NPORT-EX 2 GB41_GNT_Fund.htm

FOR VALIDATION PURPOSES ONLY - [165906.TX]

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