55.00 | | | | 07/16/21 | | | | 81,841 | |
Exxon Mobil Corp. | | Pershing LLC | | | 202 | | | USD | | | 1,127,766 | | | USD | | | 60.00 | | | | 09/17/21 | | | | 54,719 | |
FMC Corp. | | Pershing LLC | | | 70 | | | USD | | | 774,270 | | | USD | | | 115.00 | | | | 04/16/21 | | | | 4,557 | |
Franco-Nevada Corp. | | Pershing LLC | | | 132 | | | USD | | | 1,653,828 | | | USD | | | 120.00 | | | | 09/17/21 | | | | 178,929 | |
Freeport-McMoRan Inc. | | Pershing LLC | | | 270 | | | USD | | | 889,110 | | | USD | | | 40.00 | | | | 09/17/21 | | | | 59,850 | |
Gold Fields Ltd., ADR | | Pershing LLC | | | 350 | | | USD | | | 332,150 | | | USD | | | 10.00 | | | | 09/17/21 | | | | 37,941 | |
4
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | Notional Amount | | | Exercise Price | | | Expiration
Date | | | Market
Value | |
Halliburton Co. | | Pershing LLC | | | 100 | | | USD | | | 214,600 | | | USD | | | 21.00 | | | | 05/21/21 | | | $ | 18,475 | |
Halliburton Co. | | Pershing LLC | | | 130 | | | USD | | | 278,980 | | | USD | | | 23.00 | | | | 07/16/21 | | | | 21,327 | |
Harmony Gold Mining Co. Ltd., ADR | | Pershing LLC | | | 380 | | | USD | | | 165,680 | | | USD | | | 6.00 | | | | 07/16/21 | | | | 8,231 | |
Hess Corp. | | Pershing LLC | | | 20 | | | USD | | | 141,520 | | | USD | | | 62.50 | | | | 06/18/21 | | | | 21,790 | |
Hess Corp. | | Pershing LLC | | | 15 | | | USD | | | 106,140 | | | USD | | | 65.00 | | | | 08/20/21 | | | | 16,420 | |
HollyFrontier Corp. | | Pershing LLC | | | 36 | | | USD | | | 128,808 | | | USD | | | 33.00 | | | | 06/18/21 | | | | 16,298 | |
HollyFrontier Corp. | | Pershing LLC | | | 30 | | | USD | | | 107,340 | | | USD | | | 45.00 | | | | 09/17/21 | | | | 4,917 | |
IDEXX Laboratories Inc. | | Pershing LLC | | | 30 | | | USD | | | 1,467,930 | | | USD | | | 550.00 | | | | 09/17/21 | | | | 66,846 | |
Kinder Morgan Inc. | | Pershing LLC | | | 225 | | | USD | | | 374,625 | | | USD | | | 16.00 | | | | 06/18/21 | | | | 24,185 | |
Kinder Morgan Inc. | | Pershing LLC | | | 235 | | | USD | | | 391,275 | | | USD | | | 16.00 | | | | 08/20/21 | | | | 28,374 | |
Kinder Morgan Inc. | | Pershing LLC | | | 237 | | | USD | | | 394,605 | | | USD | | | 18.00 | | | | 10/15/21 | | | | 15,940 | |
Kinross Gold Corp. | | Pershing LLC | | | 418 | | | USD | | | 278,806 | | | USD | | | 9.00 | | | | 04/16/21 | | | | 76 | |
Kinross Gold Corp. | | Pershing LLC | | | 683 | | | USD | | | 455,561 | | | USD | | | 7.50 | | | | 05/21/21 | | | | 14,504 | |
Kinross Gold Corp. | | Pershing LLC | | | 700 | | | USD | | | 466,900 | | | USD | | | 8.00 | | | | 07/16/21 | | | | 19,362 | |
Kinross Gold Corp. | | Pershing LLC | | | 117 | | | USD | | | 78,039 | | | USD | | | 7.50 | | | | 09/17/21 | | | | 6,300 | |
Kirkland Lake Gold Ltd. | | Pershing LLC | | | 335 | | | USD | | | 1,132,300 | | | USD | | | 40.00 | | | | 05/21/21 | | | | 17,473 | |
Kirkland Lake Gold Ltd. | | Pershing LLC | | | 172 | | | USD | | | 581,360 | | | USD | | | 47.00 | | | | 07/16/21 | | | | 6,469 | |
