NPORT-EX 2 GB41GAMCONatResGoldIncTr.htm

FOR VALIDATION PURPOSES ONLY - [907684.SOI]

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments — March 31, 2020 (Unaudited)

Shares						Market Value
				COMMON STOCKS — 77.9%
				Agriculture — 4.5%
	52,000			Archer-Daniels-Midland Co.(a)		$	1,829,360
	30,500			Bunge Ltd.(a)			1,251,415
	74,990			Nutrien Ltd.(a)			2,545,161
							5,625,936
				Energy and Energy Services — 13.0%
	11,700			Apache Corp.			48,906
	13,500			Baker Hughes Co.			141,750
	42,000			BP plc, ADR(a)			1,024,380
	21,100			Cabot Oil & Gas Corp.			362,709
	23,300			Chevron Corp.(a)			1,688,318
	6,000			Concho Resources Inc.(a)			257,100
	6,800			ConocoPhillips			209,440
	6,000			Devon Energy Corp.			41,460
	4,000			Diamondback Energy Inc.			104,800
	61,500			Eni SpA			625,378
	11,500			EOG Resources Inc.(a)			413,080
	60,500			Exxon Mobil Corp.(a)			2,297,185
	26,600			Halliburton Co.(a)			182,210
	5,000			Helmerich & Payne Inc.			78,250
	4,700			Hess Corp.(a)			156,510
	6,500			HollyFrontier Corp.			159,315
	69,682			Kinder Morgan Inc.(a)			969,973
	18,695			Marathon Petroleum Corp.(a)			441,576
	7,100			Noble Energy Inc.			42,884
	8,098			Occidental Petroleum Corp.(a)			93,775
	14,500			ONEOK Inc.			316,245
	11,700			Phillips 66(a)			627,705
	5,100			Pioneer Natural Resources Co.(a)			357,765
	110,500			Royal Dutch Shell plc, Cl. A			1,947,602
	31,970			Schlumberger Ltd.(a)			431,275
	21,000			Suncor Energy Inc.(a)			331,800
	15,000			Sunoco LP			234,600
	39,500			The Williams Companies Inc.(a)			558,925
	36,500			TOTAL SA, ADR(a)			1,359,260
	12,300			Valero Energy Corp.(a)			557,928
							16,062,104
				Food and Beverage — 3.1%
	88,594			Mowi ASA			1,351,946
	15,000			Pilgrim’s Pride Corp.†			271,800
	39,000			Tyson Foods Inc., Cl. A(a)			2,256,930
							3,880,676
				Health Care — 6.1%
	8,900			IDEXX Laboratories Inc.†(a)			2,155,936
	46,000			Zoetis Inc.(a)			5,413,740
							7,569,676
				Machinery — 4.1%
	22,500			AGCO Corp.			1,063,125
	147,000			CNH Industrial NV(a)			824,670
	15,800			Deere & Co.(a)			2,182,928

Shares						Market Value
	80,000			Kubota Corp.		$	1,027,854
							5,098,577
				Metals and Mining — 44.7%
	75,500			Agnico Eagle Mines Ltd.(a)			3,004,145
	435,416			Alamos Gold Inc., Cl. A(a)			2,177,080
	68,000			AngloGold Ashanti Ltd., ADR(a)			1,130,840
	754,100			B2Gold Corp.(a)			2,307,546
	321,444			Barrick Gold Corp.(a)			5,888,854
	475,000			Belo Sun Mining Corp.†			128,260
	29,000			BHP Group Ltd., ADR(a)			1,064,010
	875,000			Centamin plc			1,321,591
	67,000			Endeavour Mining Corp.†			952,654
	451,000			Evolution Mining Ltd.			1,059,708
	100,000			Fortuna Silver Mines Inc.†			231,000
	56,600			Franco-Nevada Corp.(a)			5,632,832
	124,274			Fresnillo plc			1,029,275
	382,313			Gold Road Resources Ltd.†			323,346
	221,124			Harmony Gold Mining Co. Ltd., ADR†			482,050
	481,500			Hochschild Mining plc			636,346
	37,500			Kirkland Lake Gold Ltd.(a)			1,110,000
	101,626			Kirkland Lake Gold Ltd., North America			2,993,248
	10,000			Labrador Iron Ore Royalty Corp.			119,449
	68,000			MAG Silver Corp.†			522,240
	174,952			Newcrest Mining Ltd.			2,480,482
	132,456			Newmont Corp.(a)			5,997,608
	67,085			Northern Dynasty Minerals Ltd.†			25,828
	309,357			Northern Star Resources Ltd.			2,003,708
	359,975			OceanaGold Corp.			345,318
	98,700			Osisko Gold Royalties Ltd.			736,410
	29,100			Pan American Silver Corp.			417,003
	600,000			Perseus Mining Ltd.†			341,381
	86,000			Pretium Resources Inc.†			487,620
	51,000			Rio Tinto plc, ADR(a)			2,323,560
	16,400			Royal Gold Inc.(a)			1,438,444
	275,000			Saracen Mineral Holdings Ltd.†			620,790
	100,000			SEMAFO Inc.†			193,988
	83,500			SSR Mining Inc.†			950,230
	42,000			Teranga Gold Corp.†			206,225
	72,000			Torex Gold Resources Inc.†			697,335
	10			Westgold Resources Ltd.†			12
	149,850			Wheaton Precious Metals Corp.(a)			4,125,371
							55,505,787
				Specialty Chemicals — 2.4%
	26,000			CF Industries Holdings Inc.(a)			707,200
	20,000			FMC Corp.(a)			1,633,800
	58,500			The Mosaic Co.(a)			632,970
							2,973,970
				TOTAL COMMON STOCKS			96,716,726
				EXCHANGE TRADED FUNDS — 1.7%
	92,000			VanEck Vectors Gold Miners ETF			2,119,680

1

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

Shares						Market Value
				RIGHTS — 0.0%
				Metals and Mining — 0.0%
	90,000			Pan American Silver Corp., CVR†		$	30,600
Principal Amount
				CONVERTIBLE CORPORATE BONDS — 0.6%
				Metals and Mining — 0.6%
$	200,000			Fortuna Silver Mines Inc., 4.650%, 10/31/24(b)(c)			203,000
	350,000			Osisko Gold Royalties Ltd., 4.000%, 12/31/22			235,833
	350,000			Pretium Resources Inc., 2.250%, 03/15/22			314,580
							753,413
				TOTAL CONVERTIBLE CORPORATE BONDS			753,413
				U.S. GOVERNMENT OBLIGATIONS — 19.8%
	24,545,000			U.S. Treasury Bills, 0.020% to 1.495%††, 05/07/20 to 09/24/20(d)			24,540,168
				TOTAL INVESTMENTS BEFORE OPTIONS WRITTEN AND SECURITIES SOLD SHORT — 100.0% (Cost $180,333,866)		$	124,160,587
Shares						Market Value
				SECURITIES SOLD SHORT — (1.7)%
				Exchange Traded Funds — (1.7)%
	92,000			VanEck Vectors Gold Miners ETF(e)		$	2,119,680

(a) Securities, or a portion thereof, with a value of $59,966,807 were deposited with the broker as collateral for options written.

(b) At March 31, 2020, the Fund held an investment in a restricted and illiquid security amounting to $203,000 or 0.16% of total investments before options written and securities sold short, which were valued under methods approved by the Board of Trustees as follows:

Acquisition Principal Amount		Issuer		Acquisition Date		Acquisition Cost		03/31/20 Carrying Value Per Bond
$200,000		Fortuna Silver Mines Inc., 4.650%, 10/31/24		09/25/19		$200,000		$1,015.0000

(c) Security 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.

(d) At March 31, 2020, $12,365,000 of the principal amount was pledged as collateral for options written.

(e) At March 31, 2020, these proceeds are being held at Pershing LLC.

† Non-income producing security.

†† Represents annualized yields at dates of purchase.