Kirkland Lake Gold Ltd. | | Pershing LLC | | | 61 | | | USD | | | 206,180 | | | USD | | | 50.00 | | | | 07/16/21 | | | | 1,370 | |
Kirkland Lake Gold Ltd. | | Pershing LLC | | | 233 | | | USD | | | 787,540 | | | USD | | | 35.00 | | | | 08/20/21 | | | | 70,755 | |
Kirkland Lake Gold Ltd. | | Pershing LLC | | | 335 | | | USD | | | 1,132,300 | | | USD | | | 45.00 | | | | 09/17/21 | | | | 33,677 | |
Marathon Petroleum Corp. | | Pershing LLC | | | 40 | | | USD | | | 213,960 | | | USD | | | 40.00 | | | | 05/21/21 | | | | 53,881 | |
Marathon Petroleum Corp. | | Pershing LLC | | | 12 | | | USD | | | 64,188 | | | USD | | | 52.50 | | | | 05/21/21 | | | | 4,526 | |
Marathon Petroleum Corp. | | Pershing LLC | | | 60 | | | USD | | | 320,940 | | | USD | | | 50.00 | | | | 07/16/21 | | | | 39,783 | |
Marathon Petroleum Corp. | | Pershing LLC | | | 65 | | | USD | | | 347,685 | | | USD | | | 62.50 | | | | 09/17/21 | | | | 17,345 | |
Mowi ASA | | Morgan Stanley | | | 35,053 | | | NOK | | | 7,438,247 | | | NOK | | | 199.70 | | | | 04/16/21 | | | | 54,844 | |
Newcrest Mining Ltd. | | Morgan Stanley | | | 510 | | | AUD | | | 1,245,420 | | | AUD | | | 30.00 | | | | 05/20/21 | | | | 1,041 | |
Newcrest Mining Ltd. | | Morgan Stanley | | | 250 | | | AUD | | | 610,500 | | | AUD | | | 27.00 | | | | 07/15/21 | | | | 12,569 | |
Newcrest Mining Ltd. | | Pershing LLC | | | 300 | | | AUD | | | 732,600 | | | AUD | | | 26.00 | | | | 09/16/21 | | | | 29,153 | |
Newmont Corp. | | Pershing LLC | | | 150 | | | USD | | | 904,050 | | | USD | | | 63.00 | | | | 04/16/21 | | | | 8,679 | |
Newmont Corp. | | Pershing LLC | | | 205 | | | USD | | | 1,235,535 | | | USD | | | 65.00 | | | | 05/21/21 | | | | 25,775 | |
Newmont Corp. | | Pershing LLC | | | 150 | | | USD | | | 904,050 | | | USD | | | 60.00 | | | | 07/16/21 | | | | 59,628 | |
Newmont Corp. | | Pershing LLC | | | 150 | | | USD | | | 904,050 | | | USD | | | 62.50 | | | | 08/20/21 | | | | 53,653 | |
Newmont Corp. | | Pershing LLC | | | 107 | | | USD | | | 644,889 | | | USD | | | 70.00 | | | | 10/15/21 | | | | 23,621 | |
Northern Star Resources Ltd. | | The Goldman Sachs Group Inc. | | | 1,532 | | | AUD | | | 1,452,336 | | | AUD | | | 15.00 | | | | 04/16/21 | | | | 0 | |
Nutrien Ltd. | | Pershing LLC | | | 250 | | | USD | | | 1,347,250 | | | USD | | | 50.00 | | | | 05/21/21 | | | | 127,293 | |
Nutrien Ltd. | | Pershing LLC | | | 250 | | | USD | | | 1,347,250 | | | USD | | | 55.00 | | | | 07/16/21 | | | | 70,207 | |
Nutrien Ltd. | | Pershing LLC | | | 200 | | | USD | | | 1,077,800 | | | USD | | | 52.00 | | | | 09/17/21 | | | | 105,983 | |
5
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | Notional Amount | | | Exercise Price | | | Expiration
Date | | | Market
Value | |
Occidental Petroleum Corp. | | Pershing LLC | | | 45 | | | USD | | | 119,790 | | | USD | | | 25.00 | | | | 07/16/21 | | | $ | 20,078 | |