ADR American Depositary Receipt

CVR Contingent Value Right

Geographic Diversification		% of Total Investments*					Market Value
Long Positions
North America				80.4	%			$	99,884,425
Europe				8.7					10,778,387
Asia/Pacific				6.7					8,238,756
Latin America				2.1					2,618,275
South Africa				1.3					1,612,890
Japan				0.8					1,027,854
Total Investments — Long Positions				100.0	%			$	124,160,587
Short Positions
North America				(6.5	)%			$	(8,087,012	)
Europe				(0.1	)				(143,990	)
Asia/Pacific				(0.1	)				(73,589	)
Japan				(0.0	)**				(603	)
Total Investments — Short Positions				(6.7	)%			$	(8,305,194	)

* Total investments exclude options written.

** Amount represents greater than (0.05)%.

2

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

As of March 31, 2020, options written outstanding were as follows:

Description		Counterparty		Number of Contracts				Notional Amount								Exercise Price								Expiration Date				Market Value
OTC Call Options Written — (2.7)%
AGCO Corp.		Pershing LLC			75				USD				354,375				USD				67.50				06/19/20			$	3,871
AGCO Corp.		Pershing LLC			100				USD				472,500				USD				55.00				08/21/20				32,012
Agnico Eagle Mines Ltd.		Pershing LLC			270				USD				1,074,330				USD				67.00				05/15/20				6,691
Alamos Gold Inc., Cl. A		Pershing LLC			2,180				USD				1,090,000				USD				6.50				06/19/20				64,100
Alamos Gold Inc., Cl. A		Pershing LLC			1,500				USD				750,000				USD				7.00				10/16/20				108,623
AngloGold Ashanti Ltd., ADR		Pershing LLC			400				USD				665,200				USD				22.00				06/19/20				46,858
Apache Corp.		Pershing LLC			60				USD				25,080				USD				27.50				10/16/20				438
Apache Corp.		Pershing LLC			39				USD				16,302				USD				12.50				01/15/21				1,629
Archer-Daniels-Midland Co.		Pershing LLC			250				USD				879,500				USD				45.00				04/17/20				533
Archer-Daniels-Midland Co.		Pershing LLC			250				USD				879,500				USD				38.00				06/19/20				37,048
B2Gold Corp.		Pershing LLC			1,041				USD				318,546				USD				3.75				04/17/20				5,071
B2Gold Corp.		Pershing LLC			2,400				USD				734,400				USD				4.00				04/17/20				6,226
B2Gold Corp.		Pershing LLC			1,700				USD				520,200				USD				5.00				07/17/20				28,691
B2Gold Corp.		Pershing LLC			2,500				USD				765,000				USD				4.50				11/20/20				128,321
Baker Hughes Co.		Pershing LLC			70				USD				73,500				USD				21.00				07/17/20				437
Baker Hughes Co.		Pershing LLC			65				USD				68,250				USD				15.00				12/18/20				8,291
Barrick Gold Corp.		Pershing LLC			1,100				USD				2,015,200				USD				20.00				05/15/20				126,352
Barrick Gold Corp.		Pershing LLC			1,105				USD				2,024,360				USD				19.00				06/19/20				201,802
Barrick Gold Corp.		Pershing LLC			505				USD				925,160				USD				21.00				10/16/20				95,214
Barrick Gold Corp.		Pershing LLC			504				USD				923,328				USD				22.00				10/16/20				80,840
BHP Group Ltd., ADR		Pershing LLC			100				USD				366,900				USD				54.00				04/17/20				173
BHP Group Ltd., ADR		Pershing LLC			100				USD				366,900				USD				50.00				05/15/20				2,568
BHP Group Ltd., ADR		Pershing LLC			90				USD				330,210				USD				45.00				11/20/20				23,466
BP plc, ADR		Pershing LLC			140				USD				341,460				USD				36.00				05/15/20				1,149
BP plc, ADR		Pershing LLC			140				USD				341,460				USD				38.00				05/15/20				894
BP plc, ADR		Pershing LLC			140				USD				341,460				USD				36.00				06/19/20				1,936
BP plc, ADR		Pershing LLC			140				USD				341,460				USD				24.00				07/17/20				42,989
Bunge Ltd.		Pershing LLC			150				USD				615,450				USD				59.00				06/19/20				13,062
Cabot Oil & Gas Corp.		Pershing LLC			78				USD				134,082				USD				17.50				06/19/20				16,073
Cabot Oil & Gas Corp.		Pershing LLC			80				USD				137,520				USD				16.00				08/21/20				25,784
CF Industries Holdings Inc.		Pershing LLC			130				USD				353,600				USD				47.50				05/15/20				99
CF Industries Holdings Inc.		Pershing LLC			100				USD				272,000				USD				35.00				11/20/20				18,487
Chevron Corp.		Pershing LLC			80				USD				579,680				USD				112.00				04/17/20				35