ONEOK Inc. | | Pershing LLC | | | 40 | | | USD | | | 202,640 | | | USD | | | 45.00 | | | | 04/16/21 | | | | 23,780 | |
ONEOK Inc. | | Pershing LLC | | | 40 | | | USD | | | 202,640 | | | USD | | | 46.00 | | | | 07/16/21 | | | | 25,387 | |
ONEOK Inc. | | Pershing LLC | | | 45 | | | USD | | | 227,970 | | | USD | | | 46.00 | | | | 09/17/21 | | | | 30,049 | |
Pan American Silver Corp. | | Pershing LLC | | | 70 | | | USD | | | 210,210 | | | USD | | | 32.50 | | | | 08/20/21 | | | | 20,467 | |
Phillips 66 | | Pershing LLC | | | 35 | | | USD | | | 285,390 | | | USD | | | 65.00 | | | | 04/16/21 | | | | 59,826 | |
Phillips 66 | | Pershing LLC | | | 5 | | | USD | | | 40,770 | | | USD | | | 80.00 | | | | 05/21/21 | | | | 2,634 | |
Phillips 66 | | Pershing LLC | | | 35 | | | USD | | | 285,390 | | | USD | | | 80.00 | | | | 06/18/21 | | | | 22,403 | |
Phillips 66 | | Pershing LLC | | | 40 | | | USD | | | 326,160 | | | USD | | | 80.00 | | | | 08/20/21 | | | | 31,788 | |
Pilgrim’s Pride Corp. | | Pershing LLC | | | 75 | | | USD | | | 178,425 | | | USD | | | 27.00 | | | | 07/16/21 | | | | 5,736 | |
Pioneer Natural Resources Co. | | Pershing LLC | | | 18 | | | USD | | | 285,876 | | | USD | | | 145.00 | | | | 04/16/21 | | | | 27,165 | |
Pioneer Natural Resources Co. | | Pershing LLC | | | 16 | | | USD | | | 254,112 | | | USD | | | 140.00 | | | | 06/18/21 | | | | 38,007 | |
Pioneer Natural Resources Co. | | Pershing LLC | | | 18 | | | USD | | | 285,876 | | | USD | | | 140.00 | | | | 09/17/21 | | | | 50,405 | |
Pioneer Natural Resources Co. | | Pershing LLC | | | 18 | | | USD | | | 285,876 | | | USD | | | 160.00 | | | | 09/17/21 | | | | 31,115 | |
Pretium Resources Inc. | | Pershing LLC | | | 375 | | | USD | | | 388,875 | | | USD | | | 13.00 | | | | 07/16/21 | | | | 14,359 | |
Rio Tinto plc, ADR | | Pershing LLC | | | 170 | | | USD | | | 1,320,050 | | | USD | | | 71.57 | | | | 05/21/21 | | | | 116,147 | |
Rio Tinto plc, ADR | | Pershing LLC | | | 170 | | | USD | | | 1,320,050 | | | USD | | | 74.07 | | | | 07/16/21 | | | | 111,887 | |
Rio Tinto plc, ADR | | Pershing LLC | | | 160 | | | USD | | | 1,242,400 | | | USD | | | 80.00 | | | | 09/17/21 | | | | 72,529 | |
Royal Dutch Shell plc, Cl. A | | Morgan Stanley | | | 61 | | | GBP | | | 862,418 | | | GBP | | | 1,500.00 | | | | 06/18/21 | | | | 37,387 | |
Royal Dutch Shell plc, Cl. A | | Morgan Stanley | | | 40 | | | GBP | | | 565,520 | | | GBP | | | 1,600.00 | | | | 09/17/21 | | | | 25,676 | |
Royal Dutch Shell plc, Cl. A | | Morgan Stanley | | | 37 | | | GBP | | | 523,106 | | | GBP | | | 1,500.00 | | | | 10/15/21 | | | | 40,533 | |
Royal Gold Inc. | | Pershing LLC | | | 45 | | | USD | | | 484,290 | | | USD | | | 115.00 | | | | 04/16/21 | | | | 3,273 | |
Royal Gold Inc. | | Pershing LLC | | | 55 | | | USD | | | 591,910 | | | USD | | | 115.00 | | | | 06/18/21 | | | | 20,777 | |
Schlumberger NV | | Pershing LLC | | | 150 | | | USD | | | 407,850 | | | USD | | | 25.00 | | | | 05/21/21 | | | | 47,361 | |