3

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

Description		Counterparty		Number of Contracts				Notional Amount						Exercise Price						Expiration Date				Market Value
Chevron Corp.		Pershing LLC			95			USD			688,370			USD			112.00				05/15/20			$	345
Chevron Corp.		Pershing LLC			85			USD			615,910			USD			110.00				06/19/20				884
Chevron Corp.		Pershing LLC			80			USD			579,680			USD			75.00				10/16/20				59,501
Cimarex Energy Co.		Pershing LLC			16			USD			26,928			USD			52.00				04/17/20				0
Cimarex Energy Co.		Pershing LLC			15			USD			25,245			USD			40.00				09/18/20				212
CNH Industrial NV		Pershing LLC			490			USD			274,890			USD			11.00				04/17/20				3,238
CNH Industrial NV		Pershing LLC			490			USD			274,890			USD			10.00				06/19/20				8,902
Concho Resources Inc.		Pershing LLC			20			USD			85,700			USD			65.00				01/15/21				10,612
ConocoPhillips		Pershing LLC			50			USD			154,000			USD			62.50				04/17/20				1
ConocoPhillips		Pershing LLC			18			USD			55,440			USD			60.00				05/15/20				7
ConocoPhillips		Pershing LLC			45			USD			138,600			USD			35.00				10/16/20				15,092
Deere & Co.		Pershing LLC			85			USD			1,174,360			USD			174.00				04/17/20				233
Deere & Co.		Pershing LLC			85			USD			1,174,360			USD			150.00				12/18/20				108,548
Devon Energy Corp.		Pershing LLC			63			USD			43,533			USD			22.00				04/17/20				0
Devon Energy Corp.		Pershing LLC			60			USD			41,460			USD			26.00				07/17/20				103
Diamondback Energy Inc.		Pershing LLC			20			USD			52,400			USD			40.00				12/18/20				7,310
Eni SpA		Morgan Stanley			40			EUR			184,400			EUR			14.25				04/17/20				88
Eni SpA		Morgan Stanley			43			EUR			198,230			EUR			13.00				05/15/20				341
Eni SpA		Morgan Stanley			40			EUR			184,400			EUR			9.00				10/16/20				16,072
EOG Resources Inc.		Pershing LLC			60			USD			215,520			USD			80.00				05/15/20				71
EOG Resources Inc.		Pershing LLC			55			USD			197,560			USD			57.50				12/18/20				10,219
Exxon Mobil Corp.		Pershing LLC			27			USD			102,519			USD			63.00				04/17/20				9
Exxon Mobil Corp.		Pershing LLC			207			USD			785,979			USD			70.00				04/17/20				23
Exxon Mobil Corp.		Pershing LLC			198			USD			751,806			USD			64.00				05/15/20				632
Exxon Mobil Corp.		Pershing LLC			180			USD			683,460			USD			60.00				06/19/20				1,266
Exxon Mobil Corp.		Pershing LLC			196			USD			744,212			USD			46.50				09/18/20				24,728
Exxon Mobil Corp.		Pershing LLC			202			USD			766,994			USD			50.00				10/16/20				18,030
FMC Corp.		Pershing LLC			100			USD			816,900			USD			95.00				04/17/20				3,369
FMC Corp.		Pershing LLC			100			USD			816,900			USD			92.50				10/16/20				60,119
Franco-Nevada Corp.		Pershing LLC			150			USD			1,492,800			USD			116.00				05/15/20				40,170
Franco-Nevada Corp.		Pershing LLC			180			USD			1,791,360			USD			105.00				06/19/20				133,446
Halliburton Co.		Pershing LLC			90			USD			61,650			USD			22.50				04/17/20				0
Halliburton Co.		Pershing LLC			90			USD			61,650			USD			22.00				05/15/20				109
Halliburton Co.		Pershing LLC			75			USD			51,375			USD			10.00				10/16/20				6,860
Halliburton Co.		Pershing LLC			90			USD			61,650			USD			15.00				01/15/21				3,517
Harmony Gold Mining Co. Ltd., ADR		Pershing LLC			750			USD			163,500			USD			3.50				06/19/20				14,364
Helmerich & Payne Inc.		Pershing LLC			28			USD			43,820			USD			43.00				04/17/20				4
Helmerich & Payne Inc.		Pershing LLC			23			USD			35,995			USD			45.00				06/19/20				256
Hess Corp.		Pershing LLC			30			USD			99,900			USD			65.00				04/17/20				1
Hess Corp.		Pershing LLC			17			USD			56,610			USD			65.00				06/19/20				265
HollyFrontier Corp.		Pershing LLC			18			USD			44,118			USD			50.00				06/19/20				630
Kinder Morgan Inc.		Pershing LLC			190			USD			264,480			USD			21.00				04/17/20				44

4

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

Description		Counterparty		Number of Contracts				Notional Amount						Exercise Price						Expiration Date				Market Value
Kinder Morgan Inc.		Pershing LLC			307			USD			427,344			USD			20.00				06/19/20			$	1,605
Kinder Morgan Inc.		Pershing LLC			180			USD			250,560			USD			17.00				01/15/21				21,304
Kirkland Lake Gold Ltd.		Pershing LLC			580			CAD			2,404,100			CAD			27.00				04/17/20				209
Kirkland Lake Gold Ltd.		Pershing LLC			640			CAD			2,652,800			CAD			27.00				06/19/20				194,470
Kirkland Lake Gold Ltd.		Pershing LLC			120			USD			355,200			USD			50.00				06/19/20				6,853
Kubota Corp.		Morgan Stanley			800			JPY			110,520,000			JPY			1,630.00				05/15/20				603
Marathon Oil Corp.		Pershing LLC			118			USD			38,822			USD			13.00				05/15/20				172
Marathon Oil Corp.		Pershing LLC			132			USD			43,428			USD			8.00				12/18/20				3,789
Marathon Petroleum Corp.		Pershing LLC			67			USD			158,254			USD			58.00				05/15/20				14
Marathon Petroleum Corp.		Pershing LLC			60			USD			141,720			USD			57.50				06/19/20				13
Mowi ASA		Morgan Stanley			40,464			NOK			6,419,614			NOK			219.95				04/17/20				10
Mowi ASA		Morgan Stanley			50,000			NOK			7,932,500			NOK			225.00				06/19/20				1,233
Mowi ASA		Morgan Stanley			30,000			NOK			4,759,500			NOK			167.50				07/17/20				23,552
Newcrest Mining Ltd.		Morgan Stanley			620			AUD			1,429,100			AUD			31.50				05/15/20				17,871
Newcrest Mining Ltd.		Morgan Stanley			550			AUD			1,267,750			AUD			33.00				08/21/20				27,687
Newmont Corp.		Pershing LLC			420			USD			1,901,760			USD			47.00				05/15/20				116,767
Newmont Corp.		Pershing LLC			225			USD			1,018,800			USD			49.00				05/15/20				45,246
Newmont Corp.		Pershing LLC			450			USD			2,037,600			USD			50.00				10/16/20				196,955
Noble Energy Inc.		Pershing LLC			50			USD			30,200			USD			23.00				05/15/20				51
Noble Energy Inc.		Pershing LLC			30			USD			18,120			USD			20.00				08/21/20				671
Northern Star Resources Ltd.		Morgan Stanley			1,000			AUD			1,053,000			AUD			15.50				06/19/20				28,032
Nutrien Ltd.		Pershing LLC			250			USD			848,500			USD			51.00				04/17/20				715
Nutrien Ltd.		Pershing LLC			250			USD			848,500			USD			45.00				05/15/20				6,996
Nutrien Ltd.		Pershing LLC			250			USD			848,500			USD			35.00				11/20/20				94,735
Occidental Petroleum Corp.		Pershing LLC			41			USD			47,478			USD			35.00				07/17/20				681
Occidental Petroleum Corp.		Pershing LLC			40			USD			46,320			USD			35.00				09/18/20				1,667
ONEOK Inc.		Pershing LLC			40			USD			87,240			USD			75.00				04/17/20				1
ONEOK Inc.		Pershing LLC			65			USD			141,765			USD			70.00				07/17/20				262
ONEOK Inc.		Pershing LLC			40			USD			87,240			USD			27.50				10/16/20				8,810
Pan American Silver Corp.		Pershing LLC			75			USD			107,475			USD			23.00				01/15/21				12,795
Phillips 66		Pershing LLC			42			USD			225,330			USD			105.00				04/17/20				0
Phillips 66		Pershing LLC			35			USD			187,775			USD			92.50				05/15/20				116
Phillips 66		Pershing LLC			40			USD			214,600			USD			67.50				08/21/20				9,049
Pilgrim’s Pride Corp.		Pershing LLC			50			USD			90,600			USD			22.00				11/20/20				12,642
Pioneer Natural Resources Co.		Pershing LLC			16			USD			112,240			USD			140.00				06/19/20				327