Schlumberger NV | | Pershing LLC | | | 130 | | | USD | | | 353,470 | | | USD | | | 25.00 | | | | 07/16/21 | | | | 50,087 | |
Schlumberger NV | | Pershing LLC | | | 135 | | | USD | | | 367,065 | | | USD | | | 30.00 | | | | 09/17/21 | | | | 30,518 | |
SSR Mining Inc. | | Pershing LLC | | | 340 | | | USD | | | 485,520 | | | USD | | | 20.00 | | | | 09/17/21 | | | | 16,501 | |
Suncor Energy Inc. | | Pershing LLC | | | 75 | | | USD | | | 156,750 | | | USD | | | 20.00 | | | | 06/18/21 | | | | 16,162 | |
Suncor Energy Inc. | | Pershing LLC | | | 75 | | | USD | | | 156,750 | | | USD | | | 22.00 | | | | 09/17/21 | | | | 14,635 | |
Suncor Energy Inc. | | Pershing LLC | | | 75 | | | USD | | | 156,750 | | | USD | | | 24.00 | | | | 10/15/21 | | | | 11,184 | |
Sunoco LP | | Pershing LLC | | | 50 | | | USD | | | 159,200 | | | USD | | | 30.00 | | | | 05/21/21 | | | | 9,690 | |
Sunoco LP | | Pershing LLC | | | 50 | | | USD | | | 159,200 | | | USD | | | 29.00 | | | | 07/16/21 | | | | 15,586 | |
Sunoco LP | | Pershing LLC | | | 50 | | | USD | | | 159,200 | | | USD | | | 30.00 | | | | 09/17/21 | | | | 11,620 | |
The Mosaic Co. | | Pershing LLC | | | 160 | | | USD | | | 505,760 | | | USD | | | 24.00 | | | | 05/21/21 | | | | 131,170 | |
6
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Number of
Contracts | | | Notional Amount | | | Exercise Price | | | Expiration
Date | | | Market
Value | |
The Mosaic Co. | | Pershing LLC | | | 140 | | | USD | | | 442,540 | | | USD | | | 30.00 | | | | 07/16/21 | | | $ | 61,540 | |
The Williams Companies Inc. | | Pershing LLC | | | 122 | | | USD | | | 289,018 | | | USD | | | 23.00 | | | | 05/21/21 | | | | 17,154 | |
The Williams Companies Inc. | | Pershing LLC | | | 120 | | | USD | | | 284,280 | | | USD | | | 23.00 | | | | 07/16/21 | | | | 19,361 | |
The Williams Companies Inc. | | Pershing LLC | | | 120 | | | USD | | | 284,280 | | | USD | | | 24.00 | | | | 09/17/21 | | | | 15,973 | |
TOTAL SE, ADR | | Pershing LLC | | | 125 | | | USD | | | 581,750 | | | USD | | | 46.75 | | | | 05/21/21 | | | | 24,923 | |
TOTAL SE, ADR | | Pershing LLC | | | 125 | | | USD | | | 581,750 | | | USD | | | 45.00 | | | | 07/16/21 | | | | 43,625 | |
TOTAL SE, ADR | | Pershing LLC | | | 40 | | | USD | | | 186,160 | | | USD | | | 50.00 | | | | 07/16/21 | | | | 5,285 | |
TOTAL SE, ADR | | Pershing LLC | | | 125 | | | USD | | | 581,750 | | | USD | | | 50.00 | | | | 09/17/21 | | | | 26,603 | |
Tyson Foods Inc., Cl. A | | Pershing LLC | | | 130 | | | USD | | | 965,900 | | | USD | | | 72.50 | | | | 04/16/21 | | | | 34,537 | |
Tyson Foods Inc., Cl. A | | Pershing LLC | | | 130 | | | USD | | | 965,900 | | | USD | | | 72.50 | | | | 07/16/21 | | | | 65,072 | |
Valero Energy Corp. | | Pershing LLC | | | 40 | | | USD | | | 286,400 | | | USD | | | 65.00 | | | | 06/18/21 | | | | 36,612 | |
Valero Energy Corp. | | Pershing LLC | | | 13 | | | USD | | | 93,080 | | | USD | | | 70.00 | | | | 06/18/21 | | | | 8,005 | |