5

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

Description		Counterparty		Number of Contracts				Notional Amount						Exercise Price						Expiration Date				Market Value
Pioneer Natural Resources Co.		Pershing LLC			18			USD			126,270			USD			144.00				07/17/20			$	589
Rio Tinto plc, ADR		Pershing LLC			170			USD			774,520			USD			55.00				05/15/20				15,779
Rio Tinto plc, ADR		Pershing LLC			170			USD			774,520			USD			58.00				06/19/20				15,261
Rio Tinto plc, ADR		Pershing LLC			170			USD			774,520			USD			50.00				12/18/20				83,897
Royal Dutch Shell plc, Cl. A		Morgan Stanley			33			GBP			468,270			GBp			2,300.00				04/17/20				35
Royal Dutch Shell plc, Cl. A		Morgan Stanley			37			GBP			525,030			GBp			2,100.00				05/15/20				871
Royal Dutch Shell plc, Cl. A		Morgan Stanley			41			GBP			581,790			GBp			1,950.00				06/19/20				2,933
Royal Dutch Shell plc, Cl. A		The Goldman Sachs Group Inc.			37			GBP			525,030			GBp			1,300.00				09/18/20				98,857
Royal Gold Inc.		Pershing LLC			55			USD			482,405			USD			105.00				07/17/20				38,514
Schlumberger Ltd.		Pershing LLC			90			USD			121,410			USD			35.00				04/17/20				31
Schlumberger Ltd.		Pershing LLC			100			USD			134,900			USD			34.00				05/15/20				122
Schlumberger Ltd.		Pershing LLC			130			USD			175,370			USD			30.00				11/20/20				2,724
Suncor Energy Inc.		Pershing LLC			65			USD			102,700			USD			33.00				04/17/20				16
Suncor Energy Inc.		Pershing LLC			75			USD			118,500			USD			31.00				05/15/20				392
Sunoco LP		Pershing LLC			50			USD			78,200			USD			22.50				09/18/20				3,948
TechnipFMC plc		Pershing LLC			85			USD			57,290			USD			20.00				05/15/20				133
TechnipFMC plc		Pershing LLC			85			USD			57,290			USD			19.00				07/17/20				1,489
The Mosaic Co.		Pershing LLC			185			USD			200,170			USD			20.00				06/19/20				1,530
The Mosaic Co.		Pershing LLC			200			USD			216,400			USD			16.00				08/21/20				9,286
The Mosaic Co.		Pershing LLC			200			USD			216,400			USD			15.00				09/18/20				15,933
The Williams Companies Inc.		Pershing LLC			110			USD			155,650			USD			24.00				04/17/20				234
The Williams Companies Inc.		Pershing LLC			175			USD			247,625			USD			22.00				05/15/20				1,790
The Williams Companies Inc.		Pershing LLC			110			USD			155,650			USD			19.00				11/20/20				9,929
TOTAL SA, ADR		Pershing LLC			50			USD			186,200			USD			54.00				04/17/20				0
TOTAL SA, ADR		Pershing LLC			75			USD			279,300			USD			55.00				04/17/20				0
TOTAL SA, ADR		Pershing LLC			115			USD			428,260			USD			50.00				05/15/20				790
TOTAL SA, ADR		Pershing LLC			125			USD			465,500			USD			35.00				10/16/20				86,710
Tyson Foods Inc., Cl. A		Pershing LLC			120			USD			694,440			USD			90.00				04/17/20				308
Tyson Foods Inc., Cl. A		Pershing LLC			150			USD			868,050			USD			80.00				07/17/20				10,755
Tyson Foods Inc., Cl. A		Pershing LLC			120			USD			694,440			USD			70.00				10/16/20				43,091
Valero Energy Corp.		Pershing LLC			40			USD			181,440			USD			90.00				04/17/20				3
Valero Energy Corp.		Pershing LLC			43			USD			195,048			USD			84.00				05/15/20				206
Valero Energy Corp.		Pershing LLC			40			USD			181,440			USD			85.00				05/15/20				182
VanEck Vectors Gold Miners ETF		Pershing LLC			595			USD			1,370,880			USD			30.00				10/16/20				113,506

6

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

Description

Counterparty

Number of Contracts

Notional Amount

Exercise Price

Expiration Date

Market Value

Wheaton Precious Metals Corp.

Pershing LLC

400

USD

1,101,200

USD

34.00

05/15/20

$

35,072

Wheaton Precious Metals Corp.

Pershing LLC

649

USD

1,786,697

USD

29.00

06/19/20

172,176

Wheaton Precious Metals Corp.

Pershing LLC

450

USD

1,238,850

USD

35.00

07/17/20

68,806

TOTAL OTC CALL OPTIONS WRITTEN

$

3,351,185

Description		Number of Contracts				Notional Amount								Exercise Price								Expiration Date				Market Value
Exchange Traded Call Options Written — (0.9)%
AGCO Corp.			75				USD				354,375				USD				55.00				11/20/20			$	29,250
AngloGold Ashanti Ltd., ADR			280				USD				465,640				USD				23.00				04/17/20				6,720
Chevron Corp.			80				USD				579,680				USD				97.50				12/18/20				18,840
Concho Resources Inc.			20				USD				85,700				USD				80.00				04/17/20				2,500
Concho Resources Inc.			20				USD				85,700				USD				85.00				06/19/20				500
Diamondback Energy Inc.			20				USD				52,400				USD				90.00				06/19/20				220
Endeavour Mining Corp.			150				CAD				300,150				CAD				30.00				04/17/20				1,386
Endeavour Mining Corp.			300				CAD				600,300				CAD				28.50				07/17/20				6,502
Endeavour Mining Corp.			220				CAD				440,220				CAD				30.00				10/16/20				7,504
Energy Select Sector SPDR ETF			85				USD				247,010				USD				32.00				07/17/20				21,250
Energy Select Sector SPDR ETF			340				USD				988,040				USD				36.00				08/21/20				42,840
Energy Select Sector SPDR ETF			65				USD				188,890				USD				40.00				08/21/20				3,640
Energy Select Sector SPDR ETF			300				USD				871,800				USD				35.00				09/18/20				49,800
Franco-Nevada Corp.			104				USD				1,035,008				USD				120.00				10/16/20				68,120
Harmony Gold Mining Co. Ltd., ADR			690				USD				150,420				USD				5.00				08/21/20				10,350
Harmony Gold Mining Co. Ltd., ADR			1,845				USD				402,210				USD				4.00				01/15/21				83,025
IDEXX Laboratories Inc.			45				USD				1,090,080				USD				280.00				04/17/20				6,750
IDEXX Laboratories Inc.			45				USD				1,090,080				USD				250.00				11/20/20				132,750
Kirkland Lake Gold Ltd.			180				USD				532,800				USD				50.00				04/17/20				540
Kirkland Lake Gold Ltd.			75				USD				222,000				USD				50.00				07/17/20				6,525
Kirkland Lake Gold Ltd.			450				USD				1,332,000				USD				40.00				10/16/20				121,500
MAG Silver Corp.			230				USD				176,640				USD				12.50				11/20/20				28,750
MAG Silver Corp.			225				USD				172,800				USD				10.00				12/18/20				31,500
Marathon Petroleum Corp.			60				USD				141,720				USD				42.50				10/16/20				9,120
OceanaGold Corp.			800				CAD				108,000				CAD				3.00				04/17/20				2,274
OceanaGold Corp.			1,000				CAD				135,000				CAD				3.50				04/17/20				1,421
OceanaGold Corp.			1,800				CAD				243,000				CAD				3.00				07/17/20				9,593
Osisko Gold Royalties Ltd.			380				CAD				399,000				CAD				13.00				06/19/20				14,176
Osisko Gold Royalties Ltd.			220				CAD				231,000				CAD				14.00				07/17/20				6,253
Pilgrim’s Pride Corp.			50				USD				90,600				USD				31.00				06/19/20				1,250
Pilgrim’s Pride Corp.			50				USD				90,600				USD				27.00				09/18/20				2,875
Pioneer Natural Resources Co.			18				USD				126,270				USD				130.00				09/18/20				3,825