Valero Energy Corp. | | Pershing LLC | | | 40 | | | USD | | | 286,400 | | | USD | | | 72.50 | | | | 06/18/21 | | | | 19,747 | |
Valero Energy Corp. | | Pershing LLC | | | 40 | | | USD | | | 286,400 | | | USD | | | 77.50 | | | | 08/20/21 | | | | 17,798 | |
VanEck Vectors Gold Miners ETF | | Pershing LLC | | | 540 | | | USD | | | 1,755,000 | | | USD | | | 37.00 | | | | 07/16/21 | | | | 50,591 | |
VanEck Vectors Gold Miners ETF | | Pershing LLC | | | 540 | | | USD | | | 1,755,000 | | | USD | | | 35.00 | | | | 11/19/21 | | | | 134,398 | |
Wheaton Precious Metals Corp. | | Pershing LLC | | | 273 | | | USD | | | 1,043,133 | | | USD | | | 50.00 | | | | 05/21/21 | | | | 6,188 | |
Wheaton Precious Metals Corp. | | Pershing LLC | | | 286 | | | USD | | | 1,092,806 | | | USD | | | 50.00 | | | | 06/18/21 | | | | 11,805 | |
Wheaton Precious Metals Corp. | | Pershing LLC | | | 260 | | | USD | | | 993,460 | | | USD | | | 47.00 | | | | 09/17/21 | | | | 40,531 | |
Yamana Gold Inc. | | Pershing LLC | | | 400 | | | USD | | | 173,600 | | | USD | | | 6.50 | | | | 05/21/21 | | | | 1,089 | |
Zoetis Inc. | | Pershing LLC | | | 150 | | | USD | | | 2,362,200 | | | USD | | | 162.00 | | | | 06/18/21 | | | | 73,598 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL OTC CALL OPTIONS WRITTEN | | | | | | | | | | | | | | | | $ | 6,929,933 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Put Options Written — (0.1)% | | | | | | | | | | | | | | | | | | |
Energy Select Sector SPDR ETF | | Pershing LLC | | | 475 | | | USD | | | 2,330,350 | | | USD | | | 40.00 | | | | 07/16/21 | | | $ | 36,603 | |
iShares Global Clean Energy ETF | | Pershing LLC | | | 300 | | | USD | | | 729,000 | | | USD | | | 21.00 | | | | 06/18/21 | | | | 21,796 | |
VanEck Vectors Gold Miners ETF | | Pershing LLC | | | 1,300 | | | USD | | | 4,225,000 | | | USD | | | 28.00 | | | | 08/20/21 | | | | 110,186 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL OTC PUT OPTIONS WRITTEN | | | | | | | | | | | | | | | | $ | 168,585 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
7
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Notional Amount | | | Exercise Price | | | Expiration
Date | | | Market
Value | |
Exchange Traded Call Options Written — (1.1)% | | | | | | | | | | | | |
AGCO Corp. | | | 50 | | | USD | | | 718,250 | | | USD | | | 100.00 | | | | 05/21/21 | | | $ | 222,250 | |
AGCO Corp. | | | 50 | | | USD | | | 718,250 | | | USD | | | 150.00 | | | | 08/20/21 | | | | 52,750 | |
Alamos Gold Inc., Cl. A | | | 1,500 | | | USD | | | 1,171,500 | | | USD | | | 10.00 | | | | 09/17/21 | | | | 78,000 | |
AngloGold Ashanti Ltd., ADR | | | 150 | | | USD | | | 329,550 | | | USD | | | 28.00 | | | | 07/16/21 | | | | 8,250 | |
AngloGold Ashanti Ltd., ADR | | | 150 | | | USD | | | 329,550 | | | USD | | | 25.00 | | | | 10/15/21 | | | | 29,250 | |
Apache Corp. | | | 75 | | | USD | | | 134,250 | | | USD | | | 20.00 | | | | 07/16/21 | | | | 13,350 | |
Centerra Gold Inc. | | | 500 | | | CAD | | | 556,000 | | | CAD | | | 17.00 | | | | 05/21/21 | | | | 2,586 | |
Centerra Gold Inc. | | | 49 | | | CAD | | | 54,488 | | | CAD | | | 19.00 | | | | 07/16/21 | | | | 487 | |
Centerra Gold Inc. | | | 500 | | | CAD | | | 556,000 | | | CAD | | | 15.00 | | | | 09/17/21 | | | | 21,485 | |
Dundee Precious Metals Inc. | | | 750 | | | CAD | | | 575,250 | | | CAD | | | 11.00 | | | | 04/16/21 | | | | 1,194 | |
Eldorado Gold Corp. | | | 185 | | | USD | | | 199,615 | | | USD | | | 13.00 | | | | 05/21/21 | | | | 5,180 | |
Eldorado Gold Corp. | | | 240 | | | USD | | | 258,960 | | | USD | | | 13.00 | | | | 07/16/21 | | | | 14,400 | |
Endeavour Mining Corp. | | | 335 | | | CAD | | | 848,555 | | | CAD | | | 40.00 | | | | 04/16/21 | | | | 1,066 | |
Endeavour Mining Corp. | | | 335 | | | CAD | | | 848,555 | | | CAD | | | 25.00 | | | | 05/21/21 | | | | 48,649 | |
Endeavour Mining Corp. | | | 335 | | | CAD | | | 848,555 | | | CAD | | | 27.00 | | | | 07/16/21 | | | | 44,651 | |
Endeavour Mining Corp. | | | 315 | | | CAD | | | 797,895 | | | CAD | | | 30.00 | | | | 07/16/21 | | | | 19,426 | |
Endeavour Mining Corp. | | | 95 | | | CAD | | | 240,635 | | | CAD | | | 32.00 | | | | 07/16/21 | | | | 3,969 | |
Endeavour Mining Corp. | | | 90 | | | CAD | | | 227,970 | | | CAD | | | 36.00 | | | | 07/16/21 | | | | 1,611 | |
Endeavour Mining Corp. | | | 185 | | | CAD | | | 468,605 | | | CAD | | | 26.00 | | | | 09/17/21 | | | | 40,115 | |
Endeavour Mining Corp. | | | 142 | | | CAD | | | 359,686 | | | CAD | | | 30.00 | | | | 09/17/21 | | | | 14,972 | |
Equinox Gold Corp. | | | 485 | | | USD | | | 387,515 | | | USD | | | 10.00 | | | | 07/16/21 | | | | 19,400 | |
FMC Corp. | | | 65 | | | USD | | | 718,965 | | | USD | | | 110.00 | | | | 06/18/21 | | | | 41,600 | |
Franco-Nevada Corp. | | | 110 | | | USD | | | 1,378,190 | | | USD | | | 135.00 | | | | 05/21/21 | | | | 28,050 | |
Franco-Nevada Corp. | | | 91 | | | USD | | | 1,140,139 | | | USD | | | 120.00 | | | | 07/16/21 | | | | 104,650 | |
Freeport-McMoRan Inc. | | | 250 | | | USD | | | 823,250 | | | USD | | | 30.00 | | | | 05/21/21 | | | | 107,500 | |
Freeport-McMoRan Inc. | | | 120 | | | USD | | | 395,160 | | | USD | | | 31.00 | | | | 05/21/21 | | | | 44,400 | |
Freeport-McMoRan Inc. | | | 370 | | | USD | | | 1,218,410 | | | USD | | | 32.00 | | | | 07/16/21 | | | | 150,590 | |
Gold Fields Ltd., ADR | | | 350 | | | USD | | | 332,150 | | | USD | | | 13.00 | | | | 07/16/21 | | | | 7,875 | |
Harmony Gold Mining Co. Ltd., ADR | | | 792 | | | USD | | | 345,312 | | | USD | | | 7.00 | | | | 05/21/21 | | | | 3,960 | |
Helmerich & Payne Inc. | | | 25 | | | USD | | | 67,400 | | | USD | | | 27.50 | | | | 06/18/21 | | | | 7,000 | |
IDEXX Laboratories Inc. | | | 30 | | | USD | | | 1,467,930 | | | USD | | | 500.00 | | | | 04/16/21 | | | | 23,250 | |
IDEXX Laboratories Inc. | | | 30 | | | USD | | | 1,467,930 | | | USD | | | 540.00 | | | | 07/16/21 | | | | 48,900 | |