7

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

Description		Number of Contracts				Notional Amount								Exercise Price								Expiration Date				Market Value
Pretium Resources Inc.			440				USD				249,480				USD				13.00				04/17/20			$	4,400
Pretium Resources Inc.			550				USD				311,850				USD				9.00				06/19/20				13,750
Royal Gold Inc.			54				USD				473,634				USD				115.00				04/17/20				3,780
SEMAFO Inc.			500				CAD				136,500				CAD				3.00				04/17/20				3,553
SEMAFO Inc.			500				CAD				136,500				CAD				5.00				04/17/20				888
SSR Mining Inc.			200				USD				227,600				USD				19.00				06/19/20				3,500
SSR Mining Inc.			260				USD				295,880				USD				20.00				12/18/20				15,600
The Mosaic Co.			200				USD				216,400				USD				23.00				04/17/20				2,800
Torex Gold Resources Inc.			250				CAD				340,750				CAD				20.00				04/17/20				1,421
Torex Gold Resources Inc.			470				CAD				640,610				CAD				18.00				06/19/20				18,368
VanEck Vectors Gold Miners ETF			561				USD				1,292,544				USD				30.00				04/17/20				8,415
VanEck Vectors Gold Miners ETF			365				USD				840,960				USD				29.00				05/15/20				23,725
VanEck Vectors Gold Miners ETF			255				USD				587,520				USD				29.00				09/18/20				44,625
Zoetis Inc.			100				USD				1,176,900				USD				140.00				04/17/20				4,750
Zoetis Inc.			180				USD				2,118,420				USD				145.00				05/15/20				40,050
Zoetis Inc.			180				USD				2,118,420				USD				125.00				01/15/21				225,000
TOTAL EXCHANGE TRADED CALL OPTIONS WRITTEN																										$	1,146,174

8

GAMCO Natural Resources, Gold & Income Trust

Schedule of Investments (Continued) — March 31, 2020 (Unaudited)

Description		Number of Contracts				Notional Amount								Exercise Price								Expiration Date				Market Value
Exchange Traded Put Options Written — (1.4)%
SPDR Gold Shares			82				USD				1,214,010				USD				151.00				01/15/21			$	116,030
VanEck Vectors Gold Miners ETF			1,850				USD				4,262,400				USD				26.50				04/17/20				619,750
VanEck Vectors Gold Miners ETF			1,850				USD				4,262,400				USD				26.00				07/17/20				883,375
VanEck Vectors Gold Miners ETF			460				USD				1,059,840				USD				18.00				01/15/21				69,000
TOTAL EXCHANGE TRADED PUT OPTIONS WRITTEN																										$	1,688,155
TOTAL OPTIONS WRITTEN																										$	6,185,514

9