Occidental Petroleum Corp. | | | 41 | | | USD | | | 109,142 | | | USD | | | 25.00 | | | | 05/21/21 | | | | 13,940 | |
OceanaGold Corp. | | | 1,500 | | | CAD | | | 280,500 | | | CAD | | | 2.50 | | | | 07/16/21 | | | | 14,920 | |
Osisko Gold Royalties Ltd. | | | 330 | | | CAD | | | 456,720 | | | CAD | | | 16.00 | | | | 07/16/21 | | | | 9,847 | |
Osisko Gold Royalties Ltd. | | | 350 | | | CAD | | | 484,400 | | | CAD | | | 15.00 | | | | 09/17/21 | | | | 26,458 | |
Pilgrim’s Pride Corp. | | | 75 | | | USD | | | 178,425 | | | USD | | | 20.00 | | | | 05/21/21 | | | | 32,625 | |
Pretium Resources Inc. | | | 375 | | | USD | | | 388,875 | | | USD | | | 15.00 | | | | 05/21/21 | | | | 5,625 | |
Pretium Resources Inc. | | | 375 | | | USD | | | 388,875 | | | USD | | | 12.00 | | | | 09/17/21 | | | | 33,375 | |
SSR Mining Inc. | | | 250 | | | USD | | | 357,000 | | | USD | | | 23.00 | | | | 06/18/21 | | | | 2,500 | |
The Mosaic Co. | | | 150 | | | USD | | | 474,150 | | | USD | | | 35.00 | | | | 09/17/21 | | | | 48,000 | |
VanEck Vectors Gold Miners ETF | | | 540 | | | USD | | | 1,755,000 | | | USD | | | 37.00 | | | | 09/17/21 | | | | 79,920 | |
8
GAMCO Natural Resources, Gold & Income Trust
Schedule of Investments (Continued) — March 31, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Notional Amount | | | Exercise Price | | | Expiration
Date | | | Market
Value | |
Yamana Gold Inc. | | | 400 | | | USD | | | 173,600 | | | USD | | | 7.00 | | | | 07/16/21 | | | $ | 2,400 | |
Zoetis Inc. | | | 160 | | | USD | | | 2,519,680 | | | USD | | | 170.00 | | | | 07/16/21 | | | | 53,120 | |
Zoetis Inc. | | | 160 | | | USD | | | 2,519,680 | | | USD | | | 160.00 | | | | 10/15/21 | | | | 163,200 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL EXCHANGE TRADED CALL OPTIONS WRITTEN | | | $ | 1,696,746 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Put Options Written — (0.2)% | | | | | |
Energy Select Sector SPDR ETF | | | 600 | | | USD | | | 2,943,600 | | | USD | | | 32.00 | | | | 05/21/21 | | | $ | 58,200 | |
iShares Global Clean Energy ETF | | | 300 | | | USD | | | 729,000 | | | USD | | | 21.00 | | | | 04/16/21 | | | | 2,400 | |
iShares Global Clean Energy ETF | | | 300 | | | USD | | | 729,000 | | | USD | | | 19.00 | | | | 10/15/21 | | | | 26,400 | |
NextEra Energy Partners LP | | | 85 | | | USD | | | 619,480 | | | USD | | | 60.00 | | | | 04/16/21 | | | | 1,700 | |
VanEck Vectors Gold Miners ETF | | | 1,250 | | | USD | | | 4,062,500 | | | USD | | | 31.00 | | | | 05/21/21 | | | | 113,750 | |
VanEck Vectors Gold Miners ETF | | | 1,300 | | | USD | | | 4,225,000 | | | USD | | | 26.00 | | | | 06/18/21 | | | | 26,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL EXCHANGE TRADED PUT OPTIONS WRITTEN | | | $ | 228,450 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
TOTAL OPTIONS WRITTEN | | | $ | 9,023,714 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
9
